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Eaton Vance California Municipal Income Trust

Regulatory Filings Jul 27, 2011

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N-CSRS 1 b87333a1nvcsrs.htm EATON VANCE CALIFORNIA MUNICIPAL INCOME TRUST Eaton Vance California Municipal Income Trust PAGEBREAK

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-09153

Eaton Vance California Municipal Income Trust

(Exact Name of Registrant as Specified in Charter)

Two International Place, Boston, Massachusetts 02110 (Address of Principal Executive Offices)

Maureen A. Gemma Two International Place, Boston, Massachusetts 02110

(Name and Address of Agent for Services)

(617) 482-8260

(Registrant’s Telephone Number)

November 30

Date of Fiscal Year End

May 31, 2011

Date of Reporting Period

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link2 "Item 1. Reports to Stockholders"

Item 1. Reports to Stockholders

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Eaton Vance Municipal Income Trusts Semiannual Report May 31, 2011

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California (CEV) • Massachusetts (MMV) • Michigan (EMI) • New Jersey (EVJ)

New York (EVY) • Ohio (EVO) • Pennsylvania (EVP)

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Fund shares are not insured by the FDIC and are not deposits or other obligations of, or guaranteed by, any depository institution. Shares are subject to investment risks, including possible loss of principal invested.

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Semiannual Report May 31, 2011

Eaton Vance Municipal Income Trusts

Table of Contents

Performance and Fund Profiles
California Municipal Income Trust 2
Massachusetts Municipal Income Trust 3
Michigan Municipal Income Trust 4
New Jersey Municipal Income Trust 5
New York Municipal Income Trust 6
Ohio Municipal Income Trust 7
Pennsylvania Municipal Income Trust 8
Endnotes and Additional Disclosures 9
Financial Statements 10
Annual Meeting of Shareholders 67
Board of Trustees’ Contract Approval 68
Officers and Trustees 71
Important Notices 72

Folio /Folio

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Eaton Vance

California Municipal Income Trust

May 31, 2011

Portfolio Manager Cynthia J. Clemson

Performance 1

NYSE Amex Symbol
Inception Date 1/29/99 CEV
% Average Annual Total Returns at net asset value (NAV)
Six Months 0.23
One Year -0.84
Five Years 0.80
Ten Years 5.03
% Average Annual Total Returns at market price, NYSE Amex
Six Months -0.30
One Year -0.81
Five Years 1.48
Ten Years 6.26
% Premium/Discount to NAV (5/31/11) -0.44
% Market Yields 2
Market Yield 7.45
Taxable-Equivalent Market Yield 12.81
% Total Leverage 3
Auction Preferred Shares (APS) 32.1
Residual Interest Bond (RIB) 12.5
Comparative Performance 4
Barclays Capital Long (22+) Municipal Bond Index
Six Months 1.43
One Year 1.49
Five Years 3.51
Ten Years 5.15
Lipper California Muni. Debt Funds Average at NAV*
Six Months 1.04
One Year 1.17
Five Years 2.55
Ten Years 5.06
  • Source: Lipper.

Fund Profile

Credit Quality 5 (% of total investments)

The above chart includes the ratings of securities held by special purpose vehicles established in connection with the RIB financing. 3 Absent such securities the Fund’s credit quality (% of total investments) is as follows:

AAA 11.2 BBB 7.2
AA 42.6 BB 1.3
A 30.1 Not Rated 7.6

See Endnotes and Additional Disclosures on page 9.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in NAV or market price (as applicable) with all distributions reinvested. Fund performance at market price will differ from its results at NAV due to factors such as changing perceptions about the Fund, market conditions, fluctuations in supply and demand for Fund shares, or changes in Fund distributions. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance less than one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month end, please refer to www.eatonvance.com.

Folio 2 /Folio

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Eaton Vance

Massachusetts Municipal Income Trust

May 31, 2011

Portfolio Manager Craig R. Brandon, CFA

Performance 1

NYSE Amex Symbol
Inception Date 1/29/99 MMV
% Average Annual Total Returns at NAV
Six Months 0.32
One Year -0.37
Five Years 2.93
Ten Years 6.14
% Average Annual Total Returns at market price, NYSE Amex
Six Months -1.64
One Year -3.92
Five Years 2.64
Ten Years 7.06
% Premium/Discount to NAV (5/31/11) -0.60
% Market Yields 2
Market Yield 6.83
Taxable-Equivalent Market Yield 11.10
% Total Leverage 3
APS 32.6
RIB 7.9
Comparative Performance 4
Barclays Capital Long (22+) Municipal Bond Index
Six Months 1.43
One Year 1.49
Five Years 3.51
Ten Years 5.15

Fund Profile

Credit Quality 5 (% of total investments)

The above chart includes the ratings of securities held by special purpose vehicles established in connection with the RIB financing. 3 Absent such securities the Fund’s credit quality (% of total investments) is as follows:

AAA 13.1 BBB 8.7
AA 37.7 BB 1.3
A 35.5 Not Rated 3.7

See Endnotes and Additional Disclosures on page 9.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in NAV or market price (as applicable) with all distributions reinvested. Fund performance at market price will differ from its results at NAV due to factors such as changing perceptions about the Fund, market conditions, fluctuations in supply and demand for Fund shares, or changes in Fund distributions. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance less than one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month end, please refer to www.eatonvance.com.

Folio 3 /Folio

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Eaton Vance

Michigan Municipal Income Trust

May 31, 2011

Portfolio Manager William H. Ahern, Jr., CFA

Performance 1

NYSE Amex Symbol
Inception Date 1/29/99 EMI
% Average Annual Total Returns at NAV
Six Months 2.91
One Year 1.83
Five Years 3.11
Ten Years 5.53
% Average Annual Total Returns at market price, NYSE Amex
Six Months 3.37
One Year 2.47
Five Years 3.64
Ten Years 6.43
% Premium/Discount to NAV (5/31/11) -5.64
% Market Yields 2
Market Yield 7.13
Taxable-Equivalent Market Yield 11.47
% Total Leverage 3
APS 39.3
Comparative Performance 4
Barclays Capital Long (22+) Municipal Bond Index
Six Months 1.43
One Year 1.49
Five Years 3.51
Ten Years 5.15
Lipper Michigan Muni. Debt Funds Average at NAV*
Six Months 2.53
One Year 3.11
Five Years 4.02
Ten Years 5.42
  • Source: Lipper.

Fund Profile

Credit Quality 5 (% of total investments)

See Endnotes and Additional Disclosures on page 9.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in NAV or market price (as applicable) with all distributions reinvested. Fund performance at market price will differ from its results at NAV due to factors such as changing perceptions about the Fund, market conditions, fluctuations in supply and demand for Fund shares, or changes in Fund distributions. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance less than one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month end, please refer to www.eatonvance.com.

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Eaton Vance

New Jersey Municipal Income Trust

May 31, 2011

Portfolio Manager Adam A. Weigold, CFA

Performance 1

NYSE Amex Symbol
Inception Date 1/29/99 EVJ
% Average Annual Total Returns at NAV
Six Months 1.41
One Year -0.96
Five Years 2.95
Ten Years 5.99
% Average Annual Total Returns at market price, NYSE Amex
Six Months -0.01
One Year -3.51
Five Years 3.12
Ten Years 7.65
% Premium/Discount to NAV (5/31/11) 0.54
% Market Yields 2
Market Yield 7.29
Taxable-Equivalent Market Yield 12.32
% Total Leverage 3
APS 31.8
RIB 10.7
Comparative Performance 4
Barclays Capital Long (22+) Municipal Bond Index
Six Months 1.43
One Year 1.49
Five Years 3.51
Ten Years 5.15
Lipper New Jersey Muni. Debt Funds Average at NAV*
Six Months 1.48
One Year 1.76
Five Years 3.97
Ten Years 5.48
  • Source: Lipper.

Fund Profile

Credit Quality 5 (% of total investments)

The above chart includes the ratings of securities held by special purpose vehicles established in connection with the RIB bond financing. 3 Absent such securities the Fund’s credit quality (% of total investments) is as follows:

AAA 14.5 BBB 13.9
AA 35.0 B 1.1
A 34.8 Not Rated 0.7

See Endnotes and Additional Disclosures on page 9.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in NAV or market price (as applicable) with all distributions reinvested. Fund performance at market price will differ from its results at NAV due to factors such as changing perceptions about the Fund, market conditions, fluctuations in supply and demand for Fund shares, or changes in Fund distributions. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance less than one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month end, please refer to www.eatonvance.com.

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Eaton Vance

New York Municipal Income Trust

May 31, 2011

Portfolio Manager Craig R. Brandon, CFA

Performance 1

NYSE Amex Symbol
Inception Date 1/29/99 EVY
% Average Annual Total Returns at NAV
Six Months 2.11
One Year 1.12
Five Years 2.26
Ten Years 5.74
% Average Annual Total Returns at market price, NYSE Amex
Six Months -0.04
One Year -1.44
Five Years 2.87
Ten Years 6.94
% Premium/Discount to NAV (5/31/11) -0.32
% Market Yields 2
Market Yield 7.08
Taxable-Equivalent Market Yield 11.97
% Total Leverage 3
APS 27.1
RIB 16.4
Comparative Performance 4
Barclays Capital Long (22+) Municipal Bond Index
Six Months 1.43
One Year 1.49
Five Years 3.51
Ten Years 5.15
Lipper New York Muni. Debt Funds Average at NAV*
Six Months 1.60
One Year 2.20
Five Years 3.34
Ten Years 5.38
  • Source: Lipper.

Fund Profile

Credit Quality 5 (% of total investments)

The above chart includes the ratings of securities held by special purpose vehicles established in connection with the RIB financing. 3 Absent such securities the Fund’s credit quality (% of total investments) is as follows:

AAA 14.6 BB 1.2
AA 34.3 B 1.5
A 27.8 CC 0.8
BBB 11.7 Not Rated 8.1

See Endnotes and Additional Disclosures on page 9.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in NAV or market price (as applicable) with all distributions reinvested. Fund performance at market price will differ from its results at NAV due to factors such as changing perceptions about the Fund, market conditions, fluctuations in supply and demand for Fund shares, or changes in Fund distributions. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance less than one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month end, please refer to www.eatonvance.com.

Folio 6 /Folio

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Eaton Vance

Ohio Municipal Income Trust

May 31, 2011

Portfolio Manager William H. Ahern, Jr., CFA

Performance 1

NYSE Amex Symbol
Inception Date 1/29/99 EVO
% Average Annual Total Returns at NAV
Six Months 0.90
One Year -0.60
Five Years 2.57
Ten Years 5.68
% Average Annual Total Returns at market price, NYSE Amex
Six Months -0.75
One Year 0.73
Five Years 3.56
Ten Years 6.47
% Premium/Discount to NAV (5/31/11) 0.23
% Market Yields 2
Market Yield 6.93
Taxable-Equivalent Market Yield 11.33
% Total Leverage 3
APS 37.4
RIB 2.4
Comparative Performance 4
Barclays Capital Long (22+) Municipal Bond Index
Six Months 1.43
One Year 1.49
Five Years 3.51
Ten Years 5.15

Fund Profile

Credit Quality 5 (% of total investments)

See Endnotes and Additional Disclosures on page 9.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in NAV or market price (as applicable) with all distributions reinvested. Fund performance at market price will differ from its results at NAV due to factors such as changing perceptions about the Fund, market conditions, fluctuations in supply and demand for Fund shares, or changes in Fund distributions. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance less than one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month end, please refer to www.eatonvance.com.

Folio 7 /Folio

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Eaton Vance

Pennsylvania Municipal Income Trust

May 31, 2011

Portfolio Manager Adam A. Weigold, CFA

Performance 1

NYSE Amex Symbol
Inception Date 1/29/99 EVP
% Average Annual Total Returns at NAV
Six Months 2.26
One Year 1.06
Five Years 3.40
Ten Years 5.90
% Average Annual Total Returns at market price, NYSE Amex
Six Months 3.99
One Year 0.91
Five Years 3.82
Ten Years 7.32
% Premium/Discount to NAV (5/31/11) -1.37
% Market Yields 2
Market Yield 6.68
Taxable-Equivalent Market Yield 10.60
% Total Leverage 3
APS 36.2
RIB 2.8
Comparative Performance 4
Barclays Capital Long (22+) Municipal Bond Index
Six Months 1.43
One Year 1.49
Five Years 3.51
Ten Years 5.15
Lipper Pennsylvania Muni. Debt Funds Average at NAV*
Six Months 2.14
One Year 2.64
Five Years 3.88
Ten Years 5.56
  • Source: Lipper.

Fund Profile

Credit Quality 5 (% of total investments)

The above chart includes the ratings of securities held by special purpose vehicles established in connection with the RIB financing. 3 Absent such securities the Fund’s credit quality (% of total investments) is as follows:

AAA 3.7 BB 1.1
AA 47.3 CCC 1.9
A 35.3 CC 0.6
BBB 4.3 Not Rated 5.8

See Endnotes and Additional Disclosures on page 9.

Past performance is no guarantee of future results. Returns are historical and are calculated by determining the percentage change in NAV or market price (as applicable) with all distributions reinvested. Fund performance at market price will differ from its results at NAV due to factors such as changing perceptions about the Fund, market conditions, fluctuations in supply and demand for Fund shares, or changes in Fund distributions. Investment return and principal value will fluctuate so that shares, when sold, may be worth more or less than their original cost. Performance less than one year is cumulative. Performance is for the stated time period only; due to market volatility, current Fund performance may be lower or higher than the quoted return. For performance as of the most recent month end, please refer to www.eatonvance.com.

Folio 8 /Folio

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Eaton Vance Municipal Income Trusts

May 31, 2011

Endnotes and Additional Disclosures

1. Performance results reflect the effects of leverage.
2. Market yields are calculated by dividing the last regular distribution per share
(annualized) by the market price. Taxable-equivalent performance is based on the highest combined
federal and state income tax rates (41.86% for CA, 38.45% for MA, 37.83% for MI, 40.83% for NJ,
40.83% for NY, 38.85% for OH, 37.00% for PA). Lower tax rates would result in lower tax-equivalent
performance. Actual tax rate will vary depending on your income, exemptions and deductions. Rates
do not include local taxes. The distribution declared on May 31, 2011 reflects a reduction of the
monthly distribution for the Michigan, New Jersey and Ohio Funds. Distributions may be comprised of
tax-exempt income, ordinary income, net realized capital gains and return of capital.
3. RIB leverage represents the amount of Floating Rate Notes outstanding as a percentage
of Fund net assets applicable to common shares plus APS and Floating Rate Notes. See “Floating Rate
Notes Issued in Conjunction with Securities Held” in the Notes to the financial statements for more
information about RIB financing. APS leverage represents the liquidation value of the Fund’s APS
outstanding as a percentage of Fund net assets applicable to common shares plus APS and Floating
Rate Notes. Use of leverage creates an opportunity for income, but creates risks including greater
price volatility. The cost of leverage rises and falls with changes in short-term interest rates.
The Fund is required to maintain prescribed asset coverage for its APS, which could be reduced if
Fund asset values decline. Floating Rate Notes in both calculations reflect the effect of RIBs
purchased in secondary market transactions, if applicable.
4. The Barclays Capital Long (22+) Municipal Bond Index is an unmanaged index of
municipal bonds traded in the U.S. with maturities of 22 years or more. Unless otherwise stated,
indices do not reflect any applicable sales charges, commissions, leverage, taxes or other expenses
of investing. Lipper Average reflects the average annual total return of funds in the same Lipper
classification as the Fund. It is not possible to invest directly in an index or Lipper
classification.
5. Ratings are based on Moody, S&P or Fitch, as applicable. Credit ratings are based
largely on the rating agency’s investment analysis at the time of rating and the rating assigned to
any particular security is not necessarily a reflection of the issuer’s current financial
condition. The rating assigned to a security by a rating agency does not necessarily reflect its
assessment of the volatility of a security’s market value or of the liquidity of an investment in
the security. If securities are rated differently by the rating agencies, the higher rating is
shown.
Fund profile subject to change due to active management.

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Eaton Vance

California Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited)

Tax-Exempt Investments — 177.9%
Principal Amount
Security (000’s omitted) Value
Education — 22.1%
California Educational Facilities Authority, (Claremont McKenna
College), 5.00%, 1/1/39 $ 3,135 $ 3,171,366
California Educational Facilities Authority, (Harvey Mudd
College), 5.25%, 12/1/31 195 201,441
California Educational Facilities Authority, (Harvey Mudd
College), 5.25%, 12/1/36 275 276,213
California Educational Facilities Authority, (Loyola Marymount
University), 5.00%, 10/1/30 745 743,577
California Educational Facilities Authority, (Lutheran
University), 5.00%, 10/1/29 2,770 2,539,204
California Educational Facilities Authority, (Santa Clara
University), 5.00%, 9/1/23 1,600 1,803,632
California Educational Facilities Authority, (Stanford
University),
5.125%, 1/1/31 (1) 4,000 4,010,240
California Educational Facilities Authority, (University of San
Francisco), 6.125%, 10/1/36 235 247,290
California Educational Facilities Authority, (University of
Southern California), 5.25%, 10/1/39 2,490 2,609,346
San Diego County, Certificates of Participation, (University of
San Diego), 5.375%, 10/1/41 2,500 2,220,850
University of California, 5.25%, 5/15/39 1,250 1,288,887
$ 19,112,046
Electric
Utilities — 7.0%
Chula Vista, (San Diego Gas and Electric), 5.875%, 2/15/34 $ 270 $ 286,243
Chula Vista, (San Diego Gas and Electric), (AMT),
5.00%, 12/1/27 2,275 2,296,999
Northern California Power Agency, 5.25%, 8/1/24 1,500 1,607,040
Southern California Public Power Authority, (Tieton Hydropower),
5.00%, 7/1/35 530 534,791
Vernon, Electric System Revenue, 5.125%, 8/1/21 1,300 1,336,764
$ 6,061,837
Escrowed / Prerefunded — 0.0% (2)
California Health Facilities Financing Authority, (Providence
Health System), Prerefunded to 10/1/18, 6.50%, 10/1/38 $ 25 $ 32,512
$ 32,512
General
Obligations — 18.3%
California, 5.50%, 11/1/35 $ 1,600 $ 1,652,752
California, 6.00%, 4/1/38 750 800,310
California, (AMT), 5.05%, 12/1/36 1,590 1,460,924
Palo Alto, (Election of 2008), 5.00%, 8/1/40 3,655 3,797,764
San Francisco Bay Area Rapid Transit District, (Election of
2004),
4.75%, 8/1/37 (3) 4,770 4,814,123
Santa Clara County, (Election of 2008),
5.00%, 8/1/39 (3)(4) 3,180 3,277,594
$ 15,803,467
Hospital — 21.6%
California Health Facilities Financing Authority, (Catholic
Healthcare West), 5.625%, 7/1/32 $ 1,000 $ 1,004,460
California Health Facilities Financing Authority, (Cedars-Sinai
Medical Center), 5.00%, 8/15/39 2,310 2,111,386
California Health Facilities Financing Authority, (Providence
Health System), 6.50%, 10/1/38 1,475 1,608,369
California Infrastructure and Economic Development Bank, (Kaiser
Hospital), 5.50%, 8/1/31 750 750,240
California Statewide Communities Development Authority, (Cottage
Health System), 5.00%, 11/1/40 1,245 1,136,150
California Statewide Communities Development Authority, (John
Muir Health), 5.00%, 8/15/34 1,150 1,056,701
California Statewide Communities Development Authority, (John
Muir Health), 5.00%, 8/15/36 1,350 1,219,306
California Statewide Communities Development Authority, (Kaiser
Permanente), 5.50%, 11/1/32 1,565 1,559,069
California Statewide Communities Development Authority, (Sonoma
County Indian Health), 6.40%, 9/1/29 1,750 1,736,770
California Statewide Communities Development Authority, (Sutter
Health), 5.50%, 8/15/28 1,500 1,503,855
Torrance Hospital, (Torrance Memorial Medical Center),
5.50%, 6/1/31 1,900 1,870,588
Washington Township Health Care District, 5.00%, 7/1/32 2,780 2,416,793
Washington Township Health Care District, 5.25%, 7/1/29 700 645,407
$ 18,619,094
Housing — 1.2%
Commerce, (Hermitage III Senior Apartments), 6.50%, 12/1/29 $ 690 $ 649,076
Commerce, (Hermitage III Senior Apartments), 6.85%, 12/1/29 406 375,144
$ 1,024,220

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Eaton Vance

California Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited) — continued

Security Principal Amount — (000’s omitted) Value
Industrial Development
Revenue — 3.6%
California Pollution Control Financing Authority, (Waste
Management, Inc.), (AMT), 5.125%, 11/1/23 $ 1,235 $ 1,263,047
California Statewide Communities Development Authority,
(Anheuser-Busch Cos., Inc.), (AMT), 4.80%, 9/1/46 2,000 1,815,660
$ 3,078,707
Insured –
Education — 7.2%
California Educational Facilities Authority, (Pepperdine
University), (AMBAC), 5.00%, 12/1/35 $ 2,660 $ 2,646,966
California Educational Facilities Authority, (Santa Clara
University), (NPFG), 5.00%, 9/1/23 1,250 1,409,088
California State University, (AMBAC), 5.00%, 11/1/33 2,140 2,124,228
$ 6,180,282
Insured – Electric
Utilities — 6.7%
California Pollution Control Financing Authority, (Pacific Gas
and Electric), (NPFG), (AMT), 5.35%, 12/1/16 $ 2,500 $ 2,552,625
California Pollution Control Financing Authority, (Southern
California Edison Co.), (NPFG), (AMT), 5.55%, 9/1/31 3,250 3,250,715
$ 5,803,340
Insured –
Escrowed / Prerefunded — 3.3%
Foothill/Eastern Transportation Corridor Agency, Toll Road
Bonds, (AGM), (RADIAN), Escrowed to Maturity, 0.00%, 1/1/26 $ 5,130 $ 2,858,744
$ 2,858,744
Insured – General
Obligations — 5.1%
Coast Community College District, (Election of 2002), (AGM),
0.00%, 8/1/34 $ 6,485 $ 1,435,584
Coast Community College District, (Election of 2002), (AGM),
0.00%, 8/1/35 4,825 992,213
Sweetwater Union High School District, (Election of 2000),
(AGM), 0.00%, 8/1/25 4,720 2,014,307
$ 4,442,104
Insured –
Hospital — 14.3%
California Health Facilities Financing Authority,
(Kaiser Permanente), (BHAC), 5.00%, 4/1/37 $ 2,900 $ 2,897,709
California Statewide Communities Development Authority, (Kaiser
Permanente), (BHAC),
5.00%, 3/1/41 (3) 750 724,605
California Statewide Communities Development Authority, (Sutter
Health), (AGM), 5.75%, 8/15/27 15 15,008
California Statewide Communities Development Authority, (Sutter
Health), (AGM),
5.75%, 8/15/27 (3) 3,735 3,737,054
California Statewide Communities Development Authority, (Sutter
Health), (AMBAC), (BHAC),
5.00%, 11/15/38 (3) 5,000 4,930,050
$ 12,304,426
Insured – Lease
Revenue / Certificates of
Participation — 11.8%
Anaheim Public Financing Authority, (Public Improvements),
(AGM), 0.00%, 9/1/17 $ 5,510 $ 4,198,510
Puerto Rico Public Finance Corp., (AMBAC), Escrowed to Maturity,
5.50%, 8/1/27 2,000 2,444,580
San Diego County Water Authority, Certificates of Participation,
(AGM),
5.00%, 5/1/38 (3) 3,500 3,527,335
$ 10,170,425
Insured – Special Tax
Revenue — 3.0%
Puerto Rico Sales Tax Financing Corp., (AMBAC),
0.00%, 8/1/54 $ 21,285 $ 1,172,378
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/45 8,355 877,108
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/46 5,270 514,931
$ 2,564,417
Insured –
Transportation — 9.4%
Alameda Corridor Transportation Authority, (AMBAC),
0.00%, 10/1/29 $ 5,000 $ 1,391,450
Alameda Corridor Transportation Authority, (NPFG),
0.00%, 10/1/31 7,950 1,931,850
Puerto Rico Highway and Transportation Authority, (AGC), (CIFG),
5.25%, 7/1/41 (3) 740 703,525
San Joaquin Hills Transportation Corridor Agency, Toll Road
Bonds, (NPFG), 0.00%, 1/15/32 10,000 1,474,900
San Jose Airport, (AGM), (AMBAC), (BHAC), (AMT),
5.00%, 3/1/37 1,320 1,232,141
San Jose Airport, (AGM), (AMBAC), (BHAC), (AMT),
6.00%, 3/1/47 1,350 1,384,223
$ 8,118,089

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Eaton Vance

California Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited) — continued

Security Principal Amount — (000’s omitted) Value
Insured – Water and
Sewer — 6.5%
East Bay Municipal Utility District, Water System Revenue,
(FGIC), (NPFG), 5.00%, 6/1/32 $ 45 $ 46,977
East Bay Municipal Utility District, Water System Revenue,
(FGIC), (NPFG),
5.00%, 6/1/32 (3) 2,000 2,087,860
Los Angeles Department of Water and Power, (NPFG),
3.00%, 7/1/30 4,400 3,485,636
$ 5,620,473
Other Revenue — 2.2%
California Infrastructure and Economic Development Bank,
(Performing Arts Center of Los Angeles), 5.00%, 12/1/32 $ 385 $ 370,905
California Infrastructure and Economic Development Bank,
(Performing Arts Center of Los Angeles), 5.00%, 12/1/37 580 529,627
Golden State Tobacco Securitization Corp., 5.30%, (0.00% until
12/1/12), 6/1/37 980 576,113
Golden State Tobacco Securitization Corp., 5.75%, 6/1/47 640 441,216
$ 1,917,861
Senior Living / Life
Care — 1.6%
California Statewide Communities Development Authority, (Senior
Living - Presbyterian Homes), 4.75%, 11/15/26 $ 175 $ 155,423
California Statewide Communities Development Authority, (Senior
Living - Presbyterian Homes), 4.875%, 11/15/36 700 576,590
California Statewide Communities Development Authority, (Senior
Living - Presbyterian Homes), 7.25%, 11/15/41 600 635,688
$ 1,367,701
Special Tax
Revenue — 18.2%
Bonita Canyon Public Financing Authority, 5.375%, 9/1/28 $ 1,000 $ 939,440
Brentwood Infrastructure Financing Authority, 5.00%, 9/2/26 285 229,528
Brentwood Infrastructure Financing Authority, 5.00%, 9/2/34 460 330,745
Corona Public Financing Authority, 5.80%, 9/1/20 970 970,310
Eastern California Municipal Water District, Special Tax
Revenue, District No. 2004-27 Cottonwood, 5.00%, 9/1/27 200 172,858
Eastern California Municipal Water District, Special Tax
Revenue, District No. 2004-27 Cottonwood, 5.00%, 9/1/36 500 389,565
Fontana Redevelopment Agency, (Jurupa Hills), 5.60%, 10/1/27 1,590 1,488,860
Lincoln Public Financing Authority, Improvement Bond Act of
1915, (Twelve Bridges), 6.20%, 9/2/25 895 895,304
Moreno Valley Unified School District, (Community School
District No. 2003-2), 5.75%, 9/1/24 420 419,945
Moreno Valley Unified School District, (Community School
District No. 2003-2), 5.90%, 9/1/29 750 731,932
Oakland Joint Powers Financing Authority, 5.40%, 9/2/18 1,745 1,769,535
Oakland Joint Powers Financing Authority, 5.50%, 9/2/24 930 939,151
San Francisco Bay Area Rapid Transit District, Sales Tax
Revenue, 5.00%, 7/1/28 2,400 2,589,744
Santa Margarita Water District, 6.20%, 9/1/20 1,095 1,097,289
Santaluz Community Facilities District No. 2,
6.10%, 9/1/21 250 250,563
Santaluz Community Facilities District No. 2,
6.20%, 9/1/30 490 490,142
Temecula Unified School District, 5.00%, 9/1/27 250 222,110
Temecula Unified School District, 5.00%, 9/1/37 400 320,204
Tustin Community Facilities District, 6.00%, 9/1/37 500 461,585
Whittier Public Financing Authority, (Greenleaf Avenue
Redevelopment), 5.50%, 11/1/23 1,000 976,240
$ 15,685,050
Transportation — 12.5%
Bay Area Toll Authority, Toll Bridge Revenue, (San Francisco Bay
Area), 5.00%, 4/1/31 $ 2,000 $ 2,032,020
Bay Area Toll Authority, Toll Bridge Revenue, (San Francisco Bay
Area), 5.25%, 4/1/29 1,000 1,065,630
Los Angeles Department of Airports, (Los Angeles International
Airport), 5.00%, 5/15/35 (3)(4) 2,120 2,138,995
Los Angeles Department of Airports, (Los Angeles International
Airport), (AMT), 5.375%, 5/15/30 1,500 1,534,875
Port of Redwood City, (AMT), 5.125%, 6/1/30 1,170 1,009,640
San Francisco City and County Airport Commission, (San Francisco
International Airport), 5.00%, 5/1/35 1,500 1,484,460
San Francisco City and County Airport Commission, (San Francisco
International Airport), 5.00%, 5/1/40 1,540 1,497,496
$ 10,763,116

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Eaton Vance

California Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited) — continued

Security Principal Amount — (000’s omitted) Value
Water and
Sewer — 2.3%
California Department of Water Resources, 5.00%, 12/1/29 $ 1,840 $ 1,961,201
$ 1,961,201
Total Tax-Exempt
Investments — 177.9%
(identified cost $158,745,062) $ 153,489,112
Auction Preferred Shares Plus
Cumulative
Unpaid Dividends — (57.9)% $ (49,976,249 )
Other Assets, Less
Liabilities — (20.0)% $ (17,220,730 )
Net Assets Applicable to Common
Shares — 100.0% $ 86,292,133

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

AGC - Assured Guaranty Corp.
AGM - Assured Guaranty Municipal Corp.
AMBAC - AMBAC Financial Group, Inc.
AMT - Interest earned from these securities may be considered a
tax preference item for purposes of the Federal Alternative
Minimum Tax.
BHAC - Berkshire Hathaway Assurance Corp.
CIFG - CIFG Assurance North America, Inc.
FGIC - Financial Guaranty Insurance Company
NPFG - National Public Finance Guaranty Corp.
RADIAN - Radian Group, Inc.

