N-30D 1 dn30d.txt STATE FARM ASSOCIATES' FUNDS TRUST ANNUAL REPORT NOVEMBER 30 2001 State Farm Associates' Funds Trust STATE FARM GROWTH FUND STATE FARM BALANCED FUND STATE FARM INTERIM FUND STATE FARM MUNICIPAL BOND FUND [STATE FARM LOGO] Mutual Funds/TM/ Table of Contents Message to Shareowners ..............................1 The Economy and Markets .............................2 Report of Independent Auditors ......................5 Portfolio of Investments State Farm Growth Fund ...........................6 State Farm Balanced Fund .........................8 State Farm Interim Fund ..........................12 State Farm Municipal Bond Fund ...................13 Financial Statements Statements of Assets and Liabilities .............23 Statements of Operations .........................24 Statements of Changes in Net Assets ..............26 Notes to Financial Statements ....................28 Financial Highlights ................................32 Tax Information .....................................36 This report must be accompanied or preceded by a prospectus for the State Farm Associates' Funds Trust. Distributor: State Farm VP Management Corp. Message to Shareowners of State Farm Associates' Funds Trust General trends which existed in U.S. securities markets during the Funds' 2000 fiscal year continued in 2001. The U.S. stock market declined while prices of good quality bonds rose. Price changes in 2001 for both stocks and bonds were greater than those of 2000. While the stock market has generated negative returns over the past 2 years, it is important to recall that the 5 previous years (1995-99) produced the strongest common stock returns as measured by the S&P 500/R/ Index* of any 5-year period since the rebound from the Great Depression in the 1930's. To put this in perspective, if $1 had been invested in the S&P 500 at the beginning of 1995, it would have been worth $3.51 at the end of 1999. The U.S. economy has slipped into recession during 2001, and naturally securities prices have been affected by the general economic weakness. Although the present slowdown is a matter of short-term concern, it is important to place the current recession within a long-term historical context. The following table from an issue of The Economist dated December 1, 2001, shows the dates, duration, and percentage fall in gross domestic product for every post-World War II recession in the U.S. Duration and Depth of U.S. Recessions Duration in % Fall in GDP Recession Dates Months Peak to Trough 1948-49 11 3.6 1953-54 10 2.6 1957-58 8 3.2 1960-61 10 0.5 1969-70 11 0.1 1973-75 16 3.4 1980 6 2.2 1981-82 16 2.8 1990-91 8 1.3 Please note the following points from the table: (1) Recessions are not uncommon. This appears to be the 10th recession in the U.S. since the end of World War II. However, it has been a very long time since the U.S. experienced a significant downturn. The recession in 1990-91, which accompanied the Gulf War, was mild and short in duration. Investors have to go back 20 years to the 1981-82 period to consider the last truly painful recession. (2) Most recessions end fairly rapidly, usually lasting 6-12 months. The severe recessions of 1973-75 and 1981-82 each lasted 16 months. The present recession, caused by excessive capital investment and the bursting of a speculative bubble, may be more difficult to manage with fiscal and monetary tools. Some economists worry that lower interest rates and fiscal stimulus may not result in a rapid resurgence of capital spending this time and that the high excess capacity in the economy can unleash powerful deflation-ary forces. Others believe that present and expected monetary and fiscal policy will prove effective and that a recovery will occur before too long. Of course, only time will tell. Another cause for concern is that the world is experiencing a synchronized global downtown. The U.S., Japan, Europe, and the emerging economies of the world all appear to be in or near recession. Consequently, weakness in our part of the world is not being offset by strength elsewhere. Obviously, weakness in the global economy has been exacerbated by the tragic events of September 11. This is a particularly uncertain time. Foreign policy of the U.S. has undergone a necessary but fundamental change because of the terrorist event. United States policy is to use military resources if required to eliminate terrorism and the regimes that sponsor them. The effort is expected to be sustained and long term. Implications of this necessary policy on the global economy are impossible to predict. Uncertainty exists, and it is projected into financial markets. Even with the decline in common stock prices over the past two years, the valuation of the U.S. stock market remains high. The price/earnings ratio of the S&P 500 (based on trailing 12 month earnings) is 31x. The average price/earnings ratio over the last 75 years has been approximately 15x. The dividend yield of the S&P 500 is 1.4% currently versus a 40-year historical average of about 3%. To some extent, the high valuations are explained by the relatively low interest rates prevalent today, and significant declines in corporate earnings which have occurred recently. While the outlook appears difficult and particularly