The Biltmore Funds
Biltmore Equity Fund
Biltmore Quantitative Equity Fund
Biltmore Equity Index Fund
Biltmore Special Values Fund
Biltmore Emerging Markets Fund
Biltmore Balanced Fund
Biltmore Fixed Income Fund
Biltmore Short-Term Fixed Income Fund
The Biltmore Municipal Funds
Biltmore Georgia Municipal Bond Fund
Biltmore North Carolina Municipal Bond Fund
Biltmore South Carolina Municipal Bond Fund
Combined Semi-Annual Report
May 31, 1996
Wachovia Investments
Make Yourself Comfortable
================================================================================
BILTMORE EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--83.4%
CAPITAL GOODS--3.4%
9,300 Ametek, Inc. $ 199,950
37,490 General Electric Co. 3,102,298
6,500 Harsco Corp. 421,688
4,100 Lawson Products, Inc. 94,300
42,050 Stewart & Stevenson Services 1,051,250
6,300 York International Corp. 333,113
-----------
Total 5,202,599
-----------
CONSUMER DURABLES--4.6%
12,600 Bandag, Inc., Class A 604,800
17,513 Chrysler Corp. 1,166,804
45,940 Ford Motor Co. 1,676,810
19,176 General Motors Corp. 1,057,077
600 Goodyear Tire & Rubber Co. 30,300
17,655 Tecumseh Products Co.,
Class A 997,508
5,975 Stanley Works 362,234
23,400 (b)Varity Corp. 1,149,525
-----------
Total 7,045,058
-----------
CONSUMER NON-DURABLES--12.5%
15,558 Abbott Laboratories 670,939
4,750 American Brands, Inc. 207,813
12,900 American Greetings Corp.,
Class A 349,913
14,650 American Stores, Co. 547,544
16,400 Bergen Brunswig Corp.,
Class A 436,650
18,832 CPC International, Inc. 1,301,762
9,700 Coca-Cola Co. 446,200
3,200 Dun & Bradstreet Corp. 204,400
10,500 E.W. Scripps Co. 467,250
13,000 (b)Fruit of the Loom, Inc.,
Class A 351,000
12,690 Hasbro, Inc. 479,048
8,550 IBP, Inc. 234,056
37,839 Kimberly-Clark Corp. 2,757,517
5,400 Knight-Ridder, Inc. 403,650
7,350 Loews Corp. 586,163
41,150 Newell Co. 1,234,500
81,542 PepsiCo, Inc. 2,711,272
5,200 Pfizer, Inc. 367,900
26,530 Philip Morris Cos., Inc. 2,636,419
69,544 Sara Lee Corp. 2,321,031
Common Stocks--continued
CONSUMER NON-DURABLES--CONTINUED
11,300 Westinghouse Electric Corp. $ 207,638
-----------
Total 18,922,665
-----------
CONSUMER SERVICES--0.7%
8,100 Sbarro, Inc. 215,663
16,200 Service Corp. International 905,175
-----------
Total 1,120,838
-----------
ELECTRONIC TECHNOLOGY--7.5%
28,650 (b)3Com Corp. 1,411,013
7,400 Augat, Inc. 160,025
5,950 (b)Cabletron Systems, Inc. 432,863
13,390 (b)Cisco Systems, Inc. 733,103
6,140 (b)Computer Sciences Corp. 484,293
1,871 (b)Cray Research, Inc. 51,219
2,850 (b)Digital Equipment Corp. 148,556
15,786 Hewlett-Packard Co. 1,685,156
25,900 Intel Corp. 1,955,450
20,944 International Business
Machines Corp. 2,235,772
31,800 Linear Technology Corp. 1,097,100
8,520 Motorola, Inc. 568,710
6,650 Raytheon Co. 354,113
-----------
Total 11,317,373
-----------
ENERGY MINERALS--6.4%
27,546 Amoco Corp. 1,997,085
2,450 Atlantic Richfield Co. 293,081
24,450 Baker Hughes, Inc. 767,119
25,485 Coastal Corp. 1,044,885
14,800 Dresser Industries, Inc. 432,900
8,200 Exxon Corp. 694,950
2,600 Mapco, Inc. 150,150
9,276 Mobil Corp. 1,047,029
8,300 Occidental Petroleum Corp. 214,763
11,735 Phillips Petroleum Co. 487,003
16,701 Royal Dutch Petroleum Co., ADR 2,505,150
-----------
Total 9,634,115
-----------
FINANCE--9.6%
21,575 AMBAC 1,119,203
4,404 Allstate Corp. 186,069
10,095 American Express Co. 461,846
20,701 American International Group,
Inc. 1,951,069
</TABLE>
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BILTMORE EQUITY FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
FINANCE--CONTINUED
20,380 Chubb Corp. $ 950,218
5,700 Citicorp 478,800
13,975 Federal Home Loan Mortgage
Corp. 1,154,684
67,464 Federal National Mortgage
Association 2,082,951
5,100 First USA, Inc. 295,800
4,650 J.P. Morgan & Co., Inc. 403,969
62,777 KeyCorp 2,432,609
7,650 MBIA Insurance Corporation 582,356
4,200 Morgan Stanley Group, Inc. 207,900
28,395 Providian Corp. 1,238,732
13,229 Salomon, Inc. 553,964
4,200 SunTrust Banks, Inc. 153,300
3,300 United Assets Management Corp. 165,000
550 Wells Fargo & Co. 132,550
-----------
Total 14,551,020
-----------
HEALTH SERVICES--2.1%
40,718 Columbia/HCA Healthcare Corp. 2,193,682
44,800 (b)Tenet Healthcare Corp. 963,200
-----------
Total 3,156,882
-----------
HEALTH TECHNOLOGY--6.3%
23,110 American Home Products Corp. 1,236,385
24,950 Baxter International, Inc. 1,104,038
47,016 Bristol-Myers Squibb Co. 4,013,991
20,838 Lilly (Eli) & Co. 1,338,842
17,114 Merck & Co., Inc. 1,105,992
19,650 (b)Scherer (R.P.) Corp. 825,300
-----------
Total 9,624,548
-----------
INDUSTRIAL SERVICES--1.3%
7,800 Halliburton Co. 433,875
17,590 Schlumberger Ltd. 1,466,566
-----------
Total 1,900,441
-----------
MATERIALS AND SERVICES--3.7%
13,450 Aluminum Co. of America 828,856
4,400 Dow Chemical Co. 367,950
31,676 Equifax, Inc. 783,981
32,125 (b)FMC Corp. 2,160,406
7,650 Hanson PLC, ADR 111,881
3,700 NCH, Corp. 209,975
21,300 Tenneco, Inc. 1,144,875
-----------
Total 5,607,924
-----------
Common Stocks--continued
NON-ENERGY MINERALS--2.0%
9,000 Georgia-Pacific Corp. $ 650,250
94,550 LTV Corp. 1,217,331
6,500 Phelps Dodge Corp. 445,250
9,651 Potash Corporation of
Saskatchewan, Inc. 641,792
-----------
Total 2,954,623
-----------
PROCESS INDUSTRIES--4.3%
54,080 Ecolab, Inc. 1,757,600
23,650 International Paper Co. 943,044
54,133 Praxair, Inc. 2,199,153
35,020 Sonoco Products Co. 958,673
22,564 Witco Corp. 719,228
-----------
Total 6,577,698
-----------
PRODUCER MANUFACTURING--4.2%
17,940 Caterpillar, Inc. 1,177,313
15,200 Cooper Industries, Inc. 647,900
10,500 Giddings & Lewis, Inc. 174,563
43,260 Honeywell, Inc. 2,195,445
33,000 Ingersoll-Rand Co. 1,390,125
19,500 Tyco International, Ltd. 770,250
-----------
Total 6,355,596
-----------
RETAIL TRADE--1.7%
36,089 Fingerhut Companies, Inc. 554,868
41,500 Lowe's Cos., Inc. 1,421,375
18,500 (b)Toys "R" Us, Inc. 536,500
-----------
Total 2,512,743
-----------
TECHNOLOGY SERVICES--6.5%
15,460 AT&T Corp. 964,318
12,000 Autodesk, Inc. 417,000
27,610 Avnet, Inc. 1,421,915
18,850 Computer Associates
International, Inc. 1,371,338
16,400 General Motors Corp., Class E 924,550
73,287 MCI Communications Corp. 2,134,484
17,035 Xerox Corp. 2,680,883
-----------
Total 9,914,488
-----------
TRANSPORTATION--2.2%
44,560 CSX Corp. 2,205,720
4,850 Canadian National Railway 89,725
14,901 Consolidated Rail Corp. 1,046,795
-----------
Total 3,342,240
-----------
</TABLE>
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BILTMORE EQUITY FUND
<TABLE>
<CAPTION>
Principal
Amount
or Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
UTILITIES--4.4%
36,580 BellSouth Corp. $ 1,486,050
2,000 Central & SouthWest Corp. 55,250
2,700 Equity Residential Properties
Trust 83,700
45,801 GTE Corp. 1,957,993
22,589 NYNEX Corp. 1,041,918
2,200 P P & L Resources, Inc. 50,325
49,919 SCANA Corp. 1,304,134
11,876 Southern Co. 274,633
13,900 Telefonos de Mexico, Class L,
ADR 458,700
-----------
Total 6,712,703
-----------
Total Common Stocks
(identified cost $103,643,406) 126,453,554
-----------
(d)Government Agencies--9.4%
FEDERAL FARM CREDIT BANK--0.3%
500,000 Federal Farm Credit Bank,
6/13/1996 499,273
-----------
FEDERAL HOME LOAN MORTGAGE
CORPORATION--8.4%
2,750,000 Federal Home Loan Mortgage
Corp., 6/12/1996 2,746,425
9,665,000 Federal Home Loan Mortgage
Corp., 6/13/1996 9,650,889
300,000 Federal Home Loan Mortgage
Corp., 6/14/1996 299,517
-----------
Total 12,696,831
-----------
(d)Government Agencies--continued
FEDERAL NATIONAL
MORTGAGE ASSOCIATION--0.5%
700,000 Federal National Mortgage
Association,
6/13/1996 $ 698,978
-----------
STUDENT LOAN MARKETING
ASSOCIATION--0.2%
330,000 Student Loan Marketing
Association,
6/13/1996 329,518
-----------
Total Government Agencies
(identified cost $14,220,817) 14,224,600
-----------
(d)U.S. Treasury--1.1%
U.S. TREASURY BILLS
1,325,000 6/13/1996 1,323,079
300,000 9/12/1996 295,776
-----------
Total (identified cost
$1,618,551) 1,618,855
-----------
(a)Repurchase Agreement--5.7%
8,689,936 Daiwa Securities America,
Inc.,
5.32%, dated 5/31/1996, due
6/3/1996 8,689,936
-----------
Total Investments (identified
cost $128,172,710) $150,986,945
-----------
</TABLE>
================================================================================
BILTMORE QUANTITATIVE EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--92.7%
CAPITAL GOODS--4.2%
49,842 General Electric Co. $ 4,124,426
20,000 Harnischfeger Industries, Inc. 700,000
17,800 Harsco Corp. 1,154,775
-----------
Total 5,979,201
-----------
CONSUMER DURABLES--4.1%
40,000 Arvin Industries, Inc. 980,000
41,504 Chrysler Corp. 2,765,204
5,286 Goodyear Tire & Rubber Co. 266,943
26,000 Leggett and Platt, Inc. 737,750
45,000 SPX Corp. 1,203,750
-----------
Total 5,953,647
-----------
CONSUMER NON-DURABLES--28.4%
29,466 American Stores Co. 1,101,292
27,700 Anheuser-Busch Cos., Inc. 1,973,625
40,921 Banta Corp. 982,104
35,100 Baxter International, Inc. 1,553,175
21,200 Becton Dickinson & Co. 1,802,000
54,075 Bergen Brunswig Corp., Class A 1,439,747
21,200 Bristol-Myers Squibb Co. 1,809,950
7,000 Clorox Co. 595,875
20,000 ConAgra, Inc. 852,500
16,400 Dayton-Hudson Corp. 1,672,800
62,500 Dole Food, Inc. 2,359,375
10,800 Eastman Kodak Co. 803,250
37,000 Fruit of the Loom, Inc., Class
A 999,000
19,257 Johnson & Johnson 1,875,150
11,700 Kimberly-Clark Corp. 852,638
27,500 (b)King World Productions,
Inc. 1,148,125
12,600 Lilly (Eli) & Co. 809,550
25,500 Marriott International, Inc. 1,211,250
10,937 Mattel, Inc. 298,033
22,000 Mercantile Stores Co., Inc. 1,419,000
27,500 Newell Co. 825,000
8,000 Nike, Inc., Class B 803,000
106,280 PepsiCo, Inc. 3,533,810
28,319 Philip Morris Cos., Inc. 2,814,201
13,300 Procter & Gamble Co. 1,168,738
36,000 (b)Safeway, Inc. 1,215,000
25,000 Schering-Plough Corp. 1,465,625
31,000 Sears Roebuck & Co. 1,577,125
45,000 (b)Tenet Healthcare Corp. 967,500
Common Stocks--continued
CONSUMER
NON-DURABLES--CONTINUED
20,800 (b)Tupperware Corp. $ 951,600
-----------
Total 40,880,038
-----------
ELECTRONIC TECHNOLOGY--2.3%
15,000 (b)Cisco Systems, Inc. 821,250
4,000 (b)Digital Equipment Corp. 208,500
39,000 (b)Seagate Technology, Inc. 2,291,250
-----------
Total 3,321,000
-----------
ENERGY--7.4%
14,000 British Petroleum Co. PLC, ADR 1,475,250
40,800 Coastal Corp. 1,672,800
21,145 Exxon Corp. 1,792,039
14,608 Mobil Corp. 1,648,878
24,000 Panenergy Corp. 771,000
7,700 Royal Dutch Petroleum Co., ADR 1,155,000
43,706 Williams Cos., Inc. (The) 2,196,227
-----------
Total 10,711,194
-----------
ENERGY MINERALS--0.9%
23,000 Amerada-Hess Corp. 1,311,000
-----------
FINANCE--12.2%
28,738 Allstate Corp. 1,214,181
33,000 AMBAC 1,711,875
15,500 BankAmerica Corp. 1,166,375
17,000 Beneficial Corp. 990,250
20,500 CIGNA Corp. 2,354,938
19,500 Chase Manhattan Corp. 1,365,000
11,800 NationsBank Corp. 957,275
65,000 PNC Financial Corp. 1,974,375
28,000 Reliastar Financial Corp. 1,200,500
30,000 Safeco Corp. 1,010,625
51,258 Southtrust Corp. 1,403,188
22,500 Travelers Group, Inc. 933,750
44,214 USLIFE Corp. 1,326,420
-----------
Total 17,608,752
-----------
MATERIALS & SERVICES--10.3%
20,000 Alcan Aluminum Ltd. 655,000
16,000 Ball Corp. 442,000
53,600 Engelhard Corp. 1,313,200
108,977 Ennis Business Forms, Inc. 1,185,125
100,000 Freeport-McMoran Resource 2,000,000
</TABLE>
================================================================================
BILTMORE QUANTITATIVE EQUITY FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
MATERIALS &
SERVICES--CONTINUED
24,000 Goodrich B.F. Co. $ 951,000
33,000 Lubrizol Corp. 1,002,375
26,500 Norsk Hydro A.S., ADR 1,242,188
29,478 PHH Corp. 1,632,344
7,000 Phelps Dodge Corp 479,500
12,000 Praxair, Inc. 487,500
20,800 Premark International, Inc. 335,400
22,000 Rhone Poulenc Rorer, Inc. 1,424,500
36,000 Sonoco Products Co. 985,500
16,600 Tyco International, Ltd. 655,700
-----------
Total 14,791,332
-----------
TECHNOLOGY--12.8%
37,000 Avnet, Inc. 1,905,500
13,500 (b)Cabletron Systems, Inc. 982,125
74,338 Comdisco, Inc. 2,044,295
27,717 Computer Associates
International, Inc. 2,016,412
30,000 Harris Corp. 1,938,750
24,200 International Business
Machines 2,583,350
41,905 Lockheed Martin Corp. 3,514,782
68,004 Sprint Corp. 2,881,670
7,300 Textron, Inc. 618,675
-----------
Total 18,485,559
-----------
TRANSPORTATION--1.5%
9,400 CSX Corp. 465,300
22,272 GATX Corp. 1,002,240
7,800 Norfolk Southern Corp. 672,750
-----------
Total 2,140,290
-----------
UTILITIES--8.6%
22,668 (b)360 Communications Co. 524,198
47,671 Ameritech Corp. 2,693,412
<CAPTION>
Principal
Amount
or Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
UTILITIES--CONTINUED
56,000 BellSouth Corp. $ 2,275,000
20,000 Central & SouthWest Corp. 552,500
58,338 DQE 1,567,834
33,865 General Public Utilities Corp. 1,134,478
8,835 New England Electric System 297,077
30,000 Pinnacle West Capital Corp. 795,000
37,193 SBC Communications, Inc. 1,836,404
28,508 Scana Corp. 744,772
-----------
Total 12,420,675
-----------
Total Common Stocks
(identified cost $104,612,412) 133,602,688
-----------
(d)Government Agencies--4.7%
1,300,000 Federal Home Loan Bank System,
Discount Note, 6/12/1996 1,298,335
1,800,000 Federal Home Loan Mortgage
Corp., Discount Note,
6/13/1996 1,797,370
2,800,000 Federal Home Loan Mortgate
Corp, Discount Note, 6/12/1996 2,796,357
800,000 Federal National Mortgage
Association, Discount Note,
6/12/1996 798,975
-----------
Total (identified cost
$6,689,156) 6,691,037
-----------
(d)U.S. Treasury--0.5%
760,000 United States Treasury Bills,
6/13/1996 (identified cost
$758,769) 758,898
-----------
(a)Repurchase Agreement--2.9%
4,226,935 Daiwa Securities America,
Inc., 5.32%, dated 5/31/1996,
due
6/3/1996 (at amortized cost) 4,226,935
-----------
Total Investments (identified
cost $116,287,272) $145,279,558
-----------
</TABLE>
================================================================================
BILTMORE EQUITY INDEX FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--86.4%
CAPITAL GOODS--4.4%
1,114 Briggs & Stratton Corp. $ 47,902
7,927 Browning-Ferris Industries,
Inc. 241,774
7,448 Caterpillar, Inc. 488,775
1,260 Cincinnati Milacron, Inc. 30,240
4,005 Cooper Industries, Inc. 170,713
1,520 Cummins Engine Co., Inc. 64,600
2,896 Eaton Corp. 167,606
8,356 Emerson Electric Co. 715,483
1,334 Foster Wheeler Corp. 59,363
1,890 Grainger (W.W.), Inc. 126,394
62,091 General Electric Co. 5,138,030
1,760 General Signal Corp. 67,320
1,281 Giddings & Lewis, Inc. 21,297
1,703 Harnischfeger Industries,
Inc. 59,605
4,739 Honeywell, Inc. 240,504
4,310 ITT Industries, Inc. 117,986
4,237 Illinois Tool Works, Inc. 283,879
3,932 Ingersoll-Rand Co. 165,636
10,321 Laidlaw, Inc., Class B 104,500
334 NACCO Industries, Inc., Class
A 18,704
1,817 Ogden Corp. 35,204
1,445 PACCAR, Inc. 71,166
2,747 Parker-Hannifin Corp. 111,940
1,634 Raychem Corp. 122,142
2,150 Safety-Kleen Corp. 35,744
1,462 Thomas & Betts Corp. 56,287
18,013 WMX Technologies, Inc. 634,958
-----------
Total 9,397,752
-----------
CONSUMER DURABLES--2.9%
1,388 Armstrong World Industries,
Inc. 81,719
3,170 Black & Decker Corp. 130,366
14,236 Chrysler Corp. 948,474
3,114 Cooper Tire & Rubber Co. 75,125
3,768 Dana Corp. 126,228
9,660 Deere & Co. 402,098
4,221 Dover Corp. 200,498
2,217 Echlin, Inc. 76,209
1,714 Fleetwood Enterprises, Inc. 51,634
43,347 Ford Motor Co. 1,582,166
27,830 General Motors Corp. 1,534,129
4,569 Genuine Parts Co. 207,890
5,641 Goodyear Tire & Rubber Co. 284,871
4,005 Maytag Corp. $ 86,108
Common Stocks--continued
CONSUMER DURABLES--CONTINUED
745 Outboard Marine Corp. 14,434
1,005 Pulte Corp. 28,140
1,652 Stanley Works 100,153
1,158 Timken Co. 45,596
1,073 Trinova Corp. 35,409
2,255 Tupperware Corp. 103,166
1,555 (b)Varity Corp. 76,389
2,746 Whirlpool Corp. 156,179
-----------
Total 6,346,981
-----------
CONSUMER NON-DURABLES--28.9%
29,384 Abbott Laboratories 1,267,185
1,032 Alberto-Culver Co., Class B 40,893
9,458 Albertsons, Inc. 377,138
2,387 Allergan, Inc. 91,900
6,747 American Brands, Inc. 295,181
2,766 American Greetings Corp.,
Class A 75,028
23,250 American Home Products Corp. 1,243,875
5,524 American Stores Co. 206,460
9,855 (b)Amgen, Inc. 586,373
9,549 Anheuser-Busch Cos., Inc. 680,366
19,396 Archer-Daniels-Midland Co. 378,222
2,551 Avon Products, Inc. 235,968
1,750 (b)Bally Entertainment Group 42,000
1,940 Bard (C.R.), Inc. 63,778
2,170 Bausch & Lomb, Inc. 93,310
10,409 Baxter International, Inc. 460,598
2,499 Becton, Dickinson & Co. 212,415
3,653 (b)Beverly Enterprises, Inc. 44,749
3,900 Block (H&R), Inc. 136,013
6,379 (b)Boston Scientific Corp. 273,500
18,748 Bristol-Myers Squibb Co. 1,600,611
668 Brown Group, Inc. 11,356
2,569 Brown-Forman Corp., Class B 104,366
3,566 Brunswick Corp. 79,789
5,447 CPC International, Inc. 376,524
6,446 (b)CUC International, Inc. 238,502
9,275 Campbell Soup Co. 598,238
3,831 Charming Shoppes, Inc. 30,648
3,590 Circuit City Store, Inc. 117,124
1,976 Clorox Co. 168,207
93,260 Coca-Cola Co. 4,289,960
5,394 Colgate-Palmolive Co. $ 424,778
16,489 Columbia/HCA Healthcare Corp. 888,345
</TABLE>
================================================================================
BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
CONSUMER
NON-DURABLES--CONTINUED
1,624 (b)Community Psychiatric
Centers 15,428
8,922 Comcast Corp., Class A 155,020
8,864 ConAgra, Inc. 377,828
1,427 Coors Adolph Co., Class B 26,756
5,883 (b)Darden Restaurants, Inc. 69,861
2,669 Dayton-Hudson Corp. 272,238
4,208 Dillard Department Stores,
Inc., Class A 168,320
3,460 Dial Corp. Del. 99,475
25,406 Disney (Walt) Co. 1,543,415
5,661 Donnelley (R.R.) & Sons Co. 208,042
3,601 Dow Jones & Co. 140,889
6,314 Dun & Bradstreet Corp. 403,307
12,665 Eastman Kodak Co. 941,959
7,500 (b)Federated Department
Stores, Inc. 259,688
1,393 Fleming Cos., Inc. 21,766
2,825 (b)Fruit of the Loom, Inc.,
Class A 76,275
5,216 Gannett Co., Inc. 363,816
10,716 Gap (The), Inc. 360,326
5,885 General Mills, Inc. 337,652
2,207 Giant Foods, Inc., Class A 76,142
16,500 Gillette Co. 975,563
1,423 Great Atlantic & Pacific
Tea Co., Inc. 48,738
2,700 Harcourt General, Inc. 137,025
1,136 Harland (John H.) Co. 30,814
3,817 (b)Harrah's Entertainment,
Inc. 128,347
3,266 Hasbro, Inc. 123,292
13,599 Heinz (H.J.) Co. 452,167
2,890 Hershey Foods Corp. 210,248
1,795 Hilton Hotels Corp. 193,411
17,722 Home Depot, Inc. 906,037
6,014 (b)Humana, Inc. 132,308
4,310 (b)ITT Corp. 265,065
4,155 International Flavors &
Fragrances, Inc. 202,037
2,913 Interpublic Group Cos., Inc. 135,090
24,702 Johnson & Johnson 2,405,357
1,434 Jostens, Inc. 32,444
17,006 K Mart Corp. 197,695
8,187 Kellogg Co. 595,604
10,366 Kimberly-Clark Corp. 755,422
1,367 (b)King World Productions,
Inc. 57,072
1,859 Knight-Ridder, Inc. 138,960
4,561 (b)Kroger Co., Inc. $ 179,019
20,512 Lilly (Eli) & Co. 1,317,896
Common Stocks--continued
CONSUMER
NON-DURABLES--CONTINUED
10,128 Limited, Inc. 210,156
2,787 Liz Claiborne, Inc. 103,467
4,386 Loews Corp. 349,784
770 Longs Drug Stores Corp. 33,014
5,954 Lowe's Cos., Inc. 203,925
883 Luby's Cafeterias, Inc. 21,744
2,324 Manor Care, Inc. 90,636
