<Page>
-----------------------------
OMB APPROVAL
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OMB Number: 3235-0570
Expires: November 30, 2005
Estimated average burden
hours per response....... 5.0
-----------------------------
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05309
---------------------------------------------
First American Investment Funds, Inc.
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
800 Nicollet Mall Minneapolis, MN 55402
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
Joseph M. Ulrey III 800 Nicollet Mall Minneapolis, MN 55402
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 800-677-3863
----------------------------
Date of fiscal year end: September 30, 2004
--------------------------
Date of reporting period: March 31, 2004
-------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its
regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street,
NW, Washington, DC 20549-0609. The OMB has reviewed this collection of
information under the clearance requirements of 44 U.S.C. Section 3507.
<Page>
Item 1. Report to Shareholders
<Page>
[GRAPHIC]
[FIRST AMERICAN FUNDS(TM) LOGO]
2004 SEMIANNUAL REPORT
INCOME FUNDS
[GRAPHIC]
"NOTHING BUT HARMONY, HONESTY, INDUSTRY, AND FRUGALITY ARE NECESSARY TO MAKE US
A GREAT AND HAPPY PEOPLE."
GEORGE WASHINGTON
JANUARY 29, 1789
<Page>
FIRST AMERICAN FUNDS
OUR IMAGE-GEORGE WASHINGTON
HIS RICH LEGACY AS PATRIOT AND LEADER IS WIDELY RECOGNIZED AS EMBODYING THE
SOUND JUDGMENT, RELIABILITY, AND STRATEGIC VISION THAT ARE CENTRAL TO OUR BRAND.
FASHIONED IN A STYLE REMINISCENT OF AN 18TH CENTURY ENGRAVING, THE ILLUSTRATION
CONVEYS THE SYMBOLIC STRENGTH AND VITALITY OF WASHINGTON, WHICH ARE ATTRIBUTES
THAT WE VALUE AT FIRST AMERICAN FUNDS.
MUTUAL FUND INVESTING INVOLVES RISK; PRINCIPAL LOSS IS POSSIBLE.
NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE
<Page>
FIRST AMERICAN FUNDS ONLINE
@ firstamericanfunds.com
Visit the First American Funds website for useful information on each of our
funds, including fund prices, performance, fund management bios, dividends, and
downloadable fact sheets. You'll also find college and retirement planning tools
and general investor education.
[GRAPHIC]
ONLINE FEATURES AND FUNCTIONALITY INCLUDE:
- - The ability to deepen your understanding of the fund family by learning about
the full range of investment choices available to you through First American
Funds
- - The ability to educate yourself through market and investment strategy
commentaries
We stand behind our commitment to serve you with excellence. For more
information, call First American Investor Services at 800.677.FUND or visit
firstamericanfunds.com.
Table of Contents
<Table>
Schedule of Investments 2
Statements of Assets and Liabilities 40
Statements of Operations 42
Statements of Changes in Net Assets 44
Financial Highlights 46
Notes to Financial Statements 52
</Table>
1
<Page>
SCHEDULE OF INVESTMENTS March 31, 2004 (unaudited)
CORE BOND FUND
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES - 32.2%
ADJUSTABLE RATE (a) - 1.8%
FHLMC Pool
3.450%, 04/01/29, #847190 (b) $ 5,292 $ 5,468
3.537%, 03/01/30, #847180 7,190 7,397
3.444%, 07/01/30, #847240 7,784 8,063
FNMA Pool
3.317%, 08/01/30, #555843 (b) 16,781 17,298
GNMA Pool
4.750%, 08/20/23, #8259 4 5
------------
38,231
------------
FIXED RATE - 30.4%
FHLMC Gold Pool
4.000%, 10/01/10, #M80855 17,794 18,109
6.500%, 05/01/17, #G11272 (b) 7,745 8,225
5.000%, 05/01/18, #E96700 17,257 17,764
6.500%, 01/01/28, #G00876 (b) 3,360 3,549
6.500%, 09/01/28, #C14872 (b) 4,415 4,648
6.500%, 11/01/28, #C00676 (b) 6,308 6,640
6.500%, 12/01/28, #C00689 4,380 4,611
6.500%, 04/01/29, #C00742 2,733 2,877
6.500%, 01/01/30, #C55738 2,527 2,659
6.500%, 11/01/30, #G01149 550 579
6.500%, 02/01/31, #C47895 174 183
6.500%, 03/01/31, #G01244 6,742 7,097
6.500%, 05/01/31, #C51020 3,398 3,574
6.000%, 11/01/33, #A15521 10,397 10,817
FHLMC Pool
7.500%, 04/01/07, #140151 2 2
FNMA Pool
7.750%, 06/01/08, #001464 21 22
3.790%, 07/01/13, #386314 (b) 26,773 26,385
6.255%, 09/01/13, #360500 6,500 7,424
5.500%, 02/01/14, #440780 6,474 6,781
7.000%, 02/01/15, #535206 1,757 1,883
7.000%, 08/01/16, #591038 4,335 4,639
5.500%, 12/01/17, #673010 11,301 11,781
6.000%, 12/01/17, #254547 (b) 12,027 12,676
4.500%, 05/01/18, #695854 (b) 23,408 23,759
5.000%, 06/01/18, #555545 (b) 13,498 13,894
5.000%, 11/01/18, #750989 29,220 30,069
6.000%, 10/01/22, #254513 (b) 11,111 11,668
7.000%, 04/01/26, #340798 1,560 1,660
7.000%, 05/01/26, #250551 1,293 1,377
6.500%, 05/01/28, #415794 1,967 2,070
6.000%, 12/01/28, #456276 3,757 3,919
6.500%, 02/01/29, #252255 5,431 5,716
6.500%, 03/01/29, #490758 4,070 4,283
6.500%, 07/01/29, #252570 2,860 3,009
6.500%, 08/01/29, #252645 22 23
6.500%, 05/01/30, #535300 1,983 2,086
6.500%, 02/01/31, #568895 166 174
6.500%, 02/01/32, #627117 20,467 21,515
6.500%, 06/01/32, #545691 3,668 3,856
7.000%, 07/01/32, #254379 10,070 10,688
7.000%, 07/01/32, #545813 (b) 4,107 4,360
7.000%, 07/01/32, #545815 (b) 3,008 3,193
6.500%, 12/01/32, #669168 (b) 8,616 9,057
6.000%, 03/01/33, #688330 17,732 18,471
5.500%, 04/01/33, #694605 (b) 19,070 19,573
5.500%, 06/01/33, #709033 (b) 21,571 22,140
5.500%, 06/01/33, #709203 (b) 7,566 7,761
5.500%, 07/01/33, #709446 (b) 19,610 20,127
5.500%, 07/01/33, #720735 (b) $ 11,668 $ 11,969
5.500%, 07/01/33, #728667 (b) 8,080 8,288
5.500%, 08/01/33, #728855 (b) 18,410 18,884
5.500%, 08/01/33, #733380 (b) 19,249 19,744
6.000%, 11/01/33, #772130 1,668 1,738
6.000%, 11/01/33, #772256 2,197 2,288
5.500%, 12/01/33, #751018 19,913 20,425
5.500%, 12/01/33, #756202 13,134 13,473
6.000%, 12/01/33, #756200 11,366 11,840
5.500%, 01/01/34, #255028 25,178 25,826
FNMA TBA
6.500%, 01/01/34 (c) 16,500 17,325
5.000%, 04/01/34 (c) 41,790 41,973
6.500%, 04/01/34 (c) 22,200 23,310
GNMA Pool
7.500%, 11/15/30, #537699 (b) 2,534 2,725
6.000%, 11/15/33, #612374 19,702 20,595
------------
647,776
------------
TOTAL U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES
(Cost $677,437) 686,007
------------
U.S. GOVERNMENT & AGENCY SECURITIES - 26.7%
U.S. AGENCY DEBENTURES - 16.1%
FHLB
1.625%, 06/15/05 29,010 29,105
1.875%, 06/15/06 40,000 39,987
FHLMC
2.375%, 02/15/07 (b) 20,000 20,098
4.875%, 03/15/07 (b) 20,000 21,501
3.250%, 02/25/08,
Callable 02/25/05 @ 100 (b) 20,000 20,166
5.625%, 03/15/11 (b) 20,000 22,301
4.500%, 01/15/14 (b) 29,990 30,419
FNMA
1.750%, 06/16/06,
Callable 06/16/04 @ 100 (b) 24,000 23,833
5.250%, 04/15/07 (b) 40,000 43,473
2.875%, 05/19/08,
Callable 05/19/05 @ 100 (b) 21,700 21,564
6.375%, 06/15/09 (b) 20,000 23,010
7.250%, 01/15/10 (b) 19,745 23,695
5.250%, 08/01/12 24,000 25,428
------------
344,580
------------
U.S. TREASURIES - 10.6%
U.S. Treasury Bonds
6.875%, 08/15/25 (b) 17,450 22,298
6.000%, 02/15/26 (b) 27,000 31,307
6.125%, 11/15/27 (b) 26,155 30,851
5.500%, 08/15/28 (b) 15,000 16,357
5.250%, 11/15/28 (b) 35,000 36,952
5.375%, 02/15/31 (b) 34,145 37,213
U.S. Treasury Notes
1.875%, 01/31/06 (b) 4,050 4,077
2.250%, 02/15/07 (b) 35,995 36,299
3.000%, 02/15/09 (b) 6,742 6,817
4.000%, 02/15/14 (b) 3,595 3,642
------------
225,813
------------
TOTAL U.S. GOVERNMENT & AGENCY SECURITIES
(Cost $561,144) 570,393
------------
</Table>
The accompanying notes are an integral part of the financial statements.
2
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
CORPORATE BONDS - 22.3%
CONSUMER GOODS - 1.4%
Diageo Capital
3.500%, 11/19/07 (b) $ 7,465 $ 7,671
Kraft Foods
6.250%, 06/01/12 (b) 5,750 6,447
Miller Brewing
5.500%, 08/15/13 (b) (d) 2,655 2,823
Tyson Foods
7.250%, 10/01/06 3,755 4,082
8.250%, 10/01/11 (b) 6,500 7,700
------------
28,723
------------
ENERGY - 3.2%
Anadarko Finance, Series B
7.500%, 05/01/31 5,340 6,490
Duke Capital
5.500%, 03/01/14 7,000 7,085
Halliburton
5.500%, 10/15/10 (d) 6,160 6,517
Kerr-McGee
7.875%, 09/15/31 3,785 4,487
MidAmerican Energy Holdings
5.875%, 10/01/12 8,845 9,571
Nexen
5.050%, 11/20/13 5,805 5,948
Pemex Project
9.125%, 10/13/10 11,995 14,676
Pemex Project Funding Master Trust
7.375%, 12/15/14 (b) 5,795 6,398
Valero Energy
6.875%, 04/15/12 6,300 7,240
------------
68,412
------------
FINANCE - 9.7%
Bank of America
7.125%, 09/15/06 7,000 7,802
BankBoston
6.375%, 04/15/08 8,350 9,368
Boeing Capital
5.800%, 01/15/13 4,000 4,332
Capital One Bank
4.875%, 05/15/08 (b) 5,500 5,784
4.250%, 12/01/08 3,955 4,068
CIT Group
5.500%, 11/30/07 2,445 2,655
Core Investment Grade Trust
4.727%, 11/30/07 3,135 3,298
Countrywide Home Loans, Series L
4.000%, 03/22/11 (b) 11,405 11,275
Credit Suisse First Boston
5.875%, 08/01/06 7,000 7,576
First National Bank of Chicago
8.080%, 01/05/18 1,500 1,867
Ford Motor Credit
7.000%, 10/01/13 (b) 15,890 16,793
General Electric Capital
4.250%, 12/01/10 (b) 21,350 21,900
General Motors Acceptance
6.125%, 08/28/07 14,135 15,240
Goldman Sachs
5.500%, 11/15/14 8,550 9,110
Household Finance
4.625%, 01/15/08 (b) 10,135 10,711
International Lease Finance
4.500%, 05/01/08 (b) $ 9,600 $ 10,071
J. P. Morgan Chase
5.750%, 01/02/13 (b) 13,500 14,699
Lehman Brothers Holdings
4.800%, 03/13/14 7,590 7,638
Marsh & McLennan
7.125%, 06/15/09 9,000 10,544
Morgan Stanley
4.750%, 04/01/14 (b) 18,650 18,289
National Rural Utilities
7.250%, 03/01/12 3,250 3,882
Washington Mutual
4.000%, 01/15/09 10,360 10,594
------------
207,496
------------
MANUFACTURING - 2.7%
Centex
7.500%, 01/15/12 (b) 5,445 6,456
DaimlerChrysler
6.500%, 11/15/13 6,200 6,702
Ford Motor
7.450%, 07/16/31 (b) 4,950 4,951
General Motors
8.375%, 07/15/33 7,820 8,873
International Paper
4.000%, 04/01/10 (b) 7,300 7,262
Noranda
6.000%, 10/15/15 5,080 5,489
Weyerhaeuser
6.750%, 03/15/12 8,695 9,798
Wyeth
5.250%, 03/15/13 7,685 8,033
------------
57,564
------------
REAL ESTATE - 0.6%
Boston Properties (REIT)
6.250%, 01/15/13 (b) 6,000 6,645
EOP Operating
6.750%, 02/15/08 (b) 6,000 6,722
------------
13,367
------------
SERVICES - 1.2%
AOL Time Warner
6.875%, 05/01/12 (b) 4,015 4,570
7.700%, 05/01/32 2,655 3,150
AT&T Broadband
8.375%, 03/15/13 (b) 10,665 13,219
Duty Free International
7.000%, 01/15/04 (e) (f) 2,442 147
Liberty Media
3.500%, 09/25/06 3,715 3,773
------------
24,859
------------
TRANSPORTATION - 0.6%
CSX
5.500%, 08/01/13 6,300 6,667
Delta Air Lines, Series 2000-1, Cl A2
7.570%, 11/18/10 3,180 3,148
Hertz
7.625%, 06/01/12 3,300 3,556
------------
13,371
------------
</Table>
3
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
UTILITIES - 2.6%
American Electric Power
5.250%, 06/01/15 (b) $ 3,750 $ 3,817
AT&T
8.050%, 11/15/11 6,000 7,006
6.500%, 03/15/13 (b) 2,000 2,178
8.750%, 11/15/31 3,560 4,170
AT&T Wireless Services
7.875%, 03/01/11 (b) 4,050 4,822
Deutsche Telecom
8.750%, 06/15/30 5,490 7,214
Duke Energy
6.450%, 10/15/32 5,970 6,354
Pacific Gas & Electric
6.050%, 03/01/34 2,430 2,454
Progress Energy
6.850%, 04/15/12 (b) 5,010 5,709
Sprint Capital
8.750%, 03/15/32 (b) 4,385 5,529
Verizon Global Funding
7.750%, 12/01/30 (b) 2,440 2,945
Verizon Wireless
5.375%, 12/15/06 3,300 3,556
------------
55,754
------------
YANKEE - 0.3%
Corporacion Andina De Fomento
5.200%, 05/21/13 5,545 5,699
------------
TOTAL CORPORATE BONDS
(Cost $458,724) 475,245
------------
ASSET-BACKED SECURITIES - 9.8%
AUTOMOBILES - 4.1%
Capital Auto Receivables Asset Trust
Series 2004-1, Cl A3
2.000%, 11/15/07 17,610 17,685
Capital One Auto Finance Trust
Series 2001-A, Cl A4
5.400%, 05/15/08 10,000 10,278
Nissan Auto Receivables Owner Trust
Series 2003-B, Cl A3
1.510%, 08/15/07 16,900 16,887
Onyx Acceptance Auto Trust
Series 2003-D, Cl A3
2.400%, 12/15/07 2,625 2,643
Series 2004-A, Cl A3
2.190%, 03/17/08 13,575 13,623
WFS Financial Owner Trust
Series 2003-2, Cl A3
1.760%, 01/21/08 12,025 12,041
World Omni Auto Receivables Trust
Series 2001-B, Cl A4
4.490%, 08/20/08 13,000 13,324
------------
86,481
------------
COMMERCIAL - 0.8%
Bank of America - First Union NB
Commercial Mortgages, Series 2001-3, Cl A1
4.890%, 04/11/37 8,835 9,195
Morgan Stanley Capital Investments
Series 1999-FNV1, Cl A1
6.120%, 03/15/31 6,714 7,219
------------
16,414
------------
CREDIT CARDS - 2.8%
Bank One Issuance Trust
Series 2002-A4, Cl A4
2.940%, 06/16/08 $ 25,000 $ 25,496
Capital One Multi-Asset Execution Trust
Series 2003-A6, Cl A6
2.950%, 08/17/09 16,645 16,957
Citibank Credit Card Issuance Trust
Series 2003-A2, Cl A2
2.700%, 01/15/08 11,825 12,015
Series 2003-A3, Cl A3
3.100%, 03/10/10 5,900 5,959
------------
60,427
------------
EQUIPMENT LEASES - 1.1%
CNH Equipment Trust
Series 2003-A, Cl A2
1.460%, 02/15/06 8,320 8,326
Series 2003-B, Cl A3B
2.470%, 01/15/08 15,640 15,809
------------
24,135
------------
HOME EQUITY - 1.0%
Amresco Residential Security Mortgage
Series 1997-3, Cl A9
6.960%, 03/25/27 2,968 2,977
Contimortgage Home Equity Loan Trust
Series 1997-3, Cl A8
7.580%, 08/15/28 1,452 1,536
Countrywide Asset-Backed Certificates
Series 2003-SC1, Cl M2
2.590%, 09/25/23 (a) (g) 5,000 5,023
Saxon Asset Securities Trust
Series 2004-1, Cl A
1.361%, 03/25/35 (a) (g) 11,163 11,180
------------
20,716
------------
TRANSPORTATION - 0.0%
Northwest Airlines
Series 1997-1, Cl 1C
7.039%, 07/02/08 261 209
------------
TOTAL ASSET-BACKED SECURITIES
(Cost $205,289) 208,382
------------
CMO - PRIVATE MORTGAGE-BACKED SECURITIES - 8.0%
ADJUSTABLE RATE (a) - 3.6%
IMPAC CMB Trust
Series 2003-12, Cl A1
1.470%, 12/25/33 (g) 13,776 13,812
Merrill Lynch Mortgage Investors
Series 1995-C3, Cl A3
7.123%, 12/26/25 1,765 1,810
MLCC Mortgage Investors
Series 2003-G, Cl A3
2.834%, 01/25/29 17,070 17,386
Series 2003-H, Cl A3A
2.886%, 01/25/29 (d) 5,324 5,450
Sequoia Mortgage Trust
Series 2004-3, Cl A
1.400%, 05/20/34 (e) (g) 15,068 15,068
William Street Funding Corporation
Series 2003-3, Cl A
1.650%, 10/23/09 (d) 23,000 22,990
------------
76,516
------------
</Table>
The accompanying notes are an integral part of the financial statements.
4
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
FIXED RATE - 4.4%
Greenwich Capital Commercial Funding
Series 2003-C1, Cl A2
3.285%, 07/05/35 $ 13,783 $ 13,645
GRP/AG Real Estate Asset Trust
Series 2004-1, Cl A
3.960%, 03/25/09 (e) (g) (h) 2,914 2,912
Series 2003-1, Cl A
5.970%, 11/25/32 (e) (g) (h) 2,341 2,339
Nomura Asset Securities
Series 1998-D6, Cl A1B
6.590%, 03/15/30 12,400 14,036
Residential Asset Mortgage Products
Series 2003-SL1, Cl M1
7.319%, 04/25/31 9,092 9,928
Residential Asset Securitization Trust
Series 2002-A12, Cl 1A1
5.200%, 11/25/32 11,624 11,831
Washington Mutual
Series 2003-S10, Cl A2
5.000%, 10/25/18 15,856 16,175
Series 2001-AR6, Cl A5
5.603%, 01/26/32 5,117 5,175
Series 2002-AR4, Cl A7
5.598%, 04/25/32 4,174 4,207
Wells Fargo Mortgage Backed Securities Trust
Series 2003-D, Cl A1
4.906%, 02/25/33 14,447 14,588
Westam Mortgage Financial
Series 11, Cl A
6.360%, 08/29/20 196 196
------------
95,032
------------
TOTAL CMO - PRIVATE MORTGAGE-BACKED SECURITIES
(Cost $171,218) 171,548
------------
CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 1.6%
FIXED RATE - 1.4%
FHLMC REMIC
Series 1998-M1, Cl A2
6.250%, 01/25/08 6,573 7,196
Series 6, Cl C
9.050%, 06/15/19 73 73
Series 1022, Cl J
6.000%, 12/15/20 97 97
Series 162, Cl F
7.000%, 05/15/21 297 298
Series 188, Cl H
7.000%, 09/15/21 675 674
Series 1790, Cl A
7.000%, 04/15/22 273 287
Series 1723, Cl PJ
7.000%, 02/15/24 7,057 7,250
Series 1699, Cl TD
6.000%, 03/15/24 10,000 10,316
FNMA REMIC
Series 1988-24, Cl G
7.000%, 10/25/18 163 174
Series 1989-44, Cl H
9.000%, 07/25/19 130 144
Series 1989-90, Cl E
8.700%, 12/25/19 22 24
Series 1990-30, Cl E
6.500%, 03/25/20 103 109
<Caption>
DESCRIPTION PAR (000)/SHARES/CONTRACTS VALUE (000)
- ----------------------------------------------------------------------------------------
Series 1990-61, Cl H
7.000%, 06/25/20 $ 110 $ 117
Series 1990-72, Cl B
9.000%, 07/25/20 69 76
Series 1990-102, Cl J
6.500%, 08/25/20 109 116
Series 1990-105, Cl J
6.500%, 09/25/20 1,057 1,127
Series 1991-56, Cl M
6.750%, 06/25/21 402 426
Series 1992-120, Cl C
6.500%, 07/25/22 154 161
------------
28,665
------------
Z-BONDS (i) - 0.2%
FHLMC REMIC
Series 1118, Cl Z
8.250%, 07/15/21 161 161
FNMA REMIC
Series 1991-134, Cl Z
7.000%, 10/25/21 740 775
Series 1996-35, Cl Z
7.000%, 07/25/26 3,570 3,832
------------
4,768
------------
TOTAL CMO - U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES
(Cost $30,688) 33,433
------------
TREASURY OBLIGATION - 0.1%
U.S. Treasury Bill
0.830%, 04/08/04 (j) 1,840 1,839
------------
TOTAL TREASURY OBLIGATION
(Cost $1,839) 1,839
------------
COMMERCIAL PAPER - 1.1%
UBS Financial
1.020%, 04/14/04 11,500 11,496
Yorktown Capital
1.030%, 04/05/04 11,500 11,499
------------
TOTAL COMMERCIAL PAPER
(Cost $22,994) 22,995
------------
PUT OPTIONS PURCHASED - 0.0%
Eurodollar 1 year Mid-Curve June 05
Futures Put, Expires 06/11/04,
Exercise price $96.50 465 23
Eurodollar 1 year Mid-Curve June 05
Futures Put, Expires 06/11/04,
Exercise price $97 460 63
Eurodollar 1 year Mid-Curve September 05
Futures Put, Expires 09/13/04,
Exercise price $96.75 450 191
------------
TOTAL PUT OPTIONS PURCHASED
(Cost $760) 277
------------
AFFILIATED MONEY MARKET FUND - 1.3%
First American Prime Obligations Fund, Cl Z (k) 28,302,465 28,302
------------
TOTAL AFFILIATED MONEY MARKET FUND
(Cost $28,302) 28,302
------------
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM
SECURITIES LENDING - 38.4%
COMMERCIAL PAPER - 10.8%
Bluegrass
1.160%, 11/18/04 $ 3,284 3,284
1.160%, 2/18/05 3,284 3,284
</Table>
5
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
CIBC NY
1.110%, 9/09/04 $ 16,996 $ 16,996
Concord Min Capital
1.100%, 4/07/04 18,523 18,523
1.100%, 4/08/04 6,043 6,043
1.100%, 4/14/04 2,627 2,627
Descartes Funding Trust
1.150%, 11/15/04 6,569 6,569
Emerald Trust
1.063%, 5/06/04 6,562 6,562
Ford Credit Floor Plan
1.063%, 5/03/04 19,687 19,687
Goldman Sachs
1.163%, 1/18/05 6,568 6,568
Independent IV
1.048%, 10/15/04 8,539 8,539
Lakeside Funding
1.142%, 4/08/04 15,042 15,042
Leafs
1.339%, 4/20/04 9,064 9,064
Lehman Brothers
1.133%, 7/23/04 4,598 4,598
1.123%, 8/23/04 3,284 3,284
Moat Funding
1.157%, 5/05/04 13,124 13,124
Morgan Stanley
1.054%, 6/11/04 6,568 6,568
Mortgage Interest Network
1.062%, 4/27/04 6,563 6,563
1.042%, 5/11/04 6,561 6,561
1.063%, 6/07/04 6,556 6,556
Norddeutsche Landesbank
1.110%, 9/09/04 6,537 6,537
Orchard Park
1.180%, 7/06/04 14,189 14,189
1.200%, 10/06/04 4,598 4,598
Park Granada
1.083%, 4/07/04 5,910 5,910
1.063%, 4/13/04 3,940 3,940
1.063%, 4/13/04 10,506 10,506
1.063%, 5/06/04 1,969 1,969
Sigma Finance
1.157%, 5/04/04 13,124 13,124
------------
TOTAL COMMERCIAL PAPER 230,815
------------
CORPORATE OBLIGATIONS - 8.5%
Allstate Life Global
1.040%, 2/15/05 13,137 13,137
Castle Hill III
1.211%, 9/16/04 3,941 3,941
Duke Funding VI
1.180%, 4/08/05 7,948 7,948
General Electric Capital Corporation
1.139%, 4/08/05 6,577 6,577
Jefferson Pilot
1.062%, 2/17/05 6,568 6,568
Metlife Global Funding
1.137%, 3/28/05 5,518 5,518
0.991%, 4/15/05 7,883 7,883
Merrill Lynch
1.063%, 4/04/05 13,136 13,136
Morgan Stanley
1.137%, 3/24/05 6,568 6,568
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- ----------------------------------------------------------------------------------------
Northlake CDO
1.205%, 3/07/05 $ 3,941 $ 3,941
Premium Asset Trust
1.254%, 6/01/04 19,574 19,574
1.037%, 12/22/04 9,852 9,852
Residential Mortgage Securities
1.102%, 9/11/04 9,223 9,223
Sigma Finance
1.143%, 8/09/04 13,135 13,135
SMM Trust 2003-H
1.183%, 9/23/04 16,997 16,997
Societe Generale NYC
1.148%, 12/08/04 13,137 13,137
WestDeutsche LandesBank
1.220%, 6/03/04 10,509 10,509
1.150%, 8/02/04 13,137 13,137
------------
TOTAL CORPORATE OBLIGATIONS 180,781
------------
MONEY MARKET FUNDS - 0.5%
AIM Short Term Liquid Asset Portfolio 1,970,533 1,971
Merrill Lynch Premier Institutional Fund 8,253,008 8,253
------------
TOTAL MONEY MARKET FUNDS 10,224
------------
OTHER SHORT-TERM INVESTMENTS - 2.2%
Commonwealth Life
1.303%, 4/1/04 $ 6,632 6,632
General Electric Capital Assurance
1.200%, 1/19/05 2,627 2,627
HBOS Treasury Services
1.020%, 3/01/05 7,217 7,217
Liquid Funding
1.065%, 8/23/04 6,568 6,568
0.488%, 9/14/04 6,569 6,569
Security Life Denver
1.270%, 7/13/04 17,078 17,078
------------
TOTAL OTHER SHORT-TERM INVESTMENTS 46,691
------------
REPURCHASE AGREEMENTS - 16.4%
Bear Stearns
1.200%, dated 3/31/04, matures 4/20/04,
repurchase price $26,291,290
(collateralized by Various Securities:
Total Market Value $27,424,174) 26,274 26,274
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $7,619,625
(collateralized by U.S. Government Securities:
Total Market Value $7,771,793) 7,619 7,619
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $9,852,963
(collateralized by U.S. Government Securities:
Total Market Value $10,050,211) 9,853 9,853
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $36,127,533
(collateralized by U.S. Government Securities:
Total Market Value $36,849,343) 36,126 36,126
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $4,598,067
(collateralized by Collateralized Mortgage
Obligations: Total Market Value $4,827,986) 4,598 4,598
</Table>
The accompanying notes are an integral part of the financial statements.
6
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $9,196,134
(collateralized by Collateralized Mortgage
Obligations: Total Market Value $9,655,802) $ 9,196 $ 9,196
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $10,509,867
(collateralized by Collateralized Mortgage
Obligations: Total Market Value $11,035,356) 10,510 10,510
Deutsche Bank
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $13,137,281
(collateralized by U.S. Government Securities:
Total Market Value $13,399,625) 13,137 13,137
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $2,627,456
(collateralized by U.S. Government Securities:
Total Market Value $2,679,925) 2,627 2,627
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $14,451,009
(collateralized by U.S. Government Securities:
Total Market Value $14,739,587) 14,451 14,451
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $3,941,199
(collateralized by Corporate Securities:
Total Market Value $4,062,956) 3,941 3,941
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $9,196,131
(collateralized by Corporate Securities:
Total Market Value $9,480,230) 9,196 9,196
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $13,137,329
(collateralized by Corporate Securities:
Total Market Value $13,543,317) 13,137 13,137
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $37,441,389
(collateralized by Corporate Securities:
Total Market Value $38,598,081) 37,440 37,440
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $6,568,676
(collateralized by Corporate Securities:
Total Market Value $6,702,522) 6,568 6,568
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $6,568,676
(collateralized by Corporate Securities:
Total Market Value $6,771,598) 6,568 6,568
J P Morgan
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $6,831,388
(collateralized by U.S. Government Securities:
Total Market Value $6,968,231) 6,831 6,831
Lehman Brothers
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $32,843,202
(collateralized by Various Securities:
Total Market Value $33,499,603) 32,842 32,842
Lehman Brothers
1.200%, dated 3/31/04, matures 4/1/04,
repurchase price $4,598,064
(collateralized by Corporate Securities:
Total Market Value $5,273,520) $ 4,598 $ 4,598
Lehman Brothers
1.243%, dated 3/31/04, matures 4/1/04,
repurchase price $26,274,681
(collateralized by Various Securities:
Total Market Value $26,799,249) 26,274 26,274
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $5,911,778
(collateralized by U.S. Government Securities:
Total Market Value $6,029,831) 5,911 5,911
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $10,509,827
(collateralized by U.S. Government Securities:
Total Market Value $10,761,707) 10,510 10,510
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $11,823,556
(collateralized by U.S. Government Securities:
Total Market Value $12,115,447) 11,823 11,823
Morgan Stanley
1.133%, dated 3/31/04, matures 4/1/04,
repurchase price $40,857,003 (collateralized
by Collateralized Mortgage Obligations &
Asset-Backed Securities:
Total Market Value $43,057,652) 40,856 40,856
------------
TOTAL REPURCHASE AGREEMENTS 350,886
------------
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING
(Cost $819,397) 819,397
------------
TOTAL INVESTMENTS - 141.5%
(Cost $2,977,792) 3,017,818
------------
OTHER ASSETS AND LIABILITIES, NET - (41.5)% (885,369)
------------
TOTAL NET ASSETS - 100.0% $ 2,132,449
------------
</Table>
(a) Variable Rate Security - The rate shown is the rate in effect as of March
31, 2004.
(b) This security or a portion of this security is out on loan at March 31,
2004. Total loaned securities had a value of $801,192,927 at March 31,
2004. See note 2 in Notes to Financial Statements.
(c) Security purchased on a when-issued basis. On March 31, 2004, the total
cost of investments purchased on a when-issued basis was $82,841,948 or
3.9% of total net assets. See note 2 in Notes to Financial Statements.
(d) Security sold within the terms of a private placement memorandum, exempt
from registration under Rule 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"qualified institutional buyers." These securities have been determined to
be liquid under the guidelines established by the Funds' board of
directors. As of March 31, 2004, the value of these investments was
$37,779,800 or 1.8% of total net assets. See note 2 in Notes to Financial
Statements.
(e) Securities considered illiquid or restricted. As of March 31, 2004, the
value of these investments was $20,465,697 or 1.0% of total net assets. See
note 2 in Notes to Financial Statements.
(f) Security is fair valued. As of March 31, 2004, the fair value of these
investments was $146,545 or 0.0% of total net assets. See note 2 in Notes
to Financial Statements.
(g) Delayed Interest (Step-Bonds) - Represents securities that remain
zero-coupon securities until a predetermined date at which time the stated
coupon rate becomes effective and interest becomes payable at regular
intervals. Interest rate shown represents current yield at March 31, 2004,
based upon the estimated timing and amount of future interest and principal
payments.
7
<Page>
(h) This is a Rule 144A security that has been deemed illiquid. Due to the lack
of an available price from an independent pricing service, the security is
priced through an independent broker. See note 2 in Notes to Financial
Statements.
(i) Z-Bonds - Represents securities that pay no interest or principal during
their accrual periods, but accrue additional principal at specified rates.
Interest rate shown represents current yield based upon the cost basis and
estimated future cash flows.
(j) Security has been deposited as inital margin on open futures contracts.
Yield shown is effective yield at date of purchase. See note 2 in Notes to
Financial Statements.
(k) Investment in affiliated security. This money market fund is advised by U.S.
Bancorp Asset Management, Inc., which also serves as advisor for this Fund.
See note 3 in Notes to Financial Statements.
Cl - Class
CMO - Collateralized Mortgage Obligation
FHLMC - Federal Home Loan Mortgage Corporation
FHLB - Federal Loan Home Bank
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
REIT - Real Estate Investment Trust
REMIC - Real Estate Mortgage Investment Conduit
TBA - To Be Announced
CORPORATE BOND FUND
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
CORPORATE BONDS - 90.7%
CONSUMER GOODS - 4.0%
Altria Group
7.000%, 11/04/13 (a) $ 980 $ 1,081
American Greetings
6.100%, 08/01/28 1,485 1,526
Delhaize America
9.000%, 04/15/31 490 599
General Mills
6.000%, 02/15/12 950 1,044
Kraft Foods
6.250%, 06/01/12 2,470 2,770
Kroger
7.500%, 04/01/31 980 1,155
Miller Brewing
5.500%, 08/15/13 (a) (b) 645 686
Toys R US
7.875%, 04/15/13 885 946
Tyson Foods
8.250%, 10/01/11 1,485 1,759
------------
11,566
------------
ENERGY - 9.7%
Anadarko Finance, Series B
7.500%, 05/01/31 980 1,191
Amerada Hess
7.300%, 08/15/31 1,240 1,336
ConocoPhillips
3.625%, 10/15/07 1,500 1,550
Consumers Energy, Series B
5.375%, 04/15/13 980 1,007
Duke Capital
4.370%, 03/01/09 (a) 920 932
El Paso Natural Gas,
Callable 08/01/07 @ 103.81
7.625%, 08/01/10 1,000 1,022
Halliburton
8.750%, 02/15/21 1,180 1,510
Kerr-McGee
7.875%, 09/15/31 1,230 1,458
Kinder Morgan
6.500%, 09/01/12 1,380 1,555
Marathon Oil
6.800%, 03/15/32 980 1,099
MidAmerican Energy Holdings
5.875%, 10/01/12 990 1,071
Nexen
5.050%, 11/20/13 900 922
Ocean Energy
4.375%, 10/01/07 1,990 2,082
Pemex Project
9.125%, 10/13/10 (a) 1,980 2,423
Pemex Project Funding Master Trust
6.125%, 08/15/08 990 1,069
7.375%, 12/15/14 (a) 4,000 4,416
Petrobas International
9.750%, 07/06/11 990 1,119
PPL Capital Funding
4.330%, 03/01/09 (b) 2,000 2,026
Williams
7.750%, 06/15/31 490 483
------------
28,271
------------
</Table>
The accompanying notes are an integral part of the financial statements.
