EX-99.17.VII 3 l23233bexv99w17wvii.txt EX-99.17.VII Exhibit (17)(vii) BB&T Annual Report to Shareholders September 30, 2006 (BB&T FUNDS LOGO) SENSIBLE INVESTING FOR GENERATIONS(R) BB&T FUNDS TABLE OF CONTENTS MANAGEMENT DISCUSSION OF PERFORMANCE Letter from the President and the Investment Advisor .................. 1 FUND SUMMARY Large Cap Fund ........................................................ 2 Large Cap Growth Fund ................................................. 4 Mid Cap Value Fund .................................................... 6 Mid Cap Growth Fund ................................................... 8 Small Cap Fund ........................................................ 10 International Equity Fund ............................................. 12 Special Opportunities Equity Fund ..................................... 14 Equity Income Fund .................................................... 16 Short U.S. Government Fund ............................................ 18 Intermediate U.S. Government Fund ..................................... 20 Total Return Bond Fund ................................................ 22 Kentucky Intermediate Tax-Free Fund ................................... 24 Maryland Intermediate Tax-Free Fund ................................... 26 North Carolina Intermediate Tax-Free Fund ............................. 28 South Carolina Intermediate Tax-Free Fund ............................. 30 Virginia Intermediate Tax-Free Fund ................................... 32 West Virginia Intermediate Tax-Free Fund .............................. 34 Prime Money Market Fund ............................................... 36 U.S. Treasury Money Market Fund ....................................... 37 Capital Manager Conservative Growth Fund .............................. 39 Capital Manager Moderate Growth Fund .................................. 40 Capital Manager Growth Fund ........................................... 41 Capital Manager Equity Fund ........................................... 42 SUMMARY OF PORTFOLIO HOLDINGS ............................................ 43 EXPENSE EXAMPLE .......................................................... 46 SCHEDULES OF PORTFOLIO INVESTMENTS Large Cap Fund ........................................................ 50 Large Cap Growth Fund ................................................. 51 Mid Cap Value Fund .................................................... 52 Mid Cap Growth Fund ................................................... 53 Small Cap Fund ........................................................ 54 International Equity Fund ............................................. 56 Special Opportunities Equity Fund ..................................... 59 Equity Income Fund .................................................... 60 Short U.S. Government Fund ............................................ 61 Intermediate U.S. Government Fund ..................................... 62 Total Return Bond Fund ................................................ 63 Kentucky Intermediate Tax-Free Fund ................................... 66 Maryland Intermediate Tax-Free Fund ................................... 67 North Carolina Intermediate Tax-Free Fund ............................. 68 South Carolina Intermediate Tax-Free Fund ............................. 70 Virginia Intermediate Tax-Free Fund ................................... 72 West Virginia Intermediate Tax-Free Fund .............................. 74 Prime Money Market Fund ............................................... 76 U.S. Treasury Money Market Fund ....................................... 79 National Tax-Free Money Market Fund ................................... 80 Capital Manager Conservative Growth Fund .............................. 82 Capital Manager Moderate Growth Fund .................................. 83 Capital Manager Growth Fund ........................................... 84 Capital Manager Equity Fund ........................................... 85 FINANCIAL STATEMENTS ..................................................... 88 NOTES TO FINANCIAL STATEMENTS ............................................ 144 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM .................. 158 OTHER INFORMATION ........................................................ 161
LETTER FROM THE PRESIDENT AND THE INVESTMENT ADVISOR DEAR SHAREHOLDERS: We are pleased to present this annual report for the 12-month period ended September 30, 2006. The economy generated healthy growth during that time, despite a number of headwinds. Stocks overcame a spring correction to turn in solid returns, while the fixed-income markets posted small gains. The S&P 500 Index gained 10.79% during the period under review, while the Russell 2000 Index of small-cap stocks returned 9.92% and the Lehman Aggregate Bond Index gained 3.67%. A RESILIENT ECONOMY Solid consumer and corporate spending helped the economy generate healthy growth during the 12-month period as a whole, despite a number of negative factors. The destruction wreaked by Gulf Coast hurricanes during August and September of 2005 contributed to a considerable slowdown in GDP(1) growth during the fourth quarter of 2005. The economy rebounded strongly in early 2006, however, due in part to a strong housing market. The housing sector subsequently slowed dramatically, weighing on the economy during the second half of the period. High energy prices also dragged on the economy. The price of a barrel of crude oil climbed steeply to exceed $78 in July, marking an all-time high. Oil prices declined substantially during the final weeks of the period, to less than $60 per barrel. The Federal Reserve raised the Fed funds rate six times, to 5.25%--a policy designed to forestall higher inflation by restraining economic growth. STOCKS OVERCOME A SPRING SWOON Equities performed well early in the period. Energy and materials stocks led a rally, as companies in those sectors benefited from rising commodity prices. Small caps and foreign stocks also generated strong returns, as investors favored stocks that were likely to benefit from strong global economic growth. Stocks fell significantly between May and July. The market subsequently rebounded, however, led by shares of large, high-quality firms. Energy stocks fell precipitously after oil prices declined late in the period, causing the energy sector to lag the broad market for the 12-month period as a whole. Stocks in the telecommunications, technology, utilities, health care and financials sectors posted good returns after the spring downturn. BOND YIELDS RISE, THEN FALL Bonds generated slight gains during the fiscal year. Tightening by the Federal Reserve Board and concerns about higher inflation contributed to higher yields during the first three-quarters of the period. The Fed's inaction at its August and September meetings then allowed short-term bond yields to fall, as investors began to anticipate a cut in interest rates during 2007. Meanwhile, relatively benign inflationary data pushed down yields on the long end of the yield curve. Corporate bonds modestly outperformed Treasury issues during the fiscal year as a whole. The spread between yields on Treasury and corporate securities widened modestly late in the period, however, as investors began to anticipate slower economic growth. LOOKING AHEAD We saw earlier in 2006 that inflation had peaked. We continue to witness further signs of reduced inflationary pressure, due primarily to lower oil prices and a slowing housing market. As a result, we think the Federal Reserve has finished raising interest rates for this cycle. We believe weakening consumer spending will cause the economy to slow during the coming months, although we expect GDP growth to remain positive. That backdrop appears favorable for stocks, which we believe offer greater potential returns than bonds during the coming months. High-quality large cap stocks in particular appear attractively valued, especially multi-national companies that can benefit from a declining dollar. Valuation multiples are already expanding as the markets discount receding inflationary pressures and attendant lower interest rates. Because of the slowing economy, led by the housing correction, we favor sectors and industries less dependent upon consumer discretionary income, such as consumer staples, pharmaceuticals and healthcare equipment. Business spending should remain healthier, so we like communications equipment, data processing, and energy producers and refiners. We believe that continued weak economic data, lower inflation and eventually a more accommodative Federal Reserve policy will lead to a decline in bond yields and further gains in the bond market. Thus, we would tend to favor portfolio durations slightly above benchmarks for all fixed-income portfolios. In addition, we expect short-term rates to decline most when the Fed eases its policy, benefiting bonds in the two-to-five year maturity range. Meanwhile, with the Federal Reserve on hold, there may be a period of relative stability in the bond market. Sectors such as mortgage-backed securities and agency bonds, which provide an income advantage over their benchmarks, may provide superior performance in such an environment. The dynamic nature of the financial markets makes predicting future performance difficult, however. We therefore recommend maintaining well-balanced portfolios comprised of funds that invest in various types of stocks, bonds and cash investments. The BB&T Funds offer a wide variety of investment vehicles with which you can construct such portfolios. We encourage you to use them as part of a disciplined, long-term investment strategy designed to maximize your chances of reaching your unique financial objectives. We encourage you to call us with any questions at 1-800-228-1872, and we thank you for your trust in the BB&T Funds. /s/ Keith F. Karlawish ------------------------------------- Keith F. Karlawish, CFA President BB&T Funds /s/ Jeffrey J. Schappe ------------------------------------- Jeffrey J. Schappe, CFA Chief Investment Officer BB&T Asset Management, Inc. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. (1) Gross Domestic Product ("GDP") measures the monetary value of all the goods and services produced by an economy over a specified period. It includes consumption, government purchases, investments, and exports minus imports. THIS REPORT IS AUTHORIZED FOR DISTRIBUTION ONLY WHEN PRECEDED OR ACCOMPANIED BY A PROSPECTUS. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE INVESTING OR SENDING MONEY. BB&T ASSET MANAGEMENT, INC., A WHOLLY OWNED SUBSIDIARY OF BB&T CORPORATION, SERVES AS INVESTMENT ADVISER TO THE BB&T FUNDS AND IS PAID A FEE FOR ITS SERVICES. SHARES OF THE BB&T FUNDS ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR ENDORSED BY, BRANCH BANKING AND TRUST COMPANY OR ITS AFFILIATES. THE FUNDS ARE NOT INSURED BY THE FDIC OR ANY OTHER GOVERNMENT AGENCY. THE FUNDS CURRENTLY ARE DISTRIBUTED BY BB&T FUNDS DISTRIBUTOR, INC. THE DISTRIBUTORS ARE NOT AFFILIATED WITH BRANCH BANKING AND TRUST COMPANY OR ITS AFFILIATES. The foregoing information and opinions are for general information only. BB&T Asset Management, Inc. does not guarantee their accuracy or completeness, nor assume liability for any loss, which may result from the reliance by any person upon any such information or opinions. Such information and opinions are subject to change without notice, are for general information only and are not intended as an offer or solicitation with respect to the purchase or sale of any security or offering individual or personalized investment advice. 1 BB&T LARGE CAP FUND (FORMERLY THE LARGE COMPANY VALUE FUND) PORTFOLIO MANAGER Ronald T. Rimkus, CFA The BB&T Large Cap Fund is managed by Ronald T. Rimkus, a chartered financial analyst and Director of Core Equity at BB&T Asset Management, Inc. Mr. Rimkus has more than 13 years of investment experience, including hands on management of both growth and value equity portfolios. Most recently, he spent six years overseeing large-company core equity portfolios. Mr. Rimkus holds a BA from Brown University and an MBA from UCLA. He is supported by the BB&T Large Cap Core Equity Portfolio Management Team. INVESTMENT CONCERNS Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 14.59% (Institutional Shares). That compared to a 10.79% return for its benchmark, the S&P 500 Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. This Fund seeks to invest in under valued shares of companies that have sustainable competitive advantages, good management and strong returns on invested capital. Those types of stocks performed well during this fiscal year, helping the Fund post strong absolute returns. In particular, the health of the global industrial economy and high commodity prices led to strong demand for industrial stocks, boosting the Fund's gain.(1) The Fund's security-selection process helped it outperform its benchmark during this 12-month period. We held a relatively large position in health care stocks, and especially in shares of pharmaceutical companies. Shares in that industry were attractively valued following a long period of weak performance, making them compelling given the firms' strong businesses, healthy balance sheets and good cash flows. Large drug stocks performed very well during this period, boosting returns against the index.(1) An overweight stake in information technology stocks also lifted relative performance, as strength in enterprise technology spending buoyed shares of a number of large software firms. Strong stock selection in the technology sector also helped the Fund's relative returns. For example, we bought shares of a large semiconductor maker after they posted large losses, and the Fund's relative gains benefited from that stock's rebound. (1) An underweight position in materials stocks weighed on returns versus the Fund's benchmark. Few materials stocks met our selection criteria, but materials shares performed well during the period on the strength of high commodity prices. Selection among utilities stocks also dragged modestly on relative performance.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 2 BB&T LARGE CAP FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 5 10 September 30, 2006 Date Year Year Year ------------------ --------- ----- ----- ----- Class A Shares* 10/9/92 7.71% 6.31% 7.84% Class B Shares** 1/1/96 9.45% 6.61% 7.80% Class C Shares*** 2/1/01(4) 13.42% 6.76% 8.01% Institutional Shares 10/9/92 14.59% 7.84% 8.74% S&P 500 Index N/A 10.79% 6.97% 8.59% Russell 1000(R) Value Index N/A 14.62% 10.73% 11.20%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. (4) Class C Shares were not in existence prior to 2/1/01. Performance for periods prior to that is based on the historical performance of the Class A Shares, and has been adjusted for the maximum CDSC applicable to Class C Shares, but does not include the Class C Shares 12b-1 fees, which, if reflected, performance would have been lower. Effective March 14, 2006, the standardized benchmark performance index for the Fund was changed from the Russell 1000(R) Value Index to the S&P 500 Index in order to better represent the Fund's investment strategies for comparison purposes. The Fund is measured against the S&P 500 Index. The S&P 500 Index is generally considered to be representative of the performance of the stock market as a whole. The Russell 1000(R) Value Index consists of 1,000 of the largest capitalized U.S. domiciled companies. Companies in this index generally have low price-to-book and price-to-earnings ratios, higher dividend yields, and lower forecasted growth values. These indices are unmanaged and do not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 3 BB&T LARGE CAP GROWTH FUND (FORMERLY THE LARGE COMPANY GROWTH FUND) PORTFOLIO MANAGER David P. Nolan The BB&T Large Cap Growth Fund is managed by David P. Nolan. A graduate of Wake Forest University, where he received a BS in Business, Mr. Nolan managed common and collective trust funds from 1985 to 1993. Mr. Nolan is supported by the BB&T Growth Equity Portfolio Management Team, which includes Brian Baker, Brandon Carl and Michele Holmes Van Dyke. The team brings to the Fund more than six decades of combined investment management experience, along with a broad range of growth-stock investing skills. INVESTMENT CONCERNS Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund returned -0.10% (Institutional Shares). That compared to a 6.04% return for its benchmark, the Russell 1000(R) Growth Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. This Fund invests in stocks of fast-growing firms. Such stocks posted strong gains early in the period, but performed very poorly between May and September as investors fled from relatively volatile stocks amid concerns about slower economic growth. Losses during the second half of the period offset the Fund's earlier gains, leading to a virtually flat return for the fiscal year as a whole.(1) The Fund's emphasis on fast-growing stocks was the primary reason it lagged its benchmark for the 12-month period. Investors favored defensive shares of slow-growing firms across the 10 economic sectors. We typically invest in many of the fastest-growing stocks in each sector, so such stocks' weak performance led to stock selection that weighed on relative returns.(1) For example, the Fund had very little exposure to pharmaceutical stocks, because drug companies generally did not offer the revenue and earnings growth we seek. Many large pharmaceutical stocks performed extremely well during this period, however, causing the Fund's small weighting in that group to drag on relative returns. The Fund's selection within the information technology, industrials and energy sectors also weighed down performance versus the benchmark.(1) We maintained an overweight position in the energy sector throughout the period. That weighting boosted relative returns during the first half of the period, as high energy prices led to strong gains by energy shares. Investor sentiment turned against the sector during the second half of the period, however, causing the Fund's relatively large energy stake to drag on performance against the benchmark for the fiscal year as a whole.(1) Certain factors did boost returns relative to the large-cap growth index, despite investors' bias against fast-growing stocks. Selection among telecommunications services stocks helped the Fund's performance versus its benchmark, as did selection within consumer discretionary stocks.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 4 BB&T LARGE CAP GROWTH FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 5 Since September 30, 2006 Date Year Year Inception ------------------ --------- ----- ---- --------- Class A Shares* 10/3/97 -6.07% 0.74% 0.30% Class B Shares** 10/3/97 -5.13% 0.95% 0.29% Class C Shares*** 2/1/01(2) -1.18% 1.14% 0.23% Institutional Shares 10/3/97 -0.10% 2.18% 1.20% Russell 1000(R) Growth Index 10/3/97 6.04% 4.42% 2.29%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. (2) Class C Shares were not in existence prior to 2/1/01. Performance for periods prior to that is based on the historical performance of the Class B Shares, and has been adjusted for the maximum CDSC applicable to Class C Shares. The Fund is measured against the Russell 1000(R) Growth Index, an unmanaged index which is comprised of 1,000 of the largest capitalized U.S. domiciled companies with higher price-to-book ratios and higher forecasted growth values whose common stock is traded in the United States on the New York Stock Exchange, American Stock Exchange and NASDAQ. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total returns for the period would have been lower. 5 BB&T MID CAP VALUE FUND PORTFOLIO MANAGER Timothy P. Beyer, CFA The BB&T Mid Cap Value Fund is managed by Timothy P. Beyer, CFA, portfolio manager for Sterling Capital Management LLC, sub-adviser to the Fund. Mr. Beyer, who joined Sterling in 2004, is a graduate of East Carolina University, where he received his BSBA in Finance, and has 16 years of investment management experience. Mr. Beyer is supported by Eduardo Brea, CFA; Robert Bridges, CFA; Lee D. Houser, CFA; Patrick W. Rau, CFA; and Brian Walton, CFA. INVESTMENT CONCERNS Mid-capitalization funds typically carry additional risks since smaller companies generally have a higher risk of failure, and historically, their stocks have experienced a greater degree of market volatility than stocks on average. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund posted a return of 13.52% (Institutional Shares). That compared to a 12.27% return for its benchmark, the Russell Midcap(R) Value Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. Both mid-cap value stocks in general and the Fund in particular generated strong performance during this period. The Fund's focus on quality and valuation helped it outperform its benchmark. We held a relatively large position in financial services stocks, so strong performance from that sector boosted the Fund's returns against the index. Good stock selection in the financials sector also helped relative performance.(1) The Fund maintained a significantly smaller position than the index in shares of utilities and Real Estate Investment Trusts (REITs), despite the high yields such shares offered. Those stocks sported very high valuations, in our estimation, as a result of investors' pursuit of yield rather than fundamental strength. The underweight position in utilities stocks added to the Fund's relative gains, but holding a smaller stake than the benchmark in REITs weighed on relative returns.(1) We held a significantly underweight position in energy stocks throughout the period. We believe it is extremely difficult to create durable competitive advantages in the energy industry. Furthermore, the capital- and investment-intensive nature of the industry often results in low returns on investment and poor free cash flow. The Fund's small stake in energy weighed on relative returns early in the period, but significantly boosted performance against the benchmark during the second half of the fiscal year. The energy under-weight had little effect on relative returns for the period as a whole. We also maintained a much smaller position than the benchmark in commodities stocks, and that under-weighting boosted relative performance as shares in that sector posted weak returns.(1) Stock selection in the producer durables and technology sectors also boosted performance against the benchmark. We increased the Fund's stakes in several technology stocks during the year, which added significantly to the funds returns. We were able to buy shares of what we consider to be high-quality technology companies with excellent free cash flow at extremely attractive prices.(1) Shares of a particular auto-parts maker dragged on relative returns. The stock performed poorly as investors became concerned about a lack of liquidity and a generally difficult environment for the industry. We eliminated the Fund's position in that stock during the period.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 6 BB&T MID CAP VALUE FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 5 10 September 30, 2006 Date Year Year Year ------------------ --------- ----- ----- ----- Class A Shares* 8/1/96(3) 6.71% 11.31% 10.79% Class B Shares** 7/25/01(3) 8.38% 11.71% 11.00% Class C Shares*** 7/25/01(3) 12.38% 11.83% 10.99% Institutional Shares 8/1/96(3) 13.52% 12.94% 11.73% Russell Midcap(R) Value Index 8/1/96 12.27% 16.63% 13.66%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. (3) Performance shown for Class A and Institutional Shares includes the performance of the OVB Equity Income Portfolio for the periods prior to its consolidation with the BB&T Mid Cap Value Fund on 7/23/01. The performance shown reflects reinvestment of all dividend and capital gains distributions. Class B and C Shares were not in existence prior to 7/25/01. Performance for periods prior to 7/25/01 is based on the historical performance of the Class A Shares, and has been adjusted for the maximum CDSC applicable to Class B and C Shares, respectively, but such performance does not reflect Class B and C Shares' 12b-1 fees and expenses. With those adjustments, performance would be lower than that shown. The Fund is measured against the Russell Midcap(R) Value Index, an unmanaged index which measures the performance of those securities in the Russell 1000 with lower price-to-book ratios or lower forecasted growth values. The index is unmanaged and does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If fees had not been waived, the Fund's total return for the period would have been lower. 7 BB&T MID CAP GROWTH FUND PORTFOLIO MANAGER David P. Nolan The BB&T Mid Cap Growth Fund is managed by David P. Nolan. A graduate of Wake Forest University, where he received a BS in Business, Mr. Nolan managed common and collective trust funds from 1985 to 1993 and has managed the Mid Cap Growth Fund since its inception in 1993. He is supported by the BB&T Growth Equity Portfolio Management Team, which includes Brian Baker, Brandon Carl and Michele Holmes Van Dyke. The team brings to the Fund six decades of combined investment management experience, along with a broad range of growth-stock investing skills. INVESTMENT CONCERNS Mid-capitalization funds typically carry additional risks since smaller companies generally have a higher risk of failure, and historically, their stocks have experienced a greater degree of market volatility than stocks on average. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund posted a return of -0.15% (Institutional Shares). That compared to a 7.03% return for its benchmark, the Russell Midcap(R) Growth Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. We seek to invest in shares of firms that could potentially provide earnings growth of 20% per year or greater. Such stocks performed well early in this 12-month period, but then declined as investors concerned about slower economic growth rotated out of fast-growing stocks. That environment caused this Fund to post a loss for the period as a whole.(1) During the second half of this period, stocks of firms with earnings-growth rates faster than 20% dramatically underperformed shares of companies with slower growth. In fact, stocks of medium-sized companies with the slowest earnings growth posted the best performance between April and September. The kinds of fast-growing stocks in which this Fund invests tend to experience relatively high volatility, so they typically lag their peers during periods such as this one when investors favor defensive stocks. The weak performance of stocks with rapid earnings growth was the primary reason that the Fund lagged its benchmark during this period.(1) Investors' aversion to high-growth stocks was consistent across various types of stocks, causing the Fund's security selection to weigh on relative performance in most sectors. That dynamic was especially acute among information technology and consumer discretionary stocks. We typically hold a very small weighting in consumer staples stocks, because companies in that sector rarely produce the rapid earnings growth we seek. That underweight position also dragged on performance against the benchmark, as consumer staples stocks posted strong returns.(1) The Fund's relative returns did benefit from stock selection in the energy sector. An overweight stake in telecommunications services shares also boosted returns as did selection within that sector. Likewise, an underweight position in consumer discretionary stocks helped the Fund's relative performance.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 8 BB&T MID CAP GROWTH FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 5 10 September 30, 2006 Date Year Year Year ------------------ --------- ----- ----- ---- Class A Shares* 12/30/93(3) -6.23% 7.40% 7.64% Class B Shares** 7/25/01(3) -4.78% 7.73% 7.86% Class C Shares*** 7/25/01(3) -1.15% 7.90% 7.87% Institutional Shares 12/1/93(3) -0.15% 8.99% 8.57% Russell Midcap(R) Growth Index N/A 7.03% 12.01% 8.20%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. (3) Fund performance as shown for Class A and Institutional Shares includes the performance of the OVB Capital Appreciation Portfolio for the periods prior to its consolidation with the BB&T Mid Cap Growth Fund on 7/23/01. The performance shown reflects reinvestment of all dividend and capital gains distributions. The Class B and C Shares were not in existence prior to 7/25/01. Performance for periods prior to 7/25/01 is based on the historical performance of the Class A Shares and has been adjusted for the maximum CDSC applicable to Class B and C Shares, respectively, but such performance does not reflect Class B and C Shares' 12b-1 fees and expenses. With those adjustments, performance would be lower. The Fund is measured against the Russell Midcap(R) Growth Index, an unmanaged index which measures the performance of those securities in the Russell 1000(R) Index with higher price-to-book ratios and lower forecasted growth values. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total returns for the period would have been lower. 9 BB&T SMALL CAP FUND (FORMERLY THE SMALL COMPANY VALUE FUND) PORTFOLIO MANAGER John T. Kvantas, CFA The BB&T Small Cap Fund is managed by John T. Kvantas, CFA. A graduate of the University of Illinois Champaign-Urbana, where he received a BS in Accountancy, Mr. Kvantas also earned an MBA from the Fuqua School of Business at Duke University, and has been managing investors' money since 1995. He is supported by the BB&T Small Cap Portfolio Management Team, which includes Dan Kane and Brian Baker. INVESTMENT CONCERNS Small-capitalization funds typically carry additional risks since smaller companies generally have a higher risk of failure, and historically, their stocks have experienced a greater degree of market volatility than stocks on average. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic value. Diversification does not guarantee a profit nor protect against a loss. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 7.23% (Institutional Shares). That compared to a 9.92% return for its benchmark, the Russell 2000(R) Index of small-cap stocks. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. Small-cap stocks posted solid gains during the period, as strong returns during the first and third calendar quarters of 2006 more than offset a downturn in the spring. That environment allowed this Fund and its benchmark to post healthy returns for the 12-month period.(1) Strong stock selection in the industrials sector boosted returns relative to the Fund's benchmark, as shares of particular firms in the machinery manufacturing, construction and engineering industries benefited from strong economic growth. Selection in the information technology sector lifted the Fund's relative returns as well, in part because two of the companies represented in the Fund's portfolio were acquired at substantial premiums to their market values. A significantly smaller weighting in health care stocks than the benchmark also contributed to relative gains, as shares of small health care firms lagged the index.(1) The Fund's sector weightings as a whole dragged on performance versus the benchmark. An overweight position in shares of savings and loan and thrift stocks weighed on relative returns, as narrowing interest margins hurt profits at those firms. That said, our stock selection within those industries partially offset the negative effects of the Fund's overweight position. An underweight stake in telecommunications stocks also hurt relative performance. Small telecommunications companies typically do not offer the high-quality financial characteristics we seek. Shares of such firms performed well during the period, however.(1) Finally, security selection within the consumer discretionary sector weighed on returns against the index, as certain of the Fund's holdings in the restaurant and clothing industries underperformed the benchmark.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 10 BB&T SMALL CAP FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 Since September 30, 2006 Date Year Inception ------------------ --------- ----- --------- Class A Shares* 5/19/03 0.80% 17.73% Class B Shares** 5/19/03 2.53% 18.30% Class C Shares*** 5/19/03 6.17% 18.87% Institutional Shares 5/19/03 7.23% 20.08% Russell 2000(R) Value Index 5/16/03 14.01% 22.11% Russell 2000(R) Index 5/16/03 9.92% 19.41%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. The benchmark index for the Fund has changed from the Russell 2000(R) Value Index to the Russell 2000(R) Index in order to provide a better comparison for the Fund's investment policies. The Russell 2000(R) Index is a widely recognized index of common stocks that measure the performance of small- to mid-sized companies. The Russell 2000(R) Value Index is comprised of the securities found in the Russell 2000(R) Index with lower price-to-book ratios and lower forecasted growth values. The indices are unmanaged and do not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 11 BB&T INTERNATIONAL EQUITY FUND PORTFOLIO MANAGER UBS Global Asset Management The BB&T International Equity Fund is managed by a team of portfolio managers at UBS Global Asset Management, subadviser to the Fund. Thomas P. Madsen, CFA, Managing Director and Global Head of Equities is the lead portfolio manager. Mr. Madsen earned BBA and MS degrees from the University of Wisconsin-Madison and has 26 years experience. Mr. Madsen has access to certain members of the International Equity investment management team, each of whom is allocated a specified portion of the portfolio over which he or she has independent responsibility for research, security selection, and portfolio construction. The team members also have access to additional portfolio managers and analysts within the various asset classes and markets in which the Fund invests. Mr. Madsen has responsibility for allocating the portfolio among the various managers and analysts, occasionally implementing trades on behalf of analysts on the team and reviewing the overall composition of the portfolio to ensure its compliance with its stated investment objectives and strategies. INVESTMENT CONCERNS There are risks associated with investing in foreign companies, such as erratic market conditions, economic and political instability and fluctuations in currency and exchange rates. Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 17.38% (Institutional Shares). That compared to a 19.65% return for its benchmark, the MSCI EAFE (Europe, Australasia and Far East) Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. Stocks in markets outside of the United States posted strong returns during this 12-month period. Investors encouraged by stronger-than-expected economic growth in Europe and Japan bid foreign stocks higher, while U.S. investors also benefited from foreign currencies' appreciation against the dollar. Those dynamics helped this Fund and its benchmark generate strong gains for the fiscal year. We employ a bottom-up approach to stock selection for this Fund, and do not base investment decisions based on top-down, macroeconomic factors. As a result, the Fund's geographic allocations reflect the areas where we find attractive investment opportunities. The Fund held a larger position than the benchmark in bank stocks during this 12-month period. That relatively large allocation boosted performance against the index. Shares of banks, particularly those in Europe, had been depressed leading into this period, but they benefited during the fiscal year from better-than-expected earnings results. An overweight stake in insurance stocks also lifted the Fund's relative returns. Like banks, insurance companies posted stronger-than-expected earnings, due to strong management and better risk management by firms in that industry.(1) Selection among pharmaceuticals stocks helped the Fund's relative performance as well. The Fund's pharmaceuticals holdings benefited from improving sentiment in that industry. Moreover, the Fund's returns benefited from consolidation in the industry, as one of the Fund's holdings was acquired by a large European drug-maker.(1) The Fund's positions in Japanese consumer finance companies weighed on performance against the benchmark. Those stocks suffered after Japan enacted more stringent lending requirements. An underweight position in the metals and mining industry also weighed on relative returns, as those stocks benefited from high commodity prices. Selection among telecommunications stocks dragged on relative performance as well, as poor performance by two large telecommunications stocks more than offset strong returns among smaller holdings in that sector.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 12 BB&T INTERNATIONAL EQUITY FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 5 Since September 30, 2006 Date Year Year Inception ------------------ --------- ----- ----- --------- Class A Shares* 1/2/97 10.36% 7.91% 3.77% Class B Shares** 1/2/97 12.27% 8.23% 3.77% Class C Shares*** 2/1/01(2) 16.26% 8.35% 3.64% Institutional Shares 1/2/97 17.38% 9.40% 4.65% MSCI EAFE Index 12/31/96 19.65% 14.70% 7.19%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. (2) Class C Shares were not in existence prior to 2/1/01. Performance for periods prior to that is based on the historical performance of the Class B Shares, and has been adjusted for the maximum CDSC applicable to Class C Shares. The Fund is measured against the Morgan Stanley Capital International ("MSCI") Europe, Australasia and Far East ("EAFE") Index, an unmanaged index which is generally representative of the performance of stock markets in that region. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 13 BB&T SPECIAL OPPORTUNITIES EQUITY FUND PORTFOLIO MANAGER George F. Shipp, CFA The BB&T Special Opportunities Equity Fund is managed by George F. Shipp, CFA, chief investment officer of Scott & Stringfellow, Inc., subadvisor to the Fund. Mr. Shipp, who joined Scott & Stringfellow in 1982, holds a BA from the University of Virginia and an MBA from the Darden Graduate School of Business at the University of Virginia. Mr. Shipp is supported by an investment management team from Scott & Stringfellow, which includes Meghann A. Cohen; Joshua L. Haggarty, CFA; R. Griffith Jones, Jr.; and Farley C. Shiner, CPA. The team brings to the Fund more than four decades of combined investment management experience, along with a broad range of investing skills. INVESTMENT CONCERNS Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. A concentrated portfolio may add a measure of volatility to performance, as major fluctuations in any one holding will likely affect the fund more than a fund with greater diversification. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 11.50% (Institutional Shares). That compared to a 10.79% return for its benchmark, the S&P 500 Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. Stocks posted solid gains during the 12-month period, helping this Fund generate a strong return. Double-digit corporate profit growth helped convince investors to buy equities despite a backdrop of global tensions, rising interest rates and uncertainty about the direction of the economy.(1) The Fund held a total of 39 different stocks during the 12-month period. Of those stocks, 20 produced gains that exceeded those of the S&P 500, seven generated positive but market-lagging returns, and 12 posted losses.(1) The largest contributor to the Fund's relative gains was favorable stock selection within the health care sector. Our investments in health care stocks fared well: Four of the Fund's six best-performing investments were health care stocks, with each posting returns of at least 30%. Those strong returns came even as the health care stocks in the benchmark lagged the broad market.(1) The Fund held a larger position in energy stocks than did the benchmark index. The S&P energy sector as a whole gained only about 4% during the 12-month period, despite historically high commodity prices, so the Fund's overweight stake weighed on returns against the benchmark. We generally maintained the Fund's energy exposure, due to the industry's exceptional current cash flows and reasonable valuations that we believed offered the potential for merger or share-buyback activity.(1) Late in the period we modestly reduced the Fund's exposure to sectors typically considered defensive, such as health care, financials and consumer staples, because rallies in those stocks left them with more-limited upside potential. We concurrently added positions in technology and industrials stocks, which offered valuations we found compelling. Such moves reflect the Fund's flexible, long-term strategy.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 14 BB&T SPECIAL OPPORTUNITIES EQUITY FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 Since September 30, 2006 Date Year Inception ------------------ --------- ----- --------- Class A Shares* 6/2/03 4.77% 16.37% Class B Shares** 6/2/03 6.35% 16.94% Class C Shares*** 6/2/03 10.34% 17.58% Institutional Shares 6/2/03 11.50% 18.75% S&P 500 Index 5/31/03 10.79% 12.30%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark and represents the reinvestment of dividends and capital gains. The Fund is measured against the S&P 500 Index, an unmanaged index which is generally considered to be representative of the performance of the stock market as a whole. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 15 BB&T EQUITY INCOME FUND PORTFOLIO MANAGER George F. Shipp, CFA The BB&T Equity Income Fund is managed by George F. Shipp, CFA, Chief Investment Officer of Scott & Stringfellow, Inc., subadvisor to the Fund. Mr. Shipp, who joined Scott & Stringfellow in 1982, holds a BA from the University of Virginia and an MBA from the Darden Graduate School of Business at the University of Virginia. Mr. Shipp is supported by an investment management team from Scott & Stringfellow, which includes Meghann A. Cohen; Joshua L. Haggarty, CFA; R. Griffith Jones, Jr.; and Farley C. Shiner, CPA. The team brings to the Fund more than four decades of combined investment management experience, along with a broad range of investing skills. INVESTMENT CONCERNS Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. A concentrated portfolio may add a measure of volatility to performance, as major fluctuations in any one holding will likely affect the fund more than a fund with greater diversification. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? The Fund gained 16.04% (Institutional Shares). That compared to a 10.79% return for its benchmark, the S&P 500 Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? Stocks posted solid gains during the 12-month period, and large-cap value stocks that pay high dividends performed particularly well. The BB&T Equity Income Fund seeks stocks with those characteristics, so strong performance by such stocks boosted the Fund's returns. An environment characterized by global tensions, rising interest rates, high energy prices and the prospect of a slowing economy led investors to prize shares of firms that offered reliable earnings growth and dividend payments. The Fund held a total of 40 stocks during this 12-month period, of which 31 posted gains. The Fund outperformed its benchmark largely on the strength of good stock selection across a variety of sectors. The Fund's top-five performing stocks included shares of firms in the telecommunications, health care, financial, consumer and energy sectors, highlighting the breadth of the Fund's positive contributors.(1) The Fund held a substantially underweight position in information technology stocks during most of the period, largely because the majority of companies in that sector do not pay dividends. That relatively small technology stake proved fortuitous for the Fund's returns against its benchmark, as the S&P Technology sector gained less than 4% over the 12 months. The Fund tripled its exposure to technology stocks near the end of the period by purchasing shares of two well-established, debt-free industry leaders. We cannot know yet whether the Fund's new positions will prove profitable, but we are pleased to increase the portfolio's diversification while owning shares of companies that offer above-average yields, at valuations we believe to be favorable.(1) The Fund also benefited from an emphasis on financial stocks, including a significant stake in Real Estate Investment Trusts. Such stocks offer relatively high dividend payments, which helped make them attractive to this income-oriented Fund. The S&P Financial sector appreciated by more than 21% during the 12-month period, so the Fund's overweight stake in financial stocks boosted its relative returns.(1) The Fund's return exceeded that of its benchmark despite an overweight position in energy stocks, which weighed on relative performance. The S&P Energy sector gained less than 4% for the 12-month period, despite high commodity prices throughout the fiscal year.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 16 BB&T EQUITY INCOME FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 Since September 30, 2006 Date Year Inception ------------------ --------- ----- --------- Class A Shares* 6/30/04 9.11% 14.46% Class B Shares** 6/30/04 10.84% 15.52% Class C Shares*** 6/30/04 14.85% 16.62% Institutional Shares 6/30/04 16.04% 17.79% S&P 500 Index 6/30/04 10.79% 9.26%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. The Fund is measured against the S&P 500 Index, an unmanaged index which is generally considered to be representative of the performance of the stock market as a whole. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 17 BB&T SHORT U.S. GOVERNMENT FUND PORTFOLIO MANAGER Kevin E. McNair, CFA The BB&T Short U.S. Government Fund is managed by Kevin E. McNair, CFA. Mr. McNair received a BA in Economics from the University of North Carolina-Chapel Hill and a Master's of Economics from North Carolina State University, and has been managing investors' money since 1994. Mr. McNair is supported by the BB&T Fixed Income Portfolio Management Team, which includes Carrie R. Breswitz; Brad D. Eppard, CFA; David T. Johnson; Robert F. Millikan, CFA; Justin B. Nicholson; and Michael D. Nichols, CFA. The team brings to the Fund six decades of combined investment management experience, along with a broad range of specialized skills encompassing a cross-section of fixed-income sectors. INVESTMENT CONCERNS Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. The Fund is subject to the risk that principal value reacts in opposition to the movement of interests rates and that a rising interest rate environment increases the risk of loss of principal. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 3.37% (Institutional Shares). That compared to a 3.70% return for its benchmark, the Merrill Lynch 1-5 Year U.S. Treasuries/Agencies Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. Short-term bonds' yields rose during the 12-month period under review, causing their prices to fall. The Federal Reserve increased its target short-term interest rate six times, for a total increase of 1.50 percentage points. That development led to higher yields on short-term bonds during the first nine months of the period. Yields on short-term bonds fell between July and September, causing prices to rise.(1) The Fund maintained a duration significantly shorterthanthatofthebenchmarkthroughout the 12-month period. That duration strategy helped the Fund post positive returns against the index during the first nine months of the period, because we were able to reinvest maturing bonds' principal more rapidly as interest rates increased. We lengthened the Fund's duration late in the period in order to capture additional yield, although we kept the duration shorter than the benchmark's. However, the Fund's relatively short duration weighed on relative performance during the last three months of the fiscal year.(1) The Fund held an overweight position in agency bonds and mortgage-backed securities throughout the fiscal year. Low volatility in the fixed-income markets helped such issues outperform Treasury securities, so the Fund's investments in those sectors helped returns relative to the Treasury-heavy index.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 18 BB&T SHORT U.S. GOVERNMENT FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 5 10 September 30, 2006 Date Year Year Year ------------------ --------- ---- ---- ---- Class A Shares* 11/30/92 0.06% 1.64% 3.82% Institutional Shares 11/30/92 3.37% 2.50% 4.39% Merrill Lynch 1-5 Year U.S. Treasuries/Agencies Index N/A 3.70% 3.18% 5.18%
* Reflects 3.00% maximum sales charge. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. The Fund is measured against the Merrill Lynch 1-5 Year U.S. Treasuries/Agencies Index an unmanaged index which includes U.S. government and agency bonds that have a minimum issue size of $150 million and is a widely-recognized, capitalization weighted (companies with larger market capitalizations have more influence than those with smaller market capitalizations) index of U.S. Treasury securities with maturities of 1 year or greater and no more than 5 years. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 19 BB&T INTERMEDIATE U.S. GOVERNMENT FUND PORTFOLIO MANAGER Brad D. Eppard, CFA The BB&T Intermediate U.S. Government Fund is managed by Brad D. Eppard, CFA. Mr. Eppard received a BS in Business Administration/Accounting from Radford University and has been managing investors' money since 1986. Mr. Eppard is supported by the BB&T Fixed Income Portfolio Management Team, which includes Carrie R. Breswitz; David T. Johnson; Kevin E. McNair, CFA; Robert F. Millikan, CFA; Justin B. Nicholson; and Michael D. Nichols, CFA. The team brings to the Fund six decades of combined investment management experience, along with a broad range of specialized skills encompassing a cross-section of fixed-income sectors. INVESTMENT CONCERNS Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. The Fund is subject to the risk that principal value reacts in opposition to the movement of interests rates and that a rising interest rate environment increases the risk of loss of principal. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 3.23% (Institutional Shares). That compared to a 3.74% return for its benchmark, the Lehman Brothers U.S. Government/Mortgage Bond Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. Investors concerned about the potential for higher inflation and further interest rate increases by the Federal Reserve demanded greater income payouts from new bonds during the first nine months of the period, causing bond yields to rise. Those rising yields pushed down prices on existing bonds. Bond yields declined during the last three months of the period, leading to higher prices on existing bonds. Bond prices fell for the period as a whole, however, causing the Fund to generate a total return that was lower than its average yield.(1) The Fund held an average duration slightly longer than that of its benchmark throughout the 12-month period. That positioning weighed on returns against the benchmark while yields rose between October and June, and boosted relative returns when yields fell during the last three months of the period. The strong relative performance that duration strategy produced during the last quarter of the fiscal year offset the strategy's negative impact during the first nine months of the period.(1) The Fund began the period with relatively large stakes in short- and long-term bonds and less exposure to intermediate-term bonds--a structure known as a "barbell". We increased the Fund's stake in intermediate-term bonds as the period progressed. That change weighed modestly on relative returns for the period as a whole, as intermediate-term bonds lagged bonds of other durations. The Fund held larger positions than the benchmark in government agency debt and mortgage-backed securities, and an underweight stake in Treasury securities. That positioning boosted the Fund's relative returns, because agency and mortgage issues generated greater total returns than Treasury securities during this period.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 20 BB&T INTERMEDIATE U.S. GOVERNMENT FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 10 September 30, 2006 Date 1 Year 5 Year Year ------------------ --------- ------ ------ ---- Class A Shares* 10/9/92 -2.84% 2.32% 4.76% Class B Shares** 1/1/96 -1.63% 2.60% 4.76% Class C Shares*** 2/1/01(4) 2.31% 2.77% 4.99% Institutional Shares 10/9/92 3.23% 3.79% 5.65% Lehman Brothers U.S. Government/Mortgage N/A 3.74% 4.42% 6.26% Bond Index
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark and represents the reinvestment of dividends and capital gains. (4) Class C Shares were not in existence prior to 2/1/01. Performance for periods prior to that is based on the historical performance of the Class A Shares, and has been adjusted for the maximum CDSC applicable to Class C Shares, but does not include the Class C Shares 12b-1 fees, which if reflected, would have lowered performance. The Fund is measured by the Lehman Brothers U.S. Government/Mortgage Bond Index, an unmanaged index which is widely used as a broad measure of the performance of U.S. Government bonds with maturities of less than 10 years, and agency mortgage backed securities. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 21 BB&T TOTAL RETURN BOND FUND PORTFOLIO MANAGER David M. Ralston The BB&T Total Return Bond Fund is managed by David M. Ralston, portfolio manager for Sterling Capital Management LLC, sub-adviser to the Fund. Mr. Ralston co-founded Trinity Capital Advisors in 1989, which merged into Sterling Capital Management in 1991. He is a graduate of Appalachian State University where he received his BSBA in Finance and has 25 years of investment management experience. Mr. Ralston is supported by Hung Bui, CFA; Howard Buznitsky, CFA; Neil Grant, CFA; Mitchell Kaczmarek; Mark Montgomery, CFA; and Kevin Stoll, CFA. INVESTMENT CONCERNS Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. The Fund is subject to the risk that principal value reacts in opposition to the movement of interests rates and that a rising interest rate environment increases the risk of loss of principal. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 3.30% (Institutional Shares). That compared to a 3.67% return for its benchmark, the Lehman Brothers U.S. Aggregate Bond Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. The Federal Reserve raised its target short-term interest rate six times during the 12-month period, boosting the federal funds rate from 3.75% to 5.25%. The increase in interest rates led to higher bond yields, with the yield on the 10-year Treasury bond increasing from 4.33% to 4.63%. Rising yields led to lower bond prices, which caused the Fund to generate a total return lower than its yield. We kept the Fund's duration shorter than that of its benchmark in order to help preserve shareholders' capital. That duration strategy helped the Fund's performance relative to the index, as yields across the yield curve rose between 25 and 50 basis points (0.25% and 0.50%) during the 12-month period. The Fund's relative returns also benefited from an overweight stake in floating-rate notes, which increased their yield payments as short-term interest rates rose.(1) The bond market exhibited low volatility during this period. That trend benefited "spread products" such as asset-backed securities, mortgage-backed securities and commercial mortgage-backed securities, which typically outperform Treasury securities during periods of low volatility. The Fund held overweight positions in those bond sectors, thereby helping the Fund's portfolio generate a higher yield than the benchmark index. In addition, the Fund maintained an average credit quality slightly higher than that of the benchmark. This approach helped the Fund avoid problems related to leveraged transactions among a number of credit issues, and thus lifted the Fund's performance against the index.(1) The Fund held an underweight position in corporate bonds, due to our concern about the risk leveraged buyout offers posed to corporate securities. The corporate debt sector as a whole modestly outperformed Treasury and agency securities for this period. As a result, this conservative underweight position in corporate issues dragged on performance relative to the benchmark.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 22 BB&T TOTAL RETURN BOND FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
Inception 1 5 Since As of September 30, 2006 Date Year Year Inception ------------------------ --------- ----- ---- --------- Class A Shares* 12/2/99 -2.97% 3.10% 4.71% Class B Shares** 12/2/99 -1.66% 3.36% 4.87% Class C Shares*** 2/1/01(4) 2.18% 3.59% 4.88% Institutional Shares 12/2/99 3.30% 4.58% 5.88% Lehman Brothers U. S. Aggregate Bond Index 11/30/99 3.67% 4.81% 6.35%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. (4) Class C Shares were not in existence prior to 2/1/01. Performance for periods prior to that is based on the historical performance of the Class B Shares, and has been adjusted for the maximum CDSC applicable to Class C Shares. The Fund is measured against the Lehman Brothers U.S. Aggregate Bond Index, an unmanaged index which is a market value-weighted performance benchmark for investment-grade fixed-rate debt issues, including government, corporate, asset-backed, and mortgage-backed securities, with maturities of at least one year. The index is unmanaged and does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 23 BB&T KENTUCKY INTERMEDIATE TAX-FREE FUND PORTFOLIO MANAGER Robert F. Millikan, CFA The BB&T Kentucky Intermediate Tax-Free Fund is managed by Robert F. Millikan, CFA, Director of Fixed Income Management for BB&T Asset Management, Inc. Mr. Millikan received a BA in Economics from Wake Forest University, and is a past president of the North Carolina Society of Financial Analysts and chairman of the board of directors of the Carolinas Municipal Advisory Council. Mr. Millikan has been managing investors' money since 1990. He is supported by the BB&T Fixed Income Portfolio Management Team, which includes Carrie R. Breswitz; Brad D. Eppard, CFA; David T. Johnson; Kevin E. McNair, CFA; Justin B. Nicholson; and Michael D. Nichols, CFA. The team brings to the Fund six decades of combined investment management experience, along with a broad range of specialized skills encompassing a cross-section of fixed-income sectors. INVESTMENT CONCERNS Because the Fund is non-diversified and invests primarily in Kentucky municipal securities, the Fund is particularly susceptible to any economic, political, or regulatory developments affecting a particular issuer of Kentucky municipal securities. Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. The Fund is subject to the risk that principal value reacts in opposition to the movement of interests rates and that a rising interest rate environment increases the risk of loss of principal. The Fund's income may be subject to certain state and local taxes and, depending on a investors tax status, to the Federal alternative minimum tax. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 4.04% (Institutional Shares). That compared to a 3.81% return for the Lehman Brothers 7-Year Municipal Bond Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. The Federal Reserve Board's interest rate increases boosted yields on short-term bonds, while expectations for low inflation depressed yields on long-term bonds. Those developments caused yields to fall for municipal securities with maturities of approximately eight years or longer, and to rise for municipal bonds with shorter maturities. Meanwhile, a combination of low supply and strong demand also pushed down municipal bond yields. Lower yields increased the prices of the longer-term securities in the Fund's portfolio. Those gains combined with the bonds' interest income to generate a strong total return for Fund shareholders.(1) The Fund's benchmark holds municipal bonds with an average maturity of seven years. We kept the Fund's duration longer than that of its benchmark throughout the period in order to capture higher yield for shareholders. That strategy boosted the Fund's returns against its benchmark, as securities with longer durations experienced greater price increases and generated more interest income than shorter-term issues.(1) The benchmark index also is restricted to municipal bonds with maturities of between six- and eight-years. The Fund's portfolio held a number of securities with maturities of longer than eight years, but also held bonds with maturities shorter than six years. Those shorter-term bonds performed poorly compared to the bonds represented in the benchmark, and weighed on relative returns as a result.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 24 BB&T KENTUCKY INTERMEDIATE TAX-FREE FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
Inception 1 Since As of September 30, 2006 Date Year Inception ------------------------ --------- ----- --------- Class A Shares* 2/24/03 0.57% 2.56% Institutional Shares 2/24/03 4.04% 3.21% Lehman Brothers 7-Year Municipal Bond Index 2/28/03 3.81% 3.45%
* Reflects 3.00% maximum sales charge. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. The Fund is measured against the Lehman Brothers 7-Year Municipal Bond Index, an unmanaged index which is representative of municipal bonds with a minimum credit rating of at least Baa, have a maturity value of at least $5 million and a maturity range of 6-8 years. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 25 BB&T MARYLAND INTERMEDIATE TAX-FREE FUND PORTFOLIO MANAGER Robert F. Millikan, CFA The BB&T Maryland Intermediate Tax-Free Fund is managed by Robert F. Millikan, CFA, Director of Fixed Income Management for BB&T Asset Management, Inc. Mr. Millikan received a BA in Economics from Wake Forest University, and is a past president of the North Carolina Society of Financial Analysts and chairman of the board of directors of the Carolinas Municipal Advisory Council. Mr. Millikan has been managing investors' money since 1990. He is supported by the BB&T Fixed Income Portfolio Management Team, which includes Carrie R. Breswitz; Brad D. Eppard, CFA; David T. Johnson; Kevin E. McNair, CFA; Justin B. Nicholson; and Michael D. Nichols, CFA. The team brings to the Fund six decades of combined investment management experience, along with a broad range of specialized skills encompassing a cross-section of fixed-income sectors. INVESTMENT CONCERNS Because the Fund is non-diversified and invests primarily in Maryland municipal securities, the Fund is particularly susceptible to any economic, political, or regulatory developments affecting a particular issuer of Maryland municipal securities. Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. The Fund is subject to the risk that principal value reacts in opposition to the movement of interests rates and that a rising interest rate environment increases the risk of loss of principal. The Fund's income may be subject to certain state and local taxes and, depending on a investors tax status, to the Federal alternative minimum tax. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 4.10% (Institutional Shares). That compared to a 3.81% return for the Lehman Brothers 7-Year Municipal Bond Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. Federal Reserve interest-rate increases boosted yields on short-term municipal bonds, while investors' expectations for low inflation depressed yields on long-term municipal bonds. Yields fell for municipal securities with maturities of longer than approximately eight years and rose for municipal bonds with shorter maturities, with the largest increases coming on securities at the short end of the yield curve. Low supply and strong demand for municipal bonds also pushed down yields. Those developments caused prices to rise on the longer-term bonds in which this Fund invested. Rising prices and the bonds' interest income combined to generate a strong return for Fund shareholders. The Fund's benchmark holds municipal bonds with maturities of between six- and eight-years, with an average maturity of seven years. We held the Fund's duration longer than that of its benchmark throughout the period in order to capture higher yield for shareholders. That strategy boosted the Fund's relative returns, as securities with longer durations generated more interest income and benefited more from higher prices.(1) The Fund's portfolio held a number of securities with maturities of longer than eight years, but also held bonds with maturities of less than six years. Those shorter-term bonds, which are not represented in the benchmark, performed relatively poorly. As a result, the shorter-term bonds in the Fund's portfolio weighed on returns against the benchmark.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 26 BB&T MARYLAND INTERMEDIATE TAX-FREE FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
Inception 1 Since As of September 30, 2006 Date Year Inception ------------------------ --------- ----- --------- Class A Shares* 2/24/03 0.83% 2.16% Institutional Shares 2/24/03 4.10% 3.10% Lehman Brothers 7-Year Municipal Bond Index 2/28/03 3.81% 3.45%
* Reflects 3.00% maximum sales charge. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. The Fund is measured against the Lehman Brothers 7-Year Municipal Bond Index, an unmanaged index which is representative of municipal bonds with a minimum credit rating of at least Baa, have a maturity value of at least $5 million and a maturity range of 6-8 years. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 27 BB&T NORTH CAROLINA INTERMEDIATE TAX-FREE FUND PORTFOLIO MANAGER Robert F. Millikan, CFA The BB&T North Carolina Intermediate Tax-Free Fund is managed by Robert F. Millikan, CFA, Director of Fixed Income Management for BB&T Asset Management, Inc. Mr. Millikan received a BA in Economics from Wake Forest University, and is a past president of the North Carolina Society of Financial Analysts and chairman of the board of directors of the Carolinas Municipal Advisory Council. Mr. Millikan has been managing investors' money since 1990. He is supported by the BB&T Fixed Income Portfolio Management Team, which includes Carrie R. Breswitz; Brad D. Eppard, CFA; David T. Johnson; Kevin E. McNair, CFA; Justin B. Nicholson; and Michael D. Nichols, CFA. The team brings to the Fund six decades of combined investment management experience, along with a broad range of specialized skills encompassing a cross-section of fixed-income sectors. INVESTMENT CONCERNS Because the Fund is non-diversified and invests primarily in North Carolina municipal securities, the Fund is particularly susceptible to any economic, political, or regulatory developments affecting a particular issuer of North Carolina municipal securities. Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. The Fund is subject to the risk that principal value reacts in opposition to the movement of interests rates and that a rising interest rate environment increases the risk of loss of principal. The Fund's income may be subject to certain state and local taxes and, depending on a investors tax status, to the Federal alternative minimum tax. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 3.84%. That compared to a 3.81% return for the Lehman Brothers 7-Year Municipal Bond Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. Yields fell for municipal securities with maturities of longer than eight years and rose for municipal bonds with shorter maturities, with larger yield increases coming on shorter-term securities. Those developments came about as a result of two primary factors: The Federal Reserve increased its target short-term interest rate, boosting yields on short-term municipal bonds, while investors expecting low inflation bought long-term municipal bonds. Low supply and strong demand for municipal bonds also pushed down yields on tax-free bonds. This Fund maintained an average duration longer than that of the benchmark throughout the period. Lower yields increased the prices of the longer-term securities in the Fund's portfolio, and together with the bonds' interest income generated solid returns for Fund shareholders.(1) The Fund's benchmark includes municipal bonds with maturities of between six- and eight-years, and an average maturity of seven years. The Fund's average maturity was longer than that of its benchmark throughout the period, as we sought to capture the higher yields offered by longer-term municipal bonds. That strategy boosted the Fund's relative return, as securities with longer durations generated more interest income and gained in price.(1) Despite its relatively long duration, the Fund's portfolio held a number of securities with durations of less than six years. The benchmark does not include bonds with durations shorter than six years, so the relatively weak performance of those shorter-term municipal securities weighed on performance versus the benchmark.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 28 BB&T NORTH CAROLINA INTERMEDIATE TAX-FREE FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 5 10 September 30, 2006 Date Year Year Year ------------------ --------- ---- ---- ---- Class A Shares* 10/16/92 0.50% 2.88% 4.02% Institutional Shares 10/16/92 3.84% 3.70% 4.50% Lehman Brothers 7-Year Municipal Bond Index N/A 3.81% 4.55% 5.40%
* Reflects 3.00% maximum sales charge. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. The Fund is measured against the Lehman Brothers 7-Year Municipal Bond Index, an unmanaged index which is representative of municipal bonds with a minimum credit rating of at least Baa, have a maturity value of at least $5 million and a maturity range of 6-8 years. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 29 BB&T SOUTH CAROLINA INTERMEDIATE TAX-FREE FUND PORTFOLIO MANAGER Robert F. Millikan, CFA The BB&T South Carolina Intermediate Tax-Free Fund is managed by Robert F. Millikan, CFA, Director of Fixed Income Management for BB&T Asset Management, Inc. Mr. Millikan received a BA in Economics from Wake Forest University, and is a past president of the North Carolina Society of Financial Analysts and chairman of the board of directors of the Carolinas Municipal Advisory Council. Mr. Millikan has been managing investors' money since 1990. He is supported by the BB&T Fixed Income Portfolio Management Team, which includes Carrie R. Breswitz; Brad D. Eppard, CFA; David T. Johnson; Kevin E. McNair, CFA; Justin B. Nicholson; and Michael D. Nichols, CFA. The team brings to the Fund six decades of combined investment management experience, along with a broad range of specialized skills encompassing a cross-section of fixed-income sectors. INVESTMENT CONCERNS Because the Fund is non-diversified and invests primarily in South Carolina municipal securities, the Fund is particularly susceptible to any economic, political, or regulatory developments affecting a particular issuer of South Carolina municipal securities. Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. The Fund is subject to the risk that principal value reacts in opposition to the movement of interests rates and that a rising interest rate environment increases the risk of loss of principal. The Fund's income may be subject to certain state and local taxes and, depending on a investors tax status, to the Federal alternative minimum tax. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 3.66%. That compared to a 3.81% return for the Lehman Brothers 7-Year Municipal Bond Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. Interest-rate increases by the Federal Reserve supported higher yields on short-term municipal bonds, while investor expectations for low inflation pushed down yields on long-term municipal bonds. As a result, municipal securities with maturities of longer than approximately eight years experienced falling yields during the period under review, while yields rose on municipal bonds with maturities shorter than roughly eight years. Bonds with the shortest maturities generally experienced the largest yield increases. Meanwhile weak supplies and strong demand for municipal bonds pushed down yields on tax-free bonds. That environment caused prices to rise for many of the securities in the Fund's portfolio. Higher prices combined with the bonds' interest income to produce solid absolute returns for Fund shareholders. The Fund's benchmark index includes municipal bonds with maturities of between six- and eight-years, and an average maturity of seven years. The Fund's relative returns benefited from holding a duration longer than that of its benchmark, because municipal bonds with longer durations offered greater yield and price appreciation.(1) Despite the Fund's long duration, however, its portfolio held a number of securities with maturities of less than six years--in part because low supply in the South Carolina market made it difficult to find as many longer-term municipal securities as we would have liked. The benchmark does not include bonds with maturities shorter than six years, so relatively weak performance by those shorter-term bonds pulled down the Fund's performance against its benchmark.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 30 BB&T SOUTH CAROLINA INTERMEDIATE TAX-FREE FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 5 Since September 30, 2006 Date Year Year Inception ------------------ --------- ---- ---- --------- Class A Shares* 10/20/97 0.14% 3.00% 3.93% Institutional Shares 10/20/97 3.66% 3.85% 4.46% Lehman Brothers 7-Year Municipal Bond Index 10/31/97 3.81% 4.55% 5.10%
* Reflects 3.00% maximum sales charge. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. The Fund is measured against the Lehman Brothers 7-Year Municipal Bond Index, an unmanaged index which is representative of municipal bonds with a minimum credit rating of at least Baa, have a maturity value of at least $5 million and a maturity range of 6-8 years. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 31 BB&T VIRGINIA INTERMEDIATE TAX-FREE FUND PORTFOLIO MANAGER Robert F. Millikan, CFA The BB&T Virginia Intermediate Tax-Free Fund is managed by Robert F. Millikan, CFA, Director of Fixed Income Management for BB&T Asset Management, Inc. Mr. Millikan received a BA in Economics from Wake Forest University, and is a past president of the North Carolina Society of Financial Analysts and chairman of the board of directors of the Carolinas Municipal Advisory Council. Mr. Millikan has been managing investors' money since 1990. He is supported by the BB&T Fixed Income Portfolio Management Team, which includes Carrie R. Breswitz; Brad D. Eppard, CFA; David T. Johnson; Kevin E. McNair, CFA; Justin B. Nicholson; and Michael D. Nichols, CFA. The team brings to the Fund six decades of combined investment management experience, along with a broad range of specialized skills encompassing a cross-section of fixed-income sectors. INVESTMENT CONCERNS Because the Fund is non-diversified and invests primarily in Virginia municipal securities, the Fund is particularly susceptible to any economic, political, or regulatory developments affecting a particular issuer of Virginia municipal securities. Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. The Fund is subject to the risk that principal value reacts in opposition to the movement of interests rates and that a rising interest rate environment increases the risk of loss of principal. The Fund's income may be subject to certain state and local taxes and, depending on a investors tax status, to the Federal alternative minimum tax. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 3.49% (Institutional Shares). That compared to a 3.81% return for the Lehman Brothers 7-Year Municipal Bond Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. The Federal Reserve increased its target short-term interest rate, which pushed up yields on short-term municipal bonds. Meanwhile investors expecting low inflation bought long-term municipal bonds, causing yields on those securities to fall. In that environment municipal bonds with longer maturities generated greater price appreciation and interest income than did shorter-term securities. Demand for municipal bond outstripped supplies during the period, which put downward pressure on yields across the tax-free bond market. Higher prices and the strong interest income from the longer-term municipal securities in the Fund's portfolio combined to produce a solid absolute return. The Fund's benchmark index has an average maturity of seven years, and includes only municipal bonds with maturities of between six- and eight-years. We held the Fund's duration longer than that of the benchmark throughout the period. Municipal bonds with longer durations paid higher yields and experienced greater price appreciation, so our duration strategy boosted returns relative to the index.(1) That said, the Fund's portfolio did include a number of securities with maturities shorter than six years. Those holdings in part reflected weak supplies of longer-term Virginia municipal bonds. The benchmark does not include any bonds with maturities shorter than six years, so relatively weak performance by the shorter-term bonds in the Fund's portfolio weighed on returns against its benchmark.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 32 BB&T VIRGINIA INTERMEDIATE TAX-FREE FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 5 Since September 30, 2006 Date Year Year Inception ------------------ --------- ---- ---- --------- Class A Shares* 5/17/99 0.10% 2.81% 3.79% Institutional Shares 5/17/99 3.49% 3.63% 4.23% Lehman Brothers 7-Year Municipal Bond Index 5/31/99 3.81% 4.55% 5.06%
* Reflects 3.00% maximum sales charge. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. The Fund is measured against the Lehman Brothers 7-Year Municipal Bond Index, an unmanaged index which is representative of municipal bonds with a minimum credit rating of at least Baa, have a maturity value of at least $5 million and a maturity range of 6-8 years. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 33 BB&T WEST VIRGINIA INTERMEDIATE TAX-FREE FUND PORTFOLIO MANAGER Robert F. Millikan, CFA The BB&T West Virginia Intermediate Tax-Free Fund is managed by Robert F. Millikan, CFA, Director of Fixed Income Management for BB&T Asset Management, Inc. Mr. Millikan received a BA in Economics from Wake Forest University, and is a past president of the North Carolina Society of Financial Analysts and chairman of the board of directors of the Carolinas Municipal Advisory Council. Mr. Millikan has been managing investors' money since 1990. He is supported by the BB&T Fixed Income Portfolio Management Team, which includes Carrie R. Breswitz; Brad D. Eppard, CFA; David T. Johnson; Kevin E. McNair, CFA; Justin B. Nicholson; and Michael D. Nichols, CFA. The team brings to the Fund six decades of combined investment management experience, along with a broad range of specialized skills encompassing a cross-section of fixed-income sectors. INVESTMENT CONCERNS Because the Fund is non-diversified and invests primarily in West Virginia municipal securities, the Fund is particularly susceptible to any economic, political, or regulatory developments affecting a particular issuer of West Virginia municipal securities. Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. The Fund is subject to the risk that principal value reacts in opposition to the movement of interests rates and that a rising interest rate environment increases the risk of loss of principal. The Fund's income may be subject to certain state and local taxes and, depending on a investors tax status, to the Federal alternative minimum tax. Q. HOW DID THE FUND PERFORM DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Fund gained 4.10% (Institutional Shares. That compared to a 3.81% return for the Lehman Brothers 7-Year Municipal Bond Index. Q. WHAT FACTORS AFFECTED THE FUND'S PERFORMANCE? A. Federal Reserve interest-rate increases supported higher yields on short-term municipal bonds, while investor expectations for low inflation pushed down yields on long-term municipal bonds. Yields rose furthest on securities with the shortest maturities, and yields fell on municipal bonds with maturities of approximately eight years or longer. Supply of municipal bonds was generally weak, while demand was strong. That supply-demand dynamic put downward pressure on yields of tax-free bonds. The environment in the municipal bond market led to higher prices for the longer-term securities in the Fund's portfolio. Higher prices and the bonds' interest income combined to produce strong absolute returns for Fund shareholders.(1) The Fund's benchmark index includes municipal bonds with maturities of between six- and eight-years, and an average maturity of seven years. We held the Fund's duration longer than that of the benchmark throughout the period. Municipal bonds with longer durations paid higher yields and experienced greater price appreciation than securities with shorter durations, so that duration strategy boosted returns relative to the index.(1) Nevertheless, the Fund's portfolio included a number of securities with maturities of less than six years. The benchmark does not include any bonds with maturities shorter than six years, so relatively weak performance by those shorter-term bonds weighed on the Fund's returns against its benchmark.(1) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Portfolio composition is as of September 30, 2006 and is subject to change. 34 BB&T WEST VIRGINIA INTERMEDIATE TAX-FREE FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
Inception 1 5 10 As of September 30, 2006 Date Year Year Year ------------------------ --------- ---- ---- ---- Class A Shares* 12/17/93(2) 0.78% 3.22% 4.43% Institutional Shares 12/1/93(2) 4.10% 4.11% 5.01% Lehman Brothers 7-Year Municipal Bond Index N/A 3.81% 4.55% 5.40%
* Reflects 3.00% maximum sales charge. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. (2) Fund performance as shown for Class A and Institutional Shares includes the performance of the OVB West Virginia Tax-Exempt Income Portfolio for the periods prior to its consolidation with the BB&T West Virginia Intermediate Tax-Free Fund on 7/23/01. The Fund is measured against the Lehman Brothers 7-Year Municipal Bond Index, an unmanaged index which is representative of municipal bonds with a minimum credit rating of at least Baa, have a maturity value of at least $5 million and a maturity range of 6-8 years. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 35 BB&T PRIME MONEY MARKET FUND PORTFOLIO MANAGER Federated Investment Management Company The BB&T Prime Money Market Fund is managed by Deborah A. Cunningham and Paige Wilhelm, portfolio managers for Federated Investment Management Company "Federated IMC", subadviser to the Fund. Mrs. Cunningham and Mrs. Wilhelm are primarily responsible for the day-to-day management of the portfolio. They are supported by an investment management team from Federated IMC which includes William Jamison, Natalie F. Metz, Mary Ellen Tesla, Mark F. Weiss, CFA, and a group of eight money market traders. On average, team members bring more than a decade of investment management experience to the Fund, with specialization in money market portfolio management and credit analysis. INVESTMENT CONCERNS INVESTMENTS IN THE BB&T PRIME MONEY MARKET FUND ARE NEITHER INSURED NOR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY GOVERNMENT AGENCY. ALTHOUGH THE FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENTS AT A $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE FUND. Q. WHAT FACTORS AFFECTED THE FUND'S YIELD DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Federal Reserve increased the federal funds rate six times during the first nine months of the period. Those actions raised the target short-term interest rate from 3.75% to 5.25%. The Fed then left rates unchanged at meetings in August and September. Rising interest rates led to higher yields on money market securities, allowing this Fund to offer higher yield as the fiscal year progressed. This Fund invests in money market securities such as commercial paper and corporate notes, repurchase agreements, bank instruments and variable-rate securities. We typically maintain an average maturity of between 20 and 60 days. We held the Fund's average maturity relatively short between October and August, at between 30 and 40 days, so that we could reinvest maturing securities' principal at higher interest rates following Federal Reserve meetings. In August we extended the Fund's average maturity to between 35 and 45 days, because we expected the Federal Reserve to stop raising interest rates. Then in early September we lengthened again, to 40 to 50 days. Lengthening the Fund's average maturity allowed us to lock in higher yield for shareholders.(1) We began the period with a relatively large position in variable-rate securities, which accounted for 35% of assets as of October 1, 2005. Those securities adjust the yields they pay based on the general level of interest rates, so they helped boost the Fund's yield as rates rose during the first nine months of the period. We modestly reduced the Fund's stake in variable-rate securities late in the period.(1) As of September 30, 2006, the Fund held approximately 41% of its assets in commercial paper and corporate notes, 31% in variable-rate securities, 18% in repurchase agreements and 10% in bank instruments. The Fund's average maturity was 44 days.(1) (1) Portfolio composition is as of September 30, 2006, and is subject to change. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 36 BB&T U.S. TREASURY MONEY MARKET FUND PORTFOLIO MANAGER Kevin E. McNair, CFA The BB&T U.S. Treasury Money Market Fund is managed by Kevin E. McNair, CFA. Mr. McNair received a BA in Economics from the University of North Carolina at Chapel Hill and a Master's of Economics from North Carolina State University, and has been managing investors' money since 1994. Mr. McNair is supported by the BB&T Fixed Income Portfolio Management Team, which includes Brad D. Eppard, CFA; David T. Johnson; Robert F. Millikan, CFA; and Michael D. Nichols, CFA. The team brings to the Fund six decades of combined investment management experience, along with a broad range of specialized skills encompassing a cross-section of fixed-income sectors. INVESTMENT CONCERNS INVESTMENTS IN THE BB&T U.S. TREASURY MONEY MARKET FUND ARE NEITHER INSURED NOR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY GOVERNMENT AGENCY. ALTHOUGH THE FUND SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENTS AT A $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN THE FUND. Q. WHAT FACTORS AFFECTED THE FUND'S YIELD DURING THE 12-MONTH PERIOD BETWEEN OCTOBER 1, 2005 AND SEPTEMBER 30, 2006? A. The Federal Reserve increased its target short-term interest rate six times during the first nine months of the period, bringing the federal funds rate from 3.75% to 5.25%, and then left the rate unchanged at meetings in August and September. The Fed's rate hikes boosted yields on money market securities. We held the Fund's average maturity shorter than its historical average, bringing it as low as 22 days. That strategy allowed us to reinvest the securities' principal more rapidly, which enabled us to capture higher yield as interest rates increased. We increased the Fund's average maturity late in the period, as it appeared that the Federal Reserve was nearing the end of its monetary tightening cycle.(2) The Fund's yield also benefited from a significant position in repurchase agreements, which comprised between 60% and 70% of assets during most of the period. Repurchase agreements offered higher yields than Treasury bills, and allowed us to reinvest principal on a daily basis.(2) As of September 30, 2006, the Fund held 67.9% of its assets in repurchase agreements, 19.9% in Treasury notes and 12.2% in Treasury bills. The Fund's average maturity was 26 days, and its credit quality as rated by Standard & Poor's was Aaa.(1, 2) (1) Moody's Fund Ratings represent an opinion only, not a recommendation to buy or sell. (2) Portfolio composition is as of September 30, 2006, and is subject to change. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. A portion of the Fund's fees has been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 37 BB&T CAPITAL MANAGER FUNDS PORTFOLIO MANAGER The BB&T Capital Manager Equity Fund is managed by the BB&T Balanced Portfolio Management Team, which includes Jeffrey J. Schappe, CFA; Will Gholston, CFA; Robert F. Millikan, CFA; and Ronald T. Rimkus, CFA. The team brings to the Fund over eight decades of combined investment management experience, along with abroad range of specialized skills encompassing value stocks, growth stocks and fixed-income securities. INVESTMENT CONCERNS Equity securities (stocks) are more volatile and carry more risk than other forms of investments, including investments in high-grade fixed income securities. The net asset value per share of this Fund will fluctuate as the value of the securities in the portfolio changes. Bonds offer a relatively stable level of income, although bond prices will fluctuate providing the potential for principal gain or loss. Intermediate-term, higher-quality bonds generally offer less risk than longer-term bonds and a lower rate of return. CAPITAL MANAGER CONSERVATIVE GROWTH FUND CAPITAL MANAGER MODERATE GROWTH FUND CAPITAL MANAGER GROWTH FUND CAPITAL MANAGER EQUITY FUND Q. WHAT FACTORS AFFECTED THE FUNDS' PERFORMANCE? A. The Capital Manager Funds invest in a combination of the BB&T Large Cap Fund, the BB&T Large Cap Growth Fund, the BB&T Mid Cap Value Fund, the BB&T Mid Cap Growth Fund, the BB&T International Equity Fund, the BB&T Small Cap Fund and the BB&T U.S. Treasury Money Market Fund. The three Capital Manager Funds with fixed-income allocations also hold exposure to the BB&T Total Return Bond Fund. The stock and bond markets posted healthy returns during the period under review, helping all of the Capital Manager Funds generate solid gains.(1, 2) The Funds' equity sleeves held larger positions in value stocks than did the S&P 500 stock benchmark. Value stocks significantly outperformed growth stocks, so the Funds' relatively large value allocations boosted returns relative to their benchmarks. An allocation of 15% of each Fund's equity position to international equities also contributed to relative gains, as international stocks (as measured by the MSCI EAFE) outperformed the S&P 500 over the period. The relative returns of the Capital Manager Growth Fund and the Capital Manager Moderate Growth Fund also benefited from overweight stakes in stocks, which outperformed bonds. Those Funds held equity allocations roughly five percentage points larger than their neutral equity weightings of 75% and 60%, respectively.(2) The Funds held approximately 24% of their domestic equity allocations in small- and mid-cap stocks during this period. Exposure to those stocks weighed on the Funds' returns against their benchmarks, because small- and mid-cap stocks trailed the large-cap stocks that make up the S&P 500.(2) PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. (1) Prior to February 1, 2006, the BB&T Large Cap Fund and the BB&T Large Cap Growth Fund were known as the BB&T Large Company Value Fund and the BB&T Large Company Growth Fund, respectively. (2) Portfolio composition is as of September 30, 2006, and is subject to change. 38 BB&T CAPITAL MANAGER CONSERVATIVE GROWTH FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
Inception 1 5 Since As of September 30, 2006 Date Year Year Inception ------------------------ --------- ----- ---- --------- A Shares* 1/29/98(2) -0.57% 3.39% 3.33% B Shares** 1/29/99(3) 0.75% 3.68% 3.44% C Shares*** 2/1/01(4) 4.75% 3.85% 3.51% Institutional Shares 10/2/97 5.87% 4.91% 4.30% S&P 500 Index 10/3/97 10.79% 6.97% 5.31% Lehman Brothers Int. Government Bond Index 10/3/97 3.54% 3.70% 5.35%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains. (2) Class A Shares were not in existence prior to 1/29/98. Performance for periods prior to that is based on the historical performance of the Institutional Shares, and has been adjusted for the maximum sales charge applicable to the Class A Shares, but does not include the Class A Shares 12b-1 fees, which, if reflected, performance would have been lower. (3) Class B Shares were not in existence prior to 1/29/99. Performance for periods prior to that is based on the historical performance of the Class A Shares, and has been adjusted for the maximum CDSC applicable to the Class B Shares, but does not include the Class B Shares 12b-1 fees, which, if reflected, performance would have been lower. (4) Class C Shares were not in existence prior to 2/1/01. Performance for periods prior to that is based on the historical performance of the Class A Shares, and has been adjusted for the maximum CDSC applicable to the Class C Shares, but does not include the Class C Shares 12b-1 fees, which if reflected, performance would have been lower. The Fund is measured against the S&P 500 Index, which is generally considered to be representative of the performance of the stock market as a whole, and against the Lehman Brothers Intermediate Government Bond Index, which is widely used as a broad measure of the performance of U.S. Government Bonds with maturities of less than 10 years. The indices are unmanaged and do not reflect the deduction of expenses associated with a mutual fund, such as investment management and, fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees have been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 39 BB&T CAPITAL MANAGER MODERATE GROWTH FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
Inception 1 5 Since As of September 30, 2006 Date Year Year Inception ------------------------ --------- ----- ---- --------- A Shares* 1/29/98(2) 0.92% 4.11% 3.24% B Shares** 1/29/99(3) 2.21% 4.44% 3.28% C Shares*** 2/1/01(4) 6.19% 4.62% 3.46% Institutional Shares 10/2/97 7.33% 5.64% 4.17% S&P 500 Index 10/3/97 10.79% 6.97% 5.31% Lehman Brothers Int. Government Bond Index 10/3/97 3.54% 3.70% 5.35%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains. (2) Class A Shares were not in existence prior to 1/29/98. Performance for periods prior to that is based on the historical performance of the Institutional Shares, and has been adjusted for the maximum sales charge applicable to the Class A Shares, but does not include the Class A Shares 12b-1 fees, which, if reflected, performance would have been lower. (3) Class B Shares were not in existence prior to 1/29/99. Performance for periods prior to that is based on the historical performance of the Class A Shares, and has been adjusted for the maximum CDSC applicable to the Class B Shares, but does not include the Class B Shares 12b-1 fees, which, if reflected, performance would have been lower. (4) Class C Shares were not in existence prior to 2/1/01. Performance for periods prior to that is based on the historical performance of the Class A Shares, and has been adjusted for the maximum CDSC applicable to the Class C Shares, but does not include the Class C Shares 12b-1 fees, which if reflected, performance would have been lower. The Fund is measured against the S&P 500 Index, which is generally considered to be representative of the performance of the stock market as a whole, and against the Lehman Brothers Intermediate Government Bond Index, which is widely used as a broad measure of the performance of U.S. Government Bonds with maturities of less than 10 years. The indices are unmanaged and do not reflect the deduction of expenses associated with a mutual fund, such as investment management and, fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees have been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 40 BB&T CAPITAL MANAGER GROWTH FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 5 Since September 30, 2006 Date Year Year Inception ------------------ --------- ----- ---- --------- A Shares* 1/29/98(2) 1.77% 4.49% 2.87% B Shares** 1/29/99(3) 3.22% 4.77% 2.95% C Shares*** 2/1/01(4) 7.19% 4.98% 3.07% Institutional Shares 10/2/97 8.22% 6.01% 3.77% S&P 500 Index 10/3/97 10.79% 6.97% 5.31% Lehman Brothers Int. Government Bond Index 10/3/97 3.54% 3.70% 5.35%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmarks, and represents the reinvestment of dividends and capital gains. (2) Class A Shares were not in existence prior to 1/29/98. Performance for periods prior to that is based on the historical performance of the Institutional Shares, and has been adjusted for the maximum sales charge applicable to the Class A Shares, but does not include the Class A Shares 12b-1 fees, which, if reflected, performance would have been lower. (3) Class B Shares were not in existence prior to 1/29/99. Performance for periods prior to that is based on the historical performance of the Class A Shares, and has been adjusted for the maximum CDSC applicable to the Class B Shares, but does not include the Class B Shares 12b-1 fees, which, if reflected, performance would have been lower. (4) Class C Shares were not in existence prior to 2/1/01. Performance for periods prior to that is based on the historical performance of the Class A Shares, and has been adjusted for the maximum CDSC applicable to the Class C Shares, but does not include the Class C Shares 12b-1 fees, which if reflected, performance would have been lower. The Fund is measured against the S&P 500 Index, which is generally considered to be representative of the performance of the stock market as a whole, and against the Lehman Brothers Intermediate Government Bond Index, which is widely used as a broad measure of the performance of U.S. Government Bonds with maturities of less than 10 years. The indices are unmanaged and do not reflect the deduction of expenses associated with a mutual fund, such as investment management and, fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees have been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 41 BB&T CAPITAL MANAGER EQUITY FUND VALUE OF A $10,000 INVESTMENT (PERFORMANCE GRAPH) AVERAGE ANNUAL TOTAL RETURNS
As of Inception 1 5 Since September 30, 2006 Date Year Year Inception ------------------ --------- ----- ---- --------- A Shares* 3/19/01 3.08% 5.02% 2.48% B Shares** 3/19/01 4.51% 5.32% 2.66% C Shares*** 3/19/01 8.44% 5.44% 2.76% Institutional Shares 3/19/01 9.66% 6.54% 3.85% S&P 500 Index 3/21/01 10.79% 6.97% 4.98%
* Reflects 5.75% maximum sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC), maximum of 5.00%. *** Reflects the applicable maximum CDSC of 1.00% (applicable only to redemptions within one year of purchase, and as such, are not reflected in the Total Return tables since the periods reflected are for a year or longer). PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT RETURNS MAY BE LOWER OR HIGHER. TOTAL RETURN FIGURES INCLUDE CHANGE IN SHARE PRICE, REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. THE INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. TO OBTAIN PERFORMANCE INFORMATION CURRENT TO THE MOST RECENT MONTH END, PLEASE VISIT WWW.BBTFUNDS.COM. The chart above represents a comparison of a hypothetical $10,000 investment in the indicated share class versus a similar investment in the Fund's benchmark, and represents the reinvestment of dividends and capital gains. The Fund is measured against the S&P 500 Index, an unmanaged index generally considered to be representative of the performance of the stock market as a whole. The index does not reflect the deduction of expenses associated with a mutual fund, such as investment management and fund accounting fees. The Fund's performance reflects the deduction of fees for these services. Investors cannot invest directly in an index, although they can invest in its underlying securities. A portion of the Fund's fees have been waived. If the fees had not been waived, the Fund's total return for the period would have been lower. 42 BB&T Funds SUMMARY OF PORTFOLIO HOLDINGS, (UNAUDITED) The BB&T Funds invested, as a percentage of net assets, in the following industry sectors, countries, states, funds or security types, as of September 30, 2006.
