N-CSRS 1 a2137265zn-csrs.txt N-CSRS ----------------------------- OMB APPROVAL ----------------------------- OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response....... 5.0 ----------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-05309 --------------------------------------------- First American Investment Funds, Inc. ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 800 Nicollet Mall Minneapolis, MN 55402 ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Joseph M. Ulrey III 800 Nicollet Mall Minneapolis, MN 55402 ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 800-677-3863 ---------------------------- Date of fiscal year end: September 30, 2004 -------------------------- Date of reporting period: March 31, 2004 ------------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. Item 1. Report to Shareholders [GRAPHIC] [FIRST AMERICAN FUNDS(TM) LOGO] 2004 SEMIANNUAL REPORT INCOME FUNDS [GRAPHIC] "NOTHING BUT HARMONY, HONESTY, INDUSTRY, AND FRUGALITY ARE NECESSARY TO MAKE US A GREAT AND HAPPY PEOPLE." GEORGE WASHINGTON JANUARY 29, 1789 FIRST AMERICAN FUNDS OUR IMAGE-GEORGE WASHINGTON HIS RICH LEGACY AS PATRIOT AND LEADER IS WIDELY RECOGNIZED AS EMBODYING THE SOUND JUDGMENT, RELIABILITY, AND STRATEGIC VISION THAT ARE CENTRAL TO OUR BRAND. FASHIONED IN A STYLE REMINISCENT OF AN 18TH CENTURY ENGRAVING, THE ILLUSTRATION CONVEYS THE SYMBOLIC STRENGTH AND VITALITY OF WASHINGTON, WHICH ARE ATTRIBUTES THAT WE VALUE AT FIRST AMERICAN FUNDS. MUTUAL FUND INVESTING INVOLVES RISK; PRINCIPAL LOSS IS POSSIBLE. NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE FIRST AMERICAN FUNDS ONLINE @ firstamericanfunds.com Visit the First American Funds website for useful information on each of our funds, including fund prices, performance, fund management bios, dividends, and downloadable fact sheets. You'll also find college and retirement planning tools and general investor education. [GRAPHIC] ONLINE FEATURES AND FUNCTIONALITY INCLUDE: - The ability to deepen your understanding of the fund family by learning about the full range of investment choices available to you through First American Funds - The ability to educate yourself through market and investment strategy commentaries We stand behind our commitment to serve you with excellence. For more information, call First American Investor Services at 800.677.FUND or visit firstamericanfunds.com. Table of Contents Schedule of Investments 2 Statements of Assets and Liabilities 40 Statements of Operations 42 Statements of Changes in Net Assets 44 Financial Highlights 46 Notes to Financial Statements 52
1 SCHEDULE OF INVESTMENTS March 31, 2004 (unaudited) CORE BOND FUND
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 32.2% ADJUSTABLE RATE (a) - 1.8% FHLMC Pool 3.450%, 04/01/29, #847190 (b) $ 5,292 $ 5,468 3.537%, 03/01/30, #847180 7,190 7,397 3.444%, 07/01/30, #847240 7,784 8,063 FNMA Pool 3.317%, 08/01/30, #555843 (b) 16,781 17,298 GNMA Pool 4.750%, 08/20/23, #8259 4 5 ------------ 38,231 ------------ FIXED RATE - 30.4% FHLMC Gold Pool 4.000%, 10/01/10, #M80855 17,794 18,109 6.500%, 05/01/17, #G11272 (b) 7,745 8,225 5.000%, 05/01/18, #E96700 17,257 17,764 6.500%, 01/01/28, #G00876 (b) 3,360 3,549 6.500%, 09/01/28, #C14872 (b) 4,415 4,648 6.500%, 11/01/28, #C00676 (b) 6,308 6,640 6.500%, 12/01/28, #C00689 4,380 4,611 6.500%, 04/01/29, #C00742 2,733 2,877 6.500%, 01/01/30, #C55738 2,527 2,659 6.500%, 11/01/30, #G01149 550 579 6.500%, 02/01/31, #C47895 174 183 6.500%, 03/01/31, #G01244 6,742 7,097 6.500%, 05/01/31, #C51020 3,398 3,574 6.000%, 11/01/33, #A15521 10,397 10,817 FHLMC Pool 7.500%, 04/01/07, #140151 2 2 FNMA Pool 7.750%, 06/01/08, #001464 21 22 3.790%, 07/01/13, #386314 (b) 26,773 26,385 6.255%, 09/01/13, #360500 6,500 7,424 5.500%, 02/01/14, #440780 6,474 6,781 7.000%, 02/01/15, #535206 1,757 1,883 7.000%, 08/01/16, #591038 4,335 4,639 5.500%, 12/01/17, #673010 11,301 11,781 6.000%, 12/01/17, #254547 (b) 12,027 12,676 4.500%, 05/01/18, #695854 (b) 23,408 23,759 5.000%, 06/01/18, #555545 (b) 13,498 13,894 5.000%, 11/01/18, #750989 29,220 30,069 6.000%, 10/01/22, #254513 (b) 11,111 11,668 7.000%, 04/01/26, #340798 1,560 1,660 7.000%, 05/01/26, #250551 1,293 1,377 6.500%, 05/01/28, #415794 1,967 2,070 6.000%, 12/01/28, #456276 3,757 3,919 6.500%, 02/01/29, #252255 5,431 5,716 6.500%, 03/01/29, #490758 4,070 4,283 6.500%, 07/01/29, #252570 2,860 3,009 6.500%, 08/01/29, #252645 22 23 6.500%, 05/01/30, #535300 1,983 2,086 6.500%, 02/01/31, #568895 166 174 6.500%, 02/01/32, #627117 20,467 21,515 6.500%, 06/01/32, #545691 3,668 3,856 7.000%, 07/01/32, #254379 10,070 10,688 7.000%, 07/01/32, #545813 (b) 4,107 4,360 7.000%, 07/01/32, #545815 (b) 3,008 3,193 6.500%, 12/01/32, #669168 (b) 8,616 9,057 6.000%, 03/01/33, #688330 17,732 18,471 5.500%, 04/01/33, #694605 (b) 19,070 19,573 5.500%, 06/01/33, #709033 (b) 21,571 22,140 5.500%, 06/01/33, #709203 (b) 7,566 7,761 5.500%, 07/01/33, #709446 (b) 19,610 20,127 5.500%, 07/01/33, #720735 (b) $ 11,668 $ 11,969 5.500%, 07/01/33, #728667 (b) 8,080 8,288 5.500%, 08/01/33, #728855 (b) 18,410 18,884 5.500%, 08/01/33, #733380 (b) 19,249 19,744 6.000%, 11/01/33, #772130 1,668 1,738 6.000%, 11/01/33, #772256 2,197 2,288 5.500%, 12/01/33, #751018 19,913 20,425 5.500%, 12/01/33, #756202 13,134 13,473 6.000%, 12/01/33, #756200 11,366 11,840 5.500%, 01/01/34, #255028 25,178 25,826 FNMA TBA 6.500%, 01/01/34 (c) 16,500 17,325 5.000%, 04/01/34 (c) 41,790 41,973 6.500%, 04/01/34 (c) 22,200 23,310 GNMA Pool 7.500%, 11/15/30, #537699 (b) 2,534 2,725 6.000%, 11/15/33, #612374 19,702 20,595 ------------ 647,776 ------------ TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $677,437) 686,007 ------------ U.S. GOVERNMENT & AGENCY SECURITIES - 26.7% U.S. AGENCY DEBENTURES - 16.1% FHLB 1.625%, 06/15/05 29,010 29,105 1.875%, 06/15/06 40,000 39,987 FHLMC 2.375%, 02/15/07 (b) 20,000 20,098 4.875%, 03/15/07 (b) 20,000 21,501 3.250%, 02/25/08, Callable 02/25/05 @ 100 (b) 20,000 20,166 5.625%, 03/15/11 (b) 20,000 22,301 4.500%, 01/15/14 (b) 29,990 30,419 FNMA 1.750%, 06/16/06, Callable 06/16/04 @ 100 (b) 24,000 23,833 5.250%, 04/15/07 (b) 40,000 43,473 2.875%, 05/19/08, Callable 05/19/05 @ 100 (b) 21,700 21,564 6.375%, 06/15/09 (b) 20,000 23,010 7.250%, 01/15/10 (b) 19,745 23,695 5.250%, 08/01/12 24,000 25,428 ------------ 344,580 ------------ U.S. TREASURIES - 10.6% U.S. Treasury Bonds 6.875%, 08/15/25 (b) 17,450 22,298 6.000%, 02/15/26 (b) 27,000 31,307 6.125%, 11/15/27 (b) 26,155 30,851 5.500%, 08/15/28 (b) 15,000 16,357 5.250%, 11/15/28 (b) 35,000 36,952 5.375%, 02/15/31 (b) 34,145 37,213 U.S. Treasury Notes 1.875%, 01/31/06 (b) 4,050 4,077 2.250%, 02/15/07 (b) 35,995 36,299 3.000%, 02/15/09 (b) 6,742 6,817 4.000%, 02/15/14 (b) 3,595 3,642 ------------ 225,813 ------------ TOTAL U.S. GOVERNMENT & AGENCY SECURITIES (Cost $561,144) 570,393 ------------
The accompanying notes are an integral part of the financial statements. 2
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- CORPORATE BONDS - 22.3% CONSUMER GOODS - 1.4% Diageo Capital 3.500%, 11/19/07 (b) $ 7,465 $ 7,671 Kraft Foods 6.250%, 06/01/12 (b) 5,750 6,447 Miller Brewing 5.500%, 08/15/13 (b) (d) 2,655 2,823 Tyson Foods 7.250%, 10/01/06 3,755 4,082 8.250%, 10/01/11 (b) 6,500 7,700 ------------ 28,723 ------------ ENERGY - 3.2% Anadarko Finance, Series B 7.500%, 05/01/31 5,340 6,490 Duke Capital 5.500%, 03/01/14 7,000 7,085 Halliburton 5.500%, 10/15/10 (d) 6,160 6,517 Kerr-McGee 7.875%, 09/15/31 3,785 4,487 MidAmerican Energy Holdings 5.875%, 10/01/12 8,845 9,571 Nexen 5.050%, 11/20/13 5,805 5,948 Pemex Project 9.125%, 10/13/10 11,995 14,676 Pemex Project Funding Master Trust 7.375%, 12/15/14 (b) 5,795 6,398 Valero Energy 6.875%, 04/15/12 6,300 7,240 ------------ 68,412 ------------ FINANCE - 9.7% Bank of America 7.125%, 09/15/06 7,000 7,802 BankBoston 6.375%, 04/15/08 8,350 9,368 Boeing Capital 5.800%, 01/15/13 4,000 4,332 Capital One Bank 4.875%, 05/15/08 (b) 5,500 5,784 4.250%, 12/01/08 3,955 4,068 CIT Group 5.500%, 11/30/07 2,445 2,655 Core Investment Grade Trust 4.727%, 11/30/07 3,135 3,298 Countrywide Home Loans, Series L 4.000%, 03/22/11 (b) 11,405 11,275 Credit Suisse First Boston 5.875%, 08/01/06 7,000 7,576 First National Bank of Chicago 8.080%, 01/05/18 1,500 1,867 Ford Motor Credit 7.000%, 10/01/13 (b) 15,890 16,793 General Electric Capital 4.250%, 12/01/10 (b) 21,350 21,900 General Motors Acceptance 6.125%, 08/28/07 14,135 15,240 Goldman Sachs 5.500%, 11/15/14 8,550 9,110 Household Finance 4.625%, 01/15/08 (b) 10,135 10,711 International Lease Finance 4.500%, 05/01/08 (b) $ 9,600 $ 10,071 J. P. Morgan Chase 5.750%, 01/02/13 (b) 13,500 14,699 Lehman Brothers Holdings 4.800%, 03/13/14 7,590 7,638 Marsh & McLennan 7.125%, 06/15/09 9,000 10,544 Morgan Stanley 4.750%, 04/01/14 (b) 18,650 18,289 National Rural Utilities 7.250%, 03/01/12 3,250 3,882 Washington Mutual 4.000%, 01/15/09 10,360 10,594 ------------ 207,496 ------------ MANUFACTURING - 2.7% Centex 7.500%, 01/15/12 (b) 5,445 6,456 DaimlerChrysler 6.500%, 11/15/13 6,200 6,702 Ford Motor 7.450%, 07/16/31 (b) 4,950 4,951 General Motors 8.375%, 07/15/33 7,820 8,873 International Paper 4.000%, 04/01/10 (b) 7,300 7,262 Noranda 6.000%, 10/15/15 5,080 5,489 Weyerhaeuser 6.750%, 03/15/12 8,695 9,798 Wyeth 5.250%, 03/15/13 7,685 8,033 ------------ 57,564 ------------ REAL ESTATE - 0.6% Boston Properties (REIT) 6.250%, 01/15/13 (b) 6,000 6,645 EOP Operating 6.750%, 02/15/08 (b) 6,000 6,722 ------------ 13,367 ------------ SERVICES - 1.2% AOL Time Warner 6.875%, 05/01/12 (b) 4,015 4,570 7.700%, 05/01/32 2,655 3,150 AT&T Broadband 8.375%, 03/15/13 (b) 10,665 13,219 Duty Free International 7.000%, 01/15/04 (e) (f) 2,442 147 Liberty Media 3.500%, 09/25/06 3,715 3,773 ------------ 24,859 ------------ TRANSPORTATION - 0.6% CSX 5.500%, 08/01/13 6,300 6,667 Delta Air Lines, Series 2000-1, Cl A2 7.570%, 11/18/10 3,180 3,148 Hertz 7.625%, 06/01/12 3,300 3,556 ------------ 13,371 ------------
3
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- UTILITIES - 2.6% American Electric Power 5.250%, 06/01/15 (b) $ 3,750 $ 3,817 AT&T 8.050%, 11/15/11 6,000 7,006 6.500%, 03/15/13 (b) 2,000 2,178 8.750%, 11/15/31 3,560 4,170 AT&T Wireless Services 7.875%, 03/01/11 (b) 4,050 4,822 Deutsche Telecom 8.750%, 06/15/30 5,490 7,214 Duke Energy 6.450%, 10/15/32 5,970 6,354 Pacific Gas & Electric 6.050%, 03/01/34 2,430 2,454 Progress Energy 6.850%, 04/15/12 (b) 5,010 5,709 Sprint Capital 8.750%, 03/15/32 (b) 4,385 5,529 Verizon Global Funding 7.750%, 12/01/30 (b) 2,440 2,945 Verizon Wireless 5.375%, 12/15/06 3,300 3,556 ------------ 55,754 ------------ YANKEE - 0.3% Corporacion Andina De Fomento 5.200%, 05/21/13 5,545 5,699 ------------ TOTAL CORPORATE BONDS (Cost $458,724) 475,245 ------------ ASSET-BACKED SECURITIES - 9.8% AUTOMOBILES - 4.1% Capital Auto Receivables Asset Trust Series 2004-1, Cl A3 2.000%, 11/15/07 17,610 17,685 Capital One Auto Finance Trust Series 2001-A, Cl A4 5.400%, 05/15/08 10,000 10,278 Nissan Auto Receivables Owner Trust Series 2003-B, Cl A3 1.510%, 08/15/07 16,900 16,887 Onyx Acceptance Auto Trust Series 2003-D, Cl A3 2.400%, 12/15/07 2,625 2,643 Series 2004-A, Cl A3 2.190%, 03/17/08 13,575 13,623 WFS Financial Owner Trust Series 2003-2, Cl A3 1.760%, 01/21/08 12,025 12,041 World Omni Auto Receivables Trust Series 2001-B, Cl A4 4.490%, 08/20/08 13,000 13,324 ------------ 86,481 ------------ COMMERCIAL - 0.8% Bank of America - First Union NB Commercial Mortgages, Series 2001-3, Cl A1 4.890%, 04/11/37 8,835 9,195 Morgan Stanley Capital Investments Series 1999-FNV1, Cl A1 6.120%, 03/15/31 6,714 7,219 ------------ 16,414 ------------ CREDIT CARDS - 2.8% Bank One Issuance Trust Series 2002-A4, Cl A4 2.940%, 06/16/08 $ 25,000 $ 25,496 Capital One Multi-Asset Execution Trust Series 2003-A6, Cl A6 2.950%, 08/17/09 16,645 16,957 Citibank Credit Card Issuance Trust Series 2003-A2, Cl A2 2.700%, 01/15/08 11,825 12,015 Series 2003-A3, Cl A3 3.100%, 03/10/10 5,900 5,959 ------------ 60,427 ------------ EQUIPMENT LEASES - 1.1% CNH Equipment Trust Series 2003-A, Cl A2 1.460%, 02/15/06 8,320 8,326 Series 2003-B, Cl A3B 2.470%, 01/15/08 15,640 15,809 ------------ 24,135 ------------ HOME EQUITY - 1.0% Amresco Residential Security Mortgage Series 1997-3, Cl A9 6.960%, 03/25/27 2,968 2,977 Contimortgage Home Equity Loan Trust Series 1997-3, Cl A8 7.580%, 08/15/28 1,452 1,536 Countrywide Asset-Backed Certificates Series 2003-SC1, Cl M2 2.590%, 09/25/23 (a) (g) 5,000 5,023 Saxon Asset Securities Trust Series 2004-1, Cl A 1.361%, 03/25/35 (a) (g) 11,163 11,180 ------------ 20,716 ------------ TRANSPORTATION - 0.0% Northwest Airlines Series 1997-1, Cl 1C 7.039%, 07/02/08 261 209 ------------ TOTAL ASSET-BACKED SECURITIES (Cost $205,289) 208,382 ------------ CMO - PRIVATE MORTGAGE-BACKED SECURITIES - 8.0% ADJUSTABLE RATE (a) - 3.6% IMPAC CMB Trust Series 2003-12, Cl A1 1.470%, 12/25/33 (g) 13,776 13,812 Merrill Lynch Mortgage Investors Series 1995-C3, Cl A3 7.123%, 12/26/25 1,765 1,810 MLCC Mortgage Investors Series 2003-G, Cl A3 2.834%, 01/25/29 17,070 17,386 Series 2003-H, Cl A3A 2.886%, 01/25/29 (d) 5,324 5,450 Sequoia Mortgage Trust Series 2004-3, Cl A 1.400%, 05/20/34 (e) (g) 15,068 15,068 William Street Funding Corporation Series 2003-3, Cl A 1.650%, 10/23/09 (d) 23,000 22,990 ------------ 76,516 ------------
The accompanying notes are an integral part of the financial statements. 4
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- FIXED RATE - 4.4% Greenwich Capital Commercial Funding Series 2003-C1, Cl A2 3.285%, 07/05/35 $ 13,783 $ 13,645 GRP/AG Real Estate Asset Trust Series 2004-1, Cl A 3.960%, 03/25/09 (e) (g) (h) 2,914 2,912 Series 2003-1, Cl A 5.970%, 11/25/32 (e) (g) (h) 2,341 2,339 Nomura Asset Securities Series 1998-D6, Cl A1B 6.590%, 03/15/30 12,400 14,036 Residential Asset Mortgage Products Series 2003-SL1, Cl M1 7.319%, 04/25/31 9,092 9,928 Residential Asset Securitization Trust Series 2002-A12, Cl 1A1 5.200%, 11/25/32 11,624 11,831 Washington Mutual Series 2003-S10, Cl A2 5.000%, 10/25/18 15,856 16,175 Series 2001-AR6, Cl A5 5.603%, 01/26/32 5,117 5,175 Series 2002-AR4, Cl A7 5.598%, 04/25/32 4,174 4,207 Wells Fargo Mortgage Backed Securities Trust Series 2003-D, Cl A1 4.906%, 02/25/33 14,447 14,588 Westam Mortgage Financial Series 11, Cl A 6.360%, 08/29/20 196 196 ------------ 95,032 ------------ TOTAL CMO - PRIVATE MORTGAGE-BACKED SECURITIES (Cost $171,218) 171,548 ------------ CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 1.6% FIXED RATE - 1.4% FHLMC REMIC Series 1998-M1, Cl A2 6.250%, 01/25/08 6,573 7,196 Series 6, Cl C 9.050%, 06/15/19 73 73 Series 1022, Cl J 6.000%, 12/15/20 97 97 Series 162, Cl F 7.000%, 05/15/21 297 298 Series 188, Cl H 7.000%, 09/15/21 675 674 Series 1790, Cl A 7.000%, 04/15/22 273 287 Series 1723, Cl PJ 7.000%, 02/15/24 7,057 7,250 Series 1699, Cl TD 6.000%, 03/15/24 10,000 10,316 FNMA REMIC Series 1988-24, Cl G 7.000%, 10/25/18 163 174 Series 1989-44, Cl H 9.000%, 07/25/19 130 144 Series 1989-90, Cl E 8.700%, 12/25/19 22 24 Series 1990-30, Cl E 6.500%, 03/25/20 103 109 DESCRIPTION PAR (000)/SHARES/CONTRACTS VALUE (000) ---------------------------------------------------------------------------------------- Series 1990-61, Cl H 7.000%, 06/25/20 $ 110 $ 117 Series 1990-72, Cl B 9.000%, 07/25/20 69 76 Series 1990-102, Cl J 6.500%, 08/25/20 109 116 Series 1990-105, Cl J 6.500%, 09/25/20 1,057 1,127 Series 1991-56, Cl M 6.750%, 06/25/21 402 426 Series 1992-120, Cl C 6.500%, 07/25/22 154 161 ------------ 28,665 ------------ Z-BONDS (i) - 0.2% FHLMC REMIC Series 1118, Cl Z 8.250%, 07/15/21 161 161 FNMA REMIC Series 1991-134, Cl Z 7.000%, 10/25/21 740 775 Series 1996-35, Cl Z 7.000%, 07/25/26 3,570 3,832 ------------ 4,768 ------------ TOTAL CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $30,688) 33,433 ------------ TREASURY OBLIGATION - 0.1% U.S. Treasury Bill 0.830%, 04/08/04 (j) 1,840 1,839 ------------ TOTAL TREASURY OBLIGATION (Cost $1,839) 1,839 ------------ COMMERCIAL PAPER - 1.1% UBS Financial 1.020%, 04/14/04 11,500 11,496 Yorktown Capital 1.030%, 04/05/04 11,500 11,499 ------------ TOTAL COMMERCIAL PAPER (Cost $22,994) 22,995 ------------ PUT OPTIONS PURCHASED - 0.0% Eurodollar 1 year Mid-Curve June 05 Futures Put, Expires 06/11/04, Exercise price $96.50 465 23 Eurodollar 1 year Mid-Curve June 05 Futures Put, Expires 06/11/04, Exercise price $97 460 63 Eurodollar 1 year Mid-Curve September 05 Futures Put, Expires 09/13/04, Exercise price $96.75 450 191 ------------ TOTAL PUT OPTIONS PURCHASED (Cost $760) 277 ------------ AFFILIATED MONEY MARKET FUND - 1.3% First American Prime Obligations Fund, Cl Z (k) 28,302,465 28,302 ------------ TOTAL AFFILIATED MONEY MARKET FUND (Cost $28,302) 28,302 ------------ INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 38.4% COMMERCIAL PAPER - 10.8% Bluegrass 1.160%, 11/18/04 $ 3,284 3,284 1.160%, 2/18/05 3,284 3,284
5
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- CIBC NY 1.110%, 9/09/04 $ 16,996 $ 16,996 Concord Min Capital 1.100%, 4/07/04 18,523 18,523 1.100%, 4/08/04 6,043 6,043 1.100%, 4/14/04 2,627 2,627 Descartes Funding Trust 1.150%, 11/15/04 6,569 6,569 Emerald Trust 1.063%, 5/06/04 6,562 6,562 Ford Credit Floor Plan 1.063%, 5/03/04 19,687 19,687 Goldman Sachs 1.163%, 1/18/05 6,568 6,568 Independent IV 1.048%, 10/15/04 8,539 8,539 Lakeside Funding 1.142%, 4/08/04 15,042 15,042 Leafs 1.339%, 4/20/04 9,064 9,064 Lehman Brothers 1.133%, 7/23/04 4,598 4,598 1.123%, 8/23/04 3,284 3,284 Moat Funding 1.157%, 5/05/04 13,124 13,124 Morgan Stanley 1.054%, 6/11/04 6,568 6,568 Mortgage Interest Network 1.062%, 4/27/04 6,563 6,563 1.042%, 5/11/04 6,561 6,561 1.063%, 6/07/04 6,556 6,556 Norddeutsche Landesbank 1.110%, 9/09/04 6,537 6,537 Orchard Park 1.180%, 7/06/04 14,189 14,189 1.200%, 10/06/04 4,598 4,598 Park Granada 1.083%, 4/07/04 5,910 5,910 1.063%, 4/13/04 3,940 3,940 1.063%, 4/13/04 10,506 10,506 1.063%, 5/06/04 1,969 1,969 Sigma Finance 1.157%, 5/04/04 13,124 13,124 ------------ TOTAL COMMERCIAL PAPER 230,815 ------------ CORPORATE OBLIGATIONS - 8.5% Allstate Life Global 1.040%, 2/15/05 13,137 13,137 Castle Hill III 1.211%, 9/16/04 3,941 3,941 Duke Funding VI 1.180%, 4/08/05 7,948 7,948 General Electric Capital Corporation 1.139%, 4/08/05 6,577 6,577 Jefferson Pilot 1.062%, 2/17/05 6,568 6,568 Metlife Global Funding 1.137%, 3/28/05 5,518 5,518 0.991%, 4/15/05 7,883 7,883 Merrill Lynch 1.063%, 4/04/05 13,136 13,136 Morgan Stanley 1.137%, 3/24/05 6,568 6,568 DESCRIPTION PAR (000)/SHARES VALUE (000) ---------------------------------------------------------------------------------------- Northlake CDO 1.205%, 3/07/05 $ 3,941 $ 3,941 Premium Asset Trust 1.254%, 6/01/04 19,574 19,574 1.037%, 12/22/04 9,852 9,852 Residential Mortgage Securities 1.102%, 9/11/04 9,223 9,223 Sigma Finance 1.143%, 8/09/04 13,135 13,135 SMM Trust 2003-H 1.183%, 9/23/04 16,997 16,997 Societe Generale NYC 1.148%, 12/08/04 13,137 13,137 WestDeutsche LandesBank 1.220%, 6/03/04 10,509 10,509 1.150%, 8/02/04 13,137 13,137 ------------ TOTAL CORPORATE OBLIGATIONS 180,781 ------------ MONEY MARKET FUNDS - 0.5% AIM Short Term Liquid Asset Portfolio 1,970,533 1,971 Merrill Lynch Premier Institutional Fund 8,253,008 8,253 ------------ TOTAL MONEY MARKET FUNDS 10,224 ------------ OTHER SHORT-TERM INVESTMENTS - 2.2% Commonwealth Life 1.303%, 4/1/04 $ 6,632 6,632 General Electric Capital Assurance 1.200%, 1/19/05 2,627 2,627 HBOS Treasury Services 1.020%, 3/01/05 7,217 7,217 Liquid Funding 1.065%, 8/23/04 6,568 6,568 0.488%, 9/14/04 6,569 6,569 Security Life Denver 1.270%, 7/13/04 17,078 17,078 ------------ TOTAL OTHER SHORT-TERM INVESTMENTS 46,691 ------------ REPURCHASE AGREEMENTS - 16.4% Bear Stearns 1.200%, dated 3/31/04, matures 4/20/04, repurchase price $26,291,290 (collateralized by Various Securities: Total Market Value $27,424,174) 26,274 26,274 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $7,619,625 (collateralized by U.S. Government Securities: Total Market Value $7,771,793) 7,619 7,619 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $9,852,963 (collateralized by U.S. Government Securities: Total Market Value $10,050,211) 9,853 9,853 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $36,127,533 (collateralized by U.S. Government Securities: Total Market Value $36,849,343) 36,126 36,126 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $4,598,067 (collateralized by Collateralized Mortgage Obligations: Total Market Value $4,827,986) 4,598 4,598
The accompanying notes are an integral part of the financial statements. 6
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $9,196,134 (collateralized by Collateralized Mortgage Obligations: Total Market Value $9,655,802) $ 9,196 $ 9,196 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $10,509,867 (collateralized by Collateralized Mortgage Obligations: Total Market Value $11,035,356) 10,510 10,510 Deutsche Bank 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $13,137,281 (collateralized by U.S. Government Securities: Total Market Value $13,399,625) 13,137 13,137 Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $2,627,456 (collateralized by U.S. Government Securities: Total Market Value $2,679,925) 2,627 2,627 Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $14,451,009 (collateralized by U.S. Government Securities: Total Market Value $14,739,587) 14,451 14,451 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $3,941,199 (collateralized by Corporate Securities: Total Market Value $4,062,956) 3,941 3,941 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $9,196,131 (collateralized by Corporate Securities: Total Market Value $9,480,230) 9,196 9,196 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $13,137,329 (collateralized by Corporate Securities: Total Market Value $13,543,317) 13,137 13,137 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $37,441,389 (collateralized by Corporate Securities: Total Market Value $38,598,081) 37,440 37,440 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $6,568,676 (collateralized by Corporate Securities: Total Market Value $6,702,522) 6,568 6,568 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $6,568,676 (collateralized by Corporate Securities: Total Market Value $6,771,598) 6,568 6,568 J P Morgan 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $6,831,388 (collateralized by U.S. Government Securities: Total Market Value $6,968,231) 6,831 6,831 Lehman Brothers 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $32,843,202 (collateralized by Various Securities: Total Market Value $33,499,603) 32,842 32,842 Lehman Brothers 1.200%, dated 3/31/04, matures 4/1/04, repurchase price $4,598,064 (collateralized by Corporate Securities: Total Market Value $5,273,520) $ 4,598 $ 4,598 Lehman Brothers 1.243%, dated 3/31/04, matures 4/1/04, repurchase price $26,274,681 (collateralized by Various Securities: Total Market Value $26,799,249) 26,274 26,274 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $5,911,778 (collateralized by U.S. Government Securities: Total Market Value $6,029,831) 5,911 5,911 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $10,509,827 (collateralized by U.S. Government Securities: Total Market Value $10,761,707) 10,510 10,510 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $11,823,556 (collateralized by U.S. Government Securities: Total Market Value $12,115,447) 11,823 11,823 Morgan Stanley 1.133%, dated 3/31/04, matures 4/1/04, repurchase price $40,857,003 (collateralized by Collateralized Mortgage Obligations & Asset-Backed Securities: Total Market Value $43,057,652) 40,856 40,856 ------------ TOTAL REPURCHASE AGREEMENTS 350,886 ------------ TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $819,397) 819,397 ------------ TOTAL INVESTMENTS - 141.5% (Cost $2,977,792) 3,017,818 ------------ OTHER ASSETS AND LIABILITIES, NET - (41.5)% (885,369) ------------ TOTAL NET ASSETS - 100.0% $ 2,132,449 ------------
(a) Variable Rate Security - The rate shown is the rate in effect as of March 31, 2004. (b) This security or a portion of this security is out on loan at March 31, 2004. Total loaned securities had a value of $801,192,927 at March 31, 2004. See note 2 in Notes to Financial Statements. (c) Security purchased on a when-issued basis. On March 31, 2004, the total cost of investments purchased on a when-issued basis was $82,841,948 or 3.9% of total net assets. See note 2 in Notes to Financial Statements. (d) Security sold within the terms of a private placement memorandum, exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional buyers." These securities have been determined to be liquid under the guidelines established by the Funds' board of directors. As of March 31, 2004, the value of these investments was $37,779,800 or 1.8% of total net assets. See note 2 in Notes to Financial Statements. (e) Securities considered illiquid or restricted. As of March 31, 2004, the value of these investments was $20,465,697 or 1.0% of total net assets. See note 2 in Notes to Financial Statements. (f) Security is fair valued. As of March 31, 2004, the fair value of these investments was $146,545 or 0.0% of total net assets. See note 2 in Notes to Financial Statements. (g) Delayed Interest (Step-Bonds) - Represents securities that remain zero-coupon securities until a predetermined date at which time the stated coupon rate becomes effective and interest becomes payable at regular intervals. Interest rate shown represents current yield at March 31, 2004, based upon the estimated timing and amount of future interest and principal payments. 7 (h) This is a Rule 144A security that has been deemed illiquid. Due to the lack of an available price from an independent pricing service, the security is priced through an independent broker. See note 2 in Notes to Financial Statements. (i) Z-Bonds - Represents securities that pay no interest or principal during their accrual periods, but accrue additional principal at specified rates. Interest rate shown represents current yield based upon the cost basis and estimated future cash flows. (j) Security has been deposited as inital margin on open futures contracts. Yield shown is effective yield at date of purchase. See note 2 in Notes to Financial Statements. (k) Investment in affiliated security. This money market fund is advised by U.S. Bancorp Asset Management, Inc., which also serves as advisor for this Fund. See note 3 in Notes to Financial Statements. Cl - Class CMO - Collateralized Mortgage Obligation FHLMC - Federal Home Loan Mortgage Corporation FHLB - Federal Loan Home Bank FNMA - Federal National Mortgage Association GNMA - Government National Mortgage Association REIT - Real Estate Investment Trust REMIC - Real Estate Mortgage Investment Conduit TBA - To Be Announced CORPORATE BOND FUND
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- CORPORATE BONDS - 90.7% CONSUMER GOODS - 4.0% Altria Group 7.000%, 11/04/13 (a) $ 980 $ 1,081 American Greetings 6.100%, 08/01/28 1,485 1,526 Delhaize America 9.000%, 04/15/31 490 599 General Mills 6.000%, 02/15/12 950 1,044 Kraft Foods 6.250%, 06/01/12 2,470 2,770 Kroger 7.500%, 04/01/31 980 1,155 Miller Brewing 5.500%, 08/15/13 (a) (b) 645 686 Toys R US 7.875%, 04/15/13 885 946 Tyson Foods 8.250%, 10/01/11 1,485 1,759 ------------ 11,566 ------------ ENERGY - 9.7% Anadarko Finance, Series B 7.500%, 05/01/31 980 1,191 Amerada Hess 7.300%, 08/15/31 1,240 1,336 ConocoPhillips 3.625%, 10/15/07 1,500 1,550 Consumers Energy, Series B 5.375%, 04/15/13 980 1,007 Duke Capital 4.370%, 03/01/09 (a) 920 932 El Paso Natural Gas, Callable 08/01/07 @ 103.81 7.625%, 08/01/10 1,000 1,022 Halliburton 8.750%, 02/15/21 1,180 1,510 Kerr-McGee 7.875%, 09/15/31 1,230 1,458 Kinder Morgan 6.500%, 09/01/12 1,380 1,555 Marathon Oil 6.800%, 03/15/32 980 1,099 MidAmerican Energy Holdings 5.875%, 10/01/12 990 1,071 Nexen 5.050%, 11/20/13 900 922 Ocean Energy 4.375%, 10/01/07 1,990 2,082 Pemex Project 9.125%, 10/13/10 (a) 1,980 2,423 Pemex Project Funding Master Trust 6.125%, 08/15/08 990 1,069 7.375%, 12/15/14 (a) 4,000 4,416 Petrobas International 9.750%, 07/06/11 990 1,119 PPL Capital Funding 4.330%, 03/01/09 (b) 2,000 2,026 Williams 7.750%, 06/15/31 490 483 ------------ 28,271 ------------
The accompanying notes are an integral part of the financial statements. 8
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- FINANCE - 35.2% AXA 8.600%, 12/15/30 $ 980 $ 1,296 Bank of America 6.250%, 04/15/12 1,950 2,210 BB&T 5.200%, 12/23/15 1,485 1,539 Bear Stearns 7.800%, 08/15/07 1,950 2,276 Boeing Capital 5.800%, 01/15/13 1,485 1,608 Capital One Bank 6.500%, 06/13/13 985 1,082 CBA Capital Trust I, Callable 06/30/15 @ 100 5.805%, 12/31/49 (b) 985 1,043 Citigroup 5.625%, 08/27/12 1,470 1,604 Core Investment Grade Trust 4.727%, 11/30/07 3,550 3,734 Countrywide Home Loans, Series L 4.000%, 03/22/11 1,795 1,775 Credit Suisse First Boston 5.875%, 08/01/06 3,000 3,247 7.125%, 07/15/32 (a) 985 1,169 Deutsche Bank Financial 7.500%, 04/25/09 2,000 2,367 First American Capital Trust I 8.500%, 04/15/12 740 855 Ford Motor Credit 6.500%, 01/25/07 3,950 4,226 7.250%, 10/25/11 3,400 3,683 7.000%, 10/01/13 (a) 1,480 1,564 Fund American Companies 5.875%, 05/15/13 1,880 1,980 General Electric Capital 4.250%, 12/01/10 1,970 2,021 General Motors Acceptance 6.125%, 08/28/07 3,985 4,297 6.875%, 09/15/11 (a) 2,020 2,190 Goldman Sachs 5.500%, 11/15/14 2,470 2,632 Goldman Sachs Capital I 6.345%, 02/15/34 (a) 1,500 1,524 Highmark 6.800%, 08/15/13 (b) 985 1,105 Household Finance 4.625%, 01/15/08 3,350 3,540 7.000%, 05/15/12 1,500 1,759 HSBC Capital Funding, Callable 06/30/10 @ 100 9.547%, 12/31/49 (b) 1,190 1,545 ING Capital Funding Trust III, Callable 12/31/10 @ 100 8.439%, 12/31/10 1,500 1,868 International Lease Finance 4.500%, 05/01/08 1,970 2,067 J. P. Morgan Chase 5.750%, 01/02/13 (a) 3,600 3,920 John Deere Capital 7.000%, 03/15/12 1,965 2,322 Key Bank 7.000%, 02/01/11 (a) 1,830 2,129 Lehman Brothers Holdings 4.000%, 01/22/08 $ 2,550 $ 2,648 Marsh & McLennan 7.125%, 06/15/09 1,375 1,611 MBNA 6.250%, 01/17/07 1,480 1,623 Merrill Lynch, Series C 4.125%, 01/15/09 2,950 3,048 Morgan Stanley 6.100%, 04/15/06 1,975 2,136 4.750%, 04/01/14 3,210 3,148 NB Capital Trust IV, Callable 04/15/17 @ 103.85 8.250%, 04/15/27 2,100 2,542 Newcourt Credit Group, Series B 6.875%, 02/16/05 1,475 1,544 North Fork Bancorp 5.875%, 08/15/12 1,975 2,167 Popular North America 3.875%, 10/01/08 1,470 1,508 Safeco Capital Trust I, Callable 07/15/07 @ 104.04 8.072%, 07/15/37 2,000 2,349 SOC General Real Estate, Callable 09/30/07 @ 100 7.640%, 12/29/49 (b) (c) 1,465 1,684 Washington Mutual 4.000%, 01/15/09 (a) 1,570 1,605 Washington Mutual Finance 6.250%, 05/15/06 (a) 980 1,066 Wells Fargo, Callable 12/15/06 @ 103.98 7.960%, 12/15/26 2,000 2,310 Zurich Capital Trust, Callable 06/01/07 @ 104.19 8.376%, 06/01/37 (b) 985 1,155 ------------ 102,321 ------------ MANUFACTURING - 11.6% Alcan 5.200%, 01/15/14 (a) 985 1,033 American Standard 7.375%, 04/15/05 980 1,027 Boise Cascade, Callable 11/01/08 @ 103.50 7.000%, 11/01/13 980 1,048 Case New Holland, Callable 08/01/07 @ 104.63 9.250%, 08/01/11 (b) 495 559 Corning 5.900%, 03/15/14 980 970 D. R. Horton 5.000%, 01/15/09 990 1,025 DaimlerChrysler 4.750%, 01/15/08 (a) 2,950 3,073 6.500%, 11/15/13 1,750 1,892 Dow Chemical 6.000%, 10/01/12 (a) 990 1,087 Eastman Chemical 6.300%, 11/15/18 980 1,054 Ford Motor 7.450%, 07/16/31 (a) 1,555 1,555 General Motors 8.375%, 07/15/33 1,950 2,213 Goodrich 7.625%, 12/15/12 (a) 1,085 1,297
9
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Hovnanian Enterprises 6.500%, 01/15/14 $ 490 $ 501 International Paper 5.850%, 10/30/12 (a) 1,960 2,106 L-3 Communications, Callable 07/15/08 @ 103.06 6.125%, 07/15/13 (a) 440 453 Lockheed Martin 8.500%, 12/01/29 1,230 1,644 Massey Energy, Callable 11/15/07 @ 103.31 6.625%, 11/15/10 490 503 Noranda 6.000%, 10/15/15 975 1,054 Phelps Dodge 8.750%, 06/01/11 (a) 910 1,137 Thermo Electron 7.625%, 10/30/08 1,460 1,709 Tyco International 6.000%, 11/15/13 (b) 980 1,038 Universal 5.200%, 10/15/13 980 1,005 Weyerhaeuser 6.750%, 03/15/12 (a) 2,500 2,817 Wyeth 5.250%, 03/15/13 1,740 1,819 ------------ 33,619 ------------ REAL ESTATE - 1.7% Boston Properties (REIT) 6.250%, 01/15/13 (a) 985 1,091 Heritage Property Investment Trust (REIT) 5.125%, 04/15/14 (b) 1,000 997 Post Apartment Homes 6.850%, 03/16/15 1,075 1,105 Simon Property Group (REIT) 7.750%, 01/20/11 1,450 1,733 ------------ 4,926 ------------ SERVICES - 11.2% Allied Waste North America, Callable 04/15/08 @ 103.94 7.875%, 04/15/13 740 807 AOL Time Warner 6.125%, 04/15/06 (a) 980 1,054 7.625%, 04/15/31 (a) 1,975 2,313 AT&T Broadband 8.375%, 03/15/13 (a) 2,000 2,479 Autonation 9.000%, 08/01/08 1,000 1,167 British Sky Broadcasting 8.200%, 07/15/09 1,375 1,662 Cablevision Systems 8.000%, 04/15/12 (b) 980 979 Cendant 6.875%, 08/15/06 (a) 2,000 2,207 Electronic Data Systems, Series B 6.000%, 08/01/13 (a) 1,000 972 HCA Columbia Healthcare 8.750%, 09/01/10 1,000 1,196 Lenfest Communications 8.375%, 11/01/05 975 1,069 Liberty Media 5.700%, 05/15/13 1,470 1,529 Medco Health Solutions 7.250%, 08/15/13 $ 610 $ 690 MGM Mirage 8.375%, 02/01/11 (a) 1,000 1,155 News America 6.625%, 01/09/08 (a) 1,000 1,128 News America Holdings 7.750%, 01/20/24 980 1,154 Park Place Entertainment 8.125%, 05/15/11 1,000 1,142 PHH 7.125%, 03/01/13 (a) 980 1,124 Royal Caribbean Cruises 8.750%, 02/02/11 (a) 1,000 1,170 Starwood Hotels & Resorts 7.375%, 05/01/07 (a) 975 1,060 TCI Communications 8.750%, 08/01/15 1,000 1,282 Tricon Global Restaurant 7.650%, 05/15/08 1,000 1,155 Univision Communications 3.875%, 10/15/08 485 494 Viacom 6.625%, 05/15/11 1,735 1,995 Waste Management 6.875%, 05/15/09 1,290 1,479 ------------ 32,462 ------------ TRANSPORTATION - 1.8% American Airlines, Series 2001-1, Cl A2 6.817%, 05/23/11 (a) 750 690 Burlington Northern Santa Fe 7.950%, 08/15/30 (a) 985 1,273 Continental Airlines, Series 2001-1, Cl B 7.033%, 06/15/11 850 765 Delta Air Lines, Series 2001-1 7.711%, 09/18/11 750 634 Norfolk Southern 7.800%, 05/15/27 990 1,220 United Air Lines, Series 2000-1 8.030%, 07/01/11 1,861 633 ------------ 5,215 ------------ UTILITIES - 15.5% AES 7.750%, 03/01/14 (a) 750 748 Alliant Energy Resources 9.750%, 01/15/13 985 1,325 American Electric Power 5.250%, 06/01/15 (a) 985 1,003 AT&T 8.050%, 11/15/11 1,965 2,295 8.750%, 11/15/31 480 562 AT&T Wireless Services 7.500%, 05/01/07 985 1,118 British Telecom 8.375%, 12/15/10 1,975 2,445 Centerpoint Energy, Series B 7.875%, 04/01/13 1,245 1,436 Citizens Communications 8.500%, 05/15/06 1,000 1,094 Deutsche Telecom 8.500%, 06/15/10 (a) 1,480 1,815 8.750%, 06/15/30 1,485 1,951