8
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
FINANCE - 35.2%
AXA
8.600%, 12/15/30 $ 980 $ 1,296
Bank of America
6.250%, 04/15/12 1,950 2,210
BB&T
5.200%, 12/23/15 1,485 1,539
Bear Stearns
7.800%, 08/15/07 1,950 2,276
Boeing Capital
5.800%, 01/15/13 1,485 1,608
Capital One Bank
6.500%, 06/13/13 985 1,082
CBA Capital Trust I,
Callable 06/30/15 @ 100
5.805%, 12/31/49 (b) 985 1,043
Citigroup
5.625%, 08/27/12 1,470 1,604
Core Investment Grade Trust
4.727%, 11/30/07 3,550 3,734
Countrywide Home Loans, Series L
4.000%, 03/22/11 1,795 1,775
Credit Suisse First Boston
5.875%, 08/01/06 3,000 3,247
7.125%, 07/15/32 (a) 985 1,169
Deutsche Bank Financial
7.500%, 04/25/09 2,000 2,367
First American Capital Trust I
8.500%, 04/15/12 740 855
Ford Motor Credit
6.500%, 01/25/07 3,950 4,226
7.250%, 10/25/11 3,400 3,683
7.000%, 10/01/13 (a) 1,480 1,564
Fund American Companies
5.875%, 05/15/13 1,880 1,980
General Electric Capital
4.250%, 12/01/10 1,970 2,021
General Motors Acceptance
6.125%, 08/28/07 3,985 4,297
6.875%, 09/15/11 (a) 2,020 2,190
Goldman Sachs
5.500%, 11/15/14 2,470 2,632
Goldman Sachs Capital I
6.345%, 02/15/34 (a) 1,500 1,524
Highmark
6.800%, 08/15/13 (b) 985 1,105
Household Finance
4.625%, 01/15/08 3,350 3,540
7.000%, 05/15/12 1,500 1,759
HSBC Capital Funding,
Callable 06/30/10 @ 100
9.547%, 12/31/49 (b) 1,190 1,545
ING Capital Funding Trust III,
Callable 12/31/10 @ 100
8.439%, 12/31/10 1,500 1,868
International Lease Finance
4.500%, 05/01/08 1,970 2,067
J. P. Morgan Chase
5.750%, 01/02/13 (a) 3,600 3,920
John Deere Capital
7.000%, 03/15/12 1,965 2,322
Key Bank
7.000%, 02/01/11 (a) 1,830 2,129
Lehman Brothers Holdings
4.000%, 01/22/08 $ 2,550 $ 2,648
Marsh & McLennan
7.125%, 06/15/09 1,375 1,611
MBNA
6.250%, 01/17/07 1,480 1,623
Merrill Lynch, Series C
4.125%, 01/15/09 2,950 3,048
Morgan Stanley
6.100%, 04/15/06 1,975 2,136
4.750%, 04/01/14 3,210 3,148
NB Capital Trust IV,
Callable 04/15/17 @ 103.85
8.250%, 04/15/27 2,100 2,542
Newcourt Credit Group, Series B
6.875%, 02/16/05 1,475 1,544
North Fork Bancorp
5.875%, 08/15/12 1,975 2,167
Popular North America
3.875%, 10/01/08 1,470 1,508
Safeco Capital Trust I,
Callable 07/15/07 @ 104.04
8.072%, 07/15/37 2,000 2,349
SOC General Real Estate,
Callable 09/30/07 @ 100
7.640%, 12/29/49 (b) (c) 1,465 1,684
Washington Mutual
4.000%, 01/15/09 (a) 1,570 1,605
Washington Mutual Finance
6.250%, 05/15/06 (a) 980 1,066
Wells Fargo, Callable 12/15/06 @ 103.98
7.960%, 12/15/26 2,000 2,310
Zurich Capital Trust,
Callable 06/01/07 @ 104.19
8.376%, 06/01/37 (b) 985 1,155
------------
102,321
------------
MANUFACTURING - 11.6%
Alcan
5.200%, 01/15/14 (a) 985 1,033
American Standard
7.375%, 04/15/05 980 1,027
Boise Cascade, Callable 11/01/08 @ 103.50
7.000%, 11/01/13 980 1,048
Case New Holland,
Callable 08/01/07 @ 104.63
9.250%, 08/01/11 (b) 495 559
Corning
5.900%, 03/15/14 980 970
D. R. Horton
5.000%, 01/15/09 990 1,025
DaimlerChrysler
4.750%, 01/15/08 (a) 2,950 3,073
6.500%, 11/15/13 1,750 1,892
Dow Chemical
6.000%, 10/01/12 (a) 990 1,087
Eastman Chemical
6.300%, 11/15/18 980 1,054
Ford Motor
7.450%, 07/16/31 (a) 1,555 1,555
General Motors
8.375%, 07/15/33 1,950 2,213
Goodrich
7.625%, 12/15/12 (a) 1,085 1,297
</Table>
9
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Hovnanian Enterprises
6.500%, 01/15/14 $ 490 $ 501
International Paper
5.850%, 10/30/12 (a) 1,960 2,106
L-3 Communications,
Callable 07/15/08 @ 103.06
6.125%, 07/15/13 (a) 440 453
Lockheed Martin
8.500%, 12/01/29 1,230 1,644
Massey Energy,
Callable 11/15/07 @ 103.31
6.625%, 11/15/10 490 503
Noranda
6.000%, 10/15/15 975 1,054
Phelps Dodge
8.750%, 06/01/11 (a) 910 1,137
Thermo Electron
7.625%, 10/30/08 1,460 1,709
Tyco International
6.000%, 11/15/13 (b) 980 1,038
Universal
5.200%, 10/15/13 980 1,005
Weyerhaeuser
6.750%, 03/15/12 (a) 2,500 2,817
Wyeth
5.250%, 03/15/13 1,740 1,819
------------
33,619
------------
REAL ESTATE - 1.7%
Boston Properties (REIT)
6.250%, 01/15/13 (a) 985 1,091
Heritage Property Investment Trust (REIT)
5.125%, 04/15/14 (b) 1,000 997
Post Apartment Homes
6.850%, 03/16/15 1,075 1,105
Simon Property Group (REIT)
7.750%, 01/20/11 1,450 1,733
------------
4,926
------------
SERVICES - 11.2%
Allied Waste North America,
Callable 04/15/08 @ 103.94
7.875%, 04/15/13 740 807
AOL Time Warner
6.125%, 04/15/06 (a) 980 1,054
7.625%, 04/15/31 (a) 1,975 2,313
AT&T Broadband
8.375%, 03/15/13 (a) 2,000 2,479
Autonation
9.000%, 08/01/08 1,000 1,167
British Sky Broadcasting
8.200%, 07/15/09 1,375 1,662
Cablevision Systems
8.000%, 04/15/12 (b) 980 979
Cendant
6.875%, 08/15/06 (a) 2,000 2,207
Electronic Data Systems, Series B
6.000%, 08/01/13 (a) 1,000 972
HCA Columbia Healthcare
8.750%, 09/01/10 1,000 1,196
Lenfest Communications
8.375%, 11/01/05 975 1,069
Liberty Media
5.700%, 05/15/13 1,470 1,529
Medco Health Solutions
7.250%, 08/15/13 $ 610 $ 690
MGM Mirage
8.375%, 02/01/11 (a) 1,000 1,155
News America
6.625%, 01/09/08 (a) 1,000 1,128
News America Holdings
7.750%, 01/20/24 980 1,154
Park Place Entertainment
8.125%, 05/15/11 1,000 1,142
PHH
7.125%, 03/01/13 (a) 980 1,124
Royal Caribbean Cruises
8.750%, 02/02/11 (a) 1,000 1,170
Starwood Hotels & Resorts
7.375%, 05/01/07 (a) 975 1,060
TCI Communications
8.750%, 08/01/15 1,000 1,282
Tricon Global Restaurant
7.650%, 05/15/08 1,000 1,155
Univision Communications
3.875%, 10/15/08 485 494
Viacom
6.625%, 05/15/11 1,735 1,995
Waste Management
6.875%, 05/15/09 1,290 1,479
------------
32,462
------------
TRANSPORTATION - 1.8%
American Airlines, Series 2001-1, Cl A2
6.817%, 05/23/11 (a) 750 690
Burlington Northern Santa Fe
7.950%, 08/15/30 (a) 985 1,273
Continental Airlines, Series 2001-1, Cl B
7.033%, 06/15/11 850 765
Delta Air Lines, Series 2001-1
7.711%, 09/18/11 750 634
Norfolk Southern
7.800%, 05/15/27 990 1,220
United Air Lines, Series 2000-1
8.030%, 07/01/11 1,861 633
------------
5,215
------------
UTILITIES - 15.5%
AES
7.750%, 03/01/14 (a) 750 748
Alliant Energy Resources
9.750%, 01/15/13 985 1,325
American Electric Power
5.250%, 06/01/15 (a) 985 1,003
AT&T
8.050%, 11/15/11 1,965 2,295
8.750%, 11/15/31 480 562
AT&T Wireless Services
7.500%, 05/01/07 985 1,118
British Telecom
8.375%, 12/15/10 1,975 2,445
Centerpoint Energy, Series B
7.875%, 04/01/13 1,245 1,436
Citizens Communications
8.500%, 05/15/06 1,000 1,094
Deutsche Telecom
8.500%, 06/15/10 (a) 1,480 1,815
8.750%, 06/15/30 1,485 1,951
</Table>
The accompanying notes are an integral part of the financial statements.
10
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Duke Energy
6.450%, 10/15/32 $ 930 $ 990
FirstEnergy
Series A
5.500%, 11/15/06 (a) 985 1,048
Series C
7.375%, 11/15/31 935 1,037
FPL Group Capital
7.625%, 09/15/06 1,975 2,221
France Telecom
9.500%, 03/01/31 490 660
Indianapolis Power & Light
6.600%, 01/01/34 (b) 985 1,048
Monongahela Power
5.000%, 10/01/06 980 1,000
Nextel Communications,
Callable 10/31/08 @ 103.44
6.875%, 10/31/13 980 1,044
Northern State Power - Minnesota, Series B
8.000%, 08/28/12 680 854
Pacific Gas & Electric
6.050%, 03/01/34 350 354
Pepco Holdings
6.450%, 08/15/12 (a) 1,490 1,659
Plains All American Pipeline
5.625%, 12/15/13 (a) (b) 985 1,030
Progress Energy
7.000%, 10/30/31 1,000 1,112
PSEG Power
5.000%, 04/01/14 1,470 1,466
Qwest Capital Funding
7.750%, 08/15/06 (a) 960 960
Southern Capital Funding, Series A
5.300%, 02/01/07 720 776
Sprint Capital
8.375%, 03/15/12 (a) 1,670 2,031
8.750%, 03/15/32 1,235 1,557
Teco Energy
7.200%, 05/01/11 980 1,044
Verizon Global Funding
7.250%, 12/01/10 (a) 1,485 1,744
7.750%, 12/01/30 (a) 1,980 2,390
Verizon Wireless
5.375%, 12/15/06 980 1,056
Western Resources
9.750%, 05/01/07 1,000 1,156
7.125%, 08/01/09 1,000 1,108
------------
45,137
------------
TOTAL CORPORATE BONDS
(Cost $251,939) 263,517
------------
U.S. GOVERNMENT & AGENCY SECURITIES - 3.5%
U.S. AGENCY DEBENTURE - 0.7%
FHLMC
5.750%, 01/15/12 1,700 1,907
------------
U.S. TREASURIES - 2.8%
U.S. Treasury Bond
5.375%, 02/15/31 (a) 2,885 3,144
</Table>
<Table>
<Caption>
DESCRIPTION PAR (000)/SHARES/CONTRACTS VALUE (000)
- ----------------------------------------------------------------------------------------
U.S. Treasury Notes
3.000%, 02/15/09 (a) $ 390 $ 395
2.625%, 03/15/09 1,000 993
4.000%, 02/15/14 (a) 3,600 3,647
------------
8,179
------------
TOTAL U.S. GOVERNMENT & AGENCY SECURITIES
(Cost $9,962) 10,086
------------
ASSET-BACKED SECURITIES - 1.4%
HOME EQUITY - 1.1%
Ace Securities
Series 2003-OP1, Cl M3
2.740%, 12/25/33 (c) 1,500 1,520
GRMT Mortgage Loan Trust
Series 2001-1A, Cl M1
7.772%, 07/20/31 1,500 1,636
------------
3,156
------------
MANUFACTURED HOUSING - 0.3%
Green Tree Financial
Series 1996-8, Cl A7
8.050%, 10/15/27 779 841
------------
TOTAL ASSET-BACKED SECURITIES
(Cost $3,780) 3,997
------------
CMO - PRIVATE MORTGAGE-BACKED SECURITY - 1.0%
ADJUSTABLE RATE (c) - 1.0%
MLCC Mortgage Investors
Series 2003-H, Cl A3A
2.886%, 01/25/29 (b) 2,955 3,025
------------
TOTAL CMO - PRIVATE MORTGAGE-BACKED SECURITY
(Cost $3,041) 3,025
------------
PREFERRED STOCK - 0.2%
UNITED STATES - 0.2%
iStar Financial, Series G,
Callable 12/19/08 @ 25 (REIT) 24,900 647
------------
TOTAL PREFERRED STOCK
(Cost $622) 647
------------
TREASURY OBLIGATION - 0.2%
U.S. Treasury Bill
0.830%, 04/08/04 (d) $ 475 475
------------
TOTAL TREASURY OBLIGATION
(Cost $475) 475
------------
PUT OPTIONS PURCHASED - 0.0%
Eurodollar 1 year Mid-Curve June 05
Futures Put, Expires 06/11/04,
Exercise price $96.50 60 3
Eurodollar 1 year Mid-Curve June 05
Futures Put, Expires 06/11/04,
Exercise price $97 60 8
Eurodollar 1 year Mid-Curve September 05
Futures Put, Expires 09/13/04,
Exercise price $96.75 60 26
------------
TOTAL PUT OPTIONS PURCHASED
(Cost $100) 37
------------
AFFILIATED MONEY MARKET FUND - 1.3%
First American Prime Obligations Fund, C1 Z (e) 3,614,668 3,615
------------
TOTAL AFFILIATED MONEY MARKET FUND
(Cost $3,615) 3,615
------------
</Table>
11
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM
SECURITIES LENDING - 19.1%
COMMERCIAL PAPER - 5.4%
Bluegrass
1.160%, 11/18/04 $ 223 $ 223
1.160%, 2/18/05 223 223
CIBC NY
1.110%, 9/09/04 1,152 1,152
Concord Min Capital
1.100%, 4/07/04 1,256 1,256
1.100%, 4/08/04 410 410
1.100%, 4/14/04 178 178
Descartes Funding Trust
1.150%, 11/15/04 445 445
Emerald Trust
1.063%, 5/06/04 445 445
Ford Credit Floor Plan
1.063%, 5/03/04 1,335 1,335
Goldman Sachs
1.163%, 1/18/05 445 445
Independent IV
1.048%, 10/15/04 579 579
Lakeside Funding
1.142%, 4/08/04 1,020 1,020
Leafs
1.339%, 4/20/04 615 615
Lehman Brothers
1.133%, 7/23/04 312 312
1.123%, 8/23/04 223 223
Moat Funding
1.157%, 5/05/04 890 890
Morgan Stanley
1.054%, 6/11/04 445 445
Mortgage Int Network
1.062%, 4/27/04 445 445
1.042%, 5/11/04 445 445
1.063%, 6/07/04 445 445
Norddeutsche Landesbank
1.110%, 9/09/04 443 443
Orchard Park
1.180%, 7/06/04 962 962
1.200%, 10/06/04 312 312
Park Granada
1.083%, 4/07/04 401 401
1.063%, 4/13/04 267 267
1.063%, 4/13/04 713 713
1.063%, 5/06/04 133 133
Sigma Finance
1.157%, 5/04/04 890 890
------------
TOTAL COMMERCIAL PAPER 15,652
------------
CORPORATE OBLIGATIONS - 4.2%
Allstate Life Global
1.040%, 2/15/05 891 891
Castle Hill III
1.211%, 9/16/04 267 267
Duke Funding VI
1.180%, 4/08/05 539 539
General Electric Capital Corporation
1.139%, 4/08/05 446 446
Jefferson Pilot
1.062%, 2/17/05 445 445
Metlife Global Funding
1.137%, 3/28/05 374 374
0.991%, 4/15/05 535 535
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- ----------------------------------------------------------------------------------------
Merrill Lynch
1.063%, 4/04/05 $ 891 $ 891
Morgan Stanley
1.137%, 3/24/05 445 445
Northlake CDO
1.205%, 3/07/05 267 267
Premium Asset Trust
1.254%, 6/01/04 1,327 1,327
1.037%, 12/22/04 668 668
Residential Mortgage Securities
1.102%, 9/11/04 625 625
Sigma Finance
1.143%, 8/09/04 891 891
SMM Trust 2003-H
1.183%, 9/23/04 1,153 1,153
Societe Generale NYC
1.148%, 12/08/04 891 891
WestDeutsche LandesBank
1.220%, 6/03/04 713 713
1.150%, 8/02/04 891 891
------------
TOTAL CORPORATE OBLIGATIONS 12,259
------------
MONEY MARKET FUNDS - 0.2%
AIM Short Term Liquid Asset Portfolio 133,623 133
Merrill Lynch Premier Institutional Fund 559,643 560
------------
TOTAL MONEY MARKET FUNDS 693
------------
OTHER SHORT-TERM INVESTMENTS - 1.1%
Commonwealth Life
1.303%, 4/1/04 $ 450 450
General Electric Capital Assurance
1.200%, 1/19/05 178 178
HBOS Treasury Services
1.020%, 3/01/05 489 489
Liquid Funding
1.065%, 8/23/04 445 445
0.488%, 9/14/04 446 446
Security Life Denver
1.270%, 7/13/04 1,158 1,158
------------
TOTAL OTHER SHORT-TERM INVESTMENTS 3,166
------------
REPURCHASE AGREEMENTS - 8.2%
Bear Stearns
1.200%, dated 3/31/04, matures 4/20/04,
repurchase price $1,782,834
(collateralized by Various Securities:
Total Market Value $1,859,655) 1,782 1,782
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $516,693
(collateralized by U.S. Government Securities:
Total Market Value $527,012) 517 517
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $668,137
(collateralized by U.S. Government Securities:
Total Market Value $681,513) 668 668
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $2,449,837
(collateralized by U.S. Government Securities:
Total Market Value $2,498,784) 2,450 2,450
</Table>
The accompanying notes are an integral part of the financial statements.
12
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $311,799 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $327,390) $ 312 $ 312
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $623,597 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $654,768) 624 624
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $712,683 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $748,316) 713 713
Deutsche Bank
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $890,850
(collateralized by U.S. Government Securities:
Total Market Value $908,639) 891 891
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $178,170
(collateralized by U.S. Government Securities:
Total Market Value $181,728) 178 178
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $979,935
(collateralized by U.S. Government Securities:
Total Market Value $999,503) 980 980
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $267,256
(collateralized by Corporate Securities:
Total Market Value $275,512) 267 267
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $623,597
(collateralized by Corporate Securities:
Total Market Value $642,862) 624 624
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $890,853
(collateralized by Corporate Securities:
Total Market Value $918,383) 891 891
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $2,538,931
(collateralized by Corporate Securities:
Total Market Value $2,617,367) 2,539 2,539
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $445,427
(collateralized by Corporate Securities:
Total Market Value $454,503) 445 445
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $445,427
(collateralized by Corporate Securities:
Total Market Value $459,188) 445 445
J P Morgan
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $463,242
(collateralized by U.S. Government Securities:
Total Market Value $472,521) 463 463
Lehman Brothers
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $2,227,124
(collateralized by Various Securities:
Total Market Value $2,271,635) $ 2,227 $ 2,227
Lehman Brothers
1.200%, dated 3/31/04, matures 4/1/04,
repurchase price $311,798
(collateralized by Corporate Securities:
Total Market Value $357,602) 312 312
Lehman Brothers
1.243%, dated 3/31/04, matures 4/1/04,
repurchase price $1,781,707
(collateralized by Various Securities:
Total Market Value $1,817,279) 1,781 1,781
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $400,882
(collateralized by U.S. Government Securities:
Total Market Value $408,888) 401 401
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $712,680
(collateralized by U.S. Government Securities:
Total Market Value $729,760) 712 712
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $801,765
(collateralized by U.S. Government Securities:
Total Market Value $821,558) 802 802
Morgan Stanley
1.133%, dated 3/31/04, matures 4/1/04,
repurchase price $2,770,546 (collateralized
by Collateralized Mortgage Obligations &
Asset-Backed Securities:
Total Market Value $2,919,774) 2,770 2,770
------------
TOTAL REPURCHASE AGREEMENTS 23,794
------------
TOTAL INVESTMENTS PURCHASED WITH PROCEEDS
FROM SECURITIES LENDING
(Cost $55,564) 55,564
------------
TOTAL INVESTMENTS - 117.4%
(Cost $329,098) 340,963
------------
OTHER ASSETS AND LIABILITIES, NET - (17.4)% (50,432)
------------
TOTAL NET ASSETS - 100.0% $ 290,531
------------
</Table>
(a) This security or a portion of this security is out on loan at March 31,
2004. Total loaned securities had a value of $54,144,665 at March 31, 2004.
See note 2 in Notes to Financial Statements.
(b) Security sold within the terms of a private placement memorandum, exempt
from registration under Rule 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"qualified institutional buyers." These securities have been determined to
be liquid under the guidelines established by the Funds' board of
directors. As of March 31, 2004, the value of these investments was
$17,920,309 or 6.2% of total net assets. See note 2 in Notes to Financial
Statements.
(c) Variable Rate Security - The rate shown is the rate in effect as of March
31, 2004.
(d) Security has been deposited as inital margin on open futures contracts.
Yield shown is effective yield at date of purchase. See note 2 in Notes to
Financial Statements.
(e) Investment in affiliated security. This money market fund is advised by
U.S. Bancorp Asset Management, Inc., which also serves as advisor for this
Fund. See note 3 in Notes to Financial Statements.
Cl - Class
CMO - Collateralized Mortgage Obligation
FHLMC - Federal Home Loan Mortgage Corporation
REIT - Real Estate Investment Trust
13
<Page>
HIGH INCOME BOND FUND
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
HIGH YIELD CORPORATE BONDS - 93.2%
CONSUMER GOODS - 3.8%
Bombardier Recreational Products,
Callable 12/15/08 @ 104.19
8.375%, 12/15/13 (a) (b) (c) $ 500 $ 515
Constellation Brands, Series B,
Callable 01/15/07 @ 104.06
8.125%, 01/15/12 250 276
Corn Products International
8.250%, 07/15/07 1,000 1,122
Dean Foods
6.625%, 05/15/09 500 540
Del Monte, Callable 12/15/07 @ 104.31
8.625%, 12/15/12 1,000 1,120
Delhaize America
9.000%, 04/15/31 1,000 1,223
Elizabeth Arden,
Callable 01/15/09 @ 103.88
7.750%, 01/15/14 (a) 500 520
North Atlantic Trading,
Callable 03/01/08 @ 104.63
9.250%, 03/01/12 (a) 500 510
Premium Standard Farms,
Callable 06/15/06 @ 104.63
9.250%, 06/15/11 500 510
Prestige Brands,
Callable 04/15/08 @ 104.63
9.250%, 04/15/12 (a) 1,000 1,000
Sealy Mattress
Callable 06/15/09 @ 104.13
8.250%, 06/15/14 (a) 1,250 1,250
Series B, Callable 04/01/04 @ 103.63
10.875%, 12/15/07 (d) 500 519
Seminis Vegetable Seeds,
Callable 10/01/08 @ 105.13
10.250%, 10/01/13 (a) 500 552
Simmons, Callable 01/15/09 @ 103.94
7.875%, 01/15/14 (a) (c) 600 600
Swift & Co., Callable 10/01/06 @ 106.25
12.500%, 01/01/10 750 802
------------
11,059
------------
ENERGY - 8.9%
Baytex Energy,
Callable 07/15/07 104.81
9.625%, 07/15/10 (b) 500 521
Belden & Blake, Series B,
Callable 103.29
9.875%, 06/15/07 1,000 992
Benton Oil & Gas,
Callable 04/01/04 @ 103.13
9.375%, 11/01/07 500 497
Bluewater Finance,
Callable 02/15/07 @ 105.13
10.250%, 02/15/12 (b) 500 527
Consolidated Energy
7.875%, 03/01/12 1,000 1,085
Dynegy Holdings,
Callable 07/15/08 @ 105.06
10.125%, 07/15/13 (a) 1,000 1,095
Dynegy-Roseton Danskamme, Series B
7.670%, 11/08/16 2,000 1,780
El Paso
6.950%, 12/15/07 (c) $ 1,000 $ 900
7.000%, 05/15/11 (c) 1,500 1,282
7.750%, 01/15/32 1,500 1,207
El Paso Natural Gas,
Callable 08/01/07 @ 103.81
7.625%, 08/01/10 1,400 1,431
Gulfterra Energy Partners,
Callable 12/01/07 @ 105.31
10.625%, 12/01/12 671 840
J. Ray McDermott,
Callable 12/15/08 @ 105.50
11.000%, 12/15/13 (a) (b) 1,000 950
Newfield Exploration,
Callable 08/15/07 @ 104.19
8.375%, 08/15/12 500 565
Parker Drilling, Series B,
Callable 11/15/04 @ 105.06
10.125%, 11/15/09 (c) 1,000 1,080
Petrobras International Finance
9.125%, 07/02/13 (b) 500 535
Premcor Refining Group,
Callable 02/01/08 @ 104.75
9.500%, 02/01/13 1,000 1,162
Sonat
6.750%, 10/01/07 (c) 1,000 882
Swift Energy,
Callable 08/01/04 @ 105.12
10.250%, 08/01/09 1,000 1,070
Tennessee Gas Pipeline
7.500%, 04/01/17 1,500 1,541
Western Oil Sands
8.375%, 05/01/12 (b) 500 595
Williams
6.500%, 08/01/06 1,500 1,566
7.125%, 09/01/11 (c) 2,000 2,100
7.750%, 06/15/31 1,000 985
Wiser Oil, Callable 04/01/04 @ 103.17
9.500%, 05/15/07 500 500
------------
25,688
------------
FINANCE - 1.2%
Chevy Chase Bank,
Callable 12/01/08 @ 103.44
6.875%, 12/01/13 500 512
Dollar Financial Group,
Callable 11/15/07 @ 104.88
9.750%, 11/15/11 350 380
Finova Group
7.500%, 11/15/09 1,000 610
First American Capital Trust I
8.500%, 04/15/12 750 866
IOS Capital
7.250%, 06/30/08 1,000 1,075
------------
3,443
------------
MANUFACTURING - 27.1%
Abitibi-Consolidated
8.550%, 08/01/10 (b) 1,000 1,091
AK Steel, Callable 06/15/07 @ 103.875
7.750%, 06/15/12 (c) 1,000 890
American Standard
7.375%, 02/01/08 1,000 1,125
</Table>
The accompanying notes are an integral part of the financial statements.
14
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Amkor Technologies
7.125%, 03/15/11 (a) $ 750 $ 748
Callable 05/15/08 @ 103.88
7.750%, 05/15/13 (c) 500 510
Amsted Industries,
Callable 10/15/07 @ 105.13
10.250%, 10/15/11 (a) 800 904
Anchor Glass Container,
Callable 02/15/08 @ 105.50
11.000%, 02/15/13 1,000 1,165
Arvinmeritor
8.750%, 03/01/12 500 560
Avaya, Callable 04/01/06 @ 105.56
11.125%, 04/01/09 325 388
Ball, Callable 12/15/07 @ 103.44
6.875%, 12/15/12 500 541
BE Aerospace,
Callable 04/01/04 @ 104.75
9.500%, 11/01/08 (c) 500 480
Beazer Homes USA,
Callable 04/15/07 @ 104.19
8.375%, 04/15/12 1,000 1,117
Bowater Canada
7.950%, 11/15/11 (b) (c) 1,000 1,059
Buckeye Technologies,
Callable 04/01/04 @ 101.54
9.250%, 09/15/08 1,000 995
Caraustar Industries,
Callable 04/01/06 @ 105.25
9.875%, 04/01/11 (c) 1,000 995
Case New Holland,
Callable 08/01/07 @ 104.63
9.250%, 08/01/11 (a) 1,000 1,130
CIA Siderurgica Paulista
8.250%, 01/30/09 (a) (b) 1,000 986
Collins & Aikman Products,
Callable 04/01/04 @ 101.92
11.500%, 04/15/06 (c) 1,225 1,191
Crompton
8.500%, 03/15/05 1,000 1,030
Crown European Holdings,
Callable 03/01/07 @ 104.75
9.500%, 03/01/11 (b) 1,000 1,125
D. R. Horton
5.000%, 01/15/09 500 517
Dana
6.500%, 03/15/08 (c) 1,000 1,060
6.500%, 03/01/09 1,000 1,065
Diamond Brands Operating,
Callable 04/01/04 @ 105.06
10.125%, 04/15/08 (e) (f) 50 --
Dura Operating, Series B,
Callable 04/15/07 @ 104.31
8.625%, 04/15/12 500 532
Equistar Chemical Funding
10.125%, 09/01/08 (c) 1,250 1,344
Fisher Scientific International,
Callable 05/01/07 @ 104.06
8.125%, 05/01/12 869 965
Flextronics International,
Callable 05/15/08 @ 103.25
6.500%, 05/15/13 (b) (c) 1,000 1,052
Georgia-Pacific
7.500%, 05/15/06 $ 1,000 $ 1,077
8.125%, 05/15/11 (c) 1,500 1,702
8.875%, 05/15/31 1,500 1,680
Gerdau Ameristeel,
Callable 07/15/07 @ 105.38
10.375%, 07/15/11 (c) 1,000 1,135
Glenoit, Callable 04/01/04 @ 103.67
11.000%, 04/15/07 (e) (f) 100 --
Greif Brothers,
Callable 08/01/07 @ 104.44
8.875%, 08/01/12 700 773
Hovnanian Enterprises
6.500%, 01/15/14 500 511
Huntsman ICI Chemicals,
Callable 07/01/04 @ 105.06
10.125%, 07/01/09 (c) 2,000 2,010
IMC Global, Series B
10.875%, 06/01/08 750 907
Invensys, Callable 03/15/08 @ 104.94
9.875%, 03/15/11 (a) (b) 500 515
Ipsco, Callable 06/01/08 @ 104.38
8.750%, 06/01/13 (b) 1,000 1,137
Johnsondiversey, Series B,
Callable 05/15/07 @ 104.81
9.625%, 05/15/12 500 542
JSG Funding,
Callable 10/01/07 @ 104.81
9.625%, 10/01/12 (b) 1,000 1,125
KB Home
5.750%, 02/01/14 (a) (c) 500 496
L-3 Communications
Callable 07/15/08 @ 103.06
6.125%, 07/15/13 (c) 500 515
Callable 01/15/09 @ 103.06
6.125%, 01/15/14 (a) 500 514
Lear, Series B
8.110%, 05/15/09 1,000 1,187
Levi Strauss
7.000%, 11/01/06 (c) 500 375
Lucent Technologies
5.500%, 11/15/08 (c) 1,000 975
Lyondell Chemical,
Callable 05/01/04 @ 105.44
10.875%, 05/01/09 (c) 1,500 1,500
M. A. Hanna, Series B
7.070%, 06/26/06 1,000 955
Massey Energy
6.950%, 03/01/07 1,000 1,022
Millar Western Forest,
Callable 11/15/08 @ 103.88
7.750%, 11/15/13 (a) (b) 750 795
Millennium America
7.000%, 11/15/06 800 814
Nalco, Callable 11/15/07 @ 103.88
7.750%, 11/15/11 (a) (c) 1,000 1,040
Nalco Financial Holdings,
Callable 02/01/09 @ 104.50
0.000%, 02/01/14 (a) (c) (d) 1,000 595
Nortel Networks
6.125%, 02/15/06 (b) 1,000 1,020
Nova Chemicals
7.400%, 04/01/09 (b) 500 532
</Table>
15
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
OM Group, Callable 12/15/06 @ 104.63
9.250%, 12/15/11 $ 1,000 $ 1,035
Owens-Brockway Glass Container,
Callable 02/15/06 @ 104.44
8.875%, 02/15/09 1,000 1,080
Owens-Illinois
8.100%, 05/15/07 2,000 2,040
Oxford Industries,
Callable 06/01/07 @ 104.44
8.875%, 06/01/11 (a) 500 536
Perkinelmer, Callable 01/15/08 @ 104.44
8.875%, 01/15/13 500 577
Polyone, Callable 05/15/07 @ 105.31
10.625%, 05/15/10 (c) 1,300 1,326
Rockwood Specialties Group,
Callable 05/15/07 @ 105.31
10.625%, 05/15/11 750 832
Russell, Callable 05/01/06 @ 104.63
9.250%, 05/01/10 500 534
SCG Holding & Semiconductor,
Callable 08/01/04 @ 106
12.000%, 08/01/09 (c) 1,000 1,080
Schuler Homes,
Callable 07/15/05 @ 104.69
9.375%, 07/15/09 1,000 1,120
Sensus Metering Systems,
Callable 12/15/08 @ 104.31
8.625%, 12/15/13 (a) 250 247
Sequa
9.000%, 08/01/09 1,000 1,125
Solo Cup, Callable 02/15/09 @ 104.25
8.500%, 02/15/14 (a) 1,000 1,030
Stone Container,
Callable 07/01/07 @ 104.19
8.375%, 07/01/12 2,000 2,180
Tembec Industries
8.500%, 02/01/11 (b) 1,000 995
Tenneco Automotive,
Series B, Callable 10/15/04 @ 105.81
11.625%, 10/15/09 (c) 1,000 1,080
Terex, Callable 01/15/09 @ 103.69
7.375%, 01/15/14 (a) 500 535
Texas Industries,
Callable 06/15/07 @ 105.13
10.250%, 06/15/11 (c) 800 912
TRW Automotive,
Callable 02/15/08 @ 104.69
9.375%, 02/15/13 446 511
Tyco International
6.375%, 02/15/06 (b) 1,000 1,065
6.750%, 02/15/11 (b) 1,000 1,113
6.875%, 01/15/29 (b) 1,000 1,064
United Components,
Callable 06/15/08 @ 104.69
9.375%, 06/15/13 500 540
United States Steel,
Callable 05/15/07 @ 104.88
9.750%, 05/15/10 1,000 1,140
USEC
6.625%, 01/20/06 1,000 992
Warnaco, Callable 06/15/08 @ 104.44
8.875%, 06/15/13 500 541
WCI Communities,
Callable 05/01/07 @ 104.56
9.125%, 05/01/12 $ 1,000 $ 1,115
Xerox
9.750%, 01/15/09 (c) 500 582
7.200%, 04/01/16 1,000 1,030
------------
77,971
------------
REAL ESTATE - 1.4%
Corrections Corp. of America,
Callable 05/01/07 @ 103.75
7.500%, 05/01/11 400 423
Felcor Lodging (REIT)
8.500%, 06/01/11 (c) 500 533
Host Marriott,
Callable 11/01/08 @ 103.56 (REIT)
7.125%, 11/01/13 1,000 1,035
LNR Property,
Callable 07/15/08 @ 103.81
7.625%, 07/15/13 800 848
Meristar Hospitality
9.125%, 01/15/11 500 526
Ventas Realty
9.000%, 05/01/12 500 577
------------
3,942
------------
SERVICES - 30.0%
Ahold Finance USA
8.250%, 07/15/10 (c) 1,000 1,112
Alliance Imaging,
Callable 04/15/06 @ 105.19
10.375%, 04/15/11 (c) 1,000 995
Allied Waste North America
Callable 04/15/08 @ 103.94
7.875%, 04/15/13 2,000 2,180
Callable 02/15/09 @ 103.06
6.125%, 02/15/14 (a) 1,000 967
Alpharma,
Callable 05/01/07 @ 104.31
8.625%, 05/01/11 (a) 500 525
AMC Entertainment
Callable 02/01/07 @ 104.94
9.875%, 02/01/12 500 546
Callable 03/01/09 @ 104.00
8.000%, 03/01/14 (a) 1,000 995
AmerisourceBergen
7.250%, 11/15/12 500 544
Asbury Automotive Group,
Callable 06/15/07 @ 104.50
9.000%, 06/15/12 1,000 1,065
Autonation
9.000%, 08/01/08 1,000 1,167
Aviall, Callable 07/01/07 @ 103.81
7.625%, 07/01/11 500 537
Bally Total Fitness Holdings,
Series D, Callable 04/01/04 @ 103.29
9.875%, 10/15/07 (c) 1,000 800
Boca Resorts,
Callable 04/15/04 @ 104.94
9.875%, 04/15/09 1,000 1,053
Boyd Gaming,
Callable 12/15/07 @ 103.88
7.750%, 12/15/12 1,000 1,070
</Table>
The accompanying notes are an integral part of the financial statements.
