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: 811-04032
---------
Sit Money Market Fund, Inc.
(Exact name of registrant as specified in charter)
3300 IDS Center
80 South Eighth Street
Minneapolis, MN 55402
(Address of principal executive offices)
Paul E. Rasmussen, VP Treasurer
Sit Mutual Funds, Inc.
3300 IDS Center
80 South Eighth Street
Minneapolis, MN 55402
(Name and address of agent for service)
Copy to:
Mike Radmer, Esq.
Dorsey & Whitney
Suite 1500
50 South Sixth Street
Minneapolis, MN 55402-1498
Registrant's telephone number, including area code:
(612) 344-5888
Date of fiscal year end: March 31, 2005
Date of reporting period: September 30, 2004
Item 1: Reports to Stockholders
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: 811-04995
---------
Sit U.S. Government Securities Fund, Inc.
(Exact name of registrant as specified in charter)
3300 IDS Center
80 South Eighth Street
Minneapolis, MN 55402
(Address of principal executive offices)
Paul E. Rasmussen, VP Treasurer
Sit Mutual Funds, Inc.
3300 IDS Center
80 South Eighth Street
Minneapolis, MN 55402
(Name and address of agent for service)
Copy to:
Mike Radmer, Esq.
Dorsey & Whitney
Suite 1500
50 South Sixth Street
Minneapolis, MN 55402-1498
Registrant's telephone number, including area code:
(612) 344-5888
Date of fiscal year end: March 31, 2005
Date of reporting period: September 30, 2004
Item 1: Reports to Stockholders
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: 811-04033
---------
Sit Mutual Funds II, Inc.
(Exact name of registrant as specified in charter)
3300 IDS Center
80 South Eighth Street
Minneapolis, MN 55402
(Address of principal executive offices)
Paul E. Rasmussen, VP Treasurer
Sit Mutual Funds, Inc.
3300 IDS Center
80 South Eighth Street
Minneapolis, MN 55402
(Name and address of agent for service)
Copy to:
Mike Radmer, Esq.
Dorsey & Whitney
Suite 1500
50 South Sixth Street
Minneapolis, MN 55402-1498
Registrant's telephone number, including area code:
(612) 344-5888
Date of fiscal year end: March 31, 2005
Date of reporting period: September 30, 2004
Item 1: Reports to Stockholders
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: 811-21447
---------
Sit Mutual Funds Trust
(Exact name of registrant as specified in charter)
3300 IDS Center
80 South Eighth Street
Minneapolis, MN 55402
(Address of principal executive offices)
Paul E. Rasmussen, VP Treasurer
Sit Mutual Funds, Inc.
3300 IDS Center
80 South Eighth Street
Minneapolis, MN 55402
(Name and address of agent for service)
Copy to:
Mike Radmer, Esq.
Dorsey & Whitney
Suite 1500
50 South Sixth Street
Minneapolis, MN 55402-1498
Registrant's telephone number, including area code:
(612) 334-5888
Date of fiscal year end: March 31, 2005
Date of reporting period: September 30, 2004
Item 1: Reports to Stockholders
SIT MUTUAL FUNDS
BOND FUNDS
SEMI-ANNUAL REPORT
SEPTEMBER 30, 2004
MONEY MARKET FUND
U.S. GOVERNMENT SECURITIES FUND
TAX-FREE INCOME FUND
MINNESOTA TAX-FREE INCOME FUND
FLORIDA TAX-FREE INCOME FUND
BOND FUND
[LOGO] SIT INVESTMENT ASSOCIATES
-------------------------
SIT MUTUAL FUNDS
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S I T M U T U A L F U N D S
BOND FUNDS SEMI-ANNUAL REPORT
TABLE OF CONTENTS
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PAGE
----
Chairman's Letter 2
Performance Summary 4
Average Annual Total Returns 6
FUND REVIEWS AND PORTFOLIOS OF INVESTMENTS
Money Market Fund 8
U.S. Government Securities Fund 12
Tax-Free Income Fund 24
Minnesota Tax-Free Income Fund 40
Florida Tax-Free Income Fund 54
Bond Fund 58
Notes to Portfolios of Investments 62
Statements of Assets and Liabilities 64
Statements of Operations 66
Statements of Changes in Net Assets 68
Notes to Financial Statements 70
Financial Highlights 75
Expenses Example 81
Additional Information 84
This document must be preceded or accompanied by a Prospectus.
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Sit Mutual Funds
SIX MONTHS ENDED SEPTEMBER 30, 2004
[PHOTO] ---------------------------------------------------------------------
CHAIRMAN'S LETTER
================================================================================
Dear fellow shareholders:
Interest rates rose during the semi-annual period in response to strong economic
growth and a shift in stance by the Federal Reserve to a less accommodative
monetary policy. Bond yields rose in anticipation of the Fed's increase in the
federal funds rate of 0.25% to 1.25% at its FOMC meeting on June 30, 2004. Since
then, the Fed has tightened policy twice more and the federal funds rate stood
at 1.75% on September 21st. Shorter maturity bond yields have increased
substantially more than longer maturity yields, which peaked in June and have
since recouped a good portion of that move, causing the yield curve to flatten.
We believe that the smaller increase in longer-term yields reflects market
concerns over rising oil prices that might constrict the economy as well as a
potential terrorist attack during an event-filled summer and fall. Municipal
bond yields have been more stable. Intermediate term municipal yields were
little changed during the period while longer term municipal yields peaked with
heavy issuance volume in the early summer months.
The domestic economy continues to grow at an above average pace. The second
quarter annualized real GDP growth rate was revised upward to +3.3%, following
very strong +4.5% growth in the first quarter. Despite weaker than expected
employment reports, we believe that GDP growth could approach +4% in the third
quarter and possibly in the fourth quarter as well, based on the resurgence
shown in monthly consumer spending figures that should more than offset
moderating inventory accumulation. In addition, business investment is still
growing at a rapid rate as corporations seek to take advantage of special
accelerated depreciation provisions that are due to expire at the end of the
year. Based on these factors, we expect year-over-year growth in 2004 to average
+4.4%. GDP growth in 2005 should average closer to +3.6%, as the impact of tax
cuts for individuals and special incentives to encourage business spending roll
off and the impact of higher interest rates and higher energy prices take hold.
The academically based rule of thumb has been that a permanent $10 per barrel
increase in oil price negatively impacts GDP growth by -0.5% in the first year.
With current prices above $54 per barrel, oil bears continued monitoring.
Nonetheless, aside from oil, a variety of inflation measures indicate lessening
inflation pressures in August, following the substantial gains early in 2004.
The year-over-year increase in the Consumer Price Index, for example, was +2.7%
in August, compared with +3.3% in June.
The trade-weighted U.S. dollar, which has been relatively stable over the past
three months, is approximately 7% lower than a year ago as the country's trade
deficit continues to deteriorate. We expect continued tightening by the Federal
Reserve to help maintain dollar stability in the months ahead. We believe that
the strength in bond prices in recent months reflects concerns of the
possibility of a terrorist-related event with the upcoming Presidential
election. With regard to the outcome of the election, many observers believe
that no matter who wins, tax rates must increase in future years simply to
reduce the burgeoning deficits and to pay for the inevitable obligations of the
retiring baby boom generation. Stronger economic growth will be key to reducing
the burden in upcoming years.
2
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STRATEGY SUMMARY
We expect interest rates to remain relatively low in the near term, as the
flight to quality resulting from concerns regarding the outcome of the upcoming
U.S. elections and a fear of a pre-election terrorist attack are expected to
keep demand for U.S. Treasuries strong. However, the combination of economic
stimulus currently in place, the removal of election-related uncertainty, and
elevated energy-price-driven inflation levels, will likely result in higher
interest rates over the next several quarters. In addition, we expect the
Federal Reserve to continue to remove monetary stimulus as economic growth
continues, with another increase at its meeting on November 10th and additional
increases in 2005 that could take the federal funds rate to 3.0% or higher.
Short and intermediate term interest rates will be pressured to move even higher
as monetary policy becomes less accommodative, causing the yield curve to
flatten further.
Based on these expectations, fixed-income portfolios remained focused on
securities that provide above average income relative to the market as a whole,
while maintaining shorter than benchmark durations to cushion portfolios against
price depreciation as bond yields rise in the months ahead. We are reducing our
focus on corporates, which have performed strongly over the past year, and are
looking to increase weightings in the mortgage sector to provide the high income
and cushion from price depreciation we seek as interest rates move higher.
As with taxable portfolios, our municipal portfolios are also focused on
securities that provide incremental income and cushion from price depreciation.
Durations are being maintained shorter than portfolio benchmarks in expectation
of higher yielding reinvestment opportunities in longer duration bonds in 2005.
We appreciate your continued interest and investment in Sit Mutual Funds and
look forward to assisting you in achieving your long-term investment goals.
With best wishes,
/s/ Eugene C. Sit
Eugene C. Sit, CFA
Chairman and Chief Investment Officer
3
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Sit Mutual Funds
SIX MONTHS ENDED SEPTEMBER 30, 2004
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PERFORMANCE SUMMARY - BOND FUNDS
================================================================================
The yield curve flattened during the six-month period as shorter maturity
bond yields rose more than longer term bond yields. After reaching historic lows
in mid-March, bond yields rose in anticipation of a shift in monetary policy
with signs of economic strength and, indeed, the Federal Reserve increased the
federal funds target rate 0.25% to 1.25% at its meeting on June 30th. The Fed
raised rates twice more to bring the federal funds rate to 1.75% by September
21st. Treasury yields increased in response by 0.75% to 1.00% for maturities
less than three years. However, longer term bond yields saw much less of an
increase. The 10-year Treasury yield increased from 3.83% to a high of 4.87% in
mid-June before trending lower to end the period just 0.29% higher at 4.12%, and
30-year Treasury yields ended the period only 0.12% higher at 4.77%. The smaller
increase in longer term yields reflected market concerns over rising oil prices
that might constrict the economy as well as a potential terrorist attack during
an event-filled summer.
The flattening yield curve caused intermediate maturity taxable bonds to
perform worst during the period. With regard to taxable market sectors,
mortgages performed best as higher rates lessened prepayment concerns.
Government sectors performed worst as price depreciation offset income.
Intermediate term municipal yields were little changed during the period
while longer term municipal yields peaked with heavy issuance volume in the
early summer months. The yield on the Bond Buyer 40-Bond Index ended the period
0.12% higher at 4.91%. Longer duration municipals outperformed shorter duration
municipals. The higher yielding hospital sector performed best, along with
housing bonds which benefited from lessening prepayment concerns. Industrial
revenue bonds, which experienced the weakest performance, remain the best
performing revenue sector year to date.
Fixed-income portfolios remain defensively positioned in anticipation of
higher rates next year and remain focused on generating high levels of income.
================================================================================
TOTAL RETURN - CALENDAR YEAR
------------------------------
1995 1996
------------------------------
SIT MONEY MARKET FUND 5.58% 5.08%
- --------------------------------------------------------------------------------
SIT U.S. GOV'T. SECURITIES FUND 11.50 4.99
- --------------------------------------------------------------------------------
SIT TAX-FREE INCOME FUND 12.86 5.69
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SIT MINNESOTA TAX-FREE INCOME FUND 11.90 5.89
- --------------------------------------------------------------------------------
SIT FLORIDA TAX-FREE INCOME FUND -- --
- --------------------------------------------------------------------------------
SIT BOND FUND 16.83 4.25
- --------------------------------------------------------------------------------
3-MONTH U.S. TREASURY BILL 5.98 5.27
LEHMAN INTER. GOVERNMENT BOND INDEX 14.41 4.06
LEHMAN 5-YEAR MUNICIPAL BOND INDEX 11.65 4.22
LEHMAN AGGREGATE BOND INDEX 18.47 3.63
NASDAQ
SYMBOL INCEPTION
------ ---------
SIT MONEY MARKET FUND(1) SNIXX 11/01/93
- --------------------------------------------------------------------------------
SIT U.S. GOV'T. SECURITIES FUND SNGVX 06/02/87
- --------------------------------------------------------------------------------
SIT TAX-FREE INCOME FUND SNTIX 09/29/88
- --------------------------------------------------------------------------------
SIT MINNESOTA TAX-FREE INCOME FUND SMTFX 12/01/93
- --------------------------------------------------------------------------------
SIT FLORIDA TAX-FREE INCOME FUND SFLIX 12/31/03
- --------------------------------------------------------------------------------
SIT BOND FUND SIBOX 12/01/93
- --------------------------------------------------------------------------------
3-MONTH U.S. TREASURY BILL 11/01/93
LEHMAN INTER. GOVERNMENT BOND INDEX 05/31/87
LEHMAN 5-YEAR MUNICIPAL BOND INDEX 09/30/88
LEHMAN AGGREGATE BOND INDEX 11/30/93
(1) Converted from Sit Investment Reserve Fund to Sit Money Market Fund on
11/1/93.
(2) Based on the last 12 monthly distributions of net investment income
and average NAV as of 9/30/04.
(3) Figure represents 7-day compound effective yield. The 7-day simple yield as
of 9/30/04 was 1.13%.
(4) For individuals in the 25%, 28%, 33%, and 35% federal tax brackets, the
federal tax equivalent yields are 5.88%, 6.13%, 6.58% and 6.78%,
respectively (income subject to state tax, if any).
================================================================================
4
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TOTAL RETURN - CALENDAR YEAR
- --------------------------------------------------------------------------------------------------- -------------------------
30-DAY
SEC YIELD
YTD AS OF DISTRIBUTION
1997 1998 1999 2000 2001 2002 2003 2004 9/30/04 RATE (2)
- --------------------------------------------------------------------------------------------------- -------------------------
SIT MONEY MARKET FUND 5.22% 5.17% 4.79% 6.03% 3.67% 1.25% 0.65% 0.51%(3) 1.13%(3)
- -------------------------------------------------------------------------------------------------------------------------------
SIT U.S. GOV'T. SECURITIES FUND 8.19 6.52 1.37 9.15 8.56 5.79 1.19 2.82 3.87 3.12%
- -------------------------------------------------------------------------------------------------------------------------------
SIT TAX-FREE INCOME FUND 9.87 6.29 -4.01 8.32 5.84 5.69 2.87 3.21 4.41(4) 4.05
- -------------------------------------------------------------------------------------------------------------------------------
SIT MINNESOTA TAX-FREE INCOME FUND 8.19 6.14 -3.82 8.09 5.85 7.06 4.42 2.29 4.63(5) 4.39
- -------------------------------------------------------------------------------------------------------------------------------
SIT FLORIDA TAX-FREE INCOME FUND -- -- -- -- -- 1.74 4.06(6) n/a
- -------------------------------------------------------------------------------------------------------------------------------
SIT BOND FUND 9.44 6.52 -0.34 9.25 8.36 6.68 5.08 3.82 5.52 4.92
- -------------------------------------------------------------------------------------------------------------------------------
3-MONTH U.S. TREASURY BILL 5.32 5.01 4.88 6.16 3.50 1.67 1.03 0.90
LEHMAN INTER. GOVERNMENT BOND INDEX 7.72 8.49 0.49 10.47 8.42 9.64 2.29 2.11
LEHMAN 5-YEAR MUNICIPAL BOND INDEX 6.38 5.84 0.74 7.72 6.21 9.27 4.13 1.91
LEHMAN AGGREGATE BOND INDEX 9.65 8.69 -0.82 11.63 8.44 10.25 4.10 3.35
AVERAGE ANNUAL TOTAL RETURNS FOR THE
------------------------------ PERIODS ENDED SEPTEMBER 30, 2004
TOTAL RETURN -------------------------------------------------------
QUARTER SIX MONTHS SINCE
ENDED 9/30/04 ENDED 9/30/04 1 YEAR 5 YEARS 10 YEARS INCEPTION
------------- ------------- ------ ------- -------- ---------
SIT MONEY MARKET FUND(1) 0.23% 0.37% 0.65% 2.66% 3.90% 3.85%
- -------------------------------------------------------------------------------------------------------------------------------
SIT U.S. GOV'T. SECURITIES FUND 1.87 1.28 3.26 5.56 6.01 7.07
- -------------------------------------------------------------------------------------------------------------------------------
SIT TAX-FREE INCOME FUND 2.06 1.49 4.23 4.82 5.56 6.25
- -------------------------------------------------------------------------------------------------------------------------------
SIT MINNESOTA TAX-FREE INCOME FUND 1.71 0.72 3.76 5.04 5.52 5.30
- -------------------------------------------------------------------------------------------------------------------------------
SIT FLORIDA TAX-FREE INCOME FUND 1.27 0.65 -- -- -- 1.74*
- -------------------------------------------------------------------------------------------------------------------------------
SIT BOND FUND 3.22 1.22 5.35 6.60 7.00 6.26
- -------------------------------------------------------------------------------------------------------------------------------
3-MONTH U.S. TREASURY BILL 0.38 0.65 1.13 2.89 4.08 4.06
LEHMAN INTER. GOVERNMENT BOND INDEX 2.26 -0.09 1.91 6.51 6.72 7.33
LEHMAN 5-YEAR MUNICIPAL BOND INDEX 2.83 0.62 2.04 5.82 5.71 6.31
LEHMAN AGGREGATE BOND INDEX 3.20 0.68 3.68 7.48 7.66 6.77
(5) For Minnesota residents in the 25%, 28%, 33% and 35% federal tax brackets,
the double exempt tax equivalent yields are 6.70%, 6.98%, 7.50% and 7.73%,
respectively (assumes the maximum Minnesota tax bracket of 7.85%).
(6) For individuals in the 25%, 28%, 33%, and 35% federal tax brackets, the tax
equivalent yields are 5.41%, 5.64%, 6.06% and 6.25%, respectively (income
subject to state tax, if any).
*Not annualized.
PERFORMANCE FIGURES ARE HISTORICAL AND DO NOT GUARANTEE FUTURE RESULTS.
INVESTMENT RETURNS AND PRINCIPAL VALUE WILL VARY, AND YOU MAY HAVE A GAIN OR
LOSS WHEN YOU SELL SHARES. AVERAGE ANNUAL TOTAL RETURNS INCLUDE CHANGES IN SHARE
PRICE AS WELL AS REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAINS.
================================================================================
5
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Sit Mutual Funds
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS FOR PERIODS ENDED DECEMBER 31, 2003*
================================================================================
The tables on the next page show the Funds' average annual total returns (before
and after taxes) and the change in value of a broad-based market index over
various periods ended December 31, 2003. The index information is intended to
permit you to compare each Fund's performance to a broad measure of market
performance. The after-tax returns are intended to show the impact of federal
income taxes on an investment in a Fund. The highest individual federal marginal
income tax rate in effect during the specified period is assumed, and the state
and local tax impact is not reflected.
A Fund's "Return After Taxes on Distributions" shows the effect of taxable
distributions (dividends and capital gain distributions), but assumes that you
still hold the fund shares at the end of the period and so do not have any
taxable gain or loss on your investment in the Fund.
A Fund's "Return After Taxes on Distributions and Sale of Fund Shares" shows the
effect of both taxable distributions and any taxable gain or loss that would be
realized if the Fund shares were purchased at the beginning and sold at the end
of the specified period.
The Funds' past performance, before and after taxes, is not an indication of how
the Funds will perform in the future. Your actual after-tax returns depend on
your own tax situation and may differ from those shown. After-tax returns
reflect past tax effects and are not predictive of future tax effects. After-tax
returns are not relevant to investors who hold their Fund shares in a
tax-deferred account (including a 401(k) or IRA account).
6
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- ---------------------------------------------------------------------------------------------------------------------------
SIT U.S. GOVERNMENT SECURITIES FUND 1 YEAR 5 YEARS 10 YEARS
Return Before Taxes 1.19% 5.16% 5.85%
Return After Taxes on Distributions 0.35% 3.19% 3.56%
Return After Taxes on Distributions and Sale of Fund Shares 0.53% 3.15% 3.55%
Lehman Intermediate Government Bond Index 2.29% 6.18% 6.32%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
SIT TAX-FREE INCOME FUND 1 YEAR 5 YEARS 10 YEARS
Return Before Taxes 2.87% 3.65% 5.18%
Return After Taxes on Distributions 2.87% 3.65% 5.14%
Return After Taxes on Distributions and Sale of Fund Shares 3.11% 3.81% 5.18%
Lehman 5-Year Municipal Bond Index 4.13% 5.57% 5.42%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
SIT MINNESOTA TAX-FREE INCOME FUND 1 YEAR 5 YEARS 10 YEARS
Return Before Taxes 4.42% 4.23% 5.35%
Return After Taxes on Distributions 4.42% 4.23% 5.35%
Return After Taxes on Distributions and Sale of Fund Shares 4.44% 4.31% 5.33%
Lehman 5-Year Municipal Bond Index 4.13% 5.57% 5.42%
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
SIT BOND FUND 1 YEAR 5 YEARS 10 YEARS
Return Before Taxes 5.08% 5.75% 6.36%
Return After Taxes on Distributions 3.39% 3.38% 3.82%
Return After Taxes on Distributions and Sale of Fund Shares 3.34% 3.40% 3.82%
Lehman Aggregate Bond Index 4.10% 6.62% 6.95%
- ---------------------------------------------------------------------------------------------------------------------------
SIT FLORIDA TAX-FREE INCOME FUND. The Fund was formed on December 31, 2003 and
thus cannot report average annual total returns for periods ended December 31,
2003.
(*) NOTES:
- --- ------
(1) After-tax returns are calculated using the historical highest individual
federal marginal income tax rates and do not reflect the impact of state
and local taxes.
(2) Actual after-tax returns depend on an investor's tax situation and may
differ from those shown, and after-tax returns shown are not relevant to
investors who hold their shares through tax-deferred arrangements, such as
401(k) plans or individual retirement accounts.
(3) Indices reflect no deduction for fees, expenses, or taxes.
7
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Sit Money Market Fund
SIX MONTHS ENDED SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
MICHAEL C. BRILLEY, SENIOR PORTFOLIO MANAGER
MARK H. BOOK, CFA, PORTFOLIO MANAGER
================================================================================
The Sit Money Market Fund provided investors with a +0.37% return for the 6
months ended September 30, 2004, compared to +0.65% for the 3-Month U.S.
Treasury Bill. As of September 30, 2004, the Fund's 7-day compound yield was
1.13% and its average maturity was 24 days.
As well telegraphed by Federal Reserve spokespersons and anticipated by
market participants, the Fed raised its target for the federal funds rate a
further 25 basis points on September 21st to 1.75 %. This was the third 0.25%
(or one-quarter percent) increase in the federal funds target rate during the
six month period, as the Fed took similar actions in June and August. Since the
FOMC was willing to raise interest rates in September based on evidence that the
economy was "regaining traction," and most economists now expect that third
quarter real GDP growth will show greater strength, we believe rates will be
increased again when the Fed meets on November 10th.
The Fund has maintained its average maturity near the short end of its
customary 20 to 40-day range as the 3-Month Treasury Bill yield increased 76
basis points over the past six months. Because the Fed has begun tightening
monetary policy, the Fund will maintain its rather short average maturity in
anticipation of earning higher yields on future investments. If the pace of Fed
tightening slows, we may increase the average maturity closer to 30 days. These
tactics combined with expected higher short-term rates should help the Fund
increase its return over the following six months. The Fund continues to focus
on top-tier credit quality, and will not compromise quality to earn higher
yields. As the economy improves, credit quality of these top-tier issuers
continues to strengthen.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
- --------------------------------------------------------------------------------
The objective of the Fund is to achieve maximum current income to the extent
consistent with the preservation of capital and maintenance of liquidity. The
Fund pursues this objective by investing in short-term debt instruments which
mature in 397 days or less and by maintaining a dollar-weighted portfolio
maturity of 90 days or less.
An investment in the Fund is neither insured nor guaranteed by the U.S.
Government and there can be no assurance that the Fund will be able to maintain
a stable net asset value of $1.00 per share.
- --------------------------------------------------------------------------------
PORTFOLIO SUMMARY
- --------------------------------------------------------------------------------
Net Asset Value 9/30/04: $1.00 Per Share
3/31/04: $1.00 Per Share
Total Net Assets: $45.4 Million
- --------------------------------------------------------------------------------
PORTFOLIO STRUCTURE
(% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
[BAR CHART]
Asset-Backed Securities 17.7
Diversified Finance 12.8
Health Techology 9.5
Consumer Non-Durables 8.8
Insurance 7.7
Energy 6.6
Federal Agency 6.1
Sectors less than 5.0% 29.3
Cash & Other Net Assets 1.5
8
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- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS*
- --------------------------------------------------------------------------------
SIT MONEY 3-MONTH LIPPER
MARKET U.S. TREASURY MONEY
FUND BILL MARKET INDEX
--------- ------------- ------------
3 Month** 0.23% 0.38% 0.21%
6 Month** 0.37 0.65 n/a
1 Year 0.65 1.13 0.58
5 Years 2.66 2.89 2.67
10 Years 3.90 4.08 3.87
Inception 3.85 4.06 3.82
(11/1/93)
- --------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURNS*
- --------------------------------------------------------------------------------
SIT MONEY 3-MONTH LIPPER
MARKET U.S. TREASURY MONEY
FUND BILL MARKET INDEX
--------- ------------- ------------
1 Year 0.65% 1.13% 0.58%
5 Year 14.04 15.33 14.06
10 Year 46.58 49.11 46.15
Inception 51.09 54.49 50.53
(11/1/93)
*AS OF 9/30/04 **NOT ANNUALIZED.
- --------------------------------------------------------------------------------
PERFORMANCE IS HISTORICAL AND ASSUMES REINVESTMENT OF ALL DIVIDENDS AND CAPITAL
GAINS. MONEY FUNDS ARE NEITHER INSURED NOR GUARANTEED BY THE U.S. GOVERNMENT.
THERE IS NO ASSURANCE THAT A FUND WILL MAINTAIN A $1 SHARE VALUE. YIELD
FLUCTUATES. PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS. MANAGEMENT
FEES AND ADMINISTRATIVE EXPENSES ARE INCLUDED IN THE FUND'S PERFORMANCE;
HOWEVER, FEES AND EXPENSES ARE NOT INCORPORATED IN THE 3-MONTH U.S. TREASURY
BILL. THE LIPPER AVERAGES AND INDICES ARE OBTAINED FROM LIPPER ANALYTICAL
SERVICES, INC., A LARGE INDEPENDENT EVALUATOR OF MUTUAL FUNDS.
- --------------------------------------------------------------------------------
GROWTH OF $10,000
- --------------------------------------------------------------------------------
[FLOW CHART]
The sum of $10,000 invested at inception (11/1/93) and held until 9/30/04 would
have grown to $15,109 in the Fund or $15,449 in the 3-Month U.S. Treasury Bill
assuming reinvestment of all dividends and capital gains.
- --------------------------------------------------------------------------------
SIT MONEY MARKET MATURITY RANGES
- --------------------------------------------------------------------------------
[BAR CHART]
% of Assets
41.5% 36.6% 7.1% 4.8% 10.0%
0 - 15 16 - 30 31 - 45 46 - 60 61+
Days Days Days Days Days
9
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Sit Money Market Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
- --------------------------------------------------------------------------------
QUANTITY/PAR ($) NAME OF ISSUER MARKET VALUE ($)(1)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER (92.4%) (2)
ASSET-BACKED (17.7%)
Daimler-Chrysler Auto Conduit:
1,400,000 1.60%, 10/1/2004 1,400,000
600,000 1.61%, 10/21/2004 599,463
FCAR Owner Trust Series I:
1,000,000 1.74%, 11/3/2004 998,405
1,045,000 1.79%, 11/15/2004 1,042,662
2,000,000 Mortgage Interest Networking Trust,
1.68%, 10/15/2004 1,998,693
2,000,000 New Center Asset Trust,
1.83%, 11/30/2004 1,993,900
----------------
8,033,123
----------------
BANKING (4.4%)
2,000,000 Citicorp, 1.63%, 10/27/04 1,997,646
----------------
CAPTIVE EQUIPMENT FINANCE (2.7%)
1,220,000 Caterpillar Financial Services Corp.,
1.54%, 11/2/2004 1,218,330
----------------
COMMUNICATIONS (4.4%)
2,000,000 SBC Communications, 1.75%, 10/22/04 1,997,958
----------------
CONSUMER DURABLES (4.4%)
American Honda Finance:
1,000,000 1.54%, 10/5/2004 999,829
1,000,000 1.76%, 11/9/2004 998,093
----------------
1,997,922
----------------
CONSUMER LOAN FINANCE (4.4%)
2,000,000 American General Financial Corp.,
1.55%, 10/12/2004 1,999,053
----------------
CONSUMER NON-DURABLES (8.8%)
Coca Cola Co.,
1,029,000 1.80%, 12/6/2004 1,025,604
971,000 1.80%, 12/7/2004 967,747
Coca Cola Enterprises:
1,000,000 1.62%, 10/14/2004 (5) 999,415
1,000,000 1.72%, 10/18/2004 (5) 999,188
----------------
3,991,954
----------------
DIVERSIFIED FINANCE (12.8%)
CIT Group Holdings:
845,000 1.60%, 10/25/2004 844,099
1,155,000 1.70%, 11/1/2004 1,153,309
2,000,000 GE Capital Corp.,
1.63%, 10/28/2004 1,997,555
1,799,000 GE Capital Services,
1.70%, 10/18/2004 1,797,556
----------------
5,792,519
----------------
ENERGY (6.6%)
2,000,000 Chevron Texaco Funding Corp.,
1.50%, 10/6/2004 1,999,583
1,000,000 Exxon Asset Management,
1.53%, 10/7/2004 (5) 999,745
----------------
2,999,328
----------------
FINANCIAL SERVICES (4.6%)
UBS Finance Corp.:
400,000 1.71%, 10/14/2004 399,753
595,000 1.76%, 10/29/2004 594,186
1,100,000 1.80%, 11/23/2004 1,097,085
----------------
2,091,024
----------------
HEALTH TECHNOLOGY (9.5%)
2,000,000 Bristol-Myers Squibb Co.,
1.74%, 10/13/2004 (5) 1,998,840
Pfizer, Inc.:
1,300,000 1.56%, 10/8/2004 (5) 1,299,606
1,000,000 1.70%, 10/21/2004 (5) 999,056
----------------
4,297,502
----------------
INSURANCE (7.7%)
1,500,000 AIG Funding, Inc., 1.43%, 10/4/04 1,499,821
American Family Financial:
1,000,000 1.72%, 10/7/2004 999,713
500,000 1.58%, 10/13/2004 499,737
500,000 1.97%, 1/20/2004 496,963
----------------
3,496,234
----------------
RETAIL TRADE (4.4%)
Wal-Mart Stores, Inc.:
1,000,000 1.55%, 10/19/2004 999,225
1,000,000 1.56%, 10/26/2004 998,916
----------------
1,998,141
----------------
Total Commercial Paper 41,910,734
(cost: $41,910,734) ----------------
U.S. GOVERNMENT SECURITIES (6.1%) (2)
1,467,000 FHLB Discount Note, 1.50%, 10/1/04 1,467,000
1,300,000 FNMA Discount Note, 1.72%, 10/20/04 1,298,820
----------------
Total U.S. Government Securities 2,765,820
(cost: $2,765,820) ----------------
Total investments in securities
(cost: $44,676,554) (7) $44,676,554
================
See accompanying notes to portfolios of investments on page 62.
10
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11
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Sit U.S. Government Securities Fund
SIX MONTHS ENDED SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
SENIOR PORTFOLIO MANAGERS, MICHAEL C. BRILLEY AND BRYCE A. DOTY, CFA
PORTFOLIO MANAGER, MARK H. BOOK, CFA
================================================================================
The Sit U.S. Government Securities Fund provided investors with a +1.28%
return during the past six months while the Lehman Intermediate Government Bond
Index returned -0.09%. The Fund's 30-day SEC yield was 3.87% and its 12-month
distribution rate was 3.12%.
During the period, each of the Fund's investment strategies displayed
considerably enhanced levels of return relative to the Lehman Intermediate
Government Bond Index, including the Fund's large weighting in agency mortgage
pass-through securities, whose returns were driven by their above average yield.
The Fund's U.S. Treasury investments provided the strongest returns on a sector
level, but a lower portfolio weighting in this sector limited the net effect to
overall returns. This sector's strong return was produced through the Fund's
security specific investment approach, where price appreciation within
securities owned was in stark contrast to the price depreciation seen throughout
the majority of the Treasury market. The Fund's collateralized mortgage
obligations (CMOs) were its worst performing investments, but returns in this
sector were still considerably better than the Index.
We expect overall interest rates to remain low in the near term, as
concerns regarding the outcome of upcoming elections and fear of a pre-election
terrorist attack are expected to keep demand for U.S. Treasuries strong.
However, we expect economic growth to continue over the longer term, driving
interest rates higher. Therefore, we will continue to maintain the Fund's
defensive position by emphasizing securities that provide high levels of current
income. The high coupon mortgage pass-through securities owned by the Fund
continue to be a major part of the portfolio, as has consistently been the case
since its inception. These securities have a strong track record of providing
elevated levels of income as well as price stability during periods of rising
interest rates.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
- --------------------------------------------------------------------------------
The objective of the U.S. Government Securities Fund is to provide high
current income and safety of principal, which it seeks to attain by investing
solely in debt obligations issues, guaranteed or insured by the U.S. government
or its agencies or its instrumentalities.
Agency mortgage securities and U.S. Treasury securities will be the
principal holdings in the Fund. The mortgage securities that the Fund will
purchase consist of pass-through securities including those issued by Government
National Mortgage Association (GNMA), Federal National Mortgage Asociation
(FNMA), and Federal Home Loan Mortgage Corporation (FHLMC).
- --------------------------------------------------------------------------------
PORTFOLIO SUMMARY
- --------------------------------------------------------------------------------
Net Asset Value 9/30/04: $10.75 Per Share
3/31/04: $10.79 Per Share
Total Net Assets: $261.4 Million
30-day SEC Yield: 3.87%
12-Month Distribution Rate: 3.12%
Average Maturity: 20.0 Years
Effective Duration: 1.8 Years(1)
(1) Effective duration is a measure which reflects estimated price sensitivity
to a given change in interest rates. For example, for an interest rate change of
1.0%, a portfolio with a duration of 5 years would be expected to experience a
price change of 5%. Effective duration is based on current interest rates and
the Adviser's assumptions regarding the expected average life of individual
securities held in the portfolio.
- --------------------------------------------------------------------------------
PORTFOLIO STRUCTURE
(% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
[BAR CHART]
FNMA Pass-Through 34.2
Collateralized Mortgage Obligations 24.2
GNMA Pass-Through 15.9
FHLMC Pass-Through 15.8
U.S. Treasury/Federal Agency 7.5
Taxable Municipal 0.9
Cash & Other Net Assets 1.5
12
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- ----------------------------------------------------------------------- [LOGO]
================================================================================
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS*
- --------------------------------------------------------------------------------
SIT
U.S. GOV'T. LEHMAN LIPPER
SECURITIES INTER. GOV'T. U.S. GOV'T.
