<Page>
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: 811-07202
---------
North Carolina Municipals Portfolio
-----------------------------------
(Exact Name of Registrant as Specified in Charter)
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
-----------------------------------------------------------------------
(Address of Principal Executive Offices)
Alan R. Dynner
The Eaton Vance Building, 255 State Street, Boston, Massachusetts 02109
-----------------------------------------------------------------------
(Name and Address of Agent for Services)
(617) 482-8260
--------------
(Registrant's Telephone Number)
August 31
---------
Date of Fiscal Year End
February 29, 2004
-----------------
Date of Reporting Period
ITEM 1. REPORTS TO STOCKHOLDERS
<Page>
NORTH CAROLINA MUNICIPALS PORTFOLIO as of February 29, 2004
PORTFOLIO OF INVESTMENTS (UNAUDITED)
TAX-EXEMPT INVESTMENTS -- 99.2%
<Table>
<Caption>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------------------------------------
EDUCATION -- 10.4%
$ 2,950 North Carolina Educational Facilities Finance Agency,
(Duke University), 5.125%, 10/1/41 $ 3,078,177
300 North Carolina Educational Facilities Finance Agency,
(High Point University), 5.125%, 9/1/21 313,302
8,410 University of North Carolina at Chapel Hill, 0.00%, 8/1/17 4,833,143
1,980 University of North Carolina at Chapel Hill, 0.00%, 8/1/21 896,287
- ----------------------------------------------------------------------------------------------
$ 9,120,909
- ----------------------------------------------------------------------------------------------
ELECTRIC UTILITIES -- 20.1%
$ 1,015 Chatham County Industrial Facilities and Pollution,
(Carolina Power and Light), 6.30%, 6/15/14 $ 1,034,041
5,000 North Carolina Eastern Municipal Power Agency,
6.125%, 1/1/09 5,681,300
1,250 North Carolina Eastern Municipal Power Agency,
6.75%, 1/1/26 1,402,325
3,500 North Carolina Municipal Power Agency, (Catawba),
6.50%, 1/1/20 3,933,790
2,000 Puerto Rico Electric Power Authority, 0.00%, 7/1/17 1,112,360
2,000 Puerto Rico Electric Power Authority, 0.00%, 7/1/17 1,119,360
2,000 Puerto Rico Electric Power Authority,
Variable Rate, 7/1/29(1)(2) 2,205,920
1,000 Wake County, Industrial Facilities and Pollution Control
Financing Authority, (Carolina Power and Light Co.),
5.375%, 2/1/17 1,091,000
- ----------------------------------------------------------------------------------------------
$ 17,580,096
- ----------------------------------------------------------------------------------------------
ESCROWED / PREREFUNDED -- 14.0%
$ 1,500 Charlotte, Water and Sewer, Prerefunded to 6/1/10,
5.25%, 6/1/25 $ 1,756,380
3,410 North Carolina Eastern Municipal Power Agency, Escrowed
to Maturity, 4.00%, 1/1/18 3,499,410
2,210 North Carolina Eastern Municipal Power Agency, Escrowed
to Maturity, 5.00%, 1/1/17 2,513,654
440 North Carolina Eastern Municipal Power Agency, Escrowed
to Maturity, 5.00%, 1/1/21 487,749
1,500 North Carolina Medical Care Commission, (Annie Penn
Memorial Hospital), Prerefunded to 1/1/15,
5.375%, 1/1/22 1,711,170
2,000 Winston-Salem, Water and Sewer System, Prerefunded to
6/1/11, 5.125%, 6/1/28 2,330,480
- ----------------------------------------------------------------------------------------------
$ 12,298,843
- ----------------------------------------------------------------------------------------------
GENERAL OBLIGATIONS -- 4.1%
$ 1,000 Charlotte, 5.00%, 7/1/29 $ 1,057,680
1,000 Charlotte, 5.60%, 6/1/20 1,152,890
1,000 New Hanover County, 5.75%, 11/1/17 1,180,770
400 North Carolina, Variable Rate, 3/1/28(1)(2) 227,724
- ----------------------------------------------------------------------------------------------
$ 3,619,064
- ----------------------------------------------------------------------------------------------
HOSPITAL -- 9.0%
$ 1,750 Charlotte-Mecklenberg Hospital Authority, 5.00%, 1/15/31 $ 1,795,185
3,400 North Carolina Medical Care Commission, (Duke University
Hospital), 0.00%, 6/1/09 2,808,026
1,000 North Carolina Medical Care Commission, (Gaston Health
Care), 5.00%, 2/15/29 1,008,960
500 North Carolina Medical Care Commission, (Halifax Regional
Medical Center), 5.00%, 8/15/24 478,080
250 North Carolina Medical Care Commission, (Novant
Health, Inc.), 5.00%, 11/1/20 266,678
1,000 North Carolina Medical Care Commission, (Southeastern
Regional Medical Center), 5.375%, 6/1/32 1,032,310
500 North Carolina Medical Care Commission, (Union Regional
Medical Center), 5.375%, 1/1/32 515,445
- ----------------------------------------------------------------------------------------------
$ 7,904,684
- ----------------------------------------------------------------------------------------------
HOUSING -- 3.4%
$ 1,400 Charlotte Housing Authority, (Double Oaks), FHA, (FNMA),
7.35%, 5/15/26 $ 1,504,538
285 Guam Housing Corp., Single Family, (AMT), 5.75%, 9/1/31 325,154
1,055 North Carolina HFA, MFMR, (AMT), 6.45%, 9/1/27 1,101,863
970 Raleigh Housing Authority, Multifamily, (Cedar Point),
7.00%, 11/1/30(3) 99,425
- ----------------------------------------------------------------------------------------------
$ 3,030,980
- ----------------------------------------------------------------------------------------------
INDUSTRIAL DEVELOPMENT REVENUE -- 1.1%
$ 850 Robeson County, Industrial Facilities and Pollution Control
Financing Authority, (Campbell Soup), 6.40%, 12/1/06 $ 959,574
- ----------------------------------------------------------------------------------------------
$ 959,574
- ----------------------------------------------------------------------------------------------
INSURED-EDUCATION -- 5.5%
$ 1,375 East Carolina University, (AMBAC), 5.25%, 11/1/21 $ 1,506,821
1,320 North Carolina Educational Facilities Finance Agency,
(Johnson & Wales University), (XLCA), 5.00%, 4/1/33 1,379,281
1,900 University of North Carolina, (MBIA), 4.50%, 10/1/18(4) 1,964,600
- ----------------------------------------------------------------------------------------------
$ 4,850,702
- ----------------------------------------------------------------------------------------------
INSURED-ELECTRIC UTILITIES -- 1.7%
$ 1,500 North Carolina Eastern Municipal Power Agency, (FSA),
Variable Rate, 1/1/19(1)(2) $ 1,511,055
- ----------------------------------------------------------------------------------------------
$ 1,511,055
- ----------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
78
<Page>
<Table>
<Caption>
PRINCIPAL AMOUNT
(000'S OMITTED) SECURITY VALUE
- ----------------------------------------------------------------------------------------------
INSURED-GENERAL OBLIGATIONS -- 4.2%
$ 1,000 Puerto Rico Commonwealth, (FGIC), 5.50%, 7/1/22 $ 1,184,230
280 Puerto Rico General Obligation, (MBIA),
Variable Rate, 7/1/20(2)(5) 441,832
945 Smithville Township, Brunswick County, (MBIA),
5.00%, 6/1/23 1,016,177
995 Smithville Township, Brunswick County, (MBIA),
5.00%, 6/1/24 1,065,317
- ----------------------------------------------------------------------------------------------
$ 3,707,556
- ----------------------------------------------------------------------------------------------
INSURED-HOSPITAL -- 5.3%
$ 500 Cumberland County Hospital, (MBIA), 0.00%, 10/1/09 $ 430,335
1,200 North Carolina Medical Care Commission, (Betsy Johnson),
(FSA), 5.375%, 10/1/24 1,317,816
935 North Carolina Medical Care Commission, (Memorial
Mission Hospital), (FSA), 0.00%, 10/1/06 895,281
1,000 North Carolina Medical Care Commission, (Wakemed),
(AMBAC), 5.00%, 10/1/32 1,046,010
1,500 North Carolina Medical Care Commission, (Wilson
Memorial Hospital), (AMBAC), 0.00%, 11/1/15 934,875
- ----------------------------------------------------------------------------------------------
$ 4,624,317
- ----------------------------------------------------------------------------------------------
INSURED-LEASE REVENUE / CERTIFICATES
OF PARTICIPATION -- 0.7%
$ 420 Puerto Rico Public Finance Corp., (AMBAC),
Variable Rate, 12/1/19(2)(5) $ 580,654