16
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Buffets, Callable 07/15/06 @ 105.63
11.250%, 07/15/10 $ 500 $ 545
CCO Holdings, Callable 11/15/08 @ 104.38
8.750%, 11/15/13 (a) (c) 1,000 1,030
Charter Communications Holdings
Callable 04/01/04 @ 104.31
8.625%, 04/01/09 (c) 3,000 2,505
Callable 09/15/08 @ 105.13
10.250%, 09/15/10 (a) 1,000 1,035
Callable 05/15/06 @ 105.88
11.750%, 05/15/11 (d) 2,000 1,300
Corus Entertainment,
Callable 03/01/07 @ 104.38
8.750%, 03/01/12 (b) 500 555
Coventry Health Care,
Callable 02/15/07 @ 104.06
8.125%, 02/15/12 750 855
CSC Holdings
7.875%, 02/15/18 500 540
Series B
7.625%, 04/01/11 1,000 1,063
Callable 04/01/04 @ 103.60
9.875%, 02/15/13 (c) 750 778
Dade Behring,
Callable 10/03/05 @ 105.96
11.910%, 10/03/10 490 564
Dex Media,
Callable 11/15/08 @ 104.50
0.000%, 11/15/13 (a) (d) 1,000 638
Dex Media East,
Callable 11/15/07 @ 106.06
12.125%, 11/15/12 500 584
Dex Media West,
Callable 08/15/08 @ 104.94
9.875%, 08/15/13 (a) (c) 500 555
DirecTV Holdings,
Callable 03/15/08 @ 104.19
8.375%, 03/15/13 1,000 1,143
Dominos, Series B,
Callable 07/01/07 @ 104.13
8.250%, 07/01/11 750 806
Echostar DBS,
Callable 01/15/06 @ 104.56
9.125%, 01/15/09 1,947 2,195
Emmis Communications,
Series B, Callable 04/01/04 @ 104.06
8.125%, 03/15/09 500 521
Gap
6.900%, 09/15/07 (c) 1,000 1,103
Hanger Orthopedic,
Callable 02/15/06 @ 105.19
10.375%, 02/15/09 350 392
HCA Columbia Healthcare
8.750%, 09/01/10 2,000 2,392
Hilton Hotels
8.250%, 02/15/11 1,000 1,180
HMH Properties, Series B,
Callable 04/01/04 @ 103.99
7.875%, 08/01/08 1,025 1,069
Hollywood Entertainment,
Callable 03/15/07 @ 104.81
9.625%, 03/15/11 (c) 750 859
Houghton Mifflin,
Callable 02/01/08 @ 104.94
9.875%, 02/01/13 (c) $ 1,000 $ 1,028
IASIS Healthcare,
Callable 10/15/04 @ 106.50
13.000%, 10/15/09 1,000 1,115
IMAX, Callable 12/01/07 @ 104.81
9.625%, 12/01/10 (a) (b) 500 520
Ingles Markets,
Callable 12/01/06 @ 104.44
8.875%, 12/01/11 1,000 1,045
Inn of the Mountain Gods,
Callable 11/15/07 @ 106
12.000%, 11/15/10 (a) 500 541
Iron Mountain
Callable 04/01/06 @ 104.31
8.625%, 04/01/13 500 545
Callable 01/15/08 @ 103.87
7.750%, 01/15/15 500 528
Isle of Capri Casinos,
Callable 03/01/09 @ 103.50
7.000%, 03/01/14 (a) 1,000 1,003
J.C. Penney
7.600%, 04/01/07 1,000 1,120
7.950%, 04/01/17 1,000 1,175
Lodgenet Entertainment,
Callable 06/15/08 @ 104.75
9.500%, 06/15/13 500 550
Mail-Well I, Callable 03/15/07 @ 104.81
9.625%, 03/15/12 500 554
Mandalay Resort Group, Series B
10.250%, 08/01/07 (c) 1,000 1,178
Medco Health Solutions
7.250%, 08/15/13 250 283
MedPartners
7.375%, 10/01/06 500 550
MGM Mirage
8.375%, 02/01/11 (c) 2,000 2,310
5.875%, 02/27/14 1,000 998
Muzak, Callable 02/15/06 @ 105
10.000%, 02/15/09 1,000 1,030
Park Place Entertainment
8.875%, 09/15/08 (c) 1,000 1,143
7.875%, 03/15/10 1,000 1,115
Paxson Communications,
Callable 07/15/05 @ 105.38
10.750%, 07/15/08 750 776
Payless Shoesource,
Callable 08/01/08 @ 104.13
8.250%, 08/01/13 (c) 500 485
Penn National Gaming,
Callable 03/15/06 @ 104.44
8.875%, 03/15/10 1,000 1,090
Petro Stopping Center,
Callable 02/15/08 @ 104.50
9.000%, 02/15/12 (a) (c) 600 612
Primedia, Callable 05/15/06 @ 104.44
8.875%, 05/15/11 800 820
R. H. Donnelley Finance,
Callable 12/15/07 @ 105.44
10.875%, 12/15/12 (a) 1,000 1,195
Radiologix, Series B,
Callable 12/15/05 @ 105.25
10.500%, 12/15/08 (c) 500 519
</Table>
17
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Res-Care, Callable 11/15/05 @ 105.31
10.625%, 11/15/08 $ 500 $ 533
Resorts International Hotel & Casino,
Callable 03/15/07 @ 106
11.500%, 03/15/09 (c) 500 553
Rite Aid
7.125%, 01/15/07 (c) 1,500 1,500
River Rock Entertainment,
Callable 11/01/07 @ 104.88
9.750%, 11/01/11 (a) 500 540
Rogers Cable
6.250%, 06/15/13 (b) 1,000 1,052
Rotech Healthcare,
Callable 04/01/07 @ 104.75
9.500%, 04/01/12 750 803
Roundy's, Callable 06/15/07 @ 104.44
8.875%, 06/15/12 1,000 1,090
Royal Caribbean Cruises
8.000%, 05/15/10 (b) 2,000 2,245
Saks
7.500%, 12/01/10 500 551
Service Corporation International
7.700%, 04/15/09 1,000 1,073
Shaw Communications
8.250%, 04/11/10 (b) 500 585
Shaw Group, Callable 03/15/07 @ 105.38
10.750%, 03/15/10 (c) 1,000 1,010
Sinclair Broadcast Group,
Callable 03/15/07 @ 104
8.000%, 03/15/12 1,000 1,080
Six Flags, Callable 04/15/08 @ 104.88
9.750%, 04/15/13 (c) 1,000 1,060
Starwood Hotels & Resorts
7.375%, 11/15/15 (c) 1,000 1,085
Tenet Healthcare
6.500%, 06/01/12 1,000 863
Toys R Us
7.375%, 10/15/18 1,000 986
Triad Hospitals, Callable 11/15/08 @ 103.50
7.000%, 11/15/13 (a) 1,000 1,025
Tricon Global Restaurant
7.650%, 05/15/08 1,000 1,155
Trump Atlantic City Association,
Callable 04/01/04 @ 101.88
11.250%, 05/01/06 (c) 1,000 838
United Rentals North America
Callable 02/15/08 @ 103.25
6.500%, 02/15/12 (a) 1,000 990
Callable 02/15/09 @ 103.50
7.000%, 02/15/14 (a) (c) 750 705
Venetian Casino,
Callable 06/15/06 @ 105.50
11.000%, 06/15/10 500 574
Vivendi Universal,
Callable 04/15/07 @ 104.63
9.250%, 04/15/10 (b) 1,250 1,494
Worldspan,
Callable 06/15/07 @ 104.81
9.625%, 06/15/11 (c) 100 108
Wynn Las Vegas,
Callable 11/01/06 @ 112
12.000%, 11/01/10 (c) 500 600
Young Broadcasting,
Callable 03/01/06 @ 105
10.000%, 03/01/11 (c) $ 500 $ 535
------------
86,224
------------
TRANSPORTATION - 1.1%
Continental Airlines, Series 2001-1, Cl B
7.033%, 12/15/12 863 776
CP Ships
10.375%, 07/15/12 (b) 500 587
Laidlaw International,
Callable 06/15/07 @ 105.38
10.750%, 06/15/11 (a) 750 840
OMI, Callable 12/01/08 @ 103.81
7.625%, 12/01/13 250 261
United Air Lines, Series 00-2, Cl A1
7.032%, 10/01/10 (f) 784 710
------------
3,174
------------
UTILITIES - 19.0%
AES
9.375%, 09/15/10 (c) 2,000 2,178
7.750%, 03/01/14 (c) 685 683
Callable 05/15/08 @ 104.38
8.750%, 05/15/13 (a) (c) 1,000 1,098
Alamosa Delaware,
Callable 07/31/07 @ 105.50
11.000%, 07/31/10 650 694
Allegheny Energy Supply
8.250%, 04/15/12 (a) (c) 3,000 2,985
American Cellular, Series B,
Callable 08/01/07 @ 105
10.000%, 08/01/11 1,000 955
American Tower
Callable 02/01/05 @ 104.69
9.375%, 02/01/09 (c) 1,000 1,058
Callable 05/01/08 @ 103.75
7.500%, 05/01/12 (a) (c) 250 238
Aquila
9.450%, 02/01/11 1,000 1,055
Calpine
7.625%, 04/15/06 (c) 500 435
Callable 07/15/07 @ 104.25
8.500%, 07/15/10 (a) 500 454
Calpine Canada Energy Finance
8.500%, 05/01/08 (b) 1,500 1,106
Centennial Communications,
Callable 06/15/08 @ 105.06
10.125%, 06/15/13 (c) 500 513
Centerpoint Energy
6.850%, 06/01/15 (c) 2,000 2,097
Cincinnati Bell,
Callable 07/15/08 @ 103.63
7.250%, 07/15/13 750 758
CMS Energy
7.500%, 01/15/09 (c) 1,500 1,545
Crown Castle International,
Callable 08/01/05 @ 105.38
10.750%, 08/01/11 (c) 500 560
Dobson Communications,
Callable 10/01/08 @ 104.44
8.875%, 10/01/13 (c) 500 398
Empresa Nacional de Electricidad
8.350%, 08/01/13 (b) 1,000 1,129
</Table>
The accompanying notes are an integral part of the financial statements.
18
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
FirstEnergy
Series B
6.450%, 11/15/11 (c) $ 2,000 $ 2,188
Series C
7.375%, 11/15/31 1,000 1,109
Homer City Funding
8.137%, 10/01/19 1,000 1,111
Illinova, Callable 12/15/06 @ 105.75
11.500%, 12/15/10 1,000 1,203
Insight Midwest,
Callable 11/01/05 @ 105.25
10.500%, 11/01/10 500 539
Level 3 Communications,
Callable 04/01/04 @ 104.56
9.125%, 05/01/08 (c) 2,000 1,600
Mirant Mid-Atlantic, Series C
10.060%, 12/30/28 974 1,018
Nevada Power, Series E,
Callable 10/15/06 @ 105.44
10.875%, 10/15/09 1,000 1,168
Nextel Communications
Callable 11/15/04 @ 104.69
9.375%, 11/15/09 3,000 3,259
Callable 03/15/09 @ 102.98
5.950%, 03/15/14 1,000 993
Callable 08/01/08 @ 103.69
7.375%, 08/01/15 500 541
Nextel Partners,
Callable 07/01/07 @ 104.06
8.125%, 07/01/11 (c) 1,000 1,053
PG&E, Callable 07/15/06 @ 103.44
6.875%, 07/15/08 (a) 1,000 1,089
PSEG Energy Holdings
8.500%, 06/15/11 1,000 1,110
Qwest
8.875%, 03/15/12 (a) (c) 2,000 2,270
Callable 04/01/04 @ 103.36
7.500%, 06/15/23 1,000 945
Qwest Capital Funding
7.000%, 08/03/09 (c) 1,000 880
6.875%, 07/15/28 1,000 770
Qwest Services
Callable 12/15/05 @ 106.50
13.000%, 12/15/07 (a) 1,000 1,150
Callable 12/15/06 @ 106.75
13.500%, 12/15/10 (a) 2,000 2,320
Reliant Resources,
Callable 07/15/07 @ 104.63
9.250%, 07/15/10 1,500 1,628
Sierra Pacific Resources,
Callable 03/15/09 @ 104.31
8.625%, 03/15/14 (a) 500 515
Teco Energy
7.200%, 05/01/11 2,000 2,130
Telemig Celular/Amazonia Celular
8.750%, 01/20/09 (a) (b) 500 484
Time Warner Telecom,
Callable 02/01/06 @ 105.06
10.125%, 02/01/11 (c) 1,000 925
Triton PCS, Callable 11/15/06 @ 104.38
8.750%, 11/15/11 (c) 1,000 950
Viatel, Callable 04/01/04 @ 105.63
11.250%, 04/15/08 (e) (g) 75 --
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- ----------------------------------------------------------------------------------------
Western Resources
9.750%, 05/01/07 $ 1,500 $ 1,734
------------
54,621
------------
YANKEE - 0.7%
Northern Telecom
6.875%, 09/01/23 (b) (c) 1,000 970
Petroleum Geo-Services,
Callable 11/05/07 @ 105
10.000%, 11/05/10 (b) 1,000 1,100
------------
2,070
------------
TOTAL HIGH YIELD CORPORATE BONDS
(Cost $249,452) 268,192
------------
CORPORATE BONDS - 3.4%
ENERGY - 0.4%
Amerada Hess
7.875%, 10/01/29 1,000 1,143
------------
FINANCE - 0.5%
Ford Motor Credit
7.000%, 10/01/13 (c) 1,500 1,585
------------
MANUFACTURING - 0.8%
Avnet
9.750%, 02/15/08 1,000 1,165
Union Carbide
6.700%, 04/01/09 (c) 1,000 1,022
------------
2,187
------------
SERVICES - 0.7%
Cablevision Systems
8.000%, 04/15/12 (a) 2,000 1,997
------------
TRANSPORTATION - 0.6%
American Airlines, Series 1999-1, Cl A2
7.024%, 04/15/11 1,000 1,010
Delta Air Lines, Series 2000-1, Cl B
7.920%, 05/18/12 1,000 840
------------
1,850
------------
UTILITIES - 0.4%
Citizens Communications
8.500%, 05/15/06 1,000 1,094
------------
TOTAL CORPORATE BONDS
(Cost $9,624) 9,856
------------
U.S. GOVERNMENT & AGENCY SECURITY - 0.4%
U.S. TREASURY - 0.4%
U.S. Treasury Note
2.000%, 11/30/04 (c) 1,000 1,007
------------
TOTAL U.S. GOVERNMENT & AGENCY SECURITY
(Cost $1,005) 1,007
------------
PREFERRED STOCKS - 0.3%
UNITED STATES - 0.3%
Alamosa Holdings, Series B,
Callable 11/10/06 @ 312.50 1,000 470
iStar Financial, Series G,
Callable 12/19/08 @ 25 (REIT) 20,000 520
Nebco Evans Holdings (PIK) (h) 300 --
Pegasus Communications Fractional
Shares (e) (g) (h) -- --
------------
TOTAL PREFERRED STOCKS
(Cost $832) 990
------------
</Table>
19
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- ----------------------------------------------------------------------------------------
COMMON STOCKS - 0.0%
BERMUDA - 0.0%
Viatel Holdings (e) (h) 294 $ --
------------
UNITED STATES - 0.0%
NII Holdings, Class B (h) 1,869 66
------------
TOTAL COMMON STOCKS
(Cost $148) 66
------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITY - 0.0%
FIXED RATE - 0.0%
FNMA Pool
6.695%, 08/01/05, #109031 $ 35 36
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITY
(Cost $35) 36
------------
ASSET-BACKED SECURITY - 0.0%
MANUFACTURED HOUSING - 0.0%
Green Tree Financial
Series 1998-1, Cl A1
6.040%, 11/01/29 16 16
------------
TOTAL ASSET-BACKED SECURITY
(Cost $16) 16
------------
WARRANTS - 0.0%
CANADA - 0.0%
AT&T Canada, Expires 08/15/07 (e) (g) (h) 100 --
------------
NORWAY - 0.0%
Enitel Asa, Expires 04/03/05 (e) (g) (h) 1,000 --
------------
UNITED STATES - 0.0%
Sterling Chemical Holdings,
Expires 08/15/08 (e) (g) (h) 100 --
UIH Australia Pacific,
Expires 05/15/06 (e) (g) (h) 150 --
------------
--
------------
TOTAL WARRANTS
(Cost $3) --
------------
AFFILIATED MONEY MARKET FUND - 0.9%
First American Prime Obligations Fund, Cl Z (i) 2,566,865 2,567
------------
TOTAL AFFILIATED MONEY MARKET FUND
(Cost $2,567) 2,567
------------
INVESTMENTS PURCHASED WITH CASH PROCEEDS
FROM SECURITIES LENDING - 27.4%
COMMERCIAL PAPER - 7.7%
Bluegrass
1.160%, 11/18/04 $ 315 315
1.160%, 2/18/05 315 315
CIBC NY
1.110%, 9/09/04 1,632 1,632
Concord Min Capital
1.100%, 4/07/04 1,779 1,779
1.100%, 4/08/04 580 580
1.100%, 4/14/04 252 252
Descartes Funding Trust
1.150%, 11/15/04 631 631
Emerald Trust
1.063%, 5/06/04 630 630
Ford Credit Floor Plan
1.063%, 5/03/04 1,891 1,891
Goldman Sachs
1.163%, 1/18/05 631 631
</Table>
<Table>
DESCRIPTION PAR(000) VALUE(000)
- ----------------------------------------------------------------------------------------
Independent IV
1.048%, 10/15/04 $ 820 $ 820
Lakeside Funding
1.142%, 4/08/04 1,445 1,445
Leafs
1.339%, 4/20/04 871 871
Lehman Brothers
1.133%, 7/23/04 442 442
1.123%, 8/23/04 315 315
Moat Funding
1.157%, 5/05/04 1,261 1,261
Morgan Stanley
1.054%, 6/11/04 631 631
Mortgage Int Network
1.062%, 4/27/04 630 630
1.042%, 5/11/04 630 630
1.063%, 6/07/04 630 630
Norddeutsche Landesbank
1.110%, 9/09/04 628 628
Orchard Park
1.180%, 7/06/04 1,363 1,363
1.200%, 10/06/04 442 442
Park Granada
1.083%, 4/07/04 568 568
1.063%, 4/13/04 378 378
1.063%, 4/13/04 1,009 1,009
1.063%, 5/06/04 189 189
Sigma Finance
1.157%, 5/04/04 1,261 1,261
------------
TOTAL COMMERCIAL PAPER 22,169
------------
CORPORATE OBLIGATIONS - 6.0%
Allstate Life Global
1.040%, 2/15/05 1,262 1,262
Castle Hill III
1.211%, 9/16/04 379 379
Duke Funding VI
1.180%, 4/08/05 763 763
General Electric Capital Corporation
1.139%, 4/08/05 632 632
Jefferson Pilot
1.062%, 2/17/05 631 631
Metlife Global Funding
1.137%, 3/28/05 530 530
0.991%, 4/15/05 757 757
Merrill Lynch
1.063%, 4/04/05 1,262 1,262
Morgan Stanley
1.137%, 3/24/05 631 631
Northlake CDO
1.205%, 3/07/05 378 378
Premium Asset Trust
1.254%, 6/01/04 1,880 1,880
1.037%, 12/22/04 946 946
Residential Mortgage Securities
1.102%, 9/11/04 886 886
Sigma Finance
1.143%, 8/09/04 1,262 1,262
SMM Trust 2003-H
1.183%, 9/23/04 1,632 1,632
Societe Generale NYC
1.148%, 12/08/04 1,262 1,262
</Table>
The accompanying notes are an integral part of the financial statements.
20
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- ----------------------------------------------------------------------------------------
WestDeutsche LandesBank
1.220%, 6/03/04 $ 1,009 $ 1,009
1.150%, 8/02/04 1,262 1,262
------------
TOTAL CORPORATE OBLIGATIONS 17,364
------------
MONEY MARKET FUNDS - 0.4%
AIM Short Term Liquid Asset Portfolio 189,265 189
Merrill Lynch Premier Institutional Fund 792,682 793
------------
TOTAL MONEY MARKET FUNDS 982
------------
OTHER SHORT-TERM INVESTMENTS - 1.6%
Commonwealth Life
1.303%, 4/1/04 $ 637 637
General Electric Capital Assurance
1.200%, 1/19/05 253 252
HBOS Treasury Services
1.020%, 3/01/05 693 693
Liquid Funding
1.065%, 8/23/04 631 631
0.488%, 9/14/04 631 631
Security Life Denver
1.270%, 7/13/04 1,640 1,640
------------
TOTAL OTHER SHORT-TERM INVESTMENTS 4,484
------------
REPURCHASE AGREEMENTS - 11.7%
Bear Stearns
1.200%, dated 3/31/04, matures 4/20/04,
repurchase price $2,525,215
(collateralized by Various Securities:
Total Market Value $2,634,026) 2,524 2,524
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $731,847
(collateralized by U.S. Government Securities:
Total Market Value $746,462) 732 732
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $946,353
(collateralized by U.S. Government Securities:
Total Market Value $965,299) 946 946
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $3,469,963
(collateralized by U.S. Government Securities:
Total Market Value $3,539,291) 3,470 3,470
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $441,633
(collateralized by Collateralized Mortgage
Obligations: Total Market Value $463,716) 442 442
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $883,267
(collateralized by Collateralized Mortgage
Obligations: Total Market Value $927,417) 883 883
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $1,009,447
(collateralized by Collateralized Mortgage
Obligations: Total Market Value $1,059,919) 1,009 1,009
Deutsche Bank
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $1,261,804
(collateralized by U.S. Government Securities:
Total Market Value $1,287,002) 1,262 1,262
</Table>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $252,361
(collateralized by U.S. Government Securities:
Total Market Value $257,400) $ 252 $ 252
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $1,387,985
(collateralized by U.S. Government Securities:
Total Market Value $1,415,702) 1,388 1,388
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $378,543
(collateralized by Corporate Securities:
Total Market Value $390,237) 379 379
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $883,266
(collateralized by Corporate Securities:
Total Market Value $910,553) 883 883
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $1,261,809
(collateralized by Corporate Securities:
Total Market Value $1,300,803) 1,262 1,262
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $3,596,155
(collateralized by Corporate Securities:
Total Market Value $3,707,253) 3,596 3,596
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $630,906
(collateralized by Corporate Securities:
Total Market Value $643,761) 631 631
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $630,906
(collateralized by Corporate Securities:
Total Market Value $650,396) 631 631
J P Morgan
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $656,138
(collateralized by U.S. Government Securities:
Total Market Value $669,282) 656 656
Lehman Brothers
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $3,154,511
(collateralized by Various Securities:
Total Market Value $3,217,556) 3,154 3,154
Lehman Brothers
1.200%, dated 3/31/04, matures 4/1/04,
repurchase price $441,633
(collateralized by Corporate Securities:
Total Market Value $506,509) 442 442
Lehman Brothers
1.243%, dated 3/31/04, matures 4/1/04,
repurchase price $2,523,620
(collateralized by Various Securities:
Total Market Value $2,574,003) 2,524 2,524
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $567,812
(collateralized by U.S. Government Securities:
Total Market Value $579,151) 568 568
</Table>
21
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $1,009,444
(collateralized by U.S. Government Securities:
Total Market Value $1,033,636) $ 1,009 $ 1,009
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $1,135,624
(collateralized by U.S. Government Securities:
Total Market Value $1,163,660) 1,135 1,135
Morgan Stanley
1.133%, dated 3/31/04, matures 4/1/04,
repurchase price $3,924,217
(collateralized by Collateralized Mortgage
Obligations & Asset-Backed Securities:
Total Market Value $4,135,584) 3,924 3,924
------------
TOTAL REPURCHASE AGREEMENTS 33,702
------------
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $78,701) 78,701
------------
TOTAL INVESTMENTS - 125.6%
(Cost $342,383) 361,431
------------
OTHER ASSETS AND LIABILITIES, NET - (25.6)% (73,724)
------------
TOTAL NET ASSETS - 100.0% $ 287,707
------------
</Table>
(a) Security sold within the terms of a private placement memorandum, exempt
from registration under Rule 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"qualified institutional buyers." These securities have been determined to
be liquid under the guidelines established by the Funds' board of
directors. As of March 31, 2004, the value of these investments was
$45,379,838 or 15.8% of total net assets. See note 2 in Notes to Financial
Statements.
(b) Represents a foreign high yield (non-investment grade) bond. On March 31,
2004, the value of these investments was $30,144,924, which represents
10.5% of total net assets.
(c) This security or a portion of this security is out on loan at March 31,
2004. Total loaned securities had a value of $76,450,751 March 31, 2004.
See note 2 in Notes to Financial Statements.
(d) Delayed Interest (Step-Bonds) - Represents securities that remain
zero-coupon securities until a predetermined date at which time the stated
coupon rate becomes effective and interest becomes payable at regular
intervals. Interest rate shown represents current yield at March 31, 2004,
based upon the estimated timing and amount of future interest and principal
payments.
(e) Securities considered illiquid or restricted. As of March 31, 2004, the
value of these investments was $0 or 0.0% of total net assets. See note 2
in Notes to Financial Statements.
(f) Security currently in default.
(g) Security is fair valued. As of March 31, 2004, the fair value of these
investments was $0 or 0.0% of total net assets. See note 2 in Notes to
Financial Statements.
(h) Non-income producing security.
(i) Investment in affiliated security. This money market fund is advised by
U.S. Bancorp Asset Management, Inc., which also serves as advisor for this
Fund. See note 3 in Notes to Financial Statements.
FNMA - Federal National Mortgage Association
PIK - Payment-in-kind interest is generally paid by issuing additional par of
the security rather than paying cash.
REIT - Real Estate Investment Trust
INTERMEDIATE GOVERNMENT BOND FUND
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCY SECURITIES - 94.1%
U.S. AGENCY DEBENTURES - 33.5%
FHLB
4.125%, 01/14/05 $ 10,000 $ 10,233
1.625%, 04/15/05 7,500 7,527
5.250%, 08/15/06 5,000 5,360
FHLMC
2.375%, 05/19/06,
Callable 05/19/04 @ 100 5,000 5,006
3.125%, 08/25/06,
Callable 08/25/04 @ 100 3,500 3,521
2.375%, 02/15/07 2,750 2,763
4.875%, 03/15/07 2,000 2,150
3.250%, 02/25/08,
Callable 02/25/05 @ 100 2,000 2,017
5.750%, 03/15/09 1,000 1,118
3.375%, 04/15/09 3,250 3,282
5.625%, 03/15/11 2,000 2,230
6.375%, 08/01/11 1,850 2,003
FNMA
2.625%, 04/21/06,
Callable 04/21/04 @ 100 5,000 5,003
3.500%, 01/28/08 3,000 3,039
6.375%, 06/15/09 3,500 4,027
5.250%, 08/01/12 2,250 2,384
------------
61,663
------------
U.S. TREASURIES - 60.6%
U.S. Treasury Bond (STRIPS)
0.000%, 05/15/08 (a) 4,500 4,078
U.S. Treasury Bonds
9.375%, 02/15/06 9,150 10,474
12.750%, 11/15/10 2,335 2,755
4.375%, 08/15/12 10,000 10,541
9.250%, 02/15/16 7,150 10,585
U.S. Treasury Notes
1.625%, 01/31/05 9,000 9,038
5.875%, 11/15/05 8,000 8,575
6.500%, 10/15/06 12,285 13,709
6.625%, 05/15/07 6,750 7,681
3.000%, 02/15/08 1,775 1,817
5.500%, 05/15/09 4,500 5,084
6.000%, 08/15/09 8,000 9,234
4.875%, 02/15/12 10,000 10,919
3.625%, 05/15/13 2,025 2,013
4.250%, 08/15/13 1,525 1,580
11.250%, 02/15/15 2,000 3,288
------------
111,371
------------
TOTAL U.S. GOVERNMENT & AGENCY SECURITIES
(Cost $169,181) 173,034
------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 2.5%
ADJUSTABLE RATE (b) - 1.4%
FNMA Pool
3.336%, 10/01/32, #725110 2,513 2,594
------------
FIXED RATE - 1.1%
FHLMC, Series H013, Cl A3
3.150%, 05/15/10 (c) 1,950 1,946
------------
TOTAL U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES
(Cost $4,537) 4,540
------------
</Table>
The accompanying notes are an integral part of the financial statements.
22
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000)/CONTRACTS VALUE (000)
- ----------------------------------------------------------------------------------------
TREASURY OBLIGATION - 0.1%
U.S. Treasury Bill
0.830%, 04/08/04 (d) $ 234 $ 234
------------
TOTAL TREASURY OBLIGATION
(Cost $234) 234
------------
PURCHASED PUT OPTIONS - 0.0%
Eurodollar 1 year Mid-Curve June 05 Futures Put,
Expires 06/11/04, Exercise price $96.50 40 2
Eurodollar 1 year Mid-Curve June 05 Futures Put,
Expires 06/11/04, Exercise price $97 40 6
Eurodollar 1 year Mid-Curve September 05
Futures Put, Expires 09/13/04,
Exercise price $96.75 40 17
------------
TOTAL PUT OPTIONS PURCHASED
(Cost $67) 25
------------
TOTAL INVESTMENTS - 96.7%
(Cost $174,019) 177,833
------------
OTHER ASSETS AND LIABILITIES, NET - 3.3% 6,024
------------
TOTAL NET ASSETS - 100.0% $ 183,857
------------
</Table>
(a) Principal only.
(b) Variable Rate Security - The rate shown is the rate in effect as of March
31, 2004.
(c) Securities considered illiquid or restricted. As of March 31, 2004, the
value of these investments was $1,946,344 or 1.1% of total net assets. See
note 2 in Notes to Financial Statements.
(d) Security has been deposited as inital margin on open futures contracts.
Yield shown is effective yield at date of purchase. See note 2 in Notes to
Financial Statements.
FHLB - Federal Home Loan Bank
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
STRIPS - Separate Trading of Registered Interest and Principal of Securities
INTERMEDIATE TERM BOND FUND
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT & AGENCY SECURITIES - 38.3%
U.S. AGENCY DEBENTURES - 25.0%
FHLB
1.625%, 06/15/05 (a) $ 33,125 $ 33,233
1.875%, 06/15/06 (a) 26,500 26,491
FHLMC
2.875%, 11/03/06,
Callable 11/03/04 @ 100 (a) 28,400 28,600
2.375%, 02/15/07 (a) 27,000 27,133
4.875%, 03/15/07 (a) 26,000 27,951
3.250%, 02/25/08,
Callable 02/25/05 @ 100 13,000 13,108
3.500%, 04/01/08,
Callable 04/01/05 @ 100 (a) 12,700 12,859
5.750%, 03/15/09 (a) 12,500 13,979
5.625%, 03/15/11 (a) 13,000 14,496
4.500%, 01/15/14 (a) 34,075 34,562
FNMA
2.625%, 04/21/06,
Callable 04/21/04 @ 100 (a) 13,000 13,008
1.750%, 06/16/06,
Callable 06/16/04 @ 100 (a) 13,000 12,910
5.250%, 04/15/07 (a) 26,000 28,257
3.875%, 11/17/08,
Callable 11/17/05 @ 100 (a) 13,000 13,290
6.375%, 06/15/09 (a) 25,000 28,762
7.250%, 01/15/10 (a) 11,700 14,041
5.250%, 08/01/12 (a) 13,000 13,774
------------
356,454
------------
U.S. TREASURIES - 13.3%
U.S. Treasury Bonds
11.250%, 02/15/15 (a) 8,500 13,975
9.250%, 02/15/16 (a) 10,000 14,805
U.S. Treasury Notes
2.000%, 11/30/04 (a) 54,240 54,587
1.625%, 03/31/05 (a) 17,500 17,588
2.000%, 08/31/05 (a) 21,495 21,710
2.625%, 03/15/09 (a) 14,000 13,899
4.000%, 02/15/14 (a) 51,950 52,632
------------
189,196
------------
TOTAL U.S. GOVERNMENT & AGENCY SECURITIES
(Cost $540,102) 545,650
------------
CORPORATE BONDS - 34.8%
CONSUMER GOODS - 2.5%
Conagra Foods
7.875%, 09/15/10 4,260 5,128
Diageo Capital
3.500%, 11/19/07 (a) 4,700 4,829
General Mills
6.000%, 02/15/12 5,400 5,935
Kraft Foods
5.250%, 06/01/07 (a) 8,600 9,252
Miller Brewing
4.250%, 08/15/08 (b) 2,535 2,627
Tyson Foods
7.250%, 10/01/06 2,380 2,587
8.250%, 10/01/11 4,055 4,803
------------
35,161
------------
ENERGY - 2.7%
Anadarko Petroleum
6.125%, 03/15/12 (a) 4,470 4,970
</Table>
23
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Consumers Energy, Series B
5.375%, 04/15/13 $ 3,580 $ 3,680
Duke Capital
4.370%, 03/01/09 (a) 4,575 4,633
MidAmerican Energy Holdings
3.500%, 05/15/08 (a) 4,600 4,617
Nexen
5.050%, 11/20/13 2,710 2,777
Pemex Project Funding Master Trust
7.375%, 12/15/14 (a) 7,355 8,120
Teppco Partners
7.625%, 02/15/12 4,950 5,850
Valero Energy
6.875%, 04/15/12 (a) 3,415 3,925
------------
38,572
------------
FINANCE - 18.0%
Bank of America
7.125%, 09/15/06 5,000 5,573
BankBoston
6.375%, 04/15/08 1,450 1,627
Boeing Capital
5.800%, 01/15/13 (a) 5,000 5,414
Capital One Bank
5.750%, 09/15/10 7,000 7,653
CIT Group
5.500%, 11/30/07 (a) 3,900 4,235
Core Investment Grade Trust
4.727%, 11/30/07 32,140 33,808
Countrywide Home Loans, Series L
4.000%, 03/22/11 (a) 7,170 7,088
Credit Suisse First Boston
3.875%, 01/15/09 (a) 6,270 6,421
Ford Motor Credit
6.500%, 01/25/07 6,275 6,713
7.875%, 06/15/10 13,325 14,900
7.000%, 10/01/13 (a) 5,615 5,934
Fund American Companies
5.875%, 05/15/13 (a) 4,190 4,412
General Electric Capital
4.250%, 12/01/10 22,650 23,234
General Motors Acceptance
6.125%, 08/28/07 (a) 14,260 15,375
7.750%, 01/19/10 (a) 9,830 11,132
Goldman Sachs
5.500%, 11/15/14 7,500 7,991
Household Finance
4.625%, 01/15/08 12,010 12,692
International Lease Finance
4.500%, 05/01/08 (a) 6,400 6,714
J. P. Morgan Chase
4.000%, 02/01/08 10,625 11,031
John Deere Capital
7.000%, 03/15/12 6,125 7,237
Lehman Brothers Holdings
3.600%, 03/13/09 (a) 5,430 5,483
Marsh & McLennan
7.125%, 06/15/09 6,105 7,152
MBNA America Bank
6.750%, 03/15/08 (b) 5,075 5,703
Morgan Stanley
6.799%, 06/15/12 (b) 14,532 16,542
4.750%, 04/01/14 11,775 11,547
National Rural Utilities
5.750%, 08/28/09 (a) $ 3,850 $ 4,268
Washington Mutual
4.000%, 01/15/09 6,320 6,462
------------
256,341
------------
MANUFACTURING - 2.7%
Alcan
5.200%, 01/15/14 (a) 4,160 4,365
Centex
7.500%, 01/15/12 3,000 3,557
DaimlerChrysler
6.500%, 11/15/13 9,610 10,387
Halliburton
5.500%, 10/15/10 (b) 4,030 4,263
International Paper
4.000%, 04/01/10 (a) 4,915 4,889
Weyerhaeuser
6.750%, 03/15/12 5,380 6,063
Wyeth
5.250%, 03/15/13 5,450 5,697
------------
39,221
------------
REAL ESTATE - 1.1%
Boston Properties (REIT)
6.250%, 01/15/13 (a) 3,245 3,594
EOP Operating
6.750%, 02/15/08 (a) 5,000 5,602
Mack-Cali Realty (REIT)
7.250%, 03/15/09 4,500 5,211
Rouse (REIT)
3.625%, 03/15/09 2,000 1,988
------------
16,395
------------
SERVICES - 2.5%
AOL Time Warner
6.875%, 05/01/12 (a) 2,070 2,356
AT&T Broadband
8.375%, 03/15/13 (a) 7,580 9,395
Kroger
7.450%, 03/01/08 4,000 4,615
Liberty Media
3.500%, 09/25/06 2,200 2,234
News America
6.625%, 01/09/08 (a) 5,820 6,563
Univision Communications
3.875%, 10/15/08 4,655 4,739
Waste Management
6.875%, 05/15/09 4,880 5,595
------------
35,497
------------
TRANSPORTATION - 0.8%
Delta Air Lines, Series 2000-1, Cl A2
7.570%, 11/18/10 2,155 2,133
Hertz
7.625%, 06/01/12 2,000 2,155
Union Pacific
6.625%, 02/01/08 6,000 6,690
------------
10,978
------------
UTILITIES - 4.2%
AT&T
7.500%, 04/01/04 1,150 1,150
8.050%, 11/15/11 8,425 9,838
</Table>
The accompanying notes are an integral part of the financial statements.
24
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
AT&T Wireless Services
7.875%, 03/01/11 $ 3,095 $ 3,685
Deutsche Telecom
8.500%, 06/15/10 3,690 4,525
Exelon Generation
5.350%, 01/15/14 (b) 3,935 4,074
FPL Group Capital
7.625%, 09/15/06 4,540 5,106
Northern State Power - Minnesota, Series B
8.000%, 08/28/12 3,130 3,929
Pacific Gas & Electric
4.200%, 03/01/11 (a) 2,065 2,065
Progress Energy
6.850%, 04/15/12 (a) 3,920 4,467
Southern California Edison
5.000%, 01/15/14 (a) 2,000 2,047
Sprint Capital
8.375%, 03/15/12 (a) 4,965 6,038
Verizon Global Funding
7.250%, 12/01/10 (a) 3,750 4,404
6.875%, 06/15/12 3,925 4,529
Vodafone Group
7.625%, 02/15/05 3,500 3,677
------------
59,534
------------
YANKEE - 0.3%
Corporacion Andina De Fomento
5.200%, 05/21/13 3,651 3,753
------------
TOTAL CORPORATE BONDS
(Cost $478,832) 495,452
------------
ASSET-BACKED SECURITIES - 11.7%
AUTOMOBILES - 6.0%
Capital Auto Receivables Asset Trust
Series 2004-1, Cl A3
2.000%, 11/15/07 11,560 11,609
Capital One Auto Finance Trust
Series 2001-A, Cl A4
5.400%, 05/15/08 5,000 5,139
Honda Auto Receivables Owner Trust
Series 2003-1, Cl A3
1.920%, 11/20/06 15,360 15,441
Series 2002-4, Cl A4
2.700%, 03/17/08 7,345 7,466
MMCA Automobile Trust
Series 2002-2, Cl A4
4.300%, 03/15/10 4,525 4,597
Nissan Auto Receivables Owner Trust
Series 2003-B, Cl A3
1.510%, 08/15/07 9,750 9,743
Onyx Acceptance Auto Trust
Series 2004-A, Cl A3
2.190%, 03/17/08 9,185 9,218
Toyota Auto Receivables Owners Trust
Series 2002-B, Cl A4
4.390%, 05/15/09 6,000 6,219
USAA Auto Owner Trust
Series 2003-1, Cl A4
2.040%, 02/16/10 1,495 1,506
WFS Financial Owner Trust
Series 2003-2, Cl A3
1.760%, 01/21/08 14,270 14,289
------------
85,227
------------
COMMERCIAL - 0.3%
Morgan Stanley Capital Investments
Series 1999-FNV1, Cl A1
6.120%, 03/15/31 $ 3,288 $ 3,536
------------
CREDIT CARDS - 3.1%
Bank One Issuance Trust
Series 2002-A4, Cl A4
2.940%, 06/16/08 13,770 14,043
Capital One Multi-Asset Execution Trust
Series 2003-A6, Cl A6
2.950%, 08/17/09 7,500 7,640
Citibank Credit Card Issuance Trust
Series 2003-A2, Cl A2
2.700%, 01/15/08 10,000 10,161
MBNA Credit Card Master Note Trust
Series 2003-A1, Cl A1
3.300%, 07/15/10 12,560 12,787
------------
44,631
------------
EQUIPMENT LEASES - 1.2%
CNH Equipment Trust
Series 2003-A, Cl A2
1.460%, 02/15/06 7,488 7,494
Series 2003-B, Cl A3B
2.470%, 01/15/08 9,895 10,002
------------
17,496
------------
HOME EQUITY - 1.1%
AFC Home Equity Loan Trust
Series 1996-4, Cl 1A7
6.860%, 03/25/27 2,067 2,127
Amresco Residential Security Mortgage
Series 1997-3, Cl A9
6.960%, 03/25/27 2,026 2,031
Contimortgage Home Equity Loan Trust
Series 1997-2, Cl A9
7.090%, 04/15/28 1,272 1,275
Series 1997-3, Cl A9
7.120%, 08/15/28 2,237 2,284
Delta Funding Home Equity Loan Trust
Series 1997-4, Cl A5F
6.670%, 01/25/28 17 17
Saxon Asset Securities Trust
Series 2004-1, Cl A
1.361%, 03/25/35 (c) (d) 7,536 7,548
------------
15,282
------------
MANUFACTURED HOUSING - 0.0%
Green Tree Financial
Series 1996-9, Cl A5
7.200%, 01/15/28 365 365
------------
TOTAL ASSET-BACKED SECURITIES
(Cost $164,813) 166,537
------------
CMO - PRIVATE MORTGAGE-BACKED SECURITIES - 8.3%
ADJUSTABLE RATE (c) - 3.2%
IMPAC CMB Trust
Series 2003-12, Cl A1
1.470%, 12/25/33 (d) 8,849 8,872
MLCC Mortgage Investors
Series 2003-G, Cl A3
2.834%, 01/25/29 10,924 11,126
Series 2003-H, Cl A3A
2.886%, 01/25/29 (b) 4,728 4,840
</Table>
25
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Sequoia Mortgage Trust
Series 2004-3, Cl A
1.400%, 05/20/34, #020043 (d) (e) $ 10,405 $ 10,405
Washington Mutual
Series 2003-AR10, Cl A6
4.100%, 10/25/33 10,560 10,759
------------
46,002
------------
FIXED RATE - 5.1%
Bank of America Mortgage Securities
Series 2003-6, Cl 1A29
4.250%, 08/25/33 9,000 8,987
CS First Boston Mortgage Securities
Series 2003-AR24, Cl 2A4
4.187%, 10/25/33 13,390 13,771
Greenwich Capital Commercial Funding
Series 2003-C1, Cl A2
3.285%, 07/05/35 5,000 4,950
GRP/AG Real Estate Asset Trust
Series 2004-1, Cl A
3.960%, 03/25/09 (d) (e) (f) 1,974 1,973
Series 2003-1, Cl A
5.970%, 11/25/32 (d) (e) (f) 1,170 1,170
GS Mortgage Securities II
Series 2003-C1, Cl A2A
3.590%, 01/10/40 13,840 14,102
Nomura Asset Securities
Series 1998-D6, Cl A1B
6.590%, 03/15/30 (a) 11,675 13,216
Residential Accredit Loans
Series 1997-QS13, Cl M3
7.250%, 12/25/27 2,128 2,143
Series 1998-KS1, Cl AI9
6.440%, 03/25/28 463 469
Salomon Brothers Mortgage Securities
Series 1986-1, Cl A
6.000%, 12/25/11 234 234
Wells Fargo Mortgage Backed Securities Trust
Series 2003-J, Cl 2A5
4.470%, 10/25/33 11,500 11,806
Westam Mortgage Financial
Series 11, Cl A
6.360%, 08/26/20 119 119
------------
72,940
------------
TOTAL CMO - PRIVATE MORTGAGE-BACKED SECURITIES
(Cost $118,078) 118,942
------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 4.0%
ADJUSTABLE RATE (c) - 2.5%
FHLMC Pool
3.558%, 01/01/28, #786281 5,100 5,271
3.450%, 04/01/29, #847190 (a) 4,952 5,118
3.460%, 10/01/30, #847209 8,846 9,142
3.542%, 05/01/31, #847161 2,367 2,448
3.483%, 09/01/33, #847210 6,334 6,573
FNMA Pool
3.428%, 09/01/33, #725111 7,312 7,610
------------
36,162
------------
<Caption>
DESCRIPTION PAR (000)/CONTRACTS VALUE (000)
- ----------------------------------------------------------------------------------------
FIXED RATE - 1.5%
FHLMC Gold Pool
5.500%, 09/01/06, #G40394 $ 848 $ 864
4.000%, 10/01/10, #M80855 (a) 9,721 9,893
FNMA Pool
6.000%, 07/01/06, #252632 351 358
3.790%, 07/01/13, #386314 (a) 10,288 10,139
5.500%, 04/01/16, #572856 -- --
GNMA Pool
8.500%, 07/20/25, #002038 115 126
------------
21,380
------------
TOTAL U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES
(Cost $57,436) 57,542
------------
CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 0.8%
FIXED RATE - 0.8%
FHLMC REMIC
Series 2389, Cl VA
6.000%, 02/15/11 4,010 4,318
Series 1167, Cl E
7.500%, 11/15/21 64 65
Series 1286, Cl A
6.000%, 05/15/22 227 227
Series 1633, Cl PK
6.000%, 09/15/22 1,629 1,649
Series 1634, Cl PH
6.000%, 11/15/22 2,170 2,221
FNMA REMIC
Series 1993-55, Cl J
6.500%, 11/25/07 149 150
Series 2002-70, Cl QL
4.500%, 12/25/17 2,105 2,110
Series 1990-89, Cl K
6.500%, 07/25/20 47 50
------------
TOTAL CMO - U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES
(Cost $10,730) 10,790
------------
TREASURY OBLIGATION - 0.1%
U.S. Treasury Bill
0.830%, 04/08/04 (g) 917 916
------------
TOTAL TREASURY OBLIGATION
(Cost $916) 916
------------
PUT OPTIONS PURCHASED - 0.0%
Eurodollar 1 year Mid-Curve June 05 Futures Put,
Expires 06/11/04, Exercise price $96.50 310 15
Eurodollar 1 year Mid-Curve June 05 Futures Put,
Expires 06/11/04, Exercise price $97 310 43
Eurodollar 1 year Mid-Curve September 05
Futures Put, Expires 09/13/04,
Exercise price $96.75 300 128
------------
TOTAL PUT OPTIONS PURCHASED
(Cost $510) 186
------------
</Table>
The accompanying notes are an integral part of the financial statements.