The accompanying notes are an integral part of the financial statements. 10
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Duke Energy 6.450%, 10/15/32 $ 930 $ 990 FirstEnergy Series A 5.500%, 11/15/06 (a) 985 1,048 Series C 7.375%, 11/15/31 935 1,037 FPL Group Capital 7.625%, 09/15/06 1,975 2,221 France Telecom 9.500%, 03/01/31 490 660 Indianapolis Power & Light 6.600%, 01/01/34 (b) 985 1,048 Monongahela Power 5.000%, 10/01/06 980 1,000 Nextel Communications, Callable 10/31/08 @ 103.44 6.875%, 10/31/13 980 1,044 Northern State Power - Minnesota, Series B 8.000%, 08/28/12 680 854 Pacific Gas & Electric 6.050%, 03/01/34 350 354 Pepco Holdings 6.450%, 08/15/12 (a) 1,490 1,659 Plains All American Pipeline 5.625%, 12/15/13 (a) (b) 985 1,030 Progress Energy 7.000%, 10/30/31 1,000 1,112 PSEG Power 5.000%, 04/01/14 1,470 1,466 Qwest Capital Funding 7.750%, 08/15/06 (a) 960 960 Southern Capital Funding, Series A 5.300%, 02/01/07 720 776 Sprint Capital 8.375%, 03/15/12 (a) 1,670 2,031 8.750%, 03/15/32 1,235 1,557 Teco Energy 7.200%, 05/01/11 980 1,044 Verizon Global Funding 7.250%, 12/01/10 (a) 1,485 1,744 7.750%, 12/01/30 (a) 1,980 2,390 Verizon Wireless 5.375%, 12/15/06 980 1,056 Western Resources 9.750%, 05/01/07 1,000 1,156 7.125%, 08/01/09 1,000 1,108 ------------ 45,137 ------------ TOTAL CORPORATE BONDS (Cost $251,939) 263,517 ------------ U.S. GOVERNMENT & AGENCY SECURITIES - 3.5% U.S. AGENCY DEBENTURE - 0.7% FHLMC 5.750%, 01/15/12 1,700 1,907 ------------ U.S. TREASURIES - 2.8% U.S. Treasury Bond 5.375%, 02/15/31 (a) 2,885 3,144
DESCRIPTION PAR (000)/SHARES/CONTRACTS VALUE (000) ---------------------------------------------------------------------------------------- U.S. Treasury Notes 3.000%, 02/15/09 (a) $ 390 $ 395 2.625%, 03/15/09 1,000 993 4.000%, 02/15/14 (a) 3,600 3,647 ------------ 8,179 ------------ TOTAL U.S. GOVERNMENT & AGENCY SECURITIES (Cost $9,962) 10,086 ------------ ASSET-BACKED SECURITIES - 1.4% HOME EQUITY - 1.1% Ace Securities Series 2003-OP1, Cl M3 2.740%, 12/25/33 (c) 1,500 1,520 GRMT Mortgage Loan Trust Series 2001-1A, Cl M1 7.772%, 07/20/31 1,500 1,636 ------------ 3,156 ------------ MANUFACTURED HOUSING - 0.3% Green Tree Financial Series 1996-8, Cl A7 8.050%, 10/15/27 779 841 ------------ TOTAL ASSET-BACKED SECURITIES (Cost $3,780) 3,997 ------------ CMO - PRIVATE MORTGAGE-BACKED SECURITY - 1.0% ADJUSTABLE RATE (c) - 1.0% MLCC Mortgage Investors Series 2003-H, Cl A3A 2.886%, 01/25/29 (b) 2,955 3,025 ------------ TOTAL CMO - PRIVATE MORTGAGE-BACKED SECURITY (Cost $3,041) 3,025 ------------ PREFERRED STOCK - 0.2% UNITED STATES - 0.2% iStar Financial, Series G, Callable 12/19/08 @ 25 (REIT) 24,900 647 ------------ TOTAL PREFERRED STOCK (Cost $622) 647 ------------ TREASURY OBLIGATION - 0.2% U.S. Treasury Bill 0.830%, 04/08/04 (d) $ 475 475 ------------ TOTAL TREASURY OBLIGATION (Cost $475) 475 ------------ PUT OPTIONS PURCHASED - 0.0% Eurodollar 1 year Mid-Curve June 05 Futures Put, Expires 06/11/04, Exercise price $96.50 60 3 Eurodollar 1 year Mid-Curve June 05 Futures Put, Expires 06/11/04, Exercise price $97 60 8 Eurodollar 1 year Mid-Curve September 05 Futures Put, Expires 09/13/04, Exercise price $96.75 60 26 ------------ TOTAL PUT OPTIONS PURCHASED (Cost $100) 37 ------------ AFFILIATED MONEY MARKET FUND - 1.3% First American Prime Obligations Fund, C1 Z (e) 3,614,668 3,615 ------------ TOTAL AFFILIATED MONEY MARKET FUND (Cost $3,615) 3,615 ------------
11
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 19.1% COMMERCIAL PAPER - 5.4% Bluegrass 1.160%, 11/18/04 $ 223 $ 223 1.160%, 2/18/05 223 223 CIBC NY 1.110%, 9/09/04 1,152 1,152 Concord Min Capital 1.100%, 4/07/04 1,256 1,256 1.100%, 4/08/04 410 410 1.100%, 4/14/04 178 178 Descartes Funding Trust 1.150%, 11/15/04 445 445 Emerald Trust 1.063%, 5/06/04 445 445 Ford Credit Floor Plan 1.063%, 5/03/04 1,335 1,335 Goldman Sachs 1.163%, 1/18/05 445 445 Independent IV 1.048%, 10/15/04 579 579 Lakeside Funding 1.142%, 4/08/04 1,020 1,020 Leafs 1.339%, 4/20/04 615 615 Lehman Brothers 1.133%, 7/23/04 312 312 1.123%, 8/23/04 223 223 Moat Funding 1.157%, 5/05/04 890 890 Morgan Stanley 1.054%, 6/11/04 445 445 Mortgage Int Network 1.062%, 4/27/04 445 445 1.042%, 5/11/04 445 445 1.063%, 6/07/04 445 445 Norddeutsche Landesbank 1.110%, 9/09/04 443 443 Orchard Park 1.180%, 7/06/04 962 962 1.200%, 10/06/04 312 312 Park Granada 1.083%, 4/07/04 401 401 1.063%, 4/13/04 267 267 1.063%, 4/13/04 713 713 1.063%, 5/06/04 133 133 Sigma Finance 1.157%, 5/04/04 890 890 ------------ TOTAL COMMERCIAL PAPER 15,652 ------------ CORPORATE OBLIGATIONS - 4.2% Allstate Life Global 1.040%, 2/15/05 891 891 Castle Hill III 1.211%, 9/16/04 267 267 Duke Funding VI 1.180%, 4/08/05 539 539 General Electric Capital Corporation 1.139%, 4/08/05 446 446 Jefferson Pilot 1.062%, 2/17/05 445 445 Metlife Global Funding 1.137%, 3/28/05 374 374 0.991%, 4/15/05 535 535 DESCRIPTION PAR (000)/SHARES VALUE (000) ---------------------------------------------------------------------------------------- Merrill Lynch 1.063%, 4/04/05 $ 891 $ 891 Morgan Stanley 1.137%, 3/24/05 445 445 Northlake CDO 1.205%, 3/07/05 267 267 Premium Asset Trust 1.254%, 6/01/04 1,327 1,327 1.037%, 12/22/04 668 668 Residential Mortgage Securities 1.102%, 9/11/04 625 625 Sigma Finance 1.143%, 8/09/04 891 891 SMM Trust 2003-H 1.183%, 9/23/04 1,153 1,153 Societe Generale NYC 1.148%, 12/08/04 891 891 WestDeutsche LandesBank 1.220%, 6/03/04 713 713 1.150%, 8/02/04 891 891 ------------ TOTAL CORPORATE OBLIGATIONS 12,259 ------------ MONEY MARKET FUNDS - 0.2% AIM Short Term Liquid Asset Portfolio 133,623 133 Merrill Lynch Premier Institutional Fund 559,643 560 ------------ TOTAL MONEY MARKET FUNDS 693 ------------ OTHER SHORT-TERM INVESTMENTS - 1.1% Commonwealth Life 1.303%, 4/1/04 $ 450 450 General Electric Capital Assurance 1.200%, 1/19/05 178 178 HBOS Treasury Services 1.020%, 3/01/05 489 489 Liquid Funding 1.065%, 8/23/04 445 445 0.488%, 9/14/04 446 446 Security Life Denver 1.270%, 7/13/04 1,158 1,158 ------------ TOTAL OTHER SHORT-TERM INVESTMENTS 3,166 ------------ REPURCHASE AGREEMENTS - 8.2% Bear Stearns 1.200%, dated 3/31/04, matures 4/20/04, repurchase price $1,782,834 (collateralized by Various Securities: Total Market Value $1,859,655) 1,782 1,782 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $516,693 (collateralized by U.S. Government Securities: Total Market Value $527,012) 517 517 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $668,137 (collateralized by U.S. Government Securities: Total Market Value $681,513) 668 668 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $2,449,837 (collateralized by U.S. Government Securities: Total Market Value $2,498,784) 2,450 2,450
The accompanying notes are an integral part of the financial statements. 12
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $311,799 (collateralized by Collateralized Mortgage Obligations: Total Market Value $327,390) $ 312 $ 312 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $623,597 (collateralized by Collateralized Mortgage Obligations: Total Market Value $654,768) 624 624 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $712,683 (collateralized by Collateralized Mortgage Obligations: Total Market Value $748,316) 713 713 Deutsche Bank 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $890,850 (collateralized by U.S. Government Securities: Total Market Value $908,639) 891 891 Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $178,170 (collateralized by U.S. Government Securities: Total Market Value $181,728) 178 178 Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $979,935 (collateralized by U.S. Government Securities: Total Market Value $999,503) 980 980 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $267,256 (collateralized by Corporate Securities: Total Market Value $275,512) 267 267 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $623,597 (collateralized by Corporate Securities: Total Market Value $642,862) 624 624 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $890,853 (collateralized by Corporate Securities: Total Market Value $918,383) 891 891 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $2,538,931 (collateralized by Corporate Securities: Total Market Value $2,617,367) 2,539 2,539 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $445,427 (collateralized by Corporate Securities: Total Market Value $454,503) 445 445 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $445,427 (collateralized by Corporate Securities: Total Market Value $459,188) 445 445 J P Morgan 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $463,242 (collateralized by U.S. Government Securities: Total Market Value $472,521) 463 463 Lehman Brothers 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $2,227,124 (collateralized by Various Securities: Total Market Value $2,271,635) $ 2,227 $ 2,227 Lehman Brothers 1.200%, dated 3/31/04, matures 4/1/04, repurchase price $311,798 (collateralized by Corporate Securities: Total Market Value $357,602) 312 312 Lehman Brothers 1.243%, dated 3/31/04, matures 4/1/04, repurchase price $1,781,707 (collateralized by Various Securities: Total Market Value $1,817,279) 1,781 1,781 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $400,882 (collateralized by U.S. Government Securities: Total Market Value $408,888) 401 401 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $712,680 (collateralized by U.S. Government Securities: Total Market Value $729,760) 712 712 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $801,765 (collateralized by U.S. Government Securities: Total Market Value $821,558) 802 802 Morgan Stanley 1.133%, dated 3/31/04, matures 4/1/04, repurchase price $2,770,546 (collateralized by Collateralized Mortgage Obligations & Asset-Backed Securities: Total Market Value $2,919,774) 2,770 2,770 ------------ TOTAL REPURCHASE AGREEMENTS 23,794 ------------ TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $55,564) 55,564 ------------ TOTAL INVESTMENTS - 117.4% (Cost $329,098) 340,963 ------------ OTHER ASSETS AND LIABILITIES, NET - (17.4)% (50,432) ------------ TOTAL NET ASSETS - 100.0% $ 290,531 ------------
(a) This security or a portion of this security is out on loan at March 31, 2004. Total loaned securities had a value of $54,144,665 at March 31, 2004. See note 2 in Notes to Financial Statements. (b) Security sold within the terms of a private placement memorandum, exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional buyers." These securities have been determined to be liquid under the guidelines established by the Funds' board of directors. As of March 31, 2004, the value of these investments was $17,920,309 or 6.2% of total net assets. See note 2 in Notes to Financial Statements. (c) Variable Rate Security - The rate shown is the rate in effect as of March 31, 2004. (d) Security has been deposited as inital margin on open futures contracts. Yield shown is effective yield at date of purchase. See note 2 in Notes to Financial Statements. (e) Investment in affiliated security. This money market fund is advised by U.S. Bancorp Asset Management, Inc., which also serves as advisor for this Fund. See note 3 in Notes to Financial Statements. Cl - Class CMO - Collateralized Mortgage Obligation FHLMC - Federal Home Loan Mortgage Corporation REIT - Real Estate Investment Trust 13 HIGH INCOME BOND FUND
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- HIGH YIELD CORPORATE BONDS - 93.2% CONSUMER GOODS - 3.8% Bombardier Recreational Products, Callable 12/15/08 @ 104.19 8.375%, 12/15/13 (a) (b) (c) $ 500 $ 515 Constellation Brands, Series B, Callable 01/15/07 @ 104.06 8.125%, 01/15/12 250 276 Corn Products International 8.250%, 07/15/07 1,000 1,122 Dean Foods 6.625%, 05/15/09 500 540 Del Monte, Callable 12/15/07 @ 104.31 8.625%, 12/15/12 1,000 1,120 Delhaize America 9.000%, 04/15/31 1,000 1,223 Elizabeth Arden, Callable 01/15/09 @ 103.88 7.750%, 01/15/14 (a) 500 520 North Atlantic Trading, Callable 03/01/08 @ 104.63 9.250%, 03/01/12 (a) 500 510 Premium Standard Farms, Callable 06/15/06 @ 104.63 9.250%, 06/15/11 500 510 Prestige Brands, Callable 04/15/08 @ 104.63 9.250%, 04/15/12 (a) 1,000 1,000 Sealy Mattress Callable 06/15/09 @ 104.13 8.250%, 06/15/14 (a) 1,250 1,250 Series B, Callable 04/01/04 @ 103.63 10.875%, 12/15/07 (d) 500 519 Seminis Vegetable Seeds, Callable 10/01/08 @ 105.13 10.250%, 10/01/13 (a) 500 552 Simmons, Callable 01/15/09 @ 103.94 7.875%, 01/15/14 (a) (c) 600 600 Swift & Co., Callable 10/01/06 @ 106.25 12.500%, 01/01/10 750 802 ------------ 11,059 ------------ ENERGY - 8.9% Baytex Energy, Callable 07/15/07 104.81 9.625%, 07/15/10 (b) 500 521 Belden & Blake, Series B, Callable 103.29 9.875%, 06/15/07 1,000 992 Benton Oil & Gas, Callable 04/01/04 @ 103.13 9.375%, 11/01/07 500 497 Bluewater Finance, Callable 02/15/07 @ 105.13 10.250%, 02/15/12 (b) 500 527 Consolidated Energy 7.875%, 03/01/12 1,000 1,085 Dynegy Holdings, Callable 07/15/08 @ 105.06 10.125%, 07/15/13 (a) 1,000 1,095 Dynegy-Roseton Danskamme, Series B 7.670%, 11/08/16 2,000 1,780 El Paso 6.950%, 12/15/07 (c) $ 1,000 $ 900 7.000%, 05/15/11 (c) 1,500 1,282 7.750%, 01/15/32 1,500 1,207 El Paso Natural Gas, Callable 08/01/07 @ 103.81 7.625%, 08/01/10 1,400 1,431 Gulfterra Energy Partners, Callable 12/01/07 @ 105.31 10.625%, 12/01/12 671 840 J. Ray McDermott, Callable 12/15/08 @ 105.50 11.000%, 12/15/13 (a) (b) 1,000 950 Newfield Exploration, Callable 08/15/07 @ 104.19 8.375%, 08/15/12 500 565 Parker Drilling, Series B, Callable 11/15/04 @ 105.06 10.125%, 11/15/09 (c) 1,000 1,080 Petrobras International Finance 9.125%, 07/02/13 (b) 500 535 Premcor Refining Group, Callable 02/01/08 @ 104.75 9.500%, 02/01/13 1,000 1,162 Sonat 6.750%, 10/01/07 (c) 1,000 882 Swift Energy, Callable 08/01/04 @ 105.12 10.250%, 08/01/09 1,000 1,070 Tennessee Gas Pipeline 7.500%, 04/01/17 1,500 1,541 Western Oil Sands 8.375%, 05/01/12 (b) 500 595 Williams 6.500%, 08/01/06 1,500 1,566 7.125%, 09/01/11 (c) 2,000 2,100 7.750%, 06/15/31 1,000 985 Wiser Oil, Callable 04/01/04 @ 103.17 9.500%, 05/15/07 500 500 ------------ 25,688 ------------ FINANCE - 1.2% Chevy Chase Bank, Callable 12/01/08 @ 103.44 6.875%, 12/01/13 500 512 Dollar Financial Group, Callable 11/15/07 @ 104.88 9.750%, 11/15/11 350 380 Finova Group 7.500%, 11/15/09 1,000 610 First American Capital Trust I 8.500%, 04/15/12 750 866 IOS Capital 7.250%, 06/30/08 1,000 1,075 ------------ 3,443 ------------ MANUFACTURING - 27.1% Abitibi-Consolidated 8.550%, 08/01/10 (b) 1,000 1,091 AK Steel, Callable 06/15/07 @ 103.875 7.750%, 06/15/12 (c) 1,000 890 American Standard 7.375%, 02/01/08 1,000 1,125
The accompanying notes are an integral part of the financial statements. 14
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Amkor Technologies 7.125%, 03/15/11 (a) $ 750 $ 748 Callable 05/15/08 @ 103.88 7.750%, 05/15/13 (c) 500 510 Amsted Industries, Callable 10/15/07 @ 105.13 10.250%, 10/15/11 (a) 800 904 Anchor Glass Container, Callable 02/15/08 @ 105.50 11.000%, 02/15/13 1,000 1,165 Arvinmeritor 8.750%, 03/01/12 500 560 Avaya, Callable 04/01/06 @ 105.56 11.125%, 04/01/09 325 388 Ball, Callable 12/15/07 @ 103.44 6.875%, 12/15/12 500 541 BE Aerospace, Callable 04/01/04 @ 104.75 9.500%, 11/01/08 (c) 500 480 Beazer Homes USA, Callable 04/15/07 @ 104.19 8.375%, 04/15/12 1,000 1,117 Bowater Canada 7.950%, 11/15/11 (b) (c) 1,000 1,059 Buckeye Technologies, Callable 04/01/04 @ 101.54 9.250%, 09/15/08 1,000 995 Caraustar Industries, Callable 04/01/06 @ 105.25 9.875%, 04/01/11 (c) 1,000 995 Case New Holland, Callable 08/01/07 @ 104.63 9.250%, 08/01/11 (a) 1,000 1,130 CIA Siderurgica Paulista 8.250%, 01/30/09 (a) (b) 1,000 986 Collins & Aikman Products, Callable 04/01/04 @ 101.92 11.500%, 04/15/06 (c) 1,225 1,191 Crompton 8.500%, 03/15/05 1,000 1,030 Crown European Holdings, Callable 03/01/07 @ 104.75 9.500%, 03/01/11 (b) 1,000 1,125 D. R. Horton 5.000%, 01/15/09 500 517 Dana 6.500%, 03/15/08 (c) 1,000 1,060 6.500%, 03/01/09 1,000 1,065 Diamond Brands Operating, Callable 04/01/04 @ 105.06 10.125%, 04/15/08 (e) (f) 50 -- Dura Operating, Series B, Callable 04/15/07 @ 104.31 8.625%, 04/15/12 500 532 Equistar Chemical Funding 10.125%, 09/01/08 (c) 1,250 1,344 Fisher Scientific International, Callable 05/01/07 @ 104.06 8.125%, 05/01/12 869 965 Flextronics International, Callable 05/15/08 @ 103.25 6.500%, 05/15/13 (b) (c) 1,000 1,052 Georgia-Pacific 7.500%, 05/15/06 $ 1,000 $ 1,077 8.125%, 05/15/11 (c) 1,500 1,702 8.875%, 05/15/31 1,500 1,680 Gerdau Ameristeel, Callable 07/15/07 @ 105.38 10.375%, 07/15/11 (c) 1,000 1,135 Glenoit, Callable 04/01/04 @ 103.67 11.000%, 04/15/07 (e) (f) 100 -- Greif Brothers, Callable 08/01/07 @ 104.44 8.875%, 08/01/12 700 773 Hovnanian Enterprises 6.500%, 01/15/14 500 511 Huntsman ICI Chemicals, Callable 07/01/04 @ 105.06 10.125%, 07/01/09 (c) 2,000 2,010 IMC Global, Series B 10.875%, 06/01/08 750 907 Invensys, Callable 03/15/08 @ 104.94 9.875%, 03/15/11 (a) (b) 500 515 Ipsco, Callable 06/01/08 @ 104.38 8.750%, 06/01/13 (b) 1,000 1,137 Johnsondiversey, Series B, Callable 05/15/07 @ 104.81 9.625%, 05/15/12 500 542 JSG Funding, Callable 10/01/07 @ 104.81 9.625%, 10/01/12 (b) 1,000 1,125 KB Home 5.750%, 02/01/14 (a) (c) 500 496 L-3 Communications Callable 07/15/08 @ 103.06 6.125%, 07/15/13 (c) 500 515 Callable 01/15/09 @ 103.06 6.125%, 01/15/14 (a) 500 514 Lear, Series B 8.110%, 05/15/09 1,000 1,187 Levi Strauss 7.000%, 11/01/06 (c) 500 375 Lucent Technologies 5.500%, 11/15/08 (c) 1,000 975 Lyondell Chemical, Callable 05/01/04 @ 105.44 10.875%, 05/01/09 (c) 1,500 1,500 M. A. Hanna, Series B 7.070%, 06/26/06 1,000 955 Massey Energy 6.950%, 03/01/07 1,000 1,022 Millar Western Forest, Callable 11/15/08 @ 103.88 7.750%, 11/15/13 (a) (b) 750 795 Millennium America 7.000%, 11/15/06 800 814 Nalco, Callable 11/15/07 @ 103.88 7.750%, 11/15/11 (a) (c) 1,000 1,040 Nalco Financial Holdings, Callable 02/01/09 @ 104.50 0.000%, 02/01/14 (a) (c) (d) 1,000 595 Nortel Networks 6.125%, 02/15/06 (b) 1,000 1,020 Nova Chemicals 7.400%, 04/01/09 (b) 500 532
15
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- OM Group, Callable 12/15/06 @ 104.63 9.250%, 12/15/11 $ 1,000 $ 1,035 Owens-Brockway Glass Container, Callable 02/15/06 @ 104.44 8.875%, 02/15/09 1,000 1,080 Owens-Illinois 8.100%, 05/15/07 2,000 2,040 Oxford Industries, Callable 06/01/07 @ 104.44 8.875%, 06/01/11 (a) 500 536 Perkinelmer, Callable 01/15/08 @ 104.44 8.875%, 01/15/13 500 577 Polyone, Callable 05/15/07 @ 105.31 10.625%, 05/15/10 (c) 1,300 1,326 Rockwood Specialties Group, Callable 05/15/07 @ 105.31 10.625%, 05/15/11 750 832 Russell, Callable 05/01/06 @ 104.63 9.250%, 05/01/10 500 534 SCG Holding & Semiconductor, Callable 08/01/04 @ 106 12.000%, 08/01/09 (c) 1,000 1,080 Schuler Homes, Callable 07/15/05 @ 104.69 9.375%, 07/15/09 1,000 1,120 Sensus Metering Systems, Callable 12/15/08 @ 104.31 8.625%, 12/15/13 (a) 250 247 Sequa 9.000%, 08/01/09 1,000 1,125 Solo Cup, Callable 02/15/09 @ 104.25 8.500%, 02/15/14 (a) 1,000 1,030 Stone Container, Callable 07/01/07 @ 104.19 8.375%, 07/01/12 2,000 2,180 Tembec Industries 8.500%, 02/01/11 (b) 1,000 995 Tenneco Automotive, Series B, Callable 10/15/04 @ 105.81 11.625%, 10/15/09 (c) 1,000 1,080 Terex, Callable 01/15/09 @ 103.69 7.375%, 01/15/14 (a) 500 535 Texas Industries, Callable 06/15/07 @ 105.13 10.250%, 06/15/11 (c) 800 912 TRW Automotive, Callable 02/15/08 @ 104.69 9.375%, 02/15/13 446 511 Tyco International 6.375%, 02/15/06 (b) 1,000 1,065 6.750%, 02/15/11 (b) 1,000 1,113 6.875%, 01/15/29 (b) 1,000 1,064 United Components, Callable 06/15/08 @ 104.69 9.375%, 06/15/13 500 540 United States Steel, Callable 05/15/07 @ 104.88 9.750%, 05/15/10 1,000 1,140 USEC 6.625%, 01/20/06 1,000 992 Warnaco, Callable 06/15/08 @ 104.44 8.875%, 06/15/13 500 541 WCI Communities, Callable 05/01/07 @ 104.56 9.125%, 05/01/12 $ 1,000 $ 1,115 Xerox 9.750%, 01/15/09 (c) 500 582 7.200%, 04/01/16 1,000 1,030 ------------ 77,971 ------------ REAL ESTATE - 1.4% Corrections Corp. of America, Callable 05/01/07 @ 103.75 7.500%, 05/01/11 400 423 Felcor Lodging (REIT) 8.500%, 06/01/11 (c) 500 533 Host Marriott, Callable 11/01/08 @ 103.56 (REIT) 7.125%, 11/01/13 1,000 1,035 LNR Property, Callable 07/15/08 @ 103.81 7.625%, 07/15/13 800 848 Meristar Hospitality 9.125%, 01/15/11 500 526 Ventas Realty 9.000%, 05/01/12 500 577 ------------ 3,942 ------------ SERVICES - 30.0% Ahold Finance USA 8.250%, 07/15/10 (c) 1,000 1,112 Alliance Imaging, Callable 04/15/06 @ 105.19 10.375%, 04/15/11 (c) 1,000 995 Allied Waste North America Callable 04/15/08 @ 103.94 7.875%, 04/15/13 2,000 2,180 Callable 02/15/09 @ 103.06 6.125%, 02/15/14 (a) 1,000 967 Alpharma, Callable 05/01/07 @ 104.31 8.625%, 05/01/11 (a) 500 525 AMC Entertainment Callable 02/01/07 @ 104.94 9.875%, 02/01/12 500 546 Callable 03/01/09 @ 104.00 8.000%, 03/01/14 (a) 1,000 995 AmerisourceBergen 7.250%, 11/15/12 500 544 Asbury Automotive Group, Callable 06/15/07 @ 104.50 9.000%, 06/15/12 1,000 1,065 Autonation 9.000%, 08/01/08 1,000 1,167 Aviall, Callable 07/01/07 @ 103.81 7.625%, 07/01/11 500 537 Bally Total Fitness Holdings, Series D, Callable 04/01/04 @ 103.29 9.875%, 10/15/07 (c) 1,000 800 Boca Resorts, Callable 04/15/04 @ 104.94 9.875%, 04/15/09 1,000 1,053 Boyd Gaming, Callable 12/15/07 @ 103.88 7.750%, 12/15/12 1,000 1,070
The accompanying notes are an integral part of the financial statements. 16
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Buffets, Callable 07/15/06 @ 105.63 11.250%, 07/15/10 $ 500 $ 545 CCO Holdings, Callable 11/15/08 @ 104.38 8.750%, 11/15/13 (a) (c) 1,000 1,030 Charter Communications Holdings Callable 04/01/04 @ 104.31 8.625%, 04/01/09 (c) 3,000 2,505 Callable 09/15/08 @ 105.13 10.250%, 09/15/10 (a) 1,000 1,035 Callable 05/15/06 @ 105.88 11.750%, 05/15/11 (d) 2,000 1,300 Corus Entertainment, Callable 03/01/07 @ 104.38 8.750%, 03/01/12 (b) 500 555 Coventry Health Care, Callable 02/15/07 @ 104.06 8.125%, 02/15/12 750 855 CSC Holdings 7.875%, 02/15/18 500 540 Series B 7.625%, 04/01/11 1,000 1,063 Callable 04/01/04 @ 103.60 9.875%, 02/15/13 (c) 750 778 Dade Behring, Callable 10/03/05 @ 105.96 11.910%, 10/03/10 490 564 Dex Media, Callable 11/15/08 @ 104.50 0.000%, 11/15/13 (a) (d) 1,000 638 Dex Media East, Callable 11/15/07 @ 106.06 12.125%, 11/15/12 500 584 Dex Media West, Callable 08/15/08 @ 104.94 9.875%, 08/15/13 (a) (c) 500 555 DirecTV Holdings, Callable 03/15/08 @ 104.19 8.375%, 03/15/13 1,000 1,143 Dominos, Series B, Callable 07/01/07 @ 104.13 8.250%, 07/01/11 750 806 Echostar DBS, Callable 01/15/06 @ 104.56 9.125%, 01/15/09 1,947 2,195 Emmis Communications, Series B, Callable 04/01/04 @ 104.06 8.125%, 03/15/09 500 521 Gap 6.900%, 09/15/07 (c) 1,000 1,103 Hanger Orthopedic, Callable 02/15/06 @ 105.19 10.375%, 02/15/09 350 392 HCA Columbia Healthcare 8.750%, 09/01/10 2,000 2,392 Hilton Hotels 8.250%, 02/15/11 1,000 1,180 HMH Properties, Series B, Callable 04/01/04 @ 103.99 7.875%, 08/01/08 1,025 1,069 Hollywood Entertainment, Callable 03/15/07 @ 104.81 9.625%, 03/15/11 (c) 750 859 Houghton Mifflin, Callable 02/01/08 @ 104.94 9.875%, 02/01/13 (c) $ 1,000 $ 1,028 IASIS Healthcare, Callable 10/15/04 @ 106.50 13.000%, 10/15/09 1,000 1,115 IMAX, Callable 12/01/07 @ 104.81 9.625%, 12/01/10 (a) (b) 500 520 Ingles Markets, Callable 12/01/06 @ 104.44 8.875%, 12/01/11 1,000 1,045 Inn of the Mountain Gods, Callable 11/15/07 @ 106 12.000%, 11/15/10 (a) 500 541 Iron Mountain Callable 04/01/06 @ 104.31 8.625%, 04/01/13 500 545 Callable 01/15/08 @ 103.87 7.750%, 01/15/15 500 528 Isle of Capri Casinos, Callable 03/01/09 @ 103.50 7.000%, 03/01/14 (a) 1,000 1,003 J.C. Penney 7.600%, 04/01/07 1,000 1,120 7.950%, 04/01/17 1,000 1,175 Lodgenet Entertainment, Callable 06/15/08 @ 104.75 9.500%, 06/15/13 500 550 Mail-Well I, Callable 03/15/07 @ 104.81 9.625%, 03/15/12 500 554 Mandalay Resort Group, Series B 10.250%, 08/01/07 (c) 1,000 1,178 Medco Health Solutions 7.250%, 08/15/13 250 283 MedPartners 7.375%, 10/01/06 500 550 MGM Mirage 8.375%, 02/01/11 (c) 2,000 2,310 5.875%, 02/27/14 1,000 998 Muzak, Callable 02/15/06 @ 105 10.000%, 02/15/09 1,000 1,030 Park Place Entertainment 8.875%, 09/15/08 (c) 1,000 1,143 7.875%, 03/15/10 1,000 1,115 Paxson Communications, Callable 07/15/05 @ 105.38 10.750%, 07/15/08 750 776 Payless Shoesource, Callable 08/01/08 @ 104.13 8.250%, 08/01/13 (c) 500 485 Penn National Gaming, Callable 03/15/06 @ 104.44 8.875%, 03/15/10 1,000 1,090 Petro Stopping Center, Callable 02/15/08 @ 104.50 9.000%, 02/15/12 (a) (c) 600 612 Primedia, Callable 05/15/06 @ 104.44 8.875%, 05/15/11 800 820 R. H. Donnelley Finance, Callable 12/15/07 @ 105.44 10.875%, 12/15/12 (a) 1,000 1,195 Radiologix, Series B, Callable 12/15/05 @ 105.25 10.500%, 12/15/08 (c) 500 519
17
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Res-Care, Callable 11/15/05 @ 105.31 10.625%, 11/15/08 $ 500 $ 533 Resorts International Hotel & Casino, Callable 03/15/07 @ 106 11.500%, 03/15/09 (c) 500 553 Rite Aid 7.125%, 01/15/07 (c) 1,500 1,500 River Rock Entertainment, Callable 11/01/07 @ 104.88 9.750%, 11/01/11 (a) 500 540 Rogers Cable 6.250%, 06/15/13 (b) 1,000 1,052 Rotech Healthcare, Callable 04/01/07 @ 104.75 9.500%, 04/01/12 750 803 Roundy's, Callable 06/15/07 @ 104.44 8.875%, 06/15/12 1,000 1,090 Royal Caribbean Cruises 8.000%, 05/15/10 (b) 2,000 2,245 Saks 7.500%, 12/01/10 500 551 Service Corporation International 7.700%, 04/15/09 1,000 1,073 Shaw Communications 8.250%, 04/11/10 (b) 500 585 Shaw Group, Callable 03/15/07 @ 105.38 10.750%, 03/15/10 (c) 1,000 1,010 Sinclair Broadcast Group, Callable 03/15/07 @ 104 8.000%, 03/15/12 1,000 1,080 Six Flags, Callable 04/15/08 @ 104.88 9.750%, 04/15/13 (c) 1,000 1,060 Starwood Hotels & Resorts 7.375%, 11/15/15 (c) 1,000 1,085 Tenet Healthcare 6.500%, 06/01/12 1,000 863 Toys R Us 7.375%, 10/15/18 1,000 986 Triad Hospitals, Callable 11/15/08 @ 103.50 7.000%, 11/15/13 (a) 1,000 1,025 Tricon Global Restaurant 7.650%, 05/15/08 1,000 1,155 Trump Atlantic City Association, Callable 04/01/04 @ 101.88 11.250%, 05/01/06 (c) 1,000 838 United Rentals North America Callable 02/15/08 @ 103.25 6.500%, 02/15/12 (a) 1,000 990 Callable 02/15/09 @ 103.50 7.000%, 02/15/14 (a) (c) 750 705 Venetian Casino, Callable 06/15/06 @ 105.50 11.000%, 06/15/10 500 574 Vivendi Universal, Callable 04/15/07 @ 104.63 9.250%, 04/15/10 (b) 1,250 1,494 Worldspan, Callable 06/15/07 @ 104.81 9.625%, 06/15/11 (c) 100 108 Wynn Las Vegas, Callable 11/01/06 @ 112 12.000%, 11/01/10 (c) 500 600 Young Broadcasting, Callable 03/01/06 @ 105 10.000%, 03/01/11 (c) $ 500 $ 535 ------------ 86,224 ------------ TRANSPORTATION - 1.1% Continental Airlines, Series 2001-1, Cl B 7.033%, 12/15/12 863 776 CP Ships 10.375%, 07/15/12 (b) 500 587 Laidlaw International, Callable 06/15/07 @ 105.38 10.750%, 06/15/11 (a) 750 840 OMI, Callable 12/01/08 @ 103.81 7.625%, 12/01/13 250 261 United Air Lines, Series 00-2, Cl A1 7.032%, 10/01/10 (f) 784 710 ------------ 3,174 ------------ UTILITIES - 19.0% AES 9.375%, 09/15/10 (c) 2,000 2,178 7.750%, 03/01/14 (c) 685 683 Callable 05/15/08 @ 104.38 8.750%, 05/15/13 (a) (c) 1,000 1,098 Alamosa Delaware, Callable 07/31/07 @ 105.50 11.000%, 07/31/10 650 694 Allegheny Energy Supply 8.250%, 04/15/12 (a) (c) 3,000 2,985 American Cellular, Series B, Callable 08/01/07 @ 105 10.000%, 08/01/11 1,000 955 American Tower Callable 02/01/05 @ 104.69 9.375%, 02/01/09 (c) 1,000 1,058 Callable 05/01/08 @ 103.75 7.500%, 05/01/12 (a) (c) 250 238 Aquila 9.450%, 02/01/11 1,000 1,055 Calpine 7.625%, 04/15/06 (c) 500 435 Callable 07/15/07 @ 104.25 8.500%, 07/15/10 (a) 500 454 Calpine Canada Energy Finance 8.500%, 05/01/08 (b) 1,500 1,106 Centennial Communications, Callable 06/15/08 @ 105.06 10.125%, 06/15/13 (c) 500 513 Centerpoint Energy 6.850%, 06/01/15 (c) 2,000 2,097 Cincinnati Bell, Callable 07/15/08 @ 103.63 7.250%, 07/15/13 750 758 CMS Energy 7.500%, 01/15/09 (c) 1,500 1,545 Crown Castle International, Callable 08/01/05 @ 105.38 10.750%, 08/01/11 (c) 500 560 Dobson Communications, Callable 10/01/08 @ 104.44 8.875%, 10/01/13 (c) 500 398 Empresa Nacional de Electricidad 8.350%, 08/01/13 (b) 1,000 1,129
The accompanying notes are an integral part of the financial statements. 18
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- FirstEnergy Series B 6.450%, 11/15/11 (c) $ 2,000 $ 2,188 Series C 7.375%, 11/15/31 1,000 1,109 Homer City Funding 8.137%, 10/01/19 1,000 1,111 Illinova, Callable 12/15/06 @ 105.75 11.500%, 12/15/10 1,000 1,203 Insight Midwest, Callable 11/01/05 @ 105.25 10.500%, 11/01/10 500 539 Level 3 Communications, Callable 04/01/04 @ 104.56 9.125%, 05/01/08 (c) 2,000 1,600 Mirant Mid-Atlantic, Series C 10.060%, 12/30/28 974 1,018 Nevada Power, Series E, Callable 10/15/06 @ 105.44 10.875%, 10/15/09 1,000 1,168 Nextel Communications Callable 11/15/04 @ 104.69 9.375%, 11/15/09 3,000 3,259 Callable 03/15/09 @ 102.98 5.950%, 03/15/14 1,000 993 Callable 08/01/08 @ 103.69 7.375%, 08/01/15 500 541 Nextel Partners, Callable 07/01/07 @ 104.06 8.125%, 07/01/11 (c) 1,000 1,053 PG&E, Callable 07/15/06 @ 103.44 6.875%, 07/15/08 (a) 1,000 1,089 PSEG Energy Holdings 8.500%, 06/15/11 1,000 1,110 Qwest 8.875%, 03/15/12 (a) (c) 2,000 2,270 Callable 04/01/04 @ 103.36 7.500%, 06/15/23 1,000 945 Qwest Capital Funding 7.000%, 08/03/09 (c) 1,000 880 6.875%, 07/15/28 1,000 770 Qwest Services Callable 12/15/05 @ 106.50 13.000%, 12/15/07 (a) 1,000 1,150 Callable 12/15/06 @ 106.75 13.500%, 12/15/10 (a) 2,000 2,320 Reliant Resources, Callable 07/15/07 @ 104.63 9.250%, 07/15/10 1,500 1,628 Sierra Pacific Resources, Callable 03/15/09 @ 104.31 8.625%, 03/15/14 (a) 500 515 Teco Energy 7.200%, 05/01/11 2,000 2,130 Telemig Celular/Amazonia Celular 8.750%, 01/20/09 (a) (b) 500 484 Time Warner Telecom, Callable 02/01/06 @ 105.06 10.125%, 02/01/11 (c) 1,000 925 Triton PCS, Callable 11/15/06 @ 104.38 8.750%, 11/15/11 (c) 1,000 950 Viatel, Callable 04/01/04 @ 105.63 11.250%, 04/15/08 (e) (g) 75 -- DESCRIPTION PAR (000)/SHARES VALUE (000) ---------------------------------------------------------------------------------------- Western Resources 9.750%, 05/01/07 $ 1,500 $ 1,734 ------------ 54,621 ------------ YANKEE - 0.7% Northern Telecom 6.875%, 09/01/23 (b) (c) 1,000 970 Petroleum Geo-Services, Callable 11/05/07 @ 105 10.000%, 11/05/10 (b) 1,000 1,100 ------------ 2,070 ------------ TOTAL HIGH YIELD CORPORATE BONDS (Cost $249,452) 268,192 ------------ CORPORATE BONDS - 3.4% ENERGY - 0.4% Amerada Hess 7.875%, 10/01/29 1,000 1,143 ------------ FINANCE - 0.5% Ford Motor Credit 7.000%, 10/01/13 (c) 1,500 1,585 ------------ MANUFACTURING - 0.8% Avnet 9.750%, 02/15/08 1,000 1,165 Union Carbide 6.700%, 04/01/09 (c) 1,000 1,022 ------------ 2,187 ------------ SERVICES - 0.7% Cablevision Systems 8.000%, 04/15/12 (a) 2,000 1,997 ------------ TRANSPORTATION - 0.6% American Airlines, Series 1999-1, Cl A2 7.024%, 04/15/11 1,000 1,010 Delta Air Lines, Series 2000-1, Cl B 7.920%, 05/18/12 1,000 840 ------------ 1,850 ------------ UTILITIES - 0.4% Citizens Communications 8.500%, 05/15/06 1,000 1,094 ------------ TOTAL CORPORATE BONDS (Cost $9,624) 9,856 ------------ U.S. GOVERNMENT & AGENCY SECURITY - 0.4% U.S. TREASURY - 0.4% U.S. Treasury Note 2.000%, 11/30/04 (c) 1,000 1,007 ------------ TOTAL U.S. GOVERNMENT & AGENCY SECURITY (Cost $1,005) 1,007 ------------ PREFERRED STOCKS - 0.3% UNITED STATES - 0.3% Alamosa Holdings, Series B, Callable 11/10/06 @ 312.50 1,000 470 iStar Financial, Series G, Callable 12/19/08 @ 25 (REIT) 20,000 520 Nebco Evans Holdings (PIK) (h) 300 -- Pegasus Communications Fractional Shares (e) (g) (h) -- -- ------------ TOTAL PREFERRED STOCKS (Cost $832) 990 ------------
19