- ----------------------------------------------------------------------------------------------
$ 580,654
- ----------------------------------------------------------------------------------------------
INSURED-SPECIAL TAX REVENUE -- 1.0%
$ 800 Puerto Rico Infrastructure Financing Authority, (AMBAC),
Variable Rate, 7/1/07(1)(2) $ 861,040
- ----------------------------------------------------------------------------------------------
$ 861,040
- ----------------------------------------------------------------------------------------------
INSURED-TRANSPORTATION -- 4.4%
$ 1,375 Puerto Rico Highway and Transportation Authority, (MBIA),
5.50%, 7/1/36 $ 1,600,445
1,000 Puerto Rico Highway and Transportation Authority, (MBIA),
Variable Rate, 7/1/36(2)(5) 1,228,900
1,000 Raleigh Durham, Airport Authority, (FGIC), 5.00%, 11/1/31 1,040,430
- ----------------------------------------------------------------------------------------------
$ 3,869,775
- ----------------------------------------------------------------------------------------------
INSURED-WATER AND SEWER -- 4.0%
$ 1,745 Broad River, Water Authority Water System, (MBIA),
5.375%, 6/1/26 $ 1,898,228
1,500 Kannapolis, Water and Sewer, (FSA), (AMT), 5.25%, 2/1/26 1,583,610
- ----------------------------------------------------------------------------------------------
$ 3,481,838
- ----------------------------------------------------------------------------------------------
LEASE REVENUE / CERTIFICATES OF PARTICIPATION -- 3.0%
$ 1,000 Charlotte, (Government Facilities), 5.00%, 6/1/28 $ 1,045,480
1,500 Charlotte, (Government Facilities), 5.00%, 6/1/33 1,563,690
- ----------------------------------------------------------------------------------------------
$ 2,609,170
- ----------------------------------------------------------------------------------------------
OTHER REVENUE -- 1.6%
$ 1,000 Puerto Rico Infrastructure Financing Authority,
Variable Rate, 10/1/34(2)(5) $ 1,371,540
- ----------------------------------------------------------------------------------------------
$ 1,371,540
- ----------------------------------------------------------------------------------------------
WATER AND SEWER -- 5.7%
$ 1,700 Charlotte, Storm Water, 5.00%, 6/1/25 $ 1,795,999
2,975 Charlotte, Water and Sewer, 5.125%, 6/1/26 3,164,805
- ----------------------------------------------------------------------------------------------
$ 4,960,804
- ----------------------------------------------------------------------------------------------
TOTAL TAX-EXEMPT INVESTMENTS -- 99.2%
(IDENTIFIED COST $79,206,668) $ 86,942,601
- ----------------------------------------------------------------------------------------------
OTHER ASSETS, LESS LIABILITIES -- 0.8% $ 695,385
- ----------------------------------------------------------------------------------------------
NET ASSETS -- 100.0% $ 87,637,986
- ----------------------------------------------------------------------------------------------
</Table>
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
FHA - Federal Housing Authority
FNMA - Federal National Mortgage Association (Fannie Mae)
FSA - Financial Security Assurance, Inc.
HFA - Housing Facilities Authority
MBIA - Municipal Bond Insurance Association
MFMR - Multi Family Mortgage Revenue
XLCA - XL Capital Assurance, Inc.
The Portfolio invests primarily in debt securities issued by North Carolina
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 February 29, 2004, 27.0% of the securities in the portfolio of
See notes to financial statements
79
<Page>
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 1.6% to 11.1% of total investments.
(1) Security has been issued as an inverse floater bond.
(2) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
(3) Non-income producing security.
(4) Security (or a portion thereof) has been segregated to cover margin
requirements on open financial futures contracts.
(5) Security has been issued as a leveraged inverse floater bond.
See notes to financial statements
80
<Page>
EATON VANCE MUNICIPALS PORTFOLIOS as of February 29, 2004
FINANCIAL STATEMENTS (UNAUDITED)
STATEMENTS OF ASSETS AND LIABILITIES
AS OF FEBRUARY 29, 2004
<Table>
<Caption>
ALABAMA PORTFOLIO ARKANSAS PORTFOLIO GEORGIA PORTFOLIO KENTUCKY PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments --
Identified cost $ 59,153,385 $ 42,252,727 $ 51,291,056 $ 59,917,601
Unrealized appreciation 5,418,338 3,202,778 5,338,196 7,020,073
- -------------------------------------------------------------------------------------------------------------------------------
INVESTMENTS, AT VALUE $ 64,571,723 $ 45,455,505 $ 56,629,252 $ 66,937,674
- -------------------------------------------------------------------------------------------------------------------------------
Cash $ 432,217 $ -- $ 23,951 $ 671,494
Receivable for investments sold -- -- -- 75,000
Interest receivable 736,220 594,955 745,122 814,913
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 65,740,160 $ 46,050,460 $ 57,398,325 $ 68,499,081
- -------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payable for daily variation margin
on open financial futures
contracts $ 67,781 $ 60,312 $ 83,531 $ 78,094
Demand note payable -- 100,000 -- --
Payable for when-issued securities -- 1,033,380 -- --
Due to bank -- 66,956 -- --
Accrued expenses 17,316 15,883 16,734 17,565
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 85,097 $ 1,276,531 $ 100,265 $ 95,659
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO
INVESTORS' INTEREST IN PORTFOLIO $ 65,655,063 $ 44,773,929 $ 57,298,060 $ 68,403,422
- -------------------------------------------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Net proceeds from capital
contributions and withdrawals $ 60,400,110 $ 41,867,712 $ 52,306,989 $ 61,583,031
Net unrealized appreciation
(computed on the basis of
identified cost) 5,254,953 2,906,217 4,991,071 6,820,391
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL $ 65,655,063 $ 44,773,929 $ 57,298,060 $ 68,403,422
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
91
<Page>
<Table>
<Caption>
LOUISIANA PORTFOLIO MARYLAND PORTFOLIO MISSOURI PORTFOLIO NORTH CAROLINA PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments --
Identified cost $ 26,742,781 $ 72,672,445 $ 51,580,635 $ 79,206,668
Unrealized appreciation 2,246,779 2,618,672 5,595,708 7,735,933
- -------------------------------------------------------------------------------------------------------------------------------
INVESTMENTS, AT VALUE $ 28,989,560 $ 75,291,117 $ 57,176,343 $ 86,942,601
- -------------------------------------------------------------------------------------------------------------------------------
Cash $ -- $ -- $ 1,127,227 $ --
Receivable for investments sold 14,914 558,814 35,000 --
Interest receivable 386,063 888,284 660,955 951,194
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 29,390,537 $ 76,738,215 $ 58,999,525 $ 87,893,795
- -------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payable for daily variation margin
on open financial futures
contracts $ 46,406 $ 108,906 $ 81,469 $ 134,062
Demand note payable 500,000 500,000 -- 100,000
Due to bank 76,761 38,711 -- 3,542
Accrued expenses 15,906 18,859 17,500 18,205
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 639,073 $ 666,476 $ 98,969 $ 255,809
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO
INVESTORS' INTEREST IN PORTFOLIO $ 28,751,464 $ 76,071,739 $ 58,900,556 $ 87,637,986
- -------------------------------------------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Net proceeds from capital
contributions and withdrawals $ 26,686,916 $ 73,726,277 $ 53,643,403 $ 80,427,318
Net unrealized appreciation
(computed on the basis of
identified cost) 2,064,548 2,345,462 5,257,153 7,210,668
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL $ 28,751,464 $ 76,071,739 $ 58,900,556 $ 87,637,986
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