4,548 Marriott Corp. 216,030
10,286 Mattel, Inc. 280,294
9,248 May Department Stores Co. 438,124
25,824 McDonald's Corp. 1,242,780
3,710 McGraw-Hill Cos., Inc. 173,906
8,599 Medtronic, Inc. 483,694
3,903 Melville Corp. 158,559
1,371 Mercantile Stores Co., Inc. 88,430
45,757 Merck & Co., Inc. 2,957,046
1,023 Meredith Corp. 46,930
5,511 Morton International, Inc. 209,418
3,612 New York Times Co., Class A 118,745
5,881 Newell Co. 176,430
5,382 Nike, Inc., Class B 540,218
3,062 Nordstrom, Inc. 156,162
8,462 Penney (J.C.) Co., Inc. 438,966
2,292 Pep Boys-Manny Moe & Jack 75,636
58,648 PepsiCo, Inc. 1,950,046
23,516 Pfizer, Inc. 1,663,757
18,755 Pharmacia & Upjohn, Inc. 766,611
31,009 Philip Morris Cos., Inc. 3,081,519
3,154 Pioneer Hi-Bred International 178,201
1,675 Polaroid Corp. 75,375
7,253 (b)Price/Costco, Inc. 145,060
25,593 Procter & Gamble Co. 2,248,985
4,980 Quaker Oats Co. 174,923
3,874 Ralston Purina Co. 237,283
2,979 Reebok International Ltd. 90,487
3,141 Rite Aid Corp. 92,267
6,002 Rubbermaid, Inc. 168,056
1,453 Russell Corp. 39,958
1,971 (b)Ryan's Family Steak
Houses, Inc. 17,493
17,859 Sara Lee Corp. 596,044
13,885 Seagram Co. Ltd. 480,768
14,459 Sears, Roebuck & Co. 735,602
4,230 Service Corp. International 236,351
13,664 Schering Plough Corp. 801,052
1,541 (b)Shoney's, Inc. $ 18,877
</TABLE>
================================================================================
BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
CONSUMER
NON-DURABLES--CONTINUED
748 Springs Industries, Inc.,
Class A 34,689
2,596 St. Jude Medical, Inc. 98,648
1,849 Stride Rite Corp. 16,641
2,601 Super Valu Stores, Inc. 80,631
6,790 Sysco Corp. 231,709
2,696 TJX Cos., Inc. 95,034
10,326 (b)Toys-R-Us, Inc. 299,454
24,306 (b)Tele-Communications, Inc.,
Class A 458,776
7,437 (b)Tenet Healthcare Corp. 159,896
14,375 Time Warner, Inc. 580,391
4,174 Times Mirror Co., Class A 182,091
2,451 Tribune Co. 181,680
7,287 UST, Inc. 240,471
5,959 Unilever N.V., ADR 803,720
6,447 United Healthcare Corp. 353,779
5,730 U.S. Healthcare, Inc. 310,853
2,119 U.S. Surgical Corp. 72,576
13,393 (b)Viacom, Inc., Class B 567,528
2,361 V.F. Corp. 143,726
85,549 Wal-Mart Stores, Inc. 2,213,580
9,164 Walgreen Co. 292,103
10,040 Warner-Lambert Co. 562,240
4,474 Wendy's International, Inc. 80,532
15,452 Westinghouse Electric Corp. 283,931
3,907 Whitman Corp. 98,163
5,648 Winn-Dixie Stores, Inc. 194,856
4,934 (b)Woolworth (F.W.) Co. 101,147
4,328 Wrigley (Wm.), Jr. Co. 226,679
-----------
Total 62,849,547
-----------
ELECTRONIC TECHNOLOGY--8.8%
6,035 3Com Corp. 297,224
8,099 AMP, Inc. 341,170
4,844 (b)Advanced Micro Devices,
Inc. 85,376
4,394 (b)Amdahl Corp. 51,630
2,149 (b)Andrew Corp. 116,583
4,511 Apple Computer, Inc. 117,850
6,562 (b)Applied Materials, Inc. 244,435
6,780 Bay Networks, Inc. 196,620
12,714 Boeing Co. $ 1,083,869
Common Stocks--continued
ELECTRONIC
TECHNOLOGY--CONTINUED
2,667 (b)Cabletron Systems, Inc. 194,024
2,458 (b)Ceridian Corp. 129,967
20,510 (b)Cisco Systems, Inc. 1,122,923
9,732 (b)Compaq Computer Corp. 473,219
2,040 (b)Computer Sciences Corp. 160,905
4,253 (b)DSC Communications Corp. 128,122
1,384 (b)Data General Corp. 17,646
5,704 (b)Digital Equipment Corp. 297,321
1,981 EG & G, Inc. 43,087
8,430 EMC Corp. Mass 186,514
2,345 General Dynamics Corp. 144,511
4,563 General Instrument Corp. 140,883
1,448 Harris Corp. 93,577
18,990 Hewlett-Packard Co. 2,027,183
30,654 Intel Corp. 2,314,377
1,698 (b)Intergraph Corp. 22,286
21,170 International Business
Machines Corp. 2,259,898
4,752 LSI Logic Corp. 147,906
7,435 Lockheed Martin Corp. 623,611
4,253 McDonnell-Douglas Corp. 429,553
7,638 Micron Technology, Inc. 246,326
21,910 Motorola, Inc. 1,462,493
4,624 (b)National Semiconductor
Corp. 75,140
9,435 Northern Telecom Ltd. 511,849
1,837 Northrop Corp. 115,042
13,630 (b)Novell, Inc. 194,228
1,559 Perkin-Elmer Corp. 82,627
9,176 Raytheon Co. 488,622
8,062 Rockwell International Corp. 470,619
2,856 Scientific-Atlanta, Inc. 53,907
5,904 (b)Silicon Graphics, Inc. 162,360
6,908 (b)Sun Microsystems, Inc. 432,614
4,329 (b)Tandem Computers, Inc. 54,113
1,204 Tektronix, Inc. 45,752
3,237 Tellabs, Inc. 208,787
6,931 Texas Instruments, Inc. 389,869
6,366 (b)Unisys Corp. 51,724
4,594 United Technologies Corp. 502,469
-----------
Total 19,040,811
-----------
</TABLE>
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BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
ENERGY MINERALS--8.4%
3,462 Amerada-Hess Corp. $ 197,334
18,485 Amoco Corp. 1,340,163
2,310 Ashland, Inc. 98,753
5,987 Atlantic Richfield Co. 716,195
5,251 Baker Hughes, Inc. 164,750
4,711 Burlington Resources, Inc. 179,018
24,276 Chevron Corp. 1,450,491
3,903 Coastal Corp. 160,023
3,466 Consolidated Natural Gas Co. 167,668
6,785 Dresser Industries, Inc. 198,461
9,370 Enron Corp. 374,800
2,493 Enserch Corp. 53,911
46,151 Exxon Corp. 3,911,297
3,080 Fluor Corp. 200,970
7,452 (b)Freeport-McMoRan Copper &
Gold, Inc., Class B 247,779
4,252 Halburton 236,518
920 Helmerich & Payne, Inc. 33,350
1,925 Kerr-McGee Corp. 113,094
1,244 Louisiana Land &
Exploration Co. 67,021
2,004 McDermott International, Inc. 43,587
14,653 Mobil Corp. 1,653,957
4,599 Noram Energy Corp. 48,864
11,812 Occidental Petroleum Corp. 305,636
1,006 Oneok, Inc. 27,414
3,846 (b)Oryx Energy Co. 62,498
5,556 Panenergy Corp. 178,487
1,720 Pennzoil Co. 74,390
9,754 Phillips Petroleum Co. 404,791
3,137 (b)Rowan Companies, Inc. 47,447
19,960 Royal Dutch Petroleum Co.,
ADR 2,994,000
3,360 (b)Santa Fe Energy Resource,
Inc. 40,320
9,021 Schlumberger Ltd. 752,126
3,216 Sonat, Inc. 136,278
2,808 Sun Co., Inc. 85,995
9,818 Texaco, Inc. 822,258
11,065 USX Corp. 242,047
9,083 Unocal Corp. 295,198
1,971 (b)Western Atlas, Inc. 120,724
3,769 Williams Cos., Inc. (The) 189,392
-----------
Total 18,437,005
-----------
Common Stocks--continued
FINANCE--11.5%
4,014 AON Corp. $ 202,205
4,196 Aetna Life & Casualty Co. 309,455
4,361 Ahmanson (H.F.) & Co. 112,296
1,648 Alexander & Alexander
Services, Inc. 32,754
16,708 Allstate Corp. 705,913
18,154 American Express Co. 830,546
7,626 American General Corp. 270,723
17,645 American International Group,
Inc. 1,663,041
16,836 Banc One Corp. 622,932
4,140 Bank of Boston Corp. 206,483
7,435 Bank of New York Co., Inc. 385,691
13,754 BankAmerica Corp. 1,034,989
2,916 Bankers Trust New York Corp. 219,065
3,610 Barnett Banks, Inc. 225,625
1,968 Beneficial Corp. 114,636
5,880 Boatmen's Bancshares, Inc. 237,773
2,823 CIGNA Corp. 324,292
16,272 Chase Manhattan Corp. 1,139,040
6,476 Chubb Corp. 301,944
17,996 Citicorp 1,511,664
4,258 Comerica, Inc. 186,288
8,191 Corestates Financial Corp. 322,521
6,289 Dean Witter, Discover & Co. 372,623
6,731 Federal Home Loan Mortgage
Corp. 556,149
40,628 Federal National Mortgage
Association 1,254,390
3,730 Fifth Third Bancorp 203,285
5,425 First Bank System, Inc. 327,534
11,838 First Chicago NBD Corp. 516,433
10,469 First Union Corp. 639,918
9,837 Fleet Financial Group, Inc. 434,058
3,052 General RE Corp. 445,592
2,181 Golden West Financial Corp. 119,682
5,026 Great Western Financial Corp. 115,598
5,093 Green Tree Financial Corp. 166,796
3,593 Household International, Inc. 248,815
4,310 ITT Hartford Group, Inc. 223,043
6,982 J.P. Morgan & Co., Inc. 606,561
2,712 Jefferson-Pilot Corp. 139,329
8,801 KeyCorp 341,039
3,869 Lincoln National Corp. 181,843
8,293 MBNA Corp. 253,973
2,714 Marsh & McLennan Cos., Inc. 254,098
4,957 Mellon Bank Corp. 283,169
</TABLE>
================================================================================
BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
FINANCE--CONTINUED
6,552 Merrill Lynch & Co., Inc. $ 424,242
5,700 Morgan Stanley Group, Inc. 282,150
7,937 National City Corp. 282,756
11,001 NationsBank Corp. 892,456
13,119 Norwest Corp. 457,525
12,722 PNC Financial Corp. 386,431
3,596 Providian Corp. 156,876
2,069 Republic New York Corp. 130,864
4,684 SAFECO Corp. 157,792
3,953 Salomon, Inc. 165,532
3,142 St. Paul Cos., Inc. 166,133
8,574 SunTrust Banks, Inc. 312,951
2,664 Torchmark Corp. 113,553
2,583 Transamerica Corp. 209,223
17,858 Travelers Group, Inc. 741,086
5,630 U.S. Bancorp. 200,569
4,156 USF&G Corp. 66,496
1,280 USLIFE Corp. 38,400
6,374 Wachovia Corp. 273,285
3,633 Wells Fargo & Co. 875,553
-----------
Total 24,977,677
-----------
MATERIALS AND SERVICES--7.5%
1,571 ASARCO, Inc. 49,290
4,153 Air Products & Chemicals,
Inc. 247,104
8,363 Alcan Aluminum Ltd. 273,888
4,740 Alco Standard Corp. 296,250
10,590 Allied-Signal, Inc. 579,803
6,632 Aluminum Co. of America 408,697
3,056 (b)Alza Corp. 87,096
3,943 (b)Armco, Inc. 20,701
1,984 Avery Dennison Corp. 113,088
1,123 Ball Corp. 31,023
13,156 Barrick Gold Corp. 414,414
1,917 Bemis Co., Inc. 63,501
4,101 (b)Bethlehem Steel Corp. 52,288
4,331 (b)Biomet, Inc. 60,634
1,751 Boise Cascade Corp. 73,542
2,659 Case Corp. 133,282
1,063 Centex Corp. 32,023
3,470 Champion International Corp. 153,114
8,525 Corning, Inc. 326,081
1,122 Crane Co. 47,264
4,628 (b)Crown Cork & Seal Co.,
Inc. 216,359
3,446 Cyprus Amax Minerals 82,704
3,072 Deluxe Corp. 111,360
Common Stocks--continued
MATERIALS AND
SERVICES--CONTINUED
9,731 Dow Chemical Co. $ 813,755
20,565 Du Pont (E.I.) de Nemours &
Co. 1,640,059
3,102 Eastman Chemical Co. 207,834
4,167 Echo Bay Mines Ltd. 56,255
2,396 Ecolab, Inc. 77,870
5,308 Engelhard Corp. 130,046
1,361 (b)FMC Corp. 91,527
8,188 First Data Corp., Class 652,993
3,373 Georgia-Pacific Corp. 243,699
1,928 Goodrich (B.F.) Co. 76,397
3,508 Grace (W.R.) & Co. 261,346
2,471 Great Lakes Chemical Corp. 159,380
4,151 Hercules, Inc. 235,569
5,135 Homestake Mining Co. 105,909
4,356 Inco Ltd. 142,115
1,810 Inland Steel Industries, Inc. 39,141
9,429 International Paper Co. 375,981
3,047 James River Corp. of Virginia 75,794
1,206 Kaufman & Broad Homes Corp. 17,939
4,014 Louisiana-Pacific Corp. 98,845
2,854 Mallinckrodt Group, Inc. 107,382
5,840 Masco Corp. 182,500
2,109 Mead Corp. 113,359
1,683 Millipore Corp. 73,842
15,636 Minnesota Mining &
Manufacturing Co. 1,067,157
4,249 Monsanto Co. 645,317
2,529 Nalco Chemical Co. 80,296
1,801 National Service Industries,
Inc. 70,014
3,499 Newmont Mining Corp. 210,815
3,255 Nucor Corp. 179,025
1,764 (b)Owens Corning 71,001
7,288 PPG Industries, Inc. 377,154
4,329 Pall Corp. 115,801
2,589 Phelps Dodge Corp. 177,347
8,878 Placer Dome, Inc. 263,011
1,088 Potlatch Corp. 44,880
5,599 Praxair, Inc. 227,459
2,338 Reynolds Metals Co. 126,252
2,520 Rohm & Haas Co. 170,730
4,891 Santa Fe Pacific Gold 74,588
3,171 Sherwin-Williams Co. 142,299
1,856 Sigma-Aldrich Corp. 103,936
1,494 Snap-On Tools Corp. 71,899
3,564 Stone Container Corp. 55,242
2,067 Teledyne, Inc. 78,029
</TABLE>
================================================================================
BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
MATERIALS AND
SERVICES--CONTINUED
2,088 Temple-Inland, Inc. $ 102,834
6,732 Tenneco, Inc. 361,845
5,686 Tyco International, Ltd. 224,597
2,703 UNUM Corp. 159,477
3,043 USX-U.S. Steel Group, Inc. 94,333
2,608 Union Camp Corp. 137,246
5,111 Union Carbide Corp. 220,412
3,757 Westvaco Corp. 120,224
7,670 Weyerhaeuser Co. 348,026
2,050 Willamette Industries, Inc. 123,000
3,381 Worthington Industries, Inc. 68,043
-----------
Total 16,165,332
-----------
TECHNOLOGY SERVICES--5.7%
59,384 AT&T Corp. 3,704,077
18,404 (b)Airtouch Communications,
Inc. 586,628
1,775 Autodesk, Inc. 61,681
10,738 Automatic Data Processing,
Inc. 412,071
8,944 Computer Associates
International, Inc. 650,676
1,519 Johnson Controls, Inc. 105,950
25,316 MCI Communications Corp. 737,329
22,018 (b)Microsoft Corp. 2,614,638
3,706 Moore Corp. Ltd. 69,024
24,070 (b)Oracle Corp. 797,319
5,620 Pitney Bowes, Inc. 278,893
860 Shared Medical Systems Corp. 57,513
16,154 Sprint Corp. 684,526
2,424 TRW, Inc. 228,462
2,427 Tandy Corp. 131,058
3,168 Textron, Inc. 268,488
17,523 U.S. West Media Group 330,747
3,983 Xerox Corp. 626,825
-----------
Total 12,345,905
-----------
TRANSPORTATION--1.4%
3,355 (b)AMR Corp. 316,628
5,541 Burlington Northern Santa Fe 469,600
1,455 Caliber System, Inc. 54,017
7,828 CSX Corp. 387,486
1,613 Consolidated Freightways,
Inc. 38,309
2,917 Consolidated Rail Corp. 204,919
1,890 Delta Air Lines, Inc. 156,634
2,088 (b)Federal Express Corp. 159,993
2,796 Navistar International Corp. 29,009
4,918 Norfolk Southern Corp. 424,178
2,935 Ryder Systems, Inc. $ 85,849
Common Stocks--continued
TRANSPORTATION--CONTINUED
5,346 Southwest Airlines Co. 146,347
2,193 (b)USAir Group, Inc. 43,312
7,643 Union Pacific Corp. 535,965
1,047 (b)Yellow Corp. 13,611
-----------
Total 3,065,857
-----------
UTILITIES--6.9%
7,029 Alltel Corp. 221,414
6,908 American Electric Power Co.,
Inc. 277,184
20,594 Ameritech Corp. 1,163,561
5,493 Baltimore Gas & Electric Co. 150,371
16,247 Bell Atlantic Corp. 1,013,407
36,960 BellSouth Corp. 1,501,500
5,826 Carolina Power & Light Co. 210,464
7,706 Central & SouthWest Corp. 212,878
5,775 Cinergy Corp. 171,084
1,882 (b)Columbia Gas System, Inc. 91,983
8,747 Consolidated Edison Co. 243,823
5,386 DTE Energy Co. 157,541
6,430 Dominion Resources, Inc. 243,536
7,627 Duke Power Co. 368,003
750 Eastern Enterprises 25,594
16,654 Edison International 274,791
8,480 Entergy Corp. 222,600
6,909 FPL Group, Inc. 295,360
36,116 GTE Corp. 1,543,959
4,287 General Public Utilities 143,615
9,780 Houston Industries, Inc. 213,938
1,892 NICOR, Inc. 52,503
15,846 NYNEX Corp. 730,897
5,373 Niagara Mohawk Power Corp. 40,969
2,510 Northern States Power Co. 117,970
5,681 Ohio Edison Co. 124,272
5,885 PP&L Resources, Inc. 134,619
3,048 Pacific Enterprises 80,391
15,797 Pacific Gas & Electric Co. 367,280
15,772 Pacific Telesis Group 526,391
10,584 Pacificorp 213,003
8,257 Peco Energy Co. 203,329
1,299 Peoples Energy Corp. 41,730
9,111 Public Service Enterprises
Group, Inc. 241,442
22,622 SBC Communications, Inc. 1,116,961
24,776 Southern Co. 572,945
8,409 Texas Utilities Co. 343,718
17,523 U.S. West, Inc. $ 571,688
</TABLE>
================================================================================
BILTMORE EQUITY INDEX FUND
<TABLE>
<CAPTION>
Principal
Amount
or Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
UTILITIES--CONTINUED
7,991 Unicom Corp. 220,751
3,802 Union Electric Co. 149,704
7,177 WorldCom, Inc. 350,726
-----------
Total 14,947,895
-----------
Total Common Stocks
(identified cost
$126,978,236) 187,574,762
-----------
(d)Government Agencies--9.9%
800,000 Federal Farm Credit Bank,
6/10/1996 799,184
2,700,000 Federal Home Loan Bank
System, 6/12/1996 2,696,544
15,600,000 Federal Home Loan Mortgage
Corp., 6/13/1996 15,577,224
920,000 Federal National Mortgage
Discount Notes, 6/12/1996 918,804
1,500,000 Federal National Mortgage
Association, 6/12/1996 1,498,080
-----------
Total Government Agencies
(identified cost $21,484,064) 21,489,836
-----------
Preferred Stocks--0.0%
PRODUCER MANUFACTURING--0.0%
20 Teledyne, Inc., Pfd., Series
E, $1.20 (identified cost $0) $ 283
-----------
(d)U.S. Treasury Bills--0.8%
$1,723,000 6/13/1996 (identified cost
$1,720,188) 1,720,502
-----------
(a)Repurchase Agreement--2.7%
5,966,217 Daiwa Securities America,
Inc., 5.32%, dated 5/31/1996,
due 6/3/1996 (at amortized
cost) 5,966,217
-----------
Total Investments (identified
cost
$156,148,705) $216,751,600
-----------
</TABLE>
================================================================================
BILTMORE SPECIAL VALUES FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--97.4%
BROADCASTING--0.6%
21,000 Jones Intercable Invest LP $ 273,000
----------
CAPITAL GOODS--3.4%
6,000 Butler Manufacturing Co. 226,500
5,000 Franklin Electronics, Inc. 181,250
14,000 (b)Gardner Denver Machinery,
Inc. 360,500
7,500 Powell Industries, Inc. 87,187
8,000 Stewart & Stevenson Services 200,000
14,000 Twin Disc, Inc. 330,750
----------
Total 1,386,187
----------
CONSUMER DURABLES--4.1%
6,500 Allen Organ Co., Cl. B 245,375
9,075 Amtrol, Inc. 199,650
4,000 Barnes Group, Inc. 195,000
30,000 Boston Acoustics, Inc. 585,000
6,000 Smith A.O. Corp. 160,500
17,000 Transpro, Inc. 127,500
8,000 Walbro Corp. 174,000
----------
Total 1,687,025
----------
CONSUMER NON-DURABLES--12.7%
7,000 (b)Americana Hotels & Realty
Corp. 23,625
35,000 (b)American Media, Inc., Cl. A 166,250
20,500 (b)Cardinal Realty Services Inc. 440,750
27,000 (b)Carson Pirie Scott & Co. 749,250
10,000 Central Newspapers, Inc., Class
A 370,000
100,000 Cordiant PLC-ADR 562,500
15,000 (b)Craig Corp., Cl. A 180,000
52,000 International Specialty
Products, Inc. 578,500
5,000 Plenum Publishing Corp. 177,500
11,000 (b)Price Enterprises, Inc. 171,875
35,000 (b)Prime Hospitality Corp. 560,000
5,000 Pulitzer Publishing Co. 275,000
8,000 (b)Summit Family Restaurants 39,000
27,000 Valassis Communication, Inc. 479,250
7,400 Velco Industries 426,425
----------
Total 5,199,925
----------
ENERGY--19.9%
37,000 (b)Alamco, Inc. 388,500
11,000 (b)Atwood Oceanics, Inc. 455,125
30,000 Berry Petroleum Co., Cl. A 326,250
27,575 (b)Cliffs Drilling Co. 735,908
8,000 (b)Crystal Oil Corp. $ 272,000
Common Stocks--continued
ENERGY--CONTINUED
25,000 (b)Dawson Production Services,
Inc. 303,125
23,000 (b)Destec Energy, Inc. 310,500
8,000 (b)Dreco Energy Services Ltd. 222,000
18,000 (b)Global Industries Ltd. 558,000
27,000 (b)Forest Oil Corp. 347,625
30,000 (b)Global Natural Resources,
Inc. 483,750
18,000 Holly Corp. 486,000
10,000 KCS Energy, Inc. 251,250
18,000 (b)Marine Drilling Cos., Inc. 182,250
40,000 (b)McFarland Energy 395,000
37,000 (b)Nabors Industries, Inc. 568,875
20,000 (b)Offshore Logistics, Inc. 290,000
20,000 (b)Patterson Energy Inc. 327,500
33,000 (b)Pool Energy Services Co. 457,875
9,000 (b)Pride Petroleum Services,
Inc. 155,250
30,000 Snyder Oil Corp. 296,250
26,000 Wiser Oil Co. 341,250
----------
Total 8,154,283
----------
FINANCE--20.5%
12,000 Blanch, E. W. Holdings, Inc. 255,000
5,000 Capital Southwest Corp. 290,625
40,000 (b)Capsure Holdings Corp. 735,000
40,000 (b)Danielson Holding Corp. 300,000
8,147 Equus II, Inc. 118,132
28,790 Financial Security Assurance
Holdings Ltd. 795,324
9,000 Fund American Enterprises, Inc. 729,000
20,000 IPC Holdings Ltd. 412,500
10,000 John Hancock Bank and Thrift
Opp. Fund 237,500
10,000 John Nuveen & Co., Inc., Cl. A 243,750
29,000 Lawyers Title Corp. 485,750
24,000 Leucadia National Corp. 591,000
12,000 Liberty Corp. 384,000
20,000 Midland Financial Group, Inc. 247,500
20,000 Piper Jaffray Cos., Inc. 267,500
18,000 Security Connecticut Corp. 522,000
16,000 Somerset Group, Inc. 252,000
18,000 Stewart Information Services
Corp. 366,750
10,000 (b)Transport Holdings, Inc., Cl.
A 440,000
37,000 Unico American Corp. 277,500
8,000 (b)Union Corp. $ 159,000
</TABLE>
================================================================================
BILTMORE SPECIAL VALUES FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
FINANCE--CONTINUED
14,000 United Wisconsin Services, Inc. 276,500
----------
Total 8,386,331
----------
MATERIALS & SERVICES--25.5%
23,000 Amcast Industrial Corp. 445,625
10,000 (b)Atchison Casting Corporation 155,000
21,000 Blount International, Inc., Cl.