26
<Page>
<Table>
<Caption>
DESCRIPTION SHARES/PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
AFFILIATED MONEY MARKET FUND - 1.3%
First American Prime
Obligations Fund, Cl Z (h) 17,860,171 $ 17,860
------------
TOTAL AFFILIATED MONEY MARKET FUND
(Cost $17,860) 17,860
------------
INVESTMENTS PURCHASED WITH CASH PROCEEDS
FROM SECURITIES LENDING - 46.2%
COMMERCIAL PAPER - 13.0%
Bluegrass
1.160%, 11/18/04 $ 2,633 2,633
1.160%, 2/18/05 2,633 2,633
CIBC NY
1.110%, 9/09/04 13,624 13,624
Concord Min Capital
1.100%, 4/07/04 14,848 14,848
1.100%, 4/08/04 4,844 4,844
1.100%, 4/14/04 2,106 2,106
Descartes Funding Trust
1.150%, 11/15/04 5,265 5,265
Emerald Trust
1.063%, 5/06/04 5,260 5,260
Ford Credit Floor Plan
1.063%, 5/03/04 15,781 15,781
Goldman Sachs
1.163%, 1/18/05 5,265 5,265
Independent IV
1.048%, 10/15/04 6,845 6,845
Lakeside Funding
1.142%, 4/08/04 12,058 12,058
Leafs
1.339%, 4/20/04 7,266 7,266
Lehman Brothers
1.133%, 7/23/04 3,686 3,686
1.123%, 8/23/04 2,632 2,632
Moat Funding
1.157%, 5/05/04 10,520 10,520
Morgan Stanley
1.054%, 6/11/04 5,265 5,265
Mortgage Int Network
1.062%, 4/27/04 5,261 5,261
1.042%, 5/11/04 5,259 5,259
1.063%, 6/07/04 5,255 5,255
Norddeutsche Landesbank
1.110%, 9/09/04 5,240 5,240
Orchard Park
1.180%, 7/06/04 11,374 11,374
1.200%, 10/06/04 3,686 3,686
Park Granada
1.083%, 4/07/04 4,738 4,738
1.063%, 4/13/04 3,158 3,158
1.063%, 4/13/04 8,421 8,421
1.063%, 5/06/04 1,578 1,578
Sigma Finance
1.157%, 5/04/04 10,520 10,520
------------
TOTAL COMMERCIAL PAPER 185,021
------------
CORPORATE OBLIGATIONS - 10.2%
Allstate Life Global
1.040%, 2/15/05 10,531 10,531
Castle Hill III
1.211%, 9/16/04 3,159 3,159
Duke Funding VI
1.180%, 4/08/05 6,371 6,371
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- ----------------------------------------------------------------------------------------
General Electric Corporation
1.139%, 4/08/05 $ 5,272 $ 5,272
Jefferson Pilot
1.062%, 2/17/05 5,265 5,265
Metlife Global Funding
1.137%, 3/28/05 4,423 4,423
0.991%, 4/15/05 6,319 6,319
Merrill Lynch
1.063%, 4/04/05 10,529 10,529
Morgan Stanley
1.137%, 3/24/05 5,265 5,265
Northlake CDO
1.205%, 3/07/05 3,159 3,159
Premium Asset Trust
1.254%, 6/01/04 15,691 15,691
1.037%, 12/22/04 7,897 7,897
Residential Mortgage Securities
1.102%, 9/11/04 7,393 7,393
Sigma Finance
1.143%, 8/09/04 10,529 10,529
SMM Trust 2003-H
1.183%, 9/23/04 13,625 13,625
Societe Generale NYC
1.148%, 12/08/04 10,531 10,531
WestDeutsche LandesBank
1.220%, 6/03/04 8,424 8,424
1.150%, 8/02/04 10,531 10,531
------------
TOTAL CORPORATE OBLIGATIONS 144,914
------------
MONEY MARKET FUNDS - 0.6%
AIM Short Term Liquid Asset Portfolio 1,579,581 1,580
Merrill Lynch Premier Institutional Fund 6,615,619 6,616
------------
TOTAL MONEY MARKET FUNDS 8,196
------------
OTHER SHORT-TERM INVESTMENTS - 2.6%
Commonwealth Life
1.303%, 4/01/04 $ 5,317 5,317
General Electric Capital Assurance
1.200%, 1/19/05 2,106 2,106
HBOS Treasury Services
1.020%, 3/01/05 5,785 5,785
Liquid Funding
1.065%, 8/23/04 5,265 5,265
0.488%, 9/14/04 5,265 5,265
Security Life Denver
1.270%, 7/13/04 13,690 13,690
------------
TOTAL OTHER SHORT-TERM INVESTMENTS 37,428
------------
REPURCHASE AGREEMENTS - 19.8%
Bear Stearns
1.200%, dated 3/31/04, matures 4/20/04,
repurchase price $21,075,124
(collateralized by Various Securities:
Total Market Value $21,983,246) 21,061 21,061
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $6,107,899
(collateralized by U.S. Government Securities:
Total Market Value $6,229,877) 6,108 6,108
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $7,898,145
(collateralized by U.S. Government Securities:
Total Market Value $8,056,259) 7,898 7,898
</Table>
27
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $28,959,866
(collateralized by U.S. Government Securities:
Total Market Value $29,538,471) $ 28,959 $ 28,959
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $3,685,815
(collateralized by Collateralized Mortgage
Obligations: Total Market Value $3,870,119) 3,686 3,686
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $7,371,630
(collateralized by Collateralized Mortgage
Obligations: Total Market Value $7,740,100) 7,371 7,371
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $8,424,720
(collateralized by Collateralized Mortgage
Obligations: Total Market Value $8,845,953) 8,424 8,424
Deutsche Bank
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $10,530,858
(collateralized by U.S. Government Securities:
Total Market Value $10,741,153) 10,531 10,531
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $2,106,172
(collateralized by U.S. Government Securities:
Total Market Value $2,148,231) 2,106 2,106
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $11,583,943
(collateralized by U.S. Government Securities:
Total Market Value $11,815,268) 11,584 11,584
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $3,159,269
(collateralized by Corporate Securities:
Total Market Value $3,256,870) 3,159 3,159
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $7,371,627
(collateralized by Corporate Securities:
Total Market Value $7,599,362) 7,371 7,371
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $10,530,896
(collateralized by Corporate Securities:
Total Market Value $10,856,336) 10,531 10,531
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $30,013,055
(collateralized by Corporate Securities:
Total Market Value $30,940,261) 30,012 30,012
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $5,265,457
(collateralized by Corporate Securities:
Total Market Value $5,372,748) 5,265 5,265
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $5,265,457
(collateralized by Corporate Securities:
Total Market Value $5,428,120) $ 5,265 $ 5,265
J P Morgan
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $5,476,047
(collateralized by U.S. Government Securities:
Total Market Value $5,585,741) 5,476 5,476
Lehman Brothers
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $26,327,144
(collateralized by Various Securities:
Total Market Value $26,853,315) 26,326 26,326
Lehman Brothers
1.200%, dated 3/31/04, matures 4/1/04,
repurchase price $3,685,812
(collateralized by Corporate Securities:
Total Market Value $4,227,259) 3,686 3,686
Lehman Brothers
1.243%, dated 3/31/04, matures 4/1/04,
repurchase price $21,061,810
(collateralized by Various Securities:
Total Market Value $21,482,305) 21,061 21,061
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $4,738,887
(collateralized by U.S. Government Securities:
Total Market Value $4,833,519) 4,739 4,739
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $8,424,688
(collateralized by U.S. Government Securities:
Total Market Value $8,626,595) 8,424 8,424
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $9,477,774
(collateralized by U.S. Government Securities:
Total Market Value $9,711,754) 9,478 9,478
Morgan Stanley
1.133%, dated 3/31/04, matures 4/1/04,
repurchase price $32,751,015
(collateralized by Collateralized Mortgage
Obligations & Asset-Backed Securities:
Total Market Value $34,515,057) 32,750 32,750
------------
TOTAL REPURCHASE AGREEMENTS 281,271
------------
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $656,830) 656,830
------------
TOTAL INVESTMENTS - 145.5%
(Cost $2,046,107) 2,070,705
------------
OTHER ASSETS AND LIABILITIES, NET - (45.5)% (647,678)
------------
TOTAL NET ASSETS - 100.0% $ 1,423,027
------------
</Table>
The accompanying notes are an integral part of the financial statements.
28
<Page>
(a) This security or a portion of this security is out on loan at March 31,
2004. Total loaned securities had a value of $642,196,679 at March 31,
2004. See note 2 in Notes to Financial Statements.
(b) Security sold within the terms of a private placement memorandum, exempt
from registration under Rule 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"qualified institutional buyers." These securities have been determined to
be liquid under the guidelines established by the Funds' board of
directors. As of March 31, 2004, the value of these investments was
$38,048,898 or 2.7% of total net assets. See note 2 in Notes to Financial
Statements.
(c) Variable Rate Security - The rate shown is the rate in effect as of March
31, 2004.
(d) Delayed Interest (Step-Bonds) - Represents securities that remain
zero-coupon securities until a predetermined date at which time the stated
coupon rate becomes effective and interest becomes payable at regular
intervals. Interest rate shown represents current yield at March 31, 2004,
based upon the estimated timing and amount of future interest and principal
payments.
(e) Securities considered illiquid or restricted. As of March 31, 2004, the
value of these investments was $13,547,225 or 0.1% of total net assets. See
note 2 in Notes to Financial Statements.
(f) This is a Rule 144A security that has been deemed illiquid. Due to the lack
of an available price from an independent pricing service, the security is
priced through an independent broker. See note 2 in Notes to Financial
Statements.
(g) Security has been deposited as inital margin on open futures contracts.
Yield shown is effective yield at date of purchase. See note 2 in Notes to
Financial Statements.
(h) Investment in affiliated security. This money market fund is advised by
U.S. Bancorp Asset Management, Inc., which also serves as advisor for this
Fund. See note 3 in Notes to Financial Statements.
Cl - Class
CMO - Collateralized Mortgage Obligation
FHLB - Federal Home Loan Bank
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
REIT - Real Estate Investment Trust
REMIC - Real Estate Mortgage Investment Conduit
SHORT TERM BOND FUND
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
CORPORATE BONDS - 37.4%
CONSUMER GOODS - 1.9%
Colgate-Palmolive
Series E
3.980%, 04/29/05 $ 3,000 $ 3,082
Series D
5.340%, 03/27/06 2,950 3,151
Conagra Foods
7.500%, 09/15/05 (g) 8,207 8,878
Gillette, Callable 10/15/04 @ 100
3.500%, 10/15/07 6,000 6,100
------------
21,211
------------
ENERGY - 1.0%
Anadarko Petroleum
5.375%, 03/01/07 (g) 6,365 6,857
Pemex Project Funding Master Trust
6.125%, 08/15/08 4,000 4,321
------------
11,178
------------
FINANCE - 24.0%
Allstate
7.875%, 05/01/05 2,700 2,885
American General Finance
5.910%, 06/12/06 1,000 1,081
Bank of America
4.750%, 10/15/06 (g) 6,000 6,377
Bank One
7.625%, 08/01/05 (g) 7,000 7,561
Bayerische Landesbank
2.500%, 03/30/06 5,500 5,560
Bear Stearns
6.500%, 05/01/06 10,900 11,888
Boeing Capital
5.650%, 05/15/06 7,000 7,489
Caterpillar Financial Services,
Series F
4.690%, 04/25/05 10,000 10,328
CIT Group Holdings
6.625%, 06/15/05 4,000 4,237
Citigroup
5.500%, 08/09/06 (g) 4,000 4,312
Conoco Funding
5.450%, 10/15/06 8,600 9,280
Countrywide Home Loan,
Series K
3.500%, 12/19/05 8,000 8,223
Credit Suisse First Boston
7.750%, 05/15/06 (a) 7,350 8,180
Danske Bank
7.250%, 06/15/05 (a) 10,000 10,670
First Union
6.875%, 09/15/05 7,000 7,523
Ford Motor Credit
6.875%, 02/01/06 9,000 9,582
5.625%, 10/01/08 (g) 11,000 11,374
General Electric Capital,
Series A
2.850%, 01/30/06 (g) 6,000 6,110
5.350%, 03/30/06 (g) 4,000 4,270
General Motors Acceptance
6.750%, 01/15/06 (g) 9,000 9,628
5.850%, 01/14/09 7,000 7,434
</Table>
29
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Goldman Sachs
7.250%, 10/01/05 (a) $ 8,000 $ 8,645
Household Finance
8.000%, 05/09/05 (g) 7,000 7,489
International Lease Finance
5.625%, 06/01/07 7,000 7,603
J.P. Morgan Chase
6.875%, 01/15/07 4,000 4,465
Key Bank
7.250%, 06/01/05 2,000 2,123
7.125%, 08/15/06 4,000 4,403
Lehman Brothers Holdings
6.250%, 05/15/06 7,000 7,616
Series F
7.500%, 09/01/06 3,000 3,384
Marsh & McLennan
3.625%, 02/15/08 10,000 10,233
MBNA America Bank
7.750%, 09/15/05 (a) 9,215 9,952
Mellon Funding
7.500%, 06/15/05 2,100 2,250
Merrill Lynch
7.375%, 05/15/06 1,473 1,625
Series B
6.130%, 05/16/06 (g) 3,655 3,971
Metropolitan Life Global Funding I
4.750%, 06/20/07 (a) (g) 8,000 8,528
Morgan Stanley
7.750%, 06/15/05 6,500 6,988
National Rural Utilities
6.000%, 05/15/06 (g) 8,000 8,649
St. Paul Companies
7.875%, 04/15/05 5,000 5,320
Wells Fargo
4.800%, 07/29/05 4,500 4,696
------------
261,932
------------
MANUFACTURING - 1.4%
Alcan
1.446%, 12/08/04 (a) (f) 2,000 2,000
Compaq Computer
7.650%, 08/01/05 5,000 5,388
DaimlerChrysler,
Series A
7.375%, 09/15/06 (g) 3,945 4,366
Hewlett-Packard,
Series A
3.375%, 12/15/05 4,000 4,098
------------
15,852
------------
SERVICES - 3.8%
AOL Time Warner
5.625%, 05/01/05 8,000 8,331
Boston Scientific
6.625%, 03/15/05 8,000 8,379
Comcast Cable Communications
6.200%, 11/15/08 4,000 4,432
Gannett Co.
4.950%, 04/01/05 5,000 5,177
R. R. Donnelley & Sons,
Series C
6.700%, 06/21/05 3,500 3,701
UnitedHealth Group
3.750%, 02/10/09 5,000 5,088
Viacom
7.150%, 05/20/05 (g) $ 5,874 $ 6,245
------------
41,353
------------
TRANSPORTATION - 0.5%
CSX
2.750%, 02/15/06 5,000 5,056
------------
UTILITIES - 2.5%
AT&T Wireless Services
7.350%, 03/01/06 5,000 5,477
Deutsche Telekom
3.875%, 07/22/08 4,000 4,110
Dominion Resources,
Series B
7.625%, 07/15/05 (g) 8,000 8,612
Sprint Capital
6.125%, 11/15/08 4,000 4,411
Verizon Wireless
5.375%, 12/15/06 4,000 4,310
------------
26,920
------------
YANKEE - 2.3%
Diageo Capital
6.125%, 08/15/05 (g) 6,090 6,466
Hanson Overseas
6.750%, 09/15/05 8,000 8,544
Ontario (Province of)
7.000%, 08/04/05 7,000 7,506
Quebec (Province of),
Series NY
6.500%, 01/17/06 2,335 2,527
------------
25,043
------------
TOTAL CORPORATE BONDS
(Cost $404,201) 408,545
------------
ASSET-BACKED SECURITIES - 28.2%
AUTOMOBILES - 8.3%
AESOP Funding II
Series 2003-2A, Cl A1
2.740%, 06/20/07 (a) 10,000 10,139
Auto Bond Receivables Trust
Series 1993-I, Cl A
6.125%, 11/15/21 (b) (c) 106 --
BMW Vehicle Owner Trust
Series 2003-A, Cl A3
1.940%, 02/25/07 5,000 5,029
Capital Auto Receivables Asset Trust
Series 2002-5, Cl A3B
2.300%, 04/17/06 3,000 3,016
Series 2003-3, Cl A2A
2.350%, 10/16/06 6,000 6,064
Capital One Auto Finance Trust
Series 2003-A, Cl A4A
2.470%, 01/15/10 7,000 7,029
Chase Manhattan Auto Owner Trust
Series 2001-A, Cl A3
4.550%, 08/15/05 70 70
Harley-Davidson Motorcycle Trust
Series 2003-2, Cl A2
2.070%, 02/15/11 7,000 6,985
Honda Auto Receivables Owner Trust
Series 2003-1, Cl A3
1.920%, 11/20/06 4,000 4,021
</Table>
The accompanying notes are an integral part of the financial statements.
30
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Series 2002-4, Cl A4
2.700%, 03/17/08 $ 3,500 $ 3,558
Household Automotive Trust
Series 2001-2, Cl A3
4.830%, 03/17/06 521 523
Nissan Auto Lease Trust
Series 2002-A, Cl A3B
2.560%, 08/15/07 (a) 6,391 6,433
Nissan Auto Receivables Owner Trust
Series 2002-C, Cl A4
3.330%, 01/15/08 4,600 4,722
Toyota Auto Receivables Owner Trust
Series 2003-B, Cl A4
2.790%, 01/15/10 7,000 7,105
Series 2003-A, Cl A4
2.200%, 03/15/10 4,000 4,025
Wells Fargo Financial Auto Owner Trust
Series 2004-A, Cl A3
2.060%, 06/16/08 7,000 7,024
WFS Financial Owner Trust
Series 2002-4, Cl A3A
2.390%, 08/20/07 6,000 6,039
Series 2003-1, Cl A4
2.740%, 09/20/10 8,530 8,671
------------
90,453
------------
COMMERCIAL - 0.7%
LB-UBS Commercial Mortgage Trust
Series 2004-C2, Cl A1
2.946%, 03/15/29 (b) (d) 8,000 8,005
------------
CREDIT CARDS - 8.4%
Bank One Issuance Trust
Series 2002-A2, Cl A2
4.160%, 01/15/08 5,335 5,496
Capital One Master Trust
Series 2001-5, Cl A
5.300%, 06/15/09 4,000 4,297
Series 2001-8A, Cl A
4.600%, 08/17/09 6,000 6,363
Capital One Multi-Asset Execution Trust
Series 2003-A6, Cl A6
2.950%, 08/17/09 7,000 7,131
Citibank Credit Card Issuance Trust
Series 2002-A3, Cl A3
4.400%, 05/15/07 7,000 7,219
Series 2001-A6, Cl A6
5.650%, 06/16/08 7,730 8,329
Series 2004-A1, Cl A1
2.550%, 01/20/09 7,800 7,852
Discover Card Master Trust I
Series 2000-9, Cl A
6.350%, 01/15/06 2,000 2,159
Series 2001-6, Cl A
5.750%, 12/15/08 5,000 5,391
Fleet Credit Card Master Trust II
Series 2000-C, Cl A
7.020%, 02/15/08 3,190 3,425
Series 2003-A, Cl A
2.400%, 07/15/08 8,500 8,591
MBNA Master Credit Card Trust
Series 2000-A, Cl A
7.350%, 07/16/07 7,000 7,348
Series 2001-A1, Cl A1
5.750%, 10/15/08 8,500 9,140
Providian Gateway Master Trust
Series 2004-AA, Cl C
1.990%, 03/15/11 (b) (h) $ 7,000 $ 7,000
Sears Credit Account Master Trust
Series 1999-3, Cl A
6.450%, 11/17/09 1,667 1,735
------------
91,476
------------
EQUIPMENT LEASES - 2.3%
CIT Equipment Collateral
Series 2004-VT1, Cl A3
2.200%, 03/20/08 7,400 7,400
Series 2001-A, Cl A4
4.840%, 09/20/12 3,389 3,454
CNH Equipment Trust
Series 2003-A, Cl A2
1.460%, 02/15/06 3,328 3,331
Series 2003-B, Cl A2
1.710%, 05/15/06 10,800 10,830
------------
25,015
------------
HOME EQUITY - 5.9%
Aames Mortgage Trust
Series 2002-1, Cl A2
5.378%, 06/25/29 (e) 1,500 1,530
Advanta Mortgage Loan Trust
Series 2000-2, Cl A4
7.930%, 04/25/23 (e) 2,019 2,111
AFC Home Equity Loan Trust
Series 1997-2, Cl 1A5
6.970%, 06/25/27 607 626
Centex Home Equity
Series 2000-C, Cl A4
7.720%, 05/25/29 3,637 3,838
Series 2003-C, Cl AV
1.355%, 09/26/33 (f) 6,100 6,111
Chase Funding Mortgage Loan
Series 2002-4, Cl 1A2
2.810%, 10/25/17 4,000 4,007
Series 2003-1, Cl 2A1
2.176%, 12/25/21 292 292
Contimortgage Home Equity Loan Trust
Series 1998-2, Cl A7
6.570%, 03/15/23 2,000 2,044
Emergent Home Equity Loan Trust
Series 1997-3, Cl A5
7.290%, 10/20/28 1,663 1,726
Equivantage Home Equity Loan Trust
Series 1996-1, Cl A
6.550%, 10/25/25 463 463
Series 1996-4, Cl A
6.750%, 01/25/28 1,344 1,343
FNMA
Series 2002-W11, Cl AF3
3.318%, 11/25/32 4,017 4,039
GMAC Mortgage Corporation Loan Trust
Series 2004-HE2, Cl M1
3.950%, 10/25/33 (b) (e) 4,850 4,847
Household Home Equity Loan Trust
Series 2003-1, Cl A
1.541%, 10/20/32 (f) 3,283 3,292
IMC Home Equity Loan Trust
Series 1998-3, Cl A7
6.720%, 08/20/29 (e) 4,539 4,709
New Century Home Equity Loan Trust
Series 1997-NC6, Cl A7
7.190%, 01/25/29 (e) 4,120 4,222
</Table>
31
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Residential Asset Mortgage Products
Series 2002-RS6, Cl AI3
3.821%, 01/25/28 $ 5,971 $ 6,018
Saxon Asset Securities Trust
Series 2001-1, Cl AF5
6.853%, 03/25/32 (e) 5,000 5,355
Series 2004-1, Cl M1
1.650%, 03/25/35 (e) 8,000 8,029
------------
64,602
------------
MANUFACTURED HOUSING - 0.1%
Oakwood Mortgage Investors
Series 1999-A, Cl A2
5.890%, 04/15/29 451 452
------------
UTILITIES - 2.5%
Detroit Edison Securitization Funding
Series 2001-1, Cl A3
5.875%, 03/01/10 5,000 5,455
Massachusetts RRB Special Purpose Trust
Series 1999-1, Cl A4
6.910%, 09/15/09 5,200 5,789
Peco Energy Transition Trust
Series 1999-A, Cl A4
5.800%, 03/01/07 1,470 1,529
Series 1999-A, Cl A6
6.050%, 03/01/09 9,315 10,130
Public Service New Hampshire Funding
Series 2001-1, Cl A2
5.730%, 11/01/10 4,416 4,789
------------
27,692
------------
TOTAL ASSET-BACKED SECURITIES
(Cost $306,130) 307,695
------------
U.S. GOVERNMENT & AGENCY SECURITIES - 23.9%
U.S. AGENCY DEBENTURES - 18.5%
FFCB
2.300%, 05/25/05 (g) 2,800 2,831
FHLB
3.000%, 08/15/05 (g) 7,000 7,148
6.500%, 11/15/05 (g) 7,000 7,551
2.500%, 12/15/05 (g) 8,000 8,119
2.000%, 02/13/06 (g) 5,000 5,027
5.375%, 02/15/06 (g) 5,000 5,337
5.375%, 05/15/06 (g) 3,000 3,221
FHLMC
4.250%, 06/15/05 (g) 10,000 10,345
7.000%, 07/15/05 (g) 3,500 3,749
1.500%, 08/15/05 (g) 10,000 10,008
2.875%, 09/15/05 (g) 8,000 8,158
5.250%, 01/15/06 (g) 7,000 7,438
2.375%, 04/15/06 (g) 5,000 5,058
2.280%, 06/02/06 (g)
Callable 06/02/04 @ 100 7,000 7,000
5.500%, 07/15/06 (g) 3,000 3,234
2.375%, 02/15/07 (g) 10,000 10,049
2.375%, 03/29/07 (g)
Callable 03/29/05 @ 100 8,000 7,950
FNMA
5.750%, 06/15/05 (g) $ 4,000 $ 4,210
7.000%, 07/15/05 (g) 13,375 14,326
2.875%, 10/15/05 (g) 8,000 8,164
5.500%, 05/02/06 (g) 10,000 10,724
2.000%, 06/09/06 (g)
Callable 06/09/04 @ 100 7,000 6,965
4.750%, 01/02/07 (g) 8,100 8,625
3.500%, 10/15/07 (g)
Callable 10/15/04 @ 100 5,000 5,050
4.000%, 09/02/08 (g) 10,000 10,368
6.375%, 06/15/09 10,000 11,505
TVA
6.375%, 06/15/05 (g) 9,500 10,069
------------
202,229
------------
U.S. TREASURIES - 5.4%
U.S. Treasury Notes
1.625%, 09/30/05 (g) 9,000 9,042
5.750%, 11/15/05 (g) 6,000 6,420
1.875%, 12/31/05 (g) 10,000 10,072
2.000%, 05/15/06 (g) 6,000 6,050
4.625%, 05/15/06 (g) 10,000 10,627
2.375%, 08/15/06 (g) 3,000 3,045
2.625%, 05/15/08 (g) 8,000 8,051
3.375%, 12/15/08 (g) 5,000 5,148
------------
58,455
------------
TOTAL U.S. GOVERNMENT & AGENCY SECURITIES
(Cost $257,448) 260,684
------------
U.S. GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES - 5.7%
ADJUSTABLE RATE (f) - 4.6%
FHLMC Pool
3.518%, 01/01/29, #846946 1,462 1,512
5.372%, 04/01/30, #972055 (g) 1,606 1,676
3.311%, 05/01/30, #847014 (g) 1,445 1,482
3.479%, 10/01/30, #847241 (g) 7,052 7,283
4.522%, 10/01/32, #847063 (g) 2,933 3,016
4.267%, 05/01/33, #780456 (g) 5,207 5,350
FNMA Pool
3.392%, 02/01/28, #415285 754 771
5.043%, 06/01/31, #625338 (g) 1,704 1,749
4.792%, 03/01/32, #545791 (g) 950 973
5.046%, 05/01/32, #634948 (g) 1,875 1,925
4.492%, 10/01/32, #661645 (g) 4,172 4,251
4.629%, 12/01/32, #671884 (g) 6,920 7,054
3.861%, 03/01/33, #555369 (g) 5,362 5,535
GNMA Pool
4.750%, 08/20/21, #8824 608 623
4.750%, 07/20/22, #8006 (g) 682 700
4.750%, 09/20/25, #8699 418 428
4.375%, 04/20/26, #8847 407 415
4.750%, 08/20/27, #80106 127 130
4.375%, 01/20/28, #80154 214 217
3.250%, 05/20/29, #80283 (g) 1,226 1,239
3.250%, 06/20/29, #80291 (g) 2,091 2,115
2.875%, 11/20/30, #80469 (g) 1,166 1,177
3.500%, 04/20/31, #80507 (g) 712 720
------------
50,341
------------
FIXED RATE - 1.1%
FHLMC Pool
7.750%, 07/01/09, #184513 14 15
FHLMC Gold Pool
5.500%, 10/01/06, #M90680 433 444
</Table>
The accompanying notes are an integral part of the financial statements.
32
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000)/CONTRACTS VALUE (000)
- ----------------------------------------------------------------------------------------
FNMA Pool
6.195%, 06/01/07, #410601 (g) $ 4,983 $ 5,437
5.500%, 05/01/12, #254340 (g) 2,990 3,134
GNMA Pool
4.500%, 08/20/31, #80535 (g) 2,716 2,739
5.500%, 02/20/32, #80580 (g) 699 707
------------
12,476
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES
(Cost $62,667) 62,817
------------
CMO - PRIVATE MORTGAGE-BACKED SECURITIES - 2.5%
ADJUSTABLE RATE (f) - 1.0%
Washington Mutual
Series 2003-AR3, Cl A5
3.927%, 04/25/33 5,550 5,643
Washington Mutual
Series 2003-AR10, Cl A6
4.100%, 10/25/33 5,000 5,094
------------
10,737
------------
FIXED RATE - 1.5%
Merrill Lynch Mortgage Investors
Series 2003-A5, Cl 2A3
3.246%, 08/25/33 5,763 5,800
Residential Asset Securitization Trust
Series 2002-A12, Cl 1A1
5.200%, 11/25/32 10,410 10,596
------------
16,396
------------
TOTAL CMO - PRIVATE MORTGAGE-BACKED SECURITIES
(Cost $27,084) 27,133
------------
CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 0.9%
FIXED RATE - 0.9%
FHLMC REMIC
Series 2533, Cl PA
4.750%, 03/15/10 (g) 2,380 2,384
Series 1022, Cl J
6.000%, 12/15/20 97 97
Series 2589, Cl GK
4.000%, 03/15/26 (g) 6,902 7,051
FNMA REMIC
Series 1992-150, Cl MA
5.500%, 09/25/22 292 303
------------
TOTAL CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES
(Cost $9,898) 9,835
------------
TREASURY OBLIGATION - 0.0%
U.S. Treasury Bill
0.910%, 05/20/04 10 10
------------
TOTAL TREASURY OBLIGATION
(Cost $10) 10
------------
PUT OPTIONS PURCHASED - 0.0%
Eurodollar 1 year Mid-Curve September 05
Futures Put, Expires 09/13/04,
Exercise price $96.75 250 106
------------
TOTAL PUT OPTIONS PURCHASED
(Cost $101) 106
------------
<Caption>
DESCRIPTION SHARES/PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
AFFILIATED MONEY MARKET FUND - 0.9%
First American Prime Obligations Fund, Cl Z (i) 9,416,086 $ 9,416
------------
TOTAL AFFILIATED MONEY MARKET FUND
(Cost $9,416) 9,416
------------
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM
SECURITIES LENDING - 31.7%
COMMERCIAL PAPER - 8.9%
Bluegrass
1.160%, 11/18/04 $ 1,390 1,390
1.160%, 2/18/05 1,390 1,390
CIBC NY
1.110%, 9/09/04 7,196 7,196
Concord Min Capital
1.100%, 4/07/04 7,842 7,842
1.100%, 4/08/04 2,559 2,559
1.100%, 4/14/04 1,112 1,112
Descartes Funding Trust
1.150%, 11/15/04 2,781 2,781
Emerald Trust
1.063%, 5/06/04 2,778 2,778
Ford Credit Floor Plan
1.063%, 5/03/04 8,335 8,335
Goldman Sachs
1.163%, 1/18/05 2,781 2,781
Independent IV
1.048%, 10/15/04 3,615 3,615
Lakeside Funding
1.142%, 4/08/04 6,368 6,368
Leafs
1.339%, 4/20/04 3,838 3,838
Lehman Brothers
1.133%, 7/23/04 1,947 1,947
1.123%, 8/23/04 1,390 1,390
Moat Funding
1.157%, 5/05/04 5,557 5,557
Morgan Stanley
1.054%, 6/11/04 2,781 2,781
Mortgage Int Network
1.062%, 4/27/04 2,779 2,779
1.042%, 5/11/04 2,778 2,778
1.063%, 6/07/04 2,776 2,776
Norddeutsche Landesbank
1.110%, 9/09/04 2,768 2,768
Orchard Park
1.180%, 7/06/04 6,007 6,007
1.200%, 10/06/04 1,947 1,947
Park Granada
1.083%, 4/07/04 2,502 2,502
1.063%, 4/13/04 1,668 1,668
1.063%, 4/13/04 4,448 4,448
1.063%, 5/06/04 834 834
Sigma Finance
1.157%, 5/04/04 5,557 5,557
------------
TOTAL COMMERCIAL PAPER 97,724
------------
CORPORATE OBLIGATIONS - 7.0%
Allstate Life Global
1.040%, 2/15/05 5,562 5,562
Castle Hill III
1.211%, 9/16/04 1,669 1,669
Duke Funding VI
1.180%, 4/08/05 3,365 3,365
</Table>
33
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- ----------------------------------------------------------------------------------------
General Electric Capital
1.139%, 4/08/05 $ 2,785 $ 2,785
Jefferson Pilot
1.062%, 2/17/05 2,781 2,781
Metlife Global Funding
1.137%, 3/28/05 2,336 2,336
0.991%, 4/15/05 3,338 3,338
Merrill Lynch
1.063%, 4/04/05 5,561 5,561
Morgan Stanley
1.137%, 3/24/05 2,781 2,781
Northlake
1.205%, 3/07/05 1,669 1,669
Premium Asset Trust
1.254%, 6/01/04 8,287 8,287
1.037%, 12/22/04 4,171 4,171
Residential Mortgage Securities
1.102%, 9/11/04 3,905 3,905
Sigma Finance
1.143%, 8/09/04 5,561 5,561
SMM Trust 2003-H
1.183%, 9/23/04 7,196 7,196
Societe Generale NYC
1.148%, 12/08/04 5,562 5,562
WestDeutsche LandesBank
1.220%, 6/03/04 4,450 4,449
1.150%, 8/02/04 5,562 5,562
------------
TOTAL CORPORATE OBLIGATIONS 76,540
------------
MONEY MARKET FUNDS - 0.4%
AIM Short Term Liquid Asset Portfolio 834,298 834
Merrill Lynch Premier Institutional Fund 3,494,214 3,494
------------
TOTAL MONEY MARKET FUNDS 4,328
------------
OTHER SHORT-TERM INVESTMENTS - 1.8%
Commonwealth Life
1.303%, 4/01/04 $ 2,808 2,808
General Electric Capital Assurance
1.200%, 1/19/05 1,112 1,112
HBOS Treasury Services
1.020%, 3/01/05 3,056 3,056
Liquid Funding
1.065%, 8/23/04 2,781 2,781
0.488%, 9/14/04 2,781 2,781
Security Life Denver
1.270%, 7/13/04 7,231 7,231
------------
TOTAL OTHER SHORT-TERM INVESTMENTS 19,769
------------
REPURCHASE AGREEMENTS - 13.6%
Bear Stearns
1.200%, dated 3/31/04, matures 4/20/04,
repurchase price $11,131,383
(collateralized by Various Securities:
Total Market Value $11,611,032) 11,124 11,124
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $3,226,048
(collateralized by U.S. Government Securities:
Total Market Value $3,290,474) 3,226 3,226
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $4,171,614
(collateralized by U.S. Government Securities:
Total Market Value $4,255,126) 4,171 4,171
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $15,295,918
(collateralized by U.S. Government Securities:
Total Market Value $15,601,523) $ 15,295 $ 15,295
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $1,946,761 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $2,044,105) 1,947 1,947
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $3,893,521 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $4,088,138) 3,893 3,893
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $4,449,738 (collateralized
by Collateralized Mortgage Obligations:
Total Market Value $4,672,223) 4,450 4,450
Deutsche Bank
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $5,562,151
(collateralized by U.S. Government Securities:
Total Market Value $5,673,223) 5,562 5,562
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $1,112,430
(collateralized by U.S. Government Securities:
Total Market Value $1,134,645) 1,112 1,112
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $6,118,366
(collateralized by U.S. Government Securities:
Total Market Value $6,240,546) 6,118 6,118
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $1,668,651
(collateralized by Corporate Securities:
Total Market Value $1,720,202) 1,669 1,669
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $3,893,520
(collateralized by Corporate Securities:
Total Market Value $4,013,804) 3,893 3,893
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $5,562,171
(collateralized by Corporate Securities:
Total Market Value $5,734,061) 5,562 5,562
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $15,852,187
(collateralized by Corporate Securities:
Total Market Value $16,341,916) 15,852 15,852
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $2,781,090
(collateralized by Corporate Securities:
Total Market Value $2,837,759) 2,781 2,781
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $2,781,090
(collateralized by Corporate Securities:
Total Market Value $2,867,005) 2,781 2,781
</Table>
The accompanying notes are an integral part of the financial statements.