92
<Page>
<Table>
<Caption>
OREGON PORTFOLIO SOUTH CAROLINA PORTFOLIO TENNESSEE PORTFOLIO VIRGINIA PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
ASSETS
Investments --
Identified cost $ 76,881,490 $ 49,217,788 $ 43,640,750 $ 102,210,337
Unrealized appreciation 5,795,489 3,852,838 4,660,273 11,636,226
- -------------------------------------------------------------------------------------------------------------------------------
INVESTMENTS, AT VALUE $ 82,676,979 $ 53,070,626 $ 48,301,023 $ 113,846,563
- -------------------------------------------------------------------------------------------------------------------------------
Cash 1,239,769 628,557 1,285,810 $ --
Receivable for investments sold 205,000 -- -- 2,438,800
Interest receivable 1,010,278 911,486 593,067 1,555,152
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS $ 85,132,026 $ 54,610,669 $ 50,179,900 $ 117,840,515
- -------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payable for investments purchased $ -- $ -- $ -- $ 1,179,139
Payable for daily variation margin
on open financial futures
contracts 187,656 82,500 74,250 195,937
Demand note payable -- -- -- 300,000
Payable for when-issued securities -- -- 265,709 --
Due to bank -- -- -- 15,656
Accrued expenses 18,852 16,353 16,294 20,913
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES $ 206,508 $ 98,853 $ 356,253 $ 1,711,645
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO INVESTORS'
INTEREST IN PORTFOLIO $ 84,925,518 $ 54,511,816 $ 49,823,647 $ 116,128,870
- -------------------------------------------------------------------------------------------------------------------------------
SOURCES OF NET ASSETS
Net proceeds from capital
contributions and withdrawals $ 79,889,380 $ 50,971,436 $ 45,471,930 $ 105,252,237
Net unrealized appreciation
(computed on the basis of
identified cost) 5,036,138 3,540,380 4,351,717 10,876,633
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL $ 84,925,518 $ 54,511,816 $ 49,823,647 $ 116,128,870
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
93
<Page>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2004
<Table>
<Caption>
ALABAMA PORTFOLIO ARKANSAS PORTFOLIO GEORGIA PORTFOLIO KENTUCKY PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 1,766,360 $ 1,238,139 $ 1,610,284 $ 1,868,916
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 1,766,360 $ 1,238,139 $ 1,610,284 $ 1,868,916
- -------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 105,120 $ 56,844 $ 84,416 $ 111,364
Trustees fees and expenses 3,354 861 3,354 3,354
Legal and accounting services 12,696 11,666 14,069 13,910
Custodian fee 19,614 14,586 17,214 19,903
Miscellaneous 3,603 3,475 3,709 3,474
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 144,387 $ 87,432 $ 122,762 $ 152,005
- -------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 1,621,973 $ 1,150,707 $ 1,487,522 $ 1,716,911
- -------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions
(identified cost basis) $ 784,387 $ 67,852 $ 241 $ 71,722
Financial futures contracts (499,908) (34,072) (370,644) (527,546)
Interest rate swap contracts -- (274,450) -- --
- -------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS) $ 284,479 $ (240,670) $ (370,403) $ (455,824)
- -------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost
basis) $ 2,379,173 $ 2,468,793 $ 3,567,413 $ 2,903,139
Financial futures contracts (111,539) (296,561) (357,011) (146,971)
Interest rate swap contracts -- 70,930 -- --
- -------------------------------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) $ 2,267,634 $ 2,243,162 $ 3,210,402 $ 2,756,168
- -------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 2,552,113 $ 2,002,492 $ 2,839,999 $ 2,300,344
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 4,174,086 $ 3,153,199 $ 4,327,521 $ 4,017,255
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
94
<Page>
<Table>
<Caption>
LOUISIANA PORTFOLIO MARYLAND PORTFOLIO MISSOURI PORTFOLIO NORTH CAROLINA PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 820,663 $ 2,151,872 $ 1,661,592 $ 2,377,938
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 820,663 $ 2,151,872 $ 1,661,592 $ 2,377,938
- -------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 29,241 $ 133,953 $ 88,275 $ 155,986
Trustees fees and expenses 871 3,354 3,354 3,354
Legal and accounting services 13,702 13,704 14,750 13,704
Custodian fee 10,701 22,711 16,763 25,361
Miscellaneous 3,097 4,237 4,308 4,496
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 57,612 $ 177,959 $ 127,450 $ 202,901
- -------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 763,051 $ 1,973,913 $ 1,534,142 $ 2,175,037
- -------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions
(identified cost basis) $ 45,018 $ 259,718 $ 82,927 $ 1,621,985
Financial futures contracts (214,734) (828,434) (350,804) (597,003)
- -------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS) $ (169,716) $ (568,716) $ (267,877) $ 1,024,982
- -------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost
basis) $ 1,519,195 $ 3,441,433 $ 2,728,801 $ 2,959,412
Financial futures contracts (192,739) (193,711) (356,783) (553,924)
- -------------------------------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) $ 1,326,456 $ 3,247,722 $ 2,372,018 $ 2,405,488
- -------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 1,156,740 $ 2,679,006 $ 2,104,141 $ 3,430,470
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 1,919,791 $ 4,652,919 $ 3,638,283 $ 5,605,507
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
95
<Page>
<Table>
<Caption>
OREGON PORTFOLIO SOUTH CAROLINA PORTFOLIO TENNESSEE PORTFOLIO VIRGINIA PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 2,485,332 $ 1,593,954 $ 1,323,978 $ 3,158,330
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME $ 2,485,332 $ 1,593,954 $ 1,323,978 $ 3,158,330
- -------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Investment adviser fee $ 151,235 $ 79,388 $ 66,945 $ 219,138
Trustees fees and expenses 3,355 3,354 870 4,399
Legal and accounting services 15,813 11,840 13,602 14,853
Custodian fee 22,995 15,943 14,093 29,184
Miscellaneous 5,202 4,523 3,946 6,013
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES $ 198,600 $ 115,048 $ 99,456 $ 273,587
- -------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME $ 2,286,732 $ 1,478,906 $ 1,224,522 $ 2,884,743
- -------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) --
Investment transactions
(identified cost basis) $ 425,870 $ 392,996 $ 36,087 $ 280,167
Financial futures contracts (23,588) (251,961) (312,273) (835,804)
Interest rate swap contracts (748,500) -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
NET REALIZED GAIN (LOSS) $ (346,218) $ 141,035 $ (276,186) $ (555,637)
- -------------------------------------------------------------------------------------------------------------------------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost
basis) $ 4,554,098 $ 3,031,440 $ 2,467,726 $ 6,907,986
Financial futures contracts (759,351) (306,285) (323,366) (799,716)
Interest rate swap contracts 193,446 -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
NET CHANGE IN UNREALIZED
APPRECIATION (DEPRECIATION) $ 3,988,193 $ 2,725,155 $ 2,144,360 $ 6,108,270
- -------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN $ 3,641,975 $ 2,866,190 $ 1,868,174 $ 5,552,633
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 5,928,707 $ 4,345,096 $ 3,092,696 $ 8,437,376
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
96
<Page>
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2004
<Table>
<Caption>
INCREASE (DECREASE) IN NET ASSETS ALABAMA PORTFOLIO ARKANSAS PORTFOLIO GEORGIA PORTFOLIO KENTUCKY PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 1,621,973 $ 1,150,707 $ 1,487,522 $ 1,716,911
Net realized gain (loss) 284,479 (240,670) (370,403) (455,824)
Net change in unrealized