A 698,250
12,000 Cleveland Cliffs, Inc. 481,500
32,000 Duff & Phelps Credit Rating 604,000
28,000 (b)Emcor Goup Inc. 456,750
10,000 Forest City Enterprises, Inc.,
Cl. A 393,750
1,300 Forest City Enterprises, Inc.,
Cl. B 52,163
18,000 Furon Co. 429,750
10,000 Hanna M.A. Co. 343,750
30,000 Lafarge Corp. 641,250
8,000 Lone Star Industries, Inc. 266,000
10,000 (b)Magellan Health Services,
Inc. 240,000
10,000 Medusa Corp. 306,250
20,000 Midwest Grain Products, Inc. 250,000
25,000 Miramar Mining Corp. 168,750
8,200 (b)Portec, Inc. 86,100
10,000 Puerto Rican Cement Co., Inc. 328,750
10,000 Quanex Corp. 232,500
20,000 Raven Industries, Inc. 395,000
40,000 Royal Oak Mines, Inc. 177,500
30,000 Schuller Corp. 341,250
50,000 (b)Sudbury Inc. 450,000
24,000 (b)Sunshine Mining Co. 264,000
65,000 (b)Tyler Corp. 178,750
36,000 Union Switch & Signal, Inc. 387,000
12,700 (b)Vertex Communications Corp. 222,250
10,000 Varlen Corp. 218,750
16,000 (b)White River Corp. 674,000
15,000 Wolverine Tube, Inc. 547,500
----------
Total 10,436,138
----------
<CAPTION>
Principal
Amount
or Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
TECHNOLOGY SERVICES--8.5%
10,000 (b)Astrosystems, Inc. $ 55,000
22,700 (b)Burr Brown Corp. 476,700
42,000 (b)ESCO Electronics Corp. 530,250
12,000 (b)Evans & Sutherland Computer
Co. 282,000
33,000 Gilbert Association Inc., Cl. A 437,250
23,500 (b)Moore Products Co. 443,562
17,000 Silicon Valley Group, Inc. 408,000
45,000 United Industrial Corp. 281,250
26,000 (b)Wang Laboratories, Inc. 562,250
----------
Total 3,476,262
----------
TRANSPORTATION--1.2%
29,000 (b)Kirby Corp. 511,125
----------
UTILITIES--1.0%
25,000 Lincoln Telecommunications Co. 412,500
----------
Total Common Stocks
(identified cost $33,496,051) 39,922,776
----------
Corporate Bonds--0.6%
CONSUMER DURABLES--0.6%
325,000 Audiovox Corp., Conv. Sub. Deb.,
6.25%, 3/15/2001 (identified
cost $199,063) 238,062
----------
Preferred Stocks--0.9%
35,000 (b)Craig Corp., Pfd. (identified
cost $372,160) 389,375
----------
(a)Repurchase Agreement--0.7%
272,205 Daiwa Securities America, Inc.,
5.32%, dated 5/31/1996,
due 6/3/1996 (at amortized cost) 272,205
----------
Total Investments (identified
cost $34,339,479) $40,822,418
----------
</TABLE>
================================================================================
BILTMORE EMERGING MARKETS FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--77.4%
ARGENTINA--7.6%
17,000 Banco Bansud, S.A.,
Class B $ 200,680
20,125 Banco Frances Del Rio de la
Plata, S.A., ADR 566,016
15,800 Buenos Aires Embotelladora,
S.A., ADR 252,800
60,000 Central Costanera, S.A.,
Class B 220,888
55,333 (b)Ciadea, S.A. 401,325
15,000 (b)Disco, S.A., ADR 303,750
8,000 Inversiones y
Representaciones, S.A., GDR 261,000
55,844 Juan Minetti, S.A. 244,136
35,000 Molinos Rio de la Plata,
Class B 399,160
229,535 Perez Companc, S.A. 1,465,019
35,000 Quilmes Industrial, S.A.,
ADR 428,750
370,000 Siderca, S.A., Class A 447,879
13,600 Telecom Argentina Stet
France, S.A., ADR 632,400
23,300 Telefonica de Argentina,
S.A., ADR 678,613
25,000 Transportadora de Gas del
Sur, S.A., Class B, ADR 318,750
49,500 YPF Sociedad Anonima, ADR 1,089,000
-----------
Total Argentina 7,910,166
-----------
BRAZIL--0.9%
38,000 Souza Cruz, S.A. 272,163
13,000,000 Telecomunicacoes
Brasileiras,
S.A., Common Shares 648,502
-----------
Total Brazil 920,665
-----------
CHILE--3.4%
9,000 Banco O'Higgins, ADR 204,750
8,000 Banco Osorno Y La Union,
S.A., Class A, ADR 112,000
9,275 Chilgener, S.A., ADR 219,122
6,800 Compania Cervecerias Unidas,
S.A., ADR 154,806
7,000 Compania de
Telecomunicaciones de Chile,
S.A., ADR 638,750
8,000 Cristalerias de Chile, S.A.,
ADR 191,000
5,500 Embotelladora Andina, S.A.,
ADR 195,250
Common Stocks--continued
CHILE--CONTINUED
18,500 Empresa Nacional de
Electricidade, S.A., ADR $ 356,125
14,000 Enersis, S.A., ADR 411,250
7,400 Madeco, S.A., ADR 197,950
13,300 Maderas Y Sinteticos, S.A.,
ADR 216,125
12,500 Santa Isabel, S.A., ADR 331,250
5,000 Sociedad Quimica Y Minera de
Chile, ADR 258,750
-----------
Total Chile 3,487,128
-----------
CHINA--2.3%
5,000 (b)Guangshen Railway Co.,
Ltd., Class N, ADR 98,750
2,200,000 Harbin Power Equipment Co.,
Class H 309,927
11,500 (b)Huaneng Power
International Inc., Class N,
ADR 188,313
2,000,000 Maanshan Iron & Steel Co.,
Class H 338,619
1,600,000 Qingling Motors Co.,
Class H 563,504
1,500,000 Shanghai Haixing Shipping
Co., Class H 108,565
10,000 Shanghai Petrochemcial
Corp., Ltd., Class N, ADR 292,500
2,000,000 Yizheng Chemcial Fibre Co.,
Ltd., Class H 485,958
-----------
Total China 2,386,136
-----------
COLOMBIA--0.1%
7,000 Banco Industrial Colombiano,
S.A., ADR 133,000
-----------
CZECH REPUBLIC--1.0%
3,000 (b)Ceske Energeticke Zavody
A.S. (CEZ) 131,707
724 Elektrarny Opatovice A.S. 117,724
1,072 Inzenyrske A Prumslove
Stavby Praha (IPS Praha) 123,759
12,500 (b)Komercni Banka A.S., GDR 331,250
2,500 SPT Telekom A.S. 301,265
-----------
Total Czech Republic 1,005,705
-----------
</TABLE>
================================================================================
BILTMORE EMERGING MARKETS FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
GREECE--3.4%
39,720 AEGEK, S.A. $ 268,590
15,089 Alpha Credit Bank 751,790
4,400 Commercial Bank of Greece 144,385
13,620 Ergo Bank, S.A. 746,402
9,180 Goody's, S.A. 161,664
21,000 Hellenic Bottling Co., S.A. 727,007
6,200 Hellenic Technodomiki, S.A. 108,027
10,100 Michaniki, S.A. 119,834
3,300 National Bank of Greece 175,918
6,850 Titan Cement Co. 331,062
-----------
Total Greece 3,534,679
-----------
HONG KONG--5.5%
375,000 Amoy Properties Ltd. 465,279
100,000 Cheung Kong Holdings Ltd. 739,922
110,000 China Light and Power Co. 523,180
225,000 Citic Pacific Ltd. 924,741
75,000 Guoco Group Ltd. 365,438
64,800 Hong Kong & Shanghai Bank 979,877
60,000 Hong Kong Electric Ltd. 192,315
15,000 Hong Kong Telecommunications
Ltd., ADR 277,500
75,000 Hutchison Whampoa Ltd. 481,757
75,000 Sun Hung Kai Properties 765,771
-----------
Total Hong Kong 5,715,780
-----------
HUNGARY--0.9%
8,000 Borsodchem RT, GDR 154,000
8,000 (b)Danubius Hotel and Spa RT 135,593
4,000 Egis RT 200,034
4,000 (b)Gedeon Richter Ltd., GDR 167,000
10,000 Mol Magyar Olaj--Es Gazipari
RT, GDR 119,000
10,000 OTP Bank, GDR 122,000
1,500 Pick Szeged RT 66,454
-----------
Total Hungary 964,081
-----------
INDIA--2.2%
17,250 Arvind Mills Ltd., GDR 81,075
6,800 (b)BSES Ltd., GDR 132,600
11,000 Grasim Industries, GDR 198,000
5,000 (b)Gujarat Ambuja Cements
Ltd., GDR 61,250
5,000 (b)Hindalco Industries Ltd.,
GDR 222,500
3,000 (b)Indian Hotels Co., Ltd.,
GDR 87,750
5,500 Indian Petrochemicals Corp.,
Ltd., GDR 94,875
Common Stocks--continued
INDIA--CONTINUED
9,000 Larsen & Toubro Ltd., GDR $ 180,000
11,000 (b)Mahindra & Mahindra Ltd.,
GDR 121,000
6,000 Ranbaxy Laboratories Ltd.,
GDR 138,000
27,000 (b)Reliance Industries Ltd.,
GDR 411,750
10,000 (b)Steel Authority of India
Ltd., GDR 142,500
600 Tata Electric Co., GDR 282,000
6,940 Tata Engineering &
Locomotive Co., GDR 124,920
-----------
Total India 2,278,220
-----------
INDONESIA--4.0%
10,000 Indonesian Satellite Corp.,
ADR 342,500
240,000 PT Astra International 360,129
118,750 PT Bank Dagang Nasional
Indonesia 117,095
50,000 PT Bank International
Indonesia 260,986
175,000 PT Barito Pacific Timber 150,054
29,500 PT Ciputra Development 63,237
18,000 PT Gudang Garam 146,624
45,000 PT Hanjaya Mandala Sampoerna 559,003
426,237 PT Indah Kiat Pulp & Paper
Corp. 406,593
50,000 PT Indocement Tunggal
Prakarsa 177,921
45,000 PT Indofood Sukses Makmur 204,019
300,000 PT Mayora Indah 183,280
45,000 PT Modern Photo Film Co. 219,936
140,000 PT Mulia Industrindo 231,083
170,000 PT Semen Gresik 563,023
8,000 PT Telekomunikasi, ADR 244,000
-----------
Total Indonesia 4,229,483
-----------
KOREA, REPUBLIC OF--6.7%
28,000 Cho Hung Bank Co., Ltd. 322,660
9,525 Chosun Brewery Co., Ltd. 338,473
25,000 Daewoo Heavy Industries Ltd. 253,189
13,980 (b)Housing and Commercial
Bank 394,792
6,120 (b)Hyundai Engineering &
Construction Co., Ltd. 309,126
3,230 (b)Hyundai Motor Co., Ltd. 136,505
30,800 Korea Electric Power Corp. 1,180,481
540 Korea Mobile
Telecommunications Corp. 765,642
11,200 Korean Air 325,503
13,000 L.G. Chemical 245,828
9,900 (b)L.G. Electronics Inc. $ 272,644
</TABLE>
================================================================================
BILTMORE EMERGING MARKETS FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
KOREA, REPUBLIC
OF--CONTINUED
10,704 L.G. Electronics Inc., GDR 99,547
1,800 L.G. Information &
Communication Ltd. 235,294
15,400 L.G. Securities Co., Ltd. 318,574
2,810 Pohang Iron and Steel Co.,
Ltd. 246,040
2,116 Samsung Display Devices Ltd. 186,639
6,362 Samsung Electronics Co.,
Ltd. 557,114
13,000 Shinhan Bank Co., Ltd. 309,223
9,000 Ssangyong Investment
Securities Co., Ltd. 185,037
8,300 Yukong Ltd. 258,075
-----------
Total Korea, Republic of 6,940,386
-----------
MALAYSIA--6.4%
40,000 AMMB Holdings, BHD 540,757
20,000 Carlsberg Brewery 126,577
60,000 Genting, BHD 509,513
55,000 Hume Industries, BHD 277,589
152,500 Land & General, BHD 360,405
63,000 Leader Universal Holdings,
BHD 189,265
47,000 Malayan Banking, BHD 446,185
70,000 Malaysian International
Shipping, BHD 215,902
39,500 Oyl Industries, BHD 392,389
50,000 Perusahaan Otomobil
Nasional, BHD 258,362
220,000 Renong, BHD 366,593
50,000 Resorts World, BHD 288,404
12,000 Rothmans of Pall Mall, BHD 116,323
200,000 Sime Darby, BHD 536,751
80,000 Telekom Malaysia, BHD 730,623
175,000 Tenaga Nasional, BHD 743,040
50,000 UMW Holdings, BHD 164,230
50,000 United Engineers, BHD 348,488
-----------
Total Malaysia 6,611,396
-----------
MEXICO--7.5%
30,000 Alfa, S.A. de C.V., Class A 486,628
56,000 (b)Altos Hornos de Mexico,
S.A. de C.V. 451,923
155,000 Cemex, S.A. de C.V. 578,444
290,000 Cifra, S.A. de C.V. 431,337
70,800 (b)Corporacion GEO, S.A. de
C.V., Class B 309,050
26,541 (b)Desc Sociedad de Fomento
Industrial, S.A. de C.V.,
Class C, ADR $ 567,310
Common Stocks--continued
MEXICO--CONTINUED
35,000 Empresas ICA Sociedad
Controladora, S.A. de C.V.,
ADR 503,125
18,500 Empresas La Moderna, S.A. de
C.V., ADR 351,500
90,000 Fomento Economico Mexicano,
S.A. de C.V., Class B 266,150
70,000 (b)Gruma, S.A. de C.V. 348,939
37,800 (b)Grupo Carso, S.A. de C.V. 278,057
16,500 Grupo Casa Autrey, S.A. de
C.V., ADR 342,375
160,000 Grupo Financiero Banamex
Accival, S.A. de C.V.,
Class B 362,142
7,117 Grupo Financiero Banamex
Accival, S.A. de C.V.,
Class L 14,958
8,000 Grupo Televisa, S.A. de
C.V., GDR 246,000
105,000 Industrias Penoles, S.A. 522,701
25,500 Kimberly Clark de Mexico,
S.A. de C.V. 471,351
28,500 Telefonos de Mexico, S.A.,
Class L, ADR 940,500
35,000 Transportacion Maritima
Mexicana, S.A. de C.V.,
Class L, ADR 275,625
-----------
Total Mexico 7,748,115
-----------
PANAMA--0.4%
10,200 Pan American Beverage Inc.,
Class A, ADR 428,400
-----------
PERU--2.7%
39,000 Banco Wiese, ADR 258,375
80,000 Cementos Norte Pacasmayo,
S.A. 120,530
203,328 Cervecerias Backus &
Johnson, Class T 291,190
12,710 Compania de Minas Buenaven-
tura, S.A., Class B 114,159
38,081 Compania de Minas Buenaven-
tura, S.A., Class C 342,035
108,217 (b)Consorcio de Alimentos
Fabril Pacifico, S.A. 141,094
24,910 Credicorp Ltd., ADR 460,835
34,619 (b)Minsur, S.A. 308,075
268,300 Peruana de Telefonos Ltd.,
Class B $ 530,825
</TABLE>
================================================================================
BILTMORE EMERGING MARKETS FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
PERU--CONTINUED
14,000 Southern Peru Copper Corp.,
ADR 245,000
-----------
Total Peru 2,812,118
-----------
PHILIPPINES--3.8%
541,250 Ayala Land, Inc., Class B 930,338
125,000 (b)C & P Homes, Inc. 102,655
1,300,000 JG Summit Holdings, Inc. 521,390
35,000 Manila Electric Co., Class B 357,620
15,000 Metropolitan Bank and
Trust Co. 449,771
635,938 Petron Corp. 248,982
6,200 Philippine Long Distance
Telephone Co., ADR 356,500
25,000 (b)Philippine National Bank 441,654
159,500 San Miguel Corp., Class B 551,366
-----------
Total Philippines 3,960,276
-----------
POLAND--2.0%
6,000 Agros Holding, S.A. 138,635
5,000 Bank Przemyslowo-
Handlowy, S.A. 279,507
5,000 (b)Bank Slaski, S.A. 366,154
3,500 (b)Bydgoska Fabryka Kabli,
S.A. 86,088
35,000 Elektrim, S.A. 234,786
12,000 (b)Exbud, S.A. 111,803
30,000 Mostostal Export, S.A. 90,560
32,000 Polifarb Cieszyn, S.A. 165,766
3,000 Rolimpex, S.A. 131,368
7,000 (b)Stomil-Olsztyn, S.A. 82,175
63,000 Wielkopolski Bank Kredytowy,
S.A. 265,308
2,000 (b)Zaklady Piwowarskie W
Zywcu, S.A. 160,250
-----------
Total Poland 2,112,400
-----------
PORTUGAL--3.5%
5,100 Jeronimo Martins, SGPS, S.A. 405,663
21,651 BPI Soc Gestora de
Participacoes Socials, S.A. 281,745
60,712 Banco Commercial
Portuguese, Class R 747,552
12,900 Banco Espirito Santo e
Comercial de Lisboa 205,136
10,827 Banco Totta & Acores
Nationalisiert, Class B $ 212,268
Common Stocks--continued
PORTUGAL--CONTINUED
14,740 Cimentos de Portugal, S.A.
(Cimpor) 270,976
50,000 Empresa Produtora de
Celulose, S.A. (Portucel) 300,350
9,300 Portugal Telecom, S.A., ADR 225,525
14,330 Portugal Telecom, SGPS, S.A. 346,419
25,200 Sonae Investimentos, SGPS,
S.A. 638,058
-----------
Total Portugal 3,633,692
-----------
TAIWAN, REPUBLIC OF
CHINA--1.9%
16,000 Acer Inc., GDR 166,400
18,000 (b)Advanced Semiconductor
Engineering Inc., GDR 154,800
24,150 (b)Asia Cement Corp., GDR 493,868
21,000 China Steel Corp., GDR 466,200
25,000 (b)GVC Corp., GDR 222,000
20,000 (b)President Enterprises,
GDR 315,000
25,000 (b)Yageo Corp., GDR 187,500
-----------
Total Taiwan, Republic
of China 2,005,768
-----------
THAILAND--8.0%
23,000 Advanced Information
Services 379,610
52,000 Bangkok Bank Ltd. 755,587
75,000 Bank of Ayudhya Ltd. 450,130
125,000 Finance One Co., Ltd. 937,771
27,000 Italian-Thai Development
Ltd. 272,921
184,700 Krung Thai Bank Ltd. 897,027
40,000 Land & House Co., Ltd. 631,762
47,000 PTT Exploration and
Production Ltd. 701,493
27,000 Shinawatra Computer and
Communications Co., Ltd. 648,188
8,000 Siam Cement Co., Ltd 431,493
82,100 TPI Polene Co., Ltd. 440,875
250,000 (b)TelecomAsia Corp., Ltd. 547,856
77,000 Thai Airways International
Ltd. 162,659
75,000 Thai Farmers Bank Co. 858,801
20,000 United Communication
Industries, Ltd. 282,713
-----------
Total Thailand 8,398,886
-----------
</TABLE>
================================================================================
BILTMORE EMERGING MARKETS FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
TURKEY--3.2%
1,476,750 Adana Cimento Sanayii, Class
A $ 82,684
2,359,000 Akbank, T.A.S. 270,166
727,500 Altinyildiz Mensucat Ve
Konfeksiyon Fabriklari, A.S. 152,749
785,000 Bagfas Bandirma Gubre
Fabrikalari, A.S. 187,297
530,000 Brisa Bridgestone Sabanci
Lastik Sanayii Ve Ticaret,
A.S., Class Y 182,096
635,500 Ege Biracilik Ve Malt
Sanayii, A.S. 266,864
198,000 Erciyas Biracilik Ve Malt
Sanayii, A.S. 103,302
1,420,000 Eregli Demir Ve Celik
Fabrikalari, T.A.S. 153,592
1,500,000 Koc Holding, A.S. 319,718
346,200 Migros Turk, T.A.S. 259,920
1,060,000 Netas Telekomunik, A.S. 212,445
286,000 Petkim Petrokimya Holding,
A.S. 123,739
465,000 Petrol Ofisi, A.S. 122,781
255,000 Tat Konserve Sanayii, A.S. 118,439
1,750,000 Tofas Turk Otomobil
Fabrikasi, A.S. 93,529
465,000 Tupras Turkiye Petrol
Rafinerileri, A.S. 87,278
3,031,304 Turk Sise Ve Cam
Fabrikalari, A.S. 200,583
1,779,750 Turkiye Garanti Bankasi,
A.S. 91,722
11,005,500 Yapi Ve Kredi Bankasi, A.S. 266,087
-----------
Total Turkey 3,294,991
-----------
Total Common Stocks
(identified cost
$72,562,091) 80,511,471
-----------
Preferred Stocks--7.9%
BRAZIL--7.6%
41,707,667 Banco Bradesco, S.A., PN 484,633
1,800,000 Banco Itau, S.A., PN 729,340
890,000 Brasmotor, S.A., PN 239,818
3,100,000 Centrais Electricas
Brasileiras, S.A., PNB 801,162
250,000 Centrais Eletricas
Brasileiras, S.A., PNA 60,853
879,911 Compania Cervejaria Brahma,
PN 524,439
22,433,000 Compania Energetica de Minas
Gerais, PN 594,363
33,440 Compania Vale Do Rio Doce,
PN 701,761
10,500,000 Lojas Americanas, S.A., PN 197,841
Preferred Stocks--continued
BRAZIL--CONTINUED
5,500,000 Pao de Acucar, PN $ 87,048
7,500,000 Petroleo Brasileiro, S.A.,
PN 905,289
19,800,000 Telecomunicacoes
Brasileiras, S.A., PN 1,280,266
3,795,000 Telecomunicacoes de Sao
Paulo, S.A., PN 802,109
500,000,000 Usinas Siderurgicas de Minas
Gerais, PN 545,928
-----------
Total Brazil 7,954,850
-----------
COLOMBIA--0.2%
10,000 Banco Ganadero, S.A.,
Class C, ADR 181,250
-----------
GREECE--0.0%
1,480 (b)AEGEK 7,675
-----------
KOREA, REPUBLIC OF--0.1%
1,952 Samsung Electronics Co.,
Ltd. 101,074
-----------
Total Preferred Stocks
(identified cost $6,688,740) 8,244,849
-----------
Rights--0.2%
BRAZIL--0.0%
162,639 Telecomunicacoes de Sao
Paulo, S.A., Rights 8,240
-----------
INDONESIA--0.0%
56,000 PT Mulia Industrindo, Rights 51,618
-----------
THAILAND--0.1%
18,750 Bank of Ayudhya Ltd., Rights 64,410
-----------
TURKEY--0.1%
895,000 Adana Cimento Sanayii,
Rights 38,722
641,000 Akbank, T.A.S., Rights 65,254
-----------
Total Turkey 103,976
-----------
Total Rights (identified
cost $108,536) 228,244
-----------
Warrants--0.0%
INDONESIA--0.0%
51,149 (b)PT Indah Kiat Pulp &
Paper Corp., Warrants 22,258
-----------
MALAYSIA--0.0%
27,500 (b)Renong, BHD, Warrants 6,003
-----------
Total Warrants (identified
cost $53,232) 28,261
-----------
</TABLE>
================================================================================
BILTMORE EMERGING MARKETS FUND
Principal
Amount
or Shares Value
- -----------------------------------------------------
<TABLE>
<C> <S> <C>
Convertible Bonds--0.2%
TAIWAN, REPUBLIC OF
CHINA--0.2%
$ 200,000 Yang Ming Marine, Unsub.,
2.00%, 10/6/2001 (identified
cost $216,500) $ 233,500
-----------
Closed-End Investment Companies--6.6%
CZECH REPUBLIC--0.4%
16,000 Sporitelni Privatizacni
Cesky IF, A.S. 198,302
32,064 (b)Sporitelni Privatizacni
Vseobecny IF, A.S. 168,019
-----------
Total Czech Republic 366,321
-----------
HONG KONG--0.4%
30,000 (b)Formosa Growth Fund Ltd. 405,000
-----------
HUNGARY--0.4%
5,000 (b)Hungarian Investment Co. 422,500
-----------
INDIA--2.0%
74,500 India Fund Inc. 698,438
495,000 The India Fund 943,515
43,000 (b)The Morgan Stanley India
Investment Fund, Inc. 467,625
-----------
Total India 2,109,578
-----------
KOREA, REPUBLIC OF--0.7%
64,666 Korean Investment Fund, Inc. 703,243
-----------
Closed-End Investment
Companies--continued
MEXICO--0.5%
30,000 Mexico Fund $ 468,750
-----------
TAIWAN, REPUBLIC OF
CHINA--2.1%
220 (b)Formosa Fund 1,716,000
7,000 Taipei Fund 539,000
-----------
Total Taiwan, Republic
of China 2,255,000
-----------
THAILAND--0.1%
11,000 Roongroj One Fund 4,451
200,000 The Ruang Khao Fund 2 100,681
-----------
Total Thailand 105,132
-----------
Total Closed-End
Investment Companies
(identified cost $6,800,586) 6,835,524
-----------
(a) Repurchase Agreement--4.1%
UNITED STATES--4.1%
$4,253,074 Daiwa Securities America,
Inc., 5.32%, dated
5/31/1996, due 6/3/1996
(at amortized cost) 4,253,074
-----------
Total Investments
(identified cost
$90,682,759) $100,334,923
-----------
</TABLE>
================================================================================
BILTMORE BALANCED FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--57.0%
CAPITAL GOODS--4.8%
15,604 Caterpillar, Inc. $ 1,024,012
35,383 General Electric Co. 2,927,943
11,180 Giddings & Lewis, Inc. 185,868
35,464 Harsco Corp. 2,300,727
16,053 Honeywell, Inc. 814,690
46,050 Ingersoll-Rand Co. 1,939,856
27,230 Stewart & Stevenson Services 680,750
18,465 York International Corp. 976,337
-----------
Total 10,850,183
-----------
CONSUMER DURABLES--1.5%
7,370 Bandag, Inc., Class A 353,760
85,572 Ford Motor Co. 3,123,378
-----------
Total 3,477,138
-----------
CONSUMER NON-DURABLES--17.5%
37,135 Abbott Laboratories 1,601,447
20,020 American Greetings Corp.,
Class A 543,042
23,032 American Home Products Corp. 1,232,212
9,997 Baxter International, Inc. 442,367
4,980 Becton, Dickinson & Co. 423,300
25,063 Bristol-Myers Squibb Co. 2,139,754
61,811 Columbia/HCA Healthcare Corp. 3,330,068
17,444 CPC International, Inc. 1,205,816
25,004 E.W. Scripps Co. 1,112,678
12,800 Fingerhut Companies, Inc. 196,800
15,720 (b)Fruit of the Loom, Inc.,
Class A 424,440
23,010 IBP, Inc. 629,899
37,342 Kimberly-Clark Corp. 2,721,298
18,827 Knight-Ridder, Inc. 1,407,318
17,316 Loews Corp. 1,380,951
35,321 Lowe's Cos., Inc. 1,209,744
6,536 Melville Corp. 265,525
13,311 Merck & Co., Inc. 860,223
7,790 Newell Co. 233,700
111,390 PepsiCo, Inc. 3,703,718
46,046 Philip Morris Cos., Inc. 4,575,821
10,415 Russell Corp. 286,413
25,972 Sara Lee Corp. 866,816
50,165 (b)Scherer (R.P.) Corp. 2,106,930
28,716 Service Corp. International 1,604,507
24,420 Tecumseh Products Co.,
Class A 1,379,730
62,730 (b)Tenet Healthcare Corp. 1,348,695
Common Stocks--continued
CONSUMER
NON-DURABLES--CONTINUED
45,066 (b)Varity Corp. $ 2,213,867
-----------
Total 39,447,079
-----------
ENERGY--4.7%
12,972 Amoco Corp. 940,470
28,915 Coastal Corp. 1,185,515
4,360 Exxon Corp. 369,510
41,432 Mapco, Inc. 2,392,698
2,617 Mobil Corp. 295,394
17,050 Occidental Petroleum Corp. 441,169
52,205 Phillips Petroleum Co. 2,166,508
7,995 Royal Dutch Petroleum Co.,
ADR 1,199,250
18,332 Schlumberger Ltd. 1,528,431
-----------
Total 10,518,945
-----------
FINANCE--7.0%
22,670 American International Group,
Inc. 2,136,647
7,700 American Municipal Bond
Assurance Corporation 399,437
34,184 Chubb Corp. 1,593,829
9,460 Citicorp 794,640
17,015 Federal Home Loan Mortgage
Corp. 1,405,864
58,935 Federal National Mortgage
Association 1,819,618
8,240 First Tennessee National
Corp. 277,070
36,580 First USA, Inc. 2,121,640
18,080 KeyCorp 700,600
16,965 MBIA Insurance Corporation 1,291,461
3,400 Morgan Stanley Group, Inc. 168,300
40,095 Providian Corp. 1,749,144
5,474 Wells Fargo & Co. 1,319,234
-----------
Total 15,777,484
-----------
MATERIAL & SERVICES--7.1%
7,610 Aluminum Co. of America 468,966