34
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
J P Morgan
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $2,892,319
(collateralized by U.S. Government Securities:
Total Market Value $2,950,257) $ 2,892 $ 2,892
Lehman Brothers
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $13,905,376
(collateralized by Various Securities:
Total Market Value $14,183,287) 13,905 13,905
Lehman Brothers
1.200%, dated 3/31/04, matures 4/1/04,
repurchase price $1,946,759
(collateralizedby Corporate Securities:
Total Market Value $2,232,738) 1,947 1,947
Lehman Brothers
1.243%, dated 3/31/04, matures 4/1/04,
repurchase price $11,124,351
(collateralized by Various Securities:
Total Market Value $11,346,447) 11,124 11,124
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $2,502,968
(collateralized by U.S. Government Securities:
Total Market Value $2,552,951) 2,503 2,503
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $4,449,722
(collateralized by U.S. Government Securities:
Total Market Value $4,556,364) 4,450 4,450
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $5,005,937
(collateralized by U.S. Government Securities:
Total Market Value $5,129,520) 5,006 5,006
Morgan Stanley
1.133%, dated 3/31/04, matures 4/1/04,
repurchase price $17,298,313 (collateralized
by Collateralized Mortgage Obligations &
Asset-Backed Securities:
Total Market Value $18,230,039) 17,298 17,298
------------
TOTAL REPURCHASE AGREEMENTS 148,561
------------
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $346,922) 346,922
------------
TOTAL INVESTMENTS - 131.2%
(Cost $1,423,877) 1,433,163
------------
OTHER ASSETS AND LIABILITIES, NET - (31.2)% (340,557)
------------
TOTAL NET ASSETS - 100.0% $ 1,092,606
------------
</Table>
(a) Security sold within the terms of a private placement memorandum, exempt
from registration under Rule 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"qualified institutional buyers." These securities have been determined to
be liquid under the guidelines established by the Funds' board of
directors. As of March 31, 2004, the value of these investments was
$64,546,807 or 5.9% of total net assets. See note 2 in Notes to Financial
Statements.
(b) Securities considered illiquid or restricted. As of March 31, 2004, the
value of these investments was $19,851,969 or 1.8% of total net assets. See
note 2 in Notes to Financial Statements.
(c) Security is fair valued. As of March 31, 2004, the fair value of these
investments was $0 or 0.0% of total net assets. See note 2 in Notes to
Financial Statements.
(d) Security purchased on a when-issued basis. On March 31, 2004, the total
cost of investments purchased on a when-issued basis was $8,039,970 or 0.7%
of total net assets. See note 2 in Notes to Financial Statements.
(e) Delayed Interest (Step-Bonds) - Represents securities that remain
zero-coupon securities until a predetermined date at which time the stated
coupon rate becomes effective and interest becomes payable at regular
intervals. Interest rate shown represents current yield at March 31, 2004,
based upon the estimated timing and amount of future interest and principal
payments.
(f) Variable Rate Security - The rate shown is the rate in effect as of March
31, 2004.
(g) This security or a portion of this security is out on loan at March 31,
2004. Total loaned securities had a value of $338,887,494 at March 31,
2004. See note 2 in Notes to Financial Statements.
(h) This is a Rule 144A security that has been deemed illiquid. Due to the lack
of an available price from an independent pricing service, the security is
priced through an independent broker. See note 2 in Notes to Financial
Statements.
(i) Investment in affiliated security. This money market fund is advised by
U.S. Bancorp Asset Management, Inc., which also serves as advisor for this
Fund. See note 3 in Notes to Financial Statements.
Cl - Class
CMO - Collateralized Mortgage Obligation
FFCB - Federal Farm Credit Bank
FHLB - Federal Home Loan Bank
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
REMIC - Real Estate Mortgage Investment Conduit
TVA - Tennessee Valley Authority
35
<Page>
U.S. GOVERNMENT MORTGAGE FUND
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 83.9%
ADJUSTABLE RATE (a) - 3.1%
FNMA Pool
3.353%, 08/01/27, #545271 $ 3,012 $ 3,107
3.431%, 06/01/32, #725286 5,460 5,639
------------
8,746
------------
FIXED RATE - 80.8%
FHLMC Gold Pool
8.500%, 03/01/06, #E00022 11 11
7.500%, 04/01/08, #E45929 24 26
7.000%, 07/01/11, #E20252 84 90
7.000%, 11/01/11, #E65619 6 7
7.500%, 09/01/12, #G10735 394 422
5.500%, 12/01/12, #E68353 1,152 1,207
5.500%, 05/01/13, #G10814 417 437
6.000%, 10/01/13, #E72802 775 819
5.500%, 01/01/14, #E00617 2,077 2,176
7.000%, 09/01/14, #E00746 433 463
5.000%, 05/01/18, #E96700 4,314 4,441
6.000%, 09/01/22, #C90580 (b) 1,547 1,622
6.500%, 01/01/28, #G00876 (b) 1,069 1,129
6.500%, 11/01/28, #C00676 (b) 2,232 2,349
6.500%, 01/01/30, #C55738 3,203 3,371
7.500%, 01/01/30, #C35768 232 249
6.000%, 12/01/30, #C53880 (b) 4,571 4,760
6.500%, 03/01/31, #G01244 1,601 1,686
7.000%, 06/01/32, #C68248 (b) 923 979
5.000%, 09/01/33, #C01622 2,942 2,961
FHLMC Pool
9.500%, 09/01/04, #380053 -- --
FHLMC TBA
5.000%, 09/01/33 (c) 3,000 3,013
FNMA Pool
7.000%, 11/01/11, #250738 38 41
7.000%, 11/01/11, #349630 24 26
7.000%, 11/01/11, #351122 38 41
6.000%, 04/01/13, #425550 417 441
6.500%, 08/01/13, #251901 384 410
6.000%, 11/01/13, #556195 966 1,023
6.000%, 12/01/13, #449173 1,010 1,067
7.000%, 07/01/14, #252637 650 696
7.000%, 10/01/14, #252799 282 302
5.500%, 04/01/16, #580516 1,759 1,838
6.500%, 07/01/17, #254373 2,216 2,357
7.000%, 07/01/17, #254414 2,200 2,353
5.500%, 10/01/17, #665315 1,634 1,703
5.500%, 12/01/17, #673010 1,582 1,649
6.000%, 12/01/17, #254547 1,695 1,786
5.000%, 04/01/18, #685197 (b) 4,157 4,279
4.500%, 05/01/18, #254720 (b) 6,588 6,687
5.000%, 07/01/18, #555621 2,580 2,656
4.500%, 08/01/18, #732244 (b) 4,762 4,826
5.000%, 11/01/18, #750989 4,840 4,980
6.000%, 10/01/22, #254513 (b) 1,923 2,020
8.000%, 07/01/24, #190264 91 99
6.500%, 10/01/27, #400141 104 110
7.000%, 12/01/27, #313941 1,275 1,356
6.500%, 10/01/28, #442671 943 993
6.500%, 12/01/28, #323422 1,145 1,205
6.500%, 02/01/29, #252255 1,104 1,162
6.000%, 05/01/31, #511797 711 741
7.000%, 09/01/31, #596680 2,346 2,500
7.500%, 09/01/31, #602427 842 903
6.500%, 10/01/31, #603674 $ 739 $ 777
7.000%, 03/01/32, #635970 1,810 1,922
6.500%, 06/01/32, #596712 6,442 6,795
7.000%, 07/01/32, #545813 1,027 1,090
7.000%, 07/01/32, #545815 (b) 1,053 1,117
6.000%, 08/01/32, #656269 1,996 2,079
5.500%, 03/01/33, #689109 (b) 4,275 4,387
5.500%, 04/01/33, #703392 (b) 4,678 4,801
5.500%, 05/01/33, #704523 4,284 4,397
5.500%, 07/01/33, #720735 (b) 2,790 2,862
5.500%, 07/01/33, #726520 (b) 4,770 4,893
5.500%, 07/01/33, #728667 (b) 3,089 3,169
4.500%, 08/01/33, #555680 2,928 2,864
5.000%, 08/01/33, #736158 3,920 3,944
5.500%, 08/01/33, #728855 (b) 3,682 3,777
5.500%, 08/01/33, #730927 3,932 4,034
5.500%, 08/01/33, #733380 (b) 3,850 3,949
5.000%, 09/01/33, #734566 4,966 4,997
5.000%, 10/01/33, #747533 3,936 3,960
5.500%, 12/01/33, #756202 2,962 3,038
5.500%, 01/01/34, #255028 2,936 3,011
6.000%, 01/01/34, #763687 3,916 4,079
FNMA TBA
4.500%, 05/01/18 (c) 5,000 5,059
5.500%, 04/01/33 (c) 2,500 2,560
5.000%, 10/01/33 (c) 10,000 10,044
6.000%, 10/01/33 (c) 3,400 3,536
6.500%, 04/01/34 (c) 7,300 7,665
GNMA Pool
8.000%, 01/15/07, #315126 11 12
9.000%, 11/15/09, #359559 68 74
8.000%, 10/15/10, #414750 121 131
6.500%, 07/15/13, #462638 763 818
8.500%, 05/15/17, #219152 14 16
8.500%, 06/15/21, #307921 17 19
7.500%, 12/15/22, #347332 115 124
8.000%, 05/15/23, #352469 47 51
9.500%, 04/15/25, #386741 12 13
7.000%, 09/15/27, #455304 51 54
6.500%, 07/15/28, #780825 1,962 2,080
7.000%, 11/15/29, #781113 (b) 1,033 1,104
7.000%, 07/15/31, #781324 (b) 1,088 1,161
6.500%, 08/20/31, #3120 1,061 1,120
7.500%, 12/15/31, #570134 857 922
6.500%, 02/15/32, #569621 (b) 1,577 1,665
6.500%, 08/15/32, #590376 (b) 2,008 2,119
6.000%, 03/15/33, #603520 (b) 2,631 2,751
6.000%, 06/15/33, #553314 (b) 4,769 4,986
5.500%, 07/15/33, #553367 (b) 10,442 10,756
5.500%, 08/15/33, #604567 (b) 6,105 6,289
6.000%, 11/15/33, #612374 2,633 2,752
------------
226,291
------------
TOTAL U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES
(Cost $231,290) 235,037
------------
CMO - PRIVATE MORTGAGE-BACKED SECURITIES - 7.6%
ADJUSTABLE RATE (a) - 2.6%
Washington Mutual
Series 2003-AR10, Cl A6
4.100%, 10/25/33 5,000 5,094
Wells Fargo Mortgage Backed Securities Trust
Series 2003-D, Cl A1
4.906%, 02/25/33 2,257 2,280
------------
7,374
------------
</Table>
The acompanying notes are an integral part of the financial statements.
36
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
FIXED RATE - 5.0%
Citicorp Mortgage Securities
Series 2001-6, Cl M
6.500%, 05/25/29 $ 2,773 $ 2,850
First Nationwide Trust
Series 2001-3, Cl 2A1
8.250%, 01/25/23 612 644
Residential Accredit Loans
Series 1997-QS13, Cl M3
7.250%, 12/25/27 1,481 1,492
Residential Asset Mortgage Products
Series 2003-SL1, Cl M1
7.319%, 04/25/31 2,973 3,247
Washington Mutual MSC Mortgage
Series 2003-MS9, Cl CB1
7.433%, 02/25/33 1,791 1,940
Washington Mutual
Series 2003-S10, Cl A2
5.000%, 10/25/18 3,811 3,888
------------
14,061
------------
TOTAL CMO - PRIVATE MORTGAGE-BACKED SECURITIES
(Cost $21,369) 21,435
------------
CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES - 3.4%
FIXED RATE - 3.4%
FHLMC REMIC
Series 2498, Cl UA
5.500%, 09/15/12 829 836
Series 2382, Cl DA
5.500%, 10/15/30 (b) 982 1,022
FNMA REMIC
Series 1993-210, Cl PL
6.500%, 04/25/23 4,250 4,495
Series 2002-W1, Cl 2A
7.500%, 02/25/42 2,869 3,157
------------
TOTAL CMO - U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES
(Cost $8,987) 9,510
------------
ASSET-BACKED SECURITIES - 3.4%
HOME EQUITY - 0.5%
First Plus Home Loan Trust
Series 1998-3, Cl A7
6.950%, 10/10/22 780 791
GRMT Mortgage Loan Trust
Series 2001-1A, Cl M1
7.772%, 07/20/31 500 546
------------
1,337
------------
MANUFACTURED HOUSING - 1.1%
Oakwood Mortgage Investors
Series 1999-A, Cl A2
5.890%, 04/15/29 229 229
Vanderbilt Mortgage Finance
Series 1999-B, Cl 1A4
6.545%, 04/07/18 2,861 2,989
------------
3,218
------------
OTHER - 1.8%
GRP/AG Real Estate Asset Trust
Series 2004-1, Cl A
3.960%, 03/25/09 (d) (e) (f) 940 939
<Caption>
DESCRIPTION PAR (000)/CONTRACTS/SHARES VALUE (000)
- ----------------------------------------------------------------------------------------
William Street Funding Corporation
Series 2003-3, Cl A
1.650%, 10/23/09 (g) $ 4,000 $ 3,998
------------
4,937
------------
TOTAL ASSET-BACKED SECURITIES
(Cost $9,459) 9,492
------------
U.S. GOVERNMENT & AGENCY SECURITIES - 2.9%
U.S. AGENCY DEBENTURE - 2.9%
FHLMC
4.500%, 01/15/14 8,000 8,114
------------
TOTAL U.S. GOVERNMENT & AGENCY SECURITIES
(Cost $8,106) 8,114
------------
COMMERCIAL PAPER - 2.6%
Jupiter Securitization
1.020%, 04/13/04 4,400 4,399
Yorktown Capital
1.030%, 04/13/04 2,900 2,899
------------
TOTAL COMMERCIAL PAPER
(Cost $7,298) 7,298
------------
TREASURY OBLIGATION - 0.1%
U.S. Treasury Bill
0.840%, 04/08/04 (h) 185 185
------------
TOTAL TREASURY OBLIGATION
(Cost $185) 185
------------
PUT OPTIONS PURCHASED - 0.0%
Eurodollar 1 year Mid-Curve June 05
Futures Put, Expires 06/11/04,
Exercise price $96.50 65 3
Eurodollar 1 year Mid-Curve June 05
Futures Put, Expires 06/11/04,
Exercise price $97 60 8
Eurodollar 1 year Mid-Curve September 05
Futures Put, Expires 09/13/04,
Exercise price $96.75 60 26
------------
TOTAL PUT OPTIONS PURCHASED
(Cost $102) 37
------------
AFFILIATED MONEY MARKET FUND - 5.2%
First American Government
Obligations Fund, Cl Z (i) 14,602,506 14,603
------------
TOTAL AFFILIATED MONEY MARKET FUND
(Cost $14,603) 14,603
------------
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM
SECURITIES LENDING - 34.2%
COMMERCIAL PAPER - 9.6%
Bluegrass
1.160%, 11/18/04 $ 384 384
1.160%, 2/18/05 384 384
CIBC NY
1.110%, 9/09/04 1,986 1,986
Concord Min Capital
1.100%, 4/07/04 2,165 2,165
1.100%, 4/08/04 706 706
1.100%, 4/14/04 307 307
Descartes Funding Trust
1.150%, 11/15/04 767 767
Emerald Trust
1.063%, 5/06/04 767 767
Ford Credit Floor Plan
1.063%, 5/03/04 2,301 2,301
</Table>
37
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Goldman Sachs
1.163%, 1/18/05 $ 768 $ 768
Independent IV
1.048%, 10/15/04 998 998
Lakeside Funding
1.142%, 4/08/04 1,758 1,758
Leafs
1.339%, 4/20/04 1,059 1,059
Lehman Brothers
1.133%, 7/23/04 537 537
1.123%, 8/23/04 388 388
Moat Funding
1.157%, 5/05/04 1,534 1,534
Morgan Stanley
1.054%, 6/11/04 767 767
Mortgage Int Network
1.062%, 4/27/04 767 767
1.042%, 5/11/04 767 767
1.063%, 6/07/04 766 766
Norddeutsche Landesbank
1.110%, 9/09/04 764 764
Orchard Park
1.180%, 7/06/04 1,658 1,658
1.200%, 10/06/04 537 537
Park Granada
1.083%, 4/07/04 691 691
1.063%, 4/13/04 460 460
1.063%, 4/13/04 1,228 1,228
1.063%, 5/06/04 230 230
Sigma Finance
1.157%, 5/04/04 1,534 1,534
------------
TOTAL COMMERCIAL PAPER 26,978
------------
CORPORATE OBLIGATIONS - 7.5%
Allstate Life Global
1.040%, 2/15/05 1,535 1,535
Castle Hill III
1.211%, 9/16/04 461 461
Duke Funding VI
1.180%, 4/08/05 929 929
General Electric Capital
1.139%, 4/08/05 769 769
Jefferson Pilot
1.062%, 2/17/05 768 768
Metlife Global Funding
1.137%, 3/28/05 645 645
0.991%, 4/15/05 921 921
Merrill Lynch
1.063%, 4/04/05 1,535 1,535
Morgan Stanley
1.137%, 3/24/05 768 768
Northlake CDO
1.205%, 3/07/05 461 461
Premium Asset Trust
1.254%, 6/01/04 2,288 2,288
1.037%, 12/22/04 1,152 1,152
Residential Mortgage Securities
1.102%, 9/11/04 1,078 1,078
Sigma Finance
1.143%, 8/09/04 1,535 1,535
SMM Trust 2003-H
1.183%, 9/23/04 1,987 1,987
<Caption>
DESCRIPTION PAR (000)/SHARES VALUE (000)
- ----------------------------------------------------------------------------------------
Societe Generale NYC
1.148%, 12/08/04 $ 1,535 $ 1,535
WestDeutsche LandesBank
1.220%, 6/03/04 1,228 1,228
1.150%, 8/02/04 1,535 1,535
------------
TOTAL CORPORATE OBLIGATIONS 21,130
------------
MONEY MARKET FUNDS - 0.4%
AIM Short Term Liquid Asset Portfolio 230,317 230
Merrill Lynch Premier Institutional Fund 964,617 965
------------
TOTAL MONEY MARKET FUNDS 1,195
------------
OTHER SHORT-TERM INVESTMENTS - 2.0%
Commonwealth Life
1.303%, 4/01/04 $ 775 775
General Electric Capital Assurance
1.200%, 1/19/05 307 307
HBOS Treasury Services
1.020%, 3/01/05 843 843
Liquid Funding
1.065%, 8/23/04 768 768
0.488%, 9/14/04 768 768
Security Life Denver
1.270%, 7/13/04 1,996 1,996
------------
TOTAL OTHER SHORT-TERM INVESTMENTS 5,457
------------
REPURCHASE AGREEMENTS - 14.7%
Bear Stearns
1.200%, dated 3/31/04, matures 4/20/04,
repurchase price $3,072,943
(collateralized by Various Securities:
Total Market Value $3,205,356) 3,071 3,071
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $891,587
(collateralized by U.S. Government Securities:
Total Market Value $908,372) 891 891
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $1,151,621
(collateralized by U.S. Government Securities:
Total Market Value $1,174,675) 1,152 1,152
CS First Boston
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $4,222,610
(collateralized by U.S. Government Securities:
Total Market Value $4,606,975) 4,223 4,223
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $537,425
(collateralized by Collateralized Mortgage Obligations:
Total Market Value $564,298) 537 537
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $1,074,850
(collateralized by Collateralized Mortgage Obligations:
Total Market Value $1,128,576) 1,075 1,075
CS First Boston
1.123%, dated 3/31/04, matures 4/1/04,
repurchase price $1,228,400
(collateralized by Collateralized Mortgage Obligations:
Total Market Value $1,289,820) 1,228 1,228
</Table>
The acompanying notes are an integral part of the financial statements.
38
<Page>
<Table>
<Caption>
DESCRIPTION PAR (000) VALUE (000)
- ----------------------------------------------------------------------------------------
Deutsche Bank
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $1,535,494
(collateralized by U.S. Government Securities:
Total Market Value $1,566,156) $ 1,535 $ 1,535
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $307,099
(collateralized by U.S. Government Securities:
Total Market Value $313,231) 307 307
Goldman Sachs
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $1,689,043
(collateralized by U.S. Government Securities:
Total Market Value $1,722,773) 1,689 1,689
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $460,650
(collateralized by Corporate Securities:
Total Market Value $474,881) 461 461
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $1,074,850
(collateralized by Corporate Securities:
Total Market Value $1,108,056) 1,075 1,075
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $1,535,500
(collateralized by Corporate Securities:
Total Market Value $1,582,952) 1,535 1,535
Goldman Sachs
1.213%, dated 3/31/04, matures 4/1/04,
repurchase price $4,376,174
(collateralized by Corporate Securities:
Total Market Value $4,511,369) 4,376 4,376
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $767,751
(collateralized by Corporate Securities:
Total Market Value $783,395) 768 768
Goldman Sachs
1.275%, dated 3/31/04, matures 4/1/04,
repurchase price $767,751
(collateralized by Corporate Securities:
Total Market Value $791,469) 768 768
J P Morgan
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $798,457
(collateralized by U.S. Government Securities:
Total Market Value $814,451) 798 798
Lehman Brothers
1.080%, dated 3/31/04, matures 4/1/04,
repurchase price $3,838,735
(collateralized by Various Securities:
Total Market Value $3,915,456) 3,839 3,839
Lehman Brothers
1.200%, dated 3/31/04, matures 4/1/04,
repurchase price $537,425
(collateralized by Corporate Securities:
Total Market Value $616,373) 537 537
Lehman Brothers
1.243%, dated 3/31/04, matures 4/1/04,
repurchase price $3,071,002
(collateralized by Various Securities:
Total Market Value $3,132,314) 3,071 3,071
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $690,973
(collateralized by U.S. Government Securities:
Total Market Value $704,771) $ 691 $ 691
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $1,228,396
(collateralized by U.S. Government Securities:
Total Market Value $1,257,835) 1,228 1,228
Morgan Stanley
1.090%, dated 3/31/04, matures 4/1/04,
repurchase price $1,381,945
(collateralized by U.S. Government Securities:
Total Market Value $1,416,061) 1,382 1,382
Morgan Stanley
1.133%, dated 3/31/04, matures 4/1/04,
repurchase price $4,775,393 (collateralized
by Collateralized Mortgage Obligations &
Asset-Backed Securities:
Total Market Value $5,032,607) 4,775 4,775
------------
TOTAL REPURCHASE AGREEMENTS 41,012
------------
TOTAL INVESTMENTS PURCHASED WITH
PROCEEDS FROM SECURITIES LENDING
(Cost $95,772) 95,772
------------
TOTAL INVESTMENTS - 143.3%
(Cost $397,171) 401,483
------------
OTHER ASSETS AND LIABILITIES, NET - (43.3)% (121,319)
------------
TOTAL NET ASSETS - 100.0% $ 280,164
------------
</Table>
(a) Variable Rate Security - The rate shown is the rate in effect as of March
31, 2004.
(b) This security or a portion of this security is out on loan at March 31,
2004. Total loaned securities had a value of $92,800,438 at March 31, 2004.
See note 2 in Notes to Financial Statements.
(c) Security purchased on a when-issued basis. On March 31, 2004, the total
cost of investments purchased on a when-issued basis was $31,964,344 or
11.4% of total net assets. See note 2 in Notes to Financial Statements.
(d) Securities considered illiquid or restricted. As of March 31, 2004, the
value of these investments was $939,362 or 0.3% of total net assets. See
note 2 in Notes to Financial Statements.
(e) Delayed Interest (Step-Bonds) - Represents securities that remain
zero-coupon securities until a predetermined date at which time the stated
coupon rate becomes effective and interest becomes payable at regular
intervals. Interest rate shown represents current yield at March 31, 2004,
based upon the estimated timing and amount of future interest and principal
payments.
(f) This is a Rule 144A security that has been deemed illiquid. Due to the lack
of an available price from an independent pricing service, the security is
priced through an independent broker. See note 2 in Notes to Financial
Statements.
(g) Security sold within the terms of a private placement memorandum, exempt
from registration under Rule 144A of the Securities Act of 1933, as
amended, and may be sold only to dealers in that program or other
"qualified institutional buyers." These securities have been determined to
be liquid under the guidelines established by the Funds' board of
directors. As of March 31, 2004, the value of these investments was
$3,998,282 or 1.4% of total net assets. See note 2 in Notes to Financial
Statements.
(h) Security has been deposited as inital margin on open futures contracts.
Yield shown is effective yield at date of purchase. See note 2 in Notes to
Financial Statements.
(i) Investment in affiliated security. This money market fund is advised by
U.S. Bancorp Asset Management, Inc., which also serves as advisor for this
Fund. See note 3 in Notes to Financial Statements.
Cl - Class
CMO - Collateralized Mortgage Obligation
FHLMC - Federal Home Loan Mortgage Corporation
FNMA - Federal National Mortgage Association
GNMA - Government National Mortgage Association
REMIC - Real Estate Mortgage Investment Conduit
TBA - To be Announced
39
<Page>
STATEMENTS OF ASSETS AND LIABILITIES March 31, 2004 (unaudited), in thousands,
except per share data
<Table>
<Caption>
CORE CORPORATE
BOND FUND BOND FUND
- -----------------------------------------------------------------------------------------------------------
ASSETS:
Investments in unaffiliated securities, at value*+ $ 2,989,516 $ 337,348
Investments in affiliated money market fund, at value** 28,302 3,615
Cash -- --
Dividends and interest receivable 16,463 4,272
Receivable for investment securities sold 35,588 8,843
Receivable for capital shares sold 3,871 503
Receivable for variation margin -- --
Other receivables 1 --
Prepaid expenses and other assets 228 16
- -----------------------------------------------------------------------------------------------------------
TOTAL ASSETS 3,073,969 354,597
===========================================================================================================
LIABILITIES:
Bank overdraft 87 --
Options written, at value 106 14
Payable upon return of securities loaned 819,397 55,564
Payable for investment securities purchased 112,717 7,915
Payable for capital shares redeemed 7,411 258
Payable for variation margin 406 112
Payable for advisory, co-administration, and custodian fees 1,325 184
Payable for distribution and shareholder servicing fees 71 19
Payable for other accrued expenses and liabilities -- --
- -----------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 941,520 64,066
===========================================================================================================
NET ASSETS $ 2,132,449 $ 290,531
===========================================================================================================
COMPOSITION OF NET ASSETS:
Portfolio capital $ 2,078,669 $ 304,614
Undistributed (distributions in excess of) net investment income (2,133) (1)
Accumulated net realized gain (loss) on investments 17,239 (25,574)
Net unrealized appreciation of investments 40,026 11,865
Net unrealized appreciation (depreciation) of options written 125 16
Net unrealized depreciation of futures contracts (1,477) (389)
- -----------------------------------------------------------------------------------------------------------
NET ASSETS $ 2,132,449 $ 290,531
===========================================================================================================
* Investments in unaffiliated securities, at cost $ 2,949,490 $ 325,483
**Investments in affiliated money market fund, at cost $ 28,302 $ 3,615
+ Including securities loaned, at value $ 801,193 $ 54,145
CLASS A:
Net assets $ 198,377 $ 17,179
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 17,280 1,644
Net asset value and redemption price per share $ 11.48 $ 10.45
Maximum offering price per share (1) $ 11.99 $ 10.91
CLASS B:
Net assets $ 25,596 $ 12,588
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 2,245 1,209
Net asset value, offering price, and redemption price per share (2) $ 11.40 $ 10.41
CLASS C:
Net assets $ 11,749 $ 5,254
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 1,026 506
Net asset value, offering price, and redemption price per share (2) $ 11.45 $ 10.39
CLASS S:
Net assets $ 14,758 $ 381
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 1,286 36
Net asset value, offering price, and redemption price per share $ 11.48 $ 10.45
CLASS Y:
Net assets $ 1,881,969 $ 255,129
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 163,967 24,428
Net asset value, offering price, and redemption price per share $ 11.48 $ 10.44
</Table>
(1) The offering price is calculated by dividing the net asset value by 1 minus
the maximum sales charge. For a description of front-end sales charges, see
note 1 in Notes to Financial Statements.
(2) Class B and C have a contingent deferred sales charge. For a description of
this sales charge, see notes 1 and 3 in Notes to Financial Statements.
The accompanying notes are an integral part of the financial statements.
40
<Page>
<Table>
<Caption>
INTERMEDIATE
HIGH INCOME GOVERNMENT
BOND FUND BOND FUND
- -----------------------------------------------------------------------------------------------------------
ASSETS:
Investments in unaffiliated securities, at value*+ $ 358,864 $ 177,833
Investments in affiliated money market fund, at value** 2,567 --
Cash 1,155 4,690
Dividends and interest receivable 6,414 1,859
Receivable for investment securities sold 2,955 --
Receivable for capital shares sold 162 44
Receivable for variation margin -- 2
Other receivables -- --
Prepaid expenses and other assets 16 7
- -----------------------------------------------------------------------------------------------------------
TOTAL ASSETS 372,133 184,435
===========================================================================================================
LIABILITIES:
Bank overdraft -- --
Options written, at value -- 9
Payable upon return of securities loaned 78,701 --
Payable for investment securities purchased 5,261 --
Payable for capital shares redeemed 253 426
Payable for variation margin -- --
Payable for advisory, co-administration, and custodian fees 176 118
Payable for distribution and shareholder servicing fees 35 --
Payable for other accrued expenses and liabilities -- 25
- -----------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 84,426 578
===========================================================================================================
NET ASSETS $ 287,707 $ 183,857
===========================================================================================================
COMPOSITION OF NET ASSETS:
Portfolio capital $ 293,854 $ 174,493
Undistributed (distributions in excess of) net investment income 199 (86)
Accumulated net realized gain (loss) on investments (25,394) 5,646
Net unrealized appreciation of investments 19,048 3,814
Net unrealized appreciation (depreciation) of options written -- 11
Net unrealized depreciation of futures contracts -- (21)
- -----------------------------------------------------------------------------------------------------------
NET ASSETS $ 287,707 $ 183,857
===========================================================================================================
* Investments in unaffiliated securities, at cost $ 339,816 $ 174,019
**Investments in affiliated money market fund, at cost $ 2,567 $ --
+ Including securities loaned, at value $ 76,451 $ --
CLASS A:
Net Assets $ 42,774 $ 1,905
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 4,526 212
Net asset value and redemption price per share $ 9.45 $ 8.99
Maximum offering price per share (1) $ 9.87 $ 9.20
CLASS B:
Net assets $ 9,524 --
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 1,011 --
Net asset value, offering price, and redemption price per share (2) $ 9.41 --
CLASS C:
Net assets $ 20,441 --
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 2,170 --
Net asset value, offering price, and redemption price per share (2) $ 9.42 --
CLASS S:
Net assets $ 407 --
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 43 --
Net asset value, offering price, and redemption price per share $ 9.53 --
CLASS Y:
Net assets $ 214,561 $ 181,952
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 22,690 20,252
Net asset value, offering price, and redemption price per share $ 9.46 $ 8.98
<Caption>
INTERMEDIATE TERM SHORT TERM U.S. GOVERNMENT
BOND FUND BOND FUND MORTGAGE FUND
- -------------------------------------------------------------------------------------------------------------------------------
ASSETS:
Investments in unaffiliated securities, at value*+ $ 2,052,845 $ 1,423,747 $ 386,880
Investments in affiliated money market fund, at value** 17,860 9,416 14,603
Cash -- 4,861 --
Dividends and interest receivable 11,395 10,044 1,277
Receivable for investment securities sold 8,839 29,829 5,717
Receivable for capital shares sold 1,005 3,841 267
Receivable for variation margin -- -- --
Other receivables 2 6 --
Prepaid expenses and other assets 35 47 21
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 2,091,981 1,481,791 408,765
===============================================================================================================================
LIABILITIES:
Bank overdraft 107 -- --
Options written, at value 71 51 14
Payable upon return of securities loaned 656,830 346,922 95,772
Payable for investment securities purchased 8,345 40,555 32,033
Payable for capital shares redeemed 2,765 1,080 528
Payable for variation margin 84 -- 52
Payable for advisory, co-administration, and custodian fees 741 557 171
Payable for distribution and shareholder servicing fees 11 20 31
Payable for other accrued expenses and liabilities -- -- --
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 668,954 389,185 128,601
===============================================================================================================================
NET ASSETS $ 1,423,027 $ 1,092,606 $ 280,164
===============================================================================================================================
COMPOSITION OF NET ASSETS:
Portfolio capital $ 1,378,244 $ 1,084,583 $ 278,823
Undistributed (distributions in excess of) net investment income (257) (1,166) (1,190)
Accumulated net realized gain (loss) on investments 20,665 (95) (1,649)
Net unrealized appreciation of investments 24,598 9,286 4,312
Net unrealized appreciation (depreciation) of options written 84 (2) 17
Net unrealized depreciation of futures contracts (307) -- (149)
- -------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $ 1,423,027 $ 1,092,606 $ 280,164
===============================================================================================================================
* Investments in unaffiliated securities, at cost $ 2,028,247 $ 1,414,461 $ 382,568
**Investments in affiliated money market fund, at cost $ 17,860 $ 9,416 $ 14,603
+ Including securities loaned, at value $ 642,197 $ 338,887 $ 92,800
CLASS A:
Net assets $ 74,894 $ 157,762 $ 34,896
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 7,189 15,388 3,212
Net asset value and redemption price per share $ 10.42 $ 10.25 $ 10.86
Maximum offering price per share (1) $ 10.66 $ 10.49 $ 11.34
CLASS B:
Net assets -- -- $ 10,264
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) -- -- 944
Net asset value, offering price, and redemption price per share (2) -- -- $ 10.88
CLASS C:
Net assets -- -- $ 16,156
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) -- -- 1,493
Net asset value, offering price, and redemption price per share (2) -- -- $ 10.82
CLASS S:
Net assets $ 9,589 $ 2,003 $ 3,158
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 920 196 291
Net asset value, offering price, and redemption price per share $ 10.42 $ 10.23 $ 10.83
CLASS Y:
Net assets $ 1,338,544 $ 932,841 $ 215,690
Shares issued and outstanding ($0.0001 par value -- 2 billion authorized) 128,845 90,946 19,849
Net asset value, offering price, and redemption price per share $ 10.39 $ 10.26 $ 10.87
</Table>
41
<Page>
STATEMENTS OF OPERATIONS For the six months ended March 31,2004 (unaudited),in
thousands
<Table>
<Caption>
CORE CORPORATE
BOND FUND BOND FUND
- ---------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest from unaffiliated securities $ 45,955 $ 7,916
Interest from affiliated money market fund 227 13
Dividends -- 12
Securities lending 240 20
- ---------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 46,422 7,961
=====================================================================================================================
EXPENSES:
Investment advisory fees 5,384 987
Co-administration fees and expenses (including per account transfer agency fees) 2,935 385
Custodian fees 108 14
Directors' fees 18 2
Registration fees 28 11
Professional fees 41 5
Printing 24 3
Other 38 5
Distribution and shareholder servicing fees - Class A 232 18
Distribution and shareholder servicing fees - Class B 132 65
Distribution and shareholder servicing fees - Class C 63 27
Shareholder servicing fees - Class S 48 3
- ---------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 9,051 1,525
=====================================================================================================================
Less: Fee waivers (1,039) (354)
- ---------------------------------------------------------------------------------------------------------------------
TOTAL NET EXPENSES 8,012 1,171
=====================================================================================================================
INVESTMENT INCOME - NET 38,410 6,790
- ---------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS,
FUTURES CONTRACTS, FOREIGN CURRENCY TRANSACTIONS
AND OPTIONS WRITTEN - NET:
Net realized gain on investments 26,642 6,263
Net realized gain (loss) on futures contracts (997) (300)
Net realized gain on options written 1,459 --
Net realized gain on forward foreign currency contracts and foreign currency
transactions -- --
Net change in unrealized appreciation or depreciation of investments (7,168) 289
Net change in unrealized appreciation or depreciation of futures contracts (1,477) (389)
Net change in unrealized appreciation or depreciation of options written 468 16
Net change in unrealized appreciation or depreciation of forward foreign
currency contracts, foreign currency, and translation of other assets and
liabilities denominated in foreign currency -- --
- ---------------------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS 18,927 5,879
=====================================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 57,337 $ 12,669
=====================================================================================================================
</Table>
The accompanying notes are an integral part of the financial statements.