appreciation (depreciation) 2,267,634 2,243,162 3,210,402 2,756,168
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 4,174,086 $ 3,153,199 $ 4,327,521 $ 4,017,255
- -------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 1,978,327 $ 1,308,958 $ 2,221,100 $ 1,441,305
Withdrawals (5,213,690) (3,386,896) (3,365,346) (4,630,430)
- -------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $ (3,235,363) $ (2,077,938) $ (1,144,246) $ (3,189,125)
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 938,723 $ 1,075,261 $ 3,183,275 $ 828,130
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
At beginning of period $ 64,716,340 $ 43,698,668 $ 54,114,785 $ 67,575,292
- -------------------------------------------------------------------------------------------------------------------------------
AT END OF PERIOD $ 65,655,063 $ 44,773,929 $ 57,298,060 $ 68,403,422
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
97
<Page>
<Table>
<Caption>
INCREASE (DECREASE) IN NET ASSETS LOUISIANA PORTFOLIO MARYLAND PORTFOLIO MISSOURI PORTFOLIO NORTH CAROLINA PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 763,051 $ 1,973,913 $ 1,534,142 $ 2,175,037
Net realized gain (loss) (169,716) (568,716) (267,877) 1,024,982
Net change in unrealized
appreciation (depreciation) 1,326,456 3,247,722 2,372,018 2,405,488
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 1,919,791 $ 4,652,919 $ 3,638,283 $ 5,605,507
- -------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 653,016 $ 2,295,867 $ 2,628,283 $ 1,561,563
Withdrawals (2,323,083) (9,555,427) (4,683,585) (9,073,503)
- -------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $ (1,670,067) $ (7,259,560) $ (2,055,302) $ (7,511,940)
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS $ 249,724 $ (2,606,641) $ 1,582,981 $ (1,906,433)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
At beginning of period $ 28,501,740 $ 78,678,380 $ 57,317,575 $ 89,544,419
- -------------------------------------------------------------------------------------------------------------------------------
AT END OF PERIOD $ 28,751,464 $ 76,071,739 $ 58,900,556 $ 87,637,986
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
98
<Page>
<Table>
<Caption>
INCREASE (DECREASE) IN NET ASSETS OREGON PORTFOLIO SOUTH CAROLINA PORTFOLIO TENNESSEE PORTFOLIO VIRGINIA PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 2,286,732 $ 1,478,906 $ 1,224,522 $ 2,884,743
Net realized gain (loss) (346,218) 141,035 (276,186) (555,637)
Net change in unrealized
appreciation (depreciation) 3,988,193 2,725,155 2,144,360 6,108,270
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 5,928,707 $ 4,345,096 $ 3,092,696 $ 8,437,376
- -------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 2,684,238 $ 3,687,696 $ 2,876,013 $ 3,793,427
Withdrawals (6,403,137) (4,734,722) (4,605,642) (9,579,545)
- -------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $ (3,718,899) $ (1,047,026) $ (1,729,629) $ (5,786,118)
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS $ 2,209,808 $ 3,298,070 $ 1,363,067 $ 2,651,258
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
At beginning of period $ 82,715,710 $ 51,213,746 $ 48,460,580 $ 113,477,612
- -------------------------------------------------------------------------------------------------------------------------------
AT END OF PERIOD $ 84,925,518 $ 54,511,816 $ 49,823,647 $ 116,128,870
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
99
<Page>
FOR THE YEAR ENDED AUGUST 31, 2003
<Table>
<Caption>
INCREASE (DECREASE) IN NET ASSETS ALABAMA PORTFOLIO ARKANSAS PORTFOLIO GEORGIA PORTFOLIO KENTUCKY PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 3,313,142 $ 2,300,813 $ 3,017,352 $ 3,496,419
Net realized gain (loss) 134,430 527,436 (333,635) (2,678,901)
Net change in unrealized
appreciation (depreciation) (1,468,945) (1,636,116) (612,968) 1,374,471
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 1,978,627 $ 1,192,133 $ 2,070,749 $ 2,191,989
- -------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 7,826,188 $ 4,263,125 $ 6,128,727 $ 6,168,539
Withdrawals (9,563,241) (5,016,611) (10,414,983) (10,294,305)
- -------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $ (1,737,053) $ (753,486) $ (4,286,256) $ (4,125,766)
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS $ 241,574 $ 438,647 $ (2,215,507) $ (1,933,777)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
At beginning of year $ 64,474,766 $ 43,260,021 $ 56,330,292 $ 69,509,069
- -------------------------------------------------------------------------------------------------------------------------------
AT END OF YEAR $ 64,716,340 $ 43,698,668 $ 54,114,785 $ 67,575,292
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
100
<Page>
<Table>
<Caption>
INCREASE (DECREASE) IN NET ASSETS LOUISIANA PORTFOLIO MARYLAND PORTFOLIO MISSOURI PORTFOLIO NORTH CAROLINA PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 1,570,788 $ 4,158,293 $ 3,185,742 $ 4,690,094
Net realized gain (loss) 234,944 437,591 375,821 (833,851)
Net change in unrealized
appreciation (depreciation) (896,513) (2,115,611) (1,480,015) (1,726,154)
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 909,219 $ 2,480,273 $ 2,081,548 $ 2,130,089
- -------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 2,630,038 $ 8,575,652 $ 5,893,727 $ 7,117,679
Withdrawals (4,426,484) (17,793,080) (9,406,029) (15,522,233)
- -------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM
CAPITAL TRANSACTIONS $ (1,796,446) $ (9,217,428) $ (3,512,302) $ (8,404,554)
- -------------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS $ (887,227) $ (6,737,155) $ (1,430,754) $ (6,274,465)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
At beginning of year $ 29,388,967 $ 85,415,535 $ 58,748,329 $ 95,818,884
- -------------------------------------------------------------------------------------------------------------------------------
AT END OF YEAR $ 28,501,740 $ 78,678,380 $ 57,317,575 $ 89,544,419
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
101
<Page>
<Table>
<Caption>
INCREASE (DECREASE) IN NET ASSETS OREGON PORTFOLIO SOUTH CAROLINA PORTFOLIO TENNESSEE PORTFOLIO VIRGINIA PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
From operations --
Net investment income $ 4,649,972 $ 2,630,849 $ 2,480,931 $ 6,057,000
Net realized gain (loss) 53,387 444,288 132,379 (166,417)
Net change in unrealized
appreciation (depreciation) (2,528,160) (1,603,577) (763,780) (2,469,255)
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS $ 2,175,199 $ 1,471,560 $ 1,849,530 $ 3,421,328
- -------------------------------------------------------------------------------------------------------------------------------
Capital transactions --
Contributions $ 9,291,990 $ 10,958,295 $ 8,308,589 $ 7,960,993
Withdrawals (12,365,559) (7,921,651) (9,554,586) (17,554,176)
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS FROM CAPITAL TRANSACTIONS $ (3,073,569) $ 3,036,644 $ (1,245,997) $ (9,593,183)
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN
NET ASSETS $ (898,370) $ 4,508,204 $ 603,533 $ (6,171,855)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS
At beginning of year $ 83,614,080 $ 46,705,542 $ 47,857,047 $ 119,649,467
- -------------------------------------------------------------------------------------------------------------------------------
AT END OF YEAR $ 82,715,710 $ 51,213,746 $ 48,460,580 $ 113,477,612
- -------------------------------------------------------------------------------------------------------------------------------
</Table>
See notes to financial statements
102
<Page>
SUPPLEMENTARY DATA
<Table>
<Caption>
ALABAMA PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.44%(2) 0.46% 0.45% 0.46% 0.49% 0.46%
Expenses after custodian fee reduction 0.44%(2) 0.44% 0.44% 0.44% 0.48% 0.45%
Net investment income 4.95%(2) 5.08% 5.21% 5.31% 5.57% 5.18%