PERCENT OF LARGE CAP FUND NET ASSETS -------------- ---------- Consumer Discretionary 11.7% Consumer Staples 5.2 Energy 11.0 Financials 21.8 Health Care 14.5 Industrials 3.3 Information Technology 14.1 Materials 3.7 Telecommunication Services 6.6 Utilities 2.8 Warrants 0.0 Short-Term Investments* 22.8 ----- 117.5% =====
PERCENT OF LARGE CAP GROWTH FUND NET ASSETS --------------------- ---------- Consumer Discretionary 12.6% Consumer Staples 6.3 Energy 3.6 Exchange Traded Funds 4.5 Financials 9.4 Health Care 18.5 Industrials 7.7 Information Technology 24.6 Telecommunication Services 7.0 Utilities 1.5 Short-Term Investments* 47.7 ----- 143.4% =====
PERCENT OF MID CAP VALUE FUND NET ASSETS ------------------ ---------- Advertising 3.0% Computer Software 14.9 Consumer Discretionary 11.9 Energy 1.6 Financials 32.3 Health Care 7.2 Industrials 11.4 Information Technology 6.8 Telecommunication Services 5.6 Short-Term Investments* 32.9 ----- 127.6% =====
PERCENT OF MID CAP GROWTH FUND NET ASSETS ------------------- ---------- Consumer Discretionary 19.5% Consumer Staples 1.6 Energy 4.4 Exchange Traded Funds 4.0 Financials 16.5 Health Care 14.4 Industrials 7.6 Information Technology 19.9 Materials 2.3 Telecommunication Services 4.8 Utilities 1.7 Short-Term Investments* 39.5 ----- 136.2% =====
PERCENT OF SMALL CAP FUND NET ASSETS -------------- ---------- Consumer Discretionary 13.7% Consumer Staples 1.7 Corporate Bonds 0.1 Energy 5.6 Exchange Traded Funds 4.2 Financials 15.7 Health Care 3.6 Industrials 20.4 Information Technology 21.0 Materials 4.3 Utilities 2.4 Short-Term Investments* 30.4 ----- 123.1% =====
PERCENT OF INTERNATIONAL EQUITY FUND NET ASSETS ------------------------- ---------- Australia 2.9% Austria 0.4 Belgium 1.5 Currency Contracts 0.0 Exchange Traded Funds 2.3 Finland 1.6 France 7.6 Germany 7.4 Great Britain 22.4 Hong Kong 1.7 Ireland 2.8 Italy 1.7 Japan 19.9 Netherlands 10.1 Norway 0.5 Singapore 0.1 Spain 3.0 Sweden 1.8 Switzerland 9.7 ---- 97.4% ====
PERCENT OF SPECIAL OPPORTUNITIES EQUITY FUND NET ASSETS --------------------------------- ---------- Consumer Discretionary 18.9% Consumer Staples 3.9 Energy 17.6 Financials 6.7 Health Care 15.7 Industrials 14.2 Information Technology 16.1 Investment Company 0.2 Option Contracts (0.2) Short-Term Investments* 36.4 ----- 129.5% =====
43 BB&T Funds SUMMARY OF PORTFOLIO HOLDINGS, CONTINUED (UNAUDITED)
PERCENT OF EQUITY INCOME FUND NET ASSETS ------------------ ---------- Consumer Discretionary 3.5% Consumer Staples 10.0 Energy 18.8 Financials 24.2 Health Care 8.2 Industrials 3.6 Information Technology 11.1 Materials 3.4 Option Contracts (0.0) Telecommunication Services 3.8 Utilities 7.4 Short-Term Investments* 31.4 ----- 125.4% =====
PERCENT OF SHORT U.S. GOVERNMENT FUND NET ASSETS -------------------------- ---------- Federal Farm Credit Bank 8.2% Federal Home Loan Bank 12.1 Federal Home Loan Mortgage Corporation 12.1 Federal Home Loan Mortgage Corp. -- Mortgage-Backed Securities 10.4 Federal National Mortgage Association 15.0 Federal National Mortgage Assoc. -- Mortgage-Backed Securities 18.1 U.S. Treasury Notes 19.7 Short-Term Investments* 50.9 ----- 146.5% =====
PERCENT OF INTERMEDIATE U.S. GOVERNMENT FUND NET ASSETS --------------------------------- ---------- Federal Home Loan Mortgage Corp. -- Mortgage-Backed Securities 17.7% Federal Home Loan Mortgage Corp. -- U.S. Government Agencies 11.4 Federal National Mortgage Assoc. -- Mortgage-Backed Securities 26.1 Federal National Mortgage Assoc. -- U.S. Government Agencies 1.9 Sovereign 2.0 U.S. Treasury Notes 31.9 U.S. Government Backed Securities 7.9 Short-Term Investments* 14.3 ----- 113.2% =====
PERCENT OF TOTAL RETURN BOND FUND NET ASSETS ---------------------- ---------- Corporate Bonds 40.3% Federal Home Loan Bank 1.7 Federal Home Loan Mortgage Corp. -- Mortgage-Backed Securities 13.7 Federal Home Loan Mortgage Corp. -- U.S. Government Agencies 2.8 Federal National Mortgage Assoc. -- Mortgage-Backed Securities 18.9 Federal National Mortgage Assoc. -- U.S. Government Agencies 5.5 Government National Mortgage Assoc. 3.2 Municipal 6.1 U.S. Treasury Bonds 3.3 U.S. Treasury Notes 16.9 Short-Term Investments* 29.1 ----- 141.5% =====
PERCENT OF KENTUCKY INTERMEDIATE TAX-FREE FUND NET ASSETS ----------------------------------- ---------- Investment Company 2.2% Kentucky Municipal Bonds 101.0 ----- 103.2% =====
PERCENT OF MARYLAND INTERMEDIATE TAX-FREE FUND NET ASSETS ----------------------------------- ---------- Investment Company 4.1% Maryland Municipal Bonds 95.2 ---- 99.3% ====
PERCENT OF NORTH CAROLINA INTERMEDIATE TAX-FREE FUND NET ASSETS ----------------------------------------- ---------- Investment Company 2.5% North Carolina Municipal Bonds 98.1 ----- 100.6% =====
PERCENT OF SOUTH CAROLINA INTERMEDIATE TAX-FREE FUND NET ASSETS ----------------------------------------- ---------- Investment Company 2.1% South Carolina Municipal Bonds 97.6 ---- 99.7% ====
PERCENT OF VIRGINIA INTERMEDIATE TAX-FREE FUND NET ASSETS ----------------------------------- ---------- District of Columbia Municipal Bonds 2.2% Investment Company 2.5 Virginia Municipal Bonds 94.9 ---- 99.6% ====
PERCENT OF WEST VIRGINIA INTERMEDIATE TAX-FREE FUND NET ASSETS ---------------------------------------- ---------- Investment Company 1.1% West Virginia Municipal Bonds 97.5 ---- 98.6% ====
PERCENT OF PRIME MONEY MARKET FUND NET ASSETS ----------------------- ---------- Bankers Acceptance 0.4% Certificates of Deposit 9.9 Collateralized Loan Agreements 15.0 Commercial Paper 32.4 Corporate Bonds 6.6 Municipal Bonds 1.2 Repurchase Agreement 5.9 Variable Rate Notes 28.6 ----- 100.0% =====
PERCENT OF U.S. TREASURY MONEY MARKET FUND NET ASSETS ------------------------------- ---------- Repurchase Agreements 67.9% U.S. Treasury Bills 12.2 U.S. Treasury Notes 19.9 ----- 100.0% =====
44 BB&T Funds SUMMARY OF PORTFOLIO HOLDINGS, CONTINUED (UNAUDITED)
PERCENT OF NATIONAL TAX-FREE MONEY MARKET FUND NET ASSETS ----------------------------------- ---------- Alabama 4.3% Alaska 1.8 Arizona 3.8 Colorado 1.7 Florida 8.1 Illinois 15.2 Indiana 2.1 Kentucky 3.1 Louisiana 2.2 Maryland 1.5 Massachusetts 3.9 Michigan 2.1 Minnesota 8.5 Missouri 3.1 Nevada 2.6 New Jersey 4.0 New York 6.1 Ohio 0.9 Pennsylvania 3.1 Texas 5.0 Virginia 5.7 Wisconsin 9.0 Commercial Paper 2.1 Investment Company 0.0 ---- 99.9% ====
PERCENT OF CAPITAL MANAGER CONSERVATIVE GROWTH FUND NET ASSETS ---------------------------------------- ---------- International Equity 6.0% Large Cap 26.60 Mid Cap 4.8 Small Cap 3.1 Total Return Bond 56.6 U.S. Treasury 3.0 ----- 100.1% =====
PERCENT OF CAPITAL MANAGER MODERATE GROWTH FUND NET ASSETS ------------------------------------ ---------- International Equity 9.8% Large Cap 42.9 Mid Cap 7.7 Small Cap 5.0 Total Return Bond 31.6 U.S. Treasury 2.9 ---- 99.9% ====
PERCENT OF CAPITAL MANAGER GROWTH FUND NET ASSETS --------------------------- ---------- International Equity 11.9% Large Cap 52.3 Mid Cap 9.4 Small Cap 6.0 Total Return 16.6 U.S. Treasury 3.6 ---- 99.8% ====
PERCENT OF CAPITAL MANAGER EQUITY FUND NET ASSETS --------------------------- ---------- International Equity 14.2% Large Cap 62.8 Mid Cap 11.3 Small Cap 7.2 U.S. Treasury 4.5 ----- 100.0% =====
* Short-Term Investments represents the Repurchase Agreement and the invested cash collateral received in connection with securities lending (see Note 2). 45 BB&T Funds EXPENSE EXAMPLE (UNAUDITED) As a shareholder of the BB&T Funds (the "Funds"), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and (2) ongoing costs, including management fees; distribution fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Funds' and to compare these costs with the ongoing costs of investing in other mutual funds." These examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from April 1, 2006 through September 30, 2006. Actual Example The table below provides information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period.
BEGINNING ENDING ANNUALIZED ACCOUNT ACCOUNT EXPENSES PAID EXPENSE RATIO VALUE VALUE DURING PERIOD* DURING PERIOD 4/1/06 9/30/06 4/1/06 - 9/30/06 4/1/06 - 9/30/06 --------- --------- ---------------- ---------------- LARGE CAP FUND Class A Shares $1,000.00 $1,062.60 $ 5.89 1.14% Class B Shares .................. 1,000.00 1,058.60 9.75 1.89% Class C Shares .................. 1,000.00 1,058.80 9.75 1.89% Institutional Shares............. 1,000.00 1,063.70 4.60 0.89% LARGE CAP GROWTH FUND Class A Shares .................. 1,000.00 963.90 5.61 1.14% Class B Shares .................. 1,000.00 959.90 9.29 1.89% Class C Shares .................. 1,000.00 959.90 9.29 1.89% Institutional Shares............. 1,000.00 965.30 4.38 0.89% MID CAP VALUE FUND Class A Shares .................. 1,000.00 1,027.40 5.79 1.14% Class B Shares .................. 1,000.00 1,024.00 9.59 1.89% Class C Shares .................. 1,000.00 1,024.00 9.59 1.89% Institutional Shares............. 1,000.00 1,029.00 4.53 0.89% MID CAP GROWTH FUND Class A Shares .................. 1,000.00 885.50 5.39 1.14% Class B Shares .................. 1,000.00 881.90 8.92 1.89% Class C Shares .................. 1,000.00 882.70 8.92 1.89% Institutional Shares............. 1,000.00 886.90 4.21 0.89% SMALL CAP FUND Class A Shares .................. 1,000.00 959.10 6.29 1.28% Class B Shares .................. 1,000.00 955.30 9.95 2.03% Class C Shares .................. 1,000.00 955.20 9.95 2.03% Institutional Shares............. 1,000.00 960.10 5.06 1.03% INTERNATIONAL EQUITY FUND Class A Shares .................. 1,000.00 1,041.90 7.06 1.38% Class B Shares .................. 1,000.00 1,038.20 10.88 2.13% Class C Shares .................. 1,000.00 1,037.90 10.93 2.14% Institutional Shares............. 1,000.00 1,043.40 5.79 1.13% SPECIAL OPPORTUNITIES EQUITY FUND Class A Shares .................. 1,000.00 1,075.30 6.66 1.28% Class B Shares .................. 1,000.00 1,071.00 10.54 2.03% Class C Shares .................. 1,000.00 1,070.90 10.54 2.03% Institutional Shares............. 1,000.00 1,076.70 5.36 1.03% EQUITY INCOME FUND Class A Shares .................. 1,000.00 1,075.60 6.24 1.20% Class B Shares .................. 1,000.00 1,071.20 10.12 1.95% Class C Shares .................. 1,000.00 1,071.20 10.12 1.95% Institutional Shares............. 1,000.00 1,076.90 4.95 0.95% SHORT U.S. GOVERNMENT FUND Class A Shares .................. 1,000.00 1,024.10 4.52 0.89% Institutional Shares............. 1,000.00 1,025.40 3.25 0.64% INTERMEDIATE U.S. GOVERNMENT FUND Class A Shares .................. 1,000.00 1,034.40 4.64 0.91% Class B Shares .................. 1,000.00 1,030.70 8.45 1.66% Class C Shares .................. 1,000.00 1,029.60 8.45 1.66% Institutional Shares............. 1,000.00 1,034.60 3.37 0.66%
46 BB&T Funds EXPENSE EXAMPLE, CONTINUED (UNAUDITED)
ANNUALIZED BEGINNING ENDING EXPENSES PAID EXPENSE RATIO ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* DURING PERIOD 4/1/06 9/30/06 4/1/06 - 9/30/06 4/1/06 - 9/30/06 ------------- ------------- ---------------- ---------------- TOTAL RETURN BOND FUND Class A Shares ....................... $1,000.00 $1,033.10 $4.69 0.92% Class B Shares ....................... 1,000.00 1,029.00 8.49 1.67% Class C Shares ....................... 1,000.00 1,029.10 8.49 1.67% Institutional Shares ................. 1,000.00 1,034.30 3.37 0.66% KENTUCKY INTERMEDIATE TAX-FREE FUND Class A Shares ....................... 1,000.00 1,032.80 4.74 0.93% Institutional Shares ................. 1,000.00 1,034.20 3.47 0.68% MARYLAND INTERMEDIATE TAX-FREE FUND Class A Shares ....................... 1,000.00 1,036.90 4.39 0.86% Institutional Shares ................. 1,000.00 1,037.10 3.06 0.60% NORTH CAROLINA INTERMEDIATE TAX-FREE FUND Class A Shares ....................... 1,000.00 1,032.30 4.53 0.89% Institutional Shares ................. 1,000.00 1,033.60 3.26 0.64% SOUTH CAROLINA INTERMEDIATE TAX-FREE FUND Class A Shares ....................... 1,000.00 1,030.80 4.73 0.93% Institutional Shares ................. 1,000.00 1,033.30 3.47 0.68% VIRGINIA INTERMEDIATE TAX-FREE FUND Class A Shares ....................... 1,000.00 1,030.50 4.58 0.90% Institutional Shares ................. 1,000.00 1,031.80 3.31 0.65% WEST VIRGINIA INTERMEDIATE TAX-FREE FUND Class A Shares ....................... 1,000.00 1,030.90 4.58 0.90% Institutional Shares ................. 1,000.00 1,032.10 3.31 0.65% PRIME MONEY MARKET FUND Class A Shares ....................... 1,000.00 1,021.40 4.92 0.97% Class B Shares ....................... 1,000.00 1,019.10 7.44 1.47% Class C Shares ....................... 1,000.00 1,018.90 7.44 1.47% Institutional Shares ................. 1,000.00 1,024.00 2.38 0.47% U.S. TREASURY MONEY MARKET FUND Class A Shares ....................... 1,000.00 1,020.40 4.76 0.94% Class B Shares ....................... 1,000.00 1,017.90 7.33 1.45% Class C Shares ....................... 1,000.00 1,017.90 7.28 1.44% Institutional Shares ................. 1,000.00 1,023.00 2.28 0.45% NATIONAL TAX-FREE MONEY MARKET FUND** Class A Shares ....................... 1,000.00 1,005.10 1.04 0.62% Class B Shares ....................... 1,000.00 1,003.60 2.33 1.39% Class C Shares ....................... 1,000.00 1,003.60 2.33 1.39% Institutional Shares ................. 1,000.00 1,005.30 0.67 0.40% CAPITAL MANAGER CONSERVATIVE GROWTH FUND Class A Shares ....................... 1,000.00 1,025.60 1.68 0.33% Class B Shares ....................... 1,000.00 1,020.70 5.47 1.08% Class C Shares ....................... 1,000.00 1,020.80 5.47 1.08% Institutional Shares ................. 1,000.00 1,026.70 0.41 0.08% CAPITAL MANAGER MODERATE GROWTH FUND Class A Shares ....................... 1,000.00 1,020.80 1.77 0.35% Class B Shares ....................... 1,000.00 1,017.30 5.56 1.10% Class C Shares ....................... 1,000.00 1,017.30 5.56 1.10% Institutional Shares ................. 1,000.00 1,023.00 0.51 0.10% CAPITAL MANAGER GROWTH FUND Class A Shares ....................... 1,000.00 1,017.90 1.82 0.36% Class B Shares ....................... 1,000.00 1,014.50 5.61 1.11% Class C Shares ....................... 1,000.00 1,014.50 5.61 1.11% Institutional Shares ................. 1,000.00 1,019.20 0.56 0.11% CAPITAL MANAGER EQUITY FUND Class A Shares ....................... 1,000.00 1,015.20 1.82 0.36% Class B Shares ....................... 1,000.00 1,012.00 5.60 1.11% Class C Shares ....................... 1,000.00 1,012.10 5.60 1.11% Institutional Shares ................. 1,000.00 1,017.00 0.56 0.11%
---------- * Expenses are equal to the average account value over the period multiplied by the Fund's annualized expense ratio, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half year period). ** Information shown reflects values using the expense ratios and rates of return for the period from August 1, 2006 (date of commencement of operations) to September 30, 2006. 47 BB&T Funds EXPENSE EXAMPLE, CONTINUED (UNAUDITED) Hypothetical Example for Comparison Purposes The table below provides information about hypothetical account values and hypothetical expenses based on the Funds' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
ANNUALIZED BEGINNING ENDING EXPENSES PAID EXPENSE RATIO ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* DURING PERIOD 4/1/06 9/30/06 4/1/06 - 9/30/06 4/1/06 - 9/30/06 ------------- ------------- ---------------- ---------------- LARGE CAP FUND Class A Shares ....................... $1,000.00 $1,019.35 $ 5.77 1.14% Class B Shares ....................... 1,000.00 1,015.59 9.55 1.89% Class C Shares ....................... 1,000.00 1,015.59 9.55 1.89% Institutional Shares ................. 1,000.00 1,020.61 4.51 0.89% LARGE CAP GROWTH FUND Class A Shares ....................... 1,000.00 1,019.35 5.77 1.14% Class B Shares ....................... 1,000.00 1,015.59 9.55 1.89% Class C Shares ....................... 1,000.00 1,015.59 9.55 1.89% Institutional Shares ................. 1,000.00 1,020.61 4.51 0.89% MID CAP VALUE FUND Class A Shares ....................... 1,000.00 1,019.35 5.77 1.14% Class B Shares ....................... 1,000.00 1,015.59 9.55 1.89% Class C Shares ....................... 1,000.00 1,015.59 9.55 1.89% Institutional Shares ................. 1,000.00 1,020.61 4.51 0.89% MID CAP GROWTH FUND Class A Shares ....................... 1,000.00 1,019.35 5.77 1.14% Class B Shares ....................... 1,000.00 1,015.59 9.55 1.89% Class C Shares ....................... 1,000.00 1,015.59 9.55 1.89% Institutional Shares ................. 1,000.00 1,020.61 4.51 0.89% SMALL CAP FUND Class A Shares ....................... 1,000.00 1,018.65 6.48 1.28% Class B Shares ....................... 1,000.00 1,014.89 10.25 2.03% Class C Shares ....................... 1,000.00 1,014.89 10.25 2.03% Institutional Shares ................. 1,000.00 1,019.90 5.22 1.03% INTERNATIONAL EQUITY FUND Class A Shares ....................... 1,000.00 1,018.15 6.98 1.38% Class B Shares ....................... 1,000.00 1,014.39 10.76 2.13% Class C Shares ....................... 1,000.00 1,014.34 10.81 2.14% Institutional Shares ................. 1,000.00 1,019.40 5.72 1.13% SPECIAL OPPORTUNITIES EQUITY FUND Class A Shares ....................... 1,000.00 1,018.65 6.48 1.28% Class B Shares ....................... 1,000.00 1,014.89 10.25 2.03% Class C Shares ....................... 1,000.00 1,014.89 10.25 2.03% Institutional Shares ................. 1,000.00 1,019.90 5.22 1.03% EQUITY INCOME FUND Class A Shares ....................... 1,000.00 1,019.05 6.07 1.20% Class B Shares ....................... 1,000.00 1,015.29 9.85 1.95% Class C Shares ....................... 1,000.00 1,015.29 9.85 1.95% Institutional Shares ................. 1,000.00 1,020.31 4.81 0.95% SHORT U.S. GOVERNMENT FUND Class A Shares ....................... 1,000.00 1,020.61 4.51 0.89% Institutional Shares ................. 1,000.00 1,021.86 3.24 0.64% INTERMEDIATE U.S. GOVERNMENT FUND Class A Shares ....................... 1,000.00 1,020.51 4.61 0.91% Class B Shares ....................... 1,000.00 1,016.75 8.39 1.66% Class C Shares ....................... 1,000.00 1,016.75 8.39 1.66% Institutional Shares ................. 1,000.00 1,021.76 3.35 0.66% TOTAL RETURN BOND FUND Class A Shares ....................... 1,000.00 1,020.46 4.66 0.92% Class B Shares ....................... 1,000.00 1,016.70 8.44 1.67% Class C Shares ....................... 1,000.00 1,016.70 8.44 1.67% Institutional Shares ................. 1,000.00 1,021.76 3.35 0.66%
48 BB&T Funds EXPENSE EXAMPLE, CONTINUED (UNAUDITED)
ANNUALIZED BEGINNING ENDING EXPENSES PAID EXPENSE RATIO ACCOUNT VALUE ACCOUNT VALUE DURING PERIOD* DURING PERIOD 4/1/06 9/30/06 4/1/06 - 9/30/06 4/1/06 - 9/30/06 ------------- ------------- ---------------- ---------------- KENTUCKY INTERMEDIATE TAX-FREE FUND Class A Shares ....................... $1,000.00 $1,020.41 $4.71 0.93% Institutional Shares ................. 1,000.00 1,021.66 3.45 0.68% MARYLAND INTERMEDIATE TAX-FREE FUND Class A Shares ....................... 1,000.00 1,020.76 4.36 0.86% Institutional Shares ................. 1,000.00 1,022.06 3.04 0.60% NORTH CAROLINA INTERMEDIATE TAX-FREE FUND Class A Shares ....................... 1,000.00 1,020.61 4.51 0.89% Institutional Shares ................. 1,000.00 1,021.86 3.24 0.64% SOUTH CAROLINA INTERMEDIATE TAX-FREE FUND Class A Shares ....................... 1,000.00 1,020.41 4.71 0.93% Institutional Shares ................. 1,000.00 1,021.66 3.45 0.68% VIRGINIA INTERMEDIATE TAX-FREE FUND Class A Shares ....................... 1,000.00 1,020.56 4.56 0.90% Institutional Shares ................. 1,000.00 1,021.81 3.29 0.65% WEST VIRGINIA INTERMEDIATE TAX-FREE FUND Class A Shares ....................... 1,000.00 1,020.56 4.56 0.90% Institutional Shares ................. 1,000.00 1,021.81 3.29 0.65% PRIME MONEY MARKET FUND Class A Shares ....................... 1,000.00 1,020.21 4.91 0.97% Class B Shares ....................... 1,000.00 1,017.70 7.44 1.47% Class C Shares ....................... 1,000.00 1,017.70 7.44 1.47% Institutional Shares ................. 1,000.00 1,022.71 2.38 0.47% U.S. TREASURY MONEY MARKET FUND Class A Shares ....................... 1,000.00 1,020.36 4.76 0.94% Class B Shares ....................... 1,000.00 1,017.80 7.33 1.45% Class C Shares ....................... 1,000.00 1,017.85 7.28 1.44% Institutional Shares ................. 1,000.00 1,022.81 2.28 0.45% NATIONAL TAX-FREE MONEY MARKET FUND ** Class A Shares ....................... 1,000.00 1,021.96 3.14 0.62% Class B Shares ....................... 1,000.00 1,018.10 7.03 1.39% Class C Shares ....................... 1,000.00 1,018.10 7.03 1.39% Institutional Shares ................. 1,000.00 1,023.06 2.03 0.40% CAPITAL MANAGER CONSERVATIVE GROWTH FUND Class A Shares ....................... 1,000.00 1,023.41 1.67 0.33% Class B Shares ....................... 1,000.00 1,019.65 5.47 1.08% Class C Shares ....................... 1,000.00 1,019.65 5.47 1.08% Institutional Shares ................. 1,000.00 1,024.67 0.41 0.08% CAPITAL MANAGER MODERATE GROWTH FUND Class A Shares ....................... 1,000.00 1,023.31 1.78 0.35% Class B Shares ....................... 1,000.00 1,019.55 5.57 1.10% Class C Shares ....................... 1,000.00 1,019.55 5.57 1.10% Institutional Shares ................. 1,000.00 1,024.57 0.51 0.10% CAPITAL MANAGER GROWTH FUND Class A Shares ....................... 1,000.00 1,023.26 1.83 0.36% Class B Shares ....................... 1,000.00 1,019.50 5.62 1.11% Class C Shares ....................... 1,000.00 1,019.50 5.62 1.11% Institutional Shares ................. 1,000.00 1,024.52 0.56 0.11% CAPITAL MANAGER EQUITY FUND Class A Shares ....................... 1,000.00 1,023.26 1.83 0.36% Class B Shares ....................... 1,000.00 1,019.50 5.62 1.11% Class C Shares ....................... 1,000.00 1,019.50 5.62 1.11% Institutional Shares ................. 1,000.00 1,024.52 0.56 0.11%
---------- * Expenses are equal to the average account value over the period multiplied by the Fund's annualized expense ratio, multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year (to reflect the one-half year period). ** Information shown reflects values using the expense ratios for the period from August 1, 2006 (date of commencement of operations) to September 30, 2006 and has been adjusted to reflect values for the period from April 1, 2006 through September 30, 2006. 49 Large Cap Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS (94.7%) Consumer Discretionary (11.7%) Gannett Co., Inc. (b) ....................... 282,000 $ 16,026,060 Mattel, Inc. ................................ 434,800 8,565,560 Target Corp. (b) ............................ 168,111 9,288,133 Tiffany & Co. (b) ........................... 706,381 23,451,848 V.F. Corp. .................................. 103,250 7,532,088 Walt Disney Co. (The) ....................... 650,000 20,091,500 ------------- 84,955,189 ------------- Consumer Staples (5.2%) Altria Group, Inc. .......................... 138,590 10,609,065 Kimberly-Clark Corp. (b) .................... 276,500 18,072,039 Sara Lee Corp. .............................. 568,010 9,127,921 ------------- 37,809,025 ------------- Energy (11.0%) Anadarko Petroleum Corp. (b) ................ 219,000 9,598,770 ChevronTexaco Corp. ......................... 329,460 21,368,776 ConocoPhillips .............................. 265,347 15,796,107 Duke Energy Corp. (b) ....................... 242,000 7,308,400 Exxon Mobil Corp. (b) ....................... 290,000 19,459,000 Schlumberger, Ltd. (b) ...................... 96,000 5,954,880 ------------- 79,485,933 ------------- Financials (21.8%) AMBAC Financial Group, Inc. ................. 93,100 7,704,025 American International Group, Inc. .......... 182,000 12,059,320 Bank of New York Co., Inc. (The) ............ 250,000 8,815,000 CitiGroup, Inc. ............................. 405,666 20,149,430 Fannie Mae (b) .............................. 206,000 11,517,460 JPMorgan Chase & Co. ........................ 507,772 23,844,973 Lincoln National Corp. ...................... 118,600 7,362,688 Merrill Lynch & Co., Inc. (b) ............... 190,000 14,861,800 Northern Trust Corp. (b) .................... 257,718 15,058,463 St. Paul Travelers Cos., Inc. (The) ......... 298,500 13,996,665 Washington Mutual, Inc. (b) ................. 318,000 13,823,460 Wells Fargo & Co. ........................... 217,600 7,872,768 ------------- 157,066,052 ------------- Health Care (14.5%) Abbott Laboratories ......................... 186,000 9,032,160 Amgen, Inc. (a) (b) ......................... 312,984 22,387,745 Bristol-Myers Squibb Co. .................... 233,080 5,808,354 Johnson & Johnson ........................... 285,806 18,560,242 Merck & Co., Inc. (b) ....................... 507,821 21,277,699 Pfizer, Inc. ................................ 724,402 20,544,041 Wyeth ....................................... 145,000 7,371,800 ------------- 104,982,041 ------------- Industrials (3.3%) Emerson Electric Co. (The) .................. 41,370 3,469,288 General Electric Co. ........................ 105,000 3,706,500 Parker-Hannifin Corp. ....................... 117,000 9,094,410 Pitney Bowes, Inc. (b) ...................... 176,800 7,844,616 ------------- 24,114,814 ------------- Information Technology (14.1%) Automatic Data Processing, Inc. ............. 142,400 6,741,216 Cisco Systems, Inc. (a) (b) ................. 1,046,516 24,069,868 Dell, Inc. (a) (b) .......................... 844,202 19,281,574
SHARES OR FAIR PRINCIPAL AMOUNT VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Information Technology, continued First Data Corp. ............................ 152,000 $ 6,384,000 Intel Corp. ................................. 1,407,693 28,956,245 Microsoft Corp. ............................. 243,000 6,641,190 Time Warner, Inc. ........................... 564,000 10,281,720 ------------- 102,355,813 ------------- Materials (3.7%) Air Products & Chemicals, Inc. .............. 129,700 8,608,189 Alcoa, Inc. ................................. 252,000 7,066,080 Weyerhaeuser Co. (b) ........................ 186,500 11,475,345 ------------- 27,149,614 ------------- Telecommunication Services (6.6%) AT&T, Inc. (b) .............................. 421,837 13,735,013 BellSouth Corp. ............................. 180,000 7,695,000 Nokia Corp., ADR (b) ........................ 550,000 10,829,500 Verizon Communications, Inc. ................ 427,000 15,854,510 ------------- 48,114,023 ------------- Utilities (2.8%) NiSource, Inc. (b) .......................... 538,100 11,698,294 SCANA Corp. (b) ............................. 87,467 3,522,296 Xcel Energy, Inc. ........................... 231,275 4,775,829 ------------- 19,996,419 Total Common Stocks (Cost $525,464,176) ................... 686,028,923 ------------- WARRANT (0.0%) Raytheon Co. (a) ............................ 7,110 101,460 ------------- Total Warrant (Cost $0) .................. 101,460 ------------- REPURCHASE AGREEMENT (5.3%) U.S. Bank N.A., 5.05%, dated 9/29/06, maturing 10/2/06, with a maturity value of $38,421,643 (Collateralized fully by U.S. Government Agencies) ..................... $ 38,405,481 38,405,481 ------------- Total Repurchase Agreement (Cost $38,405,481) .................... 38,405,481 ------------- SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (17.5%) Pool of Various Securities for BB&T Funds -- Note 2 -- Security Loans ........ 126,591,112 126,591,112 ------------- Total Securities Held as Collateral for Securities on Loan (Cost $126,591,112) ................... 126,591,112 ------------- Total Investments (Cost $690,460,769) -- 117.5% ............ 851,126,976 Net other assets (liabilities) -- (17.5)% ... (126,835,316) ------------- Net Assets -- 100.0% ........................ $ 724,291,660 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 50 Large Cap Growth Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS (91.3%) Consumer Discretionary (12.6%) American Eagle Outfitters, Inc. (b) ......... 65,600 $ 2,875,248 Best Buy, Inc. (b) .......................... 59,800 3,202,888 Coach, Inc. (a) (b) ......................... 113,100 3,890,640 Comcast Corp., Class A (a) (b) .............. 98,800 3,640,780 Federated Department Stores, Inc. (b) ....... 68,200 2,946,922 Hilton Hotels Corp. (b) ..................... 120,900 3,367,065 J. C. Penney, Inc. (b) ...................... 42,200 2,886,058 Polo Ralph Lauren Corp. ..................... 38,300 2,477,627 Starbucks Corp. (a) (b) ..................... 93,600 3,187,080 ------------- 28,474,308 ------------- Consumer Staples (6.3%) Archer-Daniels-Midland Co. .................. 85,800 3,250,104 Fomento Economico Mexicano SA, ADR .......... 29,900 2,898,506 Hansen Natural Corp. (a) (b) ................ 85,100 2,764,048 PepsiCo, Inc. ............................... 43,500 2,838,810 Procter & Gamble Co. ........................ 39,600 2,454,408 ------------- 14,205,876 ------------- Energy (3.6%) Cameco Corp. (b) ............................ 81,900 2,995,083 McDermott International, Inc. (a) ........... 66,300 2,771,340 Schlumberger Ltd. (b) ....................... 39,600 2,456,388 ------------- 8,222,811 ------------- Financials (9.4%) Affiliated Managers Group, Inc. (a) (b) ..... 33,800 3,383,718 American International Group, Inc. .......... 39,300 2,604,018 Bear Stearns Cos., Inc. (The) (b) ........... 18,200 2,549,820 Charles Schwab Corp. (The) (b) .............. 139,700 2,500,630 Chicago Mercantile Exchange Holdings, Inc. (b) ................................. 7,400 3,539,050 Goldman Sachs Group, Inc. (The) (b) ......... 20,000 3,383,400 Merrill Lynch & Co., Inc. ................... 43,000 3,363,460 ------------- 21,324,096 ------------- Health Care (18.5%) AmerisourceBergen Corp. (b) ................. 52,600 2,377,520 Amgen, Inc. (a) (b) ......................... 31,762 2,271,936 Amylin Pharmaceuticals, Inc. (a) (b) ........ 72,800 3,208,296 Celgene Corp. (a) (b) ....................... 80,600 3,489,980 Fisher Scientific International, Inc. (a) ... 33,100 2,589,744 Genentech, Inc. (a) (b) ..................... 29,900 2,472,730 Gilead Sciences, Inc. (a) ................... 53,000 3,641,100 Humana, Inc. (a) ............................ 65,600 4,335,504 Medco Health Solutions, Inc. (a) ............ 37,500 2,254,125 Novartis AG, ADR ............................ 74,100 4,330,404 Schering-Plough Corp. ....................... 104,000 2,297,360 Stericycle, Inc. (a) (b) .................... 41,900 2,924,201 Wellpoint, Inc. (a) ......................... 29,200 2,249,860 Wyeth ....................................... 64,700 3,289,348 ------------- 41,732,108 ------------- Industrials (7.7%) Danaher Corp. (b) ........................... 53,481 3,672,540 FedEx Corp. ................................. 23,812 2,587,888 General Electric Co. ........................ 68,200 2,407,460 Monster Worldwide, Inc. (a) ................. 76,000 2,750,440 Precision Castparts Corp. (b) ............... 39,000 2,463,240 United Technologies Corp. ................... 56,500 3,579,275 ------------- 17,460,843 -------------
SHARES OR FAIR PRINCIPAL AMOUNT VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Information Technology (24.6%) Advanced Micro Devices, Inc. (a) (b) ........ 91,000 $ 2,261,350 Agilent Technologies, Inc. (a) .............. 68,900 2,252,341 Akamai Technologies, Inc. (a) (b) ........... 75,000 3,749,250 Amphenol Corp., Class A (b) ................. 74,700 4,626,171 Apple Computer, Inc. (a) (b) ................ 49,400 3,805,282 Cisco Systems, Inc. (a) ..................... 112,400 2,585,200 Cognizant Technology Solutions Corp., Class A (a) .............................. 47,800 3,540,068 Google, Inc. (a) (b) ........................ 6,800 2,732,920 Hewlett-Packard Co. ......................... 123,000 4,512,870 MEMC Electronic Materials, Inc. (a) (b) ..... 100,100 3,666,663 Micron Technology, Inc. (a) (b) ............. 245,000 4,263,000 Microsoft Corp. ............................. 128,000 3,498,240 Motorola, Inc. .............................. 143,000 3,575,000 Nokia Corp., ADR ............................ 160,500 3,160,245 Oracle Corp. (a) (b) ........................ 291,200 5,165,889 QUALCOMM, Inc. .............................. 57,800 2,101,030 ------------- 55,495,519 ------------- Telecommunication Services (7.1%) America Movil SA de CV, Series L, ADR (b) ... 111,100 4,374,007 American Tower Corp., Class A (a) (b) ....... 108,500 3,960,250 AT&T, Inc. (b) .............................. 94,600 3,080,176 NII Holdings, Inc. (a) (b) .................. 72,800 4,525,248 ------------- 15,939,681 ------------- Utilities (1.5%) FirstEnergy Corp. (b) ....................... 29,900 1,670,214 FPL Group, Inc. (b) ......................... 37,700 1,696,500 ------------- 3,366,714 ------------- Total Common Stocks (Cost $173,798,922) ................... 206,221,956 ------------- EXCHANGE TRADED FUNDS (4.5%) iShares Russell 1000 Growth Index Fund (b) ................................. 195,000 10,171,200 ------------- Total Exchange Traded Funds (Cost $9,911,034) ..................... 10,171,200 ------------- REPURCHASE AGREEMENT (3.1%) U.S. Bank N.A., 5.05%, dated 9/29/06, maturing 10/2/06, with a maturity value of $6,883,073 (Collateralized fully by U.S. Government Agencies) ..................... $ 6,880,178 6,880,178 ------------- Total Repurchase Agreement (Cost $6,880,178) ..................... 6,880,178 ------------- SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (44.7%) Pool of Various Securities for BB&T Funds -- Note 2 -- Security Loans ........ 101,006,062 101,006,062 ------------- Total Securities Held as Collateral for Securities on Loan (Cost $101,006,062) ...................... 101,006,062 ------------- Total Investments (Cost $291,596,196) -- 143.6% ............ 324,279,396 Net other assets (liabilities) -- (43.6)% (98,443,084) ------------- Net Assets -- 100.0% ........................ $ 225,836,312 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 51 Mid Cap Value Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS (94.7%) Advertising (3.0%) Interpublic Group of Cos., Inc. (a) (b) ..... 701,550 $ 6,945,345 ------------- Computer Software (14.9%) BMC Software, Inc. (a) (b) .................. 226,650 6,169,413 CA, Inc. (b) ................................ 483,850 11,462,407 Computer Sciences Corp. (a) ................. 129,150 6,343,848 CSG Systems International, Inc. (a) (b) ..... 189,400 5,005,842 Progress Software Corp. (a) ................. 202,550 5,266,300 ------------- 34,247,810 ------------- Consumer Discretionary (11.9%) Gannett Co., Inc. (b) ....................... 93,300 5,302,239 International Speedway Corp. ................ 104,900 5,228,216 Kohl's Corp. (a) (b) ........................ 150,350 9,760,722 Lexmark International, Inc. (a) (b) ......... 116,900 6,740,454 Universal Technical Institute Inc. (a) ...... 10,900 195,001 ------------- 27,226,632 ------------- Energy (1.6%) Forest Oil Corp. (a) (b) .................... 117,600 3,714,984 ------------- Financials (32.3%) Annaly Mortgage Management, Inc., REIT ...... 154,400 2,028,816 Aon Corp. (b) ............................... 154,050 5,217,674 Endurance Specialty Holdings, Ltd. .......... 190,045 6,700,987 Fidelity National Financial, Inc. ........... 179,300 7,467,844 Hudson City Bancorp, Inc. ................... 105,750 1,401,188 KeyCorp (b) ................................. 128,050 4,794,192 Leucadia National Corp. ..................... 190,600 4,988,002 MBIA, Inc. (b) .............................. 73,550 4,518,912 Mercury General Corp. (b) ................... 171,250 8,495,712 MoneyGram International, Inc. ............... 82,450 2,395,997 Popular Inc. ................................ 168,600 3,277,584 Protective Life Corp. ....................... 74,350 3,401,513 StanCorp Financial Group, Inc. .............. 193,350 8,629,210 Waddell and Reed Financial, Inc. ............ 339,100 8,392,724 Washington Federal, Inc. .................... 93,250 2,092,530 ------------- 73,802,885 ------------- Health Care (7.2%) King Pharmaceuticals, Inc. (a) (b) .......... 204,900 3,489,447 Par Pharmaceutical Cos., Inc. (a) ........... 122,400 2,232,576 STERIS Corp. ................................ 133,750 3,218,025 Watson Pharmaceuticals, Inc. (a) (b) ........ 115,200 3,014,784 Zimmer Holdings, Inc. (a) (b) ............... 67,900 4,583,250 ------------- 16,538,082 -------------
SHARES OR FAIR PRINCIPAL AMOUNT VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Industrials (11.4%) Crane Co. ................................... 144,100 $ 6,023,380 Leggett & Platt, Inc. ....................... 328,325 8,217,975 R.H. Donnelley Corp. (b) .................... 131,750 6,969,575 Valspar Corp. ............................... 186,250 4,954,250 ------------- 26,165,180 ------------- Information Technology (6.8%) Affiliated Computer Services, Inc., Class A (a) .............................. 40,600 2,105,516 Polycom, Inc. (a) (b) ....................... 177,150 4,345,490 Serono SA, ADR (b) .......................... 213,250 4,582,742 Synopsys, Inc. (a) (b) ...................... 225,450 4,445,874 ------------- 15,479,622 ------------- Telecommunication Services (5.6%) Clear Channel Communications, Inc. (b) ...... 223,350 6,443,648 Discovery Holding Co., Class A (a) (b) ...... 449,750 6,503,385 ------------- 12,947,034 ------------- Total Common Stocks (Cost $198,604,571) ................... 217,067,574 ------------- REPURCHASE AGREEMENT (5.8%) U.S. Bank N.A., 5.05%, dated 9/29/06, maturing 10/2/06, with a maturity value of $13,185,650 (Collateralized fully by U.S. Government Agencies) ..................... $ 13,180,103 13,180,103 ------------- Total Repurchase Agreement (Cost $13,180,103) .................... 13,180,103 ------------- SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (27.1%) Pool of Various Securities for BB&T Funds -- Note 2 -- Security Loans ........ 62,152,094 62,152,094 ------------- Total Securities Held as Collateral for Securities on Loan (Cost $62,152,094) ..................... 62,152,094 ------------- Total Investments (Cost $273,936,768) -- 127.6% ............ 292,399,771 ------------- Net other assets (liabilities) -- (27.6)% ... (63,188,741) Net Assets -- 100.0% ........................ $ 229,211,030 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 52 Mid Cap Growth Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS (92.7%) Consumer Discretionary (19.5%) AnnTaylor Stores Corp. (a) (b) .............. 55,000 $ 2,302,300 Circuit City Stores, Inc. (b) ............... 91,200 2,290,032 Coach, Inc. (a) (b) ......................... 85,000 2,924,000 Coldwater Creek, Inc. (a) ................... 103,000 2,962,280 Crocs, Inc. (a) ............................. 66,000 2,240,700 Focus Media Holding, Ltd., ADR (a) .......... 26,000 1,505,920 GameStop Corp., Class A (a) (b) ............. 79,000 3,656,120 Guess?, Inc. (a) (b) ........................ 54,000 2,620,620 Hilton Hotels Corp. (b) ..................... 90,000 2,506,500 Nutri/System, Inc. (a) (b) .................. 59,000 3,675,110 Tween Brands, Inc. (a) (b) .................. 45,500 1,710,800 ------------- 28,394,382 ------------- Consumer Staples (1.6%) Corn Products International, Inc. ........... 72,500 2,359,150 ------------- Energy (4.4%) Cameco Corp. (b) ............................ 56,000 2,047,920 Cameron International Corp. (a) (b) ......... 32,000 1,545,920 McDermott International, Inc. (a) ........... 35,500 1,483,900 TETRA Technologies, Inc. (a) ................ 57,000 1,377,120 ------------- 6,454,860 ------------- Financials (16.5%) Affiliated Managers Group, Inc. (a) (b) ..... 37,000 3,704,070 AllianceBernstein Holding L.P. .............. 61,000 4,208,390 Amvescap PLC, ADR ........................... 100,000 2,192,000 Bear Stearns Cos., Inc. (The) (b) ........... 11,600 1,625,160 Chicago Mercantile Exchange Holdings, Inc. (b) ................................. 4,900 2,343,425 Host Marriott Corp. (b) ..................... 95,000 2,178,350 International Securities Exchange ........... 58,000 2,719,620 Holdings, Inc. (b) .......................... Legg Mason, Inc. (b) ........................ 22,000 2,218,920 NASDAQ Stock Market, Inc. (a) 94,000 2,842,560 ------------- 24,032,495 ------------- Health Care (14.4%) Celgene Corp. (a) (b) ....................... 55,000 2,381,500 Covance, Inc. (a) ........................... 42,700 2,834,426 Express Scripts, Inc. (a) ................... 14,200 1,071,958 Humana, Inc. (a) ............................ 55,000 3,634,950 Intuitive Surgical, Inc. (a) (b) ............ 14,000 1,476,300 Medco Health Solutions, Inc. (a) (b) ........ 19,200 1,154,112 Pharmaceutical Product Development, Inc. .... 61,000 2,177,090 ResMed, Inc. (a) (b) ........................ 37,500 1,509,375 Respironics, Inc. (a) ....................... 76,000 2,934,360 Wellcare Health Plans, Inc. (a) ............. 30,500 1,727,215 ------------- 20,901,286 ------------- Industrials (7.6%) Corrections Corporation of America (a) ...... 65,250 2,822,063 Gol-Linhas Aereas Inteligentes, ADR (b) ..... 77,000 2,644,950 Manitowoc Company, Inc. ..................... 50,400 2,257,416 Precision Castparts Corp. ................... 25,000 1,579,000 Tam SA ADR (a) .............................. 55,000 1,754,500 ------------- 11,057,929 -------------
SHARES OR FAIR PRINCIPAL AMOUNT VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Information Technology (19.9%) Activision, Inc. (a) ........................ 146,000 $ 2,204,600 Amdocs, Ltd. (a) ............................ 64,000 2,534,400 Amphenol Corp., Class A (b) ................. 49,000 3,034,570 Anixter International, Inc. (b) ............. 38,000 2,145,860 Cognizant Technology Solutions Corp., Class A (a) .............................. 37,000 2,740,220 Harris Corp. (b) ............................ 46,500 2,068,784 MEMC Electronic Materials, Inc. (a) (b) ..... 65,000 2,380,950 Micron Technology, Inc. (a) (b) ............. 159,000 2,766,600 MICROS Systems, Inc. (a) .................... 44,000 2,152,480 Spansion, Inc., Class A (a) (b) ............. 145,000 2,417,150 THQ Inc. (a) (b) ............................ 76,000 2,216,920 Varian Semiconductor Equipment Associates, Inc. (a) ..................... 60,000 2,202,000 ------------- 28,864,534 ------------- Materials (2.3%) Airgas, Inc. ................................ 44,000 1,591,480 Titanium Metals Corp. (a) ................... 67,000 1,693,760 ------------- 3,285,240 ------------- Telecommunication Services (4.8%) American Tower Corp., Class A (a) (b) ....... 85,000 3,102,500 NII Holdings, Inc. (a) (b) .................. 63,000 3,916,080 ------------- 7,018,580 ------------- Utilities (1.7%) Allegheny Energy, Inc. (a) .................. 62,000 2,490,540 ------------- Total Common Stocks (Cost $114,009,190) ................... 134,858,996 ------------- EXCHANGE TRADED FUNDS (4.0%) iShares Russell Midcap Growth Index Fund (b) ................................. 60,000 5,791,800 ------------- Total Exchange Traded Funds (Cost $5,683,253) ..................... 5,791,800 ------------- REPURCHASE AGREEMENT (1.2%) U.S. Bank N.A. 5.05%, dated 9/29/06, maturing 10/2/06, with a maturity value of $1,779,035 (Collateralized fully by U.S. Government Agencies) ............. $ 1,778,287 1,778,287 ------------- Total Repurchase Agreement (Cost $1,778,287) ..................... 1,778,287 ------------- SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (38.3%) Pool of Various Securities for BB&T Funds -- Note 2 -- Security Loans ........ 55,773,608 55,773,608 ------------- Total Securities Held as Collateral for Securities on Loan (Cost $55,773,608) .................... 55,773,608 ------------- Total Investments (Cost $177,244,338) -- 136.2% ............ 198,202,691 Net other assets (liabilities) -- (36.2)% ... (52,734,846) ------------- Net Assets -- 100.0% ........................ 145,467,845 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 53 Small Cap Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS (88.4%) Consumer Discretionary (13.7%) BorgWarner, Inc. (b) ........................ 12,220 $ 698,617 CEC Entertainment, Inc. (a) ................. 37,287 1,174,913 Charlotte Russe Holding, Inc. (a) ........... 53,900 1,484,406 Deb Shops, Inc. ............................. 24,684 632,898 Emmis Communication Corp., Class A (a) ...... 95,300 1,167,425 Hartmarx Corp. (a) .......................... 233,176 1,578,602 Jos. A. Bank Clothiers, Inc. (a) (b) ........ 32,304 967,828 Lone Star Steakhouse & Saloon, Inc. ......... 12,200 338,794 M.D.C. Holdings, Inc. (b) ................... 12,610 585,735 Michaels Stores, Inc. ....................... 4,554 198,281 P.F. Chang's China Bistro, Inc. (a) (b) ..... 75,200 2,610,192 Polaris Industries, Inc. (b) ................ 37,016 1,523,208 Stanley Furniture Co., Inc. ................. 49,673 1,058,532 Steak n Shake Co. (The) (a) (b) ............. 124,600 2,104,494 Strattec Security Corp. (a) ................. 12,407 474,816 Zale Corp. (a) .............................. 16,896 468,695 ------------- 17,067,436 ------------- Consumer Staples (1.7%) Inter Parfums, Inc. ......................... 66,600 1,268,064 Sanderson Farms, Inc. (b) ................... 26,600 860,776 ------------- 2,128,840 ------------- Energy (5.6%) Berry Petroleum Co., Class A (b) ............ 19,536 550,134 Cabot Oil & Gas Corp. ....................... 7,366 353,052 Forest Oil Corp. (a) ........................ 39,106 1,235,359 Oceaneering International, Inc. (a) ......... 15,224 468,899 Oil States International, Inc. (a) (b) ...... 41,119 1,130,773 Pioneer Drilling Co. (a) (b) ................ 154,111 1,978,784 Teekay Shipping Corp. ....................... 29,732 1,222,283 ------------- 6,939,284 ------------- Financials (15.7%) AmerUs Group Co. (b) ........................ 11,248 764,976 Assured Guaranty, Ltd. ...................... 35,800 928,294 BRE Properties, Inc., Class A, REIT (b) ..... 10,270 613,427 CNA Surety Corp. (a) ........................ 44,035 889,507 Colonial BancGroup, Inc. .................... 50,260 1,231,370 Dime Community Bancshares ................... 86,432 1,273,143 First State Bancorp ......................... 23,324 605,724 Heritage Property Investment Trust, REIT (b) 13,480 491,481 Hilb, Rogal & Hobbs Co. (b) ................. 32,692 1,394,314 Hub International, Ltd. ..................... 24,676 713,630 InnKeepers USA Trust, REIT (b) .............. 68,492 1,115,735 Investment Technology Group, Inc. (a) ....... 13,710 613,523 Midland Co. (The) ........................... 17,542 759,919 NewAlliance Bancshares, Inc. (b) ............ 120,706 1,768,344 Peoples Bancorp, Inc. ....................... 24,834 725,898 Phoenix Cos., Inc. (The) .................... 76,680 1,073,520 Protective Life Corp. ....................... 10,982 502,427 Stewart Information Services Corp. .......... 36,124 1,256,031 Triad Guaranty, Inc. (a) .................... 27,920 1,428,666 Wintrust Financial Corp. .................... 26,675 1,337,751 ------------- 19,487,680 ------------- Health Care (3.6%) American Medical Systems Holdings, Inc. (a) (b) ............................. 110,100 2,029,143 Greatbatch, Inc. (a) ........................ 49,000 1,108,380
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Health Care, continued Owens & Minor, Inc. ......................... 13,843 $ 455,296 Pediatrix Medical Group, Inc. (a) ........... 9,368 427,181 West Pharmaceutical Services, Inc. .......... 10,000 392,700 ------------- 4,412,700 ------------- Industrials (20.4%) Briggs & Stratton Corp. (b) ................. 50,624 1,394,691 Curtiss-Wright Corp. (b) .................... 46,280 1,404,598 Esterline Technologies Corp. (a) ............ 62,700 2,116,752 Gardner Denver, Inc. (a) .................... 36,480 1,206,758 Genlyte Group, Inc. (a) (b) ................. 15,440 1,099,328 Gorman-Rupp Co. ............................. 29,563 966,710 Granite Construction, Inc. .................. 10,260 547,371 Kaydon Corp. (b) ............................ 41,355 1,530,962 LaBarge, Inc. (a) ........................... 226,848 2,359,219 Moog, Inc., Class A (a) ..................... 52,680 1,825,889 Mueller Industries, Inc. (b) ................ 30,635 1,077,433 Navigant Consulting Co. (a) ................. 50,257 1,008,155 Oshkosh Truck Corp. ......................... 40,540 2,046,054 Regal-Beloit Corp. .......................... 46,738 2,033,103 TBS International, Ltd., Class A (a) ........ 108,448 830,712 Universal Forest Products, Inc. (b) ......... 18,984 931,165 Watson Wyatt Worldwide, Inc., Class A (b) ... 30,800 1,260,336 Woodward Governor Co. (b) ................... 48,740 1,634,740 ------------- 25,273,976 ------------- Information Technology (21.0%) Avocent Corp. (a) ........................... 92,900 2,798,148 Commscope, Inc. (a) (b) ..................... 16,700 548,762 Comtech Telecommunications Corp. (a) (b) .... 77,873 2,607,188 Exar Corp. (a) .............................. 171,259 2,276,032 Imation Corp. (b) ........................... 44,855 1,800,928 Intersil Corp., Class A ..................... 13,630 334,617 Ixia (a) (b) ................................ 323,863 2,885,619 j2 Global Communications, Inc. (a) (b) ...... 33,400 907,478 KEMET Corp. (a) ............................. 95,688 772,202 Kronos, Inc. (a) ............................ 107,500 3,664,676 M-Systems Flash Disk Pioneers, Ltd. (a) (b) ............................. 12,500 503,000 Perot Systems Corp., Class A (a) ............ 122,600 1,690,654 Richardson Electronics, Ltd. ................ 166,283 1,501,535 Rimage Corp. (a) ............................ 48,585 1,089,276 TNS, Inc. (a) (b) ........................... 86,300 1,299,678 Varian Semiconductor Equipment Associates, Inc. (a) (b) ............................. 25,500 935,850 ViaSat, Inc. (a) ............................ 20,000 501,600 ------------- 26,117,243 ------------- Materials (4.3%) Gibraltar Industries, Inc. .................. 62,427 1,384,631 Glatfelter (b) .............................. 62,445 846,130 IAMGOLD Corp. (b) ........................... 60,000 509,400 Minerals Technologies, Inc. (b) ............. 26,915 1,437,260 Sensient Technologies Corp. ................. 15,500 303,335 Spartech Corp. (b) .......................... 32,740 876,450 ------------- 5,357,206 ------------- Utilities (2.4%) AGL Resources, Inc. (b) ..................... 19,710 719,415 Empire District Electric Co. (The) (b) ...... 29,760 666,029 Laclede Group, Inc. (The) ................... 14,368 460,925
Continued 54 Small Cap Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
SHARES OR FAIR PRINCIPAL AMOUNT VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Utilities, continued Nicor, Inc. (b) ............................. 9,230 $ 394,675 UIL Holdings Corp. .......................... 19,776 741,600 ------------- 2,982,644 ------------- Total Common Stocks (Cost $96,419,005) .................... 109,767,009 ------------- CORPORATE BONDS (0.1%) Industrials (0.1%) Mueller Industries, Inc., 6.00%, 11/1/14 .... $ 175,000 161,000 ------------- Total Corporate Bonds (Cost $175,000) ....................... 161,000 ------------- EXCHANGE TRADED FUNDS (4.2%) iShares Russell 2000 Growth Index Fund (b) .. 10,600 766,698 iShares Russell 2000 Index Fund (a) (b) ..... 42,500 3,058,725 iShares S&P SmallCap 600 Index Fund ......... 11,600 711,892 iShares S&P SmallCap 600 Growth Index Fund (b) ................................. 5,800 693,100 ------------- Total Exchange Traded Funds (Cost $5,025,632) ..................... 5,230,415 -------------
FAIR PRINCIPAL AMOUNT VALUE ---------------- ------------- REPURCHASE AGREEMENT (7.2%) U.S. Bank N.A., 5.05%, dated 9/29/06, maturing 10/2/06, with a maturity value of $8,941,721 (Collateralized fully by U.S. Government Agencies) ............. $ 8,937,960 $ 8,937,960 ------------- Total Repurchase Agreement (Cost $8,937,960) ..................... 8,937,960 ------------- SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (23.2%) Pool of Various Securities for BB&T Funds -- Note 2 -- Security Loans ........ 28,786,261 28,786,261 ------------- Total Securities Held as Collateral for Securities on Loan (Cost $28,786,261) .................... 28,786,261 ------------- Total Investments (Cost $139,343,858) -- 123.1% ............ 152,882,645 Net other assets (liabilities) -- (23.1)%.... (28,696,778) ------------- Net Assets -- 100.0% $ 124,185,867 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 55 International Equity Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS (95.1%) Australia (2.9%) Banks (0.8%) National Australia Bank, Ltd. ............... 76,288 $ 2,086,111 ------------- Property & Causulty Insurance (1.1%) QBE Insurance Group, Ltd. ................... 163,663 2,987,664 ------------- Transportation (1.0%) Qantas Airways, Ltd. ........................ 889,400 2,591,129 ------------- 7,664,904 ------------- Austria (0.4%) Telecommunications (0.4%) Telekom Austria AG .......................... 45,628 1,151,243 ------------- Belgium (1.5%) Banking & Insurance Services (1.1%) KBC Groep SA ................................ 27,203 2,864,436 ------------- Chemicals (0.4%) Solvay SA ................................... 8,401 1,086,460 ------------- 3,950,896 ------------- Finland (1.6%) Paper & Related Products (1.0%) UPM -- Kymmene, Oyj ......................... 106,100 2,520,969 ------------- Telecommunications (0.6%) Nokia OYJ ................................... 77,650 1,541,757 ------------- 4,062,726 ------------- France (7.6%) Insurance (1.7%) Axa ......................................... 118,475 4,368,213 ------------- Oil & Gas (2.4%) Total SA .................................... 95,046 6,236,297 ------------- Pharmaceuticals (1.2%) Sanofi-Aventis SA ........................... 36,375 3,237,597 ------------- Real Estate (0.5%) Unibail ..................................... 5,624 1,181,546 ------------- Telecommunications (1.8%) France Telecom SA ........................... 207,619 4,764,621 ------------- 19,788,274 ------------- Germany (7.4%) Automobiles & Trucks (0.5%) Bayerische Motoren Werke AG ................. 23,422 1,255,275 ------------- Banking & Finance (1.5%) Deutsche Postbank AG ........................ 37,403 2,839,689 IKB Deutsche Industriebank AG ............... 33,699 1,178,403 ------------- 4,018,092 ------------- Diversified Products (0.5%) Siemens AG .................................. 13,519 1,179,448 ------------- Electric Utilities (1.5%) E. On AG .................................... 33,389 3,967,090 ------------- Insurance (0.3%) Hannover Rueckversicherungs AG (a) .......... 16,304 685,475 ------------- Insurance-Multi-Line (2.0%) Allianz AG .................................. 29,242 5,060,095 ------------- Manufacturing (0.4%) Man AG ...................................... 13,026 1,100,433 -------------
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Germany, continued Retail (0.6%) Metro AG .................................... 27,792 $ 1,621,268 ------------- Telecommunications (0.1%) Premiere AG (a) ............................. 19,316 255,927 ------------- 19,143,103 ------------- Great Britain (22.4%) Advertising/Marketing (0.4%) WPP Group PLC ............................... 93,182 1,154,832 ------------- Banks (4.9%) Barclays PLC ................................ 510,815 6,445,434 Royal Bank of Scotland Group PLC ............ 177,779 6,120,555 ------------- 12,565,989 ------------- Beverages -- Wine & Spirits (2.2%) Cadbury Schweppes PLC ....................... 122,336 1,302,007 Diageo PLC .................................. 246,618 4,356,075 ------------- 5,658,082 ------------- Building & Construction (0.3%) Balfour Beatty PLC .......................... 95,013 732,395 ------------- Distribution/Wholesale (0.9%) Wolseley PLC ................................ 113,178 2,385,773 ------------- Diversified Operations/Commercial (0.2%) Rentokil Initial PLC ........................ 198,694 544,943 ------------- Electric -- Distribution (0.6%) Scottish & Southern Energy PLC .............. 62,100 1,532,271 ------------- Insurance (1.8%) Prudential Corp. PLC ........................ 383,033 4,757,795 ------------- Media (0.2%) ITV PLC ..................................... 284,224 514,802 ------------- Oil & Gas (2.5%) BP PLC ...................................... 594,623 6,478,781 ------------- Pharmaceuticals (1.2%) AstraZeneca PLC ............................. 16,877 1,054,655 GlaxoSmithKline PLC ......................... 74,996 1,996,486 ------------- 3,051,141 ------------- Research & Development (0.4%) Taylor Nelson Sofres PLC .................... 247,843 992,931 ------------- Retail -- Apparel (0.4%) GUS PLC ..................................... 62,462 1,129,592 ------------- Retail -- Building (0.8%) Kingfisher PLC .............................. 439,317 2,017,045 ------------- Retail -- Consumer Electronics (0.5%) Kesa Electricals PLC ........................ 193,780 1,181,740 ------------- Retail -- Food (1.5%) Tesco PLC ................................... 560,640 3,778,463 ------------- Telecommunication Services (2.4%) Vodafone Group PLC .......................... 2,761,487 6,320,050 ------------- Tobacco (1.2%) Gallaher Group PLC .......................... 188,860 3,090,154 ------------- 57,886,779 ------------- Hong Kong (1.7%) Manufacturing -- Consumer Goods (0.3%) Yue Yuen Industrial Holdings, Ltd. .......... 237,000 736,214 -------------
Continued 56 International Equity Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Hong Kong, continued Real Estate (0.5%) Sun Hung Kai Properties, Ltd. ............... 109,000 $ 1,189,984 ------------- Retail -- Diversified (0.5%) Esprit Asia Holdings, Ltd. .................. 142,500 1,299,628 ------------- Telecommunications (0.4%) Hutchison Telecommunications (a) ............ 644,000 1,139,135 ------------- 4,364,961 ------------- Ireland (2.8%) Banking & Finance (2.1%) Bank of Ireland ............................. 201,526 3,940,018 Depfa Bank PLC .............................. 86,071 1,591,098 ------------- 5,531,116 ------------- Building & Construction (0.7%) CRH PLC ..................................... 53,723 1,813,903 ------------- 7,345,019 ------------- Italy (1.7%) Banking & Finance (0.9%) UniCredito Italiano S.p.A. .................. 296,195 2,457,933 ------------- Oil & Gas (0.8%) Eni S.p.A. .................................. 68,254 2,022,411 ------------- 4,480,344 ------------- Japan (19.9%) Automobiles & Trucks (3.8%) Honda Motor Co., Ltd. ....................... 73,600 2,473,897 Mitsubishi Corp. ............................ 114,400 2,150,267 Nissan Motors Co., Inc. ..................... 227,200 2,544,963 Toyota Motor Corp. .......................... 51,000 2,772,162 ------------- 9,941,289 ------------- Banks (2.8%) Bank of Yokohama, Ltd. (The) ................ 199,000 1,566,929 Sumitomo Mitsui Financial Group, Inc. ....... 296 3,107,612 Sumitomo Trust & Banking Co., Ltd. .......... 162,000 1,695,301 Takefuji Corp. .............................. 22,130 1,015,533 ------------- 7,385,375 ------------- Brewery (0.6%) Asahi Breweries, Ltd. ....................... 113,700 1,657,704 ------------- Diversified Chemicals (1.6%) Nitto Denko Corp. ........................... 35,300 2,092,117 Shin-Etsu Chemical Co., Ltd. ................ 31,900 2,036,458 ------------- 4,128,575 ------------- Diversified Financials (0.4%) Nomura Holdings, Inc. ....................... 64,400 1,134,129 ------------- Drugs (0.3%) Tanabe Seiyaku Co., Ltd. .................... 72,000 902,210 ------------- Electric Products (0.8%) Funai Electric Co., Ltd. .................... 9,400 885,801 Yokogawa Electric Corp. ..................... 86,000 1,130,066 ------------- 2,015,867 ------------- Electronic Components (1.2%) Murata Manufacturing Co., Ltd. .............. 12,400 860,892 Rohm Co., Ltd. .............................. 23,300 2,164,093 ------------- 3,024,985 -------------
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Japan, continued Finance Services (0.4%) Aiful Corp. ................................. 26,350 $ 1,019,554 ------------- Industrial (1.0%) East Japan Railway Co. ...................... 224 1,566,540 SMC Corp. ................................... 7,800 1,032,207 ------------- 2,598,747 ------------- Insurance (0.9%) Mitsui Sumitomo Insurance Co., Ltd. ......... 181,000 2,263,458 ------------- Manufacturing (0.3%) NTN Corp. ................................... 108,000 854,051 ------------- Manufacturing-Diversified (0.4%) NOK Corp. ................................... 40,200 992,151 ------------- Office Equipment (1.1%) Canon, Inc. ................................. 54,100 2,821,573 ------------- Oil & Gas (0.4%) Tokyo Gas Co., Ltd. ......................... 203,000 1,017,492 ------------- Property & Causulty Insurance (0.4%) Sompo Japan Insurance, Inc. ................. 78,000 1,021,641 ------------- Real Estate (0.4%) Mitsui Fudosan Co., Ltd. .................... 42,000 954,788 ------------- Retail (0.6%) AEON Co., Ltd. .............................. 66,800 1,637,338 ------------- Retail -- Automobile (0.8%) Bridgestone Corp. ........................... 109,200 2,205,080 ------------- Telecommunications (1.2%) KDDI Corp. .................................. 146 909,796 NTT DoCoMo, Inc. ............................ 1,409 2,171,179 ------------- 3,080,975 ------------- Tobacco (0.5%) Japan Tobacco, Inc. ......................... 304 1,181,407 ------------- 51,838,389 ------------- Netherlands (10.1%) Air Freight & Logistics (1.1%) TNT NV ...................................... 74,637 2,830,435 ------------- Banking & Finance (3.8%) ABN AMRO Holding NV ......................... 302,134 8,810,694 ING Groep NV ................................ 30,370 1,335,770 ------------- 10,146,464 ------------- Electronic Equipment (0.8%) ASML Holding NV (a) ......................... 93,987 2,197,411 ------------- Electronics (1.0%) Koninklijke (Royal) Philips Electronics NV .. 71,476 2,507,564 ------------- Multi-Line Insurance (1.5%) Aegon NV .................................... 207,643 3,893,751 ------------- Publishing (1.1%) Reed Elsevier NV ............................ 166,144 2,770,085 ------------- Telecommunications (0.8%) Koninklijke (Royal) KPN NV .................. 157,762 2,012,255 ------------- 26,357,965 ------------- Norway (0.5%) Telecommunications (0.5%) Telenor ASA ................................. 102,300 1,334,457 -------------