42
<Page>
<Table>
<Caption>
INTERMEDIATE
HIGH INCOME GOVERNMENT INTERMEDIATE TERM
BOND FUND BOND FUND BOND FUND
- -----------------------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest from unaffiliated securities $ 11,403 $ 4,145 $ 25,793
Interest from affiliated money market fund 31 28 201
Dividends 13 -- --
Securities lending 55 -- 198
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 11,502 4,173 26,192
===================================================================================================================================
EXPENSES:
Investment advisory fees 970 618 3,484
Co-administration fees and expenses (including per account transfer agency fees) 377 358 1,884
Custodian fees 14 12 70
Directors' fees 2 3 11
Registration fees 11 7 17
Professional fees 4 7 25
Printing 3 4 14
Other 4 6 23
Distribution and shareholder servicing fees - Class A 53 3 98
Distribution and shareholder servicing fees - Class B 49 -- --
Distribution and shareholder servicing fees - Class C 103 -- --
Shareholder servicing fees - Class S 1 -- 15
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 1,591 1,018 5,641
===================================================================================================================================
Less: Fee waivers (346) (274) (1,392)
- -----------------------------------------------------------------------------------------------------------------------------------
TOTAL NET EXPENSES 1,245 744 4,249
===================================================================================================================================
INVESTMENT INCOME - NET 10,257 3,429 21,943
- -----------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS,
FUTURES CONTRACTS, FOREIGN CURRENCY TRANSACTIONS
AND OPTIONS WRITTEN - NET:
Net realized gain on investments 5,390 6,223 24,339
Net realized gain (loss) on futures contracts -- 33 318
Net realized gain on options written -- 217 876
Net realized gain on forward foreign currency contracts and foreign currency
transactions 62 -- --
Net change in unrealized appreciation or depreciation of investments 3,763 (7,313) (14,599)
Net change in unrealized appreciation or depreciation of futures contracts -- (21) (307)
Net change in unrealized appreciation or depreciation of options written -- 62 290
Net change in unrealized appreciation or depreciation of forward foreign
currency contracts, foreign currency, and translation of other assets and
liabilities denominated in foreign currency (4) -- --
- -----------------------------------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS 9,211 (799) 10,917
===================================================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 19,468 $ 2,630 $ 32,860
===================================================================================================================================
<Caption>
SHORT TERM U.S.GOVERNMENT
BOND FUND MORTGAGE FUND
- ----------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest from unaffiliated securities $ 14,724 $ 6,381
Interest from affiliated money market fund 28 30
Dividends -- --
Securities lending 113 19
- ----------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME 14,865 6,430
================================================================================================================
EXPENSES:
Investment advisory fees 2,651 712
Co-administration fees and expenses (including per account transfer agency fees) 1,429 391
Custodian fees 53 14
Directors' fees 8 3
Registration fees 16 12
Professional fees 18 5
Printing 11 3
Other 17 5
Distribution and shareholder servicing fees - Class A 193 30
Distribution and shareholder servicing fees - Class B -- 54
Distribution and shareholder servicing fees - Class C -- 89
Shareholder servicing fees - Class S 11 20
- ----------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 4,407 1,338
================================================================================================================
Less: Fee waivers (1,103) (148)
- ----------------------------------------------------------------------------------------------------------------
TOTAL NET EXPENSES 3,304 1,190
================================================================================================================
INVESTMENT INCOME - NET 11,561 5,240
- ----------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS,
FUTURES CONTRACTS, FOREIGN CURRENCY TRANSACTIONS
AND OPTIONS WRITTEN - NET:
Net realized gain on investments 3,818 1,184
Net realized gain (loss) on futures contracts -- 10
Net realized gain on options written -- 174
Net realized gain on forward foreign currency contracts and foreign currency
transactions -- --
Net change in unrealized appreciation or depreciation of investments (2,739) (394)
Net change in unrealized appreciation or depreciation of futures contracts -- (149)
Net change in unrealized appreciation or depreciation of options written (2) 57
Net change in unrealized appreciation or depreciation of forward foreign
currency contracts, foreign currency, and translation of other assets and
liabilities denominated in foreign currency -- --
- ----------------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS 1,077 882
================================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 12,638 $ 6,122
================================================================================================================
</Table>
The accompanying notes are an integral part of the financial statements.
43
<Page>
STATEMENTS OF CHANGES IN NET ASSETS in thousands
<Table>
<Caption>
CORE CORPORATE
BOND FUND BOND FUND
- --------------------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 10/1/03 10/1/02
TO TO TO TO
3/31/04 9/30/03 3/31/04 9/30/03
- --------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
OPERATIONS:
Investment income - net $ 38,410 $ 71,504 $ 6,790 $ 14,162
Net realized gain (loss) on investments 26,642 55,962 6,263 4,772
Net realized gain (loss) on futures contracts (997) 131 (300) 16
Net realized gain on options written 1,459 -- -- --
Net realized gain (loss) on forward foreign currency
contracts and foreign currency transactions -- -- -- --
Net change in unrealized appreciation or
depreciation of investments (7,168) (34,740) 289 11,176
Net change in unrealized appreciation or
depreciation of futures contracts (1,477) -- (389) --
Net change in unrealized appreciation or
depreciation of options written 468 (343) 16 --
Net change in unrealized appreciation or
depreciation of forward foreign currency
contracts, foreign currency, and translation of
other assets and liabilities denominated in
foreign currency -- -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 57,337 92,514 12,669 30,126
- --------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income - net:
Class A (3,360) (6,386) (339) (562)
Class B (378) (761) (253) (720)
Class C (177) (394) (106) (243)
Class S (693) (1,471) (56) (171)
Class Y (36,918) (68,921) (6,046) (12,466)
Net realized gain on investments:
Class A (2,811) -- -- --
Class B (404) -- -- --
Class C (191) -- -- --
Class S (591) -- -- --
Class Y (28,710) -- -- --
- --------------------------------------------------------------------------------------------------------------------------------
Total distributions (74,233) (77,933) (6,800) (14,162)
================================================================================================================================
CAPITAL SHARE TRANSACTIONS (2):
Class A:
Proceeds from sales 37,050 44,693 4,734 12,184
Reinvestment of distributions 4,578 4,658 263 416
Payments for redemptions (33,683) (67,122) (1,667) (8,330)
Shares issued in connection with the acquisition
of Fund net assets -- 86,055 -- --
- --------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class A
transactions 7,945 68,284 3,330 4,270
- --------------------------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from sales 1,273 4,276 438 1,645
Reinvestment of distributions 679 663 180 503
Payments for redemptions (4,235) (8,849) (1,866) (8,300)
Shares issued in connection with the acquisition
of Fund net assets -- 15,099 -- --
- --------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class B
transactions (2,283) 11,189 (1,248) (6,152)
- --------------------------------------------------------------------------------------------------------------------------------
Class C:
Proceeds from sales 882 3,466 237 1,163
Reinvestment of distributions 360 384 98 229
Payments for redemptions (2,813) (5,856) (940) (1,248)
Shares issued in connection with the acquisition
of Fund net assets -- 5,671 -- --
- --------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class C
transactions (1,571) 3,665 (605) 144
- --------------------------------------------------------------------------------------------------------------------------------
Class S:
Proceeds from sales 5,702 13,667 79 344
Reinvestment of distributions 1,249 1,428 56 164
Payments for redemptions (31,083) (39,383) (2,464) (1,599)
Shares issued in connection with the acquisition
of Fund net assets -- 30,116 -- --
- --------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class S
transactions (24,132) 5,828 (2,329) (1,091)
- --------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from sales 238,973 394,555 33,770 94,737
Reinvestment of distributions 28,357 25,605 800 1,423
Payments for redemptions (326,363) (652,840) (30,451) (68,932)
Shares issued in connection with the acquisition
of Common Trust Fund net assets -- 13,076 -- --
Shares issued in connection with the acquisition of
Fund net assets -- 957,884 -- --
- --------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class Y
transactions (59,033) 738,280 4,119 27,228
- --------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from capital share
transactions (79,074) 827,246 3,267 24,399
- --------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets (95,970) 841,827 9,136 40,363
NET ASSETS AT BEGINNING OF PERIOD 2,228,419 1,386,592 281,395 241,032
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSETS AT END OF PERIOD $ 2,132,449 $ 2,228,419 $ 290,531 $ 281,395
- --------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET
INVESTMENT INCOME $ (2,133) $ 983 $ (1) $ 9
================================================================================================================================
</Table>
(1) Commencement of operations.
(2) See note 4 in Notes to Financial Statements for additional information.
The accompanying notes are an integral part of the financial statements.
44
<Page>
<Table>
<Caption>
INTERMEDIATE
HIGH INCOME GOVERNMENT INTERMEDIATE TERM
BOND FUND BOND FUND BOND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 10/1/03 10/25/02 (1) 10/1/03
TO TO TO TO TO
3/31/04 9/30/03 3/31/04 9/30/03 3/31/04
- ----------------------------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
OPERATIONS:
Investment income - net $ 10,257 $ 16,135 $ 3,429 $ 15,152 $ 21,943
Net realized gain (loss) on investments 5,390 (249) 6,223 29,420 24,339
Net realized gain (loss) on futures contracts -- -- 33 -- 318
Net realized gain on options written -- -- 217 -- 876
Net realized gain (loss) on forward foreign currency
contracts and foreign currency transactions 62 (31) -- -- --
Net change in unrealized appreciation or
depreciation of investments 3,763 27,108 (7,313) 11,127 (14,599)
Net change in unrealized appreciation or
depreciation of futures contracts -- -- (21) -- (307)
Net change in unrealized appreciation or
depreciation of options written -- -- 62 (51) 290
Net change in unrealized appreciation or
depreciation of forward foreign currency
contracts, foreign currency, and translation of
other assets and liabilities denominated in
foreign currency (4) 11 -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 19,468 42,974 2,630 55,648 32,860
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income - net:
Class A (1,558) (2,492) (32) (54) (1,189)
Class B (320) (434) -- -- --
Class C (676) (929) -- -- --
Class S (25) (29) -- -- (177)
Class Y (7,724) (11,903) (3,483) (15,108) (20,831)
Net realized gain on investments:
Class A -- -- (258) (1) (839)
Class B -- -- -- -- --
Class C -- -- -- -- --
Class S -- -- -- -- (131)
Class Y -- -- (29,444) (534) (13,807)
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions (10,303) (15,787) (33,217) (15,697) (36,974)
==================================================================================================================================
CAPITAL SHARE TRANSACTIONS (2):
Class A:
Proceeds from sales 3,740 17,072 514 4,608 12,053
Reinvestment of distributions 1,175 1,708 204 44 1,240
Payments for redemptions (5,621) (22,686) (1,060) (2,133) (16,804)
Shares issued in connection with the acquisition
of Fund net assets -- 23,374 -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class A
transactions (706) 19,468 (342) 2,519 (3,511)
- ----------------------------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from sales 1,653 3,119 -- -- --
Reinvestment of distributions 194 238 -- -- --
Payments for redemptions (1,598) (1,301) -- -- --
Shares issued in connection with the acquisition
of Fund net assets -- 1,910 -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class B
transactions 249 3,966 -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Class C:
Proceeds from sales 1,780 6,021 -- -- --
Reinvestment of distributions 591 835 -- -- --
Payments for redemptions (2,310) (4,896) -- -- --
Shares issued in connection with the acquisition
of Fund net assets -- 9,735 -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class C
transactions 61 11,695 -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Class S:
Proceeds from sales 296 562 -- -- 4,119
Reinvestment of distributions 15 11 -- -- 279
Payments for redemptions (705) (90) -- -- (7,029)
Shares issued in connection with the acquisition
of Fund net assets -- 243 -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class S
transactions (394) 726 -- -- (2,631)
- ----------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from sales 57,977 71,560 17,183 516,031 261,268
Reinvestment of distributions 1,205 2,190 26,795 616 15,925
Payments for redemptions (30,680) (86,258) (166,563) (221,746) (231,394)
Shares issued in connection with the acquisition
of Common Trust Fund net assets -- -- -- -- --
Shares issued in connection with the acquisition
of Fund net assets -- 36,227 -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class Y
transactions 28,502 23,719 (122,585) 294,901 45,799
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from capital share
transactions 27,712 59,574 (122,927) 297,420 39,657
- ----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 36,877 86,761 (153,514) 337,371 35,543
NET ASSETS AT BEGINNING OF PERIOD 250,830 164,069 337,371 -- 1,387,484
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS AT END OF PERIOD $ 287,707 $ 250,830 $ 183,857 $ 337,371 $ 1,423,027
- ----------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET
INVESTMENT INCOME $ 199 $ 245 $ (86) $ -- $ (257)
==================================================================================================================================
<Caption>
INTERMEDIATE TERM SHORT TERM U.S. GOVERNMENT
BOND FUND BOND FUND MORTGAGE FUND
- ----------------------------------------------------------------------------------------------------------------------------------
10/1/02 10/1/03 10/1/02 10/1/03 10/1/02
TO TO TO TO TO
9/30/03 3/31/04 9/30/03 3/31/04 9/30/03
(UNAUDITED) (UNAUDITED)
- ----------------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
Investment income - net $ 52,650 $ 11,561 $ 24,975 $ 5,240 $ 8,379
Net realized gain (loss) on investments 31,050 3,818 3,108 1,184 100
Net realized gain (loss) on futures contracts 77 -- -- 10 81
Net realized gain on options written -- -- -- 174 --
Net realized gain (loss) on forward foreign currency
contracts and foreign currency transactions -- -- -- -- --
Net change in unrealized appreciation or
depreciation of investments (12,504) (2,739) (3,652) (394) (1,315)
Net change in unrealized appreciation or
depreciation of futures contracts -- -- -- (149) --
Net change in unrealized appreciation or
depreciation of options written (206) (2) -- 57 (40)
Net change in unrealized appreciation or
depreciation of forward foreign currency
contracts, foreign currency, and translation of
other assets and liabilities denominated in
foreign currency -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase in net assets resulting from operations 71,067 12,638 24,431 6,122 7,205
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Investment income - net:
Class A (2,819) (1,752) (4,952) (551) (901)
Class B -- -- -- (203) (325)
Class C -- -- -- (339) (462)
Class S (459) (102) (226) (366) (898)
Class Y (50,535) (10,894) (21,801) (5,256) (8,765)
Net realized gain on investments:
Class A (1) -- -- -- (183)
Class B -- -- -- -- (75)
Class C -- -- -- -- (81)
Class S -- -- -- -- (238)
Class Y (13) -- -- -- (1,877)
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions (53,827) (12,748) (26,979) (6,715) (13,805)
==================================================================================================================================
CAPITAL SHARE TRANSACTIONS (2):
Class A:
Proceeds from sales 33,969 20,544 88,965 13,512 16,589
Reinvestment of distributions 1,921 1,374 3,821 458 925
Payments for redemptions (23,162) (23,488) (96,111) (3,704) (9,260)
Shares issued in connection with the acquisition
of Fund net assets -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class A
transactions 12,728 (1,570) (3,325) 10,266 8,254
- ----------------------------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from sales -- -- -- 944 8,485
Reinvestment of distributions -- -- -- 180 368
Payments for redemptions -- -- -- (2,233) (3,444)
Shares issued in connection with the acquisition
of Fund net assets -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class B
transactions -- -- -- (1,109) 5,409
- ----------------------------------------------------------------------------------------------------------------------------------
Class C:
Proceeds from sales -- -- -- 925 16,974
Reinvestment of distributions -- -- -- 330 535
Payments for redemptions -- -- -- (3,864) (4,217)
Shares issued in connection with the acquisition
of Fund net assets -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class C
transactions -- -- -- (2,609) 13,292
- ----------------------------------------------------------------------------------------------------------------------------------
Class S:
Proceeds from sales 10,407 1,796 7,087 1,184 7,399
Reinvestment of distributions 396 86 171 340 1,113
Payments for redemptions (4,751) (8,574) (2,214) (15,610) (11,972)
Shares issued in connection with the acquisition
of Fund net assets -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class S
transactions 6,052 (6,692) 5,044 (14,086) (3,460)
- ----------------------------------------------------------------------------------------------------------------------------------
Class Y:
Proceeds from sales 688,524 277,885 647,898 31,123 85,238
Reinvestment of distributions 20,564 3,674 8,107 629 1,673
Payments for redemptions (407,391) (181,008) (306,375) (30,149) (48,569)
Shares issued in connection with the acquisition
of Common Trust Fund net assets -- -- -- -- --
Shares issued in connection with the acquisition of
Fund net assets -- -- -- -- --
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from Class Y
transactions 301,697 100,551 349,630 1,603 38,342
- ----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net assets from capital share
transactions 320,477 92,289 351,349 (5,935) 61,837
- ----------------------------------------------------------------------------------------------------------------------------------
Total increase (decrease) in net assets 337,717 92,179 348,801 (6,528) 55,237
NET ASSETS AT BEGINNING OF PERIOD 1,049,767 1,000,427 651,626 286,692 231,455
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS AT END OF PERIOD $ 1,387,484 $ 1,092,606 $ 1,000,427 $ 280,164 $ 286,692
- ----------------------------------------------------------------------------------------------------------------------------------
UNDISTRIBUTED (DISTRIBUTIONS IN EXCESS OF) NET
INVESTMENT INCOME $ (3) $ (1,166) $ 21 $ (1,190) $ 285
==================================================================================================================================
</Table>
45
<Page>
FINANCIAL HIGHLIGHTS For a share outstanding throughout the periods ended
September 30, unless otherwise indicated.
<Table>
<Caption>
REALIZED AND
NET ASSET UNREALIZED DIVIDENDS NET ASSET
VALUE NET GAINS FROM NET DISTRIBUTIONS VALUE
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM NET END OF
OF PERIOD INCOME INVESTMENTS INCOME REALIZED GAINS PERIOD
- ----------------------------------------------------------------------------------------------------------------------------------
CORE BOND FUND
Class A
2004 (1) $ 11.56 $ 0.19 $ 0.11 $ (0.21) $ (0.17) $ 11.48
2003 11.45 0.42 0.15 (0.46) -- 11.56
2002 11.37 0.55 0.08 (0.55) -- 11.45
2001 (2) 10.69 0.61 0.69 (0.62) -- 11.37
2000 10.65 0.61 0.04 (0.61) -- 10.69
1999 11.69 0.59 (0.89) (0.59) (0.15) 10.65
Class B
2004 (1) $ 11.48 $ 0.14 $ 0.11 $ (0.16) $ (0.17) $ 11.40
2003 11.38 0.35 0.12 (0.37) -- 11.48
2002 11.29 0.47 0.09 (0.47) -- 11.38
2001 (2) 10.63 0.52 0.68 (0.54) -- 11.29
2000 10.58 0.53 0.05 (0.53) -- 10.63
1999 11.63 0.51 (0.90) (0.51) (0.15) 10.58
Class C
2004 (1) $ 11.53 $ 0.15 $ 0.10 $ (0.16) $ (0.17) $ 11.45
2003 11.42 0.34 0.14 (0.37) -- 11.53
2002 11.34 0.47 0.08 (0.47) -- 11.42
2001 (2) 10.66 0.52 0.70 (0.54) -- 11.34
2000 10.64 0.52 0.04 (0.54) -- 10.66
1999 (3) 11.33 0.38 (0.69) (0.38) -- 10.64
Class S
2004 (1) $ 11.56 $ 0.19 $ 0.11 $ (0.21) $ (0.17) $ 11.48
2003 11.45 0.42 0.15 (0.46) -- 11.56
2002 11.37 0.55 0.08 (0.55) -- 11.45
2001 (2) (4) 11.28 0.01 0.08 -- -- 11.37
Class Y
2004 (1) $ 11.56 $ 0.21 $ 0.10 $ (0.22) $ (0.17) $ 11.48
2003 11.45 0.45 0.15 (0.49) -- 11.56
2002 11.37 0.58 0.08 (0.58) -- 11.45
2001 (2) 10.69 0.63 0.70 (0.65) -- 11.37
2000 10.65 0.63 0.04 (0.63) -- 10.69
1999 11.69 0.61 (0.89) (0.61) (0.15) 10.65
CORPORATE BOND FUND
Class A
2004 (1) $ 10.23 $ 0.24 $ 0.22 $ (0.24) $ -- $ 10.45
2003 9.60 0.51 0.63 (0.51) -- 10.23
2002 10.01 0.57 (0.39) (0.58) (0.01) 9.60
2001 (2) 10.03 0.72 0.35 (0.73) (0.36) 10.01
2000 (5) 10.00 0.48 0.02 (0.47) -- 10.03
Class B
2004 (1) $ 10.20 $ 0.20 $ 0.21 $ (0.20) $ -- $ 10.41
2003 9.57 0.44 0.63 (0.44) -- 10.20
2002 9.98 0.49 (0.38) (0.51) (0.01) 9.57
2001 (2) 10.02 0.66 0.32 (0.66) (0.36) 9.98
2000 (5) 10.00 0.45 0.01 (0.44) -- 10.02
Class C
2004 (1) $ 10.18 $ 0.20 $ 0.21 $ (0.20) $ -- $ 10.39
2003 9.55 0.44 0.63 (0.44) -- 10.18
2002 9.97 0.49 (0.40) (0.50) (0.01) 9.55
2001 (2) 10.01 0.63 0.35 (0.66) (0.36) 9.97
2000 (5) 10.00 0.45 (0.01) (0.43) -- 10.01
Class S
2004 (1) $ 10.23 $ 0.27 $ 0.19 $ (0.24) $ -- $ 10.45
2003 9.60 0.51 0.63 (0.51) -- 10.23
2002 10.01 0.56 (0.38) (0.58) (0.01) 9.60
2001 (2) (4) 9.93 0.01 0.07 -- -- 10.01
Class Y
2004 (1) $ 10.23 $ 0.25 $ 0.21 $ (0.25) $ -- $ 10.44
2003 9.59 0.54 0.64 (0.54) -- 10.23
2002 10.00 0.59 (0.39) (0.60) (0.01) 9.59
2001 (2) 10.03 0.75 0.33 (0.75) (0.36) 10.00
2000 (5) 10.00 0.49 0.02 (0.48) -- 10.03
</Table>
(1) For the six months ended March 31, 2004 (unaudited). All ratios for the
period have been annualized, except total return and portfolio turnover.
(2) Per share data calculated using average shares outstanding method.
(3) Class of shares has been offered since February 1, 1999. All ratios for the
period have been annualized, except total return and portfolio turnover.
The accompanying notes are an integral part of the financial statements.
46
<Page>
<Table>
<Caption>
RATIO OF RATIO OF NET
RATIO OF NET EXPENSES TO INVESTMENT
RATIO OF INVESTMENT AVERAGE INCOME
NET ASSETS EXPENSES TO INCOME NET ASSETS TO AVERAGE NET PORTFOLIO
TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING ASSETS (EXCLUDING TURNOVER
RETURN (6) PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- -----------------------------------------------------------------------------------------------------------------------------------
CORE BOND FUND
Class A
2004 (1) 2.67% $ 198,377 0.95% 3.36% 1.05% 3.26% 94%
2003 5.08 191,754 0.95 3.58 1.05 3.48 196
2002 5.77 122,354 0.95 4.93 1.03 4.85 115
2001 (2) 12.50 119,067 0.95 5.50 1.13 5.32 81
2000 6.33 110,490 0.95 5.76 1.14 5.57 54
1999 (2.67) 137,133 0.95 5.29 1.14 5.10 90
Class B
2004 (1) 2.28% $ 25,596 1.70% 2.61% 1.80% 2.51% 94%
2003 4.23 28,096 1.70 2.83 1.80 2.73 196
2002 5.12 16,741 1.70 4.17 1.78 4.09 115
2001 (2) 11.59 15,071 1.70 4.75 1.88 4.57 81
2000 5.70 11,550 1.70 5.02 1.89 4.83 54
1999 (3.48) 14,639 1.70 4.53 1.89 4.34 90
Class C
2004 (1) 2.27% $ 11,749 1.70% 2.61% 1.80% 2.51% 94%
2003 4.30 13,424 1.70 2.85 1.80 2.75 196
2002 5.02 9,672 1.70 4.18 1.78 4.10 115
2001 (2) 11.68 7,148 1.70 4.65 1.88 4.47 81
2000 5.50 566 1.70 5.02 1.89 4.83 54
1999 (3) (2.75) 719 1.35 5.09 1.89 4.55 90
Class S
2004 (1) 2.67% $ 14,758 0.95% 3.36% 1.05% 3.26% 94%
2003 5.08 39,236 0.95 3.58 1.05 3.48 196
2002 5.77 33,270 0.95 4.93 1.03 4.85 115
2001 (2) (4) 0.80 35,062 1.58 6.36 1.76 6.18 81
Class Y
2004 (1) 2.81% $ 1,881,969 0.70% 3.61% 0.80% 3.51% 94%
2003 5.34 1,955,909 0.70 3.83 0.80 3.73 196
2002 6.04 1,204,555 0.70 5.18 0.78 5.10 115
2001 (2) 12.76 1,368,812 0.70 5.76 0.88 5.58 81
2000 6.59 1,299,941 0.70 6.03 0.89 5.84 54
1999 (2.44) 1,239,900 0.70 5.57 0.89 5.38 90
CORPORATE BOND FUND
Class A
2004 (1) 4.55% $ 17,179 1.00% 4.63% 1.25% 4.38% 66%
2003 12.26 13,522 1.00 5.15 1.26 4.89 91
2002 1.83 8,663 1.00 5.77 1.27 5.50 117
2001 (2) 10.94 9,820 0.75 6.95 1.20 6.50 187
2000 (5) 5.17 771 0.72 7.52 1.24 7.00 124
Class B
2004 (1) 4.07% $ 12,588 1.75% 3.89% 2.00% 3.64% 66%
2003 11.46 13,576 1.75 4.46 2.01 4.20 91
2002 1.07 18,728 1.75 5.02 2.02 4.75 117
2001 (2) 10.06 22,608 1.65 6.45 2.11 5.99 187
2000 (5) 4.70 103 1.48 6.86 1.99 6.35 124
Class C
2004 (1) 4.08% $ 5,254 1.75% 3.89% 2.00% 3.64% 66%
2003 11.50 5,752 1.75 4.43 2.01 4.17 91
2002 0.98 5,283 1.75 5.02 2.02 4.75 117
2001 (2) 10.10 5,209 1.50 6.07 1.94 5.63 187
2000 (5) 4.54 143 1.48 6.79 1.99 6.28 124
Class S
2004 (1) 4.55% $ 381 1.00% 4.64% 1.25% 4.39% 66%
2003 12.25 2,668 1.00 5.21 1.26 4.95 91
2002 1.84 3,557 1.00 5.77 1.27 5.50 117
2001 (2) (4) 0.81 3,237 0.89 7.60 1.36 7.13 187
Class Y
2004 (1) 4.58% $ 255,129 0.75% 4.88% 1.00% 4.63% 66%
2003 12.65 245,877 0.75 5.42 1.01 5.16 91
2002 2.08 204,801 0.75 6.03 1.02 5.76 117
2001 (2) 11.09 185,392 0.51 7.26 0.95 6.82 187
2000 (5) 5.32 89,990 0.48 7.75 0.99 7.24 124
</Table>
(4) Class of shares has been offered since September 24, 2001. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(5) Commenced operations on February 1, 2000. All ratios for the period have
been annualized, except total return and portfolio turnover.
(6) Total return does not reflect sales charges. Total return would have been
lower had certain expenses not been waived.
47
<Page>
<Table>
<Caption>
REALIZED AND
NET ASSET UNREALIZED DIVIDENDS NET ASSET
VALUE NET GAINS FROM NET DISTRIBUTIONS VALUE
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM NET RETURN OF END OF
OF PERIOD INCOME INVESTMENTS INCOME REALIZED GAINS CAPITAL PERIOD
- ----------------------------------------------------------------------------------------------------------------------------------
HIGH INCOME BOND FUND (1)
Class A
2004 (2) $ 9.13 $ 0.34 $ 0.32 $ (0.34) $ -- $ -- $ 9.45
2003 (3) 7.90 0.68 1.24 (0.69) -- -- 9.13
2002 9.23 0.65 (1.21) (0.70) -- (0.07) 7.90
2001 (3) (4) 9.93 0.02 (0.68) (0.04) -- -- 9.23
Class B
2004 (2) $ 9.09 $ 0.30 $ 0.33 $ (0.31) $ -- $ -- $ 9.41
2003 (3) 7.87 0.61 1.24 (0.63) -- -- 9.09
2002 9.19 0.69 (1.31) (0.63) -- (0.07) 7.87
2001 (3) (4) 9.88 0.02 (0.67) (0.04) -- -- 9.19
Class C
2004 (2) $ 9.10 $ 0.30 $ 0.33 $ (0.31) $ -- $ -- $ 9.42
2003 (3) 7.89 0.61 1.23 (0.63) -- -- 9.10
2002 9.21 0.64 (1.27) (0.62) -- (0.07) 7.89
2001 (3) (4) 9.90 0.05 (0.70) (0.04) -- -- 9.21
Class S
2004 (2) $ 9.21 $ 0.34 $ 0.32 $ (0.34) $ -- $ -- $ 9.53
2003 (3) 7.98 0.71 1.22 (0.70) -- -- 9.21
2002 9.32 0.73 (1.30) (0.70) -- (0.07) 7.98
2001 (3) (5) 9.50 0.01 (0.19) -- -- -- 9.32
Class Y
2004 (2) $ 9.13 $ 0.35 $ 0.34 $ (0.36) $ -- $ -- $ 9.46
2003 (3) 7.92 0.69 1.24 (0.72) -- -- 9.13
2002 9.24 0.74 (1.28) (0.71) -- (0.07) 7.92
2001 (3) (4) 9.92 0.05 (0.69) (0.04) -- -- 9.24
INTERMEDIATE GOVERNMENT
BOND FUND
Class A
2004 (2) $ 10.01 $ 0.12 $ 0.02 $ (0.13) $ (1.03) $ -- $ 8.99
2003 (6) 10.00 0.32 0.02 (0.33) -- -- 10.01
Class Y
2004 (2) $ 10.01 $ 0.13 $ 0.01 $ (0.14) $ (1.03) $ -- $ 8.98
2003 (6) 10.00 0.34 0.01 (0.34) -- -- 10.01
INTERMEDIATE TERM
BOND FUND (7)
Class A
2004 (2) $ 10.46 $ 0.16 $ 0.07 $ (0.16) $ (0.11) $ -- $ 10.42
2003 10.35 0.39 0.12 (0.40) -- -- 10.46
2002 10.26 0.50 0.10 (0.50) -- (0.01) 10.35
2001 (3) (8) 9.70 0.54 0.55 (0.51) (0.02) -- 10.26
2000 (9) 9.68 0.58 0.02 (0.58) -- -- 9.70
1999 (9) 10.07 0.54 (0.38) (0.54) (0.01) -- 9.68
Class S
2004 (2) $ 10.46 $ 0.15 $ 0.08 $ (0.16) $ (0.11) $ -- $ 10.42
2003 10.35 0.40 0.11 (0.40) -- -- 10.46
2002 10.26 0.51 0.09 (0.50) -- (0.01) 10.35
2001 (3) (10) 9.78 0.48 0.53 (0.51) (0.02) -- 10.26
Class Y
2004 (2) $ 10.43 $ 0.16 $ 0.08 $ (0.17) $ (0.11) $ -- $ 10.39
2003 10.32 0.41 0.12 (0.42) -- -- 10.43
2002 10.23 0.52 0.10 (0.52) -- (0.01) 10.32
2001 (3) (8) 9.68 0.56 0.54 (0.53) (0.02) -- 10.23
2000 (9) 9.66 0.60 0.02 (0.60) -- -- 9.68
1999 (9) 10.04 0.56 (0.37) (0.56) (0.01) -- 9.66
</Table>
(1) The financial highlights for the High Income Bond Fund as set forth herein
include the historical financial highlights of the First American High
Yield Bond Fund Class A shares, Class B shares, Class C shares, Class S
shares, and Class Y shares. The assets of the First American High Yield
Bond Fund were acquired by High Income Bond Fund on March 14, 2003. In
connection with such acquisition, Class A shares, Class B shares, Class C
shares, Class S shares, and Class Y shares of the First American High Yield
Bond Fund were exchanged for Class A shares, Class B shares, Class C
shares, Class S shares, and Class Y shares of High Income Bond Fund,
respectively. Historical per-share amounts have been adjusted to reflect
the conversion ratios utilized for the merger of the High Income Bond Fund
and the First American High Yield Bond Fund.
(2) For the six months ended March 31, 2004 (unaudited). All ratios for the
period have been annualized, except total return and portfolio turnover.
(3) Per share data calculated using average shares outstanding method.
(4) Commenced operations on August 30, 2001. All ratios for the period have
been annualized, except total return and portfolio turnover.
(5) Class of shares has been offered since September 24, 2001. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(6) Commenced operations on October 25, 2002. All ratios for the period have
been annualized, except total return and portfolio turnover.
The accompanying notes are an integral part of the financial statements.
48
<Page>
<Table>
<Caption>
RATIO OF RATIO OF NET
RATIO OF NET EXPENSES TO INVESTMENT
RATIO OF INVESTMENT AVERAGE INCOME
NET ASSETS EXPENSES TO INCOME NET ASSETS TO AVERAGE NET PORTFOLIO
TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING ASSETS (EXCLUDING TURNOVER
RETURN (11) PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- -----------------------------------------------------------------------------------------------------------------------------------
HIGH INCOME BOND FUND (1)
Class A
2004 (2) 7.34% $ 42,774 1.00% 7.29% 1.25% 7.04% 30%
2003 (3) 25.30 42,013 1.06 7.72 1.24 7.54 122
2002 (6.66) 23,900 1.10 7.64 1.47 7.27 86
2001 (3) (4) (6.55) 161 1.10 6.53 1.33 6.30 53
Class B
2004 (2) 6.98% $ 9,524 1.75% 6.53% 2.00% 6.28% 30%
2003 (3) 24.33 8,939 1.81 7.00 1.99 6.82 122
2002 (7.26) 774 1.80 7.49 2.28 7.01 86
2001 (3) (4) (6.47) 40 1.77 6.02 2.02 5.77 53
Class C
2004 (2) 6.97% $ 20,441 1.75% 6.54% 2.00% 6.29% 30%
2003 (3) 24.14 19,685 1.80 7.01 1.98 6.83 122
2002 (7.34) 7,213 1.83 7.08 2.26 6.65 86
2001 (3) (4) (6.50) 3,749 1.94 5.53 2.21 5.26 53
Class S
2004 (2) 7.28% $ 407 1.00% 7.31% 1.25% 7.06% 30%
2003 (3) 25.11 777 1.00 7.86 1.18 7.68 122
2002 (6.66) 87 1.01 8.46 1.57 7.90 86
2001 (3) (5) (1.90) -- -- 1.23 -- 1.23 53
Class Y
2004 (2) 7.59% $ 214,561 0.75% 7.52% 1.00% 7.27% 30%
2003 (3) 25.29 179,416 0.83 7.97 1.01 7.79 122
2002 (6.33) 21,157 0.82 8.19 1.27 7.74 86
2001 (3) (4) (6.47) 8,308 0.96 6.06 1.23 5.79 53
INTERMEDIATE GOVERNMENT
BOND FUND
Class A
2004 (2) 1.65% $ 1,905 0.75% 2.61% 1.07% 2.29% 24%
2003 (6) 3.53 2,502 0.75 3.22 1.05 2.92 74
Class Y
2004 (2) 1.63% $ 181,952 0.60% 2.78% 0.82% 2.56% 24%
2003 (6) 3.64 334,869 0.60 3.68 0.80 3.48 74
INTERMEDIATE TERM
BOND FUND (7)
Class A
2004 (2) 2.24% $ 74,894 0.75% 3.00% 1.04% 2.71% 91%
2003 5.09 78,682 0.75 3.89 1.05 3.59 133
2002 6.11 65,291 0.75 4.96 1.02 4.69 40
2001 (3) (8) 11.46 61,225 0.85 5.62 0.96 5.51 30
2000 (9) 6.41 27,431 0.82 6.08 0.95 5.95 18
1999 (9) 1.66 33,779 0.81 5.47 0.95 5.33 64
Class S
2004 (2) 2.24% $ 9,589 0.75% 3.01% 1.04% 2.72% 91%
2003 5.09 12,273 0.75 3.89 1.05 3.59 133
2002 6.12 6,070 0.75 4.86 1.02 4.59 40
2001 (3) (10) 10.58 724 0.84 5.41 0.95 5.30 30
Class Y
2004 (2) 2.32% $ 1,338,544 0.60% 3.15% 0.79% 2.96% 91%
2003 5.25 1,296,529 0.60 4.05 0.80 3.85 133
2002 6.29 978,406 0.60 5.11 0.77 4.94 40
2001 (3) (8) 11.61 878,695 0.60 5.83 0.70 5.73 30
2000 (9) 6.67 408,708 0.57 6.33 0.70 6.20 18
1999 (9) 1.91 284,047 0.56 5.71 0.70 5.57 64
</Table>
(7) The financial highlights for the Intermediate Term Bond Fund as set forth
herein include the historical financial highlights of the Firstar
Intermediate Bond Fund Class A shares, Class Y shares, and Class I shares.
The assets of the Firstar Intermediate Bond Fund were acquired by
Intermediate Term Bond Fund on September 24, 2001. In connection with such
acquisition, Class A shares, Class Y shares, and Class I shares of the
Firstar Intermediate Bond Fund were exchanged for Class A shares, Class S
shares, and Class Y shares of Intermediate Term Bond Fund, respectively.
Historical per-share amounts have been adjusted to reflect the conversion
ratios utilized for the merger of the Intermediate Term Bond Fund and the
Firstar Intermediate Bond Fund.
(8) For the period November 1, 2000 to September 30, 2001. Effective in 2001,
the Fund's fiscal year end was changed from October 31 to September 30. All
ratios for the period have been annualized, except total return and
portfolio turnover.
(9) For the fiscal year ended October 31.
(10) Class of shares has been offered since November 27, 2000. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(11) Total return does not reflect sales charges. Total return would have been
lower had certain expenses not been waived.