Portfolio Turnover 14% 10% 25% 14% 8% 23%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 6.59% 3.09% 4.86% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 65,655 $ 64,716 $ 64,475 $ 64,271 $ 66,653 $ 82,141
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets from 5.20% to 5.21%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
103
<Page>
<Table>
<Caption>
ARKANSAS PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.40%(2) 0.41% 0.40% 0.39% 0.46% 0.45%
Expenses after custodian fee reduction 0.40%(2) 0.39% 0.39% 0.37% 0.45% 0.43%
Net investment income 5.20%(2) 5.22% 5.38% 5.48% 5.65% 5.25%
Portfolio Turnover 7% 25% 23% 9% 14% 24%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 7.45% 2.81% 5.83% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 44,774 $ 43,699 $ 43,260 $ 42,662 $ 42,233 $ 50,491
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets from 5.37% to 5.38%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
104
<Page>
<Table>
<Caption>
GEORGIA PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.44%(2) 0.46% 0.46% 0.45% 0.49% 0.46%
Expenses after custodian fee reduction 0.44%(2) 0.44% 0.45% 0.42% 0.47% 0.42%
Net investment income 5.35%(2) 5.38% 5.55% 5.47% 5.69% 5.31%
Portfolio Turnover 2% 16% 18% 8% 13% 38%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 8.07% 3.82% 4.82% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 57,298 $ 54,115 $ 56,330 $ 63,673 $ 63,067 $ 71,220
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets from 5.54% to 5.55%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
105
<Page>
<Table>
<Caption>
KENTUCKY PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.45%(2) 0.46% 0.45% 0.48% 0.52% 0.49%
Expenses after custodian fee reduction 0.45%(2) 0.44% 0.44% 0.44% 0.50% 0.47%
Net investment income 5.06%(2) 5.05% 5.25% 5.17% 5.75% 5.36%
Portfolio Turnover 2% 10% 5% 15% 11% 11%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 6.15% 3.22% 4.39% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 68,403 $ 67,575 $ 69,509 $ 79,821 $ 81,708 $ 97,762
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets from 5.23% to 5.25%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
106
<Page>
<Table>
<Caption>
LOUISIANA PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.40%(2) 0.40% 0.40% 0.43% 0.39% 0.37%
Expenses after custodian fee reduction 0.40%(2) 0.38% 0.38% 0.40% 0.35% 0.34%
Net investment income 5.32%(2) 5.33% 5.43% 5.28% 5.63% 5.16%
Portfolio Turnover 3% 21% 25% 14% 14% 20%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 6.97% 3.16% 5.02% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 28,751 $ 28,502 $ 29,389 $ 29,155 $ 28,441 $ 32,668
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets from 5.28% to 5.43%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
107
<Page>
<Table>
<Caption>
MARYLAND PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.46%(2) 0.47% 0.48% 0.47% 0.51% 0.49%
Expenses after custodian fee reduction 0.46%(2) 0.45% 0.46% 0.42% 0.49% 0.46%
Net investment income 5.10%(2) 4.96% 5.12% 5.30% 5.18% 5.05%
Portfolio Turnover 6% 28% 25% 18% 9% 31%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 6.22% 2.90% 5.17% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 76,072 $ 78,678 $ 85,416 $ 82,797 $ 81,676 $ 95,223
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets by less than 0.01%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
108
<Page>
<Table>
<Caption>
MISSOURI PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.45%(2) 0.45% 0.44% 0.45% 0.49% 0.46%
Expenses after custodian fee reduction 0.45%(2) 0.43% 0.43% 0.43% 0.48% 0.44%
Net investment income 5.36%(2) 5.39% 5.60% 5.65% 5.80% 5.28%
Portfolio Turnover 4% 20% 8% 8% 8% 21%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 6.58% 3.65% 5.24% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 58,901 $ 57,318 $ 58,748 $ 57,548 $ 58,927 $ 68,264
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets from 5.59% to 5.60%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
109
<Page>
<Table>
<Caption>
NORTH CAROLINA PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.46%(2) 0.48% 0.48% 0.49% 0.52% 0.50%
Expenses after custodian fee reduction 0.46%(2) 0.46% 0.48% 0.46% 0.49% 0.49%
Net investment income 4.97%(2) 4.99% 5.28% 5.34% 5.66% 5.24%
Portfolio Turnover 16% 21% 21% 28% 17% 3%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 6.61% 2.29% 4.43% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 87,638 $ 89,544 $ 95,819 $ 101,025 $ 110,493 $ 129,330
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets from 5.27% to 5.28%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
110
<Page>
<Table>
<Caption>
OREGON PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.48%(2) 0.49% 0.46% 0.48% 0.51% 0.48%
Expenses after custodian fee reduction 0.48%(2) 0.47% 0.45% 0.47% 0.50% 0.47%
Net investment income 5.49%(2) 5.50% 5.46% 5.45% 5.63% 5.27%
Portfolio Turnover 2% 16% 21% 13% 25% 35%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 7.45% 2.58% 5.28% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 84,926 $ 82,716 $ 83,614 $ 83,951 $ 83,712 $ 94,317
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets from 5.43% to 5.46%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
111
<Page>
<Table>
<Caption>
SOUTH CAROLINA PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.43%(2) 0.43% 0.40% 0.39% 0.44% 0.43%
Expenses after custodian fee reduction 0.43%(2) 0.41% 0.38% 0.34% 0.42% 0.40%
Net investment income 5.58%(2) 5.36% 5.49% 5.56% 5.77% 5.33%
Portfolio Turnover 33% 37% 15% 21% 12% 26%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 8.55% 3.15% 5.07% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 54,512 $ 51,214 $ 46,706 $ 39,821 $ 35,070 $ 44,833
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets from 5.46% to 5.49%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
112
<Page>
<Table>
<Caption>
TENNESSEE PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.41%(2) 0.42% 0.40% 0.41% 0.44% 0.42%
Expenses after custodian fee reduction 0.41%(2) 0.39% 0.38% 0.37% 0.42% 0.41%
Net investment income 5.01%(2) 5.05% 5.27% 5.39% 5.61% 5.23%
Portfolio Turnover 7% 17% 19% 11% 9% 13%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 6.56% 3.90% 5.38% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 49,824 $ 48,461 $ 47,857 $ 47,369 $ 45,015 $ 49,407
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets by less than 0.01%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
113
<Page>
<Table>
<Caption>
VIRGINIA PORTFOLIO
----------------------------------------------------------------------------
SIX MONTHS ENDED YEAR ENDED AUGUST 31,
FEBRUARY 29, 2004 ---------------------------------------------------------
(UNAUDITED) 2003 2002(1) 2001 2000 1999
- ----------------------------------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratios (As a percentage of average daily net assets):
Expenses 0.48%(2) 0.50% 0.49% 0.49% 0.54% 0.50%
Expenses after custodian fee reduction 0.48%(2) 0.49% 0.49% 0.47% 0.53% 0.48%
Net investment income 5.05%(2) 5.13% 5.31% 5.28% 5.61% 5.26%
Portfolio Turnover 10% 20% 33% 39% 23% 17%
- ----------------------------------------------------------------------------------------------------------------------------------
Total Return(3) 7.61% 2.89% 4.25% -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS, END OF PERIOD (000'S OMITTED) $ 116,129 $ 113,478 $ 119,649 $ 122,103 $ 115,776 $ 137,624
- ----------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) The Portfolio has adopted the provisions of the revised AICPA Audit and
Accounting Guide for Investment Companies and began using the interest
method to amortize premiums on fixed-income securities. The effect of this
change for the year ended August 31, 2002 was to increase the ratio of net
investment income to average net assets from 5.30% to 5.31%. Ratios for the
periods prior to September 1, 2001 have not been restated to reflect this
change in presentation.