Continued 57 International Equity Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Singapore (0.1%) Retail (0.1%) Jardine Cycle & Carriage, Ltd. .............. 28,908 $ 218,462 ------------- Spain (3.0%) Banking & Finance (2.2%) Banco Santander Central Hispano SA .......... 358,373 5,666,102 ------------- Petroleum (0.8%) Repsol-YPF SA ............................... 67,638 2,012,735 ------------- 7,678,837 ------------- Sweden (1.8%) Appliances (0.4%) Electrolux AB, Class B ...................... 62,800 1,020,135 ------------- Machinery & Equipment (0.5%) Sandvik AB .................................. 130,100 1,491,789 ------------- Manufacturing (0.3%) Husqvarna AB (a) ............................ 62,800 739,383 ------------- Telecommunications (0.6%) Telefonaktiebolaget LM Ericsson, B Shares ... 425,000 1,473,579 ------------- 4,724,886 Switzerland (9.7%) Banks (2.8%) Credit Suisse Group ......................... 125,036 7,236,505 ------------- Biotechnology (0.4%) Straumann Holding AG ........................ 4,714 1,015,314 ------------- Building Materials (0.9%) Holcim, Ltd. ................................ 29,168 2,384,585 -------------
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Switzerland, continued Chemicals (0.4%) Clariant AG ................................. 67,634 $ 914,339 ------------- Food Products (1.0%) Nestle SA ................................... 7,699 2,685,196 ------------- Insurance (0.6%) Swiss Re .................................... 21,880 1,674,999 ------------- Pharmaceuticals (3.6%) Novartis AG ................................. 67,910 3,965,627 Roche Holding AG ............................ 31,361 5,423,764 ------------- 9,389,391 ------------- 25,300,329 ------------- Total Common Stocks (Cost $182,608,966) ................... 247,291,574 ------------- EXCHANGE TRADED FUNDS (2.3%) United States (2.3%) iShares MSCI EAFE Index ..................... 87,000 5,891,640 ------------- Total Exchange Traded Funds (Cost $ 5,845,333) .................... 5,891,640 ------------- Total Investments (Cost $ 188,454,299) -- 97.4% ............ 253,183,214 Net other assets (liabilities) -- 2.6% ...... 6,715,867 ------------- Net Assets -- 100.0% ........................ $ 259,899,081 =============
CONTRACT AMOUNT CONTRACT UNREALIZED DELIVERY IN LOCAL VALUE FAIR APPRECIATION CURRENCY DATE CURRENCY IN US DOLLAR VALUE (DEPRECIATION) -------- -------- ---------- ------------ ----------- -------------- Short British Sterling Pound vs. U.S. Dollar ..... 11/27/06 L 675,000 $ 1,248,109 $ 1,264,517 $(16,408) British Sterling Pound vs. U.S. Dollar .. 11/27/06 3,790,000 7,167,080 7,100,029 67,051 British Sterling Pound vs. U.S. Dollar .. 11/27/06 2,475,000 4,709,057 4,636,561 72,496 -------- ---------- ----------- ----------- -------- Total Short Contracts ................ $13,124,246 $13,001,107 $123,139 =========== =========== ======== Long British Sterling Pound vs. U.S. Dollar .. 11/27/06 L 935,000 $ 1,728,020 $ 1,751,590 $ 23,570 -------- ---------- ----------- ----------- -------- Total Long Contracts ................. $ 1,728,020 $ 1,751,590 $ 23,570 =========== =========== ========
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 58 Special Opportunities Equity Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS (93.1%) Consumer Discretionary (18.9%) Comcast Corp., Class A (a) (b) .............. 255,500 $ 9,415,174 Costco Wholesale Corp. (b) .................. 109,500 5,439,960 Laureate Education, Inc. (a) (b) ............ 138,587 6,632,774 News Corp., Class A ......................... 423,500 8,321,775 WCI Communities, Inc. (a) (b) ............... 108,700 1,895,728 YUM! Brands, Inc. ........................... 137,900 7,177,695 ------------- 38,883,106 ------------- Consumer Staples (3.9%) Smithfield Foods, Inc. (a) .................. 295,540 7,985,491 ------------- Energy (17.6%) Apache Corp. (b) ............................ 131,000 8,279,200 CONSOL Energy, Inc. ......................... 238,500 7,567,605 Noble Corp. (b) ............................. 123,000 7,894,140 Pioneer Natural Resources Co. (b) ........... 134,000 5,242,080 Weatherford International, Ltd. (a) ......... 178,000 7,426,160 ------------- 36,409,185 ------------- Financials (6.7%) Markel Corp. (a) ............................ 14,600 5,995,636 Wells Fargo & Co. ........................... 217,500 7,869,150 ------------- 13,864,786 ------------- Health Care (15.7%) C.R. Bard, Inc. (b) ......................... 88,400 6,630,000 Emdeon Corp. (a) ............................ 626,500 7,336,315 KOS Pharmaceuticals, Inc. (a) ............... 191,000 9,439,220 MedCath Corp. (a) (b) ....................... 160,900 4,841,481 UnitedHealth Group, Inc. .................... 83,200 4,093,440 ------------- 32,340,456 ------------- Industrials (14.2%) J.B. Hunt Transport Services, Inc. (b) ...... 201,500 4,185,155 L-3 Communications Holdings, Inc. ........... 103,800 8,130,654 Nalco Holdings Co. (a) ...................... 451,500 8,361,780 PACCAR, Inc. ................................ 150,000 8,553,000 ------------- 29,230,589 -------------
SHARES OR PRINCIPAL FAIR AMOUNT VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Information Technology (16.1%) Activision, Inc. (a) (b) .................... 295,000 $ 4,454,500 ATI Technologies, Inc. (a) .................. 207,000 4,440,150 Checkfree Corp. (a) ......................... 113,500 4,689,820 Digital Insight Corp. (a) ................... 102,500 3,005,300 Fair Issac Corp. (b) ........................ 193,000 7,058,010 Symantec Corp. (a) (b) ...................... 451,500 9,607,920 ------------- 33,255,700 ------------- Total Common Stocks (Cost $154,279,456) ................... 191,969,313 ------------- INVESTMENT COMPANY (0.2%) Morgan Stanley Quality Municipal Income (b) ............................... 33,800 494,832 ------------- Total Investment Company (Cost $445,097) ....................... 494,832 ------------- REPURCHASE AGREEMENT (6.5%) U.S. Bank N.A., 5.05%, dated 9/29/06, maturing 10/2/06, with a maturity value of $13,500,699 (Collateralized fully by U.S. Government Agencies) ................ $ 13,495,020 13,495,020 ------------- Total Repurchase Agreement (Cost $13,495,020) .................... 13,495,020 ------------- SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (29.9%) Pool of Various Securities for BB&T Funds -- Note 2 -- Security Loans ........ 61,799,055 61,799,055 ------------- Total Securities Held as Collateral for Securities on Loan (Cost $61,799,055) .......................... 61,799,055 ------------- Total Investments (Cost $230,018,628) -- 129.7% ............ 267,758,220 Net other assets (liabilities) -- (29.7)% ... (61,324,221) ------------- Net Assets -- 100.0% ........................ $ 206,433,999 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 59 Equity Income Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE ---------------- ------------- COMMON STOCKS (94.0%) Consumer Discretionary (3.5%) KB Home (b) ................................. 95,000 $ 4,161,000 ------------- Consumer Staples (10.0%) Altria Group, Inc. .......................... 31,420 2,405,201 Diageo PLC, ADR ............................. 28,500 2,024,640 General Mills, Inc. ......................... 54,000 3,056,400 Kimberly-Clark Corp. (b) .................... 67,000 4,379,120 ------------- 11,865,361 ------------- Energy (18.8%) ChevronTexaco Corp. (b) ..................... 72,500 4,702,350 ConocoPhillips .............................. 64,500 3,839,685 Kinder Morgan Management, LLC (a) (b) ....... 120,479 5,086,623 Natural Resource Partners L.P. .............. 7,800 391,482 Natural Resource Partners L.P. .............. 90,800 4,631,708 Petroleo Brasileiro SA, ADR ................. 45,000 3,772,350 ------------- 22,424,198 ------------- Financials (24.2%) CitiGroup, Inc. ............................. 72,885 3,620,198 Endurance Specialty Holdings, Ltd. .......... 137,000 4,830,620 Equity Inns, Inc., REIT ..................... 234,400 3,731,648 First Industrial Realty Trust, REIT ......... 110,000 4,840,000 Mills Corp. (The), REIT (b) ................. 49,000 818,790 U.S. Bancorp ................................ 99,000 3,288,780 Washington Real Estate Investment Trust, REIT (b) ................................. 93,500 3,721,300 Weingarten Realty Investors, REIT (b) ....... 89,500 3,850,290 ------------- 28,701,626 ------------- Health Care (8.2%) Abbott Laboratories ......................... 96,500 4,686,040 Pfizer, Inc. ................................ 179,500 5,090,620 ------------- 9,776,660 ------------- Industrials (3.6%) General Electric Co. ........................ 122,900 4,338,370 -------------
SHARES OR PRINCIPAL FAIR AMOUNT VALUE ---------------- ------------- COMMON STOCKS, CONTINUED Information Technology (11.1%) Microchip Technology, Inc. .................. 139,000 $ 4,506,380 Nokia Corp., ADR (b) ........................ 214,000 4,213,660 Taiwan Semiconductor Manufacturing Co., Ltd., ADR (b) .................................. 473,000 4,540,800 ------------- 13,260,840 ------------- Materials (3.4%) E.I. DuPont de Nemours & Co. ................ 95,000 4,069,800 ------------- Telecommunication Services (3.8%) AT&T, Inc. (b) .............................. 140,500 4,574,680 ------------- Utilities (7.4%) Dominion Resources, Inc., Virginia (b)....... 57,500 4,398,175 Pinnacle West Capital Corp. (b) ............. 98,000 4,414,900 ------------- 8,813,075 ------------- Total Common Stocks (Cost $96,350,118) .................... 111,985,610 ------------- REPURCHASE AGREEMENT (5.6%) U.S. Bank N.A., 5.05%, dated 9/29/06, maturing 10/2/06, with a maturity value of $6,676,368 (Collateralized fully by U.S. Government Agencies) ................ $ 6,673,560 6,673,560 ------------- Total Repurchase Agreement (Cost $6,673,560) ..................... 6,673,560 ------------- SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (25.8%) Pool of Various Securities for BB&T Funds -- Note 2 -- Security Loans ................. 30,739,802 30,739,802 ------------- Total Securities Held as Collateral for Securities on Loan (Cost $30,739,802) .......................... 30,739,802 ------------- Total Investments (Cost $133,763,480) -- 125.4% ............ 149,398,972 Net other assets (liabilities) -- (25.4)% ... (30,282,293) ------------- Net Assets -- 100.0% ........................ $ 119,116,679 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 60 Short U.S. Government Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL FAIR AMOUNT VALUE ---------------- ------------- U.S. GOVERNMENT AGENCIES (47.4%) Federal Farm Credit Bank (8.2%) 4.13%, 4/15/09 .............................. $ 5,000,000 $ 4,900,500 5.38%, 7/18/11 .............................. 1,000,000 1,017,733 ------------- 5,918,233 ------------- Federal Home Loan Bank (12.1%) 3.25%, 12/17/07 (b) ......................... 3,000,000 2,936,154 3.63%, 11/14/08 (b) ......................... 4,000,000 3,891,256 4.63%, 2/18/11, Series 616 .................. 2,000,000 1,976,440 ------------- 8,803,850 ------------- Federal Home Loan Mortgage Corporation (12.1%) 3.25%, 2/25/08 (b) .......................... 4,000,000 3,899,916 3.50%, 4/1/08 ............................... 5,000,000 4,889,590 ------------- 8,789,506 ------------- Federal National Mortgage Assoc. (15.0%) 3.88%, 5/15/07 (b) .......................... 4,000,000 3,966,116 4.63%, 1/15/08 (b) .......................... 7,000,000 6,962,270 ------------- 10,928,386 ------------- Total U.S. Government Agencies (Cost $34,707,587) .................. 34,439,975 ------------- MORTGAGE-BACKED SECURITIES (28.5%) Federal Home Loan Mortgage Corporation (10.4%) 5.00%, 12/1/08, Pool # M80714 ............... 524,043 519,703 4.50%, 1/1/10, Pool # M80792 ................ 1,715,348 1,689,902 3.50%, 10/15/10, Series 2786, Class PA ...... 1,528,738 1,519,412 4.50%, 1/15/11, Pool # 2782 ................. 1,625,463 1,615,091 6.50%, 5/1/13, Pool # E00548 ................ 255,546 260,186 3.50%, 8/15/16, Series 2866, Class WE ....... 1,206,637 1,195,075 6.00%, 9/1/16, Pool # E01049 ................ 718,873 729,281 ------------- 7,528,650 ------------- Federal National Mortgage Assoc. (18.1%) 4.50%, 1/1/10, Pool # 254626 ................ 1,388,965 1,360,449 4.50%, 9/25/12, Series 2002-82, Class XJ .... 104,143 103,808 6.50%, 8/1/13, Pool # 251901 ................ 578,687 591,696 6.00%, 3/1/16, Pool # 253702 ................ 446,496 453,502 6.00%, 4/1/16, Pool # 535846 ................ 443,903 450,868
PRINCIPAL FAIR AMOUNT VALUE ---------------- ------------- MORTGAGE-BACKED SECURITIES, CONTINUED Federal National Mortgage Assoc., continued 6.50%, 4/1/16, Pool # 253706 ................ $ 742,722 $ 759,315 6.00%, 8/1/16, Pool # 545125 ................ 320,875 325,895 5.00%, 11/1/17, Pool # 254510 ............... 1,815,035 1,789,647 5.00%, 12/1/17, Pool # 254545 ............... 1,948,644 1,921,388 4.50%, 3/1/18, Pool # 555292 ................ 2,815,546 2,724,900 6.00%, 4/25/18, Series 2002-27, Class VB .... 2,500,922 2,498,575 2.75%, 6/25/34, Series 2004-W4, Class AI .... 149,702 149,194 ------------- 13,129,237 ------------- Total Mortgage-Backed Securities (Cost $20,963,699) .................... 20,657,887 ------------- U.S. Treasury Notes (19.7%) 4.38%, 1/31/08 .............................. 2,000,000 1,988,124 3.75%, 5/15/08 (b) .......................... 1,500,000 1,476,621 4.00%, 4/15/10 (b) .......................... 2,000,000 1,961,484 4.25%, 10/15/10 (b) ......................... 9,000,000 8,888,202 ------------- Total U.S. Treasury Notes (Cost $14,368,890) .................... 14,314,431 ------------- REPURCHASE AGREEMENT (3.2%) U.S. Bank N.A., 5.05%, dated 9/29/06, maturing 10/2/06, with a maturity value of $2,303,694 (Collateralized fully by U.S. Government Agencies) ............. 2,302,725 2,302,725 ------------- Total Repurchase Agreement (Cost $2,302,725) ..................... 2,302,725 ------------- SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (47.7%) Pool of Various Securities for BB&T Funds -- Note 2 -- Security Loans ........ 34,618,745 34,618,745 ------------- Total Securities Held as Collateral for Securities on Loan (Cost $34,618,745) .... 34,618,745 ------------- Total Investments (Cost $106,961,646) --146.5% ............. 106,333,763 Net other assets (liabilities) -- (46.5)% ... (33,729,534) ------------- Net Assets -- 100.0% ........................ $ 72,604,229 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 61 Intermediate U.S. Government Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MORTGAGE-BACKED SECURITIES (43.8%) Federal Home Loan Mortgage Corp. (17.7%) 5.13%, 10/15/15, Series R003, Class AG ...... $ 22,269,077 $ 22,075,328 4.50%, 5/1/34, Pool # A21214 ................ 9,064,433 8,490,680 4.50%, 2/1/18, Pool # E94445 ................ 7,689,143 7,428,973 5.50%, 2/1/29, Pool # A18613 ................ 6,921,981 6,863,891 5.00%, 7/15/23, Series 2638, Class DH ....... 2,302,000 2,222,988 ------------- 47,081,860 ------------- Federal National Mortgage Assoc. (26.1%) 5.00%, 1/1/18, Pool # 650205 ................ 6,440,624 6,346,350 4.50%, 3/1/18, Pool # 555292 ................ 5,631,093 5,449,802 5.50%, 1/1/33, Pool # 678321 ................ 2,156,487 2,131,923 5.00%, 7/1/33, Pool # 724965 ................ 3,826,185 3,689,618 5.00%, 8/1/33, Pool # 738751 ................ 1,660,403 1,601,340 5.00%, 8/1/33, Pool # 724365 ................ 1,249,017 1,204,683 5.00%, 10/1/33, Pool # 753298 ............... 1,006,976 971,328 4.50%, 9/1/34, Pool # 725866 ................ 8,507,447 7,947,496 6.50%, 11/1/34, Pool # 783476 ............... 3,791,327 3,863,504 5.50%, 5/1/35, Pool # 825530 ................ 15,930,935 15,695,747 5.50%, 9/1/35, Pool # 835787 ................ 10,972,779 10,810,788 7.00%, 8/1/36, Pool # 256360 ................ 9,762,660 10,028,503 ------------- 69,741,082 ------------- Total Mortgage-Backed Securities (Cost $118,702,277) ................... 116,822,942 ------------- U.S. TREASURY BONDS & NOTES (31.9%) 3.38%, 1/15/07 .............................. 5,000,000 6,366,457 4.88%, 7/31/11 .............................. 54,000,000 54,626,508 4.00%, 2/15/15 .............................. 25,000,000 23,930,675 ------------- Total U.S. Treasury Bonds & Notes (Cost $84,707,318) .................... 84,923,640 ------------- U.S. GOVERNMENT AGENCIES (15.3%) Federal Home Loan Mortgage Corp. (11.4%) 5.88%, 3/21/11 (b) .......................... 15,000,000 15,465,450 5.00%, 11/13/14, Series MTN, Callable 11/13/06 @100 (b) ........................ 15,000,000 14,829,705 ------------- 30,295,155 -------------
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- U.S. GOVERNMENT AGENCIES, CONTINUED Federal National Mortgage Assoc. (1.9%) 5.13%, 1/2/14 (b) ........................... $ 5,000,000 $ 4,986,130 ------------- Sovereign (2.0%) Tennessee Valley Authority, 6.79%, 5/23/12 ........................... 5,000,000 5,450,100 ------------- Total U.S. Government Agencies (Cost $41,279,881) .................... 40,731,385 ------------- U.S. GOVERNMENT BACKED SECURITIES (7.9%) Banking & Financial Services (7.9%) Private Export Funding, 4.97%, 8/15/13 ...... 4,350,000 4,363,607 Private Export Funding, 4.55%, 5/15/15 ...... 10,000,000 9,716,450 Private Export Funding, 4.95%, 11/15/15 ..... 7,000,000 7,002,751 ------------- Total U.S. Government Backed Securities (Cost $21,638,756) ..................... 21,082,808 ------------- REPURCHASE AGREEMENT (0.8%) U.S. Bank N.A., 5.05%, dated 9/29/06, maturing 10/2/06, with a maturity value of $2,047,349 (Collateralized fully by U.S. Government Agencies) ..................... 2,046,488 2,046,488 ------------- Total Repurchase Agreement (Cost$ 2,046,488) ..................... 2,046,488 ------------- SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (13.5%) Pool of Various Securities for BB&T Funds -- Note 2 --Security Loans ......... 35,975,000 35,975,000 ------------- Total Securities Held as Collateral for Securities on Loan (Cost $35,975,000) 35,975,000 ------------- Total Investments (Cost $304,349,720) -- 113.2% ............ 301,582,263 Net other assets (liabilities) -- (13.2)% ... (35,205,721) ------------- Net Assets -- 100.0% ........................ $ 266,376,542 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 62 Total Return Bond Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- CORPORATE BONDS (40.3%) Aerospace & Defense (0.4%) Raytheon Co., 6.15%, 11/1/08 ................ $ 1,425,000 $ 1,449,581 ------------- Airlines (0.8%) Southwest Airlines Co., 5.25%, 10/1/14 ...... 2,980,000 2,907,792 ------------- Auto -- Cars/Light Trucks (0.6%) DaimlerChrysler, 4.88%, 6/15/10 ............. 2,230,000 2,166,675 ------------- Banking & Financial Services (29.8%) Accredited Mortgage Loan Trust, Series 2005-4, Class A2B, 5.47%, 12/25/35 (d)* .. 2,070,000 2,070,910 American Express Credit Account Master Trust, 5.33%, 3/15/11 (d)* ...................... 3,840,000 3,834,382 Bank of America Commercial Mortgage, Inc., 4.81%, 12/10/42, Series 2004-6, Class A5 ................................. 1,863,000 1,799,015 Bank of America Corp., 4.25%, 10/1/10 (d) ... 975,000 945,013 Bank of America Corp., 5.39%, Series 2006-5 Class A3, 2/10/14 (f) .................... 2,427,000 2,439,236 Boeing Capital Corp., 7.38%, 9/27/10 ........ 3,010,000 3,244,931 Chase Credit Card Master Trust, Series 2003-3, Class A, 5.44%, 10/15/10 (d) ..... 1,730,000 1,733,167 Chase Funding Mortgage Loan Asset-Backed, 5.42%, 5/25/33, Series 2003-4, Class 1A5 ................................ 5,295,000 5,257,460 CIT Group, Inc., 5.00%, 2/13/14 ............. 1,378,000 1,332,117 CitiGroup Credit Card Issuance Trust, 5.61%, Series 2003-A1, Class A1, 1/15/10 (d)* ... 330,000 330,478 Countrywide Asset-Backed Certificates, 5.70%, 8/25/34, Series 2004-3, Class 3A3 (d)* ... 7,960,000 7,989,445 Countrywide Asset-Backed Certificates, 5.53%, 10/25/35, Series 2005-4, Class 3AV2 (d)* ................................ 3,628,751 3,632,167 Credit-Based Asset Servicing and Securitization, 4.83%, 8/25/35, Series 2005- CB5, Class AF2* .................... 4,150,000 4,096,742 CS First Boston Mortgage Securities Corp., 3.52%, 1/15/37, Series 2004-C1, Class A2 . 3,910,000 3,795,055 ERP Operating LP, 5.13%, 3/15/16 ............ 1,950,000 1,883,710 Gatx Financial Corp., 5.13%, 4/15/10 ........ 3,599,000 3,555,567 General Electric Capital Commercial Mortgage Corp., 3.92%, 11/10/38, Series 2004-C1, Class A2 ................................. 5,560,000 5,368,958 Goldman Sachs Group, Inc., 5.125%, 1/15/15 .................................. 1,995,000 1,934,147 JPMorgan Chase Commercial Mortgage Securities, 5.41%, Series 2005-A816 11/25/35, Class 1A1 ...................... 5,509,493 5,438,041 JPMorgan Chase Commercial Mortgage Securities, 5.58%, Series 2006-CB16, 5/12/45, Class A3B ....................... 3,100,000 3,135,704 Lehman Brothers Holdings, Inc., 4.80%, 3/13/14, Series MTNG ..................... 3,642,000 3,493,672 MBNA Credit Card Master Note Trust, 5.45%, 8/16/10, Series 2003-A3, Class A3 (d)* ... 2,240,000 2,243,847 MBNA Credit Card Master Note Trust, Series 00-D, Class A, 5.53%, 8/16/10* ........... 3,460,000 3,464,149 Merrill Lynch & Co., 6.00%, 2/17/09 (b) ..... 3,435,000 3,492,018 Merrill Lynch/Countrywide Commercial Mortgage, 5.39%, 7/12/46 ................. 2,700,000 2,714,732 Morgan Stanley, 4.25%, 5/15/10 (b) .......... 3,614,000 3,494,810 Residential Asset Mortgage Products, Inc., 4.02%, 3/25/33, Series 2003-RS4, Class AI6 ................................ 3,923,865 3,763,754
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- CORPORATE BONDS, CONTINUED Banking & Financial Services, continued Residential Asset Mortgage Products, Inc., 5.58%, 11/25/35, Series 2005-RZ4, Class A2 (d)* ............................ $ 3,031,000 $ 3,036,564 Residential Asset Securities Corp., 5.48%, 7/25/35, Series 2005-KS6, Class A2 (d)* .. 6,632,000 6,634,893 Structured Asset Investment Loan Trust, 5.54%, 1/25/36, Series 2005-11, Class A6 (d)* ............................ 5,531,000 5,542,543 Synovus Financial Corp., 4.88%, 2/15/13 ..... 2,280,000 2,226,119 Wachovia Corp., 4.38%, 6/1/10 (b) ........... 1,827,000 1,783,581 Wells Fargo Co., 5.30%, 8/26/11 (b) ......... 3,840,000 3,865,647 Wells Fargo Home Equity Trust, Series 2004-2, Class AI3, 3.97%, 9/25/24 ........ 3,162,000 3,095,459 ------------- 112,668,033 ------------- Correctional Institutions (0.5%) Corrections Corp. of America, 6.25%, 3/15/13, Callable 3/15/09 @ 103.125 ...... 1,840,000 1,803,200 ------------- Information Technology (2.4%) Cisco Systems Inc., 5.50%, 2/1/16 ........... 1,940,000 1,955,429 Electric Data Systems, Series B, 6.50%, 8/1/13 ................................... 3,481,000 3,531,217 Oracle Corp., 5.00%, 1/15/11 (b) ............ 3,605,000 3,570,561 ------------- 9,057,207 ------------- Office Automation & Equipment (0.2%) Xerox Corp., 6.40%, 3/15/16 ................. 920,000 915,400 ------------- Oil -- Field Services (0.2%) Halliburton Co., 8.75%, 2/15/21 ............. 475,000 603,249 ------------- Paper & Related Products (0.8%) International Paper Co., 6.75%, 9/1/11 ...... 3,013,000 3,199,460 ------------- Retail (0.4%) Lowe's Companies, Inc., 8.25%, 6/1/10 ....... 1,468,000 1,617,840 ------------- Telecommunications (1.4%) America Movil SA de CV, 5.75%, 1/15/15 (b) .. 1,314,000 1,294,098 Motorola, Inc., 7.50%, 5/15/25 (b) .......... 3,570,000 4,127,359 ------------- 5,421,457 ------------- Utilities (2.8%) American Electric Power, 5.38%, 3/15/10, Series C ................................. 4,620,000 4,620,707 FirstEnergy Corp., 6.45%, 11/15/11 (b) ...... 1,910,000 1,992,466 General Electric Capital Corp., 5.00%, 1/8/16 (b) ............................... 2,005,000 1,963,338 General Electric Co., 5.00%, 2/1/13 (b) ..... 2,140,000 2,115,820 ------------- 10,692,331 ------------- Total Corporate Bonds (Cost $153,153,664) ................... 152,502,225 ------------- MORTGAGE-BACKED SECURITIES (35.8%) Federal Home Loan Mortgage Corp. (13.7%) 6.00%, 10/1/19, Pool # G11679 ............... 2,389,928 2,423,614 5.00%, 5/1/20, Pool # B19275 ................ 3,360,401 3,302,233 5.50%, 11/1/20, Pool # J02711 ............... 1,612,820 1,611,864 5.50%, 3/1/21, Pool # J01432 ................ 560,735 560,633 5.00%, 7/1/25, Pool # C90908 ................ 2,880,002 2,797,985 4.50%, 6/1/35, Pool # G01842 ................ 2,289,596 2,140,531 5.50%, 6/1/35, Pool # A35148 ................ 5,466,473 5,393,620 5.50%, 7/1/35, Pool # A36540 ................ 3,412,036 3,366,564
Continued 63 Total Return Bond Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MORTGAGE-BACKED SECURITIES, CONTINUED Federal Home Loan Mortgage Corp., continued 6.00%, 7/1/35, Pool # A36304 ................ $ 1,537,383 $ 1,545,434 5.50%, 8/1/35, Pool # A36652 ................ 1,373,016 1,354,718 5.00%, 9/1/35, Pool # A37961 ................ 1,835,253 1,766,047 5.50%, 9/1/35, Pool # G08080 ................ 1,031,649 1,017,900 5.50%, 12/1/35, Pool # A40359 ............... 1,614,462 1,592,946 5.50%, 4/1/36, Pool # A44445 ................ 4,206,145 4,148,492 6.50%, 5/1/36, Pool # A48509 ................ 2,263,085 2,305,347 5.00%, 7/1/36, Pool # G02291 ................ 686,034 659,827 5.92%, 7/1/36, Pool # 1G2448 ................ 3,074,887 3,084,387 5.87%, 8/1/36, Pool # 1B7116 ................ 3,636,137 3,642,800 5.87%, 8/1/36, Pool # 1G1094 ................ 3,654,371 3,662,810 5.56%, 10/15/36, Pool # 10036 (f) ........... 5,910,000 5,682,831 ------------- 52,060,583 ------------- Federal National Mortgage Assoc. (18.9%) 6.00%, 10/1/13, Pool # 252061 ............... 154,046 156,410 5.50%, 4/1/18, Pool # 685496 ................ 238,400 238,292 4.50%, 6/1/19, Pool # 780349 ................ 3,290,488 3,174,860 5.00%, 8/1/20, Pool # 832058 ................ 389,336 382,589 5.00%, 8/1/20, Pool # 838787 ................ 600,494 590,089 5.50%, 11/1/20, Pool # 843972 ............... 1,407,255 1,406,618 5.50%, 12/1/20, Pool # 831138 ............... 1,758,840 1,758,044 5.50%, 5/1/21, Pool # 895628 ................ 3,226,917 3,225,455 5.00%, 9/1/25, Pool # 255892 ................ 1,737,390 1,686,598 6.50%, 1/1/35, Pool # 809198 ................ 1,351,088 1,375,897 5.50%, 3/1/35, Pool # 787561 ................ 6,500,895 6,404,923 5.50%, 4/1/35, Pool # 822982 ................ 4,928,171 4,864,585 6.00%, 4/1/35, Pool # 735503 (b) ............ 501,284 503,596 7.00%, 6/1/35, Pool # 255820 ................ 1,148,337 1,179,608 7.00%, 6/1/35, Pool # 830686 ................ 1,365,792 1,402,984 5.00%, 9/1/35, Pool # 757857 ................ 1,448,078 1,391,684 5.50%, 10/1/35, Pool # 817568 ............... 2,670,588 2,632,368 6.00%, 10/1/35 (f) .......................... 14,637,000 14,701,038 5.00%, 11/1/35, Pool # 844280 ............... 4,516,350 4,340,465 5.50%, 2/1/36, Pool #256101 ................. 2,237,810 2,205,784 5.50%, 2/1/36, Pool # 831295 ................ 1,310,480 1,291,726 6.50%, 3/1/36, Pool # 866062 ................ 2,428,640 2,473,234 5.62%, 5/1/36, Pool # 871259 ................ 3,329,329 3,299,124 6.50%, 7/1/36, Pool # 887293 ................ 2,206,428 2,246,942 5.95%, 8/1/36, Pool # 900502 ................ 3,713,846 3,731,941 5.56%, 10/25/36 (f) ......................... 4,840,000 4,650,940 ------------- 71,315,794 ------------- Government National Mortgage Assoc. (3.2%) 5.00%, 10/1/35 (f) .......................... 12,549,862 12,189,053 ------------- Total Mortgage-Backed Securities (Cost $136,272,217) ................... 135,565,430 ------------- U.S. TREASURY NOTES (16.9%) 2.00%, 1/15/14 .............................. 8,774,000 9,478,572 2.00%, 1/15/16 .............................. 2,021,000 2,024,556 7.25%, 5/15/16 (b) .......................... 5,145,000 6,166,365 8.88%, 8/15/17 (b) .......................... 25,907,000 35,000,771 7.88%, 2/15/21 (b) .......................... 8,532,000 11,212,251 ------------- Total U.S. Treasury Notes (Cost $62,104,796) .................... 63,882,515 ------------- U.S. GOVERNMENT AGENCIES (10.0%) Federal Home Loan Bank (1.7%) 4.85%, 8/10/10, Callable 2/10/07 @ 100 (b) ................................ 4,130,000 4,075,484
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- U.S. GOVERNMENT AGENCIES, CONTINUED Federal Home Loan Bank, continued Series FB11, 5.88%, 2/15/11 (b) ............. $ 2,335,000 $ 2,409,879 ------------- 6,485,363 ------------- Federal Home Loan Mortgage Corp. (2.8%) Series MTN, 4.50%, 6/15/10, Callable 6/15/06 @ 100 (b) ........................ 1,995,000 1,956,894 4.88%, 11/15/13 ............................. 5,202,000 5,175,069 5.50%, 7/15/16, Series 3061 Class VU (b) .... 3,614,127 3,639,970 ------------- 10,771,933 ------------- Federal National Mortgage Assoc. (5.5%) 7.25%, 1/15/10, Series B (b) ................ 6,440,000 6,892,725 6.13%, 3/15/12 (b) .......................... 4,328,000 4,572,878 5.50%, 11/25/16, Series 2005-120 Class VA ................................. 5,110,391 5,118,954 5.50%, 10/25/24, Series 2006-18, Class CA ................................. 3,426,994 3,436,265 4.40%, 11/25/33, Series 2003-W16, Class AF5 ................................ 690,000 680,691 ------------- 20,701,513 ------------- Total U.S. Government Agencies (Cost $37,429,350) .................... 37,958,809 ------------- MUNICIPAL BONDS (6.1%) California (1.4%) Fresno County, California, Pension Obligation, Series A, 4.20%, 8/15/13, FGIC ..................................... 4,060,000 3,854,117 San Bernardino County, California, Financing Authority, Pension Obligation Revenue, 6.87%, 8/1/08, MBIA ...................... 1,685,000 1,737,454 ------------- 5,591,571 ------------- Florida (1.4%) Gainesville, Florida, Post Employment Benefits Obligation, 4.68%, 10/1/13 ...... 1,235,000 1,202,631 Gainesville, Florida, Post Employment Benefits Obligation, 4.71%, 10/1/14 ...... 2,580,000 2,507,941 Palm Beach County, Florida, 5.74%, 6/1/12 ................................... 690,000 711,017 Palm Beach County, Florida, 5.78%, 6/1/13 ................................... 985,000 1,019,977 ------------- 5,441,566 ------------- Illinois (1.0%) Chicago, Illinois, Series B, 5.25%, 1/1/12, XLCA ..................................... 2,185,000 2,199,771 Illinois State, 3.75%, 6/1/12 ............... 1,535,000 1,433,383 ------------- 3,633,154 ------------- New York (1.3%) New York State, Series D, 5.20%, 4/15/11 .... 2,230,000 2,238,875 New York State, Series D, 5.21%, 4/15/12 .... 855,000 863,328 Sales Tax Asset Receivables Corp., Series B, 4.06%, 10/15/10, FGIC .................... 1,735,000 1,674,431 ------------- 4,776,634 ------------- Texas (0.6%) Brownsville, Texas, Utility System, Series B, 4.92%, 9/1/14, AMBAC ..................... 2,470,000 2,435,544 -------------
Continued 64 Total Return Bond Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS, CONTINUED Wisconsin (0.4%) Wisconsin State General Revenue, Series A, 4.80%, 5/1/13 ............................ $ 1,380,000 $ 1,353,986 ------------- Total Municipal Bonds (Cost $ 23,020,949) ................... 23,232,455 ------------- U.S. TREASURY BONDS (3.3%) 8.75%, 5/15/17 (b) ....................... 9,380,000 12,524,495 ------------- Total U.S. Treasury Bonds (Cost $ 12,405,511) ................... 12,524,495 ------------- REPURCHASE AGREEMENT (3.3%) U.S. Bank N.A., 5.05%, dated 9/29/06, maturing 10/2/06, with a maturity value of $12,554,812 (Collateralized fully by U.S. Government Agencies) ..................... 12,549,531 12,549,531 ------------- Total Repurchase Agreement (Cost $ 12,549,531) ................... 12,549,531 -------------
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- SECURITIES HELD AS COLLATERAL FOR SECURITIES ON LOAN (25.8%) Pool of Various Securities for BB&T Funds -- Note 2 -- Security Loans ................. $ 97,576,279 $ 97,576,279 ------------- Total Securities Held as Collateral for Securities on Loan (Cost $ 97,576,279) ... 97,576,279 ------------- Total Investments (Cost $ 534,512,297) -- 141.5% ........... 535,791,739 Net other assets (liabilities) -- (41.5)% ... (157,043,365) ------------- Net Assets -- 100.0% ........................ $ 378,748,374 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 65 Kentucky Intermediate Tax-Free Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS (101.0%) Kentucky (101.0%) Allen County, KY, School District Finance Corp., Revenue, 5.25%, 4/1/10, Prerefunded 4/1/07 @ 102 ............................. $ 455,000 $ 467,945 Bell County, KY, Public Properties Corp., Revenue, 5.40%, 9/1/13, Prerefunded 3/1/11 @ 102 .................................... 160,000 174,336 Daviess County, KY, Public Improvements Corp., Refunding Revenue, Series A, 5.60%, 10/1/06, OID ............................. 245,000 245,012 Harlan County, KY, School District, School Building Revenue, 4.25%, 7/1/16, MBIA .... 500,000 517,760 Hopkins County, KY, Correctional Facilities Improvements, G.O., 5.38%, 2/1/09, FGIC .. 180,000 187,371 Jefferson County, KY, Capital Projects Corp., Revenue, 5.20%, 6/1/08, Callable 6/1/07 @ 102, MBIA .............................. 295,000 302,481 Kentucky Area Development District Finance Trust Revenue, Series E, 5.40%, 6/1/14, Callable 6/1/10 @ 102, Wachovia Bank N.A. ..................................... 220,000 234,995 Kentucky Area Development District Financing, Certificates of Participation, Series L, 5.15%, 5/1/36, Callable 5/1/16 @ 100 ..... 505,000 528,972 Kentucky Area Development District Financing, Certificates of Participation, Series M, 4.30%, 8/1/09, Callable 8/1/07 @ 100 ..... 250,000 250,250 Kentucky Asset/Liability Commission General Receipts Revenue, 5.00%, 10/1/15 ......... 480,000 525,691 Kentucky Economic Development Finance Authority Revenue, Series A, 5.75%, 12/1/15, Prerefunded 6/1/10 @ 101, OID ... 500,000 532,840 Kentucky Housing Corp., Revenue, Series D, 5.20%, 7/1/07, FHA ....................... 65,000 65,543 Kentucky State Property & Buildings Commission Refunding Revenue, Project No. 76, 5.50%, 8/1/21, AMBAC ............. 620,000 724,805 Kentucky State Property & Buildings Commission Refunding Revenue, Project No. 83, 5.00%, 10/1/18, AMBAC ............ 250,000 276,163 Kentucky State Property & Buildings Commission Revenue, 5.15%, 2/1/22, FSA ... 30,000 32,264 Kentucky State Property & Buildings Commission Revenue, 5.00%, 10/1/22, Prerefunded 10/1/13 @ 100, FSA ........... 465,000 502,898 Kentucky State Property & Buildings Commission Revenue, Project No. 67, 5.50%, 9/1/12, Prerefunded 9/1/10 @ 100 ......... 500,000 535,450 Kentucky State Property & Buildings Commission Revenue, Project No. 69, Series A, 5.50%, 8/1/11, FSA .................... 540,000 586,089 Kentucky State Property & Buildings Commission Revenue, Project No. 73, 5.25%, 11/1/11 ........................... 400,000 429,600 Kentucky State Property & Buildings Commission Revenue, Project No. 74, 5.38%, 2/1/14, Prerefunded 2/1/12 @ 100, FSA .... 500,000 543,165 Kentucky State Property & Buildings Commission Revenue, Project No. 81, 5.00%, 11/1/16, Callable 11/1/13 @ 100, AMBAC ... 500,000 539,220
SHARES OR PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS, CONTINUED Kentucky, continued Kentucky State Turnpike Authority Refunding Revenue, Revitalization Project, Series A, 5.50%, 7/1/11, AMBAC ..................... $ 200,000 $ 216,824 Kentucky State Turnpike Authority Refunding Revenue, Revitalization Project, Series A, 5.50%, 7/1/12, AMBAC ..................... 500,000 548,415 Kentucky State Turnpike Authority Refunding Revenue, Revitalization Project, Series A, 5.50%, 7/1/15, AMBAC ..................... 270,000 304,757 Kentucky State Turnpike Authority Revenue, Series B, 5.00%, 7/1/16, AMBAC ........... 500,000 548,075 Larue County, KY, School District, School Building Revenue, 4.25%, 7/1/15, MBIA .... 245,000 253,874 Leslie County, KY, Detention Facilities Improvement Project, G.O., 4.75%, 12/1/35, Callable 12/1/15 @ 100, OID .............. 600,000 599,964 Louisville & Jefferson Counties, KY, Metropolitan Sewer District Revenue, Series A, 5.00%, 5/15/10, MBIA .................. 55,000 57,728 Louisville & Jefferson County, KY, Metropolitan Government Health Systems Revenue, Norton Healthcare, Inc., 5.00%, 10/1/26, Callable 10/1/16 @ 100 .......... 500,000 515,895 Louisville & Jefferson County, KY, Metropolitan Sewer District Revenue, Series A, 5.00%, 5/15/36, Callable 11/15/11 @ 101, MBIA, OID ................ 835,000 879,764 Louisville & Jefferson County, KY, Metropolitan Sewer District Revenue, Series A, 5.00%, 5/15/38, Callable 5/15/14 @ 101, FGIC .............................. 340,000 358,006 Louisville & Jefferson County, KY, Waterworks & Water Systems Revenue, 5.00%, 11/15/16 .......................... 495,000 543,787 Louisville & Jefferson County, KY, Waterworks & Water Systems Revenue, 4.00%, 11/15/12 .......................... 35,000 35,730 Louisville, KY, Parking Authority Revenue, 7.50%, 7/1/09, Callable 1/1/07 @ 100, ETM ...................................... 350,000 386,057 Paducah, KY, Public Housing Authority Revenue, 5.00%, 10/1/06, U.S. Government Guaranteed ............................... 270,000 270,010 Somerset, KY, Independent School District Finance Corp., Revenue, 4.00%, 10/1/08 ... 65,000 65,649 University of KY, University & College Improvements Revenue, Series Q, 5.00%, 5/1/10, ETM .............................. 250,000 261,763 ------------- Total Municipal Bonds (Cost $13,746,702) ....................... 14,049,148 ------------- INVESTMENT COMPANY (2.2%) Federated Tax-Free Obligations Fund, Institutional Service Class .............. 303,924 303,924 ------------- Total Investment Company (Cost $ 303,924) ......................... 303,924 ------------- Total Investments (Cost $14,050,626) -- 103.2% ............. 14,353,072 Net other assets (liabilities) -- (3.2)% .... (448,522) ------------- Net Assets -- 100.0% ........................ $ 13,904,550 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 66 Maryland Intermediate Tax-Free Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS (95.2%) Maryland (95.2%) Anne Arundel County, MD, Water Utility Improvements, G.O., 5.38%, 3/1/13, Prerefunded 3/1/12 @ 100 ................. $ 400,000 $ 435,768 Baltimore County, MD, Refunding, G.O., 4.25%, 9/1/25, Callable 9/1/16 @ 100, OID ....... 350,000 348,187 Baltimore County, MD, Water Utility Improvements, Metropolitan District, 70th Issue, G.O., 5.00%, 9/1/16 ............... 385,000 425,464 Baltimore, MD, Water Project, Unrefunded Revenue, Series A, 5.00%, 7/1/24, ETM, FGIC, OID ................................ 305,000 338,956 Charles County, MD, Construction & Public Improvements Refunding, G.O., 5.00%, 3/1/11 ................................... 400,000 424,156 Frederick County, MD, Public Facilities Refunding, G.O., 5.00%, 8/1/14 ........... 645,000 703,081 Frederick County, MD, Public Facilities, G.O., 5.00%, 12/1/15 ..................... 500,000 549,405 Maryland State Department of Transportation Revenue, 4.25%, 2/15/17, Callable 2/15/16 @ 100 .................................... 250,000 258,558 Maryland State Department of Transportation Revenue, Second Issue, 5.00%, 6/1/15 ..... 100,000 109,463 Maryland State Health & Higher Educational Facilities Authority Refunding Revenue, Doctors Hospital, Inc., 5.50%, 7/1/24, Callable 7/1/07 @ 100, OID ............... 240,000 240,180 Maryland State Health & Higher Educational Facilities Authority Refunding Revenue, Medstar Health, Inc., 5.00%, 4.375% ...... 145,000 149,750 Maryland State Health & Higher Educational Facilities Authority Refunding Revenue, Medstar Health, Inc., 5.00%, 8/15/12 ..... 275,000 289,974 Maryland State Health & Higher Educational Facilities Authority Revenue, 5.13%, 7/1/33, Callable 7/1/08 @ 101, FSA, OID ................................. 120,000 123,626 Maryland State Health & Higher Educational Facilities Authority Revenue, Carroll County General Hospital, 4.63%, 7/1/10, OID .............................. 75,000 76,879 Maryland State Health & Higher Educational Facilities Authority Revenue, Helix Health Issue, 5.13%, 7/1/11, AMBAC .............. 25,000 26,753 Maryland State Health & Higher Educational Facilities Authority Revenue, Helix Health Issue, 5.13%, 7/1/12, AMBAC, OID ......... 380,000 410,476 Maryland State Health & Higher Educational Facilities Authority Revenue, Helix Health Issue, 5.00%, 7/1/27, AMBAC, OID ......... 230,000 252,039
SHARES OR PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS, CONTINUED Maryland, continued Maryland State Health & Higher Educational Facilities Authority Revenue, Howard County General Hospital, 5.50%, 7/1/13, Callable 7/1/07 @ 100, OID ............... $ 45,000 $ 45,882 Maryland State, MD, State & Local Facilities Second Series, G.O., 5.00%, 8/1/17, Callable 8/1/16 @ 100 .................... 300,000 330,291 Maryland State, MD, State & Local Facilities, First Series, G.O., 5.00%, 3/1/10, Callable 3/1/08 @ 101 .................... 350,000 360,546 Maryland State, MD, State & Local Facilities, Second Series, G.O., 5.00%, 8/1/11 ....... 380,000 405,118 Montgomery County, MD, Construction & Public Improvements, Series A, G.O., 5.00%, 7/1/17 ................................... 500,000 554,404 Montgomery County, MD, Construction & Public Improvements, Series A, G.O., 5.00%, 2/1/21, Callable 2/1/12 @ 101 ............ 240,000 259,097 Montgomery County, MD, Construction & Public Improvements, Series A, G.O., 5.00%, 2/1/22, Callable 2/1/12 @ 101 ............ 500,000 539,785 Prince Georges County, MD, Construction & Public Improvements Refunding G.O., Series B, 5.00%, 10/1/12 ................. 690,000 742,715 Prince Georges County, MD, Construction & Public Improvements, G.O., 5.00%, 9/15/13 .................................. 250,000 271,250 University of MD, System Auxiliary Facility & Tuition Revenue, Series A, 5.00%, 10/1/23, Callable 10/1/16 @ 100 ................... 400,000 432,032 Washington County, MD, Public Improvements, G.O., 4.80%, 1/1/08, Callable 1/1/07 @ 100, FGIC ................................ 100,000 100,092 Washington Suburban Sanitation District Refunding, G.O., 5.00%, 6/1/12 ........... 275,000 295,485 ------------- Total Municipal Bonds (Cost $ 9,356,423) .................... 9,499,412 ------------- INVESTMENT COMPANY (4.1%) Federated Maryland Municipal Cash Trust ..... 404,752 404,752 ------------- Total Investment Company (Cost $ 404,752) ...................... 404,752 ------------- Total Investments (Cost $9,761,175) -- 99.3% ............... 9,904,164 Net other assets (liabilities) -- 0.7% ...... 64,914 ------------- Net Assets -- 100.0% ........................ $ 9,969,078 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 67 North Carolina Intermediate Tax-Free Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS (98.1%) North Carolina (98.1%) Alamance County, NC, School Improvements, G.O., 5.00%, 2/1/19, Callable 2/1/16 @ 100 .................................... $ 1,000,000 $ 1,090,180 Appalachian State University of North Carolina Refunding Revenue, 5.25%, 7/15/20, Callable 7/15/15 @ 100, MBIA .... 1,000,000 1,101,200 Appalachian State University of North Carolina, Refunding Revenue, 5.00%, 7/15/18, Callable 7/15/15 @ 100, MBIA .... 1,380,000 1,495,768 Asheville, NC, Water Systems Revenue, Refunding Bonds, 5.00%, 8/1/21, Callable 8/1/15 @ 100, FSA ........................ 1,410,000 1,518,387 Bladen County, NC, G.O., 5.60%, 5/1/13, Callable 5/1/10 @ 101.5, FSA ............. 1,150,000 1,244,760 Broad River, NC, Water Authority Water System Revenue. 5.00%, 6/1/19 ............ 1,050,000 1,125,926 Brunswick County, NC, Enterprise Systems Revenue, Series A, 5.25%, 4/1/17, Callable 4/1/14 @ 100, FSA ............... 1,000,000 1,095,280 Cabarrus County, NC, Certificates of Participation, 5.25%, 2/1/12, AMBAC ...... 1,285,000 1,382,429 Cabarrus County, NC, Refunding, G.O., 5.00%, 2/1/16 ............................ 1,000,000 1,095,030 Charlotte, NC, Mecklenberg County Hospital Authority Revenue, Health Care System, Series A, 5.00%, 1/15/13, Callable 1/15/07 @ 102 ............................ 1,600,000 1,637,248 Charlotte, NC, Public Improvements, G.O., 5.50%, 6/1/09 ............................ 1,460,000 1,534,942 Charlotte, NC, Storm Water Fee Revenue, 5.00%, 6/1/34, Callable 6/1/14 @ 100 ..... 1,405,000 1,474,224 Cumberland County, NC, School Improvements, G.O., 5.50%, 3/1/09 ........ 1,055,000 1,103,066 Durham, NC, Refunding Bonds, G.O., 5.00%, 2/1/13 ............................ 1,585,000 1,711,372 Durham, NC, Water & Sewer Utility Systems Revenue, 5.00%, 6/1/12, Callable 6/1/11 @ 101 .................................... 1,000,000 1,067,770 Franklin County, NC, School Improvements, G.O., 4.50%, 8/1/16, FSA ................. 265,000 281,396 Gastonia, NC, Combined Utilities System Revenue, 5.00%, 5/1/16, Callable 5/1/15 @ 100, AMBAC ............................... 1,060,000 1,151,870 Gastonia, NC, Combined Utilities Systems Revenue, 5.00%, 5/1/10, MBIA ............. 1,000,000 1,050,150 Greenville, NC, Combined Enterprise Systems Revenue, 5.50%, 9/1/10, FSA .............. 1,455,000 1,560,575 Guilford County, NC, Public Improvements, G.O., Series B, 5.00%, 10/1/09 ........... 2,000,000 2,088,940 Guilford County, NC, Public Improvements, G.O., Series B, 5.25%, 10/1/15, Callable 10/1/10 @ 102, OID ....................... 2,030,000 2,195,445 High Point, NC, Combined Enterprise System Revenue, 4.20%, 11/1/18, Callable 11/1/16 @ 100, FSA ............................... 725,000 741,030 High Point, NC, Public Improvements, G.O., Series B, 5.40%, 6/1/08 .................. 1,350,000 1,391,243 Johnston County, NC, Finance Corp. Revenue, 5.50%, 8/1/10, Callable 8/1/09 @ 101, FSA ...................................... 1,070,000 1,134,307
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS, CONTINUED North Carolina, continued Johnston County, NC, G.O., 5.50%, 3/1/12, Callable 3/1/10 @ 101, FGIC .............. $ 1,000,000 $ 1,071,820 Johnston County, NC, Refunding, G.O., 5.00%, 2/1/16, Callable 2/1/15 @ 100, FGIC ...... 1,070,000 1,162,416 Lincoln County, NC, Certificates of Participation, 4.00%, 6/1/10, FSA ........ 90,000 91,193 Lincoln County, NC, Certificates of Participation, 5.00%, 6/1/12, FSA ........ 535,000 570,321 Lincoln County, NC, Certificates of Participation, 5.00%, 6/1/13, FSA ........ 590,000 633,583 Lincoln County, NC, Certificates of Participation, 5.00%, 6/1/16, FSA ........ 635,000 690,905 Lincolnton, NC, Combined Enterprise Systems Refunding Revenue, 5.00%, 5/1/16, Callable 5/1/15 @ 100, XLCA .............. 140,000 151,600 Mecklenburg County, NC, Public Improvements, G.O., Series D, 5.00%, 4/1/11, Prerefunded 4/1/10 @ 100.5 ....... 1,000,000 1,053,170 Municipal Power Agency No. 1, Catawba Electric Revenue, 5.50%, 1/1/13, AMBAC- TCRS, ETM ................................ 1,185,000 1,289,505 New Hanover County, NC, Hospital Revenue, Regional Medical Center Project, 5.25%, 10/1/12, Callable 10/1/09 @ 101, MBIA .... 1,000,000 1,052,370 New Hanover County, NC, Public Improvements, G.O., 5.30%, 11/1/08 ....... 1,500,000 1,554,495 New Hanover County, NC, Refunding, G.O., 5.25%, 2/1/18 ............................ 1,000,000 1,124,660 North Carolina Capital Facilities Finance Agency Revenue, Pfeiffer University Project, 5.25%, 5/1/15, Callable 11/1/06 @ 102 (d)(e) ............................. 2,092,897 2,134,755 North Carolina Eastern Municipal Power Agency, Refunding Revenue, Series A, 4.50%, 1/1/24, Callable 1/1/22 @ 100 ..... 2,810,000 2,935,156 North Carolina Eastern Municipal Power Agency, Power System Revenue, Series A, 5.00%, 1/1/17, ETM, OID .................. 670,000 731,613 North Carolina Eastern Municipal Power Agency, Power System Revenue, Series A, 6.40%, 1/1/21, OID (d) ................... 4,000,000 4,888,559 North Carolina Eastern Municipal Power Agency, Power System Revenue, Series A, 6.00%, 1/1/26, Prerefunded 1/1/22 @ 100, OID ...................................... 1,305,000 1,594,084 North Carolina Medical Care Commission Health Care Facilities Revenue, Carolina Medicorp Project, 5.25%, 5/1/09, Callable 5/1/07 @ 100, OID ........................ 1,325,000 1,336,117 North Carolina Medical Care Commission Health Care Facilities Revenue, Stanley Memorial Hospital Project, 5.45%, 10/1/08, Callable 10/1/06 @ 102, AMBAC ............ 750,000 765,960 North Carolina Medical Care Commission Hospital Revenue, Gaston Memorial Hospital Project, 5.40%, 2/15/11, Callable 2/15/07 @ 101 .................................... 565,000 577,600
Continued 68 North Carolina Intermediate Tax-Free Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS, CONTINUED North Carolina, continued North Carolina Medical Care Commission Hospital Revenue, Gaston Memorial Hospital Project, 5.50%, 2/15/15, Callable 2/15/07 @ 101, OID ............................... $ 2,130,000 $ 2,189,448 North Carolina Medical Care Commission Hospital Revenue, Halifax Regional Medical Center, 4.60%, 8/15/07, OID (d)(e) ....... 1,795,000 1,798,734 North Carolina Medical Care Commission Hospital Revenue, Pitt County Memorial Hospital, Series A, 5.25%, 12/1/10, Prerefunded 12/1/08 @ 101 ................ 1,155,000 1,206,340 North Carolina Medical Care Commission Revenue, Health Care and Housing, ARC Projects, Series A, 4.65%, 10/1/14 ....... 1,265,000 1,284,430 North Carolina Medicare Common Revenue, 4.75%, 9/1/24, Callable 9/1/14 @ 100 ..... 1,000,000 1,033,300 North Carolina State University, G.O., Series A, 5.00%, 6/1/20, Callable 6/1/16 @ 100 .. 2,000,000 2,180,800 North Carolina State University, Water Utility Improvements, G.O., Series A, 5.00%, 3/1/17, Callable 3/1/16 @ 100 ..... 1,625,000 1,781,829 North Carolina, Municipal Power Agency Revenue, 5.00%, 1/1/20, OID .............. 420,000 465,864 Onslow County, NC, Certificates of Participation, 4.38%, 6/1/14, XLCA ....... 305,000 317,450 Onslow County, NC, Certificates of Participation, 4.50%, 6/1/15, XLCA ....... 280,000 294,182 Onslow County, NC, Certificates of Participation, 5.00%, 6/1/15, MBIA ....... 1,000,000 1,091,920 Onslow County, NC, Certificates of Participation, 4.50%, 6/1/16, XLCA ....... 170,000 178,733 Onslow County, NC, Certificates of Participation, 4.50%, 6/1/24, Callable 6/1/16 @ 100, MBIA, OID .................. 1,580,000 1,613,496 Onslow County, NC, Hospital Authority Revenue, Onslow Memorial Hospital Project, 4.75%, 10/1/12, MBIA FHA ........ 240,000 252,732 Onslow County, NC, Schools, Certificates of Participation, 5.00%, 6/1/19, Callable 6/1/16 @ 100, MBIA ....................... 2,920,000 3,175,617 Orange County, NC, Public Improvements Project, Series A, Certificates of Participation, 5.00%, 4/1/23, Callable 4/1/16 @ 100, AMBAC ...................... 1,000,000 1,069,450 Orange Water & Sewer Authority, Water & Sewer System Revenue, Series A, 5.25%, 7/1/16, Callable 7/1/14 @ 100 ............ 1,475,000 1,618,444 Orange Water & Sewer Authority, Water & Sewer System Revenue, Series A, 5.25%, 7/1/18, Callable 7/1/14 @ 100 ............ 1,690,000 1,842,506 Piedmont-Triad, NC, Airport Authority Revenue, Series A, 6.38%, 7/1/16, Prerefunded 7/1/09 @ 101, FSA ............ 1,385,000 1,499,512 Pitt County, NC, Revenue, Memorial Hospital Project, 5.50%, 12/1/15, Callable 12/1/06 @ 101, ETM (d) ................... 2,425,000 2,560,679
SHARES OR PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS, CONTINUED North Carolina, continued Raleigh, NC, Combined Enterprise System Refunding Revenue, Series B, 4.00%, 3/1/20, OID (f) .......................... $ 1,500,000 $ 1,484,595 Raleigh, NC, Combined Enterprise System Revenue, Series A, 5.00%, 3/1/20 (f) ..... 500,000 541,365 Randolph County, NC, Certificates of Participation, 5.30%, 6/1/13, Callable 6/1/09 @ 101, FSA (d) .................... 1,750,000 1,844,185 Rowan County, NC, Schools, G.O., 5.00%, 4/1/17, Callable 4/1/15 @ 100, AMBAC ..... 1,645,000 1,784,216 Rutherford County, NC, Certificates of Participation, 5.00%, 9/1/18, Callable 9/1/12 @ 101 ............................. 1,595,000 1,704,481 University of North Carolina Charlotte Revenue, 4.75%, 10/1/35, Callable 10/1/16 @ 100, AMBAC ............................. 425,000 435,897 University of North Carolina Refunding Revenue, Series A, 4.75%, 12/1/34, Callable 12/1/15 @ 100 ................... 1,075,000 1,103,079 University of North Carolina Wilmington, Certificates of Participation, Student Housing Project, 5.00%, 6/1/25, Callable 6/1/16 @ 100, FGIC ....................... 1,000,000 1,065,450 Wake County, NC, G.O., 5.30%, 2/1/11, Prerefunded 2/1/10 @ 100.5 ............... 1,000,000 1,059,690 Wake County, NC, Hospital Authority Revenue, 5.13%, 10/1/13, MBIA, ETM ....... 2,425,000 2,641,212 Wake County, NC, Schools, G.O., 5.00%, 5/1/21, Callable 5/1/15 @ 100 ............ 1,900,000 2,051,240 Wilmington, NC, Certificates of Participation, Series A, 5.00%, 6/1/19, Callable 6/1/16 @ 100 .................... 1,095,000 1,179,873 Wilmington, NC, Certificates of Participation, Series A, 5.00%, 6/1/22, Callable 6/1/16 @ 100 .................... 625,000 667,963 Winston-Salem Water & Sewer System Refunding Revenue, 5.00%, 6/1/24, Callable 6/1/15 @ 100 .................... 1,935,000 2,071,127 Winston-Salem Water & Sewer Systems Revenue, 5.00%, 6/1/20, Callable 6/1/15 @ 100 ..... 1,170,000 1,261,190 ------------- Total Municipal Bonds (Cost $ 101,918,839) .................. 105,033,449 ------------- INVESTMENT COMPANY (2.5%) PNC North Carolina Blackrock Fund, Institutional Class ...................... 2,631,486 2,631,486 ------------- Total Investment Company (Cost $2,631,486) ..................... 2,631,486 ------------- Total Investments (Cost $ 104,550,325) -- 100.6% ........... 107,664,935 Net other assets (liabilities) -- (0.6)% .... (647,891) ------------- Net Assets -- 100.0% ........................ $ 107,017,044 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 69 South Carolina Intermediate Tax-Free Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS (97.6%) South Carolina (97.6%) Aiken County, SC, G.O., 4.00%, 2/1/12, MBIA ..................................... $ 240,000 $ 244,826 Aiken County, SC, G.O., 4.00%, 2/1/14, MBIA ..................................... 165,000 168,437 Anderson County, SC, School District No 2, G.O., Series B, 6.00%, 3/1/12, Callable 3/1/10 @ 101, SCSDE ...................... 500,000 543,565 Anderson County, SC, School District No. 2, G.O., Series B, 5.13%, 3/1/25, Callable 3/1/10 @ 101, MBIA, SCSDE ................ 850,000 888,377 Anderson County, SC. School District No. 4, G.O., 4.50%, 3/1/23, Callable 3/1/16 @ 100, FSA, SCSDE .......................... 365,000 372,012 Beaufort County, SC, Public Improvements, G.O., 5.00%, 2/1/24, Callable 2/1/14 @ 100, MBIA, State Aid Withholding ......... 180,000 190,519 Beaufort County, SC, School District Refunding, G.O., Series A, 5.00%, 3/1/13, SCSDE .................................... 125,000 134,780 Beaufort County, SC, School District Refunding, G.O., Series A, 5.00%, 3/1/19, Callable 3/1/15 @ 100, SCSDE ............. 465,000 500,991 Berkeley County, SC, Water & Sewer Revenue, Series A, 5.00%, 6/1/24, Callable 6/1/15 @ 100, FSA ................................. 350,000 372,512 Berkley County, SC, Water & Sewer Revenue, Series A, 5.00%, 6/1/21, Callable 6/1/15 @ 100, FSA ................................. 395,000 423,085 Charleston County, SC, G.O., 4.625%, 11/1/27, Callable 11/1/15 @ 100, State Aid Withholding .............................. 500,000 512,480 Charleston County, SC, School District Refunding, G.O., Series B, 5.00%, 2/1/19, Callable 2/1/12 @ 100, SCSDE ............. 250,000 263,865 Charleston, SC, Waterworks & Sewer Refunding Revenue, 5.13%, 1/1/12 ................... 425,000 456,178 Charleston, SC, Waterworks & Sewer Refunding Revenue, 5.25%, 1/1/14, Callable 1/1/11 @ 101 .................................... 600,000 641,651 Florence County, SC, Hospital Revenue, Regional Medical Center Project, Series A, 5.25%, 11/1/11, Callable 11/1/08 @ 102, MBIA ..................................... 500,000 525,100 Florence, SC, New Public Housing Authority Revenue, 5.75%, 8/1/10, Callable 2/1/07 @ 100, U.S. Government Guaranteed .......... 100,000 106,936 Greenville, SC, Stormwater System Revenue, 5.00%, 4/1/22, Callable 4/1/11 @ 101, FSA ...................................... 350,000 368,025 Greenville, SC, Waterworks Revenue, 5.25%, 2/1/19, Callable 2/1/13 @ 100 ............ 380,000 413,888 Horry County, SC, School District, G.O., Series A, 5.00%, 3/1/11, SCSDE ........... 500,000 530,195 Horry County, SC, School District, G.O., Series A, 4.00%, 3/1/14, FSA, SCSDE ...... 285,000 290,925 Horry County, SC, School District, G.O., Series A, 5.38%, 3/1/15, Callable 3/1/12 @ 100, SCSDE ............................. 250,000 270,778 Jasper County, SC, School District, G.O., 4.00%, 3/1/16, Callable 3/1/15 @ 100, MBIA, SCSDE, OID ......................... 100,000 101,334
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS, CONTINUED South Carolina, continued Kershaw County, SC, School District, G.O., 6.13%, 2/1/16, Prerefunded 2/1/10 @ 100, SCSDE .................................... $ 500,000 $ 539,570 Lancaster County, SC, Assessment Revenue, 5.75%, 12/1/37, Callable 12/1/16 @ 100 ... 500,000 529,345 Laurens County, SC, School District No. 55 Installment Purchase Revenue, 5.25%, 12/1/24, Callable 12/1/15 @ 100 .......... 225,000 236,345 Laurens County, SC, School District No. 56, G.O., 4.13%, 3/1/15, MBIA, SCSDE ......... 245,000 251,346 Lexington County, SC, Public Improvements, G.O., 5.00%, 2/1/14, Callable 2/1/12 @ 100, FGIC, State Aid Withholding ......... 500,000 532,200 Newberry County, SC, County School Project Revenue, 5.25%, 12/1/21, Callable 12/1/15 @ 100 .................................... 225,000 247,311 Orangeburg County, SC, G.O., Series A, 4.00%, 4/1/13, FGIC ...................... 250,000 254,953 Richland County, SC, School District No. 1 Refunding, G.O., 5.00%, 3/1/19, Callable 3/1/15 @ 100, FSA, SCSDE ................. 400,000 430,960 Richland County, SC, School District No. 1, G.O., Series A, 5.25%, 3/1/20, Callable 3/1/12, SCSDE ............................ 300,000 321,126 Rock Hill, SC, Utility Systems Refunding Revenue, Series A, 5.38%, 1/1/19, Callable 1/1/13 @ 100, FSA ........................ 585,000 636,176 South Carolina Jobs Economic Development Authority Hospital Facilities Revenue, 5.50%, 2/1/11, Callable 2/1/09 @ 101, FSA ...................................... 500,000 525,010 South Carolina Jobs Economic Development Authority Hospital Facilities Revenue, 6.00%, 8/1/12 ............................ 200,000 220,612 South Carolina State Economic Development, G.O. Series A, 4.00%, 3/1/16, Callable 3/1/14 @ 100 ............................. 40,000 40,634 South Carolina State Economic Development, G.O., Series A, 5.00%, 8/1/16, Callable 8/1/15 @ 100 ............................. 350,000 382,309 South Carolina State Economic Development, G.O., Series C, 5.25%, 8/1/11 ............ 760,000 817,569 South Carolina State University, Wade Hampton State Office Building, G.O., Series A, 5.00%, 11/1/15 ........................... 350,000 384,073 South Carolina State University, Wade Hampton State Office Building, G.O., Series A, 4.00%, 11/1/17, Callable 11/1/15 @ 100, OID ...................................... 100,000 101,468 South Carolina State, Public Services Authority Revenue, Series A, 5.00%, 1/1/20, Callable 1/1/14 @ 100, AMBAC ..... 600,000 638,201 South Carolina State, Public Service Authority Revenue, Series A, 5.00%, 1/1/17, Callable 1/1/14 @ 100, FSA ....... 450,000 482,756 South Carolina Transportation Infrastructure Bank Refunding Revenue, 5.25%, 10/1/15, AMBAC .................................... 500,000 555,860 Spartanburg County, SC, School District No. 5, G.O., 5.25%, 5/1/10, SCSDE ............ 525,000 556,080 Spartanburg, SC, Water Works Refunding Revenue, 5.25%, 6/1/11, FSA .............. 500,000 536,095
Continued 70 South Carolina Intermediate Tax-Free Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS, CONTINUED South Carolina, continued University of South Carolina Medical Facilities Refunding Revenue, 6.00%, 8/15/12 .................................. $ 500,000 $ 562,755 Western Carolina Regional Sewer Authority, Sewage System Revenue, 5.25%, 3/1/10, FSA ...................................... 550,000 580,228 York County, SC, School District No. 3, G.O., Series A, 5.00%, 3/1/11, Callable 3/1/09 @ 101, SCSDE ............................. 275,000 286,696 ------------- Total Municipal Bonds (Cost $18,444,845) ....................... 18,970,137 -------------