49
<Page>
<Table>
<Caption>
REALIZED AND
NET ASSET UNREALIZED DIVIDENDS NET ASSET
VALUE NET GAINS FROM NET DISTRIBUTIONS VALUE
BEGINNING INVESTMENT (LOSSES) ON INVESTMENT FROM NET RETURN OF END OF
OF PERIOD INCOME INVESTMENTS INCOME REALIZED GAINS CAPITAL PERIOD
- ----------------------------------------------------------------------------------------------------------------------------------
SHORT TERM BOND FUND
Class A
2004 (1) (2) $ 10.26 $ 0.11 $ -- $ (0.12) $ -- $ -- $ 10.25
2003 10.29 0.28 (0.01) (0.30) -- -- 10.26
2002 10.27 0.42 0.04 (0.43) -- (0.01) 10.29
2001 (2) 9.91 0.61 0.40 (0.65) -- -- 10.27
2000 9.86 0.58 0.02 (0.55) -- -- 9.91
1999 10.04 0.52 (0.18) (0.52) -- -- 9.86
Class S
2004 (1) (2) $ 10.25 $ 0.11 $ (0.01) $ (0.12) $ -- $ -- $ 10.23
2003 10.29 0.28 (0.02) (0.30) -- -- 10.25
2002 10.27 0.42 0.04 (0.43) -- (0.01) 10.29
2001 (2) (3) 10.25 0.01 0.01 -- -- -- 10.27
Class Y
2004 (1) (2) $ 10.26 $ 0.11 $ 0.01 $ (0.12) $ -- $ -- $ 10.26
2003 10.30 0.30 (0.02) (0.32) -- -- 10.26
2002 10.27 0.43 0.05 (0.44) -- (0.01) 10.30
2001 (2) 9.91 0.63 0.39 (0.66) -- -- 10.27
2000 9.87 0.59 0.01 (0.56) -- -- 9.91
1999 10.04 0.52 (0.17) (0.52) -- -- 9.87
U.S. GOVERNMENT MORTGAGE
FUND (4)
Class A
2004 (1) (2) $ 10.89 $ 0.19 $ 0.03 $ (0.25) $ -- $ -- $ 10.86
2003 11.16 0.35 (0.05) (0.45) (0.12) -- 10.89
2002 11.01 0.50 0.20 (0.55) -- -- 11.16
2001 (2) (5) 10.44 0.51 0.60 (0.54) -- -- 11.01
2000 (6) 10.34 0.53 0.08 (0.51) -- -- 10.44
1999 (7) 10.74 0.54 (0.40) (0.54) -- -- 10.34
Class B
2004 (1) (2) $ 10.90 $ 0.15 $ 0.04 $ (0.21) $ -- $ -- $ 10.88
2003 11.18 0.28 (0.06) (0.38) (0.12) -- 10.90
2002 11.03 0.42 0.20 (0.47) -- -- 11.18
2001 (2) (5) 10.45 0.43 0.62 (0.47) -- -- 11.03
2000 (6) 10.36 0.45 0.08 (0.44) -- -- 10.45
1999 (7) 10.74 0.47 (0.38) (0.47) -- -- 10.36
Class C
2004 (1) (2) $ 10.84 $ 0.15 $ 0.04 $ (0.21) $ -- $ -- $ 10.82
2003 11.13 0.29 (0.08) (0.38) (0.12) -- 10.84
2002 11.00 0.46 0.15 (0.48) -- -- 11.13
2001 (2) (3) 10.98 0.05 (0.03) -- -- -- 11.00
Class S
2004 (1) (2) $ 10.85 $ 0.19 $ 0.04 $ (0.25) $ -- $ -- $ 10.83
2003 11.12 0.30 -- (0.45) (0.12) -- 10.85
2002 10.97 0.49 0.20 (0.54) -- -- 11.12
2001 (2) (5) 10.40 0.62 0.49 (0.54) -- -- 10.97
2000 (6) 10.31 0.53 0.07 (0.51) -- -- 10.40
1999 (7) 10.70 0.53 (0.38) (0.54) -- -- 10.31
Class Y
2004 (1) (2) $ 10.89 $ 0.21 $ 0.03 $ (0.26) $ -- $ -- $ 10.87
2003 11.16 0.37 (0.04) (0.48) (0.12) -- 10.89
2002 11.01 0.53 0.19 (0.57) -- -- 11.16
2001 (2) (5) 10.44 0.53 0.60 (0.56) -- -- 11.01
2000 (6) 10.34 0.55 0.08 (0.53) -- -- 10.44
1999 (7) 10.74 0.58 (0.41) (0.57) -- -- 10.34
</Table>
(1) For the six months ended March 31, 2004 (unaudited). All ratios for the
period have been annualized, except total return and portfolio turnover.
(2) Per share data calculated using average shares outstanding method.
(3) Class of shares has been offered since September 24, 2001. All ratios for
the period have been annualized, except total return and portfolio
turnover.
(4) The financial highlights for the U.S. Government Mortgage Fund as set forth
herein include the historical financial highlights of the Firstar U.S.
Government Securities Fund Class A shares, Class B shares, Class Y shares,
and Class I shares. The assets of the Firstar U.S. Government Securities
Fund were acquired by U.S. Government Mortgage Fund on September 24, 2001.
In connection with such acquisition, Class A shares, Class B shares, Class
Y shares, and Class I shares of the Firstar U.S. Government Securities Fund
were exchanged for Class A shares, Class B shares, Class S shares, and
Class Y shares of U.S. Government Mortgage Fund, respectively.
The accompanying notes are an integral part of the financial statements.
50
<Page>
<Table>
<Caption>
RATIO OF RATIO OF NET
RATIO OF NET EXPENSES TO INVESTMENT
RATIO OF INVESTMENT AVERAGE INCOME
NET ASSETS EXPENSES TO INCOME NET ASSETS TO AVERAGE NET PORTFOLIO
TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING ASSETS (EXCLUDING TURNOVER
RETURN (8) PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- -----------------------------------------------------------------------------------------------------------------------------------
SHORT TERM BOND FUND
Class A
2004 (1) (2) 1.05% $ 157,762 0.75% 2.05% 1.04% 1.76% 41%
2003 2.71 159,451 0.75 2.75 1.05 2.45 60
2002 4.59 163,358 0.75 4.06 1.04 3.77 59
2001 (2) 10.48 133,177 0.60 6.04 1.15 5.49 69
2000 6.30 80,992 0.60 6.12 1.13 5.59 95
1999 3.43 5,318 0.60 5.16 1.12 4.64 65
Class S
2004 (1) (2) 0.95% $ 2,003 0.75% 2.05% 1.04% 1.76% 41%
2003 2.61 8,710 0.75 2.68 1.05 2.38 60
2002 4.61 3,685 0.75 3.88 1.04 3.59 59
2001 (2) (3) 0.20 362 1.20 6.37 1.80 5.77 69
Class Y
2004 (1) (2) 1.22% $ 932,841 0.60% 2.20% 0.79% 2.01% 41%
2003 2.76 832,266 0.60 2.84 0.80 2.64 60
2002 4.85 484,583 0.60 4.18 0.79 3.99 59
2001 (2) 10.64 277,244 0.46 6.24 1.02 5.68 69
2000 6.29 92,092 0.51 5.94 0.98 5.47 95
1999 3.53 119,522 0.60 5.15 0.87 4.88 65
U.S. GOVERNMENT MORTGAGE
FUND (4)
Class A
2004 (1) (2) 2.04% $ 34,896 0.95% 3.56% 1.05% 3.46% 52%
2003 2.79 24,667 0.95 2.98 1.06 2.87 175
2002 6.53 16,985 0.95 4.61 1.08 4.48 197
2001 (2) (5) 10.88 7,751 1.04 5.15 1.19 5.00 22
2000 (6) 6.05 3,644 1.04 5.36 1.15 5.25 23
1999 (7) 1.37 4,620 0.98 5.15 1.09 5.04 26
Class B
2004 (1) (2) 1.72% $ 10,264 1.70% 2.82% 1.80% 2.72% 52%
2003 1.96 11,397 1.70 2.22 1.81 2.11 175
2002 5.79 6,235 1.70 3.85 1.83 3.72 197
2001 (2) (5) 10.25 2,039 1.71 4.37 1.86 4.22 22
2000 (6) 5.27 139 1.74 4.66 1.85 4.55 23
1999 (7) 0.86 282 1.68 4.47 1.79 4.36 26
Class C
2004 (1) (2) 1.74% $ 16,156 1.70% 2.81% 1.80% 2.71% 52%
2003 1.91 18,801 1.70 2.19 1.81 2.08 175
2002 5.78 5,834 1.70 3.92 1.83 3.79 197
2001 (2) (3) 0.18 105 0.82 5.26 1.12 4.96 22
Class S
2004 (1) (2) 2.14% $ 3,158 0.95% 3.57% 1.05% 3.47% 52%
2003 2.79 17,296 0.95 3.04 1.06 2.93 175
2002 6.55 21,355 0.95 4.59 1.08 4.46 197
2001 (2) (5) 10.94 19,092 0.97 6.52 1.15 6.34 22
2000 (6) 5.96 5,145 1.04 5.36 1.15 5.25 23
1999 (7) 1.45 8,584 0.98 5.17 1.09 5.06 26
Class Y
2004 (1) (2) 2.27% $ 215,690 0.70% 3.81% 0.80% 3.71% 52%
2003 3.03 214,531 0.70 3.27 0.81 3.16 175
2002 6.79 181,046 0.70 4.84 0.83 4.71 197
2001 (2) (5) 11.14 183,883 0.71 5.37 0.85 5.23 22
2000 (6) 6.34 53,896 0.74 5.66 1.15 5.25 23
1999 (7) 1.67 72,483 0.68 5.45 1.09 5.04 26
</Table>
(5) For the period November 1, 2000 to September 30, 2001. Effective in 2001,
the Fund's fiscal year end was changed from October 31 to September 30. All
ratios for the period have been annualized, except total return and
portfolio turnover.
(6) For the period December 1, 1999 to October 31, 2000. Effective in 2000, the
Fund's fiscal year end was changed from November 30 to October 31. All
ratios for the period have been annualized, except total return and
portfolio turnover.
(7) For the fiscal year ended November 30.
(8) Total return does not reflect sales charges. Total return would have been
lower had certain expenses not been waived.
51
<Page>
NOTES TO FINANCIAL STATEMENTS March 31, 2004 (unaudited)
1 > Organization
The First American Core Bond Fund, Corporate Bond Fund, High Income Bond
Fund, Intermediate Government Bond Fund, Intermediate Term Bond Fund, Short
Term Bond Fund, and U.S. Government Mortgage Fund (each a "Fund" and
collectively, the "Funds") are mutual funds offered by First American
Investment Funds, Inc. ("FAIF"), which is a member of First American Family
of Funds. FAIF currently offers 37 funds, including the Funds included in
this report. FAIF is registered under the Investment Company Act of 1940, as
amended, as an open-end management investment company. FAIF's articles of
incorporation permit the Funds' board of directors to create additional
funds in the future.
FAIF offers Class A, Class B, Class C, Class S, and Class Y shares. Class A
shares of Intermediate Government Bond Fund, Intermediate Term Bond Fund,
and Short Term Bond Fund are sold with a front-end sales charge of 2.25%.
Class A shares of Core Bond Fund, Corporate Bond Fund, High Income Bond
Fund, and U.S. Government Mortgage Fund are sold with a front-end sales
charge of 4.25%. Class B shares are subject to a contingent deferred sales
charge for six years and automatically convert to Class A shares after eight
years. Class C shares are sold with a front-end sales charge of 1.00%, are
subject to a contingent deferred sales charge for 18 months, and will not
convert to Class A shares. Class S and Class Y shares have no sales charge
and are offered only to qualifying institutional investors and certain other
qualifying accounts. Class B and Class C shares are not offered by the
Intermediate Government Bond Fund, Intermediate Term Bond Fund, or Short
Term Bond Fund. Class S shares are not offered by the Intermediate
Government Bond Fund.
The Funds' prospectuses provide descriptions of each Fund's investment
objective, policies, and strategies. Each Fund is a diversified fund. All
classes of shares in a Fund have identical voting, dividend, liquidation,
and other rights, and the same terms and conditions, except that the level
of distribution and shareholder servicing fees charged may differ among
classes and each class has exclusive voting rights on any matters relating
to that class' servicing or distribution arrangements.
2 > Summary of Significant Accounting Policies
The significant accounting policies followed by the Funds are as follows:
SECURITY VALUATIONS - Security valuations for the Funds' investments are
furnished by independent pricing services that have been approved by the
Funds' board of directors. Investments in equity securities that are traded
on a national securities exchange (or reported on the Nasdaq national market
system) are stated at the last quoted sales price if readily available for
such securities on each business day. For securities traded on the Nasdaq
national market system, the Funds utilize the Nasdaq Official Closing Price
which compares the last trade to the bid/ask range of a security. If the
last trade falls within the bid/ask range, then that price will be the
closing price. If the last trade is outside the bid/ask range, and falls
above the ask, the ask price will be the closing price. If the last price is
below the bid, the bid will be the closing price. Other equity securities
traded in the over-the-counter market and listed equity securities for which
no sale was reported on that date are stated at the last quoted bid price.
Debt obligations exceeding 60 days to maturity are valued by an independent
pricing service. The pricing service may employ methodologies that utilize
actual market transactions, broker-dealer supplied valuations, or other
formula driven valuation techniques. These techniques generally consider
such factors as yields or prices of bonds of comparable quality, type of
issue, coupon, maturity, ratings, and general market conditions. Securities
for which prices are not available from an independent pricing service, but
where an active market exists, are valued using market quotations obtained
from one or more dealers that make markets in the securities or from a
widely used quotation system. When market quotations are not readily
available, securities are valued at fair value as determined in good faith
by procedures established and approved by the Funds' board of directors.
Some of the factors which may be considered by the board of directors in
determining fair value are fundamental analytical data relating to the
investment; the nature and duration of any restrictions on disposition;
trading in similar securities of the same issuer or comparable companies;
information from broker-dealers; and an evaluation of the forces that
influence the market in which the securities are purchased and sold. If
events occur that materially affect the value of securities (including
non-U.S. securities) between the close of trading in those securities and
the close of regular trading on the New York Stock Exchange, the securities
will be valued at
52
<Page>
fair value. As of March 31, 2004, Core Bond Fund, High Income Bond Fund, and
Short Term Bond Fund held fair value securities with a value of $146,545,
$0, and $0 or 0.0%, 0.0%, and 0.0% of total net assets, respectively. Debt
obligations with 60 days or less remaining until maturity may be valued at
their amortized cost, which approximates market value. Foreign securities
are valued at the closing prices on the principal exchanges on which they
trade. The prices for foreign securities are reported in local currency and
converted to U.S. dollars using currency exchange rates. Exchange rates are
provided daily by recognized independent pricing agents. Investments in
open-end mutual funds are valued at the respective net asset value of each
underlying fund, determined at the close of the New York Stock Exchange
(generally 3:00 p.m. Central time) on the valuation date.
SECURITY TRANSACTIONS AND INVESTMENT INCOME - The Funds record security
transactions on the trade date of the security purchase or sale. Dividend
income is recorded on the ex-dividend date. Interest income, including
amortization of bond premium and discount, is recorded on an accrual basis.
Security gains and losses are determined on the basis of identified cost,
which is the same basis used for federal income tax purposes.
DISTRIBUTIONS TO SHAREHOLDERS - Distributions from net investment income are
declared and paid on a monthly basis. Any net realized capital gains on
sales of securities for a Fund are distributed to shareholders at least
annually.
EXPENSES - Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating expenses are allocated to the
Funds on the basis of relative net assets of all Funds within the First
American Fund complex. Class specific expenses, such as 12b-1 fees, are
borne by that class. Income, other expenses, and realized and unrealized
gains and losses of a Fund are allocated to each respective class in
proportion to the relative net assets of each class.
FEDERAL TAXES - Each Fund is treated as a separate taxable entity. Each Fund
intends to continue to qualify as a regulated investment company as provided
in Subchapter M of the Internal Revenue Code, as amended, and to distribute
all taxable income, if any, to its shareholders. Accordingly, no provision
for federal income taxes is required.
Net investment income and net realized gains (losses) may differ for
financial statement and tax purposes because of temporary or permanent
book/tax differences. These differences are primarily due to losses deferred
due to wash sales, paydowns on pass through obligations, expiring capital
loss carryforwards, and tax mark to market adjustments under Section 311(e)
of the Taxpayer Relief Act of 1997. To the extent these differences are
permanent, reclassifications are made to the appropriate equity accounts in
the period that the difference arises.
The characterization of distributions made during the year from net
investment income or net realized gains may differ from its ultimate
characterization for federal income tax purposes. In addition, due to the
timing of dividend distributions, the fiscal year in which the amounts are
distributed may differ from the year that the income or realized gains
(losses) were recorded by the Fund. The distributions paid during the six
months ended March 31, 2004 (estimated) and the fiscal year ended September
30, 2003, were characterized as follows (000):
<Table>
<Caption>
2004
-------------------------------------------------------------------------
ORDINARY LONG TERM
FUND INCOME GAIN TOTAL
-------------------------------------------------------------------------
Core Bond Fund $ 41,526 $ 32,707 $ 74,233
Corporate Bond Fund 6,800 -- 6,800
High Income Bond Fund 10,303 -- 10,303
Intermediate Government Bond Fund 3,515 29,702 33,217
Intermediate Term Bond Fund 22,197 14,777 36,974
Short Term Bond Fund 12,748 -- 12,748
U.S. Government Mortgage Fund 6,715 -- 6,715
</Table>
<Table>
<Caption>
2003
-------------------------------------------------------------------------
ORDINARY LONG TERM
FUND INCOME GAIN TOTAL
-------------------------------------------------------------------------
Core Bond Fund $ 77,933 $ -- $ 77,933
Corporate Bond Fund 14,162 -- 14,162
High Income Bond Fund 15,787 -- 15,787
Intermediate Government Bond Fund 15,162 535 15,697
Intermediate Term Bond Fund 53,813 14 53,827
Short Term Bond Fund 26,979 -- 26,979
U.S. Government Mortgage Fund 11,426 2,379 13,805
</Table>
53
<Page>
As of September 30, 2003, the Funds' most recently completed fiscal year
end, the components of accumulated earnings (deficit) on a tax basis were
(000):
<Table>
<Caption>
ACCUMULATED
UNDISTRIBUTED UNDISTRIBUTED CAPITAL AND TOTAL
ORDINARY LONG TERM POST-OCTOBER UNREALIZED ACCUMULATED
FUND INCOME CAPITAL GAINS LOSSES APPRECIATION EARNINGS (DEFICIT)
-----------------------------------------------------------------------------------------------------------------------------
Core Bond Fund $ 986 $ 27,145 $ -- $ 42,548 $ 70,679
Corporate Bond Fund 9 -- (31,147) 11,186 (19,952)
High Income Bond Fund 278 -- (30,879) 15,289 (15,312)
Intermediate Government Bond Fun 2,093 26,827 -- 11,031 39,951
Intermediate Term Bond Fund -- 11,348 (1,330) 38,882 48,900
Short Term Bond Fund 24 -- (3,913) 12,025 8,136
U.S. Government Mortgage Fund 285 -- (3,057) 4,706 1,934
</Table>
The difference between book and tax basis unrealized appreciation is
primarily due to the tax deferral of losses on wash sales and tax mark to
market adjustments made under Section 311(e) of the Taxpayer Relief Act of
1997.
As of September 30, 2003, the Funds' most recently completed fiscal year
end, the following Funds had capital loss carryforwards (000):
<Table>
<Caption>
EXPIRATION YEAR 2004 2005 2006 2007 2008 2009 2010 2011 TOTAL
------------------------------------------------------------------------------------------------------------------------
FUND
------------------------------------------------------------------------------------------------------------------------
Corporate Bond Fund $ -- $ 918 $ 19,082 $ 7,438 $ -- $ -- $ -- $ 3,709 $ 31,147
High Income Bond Fund -- -- -- 2,698 361 8,420 9,698 9,495 30,672
Intermediate Term Bond Fund 1,062 -- -- -- 268 -- -- -- 1,330
Short Term Bond Fund 2,527 -- 604 637 145 -- -- -- 3,913
</Table>
In accordance with Section 382 of the Internal Revenue Code, utilization of
all or a portion of the capital loss carryovers on this page is limited on
an annual basis for the Corporate Bond Fund and High Income Bond Fund in the
amount of $6,352,310 and $4,675,368, respectively, per tax year for a
portion of their capital loss carryover.
Certain Funds incurred a loss for tax purposes for the period from November
1, 2002 to September 30, 2003. As permitted by tax regulations, the Funds
intend to elect to defer and treat these losses as arising in the fiscal
year ending September 30, 2004. The following Funds had deferred losses
(000):
<Table>
<Caption>
FUND AMOUNT
--------------------------------------------------
High Income Bond Fund $ 208
U.S. Government Securities Fund 3,057
</Table>
FUTURES TRANSACTIONS - In order to protect against changes in interest
rates, each Fund may enter into interest rate futures. Upon entering into a
futures contract, the Fund is required to deposit cash or pledge U.S.
government securities in an amount equal to 5% of the purchase price
indicated in the futures contract (initial margin). Subsequent payments,
which are dependent on the daily fluctuations in the value of the underlying
security or securities, are made or received by the Fund each day (daily
variation margin) and are recorded as unrealized gains (losses) until the
contract is closed. When the contract is closed, the Fund records a realized
gain (loss) equal to the difference between the proceeds from (or cost of)
the closing transaction and the Fund's basis in the contract.
Risks of entering into futures contracts, in general, include the
possibility that there will not be a perfect price correlation between the
futures contracts and the underlying securities. Second, it is possible that
a lack of liquidity for futures contracts could exist in the secondary
market, resulting in an inability to close a futures position prior to its
maturity date. Third, the purchase of a futures contract involves the risk
that a fund could lose more than the original margin deposit required to
initiate a futures transaction. Unrealized gains (losses) on outstanding
positions in futures contracts held at the close of the year will be
recognized as capital gains (losses) for federal income tax purposes.
54
<Page>
As of March 31, 2004, open futures contracts were as follows (000):
<Table>
<Caption>
MARKET VALUE
NUMBER OF COVERED BY SETTLEMENT UNREALIZED
ISSUER CONTRACTS CONTRACTS MONTH GAIN (LOSS)
- ----------------------------------------------------------------------------------------------------------------------
CORE BOND FUND
10 year U.S. Treasury Futures (690) $ (78,186) June-04 $ (1,456)
------------
10 year U.S. Treasury Futures (170) (8,078) June-04 (21)
------------
CORPORATE BOND FUND
10 year U.S. Treasury Futures 85 $ 9,695 June-04 $ 222
------------
10 year U.S. Treasury Futures (255) (29,429) June-04 (503)
------------
10 year U.S. Treasury Futures (50) (5,666) June-04 (108)
------------
INTERMEDIATE GOVERNMENT BOND FUND
10 year U.S. Treasury Futures 70 $ 8,078 June-04 $ 125
------------
10 year U.S. Treasury Futures (70) (7,932) June-04 (146)
------------
INTERMEDIATE TERM BOND FUND
10 year U.S. Treasury Futures 125 $ 14,426 June-04 $ 303
------------
10 year U.S. Treasury Futures (290) (32,861) June-04 (610)
------------
U.S. GOVERNMENT MORTGAGE FUND
10 year U.S. Treasury Futures (35) $ (4,039) June-04 $ (10)
------------
10 year U.S. Treasury Futures (60) (6,799) June-04 (139)
------------
</Table>
OPTIONS TRANSACTIONS - Each Fund may utilize options in an attempt to manage
market or business risk or enhance the Fund's yield. When a call or put option
is written, an amount equal to the premium received is recorded as a liability.
The liability is marked-to-market daily to reflect the current market value of
the option written. When a written option expires, a gain is realized in the
amount of the premium originally received. If a closing purchase contract is
entered into, a gain or loss is realized in the amount of the original premium
less the cost of the closing transaction. If a written call is exercised, a gain
or loss is realized from the sale of the underlying security, and the proceeds
from such sale are increased by the premium originally received. If a written
put option is exercised, the amount of the premium originally received reduces
the cost of the security that is purchased upon exercise of the option.
Purchased options are recorded as investments and marked-to-market daily to
reflect the current market value of the option contract. If a purchased option
expires, a loss is realized in the amount of the cost of the option. If a
closing transaction is entered into, a gain or loss is realized, to the extent
that the proceeds from the sale are greater or less than the cost of the option.
If a put option is exercised, a gain or loss is realized from the sale of the
underlying security by adjusting the proceeds from such sale by the amount of
the premium originally paid. If a call option is exercised, the cost of the
security purchased upon exercise is increased by the premium originally paid.
55
<Page>
The following written options were outstanding as of March 31, 2004 (000):
PUT OPTIONS WRITTEN
<Table>
<Caption>
EXPIRATION EXERCISE NUMBER OF
ISSUER DATE PRICE CONTRACTS VALUE
- ----------------------------------------------------------------------------------------------------------------------
CORE BOND FUND
90 Day Eurodollar June 05 Futures June-04 $ 98.75 170 $ 13
90 Day Eurodollar September 05 Futures Sept-04 98.50 450 93
------------
Total put options outstanding (premiums received $231) $ 106
------------
CORPORATE BOND FUND
90 Day Eurodollar June 05 Futures June-04 $ 98.75 20 $ 2
90 Day Eurodollar September 05 Futures Sept-04 98.50 60 12
------------
Total put options outstanding (premiums received $30) $ 14
------------
INTERMEDIATE GOVERNMENT BOND FUND
90 Day Eurodollar June 05 Futures June-04 $ 98.75 15 $ 1
90 Day Eurodollar September 05 Futures Sept-04 98.50 40 8
------------
Total put options outstanding (premiums received $20) $ 9
------------
INTERMEDIATE TERM BOND FUND
90 Day Eurodollar June 05 Futures June-04 $ 98.75 115 $ 9
90 Day Eurodollar September 05 Futures Sept-04 98.50 300 62
------------
Total put options outstanding (premiums received $155) $ 71
------------
SHORT TERM BOND FUND
90 Day Eurodollar September 05 Futures Sept-04 $ 98.50 250 $ 51
------------
Total put options outstanding (premiums received $49) $ 51
------------
U.S. GOVERNMENT MORTGAGE FUND
90 Day Eurodollar June 05 Futures June-04 $ 98.75 25 $ 2
90 Day Eurodollar September 05 Futures Sept-04 98.50 60 12
------------
Total put options outstanding (premiums received $31) $ 14
------------
</Table>
56
<Page>
Transactions in written options for the six months ended March 31, 2004, were as
follows (000):
<Table>
<Caption>
PUT OPTIONS WRITTEN CALL OPTIONS WRITTEN
NUMBER OF PREMIUM NUMBER OF PREMIUM
ISSUER CONTRACTS AMOUNT CONTRACTS AMOUNT
- -------------------------------------------------------------------------------------------------
CORE BOND FUND
Balance at September 30, 2003 300 $ 182 600 $ 366
Opened 1,270 654 900 566
Expired (950) (605) (600) (380)
Closed -- -- (900) (552)
---------- ---------- ---------- ----------
Balance at March 31, 2004 620 $ 231 -- $ --
---------- ---------- ---------- ----------
CORPORATE BOND FUND
Balance at September 30, 2003 -- $ -- -- $ --
Opened 80 30 -- --
---------- ---------- ---------- ----------
Balance at March 31, 2004 80 $ 30 -- $ --
---------- ---------- ---------- ----------
INTERMEDIATE GOVERNMENT BOND FUND
Balance at September 30, 2003 45 $ 27 90 $ 55
Opened 151 83 134 84
Expired (141) (90) (89) (56)
Closed -- -- (135) (83)
---------- ---------- ---------- ----------
Balance at March 31, 2004 55 $ 20 -- $ --
---------- ---------- ---------- ----------
INTERMEDIATE TERM BOND FUND
Balance at September 30, 2003 180 $ 109 360 $ 219
Opened 805 409 540 340
Expired (570) (363) (360) (228)
Closed -- -- (540) (331)
---------- ---------- ---------- ----------
Balance at March 31, 2004 415 $ 155 -- $ --
---------- ---------- ---------- ----------
SHORT TERM BOND FUND
Balance at September 30, 2003 -- $ -- -- $ --
Opened 250 49 -- --
---------- ---------- ---------- ----------
Balance at March 31, 2004 250 $ 49 -- $ --
---------- ---------- ---------- ----------
U.S. GOVERNMENT MORTGAGE FUND
Balance at September 30, 2003 35 $ 21 70 $ 43
Opened 165 83 106 67
Expired (115) (73) (71) (45)
Closed -- -- (105) (65)
---------- ---------- ---------- ----------
Balance at March 31, 2004 85 $ 31 -- $ --
---------- ---------- ---------- ----------
</Table>
57
<Page>
FOREIGN CURRENCY TRANSLATION - The books and records of the High Income Bond
Fund relating to the Fund's non-U.S. dollar denominated investments are
maintained in U.S. dollars on the following basis:
- market value of investment securities, assets, and liabilities are
translated at the current rate of exchange; and
- purchases and sales of investment securities, income, and expenses at
the relevant rates of exchange prevailing on the respective dates of
such transactions.
The High Income Bond Fund does not isolate the portion of gains and losses
on investments in debt securities that is due to changes in the foreign
exchange rates from that which is due to changes in market prices of debt
securities. The High Income Bond Fund does isolate the effect of
fluctuations in foreign currency rates when determining the gain or loss
upon sale or maturity of foreign currency denominated debt obligations
pursuant to the federal income tax regulations. Such amounts are categorized
as foreign currency gain or loss for both financial reporting and income tax
reporting purposes.
The High Income Bond Fund reports certain foreign currency-related
transactions as components of realized gains for financial reporting
purposes, whereas such components are treated as ordinary income for federal
income tax purposes.
SECURITIES PURCHASED ON A WHEN-ISSUED BASIS - Delivery and payment for
securities that have been purchased by a Fund on a forward-commitment or
when-issued basis can take place up to a month or more after the transaction
date. During this period, such securities are subject to market fluctuations
and the portfolio maintains, in a segregated account with its custodian,
assets with a market value equal to or greater than the amount of its
purchase commitments. The purchase of securities on a when-issued or
forward-commitment basis may increase the volatility of the Fund's net asset
value if the Fund makes such purchases while remaining substantially fully
invested. At March 31, 2004, the following Funds had outstanding when-issued
commitments (000):
<Table>
<Caption>
SEGREGATED
FUND COST ASSETS
----------------------------------------------------------------------
Core Bond Fund $ 82,842 $ 245,354
Short Term Bond Fund 8,040 17,560
U.S. Government Mortgage Fund 31,964 44,934
</Table>
In connection with the ability to purchase securities on a when-issued
basis, each Fund may also enter into dollar rolls in which the Fund sells
securities purchased on a forward-commitment basis and simultaneously
contracts with a counterparty to repurchase similar (same type, coupon, and
maturity) but not identical securities on a specified future date. Dollar
rolls are considered a form of leverage.
ILLIQUID SECURITIES AND RESTRICTED SECURITIES - At March 31, 2004,
investments in securities in the Core Bond Fund, High Income Bond Fund,
Intermediate Government Bond Fund, Intermediate Term Bond Fund, Short Term
Bond Fund, and U.S. Government Mortgage Fund included issues that are
illiquid. A security may be considered illiquid if it lacks a readily
available market or if its valuation has not changed for a certain period of
time. Each Fund intends to invest no more than 15% of its net assets
(determined at the time of purchase and reviewed periodically) in illiquid
securities.
Certain restricted securities may be considered illiquid. Restricted
securities are often purchased in private placement transactions, are not
registered under the Securities Act of 1933, may have contractual
restrictions on resale, and may be valued under methods approved by the
Funds' board of directors as reflecting fair value. Certain restricted
securities eligible for resale to qualified institutional investors,
including Rule 144A securities, are not subject to the limitation on a
Funds' investment in illiquid securities if they are determined to be liquid
in accordance with procedures adopted by the Fund's board of directors.
At March 31, 2004, the aggregate value of illiquid securities subject to the
limitation on investment was as follows (000):
<Table>
<Caption>
PERCENTAGE OF
FUND VALUE NET ASSETS
------------------------------------------------------------------------
Core Bond Fund $ 20,466 1.0%
High Income Bond Fund -- 0.0
Intermediate Government Bond Fund 1,946 1.1
Intermediate Term Bond Fund 13,548 0.1
Short Term Bond Fund 19,852 1.8
U.S. Government Mortgage Fund 939 0.3
</Table>
58
<Page>
Information concerning illiquid securities, including restricted securities
considered to be illiquid, is as follows (000):
CORE BOND FUND
<Table>
<Caption>
DATES
SECURITY PAR ACQUIRED COST BASIS
---------------------------------------------------------------------------------------
Duty Free International $ 2,442 1/99-7/99 $ 2,438
GRP/AG Real Estate Asset Trust* 2,914 2/04 2,914
GRP/AG Real Estate Asset Trust* 2,341 6/03 2,340
Sequoia Mortgage Trust 15,068 3/04 15,068
</Table>
HIGH INCOME BOND FUND
<Table>
<Caption>
DATES
SECURITY SHARES/PAR ACQUIRED COST BASIS
---------------------------------------------------------------------------------------
AT&T Canada $ 100 1/98 $ --
Diamond Brands Operating 50 4/98 50
Enitel Asa 1,000 7/00 --
Glenoit 100 3/97-8/97 101
Pegasus Communications
Fractional Shares -- 1/03 --
Sterling Chemical Holdings 100 10/96 3
UIH Australia Pacific 150 12/97 --
Viatel 75 9/02 --
</Table>
INTERMEDIATE GOVERNMENT BOND FUND
<Table>
<Caption>
DATE
SECURITY PAR ACQUIRED COST BASIS
---------------------------------------------------------------------------------------
FHLMC Series H013, Cl A3 $ 1,950 2/04 $ 1,942
</Table>
INTERMEDIATE TERM BOND FUND
<Table>
<Caption>
DATES
SECURITY PAR ACQUIRED COST BASIS
---------------------------------------------------------------------------------------
GRP/AG Real Estate Asset Trust* $ 1,170 6/03 $ 1,170
GRP/AG Real Estate Asset Trust* 1,974 2/04 1,974
Sequoia Mortgage Trust 10,405 3/04 10,405
</Table>
SHORT TERM BOND FUND
<Table>
<Caption>
DATES
SECURITY PAR ACQUIRED COST BASIS
---------------------------------------------------------------------------------------
Auto Bond Receivables Trust $ 106 11/98-11/00 $ 106
GMAC Mortgage Corporation Loan Trust 4,850 3/04 4,850
LB-UBS Commercial Mortgage Trust 8,000 3/04 8,040
Providian Gateway Master Trust* 7,000 3/04 7,000
</Table>
U.S. GOVERNMENT MORTGAGE FUND
<Table>
<Caption>
DATE
SECURITY PAR ACQUIRED COST BASIS
---------------------------------------------------------------------------------------
GRP/AG Real Estate Asset Trust* $ 940 2/04 $ 940
</Table>
* This is a Rule 144A security that has been deemed illiquid. Due to the
lack of an available price from an independent pricing service, the
security is priced through an independent broker.
The following restricted securities, including Rule 144A securities, have
been determined to be liquid under the guidelines established by the Funds'
board of directors (000):
CORE BOND FUND
<Table>
<Caption>
DATES
SECURITY PAR ACQUIRED COST BASIS VALUE
------------------------------------------------------------------------------------------------
Halliburton $ 6,160 11/03 $ 6,253 $ 6,517
Miller Brewing 2,655 8/03 2,634 2,823
MLCC Mortgage Investors 5,324 12/03 5,480 5,450
William Street Funding
Corporation 23,000 11/03 22,980 22,990
</Table>
CORPORATE BOND FUND
<Table>
<Caption>
DATES
SECURITY PAR ACQUIRED COST BASIS VALUE
------------------------------------------------------------------------------------------------
Cablevision Systems $ 980 3/04 $ 980 $ 979
Case New Holland 495 7/03 488 559
CBA Capital Trust I 985 7/03 985 1,043
Heritage Property Investment Trust 1,000 3/04 991 997
Highmark 985 8/03 983 1,105
HSBC Capital Funding 1,190 11/02 1,441 1,545
Indianapolis Power & Light 985 1/04 985 1,048
Miller Brewing 645 8/03 640 686
MLCC Mortgage Investors 2,955 12/03 3,041 3,025
Plains All American Pipeline 985 12/03 982 1,030
PPL Capital Funding 2,000 2/04 2,000 2,026
SOC General Real Estate 1,465 1/02 1,512 1,684
Tyco International 980 11/03 976 1,038
Zurich Capital Trust 985 7/98 1,079 1,155
------------------------------------------------------------------------------------------------
</Table>
HIGH INCOME BOND FUND
<Table>
<Caption>
DATES
SECURITY PAR ACQUIRED COST BASIS VALUE
------------------------------------------------------------------------------------------------
AES $ 1,000 10/03 $ 1,059 $ 1,098
Allegheny Energy Supply 3,000 12/02-12/03 2,575 2,985
Allied Waste North America 1,000 1/04 1,000 967
Alpharma 500 4/03 511 525
AMC Entertainment 1,000 2/03 479 995
American Tower 250 1/04 250 238
Amkor Technologies 750 3/04 751 748
Amsted Industries 800 8/03 800 904
Bombardier Recreational Products 500 12/03 507 515
Cablevision Systems 2,000 3/04 1,130 1,997
Calpine 500 8/03 452 454
Case New Holland 1,000 7/03 986 1,130
CCO Holdings 1,000 11/03 993 1,030
Charter Communication Holdings 1,000 3/04 1,045 1,035
CIA Siderurgica Paulista 1,000 1/04 992 986
Dex Media 1,000 11/03 598 638
Dex Media West 500 8/03 500 555
Dynegy Holdings 1,000 8/03 1,019 1,095
Elizabeth Arden 500 1/04 510 520
IMAX 500 3/04 530 520
Inn of the Mountain Gods 500 12/03 516 541
Invensys 500 2/04 491 515
Isle of Capri Casinos 1,000 2/04 1,002 1,003
J. Ray McDermott 1,000 11/03-1/04 1,030 950
KB Home 500 2/04 475 496
Laidlaw International 750 5/03 740 840
</Table>
59
<Page>
<Table>
<Caption>
DATES
SECURITY PAR ACQUIRED COST BASIS VALUE
------------------------------------------------------------------------------------------------
L-3 Communications $ 500 12/03 $ 491 $ 514
Millar Western Forest 750 11/03 760 795
Nalco 1,000 10/03-11/03 1,019 1,040
Nalco Financial Holdings 1,000 3/04 594 595
North Atlantic Trading 500 2/04 500 510
Oxford Industries 500 5/03 504 536
Petro Stopping Center 600 1/04 600 612
PG&E 1,000 6/03-8/03 1,004 1,089
Prestige Brands 1,000 3/04 1,000 1,000
Qwest 2,000 10/02-12/03 2,061 2,270
Qwest Services 1,000 12/03 1,172 1,150
Qwest Services 2,000 1/03-5/03 2,162 2,320
R. H. Donnelley Finance 1,000 11/03-2/04 1,068 1,195
River Rock Entertainment 500 11/03-1/04 522 540
Sealy Mattress 1,250 3/04 1,250 1,250
Seminis Vegetable Seeds 500 9/03-3/04 522 552
Sensus Metering Systems 250 12/03 250 247
Sierra Pacific Resources 500 3/04 500 515
Simmons 600 11/03-12/03 598 600
Solo Cup 1,000 2/04 1,010 1,030
Telemig Celular/Amazonia Celular 500 1/04 498 484
Terex 500 11/03 496 535
Triad Hospitals 1,000 12/03 1,006 1,025
United Rentals North America 1,000 1/04 1,000 990
United Rentals North America 750 1/04 750 705
</Table>
INTERMEDIATE TERM BOND FUND
<Table>
<Caption>
DATES
SECURITY PAR ACQUIRED COST BASIS VALUE
------------------------------------------------------------------------------------------------
Exelon Generation $ 3,935 12/03 $ 3,934 $ 4,074
Halliburton 4,030 10/03-11/03 4,046 4,263
MBNA America Bank 5,075 2/03 5,426 5,703
Miller Brewing 2,535 8/03 2,526 2,627
MLCC Mortgage Investors 4,728 12/03 4,866 4,840
Morgan Stanley 14,532 10/03 11,628 16,542
</Table>
SHORT TERM BOND FUND
<Table>
<Caption>
DATES
SECURITY PAR ACQUIRED COST BASIS VALUE
------------------------------------------------------------------------------------------------
AESOP Funding II $ 10,000 2/03 $ 10,000 $ 10,139
Alcan 2,000 12/03 2,000 2,000
Credit Suisse First Boston 7,350 05/01-10/02 7,726 8,180
Danske Bank 10,000 1/04 10,658 10,670
Goldman Sachs 8,000 9/03 8,631 8,645
MBNA America Bank 9,215 10/03 9,914 9,952
Metropolitan Life Global Funding I 8,000 7/02 7,982 8,528
Nissan Auto Lease Trust 6,391 11/02 6,390 6,433
</Table>
U.S. GOVERNMENT MORTGAGE FUND
<Table>
<Caption>
DATES
SECURITY PAR ACQUIRED COST BASIS VALUE
------------------------------------------------------------------------------------------------
William Street Funding
Corporation $ 4,000 11/03 $ 3,996 $ 3,998
</Table>
SECURITIES LENDING - In order to generate additional income, a Fund may lend
securities representing up to one-third of the value of its total assets
(which includes collateral for securities on loan) to broker-dealers, banks,
or other institutional borrowers of securities. Each Fund's policy is to
maintain collateral in the form of cash, U.S. government securities, or
other high-grade debt obligations equal to at least 100% of the value of
securities loaned. The collateral is then marked to market daily until the
securities are returned. As with other extensions of credit, there may be
risks of delay in recovery of the securities or even loss of rights in the
collateral should the borrower of the security fail financially.
