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 811-21063
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BACAP Opportunity Strategy, LLC
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(Exact name of registrant as specified in charter)
101 South Tryon Street
Charlotte, NC 28255
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(Address of principal executive offices) (Zip code)
National Corporate Research, Ltd.
615 South DuPont Highway
County of Kent
City of Dover
State of Delaware 19901
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(Name and address of agent for service)
Registrant's telephone number, including area code: 704-388-4353
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Date of fiscal year end: December 31, 2004
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Date of reporting period: June 30, 2004
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Form N-CSR is to be used by management investment companies to file reports with
the Commission not later than 10 days after the transmission to stockholders of
any report that is required to be transmitted to stockholders under Rule 30e-1
under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may
use the information provided on Form N-CSR in its regulatory, disclosure review,
inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
- -------------------------------------------------------------- BACAP OPPORTUNITY
STRATEGY, LLC
FINANCIAL STATEMENTS
FOR THE SIX MONTHS ENDED JUNE 30, 2004
BACAP OPPORTUNITY STRATEGY, LLC
FINANCIAL STATEMENTS
FOR THE SIX MONTHS ENDED JUNE 30, 2004
CONTENTS
Statement of Assets, Liabilities and Members' Capital ................. 1
Statement of Operations................................................ 2
Statement of Changes in Members' Capital - Net Assets.................. 3
Notes to Financial Statements.......................................... 4
Schedule of Portfolio Investments...................................... 13
Schedule of Securities Sold, Not Yet Purchased......................... 20
BACAP OPPORTUNITY STRATEGY, LLC
STATEMENT OF ASSETS, LIABILITIES AND MEMBERS' CAPITAL (IN THOUSANDS)
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JUNE 30, 2004
(UNAUDITED)
ASSETS
Investments in securities, at market value (cost - $73,793) $ 75,098
Cash equivalents 2
Deposit with Prime Broker for securities sold, not yet purchased 18,172
Receivable for investment securities sold 5,042
Receivable from investment adviser 74
Interest receivable 25
Dividends receivable 14
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TOTAL ASSETS 98,427
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LIABILITIES
Securities sold, not yet purchased, at market value (proceeds - $23,816) 23,961
Distribution payable 5,192
Payable for investment securities purchased 3,532
Management fee payable 58
Custody fees payable 51
Accounting and investor servicing fees payable 36
Interest payable 23
Dividends payable on securities sold, not yet purchased 13
Accrued expenses 230
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TOTAL LIABILITIES 33,096
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MEMBERS' CAPITAL $ 65,331
====================
MEMBERS' CAPITAL
Represented by:
Paid in Capital $ 64,171
Net unrealized appreciation on investments and
securities sold, not yet purchased 1,160
--------------------
MEMBERS' CAPITAL $ 65,331
====================
The accompanying notes are an integral part of these financial statements.
- 1 -
BACAP OPPORTUNITY STRATEGY, LLC
STATEMENT OF OPERATIONS (IN THOUSANDS)
- --------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED
JUNE 30, 2004
(UNAUDITED)
Investment Income
Interest $ 68
Dividends (net of foreign taxes withheld $1) 45
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113
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EXPENSES
Management fees 303
Dividends on securities sold, not yet purchased 134
Legal fees 100
Prime broker fees 87
Custodian fees 85
Accounting and investor servicing fees 65
Audit fees 44
Insurance fees 34
Board of Managers' fees and expenses 20
Registration fees 11
Interest expense 9
Miscellaneous 10
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TOTAL EXPENSES 902
LESS: EXPENSE WAIVER (189)
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NET EXPENSE 713
NET INVESTMENT LOSS (600)
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NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
NET REALIZED GAIN (LOSS) FROM:
Investment securities (629)
Securities sold, not yet purchased 94
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NET REALIZED LOSS ON INVESTMENTS (535)
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON INVESTMENTS
AND SECURITIES SOLD, NOT YET PURCHASED
Investment securities (4,986)
Securities sold, not yet purchased 299
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(4,687)
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NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
AND SECURITIES SOLD, NOT YET PURCHASED (5,222)
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NET DECREASE IN MEMBERS' CAPITAL RESULTING FROM OPERATIONS $ (5,822)
==================
The accompanying notes are an integral part of these financial statements.
- 2 -
BACAP OPPORTUNITY STRATEGY, LLC
STATEMENT OF CHANGES IN MEMBERS' CAPITAL - NET ASSETS (IN THOUSANDS)
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(UNAUDITED)
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AFFILIATED
MEMBERS* MEMBERS TOTAL
-------------- --------------- ---------------
MEMBERS' CAPITAL, DECEMBER 31, 2002 $ 288 $ 23,365 $ 23,653
Capital contributions - 17,163 17,163
Capital withdrawals (2,501) (3,509) (6,010)
Offering Costs - (15) (15)
Re-allocation of organizational costs 1 (1) -
Net investment loss (4) (661) (665)
Net realized gain on investments 26 6,468 6,494
Net change in unrealized appreciation on investments 52 6,007 6,059
and securities sold, not yet purchased
Incentive allocation from affiliated member (15) - (15)
Incentive allocation 2,312 (2,297) 15
-------------- --------------- ---------------
MEMBERS' CAPITAL, DECEMBER 31, 2003 $ 159 $ 46,520 $ 46,679
(UNAUDITED)
Capital contributions - 29,666 29,666
Capital withdrawals - (5,192) (5,192)
Net investment loss (2) (598) (600)
Net realized gain (loss) on investments (535) (535)
Net change in unrealized depreciation on investments (13) (4,674) (4,687)
-------------- --------------- ---------------
MEMBERS' CAPITAL, JUNE 30, 2004 $ 144 $ 65,187 $ 65,331
============== =============== ===============
<FN>
* The Affiliated Members are BACAP Advisory Partners, LLC and Banc of America
Capital Management, LLC.
</FN>
The accompanying notes are an integral part of these financial statements.