11,940 Crane Co. 502,972
5,475 Dow Chemical Co. 457,847
35,739 Ecolab, Inc. 1,161,517
30,058 (b)FMC Corp. 2,021,400
6,189 Georgia-Pacific Corp. 447,155
15,948 Inland Steel Industries, Inc. 344,876
19,260 International Paper Co. 767,993
72,343 LTV Corp. 931,416
</TABLE>
================================================================================
BILTMORE BALANCED FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- ------------------------------------------------------
Common Stocks--continued
18,437 Potash Corporation of
Saskatchewan, Inc. $ 1,226,061
54,950 Praxair, Inc. 2,232,344
5,045 Sigma-Aldrich Corp. 282,520
74,893 Sonoco Products Co. 2,050,196
15,223 Tenneco, Inc. 818,236
55,833 Tyco International, Ltd. 2,205,404
-----------
Total 15,918,903
-----------
TECHNOLOGY--9.6%
28,530 (b)3Com Corp. 1,405,103
13,250 Autodesk, Inc. 460,437
20,450 Avnet, Inc. 1,053,175
5,755 (b)Cabletron Systems, Inc. 418,676
39,292 (b)Cisco Systems, Inc. 2,151,237
35,581 Computer Associates
International, Inc. 2,588,518
12,240 (b)Computer Sciences Corp. 965,430
54,137 General Motors Corp., Class E 3,051,973
29,405 Hewlett-Packard Co. 3,138,984
26,105 Intel Corp. 1,970,928
51,645 Linear Technology Corp. 1,781,753
9,225 Molex, Inc., Class A 270,984
12,230 Telefonos de Mexico, Class L,
ADR 403,590
13,299 Xerox Corp. 2,092,930
-----------
Total 21,753,718
-----------
TRANSPORTATION--1.7%
15,990 Consolidated Rail Corp. 1,123,297
53,585 CSX Corp. 2,652,457
-----------
Total 3,775,754
-----------
UTILITIES--3.1%
11,044 Alltel Corp. 347,886
10,760 BellSouth Corp. 437,125
37,540 Central & SouthWest Corp. 1,037,042
12,820 Equity Residential Properties
Trust 397,420
38,570 GTE Corp. 1,648,868
67,566 MCI Communications Corp. 1,967,860
44,493 Wisconsin Energy Corp. 1,245,804
-----------
Total 7,082,005
-----------
Total Common Stocks
(identified cost
$99,674,351) 128,601,209
-----------
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ------------------------------------------------------
Corporate Bonds--10.2%
ASSET BACKED SECURITIES--1.8%
$ 965,000 Chemical Master Credit Card
Trust I 1996-1, Class A,
5.55%, 9/15/ 2003 $ 914,607
965,000 Dayton Hudson CC Master Trust
1995-1, Class A, 6.10%, 2/25/
2002 956,478
425,000 First Deposit Master Trust
1995-2, Class A, 6.05%,
8/15/2002 421,651
575,000 Ford Credit Auto Loan Master
Trust 1995-1 A, Class A,
6.50%, 8/15/2002 566,438
1,131,560 Prudential Home Mortgage
Securities 1993-60, Class A1,
6.75%,
12/25/2023 1,122,009
-----------
Total 3,981,183
-----------
FINANCE--5.5%
1,165,000 BHP Finance (USA), Inc.,
6.42%,
3/1/2026 1,118,982
850,000 Bankers Trust New York Corp.,
7.375%, 5/1/2008 827,186
1,260,000 Bear Stearns Co. Inc., 6.30%,
3/15/1999 1,239,613
515,000 Branch Banking & Trust,
5.70%,
2/1/2001 488,462
790,000 CNA Financial, 7.25%,
11/15/2023 714,989
725,000 Commercial Credit Co.,
5.875%,
1/15/2003 672,771
1,165,000 First Union National Bank of
Florida, 6.18%, 2/15/2036 1,064,822
1,000,000 Fleet Financial Group, Inc.,
6.00%, 10/26/1998 983,540
775,000 Fleet Financial Group, Inc.,
7.125%, 5/1/2000 778,759
1,010,000 Lehman Brothers, Inc.,
6.125%,
2/1/2001 964,055
420,000 Meridian Bancorp, Inc.,
6.625%,
6/15/2000 412,780
715,000 Merrill Lynch & Co, Inc.,
6.64%,
9/19/2002 693,092
985,000 Norwest Corp., 6.00%,
10/13/1998 973,308
505,000 Norwest Financial, Inc.,
6.75%,
6/1/2005 482,371
</TABLE>
================================================================================
BILTMORE BALANCED FUND
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ------------------------------------------------------
FINANCE--CONTINUED
$1,000,000 Societe Generale, New York,
7.40%, 6/1/2006 $ 996,200
-----------
Total 12,410,930
-----------
FOREIGN BONDS--1.1%
1,000,000 Inter-American Development
Bank, 8.50%, 5/1/2001 1,067,020
1,490,000 Landeskreditbank B-W, 7.625%,
2/1/2023 1,494,768
-----------
Total 2,561,788
-----------
INDUSTRIAL--1.8%
2,210,000 Disney (Walt) Co.,6.375%,
3/30/2001 2,155,170
1,120,000 Motorola, Inc., 6.50%,
9/1/2025 1,079,837
775,000 Wal-Mart Stores, Inc.,
6.125%, 10/ 1/1999 756,168
-----------
Total 3,991,175
-----------
Total Corporate Bonds
(identified
cost $23,613,720) 22,945,076
-----------
Mortgage Backed Securities--10.7%
FEDERAL HOME LOAN MORTGAGE
CORPORATION--2.2%
283,626 6.50%, 12/1/2008 273,963
86,328 6.50%, 2/1/2009 83,386
812,328 6.50%, 3/1/2009 784,652
69,783 6.50%, 4/1/2009 67,406
343,794 6.50%, 6/1/2009 332,081
372,830 6.50%, 7/1/2010 358,722
10,000 (d)Discount Note, 6/12/1996 9,987
2,735,000 (d)Discount Note, 6/13/1996 2,731,007
300,000 (d)Discount Note, 6/14/1996 299,517
-----------
Total 4,940,721
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION--3.8%
37,888 8.50%, 10/1/2024 38,693
1,064,519 6.00%, 12/1/2010 997,646
1,804,743 6.00%, 4/1/2011 1,691,387
<CAPTION>
Principal
Amount Amount
<C> <S> <C>
- ------------------------------------------------------
Mortgage Backed Securities--continued
FEDERAL NATIONAL MORTGAGE
ASSOCIATION--CONTINUED
$ 855,000 6.82%, 8/23/2005 $ 834,831
940,000 7.375%, 3/28/2005 951,158
209,384 7.50%, 4/1/2007 209,853
948,939 7.50%, 9/1/2022 932,504
329,095 8.00%, 1/1/2023 330,293
429,433 8.00%, 6/1/2022 430,996
762,501 8.50%, 12/1/2024 778,704
59,283 8.50%, 6/1/2024 60,543
637,469 8.50%, 7/1/2024 651,015
73,967 8.50%, 8/1/2016 76,166
440,863 9/25/2018, REMIC, PO 417,405
230,000 (d)Discount Note, 6/12/1996 229,597
-----------
Total 8,630,791
-----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION--3.0%
2,645,140 6.50%, 4/15/2024 2,441,781
821,981 7.00%, 5/15/2023 785,592
455,666 7.00%, 8/15/2023 435,836
1,761,258 7.00%, 8/15/2023 1,683,287
992,587 7.00%, 12/20/2025 938,918
395,458 7.50%, 3/15/2023 388,557
-----------
Total 6,673,971
-----------
FEDERAL AGENCIES--1.7%
750,000 Federal Farm Credit Bank,
4.587%, 6/13/1996 748,903
2,000,000 Federal Home Loan Bank,
4.587%, 8/27/1998 1,927,600
1,250,000 Private Export Funding Corp.,
7.95%, 11/1/2006 1,284,488
-----------
Total 3,960,991
-----------
Total Mortgage Backed
Securities
(identified cost $24,198,875) 24,206,474
-----------
</TABLE>
================================================================================
BILTMORE BALANCED FUND
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ------------------------------------------------------
U.S. Treasury--18.0%
U.S. TREASURY BILLS--0.3%
$ 780,000 (d)6/13/1996 $ 778,869
-----------
U.S. TREASURY BONDS--5.3%
3,765,000 6.25%, 8/15/2023 3,359,095
7,735,000 8.00%, 11/15/2021 8,463,792
-----------
Total 11,822,887
-----------
U.S. TREASURY NOTES--12.4%
3,300,000 4.75%, 8/31/1998 3,194,796
1,770,000 5.125%, 11/30/1998 1,720,210
6,085,000 5.25%, 12/31/1997 6,006,078
4,230,000 5.625%, 10/31/1997 4,204,874
2,350,000 5.875%, 8/15/1998 2,327,969
1,500,000 6.125%, 7/31/2000 1,473,750
720,000 6.375%, 8/15/2002 707,846
2,250,000 6.50%, 8/15/2005 2,191,635
630,000 7.75%, 11/30/1999 653,524
700,000 6.25%, 2/15/2003 681,296
1,000,000 6.25%, 4/30/2001 983,120
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Amount
<C> <S> <C>
- ------------------------------------------------------
U.S. Treasury--continued
U.S. TREASURY
NOTES--CONTINUED
$ 750,000 6.875%, 5/15/2006 $ 751,170
465,000 6.875%, 7/31/1999 469,869
210,000 7.125%, 2/29/2000 213,774
1,675,000 7.50%, 10/31/1999 1,723,676
500,000 7.50%, 11/15/2001 518,205
115,000 8.00%, 5/15/2001 121,469
-----------
Total 27,943,261
-----------
Total U.S. Treasury
(identified
cost $42,896,124) 40,545,017
-----------
(a) Repurchase Agreement--3.6%
8,180,133 Daiwa Securities America,
Inc., 5.32%, dated 5/31/1996,
due
6/3/1996 (at amortized cost) 8,180,133
-----------
Total Investments (identified
cost $198,563,203) $224,477,909
-----------
</TABLE>
================================================================================
BILTMORE FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ------------------------------------------------------
Corporate Bonds--12.5%
CONSUMER SERVICES--0.8%
$1,500,000 Disney (Walt) Co., Bond,
6.375%, 3/30/2001 $ 1,462,785
-----------
ELECTRONIC TECHNOLOGY--0.4%
605,000 Motorola, Inc., Deb., 8.40%,
8/15/2031 688,278
-----------
FINANCE--8.9%
1,000,000 American General Finance
Corp., Medium Term Note,
6.47%,
09/07/2000 979,300
670,000 Barclays American Corp., Sr.
Note, 9.125%, 12/1/1997 693,510
750,000 Bankers Trust New York Corp.,
Sub. Note, 7.375%,
5/1/2008 729,870
1,250,000 Beneficial Corp., Medium Term
Note, 7.99%, 2/14/2000 1,287,463
750,000 Beneficial Corp., Medium Term
Note, 6.49%, 9/27/2000 730,838
850,000 Beneficial Corp., Unsecured
Note, Series C, 10.00%,
1/12/2001 943,084
2,000,000 Deere (John) Capital Corp.,
Sr. Note, Series C, 6.23%,
10/18/2000 1,925,940
750,000 Grand Metropolitan Investment
Corp., Sr. Note, 7.45%,
4/15/2035 761,538
1,500,000 Household Finance Corp., Sr.
Note, 6.23%, 2/16/1999 1,478,205
2,000,000 Merrill Lynch & Co., Inc.,
Medium Term Note, 6.64%,
9/19/2002 1,938,720
2,000,000 Merrill Lynch & Co., Inc.,
Sr. Note, Series B, 6.80%,
4/26/2001 1,964,000
1,100,000 Metropolitan Life Limited,
7.00%, 11/1/2005 1,056,099
1,000,000 Sears Roebuck Acceptance
Corp., 6.755%, 5/24/2001 985,390
-----------
Total 15,473,957
-----------
Corporate Bonds--continued
INDUSTRIAL SERVICES--1.0%
$1,000,000 duPont (E.I.) de Nemours &
Co., 6.47%, 9/26/2002 $ 965,240
750,000 WMX Technologies, Inc.,
Unsecd. Note, 6.375%,
12/1/2003 712,553
-----------
Total 1,677,793
-----------
PROCESS INDUSTRIES--0.7%
1,254,000 Monsanto Co., Deb., 7.09%,
12/15/2000 1,265,386
-----------
PRODUCER MANUFACTURING--0.2%
240,000 Armstrong World Industries,
Inc., Deb., 9.75%, 4/15/2008 277,771
-----------
RETAIL TRADE--0.5%
1,000,000 Penney (J.C.) Co., Inc., MTN,
Series A, 7.05%, 5/23/2005 975,220
-----------
Total Corporate Bonds
(identified cost $21,512,044) 21,821,190
-----------
U.S. Government Agencies--30.6%
FEDERAL HOME LOAN MORTGAGE
CORPORATION--3.3%
912 12.50%, 4/1/2014 1,019
7,091 12.50%, 3/1/2014 8,172
13,440 12.50%, 7/1/2011 15,441
4,852 12.50%, 2/1/2010 5,531
23,379 11.00%, 10/1/2015 25,787
4,133 11.00%, 10/1/2010 4,497
1,376 10.00%, 2/1/2019 1,496
392 10.00%, 2/1/2019 426
2,392 10.00%, 1/1/2019 2,604
1,176 10.00%, 1/1/2019 1,280
2,426 9.50%, 2/1/2019 2,582
1,523 9.50%, 2/1/2019 1,621
35,739 9.50%, 7/1/2016 38,163
1,731 9.00%, 1/1/2019 1,807
1,584 9.00%, 1/1/2019 1,654
137 9.00%, 9/1/2017 143
10,211 9.00%, 5/15/2016 10,792
2,538 8.50%, 8/1/2017 2,613
6,655 8.50%, 7/1/2017 6,856
3,963 8.00%, 1/1/2019 4,012
</TABLE>
================================================================================
BILTMORE FIXED INCOME FUND
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ------------------------------------------------------
U.S. Government Agencies--continued
FEDERAL HOME LOAN MORTGAGE
CORPORATION--CONTINUED
$ 2,714 8.00%, 7/1/2017 $ 2,744
56,016 8.00%, 4/1/2009 57,089
12,014 8.00%, 2/1/2009 12,247
1,490 8.00%, 1/1/2009 1,519
25,484 8.00%, 12/1/2008 25,979
27,134 8.00%, 1/1/2008 27,638
142,582 7.50%, 2/1/2023 140,185
160,654 7.50%, 2/1/2023 157,910
167,972 7.50%, 2/1/2023 165,103
184,946 7.50%, 2/1/2023 181,837
231,609 7.50%, 2/1/2023 227,653
3,071,945 7.50%, 9/1/2007 3,079,809
742,765 7.00%, 6/1/2008 731,385
840,502 6.50%, 4/1/2009 811,866
-----------
Total 5,759,460
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION--18.9%
469 12.50%, 9/1/2013 540
6,005 10.00%, 2/1/2019 6,516
939 10.00%, 2/1/2019 1,022
1,138 10.00%, 1/1/2019 1,235
2,564 9.50%, 2/1/2019 2,734
1,476 9.50%, 7/1/2016 1,580
1,708 9.50%, 7/1/2016 1,833
312 9.50%, 7/1/2016 334
2,659 9.00%, 8/1/2018 2,790
1,110 9.00%, 1/1/2017 1,165
1,947 8.50%, 2/1/2019 2,003
455 8.50%, 2/1/2017 469
35,234 8.00%, 9/1/2009 36,015
9,684 8.00%, 1/1/2009 9,911
4,977 8.00%, 11/1/2008 5,093
2,020,000 7.50%, 5/1/2026 1,976,406
505,828 7.50%, 1/1/2023 496,885
218,577 7.50%, 1/1/2023 214,639
187,358 7.50%, 1/1/2023 184,113
1,071,717 7.50%, 4/1/2007 1,074,117
4,200,000 7.375%, 3/28/2005 4,249,854
1,000,000 6.85%, 4/5/2004 986,090
2,022,899 6.50%, 10/1/2010 1,895,840
2,913,208 6.50%, 9/1/2010 2,795,748
5,000,000 6.22%, 3/13/2006 4,671,850
947,134 6.00%, 4/1/2011 908,945
$1,660,001 6.00%, 1/1/2009 $ 1,569,216
U.S. Government Agencies--continued
FEDERAL NATIONAL MORTGAGE
ASSOCIATION--CONTINUED
2,000,000 5.94%, 12/12/2005 1,835,000
3,825,000 5.875%, 2/14/2006 3,496,892
7,000,000 5.80%, 2/22/2006 6,376,090
50,000 5.45%, 10/10/2003 45,492
-----------
Total 32,850,417
-----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION--7.9%
4,423 12.50%, 5/15/2014 5,125
2,128 12.25%, 3/15/2014 2,459
10,787 12.25%, 2/15/2014 12,468
9,587 12.25%, 10/15/2013 11,078
8,677 12.25%, 8/15/2013 10,026
2,202 11.50%, 12/15/2017 2,489
1,913 11.50%, 11/15/2015 2,162
653 11.50%, 6/15/2013 735
3,012 11.00%, 12/15/2015 3,350
2,704 11.00%, 11/15/2015 3,007
1,847 11.00%, 11/15/2015 2,056
262 11.00%, 11/15/2015 291
19,490 11.00%, 9/15/2015 21,647
9,219 11.00%, 9/15/2015 10,264
7,768 11.00%, 9/15/2015 8,639
6,162 11.00%, 9/15/2015 6,861
21,412 11.00%, 8/15/2015 23,811
37,446 10.50%, 8/15/2017 41,233
3,355 10.50%, 8/15/2017 3,687
9,923 10.50%, 7/15/2017 10,935
6,373 10.50%, 9/15/2015 6,932
3,108 10.50%, 9/15/2015 3,419
3,502 10.50%, 11/15/2000 3,704
3,216 10.50%, 11/15/2000 3,402
817 10.50%, 11/15/2000 864
6,763 10.50%, 10/15/2000 7,153
5,373 10.00%, 2/15/2019 5,886
1,248 10.00%, 2/15/2019 1,368
597 10.00%, 2/15/2019 654
489 10.00%, 2/15/2019 535
3,515 10.00%, 1/15/2019 3,851
30,453 9.50%, 11/15/2020 32,835
24,169 9.50%, 11/15/2020 25,899
93,825 9.50%, 10/15/2020 100,539
26,617 9.50%, 10/15/2020 28,521
$ 25,609 9.50%, 10/15/2020 $ 27,441
62,511 9.50%, 9/15/2020 66,984
</TABLE>
================================================================================
BILTMORE FIXED INCOME FUND
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ------------------------------------------------------
U.S. Government Agencies--continued
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION--CONTINUED
38,355 9.50%, 6/15/2020 41,099
69,054 9.50%, 4/15/2020 73,994
57,506 9.50%, 4/15/2020 61,728
53,243 9.50%, 4/15/2020 57,052
38,536 9.50%, 4/15/2020 41,293
26,000 9.50%, 4/15/2020 27,860
24,632 9.50%, 4/15/2020 26,395
1,075 9.50%, 2/15/2019 1,153
4,238 9.50%, 7/15/2018 4,563
26,357 9.50%, 9/15/2017 28,339
15,183 9.50%, 10/15/2017 16,349
231,668 9.50%, 12/15/2016 249,792
34,189 9.50%, 7/15/2016 36,864
5,694 9.50%, 7/15/2016 6,139
55,578 9.50%, 6/15/2016 59,926
16,445 9.50%, 5/15/2016 17,782
2,737 9.50%, 5/15/2016 2,951
2,120 9.50%, 5/15/2016 2,286
3,564 9.50%, 6/15/2001 3,781
99,972 9.00%, 1/15/2021 105,129
85,208 9.00%, 1/15/2021 89,468
73,463 9.00%, 1/15/2021 77,253
64,023 9.00%, 1/15/2021 67,325
40,819 9.00%, 1/15/2021 42,860
45,942 9.00%, 11/15/2020 48,240
52,288 9.00%, 1/15/2020 55,063
163,441 9.00%, 12/15/2019 171,872
51,109 9.00%, 12/15/2019 53,746
59,346 9.00%, 11/18/2019 62,495
55,681 9.00%, 10/15/2019 58,553
24,902 9.00%, 6/15/2018 26,224
54,397 9.00%, 5/15/2018 57,361
13,586 9.00%, 4/15/2018 14,326
1,131 9.00%, 7/15/2017 1,194
18,782 9.00%, 6/15/2017 19,829
35,920 9.00%, 5/15/2017 38,000
75,676 9.00%, 1/15/2017 79,983
55,403 9.00%, 1/15/2017 58,556
51,508 9.00%, 1/15/2017 54,439
50,664 9.00%, 1/15/2017 53,547
7,422 9.00%, 1/15/2017 7,844
5,495 9.00%, 12/15/2016 5,808
$ 69,938 9.00%, 11/15/2016 $ 73,838
51,677 9.00%, 10/15/2016 54,618
U.S. Government Agencies--continued
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION--CONTINUED
46,902 9.00%, 10/15/2016 49,571
13,708 9.00%, 10/15/2016 14,502
741 9.00%, 10/15/2016 783
289 9.00%, 10/15/2016 305
71,850 9.00%, 9/15/2016 75,939
49,067 9.00%, 9/15/2016 51,909
45,705 9.00%, 9/15/2016 48,306
18,543 9.00%, 9/15/2016 19,599
2,955 9.00%, 9/15/2016 3,123
2,112 9.00%, 8/15/2016 2,232
181 9.00%, 8/15/2016 191
21,555 9.00%, 7/15/2016 22,782
53,662 9.00%, 6/15/2016 56,716
21,039 9.00%, 6/15/2016 22,226
1,907 9.00%, 6/15/2016 2,015
56,353 9.00%, 5/15/2016 59,560
25,023 9.00%, 5/15/2016 26,447
51,489 8.50%, 6/15/2022 52,845
142,909 8.50%, 5/15/2022 146,671
126,619 8.50%, 5/15/2022 129,951
19,644 8.50%, 4/15/2022 20,248
101,956 8.50%, 12/15/2021 104,639
103,296 8.50%, 11/15/2021 106,014
51,862 8.50%, 11/15/2021 53,227
38,411 8.50%, 11/15/2021 39,458
14,941 8.50%, 9/15/2021 15,349
61,083 8.50%, 5/15/2021 62,747
4,251 8.50%, 9/15/2017 4,405
7,309 8.50%, 6/15/2017 7,561
30,784 8.50%, 7/15/2016 31,951
128,058 8.50%, 6/15/2016 132,911
35,848 8.50%, 6/15/2016 37,149
11,362 8.50%, 6/15/2016 11,775
38,653 8.50%, 5/15/2016 40,056
1,261,699 8.00%, 9/15/2022 1,271,591
212,217 8.00%, 9/15/2022 214,101
136,863 8.00%, 9/15/2022 137,792
411,686 8.00%, 5/15/2022 415,342
126,568 8.00%, 4/15/2022 127,560
11,927 8.00%, 6/15/2017 12,079
19,783 8.00%, 2/15/2017 20,054
1,406,816 7.50%, 1/15/2024 1,382,267
$ 98,197 7.50%, 3/15/2023 $ 96,484
194,131 7.50%, 2/15/2023 190,926
</TABLE>
================================================================================
BILTMORE FIXED INCOME FUND
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ------------------------------------------------------
U.S. Government Agencies--continued
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION--CONTINUED
164,331 7.50%, 2/15/2023 161,618
207,366 7.50%, 12/15/2022 203,942
206,417 7.50%, 12/15/2022 202,815
185,097 7.50%, 12/15/2022 181,867
151,582 7.50%, 12/15/2022 149,079
192,031 7.50%, 11/15/2022 188,861
195,842 7.50%, 10/15/2022 192,609
197,884 7.50%, 8/15/2022 194,431
176,165 7.50%, 2/15/2022 173,256
878,798 7.00%, 6/15/2023 839,893
1,683,933 6.50%, 5/15/2009 1,623,413
1,759,964 6.00%, 5/15/2009 1,663,166
9,521 5.50%, 8/15/1998 9,417
9,269 5.50%, 8/15/1998 9,168
-----------
Total 13,754,121
-----------
AID TO ISRAEL--.5%
1,000,000 5.625%, 9/15/2003 920,970
-----------
Total U.S. Government
Agencies (identified cost
$55,517,367) 53,284,968
-----------
U.S. Treasury Obligations--54.9%
U.S. TREASURY BONDS--15.1%
24,015,000 8.00%, 11/15/2021 26,277,693
-----------
U.S. TREASURY NOTES--39.8%
1,095,000 9.125%, 5/15/1999 1,172,329
1,000,000 7.875%, 11/15/1999 1,040,940
1,500,000 7.875%, 4/15/1998 1,543,125
500,000 7.75%, 1/31/2000 518,986
$ 800,000 7.75%, 12/31/1999 $ 830,376
U.S. Treasury Obligations--continued
U.S. TREASURY NOTES--CONTINUED
500,000 7.75%, 11/30/1999 518,670
1,500,000 7.50%, 10/31/1999 1,543,590
11,000,000 7.00%, 4/15/1999 11,163,240
500,000 6.875%, 3/31/2000 504,920
425,000 6.875%, 8/31/1999 429,450
8,350,000 6.75%, 4/30/2000 8,399,599
4,000,000 6.50%, 4/30/1999 4,007,480
1,500,000 6.375%, 8/15/2002 1,474,680
1,000,000 6.25%, 2/15/2003 973,280
1,000,000 6.25%, 4/30/2001 983,120
3,000,000 6.25%, 5/31/2000 2,964,840
9,250,000 6.125%, 5/15/1998 9,232,610
2,500,000 6.125%, 3/31/1998 2,496,475
2,000,000 5.875%, 2/15/2004 1,888,120
5,250,000 5.875%, 4/30/1998 5,217,188
9,500,000 5.75%, 8/15/2003 8,946,340
2,500,000 5.75%, 10/31/2000 2,417,575
1,000,000 5.125%, 11/30/1998 971,870
-----------
Total 69,238,803
-----------
Total U.S. Treasury
Obligations (identified cost
$99,710,873) 95,516,496
-----------
(a) Repurchase Agreement--1.5%
2,557,886 Daiwa Securities America,
Inc., 5.32%, dated 5/31/1996,
due
6/3/1996 (at amortized cost) 2,557,886
-----------
Total Investments (identified
cost $179,298,170) $173,180,540
-----------
</TABLE>
================================================================================
BILTMORE SHORT-TERM FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Principal
Amount Value
<C> <S> <C>
- ------------------------------------------------------
Asset-Backed Securities--0.0%
$ 14,342 Shawmut National Grantor
Trust, Series 1992-A, 5.55%,
11/15/1997 (identified cost
$14,558) $ 14,274
-----------
Collateralized Mortgage
Obligations--0.3%
409,508 Household Financial Corp.,
Series 1992 A3, 5.80%,
4/20/2007 (identified cost
$414,246) 409,123
-----------
Corporate Bonds--11.6%
BANKING--2.9%
1,000,000 Fleet Financial Group, Inc.,
7.25%, 10/15/1997, Senior
Notes 1,012,310
2,500,000 International American
Development Bank, 9.50%,
10/15/1997 2,600,375
-----------
Total 3,612,685
-----------
FINANCE--6.6%
4,000,000 Sears Roebuck Acceptance
Corp., 6.54%, 5/6/1999 3,969,960
4,000,000 TransAmerica Financial
Corp., 6.75%, 8/15/1997,
Senior Notes 4,012,920
-----------
Total 7,982,880
-----------
FINANCIAL SERVICES--2.1%
2,500,000 Merrill Lynch & Co., Inc.,
5.00%, 12/15/1996 2,490,100
-----------
Total Corporate Bonds
(identified cost
$14,034,070) 14,085,665
-----------
U.S. Treasury Obligations--81.3%
U.S. TREASURY NOTES--81.3%
11,250,000 4.75%, 8/31/1998 10,891,350
6,500,000 5.125%, 11/30/1998 6,317,155
4,000,000 5.25%, 12/31/1997 3,948,120
4,750,000 5.5%, 11/15/1998 4,657,233
U.S. Treasury Obligations--continued
U.S. TREASURY
NOTES--CONTINUED
$6,250,000 5.625%, 10/31/1997 $ 6,212,875
1,500,000 5.75%, 9/30/1997 1,494,615
11,000,000 5.875%, 3/31/1999 10,850,510
6,050,000 5.875%, 4/30/1998 6,012,188
4,500,000 6.125%, 3/31/1998 4,493,655
15,750,000 6.125%, 5/15/1998 15,720,390
1,000,000 6.375%, 1/15/1999 1,000,000
8,150,000 6.50%, 5/15/1997 8,198,411
4,750,000 6.50%, 8/15/1997 4,778,215
3,500,000 6.75%, 2/28/1997 3,526,250
8,500,000 7.50%, 1/31/1997 8,600,894
500,000 7.875%, 4/15/1998 514,375
1,500,000 8.75%, 10/15/1997 1,552,260
-----------
Total U.S. Treasury
Obligations (identified
cost $99,557,445) 98,768,496
-----------
(c)Variable Rate Instruments--2.6%
3,140,000 General Electric Capital
Corp., 7.98%, 12/15/2007
(Putable
12/15/1997) (identified cost
$3,348,590) 3,174,006
-----------
(a)Repurchase Agreement--3.1%
3,777,030 Daiwa Securities America,
Inc., 5.32%, dated
5/31/1996, due
6/3/1996 (at amortized cost) 3,777,030
-----------
Total Investments
(identified cost
$121,145,939) $120,228,594
-----------
</TABLE>
================================================================================
BILTMORE GEORGIA MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Long-Term Municipal Securities--96.2%
GEORGIA--96.2%
$ 100,000 Atlanta, GA Downtown
Development Authority,
Refunding Revenue Bonds,