uncertain at the moment, we believe investors should focus on three points. First, recessions do end. Second, recessions and weak financial markets present excellent opportunities for the strongly capitalized and well-managed firms that are owned in your Funds. Third, periods of difficulty present opportunities to add to existing holdings or initiate new holdings at very reasonable prices. The experiences of the past 2 years have been discouraging for many common stock investors. However, it is important to remain optimistic about the long-term. The U.S. capital markets are tremendously flexible and adaptive. Please recall that economic growth and wealth creation are largely a function of innovation and management skill. The role of capital markets is to finance good ideas. The scarce ingredients in business are the capacity for innovation and the talented people to execute the ideas. Neither of those ingredients will disappear during soft economic periods. They exist because of our democratic political process and capitalistic economic system, which allow open thought and free expression. These values are enduring. Interest rates are presently quite low, particularly for short-term obligations. The immediate direction of future interest rates depends heavily on how global economies respond to stimuli which is occurring and geopolitical developments. However from a long-term perspective, we are now probably looking at interest rates that will not move much lower on good quality debt obligations unless general economic conditions deteriorate more or present weakness persists for an extended period. The managers of your Funds work hard to identify good ideas and capable people. We analyze companies and governmental units by scrutinizing financial statements, visiting in person with management of the entities, and checking competitors. This has been a successful approach to managing portfolios since your Funds' inception, and we expect it will continue to be in the future. Sincerely, /s/ Kurt G. Moser /s/ Paul N. Eckley Kurt G. Moser Paul N. Eckley Senior Vice President Senior Vice President *The S&P 500/R/ Index tracks the common stock performance of large U.S. companies in the manufacturing, utilities, transportation, and financial industries. It also tracks the performance of common stocks issued by foreign and smaller U.S. companies in similar industries. In total, the S&P 500 is comprised of 500 common stocks. 1 The Economy Any doubts about whether the U.S. is in, or headed for, a recession were dispelled by the September 11 terrorist attacks. As it turns out, recent economic data validates that the U.S. economy was actually suffering from a recessionary environment even before the attacks. Consequences of the terrorists actions include weaker economic activity over the next nine months or so than otherwise would have been the case. The debate now centers upon the depth and length of the recession and when and how strong the recovery might be. After a recent revision, real GDP growth for the third quarter is now estimated at negative (1.1)%. This follows positive growth of only 0.3% in the second quarter and 1.3% for the first quarter. GDP growth in the last three months of 2001 is almost universally expected to be negative. The fundamental cause of the economic weakness is the economic and financial imbalances generated during the boom period in the late 1990's. The present recession looks to be considerably different from other post-World War II recessions in America, which were generally caused by the Federal Reserve increasing interest rates to dampen inflation. This recession appears to be the result of an unsustainable capital investment boom and concurrent financial bubble. Now the U.S. economy is plagued by very high excess capacity, which was largely built based on excessive expectations about future growth and profitability. As is generally the case, the economic slowdown establishes a base for recovery to occur. Inventories are being reduced and eventually will need to be replaced by future outputs. Additionally, the economy presently has the following important things going for it: monetary stimulus, low inflation, tax reductions, likely fiscal stimulus and lower energy prices. Consequently, a recovery of some sort in 2002 seems likely. Given the tenuous nature of present conditions, however, good fortune in avoiding further disruptive terrorist activity and unanticipated international calamities will be helpful to such an outcome. The U.S. Equity Market In 2000 and 2001 the U.S. stock market has produced two consecutive years of negative total returns. Over the 12 month period ended November 30, 2001, the S&P 500 Index posted a negative total return of (12.3)%. In the 2000 calendar year the S&P 500 Index experienced a negative total return of (9.1)%. Stock prices of large companies which are categorized as growth stocks have generally been struggling since the end of 1998. The S&P 500 Index, which is dominated by large capitalization growth stocks, has decreased 7.3% in price since December 31, 1998. The stocks of small and mid-size companies have tended to outperform the equities of large companies over the past 3 years. The Russell 2000/R/ Index* is composed of small companies. It has