- 3 -
BACAP OPPORTUNITY STRATEGY, LLC
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2004 (UNAUDITED)
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1. ORGANIZATION
BACAP Opportunity Strategy, LLC (the "Fund") was organized as a
limited liability company under the laws of the State of Delaware in
March 2002. The Fund is registered under the Investment Company Act of
1940, as amended (the "Act"), as a non-diversified, closed-end
management investment company. The Fund's term is perpetual unless the
Fund is otherwise terminated in accordance with the terms of the First
Amended and Restated Limited Liability Company Agreement (the
"Agreement") dated as of June 27, 2003. The Fund's investment
objective is to achieve long-term capital appreciation. It pursues
this objective by investing its assets primarily in long and short
positions in securities of (i) companies engaged in developing,
producing or delivering technology related products or services; (ii)
companies that may benefit from, or be disadvantaged by, technology
related products or services and (iii) companies that derive
significant revenues from businesses that may be affected by
technological events and advances. The Fund's portfolio of securities
in the technology area is expected to consist primarily of equity
securities of both U.S. and non-U.S. companies. Equity securities
include common and preferred stock and other securities having equity
characteristics, including convertible debt securities, stock options,
warrants and rights.
The Board of Managers of the Fund ("Board of Managers") provides broad
oversight over the operations and affairs of the Fund. BACAP Advisory
Partners, LLC (the "Adviser"), a Delaware limited liability company,
serves as the investment adviser to the Fund and is responsible for
managing the Fund's investment activities pursuant to an investment
advisory agreement. BACAP Distributors, LLC (the Distributor) is the
managing member and controlling person of the Adviser. Alkeon Capital
Management, LLC, a member of the Adviser, has been retained to serve
as the Fund's sub-adviser and provides day-to-day investment
management services to the Fund, subject to the general supervision of
the Adviser.
The acceptance of initial and additional capital contributions from
members of the Fund ("Members") is subject to approval by the Board of
Managers. The Board of Managers has delegated this responsibility to
the Distributor provided that the Distributor reviews applicable
subscription documentation and determines that the prospective Members
satisfy applicable eligibility requirements to become Members. The
interests of Members are represented by limited liability company
interests ("Interests"). The Fund may from time to time offer to
repurchase Interests pursuant to written tenders by Members. Such
repurchases are made at such times and on such terms as may be
determined by the Board of Managers, in its complete and exclusive
discretion. The Adviser expects that generally it will recommend to
the Board of Managers that the Fund offer to repurchase Interests from
Members twice each year, effective as of June 30 and December 31 of
each year. The Fund can be dissolved if a Member's written request
made in accordance with the Agreement to liquidate their entire
interest has not been repurchased by the Fund within two years from
the date of request.
- 4 -
BACAP OPPORTUNITY STRATEGY, LLC
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2004 (UNAUDITED) (CONTINUED)
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2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with accounting
principles generally accepted in the United States of America requires
the Adviser to make estimates and assumptions that affect the amounts
reported in the financial statements and accompanying notes. The
Adviser believes that the estimates for income and expense accruals
and valuation of certain securities utilized in preparing the Fund's
financial statements are reasonable and prudent; however, actual
results could differ from these estimates.
Securities transactions, including related revenue and expenses, are
recorded on a trade-date basis and dividends are recorded on an
ex-dividend date basis. Interest income and expense are recorded on
the accrual basis.
A. PORTFOLIO VALUATION
Domestic exchange traded securities (other than equity securities
traded primarily on the NASDAQ Stock Market, Inc. ("NASDAQ") and
options) are valued at their last composite sale prices on the date of
valuation as reported on the exchanges where such securities are
traded. If no sales of such securities are reported on a particular
day, the securities are valued based upon their composite bid prices
for securities held long, or their composite ask prices for securities
sold short, as reported by the principal exchanges. Securities traded
on a foreign securities exchange are valued at their last sale prices
on the exchange where such securities are primarily traded, or in the
absence of a reported sale on a particular day, at their bid prices
(in the case of securities held long) or ask prices (in the case of
securities sold short) as reported by such exchange.
Other securities for which market quotations are readily available
will be valued at their bid prices (or ask prices in the case of
securities held short) as obtained from one or more dealers making
markets for those securities.
Securities traded primarily on NASDAQ are valued at the NASDAQ
official closing price ("NOCP") (which is the last trade price at or
before 4:00:02 p.m. (Eastern Time) adjusted up to NASDAQ's best bid
price if the last trade price is below such bid and down to NASDAQ's
best offer price if the last trade is above such offer price.) If no
NOCP is available, the security is valued at the last sale price on
the NASDAQ prior to the calculation of the net assets of the Fund. If
no sale is shown on NASDAQ, the bid price is used. If no sale is shown
and no bid or ask price is available, the price will be deemed "stale"
and the value will be determined by, or in accordance with, the fair
valuation procedures set forth by the Board of Managers.
Exchange traded options are generally valued at their latest reported
sales price as reported by the exchange. Over the counter options are
generally valued using the mean between the latest bid or ask prices.
- 5 -
BACAP OPPORTUNITY STRATEGY, LLC
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2004 (UNAUDITED) (CONTINUED)
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2. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
A. PORTFOLIO VALUATION (CONTINUED)
Debt securities are valued in accordance with the procedures described
above. Alternatively, debt securities may be valued by a pricing
service, which employs a matrix to determine valuation for normal
institutional size trading units. The Board of Managers and/or the
Valuation Committee established by the Board of Managers will
periodically monitor the reasonableness of valuations provided by any
such pricing service. Debt securities with remaining maturities of 60
days or less are, absent unusual circumstances, valued at amortized
cost.
Shares of open-end investment companies held in the Fund's portfolio
will be valued at the latest NAV reported by the investment company.
If market quotations are not readily available, securities and other
assets are valued at fair value as determined in good faith by, or in
accordance with the procedures adopted by the Board of Managers.
All assets and liabilities initially expressed in foreign currencies
are converted into U.S. dollars using foreign exchange rates provided
by a pricing service compiled as of 4:00 p.m. London time. Trading in
foreign securities generally is completed, and the values of such
securities are determined, prior to the close of securities markets in
the U.S. Foreign exchange rates are also determined prior to such
close. On occasion, the values of such securities and exchange rates
may be affected by events occurring between the time such values or
exchange rates are determined and the time that the net asset value of
the Fund is determined. When, in the judgment of the Fund's adviser or
sub-adviser, an event materially affects the values of securities held
by the Fund or its liabilities, such securities and liabilities are
valued at fair value as determined in good faith by, or in accordance
with procedures adopted by the Board of Managers.