DESCRIPTION PAR (000)/SHARES VALUE (000) ---------------------------------------------------------------------------------------- COMMON STOCKS - 0.0% BERMUDA - 0.0% Viatel Holdings (e) (h) 294 $ -- ------------ UNITED STATES - 0.0% NII Holdings, Class B (h) 1,869 66 ------------ TOTAL COMMON STOCKS (Cost $148) 66 ------------ U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITY - 0.0% FIXED RATE - 0.0% FNMA Pool 6.695%, 08/01/05, #109031 $ 35 36 ------------ TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITY (Cost $35) 36 ------------ ASSET-BACKED SECURITY - 0.0% MANUFACTURED HOUSING - 0.0% Green Tree Financial Series 1998-1, Cl A1 6.040%, 11/01/29 16 16 ------------ TOTAL ASSET-BACKED SECURITY (Cost $16) 16 ------------ WARRANTS - 0.0% CANADA - 0.0% AT&T Canada, Expires 08/15/07 (e) (g) (h) 100 -- ------------ NORWAY - 0.0% Enitel Asa, Expires 04/03/05 (e) (g) (h) 1,000 -- ------------ UNITED STATES - 0.0% Sterling Chemical Holdings, Expires 08/15/08 (e) (g) (h) 100 -- UIH Australia Pacific, Expires 05/15/06 (e) (g) (h) 150 -- ------------ -- ------------ TOTAL WARRANTS (Cost $3) -- ------------ AFFILIATED MONEY MARKET FUND - 0.9% First American Prime Obligations Fund, Cl Z (i) 2,566,865 2,567 ------------ TOTAL AFFILIATED MONEY MARKET FUND (Cost $2,567) 2,567 ------------ INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 27.4% COMMERCIAL PAPER - 7.7% Bluegrass 1.160%, 11/18/04 $ 315 315 1.160%, 2/18/05 315 315 CIBC NY 1.110%, 9/09/04 1,632 1,632 Concord Min Capital 1.100%, 4/07/04 1,779 1,779 1.100%, 4/08/04 580 580 1.100%, 4/14/04 252 252 Descartes Funding Trust 1.150%, 11/15/04 631 631 Emerald Trust 1.063%, 5/06/04 630 630 Ford Credit Floor Plan 1.063%, 5/03/04 1,891 1,891 Goldman Sachs 1.163%, 1/18/05 631 631
DESCRIPTION PAR(000) VALUE(000) ---------------------------------------------------------------------------------------- Independent IV 1.048%, 10/15/04 $ 820 $ 820 Lakeside Funding 1.142%, 4/08/04 1,445 1,445 Leafs 1.339%, 4/20/04 871 871 Lehman Brothers 1.133%, 7/23/04 442 442 1.123%, 8/23/04 315 315 Moat Funding 1.157%, 5/05/04 1,261 1,261 Morgan Stanley 1.054%, 6/11/04 631 631 Mortgage Int Network 1.062%, 4/27/04 630 630 1.042%, 5/11/04 630 630 1.063%, 6/07/04 630 630 Norddeutsche Landesbank 1.110%, 9/09/04 628 628 Orchard Park 1.180%, 7/06/04 1,363 1,363 1.200%, 10/06/04 442 442 Park Granada 1.083%, 4/07/04 568 568 1.063%, 4/13/04 378 378 1.063%, 4/13/04 1,009 1,009 1.063%, 5/06/04 189 189 Sigma Finance 1.157%, 5/04/04 1,261 1,261 ------------ TOTAL COMMERCIAL PAPER 22,169 ------------ CORPORATE OBLIGATIONS - 6.0% Allstate Life Global 1.040%, 2/15/05 1,262 1,262 Castle Hill III 1.211%, 9/16/04 379 379 Duke Funding VI 1.180%, 4/08/05 763 763 General Electric Capital Corporation 1.139%, 4/08/05 632 632 Jefferson Pilot 1.062%, 2/17/05 631 631 Metlife Global Funding 1.137%, 3/28/05 530 530 0.991%, 4/15/05 757 757 Merrill Lynch 1.063%, 4/04/05 1,262 1,262 Morgan Stanley 1.137%, 3/24/05 631 631 Northlake CDO 1.205%, 3/07/05 378 378 Premium Asset Trust 1.254%, 6/01/04 1,880 1,880 1.037%, 12/22/04 946 946 Residential Mortgage Securities 1.102%, 9/11/04 886 886 Sigma Finance 1.143%, 8/09/04 1,262 1,262 SMM Trust 2003-H 1.183%, 9/23/04 1,632 1,632 Societe Generale NYC 1.148%, 12/08/04 1,262 1,262
The accompanying notes are an integral part of the financial statements. 20
DESCRIPTION PAR (000)/SHARES VALUE (000) ---------------------------------------------------------------------------------------- WestDeutsche LandesBank 1.220%, 6/03/04 $ 1,009 $ 1,009 1.150%, 8/02/04 1,262 1,262 ------------ TOTAL CORPORATE OBLIGATIONS 17,364 ------------ MONEY MARKET FUNDS - 0.4% AIM Short Term Liquid Asset Portfolio 189,265 189 Merrill Lynch Premier Institutional Fund 792,682 793 ------------ TOTAL MONEY MARKET FUNDS 982 ------------ OTHER SHORT-TERM INVESTMENTS - 1.6% Commonwealth Life 1.303%, 4/1/04 $ 637 637 General Electric Capital Assurance 1.200%, 1/19/05 253 252 HBOS Treasury Services 1.020%, 3/01/05 693 693 Liquid Funding 1.065%, 8/23/04 631 631 0.488%, 9/14/04 631 631 Security Life Denver 1.270%, 7/13/04 1,640 1,640 ------------ TOTAL OTHER SHORT-TERM INVESTMENTS 4,484 ------------ REPURCHASE AGREEMENTS - 11.7% Bear Stearns 1.200%, dated 3/31/04, matures 4/20/04, repurchase price $2,525,215 (collateralized by Various Securities: Total Market Value $2,634,026) 2,524 2,524 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $731,847 (collateralized by U.S. Government Securities: Total Market Value $746,462) 732 732 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $946,353 (collateralized by U.S. Government Securities: Total Market Value $965,299) 946 946 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $3,469,963 (collateralized by U.S. Government Securities: Total Market Value $3,539,291) 3,470 3,470 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $441,633 (collateralized by Collateralized Mortgage Obligations: Total Market Value $463,716) 442 442 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $883,267 (collateralized by Collateralized Mortgage Obligations: Total Market Value $927,417) 883 883 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $1,009,447 (collateralized by Collateralized Mortgage Obligations: Total Market Value $1,059,919) 1,009 1,009 Deutsche Bank 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $1,261,804 (collateralized by U.S. Government Securities: Total Market Value $1,287,002) 1,262 1,262
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $252,361 (collateralized by U.S. Government Securities: Total Market Value $257,400) $ 252 $ 252 Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $1,387,985 (collateralized by U.S. Government Securities: Total Market Value $1,415,702) 1,388 1,388 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $378,543 (collateralized by Corporate Securities: Total Market Value $390,237) 379 379 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $883,266 (collateralized by Corporate Securities: Total Market Value $910,553) 883 883 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $1,261,809 (collateralized by Corporate Securities: Total Market Value $1,300,803) 1,262 1,262 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $3,596,155 (collateralized by Corporate Securities: Total Market Value $3,707,253) 3,596 3,596 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $630,906 (collateralized by Corporate Securities: Total Market Value $643,761) 631 631 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $630,906 (collateralized by Corporate Securities: Total Market Value $650,396) 631 631 J P Morgan 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $656,138 (collateralized by U.S. Government Securities: Total Market Value $669,282) 656 656 Lehman Brothers 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $3,154,511 (collateralized by Various Securities: Total Market Value $3,217,556) 3,154 3,154 Lehman Brothers 1.200%, dated 3/31/04, matures 4/1/04, repurchase price $441,633 (collateralized by Corporate Securities: Total Market Value $506,509) 442 442 Lehman Brothers 1.243%, dated 3/31/04, matures 4/1/04, repurchase price $2,523,620 (collateralized by Various Securities: Total Market Value $2,574,003) 2,524 2,524 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $567,812 (collateralized by U.S. Government Securities: Total Market Value $579,151) 568 568
21
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $1,009,444 (collateralized by U.S. Government Securities: Total Market Value $1,033,636) $ 1,009 $ 1,009 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $1,135,624 (collateralized by U.S. Government Securities: Total Market Value $1,163,660) 1,135 1,135 Morgan Stanley 1.133%, dated 3/31/04, matures 4/1/04, repurchase price $3,924,217 (collateralized by Collateralized Mortgage Obligations & Asset-Backed Securities: Total Market Value $4,135,584) 3,924 3,924 ------------ TOTAL REPURCHASE AGREEMENTS 33,702 ------------ TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $78,701) 78,701 ------------ TOTAL INVESTMENTS - 125.6% (Cost $342,383) 361,431 ------------ OTHER ASSETS AND LIABILITIES, NET - (25.6)% (73,724) ------------ TOTAL NET ASSETS - 100.0% $ 287,707 ------------
(a) Security sold within the terms of a private placement memorandum, exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional buyers." These securities have been determined to be liquid under the guidelines established by the Funds' board of directors. As of March 31, 2004, the value of these investments was $45,379,838 or 15.8% of total net assets. See note 2 in Notes to Financial Statements. (b) Represents a foreign high yield (non-investment grade) bond. On March 31, 2004, the value of these investments was $30,144,924, which represents 10.5% of total net assets. (c) This security or a portion of this security is out on loan at March 31, 2004. Total loaned securities had a value of $76,450,751 March 31, 2004. See note 2 in Notes to Financial Statements. (d) Delayed Interest (Step-Bonds) - Represents securities that remain zero-coupon securities until a predetermined date at which time the stated coupon rate becomes effective and interest becomes payable at regular intervals. Interest rate shown represents current yield at March 31, 2004, based upon the estimated timing and amount of future interest and principal payments. (e) Securities considered illiquid or restricted. As of March 31, 2004, the value of these investments was $0 or 0.0% of total net assets. See note 2 in Notes to Financial Statements. (f) Security currently in default. (g) Security is fair valued. As of March 31, 2004, the fair value of these investments was $0 or 0.0% of total net assets. See note 2 in Notes to Financial Statements. (h) Non-income producing security. (i) Investment in affiliated security. This money market fund is advised by U.S. Bancorp Asset Management, Inc., which also serves as advisor for this Fund. See note 3 in Notes to Financial Statements. FNMA - Federal National Mortgage Association PIK - Payment-in-kind interest is generally paid by issuing additional par of the security rather than paying cash. REIT - Real Estate Investment Trust INTERMEDIATE GOVERNMENT BOND FUND
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- U.S. GOVERNMENT & AGENCY SECURITIES - 94.1% U.S. AGENCY DEBENTURES - 33.5% FHLB 4.125%, 01/14/05 $ 10,000 $ 10,233 1.625%, 04/15/05 7,500 7,527 5.250%, 08/15/06 5,000 5,360 FHLMC 2.375%, 05/19/06, Callable 05/19/04 @ 100 5,000 5,006 3.125%, 08/25/06, Callable 08/25/04 @ 100 3,500 3,521 2.375%, 02/15/07 2,750 2,763 4.875%, 03/15/07 2,000 2,150 3.250%, 02/25/08, Callable 02/25/05 @ 100 2,000 2,017 5.750%, 03/15/09 1,000 1,118 3.375%, 04/15/09 3,250 3,282 5.625%, 03/15/11 2,000 2,230 6.375%, 08/01/11 1,850 2,003 FNMA 2.625%, 04/21/06, Callable 04/21/04 @ 100 5,000 5,003 3.500%, 01/28/08 3,000 3,039 6.375%, 06/15/09 3,500 4,027 5.250%, 08/01/12 2,250 2,384 ------------ 61,663 ------------ U.S. TREASURIES - 60.6% U.S. Treasury Bond (STRIPS) 0.000%, 05/15/08 (a) 4,500 4,078 U.S. Treasury Bonds 9.375%, 02/15/06 9,150 10,474 12.750%, 11/15/10 2,335 2,755 4.375%, 08/15/12 10,000 10,541 9.250%, 02/15/16 7,150 10,585 U.S. Treasury Notes 1.625%, 01/31/05 9,000 9,038 5.875%, 11/15/05 8,000 8,575 6.500%, 10/15/06 12,285 13,709 6.625%, 05/15/07 6,750 7,681 3.000%, 02/15/08 1,775 1,817 5.500%, 05/15/09 4,500 5,084 6.000%, 08/15/09 8,000 9,234 4.875%, 02/15/12 10,000 10,919 3.625%, 05/15/13 2,025 2,013 4.250%, 08/15/13 1,525 1,580 11.250%, 02/15/15 2,000 3,288 ------------ 111,371 ------------ TOTAL U.S. GOVERNMENT & AGENCY SECURITIES (Cost $169,181) 173,034 ------------ U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 2.5% ADJUSTABLE RATE (b) - 1.4% FNMA Pool 3.336%, 10/01/32, #725110 2,513 2,594 ------------ FIXED RATE - 1.1% FHLMC, Series H013, Cl A3 3.150%, 05/15/10 (c) 1,950 1,946 ------------ TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $4,537) 4,540 ------------
The accompanying notes are an integral part of the financial statements. 22
DESCRIPTION PAR (000)/CONTRACTS VALUE (000) ---------------------------------------------------------------------------------------- TREASURY OBLIGATION - 0.1% U.S. Treasury Bill 0.830%, 04/08/04 (d) $ 234 $ 234 ------------ TOTAL TREASURY OBLIGATION (Cost $234) 234 ------------ PURCHASED PUT OPTIONS - 0.0% Eurodollar 1 year Mid-Curve June 05 Futures Put, Expires 06/11/04, Exercise price $96.50 40 2 Eurodollar 1 year Mid-Curve June 05 Futures Put, Expires 06/11/04, Exercise price $97 40 6 Eurodollar 1 year Mid-Curve September 05 Futures Put, Expires 09/13/04, Exercise price $96.75 40 17 ------------ TOTAL PUT OPTIONS PURCHASED (Cost $67) 25 ------------ TOTAL INVESTMENTS - 96.7% (Cost $174,019) 177,833 ------------ OTHER ASSETS AND LIABILITIES, NET - 3.3% 6,024 ------------ TOTAL NET ASSETS - 100.0% $ 183,857 ------------
(a) Principal only. (b) Variable Rate Security - The rate shown is the rate in effect as of March 31, 2004. (c) Securities considered illiquid or restricted. As of March 31, 2004, the value of these investments was $1,946,344 or 1.1% of total net assets. See note 2 in Notes to Financial Statements. (d) Security has been deposited as inital margin on open futures contracts. Yield shown is effective yield at date of purchase. See note 2 in Notes to Financial Statements. FHLB - Federal Home Loan Bank FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association STRIPS - Separate Trading of Registered Interest and Principal of Securities INTERMEDIATE TERM BOND FUND
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- U.S. GOVERNMENT & AGENCY SECURITIES - 38.3% U.S. AGENCY DEBENTURES - 25.0% FHLB 1.625%, 06/15/05 (a) $ 33,125 $ 33,233 1.875%, 06/15/06 (a) 26,500 26,491 FHLMC 2.875%, 11/03/06, Callable 11/03/04 @ 100 (a) 28,400 28,600 2.375%, 02/15/07 (a) 27,000 27,133 4.875%, 03/15/07 (a) 26,000 27,951 3.250%, 02/25/08, Callable 02/25/05 @ 100 13,000 13,108 3.500%, 04/01/08, Callable 04/01/05 @ 100 (a) 12,700 12,859 5.750%, 03/15/09 (a) 12,500 13,979 5.625%, 03/15/11 (a) 13,000 14,496 4.500%, 01/15/14 (a) 34,075 34,562 FNMA 2.625%, 04/21/06, Callable 04/21/04 @ 100 (a) 13,000 13,008 1.750%, 06/16/06, Callable 06/16/04 @ 100 (a) 13,000 12,910 5.250%, 04/15/07 (a) 26,000 28,257 3.875%, 11/17/08, Callable 11/17/05 @ 100 (a) 13,000 13,290 6.375%, 06/15/09 (a) 25,000 28,762 7.250%, 01/15/10 (a) 11,700 14,041 5.250%, 08/01/12 (a) 13,000 13,774 ------------ 356,454 ------------ U.S. TREASURIES - 13.3% U.S. Treasury Bonds 11.250%, 02/15/15 (a) 8,500 13,975 9.250%, 02/15/16 (a) 10,000 14,805 U.S. Treasury Notes 2.000%, 11/30/04 (a) 54,240 54,587 1.625%, 03/31/05 (a) 17,500 17,588 2.000%, 08/31/05 (a) 21,495 21,710 2.625%, 03/15/09 (a) 14,000 13,899 4.000%, 02/15/14 (a) 51,950 52,632 ------------ 189,196 ------------ TOTAL U.S. GOVERNMENT & AGENCY SECURITIES (Cost $540,102) 545,650 ------------ CORPORATE BONDS - 34.8% CONSUMER GOODS - 2.5% Conagra Foods 7.875%, 09/15/10 4,260 5,128 Diageo Capital 3.500%, 11/19/07 (a) 4,700 4,829 General Mills 6.000%, 02/15/12 5,400 5,935 Kraft Foods 5.250%, 06/01/07 (a) 8,600 9,252 Miller Brewing 4.250%, 08/15/08 (b) 2,535 2,627 Tyson Foods 7.250%, 10/01/06 2,380 2,587 8.250%, 10/01/11 4,055 4,803 ------------ 35,161 ------------ ENERGY - 2.7% Anadarko Petroleum 6.125%, 03/15/12 (a) 4,470 4,970
23
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Consumers Energy, Series B 5.375%, 04/15/13 $ 3,580 $ 3,680 Duke Capital 4.370%, 03/01/09 (a) 4,575 4,633 MidAmerican Energy Holdings 3.500%, 05/15/08 (a) 4,600 4,617 Nexen 5.050%, 11/20/13 2,710 2,777 Pemex Project Funding Master Trust 7.375%, 12/15/14 (a) 7,355 8,120 Teppco Partners 7.625%, 02/15/12 4,950 5,850 Valero Energy 6.875%, 04/15/12 (a) 3,415 3,925 ------------ 38,572 ------------ FINANCE - 18.0% Bank of America 7.125%, 09/15/06 5,000 5,573 BankBoston 6.375%, 04/15/08 1,450 1,627 Boeing Capital 5.800%, 01/15/13 (a) 5,000 5,414 Capital One Bank 5.750%, 09/15/10 7,000 7,653 CIT Group 5.500%, 11/30/07 (a) 3,900 4,235 Core Investment Grade Trust 4.727%, 11/30/07 32,140 33,808 Countrywide Home Loans, Series L 4.000%, 03/22/11 (a) 7,170 7,088 Credit Suisse First Boston 3.875%, 01/15/09 (a) 6,270 6,421 Ford Motor Credit 6.500%, 01/25/07 6,275 6,713 7.875%, 06/15/10 13,325 14,900 7.000%, 10/01/13 (a) 5,615 5,934 Fund American Companies 5.875%, 05/15/13 (a) 4,190 4,412 General Electric Capital 4.250%, 12/01/10 22,650 23,234 General Motors Acceptance 6.125%, 08/28/07 (a) 14,260 15,375 7.750%, 01/19/10 (a) 9,830 11,132 Goldman Sachs 5.500%, 11/15/14 7,500 7,991 Household Finance 4.625%, 01/15/08 12,010 12,692 International Lease Finance 4.500%, 05/01/08 (a) 6,400 6,714 J. P. Morgan Chase 4.000%, 02/01/08 10,625 11,031 John Deere Capital 7.000%, 03/15/12 6,125 7,237 Lehman Brothers Holdings 3.600%, 03/13/09 (a) 5,430 5,483 Marsh & McLennan 7.125%, 06/15/09 6,105 7,152 MBNA America Bank 6.750%, 03/15/08 (b) 5,075 5,703 Morgan Stanley 6.799%, 06/15/12 (b) 14,532 16,542 4.750%, 04/01/14 11,775 11,547 National Rural Utilities 5.750%, 08/28/09 (a) $ 3,850 $ 4,268 Washington Mutual 4.000%, 01/15/09 6,320 6,462 ------------ 256,341 ------------ MANUFACTURING - 2.7% Alcan 5.200%, 01/15/14 (a) 4,160 4,365 Centex 7.500%, 01/15/12 3,000 3,557 DaimlerChrysler 6.500%, 11/15/13 9,610 10,387 Halliburton 5.500%, 10/15/10 (b) 4,030 4,263 International Paper 4.000%, 04/01/10 (a) 4,915 4,889 Weyerhaeuser 6.750%, 03/15/12 5,380 6,063 Wyeth 5.250%, 03/15/13 5,450 5,697 ------------ 39,221 ------------ REAL ESTATE - 1.1% Boston Properties (REIT) 6.250%, 01/15/13 (a) 3,245 3,594 EOP Operating 6.750%, 02/15/08 (a) 5,000 5,602 Mack-Cali Realty (REIT) 7.250%, 03/15/09 4,500 5,211 Rouse (REIT) 3.625%, 03/15/09 2,000 1,988 ------------ 16,395 ------------ SERVICES - 2.5% AOL Time Warner 6.875%, 05/01/12 (a) 2,070 2,356 AT&T Broadband 8.375%, 03/15/13 (a) 7,580 9,395 Kroger 7.450%, 03/01/08 4,000 4,615 Liberty Media 3.500%, 09/25/06 2,200 2,234 News America 6.625%, 01/09/08 (a) 5,820 6,563 Univision Communications 3.875%, 10/15/08 4,655 4,739 Waste Management 6.875%, 05/15/09 4,880 5,595 ------------ 35,497 ------------ TRANSPORTATION - 0.8% Delta Air Lines, Series 2000-1, Cl A2 7.570%, 11/18/10 2,155 2,133 Hertz 7.625%, 06/01/12 2,000 2,155 Union Pacific 6.625%, 02/01/08 6,000 6,690 ------------ 10,978 ------------ UTILITIES - 4.2% AT&T 7.500%, 04/01/04 1,150 1,150 8.050%, 11/15/11 8,425 9,838
The accompanying notes are an integral part of the financial statements. 24
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- AT&T Wireless Services 7.875%, 03/01/11 $ 3,095 $ 3,685 Deutsche Telecom 8.500%, 06/15/10 3,690 4,525 Exelon Generation 5.350%, 01/15/14 (b) 3,935 4,074 FPL Group Capital 7.625%, 09/15/06 4,540 5,106 Northern State Power - Minnesota, Series B 8.000%, 08/28/12 3,130 3,929 Pacific Gas & Electric 4.200%, 03/01/11 (a) 2,065 2,065 Progress Energy 6.850%, 04/15/12 (a) 3,920 4,467 Southern California Edison 5.000%, 01/15/14 (a) 2,000 2,047 Sprint Capital 8.375%, 03/15/12 (a) 4,965 6,038 Verizon Global Funding 7.250%, 12/01/10 (a) 3,750 4,404 6.875%, 06/15/12 3,925 4,529 Vodafone Group 7.625%, 02/15/05 3,500 3,677 ------------ 59,534 ------------ YANKEE - 0.3% Corporacion Andina De Fomento 5.200%, 05/21/13 3,651 3,753 ------------ TOTAL CORPORATE BONDS (Cost $478,832) 495,452 ------------ ASSET-BACKED SECURITIES - 11.7% AUTOMOBILES - 6.0% Capital Auto Receivables Asset Trust Series 2004-1, Cl A3 2.000%, 11/15/07 11,560 11,609 Capital One Auto Finance Trust Series 2001-A, Cl A4 5.400%, 05/15/08 5,000 5,139 Honda Auto Receivables Owner Trust Series 2003-1, Cl A3 1.920%, 11/20/06 15,360 15,441 Series 2002-4, Cl A4 2.700%, 03/17/08 7,345 7,466 MMCA Automobile Trust Series 2002-2, Cl A4 4.300%, 03/15/10 4,525 4,597 Nissan Auto Receivables Owner Trust Series 2003-B, Cl A3 1.510%, 08/15/07 9,750 9,743 Onyx Acceptance Auto Trust Series 2004-A, Cl A3 2.190%, 03/17/08 9,185 9,218 Toyota Auto Receivables Owners Trust Series 2002-B, Cl A4 4.390%, 05/15/09 6,000 6,219 USAA Auto Owner Trust Series 2003-1, Cl A4 2.040%, 02/16/10 1,495 1,506 WFS Financial Owner Trust Series 2003-2, Cl A3 1.760%, 01/21/08 14,270 14,289 ------------ 85,227 ------------ COMMERCIAL - 0.3% Morgan Stanley Capital Investments Series 1999-FNV1, Cl A1 6.120%, 03/15/31 $ 3,288 $ 3,536 ------------ CREDIT CARDS - 3.1% Bank One Issuance Trust Series 2002-A4, Cl A4 2.940%, 06/16/08 13,770 14,043 Capital One Multi-Asset Execution Trust Series 2003-A6, Cl A6 2.950%, 08/17/09 7,500 7,640 Citibank Credit Card Issuance Trust Series 2003-A2, Cl A2 2.700%, 01/15/08 10,000 10,161 MBNA Credit Card Master Note Trust Series 2003-A1, Cl A1 3.300%, 07/15/10 12,560 12,787 ------------ 44,631 ------------ EQUIPMENT LEASES - 1.2% CNH Equipment Trust Series 2003-A, Cl A2 1.460%, 02/15/06 7,488 7,494 Series 2003-B, Cl A3B 2.470%, 01/15/08 9,895 10,002 ------------ 17,496 ------------ HOME EQUITY - 1.1% AFC Home Equity Loan Trust Series 1996-4, Cl 1A7 6.860%, 03/25/27 2,067 2,127 Amresco Residential Security Mortgage Series 1997-3, Cl A9 6.960%, 03/25/27 2,026 2,031 Contimortgage Home Equity Loan Trust Series 1997-2, Cl A9 7.090%, 04/15/28 1,272 1,275 Series 1997-3, Cl A9 7.120%, 08/15/28 2,237 2,284 Delta Funding Home Equity Loan Trust Series 1997-4, Cl A5F 6.670%, 01/25/28 17 17 Saxon Asset Securities Trust Series 2004-1, Cl A 1.361%, 03/25/35 (c) (d) 7,536 7,548 ------------ 15,282 ------------ MANUFACTURED HOUSING - 0.0% Green Tree Financial Series 1996-9, Cl A5 7.200%, 01/15/28 365 365 ------------ TOTAL ASSET-BACKED SECURITIES (Cost $164,813) 166,537 ------------ CMO - PRIVATE MORTGAGE-BACKED SECURITIES - 8.3% ADJUSTABLE RATE (c) - 3.2% IMPAC CMB Trust Series 2003-12, Cl A1 1.470%, 12/25/33 (d) 8,849 8,872 MLCC Mortgage Investors Series 2003-G, Cl A3 2.834%, 01/25/29 10,924 11,126 Series 2003-H, Cl A3A 2.886%, 01/25/29 (b) 4,728 4,840
25
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Sequoia Mortgage Trust Series 2004-3, Cl A 1.400%, 05/20/34, #020043 (d) (e) $ 10,405 $ 10,405 Washington Mutual Series 2003-AR10, Cl A6 4.100%, 10/25/33 10,560 10,759 ------------ 46,002 ------------ FIXED RATE - 5.1% Bank of America Mortgage Securities Series 2003-6, Cl 1A29 4.250%, 08/25/33 9,000 8,987 CS First Boston Mortgage Securities Series 2003-AR24, Cl 2A4 4.187%, 10/25/33 13,390 13,771 Greenwich Capital Commercial Funding Series 2003-C1, Cl A2 3.285%, 07/05/35 5,000 4,950 GRP/AG Real Estate Asset Trust Series 2004-1, Cl A 3.960%, 03/25/09 (d) (e) (f) 1,974 1,973 Series 2003-1, Cl A 5.970%, 11/25/32 (d) (e) (f) 1,170 1,170 GS Mortgage Securities II Series 2003-C1, Cl A2A 3.590%, 01/10/40 13,840 14,102 Nomura Asset Securities Series 1998-D6, Cl A1B 6.590%, 03/15/30 (a) 11,675 13,216 Residential Accredit Loans Series 1997-QS13, Cl M3 7.250%, 12/25/27 2,128 2,143 Series 1998-KS1, Cl AI9 6.440%, 03/25/28 463 469 Salomon Brothers Mortgage Securities Series 1986-1, Cl A 6.000%, 12/25/11 234 234 Wells Fargo Mortgage Backed Securities Trust Series 2003-J, Cl 2A5 4.470%, 10/25/33 11,500 11,806 Westam Mortgage Financial Series 11, Cl A 6.360%, 08/26/20 119 119 ------------ 72,940 ------------ TOTAL CMO - PRIVATE MORTGAGE-BACKED SECURITIES (Cost $118,078) 118,942 ------------ U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 4.0% ADJUSTABLE RATE (c) - 2.5% FHLMC Pool 3.558%, 01/01/28, #786281 5,100 5,271 3.450%, 04/01/29, #847190 (a) 4,952 5,118 3.460%, 10/01/30, #847209 8,846 9,142 3.542%, 05/01/31, #847161 2,367 2,448 3.483%, 09/01/33, #847210 6,334 6,573 FNMA Pool 3.428%, 09/01/33, #725111 7,312 7,610 ------------ 36,162 ------------ DESCRIPTION PAR (000)/CONTRACTS VALUE (000) ---------------------------------------------------------------------------------------- FIXED RATE - 1.5% FHLMC Gold Pool 5.500%, 09/01/06, #G40394 $ 848 $ 864 4.000%, 10/01/10, #M80855 (a) 9,721 9,893 FNMA Pool 6.000%, 07/01/06, #252632 351 358 3.790%, 07/01/13, #386314 (a) 10,288 10,139 5.500%, 04/01/16, #572856 -- -- GNMA Pool 8.500%, 07/20/25, #002038 115 126 ------------ 21,380 ------------ TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $57,436) 57,542 ------------ CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 0.8% FIXED RATE - 0.8% FHLMC REMIC Series 2389, Cl VA 6.000%, 02/15/11 4,010 4,318 Series 1167, Cl E 7.500%, 11/15/21 64 65 Series 1286, Cl A 6.000%, 05/15/22 227 227 Series 1633, Cl PK 6.000%, 09/15/22 1,629 1,649 Series 1634, Cl PH 6.000%, 11/15/22 2,170 2,221 FNMA REMIC Series 1993-55, Cl J 6.500%, 11/25/07 149 150 Series 2002-70, Cl QL 4.500%, 12/25/17 2,105 2,110 Series 1990-89, Cl K 6.500%, 07/25/20 47 50 ------------ TOTAL CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $10,730) 10,790 ------------ TREASURY OBLIGATION - 0.1% U.S. Treasury Bill 0.830%, 04/08/04 (g) 917 916 ------------ TOTAL TREASURY OBLIGATION (Cost $916) 916 ------------ PUT OPTIONS PURCHASED - 0.0% Eurodollar 1 year Mid-Curve June 05 Futures Put, Expires 06/11/04, Exercise price $96.50 310 15 Eurodollar 1 year Mid-Curve June 05 Futures Put, Expires 06/11/04, Exercise price $97 310 43 Eurodollar 1 year Mid-Curve September 05 Futures Put, Expires 09/13/04, Exercise price $96.75 300 128 ------------ TOTAL PUT OPTIONS PURCHASED (Cost $510) 186 ------------
The accompanying notes are an integral part of the financial statements. 26
DESCRIPTION SHARES/PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- AFFILIATED MONEY MARKET FUND - 1.3% First American Prime Obligations Fund, Cl Z (h) 17,860,171 $ 17,860 ------------ TOTAL AFFILIATED MONEY MARKET FUND (Cost $17,860) 17,860 ------------ INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 46.2% COMMERCIAL PAPER - 13.0% Bluegrass 1.160%, 11/18/04 $ 2,633 2,633 1.160%, 2/18/05 2,633 2,633 CIBC NY 1.110%, 9/09/04 13,624 13,624 Concord Min Capital 1.100%, 4/07/04 14,848 14,848 1.100%, 4/08/04 4,844 4,844 1.100%, 4/14/04 2,106 2,106 Descartes Funding Trust 1.150%, 11/15/04 5,265 5,265 Emerald Trust 1.063%, 5/06/04 5,260 5,260 Ford Credit Floor Plan 1.063%, 5/03/04 15,781 15,781 Goldman Sachs 1.163%, 1/18/05 5,265 5,265 Independent IV 1.048%, 10/15/04 6,845 6,845 Lakeside Funding 1.142%, 4/08/04 12,058 12,058 Leafs 1.339%, 4/20/04 7,266 7,266 Lehman Brothers 1.133%, 7/23/04 3,686 3,686 1.123%, 8/23/04 2,632 2,632 Moat Funding 1.157%, 5/05/04 10,520 10,520 Morgan Stanley 1.054%, 6/11/04 5,265 5,265 Mortgage Int Network 1.062%, 4/27/04 5,261 5,261 1.042%, 5/11/04 5,259 5,259 1.063%, 6/07/04 5,255 5,255 Norddeutsche Landesbank 1.110%, 9/09/04 5,240 5,240 Orchard Park 1.180%, 7/06/04 11,374 11,374 1.200%, 10/06/04 3,686 3,686 Park Granada 1.083%, 4/07/04 4,738 4,738 1.063%, 4/13/04 3,158 3,158 1.063%, 4/13/04 8,421 8,421 1.063%, 5/06/04 1,578 1,578 Sigma Finance 1.157%, 5/04/04 10,520 10,520 ------------ TOTAL COMMERCIAL PAPER 185,021 ------------ CORPORATE OBLIGATIONS - 10.2% Allstate Life Global 1.040%, 2/15/05 10,531 10,531 Castle Hill III 1.211%, 9/16/04 3,159 3,159 Duke Funding VI 1.180%, 4/08/05 6,371 6,371 DESCRIPTION PAR (000)/SHARES VALUE (000) ---------------------------------------------------------------------------------------- General Electric Corporation 1.139%, 4/08/05 $ 5,272 $ 5,272 Jefferson Pilot 1.062%, 2/17/05 5,265 5,265 Metlife Global Funding 1.137%, 3/28/05 4,423 4,423 0.991%, 4/15/05 6,319 6,319 Merrill Lynch 1.063%, 4/04/05 10,529 10,529 Morgan Stanley 1.137%, 3/24/05 5,265 5,265 Northlake CDO 1.205%, 3/07/05 3,159 3,159 Premium Asset Trust 1.254%, 6/01/04 15,691 15,691 1.037%, 12/22/04 7,897 7,897 Residential Mortgage Securities 1.102%, 9/11/04 7,393 7,393 Sigma Finance 1.143%, 8/09/04 10,529 10,529 SMM Trust 2003-H 1.183%, 9/23/04 13,625 13,625 Societe Generale NYC 1.148%, 12/08/04 10,531 10,531 WestDeutsche LandesBank 1.220%, 6/03/04 8,424 8,424 1.150%, 8/02/04 10,531 10,531 ------------ TOTAL CORPORATE OBLIGATIONS 144,914 ------------ MONEY MARKET FUNDS - 0.6% AIM Short Term Liquid Asset Portfolio 1,579,581 1,580 Merrill Lynch Premier Institutional Fund 6,615,619 6,616 ------------ TOTAL MONEY MARKET FUNDS 8,196 ------------ OTHER SHORT-TERM INVESTMENTS - 2.6% Commonwealth Life 1.303%, 4/01/04 $ 5,317 5,317 General Electric Capital Assurance 1.200%, 1/19/05 2,106 2,106 HBOS Treasury Services 1.020%, 3/01/05 5,785 5,785 Liquid Funding 1.065%, 8/23/04 5,265 5,265 0.488%, 9/14/04 5,265 5,265 Security Life Denver 1.270%, 7/13/04 13,690 13,690 ------------ TOTAL OTHER SHORT-TERM INVESTMENTS 37,428 ------------ REPURCHASE AGREEMENTS - 19.8% Bear Stearns 1.200%, dated 3/31/04, matures 4/20/04, repurchase price $21,075,124 (collateralized by Various Securities: Total Market Value $21,983,246) 21,061 21,061 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $6,107,899 (collateralized by U.S. Government Securities: Total Market Value $6,229,877) 6,108 6,108 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $7,898,145 (collateralized by U.S. Government Securities: Total Market Value $8,056,259) 7,898 7,898
27
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $28,959,866 (collateralized by U.S. Government Securities: Total Market Value $29,538,471) $ 28,959 $ 28,959 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $3,685,815 (collateralized by Collateralized Mortgage Obligations: Total Market Value $3,870,119) 3,686 3,686 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $7,371,630 (collateralized by Collateralized Mortgage Obligations: Total Market Value $7,740,100) 7,371 7,371 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $8,424,720 (collateralized by Collateralized Mortgage Obligations: Total Market Value $8,845,953) 8,424 8,424 Deutsche Bank 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $10,530,858 (collateralized by U.S. Government Securities: Total Market Value $10,741,153) 10,531 10,531 Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $2,106,172 (collateralized by U.S. Government Securities: Total Market Value $2,148,231) 2,106 2,106 Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $11,583,943 (collateralized by U.S. Government Securities: Total Market Value $11,815,268) 11,584 11,584 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $3,159,269 (collateralized by Corporate Securities: Total Market Value $3,256,870) 3,159 3,159 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $7,371,627 (collateralized by Corporate Securities: Total Market Value $7,599,362) 7,371 7,371 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $10,530,896 (collateralized by Corporate Securities: Total Market Value $10,856,336) 10,531 10,531 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $30,013,055 (collateralized by Corporate Securities: Total Market Value $30,940,261) 30,012 30,012 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $5,265,457 (collateralized by Corporate Securities: Total Market Value $5,372,748) 5,265 5,265 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $5,265,457 (collateralized by Corporate Securities: Total Market Value $5,428,120) $ 5,265 $ 5,265 J P Morgan 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $5,476,047 (collateralized by U.S. Government Securities: Total Market Value $5,585,741) 5,476 5,476 Lehman Brothers 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $26,327,144 (collateralized by Various Securities: Total Market Value $26,853,315) 26,326 26,326 Lehman Brothers 1.200%, dated 3/31/04, matures 4/1/04, repurchase price $3,685,812 (collateralized by Corporate Securities: Total Market Value $4,227,259) 3,686 3,686 Lehman Brothers 1.243%, dated 3/31/04, matures 4/1/04, repurchase price $21,061,810 (collateralized by Various Securities: Total Market Value $21,482,305) 21,061 21,061 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $4,738,887 (collateralized by U.S. Government Securities: Total Market Value $4,833,519) 4,739 4,739 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $8,424,688 (collateralized by U.S. Government Securities: Total Market Value $8,626,595) 8,424 8,424 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $9,477,774 (collateralized by U.S. Government Securities: Total Market Value $9,711,754) 9,478 9,478 Morgan Stanley 1.133%, dated 3/31/04, matures 4/1/04, repurchase price $32,751,015 (collateralized by Collateralized Mortgage Obligations & Asset-Backed Securities: Total Market Value $34,515,057) 32,750 32,750 ------------ TOTAL REPURCHASE AGREEMENTS 281,271 ------------ TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $656,830) 656,830 ------------ TOTAL INVESTMENTS - 145.5% (Cost $2,046,107) 2,070,705 ------------ OTHER ASSETS AND LIABILITIES, NET - (45.5)% (647,678) ------------ TOTAL NET ASSETS - 100.0% $ 1,423,027 ------------
The accompanying notes are an integral part of the financial statements. 28 (a) This security or a portion of this security is out on loan at March 31, 2004. Total loaned securities had a value of $642,196,679 at March 31, 2004. See note 2 in Notes to Financial Statements. (b) Security sold within the terms of a private placement memorandum, exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional buyers." These securities have been determined to be liquid under the guidelines established by the Funds' board of directors. As of March 31, 2004, the value of these investments was $38,048,898 or 2.7% of total net assets. See note 2 in Notes to Financial Statements. (c) Variable Rate Security - The rate shown is the rate in effect as of March 31, 2004. (d) Delayed Interest (Step-Bonds) - Represents securities that remain zero-coupon securities until a predetermined date at which time the stated coupon rate becomes effective and interest becomes payable at regular intervals. Interest rate shown represents current yield at March 31, 2004, based upon the estimated timing and amount of future interest and principal payments. (e) Securities considered illiquid or restricted. As of March 31, 2004, the value of these investments was $13,547,225 or 0.1% of total net assets. See note 2 in Notes to Financial Statements. (f) This is a Rule 144A security that has been deemed illiquid. Due to the lack of an available price from an independent pricing service, the security is priced through an independent broker. See note 2 in Notes to Financial Statements. (g) Security has been deposited as inital margin on open futures contracts. Yield shown is effective yield at date of purchase. See note 2 in Notes to Financial Statements. (h) Investment in affiliated security. This money market fund is advised by U.S. Bancorp Asset Management, Inc., which also serves as advisor for this Fund. See note 3 in Notes to Financial Statements. Cl - Class CMO - Collateralized Mortgage Obligation FHLB - Federal Home Loan Bank FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GNMA - Government National Mortgage Association REIT - Real Estate Investment Trust REMIC - Real Estate Mortgage Investment Conduit SHORT TERM BOND FUND