FUND BOND INDEX FUND INDEX
----------- ------------- -----------
3 Month** 1.87% 2.26% 2.72%
6 Month** 1.28 -0.09 n/a
1 Year 3.26 1.91 2.50
5 Year 5.56 6.51 6.37
10 Year 6.01 6.72 6.50
Inception 7.07 7.33 6.82
(6/2/87)
- --------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURNS*
- --------------------------------------------------------------------------------
SIT
U.S. GOV'T. LEHMAN LIPPER
SECURITIES INTER. GOV'T. U.S. GOV'T.
FUND BOND INDEX FUND INDEX
----------- ------------- -----------
1 Year 3.26% 1.91% 2.50%
5 Year 31.05 37.09 36.19
10 Year 79.30 91.57 87.76
Inception 226.83 241.25 214.05
(6/2/87)
*AS OF 9/30/04. **NOT ANNUALIZED.
- --------------------------------------------------------------------------------
PERFORMANCE FIGURES ARE HISTORICAL AND DO NOT GUARANTEE FUTURE RESULTS.
INVESTMENT RETURNS AND PRINCIPAL VALUE WILL VARY, AND YOU MAY HAVE A GAIN OR
LOSS WHEN YOU SELL SHARES. AVERAGE ANNUAL TOTAL RETURNS INCLUDE CHANGES IN SHARE
PRICE AS WELL AS REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAINS. MANAGEMENT
FEES AND ADMINISTRATIVE EXPENSES ARE INCLUDED IN THE FUND'S PERFORMANCE;
HOWEVER, FEES AND EXPENSES ARE NOT INCORPORATED IN THE LEHMAN INTERMEDIATE
GOVERNMENT BOND INDEX. THE LIPPER AVERAGES AND INDICES ARE OBTAINED FROM LIPPER
ANALYTICAL SERVICES, INC., A LARGE INDEPENDENT EVALUATOR OF MUTUAL FUNDS.
- --------------------------------------------------------------------------------
GROWTH OF $10,000
- --------------------------------------------------------------------------------
[FLOW CHART]
The sum of $10,000 invested at inception (6/2/87) and held until
9/30/04 would have grown to $32,683 in the Fund or $34,125 in the Lehman
Intermediate Government Bond Index assuming reinvestment of
all dividends and capital gains.
- --------------------------------------------------------------------------------
ESTIMATED AVERAGE LIFE PROFILE
- --------------------------------------------------------------------------------
[BAR CHART]
The Adviser's estimates of the dollar weighted average life of the portfolio's
securities, which may vary from their stated maturities.
1.5% 90.3% 3.6% 0.0% 4.6%
0 - 1 Year 1 - 5 Years 5 - 10 Years 10 - 20 Years 20+ Years
13
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Sit U.S. Government Securities Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
MORTGAGE PASS-THROUGH SECURITIES (65.9%) (2)
FEDERAL HOME LOAN MORTGAGE CORPORATION (15.8%):
Par ($) Coupon Maturity
------- ------ -------- -------------------
2,893,369 3.08% 5/1/2034 2,874,816
110,190 5.50% 8/1/2017 115,034
352,689 6.38% 12/1/2026 367,622
80,752 6.38% 8/1/2027 84,723
148,955 6.38% 12/1/2027 156,280
230,498 7.50% 10/1/2012 246,934
3,251,415 7.50% 12/1/2014 3,453,612
156,015 7.50% 4/1/2021 167,597
96,586 7.50% 2/1/2027 103,824
245,252 7.50% 4/1/2027 263,629
4,402,771 7.50% 1/1/2031 4,731,508
3,100,000 7.50% 7/1/2032 3,327,302
152,082 8.00% 10/1/2016 166,385
1,117,559 8.00% 12/1/2016 1,191,288
47,338 8.00% 5/1/2017 51,582
234,600 8.00% 7/1/2024 256,530
352,231 8.00% 9/1/2024 385,157
670,314 8.00% 9/15/2024 731,956
247,905 8.00% 11/1/2025 271,298
123,218 8.00% 12/1/2026 135,123
201,068 8.00% 1/1/2027 219,929
254,004 8.00% 10/1/2027 277,101
208,647 8.00% 1/1/2028 228,219
186,771 8.00% 7/1/2028 202,244
493,920 8.00% 6/1/2030 542,084
223,147 8.00% 11/1/2030 242,673
154,815 8.00% 2/1/2032 168,297
50,309 8.25% 12/1/2008 52,999
56,096 8.25% 12/1/2017 61,685
440,227 8.50% 1/1/2016 474,313
865,088 8.50% 5/1/2016 932,154
9,707 8.50% 1/1/2017 10,733
25,508 8.50% 4/1/2017 28,104
87,151 8.50% 5/1/2017 96,359
291,025 8.50% 8/1/2023 322,498
21,805 8.50% 7/1/2024 24,049
161,907 8.50% 1/1/2025 175,952
134,465 8.50% 4/1/2025 146,130
92,985 8.50% 5/1/2025 101,052
42,341 8.50% 6/1/2025 46,014
87,969 8.50% 8/1/2025 95,600
101,982 8.50% 10/1/2026 112,164
935,202 8.50% 12/1/2029 1,016,329
684,862 8.50% 8/1/2030 754,742
57,427 8.50% 12/1/2030 62,733
329,194 8.50% 4/1/2031 359,046
38,252 8.50% 8/1/2031 41,721
84,625 8.75% 1/1/2017 92,887
2,025 9.00% 12/1/2005 2,081
3,381 9.00% 1/1/2006 3,476
37,903 9.00% 2/1/2006 38,967
38,267 9.00% 5/1/2009 41,122
9,121 9.00% 6/1/2009 10,257
39,671 9.00% 7/1/2009 42,653
36,674 9.00% 7/1/2009 39,410
114,495 9.00% 12/1/2009 123,038
25,638 9.00% 10/1/2013 28,535
472,888 9.00% 11/1/2015 512,509
18,821 9.00% 5/1/2016 21,057
104,233 9.00% 7/1/2016 116,617
119,092 9.00% 10/1/2016 132,669
23,113 9.00% 11/1/2016 25,859
16,352 9.00% 1/1/2017 18,312
11,495 9.00% 1/1/2017 12,861
64,472 9.00% 2/1/2017 69,960
24,485 9.00% 2/1/2017 27,394
180,268 9.00% 2/1/2017 201,685
93,047 9.00% 4/1/2017 97,073
8,730 9.00% 4/1/2017 9,700
37,871 9.00% 6/1/2017 42,417
76,271 9.00% 6/1/2017 85,577
58,945 9.00% 7/1/2017 65,948
8,216 9.00% 9/1/2017 9,202
96,833 9.00% 10/1/2017 108,457
80,876 9.00% 6/1/2018 90,015
249,870 9.00% 6/1/2019 279,428
89,646 9.00% 10/1/2019 100,682
100,812 9.00% 10/1/2019 113,223
32,087 9.00% 10/1/2019 35,914
527,740 9.00% 3/1/2020 591,730
320,331 9.00% 9/1/2020 345,222
67,992 9.00% 5/1/2021 76,625
798,457 9.00% 6/1/2021 874,585
32,955 9.00% 7/1/2021 37,119
89,919 9.00% 7/1/2021 101,208
70,645 9.00% 10/1/2021 79,298
38,328 9.00% 3/1/2022 43,023
91,463 9.00% 4/1/2025 102,506
15,575 9.25% 7/1/2008 16,832
43,023 9.25% 8/1/2008 46,495
35,032 9.25% 8/1/2009 37,065
90,219 9.25% 7/1/2010 94,634
33,353 9.25% 3/1/2011 35,562
44,196 9.25% 6/1/2016 49,497
29,251 9.25% 3/1/2017 32,759
14
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================================================================================
Par ($) Coupon Maturity Market Value ($)(1)
------- ------ -------- -------------------
676,610 9.25% 2/1/2018 746,932
27,891 9.25% 1/1/2019 29,739
181,316 9.25% 3/1/2019 200,988
269,000 9.25% 3/1/2019 294,200
37,227 9.50% 10/1/2005 38,088
56,220 9.50% 10/1/2008 60,957
76,666 9.50% 2/1/2010 82,876
49,593 9.50% 5/1/2010 51,025
31,648 9.50% 6/1/2010 34,212
26,516 9.50% 1/1/2011 29,402
200,714 9.50% 6/1/2011 215,089
43,622 9.50% 6/1/2016 49,118
14,973 9.50% 7/1/2016 16,860
21,645 9.50% 9/1/2016 23,762
61,706 9.50% 10/1/2016 69,481
89,822 9.50% 6/1/2017 101,382
43,704 9.50% 9/1/2017 49,312
51,246 9.50% 4/1/2018 57,922
17,806 9.50% 10/1/2018 20,097
171,546 9.50% 12/1/2018 193,102
378,399 9.50% 2/1/2019 425,020
14,447 9.50% 6/1/2019 15,860
522,771 9.50% 6/17/2019 588,509
143,329 9.50% 7/1/2020 159,287
84,179 9.50% 8/1/2020 94,756
19,376 9.50% 9/1/2020 21,967
348,181 9.50% 8/1/2021 384,332
2,085,080 9.50% 12/17/2021 2,349,307
20,090 9.75% 12/1/2008 21,685
43,691 9.75% 12/1/2008 47,160
83,036 9.75% 11/1/2009 89,629
20,070 9.75% 6/1/2011 21,664
429,594 9.75% 12/1/2016 473,094
45,376 9.75% 6/1/2017 50,572
281,023 9.75% 12/1/2017 312,106
17,983 9.85% 5/1/2016 20,054
102,909 10.00% 11/1/2010 111,443
131,445 10.00% 11/1/2011 147,913
324,514 10.00% 6/1/2020 365,177
214,959 10.00% 9/1/2020 241,758
212,464 10.00% 3/1/2021 237,166
99,017 10.00% 10/1/2021 110,268
51,532 10.25% 6/1/2010 56,410
47,058 10.25% 2/1/2017 51,513
88,795 10.29% 9/1/2016 97,714
67,093 10.50% 10/1/2013 74,703
124,462 10.50% 5/1/2014 136,749
74,201 10.50% 9/1/2015 82,997
26,386 10.50% 1/1/2019 29,828
731,560 10.50% 6/1/2019 820,648
868 10.50% 7/1/2020 982
12,938 11.00% 12/1/2011 14,436
46,796 11.00% 6/1/2015 52,623
60,951 11.00% 2/1/2016 68,160
34,951 11.00% 5/1/2019 38,910
58,556 11.00% 7/1/2019 65,716
17,045 11.25% 10/1/2009 18,869
59,229 11.25% 8/1/2011 66,958
31,220 13.00% 5/1/2017 34,471
-----------------
41,405,227
-----------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (34.2%):
Par ($) Coupon Maturity
------- ------ --------
3,083,882 4.03% 4/1/2033 3,101,444
6,948,592 5.00% 11/1/2010 7,096,708
1,201,493 6.00% 9/1/2017 1,265,930
44,811 6.49% 3/1/2019 46,858
1,259,981 6.95% 8/1/2021 1,312,742
45,390 7.00% 4/1/2027 48,683
2,620,690 7.00% 6/1/2032 2,780,081
651,511 7.00% 11/1/2032 691,092
238,085 7.24% 5/1/2007 255,449
891,377 7.50% 11/1/2012 918,984
986,249 7.50% 3/1/2016 1,061,417
1,880,647 7.50% 6/1/2022 2,015,813
1,038,202 7.50% 6/1/2025 1,119,106
29,488 7.50% 3/1/2027 31,653
28,494 7.50% 9/1/2027 30,901
134,204 7.50% 11/1/2029 144,478
33,413 7.50% 1/1/2030 35,812
997,656 7.50% 1/1/2031 1,069,635
804,530 7.50% 3/1/2032 861,646
995,512 7.50% 6/1/2032 1,070,615
1,388,343 7.54% 6/1/2016 1,473,396
1,749,578 7.87% 12/15/2025 1,899,584
104,643 8.00% 8/1/2009 111,581
108,370 8.00% 11/1/2016 118,612
74,357 8.00% 6/1/2018 80,237
223,220 8.00% 1/1/2022 244,497
109,828 8.00% 2/1/2023 120,325
163,208 8.00% 5/1/2023 177,932
82,985 8.00% 9/1/2023 90,674
846,521 8.00% 7/1/2024 925,675
193,608 8.00% 8/1/2024 212,031
35,515 8.00% 4/1/2025 38,869
358,190 8.00% 6/1/2027 392,016
See accompanying notes to portfolios of investments on page 62.
15
================================================================================
Sit U.S. Government Securities Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
Par ($) Coupon Maturity Market Value ($)(1)
------- ------ -------- -------------------
244,237 8.00% 9/1/2027 268,905
81,367 8.00% 10/1/2027 89,109
641,426 8.00% 6/1/2028 699,568
422,560 8.00% 9/1/2028 460,862
407,906 8.00% 9/1/2029 446,544
146,672 8.00% 12/1/2029 158,518
64,996 8.00% 2/1/2030 70,980
775,248 8.00% 2/1/2031 838,346
546,895 8.00% 2/1/2031 595,567
401,084 8.00% 3/1/2031 438,708
466,217 8.00% 3/1/2032 502,997
1,275,267 8.00% 9/1/2032 1,397,123
60,617 8.25% 4/1/2022 66,391
1,461,023 8.29% 7/20/2030 1,628,168
405,546 8.33% 7/15/2020 456,235
524,366 8.38% 7/20/2028 585,291
18,913 8.50% 8/1/2006 19,722
109,647 8.50% 11/1/2010 118,399
1,080,479 8.50% 9/1/2013 1,135,808
940,030 8.50% 2/1/2016 1,013,041
56,230 8.50% 4/1/2017 62,218
230,485 8.50% 6/1/2017 242,638
48,007 8.50% 9/1/2017 52,518
152,238 8.50% 8/1/2018 168,786
491,678 8.50% 5/1/2022 544,561
156,392 8.50% 7/1/2022 173,808
92,785 8.50% 11/1/2023 102,481
20,601 8.50% 5/1/2024 22,868
274,453 8.50% 2/1/2025 303,971
103,524 8.50% 9/1/2025 114,560
939,352 8.50% 12/1/2025 1,036,579
540,725 8.50% 1/1/2026 596,125
808,149 8.50% 1/1/2026 890,948
308,518 8.50% 7/1/2026 334,550
742,405 8.50% 9/1/2026 819,248
1,676,756 8.50% 11/1/2026 1,846,913
62,709 8.50% 12/1/2026 69,073
255,853 8.50% 5/1/2027 282,335
447,875 8.50% 6/1/2027 493,762
1,369,219 8.50% 11/1/2028 1,505,153
3,925,798 8.50% 12/1/2028 4,324,188
275,024 8.50% 12/1/2029 303,491
399,092 8.50% 1/1/2030 433,653
90,831 8.50% 8/1/2030 98,496
176,665 8.50% 11/1/2030 191,734
56,167 8.50% 11/1/2030 61,327
375,811 8.50% 12/1/2030 410,334
51,163 8.50% 1/1/2031 55,567
313,077 8.50% 6/1/2032 345,153
629,574 8.52% 9/15/2030 706,174
233,383 8.87% 12/15/2025 261,746
219,137 9.00% 1/1/2009 236,999
133,455 9.00% 5/1/2009 143,133
102,965 9.00% 5/1/2009 109,851
145,325 9.00% 5/1/2009 154,260
39,567 9.00% 5/1/2009 42,436
22,802 9.00% 4/1/2010 24,708
91,723 9.00% 3/1/2011 100,163
202,470 9.00% 8/1/2016 226,345
272,369 9.00% 11/1/2016 304,487
46,049 9.00% 6/1/2017 48,103
103,408 9.00% 6/1/2017 115,267
31,195 9.00% 7/1/2017 34,773
60,004 9.00% 9/1/2017 67,610
107,181 9.00% 12/1/2017 119,472
44,731 9.00% 2/1/2018 50,400
24,581 9.00% 9/1/2019 26,636
25,835 9.00% 10/1/2019 27,804
109,684 9.00% 12/15/2019 122,898
94,077 9.00% 3/1/2021 104,865
5,399 9.00% 9/1/2021 6,069
93,145 9.00% 4/1/2025 104,303
736,267 9.00% 11/1/2025 826,147
2,193,514 9.00% 10/1/2026 2,458,682
70,439 9.00% 12/1/2026 78,104
584,025 9.00% 5/1/2027 654,205
1,704,361 9.00% 5/1/2028 1,908,546
108,636 9.00% 5/1/2030 121,235
839,214 9.00% 7/1/2030 942,768
253,311 9.00% 8/15/2030 284,168
83,086 9.00% 11/1/2030 91,500
105,247 9.00% 4/1/2031 115,435
151,063 9.00% 6/1/2031 164,251
30,178 9.00% 7/1/2031 33,031
147,142 9.25% 10/1/2009 159,137
43,833 9.25% 7/1/2010 47,727
16,230 9.25% 4/1/2012 16,668
59,563 9.25% 10/1/2016 66,884
68,013 9.25% 12/1/2016 76,372
231,360 9.25% 2/1/2017 259,141
10,158 9.25% 3/1/2017 11,406
514,228 9.34% 8/20/2027 598,561
3,974 9.50% 1/1/2006 4,321
39,225 9.50% 9/1/2008 41,269
96,693 9.50% 12/1/2009 105,874
25,053 9.50% 1/1/2011 27,185
16
================================================================================
- ----------------------------------------------------------------------- [LOGO]
================================================================================
Par ($) Coupon Maturity Market Value ($)(1)
------- ------ -------- -------------------
16,903 9.50% 10/1/2013 18,679
29,438 9.50% 5/1/2014 30,973
142,079 9.50% 4/1/2016 158,082
15,259 9.50% 4/1/2016 16,862
39,584 9.50% 9/1/2016 44,692
41,622 9.50% 9/1/2017 46,118
93,937 9.50% 11/1/2018 107,060
89,178 9.50% 12/1/2018 100,670
51,245 9.50% 5/1/2019 58,471
93,803 9.50% 10/1/2019 106,239
60,351 9.50% 12/1/2019 68,266
58,007 9.50% 3/1/2020 64,756
96,043 9.50% 6/1/2020 109,461
255,116 9.50% 9/1/2020 287,535
215,126 9.50% 9/1/2020 243,340
263,642 9.50% 10/15/2020 296,586
224,421 9.50% 12/15/2020 253,425
52,298 9.50% 12/15/2020 58,977
107,902 9.50% 3/1/2021 122,777
65,991 9.50% 4/15/2021 74,610
331,214 9.50% 7/1/2021 372,944
179,791 9.50% 5/1/2022 203,444
288,725 9.50% 4/1/2025 325,931
353,799 9.50% 4/1/2025 398,978
920,156 9.50% 11/1/2025 1,040,815
605,757 9.50% 3/1/2026 683,110
620,016 9.50% 9/1/2026 699,190
750,662 9.50% 10/1/2026 845,571
138,752 9.50% 8/1/2030 156,984
2,414,737 9.55% 8/20/2025 2,675,362
197,876 9.75% 1/15/2013 218,568
215,845 9.75% 1/1/2021 241,413
430,637 9.75% 10/1/2021 483,222
367,660 9.75% 4/1/2025 412,554
12,032 10.00% 3/1/2011 13,043
84,660 10.00% 5/1/2011 92,402
125,199 10.00% 7/1/2013 137,683
127,352 10.00% 6/1/2014 136,479
922,384 10.00% 2/1/2015 1,026,622
1,051,875 10.00% 3/1/2015 1,182,312
92,873 10.00% 11/1/2016 103,389
48,108 10.00% 3/1/2018 53,676
614,673 10.00% 7/1/2019 684,137
65,990 10.00% 9/1/2019 74,055
118,470 10.00% 12/1/2019 130,937
374,165 10.00% 6/1/2020 420,855
17,214 10.00% 11/1/2020 19,448
86,681 10.00% 1/1/2021 97,399
27,566 10.00% 2/1/2021 30,889
287,887 10.00% 10/1/2021 323,465
237,364 10.00% 5/1/2022 265,970
131,991 10.00% 5/1/2022 148,313
188,615 10.00% 1/1/2024 211,925
179,263 10.00% 7/1/2028 201,253
522,564 10.25% 8/15/2013 581,082
17,263 10.50% 5/1/2009 18,831
48,040 10.50% 5/1/2015 53,370
375,924 10.50% 1/1/2016 427,604
44,579 10.50% 3/1/2017 49,254
141,035 10.50% 12/1/2017 159,872
19,803 10.75% 11/1/2010 21,663
15,229 11.00% 10/1/2006 15,437
90,057 11.00% 9/1/2012 100,010
6,789 11.00% 4/1/2014 7,619
56,170 11.00% 8/1/2015 62,271
128,439 11.00% 9/1/2015 139,115
57,238 11.00% 4/1/2017 63,966
684,247 11.27% 8/15/2020 782,703
435,761 11.75% 10/20/2022 498,858
-----------------
89,314,487
-----------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (15.9%) (3):
Par ($) Coupon Maturity
------- ------ --------
78,967 6.00% 9/15/2018 82,568
274,159 6.38% 12/15/2027 289,267
382,685 6.38% 4/15/2028 403,548
3,551,927 6.50% 5/15/2023 3,750,383
139,247 6.75% 9/15/2015 149,052
69,481 6.75% 8/15/2028 73,790
42,503 7.00% 9/20/2016 45,402
464,321 7.00% 1/15/2030 495,618
508,477 7.00% 1/15/2031 542,488
813,097 7.00% 11/15/2032 867,277
49,467 7.05% 2/15/2023 53,065
65,388 7.25% 8/15/2010 69,411
241,716 7.25% 10/15/2028 259,291
70,007 7.27% 7/20/2022 75,113
381,355 7.38% 11/15/2030 417,100
466,697 7.38% 3/15/2031 481,974
14,517 7.50% 3/15/2007 15,111
193,452 7.50% 5/15/2016 210,602
1,188,511 7.50% 2/15/2027 1,281,977
150,111 7.55% 7/20/2022 162,495
249,847 7.55% 10/20/2022 270,460
160,847 7.65% 10/20/2021 174,416
153,509 7.65% 7/20/2022 166,575
See accompanying notes to portfolios of investments on page 62.
17
================================================================================
Sit U.S. Government Securities Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
Par ($) Coupon Maturity Market Value ($)(1)
------- ------ -------- -------------------
220,788 7.75% 6/15/2020 240,961
349,984 7.75% 7/15/2020 381,961
308,667 7.75% 8/15/2020 336,870
259,424 7.75% 8/15/2020 283,127
116,926 7.75% 11/15/2020 127,609
634,106 7.75% 10/15/2022 699,159
83,554 7.90% 9/20/2020 91,068
11,218 7.90% 11/20/2020 12,227
98,762 7.90% 1/20/2021 107,737
41,657 7.90% 1/20/2021 45,442
31,981 7.90% 4/20/2021 34,887
54,650 7.90% 8/20/2021 59,616
334,099 7.95% 2/15/2020 366,346
111,229 7.99% 2/20/2021 121,596
96,739 7.99% 4/20/2021 105,755
167,612 7.99% 7/20/2021 183,234
169,666 7.99% 9/20/2021 185,480
150,447 7.99% 10/20/2021 164,469
283,960 7.99% 1/20/2022 310,665
475,660 7.99% 6/20/2022 520,393
43,536 8.00% 10/15/2012 47,709
111,785 8.00% 5/15/2016 123,321
401,336 8.00% 6/15/2016 442,754
172,485 8.00% 9/15/2016 190,286
145,367 8.00% 11/20/2016 158,210
137,606 8.00% 7/15/2017 150,669
52,190 8.00% 7/20/2023 57,145
94,748 8.00% 8/15/2023 104,245
49,917 8.00% 12/20/2023 54,655
33,334 8.00% 2/20/2024 36,508
278,917 8.00% 2/20/2026 304,521
53,668 8.00% 12/15/2026 58,881
56,214 8.00% 12/20/2026 61,375
54,215 8.00% 4/15/2028 59,235
669,846 8.00% 4/15/2028 733,470
54,539 8.00% 9/15/2029 59,566
450,293 8.10% 5/20/2019 492,309
127,887 8.10% 6/20/2019 139,820
142,531 8.10% 7/20/2019 155,830
227,567 8.10% 9/20/2019 248,801
90,306 8.10% 9/20/2019 98,732
129,629 8.10% 10/20/2019 141,724
127,052 8.10% 1/20/2020 138,909
101,813 8.10% 4/20/2020 111,315
157,199 8.10% 7/20/2020 171,870
207,480 8.25% 12/15/2011 227,419
68,142 8.25% 1/15/2012 74,953
124,685 8.25% 8/15/2015 138,232
689,211 8.25% 4/15/2019 758,786
217,356 8.25% 2/15/2020 239,332
21,582 8.25% 4/15/2027 23,606
122,287 8.25% 6/15/2027 133,750
141,438 8.38% 10/15/2019 156,128
164,827 8.40% 2/15/2019 182,067
114,025 8.40% 4/15/2019 125,951
132,993 8.40% 6/15/2019 146,903
90,046 8.40% 9/15/2019 99,465
61,077 8.40% 9/15/2019 67,465
60,564 8.40% 2/15/2020 66,919
65,597 8.50% 12/15/2011 72,222
203,659 8.50% 1/15/2012 225,074
77,235 8.50% 4/15/2015 86,086
38,368 8.50% 4/15/2015 42,765
317,443 8.50% 9/15/2016 354,182
239,226 8.50% 1/15/2017 267,391
186,806 8.50% 12/15/2021 206,956
32,016 8.50% 2/15/2022 35,455
23,823 8.50% 7/20/2022 26,287
183,062 8.50% 10/20/2022 201,993
95,144 8.50% 9/20/2024 104,693
166,363 8.50% 3/20/2025 182,560
398,820 8.50% 12/20/2026 437,329
81,543 8.50% 8/15/2030 89,587
61,549 8.60% 5/15/2018 68,659
102,479 8.60% 6/15/2018 114,318
94,444 8.63% 10/15/2018 105,471
10,028 8.75% 5/15/2006 10,505
16,128 8.75% 5/15/2006 16,894
18,881 8.75% 10/15/2006 19,778
26,888 8.75% 11/15/2006 28,166
22,450 8.75% 2/15/2007 24,246
10,322 8.75% 3/15/2007 11,148
52,218 8.75% 11/15/2009 57,645
67,458 8.75% 6/15/2011 75,459
250,504 8.75% 11/15/2011 280,216
76,806 8.75% 12/15/2011 85,915
412 9.00% 10/15/2004 416
41,550 9.00% 4/15/2006 43,615
29,898 9.00% 4/15/2006 31,384
41,125 9.00% 5/15/2006 43,169
29,855 9.00% 5/15/2006 31,338
13,748 9.00% 6/15/2006 14,431
149,909 9.00% 6/15/2006 157,359
88,439 9.00% 7/15/2006 92,834
14,838 9.00% 10/15/2006 15,575
69,424 9.00% 10/15/2006 72,874
18
================================================================================
- ----------------------------------------------------------------------- [LOGO]
================================================================================
Par ($) Coupon Maturity Market Value ($)(1)
------- ------ -------- -------------------
13,140 9.00% 6/15/2007 14,229
36,538 9.00% 10/15/2007 39,565
39,501 9.00% 9/15/2008 42,602
14,344 9.00% 9/15/2008 15,470
17,774 9.00% 10/15/2008 19,170
17,419 9.00% 11/15/2008 18,786
42,629 9.00% 12/15/2008 45,976
6,698 9.00% 2/15/2009 7,294
4,360 9.00% 3/15/2009 4,748
33,391 9.00% 4/15/2009 36,430
16,684 9.00% 4/15/2009 18,169
8,922 9.00% 5/15/2009 9,716
30,095 9.00% 8/15/2009 32,834
38,276 9.00% 9/15/2009 41,761
17,892 9.00% 10/15/2009 19,485
31,190 9.00% 11/15/2009 34,559
14,754 9.00% 12/15/2009 16,097
190,011 9.00% 7/15/2010 208,530
47,447 9.00% 5/15/2011 53,309
163,800 9.00% 5/15/2011 184,040
110,452 9.00% 6/15/2011 124,099
142,936 9.00% 7/15/2011 160,597
99,124 9.00% 8/15/2011 108,880
111,530 9.00% 8/15/2011 125,311
121,468 9.00% 9/15/2011 136,477
114,873 9.00% 9/15/2011 129,066
82,659 9.00% 9/15/2011 92,872
87,973 9.00% 10/15/2011 98,843
52,165 9.00% 1/15/2012 58,875
53,898 9.00% 5/20/2015 60,212
197,358 9.00% 7/15/2015 221,267
39,288 9.00% 8/15/2015 44,047
150,554 9.00% 12/20/2015 168,190
25,950 9.00% 5/20/2016 29,057
29,276 9.00% 7/20/2016 32,782
235,880 9.00% 1/15/2017 270,073
18,170 9.00% 3/20/2017 20,385
672,803 9.00% 6/15/2017 770,329
543,632 9.00% 7/15/2017 622,434
420,053 9.00% 8/20/2017 471,262
54,854 9.00% 5/15/2018 60,633
10,869 9.00% 12/15/2019 12,247
403,548 9.00% 12/15/2019 454,721
5,063 9.00% 7/20/2021 5,696
6,129 9.00% 10/20/2021 6,895
507,454 9.00% 11/15/2024 572,061
59,768 9.00% 2/20/2025 67,036
75,334 9.00% 7/20/2025 84,495
248,964 9.00% 4/15/2026 280,624
25,442 9.10% 5/15/2018 28,582
5,677 9.25% 3/15/2005 5,845
135,417 9.25% 11/15/2009 151,398
51,187 9.25% 1/15/2010 57,726
44,793 9.25% 4/15/2010 50,515
56,373 9.25% 11/15/2010 63,574
110,776 9.25% 11/15/2011 125,502
26,343 9.25% 4/15/2012 29,961
18,038 9.25% 9/15/2016 20,224
4,828 9.25% 2/20/2017 5,402
56,504 9.25% 7/20/2017 63,214
166 9.50% 1/20/2005 170
1,091 9.50% 3/15/2005 1,125
9,959 9.50% 1/15/2006 10,502
23,410 9.50% 7/15/2009 25,696
43,357 9.50% 8/15/2009 47,591
19,066 9.50% 8/15/2009 20,928
43,475 9.50% 9/15/2009 47,586
31,022 9.50% 9/15/2009 34,051
18,490 9.50% 9/15/2009 20,295
4,588 9.50% 10/15/2009 5,036
20,406 9.50% 10/15/2009 22,399
26,806 9.50% 10/15/2009 29,424
9,262 9.50% 10/15/2009 10,138
16,115 9.50% 10/15/2009 17,689
69,402 9.50% 10/15/2009 75,964
171,577 9.50% 10/15/2009 187,799
17,382 9.50% 10/15/2009 19,080
53,983 9.50% 11/15/2009 60,577
115,534 9.50% 1/15/2010 130,824
43,717 9.50% 2/15/2010 48,297
134,165 9.50% 4/15/2010 147,773
35,205 9.50% 8/15/2010 39,864
69,073 9.50% 11/15/2010 78,215
28,215 9.50% 1/15/2011 32,105
130,096 9.50% 3/15/2011 148,031
17,119 9.50% 3/20/2016 19,282
15,609 9.50% 6/15/2016 17,643
46,382 9.50% 10/15/2016 52,428
77,963 9.50% 10/15/2016 88,126
28,809 9.50% 11/15/2016 32,564
40,103 9.50% 11/15/2016 45,331
49,037 9.50% 11/20/2016 55,233
17,096 9.50% 1/15/2017 19,356
21,950 9.50% 4/15/2017 24,852
47,033 9.50% 8/15/2017 53,251
4,431 9.50% 8/20/2017 4,999
See accompanying notes to portfolios of investments on page 62.