(2) Annualized.
(3) Total return is required to be disclosed for fiscal years beginning after
December 15, 2000.
See notes to financial statements
114
<Page>
EATON VANCE MUNICIPALS PORTFOLIOS as of February 29, 2004
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1 SIGNIFICANT ACCOUNTING POLICIES
Alabama Municipals Portfolio (Alabama Portfolio), Arkansas Municipals
Portfolio (Arkansas Portfolio), Georgia Municipals Portfolio (Georgia
Portfolio), Kentucky Municipals Portfolio (Kentucky Portfolio), Louisiana
Municipals Portfolio (Louisiana Portfolio), Maryland Municipals Portfolio
(Maryland Portfolio), Missouri Municipals Portfolio (Missouri Portfolio),
North Carolina Municipals Portfolio (North Carolina Portfolio), Oregon
Municipals Portfolio (Oregon Portfolio), South Carolina Municipals Portfolio
(South Carolina Portfolio), Tennessee Municipals Portfolio (Tennessee
Portfolio) and Virginia Municipals Portfolio (Virginia Portfolio),
collectively the Portfolios, are registered under the Investment Company Act
of 1940, as amended, as non-diversified open-end management investment
companies. The Portfolios, which were organized as trusts under the laws of
the State of New York on May 1, 1992, seek to achieve current income exempt
from regular federal income tax and from particular state or local income or
other taxes. The Declarations of Trust permit the Trustees to issue interests
in the Portfolios. At February 29, 2004, Eaton Vance Alabama Municipals Fund,
Eaton Vance Arkansas Municipals Fund, Eaton Vance Georgia Municipals Fund,
Eaton Vance Kentucky Municipals Fund, Eaton Vance Louisiana Municipals Fund,
Eaton Vance Maryland Municipals Fund, Eaton Vance Missouri Municipals Fund,
Eaton Vance North Carolina Municipals Fund, Eaton Vance Oregon Municipals
Fund, Eaton Vance South Carolina Municipals Fund, Eaton Vance Tennessee
Municipals Fund and Eaton Vance Virginia Municipals Fund each held an
approximate 99.9% interest in its corresponding Portfolio. The following is a
summary of significant accounting policies of the Portfolios. The policies
are in conformity with accounting principles generally accepted in the United
States of America.
A INVESTMENT VALUATIONS -- Municipal bonds are normally valued on the basis
of valuations furnished by a pricing service. Taxable obligations, if any,
for which price quotations are readily available are normally valued at the
mean between the latest bid and asked prices. Financial futures contracts and
options on financial futures contracts listed on commodity exchanges are
valued at closing settlement prices. Over-the-counter options on financial
futures contracts are normally valued at the mean between the latest bid and
asked prices. Interest rate swaps are normally valued on the basis of
valuations furnished by a broker. Short-term obligations, maturing in sixty
days or less, are valued at amortized cost, which approximates value.
Investments for which valuations or market quotations are unavailable are
valued at fair value using methods determined in good faith by or at the
direction of the Trustees.
B INCOME -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount.
C FEDERAL TAXES -- The Portfolios are treated as partnerships for Federal tax
purposes. No provision is made by the Portfolios for federal or state taxes
on any taxable income of the Portfolios because each investor in the
Portfolios is ultimately responsible for the payment of any taxes. Since some
of the Portfolios' investors are regulated investment companies that invest
all or substantially all of their assets in the Portfolios, the Portfolios
normally must satisfy the applicable source of income and diversification
requirements (under the Internal Revenue Code) in order for their respective
investors to satisfy them. The Portfolios will allocate at least annually
among their respective investors each investor's distributive share of the
Portfolios' net taxable (if any) and tax-exempt investment income, net
realized capital gains, and any other items of income, gain, loss, deduction
or credit. Interest income received by the Portfolios on investments in
municipal bonds, which is excludable from gross income under the Internal
Revenue Code, will retain its status as income exempt from federal income tax
when allocated to each Portfolio's investors. The portion of such interest,
if any, earned on private activity bonds issued after August 7, 1986, may be
considered a tax preference item for investors.
D FINANCIAL FUTURES CONTRACTS -- Upon the entering of a financial futures
contract, a Portfolio is required to deposit (initial margin) either in cash
or securities an amount equal to a certain percentage of the purchase price
indicated in the financial futures contract. Subsequent payments are made or
received by a Portfolio (margin maintenance) each day, dependent on the daily
fluctuations in the value of the underlying security, and are recorded for
book purposes as unrealized gains or losses by a Portfolio. A Portfolio's
investment in financial futures contracts is designed for both hedging
against anticipated future changes in interest rates and investment purposes.
Should interest rates move unexpectedly, a Portfolio may not achieve the
anticipated benefits of the financial futures contracts and may realize a
loss.
115
<Page>
E OPTIONS ON FINANCIAL FUTURES CONTRACTS -- Upon the purchase of a put option
on a financial futures contract by a Portfolio, the premium paid is recorded
as an investment, the value of which is marked-to-market daily. When a
purchased option expires, a Portfolio will realize a loss in the amount of
the cost of the option. When a Portfolio enters into a closing sale
transaction, a Portfolio will realize a gain or loss depending on whether the
sales proceeds from the closing sale transaction are greater or less than the
cost of the option. When a Portfolio exercises a put option, settlement is
made in cash. The risk associated with purchasing put options is limited to
the premium originally paid.
F LEGAL FEES -- Legal fees and other related expenses incurred as part of
negotiations of the terms and requirements 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.
G WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS -- The Portfolios may engage
in when-issued and delayed delivery transactions. The Portfolios record
when-issued securities on trade date and maintain security positions such
that sufficient liquid assets will be available to make payments for the
securities purchased. Securities purchased on a when-issued or delayed
delivery basis are marked-to-market daily and begin earning interest on
settlement date.
H INTEREST RATE SWAPS -- A Portfolio may enter into interest rate swap
agreements to enhance return, to hedge against fluctuations in securities
prices or interest rates or as substitution for the purchase or sale of
securities. Pursuant to these agreements, the Portfolios make semi-annual
payments at a fixed interest rate. In exchange, a Portfolio 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 and losses. The value of the swap is
determined by changes in the relationship between two rates of interest. The
Portfolio is exposed to credit loss in the event of non-performance by the
swap counterparty. However, the Portfolio does not anticipate non-performance
by the counterparty. Risk may also arise from the unanticipated movements in
value of interest rates.
I OTHER -- Investment transactions are accounted for on a trade date basis.
Realized gains and losses are computed based on the specific identification
of the securities sold.
J EXPENSE REDUCTION -- Investors Bank & Trust Company (IBT) serves as
custodian of the Portfolios. Pursuant to the respective custodian agreements,
IBT receives a fee reduced by credits which are determined based on the
average daily cash balances each Portfolio maintains with IBT. All
significant credit balances used to reduce the Portfolios' custodian fees are
reported as a reduction of total expenses in the Statements of Operations.
K 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.
L INDEMNIFICATIONS -- Under a Portfolio's organizational documents, its
officers and Trustees may be indemnified against certain liabilities and
expenses arising out of the performance of their duties to the Portfolio.