B. CASH EQUIVALENTS
The Fund treats all highly-liquid financial instruments that mature
within three months as cash equivalents. At June 30, 2004, $14,640 in
cash equivalents was invested in a PNC Bank Money Market Deposit
Account.
C. INCOME TAXES
The Fund is a limited liability company and has elected to be treated
as a Partnership for federal income tax purposes. No provision for the
payment of Federal, state or local income taxes on the profits of the
Fund has been made. The Members are individually liable for the income
taxes on their share of the Fund's income.
- 6 -
BACAP OPPORTUNITY STRATEGY, LLC
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2004 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
3. MANAGEMENT FEE, RELATED PARTY TRANSACTIONS AND OTHER
In consideration of services provided by the Adviser, the Fund pays
the Adviser a fee computed and paid monthly at the annual rate of
1.00% of the aggregate value of outstanding Interests determined as of
the last day of each month (before reduction for any repurchase of
Interests or the Incentive Allocation (as defined below).
The Fund's portfolio transactions may be executed by brokerage firms
affiliated with the Adviser and Alkeon Capital Management, LLC. During
the six months ended June 30, 2004, Banc of America Securities LLC and
Mainsail Group LLC earned $38,222 and $10,646, respectively, in
brokerage commissions from portfolio transactions executed on behalf
of the Fund.
The Adviser serves as the Special Advisory Member of the Fund. In such
capacity, the Adviser is entitled to receive a performance-based
incentive allocation (the "Incentive Allocation"), charged to the
capital account of each Member, generally computed as of the end of
each calendar year, of 20% of the net profits allocated to the Member.
The Incentive Allocation will apply only to net profits allocable to
the Member for the applicable period that exceed previously allocated
net losses. During the six months ended June 30, 2004, no Incentive
Allocation was made to the Adviser. Alkeon Capital Management, LLC, as
a non-managing member of the Adviser, has a right to participate in
the revenues of the Adviser, including the Incentive Allocation.
Each member of the Board of Managers (a "Manager") who is not an
"interested person" (as defined by the Act) of the Fund, receives an
annual retainer of $6,000 plus $1,000 for each Board or committee
meeting attended, other than any committee meeting conducted on the
same day as or within on day of a meeting of the Board of Managers.
All non-interested Managers are reimbursed by the Fund for all
reasonable out-of-pocket expenses incurred by them in performing their
duties.
PFPC Trust Company (the "Custodian") serves as custodian of the Fund's
assets. PFPC Inc. serves as the Administrator, Investor Services and
Accounting Agent to the Fund and in that capacity provides certain
administration, accounting, record keeping, tax and investor related
services. PFPC Inc. has waived $2,500 of its fees for the six months
ended June 30, 2004.
The Adviser has entered into an agreement with the Fund to waive its
fees or absorb Fund expenses to the extent necessary to limit the
total annual ordinary operating expenses of the Fund to 2.30%,
excluding organization and offering costs, incentive allocations and
interest expense. In consideration for the Adviser's agreement to
limit the Fund's expenses, the Fund will carry forward the amount of
expenses paid or absorbed by the Adviser in excess of the expense
limitation, for a period not to exceed three years from the end of the
fiscal year in which the expense was incurred, and will reimburse the
Adviser such amounts to the extent that such reimbursement would not
cause the Fund to exceed the expense limitation in effect at the time
of recovery. At June 30, 2004, the amount potentially recoverable is
$871,629, representing an increase of $186,306 from December 31, 2003,
which relates to the waiver from the Adviser for the six months ended
June 30, 2004.
- 7 -
BACAP OPPORTUNITY STRATEGY, LLC
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2004 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
4. SECURITIES TRANSACTIONS
Aggregate purchases and sales of investment securities, excluding
short-term securities, for the six months ended June 30, 2004,
amounted to $110,106,808, and $73,524,450, respectively.
At June 30, 2004, the cost of investments for federal income tax
purposes was substantially the same as the cost for financial
reporting purposes. At June 30, 2004, accumulated net unrealized
appreciation on investments was $1,160,113, consisting of $6,716,335
gross unrealized appreciation and $5,556,222 gross unrealized
depreciation.
5. SHORT-TERM BORROWINGS
The Fund has the ability to trade on margin and, in that connection,
borrow funds from brokers and banks for investment purposes. Trading
in equity securities on margin involves an initial cash requirement
representing at least 50% of the underlying security's value with
respect to transactions in U.S. markets and varying percentages with
respect to transactions in foreign markets. The Act requires the Fund
to satisfy an asset coverage requirement of 300% of its indebtedness,
including amounts borrowed, measured at the time the Fund incurs the
indebtedness. The Fund pays interest on outstanding margin borrowings
at an annualized rate of LIBOR plus 0.0875%. The Fund pledges
securities as collateral for the margin borrowings, which are
maintained in a segregated account held by the Custodian. As of June
30, 2004, the Fund had no outstanding margin borrowings. For the six
months ended June 30, 2004, the average daily amount of such
borrowings was $1,056,913 and the daily average interest rate was
1.72%.
6. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK OR CONCENTRATIONS OF
CREDIT RISK
In the normal course of business, the Fund may trade various financial
instruments and enter into various investment activities with
off-balance sheet risk. These financial instruments include forward
contracts, options and securities sold, but not yet purchased.
Generally, these financial instruments represent future commitments to
purchase or sell other financial instruments at specific terms at
future dates. Each of these financial instruments contains varying
degrees of off-balance sheet risk whereby changes in the market value
of the securities underlying the financial instruments may be in
excess of the amounts recognized in the statement of assets,
liabilities and members' capital. There were no transactions in
forward contracts during the six months ended June 30, 2004.
The Fund maintains cash in bank deposit accounts, which, at times, may
exceed federally insured limits. The Fund has not experienced any
losses in such accounts and does not believe it is exposed to any
significant credit risk on such bank deposits.
- 8 -
BACAP OPPORTUNITY STRATEGY, LLC
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2004 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
6. FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK OR CONCENTRATIONS OF
CREDIT RISK (CONTINUED)
Securities sold, not yet purchased represent obligations of the Fund
to deliver specified securities and thereby create a liability to
purchase such securities in the market at prevailing prices.