19
================================================================================
Sit U.S. Government Securities Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
Par ($) Coupon Maturity Market Value ($)(1)
------- ------ -------- -------------------
19,710 9.50% 9/15/2017 22,316
31,335 9.50% 9/15/2017 35,478
111,117 9.50% 12/15/2017 125,580
229,778 9.50% 12/15/2017 259,593
105,679 9.50% 12/15/2017 119,303
33,127 9.50% 12/15/2017 37,445
6,921 9.50% 12/20/2017 7,809
6,505 9.50% 4/15/2018 7,374
10,816 9.50% 4/20/2018 12,217
3,329 9.50% 5/20/2018 3,760
178,624 9.50% 6/15/2018 202,474
84,908 9.50% 6/20/2018 95,905
33,861 9.50% 7/20/2018 38,247
13,718 9.50% 8/15/2018 15,549
35,505 9.50% 8/20/2018 40,103
71,282 9.50% 9/15/2018 80,800
50,047 9.50% 9/15/2018 56,729
258,362 9.50% 9/20/2018 291,825
13,648 9.50% 9/20/2018 15,416
81,739 9.50% 9/20/2018 92,325
49,059 9.50% 10/15/2018 55,494
18,788 9.50% 1/15/2019 21,303
29,245 9.50% 4/15/2019 33,159
12,020 9.50% 8/15/2019 13,629
109,704 9.50% 8/20/2019 123,945
31,806 9.50% 9/15/2019 36,061
8,191 9.50% 10/20/2019 9,255
29,425 9.50% 12/15/2019 33,362
8,326 9.50% 1/15/2020 9,444
10,538 9.50% 10/15/2020 11,954
15,362 9.50% 1/15/2021 17,437
13,947 9.50% 2/15/2021 15,831
56,290 9.50% 8/15/2021 63,892
397,204 9.50% 8/15/2022 451,041
18,438 9.75% 6/15/2005 19,021
5,671 9.75% 6/15/2005 5,850
15,746 9.75% 8/15/2005 16,245
11,564 9.75% 9/15/2005 11,930
12,959 9.75% 1/15/2006 13,686
15,816 9.75% 2/15/2006 16,704
116,029 9.75% 8/15/2009 129,528
64,265 9.75% 9/15/2009 71,742
198,946 9.75% 8/15/2010 223,340
63,646 9.75% 11/15/2010 71,450
280,713 9.75% 12/15/2010 315,133
120,423 9.75% 1/15/2011 135,771
288,014 9.75% 1/15/2011 324,721
22,225 9.75% 10/15/2012 25,130
46,312 9.75% 10/15/2012 52,365
22,753 9.75% 10/15/2012 25,727
64,513 9.75% 11/15/2012 72,946
31,737 9.75% 11/15/2012 35,886
47,046 9.75% 11/15/2012 53,195
54,342 9.75% 11/15/2012 61,444
13,724 9.75% 12/15/2012 15,518
31,623 9.75% 4/15/2018 35,246
15,453 10.00% 7/15/2005 15,959
42,399 10.00% 7/15/2005 43,787
69,860 10.00% 11/15/2008 77,647
2,182 10.00% 11/15/2009 2,392
99,985 10.00% 6/15/2010 112,695
6,327 10.00% 6/15/2010 7,131
34,542 10.00% 7/15/2010 38,933
12,444 10.00% 7/15/2010 14,026
17,610 10.00% 10/15/2010 19,848
138,739 10.00% 11/15/2010 156,376
14,606 10.00% 1/15/2011 16,539
35,722 10.00% 3/20/2016 39,887
20,192 10.00% 11/15/2017 22,660
34,564 10.00% 2/15/2019 38,889
35,633 10.00% 2/20/2019 39,949
53,586 10.00% 3/20/2019 60,077
25,247 10.00% 5/15/2019 28,406
42,324 10.00% 5/20/2019 47,451
319,873 10.00% 10/15/2019 367,747
46,180 10.00% 11/15/2019 51,959
9,203 10.00% 7/15/2020 10,363
33,784 10.00% 12/15/2020 38,044
124,476 10.00% 6/15/2021 140,272
41,718 10.00% 10/15/2030 46,997
23,219 10.25% 7/15/2005 24,013
44,355 10.25% 5/15/2009 49,278
34,337 10.25% 11/15/2011 38,554
46,942 10.25% 1/15/2012 52,883
5,103 10.25% 2/15/2012 5,749
40,501 10.25% 2/15/2012 45,627
20,179 10.25% 7/15/2012 22,733
43,891 10.50% 6/15/2009 48,941
9,393 10.50% 7/15/2010 10,545
10,893 10.50% 9/15/2015 12,276
14,177 10.50% 11/15/2015 15,977
5,458 10.50% 3/15/2016 6,162
25,217 10.50% 12/15/2016 28,473
30,755 10.50% 8/20/2017 34,652
56,706 10.50% 11/15/2018 64,199
89,034 10.50% 6/15/2019 100,918
20
================================================================================
- ----------------------------------------------------------------------- [LOGO]
================================================================================
Par ($) Coupon Maturity Market Value ($)(1)
------- ------ -------- -------------------
410,363 10.50% 2/15/2020 464,259
278,117 10.50% 8/15/2021 319,257
5,054 10.75% 9/15/2005 5,238
19,757 10.75% 8/15/2006 21,058
10,484 10.75% 1/15/2010 11,782
1,869 10.75% 7/15/2011 2,110
14,622 10.75% 8/15/2011 16,514
79,816 11.00% 1/15/2010 89,069
83,935 11.00% 1/15/2010 93,665
92,842 11.00% 1/15/2010 103,606
44,175 11.00% 3/15/2010 49,296
13,480 11.00% 6/15/2010 15,043
74,698 11.00% 9/15/2010 83,358
9,960 11.25% 9/15/2005 10,345
11,833 11.25% 10/15/2005 12,291
66,493 11.25% 6/15/2010 75,340
6,803 11.25% 9/15/2010 7,708
63,096 11.25% 9/15/2010 71,491
9,999 11.25% 2/15/2011 11,394
9,009 11.25% 2/15/2011 10,265
27,035 11.25% 3/15/2011 30,806
18,899 11.25% 3/15/2011 21,536
57,511 11.25% 4/15/2011 65,533
32,875 11.25% 5/15/2011 37,461
39,134 11.25% 7/15/2011 44,593
8,638 11.25% 7/15/2011 9,843
31,472 11.25% 7/15/2011 35,862
54,385 11.25% 9/15/2011 61,971
20,852 11.25% 10/15/2011 23,760
7,383 11.25% 11/15/2011 8,412
-----------------
41,661,332
-----------------
Total mortgage pass-through securities 172,381,046
(cost: $169,294,313) -----------------
- --------------------------------------------------------------------------------
QUANTITY NAME OF ISSUER MARKET VALUE ($)(1)
- --------------------------------------------------------------------------------
TAXABLE MUNICIPAL SECURITIES (0.9%) (2)
243,000 Bernalillo Multifamily Rev. Series
1998A, 7.50%, 9/20/20 267,881
1,145,000 Boone County Hsg. Series
1999B, 6.95%, 12/20/16 1,262,282
70,000 Cuyahoga County Multifamily Rev.
Series 2000B, 7.00%, 1/20/08 76,391
45,000 Dakota Multifamily Rev. Series
1999A, 6.50%, 12/20/05 45,842
140,000 Louisiana Comm. Dev. Auth Rev.
Series 2002B, 5.25%, 12/20/07 143,695
445,000 Maplewood Multifamily Rev.
Series 1998B, 6.75%, 7/20/15 474,788
135,000 Nortex Multifamily Rev. Series
1999T, 6.50%, 3/20/06 139,429
-----------------
Total taxable municipal securities 2,410,308
(cost: $2,346,133) -----------------
U.S. TREASURY / FEDERAL AGENCY SECURITIES (7.5%) (2)
291,000 Ensco Offshore Co., 4.65%, 10/15/20 292,420
Federal Home Loan Bank:
5,000,000 2.50%, 6/30/09 4,956,365
2,170,000 5.62%, 8/6/18 2,168,210
40,300,000 U.S. Treasury Strips, Zero Coupon,
4.80% Effective Yield, 11/15/27 12,131,912
-----------------
Total U.S. Treasury / Federal Agency securities 19,548,907
(cost: $18,818,824) -----------------
COLLATERALIZED MORTGAGE OBLIGATIONS (24.2%) (2)
FEDERAL HOME LOAN MORTGAGE CORP.:
Par ($) Coupon Maturity
------- ------ --------
6,708,777 3.25% 4/15/2032 6,600,893
803,684 4.00% 12/15/2032 807,713
573,157 5.00% 4/15/2018 577,687
889,561 7.50% 6/15/2017 961,768
41,267 7.75% 3/18/2025 43,970
79,632 9.15% 10/15/2020 83,466
See accompanying notes to portfolios of investments on page 62.
21
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Sit U.S. Government Securities Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
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- --------------------------------------------------------------------------------
QUANTITY NAME OF ISSUER MARKET VALUE ($)(1)
- --------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION:
Par ($) Coupon Maturity
------- ------ --------
5,023,469 3.50% 2/25/2033 4,799,532
2,572,507 4.00% 11/25/2032 2,580,695
388,547 4.00% 1/25/2033 386,478
2,961,677 4.00% 3/25/2033 2,882,772
397,374 5.00% 8/25/2022 401,281
181,338 7.00% 1/25/2021 189,525
1,095,803 7.00% 1/25/2022 1,151,326
96,692 7.70% 3/25/2023 104,478
438,082 8.00% 7/25/2022 467,140
223,586 8.20% 4/25/2025 243,508
75,955 8.50% 1/25/2021 81,786
124,829 8.50% 4/25/2021 133,407
696,518 8.50% 9/25/2021 759,613
201,621 8.50% 1/25/2025 219,456
168,030 8.75% 9/25/2020 179,953
342,758 8.95% 10/25/2020 379,344
987,595 9.00% 7/25/2019 1,087,442
789,164 9.00% 12/25/2019 872,387
239,321 9.00% 5/25/2020 257,424
136,728 9.00% 6/25/2020 151,381
392,739 9.00% 6/25/2020 430,597
48,779 9.00% 7/25/2020 53,777
384,731 9.00% 9/25/2020 425,948
222,055 9.00% 10/25/2020 244,785
435,763 9.00% 3/1/2024 460,587
2,137,529 9.00% 11/25/2028 2,360,118
313,190 9.25% 1/25/2020 347,775
292,575 9.50% 12/25/2018 326,830
622,668 9.50% 3/25/2020 697,782
137,048 9.50% 4/25/2020 147,582
385,834 9.50% 5/25/2020 429,920
445,743 9.50% 11/25/2020 498,621
725,584 9.60% 3/25/2020 811,986
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION:
Par ($) Coupon Maturity
------- ------ --------
1,365,342 4.00% 10/17/2029 1,347,990
2,899,439 4.50% 2/20/2030 2,908,377
2,000,000 5.00% 5/16/2030 2,006,371
601,340 6.00% 4/16/2028 604,630
12,059 7.00% 3/20/2030 12,034
VENDEE MORTGAGE TRUST:
Par ($) Coupon Maturity
------- ------ --------
1,000,000 5.00% 8/15/2028 1,021,239
1,000,000 5.00% 7/15/2030 1,001,790
173,845 5.63% 2/15/2024 178,306
2,000,000 6.00% 4/15/2027 2,106,617
2,000,000 6.00% 2/15/2030 2,096,415
250,000 6.50% 10/15/2025 255,764
7,521,729 6.50% 12/15/2028 8,021,312
5,000,000 7.00% 9/15/2027 5,263,162
1,942,017 7.50% 11/15/2014 1,985,619
772,145 8.29% 12/15/2026 818,953
-----------------
Total collateralized mortgage obligations 63,269,312
(cost: $63,056,952) -----------------
SHORT-TERM SECURITIES (2.8%) (2)
1,500,000 FHLMC, 1.70%, 10/5/04 1,499,717
3,000,000 FNMA, 1.70%, 10/4/04 2,999,575
2,925,901 Dreyfus Cash Mgmt. Fund, 1.43% 2,925,901
-----------------
Total short-term securities 7,425,193
(cost: $7,425,193) -----------------
Total investments in securities
(cost: $260,941,415) (7) $265,034,766
=================
See accompanying notes to portfolios of investments on page 62.
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23
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Sit Tax-Free Income Fund
SIX MONTHS ENDED SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
SENIOR PORTFOLIO MANAGERS
MICHAEL C. BRILLEY - DEBRA A. SIT, CFA - PAUL J. JUNGQUIST, CFA
================================================================================
The Sit Tax Free Income Fund returned +1.49% for the six months ended
September 30, 2004 compared with a return of +0.62% for the Lehman 5-Year
Municipal Bond Index. The Fund's 30-day SEC yield was 4.41% as of September 30th
and its 12-month distribution rate was 4.05%. The Fund's taxable equivalent
yield is 6.78% for investors in the highest federal tax bracket.
The Fund's implied duration is 3.9 years which is identical to its level
one year ago. The Fund's shorter duration was a positive factor in the April
through June period. Bond yields rose sharply in April and May in anticipation
of a shift to a less accommodative monetary policy. Indeed, the Federal Reserve
began a series of short-term rate increases on June 30th in response to strong
economic growth. As economic growth moderated, bond yields declined somewhat
from June through September, although they remained at higher levels than at the
end of March.
The five largest market sectors in which the Fund invests, and which
account for more than 80% of the Fund's assets, each earned returns more than 1%
higher than the Lehman 5-Year Municipal Bond Index returns during the six month
period. Three sectors, including general obligation bonds, closed-end mutual
funds and escrowed to maturity bonds earned lower returns than the Index, but
represent less than 3% of the Fund's holdings. The Fund sold the remainder of
its holding of bonds backed by the National Benevolent Association which
declared bankruptcy during the first quarter of 2004. These bonds were sold at
an average price of $87.19 which is approximately 50% above the market value
twelve months earlier.
We expect moderate economic growth at an annual rate of about +3.5%
through 2005. This sustained growth is expected to prompt the Federal Reserve to
further increase the federal funds rate to the 2% level by the end of 2004, and
to the 3% to 3.5% level by the end of 2005. The Fund's relatively short duration
will provide for substantial reinvestment opportunities at higher yield levels
in longer duration bonds in 2005.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
- --------------------------------------------------------------------------------
The objective of the Tax-Free Income Fund is to provide a high level of
current income that is exempt from federal income tax, consistent with
preservation of capital, by investing primarily in investment-grade municipal
securities.
Such municipal securities generate interest income that is exempt from
both regular federal income tax and federal alternative minimum tax. During
normal market conditions, the Fund invests 100% of its net assets in such
tax-exempt municipal securities.
- --------------------------------------------------------------------------------
PORTFOLIO SUMMARY
- --------------------------------------------------------------------------------
Net Asset Value 9/30/04: $9.85 Per Share
3/31/04: $9.90 Per Share
Total Net Assets: $335.9 Million
30-day SEC Yield: 4.41%
Tax Equivalent Yield: 6.78%(1)
12-Month Distribution Rate: 4.05%
Average Maturity: 12.6 Years
Duration to Estimated Avg. Life: 3.6 Years(2)
Implied Duration: 3.9 Years(2)
(1) For individuals in the 35.0% federal tax bracket.
(2) See next page.
- --------------------------------------------------------------------------------
PORTFOLIO STRUCTURE
(% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
[BAR CHART]
Multifamily Mortgage 20.0
Hospital/Health Care Revenue 19.0
Insured 17.8
Industrial/Pollution Control 12.2
Other Revenue 11.1
Sectors less than 5.0% 16.5
Cash & Other Net Assets 3.4
24
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AVERAGE ANNUAL TOTAL RETURNS*
- --------------------------------------------------------------------------------
SIT LIPPER
TAX-FREE LEHMAN GENERAL
INCOME 5-YEAR MUNI. MUNI. BOND
FUND BOND INDEX FUND INDEX
-------- ------------ ----------
3 Month** 2.06% 2.83% 3.71%
6 Month** 1.49 0.62 n/a
1 Year 4.23 2.04 4.39
5 Year 4.82 5.82 6.05
10 Year 5.56 5.71 6.07
Inception 6.25 6.31 6.70
(9/29/88)
- --------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURNS*
- --------------------------------------------------------------------------------
SIT LIPPER
TAX-FREE LEHMAN GENERAL
INCOME 5-YEAR MUNI. MUNI. BOND
FUND BOND INDEX FUND INDEX
-------- ------------ ----------
1 Year 4.23% 2.04% 4.39%
5 Year 26.53 32.67 34.14
10 Year 71.74 74.26 80.31
Inception 163.92 166.43 182.65
(9/29/88)
*AS OF 9/30/04. **NOT ANNUALIZED.
- --------------------------------------------------------------------------------
PERFORMANCE FIGURES ARE HISTORICAL AND DO NOT GUARANTEE FUTURE RESULTS.
INVESTMENT RETURNS AND PRINCIPAL VALUE WILL VARY, AND YOU MAY HAVE A GAIN OR
LOSS WHEN YOU SELL SHARES. AVERAGE ANNUAL TOTAL RETURNS INCLUDE CHANGES IN SHARE
PRICE AS WELL AS REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAINS. MANAGEMENT
FEES AND ADMINISTRATIVE EXPENSES ARE INCLUDED IN THE FUND'S PERFORMANCE;
HOWEVER, FEES AND EXPENSES ARE NOT INCORPORATED IN THE LEHMAN 5-YEAR MUNI. BOND
INDEX. THE LIPPER AVERAGES AND INDICES ARE OBTAINED FROM LIPPER ANALYTICAL
SERVICES, INC., A LARGE INDEPENDENT EVALUATOR OF MUTUAL FUNDS.
(2) Duration is a measure which reflects estimated price sensitivity to a given
change in interest rates. For example, for an interest rate change of 1%, a
portfolio with a duration of 5 years would be expected to experience a price
change of 5%. Estimated average life duration is based on current interest rates
and the Adviser's assumptions regarding the expected average life of individual
securities held in the portfolio. Implied duration is calculated based on
historical price changes of securities held by the Fund. The Adviser believes
that the portfolio's implied duration is a more accurate estimate of price
sensitivity provided interest rates remain within their historical range. If
interest rates exceed the historical range, the estimated average life duration
may be a more accurate estimate of price sensitivity.
- --------------------------------------------------------------------------------
GROWTH OF $10,000
- --------------------------------------------------------------------------------
[FLOW CHART]
The sum of $10,000 invested at inception (9/29/88) and held until 9/30/04 would
have grown to $26,392 in the Fund or $26,643 in the Lehman 5-Year Municipal Bond
Index assuming reinvestment of all dividends and capital gains.
- --------------------------------------------------------------------------------
QUALITY RATINGS
(% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
[PIE CHART]
Other Assets
and Liabilities
3.4%
AAA
26.4%
BBB
32.5%
AA
5.2%
Less Than
BBB
3.4%
A
29.1%
LOWER OF MOODY'S, S&P, FITCH OR DUFF & PHELPS RATINGS USED.
25
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Sit Tax-Free Income Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (96.4%) (2)
ALABAMA (0.8%)
500,000 Birmingham Baptist Med. Ctr. Special Care Facs. Financing Auth. Rev. Series 1993A,
(Baptist Med. Ctr. Proj.)(MBIA insured), 5.50%, 8/15/23 505,530
435,000 Cullman Med. Park South Med. Clinic Board Rev. Series 1993A (Cullman Regional
Medical Center Proj.), 6.50%, 2/15/13 436,866
Montgomery Med. Clinic Board Hlth. Care Fac. Rev. Series 1991:
530,000 7.00%, 3/1/15 531,214
225,000 7.375%, 3/1/06 225,666
990,000 Oxford Public Park and Rec Board Rev. Series 2001 (ACA insured), 6.00%, 12/1/21 1,061,993
--------------
2,761,269
--------------
ALASKA (2.7%)
12,505,000 Alaska HFC Gen. Mtg. Rev. 1997 Series A, Zero Coupon, 6.15% Effective Yield on Purchase Date, 12/1/17 5,943,126
Northern Alaska Tobacco Securitization Corp. Asset-Backed Rev.:
2,240,000 Series 2000, 6.20%, 6/1/22 2,242,195
1,060,000 Series 2001, 4.75%, 6/1/15 1,039,171
--------------
9,224,492
--------------
ARIZONA (1.1%)
230,000 Bullhead City Special Assessment Impt. Dist. Series 1993 (Bullhead Pkwy. Proj.), 6.10%, 1/1/10 233,892
500,000 Maricopa Co. Industrial Dev. Auth. Educ. Rev. Series 2000A (Arizona Charter Schools Proj. I),
6.50%, 7/1/12 504,475
640,000 Phoenix Indus. Dev. Auth. Rev. Refunding Series 1995A (Christian Care Apts. Proj.), 6.25%, 1/1/16 670,016
700,000 Phoenix Street & Hwy. User Rev. Refunding Jr. Lien Series 1992, 6.25%, 7/1/11 721,343
Pima Co. Industrial Dev. Auth. Educ. Rev.:
145,000 Series 2004I (AZ Charter Schools Proj.), 5.00%, 7/1/12 145,915
250,000 Series 2004A (Noah Webster Basic School Proj.), 5.25%, 12/15/16 244,040
1,250,000 Salt River Proj. Agric. Impt. & Pwr. Dist. Elec. Sys. Rev. Refunding Series 1993C, 4.90%, 1/1/08 1,278,112
--------------
3,797,793
--------------
ARKANSAS (0.8%)
59,453 Drew Co. Public Fac. Bd. Single Family Mtg. Rev. Refunding Series 1993-A2
(FNMA backed), 7.90%, 8/1/11 60,815
13,110 Jacksonville Res. Hsg. Fac. Bd. Single Family Mtg. Rev. Refunding Series 1993B, 7.75%, 1/1/11 13,338
1,015,000 Maumelle HDC First Lien Rev. Refunding 1992 Series A (Section 8), 7.875%, 7/1/09 1,016,868
North Little Rock Hlth. Facs. Bd. Health Care Rev. Series 2001 (Baptist Health Proj.):
555,000 5.00%, 7/1/06 579,603
300,000 5.00%, 7/1/07 318,339
490,000 5.00%, 7/1/08 524,516
20,000 Rogers Sales & Use Tax Rev. Series 1996, 5.35%, 11/1/11 20,065
--------------
2,533,544
--------------
CALIFORNIA (7.6%)
300,000 ABAG Fin. Auth. For Nonprofit Corp. Rev Series 2002 (Redwood Sr. Homes & Svcs.
Proj.), 4.10%, 11/15/07 307,896
750,000 Bay Area Govt. Assoc. Tax Allocation Rev. Series 1994A (FSA insured), 6.00%, 12/15/14 771,517
1,000,000 Bell Cmty. Hsg. Auth. Rev. Series 1995A (Mobilehomes Park Acquisition Proj.), 6.40%, 10/1/15 1,031,860
4,575,000 CA Co. Tobacco Securitization Agy. Asset-Backed Rev. Series 2002 (Alameda Co.), 4.75%, 6/1/19 4,594,856
950,000 CA Cmnty. College Fin. Auth. Student Hsg. Rev. Series 2003A (Feather River Cmnty. District Proj.),
4.625%, 7/1/13 959,272
500,000 CA Dept. Water Resources Rev. Series 1972 (Central Valley Proj.), 5.25%, 7/1/22 500,745
26
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
495,000 CA Govt. Fin. Auth. Lease Rev. Series 2003A (Placer Co. Transportation Proj.), 6.00%, 12/1/28 493,698
1,800,000 CA Public Works Board Lease Rev. Series 1996A (Dept. of Corrections Proj.), 5.50%, 1/1/17 1,907,730
CA Public Works Board Lease Rev. Series 1993A (Various CA State Univ. Proj.):
130,000 4.90%, 12/1/04 130,681
300,000 5.25%, 12/1/13 (5) 306,783
235,000 Garden Grove C.O.P Series 1993 (Bahia Village/Emerald Isle Proj.)(FSA insured), 5.70%, 8/1/23 238,043
500,000 Golden State Tobacco Securitization Corp. Tobacco Settlement Asset-Backed Rev.
Enhanced Series 2003B, 5.25%, 6/1/16 504,625
165,000 Loma Linda Hosp. Rev. Refunding Series 1993C (Loma Linda Univ. Med. Ctr.)(MBIA insured), 5.375%, 12/1/22 169,988
400,000 Los Angeles Water & Power Rev. Series 2001A-A3, 5.25%, 7/1/18 416,388
3,175,000 Northern CA Power Agy. Rev. Series 1987A, 5.00%, 7/1/09 3,179,794
175,000 Northern CA Tobacco Securitization Auth. Asset-Backed Senior Rev. Series 2001B, 4.375%, 6/1/21 176,452
500,000 Oceanside C.O.P. Refunding Series 1995 (Oceanside Civic Ctr. Proj.)(MBIA insured), 5.25%, 8/1/19 522,460
850,000 Orange Co. Recovery C.O.P Series 1996A (MBIA insured), 6.00%, 7/1/26 919,020
1,000,000 Rancho Cucamonga Redev. Agy. Tax Allocation Series 1996 (MBIA insured), 5.25%, 9/1/16 1,072,570
Ridgecrest Refunding C.O.P. Series 1999 (Ridgecrest Civic Center Proj.):
275,000 5.55%, 3/1/09 300,055
290,000 5.65%, 3/1/10 315,813
350,000 6.00%, 3/1/14 376,516
500,000 Sacramento Pwr. Auth. Rev. Series 1995 (Cogeneration Proj.) (MBIA insured), 6.00%, 7/1/22 544,200
2,500,000 Sacramento District Fing. Auth. Rev. Series 2000A, 5.875%, 12/1/27 2,637,450
100,000 San Jose Redev. Agy. Tax Alloc. Series 1993 (Merged Area Redev. Proj.)(MBIA insured), 5.00%, 8/1/20 101,049
1,000,000 South Tahoe Powers Fin. Auth. Rev. Refunding Series 1995B, 6.00%, 10/1/28 1,051,180
Southern CA Tobacco Securitization Auth. Asset-Backed Senior Rev:
1,340,000 Series 2001B, 6.00%, 5/15/22 1,274,233
820,000 Series 2002A, 5.25%, 6/1/27 811,792
--------------
25,616,666
--------------
COLORADO (2.6%)
320,000 CO Educ. & Cultural Fac. Rev. Refunding Series 2003C (Cheyenne Mtn. Charter Sch. Proj.),
4.625%, 6/15/12 312,979
1,250,000 CO Hlth. Fac. Auth. Rev. Series 1995 (Covenant Retirement Cmty. Proj.), 6.75%, 12/1/15 1,310,463
CO HFA Single Family Program Senior Series:
175,000 1996B-2, 7.45%, 11/1/27 175,648
130,000 1997B-3, 6.80%, 11/1/28 132,802
2,550,000 CO Hlth. Fac. Auth. Rev. Refunding & Impt. Hosp. Series 1995 (Parkview Proj.), 6.125%, 9/1/25 2,642,565
CO Hlth. Fac. Auth. Rev.:
250,000 Series 1995 (Covenant Retirement Cmntys. Proj.), 6.20%, 12/1/07 260,540
1,000,000 Series 2000 (Evangelical Lutheran Proj.), 6.25%, 12/1/10 1,132,200
1,500,000 Series 2002 (Evangelical Lutheran Proj.), 5.90%, 10/1/27 1,573,425
400,000 CO Hlth. Fac. Auth. Rev. Series 2000A (Porter Place Proj.) (GNMA collateralized), 5.10%, 1/20/11 433,364
600,000 Denver Hsg. Corp. Multifamily Rev. Refunding Series 1997A (Section 8), 5.35%, 10/1/12 623,712
200,000 Denver Hlth. & Hosp. Auth. Rev Series 2001A, 5.00%, 12/1/04 200,948
55,000 Thornton Single Family Mtg. Rev. Refunding 1992 Series A, 8.05%, 8/1/09 55,034
--------------
8,853,680
--------------
See accompanying notes to portfolios of investments on page 62.
27
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Sit Tax-Free Income Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
CONNECTICUT (0.9%)
700,000 Bristol Res. Recovery Fac. Operating Committee Solid Waste Rev. Refunding Series 1995
(Ogden Martin Sys. Proj.), 6.50%, 7/1/14 734,405
750,000 CT Airport Rev. Series 1992 (FGIC insured), 7.65%, 10/1/12 750,128
60,000 CT Hlth. & Educ. Fac. Auth. Rev. Series 1993A (Griffin Hosp. Proj.), 6.00%, 7/1/13 60,611
1,850,000 Mashantucket Western Pequot Tribe Subordinated Special Rev. Series 1999B, Zero Coupon,
5.05% Effective Yield on Purchase Date, 9/1/09 1,523,956
--------------
3,069,100
--------------
DELAWARE (0.1%)
250,000 DE Hlth. Facs. Auth. Rev. Refunding Series 2004A (Beebe Med. Ctr. Proj.), 5.00%, 6/1/05 254,430
--------------
FLORIDA (3.4%)
600,000 Capital Trust Agy. Multifamily Rev. Sr. Series 2003A (Golf Villas, Rivermill, and Village Square
Apts. Proj.), 4.75%, 6/1/13 575,646
1,725,000 Collier Co. Health Fac. Auth. Rev. Refunding Series 1994 (Moorings, Inc. Proj.), 7.00%, 12/1/19 1,773,438
650,000 Collier Co. HFA Multifamily Hsg. Rev. Series 2002C (Goodlette Arms Proj.), 5.25%, 8/15/15 691,171
385,000 Dade Co. Hlth. Fac. Auth. Hosp. Rev. Refunding Series 1993A (Baptist Hosp. Miami Proj.)
(MBIA insured), 5.25%, 5/15/21 387,710
125,000 Dunes Cmnty. Dev. Dist. Rev. Refunding Series 1993 (Intracoastal Waterway Bridge Proj.), 5.50%,
10/1/07 126,263
1,750,000 Escambia Hlth. Facs. Auth. Rev. Series 2000 (FL Hlth. Care Fac. Loan Pgm.) (Ambac insured),
5.95%, 7/1/20 1,799,088
750,000 FL HFC Hsg. Rev. Hsg. Series 2000D-1 (Augustine Club Apts. Proj.)(MBIA insured), 5.75%, 10/1/30 785,723
1,000,000 Highlands Co. Hlth. Fac. Auth. Rev. Series 2002 (Adventist Health Sys./Sunbelt Proj.), 3.35%, 11/15/32 1,012,460
100,000 Jacksonville Elec. Auth Water & Sewer Rev. Series 2000A (MBIA-IBC insured), 5.30%, 10/1/30 103,686
545,000 Lee Co. Indus. Dev. Auth. Hlth. Care Fac. Rev. Series 1999A (ShellPoint Village Proj.), 5.50%,
11/15/08: 581,324
585,000 Marion Co. Hosp. Dist. Rev. Refunding Series 1999 (Munroe Regl. Med. Ctr. Proj), 5.25%, 10/1/10 627,389
370,000 Miami-Dade Co. Special Hsg. Rev. Refunding Series 1998 (Section 8), 5.30%, 10/1/05 368,468
200,000 Palm Beach Co. Hlth. Fac. Auth. Rev. Refunding Series 2003 (Abbey Delray South Proj.), 5.15%, 10/1/12 204,540
1,355,000 Port Everglades Auth. Rev. Refunding Series 1989A (FSA insured), 5.00%, 9/1/16 1,367,778
South Lake Co. Hosp. Dist. Rev. Series 2003 (South Lake Hosp. Inc.):
420,000 4.25%, 10/1/08 423,230
700,000 5.50%, 10/1/13 721,182
--------------
11,549,096
--------------
GEORGIA (0.2%)
500,000 Private Colleges & Univ. Auth. Rev. Refunding Series 1999A (Mercer Univ. Proj.), 5.25%, 10/1/14 522,735
--------------
HAWAII (0.4%)
1,160,000 Honolulu Mtg. Rev. Ref. Series 1996A (Hale-Pauahi Proj.)(FHA insured)(MBIA insured), 6.80%, 7/1/28 1,188,188
--------------
ILLINOIS (12.8%)
Broadview Village of Cook Co. Tax Increment Rev. Series 1999:
750,000 4.90%, 7/1/06 770,468
1,410,000 5.00%, 7/1/07 1,455,614
1,085,000 5.05%, 7/1/08 1,131,188
2,030,000 5.10%, 7/1/09 2,129,247
28
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
Chicago Gas Supply Rev. Refunding (People's Gas, Light, & Coke Co. Proj.):
1,500,000 Series 1995A, 6.10%, 6/1/25 1,564,335
2,500,000 Series 1995A (Ambac insured), 6.10%, 6/1/25 2,614,500
805,000 Series 2000B, 4.75%, 3/1/30 833,755
450,000 Chicago Metro Hsg. Dev. Corp. Mtg. Rev. Refunding Series 1992A (FHA insured) (Section 8),
6.85%, 7/1/22 455,742
375,000 Collinsville (City of) Madison Co. Industrial Dev. Rev. Refunding (Drury Inn-Collinsville Proj.)
Series 1993, 6.00%, 11/1/04 374,775
450,000 IL DFA Rev. Series 2002A (Chicago Charter School Fdn. Proj.), 5.25%, 12/1/12 454,730
500,000 IL DFA Pollution Ctrl. Rev. Refunding Series 1993B2 (Central IL Public Svc. Co. Proj.)
(MBIA insured), 5.90%, 6/1/28 502,840
IL DFA Pollution Ctrl. Rev. Refunding:
1,010,000 Series 1993C2 (Public Svc. Co. Proj.), 5.70%, 8/15/26 1,022,564
2,500,000 Series 2000A (Ameren CIPS Proj.), 5.50%, 3/1/14 2,580,875
1,250,000 Series 1993C1 (Central IL Pub. Svc. Co.), 5.95%, 8/15/26 1,283,125
IL DFA Refunding & New Money Rev. (Cmty. Rehab. Providers Fac. Acquisition Program):
1,740,000 Series 1997A, 5.80%, 7/1/08 1,825,486
300,000 Series 1997A, 5.90%, 7/1/09 314,217
4,610,000 Series 1997A, 6.00%, 7/1/15 4,770,612
1,200,000 Series 1997C, 5.65%, 7/1/19 1,219,884
400,000 Series 1998A, 5.00%, 7/1/06 411,124
655,000 Series 1998A, 5.50%, 7/1/12 679,432
100,000 Series 1998A, 5.70%, 7/1/19 101,902
1,000,000 IL Educ. Fac. Auth. Rev. Series 1998 (Augustana College Proj.), 5.00%, 10/1/13 1,091,470
90,000 IL HDA Multifamily Rev. Series 1994-5 (Section 8), 6.75%, 9/1/23 92,001
IL Hlth. Fac. Auth. Rev.:
1,405,000 Refunding Series 1992 (Galesburg Cottage Hosp. Proj.)(Radian insured), 6.25%, 5/1/11 1,405,183
500,000 Series 1993 (Rush-Presbyterian-St. Lukes Proj.), 5.50%, 11/15/25 511,005
1,250,000 Refunding Series 1994 (Passavant Memorial Area Hospital Assn.) (MBIA insured), 5.95%, 10/1/11 1,383,163
207,000 Refunding Series 1994 (Friendship Village of Schaumberg Proj.), 6.25%, 12/1/04 207,441
2,575,000 Refunding Series 1993A (Edward Hosp. Proj.), 6.00%, 2/15/19 2,634,663
250,000 Refunding Series 1996A (Advocate Hlth. Proj.)(MBIA insured), 5.80%, 8/15/16 276,583
375,000 Refunding Series 1999 (Silver Cross Hosp. Proj.), 5.25%, 8/15/15 389,336
970,000 Refunding Series 2001 (Decatur Memorial Hospital Proj.), 4.625%, 10/1/08 1,021,914
500,000 Series 2000 (IA Health System Proj.), 6.75%, 2/15/13 566,295
200,000 IL Sales Tax Rev. Series 1994U, 5.00%, 6/15/10 204,516
250,000 Melrose Park Tax Increment G.O. Series 1999A (FSA insured), 5.25%, 12/15/15 271,660
750,000 Onterie Ctr. Hsg. Fin. Corp. Mtg. Rev. Refunding Series 1992 (Onterie Ctr. Proj.)
(MBIA - FHA insured), 7.05%, 7/1/27 764,700
1,850,000 Roselle Multifamily Hsg. Rev. Refunding Series 1994A (GNMA collateralized)
(Waterbury Apts.) (FHA insured), 7.00%, 1/1/25 1,894,751
3,200,000 Southwestern IL Dev. Auth. Local Govt. Prog. Rev. Series 1998A (City of East St. Louis
Tax Increment Financing Proj.), 6.00%, 4/1/10 3,137,056
495,000 Upper Illinois River Valley Dev. Auth. Rev. Series 2001 (Morris Hosp. Proj.), 6.05%, 12/1/11 540,679
500,000 Will Co. Student Hsg. Rev. Series 2002A (Joliet Junior College Proj.), 6.375%, 9/1/13 250,000
--------------
43,138,831
--------------
See accompanying notes to portfolios of investments on page 62.