risen in price by 9.2% since the end of 1998. So-called value stocks have been the best performers recently. Although definitions are somewhat unclear, stocks are placed in the value category when earnings are expected to grow at rates less than those of companies in the S&P 500. Also, value stocks tend to trade at lower price/earnings ratios, higher dividend yields and lower price to book value ratios than growth stocks. Prior to 1999 large capitalization growth stocks had performed significantly better than small stocks and value stocks for an extended period of time. The U.S. Bond Market Activity in money and bond markets over the past year has been heavily influenced by the Federal Reserve Board's aggressive easing of monetary policy which began in early January. The intensity of monetary accommodation picked up when the Open Market Committee quickly dropped the target Federal Funds rate 50 basis points (a basis point is .01%) as markets reopened after the September 11 attacks. Two additional easings of 50 basis points each followed in early October and November plus another 25 basis points in December. The target U.S. federal funds rate now stands at 1.75%, the lowest in 40 years. It has been reduced 475 basis points cumulatively since January through eleven separate reductions. In its latest move, the Federal Reserve suggested further rate reductions are possible if the economy continues to show weakness. Federal Reserve officials are committed to fighting the synchronized global economic downturn which is unfolding. Central banks across the world are also aggressively following accommodating monetary policies. Interest rates in long-term U.S. bond markets more or less followed short-term interest rates downward during the year until mid-November after the Federal Reserve's 50 basis point rate cut on November 6. Market sentiment began to change as stocks rallied, the tone of new economic data became slightly less pessimistic, corporate bond issuance picked up and military success became evident in Afghanistan. From that point in November, the yield on 10-year U.S. Treasury notes jumped about 60 basis points during the remainder of the month. So despite the 475 basis point reduction in short-term interest rates engineered by the Federal Reserve Board, yields on long-term U.S. Treasury, corporate and municipal bonds now stand at levels which are virtually unchanged or somewhat higher than those which existed at the beginning of calendar year 2001. *The Russell 2000/R/ Index tracks the common stock performance of the 2,000 smallest U.S. Companies in the Russell 3000/R/ Index, which represents approximately 10% of the total capitalization of the Russell 3000/R/ Index. 2 Growth Fund The Growth Fund seeks long-term growth of capital, which may be supplemented by income. At November 30, 2001, common stocks represented 98% of the Growth Fund's total assets. State Farm Investment Management Corp. chooses stocks for the Fund's portfolio based on assessments of the stocks' long-term potential to generate capital gains, but may also consider a stock's long-term potential to generate growth in dividend income. The Growth Fund added to positions in consumer products, media, retailing, and technology companies over the past year. A negative total return of (10.41)% was experienced by the Growth Fund during the twelve months ended November 30, 2001, compared to (12.22)% for the S&P 500/R/ Index. The Growth Fund's holdings of banks, consumer product firms, and commodity producers performed well over the past year. Holdings of telecommunication equipment firms were particularly weak as telecommunication operators cut back their capital spending markedly. The Growth Fund's average annual total return for the 1-year, 5-year and 10-year periods ended December 31, 2001 was (10.82%), 9.59% and 10.17%, respectively. The following graph compares a $10,000 investment in the Growth Fund over the last ten years to a theoretical investment of the same amount in the S&P 500 Index*: [CHART] Comparison of change in value of $10,000 investment for the years ended November 30 $ 50 Fund's Average Annual Total Return ---------------------------------- 1 YEAR 5 YEAR 10 YEAR $ 40 -10.41% 9.01% 11.42% T $ 37,265 H S&P 500* O $ 30 U S $ 29,492 A $ 20 Growth Fund N D S $ 10 Past performance does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that Fund shares, when redeemed, may be worth more or less than their original cost. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. $ 0 --------------------------------------------------------------------------- 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 *The S&P 500/R/ Index is a capitalization-weighted measure of 500 widely held common stocks listed on the New York and American Stock Exchanges and traded in the Over-The-Counter Market. The S&P 500/R/ Index represents an unmanaged group of stocks that differs from the composition of the Growth Fund. Unlike an investment in the Growth Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index. Balanced Fund The Balanced Fund seeks long-term growth of principal while providing some current income. The Fund invests in common stocks and bonds. At November 30, 2001 common stocks represented 65% of total assets and bonds or