Accordingly, these transactions result in off-balance sheet risk, as
the Fund's ultimate obligation to purchase such securities may exceed
the amount indicated in the statement of assets, liabilities and
members' capital.
A risk associated with purchasing an option is that the Fund pays a
premium whether or not the option is exercised. Additionally, the Fund
bears the risk of loss of premium and change in market value should
the counterparty not perform under the contract. Put and call options
purchased are accounted for in the same manner as investment
securities.
When the Fund writes an option, the premium received by the Fund is
recorded as a liability and is subsequently adjusted to the current
market value of the option written. If a call option is exercised, the
premium is added to the proceeds from the sale of the underlying
security in determining whether the Fund has realized a gain or loss.
In writing an option, the Fund bears the market risk of an unfavorable
change in the price of the security or index underlying the written
option. Exercise of an option written by the Fund could result in the
Fund selling or buying a security at a price different from the
current market value. During the six months ended June 30, 2004, there
were no transactions in written options.
- 9 -
BACAP OPPORTUNITY STRATEGY, LLC
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2004 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
7. FINANCIAL HIGHLIGHTS
The following represents the ratios to average net assets and other
supplemental information for each of the periods presented:
OCTOBER 1, 2002
SIX MONTHS (COMMENCEMENT OF
ENDED OPERATIONS)
JUNE 30, YEAR ENDED THROUGH
2004** DECEMBER 31, DECEMBER 31,
(UNAUDITED) 2003** 2002**
------------ ------------ ----------------
Net assets, end of period (000) $ 65,331 $ 46,679 $ 23,653
Ratio of net investment income (loss)
to average net assets* (1.96%) (1.76%) (2.25%)
Ratio of expenses to average net assets
(excluding organizational and interest
expenses)* (2.30%) (2.30%) (2.30%)
Ratio of expenses to average net
assets, net of waivers * (2.33%) (2.35%) (3.23%)
Ratio of expenses to average net
assets, gross of waivers * (2.95%) (3.78%) (7.33%)
Ratio of Incentive Allocation to
average net assets 0% 5.99% 0%
Portfolio turnover rate 99% 413% 273%
Total return (excluding Incentive
Allocation) *** (9.30)% 38.40% (0.51%)
Total return (including Incentive
Allocation) **** (9.30)% 30.72% (0.51%)
<FN>
* Ratios are annualized and reflect the re-allocation of
organizational expenses to all Members.
** Net investment income (loss) ratio, expenses to average net
assets ratio and total return are calculated for the Members
as a whole. An individual Member's return may vary from this
return based on the timing of capital transactions.
*** Total return is net of all fees including performance based
fees but excluding the Incentive Allocation.
**** Total return is net of all fees including performance based
fees and the Incentive Allocation.
</FN>
8. SUBSEQUENT EVENTS
Effective for the period from July 1, 2004 through August 15, 2004,
the Fund received capital contributions from investors of $1,097,750.
- 10 -
BACAP OPPORTUNITY STRATEGY, LLC
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2004 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
9. LITIGATION EVENT
On September 3, 2003, the Office of the Attorney General for the State
of New York ("NYAG") simultaneously filed and settled a complaint
against an unaffiliated hedge fund and its managers. The complaint
alleged, among other things, that the hedge fund engaged in improper
trading in various mutual funds, including certain Nations Funds, for
which the Distributor and an affiliate of the Adviser serve as
distributor and investment adviser, respectively. Specifically, the
NYAG alleged that the hedge fund and its managers engaged in
activities that it characterized as "market timing" and "late
trading." The NYAG later announced a criminal action, and the
Securities and Exchange Commission ("SEC") announced a civil action,
against a former employee of Banc of America Securities, LLC, an
affiliate of the Distributor and Adviser.
In connection with these events, various lawsuits have been filed,
some of which name the Distributor and certain of its affiliates,
among others, as defendants (see Civil Litigation below).
SETTLEMENTS IN PRINCIPLE WITH REGULATORS
On March 15, 2004, Bank of America Corporation and FleetBoston
Financial Corporation ("Fleet") entered into agreements in principle
(each an "Agreement" and together, the "Agreements") with the NYAG and
the SEC over matters related to improper late trading and market
timing of mutual funds. As noted below, on April 1, 2004, Bank of
America Corporation acquired Fleet.
When finalized, the Agreements will conclude the investigation by the
NYAG and the SEC of Bank of America Corporation and its affiliates
relating to late trading and market timing activities, provided that
the NYAG and the SEC have reserved the right to continue their
respective investigations of and actions against individuals.
BANK OF AMERICA CORPORATION ACQUISITION OF FLEET
On April 1, 2004, Bank of America Corporation acquired Fleet. As a
result of this acquisition, Columbia Management Advisors, Inc. ("CMA")
and Columbia Funds Distributor, Inc. ("CFDI") are now indirect
wholly-owned subsidiaries of Bank of America Corporation. The SEC and
NYAG filed proceedings against both CMA and CFDI on February 24, 2004
alleging that they had violated certain provisions of the federal
securities laws in connection with trading activity in mutual funds
shares and violated certain New York anti-fraud statutes. In order to
settle these matters, as noted above, Fleet entered into the
Agreements with the NYAG and the SEC.
- 11 -
BACAP OPPORTUNITY STRATEGY, LLC
NOTES TO FINANCIAL STATEMENTS - JUNE 30, 2004 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
9. LITIGATION EVENT (CONTINUED)
If either CMA or CFDI is ultimately unsuccessful in its defense of, or
efforts to procure a final settlement of, the February 24, 2004
proceedings, or if any final settlement includes an injunction against
CMA or CFDI prohibiting them from engaging in certain conduct, CMA,
CFDI or any company that is an affiliated person of CMA and CFDI could
be barred from serving as an investment adviser or distributor for any
investment company registered under the Investment Company Act of
1940. As a result of the Fleet acquisition, the Adviser and
Distributor are now affiliated persons of CMA and CFDI and, therefore,
under these circumstances, could be barred from serving as an
investment adviser or distributor for any registered investment
company, including the Fund. If either CMA or CFDI is ultimately
unsuccessful in its defense of, or efforts to procure a final
settlement of, the February 24, 2004 proceedings, it is expected that
the Adviser and Distributor would seek any necessary exemptive relief
from the SEC to permit them to continue serving as the investment
adviser and distributor of the Fund.