The Trust invests primarily in debt securities issued by California municipalities. The ability of the issuers of the debt securities to meet their obligations may be affected by economic developments in a specific industry or municipality. In order to reduce the risk associated with such economic developments, at May 31, 2011, 37.8% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution ranged from 0.5% to 13.9% of total investments.

| (1) | Security (or a portion thereof) has been pledged to cover margin
requirements on open financial futures contracts. |
| --- | --- |
| (2) | Amount is less than 0.05%. |
| (3) | Security represents the municipal bond held by a trust that
issues residual interest bonds (see Note 1H). |
| (4) | Security (or a portion thereof) has been pledged as collateral
for residual interest bond transactions. The aggregate value of
such collateral is $1,441,589. |

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Massachusetts Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited)

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Tax-Exempt Investments — 163.6%
Principal Amount
Security (000’s omitted) Value
Education — 29.7%
Massachusetts Development Finance Agency, (Middlesex School),
5.00%, 9/1/33 $ 600 $ 602,040
Massachusetts Development Finance Agency, (Milton Academy),
5.00%, 9/1/35 1,080 1,106,039
Massachusetts Development Finance Agency, (New England
Conservatory of Music), 5.25%, 7/1/38 995 918,106
Massachusetts Health and Educational Facilities Authority,
(Berklee College of Music), 5.00%, 10/1/32 1,500 1,512,045
Massachusetts Health and Educational Facilities Authority,
(Boston College), 5.50%, 6/1/35 1,640 1,888,427
Massachusetts Health and Educational Facilities Authority,
(Harvard University),
5.00%, 10/1/38 (1) 1,500 1,559,700
Massachusetts Health and Educational Facilities Authority,
(Massachusetts Institute of Technology), 5.00%, 7/1/38 415 429,156
Massachusetts Health and Educational Facilities Authority,
(Northeastern University), 5.00%, 10/1/35 1,350 1,351,904
Massachusetts Health and Educational Facilities Authority,
(Tufts University), 5.375%, 8/15/38 1,420 1,502,360
$ 10,869,777
Electric
Utilities — 7.7%
Massachusetts Development Finance Agency, (Devens Electric
System), 6.00%, 12/1/30 $ 1,000 $ 1,015,330
Massachusetts Development Finance Agency, (Dominion Energy
Brayton Point), (AMT), 5.00%, 2/1/36 1,870 1,788,187
$ 2,803,517
Escrowed / Prerefunded — 1.2%
Massachusetts Development Finance Agency, (Western New England
College), Prefunded to 12/1/12, 6.125%, 12/1/32 $ 400 $ 437,732
$ 437,732
General
Obligations — 8.5%
Newton,
5.00%, 4/1/36 (2) $ 750 $ 786,847
Plymouth, 5.00%, 5/1/31 345 369,064
Plymouth, 5.00%, 5/1/32 315 335,125
Wayland, 5.00%, 2/1/33 510 552,019
Wayland, 5.00%, 2/1/36 770 819,426
Winchester, 5.00%, 4/15/36 245 257,961
$ 3,120,442
Hospital — 27.7%
Massachusetts Development Finance Agency, (Tufts Medical
Center), 7.25%, 1/1/32 $ 600 $ 644,070
Massachusetts Health and Educational Facilities Authority,
(Baystate Medical Center, Inc.), 5.75%, 7/1/36 1,210 1,213,812
Massachusetts Health and Educational Facilities Authority,
(Berkshire Health System), 6.25%, 10/1/31 400 396,776
Massachusetts Health and Educational Facilities Authority,
(Children’s Hospital), 5.25%, 12/1/39 500 504,435
Massachusetts Health and Educational Facilities Authority,
(Dana-Farber Cancer Institute), 5.00%, 12/1/37 1,135 1,094,639
Massachusetts Health and Educational Facilities Authority,
(Healthcare System-Covenant Health), 6.00%, 7/1/31 885 890,823
Massachusetts Health and Educational Facilities Authority,
(Jordan Hospital), 6.75%, 10/1/33 755 698,964
Massachusetts Health and Educational Facilities Authority,
(Lowell General Hospital), 5.125%, 7/1/35 720 608,760
Massachusetts Health and Educational Facilities Authority,
(Partners Healthcare System),
5.00%, 7/1/32 (1) 2,000 2,000,960
Massachusetts Health and Educational Facilities Authority,
(South Shore Hospital), 5.75%, 7/1/29 675 674,980
Massachusetts Health and Educational Facilities Authority,
(Southcoast Health System), 5.00%, 7/1/39 1,255 1,145,677
Massachusetts Health and Educational Facilities Authority,
(Winchester Hospital), 5.25%, 7/1/38 300 256,887
$ 10,130,783
Housing — 14.3%
Massachusetts Housing Finance Agency, (AMT), 4.75%, 12/1/48 $ 2,100 $ 1,807,176
Massachusetts Housing Finance Agency, (AMT), 4.85%, 6/1/40 1,000 898,330
Massachusetts Housing Finance Agency, (AMT), 5.00%, 12/1/28 650 633,724
Massachusetts Housing Finance Agency, (AMT), 5.10%, 12/1/37 2,000 1,902,460
$ 5,241,690
Industrial Development
Revenue — 1.9%
Massachusetts Industrial Finance Agency, (American Hingham Water
Co.), (AMT), 6.60%, 12/1/15 $ 695 $ 696,195
$ 696,195

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Massachusetts Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited) — continued

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Security Principal Amount — (000’s omitted) Value
Insured –
Education — 10.3%
Massachusetts College Building Authority, (XLCA),
5.50%, 5/1/39 $ 1,000 $ 1,082,370
Massachusetts Development Finance Agency, (College of the Holy
Cross), (AMBAC),
5.25%, 9/1/32 (1) 1,365 1,520,992
Massachusetts Development Finance Agency, (Franklin W. Olin
College), (XLCA), 5.25%, 7/1/33 1,165 1,173,050
$ 3,776,412
Insured – Electric
Utilities — 1.5%
Puerto Rico Electric Power Authority, (NPFG), 5.25%, 7/1/29 $ 570 $ 560,179
$ 560,179
Insured – General
Obligations — 3.2%
Massachusetts, (AMBAC), 5.50%, 8/1/30 $ 1,000 $ 1,180,860
$ 1,180,860
Insured –
Hospital — 0.9%
Massachusetts Health and Educational Facilities Authority, (Cape
Cod Healthcare), (AGC), 5.00%, 11/15/25 $ 335 $ 337,888
$ 337,888
Insured – Other
Revenue — 3.0%
Massachusetts Development Finance Agency, (WGBH Educational
Foundation), (AMBAC), 5.75%, 1/1/42 $ 1,075 $ 1,092,866
$ 1,092,866
Insured – Special Tax
Revenue — 13.2%
Martha’s Vineyard Land Bank, (AMBAC), 5.00%, 5/1/32 $ 1,450 $ 1,452,305
Massachusetts, Special Obligation, Dedicated Tax Revenue,
(FGIC), (NPFG), 5.50%, 1/1/29 1,000 1,103,200
Massachusetts School Building Authority, Dedicated Sales Tax
Revenue, (AMBAC),
5.00%, 8/15/37 (1) 1,340 1,371,101
Puerto Rico Sales Tax Financing Corp., (AMBAC),
0.00%, 8/1/54 7,595 418,333
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/45 3,005 315,465
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/46 1,905 186,138
$ 4,846,542
Insured – Student
Loan — 5.8%
Massachusetts Educational Financing Authority, (AGC), (AMT),
6.35%, 1/1/30 $ 425 $ 444,346
Massachusetts Educational Financing Authority, (AMBAC), (AMT),
4.70%, 1/1/33 1,885 1,696,839
$ 2,141,185
Insured –
Transportation — 3.4%
Massachusetts Port Authority, (Bosfuel Project), (FGIC), (NPFG),
(AMT), 5.00%, 7/1/32 $ 315 $ 293,798
Massachusetts Port Authority, (Bosfuel Project), (FGIC), (NPFG),
(AMT), 5.00%, 7/1/38 1,055 947,643
$ 1,241,441
Nursing Home — 1.4%
Massachusetts Health and Educational Facilities Authority,
(Christopher House), 6.875%, 1/1/29 $ 535 $ 497,175
$ 497,175
Other Revenue — 3.0%
Massachusetts Health and Educational Facilities Authority,
(Isabella Stewart Gardner Museum), 5.00%, 5/1/22 $ 500 $ 547,290
Massachusetts Health and Educational Facilities Authority,
(Isabella Stewart Gardner Museum), 5.00%, 5/1/25 505 535,270
$ 1,082,560
Senior Living / Life
Care — 5.8%
Massachusetts Development Finance Agency, (Berkshire Retirement
Community, Inc.), 5.15%, 7/1/31 $ 250 $ 211,443
Massachusetts Development Finance Agency, (Berkshire Retirement
Community, Inc.), 5.625%, 7/1/29 1,500 1,368,915
Massachusetts Development Finance Agency, (Carleton-Willard
Village), 5.625%, 12/1/30 125 124,341
Massachusetts Development Finance Agency, (First Mortgage VOA
Concord), 5.125%, 11/1/27 140 104,283
Massachusetts Development Finance Agency, (First Mortgage VOA
Concord), 5.20%, 11/1/41 475 318,635
$ 2,127,617

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Massachusetts Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited) — continued

Security Principal Amount — (000’s omitted) Value
Special Tax
Revenue — 6.9%
Massachusetts Bay Transportation Authority, Sales Tax Revenue,
0.00%, 7/1/31 $ 1,665 $ 595,920
Massachusetts Bay Transportation Authority, Sales Tax Revenue,
0.00%, 7/1/34 5,195 1,518,499
Virgin Islands Public Finance Authority, 5.00%, 10/1/39 75 65,756
Virgin Islands Public Finance Authority, 6.75%, 10/1/37 335 351,117
$ 2,531,292
Transportation — 5.9%
Massachusetts Department of Transportation, (Metropolitan
Highway System), 5.00%, 1/1/37 $ 1,500 $ 1,486,035
Massachusetts Port Authority, 5.00%, 7/1/34 670 687,936
$ 2,173,971
Water and
Sewer — 8.3%
Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/33 $ 910 $ 1,043,324
Massachusetts Water Pollution Abatement Trust, 5.25%, 8/1/34 990 1,127,819
Massachusetts Water Resources Authority, 4.00%, 8/1/46 1,000 876,670
$ 3,047,813
Total Tax-Exempt
Investments — 163.6%
(identified cost $61,079,163) $ 59,937,937
Auction Preferred Shares Plus
Cumulative
Unpaid Dividends — (54.7)% $ (20,050,167 )
Other Assets, Less
Liabilities — (8.9)% $ (3,260,269 )
Net Assets Applicable to Common
Shares — 100.0% $ 36,627,501

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

AGC - Assured Guaranty Corp.
AMBAC - AMBAC Financial Group, Inc.
AMT - Interest earned from these securities may be considered a
tax preference item for purposes of the Federal Alternative
Minimum Tax.
FGIC - Financial Guaranty Insurance Company
NPFG - National Public Finance Guaranty Corp.
XLCA - XL Capital Assurance, Inc.

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The Trust invests primarily in debt securities issued by Massachusetts 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 May 31, 2011, 25.3% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution ranged from 1.3% to 14.6% of total investments.

| (1) | Security represents the municipal bond held by a trust that
issues residual interest bonds (see Note 1H). |
| --- | --- |
| (2) | Security (or a portion thereof) has been pledged to cover margin
requirements on open financial futures contracts. |

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Eaton Vance

Michigan Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited)

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Tax-Exempt Investments — 162.6%
Principal Amount
Security (000’s omitted) Value
Education — 10.3%
Grand Valley State University, 5.625%, 12/1/29 $ 525 $ 549,848
Grand Valley State University, 5.75%, 12/1/34 525 544,499
Michigan Higher Education Facilities Authority, (Hillsdale
College), 5.00%, 3/1/35 200 187,316
Michigan State University, 5.00%, 2/15/40 1,000 1,022,960
Michigan State University, 5.00%, 2/15/44 460 467,926
$ 2,772,549
Electric
Utilities — 0.2%
Michigan Strategic Fund, (Detroit Edison Pollution Control),
5.45%, 9/1/29 $ 60 $ 60,067
$ 60,067
Escrowed / Prerefunded — 12.5%
Macomb County Hospital Finance Authority, (Mount Clemens General
Hospital), Prerefunded to 11/15/13, 5.875%, 11/15/34 $ 560 $ 629,770
Michigan Higher Education Facilities Authority, (Creative
Studies), Prerefunded to 6/1/12, 5.90%, 12/1/27 1,250 1,318,162
Michigan Hospital Finance Authority, (Sparrow Obligation Group),
Prerefunded to 11/15/11, 5.625%, 11/15/36 750 775,658
Puerto Rico Electric Power Authority, Prerefunded to 7/1/12,
5.25%, 7/1/31 600 638,520
$ 3,362,110
General
Obligations — 25.6%
Ann Arbor School District, 4.50%, 5/1/24 $ 350 $ 355,856
Charter County of Wayne, 6.75%, 11/1/39 495 510,310
Comstock Park Public Schools, 5.00%, 5/1/28 230 233,133
Comstock Park Public Schools, 5.125%, 5/1/31 275 277,329
Comstock Park Public Schools, 5.25%, 5/1/33 220 223,304
East Grand Rapids Public School District, 5.00%, 5/1/25 500 506,865
Jenison Public Schools, 5.00%, 5/1/28 500 506,810
Jenison Public Schools, 5.00%, 5/1/30 500 502,895
Kent County, 5.00%, 1/1/25 1,500 1,602,795
Manistee Area Public Schools, 5.00%, 5/1/24 750 759,757
Michigan, 5.00%, 11/1/20 1,000 1,134,530
Michigan, 5.50%, 11/1/25 270 295,421
$ 6,909,005
Hospital — 26.2%
Gaylord Hospital Finance Authority, (Otsego Memorial Hospital
Association), 6.20%, 1/1/25 $ 185 $ 161,298
Gaylord Hospital Finance Authority, (Otsego Memorial Hospital
Association), 6.50%, 1/1/37 125 102,731
Kent Hospital Finance Authority, (Spectrum Health), 5.50% to
1/15/15 (Put Date), 1/15/47 275 309,694
Mecosta County, (Michigan General Hospital), 6.00%, 5/15/18 410 408,376
Michigan Hospital Finance Authority, (Henry Ford Health System),
5.00%, 11/15/38 750 634,575
Michigan Hospital Finance Authority, (Henry Ford Health System),
5.25%, 11/15/46 1,000 857,770
Michigan Hospital Finance Authority, (McLaren Healthcare),
5.00%, 8/1/35 1,080 1,027,588
Michigan Hospital Finance Authority, (Memorial Healthcare
Center), 5.875%, 11/15/21 750 752,160
Michigan Hospital Finance Authority, (Mid Michigan Obligation
Group), 6.125%, 6/1/39 500 512,210
Michigan Hospital Finance Authority, (Trinity Health Corp.),
5.00%, 12/1/27 1,000 1,024,320
Monroe County Hospital Finance Authority, (Mercy Memorial
Hospital Corp.), 5.375%, 6/1/26 425 381,501
Saginaw Hospital Finance Authority, (Covenant Medical Center,
Inc.), 5.00%, 7/1/30 1,000 911,570
$ 7,083,793
Housing — 3.4%
Michigan Housing Development Authority, (Williams Pavilion),
(AMT), 4.90%, 4/20/48 $ 1,000 $ 913,650
$ 913,650
Industrial Development
Revenue — 6.6%
Detroit Local Development Finance Authority, (Chrysler Corp.),
5.375%, 5/1/21 $ 750 $ 525,525
Dickinson County Economic Development Corp., (International
Paper Co.), 5.75%, 6/1/16 800 810,224
Puerto Rico Port Authority, (American Airlines, Inc.), (AMT),
6.25%, 6/1/26 550 445,780
$ 1,781,529
Insured –
Education — 5.9%
Ferris State University, (AGC), 5.125%, 10/1/33 $ 570 $ 583,954
Ferris State University, (AGC), 5.25%, 10/1/38 500 511,410
Wayne State University, (AGM), 5.00%, 11/15/35 500 507,290
$ 1,602,654

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Michigan Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited) — continued

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Security Principal Amount — (000’s omitted) Value
Insured – Electric
Utilities — 9.3%
Michigan Strategic Fund, (Detroit Edison Co.), (NPFG), (AMT),
5.55%, 9/1/29 $ 1,000 $ 1,000,650
Michigan Strategic Fund, (Detroit Edison Co.), (XLCA),
5.25%, 12/15/32 400 398,152
Puerto Rico Electric Power Authority, (FGIC), (NPFG),
5.25%, 7/1/30 220 215,576
Puerto Rico Electric Power Authority, (FGIC), (NPFG),
5.25%, 7/1/34 500 480,585
Puerto Rico Electric Power Authority, (NPFG), 5.25%, 7/1/29 435 427,505
$ 2,522,468
Insured –
Escrowed / Prerefunded — 3.7%
Detroit Sewage Disposal System, (FGIC), Prerefunded to 7/1/11,
5.125%, 7/1/31 $ 1,000 $ 1,004,130
$ 1,004,130
Insured – General
Obligations — 15.3%
Battle Creek School District, (AGM), 5.00%, 5/1/37 $ 1,105 $ 1,115,939
Byron Center Public Schools, (AGM), 3.75%, 5/1/26 650 589,836
Byron Center Public Schools, (AGM), 4.00%, 5/1/28 290 264,486
Detroit School District, (AGM), 5.25%, 5/1/32 300 295,680
Detroit School District, (FGIC),
4.75%, 5/1/28 (1) 650 608,634
Van Dyke Public Schools, (AGM), 5.00%, 5/1/38 1,250 1,261,225
$ 4,135,800
Insured –
Hospital — 3.3%
Royal Oak Hospital Finance Authority, (William Beaumont
Hospital), (NPFG), 5.25%, 11/15/35 $ 985 $ 881,585
$ 881,585
Insured – Lease
Revenue / Certificates of
Participation — 6.1%
Michigan Building Authority, (AGM), (FGIC), 0.00%, 10/15/29 $ 1,000 $ 333,340
Michigan Building Authority, (FGIC), (NPFG), 0.00%, 10/15/30 4,300 1,305,480
$ 1,638,820
Insured – Special Tax
Revenue — 2.5%
Puerto Rico Sales Tax Financing Corp., (AMBAC),
0.00%, 8/1/54 $ 5,160 $ 284,213
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/45 2,430 255,101
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/46 1,470 143,634
$ 682,948
Insured – Student
Loan — 3.7%
Michigan Higher Education Student Loan Authority, (AMBAC),
(AMT), 5.00%, 3/1/31 $ 1,000 $ 1,009,340
$ 1,009,340
Insured –
Transportation — 3.5%
Wayne County Airport Authority, (AGC), (AMT),
5.375%, 12/1/32 $ 1,000 $ 954,650
$ 954,650
Insured – Water and
Sewer — 11.5%
Detroit Sewage Disposal System, (AGC), (FGIC), 5.00%, 7/1/36 $ 560 $ 521,399
Detroit Water Supply System, (FGIC), (NPFG), 5.00%, 7/1/30 1,650 1,556,907
Grand Rapids Water Supply System, (AGC), 5.10%, 1/1/39 1,000 1,029,410
$ 3,107,716
Other Revenue — 3.2%
Lansing Board of Water and Light,
5.50%, 7/1/41 (2) $ 500 $ 523,015
Michigan Tobacco Settlement Finance Authority, 6.00%, 6/1/48 500 345,130
$ 868,145
Special Tax
Revenue — 1.3%
Guam, Limited Obligation Bonds, 5.625%, 12/1/29 $ 115 $ 114,935
Guam, Limited Obligation Bonds, 5.75%, 12/1/34 125 125,166
Virgin Islands Public Finance Authority, 6.75%, 10/1/37 110 115,292
$ 355,393
Water and
Sewer — 8.5%
Grand Rapids, (Sanitary Sewer System), 5.00%, 1/1/28 $ 790 $ 861,455
Michigan Municipal Bond Authority, (Clean Water Revenue),
5.00%, 10/1/29 600 640,596

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Security Principal Amount — (000’s omitted) Value
Water and Sewer (continued)
Michigan Municipal Bond Authority, (Clean Water Revenue),
5.00%, 10/1/30 $ 500 $ 533,580
Michigan Municipal Bond Authority, (Clean Water Revenue),
5.25%, 10/1/11 (3) 250 254,193
$ 2,289,824
Total Tax-Exempt
Investments — 162.6%
(identified cost $45,354,597) $ 43,936,176
Auction Preferred Shares Plus
Cumulative
Unpaid Dividends — (64.8)% $ (17,500,876 )
Other Assets, Less
Liabilities — 2.2% $ 582,404
Net Assets Applicable to Common
Shares — 100.0% $ 27,017,704

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

AGC - Assured Guaranty Corp.
AGM - Assured Guaranty Municipal Corp.
AMBAC - AMBAC Financial Group, Inc.
AMT - Interest earned from these securities may be considered a
tax preference item for purposes of the Federal Alternative
Minimum Tax.
FGIC - Financial Guaranty Insurance Company
NPFG - National Public Finance Guaranty Corp.
XLCA - XL Capital Assurance, Inc.