Interestholders in the Portfolio are jointly and severally liable for the
liabilities and obligations of the Portfolio in the event that the Portfolio
fails to satisfy such liabilities and obligations; provided, however, that,
to the extent assets are available in the Portfolio, the Portfolio may, under
certain circumstances, indemnify interestholders from and against any claim
or liability to which such holder may become subject by reason of being or
having been an interestholder in the Portfolio. Additionally, in the normal
course of business, the Portfolio enters into agreements with service
providers that may contain indemnification clauses. The Portfolio's maximum
exposure under these arrangements is unknown as this would involve future
claims that may be made against the Portfolio that have not yet occurred.
M INTERIM FINANCIAL STATEMENTS -- The interim financial statements relating
to February 29, 2004 and for the six months then ended have not been audited
by independent certified public accountants, but in the opinion of the
Portfolios' management reflect all adjustments, consisting only of normal
recurring adjustments, necessary for the fair presentation of the financial
statements.
116
<Page>
2 INVESTMENT ADVISER FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The investment adviser fee is earned by Boston Management and Research (BMR),
a wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation
for management and investment advisory services rendered to each Portfolio.
The fee is based upon a percentage of average daily net assets plus a
percentage of gross income (i.e., income other than gains from the sale of
securities). For the six months ended February 29, 2004, the Portfolios paid
advisory fees as follows:
<Table>
<Caption>
PORTFOLIO AMOUNT EFFECTIVE RATE*
-------------------------------------------------------------
Alabama $ 105,120 0.32%
Arkansas 56,844 0.26%
Georgia 84,416 0.30%
Kentucky 111,364 0.33%
Louisiana 29,241 0.20%
Maryland 133,953 0.35%
Missouri 88,275 0.31%
North Carolina 155,986 0.36%
Oregon 151,235 0.36%
South Carolina 79,388 0.30%
Tennessee 66,945 0.27%
Virginia 219,138 0.38%
</Table>
* As a percentage of average daily net assets (annualized).
Except as to Trustees of the Portfolios who are not members of EVM's or BMR's
organization, officers and Trustees receive remuneration for their services
to the Portfolios out of such investment adviser fee.
Trustees of the Portfolios that are not affiliated with the Investment
Adviser may elect to defer receipt of all or a percentage of their annual
fees in accordance with the terms of the Trustees Deferred Compensation Plan.
For the six months ended February 29, 2004, no significant amounts have been
deferred.
Certain officers and Trustees of the Portfolios are officers of the above
organizations.
During the six months ended February 29, 2004, certain Portfolios engaged in
purchase and sale transactions with other Portfolios that also utilize BMR as
an investment adviser. These purchase and sale transactions complied with
Rule 17a-7 under the Investment Company Act of 1940 and amounted to:
<Table>
<Caption>
PORTFOLIO PURCHASES SALES
--------------------------------------------------------------
Arkansas $ 507,980 $ 1,327,058
Georgia 306,603 --
Tennessee -- 109,163
</Table>
3 INVESTMENTS
Purchases and sales of investments, other than U.S. Government securities,
purchased options and short-term obligations, for the six months ended
February 29, 2004, were as follows:
<Table>
ALABAMA PORTFOLIO
Purchases $ 8,761,221
Sales 11,446,817
ARKANSAS PORTFOLIO
Purchases $ 3,087,755
Sales 3,183,859
GEORGIA PORTFOLIO
Purchases $ 1,061,471
Sales 1,357,325
KENTUCKY PORTFOLIO
Purchases $ 1,007,880
Sales 3,704,675
LOUISIANA PORTFOLIO
Purchases $ 886,356
Sales 1,708,062
MARYLAND PORTFOLIO
Purchases $ 4,377,118
Sales 9,628,318
MISSOURI PORTFOLIO
Purchases $ 2,032,165
Sales 3,924,203
</Table>
117
<Page>
<Table>
NORTH CAROLINA PORTFOLIO
Purchases $ 13,705,302
Sales 20,072,074
OREGON PORTFOLIO
Purchases $ 1,602,059
Sales 5,695,965
SOUTH CAROLINA PORTFOLIO
Purchases $ 17,371,249
Sales 19,575,704
TENNESSEE PORTFOLIO
Purchases $ 3,497,110
Sales 3,586,428
VIRGINIA PORTFOLIO
Purchases $ 10,788,410
Sales 15,599,868
</Table>
4 FEDERAL INCOME TAX BASIS OF UNREALIZED APPRECIATION (DEPRECIATION)
The cost and unrealized appreciation (depreciation) in value of the
investments owned by each Portfolio at February 29, 2004, as computed on a
federal income tax basis, are as follows:
<Table>
ALABAMA PORTFOLIO
AGGREGATE COST $ 59,142,895
--------------------------------------------------------------
Gross unrealized appreciation $ 5,661,343
Gross unrealized depreciation (232,515)
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 5,428,828
--------------------------------------------------------------
ARKANSAS PORTFOLIO
AGGREGATE COST $ 42,244,771
--------------------------------------------------------------
Gross unrealized appreciation $ 3,469,192
Gross unrealized depreciation (258,458)
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 3,210,734
--------------------------------------------------------------
GEORGIA PORTFOLIO
AGGREGATE COST $ 51,212,773
--------------------------------------------------------------
Gross unrealized appreciation $ 6,561,073
Gross unrealized depreciation (1,144,594)
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 5,416,479
--------------------------------------------------------------
KENTUCKY PORTFOLIO
AGGREGATE COST $ 59,860,592
--------------------------------------------------------------
Gross unrealized appreciation $ 7,096,136
Gross unrealized depreciation (19,054)
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 7,077,082
--------------------------------------------------------------
LOUISIANA PORTFOLIO
AGGREGATE COST $ 26,507,251
--------------------------------------------------------------
Gross unrealized appreciation $ 2,582,758
Gross unrealized depreciation (100,449)
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 2,482,309
--------------------------------------------------------------
MARYLAND PORTFOLIO
AGGREGATE COST $ 72,647,254
--------------------------------------------------------------
Gross unrealized appreciation $ 5,966,186
Gross unrealized depreciation (3,322,323)
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 2,643,863
--------------------------------------------------------------
MISSOURI PORTFOLIO
AGGREGATE COST $ 51,549,120
--------------------------------------------------------------
Gross unrealized appreciation $ 5,914,809
Gross unrealized depreciation (287,586)
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 5,627,223
--------------------------------------------------------------
NORTH CAROLINA PORTFOLIO
AGGREGATE COST $ 79,124,752
--------------------------------------------------------------
Gross unrealized appreciation $ 8,678,535
Gross unrealized depreciation (860,686)
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 7,817,849
--------------------------------------------------------------
</Table>
118
<Page>
<Table>
OREGON PORTFOLIO
AGGREGATE COST $ 76,803,882
--------------------------------------------------------------
Gross unrealized appreciation $ 6,115,428
Gross unrealized depreciation (242,331)
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 5,873,097
--------------------------------------------------------------
SOUTH CAROLINA PORTFOLIO
AGGREGATE COST $ 49,207,319
--------------------------------------------------------------
Gross unrealized appreciation $ 3,898,361
Gross unrealized depreciation (35,054)
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 3,863,307
--------------------------------------------------------------
TENNESSEE PORTFOLIO
AGGREGATE COST $ 43,636,066
--------------------------------------------------------------
Gross unrealized appreciation $ 4,664,957
Gross unrealized depreciation --
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 4,664,957
--------------------------------------------------------------
VIRGINIA PORTFOLIO
AGGREGATE COST $ 102,153,950
--------------------------------------------------------------
Gross unrealized appreciation $ 11,699,341
Gross unrealized depreciation (6,728)
--------------------------------------------------------------
NET UNREALIZED APPRECIATION $ 11,692,613
--------------------------------------------------------------
</Table>
5 LINE OF CREDIT
The Portfolios participate with other portfolios and funds managed by BMR and
EVM and its affiliates in a $150 million unsecured line of credit agreement
with a group of banks. Borrowings will be made by the Portfolios solely to
facilitate the handling of unusual and/or unanticipated short-term cash
requirements. Interest is charged to each participating portfolio or fund
based on its borrowings at an amount above either the Eurodollar rate or
federal funds rate. In addition, a fee computed at an annual rate of 0.10% on
the daily unused portion of the line of credit is allocated among the
participating portfolios and funds at the end of each quarter. At February
29, 2004, the Arkansas Portfolio, the Louisiana Portfolio, the Maryland
Portfolio, the North Carolina Portfolio, and the Virginia Portfolio had
balances outstanding pursuant to this line of credit of $100,000, $500,000,
$500,000, $100,000 and $300,000, respectively. The Portfolios did not have
any significant borrowings or allocated fees during the six months ended
February 29, 2004.