CIVIL LITIGATION
In connection with the events described above, various parties have
filed suit against the Distributor, as well as a former President and
Manager of the Fund, and affiliates of the Adviser and Distributor,
among others, in connection with their relationships with the Nations
Funds. These cases have been transferred to the United States District
Court for the District of Maryland, where they have been consolidated
into a multi-district proceeding with numerous other cases concerning
alleged improper market timing and late trading in mutual funds.
These lawsuits and certain regulatory investigations are ongoing.
Accordingly, an estimate of financial impact of this litigation on the
Fund, if any, cannot currently be made.
- 12 -
BACAP OPPORTUNITY STRATEGY, LLC
SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
(IN THOUSANDS)
JUNE 30, 2004
SHARES VALUE
COMMON STOCK - 113.03%
APPLICATIONS SOFTWARE - 9.49%
184,840 Microsoft Corp. (a) $ 5,279
34,016 Quest Software, Inc.* (a) 439
45,320 Siebel Systems, Inc.* (a) 484
-----------
6,202
-----------
BROADCASTING SERVICES / PROGRAMMING - 0.81%
62,170 New Frontier Media, Inc.* (a) 530
-----------
CABLE TELEVISION - 1.84%
26,800 Comcast Corp., Special Class A* (a) 740
14,990 EchoStar Communications Corp., Class A* (a) 461
-----------
1,201
-----------
CASINO SERVICES - 0.82%
28,160 Scientific Games Corp., Class A* 539
-----------
COMPUTER AIDED DESIGN - 0.54%
70,010 Parametric Technology Corp.* (a) 350
-----------
COMPUTER DATA SECURITY - 0.14%
26,590 BindView Development Corp.* (a) 93
-----------
COMPUTER SERVICES - 0.67%
26,770 CompuCom Systems, Inc.* (a) 121
20,250 LivePerson, Inc.* 61
9,720 SunGard Data Systems, Inc.* 253
-----------
435
-----------
COMPUTERS - 5.23%
95,380 Dell, Inc.* (a) 3,417
-----------
COMPUTERS - INTEGRATED SYSTEMS - 1.05%
312,830 Silicon Graphics, Inc.* (a) 688
-----------
COMPUTERS - MEMORY DEVICES - 0.90%
41,910 Maxtor Corp.* (a) 278
35,640 Western Digital Corp.* 309
-----------
587
-----------
COMPUTERS - PERIPHERAL EQUIPMENT - 1.79%
5,960 Interphase Corp.* (a) 61
11,460 Lexmark International, Inc., Class A* 1,106
-----------
1,167
-----------
The accompanying notes are an integral part of these financial statements.
- 13 -
BACAP OPPORTUNITY STRATEGY, LLC
SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
(IN THOUSANDS)
JUNE 30, 2004
SHARES VALUE
COMMON STOCK (CONTINUED)
CONSULTING SERVICES - 0.45%
34,240 DiamondCluster International, Inc.* (a) $ 298
-----------
DRUG DELIVERY SYSTEMS - 0.35%
16,870 Alkermes, Inc.* (a) 229
-----------
E-COMMERCE / SERVICES - 0.95%
155,150 HomeStore, Inc.* (a) 619
-----------
ELECTRONIC COMPONENTS - MISCELLANEOUS - 2.36%
33,200 Flextronics International Ltd.* (a) 530
26,600 Jabil Circuit, Inc.* (a) 670
37,620 Sanmina-SCI Corp.* (a) 342
-----------
1,542
-----------
ELECTRONIC COMPONENTS - SEMICONDUCTORS - 22.88%
98,680 Altera Corp.* (a) 2,193
54,450 Applied Micro Circuits Corp.* (a) 290
132,960 ATI Technologies, Inc.* (a) 2,508
23,880 Broadcom Corp., Class A* (a) 1,117
140,850 Intel Corp. (a) 3,887
7,293 Leadis Technology, Inc.* 98
41,550 Micron Technology, Inc.* (a)(b) 636
20,767 National Semiconductor Corp.* (a) 457
65,400 PMC-Sierra, Inc.* (a) 938
23,310 Silicon Image, Inc.* (a) 306
55,020 Skyworks Solutions, Inc.* 480
61,290 Xilinx, Inc. 2,041
-----------
14,951
-----------
ELECTRONIC DESIGN AUTOMATION - 0.43%
19,250 Cadence Design Systems, Inc.* 282
-----------
ENTERPRISE SOFTWARE / SERVICES - 5.53%
29,500 BEA Systems, Inc.* (a) 242
37,030 Informatica Corp.* (a) 283
61,340 Micromuse, Inc.* (a) 410
67,320 Novell, Inc.* (a) 565
150,590 Oracle Corp.* (a) 1,796
31,460 Ultimate Software Group, Inc.* 318
-----------
3,614
-----------
The accompanying notes are an integral part of these financial statements.
- 14 -
BACAP OPPORTUNITY STRATEGY, LLC
SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
(IN THOUSANDS)
JUNE 30, 2004
SHARES VALUE
COMMON STOCK (CONTINUED)
ENTERTAINMENT SOFTWARE - 3.97%
49,150 Activision, Inc.* (a) $ 781
79,110 THQ, Inc.* (a) 1,812
-----------
2,593
-----------
GAMBLING (NON-HOTEL) - 0.32%
50,840 Youbet.com, Inc.* 210
-----------
INTERNET APPLICATION SOFTWARE - 0.72%
29,970 BroadVision, Inc.* (a) 126
49,990 MatrixOne, Inc.* 345
-----------
471
-----------
INTERNET CONTENT - ENTERTAINMENT - 1.12%
2,233 Audible, Inc.* 27
19,560 Netflix, Inc.* 703
-----------
730
-----------
INTERNET INFRASTRUCTURE SOFTWARE - 0.39%
48,030 AsiaInfo Holdings, Inc.* (a) 253
-----------
INTERNET SECURITY - 0.71%
40,100 Secure Computing Corp.* (a) 467
-----------
MEDICAL - BIOMEDICAL / GENETICS - 1.77%
3,200 Biogen Idec, Inc.* 202
12,100 Chiron Corp.* (a) 540
8,760 Genzyme Corp.* (a)(b) 415
-----------
1,157
-----------
MEDICAL - DRUGS - 0.63%
20,350 Angiotech Pharmaceuticals, Inc.* (a) 410
-----------
MEDICAL - GENERIC DRUGS - 0.41%
13,730 Impax Laboratories, Inc.* 266
-----------
MEDICAL PRODUCTS - 0.97%
10,000 Henry Schein, Inc.* (a) 631
-----------
MULTIMEDIA - 0.26%
35,200 Gemstar-TV Guide International, Inc.* 169
-----------
The accompanying notes are an integral part of these financial statements.