The Trust invests primarily in debt securities issued by Michigan 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 May 31, 2011, 39.9% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution ranged from 0.9% to 14.3% of total investments.

| (1) | Security (or a portion thereof) has been segregated to cover
payable for when-issued securities. |
| --- | --- |
| (2) | When-issued security. |
| (3) | Security (or a portion thereof) has been pledged to cover margin
requirements on open financial futures contracts. |

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New Jersey Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited)

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Tax-Exempt Investments — 166.0%
Principal Amount
Security (000’s omitted) Value
Education — 26.7%
New Jersey Educational Facilities Authority, (Georgian Court
University), 5.00%, 7/1/27 $ 250 $ 243,920
New Jersey Educational Facilities Authority, (Georgian Court
University), 5.00%, 7/1/33 250 227,430
New Jersey Educational Facilities Authority, (Georgian Court
University), 5.25%, 7/1/37 220 202,301
New Jersey Educational Facilities Authority, (Kean University),
5.50%, 9/1/36 2,560 2,620,262
New Jersey Educational Facilities Authority, (Princeton
University), 4.25%, 7/1/40 3,485 3,380,101
New Jersey Educational Facilities Authority, (Princeton
University),
4.50%, 7/1/38 (1) 3,500 3,519,915
New Jersey Educational Facilities Authority, (Stevens Institute
of Technology), 5.00%, 7/1/27 1,650 1,609,872
New Jersey Educational Facilities Authority, (University of
Medicine and Dentistry), 7.50%, 12/1/32 965 1,085,577
Rutgers State University,
5.00%, 5/1/39 (1) 3,150 3,233,759
$ 16,123,137
Electric
Utilities — 2.5%
Salem County Pollution Control Financing Authority, (Public
Service Enterprise Group, Inc.), (AMT), 5.75%, 4/1/31 $ 1,500 $ 1,501,995
$ 1,501,995
Escrowed / Prerefunded — 0.6%
New Jersey Transportation Trust Fund Authority,
(Transportation System), Prerefunded to 12/15/18,
6.00%, 12/15/38 $ 285 $ 366,550
$ 366,550
General
Obligations — 6.6%
Monmouth County Improvement Authority, (Governmental Pooled
Loan), 5.00%, 1/15/28 (2) $ 1,850 $ 2,034,482
Monmouth County Improvement Authority, (Governmental Pooled
Loan), 5.00%, 1/15/30 1,795 1,948,329
$ 3,982,811
Hospital — 21.4%
Camden County Improvement Authority, (Cooper Health System),
5.00%, 2/15/35 $ 90 $ 73,222
Camden County Improvement Authority, (Cooper Health System),
5.75%, 2/15/34 1,495 1,359,418
New Jersey Health Care Facilities Financing Authority, (AHS
Hospital Corp.), 5.00%, 7/1/27 2,320 2,330,881
New Jersey Health Care Facilities Financing Authority,
(Atlanticare Regional Medical Center), 5.00%, 7/1/37 2,370 2,305,939
New Jersey Health Care Facilities Financing Authority, (Chilton
Memorial Hospital), 5.75%, 7/1/39 915 888,904
New Jersey Health Care Facilities Financing Authority, (Kennedy
Health System), 5.625%, 7/1/31 1,525 1,505,953
New Jersey Health Care Facilities Financing Authority, (Robert
Wood Johnson University Hospital), 5.00%, 7/1/31 1,000 998,700
New Jersey Health Care Facilities Financing Authority, (South
Jersey Hospital), 5.00%, 7/1/46 2,530 2,326,462
New Jersey Health Care Facilities Financing Authority, (Virtua
Health), 5.75%, 7/1/33 1,075 1,112,840
$ 12,902,319
Housing — 3.6%
New Jersey Housing & Mortgage Finance Agency, (Single
Family Housing), (AMT), 4.70%, 10/1/37 $ 680 $ 624,193
New Jersey Housing & Mortgage Finance Agency, (Single
Family Housing), (AMT), 5.00%, 10/1/37 1,640 1,561,083
$ 2,185,276
Industrial Development
Revenue — 12.8%
Middlesex County Pollution Control Authority, (Amerada Hess),
5.75%, 9/15/32 $ 500 $ 500,745
Middlesex County Pollution Control Authority, (Amerada Hess),
6.05%, 9/15/34 540 542,554
New Jersey Economic Development Authority, (Anheuser-Busch Cos.,
Inc.), (AMT), 4.95%, 3/1/47 1,610 1,475,758
New Jersey Economic Development Authority, (Continental
Airlines), (AMT), 6.25%, 9/15/29 215 200,154
New Jersey Economic Development Authority, (Continental
Airlines), (AMT), 9.00%, 6/1/33 750 779,730
New Jersey Economic Development Authority, (New Jersey-American Water Co., Inc.), (AMT), 5.10%, 6/1/23 220 231,343
New Jersey Economic Development Authority, (New Jersey-American Water Co., Inc.), (AMT), 5.70%, 10/1/39 2,235 2,239,493
Virgin Islands Public Finance Authority, (HOVENSA LLC), (AMT),
4.70%, 7/1/22 2,080 1,732,079
$ 7,701,856

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Security Principal Amount — (000’s omitted) Value
Insured –
Education — 1.1%
New Jersey Educational Facilities Authority, (Rowan University),
(AGM), (FGIC), 3.00%, 7/1/28 $ 825 $ 678,125
$ 678,125
Insured – Gas
Utilities — 8.1%
New Jersey Economic Development Authority, (New Jersey Natural
Gas Co.), (FGIC), (NPFG), (AMT), 4.90%,to 10/1/25 (Put Date),
10/1/40 $ 4,775 $ 4,863,290
$ 4,863,290
Insured – General
Obligations — 2.3%
Lakewood Township, (AGC), 5.75%, 11/1/31 $ 1,240 $ 1,375,346
$ 1,375,346
Insured –
Hospital — 6.7%
New Jersey Health Care Facilities Financing Authority,
(Hackensack University Medical Center), (AGC),
5.25%, 1/1/36 (1) $ 750 $ 756,817
New Jersey Health Care Facilities Financing Authority, (Meridian
Health Center), Series II, (AGC), 5.00%, 7/1/38 1,420 1,394,099
New Jersey Health Care Facilities Financing Authority, (Meridian
Health Center), Series V, (AGC),
5.00%, 7/1/38 (1) 500 490,880
New Jersey Health Care Facilities Financing Authority, (Virtua
Health), (AGC), 5.50%, 7/1/38 1,380 1,413,838
$ 4,055,634
Insured –
Housing — 5.4%
New Jersey Housing and Mortgage Finance Agency, (Multi-Family
Housing), (AGM), (AMT), 5.05%, 5/1/34 $ 3,390 $ 3,282,537
$ 3,282,537
Insured – Lease
Revenue / Certificates of
Participation — 4.4%
New Jersey Economic Development Authority, (School Facilities
Construction), (AGC), 5.50%, 12/15/34 $ 1,500 $ 1,559,475
New Jersey Economic Development Authority, (School Facilities
Construction), (FGIC), (NPFG), 5.50%, 9/1/28 1,000 1,072,270
$ 2,631,745
Insured – Other
Revenue — 1.7%
Hudson County Improvement Authority, (Harrison Parking), (AGC),
5.25%, 1/1/39 $ 1,015 $ 1,049,896
$ 1,049,896
Insured – Special Tax
Revenue — 11.7%
Garden State Preservation Trust, (AGM), 0.00%, 11/1/25 $ 6,000 $ 3,050,760
New Jersey Economic Development Authority, (Motor Vehicle
Surcharges), (XLCA), 0.00%, 7/1/26 4,315 1,878,578
New Jersey Economic Development Authority, (Motor Vehicle
Surcharges), (XLCA), 0.00%, 7/1/27 2,020 818,060
Puerto Rico Sales Tax Financing Corp., (AMBAC),
0.00%, 8/1/54 7,185 395,750
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/45 5,445 571,616
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/46 3,425 334,657
$ 7,049,421
Insured – Student
Loan — 4.1%
New Jersey Higher Education Student Assistance Authority, (AGC),
(AMT), 6.125%, 6/1/30 $ 2,385 $ 2,498,120
$ 2,498,120
Insured –
Transportation — 4.1%
New Jersey Transportation Trust Fund Authority,
(Transportation System), (AMBAC), (BHAC), 0.00%, 12/15/26 $ 1,960 $ 877,394
New Jersey Transportation Trust Fund Authority,
(Transportation System), (BHAC), (FGIC), 0.00%, 12/15/31 4,000 1,249,040
South Jersey Transportation Authority, (AGC), 5.50%, 11/1/33 315 335,831
$ 2,462,265
Insured – Water and
Sewer — 3.2%
New Jersey Economic Development Authority, (United Water New
Jersey, Inc.), (AMBAC), (AMT), 4.875%, 11/1/25 $ 1,940 $ 1,952,862
$ 1,952,862

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Security Principal Amount — (000’s omitted) Value
Lease
Revenue / Certificates of
Participation — 5.5%
New Jersey Economic Development Authority, (School Facilities
Construction), 5.25%, 12/15/33 $ 1,500 $ 1,530,015
New Jersey Health Care Facilities Financing Authority, (Hospital
Asset Transformation Program), 5.25%, 10/1/38 1,760 1,759,859
$ 3,289,874
Other Revenue — 7.1%
Children’s Trust Fund, PR, Tobacco Settlement,
0.00%, 5/15/50 $ 7,200 $ 240,408
Children’s Trust Fund, PR, Tobacco Settlement,
0.00%, 5/15/55 13,280 209,160
New Jersey Economic Development Authority, (Duke Farms
Foundation), 5.00%, 7/1/48 (1) 2,700 2,754,567
Port Authority of New York and New Jersey, (JFK International
Air Terminal LLC), 6.00%, 12/1/42 500 499,720
Tobacco Settlement Financing Corp., 5.00%, 6/1/41 900 576,126
$ 4,279,981
Senior Living / Life
Care — 3.0%
New Jersey Economic Development Authority, (Cranes Mill, Inc.),
5.875%, 7/1/28 $ 465 $ 444,005
New Jersey Economic Development Authority, (Cranes Mill, Inc.),
6.00%, 7/1/38 770 712,920
New Jersey Economic Development Authority, (Seabrook Village),
5.25%, 11/15/36 815 644,958
$ 1,801,883
Special Tax
Revenue — 2.1%
New Jersey Economic Development Authority, (Newark Downtown
District Management Corp.), 5.125%, 6/15/27 $ 100 $ 91,934
New Jersey Economic Development Authority, (Newark Downtown
District Management Corp.), 5.125%, 6/15/37 175 148,256
Puerto Rico Sales Tax Financing Corp., 5.75%, 8/1/37 500 505,535
Virgin Islands Public Finance Authority, 6.75%, 10/1/37 500 524,055
$ 1,269,780
Student Loan — 4.1%
New Jersey Higher Education Student Assistance Authority, (AMT),
Variable Rate,
1.261%, 6/1/36 (1)(3)(4) $ 2,500 $ 2,440,875
$ 2,440,875
Transportation — 17.2%
Delaware River Port Authority of Pennsylvania and New Jersey,
5.00%, 1/1/35 $ 1,060 $ 1,065,470
Delaware River Port Authority of Pennsylvania and New Jersey,
5.00%, 1/1/40 1,080 1,080,324
New Jersey Transportation Trust Fund Authority,
(Transportation System), 5.875%, 12/15/38 250 262,075
New Jersey Transportation Trust Fund Authority,
(Transportation System), 6.00%, 12/15/38 530 567,227
New Jersey Turnpike Authority, 5.25%, 1/1/40 3,600 3,666,312
Port Authority of New York and New Jersey, 4.50%, 11/1/33 480 477,634
Port Authority of New York and New Jersey, (AMT),
5.75%, 3/15/35 (1) 1,995 2,072,166
South Jersey Port Authority, (Marine Terminal),
5.10%, 1/1/33 1,175 1,176,986
$ 10,368,194
Total Tax-Exempt
Investments — 166.0%
(identified cost $101,184,794) $ 100,113,772
Auction Preferred Shares Plus
Cumulative
Unpaid Dividends — (55.4)% $ (33,425,836 )
Other Assets, Less
Liabilities — (10.6)% $ (6,388,407 )
Net Assets Applicable to Common
Shares — 100.0% $ 60,299,529

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

AGC - Assured Guaranty Corp.
AGM - Assured Guaranty Municipal Corp.
AMBAC - AMBAC Financial Group, Inc.
AMT - Interest earned from these securities may be considered a
tax preference item for purposes of the Federal Alternative
Minimum Tax.
BHAC - Berkshire Hathaway Assurance Corp.
FGIC - Financial Guaranty Insurance Company
NPFG - National Public Finance Guaranty Corp.
XLCA - XL Capital Assurance, Inc.

The Trust invests primarily in debt securities issued by New Jersey 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 May 31, 2011, 31.9% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution ranged from 2.1% to 10.9% of total investments.

(1) Security represents the municipal bond held by a trust that issues residual interest bonds (see Note 1H).

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| (2) | Security (or a portion thereof) has been pledged to cover margin
requirements on open financial futures contracts. |
| --- | --- |
| (3) | Variable rate security. The stated interest rate represents the
rate in effect at May 31, 2011. |
| (4) | Security (or a portion thereof) has been pledged as collateral
for residual interest bond transactions. The aggregate value of
such collateral is $440,875. |

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New York Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited)

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Tax-Exempt Investments — 171.8%
Principal Amount
Security (000’s omitted) Value
Cogeneration — 1.5%
Suffolk County Industrial Development Agency, (Nissequogue
Cogeneration Partners Facility), (AMT), 5.50%, 1/1/23 $ 1,150 $ 1,020,832
$ 1,020,832
Education — 26.3%
Geneva Industrial Development Agency, (Hobart &
William Smith Project), 5.375%, 2/1/33 $ 315 $ 317,095
New York City Cultural Resource Trust, (The Juilliard School),
5.00%, 1/1/34 1,490 1,541,718
New York City Cultural Resource Trust, (The Juilliard School),
5.00%, 1/1/39 325 333,125
New York Dormitory Authority, (Brooklyn Law School),
5.75%, 7/1/33 510 546,001
New York Dormitory Authority, (Columbia University),
5.00%, 7/1/38 (1) 1,000 1,043,870
New York Dormitory Authority, (Columbia University),
5.00%, 10/1/41 725 765,005
New York Dormitory Authority, (Cornell University),
5.00%, 7/1/34 510 534,317
New York Dormitory Authority, (Cornell University),
5.00%, 7/1/39 2,000 2,077,360
New York Dormitory Authority, (Fordham University),
5.50%, 7/1/36 1,000 1,039,580
New York Dormitory Authority, (Rochester Institute of
Technology), 6.00%, 7/1/33 2,250 2,426,512
New York Dormitory Authority, (Rockefeller University),
5.00%, 7/1/40 2,500 2,579,550
New York Dormitory Authority, (Skidmore College),
5.00%, 7/1/27 325 344,399
New York Dormitory Authority, (Skidmore College),
5.25%, 7/1/29 400 424,920
New York Dormitory Authority, (St. Francis College),
5.00%, 10/1/40 1,495 1,481,261
New York Dormitory Authority, (The New School),
5.50%, 7/1/40 2,000 2,058,220
Onondaga Civic Development Corp., (Le Moyne College),
5.20%, 7/1/29 280 273,258
Onondaga Civic Development Corp., (Le Moyne College),
5.375%, 7/1/40 735 697,236
$ 18,483,427
Electric
Utilities — 4.5%
Long Island Power Authority, Electric System Revenue,
6.00%, 5/1/33 $ 1,420 $ 1,559,984
Suffolk County Industrial Development Agency, (Keyspan-Port
Jefferson), (AMT), 5.25%, 6/1/27 1,645 1,620,522
$ 3,180,506
General
Obligations — 16.3%
New York,
5.00%, 2/15/34 (2) $ 4,000 $ 4,224,880
New York City,
5.25%, 9/15/33 (2) 6,000 6,076,200
New York City, 6.25%, 10/15/28 1,000 1,142,310
$ 11,443,390
Health Care –
Miscellaneous — 2.8%
New York City Industrial Development Agency, (A Very Special
Place, Inc.), 5.75%, 1/1/29 $ 1,115 $ 903,663
New York City Industrial Development Agency, (Ohel
Children’s Home), 6.25%, 8/15/22 1,200 914,712
Suffolk County Industrial Development Agency, (Alliance of Long
Island Agencies), Series A, Class H, 7.50%, 9/1/15 50 50,704
Suffolk County Industrial Development Agency, (Alliance of Long
Island Agencies), Series A, Class I, 7.50%, 9/1/15 100 101,408
$ 1,970,487
Hospital — 23.7%
Dutchess County Local Development Corp., (Health Quest Systems,
Inc.), 5.75%, 7/1/30 $ 130 $ 133,507
Dutchess County Local Development Corp., (Health Quest Systems,
Inc.), 5.75%, 7/1/40 960 962,640
Fulton County Industrial Development Agency, (Nathan Littauer
Hospital), 6.00%, 11/1/18 1,165 1,104,839
Monroe County Industrial Development Agency, (Highland
Hospital), 5.00%, 8/1/25 2,490 2,469,383
Nassau County Industrial Development Agency, (North Shore Health
System), 6.25%, 11/1/21 400 402,820
New York Dormitory Authority, (Lenox Hill Hospital),
5.50%, 7/1/30 1,500 1,491,165
New York Dormitory Authority, (Methodist Hospital),
5.25%, 7/1/33 2,000 1,909,380
New York Dormitory Authority, (Mount Sinai Hospital),
5.00%, 7/1/26 1,000 1,019,710
New York Dormitory Authority, (North Shore-Long Island Jewish
Obligated Group), 5.00%, 11/1/34 845 810,093
New York Dormitory Authority, (NYU Hospital Center),
5.625%, 7/1/37 1,250 1,254,712

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Security Principal Amount — (000’s omitted) Value
Hospital (continued)
New York Dormitory Authority, (Orange Regional Medical Center),
6.125%, 12/1/29 $ 415 $ 392,723
New York Dormitory Authority, (Orange Regional Medical Center),
6.25%, 12/1/37 835 780,391
Oneida County Industrial Development Agency,
(St. Elizabeth’s Medical Center), 5.75%, 12/1/19 1,250 1,194,612
Saratoga County Industrial Development Agency, (Saratoga
Hospital), 5.25%, 12/1/32 650 604,884
Suffolk County Industrial Development Agency, (Huntington
Hospital), 6.00%, 11/1/22 2,105 2,146,911
$ 16,677,770
Housing — 16.7%
New York City Housing Development Corp., MFMR, (AMT),
5.05%, 11/1/39 $ 1,500 $ 1,412,700
New York City Housing Development Corp., MFMR, (AMT),
5.20%, 11/1/40 2,620 2,535,584
New York Housing Finance Agency, 5.25%, 11/1/41 1,000 1,003,290
New York Housing Finance Agency, (FNMA), (AMT),
5.40%, 11/15/42 2,625 2,605,286
New York Mortgage Agency, (AMT), 4.875%, 10/1/30 1,500 1,430,340
New York Mortgage Agency, (AMT), 4.90%, 10/1/37 1,930 1,795,093
New York Mortgage Agency, (AMT), 5.125%, 10/1/37 1,000 965,600
$ 11,747,893
Industrial Development
Revenue — 9.3%
Essex County Industrial Development Agency, (International Paper
Company), (AMT), 6.625%, 9/1/32 $ 1,000 $ 1,046,040
New York City Industrial Development Agency, (American Airlines,
Inc. - JFK International Airport), (AMT), 8.00%, 8/1/12 1,500 1,549,080
New York Liberty Development Corp., (Goldman Sachs Group, Inc.),
5.25%, 10/1/35 1,000 1,001,290
Onondaga County Industrial Development Agency, (Anheuser-Busch
Cos., Inc.), (AMT), 6.25%, 12/1/34 2,500 2,501,900
Port Authority of New York and New Jersey, (Continental
Airlines), (AMT), 9.125%, 12/1/15 430 434,816
$ 6,533,126
Insured –
Education — 6.3%
New York Dormitory Authority, (City University), (AMBAC),
5.50%, 7/1/35 $ 1,250 $ 1,203,950
New York Dormitory Authority, (State University), (BHAC),
5.00%, 7/1/38 (2) 1,500 1,538,145
Oneida County Industrial Development Agency, (Hamilton College),
(NPFG), 0.00%, 7/1/33 5,365 1,667,603
$ 4,409,698
Insured – Electric
Utilities — 2.1%
Long Island Power Authority, Electric System Revenue, (BHAC),
5.75%, 4/1/33 $ 1,365 $ 1,497,746
$ 1,497,746
Insured –
Escrowed / Prerefunded — 1.7%
New York Dormitory Authority, (Memorial Sloan-Kettering Cancer
Center), (NPFG), Escrowed to Maturity, 0.00%, 7/1/26 $ 855 $ 491,095
New York Dormitory Authority, (Memorial Sloan-Kettering Cancer
Center), (NPFG), Escrowed to Maturity, 0.00%, 7/1/27 1,280 694,272
$ 1,185,367
Insured – Lease
Revenue / Certificates of
Participation — 3.7%
Hudson Yards Infrastructure Corp., (NPFG), 4.50%, 2/15/47 $ 3,135 $ 2,626,503
$ 2,626,503
Insured – Other
Revenue — 2.7%
New York City Industrial Development Agency, (Yankee Stadium),
(AGC), 0.00%, 3/1/31 $ 2,645 $ 835,635
New York City Industrial Development Agency, (Yankee Stadium),
(AGC), 0.00%, 3/1/32 3,625 1,071,659
$ 1,907,294
Insured – Special Tax
Revenue — 5.6%
New York Convention Center Development Corp., Hotel Occupancy
Tax, (AMBAC), 4.75%, 11/15/45 $ 995 $ 908,017
Puerto Rico Infrastructure Financing Authority, (AMBAC),
0.00%, 7/1/34 4,440 859,984
Puerto Rico Sales Tax Financing Corp., (AMBAC),
0.00%, 8/1/54 19,745 1,087,554

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Security Principal Amount — (000’s omitted) Value
Insured – Special Tax
Revenue (continued)
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/45 $ 6,705 $ 703,891
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/46 4,225 412,825
$ 3,972,271
Insured –
Transportation — 2.8%
Metropolitan Transportation Authority, (AGC),
4.50%, 11/15/38 $ 590 $ 559,261
Niagara Frontier Airport Authority, (Buffalo Niagara
International Airport), (NPFG), (AMT), 5.625%, 4/1/29 1,475 1,422,623
$ 1,981,884
Insured – Water and
Sewer — 1.3%
Nassau County Industrial Development Agency, (Water Services
Corp.), (AMBAC), (AMT), 5.00%, 12/1/35 $ 1,000 $ 897,860
$ 897,860
Lease
Revenue / Certificates of
Participation — 4.0%
New York City Transitional Finance Authority, (Building Aid),
4.50%, 1/15/38 $ 1,875 $ 1,765,350
New York City Transitional Finance Authority, (Building Aid),
5.50%, 7/15/31 1,000 1,066,890
$ 2,832,240
Other Revenue — 5.0%
Albany Industrial Development Agency, Civic Facility,
(Charitable Leadership), 5.75%, 7/1/26 $ 1,285 $ 816,489
Brooklyn Arena Local Development Corp., (Barclays Center),
0.00%, 7/15/31 3,120 875,691
Brooklyn Arena Local Development Corp., (Barclays Center),
6.25%, 7/15/40 380 382,356
New York City Cultural Resource Trust, (Museum of Modern Art),
5.00%, 4/1/31 1,415 1,474,388
$ 3,548,924
Senior Living / Life
Care — 2.8%
Mount Vernon Industrial Development Agency, (Wartburg Senior
Housing, Inc.), 6.20%, 6/1/29 $ 1,450 $ 1,273,216
Suffolk County Economic Development Corp., (Peconic Landing at
Southold, Inc.), 6.00%, 12/1/40 665 667,387
$ 1,940,603
Special Tax
Revenue — 9.0%
Metropolitan Transportation Authority, Dedicated Tax Revenue,
5.00%, 11/15/34 $ 1,500 $ 1,529,490
New York City Transitional Finance Authority, Future Tax
Revenue,
5.50%, 11/1/35 (2)(3) 2,100 2,285,724
New York Dormitory Authority, Personal Income Tax Revenue,
(University & College Improvements),
5.25%, 3/15/38 1,000 1,044,410
New York Urban Development Corp., Personal Income Tax Revenue,
5.00%, 3/15/32 900 930,294
Virgin Islands Public Finance Authority, 6.75%, 10/1/37 545 571,220
$ 6,361,138
Transportation — 10.7%
Metropolitan Transportation Authority, 5.00%, 11/15/37 $ 790 $ 773,521
Port Authority of New York and New Jersey,
5.00%, 11/15/37 (2) 1,900 1,943,586
Port Authority of New York and New Jersey, (AMT),
4.75%, 6/15/33 960 920,592
Port Authority of New York and New Jersey, (AMT),
5.75%, 3/15/35 (2) 990 1,028,293
Triborough Bridge and Tunnel Authority, 5.25%, 11/15/34 10 10,467
Triborough Bridge and Tunnel Authority,
5.25%, 11/15/34 (2) 2,740 2,867,985
$ 7,544,444
Water and
Sewer — 13.0%
Dutchess County Water and Wastewater Authority,
0.00%, 10/1/34 $ 585 $ 184,591
Dutchess County Water and Wastewater Authority,
0.00%, 10/1/35 325 95,999
New York City Municipal Water Finance Authority, (Water and
Sewer System),
5.75%, 6/15/40 (2) 3,105 3,392,647
New York Environmental Facilities Corp., 5.00%, 10/15/39 1,730 1,808,715

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May 31, 2011

Portfolio of Investments (Unaudited) — continued

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Security Principal Amount — (000’s omitted) Value
Water and Sewer (continued)
New York Environmental Facilities Corp., Clean Water and
Drinking Water, (Municipal Water Finance),
5.00%, 6/15/37 (2) $ 2,535 $ 2,633,155
Saratoga County Water Authority, 5.00%, 9/1/48 1,000 1,010,160
$ 9,125,267
Total Tax-Exempt
Investments — 171.8%
(identified cost $122,256,323) $ 120,888,670
Auction Preferred Shares Plus
Cumulative
Unpaid
Dividends — (47.9)% $ (33,726,407 )
Other Assets, Less
Liabilities — (23.9)% $ (16,814,127 )
Net Assets Applicable to Common
Shares — 100.0% $ 70,348,136

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

AGC - Assured Guaranty Corp.
AMBAC - AMBAC Financial Group, Inc.
AMT - Interest earned from these securities may be considered a
tax preference item for purposes of the Federal Alternative
Minimum Tax.
BHAC - Berkshire Hathaway Assurance Corp.
FNMA - Federal National Mortgage Association
MFMR - Multi-Family Mortgage Revenue
NPFG - National Public Finance Guaranty Corp.