29
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SEPTEMBER 30, 2004
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PORTFOLIO OF INVESTMENTS (UNAUDITED)
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
INDIANA (6.8%)
1,975,000 IN Bond Bank Special Prgm. Series 1997C (Pittsboro Wastewater Treatment Plant Proj.), 5.70%, 8/1/17 2,085,027
2,175,000 IN DFA Educ. Fac. Rev. Series 1997 (Park Tudor Fdn. Proj.), 6.00%, 6/1/22 2,405,572
IN Hlth. Fac. Fin. Auth. Hosp. Rev.:
355,000 Series 1993 (Riverview Hosp. Proj.), 6.875%, 8/1/17 357,215
Series 1993 (Community Hosp. of Anderson Proj.)(MBIA insured):
135,000 6.00%, 1/1/14 136,365
500,000 6.00%, 1/1/23 503,795
Refunding Series 1998 (Floyd Memorial Hosp. & Hlth. Svcs. Proj.):
505,000 4.85%, 2/15/06 522,251
600,000 5.25%, 2/15/18 617,490
Series 2001A (Community Foundation Northwest IN):
780,000 5.50%, 8/1/05 793,822
1,100,000 5.50%, 8/1/06 1,138,599
1,000,000 6.00%, 8/1/07 1,056,770
1,000,000 6.00%, 8/1/08 1,063,210
1,320,000 5.50%, 8/1/13 1,352,036
300,000 6.375%, 8/1/21 312,627
300,000 Series 2004A (Community Foundation Northwest IN), 4.75%, 3/1/14 288,822
500,000 IN HFA Single Family Mtg. Rev. Refunding Series 1992A, 6.80%, 1/1/17 500,910
IN Hlth. Fac. Fin. Auth. Rev. Refunding Series 1998:
(Greenwood Village South Proj.):
150,000 5.25%, 5/15/06 150,091
170,000 5.35%, 5/15/08 170,067
1,875,000 (Marquette Manor Proj.), 5.00%, 8/15/18 1,841,775
1,000,000 IN Transportation Fin. Auth. Airport Facs. Lease Rev. Series 1992A, 6.25%, 11/1/16 1,003,379
400,000 Lawrenceburg Indus. Pollution Ctl. Rev. Refunding Series 1993E (Ind.-Mich. Pwr. Co. Proj.), 5.90%,
11/1/19 404,508
500,000 Petersburg Pollution Ctrl. Rev. Refunding Series 1993A (Indianapolis Pwr. & Light Proj.)
(MBIA insured), 6.10%, 1/1/16 505,000
Sullivan Industrial Pollution Ctrl. Rev.:
615,000 Refunding Series 1991 (Hoosier Energy Corp. Proj.) (MBIA insured), 7.10%, 4/1/19 633,450
5,000,000 Refunding Series 1993C (Ind. Mich. Pwr. Co. Proj.), 5.95%, 5/1/09 5,057,950
--------------
22,900,731
--------------
IOWA (0.9%)
1,130,000 IA Fin. Auth. Multifamily Hsg. Rev. Refunding Series 1997A (Kingswood Apts. Proj.)
(GNMA-collateralized), 6.15%, 5/1/32 1,183,686
IA Fin. Auth Single Family Rev. Series 2000D (GNMA/FNMA Mtg. Backed Securities Proj.):
140,000 5.65%, 7/1/07 147,916
170,000 5.75%, 7/1/09 177,562
1,345,000 Ottumwa Hosp. Rev. Refunding Series 1993 (Ottumwa Regl. Hlth. Ctr.), 6.00%, 10/1/10 1,358,598
250,000 IA Tobacco Settlement Auth. Asset-Backed Rev. Series 2001B, 5.30%, 6/1/25 209,400
--------------
3,077,162
--------------
KANSAS (0.0%)
140,000 Olathe & Labette Cos. Mtg. Loan Rev. 1991 Series B (GNMA collateralized) Zero Coupon, 7.56%
Effective Yield on Purchase Date, 2/1/23 38,269
--------------
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
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LOUISIANA (1.5%)
East Baton Rouge Single Family Mtg. Rev. Refunding:
1,415,000 Series 1997C-3 Subordinate Bonds, 5.65%, 10/1/18 1,483,599
7,200,000 Capital Appreciation Series 2000D1 (GNMA & FNMA collateralized) Zero Coupon,
6.46% Effective Yield on Purchase Date, 4/1/34 1,121,040
610,000 LA HFA Multifamily Mtg. Rev. Series 2003A (Section 8-202 Proj)(FSA insured), 4.40%, 6/1/33 633,692
280,000 New Orleans HDC First Lien Rev. Refunding Series 1996A (Tivoli Place Apts. Proj.)
(Section 8), 6.40%, 12/1/04 280,104
400,000 Orleans Levee Dist. Rev. Series 1995A (Tr. Rcpts.) (FSA insured), 5.95%, 11/1/14 430,436
450,000 South LA Port Common Rev. Refunding Series 1997 (Cargill, Inc. Proj.), 5.85%, 4/1/17 475,420
515,000 Tobacco Settlement Financing Corp. Asset-Backed Rev. Series 2001B, 5.50%, 5/15/30 456,949
--------------
4,881,240
--------------
MAINE (0.6%)
1,000,000 Skowhegan Pollution Ctrl. Rev. Refunding Series 1993 (Scott Paper Co. Proj.), 5.90%, 11/1/13 1,023,380
1,000,000 South Berwick Educ. Rev. Series 1998 (Berwick Academy Issue), 5.25%, 8/1/13 1,036,670
--------------
2,060,050
--------------
MARYLAND (0.2%)
500,000 MD Hlth. & Higher Educ. Fac. Auth. Rev. Refunding Series 2003A (Adventist Healthcare Proj.),
5.00%, 1/1/12 525,395
--------------
MASSACHUSETTS (0.8%)
MA Hlth. & Educ. Fac. Auth. Rev.:
200,000 Series 1993B (Lahey Clinic Med. Ctr. Proj.), 5.40%, 7/1/06 202,544
Series 1998B (Cape Cod Healthcare Obligated Group Issue):
320,000 5.00%, 11/15/05 326,874
900,000 5.25%, 11/15/13 931,086
500,000 Series 2001E (Berkshire Health Sys.), 4.50%, 10/1/05 505,675
10,000 MA HFA Hsg. Projs. Rev. Series 1993A, 6.375%, 4/1/21 10,088
400,000 MA Indus. Fin. Agy. Pollution Ctrl. Rev. Refunding Series 1993 (Eastern Edison Co. Proj.), 5.875%,
8/1/08 405,276
140,000 MA Indus. Fin. Agy. First Mtg. Rev. Series 1994A (Berkshire Retirement Proj.), 6.375%, 7/1/05 141,698
--------------
2,523,241
--------------
MICHIGAN (3.1%)
520,000 Central Wayne Co. Sanitation Auth. Incinerator Rev. Series 2003VII, 4.375%, 7/1/06 524,337
395,000 John Tolfree Hlth. System, Mtg. Rev. & Refunding Series 1999, 5.30%, 9/15/05 399,400
760,000 MI Hosp. Fin. Auth. Rev. Refunding Series 1993A (McLaren Oblig. Group), 5.25%, 10/15/07 769,074
225,000 MI Hosp. Fin. Auth. Rev. Refunding Series 1994 (Mercy Mem. Hosp. Proj.)(MBIA insured), 5.25%, 6/1/21 229,936
MI Strategic Fund Ltd. Obligation Rev. Refunding:
1,250,000 Series 2003A (Dow Chemical Proj.)(Mandatory Put 6/1/06), 3.80%, 6/1/14 1,262,925
2,500,000 Series 2003 (Dow Chemical Proj.)(Mandatory Put 6/1/08), 4.60%, 6/1/14 2,598,200
2,095,000 Southfield Econ. Dev. Corp. Ltd. Obligation Rev. Series 1998A (Lawrence Tech. Univ. Proj.), 5.25%,
2/1/13 2,158,793
1,873,912 Suburban Mobility Auth. Regl. Transportation C.O.P. Series 2002, 4.90%, 2/15/09 (5) 1,895,387
Summit Academy North Public School C.O.P. Series 2001:
130,000 5.60%, 7/1/05 132,393
135,000 5.70%, 7/1/06 140,443
145,000 5.95%, 7/1/07 153,159
--------------
10,264,047
--------------
See accompanying notes to portfolios of investments on page 62.
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SEPTEMBER 30, 2004
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PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
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MINNESOTA (2.1%)
3,410,000 Dakota Co. HRA Multifamily Mtg. Rev. Refunding Series 1997A (Park Place
Apts. Proj.)(GNMA Collateralized), 6.875%, 2/20/32 3,681,675
740,000 Hopkins Multifamily Hsg. Rev. Series 1996 (Hopkins Renaissance Proj.)(Section 8), 6.375%, 4/1/20 777,540
2,315,000 Plymouth Multifamily Hsg. Dev. Rev. Refunding Series 1996A (GNMA collateralized)
(Fox Forest Apts. Proj.), 8.05%, 6/20/31 2,470,522
--------------
6,929,737
--------------
MISSOURI (2.4%)
1,000,000 Cameron Industrial Dev. Auth. Rev. Refunding Series 2000 (Cameron Cmnty. Hosp. Proj.)
(ACA Insured), 5.80%, 12/1/09 1,079,420
535,000 Chesterfield Rev. Refunding & Impt. Series 2002 (Chesterfield Vy. Projs.), 4.50%, 4/15/16 540,912
250,000 Kansas City Port Auth Facs. Rev. Series 1995A (Riverfront Park Proj.), 5.75%, 10/1/04 250,008
MO Dev. Finance Board Infrastructure Fac. Rev.:
Series 2000A (Eastland Ctr. Proj. Phase 1):
1,080,000 5.75%, 4/1/09 1,164,823
550,000 5.75%, 4/1/12 591,179
1,000,000 Series 2000B (Eastland Ctr. Proj. Phase 2), 6.00%, 4/1/15 1,068,080
1,070,000 MO Hlth. & Educ. Fac. Auth. Educ. Fac. Rev. Series 1999 (Park College Proj.), 5.55%, 6/1/09 1,104,850
150,000 MO Environmental Impt. & Energy Res. Auth. Water Fac. Rev. Refunding Series 1999 (Tri-Co. Water
Auth Proj.) (Radian Asset Assurance), 5.50%, 4/1/07 161,343
980,000 St. Louis Co. Industrial Dev. Auth. Hsg. Rev. Refunding Series 1995 (South Point Apts. and
Hunter's Ridge Apts. Proj.), 7.875%, 1/1/25 1,001,599
5,000 St. Louis Co. Single Family Res. Mtg. Series 1984 (MBIA insured), 6.75%, 4/1/10 5,138
1,000,000 St. Louis Industrial Dev. Auth. Tax-Exempt Impt. Rev. Series 1998 (St. Louis Zoo Fdn.)
(LOC Nationsbank), 5.10%, 8/15/12 1,050,730
--------------
8,018,082
--------------
MONTANA (0.4%)
1,135,000 Crow Finance Auth. Tribal Purpose Revenue Series 1997A, 5.70%, 10/1/27 1,155,271
Forsyth Pollution Ctrl. Rev. Refunding Series 1993 (Montana Power Co. Proj.)
130,000 (Ambac insured), 5.90%, 12/1/23 132,583
85,000 (MBIA insured), 6.125%, 5/1/23 86,148
--------------
1,374,002
--------------
NEVADA (2.5%)
2,500,000 Clark Co. Industrial Dev. Rev. Refunding Series 1992C (Nevada Power Co.)(Ambac insured), 7.20%,
10/1/22 2,599,500
2,750,000 Clark Co. Pollution Ctrl. Rev. Refunding Series 1992B (Nevada Pwr. Co. Proj.)(FGIC insured), 6.60%,
6/1/19 2,793,340
NV Hsg. Dev. SF Mtg. Program:
120,000 Sr. Series 1995A-1, 6.45%, 10/1/18 120,016
435,000 Mezzanine Series 1998B-1, 5.30%, 4/1/16 457,881
400,000 6.00%, 6/1/08 408,464
1,000,000 6.125%, 6/1/12 1,030,830
1,000,000 Washoe Co. Gas & Water Fac. Rev. Refunding Series 1987 (AMBAC insured), 6.30%, 12/1/14 1,026,900
--------------
8,436,931
--------------
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
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NEW HAMPSHIRE (2.3%)
Manchester Hsg. & Redev. Auth. Rev.:
300,000 Series 2000B (Radian assured) zero coupon, 5.25% effective yield on purchase date, 1/1/19 143,133
875,000 Sereis 2000B (ACA insured), zero coupon, 6.00% effective yield on purchase date, 1/1/21 347,130
890,000 Series 2000A (ACA insured), 6.75%, 1/1/15 975,760
NH Hlth. & Educ. Fac. Auth. Rev.:
275,000 Series 2004A (So. NH Med. Ctr. Proj.), 3.00%, 10/1/04 275,008
500,000 Series 2004 (Covenant Hlth. Proj.), 5.00%, 7/1/14 519,125
NH Higher Educ. & Hlth. Fac. Auth. Rev.:
1,575,000 Series 1993 (Frisbie Memorial Hosp. Proj.), 6.125%, 10/1/13 1,595,885
690,000 Series 1997 (Catholic Charities Issue), 5.75%, 8/1/12 714,868
5,080,000 NH HFA Single Family Res. Mtg. 1982 Series A Zero Coupon, 11.75% Effective Yield on
Purchase Date, 1/1/14 2,387,346
625,000 NH Higher Educ. & Hlth. Fac. Auth. Rev. Series 1998 (New Hampton School), 5.00%, 10/1/08 662,969
--------------
7,621,224
--------------
NEW JERSEY (1.5%)
1,505,000 NJ Econ. Dev. Auth Dist. Heating & Cooling Rev. Series 1993A (Trenton Proj.), 6.20%, 12/1/10 1,537,463
1,460,000 NJ Hsg. & Mtg. Finance Agy. Multifamily Hsg. Rev. Series 1995A (AMBAC insured), 6.00%, 11/1/14 1,504,282
150,000 NJ Hsg. & Mtg. Finance Agy. Multifamily Hsg. Rev. Series 19953G (Home Buyer Proj.), 4.625%%, 4/1/15 150,012
NJ Tobacco Settlement Financing Corp. Asset-Backed Rev. Series 2003:
1,360,000 4.375%, 6/1/19 1,360,993
500,000 6.125%, 6/1/24 484,685
--------------
5,037,435
--------------
NEW MEXICO (0.6%)
1,510,000 NM MFA Forward Mortgage-Backed Series 1995E (GNMA collateralized), 6.95%, 1/1/26 1,524,617
500,000 NM Hsg. Auth. Region III Multifamily Hsg. Rev. Series 2003A (Villa Del Oso Apts. Proj.), 6.00%,
7/1/17 498,625
--------------
2,023,242
--------------
NEW YORK (1.8%)
170,000 Monroe Co. Industrial Dev. Agy. Student Hsg. Rev. Series 1999A (Collegiate Hsg. Fdn. - Rochester
Institute of Technology Proj.), 4.90%, 4/1/09 172,604
110,000 NY Dorm Auth. Rev. Series 2002 (FHA insured), 4.00%, 2/1/12 110,815
2,075,000 NY Unrefunded Balance G.O. Series 1996G, 5.75%, 2/1/17 2,186,158
400,000 NY Urban Dev. Corp. Rev. Series 1996 (Pine Barrens Proj.), 5.375%, 4/1/17 413,204
NY Tobacco Settlement Fing. Corp Asset-Backed Rev.:
85,000 Series 2003A-1, 5.00%, 6/1/09 85,246
160,000 Series 2003C-1, 5.00%, 6/1/11 167,568
250,000 Series 2003C-1, 5.25%, 6/1/13 268,047
500,000 Series 2003A-1, 5.00%, 6/1/11 523,650
2,100,000 Series 2003C-1, 5.50%, 6/1/10 2,155,713
--------------
6,083,005
--------------
NORTH CAROLINA (0.4%)
200,000 Currituck Co. G.O. Series 1995 (MBIA insured), 5.40%, 4/1/14 207,770
325,000 Mecklenburg Co. Indus. Facs. & Pollution Ctrl. Fin. Auth. Rev. Series 1993 (Fluor Corp. Proj.),
5.25%, 12/1/09 325,829
250,000 NC Hlth. Care Fac. First Mtg. Rev. Refunding Series 2004B (Deerfield Episcopal Retirement
Cmty. Proj.), 3.80%, 11/1/24 246,695
500,000 NC Med. Care Common Rev. Series 2004A (Hlth. Care Hsg. Proj.), 4.65%, 10/1/14 498,495
--------------
1,278,789
--------------
See accompanying notes to portfolios of investments on page 62.
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SEPTEMBER 30, 2004
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PORTFOLIO OF INVESTMENTS (UNAUDITED)
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
NORTH DAKOTA (0.2%)
Mercer Co. Pollution Ctl. Rev. Refunding:
500,000 Series 1992 (Montana-Dakota Utils. Co. Proj.) (FGIC insured), 6.65%, 6/1/22 501,955
200,000 Series 1995 (Basin Elec. Pwr. Proj.)(Ambac insured), 6.05%, 1/1/19 206,008
--------------
707,963
--------------
OHIO (2.2%)
2,780,000 Akron C.O.P. Series 1996 (Akron Baseball Stadium Proj.), 6.90%, 12/1/16 (5) 2,997,368
1,445,000 Bellefontaine Hosp. Rev. Refunding Series 1993 (Mary Rutan Hlth. Assoc.), 6.00%, 12/1/13 1,477,802
295,000 Cleveland-Cuyahoga Port. Auth. Dev. Rev. Series 1999A (Port of Cleveland Bond Fund Capital
Imprv. Proj.), 5.375%, 5/15/19 292,475
700,000 Cleveland-Cuyahoga Port. Auth. Dev. Rev. Series 2004D (Garfield Heights Proj.), 5.25%, 5/15/23 689,332
450,000 Dayton Airport Rev. Refunding Series 1995 (Cox-Dayton Intl. Proj.)(Ambac insured), 5.25%, 12/1/15 469,674
1,000,000 Lucas Co. Hlth. Care Fac. Rev. Series 2002 (Franciscan Care Ctr. Proj.)(LOC Bank One), 4.10%, 3/1/27 1,008,010
580,000 Mahoning Co. Hlth. Care Fac. Rev. Refunding Series 2002 (Copeland Oaks Proj.)(Mandatory Put 3/31/05)
(LOC Sky Bank), 4.00%, 4/1/22 583,550
--------------
7,518,211
--------------
OKLAHOMA (1.6%)
Citizen Potawatomi Nation Tax Rev. Series 2004A:
240,000 3.40%, 9/1/05 239,491
660,000 5.00%, 9/1/08 662,884
500,000 6.50%, 9/1/19 505,880
250,000 Comanche Co. Hosp. Auth. Rev. Series 1993A (Connie Lee insured), 5.375%, 7/1/23 250,478
250,000 Norman Regl. Hosp. Auth. Rev. Refunding Series 1996A (MBIA insured), 5.625%, 9/1/21 268,755
OK Dev. Fin. Auth. Hosp. Rev. Series 2003A (Duncan Regl. Hosp. Proj.):
250,000 2.50%, 12/1/04 250,432
670,000 4.00%, 12/1/05 684,043
800,000 4.00%, 12/1/06 823,744
200,000 5.00%, 10/1/05 204,660
1,320,000 Tulsa Industrial Auth. Educ. Fac. Rev. Refunding Series 1999B (Holland Hall School Proj.), 5.00%,
12/1/14 1,380,456
--------------
5,270,823
--------------
OREGON (1.3%)
3,305,000 Cow Creek Band Umpqua Tribe of Indians Rev. Series 1998B (Ambac insured), 5.10%, 7/1/12 3,379,561
200,000 Klamath Falls Intercmnty. Hosp. Auth. Rev. Refunding Series 2002 (Merle West Med. Ctr. Proj.),
5.20%, 9/1/09 210,706
635,000 OR Hsg. & Cmty. Svcs. Dept. Mtg. Rev. Series 2000K, 5.70%, 7/1/22 655,415
25,000 OR G.O. Refunding Series 1992B, 6.375%, 8/1/24 25,094
--------------
4,270,776
--------------
PENNSYLVANIA (6.1%)
Allegheny Co. Hosp. Dev. Auth. Rev. Series 2003A (Ohio Valley Gen. Hosp. Proj.):
200,000 2.50%, 4/1/05 200,030
245,000 3.30%, 4/1/08 243,956
135,000 3.875%, 4/1/10 135,119
250,000 Allegheny Co. Redev. Auth. Tax Alloc. Rev. Series 2000B (Waterfront Proj.), 5.75%, 12/15/05 256,583
Beaver Co. Indus. Dev. Auth. Pollution Ctrl. Rev.:
350,000 Series 1977 (St. Joe Minerals Corp. Proj.), 6.00%, 5/1/07 358,680
300,000 Series 1995A (Ambac insured) (OH Edison Beaver Valley Proj.), 7.05%, 10/1/20 321,210
1,150,000 Refunding Series 1995A (Toledo Edison Proj.), 7.75%, 5/1/20 1,231,972
730,000 Berks Co. Muni Auth. College Rev. Series 2004 (Albright College Proj.), 2.50%, 10/1/04 730,007
34
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
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325,000 Bucks Co. Redev. Auth. Mtg. Rev. Refunding Series 1992A (Warminster Hts. Proj.)
(FHA insured)(Section 8), 6.875%, 8/1/23 329,225
565,000 Chartiers Valley Industrial & Commercial Dev. Auth. Rev. Refuning Series 2003A
(Friendship Village South Proj.), 4.75%, 8/15/11 564,480
Delaware Co. Auth. Hosp. Rev. Series 1993 (Crozer-Chester Proj.):
500,000 Series 1993, 6.00%, 12/15/20 503,245
30,000 Series 1994 (MBIA insured), 5.30%, 12/15/20 30,661
150,000 Erie Higher Educ. Bldg. Auth. College Rev. Series 1993B (Mercyhurst College Proj.), 5.75%, 3/15/13 153,138
2,750,000 Grove City Area Hosp. Auth. Rev. Series 1998 (United Cmnty. Hosp. Proj.), 5.25%, 7/1/12 2,773,045
Horizon Hosp. System Auth. Hosp. Rev. Series 1996 (Horizon Hosp. Sys.):
715,000 6.15%, 5/15/08 758,279
710,000 6.25%, 5/15/09 752,664
1,145,000 6.30%, 5/15/11 1,214,456
Lehigh Co. General Purpose Auth.:
500,000 Rev. Refunding Series 1996B (Cedar Crest College), 6.65%, 4/1/17 528,335
650,000 Rev. Series 2004A (Good Shepherd Group), 4.00%, 11/1/09 661,063
500,000 McKean Co. Hosp. Auth. Rev. Refunding Series 1994 (Bradford Hosp. Proj.) (ACA insured), 6.00%, 10/1/13 510,435
1,750,000 Montgomery Co. Industrial Dev. Auth. Retirement Cmnty. Rev. Series 1996B (ACTS Retirement
Life Cmntys. Proj.), 5.75%, 11/15/17 1,789,183
PA Hgr. Educ. Fac. Auth. Hlth. Svcs. Rev. Series 1996A (Allegheny Delaware Valley
Obligated Group, Inc.)(MBIA insured):
150,000 5.500%, 11/15/08 163,651
3,890,000 5.875%, 11/15/16 4,182,217
590,000 PA Hgr. Educ. Fac. Auth. Rev. Series 2000 (Univ. of the Arts Proj.)(Radian insured), 5.75%, 3/15/30 633,754
270,000 PA Hgr. Educ. Fac. Auth. Rev. Series 2002 (Geneva College Proj.), 4.25%, 4/1/05 271,930
1,050,000 Pittsburgh G.O. Series 1995B (FGIC insured), 5.00%, 3/1/08 1,078,896
--------------
20,376,214
--------------
RHODE ISLAND (0.5%)
995,000 RI Hsg. & Mtg. Fin. Corp. Rental Hsg. Program Rev. Series 1993A (Section 8), 5.65%, 10/1/08 1,005,169
260,000 RI Clean Water Protection Fin. Agy. Pooled Lien Rev. Series 1995A (MBIA insured), 5.375%, 10/1/15 273,530
260,000 RI Hlth. & Educ. Bldg. Corp. Rev. Series 1997 (Steere House Proj.), 5.375%, 7/1/07 265,897
--------------
1,544,596
--------------
SOUTH CAROLINA (0.2%)
650,000 SC Educ. Facs. Auth. Rev. Series 1996A (Furman Univ. Proj.)(MBIA insured), 5.50%, 10/1/26 693,712
--------------
SOUTH DAKOTA (0.9%)
170,000 Deadwood C.O.P. Series 2003 (ACA insured), 3.00%, 11/1/04 170,073
2,250,000 SD Hlth. & Educ. Fac. Auth. Rev Series 2001C (Sioux Valley Hosp. & Health Sys. Proj.)
(LOC US Bank)(Mandatory Put 11/1/06), 4.85%, 11/1/19 2,340,540
400,000 SD Hlth. & Educ. Fac. Auth. Rev. Series 1994 (Huron Regional Med. Ctr. Proj.), 7.25%, 4/1/20 409,300
--------------
2,919,913
--------------
See accompanying notes to portfolios of investments on page 62.
35
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Sit Tax-Free Income Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
TENNESSEE (2.4%)
Shelby Co. Hlth., Educ. & Hsg. Fac. Board Multifamily Hsg. Rev.:
(CME Memphis Apts. Proj.):
1,850,000 Senior Series 1998A, 5.35%, 1/1/19 (8) (9) 925,000
7,875,000 Senior Series 1998A, 5.55%, 1/1/29 (8) (9) 3,937,500
1,630,000 Subordinate Series 1998C, 6.00%, 1/1/29 (8) (9) 28,525
(Eastwood Park Apts. Proj.):
15,000 Series 1995A, 6.00%, 9/1/05 (8) (9) 10,425
1,000,000 Senior Series 1995 A2, 6.40%, 9/1/25 (8) (9) 695,000
405,000 Subordinate Series 1995C, 7.50%, 9/1/25 (8) (9) 159,975
(Raleigh Forest & Sherwood Apts. Proj.):
2,670,000 Senior Series 1996A, 6.60%, 1/1/26 (8) (9) 2,269,500
610,000 Subordinate Series 1996C, 7.25%, 1/1/26 (8) (9) 118,950
--------------
8,144,875
--------------
TEXAS (11.1%)
Austin Convention Enterprises, Inc. (Convention Ctr.) Revenue:
750,000 Series 2001A (Convention Center), 6.375%, 1/1/16 784,448
850,000 Series 2001B (ZC Specialty Ins. Co.), 5.75%, 1/1/16 854,607
250,000 Series 2001B (ZC Specialty Ins. Co.), 6.00%, 1/1/23 254,135
Austin Utilities System Rev.:
20,000 Refunding Series 1993 (MBIA insured), 5.25%, 5/15/18 20,051
500,000 Series 1994 (FGIC insured), 5.75%, 5/15/24 512,585
1,000,000 Bell Co. Hlth. Fac. Dev. Corp. Retirement Fac. Rev. Series 1998 (Buckner Retirement Services, Inc.
Obligated Group, Proj.), 5.00%, 11/15/11 1,045,540
Beaumont HA Multifamily Mtg. Rev. Series 1993A (Section 8):
500,000 6.65%, 11/1/07 486,570
590,000 6.75%, 11/1/10 556,571
970,000 Bexar Co. Rev. Series 2000 (Venue Proj.)(MBIA insured), 5.75%, 8/15/22 1,049,462
Bexar Co. HFC Multifamily Hsg. Rev.:
575,000 Subordinated Series 2000C (Honey Creek Apts. Proj.), 8.00%, 4/1/30 570,429
180,000 Subordinated Series 2001B (American Oppty. Hsg. Dublin Kingswood & Waterford Apts. Proj.), 7.50%,
12/1/14 188,343
650,000 Brazos River Hbr. Nav. Dist Rev. Series 2002B-2 (Dow Chemical Co. Proj.), 4.75%, 5/15/33 677,151
Dallas Hsg. Corp. Capital Program Revenue Bonds:
965,000 Series 1995A (Estell Village Apts.) (Section 8), 7.875%, 12/1/09 976,976
945,000 Series 1995 (Cedar Glen Apts.) (Section 8), 7.75%, 12/1/09 965,336
6,343,000 Dallas HFC Multifamily Mtg. Rev. Series 1998A (GNMA collateralized) (Towne Ctr. Apts. Proj.), 6.75%,
10/20/32 6,933,343
500,000 Lewisville Combination Contract Rev. Refunding Series 2004 (ACA insured), 5.75%, 9/1/12 551,025
104,668 Midland HFC Single Family Mtg. Rev. Refunding Series 1992 A-2, 8.45%, 12/1/11 109,321
Mesquite Hlth. Fac. Dev. Corp. Retirement Fac. Rev. (Christian Care Ctr. Proj.):
1,000,000 Series 1996A, 6.30%, 2/15/12 1,017,450
880,000 Series 2000A, 7.00%, 2/15/10 938,318
7,272,000 Nortex Hsg. Fin. Corp. Multifamily Hsg. Rev. Series 1999 (GNMA collateralized) (Highland Oaks Apts.
Proj.), 6.75%, 9/20/32 7,826,126
266,760 Odessa HFC Single Family Mtg. Rev. Refunding Series 1992B Class B-2, 8.125%, 11/1/11 267,776
500,000 Red River Auth. Pollution Ctrl. Rev. Refunding Series 1991 (AMBAC insured), 5.20%, 7/1/11 514,175
600,000 Richardson Hosp. Auth. Rev. Refunding Series 1998 (Baylor/Richardson Proj.), 5.625%, 12/1/28 608,556
36
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
Tarrant Co. Hlth. Fac. Dev. Corp. Hosp. Rev. Series 2000 (Adventist Hlth. Sys. Proj.):
490,000 5.75%, 11/15/04 492,602
515,000 5.80%, 11/15/05 536,506
Tarrant Co. HFC Multifamily Hsg. Rev:
530,000 Senior Series 2001A (Westridge Apts. Proj.), 5.50%, 6/1/11 343,175
490,000 Subordinate Series 2001C (Crossroads Apt. Proj.), 7.25%, 12/1/36 414,893
TX Affordable Hsg. Corp. Multifamily Hsg. Rev:
1,065,000 Senior Series 2001A (NHT / GTEX Proj.)(MBIA insured), 4.10%, 10/1/08 1,118,356
740,000 Junior Series 2001B (NHT / GTEX Proj.), 6.75%, 10/1/16 392,200
TX Dept. Hsg. & Cmnty. Affairs Multifamily Hsg. Rev.:
850,000 Senior Series 1996A (Harbors & Plumtree Apts. Proj.), 6.35%, 7/1/16 885,266
3,610,000 Senior Series 1996A (Harbors & Plumtree Apts. Proj.), 6.45%, 7/1/26 3,723,498
870,000 Subordinate Series 1996C (Harbors & Plumtree Apts. Proj.), 7.375%, 7/1/26 848,276
820,000 TX Public Property Fin. Corp. Mental Hlth. & Mental Retardation Rev. Series 1996, 6.20%, 9/1/16 855,145
--------------
37,318,211
--------------
UTAH (0.6%)
725,000 Eagle Mountain Water & Sewer Rev. Refunding Series 2000 (ACA insured), 5.60%, 11/15/13 779,005
600,000 Intermountain Power Agy. Rev. Series 1993B, 5.25%, 7/1/17 607,770
Salt Lake Co. College Rev. Series 1999 (Westminister College Proj.):
120,000 5.15%, 10/1/11 127,747
125,000 5.20%, 10/1/12 132,241
130,000 5.25%, 10/1/13 136,894
305,000 UT Hsg. Finance Agy. Multifamily Refunding Rev. Series 1996A (Section 8)
(FHA insured), 6.10%, 7/1/22 319,616
--------------
2,103,273
--------------
VERMONT (0.3%)
VT Educ. & Hlth. Bldgs. Financing Agency Rev.:
420,000 Series 1998 (Norwich Univ. Proj.), 5.13%, 7/1/09 446,401
200,000 Series 2002A (Developmental & Mental Hlth. Proj.), 4.375%, 6/15/07 202,816
400,000 Series 2003A (Vermont Law School Proj.), 5.00%, 1/1/13 409,476
--------------
1,058,693
--------------
VIRGINIA (1.7%)
395,000 Alexandria Industrial Dev. Auth. Rev. Pollution Control Refunding Series 1994 (Potomac Electric Proj.)
(MBIA insured), 5.375%, 2/15/24 403,809
480,000 Arlington Co. Indus. Dev. Auth. Multifamily Rev. Refunding Series 1998A (Woodbury Parks Apts. Proj.)
5.45%, 1/1/29 486,192
250,000 Chesterfield Co. Industrial Dev. Auth. Pollution Ctrl. Rev. Series 1987A Rmktg.
(VA Elec. & Power Co. Proj.), 5.875%, 6/1/17 276,778
385,000 Hanover Co. Indus. Dev. Auth. Rev. Series 1995 (Bon Secours Hlth. Sys. Proj.), 5.50%, 8/15/25 400,985
2,000,000 Norfolk Industrial Dev. Auth. Hosp. Rev. Refunding Series 1994A (Sentara Hosp. Proj.), 6.50%, 11/1/13 2,047,360
850,000 Portsmouth Redev. & Hsg. Auth. Rev. Refunding Series 1994 (New Regency Proj.), 6.05%, 12/1/08 874,352
Prince William Co. Indus. Dev. Auth. Educ. Fac. Rev. Series 2003 (Catholic Diocese Arlington):
1,000,000 4.375%, 10/1/13 1,012,110
100,000 5.00%, 10/1/18 101,813
--------------
5,603,399
--------------
See accompanying notes to portfolios of investments on page 62.