U.S. Bancorp Asset Management, Inc. ("USBAM") serves as the securities
lending agent for the Funds in transactions involving the lending of
portfolio securities on behalf of the Funds. USBAM acts as the securities
lending agent pursuant to, and subject to compliance with conditions
contained in, an SEC exemptive order. USBAM currently receives fees equal to
25% of the Funds' income from securities lending transactions. The Funds
also pay an administrative fee equal to 0.025% based on the cash collateral
held for the securities on loan. Fees paid to USBAM by the Funds for the six
months ended March 31, 2004 were as follows (000):
<Table>
<Caption>
FUND AMOUNT
-----------------------------------------------------
Core Bond Fund $ 221
Corporate Bond Fund 19
High Income Bond Fund 52
Intermediate Term Bond Fund 189
Short Term Bond Fund 104
U.S. Government Mortgage Fund 18
</Table>
DEFERRED COMPENSATION PLAN - Under a Deferred Compensation Plan (the
"Plan"), non-interested directors of the First American Fund family may
participate and elect to defer receipt of their annual compensation.
Deferred amounts are treated as though equivalent dollar amounts had been
invested in shares of selected open-end First American Funds as designated
by the Directors. All amounts in the Plan are 100% vested and accounts under
the Plan are obligations of the Funds. Deferred amounts remain in the Funds
until distributed in accordance with the Plan.
INTERFUND LENDING PROGRAM - Pursuant to an exemptive order issued by the
SEC, the Funds, along with other registered investment companies in the
First American Family of Funds, may participate in an interfund lending
program. This program provides an alternative credit facility allowing the
Funds to borrow from, or lend money to, other participating funds. The Funds
did not have any interfund lending transactions during the six months ended
March 31, 2004.
EXPENSES - Expenses that are directly related to one of the Funds are
charged directly to that Fund. Other operating
60
<Page>
expenses are allocated to the Funds on the basis of relative net assets of
all Funds within the First American Fund complex. Class specific expenses,
such as 12b-1 fees, are borne by that class. Income, other expenses, and
realized and unrealized gains and losses of a Fund are allocated to each
respective class in proportion to the relative net assets of each class.
USE OF ESTIMATES IN THE PREPARATION OF FINANCIAL STATEMENTS - The
preparation of financial statements, in conformity with accounting
principles generally accepted in the United States, requires management to
make estimates and assumptions that affect the reported amount of assets and
liabilities and disclosure of contingent assets and liabilities at the date
of the financial statements and the reported results of operations during
the reporting period. Actual results could differ from those estimates.
3 > Fees and Expenses
ADVISOR FEES - Pursuant to an investment advisory agreement (the
"Agreement"), USBAM manages each Fund's assets and furnishes related office
facilities, equipment, research and personnel. The Agreement requires each
Fund to pay USBAM a monthly fee based upon average daily net assets. The
annual fee for each Fund is as follows:
<Table>
<Caption>
-------------------------------------------------------------
Core Bond Fund 0.50%
Corporate Bond Fund 0.70
High Income Bond Fund 0.70
Intermediate Government Bond Fund 0.50
Intermediate Term Bond Fund 0.50
Short Term Bond Fund 0.50
U.S. Government Mortgage Fund 0.50
</Table>
USBAM voluntarily waived fees during the most recently completed semiannual
period so that the total fund operating expenses, as a percentage of average
daily net assets, did not exceed the following amounts:
<Table>
<Caption>
SHARE CLASS A B C S Y
-----------------------------------------------------------
FUND
-----------------------------------------------------------
Core Bond Fund 0.95 1.70 1.70 0.95 0.70%
Corporate Bond Fund 1.00 1.75 1.75 1.00 0.75
High Income Bond Fund 1.00 1.75 1.75 1.00 0.75
Intermediate Government
Bond Fund 0.75 -- -- -- 0.60
Intermediate Term Bond Fund 0.75 -- -- 0.75 0.60
Short Term Bond Fund 0.75 -- -- 0.75 0.60
U.S. Government Mortgage Fund 0.95 1.70 1.70 0.95 0.70
</Table>
The Funds may invest in the money market funds that are series of First
American Funds, Inc. ("FAF"), subject to certain limitations. In order to
avoid the payment of duplicative investment advisory fees to USBAM, which
acts as the investment adviser to both the investing Funds and the related
money market funds, USBAM will reimburse each investing Fund an amount equal
to that portion of their investment advisory fee received from the related
money market funds that is attributable to the assets of the investing Fund.
For financial statement purposes, these reimbursements are recorded as
investment income.
CO-ADMINISTRATION FEES - USBAM and U.S. Bancorp Fund Services, LLC ("USBFS")
(collectively, the "Administrators"), serve as the co-administrators
pursuant to a co-administration agreement between the Administrators and the
Funds. USBAM is a subsidiary of U.S. Bank National Association ("U.S.
Bank"). Both U.S. Bank and USBFS are direct subsidiaries of U.S. Bancorp.
Under the co-administration agreement, the Administrators are compensated to
provide, or compensate other entities to provide, services to the Funds.
These services include various legal, oversight and administrative services,
accounting services, transfer agency and dividend disbursing services, and
shareholder services. The Funds pay the Administrators at an annual rate,
calculated daily and paid monthly, based on the average daily net assets of
all open-end mutual funds in the First American Family of Funds, equal to
each Fund's pro rata share of an amount equal to 0.25% of the aggregate
average daily net assets up to $8 billion, 0.235% of the next $17 billion of
the aggregate average daily net assets, 0.22% of the next $25 billion of the
aggregate average daily net assets, and 0.20% of the aggregate average daily
net assets of all open-end mutual funds in the First American Family of
Funds in excess of $50 billion. The Funds pay transfer agent fees of $18,500
per share class. These fees are allocated to each Fund based upon the Fund's
pro rata share of the aggregate average daily net assets of all funds
comprising FAIF. Each Fund also pays additional per account fees for
transfer agent services. For the six months ended March 31, 2004,
administration fees paid to USBAM and USBFS for the Funds included in this
semiannual report were as follows (000):
<Table>
<Caption>
FUND AMOUNT
-------------------------------------------------------
Core Bond Fund $ 2,826
Corporate Bond Fund 370
High Income Bond Fund 364
Intermediate Government Bond Fund 323
Intermediate Term Bond Fund 1,830
Short Term Bond Fund 1,393
U.S. Government Mortgage Fund 374
</Table>
CUSTODIAN FEES - U.S. Bank serves as the Funds' custodian pursuant to a
custodian agreement with FAIF. The fee for each Fund is equal to an annual
rate of 0.01% of average
61
<Page>
daily net assets. These fees are computed daily and paid monthly.
DISTRIBUTION AND SHAREHOLDER SERVICING FEES - Quasar Distributors, LLC
("Quasar"), a subsidiary of U.S. Bancorp, serves as the distributor of the
Funds pursuant to a distribution agreement with FAIF. Under the distribution
agreement, each of the Funds pays Quasar a monthly distribution and/or
shareholder servicing fee equal to an annual rate of 0.25%, 1.00%, and 1.00%
of each Fund's average daily net assets of the Class A shares, Class B
shares, and Class C shares, respectively. These fees may be used by Quasar
to provide compensation for sales support, distribution activities, or
shareholder servicing activities.
FAIF has also adopted and entered into a shareholder service plan and
agreement with Quasar with respect to the Class S shares. Each Fund, except
Intermediate Government Bond Fund, pays to Quasar a monthly shareholder
servicing fee equal to an annual rate of 0.25% of the average daily net
assets of the Fund's Class S shares. No distribution or shareholder
servicing fees are paid by Class Y shares.
The Distributor is currently waiving fees equal to 0.10% of average daily
net assets for Class A and Class S shares of Intermediate Term Bond Fund,
and Short Term Bond Fund, and Class A shares of Intermediate Government Bond
Fund. For the six months ended March 31, 2004, total distribution and
shareholder servicing fees waived by the distributor for these Funds were as
follows (000):
<Table>
<Caption>
FUND AMOUNT
-------------------------------------------------------
Intermediate Government Bond Fund $ 1
Intermediate Term Bond Fund 45
Short Term Bond Fund 82
</Table>
Under these distribution and shareholder servicing agreements, the following
amounts were retained by Quasar or paid to affiliates of USBAM for the six
months ended March 31, 2004 (000):
<Table>
<Caption>
FUND AMOUNT
-------------------------------------------------------
Core Bond Fund $ 376
Corporate Bond Fund 64
High Income Bond Fund 168
Intermediate Government Bond Fund 2
Intermediate Term Bond Fund 70
Short Term Bond Fund 124
U.S. Government Mortgage Fund 153
</Table>
OTHER FEES - In addition to the investment advisory fees, custodian fees,
distribution and shareholder servicing fees, and co-administration fees,
each Fund is responsible for paying most other operating expenses including
fees and expenses of outside directors, registration fees, printing of
shareholder reports, legal, auditing, insurance, and other miscellaneous
expenses. For the six months ended March 31, 2004, legal fees and expenses
were paid to a law firm of which the Secretary and two Assistant Secretaries
of the Funds are partners.
62
<Page>
SALES CHARGES - A contingent deferred sales charge ("CDSC") is imposed on
redemptions made in the Class B shares. The CDSC varies depending on the
number of years from time of payment for the purchase of Class B shares
until the redemption of such shares. Class B shares automatically convert to
Class A shares after eight years.
<Table>
<Caption>
CONTINGENT DEFERRED SALES CHARGE
AS A PERCENTAGE OF DOLLAR
YEAR SINCE PURCHASE AMOUNT SUBJECT TO CHARGE
---------------------------------------------------------------------------------------
First 5.00%
Second 5.00%
Third 4.00%
Fourth 3.00%
Fifth 2.00%
Sixth 1.00%
Seventh 0.00%
Eighth 0.00%
</Table>
A CDSC of 1.00% is imposed on redemptions made in Class C shares for the
first eighteen months.
The CDSC for Class B and Class C shares is imposed on the value of the
purchased shares, or the value at the time of redemption, whichever is less.
For the six months ended March 31, 2004, sales charges retained by
affiliates of USBAM for distributing the Funds' shares were as follows
(000):
<Table>
<Caption>
FUND AMOUNT
--------------------------------------------------------------------------------------
Core Bond Fund $ 211
Corporate Bond Fund 52
High Income Bond Fund 219
Intermediate Government Bond Fund 2
Intermediate Term Bond Fund 31
Short Term Bond Fund 160
U.S. Government Mortgage Fund 111
</Table>
63
<Page>
4 > Capital Share Transactions
FAIF has 420 billion shares of $0.0001 par value capital stock authorized.
Capital share transactions for the Funds were as follows (000):
<Table>
<Caption>
CORE
BOND
FUND
- -------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02
TO TO
3/31/04 9/30/03
- -------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Class A:
Shares issued 3,245 3,888
Shares issued in lieu of cash distributions 403 406
Shares redeemed (2,950) (5,859)
Shares issued in connection with the acquisition of Fund net assets -- 7,465
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS 698 5,900
===================================================================================================================
Class B:
Shares issued 113 374
Shares issued in lieu of cash distributions 60 58
Shares redeemed (374) (776)
Shares issued in connection with the acquisition of Fund net assets -- 1,319
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS (201) 975
===================================================================================================================
Class C:
Shares issued 77 303
Shares issued in lieu of cash distributions 31 34
Shares redeemed (247) (512)
Shares issued in connection with the acquisition of Fund net assets -- 493
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS C TRANSACTIONS (139) 318
===================================================================================================================
Class S:
Shares issued 500 1,193
Shares issued in lieu of cash distributions 110 125
Shares redeemed (2,718) (3,442)
Shares issued in connection with the acquisition of Fund net assets -- 2,613
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS S TRANSACTIONS (2,108) 489
===================================================================================================================
Class Y:
Shares issued 20,929 34,386
Shares issued in lieu of cash distributions 2,497 2,233
Shares redeemed (28,627) (56,896)
Shares issued in connection with the acquisition of Common Trust Fund net assets -- 1,166
Shares issued in connection with the acquisition of Fund net assets -- 83,108
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS Y TRANSACTIONS (5,201) 63,997
===================================================================================================================
NET INCREASE (DECREASE) IN CAPITAL SHARES (6,951) 71,679
===================================================================================================================
<Caption>
CORPORATE
BOND
FUND
- -------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02
TO TO
3/31/04 9/30/03
- -------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Class A:
Shares issued 459 1,219
Shares issued in lieu of cash distributions 26 42
Shares redeemed (162) (842)
Shares issued in connection with the acquisition of Fund net assets -- --
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS 323 419
===================================================================================================================
Class B:
Shares issued 43 168
Shares issued in lieu of cash distributions 18 51
Shares redeemed (183) (846)
Shares issued in connection with the acquisition of Fund net assets -- --
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS (122) (627)
===================================================================================================================
Class C:
Shares issued 23 117
Shares issued in lieu of cash distributions 10 23
Shares redeemed (92) (128)
Shares issued in connection with the acquisition of Fund net assets -- --
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS C TRANSACTIONS (59) 12
===================================================================================================================
Class S:
Shares issued 8 35
Shares issued in lieu of cash distributions 5 17
Shares redeemed (238) (162)
Shares issued in connection with the acquisition of Fund net assets -- --
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS S TRANSACTIONS (225) (110)
===================================================================================================================
Class Y:
Shares issued 3,283 9,523
Shares issued in lieu of cash distributions 78 144
Shares redeemed (2,970) (6,976)
Shares issued in connection with the acquisition of Common Trust Fund net assets -- --
Shares issued in connection with the acquisition of Fund net assets -- --
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS Y TRANSACTIONS 391 2,691
===================================================================================================================
NET INCREASE (DECREASE) IN CAPITAL SHARES 308 2,385
===================================================================================================================
<Caption>
HIGH
INCOME
BOND
FUND
- -------------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02
TO TO
3/31/04 9/30/03
- -------------------------------------------------------------------------------------------------------------------
(UNAUDITED)
Class A:
Shares issued 396 1,965
Shares issued in lieu of cash distributions 125 195
Shares redeemed (598) (2,576)
Shares issued in connection with the acquisition of Fund net assets -- 2,765
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS (77) 2,349
===================================================================================================================
Class B:
Shares issued 176 355
Shares issued in lieu of cash distributions 20 27
Shares redeemed (168) (151)
Shares issued in connection with the acquisition of Fund net assets -- 227
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS 28 458
===================================================================================================================
Class C:
Shares issued 189 697
Shares issued in lieu of cash distributions 63 95
Shares redeemed (245) (564)
Shares issued in connection with the acquisition of Fund net assets -- 1,155
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS C TRANSACTIONS 7 1,383
===================================================================================================================
Class S:
Shares issued 31 64
Shares issued in lieu of cash distributions 2 2
Shares redeemed (75) (10)
Shares issued in connection with the acquisition of Fund net assets -- 28
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS S TRANSACTIONS (42) 84
===================================================================================================================
Class Y:
Shares issued 6,150 8,148
Shares issued in lieu of cash distributions 128 254
Shares redeemed (3,232) (10,014)
Shares issued in connection with the acquisition of Common Trust Fund net assets -- --
Shares issued in connection with the acquisition of Fund net assets -- 4,283
- -------------------------------------------------------------------------------------------------------------------
TOTAL CLASS Y TRANSACTIONS 3,046 2,671
===================================================================================================================
NET INCREASE (DECREASE) IN CAPITAL SHARES 2,962 6,945
===================================================================================================================
</Table>
64
<Page>
<Table>
<Caption>
INTERMEDIATE INTERMEDIATE
GOVERNMENT BOND TERM BOND
FUND FUND
- ------------------------------------------------------------------------------------------------------------
10/1/03 10/25/02 (1) 10/1/03 10/1/02
TO TO TO TO
3/31/04 9/30/03 3/31/04 9/30/03
- ------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Class A:
Shares issued 56 460 1,164 3,265
Shares issued in lieu of cash distributions 23 4 120 186
Shares redeemed (117) (214) (1,620) (2,233)
- ------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS (38) 250 (336) 1,218
============================================================================================================
Class B:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares redeemed -- -- -- --
- ------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS -- -- -- --
============================================================================================================
Class C:
Shares issued -- -- -- --
Shares issued in lieu of cash distributions -- -- -- --
Shares redeemed -- -- -- --
- ------------------------------------------------------------------------------------------------------------
TOTAL CLASS C TRANSACTIONS -- -- -- --
============================================================================================================
Class S:
Shares issued -- -- 398 1,008
Shares issued in lieu of cash distributions -- -- 27 38
Shares redeemed -- -- (679) (459)
- ------------------------------------------------------------------------------------------------------------
TOTAL CLASS S TRANSACTIONS -- -- (254) 587
============================================================================================================
Class Y:
Shares issued 1,910 55,539 25,391 67,006
Shares issued in lieu of cash distributions 3,017 62 1,550 1,996
Shares redeemed (18,142) (22,134) (22,453) (39,422)
- ------------------------------------------------------------------------------------------------------------
TOTAL CLASS Y TRANSACTIONS (13,215) 33,467 4,488 29,580
============================================================================================================
NET INCREASE (DECREASE) IN CAPITAL SHARES (13,253) 33,717 3,898 31,385
============================================================================================================
<Caption>
SHORT U.S.
TERM BOND GOVERNMENT
FUND MORTGAGE FUND
- ------------------------------------------------------------------------------------------------------------
10/1/03 10/1/02 10/1/03 10/1/02
TO TO TO TO
3/31/04 9/30/03 3/31/04 9/30/03
- ------------------------------------------------------------------------------------------------------------
(UNAUDITED) (UNAUDITED)
Class A:
Shares issued 2,010 8,665 1,245 1,505
Shares issued in lieu of cash distributions 135 373 42 84
Shares redeemed (2,299) (9,367) (341) (845)
- ------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS (154) (329) 946 744
============================================================================================================
Class B:
Shares issued -- -- 87 769
Shares issued in lieu of cash distributions -- -- 17 34
Shares redeemed -- -- (206) (315)
- ------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS -- -- (102) 488
============================================================================================================
Class C:
Shares issued -- -- 86 1.548
Shares issued in lieu of cash distributions -- -- 31 49
Shares redeemed -- -- (358) (387)
- ------------------------------------------------------------------------------------------------------------
TOTAL CLASS C TRANSACTIONS -- -- (241) 1,210
============================================================================================================
Class S:
Shares issued 176 691 109 674
Shares issued in lieu of cash distributions 8 17 31 102
Shares redeemed (838) (216) (1,444) (1,101)
- ------------------------------------------------------------------------------------------------------------
TOTAL CLASS S TRANSACTIONS (654) 492 (1,304) (325)
============================================================================================================
Class Y:
Shares issued 27,210 63,085 2,867 7,760
Shares issued in lieu of cash distributions 360 790 58 153
Shares redeemed (17,714) (29,845) (2,777) (4,428)
- ------------------------------------------------------------------------------------------------------------
TOTAL CLASS Y TRANSACTIONS 9,856 34,030 148 3,485
============================================================================================================
NET INCREASE (DECREASE) IN CAPITAL SHARES 9,048 34,193 (553) 5,602
============================================================================================================
</Table>
(1) Commencement of operations.
5 > Investment Security Transactions
During the six months ended March 31, 2004, purchases of securities and
proceeds from sales of securities, other than temporary investments in
short-term securities, were as follows (000):
<Table>
<Caption>
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
--------------------------- ---------------------------
FUND PURCHASES SALES PURCHASES SALES
---------------------------------------------------------------------------------------------
Core Bond Fund $ 1,305,964 $ 1,373,886 $ 649,460 $ 680,315
Corporate Bond Fund 43,669 48,124 137,289 132,636
High Income Bond Fund 115 1,118 106,627 76,919
Intermediate Government Bond Fund 58,048 211,449 -- --
Intermediate Term Bond Fund 780,600 702,100 440,869 511,611
Short Term Bond Fund 148,049 182,421 414,823 244,949
U.S. Government Mortgage Fund 126,295 120,203 15,204 23,718
</Table>
The aggregate gross unrealized appreciation and depreciation of securities
held by the Funds and the total cost of securities (including cost of
securities purchased with proceeds from securities lending) for federal
income tax purposes at March 31, 2004, were as follows (000):
<Table>
<Caption>
AGGREGATE AGGREGATE FEDERAL
GROSS GROSS INCOME
FUND APPRECIATION DEPRECIATION NET TAX COST
---------------------------------------------------------------------------------------------
Core Bond Fund $ 46,657 $ (6,631) $ 40,026 $ 2,978,599
Corporate Bond Fund 13,663 (2,188) 11,475 329,488
High Income Bond Fund 21,265 (2,217) 19,048 342,383
Intermediate Government Bond Fund 3,976 (257) 3,719 174,114
Intermediate Term Bond Fund 27,024 (2,740) 24,284 2,046,421
Short Term Bond Fund 10,731 (1,445) 9,286 1,423,877
U.S. Government Mortgage Fund 4,827 (515) 4,312 391,171
</Table>
65
<Page>
6 > Concentration of Risks
Each Fund (other than Intermediate Government Bond Fund and U.S. Government
Mortgage Fund) may invest in foreign securities. A Fund's investment in
foreign securities subjects it to special risks associated with foreign
investing and to a decline in net asset value resulting from changes in
exchange rates between the United States dollar and foreign currencies.
Because of the special risks associated with foreign investing, a Fund
investing in foreign securities may be subject to greater volatility than
most mutual funds which invest primarily in domestic securities.
The High Income Bond Fund invests in lower-rated (i.e., rated Ba or lower by
Moody's or BB or lower by Standard & Poor's) corporate and foreign debt
obligations, which are commonly referred to as "junk bonds." Lower-rated
securities will usually offer higher yields than higher-rated securities.
However, there is more risk associated with these investments. These
lower-rated bonds may be more susceptible to real or perceived adverse
economic conditions than investment grade bonds. Lower-rated securities tend
to have more price volatility and carry more risk to principal than
higher-rated securities.
The ratings of long-term securities as a percentage of total value of
investments at the six months ended March 31, 2004, were as follows:
<Table>
<Caption>
STANDARD & POOR'S/ HIGH INCOME
MOODY'S RATINGS BOND FUND
------------------------------------
BBB/Baa 2.8%
BB/Ba 30.6
B/B 46.0
CCC/Caa 17.3
CC/Ca 2.1
C 0.3
NR 0.9
------------------------------------
100%
</Table>
Securities rated by only one agency are shown in that category. Securities
rated by both agencies are shown with their highest rating.
7 > Fund Mergers
On October 25, 2002, the Core Bond Fund acquired substantially all of the
assets of the Common Stock Income Common Trust Fund (KS) (sponsored by U.S.
Bank) in exchange for Class Y shares of the Core Bond Fund. In addition, the
Intermediate Government Bond Fund shell portfolio acquired substantially all
of the assets of the U.S. Government Bond Common Trust Fund (sponsored by
U.S. Bank) in exchange for Class Y shares of the Intermediate Government
Bond Fund. The following table illustrates the specifics of the common trust
fund conversions into the Core Bond Fund and the Intermediate Government
Bond Fund included in this semiannual report (000):
<Table>
<Caption>
ACQUIRED SHARES ISSUED TO ACQUIRING
FUNDS NET SHAREHOLDERS OF FUND COMBINED TAX STATUS
ACQUIRED FUND ACQUIRING FUND ASSETS ACQUIRED FUND NET ASSETS NET ASSETS OF TRANSFER
- ----------------------------------------------------------------------------------------------------------------------------------
Common Stock Income
Common Trust Fund Core Bond Fund - Class Y $ 13,076 (1) 1,166 $ 1,318,694 $ 1,331,770 Non-taxable
U.S. Government Bond Intermediate
Common Trust Fund Government Bond Fund - Class Y (2) 520,605 52,061 -- 520,605 Non-taxable
</Table>
(1) Includes unrealized appreciation of $792.
(2) Shell portfolio
66
<Page>
On March 13, 2003, shareholders of FAIF approved the Agreement and Plan of
Reorganization, recommended by the Funds' board of directors, providing for
the reorganization of several First American Funds into other existing First
American Funds. On March 14, 2003, Bond IMMDEX(TM) Fund merged into Core
Bond Fund and High Yield Bond Fund merged into High Income Bond Fund. The
following table illustrates the specifics of the mergers of the Funds
included in this semiannual report (000):
<Table>
<Caption>
ACQUIRED SHARES ISSUED TO ACQUIRING
FUNDS NET SHAREHOLDERS OF FUND COMBINED TAX STATUS
ACQUIRED FUND ACQUIRING FUND ASSETS ACQUIRED FUND NET ASSETS NET ASSETS OF TRANSFER
- --------------------------------------------------------------------------------------------------------------------------------
Bond IMMDEX(TM) Fund Core Bond Fund (1) $ 1,094,825 (2) $ 1,339,160 $ 2,433,985 Non-taxable
Class A Class A 7,465
Class B Class B 1,319
Class C Class C 493
Class S Class S 2,613
Class Y Class Y 83,108
High Yield Bond Fund (1) High Income Bond Fund 71,489 (3) 156,457 227,946 Non-taxable
Class A Class A 2,765
Class B Class B 227
Class C Class C 1,155
Class S Class S 28
Class Y Class Y 4,283
- --------------------------------------------------------------------------------------------------------------------------------
</Table>
(1) Accounting survivor.
(2) Includes unrealized appreciation in the amount $17,432 and tax losses
deferred due to wash sales and deferred compensation of $44.
(3) Includes capital loss carryforward of $4,575 and unrealized depreciation of
$358.
8 > Indemnifications
The Funds enter into contracts that contain a variety of indemnifications.
The Funds maximum exposure under these arrangements is unknown. However, the
Funds have not had prior claims or losses pursuant to these contracts and
expect the risk of loss to be remote.
HOW TO OBTAIN A COPY OF THE FUNDS' PROXY VOTING POLICIES
A description of the policies and procedures that the Funds use to
determine how to vote proxies relating to portfolio securities is
available (1) without charge upon request by calling 800.677.FUND; (2)
at firstamericanfunds.com; and (3) on the U.S. Securities and Exchange
Commission's website at sec.gov.
67
<Page>
BOARD OF DIRECTORS First American Investment Funds, Inc.
Virginia Stringer
Chairperson of First American Investment Funds, Inc.
Owner and President of Strategic Management Resources, Inc.
Benjamin Field III
Director of First American Investment Funds, Inc.
Senior Financial Advisor to, and formerly Senior Vice President,
Chief Financial Officer, and Treasurer, of Bemis Company, Inc.
Mickey Foret
Director of First American Investment Funds, Inc.
Consultant to, and formerly Executive Vice President and Chief Financial
Officer of, Northwest Airlines, Inc.
Roger Gibson
Director of First American Investment Funds, Inc.
Retired; former Vice President of Cargo-United Airlines
Victoria Herget
Director of First American Investment Funds, Inc.
Investment Consultant; former Managing Director of Zurich Scudder
Investments
Leonard Kedrowski
Director of First American Investment Funds, Inc.
Owner and President of Executive and Management Consulting, Inc.
Richard Riederer
Director of First American Investment Funds, Inc.
Retired; former President and Chief Executive Officer of Weirton Steel
Joseph Strauss
Director of First American Investment Funds, Inc.
Owner and President of Strauss Management Company
James Wade
Director of First American Investment Funds, Inc.
Owner and President of Jim Wade Homes
FIRST AMERICAN INVESTMENT FUNDS, INC.'S BOARD OF DIRECTORS IS COMPRISED
ENTIRELY OF INDEPENDENT DIRECTORS.
<Page>
[FIRST AMERICAN FUNDS(TM) LOGO]
DIRECT FUND CORRESPONDENCE TO:
FIRST AMERICAN FUNDS
P.O. Box 1330
Minneapolis, MN 55440-1330
This report and the financial statements contained herein are not intended to be
a forecast of future events, a guarantee of future results, or investment
advice. Further, there is no assurance that certain securities will remain in or
out of each fund's portfolio.
This report is for the information of shareholders of the First American
Investment Funds, Inc. It may also be used as sales literature when preceded or
accompanied by a current prospectus, which contains information concerning
investment objectives, risks, and charges and expenses of the Funds. Read the
prospectus carefully before investing.
THE FIGURES IN THIS REPORT REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE
FUTURE RESULTS. THE PRINCIPAL VALUE OF AN INVESTMENT AND INVESTMENT RETURN WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN THEIR ORIGINAL COST.
INVESTMENT ADVISOR
U.S. BANCORP ASSET MANAGEMENT, INC.
800 Nicollet Mall
Minneapolis, Minnesota 55402
CO-ADMINISTRATORS
U.S. BANCORP ASSET MANAGEMENT, INC.
800 Nicollet Mall
Minneapolis, Minnesota 55402
U.S. BANCORP FUND SERVICES, LLC
615 East Michigan Street
Milwaukee, Wisconsin 53202
CUSTODIAN
U.S. BANK NATIONAL ASSOCIATION
180 East Fifth Street
St. Paul, Minnesota 55101
DISTRIBUTOR
QUASAR DISTRIBUTORS, LLC
615 East Michigan Street, 2nd floor
Milwaukee, Wisconsin 53202
INDEPENDENT AUDITOR
ERNST & YOUNG LLP
220 South Sixth Street
Suite 1400
Minneapolis, Minnesota 55402
COUNSEL
DORSEY & WHITNEY LLP
50 South Sixth Street
Suite 1500
Minneapolis, Minnesota 55402
FIRST AMERICAN FUNDS
P.O. Box 1330
Minneapolis, MN 55440-1330
In an attempt to reduce shareholder costs and help eliminate duplication, First
American Funds will try to limit their mailing to one report for each address
that lists one or more shareholders with the same last name. If you would like
additional copies, please call First American Funds Investor Services at
800.677.FUND. Visit us at firstamericanfunds.com.
0140-04 5/2004 SAR-INCOME
<Page>
ITEM 2--CODE OF ETHICS - Did registrant adopt a code of ethics, as of the end of
the period covered by this report, that applies to the registrant's principal
executive officer, principal financial officer, principal accounting officer or
controller, or persons performing similar functions, regardless of whether these
individuals are employed by the registrant or a third party? If not, why not?
Briefly describe any amendments or waivers that occurred during the period.
State here if code of ethics/amendments/waivers are on website and give website
address. State here if fund will send code of ethics to shareholders without
charge upon request.
RESPONSE: Not applicable to semi-annual report.
ITEM 3--AUDIT COMMITTEE FINANCIAL EXPERT - Did the registrant's board of
directors determine that the registrant either: (i) has at least one audit
committee financial expert serving on its audit committee; or (ii) does not have
an audit committee financial expert serving on its audit committee? If yes,
disclose name of financial expert and whether he/she is "independent," (fund
may, but is not required, to disclose name/independence of more than one
financial expert) If no, explain why not.
RESPONSE: Not applicable to semi-annual report.
ITEM 4--PRINCIPAL ACCOUNTANT FEES AND SERVICES - Disclose annually only (not
answered until December 15, 2003).
RESPONSE: Not applicable to semi-annual report.
(a) Audit Fees - Disclose aggregate fees billed for each of the last
two fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's annual
financial statements or services that are normally provided by the
accountant in connection with statutory and regulatory filings or
engagements for those fiscal years.
(b) Audit-Related Fees - Disclose aggregate fees billed in each of the
last two fiscal years for assurance and related services by the
principal accountant that are reasonably related to the performance
of the audit of the registrant's financial statements and are not
reported under paragraph (a) of this Item. Registrants shall
describe the nature of the services comprising the fees disclosed
under this category.
(c) Tax Fees - Disclose aggregate fees billed in each of the last two
fiscal years for professional services rendered by the principal
accountant for tax compliance, tax advice, and tax planning.
Registrants shall describe the nature of the services comprising
the fees disclosed under this category.
(d) All Other Fees - Disclose aggregate fees billed in each of the last
two fiscal years for products and services provided by the
principal accountant, other than the services reported in
paragraphs (a) through (c) of this Item.
<Page>
Registrants shall describe the nature of the services comprising
the fees disclosed under this category.
(e)(1) Disclose the audit committee's pre-approval policies and procedures
pursuant to paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(e)(2) Disclose the percentage of services described in each of paragraphs (b)
through (d) of this Item that were approved by the audit committee pursuant
to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50%, disclose the percentage of hours expended on the
principal accountant's engagement to audit the registrant's financial
statements for the most recent fiscal year that were attributed to work
performed by persons other than the principal accountant's full-time,
permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to the
registrant's investment adviser (not including any sub-adviser whose
role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling,
controlled by, or under common control with the adviser that provides
ongoing services to the registrant for each of the last two fiscal
years of the registrant.
(h) Disclose whether the registrant's audit committee has considered
whether the provision of non-audit services that were rendered to the
registrant's investment adviser (not including any subadviser whose
role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling,
controlled by, or under common control with the investment adviser that
provides ongoing services to the registrant that were not pre-approved
pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is
compatible with maintaining the principal accountant's independence.
ITEM 5--AUDIT COMMITTEE OF LISTED REGISTRANTS
RESPONSE: Not applicable.
ITEM 6 - Reserved.
ITEM 7--DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES - For closed-end funds that contain voting
securities in their portfolio, describe the policies and procedures that it uses
to determine how to vote proxies relating to those portfolio securities.
RESPONSE: Not applicable.
<Page>
ITEM 8 - Reserved.
ITEM 9--CONTROLS AND PROCEDURES
(a) Disclose the conclusions of the registrant's principal executive officer or
officers and principal financial officer or officers, or persons performing
similar functions, about the effectiveness of the registrant's disclosure
controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR
270.30a-3(c))) based on their evaluation of these controls and procedures
as of a date within 90 days of the filing date of the report that includes
the disclosure required by this paragraph.
RESPONSE: The registrant's Principal Executive Officer and Principal
Financial Officer have evaluated the registrant's disclosure controls and
procedures within 90 days of the date of this filing and have concluded
that the registrant's disclosure controls and procedures were effective, as
of that date, in ensuring that information required to be disclosed by the
registrant in this Form N-CSR was recorded, processed, summarized and
reported timely. Notwithstanding this conclusion, the registrant's
Principal Executive Officer and Principal Financial Officer seek continuous
improvements to the registrant's disclosure controls and procedures.
(b) Disclose any change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c)))
that occurred during the registrant's last fiscal half-year (the
registrant's second fiscal half-year in the case of an annual report) that
has materially affected, or is reasonably likely to materially affect, the
registrant's internal control over financial reporting.
RESPONSE: There were no changes in the registrant's internal control over
financial reporting that occurred during the registrant's most recent
fiscal half-year that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial
reporting.
ITEM 10 - EXHIBITS
10(a) - Attach code of ethics or amendments/waivers, unless code of ethics or
amendments/waivers is on website or offered to shareholders upon request without
charge.
RESPONSE: Not applicable to semi-annual report.
10(b) - Attach certifications (4 in total pursuant to Sections 302 and 906 for
PEO/PFO).
RESPONSE: Attached hereto.
<Page>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
First American Investment Funds, Inc.
By: /s/ Thomas S. Schreier, Jr.
--------------------------------
Thomas S. Schreier, Jr.
President
Date: June 4, 2004
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By: /s/ Thomas S. Schreier, Jr.
--------------------------------
Thomas S. Schreier, Jr.
President
Date: June 4, 2004
By: /s/ Joseph M. Ulrey III
--------------------------------
Joseph M. Ulrey III
Treasurer
Date: June 4, 2004