SHARES FAIR VALUE ---------------- ------------- INVESTMENT COMPANY (2.1%) Federated Tax-Free Obligations Fund, Institutional Service Class .............. 400,376 $ 400,376 ------------- Total Investment Company (Cost $400,376) ....................... 400,376 ------------- Total Investments (Cost $18,845,221) -- 99.7% .............. 19,370,513 Net other assets (liabilities) -- 0.3% ...... 57,158 ------------- Net Assets -- 100.0% ........................ $ 19,427,671 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 71 Virginia Intermediate Tax-Free Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS (97.2%) District of Columbia (2.2%) Washington, D.C., Metropolitan Transportation Authority Refunding Revenue, 6.00%, 7/1/09, FGIC ............................. $ 1,600,000 $ 1,703,232 ------------- Virginia (95.0%) Alexandria, VA, Construction & Public Improvements, G.O., 5.00%, 6/15/08, State Aid Withholding .......................... 1,000,000 1,025,490 Alexandria, VA, Construction & Public Improvements, G.O., 5.00%, 1/1/13 ........ 1,425,000 1,538,259 Alexandria, VA, G.O., Series A, 5.00%, 6/15/16 .................................. 1,000,000 1,102,700 Amherst Industrial Development Authority Refunding Revenue, 4.50%, 9/1/18, Callable 9/1/16 @ 100 ............................. 40,000 40,672 Arlington County, VA, Public Improvement, G.O., 5.13%, 6/1/11, Prerefunded 6/1/09 @ 100, State Aid Withholding ............... 1,000,000 1,041,060 Arlington County, VA, Public Improvement, G.O., 5.00%, 5/15/25, Callable 5/15/15 @ 100, State Aid Withholding ............... 1,175,000 1,259,964 Arlington County, VA, Refunding, G.O., 5.00%, 5/15/15, Callable 5/15/14 @ 100 .......... 1,495,000 1,624,422 Chesapeake, VA, Refunding, G.O., 5.00%, 6/1/13 ................................... 1,000,000 1,080,610 Chesterfield County, VA, Pollution Control Authority Revenue, 5.50%, 10/1/09, Callable 11/27/06 @ 101 .................. 2,500,000 2,528,650 Fairfax County, VA, Economic Development Authority Refunding Revenue, Series A, 4.10%, 10/1/13 ........................... 305,000 304,539 Fairfax County, VA, Economic Development Authority Refunding Revenue, Series A, 4.15%, 10/1/14 ........................... 490,000 489,339 Fairfax County, VA, Economic Development Authority Refunding Revenue, Series A, 4.20%, 10/1/15 ........................... 225,000 224,465 Fairfax County, VA, Economic Development Authority Refunding Revenue, Series A, 4.25%, 10/1/16 ........................... 260,000 259,727 Fairfax County, VA, Economic Development Authority Revenue, First Series, 5.25%, 9/1/10, Prerefunded 9/1/09 @ 102, OID .... 1,000,000 1,065,880 Henrico County, VA, Water & Sewer Refunding Revenue, 5.25%, 5/1/11, Callable 5/1/09 @ 102 ...................................... 1,000,000 1,058,900 Lessburg, VA, Public Utilities, G.O., 4.75%, 7/1/23, Callable 7/1/16 @ 100 ............ 1,275,000 1,342,065 Loudoun County, VA, Public Improvements, G.O., Series B, 5.00%, 12/1/14 ........... 1,000,000 1,094,750 Loudoun County, VA, Water & Sewer Refunding Revenue, 5.00%, 1/1/29, Callable 1/1/15 @ 100 ...................................... 1,455,000 1,538,532 Loudoun County, VA, Water & Sewer Revenue, 5.75%, 1/1/11, FSA ....................... 1,000,000 1,086,540 Manassas, VA, Water Utility Improvements, G.O., Series A, 5.25%, 1/1/11, Prerefunded 1/1/08 @ 102 ............................. 1,200,000 1,248,180 New Port Community Development Authority Special Assessment, 5.50%, 9/1/26, Callable 9/1/16 @ 101 .................... 1,325,000 1,358,854
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS, CONTINUED Virginia, continued Newport News, VA, G.O., Series A, 5.50%, 5/1/13, Prerefunded 5/1/10 @ 102, OID .... $ 1,845,000 $ 2,002,065 Newport News, VA, G.O., Series A, 5.00%, 7/1/22, Callable 7/1/13 @ 100, State Aid Withholding .............................. 1,250,000 1,324,038 Norfolk, VA, Water Revenue, 5.13%, 11/1/11, Callable 11/1/08 @ 101, FSA .............. 1,030,000 1,071,921 Pittsylvania County, VA, G.O., Series B, 5.63%, 3/1/15, Callable 3/1/11 @ 102, MBIA ..................................... 1,315,000 1,443,120 Portsmouth, VA, Public Utility Refunding, G.O., Series B, 5.00%, 4/1/21, Callable 4/1/15 @ 100, MBIA ....................... 2,135,000 2,294,015 Portsmouth, VA, Public Utility Refunding, G.O., Series B, 5.00%, 4/1/22, Callable 4/1/15 @ 100, MBIA ....................... 1,375,000 1,475,361 Prince William County, VA, Service Authority Water & Sewer System Revenue, 5.00%, 7/1/14, Callable 7/1/13 @ 102 ............ 1,000,000 1,087,600 Richmond, VA, G.O., 5.25%, 1/15/09, FSA ..... 1,500,000 1,557,645 Roanoke, VA, Public Improvement, G.O., 5.00%, 10/1/17, Callable 10/1/14 @ 101 ... 1,000,000 1,089,200 Roanoke, VA, Public Improvement, G.O., 5.00%, 2/1/18, Callable 2/1/15 @ 101, State Aid Withholding .................... 1,000,000 1,090,010 Spotsylvania County, VA, Public Improvements, G.O., 5.00%, 1/15/17, Callable 1/15/16 @ 100 ................... 1,645,000 1,800,831 Spotsylvania County, VA, Refunding, G.O., 5.50%, 7/15/12, FSA ...................... 2,925,000 3,221,039 University of VA, General Revenue, 5.00%, 6/1/22, Callable 6/1/13 @ 100 ............ 540,000 572,945 Upper Occoquan Sewer Authority, Regional Sewer Refunding Revenue, 5.00%, 7/1/25, Callable 7/1/15 @ 100, FSA ............... 1,000,000 1,066,340 Virginia Beach, VA, Industrial Development Authority Revenue, Sentara Health Systems, 5.25%, 11/1/09, Callable 11/1/08 @ 101, MBIA ..................................... 1,000,000 1,041,960 Virginia Beach, VA, Public Improvement, G.O., 5.25%, 3/1/08, State Aid Withholding ..... 1,000,000 1,023,900 Virginia Beach, VA, Public Improvement, G.O., 5.25%, 3/1/11, Prerefunded 3/1/10 @ 101, State Aid Withholding, OID ............... 3,205,000 3,414,606 Virginia College Building Authority, Educational Facilities Revenue, 5.50%, 4/1/10 ................................... 1,000,000 1,062,560 Virginia College Building Authority, Educational Facilities Revenue, 5.00%, 9/1/19, Callable 9/1/11 @ 100 ............ 1,090,000 1,147,181 Virginia College Building Authority, Educational Facilities Revenue, Series A, 5.00%, 9/1/22, Callable 9/1/15 @ 100 ..... 1,000,000 1,073,610 Virginia College Building Authority, Educational Facilities Revenue, 5.25%, 1/1/31, MBIA ............................. 1,755,000 2,036,484 Virginia Commonwealth Transportation Board Refunding Revenue, Series B, 4.25%, 5/15/16 .................................. 15,000 15,555 Virginia Commonwealth Transportation Board Revenue, Series B, 5.75%, 5/15/09 ........ 1,035,000 1,092,401
Continued 72 Virginia Intermediate Tax-Free Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS, CONTINUED Virginia, continued Virginia Commonwealth Transportation Board Revenue, Series B, 5.50%, 5/15/15, Prerefunded 5/15/09 @ 101, OID ........... $ 1,185,000 $ 1,254,157 Virginia State Authority, Water Revenue, 5.25%, 10/1/15 ........................... 1,040,000 1,160,401 Virginia State Public Building Authority Revenue, Series A, 5.00%, 8/1/15 ......... 1,500,000 1,640,835 Virginia State Public Building Authority, Public Facilities Revenue, Series A, 5.00%, 8/1/14 ............................ 2,000,000 2,175,840 Virginia State Public School Authority Refunding Revenue, Series A, 5.25%, 8/1/17, State Aid Withholding ............ 280,000 314,140 Virginia State Public School Authority Refunding Revenue, Series D, 5.25%, 2/1/12, State Aid Withholding ............ 1,145,000 1,237,001 Virginia State Public School Authority Revenue, Series C, 5.00%, 8/1/28, Callable 8/1/13 @ 100, State Aid Withholding ...... 1,510,000 1,585,651 Virginia State Public School Authority, G.O., Series B, 5.25%, 8/1/10, Prerefunded 8/1/09 @ 101, State Aid Withholding, OID ...................................... 1,000,000 1,055,440 Virginia State Public School Authority, G.O., Series B, 3.00%, 8/1/20, Callable 8/1/11 @ 101, OID ................................. 3,815,000 3,338,087
SHARES OR PRINCIPAL AMOUNT FAIR VALUE ---------------- ------------- MUNICIPAL BONDS, CONTINUED Virginia, continued Virginia State Public School Authority, School Financing Revenue, Series A, 5.25%, 8/1/10, Callable 8/1/09 @ 101, OID ....... $ 2,040,000 $ 2,165,440 Virginia State Resources Authority Infrastructure Revenue, 4.00%, 11/1/16 ... 25,000 25,422 Winchester, VA, Public Improvements, G.O., 5.00%, 11/1/22, Callable 11/1/15 @ 100, FGIC ..................................... 2,210,000 2,380,436 ------------- 73,650,835 ------------- Total Municipal Bonds (Cost $72,892,964) .................... 75,354,067 ------------- INVESTMENT COMPANY (2.5%) PNC Virginia Blackrock Fund, Institutional Class .................................... 1,899,615 1,899,615 ------------- Total Investment Company (Cost $1,899,615) ..................... 1,899,615 ------------- Total Investments (Cost $74,792,579) -- 99.7% .............. 77,253,682 Net other assets (liabilities) -- 0.3% ...... 263,903 ------------- Net Assets -- 100.0% ........................ $ 77,517,585 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 73 West Virginia Intermediate Tax-Free Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL FAIR AMOUNT VALUE ---------------- ------------ MUNICIPAL BONDS (97.5%) West Virginia (97.5%) Cabell County, WV, Board of Education, G.O., 5.00%, 5/1/16, MBIA ...................... $ 2,000,000 $ 2,188,440 Cabell, Putnam & Wayne Counties, West Virginia, Single Family Residential Mortgage Revenue, 7.38%, 4/1/11, FGIC, ETM ...................................... 640,000 731,366 Charleston, WV, Urban Renewal Authority Revenue, 5.25%, 12/15/18, Callable 12/15/09 @ 103, FSA ...................... 1,080,000 1,156,928 Clarksburg, WV, Water Refunding Revenue, 5.25%, 9/1/19, Callable 9/1/12 @ 101, FGIC ..................................... 1,190,000 1,290,222 Fairmont State College, WV, Student Activity Revenue, Series B, 5.00%, 6/1/32, Callable 6/1/13 @ 100, FGIC ....................... 1,400,000 1,460,368 Fairmont, WV, Waterworks Refunding Revenue, 5.38%, 7/1/13, Callable 7/1/07 @ 102, MBIA, OID ................................ 680,000 701,753 Harrison County, WV, Building Commission Revenue, 5.15%, 4/1/18, Prerefunded 4/1/08 @ 102, AMBAC, OID ........................ 1,000,000 1,042,070 Harrison County, WV, County Commission Solid Waste Disposal Revenue, Series B, 6.30%, 5/1/23, Callable 5/1/07 @ 100, AMBAC -- TCRS ............................ 860,000 870,535 Logan County, WV, Logan County Health Revenue, 8.00%, 12/1/16, ETM ............. 690,000 901,168 Monongalia County, WV, Building Commission Hospital Revenue, Monongalia General Hospital Project, 5.00%, 7/1/30, Callable 7/1/15 @ 100 ............................. 1,700,000 1,738,590 Monongalia County, WV, Pollution Control Refunding Revenue, Series B, 5.95%, 4/1/13, Callable 4/1/07 @ 100, MBIA ...... 2,000,000 2,017,300 Ohio County, WV, Board of Education Refunding, G.O., 5.00%, 6/1/13, Callable 6/1/08 @ 102, MBIA, OID .................. 800,000 832,120 Ohio County, WV, Commission Special District Excise Tax Revenue, Fort Henry Economic Development, Series B, 5.63%, 3/1/36 ..... 640,000 661,715 Ohio County, WV, Commission Tax Increment Revenue, Fort Henry Centre Financing District, Series A, 5.63%, 6/1/34, Callable 12/1/15 @ 100 ................... 1,000,000 1,050,410 Parkersburg, WV, Waterworks & Sewage System Refunding Revenue, Series C, 5.00%, 9/1/14, FGIC ............................. 1,190,000 1,293,399 Parkersburg, WV, Waterworks & Sewage System Refunding Revenue, Series C, 5.00%, 9/1/15, FGIC ............................. 1,330,000 1,452,613 Parkersburg, WV, Waterworks & Sewage System Refunding Revenue, Series C, 4.00%, 9/1/16, Callable 9/1/15 @ 100, FGIC ...... 640,000 648,480 Parkersburg, WV, Waterworks & Sewage Systems Refunding Revenue, Series A, 4.50%, 8/1/22, Callable 8/1/15 @ 100, FGIC ...... 965,000 979,726 Pleasants County, WV, Pollution Control Refunding Revenue, Series C, 6.15%, 5/1/15, Callable 5/1/07 @ 100, AMBAC, MBIA ..................................... 1,000,000 1,018,310 Pleasants County, WV, Pollution Control Refunding Revenue, Series C, 6.15%, 5/1/15, Callable 5/1/07 @ 100, AMBAC ..... 1,100,000 1,120,141
PRINCIPAL FAIR AMOUNT VALUE ---------------- ------------ MUNICIPAL BONDS, CONTINUED West Virginia, continued South Charleston, WV, Hospital Refunding Revenue, Series A, 5.50%, 10/1/09, Callable 10/1/06 @ 100, MBIA ............. $ 520,000 $ 522,371 Weirton, WV, Municipal Hospital Building Revenue, Series A, 5.25%, 12/1/11, OID ... 1,500,000 1,521,840 West Virginia Economic Development Authority Lease Revenue, State Energy Savings Project, 4.50%, 6/1/17, Callable 6/1/15 @ 100 ............................. 360,000 368,078 West Virginia Economic Development Authority Lease Revenue, State Energy Savings Project, 4.75%, 6/1/21, Callable 6/1/15 @ 100 ............................. 1,035,000 1,064,580 West Virginia Economic Development Authority Revenue, Department of Environmental Protection, 4.75%, 11/1/11 ............... 535,000 563,285 West Virginia Economic Development Authority Revenue, Series A, 5.50%, 6/1/12, MBIA ... 2,000,000 2,191,360 West Virginia Economic Development Authority Revenue, Series A, 5.50%, 6/1/15, Callable 6/1/12 @ 101, MBIA ....................... 1,000,000 1,102,100 West Virginia Economic Development Authority Revenue, Series A, 5.00%, 10/1/15, Callable 10/1/11 @ 101 ................... 1,250,000 1,328,138 West Virginia Economic Development Authority Revenue, Series A, 5.50%, 6/1/18, Callable 6/1/12 @ 101, MBIA ....................... 1,000,000 1,095,640 West Virginia Higher Education Policy Commission Revenue Higher Education Facilities, Series B, 5.00%, 4/1/34 ...... 1,135,000 1,186,983 West Virginia Higher Educational Facilities Revenue, Series B, 5.00%, 4/1/14, FGIC ... 250,000 270,618 West Virginia Higher Educational Facilities Revenue, Series B, 5.00%, 4/1/23, Callable 4/1/14 @ 100, FGIC ....................... 5,490,000 5,833,728 West Virginia State Building Commission Refunding Revenue, Series A, 5.25%, 7/1/10, AMBAC ............................ 1,950,000 2,062,671 West Virginia State Capital Appreciation, Infrastructure, G.O., Series A, 3.15%, 11/1/24, FGIC, OID, Zero Coupon** ........ 500,000 225,135 West Virginia State Hospital Finance Authority Refunding Revenue, 5.00%, 8/1/09, Callable 8/1/07 @ 100, FSA ....... 800,000 807,880 West Virginia State Hospital Finance Authority Revenue, 6.10%, 1/1/18, Callable 1/1/07 @ 100, MBIA ....................... 1,300,000 1,320,709 West Virginia State Hospital Finance Authority Revenue, 5.50%, 3/1/22, Callable 3/1/14 @ 100 ............................. 970,000 1,022,458 West Virginia State Hospital Finance Authority Revenue, Series A, 6.50%, 9/1/16, ETM, OID ......................... 620,000 740,429 West Virginia State Housing Development Fund Revenue, Marion Unity Apartments Project, Series A, 5.40%, 1/1/16, Callable 7/1/11 @ 100 .................................... 400,000 402,128 West Virginia State Housing Development Fund Revenue, Marion Unity Apartments Project, Series A, 5.75%, 1/1/29, Callable 7/1/11 @ 100, OID ............................... 515,000 519,419
Continued 74 West Virginia Intermediate Tax-Free Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
PRINCIPAL FAIR AMOUNT VALUE ---------------- ------------ MUNICIPAL BONDS, CONTINUED West Virginia, continued West Virginia State Parkways Economic Development & Tourism Authority Refunding Revenue, 5.00%, 5/15/10, FGIC ............ $ 1,165,000 $ 1,222,784 West Virginia State Parkways Economic Development & Tourism Authority Refunding Revenue, 5.25%, 5/15/12, FGIC ............ 1,000,000 1,082,440 West Virginia State Parkways Economic Development & Tourism Authority Refunding Revenue, 5.25%, 5/15/17, FGIC ............ 700,000 782,383 West Virginia State School Building Authority Revenue, 5.25%, 1/1/14, MBIA ............. 500,000 548,890 West Virginia State School Building Authority Revenue, 5.25%, 7/1/14, MBIA ............. 615,000 677,853 West Virginia State Water Development Authority Revenue, Series A, 5.50%, 11/1/18, Prerefunded 11/1/09 @ 102, AMBAC .................................... 1,000,000 1,074,780 West Virginia State Water Development Authority Revenue, Series A, 5.00%, 11/1/44, Callable 11/1/15 @ 100, FSA ..... 1,000,000 1,046,800 West Virginia State, Highway Improvements, G.O., 5.50%, 6/1/10, FSA ................. 1,395,000 1,488,312 West Virginia State, State Road Improvements, G.O., 5.00%, 6/1/16, Callable 6/1/15 @ 100, FGIC .............................. 2,000,000 2,174,560
SHARES OR PRINCIPAL FAIR AMOUNT VALUE ---------------- ------------ MUNICIPAL BONDS, CONTINUED West Virginia, continued West Virginia University, School Improvements Revenue, Series A, 5.50%, 4/1/11, MBIA ... $ 1,485,000 $ 1,604,275 West Virginia University, School Improvements Revenue, Series C, 5.00%, 10/1/25, Callable 10/1/14 @ 100, FGIC ............. 2,155,000 2,283,201 West Virginia Water Development Authority Revenue Series A, 5.00%, 10/1/28, Callable 10/1/13 @ 101, OID ....................... 2,115,000 2,230,500 Wheeling, WV, Waterworks & Sewer Systems Revenue, Series A, 4.75%, 6/1/36, Callable 6/1/16 @ 100, FSA ........................ 1,500,000 1,534,965 ------------- Total Municipal Bonds (Cost $63,334,706) .................... 65,056,947 ------------- INVESTMENT COMPANY (1.1%) Federated Tax-Free Obligations Fund, Institutional Service Class .............. 727,776 727,776 ------------- Total Investment Company (Cost $727,776) ....................... 727,776 ------------- Total Investments (Cost $64,062,482) -- 98.6% .............. 65,784,723 Net other assets (liabilities) -- 1.4% ...... 904,360 ------------- Net Assets -- 100.0% ........................ $ 66,689,083 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 75 Prime Money Market Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL AMORTIZED AMOUNT COST ---------------- ------------- BANKERS ACCEPTANCE (0.4%) Banking (0.4%) Wachovia Bank NA, 5.45%, 12/22/06 ........... $ 6,000,000 $ 5,925,517 ------------- Total Bankers Acceptance (Cost $5,925,517) ..................... 5,925,517 ------------- CERTIFICATES OF DEPOSIT (9.9%) Banking (9.9%) Barclays Bank PLC, 5.38%, 10/4/06 ........... 25,000,000 25,000,000 Barclays Bank PLC, 4.75%, 10/17/06 .......... 5,000,000 5,000,005 Calyon Bank, Paris, 5.36%, 4/30/07 .......... 5,000,000 5,000,139 Citizens Bank of Pennsylvania, 5.37%, 11/27/06 ................................. 5,000,000 5,000,078 Credit Suisse, Zurich, 4.78%, 10/27/06 ...... 14,000,000 14,000,000 Credit Suisse, Zurich, 5.25%, 11/20/06 ...... 3,000,000 3,000,000 Credit Suisse, Zurich, 4.92%, 2/5/07 ........ 5,000,000 5,000,000 Credit Suisse, Zurich, 5.21%, 3/29/07 ....... 5,000,000 5,000,000 Depfa Bank PLC, 5.26%, 4/9/07 ............... 5,000,000 5,000,000 Deutsche Bank AG, 4.50%, 10/13/06 ........... 6,000,000 6,000,000 First Tennessee Bank, 5.31%, 12/26/06 ....... 12,000,000 12,000,000 Huntington National Bank, 5.45%, 12/4/06 .... 10,000,000 10,000,000 Royal Bank of Scotland PLC, Edinburgh, 4.40%, 10/4/06 ........................... 5,000,000 5,000,000 Societe General, Paris, 5.41%, 2/20/07 ...... 10,000,000 10,000,000 Toronto Dominion Bank, 5.42%, 2/12/07 ....... 12,000,000 12,000,000 Toronto Dominion Bank, 5.295%, 4/13/07 ...... 2,000,000 2,000,000 Toronto Dominion Bank, 5.60%, 6/18/07 ....... 4,000,000 4,000,000 Toronto Dominion Bank, 5.51%, 8/3/07 ........ 2,500,000 2,501,365 ------------- Total Certificates of Deposit (Cost $135,501,587) ................... 135,501,587 ------------- COMMERCIAL PAPER** (32.4%) Financial Services (30.8%) Amsterdam Funding Corp., 5.27%, 11/27/06 (c) ............................. 15,000,000 14,874,838 Amsterdam Funding Corp., 5.29%, 2/9/07 (c) .. 8,000,000 7,846,148 Bank of America Corp., 5.28%, 10/16/06 ...... 25,000,000 24,944,999 CIT Group, Inc., 5.01%, 10/3/06 ............. 2,000,000 1,999,440 DaimlerChrysler North America Holding Corp., 5.41%, 11/13/06 .......................... 5,100,000 5,067,079 DaimlerChrysler North America Holding Corp., 5.37%, 11/20/06 .......................... 2,300,000 2,282,846 DaimlerChrysler North America Holding Corp., 5.38%, 12/20/06 .......................... 700,000 691,631 DaimlerChrysler North America Holding Corp., 5.36%, 12/27/06 .......................... 5,700,000 5,626,166 DaimlerChrysler Revolving Corp., 5.24%, 12/27/06 ................................. 20,000,000 19,746,733 Danske Corp., Inc., 4.98%, 4/10/07 .......... 4,000,000 3,894,228 Dresdner US Finance, 5.28%, 11/20/06 ........ 10,000,000 9,926,667 Edison Asset Securitization, 5.38%, 10/5/06 (c) .............................. 10,000,000 9,994,022 FCAR Auto Loan Trust, 5.27%, 11/7/06 ........ 10,000,000 9,945,836 FCAR Auto Loan Trust, 5.11%, 11/13/06 ....... 8,000,000 7,951,171
PRINCIPAL AMORTIZED AMOUNT COST ---------------- ------------- COMMERCIAL PAPER**, CONTINUED Financial Services, continued FCAR Auto Loan Trust, 5.28%, 12/11/06 ....... $ 1,750,000 $ 1,731,777 FCAR Auto Loan Trust, 5.29%, 2/5/07 ......... 8,000,000 7,850,704 FCAR Auto Loan Trust, 5.28%, 2/6/07 ......... 8,000,000 7,849,813 FCAR Auto Loan Trust, 5.31%, 2/12/07 ........ 10,000,000 9,802,350 FCAR Auto Loan Trust, 5.31%, 2/15/07 ........ 10,000,000 9,797,925 FCAR Auto Loan Trust, 5.25%, 3/7/07 ......... 6,000,000 5,862,625 Fountain Square Commercial Funding Corp., 5.34%, 11/1/06 (c) ....................... 8,000,000 7,963,213 Fountain Square Commercial Funding Corp., 5.28%, 11/16/06 (c) ...................... 20,000,000 19,865,067 Fountain Square Commercial Funding Corp., 5.27%, 12/15/06 (c) ...................... 15,000,000 14,835,313 Galaxy Funding, Inc., 5.24%, 12/29/06 (c) ... 8,000,000 7,896,364 Georgetown Funding Co., LLC, 5.30%, 10/24/06 (c) ............................. 25,000,000 24,915,346 Grampian Funding LLC, 5.37%, 10/25/06 (c) ... 10,000,000 9,964,200 Grampian Funding LLC, 5.28%, 2/5/07 (c) ..... 7,000,000 6,869,737 Grampian Funding LLC, 5.27%, 2/6/07 (c) ..... 4,000,000 3,925,120 Grampian Funding LLC, 5.29%, 2/7/07 (c) ..... 8,000,000 7,848,497 Grampian Funding LLC, 5.24%, 3/12/07 (c) .... 3,500,000 3,417,470 Greenwich Capital Holdings, 5.29%, 10/13/06*** .............................. 6,000,000 6,000,000 Greenwich Capital Holdings, 5.24%, 12/19/06 ................................. 15,000,000 14,827,517 Klio II Funding, Ltd., 5.28%, 10/18/06 (c) .. 15,000,000 14,962,600 Klio II Funding, Ltd., 5.15%, 10/19/06 (c) .. 20,000,000 19,947,250 Nissan Motor Acceptance Corp., 5.33%, 10/30/06 (c) ............................. 7,671,000 7,638,064 Paradigm Funding LLC, 5.28%, 11/29/06 (c) ... 10,000,000 9,913,467 Paradigm Funding LLC, 5.23%, 3/21/07 (c) .... 13,000,000 12,677,048 Picaros Funding LLC, 5.39%, 10/6/06 (c) ..... 5,000,000 4,996,257 Picaros Funding LLC, 5.34%, 10/11/06 (c) .... 6,500,000 6,490,250 Picaros Funding LLC, 5.11%, 10/20/06 (c) .... 20,000,000 19,944,267 Picaros Funding LLC, 5.25%, 2/8/07 (c) ...... 10,000,000 9,809,514 Societe Generale Northern American, 5.27%, 2/12/07 ........................... 8,000,000 7,843,220 Volkswagen of America, Inc., 5.33%, 10/20/06 (c) ............................. 13,200,000 13,162,868 ------------- 423,399,647 ------------- Retail (1.6%) Fortune Brands, Inc., 5.47%, 10/3/06 (c) .... 2,000,000 1,999,392 Fortune Brands, Inc., 5.37%, 10/20/06 (c) ... 6,000,000 5,982,995 Heinz (H.J) Finance Co., 5.34%, 10/26/06 (c) ............................. 13,500,000 13,449,938 ------------- 21,432,325 ------------- Total Commercial Paper (Cost $444,831,972) ................... 444,831,972 -------------
Continued 76 Prime Money Market Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
PRINCIPAL AMORTIZED AMOUNT COST ---------------- ------------- CORPORATE BONDS (6.6%) Asset Backed Securities (1.8%) CNH Equipment Trust, Series 2006-A, Class A-1, 4.99%, 4/5/07 ................. $ 1,744,247 $ 1,744,247 CNH Equipment Trust, Series 2006-B, Class A-1, 5.39%, 10/5/07 ................ 10,000,000 10,000,000 Ford Credit Auto Owner Trust, Series 2006-B, Class A-1, 5.40%, 9/15/07 (c) ............ 4,111,431 4,111,431 GS Auto Loans Trust, Series 2006-1, Class A-1, 5.51%, 8/15/07 ................ 5,982,009 5,982,009 Household Automotive Trust, Series 2006-1, Class A-1, 5.275%, 6/18/07 ............... 2,644,534 2,644,534 ------------- 24,482,221 ------------- Financial Services (4.8%) Dupont Teijin Films U.K., 5.32%, 10/31/06 ... 25,000,000 25,000,000 Federal Home Loan Mortgage Corp., 5.41%, 6/18/07, Callable 11/22/06 @ 100 ......... 3,000,000 3,000,000 Huntington National Bank, 2.75%, 10/16/06 ... 2,660,000 2,657,024 K2 (USA) LLC, 5.00%, 3/12/07 (c) ............ 6,700,000 6,700,000 Merrill Lynch & Co., Inc., Series 1, 5.31%, 8/24/07 .................................. 8,000,000 8,000,000 Royal Bank of Canada, Montreal, 5.49%, 10/2/07 ........................... 4,000,000 4,000,000 Sigma Finance, Inc., 4.91%, 1/26/07 (c) ..... 3,000,000 3,000,000 Sigma Finance, Inc., 4.83%, 1/30/07 (c) ..... 3,000,000 3,000,000 Sigma Finance, Inc., 5.00%, 3/8/07 (c) ...... 4,000,000 4,000,000 Sigma Finance, Inc., 5.25%, 4/30/07 (c) ..... 3,000,000 3,000,000 Sigma Finance, Inc., 5.75%, 7/25/07 (c) ..... 4,000,000 4,000,000 ------------- 66,357,024 ------------- Total Corporate Bonds (Cost $90,839,245) .................... 90,839,245 ------------- MUNICIPAL BONDS (1.2%) Economic Development (0.9%) Florida Hurricane Catastrophe Finance Corp., Series B, 5.34%, 8/15/07, Callable 7/15/07 @ 100* .................. 12,000,000 12,000,000 ------------- Industrial Revenue (0.3%) Kansas City, Missouri, Industrial Development Authority Revenue, West Edge Project, 5.34%, 10/4/06* ................. 4,000,000 4,000,000 ------------- Total Municipal Bonds (Cost $16,000,000) .................... 16,000,000 ------------- VARIABLE RATE NOTES* (28.6%) Banking & Financial Services (12.7%) Anchor Holdings, 5.38%, 10/4/06, (LCD U.S. Bank N.A.) ............................... 1,760,000 1,760,000 Barclays Bank PLC, 5.27%, 1/29/07 ........... 4,000,000 3,999,725 Bartlett, Illinois, Redevelopment Project, 5.38%, 10/4/06, (LCD LaSalle Bank) ....... 5,000,000 5,000,000 Christian Life Assembly of the Assemblies of God, 5.47%, 10/4/06, (LCD Fulton Bank) .................................... 3,265,000 3,265,000 Damascus Co., Series 1998, 5.38%, 10/4/06 ... 3,045,000 3,045,000 Depfa Bank PLC, Series EXL, 5.43%, 6/15/07 (c) .............................. 15,000,000 15,000,000
PRINCIPAL AMORTIZED AMOUNT COST ---------------- ------------- VARIABLE RATE NOTES*, CONTINUED Banking & Financial Services, continued Franklin County, Ohio, Edison Welding, Series 1995, 5.38%, 10/5/06, (LCD Huntington Bank) ......................... $ 4,775,000 $ 4,775,000 Guilford Capital LLC, Series 2002-A, 5.42%, 10/4/06, (LCD Regions Bank) ....... 1,620,000 1,620,000 H.C. Equities, 5.33%, 10/4/06, (LCD Wachovia Bank NA) ........................ 4,910,000 4,910,000 HBOS Treasury Services PLC, 5.00%, 7/24/07 .. 10,000,000 10,000,000 HBOS Treasury Services PLC, 5.38%, 8/1/07 ... 23,300,000 23,300,000 HBOS Treasury Services PLC, Series MTN, 5.30%, 8/9/07 (c) ........................ 2,000,000 2,000,000 HBOS Treasury Services PLC, 5.46%, 9/20/07 (c) .............................. 500,000 500,280 HBOS Treasury Services PLC, 5.46%, 10/1/07 (c) .............................. 8,000,000 8,000,000 Indian Hills Country Club, 5.40%, 10/4/06, (LCD AmSouth Bank NA, Birmingham) ........ 3,785,000 3,785,000 Kent Capital LLC, Series 1999, 5.47%, 10/4/06, (LCD Huntington Bank) ........... 5,285,000 5,285,000 Maryland Economic Development Corp., 5.43%, 10/3/06, (LCD Manufacturers & Traders Trust Co.) ............................... 7,000,000 7,000,000 Monet Trust, Series 2001, Class A-2A, 5.43%, 12/28/06, (LCD Dresden Bank AG) (c) (e) .............................. 30,000,000 30,000,000 New Keibler Thompson Co., 5.42%, 12/1/08, (LCD Manufacturers & Traders Trust Co.) ............................... 4,940,000 4,940,000 Quality Synthetic Rubber Co., 5.32%, 10/4/06, (LCD U.S. Bank N.A.) ............ 288,000 288,000 Spira Millennium LLC, 5.35%, 10/4/06, (LCD Bank of America) .................... 3,655,000 3,655,000 Stone Creek LLC, 5.33%, 10/4/06, (LCD Columbus Bank and Trust Co.) ............. 14,485,000 14,485,000 TOG Properties, Inc., 5.40%, 10/4/06, (LCD AmSouth Bank N.A.) .................. 7,142,000 7,142,000 Vestavia Hills Baptist, 5.40%, 10/4/06, (LCD Amsouth Bank NA) .................... 2,900,000 2,900,000 Wells Fargo & Co., 5.38%, 8/3/07 ............ 2,000,000 2,000,000 World Wildlife Fund, Inc., 5.37%, 10/4/06, (LCD AMBAC Financial Group, Inc.) ........ 4,725,000 4,725,000 ------------- 173,380,005 ------------- Brokers & Dealers (4.6%) Goldman Sachs Group, Inc., 5.38%, 8/15/07 (c) .............................. 5,000,000 5,000,244 Greenwich Capital Holdings, 5.29%, 11/9/06 .. 2,000,000 2,000,000 Merrill Lynch & Co., Inc., Series 1, 5.365%, 5/29/07 .......................... 12,000,000 12,000,000 Merrill Lynch & Company, Inc., 5.58%, 7/11/07 (c) .............................. 12,000,000 12,000,000 Merrill Lynch & Company, Inc., 5.39%, 8/3/07 ................................... 10,000,000 10,000,000 Morgan Stanley, Series EXLS, 5.35%, 8/3/07 ................................... 10,000,000 10,000,000 Morgan Stanley, 5.39%, 8/3/07 ............... 5,000,000 5,000,000
Continued 77 Prime Money Market Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
PRINCIPAL AMORTIZED AMOUNT COST ---------------- ------------- VARIABLE RATE NOTES*, CONTINUED Brokers & Dealers, continued Morgan Stanley, 5.40%, 8/27/07 .............. $ 7,000,000 $ 7,000,000 ------------- 63,000,244 ------------- Financial Services (8.8%) Bank of Ireland, 5.31%, 8/14/07 (c) ......... 25,000,000 25,000,000 BNP Paribas SA, 5.36%, 5/18/07 (c) .......... 14,000,000 14,000,000 Compass Securitization LLC, 5.285%, 1/12/07 (c) .............................. 8,000,000 7,999,411 Compass Securitization LLC, 5.285%, 3/6/07 (c) ............................... 15,000,000 14,999,030 Compass Securitization LLC, 5.285%, 9/3/07 (c) ............................... 8,000,000 7,999,440 General Electric Capital Corp., 5.455%, 7/9/07 (c) ............................... 7,000,000 7,000,000 General Electric Capital Corp., 5.43%, 8/17/07 (c) .............................. 7,000,000 7,000,000 Paradigm Funding LLC, 5.29%, 4(2) 3/1/07 (c) ............................... 10,000,000 9,999,583 SLM Corp., 5.33%, 8/10/07 ................... 15,000,000 15,000,000 Westpac Banking Corp., 5.30%, 7/16/07 (c) ... 12,000,000 12,000,000 ------------- 120,997,464 ------------- Financial, Speciality (1.0%) K2 (USA) LLC, 5.445%, 4/25/07 (c) ........... 4,000,000 3,999,091 K2 (USA) LLC, 5.31%, 7/10/07 (c) ............ 3,000,000 3,000,085 K2 (USA) LLC, 5.32%, 10/9/07 (c) ............ 2,000,000 1,999,800 SLM Corp., 5.685%, 7/25/07 (c) .............. 5,000,000 5,009,232 ------------- 14,008,208 ------------- Insurance (1.5%) Genworth Life Insurance Co., 5.53%, 11/9/06 (e) .............................. 5,000,000 5,000,000 Metropolitan Life Insurance Co., 5.61%, 11/1/06 (e) .............................. 5,000,000 5,000,000 Metropolitan Life Insurance Co. of Connecticut, 5.28%, 11/21/06 (e) ......... 5,000,000 5,000,000 New York Life Insurance Co., 5.48%, 11/25/06 (e) ............................. 5,000,000 5,000,000 ------------- 20,000,000 ------------- Total Variable Rate Notes (Cost $391,385,921) ................... 391,385,921 -------------
PRINCIPAL AMORTIZED AMOUNT COST ---------------- -------------- REPURCHASE AGREEMENT (5.9%) ING Financial Markets, 5.40%, dated 9/29/06, maturing 10/2/06, with a maturity value of $80,114,035 (Collateralized fully by various U.S. Government Agencies) ................................ $ 80,078,000 $ 80,078,000 -------------- Total Repurchase Agreement (80,078,000) .......................... 80,078,000 -------------- COLLATERALIZED LOAN AGREEMENTS (15.0%) Bear Stearns & Co., 5.50%, dated 9/29/06, maturing 10/2/06, with a maturity value of $25,011,448 ........................... 25,000,000 25,000,000 First Boston, 5.48%, dated 9/29/06, maturing 10/2/06, with a maturity value of $26,011,863 ........................... 26,000,000 26,000,000 Goldman Sachs Group, Inc., 5.48%, dated 9/29/06, maturing 10/2/06, with a maturity value of $18,008,213 ............ 18,000,000 18,000,000 Greenwich Capital Markets, Inc., 5.50%, dated 9/29/06, maturing 10/2/06, with a maturity value of $22,010,083 ............ 22,000,000 22,000,000 J.P. Morgan Securities, Inc., 5.48%, dated 9/29/06, maturing 10/2/06, with a maturity value of $25,011,406 ............ 25,000,000 25,000,000 Merrill Lynch & Co., 5.51%, dated 9/29/06, maturing 10/2/06, with a maturity value of $20,009,175 ........................... 20,000,000 20,000,000 Morgan Stanley, 5.48%, dated 9/29/06, maturing 10/2/06, with a maturity value of $45,020,531 ........................... 45,000,000 45,000,000 Washington Mutual, 5.45%, dated 9/29/06, maturing 10/2/06, with a maturity value of $25,011,344 ........................... 25,000,000 25,000,000 -------------- Total Collateralized Loan Agreements (Cost $206,000,000) ................... 206,000,000 -------------- Total Investments (Cost $1,370,562,242) -- 100.0% .......... 1,370,562,242 Net other assets (liabilities) -- 0.0% ...... 29,786 -------------- Net Assets -- 100.0% ........................ $1,370,592,028 ==============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 78 U.S. Treasury Money Market Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL AMORTIZED AMOUNT COST ---------------- ------------- U.S. TREASURY BILLS** (12.2%) 4.65%, 10/12/06 ............................. $ 20,000,000 $ 19,970,917 4.815%, 12/21/06 ............................ 30,000,000 29,660,476 4.94%, 1/18/07 .............................. 30,000,000 29,550,012 ------------- Total U.S. Treasury Bills (Cost $79,181,405) .................... 79,181,405 ------------- U.S. TREASURY NOTES (19.9%) 2.50%, 10/31/06 ............................. 30,000,000 29,938,325 3.50%, 11/15/06 ............................. 30,000,000 29,940,801 2.88%, 11/30/06 ............................. 30,000,000 29,884,086 3.13%, 1/31/07 .............................. 30,000,000 29,810,147 2.25%, 2/15/07 .............................. 10,000,000 9,899,421 ------------- Total U.S. Treasury Notes (Cost $129,472,780) ................... 129,472,780 ------------- REPURCHASE AGREEMENTS (67.9%) Bank of America Corp., 4.75%, dated 9/29/06, maturing 10/2/06, with a maturity value of $110,043,542 (Collateralized fully by U.S. Treasury Notes) ............ 110,000,000 110,000,000 First Boston, 4.95%, dated, 9/29/06, maturing 10/2/06, with a maturity value of $131,526,743 (Collateralized fully by U.S. Treasury Notes) ..................... 131,472,510 131,472,510
PRINCIPAL AMORTIZED AMOUNT COST ---------------- ------------- REPURCHASE AGREEMENTS, CONTINUED Goldman Sachs Group, Inc., 4.90%, dated 9/29/06, maturing 10/2/06, with a maturity value of $75,030,625 (Collateralized fully by U.S. Treasury Notes) ............ $ 75,000,000 $ 75,000,000 Lehman Brothers Holdings, Inc., 5.00%, dated 9/29/06, maturing 10/2/06, with a maturity value of $70,029,167 (Collateralized fully by U.S. Treasury Notes) ................................... 70,000,000 70,000,000 Merrill Lynch & Co., 4.85%, dated 9/29/06, maturing 10/2/06, with a maturity value of $55,022,229 (Collateralized fully by U.S. Treasury Notes) .......................... 55,000,000 55,000,000 ------------- Total Repurchase Agreements (Cost $441,472,510) ................... 441,472,510 ------------- Total Investments (Cost $650,126,695) -- 100.0% ............ 650,126,695 Net other assets (liabilities) -- 0.0% ...... (307,105) ------------- Net Assets -- 100.0% ........................ $ 649,819,590 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 79 National Tax-Free Money Market Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
PRINCIPAL AMORTIZED AMOUNT COST ---------------- ------------- MUNICIPAL BONDS (97.8%) Alabama (4.3%) Jefferson County, AL, Sewer Refunding Revenue, SubSeries B-7, 3.76%, 10/5/06, XLCA* .................................... $ 2,300,000 $ 2,300,000 Port City, AL, Medical Clinic Board Revenue, 3.73%, 10/5/06, AMBAC* ................... 1,780,000 1,780,000 ------------- 4,080,000 ------------- Alaska (1.8%) Valdez, AK, Marine Terminal Refunding Revenue, BP Pipelines, Inc. Project, 3.85%, 10/2/06* .......................... 1,700,000 1,700,000 ------------- Arizona (3.8%) Arizona Health Facilities Authority Revenue, 3.79%, 10/5/06, Citibank* ................ 3,500,000 3,500,000 Tucson, AZ, Industrial Development Authority Revenue, Lincoln Garden Project, 3.74%, 10/3/06, FHLMC* .......................... 100,000 100,000 ------------- 3,600,000 ------------- Colorado (1.7%) Thorton, CO, Industrial Development Refunding Revenue, 3.84%, 8/1/11, U.S. Bank* .................................... 1,600,000 1,600,000 ------------- Florida (8.1%) Jacksonville, FL, Economic Development, Commission Health Care Facilities Revenue, Series A, 3.78%, 10/5/06, Fortis Banque Belgium, JP Morgan Chase Bank* ........... 1,225,000 1,225,000 Miami, FL, Health Facilities Authority Refunding Revenue, Mercy Hospital Project, 3.75%, 10/4/06, NationsBank N.A.* ........ 3,020,000 3,020,000 Pasco County, FL, School Board, Certificates of Participation, 3.74%, 10/5/06, AMBAC* ................................... 1,250,000 1,250,000 Tallahassee, FL, Capital Bonds Revenue, Series 607, 3.78%, 10/5/06, FSA (c)* ..... 2,290,000 2,290,000 ------------- 7,785,000 ------------- Illinois (15.2%) Chicago, IL, Metropolitan Water Reclamation District, G.O., Series 59, 3.78%, 10/5/06, Goldman Sachs (c)* ....................... 2,000,000 2,000,000 Cook County, IL, Public Improvements, G.O., Series B, 3.75%, 10/4/06, Landesbank Hessen* .................................. 4,750,000 4,750,000 Illinois Development Finance Authority Revenue, St. Ignatius College Preparatory, 3.76%, 10/4/06, Northern Trust Co.* ...... 4,000,000 4,000,000 Illinois Health Facilities Authority Refunding Revenue, Series B, 3.75%, 10/4/06, J.P. Morgan Chase Bank* ......... 3,800,000 3,800,000 ------------- 14,550,000 ------------- Indiana (2.1%) Indiana Health Facilities Financing Authority Revenue, Riverview Hospital Project, 3.75%, 10/5/06, National City Bank of Indiana* . ............................... 2,000,000 2,000,000 ------------- Kentucky (3.1%) Jefferson County, KY, Student Housing Industrial Building Revenue, Series A, 3.75%, 10/5/06, Regions Bank* ............ 3,000,000 3,000,000 -------------
PRINCIPAL AMORTIZED AMOUNT COST ---------------- ------------- MUNICIPAL BONDS, CONTINUED Louisiana (2.2%) New Orleans, LA, Refunding, G.O., Series A20, 3.83%, 10/4/06, FGIC (c)* ................ $ 2,095,000 $ 2,095,000 ------------- Maryland (1.5%) Maryland State Health & Higher Educational Facilities Authority Revenue, Series A, 3.75%, 10/4/06, Bank One* ................ 1,400,000 1,400,000 ------------- Massachusetts (3.9%) Clipper Tax Exempt Trust, Certificates of Participation, 3.75%, 2/1/07, State Street Bank & Trust (c)* ........................ 3,699,000 3,699,000 ------------- Michigan (2.1%) Kent, MI, Hospital Finance Authority Refunding Revenue, Series B, 3.74%, 10/4/06, MBIA* ........................... 2,025,000 2,025,000 ------------- Minnesota (8.5%) Minneapolis, MN, Health Care System Revenue, Series A, 3.74%, 10/4/06, AMBAC* ................................... 4,000,000 4,000,000 University of Minnesota, Various Purposes Revenue, Series C, 3.72%, 10/4/06, JP Morgan Chase Bank* .................... 4,150,000 4,150,000 ------------- 8,150,000 ------------- Missouri (3.1%) Kansas City, MO, Industrial Development Authority Revenue, Downtown Arena Project, Series C, 3.77%, 10/4/06, AMBAC* ................................... 3,000,000 3,000,000 ------------- Nevada (2.6%) Truckee, NV, Meadows Water Authority Revenue, Series 2006B, 3.60%, 2/6/07 ..... 2,500,000 2,500,000 ------------- New Jersey (4.0%) Fanwood, NJ, Tax Anticipation Notes, G.O., 4.13%, 12/1/06 ........................... 1,400,000 1,400,746 Park Ridge, NJ, Board of Education, G.O., 4.50%, 8/7/07 ............................ 1,340,000 1,345,466 West Orange Township, NJ, G.O., 4.50%, 6/20/07 .................................. 1,082,545 1,087,770 ------------- 3,833,982 ------------- New York (6.1%) New York State Housing Finance Agency Service Refunding Revenue, Series G, 3.75%, 10/4/06, WestLB* .................. 2,000,000 2,000,000 New York, NY, Public Improvements, G.O., SubSeries H6, 3.74%, 10/4/06, Fleet National Bank* ........................... 3,850,000 3,850,000 ------------- 5,850,000 ------------- Ohio (0.9%) Cleveland Heights, OH,, 4.50%, 8/9/07 ....... 850,000 855,246 ------------- Pennsylvania (3.1%) Pennsylvania State Higher Educational Facilities Revenue, Drexel University, Series B, 3.76%, 10/5/06, Landesbank Hessen* .................................. 3,000,000 3,000,000 ------------- Texas (5.0%) Harris County, TX, Health Facilities Development Revenue, Texas Medical Center Project, 3.89%, 10/2/06, MBIA* ........... 1,300,000 1,300,000
Continued 80 National Tax-Free Money Market Fund SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED SEPTEMBER 30, 2006
PRINCIPAL AMORTIZED AMOUNT COST ---------------- ------------- MUNICIPAL BONDS, CONTINUED Texas, continued North Texas Tollway Authority Revenue, Series C, 3.77%, 10/4/06, FGIC* ................. $ 3,500,000 $ 3,500,000 ------------- 4,800,000 ------------- Virginia (5.7%) Virginia Beach, VA, Development Authority Revenue, LifeNet Project, 3.75%, 10/4/06, SunTrust Bank* ........................... 3,550,000 3,550,000 Virginia Small Business Finance Authority Refunding Revenue, Virginia Historical Society, 3.75%, 10/4/06, SunTrust Bank* .. 1,900,000 1,900,000 ------------- 5,450,000 ------------- Wisconsin (9.0%) Wisconsin State Health & Educational Facilities Authority Revenue, Grace Lutheran Foundation Project, 3.74%, 10/4/06, Firstar Bank N.A.* .............. 2,340,000 2,340,000 Wisconsin State Health & Educational Facilities Authority Revenue, Series B, 3.75%, 10/5/06, Marshall & Ilsley* ....... 4,500,000 4,500,000 Wisconsin State Health & Educational Facilities Revenue, 3.74%, 10/5/06, Citibank N.A.* ........................... 1,800,000 1,800,000 ------------- 8,640,000 ------------- Total Municipal Bonds (Cost $93,613,228) .................... 93,613,228 -------------
SHARES OR PRINCIPAL AMORTIZED AMOUNT COST ---------------- ------------- COMMERCIAL PAPER (2.1%) Connecticut (2.1%) Connecticut Development Authority, New England Power Co., Series 1999, 3.70%, 10/30/06.................................. $ 2,000,000 $ 2,000,000 ------------- Total Commercial Paper (Cost $ 2,000,000)..................... 2,000,000 ------------- INVESTMENT COMPANY (0.0%) Investment Company (0.0%) SEI Tax-Exempt Trust -- Institutional Class.. 27,717 27,717 ------------- Total Investment Company (Cost $ 27,717)........................ 27,717 ------------- Total Investments (Cost $ 95,640,945) -- 99.9%.............. 95,640,945 Net other assets (liabilities) -- 0.1%....... 119,560 ------------- Net Assets -- 100.0%......................... $ 95,760,505 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 81 Capital Manager Conservative Growth Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE ---------------- ------------- AFFILIATED INVESTMENT COMPANIES (100.1%) BB&T International Equity Fund, Institutional Class .................................... 330,464 $ 3,711,110 BB&T Large Cap Fund, Institutional Class .... 483,602 9,855,815 BB&T Large Cap Growth Fund, Institutional Class .................................... 717,207 6,512,240 BB&T Mid Cap Growth Fund, Institutional Class .................................... 89,715 1,174,370 BB&T Mid Cap Value Fund, Institutional Class .................................... 130,423 1,765,931 BB&T Small Cap Fund, Institutional Class .... 124,157 1,885,952 BB&T Total Return Bond Fund, Institutional Class .................................... 3,434,900 34,795,534 BB&T U.S. Treasury Money Market Fund, Institutional Class ...................... 1,841,589 1,841,589 ------------- Total Affiliated Investment Companies (Cost $55,801,810) .................... 61,542,541 ------------- Total Investments (Cost $55,801,810) -- 100.1% .......... 61,542,541 Net other assets (liabilities) -- (0.1)% .... (37,067) ------------- Net Assets -- 100.0% ........................ $ 61,505,474 =============
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 82 Capital Manager Moderate Growth Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE --------- ----------- AFFILIATED INVESTMENT COMPANIES (99.9%) BB&T International Equity Fund, Institutional Class ............................................. 701,834 $ 7,881,594 BB&T Large Cap Fund, Institutional Class ............. 1,036,179 21,117,323 BB&T Large Cap Growth Fund, Institutional Class ............................................. 1,503,652 13,653,160 BB&T Mid Cap Growth Fund, Institutional Class ............................................. 190,360 2,491,816 BB&T Mid Cap Value Fund, Institutional Class ............................................. 277,122 3,752,229 BB&T Small Cap Fund, Institutional Class ............. 263,669 4,005,138 BB&T Total Return Bond Fund, Institutional Class ............................................. 2,520,474 25,532,403 BB&T U.S. Treasury Money Market Fund, Institutional Class ............................... 2,373,313 2,373,313 ----------- Total Affiliated Investment Companies (Cost $71,161,734) ............................. 80,806,976 ----------- Total Investments (Cost $71,161,734) -- 99.9% ....................... 80,806,976 Net other assets (liabilities) -- 0.1% ............... 113,941 ----------- Net Assets -- 100.0% ................................. $80,920,917 ===========
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 83 Capital Manager Growth Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE --------- ----------- AFFILIATED INVESTMENT COMPANIES (99.8%) BB&T International Equity Fund, Institutional Class ............................................. 660,358 $ 7,415,820 BB&T Large Cap Fund, Institutional Class ............. 980,715 19,986,966 BB&T Large Cap Growth Fund, Institutional Class ............................................. 1,401,000 12,721,080 BB&T Mid Cap Growth Fund, Institutional Class ............................................. 179,022 2,343,394 BB&T Mid Cap Value Fund, Institutional Class ............................................. 260,742 3,530,446 BB&T Small Cap Fund, Institutional Class ............. 248,004 3,767,178 BB&T Total Return Bond Fund, Institutional Class ............................................. 1,023,264 10,365,663 BB&T U.S. Treasury Money Market Fund, Institutional Class ............................... 2,218,042 2,218,042 ----------- Total Affiliated Investment Companies (Cost $54,449,108) ............................. 62,348,589 ----------- Total Investments (Cost $54,449,108) -- 99.8% ....................... 62,348,589 Net other assets (liabilities) -- 0.2% ............... 123,119 ----------- Net Assets -- 100.0% ................................. $62,471,708 ===========
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 84 Capital Manager Equity Fund SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2006
FAIR SHARES VALUE --------- ----------- AFFILIATED INVESTMENT COMPANIES (100.0%) BB&T International Equity Fund, Institutional Class ............................................. 388,056 $ 4,357,869 BB&T Large Cap Fund, Institutional Class ............. 579,827 11,816,874 BB&T Large Cap Growth Fund, Institutional Class ............................................. 816,241 7,411,468 BB&T Mid Cap Growth Fund, Institutional Class ............................................. 105,355 1,379,097 BB&T Mid Cap Value Fund, Institutional Class ............................................. 153,575 2,079,400 BB&T Small Cap Fund, Institutional Class ............. 145,810 2,214,854 BB&T U.S. Treasury Money Market Fund, Institutional Class ............................... 1,375,891 1,375,891 ----------- Total Affiliated Investment Companies (Cost $25,518,100) ............................. 30,635,453 ----------- Total Investments (Cost $25,518,100) -- 100.0% ...................... 30,635,453 Net other assets (liabilities) -- 0.0% ............... (3,475) ----------- Net Assets -- 100.0% ................................. $30,631,978 ===========
See page 86 for footnote legend to the Schedules of Portfolio Investments. See accompanying notes to the financial statements. 85 BB&T Funds FOOTNOTE LEGEND TO THE SCHEDULES OF PORTFOLIO INVESTMENTS (a) Represents non-income producing security. (b) Represents that all or a portion of the security was on loan as of September 30, 2006. (c) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Investment Advisor, using board approved procedures, has deemed these securities or a portion of these securities to be liquid. (d) Represents that all or a portion of the security was pledged as collateral for securities purchased on a when-issued basis. (e) Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Investment Advisor, using board approved procedures, has deemed these securities to be illiquid. As of September 30, 2006, these securities represent 3.7% and 3.6% of net assets in the North Carolina Intermediate Tax-Free Fund and the Prime Money Market Fund, respectively. (f) Represents a security purchased on a when-issued basis. At September 30, 2006, total cost of investments purchased on a when-issued basis for the Total Return Bond and the North Carolina Intermediate Tax-Free Fund was $39,663,098 and $2,016,215, respectively. * The interest rate for this variable rate note, which will change periodically, is based either on the prime rate or an index of market rates. The reflected rate is in effect as of September 30, 2006. For bond funds, the maturity date reflected is the final maturity date. For money market funds, the maturity date reflected is the next reset date. ** Discount Note or zero coupon bond. Rate disclosed represents the effective yield at September 30, 2006. *** Interest bearing commercial paper ADR -- American Depositary Receipt. AMBAC -- Insured by AMBAC Indemnity Corp. AMBAC-TCRS -- Secondarily Insured by AMBAC Indemnity Corp. ETM -- Escrowed to Maturity. FGIC -- Insured by the Financial Guaranty Insurance Corp. FHA -- Insured by the Federal Housing Administration. FSA -- Insured by Financial Security Assurance. G.O. -- General Obligation LCD -- Letter of Credit. LLC -- Limited Liability Company. MBIA -- Insured by the Municipal Bond Insurance Association. NA -- North America. OID -- Original Issue Discount. REIT -- Real Estate Investment Trust. SCSDE -- South Carolina School District Enhancement. XLCA -- Insured by XL Capital Assurance. See accompanying notes to the financial statements. 86 [THIS PAGE IS INTENTIONALLY LEFT BLANK] 87 BB&T Funds STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 2006
LARGE CAP LARGE CAP FUND GROWTH FUND ------------ ------------ ASSETS: Investments, at cost ................................................. $652,055,288 $284,716,018 Unrealized appreciation (depreciation) ............................ 160,666,207 32,683,200 ------------ ------------ Investments, at fair value* ....................................... 812,721,495 317,399,218 Repurchase agreements, at cost ....................................... 38,405,481 6,880,178 Cash ................................................................. -- -- Foreign currency, at value** ......................................... -- -- Interest and dividends receivable .................................... 964,315 281,220 Receivable for capital shares issued ................................. 190,567 1,117 Receivable for investments sold ...................................... -- 7,864,285 Receivable for forward foreign currency contracts .................... -- -- Receivable from fund accounting ...................................... -- -- Reclaims receivable .................................................. -- -- Receivable from Advisor .............................................. -- -- Prepaid and other expenses ........................................... 11,107 5,619 ------------ ------------ Total Assets ......................................................... 852,292,965 332,431,637 ------------ ------------ LIABILITIES: Call options written (premiums received $--; $--; $--; $--; $--; $--; $910,575; $ 170,749) ......................................... -- -- Cash overdraft ....................................................... -- 3,710 Dividends payable .................................................... 270,220 131,054 Payable for forward foreign currency contracts ....................... -- -- Payable for investments purchased .................................... -- 4,929,053 Payable for capital shares redeemed .................................. 550,374 242,032 Payable for collateral received on loaned securities ................. 126,591,112 101,006,062 Accrued expenses and other payables: Investment advisory fees .......................................... 409,740 194,151 Administration fees ............................................... 66,111 31,296 Fund accounting fees .............................................. 6,014 2,950 Transfer agency fees .............................................. 19,828 9,636 Distribution fees ................................................. 22,181 9,325 Compliance service fees ........................................... 979 481 Trustee fees ...................................................... 317 156 Other ............................................................. 64,429 35,419 ------------ ------------ Total Liabilities .................................................... 128,001,305 106,595,325 ------------ ------------ NET ASSETS: Capital .............................................................. 488,293,326 200,780,840 Accumulated (distributions in excess of) net investment income ....... (104,143) 230,874 Accumulated realized gains/(losses) from investment and foreign currency transactions ............................................. 75,436,270 (7,858,602) Net unrealized appreciation/depreciation on investments and translation of assets and liabilities in foreign currency ......... 160,666,207 32,683,200 ------------ ------------ Net Assets ........................................................... $724,291,660 $225,836,312 ============ ============ NET ASSETS Class A Shares .................................................... $ 48,656,168 $ 9,445,810 Class B Shares .................................................... 14,807,596 8,970,050 Class C Shares .................................................... 161,325 36,886 Institutional Shares ................................................. 660,666,571 207,383,566 ------------ ------------ Total ................................................................ $724,291,660 $225,836,312 ============ ============ SHARES OF BENEFICIAL INTEREST OUTSTANDING (UNLIMITED NUMBER OF SHARES AUTHORIZED, NO PAR VALUE): Class A Shares .................................................... 2,393,513 1,058,076 Class B Shares .................................................... 734,971 1,071,062 Class C Shares .................................................... 8,023 4,403 Institutional Shares ................................................. 32,417,350 22,850,209 ------------ ------------ Total ................................................................ 35,553,857 24,983,750 ============ ============ NET ASSET VALUE Class A Shares -- redemption price per share ...................... $ 20.33 $ 8.93 ============ ============ Class B Shares -- offering price per share*** ..................... $ 20.15 $ 8.37 ============ ============ Class C Shares -- offering price per share*** ..................... $ 20.11 $ 8.38 ============ ============ Institutional Shares -- offering and redemption price per share ... $ 20.38 $ 9.08 ============ ============ Maximum Sales Charge -- Class A Shares ............................... 5.75% 5.75% ============ ============ Maximum Offering Price (100%/(100% -- Maximum Sales Charge)) of net asset value adjusted to the nearest cent per share -- Class A Shares ............................................................ $ 21.57 $ 9.47 ============ ============
---------- * The Large Cap Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund, Small Cap Fund, Special Opportunities Equity Fund and Equity Income Fund include securities on loan of $122,511,470; $97,859,740; $59,151,395; $53,993,107; $27,427,088; $59,886,231 and $29,578,851; respectively. ** The International Equity Fund includes foreign currency at cost of $2,396,286. *** Redemption price per share varies by length of time shares are held. See accompanying notes to the financial statements. 88
SPECIAL MID CAP MID CAP SMALL CAP INTERNATIONAL OPPORTUNITIES EQUITY VALUE FUND GROWTH FUND FUND EQUITY FUND EQUITY FUND INCOME FUND ------------- ------------ ------------ ------------- ------------- ------------ $ 260,756,665 $175,466,051 $130,405,898 $188,454,299 $216,523,608 $127,089,920 18,463,003 20,958,353 13,538,787 64,728,915 37,739,592 15,635,492 ------------- ------------ ------------ ------------ ------------ ------------ 279,219,668 196,424,404 143,944,685 253,183,214 254,263,200 142,725,412 13,180,103 1,778,287 8,937,960 -- 13,495,020 6,673,560 -- -- -- 3,664,822 -- -- -- -- -- 2,393,987 -- -- 224,522 62,961 90,913 711,025 46,796 300,306 254,935 99,210 161,685 2,620 417,831 377,033 -- 5,977,269 -- 23,077 1,014,695 110,268 -- -- -- 163,117 -- -- -- -- -- 321 -- -- -- -- -- 575,213 -- -- -- -- 48,529 -- -- -- 4,311 4,848 10,228 3,433 9,092 7,729 ------------- ------------ ------------ ------------ ------------ ------------ 292,883,539 204,346,979 153,194,000 260,720,829 269,246,634 150,194,308 ------------- ------------ ------------ ------------ ------------ ------------ -- -- -- -- 360,500 40,425 -- -- -- -- -- -- 39,603 -- 14,873 424,126 -- 88,674 -- -- -- 16,408 1,145,254 2,671,531 -- -- 135,675 -- 140,891 307,823 100,945 100,875 277,011 85,543 62,152,094 55,773,608 28,786,261 -- 61,799,055 30,739,802 129,780 84,134 82,022 190,297 133,745 67,327 20,974 13,517 11,044 23,829 18,847 10,819 2,034 1,382 1,225 4,261 1,852 1,127 6,979 5,253 6,167 5,093 14,441 7,957 7,754 4,272 5,370 2,513 62,910 31,055 303 204 171 354 278 158 98 66 55 115 90 51 26,745 17,344 -- 53,877 8,231 4,691 ------------- ------------ ------------ ------------ ------------ ------------ 63,672,509 58,879,134 29,008,133 821,748 62,812,635 31,077,629 ------------- ------------ ------------ ------------ ------------ ------------ 203,165,703 108,397,658 116,494,950 198,079,465 159,131,371 100,654,011 (66,896) -- (27,923) (820,134) -- (345,575) 7,649,220 16,111,834 (5,819,947) (2,240,412) 9,012,961 3,042,427 18,463,003 20,958,353 13,538,787 64,880,162 38,289,667 15,765,816 ------------- ------------ ------------ ------------ ------------ ------------ $ 229,211,030 $145,467,845 $124,185,867 $259,899,081 $206,433,999 $119,116,679 ============= ============ ============ ============ ============ ============ $ 13,392,650 $ 10,381,460 $ 9,352,901 $ 4,201,595 $ 81,882,593 $ 60,059,329 5,391,165 2,376,548 4,091,524 1,819,323 22,901,428 9,591,774 742,624 32,659 19,725 187,815 34,417,955 14,260,898 209,684,591 132,677,178 110,721,717 253,690,348 67,232,023 35,204,678 ------------- ------------ ------------ ------------ ------------ ------------ $ 229,211,030 $145,467,845 $124,185,867 $259,899,081 $206,433,999 $119,116,679 ============= ============ ============ ============ ============ ============ 992,600 833,648 619,130 380,026 4,983,133 4,495,930 407,505 198,829 277,855 173,970 1,431,176 719,445 56,150 2,731 1,341 17,995 2,149,667 1,070,368 15,489,898 10,138,727 7,290,067 22,592,171 4,058,002 2,632,591 ------------- ------------ ------------ ------------ ------------ ------------ 16,946,153 11,173,935 8,188,393 23,164,162 12,621,978 8,918,334 ============= ============ ============ ============ ============ ============ $ 13.49 $ 12.45 $ 15.11 $ 11.06 $ 16.43 $ 13.36 ============= ============ ============ ============ ============ ============ $ 13.23 $ 11.95 $ 14.73 $ 10.46 $ 16.00 $ 13.33 ============= ============ ============ ============ ============ ============ $ 13.23 $ 11.96 $ 14.71 $ 10.44 $ 16.01 $ 13.32 ============= ============ ============ ============ ============ ============ $ 13.54 $ 13.09 $ 15.19 $ 11.23 $ 16.57 $ 13.37 ============= ============ ============ ============ ============ ============ 5.75% 5.75% 5.75% 5.75% 5.75% 5.75% ============= ============ ============ ============ ============ ============ $ 14.32 $ 13.21 $ 16.03 $ 11.73 $ 17.43 $ 14.17 ============= ============ ============ ============ ============ ============
See accompanying notes to the financial statements. 89 BB&T Funds STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 2006