short-term investments made up 35%. The Balanced Fund added to positions in consumer products, media, retailing, and technology companies over the past year. Corporate bond holdings were increased while investments in U.S. Treasury securities were reduced. The Balanced Fund experienced a negative total return of (4.63)% for the year ended November 30, 2001. The Balanced Fund's investments in banks, consumer product firms, and commodity producers performed well over the past year. Holdings of telecommunications equipment firms were particularly weak as telecommunications operators cut back their capital spending markedly. Generally speaking, corporate bonds outperformed U.S. Treasury securities during the year. The Balanced Fund's average annual total return for the 1-year, 5-year and 10-year periods ended December 31, 2001 was (5.65%), 7.34% and 8.70%, respectively. The following graph compares a $10,000 investment in the Balanced Fund over the last ten years to a theoretical investment of the same amount in the S&P 500 Index* and the Lehman Brothers Intermediate Government/Credit Index**: [CHART] Comparison of change in value of $10,000 investment for the years ended November 30 $ 50 Fund's Average Annual Total Return ---------------------------------- 1 YEAR 5 YEAR 10 YEAR $ 40 -4.63% 6.92% 9.72% T $ 37,265 H S&P 500* O U $ 30 S $ 25,284 A $ 20 Balanced Fund N D $ 19,913 S Lehman Bros. Intermediate Gov/Credit** $ 10 Past performance does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that Fund shares, when redeemed, may be worth more or less than their original cost. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. $ 0 --------------------------------------------------------------------------- 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 *The S&P 500/R/ Index is a capitalization-weighted measure of 500 widely held common stocks listed on the New York and American Stock Exchanges and traded in the Over-The-Counter Market. **The Lehman Brothers Intermediate Gov/Credit Index contains approximately 3,514 U.S. Treasury, corporate and other securities with an average maturity of about 4.6 years. The S&P 500/R/ Index and the Lehman Brothers Gov/Credit Treasury Index represent unmanaged groups of stocks and bonds that differ from the composition of the Balanced Fund. Unlike an investment in the Balanced Fund, theoretical investments in the indices do not reflect expenses. It is not possible to invest directly in an index. 3 Interim Fund The Interim Fund seeks the realization over a period of years of the highest yield consistent with relatively low price volatility. The general composition of the Fund's portfolio changed very little over the year with primary investments consisting of U.S. Treasury issues, which mature regularly over the next six years. The weighted average maturity of the portfolio presently stands at 3.2 years, which is slightly longer than a year ago. High quality investments provide a dependable flow of dividend income. The Interim Fund produced a total return of 9.73% for the fiscal year ended November 30, 2001. The Interim Fund's average annual total return for the 1-year, 5-year and 10-year periods ended December 31, 2001 was 7.80%, 6.55% and 6.14%, respectively. The following graph compares a $10,000 investment in the Interim Fund over the last ten years to a theoretical investment of the same amount in the Lehman Brothers 1-5 year U.S. Treasury Index*: [CHART] Comparison of change in value of $10,000 investment for the years ended November 30 $ 30 Fund's Average Annual Total Return ---------------------------------- T 1 YEAR 5 YEAR 10 YEAR H 9.73% 6.55% 6.38% O U $ 20 $ 18,641 S Lehman Bros. 1-5 Year Treasury Index* A $ 18,522 N Interim Fund D S Past performance does not guarantee future results. The investment return and principal value of an investment $ 10 in the Fund will fluctuate so that Fund shares, when redeemed, may be worth more or less than their original cost. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. $ 0 --------------------------------------------------------------------------- 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 *Lehman Brothers 1-5 Year U.S. Treasury Index presently contains approximately 60 U.S. Treasury Securities maturing within one to five years. The Lehman Brothers 1-5 Year U.S. Treasury Index represents an unmanaged group of bonds that differs from the composition of the Interim Fund. Unlike an investment in the Interim Fund, a theoretical investment in the index does not reflect any expenses. It is not possible to invest directly in an index. Municipal Bond Fund The Municipal Bond Fund seeks as high a rate of income exempt from federal income taxes as is consistent with prudent investment management. The Fund invests primarily in a diversified portfolio of municipal bonds. The general composition of the Fund's investments has changed very little since our last annual report. An intermediate maturity structure has been the orientation of the Fund's portfolio for several years. Municipal bonds purchased over the past twelve months had maturities ranging from 11-15 years. The average weighted maturity of the Fund's present portfolio is approximately 8.1 years, which is virtually the same as one year ago, with