6.25% (Original Issue Yield:
6.435%), 10/1/2016 AA $ 102,070
200,000 Atlanta, GA, GO UT (Series
A), 6.125% (Original Issue
Yield: 6.18%), 12/1/2023 AA 201,076
510,000 Atlanta, GA, Urban
Residential Finance
Authority, Dorm Facility
Revenue Refunding Bonds,
5.70% (Morehouse College)/
(MBIA Insurance Corporation
INS), 12/1/2010 AAA 512,780
80,000 Brunswick, GA, Water & Sewer
Refunding Revenue Bonds,
6.10% (MBIA Insurance
Corporation INS)/(Original
Issue Yield: 6.27%),
10/1/2019 AAA 82,884
90,000 Burke County, GA Development
Authority, PCR Bonds, 7.50%
(Oglethorpe Power
Corp.)/(MBIA Insurance
Corporation INS),
1/1/2003 AAA 100,186
400,000 Cartersville, GA Water &
Sewer, Refunding Revenue
Bonds, 5.30% (AMBAC INS),
1/1/2005 AAA 396,452
50,000 Chatham County, GA School
District, GO UT, 6.75% (MBIA
Insurance Corporation INS),
8/1/2018 AAA 56,188
500,000 Cobb County, GA School
District, GO UT Refunding
Bonds, 6.65% (United States
Treasury PRF),
2/1/1999 (@102) AA 536,055
100,000 Cobb County, GA Solid Waste
Management Authority,
Revenue Bonds, 6.35%,
1/1/2009 AA+ 107,954
200,000 De Kalb County, GA School
District, GO UT Bonds
(Series A), 6.25%, 7/1/2011 AA 214,272
Long-Term Municipal Securities--continued
GEORGIA--CONTINUED
$ 195,000 De Kalb County, GA Water &
Sewer, Refunding Revenue
Bonds, 5.25% (Original Issue
Yield: 5.42%), 10/1/2023 AA $ 175,332
150,000 De Kalb County, GA, GO UT
Bonds, 5.50% (Original Issue
Yield: 5.60%), 1/1/2016 AA+ 141,831
1,000,000 De Kalb County, GA, Water &
Sewer Refunding Revenue
Bonds, 5.125% (Original
Issue Yield: 5.25%),
10/1/2011 AA 942,240
100,000 Decatur, GA Housing
Authority, Mortgage
Refunding Revenue Bonds,
6.45% (FHA and MBIA
Insurance Corporation INS)/
(Original Issue Yield:
6.524%),
7/1/2025 AAA 101,247
500,000 Downtown Savannah, GA,
Refunding Revenue Bonds
(Series A), 4.95% (Original
Issue Yield: 5.05%),
1/1/2006 AA 489,420
120,000 Fayette County, GA School
District, GO UT Bonds,
6.125% (Original Issue
Yield: 6.30%),
3/1/2015 A+ 122,636
160,000 Fayette County, GA, Water
Revenue Bonds (Series B),
6.20% (FGIC INS)/(Original
Issue Yield: 6.30%),
10/1/2022 AAA 163,267
60,000 Forsyth County, GA School
District, GO UT Bonds,
6.70%,
7/1/2012 A+ 66,697
25,000 Fulton County, GA School
District, GO UT Bonds, 5.60%
(Original Issue Yield:
5.65%),
1/1/2011 AA 24,913
475,000 Fulton County, GA, Water and
Sewer Refunding Revenue
Bonds, 6.25% (FGIC
INS)/(Original Issue Yield:
6.425%), 1/1/2007 AAA 513,770
</TABLE>
================================================================================
BILTMORE GEORGIA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Long-Term Municipal Securities--continued
GEORGIA--CONTINUED
$ 400,000 Gainesville & Hall County,
GA Hospital Authority,
Revenue Anticipation
Certificates, 5.75%
(Northeast GA Healthcare
Project)/(MBIA Insurance
Corporation INS)/(Original
Issue Yield: 5.98%),
10/1/2017 AAA $ 391,076
300,000 Georgia Medical Center
Hospital Authority,
Refunding Revenue
Anticipation Certificates
(Series C), 5.90% (Columbus
Regional Healthcare
System)/(MBIA Insurance
Corporation INS)/(Original
Issue Yield: 5.95%),
8/1/2001 AAA 314,361
285,000 Georgia Municipal Electric
Authority, Electric Power
Revenue Refunding Bonds
(Series B), 6.125% (FGIC
INS)/(Original Issue Yield:
6.30%), 1/1/2014 AAA 290,310
500,000 Georgia State HFA, Refunding
Revenue SFM Bonds (Subser
A-2), 6.55% (FHA/VA mtgs
GTD), 12/1/2027 AA+ 506,475
200,000 Georgia State, GO UT Bonds
(Series B), 7.20%, 3/1/2006 AA+ 231,846
500,000 Georgia State, GO UT Bonds
(Series D), 6.80%,
8/1/2000 AA+ 542,480
200,000 Georgia State, GO UT Bonds
(Series F), 6.50%, 12/1/2007 AA+ 222,202
350,000 Gwinnett County, GA Recrea-
tional Authority, Revenue
Bonds, 7.00% (United States
Treasury PRF)/(Original
Issue Yield: 7.00%),
2/1/1997 (@102) AA 364,431
400,000 Gwinnett County, GA School
District, GO UT Refunding
Bonds (Series B), 5.00%
(Original Issue Yield:
5.15%), 2/1/2009 AA 380,668
100,000 Gwinnett County, GA, Water &
Sewage Utility Certificates
of Participation, 8.40%,
8/1/2001 AA 116,216
Long-Term Municipal Securities--continued
GEORGIA--CONTINUED
$ 30,000 Hapeville, GA, Water & Sewer
Revenue Bonds, 6.20% (MBIA
Insurance Corporation INS),
7/1/2006 AAA $ 32,317
25,000 Henry County, GA Water &
Sewer Authority, GO LT
Revenue Refunding Bonds
(Series A), 5.25% (AMBAC
INS)/(Original Issue Yield:
5.40%), 2/1/2018 AAA 22,982
400,000 Marietta, GA Development
Authority, Revenue Bonds
(Series B), 5.75% (Life
College, Inc.)/ (CGIC
LOC)/(Original Issue Yield:
5.91%), 9/1/2014 AAA 392,212
400,000 Newton County School
District, GA, GO UT Bonds,
5.625% (FGIC INS)/(Original
Issue Yield: 5.70%),
2/1/2013 AAA 395,704
100,000 Peach County, GA School Dis-
trict, GO UT Bonds, 6.30%
(MBIA Insurance Corporation
INS)/(Original Issue Yield:
6.35%), 2/1/2014 AAA 103,483
200,000 Rockdale County, GA School
District, GO UT Bonds,
6.30%, 1/1/2007 A1 214,106
150,000 Savannah, GA Resources
Recovery Development
Authority, Refunding Revenue
Bonds, 5.95% (Savannah
Energy Systems Co.),
12/1/2002 A+ 155,220
335,000 Savannah, GA Resources
Recovery Development
Authority, Revenue Bonds,
6.30% (Savannah Energy
Systems Co.), 12/1/2006 A+ 352,546
110,000 Savannah, GA Water & Sewage,
Revenue Bonds, 5.10%
(Original Issue Yield:
5.55%), 12/1/2010 AA- 104,044
----------
Total Long-Term Municipal
Securities (identified cost
($10,049,234) 10,183,949
----------
</TABLE>
===============================================================================
BILTMORE GEORGIA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Shares Value
<C> <S> <C>
- --------------------------------------------------------------
Open-end Investment Company--1.8%
$ 195,267 Fidelity Tax-Exempt Money
Market Fund Instruments
Portfolio (at net asset
value) $ 195,267
----------
Open-end Investment Company--continued
Total Investments (identi-
fied cost $10,244,501) $10,379,216
----------
</TABLE>
================================================================================
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Long-Term Municipal Securities--93.2%
NORTH CAROLINA--93.2%
$ 275,000 Brunswick County, NC, GO UT
Refunding Bonds, 4.30%
(AMBAC INS), 3/1/1997 AAA $ 276,383
1,030,000 Buncombe County, NC, GO UT
Bonds, 4.90% (Original Issue
Yield: 5.15%), 4/1/2014 AA- 924,054
190,000 Buncombe County, NC, GO UT
Bonds, 5.20%, 5/1/2008 AA- 187,437
100,000 Charlotte, NC, GO UT Bonds,
5.70%, 2/1/2007 AAA 104,462
250,000 Charlotte, NC, GO UT
Refunding Bonds, 5.00%
(Original Issue Yield:
5.10%), 2/1/2009 AAA 241,225
840,000 Charlotte, NC, GO UT
Refunding Bonds, 5.00%
(Original Issue Yield:
5.15%), 2/1/2012 AAA 788,239
900,000 Charlotte, NC, GO UT Water &
Sewer Bonds (Series A),
5.30%, 4/1/2008 AAA 903,627
960,000 Charlotte-Mecklenburg
Hospital Authority, NC,
Health System Revenue
Refunding Bonds, 5.75%
(Original Issue Yield:
6.498%), 1/1/2012 AA 943,958
210,000 Cumberland County, NC
Hospital Facilities, Revenue
Bonds, 6.00% (MBIA Insurance
Corporation INS)/(Original
Issue Yield: 6.84%),
10/1/2021 AAA 208,492
100,000 Cumberland County, NC,
Certificate of Participation
(Series A), 6.375%
(Cumberland County, NC,
Civic Center Project)/
(AMBAC INS)/(Original Issue
Yield: 6.50%), 12/1/2010 AAA 105,968
100,000 Cumberland County, NC, GO
UT, 5.70% (MBIA Insurance
Corporation INS)/(Original
Issue Yield: 5.70%),
2/1/2006 AAA 104,275
615,000 Currituck County, NC, GO UT
Bonds, 5.40% (MBIA Insurance
Corporation INS), 4/1/2009 AAA 612,196
Long-Term Municipal Securities--continued
NORTH CAROLINA--CONTINUED
$ 110,000 Dare County, NC, GO UT
Refunding Bonds, 5.00% (MBIA
Insurance Corporation INS),
5/1/2010 AAA $ 103,521
100,000 Durham County, NC, GO UT
Bonds, 5.75% (Original Issue
Yield: 5.95%), 2/1/2009 AAA 103,433
50,000 Durham County, NC, GO UT
Bonds, 5.80% (Original Issue
Yield: 6.00%), 4/1/2010 AAA 51,834
50,000 Durham, NC, Water & Sewer
Utility System, Revenue
Bonds, 5.80% (Original Issue
Yield: 5.85%), 12/1/2003 AA 52,652
100,000 Durham, NC, GO UT Revenue
Bonds, 5.80% (Original Issue
Yield: 5.95%), 2/1/2012 AAA 102,385
100,000 East Carolina University,
NC, Revenue Bonds, 5.50%
(Original Issue Yield:
5.60%), 5/1/2018 A 94,232
500,000 Fayetteville, NC, Public
Works Commission, Refunding
Revenue Bonds, 4.75% (FGIC
INS)/(Original Issue Yield:
5.23%),
3/1/2014 AAA 433,495
1,000,000 Forsyth County, NC, GO UT,
4.75%, 2/1/2005 AAA 979,430
500,000 Franklin County, NC,
Certificates of
Participation, 6.10% (Jail &
School Project)/(FGIC
INS)/(Original Issue Yield:
6.20%),
6/1/2003 AAA 533,515
325,000 Fremont, NC, Housing
Development Corp., First
Lien Revenue Refunding
Bonds, 6.75% (Torhunta
Apts)/(Federal National
Mortgage Association COL),
7/15/2022 Aaa 332,137
600,000 Gaston County, NC, GO UT
Bonds, 5.60% (MBIA Insurance
Corporation INS), 3/1/1997 AAA 608,694
</TABLE>
================================================================================
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Long-Term Municipal Securities--continued
NORTH CAROLINA--CONTINUED
$ 100,000 Gastonia, NC, Combined
Utilities System, Revenue
Bonds, 6.00% (MBIA Insurance
Corporation INS)/(Original
Issue Yield: 6.10%),
5/1/2014 AAA $ 101,073
500,000 Gastonia, NC, GO UT Bonds,
5.30% (FGIC INS)/(Original
Issue Yield: 5.40%),
6/1/2009 AAA 492,940
105,000 Greensboro, NC, Certificates
of Participation, 6.65%
(Coliseum Arena Expansion
Project)/(Original Issue
Yield: 6.70%),
12/1/2004 AA 114,434
500,000 Greensboro, NC , GO UT
Bonds, 6.00%, 3/1/1997 AAA 508,490
100,000 Greenville, NC Combined
Enterprise System, Revenue
Bonds, 5.70% (Original Issue
Yield: 5.75%), 9/1/2006 A+ 103,115
75,000 Harnett County, NC,
Certificates of
Participation, 5.90% (AMBAC
INS), 12/1/2000 AAA 78,845
600,000 High Point, NC, GO UT
Revenue Bonds, 5.60%,
3/1/2008 AA 614,748
100,000 Martin County, NC IFA, PCR
Bonds, 6.80% (Weyerhaeuser
Co.), 5/1/2024 A 106,046
850,000 Martin County, NC IFA,
Revenue Bonds, 5.65%
(Weyerhaeuser Co.),
12/1/2023 A 786,352
100,000 Mecklenburg County, NC, GO
UT Bonds, 6.25% (United
States Treasury
PRF)/(Original Issue Yield:
6.35%), 1/1/2002 (@102) AAA 108,532
100,000 Mecklenburg County, NC, GO
UT Refunding Bonds, 5.90%
(Original Issue Yield:
6.05%),
3/1/2004 AAA 105,835
425,000 North Carolina Eastern
Municipal Power Agency,
Refunding Revenue Bonds
(Series A), 7.50%,
1/1/1997 (@102) Aaa 442,650
Long-Term Municipal Securities--continued
NORTH CAROLINA--CONTINUED
$ 100,000 North Carolina Educational
Facilities Finance Agency,
Refunding Revenue Bonds,
6.00% (Davidson
College)/(Original Issue
Yield: 6.20%), 12/1/2012 AA $ 100,033
1,000,000 North Carolina Educational
Facilities Finance Agency,
Revenue Bonds (Series C),
6.75% (Duke
University)/(Original Issue
Yield: 6.769%), 10/1/2021 AA+ 1,075,590
20,000 North Carolina HFA,
Multi-Family Refunding
Revenue Bonds (Series B),
6.90% (FHA INS),
7/1/2024 AA 20,737
90,000 North Carolina HFA, Revenue
Bonds (Series Z), 6.60%,
9/1/2026 A+ 91,733
750,000 North Carolina HFA, Revenue
Bonds, 6.20%, 3/1/2018 Aa 744,600
765,000 North Carolina Medical Care
Commission Hospital,
Refunding Revenue Bonds,
5.375% (Scotland Memorial
Hospital)/(Asset Guaranty
LOC)/(Original Issue Yield:
5.599%), 10/1/2011 AA 714,525
50,000 North Carolina Medical Care
Commission Hospital ,
Refunding Revenue Bonds,
6.125% (Rex
Hospital)/(Original Issue
Yield: 6.219%), 6/1/2010 A+ 51,110
850,000 North Carolina Medical Care
Commission Hospital, Revenue
Refunding Bonds, 7.375%
(Presbyterian
Hospital)/(United States
Treasury PRF)/(Original
Issue Yield: 7.417%),
10/1/2000 (@102) Aaa 953,097
115,000 North Carolina Municipal
Power Agency No. 1, Catawba
Electric Revenue Refunding
Bonds, 5.90% (Original Issue
Yield: 5.95%), 1/1/2003 A 118,209
</TABLE>
================================================================================
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Long-Term Municipal Securities--continued
NORTH CAROLINA--CONTINUED
$ 100,000 North Carolina Municipal
Power Agency No. 1, Catawba
Electric Revenue Refunding
Bonds, 7.875% (United States
Treasury PRF), 1/1/1998
(@102) AAA $ 107,960
500,000 North Carolina Municipal
Power Agency No. 1,
Refunding Revenue Bonds,
7.625% (AMBAC INS)/(Original
Issue Yield: 7.70%),
1/1/2014 AAA 537,855
400,000 North Carolina State, GO UT
Bonds (Series A), 4.70%,
2/1/2005 AAA 391,372
1,000,000 North Carolina State, GO UT
Refunding Bonds (Series C),
4.80% (North Carolina Prison
Facilities)/(Original Issue
Yield: 4.85%), 3/1/2009 AAA 933,330
575,000 Onslow County, NC, GO UT
Bonds, 5.70% (MBIA Insurance
Corporation INS)/(Original
Issue Yield: 5.85%),
3/1/2013 AAA 582,705
635,000 Pitt County, NC, Refunding
Revenue Bonds, 5.20% (Pitt
County Memorial
Hospital)/(Original Issue
Yield: 5.30%), 12/1/2008 AA- 608,203
400,000 Raleigh, NC, GO UT Refunding
Bonds, 6.40%, 3/1/2006 AAA 429,268
515,000 Randolph County, NC,
Certificate of
Participation, 4.25% (MBIA
Insurance Corporation INS),
6/1/1999 AAA 511,781
800,000 Randolph County, NC,
Certificates of
Participation, 4.875% (MBIA
Insurance Corporation
INS)/(Original Issue Yield:
5.05%), 6/1/2006 AAA 772,368
500,000 Robeson County, NC, GO UT
Refunding Revenue Bonds,
4.90% (AMBAC INS), 2/1/2007 AAA 482,920
250,000 Rutherford County, NC, GO UT
Refunding Bonds, 5.10% (MBIA
Insurance Corporation INS),
6/1/2009 AAA 237,855
Long-Term Municipal Securities--continued
NORTH CAROLINA--CONTINUED
$1,155,000 Shelby, NC Housing
Development Corp., Mortgage
Revenue Bonds, 6.10%
(Hickory Creek Apart-
ments)/(FHA INS), 2/1/2023 AAA $1,141,393
50,000 University of North Carolina
at Chapel Hill, Revenue
Bonds, 7.30% (United States
Treasury PRF)/(Original
Issue Yield: 7.455%),
8/1/1996 (@103) AAA 51,796
650,000 Wake County, NC, GO UT
Refunding Bonds, 4.70%
(Original Issue Yield:
4.80%),
4/1/2005 AAA 635,765
500,000 Wake County, NC, Hospital
Revenue Bonds, 5.125% (MBIA
Insurance Corporation
INS)/(Original Issue Yield:
5.35%),
10/1/2026 AAA 438,860
75,000 Wilmington, NC, GO UT Reve-
nue Bonds, 5.60% (Original
Issue Yield: 5.75%),
6/1/2010 A+ 75,181
----------
Total Long-Term Municipal
Securities (identified cost
$24,167,671) 24,166,950
----------
Short-Term Municipal Securities--2.9%
500,000 Alamance County, NC,
Industrial Facilities &
Pollution Control Financing
Authority, Revenue Bonds
Weekly VRDNs (SCI Systems,
Inc.)/(PNC Bank, Kentucky
LOC) A1 500,000
245,000 Halifax County, NC,
Industrial Facilities &
PCFA, (Series 1993) Daily
VRDNs (Westmoreland
LG&E)/(Credit Suisse, Zurich
LOC) AA+ 245,000
----------
Total Short-Term Municipal
Securities (at amortized
cost) 745,000
----------
</TABLE>
================================================================================
BILTMORE NORTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Open End Investment Companies--5.5%
$ 700,628 Dreyfus Tax Exempt Money
Market Fund $ 700,628
Open End Investment Companies--continued
$ 729,567 Fidelity Tax-Exempt Money
Market Fund $ 729,567
----------
Total Open Ended Investment
Companies (at net asset
value) 1,430,195
----------
Total Investments
(identified
cost $26,342,866) $26,342,145
----------
</TABLE>
================================================================================
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Long-Term Municipals--97.3%
SOUTH CAROLINA--97.3%
$ 100,000 Aiken County, SC, GO UT
Bonds, 7.00%, 2/1/2002 A $ 103,395
540,000 Barnwell County, SC School
District No. 45, GO UT
Refunding Bonds, 5.60%
(AMBAC INS)/ (State Aid
Withholding LOC)/ (Original
Issue Yield: 5.65%),
2/1/2012 AAA 532,483
570,000 Barnwell County, SC School
District No. 45, GO UT
Refunding Bonds, 5.60%
(AMBAC INS)/ (State Aid
Withholding LOC)/ (Original
Issue Yield: 5.70%),
2/1/2013 AAA 558,765
150,000 Beaufort County, SC School
District, GO UT, 7.80%,
12/1/1996 A 153,019
1,000,000 Beaufort County, SC,
Certificate of
Participation, 5.00% (Hilton
Head Airport), 7/1/2001 A 999,960
675,000 Beaufort County, SC,
Certificates of
Participation, 7.125% (AMBAC
INS)/(Original Issue Yield:
7.45%), 6/1/2012 AAA 729,452
855,000 Beaufort-Jasper, SC Water &
Sewer Authority, Waterworks
and Sewer System Revenue
Bonds, 5.90% (FGIC
INS)/(Original Issue Yield:
6.00%), 3/1/2016 AAA 842,662
750,000 Berkeley County, SC,
Pollution Control Facilities
Revenue Bonds, 6.50% (South
Carolina Electric and
Gas)/(Citibank NA, New York
LOC), 10/1/2014 A+ 786,278
1,500,000 Berkeley County, SC, Water &
Sewer Refunding Revenue
Bonds, 5.50% (MBIA Insurance
Corporation INS)/(Original
Issue Yield: 5.55%),
6/1/2013 AAA 1,454,130
935,000 Berkeley County, SC, Water &
Sewer Refunding Revenue
Bonds, 6.00% (MBIA Insurance
Corporation INS)/(Original
Issue Yield: 6.848%),
6/1/2010 AAA 950,502
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,105,000 Charleston County, SC
Airport District, Airport
System Refunding Revenue
Bonds, 4.75% (MBIA Insurance
Corporation INS), 7/1/2015 AAA $ 941,968
1,000,000 Charleston County, SC,
Certificates of
Participation, 7.10% (MBIA
Insurance Corporation
INS)/(United States Treasury
PRF), 6/1/2011 (@102) AAA 1,118,130
1,315,000 Charleston County, SC, GO UT
Bonds, 9.00% (State Aid
Withholding LOC), 6/1/2001 AA 1,560,195
310,000 Charleston County, SC,
Resources Recovery Revenue
Bonds (Series A), 9.00%
(Foster Wheeler Corp.),
1/1/2005 A 334,047
1,900,000 Charleston, SC, Certificates
of Participation, 5.00%
(AMBAC INS)/(Original Issue
Yield: 5.39%), 9/1/2015 AAA 1,689,594
250,000 Charleston, SC, GO Bonds
(Series A), 6.30%, 9/1/2005 AA 267,278
1,000,000 Charleston, SC, GO Bonds,
6.50%, 6/1/2012 AA 1,047,700
1,500,000 Charleston, SC, Water &
Sewer Refunding Revenue
Bonds (Series A), 7.00%,
1/1/2015 AA- 1,533,060
400,000 Charleston, SC, Water &
Sewer Refunding Revenue
Bonds (Series A), 7.05%,
1/1/2006 AA- 408,836
1,000,000 Charleston, SC, Water &
Sewer Refunding Revenue
Bonds, 6.00% (Original Issue
Yield: 6.242%), 1/1/2012 AA- 1,001,450
1,260,000 Charleston, SC, Waterworks &
Sewer Refunding Revenue
Bonds, 5.00% (MBIA Insurance
Corporation INS), 1/1/2022 AAA 1,085,200
875,000 Chester County, SC School
District, GO UT, 6.85%
(United States Treasury
PRF)/(Original Issue Yield:
6.95%), 2/1/2012 A 952,096
</TABLE>
================================================================================
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,125,000 Chester County, SC School
District, GO UT, 6.85%
(United States Treasury
PRF)/(Original Issue Yield:
6.90%), 2/1/2009 (@102) A $1,224,124
1,500,000 Columbia, SC Waterworks &
Sewer System, Refunding
Revenue Bonds, 5.70%,
2/1/2010 AA 1,517,640
355,000 Columbia, SC Waterworks &
Sewer System, Refunding
Revenue Bonds, 6.30%,
2/1/2000 AA 374,426
1,000,000 Columbia, SC, Parking
Facilities Refunding Revenue
Bonds, 5.875% (AMBAC
INS)/(Original Issue Yield:
6.007%), 12/1/2013 AAA 1,007,790
1,065,000 Dorchester County, SC School
District No. 002, GO UT
Bonds, 5.125% (FGIC
INS)/(Original Issue Yield:
5.25%), 2/1/2012 AAA 997,404
1,500,000 Dorchester County, SC School
District No. 002, GO UT
Bonds, 5.20% (FGIC INS),
2/1/2018 AAA 1,377,195
600,000 Dorchester County, SC School
District, GO UT Bonds, 6.65%
(MBIA Insurance Corporation
INS)/(United States Treasury
PRF)/(Original Issue Yield:
6.85%), 7/1/2012 (@102) AAA 647,310
870,000 Edgefield County, SC School
District, GO UT Bonds, 6.40%
(FSA INS)/(Original Issue
Yield: 6.60%), 2/1/2009 AAA 927,951
1,155,000 Fairfield County, SC School
District, Certificates of
Participation, 5.50%
(Fairfield Primary
Geiger)/(Asset Guaranty
GTD)/ (Original Issue Yield:
5.60%),
3/1/2007 AA 1,133,783
2,000,000 Fairfield County, SC, PCR
Bonds, 6.50% (South Carolina
Electric and Gas), 9/1/2014 A 2,104,540
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$ 500,000 Florence County, SC,
Hospital Revenue Bonds,
6.75% (McLeod Regional
Medical Center)/(FGIC
INS)/(Original Issue Yield:
7.00%), 11/1/2010 AAA $ 534,795
1,465,000 Florence, SC, Water & Sewer
Revenue Refunding Bonds,
5.00% (AMBAC INS), 3/1/2004 AAA 1,458,847
2,805,000 Grand Strand Water & Sewage
Authority, SC, Revenue
Refunding Bonds, 6.375%
(South Carolina Waterworks &
Sewer System)/(MBIA
Insurance Corporation
INS)/(Original Issue Yield:
6.508%), 6/1/2012 AAA 3,018,881
800,000 Grand Strand Water & Sewage
Authority, SC, Waterworks &
Sewer System Revenue
Refunding Bonds, 6.00% (MBIA
Insurance Corporation INS)/
(Original Issue Yield:
6.595%),
6/1/2019 AAA 795,560
500,000 Greenville County, SC,
Industrial Revenue Bonds,
7.10% (Lockheed Aeromod
Center Incorporated
Project), 11/1/2011 BBB+ 526,395
500,000 Greenville Spartanburg, SC
Airport District, Revenue
Bonds, 7.60% (AMBAC INS),
7/1/2000 AAA 511,505
600,000 Greenville, SC Hospital
System Facilities, Refunding
Revenue Bonds, 5.75%
(Original Issue Yield:
5.95%), 5/1/2013 AA- 579,834
1,500,000 Greenville, SC Hospital
System Facilities, Revenue
Bonds (Series B), 5.25%
(Original Issue Yield:
6.076%), 5/1/2017 AA- 1,371,030
760,000 Greenville, SC Hospital
System Facilities, Revenue
Bonds, 7.00% (Greenville
Health Corporation)/
(Original Issue Yield:
7.454%), 5/1/2017 AAA 836,084
</TABLE>
================================================================================
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,000,000 Hilton Head Island, SC
Public Facilities Corp.,
Certificates of
Participation, 5.40% (AMBAC
INS)/(Original Issue Yield:
5.599%), 3/1/2009 AAA $ 983,910
1,110,000 Horry County, SC School
District, GO UT Refunding
Bonds, 4.70% (FSA INS),
4/1/2002 AAA 1,100,387
100,000 Horry County, SC, GO UT
Bonds, 7.45% (United States
Treasury PRF), 12/1/2004
(@102) A+ 109,302
980,000 Horry County, SC, GO UT
Refunding Bonds (Series B),
4.65% (MBIA Insurance
Corporation INS), 12/1/2005 AAA 936,527
1,960,000 Lancaster County, SC School
District, GO UT, 6.50% (MBIA
Insurance Corporation
INS)/(Original Issue Yield:
6.599%),
7/1/2008 AAA 2,098,239
175,000 Lexington County, SC ,
Revenue Bonds (Series C),
8.00% (J.B. White & Co.