6 FINANCIAL INSTRUMENTS
The Portfolios regularly trade in financial instruments with off-balance
sheet risk in the normal course of their investing activities to assist in
managing exposure to various market risks. These financial instruments
include futures contracts and 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 Portfolio has in particular classes of
financial instruments and does not necessarily represent the amounts
potentially subject to risk. The measurement of the risks associated with
these instruments is meaningful only when all related and offsetting
transactions are considered.
A summary of obligations held under these financial instruments at February
29, 2004, is as follows:
FUTURES CONTRACTS
<Table>
<Caption>
EXPIRATION NET UNREALIZED
PORTFOLIO DATE CONTRACTS POSITION DEPRECIATION
----------------------------------------------------------------------------------
Alabama 3/04 57 U.S. Treasury Bond Short $ (148,722)
6/04 9 U.S. Treasury Bond Short (14,663)
----------------------------------------------------------------------------------
Arkansas 3/04 50 U.S. Treasury Bond Short (230,876)
3/04 20 U.S. Treasury Note Short (65,685)
----------------------------------------------------------------------------------
Georgia 3/04 81 U.S. Treasury Bond Short (347,125)
----------------------------------------------------------------------------------
Kentucky 3/04 67 U.S. Treasury Bond Short (185,019)
6/04 9 U.S. Treasury Bond Short (14,663)
----------------------------------------------------------------------------------
Louisiana 3/04 45 U.S. Treasury Bond Short (182,231)
----------------------------------------------------------------------------------
Maryland 3/04 93 U.S. Treasury Bond Short (252,030)
6/04 13 U.S. Treasury Bond Short (21,180)
----------------------------------------------------------------------------------
Missouri 3/04 79 U.S. Treasury Bond Short (338,555)
----------------------------------------------------------------------------------
North Carolina 3/04 130 U.S. Treasury Bond Short (525,265)
----------------------------------------------------------------------------------
Oregon 3/04 165 U.S. Treasury Bond Short (627,983)
3/04 40 U.S. Treasury Note Short (131,368)
----------------------------------------------------------------------------------
South Carolina 3/04 80 U.S. Treasury Bond Short (312,458)
----------------------------------------------------------------------------------
Tennessee 3/04 72 U.S. Treasury Bond Short (308,556)
----------------------------------------------------------------------------------
Virginia 3/04 190 U.S. Treasury Bond Short (759,593)
</Table>
At February 29, 2004, the Portfolios had sufficient cash and/or securities to
cover margin requirements on open futures contracts.
119
<Page>
7 INTERESTHOLDER MEETING
Each Portfolio held a Special Meeting of Interestholders on February 20,
2004. At the Special Meeting, shareholders voted to change each Portfolio's
diversification status from diversified to non-diversified. The results of
the vote were as follows. Results are rounded to the nearest whole number:
<Table>
<Caption>
ALABAMA FUND ARKANSAS FUND GEORGIA FUND KENTUCKY FUND LOUISIANA FUND MARYLAND FUND
---------------------------------------------------------------------------------------------------------------------------
Affirmative 89% 89% 88% 85% 91% 87%
Against 4% 4% 8% 10% 7% 8%
Abstain 7% 7% 4% 5% 2% 5%
<Caption>
MISSOURI FUND NORTH CAROLINA FUND OREGON FUND SOUTH CAROLINA FUND TENNESSEE FUND VIRGINIA FUND
---------------------------------------------------------------------------------------------------------------------------
Affirmative 83% 85% 82% 90% 84% 88%
Against 10% 8% 8% 6% 6% 8%
Abstain 7% 7% 10% 4% 10% 4%
</Table>
120
<Page>
INVESTMENT MANAGEMENT
MUNICIPALS PORTFOLIOS
OFFICERS
Thomas J. Fetter
President and Portfolio Manager of South Carolina
Municipals Portfolio
James B. Hawkes
Vice President and Trustee
William H. Ahern, Jr.
Vice President and Portfolio Manager of Alabama, Kentucky,
and Maryland Municipals Portfolios
Cynthia J. Clemson
Vice President and Portfolio Manager of Georgia, Missouri,
and Tennessee Municipals Portfolios
Robert B. MacIntosh
Vice President and Portfolio Manager of Louisiana and
Virginia Municipals Portfolios
Thomas M. Metzold
Vice President and Portfolio Manager of Arkansas, North
Carolina and Oregon Municipals Portfolios
Kristin S. Anagnost
Treasurer of Louisiana, Missouri, Oregon and Tennessee
Municipals Portfolios
Barbara E. Campbell
Treasurer of Alabama, Arkansas, Georgia, Kentucky, Maryland,
North Carolina, South Carolina and Virginia Municipals
Portfolios
Alan R. Dynner
Secretary
TRUSTEES
Samuel L. Hayes, III
William H. Park
Ronald A. Pearlman
Norton H. Reamer
Lynn A. Stout
121
<Page>
ITEM 2. CODE OF ETHICS
The registrant has adopted a code of ethics applicable to its Principal
Executive Officer, Principal Financial Officer and Principal Accounting Officer.
The registrant undertakes to provide a copy of such code of ethics to any person
upon request, without charge, by calling 1-800-262-1122.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
The registrant's Board has designated William H. Park, Samuel L. Hayes, III and
Norton H. Reamer, each an independent trustee, as its audit committee financial
experts. Mr. Park is a certified public accountant who is the President and
Chief Executive Officer of Prizm Capital Management, LLC (a fixed income
investment management firm). Previously, he served as Executive Vice President
and Chief Financial Officer of United Asset Management Corporation ("UAM") (a
holding company owning institutional investment management firms). Mr. Hayes is
the Jacob H. Schiff Professor of Investment Banking Emeritus of the Harvard
University Graduate School of Business Administration. Mr. Reamer is the
President, Chief Executive Officer and a Director of Asset Management Finance
Corp. (a specialty finance company serving the investment management industry)
and is President of Unicorn Corporation (an investment and financial advisory
services company). Formerly, Mr. Reamer was Chairman of Hellman, Jordan
Management Co., Inc. (an investment management company) and Advisory Director of
Berkshire Capital Corporation (an investment banking firm), Chairman of the
Board of UAM and Chairman, President and Director of the UAM Funds (mutual
funds).
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES
Not required in this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not required in this filing.
ITEM 6. SCHEDULE OF INVESTMENTS
Not required in this filing
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not required in this filing.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not required in this filing.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable
<Page>
ITEM 10. 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 period that has materially affected, or is
reasonably likely to materially affect the registrant's internal control over
financial reporting.
ITEM 11. 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.
<Page>
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.
NORTH CAROLINA MUNICIPALS PORTFOLIO
By: /s/ Thomas J. Fetter
---------------------------------
Thomas J. Fetter
President
Date: April 20, 2004
--------------
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: April 20, 2004
--------------
By: /s/ Thomas J. Fetter
---------------------------------
Thomas J. Fetter
President
Date: April 20, 2004
--------------