The Trust invests primarily in debt securities issued by New York 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 May 31, 2011, 15.3% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution ranged from 2.0% to 6.6% of total investments.

| (1) | Security (or a portion thereof) has been pledged to cover margin
requirements on open financial futures contracts. |
| --- | --- |
| (2) | Security represents the municipal bond held by a trust that
issues residual interest bonds (see Note 1H). |
| (3) | Security (or a portion thereof) has been pledged as collateral
for residual interest bond transactions. The aggregate value of
such collateral is $710,724. |

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Ohio Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited)

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Tax-Exempt Investments — 158.5%
Principal Amount
Security (000’s omitted) Value
Bond Bank — 11.3%
Ohio Economic Development Commission, (Ohio Enterprise Bond
Fund), (AMT), 4.85%, 6/1/25 $ 550 $ 559,086
Ohio Economic Development Commission, (Ohio Enterprise Bond
Fund), (AMT), 5.85%, 12/1/22 1,020 1,059,117
Rickenbacker Port Authority, Oasbo Expanded Asset Pool Loan,
5.375%, 1/1/32 1,245 1,260,463
Summit County Port Authority, (Twinsburg Township),
5.125%, 5/15/25 295 254,369
Toledo-Lucas County Port Authority, 5.40%, 5/15/19 1,100 980,694
$ 4,113,729
Education — 15.2%
Ohio Higher Educational Facility Commission, (Kenyon College),
5.00%, 7/1/44 $ 500 $ 472,230
Ohio Higher Educational Facility Commission, (Kenyon College),
5.25%, 7/1/44 1,250 1,228,750
Ohio Higher Educational Facility Commission, (University of
Dayton), 5.50%, 12/1/36 1,000 1,016,880
Ohio State University, 5.00%, 12/1/28 500 544,350
Ohio State University, 5.00%, 12/1/30 1,675 1,802,233
University of Cincinnati, 5.00%, 6/1/34 500 500,185
$ 5,564,628
Electric
Utilities — 2.1%
Clyde, Electric System Revenue, (AMT), 6.00%, 11/15/14 $ 255 $ 254,985
Ohio Air Quality Development Authority, (Buckeye Power, Inc.),
6.00%, 12/1/40 500 506,680
$ 761,665
Escrowed / Prerefunded — 2.8%
Mahoning County, (Career and Technical Center), Prerefunded to
12/1/11, 6.25%, 12/1/36 $ 1,000 $ 1,029,010
$ 1,029,010
General
Obligations — 22.5%
Barberton City School District, 4.50%, 12/1/33 $ 1,000 $ 957,540
Beavercreek City School District, 5.00%, 12/1/30 1,750 1,842,470
Central Ohio Solid Waste Authority, 5.125%, 9/1/27 1,090 1,158,332
Columbus,
5.00%, 7/1/23 (1) 500 528,170
Columbus City School District, 5.00%, 12/1/29 1,000 1,059,990
Huber Heights City School District, 4.75%, 12/1/25 595 617,158
Maple Heights City School District, 5.00%, 1/15/37 1,000 1,012,400
Symmes Township, Hamilton County, (Parkland
Acquisition & Improvement), 5.25%, 12/1/37 1,000 1,066,620
$ 8,242,680
Hospital — 13.9%
Franklin County, (Nationwide Children’s Hospital),
5.00%, 11/1/34 $ 800 $ 785,880
Hancock County, (Blanchard Valley Regional Health Center),
6.25%, 12/1/34 750 756,097
Miami County, (Upper Valley Medical Center), 5.25%, 5/15/26 500 500,635
Montgomery County, (Catholic Health Initiatives),
5.50%, 5/1/34 500 514,180
Ohio Higher Educational Facility Commission, (Cleveland Clinic
Health System), 5.50%, 1/1/39 1,000 1,019,810
Ohio Higher Educational Facility Commission, (Summa Health
System), 5.75%, 11/15/40 600 559,812
Ohio Higher Educational Facility Commission, (University
Hospitals Health System, Inc.), 4.75%, 1/15/46 730 599,323
Richland County Hospital Facilities, (MedCentral Health
Systems), 6.375%, 11/15/22 330 333,739
$ 5,069,476
Housing — 11.0%
Ohio Housing Finance Agency, (Residential Mortgage-Backed
Securities), (AMT), 4.625%, 9/1/27 $ 965 $ 902,545
Ohio Housing Finance Agency, (Residential Mortgage-Backed
Securities), (AMT), 4.75%, 3/1/37 500 456,980
Ohio Housing Finance Agency, (Residential Mortgage-Backed
Securities), (AMT), 5.00%, 9/1/31 325 314,915
Ohio Housing Finance Agency, (Uptown Community Partners), (AMT),
5.25%, 4/20/48 2,500 2,362,850
$ 4,037,290
Industrial Development
Revenue — 8.5%
Cleveland Airport, (Continental Airlines), (AMT),
5.375%, 9/15/27 $ 750 $ 633,863
Ohio Water Development Authority, (Anheuser-Busch Cos., Inc.),
(AMT), 6.00%, 8/1/38 2,250 2,250,675
Ohio Water Development Authority, Solid Waste Disposal, (Allied
Waste North America, Inc.), (AMT), 5.15%, 7/15/15 225 229,646
$ 3,114,184

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Ohio Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited) — continued

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Security Principal Amount — (000’s omitted) Value
Insured –
Education — 13.3%
Hamilton County, (University Heights Community Urban Development
Corp.), (AGM), 5.00%, 6/1/30 $ 750 $ 772,185
Kent State University, (AGC), 5.00%, 5/1/26 1,000 1,050,280
Kent State University, (AGC), 5.00%, 5/1/29 465 478,294
Miami University, (AMBAC), 3.25%, 9/1/26 635 554,146
University of Akron, Series A, (AGM), 5.00%, 1/1/38 1,500 1,518,810
University of Akron, Series B, (AGM), 5.00%, 1/1/38 500 505,990
$ 4,879,705
Insured – Electric
Utilities — 13.2%
American Municipal Power-Ohio, Inc., (Prairie State Energy
Campus), (AGC), 5.75%, 2/15/39 $ 1,000 $ 1,038,000
Cleveland Public Power System, (NPFG), 0.00%, 11/15/27 710 289,346
Cleveland Public Power System, (NPFG), 0.00%, 11/15/38 2,000 391,020
Ohio Municipal Electric Generation Agency, (NPFG),
0.00%, 2/15/25 830 405,140
Ohio Municipal Electric Generation Agency, (NPFG),
0.00%, 2/15/26 3,000 1,364,460
Ohio Water Development Authority, (Dayton Power &
Light), (FGIC), 4.80%, 1/1/34 425 411,043
Puerto Rico Electric Power Authority, (FGIC), (NPFG),
5.25%, 7/1/30 210 205,777
Puerto Rico Electric Power Authority, (FGIC), (NPFG),
5.25%, 7/1/34 250 240,292
Puerto Rico Electric Power Authority, (NPFG), 5.25%, 7/1/26 500 500,235
$ 4,845,313
Insured – General
Obligations — 18.0%
Brookfield Local School District, (AGM), 5.00%, 1/15/30 $ 200 $ 205,950
Buckeye Valley Local School District, (AGC), 5.00%, 12/1/36 500 511,930
Canal Winchester Local School District, (NPFG),
0.00%, 12/1/30 2,455 872,875
Cincinnati City School District, (FGIC), (NPFG),
5.25%, 12/1/30 1,000 1,100,120
Madeira City School District, (AGM), 3.50%, 12/1/27 1,500 1,322,610
Milford Exempt Village School District, (AGC),
5.25%, 12/1/36 1,750 1,797,442
St. Marys City School District, (AGM), 5.00%, 12/1/35 750 757,718
$ 6,568,645
Insured –
Hospital — 6.3%
Hamilton County, (Cincinnati Children’s Hospital), (FGIC),
(NPFG), 5.00%, 5/15/32 $ 545 $ 455,408
Hamilton County, (Cincinnati Children’s Hospital), (FGIC),
(NPFG), 5.125%, 5/15/28 1,500 1,351,155
Lorain County, (Catholic Healthcare Partners), (AGM), Variable
Rate, 14.896%, 2/1/29 (2)(3)(4) 485 490,005
$ 2,296,568
Insured – Lease
Revenue / Certificates of
Participation — 1.1%
Summit County, (Civic Theater Project), (AMBAC),
5.00%, 12/1/33 $ 500 $ 399,965
$ 399,965
Insured – Special Tax
Revenue — 3.0%
Puerto Rico Sales Tax Financing Corp., (AMBAC),
0.00%, 8/1/54 $ 9,905 $ 545,568
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/45 3,340 350,633
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/46 2,100 205,191
$ 1,101,392
Insured –
Transportation — 6.2%
Ohio Turnpike Commission, (FGIC), (NPFG), 5.50%, 2/15/24 $ 1,000 $ 1,123,560
Ohio Turnpike Commission, (FGIC), (NPFG), 5.50%, 2/15/26 1,000 1,154,000
$ 2,277,560
Insured – Water and
Sewer — 2.2%
Marysville Wastewater Treatment System, (AGC), (XLCA),
4.75%, 12/1/46 $ 215 $ 201,546
Marysville Wastewater Treatment System, (AGC), (XLCA),
4.75%, 12/1/47 625 585,506
$ 787,052
Lease
Revenue / Certificates of
Participation — 1.4%
Franklin County Convention Facilities Authority,
5.00%, 12/1/27 $ 500 $ 525,885
$ 525,885

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May 31, 2011

Portfolio of Investments (Unaudited) — continued

Security Principal Amount — (000’s omitted) Value
Other Revenue — 3.8%
Buckeye Tobacco Settlement Financing Authority,
5.875%, 6/1/47 $ 710 $ 486,847
Riversouth Authority, (Lazarus Building Redevelopment),
5.75%, 12/1/27 1,000 893,630
$ 1,380,477
Special Tax
Revenue — 1.2%
Guam, Limited Obligation Bonds, 5.625%, 12/1/29 $ 155 $ 154,912
Guam, Limited Obligation Bonds, 5.75%, 12/1/34 170 170,226
Virgin Islands Public Finance Authority, 6.75%, 10/1/37 110 115,292
$ 440,430
Water and
Sewer — 1.5%
Ohio Water Development Authority, Water Pollution Control,
(Water Quality), 5.00%, 12/1/28 $ 250 $ 270,957
Ohio Water Development Authority, Water Pollution Control,
(Water Quality), 5.00%, 6/1/30 250 267,400
$ 538,357
Total Tax-Exempt
Investments — 158.5%
(identified cost $58,960,576) $ 57,974,011
Auction Preferred Shares Plus
Cumulative
Unpaid
Dividends — (62.1)% $ (22,726,328 )
Other Assets, Less
Liabilities — 3.6% $ 1,333,288
Net Assets Applicable to Common
Shares — 100.0% $ 36,580,971

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

AGC - Assured Guaranty Corp.
AGM - Assured Guaranty Municipal Corp.
AMBAC - AMBAC Financial Group, Inc.
AMT - Interest earned from these securities may be considered a
tax preference item for purposes of the Federal Alternative
Minimum Tax.
FGIC - Financial Guaranty Insurance Company
NPFG - National Public Finance Guaranty Corp.
XLCA - XL Capital Assurance, Inc.

The Trust invests primarily in debt securities issued by Ohio 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 May 31, 2011, 39.9% of total investments are backed by bond insurance of

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various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution ranged from 1.4% to 17.3% of total investments.

| (1) | Security (or a portion thereof) has been pledged to cover margin
requirements on open financial futures contracts. |
| --- | --- |
| (2) | Security exempt from registration pursuant to Rule 144A
under the Securities Act of 1933. These securities may be sold
in certain transactions (normally to qualified institutional
buyers) and remain exempt from registration. At May 31,
2011, the aggregate value of these securities is $490,005 or
1.3% of the Trust’s net assets applicable to common shares. |
| (3) | Security is subject to a shortfall agreement which may require
the Trust to pay amounts to a counterparty in the event of a
significant decline in the market value of the security held by
the trust that issued the residual interest bond. In case of a
shortfall, the maximum potential amount of payments the Trust
could ultimately be required to make under the agreement is
$1,455,000. However, such shortfall payment would be reduced by
the proceeds from the sale of the security held by the trust
that issued the residual interest bond. |
| (4) | Security has been issued as a leveraged residual interest bond.
The stated interest rate represents the rate in effect at
May 31, 2011. |

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Pennsylvania Municipal Income Trust

May 31, 2011

Portfolio of Investments (Unaudited)

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Tax-Exempt Investments — 159.9%
Principal Amount
Security (000’s omitted) Value
Bond Bank — 2.8%
Delaware Valley Regional Finance Authority, 5.75%, 7/1/32 $ 1,000 $ 1,012,790
$ 1,012,790
Cogeneration — 2.3%
Pennsylvania Economic Development Financing Authority,
(Northampton Generating), (AMT), 6.50%, 1/1/13 $ 100 $ 65,838
Pennsylvania Economic Development Financing Authority,
(Northampton Generating), (AMT), 6.60%, 1/1/19 500 278,120
Pennsylvania Economic Development Financing Authority, (Resource
Recovery-Colver), (AMT), 5.125%, 12/1/15 475 460,237
$ 804,195
Education — 17.8%
Allegheny County Higher Education Building Authority, (Duquesne
University), 5.50%, 3/1/31 $ 1,050 $ 1,099,948
Bucks County Industrial Development Authority, (George School),
5.00%, 9/15/39 500 513,795
Cumberland County Municipal Authority, (Dickinson College),
5.00%, 11/1/39 1,200 1,208,724
Northampton County General Purpose Authority, (Lehigh
University), 5.00%, 11/15/39 500 511,350
Pennsylvania Higher Educational Facilities Authority, (Saint
Joseph’s University), 5.00%, 11/1/40 625 597,638
Pennsylvania Higher Educational Facilities Authority, (Thomas
Jefferson University), 5.00%, 3/1/40 625 625,169
Pennsylvania State University, 5.00%, 3/1/40 500 518,435
State Public School Building Authority, (Northampton County Area
Community College), 5.50%, 3/1/31 750 771,885
Washington County Industrial Development Authority, (Washington
and Jefferson College), 5.25%, 11/1/30 500 513,770
$ 6,360,714
Electric
Utilities — 1.7%
York County Industrial Development Authority, Pollution Control
Revenue, (Public Service Enterprise Group, Inc.),
5.50%, 9/1/20 $ 600 $ 610,980
$ 610,980
Escrowed / Prerefunded — 1.8%
Bucks County Industrial Development Authority, (Pennswood
Village), Prerefunded to 10/1/12, 6.00%, 10/1/27 $ 600 $ 649,038
$ 649,038
General
Obligations — 7.4%
Chester County,
5.00%, 7/15/27 (1) $ 500 $ 552,790
Daniel Boone Area School District, 5.00%, 8/15/32 1,000 1,025,150
Philadelphia School District, 6.00%, 9/1/38 1,000 1,050,490
$ 2,628,430
Hospital — 22.5%
Allegheny County Hospital Development Authority, (University of
Pittsburgh Medical Center), 5.50%, 8/15/34 $ 500 $ 507,870
Chester County Health and Education Facilities Authority,
(Jefferson Health System), 5.00%, 5/15/40 750 721,155
Dauphin County General Authority, (Pinnacle Health System),
6.00%, 6/1/29 750 760,447
Lehigh County General Purpose Authority, (Lehigh Valley Health
Network), 5.25%, 7/1/32 1,215 1,218,475
Lycoming County Authority, (Susquehanna Health System),
5.75%, 7/1/39 750 695,017
Monroe County Hospital Authority, (Pocono Medical Center),
5.25%, 1/1/43 1,500 1,377,015
Northampton County General Purpose Authority, (Saint Luke’s
Hospital), 5.50%, 8/15/33 250 232,148
Pennsylvania Higher Educational Facilities Authority,
(University of Pennsylvania Health System),
6.00%, 8/15/26 (2) 1,000 1,101,700
Pennsylvania Higher Educational Facilities Authority, (UPMC
Health System), 5.00%, 5/15/31 675 669,094
South Fork Municipal Authority, (Conemaugh Health System),
5.50%, 7/1/29 250 241,925
Washington County Hospital Authority, (Monongahela Hospital),
5.50%, 6/1/17 500 514,225
$ 8,039,071
Housing — 16.6%
Allegheny County Residential Finance Authority, SFMR, (AMT),
4.95%, 11/1/37 $ 460 $ 432,874
Allegheny County Residential Finance Authority, SFMR, (AMT),
5.00%, 5/1/35 1,115 1,081,661
Pennsylvania Housing Finance Agency, SFMR, (AMT),
4.70%, 10/1/37 875 804,352

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May 31, 2011

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Security Principal Amount — (000’s omitted) Value
Housing (continued)
Pennsylvania Housing Finance Agency, SFMR, (AMT),
4.75%, 10/1/25 $ 500 $ 488,785
Pennsylvania Housing Finance Agency, SFMR, (AMT),
4.875%, 4/1/26 910 896,250
Pennsylvania Housing Finance Agency, SFMR, (AMT),
4.875%, 10/1/31 500 476,700
Pennsylvania Housing Finance Agency, SFMR, (AMT),
4.90%, 10/1/37 975 923,871
Pennsylvania Housing Finance Agency, SFMR, (AMT),
5.15%, 10/1/37 870 839,559
$ 5,944,052
Industrial Development
Revenue — 10.6%
Luzerne County Industrial Development Authority, (Pennsylvania-American Water Co.), 5.50%, 12/1/39 $ 200 $ 201,146
Montgomery County Industrial Development Authority, (Aqua
Pennsylvania, Inc.), (AMT), 5.25%, 7/1/42 750 725,977
Pennsylvania Economic Development Financing Authority, (Pennsylvania-American Water Co.), 6.20%, 4/1/39 250 266,725
Pennsylvania Economic Development Financing Authority,
(Procter & Gamble Paper Products Co.), (AMT),
5.375%, 3/1/31 1,000 1,038,330
Pennsylvania Economic Development Financing Authority, (Waste
Management, Inc.), (AMT), 5.10%, 10/1/27 500 481,560
Puerto Rico Port Authority, (American Airlines, Inc.), (AMT),
6.25%, 6/1/26 1,325 1,073,926
$ 3,787,664
Insured –
Education — 12.5%
Lycoming County Authority, (Pennsylvania College of Technology),
(AGC), 5.50%, 10/1/37 $ 500 $ 512,105
Lycoming County Authority, (Pennsylvania College of Technology),
(AMBAC), 5.25%, 5/1/32 1,675 1,574,734
Pennsylvania Higher Educational Facilities Authority, (Drexel
University), (NPFG), 5.00%, 5/1/37 1,115 1,109,336
State Public School Building Authority, (Delaware County
Community College), (AGM), 5.00%, 10/1/29 375 387,574
State Public School Building Authority, (Delaware County
Community College), (AGM), 5.00%, 10/1/32 875 890,899
$ 4,474,648
Insured –
Escrowed / Prerefunded — 9.0%
Pennsylvania Turnpike Commission, Oil Franchise Tax, (AMBAC),
Escrowed to Maturity, 4.75%, 12/1/27 $ 1,600 $ 1,615,904
Westmoreland Municipal Authority, (FGIC), Escrowed to Maturity,
0.00%, 8/15/19 2,000 1,598,180
$ 3,214,084
Insured – General
Obligations — 4.6%
Beaver County, (AGM), 5.55%, 11/15/31 $ 500 $ 528,115
Bethlehem Area School District, (AGM), 5.25%, 1/15/25 750 796,680
West Mifflin Area School District, (AGM), 5.125%, 4/1/31 300 311,679
$ 1,636,474
Insured –
Hospital — 11.0%
Allegheny County Hospital Development Authority, (UPMC Health
System), (NPFG), 6.00%, 7/1/24 $ 250 $ 293,275
Delaware County General Authority, (Catholic Health East),
(AMBAC), 4.875%, 11/15/26 355 354,979
Lehigh County General Purpose Authority, (Lehigh Valley Health
Network), (AGM), 5.00%, 7/1/35 1,440 1,401,595
Montgomery County Higher Education and Health Authority,
(Abington Memorial Hospital), (AMBAC), 5.00%, 6/1/28 1,900 1,884,971
$ 3,934,820
Insured – Lease
Revenue / Certificates of
Participation — 4.9%
Commonwealth Financing Authority, (AGC), 5.00%, 6/1/31 $ 500 $ 512,420
Philadelphia Authority for Industrial Development, (One Benjamin
Franklin), (AGM), 4.75%, 2/15/27 1,195 1,222,127
$ 1,734,547
Insured – Special Tax
Revenue — 3.1%
Puerto Rico Sales Tax Financing Corp., (AMBAC),
0.00%, 8/1/54 $ 9,870 $ 543,640
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/45 3,350 351,683
Puerto Rico Sales Tax Financing Corp., (NPFG), 0.00%, 8/1/46 2,100 205,191
$ 1,100,514

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Security Principal Amount — (000’s omitted) Value
Insured –
Transportation — 9.0%
Philadelphia, Airport Revenue, (AGM), (AMT), 5.00%, 6/15/27 $ 500 $ 492,135
Philadelphia Parking Authority, (AMBAC), 5.25%, 2/15/29 1,005 1,005,261
Puerto Rico Highway and Transportation Authority, (AGC), (CIFG),
5.25%, 7/1/41 (2) 1,800 1,711,278
$ 3,208,674
Insured – Water and
Sewer — 3.9%
Bucks County Water and Sewer Authority, (AGM),
5.00%, 12/1/35 $ 500 $ 511,965
Delaware County Industrial Development Authority, (Aqua
Pennsylvania, Inc.), (FGIC), (NPFG), (AMT), 5.00%, 11/1/36 525 511,345
Philadelphia, Water and Wastewater Revenue, (FGIC), (NPFG),
5.00%, 11/1/31 360 361,083
$ 1,384,393
Senior Living / Life
Care — 3.9%
Cliff House Trust, (AMT),
6.625%, 6/1/27 (3) $ 1,000 $ 524,080
Lancaster County Hospital Authority, (Willow Valley Retirement
Communities), 5.875%, 6/1/31 500 500,450
Montgomery County Industrial Development Authority, (Foulkeways
at Gwynedd), 5.00%, 12/1/24 200 194,642
Montgomery County Industrial Development Authority, (Foulkeways
at Gwynedd), 5.00%, 12/1/30 200 183,648
$ 1,402,820
Special Tax
Revenue — 0.3%
Virgin Islands Public Finance Authority, 6.75%, 10/1/37 $ 110 $ 115,292
$ 115,292
Transportation — 10.9%
Delaware River Port Authority of Pennsylvania and New Jersey,
5.00%, 1/1/35 $ 465 $ 467,399
Delaware River Port Authority of Pennsylvania and New Jersey,
5.00%, 1/1/40 285 285,086
Pennsylvania Economic Development Financing Authority, (Amtrak),
(AMT), 6.25%, 11/1/31 270 271,269
Pennsylvania Turnpike Commission, 5.25%, 6/1/39 1,000 993,470
Pennsylvania Turnpike Commission, 5.35%, (0.00% until 12/1/15),
12/1/30 1,430 1,103,016
Pennsylvania Turnpike Commission, 5.625%, 6/1/29 750 777,180
$ 3,897,420
Utilities — 1.6%
Philadelphia Gas Works, 5.25%, 8/1/40 $ 600 $ 577,020
$ 577,020
Water and
Sewer — 1.7%
Harrisburg Water Authority, 5.25%, 7/15/31 $ 750 $ 618,510
$ 618,510
Total Tax-Exempt
Investments — 159.9%
(identified cost $58,173,302) $ 57,136,150
Auction Preferred Shares Plus
Cumulative
Unpaid
Dividends — (59.2)% $ (21,175,177 )
Other Assets, Less
Liabilities — (0.7)% $ (219,238 )
Net Assets Applicable to Common
Shares — 100.0% $ 35,741,735

The percentage shown for each investment category in the Portfolio of Investments is based on net assets applicable to common shares.

AGC - Assured Guaranty Corp.
AGM - Assured Guaranty Municipal Corp.
AMBAC - AMBAC Financial Group, Inc.
AMT - Interest earned from these securities may be considered a
tax preference item for purposes of the Federal Alternative
Minimum Tax.
CIFG - CIFG Assurance North America, Inc.
FGIC - Financial Guaranty Insurance Company
NPFG - National Public Finance Guaranty Corp.
SFMR - Single Family Mortgage Revenue

The Trust 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 May 31, 2011, 36.2% of total investments are backed by bond insurance of various financial institutions and financial guaranty assurance agencies. The aggregate percentage insured by an individual financial institution ranged from 3.0% to 12.2% of total investments.

| (1) | Security (or a portion thereof) has been pledged to cover margin
requirements on open financial futures contracts. |
| --- | --- |
| (2) | Security represents the municipal bond held by a trust that
issues residual interest bonds (see Note 1H). |
| (3) | Security is in default and making only partial interest payments. |

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Statements of Assets and Liabilities (Unaudited)

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Assets May 31, 2011 — California Trust Massachusetts Trust Michigan Trust New Jersey Trust
Investments —
Identified cost $ 158,745,062 $ 61,079,163 $ 45,354,597 $ 101,184,794
Unrealized depreciation (5,255,950 ) (1,141,226 ) (1,418,421 ) (1,071,022 )
Investments, at value $ 153,489,112 $ 59,937,937 $ 43,936,176 $ 100,113,772
Cash $ 417,371 $ 773,940 $ 591,187 $ 3,622,267
Interest receivable 1,917,029 1,034,286 584,012 1,560,607
Receivable for investments sold 274,199 — — 14,992
Deferred debt issuance costs 30,191 3,507 — 3,779
Total assets $ 156,127,902 $ 61,749,670 $ 45,111,375 $ 105,315,417
Liabilities
Payable for floating rate notes issued $ 19,555,000 $ 4,885,000 $ — $ 11,255,000
Payable for when-issued securities — — 521,545 —
Payable for variation margin on open financial futures contracts 31,563 8,438 2,141 31,250
Payable for open swap contracts 92,711 97,250 10,867 168,931
Payable to affiliates:
Investment adviser fee 81,950 32,818 25,165 55,673
Administration fee 24,463 9,796 7,512 16,619
Trustees’ fees 863 393 320 608
Interest expense and fees payable 27,591 11,144 — 27,060
Accrued expenses 45,379 27,163 25,245 34,911
Total liabilities $ 19,859,520 $ 5,072,002 $ 592,795 $ 11,590,052
Auction preferred shares at liquidation value plus cumulative
unpaid dividends $ 49,976,249 $ 20,050,167 $ 17,500,876 $ 33,425,836
Net assets applicable to common shares $ 86,292,133 $ 36,627,501 $ 27,017,704 $ 60,299,529
Sources of Net Assets
Common shares, $0.01 par value, unlimited number of shares
authorized $ 72,271 $ 27,429 $ 21,163 $ 46,604
Additional paid-in capital 104,758,339 39,617,128 30,471,851 66,954,895
Accumulated net realized loss (14,428,419 ) (2,159,870 ) (2,283,213 ) (5,987,541 )
Accumulated undistributed net investment income 1,377,201 436,712 245,004 633,175
Net unrealized depreciation (5,487,259 ) (1,293,898 ) (1,437,101 ) (1,347,604 )
Net assets applicable to common shares $ 86,292,133 $ 36,627,501 $ 27,017,704 $ 60,299,529
Auction Preferred Shares Issued and
Outstanding (Liquidation preference of $25,000 per share) 1,999 802 700 1,337
Common Shares Outstanding 7,227,120 2,742,873 2,116,294 4,660,431
Net Asset Value Per Common Share
Net assets applicable to common shares ¸ common shares issued and outstanding $ 11.94 $ 13.35 $ 12.77 $ 12.94

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Assets May 31, 2011 — New York Trust Ohio Trust Pennsylvania Trust
Investments —
Identified cost $ 122,256,323 $ 58,960,576 $ 58,173,302
Unrealized depreciation (1,367,653 ) (986,565 ) (1,037,152 )
Investments, at value $ 120,888,670 $ 57,974,011 $ 57,136,150
Cash $ 2,362,753 $ — $ 264,214
Interest receivable 1,702,107 1,036,046 913,189
Receivable for investments sold 9,413 545,500 448,050
Deferred debt issuance costs 5,053 — —
Total assets $ 124,967,996 $ 59,555,557 $ 58,761,603
Liabilities
Payable for floating rate notes issued $ 20,455,000 $ — $ 1,650,000
Payable for variation margin on open financial futures contracts 10,547 6,094 12,500
Payable for open swap contracts 269,863 85,675 100,503
Due to custodian — 80,249 —
Payable to affiliates:
Investment adviser fee 64,945 33,956 32,936
Administration fee 19,386 10,136 9,831
Trustees’ fees 698 401 396
Interest expense and fees payable 33,608 — 5,519
Accrued expenses 39,406 31,747 33,006
Total liabilities $ 20,893,453 $ 248,258 $ 1,844,691
Auction preferred shares at liquidation value plus cumulative
unpaid dividends $ 33,726,407 $ 22,726,328 $ 21,175,177
Net assets applicable to common shares $ 70,348,136 $ 36,580,971 $ 35,741,735
Sources of Net Assets
Common shares, $0.01 par value, unlimited number of shares
authorized $ 54,517 $ 28,533 $ 27,166
Additional paid-in capital 79,053,663 40,872,236 38,533,541
Accumulated net realized loss (7,982,285 ) (3,574,811 ) (2,107,459 )
Accumulated undistributed net investment income 929,036 350,881 469,202
Net unrealized depreciation (1,706,795 ) (1,095,868 ) (1,180,715 )
Net assets applicable to common shares $ 70,348,136 $ 36,580,971 $ 35,741,735
Auction Preferred Shares Issued and
Outstanding (Liquidation preference of $25,000 per share) 1,349 909 847
Common Shares Outstanding 5,451,687 2,853,266 2,716,608
Net Asset Value Per Common Share
Net assets applicable to common shares ¸ common shares issued and outstanding $ 12.90 $ 12.82 $ 13.16

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Statements of Operations (Unaudited)