all maturities spread over the next 15 years. The Municipal Bond Fund provided a total return of 8.39% over the twelve months ended November 30, 2001. The Municipal Bond Fund's average annual total return for the 1-year, 5-year and 10-year periods ended December 31, 2001 was 5.07%, 5.40% and 5.89%, respectively. The following graph compares a $10,000 investment in the Municipal Bond Fund over the last ten years to a theoretical investment of the same amount in the Lehman Brothers Municipal Bond Index*: [CHART] Comparison of change in value of $10,000 investment for the years ended November 30 $ 30 Fund's Average Annual Total Return T ---------------------------------- H 1 YEAR 5 YEAR 10 YEAR O 8.39% 5.52% 6.19% U $ 20 $ 19,680 S Lehman Bros. Muni Bond Index* A $ 18,221 N Municipal Bond Fund D S Past performance does not guarantee future $ 10 results. The investment return and principal value of an investment in the Fund will fluctuate so that Fund shares, when redeemed, may be worth more or less than their original cost. These figures do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. $ 0 --------------------------------------------------------------------------- 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 *The Lehman Brothers Municipal Bond Index includes approximately 41,846 municipal bonds which are selected to be representative of the market. To be included in the index, a municipal Bond must meet the following criteria: have a minimum credit rating of Baa; have been issued as part of an issue of at least $50 million; have an amount outstanding of at least $3 million; have been issued since December 31, 1990; and have a maturity of at least one year. The Lehman Brothers Index represents an unmanaged group of bonds that differs from the composition of the Municipal Bond Fund. Unlike an investment in the Municipal Bond Fund, a theoretical investment in the Index does not reflect any expenses. It is not possible to invest directly in an index. 4 Report of Independent Auditors The Board of Trustees and Shareowners State Farm Associates' Funds Trust State Farm Growth Fund State Farm Balanced Fund State Farm Interim Fund State Farm Municipal Bond Fund We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the State Farm Growth Fund, State Farm Balanced Fund, State Farm Interim Fund, and State Farm Municipal Bond Fund, comprising the State Farm Associates' Funds Trust as of November 30, 2001, the related statements of operations and changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the fiscal years since 1997. These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of investments owned as of November 30, 2001 by correspondence with the custodian. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds of the State Farm Associates' Funds Trust at November 30, 2001, the results of their operations and changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the fiscal years since 1997, in conformity with accounting principles generally accepted in the United States. /s/ Ernst & Young LLP Chicago, Illinois December 21, 2001 5 STATE FARM ASSOCIATES' FUNDS TRUST GROWTH FUND PORTFOLIO OF INVESTMENTS (Continued) November 30, 2001 (Audited)
Shares Value ----------- ------------ Common Stocks (98.0%) Agriculture, Foods, & Beverage (5.8%) Archer-Daniels-Midland Co. 3,477,500 $ 53,518,725 Campbell Soup Co. 92,000 2,696,520 Hershey Foods Corp. 75,400 4,935,684 Kellogg Co. 930,000 27,425,700 McCormick & Co. Inc. 214,300 9,214,900 Sara Lee Corp. 208,000 4,551,040 Sysco Corp. 430,000 10,573,700 The Coca-Cola Co. 710,900 33,383,864 ------------ 146,300,133 ------------ Banks (5.8%) ABN Amro Holding NV 183,411 2,982,370 AmSouth Bancorporation 333,637 6,112,230 Bank of America Corp. 314,468 19,302,046 M&T Bank Corp. 62,000 4,371,000 Northern Trust Corp. 144,000 8,328,960 Popular Inc. 830,316 23,805,160 SouthTrust Corp. 690,000 16,884,300 SunTrust Banks Inc. 211,800 13,398,468 Wells Fargo & Co. 1,220,000 52,216,000 ------------ 147,400,534 ------------ Building Materials & Construction (1.9%) Vulcan Materials Co. 1,039,200 48,063,000 ------------ Chemicals (6.3%) Air Products & Chemicals Inc. 830,000 37,947,600 EI du Pont de Nemours and Co. 496,104 21,997,251 Great Lakes Chemical Corp. 588,300 14,366,286 International Flavors & Fragrances Inc. 561,000 17,194,650 Sigma-Aldrich Corp. 1,375,000 58,795,000 The Dow Chemical Co. 243,000 9,112,500 ------------ 159,413,287 ------------ Computer Software & Services (4.6%) Automatic Data Processing Inc. 149,000 8,263,540 Check Point Software Technologies Ltd. (a) 85,050 3,257,415 Microsoft Corp. (a) 1,322,700 84,930,567 Oracle Corp. (a) 1,378,800 19,344,564 ------------ 115,796,086 ------------ Computers (4.9%) Hewlett-Packard Co. 2,874,000 63,199,260 International Business Machines Corp. 520,300 60,141,477 ------------ 123,340,737 ------------ Consumer & Marketing (6.9%) Clorox Co. 63,600 2,513,472 Colgate-Palmolive Co. 281,200 16,410,832 HON Industries Inc. 1,439,200 36,843,520 Kimberly Clark Corp. 317,876 18,490,847 McDonald's Corp. 499,600 13,409,264 Nestle SA ADR 355,800 18,359,280 Newell Rubbermaid Inc. 464,308 11,909,500 The Gillette Co. 661,800 21,640,860 The Procter & Gamble Co. 378,600 29,326,356 Unilever NV ADR 125,446 7,137,878 ------------ 