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- CORPORATE BONDS - 37.4% CONSUMER GOODS - 1.9% Colgate-Palmolive Series E 3.980%, 04/29/05 $ 3,000 $ 3,082 Series D 5.340%, 03/27/06 2,950 3,151 Conagra Foods 7.500%, 09/15/05 (g) 8,207 8,878 Gillette, Callable 10/15/04 @ 100 3.500%, 10/15/07 6,000 6,100 ------------ 21,211 ------------ ENERGY - 1.0% Anadarko Petroleum 5.375%, 03/01/07 (g) 6,365 6,857 Pemex Project Funding Master Trust 6.125%, 08/15/08 4,000 4,321 ------------ 11,178 ------------ FINANCE - 24.0% Allstate 7.875%, 05/01/05 2,700 2,885 American General Finance 5.910%, 06/12/06 1,000 1,081 Bank of America 4.750%, 10/15/06 (g) 6,000 6,377 Bank One 7.625%, 08/01/05 (g) 7,000 7,561 Bayerische Landesbank 2.500%, 03/30/06 5,500 5,560 Bear Stearns 6.500%, 05/01/06 10,900 11,888 Boeing Capital 5.650%, 05/15/06 7,000 7,489 Caterpillar Financial Services, Series F 4.690%, 04/25/05 10,000 10,328 CIT Group Holdings 6.625%, 06/15/05 4,000 4,237 Citigroup 5.500%, 08/09/06 (g) 4,000 4,312 Conoco Funding 5.450%, 10/15/06 8,600 9,280 Countrywide Home Loan, Series K 3.500%, 12/19/05 8,000 8,223 Credit Suisse First Boston 7.750%, 05/15/06 (a) 7,350 8,180 Danske Bank 7.250%, 06/15/05 (a) 10,000 10,670 First Union 6.875%, 09/15/05 7,000 7,523 Ford Motor Credit 6.875%, 02/01/06 9,000 9,582 5.625%, 10/01/08 (g) 11,000 11,374 General Electric Capital, Series A 2.850%, 01/30/06 (g) 6,000 6,110 5.350%, 03/30/06 (g) 4,000 4,270 General Motors Acceptance 6.750%, 01/15/06 (g) 9,000 9,628 5.850%, 01/14/09 7,000 7,434
29
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Goldman Sachs 7.250%, 10/01/05 (a) $ 8,000 $ 8,645 Household Finance 8.000%, 05/09/05 (g) 7,000 7,489 International Lease Finance 5.625%, 06/01/07 7,000 7,603 J.P. Morgan Chase 6.875%, 01/15/07 4,000 4,465 Key Bank 7.250%, 06/01/05 2,000 2,123 7.125%, 08/15/06 4,000 4,403 Lehman Brothers Holdings 6.250%, 05/15/06 7,000 7,616 Series F 7.500%, 09/01/06 3,000 3,384 Marsh & McLennan 3.625%, 02/15/08 10,000 10,233 MBNA America Bank 7.750%, 09/15/05 (a) 9,215 9,952 Mellon Funding 7.500%, 06/15/05 2,100 2,250 Merrill Lynch 7.375%, 05/15/06 1,473 1,625 Series B 6.130%, 05/16/06 (g) 3,655 3,971 Metropolitan Life Global Funding I 4.750%, 06/20/07 (a) (g) 8,000 8,528 Morgan Stanley 7.750%, 06/15/05 6,500 6,988 National Rural Utilities 6.000%, 05/15/06 (g) 8,000 8,649 St. Paul Companies 7.875%, 04/15/05 5,000 5,320 Wells Fargo 4.800%, 07/29/05 4,500 4,696 ------------ 261,932 ------------ MANUFACTURING - 1.4% Alcan 1.446%, 12/08/04 (a) (f) 2,000 2,000 Compaq Computer 7.650%, 08/01/05 5,000 5,388 DaimlerChrysler, Series A 7.375%, 09/15/06 (g) 3,945 4,366 Hewlett-Packard, Series A 3.375%, 12/15/05 4,000 4,098 ------------ 15,852 ------------ SERVICES - 3.8% AOL Time Warner 5.625%, 05/01/05 8,000 8,331 Boston Scientific 6.625%, 03/15/05 8,000 8,379 Comcast Cable Communications 6.200%, 11/15/08 4,000 4,432 Gannett Co. 4.950%, 04/01/05 5,000 5,177 R. R. Donnelley & Sons, Series C 6.700%, 06/21/05 3,500 3,701 UnitedHealth Group 3.750%, 02/10/09 5,000 5,088 Viacom 7.150%, 05/20/05 (g) $ 5,874 $ 6,245 ------------ 41,353 ------------ TRANSPORTATION - 0.5% CSX 2.750%, 02/15/06 5,000 5,056 ------------ UTILITIES - 2.5% AT&T Wireless Services 7.350%, 03/01/06 5,000 5,477 Deutsche Telekom 3.875%, 07/22/08 4,000 4,110 Dominion Resources, Series B 7.625%, 07/15/05 (g) 8,000 8,612 Sprint Capital 6.125%, 11/15/08 4,000 4,411 Verizon Wireless 5.375%, 12/15/06 4,000 4,310 ------------ 26,920 ------------ YANKEE - 2.3% Diageo Capital 6.125%, 08/15/05 (g) 6,090 6,466 Hanson Overseas 6.750%, 09/15/05 8,000 8,544 Ontario (Province of) 7.000%, 08/04/05 7,000 7,506 Quebec (Province of), Series NY 6.500%, 01/17/06 2,335 2,527 ------------ 25,043 ------------ TOTAL CORPORATE BONDS (Cost $404,201) 408,545 ------------ ASSET-BACKED SECURITIES - 28.2% AUTOMOBILES - 8.3% AESOP Funding II Series 2003-2A, Cl A1 2.740%, 06/20/07 (a) 10,000 10,139 Auto Bond Receivables Trust Series 1993-I, Cl A 6.125%, 11/15/21 (b) (c) 106 -- BMW Vehicle Owner Trust Series 2003-A, Cl A3 1.940%, 02/25/07 5,000 5,029 Capital Auto Receivables Asset Trust Series 2002-5, Cl A3B 2.300%, 04/17/06 3,000 3,016 Series 2003-3, Cl A2A 2.350%, 10/16/06 6,000 6,064 Capital One Auto Finance Trust Series 2003-A, Cl A4A 2.470%, 01/15/10 7,000 7,029 Chase Manhattan Auto Owner Trust Series 2001-A, Cl A3 4.550%, 08/15/05 70 70 Harley-Davidson Motorcycle Trust Series 2003-2, Cl A2 2.070%, 02/15/11 7,000 6,985 Honda Auto Receivables Owner Trust Series 2003-1, Cl A3 1.920%, 11/20/06 4,000 4,021
The accompanying notes are an integral part of the financial statements. 30
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Series 2002-4, Cl A4 2.700%, 03/17/08 $ 3,500 $ 3,558 Household Automotive Trust Series 2001-2, Cl A3 4.830%, 03/17/06 521 523 Nissan Auto Lease Trust Series 2002-A, Cl A3B 2.560%, 08/15/07 (a) 6,391 6,433 Nissan Auto Receivables Owner Trust Series 2002-C, Cl A4 3.330%, 01/15/08 4,600 4,722 Toyota Auto Receivables Owner Trust Series 2003-B, Cl A4 2.790%, 01/15/10 7,000 7,105 Series 2003-A, Cl A4 2.200%, 03/15/10 4,000 4,025 Wells Fargo Financial Auto Owner Trust Series 2004-A, Cl A3 2.060%, 06/16/08 7,000 7,024 WFS Financial Owner Trust Series 2002-4, Cl A3A 2.390%, 08/20/07 6,000 6,039 Series 2003-1, Cl A4 2.740%, 09/20/10 8,530 8,671 ------------ 90,453 ------------ COMMERCIAL - 0.7% LB-UBS Commercial Mortgage Trust Series 2004-C2, Cl A1 2.946%, 03/15/29 (b) (d) 8,000 8,005 ------------ CREDIT CARDS - 8.4% Bank One Issuance Trust Series 2002-A2, Cl A2 4.160%, 01/15/08 5,335 5,496 Capital One Master Trust Series 2001-5, Cl A 5.300%, 06/15/09 4,000 4,297 Series 2001-8A, Cl A 4.600%, 08/17/09 6,000 6,363 Capital One Multi-Asset Execution Trust Series 2003-A6, Cl A6 2.950%, 08/17/09 7,000 7,131 Citibank Credit Card Issuance Trust Series 2002-A3, Cl A3 4.400%, 05/15/07 7,000 7,219 Series 2001-A6, Cl A6 5.650%, 06/16/08 7,730 8,329 Series 2004-A1, Cl A1 2.550%, 01/20/09 7,800 7,852 Discover Card Master Trust I Series 2000-9, Cl A 6.350%, 01/15/06 2,000 2,159 Series 2001-6, Cl A 5.750%, 12/15/08 5,000 5,391 Fleet Credit Card Master Trust II Series 2000-C, Cl A 7.020%, 02/15/08 3,190 3,425 Series 2003-A, Cl A 2.400%, 07/15/08 8,500 8,591 MBNA Master Credit Card Trust Series 2000-A, Cl A 7.350%, 07/16/07 7,000 7,348 Series 2001-A1, Cl A1 5.750%, 10/15/08 8,500 9,140 Providian Gateway Master Trust Series 2004-AA, Cl C 1.990%, 03/15/11 (b) (h) $ 7,000 $ 7,000 Sears Credit Account Master Trust Series 1999-3, Cl A 6.450%, 11/17/09 1,667 1,735 ------------ 91,476 ------------ EQUIPMENT LEASES - 2.3% CIT Equipment Collateral Series 2004-VT1, Cl A3 2.200%, 03/20/08 7,400 7,400 Series 2001-A, Cl A4 4.840%, 09/20/12 3,389 3,454 CNH Equipment Trust Series 2003-A, Cl A2 1.460%, 02/15/06 3,328 3,331 Series 2003-B, Cl A2 1.710%, 05/15/06 10,800 10,830 ------------ 25,015 ------------ HOME EQUITY - 5.9% Aames Mortgage Trust Series 2002-1, Cl A2 5.378%, 06/25/29 (e) 1,500 1,530 Advanta Mortgage Loan Trust Series 2000-2, Cl A4 7.930%, 04/25/23 (e) 2,019 2,111 AFC Home Equity Loan Trust Series 1997-2, Cl 1A5 6.970%, 06/25/27 607 626 Centex Home Equity Series 2000-C, Cl A4 7.720%, 05/25/29 3,637 3,838 Series 2003-C, Cl AV 1.355%, 09/26/33 (f) 6,100 6,111 Chase Funding Mortgage Loan Series 2002-4, Cl 1A2 2.810%, 10/25/17 4,000 4,007 Series 2003-1, Cl 2A1 2.176%, 12/25/21 292 292 Contimortgage Home Equity Loan Trust Series 1998-2, Cl A7 6.570%, 03/15/23 2,000 2,044 Emergent Home Equity Loan Trust Series 1997-3, Cl A5 7.290%, 10/20/28 1,663 1,726 Equivantage Home Equity Loan Trust Series 1996-1, Cl A 6.550%, 10/25/25 463 463 Series 1996-4, Cl A 6.750%, 01/25/28 1,344 1,343 FNMA Series 2002-W11, Cl AF3 3.318%, 11/25/32 4,017 4,039 GMAC Mortgage Corporation Loan Trust Series 2004-HE2, Cl M1 3.950%, 10/25/33 (b) (e) 4,850 4,847 Household Home Equity Loan Trust Series 2003-1, Cl A 1.541%, 10/20/32 (f) 3,283 3,292 IMC Home Equity Loan Trust Series 1998-3, Cl A7 6.720%, 08/20/29 (e) 4,539 4,709 New Century Home Equity Loan Trust Series 1997-NC6, Cl A7 7.190%, 01/25/29 (e) 4,120 4,222
31
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Residential Asset Mortgage Products Series 2002-RS6, Cl AI3 3.821%, 01/25/28 $ 5,971 $ 6,018 Saxon Asset Securities Trust Series 2001-1, Cl AF5 6.853%, 03/25/32 (e) 5,000 5,355 Series 2004-1, Cl M1 1.650%, 03/25/35 (e) 8,000 8,029 ------------ 64,602 ------------ MANUFACTURED HOUSING - 0.1% Oakwood Mortgage Investors Series 1999-A, Cl A2 5.890%, 04/15/29 451 452 ------------ UTILITIES - 2.5% Detroit Edison Securitization Funding Series 2001-1, Cl A3 5.875%, 03/01/10 5,000 5,455 Massachusetts RRB Special Purpose Trust Series 1999-1, Cl A4 6.910%, 09/15/09 5,200 5,789 Peco Energy Transition Trust Series 1999-A, Cl A4 5.800%, 03/01/07 1,470 1,529 Series 1999-A, Cl A6 6.050%, 03/01/09 9,315 10,130 Public Service New Hampshire Funding Series 2001-1, Cl A2 5.730%, 11/01/10 4,416 4,789 ------------ 27,692 ------------ TOTAL ASSET-BACKED SECURITIES (Cost $306,130) 307,695 ------------ U.S. GOVERNMENT & AGENCY SECURITIES - 23.9% U.S. AGENCY DEBENTURES - 18.5% FFCB 2.300%, 05/25/05 (g) 2,800 2,831 FHLB 3.000%, 08/15/05 (g) 7,000 7,148 6.500%, 11/15/05 (g) 7,000 7,551 2.500%, 12/15/05 (g) 8,000 8,119 2.000%, 02/13/06 (g) 5,000 5,027 5.375%, 02/15/06 (g) 5,000 5,337 5.375%, 05/15/06 (g) 3,000 3,221 FHLMC 4.250%, 06/15/05 (g) 10,000 10,345 7.000%, 07/15/05 (g) 3,500 3,749 1.500%, 08/15/05 (g) 10,000 10,008 2.875%, 09/15/05 (g) 8,000 8,158 5.250%, 01/15/06 (g) 7,000 7,438 2.375%, 04/15/06 (g) 5,000 5,058 2.280%, 06/02/06 (g) Callable 06/02/04 @ 100 7,000 7,000 5.500%, 07/15/06 (g) 3,000 3,234 2.375%, 02/15/07 (g) 10,000 10,049 2.375%, 03/29/07 (g) Callable 03/29/05 @ 100 8,000 7,950 FNMA 5.750%, 06/15/05 (g) $ 4,000 $ 4,210 7.000%, 07/15/05 (g) 13,375 14,326 2.875%, 10/15/05 (g) 8,000 8,164 5.500%, 05/02/06 (g) 10,000 10,724 2.000%, 06/09/06 (g) Callable 06/09/04 @ 100 7,000 6,965 4.750%, 01/02/07 (g) 8,100 8,625 3.500%, 10/15/07 (g) Callable 10/15/04 @ 100 5,000 5,050 4.000%, 09/02/08 (g) 10,000 10,368 6.375%, 06/15/09 10,000 11,505 TVA 6.375%, 06/15/05 (g) 9,500 10,069 ------------ 202,229 ------------ U.S. TREASURIES - 5.4% U.S. Treasury Notes 1.625%, 09/30/05 (g) 9,000 9,042 5.750%, 11/15/05 (g) 6,000 6,420 1.875%, 12/31/05 (g) 10,000 10,072 2.000%, 05/15/06 (g) 6,000 6,050 4.625%, 05/15/06 (g) 10,000 10,627 2.375%, 08/15/06 (g) 3,000 3,045 2.625%, 05/15/08 (g) 8,000 8,051 3.375%, 12/15/08 (g) 5,000 5,148 ------------ 58,455 ------------ TOTAL U.S. GOVERNMENT & AGENCY SECURITIES (Cost $257,448) 260,684 ------------ U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 5.7% ADJUSTABLE RATE (f) - 4.6% FHLMC Pool 3.518%, 01/01/29, #846946 1,462 1,512 5.372%, 04/01/30, #972055 (g) 1,606 1,676 3.311%, 05/01/30, #847014 (g) 1,445 1,482 3.479%, 10/01/30, #847241 (g) 7,052 7,283 4.522%, 10/01/32, #847063 (g) 2,933 3,016 4.267%, 05/01/33, #780456 (g) 5,207 5,350 FNMA Pool 3.392%, 02/01/28, #415285 754 771 5.043%, 06/01/31, #625338 (g) 1,704 1,749 4.792%, 03/01/32, #545791 (g) 950 973 5.046%, 05/01/32, #634948 (g) 1,875 1,925 4.492%, 10/01/32, #661645 (g) 4,172 4,251 4.629%, 12/01/32, #671884 (g) 6,920 7,054 3.861%, 03/01/33, #555369 (g) 5,362 5,535 GNMA Pool 4.750%, 08/20/21, #8824 608 623 4.750%, 07/20/22, #8006 (g) 682 700 4.750%, 09/20/25, #8699 418 428 4.375%, 04/20/26, #8847 407 415 4.750%, 08/20/27, #80106 127 130 4.375%, 01/20/28, #80154 214 217 3.250%, 05/20/29, #80283 (g) 1,226 1,239 3.250%, 06/20/29, #80291 (g) 2,091 2,115 2.875%, 11/20/30, #80469 (g) 1,166 1,177 3.500%, 04/20/31, #80507 (g) 712 720 ------------ 50,341 ------------ FIXED RATE - 1.1% FHLMC Pool 7.750%, 07/01/09, #184513 14 15 FHLMC Gold Pool 5.500%, 10/01/06, #M90680 433 444
The accompanying notes are an integral part of the financial statements. 32
DESCRIPTION PAR (000)/CONTRACTS VALUE (000) ---------------------------------------------------------------------------------------- FNMA Pool 6.195%, 06/01/07, #410601 (g) $ 4,983 $ 5,437 5.500%, 05/01/12, #254340 (g) 2,990 3,134 GNMA Pool 4.500%, 08/20/31, #80535 (g) 2,716 2,739 5.500%, 02/20/32, #80580 (g) 699 707 ------------ 12,476 ------------ TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $62,667) 62,817 ------------ CMO - PRIVATE MORTGAGE-BACKED SECURITIES - 2.5% ADJUSTABLE RATE (f) - 1.0% Washington Mutual Series 2003-AR3, Cl A5 3.927%, 04/25/33 5,550 5,643 Washington Mutual Series 2003-AR10, Cl A6 4.100%, 10/25/33 5,000 5,094 ------------ 10,737 ------------ FIXED RATE - 1.5% Merrill Lynch Mortgage Investors Series 2003-A5, Cl 2A3 3.246%, 08/25/33 5,763 5,800 Residential Asset Securitization Trust Series 2002-A12, Cl 1A1 5.200%, 11/25/32 10,410 10,596 ------------ 16,396 ------------ TOTAL CMO - PRIVATE MORTGAGE-BACKED SECURITIES (Cost $27,084) 27,133 ------------ CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 0.9% FIXED RATE - 0.9% FHLMC REMIC Series 2533, Cl PA 4.750%, 03/15/10 (g) 2,380 2,384 Series 1022, Cl J 6.000%, 12/15/20 97 97 Series 2589, Cl GK 4.000%, 03/15/26 (g) 6,902 7,051 FNMA REMIC Series 1992-150, Cl MA 5.500%, 09/25/22 292 303 ------------ TOTAL CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $9,898) 9,835 ------------ TREASURY OBLIGATION - 0.0% U.S. Treasury Bill 0.910%, 05/20/04 10 10 ------------ TOTAL TREASURY OBLIGATION (Cost $10) 10 ------------ PUT OPTIONS PURCHASED - 0.0% Eurodollar 1 year Mid-Curve September 05 Futures Put, Expires 09/13/04, Exercise price $96.75 250 106 ------------ TOTAL PUT OPTIONS PURCHASED (Cost $101) 106 ------------ DESCRIPTION SHARES/PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- AFFILIATED MONEY MARKET FUND - 0.9% First American Prime Obligations Fund, Cl Z (i) 9,416,086 $ 9,416 ------------ TOTAL AFFILIATED MONEY MARKET FUND (Cost $9,416) 9,416 ------------ INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 31.7% COMMERCIAL PAPER - 8.9% Bluegrass 1.160%, 11/18/04 $ 1,390 1,390 1.160%, 2/18/05 1,390 1,390 CIBC NY 1.110%, 9/09/04 7,196 7,196 Concord Min Capital 1.100%, 4/07/04 7,842 7,842 1.100%, 4/08/04 2,559 2,559 1.100%, 4/14/04 1,112 1,112 Descartes Funding Trust 1.150%, 11/15/04 2,781 2,781 Emerald Trust 1.063%, 5/06/04 2,778 2,778 Ford Credit Floor Plan 1.063%, 5/03/04 8,335 8,335 Goldman Sachs 1.163%, 1/18/05 2,781 2,781 Independent IV 1.048%, 10/15/04 3,615 3,615 Lakeside Funding 1.142%, 4/08/04 6,368 6,368 Leafs 1.339%, 4/20/04 3,838 3,838 Lehman Brothers 1.133%, 7/23/04 1,947 1,947 1.123%, 8/23/04 1,390 1,390 Moat Funding 1.157%, 5/05/04 5,557 5,557 Morgan Stanley 1.054%, 6/11/04 2,781 2,781 Mortgage Int Network 1.062%, 4/27/04 2,779 2,779 1.042%, 5/11/04 2,778 2,778 1.063%, 6/07/04 2,776 2,776 Norddeutsche Landesbank 1.110%, 9/09/04 2,768 2,768 Orchard Park 1.180%, 7/06/04 6,007 6,007 1.200%, 10/06/04 1,947 1,947 Park Granada 1.083%, 4/07/04 2,502 2,502 1.063%, 4/13/04 1,668 1,668 1.063%, 4/13/04 4,448 4,448 1.063%, 5/06/04 834 834 Sigma Finance 1.157%, 5/04/04 5,557 5,557 ------------ TOTAL COMMERCIAL PAPER 97,724 ------------ CORPORATE OBLIGATIONS - 7.0% Allstate Life Global 1.040%, 2/15/05 5,562 5,562 Castle Hill III 1.211%, 9/16/04 1,669 1,669 Duke Funding VI 1.180%, 4/08/05 3,365 3,365
33
DESCRIPTION PAR (000)/SHARES VALUE (000) ---------------------------------------------------------------------------------------- General Electric Capital 1.139%, 4/08/05 $ 2,785 $ 2,785 Jefferson Pilot 1.062%, 2/17/05 2,781 2,781 Metlife Global Funding 1.137%, 3/28/05 2,336 2,336 0.991%, 4/15/05 3,338 3,338 Merrill Lynch 1.063%, 4/04/05 5,561 5,561 Morgan Stanley 1.137%, 3/24/05 2,781 2,781 Northlake 1.205%, 3/07/05 1,669 1,669 Premium Asset Trust 1.254%, 6/01/04 8,287 8,287 1.037%, 12/22/04 4,171 4,171 Residential Mortgage Securities 1.102%, 9/11/04 3,905 3,905 Sigma Finance 1.143%, 8/09/04 5,561 5,561 SMM Trust 2003-H 1.183%, 9/23/04 7,196 7,196 Societe Generale NYC 1.148%, 12/08/04 5,562 5,562 WestDeutsche LandesBank 1.220%, 6/03/04 4,450 4,449 1.150%, 8/02/04 5,562 5,562 ------------ TOTAL CORPORATE OBLIGATIONS 76,540 ------------ MONEY MARKET FUNDS - 0.4% AIM Short Term Liquid Asset Portfolio 834,298 834 Merrill Lynch Premier Institutional Fund 3,494,214 3,494 ------------ TOTAL MONEY MARKET FUNDS 4,328 ------------ OTHER SHORT-TERM INVESTMENTS - 1.8% Commonwealth Life 1.303%, 4/01/04 $ 2,808 2,808 General Electric Capital Assurance 1.200%, 1/19/05 1,112 1,112 HBOS Treasury Services 1.020%, 3/01/05 3,056 3,056 Liquid Funding 1.065%, 8/23/04 2,781 2,781 0.488%, 9/14/04 2,781 2,781 Security Life Denver 1.270%, 7/13/04 7,231 7,231 ------------ TOTAL OTHER SHORT-TERM INVESTMENTS 19,769 ------------ REPURCHASE AGREEMENTS - 13.6% Bear Stearns 1.200%, dated 3/31/04, matures 4/20/04, repurchase price $11,131,383 (collateralized by Various Securities: Total Market Value $11,611,032) 11,124 11,124 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $3,226,048 (collateralized by U.S. Government Securities: Total Market Value $3,290,474) 3,226 3,226 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $4,171,614 (collateralized by U.S. Government Securities: Total Market Value $4,255,126) 4,171 4,171 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $15,295,918 (collateralized by U.S. Government Securities: Total Market Value $15,601,523) $ 15,295 $ 15,295 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $1,946,761 (collateralized by Collateralized Mortgage Obligations: Total Market Value $2,044,105) 1,947 1,947 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $3,893,521 (collateralized by Collateralized Mortgage Obligations: Total Market Value $4,088,138) 3,893 3,893 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $4,449,738 (collateralized by Collateralized Mortgage Obligations: Total Market Value $4,672,223) 4,450 4,450 Deutsche Bank 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $5,562,151 (collateralized by U.S. Government Securities: Total Market Value $5,673,223) 5,562 5,562 Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $1,112,430 (collateralized by U.S. Government Securities: Total Market Value $1,134,645) 1,112 1,112 Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $6,118,366 (collateralized by U.S. Government Securities: Total Market Value $6,240,546) 6,118 6,118 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $1,668,651 (collateralized by Corporate Securities: Total Market Value $1,720,202) 1,669 1,669 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $3,893,520 (collateralized by Corporate Securities: Total Market Value $4,013,804) 3,893 3,893 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $5,562,171 (collateralized by Corporate Securities: Total Market Value $5,734,061) 5,562 5,562 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $15,852,187 (collateralized by Corporate Securities: Total Market Value $16,341,916) 15,852 15,852 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $2,781,090 (collateralized by Corporate Securities: Total Market Value $2,837,759) 2,781 2,781 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $2,781,090 (collateralized by Corporate Securities: Total Market Value $2,867,005) 2,781 2,781
The accompanying notes are an integral part of the financial statements. 34
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- J P Morgan 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $2,892,319 (collateralized by U.S. Government Securities: Total Market Value $2,950,257) $ 2,892 $ 2,892 Lehman Brothers 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $13,905,376 (collateralized by Various Securities: Total Market Value $14,183,287) 13,905 13,905 Lehman Brothers 1.200%, dated 3/31/04, matures 4/1/04, repurchase price $1,946,759 (collateralizedby Corporate Securities: Total Market Value $2,232,738) 1,947 1,947 Lehman Brothers 1.243%, dated 3/31/04, matures 4/1/04, repurchase price $11,124,351 (collateralized by Various Securities: Total Market Value $11,346,447) 11,124 11,124 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $2,502,968 (collateralized by U.S. Government Securities: Total Market Value $2,552,951) 2,503 2,503 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $4,449,722 (collateralized by U.S. Government Securities: Total Market Value $4,556,364) 4,450 4,450 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $5,005,937 (collateralized by U.S. Government Securities: Total Market Value $5,129,520) 5,006 5,006 Morgan Stanley 1.133%, dated 3/31/04, matures 4/1/04, repurchase price $17,298,313 (collateralized by Collateralized Mortgage Obligations & Asset-Backed Securities: Total Market Value $18,230,039) 17,298 17,298 ------------ TOTAL REPURCHASE AGREEMENTS 148,561 ------------ TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $346,922) 346,922 ------------ TOTAL INVESTMENTS - 131.2% (Cost $1,423,877) 1,433,163 ------------ OTHER ASSETS AND LIABILITIES, NET - (31.2)% (340,557) ------------ TOTAL NET ASSETS - 100.0% $ 1,092,606 ------------
(a) Security sold within the terms of a private placement memorandum, exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional buyers." These securities have been determined to be liquid under the guidelines established by the Funds' board of directors. As of March 31, 2004, the value of these investments was $64,546,807 or 5.9% of total net assets. See note 2 in Notes to Financial Statements. (b) Securities considered illiquid or restricted. As of March 31, 2004, the value of these investments was $19,851,969 or 1.8% of total net assets. See note 2 in Notes to Financial Statements. (c) Security is fair valued. As of March 31, 2004, the fair value of these investments was $0 or 0.0% of total net assets. See note 2 in Notes to Financial Statements. (d) Security purchased on a when-issued basis. On March 31, 2004, the total cost of investments purchased on a when-issued basis was $8,039,970 or 0.7% of total net assets. See note 2 in Notes to Financial Statements. (e) Delayed Interest (Step-Bonds) - Represents securities that remain zero-coupon securities until a predetermined date at which time the stated coupon rate becomes effective and interest becomes payable at regular intervals. Interest rate shown represents current yield at March 31, 2004, based upon the estimated timing and amount of future interest and principal payments. (f) Variable Rate Security - The rate shown is the rate in effect as of March 31, 2004. (g) This security or a portion of this security is out on loan at March 31, 2004. Total loaned securities had a value of $338,887,494 at March 31, 2004. See note 2 in Notes to Financial Statements. (h) This is a Rule 144A security that has been deemed illiquid. Due to the lack of an available price from an independent pricing service, the security is priced through an independent broker. See note 2 in Notes to Financial Statements. (i) Investment in affiliated security. This money market fund is advised by U.S. Bancorp Asset Management, Inc., which also serves as advisor for this Fund. See note 3 in Notes to Financial Statements. Cl - Class CMO - Collateralized Mortgage Obligation FFCB - Federal Farm Credit Bank FHLB - Federal Home Loan Bank FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GNMA - Government National Mortgage Association REMIC - Real Estate Mortgage Investment Conduit TVA - Tennessee Valley Authority 35 U.S. GOVERNMENT MORTGAGE FUND
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 83.9% ADJUSTABLE RATE (a) - 3.1% FNMA Pool 3.353%, 08/01/27, #545271 $ 3,012 $ 3,107 3.431%, 06/01/32, #725286 5,460 5,639 ------------ 8,746 ------------ FIXED RATE - 80.8% FHLMC Gold Pool 8.500%, 03/01/06, #E00022 11 11 7.500%, 04/01/08, #E45929 24 26 7.000%, 07/01/11, #E20252 84 90 7.000%, 11/01/11, #E65619 6 7 7.500%, 09/01/12, #G10735 394 422 5.500%, 12/01/12, #E68353 1,152 1,207 5.500%, 05/01/13, #G10814 417 437 6.000%, 10/01/13, #E72802 775 819 5.500%, 01/01/14, #E00617 2,077 2,176 7.000%, 09/01/14, #E00746 433 463 5.000%, 05/01/18, #E96700 4,314 4,441 6.000%, 09/01/22, #C90580 (b) 1,547 1,622 6.500%, 01/01/28, #G00876 (b) 1,069 1,129 6.500%, 11/01/28, #C00676 (b) 2,232 2,349 6.500%, 01/01/30, #C55738 3,203 3,371 7.500%, 01/01/30, #C35768 232 249 6.000%, 12/01/30, #C53880 (b) 4,571 4,760 6.500%, 03/01/31, #G01244 1,601 1,686 7.000%, 06/01/32, #C68248 (b) 923 979 5.000%, 09/01/33, #C01622 2,942 2,961 FHLMC Pool 9.500%, 09/01/04, #380053 -- -- FHLMC TBA 5.000%, 09/01/33 (c) 3,000 3,013 FNMA Pool 7.000%, 11/01/11, #250738 38 41 7.000%, 11/01/11, #349630 24 26 7.000%, 11/01/11, #351122 38 41 6.000%, 04/01/13, #425550 417 441 6.500%, 08/01/13, #251901 384 410 6.000%, 11/01/13, #556195 966 1,023 6.000%, 12/01/13, #449173 1,010 1,067 7.000%, 07/01/14, #252637 650 696 7.000%, 10/01/14, #252799 282 302 5.500%, 04/01/16, #580516 1,759 1,838 6.500%, 07/01/17, #254373 2,216 2,357 7.000%, 07/01/17, #254414 2,200 2,353 5.500%, 10/01/17, #665315 1,634 1,703 5.500%, 12/01/17, #673010 1,582 1,649 6.000%, 12/01/17, #254547 1,695 1,786 5.000%, 04/01/18, #685197 (b) 4,157 4,279 4.500%, 05/01/18, #254720 (b) 6,588 6,687 5.000%, 07/01/18, #555621 2,580 2,656 4.500%, 08/01/18, #732244 (b) 4,762 4,826 5.000%, 11/01/18, #750989 4,840 4,980 6.000%, 10/01/22, #254513 (b) 1,923 2,020 8.000%, 07/01/24, #190264 91 99 6.500%, 10/01/27, #400141 104 110 7.000%, 12/01/27, #313941 1,275 1,356 6.500%, 10/01/28, #442671 943 993 6.500%, 12/01/28, #323422 1,145 1,205 6.500%, 02/01/29, #252255 1,104 1,162 6.000%, 05/01/31, #511797 711 741 7.000%, 09/01/31, #596680 2,346 2,500 7.500%, 09/01/31, #602427 842 903 6.500%, 10/01/31, #603674 $ 739 $ 777 7.000%, 03/01/32, #635970 1,810 1,922 6.500%, 06/01/32, #596712 6,442 6,795 7.000%, 07/01/32, #545813 1,027 1,090 7.000%, 07/01/32, #545815 (b) 1,053 1,117 6.000%, 08/01/32, #656269 1,996 2,079 5.500%, 03/01/33, #689109 (b) 4,275 4,387 5.500%, 04/01/33, #703392 (b) 4,678 4,801 5.500%, 05/01/33, #704523 4,284 4,397 5.500%, 07/01/33, #720735 (b) 2,790 2,862 5.500%, 07/01/33, #726520 (b) 4,770 4,893 5.500%, 07/01/33, #728667 (b) 3,089 3,169 4.500%, 08/01/33, #555680 2,928 2,864 5.000%, 08/01/33, #736158 3,920 3,944 5.500%, 08/01/33, #728855 (b) 3,682 3,777 5.500%, 08/01/33, #730927 3,932 4,034 5.500%, 08/01/33, #733380 (b) 3,850 3,949 5.000%, 09/01/33, #734566 4,966 4,997 5.000%, 10/01/33, #747533 3,936 3,960 5.500%, 12/01/33, #756202 2,962 3,038 5.500%, 01/01/34, #255028 2,936 3,011 6.000%, 01/01/34, #763687 3,916 4,079 FNMA TBA 4.500%, 05/01/18 (c) 5,000 5,059 5.500%, 04/01/33 (c) 2,500 2,560 5.000%, 10/01/33 (c) 10,000 10,044 6.000%, 10/01/33 (c) 3,400 3,536 6.500%, 04/01/34 (c) 7,300 7,665 GNMA Pool 8.000%, 01/15/07, #315126 11 12 9.000%, 11/15/09, #359559 68 74 8.000%, 10/15/10, #414750 121 131 6.500%, 07/15/13, #462638 763 818 8.500%, 05/15/17, #219152 14 16 8.500%, 06/15/21, #307921 17 19 7.500%, 12/15/22, #347332 115 124 8.000%, 05/15/23, #352469 47 51 9.500%, 04/15/25, #386741 12 13 7.000%, 09/15/27, #455304 51 54 6.500%, 07/15/28, #780825 1,962 2,080 7.000%, 11/15/29, #781113 (b) 1,033 1,104 7.000%, 07/15/31, #781324 (b) 1,088 1,161 6.500%, 08/20/31, #3120 1,061 1,120 7.500%, 12/15/31, #570134 857 922 6.500%, 02/15/32, #569621 (b) 1,577 1,665 6.500%, 08/15/32, #590376 (b) 2,008 2,119 6.000%, 03/15/33, #603520 (b) 2,631 2,751 6.000%, 06/15/33, #553314 (b) 4,769 4,986 5.500%, 07/15/33, #553367 (b) 10,442 10,756 5.500%, 08/15/33, #604567 (b) 6,105 6,289 6.000%, 11/15/33, #612374 2,633 2,752 ------------ 226,291 ------------ TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $231,290) 235,037 ------------ CMO - PRIVATE MORTGAGE-BACKED SECURITIES - 7.6% ADJUSTABLE RATE (a) - 2.6% Washington Mutual Series 2003-AR10, Cl A6 4.100%, 10/25/33 5,000 5,094 Wells Fargo Mortgage Backed Securities Trust Series 2003-D, Cl A1 4.906%, 02/25/33 2,257 2,280 ------------ 7,374 ------------
The acompanying notes are an integral part of the financial statements. 36
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- FIXED RATE - 5.0% Citicorp Mortgage Securities Series 2001-6, Cl M 6.500%, 05/25/29 $ 2,773 $ 2,850 First Nationwide Trust Series 2001-3, Cl 2A1 8.250%, 01/25/23 612 644 Residential Accredit Loans Series 1997-QS13, Cl M3 7.250%, 12/25/27 1,481 1,492 Residential Asset Mortgage Products Series 2003-SL1, Cl M1 7.319%, 04/25/31 2,973 3,247 Washington Mutual MSC Mortgage Series 2003-MS9, Cl CB1 7.433%, 02/25/33 1,791 1,940 Washington Mutual Series 2003-S10, Cl A2 5.000%, 10/25/18 3,811 3,888 ------------ 14,061 ------------ TOTAL CMO - PRIVATE MORTGAGE-BACKED SECURITIES (Cost $21,369) 21,435 ------------ CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 3.4% FIXED RATE - 3.4% FHLMC REMIC Series 2498, Cl UA 5.500%, 09/15/12 829 836 Series 2382, Cl DA 5.500%, 10/15/30 (b) 982 1,022 FNMA REMIC Series 1993-210, Cl PL 6.500%, 04/25/23 4,250 4,495 Series 2002-W1, Cl 2A 7.500%, 02/25/42 2,869 3,157 ------------ TOTAL CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $8,987) 9,510 ------------ ASSET-BACKED SECURITIES - 3.4% HOME EQUITY - 0.5% First Plus Home Loan Trust Series 1998-3, Cl A7 6.950%, 10/10/22 780 791 GRMT Mortgage Loan Trust Series 2001-1A, Cl M1 7.772%, 07/20/31 500 546 ------------ 1,337 ------------ MANUFACTURED HOUSING - 1.1% Oakwood Mortgage Investors Series 1999-A, Cl A2 5.890%, 04/15/29 229 229 Vanderbilt Mortgage Finance Series 1999-B, Cl 1A4 6.545%, 04/07/18 2,861 2,989 ------------ 3,218 ------------ OTHER - 1.8% GRP/AG Real Estate Asset Trust Series 2004-1, Cl A 3.960%, 03/25/09 (d) (e) (f) 940 939 DESCRIPTION PAR (000)/CONTRACTS/SHARES VALUE (000) ---------------------------------------------------------------------------------------- William Street Funding Corporation Series 2003-3, Cl A 1.650%, 10/23/09 (g) $ 4,000 $ 3,998 ------------ 4,937 ------------ TOTAL ASSET-BACKED SECURITIES (Cost $9,459) 9,492 ------------ U.S. GOVERNMENT & AGENCY SECURITIES - 2.9% U.S. AGENCY DEBENTURE - 2.9% FHLMC 4.500%, 01/15/14 8,000 8,114 ------------ TOTAL U.S. GOVERNMENT & AGENCY SECURITIES (Cost $8,106) 8,114 ------------ COMMERCIAL PAPER - 2.6% Jupiter Securitization 1.020%, 04/13/04 4,400 4,399 Yorktown Capital 1.030%, 04/13/04 2,900 2,899 ------------ TOTAL COMMERCIAL PAPER (Cost $7,298) 7,298 ------------ TREASURY OBLIGATION - 0.1% U.S. Treasury Bill 0.840%, 04/08/04 (h) 185 185 ------------ TOTAL TREASURY OBLIGATION (Cost $185) 185 ------------ PUT OPTIONS PURCHASED - 0.0% Eurodollar 1 year Mid-Curve June 05 Futures Put, Expires 06/11/04, Exercise price $96.50 65 3 Eurodollar 1 year Mid-Curve June 05 Futures Put, Expires 06/11/04, Exercise price $97 60 8 Eurodollar 1 year Mid-Curve September 05 Futures Put, Expires 09/13/04, Exercise price $96.75 60 26 ------------ TOTAL PUT OPTIONS PURCHASED (Cost $102) 37 ------------ AFFILIATED MONEY MARKET FUND - 5.2% First American Government Obligations Fund, Cl Z (i) 14,602,506 14,603 ------------ TOTAL AFFILIATED MONEY MARKET FUND (Cost $14,603) 14,603 ------------ INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 34.2% COMMERCIAL PAPER - 9.6% Bluegrass 1.160%, 11/18/04 $ 384 384 1.160%, 2/18/05 384 384 CIBC NY 1.110%, 9/09/04 1,986 1,986 Concord Min Capital 1.100%, 4/07/04 2,165 2,165 1.100%, 4/08/04 706 706 1.100%, 4/14/04 307 307 Descartes Funding Trust 1.150%, 11/15/04 767 767 Emerald Trust 1.063%, 5/06/04 767 767 Ford Credit Floor Plan 1.063%, 5/03/04 2,301 2,301
37