37
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Sit Tax-Free Income Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
- ------------------------------------------------------------------------------------------------------------------------------------
QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
WASHINGTON (1.2%)
200,000 Energy Northwest Wind Proj. Rev. Series 2001B, 4.55%, 7/1/06 205,662
King Co. Hsg. Auth. Rev. Refunding:
500,000 Senior Series 1995A, 6.80%, 3/1/26 512,720
1,550,000 Subordinated Series 1995A, 7.20%, 3/1/6 1,610,063
Skagit Co. Public Hosp. Rev Refunding Series 2003:
350,000 3.50%, 12/1/04 350,469
350,000 3.75%, 12/1/05 352,611
500,000 WA HFC Nonprofit Hsg. Rev. Refunding Series 1995A (Horizon House Proj.), 6.125%, 7/1/27 530,150
400,000 WA Tobacco Settlement Fing. Corp Asset-Backed Rev. Series 2002, 5.00%, 6/1/08 403,304
--------------
3,964,979
--------------
WEST VIRGINIA (1.0%)
3,200,000 Pleasants Co. Pollution Ctrl. Rev. Series 1995C (Monongahela Pwr. Co.), 6.15%, 5/1/15 3,340,064
--------------
WISCONSIN (3.8%)
100,000 WI Hsg. & Econ. Dev. Auth. Home Ownership Rev. Series 1997A, 6.00%, 3/1/17 105,549
1,000,000 WI HEDA Hsg. Rev. Series 1993C (MBIA insured)(Section 8), 5.80%, 11/1/13 1,020,360
520,000 WI Hlth. & Educ. Fac. Auth. Rev. Series 1999 (FH Hlth. Care Dev. Inc Proj.), 5.625%, 11/15/09 548,064
WI Hlth. & Educ. Fac. Auth. Rev.:
2,000,000 Series 1993 (Medical College of WI Inc. Proj.), 5.95%, 12/1/15 2,046,320
490,000 Series 1996 (Meriter Hosp., Inc. Proj.), 6.00%, 12/1/06 504,264
750,000 Refunding Series 1997B, (United Hlth. Grp., Inc. Proj.), 5.50%, 12/15/20 817,012
Series 1999 (Kenosha Hosp. & Med. Ctr., Inc. Proj.):
670,000 5.00%, 5/15/06 696,230
705,000 5.10%, 5/15/07 745,664
740,000 5.15%, 5/15/08 788,470
820,000 5.35%, 5/15/10 885,264
865,000 5.45%, 5/15/11 929,001
500,000 Series 1999B (Aurora Hlth. Care Proj)(ACA insured), 5.625%, 2/15/29 507,715
780,000 Series 1999 (FH Hlth. Care Dev., Inc. Proj.), 6.25%, 11/15/28 823,485
900,000 Series 1999 (Divine Savior, Inc. Proj.)(ACA insured), 5.70%, 6/1/28 928,224
Series 2001 (Agnesian Healthcare, Inc. Proj.):
150,000 5.00%, 7/1/06 156,622
550,000 6.00%, 7/1/17 592,729
340,000 6.00%, 7/1/21 360,652
250,000 Series 2004 (Blood Ctr. Southeastern Proj.), 5.50%, 6/1/24 253,762
--------------
12,709,387
--------------
WYOMING (0.2%)
500,000 Sweetwater Co. Pollution Ctrl. Rev. Refunding Series 1996A (Idaho Pwr. Co. Proj.), 6.05%, 7/15/26 531,050
--------------
Total municipal bonds (cost: $326,129,841) 323,658,545
--------------
38
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- ------------------------------------------------------------------------------------------------------------------------------------
CLOSED-END MUTUAL FUNDS (0.2%) (2)
50,000 Blackrock Insured Municipal Term Trust 2008 827,000
100 Van Kampen Municipal Trust/Investment Grade 1,536
100 Van Kampen Select Sector Municipal Trust 1,269
--------------
Total closed-end mutual funds (cost: $818,380) 829,805
--------------
SHORT-TERM SECURITIES (2.4%) (2)
5,922,945 Dreyfus Tax-Exempt Cash Management Fund, 1.37% 5,922,945
2,100,000 SD Hlth. & Educ. Facs. Auth. Rev. Series 2004 (Avera Hlth. Proj.), variable rate, 7/1/30 2,100,000
--------------
Total short-term securities (cost: $8,022,945) 8,022,945
--------------
Total investments in securities (cost: $334,971,166) (7) $332,511,295
==============
See accompanying notes to portfolios of investments on page 62.
39
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Sit Minnesota Tax-Free Income Fund
SIX MONTHS ENDED SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
SENIOR PORTFOLIO MANAGERS
MICHAEL C. BRILLEY - DEBRA A. SIT, CFA - PAUL J. JUNGQUIST, CFA
================================================================================
The Minnesota Tax Free Income Fund returned +0.72% for the six months
ended September 30, 2004 compared with a return of +0.62% for the Lehman 5-Year
Municipal Bond Index. The Fund's 30-day SEC yield was 4.63% as of September 30th
and its 12-month distribution rate was 4.39%. The Fund's taxable equivalent
yield of 7.73% for investors in the highest federal tax bracket compares
favorably with taxable alternatives.
The Fund's implied duration is 4.6 years, which compares to a level of
4.3 years one year ago. The Fund's duration was a neutral factor in its
performance relative to the Index, since they both have similar durations. Bond
yields rose sharply in April and May in anticipation of a shift to a less
accommodative monetary policy. Indeed, the Federal Reserve began a series of
short-term rate increases on June 30th in response to strong economic growth. As
economic growth moderated, bond yields declined somewhat from June through
September, although they remained at higher levels than at the end of March.
Four of the five largest market sectors in which the Fund invests each
earned returns higher than the Index returns for the six month period. Theses
four large sectors account for more than 80% of the Fund's assets. The
Industrial Revenue sector earned a return that was more than 4% lower than the
Index. The municipal lease sector also had a return more than 4% lower than the
Index, but these two weak sectors account for less than 10% of the Fund's
assets.
We expect more moderate economic growth at an annual rate of about 3.5%
through 2005. This sustained growth is expected to prompt the Federal Reserve to
further increase the federal funds rate to the 2% level by the end of 2004, and
to the 3% to 3.5% level by the end of 2005. Sustained moderate economic growth
and higher short term interest rate levels are expected to be reflected in
moderately higher bond yields across the bond yield curve with a flattening
trend for the yield curve. The Fund's relatively short duration will provide for
substantial reinvestment opportunities at higher yield levels in longer duration
bonds during 2005.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
- --------------------------------------------------------------------------------
The investment objective of the Minnesota Tax-Free Income Fund is to provide
a high level of current income exempt from federal regular income tax and
Minnesota regular personal income tax as is consistent with the preservation of
capital.
During normal market conditions, the Fund invests 100% of its net assets in
municipal securities that generate interest income that is exempt from regular
federal income tax and Minnesota regular personal income tax. The Fund
anticipates that substantially all of its distributions to its shareholders will
be exempt as such. For investors subject to the alternative minimum tax ("AMT"),
up to 20% of the Fund's income may be alternative minimum taxable income.
- --------------------------------------------------------------------------------
PORTFOLIO SUMMARY
- --------------------------------------------------------------------------------
Net Asset Value 9/30/04: $10.11 Per Share
3/31/04: $10.26 Per Share
Total Net Assets: $218.1 Million
30-day SEC Yield: 4.63%
Tax Equivalent Yield: 7.73%(1)
12-Month Distribution Rate: 4.39%
Average Maturity: 13.6 Years
Duration to Estimated Avg. Life: 4.5 Years(2)
Implied Duration: 4.6 Years(2)
(1)For individuals in the 35.0% federal tax and 7.85% MN tax brackets.
(2) See next page.
- --------------------------------------------------------------------------------
PORTFOLIO STRUCTURE
(% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
[BAR CHART]
Multifamily Mortgage Revenue 34.4
Hospital/Health Care Revenue 19.4
Other Revenue 8.6
Industrial/Pollution Control 7.2
Insured 6.2
Education/Student Loan 5.0
Sectors less than 5.0% 14.4
Cash & Other Net Assets 4.8
40
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- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS*
- --------------------------------------------------------------------------------
SIT LEHMAN LIPPER
MN TAX-FREE 5-YEAR MUNI. MN MUNI. BOND
INCOME FUND BOND INDEX FUND INDEX
----------- ------------ -------------
3 Month** 1.71% 2.83% 3.24%
6 Month** 0.72 0.62 n/a
1 Year 3.76 2.04 4.05
5 Years 5.04 5.82 5.82
10 Years 5.52 5.71 5.75
Inception 5.30 5.32 5.10
(12/1/93)
- --------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURNS*
- --------------------------------------------------------------------------------
SIT LEHMAN LIPPER
MN TAX-FREE 5-YEAR MUNI. MN MUNI. BOND
INCOME FUND BOND INDEX FUND INDEX
----------- ------------ -------------
1 Year 3.76% 2.04% 4.05%
5 Years 27.88 32.67 32.68
10 Years 71.13 74.26 74.98
Inception 75.03 75.35 71.54
(12/1/93)
*AS OF 9/30/04. **NOT ANNUALIZED.
- --------------------------------------------------------------------------------
PERFORMANCE FIGURES ARE HISTORICAL AND DO NOT GUARANTEE FUTURE RESULTS.
INVESTMENT RETURNS AND PRINCIPAL VALUE WILL VARY, AND YOU MAY HAVE A GAIN OR
LOSS WHEN YOU SELL SHARES. AVERAGE ANNUAL TOTAL RETURNS INCLUDE CHANGES IN SHARE
PRICE AS WELL AS REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAINS. MANAGEMENT
FEES AND ADMINISTRATIVE EXPENSES ARE INCLUDED IN THE FUND'S PERFORMANCE;
HOWEVER, FEES AND EXPENSES ARE NOT INCORPORATED IN THE LEHMAN 5-YEAR MUNICIPAL
BOND INDEX. THE LIPPER AVERAGES AND INDICES ARE OBTAINED FROM LIPPER ANALYTICAL
SERVICES, INC., A LARGE INDEPENDENT EVALUATOR OF MUTUAL FUNDS.
(2) Duration is a measure which reflects estimated price sensitivity to a given
change in interest rates. For example, for an interest rate change of 1%, a
portfolio with a duration of 5 years would be expected to experience a price
change of 5%. Estimated average life duration is based on current interest rates
and the Adviser's assumptions regarding the expected average life of individual
securities held in the portfolio. Implied duration is calculated based on
historical price changes of securities held by the Fund. The Adviser believes
that the portfolio's implied duration is a more accurate estimate of price
sensitivity provided interest rates remain within their historical range. If
interest rates exceed the historical range, the estimated average life duration
may be a more accurate estimate of price sensitivity.
- --------------------------------------------------------------------------------
GROWTH OF $10,000
- --------------------------------------------------------------------------------
[FLOW CHART]
The sum of $10,000 invested at inception (12/1/93) and held until 9/30/04 would
have grown to $17,503 in the Fund or $17,535 in the Lehman 5-Year Municipal Bond
Index assuming reinvestment of all dividends and capital gains.
- --------------------------------------------------------------------------------
QUALITY RATINGS
(% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
LOWER OF MOODY'S,
[PIE CHART] S&P, FITCH OR DUFF &
PHELPS RATINGS USED.
Other Assets
and Liabilities
4.9%
AAA
13.3%
BBB Assessment of
13.6% Non-Rated Securities
--------------------
AA AAA 4.9%
9.7% AA 0.7
A 6.5
Not BBB 18.2
Rated BB 8.3
38.6% Less than BB 0.0
------
A Total 38.6%
17.6% --------------------
Less Than
BBB
2.3%
41
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Sit Minnesota Tax-Free Income Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (95.2%) (2)
EDUCATION/STUDENT LOAN (5.0%)
1,000,000 Minneapolis Rev. Series 1997A (Univ. Gateway proj.), 5.25%, 12/1/17 1,077,870
Minnesota Higher Educ. Fac. Auth. Rev. :
50,000 Series 1992-3L1 (Carleton College), 5.75%, 11/1/12 52,805
425,000 Series 1996-4F1 (Augsburg College), 6.25%, 5/1/23 443,364
800,000 Series 1997-4L (St. John's University), 5.35%, 10/1/17 841,136
400,000 Series 1997-4L (St. John's University), 5.40%, 10/1/22 424,828
50,000 Series 1997-4J (Macalester College), 5.40%, 3/1/09 53,632
630,000 Series 1998-4T (College of St. Benedict), 5.00%, 3/1/05 637,478
750,000 Series 1998-4T (College of St. Benedict), 5.35%, 3/1/20 761,610
100,000 Series 1998-4R (St. Olaf College), 5.25%, 10/1/23 102,000
458,000 Lease Rev. Series 1999-5A (Concordia University), 5.25%, 4/25/14 462,786
700,000 Series 1999-4Y (Augsburg College), 5.05%, 10/1/13 730,289
100,000 Series 1999-4Z (Northwestern Hlth. Services University), 4.875%, 10/1/09 103,939
275,000 Series 1999-4Z (Northwestern Hlth. Services University), 5.20%, 10/1/13 281,575
100,000 Series 2000-5D (College Art & Design), 5.75%, 5/1/08 109,021
50,000 Rev. Series 1996-4A1 (University of St. Thomas), 5.625%, 10/1/21 51,336
420,000 Series 2002-5N1 (St. Catherine), 3.00%, 10/1/04 420,013
Rev. Series 2004-5U (St. Mary's Univ.):
200,000 2.00%, 10/1/04 200,002
200,000 2.00%, 10/1/05 200,198
270,000 3.75%, 10/1/13 265,240
310,000 Northfield Lease Rev. Series 1999A (Village School Proj.), 7.50%, 12/1/24 270,379
550,000 Ramsey Lease Rev. Series 2004A (Pact Charter School Proj.), 5.65%, 12/1/13 556,226
St. Paul Hsg. & Redev. Auth. Lease Rev.:
100,000 Series 1999 (St. Paul Academy & Summit School Proj.), 5.50%, 10/1/24 104,526
830,000 Series 2001A (Cmty. of Peace Academy Proj.), 6.375%, 12/1/11 848,799
750,000 Series 2001A (Cmty. of Peace Academy Proj.), 7.00%, 12/1/15 779,160
350,000 Series 2001A (Cmty. of Peace Academy Proj.), 7.375%, 12/1/19 367,321
415,000 Series 2002A (New Spirit Charter School Proj.), 6.50%, 12/1/12 420,984
100,000 Victoria Private School Fac. Rev. Series 1999A (Holy Family Catholic H.S. Proj.), 5.20%, 9/1/11 100,642
165,000 Winona Port. Auth. Lease Rev. Series 1999A (Bluffview Montessori School Proj.), 8.00%, 12/1/24 175,266
---------------
10,842,425
---------------
ESCROWED TO MATURITY/PREREFUNDED (2.2%)
1,290,000 Cokato Sr. Hsg. Rev. Series 1996 (Cokato Charitable Trust Proj.), 7.00%, 12/1/19 1,301,326
500,000 Hutchinson Hsg. Fac. Rev. Series 1994 (Prince of Peace Proj.), 7.375%, 10/1/12 500,075
710,000 Puerto Rico Childrens Trust Fund Tobacco Settlement Rev. Series 2000, 5.75%, 7/1/20 774,709
200,000 Red Wing Hlth. Care Ctr. Fac. Rev. Refunding Series 1993B (River Region Oblig. Group), 6.20%, 9/1/05 208,022
325,000 Sandstone Econ. Dev. Auth. Hsg. & Dev. Rev. Series 1994A (Family Apts. Proj.), 8.00%, 1/1/12 336,651
1,600,000 Southern MN Muni Pwr. Agy. Rev. Series 1992A (MBIA insured), 5.75%, 1/1/18 1,641,632
---------------
4,762,415
---------------
42
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
GENERAL OBLIGATION (4.8%)
Apple Valley Equipment Certficates G.O. Series 2004:
35,000 2.50%, 10/1/05 35,243
40,000 2.50%, 10/1/06 40,398
150,000 Brainerd ISD No. 181 G.O. Series 1995A, 5.50%, 2/1/15 151,863
530,000 Carver Co. Hsg. & Redev. Auth. Hsg. & Dev. Gross Rev. Ltd.Tax G.O.
(Chanhassen Apts. Proj.), 7.00%, 1/1/25 574,684
35,000 Dodge Ctr. G.O. Series 2004A, 2.00%, 2/1/05 35,023
100,000 Hopkins Redev. Refunding G.O. Series 1993C, 4.60%, 2/1/09 100,135
50,000 Hutchinson ISD No. 423 G.O. Series 1996A, 5.85%, 2/1/18 54,756
120,000 Jackson Co. G.O. Series 2001, 3.25%, 12/1/04 120,326
100,000 Luverne ISD No. 2184 G.O. Series 1997, 5.45%, 2/1/14 101,225
50,000 Minneapolis Refunding G.O. Series 1993A, 5.10%, 12/1/08 51,856
45,000 Minneapolis G.O. Series 1999 (Parking Ramp Proj.), 5.125%, 12/1/16 49,455
300,000 Minneapolis ISD No. 001 Series 1997, 5.00%, 2/1/09 311,823
MN G.O.:
1,000,000 Refunding Series 2003, 2.00%, 8/1/05 1,002,910
6,200,000 Series 1995, 5.70%, 8/1/11 6,397,098
185,000 Ramsey Co. Refunding G.O. Series 2004A (Cap. Improvement Plan), 2.50%, 2/1/05 185,568
100,000 St. Cloud Infrastructure Mgmt. Fund G.O. Series 1997C, 4.70%, 3/1/06 101,151
100,000 St. Paul Street Impt. Special Assessment G.O. Series 2000B, 5.30%, 3/1/12 108,972
1,000,000 St. Paul ISD No. 625 G.O. Series 1997A, 5.125%, 2/1/15 1,009,580
---------------
10,432,066
---------------
HOSPITAL/HEALTH CARE (19.4%)
Aitkin Hlth. Care Fac. Rev. Series 2001 (Riverwood Hlth. Care Ctr. Proj.):
250,000 6.00%, 2/1/06 253,452
250,000 6.25%, 2/1/07 256,235
Alexandria Hlth. Care Fac. Rev. Series 2002B (BSM Property - Bethany Home Proj.):
375,000 4.65%, 7/1/06 375,986
375,000 4.95%, 7/1/07 375,637
Bemidji Hosp. Fac. Rev. Refunding (North Country Hlth. Proj.):
105,000 Series 1995, 6.05%, 9/1/24 107,873
1,000,000 Series 1996, 5.625%, 9/1/21 1,042,930
150,000 Breckenridge Hlth. Facs. Rev. Series 1993 (Catholic Hlth. Corp.), 5.25%, 11/15/08 153,270
Brooklyn Center Hlth. Care Fac. Rev. Series 1993 (Maranatha Proj.):
50,000 6.75%, 12/1/05 50,072
500,000 7.50%, 12/1/10 500,695
200,000 7.60%, 12/1/18 200,254
375,000 Cambridge Hsg. & Hlth. Care Fac. Rev. Series 1998C (Grandview West Proj.), 5.25%, 10/1/08 380,355
1,030,000 Columbia Heights Multifamily & Health Care Fac. Rev. Series 1998
(Crest View Corp. Proj.), 5.75%, 9/1/11 1,008,133
See accompanying notes to portfolios of investments on page 62.
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PORTFOLIO OF INVESTMENTS (UNAUDITED)
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
Crookston Nursing Home & Multifamily Hsg. Rev Series 2002A (Villa St. Vincent Proj.):
100,000 4.75%, 9/1/08 101,266
75,000 5.50%, 9/1/11 76,832
1,000,000 Cuyuna Range Hosp. Dist. Hlth. Fac. Gross Rev. Series 1999A, 6.00%, 6/1/19 1,004,400
1,500,000 Detroit Lakes Hsg. Rev. Refunding Series 2004E (Mankato Lutheran Proj.), 4.25%, 8/1/34 1,500,030
750,000 Duluth Econ. Dev. Auth. Hlth. Care Fac. Rev. Series 2002 (St. Luke's Hosp. Proj.), 6.00%, 6/15/12 751,290
65,475 Duluth Sr. Hsg. Loan Participation Series 2004 (Lakeshore Proj.), 4.00%, 8/20/36 65,486
Elk River Rev. Series 1998 (Care Choice Member Proj.):
1,000,000 5.60%, 8/1/13 1,008,460
160,000 5.75%, 8/1/23 152,938
850,000 Fergus Falls Hlth. Care Fac. Auth. Rev. Series 1995 (Lake Region Hosp. Corp.), 6.40%, 12/1/15 884,705
Hastings Hlth. Care Fac. Rev. Series 1998 (Augustana Home of Hastings Proj.):
115,000 5.10%, 11/1/09 112,346
120,000 5.20%, 11/1/10 116,035
135,000 5.40%, 11/1/12 129,263
140,000 5.50%, 11/1/13 133,776
505,000 Hopkins Hlth. Care Fac. Rev. Series 1999 (Augustana Chapel View Homes, Inc. Proj.), 6.00%, 3/1/14 499,612
1,685,000 Maplewood Hlth. Care Fac. Rev. (Volunteers of America Care Ctrs. Proj.), 7.375%, 10/1/12 1,694,133
Marshall Medical Center Gross Rev. (Weiner Memorial Medical Center Proj.):
305,000 Series 1999, 5.65%, 11/1/13 316,117
320,000 Series 1999, 5.70%, 11/1/14 330,182
150,000 Series 2003B, 4.85%, 11/1/11 159,096
Minneapolis & St. Paul Hsg. & Redev. Auth. Hlth. Care Sys. Rev. Series 2003 (Healthpartners Proj.):
500,000 4.00%, 12/1/05 508,270
750,000 5.25%, 12/1/12 791,302
700,000 5.25%, 12/1/13 733,894
1,150,000 5.00%, 12/1/14 1,171,355
500,000 5.875%, 12/1/29 510,790
150,000 Minneapolis Hsg. & Hlth. Care Facs. Rev. Series 1997 (Augustana Chapel View Homes Proj.),
6.75%, 6/1/27 149,121
1,198,857 Minneapolis CDA Promissory Note (Augustana Chapel View Proj.), 4.25%, 5/23/09 1,183,319
1,045,000 Minneapolis Hlth. Care Fac. Rev. Series 1993 (St. Olaf Res. Proj.), 7.00%,10/1/18 872,052
1,000,000 Minneapolis Hlth. Care Fac. Rev. Series 1998A (Benchmark Hlth. Care Proj.), 6.625%, 12/1/28 (8) (9) 200,990
1,000,000 Minneapolis Hlth. Care Fac. Rev. Series 1999 (Shelter Care Foundation Proj.), 6.00%, 4/1/10 983,500
Minneapolis Hlth. Care Fac. Rev. Series 2004A (Augustana Chapel View Homes Proj.):
115,000 3.00%, 1/1/05 114,944
270,000 3.50%, 1/1/06 270,089
280,000 4.00%, 1/1/07 281,907
315,000 5.20%, 1/1/11 320,862
500,000 5.75%, 1/1/19 503,860
500,000 5.80%, 1/1/24 495,035
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
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MN Agr. & Econ. Dev. Board Hlth. Care Rev.:
Series 1999 (Benedictine Care Centers Proj.):
115,000 5.45%, 2/1/09 118,718
120,000 5.45%, 8/1/09 124,070
120,000 5.50%, 2/1/10 124,075
125,000 5.50%, 8/1/10 129,206
MN Agr. & Econ. Dev. Board Rev. Series 2000 (Evangelical Lutheran Good Samaritan Society Proj.):
410,000 5.80%, 8/1/08 445,690
750,000 6.55%, 8/1/16 833,025
MN Agr. & Econ. Dev. Board Rev. Series 2002 (Evangelical Lutheran Good Samaritan Society Proj.):
230,000 4.35%, 2/1/05 231,532
220,000 5.50%, 2/1/12 238,143
MN Agr. & Econ. Dev. Board Rev. Series 2000A (Fairview Hlth. Care Sys. Proj.):
500,000 5.625%. 11/15/04 502,520
645,000 5.625%. 11/15/05 669,910
590,000 5.70%, 11/15/06 630,462
330,000 6.375%, 11/15/22 362,323
380,000 6.375%, 11/15/29 410,890
New Hope Hlth. Care Facs. Rev. (St. Therese Home, Inc. Proj.):
45,000 Series 2003B, 3.00%, 10/1/06 45,096
300,000 Series 2003A, 5.90%, 10/1/23 306,603
Northfield Hospital Rev. Series 2001C:
1,080,000 6.00%, 11/1/13 1,178,550
2,100,000 6.00%, 11/1/26 2,198,658
Olmsted Co. Hlth. Care Fac. Rev. Series 1998 (Olmsted Medical Ctr. Proj.):
775,000 5.45%, 7/1/13 804,024
900,000 5.55%, 7/1/19 920,376
240,000 Pine Island Hlth. Care Facs. Rev. Series 2001 (Olmsted Med. Ctr. Proj.), 5.00%, 7/1/10 249,590
135,000 Plymouth Hlth. Facs. Rev. Series 2003 (Mission Farm Nursing Home Proj.), 3.25%, 8/1/05 134,911
Rochester Hlth. Care & Hsg. Rev. Series 2003A (Samaritan Bethany Inc. Proj.):
160,000 3.25%, 8/1/06 160,486
500,000 6.25%, 8/1/19 514,910
Shakopee Hlth. Care Facs. Rev. Series 2004 (St. Francis Regl. Med. Ctr. Proj.):
355,000 4.00%, 9/1/05 359,952
315,000 4.00%, 9/1/06 322,699
St. Paul Hsg. & Redev. Auth. Hlth. Care Rev. Series 1998 (Regions Hosp. Proj.):
800,000 5.00%, 5/15/08 844,960
250,000 5.00%, 5/15/10 262,897
1,340,000 5.20%, 5/15/13 1,388,441
2,000,000 5.25%, 5/15/18 2,033,500
580,000 5.30%, 5/15/28 579,652
See accompanying notes to portfolios of investments on page 62.
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PORTFOLIO OF INVESTMENTS (UNAUDITED)
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
960,000 St. Paul Hsg. & Redev. Auth. Nursing Home Dev. Rev. Refunding Series 1996C
(Franciscan Hlth. Cmmty. Proj., St. Mary's Home), 7.00%, 7/1/21 930,470
400,000 St. Paul Hsg. & Redev. Auth. Hlth. Care Rev. Series 2001A (Model Cities Hlth. Ctr. Proj.), 6.50%,
11/1/11 410,732
820,000 Wadena Co. Hlth. Care Fac. Rev. Series 1994B, 7.45%, 9/1/15 836,523
150,000 White Bear Lake First Mtg. Rev. Series 2004 (Healtheast Care Ctr. Proj.), 2.75%, 11/1/06 149,330
---------------
42,285,073
---------------
INDUSTRIAL / POLLUTION CONTROL (7.2%)
140,000 Anoka Co. Res. Recovery Rev. Refunding Series 1999 (Northern States Power Co.), 4.35%, 12/1/04 140,398
2,635,000 Anoka Co. Solid Waste Disp. Rev. Series 1987A (Natl. Rural Util. Proj.), 6.95%, 12/1/08 (4) 2,654,815
1,525,000 Burnsville Solid Waste Rev. Refunding Series 2003A (Freeway Transfer Inc. Proj.), 4.15%, 4/1/10 (4) 1,514,630
500,000 Cohasset Pollution Ctrl. Rev. Refunding Series 2004 (Allete, Inc. Proj.), 4.95%, 7/1/22 505,750
745,000 East Grand Forks Industrial Dev. Rev. Refunding Series 2001B (Am. Crystal Sugar Proj.), 5.40%, 4/1/11 793,015
265,000 Guam Economic Dev. Auth. Tobacco Settlement Asset-Backed Series 2001A, 5.00%, 5/15/22 265,962
1,000,000 Guam Econ. Dev. Auth. Tobacco Settlement Asset-Backed Rev. Series 2001B,
Zero Coupon, 5.20% Effective Yield on Purchase Date, 5/15/15 823,740
1,500,000 Hugo Industial Dev. Rev. Refunding Series 2002 (MN Union Builders Proj.), 7.75%, 3/1/17 (4) 675,000
MN Public Facs. Auth. Water Pollution Ctrl. Rev.:
300,000 Series 1997, 5.00%, 3/1/12 318,981
185,000 Series 2001A, 5.00%, 3/1/19 198,185
155,000 MN Agricultural & Econ. Dev. Board Small Business Dev. Loan Program Rev.
Series 2002A Lot 1, 3.65%, 8/1/05 (4) 156,420
210,000 Medina Industrial Dev. Rev. Refunding Series 1998 (Temroc Metals, Inc. Proj.), 5.10%, 10/1/05 (4) 213,778
Owatonna Industrial Dev. Rev. Series 1997:
280,000 7.25%, 5/1/14 (4)(8)(9) 151,200
505,000 7.375%, 5/1/17 (4)(8)(9) 272,700
20,000 7.375%, 5/1/20 (4)(8)(9) 10,800
10,000 7.50%, 5/1/24 (8)(9) 5,400
525,000 Puerto Rico Indus. Tourist, Educ., Medical and Environmental Control Facs. Financing Auth.
Industrial Rev. Series 1998A (Guaynabo Warehouse for Emergencies Proj.), 4.35%, 7/1/06 543,275
Puerto Rico Childrens Trust Fund Tobacco Settlement Rev. :
300,000 Series 2002, 4.00%, 5/15/10 290,145
2,675,000 Series 2002, 5.375%, 5/15/33 2,450,862
465,000 Roseville Dev. Rev. Refunding Series 2004 (Roseville Office Plaza Proj.), 4.625%, 8/1/12 475,095
Sauk Centre Industrial Dev. Rev. Series 1998 (Seluemed LLP Proj.)(LOC First Trust):
75,000 4.95%, 4/1/10 (4) 75,514
275,000 5.75%, 4/1/18 (4) 275,443
St. Paul Hsg. & Redev. Auth. District Cooling Rev. Series 1998J:
150,000 4.75%, 3/1/08 160,113
95,000 5.125%, 3/1/12 100,303
500,000 5.35%, 3/1/18 521,805
Virgin Islands Tobacco Settlement Financing Corp. Asset-Backed Rev. Series 2001:
750,000 Zero Coupon, 4.95% Effective Yield on Purchase Date, 5/15/14 611,610
1,720,000 5.00%, 5/15/21 1,567,505
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15,772,444
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
INSURED (6.2%)
50,000 Bemidji ISD No. 031 G.O. Series 1998 (FSA insured), 5.00%, 4/1/19 52,517
600,000 Brooklyn Ctr. Police & Fire Bldg. G.O. Series 1997B (FGIC insured), 4.85%, 2/1/12 606,150
Dakota Co. Hsg. Dev. G.O. Series 1995 (Ambac insured):
95,000 5.10%, 1/1/11 95,792
235,000 5.125%, 1/1/17 236,694
Hastings Hlth. Care Fac. Rev. Series 1998 (Regina Med. Ctr.)(ACA insured):
565,000 5.25%, 9/15/18 575,888
200,000 5.30%, 9/15/28 198,094
100,000 Itasca Co. ISD No. 318 G.O. Series 1996 (MBIA insured), 5.20%, 2/1/10 101,141
175,000 Minneapolis & St. Paul Hsg. & Redev. Auth. Hlth. Care Sys. Rev. Series 1993A
(Healthspan Proj.)(Ambac insured), 5.00%, 11/15/13 178,931
1,650,000 Minneapolis & St. Paul Metro Airport Comm. Airport Rev. Series 1998B
(Ambac insured), 5.25%, 1/1/13 (4) 1,779,145
90,000 MN HFA Single Family Mtg. Rev. Series 2001A (MBIA insured), 5.35%, 7/1/17 94,298
250,000 New Ulm ISD No. 088 G.O. Series 1996 (FSA insured), 5.50%, 2/1/15 253,105
200,000 Puerto Rico Indus. Tourist Educ. Med. & Environmental Ctl. Facs. Rev. Series 1995A
(Hosp. Auxilio Oblig. Group Proj.), 6.25%, 7/1/16 206,166
300,000 Scott Co. Hsg. & Redev. Auth. Ltd. Special Benefits Tax Series 1997B (River City Centre Proj.),
(Ambac insured), 5.45%, 2/1/20 322,089
300,000 St. Cloud Hosp. Facs. Rev. Ref. Series 1996B (St. Cloud Hosp. Proj.)(Ambac insured), 5.00%, 7/1/20 311,955
55,000 St. Cloud Multifamily Rev. Refunding Series 1993B (St. Cloud Hosp. Proj.), 5.40%, 10/1/23 55,672
200,000 St. Cloud Hlth. Care Rev. Series 2000A (St. Cloud Hosp. Obligated Group)(FSA insured), 5.125%, 5/1/09 219,426
250,000 St. Louis Co. Hsg. & Redev. Auth. Rev. Series 1997 (Law Enforce. Proj.)(FGIC insured), 5.00%, 12/1/08 258,895
235,000 St. Paul Hsg. & Redev. Auth. Rev. Series 1993 (Ramsey Med. Ctr. Proj.)(Ambac insured), 5.55%, 5/15/23 237,961
2,545,000 St. Paul Hsg. & Redev. Sales Tax Rev. Refunding Series 1996 (Civic Center Proj.)
(FSA insured), 7.10%, 11/1/23 3,188,707
500,000 St. Paul Port Auth. Tax Increment Rev. Refunding Series 2003-16 (Energy Park Dist. Proj.)
(Radian insured), 2.00%, 2/1/05 500,235
130,000 Scott Co. Hsg. & Redev. Auth. Fac. Lease Rev. Series 1997 (Justice Ctr. Proj.)(Ambac insured),
5.50%, 12/1/15 142,141
765,000 Waconia Hlth. Care Facs. Rev. Series 1999A (Ridgeview Med. Ctr. Proj.) 6.125%, 1/1/29 847,765
100,000 Wayzata ISD No. 284 G.O. Series 1995B (FSA insured), 5.95%, 2/1/13 101,399
Western MN Pwr. Agy. Rev. Refunding Series 1996A (Ambac insured):
600,000 6.25%, 1/1/05 606,984
200,000 5.50%, 1/1/12 212,538
200,000 White Bear Lake ISD No. 624 G.O. Series 2004-4A (FSA insured), 2.00%, 2/1/05 200,288
1,750,000 White Earth Band of Chippewa Indians Rev. Series 2000A (ACA insured), 7.00%, 12/1/11 1,969,049
---------------
13,553,025
---------------
See accompanying notes to portfolios of investments on page 62.