SHORT U.S. INTERMEDIATE U.S. GOVERNMENT FUND GOVERNMENT FUND --------------- ----------------- ASSETS: Investments, at cost ................................................ $104,658,921 $302,303,232 Unrealized appreciation (depreciation) ........................... (627,883) (2,767,457) ------------ ------------ Investments, at fair value ....................................... 104,031,038 299,535,775 Repurchase agreements, at cost ...................................... 2,302,725 2,046,488 Cash ................................................................ -- -- Interest and dividends receivable ................................... 771,831 1,974,356 Receivable for capital shares issued ................................ 333,780 5,181 Receivable for investments sold ..................................... -- -- Receivable from fund accounting ..................................... -- -- Prepaid expenses .................................................... 1,647 4,202 ------------ ------------ Total Assets ........................................................ 107,441,021 303,566,002 ------------ ------------ LIABILITIES: Dividends payable ................................................... 142,090 546,991 Payable for investments purchased ................................... -- -- Payable for capital shares redeemed ................................. 15,053 435,356 Payable for collateral received on loaned securities ................ 34,618,745 35,975,000 Accrued expenses and other payables: Investment advisory fees ......................................... 36,788 140,774 Administration fees .............................................. 10,396 33,254 Fund accounting fees ............................................. 1,472 3,937 Transfer agency fees ............................................. 1,764 7,773 Distribution fees ................................................ 1,283 5,480 Compliance service fees .......................................... 161 558 Trustee fees ..................................................... 52 181 Other ............................................................ 8,988 40,156 ------------ ------------ Total Liabilities ................................................... 34,836,792 37,189,460 ------------ ------------ NET ASSETS: Capital ............................................................. 81,028,297 282,551,331 Accumulated (distributions in excess of) net investment income ...... 578,326 3,334,973 Accumulated realized gains/(losses) from investment transactions .... (8,374,511) (16,742,305) Net unrealized appreciation/depreciation on investments ............. (627,883) (2,767,457) ------------ ------------ Net Assets .......................................................... $ 72,604,229 $266,376,542 ============ ============ NET ASSETS Class A Shares ................................................... $ 6,232,886 $ 9,747,743 Class B Shares ................................................... -- 4,019,686 Class C Shares ................................................... -- 206,699 Institutional Shares ............................................. 66,371,343 252,402,414 ------------ ------------ Total ............................................................... $ 72,604,229 $266,376,542 ============ ============ SHARES OF BENEFICIAL INTEREST OUTSTANDING (UNLIMITED NUMBER OF SHARES AUTHORIZED, NO PAR VALUE): Class A Shares ................................................... 657,361 985,733 Class B Shares ................................................... -- 407,878 Class C Shares ................................................... -- 20,958 Institutional Shares ............................................. 6,993,897 25,490,546 ------------ ------------ Total ............................................................... 7,651,258 26,905,115 ============ ============ NET ASSET VALUE Class A Shares -- redemption price per share ..................... $ 9.48 $ 9.89 ============ ============ Class B Shares -- offering price per share** ..................... $ -- $ 9.86 ============ ============ Class C Shares -- offering price per share** ..................... $ -- $ 9.86 ============ ============ Institutional Shares -- offering and redemption price per share .. $ 9.49 $ 9.90 ============ ============ Maximum Sales Charge -- Class A Shares .............................. 3.00% 5.75% ============ ============ Maximum Offering Price (100%(100% -- Maximum Sales Charge)) of net asset value adjusted to the nearest cent per share -- Class A Shares ........................................................... $ 9.77 $ 10.49 ============ ============
---------- * The Short U.S. Government Fund, Intermediate U.S. Government Fund, and Total Return Bond Fund include securities on loan of $33,937,870; $35,279,800 and $95,486,370; respectively. ** Redemption price per share varies by length of time shares are held. See accompanying notes to the financial statements. 90
KENTUCKY MARYLAND NORTH CAROLINA SOUTH CAROLINA VIRGINIA TOTAL RETURN INTERMEDIATE INTERMEDIATE INTERMEDIATE INTERMEDIATE INTERMEDIATE BOND FUND TAX-FREE FUND TAX-FREE FUND TAX-FREE FUND TAX-FREE FUND TAX-FREE FUND ------------ ------------- ------------- -------------- -------------- ------------- $521,962,766 $14,050,626 $9,761,175 $104,550,325 $18,845,221 $ 74,792,579 1,279,442 302,446 142,989 3,114,610 525,292 2,461,103 ------------ ----------- ---------- ------------ ----------- ------------ 523,242,208 14,353,072 9,904,164 107,664,935 19,370,513 77,253,682 12,549,531 -- -- -- -- -- 152,901 -- -- -- -- -- 2,966,698 201,034 93,462 1,473,943 205,444 931,497 615,418 -- -- 212,974 -- 118,562 24,525,568 -- -- 27,404 -- 747,632 513 -- -- -- -- -- 3,564 92 61 438 325 1,522 ------------ ----------- ---------- ------------ ----------- ------------ 564,056,401 14,554,198 9,997,687 109,379,694 19,576,282 79,052,895 ------------ ----------- ---------- ------------ ----------- ------------ 1,168,869 32,851 22,596 275,217 46,587 208,574 85,900,687 569,415 -- 2,016,215 -- 1,280,000 308,678 37,202 -- -- 88,972 -- 97,576,279 -- -- -- -- -- 213,298 4,710 2,454 39,780 6,893 28,453 49,943 1,322 924 9,992 1,812 7,201 5,244 943 882 2,004 810 1,432 7,682 247 167 1,733 333 1,091 5,451 558 402 3,925 814 2,411 782 21 14 150 27 110 253 7 4 48 9 35 70,861 2,372 1,166 13,586 2,354 6,003 ------------ ----------- ---------- ------------ ----------- ------------ 185,308,027 649,648 28,609 2,362,650 148,611 1,535,310 ------------ ----------- ---------- ------------ ----------- ------------ 387,447,641 13,677,210 9,970,476 103,792,285 $18,875,471 74,947,771 2,191,115 5,134 (479) 52,797 15,758 31,874 (12,169,824) (80,240) (143,908) 57,352 11,150 76,837 1,279,442 302,446 142,989 3,114,610 525,292 2,461,103 ------------ ----------- ---------- ------------ ----------- ------------ $378,748,374 $13,904,550 $9,969,078 $107,017,044 $19,427,671 $ 77,517,585 ============ =========== ========== ============ =========== ============ $ 6,407,334 $ 2,729,100 $1,966,267 $ 19,162,931 $ 4,001,389 $ 11,875,099 4,871,996 -- -- -- -- -- 115,829 -- -- -- -- -- 367,353,215 11,175,450 8,002,811 87,854,113 15,426,282 65,642,486 ------------ ----------- ---------- ------------ ----------- ------------ $378,748,374 $13,904,550 $9,969,078 $107,017,044 $19,427,671 $ 77,517,585 ============ =========== ========== ============ =========== ============ 632,937 269,551 194,311 1,845,353 386,439 1,042,326 480,870 -- -- -- -- -- 11,433 -- -- -- -- -- 36,269,429 1,105,064 789,653 8,461,343 1,499,483 5,763,016 ------------ ----------- ---------- ------------ ----------- ------------ 37,394,669 1,374,615 983,964 10,306,696 1,885,922 6,805,342 ============ =========== ========== ============ =========== ============ $ 10.12 $ 10.12 $ 10.12 $ 10.38 $ 10.35 $ 11.39 ============ =========== ========== ============ =========== ============ $ 10.13 $ -- $ -- $ -- $ -- $ -- ============ =========== ========== ============ =========== ============ $ 10.13 $ -- $ -- $ -- $ -- $ -- ============ =========== ========== ============ =========== ============ $ 10.13 $ 10.11 $ 10.13 $ 10.38 $ 10.29 $ 11.39 ============ =========== ========== ============ =========== ============ 5.75% 3.00% 3.00% 3.00% 3.00% 3.00% ============ =========== ========== ============ =========== ============ $ 10.74 $ 10.44 $ 10.43 $ 10.71 $ 10.67 $ 11.75 ============ =========== ========== ============ =========== ============
See accompanying notes to the financial statements. 91 BB&T Funds STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 2006
WEST VIRGINIA INTERMEDIATE PRIME MONEY TAX-FREE FUND MARKET FUND ------------- -------------- ASSETS: Investments: Unaffiliated investments, at cost ................................ $64,062,482 $1,084,484,242 Investment in affiliates, at cost ................................ -- -- ----------- -------------- Total investments, at cost .......................................... 64,062,482 1,084,484,242 Unrealized appreciation (depreciation) ........................... 1,722,241 -- ----------- -------------- Investments, at value ............................................... 65,784,723 1,084,484,242 Repurchase agreements, at cost ...................................... -- 80,078,000 Collateralized loan agreements, at cost ............................. -- 206,000,000 Cash ................................................................ -- 3,766 Interest and dividends receivable ................................... 1,113,656 5,416,224 Receivable for capital shares issued ................................ 19,403 -- Prepaid expenses .................................................... 691 10,873 ----------- -------------- Total Assets ........................................................ 66,918,473 1,375,993,105 ----------- -------------- LIABILITIES: Dividends payable ................................................... 182,474 2,542,032 Payable for investments purchased ................................... -- 1,999,800 Payable for capital shares redeemed ................................. 1,500 -- Accrued expenses and other payables: Investment advisory fees ......................................... 24,569 316,129 Administration fees .............................................. 6,193 118,817 Fund accounting fees ............................................. 1,371 17,869 Transfer agency fees ............................................. 1,068 11,296 Distribution fees ................................................ 3,217 254,675 Compliance service fees .......................................... 92 1,786 Trustee fees ..................................................... 30 578 Other ............................................................ 8,876 138,095 ----------- -------------- Total Liabilities ................................................... 229,390 5,401,077 ----------- -------------- NET ASSETS: Capital ............................................................. 64,803,466 1,370,586,340 Accumulated (distribution in excess of) net investment income ....... (55,375) 1,184 Accumulated realized gains/(losses) from investment transactions .... 218,751 4,504 Net unrealized appreciation/depreciation on investments ............. 1,722,241 -- ----------- -------------- Net Assets .......................................................... $66,689,083 $1,370,592,028 =========== ============== NET ASSETS Class A Shares ................................................... $15,772,694 $ 636,326,997 Class B Shares ................................................... -- 2,255,590 Class C Shares ................................................... -- 393,090 Institutional Shares ............................................. 50,916,389 731,616,351 ----------- -------------- Total ............................................................... $66,689,083 $1,370,592,028 =========== ============== SHARES OF BENEFICIAL INTEREST OUTSTANDING (UNLIMITED NUMBER OF SHARES AUTHORIZED, NO PAR VALUE): Class A Shares ................................................... 1,610,777 636,323,798 Class B Shares ................................................... -- 2,255,944 Class C Shares ................................................... -- 393,086 Institutional Shares ............................................. 5,194,569 731,628,946 ----------- -------------- Total ............................................................... 6,805,346 1,370,601,774 =========== ============== NET ASSET VALUE Class A Shares -- redemption price per share ..................... $ 9.79 $ 1.00 =========== ============== Class B Shares -- offering price per share* ...................... $ -- $ 1.00 =========== ============== Class C Shares -- offering price per share* ...................... $ -- $ 1.00 =========== ============== Institutional Shares -- offering and redemption price per share .. $ 9.80 $ 1.00 =========== ============== Maximum Sales Charge -- Class A Shares .............................. 3.00% NA =========== ============== Maximum Offering Price (100%/100% -- Maximum Sales Charge) of net asset value adjusted to the nearest cent per share -- Class A Shares ........................................................... $ 10.09 $ 1.00 =========== ==============
---------- * Redemption price per share varies by length of time shares are held. See accompanying notes to the financial statements. 92
U.S. TREASURY NATIONAL CAPITAL MANAGER CAPITAL MANAGER MONEY MARKET TAX-FREE MONEY CONSERVATIVE MODERATE CAPITAL MANAGER CAPITAL MANAGER FUND MARKET FUND GROWTH FUND GROWTH FUND GROWTH FUND EQUITY FUND ------------- -------------- --------------- --------------- --------------- --------------- $208,654,185 $95,640,945 $ -- $ -- $ -- $ -- -- -- 55,801,810 71,161,734 54,449,108 25,518,100 ------------ ----------- ----------- ----------- ----------- ----------- 208,654,185 95,640,945 55,801,810 71,161,734 54,449,108 25,518,100 -- -- 5,740,731 9,645,242 7,899,481 5,117,353 ------------ ----------- ----------- ----------- ----------- ----------- 208,654,185 95,640,945 61,542,541 80,806,976 62,348,589 30,635,453 441,472,510 -- -- -- -- -- 1,314,215 406,626 187,185 198,179 131,007 52,465 -- -- 1 1,331 41,493 6,760 7,138 4,197 978 1,627 1,361 2,172 ------------ ----------- ----------- ----------- ----------- ----------- 651,448,048 96,051,768 61,730,705 81,008,113 62,522,450 30,696,850 ------------ ----------- ----------- ----------- ----------- ----------- 1,285,741 258,161 7,120 8,996 4,116 4,468 -- -- -- -- -- -- -- -- 200,675 33,007 9,771 46,336 140,167 16,379 -- -- -- -- 55,053 9,490 -- -- -- -- 10,889 1,234 505 660 506 245 5,559 1,049 2,007 5,797 4,901 2,192 68,546 2 6,118 24,610 20,394 8,152 921 141 109 141 113 62 298 46 35 46 37 20 61,284 4,761 8,662 13,939 10,904 3,397 ------------ ----------- ----------- ----------- ----------- ----------- 1,628,458 291,263 225,231 87,196 50,742 64,872 ------------ ----------- ----------- ----------- ----------- ----------- 649,819,344 95,757,477 57,364,419 71,699,547 54,842,631 24,030,124 246 3,028 54,876 94,881 83,846 47,480 -- -- (1,654,552) (518,753) (354,250) 1,437,021 -- -- 5,740,731 9,645,242 7,899,481 5,117,353 ------------ ----------- ----------- ----------- ----------- ----------- $649,819,590 $95,760,505 $61,505,474 $80,920,917 $62,471,708 $30,631,978 ------------ ----------- ----------- ----------- ----------- ----------- $167,899,725 $ 1,005 $ 9,364,676 $33,472,098 $22,801,442 $ 7,761,893 380,554 1,004 4,968,402 21,610,252 19,365,660 8,022,794 55,009 1,004 126,760 139,183 61,330 10,212 481,484,302 95,757,492 47,045,636 25,699,384 20,243,276 14,837,079 ------------ ----------- ----------- ----------- ----------- ----------- $649,819,590 $95,760,505 $61,505,474 $80,920,917 $62,471,708 $30,631,978 ============ =========== =========== =========== =========== =========== 167,899,969 1,005 940,155 3,276,340 2,229,554 670,773 380,552 1,004 498,621 2,151,129 1,927,365 712,550 55,009 1,004 12,760 13,779 6,105 910 481,484,089 95,757,492 4,687,278 2,506,213 1,977,545 1,273,975 ------------ ----------- ----------- ----------- ----------- ----------- 649,819,619 95,760,505 6,138,814 7,947,461 6,140,569 2,658,208 ============ =========== =========== =========== =========== =========== $ 1.00 $ 1.00 $ 9.96 $ 10.22 $ 10.23 $ 11.57 ============ =========== =========== =========== =========== =========== $ 1.00 $ 1.00 $ 9.96 $ 10.05 $ 10.05 $ 11.26 ============ =========== =========== =========== =========== =========== $ 1.00 $ 1.00 $ 9.93 $ 10.10 $ 10.05 $ 11.22 ============ =========== =========== =========== =========== =========== $ 1.00 $ 1.00 $ 10.04 $ 10.25 $ 10.24 $ 11.65 ============ =========== =========== =========== =========== =========== NA NA 5.75% 5.75% 5.75% 5.75% ============ =========== =========== =========== =========== =========== $ 1.00 $ 1.00 10.57 $ 10.84 $ 10.85 $ 12.28 ============ =========== =========== =========== =========== ===========
See accompanying notes to the financial statements. 93 BB&T Funds STATEMENTS OF OPERATIONS FOR THE YEAR ENDED SEPTEMBER 30, 2006
LARGE CAP LARGE CAP FUND GROWTH FUND ----------- ------------ INVESTMENT INCOME: Interest income .......................................... $ 1,230,665 $ 459,645 Dividend income .......................................... 17,070,769 4,089,284 Foreign tax withholding .................................. -- -- Income from securities lending ........................... 125,434 71,297 ----------- ------------ Total Investment Income .................................. 18,426,868 4,620,226 ----------- ------------ EXPENSES: Investment advisory fees ................................. 5,075,497 2,669,370 Administration fees ...................................... 775,253 407,694 Fund accounting fees ..................................... 86,724 46,905 Transfer agency fees ..................................... 145,019 76,221 Distribution fees -- Class A Shares ...................... 218,866 45,932 Distribution fees -- Class B Shares ...................... 189,381 111,680 Distribution fees -- Class C Shares ...................... 1,607 277 Compliance service fees .................................. 11,970 6,757 Custodian fees ........................................... 69,727 35,486 Legal fees ............................................... 57,871 28,434 Printing fees ............................................ 65,274 32,068 Trustee fees ............................................. 25,552 13,917 Other .................................................... 97,955 43,306 ----------- ------------ Total expenses before waivers ............................ 6,820,696 3,518,047 Less expenses waived by the Investment Advisor ........... (340,766) (180,419) Less expenses waived by the Distributor .................. (109,433) (22,966) ----------- ------------ Net Expenses ............................................. 6,370,497 3,314,662 ----------- ------------ Net Investment Income (Loss) ............................. 12,056,371 1,305,564 ----------- ------------ REALIZED/UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net realized gains (losses) on option contracts .......... -- -- Net realized gains (losses) from investment and foreign currency transactions ................................. 88,409,170 16,243,812 Change in unrealized appreciation/depreciation of investment securities and foreign currency transactions ................................. (7,600,664) (18,517,591) ----------- ------------ Net realized/unrealized gains (losses) on investments and foreign currency transactions ......................... 80,808,506 (2,273,779) ----------- ------------ Change in net assets from operations ..................... $92,864,877 $ (968,215) =========== ============
See accompanying notes to the financial statements. 94
SPECIAL MID CAP MID CAP SMALL CAP INTERNATIONAL OPPORTUNITIES EQUITY VALUE FUND GROWTH FUND FUND EQUITY FUND EQUITY FUND INCOME FUND ----------- ------------ ----------- ------------- ------------- ----------- $ 311,188 $ 254,962 $ 345,825 $ 3,080 $ 682,860 $ 369,196 2,484,748 1,222,735 814,095 7,570,653 1,266,956 3,157,724 -- -- -- (608,813) -- -- 48,616 100,871 79,433 -- 10,083 4,360 ----------- ------------ ----------- ----------- ----------- ----------- 2,844,552 1,578,568 1,239,353 6,964,920 1,959,899 3,531,280 ----------- ------------ ----------- ----------- ----------- ----------- 1,546,717 1,103,333 944,834 2,469,434 1,539,712 710,045 236,247 168,512 106,628 279,088 217,566 114,676 27,556 19,899 13,498 58,089 25,905 14,643 45,403 35,418 32,803 38,714 104,026 48,885 32,329 27,531 27,934 18,594 388,869 250,662 50,808 26,566 25,143 19,715 221,008 75,256 6,293 635 128 1,341 316,763 113,543 3,478 2,544 1,298 4,282 3,450 1,625 22,040 13,460 9,593 146,233 20,223 10,927 16,026 10,760 12,994 19,523 11,995 9,443 17,320 12,362 58,896 20,421 17,360 8,983 6,852 5,509 3,342 8,940 7,240 3,817 31,462 22,843 19,963 32,225 40,346 36,102 ----------- ------------ ----------- ----------- ----------- ----------- 2,042,531 1,449,372 1,257,054 3,116,599 2,914,463 1,398,607 (102,798) (73,899) (237,497) (246,941) -- -- -- -- (13,967) (9,297) (194,434) (125,331) ----------- ------------ ----------- ----------- ----------- ----------- 1,939,733 1,375,473 1,005,590 2,860,361 2,720,029 1,273,276 ----------- ------------ ----------- ----------- ----------- ----------- 904,819 203,095 233,763 4,104,559 (760,130) 2,258,004 ----------- ------------ ----------- ----------- ----------- ----------- -- -- -- -- (196,621) 238,474 8,877,102 20,794,688 7,772,158 19,044,559 12,563,370 3,091,876 16,291,051 (22,292,477) (5,276,497) 15,908,410 9,047,945 9,391,746 ----------- ------------ ----------- ----------- ----------- ----------- 25,168,153 (1,497,789) 2,495,661 34,952,969 21,414,694 12,722,096 ----------- ------------ ----------- ----------- ----------- ----------- $26,072,972 $ (1,294,694) $ 2,729,424 $39,057,528 $20,654,564 $14,980,100 =========== ============ =========== =========== =========== ===========
See accompanying notes to the financial statements. 95 BB&T Funds STATEMENTS OF OPERATIONS FOR THE YEAR ENDED SEPTEMBER 30, 2006
SHORT U.S. INTERMEDIATE U.S. GOVERNMENT FUND GOVERNMENT FUND --------------- ----------------- INVESTMENT INCOME: Interest income ................................................ $ 5,172,929 $ 23,574,944 Dividend income ................................................ -- -- Income from securities lending ................................. 62,800 178,602 ----------- ------------ Total Investment Income ........................................ 5,235,729 23,753,546 ----------- ------------ EXPENSES: Investment advisory fees ....................................... 814,222 2,780,380 Administration fees ............................................ 153,384 523,806 Fund accounting fees ........................................... 23,289 67,481 Transfer agency fees ........................................... 18,677 69,876 Distribution fees -- Class A Shares ............................ 35,027 55,003 Distribution fees -- Class B Shares ............................ -- 48,441 Distribution fees -- Class C Shares ............................ -- 2,534 Compliance service fees ........................................ 3,019 10,680 Custodian fees ................................................. 11,854 43,894 Legal fees ..................................................... 8,712 33,072 Printing fees .................................................. 16,011 39,035 Trustee fees ................................................... 7,790 15,460 Other .......................................................... 17,722 57,151 ----------- ------------ Total expenses before waivers .................................. 1,109,707 3,746,813 Less expenses waived by the Investment Advisor ................. (203,556) (519,609) Less expenses waived by the Distributor ........................ (17,514) (27,502) ----------- ------------ Net Expenses ................................................... 888,637 3,199,702 ----------- ------------ Net Investment Income (Loss) ................................... 4,347,092 20,553,844 ----------- ------------ REALIZED/UNREALIZED GAINS (LOSSES) ON INVESTMENTS: Net realized gains (losses) from investment transactions ....... (1,978,418) (9,966,118) Change in unrealized appreciation/depreciation of investments .. 1,712,330 1,445,810 ----------- ------------ Net realized/unrealized gains (losses) on investments .......... (266,088) (8,520,308) ----------- ------------ Change in net assets from operations ........................... $ 4,081,004 $ 12,033,536 =========== ============
See accompanying notes to the financial statements. 96
KENTUCKY MARYLAND NORTH CAROLINA SOUTH CAROLINA VIRGINIA TOTAL RETURN INTERMEDIATE INTERMEDIATE INTERMEDIATE INTERMEDIATE INTERMEDIATE BOND FUND TAX-FREE FUND TAX-FREE FUND TAX-FREE FUND TAX-FREE FUND TAX-FREE FUND ------------ ------------- ------------- -------------- -------------- ------------- $25,975,173 $ 616,005 $382,570 $4,767,324 $831,116 $3,445,273 -- 17,753 11,844 70,313 19,379 54,470 191,260 -- -- -- -- -- ----------- --------- -------- ---------- -------- ---------- 26,166,433 633,758 394,414 4,837,637 850,495 3,499,743 ----------- --------- -------- ---------- -------- ---------- 3,082,584 96,941 63,448 668,147 119,847 471,653 580,699 18,264 11,953 125,873 22,578 88,854 71,798 11,443 10,633 23,856 11,786 19,447 69,511 2,378 1,520 14,771 3,040 10,473 32,905 13,401 8,613 103,110 20,085 61,764 55,769 -- -- -- -- -- 1,667 -- -- -- -- -- 9,213 334 207 1,941 380 1,508 54,027 1,524 965 10,146 2,119 7,955 44,539 5,590 2,721 11,992 4,308 7,881 45,964 1,470 921 11,071 1,936 7,416 19,604 604 381 3,937 756 2,982 64,117 2,639 2,947 14,801 4,727 11,020 ----------- --------- -------- ---------- -------- ---------- 4,132,397 154,588 104,309 989,645 191,562 690,953 (584,078) (34,028) (31,993) (167,037) (34,377) (117,913) (16,453) (6,701) (4,306) (51,555) (10,042) (30,882) ----------- --------- -------- ---------- -------- ---------- 3,531,866 113,859 68,010 771,053 147,143 542,158 ----------- --------- -------- ---------- -------- ---------- 22,634,567 519,899 326,404 4,066,584 703,352 2,957,585 ----------- --------- -------- ---------- -------- ---------- (8,825,146) (72,900) 7,432 (13,423) 9,779 24,954 4,715,034 157,761 69,432 48,434 (29,884) (334,335) ----------- --------- -------- ---------- -------- ---------- (4,110,112) 84,861 76,864 35,011 (20,105) (309,381) ----------- --------- -------- ---------- -------- ---------- $18,524,455 $ 604,760 $403,268 $4,101,595 $683,247 $2,648,204 =========== ========= ======== ========== ======== ==========
See accompanying notes to the financial statements. 97 BB&T Funds STATEMENTS OF OPERATIONS FOR THE YEAR ENDED SEPTEMBER 30, 2006
WEST VIRGINIA INTERMEDIATE PRIME MONEY TAX-FREE FUND MARKET FUND ------------- ----------- INVESTMENT INCOME: Interest income .................................................. $3,117,315 $56,308,099 Dividend income .................................................. 41,841 -- Dividend income from affiliates .................................. -- -- Income from securities lending ................................... -- -- ---------- ----------- Total Investment Income .......................................... 3,159,156 56,308,099 ---------- ----------- EXPENSES: Investment advisory fees ......................................... 303,144 4,676,394 Administration fees .............................................. 76,147 1,321,457 Fund accounting fees ............................................. 20,837 150,406 Transfer agency fees ............................................. 9,381 148,815 Distribution fees -- Class A Shares .............................. 37,058 2,769,589 Distribution fees -- Class B Shares .............................. -- 16,436 Distribution fees -- Class C Shares .............................. -- 4,206 Compliance services fees ......................................... 1,299 19,085 Custodian fees ................................................... 5,549 140,746 Legal fees ....................................................... 4,330 93,069 Printing fees .................................................... 5,647 136,296 Trustee fees ..................................................... 2,447 43,235 Organizational fees .............................................. -- -- Other ............................................................ 11,743 143,061 ---------- ----------- Total expenses before waivers .................................... 477,582 9,662,795 Less expenses waived by the Investment Advisor ................... -- (1,286,009) Less expenses waived by the Administrator ........................ -- -- Less expenses waived by the Distributor .......................... -- -- ---------- ----------- Net Expenses ..................................................... 477,582 8,376,786 ---------- ----------- Net Investment Income (Loss) ..................................... 2,681,574 47,931,313 ---------- ----------- REALIZED/UNREALIZED GAINS (LOSSES) ON INVESTMENTS: Net realized gains (losses) from investment securities ........... 136,323 5,292 Net realized gain distributions from underlying funds ............ -- -- Change in unrealized appreciation/depreciation on investments .... (192,498) -- ---------- ----------- Net realized/unrealized gains (losses) on investments ............ (56,175) 5,292 ---------- ----------- Change in net assets from operations ............................. $2,625,399 $47,936,605 ========== ===========
See accompanying notes to the financial statements. 98
U.S. TREASURY NATIONAL CAPITAL MANAGER CAPITAL MANAGER MONEY MARKET TAX-FREE MONEY CONSERVATIVE MODERATE CAPITAL MANAGER CAPITAL MANAGER FUND MARKET FUND GROWTH FUND GROWTH FUND GROWTH FUND EQUITY FUND ------------- -------------- --------------- --------------- --------------- --------------- $30,197,514 $590,491 $ -- $ -- $ -- $ -- -- 2,916 -- -- -- -- -- -- 2,877,159 2,734,840 1,830,591 787,037 149,908 -- -- -- -- -- ----------- -------- ----------- ---------- ----------- ---------- 30,347,422 593,407 2,877,159 2,734,840 1,830,591 787,037 ----------- -------- ----------- ---------- ----------- ---------- 2,689,591 41,826 209,164 246,015 193,672 105,179 760,194 19,069 94,547 111,212 87,546 47,541 85,113 2,313 10,581 12,364 9,733 5,303 90,675 2,179 16,830 38,904 35,708 16,515 631,628 1 47,438 159,328 101,598 35,091 5,641 2 50,872 219,184 184,198 78,272 279 2 1,315 1,284 543 153 13,264 267 1,669 1,802 1,367 751 70,631 1,419 8,764 10,063 8,092 4,695 53,209 2,310 7,088 8,226 6,662 3,663 78,740 4,115 7,576 8,059 6,221 3,433 25,248 -- 3,373 3,856 3,050 1,690 -- 56,637 -- -- -- -- 112,897 2,452 14,085 18,820 16,271 10,285 ----------- -------- ----------- ---------- ----------- ---------- 4,617,110 132,592 473,302 839,117 654,661 312,571 (893,817) (65,002) (209,164) (246,015) (193,672) (105,179) -- -- (94,547) (111,212) (87,546) (47,541) -- -- (23,719) (79,664) (50,799) (17,545) ----------- -------- ----------- ---------- ----------- ---------- 3,723,293 67,590 145,872 402,226 322,644 142,306 ----------- -------- ----------- ---------- ----------- ---------- 26,624,129 525,817 2,731,287 2,332,614 1,507,947 644,731 ----------- -------- ----------- ---------- ----------- ---------- -- -- 1,095,376 (272,821) (1,042,314) 404,368 -- -- 1,582,059 2,448,754 2,275,079 1,553,175 -- -- (1,047,526) 1,819,387 2,791,650 724,038 ----------- -------- ----------- ---------- ----------- ---------- -- -- 1,629,909 3,995,320 4,024,415 2,681,581 ----------- -------- ----------- ---------- ----------- ---------- $26,624,129 $525,817 $ 4,361,196 $6,327,934 $ 5,532,362 $3,326,312 =========== ======== =========== ========== =========== ==========
See accompanying notes to the financial statements. 99 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS
LARGE CAP FUND --------------------------------------- FOR THE FOR THE YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ FROM INVESTMENT ACTIVITIES OPERATIONS: Net investment income (loss) ..................................... $ 12,056,371 $ 12,192,576 Net realized gains (losses) from investment securities ........... 88,409,170 47,605,821 Change in unrealized appreciation/depreciation of investments .... (7,600,664) 35,932,841 ------------ ------------ Change in net assets from operations ................................ 92,864,877 95,731,238 ------------ ------------ DIVIDENDS TO CLASS A SHAREHOLDERS: Net investment income ............................................ (677,051) (576,782) Net realized gains from investment transactions .................. (3,036,244) -- DIVIDENDS TO CLASS B SHAREHOLDERS: Net investment income ............................................ (156,092) (209,031) Net realized gains from investment transactions .................. (1,539,960) -- DIVIDENDS TO CLASS C SHAREHOLDERS: Net investment income ............................................ (1,303) (1,373) Net realized gains from investment transactions .................. (13,216) -- DIVIDENDS TO INSTITUTIONAL CLASS SHAREHOLDERS: Net investment income ............................................ (11,183,646) (11,420,295) Net realized gains from investment transactions .................. (43,740,178) -- ------------ ------------ Change in net assets from shareholder dividends ..................... (60,347,690) (12,207,481) ------------ ------------ CAPITAL TRANSACTIONS: Change in net assets from capital transactions ...................... 24,201,504 (94,385,766) ------------ ------------ Change in net assets ................................................ 56,718,691 (10,862,009) NET ASSETS: Beginning of period .............................................. 667,572,969 678,434,978 ------------ ------------ End of period .................................................... $724,291,660 $667,572,969 ============ ============ Accumulated (distributions in excess of) net investment income ...... $ (104,143) $ (142,422) ============ ============
See accompanying notes to the financial statements. 100
LARGE CAP GROWTH FUND MID CAP VALUE FUND MID CAP GROWTH FUND --------------------------------------- --------------------------------------- --------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ ------------------ ------------------ ------------------ ------------------ $ 1,305,564 $ 2,215,410 $ 904,819 $ 2,086,164 $ 203,095 $ (650,843) 16,243,812 24,836,740 8,877,102 78,019,273 20,794,688 14,423,194 (18,517,591) 8,590,549 16,291,051 (40,170,825) (22,292,477) 19,508,277 ------------- ------------ ------------ ------------ ------------ ------------ (968,215) 35,642,699 26,072,972 39,934,612 (1,294,694) 33,280,628 ------------- ------------ ------------ ------------ ------------ ------------ (12,977) (41,621) (41,421) (87,140) (18,135) -- -- -- (1,333,885) (3,524,287) (1,059,712) (107,640) -- (34,833) (901) (16,556) -- -- -- -- (513,508) (1,270,093) (249,959) (26,807) -- (110) (122) (1,758) -- -- -- -- (45,330) (114,396) (8,280) (2,371) (1,054,388) (2,146,171) (974,981) (1,899,246) (373,020) -- -- -- (18,584,706) (54,097,901) (12,750,698) (1,390,450) ------------- ------------ ------------ ------------ ------------ ------------ (1,067,365) (2,222,735) (21,494,854) (61,011,377) (14,459,804) (1,527,268) ------------- ------------ ------------ ------------ ------------ ------------ (129,985,831) (44,276,953) 35,091,592 14,299,002 21,521,015 (20,323,437) ------------- ------------ ------------ ------------ ------------ ------------ (132,021,411) (10,856,989) 39,669,710 (6,777,763) 5,766,517 11,429,923 357,857,723 368,714,712 189,541,320 196,319,083 139,701,328 128,271,405 ------------- ------------ ------------ ------------ ------------ ------------ $ 225,836,312 $357,857,723 $229,211,030 $189,541,320 $145,467,845 $139,701,328 ============= ============ ============ ============ ============ ============ $ 230,874 $ (7,325) $ (66,896) $ 45,710 $ -- $ -- ============= ============ ============ ============ ============ ============
See accompanying notes to the financial statements. 101 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
SMALL CAP FUND ----------------------------- FOR THE FOR THE YEAR ENDED YEAR ENDED SEPTEMBER 30, SEPTEMBER 30, 2006 2005 ------------- ------------- FROM INVESTMENT ACTIVITIES OPERATIONS: Net investment income (loss) .............................. $ 233,763 $ 693,285 Net realized gains (losses) from option contracts, investment and foreign currency transactions ........... 7,772,158 7,666,906 Change in unrealized appreciation/depreciation of investment securities and foreign currency transactions ........................................... (5,276,497) 3,616,868 ------------ ------------ Change in net assets from operations ......................... 2,729,424 11,977,059 ------------ ------------ DIVIDENDS TO CLASS A SHAREHOLDERS: Net investment income ..................................... (10,336) (5,318) Net realized gains from investment transactions ........... (191,408) (20,187) DIVIDENDS TO CLASS B SHAREHOLDERS: Net investment income ..................................... (2,860) (1,258) Net realized gains from investment transactions ........... (45,459) (4,329) DIVIDENDS TO CLASS C SHAREHOLDERS: Net investment income ..................................... (9) (29) Net realized gains from investment transactions ........... (613) (43) DIVIDENDS TO INSTITUTIONAL CLASS SHAREHOLDERS: Net investment income ..................................... (292,050) (644,153) Net realized gains from investment transactions ........... (8,036,789) (1,923,687) ------------ ------------ Change in net assets from shareholder dividends .............. (8,579,524) (2,599,004) ------------ ------------ CAPITAL TRANSACTIONS: Change in net assets from capital transactions ............... 67,122,321 (13,757,275) ------------ ------------ Change in net assets ......................................... 61,272,221 (4,379,220) NET ASSETS: Beginning of period ....................................... 62,913,646 67,292,866 ------------ ------------ End of period ............................................. $124,185,867 $ 62,913,646 ============ ============ Accumulated (distributions in excess of) net investment income .................................................... $ (27,923) $ 18,791 ============ ============
See accompanying notes to the financial statements. 102
INTERNATIONAL EQUITY SPECIAL OPPORTUNITIES EQUITY EQUITY INCOME FUND FUND FUND ----------------------------- ----------------------------- ----------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2006 2005 2006 2005 2006 2005 ------------- ------------- ------------ ------------- ------------- ------------- $ 4,104,559 $ 3,189,210 $ (760,130) $ (835,017) $ 2,258,004 $ 1,410,198 19,044,559 23,396,171 12,366,749 8,511,250 3,330,350 2,050,561 15,908,410 16,828,222 9,047,945 16,152,156 9,391,746 5,384,664 ------------- ------------ ------------ ------------ ------------ ----------- 39,057,528 43,413,603 20,654,564 23,828,389 14,980,100 8,845,423 ------------- ------------ ------------ ------------ ------------ ----------- (55,882) (29,608) -- -- (1,319,564) (602,645) -- -- (3,922,525) (323,812) (981,811) (18,755) (19,949) (15,662) -- -- (147,380) (61,733) -- -- (1,153,429) (136,241) (137,614) (4,173) (1,335) (234) -- -- (221,294) (97,631) -- -- (1,585,769) (174,173) (213,187) (5,788) (3,894,301) (3,151,658) -- -- (908,127) (658,424) -- -- (3,033,471) (381,013) (674,732) (44,436) ------------- ------------ ------------ ------------ ------------ ----------- (3,971,467) (3,197,162) (9,695,194) (1,015,239) (4,603,709) (1,493,585) ------------- ------------ ------------ ------------ ------------ ----------- (10,378,503) (42,128,491) 6,813,948 68,303,302 23,032,998 47,396,767 ------------- ------------ ------------ ------------ ------------ ----------- 24,707,558 (1,912,050) 17,773,318 91,116,452 33,409,389 54,748,605 235,191,523 237,103,573 188,660,681 97,544,229 85,707,290 30,958,685 ------------- ------------ ------------ ------------ ------------ ----------- $ 259,899,081 $235,191,523 $206,433,999 $188,660,681 $119,116,679 $85,707,290 ============= ============ ============ ============ ============ =========== $ (820,134) $ (897,254) $ -- $ -- $ (345,575) $ (7,214) ============= ============ ============ ============ ============ ===========
See accompanying notes to the financial statements. 103 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
SHORT U.S. GOVERNMENT FUND --------------------------------------- FOR THE FOR THE YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ FROM INVESTMENT ACTIVITIES OPERATIONS: Net investment income (loss) .............................. $ 4,347,092 $ 5,003,172 Net realized gains (losses) from investment securities .... (1,978,418) (379,543) Change in unrealized appreciation/depreciation of investments ............................................ 1,712,330 (2,478,333) ------------ ------------ Change in net assets from operations ......................... 4,081,004 2,145,296 ------------ ------------ DIVIDENDS TO CLASS A SHAREHOLDERS: Net investment income ..................................... (230,094) (243,972) Net realized gains from investment transactions ........... -- -- DIVIDENDS TO CLASS B SHAREHOLDERS: Net investment income ..................................... -- -- Net realized gains from investment transactions ........... -- -- DIVIDENDS TO CLASS C SHAREHOLDERS: Net investment income ..................................... -- -- Net realized gains from investment transactions ........... -- -- DIVIDENDS TO INSTITUTIONAL CLASS SHAREHOLDERS: Net investment income ..................................... (4,533,855) (5,957,741) Net realized gains from investment transactions ........... -- -- ------------ ------------ Change in net assets from shareholder dividends .............. (4,763,949) (6,201,713) ------------ ------------ CAPITAL TRANSACTIONS: Change in net assets from capital transactions ............... (90,478,365) (36,554,057) ------------ ------------ Change in net assets ......................................... (91,161,310) (40,610,474) NET ASSETS: Beginning of period ....................................... 163,765,539 204,376,013 ------------ ------------ End of period ............................................. $ 72,604,229 $163,765,539 ============ ============ Accumulated (distributions in excess of) net investment income $ 578,326 $ 208,500 ============ ============
See accompanying notes to the financial statements. 104
INTERMEDIATE U.S. GOVERNMENT FUND TOTAL RETURN BOND FUND KENTUCKY INTERMEDIATE TAX-FREE FUND --------------------------------------- --------------------------------------- --------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ ------------------ ------------------ ------------------ ------------------ $ 20,553,844 $ 21,870,460 $ 22,634,567 $ 13,383,359 $ 519,899 $ 495,844 (9,966,118) (273,986) (8,825,146) 5,949,823 (72,900) 51,649 1,445,810 (7,911,749) 4,715,034 (12,459,542) 157,761 (322,868) ------------- ------------ ------------ ------------ ----------- ----------- 12,033,536 13,684,725 18,524,455 6,873,640 604,760 224,625 ------------- ------------ ------------ ------------ ----------- ----------- (465,227) (477,803) (284,767) (243,169) (80,960) (69,816) -- (56,160) (31,092) (15,675) -- -- (169,209) (190,379) (197,744) (224,351) -- -- -- (29,669) (26,599) (20,100) -- -- (8,786) (14,318) (5,884) (8,225) -- -- -- (2,287) (927) (747) -- -- (19,963,279) (23,429,629) (22,969,331) (15,035,177) (439,339) (423,702) -- (2,449,142) (2,117,462) (858,176) -- -- ------------- ------------ ------------ ------------ ----------- ----------- (20,606,501) (26,649,387) (25,633,806) (16,405,620) (520,299) (493,518) ------------- ------------ ------------ ------------ ----------- ----------- (283,831,378) 17,614,479 (89,525,200) 200,521,516 (4,315,092) 2,217,737 ------------- ------------ ------------ ------------ ----------- ----------- (292,404,343) 4,649,817 (96,634,551) 190,989,536 (4,230,631) 1,948,844 558,780,885 554,131,068 475,382,925 284,393,389 18,135,181 16,186,337 ------------- ------------ ------------ ------------ ----------- ----------- $ 266,376,542 $558,780,885 $378,748,374 $475,382,925 $13,904,550 $18,135,181 ============= ============ ============ ============ =========== =========== $ 3,334,973 $ 291,829 $ 2,191,115 $ 484,864 $ 5,134 $ 1,688 ============= ============ ============ ============ =========== ===========
See accompanying notes to the financial statements. 105 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
MARYLAND INTERMEDIATE TAX-FREE FUND ----------------------------- FOR THE FOR THE YEAR ENDED YEAR ENDED SEPTEMBER 30, SEPTEMBER 30, 2006 2005 ------------- ------------- FROM INVESTMENT ACTIVITIES OPERATIONS: Net investment income (loss) ..................................... $ 326,404 $ 303,626 Net realized gains (losses) from investment securities ........... 7,432 (20,169) Change in unrealized appreciation/depreciation of investments .... 69,432 (113,820) ----------- ----------- Change in net assets from operations ................................ 403,268 169,637 ----------- ----------- DIVIDENDS TO CLASS A SHAREHOLDERS: Net investment income ............................................ (49,779) (26,781) Net realized gains from investment transactions .................. -- -- DIVIDENDS TO INSTITUTIONAL CLASS SHAREHOLDERS: Net investment income ............................................ (276,916) (277,284) Net realized gains from investment transactions .................. -- -- ----------- ----------- Change in net assets from shareholder dividends ..................... (326,695) (304,065) ----------- ----------- CAPITAL TRANSACTIONS: Change in net assets from capital transactions ...................... (1,799,980) 2,052,613 ----------- ----------- Change in net assets ................................................ (1,723,407) 1,918,185 NET ASSETS: Beginning of period .............................................. 11,692,485 9,774,300 ----------- ----------- End of period .................................................... $ 9,969,078 $11,692,485 =========== =========== Accumulated (distributions in excess of) net investment income ...... $ (479) $ (139) =========== ===========
See accompanying notes to the financial statements. 106
NORTH CAROLINA INTERMEDIATE SOUTH CAROLINA INTERMEDIATE VIRGINIA INTERMEDIATE TAX-FREE FUND TAX-FREE FUND TAX-FREE FUND ----------------------------- ----------------------------- ----------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2006 2005 2006 2005 2006 2005 ------------- ------------- ------------- ------------- ------------- ------------- $ 4,066,584 $ 3,955,629 $ 703,352 $ 699,510 $ 2,957,585 $ 2,871,165 (13,423) 984,109 9,779 347,851 24,954 451,579 48,434 (3,088,206) (29,884) (719,387) (334,335) (1,964,246) ------------ ------------ ----------- ----------- ----------- ----------- 4,101,595 1,851,532 683,247 327,974 2,648,204 1,358,498 ------------ ------------ ----------- ----------- ----------- ----------- (702,597) (733,411) (132,635) (120,824) (430,643) (439,836) (188,609) (38,438) (70,839) (26,156) (73,017) (26,900) (3,317,274) (3,212,382) (570,487) (578,238) (2,478,318) (2,431,188) (813,080) (159,613) (276,367) (119,968) (374,838) (133,111) ------------ ------------ ----------- ----------- ----------- ----------- (5,021,560) (4,143,844) (1,050,328) (845,186) (3,356,816) (3,031,035) ------------ ------------ ----------- ----------- ----------- ----------- (7,080,678) (2,116,768) (745,427) (579,207) (2,498,062) 606,500 ------------ ------------ ----------- ----------- ----------- ----------- (8,000,643) (4,409,080) (1,112,508) (1,096,419) (3,206,674) (1,066,037) 115,017,687 119,426,767 20,540,179 21,636,598 80,724,259 81,790,296 ------------ ------------ ----------- ----------- ----------- ----------- $107,017,044 $115,017,687 $19,427,671 $20,540,179 $77,517,585 $80,724,259 ============ ============ =========== =========== =========== =========== $ 52,797 $ 44,132 $ 15,758 $ 15,982 $ 31,874 $ 33,064 ============ ============ =========== =========== =========== ===========
See accompanying notes to the financial statements. 107 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
WEST VIRGINIA INTERMEDIATE TAX-FREE FUND ----------------------------- FOR THE FOR THE YEAR ENDED YEAR ENDED SEPTEMBER 30, SEPTEMBER 30, 2006 2005 ------------- ------------- FROM INVESTMENT ACTIVITIES OPERATIONS: Net investment income (loss) ..................................... $ 2,681,574 $ 2,658,263 Net realized gains (losses) on securities ........................ 136,323 424,070 Change in unrealized appreciation/depreciation from investments .. (192,498) (1,514,595) ----------- ----------- Change in net assets from operations ................................ 2,625,399 1,567,738 ----------- ----------- DIVIDENDS TO CLASS A SHAREHOLDERS: Net investment income ............................................ (558,845) (410,722) Net realized gains from investment transactions .................. (87,942) (83,550) DIVIDENDS TO CLASS B SHAREHOLDERS: Net investment income ............................................ -- -- DIVIDENDS TO CLASS C SHAREHOLDERS: Net investment income ............................................ -- -- DIVIDENDS TO INSTITUTIONAL CLASS SHAREHOLDERS: Net investment income ............................................ (2,105,580) (2,242,970) Net realized gains from investment transactions .................. (336,138) (472,029) ----------- ----------- Change in net assets from shareholder dividends ..................... (3,088,505) (3,209,271) ----------- ----------- CAPITAL TRANSACTIONS: Change in net assets from capital transactions ...................... (2,420,101) (3,118,848) ----------- ----------- Change in net assets ................................................ (2,883,207) (4,760,381) NET ASSETS: Beginning of period .............................................. 69,572,290 74,332,671 ----------- ----------- End of period .................................................... $66,689,083 $69,572,290 =========== =========== Accumulated (distributions in excess of) net investment income ...... $ (55,375) $ (9,154) =========== ===========
---------- (a) Period from commencement of operations. See accompanying notes to the financial statements. 108
PRIME MONEY U.S. TREASURY MONEY NATIONAL TAX-FREE MONEY MARKET FUND MARKET FUND MARKET FUND ------------------------------- ------------------------------ FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE AUGUST 1, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 2006 THROUGH SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2006 2005 2006 2005 2006 (a) -------------- -------------- ------------- -------------- ----------------------- $ 47,931,313 $ 20,982,349 $ 26,624,129 $ 17,879,508 $ 525,817 5,292 296 -- -- -- -- -- -- -- -- -------------- -------------- ------------ -------------- ------------ 47,936,605 20,982,645 26,624,129 17,879,508 525,817 -------------- -------------- ------------ -------------- ------------ (21,234,567) (9,358,223) (4,584,379) (2,034,759) (5) -- -- -- -- -- (55,231) (26,256) (16,774) (8,071) (4) (14,081) (4,720) (922) (109) (4) (26,636,706) (11,593,150) (22,022,054) (15,836,569) (525,804) -- -- -- -- -- -------------- -------------- ------------ -------------- ------------ (47,940,585) (20,982,349) (26,624,129) (17,879,508) (525,817) -------------- -------------- ------------ -------------- ------------ 364,257,195 47,539,283 (58,021,270) (341,713,777) 95,760,505 -------------- -------------- ------------ -------------- ------------ 364,253,215 47,539,579 (58,021,270) (341,713,777) 95,760,505 1,006,338,813 958,799,234 707,840,860 1,049,554,637 -- -------------- -------------- ------------ -------------- ------------ $1,370,592,028 $1,006,338,813 $649,819,590 $ 707,840,860 $ 95,760,505 ============== ============== ============ ============== ============ $ 1,184 $ 9,668 $ 246 $ 246 $ 3,028 ============== ============== ============ ============== ============
See accompanying notes to the financial statements. 109 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
CAPITAL MANAGER CONSERVATIVE GROWTH FUND ----------------------------- FOR THE FOR THE YEAR ENDED YEAR ENDED SEPTEMBER 30, SEPTEMBER 30, 2006 2005 ------------- ------------- FROM INVESTMENT ACTIVITIES OPERATIONS: Net investment income (loss) ..................................... $ 2,731,287 $ 2,105,959 Net realized gains (losses) from investment securities and distributions from underlying funds ........................... 2,677,435 (462,685) Change in unrealized appreciation/depreciation on investments .... (1,047,526) 4,281,075 ------------ ----------- Change in net assets from operations ................................ 4,361,196 5,924,349 ------------ ----------- DIVIDENDS TO CLASS A SHAREHOLDERS: Net investment income ............................................ (316,793) (168,581) Net realized gains from investment transactions .................. -- -- DIVIDENDS TO CLASS B SHAREHOLDERS: Net investment income ............................................ (132,184) (77,014) Net realized gains from investment transactions .................. -- -- DIVIDENDS TO CLASS C SHAREHOLDERS: Net investment income ............................................ (3,332) (2,499) Net realized gains from investment transactions .................. -- -- DIVIDENDS TO INSTITUTIONAL CLASS SHAREHOLDERS: Net investment income ............................................ (2,306,502) (1,775,465) Net realized gains from investment transactions .................. -- -- ------------ ----------- Change in net assets from shareholder dividends ..................... (2,758,811) (2,023,559) ------------ ----------- CAPITAL TRANSACTIONS: Change in net assets from capital transactions ...................... (25,686,559) 3,484,227 ------------ ----------- Change in net assets ................................................ (24,084,174) 7,385,017 NET ASSETS: Beginning of period .............................................. 85,589,648 78,204,631 ------------ ----------- End of period .................................................... $ 61,505,474 $85,589,648 ============ =========== Accumulated (distributions in excess of) net investment income ...... $ 54,876 $ 82,400 ============ ===========
---------- (a) Period from commencement of operations. See accompanying notes to the financial statements. 110
CAPITAL MANAGER MODERATE CAPITAL MANAGER CAPITAL MANAGER GROWTH FUND GROWTH FUND EQUITY FUND ----------------------------- ----------------------------- ----------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2006 2005 2006 2005 2006 2005 ------------- ------------- ------------- ------------- ------------- ------------- $ 2,332,614 $ 1,437,620 $ 1,507,947 $ 830,676 $ 644,731 $ 313,973 2,175,933 (1,028,947) 1,232,765 (477,103) 1,957,543 779,359 1,819,387 7,702,572 2,791,650 6,904,538 724,038 3,696,738 ------------ ----------- ------------ ----------- ------------ ----------- 6,327,934 8,111,245 5,532,362 7,258,111 3,326,312 4,790,070 ------------ ----------- ------------ ----------- ------------ ----------- (821,797) (404,055) (438,399) (169,918) (120,990) (28,662) -- -- -- -- (112,648) -- (405,497) (176,756) (266,484) (66,171) (78,167) (6,994) -- -- -- -- (134,397) -- (2,447) (1,384) (879) (138) (173) (1) -- -- -- -- (336) -- (1,138,350) (725,067) (840,595) (472,193) (484,161) (192,382) -- -- -- -- (458,864) -- ------------ ----------- ------------ ----------- ------------ ----------- (2,368,091) (1,307,262) (1,546,357) (708,420) (1,389,736) (228,039) ------------ ----------- ------------ ----------- ------------ ----------- (17,335,086) 13,866,681 (13,457,141) 10,933,539 (10,823,403) 4,544,281 ------------ ----------- ------------ ----------- ------------ ----------- (13,375,243) 20,670,664 (9,471,136) 17,483,230 (8,886,827) 9,106,312 94,296,160 73,625,496 71,942,844 54,459,614 39,518,805 30,412,493 ------------ ----------- ------------ ----------- ------------ ----------- $ 80,920,917 $94,296,160 $ 62,471,708 $71,942,844 $ 30,631,978 $39,518,805 ============ =========== ============ =========== ============ =========== $ 94,881 $ 130,358 $ 83,846 $ 122,256 $ 47,480 $ 85,934 ============ =========== ============ =========== ============ ===========
See accompanying notes to the financial statements. 111 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
LARGE CAP FUND ----------------------------- FOR THE FOR THE YEAR ENDED YEAR ENDED SEPTEMBER 30, SEPTEMBER 30, 2006 2005 ------------- ------------- CAPITAL TRANSACTIONS: CLASS A SHARES: Proceeds from shares issued ...................................... $ 11,455,809 $ 9,661,619 Dividends reinvested ............................................. 3,356,212 546,626 Value of shares redeemed ......................................... (8,183,336) (6,489,397) ------------- ------------- Change in net assets from Class A Share transactions ................ 6,628,685 3,718,848 CLASS B SHARES: Proceeds from shares issued ...................................... 1,081,268 1,142,035 Dividends reinvested ............................................. 1,681,643 210,190 Value of shares redeemed ......................................... (10,671,968) (8,551,951) ------------- ------------- Change in net assets from Class B Share transactions ................ (7,909,057) (7,199,726) CLASS C SHARES: Proceeds from shares issued ...................................... 33,770 52,119 Dividends reinvested ............................................. 14,517 1,389 Value of shares redeemed ......................................... (69,676) (52,297) ------------- ------------- Change in net assets from Class C Share transactions ................ (21,389) 1,211 INSTITUTIONAL SHARES: Proceeds from shares issued ...................................... 120,655,536 68,736,038 Dividends reinvested ............................................. 36,292,487 6,375,592 Value of shares redeemed ......................................... (131,444,758) (166,017,729) Redemption In-Kind ............................................... -- -- ------------- ------------- Change in net assets from Institutional Share transactions .......... 25,503,265 (90,906,099) ------------- ------------- Change in net assets from capital transactions ...................... $ 24,201,504 $ (94,385,766) ============= ============= SHARE TRANSACTIONS: CLASS A SHARES: Issued ........................................................... 594,942 517,981 Reinvested ....................................................... 179,580 29,386 Redeemed ......................................................... (422,997) (347,071) ------------- ------------- Change in Class A Shares ............................................ 351,525 200,296 CLASS B SHARES: Issued ........................................................... 56,846 62,625 Reinvested ....................................................... 91,167 11,398 Redeemed ......................................................... (560,116) (463,800) ------------- ------------- Change in Class B Shares ............................................ (412,103) (389,777) CLASS C SHARES: Issued ........................................................... 1,766 2,803 Reinvested ....................................................... 789 75 Redeemed ......................................................... (3,652) (2,943) ------------- ------------- Change in Class C Shares ............................................ (1,097) (65) INSTITUTIONAL SHARES: Issued ........................................................... 6,218,257 3,763,766 Reinvested ....................................................... 1,936,824 342,725 Redeemed ......................................................... (6,769,780) (8,934,669) Redemption In-Kind ............................................... -- -- ------------- ------------- Change in Institutional Shares ...................................... 1,385,301 (4,828,178) ------------- ------------- Change in Shares .................................................... 1,323,626 (5,017,724) ============= =============
See accompanying notes to the financial statements. 112
LARGE CAP MID CAP MID CAP GROWTH FUND VALUE FUND GROWTH FUND ----------------------------- ----------------------------- ----------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2006 2005 2006 2005 2006 2005 ------------- ------------- ------------- ------------- ------------- ------------- $ 2,852,916 $ 1,781,452 $ 3,543,605 $ 4,485,560 $ 2,584,357 $ 2,518,857 11,461 34,217 1,321,057 3,485,585 1,036,602 106,199 (2,494,029) (2,280,442) (4,085,956) (3,419,250) (2,501,025) (2,430,159) ------------- ------------ ------------ ------------ ------------ ------------ 370,348 (464,773) 778,706 4,551,895 1,119,934 194,897 432,338 602,206 1,037,911 945,833 765,099 228,265 -- 34,776 512,918 1,284,643 246,230 26,526 (3,961,543) (2,993,414) (768,298) (730,819) (706,264) (342,348) ------------- ------------ ------------ ------------ ------------ ------------ (3,529,205) (2,356,432) 782,531 1,499,657 305,065 (87,557) 23,255 11,034 433,480 86,720 26,775 59,422 -- 110 38,170 90,479 8,279 2,371 (3,112) (20,255) (104,036) (314,401) (74,621) (241,417) ------------- ------------ ------------ ------------ ------------ ------------ 20,143 (9,111) 367,614 (137,202) (39,567) (179,624) 72,052,259 38,224,930 65,662,801 41,973,265 50,476,104 24,514,270 588,523 1,162,910 13,345,528 34,205,347 6,303,907 587,204 (199,487,899) (80,834,477) (45,845,588) (67,793,960) (31,644,428) (45,352,627) -- -- -- -- (5,000,000) -- ------------- ------------ ------------ ------------ ------------ ------------ (126,847,117) (41,446,637) 33,162,741 8,384,652 20,135,583 (20,251,153) ------------- ------------ ------------ ------------ ------------ ------------ $(129,985,831) $(44,276,953) $ 35,091,592 $ 14,299,002 $ 21,521,015 $(20,323,437) ============= ============ ============ ============ ============ ============ 317,364 203,723 273,562 271,180 191,168 200,123 1,257 3,819 105,779 259,391 79,757 8,835 (276,880) (260,302) (312,940) (216,209) (188,884) (195,031) ------------- ------------ ------------ ------------ ------------ ------------ 41,741 (52,760) 66,401 314,362 82,041 13,927 50,542 73,333 80,934 57,215 58,023 19,563 -- 4,106 41,799 97,143 19,667 2,263 (470,181) (361,793) (59,657) (43,973) (56,695) (28,374) ------------- ------------ ------------ ------------ ------------ ------------ (419,639) (284,354) 63,076 110,385 20,995 (6,548) 2,671 1,334 34,345 5,360 2,021 4,938 -- 13 3,110 6,824 661 202 (377) (2,390) (7,989) (19,649) (5,700) (18,787) ------------- ------------ ------------ ------------ ------------ ------------ 2,294 (1,043) 29,466 (7,465) (3,018) (13,647) 7,893,018 4,363,516 5,063,390 2,538,005 3,586,780 1,903,007 63,148 128,373 1,064,393 2,536,735 461,521 46,864 (21,972,602) (9,093,856) (3,519,435) (4,052,925) (2,306,318) (3,563,229) -- -- -- -- (338,524) -- ------------- ------------ ------------ ------------ ------------ ------------ (14,016,436) (4,601,967) 2,608,348 1,021,815 1,403,459 (1,613,358) ------------- ------------ ------------ ------------ ------------ ------------ (14,392,040) (4,940,124) 2,767,291 1,439,097 1,503,477 (1,619,626) ============= ============ ============ ============ ============ ============