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Goldman Sachs 1.163%, 1/18/05 $ 768 $ 768 Independent IV 1.048%, 10/15/04 998 998 Lakeside Funding 1.142%, 4/08/04 1,758 1,758 Leafs 1.339%, 4/20/04 1,059 1,059 Lehman Brothers 1.133%, 7/23/04 537 537 1.123%, 8/23/04 388 388 Moat Funding 1.157%, 5/05/04 1,534 1,534 Morgan Stanley 1.054%, 6/11/04 767 767 Mortgage Int Network 1.062%, 4/27/04 767 767 1.042%, 5/11/04 767 767 1.063%, 6/07/04 766 766 Norddeutsche Landesbank 1.110%, 9/09/04 764 764 Orchard Park 1.180%, 7/06/04 1,658 1,658 1.200%, 10/06/04 537 537 Park Granada 1.083%, 4/07/04 691 691 1.063%, 4/13/04 460 460 1.063%, 4/13/04 1,228 1,228 1.063%, 5/06/04 230 230 Sigma Finance 1.157%, 5/04/04 1,534 1,534 ------------ TOTAL COMMERCIAL PAPER 26,978 ------------ CORPORATE OBLIGATIONS - 7.5% Allstate Life Global 1.040%, 2/15/05 1,535 1,535 Castle Hill III 1.211%, 9/16/04 461 461 Duke Funding VI 1.180%, 4/08/05 929 929 General Electric Capital 1.139%, 4/08/05 769 769 Jefferson Pilot 1.062%, 2/17/05 768 768 Metlife Global Funding 1.137%, 3/28/05 645 645 0.991%, 4/15/05 921 921 Merrill Lynch 1.063%, 4/04/05 1,535 1,535 Morgan Stanley 1.137%, 3/24/05 768 768 Northlake CDO 1.205%, 3/07/05 461 461 Premium Asset Trust 1.254%, 6/01/04 2,288 2,288 1.037%, 12/22/04 1,152 1,152 Residential Mortgage Securities 1.102%, 9/11/04 1,078 1,078 Sigma Finance 1.143%, 8/09/04 1,535 1,535 SMM Trust 2003-H 1.183%, 9/23/04 1,987 1,987 DESCRIPTION PAR (000)/SHARES VALUE (000) ---------------------------------------------------------------------------------------- Societe Generale NYC 1.148%, 12/08/04 $ 1,535 $ 1,535 WestDeutsche LandesBank 1.220%, 6/03/04 1,228 1,228 1.150%, 8/02/04 1,535 1,535 ------------ TOTAL CORPORATE OBLIGATIONS 21,130 ------------ MONEY MARKET FUNDS - 0.4% AIM Short Term Liquid Asset Portfolio 230,317 230 Merrill Lynch Premier Institutional Fund 964,617 965 ------------ TOTAL MONEY MARKET FUNDS 1,195 ------------ OTHER SHORT-TERM INVESTMENTS - 2.0% Commonwealth Life 1.303%, 4/01/04 $ 775 775 General Electric Capital Assurance 1.200%, 1/19/05 307 307 HBOS Treasury Services 1.020%, 3/01/05 843 843 Liquid Funding 1.065%, 8/23/04 768 768 0.488%, 9/14/04 768 768 Security Life Denver 1.270%, 7/13/04 1,996 1,996 ------------ TOTAL OTHER SHORT-TERM INVESTMENTS 5,457 ------------ REPURCHASE AGREEMENTS - 14.7% Bear Stearns 1.200%, dated 3/31/04, matures 4/20/04, repurchase price $3,072,943 (collateralized by Various Securities: Total Market Value $3,205,356) 3,071 3,071 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $891,587 (collateralized by U.S. Government Securities: Total Market Value $908,372) 891 891 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $1,151,621 (collateralized by U.S. Government Securities: Total Market Value $1,174,675) 1,152 1,152 CS First Boston 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $4,222,610 (collateralized by U.S. Government Securities: Total Market Value $4,606,975) 4,223 4,223 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $537,425 (collateralized by Collateralized Mortgage Obligations: Total Market Value $564,298) 537 537 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $1,074,850 (collateralized by Collateralized Mortgage Obligations: Total Market Value $1,128,576) 1,075 1,075 CS First Boston 1.123%, dated 3/31/04, matures 4/1/04, repurchase price $1,228,400 (collateralized by Collateralized Mortgage Obligations: Total Market Value $1,289,820) 1,228 1,228
The acompanying notes are an integral part of the financial statements. 38
DESCRIPTION PAR (000) VALUE (000) ---------------------------------------------------------------------------------------- Deutsche Bank 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $1,535,494 (collateralized by U.S. Government Securities: Total Market Value $1,566,156) $ 1,535 $ 1,535 Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $307,099 (collateralized by U.S. Government Securities: Total Market Value $313,231) 307 307 Goldman Sachs 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $1,689,043 (collateralized by U.S. Government Securities: Total Market Value $1,722,773) 1,689 1,689 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $460,650 (collateralized by Corporate Securities: Total Market Value $474,881) 461 461 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $1,074,850 (collateralized by Corporate Securities: Total Market Value $1,108,056) 1,075 1,075 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $1,535,500 (collateralized by Corporate Securities: Total Market Value $1,582,952) 1,535 1,535 Goldman Sachs 1.213%, dated 3/31/04, matures 4/1/04, repurchase price $4,376,174 (collateralized by Corporate Securities: Total Market Value $4,511,369) 4,376 4,376 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $767,751 (collateralized by Corporate Securities: Total Market Value $783,395) 768 768 Goldman Sachs 1.275%, dated 3/31/04, matures 4/1/04, repurchase price $767,751 (collateralized by Corporate Securities: Total Market Value $791,469) 768 768 J P Morgan 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $798,457 (collateralized by U.S. Government Securities: Total Market Value $814,451) 798 798 Lehman Brothers 1.080%, dated 3/31/04, matures 4/1/04, repurchase price $3,838,735 (collateralized by Various Securities: Total Market Value $3,915,456) 3,839 3,839 Lehman Brothers 1.200%, dated 3/31/04, matures 4/1/04, repurchase price $537,425 (collateralized by Corporate Securities: Total Market Value $616,373) 537 537 Lehman Brothers 1.243%, dated 3/31/04, matures 4/1/04, repurchase price $3,071,002 (collateralized by Various Securities: Total Market Value $3,132,314) 3,071 3,071 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $690,973 (collateralized by U.S. Government Securities: Total Market Value $704,771) $ 691 $ 691 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $1,228,396 (collateralized by U.S. Government Securities: Total Market Value $1,257,835) 1,228 1,228 Morgan Stanley 1.090%, dated 3/31/04, matures 4/1/04, repurchase price $1,381,945 (collateralized by U.S. Government Securities: Total Market Value $1,416,061) 1,382 1,382 Morgan Stanley 1.133%, dated 3/31/04, matures 4/1/04, repurchase price $4,775,393 (collateralized by Collateralized Mortgage Obligations & Asset-Backed Securities: Total Market Value $5,032,607) 4,775 4,775 ------------ TOTAL REPURCHASE AGREEMENTS 41,012 ------------ TOTAL INVESTMENTS PURCHASED WITH PROCEEDS FROM SECURITIES LENDING (Cost $95,772) 95,772 ------------ TOTAL INVESTMENTS - 143.3% (Cost $397,171) 401,483 ------------ OTHER ASSETS AND LIABILITIES, NET - (43.3)% (121,319) ------------ TOTAL NET ASSETS - 100.0% $ 280,164 ------------
(a) Variable Rate Security - The rate shown is the rate in effect as of March 31, 2004. (b) This security or a portion of this security is out on loan at March 31, 2004. Total loaned securities had a value of $92,800,438 at March 31, 2004. See note 2 in Notes to Financial Statements. (c) Security purchased on a when-issued basis. On March 31, 2004, the total cost of investments purchased on a when-issued basis was $31,964,344 or 11.4% of total net assets. See note 2 in Notes to Financial Statements. (d) Securities considered illiquid or restricted. As of March 31, 2004, the value of these investments was $939,362 or 0.3% of total net assets. See note 2 in Notes to Financial Statements. (e) Delayed Interest (Step-Bonds) - Represents securities that remain zero-coupon securities until a predetermined date at which time the stated coupon rate becomes effective and interest becomes payable at regular intervals. Interest rate shown represents current yield at March 31, 2004, based upon the estimated timing and amount of future interest and principal payments. (f) This is a Rule 144A security that has been deemed illiquid. Due to the lack of an available price from an independent pricing service, the security is priced through an independent broker. See note 2 in Notes to Financial Statements. (g) Security sold within the terms of a private placement memorandum, exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other "qualified institutional buyers." These securities have been determined to be liquid under the guidelines established by the Funds' board of directors. As of March 31, 2004, the value of these investments was $3,998,282 or 1.4% of total net assets. See note 2 in Notes to Financial Statements. (h) Security has been deposited as inital margin on open futures contracts. Yield shown is effective yield at date of purchase. See note 2 in Notes to Financial Statements. (i) Investment in affiliated security. This money market fund is advised by U.S. Bancorp Asset Management, Inc., which also serves as advisor for this Fund. See note 3 in Notes to Financial Statements. Cl - Class CMO - Collateralized Mortgage Obligation FHLMC - Federal Home Loan Mortgage Corporation FNMA - Federal National Mortgage Association GNMA - Government National Mortgage Association REMIC - Real Estate Mortgage Investment Conduit TBA - To be Announced 39 STATEMENTS OF ASSETS AND LIABILITIES March 31, 2004 (unaudited), in thousands, except per share data
CORE CORPORATE BOND FUND BOND FUND ----------------------------------------------------------------------------------------------------------- ASSETS: Investments in unaffiliated securities, at value*+ $ 2,989,516 $ 337,348 Investments in affiliated money market fund, at value** 28,302 3,615 Cash -- -- Dividends and interest receivable 16,463 4,272 Receivable for investment securities sold 35,588 8,843 Receivable for capital shares sold 3,871 503 Receivable for variation margin -- -- Other receivables 1 -- Prepaid expenses and other assets 228 16 ----------------------------------------------------------------------------------------------------------- TOTAL ASSETS 3,073,969 354,597 =========================================================================================================== LIABILITIES: Bank overdraft 87 -- Options written, at value 106 14 Payable upon return of securities loaned 819,397 55,564 Payable for investment securities purchased 112,717 7,915 Payable for capital shares redeemed 7,411 258 Payable for variation margin 406 112 Payable for advisory, co-administration, and custodian fees 1,325 184 Payable for distribution and shareholder servicing fees 71 19 Payable for other accrued expenses and liabilities -- -- ----------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 941,520 64,066 =========================================================================================================== NET ASSETS $ 2,132,449 $ 290,531 =========================================================================================================== COMPOSITION OF NET ASSETS: Portfolio capital $ 2,078,669 $ 304,614 Undistributed (distributions in excess of) net investment income (2,133) (1) Accumulated net realized gain (loss) on investments 17,239 (25,574) Net unrealized appreciation of investments 40,026 11,865 Net unrealized appreciation (depreciation) of options written 125 16 Net unrealized depreciation of futures contracts (1,477) (389) ----------------------------------------------------------------------------------------------------------- NET ASSETS $ 2,132,449 $ 290,531 =========================================================================================================== * Investments in unaffiliated securities, at cost $ 2,949,490 $ 325,483 **Investments in affiliated money market fund, at cost $ 28,302 $ 3,615 + Including securities loaned, at value $ 801,193 $ 54,145 CLASS A: Net assets $ 198,377 $ 17,179 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 17,280 1,644 Net asset value and redemption price per share $ 11.48 $ 10.45 Maximum offering price per share (1) $ 11.99 $ 10.91 CLASS B: Net assets $ 25,596 $ 12,588 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 2,245 1,209 Net asset value, offering price, and redemption price per share (2) $ 11.40 $ 10.41 CLASS C: Net assets $ 11,749 $ 5,254 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 1,026 506 Net asset value, offering price, and redemption price per share (2) $ 11.45 $ 10.39 CLASS S: Net assets $ 14,758 $ 381 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 1,286 36 Net asset value, offering price, and redemption price per share $ 11.48 $ 10.45 CLASS Y: Net assets $ 1,881,969 $ 255,129 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 163,967 24,428 Net asset value, offering price, and redemption price per share $ 11.48 $ 10.44
(1) The offering price is calculated by dividing the net asset value by 1 minus the maximum sales charge. For a description of front-end sales charges, see note 1 in Notes to Financial Statements. (2) Class B and C have a contingent deferred sales charge. For a description of this sales charge, see notes 1 and 3 in Notes to Financial Statements. The accompanying notes are an integral part of the financial statements. 40
INTERMEDIATE HIGH INCOME GOVERNMENT BOND FUND BOND FUND ----------------------------------------------------------------------------------------------------------- ASSETS: Investments in unaffiliated securities, at value*+ $ 358,864 $ 177,833 Investments in affiliated money market fund, at value** 2,567 -- Cash 1,155 4,690 Dividends and interest receivable 6,414 1,859 Receivable for investment securities sold 2,955 -- Receivable for capital shares sold 162 44 Receivable for variation margin -- 2 Other receivables -- -- Prepaid expenses and other assets 16 7 ----------------------------------------------------------------------------------------------------------- TOTAL ASSETS 372,133 184,435 =========================================================================================================== LIABILITIES: Bank overdraft -- -- Options written, at value -- 9 Payable upon return of securities loaned 78,701 -- Payable for investment securities purchased 5,261 -- Payable for capital shares redeemed 253 426 Payable for variation margin -- -- Payable for advisory, co-administration, and custodian fees 176 118 Payable for distribution and shareholder servicing fees 35 -- Payable for other accrued expenses and liabilities -- 25 ----------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 84,426 578 =========================================================================================================== NET ASSETS $ 287,707 $ 183,857 =========================================================================================================== COMPOSITION OF NET ASSETS: Portfolio capital $ 293,854 $ 174,493 Undistributed (distributions in excess of) net investment income 199 (86) Accumulated net realized gain (loss) on investments (25,394) 5,646 Net unrealized appreciation of investments 19,048 3,814 Net unrealized appreciation (depreciation) of options written -- 11 Net unrealized depreciation of futures contracts -- (21) ----------------------------------------------------------------------------------------------------------- NET ASSETS $ 287,707 $ 183,857 =========================================================================================================== * Investments in unaffiliated securities, at cost $ 339,816 $ 174,019 **Investments in affiliated money market fund, at cost $ 2,567 $ -- + Including securities loaned, at value $ 76,451 $ -- CLASS A: Net Assets $ 42,774 $ 1,905 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 4,526 212 Net asset value and redemption price per share $ 9.45 $ 8.99 Maximum offering price per share (1) $ 9.87 $ 9.20 CLASS B: Net assets $ 9,524 -- Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 1,011 -- Net asset value, offering price, and redemption price per share (2) $ 9.41 -- CLASS C: Net assets $ 20,441 -- Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 2,170 -- Net asset value, offering price, and redemption price per share (2) $ 9.42 -- CLASS S: Net assets $ 407 -- Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 43 -- Net asset value, offering price, and redemption price per share $ 9.53 -- CLASS Y: Net assets $ 214,561 $ 181,952 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 22,690 20,252 Net asset value, offering price, and redemption price per share $ 9.46 $ 8.98 INTERMEDIATE TERM SHORT TERM U.S. GOVERNMENT BOND FUND BOND FUND MORTGAGE FUND ------------------------------------------------------------------------------------------------------------------------------- ASSETS: Investments in unaffiliated securities, at value*+ $ 2,052,845 $ 1,423,747 $ 386,880 Investments in affiliated money market fund, at value** 17,860 9,416 14,603 Cash -- 4,861 -- Dividends and interest receivable 11,395 10,044 1,277 Receivable for investment securities sold 8,839 29,829 5,717 Receivable for capital shares sold 1,005 3,841 267 Receivable for variation margin -- -- -- Other receivables 2 6 -- Prepaid expenses and other assets 35 47 21 ------------------------------------------------------------------------------------------------------------------------------- TOTAL ASSETS 2,091,981 1,481,791 408,765 =============================================================================================================================== LIABILITIES: Bank overdraft 107 -- -- Options written, at value 71 51 14 Payable upon return of securities loaned 656,830 346,922 95,772 Payable for investment securities purchased 8,345 40,555 32,033 Payable for capital shares redeemed 2,765 1,080 528 Payable for variation margin 84 -- 52 Payable for advisory, co-administration, and custodian fees 741 557 171 Payable for distribution and shareholder servicing fees 11 20 31 Payable for other accrued expenses and liabilities -- -- -- ------------------------------------------------------------------------------------------------------------------------------- TOTAL LIABILITIES 668,954 389,185 128,601 =============================================================================================================================== NET ASSETS $ 1,423,027 $ 1,092,606 $ 280,164 =============================================================================================================================== COMPOSITION OF NET ASSETS: Portfolio capital $ 1,378,244 $ 1,084,583 $ 278,823 Undistributed (distributions in excess of) net investment income (257) (1,166) (1,190) Accumulated net realized gain (loss) on investments 20,665 (95) (1,649) Net unrealized appreciation of investments 24,598 9,286 4,312 Net unrealized appreciation (depreciation) of options written 84 (2) 17 Net unrealized depreciation of futures contracts (307) -- (149) ------------------------------------------------------------------------------------------------------------------------------- NET ASSETS $ 1,423,027 $ 1,092,606 $ 280,164 =============================================================================================================================== * Investments in unaffiliated securities, at cost $ 2,028,247 $ 1,414,461 $ 382,568 **Investments in affiliated money market fund, at cost $ 17,860 $ 9,416 $ 14,603 + Including securities loaned, at value $ 642,197 $ 338,887 $ 92,800 CLASS A: Net assets $ 74,894 $ 157,762 $ 34,896 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 7,189 15,388 3,212 Net asset value and redemption price per share $ 10.42 $ 10.25 $ 10.86 Maximum offering price per share (1) $ 10.66 $ 10.49 $ 11.34 CLASS B: Net assets -- -- $ 10,264 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) -- -- 944 Net asset value, offering price, and redemption price per share (2) -- -- $ 10.88 CLASS C: Net assets -- -- $ 16,156 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) -- -- 1,493 Net asset value, offering price, and redemption price per share (2) -- -- $ 10.82 CLASS S: Net assets $ 9,589 $ 2,003 $ 3,158 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 920 196 291 Net asset value, offering price, and redemption price per share $ 10.42 $ 10.23 $ 10.83 CLASS Y: Net assets $ 1,338,544 $ 932,841 $ 215,690 Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 128,845 90,946 19,849 Net asset value, offering price, and redemption price per share $ 10.39 $ 10.26 $ 10.87
41 STATEMENTS OF OPERATIONS For the six months ended March 31,2004 (unaudited),in thousands
CORE CORPORATE BOND FUND BOND FUND --------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest from unaffiliated securities $ 45,955 $ 7,916 Interest from affiliated money market fund 227 13 Dividends -- 12 Securities lending 240 20 --------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME 46,422 7,961 ===================================================================================================================== EXPENSES: Investment advisory fees 5,384 987 Co-administration fees and expenses (including per account transfer agency fees) 2,935 385 Custodian fees 108 14 Directors' fees 18 2 Registration fees 28 11 Professional fees 41 5 Printing 24 3 Other 38 5 Distribution and shareholder servicing fees - Class A 232 18 Distribution and shareholder servicing fees - Class B 132 65 Distribution and shareholder servicing fees - Class C 63 27 Shareholder servicing fees - Class S 48 3 --------------------------------------------------------------------------------------------------------------------- TOTAL EXPENSES 9,051 1,525 ===================================================================================================================== Less: Fee waivers (1,039) (354) --------------------------------------------------------------------------------------------------------------------- TOTAL NET EXPENSES 8,012 1,171 ===================================================================================================================== INVESTMENT INCOME - NET 38,410 6,790 --------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS, FUTURES CONTRACTS, FOREIGN CURRENCY TRANSACTIONS AND OPTIONS WRITTEN - NET: Net realized gain on investments 26,642 6,263 Net realized gain (loss) on futures contracts (997) (300) Net realized gain on options written 1,459 -- Net realized gain on forward foreign currency contracts and foreign currency transactions -- -- Net change in unrealized appreciation or depreciation of investments (7,168) 289 Net change in unrealized appreciation or depreciation of futures contracts (1,477) (389) Net change in unrealized appreciation or depreciation of options written 468 16 Net change in unrealized appreciation or depreciation of forward foreign currency contracts, foreign currency, and translation of other assets and liabilities denominated in foreign currency -- -- --------------------------------------------------------------------------------------------------------------------- NET GAIN (LOSS) ON INVESTMENTS 18,927 5,879 ===================================================================================================================== NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 57,337 $ 12,669 =====================================================================================================================
The accompanying notes are an integral part of the financial statements. 42
INTERMEDIATE HIGH INCOME GOVERNMENT INTERMEDIATE TERM BOND FUND BOND FUND BOND FUND ----------------------------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest from unaffiliated securities $ 11,403 $ 4,145 $ 25,793 Interest from affiliated money market fund 31 28 201 Dividends 13 -- -- Securities lending 55 -- 198 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME 11,502 4,173 26,192 =================================================================================================================================== EXPENSES: Investment advisory fees 970 618 3,484 Co-administration fees and expenses (including per account transfer agency fees) 377 358 1,884 Custodian fees 14 12 70 Directors' fees 2 3 11 Registration fees 11 7 17 Professional fees 4 7 25 Printing 3 4 14 Other 4 6 23 Distribution and shareholder servicing fees - Class A 53 3 98 Distribution and shareholder servicing fees - Class B 49 -- -- Distribution and shareholder servicing fees - Class C 103 -- -- Shareholder servicing fees - Class S 1 -- 15 ----------------------------------------------------------------------------------------------------------------------------------- TOTAL EXPENSES 1,591 1,018 5,641 =================================================================================================================================== Less: Fee waivers (346) (274) (1,392) ----------------------------------------------------------------------------------------------------------------------------------- TOTAL NET EXPENSES 1,245 744 4,249 =================================================================================================================================== INVESTMENT INCOME - NET 10,257 3,429 21,943 ----------------------------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS, FUTURES CONTRACTS, FOREIGN CURRENCY TRANSACTIONS AND OPTIONS WRITTEN - NET: Net realized gain on investments 5,390 6,223 24,339 Net realized gain (loss) on futures contracts -- 33 318 Net realized gain on options written -- 217 876 Net realized gain on forward foreign currency contracts and foreign currency transactions 62 -- -- Net change in unrealized appreciation or depreciation of investments 3,763 (7,313) (14,599) Net change in unrealized appreciation or depreciation of futures contracts -- (21) (307) Net change in unrealized appreciation or depreciation of options written -- 62 290 Net change in unrealized appreciation or depreciation of forward foreign currency contracts, foreign currency, and translation of other assets and liabilities denominated in foreign currency (4) -- -- ----------------------------------------------------------------------------------------------------------------------------------- NET GAIN (LOSS) ON INVESTMENTS 9,211 (799) 10,917 =================================================================================================================================== NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 19,468 $ 2,630 $ 32,860 =================================================================================================================================== SHORT TERM U.S.GOVERNMENT BOND FUND MORTGAGE FUND ---------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest from unaffiliated securities $ 14,724 $ 6,381 Interest from affiliated money market fund 28 30 Dividends -- -- Securities lending 113 19 ---------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENT INCOME 14,865 6,430 ================================================================================================================ EXPENSES: Investment advisory fees 2,651 712 Co-administration fees and expenses (including per account transfer agency fees) 1,429 391 Custodian fees 53 14 Directors' fees 8 3 Registration fees 16 12 Professional fees 18 5 Printing 11 3 Other 17 5 Distribution and shareholder servicing fees - Class A 193 30 Distribution and shareholder servicing fees - Class B -- 54 Distribution and shareholder servicing fees - Class C -- 89 Shareholder servicing fees - Class S 11 20 ---------------------------------------------------------------------------------------------------------------- TOTAL EXPENSES 4,407 1,338 ================================================================================================================ Less: Fee waivers (1,103) (148) ---------------------------------------------------------------------------------------------------------------- TOTAL NET EXPENSES 3,304 1,190 ================================================================================================================ INVESTMENT INCOME - NET 11,561 5,240 ---------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS, FUTURES CONTRACTS, FOREIGN CURRENCY TRANSACTIONS AND OPTIONS WRITTEN - NET: Net realized gain on investments 3,818 1,184 Net realized gain (loss) on futures contracts -- 10 Net realized gain on options written -- 174 Net realized gain on forward foreign currency contracts and foreign currency transactions -- -- Net change in unrealized appreciation or depreciation of investments (2,739) (394) Net change in unrealized appreciation or depreciation of futures contracts -- (149) Net change in unrealized appreciation or depreciation of options written (2) 57 Net change in unrealized appreciation or depreciation of forward foreign currency contracts, foreign currency, and translation of other assets and liabilities denominated in foreign currency -- -- ---------------------------------------------------------------------------------------------------------------- NET GAIN (LOSS) ON INVESTMENTS 1,077 882 ================================================================================================================ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 12,638 $ 6,122 ================================================================================================================
The accompanying notes are an integral part of the financial statements. 43 STATEMENTS OF CHANGES IN NET ASSETS in thousands
CORE CORPORATE BOND FUND BOND FUND -------------------------------------------------------------------------------------------------------------------------------- 10/1/03 10/1/02 10/1/03 10/1/02 TO TO TO TO 3/31/04 9/30/03 3/31/04 9/30/03 -------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) (UNAUDITED) OPERATIONS: Investment income - net $ 38,410 $ 71,504 $ 6,790 $ 14,162 Net realized gain (loss) on investments 26,642 55,962 6,263 4,772 Net realized gain (loss) on futures contracts (997) 131 (300) 16 Net realized gain on options written 1,459 -- -- -- Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions -- -- -- -- Net change in unrealized appreciation or depreciation of investments (7,168) (34,740) 289 11,176 Net change in unrealized appreciation or depreciation of futures contracts (1,477) -- (389) -- Net change in unrealized appreciation or depreciation of options written 468 (343) 16 -- Net change in unrealized appreciation or depreciation of forward foreign currency contracts, foreign currency, and translation of other assets and liabilities denominated in foreign currency -- -- -- -- -------------------------------------------------------------------------------------------------------------------------------- Net increase in net assets resulting from operations 57,337 92,514 12,669 30,126 -------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment income - net: Class A (3,360) (6,386) (339) (562) Class B (378) (761) (253) (720) Class C (177) (394) (106) (243) Class S (693) (1,471) (56) (171) Class Y (36,918) (68,921) (6,046) (12,466) Net realized gain on investments: Class A (2,811) -- -- -- Class B (404) -- -- -- Class C (191) -- -- -- Class S (591) -- -- -- Class Y (28,710) -- -- -- -------------------------------------------------------------------------------------------------------------------------------- Total distributions (74,233) (77,933) (6,800) (14,162) ================================================================================================================================ CAPITAL SHARE TRANSACTIONS (2): Class A: Proceeds from sales 37,050 44,693 4,734 12,184 Reinvestment of distributions 4,578 4,658 263 416 Payments for redemptions (33,683) (67,122) (1,667) (8,330) Shares issued in connection with the acquisition of Fund net assets -- 86,055 -- -- -------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class A transactions 7,945 68,284 3,330 4,270 -------------------------------------------------------------------------------------------------------------------------------- Class B: Proceeds from sales 1,273 4,276 438 1,645 Reinvestment of distributions 679 663 180 503 Payments for redemptions (4,235) (8,849) (1,866) (8,300) Shares issued in connection with the acquisition of Fund net assets -- 15,099 -- -- -------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class B transactions (2,283) 11,189 (1,248) (6,152) -------------------------------------------------------------------------------------------------------------------------------- Class C: Proceeds from sales 882 3,466 237 1,163 Reinvestment of distributions 360 384 98 229 Payments for redemptions (2,813) (5,856) (940) (1,248) Shares issued in connection with the acquisition of Fund net assets -- 5,671 -- -- -------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class C transactions (1,571) 3,665 (605) 144 -------------------------------------------------------------------------------------------------------------------------------- Class S: Proceeds from sales 5,702 13,667 79 344 Reinvestment of distributions 1,249 1,428 56 164 Payments for redemptions (31,083) (39,383) (2,464) (1,599) Shares issued in connection with the acquisition of Fund net assets -- 30,116 -- -- -------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class S transactions (24,132) 5,828 (2,329) (1,091) -------------------------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from sales 238,973 394,555 33,770 94,737 Reinvestment of distributions 28,357 25,605 800 1,423 Payments for redemptions (326,363) (652,840) (30,451) (68,932) Shares issued in connection with the acquisition of Common Trust Fund net assets -- 13,076 -- -- Shares issued in connection with the acquisition of Fund net assets -- 957,884 -- -- -------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class Y transactions (59,033) 738,280 4,119 27,228 -------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from capital share transactions (79,074) 827,246 3,267 24,399 -------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets (95,970) 841,827 9,136 40,363 NET ASSETS AT BEGINNING OF PERIOD 2,228,419 1,386,592 281,395 241,032 -------------------------------------------------------------------------------------------------------------------------------- NET ASSETS AT END OF PERIOD $ 2,132,449 $ 2,228,419 $ 290,531 $ 281,395 -------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME $ (2,133) $ 983 $ (1) $ 9 ================================================================================================================================
(1) Commencement of operations. (2) See note 4 in Notes to Financial Statements for additional information. The accompanying notes are an integral part of the financial statements. 44