- 15 -
BACAP OPPORTUNITY STRATEGY, LLC
SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
(IN THOUSANDS)
JUNE 30, 2004
SHARES VALUE
COMMON STOCK (CONTINUED)
NETWORKING PRODUCTS - 7.48%
168,170 Cisco Systems, Inc.* (a) $ 3,986
23,670 Hypercom Corp.* (a) 200
28,430 Juniper Networks, Inc.* (a) 699
-----------
4,885
-----------
POWER CONVERSION/SUPPLY EQUIPMENT - 0.43%
18,030 Advanced Energy Industries, Inc.* (a) 283
-----------
RACETRACKS - 1.39%
18,660 International Speedway Corp., Class A 908
-----------
RADIO - 0.45%
10,720 XM Satellite Radio Holdings, Inc., Class A* 293
-----------
RETAIL - MAIL ORDER - 1.01%
20,100 Williams-Sonoma, Inc.* 662
-----------
SCHOOLS - 0.57%
13,690 DeVry, Inc.* (a) 375
-----------
SEMICONDUCTOR COMPONENTS - INTEGRATED CIRCUITS - 14.22%
61,560 Analog Devices, Inc. (a) 2,898
22,870 Cypress Semiconductor Corp.* (a) 325
31,180 Integrated Device Technology, Inc.* (a) 432
9,590 Linear Technology Corp. (a) 379
83,960 Marvell Technology Group Ltd.* (a) 2,242
14,840 Maxim Integrated Products, Inc. 778
11,271 PowerDsine Ltd.* 136
131,621 Taiwan Semiconductor Manufacturing Company Ltd. -
Sponsored ADR 1,094
100,148 United Microelectronics Corp. - Sponsored ADR* 432
117,920 Vitesse Semiconductor Corp.* 575
-----------
9,291
-----------
SEMICONDUCTOR EQUIPMENT - 10.30%
121,750 Applied Materials, Inc.* (a) 2,389
53,800 Brooks Automation, Inc.* (a) 1,084
12,510 FormFactor Inc.* 281
14,530 KLA-Tencor Corp.* 717
32,490 Lam Research Corp.* (a) 871
16,400 MKS Instruments, Inc.* (a) 374
The accompanying notes are an integral part of these financial statements.
- 16 -
BACAP OPPORTUNITY STRATEGY, LLC
SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
(IN THOUSANDS)
JUNE 30, 2004
SHARES VALUE
COMMON STOCK (CONTINUED)
SEMICONDUCTOR EQUIPMENT (CONTINUED)
34,420 Teradyne, Inc.* $ 781
12,730 Tessera Technologies, Inc.* 229
-----------
6,726
-----------
TELECOMMUNICATION EQUIPMENT - 4.34%
33,540 Andrew Corp.* (a) 671
70,690 Arris Group, Inc.* (a) 420
43,050 Avaya, Inc.* (a) 680
168,550 Nortel Networks Corp.* (a) 841
24,810 Symmetricom, Inc.* (a) 221
-----------
2,833
-----------
TELECOMMUNICATION EQUIPMENT - FIBER OPTICS - 1.97%
33,730 Harmonic, Inc.* (a) 287
141,770 JDS Uniphase Corp.* (a) 537
63,170 MRV Communications, Inc.* (a) 173
151,041 Oplink Communications, Inc.* (a) 290
-----------
1,287
-----------
TELEPHONE - INTEGRATED - 0.16%
20,230 Primus Telecommunications Group, Inc.* (a) 103
-----------
TRANSPORT - SERVICES - 1.69%
47,990 Sirva, Inc.* (a) 1,104
-----------
WEB HOSTING / DESIGN - 0.42%
38,195 NIC, Inc.* 274
-----------
WEB PORTALS / ISP - 0.56%
39,800 GigaMedia Ltd.* 48
9,630 SINA Corp.* 318
-----------
366
-----------
WIRELESS EQUIPMENT - 0.54%
19,390 Motorola, Inc. 354
-----------
TOTAL COMMON STOCK (COST $71,466) $ 73,845
-----------
The accompanying notes are an integral part of these financial statements.
- 17 -
BACAP OPPORTUNITY STRATEGY, LLC
SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
(IN THOUSANDS)
JUNE 30, 2004
CONTRACTS VALUE
PURCHASED OPTIONS - 1.92%
CALL OPTIONS - 0.45%
COMPUTERS - MEMORY DEVICES - 0.04%
150 SanDisk Corp., 10/16/04, $25.00 $ 24
-----------
ELECTRONIC COMPONENTS - SEMICONDUCTORS - 0.02%
697 Advanced Micro Devices, Inc., 07/17/04, $17.00 14
-----------
INTERNET SECURITY - 0.30%
454 Check Point Software Technologies Ltd., 07/17/04, $25.00 100
134 McAfee, Inc., 09/18/04, $17.50 20
670 VeriSign Inc., 08/21/04, $20.00 74
-----------
194
-----------
MEDICAL - BIOMEDICAL / GENETICS - 0.06%
67 Genzyme Corp., 10/16/04, $50.00 13
390 Millennium Pharmaceuticals, Inc., 08/21/04, $17.50 4
260 Millennium Pharmaceuticals, Inc., 08/21/04, $20.00 3
100 Telik, Inc., 10/16/04, $25.00 23
-----------
43
-----------
MEDICAL - DRUGS - 0.02%
212 King Pharmaceuticals, Inc., 10/16/04, $15.00 3
167 Ligand Pharmaceuticals, Inc., Class B, 11/20/04, $22.50 13
-----------
16
-----------
TELEPHONE - INTEGRATED - 0.01%
335 Sprint Corp., 08/21/04, $20.00 4
259 Verizon Communications, Inc., 07/17/04, $40.00 1
-----------
5
-----------
TOTAL CALL OPTIONS (COST $328) $ 296
-----------
The accompanying notes are an integral part of these financial statements.