See accompanying notes to the financial statements. 113 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
SMALL CAP FUND --------------------------------------- FOR THE FOR THE YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ CAPITAL TRANSACTIONS: CLASS A SHARES: Proceeds from shares issued .............................. $ 1,563,815 $ 1,710,491 Proceeds from shares issued in conversion ................ 8,076,416 -- Dividends reinvested ..................................... 170,057 24,657 Value of shares redeemed ................................. (1,718,429) (578,781) ------------ ------------ Change in net assets from Class A Share transactions ........ 8,091,859 1,156,367 CLASS B SHARES: Proceeds from shares issued .............................. 315,041 127,135 Proceeds from shares issued in conversion ................ 4,879,881 -- Dividends reinvested ..................................... 48,317 5,587 Value of shares redeemed ................................. (1,226,132) (35,184) ------------ ------------ Change in net assets from Class B Share transactions ........ 4,017,107 97,538 CLASS C SHARES: Proceeds from shares issued .............................. 2,569 4,000 Proceeds from shares issued in conversion ................ 19,229 -- Dividends reinvested ..................................... 622 72 Value of shares redeemed ................................. (6,076) (1,606) ------------ ------------ Change in net assets from Class C Share transactions ........ 16,344 2,466 INSTITUTIONAL SHARES: Proceeds from shares issued .............................. 32,824,936 12,467,749 Proceeds from shares issued in conversion ................ 40,922,638 -- Dividends reinvested ..................................... 3,865,352 1,559,698 Value of shares redeemed ................................. (18,615,915) (29,041,093) Redemption In-Kind ....................................... (4,000,000) -- ------------ ------------ Change in net assets from Institutional Share transactions .. 54,997,011 (15,013,646) ------------ ------------ Change in net assets from capital transactions .............. $ 67,122,321 $(13,757,275) ============ ============ SHARE TRANSACTIONS: CLASS A SHARES: Issued ................................................... 102,573 108,999 Issued in conversion ..................................... 519,217 -- Reinvested ............................................... 11,590 1,663 Redeemed ................................................. (112,183) (37,585) ------------ ------------ Change in Class A Shares .................................... 521,197 73,077 CLASS B SHARES: Issued ................................................... 20,791 8,300 Issued in conversion ..................................... 320,692 -- Reinvested ............................................... 3,358 382 Redeemed ................................................. (83,084) (2,282) ------------ ------------ Change in Class B Shares .................................... 261,757 6,400 CLASS C SHARES: Issued ................................................... 176 265 Issued in conversion ..................................... 1,265 -- Reinvested ............................................... 43 5 Redeemed ................................................. (409) (105) ------------ ------------ Change in Class C Shares .................................... 1,075 165 INSTITUTIONAL SHARES: Issued ................................................... 2,167,101 802,471 Issued in conversion ..................................... 2,617,536 -- Reinvested ............................................... 262,650 105,249 Redeemed ................................................. (1,227,142) (1,887,106) Redemption In-Kind ....................................... (243,605) -- ------------ ------------ Change in Institutional Shares .............................. 3,576,540 (979,386) ------------ ------------ Change in Shares ............................................ 4,360,569 (899,744) ============ ============
See accompanying notes to the financial statements. 114
INTERNATIONAL EQUITY FUND SPECIAL OPPORTUNITIES EQUITY FUND EQUITY INCOME FUND --------------------------------------- --------------------------------------- --------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ ------------------ ------------------ ------------------ ------------------ $ 1,793,701 $ 2,478,283 $ 15,547,406 $ 50,533,764 $21,290,688 $33,326,261 -- -- -- -- -- -- 47,633 28,796 3,800,006 314,726 2,115,087 589,988 (1,828,946) (837,193) (17,598,570) (12,154,765) (9,336,457) (1,849,819) ------------ ------------ ------------ ------------ ----------- ----------- 12,388 1,669,886 1,748,842 38,693,725 14,069,318 32,066,430 372,771 142,997 2,567,933 7,432,082 3,887,798 3,572,969 -- -- -- -- -- -- 19,183 16,175 1,097,183 132,617 265,635 62,723 (850,793) (640,348) (3,722,250) (1,625,829) (955,321) (119,544) ------------ ------------ ------------ ------------ ----------- ----------- (458,839) (481,176) (57,134) 5,938,870 3,198,112 3,516,148 170,185 88,381 5,924,611 14,020,481 5,773,799 6,467,982 -- -- -- -- -- -- 1,343 235 1,572,304 171,895 415,183 100,048 (90,384) (852) (5,037,947) (3,171,753) (1,775,128) (304,640) ------------ ------------ ------------ ------------ ----------- ----------- 81,144 87,764 2,458,968 11,020,623 4,413,854 6,263,390 55,147,602 24,998,978 9,101,491 15,525,894 3,565,186 5,868,423 -- -- -- -- -- -- 2,544,478 2,083,059 2,382,335 339,818 1,338,621 688,209 (67,705,276) (70,487,002) (8,820,554) (3,215,628) (3,552,093) (1,005,833) -- -- -- -- -- -- ------------ ------------ ------------ ------------ ----------- ----------- (10,013,196) (43,404,965) 2,663,272 12,650,084 1,351,714 5,550,799 ------------ ------------ ------------ ------------ ----------- ----------- $(10,378,503) $(42,128,491) $ 6,813,948 $ 68,303,302 $23,032,998 $47,396,767 ============ ============ ============ ============ =========== =========== 172,056 267,274 1,018,572 3,430,628 1,686,364 2,869,638 -- -- -- -- -- -- 4,418 3,230 257,977 21,932 169,418 50,231 (181,464) (93,010) (1,151,094) (804,158) (736,138) (156,448) ------------ ------------ ------------ ------------ ----------- ----------- (4,990) 177,494 125,455 2,648,402 1,119,644 2,763,421 37,241 16,667 172,046 512,930 309,059 307,803 -- -- -- -- -- -- 1,888 1,917 76,035 9,352 21,327 5,368 (85,845) (74,499) (249,906) (109,982) (75,605) (10,194) ------------ ------------ ------------ ------------ ----------- ----------- (46,716) (55,915) (1,825) 412,300 254,781 302,977 16,883 9,933 397,055 975,534 458,843 561,000 -- -- -- -- -- -- 131 27 108,885 12,122 33,388 8,567 (9,159) (101) (336,921) (212,218) (141,240) (25,759) ------------ ------------ ------------ ------------ ----------- ----------- 7,855 9,859 169,019 775,438 350,991 543,808 5,126,219 2,743,691 588,662 1,037,730 278,895 509,983 -- -- -- -- -- -- 232,202 231,260 160,751 23,598 107,088 59,891 (6,367,133) (7,688,123) (577,140) (210,210) (280,919) (83,473) -- -- -- -- -- -- ------------ ------------ ------------ ------------ ----------- ----------- (1,008,712) (4,713,172) 172,273 851,118 105,064 486,401 ------------ ------------ ------------ ------------ ----------- ----------- (1,052,563) (4,581,734) 464,922 4,687,258 1,830,480 4,096,607 ============ ============ ============ ============ =========== ===========
See accompanying notes to the financial statements. 115 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
SHORT U.S. GOVERNMENT FUND --------------------------------------- FOR THE YEAR ENDED FOR THE YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ CAPITAL TRANSACTIONS: CLASS A SHARES: Proceeds from shares issued .............................. $ 1,127,528 $ 1,521,231 Dividends reinvested ..................................... 166,865 200,254 Value of shares redeemed ................................. (3,017,691) (2,023,644) ------------- ------------ Change in net assets from Class A Share transactions ........ (1,723,298) (302,159) CLASS B SHARES: Proceeds from shares issued .............................. -- -- Dividends reinvested ..................................... -- -- Value of shares redeemed ................................. -- -- ------------- ------------ Change in net assets from Class B share transactions ........ -- -- CLASS C SHARES: Proceeds from shares issued .............................. -- -- Dividends reinvested ..................................... -- -- Value of shares redeemed ................................. -- -- ------------- ------------ Change in net assets from Class C share transactions ........ -- -- INSTITUTIONAL SHARES: Proceeds from shares issued .............................. 11,753,484 45,135,970 Dividends reinvested ..................................... 2,059,779 2,187,510 Value of shares redeemed ................................. (102,568,330) (83,575,378) Redemption In-Kind ....................................... -- -- ------------- ------------ Change in net assets from Institutional Share transactions .. (88,755,067) (36,251,898) ------------- ------------ Change in net assets from capital transactions .............. $ (90,478,365) $(36,554,057) ============= ============ SHARE TRANSACTIONS: CLASS A SHARES: Issued ................................................... 119,357 158,795 Reinvested ............................................... 17,694 20,875 Redeemed ................................................. (319,852) (211,022) ------------- ------------ Change in Class A Shares .................................... (182,801) (31,352) CLASS B SHARES: Issued ................................................... -- -- Reinvested ............................................... -- -- Redeemed ................................................. -- -- ------------- ------------ Change in Class B Shares .................................... -- -- CLASS C SHARES: Issued ................................................... -- -- Reinvested ............................................... -- -- Redeemed ................................................. -- -- ------------- ------------ Change in Class C Shares .................................... -- -- INSTITUTIONAL SHARES: Issued ................................................... 1,244,012 4,698,111 Reinvested ............................................... 218,187 227,789 Redeemed ................................................. (10,850,633) (8,711,294) Redemption In-Kind ....................................... -- -- ------------- ------------ Change in Institutional Shares .............................. (9,388,434) (3,785,394) ------------- ------------ Change in Shares ............................................ (9,571,235) (3,816,746) ============= ============
See accompanying notes to the financial statements. 116
INTERMEDIATE U.S. GOVERNMENT FUND TOTAL RETURN BOND FUND KENTUCKY INTERMEDIATE TAX-FREE FUND --------------------------------------- --------------------------------------- --------------------------------------- FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED FOR THE YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ ------------------ ------------------ ------------------ ------------------ $ 3,393,825 $ 7,912,637 $ 1,566,777 $ 3,553,124 $ 470,225 $ 880,498 412,369 511,872 281,750 236,789 68,849 68,804 (7,612,519) (6,364,645) (2,569,535) (1,171,666) (398,856) (1,085,960) ------------- ------------- ------------- ------------ ----------- ----------- (3,806,325) 2,059,864 (721,008) 2,618,247 140,218 (136,658) 403,411 309,161 516,135 590,741 -- -- 151,333 204,831 200,161 232,014 -- -- (2,171,972) (1,534,282) (1,878,269) (1,092,541) -- -- ------------- ------------- ------------- ------------ ----------- ----------- (1,617,228) (1,020,290) (1,161,973) (269,786) -- -- 20,199 92,895 30,094 16,713 -- -- 5,918 13,100 6,267 8,371 -- -- (87,702) (428,764) (133,111) (57,214) -- -- ------------- ------------- ------------- ------------ ----------- ----------- (61,585) (322,769) (96,750) (32,130) -- -- 33,817,098 161,477,331 212,135,973 239,507,286 1,710,390 7,483,716 11,550,412 13,752,797 10,881,639 7,254,855 694 1,275 (323,713,750) (158,332,454) (117,974,744) (48,556,956) (6,166,394) (5,130,596) -- -- (192,588,337) -- -- -- ------------- ------------- ------------- ------------ ----------- ----------- (278,346,240) 16,897,674 (87,545,469) 198,205,185 (4,455,310) 2,354,395 ------------- ------------- ------------- ------------ ----------- ----------- $(283,831,378) $ 17,614,479 $ (89,525,200) $200,521,516 $(4,315,092) $ 2,217,737 ============= ============= ============= ============ =========== =========== 344,880 783,801 155,247 341,242 47,360 86,656 42,011 50,474 27,949 22,635 6,892 6,786 (773,802) (629,447) (253,889) (112,317) (39,896) (106,990) ------------- ------------- ------------- ------------ ----------- ----------- (386,911) 204,828 (70,693) 251,560 14,356 (13,548) 41,199 30,638 51,008 56,591 -- -- 15,461 20,267 19,832 22,148 -- -- (222,404) (151,847) (187,185) (104,808) -- -- ------------- ------------- ------------- ------------ ----------- ----------- (165,744) (100,942) (116,345) (26,069) -- -- 1,788 9,176 2,989 1,598 -- -- 604 1,296 620 800 -- -- (8,890) (42,455) (13,311) (5,488) -- -- ------------- ------------- ------------- ------------ ----------- ----------- (6,498) (31,983) (9,702) (3,090) -- -- 3,429,697 15,900,619 21,073,955 22,968,831 172,234 739,641 1,174,507 1,355,399 1,079,488 693,599 70 126 (32,878,165) (15,658,921) (11,710,373) (4,652,378) (617,147) (506,921) -- -- (18,936,906) -- -- -- ------------- ------------- ------------- ------------ ----------- ----------- (28,273,961) 1,597,097 (8,493,836) 19,010,052 (444,843) 232,846 ------------- ------------- ------------- ------------ ----------- ----------- (28,833,114) 1,669,000 (8,690,576) 19,232,453 (430,487) 219,298 ============= ============= ============= ============ =========== ===========
See accompanying notes to the financial statements. 117 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
MARYLAND INTERMEDIATE TAX-FREE FUND --------------------------------------- FOR THE FOR THE YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ CAPITAL TRANSACTIONS: CLASS A SHARES: Proceeds from shares issued .............................. $ 521,102 $ 1,131,881 Dividends reinvested ..................................... 36,314 19,961 Value of shares redeemed ................................. (221,862) (196,969) ----------- ----------- Change in net assets from Class A Share transactions ........ 335,554 954,873 INSTITUTIONAL SHARES: Proceeds from shares issued .............................. 2,217,996 3,481,070 Dividends reinvested ..................................... -- 28 Value of shares redeemed ................................. (4,353,530) (2,383,358) ----------- ----------- Change in net assets from Institutional Share transactions .. (2,135,534) 1,097,740 ----------- ----------- Change in net assets from capital transactions .............. $(1,799,980) $ 2,052,613 =========== =========== SHARE TRANSACTIONS: CLASS A SHARES: Issued ................................................... 52,437 112,251 Reinvested ............................................... 3,642 1,978 Redeemed ................................................. (22,268) (19,446) ----------- ----------- Change in Class A Shares .................................... 33,811 94,783 INSTITUTIONAL SHARES: Issued ................................................... 222,409 344,202 Reinvested ............................................... -- 3 Redeemed ................................................. (437,179) (235,979) ----------- ----------- Change in Institutional Shares .............................. (214,770) 108,226 ----------- ----------- Change in Shares ............................................ (180,959) 203,009 =========== ===========
See accompanying notes to the financial statements. 118
NORTH CAROLINA INTERMEDIATE SOUTH CAROLINA INTERMEDIATE VIRGINIA INTERMEDIATE TAX-FREE FUND TAX-FREE FUND TAX-FREE FUND --------------------------------------- --------------------------------------- --------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ ------------------ ------------------ ------------------ ------------------ $ 4,652,606 $ 7,701,435 $ 328,384 $ 567,315 $ 1,838,786 $ 3,405,742 705,765 639,663 183,085 139,596 250,054 217,712 (7,591,504) (8,948,526) (505,780) (690,630) (3,235,407) (3,208,442) ------------ ------------ ----------- ----------- ------------ ------------ (2,233,133) (607,428) 5,689 16,281 (1,146,567) 415,012 22,919,184 31,065,370 3,332,757 2,267,601 14,726,302 16,254,714 49,122 27,118 1,063 -- 80,896 59,445 (27,815,851) (32,601,828) (4,084,936) (2,863,089) (16,158,693) (16,122,671) ------------ ------------ ----------- ----------- ------------ ------------ (4,847,545) (1,509,340) (751,116) (595,488) (1,351,495) 191,488 ------------ ------------ ----------- ----------- ------------ ------------ $ (7,080,678) $ (2,116,768) $ (745,427) $ (579,207) $ (2,498,062) $ 606,500 ============ ============ =========== =========== ============ ============ 452,100 729,383 31,839 53,567 161,944 292,826 68,638 60,575 17,805 13,084 22,108 18,732 (740,681) (851,796) (49,587) (64,210) (285,422) (275,812) ------------ ------------ ----------- ----------- ------------ ------------ (219,943) (61,838) 57 2,441 (101,370) 35,746 2,225,950 2,948,573 325,968 214,639 1,306,843 1,400,680 4,779 2,576 105 -- 7,154 5,117 (2,703,831) (3,087,873) (399,095) (270,854) (1,432,134) (1,386,069) ------------ ------------ ----------- ----------- ------------ ------------ (473,102) (136,724) (73,022) (56,215) (118,137) 19,728 ------------ ------------ ----------- ----------- ------------ ------------ (693,045) (198,562) (72,965) (53,774) (219,507) 55,474 ============ ============ =========== =========== ============ ============
See accompanying notes to the financial statements. 119 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
WEST VIRGINIA INTERMEDIATE TAX-FREE FUND --------------------------------------- FOR THE FOR THE YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ CAPITAL TRANSACTIONS: CLASS A SHARES: Proceeds from shares issued ................................ $ 3,071,322 $ 4,029,274 Dividends reinvested ....................................... 461,980 382,174 Value of shares redeemed ................................... (1,595,339) (1,048,404) ------------ ------------ Change in net assets from Class A Share transactions .......... 1,937,963 3,363,044 CLASS B SHARES: Proceeds from shares issued ................................ -- -- Dividends reinvested ....................................... -- -- Value of shares redeemed ................................... -- -- ------------ ------------ Change in net assets from Class B Share transactions .......... -- -- CLASS C SHARES: Proceeds from shares issued ................................ -- -- Dividends reinvested ....................................... -- -- Value of shares redeemed ................................... -- -- ------------ ------------ Change in net assets from Class C Share transactions .......... -- -- INSTITUTIONAL SHARES: Proceeds from shares issued ................................ 9,179,142 7,786,086 Dividends reinvested ....................................... 6,188 1,049 Value of shares redeemed ................................... (13,543,394) (14,269,027) ------------ ------------ Change in net assets from Institutional Share transactions .... (4,358,064) (6,481,892) ------------ ------------ Change in net assets from capital transactions ................ $ (2,420,101) $ (3,118,848) ============ ============ SHARE TRANSACTIONS: CLASS A SHARES: Issued ..................................................... 315,965 405,774 Reinvested ................................................. 47,574 38,436 Redeemed ................................................... (164,690) (105,279) ------------ ------------ Change in Class A Shares ...................................... 198,849 338,931 CLASS B SHARES: Issued ..................................................... -- -- Reinvested ................................................. -- -- Redeemed ................................................... -- -- ------------ ------------ Change in Class B Shares ...................................... -- -- CLASS C SHARES: Issued ..................................................... -- -- Reinvested ................................................. -- -- Redeemed ................................................... -- -- ------------ ------------ Change in Class C Shares ...................................... -- -- INSTITUTIONAL SHARES: Issued ..................................................... 944,140 783,915 Reinvested ................................................. 637 105 Redeemed ................................................... (1,394,252) (1,436,248) ------------ ------------ Change in Institutional Shares ................................ (449,475) (652,228) ------------ ------------ Change in Shares .............................................. (250,626) (313,297) ============ ============
---------- (a) Period from commencement of operations. See accompanying notes to the financial statements. 120
PRIME MONEY U.S. TREASURY MONEY NATIONAL TAX-FREE MONEY MARKET FUND MARKET FUND MARKET FUND --------------------------------------- --------------------------------------- FOR THE PERIOD FOR THE FOR THE FOR THE FOR THE AUGUST 1, 2006 YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED THROUGH SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 (a) ------------------ ------------------ ------------------ ------------------ ----------------------- $ 877,547,136 $ 653,088,826 $ 209,931,673 $ 122,382,575 $ 1,000 21,227,737 9,671,407 4,583,261 2,116,647 5 (755,729,498) (595,695,608) (160,875,549) (132,739,325) -- --------------- --------------- --------------- --------------- ------------ 143,045,375 67,064,625 53,639,385 (8,240,103) 1,005 1,712,243 461,617 200,191 313,580 1,000 54,133 26,539 15,977 7,886 4 (1,300,846) (977,892) (642,930) (401,098) -- --------------- --------------- --------------- --------------- ------------ 465,530 (489,736) (426,762) (79,632) 1,004 598,347 93,694 49,093 32,427 1,000 14,032 4,767 923 111 4 (545,083) (225,799) (32,524) -- -- --------------- --------------- --------------- --------------- ------------ 67,296 (127,338) 17,492 32,538 1,004 1,603,996,022 1,062,641,967 992,710,421 850,340,038 126,414,787 3,220,388 1,490,626 6,433,545 3,639,835 5 (1,386,537,416) (1,083,040,861) (1,110,395,351) (1,187,406,453) (30,657,300) --------------- --------------- --------------- --------------- ------------ 220,678,994 (18,908,268) (111,251,385) (333,426,580) 95,757,492 --------------- --------------- --------------- --------------- ------------ $ 364,257,195 $ 47,539,283 $ (58,021,270) $ (341,713,777) $ 95,760,505 =============== =============== =============== =============== ============ 877,547,136 653,088,826 209,931,673 122,382,575 1,000 21,227,737 9,671,407 4,583,261 2,116,647 5 (755,729,498) (595,695,608) (160,875,549) (132,739,325) -- --------------- --------------- --------------- --------------- ------------ 143,045,375 67,064,625 53,639,385 (8,240,103) 1,005 1,712,243 461,617 200,191 313,580 1,000 54,133 26,539 15,977 7,886 4 (1,300,846) (977,892) (642,930) (401,098) -- --------------- --------------- --------------- --------------- ------------ 465,530 (489,736) (426,762) (79,632) 1,004 598,347 93,694 49,093 32,427 1,000 14,032 4,767 923 111 4 (545,083) (225,799) (32,524) -- -- --------------- --------------- --------------- --------------- ------------ 67,296 (127,338) 17,492 32,538 1,004 1,603,996,022 1,062,641,967 992,710,421 850,340,038 126,414,787 3,220,388 1,490,626 6,433,545 3,639,835 5 (1,386,537,416) (1,083,040,861) (1,110,395,351) (1,187,406,453) (30,657,300) --------------- --------------- --------------- --------------- ------------ 220,678,994 (18,908,268) (111,251,385) (333,426,580) 95,757,492 --------------- --------------- --------------- --------------- ------------ 364,257,195 47,539,283 (58,021,270) (341,713,777) 95,760,505 =============== =============== =============== =============== ============
See accompanying notes to the financial statements. 121 BB&T Funds STATEMENTS OF CHANGES IN NET ASSETS, CONTINUED
CAPITAL MANAGER CONSERVATIVE GROWTH FUND --------------------------------------- FOR THE FOR THE YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ CAPITAL TRANSACTIONS: CLASS A SHARES: Proceeds from shares issued ................................ $ 2,894,718 $ 4,545,111 Dividends reinvested ....................................... 299,243 174,477 Value of shares redeemed ................................... (2,683,350) (1,604,470) ------------ ----------- Change in net assets from Class A Share transactions .......... 510,611 3,115,118 CLASS B SHARES: Proceeds from shares issued ................................ 889,140 837,278 Dividends reinvested ....................................... 127,595 83,612 Value of shares redeemed ................................... (1,145,079) (1,025,899) ------------ ----------- Change in net assets from Class B Share transactions .......... (128,344) (105,009) CLASS C SHARES: Proceeds from shares issued ................................ 1,495 4,097 Dividends reinvested ....................................... 3,332 2,873 Value of shares redeemed ................................... (36,001) (40,020) ------------ ----------- Change in net assets from Class C Share transactions .......... (31,174) (33,050) INSTITUTIONAL SHARES: Proceeds from shares issued ................................ 5,104,480 7,174,505 Dividends reinvested ....................................... 2,277,160 2,031,356 Value of shares redeemed ................................... (8,511,559) (8,698,693) Redemption-In-Kind ......................................... (24,907,733) -- ------------ ----------- Change in net assets from Institutional Share transactions .... (26,037,652) 507,168 ------------ ----------- Change in net assets from capital transactions ................ $(25,686,559) $ 3,484,227 ============ =========== SHARE TRANSACTIONS: CLASS A SHARES: Issued ..................................................... 296,643 471,031 Reinvested ................................................. 30,431 18,128 Redeemed ................................................... (273,031) (166,711) ------------ ----------- Change in Class A Shares ...................................... 54,043 322,448 CLASS B SHARES: Issued ..................................................... 90,828 87,018 Reinvested ................................................. 12,972 8,692 Redeemed ................................................... (116,632) (106,529) ------------ ----------- Change in Class B Shares ...................................... (12,832) (10,819) CLASS C SHARES: Issued ..................................................... 152 425 Reinvested ................................................. 340 300 Redeemed ................................................... (3,693) (4,189) ------------ ----------- Change in Class C Shares ...................................... (3,201) (3,464) INSTITUTIONAL SHARES: Issued ..................................................... 513,254 738,450 Reinvested ................................................. 230,153 209,918 Redeemed ................................................... (861,524) (898,329) Redemption-In-Kind ......................................... (2,498,268) -- ------------ ----------- Change in Institutional Shares ................................ (2,616,385) 50,039 ------------ ----------- Change in Shares .............................................. (2,578,375) 358,204 ============ ===========
---------- (a) Period from commencement of operations. See accompanying notes to the financial statements. 122
CAPITAL MANAGER MODERATE CAPITAL MANAGER CAPITAL MANAGER GROWTH FUND GROWTH FUND EQUITY FUND --------------------------------------- --------------------------------------- --------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 SEPTEMBER 30, 2005 ------------------ ------------------ ------------------ ------------------ ------------------ ------------------ $ 8,370,745 $10,050,273 $ 7,362,741 $ 6,209,050 $ 2,384,353 $ 2,993,886 799,802 432,713 429,052 174,631 210,775 29,192 (5,935,951) (3,962,369) (3,318,572) (2,661,745) (1,401,220) (1,002,205) ------------ ----------- ------------ ----------- ------------ ----------- 3,234,596 6,520,617 4,473,221 3,721,936 1,193,908 2,020,873 3,181,245 4,133,083 3,406,232 4,047,594 1,133,885 1,701,167 401,790 179,010 264,038 65,614 211,435 6,959 (4,769,211) (3,138,147) (2,440,432) (2,300,772) (1,260,549) (773,587) ------------ ----------- ------------ ----------- ------------ ----------- (1,186,176) 1,173,946 1,229,838 1,812,436 84,771 934,539 24,138 46,923 22,379 4,603 5,438 301 2,447 1,384 879 137 509 1 (14,889) (118,189) (1,305) (36,901) (15,439) (74,313) ------------ ----------- ------------ ----------- ------------ ----------- 11,696 (69,882) 21,953 (32,161) (9,492) (74,011) 7,818,183 8,257,339 7,034,663 7,167,157 6,871,867 4,088,655 1,126,897 799,904 830,721 505,600 925,609 198,724 (3,589,079) (2,815,243) (2,757,951) (2,241,429) (1,950,722) (2,624,499) (24,751,203) -- (24,289,586) -- (17,939,344) -- ------------ ----------- ------------ ----------- ------------ ----------- (19,395,202) 6,242,000 (19,182,153) 5,431,328 (12,092,590) 1,662,880 ------------ ----------- ------------ ----------- ------------ ----------- $(17,335,086) $13,866,681 $(13,457,141) $10,933,539 $(10,823,403) $ 4,544,281 ============ =========== ============ =========== ============ =========== 839,102 1,053,979 739,695 666,388 211,575 286,202 79,930 45,275 43,090 18,603 18,983 2,805 (594,781) (415,364) (332,216) (286,259) (124,422) (95,524) ------------ ----------- ------------ ----------- ------------ ----------- 324,251 683,890 450,569 398,732 106,136 193,483 324,054 441,141 347,785 442,110 103,854 169,091 40,900 18,957 27,107 7,100 19,679 680 (487,690) (335,050) (249,120) (252,552) (115,637) (76,268) ------------ ----------- ------------ ----------- ------------ ----------- (122,736) 125,048 125,772 196,658 7,896 93,503 2,457 4,988 2,312 499 504 30 248 146 90 14 48 -- ------------ ----------- ------------ ----------- ------------ ----------- (1,507) (12,517) (134) (4,068) (1,388) (7,356) 1,198 (7,383) 2,268 (3,555) (836) (7,326) 775,206 862,088 703,458 768,886 603,581 389,867 112,593 83,518 83,724 53,932 82,964 18,948 (357,251) (293,469) (278,118) (239,476) (175,325) (250,678) (2,436,142) -- (2,407,293) -- (1,579,166) -- ------------ ----------- ------------ ----------- ------------ ----------- (1,905,594) 652,137 (1,898,229) 583,342 (1,067,946) 158,137 ------------ ----------- ------------ ----------- ------------ ----------- (1,702,881) 1,453,692 (1,319,620) 1,175,177 (954,750) 437,797 ============ =========== ============ =========== ============ ===========
See accompanying notes to the financial statements. 123 BB&T Funds FINANCIAL HIGHLIGHTS, CLASS A SHARES Selected data for a share of beneficial interest outstanding throughout the periods indicated.
INVESTMENT ACTIVITIES ------------------------------------ NET REALIZED/ UNREALIZED DIVIDENDS GAINS ----------------------------------- (LOSSES) NET REALIZED NET ON GAINS ON ASSET NET INVESTMENTS INVESTMENTS VALUE, INVESTMENT AND FOREIGN TOTAL FROM NET AND FOREIGN BEGINNING INCOME CURRENCY INVESTMENT INVESTMENT CURRENCY TOTAL OF PERIOD (LOSS) TRANSACTIONS ACTIVITIES INCOME TRANSACTIONS DIVIDENDS --------- ---------- ------------ ---------- ---------- ------------ --------- LARGE CAP FUND Year Ended September 30, 2006............ $19.47 0.30(b) 2.30 2.60 (0.30) (1.44) (1.74) Year Ended September 30, 2005............ $17.26 0.28 2.22 2.50 (0.29) -- (0.29) Year Ended September 30, 2004............ $14.87 0.23 2.38 2.61 (0.22) -- (0.22) Year Ended September 30, 2003............ $12.84 0.23 2.03 2.26 (0.23) -- (0.23) Year Ended September 30, 2002............ $16.79 0.18 (3.47) (3.29) (0.18) (0.48) (0.66) LARGE CAP GROWTH FUND Year Ended September 30, 2006............ $ 8.97 0.02(b) (0.05) (0.03) (0.01) -- (0.01) Year Ended September 30, 2005............ $ 8.22 0.02(b) 0.77 0.79 (0.04) -- (0.04) Year Ended September 30, 2004............ $ 7.69 (0.01) 0.54 0.53 -- -- -- Year Ended September 30, 2003............ $ 6.60 (0.02) 1.11 1.09 -- -- -- Year Ended September 30, 2002............ $ 8.16 (0.06) (1.50) (1.56) -- -- -- MID CAP VALUE FUND Year Ended September 30, 2006............ $13.35 0.03(b) 1.60 1.63 (0.04) (1.45) (1.49) Year Ended September 30, 2005............ $15.40 0.13(b) 3.04 3.17 (0.13) (5.09) (5.22) Year Ended September 30, 2004............ $12.98 0.18(b) 2.42 2.60 (0.18) -- (0.18) Year Ended September 30, 2003............ $10.93 0.16(b) 2.04 2.20 (0.15) -- (0.15) Year Ended September 30, 2002............ $13.12 0.17(b) (1.04) (0.87) (0.17) (1.15) (1.32) MID CAP GROWTH FUND Year Ended September 30, 2006............ $13.90 (0.01)(b) --(c) (0.01) (0.02) (1.42) (1.44) Year Ended September 30, 2005............ $10.95 (0.09)(b) 3.18 3.09 -- (0.14) (0.14) Year Ended September 30, 2004............ $ 9.84 (0.08) 1.19 1.11 -- -- -- Year Ended September 30, 2003............ $ 8.07 (0.09) 1.86 1.77 -- -- -- Year Ended September 30, 2002............ $ 9.80 (0.08) (1.02) (1.10) -- (0.63) (0.63) SMALL CAP FUND Year Ended September 30, 2006............ $16.38 --(b)(c) 1.06 1.06 (0.03) (2.30) (2.33) Year Ended September 30, 2005............ $14.21 0.11(b) 2.62 2.73 (0.14) (0.42) (0.56) Year Ended September 30, 2004............ $11.44 --(b)(c) 2.90 2.90 (0.01) (0.12) (0.13) May 19, 2003 to September 30, 2003 (a)... $10.00 0.01(b) 1.43 1.44 --(c) -- --(c) INTERNATIONAL EQUITY FUND Year Ended September 30, 2006............ $ 9.58 0.14(b) 1.49 1.63 (0.15) -- (0.15) Year Ended September 30, 2005............ $ 8.12 0.10(b) 1.47 1.57 (0.11) -- (0.11) Year Ended September 30, 2004............ $ 6.88 0.07(b) 1.25 1.32 (0.08) -- (0.08) Year Ended September 30, 2003............ $ 6.31 0.06(b) 0.54 0.60 (0.03) -- (0.03) Year Ended September 30, 2002............ $ 7.43 (0.02)(b) (1.10) (1.12) -- -- -- SPECIAL OPPORTUNITIES EQUITY FUND Year Ended September 30, 2006............ $15.57 (0.04) 1.69 1.65 -- (0.79) (0.79) Year Ended September 30, 2005............ $13.08 (0.07) 2.68 2.61 -- (0.12) (0.12) Year Ended September 30, 2004............ $10.53 (0.06) 2.69 2.63 -- (0.08) (0.08) June 2, 2003 to September 30, 2003 (a)... $10.00 (0.01) 0.54 0.53 -- -- -- EQUITY INCOME FUND Year Ended September 30, 2006............ $12.09 0.28 1.58 1.86 (0.32) (0.27) (0.59) Year Ended September 30, 2005............ $10.35 0.24 1.77 2.01 (0.25) (0.02) (0.27) June 30, 2004 to September 30, 2004 (a).. $10.00 0.05(b) 0.34 0.39 (0.04) -- (0.04)
---------- * During the period certain fees were reduced. If such reductions had not occurred, the ratios would have been as indicated. ** Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. (a) Period from commencement of operations. (b) Per share net investment income (loss) has been calculated using the average daily shares method. (c) Amount is less than $0.005. (d) Not annualized for periods less than one year. (e) Annualized for periods less than one year. See accompanying notes to the financial statements. 124
RATIOS/SUPPLEMENTARY DATA ------------------------------------------------------------------------------- RATIO OF NET INVESTMENT NET ASSET NET ASSETS, RATIO OF INCOME RATIO OF VALUE, TOTAL RETURN END OF NET EXPENSES (LOSS) TO EXPENSES TO END OF (EXCLUDES SALES PERIOD TO AVERAGE AVERAGE NET AVERAGE PORTFOLIO PERIOD CHARGE) (d) (000) NET ASSETS (e) ASSETS (e) NET ASSETS* (e) TURNOVER RATE** --------- --------------- ----------- -------------- ------------ --------------- --------------- $20.33 14.29% $48,656 1.14% 1.53% 1.43% 34.83% $19.47 14.60% $39,756 1.14% 1.56% 1.48% 19.50% $17.26 17.61% $31,783 1.20% 1.32% 1.56% 16.40% $14.87 17.73% $25,397 1.17% 1.67% 1.55% 18.89% $12.84 (20.57)% $22,222 1.23% 1.11% 1.62% 23.02% $ 8.93 (0.31)% $ 9,446 1.13% 0.19% 1.43% 186.19% $ 8.97 9.62% $ 9,116 1.14% 0.38% 1.49% 62.78% $ 8.22 6.89% $ 8,784 1.22% (0.33)% 1.58% 127.47% $ 7.69 16.52% $ 7,042 1.18% (0.35)% 1.57% 91.73% $ 6.60 (19.12)% $ 6,240 1.28% (0.57)% 1.67% 100.46% $13.49 13.18% $13,393 1.13% 0.23% 1.18% 53.92% $13.35 20.82% $12,361 1.15% 0.76% 1.25% 126.99% $15.40 20.10% $ 9,423 1.23% 1.22% 1.35% 19.17% $12.98 20.31% $ 6,841 1.20% 1.33% 1.35% 18.28% $10.93 (8.24)% $ 5,070 1.15% 1.29% 1.38% 18.20% $12.45 (0.49)% $10,381 1.14% (0.07)% 1.19% 140.90% $13.90 28.45% $10,444 1.14% (0.71)% 1.26% 92.74% $10.95 11.28% $ 8,079 1.25% (0.90)% 1.36% 138.61% $ 9.84 21.93% $ 6,486 1.19% (0.96)% 1.36% 125.97% $ 8.07 (12.54)% $ 5,533 1.17% (0.88)% 1.44% 117.06% $15.11 6.96% $ 9,353 1.28% (0.03)% 1.77% 43.25% $16.38 19.64% $ 1,604 1.29% 0.69% 1.77% 8.39% $14.21 25.53% $ 353 1.48% (0.03)% 1.91% 11.25% $11.44 14.43% $ 112 2.04% 0.35% 2.29% 48.84% $11.06 17.04% $ 4,202 1.40% 1.37% 1.75% 36.22% $ 9.58 19.46% $ 3,687 1.46% 1.15% 1.83% 44.96% $ 8.12 19.25% $ 1,686 1.58% 0.91% 1.92% 50.68% $ 6.88 9.58% $ 2,162 1.63% 0.95% 1.90% 199.78% $ 6.31 (15.07)% $ 1,412 1.68% (0.24)% 1.93% 95.86% $16.43 11.16% $81,883 1.28% (0.26)% 1.53% 58.01% $15.57 20.05% $75,627 1.30% (0.41)% 1.57% 30.38% $13.08 25.06% $28,903 1.42% (0.77)% 1.80% 32.06% $10.53 5.30% $ 5,460 1.06% (0.42)% 2.02% 13.24% $13.36 15.79% $60,059 1.20% 2.28% 1.45% 45.38% $12.09 19.55% $40,825 1.10% 2.57% 1.57% 39.65% $10.35 3.89% $ 6,342 1.54% 1.79% 2.14% 1.65%
See accompanying notes to the financial statements. 125 BB&T Funds FINANCIAL HIGHLIGHTS, CLASS A SHARES Selected data for a share of beneficial interest outstanding throughout the periods indicated.
INVESTMENT ACTIVITIES ----------------------------------- NET REALIZED/ DIVIDENDS NET ASSET NET UNREALIZED ----------------------------------- VALUE, INVESTMENT GAINS TOTAL FROM NET NET REALIZED BEGINNING INCOME (LOSSES) ON INVESTMENT INVESTMENT GAINS ON TOTAL OF PERIOD (LOSS) INVESTMENTS ACTIVITIES INCOME INVESTMENTS DIVIDENDS --------- ---------- ----------- ---------- ---------- ------------ --------- SHORT U.S. GOVERNMENT FUND Year Ended September 30, 2006 ........ $ 9.50 0.28(b) 0.01(i) 0.29 (0.31) -- (0.31) Year Ended September 30, 2005 ........ $ 9.70 0.23 (0.14) 0.09 (0.29) -- (0.29) Year Ended September 30, 2004 ........ $ 9.89 0.17 (0.10) 0.07 (0.26) -- (0.26) Year Ended September 30, 2003 ........ $10.08 0.27 (0.11) 0.16 (0.35) -- (0.35) Year Ended September 30, 2002 ........ $10.04 0.43(c) 0.06(c) 0.49 (0.45) -- (0.45) INTERMEDIATE U.S. GOVERNMENT FUND Year Ended September 30, 2006 ........ $10.01 0.41(b) (0.11) 0.30 (0.42) -- (0.42) Year Ended September 30, 2005 ........ $10.24 0.35(b) (0.15) 0.20 (0.38) (0.05) (0.43) Year Ended September 30, 2004 ........ $10.57 0.32 (0.19) 0.13 (0.33) (0.13) (0.46) Year Ended September 30, 2003 ........ $10.77 0.35 (0.07) 0.28 (0.39) (0.09) (0.48) Year Ended September 30, 2002 ........ $10.38 0.47(d) 0.42(d) 0.89 (0.50) -- (0.50) TOTAL RETURN BOND FUND Year Ended September 30, 2006 ........ $10.31 0.42(b) (0.12) 0.30 (0.44) (0.05) (0.49) Year Ended September 30, 2005 ........ $10.59 0.38(b) (0.19) 0.19 (0.44) (0.03) (0.47) Year Ended September 30, 2004 ........ $10.72 0.41 (0.08) 0.33 (0.46) -- (0.46) Year Ended September 30, 2003 ........ $10.33 0.47 0.41 0.88 (0.49) -- (0.49) Year Ended September 30, 2002 ........ $10.56 0.53(e) (0.04)(e) 0.49 (0.55) (0.17) (0.72) KENTUCKY INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $10.06 0.30 0.06 0.36 (0.30) -- (0.30) Year Ended September 30, 2005 ........ $10.22 0.27(b) (0.16) 0.11 (0.27) -- (0.27) Year Ended September 30, 2004 ........ $10.23 0.27(b) (0.01) 0.26 (0.27) -- (0.27) February 24, 2003 to September 30, 2003 (a) .......................... $10.00 0.15(b) 0.35 0.50 (0.27) -- (0.27) MARYLAND INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $10.02 0.29 0.10 0.39 (0.29) -- (0.29) Year Ended September 30, 2005 ........ $10.15 0.26(b) (0.13) 0.13 (0.26) -- (0.26) Year Ended September 30, 2004 ........ $10.15 0.24 --(f) 0.24 (0.24) -- (0.24) February 24, 2003 to September 30, 2003 (a) .......................... $10.00 0.18 0.15 0.33 (0.18) -- (0.18) NORTH CAROLINA INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $10.46 0.36 --(f) 0.36 (0.35) (0.09) (0.44) Year Ended September 30, 2005 ........ $10.67 0.35 (0.19) 0.16 (0.35) (0.02) (0.37) Year Ended September 30, 2004 ........ $10.81 0.32 (0.10) 0.22 (0.32) (0.04) (0.36) Year Ended September 30, 2003 ........ $10.86 0.33 (0.01) 0.32 (0.33) (0.04) (0.37) Year Ended September 30, 2002 ........ $10.54 0.36 0.40 0.76 (0.36) (0.08) (0.44) SOUTH CAROLINA INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $10.54 0.34 (0.01) 0.33 (0.34) (0.18) (0.52) Year Ended September 30, 2005 ........ $10.81 0.34 (0.19) 0.15 (0.34) (0.08) (0.42) Year Ended September 30, 2004 ........ $10.88 0.34 (0.07) 0.27 (0.33) (0.01) (0.34) Year Ended September 30, 2003 ........ $10.87 0.34 0.01 0.35 (0.34) -- (0.34) Year Ended September 30, 2002 ........ $10.46 0.37 0.41 0.78 (0.37) -- (0.37) VIRGINIA INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $11.49 0.40 (0.05) 0.35 (0.39) (0.06) (0.45) Year Ended September 30, 2005 ........ $11.74 0.39 (0.22) 0.17 (0.40) (0.02) (0.42) Year Ended September 30, 2004 ........ $11.96 0.38 (0.14) 0.24 (0.38) (0.08) (0.46) Year Ended September 30, 2003 ........ $11.99 0.37 0.01 0.38 (0.37) (0.04) (0.41) Year Ended September 30, 2002 ........ $11.57 0.41 0.42 0.83 (0.41) -- (0.41)
---------- * During the period certain fees were reduced. If such reductions had not occurred, the ratios would have been as indicated. ** Portfolio turnover rate is calculated on the basis of the fund as a whole without distinguishing between classes of shares issued. (a) Period from commencement of operations. (b) Per share net investment income (loss) has been calculated using the average daily shares method. (c) Without the adoption of the change in amortization method as required by the November 2000 revised version of the AICPA Audit and Accounting Guide for Investment Companies, the amounts for net investment income, net realized/unrealized gains (losses), and the net investment income ratio would have been: $0.47, $0.02, and 4.38%, respectively. (d) Without the adoption of the change in amortization method as required by the November 2000 revised version of the AICPA Audit and Accounting Guide for Investment Companies, the amounts for net investment income, net realized/unrealized gains (losses), and the net investment income ratio would have been: $0.49, $0.40, and 4.74%, respectively. (e) Without the adoption of the change in amortization method as required by the November 2000 revised version of the AICPA Audit and Accounting Guide for Investment Companies, the amounts for net investment income, net realized/unrealized gains (losses), and the net investment income ratio would have been: $0.54, $(0.05), and 5.23%, respectively. (f) Amount is less than $0.005. (g) Not annualized for periods less than one year. (h) Annualized for periods less than one year. (i) The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses in the portfolio of securities during the period because of the timing of sales and purchases of Fund shares in relation to fluctuating market values during the period. See accompanying notes to the financial statements. 126
RATIOS/SUPPLEMENTARY DATA --------------------------------------------------------------------------- RATIO OF NET INVESTMENT NET ASSET NET ASSETS, RATIO OF INCOME RATIO OF VALUE, TOTAL RETURN END OF NET EXPENSES (LOSS) TO EXPENSES TO END OF (EXCLUDES PERIOD TO AVERAGE AVERAGE NET AVERAGE PORTFOLIO PERIOD SALES CHARGE) (g) (000) NET ASSETS (h) ASSETS (h) NET ASSETS* (h) TURNOVER RATE** --------- ----------------- ----------- -------------- ------------ --------------- --------------- $ 9.48 3.12% $ 6,233 0.89% 2.99% 1.29% 98.08% $ 9.50 0.96% $ 7,980 0.91% 2.40% 1.34% 33.67% $ 9.70 0.71% $ 8,456 0.99% 1.85% 1.41% 62.59% $ 9.89 1.56% $ 9,619 1.00% 2.48% 1.40% 93.86% $10.08 5.03% $ 5,286 1.03% 4.03%(c) 1.43% 73.93% $ 9.89 3.08% $ 9,748 0.92% 4.21% 1.29% 127.13% $10.01 1.98% $13,744 0.96% 3.41% 1.33% 107.04% $10.24 1.30% $11,959 1.05% 2.90% 1.42% 98.35% $10.57 2.62% $ 9,646 1.07% 3.13% 1.42% 209.07% $10.77 8.85% $ 6,453 1.10% 4.56%(d) 1.45% 79.36% $10.12 2.96% $ 6,407 0.93% 4.16% 1.29% 226.36% $10.31 1.88% $ 7,254 0.96% 3.62% 1.33% 173.74% $10.59 3.22% $ 4,786 1.07% 3.84% 1.44% 31.95% $10.72 8.69% $ 4,308 1.08% 4.34% 1.44% 43.98% $10.33 4.98% $ 2,042 1.11% 5.11%(e) 1.50% 69.15% $10.12 3.67% $ 2,729 0.91% 3.02% 1.37% 64.55% $10.06 1.06% $ 2,566 0.89% 2.65% 1.47% 37.50% $10.22 2.55% $ 2,746 0.78% 2.63% 1.57% 24.78% $10.23 5.09% $ 1,877 0.62% 2.50% 1.65% 42.87% $10.12 3.95% $ 1,966 0.85% 2.89% 1.41% 219.80% $10.02 1.28% $ 1,609 0.81% 2.57% 1.52% 44.67% $10.15 2.37% $ 667 0.75% 2.32% 1.73% 55.18% $10.15 3.32% $ 482 0.72% 2.22% 2.24% 40.16% $10.38 3.58% $19,163 0.90% 3.45% 1.30% 94.95% $10.46 1.49% $21,600 0.90% 3.29% 1.36% 60.84% $10.67 2.10% $22,689 0.90% 3.03% 1.42% 67.80% $10.81 3.04% $25,323 0.92% 3.11% 1.42% 44.56% $10.86 7.46% $23,828 0.93% 3.41% 1.43% 20.39% $10.35 3.27% $ 4,001 0.93% 3.30% 1.35% 80.24% $10.54 1.39% $ 4,072 0.92% 3.20% 1.40% 56.03% $10.81 2.60% $ 4,149 0.90% 3.11% 1.44% 32.63% $10.88 3.29% $ 4,680 0.86% 3.14% 1.43% 32.04% $10.87 7.67% $ 4,128 0.83% 3.52% 1.48% 21.81% $11.39 3.23% $11,877 0.90% 3.55% 1.30% 76.53% $11.49 1.44% $13,145 0.89% 3.39% 1.36% 48.04% $11.74 2.05% $13,005 0.91% 3.22% 1.43% 45.07% $11.96 3.24% $ 7,447 0.92% 3.14% 1.42% 34.17% $11.99 7.36% $ 3,041 0.96% 3.45% 1.46% 13.12%
See accompanying notes to the financial statements. 127 BB&T Funds FINANCIAL HIGHLIGHTS, CLASS A SHARES Selected data for a share of beneficial interest outstanding throughout the periods indicated.
INVESTMENT ACTIVITIES ----------------------------------- NET REALIZED/ DIVIDENDS NET ASSET NET UNREALIZED ----------------------------------- VALUE, INVESTMENT GAINS TOTAL FROM NET NET REALIZED BEGINNING INCOME (LOSSES) ON INVESTMENT INVESTMENT GAINS ON TOTAL OF PERIOD (LOSS) INVESTMENTS ACTIVITIES INCOME INVESTMENTS DIVIDENDS --------- ---------- ----------- ---------- ---------- ------------ --------- WEST VIRGINIA INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $ 9.85 0.39 (0.02) 0.37 (0.37) (0.06) (0.43) Year Ended September 30, 2005 ........ $10.08 0.35(b) (0.15) 0.20 (0.35) (0.08) (0.43) Year Ended September 30, 2004 ........ $10.20 0.32 (0.07) 0.25 (0.33) (0.04) (0.37) Year Ended September 30, 2003 ........ $10.35 0.33(b) 0.01 0.34 (0.33) (0.16) (0.49) Year Ended September 30, 2002 ........ $10.01 0.43 0.31 0.74 (0.38) (0.02) (0.40) PRIME MONEY MARKET FUND Year Ended September 30, 2006 ........ $ 1.00 0.04 --(c) 0.04 (0.04) -- (0.04) Year Ended September 30, 2005 ........ $ 1.00 0.02 --(c) 0.02 (0.02) -- (0.02) Year Ended September 30, 2004 ........ $ 1.00 --(c) --(c) --(c) --(c) -- --(c) Year Ended September 30, 2003 ........ $ 1.00 --(c) -- --(c) --(c) -- --(c) Year Ended September 30, 2002 ........ $ 1.00 0.01 -- 0.01 (0.01) -- (0.01) U.S. TREASURY MONEY MARKET FUND Year Ended September 30, 2006 ........ $ 1.00 0.04 -- 0.04 (0.04) -- (0.04) Year Ended September 30, 2005 ........ $ 1.00 0.02 -- 0.02 (0.02) -- (0.02) Year Ended September 30, 2004 ........ $ 1.00 --(c) -- --(c) --(c) -- --(c) Year Ended September 30, 2003 ........ $ 1.00 --(c) -- --(c) --(c) -- --(c) Year Ended September 30, 2002 ........ $ 1.00 0.01 --(c) 0.01 (0.01) -- (0.01) NATIONAL TAX-FREE MONEY MARKET FUND August 1, 2006 to September 30, 2006 (a) .......................... $ 1.00 --(c) -- --(c) --(c) -- --(c) CAPITAL MANAGER CONSERVATIVE GROWTH FUND*** Year Ended September 30, 2006 ........ $ 9.76 0.31(b) 0.22 0.53 (0.33) -- (0.33) Year Ended September 30, 2005 ........ $ 9.30 0.23 0.45 0.68 (0.22) -- (0.22) Year Ended September 30, 2004 ........ $ 8.84 0.16(b) 0.46 0.62 (0.16) -- (0.16) Year Ended September 30, 2003 ........ $ 8.29 0.18 0.57 0.75 (0.16) (0.04) (0.20) Year Ended September 30, 2002 ........ $ 9.12 0.23 (0.68) (0.45) (0.20) (0.18) (0.38) CAPITAL MANAGER MODERATE GROWTH FUND*** Year Ended September 30, 2006 ........ $ 9.79 0.24(b) 0.45 0.69 (0.26) -- (0.26) Year Ended September 30, 2005 ........ $ 9.01 0.17(b) 0.76 0.93 (0.15) -- (0.15) Year Ended September 30, 2004 ........ $ 8.28 0.08(b) 0.73 0.81 (0.08) -- (0.08) Year Ended September 30, 2003 ........ $ 7.47 0.08 0.82 0.90 (0.08) (0.01) (0.09) Year Ended September 30, 2002 ........ $ 8.82 0.12 (0.99) (0.87) (0.11) (0.37) (0.48) CAPITAL MANAGER GROWTH FUND*** Year Ended September 30, 2006 ........ $ 9.68 0.20(b) 0.56 0.76 (0.21) -- (0.21) Year Ended September 30, 2005 ........ $ 8.70 0.13 0.96 1.09 (0.11) -- (0.11) Year Ended September 30, 2004 ........ $ 7.81 0.05(b) 0.88 0.93 (0.04) -- (0.04) Year Ended September 30, 2003 ........ $ 6.87 0.04 0.94 0.98 (0.04) -- (0.04) Year Ended September 30, 2002 ........ $ 8.46 0.03 (1.20) (1.17) (0.02) (0.40) (0.42) CAPITAL MANAGER EQUITY FUND*** Year Ended September 30, 2006 ........ $10.95 0.17(b) 0.83 1.00 (0.19) (0.19) (0.38) Year Ended September 30, 2005 ........ $ 9.58 0.09(b) 1.34 1.43 (0.06) -- (0.06) Year Ended September 30, 2004 ........ $ 8.45 0.02(b) 1.12 1.14 (0.01) -- (0.01) Year Ended September 30, 2003 ........ $ 7.36 --(b)(c) 1.15 1.15 (0.01) (0.05) (0.06) Year Ended September 30, 2002 ........ $ 8.96 (0.02) (1.58) (1.60) -- -- --
---------- * During the period certain fees were reduced. If such reductions had not occurred, the ratios would have been as indicated. ** Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. *** The expense ratios exclude the impact of fees/expenses paid by each underlying fund. (a) Period from commencement of operations. (b) Per share net investment income (loss) has been calculated using the average daily shares method. (c) Amount is less than $0.005. (d) Not annualized for periods less than one year. (e) Annualized for periods less than one year. See accompanying notes to the financial statements. 128
RATIOS/SUPPLEMENTARY DATA --------------------------------------------------------------------------- RATIO OF NET INVESTMENT NET ASSET NET ASSETS, RATIO OF INCOME RATIO OF VALUE, TOTAL RETURN END OF NET EXPENSES (LOSS) TO EXPENSES TO END OF (EXCLUDES PERIOD TO AVERAGE AVERAGE NET AVERAGE PORTFOLIO PERIOD SALES CHARGE) (d) (000) NET ASSETS (e) ASSETS (e) NET ASSETS* (e) TURNOVER RATE** --------- ----------------- ----------- -------------- ------------ --------------- --------------- $ 9.79 3.85% $ 15,773 0.90% 3.80% 0.90% 50.14% $ 9.85 1.97% $ 13,911 0.93% 3.50% 0.96% 32.10% $10.08 2.51% $ 10,815 1.01% 3.24% 1.03% 16.24% $10.20 3.41% $ 11,541 0.98% 3.23% 1.01% 25.59% $10.35 7.61% $ 10,029 0.97% 3.78% 1.13% 61.44% $ 1.00 3.86% $636,327 0.98% 3.83% 1.09% -- $ 1.00 1.92% $493,282 0.91% 1.91% 1.13% -- $ 1.00 0.41% $426,217 0.86% 0.40% 1.20% -- $ 1.00 0.48% $459,375 0.98% 0.47% 1.19% -- $ 1.00 1.21% $416,782 1.05% 1.20% 1.23% -- $ 1.00 3.64% $167,900 0.96% 3.63% 1.09% -- $ 1.00 1.69% $114,260 0.89% 1.66% 1.14% -- $ 1.00 0.31% $122,500 0.79% 0.31% 1.21% -- $ 1.00 0.30% $135,059 0.99% 0.32% 1.20% -- $ 1.00 1.01% $197,830 1.05% 1.01% 1.24% -- $ 1.00 0.51% $ 1 0.62% 2.96% 1.26% -- $ 9.96 5.54% $ 9,365 0.33% 3.12% 0.95% 5.69% $ 9.76 7.39% $ 8,646 0.43% 2.45% 1.01% 52.50% $ 9.30 6.97% $ 5,242 0.69% 1.68% 1.14% 2.47% $ 8.84 9.09% $ 2,579 0.78% 1.86% 1.23% 33.03% $ 8.29 (5.18)% $ 1,198 0.79% 2.25% 1.24% 6.29% $10.22 7.10% $ 33,472 0.35% 2.44% 0.97% 7.33% $ 9.79 10.35% $ 28,912 0.48% 1.77% 1.05% 37.83% $ 9.01 9.77% $ 20,428 0.74% 0.92% 1.19% 0.17% $ 8.28 12.13% $ 8,054 0.75% 1.11% 1.20% 21.46% $ 7.47 (10.76)% $ 3,194 0.81% 1.26% 1.26% 14.56% $10.23 7.97% $ 22,801 0.36% 2.01% 0.98% 6.26% $ 9.68 12.51% $ 17,219 0.48% 1.37% 1.07% 26.22% $ 8.70 11.85% $ 12,007 0.75% 0.52% 1.23% 0.19% $ 7.81 14.22% $ 4,660 0.80% 0.59% 1.25% 17.80% $ 6.87 (14.82)% $ 2,700 0.87% 0.39% 1.32% 8.38% $11.57 9.39% $ 7,762 0.36% 1.53% 0.97% 1.48% $10.95 14.95% $ 6,183 0.45% 0.91% 1.09% 2.14% $ 9.58 13.53% $ 3,557 0.77% 0.22% 1.31% 3.10% $ 8.45 15.61% $ 1,225 0.95% 0.05% 1.40% 8.30% $ 7.36 (17.86)% $ 645 0.90% (0.15)% 1.35% 5.75%
See accompanying notes to the financial statements. 129 BB&T Funds FINANCIAL HIGHLIGHTS, CLASS B SHARES Selected data for a share of beneficial interest outstanding throughout the periods indicated.
INVESTMENT ACTIVITIES ------------------------------------ NET REALIZED/ DIVIDENDS UNREALIZED ----------------------------------- GAINS NET REALIZED (LOSSES) ON GAINS ON NET ASSET NET INVESTMENTS INVESTMENTS VALUE, INVESTMENT AND FOREIGN TOTAL FROM NET AND FOREIGN BEGINNING INCOME CURRENCY INVESTMENT INVESTMENT CURRENCY TOTAL OF PERIOD (LOSS) TRANSACTIONS ACTIVITIES INCOME TRANSACTIONS DIVIDENDS --------- ---------- ------------ ---------- ---------- ------------ --------- LARGE CAP FUND Year Ended September 30, 2006 ........ $19.31 0.16(b) 2.27 2.43 (0.15) (1.44) (1.59) Year Ended September 30, 2005 ........ $17.12 0.13 2.22 2.35 (0.16) -- (0.16) Year Ended September 30, 2004 ........ $14.75 0.09 2.38 2.47 (0.10) -- (0.10) Year Ended September 30, 2003 ........ $12.75 0.12 2.01 2.13 (0.13) -- (0.13) Year Ended September 30, 2002 ........ $16.68 0.06 (3.44) (3.38) (0.07) (0.48) (0.55) LARGE CAP GROWTH FUND Year Ended September 30, 2006 ........ $ 8.47 (0.05)(b) (0.05) (0.10) -- -- -- Year Ended September 30, 2005 ........ $ 7.80 (0.03)(b) 0.72 0.69 (0.02) -- (0.02) Year Ended September 30, 2004 ........ $ 7.36 (0.13) 0.57 0.44 -- -- -- Year Ended September 30, 2003 ........ $ 6.36 (0.08)(b) 1.08 1.00 -- -- -- Year Ended September 30, 2002 ........ $ 7.93 (0.12) (1.45) (1.57) -- -- -- MID CAP VALUE FUND Year Ended September 30, 2006 ........ $13.16 (0.07)(b) 1.59 1.52 --(c) (1.45) (1.45) Year Ended September 30, 2005 ........ $15.30 --(b)(c) 3.02 3.02 (0.07) (5.09) (5.16) Year Ended September 30, 2004 ........ $12.91 0.07(b) 2.42 2.49 (0.10) -- (0.10) Year Ended September 30, 2003 ........ $10.90 0.07 2.03 2.10 (0.09) -- (0.09) Year Ended September 30, 2002 ........ $13.10 0.08 (1.03) (0.95) (0.10) (1.15) (1.25) MID CAP GROWTH FUND Year Ended September 30, 2006 ........ $13.47 (0.11)(b) 0.01(g) (0.10) -- (1.42) (1.42) Year Ended September 30, 2005 ........ $10.70 (0.17)(b) 3.08 2.91 -- (0.14) (0.14) Year Ended September 30, 2004 ........ $ 9.68 (0.16) 1.18 1.02 -- -- -- Year Ended September 30, 2003 ........ $ 8.00 (0.13) 1.81 1.68 -- -- -- Year Ended September 30, 2002 ........ $ 9.79 (0.14)(b) (1.02) (1.16) -- (0.63) (0.63) SMALL CAP FUND Year Ended September 30, 2006 ........ $16.11 (0.12)(b) 1.05 0.93 (0.01) (2.30) (2.31) Year Ended September 30, 2005 ........ $14.06 --(b)(c) 2.58 2.58 (0.11) (0.42) (0.53) Year Ended September 30, 2004 ........ $11.40 (0.10)(b) 2.88 2.78 -- (0.12) (0.12) May 19, 2003 to September 30, 2003 (a) .......................... $10.00 (0.04)(b) 1.44 1.40 -- -- -- INTERNATIONAL EQUITY FUND Year Ended September 30, 2006 ........ $ 9.09 0.06(b) 1.42 1.48 (0.11) -- (0.11) Year Ended September 30, 2005 ........ $ 7.74 0.03(b) 1.38 1.41 (0.06) -- (0.06) Year Ended September 30, 2004 ........ $ 6.57 0.02(b) 1.19 1.21 (0.04) -- (0.04) Year Ended September 30, 2003 ........ $ 6.07 (0.02)(b) 0.54 0.52 (0.02) -- (0.02) Year Ended September 30, 2002 ........ $ 7.19 (0.07)(b) (1.05) (1.12) -- -- -- SPECIAL OPPORTUNITIES EQUITY FUND Year Ended September 30, 2006 ........ $15.29 (0.16) 1.66 1.50 -- (0.79) (0.79) Year Ended September 30, 2005 ........ $12.95 (0.13) 2.59 2.46 -- (0.12) (0.12) Year Ended September 30, 2004 ........ $10.50 (0.12) 2.65 2.53 -- (0.08) (0.08) June 2, 2003 to September 30, 2003 (a) .......................... $10.00 (0.02) 0.52 0.50 -- -- -- EQUITY INCOME FUND Year Ended September 30, 2006 ........ $12.08 0.19 1.56 1.75 (0.23) (0.27) (0.50) Year Ended September 30, 2005 ........ $10.34 0.16 1.77 1.93 (0.17) (0.02) (0.19) June 30, 2004 to September 30, 2004 (a) .......................... $10.00 0.03(b) 0.34 0.37 (0.03) -- (0.03) INTERMEDIATE U.S. GOVERNMENT FUND Year Ended September 30, 2006 ........ $ 9.98 0.34(b) (0.12) 0.22 (0.34) -- (0.34) Year Ended September 30, 2005 ........ $10.20 0.27(b) (0.13) 0.14 (0.31) (0.05) (0.36) Year Ended September 30, 2004 ........ $10.53 0.21 (0.16) 0.05 (0.25) (0.13) (0.38) Year Ended September 30, 2003 ........ $10.73 0.27 (0.07) 0.20 (0.31) (0.09) (0.40) Year Ended September 30, 2002 ........ $10.35 0.39(d) 0.41(d) 0.80 (0.42) -- (0.42)
---------- * During the period certain fees were reduced. If such reductions had not occurred, the ratios would have been as indicated. ** Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. (a) Period from commencement of operations. (b) Per share net investment income (loss) has been calculated using the average daily shares method. (c) Amount is less than $0.005. (d) Without the adoption of the change in amortization method as required by the November 2000 revised version of the AICPA Audit and Accounting Guide for Investment Companies, the amounts for net investment income, net realized/unrealized gains (losses), and the net investment income ratio would have been: $0.41, $0.39 and 3.99% respectively. (e) Not annualized for periods less than one year. (f) Annualized for periods less than one year. (g) The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses in the portfolio of securities during the period because of the timing of sales and purchases of Fund shares in relation to fluctuating market values during the period. See accompanying notes to the financial statements. 130
RATIOS/SUPPLEMENTARY DATA --------------------------------------------------------------------------- RATIO OF NET INVESTMENT NET ASSET NET ASSETS, RATIO OF INCOME RATIO OF VALUE, TOTAL RETURN END OF NET EXPENSES (LOSS) TO EXPENSES TO END OF (EXCLUDES PERIOD TO AVERAGE AVERAGE NET AVERAGE PORTFOLIO PERIOD SALES CHARGE) (e) (000) NET ASSETS (f) ASSETS (f) NET ASSETS* (f) TURNOVER RATE** --------- ----------------- ----------- -------------- ------------ --------------- --------------- $20.15 13.45% $14,808 1.88% 0.85% 1.93% 34.83% $19.31 13.75% $22,148 1.89% 0.82% 1.99% 19.50% $17.12 16.75% $26,309 1.95% 0.58% 2.06% 16.40% $14.75 16.74% $26,215 1.91% 0.92% 2.05% 18.89% $12.75 (21.14)% $24,849 1.98% 0.36% 2.12% 23.02% $ 8.37 (1.18)% $ 8,970 1.88% (0.58)% 1.93% 186.19% $ 8.47 8.89% $12,621 1.89% (0.36)% 1.99% 62.78% $ 7.80 5.98% $13,845 1.96% (1.08)% 2.08% 127.47% $ 7.36 15.72% $14,217 1.93% (1.10)% 2.07% 91.73% $ 6.36 (19.80)% $13,040 2.03% (1.32)% 2.17% 100.46% $13.23 12.38% $ 5,391 1.89% (0.53)% 1.93% 53.92% $13.16 19.94% $ 4,534 1.89% 0.02% 1.99% 126.99% $15.30 19.31% $ 3,582 1.98% 0.47% 2.10% 19.17% $12.91 19.31% $ 2,071 1.95% 0.58% 2.10% 18.28% $10.90 (8.80)% $ 1,158 1.91% 0.63% 2.12% 18.20% $11.95 (1.23)% $ 2,377 1.89% (0.83)% 1.94% 140.90% $13.47 27.42% $ 2,395 1.91% (1.46)% 2.01% 92.74% $10.70 10.54% $ 1,973 2.00% (1.65)% 2.11% 138.61% $ 9.68 21.00% $ 1,030 1.95% (1.73)% 2.11% 125.97% $ 8.00 (13.20)% $ 507 1.76% (1.52)% 2.07% 117.06% $14.73 6.19% $ 4,092 2.04% (0.79)% 2.28% 43.25% $16.11 18.79% $ 259 2.05% 0.00% 2.27% 8.39% $14.06 24.56% $ 136 2.22% (0.75)% 2.41% 11.25% $11.40 14.00% $ 29 2.69% (0.93)% 2.69% 48.84% $10.46 16.27% $ 1,819 2.15% 0.64% 2.25% 36.22% $ 9.09 18.34% $ 2,007 2.20% 0.36% 2.33% 44.96% $ 7.74 18.47% $ 2,140 2.33% 0.24% 2.42% 50.68% $ 6.57 8.63% $ 2,012 2.40% (0.37)% 2.41% 199.78% $ 6.07 (15.58)% $ 2,056 2.43% (1.01)% 2.43% 95.86% $16.00 10.35% $22,901 2.03% (1.01)% 2.03% 58.01% $15.29 19.09% $21,911 2.06% (1.18)% 2.08% 30.38% $12.95 24.17% $13,215 2.15% (1.51)% 2.30% 32.06% $10.50 5.00% $ 4,360 1.80% (1.16)% 2.50% 13.24% $13.33 14.84% $ 9,592 1.95% 1.52% 1.95% 45.38% $12.08 18.79% $ 5,611 1.87% 1.74% 2.09% 39.65% $10.34 3.66% $ 1,672 2.29% 1.07% 2.65% 1.65% $ 9.86 2.32% $ 4,020 1.68% 3.48% 1.79% 127.13% $ 9.98 1.33% $ 5,725 1.71% 2.67% 1.84% 107.04% $10.20 0.55% $ 6,883 1.80% 2.15% 1.92% 98.35% $10.53 1.86% $ 7,869 1.82% 2.42% 1.92% 209.97% $10.73 7.96% $ 5,981 1.85% 3.81%(d) 1.95% 79.36%
See accompanying notes to the financial statements. 131 BB&T Funds FINANCIAL HIGHLIGHTS, CLASS B SHARES Selected data for a share of beneficial interest outstanding throughout the periods indicated.