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PORTFOLIO OF INVESTMENTS (UNAUDITED)
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
MULTIFAMILY MORTGAGE (34.4%)
1,520,000 Apple Valley Multifamily Hsg. Rev. Refunding Series 1998A (Mtg. Loan/Apple Valley
Villa Proj.) (GNMA collateralized), 5.25%, 8/1/18 1,577,365
Austin Hsg. & Redev. Auth. Governmental Hsg. Gross Rev. (Courtyard Res. Proj.):
50,000 Serie 1995 A, 7.00%, 1/1/15 51,849
500,000 Series 1995A, 7.25%, 1/1/26 517,515
650,000 Series 2000A, 7.15%, 1/1/20 693,400
500,000 Series 2000A, 7.25%, 1/1/32 530,970
1,190,000 Brooklyn Center Multifamily Hsg. Rev. Series 1993 (Ponds Family Hsg. Proj.), 5.90%, 1/1/20 1,198,865
500,000 Buffalo Hlth. Care C.O.P. Series 2004C (Central MN Sr. Hsg., LLC Proj.), 7.50%, 2/20/33 499,965
Buffalo Rev. Refunding Series 1998 (Covenant Retirement Cmtys. Proj.):
250,000 4.45%, 12/1/04 250,855
250,000 4.55%, 12/1/05 254,692
Burnsville Multifamily Hsg. Rev. Refunding Series 1991 (Oak Leaf Apts. Proj.)(GNMA collateralized):
760,000 7.05%, 1/1/12 761,588
780,000 7.125%, 1/1/17 781,529
860,000 7.125%, 1/1/21 861,548
150,000 7.15%, 1/1/27 150,219
530,000 7.15%, 1/1/23 530,885
425,000 7.15%, 1/1/25 425,646
Carver Co. Hsg. & Redev. Auth. Multifamily Hsg.:
1,200,000 Gross Rev. & Ltd. Tax Refunding Series 1997A (Lake Grace Apts. Proj.), 6.00%, 7/1/28 1,213,680
650,000 Rev. Refunding Series 1997A (Waybury Apts. Proj.), 5.875%, 8/1/27 669,474
400,000 Subordinate Rev. Refunding Series 1997C (Waybury Apts. Proj.), 8.00%, 8/1/27 402,468
Chaska Multifamily Hsg. Rev. Series 1999 (West Suburban Hsg. Partners Proj.):
235,000 5.00%, 9/1/09 (4) 231,473
495,000 5.375%, 9/1/14 (4) 473,878
405,000 Chisago City Hlth. Fac. Rev. Refunding Series 1995A (Pleasant Heights Proj.), 7.30%, 7/1/18 416,559
Cloquet Multifamily Hsg. Rev. Refunding Series 2001A (HADC Proj.):
55,000 6.00%, 2/1/05 55,144
60,000 6.25%, 2/1/06 60,672
60,000 6.50%, 2/1/07 61,201
75,000 7.10%, 2/1/10 76,880
700,000 Coon Rapids Multifamily Hsg. Rev. Refunding Series 1997A (Margaret Place Apts. Proj.),
6.50%, 5/1/25 641,459
Coon Rapids Senior Hsg. Rev. Refunding Series 1998 (Epiphany Sr. Citizens Hsg. Corp. Proj.):
115,000 5.30%, 11/1/07 115,611
115,000 5.40%, 11/1/08 115,581
170,000 5.50%, 11/1/10 170,061
545,000 5.80%, 11/1/18 537,228
Dakota Co. Hsg. & Redev. Auth. Multifamily Hsg. Rev. Refunding (Walnut Trails Apts. Proj.):
4,350,000 Series 1995A (GNMA collateralized), 7.90%, 1/20/31 (4) 4,683,036
190,000 Subordinate Series 1995C, 9.00%, 1/20/15 (4) 185,860
1,000,000 Dakota Co. Hsg. & Redev. Auth. Multifamily Hsg. Rev. Series 1999
(View Pointe Apts. Proj.), 6.125%, 11/1/17 950,000
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
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800,000 Dakota Co. Cmty. Dev. Agy. Hsg. Fac. Rev. Subordinate Series 2002B
(HADC Apple Valley Sr. Apts. Proj.), 7.50%, 8/15/43 782,144
330,000 Eagan Multifamily Hsg. Rev. Refunding Series 1997A (Woodridge Apts. Proj.), 5.95%, 2/1/32 348,698
Eden Prairie Multifamily Hsg. Rev. Refunding :
300,000 Series 1997A (Preserve Place Proj.) (GNMA collateralized), 5.50%, 1/20/18 316,461
410,000 Series 1997A (Preserve Place Proj.) (GNMA collateralized), 5.60%, 7/20/28 422,308
470,000 Senior Series 2001A (Rolling Hills Proj.) (GNMA collateralized), 6.00%, 8/20/21 520,563
675,000 Senior Series 2001A (Rolling Hills Proj.) (GNMA collateralized), 6.15%, 8/20/31 732,733
685,000 Series 2001A (Rolling Hills Proj.) (GNMA collateralized), 6.20%, 2/20/43 741,444
1,100,000 Subordinate Series 2001C (Rolling Hills Proj.), 9.00%, 4/1/43 1,087,141
Fairmont Hsg. Fac. Rev. Series 2002-A1 (Homestead-GEAC Proj.):
1,100,000 6.625%, 10/1/11 1,150,138
295,000 6.875%, 10/1/14 296,369
Golden Valley Rev. Series 1999A (Covenant Retirement Cmntys. Proj.):
500,000 5.50%, 12/1/25 505,295
1,000,000 5.50%, 12/1/29 1,005,210
Grand Rapids Hsg. & Redev. Auth. (Lakeshore Place and Forest Park West Apts. Proj.):
60,000 Series 1999B, 5.00%, 10/1/09 60,079
500,000 Series 1999A, 5.20%, 10/1/19 514,840
1,660,000 Series 1999A, 5.30%, 10/1/29 1,666,424
110,000 Series 1999B, 5.70%, 10/1/29 104,123
500,000 Hopkins Subordinate Multifamily Hsg. Rev. Refunding Series 1996C (Auburn Apts. Proj.), 8.00%, 6/20/31 486,495
Hopkins Multifamily Hsg. Rev. Series 1996 (Hopkins Renaissance Proj.) (Section 8):
100,000 5.85%, 4/1/09 106,606
450,000 6.25%, 4/1/15 474,628
Hutchinson Hsg. Fac. Rev. (Prince of Peace Apts. Proj.):
50,000 Series 2003A, 3.50%, 10/1/06 50,058
115,000 Series 2003A, 4.00%, 10/1/07 115,193
120,000 Series 2003A, 4.50%, 10/1/08 120,262
Inver Grove Heights Senior Hsg. Rev. (PHM/Inver Grove, Inc Proj):
85,000 Series 2001, 6.375%, 5/1/31 84,769
105,000 Series 2001A, 5.50%, 5/1/08 104,658
110,000 Series 2001A, 5.50%, 11/1/08 109,597
65,000 Series 2001B, 5.00%, 5/1/06 66,038
70,000 Series 2001B, 5.25%, 5/1/07 71,408
75,000 Series 2001B, 5.50%, 5/1/08 76,533
80,000 Series 2001B, 5.60%, 5/1/09 81,513
70,000 Series 2001B, 5.00%, 11/1/06 71,280
75,000 Series 2001B, 5.50%, 11/1/08 76,649
80,000 Series 2001B, 5.60%, 11/1/09 81,448
3,190,000 Little Canada Multifamily Hsg. Rev. Series 1997A (Hsg. Alt. Dev. Co. Proj.), 6.10%, 12/1/17 3,198,772
1,400,000 Maplewood Multifamily Hsg. Rev. Series 1998 (Park Edge Apts. Proj.), 6.50%, 5/1/29 (4) 1,259,594
See accompanying notes to portfolios of investments on page 62.
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PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
Maplewood Multifamily Refunding Rev. (Village on Woodlyn Proj.):
1,605,000 Series 1999A (GNMA collateralized), 6.75%, 7/20/30 (4) 1,699,406
100,000 Subordinate Series 1999C-1, 8.00%, 11/1/30 (4) 95,378
270,000 Subordinate Series 1999C-2, 8.00%, 11/1/30 (4) 257,521
Minneapolis Multifamily Hsg. Rev.:
500,000 Series 2002A (Keeler Apts. Proj.), 7.00%, 10/1/17 490,410
355,000 Series 1996 (Belmont Apts.), 7.25%, 11/1/16 355,213
Series 1994 (Findley Place Townhomes Proj.) (Section 8):
50,000 6.00%, 12/1/05 (4) 50,309
1,465,000 7.00%, 12/1/16 (4) 1,460,063
5,020,000 Series 1996A (Nicollet Towers) (Section 8), 6.00%, 12/01/19 5,217,888
1,000,000 Series 1998 (Riverside Plaza Proj.) (GNMA collateralized), 5.10%, 12/20/18 (4) 1,030,990
335,000 Series 2000 (Garr Scott Loft Proj.)(LOC U.S. Bank), 5.95%, 5/1/30 (4) 357,566
50,000 Series 2003A (Sumner Proj.) (GNMA collateralized), 3.00%, 8/20/08 (4) 50,290
3,445,000 Series 2003 (Sumner Field Phase II Proj.), 2.60%, 8/20/08 (4) 3,467,324
Minneapolis Student Hsg. Rev. Series 2000 (Riverton Community Hsg. Proj.):
100,000 6.80%, 7/1/10 103,979
240,000 6.90%, 7/1/11 247,877
50,000 MN HFA Rental Hsg. Rev. Series 1996A, 6.10%, 8/1/27 (4) 51,673
330,000 Minnetonka Multifamily Hsg. Rev. Refunding Subordinate Series 1994C (Brier Creek Proj.),
8.00%, 12/20/16 338,827
Minnetonka Multifamily Hsg. Rev. Refunding Series 1999A (GNMA collateralized) (Archer Heights Apts. Proj.):
540,000 5.10%, 7/20/13 (4) 573,653
975,000 5.20%, 1/20/18 (4) 1,025,300
New Ulm Multifamily Rev. Series 1999 (HADC Ridgeway Proj.):
95,000 5.35%, 12/1/08 93,873
100,000 5.40%, 12/1/09 97,215
105,000 5.50%, 12/1/10 101,165
110,000 5.60%, 12/1/11 105,090
Oakdale Multifamily Sr. Hsg. Rev. Refunding Series 2004 (Oak Meadows Proj.):
325,000 4.25%, 4/1/08 326,891
600,000 5.00%, 4/1/12 606,732
Plymouth Multifamily Hsg. Rev. Refunding Series 1996A (Fox Forest Apts. Proj.) (GNMA collateralized):
1,650,000 Series 1996A, 8.05%, 6/20/31 1,760,847
640,000 Series 1996C, 8.00%, 6/20/31 622,714
2,800,000 Rochester Multifamily Rev. Refunding Series 2000A (Weatherstone Apts. Proj.) (LOC Household Finance)
(Mandatory Put 9/1/17) 6.375%, 9/1/37 (4) 3,038,644
2,820,000 Roseville Hsg. Fac. Rev. Refunding Bonds Series 1998 (College Properties Inc. Proj.), 5.60%, 10/1/13 2,861,144
80,000 Sherburne Co. Hsg. & Redev. Auth. Lease Rev. Series 1997, 5.50%, 2/1/17 81,208
2,520,000 Shoreview Sr. Hsg. Rev. Series 1996 (Shoreview Sr. Residence Proj.), 7.25%, 2/1/26 2,639,524
1,650,000 St. Cloud Hsg. & Redev. Auth. Multifamily Hsg. Rev.:
Series 1993 (Germain Towers Proj.) (Section 8), 5.90%, 9/1/20 1,286,472
50
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
Series 1999A (Parkview Terrace Apts. Proj.) (Section 8):
73,000 5.00%, 6/1/09 68,004
1,029,000 5.50%, 6/1/18 875,926
St. Louis Park Multifamily Hsg. Rev. Refunding:
650,000 Series 1995 (FHA insured) (Knollwood Cmty. Hsg. Proj.), 6.15%, 12/1/16 673,920
500,000 Series 1998A (Park Ridge Apts. Proj.) (GNMA collateralized), 5.25%, 11/1/20 522,730
200,000 St. Paul Hsg. & Redev. Auth. Multifamily Refunding Rev. Series 1995
(Sun Cliffe Apts. Proj.)(GNMA collateralized), 5.875%, 7/1/15 208,268
3,270,000 St. Paul Port Authority Multifamily Hsg. Refunding (Jackson Towers Apts. Proj.) Senior
Series 1998-1A (GNMA collateralized), 6.95%, 4/20/33 3,507,958
845,000 Washington Co. Hsg. & Redev. Auth. Multifamily Hsg. Rev. Refunding Series 1994
(White Bear Lake Transitional Hsg. Proj.), 6.625%, 8/1/24 849,740
755,000 Washington Co. Hsg. & Redev. Auth. Governmental Hsg. Rev. Refunding Series 1999A (Briar Pond
Apts. Proj.) (GNMA collateralized), 5.50%, 2/20/14 784,075
---------------
75,022,434
---------------
MUNICIPAL LEASE (2.3%) (5)
Andover Econ. Dev. Auth. Public Fac. Lease Rev. Series 2004 (Cmnty. Ctr. Proj.):
185,000 2.125%, 2/1/06 185,030
500,000 5.125%, 2/1/24 509,065
40,000 Anoka Co. C.O.P. Series 1998, 5.40%, 6/1/28 40,494
75,776 Brooklyn Park C.O.P. Series 1996, 5.45%, 9/27/06 76,859
110,000 Burnsville Econ. Dev. Auth. Lease Rev. Series 1994A, 5.90%, 12/1/05 110,705
50,000 Chaska Econ. Dev. Auth. ISD No. 112 Sch. Facs. Lease Rev. Series 1999A, 5.125%, 12/1/09 54,161
104,000 Hennepin Co. Hsg. & Redev. Auth. Rev. Series 1993A (Community Provider Program), 5.70%, 8/1/13 104,140
535,000 Hibbing Econ. Dev. Auth. Public Proj. Rev. Series 1997 (Hibbing Lease Obligations Proj.), 6.10%,
2/1/08 562,274
125,000 Mountain Iron Hsg. & Redev. Auth. Rev. Series 2001A (Arrowhead Library Sys. Proj.), 5.00%, 9/1/09 132,319
250,000 North St. Paul Maplewood ISD No. 622 C.O.P. Series 2004, 3.00%, 2/1/05 251,025
Shorewood Econ. Dev. Auth. Public Safety Fire Fac. Lease Rev. Series 2002A:
135,000 3.00%, 2/1/05 135,251
140,000 3.50%, 2/1/06 141,645
800,000 St. Cloud C.O.P. Series 1997, 5.90%, 12/1/17 813,952
1,401,015 St. Paul Lease Series 1998 (City Hall Annex Building), 5.71%, 10/1/18 1,346,236
40,000 St. Paul ISD No. 625 C.O.P Series 1995C, 5.40%, 2/1/10 40,483
400,000 St. Paul Hsg. & Redev. Auth. Lease Rev. Series 2000 (Rivercentre Pkg. Ramp Proj.), 5.70%, 5/1/08 439,020
---------------
4,942,659
---------------
PUBLIC FACILITIES (1.3%)
1,000,000 Minneapolis Cmty. Dev. Agy. Ltd. Tax Supported Dev. Rev. Common Bond Fund Series 2001G3
(LOC-U.S. Bank), 5.35%, 12/1/21 1,053,030
395,000 MN Agric. Society State Fair Rev. Series 2003, 3.00%, 9/15/05 398,310
St. Paul Recreational Fac. Gross Rev. Series 1996D:
160,000 5.50%, 6/1/08 163,680
1,245,000 5.875%, 6/1/18 1,273,772
---------------
2,888,792
---------------
See accompanying notes to portfolios of investments on page 62.
51
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Sit Minnesota Tax-Free Income Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
SINGLE FAMILY MORTGAGE (3.3%)
Dakota County Hsg. & Redev. Auth. Single Family Mtg. Rev.:
55,000 Series 1994A (FNMA backed), 6.70%, 10/1/09 (4) 55,537
40,000 Series 1995 (FNMA & GNMA backed), 6.25%, 10/1/09 (4) 40,003
105,000 Minneapolis- St. Paul Hsg. Fin. Bd. Single Family Mtg. Rev. Series 1997 (FNMA & GNMA backed),
6.25%, 11/1/30 (4) 112,125
885,000 Minneapolis Redev. Mtg. Rev. Series 1987A (Riverplace Proj.) (LOC Bk. of Tokyo), 7.10%, 1/1/20 889,036
397,273 Minneapolis Residual Interest Mtg. Rev. Series 1995, 7.00%, 10/1/12 406,903
MN HFA Single Family Mtg. Rev.:
205,000 Series 1994E, 5.90%, 7/1/25 209,639
10,000 Series 1995K, 6.20%, 7/1/20 (4) 10,235
175,000 Series 1996D, 6.00%, 1/1/16 182,224
125,000 Series 1997A, 5.60%, 7/1/09 131,629
415,000 Series 1997I, 5.50%, 1/1/17 436,074
260,000 Series 1996H, 6.00%, 1/1/21 270,083
840,000 Series 1997D, 5.85%, 7/1/19 (4) 845,762
50,000 Series 1997E, 5.90%, 7/1/29 (4) 50,348
130,000 Series 1997G, 6.00%, 1/1/18 133,526
1,330,000 Series 1998C, 5.25%, 1/1/17 1,378,705
90,000 Series 1998F-1, 4.75%, 7/1/07 91,812
70,000 Series 1998F, 4.95%, 7/1/08 73,112
390,000 Series 1998F-1, 5.45%, 1/1/17 400,085
115,000 Series 1998F, 5.70%, 1/1/17 119,104
530,000 Series 1999B, 5.25%, 1/1/20 544,527
590,000 Series 1999C, 4.40%, 7/1/05 (4) 600,921
190,000 Series 2000C, 6.10%, 7/1/30 (4) 191,398
---------------
7,172,788
---------------
UTILITY (0.5%)
Glencoe Light & Power Commission Elec. Rev. Series 2004:
300,000 2.00%, 12/1/04 300,132
255,000 2.00%, 12/1/05 254,850
Lake Crystal Public Utilities Comm. Electric Rev. Series 1998:
130,000 5.45%, 12/1/13 130,775
120,000 5.50%, 12/1/16 120,336
70,000 MN Public Facs. Auth. Water Pollution Ctrl. Rev. Series 1996B, 5.00%, 3/1/17 72,446
300,000 Princeton Public Utility Sys. Rev. Series 2004, 5.00%, 4/1/24 302,613
---------------
1,181,152
---------------
OTHER REVENUE BONDS (8.6%)
Columbia Heights Commercial Dev. Refunding Rev. Series 1999 (Columbia Park Properties -
Medical Clinic Proj.):
250,000 5.15%, 12/1/08 241,555
1,750,000 5.60%, 12/1/15 1,587,320
52
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
Commissioner of Iron Range Resources and Rehab. Gross Rev. (Giant's Ridge Rec. Area Proj.):
200,000 Series 2000, 6.25%, 11/1/05 204,364
900,000 Series 2000, 7.25%, 11/1/16 908,721
Minneapolis Cmty. Dev. Agy. Ltd. Tax Common Bond Fund:
70,000 Series 1996-1 (LOC-U.S. Bank), 5.60%, 12/1/04 70,423
100,000 Series 1996-1 (LOC-U.S. Bank), 6.00%, 6/1/11 103,836
170,000 Series 1997-1 (Halper Corrugated Box Mfg. Co.), 5.90%, 6/1/07 (4) 183,430
500,000 Series 1999-1A (Discount Steel), 5.25%, 6/1/19 (4) 514,755
160,000 Series 2000-G2 (LOC-U.S. Bank), 6.00%, 12/1/20 174,139
175,000 Series 2001-G3 (LOC-U.S. Bank), 5.45%, 12/1/31 182,077
945,000 Minneapolis Public Hsg. Auth. Series 1997 (General Credit Energy Savings Proj.), 6.00%, 7/1/08 928,453
600,000 Minneapolis Tax Increment Rev. Refunding Series 2004 (St. Anthony Falls Proj.), 4.50%, 2/1/13 601,620
200,000 Renville Gross Rev. Golf Course Bond Series 1997, 6.50%, 2/1/19 203,452
St. Paul Hsg. & Redev. Auth. Tax Increment Rev.:
800,000 Series 2001 (US Bank Operations Ctr. Proj.), 6.125%, 8/1/19 828,432
1,140,000 Series 2002 (North Quadrant Owner Occupied Proj. Phase 2), 7.00%, 2/15/28 1,171,054
1,076,000 Series 2002 (North Quadrant Owner Occupied Proj. Phase 1), 7.50%, 2/15/28 1,156,980
3,000,000 Series 2002A (Upper Landing Proj.), 6.80%, 3/1/29 3,014,340
2,000,000 Series 2002B-2 (Upper Landing Proj.), 6.90%, 3/1/29 1,983,520
1,300,000 Series 2002 (Drake Marble Proj.), 6.75%, 3/1/28 1,302,262
1,335,000 Series 2004 (9th St. Lofts Proj.), 6.375%, 2/15/28 1,334,880
845,000 Steele Co. Hlth. Care Fac. Rev. Series 2000 (Elderly Hsg. Proj.), 6.625%, 6/1/20 912,423
Victoria Recreational Facility Gross Rev. Series 2002:
70,000 4.75%, 2/1/12 72,395
75,000 4.75%, 8/1/12 77,566
85,000 5.10%, 8/1/15 87,593
Virgin Islands Public Fin. Auth. Rev.:
800,000 Senior Lien Fund Series 1998C, 5.50%, 10/1/04 800,080
200,000 Gross Receipts Taxes Loan Note Series 1999A, 5.625%, 10/1/10 214,468
---------------
18,860,138
---------------
Total municipal bonds (cost: $208,246,480) 207,715,411
---------------
SHORT-TERM SECURITIES (4.3%) (2)
2,295,770 Federated Minnesota Municipal Cash Fund, 1.28% 2,295,770
3,500,000 Hennepin Co. G.O. Series, variable rate, 12/1/20 3,500,000
700,000 Minneapolis Conv. Ctr. G.O. Series, variable rate, 12/1/18 700,000
300,000 Minneapolis Various Proj. G.O. Series, variable rate, 12/1/18 300,000
1,000,000 Minneapolis Library G.O. Series, variable rate, 12/1/32 1,000,000
1,500,000 Southern MN Muni Pwr. Agy. CP, 1.60%, 10/7/04 1,500,000
42,004 Wells Fargo Minnesota Municipal Cash Fund, 0.90% 42,004
---------------
Total Short-Term Securities (cost: $9,337,774) 9,337,774
---------------
Total investments in securities (cost: $217,584,254) (7) $217,053,185
===============
See accompanying notes to portfolios of investments on page 62.
53
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Sit Florida Tax-Free Income Fund
SIX MONTHS ENDED SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
FIXED-INCOME MANAGEMENT TEAM
================================================================================
The Florida Tax Free Income Fund returned +0.65% for the six months ended
September 30, 2004 compared with a return of +0.62% for the Lehman 5-Year
Municipal Bond Index. The Fund's 30-day SEC yield was 4.06% as of September
30th. The Fund's taxable equivalent yield of 6.25% for investors in the highest
federal tax bracket compares favorably with taxable alternatives.
The Fund's implied duration is 2.7 years. The Fund's shorter duration was
a positive factor in the April through June period. Bond yields rose sharply in
April and May in anticipation of a shift to a less accommodative monetary
policy. Indeed, the Federal Reserve began a series of short-term rate increases
on June 30th in response to strong economic growth. As economic growth
moderated, bond yields declined somewhat from June through September, although
they remained at higher levels than at the end of March.
Three of the four largest market sectors in which the Fund invests each
earned returns more than 0.75% higher than the Index returns for the six month
period. The three strongest performing sectors account for more than 80% of the
Fund's assets. The only sector that had weak performance was the multi-family
housing sector, which lagged the Index by approximately 2% reflecting concerns
about hurricane damage, insurance costs and weaker occupancy. The multifamily
sector represents approximately 14% of the Fund's assets.
We expect moderate economic growth at an annual rate of about +3.5%
through 2005. This sustained growth is expected to prompt the Federal Reserve to
further increase the federal funds rate to the 2% level by the end of 2004, and
to the 3% to 3.5% level by the end of 2005. Sustained moderate economic growth
and higher short term interest rate levels is expected to be reflected in
moderately higher bond yields across the bond yield curve with a flattening
trend for the yield curve. The Fund's relatively short duration will provide for
substantial reinvestment opportunities at higher yield levels in longer duration
bonds during 2005.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
- --------------------------------------------------------------------------------
The objective of the Florida Tax-Free Income Fund is to provide a high
level of current income that is exempt from federal regular income tax by
investing in securities that are exempt from the Florida intangibles tax.
The Fund seeks to achieve its objective by investing primarily in
municipal securities that generate interest income that is exempt from regular
federal income tax and that are exempt from the Florida intangible personal
property tax. During normal market conditions, the Fund invests 100% (and, as a
fundamental policy, no less than 80%) of its net assets in such tax-exempt
municipal securities. The Fund may invest up to 10% of its assets in securities
that generate interest income subject to federal alternative minimum tax.
- --------------------------------------------------------------------------------
PORTFOLIO SUMMARY
- --------------------------------------------------------------------------------
Net Asset Value 9/30/04: $9.97 Per Share
3/31/04: $10.05 Per Share
Total Net Assets: $3.0 Million
30-day SEC Yield: 4.06%
Tax Equivalent Yield: 6.25%(1)
12-Month Distribution Rate: n/a
Average Maturity: 11.3 Years
Duration to Estimated Avg. Life: 2.1 Years(2)
Implied Duration: 2.7 Years(2)
(1) For individuals in the 35.0% federal tax bracket.
(2) See next page.
- --------------------------------------------------------------------------------
PORTFOLIO STRUCTURE
(% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
[BAR CHART]
Insured 54.4
Multifamily Mortgage Revenue 13.9
Other Revenue Bonds 13.5
Hospital/Health Care Revenue 13.0
Sectors less than 3.0% 4.3
Cash & Other Net Assets 0.9
54
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- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS*
- --------------------------------------------------------------------------------
SIT LEHMAN LIPPER FL
FL TAX-FREE 5-YEAR MUNI. MUNI-BOND
INCOME FUND BOND INDEX FUND INDEX
----------- ------------ ----------
3 Month** 1.27% 2.83% 3.28
6 Month** 0.65 0.62 n/a
1 Year n/a n/a n/a
3 Years n/a n/a n/a
5 Years n/a n/a n/a
Inception** 1.74 1.91 2.60
(12/31/03)
- --------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURNS*
- --------------------------------------------------------------------------------
SIT LEHMAN LIPPER FL
FL TAX-FREE 5-YEAR MUNI. MUNI-BOND
INCOME FUND BOND INDEX FUND INDEX
----------- ------------ ----------
1 Year n/a n/a n/a
3 Years n/a n/a n/a
5 Years n/a n/a n/a
Inception 1.74% 1.91% 2.60
(12/31/03)
*AS OF 9/30/04 **NOT ANNUALIZED.
- --------------------------------------------------------------------------------
PERFORMANCE FIGURES ARE HISTORICAL AND DO NOT GUARANTEE FUTURE RESULTS.
INVESTMENT RETURNS AND PRINCIPAL VALUE WILL VARY, AND YOU MAY HAVE A GAIN OR
LOSS WHEN YOU SELL SHARES. AVERAGE ANNUAL TOTAL RETURNS INCLUDE CHANGES IN SHARE
PRICE AS WELL AS REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAINS. MANAGEMENT
FEES AND ADMINISTRATIVE EXPENSES ARE INCLUDED IN THE FUND'S PERFORMANCE;
HOWEVER, FEES AND EXPENSES ARE NOT INCORPORATED IN THE LEHMAN 5-YEAR MUNICIPAL
BOND INDEX. THE LIPPER AVERAGES AND INDICES ARE OBTAINED FROM LIPPER ANALYTICAL
SERVICES, INC., A LARGE INDEPENDENT EVALUATOR OF MUTUAL FUNDS.
(2) Duration is a measure which reflects estimated price sensitivity to a given
change in interest rates. For example, for an interest rate change of 1%, a
portfolio with a duration of 5 years would be expected to experience a price
change of 5%. Estimated average life duration is based on current interest rates
and the Adviser's assumptions regarding the expected average life of individual
securities held in the portfolio. Implied duration is calculated based on
historical price changes of securities held by the Fund. The Adviser believes
that the portfolio's implied duration is a more accurate estimate of price
sensitivity provided interest rates remain within their historical range. If
interest rates exceed the historical range, the estimated average life duration
may be a more accurate estimate of price sensitivity.
- --------------------------------------------------------------------------------
GROWTH OF $10,000
- --------------------------------------------------------------------------------
[FLOW CHART]
The sum of $10,000 invested at inception (12/31/03) and held until 9/30/04 would
have grown to $10,174 in the Fund or $10,191 in the Lehman 5-Year Municipal Bond
Index assuming reinvestment of all dividends and capital gains.
- --------------------------------------------------------------------------------
QUALITY RATINGS
(% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
LOWER OF MOODY'S,
[PIE CHART] S&P, FITCH OR DUFF &
PHELPS RATINGS USED.
Other Assets
and Liabilities
0.9%
AAA
50.5%
BBB Assessment of
14.0% Non-Rated Securities
--------------------
AA AAA 1.1%
5.9% AA 0.0
A 0.0
Not BBB 0.0
Rated BB 10.6
11.7% ------
Total 11.7%
A --------------------
17.0%
55
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Sit Florida Tax-Free Income Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
- -----------------------------------------------------------------------------------------------------------------------------------
QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (99.1%) (2)
HOSPITAL/HEALTH CARE (13.0%)
Highlands Co. Hlth. Facs. Auth. Rev.:
40,000 Series 2002 (Adventist Health Sys./Sunbelt Proj.), 3.35%, 11/15/32 40,498
25,000 Series 2003D (Adventist Health Sys. Proj.), 5.875%, 11/15/29 26,680
25,000 Hillsborough Co. Industrial Dev. Auth. Hosp. Rev. Refunding Series 2003A (Tampa General
Hosp. Proj.), 2.50%, 10/1/05 25,054
Marion Co. Hosp. Dist. Rev. Refunding Series 1999 (Munroe Reg. Proj.):
25,000 5.25%, 10/1/10 26,812
50,000 5.50%, 10/1/14 52,871
65,000 Martin Co. Hlth. Fac. Auth. Hosp. Rev. Refunding Series 2002B (Martin Memorial Medical
Center Proj.), 3.35%, 11/15/04 65,086
50,000 Miami Hlth. Fac. Auth. Rev. Series 2003B (Catholic Hlth. East Proj.), 2.50%, 11/15/05 50,243
100,000 South Lake Co. Hosp. Dist. Rev. Series 2003 (South Lake Hosp., Inc. Proj.), 5.50%, 10/1/13 103,026
------------
390,270
------------
INDUSTRIAL/POLLUTION CONTROL (1.5%)
45,000 Dunes Cmnty. Dev. Dist. Rev. Refunding Series 1993 (Intracoastal Waterway Bridge Proj.),
5.50%, 10/1/07 45,455
------------
INSURED (54.4%)
90,000 Brevard Co. School Board C.O.P. Series 1996B (Ambac insured), 5.50%, 7/1/21 96,242
50,000 Clearwater Hsg. Auth. Rev. Refunding Series 1997 (Hamptons at Clearwater Proj.) (ACA insured),
5.40%, 5/1/13 52,952
210,000 Dade Co. Hlth. Fac. Auth. Hosp. Rev. Refunding Series 1993A (Baptist Hosp. Miami Proj.)
(MBIA insured), 5.25%, 5/15/21 211,478
80,000 Dade Co. Public Fac. Rev. Series 1993 (Jackson Mem. Hosp. Proj.)(MBIA insured), 5.25%, 6/1/23 80,962
20,000 Dade Co. Water & Sewer System Rev. Series 1995 (FGIC insured), 5.50%, 10/1/18 21,078
50,000 Escambia Co. Hlth. Fac. Auth. Rev. Series 2000 (Ambac insured), 5.95%, 7/1/20 51,403
50,000 FL HFC Hsg. Rev. Hsg. Series 2000D-1 (Augustine Club Apts. Proj.)(Ambac insured), 5.75%, 10/1/30 52,382
75,000 Fort Myers Impt. Rev. Series 1992C (Ambac Insured), 5.70%, 12/1/05 75,242
100,000 Halifax Hosp. Med. Ctr. Health Care Fac. Rev. Series 1998A (Halifax Mgmt. Sys. Proj.)
(ACA insured), 5.00%, 4/1/12 103,396
100,000 Hillsborough Co. Educ. Fac. Auth. Rev. Refunding Series 1998 (Univ. of Tampa Proj.)
(Radian insured), 5.75%, 4/1/18 111,181
30,000 Lee Co. Transportation Fac. Rev. Series 1995 (MBIA Insured), 5.75%, 10/1/27 31,526
55,000 Naples Hosp. Rev. Refunding Series 1993 (Cmnty. Hosp. Inc. Proj)(MBIA insured), 5.25%, 10/1/14 55,698
50,000 Orange Co. Hlth. Facs. Auth. Rev. Series 1995 (Adventist Hlth. Sys.)(Ambac insured), 5.25%, 11/15/20 52,319
65,000 Osceola Co. School Board C.O.P. Series 1995A
(Ambac insured), 5.25%, 6/1/10 67,116
90,000 Polk Co. Cap Impt. Rev. Refunding Series 1994 (FGIC insured), 5.00%, 12/1/11 92,280
Port Everglades Auth. Rev. Refunding & Impt. Series 1989A:
45,000 (FSA insured), 5.00%, 9/1/16 45,424
150,000 (MBIA-IBC insured), 5.00%, 9/1/16 151,414
56
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QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- -----------------------------------------------------------------------------------------------------------------------------------
50,000 Univ. of South FL Rev. Hsg. Fac. Series 1997A (MBIA insured), 5.35%, 7/1/15 53,106
25,000 Venice Hlth. Care Rev. Series 1996 (Bon Secours Hlth. Sys. Proj.)(MBIA insured), 5.625%, 8/15/26 26,677
140,000 Village Ctr. Cmnty. Dev. Dist. Recreational Rev. Series 1998A (MBIA insured), 5.00%, 11/1/21 145,012
50,000 Volusia Co. Hlth. Fac. Auth. Rev. Refunding & Impt. Series 1994 (Hosp. Fac. - Memorial Hlth. Proj)
(Ambac insured), 5.75%, 11/15/13 51,233
------------
1,628,121
------------
MULTIFAMILY MORTGAGE (13.9%)
45,000 Capital Trust Agy. Multifamily Rev. Sr. Series 2003A (Golf Villas, Rivermill, and Village Square
Apts. Proj.), 4.75%, 6/1/13 43,173
75,000 Collier Co. Health Fac. Auth. Rev. Refunding Series 1994 (Moorings, Inc. Proj.), 7.00%, 12/1/19 77,106
45,000 Collier Co. HFA Multifamily Hsg. Rev. Series 2002C (Goodlette Arms Proj.), 5.25%, 8/15/15 47,850
60,000 Lee Co. Industrial Dev. Auth. Hlth. Care Fac. Rev. Series 1999A (Shell Point Village Proj.),
5.25%, 11/15/04 60,218
70,000 Miami-Dade Co. Special Hsg. Rev. Refunding Series 1998 (Section 8), 5.30%, 10/1/05 69,710
55,000 Palm Beach Hsg. Fin. Auth. Rev. Refunding Series 1997A, 5.95%, 10/20/31 55,966
60,000 Palm Beach Co. Hlth. Fac. Auth. Rev. Series 1996 (ACTS Retirement Cmnty. Proj.),
5.625%, 11/15/20 61,408
------------
415,431
------------
UTILITY (2.8%)
Jacksonville Elec. Auth Rev.:
50,000 Refunding Series 1997-2-14 (St. John's River Proj.), 4.90%, 10/1/08 52,158
30,000 Water & Sewer Series 2000A, 4.50%, 10/1/09 30,868
------------
83,026
------------
OTHER REVENUE BONDS (13.5%)
100,000 Capital Trust Agy. Rev. Series 2002A (Seminole Tribe Convention Proj.), 8.50%, 10/1/07 105,416
25,000 Capital Region Cmnty. Dev. Dist. Rev. Series 2001B, 5.95%, 5/1/06 25,051
50,000 Double Branch Cmnty. Dev. Dist. Rev. Series 2003C, 5.125%, 5/1/08 50,284
100,000 Fiddlers Creek Cmnty. Dev. Dist. No. 2 Rev. Series 2003B, 5.75%, 5/1/13 101,469
45,000 Mediterra North Cmnty. Dev. Dist. Impt. Rev. Series 2001B, 6.00%, 5/1/08 45,208
40,000 Parklands West Cmnty. Dev. Dist. Rev. Series 2001B, 6.00%, 5/1/06 40,045
35,000 Reunion East Cmnty. Dev. Dist. Series 2002B, 5.90%, 11/1/07 35,124
------------
402,597
------------
Total municipal bonds (cost: $2,967,230) 2,964,900
------------
Total investments in securities (cost: $2,967,230) (7) $2,964,900
============
See accompanying notes to portfolios of investments on page 62.