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Investment Income Six Months Ended May 31, 2011 — California Trust Massachusetts Trust Michigan Trust New Jersey Trust
Interest $ 4,293,732 $ 1,602,559 $ 1,157,520 $ 2,758,184
Total investment income $ 4,293,732 $ 1,602,559 $ 1,157,520 $ 2,758,184
Expenses
Investment adviser fee $ 481,432 $ 192,378 $ 147,403 $ 327,414
Administration fee 141,099 56,383 43,202 95,959
Trustees’ fees and expenses 2,469 1,131 926 1,745
Custodian fee 39,468 19,348 18,511 28,586
Transfer and dividend disbursing agent fees 11,053 10,375 10,340 10,505
Legal and accounting services 25,031 20,010 17,466 22,792
Printing and postage 6,004 4,400 4,958 5,465
Interest expense and fees 75,940 20,024 — 53,609
Preferred shares service fee 34,826 14,551 11,744 24,417
Miscellaneous 22,240 10,817 10,263 11,310
Total expenses $ 839,562 $ 349,417 $ 264,813 $ 581,802
Deduct —
Reduction of custodian fee $ 597 $ 353 $ 439 $ 1,096
Total expense reductions $ 597 $ 353 $ 439 $ 1,096
Net expenses $ 838,965 $ 349,064 $ 264,374 $ 580,706
Net investment income $ 3,454,767 $ 1,253,495 $ 893,146 $ 2,177,478
Realized and Unrealized Gain (Loss)
Net realized gain (loss) —
Investment transactions $ (2,212,028 ) $ (393,296 ) $ (18,202 ) $ (1,346,602 )
Extinguishment of debt (1,630 ) — — —
Financial futures contracts (837,582 ) (259,021 ) (41,015 ) 62,912
Swap contracts (39,805 ) 97,390 (4,666 ) 168,210
Net realized loss $ (3,091,045 ) $ (554,927 ) $ (63,883 ) $ (1,115,480 )
Change in unrealized appreciation (depreciation) —
Investments $ (192,443 ) $ (442,157 ) $ (134,165 ) $ 23,790
Financial futures contracts (114,986 ) (55,422 ) (875 ) (116,979 )
Swap contracts 40,051 (99,360 ) 4,695 (171,617 )
Net change in unrealized appreciation (depreciation) $ (267,378 ) $ (596,939 ) $ (130,345 ) $ (264,806 )
Net realized and unrealized loss $ (3,358,423 ) $ (1,151,866 ) $ (194,228 ) $ (1,380,286 )
Distributions to preferred shareholders —
From net investment income $ (100,856 ) $ (40,314 ) $ (34,534 ) $ (67,456 )
Net increase (decrease) in net assets from operations $ (4,512 ) $ 61,315 $ 664,384 $ 729,736

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Investment Income Six Months Ended May 31, 2011 — New York Trust Ohio Trust Pennsylvania Trust
Interest $ 3,311,131 $ 1,578,822 $ 1,619,587
Total investment income $ 3,311,131 $ 1,578,822 $ 1,619,587
Expenses
Investment adviser fee $ 381,395 $ 199,806 $ 193,639
Administration fee 111,781 58,560 56,752
Trustees’ fees and expenses 2,006 1,160 1,142
Custodian fee 34,454 22,130 21,873
Transfer and dividend disbursing agent fees 10,755 10,086 10,315
Legal and accounting services 24,512 18,095 16,984
Printing and postage 6,209 5,158 5,378
Interest expense and fees 81,539 3,153 9,138
Preferred shares service fee 24,392 16,267 20,132
Miscellaneous 12,448 16,111 10,846
Total expenses $ 689,491 $ 350,526 $ 346,199
Deduct —
Reduction of custodian fee $ 1,003 $ 805 $ 393
Total expense reductions $ 1,003 $ 805 $ 393
Net expenses $ 688,488 $ 349,721 $ 345,806
Net investment income $ 2,622,643 $ 1,229,101 $ 1,273,781
Realized and Unrealized Gain (Loss)
Net realized gain (loss) —
Investment transactions $ (858,190 ) $ (563,372 ) $ (271,465 )
Extinguishment of debt (10,425 ) — —
Financial futures contracts 66,272 (104,603 ) 25,165
Swap contracts 166,840 106,777 118,079
Net realized loss $ (635,503 ) $ (561,198 ) $ (128,221 )
Change in unrealized appreciation (depreciation) —
Investments $ (369,833 ) $ (227,094 ) $ (226,819 )
Financial futures contracts (24,537 ) (2,751 ) (46,791 )
Swap contracts (170,652 ) (108,849 ) (120,393 )
Net change in unrealized appreciation (depreciation) $ (565,022 ) $ (338,694 ) $ (394,003 )
Net realized and unrealized loss $ (1,200,525 ) $ (899,892 ) $ (522,224 )
Distributions to preferred shareholders —
From net investment income $ (67,138 ) $ (45,896 ) $ (42,578 )
Net increase in net assets from operations $ 1,354,980 $ 283,313 $ 708,979

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Statements of Changes in Net Assets (Unaudited)

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| Increase (Decrease)
in Net Assets | Six Months Ended May 31, 2011 — California Trust | | Massachusetts Trust | | Michigan Trust | | New Jersey Trust | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| From operations — | | | | | | | | |
| Net investment income | $ 3,454,767 | | $ 1,253,495 | | $ 893,146 | | $ 2,177,478 | |
| Net realized loss from investment transactions, extinguishment
of debt, financial futures contracts and swap contracts | (3,091,045 | ) | (554,927 | ) | (63,883 | ) | (1,115,480 | ) |
| Net change in unrealized appreciation (depreciation) from
investments, financial futures contracts and swap contracts | (267,378 | ) | (596,939 | ) | (130,345 | ) | (264,806 | ) |
| Distributions to preferred shareholders — | | | | | | | | |
| From net investment income | (100,856 | ) | (40,314 | ) | (34,534 | ) | (67,456 | ) |
| Net increase (decrease) in net assets from operations | $ (4,512 | ) | $ 61,315 | | $ 664,384 | | $ 729,736 | |
| Distributions to common shareholders — | | | | | | | | |
| From net investment income | $ (3,200,074 | ) | $ (1,241,269 | ) | $ (908,956 | ) | $ (2,208,459 | ) |
| Total distributions to common shareholders | $ (3,200,074 | ) | $ (1,241,269 | ) | $ (908,956 | ) | $ (2,208,459 | ) |
| Capital share transactions — | | | | | | | | |
| Reinvestment of distributions to common shareholders | $ 101,600 | | $ 72,500 | | $ — | | $ 61,448 | |
| Net increase in net assets from capital share transactions | $ 101,600 | | $ 72,500 | | $ — | | $ 61,448 | |
| Net decrease in net assets | $ (3,102,986 | ) | $ (1,107,454 | ) | $ (244,572 | ) | $ (1,417,275 | ) |
| Net Assets Applicable to Common
Shares | | | | | | | | |
| At beginning of period | $ 89,395,119 | | $ 37,734,955 | | $ 27,262,276 | | $ 61,716,804 | |
| At end of period | $ 86,292,133 | | $ 36,627,501 | | $ 27,017,704 | | $ 60,299,529 | |
| Accumulated undistributed net
investment income included in net assets applicable to common shares | | | | | | | | |
| At end of period | $ 1,377,201 | | $ 436,712 | | $ 245,004 | | $ 633,175 | |

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| Increase (Decrease)
in Net Assets | Six Months Ended May 31, 2011 — New York Trust | | Ohio Trust | | Pennsylvania Trust | |
| --- | --- | --- | --- | --- | --- | --- |
| From operations — | | | | | | |
| Net investment income | $ 2,622,643 | | $ 1,229,101 | | $ 1,273,781 | |
| Net realized loss from investment transactions, extinguishment
of debt, financial futures contracts and swap contracts | (635,503 | ) | (561,198 | ) | (128,221 | ) |
| Net change in unrealized appreciation (depreciation) from
investments, financial futures contracts and swap contracts | (565,022 | ) | (338,694 | ) | (394,003 | ) |
| Distributions to preferred shareholders — | | | | | | |
| From net investment income | (67,138 | ) | (45,896 | ) | (42,578 | ) |
| Net increase in net assets from operations | $ 1,354,980 | | $ 283,313 | | $ 708,979 | |
| Distributions to common shareholders — | | | | | | |
| From net investment income | $ (2,479,172 | ) | $ (1,268,967 | ) | $ (1,177,650 | ) |
| Total distributions to common shareholders | $ (2,479,172 | ) | $ (1,268,967 | ) | $ (1,177,650 | ) |
| Capital share transactions — | | | | | | |
| Reinvestment of distributions to common shareholders | $ 99,949 | | $ 103,711 | | $ — | |
| Net increase in net assets from capital share transactions | $ 99,949 | | $ 103,711 | | $ — | |
| Net decrease in net assets | $ (1,024,243 | ) | $ (881,943 | ) | $ (468,671 | ) |
| Net Assets Applicable to Common
Shares | | | | | | |
| At beginning of period | $ 71,372,379 | | $ 37,462,914 | | $ 36,210,406 | |
| At end of period | $ 70,348,136 | | $ 36,580,971 | | $ 35,741,735 | |
| Accumulated undistributed net
investment income included in net assets applicable to common shares | | | | | | |
| At end of period | $ 929,036 | | $ 350,881 | | $ 469,202 | |

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| Increase (Decrease)
in Net Assets | Year Ended November 30, 2010 — California Trust | | Massachusetts Trust | | Michigan Trust | | New Jersey Trust | |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| From operations — | | | | | | | | |
| Net investment income | $ 6,802,191 | | $ 2,529,497 | | $ 1,854,695 | | $ 4,440,964 | |
| Net realized loss from investment transactions, financial
futures contracts and swap contracts | (614,616 | ) | (50,147 | ) | (57,158 | ) | (1,539,020 | ) |
| Net change in unrealized appreciation (depreciation) from
investments, financial futures contracts and swap contracts | 764,376 | | 619,522 | | (38,495 | ) | 171,740 | |
| Distributions to preferred shareholders — | | | | | | | | |
| From net investment income | (203,844 | ) | (81,604 | ) | (70,520 | ) | (136,338 | ) |
| Net increase in net assets from operations | $ 6,748,107 | | $ 3,017,268 | | $ 1,688,522 | | $ 2,937,346 | |
| Distributions to common shareholders — | | | | | | | | |
| From net investment income | $ (6,355,945 | ) | $ (2,473,535 | ) | $ (1,817,913 | ) | $ (4,399,126 | ) |
| Total distributions to common shareholders | $ (6,355,945 | ) | $ (2,473,535 | ) | $ (1,817,913 | ) | $ (4,399,126 | ) |
| Capital share transactions — | | | | | | | | |
| Reinvestment of distributions to common shareholders | $ 282,674 | | $ 180,515 | | $ — | | $ 386,092 | |
| Net increase in net assets from capital share transactions | $ 282,674 | | $ 180,515 | | $ — | | $ 386,092 | |
| Net increase (decrease) in net assets | $ 674,836 | | $ 724,248 | | $ (129,391 | ) | $ (1,075,688 | ) |
| Net Assets Applicable to Common
Shares | | | | | | | | |
| At beginning of year | $ 88,720,283 | | $ 37,010,707 | | $ 27,391,667 | | $ 62,792,492 | |
| At end of year | $ 89,395,119 | | $ 37,734,955 | | $ 27,262,276 | | $ 61,716,804 | |
| Accumulated undistributed net
investment income included in net assets applicable to common shares | | | | | | | | |
| At end of year | $ 1,223,364 | | $ 464,800 | | $ 295,348 | | $ 731,612 | |

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| Increase (Decrease)
in Net Assets | Year Ended November 30, 2010 — New York Trust | | Ohio Trust | | Pennsylvania Trust | |
| --- | --- | --- | --- | --- | --- | --- |
| From operations — | | | | | | |
| Net investment income | $ 5,176,320 | | $ 2,552,700 | | $ 2,472,980 | |
| Net realized loss from investment transactions, financial
futures contracts and swap contracts | (1,029,790 | ) | (58,106 | ) | (465,417 | ) |
| Net change in unrealized appreciation (depreciation) from
investments, financial futures contracts and swap contracts | 1,939,142 | | (868,779 | ) | 289,880 | |
| Distributions to preferred shareholders — | | | | | | |
| From net investment income | (135,619 | ) | (92,648 | ) | (86,181 | ) |
| Net increase in net assets from operations | $ 5,950,053 | | $ 1,533,167 | | $ 2,211,262 | |
| Distributions to common shareholders — | | | | | | |
| From net investment income | $ (4,909,382 | ) | $ (2,528,385 | ) | $ (2,351,411 | ) |
| Total distributions to common shareholders | $ (4,909,382 | ) | $ (2,528,385 | ) | $ (2,351,411 | ) |
| Capital share transactions — | | | | | | |
| Reinvestment of distributions to common shareholders | $ 475,009 | | $ 162,675 | | $ 95,355 | |
| Net increase in net assets from capital share transactions | $ 475,009 | | $ 162,675 | | $ 95,355 | |
| Net increase (decrease) in net assets | $ 1,515,680 | | $ (832,543 | ) | $ (44,794 | ) |
| Net Assets Applicable to Common
Shares | | | | | | |
| At beginning of year | $ 69,856,699 | | $ 38,295,457 | | $ 36,255,200 | |
| At end of year | $ 71,372,379 | | $ 37,462,914 | | $ 36,210,406 | |
| Accumulated undistributed net
investment income included in net assets applicable to common shares | | | | | | |
| At end of year | $ 852,703 | | $ 436,643 | | $ 415,649 | |

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Statements of Cash Flows (Unaudited)

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| Cash Flows From
Operating Activities | Six Months Ended May 31, 2011 — California Trust | | New Jersey Trust | | New York Trust | |
| --- | --- | --- | --- | --- | --- | --- |
| Net increase (decrease) in net assets from operations | $ (4,512 | ) | $ 729,736 | | $ 1,354,980 | |
| Distributions to preferred shareholders | 100,856 | | 67,456 | | 67,138 | |
| Net increase in net assets from operations excluding
distributions to preferred shareholders | $ 96,344 | | $ 797,192 | | $ 1,422,118 | |
| Adjustments to reconcile net increase in net assets from
operations to net cash provided by operating activities: | | | | | | |
| Investments purchased | (15,476,785 | ) | (6,050,125 | ) | (12,172,363 | ) |
| Investments sold | 18,045,946 | | 11,565,682 | | 13,609,533 | |
| Net amortization/accretion of premium (discount) | (765,526 | ) | (339,342 | ) | (269,451 | ) |
| Amortization of deferred debt issuance costs | 745 | | 195 | | 3,850 | |
| Decrease in interest receivable | 13,243 | | 45,800 | | 21,274 | |
| Decrease (increase) in receivable for investments sold | (262,199 | ) | 9,650 | | 65,669 | |
| Decrease in receivable for open swap contracts | — | | 87,790 | | 103,093 | |
| Decrease in payable for when-issued securities | (1,615,120 | ) | — | | (2,480,078 | ) |
| Increase (decrease) in payable for variation margin on open
financial futures contracts | 12,562 | | (42,969 | ) | (25,078 | ) |
| Increase (decrease) in payable for open swap contracts | (40,051 | ) | 83,827 | | 67,559 | |
| Decrease in payable to affiliate for investment adviser fee | (3,038 | ) | (1,443 | ) | (1,363 | ) |
| Increase (decrease) in payable to affiliate for administration
fee | (351 | ) | (57 | ) | 26 | |
| Decrease in payable to affiliate for Trustees’ fees | (118 | ) | (81 | ) | (84 | ) |
| Decrease in interest expense and fees payable | (3,452 | ) | (13,591 | ) | (10,276 | ) |
| Decrease in accrued expenses | (44,882 | ) | (35,932 | ) | (36,483 | ) |
| Net change in unrealized (appreciation) depreciation from
investments | 192,443 | | (23,790 | ) | 369,833 | |
| Net realized loss from investments | 2,212,028 | | 1,346,602 | | 858,190 | |
| Net realized loss on extinguishment of debt | 1,630 | | — | | 10,425 | |
| Net cash provided by operating activities | $ 2,363,419 | | $ 7,429,408 | | $ 1,536,394 | |
| Cash Flows From Financing Activities | | | | | | |
| Distributions paid to common shareholders, net of reinvestments | $ (3,098,474 | ) | $ (2,147,011 | ) | $ (2,379,223 | ) |
| Cash distributions paid to preferred shareholders | (102,029 | ) | (68,240 | ) | (67,774 | ) |
| Proceeds from secured borrowings | 1,800,000 | | — | | 5,415,000 | |
| Repayment of secured borrowings | (2,780,000 | ) | (3,317,000 | ) | (5,435,000 | ) |
| Net cash used in financing activities | $ (4,180,503 | ) | $ (5,532,251 | ) | $ (2,466,997 | ) |
| Net increase (decrease) in cash | $ (1,817,084 | ) | $ 1,897,157 | | $ (930,603 | ) |
| Cash at beginning of period | $ 2,234,455 | | $ 1,725,110 | | $ 3,293,356 | |
| Cash at end of period | $ 417,371 | | $ 3,622,267 | | $ 2,362,753 | |
| Supplemental disclosure of cash
flow information: | | | | | | |
| Noncash financing activities not included herein consist of: | | | | | | |
| Reinvestment of dividends and distributions | $ 101,600 | | $ 61,448 | | $ 99,949 | |
| Cash paid for interest and fees | 78,646 | | 67,005 | | 87,964 | |

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Municipal Income Trusts

May 31, 2011

Financial Highlights

Selected data for a common share outstanding during the periods stated

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California Trust
Six Months Ended Year Ended November 30,
May 31, 2011
(Unaudited) 2010 2009 2008 2007 2006
Net asset value — Beginning of period (Common shares) $ 12.390 $ 12.330 $ 9.890 $ 15.120 $ 16.430 $ 15.420
Income (Loss) From Operations
Net investment
income (1) $ 0.478 $ 0.945 $ 0.947 $ 0.943 $ 0.936 $ 0.962
Net realized and unrealized gain (loss) (0.471 ) 0.026 2.321 (5.223 ) (1.294 ) 1.028
Distributions to preferred shareholders
From net investment
income (1) (0.014 ) (0.028 ) (0.047 ) (0.277 ) (0.280 ) (0.239 )
Total income (loss) from operations $ (0.007 ) $ 0.943 $ 3.221 $ (4.557 ) $ (0.638 ) $ 1.751
Less Distributions to Common
Shareholders
From net investment income $ (0.443 ) $ (0.883 ) $ (0.781 ) $ (0.673 ) $ (0.672 ) $ (0.741 )
Total distributions to common shareholders $ (0.443 ) $ (0.883 ) $ (0.781 ) $ (0.673 ) $ (0.672 ) $ (0.741 )
Net asset value — End of period (Common shares) $ 11.940 $ 12.390 $ 12.330 $ 9.890 $ 15.120 $ 16.430
Market value — End of period (Common shares) $ 11.890 $ 12.400 $ 12.170 $ 9.150 $ 13.160 $ 15.050
Total Investment Return on Net Asset
Value (2) 0.23 % (3) 7.73 % 34.24 % (30.70 )% (3.65 )% 12.10 %
Total Investment Return on Market
Value (2) (0.30 )% (3) 9.25 % 43.19 % (26.34 )% (8.44 )% 15.99 %

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May 31, 2011

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Selected data for a common share outstanding during the periods stated

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California Trust
Six Months Ended Year Ended November 30,
May 31, 2011
Ratios/Supplemental
Data (Unaudited) 2010 2009 2008 2007 2006
Net assets applicable to common shares, end of period
(000’s omitted) $ 86,292 $ 89,395 $ 88,720 $ 71,065 $ 108,567 $ 117,966
Ratios (as a percentage of average daily net assets
applicable to common
shares): (4)
Expenses excluding interest and fees 1.86 % (5) 1.78 % 1.93 % 1.87 % 1.78 % (6) 1.79 %
Interest and fee
expense (7) 0.18 % (5) 0.18 % 0.23 % 0.37 % 0.34 % 0.49 %
Total expenses before custodian fee reduction 2.04 % (5) 1.96 % 2.16 % 2.24 % 2.12 % (6) 2.28 %
Expenses after custodian fee reduction excluding interest and
fees 1.86 % (5) 1.78 % 1.93 % 1.85 % 1.76 % (6) 1.77 %
Net investment income 8.41 % (5) 7.34 % 8.35 % 6.91 % 5.94 % 6.12 %
Portfolio Turnover 10 % (3) 14 % 18 % 31 % 40 % 26 %
The ratios reported above are based on net assets applicable to
common shares. The ratios based on net assets, including amounts
related to preferred shares, are as follows:
Ratios (as a percentage of average daily net assets
applicable to common shares and preferred
shares): (4)
Expenses excluding interest and fees 1.16 % (5) 1.16 % 1.19 % 1.18 % 1.17 % (6) 1.18 %
Interest and fee
expense (7) 0.12 % (5) 0.11 % 0.15 % 0.24 % 0.22 % 0.32 %
Total expenses before custodian fee reduction 1.28 % (5) 1.27 % 1.34 % 1.42 % 1.39 % (6) 1.50 %
Expenses after custodian fee reduction excluding interest and
fees 1.16 % (5) 1.16 % 1.19 % 1.17 % 1.16 % (6) 1.16 %
Net investment income 5.23 % (5) 4.77 % 5.18 % 4.39 % 3.90 % 4.03 %
Senior Securities:
Total preferred shares outstanding 1,999 1,999 1,999 1,999 2,360 2,360
Asset coverage per preferred
share (8) $ 68,168 $ 69,721 $ 69,383 $ 60,552 $ 71,003 $ 74,997
Involuntary liquidation preference per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
Approximate market value per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
(1) Computed using average common shares outstanding.
(2) Returns are historical and are calculated by determining the
percentage change in net asset value or market value with all
distributions reinvested.
(3) Not annualized.
(4) Ratios do not reflect the effect of dividend payments to
preferred shareholders.
(5) Annualized.
(6) The investment adviser was allocated a portion of the
Trust’s operating expenses (equal to less than 0.01% of
average daily net assets for the year ended November 30,
2007). Absent this allocation, total return would be lower.
(7) Interest and fee expense relates to the liability for floating
rate notes issued in conjunction with residual interest bond
transactions (see Note 1H).
(8) Calculated by subtracting the Trust’s total liabilities
(not including the preferred shares) from the Trust’s total
assets, and dividing the result by the number of preferred
shares outstanding.
(9) Plus accumulated and unpaid dividends.

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May 31, 2011

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Massachusetts Trust
Six Months Ended Year Ended November 30,
May 31, 2011
(Unaudited) 2010 2009 2008 2007 2006
Net asset value — Beginning of period (Common shares) $ 13.790 $ 13.590 $ 10.160 $ 14.860 $ 16.170 $ 15.270
Income (Loss) From Operations
Net investment
income (1) $ 0.457 $ 0.926 $ 0.948 $ 0.947 $ 0.914 $ 0.931
Net realized and unrealized gain (loss) (0.429 ) 0.210 3.356 (4.720 ) (1.314 ) 0.926
Distributions to preferred shareholders
From net investment
income (1) (0.015 ) (0.030 ) (0.049 ) (0.278 ) (0.271 ) (0.243 )
Total income (loss) from operations $ 0.013 $ 1.106 $ 4.255 $ (4.051 ) $ (0.671 ) $ 1.614
Less Distributions to Common
Shareholders
From net investment income $ (0.453 ) $ (0.906 ) $ (0.825 ) $ (0.649 ) $ (0.639 ) $ (0.714 )
Total distributions to common shareholders $ (0.453 ) $ (0.906 ) $ (0.825 ) $ (0.649 ) $ (0.639 ) $ (0.714 )
Net asset value — End of period (Common shares) $ 13.350 $ 13.790 $ 13.590 $ 10.160 $ 14.860 $ 16.170
Market value — End of period (Common shares) $ 13.270 $ 13.980 $ 13.260 $ 8.930 $ 13.050 $ 14.920
Total Investment Return on Net Asset
Value (2) 0.32 % (3) 8.16 % 43.29 % (28.02 )% (3.94 )% 11.05 %
Total Investment Return on Market
Value (2) (1.64 )% (3) 12.38 % 58.91 % (27.89 )% (8.57 )% 5.72 %

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Massachusetts Trust
Six Months Ended Year Ended November 30,
May 31, 2011
Ratios/Supplemental
Data (Unaudited) 2010 2009 2008 2007 2006
Net assets applicable to common shares, end of period
(000’s omitted) $ 36,628 $ 37,735 $ 37,011 $ 27,576 $ 40,341 $ 43,875
Ratios (as a percentage of average daily net assets applicable
to common
shares): (4)
Expenses excluding interest and fees 1.89 % (5) 1.83 % 2.02 % 2.06 % 1.91 % (6) 1.88 %
Interest and fee
expense (7) 0.11 % (5) 0.09 % 0.14 % 0.26 % 0.61 % 0.77 %
Total expenses before custodian fee reduction 2.00 % (5) 1.92 % 2.16 % 2.32 % 2.52 % (6) 2.65 %
Expenses after custodian fee reduction excluding interest
and fees 1.88 % (5) 1.82 % 2.02 % 2.04 % 1.89 % (6) 1.87 %
Net investment income 7.18 % (5) 6.51 % 7.77 % 7.03 % 5.90 % 6.01 %
Portfolio Turnover 10 % (3) 16 % 24 % 40 % 42 % 22 %
The ratios reported above are based on net assets applicable to
common shares. The ratios based on net assets, including amounts
related to preferred shares, are as follows:
Ratios (as a percentage of average daily net assets applicable
to common shares and preferred
shares): (4)
Expenses excluding interest and fees 1.20 % (5) 1.20 % 1.26 % 1.31 % 1.26 % (6) 1.24 %
Interest and fee
expense (7) 0.07 % (5) 0.06 % 0.09 % 0.16 % 0.40 % 0.51 %
Total expenses before custodian fee reduction 1.27 % (5) 1.26 % 1.35 % 1.47 % 1.66 % (6) 1.75 %
Expenses after custodian fee reduction excluding interest
and fees 1.20 % (5) 1.20 % 1.26 % 1.30 % 1.25 % (6) 1.24 %
Net investment income 4.57 % (5) 4.29 % 4.85 % 4.47 % 3.91 % 3.98 %
Senior Securities:
Total preferred shares outstanding 802 802 802 802 860 860
Asset coverage per preferred
share (8) $ 70,670 $ 72,051 $ 71,150 $ 59,391 $ 71,920 $ 76,024
Involuntary liquidation preference per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
Approximate market value per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
(1) Computed using average common shares outstanding.
(2) Returns are historical and are calculated by determining the
percentage change in net asset value or market value with all
distributions reinvested.
(3) Not annualized.
(4) Ratios do not reflect the effect of dividend payments to
preferred shareholders.
(5) Annualized.
(6) The investment adviser was allocated a portion of the
Trust’s operating expenses (equal to less than 0.01% of
average daily net assets for the year ended November 30,
2007). Absent this allocation, total return would be lower.
(7) Interest and fee expense relates to the liability for floating
rate notes issued in conjunction with residual interest bond
transactions (see Note 1H).
(8) Calculated by subtracting the Trust’s total liabilities
(not including the preferred shares) from the Trust’s total
assets, and dividing the result by the number of preferred
shares outstanding.
(9) Plus accumulated and unpaid dividends.