INVESTMENT ACTIVITIES ----------------------------------- NET REALIZED/ DIVIDENDS NET ASSET NET UNREALIZED ----------------------------------- VALUE, INVESTMENT GAINS TOTAL FROM NET NET REALIZED BEGINNING INCOME (LOSSES) ON INVESTMENT INVESTMENT GAINS ON TOTAL OF PERIOD (LOSS) INVESTMENTS ACTIVITIES INCOME INVESTMENTS DIVIDENDS --------- ---------- ----------- ---------- ---------- ------------ --------- TOTAL RETURN BOND FUND Year Ended September 30, 2006 ........ $10.32 0.34(b) (0.12) 0.22 (0.36) (0.05) (0.41) Year Ended September 30, 2005 ........ $10.59 0.30(b) (0.18) 0.12 (0.36) (0.03) (0.39) Year Ended September 30, 2004 ........ $10.72 0.32 (0.07) 0.25 (0.38) -- (0.38) Year Ended September 30, 2003 ........ $10.34 0.39 0.40 0.79 (0.41) -- (0.41) Year Ended September 30, 2002 ........ $10.57 0.45(d) (0.04)(d) 0.41 (0.47) (0.17) (0.64) PRIME MONEY MARKET FUND Year Ended September 30, 2006 ........ $ 1.00 0.03 --(c) 0.03 (0.03) -- (0.03) Year Ended September 30, 2005 ........ $ 1.00 0.01 --(c) 0.01 (0.01) -- (0.01) Year Ended September 30, 2004 ........ $ 1.00 --(c) --(c) --(c) --(c) -- --(C) Year Ended September 30, 2003 ........ $ 1.00 --(c) -- --(c) --(c) -- --(C) Year Ended September 30, 2002 ........ $ 1.00 0.01 -- 0.01 (0.01) -- (0.01) U.S. TREASURY MONEY MARKET FUND Year Ended September 30, 2006 ........ $ 1.00 0.03 -- 0.03 (0.03) -- (0.03) Year Ended September 30, 2005 ........ $ 1.00 0.01 -- 0.01 (0.01) -- (0.01) Year Ended September 30, 2004 ........ $ 1.00 --(c) -- --(c) --(c) -- --(C) Year Ended September 30, 2003 ........ $ 1.00 --(c) -- --(c) --(c) -- --(C) Year Ended September 30, 2002 ........ $ 1.00 0.01 -- 0.01 (0.01) -- (0.01) NATIONAL TAX-FREE MONEY MARKET FUND August 1, 2006 to September 30, 2006 (a) .......................... $ 1.00 --(c) -- --(c) --(c) -- --(C) CAPITAL MANAGER CONSERVATIVE GROWTH FUND*** Year Ended September 30, 2006 ........ $ 9.76 0.23(b) 0.23 0.46 (0.26) -- (0.26) Year Ended September 30, 2005 ........ $ 9.30 0.16 0.45 0.61 (0.15) -- (0.15) Year Ended September 30, 2004 ........ $ 8.85 0.09(b) 0.45 0.54 (0.09) -- (0.09) Year Ended September 30, 2003 ........ $ 8.29 0.11 0.59 0.70 (0.10) (0.04) (0.14) Year Ended September 30, 2002 ........ $ 9.13 0.15 (0.67) (0.52) (0.14) (0.18) (0.32) CAPITAL MANAGER MODERATE GROWTH FUND*** Year Ended September 30, 2006 ........ $ 9.64 0.17(b) 0.42 0.59 (0.18) -- (0.18) Year Ended September 30, 2005 ........ $ 8.86 0.09(b) 0.77 0.86 (0.08) -- (0.08) Year Ended September 30, 2004 ........ $ 8.15 0.02(b) 0.71 0.73 (0.02) -- (0.02) Year Ended September 30, 2003 ........ $ 7.41 0.04 0.80 0.84 (0.09) (0.01) (0.10) Year Ended September 30, 2002 ........ $ 8.75 0.05 (0.97) (0.92) (0.05) (0.37) (0.42) CAPITAL MANAGER GROWTH FUND*** Year Ended September 30, 2006 ........ $ 9.51 0.12(b) 0.56 0.68 (0.14) -- (0.14) Year Ended September 30, 2005 ........ $ 8.55 0.05(b) 0.95 1.00 (0.04) -- (0.04) Year Ended September 30, 2004 ........ $ 7.70 (0.02)(b) 0.87 0.85 -- -- -- Year Ended September 30, 2003 ........ $ 6.80 (0.01) 0.91 0.90 --(c) -- --(c) Year Ended September 30, 2002 ........ $ 8.42 (0.01) (1.21) (1.22) -- (0.40) (0.40) CAPITAL MANAGER EQUITY FUND*** Year Ended September 30, 2006 ........ $10.67 0.09(b) 0.80 0.89 (0.11) (0.19) (0.30) Year Ended September 30, 2005 ........ $ 9.36 0.01(b) 1.31 1.32 (0.01) -- (0.01) Year Ended September 30, 2004 ........ $ 8.30 (0.05)(b) 1.11 1.06 -- -- -- Year Ended September 30, 2003 ........ $ 7.28 (0.05)(b) 1.12 1.07 -- (0.05) (0.05) Year Ended September 30, 2002 ........ $ 8.93 (0.04) (1.61) (1.65) -- -- --
---------- * During the period certain fees were reduced. If such reductions had not occurred, the ratios would have been as indicated. ** Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. *** The expense ratios exclude the impact of fees/expenses paid by each underlying fund. (a) Period from commencement of operations. (b) Per share net investment income (loss) has been calculated using the average daily shares method. (c) Amount is less than $0.005. (d) Without the adoption of the change in amortization method as required by the November 2000 revised version of the AICPA Audit and Accounting Guide for Investment Companies, the amounts for net investment income, net realized/unrealized gains (losses) and the net investment income ratio would have been: $0.46, $(0.05) and 4.51%, respectively. (e) Not annualized for periods less than one year. (f) Annualized for periods less than one year. See accompanying notes to the financial statements. 132
RATIOS/SUPPLEMENTARY DATA --------------------------------------------------------------------------- RATIO OF NET INVESTMENT NET ASSET NET ASSETS, RATIO OF INCOME RATIO OF VALUE, TOTAL RETURN END OF NET EXPENSES (LOSS) TO EXPENSES TO END OF (EXCLUDES PERIOD TO AVERAGE AVERAGE NET AVERAGE PORTFOLIO PERIOD SALES CHARGE) (e) (000) NET ASSETS (f) ASSETS (f) NET ASSETS* (f) TURNOVER RATE** --------- ----------------- ----------- -------------- ------------ --------------- --------------- $10.13 2.27% $ 4,872 1.68% 3.39% 1.79% 226.36% $10.32 1.21% $ 6,161 1.71% 2.87% 1.84% 173.14% $10.59 2.45% $ 6,602 1.82% 3.09% 1.94% 31.95% $10.72 7.77% $ 6,358 1.83% 3.61% 1.94% 43.98% $10.34 4.18% $ 4,465 1.84% 4.39%(d) 1.99% 69.15% $ 1.00 3.37% $ 2,256 1.48% 3.34% 1.59% -- $ 1.00 1.32% $ 1,790 1.49% 1.28% 1.63% -- $ 1.00 0.06% $ 2,280 1.20% 0.06% 1.70% -- $ 1.00 0.15% $ 2,543 1.32% 0.16% 1.69% -- $ 1.00 0.60% $ 2,730 1.67% 0.70% 1.77% -- $ 1.00 3.12% $ 381 1.46% 2.97% 1.59% -- $ 1.00 1.09% $ 807 1.48% 1.05% 1.64% -- $ 1.00 0.05% $ 887 1.05% 0.05% 1.71% -- $ 1.00 0.16% $ 1,126 1.12% 0.15% 1.70% -- $ 1.00 0.39% $ 1,121 1.69% 0.48% 1.77% -- $ 1.00 0.36% $ 1 1.39% 2.19% 1.78% -- $ 9.96 4.75% $ 4,968 1.08% 2.37% 1.45% 5.69% $ 9.76 6.58% $ 4,992 1.20% 1.64% 1.51% 52.50% $ 9.30 6.10% $ 4,857 1.44% 0.93% 1.64% 2.47% $ 8.85 8.45% $ 3,150 1.53% 1.07% 1.73% 33.03% $ 8.29 (5.94)% $ 1,682 1.53% 1.49% 1.73% 6.29% $10.05 6.21% $21,610 1.10% 1.70% 1.47% 7.33% $ 9.64 9.72% $21,909 1.24% 0.99% 1.55% 37.83% $ 8.86 8.94% $19,049 1.49% 0.17% 1.69% 0.17% $ 8.15 11.29% $ 8,929 1.50% 0.35% 1.70% 21.46% $ 7.41 (11.35)% $ 4,384 1.56% 0.52% 1.76% 14.56% $10.05 7.22% $19,366 1.11% 1.27% 1.48% 6.26% $ 9.51 11.68% $17,141 1.23% 0.59% 1.57% 26.22% $ 8.55 11.04% $13,730 1.50% (0.23)% 1.73% 0.19% $ 7.70 13.31% $ 9,142 1.55% (0.16)% 1.75% 17.80% $ 6.80 (15.53)% $ 5,712 1.62% (0.35)% 1.82% 8.38% $11.26 8.51% $ 8,023 1.11% 0.80% 1.47% 1.48% $10.67 14.11% $ 7,515 1.21% 0.11% 1.58% 2.14% $ 9.36 12.77% $ 5,720 1.52% (0.54)% 1.81% 3.10% $ 8.30 14.74% $ 2,475 1.70% (0.69)% 1.90% 8.30% $ 7.28 (18.48)% $ 1,302 1.67% (0.94)% 1.87% 5.75%
See accompanying notes to the financial statements. 133 BB&T Funds FINANCIAL HIGHLIGHTS, CLASS C SHARES Selected data for a share of beneficial interest outstanding throughout the periods indicated.
INVESTMENT ACTIVITIES ------------------------------------ NET REALIZED/ DIVIDENDS UNREALIZED ----------------------------------- GAINS NET REALIZED (LOSSES) ON GAINS ON NET ASSET NET INVESTMENTS INVESTMENTS VALUE, INVESTMENT AND FOREIGN TOTAL FROM NET AND FOREIGN BEGINNING INCOME CURRENCY INVESTMENT INVESTMENT CURRENCY TOTAL OF PERIOD (LOSS) TRANSACTIONS ACTIVITIES INCOME TRANSACTIONS DIVIDENDS --------- ---------- ------------ ---------- ---------- ------------ --------- LARGE CAP FUND Year Ended September 30, 2006 ............ $19.28 0.16(b) 2.26 2.42 (0.15) (1.44) (1.59) Year Ended September 30, 2005 ............ $17.09 0.14 2.19 2.33 (0.14) -- (0.14) Year Ended September 30, 2004 ............ $14.73 0.09 2.37 2.46 (0.10) -- (0.10) Year Ended September 30, 2003 ............ $12.74 0.13 1.99 2.12 (0.13) -- (0.13) Year Ended September 30, 2002 ............ $16.67 0.08 (3.45) (3.37) (0.08) (0.48) (0.56) LARGE CAP GROWTH FUND Year Ended September 30, 2006 ............ $ 8.47 (0.05)(b) (0.04) (0.09) -- -- -- Year Ended September 30, 2005 ............ $ 7.81 (0.04)(b) 0.73 0.69 (0.03) -- (0.03) Year Ended September 30, 2004 ............ $ 7.37 (0.12) 0.56 0.44 -- -- -- Year Ended September 30, 2003 ............ $ 6.37 (0.08)(b) 1.08 1.00 -- -- -- Year Ended September 30, 2002 ............ $ 7.94 (0.10)(b) (1.47) (1.57) -- -- -- MID CAP VALUE FUND Year Ended September 30, 2006 ............ $13.16 (0.07)(b) 1.59 1.52 --(c) (1.45) (1.45) Year Ended September 30, 2005 ............ $15.30 --(b)(c) 3.02 3.02 (0.07) (5.09) (5.16) Year Ended September 30, 2004 ............ $12.92 0.07(b) 2.41 2.48 (0.10) -- (0.10) Year Ended September 30, 2003 ............ $10.90 0.07(b) 2.04 2.11 (0.09) -- (0.09) Year Ended September 30, 2002 ............ $13.11 0.08 (1.04) (0.96) (0.10) (1.15) (1.25) MID CAP GROWTH FUND Year Ended September 30, 2006 ............ $13.47 (0.09)(b) --(c) (0.09) -- (1.42) (1.42) Year Ended September 30, 2005 ............ $10.70 (0.17)(b) 3.08 2.91 -- (0.14) (0.14) Year Ended September 30, 2004 ............ $ 9.69 (0.16) 1.17 1.01 -- -- -- Year Ended September 30, 2003 ............ $ 8.00 (0.15) 1.84 1.69 -- -- -- Year Ended September 30, 2002 ............ $ 9.79 (0.15)(b) (1.01) (1.16) -- (0.63) (0.63) SMALL CAP FUND Year Ended September 30, 2006 ............ $16.10 (0.11)(b) 1.03 0.92 (0.01) (2.30) (2.31) Year Ended September 30, 2005 ............ $14.06 (0.02)(b) 2.60 2.58 (0.12) (0.42) (0.54) Year Ended September 30, 2004 ............ $11.40 (0.12)(b) 2.90 2.78 -- (0.12) (0.12) May 19, 2003 to September 30, 2003 (a) ... $10.00 (0.05)(b) 1.45 1.40 -- -- -- INTERNATIONAL EQUITY FUND Year Ended September 30, 2006 ............ $ 9.07 0.05(b) 1.42 1.47 (0.10) -- (0.10) Year Ended September 30, 2005 ............ $ 7.74 0.06(b) 1.36 1.42 (0.09) -- (0.09) Year Ended September 30, 2004 ............ $ 6.58 --(b) 1.20 1.20 (0.04) -- (0.04) Year Ended September 30, 2003 ............ $ 6.07 (0.07)(b) 0.60 0.53 (0.02) -- (0.02) Year Ended September 30, 2002 ............ $ 7.20 (0.07) (1.06) (1.13) -- -- -- SPECIAL OPPORTUNITIES EQUITY FUND Year Ended September 30, 2006 ............ $15.30 (0.14) 1.64 1.50 -- (0.79) (0.79) Year Ended September 30, 2005 ............ $12.95 (0.13) 2.60 2.47 -- (0.12) (0.12) Year Ended September 30, 2004 ............ $10.50 (0.11) 2.64 2.53 -- (0.08) (0.08) June 2, 2003 to September 30, 2003 (a) ... $10.00 (0.02) 0.52 0.50 -- -- -- EQUITY INCOME FUND Year Ended September 30, 2006 ............ $12.07 0.19 1.56 1.75 (0.23) (0.27) (0.50) Year Ended September 30, 2005 ............ $10.34 0.17 1.76 1.93 (0.18) (0.02) (0.20) June 30, 2004 to September 30, 2004 (a) .. $10.00 0.03(b) 0.34 0.37 (0.03) -- (0.03) INTERMEDIATE U.S. GOVERNMENT FUND Year Ended September 30, 2006 ............ $ 9.98 0.34(b) (0.12) 0.22 (0.34) -- (0.34) Year Ended September 30, 2005 ............ $10.20 0.27(b) (0.13) 0.14 (0.31) (0.05) (0.36) Year Ended September 30, 2004 ............ $10.53 0.17 (0.12) 0.05 (0.25) (0.13) (0.38) Year Ended September 30, 2003 ............ $10.74 0.26 (0.07) 0.19 (0.31) (0.09) (0.40) Year Ended September 30, 2002 ............ $10.35 0.38(d) 0.43(d) 0.81 (0.42) -- (0.42)
---------- * During the period certain fees were reduced. If such reductions had not occurred, the ratios would have been as indicated. ** Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. (a) Period from commencement of operations. (b) Per share net investment income (loss) has been calculated using the average daily shares method. (c) Amount is less than $0.005. (d) Without the adoption of the change in amortization method as required by the November 2000 revised version of the AICPA Audit and Accounting Guide for Investment Companies, the amounts for net investment income, net realized/unrealized gains (losses), and the net investment income ratio would have been: $0.40, $0.41 and 3.99%, respectively. (e) Not annualized for periods less than one year. (f) Annualized for periods less than one year. See accompanying notes to the financial statements. 134
RATIOS/SUPPLEMENTARY DATA --------------------------------------------------------------------------- RATIO OF NET INVESTMENT NET ASSET TOTAL NET ASSETS, RATIO OF NET INCOME RATIO OF VALUE, RETURN END OF EXPENSES TO (LOSS) TO EXPENSES TO END OF (EXCLUDES SALES PERIOD AVERAGE AVERAGE NET AVERAGE PORTFOLIO PERIOD CHARGE) (e) (000) NET ASSETS (f) ASSETS (f) NET ASSETS* (f) TURNOVER RATE** --------- --------------- ----------- -------------- ------------ --------------- --------------- $ 20.11 13.42% $ 161 1.88% 0.82% 1.94% 34.83% $ 19.28 13.77% $ 176 1.88% 0.80% 1.98% 19.50% $ 17.09 16.72% $ 157 1.95% 0.57% 2.07% 16.40% $ 14.73 16.72% $ 122 1.92% 0.90% 2.06% 18.89% $ 12.74 (21.10)% $ 52 1.94% 0.41% 2.08% 23.02% $ 8.38 (1.18)% $ 37 1.89% (0.56)% 1.93% 186.19% $ 8.47 8.90% $ 18 1.89% (0.43)% 1.98% 62.78% $ 7.81 5.97% $ 25 1.96% (1.08)% 2.08% 127.47% $ 7.37 15.70% $ 31 1.93% (1.10)% 2.06% 91.73% $ 6.37 (19.77)% $ 37 1.98% (1.23)% 2.12% 100.46% $ 13.23 12.38% $ 743 1.89% (0.53)% 1.93% 53.92% $ 13.16 19.97% $ 351 1.90% 0.01% 2.00% 126.99% $ 15.30 19.20% $ 523 1.98% 0.45% 2.10% 19.17% $ 12.92 19.40% $ 484 1.95% 0.61% 2.10% 18.28% $ 10.90 (8.86)% $ 300 1.91% 0.65% 2.12% 18.20% $ 11.96 (1.15)% $ 33 1.88% (0.70)% 1.93% 140.90% $ 13.47 27.42% $ 77 1.91% (1.46)% 2.00% 92.74% $ 10.70 10.42% $ 208 2.00% (1.65)% 2.11% 138.61% $ 9.69 21.13% $ 164 1.95% (1.71)% 2.11% 125.97% $ 8.00 (13.20)% $ 143 1.81% (1.58)% 2.13% 117.06% $ 14.71 6.17% $ 20 2.03% (0.76)% 2.27% 43.25% $ 16.10 18.71% $ 4 2.04% (0.12)% 2.25% 8.39% $ 14.06 24.56% $ 1 2.25% (0.89)% 2.44% 11.25% $ 11.40 14.00% $ 1 2.64% (1.15)% 2.64% 48.84% $ 10.44 16.26% $ 188 2.15% 0.47% 2.25% 36.22% $ 9.07 18.38% $ 92 2.23% 0.70% 2.34% 44.96% $ 7.74 18.30% $ 2 2.32% (0.04)% 2.42% 50.68% $ 6.58 8.80% $ 2 2.40% (1.06)% 2.40% 199.78% $ 6.07 (15.69)% $ 7 2.43% (0.98)% 2.43% 95.86% $ 16.01 10.34% $34,418 2.03% (1.02)% 2.03% 58.01% $ 15.30 19.16% $30,299 2.06% (1.17)% 2.08% 30.38% $ 12.95 24.17% $15,611 2.15% (1.51)% 2.30% 32.06% $ 10.50 5.00% $ 4,052 1.80% (1.17)% 2.52% 13.24% $ 13.32 14.85% $14,261 1.95% 1.52% 1.95% 45.38% $ 12.07 18.74% $ 8,683 1.87% 1.77% 2.08% 39.65% $ 10.34 3.66% $ 1,816 2.29% 1.14% 2.65% 1.65% $ 9.86 2.31% $ 207 1.68% 3.47% 1.79% 127.13% $ 9.98 1.33% $ 274 1.71% 2.66% 1.84% 107.04% $ 10.20 0.55% $ 607 1.80% 2.15% 1.92% 98.35% $ 10.53 1.77% $ 836 1.82% 2.57% 1.92% 209.07% $ 10.74 8.05% $ 1,313 1.79% 3.81%(d) 1.89% 79.36%
See accompanying notes to the financial statements. 135 BB&T Funds FINANCIAL HIGHLIGHTS, CLASS C SHARES Selected data for a share of beneficial interest outstanding throughout the periods indicated.
INVESTMENT ACTIVITIES ----------------------------------- NET DIVIDENDS REALIZED/ ---------------------------------- NET ASSET NET UNREALIZED NET VALUE, INVESTMENT GAINS TOTAL FROM NET REALIZED BEGINNING INCOME (LOSSES) ON INVESTMENT INVESTMENT GAINS ON TOTAL OF PERIOD (LOSS) INVESTMENTS ACTIVITIES INCOME INVESTMENTS DIVIDENDS --------- ---------- ----------- ---------- ---------- ----------- --------- TOTAL RETURN BOND FUND Year Ended September 30, 2006 ............... $10.32 0.34(b) (0.12) 0.22 (0.36) (0.05) (0.41) Year Ended September 30, 2005 ............... $10.59 0.30(b) (0.18) 0.12 (0.36) (0.03) (0.39) Year Ended September 30, 2004 ............... $10.72 0.33 (0.08) 0.25 (0.38) -- (0.38) Year Ended September 30, 2003 ............... $10.33 0.39 0.41 0.80 (0.41) -- (0.41) Year Ended September 30, 2002 ............... $10.56 0.43(b)(d) --(d) 0.43 (0.49) (0.17) (0.66) PRIME MONEY MARKET FUND Year Ended September 30, 2006 ............... $ 1.00 0.03 --(c) 0.03 (0.03) -- (0.03) Year Ended September 30, 2005 ............... $ 1.00 0.01 --(c) 0.01 (0.01) -- (0.01) Year Ended September 30, 2004 ............... $ 1.00 --(c) --(c) --(c) --(c) -- --(c) Year Ended September 30, 2003 ............... $ 1.00 --(c) -- --(c) --(c) -- --(c) January 30, 2002 to September 30, 2002 (a) .. $ 1.00 0.01 -- 0.01 (0.01) -- (0.01) U.S. TREASURY MONEY MARKET FUND Year Ended September 30, 2006 ............... $ 1.00 0.03 -- 0.03 (0.03) -- (0.03) Year Ended September 30, 2005 ............... $ 1.00 0.01 -- 0.01 (0.01) -- (0.01) Year Ended September 30, 2004 ............... $ 1.00 --(c) -- --(c) --(c) -- --(c) Year Ended September 30, 2003 ............... $ 1.00 --(c) -- --(c) --(c) -- --(c) January 30, 2002 to September 30, 2002 (a) .. $ 1.00 --(c) -- --(c) --(c) -- --(c) NATIONAL TAX-FREE MONEY MARKET FUND August 1, 2006 to September 30, 2006 (a) .... $ 1.00 --(c) -- --(c) --(c) -- --(c) CAPITAL MANAGER CONSERVATIVE GROWTH FUND*** Year Ended September 30, 2006 ............... $ 9.73 0.23(b) 0.23 0.46 (0.26) -- (0.26) Year Ended September 30, 2005 ............... $ 9.27 0.16 0.45 0.61 (0.15) -- (0.15) Year Ended September 30, 2004 ............... $ 8.82 0.09(b) 0.44 0.53 (0.08) -- (0.08) Year Ended September 30, 2003 ............... $ 8.26 0.09 0.61 0.70 (0.10) (0.04) (0.14) Year Ended September 30, 2002 ............... $ 9.10 0.17 (0.69) (0.52) (0.14) (0.18) (0.32) CAPITAL MANAGER MODERATE GROWTH FUND*** Year Ended September 30, 2006 ............... $ 9.69 0.17(b) 0.42 0.59 (0.18) -- (0.18) Year Ended September 30, 2005 ............... $ 8.91 0.09(b) 0.77 0.86 (0.08) -- (0.08) Year Ended September 30, 2004 ............... $ 8.18 0.01(b) 0.73 0.74 (0.01) -- (0.01) Year Ended September 30, 2003 ............... $ 7.42 0.03 0.82 0.85 (0.08) (0.01) (0.09) Year Ended September 30, 2002 ............... $ 8.77 0.04 (0.97) (0.93) (0.05) (0.37) (0.42) CAPITAL MANAGER GROWTH FUND*** Year Ended September 30, 2006 ............... $ 9.52 0.11(b) 0.57 0.68 (0.15) -- (0.15) Year Ended September 30, 2005 ............... $ 8.56 0.04(b) 0.95 0.99 (0.03) -- (0.03) Year Ended September 30, 2004 ............... $ 7.71 (0.02)(b) 0.87 0.85 -- -- -- Year Ended September 30, 2003 ............... $ 6.80 (0.01)(b) 0.93 0.92 (0.01) -- (0.01) Year Ended September 30, 2002 ............... $ 8.41 (0.02) (1.19) (1.21) -- (0.40) (0.40) CAPITAL MANAGER EQUITY FUND*** Year Ended September 30, 2006 ............... $10.64 0.10(b) 0.78 0.88 (0.11) (0.19) (0.30) Year Ended September 30, 2005 ............... $ 9.33 (0.01)(b) 1.32 1.31 --(c) -- --(c) Year Ended September 30, 2004 ............... $ 8.28 (0.05)(b) 1.10 1.05 -- -- -- Year Ended September 30, 2003 ............... $ 7.26 (0.05)(b) 1.12 1.07 --(c) (0.05) (0.05) Year Ended September 30, 2002 ............... $ 8.92 (0.12) (1.54) (1.66) -- -- --
---------- * During the period certain fees were reduced. If such reductions had not occurred, the ratios would have been as indicated. ** Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. *** The expense ratios exclude the impact of fees/expenses paid by each underlying fund. (a) Period from commencement of operations. (b) Per share net investment income (loss) has been calculated using the average daily shares method. (c) Amount is less than $0.005. (d) Without the adoption of the change in amortization method as required by the November 2000 revised version of the AICPA Audit and Accounting Guide for Investment Companies, the amounts for net investment income, net realized/unrealized gains (losses) and the net investment income ratio would have been: $0.44, $(0.01) and 4.40%, respectively. (e) Not annualized for periods less than one year. (f) Annualized for periods less than one year. See accompanying notes to the financial statements. 136
RATIOS/SUPPLEMENTARY DATA --------------------------------------------------------------------------- RATIO OF NET INVESTMENT NET ASSET TOTAL NET ASSETS, RATIO OF NET INCOME RATIO OF VALUE, RETURN END OF EXPENSES TO (LOSS) TO EXPENSES TO END OF (EXCLUDES SALES PERIOD AVERAGE AVERAGE NET AVERAGE PORTFOLIO PERIOD CHARGE) (e) (000) NET ASSETS (f) ASSETS (f) NET ASSETS* (f) TURNOVER RATE** --------- --------------- ----------- -------------- ------------ --------------- --------------- $10.13 2.18% $ 116 1.68% 3.35% 1.79% 226.36% $10.32 1.21% $ 218 1.71% 2.88% 1.84% 173.74% $10.59 2.44% $ 257 1.82% 3.09% 1.94% 31.95% $10.72 7.86% $ 282 1.83% 3.61% 1.94% 43.98% $10.33 4.37% $ 318 1.89% 4.28%(d) 2.03% 69.15% $ 1.00 3.35% $ 393 1.48% 3.35% 1.59% -- $ 1.00 1.32% $ 326 1.49% 1.29% 1.64% -- $ 1.00 0.06% $ 453 1.20% 0.06% 1.70% -- $ 1.00 0.15% $ 555 1.30% 0.14% 1.69% -- $ 1.00 0.28% $ 314 1.60% 0.40% 1.65% -- $ 1.00 3.13% $ 55 1.45% 3.30% 1.59% -- $ 1.00 1.07% $ 38 1.50% 1.40% 1.66% -- $ 1.00 0.05% $ 5 1.02% 0.05% 1.71% -- $ 1.00 0.16% $ 8 1.12% 0.17% 1.70% -- $ 1.00 0.18% $ 10 1.60% 0.27% 1.64% -- $ 1.00 0.36% $ 1 1.39% 2.19% 1.78% -- $ 9.93 4.75% $ 127 1.08% 2.35% 1.45% 5.69% $ 9.73 6.58% $ 155 1.20% 1.63% 1.52% 52.50% $ 9.27 6.06% $ 180 1.44% 0.93% 1.64% 2.47% $ 8.82 8.50% $ 148 1.53% 1.05% 1.73% 33.03% $ 8.26 (5.98)% $ 62 1.52% 1.45% 1.72% 6.29% $10.10 6.19% $ 139 1.10% 1.71% 1.47% 7.33% $ 9.69 9.62% $ 122 1.25% 0.95% 1.56% 37.83% $ 8.91 9.08% $ 178 1.49% 0.17% 1.69% 0.17% $ 8.18 11.39% $ 182 1.51% 0.40% 1.71% 21.46% $ 7.42 (11.40)% $ 307 1.58% 0.53% 1.78% 14.56% $10.05 7.19% $ 61 1.11% 1.17% 1.46% 6.26% $ 9.52 11.61% $ 37 1.26% 0.43% 1.59% 26.22% $ 8.56 11.02% $ 63 1.50% (0.23)% 1.73% 0.19% $ 7.71 13.48% $ 52 1.54% (0.14)% 1.74% 17.80% $ 6.80 (15.43)% $ 12 1.61% (0.34)% 1.81% 8.38% $11.22 8.44% $ 10 1.11% 0.90% 1.48% 1.48% $10.64 14.15% $ 19 1.27% (0.09)% 1.63% 2.14% $ 9.33 12.68% $ 85 1.52% (0.54)% 1.81% 3.10% $ 8.28 14.78% $ 28 1.73% (0.66)% 1.92% 8.30% $ 7.26 (18.61)% $ 1 1.94% (1.31)% 1.94% 5.75%
See accompanying notes to the financial statements. 137 BB&T Funds FINANCIAL HIGHLIGHTS, INSTITUTIONAL SHARES Selected data for a share of beneficial interest outstanding throughout the periods indicated.
INVESTMENT ACTIVITIES ---------------------------------------- DIVIDENDS NET REALIZED/ ------------------------------------- UNREALIZED NET REALIZED GAINS (LOSSES) GAINS ON NET ASSET NET ON INVESTMENTS INVESTMENTS VALUE, INVESTMENT AND FOREIGN TOTAL FROM NET AND FOREIGN BEGINNING INCOME CURRENCY INVESTMENT INVESTMENT CURRENCY TOTAL OF PERIOD (LOSS) TRANSACTIONS ACTIVITIES INCOME TRANSACTIONS DIVIDENDS --------- ---------- -------------- ---------- ---------- ------------ --------- LARGE CAP FUND Year Ended September 30, 2006 ... $19.51 0.35(b) 2.31 2.66 (0.35) (1.44) (1.79) Year Ended September 30, 2005 ... $17.29 0.34 2.22 2.56 (0.34) -- (0.34) Year Ended September 30, 2004 ... $14.90 0.26 2.39 2.65 (0.26) -- (0.26) Year Ended September 30, 2003 ... $12.87 0.27 2.03 2.30 (0.27) -- (0.27) Year Ended September 30, 2002 ... $16.82 0.22 (3.47) (3.25) (0.22) (0.48) (0.70) LARGE CAP GROWTH FUND Year Ended September 30, 2006 ... $ 9.12 0.04(b) (0.05) (0.01) (0.03) -- (0.03) Year Ended September 30, 2005 ... $ 8.35 0.06(b) 0.77 0.83 (0.06) -- (0.06) Year Ended September 30, 2004 ... $ 7.79 (0.01) 0.57 0.56 -- -- -- Year Ended September 30, 2003 ... $ 6.67 (0.01)(b) 1.13 1.12 -- -- -- Year Ended September 30, 2002 ... $ 8.23 (0.03) (1.53) (1.56) -- -- -- MID CAP VALUE FUND Year Ended September 30, 2006 ... $13.38 0.06(b) 1.62 1.68 (0.07) (1.45) (1.52) Year Ended September 30, 2005 ... $15.41 0.17(b) 3.05 3.22 (0.16) (5.09) (5.25) Year Ended September 30, 2004 ... $12.98 0.22(b) 2.42 2.64 (0.21) -- (0.21) Year Ended September 30, 2003 ... $10.93 0.19(b) 2.04 2.23 (0.18) -- (0.18) Year Ended September 30, 2002 ... $13.12 0.20 (1.04) (0.84) (0.20) (1.15) (1.35) MID CAP GROWTH FUND Year Ended September 30, 2006 ... $14.51 0.02(b) 0.02(f) 0.04 (0.04) (1.42) (1.46) Year Ended September 30, 2005 ... $11.40 (0.06)(b) 3.31 3.25 -- (0.14) (0.14) Year Ended September 30, 2004 ... $10.22 (0.08) 1.26 1.18 -- -- -- Year Ended September 30, 2003 ... $ 8.36 (0.06) 1.92 1.86 -- -- -- Year Ended September 30, 2002 ... $10.10 (0.06) (1.05) (1.11) -- (0.63) (0.63) SMALL CAP FUND Year Ended September 30, 2006 ... $16.44 0.05(b) 1.05 1.10 (0.05) (2.30) (2.35) Year Ended September 30, 2005 ... $14.23 0.16(b) 2.62 2.78 (0.15) (0.42) (0.57) Year Ended September 30, 2004 ... $11.44 0.02(b) 2.91 2.93 (0.02) (0.12) (0.14) May 19, 2003 to September 30, 2003 (a) ..................... $10.00 (0.01)(b) 1.45 1.44 --(c) -- --(c) INTERNATIONAL EQUITY FUND Year Ended September 30, 2006 ... $ 9.72 0.18(b) 1.50 1.68 (0.17) -- (0.17) Year Ended September 30, 2005 ... $ 8.24 0.12(b) 1.49 1.61 (0.13) -- (0.13) Year Ended September 30, 2004 ... $ 6.98 0.10(b) 1.26 1.36 (0.10) -- (0.10) Year Ended September 30, 2003 ... $ 6.41 0.05(b) 0.57 0.62 (0.05) -- (0.05) Year Ended September 30, 2002 ... $ 7.53 -- (1.12) (1.12) --(c) -- --(c) SPECIAL OPPORTUNITIES EQUITY FUND Year Ended September 30, 2006 ... $15.65 --(c) 1.71 1.71 -- (0.79) (0.79) Year Ended September 30, 2005 ... $13.12 (0.03) 2.68 2.65 -- (0.12) (0.12) Year Ended September 30, 2004 ... $10.53 (0.05) 2.72 2.67 -- (0.08) (0.08) June 2, 2003 to September 30, 2003 (a) ..................... $10.00 --(c) 0.53 0.53 --(c) -- --(c) EQUITY INCOME FUND Year Ended September 30, 2006 ... $12.10 0.32 1.57 1.89 (0.35) (0.27) (0.62) Year Ended September 30, 2005 ... $10.35 0.28 1.76 2.04 (0.27) (0.02) (0.29) June 30, 2004 to September 30, 2004 (a) ..................... $10.00 0.05(b) 0.34 0.39 (0.04) -- (0.04)
---------- * During the period certain fees were reduced. If such reductions had not occurred, the ratios would have been as indicated. ** Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. (a) Period from commencement of operations. (b) Per share net investment income (loss) has been calculated using the average daily shares method. (c) Amount is less than $0.005. (d) Not annualized for periods less than one year. (e) Annualized for periods less than one year. (f) The amount shown for a share outstanding throughout the period does not accord with the change in aggregate gains and losses in the portfolio of securities during the period because of the timing of sales and purchases of Fund shares in relation to fluctuating market values during the period. See accompanying notes to the financial statements. 138
RATIOS/SUPPLEMENTARY DATA ------------------------------------------------------------------------------- RATIO OF NET INVESTMENT NET ASSET NET ASSETS, RATIO OF NET INCOME RATIO OF VALUE, END OF EXPENSES TO (LOSS) TO EXPENSES TO END OF TOTAL PERIOD AVERAGE AVERAGE NET AVERAGE PORTFOLIO PERIOD RETURN (d) (000) NET ASSETS (e) ASSETS (e) NET ASSETS* (e) TURNOVER RATE** --------- ---------- ----------- -------------- ------------ --------------- --------------- $20.38 14.59% $660,667 0.89% 1.80% 0.93% 34.83% $19.51 14.92% $605,493 0.89% 1.82% 0.99% 19.50% $17.29 17.86% $620,186 0.95% 1.58% 1.06% 16.40% $14.90 17.98% $475,289 0.92% 1.90% 1.06% 18.89% $12.87 (20.33)% $319,971 0.98% 1.37% 1.12% 23.02% $ 9.08 (0.10)% $207,384 0.88% 0.40% 0.93% 186.19% $ 9.12 9.92% $336,103 0.89% 0.63% 0.99% 62.78% $ 8.35 7.19% $346,061 0.97% (0.08)% 1.08% 127.47% $ 7.79 16.79% $272,961 0.93% (0.11)% 1.07% 91.73% $ 6.67 (18.96)% $160,933 1.02% (0.30)% 1.16% 100.46% $13.54 13.52% $209,685 0.89% 0.48% 0.93% 53.92% $13.38 21.14% $172,295 0.89% 1.02% 0.99% 126.99% $15.41 20.44% $182,791 0.98% 1.47% 1.10% 19.17% $12.98 20.60% $142,280 0.95% 1.57% 1.10% 18.28% $10.93 (8.01)% $ 85,013 0.90% 1.54% 1.13% 18.20% $13.09 (0.15)% $132,677 0.89% 0.17% 0.94% 140.90% $14.51 28.73% $126,785 0.91% (0.46)% 1.01% 92.74% $11.40 11.55% $118,012 1.00% (0.65)% 1.11% 138.61% $10.22 22.25% $100,226 0.95% (0.72)% 1.12% 125.97% $ 8.36 (12.26)% $ 69,975 0.89% (0.62)% 1.17% 117.06% $15.19 7.23% $110,722 1.02% 0.30% 1.26% 43.25% $16.44 19.99% $ 61,046 1.05% 1.07% 1.28% 8.39% $14.23 25.78% $ 66,802 1.26% 0.15% 1.42% 11.25% $11.44 14.43% $ 43,462 1.69% (0.17)% 1.69% 48.84% $11.23 17.38% $253,690 1.15% 1.68% 1.25% 36.22% $ 9.72 19.61% $229,406 1.20% 1.34% 1.33% 44.96% $ 8.24 19.48% $233,275 1.32% 1.30% 1.42% 50.68% $ 6.98 9.72% $187,315 1.40% 0.78% 1.41% 199.78% $ 6.41 (14.85)% $123,330 1.43% 0.03% 1.43% 95.86% $16.57 11.50% $ 67,232 1.03% (0.02)% 1.03% 58.01% $15.65 20.29% $ 60,823 1.06% (0.18)% 1.08% 30.38% $13.12 25.44% $ 39,816 1.12% (0.49)% 1.32% 32.06% $10.53 5.31% $ 26,360 0.82% (0.11)% 1.64% 13.24% $13.37 16.04% $ 35,205 0.95% 2.55% 0.95% 45.38% $12.10 19.88% $ 30,588 0.90% 2.62% 1.12% 39.65% $10.35 3.94% $ 21,128 1.29% 1.91% 1.63% 1.65%
See accompanying notes to the financial statements. 139 BB&T Funds FINANCIAL HIGHLIGHTS, INSTITUTIONAL SHARES Selected data for a share of beneficial interest outstanding throughout the periods indicated.
INVESTMENT ACTIVITIES -------------------------------------- DIVIDENDS NET ASSET NET NET REALIZED/ ----------------------------------- VALUE, INVESTMENT UNREALIZED TOTAL FROM NET NET REALIZED BEGINNING INCOME GAINS (LOSSES) INVESTMENT INVESTMENT GAINS ON TOTAL OF PERIOD (LOSS) ON INVESTMENTS ACTIVITIES INCOME INVESTMENTS DIVIDENDS --------- ---------- -------------- ---------- ---------- ------------ --------- SHORT U.S. GOVERNMENT FUND Year Ended September 30, 2006 ........ $ 9.51 0.30(b) 0.01(i) 0.31 (0.33) -- (0.33) Year Ended September 30, 2005 ........ $ 9.71 0.25 (0.13) 0.12 (0.32) -- (0.32) Year Ended September 30, 2004 ........ $ 9.90 0.20 (0.11) 0.09 (0.28) -- (0.28) Year Ended September 30, 2003 ........ $10.09 0.29 (0.11) 0.18 (0.37) -- (0.37) Year Ended September 30, 2002 ........ $10.05 0.45(c) 0.06(c) 0.51 (0.47) -- (0.47) INTERMEDIATE U.S. GOVERNMENT FUND Year Ended September 30, 2006 ........ $10.03 0.44(b) (0.13) 0.31 (0.44) -- (0.44) Year Ended September 30, 2005 ........ $10.25 0.37(b) (0.13) 0.24 (0.41) (0.05) (0.46) Year Ended September 30, 2004 ........ $10.58 0.34 (0.18) 0.16 (0.36) (0.13) (0.49) Year Ended September 30, 2003 ........ $10.78 0.37 (0.07) 0.30 (0.41) (0.09) (0.50) Year Ended September 30, 2002 ........ $10.39 0.49(d) 0.42(d) 0.91 (0.52) -- (0.52) TOTAL RETURN BOND FUND Year Ended September 30, 2006 ........ $10.32 0.45(b) (0.13) 0.32 (0.46) (0.05) (0.51) Year Ended September 30, 2005 ........ $10.59 0.39(b) (0.16) 0.23 (0.47) (0.03) (0.50) Year Ended September 30, 2004 ........ $10.72 0.44 (0.08) 0.36 (0.49) -- (0.49) Year Ended September 30, 2003 ........ $10.33 0.49 0.41 0.90 (0.51) -- (0.51) Year Ended September 30, 2002 ........ $10.56 0.55(e) (0.04)(e) 0.51 (0.57) (0.17) (0.74) KENTUCKY INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $10.04 0.33 0.07 0.40 (0.33) -- (0.33) Year Ended September 30, 2005 ........ $10.20 0.29(b) (0.16) 0.13 (0.29) -- (0.29) Year Ended September 30, 2004 ........ $10.22 0.28(b) (0.02) 0.26 (0.28) -- (0.28) February 24, 2003 to September 30, 2003 (a) .......................... $10.00 0.16(b) 0.20 0.36 (0.14) -- (0.14) MARYLAND INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $10.04 0.31 0.09 0.40 (0.31) -- (0.31) Year Ended September 30, 2005 ........ $10.16 0.28(b) (0.12) 0.16 (0.28) -- (0.28) Year Ended September 30, 2004 ........ $10.16 0.25 --(f) 0.25 (0.25) -- (0.25) February 24, 2003 to September 30, 2003 (a) .......................... $10.00 0.13 0.16 0.29 (0.13) -- (0.13) NORTH CAROLINA INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $10.46 0.39 --(f) 0.39 (0.38) (0.09) (0.47) Year Ended September 30, 2005 ........ $10.66 0.38 (0.19) 0.19 (0.37) (0.02) (0.39) Year Ended September 30, 2004 ........ $10.81 0.35 (0.12) 0.23 (0.34) (0.04) (0.38) Year Ended September 30, 2003 ........ $10.86 0.35 (0.01) 0.34 (0.35) (0.04) (0.39) Year Ended September 30, 2002 ........ $10.54 0.38 0.39 0.77 (0.37) (0.08) (0.45) SOUTH CAROLINA INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $10.47 0.37 --(f) 0.37 (0.37) (0.18) (0.55) Year Ended September 30, 2005 ........ $10.74 0.36 (0.19) 0.17 (0.36) (0.08) (0.44) Year Ended September 30, 2004 ........ $10.81 0.35 (0.06) 0.29 (0.35) (0.01) (0.36) Year Ended September 30, 2003 ........ $10.81 0.35 --(f) 0.35 (0.35) -- (0.35) Year Ended September 30, 2002 ........ $10.39 0.39 0.41 0.80 (0.38) -- (0.38) VIRGINIA INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $11.49 0.42 (0.04) 0.38 (0.42) (0.06) (0.48) Year Ended September 30, 2005 ........ $11.74 0.42 (0.23) 0.19 (0.42) (0.02) (0.44) Year Ended September 30, 2004 ........ $11.95 0.40 (0.13) 0.27 (0.40) (0.08) (0.48) Year Ended September 30, 2003 ........ $11.99 0.39 --(f) 0.39 (0.39) (0.04) (0.43) Year Ended September 30, 2002 ........ $11.57 0.43 0.41 0.84 (0.42) -- (0.42)
---------- * During the period certain fees were reduced. If such reductions had not occurred, the ratios would have been as indicated. ** Portfolio turnover rate is calculated on the basis of the fund as a whole without distinguishing between classes of shares issued. (a) Period from commencement of operations. (b) Per share net investment income (loss) has been calculated using the average daily shares method. (c) Without the adoption of the change in amortization method as required by the November 2000 revised version of the AICPA Audit and Accounting Guide for Investment Companies, the amounts for net investment income, net realized/unrealized gains (losses), and the net investment income ratio would have been: $0.49, $0.02, and 4.65%, respectively. (d) Without the adoption of the change in amortization method as required by the November 2000 revised version of the AICPA Audit and Accounting Guide for Investment Companies, the amounts for net investment income, net realized/unrealized gains (losses), and the net investment income ratio would have been: $0.51, $0.40, and 4.99%, respectively. (e) Without the adoption of the change in amortization method as required by the November 2000 revised version of the AICPA Audit and Accounting Guide for Investment Companies, the amounts for net investment income, net realized/unrealized gains (losses), and the net investment income ratio would have been: $0.56, $(0.05), and 5.54%, respectively. (f) Amount is less than $0.005. (g) Not annualized for periods less than one year. (h) Annualized for periods less than one year. (i) The amount shown for a share outstanding throughtout the period does not accord with the change in aggregate gains and losses in the portfolio of securities during the period because of the timing of sales and purchases of Fund shares in relation to fluctuating market values during the period. See accompanying notes to the financial statements. 140
RATIOS/SUPPLEMENTARY DATA --------------------------------------------------------------------------- RATIO OF NET INVESTMENT NET ASSET NET ASSETS, RATIO OF NET INCOME RATIO OF VALUE, END OF EXPENSES TO (LOSS) TO EXPENSES TO END OF TOTAL PERIOD AVERAGE AVERAGE NET AVERAGE PORTFOLIO PERIOD RETURN (g) (000) NET ASSETS (h) ASSETS (h) NET ASSETS* (h) TURNOVER RATE** --------- ---------- ----------- -------------- ------------ --------------- --------------- $ 9.49 3.37% $ 66,371 0.64% 3.21% 0.79% 98.08% $ 9.51 1.21% $155,786 0.66% 2.64% 0.84% 33.67% $ 9.71 0.96% $195,920 0.74% 2.10% 0.91% 62.59% $ 9.90 1.78% $199,980 0.76% 2.81% 0.91% 93.86% $10.09 5.27% $181,797 0.78% 4.30%(c) 0.93% 73.93% $ 9.90 3.23% $252,402 0.67% 4.45% 0.79% 127.13% $10.03 2.34% $539,038 0.70% 3.67% 0.83% 107.04% $10.25 1.56% $534,682 0.80% 3.15% 0.92% 98.35% $10.58 2.88% $447,665 0.82% 3.43% 0.92% 209.07% $10.78 9.11% $340,231 0.85% 4.81%(d) 0.95% 79.36% $10.13 3.30% $367,353 0.67% 4.42% 0.79% 226.36% $10.32 2.23% $461,749 0.71% 3.87% 0.83% 173.74% $10.59 3.47% $272,749 0.82% 4.09% 0.94% 31.95% $10.72 8.95% $215,000 0.83% 4.61% 0.94% 43.98% $10.33 5.19% $142,509 0.83% 5.42%(e) 0.98% 69.15% $10.11 4.04% $ 11,175 0.66% 3.26% 0.87% 64.55% $10.04 1.28% $ 15,569 0.68% 2.87% 0.97% 37.50% $10.20 2.61% $ 13,441 0.63% 2.78% 1.07% 24.78% $10.22 3.63% $ 14,759 0.53% 2.56% 1.23% 42.87% $10.13 4.10% $ 8,003 0.60% 3.13% 0.90% 219.80% $10.04 1.60% $ 10,084 0.58% 2.78% 1.03% 44.67% $10.16 2.52% $ 9,108 0.60% 2.47% 1.23% 55.18% $10.16 2.93% $ 4,897 0.61% 2.27% 1.65% 40.16% $10.38 3.84% $ 87,854 0.65% 3.70% 0.80% 94.95% $10.46 1.80% $ 93,418 0.68% 3.51% 0.86% 60.84% $10.66 2.15% $ 96,738 0.75% 3.18% 0.92% 67.80% $10.81 3.19% $ 95,613 0.77% 3.26% 0.92% 44.56% $10.86 7.62% $ 93,856 0.78% 3.57% 0.93% 20.39% $10.29 3.66% $ 15,426 0.69% 3.58% 0.86% 80.24% $10.47 1.62% $ 16,468 0.71% 3.44% 0.93% 56.03% $10.74 2.77% $ 17,488 0.75% 3.26% 0.94% 32.63% $10.81 3.35% $ 18,297 0.72% 3.31% 0.93% 32.04% $10.81 7.94% $ 17,960 0.67% 3.70% 0.97% 21.81% $11.39 3.49% $ 65,652 0.65% 3.80% 0.80% 76.53% $11.49 1.66% $ 67,579 0.68% 3.60% 0.86% 48.04% $11.74 2.29% $ 68,786 0.76% 3.37% 0.93% 45.07% $11.95 3.31% $ 77,577 0.78% 3.28% 0.92% 34.17% $11.99 7.48% $ 81,683 0.78% 3.66% 0.93% 13.12%
See accompanying notes to the financial statements. 141 BB&T Funds FINANCIAL HIGHLIGHTS, INSTITUTIONAL SHARES Selected data for a share of beneficial interest outstanding throughout the periods indicated.
INVESTMENT ACTIVITIES ----------------------------------- NET REALIZED/ DIVIDENDS NET ASSET NET UNREALIZED ----------------------------------- VALUE, INVESTMENT GAINS TOTAL FROM NET NET REALIZED BEGINNING INCOME (LOSSES) ON INVESTMENT INVESTMENT GAINS ON TOTAL OF PERIOD (LOSS) INVESTMENTS ACTIVITIES INCOME INVESTMENTS DIVIDENDS --------- ---------- ----------- ---------- ---------- ------------ --------- WEST VIRGINIA INTERMEDIATE TAX-FREE FUND Year Ended September 30, 2006 ........ $ 9.86 0.40 (0.01) 0.39 (0.39) (0.06) (0.45) Year Ended September 30, 2005 ........ $10.09 0.37(b) (0.15) 0.22 (0.37) (0.08) (0.45) Year Ended September 30, 2004 ........ $10.21 0.36 (0.09) 0.27 (0.35) (0.04) (0.39) Year Ended September 30, 2003 ........ $10.35 0.35 0.02 0.37 (0.35) (0.16) (0.51) Year Ended September 30, 2002 ........ $10.02 0.41 0.34 0.75 (0.40) (0.02) (0.42) PRIME MONEY MARKET FUND Year Ended September 30, 2006 ........ $ 1.00 0.04 --(c) 0.04 (0.04) -- (0.04) Year Ended September 30, 2005 ........ $ 1.00 0.02 --(c) 0.02 (0.02) -- (0.02) Year Ended September 30, 2004 ........ $ 1.00 0.01 -- 0.01 (0.01) -- (0.01) Year Ended September 30, 2003 ........ $ 1.00 0.01 -- 0.01 (0.01) -- (0.01) Year Ended September 30, 2002 ........ $ 1.00 0.02 --(c) 0.02 (0.02) -- (0.02) U.S. TREASURY MONEY MARKET FUND Year Ended September 30, 2006 ........ $ 1.00 0.04 -- 0.04 (0.04) -- (0.04) Year Ended September 30, 2005 ........ $ 1.00 0.02 -- 0.02 (0.02) -- (0.02) Year Ended September 30, 2004 ........ $ 1.00 0.01 -- 0.01 (0.01) -- (0.01) Year Ended September 30, 2003 ........ $ 1.00 0.01 -- 0.01 (0.01) -- (0.01) Year Ended September 30, 2002 ........ $ 1.00 0.02 -- 0.02 (0.02) -- (0.02) NATIONAL TAX-FREE MONEY MARKET FUND August 1, 2006 to September 30, 2006 (a) .......................... $ 1.00 0.01 -- 0.01 (0.01) -- (0.01) CAPITAL MANAGER CONSERVATIVE GROWTH FUND*** Year Ended September 30, 2006 ........ $ 9.83 0.33(b) 0.24 0.57 (0.36) -- (0.36) Year Ended September 30, 2005 ........ $ 9.36 0.26 0.46 0.72 (0.25) -- (0.25) Year Ended September 30, 2004 ........ $ 8.90 0.18(b) 0.46 0.64 (0.18) -- (0.18) Year Ended September 30, 2003 ........ $ 8.33 0.18 0.61 0.79 (0.18) (0.04) (0.22) Year Ended September 30, 2002 ........ $ 9.17 0.22 (0.66) (0.44) (0.22) (0.18) (0.40) CAPITAL MANAGER MODERATE GROWTH FUND*** Year Ended September 30, 2006 ........ $ 9.83 0.27(b) 0.43 0.70 (0.28) -- (0.28) Year Ended September 30, 2005 ........ $ 9.04 0.19(b) 0.77 0.96 (0.17) -- (0.17) Year Ended September 30, 2004 ........ $ 8.30 0.10(b) 0.74 0.84 (0.10) -- (0.10) Year Ended September 30, 2003 ........ $ 7.47 0.10 0.82 0.92 (0.08) (0.01) (0.09) Year Ended September 30, 2002 ........ $ 8.82 0.14 (0.99) (0.85) (0.13) (0.37) (0.50) CAPITAL MANAGER GROWTH FUND*** Year Ended September 30, 2006 ........ $ 9.69 0.22(b) 0.57 0.79 (0.24) -- (0.24) Year Ended September 30, 2005 ........ $ 8.70 0.15(b) 0.97 1.12 (0.13) -- (0.13) Year Ended September 30, 2004 ........ $ 7.81 0.07(b) 0.88 0.95 (0.06) -- (0.06) Year Ended September 30, 2003 ........ $ 6.87 0.06(b) 0.93 0.99 (0.05) -- (0.05) Year Ended September 30, 2002 ........ $ 8.46 0.05 (1.20) (1.15) (0.04) (0.40) (0.44) CAPITAL MANAGER EQUITY FUND*** Year Ended September 30, 2006 ........ $11.02 0.20(b) 0.84 1.04 (0.22) (0.19) (0.41) Year Ended September 30, 2005 ........ $ 9.64 0.12(b) 1.34 1.46 (0.08) -- (0.08) Year Ended September 30, 2004 ........ $ 8.49 0.04(b) 1.14 1.18 (0.03) -- (0.03) Year Ended September 30, 2003 ........ $ 7.39 0.02(b) 1.15 1.17 (0.02) (0.05) (0.07) Year Ended September 30, 2002 ........ $ 8.97 (0.01) (1.57) (1.58) --(c) -- --(c)
---------- * During the period certain fees were reduced. If such reductions had not occurred, the ratios would have been as indicated. ** Portfolio turnover rate is calculated on the basis of the Fund as a whole without distinguishing between classes of shares issued. *** The expense ratios exclude the impact of fees/expenses paid by each underlying fund. (a) Period from commencement of operations. (b) Per share net investment income (loss) has been calculated using the average daily shares method. (c) Amount is less than $0.005. (d) Not annualized for periods less than one year. (e) Annualized for periods less than one year. See accompanying notes to the financial statements. 142
RATIOS/SUPPLEMENTARY DATA ----------------------------------------------------------------------- RATIO OF NET INVESTMENT NET ASSET NET ASSETS, RATIO OF NET INCOME RATIO OF VALUE, END OF EXPENSES TO (LOSS) TO EXPENSES TO END OF TOTAL PERIOD AVERAGE AVERAGE NET AVERAGE NET PORTFOLIO PERIOD RETURN (d) (000) NET ASSETS (e) ASSETS (e) ASSETS* (e) TURNOVER RATE** --------- ---------- ----------- -------------- ------------ ----------- --------------- $ 9.80 4.10% $ 50,916 0.65% 4.03% 0.65% 50.14% $ 9.86 2.22% $ 55,662 0.68% 3.74% 0.72% 32.10% $10.09 2.76% $ 63,518 0.76% 3.49% 0.78% 16.24% $10.21 3.77% $ 79,361 0.73% 3.48% 0.76% 25.59% $10.35 7.78% $ 78,170 0.72% 4.04% 0.82% 61.44% $ 1.00 4.38% $731,616 0.48% 4.34% 0.59% -- $ 1.00 2.34% $510,941 0.49% 2.31% 0.63% -- $ 1.00 0.70% $529,849 0.57% 0.69% 0.70% -- $ 1.00 0.87% $667,534 0.60% 0.86% 0.69% -- $ 1.00 1.61% $532,465 0.64% 1.54% 0.71% -- $ 1.00 4.15% $481,484 0.46% 4.04% 0.59% -- $ 1.00 2.11% $592,736 0.48% 2.02% 0.64% -- $ 1.00 0.54% $926,162 0.57% 0.53% 0.71% -- $ 1.00 0.67% $838,022 0.61% 0.67% 0.70% -- $ 1.00 1.40% $915,013 0.65% 1.35% 0.72% -- $ 1.00 0.53% $ 95,757 0.40% 3.14% 0.79% -- $10.04 5.87% $ 47,046 0.08% 3.35% 0.45% 5.69% $ 9.83 7.70% $ 71,796 0.20% 2.64% 0.51% 52.50% $ 9.36 7.16% $ 67,925 0.44% 1.93% 0.64% 2.47% $ 8.90 9.55% $ 31,748 0.53% 2.09% 0.73% 33.03% $ 8.33 (5.05)% $ 26,347 0.54% 2.47% 0.74% 6.29% $10.25 7.33% $ 25,699 0.10% 2.65% 0.47% 7.33% $ 9.83 10.69% $ 43,353 0.23% 2.01% 0.56% 37.83% $ 9.04 10.12% $ 33,971 0.49% 1.17% 0.69% 0.17% $ 8.30 12.40% $ 26,168 0.50% 1.35% 0.70% 21.46% $ 7.47 (10.55)% $ 20,977 0.58% 1.48% 0.78% 14.56% $10.24 8.22% $ 20,243 0.11% 2.24% 0.48% 6.26% $ 9.69 12.89% $ 37,546 0.23% 1.60% 0.57% 26.22% $ 8.70 12.10% $ 28,660 0.50% 0.77% 0.73% 0.19% $ 7.81 14.49% $ 21,484 0.56% 0.82% 0.76% 17.80% $ 6.87 (14.61)% $ 17,981 0.62% 0.63% 0.82% 8.38% $11.65 9.66% $ 14,837 0.11% 1.75% 0.47% 1.48% $11.02 15.23% $ 25,802 0.22% 1.10% 0.58% 2.14% $ 9.64 13.87% $ 21,051 0.52% 0.42% 0.81% 3.10% $ 8.49 15.82% $ 16,077 0.70% 0.29% 0.90% 8.30% $ 7.39 (17.61)% $ 11,352 0.83% (0.15)% 1.03% 5.75%
See accompanying notes to the financial statements. 143 BB&T Funds NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2006 1. ORGANIZATION: The BB&T Funds commenced operations on October 5, 1992 and are registered under the Investment Company Act of 1940, as amended ("the 1940 Act"), as an open-end investment company established as a Massachusetts business trust. The BB&T Funds offer shares of the Large Cap Fund (formerly known as the Large Company Value Fund), the Large Cap Growth Fund (formerly known as the Large Company Growth Fund), the Mid Cap Value Fund, the Mid Cap Growth Fund, the Small Cap Fund (formerly known as the Small Company Value Fund), the International Equity Fund, the Special Opportunities Equity Fund, the Equity Income Fund, the Short U.S. Government Fund, the Intermediate U.S. Government Fund, the Total Return Bond Fund, the Kentucky Intermediate Tax-Free Fund, the Maryland Intermediate Tax-Free Fund, the North Carolina Intermediate Tax-Free Fund, the South Carolina Intermediate Tax-Free Fund, the Virginia Intermediate Tax-Free Fund, the West Virginia Intermediate Tax-Free Fund, the Prime Money Market Fund, the U.S. Treasury Money Market Fund, the National Tax-Free Money Market Fund, the Capital Manager Conservative Growth Fund, the Capital Manager Moderate Growth Fund, the Capital Manager Growth Fund and the Capital Manager Equity Fund (referred to individually as a "Fund" and collectively as the "Funds"). The Kentucky Intermediate Tax-Free Fund, the Maryland Intermediate Tax-Free Fund, the North Carolina Intermediate Tax-Free Fund, the South Carolina Intermediate Tax-Free Fund, the Virginia Intermediate Tax-Free Fund and the West Virginia Intermediate Tax-Free Fund are referred to as the "Tax-Free Funds". The Prime Money Market Fund, the U.S. Treasury Money Market Fund and the National Tax-Free Money Market Fund are referred to as the "Money Market Funds". The Capital Manager Conservative Growth Fund, the Capital Manager Moderate Growth Fund, the Capital Manager Growth Fund and the Capital Manager Equity Fund are referred to as the "Fund of Funds". The Funds, excluding the Money Market Funds and the Fund of Funds, are referred to as the "Variable Net Asset Value Funds". The Fund of Funds invest in underlying mutual funds as opposed to individual securities. All Funds except the Tax-Free Funds are diversified funds under the 1940 Act. The Tax-Free Funds are non-diversified funds, which means they may concentrate their investments in the securities of a limited number of issuers. The BB&T Funds are authorized to issue an unlimited amount of shares without par value. The Funds offer up to four classes of shares: Class A Shares, Class B Shares, Class C Shares and Institutional Shares. As of September 30, 2006, Class B Shares and Class C Shares of the Short U.S. Government Fund and the Tax-Free Funds were not yet being offered. Class A Shares of the Variable Net Asset Value Funds and Fund of Funds, excluding the Short U.S. Government Fund, have a maximum sales charge of 5.75% as a percentage of original purchase price. The Class A Shares of the Tax-Free Funds and the Short U.S. Government Fund have a maximum sales charge of 3.00% as a percentage of the original purchase price. Certain purchases of Class A Shares will not be subject to a front-end sales charge, but will be subject to a contingent deferred sales charge ("CDSC") of 1.00% of the purchase price if redeemed less than one year after purchase. The Class B Shares of the Funds are offered without any front-end sales charge but will be subject to a CDSC ranging from a maximum of 5.00% if redeemed less than one year after purchase to 0.00% if redeemed more than six years after purchase. The Class C Shares of the Funds are offered without any front-end sales charge but will be subject to a maximum CDSC of 1.00% if redeemed less than one year after purchase. Each class of shares has identical rights and privileges except with respect to the fees paid under the distribution plan, voting rights on matters affecting a single class of shares and the exchange privilege of each class of shares. During the fiscal year ended September 30, 2006, the Mid Cap Growth Fund, the Small Cap Fund, the Total Return Bond Fund, the Capital Manager Conservative Growth Fund, the Capital Manager Moderate Growth Fund, the Capital Manager Growth Fund and the Capital Manager Equity Fund delivered securities of the Funds in exchange for the redemption of Institutional Shares (redemption-in-kind). Cash and securities were transferred for redemptions at a fair value of $5,000,000; $4,000,000; $192,588,337; $24,907,733; $24,751,203; $24,289,586 and $17,939,344 for the Mid Cap Growth Fund, the Small Cap Fund, the Total Return Bond Fund, the Capital Manager Conservative Growth Fund, the Capital Manager Moderate Growth Fund, the Capital Manager Growth Fund and the Capital Manager Equity Fund, respectively. For financial reporting purposes, the Mid Cap Growth Fund, the Small Cap Fund, the Total Return Bond Fund, the Capital Manager Conservative Growth Fund, the Capital Manager Moderate Growth Fund, the Capital Manager Growth Fund and the Capital Manager Equity Fund recorded net realized gains and losses of $1,074,298; $845,172; $584,613; $842,687, ($72,192); ($905,097) and $406,868, respectively, in connection with the transactions. However, for tax purposes, the transactions received tax-free treatment. These permanent book to tax differences were reclassified within the components of net assets in accordance with the Funds' accounting policies more fully disclosed in note 2. Continued 144 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 Under the Funds' organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds may enter into contracts with their vendors and others that provide for general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds. However, based on experience, the Funds expect that risk of loss to be remote. 2. SIGNIFICANT ACCOUNTING POLICIES: The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The policies are in conformity with United States generally accepted accounting principles ("GAAP"). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the reporting period. Actual results could differ from those estimates. NEW ACCOUNTING STANDARDS: In September 2006, the Financial Accounting Standards Board (FASB) issued Statement on Financial Accounting Standards (SFAS) No. 157, "Fair Value Measurements." This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of September 30, 2006, the Funds do not believe the adoption of SFAS No. 157 will impact the financial statement amounts, however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period. On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund's tax return to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the year of determination. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. Management has not completed their analysis on whether the adoption of FIN 48 will have an impact to the financial statements. SECURITIES VALUATION: Investments of the Money Market Funds are valued in accordance with Rule 2a-7 of the 1940 Act, at amortized cost, which approximates fair value. Under the amortized cost method, discount or premium is amortized on a constant basis to the maturity of the security. Investments in common stocks, commercial paper, corporate bonds, municipal securities, U.S. Government securities and U.S. Government agency securities of the Variable Net Asset Value Funds, the principal market for which is a securities exchange or an over-the-counter market, are valued at their latest available sale price (except for those securities that are traded on NASDAQ, which will be valued at the NASDAQ official closing price) or in the absence of such a price, by reference to the latest available bid price in the principal market in which such securities are normally traded. The Variable Net Asset Value Funds may also use an independent pricing service approved by the Board of Trustees to value certain securities. Such prices reflect fair values which may be established through the use of electronic and matrix techniques. Short-term obligations that mature in 60 days or less are valued at either amortized cost or original cost plus interest, which approximates current value. Investments in open-end investment companies, including the Fund of Funds, are valued at their respective net asset values as reported by such companies. Investments in closed-end investment companies are valued at their fair values based upon the latest available bid prices in the principal market in which such securities are normally traded. The differences between cost and fair values of investments are Continued 145 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 reflected as either unrealized appreciation or depreciation. Securities for which market quotations are not readily available or deemed unreliable (e.g., an approved pricing service does not provide a price, a furnished price is in error, certain stale prices, or an event occurs that materially effects the furnished price) will be valued at fair value using methods determined in good faith by the Pricing Committee under the supervision of the Board of Trustees. Fair value pricing may be used if events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the International Equity Fund's net asset value is calculated, such securities may be valued at fair value in accordance with procedures adopted by the Board of Trustees. Management identifies possible fluctuation in international securities by monitoring the increase or decrease in the value of a designated benchmark index. In the event of an increase or decrease greater than predetermined levels, the International Equity Fund may use a systematic valuation model provided by an independent third party to fair value their international equity securities. FOREIGN CURRENCY TRANSLATION: The accounting records of the International Equity Fund are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the current rate of exchange to determine the fair value of investments, assets and liabilities. Purchases and sales of securities, income and expenses are translated at the prevailing rate of exchange, on the respective dates of such transactions. The International Equity Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments and foreign currencies. RISKS ASSOCIATED WITH FOREIGN SECURITIES AND CURRENCIES: Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments; and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments which could adversely affect investments in those countries. Certain foreign investments may also be subject to foreign withholding taxes. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS: The International Equity Fund may enter into forward foreign currency exchange contracts in connection with planned purchases or sales of securities or to hedge the U.S. dollar value of Fund securities denominated in a particular currency. The Fund could be exposed to risks if the counter-parties to the contracts are unable to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. The forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date. FUTURES CONTRACTS: The Variable Net Asset Value Funds may invest in financial futures contracts for the purpose of hedging their existing securities or securities it intends to purchase against fluctuations in fair value caused by changes in prevailing markets. Upon entering into a financial futures contract, the Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as "variation margin," are made or received by the Fund each day, depending on the daily fluctuations in the fair value of the underlying security. The Fund recognizes a gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts and the underlying hedged assets. The Funds held no financial futures contracts as of September 30, 2006. SECURITIES TRANSACTIONS AND RELATED INCOME: During the period, security transactions are accounted for no later than one business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on trade date of the last business day of the reporting period. Interest income is recognized on the accrual basis and includes, where applicable, the amortization/accretion of premium or discount. Dividend income is recorded on the ex-dividend date. Gains or losses realized from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds. Continued 146 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 WHEN-ISSUED AND FORWARD COMMITMENTS: The Funds, with the exception of the U.S. Treasury Money Market Fund, may purchase securities on a "when-issued" basis. The Large Cap Fund, the Large Cap Growth Fund, the Mid Cap Value Fund, the Mid Cap Growth Fund, the Small Cap Fund, the International Equity Fund, the Special Opportunities Equity Fund, the Equity Income Fund and the Prime Money Market Fund may also purchase or sell securities on a forward commitment basis. The Funds record when-issued securities on the trade date and pledge assets with a value at least equal to the purchase commitment for payment of the securities purchased. The value of the securities underlying when-issued or forward commitments to purchase securities, and any subsequent fluctuation in their value, is taken into account when determining the net asset value of the Funds commencing with the date the Funds agree to purchase the securities. The Funds do not accrue interest or dividends on "when-issued" securities until the underlying securities are received. REPURCHASE AGREEMENTS AND COLLATERALIZED LOAN AGREEMENTS: The Funds may enter into agreements with member banks of the Federal Deposit Insurance Corporation and with registered broker/dealers that BB&T Asset Management, Inc. ("BB&T") or a sub-advisor deems creditworthy under guidelines approved by the Board of Trustees, subject to the seller's agreement to repurchase such securities at a mutually agreed-upon date and price. The repurchase price generally equals the price paid by the Fund plus interest negotiated on the basis of current short-term rates, which may be more or less than the rate on the underlying Fund securities. The seller, under these types of agreements, is required to maintain the value of collateral held pursuant to the agreement at not less than the repurchase price (including accrued interest). Securities subject to repurchase are held by the Funds' custodian, another qualified custodian, or in the Federal Reserve/Treasury book-entry system. In the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. There is potential for loss to the Fund in the event the Fund is delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of a possible decline in the fair value of the underlying securities during the period while the Fund seeks to assert its rights. WRITTEN OPTIONS: The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Funds bear the risk of loss of the premium and change in fair value should the counterparty not perform under the contract. Put and call options purchased are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. In writing an option, the Funds contract with a specified counterparty to purchase (put options written) or sell (call options written) a specified quantity (notional amount) of an underlying asset at a specified price during a specified period upon demand of the counterparty. The risk associated with writing an option is that the Funds bear the market risk of an unfavorable change in the price of an underlying asset and may be required to buy or sell an underlying asset under the contractual terms of the option at a price different from the current fair value. The Large Cap Fund, the Large Cap Growth Fund, the Mid Cap Value Fund, the Mid Cap Growth Fund, the Small Cap Fund, the International Equity Fund, the Special Opportunities Equity Fund, the Equity Income Fund and the Fund of Funds each may sell call options and the Large Cap Growth Fund and International Equity Fund may purchase put options that are traded on recognized U.S. exchanges and enter into closing transactions with respect to such options. The Special Opportunities Equity Fund and the Equity Income Fund had the following transactions in call options during the year ended September 30, 2006.