176,041,809 ------------ Electronic/Electrical Mfg. (9.4%) ABB Ltd. 184,172 1,930,432 Agilent Technologies Inc. (a) 548,071 14,945,896 Applied Materials Inc. (a) 220,400 8,760,900 Emerson Electric Co. 146,800 7,936,008 General Electric Co. 2,313,600 89,073,600 Intel Corp. 2,029,500 66,283,470 KLA Tencor Corp. (a) 247,200 12,416,856 Linear Technology Corp. 703,200 28,852,296 Texas Instruments Inc. 283,100 9,073,355 ------------ 239,272,813 ------------ Financial Services (4.4%) American Express Co. 365,400 12,025,314 Charles Schwab Corp. 115,950 1,665,042 Citigroup Inc. 1,210,233 57,970,161 JP Morgan Chase & Co. 176,490 6,657,203 MBNA Corp. 558,450 18,004,428 Wachovia Corp. 477,800 14,787,910 ------------ 111,110,058 ------------ Health Care (20.7%) Abbott Laboratories 294,500 16,197,500 Biomet Inc. 3,487,500 97,615,125 Bristol-Myers Squibb Co. 253,800 13,644,288 Eli Lilly & Co. 947,200 78,305,024 Johnson & Johnson 2,481,600 144,553,200 Medtronic Inc. 80,000 3,782,400 Merck & Co. Inc. 675,700 45,778,675 Pfizer Inc. 2,880,000 124,732,800 ------------ 524,609,012 ------------ Machinery & Manufacturing (3.1%) AptarGroup Inc. 190,800 6,258,240 Caterpillar Inc. 421,700 19,997,014 Deere & Co. 57,800 2,311,422 Honeywell International Inc. 314,800 10,432,472 Illinois Tool Works Inc. 173,300 10,631,955
See accompanying notes to financial statements. 6 STATE FARM ASSOCIATES' FUNDS TRUST GROWTH FUND PORTFOLIO OF INVESTMENTS (Continued) November 30, 2001 (Audited)
Shares Value ----------- -------------- Common Stocks (Cont.) Machinery & Manufacturing (Cont.) Minnesota Mining & Manufacturing Co. 248,500 $ 28,473,130 -------------- 78,104,233 -------------- Media & Broadcasting (3.6%) Reuters Group PLC ADR 155,433 8,984,027 SBS Broadcasting SA ADR (a) 360,181 5,762,896 The Walt Disney Co. 2,619,540 53,621,984 Viacom Inc. Class B (a) 556,500 24,291,225 -------------- 92,660,132 -------------- Mining & Metals (1.0%) Newmont Mining Corp. 36,700 721,889 Nucor Corp. 132,800 6,570,944 Rio Tinto PLC ADR 226,800 17,112,060 Steel Dynamics Inc. (a) 81,250 835,250 -------------- 25,240,143 -------------- Oil & Gas (7.0%) BP Amoco PLC ADR 385,392 17,022,764 ChevronTexaco Corp. 530,000 45,055,300 Devon Energy Corp. 106,102 3,648,848 Exxon Mobil Corp. 2,308,100 86,322,940 Royal Dutch Petroleum Co. ADR 516,300 24,957,942 -------------- 177,007,794 -------------- Retailers (3.5%) Home Depot Inc. 396,400 18,496,024 Wal-Mart Stores Inc. 1,270,500 70,068,075 -------------- 88,564,099 -------------- Telecom & Telecom Equipment (8.6%) ADC Telecommunications Inc. (a) 1,800,000 7,992,000 AT&T Wireless Services Inc. (a) 705,600 9,857,232 BellSouth Corp. 203,000 7,815,500 Cisco Systems Inc. (a) 1,439,400 29,435,730 Corning Inc. 1,284,600 12,113,778 Extreme Networks Inc. (a) 116,200 1,839,446 Level 3 Communications Inc. (a) 178,600 996,588 LM Ericsson Telephone Co. ADR 2,300,000 12,558,000 Lucent Technologies Inc. 745,632 5,458,026 Motorola Inc. 792,000 13,178,880 Nokia Corp. ADR 519,200 11,946,792 Nortel Networks Corp. ADR 693,200 5,406,960 Qwest Communications International Inc. 235,533 2,802,843 SBC Communications Inc. 1,497,512 55,976,999 Telefonica SA ADR (a) 158,610 6,330,125 Tellabs Inc. (a) 49,300 753,304 Verizon Communications 152,800 7,181,600 Vodafone Group PLC ADR 215,000 5,448,100 WorldCom Inc. (a) 1,535,593 22,326,391 XO Communications Inc. (a) 230,800 1,154 -------------- 219,419,448 -------------- Utilities & Energy (0.5%) Duke Energy Corp. 264,000 9,543,600 The AES Corp. (a) 224,800 3,713,696 -------------- 13,257,296 -------------- Total Common Stocks (cost $1,287,145,694) 2,485,600,614 -------------- Shares or principal amount Value ------------ -------------- Short-term Investments (1.7%) Citicorp, 2.060%, December, 2001 $ 20,000,000 $ 19,997,710 JP Morgan Vista Treasury Plus Money Market Fund 23,515,190 23,515,190 -------------- Total Short-term Investments (cost $43,512,900) 43,512,900 -------------- TOTAL INVESTMENTS (99.7%) (cost $1,330,658,594) 2,529,113,514 OTHER ASSETS, NET OF LIABILITIES (0.3%) 7,675,400 -------------- $2,536,788,914 ==============
NET ASSETS (100.0%) (a) Non-income producing security At November 30, 2001, net unrealized appreciation of $1,198,454,920 consisted of gross unrealized appreciation of $1,292,736,708 and gross unrealized depreciation of $94,281,788 based on cost of $1,330,658,594 for federal income tax purposes. ADR - American Depository Receipts See accompanying notes to financial statements. 7 STATE FARM ASSOCIATES' FUNDS TRUST BALANCED FUND PORTFOLIO OF INVESTMENTS November 30, 2001 (Audited)