Project), 1/1/2011 NR 190,146
2,100,000 Marion County, SC Hospital
District, Refunding Revenue
Bonds, 5.375% (connie lee
LOC)/
(Original Issue Yield:
5.818%), 11/1/2025 AAA 1,896,867
805,000 Medical University, SC
Hospital Facility, Revenue
Bonds, 5.25% (MBIA Insurance
Corporation INS)/(Original
Issue Yield: 5.25%),
7/1/2004 AAA 814,740
2,000,000 North Charleston, SC Sewer
District, Refunding Revenue
Bonds (Series A), 6.00%
(MBIA Insurance Corporation
INS)/(Original Issue Yield:
6.593%),
7/1/2018 AAA 1,988,980
500,000 North Charleston, SC Sewer
District, Revenue Bonds
(Series B), 6.00% (MBIA
Insurance Corporation
INS)/(Original Issue Yield:
6.593%), 7/1/2018 AAA 497,245
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,275,000 Oconee County, SC School
District, GO UT Bonds, 5.10%
(MBIA Insurance Corporation
INS)/(Original Issue Yield:
5.50%), 9/1/2013 AAA $1,169,927
2,500,000 Oconee County, SC, PCR
Refunding Bonds, 5.80% (Duke
Power Co.), 4/1/2014 AA- 2,489,600
1,250,000 Pickens & Richland Countys,
SC, Hospital Facilities
Refunding Revenue Bonds
(Series A), 7.00% (South
Carolina Baptist
Hospital)/(AMBAC
INS)/(United States Treasury
PRF)/(Original Issue Yield:
7.16%), 8/1/2017 (@102) AAA 1,395,500
100,000 Piedmont Municipal Power
Agency, SC, Electricity
Refunding Revenue Bonds
(Series A), 7.40% (AMBAC
INS)/ (Original Issue Yield:
7.483%), 1/1/2018 AAA 106,013
590,000 Piedmont Municipal Power
Agency, SC, Electricity
Refunding Revenue Bonds,
6.85% (FGIC INS), 1/1/2007 AAA 635,654
1,000,000 Piedmont Municipal Power
Agency, SC, Refunding
Revenue Bonds, 5.50% (MBIA
Insurance Corporation
INS)/(Original Issue Yield:
5.60%), 1/1/2013 AAA 976,060
1,135,000 Piedmont Municipal Power
Agency, SC, Refunding
Revenue Bonds, 6.375% (FGIC
INS)/
(Original Issue Yield:
6.45%),
1/1/2006 AAA 1,228,796
1,000,000 Piedmont Municipal Power
Agency, SC, Refunding
Revenue Bonds, 6.50% (FGIC
INS)/
(Original Issue Yield:
6.88%),
1/1/2011 AAA 1,047,530
</TABLE>
================================================================================
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,325,000 Richland-Lexington Airport
District, Airport & Marina
Revenue Bonds, 6.125%
(Columbia Metropolitan
Airport)/(AMBAC
INS)/(Original Issue Yield:
6.40%), 1/1/2025 AAA $1,319,594
1,450,000 Richland-Lexington Airport
District, Revenue Bonds
(Series A), 5.60% (Columbia
Metropolitan Airport)/(AMBAC
INS)/(Original Issue Yield:
5.95%),
1/1/2017 AAA 1,374,498
600,000 Richland County, SC Hospital
Facilities, Revenue Bonds
(Series PG-A), 7.10%
(Community Provider Pooled
Loan Program)/ (CGIC INS),
7/1/2005 AAA 660,834
255,000 Richland County, SC Hospital
Facilities, Revenue Bonds,
8.125% (Sun Health-
Orangeburg)/(Sumitomo Bank
Ltd., Osaka LOC), 10/1/2011 A 274,546
650,000 Richland County, SC Solid
Waste Disposal Facilities,
Revenue Bonds (Series A),
7.45% (Union Camp Corp.
Project)/(Original Issue
Yield: 7.513%), 4/1/2021 A- 709,839
1,250,000 Richland County, SC, GO UT
Bonds, 6.25% (United States
Treasury PRF), 3/1/2011
(@102) AA 1,335,688
1,390,000 Richland County, SC, GO UT
Refunding Bonds (Series B),
6.25% (State Aid Withholding
LOC), 3/1/2001 AA 1,480,336
155,000 Rock Hill, SC Housing
Development Corp.,
Multi-Family Refunding
Revenue Bonds, 7.50%,
7/1/2010 AAA 166,399
1,000,000 Rock Hill, SC Utility
System, Refunding Revenue
Bonds, 5.375% (AMBAC
INS)/(Original Issue Yield:
5.58%), 1/1/2014 AAA 941,410
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,000,000 South Carolina Job
Development Authority,
Revenue Bonds, 5.25%
(Anderson Area Medical
Center, Inc.)/(MBIA
Insurance Corporation
INS)/(Original Issue Yield:
5.63%), 2/1/2015 AAA $ 922,180
500,000 South Carolina Resources
Authority, Local Government
Program, Revenue Bonds
(Series A), 7.00%, 6/1/2003 A+ 539,895
1,000,000 South Carolina State
Educational Assistance
Authority, Refunding Revenue
Bonds (Series A-3), 5.80%
(Original Issue Yield:
5.90%), 9/1/2004 AAA 1,024,250
1,000,000 South Carolina State
Educational Assistance
Authority, Refunding Revenue
Bonds (Series B), 5.70%
(Original Issue Yield:
5.75%),
9/1/2005 A 997,200
405,000 South Carolina State
Educational Assistance
Authority, Revenue Bonds,
6.50% (Original Issue Yield:
6.65%), 9/1/2004 AA 427,660
975,000 South Carolina State Housing
Finance & Development
Authority, Refunding Revenue
Bonds (Series A), 6.15%,
7/1/2008 AA 1,000,721
1,200,000 South Carolina State Housing
Finance & Development
Authority, Revenue Bonds
(Series A), 7.30% (FHA/VA
mtgs GTD),
7/1/2011 AA 1,255,584
1,000,000 South Carolina State Housing
Finance & Development
Authority, Revenue Bonds
(Series A-1), 6.45% (FHA/VA
mtgs GTD),
7/1/2017 AA 1,013,980
500,000 South Carolina State Housing
Finance & Development
Authority, Revenue Bonds
(Series C), 7.70% (FHA/VA
mtgs GTD),
7/1/2011 AA 525,035
</TABLE>
================================================================================
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$ 520,000 South Carolina State Housing
Finance & Development
Authority, Revenue Bonds
(Series C), 7.75% (FHA/VA
mtgs GTD),
7/1/2022 AA $ 545,392
100,000 South Carolina State Housing
Finance & Development
Authority, Revenue Refunding
Bonds (Series A), 7.50%
(FHA/VA mtgs GTD), 7/1/2011 AA 105,258
1,000,000 South Carolina State Ports
Authority, Revenue Bonds,
6.50% (AMBAC INS)/(Original
Issue Yield: 6.75%),
7/1/2006 AAA 1,065,830
1,000,000 South Carolina State Ports
Authority, Revenue Bonds,
6.625% (AMBAC INS)/(Original
Issue Yield: 6.823%),
7/1/2011 AAA 1,041,710
525,000 South Carolina State Ports
Authority, Revenue Bonds,
6.75% (AMBAC INS)/(Original
Issue Yield: 6.90%),
7/1/2021 AAA 547,570
2,500,000 South Carolina State Public
Service Authority, Refunding
Revenue Bonds (Series C),
5.125% (MBIA Insurance
Corporation INS)/(Original
Issue Yield: 5.47%),
1/1/2032 AAA 2,161,850
1,950,000 South Carolina State Public
Service Authority, Revenue
Bonds (Series D), 6.50%
(Santee Cooper)/(AMBAC
INS)/(Original Issue Yield:
6.553%), 7/1/2014 AAA 2,028,683
1,035,000 South Carolina State, GO UT
Refunding Bonds (Series B),
4.40% (University South
Carolina)/(State Aid
Withholding LOC)/(Original
Issue Yield: 4.40%),
4/1/2001 AA+ 1,025,312
4,500,000 South Carolina State, GO UT
Revenue Bonds (Series A),
5.00% (Original Issue Yield:
5.45%), 3/1/2008 AA+ 4,357,845
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
$1,500,000 Spartanburg County, SC
Health Services District,
Inc., Refunding Revenue
Bonds, 5.50% (AMBAC
INS)/(Original Issue Yield:
5.70%), 4/15/2015 AAA $1,426,410
1,000,000 Spartanburg County, SC
Hospital Facilities, Revenue
Refunding Bonds, 6.55%
(Spartanburg General
Hospital System)/(FSA INS),
4/15/2010 AAA 1,062,020
200,000 Spartanburg County, SC
Hospital Facilities, Revenue
Refunding Bonds, 7.80% (Mary
Black Memorial
Project)/(United States
Treasury PRF)/(Original
Issue Yield: 7.80%),
10/1/2000 A- 217,864
100,000 Spartanburg County, SC
Hospital Facilities, Revenue
Refunding Bonds, 8.25% (Mary
Black Memorial
Project)/(United States
Treasury PRF), 10/1/2008 A- 109,719
450,000 Spartanburg, SC Leased
Housing Corp, Refunding
Revenue Bonds, 7.50%,
10/1/2011 A 480,416
1,000,000 Sumter County, SC Hospital
Facilities, Revenue
Refunding Bonds, 6.625%
(Tuomey Regional Medical
Center)/(MBIA Insurance
Corporation INS)/(Original
Issue Yield: 6.98%),
11/15/2004 AAA 1,103,300
1,000,000 University South Carolina,
Parking Facilities Refunding
Revenue Bonds, 5.00% (MBIA
Insurance Corporation
INS)/(Original Issue Yield:
5.40%), 5/1/2015 AAA 906,120
1,300,000 Western Carolina Regional
Sewer Authority, SC, Sewer
System Revenue Bonds, 5.50%
(FGIC INS)/(Original Issue
Yield: 5.627%), 3/1/2010 AAA 1,290,601
200,000 York County, SC School
District 003, GO UT, 9.00%
(MBIA Insurance Corporation
INS),
6/1/1997 AAA 210,262
</TABLE>
================================================================================
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
Principal Credit
Amount Rating Value
<C> <S> <C> <C>
- --------------------------------------------------------------
Long-Term Municipals--continued
SOUTH CAROLINA--CONTINUED
1,000,000 York County, SC, GO UT
Refunding Bonds, 4.90%
(AMBAC INS)/(Original Issue
Yield: 5.10%), 6/1/2010 AAA $ 923,460
----------
Total Long-Term Municipal
Securities (identified cost
$95,128,335) 96,239,988
----------
Open-end Investment Company--1.1%
$1,066,269 Fidelity Tax-Exempt Money
Market Fund (at net asset
value) $1,066,269
----------
Total Investments
(identified
cost $96,194,604) $97,306,257
----------
</TABLE>
================================================================================
NOTES TO COMBINED PORTFOLIOS OF INVESTMENTS
(a) The repurchase agreements are fully collateralized by U.S. Government
and/or agency obligations based on market prices at the date of the
portfolio.
(b) Non-income producing.
(c) Current rate and next demand date shown.
(d) Represents securities held as collateral within a margin account, used to
ensure the Fund is able to satisfy the obligations of its outstanding long
futures contracts.
The following abbreviations are used in these portfolios:
ADR--American Depositary Receipt
AMBAC-- American Municipal Bond Assurance Corporation
AMT--Alternative Minimum Tax
CGIC--Capital Guaranty Insurance Corporation
COL--Collateralized
FHA--Federal Housing Administration
FHA/VA-- Federal Housing Administration/
Veterans Administration
FGIC--Financial Guaranty Insurance Company
FSA--Financial Security Assurance
GO--General Obligation
GDR--Global Depositary Receipt
GTD--Guaranteed
HFA--Housing Finance Authority
IFA--Industrial Finance Authority
INS--Insured
LOC--Letter of Credit
LP--Limited Partnership
LT--Limited Tax
LTD--Limited
MBIA--Municipal Bond Investors Assurance
MTN--Medium Term Note
PCFA--Pollution Control Finance Authority
PCR--Pollution Control Revenue
PLC--Public Limited Company
PO--Principal Only
PRF--Prerefunded
REMIC--Real Estate Mortgage Investment Conduit
SFM--Single Family Mortgage
UT--Unlimited Tax
VRDNs--Variable Rate Demand Notes
<TABLE>
<CAPTION>
Net Gross
Unrealized Gross Unrealized
Cost of Appreciation/ Unrealized Depreciation
Investments (Depreciation) Appreciation for Federal
for Federal for Federal for Federal Tax Total Net
Fund Tax Purposes Tax Purposes Tax Purposes Purposes Assets*
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
Equity Fund $ 128,172,710 $22,814,235 $ 23,643,704 $ 829,469 $ 151,588,405
Quantitative Equity Fund 116,287,272 28,992,286 30,193,323 1,201,037 144,019,700
Equity Index Fund 156,148,705 60,602,895 62,960,022 2,357,127 217,194,562
Special Values Fund 34,339,479 6,482,939 6,925,005 442,066 40,984,216
Emerging Markets Fund 90,682,759 9,652,164 13,884,211 4,232,047 103,976,684
Balanced Fund 198,563,203 25,914,706 28,787,112 2,872,406 225,694,283
Fixed Income Fund 179,298,170 (6,117,630) 296,920 6,414,550 173,996,014
Short-Term Fixed Income Fund 121,145,939 (917,345) 147,141 1,064,486 121,412,920
Georgia Municipal Bond Fund 10,244,501 134,715 172,978 38,263 10,582,209
North Carolina Municipal Bond Fund 26,342,866 (721) 248,595 249,316 25,938,324
South Carolina Municipal Bond Fund 96,194,604 1,111,653 2,414,600 1,302,947 98,838,390
</TABLE>
*The categories of investments are shown as a percentage of net assets at May
31, 1996.
At May 31, 1996, the following Funds had investments that were subject to
alternative minimum tax:
<TABLE>
<CAPTION>
Percentage of total market value
Fund subject to alternative minimum tax
<S> <C>
Georgia Municipal Bond Fund 8.7%
North Carolina Municipal Bond Fund 4.50%
South Carolina Municipal Bond Fund 13.8%
</TABLE>
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENT OF ASSETS AND LIABILITIES
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Biltmore Biltmore
Biltmore Biltmore Biltmore Special Emerging Biltmore
Equity Quantitative Equity Values Markets Balanced
Fund Equity Fund Index Fund Fund Fund Fund
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
Assets:
Investments in securities, at value $150,986,945 $145,279,558 $216,751,600 $40,822,418 $100,334,923 $224,477,909
Investments in Interest-bearing demand
deposits -- -- -- -- 2,281,284 --
Income receivable 321,649 333,102 522,227 42,467 436,993 1,255,473
Receivable for investments sold 694,450 -- 245,809 176,101 1,357,122 2,100,938
Receivable for shares sold 125,128 208,439 37,856 34,799 3,016 246,338
Deferred expenses 8,563 18,588 20,494 2,349 25,068 22,501
----------- ----------- ----------- ---------- ----------- -----------
Total assets 152,136,735 145,839,687 217,577,986 41,078,134 104,438,406 228,103,159
----------- ----------- ----------- ---------- ----------- -----------
Liabilities:
Payable for investments purchased 262,460 1,554,949 -- 57,898 200,430 1,217,585
Payable for shares redeemed 10,166 4,800 4,050 -- -- 19,549
Payable to Bank 4,942 15,740 10,651 -- -- 955,354
Payable to Adviser -- -- -- -- 87,123 --
Payable to Custodian -- -- -- -- 133,733 --
Payable for taxes withheld -- -- -- -- 12,469 --
Payable for daily variation margin 161,275 98,661 260,855 -- -- 46,511
Accrued expenses 109,487 145,837 107,868 36,020 27,967 169,877
----------- ----------- ----------- ---------- ----------- -----------
Total liabilities 548,330 1,819,987 383,424 93,918 461,722 2,408,876
----------- ----------- ----------- ---------- ----------- -----------
Net Assets Consist of:
Paid in capital 121,073,345 107,567,852 153,527,570 31,840,883 93,657,072 187,395,411
Net unrealized appreciation of
investments, futures and translation
of assets and liabilities in foreign
currency 23,280,560 29,280,150 61,297,745 6,482,939 9,649,246 26,091,838
Accumulated net realized gain (loss) on
investments, futures and foreign
currency transactions 7,016,270 6,840,705 1,626,710 2,614,822 (11,595) 11,215,795
Undistributed net investment income 218,230 330,993 742,537 45,572 681,961 991,239
----------- ----------- ----------- ---------- ----------- -----------
Total Net Assets $151,588,405 $144,019,700 $217,194,562 $40,984,216 $103,976,684 $225,694,283
----------- ----------- ----------- ---------- ----------- -----------
Net Asset Value and Redemption
Proceeds Per Share $ 13.16 $ 13.86 $ 14.15 $ 14.15 $ 12.21 $ 12.11
----------- ----------- ----------- ---------- ----------- -----------
Offering Price Per Share* $ 13.78 $ 14.51 $ 14.82 $ 14.82 $ 12.79 $ 12.68
----------- ----------- ----------- ---------- ----------- -----------
Shares Outstanding 11,521,256 10,393,661 15,344,250 2,896,710 8,515,522 18,630,002
----------- ----------- ----------- ---------- ----------- -----------
Investments, at identified and tax costs $128,172,710 $116,287,272 $156,148,705 $34,339,479 $90,682,759 $198,563,203
----------- ----------- ----------- ---------- ----------- -----------
</TABLE>
*See "What Shares Cost" in the Prospectus.
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENT OF ASSETS AND LIABILITIES--CONTINUED
MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Biltmore Biltmore Biltmore
Biltmore Short-Term Biltmore North South
Fixed Fixed Georgia Carolina Carolina
Income Income Municipal Municipal Municipal
Fund Fund Bond Fund Bond Fund Bond Fund
<S> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------
Assets:
Investments in securities, at value $173,180,540 $120,228,594 $10,379,216 $26,342,145 $97,306,257
Investments in Interest-bearing demand deposits -- -- -- -- --
Income receivable 1,605,759 1,252,869 199,580 416,837 1,906,206
Receivable for investments sold 11,637,320 -- -- -- --
Receivable for shares sold -- -- 23,885 -- 175,010
Deferred expenses 19,063 21,082 13,537 17,331 --
----------- ----------- ---------- ---------- ----------
Total assets 186,442,682 121,502,545 10,616,218 26,776,313 99,387,473
----------- ----------- ---------- ---------- ----------
Liabilities:
Payable for investments purchased 12,312,165 -- -- 754,521 --
Payable for shares redeemed -- -- -- -- 45,012
Income distribution payable -- -- 34,009 82,493 424,948
Accrued expenses 134,503 89,625 -- 975 79,123
----------- ----------- ---------- ---------- ----------
Total liabilities 12,446,668 89,625 34,009 837,989 549,083
----------- ----------- ---------- ---------- ----------
Net Assets Consist of:
Paid in capital 182,250,803 125,936,526 10,421,583 25,850,415 97,353,384
Net unrealized appreciation (depreciation) of
investments, futures and translation of
assets and liabilities in foreign currency (6,117,630) (917,345) 134,715 (721) 1,111,653
Accumulated net realized gain (loss) on
investments, futures and foreign currency
transactions (2,398,403) (3,626,462) 25,911 88,630 373,353
Undistributed net investment income 261,244 20,201 -- -- --
----------- ----------- ---------- ---------- ----------
Total Net Assets $173,996,014 $121,412,920 $10,582,209 $25,938,324 $98,838,390
----------- ----------- ---------- ---------- ----------
Net Asset Value and Redemption Proceeds Per
Share $ 9.44 $ 9.67 $ 10.64 $ 10.62 $ 10.66
----------- ----------- ---------- ---------- ----------
Offering Price Per Share* $ 9.88 $ 9.92 $ 11.14 $ 11.12 $ 11.16
----------- ----------- ---------- ---------- ----------
Shares Outstanding 18,433,010 12,549,675 994,657 2,442,970 9,272,433
----------- ----------- ---------- ---------- ----------
Investments, at identified and tax costs 179,298,170 121,145,939 10,244,501 26,342,866 96,194,604
----------- ----------- ---------- ---------- ----------
</TABLE>
*See "What Shares Cost" in the Prospectus.