- 18 -
BACAP OPPORTUNITY STRATEGY, LLC
SCHEDULE OF PORTFOLIO INVESTMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
(IN THOUSANDS)
JUNE 30, 2004
CONTRACTS VALUE
PURCHASED OPTIONS (CONTINUED)
PUT OPTIONS - 1.47%
CELLULAR TELECOMMUNICATIONS - 0.02%
128 Vodafone Group PLC - Sponsored ADR, 07/17/04, $22.50 $ 10
-----------
ELECTRONIC COMPONENTS - SEMICONDUCTORS - 0.08%
268 Micron Technology, Inc., 10/16/04, $13.00 11
268 NVIDIA Corp., 09/18/04, $20.00 38
-----------
49
-----------
MEDICAL INSTRUMENTS - 0.00%
128 Edwards Lifesciences Corp., 08/21/04, $30.00 2
-----------
REGISTERED INVESTMENT COMPANY - 1.33%
2,058 Mini NDX-100 Index Tracking Stock, 12/18/04, $135.00 782
194 Mini NDX-100 Index Tracking Stock, 12/18/04, $140.00 89
-----------
871
-----------
WEB PORTALS / ISP - 0.04%
60 Sohu.com, Inc., 08/21/04, $17.50 6
254 Sohu.com, Inc., 09/18/04, $15.00 19
-----------
25
-----------
TOTAL PUT OPTIONS (COST $1,999) 957
-----------
TOTAL PURCHASED OPTIONS (COST $2,327) 1,253
-----------
TOTAL INVESTMENTS (COST $73,793) - 114.95% 75,098
-----------
OTHER ASSETS, LESS LIABILITIES - (14.95%) ** (9,767)
-----------
NET ASSETS - 100.00% $ 65,331
===========
<FN>
(a) Partially or wholly held in a pledged account by the Custodian as
collateral for securities sold, not yet purchased.
(b) Security held in connection with an open put or call option contract.
* Non-income producing security.
** Includes $14,640 invested in a PNC Bank Money Market Deposit Account,
which is 0.02% of net assets.
ADR American Depository Receipt
</FN>
The accompanying notes are an integral part of these financial statements.
- 19 -
BACAP OPPORTUNITY STRATEGY, LLC
SCHEDULE OF SECURITIES SOLD, NOT YET PURCHASED (UNAUDITED)
- --------------------------------------------------------------------------------
(IN THOUSANDS)
JUNE 30, 2004
SHARES VALUE
SECURITIES SOLD, NOT YET PURCHASED - (36.68%)
APPLICATIONS SOFTWARE - (0.35%)
10,050 Red Hat, Inc. $ (231)
-----------
CHEMICALS - SPECIALTY - (0.53%)
6,100 Cabot Microelectronics Corp. (187)
2,700 Minerals Technologies, Inc. (156)
-----------
(343)
-----------
COMMERCIAL SERVICES - (0.58%)
9,600 Weight Watchers International, Inc. (376)
-----------
COMMERCIAL SERVICES - FINANCE - (1.34%)
7,020 H&R Block, Inc. (334)
16,050 Paychex, Inc. (544)
-----------
(878)
-----------
COMMON TRUST FUND - (3.26%)
56,390 Semiconductor HOLDRs Trust (2,130)
-----------
COMPUTER AIDED DESIGN - (0.63%)
9,600 Autodesk, Inc. (411)
-----------
COMPUTER SERVICES - (0.20%)
6,880 Electronic Data Systems Corp. (132)
-----------
COMPUTERS - (0.69%)
5,080 International Business Machines Corp. (448)
-----------
COMPUTERS - INTEGRATED SYSTEMS - (0.64%)
3,340 Kronos, Inc. (138)
9,140 National Instruments Corp. (280)
-----------
(418)
-----------
COMPUTERS - MEMORY DEVICES - (0.86%)
20,100 Seagate Technology (290)
9,380 Storage Technology Corp. (272)
-----------
(562)
-----------
DATA PROCESSING / MANAGEMENT - (0.45%)
8,050 Acxiom Corp. (200)
4,140 Total System Services, Inc. (91)
-----------
(291)
-----------
The accompanying notes are an integral part of these financial statements.
- 20 -
BACAP OPPORTUNITY STRATEGY, LLC
SCHEDULE OF SECURITIES SOLD, NOT YET PURCHASED (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
(IN THOUSANDS)
JUNE 30, 2004
SHARES VALUE
SECURITIES SOLD, NOT YET PURCHASED (CONTINUED)
DENTAL SUPPLIES & EQUIPMENT - (1.03%)
8,760 Patterson Dental Co. $ (670)
-----------
E-COMMERCE / SERVICES - (0.47%)
3,350 eBay, Inc. (308)
-----------
ELECTRONIC COMPONENTS - MISCELLANEOUS - (0.86%)
8,920 AVX Corp. (129)
15,460 California Micro Devices Corp. (178)
6,480 Gentex Corp. (257)
-----------
(564)
-----------
ELECTRONIC COMPONENTS - SEMICONDUCTORS - (4.41%)
8,840 Cree, Inc. (206)
33,660 Integrated Silicon Solution, Inc. (411)
10,640 International Rectifier Corp. (441)
15,100 Microchip Technology, Inc. (476)
25,120 OmniVision Technologies, Inc. (401)
18,990 STMicroelectronics N.V. (418)
21,760 Texas Instruments, Inc. (526)
-----------
(2,879)
-----------
ELECTRONIC PARTS DISTRIBUTION - (1.35%)
13,950 Arrow Electronics, Inc. (374)
22,360 Avnet, Inc. (508)
-----------
(882)
-----------
ELECTRONIC PRODUCTS - MISCELLANEOUS - (0.08%)
1,670 Molex, Inc. (54)
-----------
ENTERPRISE SOFTWARE / SERVICES - (0.11%)
3,960 Sybase, Inc. (71)
-----------
ENTERTAINMENT SOFTWARE - (0.56%)
6,690 Electronic Arts, Inc. (365)
-----------
HOTELS & MOTELS - (1.19%)
18,390 Hilton Hotels Corp. (343)
8,640 Marriott International, Inc., Class A (431)
-----------
(774)
-----------
INSTRUMENTS - SCIENTIFIC - (0.49%)
14,740 Applera Corp. - Applied Biosystems Group (321)
-----------
The accompanying notes are an integral part of these financial statements.