INTERMEDIATE HIGH INCOME GOVERNMENT INTERMEDIATE TERM BOND FUND BOND FUND BOND FUND ---------------------------------------------------------------------------------------------------------------------------------- 10/1/03 10/1/02 10/1/03 10/25/02 (1) 10/1/03 TO TO TO TO TO 3/31/04 9/30/03 3/31/04 9/30/03 3/31/04 ---------------------------------------------------------------------------------------------------------------------------------- (UNAUDITED) (UNAUDITED) (UNAUDITED) OPERATIONS: Investment income - net $ 10,257 $ 16,135 $ 3,429 $ 15,152 $ 21,943 Net realized gain (loss) on investments 5,390 (249) 6,223 29,420 24,339 Net realized gain (loss) on futures contracts -- -- 33 -- 318 Net realized gain on options written -- -- 217 -- 876 Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions 62 (31) -- -- -- Net change in unrealized appreciation or depreciation of investments 3,763 27,108 (7,313) 11,127 (14,599) Net change in unrealized appreciation or depreciation of futures contracts -- -- (21) -- (307) Net change in unrealized appreciation or depreciation of options written -- -- 62 (51) 290 Net change in unrealized appreciation or depreciation of forward foreign currency contracts, foreign currency, and translation of other assets and liabilities denominated in foreign currency (4) 11 -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Net increase in net assets resulting from operations 19,468 42,974 2,630 55,648 32,860 ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment income - net: Class A (1,558) (2,492) (32) (54) (1,189) Class B (320) (434) -- -- -- Class C (676) (929) -- -- -- Class S (25) (29) -- -- (177) Class Y (7,724) (11,903) (3,483) (15,108) (20,831) Net realized gain on investments: Class A -- -- (258) (1) (839) Class B -- -- -- -- -- Class C -- -- -- -- -- Class S -- -- -- -- (131) Class Y -- -- (29,444) (534) (13,807) ---------------------------------------------------------------------------------------------------------------------------------- Total distributions (10,303) (15,787) (33,217) (15,697) (36,974) ================================================================================================================================== CAPITAL SHARE TRANSACTIONS (2): Class A: Proceeds from sales 3,740 17,072 514 4,608 12,053 Reinvestment of distributions 1,175 1,708 204 44 1,240 Payments for redemptions (5,621) (22,686) (1,060) (2,133) (16,804) Shares issued in connection with the acquisition of Fund net assets -- 23,374 -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class A transactions (706) 19,468 (342) 2,519 (3,511) ---------------------------------------------------------------------------------------------------------------------------------- Class B: Proceeds from sales 1,653 3,119 -- -- -- Reinvestment of distributions 194 238 -- -- -- Payments for redemptions (1,598) (1,301) -- -- -- Shares issued in connection with the acquisition of Fund net assets -- 1,910 -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class B transactions 249 3,966 -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Class C: Proceeds from sales 1,780 6,021 -- -- -- Reinvestment of distributions 591 835 -- -- -- Payments for redemptions (2,310) (4,896) -- -- -- Shares issued in connection with the acquisition of Fund net assets -- 9,735 -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class C transactions 61 11,695 -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Class S: Proceeds from sales 296 562 -- -- 4,119 Reinvestment of distributions 15 11 -- -- 279 Payments for redemptions (705) (90) -- -- (7,029) Shares issued in connection with the acquisition of Fund net assets -- 243 -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class S transactions (394) 726 -- -- (2,631) ---------------------------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from sales 57,977 71,560 17,183 516,031 261,268 Reinvestment of distributions 1,205 2,190 26,795 616 15,925 Payments for redemptions (30,680) (86,258) (166,563) (221,746) (231,394) Shares issued in connection with the acquisition of Common Trust Fund net assets -- -- -- -- -- Shares issued in connection with the acquisition of Fund net assets -- 36,227 -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class Y transactions 28,502 23,719 (122,585) 294,901 45,799 ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from capital share transactions 27,712 59,574 (122,927) 297,420 39,657 ---------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 36,877 86,761 (153,514) 337,371 35,543 NET ASSETS AT BEGINNING OF PERIOD 250,830 164,069 337,371 -- 1,387,484 ---------------------------------------------------------------------------------------------------------------------------------- NET ASSETS AT END OF PERIOD $ 287,707 $ 250,830 $ 183,857 $ 337,371 $ 1,423,027 ---------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME $ 199 $ 245 $ (86) $ -- $ (257) ================================================================================================================================== INTERMEDIATE TERM SHORT TERM U.S. GOVERNMENT BOND FUND BOND FUND MORTGAGE FUND ---------------------------------------------------------------------------------------------------------------------------------- 10/1/02 10/1/03 10/1/02 10/1/03 10/1/02 TO TO TO TO TO 9/30/03 3/31/04 9/30/03 3/31/04 9/30/03 (UNAUDITED) (UNAUDITED) ---------------------------------------------------------------------------------------------------------------------------------- OPERATIONS: Investment income - net $ 52,650 $ 11,561 $ 24,975 $ 5,240 $ 8,379 Net realized gain (loss) on investments 31,050 3,818 3,108 1,184 100 Net realized gain (loss) on futures contracts 77 -- -- 10 81 Net realized gain on options written -- -- -- 174 -- Net realized gain (loss) on forward foreign currency contracts and foreign currency transactions -- -- -- -- -- Net change in unrealized appreciation or depreciation of investments (12,504) (2,739) (3,652) (394) (1,315) Net change in unrealized appreciation or depreciation of futures contracts -- -- -- (149) -- Net change in unrealized appreciation or depreciation of options written (206) (2) -- 57 (40) Net change in unrealized appreciation or depreciation of forward foreign currency contracts, foreign currency, and translation of other assets and liabilities denominated in foreign currency -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Net increase in net assets resulting from operations 71,067 12,638 24,431 6,122 7,205 ---------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Investment income - net: Class A (2,819) (1,752) (4,952) (551) (901) Class B -- -- -- (203) (325) Class C -- -- -- (339) (462) Class S (459) (102) (226) (366) (898) Class Y (50,535) (10,894) (21,801) (5,256) (8,765) Net realized gain on investments: Class A (1) -- -- -- (183) Class B -- -- -- -- (75) Class C -- -- -- -- (81) Class S -- -- -- -- (238) Class Y (13) -- -- -- (1,877) ---------------------------------------------------------------------------------------------------------------------------------- Total distributions (53,827) (12,748) (26,979) (6,715) (13,805) ================================================================================================================================== CAPITAL SHARE TRANSACTIONS (2): Class A: Proceeds from sales 33,969 20,544 88,965 13,512 16,589 Reinvestment of distributions 1,921 1,374 3,821 458 925 Payments for redemptions (23,162) (23,488) (96,111) (3,704) (9,260) Shares issued in connection with the acquisition of Fund net assets -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class A transactions 12,728 (1,570) (3,325) 10,266 8,254 ---------------------------------------------------------------------------------------------------------------------------------- Class B: Proceeds from sales -- -- -- 944 8,485 Reinvestment of distributions -- -- -- 180 368 Payments for redemptions -- -- -- (2,233) (3,444) Shares issued in connection with the acquisition of Fund net assets -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class B transactions -- -- -- (1,109) 5,409 ---------------------------------------------------------------------------------------------------------------------------------- Class C: Proceeds from sales -- -- -- 925 16,974 Reinvestment of distributions -- -- -- 330 535 Payments for redemptions -- -- -- (3,864) (4,217) Shares issued in connection with the acquisition of Fund net assets -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class C transactions -- -- -- (2,609) 13,292 ---------------------------------------------------------------------------------------------------------------------------------- Class S: Proceeds from sales 10,407 1,796 7,087 1,184 7,399 Reinvestment of distributions 396 86 171 340 1,113 Payments for redemptions (4,751) (8,574) (2,214) (15,610) (11,972) Shares issued in connection with the acquisition of Fund net assets -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class S transactions 6,052 (6,692) 5,044 (14,086) (3,460) ---------------------------------------------------------------------------------------------------------------------------------- Class Y: Proceeds from sales 688,524 277,885 647,898 31,123 85,238 Reinvestment of distributions 20,564 3,674 8,107 629 1,673 Payments for redemptions (407,391) (181,008) (306,375) (30,149) (48,569) Shares issued in connection with the acquisition of Common Trust Fund net assets -- -- -- -- -- Shares issued in connection with the acquisition of Fund net assets -- -- -- -- -- ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from Class Y transactions 301,697 100,551 349,630 1,603 38,342 ---------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from capital share transactions 320,477 92,289 351,349 (5,935) 61,837 ---------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 337,717 92,179 348,801 (6,528) 55,237 NET ASSETS AT BEGINNING OF PERIOD 1,049,767 1,000,427 651,626 286,692 231,455 ---------------------------------------------------------------------------------------------------------------------------------- NET ASSETS AT END OF PERIOD $ 1,387,484 $ 1,092,606 $ 1,000,427 $ 280,164 $ 286,692 ---------------------------------------------------------------------------------------------------------------------------------- UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET INVESTMENT INCOME $ (3) $ (1,166) $ 21 $ (1,190) $ 285 ==================================================================================================================================
45 FINANCIAL HIGHLIGHTS For a share outstanding throughout the periods ended September 30, unless otherwise indicated.
REALIZED AND NET ASSET UNREALIZED DIVIDENDS NET ASSET VALUE NET GAINS FROM NET DISTRIBUTIONS VALUE BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM NET END OF OF PERIOD INCOME INVESTMENTS INCOME REALIZED GAINS PERIOD ---------------------------------------------------------------------------------------------------------------------------------- CORE BOND FUND Class A 2004 (1) $ 11.56 $ 0.19 $ 0.11 $ (0.21) $ (0.17) $ 11.48 2003 11.45 0.42 0.15 (0.46) -- 11.56 2002 11.37 0.55 0.08 (0.55) -- 11.45 2001 (2) 10.69 0.61 0.69 (0.62) -- 11.37 2000 10.65 0.61 0.04 (0.61) -- 10.69 1999 11.69 0.59 (0.89) (0.59) (0.15) 10.65 Class B 2004 (1) $ 11.48 $ 0.14 $ 0.11 $ (0.16) $ (0.17) $ 11.40 2003 11.38 0.35 0.12 (0.37) -- 11.48 2002 11.29 0.47 0.09 (0.47) -- 11.38 2001 (2) 10.63 0.52 0.68 (0.54) -- 11.29 2000 10.58 0.53 0.05 (0.53) -- 10.63 1999 11.63 0.51 (0.90) (0.51) (0.15) 10.58 Class C 2004 (1) $ 11.53 $ 0.15 $ 0.10 $ (0.16) $ (0.17) $ 11.45 2003 11.42 0.34 0.14 (0.37) -- 11.53 2002 11.34 0.47 0.08 (0.47) -- 11.42 2001 (2) 10.66 0.52 0.70 (0.54) -- 11.34 2000 10.64 0.52 0.04 (0.54) -- 10.66 1999 (3) 11.33 0.38 (0.69) (0.38) -- 10.64 Class S 2004 (1) $ 11.56 $ 0.19 $ 0.11 $ (0.21) $ (0.17) $ 11.48 2003 11.45 0.42 0.15 (0.46) -- 11.56 2002 11.37 0.55 0.08 (0.55) -- 11.45 2001 (2) (4) 11.28 0.01 0.08 -- -- 11.37 Class Y 2004 (1) $ 11.56 $ 0.21 $ 0.10 $ (0.22) $ (0.17) $ 11.48 2003 11.45 0.45 0.15 (0.49) -- 11.56 2002 11.37 0.58 0.08 (0.58) -- 11.45 2001 (2) 10.69 0.63 0.70 (0.65) -- 11.37 2000 10.65 0.63 0.04 (0.63) -- 10.69 1999 11.69 0.61 (0.89) (0.61) (0.15) 10.65 CORPORATE BOND FUND Class A 2004 (1) $ 10.23 $ 0.24 $ 0.22 $ (0.24) $ -- $ 10.45 2003 9.60 0.51 0.63 (0.51) -- 10.23 2002 10.01 0.57 (0.39) (0.58) (0.01) 9.60 2001 (2) 10.03 0.72 0.35 (0.73) (0.36) 10.01 2000 (5) 10.00 0.48 0.02 (0.47) -- 10.03 Class B 2004 (1) $ 10.20 $ 0.20 $ 0.21 $ (0.20) $ -- $ 10.41 2003 9.57 0.44 0.63 (0.44) -- 10.20 2002 9.98 0.49 (0.38) (0.51) (0.01) 9.57 2001 (2) 10.02 0.66 0.32 (0.66) (0.36) 9.98 2000 (5) 10.00 0.45 0.01 (0.44) -- 10.02 Class C 2004 (1) $ 10.18 $ 0.20 $ 0.21 $ (0.20) $ -- $ 10.39 2003 9.55 0.44 0.63 (0.44) -- 10.18 2002 9.97 0.49 (0.40) (0.50) (0.01) 9.55 2001 (2) 10.01 0.63 0.35 (0.66) (0.36) 9.97 2000 (5) 10.00 0.45 (0.01) (0.43) -- 10.01 Class S 2004 (1) $ 10.23 $ 0.27 $ 0.19 $ (0.24) $ -- $ 10.45 2003 9.60 0.51 0.63 (0.51) -- 10.23 2002 10.01 0.56 (0.38) (0.58) (0.01) 9.60 2001 (2) (4) 9.93 0.01 0.07 -- -- 10.01 Class Y 2004 (1) $ 10.23 $ 0.25 $ 0.21 $ (0.25) $ -- $ 10.44 2003 9.59 0.54 0.64 (0.54) -- 10.23 2002 10.00 0.59 (0.39) (0.60) (0.01) 9.59 2001 (2) 10.03 0.75 0.33 (0.75) (0.36) 10.00 2000 (5) 10.00 0.49 0.02 (0.48) -- 10.03
(1) For the six months ended March 31, 2004 (unaudited). All ratios for the period have been annualized, except total return and portfolio turnover. (2) Per share data calculated using average shares outstanding method. (3) Class of shares has been offered since February 1, 1999. All ratios for the period have been annualized, except total return and portfolio turnover. The accompanying notes are an integral part of the financial statements. 46
RATIO OF RATIO OF NET RATIO OF NET EXPENSES TO INVESTMENT RATIO OF INVESTMENT AVERAGE INCOME NET ASSETS EXPENSES TO INCOME NET ASSETS TO AVERAGE NET PORTFOLIO TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING ASSETS (EXCLUDING TURNOVER RETURN (6) PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE ----------------------------------------------------------------------------------------------------------------------------------- CORE BOND FUND Class A 2004 (1) 2.67% $ 198,377 0.95% 3.36% 1.05% 3.26% 94% 2003 5.08 191,754 0.95 3.58 1.05 3.48 196 2002 5.77 122,354 0.95 4.93 1.03 4.85 115 2001 (2) 12.50 119,067 0.95 5.50 1.13 5.32 81 2000 6.33 110,490 0.95 5.76 1.14 5.57 54 1999 (2.67) 137,133 0.95 5.29 1.14 5.10 90 Class B 2004 (1) 2.28% $ 25,596 1.70% 2.61% 1.80% 2.51% 94% 2003 4.23 28,096 1.70 2.83 1.80 2.73 196 2002 5.12 16,741 1.70 4.17 1.78 4.09 115 2001 (2) 11.59 15,071 1.70 4.75 1.88 4.57 81 2000 5.70 11,550 1.70 5.02 1.89 4.83 54 1999 (3.48) 14,639 1.70 4.53 1.89 4.34 90 Class C 2004 (1) 2.27% $ 11,749 1.70% 2.61% 1.80% 2.51% 94% 2003 4.30 13,424 1.70 2.85 1.80 2.75 196 2002 5.02 9,672 1.70 4.18 1.78 4.10 115 2001 (2) 11.68 7,148 1.70 4.65 1.88 4.47 81 2000 5.50 566 1.70 5.02 1.89 4.83 54 1999 (3) (2.75) 719 1.35 5.09 1.89 4.55 90 Class S 2004 (1) 2.67% $ 14,758 0.95% 3.36% 1.05% 3.26% 94% 2003 5.08 39,236 0.95 3.58 1.05 3.48 196 2002 5.77 33,270 0.95 4.93 1.03 4.85 115 2001 (2) (4) 0.80 35,062 1.58 6.36 1.76 6.18 81 Class Y 2004 (1) 2.81% $ 1,881,969 0.70% 3.61% 0.80% 3.51% 94% 2003 5.34 1,955,909 0.70 3.83 0.80 3.73 196 2002 6.04 1,204,555 0.70 5.18 0.78 5.10 115 2001 (2) 12.76 1,368,812 0.70 5.76 0.88 5.58 81 2000 6.59 1,299,941 0.70 6.03 0.89 5.84 54 1999 (2.44) 1,239,900 0.70 5.57 0.89 5.38 90 CORPORATE BOND FUND Class A 2004 (1) 4.55% $ 17,179 1.00% 4.63% 1.25% 4.38% 66% 2003 12.26 13,522 1.00 5.15 1.26 4.89 91 2002 1.83 8,663 1.00 5.77 1.27 5.50 117 2001 (2) 10.94 9,820 0.75 6.95 1.20 6.50 187 2000 (5) 5.17 771 0.72 7.52 1.24 7.00 124 Class B 2004 (1) 4.07% $ 12,588 1.75% 3.89% 2.00% 3.64% 66% 2003 11.46 13,576 1.75 4.46 2.01 4.20 91 2002 1.07 18,728 1.75 5.02 2.02 4.75 117 2001 (2) 10.06 22,608 1.65 6.45 2.11 5.99 187 2000 (5) 4.70 103 1.48 6.86 1.99 6.35 124 Class C 2004 (1) 4.08% $ 5,254 1.75% 3.89% 2.00% 3.64% 66% 2003 11.50 5,752 1.75 4.43 2.01 4.17 91 2002 0.98 5,283 1.75 5.02 2.02 4.75 117 2001 (2) 10.10 5,209 1.50 6.07 1.94 5.63 187 2000 (5) 4.54 143 1.48 6.79 1.99 6.28 124 Class S 2004 (1) 4.55% $ 381 1.00% 4.64% 1.25% 4.39% 66% 2003 12.25 2,668 1.00 5.21 1.26 4.95 91 2002 1.84 3,557 1.00 5.77 1.27 5.50 117 2001 (2) (4) 0.81 3,237 0.89 7.60 1.36 7.13 187 Class Y 2004 (1) 4.58% $ 255,129 0.75% 4.88% 1.00% 4.63% 66% 2003 12.65 245,877 0.75 5.42 1.01 5.16 91 2002 2.08 204,801 0.75 6.03 1.02 5.76 117 2001 (2) 11.09 185,392 0.51 7.26 0.95 6.82 187 2000 (5) 5.32 89,990 0.48 7.75 0.99 7.24 124
(4) Class of shares has been offered since September 24, 2001. All ratios for the period have been annualized, except total return and portfolio turnover. (5) Commenced operations on February 1, 2000. All ratios for the period have been annualized, except total return and portfolio turnover. (6) Total return does not reflect sales charges. Total return would have been lower had certain expenses not been waived. 47
REALIZED AND NET ASSET UNREALIZED DIVIDENDS NET ASSET VALUE NET GAINS FROM NET DISTRIBUTIONS VALUE BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM NET RETURN OF END OF OF PERIOD INCOME INVESTMENTS INCOME REALIZED GAINS CAPITAL PERIOD ---------------------------------------------------------------------------------------------------------------------------------- HIGH INCOME BOND FUND (1) Class A 2004 (2) $ 9.13 $ 0.34 $ 0.32 $ (0.34) $ -- $ -- $ 9.45 2003 (3) 7.90 0.68 1.24 (0.69) -- -- 9.13 2002 9.23 0.65 (1.21) (0.70) -- (0.07) 7.90 2001 (3) (4) 9.93 0.02 (0.68) (0.04) -- -- 9.23 Class B 2004 (2) $ 9.09 $ 0.30 $ 0.33 $ (0.31) $ -- $ -- $ 9.41 2003 (3) 7.87 0.61 1.24 (0.63) -- -- 9.09 2002 9.19 0.69 (1.31) (0.63) -- (0.07) 7.87 2001 (3) (4) 9.88 0.02 (0.67) (0.04) -- -- 9.19 Class C 2004 (2) $ 9.10 $ 0.30 $ 0.33 $ (0.31) $ -- $ -- $ 9.42 2003 (3) 7.89 0.61 1.23 (0.63) -- -- 9.10 2002 9.21 0.64 (1.27) (0.62) -- (0.07) 7.89 2001 (3) (4) 9.90 0.05 (0.70) (0.04) -- -- 9.21 Class S 2004 (2) $ 9.21 $ 0.34 $ 0.32 $ (0.34) $ -- $ -- $ 9.53 2003 (3) 7.98 0.71 1.22 (0.70) -- -- 9.21 2002 9.32 0.73 (1.30) (0.70) -- (0.07) 7.98 2001 (3) (5) 9.50 0.01 (0.19) -- -- -- 9.32 Class Y 2004 (2) $ 9.13 $ 0.35 $ 0.34 $ (0.36) $ -- $ -- $ 9.46 2003 (3) 7.92 0.69 1.24 (0.72) -- -- 9.13 2002 9.24 0.74 (1.28) (0.71) -- (0.07) 7.92 2001 (3) (4) 9.92 0.05 (0.69) (0.04) -- -- 9.24 INTERMEDIATE GOVERNMENT BOND FUND Class A 2004 (2) $ 10.01 $ 0.12 $ 0.02 $ (0.13) $ (1.03) $ -- $ 8.99 2003 (6) 10.00 0.32 0.02 (0.33) -- -- 10.01 Class Y 2004 (2) $ 10.01 $ 0.13 $ 0.01 $ (0.14) $ (1.03) $ -- $ 8.98 2003 (6) 10.00 0.34 0.01 (0.34) -- -- 10.01 INTERMEDIATE TERM BOND FUND (7) Class A 2004 (2) $ 10.46 $ 0.16 $ 0.07 $ (0.16) $ (0.11) $ -- $ 10.42 2003 10.35 0.39 0.12 (0.40) -- -- 10.46 2002 10.26 0.50 0.10 (0.50) -- (0.01) 10.35 2001 (3) (8) 9.70 0.54 0.55 (0.51) (0.02) -- 10.26 2000 (9) 9.68 0.58 0.02 (0.58) -- -- 9.70 1999 (9) 10.07 0.54 (0.38) (0.54) (0.01) -- 9.68 Class S 2004 (2) $ 10.46 $ 0.15 $ 0.08 $ (0.16) $ (0.11) $ -- $ 10.42 2003 10.35 0.40 0.11 (0.40) -- -- 10.46 2002 10.26 0.51 0.09 (0.50) -- (0.01) 10.35 2001 (3) (10) 9.78 0.48 0.53 (0.51) (0.02) -- 10.26 Class Y 2004 (2) $ 10.43 $ 0.16 $ 0.08 $ (0.17) $ (0.11) $ -- $ 10.39 2003 10.32 0.41 0.12 (0.42) -- -- 10.43 2002 10.23 0.52 0.10 (0.52) -- (0.01) 10.32 2001 (3) (8) 9.68 0.56 0.54 (0.53) (0.02) -- 10.23 2000 (9) 9.66 0.60 0.02 (0.60) -- -- 9.68 1999 (9) 10.04 0.56 (0.37) (0.56) (0.01) -- 9.66
(1) The financial highlights for the High Income Bond Fund as set forth herein include the historical financial highlights of the First American High Yield Bond Fund Class A shares, Class B shares, Class C shares, Class S shares, and Class Y shares. The assets of the First American High Yield Bond Fund were acquired by High Income Bond Fund on March 14, 2003. In connection with such acquisition, Class A shares, Class B shares, Class C shares, Class S shares, and Class Y shares of the First American High Yield Bond Fund were exchanged for Class A shares, Class B shares, Class C shares, Class S shares, and Class Y shares of High Income Bond Fund, respectively. Historical per-share amounts have been adjusted to reflect the conversion ratios utilized for the merger of the High Income Bond Fund and the First American High Yield Bond Fund. (2) For the six months ended March 31, 2004 (unaudited). All ratios for the period have been annualized, except total return and portfolio turnover. (3) Per share data calculated using average shares outstanding method. (4) Commenced operations on August 30, 2001. All ratios for the period have been annualized, except total return and portfolio turnover. (5) Class of shares has been offered since September 24, 2001. All ratios for the period have been annualized, except total return and portfolio turnover. (6) Commenced operations on October 25, 2002. All ratios for the period have been annualized, except total return and portfolio turnover. The accompanying notes are an integral part of the financial statements. 48
RATIO OF RATIO OF NET RATIO OF NET EXPENSES TO INVESTMENT RATIO OF INVESTMENT AVERAGE INCOME NET ASSETS EXPENSES TO INCOME NET ASSETS TO AVERAGE NET PORTFOLIO TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING ASSETS (EXCLUDING TURNOVER RETURN (11) PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE ----------------------------------------------------------------------------------------------------------------------------------- HIGH INCOME BOND FUND (1) Class A 2004 (2) 7.34% $ 42,774 1.00% 7.29% 1.25% 7.04% 30% 2003 (3) 25.30 42,013 1.06 7.72 1.24 7.54 122 2002 (6.66) 23,900 1.10 7.64 1.47 7.27 86 2001 (3) (4) (6.55) 161 1.10 6.53 1.33 6.30 53 Class B 2004 (2) 6.98% $ 9,524 1.75% 6.53% 2.00% 6.28% 30% 2003 (3) 24.33 8,939 1.81 7.00 1.99 6.82 122 2002 (7.26) 774 1.80 7.49 2.28 7.01 86 2001 (3) (4) (6.47) 40 1.77 6.02 2.02 5.77 53 Class C 2004 (2) 6.97% $ 20,441 1.75% 6.54% 2.00% 6.29% 30% 2003 (3) 24.14 19,685 1.80 7.01 1.98 6.83 122 2002 (7.34) 7,213 1.83 7.08 2.26 6.65 86 2001 (3) (4) (6.50) 3,749 1.94 5.53 2.21 5.26 53 Class S 2004 (2) 7.28% $ 407 1.00% 7.31% 1.25% 7.06% 30% 2003 (3) 25.11 777 1.00 7.86 1.18 7.68 122 2002 (6.66) 87 1.01 8.46 1.57 7.90 86 2001 (3) (5) (1.90) -- -- 1.23 -- 1.23 53 Class Y 2004 (2) 7.59% $ 214,561 0.75% 7.52% 1.00% 7.27% 30% 2003 (3) 25.29 179,416 0.83 7.97 1.01 7.79 122 2002 (6.33) 21,157 0.82 8.19 1.27 7.74 86 2001 (3) (4) (6.47) 8,308 0.96 6.06 1.23 5.79 53 INTERMEDIATE GOVERNMENT BOND FUND Class A 2004 (2) 1.65% $ 1,905 0.75% 2.61% 1.07% 2.29% 24% 2003 (6) 3.53 2,502 0.75 3.22 1.05 2.92 74 Class Y 2004 (2) 1.63% $ 181,952 0.60% 2.78% 0.82% 2.56% 24% 2003 (6) 3.64 334,869 0.60 3.68 0.80 3.48 74 INTERMEDIATE TERM BOND FUND (7) Class A 2004 (2) 2.24% $ 74,894 0.75% 3.00% 1.04% 2.71% 91% 2003 5.09 78,682 0.75 3.89 1.05 3.59 133 2002 6.11 65,291 0.75 4.96 1.02 4.69 40 2001 (3) (8) 11.46 61,225 0.85 5.62 0.96 5.51 30 2000 (9) 6.41 27,431 0.82 6.08 0.95 5.95 18 1999 (9) 1.66 33,779 0.81 5.47 0.95 5.33 64 Class S 2004 (2) 2.24% $ 9,589 0.75% 3.01% 1.04% 2.72% 91% 2003 5.09 12,273 0.75 3.89 1.05 3.59 133 2002 6.12 6,070 0.75 4.86 1.02 4.59 40 2001 (3) (10) 10.58 724 0.84 5.41 0.95 5.30 30 Class Y 2004 (2) 2.32% $ 1,338,544 0.60% 3.15% 0.79% 2.96% 91% 2003 5.25 1,296,529 0.60 4.05 0.80 3.85 133 2002 6.29 978,406 0.60 5.11 0.77 4.94 40 2001 (3) (8) 11.61 878,695 0.60 5.83 0.70 5.73 30 2000 (9) 6.67 408,708 0.57 6.33 0.70 6.20 18 1999 (9) 1.91 284,047 0.56 5.71 0.70 5.57 64
(7) The financial highlights for the Intermediate Term Bond Fund as set forth herein include the historical financial highlights of the Firstar Intermediate Bond Fund Class A shares, Class Y shares, and Class I shares. The assets of the Firstar Intermediate Bond Fund were acquired by Intermediate Term Bond Fund on September 24, 2001. In connection with such acquisition, Class A shares, Class Y shares, and Class I shares of the Firstar Intermediate Bond Fund were exchanged for Class A shares, Class S shares, and Class Y shares of Intermediate Term Bond Fund, respectively. Historical per-share amounts have been adjusted to reflect the conversion ratios utilized for the merger of the Intermediate Term Bond Fund and the Firstar Intermediate Bond Fund. (8) For the period November 1, 2000 to September 30, 2001. Effective in 2001, the Fund's fiscal year end was changed from October 31 to September 30. All ratios for the period have been annualized, except total return and portfolio turnover. (9) For the fiscal year ended October 31. (10) Class of shares has been offered since November 27, 2000. All ratios for the period have been annualized, except total return and portfolio turnover. (11) Total return does not reflect sales charges. Total return would have been lower had certain expenses not been waived. 49
REALIZED AND NET ASSET UNREALIZED DIVIDENDS NET ASSET VALUE NET GAINS FROM NET DISTRIBUTIONS VALUE BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM NET RETURN OF END OF OF PERIOD INCOME INVESTMENTS INCOME REALIZED GAINS CAPITAL PERIOD ---------------------------------------------------------------------------------------------------------------------------------- SHORT TERM BOND FUND Class A 2004 (1) (2) $ 10.26 $ 0.11 $ -- $ (0.12) $ -- $ -- $ 10.25 2003 10.29 0.28 (0.01) (0.30) -- -- 10.26 2002 10.27 0.42 0.04 (0.43) -- (0.01) 10.29 2001 (2) 9.91 0.61 0.40 (0.65) -- -- 10.27 2000 9.86 0.58 0.02 (0.55) -- -- 9.91 1999 10.04 0.52 (0.18) (0.52) -- -- 9.86 Class S 2004 (1) (2) $ 10.25 $ 0.11 $ (0.01) $ (0.12) $ -- $ -- $ 10.23 2003 10.29 0.28 (0.02) (0.30) -- -- 10.25 2002 10.27 0.42 0.04 (0.43) -- (0.01) 10.29 2001 (2) (3) 10.25 0.01 0.01 -- -- -- 10.27 Class Y 2004 (1) (2) $ 10.26 $ 0.11 $ 0.01 $ (0.12) $ -- $ -- $ 10.26 2003 10.30 0.30 (0.02) (0.32) -- -- 10.26 2002 10.27 0.43 0.05 (0.44) -- (0.01) 10.30 2001 (2) 9.91 0.63 0.39 (0.66) -- -- 10.27 2000 9.87 0.59 0.01 (0.56) -- -- 9.91 1999 10.04 0.52 (0.17) (0.52) -- -- 9.87 U.S. GOVERNMENT MORTGAGE FUND (4) Class A 2004 (1) (2) $ 10.89 $ 0.19 $ 0.03 $ (0.25) $ -- $ -- $ 10.86 2003 11.16 0.35 (0.05) (0.45) (0.12) -- 10.89 2002 11.01 0.50 0.20 (0.55) -- -- 11.16 2001 (2) (5) 10.44 0.51 0.60 (0.54) -- -- 11.01 2000 (6) 10.34 0.53 0.08 (0.51) -- -- 10.44 1999 (7) 10.74 0.54 (0.40) (0.54) -- -- 10.34 Class B 2004 (1) (2) $ 10.90 $ 0.15 $ 0.04 $ (0.21) $ -- $ -- $ 10.88 2003 11.18 0.28 (0.06) (0.38) (0.12) -- 10.90 2002 11.03 0.42 0.20 (0.47) -- -- 11.18 2001 (2) (5) 10.45 0.43 0.62 (0.47) -- -- 11.03 2000 (6) 10.36 0.45 0.08 (0.44) -- -- 10.45 1999 (7) 10.74 0.47 (0.38) (0.47) -- -- 10.36 Class C 2004 (1) (2) $ 10.84 $ 0.15 $ 0.04 $ (0.21) $ -- $ -- $ 10.82 2003 11.13 0.29 (0.08) (0.38) (0.12) -- 10.84 2002 11.00 0.46 0.15 (0.48) -- -- 11.13 2001 (2) (3) 10.98 0.05 (0.03) -- -- -- 11.00 Class S 2004 (1) (2) $ 10.85 $ 0.19 $ 0.04 $ (0.25) $ -- $ -- $ 10.83 2003 11.12 0.30 -- (0.45) (0.12) -- 10.85 2002 10.97 0.49 0.20 (0.54) -- -- 11.12 2001 (2) (5) 10.40 0.62 0.49 (0.54) -- -- 10.97 2000 (6) 10.31 0.53 0.07 (0.51) -- -- 10.40 1999 (7) 10.70 0.53 (0.38) (0.54) -- -- 10.31 Class Y 2004 (1) (2) $ 10.89 $ 0.21 $ 0.03 $ (0.26) $ -- $ -- $ 10.87 2003 11.16 0.37 (0.04) (0.48) (0.12) -- 10.89 2002 11.01 0.53 0.19 (0.57) -- -- 11.16 2001 (2) (5) 10.44 0.53 0.60 (0.56) -- -- 11.01 2000 (6) 10.34 0.55 0.08 (0.53) -- -- 10.44 1999 (7) 10.74 0.58 (0.41) (0.57) -- -- 10.34
(1) For the six months ended March 31, 2004 (unaudited). All ratios for the period have been annualized, except total return and portfolio turnover. (2) Per share data calculated using average shares outstanding method. (3) Class of shares has been offered since September 24, 2001. All ratios for the period have been annualized, except total return and portfolio turnover. (4) The financial highlights for the U.S. Government Mortgage Fund as set forth herein include the historical financial highlights of the Firstar U.S. Government Securities Fund Class A shares, Class B shares, Class Y shares, and Class I shares. The assets of the Firstar U.S. Government Securities Fund were acquired by U.S. Government Mortgage Fund on September 24, 2001. In connection with such acquisition, Class A shares, Class B shares, Class Y shares, and Class I shares of the Firstar U.S. Government Securities Fund were exchanged for Class A shares, Class B shares, Class S shares, and Class Y shares of U.S. Government Mortgage Fund, respectively. The accompanying notes are an integral part of the financial statements. 50
RATIO OF RATIO OF NET RATIO OF NET EXPENSES TO INVESTMENT RATIO OF INVESTMENT AVERAGE INCOME NET ASSETS EXPENSES TO INCOME NET ASSETS TO AVERAGE NET PORTFOLIO TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING ASSETS (EXCLUDING TURNOVER RETURN (8) PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE ----------------------------------------------------------------------------------------------------------------------------------- SHORT TERM BOND FUND Class A 2004 (1) (2) 1.05% $ 157,762 0.75% 2.05% 1.04% 1.76% 41% 2003 2.71 159,451 0.75 2.75 1.05 2.45 60 2002 4.59 163,358 0.75 4.06 1.04 3.77 59 2001 (2) 10.48 133,177 0.60 6.04 1.15 5.49 69 2000 6.30 80,992 0.60 6.12 1.13 5.59 95 1999 3.43 5,318 0.60 5.16 1.12 4.64 65 Class S 2004 (1) (2) 0.95% $ 2,003 0.75% 2.05% 1.04% 1.76% 41% 2003 2.61 8,710 0.75 2.68 1.05 2.38 60 2002 4.61 3,685 0.75 3.88 1.04 3.59 59 2001 (2) (3) 0.20 362 1.20 6.37 1.80 5.77 69 Class Y 2004 (1) (2) 1.22% $ 932,841 0.60% 2.20% 0.79% 2.01% 41% 2003 2.76 832,266 0.60 2.84 0.80 2.64 60 2002 4.85 484,583 0.60 4.18 0.79 3.99 59 2001 (2) 10.64 277,244 0.46 6.24 1.02 5.68 69 2000 6.29 92,092 0.51 5.94 0.98 5.47 95 1999 3.53 119,522 0.60 5.15 0.87 4.88 65 U.S. GOVERNMENT MORTGAGE FUND (4) Class A 2004 (1) (2) 2.04% $ 34,896 0.95% 3.56% 1.05% 3.46% 52% 2003 2.79 24,667 0.95 2.98 1.06 2.87 175 2002 6.53 16,985 0.95 4.61 1.08 4.48 197 2001 (2) (5) 10.88 7,751 1.04 5.15 1.19 5.00 22 2000 (6) 6.05 3,644 1.04 5.36 1.15 5.25 23 1999 (7) 1.37 4,620 0.98 5.15 1.09 5.04 26 Class B 2004 (1) (2) 1.72% $ 10,264 1.70% 2.82% 1.80% 2.72% 52% 2003 1.96 11,397 1.70 2.22 1.81 2.11 175 2002 5.79 6,235 1.70 3.85 1.83 3.72 197 2001 (2) (5) 10.25 2,039 1.71 4.37 1.86 4.22 22 2000 (6) 5.27 139 1.74 4.66 1.85 4.55 23 1999 (7) 0.86 282 1.68 4.47 1.79 4.36 26 Class C 2004 (1) (2) 1.74% $ 16,156 1.70% 2.81% 1.80% 2.71% 52% 2003 1.91 18,801 1.70 2.19 1.81 2.08 175 2002 5.78 5,834 1.70 3.92 1.83 3.79 197 2001 (2) (3) 0.18 105 0.82 5.26 1.12 4.96 22 Class S 2004 (1) (2) 2.14% $ 3,158 0.95% 3.57% 1.05% 3.47% 52% 2003 2.79 17,296 0.95 3.04 1.06 2.93 175 2002 6.55 21,355 0.95 4.59 1.08 4.46 197 2001 (2) (5) 10.94 19,092 0.97 6.52 1.15 6.34 22 2000 (6) 5.96 5,145 1.04 5.36 1.15 5.25 23 1999 (7) 1.45 8,584 0.98 5.17 1.09 5.06 26 Class Y 2004 (1) (2) 2.27% $ 215,690 0.70% 3.81% 0.80% 3.71% 52% 2003 3.03 214,531 0.70 3.27 0.81 3.16 175 2002 6.79 181,046 0.70 4.84 0.83 4.71 197 2001 (2) (5) 11.14 183,883 0.71 5.37 0.85 5.23 22 2000 (6) 6.34 53,896 0.74 5.66 1.15 5.25 23 1999 (7) 1.67 72,483 0.68 5.45 1.09 5.04 26