Shares Value ----------- ----------- Common Stocks (65.3%) Agriculture, Foods, & Beverage (4.0%) Archer-Daniels-Midland Co. 940,561 $14,475,234 Campbell Soup Co. 26,000 762,060 Hershey Foods Corp. 17,200 1,125,912 Kellogg Co. 310,000 9,141,900 Sara Lee Corp. 58,000 1,269,040 The Coca-Cola Co. 190,000 8,922,400 ----------- 35,696,546 ----------- Banks (4.0%) ABN Amro Holding NV 51,785 842,054 AmSouth Bancorporation 52,312 958,356 Bank of America Corp. 44,900 2,755,962 M&T Bank Corp. 19,000 1,339,500 Northern Trust Corp. 41,000 2,371,440 Popular Inc. 166,924 4,785,711 SouthTrust Corp. 198,000 4,845,060 SunTrust Banks Inc. 21,400 1,353,764 Wells Fargo & Co. 373,800 15,998,640 ----------- 35,250,487 ----------- Building Materials & Construction (0.8%) Vulcan Materials Co. 160,200 7,409,250 ----------- Chemicals (4.0%) Air Products & Chemicals Inc. 230,000 10,515,600 EI du Pont de Nemours and Co. 108,705 4,819,980 Great Lakes Chemical Corp. 141,400 3,452,988 International Flavors & Fragrances Inc. 120,000 3,678,000 Sigma-Aldrich Corp. 245,500 10,497,580 The Dow Chemical Co. 69,000 2,587,500 ----------- 35,551,648 ----------- Computer Software & Services (1.4%) Microsoft Corp. (a) 195,000 12,520,950 ----------- Computers (3.9%) Hewlett-Packard Co. 754,000 16,580,460 International Business Machines Corp. 152,100 17,581,239 ----------- 34,161,699 ----------- Consumer & Marketing (4.7%) Clorox Co. 22,200 877,344 HON Industries Inc. 160,000 4,096,000 Kimberly Clark Corp. 177,937 10,350,595 McDonald's Corp. 96,700 2,595,428 Nestle SA ADR 53,800 2,776,080 Newell Rubbermaid Inc. 136,218 3,493,992 The Gillette Co. 300,000 9,810,000 The Procter & Gamble Co. 81,600 6,320,736 Unilever NV ADR 22,857 1,300,563 ----------- 41,620,738 ----------- Electronic/Electrical Mfg. (5.6%) Agilent Technologies Inc. (a) 143,787 3,921,071 Applied Materials Inc. (a) 57,200 2,273,700 Emerson Electric Co. 31,200 1,686,672 General Electric Co. 519,600 20,004,600 Intel Corp. 502,800 16,421,448 KLA Tencor Corp. (a) 37,400 1,878,602 Linear Technology Corp. 81,600 3,348,048 Texas Instruments Inc. 6,300 201,915 ----------- 49,736,056 ----------- Financial Services (2.6%) American Express Co. 101,000 3,323,910 Citigroup Inc. 183,100 8,770,490 JP Morgan Chase & Co. 40,330 1,521,248 MBNA Corp. 160,650 5,179,356 Wachovia Corp. 151,400 4,685,830 ----------- 23,480,834 ----------- Health Care (14.1%) Allergan Inc. 77,400 5,842,926 Biomet Inc. 911,250 25,505,887 Bristol-Myers Squibb Co. 36,100 1,940,736 Eli Lilly & Co. 212,000 17,526,040 Johnson & Johnson 396,000 23,067,000 Medtronic Inc. 21,600 1,021,248 Merck & Co. Inc. 123,400 8,360,350 Inc. Pfizer Inc. 960,000 41,577,600 ----------- 124,841,787 ----------- Machinery & Manufacturing (2.2%) AptarGroup Inc. 45,900 1,505,520 Caterpillar Inc. 131,200 6,221,504 Deere & Co. 14,700 587,853 Honeywell International Inc. 44,600 1,478,044 Illinois Tool Works Inc. 46,100 2,828,235 Minnesota Mining & Manufacturing Co. 62,300 7,138,334 ----------- 19,759,490 ----------- Media & Broadcasting (4.3%) Lee Enterprises Inc. Class A 42,000 1,480,500 Lee Enterprises Inc. Class B 42,000 1,480,500 Reuters Group PLC ADR 200,433 11,585,027 The Walt Disney Co. 1,065,995 21,820,918 Viacom Inc. Class B (a) 41,900 1,828,935 ----------- 38,195,880 -----------
See accompanying notes to financial statements. 8 STATE FARM ASSOCIATES' FUNDS TRUST BALANCED FUND PORTFOLIO OF INVESTMENTS (Continued) November 30, 2001 (Audited)
Shares Value ------------- ----------- Common Stocks (Cont.) Mining & Metals (1.3%) Newmont Mining Corp. 29,200 $ 574,364 Nucor Corp. 109,200 5,403,216 Rio Tinto PLC ADR 73,250 5,526,713 Steel Dynamics Inc. (a) 18,750 192,750 ----------- 11,697,043 ----------- Oil & Gas (4.7%) BP Amoco PLC ADR 89,986 3,974,682 ChevronTexaco Corp. 144,000 12,241,440 Devon Energy Corp. 29,185 1,003,672 Exxon Mobil Corp. 386,500 14,455,100 Royal Dutch Petroleum Co. ADR 216,400 10,460,776 ----------- 42,135,670 ----------- Retailers (1.3%) Home Depot Inc. 32,800 1,530,448 Wal-Mart Stores Inc. 181,000 9,982,150 ----------- 11,512,598 ----------- Telecom & Telecom Equipment (6.0%) ADC Telecommunications Inc. (a) 1,032,800 4,585,632 AT&T Wireless Services Inc. (a) 299,880 4,189,324 Cisco Systems Inc. (a) 135,400 2,768,930 Corning Inc. 372,300 3,510,789 LM Ericsson Telephone Co. ADR 544,000 2,970,240 Lucent Technologies Inc. 220,376 1,613,152 Motorola Inc. 192,000 3,194,880 Nokia Corp. ADR 88,400 2,034,084 Nortel Networks Corp. ADR 178,400 1,391,520 Qwest Communications International Inc. 39,947 475,369 SBC Communications Inc. 470,024 17,569,503 Vodafone Group PLC ADR 60,000 1,520,400 WorldCom Inc. (a) 486,985 7,080,464 XO Communications Inc. (a) 59,600 298 ----------- 52,904,585 ----------- Utilities & Energy (0.4%) Duke Energy Corp. 72,000 2,602,800 The AES Corp. (a) 60,400 997,808 ----------- 3,600,608 ----------- Total Common Stocks (cost $280,903,323) 580,075,869 ----------- Principal amount Value ------------- ----------- Corporate Bonds (20.7%) Agriculture, Foods, & Beverage (1.9%) Pioneer Hi-Bred International Inc. 5.750%, 01/15/2009 $ 3,000,000 $ 2,981,322 Dean Foods Co. 6.625%, 05/15/2009 3,000,000 2,673,681 Archer-Daniels-Midland Co. 5.870%, 11/15/2010 2,950,000 2,937,321 The Coca-Cola Co. 5.750%, 03/15/2011 3,000,000 3,025,182 HJ Heinz Co. (b) 6.625%, 07/15/2011 3,000,000 3,141,024 Sara Lee Corp. 6.250%, 09/15/2011 2,000,000 2,047,506 ---------- 16,806,036 Automotive (0.4%) ---------- Daimler Chrysler North America 6.900%, 09/01/2004 3,000,000 3,155,778 ---------- Building Materials & Construction (1.0%) Leggett & Platt Inc. 7.650%, 02/15/2005 3,000,000 3,203,907 Masco Corp. 6.750%, 03/15/2006 3,000,000 3,130,833 Vulcan Materials Co. 6.000%, 04/01/2009 3,000,000 2,984,271 ---------- 9,319,011 Chemicals (1.7%) ---------- PPG Industries Inc. 6.750%, 08/15/2004 3,000,000 3,172,416 EI du Pont de Nemours and Co. 6.750%, 10/15/2004 3,250,000 3,525,779 Avery Dennison Corp. 5.900%, 12/01/2008 5,000,000 5,024,645 The Dow Chemical Co. 6.125%, 02/01/2011 3,000,000 3,070,974 ---------- 14,793,814 Computers (0.3%) ---------- International Business Machines Corp. 5.375%, 02/01/2009 3,000,000 2,976,168 ---------- Consumer & Marketing (2.0%) Hasbro Inc. 5.600%, 11/01/2005 2,000,000 1,845,000 Kimberly Clark Corp. 7.100%, 08/01/2007 3,000,000 3,289,452 The Procter & Gamble Co. 6.875%, 09/15/2009 3,000,000 3,277,404 Unilever Capital Corp. 7.125%, 11/01/2010 3,000,000 3,295,548