57
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Sit Bond Fund
SIX MONTHS ENDED SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
SENIOR PORTFOLIO MANAGERS, MICHAEL C. BRILLEY AND BRYCE A. DOTY, CFA
PORTFOLIO MANAGER, MARK H. BOOK, CFA
================================================================================
The Sit Bond Fund returned +1.22% during the past six months while the
Lehman Aggregate Bond Index returned +0.68%. The Funds 30-day SEC yield was
5.52% and its 12-month distribution rate was 4.92%.
Both the mortgage and asset-backed sectors provided strong returns as
prepayments stabilized during the period. Corporate bonds provided much lower
returns as fears of slowing profits reduced demand for this sector. U.S.
Treasury securities provided superior returns versus any other sector during the
past six months, as Treasuries were purchased at attractive levels following
spikes in interest rates. However, the low portfolio weighting of this sector
limited the net effect to overall returns. The Fund benefited from security
selection within both the asset-backed and mortgage sectors, as well as its
under weighting of 3 and 5 year maturity securities, the worst performing part
of the yield curve.
We expect overall interest rates to remain low in the near term, as
concerns regarding the outcome of upcoming elections and fear of a pre-election
terrorist attack are expected to keep demand for U.S. Treasuries strong.
However, we expect economic growth to continue over the longer term, driving
interest rates higher. Therefore, we will continue to maintain the Fund's
defensive position by emphasizing securities that provide high levels of current
income. In addition, we have maintained a portfolio composition designed to
provide price stability during periods of rising interest rates.
- --------------------------------------------------------------------------------
INVESTMENT OBJECTIVE AND STRATEGY
- --------------------------------------------------------------------------------
The investment objective of the Fund is to maximize total return,
consistent with preservation of capital. The Fund will pursue its objective by
investing in a diversified portfolio of fixed-income securities which include,
but are not limited to, the following: U.S. government securities; corporate
debt securities; corporate commercial paper; mortgage and other asset-backed
securities.
- --------------------------------------------------------------------------------
PORTFOLIO SUMMARY
- --------------------------------------------------------------------------------
Net Asset Value 9/30/04: $9.94 Per Share
3/31/04: $10.07 Per Share
Total Net Assets: $14.7 Million
30-day SEC Yield: 5.52%
12-Month Distribution Rate: 4.92%
Average Maturity: 18.3 Years
Effective Duration: 3.8 Years(1)
- --------------------------------------------------------------------------------
PORTFOLIO STRUCTURE
(% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
[BAR CHART]
Corporate Bonds & Notes 28.5
Mortgage Pass-Through 25.3
Asset-Backed Securities 19.6
Closed-End Mutual Funds 8.3
Collateralized Mortgage Obligations 7.3
Taxable Municipal 5.9
U.S. Treasury 2.0
Cash & Other Net Assets 3.1
58
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- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS*
- --------------------------------------------------------------------------------
LIPPER INTER.
SIT LEHMAN INVESTMENT
BOND AGGREGATE GRADE BOND
FUND BOND INDEX FUND INDEX
---- ---------- -------------
3 Month** 3.22% 3.20% 3.03%
6 Month** 1.22 0.68 n/a
1 Year 5.35 3.68 3.63
5 Years 6.60 7.48 7.04
10 Years 7.00 7.66 7.09
Inception 6.26 6.77 6.24
(12/1/93)
- --------------------------------------------------------------------------------
CUMULATIVE TOTAL RETURNS*
- --------------------------------------------------------------------------------
LIPPER INTER.
SIT LEHMAN INVESTMENT
BOND AGGREGATE GRADE BOND
FUND BOND INDEX FUND INDEX
---- ---------- -------------
1 Year 5.35% 3.68% 3.63%
5 Years 37.65 43.43 40.50
10 Years 96.71 109.18 98.35
Inception 93.07 103.41 92.81
(12/1/93)
*AS OF 9/30/04. **NOT ANNUALIZED.
- --------------------------------------------------------------------------------
PERFORMANCE FIGURES ARE HISTORICAL AND DO NOT GUARANTEE FUTURE RESULTS.
INVESTMENT RETURNS AND PRINCIPAL VALUE WILL VARY, AND YOU MAY HAVE A GAIN OR
LOSS WHEN YOU SELL SHARES. AVERAGE ANNUAL TOTAL RETURNS INCLUDE CHANGES IN SHARE
PRICE AS WELL AS REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAINS. MANAGEMENT
FEES AND ADMINISTRATIVE EXPENSES ARE INCLUDED IN THE FUND'S PERFORMANCE;
HOWEVER, FEES AND EXPENSES ARE NOT INCORPORATED IN THE LEHMAN AGGREGATE BOND
INDEX. THE LIPPER AVERAGES AND INDICES ARE OBTAINED FROM LIPPER ANALYTICAL
SERVICES, INC., A LARGE INDEPENDENT EVALUATOR OF MUTUAL FUNDS.
- --------------------------------------------------------------------------------
GROWTH OF $10,000
- --------------------------------------------------------------------------------
[FLOW CHART]
The sum of $10,000 invested at inception (12/1/93) and held until 9/30/04 would
have grown to $19,307 in the Fund or $20,341 in the Lehman Aggregate Bond Index
assuming reinvestment of all dividends and capital gains.
- --------------------------------------------------------------------------------
QUALITY RATINGS
(% OF TOTAL NET ASSETS)
- --------------------------------------------------------------------------------
[PIE CHART]
Other
Assets
and
Liabilities
3.1%
Govt. Agency
Backed
Securities
31.4%
AAA
12.1%
BBB
19.7%
Less Than BBB
1.3%
A
30.4%
U.S. Treasury
2.0%
LOWER OF MOODY'S OR S&P RATING USED.
59
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Sit Bond Fund
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (UNAUDITED)
================================================================================
- --------------------------------------------------------------------------------
QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT SECURITIES (2.0%) (2)
1,000,000 U.S. Treasury Strips, Zero Coupon,
6.04% Effective Yield, 11/15/27 301,040
(cost: $267,204) ---------------
ASSET-BACKED SECURITIES (19.6%) (2)
82,435 Advanta Mortgage Loan Trust
Series 1999-3 A4, 7.75%, 10/25/26 85,638
71,206 Bear Stearns Securities, Inc.
Series 2000-1 AF, 7.52%, 3/25/30 72,659
150,000 Chase Funding Mtg. Series 2002-1,
6.595%, 2/25/32 157,845
400,000 Conseco Home Equity Loan Series
2002-A A5, 7.05%, 4/15/32 432,649
177,445 Conseco Mfg. Housing Series,
2002-2 A2, 6.03%, 3/1/33 180,576
Deutsche Financial Capital Securitization:
130,334 Series 1997-I A3, 6.75%, 9/15/27 135,224
62,455 Series 1998-I A3, 6.10%, 4/15/28 63,238
180,048 FMAC Trust Series 1997C, 6.75%, 12/15/19 179,827
Green Tree Financial Corp.:
40,955 1995-5 A6, 7.25%, 9/15/26 42,648
94,964 1997-1 A6, 7.29%, 3/15/28 102,511
189,313 1998-1 A6, 6.33%, 11/1/29 196,834
73,758 1998-3 A6, 6.76%, 3/1/30 77,334
200,000 1999-1 A5, 6.11%, 9/1/23 206,596
177,767 1999-4 A5, 6.97%, 5/1/31 184,051
24,780 Green Tree Home Equity Loan Trust
Series 1999-D A5, 7.88%, 9/15/30 25,045
Indymac Manufactured Housing Contract:
169,618 1998-2 A3, 6.20%, 9/25/17 171,687
127,213 1998-2 A4, 6.64%, 12/25/27 130,501
68,596 Oakwood Mortgage Investors, Inc.
Series 1997-D A4, 6.725%, 2/15/28 71,240
150,000 Origen Mfg. Housing
Series 2001A, 7.08%, 3/15/32 155,675
200,000 UCFC Mfg. Housing Contract
Series1998-2 A3, 6.16%, 8/15/19 200,670
---------------
Total asset-backed securities 2,872,448
(cost: $2,819,872) ---------------
COLLATERALIZED MORTGAGE OBLIGATIONS (7.3%) (2)
98,546 Countrywide Home Loans Series 2002-27 A8,
4.00%, 12/25/32 99,099
141,237 FHLMC Series 2647-A, 3.25%, 4/15/32 138,966
264,453 FHLMC Series 2694-BA, 4.00%, 6/15/31 265,343
110,238 FNMA Series 1990 45J, 9.50%, 5/25/20 122,834
287,222 Vendee Mortgage Trust Series 1999-1 2Z,
6.50%, 12/15/28 306,299
134,890 Washington Mutual Series 2002-S8 A7,
5.25%, 1/25/18 136,640
---------------
Total collateralized mortgage obligations 1,069,181
(cost: $1,048,190) ---------------
CORPORATE BONDS & NOTES (28.5%) (2)
200,000 Bank of New York Capital, 7.97%, 12/31/26 226,824
200,000 Barnett Capital (BOA), 8.06%, 12/1/26 223,151
297,181 Canadian Natl. Railway Co. Series 1997-A2,
7.195%, 1/2/16 346,047
100,000 Conoco Philips, 8.00%, 1/15/37 113,554
338,579 Continental Airlines Series 2000-2, 7.707%,
4/2/21 329,003
42,000 CSX Transportation, Inc., 9.75%, 6/15/20 57,384
100,000 Delta Air Lines Series 2002-1, 6.417%, 7/2/12 101,527
300,000 First Hawaiian Capital Trust, 8.343%, 7/1/27 341,310
300,000 Ford Motor Credit Co., 7.20%, 6/15/07 324,094
100,000 General Motors Corp., 8.80%, 3/1/21 109,546
50,000 McDonald's Corp., 7.31%, 9/15/27 53,603
200,000 Morton Intl., Inc., 9.25%, 6/1/20 276,319
100,000 Narragansett Electric Co., 7.39%, 10/1/27 105,919
58,000 Norfolk Southern Railway, 9.75%, 6/15/20 79,607
Northwest Airlines Corp.:
161,633 7.935%, 10/1/20 176,668
357,075 8.072%, 10/1/19 392,299
50,000 Prologis Trust, 7.625%, 7/1/17 59,953
360,108 Southwest Air Co., 7.67%, 1/2/14 404,467
100,000 Union Pacific Corp., 7.00%, 2/1/16 114,778
100,000 US Bancorp Capital, 8.27%, 12/15/26 115,546
200,000 Wells Fargo Capital, 7.96%, 12/15/26 226,576
--------------
Total corporate bonds & notes 4,178,175
(cost: $4,071,792) --------------
60
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- --------------------------------------------------------------------------------
QUANTITY ($) NAME OF ISSUER MARKET VALUE ($)(1)
- --------------------------------------------------------------------------------
MORTGAGE PASS-THROUGH SECURITIES (25.3%) (2)(3)
Federal Home Loan Mortgage Corporation:
72,334 3.08%, 5/1/34 71,870
248,729 8.00%, 11/15/29 269,213
188,038 8.375%, 5/17/20 204,535
96,720 9.00%, 3/1/21 108,255
26,375 9.00%, 7/1/22 29,605
18,334 9.00%, 7/1/30 20,297
164,834 9.00%, 8/1/30 182,484
52,382 9.50%, 8/1/16 59,354
65,379 9.50%, 12/1/22 73,953
46,590 9.50%, 12/1/22 52,574
5,919 10.25%, 9/1/09 6,475
11,044 10.75%, 3/1/11 12,150
Federal National Mortgage Association:
145,124 4.023%, 4/1/33 145,950
271,293 7.00%, 5/1/32 287,793
173,133 7.50%, 6/1/32 186,194
41,021 8.50%, 2/1/25 45,312
119,780 8.50%, 5/1/30 132,052
102,688 9.00%, 1/1/15 115,467
93,272 9.00%, 12/1/19 103,968
24,616 9.50%, 4/1/25 27,759
54,590 9.75%, 1/15/13 60,299
42,503 10.25%, 8/15/13 47,262
93,936 10.50%, 5/1/19 104,897
41,420 11.00%, 9/1/19 46,632
44,707 11.00%, 11/1/20 50,172
Government National Mortgage Association:
79,066 7.90%, 8/20/21 86,251
59,397 8.00%, 4/15/17 65,035
93,731 8.50%, 10/15/24 103,514
121,426 8.50%, 11/20/26 133,151
52,340 8.50%, 10/15/24 57,802
53,821 8.75%, 11/15/09 59,413
7,659 9.00%, 10/15/06 8,040
10,017 9.00%, 9/15/08 10,803
9,199 9.00%, 4/15/09 10,018
22,079 9.00%, 4/15/09 24,044
138,096 9.00%, 6/15/09 148,629
2,508 9.00%, 8/15/11 2,818
51,634 9.00%, 1/15/17 59,118
6,957 9.00%, 8/20/19 7,811
5,582 9.00%, 6/20/21 6,280
8,194 9.00%, 12/20/21 9,218
60,448 9.00%, 2/20/27 67,466
12,354 9.25%, 5/15/10 13,932
191,777 9.25%, 10/15/11 217,271
8,044 9.50%, 11/15/05 8,291
19,158 9.50%, 2/15/11 21,799
54,297 9.50%, 5/20/16 61,158
3,702 9.50%, 5/20/18 4,181
41,583 9.50%, 7/20/18 46,969
19,983 9.50%, 7/20/18 22,571
484 9.50%, 4/15/20 549
4,978 9.50%, 11/15/21 5,650
--------------
Total mortgage pass-through securities 3,706,304
(cost: $3,633,571) --------------
TAXABLE MUNICIPAL SECURITIES (5.9%) (2)
250,000 Academica Charter Sch. Series 2004,
7.93%, 8/15/19 253,600
20,000 Bernalillo Multifamily. Series 1998A,
7.50%, 9/20/20 22,048
CA Rural HMFA Single Family Mtg. Rev.:
37,995 Series 2002C, 6.75%, 3/1/24 38,106
50,000 Series 2003A, 5.25%, 12/1/24 50,144
150,000 Series 2004A, 5.375%, 6/1/29 150,035
200,000 Pueblo of Santa Ana, NM C.O.P., 5.875%, 4/1/24 208,226
90,000 Reeves Co. TX C.O.P., 7.25%, 6/1/11 92,250
55,550 Tobacco Settlement Series 2001A,
7.67%, 5/15/16 56,137
--------------
Total taxable municipal securities 870,546
(cost: $858,028) --------------
CLOSED-END MUTUAL FUNDS (8.3%) (2)
9,925 American Select Portfolio 136,370
8,145 American Strategic Income Portfolio (I) 105,478
38,394 American Strategic Income Portfolio (II) 506,417
37,672 American Strategic Income Portfolio (III) 472,407
--------------
Total closed-end mutual funds 1,220,672
(cost: $1,128,649) --------------
SHORT-TERM SECURITIES (2.5%) (2)
250,000 Dreyfus Gov't Cash Mgmt. Fund, 1.43% 250,000
110,000 Sit Money Market Fund, 1.13% (6) 110,000
--------------
Total short-term securities 360,000
(cost: $360,000) --------------
Total investments in securities
(cost: $14,187,306) (7) $14,578,366
==============
See accompanying notes to portfolios of investments on page 62.
61
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Sit Mutual Funds
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
NOTES TO PORTFOLIOS OF INVESTMENTS (UNAUDITED)
================================================================================
(1) Securities are valued by procedures described in note 1 to the financial
statements.
(2) Percentage figures indicate percentage of total net assets.
(3) At September 30, 2004, 4.7% of net assets in the U.S. Government
Securities Fund and 2.9% of net assets in the Bond Fund were invested in
GNMA mobile home pass-through securities.
(4) Securities the income from which is treated as a tax preference that is
included in alternative minimum taxable income for purposes of computing
federal alternative minimum tax (AMT). At September 30, 2004, 13.9% of
net assets in the Minnesota Tax-Free Income Fund was invested in such
securities.
(5) Rule 144A Securities, Section 4(2) Commercial Paper, and Municipal Lease
Securities ("Restricted Securities") held by the Funds which have been
determined to be liquid by the Adviser in accordance to guidelines
established by the Board of Directors.
(6) This security represents an investment in an affiliated party. See notes
to the accompanying financial statements.
(7) At September 30, 2004 the cost of securities for federal income tax
purposes and the aggregate gross unrealized appreciation and depreciation
based on that cost were as follows:
U.S.
MONEY GOVERNMENT TAX-FREE
MARKET SECURITIES INCOME
FUND FUND FUND
-------------------------------------------------------------
Cost for federal income tax purposes $44,676,554 $260,941,415 $334,971,166
=============================================================
Unrealized appreciation (depreciation) on
investments:
Gross unrealized appreciation ----- $4,957,299 $7,280,766
Gross unrealized depreciation ----- (863,948) (9,740,638)
-------------------------------------------------------------
Net unrealized appreciation (depreciation) ----- $4,093,351 ($2,459,872)
=============================================================
MINNESOTA FLORIDA
TAX-FREE TAX-FREE
INCOME INCOME BOND
FUND FUND FUND
-------------------------------------------------------------
Cost for federal income tax purposes $217,584,254 $2,967,230 $14,187,306
=============================================================
Unrealized appreciation (depreciation) on investments:
Gross unrealized appreciation $4,134,451 $9,867 $439,724
Gross unrealized depreciation (4,665,520) (12,197) (48,664)
-------------------------------------------------------------
Net unrealized appreciation (depreciation) $531,069 ($2,330) $391,060
=============================================================
(8) These securities have been identified by the investment adviser as
illiquid securities. The aggregate value of these securities at September
30, 2004, is $8,144,875 and $641,090 in the Tax-Free Income and Minnesota
Tax-Free Income Funds respectively, which represents 2.4% and 0.3% of the
Fund's net assets, respectively.
(9) Presently non-income producing securities. Items identified are in
default as to payment of interest.
62
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63
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Sit Mutual Funds
SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED)
================================================================================
U.S.
MONEY GOVERNMENT TAX-FREE
MARKET SECURITIES INCOME
ASSETS FUND FUND FUND
------------------ ------------------ ------------------
Investments in securities, at
identified cost .............. $44,676,554 $260,941,415 $334,971,166
================== ================== ==================
Investments in securities, at
market value - see
accompanying schedules for
detail ....................... $44,676,554 $265,034,766 $332,511,295
Cash in bank on demand
deposit ...................... 765,648 ------ ------
Accrued interest and dividends
receivable ................... ------ 1,523,017 5,204,783
Receivable for investment
securities
sold ......................... ------ ------ 150,693
Receivable for principal
paydowns ..................... ------ 391,680 ------
Other
receivables .................. ------ ------ ------
Receivable for Fund shares
sold ......................... ------ 49,683 13,555
------------------ ------------------ ------------------
Total
assets ................ 45,442,202 266,999,146 337,880,326
------------------ ------------------ ------------------
LIABILITIES
Disbursements in excess of
cash
balances ..................... ------ 883 14
Payable for investment securities
purchased .................... ------ 4,173,509 526,725
Payable for Fund shares
redeemed ..................... ------ 437,943 23,266
Cash portion of dividends
payable to shareholders ...... 43,573 771,635 1,199,177
Other
payables ..................... ------ 2,221 11,019
Accrued investment management
and advisory services fee .... 20,197 173,583 213,311
------------------ ------------------ ------------------
Total liabilities ..... 63,770 5,559,774 1,973,512
------------------ ------------------ ------------------
Net assets applicable to
outstanding capital stock .... $45,378,432 $261,439,372 $335,906,814
================== ================== ==================
Capital Stock
Par .......................... $0.001 $0.01 $0.001
Authorized shares (000's) .... 10,000,000 10,000,000 10,000,000
Outstanding shares ........... 45,381,517 24,318,759 34,115,256
================== ================== ==================
Net asset value per share of
outstanding capital stock .... $1.00 $10.75 $9.85
================== ================== ==================
64
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================================================================================
MINNESOTA FLORIDA
TAX-FREE TAX-FREE
INCOME INCOME BOND
FUND FUND FUND
----------------- ------------------ ------------------
$217,584,254 $2,967,230 $14,187,306
================= ================== ==================
$217,053,185 $2,964,900 $14,578,366
13,468 56,086 540
3,379,833 57,552 153,856
------ ------ ------
------ ------ 2,519
2,165 ------ ------
107,200 ------ 7,212
----------------- ------------------ ------------------
220,555,851 3,078,538 14,742,493
----------------- ------------------ ------------------
------ ------ ------
1,559,277 77,845 ------
------ ------ 5
763,359 7,475 63,483
------ ------ 399
142,663 1,946 9,640
----------------- ------------------ ------------------
2,465,299 87,266 73,527
----------------- ------------------ ------------------
$218,090,552 $2,991,272 $14,668,966
================= ================== ==================
$0.001 $0.001 $0.001
10,000,000 10,000,000 10,000,000
21,566,974 300,016 1,476,053
================= ================== ==================
$10.11 $9.97 $9.94
================= ================== ==================
See accompanying notes to financial statements on pages 70 - 74.
65
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Sit Mutual Funds
SIX MONTHS ENDED SEPTEMBER 30, 2004
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED)
================================================================================
U.S.
MONEY GOVERNMENT TAX-FREE
MARKET SECURITIES INCOME
FUND FUND FUND
--------------- --------------- ---------------
INVESTMENT INCOME:
INCOME:
Interest ................................ $284,607 $5,565,020 $8,011,106
--------------- --------------- ---------------
Total income ...................... 284,607 5,565,020 8,011,106
--------------- --------------- ---------------
EXPENSES (NOTE 3):
Investment management and
advisory services fee ................ 181,850 1,138,548 1,355,255
Less fees and expenses absorbed
by investment adviser ............. (68,151) (50,137) (44,064)
--------------- --------------- ---------------
Total net expenses ................... 113,699 1,088,411 1,311,191
--------------- --------------- ---------------
Net investment income ................ 170,908 4,476,609 6,699,915
--------------- --------------- ---------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS:
Net realized gain (loss) ................ ---- 58,385 (835,148)
Net change in unrealized appreciation
(or depreciation) on investments ..... ---- (1,363,375) (1,133,154)
--------------- --------------- ---------------
Net gain (loss) on investments ....... ---- (1,304,990) (1,968,302)
--------------- --------------- ---------------
Net increase (decrease) in net assets resulting
from operations ............................ $170,908 $3,171,619 $4,731,613
=============== =============== ===============
66
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MINNESOTA FLORIDA
TAX-FREE TAX-FREE
INCOME INCOME BOND
FUND FUND FUND
--------------- --------------- ---------------
$5,553,751 $51,861 $428,890
-------------- --------------- ---------------
5,553,751 51,861 428,890
-------------- --------------- ---------------
860,506 11,215 58,969
---- ---- ----
-------------- --------------- ---------------
860,506 11,215 58,969
-------------- --------------- ---------------
4,693,245 40,646 369,921
-------------- --------------- ---------------
(156,793) (8,725) (37,325)
(3,073,608) (10,304) (152,728)
-------------- --------------- ---------------
(3,230,401) (19,029) (190,053)
-------------- --------------- ---------------
$1,462,844 $21,617 $179,868
============== =============== ===============
See accompanying notes to financial statements on pages 70 - 74.
67
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Sit Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
MONEY MARKET U.S. GOVERNMENT
FUND SECURITIES FUND
------------------------------ -------------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED
SEPTEMBER 30, YEAR ENDED SEPTEMBER 30, YEAR ENDED
2004 MARCH 31, 2004 MARCH 31,
(UNAUDITED) 2004 (UNAUDITED) 2004
------------- ------------- ------------- -------------
OPERATIONS:
Net investment income ............................ $ 170,908 $ 364,564 $ 4,476,609 $ 8,386,081
Net realized gain (loss) on investments .......... ---- ---- 58,385 (1,912,803)
Net change in unrealized appreciation
(depreciation) of investments ................. ---- ---- (1,363,375) (443,196)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets resulting
from operations .......................... 170,908 364,564 3,171,619 6,030,082
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ............................ (170,908) (364,564) (4,476,609) (8,386,081)
Net realized gains on investments ................ ---- ---- ---- ----
------------- ------------- ------------- -------------
Total distributions ........................... (170,908) (364,564) (4,476,609) (8,386,081)
------------- ------------- ------------- -------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold ........................ 93,994,462 293,752,413 33,799,043 138,253,374
Reinvested distributions ......................... 112,179 253,263 4,205,480 7,544,075
Payments for shares redeemed ..................... (93,338,184) (323,238,848) (62,701,792) (264,839,538)
------------- ------------- ------------- -------------
Increase (decrease) in net assets from
capital share transactions ................ 768,457 (29,233,172) (24,697,269) (119,042,089)
------------- ------------- ------------- -------------
Total increase (decrease) in net assets ... 768,457 (29,233,172) (26,002,259) (121,398,088)
NET ASSETS
Beginning of period .............................. 44,609,975 73,843,147 287,441,631 408,839,719
------------- ------------- ------------- -------------
End of period .................................... $ 45,378,432 $ 44,609,975 $ 261,439,372 $ 287,441,631
============= ============= ============= =============
NET ASSETS CONSIST OF:
Capital (par value and paid-in surplus) .......... $ 45,378,432 $ 44,609,975 $ 261,727,708 $ 286,424,977
Undistributed (distributions in excess of) net
investment income ............................. ---- ---- ---- ----
Accumulated net realized gain (loss) from
security transactions ......................... ---- ---- (4,381,686) (4,440,071)
Unrealized appreciation (depreciation)
on investments ................................ ---- ---- 4,093,350 5,456,725
------------- ------------- ------------- -------------
$ 45,378,432 $ 44,609,975 $ 261,439,372 $ 287,441,631
============= ============= ============= =============
CAPITAL TRANSACTIONS IN SHARES:
Sold ............................................. 93,994,462 293,752,412 3,165,851 12,864,871
Reinvested distributions ......................... 112,179 253,263 393,009 702,008
Redeemed ......................................... (93,338,184) (323,238,848) (5,868,784) (24,694,458)
------------- ------------- ------------- -------------
Net increase (decrease) ............................. 768,457 (29,233,173) (2,309,924) (11,127,579)
============= ============= ============= =============
68
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================================================================================
TAX-FREE MINNESOTA TAX-FREE FLORIDA TAX-FREE BOND
INCOME FUND INCOME FUND INCOME FUND FUND
- ------------------------------ ------------------------------ ----------------------------- ------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED THREE MONTHS ENDED
SEPTEMBER 30, YEAR ENDED SEPTEMBER 30, YEAR ENDED SEPTEMBER 30, ENDED SEPTEMBER 30, YEAR ENDED
2004 MARCH 31, 2004 MARCH 31, 2004 MARCH 31, 2004 MARCH 31,
(UNAUDITED) 2004 (UNAUDITED) 2004 (UNAUDITED) 2004 (UNAUDITED) 2004
- ------------- ------------- ------------- ------------- ------------- ------------ ------------- -------------
$ 6,699,915 $ 16,074,659 $ 4,693,245 $ 9,619,328 $ 40,646 13,678 $ 369,921 $ 817,160
(835,148) (5,180,250) (156,793) (566,405) (8,725) 249 (37,325) 106,213
(1,133,154) 3,234,491 (3,073,608) 1,430,127 (10,304) 7,974 (152,728) 177,221
- ------------- ------------- ------------- ------------- ------------ ------------ ------------- -------------
4,731,613 14,128,900 1,462,844 10,483,050 21,617 21,901 179,868 1,100,594
- ------------- ------------- ------------- ------------- ------------ ------------ ------------- -------------
(6,699,915) (16,074,659) (4,693,245) (9,619,328) (40,646) (13,678) (369,921) (817,160)
---- ---- ---- ---- ---- ---- ---- ----
- ------------- ------------- ------------- ------------- ------------ ------------ ------------- -------------
(6,699,915) (16,074,659) (4,693,245) (9,619,328) (40,646) (13,678) (369,921) (817,160)
- ------------- ------------- ------------- ------------- ------------ ------------ ------------- -------------
30,978,375 78,962,625 36,242,649 61,673,832 631,247 2,632,125 1,678,073 4,564,417
5,598,742 13,966,051 3,782,236 7,727,688 39,294 7,425 358,692 801,760
(50,983,059) (153,120,558) (36,477,083) (71,860,224) (308,013) ---- (2,101,192) (10,423,529)
- ------------- ------------- ------------- ------------- ------------ ------------ ------------- -------------
(14,405,942) (60,191,882) 3,547,802 (2,458,704) 362,528 2,639,550 (64,427) (5,057,352)
- ------------- ------------- ------------- ------------- ------------ ------------ ------------- -------------
(16,374,244) (62,137,641) 317,401 (1,594,982) 343,499 2,647,773 (254,480) (4,773,918)
352,281,058 414,418,699 217,773,151 219,368,133 2,647,773 ---- 14,923,448 19,697,366
- ------------- ------------- ------------- ------------- ------------ ------------ ------------- -------------
$ 335,906,814 $ 352,281,058 $ 218,090,552 $ 217,773,151 $ 2,991,272 $ 2,647,773 $ 14,668,968 $ 14,923,448
============= ============= ============= ============= ============ ============ ============= =============
$ 369,027,642 $ 383,433,584 $ 225,907,083 $ 222,359,281 $ 3,002,078 $ 2,639,550 $ 14,624,417 $ 14,688,844
---- ---- ---- ---- ---- ---- ---- ----
(30,660,957) (29,825,809) (7,249,685) (7,128,669) (8,476) 249 (346,509) (309,184)
(2,459,871) (1,326,717) (531,069) 2,542,539 (2,330) 7,974 391,060 543,788
- ------------- ------------- ------------- ------------- ------------ ------------ ------------- -------------
$ 335,906,814 $ 352,281,058 $ 218,126,329 $ 217,773,151 $ 2,991,272 $ 2,647,773 $ 14,668,968 $ 14,923,448
============= ============= ============= ============= ============ ============ ============= =============
3,163,602 8,012,221 3,586,951 6,042,923 63,345 262,821 171,454 460,510
571,353 1,414,778 374,279 757,985 3,945 739 36,433 80,921
(5,204,589) (15,522,405) (3,617,357) (7,049,298) (30,834) ---- (214,014) (1,051,186)
- ------------- ------------- ------------- ------------- ------------ ------------ ------------- -------------
(1,469,634) (6,095,406) 343,873 (248,390) 36,456 $ 263,560 (6,127) (509,755)
============= ============= ============= ============= ============ ============ ============= =============
See accompanying notes to financial statements on pages 70 - 74.
69
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Sit Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
(1) SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The Sit Mutual Funds (the Funds) are 100% no-load funds, and are
registered under the Investment Company Act of 1940 (as amended) as
diversified (except Minnesota and Florida Tax-Free Income Funds which are
non-diversified), open-end management investment companies, or series
thereof. The Sit Bond Fund, Sit Minnesota Tax-Free Income Fund, and the
Sit Tax-Free Income Fund are series funds of Sit Mutual Funds II, Inc.
The Sit Florida Tax-Free Income Fund is a series fund of Sit Mutual Funds
Trust. This report covers the bond funds of the Sit Mutual Funds. The
investment objective for each Fund is as follows:
------------------------------------------------------------------------
FUND INVESTMENT OBJECTIVES
------------------------------------------------------------------------
Money Market Maximum current income with the preservation
of capital and maintenance of liquidity.
------------------------------------------------------------------------
U.S. Government High current income and safety of principal.
Securities
------------------------------------------------------------------------
Tax-Free Income High current income that is exempt from
federal income tax, consistent with the
preservation of capital.
------------------------------------------------------------------------
Minnesota High current income that is exempt from
Tax-Free Income federal income tax and Minnesota regular
personal income tax, consistent with the
preservation of capital.
------------------------------------------------------------------------
Florida High current income that is exempt from
Tax-Free Income federal regular income tax by investing in
securities that are exempt from the Florida
intangibles tax.
------------------------------------------------------------------------
Bond Maximize total return, consistent with the
preservation of capital.
------------------------------------------------------------------------
Significant accounting policies followed by the Funds are summarized
below:
INVESTMENTS IN SECURITIES
Securities maturing more than 60 days from the valuation date, with the
exception of those in Money Market Fund, are valued at the market price
supplied by an independent pricing vendor based on current interest
rates; those securities with maturities of less than 60 days when
acquired, or which subsequently are within 60 days of maturity, are
valued at amortized cost, which approximates market value. When market
quotations are not readily available, securities are valued at fair value
based on procedures determined in good faith by the Boards of Directors.
Pursuant to Rule 2a-7 of the Investment Company Act of 1940, all
securities in the Money Market Fund are valued at amortized cost, which
approximates market value, in order to maintain a constant net asset
value of $1 per share.
70
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================================================================================
Security transactions are accounted for on the date the securities are
purchased or sold. Gains and losses are calculated on the identified-cost
basis. Interest, including level-yield amortization of long-term bond
premium and discount, is recorded on the accrual basis. Dividends
received from closed-end fund holdings are included in Interest Income
and are generated from the underlying investments.
Delivery and payment for securities which have been purchased by the
Funds on a forward commitment or when-issued basis can take place two
weeks or more after the transaction date. During this period, such
securities are subject to market fluctuations and may increase or
decrease in value prior to delivery, and the Funds maintain, in a
segregated account with their custodian, assets with a market value
greater than the amount of their purchase commitments.