(5) For the period November 1, 2000 to September 30, 2001. Effective in 2001, the Fund's fiscal year end was changed from October 31 to September 30. All ratios for the period have been annualized, except total return and portfolio turnover. (6) For the period December 1, 1999 to October 31, 2000. Effective in 2000, the Fund's fiscal year end was changed from November 30 to October 31. All ratios for the period have been annualized, except total return and portfolio turnover. (7) For the fiscal year ended November 30. (8) Total return does not reflect sales charges. Total return would have been lower had certain expenses not been waived. 51 NOTES TO FINANCIAL STATEMENTS March 31, 2004 (unaudited) 1 > Organization The First American Core Bond Fund, Corporate Bond Fund, High Income Bond Fund, Intermediate Government Bond Fund, Intermediate Term Bond Fund, Short Term Bond Fund, and U.S. Government Mortgage Fund (each a "Fund" and collectively, the "Funds") are mutual funds offered by First American Investment Funds, Inc. ("FAIF"), which is a member of First American Family of Funds. FAIF currently offers 37 funds, including the Funds included in this report. FAIF is registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. FAIF's articles of incorporation permit the Funds' board of directors to create additional funds in the future. FAIF offers Class A, Class B, Class C, Class S, and Class Y shares. Class A shares of Intermediate Government Bond Fund, Intermediate Term Bond Fund, and Short Term Bond Fund are sold with a front-end sales charge of 2.25%. Class A shares of Core Bond Fund, Corporate Bond Fund, High Income Bond Fund, and U.S. Government Mortgage Fund are sold with a front-end sales charge of 4.25%. Class B shares are subject to a contingent deferred sales charge for six years and automatically convert to Class A shares after eight years. Class C shares are sold with a front-end sales charge of 1.00%, are subject to a contingent deferred sales charge for 18 months, and will not convert to Class A shares. Class S and Class Y shares have no sales charge and are offered only to qualifying institutional investors and certain other qualifying accounts. Class B and Class C shares are not offered by the Intermediate Government Bond Fund, Intermediate Term Bond Fund, or Short Term Bond Fund. Class S shares are not offered by the Intermediate Government Bond Fund. The Funds' prospectuses provide descriptions of each Fund's investment objective, policies, and strategies. Each Fund is a diversified fund. All classes of shares in a Fund have identical voting, dividend, liquidation, and other rights, and the same terms and conditions, except that the level of distribution and shareholder servicing fees charged may differ among classes and each class has exclusive voting rights on any matters relating to that class' servicing or distribution arrangements. 2 > Summary of Significant Accounting Policies The significant accounting policies followed by the Funds are as follows: SECURITY VALUATIONS - Security valuations for the Funds' investments are furnished by independent pricing services that have been approved by the Funds' board of directors. Investments in equity securities that are traded on a national securities exchange (or reported on the Nasdaq national market system) are stated at the last quoted sales price if readily available for such securities on each business day. For securities traded on the Nasdaq national market system, the Funds utilize the Nasdaq Official Closing Price which compares the last trade to the bid/ask range of a security. If the last trade falls within the bid/ask range, then that price will be the closing price. If the last trade is outside the bid/ask range, and falls above the ask, the ask price will be the closing price. If the last price is below the bid, the bid will be the closing price. Other equity securities traded in the over-the-counter market and listed equity securities for which no sale was reported on that date are stated at the last quoted bid price. Debt obligations exceeding 60 days to maturity are valued by an independent pricing service. The pricing service may employ methodologies that utilize actual market transactions, broker-dealer supplied valuations, or other formula driven valuation techniques. These techniques generally consider such factors as yields or prices of bonds of comparable quality, type of issue, coupon, maturity, ratings, and general market conditions. Securities for which prices are not available from an independent pricing service, but where an active market exists, are valued using market quotations obtained from one or more dealers that make markets in the securities or from a widely used quotation system. When market quotations are not readily available, securities are valued at fair value as determined in good faith by procedures established and approved by the Funds' board of directors. Some of the factors which may be considered by the board of directors in determining fair value are fundamental analytical data relating to the investment; the nature and duration of any restrictions on disposition; trading in similar securities of the same issuer or comparable companies; information from broker-dealers; and an evaluation of the forces that influence the market in which the securities are purchased and sold. If events occur that materially affect the value of securities (including non-U.S. securities) between the close of trading in those securities and the close of regular trading on the New York Stock Exchange, the securities will be valued at 52 fair value. As of March 31, 2004, Core Bond Fund, High Income Bond Fund, and Short Term Bond Fund held fair value securities with a value of $146,545, $0, and $0 or 0.0%, 0.0%, and 0.0% of total net assets, respectively. Debt obligations with 60 days or less remaining until maturity may be valued at their amortized cost, which approximates market value. Foreign securities are valued at the closing prices on the principal exchanges on which they trade. The prices for foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. Exchange rates are provided daily by recognized independent pricing agents. Investments in open-end mutual funds are valued at the respective net asset value of each underlying fund, determined at the close of the New York Stock Exchange (generally 3:00 p.m. Central time) on the valuation date. SECURITY TRANSACTIONS AND INVESTMENT INCOME - The Funds record security transactions on the trade date of the security purchase or sale. Dividend income is recorded on the ex-dividend date. Interest income, including amortization of bond premium and discount, is recorded on an accrual basis. Security gains and losses are determined on the basis of identified cost, which is the same basis used for federal income tax purposes. DISTRIBUTIONS TO SHAREHOLDERS - Distributions from net investment income are declared and paid on a monthly basis. Any net realized capital gains on sales of securities for a Fund are distributed to shareholders at least annually. EXPENSES - Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating expenses are allocated to the Funds on the basis of relative net assets of all Funds within the First American Fund complex. Class specific expenses, such as 12b-1 fees, are borne by that class. Income, other expenses, and realized and unrealized gains and losses of a Fund are allocated to each respective class in proportion to the relative net assets of each class. FEDERAL TAXES - Each Fund is treated as a separate taxable entity. Each Fund intends to continue to qualify as a regulated investment company as provided in Subchapter M of the Internal Revenue Code, as amended, and to distribute all taxable income, if any, to its shareholders. Accordingly, no provision for federal income taxes is required. Net investment income and net realized gains (losses) may differ for financial statement and tax purposes because of temporary or permanent book/tax differences. These differences are primarily due to losses deferred due to wash sales, paydowns on pass through obligations, expiring capital loss carryforwards, and tax mark to market adjustments under Section 311(e) of the Taxpayer Relief Act of 1997. To the extent these differences are permanent, reclassifications are made to the appropriate equity accounts in the period that the difference arises. The characterization of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes. In addition, due to the timing of dividend distributions, the fiscal year in which the amounts are distributed may differ from the year that the income or realized gains (losses) were recorded by the Fund. The distributions paid during the six months ended March 31, 2004 (estimated) and the fiscal year ended September 30, 2003, were characterized as follows (000):
2004 ------------------------------------------------------------------------- ORDINARY LONG TERM FUND INCOME GAIN TOTAL ------------------------------------------------------------------------- Core Bond Fund $ 41,526 $ 32,707 $ 74,233 Corporate Bond Fund 6,800 -- 6,800 High Income Bond Fund 10,303 -- 10,303 Intermediate Government Bond Fund 3,515 29,702 33,217 Intermediate Term Bond Fund 22,197 14,777 36,974 Short Term Bond Fund 12,748 -- 12,748 U.S. Government Mortgage Fund 6,715 -- 6,715
2003 ------------------------------------------------------------------------- ORDINARY LONG TERM FUND INCOME GAIN TOTAL ------------------------------------------------------------------------- Core Bond Fund $ 77,933 $ -- $ 77,933 Corporate Bond Fund 14,162 -- 14,162 High Income Bond Fund 15,787 -- 15,787 Intermediate Government Bond Fund 15,162 535 15,697 Intermediate Term Bond Fund 53,813 14 53,827 Short Term Bond Fund 26,979 -- 26,979 U.S. Government Mortgage Fund 11,426 2,379 13,805
53 As of September 30, 2003, the Funds' most recently completed fiscal year end, the components of accumulated earnings (deficit) on a tax basis were (000):
ACCUMULATED UNDISTRIBUTED UNDISTRIBUTED CAPITAL AND TOTAL ORDINARY LONG TERM POST-OCTOBER UNREALIZED ACCUMULATED FUND INCOME CAPITAL GAINS LOSSES APPRECIATION EARNINGS (DEFICIT) ----------------------------------------------------------------------------------------------------------------------------- Core Bond Fund $ 986 $ 27,145 $ -- $ 42,548 $ 70,679 Corporate Bond Fund 9 -- (31,147) 11,186 (19,952) High Income Bond Fund 278 -- (30,879) 15,289 (15,312) Intermediate Government Bond Fun 2,093 26,827 -- 11,031 39,951 Intermediate Term Bond Fund -- 11,348 (1,330) 38,882 48,900 Short Term Bond Fund 24 -- (3,913) 12,025 8,136 U.S. Government Mortgage Fund 285 -- (3,057) 4,706 1,934
The difference between book and tax basis unrealized appreciation is primarily due to the tax deferral of losses on wash sales and tax mark to market adjustments made under Section 311(e) of the Taxpayer Relief Act of 1997. As of September 30, 2003, the Funds' most recently completed fiscal year end, the following Funds had capital loss carryforwards (000):
EXPIRATION YEAR 2004 2005 2006 2007 2008 2009 2010 2011 TOTAL ------------------------------------------------------------------------------------------------------------------------ FUND ------------------------------------------------------------------------------------------------------------------------ Corporate Bond Fund $ -- $ 918 $ 19,082 $ 7,438 $ -- $ -- $ -- $ 3,709 $ 31,147 High Income Bond Fund -- -- -- 2,698 361 8,420 9,698 9,495 30,672 Intermediate Term Bond Fund 1,062 -- -- -- 268 -- -- -- 1,330 Short Term Bond Fund 2,527 -- 604 637 145 -- -- -- 3,913
In accordance with Section 382 of the Internal Revenue Code, utilization of all or a portion of the capital loss carryovers on this page is limited on an annual basis for the Corporate Bond Fund and High Income Bond Fund in the amount of $6,352,310 and $4,675,368, respectively, per tax year for a portion of their capital loss carryover. Certain Funds incurred a loss for tax purposes for the period from November 1, 2002 to September 30, 2003. As permitted by tax regulations, the Funds intend to elect to defer and treat these losses as arising in the fiscal year ending September 30, 2004. The following Funds had deferred losses (000):
FUND AMOUNT -------------------------------------------------- High Income Bond Fund $ 208 U.S. Government Securities Fund 3,057
FUTURES TRANSACTIONS - In order to protect against changes in interest rates, each Fund may enter into interest rate futures. Upon entering into a futures contract, the Fund is required to deposit cash or pledge U.S. government securities in an amount equal to 5% of the purchase price indicated in the futures contract (initial margin). Subsequent payments, which are dependent on the daily fluctuations in the value of the underlying security or securities, are made or received by the Fund each day (daily variation margin) and are recorded as unrealized gains (losses) until the contract is closed. When the contract is closed, the Fund records a realized gain (loss) equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. Risks of entering into futures contracts, in general, include the possibility that there will not be a perfect price correlation between the futures contracts and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a futures position prior to its maturity date. Third, the purchase of a futures contract involves the risk that a fund could lose more than the original margin deposit required to initiate a futures transaction. Unrealized gains (losses) on outstanding positions in futures contracts held at the close of the year will be recognized as capital gains (losses) for federal income tax purposes. 54 As of March 31, 2004, open futures contracts were as follows (000):
MARKET VALUE NUMBER OF COVERED BY SETTLEMENT UNREALIZED ISSUER CONTRACTS CONTRACTS MONTH GAIN (LOSS) ---------------------------------------------------------------------------------------------------------------------- CORE BOND FUND 10 year U.S. Treasury Futures (690) $ (78,186) June-04 $ (1,456) ------------ 10 year U.S. Treasury Futures (170) (8,078) June-04 (21) ------------ CORPORATE BOND FUND 10 year U.S. Treasury Futures 85 $ 9,695 June-04 $ 222 ------------ 10 year U.S. Treasury Futures (255) (29,429) June-04 (503) ------------ 10 year U.S. Treasury Futures (50) (5,666) June-04 (108) ------------ INTERMEDIATE GOVERNMENT BOND FUND 10 year U.S. Treasury Futures 70 $ 8,078 June-04 $ 125 ------------ 10 year U.S. Treasury Futures (70) (7,932) June-04 (146) ------------ INTERMEDIATE TERM BOND FUND 10 year U.S. Treasury Futures 125 $ 14,426 June-04 $ 303 ------------ 10 year U.S. Treasury Futures (290) (32,861) June-04 (610) ------------ U.S. GOVERNMENT MORTGAGE FUND 10 year U.S. Treasury Futures (35) $ (4,039) June-04 $ (10) ------------ 10 year U.S. Treasury Futures (60) (6,799) June-04 (139) ------------
OPTIONS TRANSACTIONS - Each Fund may utilize options in an attempt to manage market or business risk or enhance the Fund's yield. When a call or put option is written, an amount equal to the premium received is recorded as a liability. The liability is marked-to-market daily to reflect the current market value of the option written. When a written option expires, a gain is realized in the amount of the premium originally received. If a closing purchase contract is entered into, a gain or loss is realized in the amount of the original premium less the cost of the closing transaction. If a written call is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a written put option is exercised, the amount of the premium originally received reduces the cost of the security that is purchased upon exercise of the option. Purchased options are recorded as investments and marked-to-market daily to reflect the current market value of the option contract. If a purchased option expires, a loss is realized in the amount of the cost of the option. If a closing transaction is entered into, a gain or loss is realized, to the extent that the proceeds from the sale are greater or less than the cost of the option. If a put option is exercised, a gain or loss is realized from the sale of the underlying security by adjusting the proceeds from such sale by the amount of the premium originally paid. If a call option is exercised, the cost of the security purchased upon exercise is increased by the premium originally paid. 55 The following written options were outstanding as of March 31, 2004 (000): PUT OPTIONS WRITTEN
EXPIRATION EXERCISE NUMBER OF ISSUER DATE PRICE CONTRACTS VALUE ---------------------------------------------------------------------------------------------------------------------- CORE BOND FUND 90 Day Eurodollar June 05 Futures June-04 $ 98.75 170 $ 13 90 Day Eurodollar September 05 Futures Sept-04 98.50 450 93 ------------ Total put options outstanding (premiums received $231) $ 106 ------------ CORPORATE BOND FUND 90 Day Eurodollar June 05 Futures June-04 $ 98.75 20 $ 2 90 Day Eurodollar September 05 Futures Sept-04 98.50 60 12 ------------ Total put options outstanding (premiums received $30) $ 14 ------------ INTERMEDIATE GOVERNMENT BOND FUND 90 Day Eurodollar June 05 Futures June-04 $ 98.75 15 $ 1 90 Day Eurodollar September 05 Futures Sept-04 98.50 40 8 ------------ Total put options outstanding (premiums received $20) $ 9 ------------ INTERMEDIATE TERM BOND FUND 90 Day Eurodollar June 05 Futures June-04 $ 98.75 115 $ 9 90 Day Eurodollar September 05 Futures Sept-04 98.50 300 62 ------------ Total put options outstanding (premiums received $155) $ 71 ------------ SHORT TERM BOND FUND 90 Day Eurodollar September 05 Futures Sept-04 $ 98.50 250 $ 51 ------------ Total put options outstanding (premiums received $49) $ 51 ------------ U.S. GOVERNMENT MORTGAGE FUND 90 Day Eurodollar June 05 Futures June-04 $ 98.75 25 $ 2 90 Day Eurodollar September 05 Futures Sept-04 98.50 60 12 ------------ Total put options outstanding (premiums received $31) $ 14 ------------
56 Transactions in written options for the six months ended March 31, 2004, were as follows (000):
PUT OPTIONS WRITTEN CALL OPTIONS WRITTEN NUMBER OF PREMIUM NUMBER OF PREMIUM ISSUER CONTRACTS AMOUNT CONTRACTS AMOUNT ------------------------------------------------------------------------------------------------- CORE BOND FUND Balance at September 30, 2003 300 $ 182 600 $ 366 Opened 1,270 654 900 566 Expired (950) (605) (600) (380) Closed -- -- (900) (552) ---------- ---------- ---------- ---------- Balance at March 31, 2004 620 $ 231 -- $ -- ---------- ---------- ---------- ---------- CORPORATE BOND FUND Balance at September 30, 2003 -- $ -- -- $ -- Opened 80 30 -- -- ---------- ---------- ---------- ---------- Balance at March 31, 2004 80 $ 30 -- $ -- ---------- ---------- ---------- ---------- INTERMEDIATE GOVERNMENT BOND FUND Balance at September 30, 2003 45 $ 27 90 $ 55 Opened 151 83 134 84 Expired (141) (90) (89) (56) Closed -- -- (135) (83) ---------- ---------- ---------- ---------- Balance at March 31, 2004 55 $ 20 -- $ -- ---------- ---------- ---------- ---------- INTERMEDIATE TERM BOND FUND Balance at September 30, 2003 180 $ 109 360 $ 219 Opened 805 409 540 340 Expired (570) (363) (360) (228) Closed -- -- (540) (331) ---------- ---------- ---------- ---------- Balance at March 31, 2004 415 $ 155 -- $ -- ---------- ---------- ---------- ---------- SHORT TERM BOND FUND Balance at September 30, 2003 -- $ -- -- $ -- Opened 250 49 -- -- ---------- ---------- ---------- ---------- Balance at March 31, 2004 250 $ 49 -- $ -- ---------- ---------- ---------- ---------- U.S. GOVERNMENT MORTGAGE FUND Balance at September 30, 2003 35 $ 21 70 $ 43 Opened 165 83 106 67 Expired (115) (73) (71) (45) Closed -- -- (105) (65) ---------- ---------- ---------- ---------- Balance at March 31, 2004 85 $ 31 -- $ -- ---------- ---------- ---------- ----------
57 FOREIGN CURRENCY TRANSLATION - The books and records of the High Income Bond Fund relating to the Fund's non-U.S. dollar denominated investments are maintained in U.S. dollars on the following basis: - market value of investment securities, assets, and liabilities are translated at the current rate of exchange; and - purchases and sales of investment securities, income, and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The High Income Bond Fund does not isolate the portion of gains and losses on investments in debt securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of debt securities. The High Income Bond Fund does isolate the effect of fluctuations in foreign currency rates when determining the gain or loss upon sale or maturity of foreign currency denominated debt obligations pursuant to the federal income tax regulations. Such amounts are categorized as foreign currency gain or loss for both financial reporting and income tax reporting purposes. The High Income Bond Fund reports certain foreign currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for federal income tax purposes. SECURITIES PURCHASED ON A WHEN-ISSUED BASIS - Delivery and payment for securities that have been purchased by a Fund on a forward-commitment or when-issued basis can take place up to a month or more after the transaction date. During this period, such securities are subject to market fluctuations and the portfolio maintains, in a segregated account with its custodian, assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued or forward-commitment basis may increase the volatility of the Fund's net asset value if the Fund makes such purchases while remaining substantially fully invested. At March 31, 2004, the following Funds had outstanding when-issued commitments (000):
SEGREGATED FUND COST ASSETS ---------------------------------------------------------------------- Core Bond Fund $ 82,842 $ 245,354 Short Term Bond Fund 8,040 17,560 U.S. Government Mortgage Fund 31,964 44,934
In connection with the ability to purchase securities on a when-issued basis, each Fund may also enter into dollar rolls in which the Fund sells securities purchased on a forward-commitment basis and simultaneously contracts with a counterparty to repurchase similar (same type, coupon, and maturity) but not identical securities on a specified future date. Dollar rolls are considered a form of leverage. ILLIQUID SECURITIES AND RESTRICTED SECURITIES - At March 31, 2004, investments in securities in the Core Bond Fund, High Income Bond Fund, Intermediate Government Bond Fund, Intermediate Term Bond Fund, Short Term Bond Fund, and U.S. Government Mortgage Fund included issues that are illiquid. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Each Fund intends to invest no more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Certain restricted securities may be considered illiquid. Restricted securities are often purchased in private placement transactions, are not registered under the Securities Act of 1933, may have contractual restrictions on resale, and may be valued under methods approved by the Funds' board of directors as reflecting fair value. Certain restricted securities eligible for resale to qualified institutional investors, including Rule 144A securities, are not subject to the limitation on a Funds' investment in illiquid securities if they are determined to be liquid in accordance with procedures adopted by the Fund's board of directors. At March 31, 2004, the aggregate value of illiquid securities subject to the limitation on investment was as follows (000):
PERCENTAGE OF FUND VALUE NET ASSETS ------------------------------------------------------------------------ Core Bond Fund $ 20,466 1.0% High Income Bond Fund -- 0.0 Intermediate Government Bond Fund 1,946 1.1 Intermediate Term Bond Fund 13,548 0.1 Short Term Bond Fund 19,852 1.8 U.S. Government Mortgage Fund 939 0.3
58 Information concerning illiquid securities, including restricted securities considered to be illiquid, is as follows (000): CORE BOND FUND
DATES SECURITY PAR ACQUIRED COST BASIS --------------------------------------------------------------------------------------- Duty Free International $ 2,442 1/99-7/99 $ 2,438 GRP/AG Real Estate Asset Trust* 2,914 2/04 2,914 GRP/AG Real Estate Asset Trust* 2,341 6/03 2,340 Sequoia Mortgage Trust 15,068 3/04 15,068
HIGH INCOME BOND FUND
DATES SECURITY SHARES/PAR ACQUIRED COST BASIS --------------------------------------------------------------------------------------- AT&T Canada $ 100 1/98 $ -- Diamond Brands Operating 50 4/98 50 Enitel Asa 1,000 7/00 -- Glenoit 100 3/97-8/97 101 Pegasus Communications Fractional Shares -- 1/03 -- Sterling Chemical Holdings 100 10/96 3 UIH Australia Pacific 150 12/97 -- Viatel 75 9/02 --
INTERMEDIATE GOVERNMENT BOND FUND
DATE SECURITY PAR ACQUIRED COST BASIS --------------------------------------------------------------------------------------- FHLMC Series H013, Cl A3 $ 1,950 2/04 $ 1,942
INTERMEDIATE TERM BOND FUND
DATES SECURITY PAR ACQUIRED COST BASIS --------------------------------------------------------------------------------------- GRP/AG Real Estate Asset Trust* $ 1,170 6/03 $ 1,170 GRP/AG Real Estate Asset Trust* 1,974 2/04 1,974 Sequoia Mortgage Trust 10,405 3/04 10,405
SHORT TERM BOND FUND
DATES SECURITY PAR ACQUIRED COST BASIS --------------------------------------------------------------------------------------- Auto Bond Receivables Trust $ 106 11/98-11/00 $ 106 GMAC Mortgage Corporation Loan Trust 4,850 3/04 4,850 LB-UBS Commercial Mortgage Trust 8,000 3/04 8,040 Providian Gateway Master Trust* 7,000 3/04 7,000
U.S. GOVERNMENT MORTGAGE FUND
DATE SECURITY PAR ACQUIRED COST BASIS --------------------------------------------------------------------------------------- GRP/AG Real Estate Asset Trust* $ 940 2/04 $ 940
* This is a Rule 144A security that has been deemed illiquid. Due to the lack of an available price from an independent pricing service, the security is priced through an independent broker. The following restricted securities, including Rule 144A securities, have been determined to be liquid under the guidelines established by the Funds' board of directors (000): CORE BOND FUND
DATES SECURITY PAR ACQUIRED COST BASIS VALUE ------------------------------------------------------------------------------------------------ Halliburton $ 6,160 11/03 $ 6,253 $ 6,517 Miller Brewing 2,655 8/03 2,634 2,823 MLCC Mortgage Investors 5,324 12/03 5,480 5,450 William Street Funding Corporation 23,000 11/03 22,980 22,990
CORPORATE BOND FUND
DATES SECURITY PAR ACQUIRED COST BASIS VALUE ------------------------------------------------------------------------------------------------ Cablevision Systems $ 980 3/04 $ 980 $ 979 Case New Holland 495 7/03 488 559 CBA Capital Trust I 985 7/03 985 1,043 Heritage Property Investment Trust 1,000 3/04 991 997 Highmark 985 8/03 983 1,105 HSBC Capital Funding 1,190 11/02 1,441 1,545 Indianapolis Power & Light 985 1/04 985 1,048 Miller Brewing 645 8/03 640 686 MLCC Mortgage Investors 2,955 12/03 3,041 3,025 Plains All American Pipeline 985 12/03 982 1,030 PPL Capital Funding 2,000 2/04 2,000 2,026 SOC General Real Estate 1,465 1/02 1,512 1,684 Tyco International 980 11/03 976 1,038 Zurich Capital Trust 985 7/98 1,079 1,155 ------------------------------------------------------------------------------------------------
HIGH INCOME BOND FUND
DATES SECURITY PAR ACQUIRED COST BASIS VALUE ------------------------------------------------------------------------------------------------ AES $ 1,000 10/03 $ 1,059 $ 1,098 Allegheny Energy Supply 3,000 12/02-12/03 2,575 2,985 Allied Waste North America 1,000 1/04 1,000 967 Alpharma 500 4/03 511 525 AMC Entertainment 1,000 2/03 479 995 American Tower 250 1/04 250 238 Amkor Technologies 750 3/04 751 748 Amsted Industries 800 8/03 800 904 Bombardier Recreational Products 500 12/03 507 515 Cablevision Systems 2,000 3/04 1,130 1,997 Calpine 500 8/03 452 454 Case New Holland 1,000 7/03 986 1,130 CCO Holdings 1,000 11/03 993 1,030 Charter Communication Holdings 1,000 3/04 1,045 1,035 CIA Siderurgica Paulista 1,000 1/04 992 986 Dex Media 1,000 11/03 598 638 Dex Media West 500 8/03 500 555 Dynegy Holdings 1,000 8/03 1,019 1,095 Elizabeth Arden 500 1/04 510 520 IMAX 500 3/04 530 520 Inn of the Mountain Gods 500 12/03 516 541 Invensys 500 2/04 491 515 Isle of Capri Casinos 1,000 2/04 1,002 1,003 J. Ray McDermott 1,000 11/03-1/04 1,030 950 KB Home 500 2/04 475 496 Laidlaw International 750 5/03 740 840
59
DATES SECURITY PAR ACQUIRED COST BASIS VALUE ------------------------------------------------------------------------------------------------ L-3 Communications $ 500 12/03 $ 491 $ 514 Millar Western Forest 750 11/03 760 795 Nalco 1,000 10/03-11/03 1,019 1,040 Nalco Financial Holdings 1,000 3/04 594 595 North Atlantic Trading 500 2/04 500 510 Oxford Industries 500 5/03 504 536 Petro Stopping Center 600 1/04 600 612 PG&E 1,000 6/03-8/03 1,004 1,089 Prestige Brands 1,000 3/04 1,000 1,000 Qwest 2,000 10/02-12/03 2,061 2,270 Qwest Services 1,000 12/03 1,172 1,150 Qwest Services 2,000 1/03-5/03 2,162 2,320 R. H. Donnelley Finance 1,000 11/03-2/04 1,068 1,195 River Rock Entertainment 500 11/03-1/04 522 540 Sealy Mattress 1,250 3/04 1,250 1,250 Seminis Vegetable Seeds 500 9/03-3/04 522 552 Sensus Metering Systems 250 12/03 250 247 Sierra Pacific Resources 500 3/04 500 515 Simmons 600 11/03-12/03 598 600 Solo Cup 1,000 2/04 1,010 1,030 Telemig Celular/Amazonia Celular 500 1/04 498 484 Terex 500 11/03 496 535 Triad Hospitals 1,000 12/03 1,006 1,025 United Rentals North America 1,000 1/04 1,000 990 United Rentals North America 750 1/04 750 705
INTERMEDIATE TERM BOND FUND
DATES SECURITY PAR ACQUIRED COST BASIS VALUE ------------------------------------------------------------------------------------------------ Exelon Generation $ 3,935 12/03 $ 3,934 $ 4,074 Halliburton 4,030 10/03-11/03 4,046 4,263 MBNA America Bank 5,075 2/03 5,426 5,703 Miller Brewing 2,535 8/03 2,526 2,627 MLCC Mortgage Investors 4,728 12/03 4,866 4,840 Morgan Stanley 14,532 10/03 11,628 16,542
SHORT TERM BOND FUND
DATES SECURITY PAR ACQUIRED COST BASIS VALUE ------------------------------------------------------------------------------------------------ AESOP Funding II $ 10,000 2/03 $ 10,000 $ 10,139 Alcan 2,000 12/03 2,000 2,000 Credit Suisse First Boston 7,350 05/01-10/02 7,726 8,180 Danske Bank 10,000 1/04 10,658 10,670 Goldman Sachs 8,000 9/03 8,631 8,645 MBNA America Bank 9,215 10/03 9,914 9,952 Metropolitan Life Global Funding I 8,000 7/02 7,982 8,528 Nissan Auto Lease Trust 6,391 11/02 6,390 6,433
U.S. GOVERNMENT MORTGAGE FUND
DATES SECURITY PAR ACQUIRED COST BASIS VALUE ------------------------------------------------------------------------------------------------ William Street Funding Corporation $ 4,000 11/03 $ 3,996 $ 3,998
SECURITIES LENDING - In order to generate additional income, a Fund may lend securities representing up to one-third of the value of its total assets (which includes collateral for securities on loan) to broker-dealers, banks, or other institutional borrowers of securities. Each Fund's policy is to maintain collateral in the form of cash, U.S. government securities, or other high-grade debt obligations equal to at least 100% of the value of securities loaned. The collateral is then marked to market daily until the securities are returned. As with other extensions of credit, there may be risks of delay in recovery of the securities or even loss of rights in the collateral should the borrower of the security fail financially. U.S. Bancorp Asset Management, Inc. ("USBAM") serves as the securities lending agent for the Funds in transactions involving the lending of portfolio securities on behalf of the Funds. USBAM acts as the securities lending agent pursuant to, and subject to compliance with conditions contained in, an SEC exemptive order. USBAM currently receives fees equal to 25% of the Funds' income from securities lending transactions. The Funds also pay an administrative fee equal to 0.025% based on the cash collateral held for the securities on loan. Fees paid to USBAM by the Funds for the six months ended March 31, 2004 were as follows (000):
FUND AMOUNT ----------------------------------------------------- Core Bond Fund $ 221 Corporate Bond Fund 19 High Income Bond Fund 52 Intermediate Term Bond Fund 189 Short Term Bond Fund 104 U.S. Government Mortgage Fund 18
DEFERRED COMPENSATION PLAN - Under a Deferred Compensation Plan (the "Plan"), non-interested directors of the First American Fund family may participate and elect to defer receipt of their annual compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of selected open-end First American Funds as designated by the Directors. All amounts in the Plan are 100% vested and accounts under the Plan are obligations of the Funds. Deferred amounts remain in the Funds until distributed in accordance with the Plan. INTERFUND LENDING PROGRAM - Pursuant to an exemptive order issued by the SEC, the Funds, along with other registered investment companies in the First American Family of Funds, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Funds to borrow from, or lend money to, other participating funds. The Funds did not have any interfund lending transactions during the six months ended March 31, 2004. EXPENSES - Expenses that are directly related to one of the Funds are charged directly to that Fund. Other operating 60 expenses are allocated to the Funds on the basis of relative net assets of all Funds within the First American Fund complex. Class specific expenses, such as 12b-1 fees, are borne by that class. Income, other expenses, and realized and unrealized gains and losses of a Fund are allocated to each respective class in proportion to the relative net assets of each class. USE OF ESTIMATES IN THE PREPARATION OF FINANCIAL STATEMENTS - The preparation of financial statements, in conformity with accounting principles generally accepted in the United States, requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported results of operations during the reporting period. Actual results could differ from those estimates. 3 > Fees and Expenses ADVISOR FEES - Pursuant to an investment advisory agreement (the "Agreement"), USBAM manages each Fund's assets and furnishes related office facilities, equipment, research and personnel. The Agreement requires each Fund to pay USBAM a monthly fee based upon average daily net assets. The annual fee for each Fund is as follows:
------------------------------------------------------------- Core Bond Fund 0.50% Corporate Bond Fund 0.70 High Income Bond Fund 0.70 Intermediate Government Bond Fund 0.50 Intermediate Term Bond Fund 0.50 Short Term Bond Fund 0.50 U.S. Government Mortgage Fund 0.50
USBAM voluntarily waived fees during the most recently completed semiannual period so that the total fund operating expenses, as a percentage of average daily net assets, did not exceed the following amounts:
SHARE CLASS A B C S Y ----------------------------------------------------------- FUND ----------------------------------------------------------- Core Bond Fund 0.95 1.70 1.70 0.95 0.70% Corporate Bond Fund 1.00 1.75 1.75 1.00 0.75 High Income Bond Fund 1.00 1.75 1.75 1.00 0.75 Intermediate Government Bond Fund 0.75 -- -- -- 0.60 Intermediate Term Bond Fund 0.75 -- -- 0.75 0.60 Short Term Bond Fund 0.75 -- -- 0.75 0.60 U.S. Government Mortgage Fund 0.95 1.70 1.70 0.95 0.70