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Michigan Trust
Six Months Ended Year Ended November 30,
May 31, 2011
(Unaudited) 2010 2009 2008 2007 2006
Net asset value — Beginning of period (Common shares) $ 12.880 $ 12.940 $ 10.860 $ 14.510 $ 15.420 $ 14.820
Income (Loss) From Operations
Net investment
income (1) $ 0.422 $ 0.876 $ 0.918 $ 0.931 $ 0.913 $ 0.950
Net realized and unrealized gain (loss) (0.086 ) (0.044 ) 1.990 (3.669 ) (0.881 ) 0.608
Distributions to preferred shareholders
From net investment
income (1) (0.016 ) (0.033 ) (0.056 ) (0.301 ) (0.296 ) (0.256 )
Total income (loss) from operations $ 0.320 $ 0.799 $ 2.852 $ (3.039 ) $ (0.264 ) $ 1.302
Less Distributions to Common
Shareholders
From net investment income $ (0.430 ) $ (0.859 ) $ (0.772 ) $ (0.611 ) $ (0.646 ) $ (0.702 )
Total distributions to common shareholders $ (0.430 ) $ (0.859 ) $ (0.772 ) $ (0.611 ) $ (0.646 ) $ (0.702 )
Net asset value — End of period (Common shares) $ 12.770 $ 12.880 $ 12.940 $ 10.860 $ 14.510 $ 15.420
Market value — End of period (Common shares) $ 12.050 $ 12.100 $ 11.530 $ 7.920 $ 12.430 $ 14.110
Total Investment Return on Net Asset
Value (2) 2.91 % (3) 6.57 % 28.08 % (21.02 )% (1.37 )% 9.38 %
Total Investment Return on Market
Value (2) 3.37 % (3) 12.36 % 56.49 % (32.76 )% (7.66 )% 9.88 %

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Michigan Trust
Six Months Ended Year Ended November 30,
May 31, 2011
Ratios/Supplemental
Data (Unaudited) 2010 2009 2008 2007 2006
Net assets applicable to common shares, end of period
(000’s omitted) $ 27,018 $ 27,262 $ 27,392 $ 22,977 $ 30,710 $ 32,643
Ratios (as a percentage of average daily net assets applicable
to common
shares): (4)
Expenses excluding interest and fees 2.06 % (5) 1.98 % 2.18 % 2.15 % 2.03 % (6) 1.97 %
Interest and fee
expense (7) — — 0.06 % 0.16 % 0.32 % 0.46 %
Total expenses before custodian fee reduction 2.06 % (5) 1.98 % 2.24 % 2.31 % 2.35 % (6) 2.43 %
Expenses after custodian fee reduction excluding interest
and fees 2.05 % (5) 1.98 % 2.18 % 2.13 % 2.01 % (6) 1.96 %
Net investment income 6.94 % (5) 6.57 % 7.61 % 6.96 % 6.12 % 6.35 %
Portfolio Turnover 9 % (3) 14 % 23 % 24 % 22 % 22 %
The ratios reported above are based on net assets applicable to
common shares. The ratios based on net assets, including amounts
related to preferred shares, are as follows:
Ratios (as a percentage of average daily net assets applicable
to common shares and preferred
shares): (4)
Expenses excluding interest and fees 1.23 % (5) 1.22 % 1.29 % 1.33 % 1.31 % (6) 1.27 %
Interest and fee
expense (7) — — 0.04 % 0.10 % 0.21 % 0.29 %
Total expenses before custodian fee reduction 1.23 % (5) 1.22 % 1.33 % 1.43 % 1.52 % (6) 1.56 %
Expenses after custodian fee reduction excluding interest
and fees 1.22 % (5) 1.22 % 1.29 % 1.31 % 1.29 % (6) 1.26 %
Net investment income 4.14 % (5) 4.06 % 4.52 % 4.30 % 3.94 % 4.09 %
Senior Securities:
Total preferred shares outstanding 700 700 700 700 700 700
Asset coverage per preferred
share (8) $ 63,598 $ 63,948 $ 64,132 $ 57,828 $ 68,878 $ 71,635
Involuntary liquidation preference per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
Approximate market value per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
(1) Computed using average common shares outstanding.
(2) Returns are historical and are calculated by determining the
percentage change in net asset value or market value with all
distributions reinvested.
(3) Not annualized.
(4) Ratios do not reflect the effect of dividend payments to
preferred shareholders.
(5) Annualized.
(6) The investment adviser was allocated a portion of the
Trust’s operating expenses (equal to less than 0.01% of
average daily net assets for the year ended November 30,
2007). Absent this allocation, total return would be lower.
(7) Interest and fee expense relates to the liability for floating
rate notes issued in conjunction with residual interest bond
transactions (see Note 1H).
(8) Calculated by subtracting the Trust’s total liabilities
(not including the preferred shares) from the Trust’s total
assets, and dividing the result by the number of preferred
shares outstanding.
(9) Plus accumulated and unpaid dividends.

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New Jersey Trust
Six Months Ended Year Ended November 30,
May 31, 2011
(Unaudited) 2010 2009 2008 2007 2006
Net asset value — Beginning of period (Common shares) $ 13.260 $ 13.570 $ 9.400 $ 14.930 $ 16.200 $ 15.020
Income (Loss) From Operations
Net investment
income (1) $ 0.467 $ 0.957 $ 0.971 $ 0.968 $ 0.926 $ 0.953
Net realized and unrealized gain (loss) (0.299 ) (0.290 ) 4.091 (5.579 ) (1.275 ) 1.205
Distributions to preferred shareholders
From net investment
income (1) (0.014 ) (0.029 ) (0.048 ) (0.289 ) (0.273 ) (0.253 )
Total income (loss) from operations $ 0.154 $ 0.638 $ 5.014 $ (4.900 ) $ (0.622 ) $ 1.905
Less Distributions to Common
Shareholders
From net investment income $ (0.474 ) $ (0.948 ) $ (0.844 ) $ (0.630 ) $ (0.648 ) $ (0.725 )
Total distributions to common shareholders $ (0.474 ) $ (0.948 ) $ (0.844 ) $ (0.630 ) $ (0.648 ) $ (0.725 )
Net asset value — End of period (Common shares) $ 12.940 $ 13.260 $ 13.570 $ 9.400 $ 14.930 $ 16.200
Market value — End of period (Common shares) $ 13.010 $ 13.520 $ 14.040 $ 8.500 $ 12.790 $ 15.080
Total Investment Return on Net Asset
Value (2) 1.41 % (3) 4.62 % 55.43 % (33.57 )% (3.59 )% 13.28 %
Total Investment Return on Market
Value (2) (0.01 )% (3) 3.10 % 77.84 % (29.88 )% (11.28 )% 12.89 %

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New Jersey Trust
Six Months Ended Year Ended November 30,
May 31, 2011
Ratios/Supplemental
Data (Unaudited) 2010 2009 2008 2007 2006
Net assets applicable to common shares, end of period
(000’s omitted) $ 60,300 $ 61,717 $ 62,792 $ 43,459 $ 69,001 $ 74,846
Ratios (as a percentage of average daily net assets applicable
to common
shares): (4)
Expenses excluding interest and fees 1.83 % (5) 1.79 % 1.99 % 1.96 % 1.84 % (6) 1.85 %
Interest and fee
expense (7) 0.18 % (5) 0.18 % 0.24 % 0.45 % 0.89 % 0.93 %
Total expenses before custodian fee reduction 2.01 % (5) 1.97 % 2.23 % 2.41 % 2.73 % (6) 2.78 %
Expenses after custodian fee reduction excluding interest
and fees 1.82 % (5) 1.79 % 1.99 % 1.94 % 1.81 % (6) 1.83 %
Net investment income 7.51 % (5) 6.87 % 8.16 % 7.22 % 5.94 % 6.20 %
Portfolio Turnover 6 % (3) 9 % 48 % 54 % 42 % 23 %
The ratios reported above are based on net assets applicable to
common shares. The ratios based on net assets, including amounts
related to preferred shares, are as follows:
Ratios (as a percentage of average daily net assets applicable
to common shares and preferred
shares): (4)
Expenses excluding interest and fees 1.15 % (5) 1.18 % 1.24 % 1.23 % 1.21 % (6) 1.20 %
Interest and fee
expense (7) 0.12 % (5) 0.12 % 0.15 % 0.28 % 0.58 % 0.61 %
Total expenses before custodian fee reduction 1.27 % (5) 1.30 % 1.39 % 1.51 % 1.79 % (6) 1.81 %
Expenses after custodian fee reduction excluding interest
and fees 1.15 % (5) 1.18 % 1.24 % 1.21 % 1.19 % (6) 1.19 %
Net investment income 4.77 % (5) 4.53 % 5.08 % 4.51 % 3.89 % 4.04 %
Senior Securities:
Total preferred shares outstanding 1,337 1,337 1,337 1,366 1,520 1,520
Asset coverage per preferred
share (8) $ 70,101 $ 71,162 $ 71,966 $ 56,817 $ 70,395 $ 74,250
Involuntary liquidation preference per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
Approximate market value per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
(1) Computed using average common shares outstanding.
(2) Returns are historical and are calculated by determining the
percentage change in net asset value or market value with all
distributions reinvested.
(3) Not annualized.
(4) Ratios do not reflect the effect of dividend payments to
preferred shareholders.
(5) Annualized.
(6) The investment adviser was allocated a portion of the
Trust’s operating expenses (equal to less than 0.01% of
average daily net assets for the year ended November 30,
2007). Absent this allocation, total return would be lower.
(7) Interest and fee expense relates to the liability for floating
rate notes issued in conjunction with residual interest bond
transactions (see Note 1H).
(8) Calculated by subtracting the Trust’s total liabilities
(not including the preferred shares) from the Trust’s total
assets, and dividing the result by the number of preferred
shares outstanding.
(9) Plus accumulated and unpaid dividends.

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New York Trust
Six Months Ended Year Ended November 30,
May 31, 2011
(Unaudited) 2010 2009 2008 2007 2006
Net asset value — Beginning of period (Common shares) $ 13.110 $ 12.920 $ 9.350 $ 15.240 $ 16.550 $ 15.660
Income (Loss) From Operations
Net investment
income (1) $ 0.481 $ 0.954 $ 0.960 $ 0.987 $ 0.991 $ 0.987
Net realized and unrealized gain (loss) (0.224 ) 0.166 3.493 (5.887 ) (1.293 ) 0.932
Distributions to preferred shareholders
From net investment
income (1) (0.012 ) (0.025 ) (0.042 ) (0.269 ) (0.287 ) (0.247 )
Total income (loss) from operations $ 0.245 $ 1.095 $ 4.411 $ (5.169 ) $ (0.589 ) $ 1.672
Less Distributions to Common
Shareholders
From net investment income $ (0.455 ) $ (0.905 ) $ (0.841 ) $ (0.721 ) $ (0.721 ) $ (0.782 )
Total distributions to common shareholders $ (0.455 ) $ (0.905 ) $ (0.841 ) $ (0.721 ) $ (0.721 ) $ (0.782 )
Net asset value — End of period (Common shares) $ 12.900 $ 13.110 $ 12.920 $ 9.350 $ 15.240 $ 16.550
Market value — End of period (Common shares) $ 12.860 $ 13.350 $ 13.200 $ 7.900 $ 14.100 $ 15.700
Total Investment Return on Net Asset
Value (2) 2.11 % (3) 8.48 % 49.00 % (35.07 )% (3.42 )% 11.28 %
Total Investment Return on Market
Value (2) (0.04 )% (3) 8.16 % 80.12 % (40.71 )% (5.81 )% 10.28 %

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New York Trust
Six Months Ended Year Ended November 30,
May 31, 2011
Ratios/Supplemental
Data (Unaudited) 2010 2009 2008 2007 2006
Net assets applicable to common shares, end of period
(000’s omitted) $ 70,348 $ 71,372 $ 69,857 $ 50,325 $ 81,931 $ 88,970
Ratios (as a percentage of average daily net assets applicable
to common
shares): (4)
Expenses excluding interest and fees 1.81 % (5) 1.74 % 1.98 % 1.92 % 1.80 % (6) 1.82 %
Interest and fee
expense (7) 0.24 % (5) 0.21 % 0.24 % 0.55 % 0.98 % 1.03 %
Total expenses before custodian fee reduction 2.05 % (5) 1.95 % 2.22 % 2.47 % 2.78 % (6) 2.85 %
Expenses after custodian fee reduction excluding interest
and fees 1.80 % (5) 1.74 % 1.98 % 1.89 % 1.78 % (6) 1.80 %
Net investment income 7.78 % (5) 7.02 % 8.40 % 7.21 % 6.23 % 6.22 %
Portfolio Turnover 10 % (3) 13 % 20 % 48 % 29 % 27 %
The ratios reported above are based on net assets applicable to
common shares. The ratios based on net assets, including amounts
related to preferred shares, are as follows:
Ratios (as a percentage of average daily net assets applicable
to common shares and preferred
shares): (4)
Expenses excluding interest and fees 1.21 % (5) 1.18 % 1.28 % 1.23 % 1.18 % (6) 1.19 %
Interest and fee
expense (7) 0.16 % (5) 0.15 % 0.15 % 0.35 % 0.65 % 0.68 %
Total expenses before custodian fee reduction 1.37 % (5) 1.33 % 1.43 % 1.58 % 1.83 % (6) 1.87 %
Expenses after custodian fee reduction excluding interest
and fees 1.20 % (5) 1.18 % 1.28 % 1.21 % 1.17 % (6) 1.19 %
Net investment income 5.19 % (5) 4.82 % 5.43 % 4.63 % 4.10 % 4.09 %
Senior Securities:
Total preferred shares outstanding 1,349 1,349 1,349 1,349 1,780 1,780
Asset coverage per preferred
share (8) $ 77,149 $ 77,909 $ 76,785 $ 62,309 $ 71,032 $ 74,983
Involuntary liquidation preference per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
Approximate market value per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
(1) Computed using average common shares outstanding.
(2) Returns are historical and are calculated by determining the
percentage change in net asset value or market value with all
distributions reinvested.
(3) Not annualized.
(4) Ratios do not reflect the effect of dividend payments to
preferred shareholders.
(5) Annualized.
(6) The investment adviser was allocated a portion of the
Trust’s operating expenses (equal to less than 0.01% of
average daily net assets for the year ended November 30,
2007). Absent this allocation, total return would be lower.
(7) Interest and fee expense relates to the liability for floating
rate notes issued in conjunction with residual interest bond
transactions (see Note 1H).
(8) Calculated by subtracting the Trust’s total liabilities
(not including the preferred shares) from the Trust’s total
assets, and dividing the result by the number of preferred
shares outstanding.
(9) Plus accumulated and unpaid dividends.

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Ohio Trust
Six Months Ended Year Ended November 30,
May 31, 2011
(Unaudited) 2010 2009 2008 2007 2006
Net asset value — Beginning of period (Common shares) $ 13.170 $ 13.520 $ 10.450 $ 14.830 $ 15.690 $ 14.910
Income (Loss) From Operations
Net investment
income (1) $ 0.431 $ 0.899 $ 0.945 $ 0.961 $ 0.938 $ 0.958
Net realized and unrealized gain (loss) (0.319 ) (0.325 ) 2.974 (4.410 ) (0.845 ) 0.800
Distributions to preferred shareholders
From net investment
income (1) (0.016 ) (0.033 ) (0.055 ) (0.303 ) (0.297 ) (0.264 )
Total income (loss) from operations $ 0.096 $ 0.541 $ 3.864 $ (3.752 ) $ (0.204 ) $ 1.494
Less Distributions to Common
Shareholders
From net investment income $ (0.446 ) $ (0.891 ) $ (0.794 ) $ (0.628 ) $ (0.656 ) $ (0.714 )
Total distributions to common shareholders $ (0.446 ) $ (0.891 ) $ (0.794 ) $ (0.628 ) $ (0.656 ) $ (0.714 )
Net asset value — End of period (Common shares) $ 12.820 $ 13.170 $ 13.520 $ 10.450 $ 14.830 $ 15.690
Market value — End of period (Common shares) $ 12.850 $ 13.420 $ 13.430 $ 8.550 $ 12.850 $ 14.610
Total Investment Return on Net Asset
Value (2) 0.90 % (3) 3.96 % 38.58 % (25.69 )% (1.06 )% 10.50 %
Total Investment Return on Market
Value (2) (0.75 )% (3) 6.64 % 68.25 % (29.83 )% (7.93 )% 8.27 %

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Ohio Trust
Six Months Ended Year Ended November 30,
May 31, 2011
Ratios/Supplemental
Data (Unaudited) 2010 2009 2008 2007 2006
Net assets applicable to common shares, end of period
(000’s omitted) $ 36,581 $ 37,463 $ 38,295 $ 29,563 $ 41,953 $ 44,385
Ratios (as a percentage of average daily net assets applicable
to common
shares): (4)
Expenses excluding interest and fees 1.98 % (5) 1.85 % 2.08 % 2.08 % 1.93 % (6) 1.92 %
Interest and fee
expense (7) 0.02 % (5) 0.02 % 0.02 % 0.26 % 0.72 % 0.74 %
Total expenses before custodian fee reduction 2.00 % (5) 1.87 % 2.10 % 2.34 % 2.65 % (6) 2.66 %
Expenses after custodian fee reduction excluding interest
and fees 1.98 % (5) 1.85 % 2.08 % 2.06 % 1.91 % (6) 1.92 %
Net investment income 7.00 % (5) 6.53 % 7.77 % 7.12 % 6.17 % 6.31 %
Portfolio Turnover 4 % (3) 17 % 20 % 27 % 24 % 16 %
The ratios reported above are based on net assets applicable to
common shares. The ratios based on net assets, including amounts
related to preferred shares, are as follows:
Ratios (as a percentage of average daily net assets applicable
to common shares and preferred
shares): (4)
Expenses excluding interest and fees 1.20 % (5) 1.17 % 1.26 % 1.29 % 1.25 % (6) 1.25 %
Interest and fee
expense (7) 0.01 % (5) 0.01 % 0.01 % 0.16 % 0.46 % 0.48 %
Total expenses before custodian fee reduction 1.21 % (5) 1.18 % 1.27 % 1.45 % 1.71 % (6) 1.73 %
Expenses after custodian fee reduction excluding interest
and fees 1.20 % (5) 1.17 % 1.26 % 1.28 % 1.23 % (6) 1.24 %
Net investment income 4.26 % (5) 4.13 % 4.68 % 4.41 % 3.99 % 4.08 %
Senior Securities:
Total preferred shares outstanding 909 909 909 918 940 940
Asset coverage per preferred
share (8) $ 65,245 $ 66,215 $ 67,131 $ 57,209 $ 69,640 $ 72,223
Involuntary liquidation preference per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
Approximate market value per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
(1) Computed using average common shares outstanding.
(2) Returns are historical and are calculated by determining the
percentage change in net asset value or market value with all
distributions reinvested.
(3) Not annualized.
(4) Ratios do not reflect the effect of dividend payments to
preferred shareholders.
(5) Annualized.
(6) The investment adviser was allocated a portion of the
Trust’s operating expenses (equal to less than 0.01% of
average daily net assets for the year ended November 30,
2007). Absent this allocation, total return would be lower.
(7) Interest and fee expense relates to the liability for floating
rate notes issued in conjunction with residual interest bond
transactions (see Note 1H).
(8) Calculated by subtracting the Trust’s total liabilities
(not including the preferred shares) from the Trust’s total
assets, and dividing the result by the number of preferred
shares outstanding.
(9) Plus accumulated and unpaid dividends.

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Pennsylvania Trust
Six Months Ended Year Ended November 30,
May 31, 2011
(Unaudited) 2010 2009 2008 2007 2006
Net asset value — Beginning of period (Common shares) $ 13.330 $ 13.380 $ 10.320 $ 14.840 $ 15.510 $ 14.870
Income (Loss) From Operations
Net investment
income (1) $ 0.469 $ 0.912 $ 0.928 $ 0.986 $ 0.953 $ 0.983
Net realized and unrealized gain (loss) (0.189 ) (0.063 ) 2.973 (4.555 ) (0.661 ) 0.664
Distributions to preferred shareholders
From net investment
income (1) (0.016 ) (0.032 ) (0.053 ) (0.299 ) (0.300 ) (0.274 )
Total income (loss) from operations $ 0.264 $ 0.817 $ 3.848 $ (3.868 ) $ (0.008 ) $ 1.373
Less Distributions to Common
Shareholders
From net investment income $ (0.434 ) $ (0.867 ) $ (0.788 ) $ (0.652 ) $ (0.662 ) $ (0.733 )
Total distributions to common shareholders $ (0.434 ) $ (0.867 ) $ (0.788 ) $ (0.652 ) $ (0.662 ) $ (0.733 )
Net asset value — End of period (Common shares) $ 13.160 $ 13.330 $ 13.380 $ 10.320 $ 14.840 $ 15.510
Market value — End of period (Common shares) $ 12.980 $ 12.930 $ 13.050 $ 9.600 $ 12.790 $ 14.560
Total Investment Return on Net Asset
Value (2) 2.26 % (3) 6.13 % 39.16 % (26.57 )% 0.27 % 9.68 %
Total Investment Return on Market
Value (2) 3.99 % (3) 5.57 % 45.88 % (20.75 )% (7.95 )% 4.44 %

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Pennsylvania Trust
Six Months Ended Year Ended November 30,
May 31, 2011
Ratios/Supplemental
Data (Unaudited) 2010 2009 2008 2007 2006
Net assets applicable to common shares, end of period
(000’s omitted) $ 35,742 $ 36,210 $ 36,255 $ 27,944 $ 40,182 $ 41,998
Ratios (as a percentage of average daily net assets applicable
to common
shares): (4)
Expenses excluding interest and fees 1.97 % (5) 1.88 % 2.11 % 2.06 % 1.95 % (6) 1.94 %
Interest and fee
expense (7) 0.05 % (5) 0.06 % 0.21 % 0.37 % 0.70 % 0.93 %
Total expenses before custodian fee reduction 2.02 % (5) 1.94 % 2.32 % 2.43 % 2.65 % (6) 2.87 %
Expenses after custodian fee reduction excluding interest
and fees 1.96 % (5) 1.88 % 2.11 % 2.04 % 1.94 % (6) 1.93 %
Net investment income 7.43 % (5) 6.61 % 7.61 % 7.23 % 6.28 % 6.53 %
Portfolio Turnover 6 % (3) 17 % 23 % 25 % 23 % 18 %
The ratios reported above are based on net assets applicable to
common shares. The ratios based on net assets, including amounts
related to preferred shares, are as follows:
Ratios (as a percentage of average daily net assets applicable
to common shares and preferred
shares): (4)
Expenses excluding interest and fees 1.22 % (5) 1.20 % 1.28 % 1.28 % 1.27 % (6) 1.25 %
Interest and fee
expense (7) 0.03 % (5) 0.04 % 0.13 % 0.23 % 0.45 % 0.60 %
Total expenses before custodian fee reduction 1.25 % (5) 1.24 % 1.41 % 1.51 % 1.72 % (6) 1.85 %
Expenses after custodian fee reduction excluding interest
and fees 1.22 % (5) 1.20 % 1.28 % 1.27 % 1.26 % (6) 1.24 %
Net investment income 4.60 % (5) 4.22 % 4.63 % 4.50 % 4.06 % 4.21 %
Senior Securities:
Total preferred shares outstanding 847 847 847 889 900 900
Asset coverage per preferred
share (8) $ 67,198 $ 67,752 $ 67,806 $ 56,439 $ 69,658 $ 71,672
Involuntary liquidation preference per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
Approximate market value per preferred
share (9) $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000 $ 25,000
(1) Computed using average common shares outstanding.
(2) Returns are historical and are calculated by determining the
percentage change in net asset value or market value with all
distributions reinvested.
(3) Not annualized.
(4) Ratios do not reflect the effect of dividend payments to
preferred shareholders.
(5) Annualized.
(6) The investment adviser was allocated a portion of the
Trust’s operating expenses (equal to less than 0.01% of
average daily net assets for the year ended November 30,
2007). Absent this allocation, total return would be lower.
(7) Interest and fee expense relates to the liability for floating
rate notes issued in conjunction with residual interest bond
transactions (see Note 1H).
(8) Calculated by subtracting the Trust’s total liabilities
(not including the preferred shares) from the Trust’s total
assets, and dividing the result by the number of preferred
shares outstanding.
(9) Plus accumulated and unpaid dividends.

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May 31, 2011

Notes to Financial Statements (Unaudited)

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1 Significant Accounting Policies

Eaton Vance California Municipal Income Trust (California Trust), Eaton Vance Massachusetts Municipal Income Trust (Massachusetts Trust), Eaton Vance Michigan Municipal Income Trust (Michigan Trust), Eaton Vance New Jersey Municipal Income Trust (New Jersey Trust), Eaton Vance New York Municipal Income Trust (New York Trust), Eaton Vance Ohio Municipal Income Trust (Ohio Trust) and Eaton Vance Pennsylvania Municipal Income Trust (Pennsylvania Trust), (each individually referred to as the Trust, and collectively, the Trusts), are Massachusetts business trusts registered under the Investment Company Act of 1940, as amended (the 1940 Act), as non-diversified, closed-end management investment companies. Each Trust seeks to provide current income exempt from regular federal income tax and taxes in its specified state.

The following is a summary of significant accounting policies of the Trusts. The policies are in conformity with accounting principles generally accepted in the United States of America.

A Investment Valuation — Debt obligations (including short-term obligations with a remaining maturity of more than sixty days) are generally valued on the basis of valuations provided by third party pricing services, as derived from such services’ pricing models. Inputs to the models may include, but are not limited to, reported trades, executable bid and asked prices, broker/dealer quotations, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, as well as industry and economic events. The pricing services may use a matrix approach, which considers information regarding securities with similar characteristics to determine the valuation for a security. Short-term obligations purchased with a remaining maturity of sixty days or less are generally valued at amortized cost, which approximates market value. Financial futures contracts are valued at the closing settlement price established by the board of trade or exchange on which they are traded. Interest rate swaps are normally valued using valuations provided by a third party pricing service. Such pricing service valuations are based on the present value of fixed and projected floating rate cash flows over the term of the swap contract. Future cash flows are discounted to their present value using swap rates provided by electronic data services or by broker/dealers. Investments for which valuations or market quotations are not readily available or are deemed unreliable are valued at fair value using methods determined in good faith by or at the direction of the Trustees of a Trust in a manner that most fairly reflects the security’s value, or the amount that the Trust might reasonably expect to receive for the security upon its current sale in the ordinary course. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. These factors may include, but are not limited to, the type of security, the existence of any contractual restrictions on the security’s disposition, the price and extent of public trading in similar securities of the issuer or of comparable entities, quotations or relevant information obtained from broker-dealers or other market participants, information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange-traded securities), an analysis of the entity’s financial condition, and an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold.

B Investment Transactions and Related Income — Investment transactions for financial statement purposes are accounted for on a trade date basis. Realized gains and losses on investments sold are determined on the basis of identified cost. Interest income is recorded on the basis of interest accrued, adjusted for amortization of premium or accretion of discount.

C Federal Taxes — Each Trust’s policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders each year substantially all of its taxable, if any, and tax-exempt net investment income, and all or substantially all of its net realized capital gains. Accordingly, no provision for federal income or excise tax is necessary. Each Trust intends to satisfy conditions which will enable it to designate distributions from the interest income generated by its investments in municipal obligations, which are exempt from regular federal income tax when received by each Trust, as exempt-interest dividends. The portion of such interest, if any, earned on private activity bonds issued after August 7, 1986, may be considered a tax preference item to shareholders.

At November 30, 2010, the following Trusts, for federal income tax purposes, had capital loss carryforwards which will reduce the respective Trust’s taxable income arising from future net realized gains on investment transactions, if any, to the extent permitted by the Internal Revenue Code, and thus will reduce the amount of distributions to shareholders, which would otherwise be necessary to relieve the Trusts of any liability for federal income or excise tax. The amounts and expiration dates of the capital loss carryforwards are as follows:

California Massachusetts Michigan New Jersey New York Ohio Pennsylvania
Expiration Date Trust Trust Trust Trust Trust Trust Trust
November 30, 2011 $ — $ — $ 443,883 $ 177,350 $ — $ — $ —
November 30, 2012 995,999 — 697,198 — — 764,355 502,868
November 30, 2013 — — 224,050 — — 588,403 389,289
November 30, 2016 6,689,345 692,532 517,712 — 2,354,581 736,482 800,874
November 30, 2017 4,084,290 991,790 337,540 3,185,143 3,171,310 840,450 —
November 30, 2018 355,871 — 34,334 1,512,852 671,928 41,243 329,527
$ 12,125,505 $ 1,684,322 $ 2,254,717 $ 4,875,345 $ 6,197,819 $ 2,970,933 $ 2,022,558

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As of May 31, 2011, the Trusts had no uncertain tax positions that would require financial statement recognition, de-recognition, or disclosure. Each of the Trusts’ federal tax returns filed in the 3-year period ended November 30, 2010 remains subject to examination by the Internal Revenue Service.