- 21 -
BACAP OPPORTUNITY STRATEGY, LLC
SCHEDULE OF SECURITIES SOLD, NOT YET PURCHASED (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
(IN THOUSANDS)
JUNE 30, 2004
SHARES VALUE
SECURITIES SOLD, NOT YET PURCHASED (CONTINUED)
INTERNET CONTENT - INFORMATION / NETWORK - (0.13%)
9,700 Autobytel, Inc. $ (88)
-----------
INTERNET SECURITY - (0.70%)
16,150 McAfee, Inc. (293)
8,060 RSA Security, Inc. (165)
-----------
(458)
-----------
MEDICAL - BIOMEDICAL / GENETICS - (0.75%)
14,930 Affymetrix, Inc. (489)
-----------
MEDICAL - DRUGS - (0.54%)
7,490 Merck & Co., Inc. (356)
-----------
MEDICAL - HOSPITALS - (1.47%)
10,300 HCA, Inc. (428)
9,720 Health Management Associates, Inc. (218)
6,890 Universal Health Services, Inc., Class B (316)
-----------
(962)
-----------
MEDICAL - WHOLESALE DRUG DISTRIBUTION - (0.67%)
6,260 Cardinal Health, Inc. (438)
-----------
MEDICAL INSTRUMENTS - (0.34%)
4,740 Ventana Medical Systems, Inc. (225)
-----------
MOTORCYCLE / MOTOR SCOOTER - (0.68%)
7,220 Harley-Davidson, Inc. (447)
-----------
MULTIMEDIA - (0.27%)
4,860 Viacom, Inc., Class B (174)
-----------
OFFICE FURNISHINGS - ORIGINAL - (0.67%)
15,210 Herman Miller, Inc. (440)
-----------
PUBLISHING - NEWSPAPERS - (1.01%)
6,560 Dow Jones & Co., Inc. (296)
8,040 Tribune Co. (366)
-----------
(662)
-----------
RADIO - (0.37%)
77,710 Sirius Satellite Radio, Inc. (239)
-----------
The accompanying notes are an integral part of these financial statements.
- 22 -
BACAP OPPORTUNITY STRATEGY, LLC
SCHEDULE OF SECURITIES SOLD, NOT YET PURCHASED (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
(IN THOUSANDS)
JUNE 30, 2004
SHARES VALUE
SECURITIES SOLD, NOT YET PURCHASED (CONTINUED)
REGISTERED INVESTMENT COMPANY - (2.58%)
20,110 iShares Lehman 20+ Year Treasury Bond Fund $ (1,682)
-----------
RENTAL AUTO/EQUIPMENT - (0.25%)
9,040 United Rentals, Inc. (162)
-----------
SEMICONDUCTOR COMPONENTS - INTEGRATED CIRCUITS - (1.34%)
26,700 Micrel, Inc. (324)
22,140 Power Integrations, Inc. (551)
-----------
(875)
-----------
SEMICONDUCTOR EQUIPMENT - (1.42%)
14,890 ATMI, Inc. (406)
15,260 DuPont Photomasks, Inc. (310)
6,700 Novellus Systems, Inc. (a) (211)
-----------
(927)
-----------
TELECOMMUNICATION EQUIPMENT - (0.36%)
16,150 Nokia Corp. - Sponsored ADR (235)
-----------
TELEPHONE - INTEGRATED - (2.43%)
9,570 ALLTEL Corp. (484)
17,340 BellSouth Corp. (455)
26,730 SBC Communications, Inc. (648)
-----------
(1,587)
-----------
THEATERS - (0.28%)
10,120 Regal Entertainment Group, Class A (183)
-----------
WIRELESS EQUIPMENT - (0.34%)
29,810 RF Micro Devices, Inc. (224)
-----------
TOTAL SECURITIES SOLD, NOT YET PURCHASED (PROCEEDS $23,816) $ (23,961)
===========
The accompanying notes are an integral part of these financial statements.
- 23 -
BOSSAR -- 0804
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Not yet applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR
240.14a-101), or this Item.
ITEM 10. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive and principal financial officers,
or persons performing similar functions, have concluded that the
registrant's disclosure controls and procedures (as defined in Rule
30a-3(c) under the Investment Company Act of 1940, as amended (the
"1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within
90 days of the filing date of the report that includes the disclosure
required by this paragraph, based on their evaluation of these
controls and procedures required by Rule 30a-3(b) under the 1940 Act
(17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the
Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or
240.15d-15(b)).
(b) There were no changes in the registrant's internal control over
financial reporting (as defined in Rule 30a-3(d) under the 1940 Act
(17 CFR 270.30a-3(d)) that occurred during the registrant's last
fiscal half-year (the registrant's second fiscal half-year in the case
of an annual report) that has materially affected, or is reasonably
likely to materially affect, the registrant's internal control over
financial reporting.
ITEM 11. EXHIBITS.
(a)(1) Not applicable.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and
Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) Not applicable.
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.
(registrant) BACAP Opportunity Strategy, LLC
-----------------------------------------------------------------
By (Signature and Title)* /s/ Larry Morgenthal
----------------------------------------------------
Larry Morgenthal, President
(principal executive officer)
Date August 27, 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/ Larry Morgenthal
----------------------------------------------------
Larry Morgenthal, President
(principal executive officer)
Date August 27, 2004
-------------------------------------------------------------------------
By (Signature and Title)* /s/ Kevin J. Connaughton
----------------------------------------------------
Kevin J. Connaughton, Chief Financial Officer
(principal financial officer)
Date September 7, 2004
-------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.