The Minnesota Tax-Free Income Fund concentrates its investments in
Minnesota, and therefore may have more credit risk related to the
economic conditions in the state of Minnesota than a portfolio with
broader geographical diversification.
The Florida Tax-Free Income Fund concentrates its investments in Florida,
and therefore may have more credit risk related to the economic
conditions in the state of Florida than a portfolio with broader
geographical diversification.
FEDERAL TAXES
The Funds' policy is to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to
distribute all of its taxable income to shareholders. Therefore, no
income tax provision is required. Also, in order to avoid the payment of
any federal excise taxes, the Funds will distribute substantially all of
their net investment income and net realized gains on a calendar year
basis.
Net investment income and net realized gains may differ for financial
statement and tax purposes. The character of distributions made during
the year for net investment income or net realized gains may also differ
from its ultimate characterization for tax purposes.
As of March 31, 2004, for federal income tax purposes, some Funds have
capital loss carryovers which, if not offset by subsequent gains will
begin to expire as follows:
Loss Carryover Expiration Year
-------------- ---------------
U.S. Government Securities $4,440,071 2007
Tax-Free Income $29,825,809 2008
MN Tax-Free Income $7,128,669 2008
Bond $309,184 2008
71
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Sit Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
DISTRIBUTIONS
Distributions to shareholders are recorded as of the close of business on
the record date. Such distributions are payable in cash or reinvested in
additional shares of the Funds' capital stock. Distributions from net
investment income are declared daily and paid monthly for the Funds.
Distributions from net realized gains, if any, will be made annually for
each of the Funds.
USE OF ESTIMATES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
management to make certain estimates and assumptions that affect the
reported amounts of assets and liabilities and disclosure of contingent
assets and liabilities at the date of the financial statements and the
reported results. Actual results could differ from those estimates.
(2) INVESTMENT SECURITY TRANSACTIONS
Purchases of and proceeds from sales and maturities of investment
securities, other than short-term securities, for the period ended
September 30, 2004, were as follows:
Purchases ($) Proceeds ($)
------------- ------------
U.S. Government Securities Fund 40,571,834 52,519,368
Tax-Free Income Fund 48,368,698 64,895,379
Minnesota Tax-Free Income Fund 31,037,218 26,249,712
Florida Tax-Free Income Fund 558,091 165,308
Bond Fund 3,554,703 3,830,887
For the Money Market Fund during the period ended September 30, 2004
purchases of and proceeds from sales and maturities of investment
securities aggregated $505,987,278 and $506,332,344, respectively.
(3) EXPENSES
INVESTMENT ADVISER
The Funds each have entered into an investment management agreement with
Sit Investment Associates Inc. (SIA), under which SIA manages the Funds'
assets and provides research, statistical and advisory services, and pays
related office rental, executive expenses and executive salaries. SIA
also is obligated to pay all of the Funds' expenses (excluding
extraordinary expenses, stock transfer taxes, interest, brokerage
commissions, and other transaction charges relating to investing
activities). The fee for investment management and advisory services is
based on the average daily net assets of the Funds at the annual rate of:
72
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Average Daily
Net Assets
----------
Bond Fund .80%
Tax-Free Income Fund .80%
Minnesota Tax-Free Income Fund .80%
Florida Tax-Free Income Fund .80%
First Over
$50 Million $50 Million
----------- -----------
Money Market Fund .80% .60%
U.S. Government Securities Fund 1.00% .80%
For the period October 1, 1993, through December 31, 2005, the Adviser
has voluntarily agreed to limit the flat monthly fee (and, thereby, all
Fund expenses, except extraordinary expenses, interest, brokerage
commissions and other transaction charges not payable by the Adviser)
paid by the Tax-Free Income Fund to an annual rate of .70% of the Fund's
average daily net assets in excess of $250 million and .60% of the Fund's
average daily net assets in excess of $500 million. After December 31,
2005, this voluntary fee waiver may be discontinued by the Adviser in its
sole discretion.
For the period October 1, 1993, through December 31, 2005, the Adviser
has voluntarily agreed to limit the flat monthly fee (and, thereby, all
Fund expenses, except extraordinary expenses, interest, brokerage
commissions and other transaction charges not payable by the Adviser)
paid by the U.S. Government Securities Fund and Money Market Fund to an
annual rate of .80% and .50%, respectively of the Fund's average daily
net assets. After December 31, 2005, this voluntary fee waiver may be
discontinued by the Adviser in its sole discretion.
As of September 30, 2004, the Bond Fund had invested $110,000 in the Sit
Money Market Fund. The terms of such transactions were identical to those
of non-related entities except that, to avoid duplicate investment
advisory fees, SIA remits to the Fund an amount equal to all fees
otherwise due to them under its investment management agreement for the
assets invested in the Sit Money Market Fund.
TRANSACTIONS WITH AFFILIATES
The investment adviser, affiliates of the investment adviser, directors
and officers of the Funds as a whole owned the following shares as of
September 30, 2004:
73
================================================================================
Sit Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
================================================================================
% Shares
Shares Outstanding
------ -----------
Money Market Fund 22,171,925 48.9
U.S. Government Securities Fund 888,142 3.7
Tax-Free Income Fund 2,328,080 6.8
Minnesota Tax-Free Income Fund 1,122,113 5.2
Florida Tax-Free Income Fund 235,941 78.6
Bond Fund 169,293 11.5
(4) FINANCIAL HIGHLIGHTS
Per share data for a share of capital stock outstanding during the
period and selected supplemental and ratio information for each
period(s), are indicated on pages 75 through 80.
74
================================================================================
Sit Money Market Fund
- ----------------------------------------------------------------------- [LOGO]
FINANCIAL HIGHLIGHTS
================================================================================
Six months
ended
September 30, Years Ended March 31,
2004 ---------------------------------------------------------
(Unaudited) 2004 2003 2002 2001
===========================================================================================================================
NET ASSET VALUE:
Beginning of period $1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income 0.00 0.01 0.01 0.03 0.06
- --------------------------------------------------------------------------------------------------------------------------
Total from operations 0.00 0.01 0.01 0.03 0.06
- --------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income 0.00 (0.01) (0.01) (0.03) (0.06)
- --------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE:
End of period $1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------------------------------------------------
Total investment return (1) 0.37% 0.60% 1.13% 2.63% 6.00%
- --------------------------------------------------------------------------------------------------------------------------
Net assets at end of period (000's omitted) $45,378 $44,610 $73,843 $93,785 $110,505
RATIOS:
Expenses to average daily net assets 0.50%(2) 0.50%(2) 0.50%(2) 0.50%(2) 0.50%(2)
Net investment income to average daily
net assets 0.75%(2) 0.60%(2) 1.14%(2) 2.65%(2) 5.88%(2)
- ----------
(1) Total investment return is based on the change in net asset value of a
share during the period and assumes reinvestment of distributions at net
asset value.
(2) Percentages for the period ended September 30, 2004 are adjusted to an
annual rate.
Total Fund expenses are contractually limited to .80% of average daily
net assets for the first $50 million in Fund net Assets and .60% of
average daily net assets for Fund net assets exceeding $50 million.
However, during the period ended September 30, 2004 and the years ended
March 31, 2004, 2003, 2002, and 2001, the investment adviser voluntarily
absorbed expenses that were otherwise payable by the Fund. Had the Fund
incurred these expenses, the ratio of expenses to average average daily
net assets would have been .80%, .76%, .74%, .70%, and .67% for each of
these periods and the ratio of net investment income to average daily net
assets would have been .45%, .34%, .90%, 2.45%, and 5.71%, respectively.
75
================================================================================
Sit U.S. Government Securities Fund
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Six months
ended
September 30, Years Ended March 31,
2004 -------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001
=============================================================================================================================
NET ASSET VALUE:
Beginning of period $10.79 $10.83 $10.69 $10.59 $10.22
- -----------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income .18 .27 .45 .58 .65
Net realized and unrealized gains
(losses) on investments (.04) (.04) .14 .10 .37
- -----------------------------------------------------------------------------------------------------------------------------
Total from operations .14 .23 .59 .68 1.02
- -----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (.18) (.27) (.45) (.58) (.65)
From realized gains ---- ---- ---- ---- ----
- -----------------------------------------------------------------------------------------------------------------------------
Total Distributions (.18) (.27) (.45) (.58) (.65)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE:
End of period $10.75 $10.79 $10.83 $10.69 $10.59
- -----------------------------------------------------------------------------------------------------------------------------
Total investment return (1) 1.28% 2.19% 5.60% 6.53% 10.34%
- -----------------------------------------------------------------------------------------------------------------------------
Net assets at end of period (000's omitted) $261,439 $287,442 $408,840 $211,947 $154,356
RATIOS:
Expenses to average daily net assets 0.80%(2) 0.80%(2) 0.80%(2) 0.80%(2) 0.80%(2)
Net investment income to average daily
net assets 3.29%(2) 2.48%(2) 3.98%(2) 5.40%(2) 6.30%(2)
Portfolio turnover rate (excluding
short-term securities) 15.31% 61.99% 77.06% 54.69% 55.53%
- ----------
(1) Total investment return is based on the change in net asset value of a
share during the period and assumes reinvestment of distributions at net
asset value.
(2) Percentages for the period ended September 30, 2004 are adjusted to an
annual rate. Total Fund expenses are contractually limited to 1.00% of
average daily net assets for the first $50 million in Fund net assets and
.80% of average daily net assets for Fund net assets exceeding $50
million. However, during the period ended September 30, 2004 and the
years ended March 31, 2004, 2003, 2002, and 2001 the investment adviser
voluntarily absorbed expenses that were otherwise payable by the Fund.
Had the Fund incurred these expenses, the ratio of expenses to average
daily net assets would have been .84%, .83%, .83%, .85%, and .87% for
each of these periods and the ratio of net investment income to average
daily net assets would have been 3.25%, 2.45%, 3.95%, 5.35%, and 6.23%,
respectively.
76
================================================================================
Sit Tax-Free Income Fund
- ----------------------------------------------------------------------- [LOGO]
FINANCIAL HIGHLIGHTS
================================================================================
Six months
ended
September 30, Years Ended March 31,
2004 ------------------------------------------------------------
(Unaudited) 2004 2003 2002 2001
==============================================================================================================================
NET ASSET VALUE:
Beginning of period $9.90 $9.94 $9.82 $9.90 $9.57
- -----------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income .19 .42 .45 .48 .51
Net realized and unrealized gains
(losses) on investments (.05) (.04) .12 (.08) .33
- -----------------------------------------------------------------------------------------------------------------------------
Total from operations .14 .38 .57 .40 .84
- -----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (.19) (.42) (.45) (.48) (.51)
From realized gains ---- ---- ---- ---- ----
- -----------------------------------------------------------------------------------------------------------------------------
Total distributions (.19) (.42) (.45) (.48) (.51)
- -----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE:
End of period $9.85 $9.90 $9.94 $9.82 $9.90
- -----------------------------------------------------------------------------------------------------------------------------
Total investment return (1) 1.49% 3.89% 5.90% 4.05% 9.02%
- -----------------------------------------------------------------------------------------------------------------------------
Net assets at end of period (000's omitted) $335,907 $352,281 $414,419 $440,431 $502,184
RATIOS:
Expenses to average daily net assets 0.77%(2) 0.76%(2) 0.76%(2) 0.75%(2) 0.74%(2)
Net investment income to average daily
net assets 3.96%(2) 4.23%(2) 4.53%(2) 4.79%(2) 5.27%(2)
Portfolio turnover rate (excluding
short-term securities) 14.60% 32.33% 37.98% 40.02% 12.14%
- ----------
(1) Total investment return is based on the change in net asset value of a
share during the period and assumes reinvestment of distributions at net
asset value.
(2) Percentages for the period ended September 30, 2004 are adjusted to an
annual rate. Total Fund expenses are contractually limited to .80% of
average daily net assets. However, during the period ended September 30,
and the years ended March 31, 2004, 2003, 2002, and 2001, the investment
adviser voluntarily absorbed expenses that were otherwise payable by the
Fund. Had the Fund incurred these expenses, the ratio of expenses to
average daily net assets would have been .80% for these periods, and the
ratio of net investment income to average daily net assets would have
been 3.93%, 4.19%, 4.49%, 4.74%, and 5.21%, respectively.
77
================================================================================
Sit Minnesota Tax-Free Income Fund
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Six months
ended
September 30, Years Ended March 31,
2004 ---------------------------------------------------------
(Unaudited) 2004 2003 2002 2001
============================================================================================================================
NET ASSET VALUE:
Beginning of period $10.26 $10.22 $9.99 $10.01 $9.73
- ----------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income .22 .46 .47 .49 .52
Net realized and unrealized gains
(losses) on investments (.15) .04 .23 (.02) .28
- ----------------------------------------------------------------------------------------------------------------------------
Total from operations .07 .50 .70 .47 .80
- ----------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (.22) (.46) (.47) (.49) (.52)
- ----------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE:
End of period $10.11 $10.26 $10.22 $9.99 $10.01
- ----------------------------------------------------------------------------------------------------------------------------
Total investment return (1) 0.72% 4.99% 7.14% 4.74% 8.43%
- ----------------------------------------------------------------------------------------------------------------------------
Net assets at end of period (000's omitted) $218,091 $217,773 $219,368 $195,275 $181,182
RATIOS:
Expenses to average daily net assets 0.80%(2) 0.80% 0.80% 0.80% 0.80%
Net investment income to average daily
net assets 4.36%(2) 4.47% 4.62% 4.87% 5.27%
Portfolio turnover rate (excluding
short-term securities) 12.51% 27.31% 19.51% 23.81% 14.59%
- ----------
(1) Total investment return is based on the change in net asset value of a
share during the period and assumes reinvestment of distributions at net
asset value.
(2) Adjusted to an annual rate.
78
================================================================================
Sit Florida Tax-Free Income Fund
- ----------------------------------------------------------------------- [LOGO]
FINANCIAL HIGHLIGHTS
================================================================================
Six months
ended Three months
September 30, ended
2004 March 31,
(Unaudited) 2004
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE:
Beginning of period $10.05 $10.00
- ---------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income .14 .06
Net realized and unrealized gains
(losses) on investments (.08) .05
- ---------------------------------------------------------------------------------------------
Total from operations .06 .11
- ---------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (.14) (.06)
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE:
End of period $9.97 $10.05
- ---------------------------------------------------------------------------------------------
Total investment return (1) 0.65% 1.08%
- ---------------------------------------------------------------------------------------------
Net assets at end of period (000's omitted) $2,991 $2,648
RATIOS:
Expenses to average daily net assets 0.80%(2) 0.80%(2)
Net investment income to average daily net assets 2.90%(2) 2.49%(2)
Portfolio turnover rate (excluding short-term securities) 6.09% 3.45%
- ----------
(1) Total investment return is based on the change in net asset value of a
share during the period and assumes reinvestment of distributions at net
asset value.
(2) Adjusted to an annual rate.
79
================================================================================
Sit Bond Fund
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Six months
ended
September 30, Years Ended March 31,
2004 ------------------------------------------------------
(Unaudited) 2004 2003 2002 2001
==========================================================================================================================
NET ASSET VALUE:
Beginning of period $10.07 $9.89 $9.68 $9.80 $9.43
- -------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Net investment income .25 .46 .53 .62 .64
Net realized and unrealized gains
(losses) on investments (.13) .18 .21 (.12) .37
- -------------------------------------------------------------------------------------------------------------------------
Total from operations .12 .64 .74 .50 1.01
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (.25) (.46) (.53) (.62) (.64)
From realized gains --- --- --- --- ---
- -------------------------------------------------------------------------------------------------------------------------
Total distributions (.25) (.46) (.53) (.62) (.64)
- -------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE:
End of period $9.94 $10.07 $9.89 $9.68 $9.80
- -------------------------------------------------------------------------------------------------------------------------
Total investment return (1) 1.22% 6.66% 7.74% 5.18% 11.18%
- -------------------------------------------------------------------------------------------------------------------------
Net assets at end of period (000's omitted) $14,669 $14,923 $19,697 $14,737 $13,281
RATIOS:
Expenses to average daily net assets 0.80%(2) 0.80% 0.80% 0.80% 0.80%
Net investment income to average daily
net assets 5.02%(2) 4.64% 5.30% 6.34% 6.79%
Portfolio turnover rate (excluding
short-term securities) 24.64% 70.43% 76.19% 91.23% 89.65%
- ---------------------------
(1) Total investment return is based on the change in net asset value of a
share during the period and assumes reinvestment of distributions at net
asset value.
(2) Adjusted to an annual rate.
80
================================================================================
Expenses Example (Unaudited)
- ------------------------------------------------------------------------ [LOGO]
================================================================================
As a shareholder of the Funds, you incur two types of costs: (1)
transaction costs, including redemption fees and (2) ongoing costs, including
management fees; and other Fund expenses. This Example is intended to help you
understand your ongoing costs (in dollars) of investing in the Funds and to
compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning
of the period and held for then entire period April 1, 2004 to September 30,
2004.
Actual Expenses
The first line of the table below provides information about actual
account values and actual expenses. You may use the information in this line,
together with the amount you invested, to estimate the expenses that you paid
over the period. Simply divide your account value by $1,000 (for example, an
$8,600 account value divided by $1,000 = 8.6), then multiply the result by the
number in the first line under the heading entitled "Expenses Paid During
Period" to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about
hypothetical account values and hypothetical expenses based on the Fund's actual
expense ratio and an assumed rate of return of 5% per year before expenses,
which is not the Fund's actual return. The hypothetical account values and
expenses may not be used to estimate the actual ending account balance or
expenses you paid for the period. You may use this information to compare the
ongoing costs of investing in the Fund and other funds. To do so, compare this
5% hypothetical example with the 5% hypothetical examples that appear in the
shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight
your ongoing costs only and do not reflect any transactional costs, such as
redemption fees. Therefore, the second line of the table is useful in comparing
ongoing costs only, and will not help you determine the relative total costs of
owning different funds. In addition, if these transactional costs (redemption
fees) were included, your costs would have been higher.
- --------------------------------------------------------------------------------
Beginning Ending Expenses Paid
MONEY MARKET FUND Account Value Account Value During Period*
(4/1/04) (9/30/04) (4/1/04 - 9/30/04)
- --------------------------------------------------------------------------------
Actual $1,000.00 $1,003.70 $2.49
- --------------------------------------------------------------------------------
Hypothetical $1,000.00 $1,022.50 $2.51
(5% return before expenses)
- --------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratio of 0.50%,
multiplied by the average account value over the period, multiplied by
182/366 (to reflect the one-half year period.)
81
================================================================================
Expenses Example (Unaudited)
- --------------------------------------------------------------------------------
================================================================================
- --------------------------------------------------------------------------------
Beginning Ending Expenses Paid
U.S. GOVERNMENT Account Value Account Value During Period*
SECURITIES FUND (4/1/04) (9/30/04) (4/1/04 - 9/30/04)
- --------------------------------------------------------------------------------
Actual $1,000.00 $1,012.80 $4.00
- --------------------------------------------------------------------------------
Hypothetical $1,000.00 $1,021.00 $4.02
(5% return before expenses)
- --------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratio of 0.80%,
multiplied by the average account value over the period, multiplied by
182/366 (to reflect the one-half year period.)
- --------------------------------------------------------------------------------
Beginning Ending Expenses Paid
TAX-FREE INCOME FUND Account Value Account Value During Period*
(4/1/04) (9/30/04) (4/1/04 - 9/30/04)
- --------------------------------------------------------------------------------
Actual $1,000.00 $1,014.90 $3.86
- --------------------------------------------------------------------------------
Hypothetical $1,000.00 $1,021.15 $3.87
(5% return before expenses)
- --------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratio of 0.77%,
multiplied by the average account value over the period, multiplied by
182/366 (to reflect the one-half year period.)
- --------------------------------------------------------------------------------
MINNESOTA Beginning Ending Expenses Paid
TAX-FREE INCOME Account Value Account Value During Period*
FUND (4/1/04) (9/30/04) (4/1/04 - 9/30/04)
- --------------------------------------------------------------------------------
Actual $1,000.00 $1,007.20 $3.99
- --------------------------------------------------------------------------------
Hypothetical $1,000.00 $1,021.00 $4.02
(5% return before expenses)
- --------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratio of 0.80%,
multiplied by the average account value over the period, multiplied by
182/366 (to reflect the one-half year period.)
82
================================================================================
- ----------------------------------------------------------------------- [LOGO]
================================================================================
- --------------------------------------------------------------------------------
Beginning Ending Expenses Paid
FLORIDA TAX-FREE Account Value Account Value During Period*
INCOME FUND (4/1/04) (9/30/04) (4/1/04 - 9/30/04)
- --------------------------------------------------------------------------------
Actual $1,000.00 $1,006.50 $3.99
- --------------------------------------------------------------------------------
Hypothetical $1,000.00 $1,021.00 $4.02
(5% return before expenses)
- --------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratio of 0.80%,
multiplied by the average account value over the period, multiplied by
182/366 (to reflect the one-half year period.)
- --------------------------------------------------------------------------------
Beginning Ending Expenses Paid
BOND FUND Account Value Account Value During Period*
(4/1/04) (9/30/04) (4/1/04 - 9/30/04)
- --------------------------------------------------------------------------------
Actual $1,000.00 $1,012.20 $4.00
- --------------------------------------------------------------------------------
Hypothetical $1,000.00 $1,021.00 $4.02
(5% return before expenses)
- --------------------------------------------------------------------------------
* Expenses are equal to the Fund's annualized expense ratio of 0.80%,
multiplied by the average account value over the period, multiplied by
182/366 (to reflect the one-half year period.)
83
================================================================================
Additional Information
- --------------------------------------------------------------------------------
================================================================================
PROXY VOTING
Each Fund follows certain policies and procedures for voting proxies for
securities held in each portfolio. A description of the Funds' proxy voting
polices and procedures is available without charge upon request by calling the
Funds at 1-800-332-5580.
Information regarding how each Fund voted proxies relating to its
portfolio securities during the most recent twelve-month period ended June 30 is
available 1) without charge upon request by calling the Funds at 1-800-332-5580;
and 2) on the U.S. Securities and Exchange Commission's website at
http://www.sec.gov.
AVAILABILITY OF QUARTERLY PORTFOLIO SCHEDULES
The Funds file their complete schedules of portfolio holdings with the
U.S. Securities and Exchange Commission (SEC) for the first and third quarters
of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the SEC's
website at http://www.sec.gov. The Funds' Forms N-Q may be reviewed and copied
at the SEC's Public Reference Room in Washington, DC. Information on the
operation of the Public Reference Room may be obtained by calling
1-800-SEC-0330. Information on the Funds' Forms N-Q is also available without
charge upon request by calling the Funds at 1-800-332-5580.
84
================================================================================
- ----------------------------------------------------------------------- [LOGO]
================================================================================
A Look at the Sit Mutual Funds
Sit Mutual Funds are managed by Sit Investment Associates, Inc. Sit
Investment Associates was founded by Eugene C. Sit in July 1981 and is dedicated
to a single purpose, to be one of the premier investment management firms in the
United States. Sit Investment Associates currently manages approximately $6.3
billion for some of America's largest corporations, foundations and endowments.
Sit Mutual Funds are comprised of fourteen NO-LOAD funds. NO-LOAD means
that Sit Mutual Funds have no sales charges on purchases, no deferred sales
charges, no 12b-1 fees and no redemption fees and no exchange fees. Every dollar
you invest goes to work for you. Effective November 1, 2003, the Stock Funds,
excluding the Balanced Fund, charge a 2% redemption fee on shares held less than
30 days.
Sit Mutual Funds offer:
o Free telephone exchange
o Dollar-cost averaging through an automatic investment plan
o Electronic transfer for purchases and redemptions
o Free checkwriting privileges on bond funds
o Retirement accounts including IRAs and 401(k) plans
[FLOW CHART]
- --------------------------------------------------------------------------------
SIT FAMILY OF FUNDS
- --------------------------------------------------------------------------------
STABILITY: SAFETY OF PRINCIPAL AND CURRENT INCOME
- -------------------------------------------------
Money Market
INCOME: INCREASED INCOME
- ------------------------
U.S. Government Securities
Tax-Free Income
Minnesota Tax-Free Income
Florida Tax-Free Income Fund
Bond
GROWTH: LONG-TERM CAPITAL APPRECIATION AND INCOME
- -------------------------------------------------
Balanced
Dividend Growth Fund
Large Cap Growth
HIGH GROWTH: LONG-TERM CAPITAL APPRECIATION
- -------------------------------------------
Mid Cap Growth
International Growth
Small Cap Growth
Science and Technology Growth
Developing Markets Growth
Principal Stability & Current Income Growth Potential
85
S E M I - A N N U A L R E P O R T B O N D F U N D S
One Year Ended March 31, 2004
INVESTMENT ADVISER AUDITORS
Sit Investment Associates, Inc. KPMG LLP
80 South Eighth Street, Suite 3300 90 South Seventh Street, Suite 4200
Minneapolis, MN 55402 Minneapolis, MN 55402
612-334-5888 (Metro Area)
800-332-5580 LEGAL COUNSEL
DISTRIBUTOR Dorsey & Whitney LLP
50 South Sixth Street, Suite 1500
SIA Securities Corp. Minneapolis, MN 55402
80 South Eighth Street, Suite 3300
Minneapolis, MN 55402
612-334-5888 (Metro Area)
800-332-5580
CUSTODIAN
The Northern Trust Company
50 South LaSalle Street
Chicago, IL 60675
TRANSFER AGENT AND
DISBURSING AGENT
PFPC Inc.
P.O. Box 5166
Westboro, MA 01581-5166
[LOGO] SIT INVESTMENT ASSOCIATES
-------------------------
SIT MUTUAL FUNDS
Item 2: Code of Ethics.
Not applicable to Semi-Annual Report.
Item 3: Audit Committee Financial Expert.
Not applicable to Semi-Annual Report.
Item 4: Principal Accountant Fees and Services.
Not applicable to Semi-Annual Report.
Item 5: Audit Committee of Listed Registrants.
Not applicable to open-end investment companies.
Item 6: Schedule of Investments.
The schedule of investments is included as part of the report to shareholders
filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable to open-end investment companies.
Item 8: Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 9. Submission of Matters to a vote of Security Holders.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrant's board of directors.
Item 10: Controls and Procedures.
(a) Based on their evaluation of the Registrant's Disclosure Controls and
Procedures as of a date within 90 days of the Filing Date, the Registrant's
Chairman and Treasurer have determined that the Disclosure Controls and
Procedures (as defined in Rule 30a-2(c) under the Act) are designed to ensure
that information required to be disclosed by the Registrant is recorded,
processed, summarized and reported by the filing Date, and that information
required to be disclosed in the report is communicated to the Registrant's
management, as appropriate, to allow timely decisions regarding required
disclosure.
(b) There were no changes in the Registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
Registrant's last fiscal half-year that has materially affected, or is
reasonably likely to materially affect, the Registrant's internal control over
financial reporting.
Item 11: Exhibits.
(a) The following exhibits are attached to this Form N-CSR:
(2) A separate certification for each principal executive and principal
financial officer of the registrant as required by Rule 30a-2(a) under the Act
(17 CFR 270.30a-2) (certification required by Section 302 of the Sarbanes-Oxley
Act of 2002).
(b) Certification required by Rule 30a-2(b) under the Act (certification
required by Section 906 of the Sarbanes-Oxley Act of 2002).
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.
SIT MONEY MARKET FUND, INC.
- ---------------------------
By (Signature and Title) /s/ Paul E. Rasmussen
------------------------------------------
Paul E. Rasmussen
Vice President, Treasurer
Date November 30, 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 (Signature and Title) /s/ Paul E. Rasmussen
------------------------------------------
Paul E. Rasmussen
Vice President, Treasurer
Date November 30, 2004
By (Signature and Title) /s/ Eugene C. Sit
------------------------------------------
Eugene C. Sit
Chairman
Date November 30, 2004
Item 2: Code of Ethics.
Not applicable to Semi-Annual Report.
Item 3: Audit Committee Financial Expert.
Not applicable to Semi-Annual Report.
Item 4: Principal Accountant Fees and Services.
Not applicable to Semi-Annual Report.
Item 5: Audit Committee of Listed Registrants.
Not applicable to open-end investment companies.
Item 6: Schedule of Investments.
The schedule of investments is included as part of the report to shareholders
filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable to open-end investment companies.
Item 8: Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 9. Submission of Matters to a vote of Security Holders.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrant's board of directors.
Item 10: Controls and Procedures.
(a) Based on their evaluation of the Registrant's Disclosure Controls and
Procedures as of a date within 90 days of the Filing Date, the Registrant's
Chairman and Treasurer have determined that the Disclosure Controls and
Procedures (as defined in Rule 30a-2(c) under the Act) are designed to ensure
that information required to be disclosed by the Registrant is recorded,
processed, summarized and reported by the filing Date, and that information
required to be disclosed in the report is communicated to the Registrant's
management, as appropriate, to allow timely decisions regarding required
disclosure.
(b) There were no changes in the Registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
Registrant's last fiscal half-year that has materially affected, or is
reasonably likely to materially affect, the Registrant's internal control over
financial reporting.
Item 11: Exhibits.
(a) The following exhibits are attached to this Form N-CSR:
(2) A separate certification for each principal executive and principal
financial officer of the registrant as required by Rule 30a-2(a) under the Act
(17 CFR 270.30a-2) (certification required by Section 302 of the Sarbanes-Oxley
Act of 2002).
(b) Certification required by Rule 30a-2(b) under the Act (certification
required by Section 906 of the Sarbanes-Oxley Act of 2002).
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.
SIT U.S. GOVERNMENT SECURITIES FUND, INC.
- -----------------------------------------
By (Signature and Title) /s/ Paul E. Rasmussen
------------------------------------------
Paul E. Rasmussen
Vice President, Treasurer
Date November 30, 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 (Signature and Title) /s/ Paul E. Rasmussen
------------------------------------------
Paul E. Rasmussen
Vice President, Treasurer
Date November 30, 2004
By (Signature and Title) /s/ Eugene C. Sit
------------------------------------------
Eugene C. Sit
Chairman
Date November 30, 2004
Item 2: Code of Ethics.
Not applicable to Semi-Annual Report.
Item 3: Audit Committee Financial Expert.
Not applicable to Semi-Annual Report.
Item 4: Principal Accountant Fees and Services.
Not applicable to Semi-Annual Report.
Item 5: Audit Committee of Listed Registrants.
Not applicable to open-end investment companies.
Item 6: Schedule of Investments.
The schedule of investments is included as part of the report to shareholders
filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable to open-end investment companies.
Item 8: Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 9. Submission of Matters to a vote of Security Holders.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrant's board of directors.
Item 10: Controls and Procedures.
(a) Based on their evaluation of the Registrant's Disclosure Controls and
Procedures as of a date within 90 days of the Filing Date, the Registrant's
Chairman and Treasurer have determined that the Disclosure Controls and
Procedures (as defined in Rule 30a-2(c) under the Act) are designed to ensure
that information required to be disclosed by the Registrant is recorded,
processed, summarized and reported by the filing Date, and that information
required to be disclosed in the report is communicated to the Registrant's
management, as appropriate, to allow timely decisions regarding required
disclosure.
(b) There were no changes in the Registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
Registrant's last fiscal half-year that has materially affected, or is
reasonably likely to materially affect, the Registrant's internal control over
financial reporting.
Item 11: Exhibits.
(a) The following exhibits are attached to this Form N-CSR:
(2) A separate certification for each principal executive and principal
financial officer of the registrant as required by Rule 30a-2(a) under the Act
(17 CFR 270.30a-2) (certification required by Section 302 of the Sarbanes-Oxley
Act of 2002).
(b) Certification required by Rule 30a-2(b) under the Act (certification
required by Section 906 of the Sarbanes-Oxley Act of 2002).
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.
SIT MUTUAL FUNDS II, INC.
- -------------------------
By (Signature and Title) /s/ Paul E. Rasmussen
------------------------------------------
Paul E. Rasmussen
Vice President, Treasurer
Date November 30, 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 (Signature and Title) /s/ Paul E. Rasmussen
------------------------------------------
Paul E. Rasmussen
Vice President, Treasurer
Date November 30, 2004
By (Signature and Title) /s/ Eugene C. Sit
------------------------------------------
Eugene C. Sit
Chairman
Date November 30, 2004
Item 2: Code of Ethics.
Not applicable to Semi-Annual Report.
Item 3: Audit Committee Financial Expert.
Not applicable to Semi-Annual Report.
Item 4: Principal Accountant Fees and Services.
Not applicable to Semi-Annual Report.
Item 5: Audit Committee of Listed Registrants.
Not applicable to open-end investment companies.
Item 6: Schedule of Investments.
The schedule of investments is included as part of the report to shareholders
filed under Item 1 of this Form.
Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End
Management Investment Companies.
Not applicable to open-end investment companies.
Item 8: Purchases of Equity Securities by Closed-End Management Investment
Company and Affiliated Purchasers.
Not applicable to open-end investment companies.
Item 9. Submission of Matters to a vote of Security Holders.
There have been no material changes to the procedures by which shareholders may
recommend nominees to the registrant's board of directors.
Item 10: Controls and Procedures.
(a) Based on their evaluation of the Registrant's Disclosure Controls and
Procedures as of a date within 90 days of the Filing Date, the Registrant's
Chairman and Treasurer have determined that the Disclosure Controls and
Procedures (as defined in Rule 30a-2(c) under the Act) are designed to ensure
that information required to be disclosed by the Registrant is recorded,
processed, summarized and reported by the filing Date, and that information
required to be disclosed in the report is communicated to the Registrant's
management, as appropriate, to allow timely decisions regarding required
disclosure.
(b) There were no changes in the Registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the
Registrant's last fiscal half-year that has materially affected, or is
reasonably likely to materially affect, the Registrant's internal control over
financial reporting.
Item 11: Exhibits.
(a) The following exhibits are attached to this Form N-CSR:
(2) A separate certification for each principal executive and principal
financial officer of the registrant as required by Rule 30a-2(a) under the Act
(17 CFR 270.30a-2) (certification required by Section 302 of the Sarbanes-Oxley
Act of 2002).
(b) Certification required by Rule 30a-2(b) under the Act (certification
required by Section 906 of the Sarbanes-Oxley Act of 2002).
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.
SIT MUTUAL FUNDS TRUST
- ----------------------
By (Signature and Title) /s/ Paul E. Rasmussen
------------------------------------------
Paul E. Rasmussen
Vice President, Treasurer
Date November 30, 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 (Signature and Title) /s/ Paul E. Rasmussen
------------------------------------------
Paul E. Rasmussen
Vice President, Treasurer
Date November 30, 2004
By (Signature and Title) /s/ Eugene C. Sit
------------------------------------------
Eugene C. Sit
Chairman
Date November 30, 2004