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENT OF OPERATIONS
SIX MONTHS ENDED MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Biltmore Biltmore Biltmore
Biltmore Quantitative Biltmore Special Emerging Biltmore
Equity Equity Equity Values Markets Balanced
Fund Fund Index Fund Fund Fund Fund
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
Investment Income:
Dividends $1,337,148 $1,437,698 $2,020,230 $ 226,492 $1,202,746 $1,179,321
Interest 538,822 211,714 681,607 29,062 188,356 3,052,844
---------- ---------- ---------- --------- ---------- ----------
Total income 1,875,970 1,649,412 2,701,837 255,554 1,391,102 4,232,165
---------- ---------- ---------- --------- ---------- ----------
Expenses:
Investment advisory fee 495,915 456,052 305,036 122,947 446,352 775,921
Administrative personnel and services fee 61,921 56,943 88,873 37,500 39,004 96,890
Custodian fees 14,169 13,030 20,336 3,074 245,502 22,170
Transfer and dividend disbursing agent fees
and expenses 19,028 15,460 16,364 19,393 9,413 18,364
Trustees' fees 3,351 1,501 8,519 641 1,612 9,968
Auditing fees 8,021 8,021 7,774 7,724 6,449 8,010
Legal fees 686 4,011 6,824 1,371 11,582 6,859
Portfolio accounting fees 27,761 19,017 38,489 24,641 33,930 34,336
Share registration costs 10,532 9,481 12,074 5,364 5,744 13,415
Printing and postage 6,478 10,327 9,364 9,752 13,630 9,737
Insurance premiums 1,568 2,445 3,911 803 2,640 2,617
Miscellaneous 6,617 2,955 9,360 3,302 3,844 8,480
---------- ---------- ---------- --------- ---------- ----------
Total expenses 656,047 599,243 526,924 236,512 819,702 1,006,767
---------- ---------- ---------- --------- ---------- ----------
Waivers and reimbursements--
Waiver of investment advisory fee (18,443) (32,435) (38,865) (14,189) (1,435) (164,314)
Waiver of administrative personnel and
services fee -- -- -- (24,071) -- --
---------- ---------- ---------- --------- ---------- ----------
Total waivers (18,443) (32,435) (38,865) (38,260) (1,435) (164,314)
---------- ---------- ---------- --------- ---------- ----------
Net expenses 637,604 566,808 488,059 198,252 818,267 842,453
---------- ---------- ---------- --------- ---------- ----------
Net investment income 1,238,366 1,082,604 2,213,778 57,302 572,835 3,389,712
---------- ---------- ---------- --------- ---------- ----------
Realized and Unrealized Gain (Loss) on
Investments:
Net realized gain (loss) on investments,
futures and foreign currency 7,488,994 7,011,292 2,623,099 2,616,544 355,882 12,131,436
Change in unrealized appreciation
(depreciation) of investments, futures and
foreign currency 5,492,308 2,748,671 16,956,117 4,496,816 12,619,360 (2,037,335)
---------- ---------- ---------- --------- ---------- ----------
Net realized and unrealized gain (loss) on
investments, futures and foreign
currency 12,981,302 9,759,963 19,579,216 7,113,360 12,975,242 10,094,101
---------- ---------- ---------- --------- ---------- ----------
Change in net assets resulting
from operations $14,219,668 $10,842,567 $21,792,994 $7,170,662 $13,548,077 $13,483,813
---------- ---------- ---------- --------- ---------- ----------
Foreign taxes withheld from dividends $ -- $ -- $ -- $ -- $ 81,293 $ --
---------- ---------- ---------- --------- ---------- ----------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENT OF OPERATIONS--CONTINUED
SIX MONTHS ENDED MAY 31, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Biltmore Biltmore Biltmore
Biltmore Short-Term Biltmore North South
Fixed Fixed Georgia Carolina Carolina
Income Income Municipal Municipal Municipal
Fund Fund Bond Fund Bond Fund Bond Fund
<S> <C> <C> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------
Investment Income:
Interest $ 5,911,588 $3,859,017 $ 278,041 $ 545,708 $2,776,712
----------- ---------- --------- --------- ----------
Total income 5,911,588 3,859,017 278,041 545,708 2,776,712
----------- ---------- --------- --------- ----------
Expenses:
Investment advisory fee 519,856 340,694 39,333 81,745 368,100
Administrative personnel and services fee 75,741 54,151 25,000 25,000 42,983
Custodian fees 17,329 12,389 1,049 2,180 9,816
Transfer and dividend disbursing agent fees and
expenses 18,185 16,368 7,916 10,239 38,646
Trustees' fees 10,513 7,302 146 309 5,239
Auditing fees 7,770 8,021 3,034 3,976 7,516
Legal fees 3,971 6,740 364 676 1,274
Portfolio accounting fees 36,357 22,637 27,829 27,875 30,151
Share registration costs 14,798 12,711 2,850 3,875 9,041
Printing and postage 6,238 6,936 9,670 12,402 14,748
Insurance premiums 2,150 1,642 2,048 2,642 1,649
Miscellaneous 5,860 8,099 2,765 7,059 7,206
----------- ---------- --------- --------- ----------
Total expenses 718,768 497,690 122,004 177,978 536,369
----------- ---------- --------- --------- ----------
Waivers and reimbursements--
Waiver of investment advisory fee (77,612) (107,439) (33,886) (60,519) (251,706)
Waiver of administrative personnel and services fee -- -- (20,416) (15,475) --
Waiver of portfolio accounting fees -- -- (19,455) (9,339) --
----------- ---------- --------- --------- ----------
Total waivers (77,612) (107,439) (73,757) (85,333) (251,706)
----------- ---------- --------- --------- ----------
Net expenses 641,156 390,251 48,247 92,645 284,663
----------- ---------- --------- --------- ----------
Net investment income 5,270,432 3,468,766 229,794 453,063 2,492,049
----------- ---------- --------- --------- ----------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) on investments, futures and
foreign currency 2,631,713 (81,720) 26,033 88,674 373,721
Change in unrealized appreciation (depreciation) of
investments, futures and foreign currency (10,960,087) (1,747,605) (337,340) (787,135) (3,649,193)
----------- ---------- --------- --------- ----------
Net realized and unrealized gain (loss) on
investments, futures and foreign currency (8,328,374) (1,829,325) (311,307) (698,461) (3,275,472)
----------- ---------- --------- --------- ----------
Change in net assets resulting
from operations $(3,057,942) $1,639,441 $ (81,513) $(245,398) $ (783,423)
----------- ---------- --------- --------- ----------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Biltmore Biltmore
Equity Fund Quantitative Equity Fund
------------------------ ------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
May 31, November May 31, November
1996 30, 1996 30,
(unaudited) 1995 (unaudited) 1995
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Operations--
Net investment income $ 1,238,366 $ 2,140,798 $ 1,082,604 $ 2,012,428
Net realized gain (loss) on investments, futures and
foreign currency 7,488,994 7,169,919 7,011,292 4,403,602
Net change in unrealized appreciation (depreciation) of
investments, futures and foreign currency 5,492,308 17,600,644 2,748,671 28,219,890
----------- ----------- ----------- -----------
Change in net assets resulting from operations 14,219,668 26,911,361 10,842,567 34,635,920
----------- ----------- ----------- -----------
Distributions to Shareholders--
Dividends to shareholders from net investment income (1,205,139) (2,269,960) (996,516) (2,031,574)
Distributions to shareholders from net realized gain on
investments and futures contracts (7,457,396) (1,933,454) (2,223,748) --
----------- ----------- ----------- -----------
Change in net assets from distributions to
shareholders (8,662,535) (4,203,414) (3,220,264) (2,031,574)
----------- ----------- ----------- -----------
Share Transactions--
Proceeds from sale of shares 26,195,949 48,585,296 18,621,855 20,816,453
Net asset value of shares issued to shareholders in
payment of dividends declared 7,359,293 3,740,311 3,100,087 1,962,206
Cost of shares redeemed (17,674,134) (31,905,163) (7,219,058) (25,467,417)
----------- ----------- ----------- -----------
Change in net assets from share transactions 15,881,108 20,420,444 14,502,884 (2,688,758)
----------- ----------- ----------- -----------
Change in net assets 21,438,241 43,128,391 22,125,187 29,915,588
Net Assets:
Beginning of period 130,150,164 87,021,773 121,894,513 91,978,925
----------- ----------- ----------- -----------
End of period $151,588,405 $130,150,164 $144,019,700 $121,894,513
----------- ----------- ----------- -----------
Undistributed net investment income included in net assets
at end of period $ 218,230 $ 185,003 $ 330,993 $ 244,905
----------- ----------- ----------- -----------
Net gain (loss) as computed for federal tax purposes $ 7,488,994 $ 7,456,796 $ 7,011,292 $ 4,403,602
----------- ----------- ----------- -----------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS--CONTINUED
<TABLE>
<CAPTION>
Biltmore Biltmore
Equity Index Fund Special Values Fund
------------------------ ------------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
May 31, November May 31, November
1996 30, 1996 30,
(unaudited) 1995 (unaudited) 1995
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Operations--
Net investment income $ 2,213,778 $ 4,344,464 $ 57,302 $ 160,858
Net realized gain (loss) on investments, futures and
foreign currency 2,623,099 9,977,764 2,616,544 1,812,363
Net change in unrealized appreciation (depreciation) of
investments, futures and foreign currency 16,956,117 42,222,143 4,496,816 2,534,358
----------- ----------- ----------- -----------
Change in net assets resulting from operations 21,792,994 56,544,371 7,170,662 4,507,579
----------- ----------- ----------- -----------
Distributions to Shareholders--
Dividends to shareholders from net investment income (2,254,113) (4,345,032) (159,350) (28,748)
Distributions to shareholders from net realized gain on
investments and futures contracts (10,955,920) (598,243) (1,814,204) (107,629)
----------- ----------- ----------- -----------
Change in net assets from distributions to
shareholders (13,210,033) (4,943,275) (1,973,554) (136,377)
----------- ----------- ----------- -----------
Share Transactions--
Proceeds from sale of shares 36,194,579 42,901,737 11,428,982 7,295,013
Net asset value of shares issued to shareholders in
payment of dividends declared 13,114,776 4,807,483 1,868,520 128,327
Cost of shares redeemed (27,539,158) (96,320,658) (1,603,468) (5,132,362)
----------- ----------- ----------- -----------
Change in net assets from share transactions 21,770,197 (48,611,438) 11,694,034 2,290,978
----------- ----------- ----------- -----------
Change in net assets 30,353,158 2,989,658 16,891,142 6,662,180
Net Assets:
Beginning of period 186,841,404 183,851,746 24,093,074 17,430,894
----------- ----------- ----------- -----------
End of period $217,194,562 $186,841,404 $40,984,216 $24,093,074
----------- ----------- ----------- -----------
Undistributed net investment income included in net assets
at end of period $ 742,537 $ 782,872 $ 45,572 $ 147,620
----------- ----------- ----------- -----------
Net gain (loss) as computed for federal tax purposes $ 2,623,099 $10,975,465 $ 2,616,544 $ 1,814,219
----------- ----------- ----------- -----------
</TABLE>
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS--CONTINUED
<TABLE>
<CAPTION>
Biltmore Biltmore Biltmore
Emerging Markets Fund Balanced Fund Fixed Income Fund
------------------------ ------------------------ ------------------------
Six Months Period Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
May 31, November May 31, November May 31, November
1996 30, 1996 30, 1996 30,
(unaudited) 1995(a) (unaudited) 1995 (unaudited) 1995
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Operations--
Net investment income $ 572,835 $ 315,925 $ 3,389,712 $ 7,116,975 $ 5,270,432 $ 9,690,827
Net realized gain (loss) on
investments, futures and foreign
currency 355,882 (366,282) 12,131,436 5,333,434 2,631,713 (1,093,245)
Net change in unrealized appreciation
(depreciation) of investments,
futures and foreign currency 12,619,360 (2,970,114) (2,037,335) 34,366,856 (10,960,087) 16,676,119
----------- ----------- ----------- ----------- ----------- -----------
Change in net assets resulting from
operations 13,548,077 (3,020,471) 13,483,813 46,817,265 (3,057,942) 25,273,701
----------- ----------- ----------- ----------- ----------- -----------
Distributions to Shareholders--
Dividends to shareholders from net
investment income (220,244) -- (3,662,155) (6,933,437) (5,308,482) (9,563,573)
Distributions to shareholders from net
realized gain on investments and
futures contracts -- -- (5,927,062) (3,058,366) -- --
----------- ----------- ----------- ----------- ----------- -----------
Change in net assets from
distributions to shareholders (220,244) -- (9,589,217) (9,991,803) (5,308,482) (9,563,573)
----------- ----------- ----------- ----------- ----------- -----------
Share Transactions--
Proceeds from sale of shares 22,166,868 77,297,434 39,144,182 57,249,693 42,820,246 42,117,498
Net asset value of shares issued to
shareholders in payment of dividends
declared 99,957 -- 9,178,123 9,726,091 4,247,103 8,445,158
Cost of shares redeemed (2,893,857) (3,001,080) (33,944,113) (90,810,110) (34,550,522) (45,177,829)
----------- ----------- ----------- ----------- ----------- -----------
Change in net assets from share
transactions 19,372,968 74,296,354 14,378,192 (23,834,326) 12,516,827 5,384,827
----------- ----------- ----------- ----------- ----------- -----------
Change in net assets 32,700,801 71,275,883 18,272,788 12,991,136 4,150,403 21,094,955
Net Assets:
Beginning of period 71,275,883 -- 207,421,495 194,430,359 169,845,611 148,750,656
----------- ----------- ----------- ----------- ----------- -----------
End of period $103,976,684 7$1,275,883 $225,694,283 $207,421,495 $173,996,014 $169,845,611
----------- ----------- ----------- ----------- ----------- -----------
Undistributed net investment income
included in net assets at end of
period $ 681,961 $ 329,370 $ 991,239 $ 1,263,682 $ 261,244 $ 299,294
----------- ----------- ----------- ----------- ----------- -----------
Net gain (loss) as computed for federeal
tax
purposes $ 355,882 ($224,021) $12,131,436 $ 5,923,208 $ 2,631,713 ($1,257,247)
----------- ----------- ----------- ----------- ----------- -----------
</TABLE>
(a) For the period from December 26, 1994 (date of initial public investment) to
November 30, 1995.
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS--CONTINUED
<TABLE>
<CAPTION>
Biltmore Biltmore
Short-Term Fixed Georgia Municipal
Income Fund Bond Fund
------------------------ -----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
May 31, November May 31, November
1996 30, 1996 30,
(unaudited) 1995 (unaudited) 1995(a)
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Operations--
Net investment income $ 3,468,766 $ 8,143,124 $ 229,794 $ 284,171
Net realized gain (loss) on investments, futures and
foreign currency (81,720) (177,221) 26,033 11,663
Net change in unrealized appreciation (depreciation) of
investments, futures and foreign currency (1,747,605) 3,977,024 (337,340) 472,055
----------- ----------- ---------- -----------
Change in net assets resulting from operations 1,639,441 11,942,927 (81,513) 767,889
----------- ----------- ---------- -----------
Distributions to Shareholders--
Dividends to shareholders from net investment income (4,397,688) (7,332,212) (229,794) (284,171)
Distributions to shareholders from net realized gains on
investments -- -- (11,785) --
----------- ----------- ---------- -----------
Change in net assets from distributions to shareholders (4,397,688) (7,332,212) (241,579) (284,171)
----------- ----------- ---------- -----------
Share Transactions--
Proceeds from sale of shares 11,108,156 21,380,205 1,984,180 11,484,622
Net asset value of shares issued to shareholders in
payment of dividends declared 4,319,826 7,263,688 134,111 204,162
Cost of shares redeemed (15,976,455) (56,861,374) (1,432,964) (1,952,528)
----------- ----------- ---------- -----------
Change in net assets from share transactions (548,473) (28,217,481) 685,327 9,736,256
----------- ----------- ---------- -----------
Change in net assets (3,306,720) (23,606,766) 362,235 10,219,974
Net Assets:
Beginning of period 124,719,640 148,326,406 10,219,974 --
----------- ----------- ---------- -----------
End of period $121,412,920 $124,719,640 $10,582,209 1$0,219,974
----------- ----------- ---------- -----------
Undistributed net investment income included in net assets
at end of period $ 20,201 $ 949,123 -- --
----------- ----------- ---------- -----------
Net gain (loss) as computed for federeal tax purposes ($ 81,720) ($ 241,281) $ 26,033 $ 11,663
----------- ----------- ---------- -----------
</TABLE>
(a) For the period from December 26, 1994 (date of initial public investment) to
November 30, 1995.
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS--CONTINUED
<TABLE>
<CAPTION>
Biltmore Biltmore
North Carolina South Carolina
Municipal Bond Fund Municipal Bond Fund
----------------------- -----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
May 31, November May 31, November
1996 30, 1996 30,
(unaudited) 1995(a) (unaudited) 1995
<S> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
Operations--
Net investment income $ 453,063 $ 456,874 $2,492,049 $4,465,237
Net realized gain (loss) on investments, futures and
foreign currency 88,674 91,379 373,721 300,614
Net change in unrealized appreciation (depreciation) of
investments, futures and foreign currency (787,135) 786,414 (3,649,193) 8,307,203
---------- ----------- ---------- -----------
Change in net assets resulting from operations (245,398) 1,334,667 (783,423) 13,073,054
---------- ----------- ---------- -----------
Distributions to Shareholders--
Dividends to shareholders from net investment income (453,063) (456,874) (2,492,049) (4,465,237)
Distributions to shareholders from net realized gains on
investments (91,423) -- (300,151) (737,507)
---------- ----------- ---------- -----------
Change in net assets from distributions to shareholders (544,486) (456,874) (2,792,200) (5,202,744)
---------- ----------- ---------- -----------
Share Transactions--
Proceeds from sale of shares 8,860,890 17,945,744 13,578,852 18,511,981
Net asset value of shares issued to shareholders in payment
of dividends declared 288,019 294,995 967,801 2,122,444
Cost of shares redeemed (1,099,485) (439,748) (5,857,487) (10,775,249)
---------- ----------- ---------- -----------
Change in net assets from share transactions 8,049,424 17,800,991 8,689,166 9,859,176
---------- ----------- ---------- -----------
Change in net assets 7,259,540 18,678,784 5,113,543 17,729,486
Net Assets:
Beginning of period 18,678,784 -- 93,724,847 75,995,361
---------- ----------- ---------- -----------
End of period $25,938,324 1$8,678,784 $98,838,390 9$3,724,847
---------- ----------- ---------- -----------
Net gain (loss) as computed for federeal tax purposes $ 88,674 $ 91,379 $ 373,721 $ 300,614
---------- ----------- ---------- -----------
</TABLE>
(a) For the period from December 26, 1994 (date of initial public investment) to
November 30, 1995.
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Dividends to Distributions to
Net Asset Net Realized Shareholders Shareholders from
Value, Net and Unrealized Total From from Net Net Realized Gain
Period Ended beginning Investment Gain/(Loss) on Investment Investment on Investment Total
November 30, of period Income Investments Operations Income Transactions Distributions
<S> <C> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------------
BILTMORE EQUITY FUND
1993(a) $ 10.00 0.12 0.25 0.37 (0.09) -- (0.09)
1994 $ 10.28 0.20 0.12 0.32 (0.20) (0.08) (0.28)
1995 $ 10.32 0.23 2.64 2.87 (0.25) (0.23) (0.48)
1996** $ 12.71 0.11 1.18 1.29 (0.11) (0.73) (0.84)
BILTMORE QUANTATIVE EQUITY FUND
1994(b) $ 10.00 0.12 (0.43) (0.31) (0.09) -- (0.09)
1995 $ 9.60 0.22 3.51 3.73 (0.22) -- (0.22)
1996** $ 13.11 0.12 0.98 1.10 (0.11) (0.24) (0.35)
BILTMORE EQUITY INDEX FUND
1993(a) $ 10.00 0.15 0.43 0.58 (0.11) -- (0.11)
1994 $ 10.47 0.25 (0.19) 0.06 (0.24) (0.02) (0.26)
1995 $ 10.27 0.28 3.37 3.65 (0.27) (0.03) (0.30)
1996** $ 13.62 0.15 1.32 1.47 (0.16) (0.78) (0.94)
BILTMORE SPECIAL VALUES FUND
1993(a) $ 10.00 (0.002) 0.242 0.24 -- -- --
1994 $ 10.24 0.06 (0.22) (0.16) (0.05) (0.28) (0.33)
1995 $ 9.75 0.09 2.42 2.51 (0.02) (0.06) (0.08)
1996** $ 12.18 0.02 2.94 2.96 (0.08) (0.91) (0.99)
BILTMORE EMERGING MARKETS FUND
1995(c) $ 10.00 0.05 0.36 0.41 -- -- --
1996** $ 10.41 0.07 1.76 1.83 (0.03) -- (0.03)
BILTMORE BALANCED FUND
1993(a) $ 10.00 0.19 0.29 0.48 (0.15) -- (0.15)
1994 $ 10.33 0.35 (0.38) (0.03) (0.33) (0.04) (0.37)
1995 $ 9.93 0.40 2.13 2.53 (0.38) (0.16) (0.54)
1996** $ 11.92 0.18 0.55 0.73 (0.20) (0.34) (0.54)
BILTMORE FIXED INCOME FUND
1993(a) $ 10.00 0.31 (0.01) 0.30 (0.30) -- (0.30)
1994 $ 10.00 0.56 (0.98) (0.42) (0.55) (0.06) (0.61)
1995 $ 8.97 0.58 0.92 1.50 (0.57) -- (0.57)
1996** $ 9.90 0.30 (0.46) (0.16) (0.30) -- (0.30)
BILTMORE SHORT-TERM FIXED INCOME FUND
1993(a) $ 10.00 0.27 (0.10) 0.17 (0.26) -- (0.26)
1994 $ 9.91 0.45 (0.33) 0.12 (0.45) -- (0.45)
1995 $ 9.58 0.59 0.24 0.83 (0.52) -- (0.52)
1996** $ 9.89 0.28 (0.15) 0.13 (0.35) -- (0.35)
BILTMORE GEORGIA MUNICIPAL BOND FUND
1995(c) $ 10.00 0.41 0.96 1.37 (0.41) -- (0.41)
1996** $ 10.96 0.24 (0.31) (0.07) (0.24) (0.01) (0.25)
BILTMORE NORTH CAROLINA MUNCIPAL BOND FUND
1995(c) $ 10.00 0.43 0.99 1.42 (0.43) -- (0.43)
1996** $ 10.99 0.23 (0.32) (0.09) (0.23) (0.05) (0.28)
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND(D)
9/30/91(e) $ 10.00 0.43 0.17 0.60 (0.43) -- (0.43)
9/30/92 $ 10.17 0.60 0.36 0.96 (0.60) -- (0.60)
9/30/93 $ 10.53 0.59 0.74 1.33 (0.59) -- (0.59)
11/30/1993(f) $ 11.27 0.10 (0.15) (0.05) (0.10) -- (0.10)
11/30/94 $ 11.12 0.56 (1.04) (0.48) (0.56) (0.03) (0.59)
11/30/95 $ 10.05 0.56 1.10 1.66 (0.56) (0.10) (0.66)
5/31/1996** $ 11.05 0.28 (0.36) (0.08) (0.28) (0.03) (0.31)
</TABLE>
* Computed on an annualized basis.
** Six months ended May 31, 1996 (unaudited).
(a) Reflects operations for the period from May 10, 1993 (date of initial
public investment) to November 30, 1993.
(b) Reflects operations for the period from March 28, 1994 (date of initial
public investment) to November 30, 1994.
(c) Reflects operations for the period from December 26, 1994 (date of initial
public investment) to November 30, 1995.
(d) Prior to November 30, 1993 the Fund's year end was September 30.
(e) Reflects operations for the period from January 11, 1991 (date of initial
public investment) to September 30, 1991.
(f) Reflects operations for the two months ended November 30, 1993.