D Expense Reduction — State Street Bank and Trust Company (SSBT) serves as custodian of the Trusts. Pursuant to the respective custodian agreements, SSBT receives a fee reduced by credits, which are determined based on the average daily cash balance each Trust maintains with SSBT. All credit balances, if any, used to reduce each Trust’s custodian fees are reported as a reduction of expenses in the Statements of Operations.

E Legal Fees — Legal fees and other related expenses incurred as part of negotiations of the terms and requirement of capital infusions, or that are expected to result in the restructuring of, or a plan of reorganization for, an investment are recorded as realized losses. Ongoing expenditures to protect or enhance an investment are treated as operating expenses.

F Use of Estimates — The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America 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.

G Indemnifications — Under each Trust’s organizational documents, its officers and Trustees may be indemnified against certain liabilities and expenses arising out of the performance of their duties to each Trust. Under Massachusetts law, if certain conditions prevail, shareholders of a Massachusetts business trust (such as a Trust) could be deemed to have personal liability for the obligations of the Trust. However, each Trust’s Declaration of Trust contains an express disclaimer of liability on the part of Trust shareholders and the By-laws provide that the Trust shall assume the defense on behalf of any Trust shareholders. Moreover, the By-laws also provide for indemnification out of Trust property of any shareholder held personally liable solely by reason of being or having been a shareholder for all loss or expense arising from such liability. Additionally, in the normal course of business, each Trust enters into agreements with service providers that may contain indemnification clauses. Each Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Trust that have not yet occurred.

H Floating Rate Notes Issued in Conjunction with Securities Held — The Trusts may invest in residual interest bonds, also referred to as inverse floating rate securities, whereby a Trust may sell a variable or fixed rate bond to a broker for cash. At the same time, the Trust buys a residual interest in the assets and cash flows of a Special-Purpose Vehicle (the SPV), (which is generally organized as a trust), set up by the broker. The broker deposits a bond into the SPV with the same CUSIP number as the bond sold to the broker by the Trust, and which may have been, but is not required to be, the bond purchased from the Trust (the Bond). The SPV also issues floating rate notes (Floating Rate Notes) which are sold to third-parties. The residual interest bond held by a Trust gives the Trust the right (1) to cause the holders of the Floating Rate Notes to generally tender their notes at par, and (2) to have the broker transfer the Bond held by the SPV to the Trust, thereby terminating the SPV. Should the Trust exercise such right, it would generally pay the broker the par amount due on the Floating Rate Notes and exchange the residual interest bond for the underlying Bond. Pursuant to generally accepted accounting principles for transfers and servicing of financial assets and extinguishment of liabilities, the Trusts account for the transaction described above as a secured borrowing by including the Bond in its Portfolio of Investments and the Floating Rate Notes as a liability under the caption “Payable for floating rate notes issued” in their Statement of Assets and Liabilities. The Floating Rate Notes have interest rates that generally reset weekly and their holders have the option to tender their notes to the broker for redemption at par at each reset date. Interest expense related to the Trusts’ liability with respect to Floating Rate Notes is recorded as incurred. The SPV may be terminated by the Trust, as noted above, or by the broker upon the occurrence of certain termination events as defined in the trust agreement, such as a downgrade in the credit quality of the underlying Bond, bankruptcy of or payment failure by the issuer of the underlying Bond, the inability to remarket Floating Rate Notes that have been tendered due to insufficient buyers in the market, or the failure by the SPV to obtain renewal of the liquidity agreement under which liquidity support is provided for the Floating Rate Notes up to one year. Structuring fees paid to the liquidity provider upon the creation of an SPV have been recorded as debt issuance costs and are being amortized as interest expense to the expected maturity of the related trust. Unamortized structuring fees related to a terminated SPV are recorded as realized loss on extinguishment of debt. At May 31, 2011, the amounts of the Trusts’ Floating Rate Notes and related interest rates and collateral were as follows:

California Massachusetts New Jersey New York Pennsylvania
Trust Trust Trust Trust Trust
Floating Rate Notes Outstanding $ 19,555,000 $ 4,885,000 $ 11,255,000 $ 20,455,000 $ 1,650,000
Interest Rate or Range of Interest Rates (%) 0.18 - 0.24 0.18 - 0.25 0.18 - 0.38 0.16 - 0.27 0.19 - 0.23
Collateral for Floating Rate Notes Outstanding $ 25,941,141 $ 6,452,753 $ 15,268,979 $ 25,990,615 $ 2,812,978

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For the six months ended May 31, 2011, the Trusts’ average Floating Rate Notes outstanding and the average interest rate (annualized) including fees and amortization of deferred debt issuance costs were as follows:

California Massachusetts New Jersey New York Ohio Pennsylvania
Trust Trust Trust Trust Trust Trust
Average Floating Rate Notes Outstanding $ 19,209,615 $ 4,885,000 $ 12,989,071 $ 20,549,533 $ 674,945 $ 1,958,571
Average Interest Rate 0.79 % 0.82 % 0.83 % 0.80 % 0.94 % 0.94 %

The Trusts may enter into shortfall and forbearance agreements with the broker by which a Trust agrees to reimburse the broker, in certain circumstances, for the difference between the liquidation value of the Bond held by the SPV and the liquidation value of the Floating Rate Notes, as well as any shortfalls in interest cash flows. The Trusts had no shortfalls as of May 31, 2011.

The Trusts may also purchase residual interest bonds from brokers in a secondary market transaction without first owning the underlying bond. Such transactions are not required to be treated as secured borrowings. Shortfall agreements, if any, related to residual interest bonds purchased in a secondary market transaction are disclosed in the Portfolio of Investments. The Trusts’ investment policies and restrictions expressly permit investments in residual interest bonds. Such bonds typically offer the potential for yields exceeding the yields available on fixed rate bonds with comparable credit quality and maturity. These securities tend to underperform the market for fixed rate bonds in a rising long-term interest rate environment, but tend to outperform the market for fixed rate bonds when long-term interest rates decline. The value and income of residual interest bonds are generally more volatile than that of a fixed rate bond. The Trusts’ investment policies do not allow the Trusts to borrow money except as permitted by the 1940 Act. Management believes that the Trusts’ restrictions on borrowing money and issuing senior securities (other than as specifically permitted) do not apply to Floating Rate Notes issued by the SPV and included as a liability in the Trusts’ Statement of Assets and Liabilities. As secured indebtedness issued by an SPV, Floating Rate Notes are distinct from the borrowings and senior securities to which the Trusts’ restrictions apply. Residual interest bonds held by the Trusts are securities exempt from registration under Rule 144A of the Securities Act of 1933.

I Financial Futures Contracts — Upon entering into a financial futures contract, a Trust is required to deposit with the broker, either in cash or securities, an amount equal to a certain percentage of the purchase price (initial margin). Subsequent payments, known as variation margin, are made or received by the Trust each business day, depending on the daily fluctuations in the value of the underlying security, and are recorded as unrealized gains or losses by the Trust. Gains (losses) are realized upon the expiration or closing of the financial futures contracts. Should market conditions change unexpectedly, the Trust may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. Futures contracts have minimal counterparty risk as they are exchange traded and the clearinghouse for the exchange is substituted as the counterparty, guaranteeing counterparty performance.

J Interest Rate Swaps — Pursuant to interest rate swap agreements, a Trust makes periodic payments at a fixed interest rate and, in exchange, receives payments based on the interest rate of a benchmark industry index. During the term of the outstanding swap agreement, changes in the underlying value of the swap are recorded as unrealized gains or losses. The value of the swap is determined by changes in the relationship between two rates of interest. A Trust is exposed to credit loss in the event of non-performance by the swap counterparty. Risk may also arise from movements in interest rates.

K When-Issued Securities and Delayed Delivery Transactions — The Trusts may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. At the time the transaction is negotiated, the price of the security that will be delivered is fixed. The Trusts maintain security positions for these commitments such that sufficient liquid assets will be available to make payments upon settlement. Securities purchased on a delayed delivery or when-issued basis are marked-to-market daily and begin earning interest on settlement date. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the contract.

L Statement of Cash Flows — The cash amount shown in the Statement of Cash Flows of a Trust is the amount included in the Trust’s Statement of Assets and Liabilities and represents the cash on hand at its custodian and does not include any short-term investments.

M Interim Financial Statements — The interim financial statements relating to May 31, 2011 and for the six months then ended have not been audited by an independent registered public accounting firm, but in the opinion of the Trusts’ management, reflect all adjustments, consisting only of normal recurring adjustments, necessary for the fair presentation of the financial statements.

2 Auction Preferred Shares

Each Trust issued Auction Preferred Shares (APS) on March 1, 1999 in a public offering. The underwriting discounts and other offering costs incurred in connection with the offering were recorded as a reduction of the paid-in capital of the common shares of each respective Trust. Dividends on the APS, which accrue daily, are cumulative at rates which are reset every seven days by an auction, unless a special dividend period has been set. If the APS auctions do not successfully clear, the dividend payment rate over the next period for the APS holders is set at a specified maximum applicable rate until such time as the APS auctions are successful. The maximum applicable rate on the APS is 110% (150% for taxable distributions) of the greater of the 1) “AA” Financial Composite Commercial Paper Rate or 2) Taxable Equivalent of the Short-Term Municipal Obligation Rate on the date of the auction.

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The APS are redeemable at the option of each Trust at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, on any dividend payment date. The APS are also subject to mandatory redemption at a redemption price equal to $25,000 per share, plus accumulated and unpaid dividends, if a Trust is in default for an extended period on its asset maintenance requirements with respect to the APS. If the dividends on the APS remain unpaid in an amount equal to two full years’ dividends, the holders of the APS as a class have the right to elect a majority of the Board of Trustees. In general, the holders of the APS and the common shares have equal voting rights of one vote per share, except that the holders of the APS, as a separate class, have the right to elect at least two members of the Board of Trustees. The APS have a liquidation preference of $25,000 per share, plus accumulated and unpaid dividends. Each Trust is required to maintain certain asset coverage with respect to the APS as defined in the Trusts’ By-laws and the 1940 Act. Each Trust pays an annual fee up to 0.15% of the liquidation value of the APS to broker-dealers as a service fee if the auctions are unsuccessful; otherwise, the annual fee is 0.25%.

3 Distributions to Shareholders

Each Trust intends to make monthly distributions of net investment income to common shareholders, after payment of any dividends on any outstanding APS. In addition, at least annually, each Trust intends to distribute all or substantially all of its net realized capital gains (reduced by available capital loss carryforwards from prior years, if any). Distributions to common shareholders are recorded on the ex-dividend date. Distributions to preferred shareholders are recorded daily and are payable at the end of each dividend period. The dividend rates for APS at May 31, 2011, and the amount of dividends accrued (including capital gains, if any) to APS shareholders, average APS dividend rates (annualized), and dividend rate ranges for the six months then ended were as follows:

California Massachusetts Michigan New Jersey New York Ohio Pennsylvania
Trust Trust Trust Trust Trust Trust Trust
APS Dividend Rates at 5/31/11 0.31 % 0.31 % 0.31 % 0.31 % 0.31 % 0.31 % 0.31 %
Dividends Accrued to APS Shareholders $ 100,856 $ 40,314 $ 34,534 $ 67,456 $ 67,138 $ 45,896 $ 42,578
Average APS Dividend Rates 0.40 % 0.40 % 0.40 % 0.40 % 0.40 % 0.41 % 0.40 %
Dividend Rate Ranges (%) 0.31 - 0.69 0.31 - 0.69 0.31 - 0.50 0.31 - 0.69 0.31 - 0.69 0.31 - 0.69 0.31 - 0.69

Beginning February 13, 2008 and consistent with the patterns in the broader market for auction-rate securities, the Trusts’ APS auctions were unsuccessful in clearing due to an imbalance of sell orders over bids to buy the APS. As a result, the dividend rates of the APS were reset to the maximum applicable rates. The table above reflects such maximum dividend rates for each Trust as of May 31, 2011.

The Trusts distinguish between distributions on a tax basis and a financial reporting basis. Accounting principles generally accepted in the United States of America require that only distributions in excess of tax basis earnings and profits be reported in the financial statements as a return of capital. Permanent differences between book and tax accounting relating to distributions are reclassified to paid-in capital. For tax purposes, distributions from short-term capital gains are considered to be from ordinary income.

4 Investment Adviser Fee and Other Transactions with Affiliates

The investment adviser fee is earned by Eaton Vance Management (EVM) as compensation for investment advisory services rendered to each Trust. The fee is computed at an annual rate of 0.670% (0.685% prior to May 1, 2011) of each Trust’s average weekly gross assets to May 1, 2012 and is payable monthly. Pursuant to a fee reduction agreement between each Trust and EVM, the annual adviser fee rate will be reduced by 0.015% every May 1 for the next eighteen years. The fee reduction cannot be terminated without the consent of the Trustees and shareholders. Average weekly gross assets include the principal amount of any indebtedness for money borrowed, including debt securities issued by a Trust, and the amount of any outstanding APS issued by the Trust. Pursuant to a fee reduction agreement with EVM, average weekly gross assets are calculated by adding to net assets the liquidation value of a Trust’s APS then outstanding and the amount payable by the Trust to floating rate note holders, such adjustment being limited to the value of the APS outstanding prior to any APS redemptions by the Trust. The administration fee is earned by EVM for administering the business affairs of each Trust and is computed at an annual rate of 0.20% of each Trust’s average weekly gross assets. For the six months ended May 31, 2011, the investment adviser fees and administration fees were as follows:

California Massachusetts Michigan New Jersey New York Ohio Pennsylvania
Trust Trust Trust Trust Trust Trust Trust
Investment Adviser Fee $ 481,432 $ 192,378 $ 147,403 $ 327,414 $ 381,395 $ 199,806 $ 193,639
Administration Fee $ 141,099 $ 56,383 $ 43,202 $ 95,959 $ 111,781 $ 58,560 $ 56,752

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Except for Trustees of the Trusts who are not members of EVM’s organization, officers and Trustees receive remuneration for their services to the Trusts out of the investment adviser fee. Trustees of the Trusts who 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 May 31, 2011, no significant amounts have been deferred. Certain officers and Trustees of the Trusts are officers of EVM.

5 Purchases and Sales of Investments

Purchases and sales of investments, other than short-term obligations, for the six months ended May 31, 2011 were as follows:

California Massachusetts Michigan New Jersey New York Ohio Pennsylvania
Trust Trust Trust Trust Trust Trust Trust
Purchases $ 15,476,785 $ 5,897,178 $ 4,926,482 $ 6,050,125 $ 12,172,363 $ 4,743,340 $ 3,246,441
Sales $ 18,045,946 $ 6,840,067 $ 4,019,408 $ 11,565,682 $ 13,609,533 $ 2,212,958 $ 3,755,723

6 Common Shares of Beneficial Interest

Common shares issued pursuant to the Trusts’ dividend reinvestment plan for the six months ended May 31, 2011 and the year ended November 30, 2010 were as follows:

Trust Trust Trust Trust Trust Trust
Six Months Ended May 31, 2011 (Unaudited) 9,264 5,774 5,077 8,211 8,348 —
Year Ended November 30, 2010 22,026 12,738 27,868 35,153 11,892 6,938

7 Federal Income Tax Basis of Investments

The cost and unrealized appreciation (depreciation) of investments of each Trust at May 31, 2011, as determined on a federal income tax basis, were as follows:

California — Trust Massachusetts — Trust Michigan — Trust New Jersey — Trust New York — Trust Ohio — Trust Pennsylvania — Trust
Aggregate cost $ 138,325,495 $ 56,111,139 $ 45,322,359 $ 89,890,159 $ 103,053,991 $ 58,836,981 $ 56,584,030
Gross unrealized appreciation $ 4,785,366 $ 1,369,706 $ 916,206 $ 2,488,192 $ 2,707,758 $ 1,671,269 $ 1,357,282
Gross unrealized depreciation (9,176,749 ) (2,427,908 ) (2,302,389 ) (3,519,579 ) (5,328,079 ) (2,534,239 ) (2,455,162 )
Net unrealized depreciation $ (4,391,383 ) $ (1,058,202 ) $ (1,386,183 ) $ (1,031,387 ) $ (2,620,321 ) $ (862,970 ) $ (1,097,880 )

8 Overdraft Advances

Pursuant to the respective custodian agreements, SSBT may, in its discretion, advance funds to the Trusts to make properly authorized payments. When such payments result in an overdraft, the Trusts are obligated to repay SSBT at the current rate of interest charged by SSBT for secured loans (currently, a rate above the Federal Funds rate). This obligation is payable on demand to SSBT. SSBT has a lien on a Trust’s assets to the extent of any overdraft. At May 31, 2011, Ohio Trust had a payment due to SSBT pursuant to the foregoing arrangement of $80,249.

9 Financial Instruments

The Trusts may trade in financial instruments with off-balance sheet risk in the normal course of their investing activities. These financial instruments may include financial futures contracts and interest rate swaps 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 Trust has in particular classes of financial instruments and do 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.

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A summary of obligations under these financial instruments at May 31, 2011 is as follows:

Futures Contracts
Net
Expiration Aggregate Unrealized
Trust Date Contracts Position Cost Value Depreciation
California 9/11 68 U.S. 10-Year Treasury Note Short $ (8,274,626 ) $ (8,337,438 ) $ (62,812 )
9/11 88 U.S. 30-Year Treasury Bond Short $ (10,910,464 ) $ (10,986,250 ) $ (75,786 )
Massachusetts 9/11 60 U.S. 10-Year Treasury Note Short $ (7,301,140 ) $ (7,356,562 ) $ (55,422 )
Michigan 9/11 1 U.S. 10-Year Treasury Note Short $ (121,685 ) $ (122,609 ) $ (924 )
9/11 8 U.S. 30-Year Treasury Bond Short $ (991,861 ) $ (998,750 ) $ (6,889 )
New Jersey 9/11 125 U.S. 30-Year Treasury Bond Short $ (15,497,818 ) $ (15,605,469 ) $ (107,651 )
New York 9/11 75 U.S. 10-Year Treasury Note Short $ (9,126,424 ) $ (9,195,703 ) $ (69,279 )
Ohio 9/11 6 U.S. 10-Year Treasury Note Short $ (730,114 ) $ (735,656 ) $ (5,542 )
9/11 21 U.S. 30-Year Treasury Bond Short $ (2,603,633 ) $ (2,621,719 ) $ (18,086 )
Pennsylvania 9/11 50 U.S. 30-Year Treasury Bond Short $ (6,199,127 ) $ (6,242,187 ) $ (43,060 )
Interest Rate Swaps
California Trust
Annual Floating Effective Date/
Notional Fixed Rate Rate Termination Net Unrealized
Counterparty Amount Paid By Trust Paid To Trust Date Depreciation
Bank of America $ 3,412,500 4.165 % 3-month USD-LIBOR-BBA August 12, 2011/ August 12, 2041 $ (92,711 )
$ (92,711 )
Massachusetts Trust
Annual Floating Effective Date/
Notional Fixed Rate Rate Termination Net Unrealized
Counterparty Amount Paid By Trust Paid To Trust Date Depreciation
Bank of America $ 1,250,000 4.165 % 3-month USD-LIBOR-BBA August 12, 2011/ August 12, 2041 $ (33,960 )
JPMorgan Chase Co. 787,500 4.425 3-month USD-LIBOR-BBA June 14, 2011/ June 14, 2041 (63,290 )
$ (97,250 )

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Michigan Trust Annual Floating Effective Date/
Notional Fixed Rate Rate Termination Net Unrealized
Counterparty Amount Paid By Trust Paid To Trust Date Depreciation
Bank of America $ 400,000 4.165 % 3-month USD-LIBOR-BBA August 12, 2011/ August 12, 2041 $ (10,867 )
$ (10,867 )
New Jersey Trust
Annual Floating Effective Date/
Notional Fixed Rate Rate Termination Net Unrealized
Counterparty Amount Paid By Trust Paid To Trust Date Depreciation
Bank of America $ 2,187,500 4.165 % 3-month USD-LIBOR-BBA August 12, 2011/ August 12, 2041 $ (59,430 )
JPMorgan Chase Co. 1,362,500 4.425 3-month USD-LIBOR-BBA June 14, 2011/ June 14, 2041 (109,501 )
$ (168,931 )
New York Trust
Annual Floating Effective Date/
Notional Fixed Rate Rate Termination Net Unrealized
Counterparty Amount Paid By Trust Paid To Trust Date Depreciation
Bank of America $ 5,200,000 4.165 % 3-month USD-LIBOR-BBA August 12, 2011/ August 12, 2041 $ (141,275 )
JPMorgan Chase Co. 1,600,000 4.425 3-month USD-LIBOR-BBA June 14, 2011/ June 14, 2041 (128,588 )
$ (269,863 )
Ohio Trust
Annual Floating Effective Date/
Notional Fixed Rate Rate Termination Net Unrealized
Counterparty Amount Paid By Trust Paid To Trust Date Depreciation
Bank of America $ 750,000 4.165 % 3-month USD-LIBOR-BBA August 12, 2011/ August 12, 2041 $ (20,376 )
JPMorgan Chase Co. 812,500 4.425 3-month USD-LIBOR-BBA June 14, 2011/ June 14, 2041 (65,299 )
$ (85,675 )
Pennsylvania Trust
Annual Floating Effective Date/
Notional Fixed Rate Rate Termination Net Unrealized
Counterparty Amount Paid By Trust Paid To Trust Date Depreciation
Bank of America $ 1,000,000 4.165 % 3-month USD-LIBOR-BBA August 12, 2011/ August 12, 2041 $ (27,168 )
JPMorgan Chase Co. 912,500 4.425 3-month USD-LIBOR-BBA June 14, 2011/ June 14, 2041 (73,335 )
$ (100,503 )

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The effective date represents the date on which a Trust and the counterparty to the interest rate swap contract begin interest payment accruals.

At May 31, 2011, the Trusts had sufficient cash and/or securities to cover commitments under these contracts.

Each Trust is subject to interest rate risk in the normal course of pursuing its investment objectives. Because the Trusts hold fixed-rate bonds, the value of these bonds may decrease if interest rates rise. To hedge against this risk, the Trusts enter into interest rate swap contracts. The Trusts also purchase and sell U.S. Treasury futures contracts to hedge against changes in interest rates.

The Trusts enter into interest rate swap contracts that may contain provisions whereby the counterparty may terminate the contract under certain conditions, including but not limited to a decline in a Trust’s net assets below a certain level over a certain period of time, which would trigger a payment by the Trust for those swaps in a liability position. At May 31, 2011, the fair value of interest rate swaps with credit-related contingent features in a net liability position was equal to the fair value of the liability derivative related to interest rate swaps included in the table below for each respective Trust. The value of securities pledged as collateral, if any, for open interest rate swap contracts at May 31, 2011 is disclosed in a note to each Trust’s Portfolio of Investments.

The non-exchange traded derivatives in which a Trust invests, including swap contracts, are subject to the risk that the counterparty to the contract fails to perform its obligations under the contract. At May 31, 2011, the maximum amount of loss the Trusts would incur due to counterparty risk was equal to the fair value of the asset derivative related to interest rate swaps included in the table below for each respective Trust. Counterparties may be required to pledge collateral in the form of cash, U.S. Government securities or highly-rated bonds for the benefit of a Trust if the net amount due from the counterparty with respect to a derivative contract exceeds a certain threshold. The amount of collateral posted by the counterparties with respect to such contracts would reduce the amount of any loss incurred.