SPECIAL OPPORTUNITIES EQUITY FUND EQUITY INCOME FUND ---------------------- --------------------- NUMBER OF PREMIUMS NUMBER OF PREMIUMS COVERED CALL OPTIONS CONTRACTS RECEIVED CONTRACTS RECEIVED -------------------- --------- ---------- --------- --------- Balance at beginning of period .. 895 $ 51,170 -- $ -- Options written ................. 12,872 1,582,477 2,402 416,001 Options closed .................. (1,960) (485,894) (370) (80,317) Options expired ................. (3,081) (148,253) (712) (164,935) Options exercised ............... (1,511) (88,925) -- -- ------ ---------- ----- --------- Balance at end of period ........ 7,214 $ 910,575 1,320 $ 170,749 ====== ========== ===== =========
Continued 147 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 The following is a summary of options outstanding as of September 30, 2006:
NUMBER OF SECURITY CONTRACTS FAIR VALUE -------- --------- ---------- SPECIAL OPPORTUNITIES EQUITY FUND ATI Technologies, Inc., $22.50, 11/18/06 ..... 2,070 $ 82,800 Checkfree Corp., $50.00, 11/18/06 ............ 1,135 45,400 Consol Energy, Inc., $47.50, 1/20/07 ......... 1,340 13,400 Consol Energy, Inc., $50.00, 1/20/07 ......... 860 4,300 KOS Pharmaceuticals, $55.00, 11/18/06 ........ 310 49,600 PACCAR, Inc., $60.00, 11/18/06 ............... 1,500 165,000 ---------- $360,500 ========== EQUITY INCOME FUND KB Home Corp., $60.00, 1/20/07 ............... 900 $ 31,500 Petroleo Brasileiro S.A., $110.00, 10/21/06 .. 245 3,675 Petroleo Brasileiro S.A., $110.00, 1/20/07 ... 175 5,250 ---------- $ 40,425 ==========
SECURITY LOANS: To generate additional income, the Funds may lend up to 33 1/3% of their respective total assets pursuant to agreements requiring that the loan be continuously secured by any combination of cash, U.S. Government or U.S. Government agency securities, equal at all times to at least 100% of the fair value. Pursuant to an exemptive order from the Securities and Exchange Commission, the cash collateral received by the Funds was pooled and at September 30, 2006 was invested in Commercial Paper, Corporate Bonds, Mutual Funds, and Repurchase Agreements (with interest rates ranging from 5.30% to 5.48% and maturity dates ranging from October 2006 through December 2015). These investments are managed by U.S. Bank National Association. The Funds receive payments from borrowers equivalent to the dividends and interest that would have been earned on securities lent while simultaneously seeking to earn income on the investment of collateral. Collateral is marked to market daily to provide a level of collateral at least equal to the fair value of securities lent. There may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers, such as broker-dealers, banks or institutional borrowers of securities, deemed by the Funds to be of good standing and creditworthy under guidelines established by the Board of Trustees and when, in the judgement of the Funds, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Funds or the borrower at any time and are, therefore, not considered to be illiquid investments. As of September 30, 2006, the following Funds had loans outstanding:
AVERAGE VALUE ON LOAN VALUE FOR THE PERIOD OF LOANED VALUE ENDED SECURITIES OF COLLATERAL SEPTEMBER 30, 2006 ------------ ------------- ------------------ Large Cap Fund ..................... $122,511,470 $126,591,112 $179,921,206 Large Cap Growth Fund .............. 97,859,740 101,006,062 113,851,334 Mid Cap Value Fund ................. 59,151,395 62,152,094 63,296,752 Mid Cap Growth Fund ................ 53,993,107 55,773,608 65,104,001 Small Cap Fund ..................... 27,427,088 28,786,261 30,361,130 Special Opportunities Equity Fund .. 59,886,231 61,799,055 60,606,332 Equity Income Fund ................. 29,578,851 30,739,802 28,234,016 Short U.S. Government Fund ......... 33,937,870 34,618,745 70,444,555 Intermediate U.S. Government Fund .. 35,279,800 35,975,000 169,457,244 Total Return Bond Fund ............. 95,486,370 97,576,279 160,209,168 U.S. Treasury Money Market Fund .... -- -- 183,494,888
Continued 148 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 ALLOCATION METHODOLOGY: Expenses directly attributable to a Fund are charged to that Fund. Expenses not directly attributable to a Fund are allocated proportionately among all Funds daily in relation to the net assets of each Fund or on another reasonable basis. Each class of shares bears its pro-rata portion of expenses attributable to its series, except that each class separately bears expenses related specifically to that class, such as distribution fees. Expenses that are attributable to more than one Trust are allocated across the Funds and BB&T Variable Insurance Funds, based upon relative net assets or on another reasonable basis. BB&T serves as the Investment Advisor for each of the Funds and BB&T Variable Insurance Funds. Income and realized and unrealized gains or losses on investments are allocated to each class of shares based on its relative net assets or another appropriate basis. DIVIDENDS TO SHAREHOLDERS: Dividends from net investment income are declared daily and paid monthly for the Short U.S. Government Fund, the Intermediate U.S. Government Fund, the Total Return Bond Fund, the Tax-Free Funds and the Money Market Funds. Dividends from net investment income are declared and paid monthly for the Large Cap Fund, the Mid Cap Value Fund and the Small Cap Fund. Dividends from net investment income are declared and paid quarterly for the Large Cap Growth Fund, the Mid Cap Growth Fund, the International Equity Fund, the Special Opportunities Equity Fund, the Equity Income Fund and the Fund of Funds. Distributable net realized gains, if any, are declared and distributed at least annually. The character of income and gains distributed are determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature (e.g. reclass of market discounts, gain/loss, paydowns and distributions), such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification. Dividends to shareholders which exceed net investment income and net realized gains for tax purposes are reported as distributions of capital. FEDERAL INCOME TAXES: It is the policy of the Funds to continue to qualify as a regulated investment company by complying with the provisions available to certain investment companies, as defined in applicable sections of the Internal Revenue Code, and to make distributions of net investment income and net realized capital gains sufficient to relieve it from all, or substantially all, federal income taxes. Accordingly, no provision for federal income tax is required. REDEMPTION FEES: Effective November 4, 2005, the holding period for shares redeemed or exchanged was reduced from 30 days to 7 days. For shares of the Funds that were redeemed or exchanged in less than 7 days a fee of 2% of the total redemption amount may be assessed subject to certain exceptions or limitations. These exceptions include but are not limited to redemptions or exchanges in the Money Market Funds, automatic non-discretionary rebalancing programs and systematic withdrawal plans. The fee is applied to shares redeemed or exchanged in the order in which they were purchased, and is retained by the Funds for the benefit of remaining shareholders to defray Fund portfolio transaction expenses and facilitate portfolio management. For financial statement purposes, these amounts are included in the Statements of Changes in Net Assets as "Proceeds from Shares Issued". Effective Continued 149 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 July 24, 2006, the Funds no longer assess redemption fees. Fees for the Funds during the fiscal years ended September 30, 2005 and September 30, 2006, respectively, were as follows:
FOR THE FOR THE YEAR ENDED YEAR ENDED FUND SEPTEMBER 30, 2005 SEPTEMBER 30, 2006 ---- ------------------ ------------------ Large Cap Fund .............................. $4,386 $ 745 Large Cap Growth Fund ....................... 243 3 Mid Cap Value Fund .......................... 3,315 254 Mid Cap Growth Fund ......................... 2,070 1,003 Small Cap Fund .............................. 252 107 International Equity Fund ................... 121 -- Special Opportunities Equity Fund ........... 3,382 2,322 Equity Income Fund .......................... 1,029 300 Short U.S. Government Fund .................. 2,362 872 Intermediate U.S. Government Fund ........... 2,308 2,240 Total Return Bond Fund ...................... 6,570 7,373 Kentucky Intermediate Tax-Free Fund ......... -- -- Maryland Intermediate Tax-Free Fund ......... -- -- North Carolina Intermediate Tax-Free Fund ... 564 386 South Carolina Intermediate Tax-Free Fund ... -- -- Virginia Intermediate Tax-Free Fund ......... -- -- West Virginia Intermediate Tax-Free Fund .... 2 1,646 Prime Money Market Fund ..................... -- -- U.S. Treasury Money Market Fund ............. -- -- National Tax-Free Money Market Fund ......... -- -- Capital Manager Conservative Growth Fund .... 1,484 124 Capital Manager Moderate Growth Fund ........ 567 -- Capital Manager Growth Fund ................. 204 135 Capital Manager Equity Fund ................. 208 5
3. CONVERSION OF THE SMALL CAP FUND AND THE SMALL CAP GROWTH FUND: On March 27, 2006, net assets of the Small Cap Growth Fund managed by BB&T were exchanged in a tax-free conversion for shares of the Small Cap Fund and BB&T incurred all merger related expenses. The following is summary of shares issued, net assets converted, net asset value per share issued and unrealized appreciation/depreciation of assets acquired as of the conversion date:
NET ASSET UNREALIZED SHARES NET ASSETS VALUE PER APPRECIATION ISSUED CONVERTED SHARE ISSUED (DEPRECIATION) --------- ----------- ------------ -------------- Small Cap Fund A Shares .............. 519,217 $ 8,076,416 $15.56 $ 3,875,617 B Shares .............. 320,692 4,879,881 15.22 (1,836,336) C Shares .............. 1,265 19,229 15.20 (2,775) Institutional Shares... 2,617,536 40,922,638 15.63 (940,425)
Continued 150 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 4. PURCHASES AND SALES OF SECURITIES: Purchases and sales of securities (excluding securities maturing less than one year from acquisition) for the fiscal year ended September 30, 2006 were as follows:
PURCHASES SALES -------------- ------------ Large Cap Fund .............................. $ 230,193,817 $270,842,971 Large Cap Growth Fund ....................... 627,234,783 739,785,130 Mid Cap Value Fund .......................... 117,910,343 109,183,117 Mid Cap Growth Fund ......................... 211,142,474 195,682,263 Small Cap Fund .............................. 56,397,924 35,643,608 International Equity Fund ................... 87,987,392 94,855,773 Special Opportunities Equity Fund ........... 103,153,784 106,548,251 Equity Income Fund .......................... 65,548,327 42,508,194 Short U.S. Government Fund .................. 70,250,597 117,762,007 Intermediate U.S. Government Fund ........... 304,984,420 605,572,922 Total Return Bond Fund ...................... 1,014,234,331 894,680,102 Kentucky Intermediate Tax-Free Fund ......... 10,056,737 13,635,797 Maryland Intermediate Tax-Free Fund ......... 22,271,219 23,861,141 North Carolina Intermediate Tax-Free Fund ... 103,556,086 111,659,712 South Carolina Intermediate Tax-Free Fund ... 15,451,560 16,092,412 Virginia Intermediate Tax-Free Fund ......... 58,441,733 60,554,929 West Virginia Intermediate Tax-Free Fund .... 33,018,011 35,374,963 Capital Manager Conservative Growth Fund .... 8,308,488 4,555,000 Capital Manager Moderate Growth Fund ........ 18,052,284 6,870,000 Capital Manager Growth Fund ................. 17,844,499 4,585,000 Capital Manager Equity Fund ................. 8,472,477 585,000
Purchases and sales of U.S. Government Securities (excluding securities maturing less than one year from acquisition) for the fiscal year ended September 30, 2006 were as follows:
PURCHASES SALES -------------- ------------ Short U.S. Government Fund .................. $ 56,602,786 $ 73,158,155 Intermediate U.S. Government Fund ........... 269,840,412 242,029,270 Total Return Bond Fund ...................... 306,065,575 297,012,318
RESTRICTED SECURITIES: A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (The "1933 Act") or pursuant to the resale limitations provided by Rule 144 under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Whether a restricted security is illiquid is determined pursuant to guidelines established by the Board of Trustees. Not all restricted securities are considered illiquid. At September 30, 2006, the North Carolina Intermediate Tax-Free Fund and the Prime Money Market Fund held illiquid restricted securities representing 3.7% and 3.6% of net assets, respectively. The illiquid restricted securities held as of September 30, 2006 are identified below:
ACQUISITION ACQUISITION PRINCIPAL SECURITY DATE COST AMOUNT FAIR VALUE -------- ----------- ----------- ----------- ----------- BB&T NORTH CAROLINA INTERMEDIATE TAX-FREE FUND North Carolina Capital Facilities Finance Agency, 5.25%, 5/1/15, Callable 11/1/06 @ 102 ...................................... 5/15/2003 $2,096,517 $2,092,897 $2,134,755 North Carolina Medical Care Commission Hospital Revenue, 4.60%, 8/15/07 .............................................. 3/2/2002 1,764,467 1,795,000 1,798,734
Continued 151 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006
ACQUISITION ACQUISITION PRINCIPAL SECURITY DATE COST AMOUNT FAIR VALUE -------- ----------- ----------- ----------- ----------- BB&T PRIME MONEY MARKET FUND Genworth Life Insurance Co., 5.53%, 11/9/06 .................... 5/9/2006 $ 5,000,000 $ 5,000,000 $ 5,000,000 Metlife Insurance Co. of Connecticut, 5.50%, 11/21/06 .......... 8/19/2005 5,000,000 5,000,000 5,000,000 Metropolitan Life Insurance Co., 5.61%, 11/1/06 ................ 2/10/2003 5,000,000 5,000,000 5,000,000 Monet Trust, 2000-1, 5.43%, 12/28/06 ........................... 3/28/2005 30,000,000 30,000,000 30,000,000 New York Life Insurance Co., 5.48%, 11/25/06 ................... 8/25/2006 5,000,000 5,000,000 5,000,000
5. RELATED PARTY TRANSACTIONS: Investment advisory services are provided to the Funds by BB&T. Under the terms of the Investment Advisory Agreement, BB&T is entitled to receive fees based on a percentage of the average daily net assets of the Funds. These fees are accrued daily and payable on a monthly basis and are reflected on the Statements of Operations as "Investment advisory fees". BB&T waived investment advisory fees and certain expenses for the Small Cap Fund and the National Tax-Free Money Market Fund which are not subject to recoupment and are included on the Statements of Operations as "Less expenses waived by the Investment Advisor". Information regarding these transactions is as follows for the period ended September 30, 2006:
FEE RATE AFTER FEE RATE AFTER CONTRACTURAL CONTRACTUAL CONTRACTUAL FEE RATE WAIVERS(1) WAIVERS(2)* ------------ -------------- -------------- Large Cap Fund ................................. 0.74% 0.67% 0.70% Large Cap Growth Fund .......................... 0.74% 0.67% 0.70% Mid Cap Value Fund ............................. 0.74% 0.67% 0.70% Mid Cap Growth Fund ............................ 0.74% 0.67% 0.70% Small Cap Fund(3) .............................. 1.00% 0.80% 0.80% International Equity Fund ...................... 1.00% 0.90% 0.90% Special Opportunities Equity Fund .............. 0.80% 0.80% 0.80% Equity Income Fund ............................. 0.70% 0.70% 0.70% Short U.S. Government Fund ..................... 0.60% 0.45% 0.45% Intermediate U.S. Government Fund .............. 0.60% 0.50% 0.48% Total Return Bond Fund ......................... 0.60% 0.50% 0.48% Kentucky Intermediate Tax-Free Fund(3) ......... 0.60% 0.40% 0.40% Maryland Intermediate Tax-Free Fund(3) ......... 0.60% 0.30% 0.30% North Carolina Intermediate Tax-Free Fund ...... 0.60% 0.45% 0.45% South Carolina Intermediate Tax-Free Fund(3) ... 0.60% 0.45% 0.45% Virginia Intermediate Tax-Free Fund ............ 0.60% 0.45% 0.45% West Virginia Intermediate Tax-Free Fund ....... 0.45% 0.45% 0.45% Prime Money Market Fund ........................ 0.40% 0.29% 0.29% U.S. Treasury Money Market Fund ................ 0.40% 0.28% 0.26% National Tax-Free Money Market Fund ............ 0.25% N/A 0.20% Capital Manager Conservative Growth Fund ....... 0.25% 0.00% 0.00% Capital Manager Moderate Growth Fund ........... 0.25% 0.00% 0.00% Capital Manager Growth Fund .................... 0.25% 0.00% 0.00% Capital Manager Equity Fund .................... 0.25% 0.00% 0.00%
* Effective February 1, 2006, BB&T contractually agreed to waive a portion of the investment advisory fee as disclosed in the table above. All contractual investment advisory fee waivers are not subject to recoupment in subsequent fiscal periods. (1) For the period October 1, 2005 through January 31, 2006. (2) For the period February 1, 2006 through September 30, 2006. (3) For all or a portion of the fiscal year ended September 30, 2006 BB&T voluntarily waived additional investment advisory fees for the Small Cap Fund, Kentucky Intermediate Tax-Free Fund, Maryland Intermediate Tax-Free Fund, South Carolina Intermediate Tax-Free Fund and National Tax-Free Money Market Fund. All voluntary investment advisory fee waivers are not subject to recoupment in subsequent fiscal periods, and may be discontinued at any time. Continued 152 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 Pursuant to a Sub-Advisory agreement with BB&T, UBS Global Asset Management (Americas), Inc. ("UBS") serves as the Sub-Advisor to the International Equity Fund, subject to the general supervision of the Funds' Board of Trustees and BB&T. Pursuant to a Sub-Advisory agreement with BB&T, Federated Investment Management Company ("Federated") serves as the Sub-Advisor to the Prime Money Market Fund and the National Tax-Free Money Market Fund, subject to the general supervision of the Funds' Board of Trustees and BB&T. Pursuant to a Sub-Advisory agreement with BB&T, Scott & Stringfellow, Inc., a wholly owned subsidiary of BB&T Corporation, serves as the Sub-Advisor to the Special Opportunities Equity Fund and the Equity Income Fund, subject to the general supervision of the Funds' Board of Trustees and BB&T. Pursuant to a Sub-Advisory agreement with BB&T, Sterling Capital Management LLC, a wholly owned subsidiary of BB&T Corporation, serves as the Sub-Advisor to the Mid Cap Value Fund and the Total Return Bond Fund, subject to the general supervision of the Funds' Board of Trustees and BB&T. For their services, Sub-Advisors are entitled to a fee, payable by BB&T. BB&T serves the Funds as administrator. BB&T receives compensation for providing administration services at a rate of 0.12% of the BB&T Funds and BB&T Variable Insurance Funds aggregate average daily net assets up to $5 billion and a rate of 0.08% of the aggregate average daily net assets in excess of $5 billion. This fee is accrued daily and payable on a monthly basis. Expenses incurred are reflected on the Statements of Operations as "Administration fees". BB&T voluntarily waived administration fees of $94,547, $111,212, $87,546 and $47,541, respectively, of the Capital Manager Conservative Growth Fund, the Capital Manager Moderate Growth Fund, the Capital Manager Growth Fund and the Capital Manager Equity Fund for the fiscal year ended September 30, 2006. Administration fee waivers are included on the Statements of Operations as "Less expenses waived by the Administrator" and these waivers are not subject to recoupment in subsequent fiscal periods. Pursuant to a Sub-Administration Agreement with BB&T, BISYS Fund Services Ohio, Inc. (BISYS Ohio) serves as sub-administrator to the Funds subject to the general supervision of the Funds' Board of Trustees and BB&T. For these services, BISYS Ohio is entitled to a fee, payable by BB&T. BISYS Ohio is a subsidiary of BISYS Group, Inc. BISYS Ohio serves the Funds as fund accountant and transfer agent and receives compensation for providing fund accounting and transfer agency services at a rate of 0.02% (0.01% for each service) of the average daily net assets of each Fund, plus certain out of pocket expenses. Expenses incurred are reflected on the Statements of Operations as "Fund accounting fees" and "Transfer agency fees", respectively. Under a Compliance Services Agreement between the Trust and BISYS Ohio (the "CCO Agreement"), BISYS Ohio makes an employee available to serve as the Trusts' Chief Compliance Officer (the "CCO"). Under the CCO Agreement, BISYS Ohio also provides infrastructure and support in implementing the written policies and procedures comprising the Funds' compliance program, including support services to the CCO. For the services provided under the CCO Agreement, the Funds paid BISYS Ohio $100,000 for the reporting period ended September 30, 2006, plus certain out of pocket expenses. Expenses incurred for the Funds are reflected on the Statements of Operations as "Compliance service fees". BISYS Ohio pays the salary and other compensation earned by any such individuals as employees of BISYS Ohio. For the year ended September 30, 2006, the Funds' paid $395,077 in brokerage fees to Scott & Stringfellow, Inc., a wholly owned subsidiary of BB&T Corporation, on the execution of purchases and sales of the Funds' portfolio investments. Effective November 1, 2005, BB&T Funds Distributor, Inc. ("BBTFDI") serves as distributor to each Fund of the Funds pursuant to a Distribution Agreement (the "Distribution Agreement"). BBTFDI has contractually agreed to waive a portion of the Class A shares distribution fees throughout the year. Effective February 1, 2006 and through January 31, 2007, BBTFDI has contractually agreed to waive 0.25% of the Class A distribution fees of the Funds except for the Mid Cap Value Fund, Mid Cap Growth Fund, West Virginia Intermediate Tax-Free Fund, Prime Money Market Fund and the U.S. Treasury Money Market Fund. BBTFDI waived fees totaling $812,110 of distribution fees for the period ended September 30, 2006. Distribution fee waivers are included in the Statements of Operations as "Less expenses waived by the Distributor" and these waivers are not subject to recoupment in subsequent fiscal periods. Prior to November 1, 2005, BISYS Fund Services LP served as distributor to each Fund of BB&T Funds pursuant to a Distribution Agreement dated October 1, 1993. The Funds have adopted a Distribution and Shareholder Services Plan (the "Plan") in accordance with Rule 12b-1 under the 1940 Act. The Plan provides for payments to the distributor of up to 0.50%, 1.00% and 1.00% of the average daily net assets of the Class A Shares, Class B Shares, and Class C Shares, respectively, with exception of the Mid Cap Value Fund, the Mid Cap Growth Continued 153 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 Fund and the West Virginia Intermediate Tax-Free Fund which receives payments of up to 0.25% of the average daily net assets for Class A. The fees may be used by BBTFDI to pay banks, broker dealers and other institutions, including affiliates of the advisor. As distributor, BBTFDI, is entitled to receive commissions on sales of shares of the Variable Net Asset Value Funds. For the period ended September 30, 2006, BBTFDI received $2,357,878 from commissions earned on sales of shares of the Funds' Variable Net Asset Value Funds. Commissions paid to affiliated broker-dealers during the fiscal year ended September 30, 2006 were $2,132,253. The Advisor and/or its affiliates may pay out of their own assets compensation to broker-dealers and other persons for the sale and distribution of the shares and/or for the servicing of the shares. These are additional payments over and above the sales charge (including Rule 12b-1 fees) and service fees paid by the Funds. The payments, which may be different for different financial institutions, will not change the price an investor will pay for shares or the amount that a Fund will receive for the sale of shares. Certain Officers and Trustees of the Funds are affiliated with the adviser, the administrator, or the sub-administrator. Such Officers and Trustees receive no compensation from the Funds for serving in their respective roles. Each of the five non-interested Trustees who serve on both the Board and the Audit Committee are compensated $6,000 per quarter and $2,400 for each regularly scheduled meeting, plus reimbursement for certain expenses. During the year ended September 30, 2006, actual Trustee compensation was $174,339 in total. 6. CONCENTRATION OF CREDIT RISK: The Tax-Free Funds invest primarily in debt instruments of municipal issuers in their respective states. The issuers' abilities to meet their obligations may be affected by economic developments in a specific state or region. 7. LINE OF CREDIT U.S. Bank, N.A. has made available a credit facility to the Funds, pursuant to a Credit Agreement (the "Agreement"). The primary purpose of the Agreement is to allow the Funds to avoid security liquidation that BB&T believes are unfavorable to shareholders. Outstanding principal amounts under the Agreement bear interest at an interest rate equal to the Prime Rate minus 2.00%. The Funds did not utilize this Agreement during the period ended September 30, 2006. 8. FEDERAL INCOME TAX INFORMATION: At September 30, 2006, the following Funds have net capital loss carryforwards available to offset future net capital gains, if any, to the extent provided by the Treasury regulations. To the extent that these carryforwards are used to offset future capital gains, it is probable that the gains that are offset will not be distributed to shareholders.
AMOUNT EXPIRES ---------- ------- Large Cap Growth Fund .......................... $7,019,454 2011 Small Cap Fund* ................................ 7,051,245 2009 Small Cap Fund* ................................ 2,350,415 2010 International Equity Fund ...................... 636,946 2011 Short U.S. Government Fund ..................... 349,217 2008 Short U.S. Government Fund ..................... 498,342 2009 Short U.S. Government Fund ..................... 118,919 2012 Short U.S. Government Fund ..................... 2,094,190 2013 Short U.S. Government Fund ..................... 1,246,269 2014 Intermediate U.S. Government Fund .............. 222,709 2013 Intermediate U.S. Government Fund .............. 4,243,104 2014 Total Return Bond Fund ......................... 1,527,254 2014 Kentucky Intermediate Tax-Free Fund ............ 7,545 2011 Kentucky Intermediate Tax-Free Fund ............ 3,794 2014 Maryland Intermediate Tax-Free Fund ............ 14,230 2011 Maryland Intermediate Tax-Free Fund ............ 113,581 2013 Capital Manager Conservative Growth Fund ....... 1,243,302 2012 Capital Manager Conservative Growth Fund ....... 164,216 2013
* The amount of these losses that may be utilized are limited to $2,350,415 on annual basis as a result of certain ownership changes in 2006. Continued 154 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 The tax character of dividends paid to shareholders during the fiscal year ended September 30, 2006, were as follows:
DISTRIBUTIONS PAID FROM CURRENT YEAR ------------------------- DISTRIBUTIONS TOTAL ORDINARY NET LONG- TOTAL TAXABLE TAX EXEMPT OF EARNINGS DISTRIBUTIONS INCOME TERM GAINS DISTRIBUTIONS DISTRIBUTIONS AND PROFITS PAID * ----------- ----------- ------------- ------------- ------------- ------------- Large Cap Fund ........................ $16,180,152 $43,804,755 $59,984,907 $ -- $ -- $59,984,907 Large Cap Growth Fund ................. 1,582,511 -- 1,582,511 -- -- 1,582,511 Mid Cap Value Fund .................... 11,456,392 9,945,224 21,401,616 -- -- 21,401,616 Mid Cap Growth Fund ................... 1,262,723 13,009,021 14,271,744 -- 188,060 14,459,804 Small Cap Fund ........................ 845,622 7,693,220 8,538,842 -- 24,778 8,563,620 International Equity Fund ............. 2,763,161 -- 2,763,161 -- -- 2,763,161 Special Opportunities Equity Fund ..... 3,037,182 6,658,012 9,695,194 -- -- 9,695,194 Equity Income Fund .................... 3,534,406 507,611 4,042,017 -- -- 4,042,017 Short U.S. Government Fund ............ 4,796,925 -- 4,796,925 -- -- 4,796,925 Intermediate U.S. Government Fund ..... 20,142,563 -- 20,142,563 -- -- 20,142,563 Total Return Bond Fund ................ 22,226,099 2,176,080 24,402,179 -- -- 24,402,179 Kentucky Intermediate Tax-Free Fund ... -- -- -- 521,519 -- 521,519 Maryland Intermediate Tax-Free Fund ... 106 -- 106 326,935 -- 327,041 North Carolina Intermediate Tax-Free Fund ............................... 104,708 911,150 1,015,858 3,962,871 -- 4,978,729 South Carolina Intermediate Tax-Free Fund ............................... -- 347,206 347,206 694,356 -- 1,041,562 Virginia Intermediate Tax-Free Fund ... -- 447,855 447,855 2,890,792 -- 3,338,647 West Virginia Intermediate Tax-Free Fund ............................... 15,699 409,576 425,275 2,631,959 -- 3,057,234 Prime Money Market Fund ............... 44,000,932 -- 44,000,932 -- -- 44,000,932 U.S. Treasury Money Market Fund ....... 25,302,481 -- 25,302,481 -- -- 25,302,481 National Tax-Free Money Market Fund ... -- -- -- 267,647 -- 267,647 Capital Manager Conservative Growth Fund ............................... 2,156,986 -- 2,156,986 -- -- 2,156,986 Capital Manager Moderate Growth Fund .. 1,857,732 -- 1,857,732 -- -- 1,857,732 Capital Manager Growth Fund ........... 1,244,704 -- 1,244,704 -- -- 1,244,704 Capital Manager Equity Fund ........... 1,277,116 -- 1,277,116 -- -- 1,277,116
The tax character of dividends paid to shareholders during the fiscal year ended September 30, 2005, were as follows:
DISTRIBUTIONS PAID FROM CURRENT YEAR ------------------------- DISTRIBUTIONS TOTAL ORDINARY NET LONG- TOTAL TAXABLE TAX EXEMPT OF EARNINGS DISTRIBUTIONS INCOME TERM GAINS DISTRIBUTIONS DISTRIBUTIONS AND PROFITS PAID * ----------- ----------- ------------- ------------- ------------- ------------- Large Cap Fund ........................ $12,372,558 $ -- $12,372,558 $ -- $ -- $12,372,558 Large Cap Growth Fund ................. 1,454,437 -- 1,454,437 -- -- 1,454,437 Mid Cap Value Fund .................... 2,320,084 59,006,677 61,326,761 -- 17,825 61,344,586 Mid Cap Growth Fund ................... -- 1,527,268 1,527,268 -- -- 1,527,268 Small Cap Fund ........................ 1,794,045 839,331 2,633,376 -- 5,259 2,638,635 International Equity Fund ............. 2,762,795 -- 2,762,795 -- 874,327 3,637,122 Special Opportunities Equity Fund ..... 1,015,239 -- 1,015,239 -- -- 1,015,239 Equity Income Fund .................... 1,541,950 -- 1,541,950 -- -- 1,541,950 Short U.S. Government Fund ............ 6,397,474 -- 6,397,474 -- -- 6,397,474 Intermediate U.S. Government Fund ..... 24,780,721 2,537,308 27,318,029 -- -- 27,318,029 Total Return Bond Fund ................ 15,603,344 894,698 16,498,042 -- -- 16,498,042 Kentucky Intermediate Tax-Free Fund ... -- -- -- 489,873 -- 489,783 Maryland Intermediate Tax-Free Fund ... -- -- -- 296,788 -- 296,788 North Carolina Intermediate Tax-Free Fund ............................... 5,069 192,982 198,051 3,991,284 -- 4,189,335 South Carolina Intermediate Tax-Free Fund ............................... -- 146,124 146,124 709,878 -- 856,002 Virginia Intermediate Tax-Free Fund ... 1,568 158,443 160,011 2,884,720 -- 3,044,731 West Virginia Intermediate Tax-Free Fund ............................... 3,853 555,579 559,432 2,681,496 -- 3,240,928 Prime Money Market Fund ............... 20,623,971 296 20,624,267 -- -- 20,624,267 U.S. Treasury Money Market Fund ....... 17,575,264 -- 17,575,264 -- -- 17,575,264 Capital Manager Conservative Growth Fund ............................... 2,347,405 -- 2,347,405 -- -- 2,347,405 Capital Manager Moderate Growth Fund ............................... 1,436,022 -- 1,436,022 -- -- 1,436,022 Capital Manager Growth Fund ........... 756,722 -- 756,722 -- -- 756,722 Capital Manager Equity Fund ........... 242,213 -- 242,213 -- -- 242,213
---------- * Total Distributions paid may differ from the Statements of Changes in Net Assets because distributions are recognized when actually paid for tax purposes. Continued 155 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 As of September 30, 2006, the components of accumulated earnings (deficit) on a tax basis was as follows:
UNDISTRIBUTED UNDISTRIBUTED TOTAL ORDINARY LONG TERM ACCUMULATED UNREALIZED ACCUMULATED INCOME/TAX CAPITAL GAINS ACCUMULATED DIVIDENDS CAPITAL AND APPRECIATION EARNINGS EXEMPT INCOME (LOSSES) EARNINGS PAYABLE* OTHER LOSSES (DEPRECIATION) (DEFICIT) ------------- ------------- ----------- ----------- ------------ -------------- ------------ Large Cap Fund ............ $6,041,345 $70,414,557 $76,455,902 $ (783,804) $ -- $160,326,236 $235,998,334 Large Cap Growth Fund ...... 484,026 -- 484,026 (253,153) (7,019,454) 31,844,053 25,055,472 Mid Cap Value Fund ......... 6,958,982 1,115,592 8,074,574 (143,586) -- 18,114,339 26,045,327 Mid Cap Growth Fund ........ -- 16,286,520 16,286,520 -- -- 20,783,667 37,070,187 Small Cap Fund ............. -- 3,598,280 3,598,280 (27,923) (9,401,660) 13,522,220 7,690,917 International Equity Fund .. 820,876 -- 820,876 (1,414,301) (716,946) 63,129,987 61,819,616 Special Opportunities Equity Fund .................... 1,779,078 7,901,155 9,680,233 -- -- 37,622,395 47,302,628 Equity Income Fund ......... 483,827 2,979,473 3,463,300 (636,097) -- 15,635,465 18,462,668 Short U.S. Government Fund .................... 850,380 -- 850,380 (272,055) (8,244,574) (757,819) (8,424,068) Intermediate U.S. Government Fund .................... 4,628,534 -- 4,628,534 (1,293,561) (14,952,855) (4,556,907) (16,174,789) Total Return Bond Fund ..... 4,328,179 -- 4,328,179 (2,137,064) (10,356,412) (533,970) (8,699,267) Kentucky Intermediate Tax- Free Fund ............... 43,896 -- 43,896 (38,763) (80,022) 302,229 227,340 Maryland Intermediate Tax- Free Fund ............... 25,627 -- 25,627 (26,107) (143,744) 142,826 (1,398) North Carolina Intermediate Tax-Free Fund ........... 370,719 15,453 386,172 (317,922) -- 3,156,509 3,224,759 South Carolina Intermediate Tax-Free Fund ........... 72,147 9,845 81,992 (56,389) -- 526,597 552,200 Virginia Intermediate Tax- Free Fund ............... 264,659 25,902 290,561 (232,785) -- 2,512,038 2,569,814 West Virginia Intermediate Tax-Free Fund ........... 161,128 188,044 349,172 (216,502) -- 1,752,947 1,885,617 Prime Money Market Fund .... 5,136,281 4,504 5,140,785 (5,135,097) -- -- 5,688 U.S. Treasury Money Market Fund .................... 2,497,403 -- 2,497,403 (2,497,157) -- -- 246 National Tax-Free Money Market Fund ............. 261,198 -- 261,198 (258,170) -- -- 3,028 Capital Manager Conservative Growth Fund ............. 669,925 -- 669,925 (615,051) (1,407,518) 5,493,699 4,141,055 Capital Manager Moderate Growth Fund ............. 610,542 348,321 958,863 (515,660) -- 8,778,167 9,221,370 Capital Manager Growth Fund .................... 388,051 951,905 1,339,956 (304,206) -- 6,593,327 7,629,077 Capital Manager Equity Fund .................... 160,409 1,535,846 1,696,255 (112,928) -- 5,018,527 6,601,854
* Dividends Payable may differ from the Statements of Assets and Liabilities because distributions are recognized when actually paid for tax purposes. Continued 156 BB&T Funds NOTES TO FINANCIAL STATEMENTS, CONTINUED SEPTEMBER 30, 2006 Under current tax law, capital losses realized after October 31 of a Fund's fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year for tax purposes. The following Funds had deferred post October capital and currency losses, which will be treated as arising on the first business day of the fiscal year ending September 30, 2007:
POST-OCTOBER LOSSES ------------ International Equity Fund ................. $ 80,000 Short U.S. Government Fund ................ 3,937,637 Intermediate U.S. Government Fund ......... 10,487,042 Total Return Bond Fund .................... 8,829,158 Kentucky Intermediate Tax-Free Fund ....... 68,683 Maryland Intermediate Tax-Free Fund ....... 15,933
At September 30, 2006 the cost, gross unrealized appreciation and gross unrealized depreciation on securities for federal income tax purposes, were as follows:
NET TAX TAX UNREALIZED UNREALIZED UNREALIZED APPRECIATION TAX COST APPRECIATION DEPRECIATION (DEPRECIATION) -------------- ------------ ------------ -------------- Large Cap Fund .............................. $ 690,800,740 $164,421,587 $(4,095,351) $160,326,236 Large Cap Growth Fund ....................... 292,435,343 34,462,311 (2,618,258) 31,844,053 Mid Cap Value Fund .......................... 274,285,432 22,592,005 (4,477,666) 18,114,339 Mid Cap Growth Fund ......................... 177,419,024 22,556,307 (1,772,640) 20,783,667 Small Cap Fund .............................. 139,360,425 17,167,389 (3,645,169) 13,522,220 International Equity Fund ................... 190,057,765 68,116,464 (4,991,015) 63,125,449 Special Opportunities Equity Fund ........... 230,135,825 38,091,039 (468,644) 37,622,395 Equity Income Fund .......................... 133,763,507 16,620,702 (985,237) 15,635,465 Short U.S. Government Fund .................. 107,091,582 157,947 (915,766) (757,819) Intermediate U.S. Government Fund ........... 306,139,170 486,538 (5,043,445) (4,556,907) Total Return Bond Fund ...................... 536,325,709 3,565,692 (4,099,662) (533,970) Kentucky Intermediate Tax-Free Fund ......... 14,050,843 304,637 (2,408) 302,229 Maryland Intermediate Tax-Free Fund ......... 9,761,338 145,038 (2,212) 142,826 North Carolina Intermediate Tax-Free Fund ... 104,508,426 3,156,509 -- 3,156,509 South Carolina Intermediate Tax-Free Fund ... 18,843,916 527,489 (892) 526,597 Virginia Intermediate Tax-Free Fund ......... 74,741,644 2,513,969 (1,931) 2,512,038 West Virginia Intermediate Tax-Free Fund .... 64,031,776 1,753,582 (635) 1,752,947 Prime Money Market Fund ..................... 1,370,562,242 -- -- -- U.S. Treasury Money Market Fund ............. 650,126,695 -- -- -- National Tax-Free Money Market Fund ......... 95,640,945 -- -- -- Capital Manager Conservative Growth Fund .... 56,048,842 6,305,739 (812,040) 5,493,699 Capital Manager Moderate Growth Fund ........ 72,028,809 10,048,641 (1,270,474) 8,778,167 Capital Manager Growth Fund ................. 55,755,262 8,049,005 (1,455,678) 6,593,327 Capital Manager Equity Fund ................. 25,616,926 5,125,518 (106,991) 5,018,527
9. SUBSEQUENT EVENT At the August 29, 2006 board meeting, the Board of Trustees approved, subject to shareholders' approval, a fund merger between the Large Cap Fund and the Large Cap Growth Fund, which is scheduled to be completed during the first quarter of 2007. 10. LEGAL AND REGULATORY MATTERS On September 26, 2006 BISYS Fund Services, Inc. ("BISYS"), an affiliate of BISYS Fund Services Ohio, Inc. which provides various services to the Funds as described in footnote 5, announced a settlement with the Securities and Exchange Commission ("SEC") regarding the SEC's investigation related to BISYS' past payment of certain marketing and other expenses with respect to certain of its mutual fund clients. Although BISYS has reached a settlement with the SEC, the Funds' management is not aware that any determination has been made as to how the BISYS settlement monies will be distributed. The SEC's examination of BISYS' mutual fund clients and their advisers has not been completed. Accordingly, the Funds' management is currently unable to determine the impact, if any, of such matters on the Funds or the Funds' financial statements. 157 REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Shareholders and Board of Trustees of BB&T Funds: We have audited the accompanying statements of assets and liabilities of BB&T Funds -- Large Cap Fund, Large Cap Growth Fund, Mid Cap Value Fund, Mid Cap Growth Fund, Small Cap Fund, International Equity Fund, Special Opportunities Equity Fund, Equity Income Fund, Short U.S. Government Fund, Intermediate U.S. Government Fund, Total Return Bond Fund, Kentucky Intermediate Tax-Free Fund, Maryland Intermediate Tax-Free Fund, North Carolina Intermediate Tax-Free Fund, South Carolina Intermediate Tax-Free Fund, Virginia Intermediate Tax-Free Fund, West Virginia Intermediate Tax-Free Fund, Prime Money Market Fund, U.S. Treasury Money Market Fund, National Tax-Free Money Market Fund, Capital Manager Conservative Growth Fund, Capital Manager Moderate Growth Fund, Capital Manager Growth Fund, and Capital Manager Equity Fund (collectively, the Funds), including the schedules of portfolio investments, as of September 30, 2006, and the related statements of operations for the period then ended, the statements of changes in net assets for each of the periods in the two-year period then ended, and the financial highlights for each of the periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2006, by correspondence with the custodian, transfer agent of the underlying funds, or brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of September 30, 2006, the results of their operations for the period then ended, the changes in their net assets for each of the periods in the two-year period then ended, and the financial highlights for each of the periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles. KPMG LLP Columbus, Ohio November 27, 2006 158 BB&T Funds OTHER FEDERAL INCOME TAX INFORMATION (UNAUDITED) SEPTEMBER 30, 2006 For the fiscal year ended September 30, 2006, certain dividends paid by the Funds may be subject to a maximum tax rate of 15% as provided for by the Jobs and Growth Tax Reconciliation Act of 2003. The Funds intend to designate the maximum amount allowable as taxed at a maximum rate of 15%. Complete information will be reported in conjunction with your 2006 Form 1099-DIV. For the period ended September 30, 2006, the following Funds have a qualified dividend income of :
QUALIFIED DIVIDEND INCOME ----------- Large Cap Fund .............................. $15,068,256 Large Cap Growth Fund ....................... 1,582,511 Mid Cap Value Fund .......................... 3,108,892 Mid Cap Growth Fund ......................... 303,123 Small Cap Fund .............................. 611,982 Special Opportunities Equity Fund ........... 945,171 Equity Income Fund .......................... 2,713,008 Capital Manager Conservative Growth Fund .... 2,079,158 Capital Manager Moderate Growth Fund ........ 59,216 Capital Manager Growth Fund ................. 87,689 Capital Manager Equity Fund ................. 714,274
For corporate shareholders, the following percentage of the total ordinary income dividends paid during the fiscal year ended September 30, 2006, qualify for the corporate dividends received deduction for the following Funds:
DIVIDENDS REDUCTION DEDUCTION ----------- Large Cap Fund .............................. 93.13% Large Cap Growth Fund ....................... 100.00% Mid Cap Value Fund .......................... 27.20% Mid Cap Growth Fund ......................... 24.59% Small Cap Fund .............................. 72.54% Special Opportunities Equity Fund ........... 31.15% Equity Income Fund .......................... 77.04% Capital Manager Conservative Growth Fund .... 96.25% Capital Manager Moderate Growth Fund ........ 2.63% Capital Manager Growth Fund ................. 5.79% Capital Manager Equity Fund ................. 45.18%
During the fiscal year ended September 30, 2006, the following Funds declared tax-exempt income distributions:
AMOUNT ----------- Kentucky Intermediate Tax-Free Fund ......... $ 521,519 Maryland Intermediate Tax-Free Fund ......... 326,935 North Carolina Intermediate Tax-Free Fund ... 3,962,871 South Carolina Intermediate Tax-Free Fund ... 694,356 Virginia Intermediate Tax-Free Fund ......... 2,890,792 West Virginia Intermediate Tax-Free Fund .... 2,631,959 National Tax-Free Money Market Fund ......... 264,647
159 BB&T Funds SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED) SEPTEMBER 30, 2006 On November 11, 2005, there was a special meeting of the shareholders of the BB&T Small Cap Fund. The purpose of the meeting was: (1) to approve an amendment to the investment objective of the BB&T Small Cap Fund. A description of the proposal and the number of shares voted is as follows: 1. Approve an amendment to the investment objective of the Small Cap Fund to seek "long-term capital appreciation" by investing the Fund's assets primarily in a diversified portfolio of equity and equity-related securities of small capitalization companies.
AFFIRMATIVE AGAINST ABSTAIN ----------- --------- ------- 3,070,854 5,170 1,855
On March 23, 2006, there was a special meeting of the shareholders of the BB&T Small Company Growth Fund and the BB&T Small Cap Fund. The purpose of the meeting was: (1) to consider and act upon a Plan of Reorganization ("Reorganization Plan") adopted by BB&T Funds providing for the transfer of all the assets of the BB&T Small Company Growth Fund in exchange the BB&T Small Cap Fund and the assumption by the BB&T Small Cap Fund of all the liabilities of the BB&T Small Company Growth Fund, followed by the dissolution and liquidation of the BB&T Small Company Growth Fund and the distribution of Shares of the BB&T Small Cap Fund to the shareholders of the BB&T Small Company Growth Fund, and (2) to transact such other business as may properly come before the Special Meeting or any adjournment thereof. A description of the proposal and the number of shares voted is as follows: 1. To consider and act upon a Plan of Reorganization ("Reorganization Plan") adopted by BB&T Funds providing for the transfer of all the assets of the BB&T Small Company Growth Fund in exchange the BB&T Small Cap Fund and the assumption by the BB&T Small Cap Fund of all the liabilities of the BB&T Small Company Growth Fund, followed by the dissolution and liquidation of the BB&T Small Company Growth Fund and the distribution of Shares of the BB&T Small Cap Fund to the shareholders of the BB&T Small Company Growth Fund.
AFFIRMATIVE AGAINST ABSTAIN ----------- --------- ------- 2,496,986 2,431 4,552
2. To transact such other business as may properly come before the Special Meeting or any adjournment thereof.
AFFIRMATIVE AGAINST ABSTAIN ----------- --------- ------- 121,024 2,377,025 5,920
160 OTHER INFORMATION (UNAUDITED) A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-228-1872; and (ii) on the Securities and Exchange Commission's (the "Commission") website at http://www.sec.gov. Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th is available (i) without charge, upon request, by calling 1-800-228-1872 and (ii) on the Commission's website at http://www.sec.gov. The Funds file complete Schedules of Portfolio Holdings with the Commission for the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available without charge on the Commission's website at http://www.sec.gov, or may be reviewed and copied at the Commission's Public Reference Roon in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. 161 BOARD CONSIDERATION OF ADVISORY AND SUB-ADVISORY AGREEMENTS (UNAUDITED) The Board of Trustees, at a meeting held on August 29, 2006, formally considered the Trust's investment advisory agreement with BB&T Asset Management, Inc. ("BB&TAM" or the "Adviser") with respect to all funds of the Trust and sub-advisory agreements of BB&TAM with Scott & Stringfellow, Inc. ("Scott & Stringfellow"), with respect to the BB&T Special Opportunities Equity Fund and the Equity Income Fund; UBS Global Asset Management (Americas), Inc., with respect to the International Equity Fund; Federated Investment Management Company, with respect to the National Tax-Free Money Market Fund and the Prime Money Market Fund; and Sterling Capital Management LLC ("Sterling Capital"), with respect to the Mid Cap Value Fund and the Total Return Bond Fund (collectively, the "Advisory Agreements"). Scott & Stringfellow, UBS Global Asset Management (Americas), Inc., Federated Investment Management Company and Sterling Capital are referred to as "Sub-Advisers" and, collectively with the Adviser, the "Advisers." The Trustees reviewed extensive material in connection with their review of the Advisory Agreements, including data from an independent provider of mutual fund data (as assembled by the Funds' sub-administrator) which included comparisons with industry averages for comparable funds for advisory fees and total fund expenses. The data reflected BB&TAM fee waivers in place, as well as BB&TAM's contractual investment advisory fee levels. The Board was assisted in its review by independent legal counsel, who provided a memorandum detailing the legal standards for review of the Advisory Agreements. The Board received a detailed presentation by BB&TAM, which included a fund-by-fund analysis of performance. Presentations were also provided by each Sub-Adviser. The Board also received fund-by-fund profitability information from the Adviser, Scott & Stringfellow and Sterling Capital. The Board also deliberated outside the presence of management and the Advisers. In their deliberations, each Trustee attributed different weights to various factors involved in an analysis of whether each Advisory Agreement should be continued, and no factor alone was considered determinative. The Trustees determined that the overall arrangements between the Trust and the Advisers, as provided in the Advisory Agreements, were fair and reasonable and that the continuance of the Advisory Agreements was in the best interests of each Fund and its shareholders. The matters addressed below were considered and discussed by the Trustees in reaching their conclusions. Nature, Extent and Quality of Services Provided by the Adviser The Trustees received and considered information regarding the nature, extent, and quality of the services provided to each Fund under the Advisory Agreements. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as materials furnished specifically in connection with the annual review process. The Trustees considered the background and experience of each Adviser's senior management and the expertise of investment personnel of each Adviser responsible for the day-to-day management of each Fund. The Trustees considered the overall reputation, and the capabilities and commitment of the Advisers to provide high quality service to the Trust, and the Trustees' overall confidence in each Adviser's integrity. The Trustees received information concerning the investment philosophy and investment processes applied by the Advisers in managing the Funds. The Trustees also considered information regarding regulatory compliance and compliance with the investment policies of the Funds. The Trustees evaluated the trading practices of Scott & Stringfellow, which engages in affiliated brokerage for a majority of the portfolio trades for the Funds it sub-advises. As part of this evaluation, the Trustees received information regarding safeguards employed, such as prohibitions on principal and cross-agency trades. The Trustees also evaluated the procedures of the Advisers designed to fulfill the Advisers' fiduciary duty to the Funds with respect to possible conflicts of interest, including the Advisers' codes of ethics (regulating the personal trading of its officers and employees). Based on their review, the Trustees concluded that, with respect to the quality and nature of services to be provided by the Advisers, the scope of responsibilities was consistent with mutual fund industry norms, and that the quality of the services was wholly acceptable. Investment Performance The Trustees considered performance results of each Fund in absolute terms and relative to each Fund's peer group. It was noted that performance of the equity funds over the last three years had improved considerably over the prior year, although the one-year average percentile had declined. With respect to the fixed income funds, it was noted that the average percentile ranking for one-year performance was generally quite improved over that of the prior year. With respect to the asset allocation funds, it was noted that each asset allocation fund had received a Morningstar rating of at least three stars and was performing in a satisfactory manner. 162 BOARD CONSIDERATION OF ADVISORY AND SUB-ADVISORY AGREEMENTS (UNAUDITED), CONTINUED In the Trustees' review of performance, long and short-term performance were considered. In conducting their review, the Trustees particularly focused on Funds where performance compared unfavorably with peers over the most recent one year period. The Trustees noted that the performance of each of the International Equity Fund and the Large Cap Growth Fund was lagging, but that the Adviser was seeking to address the situation, either through monitoring, in the case of the International Equity Fund, or consolidation, in the case of the Large Cap Growth Fund. After reviewing the performance of each Fund, and taking into consideration the management style, investment strategies, and prevailing market conditions during the prior year and for longer periods, the Trustees concluded that the performance of each of the Funds was generally strong and that in cases where performance issues were encountered, the Adviser was properly addressing the situation. Cost of Services, Including the Profits Realized by the Advisers and Affiliates The Trustees considered peer group comparable information with respect to the advisory fees charged by BB&TAM to each of the Funds, taking into consideration both contractual and actual (i.e., after waiver) fee levels. The Trustees concluded that the investment advisory fees fell within an acceptable range as compared to peer groups, particularly in light of the fee waivers that would be continued in the upcoming year. As part of their review, the Trustees considered benefits to the Adviser aside from investment advisory fees. The Trustees reviewed administration fees received by BB&TAM and considered the fallout benefits to BB&TAM such as the research services available to the Adviser by reason of brokerage commissions generated by the Funds' turnover. The Trustees also considered benefits to BB&TAM's affiliates, including brokerage commissions received by Scott & Stringfellow for executing trades on behalf of the Special Opportunities Equity Fund and the Equity Income Fund and sub-advisory fees received by its affiliate, Sterling Capital, for its management of the Mid Cap Value Fund and the Total Return Bond Fund. With respect to Scott & Stringfellow, the Trustees noted that brokerage commissions were paid at a standard commission rate, which was consistent with that used by the Adviser with respect to all equity funds of the Trust and that such brokerage arrangements were considered by the Sub-Adviser to be advantageous. Consideration of the reasonableness of advisory fees also took into account, where relevant, the profitability of the Advisers. In determining whether all other investment advisory and sub-advisory fees (collectively, the "investment advisory fees") were reasonable, the Trustees reviewed profitability information provided by the Adviser, Scott & Stringfellow and Sterling Capital with respect to investment advisory services. With respect to such information, the Trustees recognized that such profitability data was generally unaudited and represented an Adviser's own determination of its and its affiliates' revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and were calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory and sub-advisory contracts, because comparative information is not generally publicly available and is affected by numerous factors. Based on their review, the Trustees concluded that the profitability to BB&TAM and its affiliates as a result of their relationships with the Funds was acceptable. With respect to non-affiliated Sub-Adviser profitability, the Trustees noted that while information regarding the profitability of non-affiliated Sub-Advisers was not available, it also was not helpful in assessing the continuance of the Advisory Agreements. The Board also concluded that the fees under the Advisory Agreements were fair and reasonable, in light of the services and benefits provided to each Fund. Economies of Scale The Trustees also considered whether fee levels reflect economies of scale and whether economies of scale would be produced by the growth of the Trust's assets. The Trustees found that the Adviser over the last two years, had generally reduced fund total expense ratios through contract negotiations and fee waivers. The Trustees found that fee waivers entered into by the Adviser allowed investors to enjoy economies of scale appropriately and concluded that contractual breakpoints would not necessarily be required at this time to assure that future economies of scale, when and if achieved, would be shared with shareholders based on the Adviser's current record of responsible action in this regard. 163 BB&T Funds INFORMATION ABOUT TRUSTEES AND OFFICERS (UNAUDITED) Overall responsibility for the management of the Funds rests with its Board of Trustees' ("Trustees"), who are elected by the Shareholders of the BB&T Funds ("Funds"). The Trustees' elect the officers of the Funds to supervise actively its day-to-day operations. The names of the Trustees', their addresses, birthdate, Term of office and length of time served, principal occupations during the past five years, number of portfolios overseen and directorships held outside of the Funds are set below:
NUMBER OF TERM OF PORTFOLIOS POSITION(S) OFFICE/ IN FUND HELD WITH LENGTH OF PRINCIPAL OCCUPATION COMPLEX NAME, ADDRESS AND BIRTHDATE BB&T FUNDS TIME SERVED DURING THE PAST 5 YEARS BY TRUSTEE ---------------------------------- ------------ ------------ ------------------------------------- ---------- Thomas W. Lambeth ................ Trustee, Indefinite, From January 2001 to present, Senior 31 700 Yorkshire Road Chairman of 8/92 - Fellow, Z. Smith Reynolds Foundation; Winston-Salem, NC 27106 the Board of Present From 1978 to January 2001, Executive Birthdate: 1/35 Trustees Director, Z. Smith Reynolds Foundation. Drew T. Kagan .................... Trustee Indefinite, From December 2003 to present, 31 Montecito Advisors, Inc. 8/00 - President and Director, Montecito 810 N. Jefferson St., Ste 101. Present Advisors, Inc; from March 1996 to Lewisburg, WV 24901 December 2003, President, Investment Birthdate: 2/48 Affiliate, Inc. Laura C. Bingham ................. Trustee Indefinite, From July 1998 to present, President 31 Peace College 2/01 - of Peace College. Office of the President Present 15 East Peace Street Raleigh, NC 27604-1194 Birthdate: 11/56 Douglas R. Van Scoy .............. Trustee Indefinite, Retired; From November 1974 to July 31 841 Middle St. 5/04 - 2001, Deputy Director of Private Sullivans Island, SC 26481 Present Client Group and Senior Executive Birthday: 11/43 Vice President of Smith Barney (investment banking). James L. Roberts ................. Trustee Indefinite, Retired; From January 1999 to 31 207 Highland Terrace 11/04 - December 2003 President, CEO and Breckenridge, CO 80424 Present Director, Covest Bancshares, Inc. Birthday: 11/42
The following table shows information for trustees who are "interested Persons" of BB&T Funds as defined in the 1940 Act:
TERM OF POSITION(S) OFFICE/ HELD WITH LENGTH OF PRINCIPAL OCCUPATION OVERSEEN NAME, ADDRESS AND BIRTHDATE BB&T TIME SERVED DURING THE PAST 5 YEARS COMPLEX ---------------------------------- ------------ ------------ ------------------------------------- ---------- *Keith F. Karlawish .............. Trustee and Indefinite, From May 2002 to present, President, 31 434 Fayetteville Street, 5th Floor President 6/06 - BB&T Asset Management, Inc.; from Raleigh, NC 27601 Present 2/05 1996 to 2002, Senior Vice President Birthdate: 8/64 - Present and Director of Fixed Income, BB&T Asset Management, Inc.
* Mr. Karlawish is treated by the Funds as an "interested person" (as defined in Section 2(a)(19) of the 1940 Act) of the Funds. Mr. Karlawish is an "interested person" because he owns shares of BB&T Corporation and is the President of BB&T Asset Management, Inc., the Adviser. 164 BB&T Funds INFORMATION ABOUT TRUSTEES AND OFFICERS (UNAUDITED), CONTINUED The following table shows information for officers of BB&T Funds:
TERM OF POSITION(S) OFFICE/ HELD WITH LENGTH OF PRINCIPAL OCCUPATION NAME AND BIRTHDATE BB&T FUNDS TIME SERVED DURING THE PAST 5 YEARS ---------------------------------- ------------ ------------ ------------------------------------- E.G. Purcell, III ................ Vice Indefinite, From 1995 to present, Senior Vice Birthdate: 1/55 President 11/00 - President, BB&T Asset Present Management, Inc. and its predecessors James T. Gillespie ............... Vice Indefinite, From February 2005 to present, Birthdate: 11/66 President 5/02 - Vice President of BB&T Asset Present Management, Inc.; from 1992 to 2005, Director, BISYS Fund Services Todd M. Miller ................... Vice Indefinite, From June 2005 to Present, Birthdate: 9/71 President 8/05 - Investment Officer and Mutual Present Fund Administrator, BB&T Asset Management, Inc.; from May 1993 to May 2005, Manager, BISYS Fund Services Rodney Ruehle .................... Anti-Money Indefinite, From August 1995 to present, Birthdate: 4/68 Laundering 2/06 - Fund Compliance Officer, BISYS Officer and Present Fund Services Chief Compliance Officer Troy A. Sheets ................... Treasurer Indefinite, From April 2002 to present, Vice Birthdate: 5/71 5/02 - President, BISYS Fund Services; Present from September 1993 to April 2002, Senior Manager, KPMG LLP Christopher E. Sabato ............ Assistant Indefinite From February 1993 to present, Birthdate: 12/68 Treasurer 11/02 - Vice President, BISYS Fund Present Services
The Funds' Statement of Additional Information includes information about the Funds' Trustees. To receive your free copy of the Statement of Additional Information, call toll free: 1-800-453-7348. 165 ANNUAL REPORT September 30, 2006 INVESTMENT ADVISER BB&T Asset Management, Inc. P.O. Box 29575 Raleigh, NC 27626-0575 DISTRIBUTOR BB&T Funds Distributors, Inc. 3435 Stelzer Road Columbus, Ohio 43219 LEGAL COUNSEL Ropes & Gray LLP One Metro Center 700 12th Street, N.W. Suite 900 Washington D. C. 20005 TRANSFER AGENT BISYS Fund Services Ohio, Inc. 3435 Stelzer Road Columbus, Ohio 43219 AUDITORS KPMG LLP 191 W. Nationwide Blvd. Suite 500 Columbus, OH 43215 11/06