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS AND THE BILTMORE MUNICIPAL FUNDS
FINANCIAL HIGHLIGHTS--CONTINUED
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
Ratios to Average Net Assets
-------------------------------------------- Net Assets,
Net Asset Net end of Average Portfolio
Period Ended Value, end Total Investment Expense Waiver/ period (000 Commission turnover
November 30, of period Return(g) Expenses Income Reimbursement(h) omitted) Rate Paid rate
<S> <C> <C> <C> <C> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------------
BILTMORE EQUITY FUND
1993(a) $ 10.28 3.68% 0.81%* 2.18%* 0.32%* $ 61,997 -- 50%
1994 $ 10.32 3.10% 0.87% 1.98% 0.16% $ 87,022 -- 35%
1995 $ 12.71 28.74% 0.90% 1.99% 0.07% $ 130,150 -- 65%
1996** $ 13.16 10.70% 0.90%* 1.75%* 0.03%* $ 151,588 $ 0.0733 44%
BILTMORE QUANTATIVE EQUITY FUND
1994(b) $ 9.60 (3.08%) 0.90%* 1.83%* 0.10%* $ 91,979 -- 64%
1995 $ 13.11 39.33% 0.87% 1.93% 0.10% $ 121,895 -- 63%
1996** $ 13.86 8.61% 0.87%* 1.66%* 0.05%* $ 144,020 $ 0.0488 43%
BILTMORE EQUITY INDEX FUND
1993(a) $ 10.47 5.80% 0.43%* 2.54%* 0.12%* $ 149,266 -- 9%
1994 $ 10.27 0.56% 0.46% 2.44% 0.08% $ 183,852 -- 9%
1995 $ 13.62 36.15% 0.48% 2.39% 0.05% $ 186,841 -- 60%
1996** $ 14.15 11.44% 0.48%* 2.18%* 0.04%* $ 217,195 $ 0.0375 30%
BILTMORE SPECIAL VALUES FUND
1993(a) $ 10.24 2.40% 1.25%* (0.03%)* 1.79%* $ 12,072 -- 68%
1994 $ 9.75 (1.61%) 1.13% 0.63% 1.09% $ 17,431 -- 62%
1995 $ 12.18 25.91% 1.29% 0.80% 0.58% $ 24,093 -- 57%
1996** $ 14.15 26.22% 1.29%* 0.37%* 0.25%* $ 40,984 $ 0.0725 23%
BILTMORE EMERGING MARKETS FUND
1995(c) $ 10.41 4.10% 1.80%* 0.85%* 0.28%* $ 71,276 -- 17%
1996** $ 12.21 17.65% 1.83%* 1.28%* 0.00%* $ 103,977 $ 0.0015 19%
BILTMORE BALANCED FUND
1993(a) $ 10.33 4.89% 0.75%* 3.30%* 0.19%* $ 166,271 -- 60%
1994 $ 9.93 (0.39%) 0.75% 3.46% 0.17% $ 194,430 -- 74%
1995 $ 11.92 26.32% 0.76% 3.58% 0.16% $ 207,421 -- 102%
1996** $ 12.11 6.35% 0.76%* 3.06%* 0.15%* $ 225,694 $ 0.0712 71%
BILTMORE FIXED INCOME FUND
1993(a) $ 10.00 3.02% 0.68%* 5.44%* 0.19%* $ 140,325 -- 149%
1994 $ 8.97 (4.30%) 0.71% 5.90% 0.13% $ 148,751 -- 148%
1995 $ 9.90 17.20% 0.74% 6.07% 0.10% $ 169,846 -- 155%
1996** $ 9.44 (1.69%) 0.74%* 6.08%* 0.09%* $ 173,996 -- 115%
BILTMORE SHORT-TERM FIXED INCOME FUND
1993(a) $ 9.91 1.69% 0.58%* 4.78%* 0.22%* $ 154,459 -- 73%
1994 $ 9.58 1.27% 0.60% 4.62% 0.18% $ 148,326 -- 151%
1995 $ 9.89 8.82% 0.63% 5.83% 0.18% $ 124,720 -- 147%
1996** $ 9.67 1.32% 0.63%* 5.60%* 0.17%* $ 121,413 -- 84%
BILTMORE GEORGIA MUNICIPAL BOND FUND
1995(c) $ 10.96 13.93% 0.92%* 4.30%* 1.88%* $ 10,220 -- 14%
1996** $ 10.64 (0.65%) 0.92%* 4.38%* 1.41%* $ 10,582 -- 13%
BILTMORE NORTH CAROLINA MUNCIPAL BOND FUND
1995(c) $ 10.99 14.40% 0.85% 4.40% 1.19% $ 18,679 -- 19%
1996** $ 10.62 (0.84%) 0.85%* 4.16%* 0.78%* $ 25,938 -- 10%
BILTMORE SOUTH CAROLINA MUNICIPAL BOND FUND(D)
9/30/91(e) $ 10.17 6.32% 0.82%* 5.73%* 0.86%* $ 21,438 -- 0%
9/30/92 $ 10.53 9.73% 0.61% 5.83% 0.73% $ 63,139 -- 0%
9/30/93 $ 11.27 13.03% 0.55% 5.46% 0.62% $ 82,674 -- 4%
11/30/1993(f) $ 11.12 (0.48%) 0.55%* 5.11%* 0.60%* $ 83,371 -- 2%
11/30/94 $ 10.05 (4.52%) 0.60% 5.22% 0.59% $ 75,995 -- 23%
11/30/95 $ 11.05 16.97% 0.58% 5.23% 0.55% $ 93,725 -- 15%
5/31/1996** $ 10.66 (0.73%) 0.58%* 5.08%* 0.51%* $ 98,838 -- 8%
</TABLE>
* Computed on an annualized basis.
** Six months ended May 31, 1996 (unaudited).
(a) Reflects operations for the period from May 10, 1993 (date of initial
public investment) to November 30, 1993.
(b) Reflects operations for the period from March 28, 1994 (date of initial
public investment) to November 30, 1994.
(c) Reflects operations for the period from December 26, 1994 (date of initial
public investment) to November 30, 1995.
(d) Prior to November 30, 1993 the Fund's year end was September 30.
(e) Reflects operations for the period from January 11, 1991 (date of initial
public investment) to September 30, 1991.
(f) Reflects operations for the two months ended November 30, 1993.
(g) Based on net asset value, which does not reflect the sales charge or
contingent deferred sales charge, if applicable.
(h) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above.
(See Notes which are an integral part of the Financial Statements)
================================================================================
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
COMBINED NOTES TO FINANCIAL STATEMENTS
MAY 31, 1996 (UNAUDITED)
(1) ORGANIZATION
The Biltmore Funds and The Biltmore Municipal Funds (individually referred to as
the "Trust" or collectively as the "Trusts") are registered under the Investment
Company Act of 1940, as amended (the "Act"), as open-end management investment
companies. The Trusts consist of fifteen portfolios. The financial statements of
the following portfolios (individually referred to as the "Fund" or collectively
as the "Funds") are presented herein:
THE BILTMORE FUNDS
<TABLE>
<CAPTION>
Portfolio Name Investment Objective
<S> <C>
Biltmore Equity Fund ("Equity Fund") To provide growth of principal and income.
Biltmore Quantitative Equity Fund
("Quantitative Equity Fund") To provide growth of principal and income.
Biltmore Equity Index Fund ("Equity Index Fund") To provide a total return that approximates that of the stock
market as measured by the S&P 500 Index.
Biltmore Special Values Fund ("Special Values
Fund") To provide growth of principal.
Biltmore Emerging Markets Fund ("Emerging
Markets Fund") To provide long-term capital appreciation.
Biltmore Balanced Fund ("Balanced Fund") To provide long-term growth of principal and current income.
Biltmore Fixed Income Fund ("Fixed Income Fund") To seek a high level of total return.
Biltmore Short-Term Fixed Income Fund To provide a high level of current income with a minimum of
("Short-Term Fixed Income Fund") principal volatility.
</TABLE>
THE BILTMORE MUNICIPAL FUNDS
<TABLE>
<CAPTION>
Portfolio Name Investment Objective
<S> <C>
Biltmore Georgia Municipal Bond Fund ("Georgia To provide current income which is exempt from federal regular
Municipal Bond Fund")* income tax and the personal income taxes imposed by the State
of Georgia.
Biltmore North Carolina Municipal Bond Fund To provide current income which is exempt from federal regular
("North Carolina Municipal Bond Fund")* income tax and the personal income taxes imposed by the State
of North Carolina.
Biltmore South Carolina Municipal Bond Fund To provide current income which is exempt from federal regular
("South Carolina Municipal Bond Fund")* income tax and the personal income taxes imposed by the State
of South Carolina.
</TABLE>
*Non-diversified portfolio.
The financial statements of the other portfolios are presented separately. The
assets of each portfolio are segregated and a shareholder's interest is limited
to the portfolio in which shares are held.
================================================================================
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. These
policies are in conformity with generally accepted accounting principles.
INVESTMENT VALUATIONS--Municipal bonds are valued by an independent pricing
service, taking into consideration yield, liquidity, risk, credit quality,
coupon, maturity, type of issue, and any other factors or market data the
pricing service deems relevant. U.S. government securities, listed
corporate bonds, other fixed income and asset-backed securities, unlisted
securities and private placement securities are generally valued at the
latest bid prices as furnished by an independent pricing service. Listed
equity securities (and investments in closed-end investment companies) are
valued at the last sale price reported on a national securities exchange.
Short-term securities are valued at the prices provided by an independent
pricing service. However, short-term securities with remaining maturities
of sixty days or less at the time of purchase may be valued at amortized
cost, which approximates fair market value. Investments in other open-end
regulated investment companies are valued at net asset value.
REPURCHASE AGREEMENTS--It is the policy of the Funds to require the
custodian bank to take possession, to have legally segregated in the
Federal Reserve Book Entry System, or to have segregated within the
custodian bank's vault, all securities held as collateral under repurchase
agreement transactions. Additionally, procedures have been established by
the Funds to monitor, on a daily basis, the market value of each repurchase
agreement's collateral to ensure that the value of collateral at least
equals the repurchase price to be paid under the repurchase agreement
transaction.
The Funds will only enter into repurchase agreements with banks and other
recognized financial institutions, such as broker/dealers, which are deemed
by the Funds' adviser to be creditworthy pursuant to the guidelines and/or
standards reviewed or established by the Boards of Trustees of the Trusts
(the "Trustees"). Risks may arise from the potential inability of
counterparties to honor the terms of the repurchase agreement. Accordingly,
the Funds could receive less than the repurchase price on the sale of
collateral securities.
INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS--Interest income and expenses
are accrued daily. Bond premium and discount, if applicable, are amortized
as required by the Internal Revenue Code, as amended (the "Code"). Dividend
income and distributions to shareholders are recorded on the ex-dividend
date. Certain dividends from foreign securities may be recorded after the
ex-dividend date based upon when information becomes available to the Fund
FEDERAL TAXES--It is the Funds' policy to comply with the provisions of the
Code applicable to regulated investment companies and to distribute to
shareholders each year substantially all of their income. Accordingly, no
provisions for federal tax are necessary.
Withholding taxes on foreign interest and dividends have been provided for
in accordance with the Funds' understanding of the applicable country's tax
rules and rates.
At November 30, 1995, the Funds listed below, for federal tax purposes, had
capital loss carryforwards, as noted, which will reduce each Fund's taxable
income arising from future net realized gain on investments, if any, to the
extent permitted by the Code, and thus will reduce the amount of the
distributions to shareholders which would otherwise be necessary to relieve
the Fund of any liability for federal tax.
<TABLE>
<CAPTION>
Amount Amount Amount
Total Tax Loss Expiring Expiring Expiring
Fund Carryforward In 2001 In 2002 In 2003
<S> <C> <C> <C> <C>
Emerging Markets Fund $ 224,021 -- -- $ 224,021
Fixed Income Fund 5,006,942 -- $ 3,749,695 1,257,247
Short-Term Fixed Income Fund 3,525,132 $ 493,199 2,790,650 241,283
</TABLE>
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS--The Funds may engage in
when-issued or delayed delivery transactions. The Funds record when-issued
securities on the trade date and maintain security positions such that
sufficient liquid assets will be available to make payment for the
securities purchased. Securities purchased on a when-issued or delayed
delivery basis are marked to market daily and begin earning interest on the
settlement date.
================================================================================
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
DEFERRED EXPENSES--The costs incurred by each Fund with respect to registration
of its shares in its first fiscal year, excluding the initial expense of
registering its shares, have been deferred and are being amortized using the
straight-line method over a period of five years from each Fund's commencement
date.
FUTURES CONTRACTS--The Funds listed below purchase stock index futures contracts
to manage cashflows, to enhance yield, and potentially to reduce transaction
costs. Upon entering into a stock index futures contract with a broker, the
Funds listed below are required to deposit in a segregated account a specified
amount of cash or U.S. government securities. Futures contracts are valued daily
and unrealized gains or losses are recorded in a "variation margin" account.
Daily, the Funds listed below receive from or pay to the broker a specified
amount of cash based upon changes in the variation margin account. When a
contract is closed, the Funds recognize a realized gain or loss.
For the six months ended May 31, 1996, the Funds had realized gains/losses on
future contracts as follows:
<TABLE>
<CAPTION>
Realized Gain (Loss)
Fund on Futures Contracts
<S> <C>
Equity Fund $ 734,849
Quantitative Equity Fund 564,247
Equity Index Fund 1,723,186
Balanced Fund 614,241
</TABLE>
Futures contracts have market risks, including the risk that the change in the
value of the contract may not correlate with changes in the value of the
underlying securities.
At May 31, 1996, the Funds had outstanding futures contracts as set forth below:
EQUITY FUND
<TABLE>
<CAPTION>
Unrealized
Contracts to Appreciation
Expiration Date Deliver/Receive Position (Depreciation)
<S> <C> <C> <C>
June 1996 49 S&P 500 Index Futures Long $ 466,710
September 1996 1 S&P 500 Index Future Long (385)
---------------
Net unrealized appreciation on futures contracts $ 466,325
</TABLE>
QUANTITATIVE EQUITY FUND
<TABLE>
<CAPTION>
Unrealized
Contracts to Appreciation
Expiration Date Deliver/Receive Position (Depreciation)
<S> <C> <C> <C>
June 1996 30 S&P 500 Index Futures Long $ 287,864
</TABLE>
EQUITY INDEX FUND
<TABLE>
<CAPTION>
Unrealized
Contracts to Appreciation
Expiration Date Deliver/Receive Position (Depreciation)
<S> <C> <C> <C>
June 1996 79 S&P 500 Index Futures Long $ 700,930
September 1996 8 S&P 500 Index Futures Long (6,080)
---------------
Net unrealized appreciation on futures contracts $ 694,850
</TABLE>
BALANCED FUND
Unrealized
Contracts to Appreciation
Expiration Date Deliver/Receive Position (Depreciation)
================================================================================
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
<TABLE>
<CAPTION>
<S> <C> <C> <C>
June 1996 14 S&P 500 Index Futures Long $ 178,493
September 1996 1 S&P 500 Index Future Long (1,361)
---------------
Net unrealized appreciation on futures contracts $ 177,132
</TABLE>
================================================================================
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
FOREIGN EXCHANGE CONTRACTS--Emerging Markets Fund may enter into foreign
currency exchange contracts as a way of managing foreign exchange rate risk. The
Fund may enter into these contracts for the purchase or sale of a specific
foreign currency at a fixed price on a future date as a hedge or cross hedge
against either specific transactions or portfolio positions. The objective of
the Fund's foreign currency hedging transactions is to reduce the risk that the
U.S. dollar value of the Fund's foreign currency denominated securities will
decline in value due to changes in foreign currency exchange rates. All foreign
currency exchange contracts are "marked to market" daily at the applicable
translation rates resulting in unrealized gains or losses. Realized gains or
losses are recorded at the time the foreign currency exchange contract is offset
by entering into a closing transaction or by the delivery or receipt of the
currency. Risk may arise upon entering into these contracts from the potential
inability of counterparties to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to the U.S.
dollar.
At May 31, 1996, Emerging Markets Fund had outstanding foreign currency
contracts as set forth below:
<TABLE>
<CAPTION>
Unrealized
Contracts to Appreciation
Settlement Date Deliver/Receive In Exchange For (Depreciation)
<S> <C> <C> <C>
6/1/96 1,010,000,000 Turkish Lira $ 12,834 ($19)
6/3/96 112,500 Thailand Baht 4,425 (17)
-----
Net unrealized depreciation on foreign currency contracts ($36)
</TABLE>
FOREIGN CURRENCY TRANSLATION--The accounting records of Emerging Markets Fund
are maintained in U.S. dollars. All assets and liabilities denominated in
foreign currencies ("FC") are translated into U.S. dollars based on the rate of
exchange of such currencies against U.S. dollars on the date of valuation.
Purchases and sales of securities, income and expenses are translated at the
rate of exchange quoted on the respective date that such transactions are
recorded. Differences between income and expense amounts recorded and collected
or paid are adjusted when reported by the custodian bank. The Fund does not
isolate that portion of the results of operations resulting from changes in
foreign exchange rates on investments from the fluctuations arising from changes
in market prices of securities held. Such fluctuations are included with the net
realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales of
FCs, currency gains or losses realized between the trade and settlement dates on
securities transactions, the difference between the amounts of dividends,
interest, and foreign withholding taxes recorded on the Fund's books, and the
U.S. dollar equivalent of the amounts actually received or paid. Net unrealized
foreign exchange gains and losses arise from changes in the value of assets and
liabilities other than investments in securities at fiscal year end, resulting
from changes in the exchange rate.
USE OF ESTIMATES--The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts of assets, liabilities, expenses and
revenues reported in the financial statements. Actual results could differ from
those estimated.
OTHER--Investment transactions are accounted for on the trade date.
(3) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust of both The Biltmore Funds and The Biltmore Municipal
Funds permit the Trustees to issue an unlimited number of full and fractional
shares of beneficial interest (without par value) of the Funds.
Transactions in shares were as follows:
================================================================================
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
<TABLE>
<CAPTION>
Quantitative Equity
Equity Fund Fund Equity Index Fund
----------------------- ----------------------- -----------------------
Six Six Six
Months Months Months
Ended May Year Ended Ended May Year Ended Ended May Year Ended
31, November 30, 31, November 30, 31, November 30,
1996 1995 1996 1995 1996 1995
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
Shares sold 2,068,401 4,282,287 1,398,206 1,840,666 2,664,427 3,643,231
Shares issued to shareholders in payment
of
distributions declared 605,133 351,282 242,216 180,286 1,003,250 423,558
Shares redeemed (1,391,151) (2,825,368) (541,333) (2,308,489) (2,041,391) (8,252,788)
--------- ------------ --------- ------------ --------- ------------
Net change resulting from share
transactions 1,282,383 1,808,201 1,099,089 (287,537) 1,626,286 (4,185,999)
--------- ------------ --------- ------------ --------- ------------
<CAPTION>
Special Values Fund Emerging Markets Fund Balanced Fund
----------------------- ----------------------- -----------------------
Six Six Six
Months Months Months
Ended May Year Ended Ended May Period Ended Ended May Year Ended
31, November 30, 31, November 30, 31, November 30,
1996 1995 1996 1995* 1996 1995
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
Shares sold 877,836 640,769 1,907,431 7,143,913 3,284,700 5,362,908
Shares issued to shareholders in payment
of
distributions declared 163,047 13,395 9,504 -- 789,680 944,056
Shares redeemed (121,608) (464,783) (251,474) (293,852) (2,843,924) (8,483,555)
--------- ------------ --------- ------------ --------- ------------
Net change resulting from share
transactions 919,275 189,381 1,665,461 6,850,061 1,230,456 (2,176,591)
--------- ------------ --------- ------------ --------- ------------
<CAPTION>
Short-Term Fixed Income Georgia Municipal Bond
Fixed Income Fund Fund Fund
----------------------- ----------------------- -----------------------
Six Six Six
Months Months Months
Ended May Year Ended Ended May Year Ended Ended May Period Ended
31, November 30, 31, November 30, 31, November 30,
1996 1995 1996 1995 1996 1995*
<S> <C> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
Shares sold 4,373,381 4,450,994 1,134,247 2,200,207 182,229 1,096,122
Shares issued to shareholders in payment
of distributions declared 436,742 893,781 442,207 745,346 12,314 18,994
Shares redeemed (3,528,502) (4,785,329) (1,632,961) (5,816,573) (132,166) (182,836)
--------- ------------ --------- ------------ --------- ------------
Net change resulting from share
transactions 1,281,621 559,446 (56,507) (2,871,020) 62,377 932,280
--------- ------------ --------- ------------ --------- ------------
<CAPTION>
North Carolina South Carolina
Municipal Bond Fund Municipal Bond Fund
----------------------- -----------------------
Six Six
Months Months
Ended May Period Ended Ended Year Ended
31, November 30, May 31, November 30,
1996 1995* 1996 1995
<S> <C> <C> <C> <C>
- -------------------------------------------------------------------------------------------
Shares sold 818,661 1,712,554 1,240,102 1,737,284
Shares issued to shareholders in payment
of
distributions declared 26,447 27,599 88,497 200,360
Shares redeemed (101,001) (41,290) (537,618) (1,014,536)
--------- ------------ --------- ------------
Net change resulting from share
transactions 744,107 1,698,863 790,981 923,108
--------- ------------ --------- ------------
</TABLE>
*For the period from December 26, 1994 (date of initial public investment) to
November 30, 1995.
================================================================================
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
(4) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE--Wachovia Bank of North Carolina, N.A., the Funds'
investment adviser (the "Adviser"), is entitled to receive for its services an
annual investment advisory fee based on a percentage of each Fund's average
daily net assets as listed below. The Adviser may voluntarily choose to waive
any portion of its fee. The Adviser can modify or terminate this voluntary
waiver at any time at its sole discretion.
<TABLE>
<CAPTION>
Fund Annual Rate
<S> <C>
Equity Fund 0.70%
Quantitative Equity Fund 0.70%
Equity Index Fund 0.30%
Special Values Fund 0.80%
Emerging Markets Fund 1.00%
Balanced Fund 0.70%
Fixed Income Fund 0.60%
Short-Term Fixed Income Fund 0.55%
Georgia Municipal Bond Fund 0.75%
North Carolina Municipal Bond Fund 0.75%
South Carolina Municipal Bond Fund 0.75%
</TABLE>
SUB ADVISORY FEE--The Adviser has entered into a sub-advisory agreement with
Twin Capital (the "Sub-Adviser"). The Sub-Adviser furnishes certain advisory
services to the Adviser for Quantitative Equity Fund, including investment
research, quantitative analysis, statistical and other factual information, and
recommendations based on the Sub-Adviser's analysis, and assists the Adviser in
identifying securities for potential purchase and/or sale. The Sub-Adviser
receives an annual fee of $55,000 paid by the Adviser.
ADMINISTRATIVE FEE--Federated Administrative Services ("FAS") provides the Funds
with certain administrative personnel and services. The fee paid to FAS is based
on the level of average aggregate net assets of the Trusts for the period. FAS
may voluntarily choose to waive a portion of its fee.
TRANSFER AGENT AND DIVIDEND DISBURSING AGENT FEES--Federated Services Company
("FServ"), through its subsidiary Federated Shareholder Services Company
("FSSC"), serves as transfer and dividend disbursing agent for the Funds. The
fee paid to FSSC is based on the size, type, and number of accounts and
transactions made by shareholders.
PORTFOLIO ACCOUNTING FEES--FServ maintains the Funds' accounting records for
which it receives a fee. The fee is based on the level of each Fund's average
daily net assets for the period, plus out-of-pocket expenses.
CUSTODIAN FEES--Wachovia Bank of North Carolina, N.A. is the Funds' custodian.
The fee is based on the level of each Fund's average daily net assets for the
period, plus out-of-pocket expenses.
ORGANIZATIONAL EXPENSES--Organizational expenses were borne initially by FAS.
The Funds have agreed to reimburse FAS for the organizational expenses during
the five-year period following each fund's commencement date. For the six months
ended May 31, 1996, the following amounts were paid pursuant to this agreement:
<TABLE>
<CAPTION>
Organizational Organizational
Fund Expenses Expenses Paid
<S> <C> <C>
Equity Fund $ 34,484 $ 3,313
Quantitative Equity Fund 34,484 3,000
Equity Index Fund 34,484 3,267
Special Values Fund 33,777 4,879
Emerging Markets Fund 40,764 2,358
Balanced Fund 31,904 3,190
Fixed Income Fund 34,484 3,251
Short-Term Fixed Income Fund 34,484 3,448
Georgia Municipal Bond Fund 25,864 2,000
North Carolina Municipal Bond Fund 23,307 2,000
South Carolina Municipal Bond Fund 30,060 1,487
</TABLE>
================================================================================
THE BILTMORE FUNDS
THE BILTMORE MUNICIPAL FUNDS
GENERAL--Certain of the Officers of the Trust are Officers and Directors or
Trustees of the above companies.
(5) INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term securities, for the six
months ended May 31, 1996, were as follows:
<TABLE>
<CAPTION>
Fund Purchases Sales
<S> <C> <C>
Equity Fund $ 65,592,099 $ 59,335,926
Quantitative Equity Fund 66,027,510 55,124,423
Equity Index Fund 68,777,730 59,963,296
Special Values Fund 18,334,661 7,094,701
Emerging Markets Fund 36,241,677 15,436,529
Balanced Fund 154,313,942 151,582,706
Fixed Income Fund 208,054,969 194,837,194
Short-Term Fixed Income Fund 102,087,294 106,765,220
Georgia Municipal Bond Fund 1,947,212 1,367,705
North Carolina Municipal Bond Fund 9,076,106 1,852,931
South Carolina Municipal Bond Fund 14,903,978 7,427,650
</TABLE>
(6) CONCENTRATION OF CREDIT RISK
Since The Biltmore Municipal Funds invest a substantial portion of their assets
in issuers located in one state, they will be more susceptible to factors
adversely affecting issuers of that state than would be a comparable tax-exempt
mutual fund that invests nationally. In order to reduce the credit risk
associated with such factors, at May 31, 1996, the securities in the portfolio
of investments are backed by letters of credit or bond insurance of various
financial institutions and financial guaranty assurance agencies, as indicated
below. The largest percentage of investments insured by or supported (backed) by
a letter of credit from any one institution or agency is also indicated below.
<TABLE>
<CAPTION>
% of Portfolio % of Portfolio backed by
Fund Guaranteed/Insured Largest Guarantor/Insurer
<S> <C> <C>
Georgia Municipal Bond Fund 37.3% 13.3%
North Carolina Municipal Bond Fund 30.4% 18.6%
South Carolina Municipal Bond Fund 66.2% 24.5%
</TABLE>
Emerging Markets Fund invests in securities of non-U.S. issuers. Although the
Fund maintains a diversified investment portfolio, the political or economic
developments within a particular country or region may have an adverse effect on
the ability of domiciled issuers to meet their obligations. Additionally,
political or economic developments may have an effect on the liquidity and
volatility of portfolio securities and currency holdings.
================================================================================
TRUSTEES OFFICERS
James A. Hanley John W. McGonigle
Samuel E. Hudgins President and Treasurer
J. Berkley Ingram, Jr. Charles L. Davis, Jr.
D. Dean Kaylor Vice President and Assistant Treasurer
Charles S. Way, Jr. Peter J. Germain
Secretary
Gail Cagney
Assistant Secretary
Mutual funds are not bank deposits or obligations, are not guaranteed
by any bank, and are not insured or guaranteed by the U.S. government,
the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any
other government agency. Investment in mutual funds involves risk, including
possible loss of principal.
This report is authorized for distribution to prospective investors only when
preceded or accompanied by the Fund's prospectus which contains facts
concerning its investment objective and policies, management fees, expenses
and other information.
Federated Securities Corp.
is the distributor of the fund.
831-27 (7/96) G01715-01 (7/96)