The fair values of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) and whose primary underlying risk exposure is interest rate risk at May 31, 2011 were as follows:

California — Trust Massachusetts — Trust Michigan — Trust New Jersey — Trust New York — Trust Ohio — Trust Pennsylvania — Trust
Liability Derivative:
Futures
Contracts (1) $ (138,598 ) $ (55,422 ) $ (7,813 ) $ (107,651 ) $ (69,279 ) $ (23,628 ) $ (43,060 )
Interest Rate Swaps (2) (92,711 ) (97,250 ) (10,867 ) (168,931 ) (269,863 ) (85,675 ) (100,503 )
Total $ (231,309 ) $ (152,672 ) $ (18,680 ) $ (276,582 ) $ (339,142 ) $ (109,303 ) $ (143,563 )

| (1) | Amount represents cumulative unrealized depreciation on futures
contracts in the Futures Contracts table above. Only the current
day’s variation margin on open futures contracts is
reported within the Statement of Assets and Liabilities as
Receivable or Payable for variation margin, as applicable. |
| --- | --- |
| (2) | Statement of Assets and Liabilities location: Payable for open
swap contracts; Net unrealized depreciation. |

The effect of derivative instruments (not considered to be hedging instruments for accounting disclosure purposes) on the Statement of Operations and whose primary underlying risk exposure is interest rate risk for the six months ended May 31, 2011 was as follows:

California — Trust Massachusetts — Trust Michigan — Trust New Jersey — Trust New York — Trust Ohio — Trust Pennsylvania — Trust
Realized Gain (Loss) on Derivatives Recognized in
Income (1) $ (877,387 ) $ (161,631 ) $ (45,681 ) $ 231,122 $ 233,112 $ 2,174 $ 143,244
Change in Unrealized Appreciation (Depreciation) on Derivatives
Recognized in
Income (2) $ (74,935 ) $ (154,782 ) $ 3,820 $ (288,596 ) $ (195,189 ) $ (111,600 ) $ (167,184 )

| (1) | Statement of Operations location: Net realized gain
(loss) – Financial futures contracts and Swap
contracts. |
| --- | --- |
| (2) | Statement of Operations location: Change in unrealized
appreciation (depreciation) – Financial futures
contracts and Swap contracts. |

The average notional amounts of futures contracts and interest rate swaps outstanding during the six months ended May 31, 2011, which are indicative of the volume of these derivative types, were approximately as follows:

California Massachusetts Michigan New Jersey New York Ohio Pennsylvania
Trust Trust Trust Trust Trust Trust Trust
Average Notional Amount:
Futures Contracts $ 11,200,000 $ 4,286,000 $ 657,000 $ 12,500,000 $ 7,071,000 $ 2,057,000 $ 5,000,000
Interest Rate Swaps $ 3,412,500 $ 2,037,500 $ 400,000 $ 3,550,000 $ 6,800,000 $ 1,562,500 $ 1,912,500

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10 Fair Value Measurements

Under generally accepted accounting principles for fair value measurements, a three-tier hierarchy to prioritize the assumptions, referred to as inputs, is used in valuation techniques to measure fair value. The three-tier hierarchy of inputs is summarized in the three broad levels listed below.

| • | Level 1 – quoted prices in active markets for
identical investments |
| --- | --- |
| • | Level 2 – other significant observable inputs
(including quoted prices for similar investments, interest
rates, prepayment speeds, credit risk, etc.) |
| • | Level 3 – significant unobservable inputs
(including a fund’s own assumptions in determining the fair
value of investments) |

In cases where the inputs used to measure fair value fall in different levels of the fair value hierarchy, the level disclosed is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

At May 31, 2011, the hierarchy of inputs used in valuing the Trusts’ investments, which are carried at value, were as follows:

California Trust — Asset Description Level 1 Level 2 Level 3 Total
Tax-Exempt Investments $ — $ 153,489,112 $ — $ 153,489,112
Total Investments $ — $ 153,489,112 $ — $ 153,489,112
Liability Description
Futures Contracts $ (138,598 ) $ — $ — $ (138,598 )
Interest Rate Swaps — (92,711 ) — (92,711 )
Total $ (138,598 ) $ (92,711 ) $ — $ (231,309 )
Massachusetts Trust
Asset Description Level 1 Level 2 Level 3 Total
Tax-Exempt Investments $ — $ 59,937,937 $ — $ 59,937,937
Total Investments $ — $ 59,937,937 $ — $ 59,937,937
Liability Description
Futures Contracts $ (55,422 ) $ — $ — $ (55,422 )
Interest Rate Swaps — (97,250 ) — (97,250 )
Total $ (55,422 ) $ (97,250 ) $ — $ (152,672 )
Michigan Trust
Asset Description Level 1 Level 2 Level 3 Total
Tax-Exempt Investments $ — $ 43,936,176 $ — $ 43,936,176
Total Investments $ — $ 43,936,176 $ — $ 43,936,176
Liability Description
Futures Contracts $ (7,813 ) $ — $ — $ (7,813 )
Interest Rate Swaps — (10,867 ) — (10,867 )
Total $ (7,813 ) $ (10,867 ) $ — $ (18,680 )

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New Jersey Trust — Asset Description Level 1 Level 2 Level 3 Total
Tax-Exempt Investments $ — $ 100,113,772 $ — $ 100,113,772
Total Investments $ — $ 100,113,772 $ — $ 100,113,772
Liability Description
Futures Contracts $ (107,651 ) $ — $ — $ (107,651 )
Interest Rate Swaps — (168,931 ) — (168,931 )
Total $ (107,651 ) $ (168,931 ) $ — $ (276,582 )
New York Trust
Asset Description Level 1 Level 2 Level 3 Total
Tax-Exempt Investments $ — $ 120,888,670 $ — $ 120,888,670
Total Investments $ — $ 120,888,670 $ — $ 120,888,670
Liability Description
Futures Contracts $ (69,279 ) $ — $ — $ (69,279 )
Interest Rate Swaps — (269,863 ) — (269,863 )
Total $ (69,279 ) $ (269,863 ) $ — $ (339,142 )
Ohio Trust
Asset Description Level 1 Level 2 Level 3 Total
Tax-Exempt Investments $ — $ 57,974,011 $ — $ 57,974,011
Total Investments $ — $ 57,974,011 $ — $ 57,974,011
Liability Description
Futures Contracts $ (23,628 ) $ — $ — $ (23,628 )
Interest Rate Swaps — (85,675 ) — (85,675 )
Total $ (23,628 ) $ (85,675 ) $ — $ (109,303 )
Pennsylvania Trust
Asset Description Level 1 Level 2 Level 3 Total
Tax-Exempt Investments $ — $ 57,136,150 $ — $ 57,136,150
Total Investments $ — $ 57,136,150 $ — $ 57,136,150
Liability Description
Futures Contracts $ (43,060 ) $ — $ — $ (43,060 )
Interest Rate Swaps — (100,503 ) — (100,503 )
Total $ (43,060 ) $ (100,503 ) $ — $ (143,563 )

The Trusts held no investments or other financial instruments as of November 30, 2010 whose fair value was determined using Level 3 inputs. At May 31, 2011, the value of investments transferred between Level 1 and Level 2, if any, during the six months then ended was not significant.

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Annual Meeting of Shareholders (Unaudited)

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Each Trust held its Annual Meeting of Shareholders on March 25, 2011. The following action was taken by the shareholders of each Trust:

Item 1: The election of William H. Park and Helen Frame Peters as Class III Trustees of each Trust for a term expiring in 2014.

Nominee for Class III Trustee Nominee for Class III Trustee
Elected by All Shareholders: Elected by All Shareholders:
Trust William H. Park Helen Frame Peters
California Trust
For 6,520,685 6,520,685
Withheld 185,534 185,534
Massachusetts Trust
For 2,556,414 2,503,655
Withheld 50,358 103,117
Michigan Trust
For 1,721,121 1,696,681
Withheld 159,086 183,526
New Jersey Trust
For 4,358,020 4,358,019
Withheld 48,104 48,105
New York Trust
For 4,873,176 4,875,211
Withheld 224,568 222,533
Ohio Trust
For 2,667,124 2,665,340
Withheld 62,548 64,332
Pennsylvania Trust
For 2,459,479 2,458,275
Withheld 36,817 38,021

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Board of Trustees’ Contract Approval

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Overview of the Contract Review Process

The Investment Company Act of 1940, as amended (the “1940 Act”), provides, in substance, that each investment advisory agreement between a fund and its investment adviser will continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of the trustees who are not “interested persons” of the fund (“Independent Trustees”), cast in person at a meeting called for the purpose of considering such approval.

At a meeting of the Boards of Trustees (each a “Board”) of the Eaton Vance group of mutual funds (the “Eaton Vance Funds”) held on April 25, 2011, the Board, including a majority of the Independent Trustees, voted to approve continuation of existing advisory and sub-advisory agreements for the Eaton Vance Funds for an additional one-year period. In voting its approval, the Board relied upon the affirmative recommendation of the Contract Review Committee of the Board, which is a committee comprised exclusively of Independent Trustees. Prior to making its recommendation, the Contract Review Committee reviewed information furnished for a series of meetings of the Contract Review Committee held between February and April 2011. Such information included, among other things, the following:

Information about Fees, Performance and Expenses

| • | An independent report comparing the advisory and related fees
paid by each fund with fees paid by comparable funds; |
| --- | --- |
| • | An independent report comparing each fund’s total expense
ratio and its components to comparable funds; |
| • | An independent report comparing the investment performance of
each fund (including yield data and Sharpe and information
ratios where relevant) to the investment performance of
comparable funds over various time periods; |
| • | Data regarding investment performance in comparison to relevant
peer groups of similarly managed funds and appropriate indices; |
| • | For each fund, comparative information concerning the fees
charged and the services provided by each adviser in managing
other mutual funds and institutional accounts using investment
strategies and techniques similar to those used in managing such
fund; |
| • | Profitability analyses for each adviser with respect to each
fund; |

Information about Portfolio Management

| • | Descriptions of the investment management services provided to
each fund, including the investment strategies and processes
employed, and any changes in portfolio management processes and
personnel; |
| --- | --- |
| • | Information about the allocation of brokerage and the benefits
received by each adviser as a result of brokerage allocation,
including information concerning the acquisition of research
through client commission arrangements and/or the
fund’s policies with respect to “soft dollar”
arrangements; |
| • | Data relating to portfolio turnover rates of each fund; |
| • | The procedures and processes used to determine the fair value of
fund assets and actions taken to monitor and test the
effectiveness of such procedures and processes; |

Information about each Adviser

| • | Reports detailing the financial results and condition of each
adviser; |
| --- | --- |
| • | Descriptions of the qualifications, education and experience of
the individual investment professionals whose responsibilities
include portfolio management and investment research for the
funds, and information relating to their compensation and
responsibilities with respect to managing other mutual funds and
investment accounts; |
| • | Copies of the Codes of Ethics of each adviser and its
affiliates, together with information relating to compliance
with and the administration of such codes; |
| • | Copies of or descriptions of each adviser’s policies and
procedures relating to proxy voting, the handling of corporate
actions and class actions; |
| • | Information concerning the resources devoted to compliance
efforts undertaken by each adviser and its affiliates on behalf
of the funds (including descriptions of various compliance
programs) and their record of compliance with investment
policies and restrictions, including policies with respect to
market-timing, late trading and selective portfolio disclosure,
and with policies on personal securities transactions; |
| • | Descriptions of the business continuity and disaster recovery
plans of each adviser and its affiliates; |
| • | A description of Eaton Vance Management’s procedures for
overseeing third party advisers and sub-advisers; |

Other Relevant Information

| • | Information concerning the nature, cost and character of the
administrative and other non-investment management services
provided by Eaton Vance Management and its affiliates; |
| --- | --- |
| • | Information concerning management of the relationship with the
custodian, subcustodians and fund accountants by each adviser or
the funds’ administrator; and |
| • | The terms of each advisory agreement. |

In addition to the information identified above, the Contract Review Committee considered information provided from time to time by each adviser throughout the year at meetings of the Board and its committees. Over the course of the twelve-month period ended April 30, 2011, with respect to one

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or more funds, the Board met nine times and the Contract Review Committee, the Audit Committee, the Governance Committee, the Portfolio Management Committee and the Compliance Reports and Regulatory Matters Committee, each of which is a Committee comprised solely of Independent Trustees, met nine, fifteen, seven, eight and twelve times, respectively. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of each adviser relating to the investment performance of each fund and the investment strategies used in pursuing the fund’s investment objective including, where relevant, the use of derivative instruments, as well as trading policies and procedures and risk management techniques.

For funds that invest through one or more underlying portfolios, the Board considered similar information about the portfolio(s) when considering the approval of advisory agreements. In addition, in cases where the fund’s investment adviser has engaged a sub-adviser, the Board considered similar information about the sub-adviser when considering the approval of any sub-advisory agreement.

The Contract Review Committee was assisted throughout the contract review process by Goodwin Procter LLP, legal counsel for the Independent Trustees. The members of the Contract Review Committee relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating each advisory and sub-advisory agreement and the weight to be given to each such factor. The conclusions reached with respect to each advisory and sub-advisory agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each member of the Contract Review Committee may have placed varying emphasis on particular factors in reaching conclusions with respect to each advisory and sub-advisory agreement.

Results of the Process

Based on its consideration of the foregoing, and such other information as it deemed relevant, including the factors and conclusions described below, the Contract Review Committee concluded that the continuance of the investment advisory agreements of the following funds:

• Eaton Vance California Municipal Income Trust
• Eaton Vance Massachusetts Municipal Income Trust
• Eaton Vance Michigan Municipal Income Trust
• Eaton Vance New Jersey Municipal Income Trust
• Eaton Vance New York Municipal Income Trust
• Eaton Vance Ohio Municipal Income Trust
• Eaton Vance Pennsylvania Municipal Income Trust

(the “Funds”), each with Eaton Vance Management (the “Adviser”), including their fee structures, is in the interests of shareholders and, therefore, the Contract Review Committee recommended to the Board approval of each agreement. The Board accepted the recommendation of the Contract Review Committee as well as the factors considered and conclusions reached by the Contract Review Committee with respect to each agreement. Accordingly, the Board, including a majority of the Independent Trustees, voted to approve continuation of the investment advisory agreement for each Fund.

Nature, Extent and Quality of Services

In considering whether to approve the investment advisory agreements of the Funds, the Board evaluated the nature, extent and quality of services provided to the Funds by the Adviser.

The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of its investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Funds. In particular, the Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing factors such as credit risk, tax efficiency, and special considerations relevant to investing in municipal bonds. The Board considered the Adviser’s large municipal bond team, which includes portfolio managers and credit specialists who provide services to the Funds. The Board also took into account the resources dedicated to portfolio management and other services, including the compensation methods of the Adviser to recruit and retain investment personnel, and the time and attention devoted to each Fund by senior management.

The Board also reviewed the compliance programs of the Adviser and relevant affiliates thereof. Among other matters, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity and the allocation of investment opportunities. The Board also evaluated the responses of the Adviser and its affiliates to requests in recent years from regulatory authorities such as the Securities and Exchange Commission and the Financial Industry Regulatory Authority.

The Board considered shareholder and other administrative services provided or managed by Eaton Vance Management and its affiliates, including transfer agency and accounting services. The Board evaluated the benefits to shareholders of investing in a fund that is a part of a large family of funds.

After consideration of the foregoing factors, among others, the Board concluded that the nature, extent and quality of services provided by the Adviser, taken as a whole, are appropriate and consistent with the terms of the respective investment advisory agreements.

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Eaton Vance

Municipal Income Trusts

May 31, 2011

Board of Trustees’ Contract Approval — continued

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Fund Performance

The Board compared each Fund’s investment performance to a relevant universe of similarly managed funds identified by an independent data provider and appropriate benchmark indices and, where relevant, a peer group of similarly managed funds. The Board reviewed comparative performance data for the one-, three-, and five-, and for certain Funds, ten-year periods ended September 30, 2010 for each Fund in operation over such periods. The Board considered the impact of extraordinary market conditions in recent years on each Fund’s performance relative to its peer universe in light of, among other things, the Adviser’s efforts to generate reasonably stable levels of tax exempt current income over time through investments in higher quality municipal bonds with longer maturities. The Board noted that the Adviser had taken action to restructure each Fund’s portfolio as part of a long-term strategy for managing interest rate risk and credit risk, consistent with each Fund’s objective of providing current income. The Board concluded that additional time is required to evaluate the effectiveness of such actions.

Management Fees and Expenses

The Board reviewed contractual investment advisory fee rates, including any administrative fee rates, payable by each Fund (referred to collectively as “management fees”). As part of its review, the Board considered the management fees and each Fund’s total expense ratio for the year ended September 30, 2010, as compared to a group of similarly managed funds selected by an independent data provider. The Board considered the financial resources committed by the Adviser in structuring each Fund at the time of its initial public offering and the waiver of fees provided by the Adviser for the first five years of such Fund’s life. The Board considered that, in response to inquiries by the Contract Review Committee, the Adviser had agreed to implement a series of permanent reductions in management fees and that the first such reduction became effective on May 1, 2010. The Board also considered factors that had an impact on Fund expense ratios, as identified by management in response to inquiries from the Contract Review Committee, as well as actions being taken to reduce expenses at the Eaton Vance fund complex level, including the negotiation of reduced fees for transfer agency and custody services.

After reviewing the foregoing information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded with respect to each Fund that the management fees charged to the Fund for advisory and related services are reasonable.

Profitability

The Board reviewed the level of profits realized by the Adviser and relevant affiliates thereof in providing investment advisory and administrative services to each Fund and to all Eaton Vance Funds as a group. The Board considered the level of profits realized with and without regard to revenue sharing or other payments by the Adviser and its affiliates to third parties in respect of distribution services. The Board also considered other direct or indirect benefits received by the Adviser and its affiliates in connection with its relationship with the Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for a Fund and other investment advisory clients.

The Board concluded that, in light of the foregoing factors and the nature, extent and quality of the services rendered, the profits realized by the Adviser and its affiliates are reasonable.

Economies of Scale

In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund, on the other hand, can expect to realize benefits from economies of scale as the assets of the Fund increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific fund or group of funds. The Board reviewed data summarizing the increases and decreases in the assets of each Fund and of all Eaton Vance Funds as a group over various time periods, and evaluated the extent to which the total expense ratio of each Fund and the profitability of the Adviser and its affiliates may have been affected by such increases or decreases. The Board also considered the fact that the Funds are not continuously offered and concluded that, in light of the level of the Adviser’s profits with respect to each Fund, the implementation of breakpoints in the advisory fee schedule is not appropriate at this time. Based upon the foregoing, the Board concluded that each Fund currently shares in the benefits from economies of scale.

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Eaton Vance

Municipal Income Trusts

May 31, 2011

Officers and Trustees

Officers
Cynthia J. Clemson President of CEV, EMI, EVY, EVO and EVP Thomas M. Metzold President of MMV and EVJ Payson F. Swaffield Vice President Barbara E. Campbell Treasurer Maureen A. Gemma Vice President, Secretary and Chief Legal Officer Paul M. O’Neil Chief Compliance Officer
Trustees
Ralph F. Verni Chairman Benjamin C. Esty Thomas E. Faust Jr.* Allen R. Freedman William H. Park Ronald A. Pearlman Helen Frame Peters Lynn A. Stout
  • Interested Trustee

Number of Employees

Each Fund is organized as a Massachusetts business trust and is registered under the Investment Company Act of 1940, as amended, as a closed-end management investment company and has no employees.

Number of Shareholders

As of May 31, 2011, Fund records indicate that there are 102, 90, 57, 112, 100, 83 and 103 registered shareholders for California Municipal Income Trust, Massachusetts Municipal Income Trust, Michigan Municipal Income Trust, New Jersey Municipal Income Trust, New York Municipal Income Trust, Ohio Municipal Income Trust and Pennsylvania Municipal Income Trust, respectively, and approximately 2,416, 1,159, 1,176, 1,901, 2,243, 1,449 and 1,388 shareholders owning the Fund shares in street name, such as through brokers, banks and financial intermediaries for California Municipal Income Trust, Massachusetts Municipal Income Trust, Michigan Municipal Income Trust, New Jersey Municipal Income Trust, New York Municipal Income Trust, Ohio Municipal Income Trust and Pennsylvania Municipal Income Trust, respectively.

If you are a street name shareholder and wish to receive Fund reports directly, which contain important information about a Fund, please write or call:

Eaton Vance Distributors, Inc.

Two International Place

Boston, MA 02110

1-800-262-1122

NYSE Amex symbols

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California Municipal Income Trust CEV
Massachusetts Municipal Income Trust MMV
Michigan Municipal Income Trust EMI
New Jersey Municipal Income Trust EVJ
New York Municipal Income Trust EVY
Ohio Municipal Income Trust EVO
Pennsylvania Municipal Income Trust EVP

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Eaton Vance

Municipal Income Trusts

May 31, 2011

IMPORTANT NOTICES

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Privacy. The Eaton Vance organization is committed to ensuring your financial privacy. Each of the financial institutions identified below has in effect the following policy (Privacy Policy) with respect to nonpublic personal information about its customers:

| • | Only such information received from you, through application
forms or otherwise, and information about your Eaton Vance fund
transactions will be collected. This may include information
such as name, address, social security number, tax status,
account balances and transactions. |
| --- | --- |
| • | None of such information about you (or former customers) will be
disclosed to anyone, except as permitted by law (which includes
disclosure to employees necessary to service your account). In
the normal course of servicing a customer’s account, Eaton
Vance may share information with unaffiliated third parties that
perform various required services such as transfer agents,
custodians and broker/dealers. |
| • | Policies and procedures (including physical, electronic and
procedural safeguards) are in place that are designed to protect
the confidentiality of such information. |
| • | We reserve the right to change our Privacy Policy at any time
upon proper notification to you. Customers may want to review
our Privacy Policy periodically for changes by accessing the
link on our homepage: www.eatonvance.com. |

Our pledge of privacy applies to the following entities within the Eaton Vance organization: the Eaton Vance Family of Funds, Eaton Vance Management, Eaton Vance Investment Counsel, Eaton Vance Distributors, Inc., Eaton Vance Trust Company, Eaton Vance Management’s Real Estate Investment Group and Boston Management and Research. In addition, our Privacy Policy applies only to those Eaton Vance customers who are individuals and who have a direct relationship with us. If a customer’s account (i.e., fund shares) is held in the name of a third-party financial advisor/broker-dealer, it is likely that only such advisor’s privacy policies apply to the customer. This notice supersedes all previously issued privacy disclosures. For more information about Eaton Vance’s Privacy Policy, please call 1-800-262-1122.

Delivery of Shareholder Documents. The Securities and Exchange Commission (the “SEC”) permits funds to deliver only one copy of shareholder documents, including prospectuses, proxy statements and shareholder reports, to fund investors with multiple accounts at the same residential or post office box address. This practice is often called “householding” and it helps eliminate duplicate mailings to shareholders. Eaton Vance, or your financial advisor, may household the mailing of your documents indefinitely unless you instruct Eaton Vance, or your financial advisor, otherwise. If you would prefer that your Eaton Vance documents not be householded, please contact Eaton Vance at 1-800-262-1122, or contact your financial advisor. Your instructions that householding not apply to delivery of your Eaton Vance documents will be effective within 30 days of receipt by Eaton Vance or your financial advisor.

Portfolio Holdings. Each Eaton Vance Fund and its underlying Portfolio(s) (if applicable) will file a schedule of portfolio holdings on Form N-Q with the SEC for the first and third quarters of each fiscal year. The Form N-Q will be available on the Eaton Vance website at www.eatonvance.com, by calling Eaton Vance at 1-800-262-1122 or in the EDGAR database on the SEC’s website at www.sec.gov. Form N-Q may also be reviewed and copied at the SEC’s public reference room in Washington, D.C. (call 1-800-732-0330 for information on the operation of the public reference room).

Proxy Voting. From time to time, funds are required to vote proxies related to the securities held by the funds. The Eaton Vance Funds or their underlying Portfolios (if applicable) vote proxies according to a set of policies and procedures approved by the Funds’ and Portfolios’ Boards. You may obtain a description of these policies and procedures and information on how the Funds or Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, without charge, upon request, by calling 1-800-262-1122 and by accessing the SEC’s website at www.sec.gov.

Additional Notice to Shareholders. A Fund may redeem or purchase its outstanding auction preferred shares (APS) in order to maintain compliance with regulatory requirements, borrowing or rating agency requirements or for other purposes as it deems appropriate or necessary. A Fund also may purchase shares of its common stock in the open market when they trade at a discount to net asset value or at other times if the Fund determines such purchases are advisable. There can be no assurance that a Fund will take such action or that such purchases would reduce the discount.

Closed-End Fund Information. The Eaton Vance closed-end funds make certain quarterly fund performance data and information about portfolio characteristics (such as top holdings and asset allocation) available on the Eaton Vance website after the end of each calendar quarter-end. Certain month-end fund performance data for the funds, including total returns, are posted to the website shortly after the end of each calendar month. Portfolio holdings for the most recent calendar quarter-end are also posted to the website approximately 30 days following the end of the quarter. This information is available at www.eatonvance.com on the fund information pages under “Individual Investors – Closed-End Funds”.

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Investment Adviser and Administrator Eaton Vance Management

Two International Place

Boston, MA 02110

Custodian State Street Bank and Trust Company

200 Clarendon Street

Boston, MA 02116

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Transfer Agent American Stock Transfer & Trust Company

59 Maiden Lane

Plaza Level

New York, NY 10038

Fund Offices Two International Place

Boston, MA 02110

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147-7/11 CE-MUNISRC7

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link2 "Item 2. Code of Ethics"

Item 2. Code of Ethics

Not required in this filing.

link2 "Item 3. Audit Committee Financial Expert"

Item 3. Audit Committee Financial Expert

The registrant’s Board has designated William H. Park, an independent trustee, as its audit committee financial expert. Mr. Park is a certified public accountant who is the Chief Financial Officer of Aveon Group, L.P. (an investment management firm). Previously, he served as the Vice Chairman of Commercial Industrial Finance Corp. (specialty finance company), as President and Chief Executive Officer of Prizm Capital Management, LLC (investment management firm), as Executive Vice President and Chief Financial Officer of United Asset Management Corporation (an institutional investment management firm) and as a Senior Manager at Price Waterhouse (now PricewaterhouseCoopers) (an independent registered public accounting firm).

link2 "Item 4. Principal Accountant Fees and Services"

Item 4. Principal Accountant Fees and Services

Not required in this filing.

link2 "Item 5. Audit Committee of Listed Registrants"

Item 5. Audit Committee of Listed Registrants

Not required in this filing.

link2 "Item 6. Schedule of Investments"

Item 6. Schedule of Investments

Please see schedule of investments contained in the Report to Stockholders included under Item 1 of this Form N-CSR.

link2 "Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies"

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

The Board of Trustees of the Trust has adopted a proxy voting policy and procedure (the “Fund Policy”), pursuant to which the Trustees have delegated proxy voting responsibility to the Fund’s investment adviser and adopted the investment adviser’s proxy voting policies and procedures (the “Policies”) which are described below. The Trustees will review the Fund’s proxy voting records from time to time and will annually consider approving the Policies for the upcoming year. In the event that a conflict of interest arises between the Fund’s shareholders and the investment adviser, the administrator, or any of their affiliates or any affiliate of the Fund, the investment adviser will generally refrain from voting the proxies related to the companies giving rise to such conflict until it consults with the Board’s Special Committee except as contemplated under the Fund Policy. The Board’s Special Committee will instruct the investment adviser on the appropriate course of action.

The Policies are designed to promote accountability of a company’s management to its shareholders and to align the interests of management with those shareholders. An independent proxy voting service (“Agent”), currently Institutional Shareholder Services, Inc., has been retained to assist in the voting of proxies through the provision of vote analysis, implementation and recordkeeping and disclosure services. The investment adviser will generally vote proxies through the Agent. The Agent is required to vote all proxies and/or refer them back to the investment adviser pursuant to the Policies. It is generally the policy of the investment adviser to vote in accordance with the recommendation of the Agent. The Agent shall refer to the investment adviser proxies relating to mergers and restructurings, and the disposition of assets, termination, liquidation and mergers contained in mutual fund proxies. The investment adviser will normally vote against anti-takeover measures and other proposals designed to limit the ability of shareholders to act on possible transactions, except in the case of closed-end management investment companies. The investment adviser generally supports management on social and environmental proposals. The investment adviser may abstain from voting from time to time where it determines that the costs associated with voting a proxy outweighs the benefits derived from exercising the right to vote or the economic effect on shareholders interests or the value of the portfolio holding is indeterminable or insignificant.

In addition, the investment adviser will monitor situations that may result in a conflict of interest between the Fund’s shareholders and the investment adviser, the administrator, or any of their affiliates or any affiliate of the Fund by maintaining a list of significant existing and prospective corporate clients. The investment adviser’s personnel responsible for reviewing and voting proxies on behalf of the Fund will report any proxy received or expected to be received from a company included on that

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list to the personnel of the investment adviser identified in the Policies. If such personnel expects to instruct the Agent to vote such proxies in a manner inconsistent with the guidelines of the Policies or the recommendation of the Agent, the personnel will consult with members of senior management of the investment adviser to determine if a material conflict of interests exists. If it is determined that a material conflict does exist, the investment adviser will seek instruction on how to vote from the Special Committee.

Information on how the Fund voted proxies relating to portfolio securities during the most recent 12 month period ended June 30 is available (1) without charge, upon request, by calling 1-800-262-1122, and (2) on the Securities and Exchange Commission’s website at http://www.sec.gov .

link2 "Item 8. Portfolio Managers of Closed-End Management Investment Companies"

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not required in this filing.

link2 "Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers"

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

No such purchases this period.

link2 "Item 10. Submission of Matters to a Vote of Security Holders"

Item 10. Submission of Matters to a Vote of Security Holders

No Material Changes.

link2 "Item 11. Controls and Procedures"

Item 11. Controls and Procedures

(a) It is the conclusion of the registrant’s principal executive officer and principal financial officer that the effectiveness of the registrant’s current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission’s rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant’s principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure.

(b) There have been no changes in the registrant’s internal controls over financial reporting during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

link2 "Item 12. Exhibits"

Item 12. Exhibits

(a)(1) Registrant’s Code of Ethics — Not applicable (please see Item 2).
(a)(2)(i) Treasurer’s Section 302 certification.
(a)(2)(ii) President’s Section 302 certification.
(b) Combined Section 906 certification.

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link1 " Signatures"

Signatures

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Eaton Vance California Municipal Income Trust

By:
Cynthia J. Clemson President
Date: July 11, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By: /s/ Barbara E. Campbell
Barbara E. Campbell Treasurer
Date: July 11, 2011
By: /s/ Cynthia J. Clemson
Cynthia J. Clemson President
Date: July 11, 2011

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