The Funds may invest in the money market funds that are series of First American Funds, Inc. ("FAF"), subject to certain limitations. In order to avoid the payment of duplicative investment advisory fees to USBAM, which acts as the investment adviser to both the investing Funds and the related money market funds, USBAM will reimburse each investing Fund an amount equal to that portion of their investment advisory fee received from the related money market funds that is attributable to the assets of the investing Fund. For financial statement purposes, these reimbursements are recorded as investment income. CO-ADMINISTRATION FEES - USBAM and U.S. Bancorp Fund Services, LLC ("USBFS") (collectively, the "Administrators"), serve as the co-administrators pursuant to a co-administration agreement between the Administrators and the Funds. USBAM is a subsidiary of U.S. Bank National Association ("U.S. Bank"). Both U.S. Bank and USBFS are direct subsidiaries of U.S. Bancorp. Under the co-administration agreement, the Administrators are compensated to provide, or compensate other entities to provide, services to the Funds. These services include various legal, oversight and administrative services, accounting services, transfer agency and dividend disbursing services, and shareholder services. The Funds pay the Administrators at an annual rate, calculated daily and paid monthly, based on the average daily net assets of all open-end mutual funds in the First American Family of Funds, equal to each Fund's pro rata share of an amount equal to 0.25% of the aggregate average daily net assets up to $8 billion, 0.235% of the next $17 billion of the aggregate average daily net assets, 0.22% of the next $25 billion of the aggregate average daily net assets, and 0.20% of the aggregate average daily net assets of all open-end mutual funds in the First American Family of Funds in excess of $50 billion. The Funds pay transfer agent fees of $18,500 per share class. These fees are allocated to each Fund based upon the Fund's pro rata share of the aggregate average daily net assets of all funds comprising FAIF. Each Fund also pays additional per account fees for transfer agent services. For the six months ended March 31, 2004, administration fees paid to USBAM and USBFS for the Funds included in this semiannual report were as follows (000):
FUND AMOUNT ------------------------------------------------------- Core Bond Fund $ 2,826 Corporate Bond Fund 370 High Income Bond Fund 364 Intermediate Government Bond Fund 323 Intermediate Term Bond Fund 1,830 Short Term Bond Fund 1,393 U.S. Government Mortgage Fund 374
CUSTODIAN FEES - U.S. Bank serves as the Funds' custodian pursuant to a custodian agreement with FAIF. The fee for each Fund is equal to an annual rate of 0.01% of average 61 daily net assets. These fees are computed daily and paid monthly. DISTRIBUTION AND SHAREHOLDER SERVICING FEES - Quasar Distributors, LLC ("Quasar"), a subsidiary of U.S. Bancorp, serves as the distributor of the Funds pursuant to a distribution agreement with FAIF. Under the distribution agreement, each of the Funds pays Quasar a monthly distribution and/or shareholder servicing fee equal to an annual rate of 0.25%, 1.00%, and 1.00% of each Fund's average daily net assets of the Class A shares, Class B shares, and Class C shares, respectively. These fees may be used by Quasar to provide compensation for sales support, distribution activities, or shareholder servicing activities. FAIF has also adopted and entered into a shareholder service plan and agreement with Quasar with respect to the Class S shares. Each Fund, except Intermediate Government Bond Fund, pays to Quasar a monthly shareholder servicing fee equal to an annual rate of 0.25% of the average daily net assets of the Fund's Class S shares. No distribution or shareholder servicing fees are paid by Class Y shares. The Distributor is currently waiving fees equal to 0.10% of average daily net assets for Class A and Class S shares of Intermediate Term Bond Fund, and Short Term Bond Fund, and Class A shares of Intermediate Government Bond Fund. For the six months ended March 31, 2004, total distribution and shareholder servicing fees waived by the distributor for these Funds were as follows (000):
FUND AMOUNT ------------------------------------------------------- Intermediate Government Bond Fund $ 1 Intermediate Term Bond Fund 45 Short Term Bond Fund 82
Under these distribution and shareholder servicing agreements, the following amounts were retained by Quasar or paid to affiliates of USBAM for the six months ended March 31, 2004 (000):
FUND AMOUNT ------------------------------------------------------- Core Bond Fund $ 376 Corporate Bond Fund 64 High Income Bond Fund 168 Intermediate Government Bond Fund 2 Intermediate Term Bond Fund 70 Short Term Bond Fund 124 U.S. Government Mortgage Fund 153
OTHER FEES - In addition to the investment advisory fees, custodian fees, distribution and shareholder servicing fees, and co-administration fees, each Fund is responsible for paying most other operating expenses including fees and expenses of outside directors, registration fees, printing of shareholder reports, legal, auditing, insurance, and other miscellaneous expenses. For the six months ended March 31, 2004, legal fees and expenses were paid to a law firm of which the Secretary and two Assistant Secretaries of the Funds are partners. 62 SALES CHARGES - A contingent deferred sales charge ("CDSC") is imposed on redemptions made in the Class B shares. The CDSC varies depending on the number of years from time of payment for the purchase of Class B shares until the redemption of such shares. Class B shares automatically convert to Class A shares after eight years.
CONTINGENT DEFERRED SALES CHARGE AS A PERCENTAGE OF DOLLAR YEAR SINCE PURCHASE AMOUNT SUBJECT TO CHARGE --------------------------------------------------------------------------------------- First 5.00% Second 5.00% Third 4.00% Fourth 3.00% Fifth 2.00% Sixth 1.00% Seventh 0.00% Eighth 0.00%
A CDSC of 1.00% is imposed on redemptions made in Class C shares for the first eighteen months. The CDSC for Class B and Class C shares is imposed on the value of the purchased shares, or the value at the time of redemption, whichever is less. For the six months ended March 31, 2004, sales charges retained by affiliates of USBAM for distributing the Funds' shares were as follows (000):
FUND AMOUNT -------------------------------------------------------------------------------------- Core Bond Fund $ 211 Corporate Bond Fund 52 High Income Bond Fund 219 Intermediate Government Bond Fund 2 Intermediate Term Bond Fund 31 Short Term Bond Fund 160 U.S. Government Mortgage Fund 111
63 4 > Capital Share Transactions FAIF has 420 billion shares of $0.0001 par value capital stock authorized. Capital share transactions for the Funds were as follows (000):
CORE BOND FUND ------------------------------------------------------------------------------------------------------------------- 10/1/03 10/1/02 TO TO 3/31/04 9/30/03 ------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Class A: Shares issued 3,245 3,888 Shares issued in lieu of cash distributions 403 406 Shares redeemed (2,950) (5,859) Shares issued in connection with the acquisition of Fund net assets -- 7,465 ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS A TRANSACTIONS 698 5,900 =================================================================================================================== Class B: Shares issued 113 374 Shares issued in lieu of cash distributions 60 58 Shares redeemed (374) (776) Shares issued in connection with the acquisition of Fund net assets -- 1,319 ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS B TRANSACTIONS (201) 975 =================================================================================================================== Class C: Shares issued 77 303 Shares issued in lieu of cash distributions 31 34 Shares redeemed (247) (512) Shares issued in connection with the acquisition of Fund net assets -- 493 ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS C TRANSACTIONS (139) 318 =================================================================================================================== Class S: Shares issued 500 1,193 Shares issued in lieu of cash distributions 110 125 Shares redeemed (2,718) (3,442) Shares issued in connection with the acquisition of Fund net assets -- 2,613 ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS S TRANSACTIONS (2,108) 489 =================================================================================================================== Class Y: Shares issued 20,929 34,386 Shares issued in lieu of cash distributions 2,497 2,233 Shares redeemed (28,627) (56,896) Shares issued in connection with the acquisition of Common Trust Fund net assets -- 1,166 Shares issued in connection with the acquisition of Fund net assets -- 83,108 ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS Y TRANSACTIONS (5,201) 63,997 =================================================================================================================== NET INCREASE (DECREASE) IN CAPITAL SHARES (6,951) 71,679 =================================================================================================================== CORPORATE BOND FUND ------------------------------------------------------------------------------------------------------------------- 10/1/03 10/1/02 TO TO 3/31/04 9/30/03 ------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Class A: Shares issued 459 1,219 Shares issued in lieu of cash distributions 26 42 Shares redeemed (162) (842) Shares issued in connection with the acquisition of Fund net assets -- -- ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS A TRANSACTIONS 323 419 =================================================================================================================== Class B: Shares issued 43 168 Shares issued in lieu of cash distributions 18 51 Shares redeemed (183) (846) Shares issued in connection with the acquisition of Fund net assets -- -- ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS B TRANSACTIONS (122) (627) =================================================================================================================== Class C: Shares issued 23 117 Shares issued in lieu of cash distributions 10 23 Shares redeemed (92) (128) Shares issued in connection with the acquisition of Fund net assets -- -- ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS C TRANSACTIONS (59) 12 =================================================================================================================== Class S: Shares issued 8 35 Shares issued in lieu of cash distributions 5 17 Shares redeemed (238) (162) Shares issued in connection with the acquisition of Fund net assets -- -- ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS S TRANSACTIONS (225) (110) =================================================================================================================== Class Y: Shares issued 3,283 9,523 Shares issued in lieu of cash distributions 78 144 Shares redeemed (2,970) (6,976) Shares issued in connection with the acquisition of Common Trust Fund net assets -- -- Shares issued in connection with the acquisition of Fund net assets -- -- ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS Y TRANSACTIONS 391 2,691 =================================================================================================================== NET INCREASE (DECREASE) IN CAPITAL SHARES 308 2,385 =================================================================================================================== HIGH INCOME BOND FUND ------------------------------------------------------------------------------------------------------------------- 10/1/03 10/1/02 TO TO 3/31/04 9/30/03 ------------------------------------------------------------------------------------------------------------------- (UNAUDITED) Class A: Shares issued 396 1,965 Shares issued in lieu of cash distributions 125 195 Shares redeemed (598) (2,576) Shares issued in connection with the acquisition of Fund net assets -- 2,765 ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS A TRANSACTIONS (77) 2,349 =================================================================================================================== Class B: Shares issued 176 355 Shares issued in lieu of cash distributions 20 27 Shares redeemed (168) (151) Shares issued in connection with the acquisition of Fund net assets -- 227 ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS B TRANSACTIONS 28 458 =================================================================================================================== Class C: Shares issued 189 697 Shares issued in lieu of cash distributions 63 95 Shares redeemed (245) (564) Shares issued in connection with the acquisition of Fund net assets -- 1,155 ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS C TRANSACTIONS 7 1,383 =================================================================================================================== Class S: Shares issued 31 64 Shares issued in lieu of cash distributions 2 2 Shares redeemed (75) (10) Shares issued in connection with the acquisition of Fund net assets -- 28 ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS S TRANSACTIONS (42) 84 =================================================================================================================== Class Y: Shares issued 6,150 8,148 Shares issued in lieu of cash distributions 128 254 Shares redeemed (3,232) (10,014) Shares issued in connection with the acquisition of Common Trust Fund net assets -- -- Shares issued in connection with the acquisition of Fund net assets -- 4,283 ------------------------------------------------------------------------------------------------------------------- TOTAL CLASS Y TRANSACTIONS 3,046 2,671 =================================================================================================================== NET INCREASE (DECREASE) IN CAPITAL SHARES 2,962 6,945 ===================================================================================================================
64
INTERMEDIATE INTERMEDIATE GOVERNMENT BOND TERM BOND FUND FUND ------------------------------------------------------------------------------------------------------------ 10/1/03 10/25/02 (1) 10/1/03 10/1/02 TO TO TO TO 3/31/04 9/30/03 3/31/04 9/30/03 ------------------------------------------------------------------------------------------------------------ (UNAUDITED) (UNAUDITED) Class A: Shares issued 56 460 1,164 3,265 Shares issued in lieu of cash distributions 23 4 120 186 Shares redeemed (117) (214) (1,620) (2,233) ------------------------------------------------------------------------------------------------------------ TOTAL CLASS A TRANSACTIONS (38) 250 (336) 1,218 ============================================================================================================ Class B: Shares issued -- -- -- -- Shares issued in lieu of cash distributions -- -- -- -- Shares redeemed -- -- -- -- ------------------------------------------------------------------------------------------------------------ TOTAL CLASS B TRANSACTIONS -- -- -- -- ============================================================================================================ Class C: Shares issued -- -- -- -- Shares issued in lieu of cash distributions -- -- -- -- Shares redeemed -- -- -- -- ------------------------------------------------------------------------------------------------------------ TOTAL CLASS C TRANSACTIONS -- -- -- -- ============================================================================================================ Class S: Shares issued -- -- 398 1,008 Shares issued in lieu of cash distributions -- -- 27 38 Shares redeemed -- -- (679) (459) ------------------------------------------------------------------------------------------------------------ TOTAL CLASS S TRANSACTIONS -- -- (254) 587 ============================================================================================================ Class Y: Shares issued 1,910 55,539 25,391 67,006 Shares issued in lieu of cash distributions 3,017 62 1,550 1,996 Shares redeemed (18,142) (22,134) (22,453) (39,422) ------------------------------------------------------------------------------------------------------------ TOTAL CLASS Y TRANSACTIONS (13,215) 33,467 4,488 29,580 ============================================================================================================ NET INCREASE (DECREASE) IN CAPITAL SHARES (13,253) 33,717 3,898 31,385 ============================================================================================================ SHORT U.S. TERM BOND GOVERNMENT FUND MORTGAGE FUND ------------------------------------------------------------------------------------------------------------ 10/1/03 10/1/02 10/1/03 10/1/02 TO TO TO TO 3/31/04 9/30/03 3/31/04 9/30/03 ------------------------------------------------------------------------------------------------------------ (UNAUDITED) (UNAUDITED) Class A: Shares issued 2,010 8,665 1,245 1,505 Shares issued in lieu of cash distributions 135 373 42 84 Shares redeemed (2,299) (9,367) (341) (845) ------------------------------------------------------------------------------------------------------------ TOTAL CLASS A TRANSACTIONS (154) (329) 946 744 ============================================================================================================ Class B: Shares issued -- -- 87 769 Shares issued in lieu of cash distributions -- -- 17 34 Shares redeemed -- -- (206) (315) ------------------------------------------------------------------------------------------------------------ TOTAL CLASS B TRANSACTIONS -- -- (102) 488 ============================================================================================================ Class C: Shares issued -- -- 86 1.548 Shares issued in lieu of cash distributions -- -- 31 49 Shares redeemed -- -- (358) (387) ------------------------------------------------------------------------------------------------------------ TOTAL CLASS C TRANSACTIONS -- -- (241) 1,210 ============================================================================================================ Class S: Shares issued 176 691 109 674 Shares issued in lieu of cash distributions 8 17 31 102 Shares redeemed (838) (216) (1,444) (1,101) ------------------------------------------------------------------------------------------------------------ TOTAL CLASS S TRANSACTIONS (654) 492 (1,304) (325) ============================================================================================================ Class Y: Shares issued 27,210 63,085 2,867 7,760 Shares issued in lieu of cash distributions 360 790 58 153 Shares redeemed (17,714) (29,845) (2,777) (4,428) ------------------------------------------------------------------------------------------------------------ TOTAL CLASS Y TRANSACTIONS 9,856 34,030 148 3,485 ============================================================================================================ NET INCREASE (DECREASE) IN CAPITAL SHARES 9,048 34,193 (553) 5,602 ============================================================================================================
(1) Commencement of operations. 5 > Investment Security Transactions During the six months ended March 31, 2004, purchases of securities and proceeds from sales of securities, other than temporary investments in short-term securities, were as follows (000):
U.S. GOVERNMENT OTHER INVESTMENT SECURITIES SECURITIES --------------------------- --------------------------- FUND PURCHASES SALES PURCHASES SALES --------------------------------------------------------------------------------------------- Core Bond Fund $ 1,305,964 $ 1,373,886 $ 649,460 $ 680,315 Corporate Bond Fund 43,669 48,124 137,289 132,636 High Income Bond Fund 115 1,118 106,627 76,919 Intermediate Government Bond Fund 58,048 211,449 -- -- Intermediate Term Bond Fund 780,600 702,100 440,869 511,611 Short Term Bond Fund 148,049 182,421 414,823 244,949 U.S. Government Mortgage Fund 126,295 120,203 15,204 23,718
The aggregate gross unrealized appreciation and depreciation of securities held by the Funds and the total cost of securities (including cost of securities purchased with proceeds from securities lending) for federal income tax purposes at March 31, 2004, were as follows (000):
AGGREGATE AGGREGATE FEDERAL GROSS GROSS INCOME FUND APPRECIATION DEPRECIATION NET TAX COST --------------------------------------------------------------------------------------------- Core Bond Fund $ 46,657 $ (6,631) $ 40,026 $ 2,978,599 Corporate Bond Fund 13,663 (2,188) 11,475 329,488 High Income Bond Fund 21,265 (2,217) 19,048 342,383 Intermediate Government Bond Fund 3,976 (257) 3,719 174,114 Intermediate Term Bond Fund 27,024 (2,740) 24,284 2,046,421 Short Term Bond Fund 10,731 (1,445) 9,286 1,423,877 U.S. Government Mortgage Fund 4,827 (515) 4,312 391,171
65 6 > Concentration of Risks Each Fund (other than Intermediate Government Bond Fund and U.S. Government Mortgage Fund) may invest in foreign securities. A Fund's investment in foreign securities subjects it to special risks associated with foreign investing and to a decline in net asset value resulting from changes in exchange rates between the United States dollar and foreign currencies. Because of the special risks associated with foreign investing, a Fund investing in foreign securities may be subject to greater volatility than most mutual funds which invest primarily in domestic securities. The High Income Bond Fund invests in lower-rated (i.e., rated Ba or lower by Moody's or BB or lower by Standard & Poor's) corporate and foreign debt obligations, which are commonly referred to as "junk bonds." Lower-rated securities will usually offer higher yields than higher-rated securities. However, there is more risk associated with these investments. These lower-rated bonds may be more susceptible to real or perceived adverse economic conditions than investment grade bonds. Lower-rated securities tend to have more price volatility and carry more risk to principal than higher-rated securities. The ratings of long-term securities as a percentage of total value of investments at the six months ended March 31, 2004, were as follows:
STANDARD & POOR'S/ HIGH INCOME MOODY'S RATINGS BOND FUND ------------------------------------ BBB/Baa 2.8% BB/Ba 30.6 B/B 46.0 CCC/Caa 17.3 CC/Ca 2.1 C 0.3 NR 0.9 ------------------------------------ 100%
Securities rated by only one agency are shown in that category. Securities rated by both agencies are shown with their highest rating. 7 > Fund Mergers On October 25, 2002, the Core Bond Fund acquired substantially all of the assets of the Common Stock Income Common Trust Fund (KS) (sponsored by U.S. Bank) in exchange for Class Y shares of the Core Bond Fund. In addition, the Intermediate Government Bond Fund shell portfolio acquired substantially all of the assets of the U.S. Government Bond Common Trust Fund (sponsored by U.S. Bank) in exchange for Class Y shares of the Intermediate Government Bond Fund. The following table illustrates the specifics of the common trust fund conversions into the Core Bond Fund and the Intermediate Government Bond Fund included in this semiannual report (000):
ACQUIRED SHARES ISSUED TO ACQUIRING FUNDS NET SHAREHOLDERS OF FUND COMBINED TAX STATUS ACQUIRED FUND ACQUIRING FUND ASSETS ACQUIRED FUND NET ASSETS NET ASSETS OF TRANSFER ---------------------------------------------------------------------------------------------------------------------------------- Common Stock Income Common Trust Fund Core Bond Fund - Class Y $ 13,076 (1) 1,166 $ 1,318,694 $ 1,331,770 Non-taxable U.S. Government Bond Intermediate Common Trust Fund Government Bond Fund - Class Y (2) 520,605 52,061 -- 520,605 Non-taxable
(1) Includes unrealized appreciation of $792. (2) Shell portfolio 66 On March 13, 2003, shareholders of FAIF approved the Agreement and Plan of Reorganization, recommended by the Funds' board of directors, providing for the reorganization of several First American Funds into other existing First American Funds. On March 14, 2003, Bond IMMDEX(TM) Fund merged into Core Bond Fund and High Yield Bond Fund merged into High Income Bond Fund. The following table illustrates the specifics of the mergers of the Funds included in this semiannual report (000):
ACQUIRED SHARES ISSUED TO ACQUIRING FUNDS NET SHAREHOLDERS OF FUND COMBINED TAX STATUS ACQUIRED FUND ACQUIRING FUND ASSETS ACQUIRED FUND NET ASSETS NET ASSETS OF TRANSFER -------------------------------------------------------------------------------------------------------------------------------- Bond IMMDEX(TM) Fund Core Bond Fund (1) $ 1,094,825 (2) $ 1,339,160 $ 2,433,985 Non-taxable Class A Class A 7,465 Class B Class B 1,319 Class C Class C 493 Class S Class S 2,613 Class Y Class Y 83,108 High Yield Bond Fund (1) High Income Bond Fund 71,489 (3) 156,457 227,946 Non-taxable Class A Class A 2,765 Class B Class B 227 Class C Class C 1,155 Class S Class S 28 Class Y Class Y 4,283 --------------------------------------------------------------------------------------------------------------------------------
(1) Accounting survivor. (2) Includes unrealized appreciation in the amount $17,432 and tax losses deferred due to wash sales and deferred compensation of $44. (3) Includes capital loss carryforward of $4,575 and unrealized depreciation of $358. 8 > Indemnifications The Funds enter into contracts that contain a variety of indemnifications. The Funds maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. HOW TO OBTAIN A COPY OF THE FUNDS' PROXY VOTING POLICIES A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge upon request by calling 800.677.FUND; (2) at firstamericanfunds.com; and (3) on the U.S. Securities and Exchange Commission's website at sec.gov. 67 BOARD OF DIRECTORS First American Investment Funds, Inc. Virginia Stringer Chairperson of First American Investment Funds, Inc. Owner and President of Strategic Management Resources, Inc. Benjamin Field III Director of First American Investment Funds, Inc. Senior Financial Advisor to, and formerly Senior Vice President, Chief Financial Officer, and Treasurer, of Bemis Company, Inc. Mickey Foret Director of First American Investment Funds, Inc. Consultant to, and formerly Executive Vice President and Chief Financial Officer of, Northwest Airlines, Inc. Roger Gibson Director of First American Investment Funds, Inc. Retired; former Vice President of Cargo-United Airlines Victoria Herget Director of First American Investment Funds, Inc. Investment Consultant; former Managing Director of Zurich Scudder Investments Leonard Kedrowski Director of First American Investment Funds, Inc. Owner and President of Executive and Management Consulting, Inc. Richard Riederer Director of First American Investment Funds, Inc. Retired; former President and Chief Executive Officer of Weirton Steel Joseph Strauss Director of First American Investment Funds, Inc. Owner and President of Strauss Management Company James Wade Director of First American Investment Funds, Inc. Owner and President of Jim Wade Homes FIRST AMERICAN INVESTMENT FUNDS, INC.'S BOARD OF DIRECTORS IS COMPRISED ENTIRELY OF INDEPENDENT DIRECTORS. [FIRST AMERICAN FUNDS(TM) LOGO] DIRECT FUND CORRESPONDENCE TO: FIRST AMERICAN FUNDS P.O. Box 1330 Minneapolis, MN 55440-1330 This report and the financial statements contained herein are not intended to be a forecast of future events, a guarantee of future results, or investment advice. Further, there is no assurance that certain securities will remain in or out of each fund's portfolio. This report is for the information of shareholders of the First American Investment Funds, Inc. It may also be used as sales literature when preceded or accompanied by a current prospectus, which contains information concerning investment objectives, risks, and charges and expenses of the Funds. Read the prospectus carefully before investing. THE FIGURES IN THIS REPORT REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE FUTURE RESULTS. THE PRINCIPAL VALUE OF AN INVESTMENT AND INVESTMENT RETURN WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. INVESTMENT ADVISOR U.S. BANCORP ASSET MANAGEMENT, INC. 800 Nicollet Mall Minneapolis, Minnesota 55402 CO-ADMINISTRATORS U.S. BANCORP ASSET MANAGEMENT, INC. 800 Nicollet Mall Minneapolis, Minnesota 55402 U.S. BANCORP FUND SERVICES, LLC 615 East Michigan Street Milwaukee, Wisconsin 53202 CUSTODIAN U.S. BANK NATIONAL ASSOCIATION 180 East Fifth Street St. Paul, Minnesota 55101 DISTRIBUTOR QUASAR DISTRIBUTORS, LLC 615 East Michigan Street, 2nd floor Milwaukee, Wisconsin 53202 INDEPENDENT AUDITOR ERNST & YOUNG LLP 220 South Sixth Street Suite 1400 Minneapolis, Minnesota 55402 COUNSEL DORSEY & WHITNEY LLP 50 South Sixth Street Suite 1500 Minneapolis, Minnesota 55402 FIRST AMERICAN FUNDS P.O. Box 1330 Minneapolis, MN 55440-1330 In an attempt to reduce shareholder costs and help eliminate duplication, First American Funds will try to limit their mailing to one report for each address that lists one or more shareholders with the same last name. If you would like additional copies, please call First American Funds Investor Services at 800.677.FUND. Visit us at firstamericanfunds.com. 0140-04 5/2004 SAR-INCOME ITEM 2--CODE OF ETHICS - Did registrant adopt a code of ethics, as of the end of the period covered by this report, that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party? If not, why not? Briefly describe any amendments or waivers that occurred during the period. State here if code of ethics/amendments/waivers are on website and give website address. State here if fund will send code of ethics to shareholders without charge upon request. RESPONSE: Not applicable to semi-annual report. ITEM 3--AUDIT COMMITTEE FINANCIAL EXPERT - Did the registrant's board of directors determine that the registrant either: (i) has at least one audit committee financial expert serving on its audit committee; or (ii) does not have an audit committee financial expert serving on its audit committee? If yes, disclose name of financial expert and whether he/she is "independent," (fund may, but is not required, to disclose name/independence of more than one financial expert) If no, explain why not. RESPONSE: Not applicable to semi-annual report. ITEM 4--PRINCIPAL ACCOUNTANT FEES AND SERVICES - Disclose annually only (not answered until December 15, 2003). RESPONSE: Not applicable to semi-annual report. (a) Audit Fees - Disclose aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years. (b) Audit-Related Fees - Disclose aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (c) Tax Fees - Disclose aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (d) All Other Fees - Disclose aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category. (e)(1) Disclose the audit committee's pre-approval policies and procedures pursuant to paragraph (c)(7) of Rule 2-01 of Regulation S-X. (e)(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) If greater than 50%, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. (h) Disclose whether the registrant's audit committee has considered whether the provision of non-audit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. ITEM 5--AUDIT COMMITTEE OF LISTED REGISTRANTS RESPONSE: Not applicable. ITEM 6 - Reserved. ITEM 7--DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES - For closed-end funds that contain voting securities in their portfolio, describe the policies and procedures that it uses to determine how to vote proxies relating to those portfolio securities. RESPONSE: Not applicable. ITEM 8 - Reserved. ITEM 9--CONTROLS AND PROCEDURES (a) Disclose the conclusions of the registrant's principal executive officer or officers and principal financial officer or officers, or persons performing similar functions, about the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph. RESPONSE: The registrant's Principal Executive Officer and Principal Financial Officer have evaluated the registrant's disclosure controls and procedures within 90 days of the date of this filing and have concluded that the registrant's disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized and reported timely. Notwithstanding this conclusion, the registrant's Principal Executive Officer and Principal Financial Officer seek continuous improvements to the registrant's disclosure controls and procedures. (b) Disclose any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. RESPONSE: There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 10 - EXHIBITS 10(a) - Attach code of ethics or amendments/waivers, unless code of ethics or amendments/waivers is on website or offered to shareholders upon request without charge. RESPONSE: Not applicable to semi-annual report. 10(b) - Attach certifications (4 in total pursuant to Sections 302 and 906 for PEO/PFO). RESPONSE: Attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. First American Investment Funds, Inc. By: /s/ Thomas S. Schreier, Jr. -------------------------------- Thomas S. Schreier, Jr. President Date: June 4, 2004 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Thomas S. Schreier, Jr. -------------------------------- Thomas S. Schreier, Jr. President Date: June 4, 2004 By: /s/ Joseph M. Ulrey III -------------------------------- Joseph M. Ulrey III Treasurer Date: June 4, 2004