See accompanying notes to financial statements. 9 STATE FARM ASSOCIATES' FUNDS TRUST BALANCED FUND PORTFOLIO OF INVESTMENTS (Continued) November 30, 2001 (Audited) Principal amount Value ----------- ----------- Corporate Bonds (Cont.) Consumer & Marketing (Cont.) Clorox Co. 6.125%, 02/01/2011 $ 3,000,000 $ 2,986,812 McDonald's Corp. 6.000%, 04/15/2011 3,000,000 3,038,295 ----------- 17,732,511 ----------- Electronic/Electrical Mfg. (0.3%) Emerson Electric Co. 5.850%, 03/15/2009 3,000,000 3,034,365 ----------- Financial Services (1.7%) Household Finance Corp. 7.200%, 07/15/2006 3,000,000 3,223,941 Ford Motor Credit Co. 5.800%, 01/12/2009 3,000,000 2,814,807 General Electric Capital Corp. 7.375%, 01/19/2010 2,000,000 2,239,280 General Motors Acceptance Corp. 7.750%, 01/19/2010 3,000,000 3,150,828 BellSouth Capital Funding Corp. 7.750%, 02/15/2010 3,000,000 3,340,131 ----------- 14,768,987 ----------- Health Care (1.6%) American Home Products Corp. 6.250%, 03/15/2006 2,000,000 2,090,010 Abbott Laboratories 5.625%, 07/01/2006 3,000,000 3,119,685 Bristol-Myers Squibb Co. 4.750%, 10/01/2006 3,000,000 3,014,337 Johnson & Johnson 6.625%, 09/01/2009 3,000,000 3,232,008 Becton Dickinson & Co. 7.150%, 10/01/2009 3,000,000 3,229,866 ----------- 14,685,906 ----------- Machinery & Manufacturing (2.1%) United Technologies Corp. 7.000%, 09/15/2006 3,000,000 3,248,463 Illinois Tool Works Inc. 5.750%, 03/01/2009 3,000,000 3,039,255 Caterpillar Inc. 7.250%, 09/15/2009 3,000,000 3,291,540 Honeywell International Inc. 7.500%, 03/01/2010 3,000,000 3,289,797 Deere & Co. 7.850%, 05/15/2010 3,000,000 3,336,705 Dover Corp. 6.500%, 02/15/2011 2,000,000 2,057,436 ----------- 18,263,196 ----------- Principal amount Value ----------- ----------- Corporate Bonds (Cont.) Media & Broadcasting (0.9%) The Walt Disney Co. 5.500%, 12/29/2006 $ 2,000,000 $ 2,001,896 The Washington Post Co. 5.500%, 02/15/2009 3,000,000 2,947,860 Knight-Ridder Inc. 7.125%, 06/01/2011 3,000,000 3,112,500 ----------- 8,062,256 ----------- Mining & Metals (0.6%) Alcan Inc. 6.450%, 03/15/2011 2,000,000 2,065,646 Alcoa Inc. 6.500%, 06/01/2011 3,000,000 3,142,962 ----------- 5,208,608 ----------- Oil & Gas (0.7%) Northern Illinois Gas 5.875%, 08/15/2008 3,000,000 3,015,069 Texaco Capital 5.500%, 01/15/2009 3,000,000 3,006,816 ----------- 6,021,885 ----------- Retailers (0.7%) Albertsons Inc. 6.950%, 08/01/2009 3,000,000 3,147,747 Wal-Mart Stores Inc. 6.875%, 08/10/2009 3,000,000 3,285,210 ----------- 6,432,957 ----------- Telecom & Telecom Equipment (2.4%) Vodafone Group PLC ADR 7.625%, 02/15/2005 3,000,000 3,245,550 Deutsche Telekom International Financial 7.750%, 06/15/2005 3,000,000 3,228,984 WorldCom Inc. 7.750%, 04/01/2007 3,000,000 3,178,116 US West Communications 5.625%, 11/15/2008 5,000,000 4,654,015 AT&T Corp. 6.000%, 03/15/2009 3,000,000 2,868,453 New England Telephone & Telegraph Co. 5.875%, 04/15/2009 1,000,000 994,813 Motorola Inc. 7.625%, 11/15/2010 3,000,000 3,019,320 ----------- 21,189,251 ----------- Utilities & Energy (2.4%) Alabama Power Co. 7.125%, 08/15/2004 3,000,000 3,200,079 See accompanying notes to financial statements. 10 STATE FARM ASSOCIATES' FUNDS TRUST BALANCED FUND PORTFOLIO OF INVESTMENTS (Continued) November 30, 2001 (Audited)
Principal amount Value ----------- ------------ Corporate Bonds (Cont.) Utilities & Energy (Cont.) PPL Electric Utilities 5.875%, 08/15/2007 $ 2,000,000 $ 2,036,202 Duke Energy Corp. 7.375%, 03/01/2010 3,000,000 3,255,831 IES Utilities 6.750%, 03/15/2011 2,000,000 2,051,010 Florida Power Corp. 6.650%, 07/15/2011 3,000,000 3,116,556 Wisconsin Public Service 6.125%, 08/01/2011 3,000,000 3,022,953 Pacificorp 6.900%, 11/15/2011 2,000,000 2,032,024 Tampa Electric Co. 6.875%, 06/15/2012 3,000,000 3,06,272 ------------ 21,790,927 ------------ Total Corporate Bonds (cost $177,350,395) 184,241,656 ------------ Principal amount Value ----------- ------------ Government Agency Securities (1.8%) Federal Home Loan Mortgage Corp. 7.375%, 05/15/2003 5,000,000 5,333,580 Federal National Mortgage Association 6.000%, 05/15/2008 10,000,000 10,576,740 ------------ Total Government Agency Securities (cost $14,515,088) 15,910,320 ------------ U.S. Treasury Obligations (10.6%) U.S. Treasury Bonds 14.250%, 02/15/2002 1,000,000 1,024,883 11.625%, 11/15/2002 2,570,000 2,800,598 10.750%, 05/15/2003 3,000,000 3,352,500 11.875%, 11/15/2003 5,500,000 6,434,571 11.625%, 11/15/2004 1,500,000 1,839,492 9.375%, 02/15/2006 11,500,000 13,896,577 10.375%, 11/15/2009 1,000,000 1,187,500 10.000%, 05/15/2010 7,000,000 8,356,796 U.S. Treasury Notes 7.500%, 05/15/2002 2,000,000 2,051,954 6.000%, 07/31/2002 2,500,000 2,568,165 6.375%, 08/15/2002 7,500,000 7,735,253 6.250%, 02/15/2003 5,000,000 5,235,545 5.875%, 02/15/2004 2,000,000 2,122,812 7.250%, 05/15/2004 5,000,000 5,481,055 7.250%, 08/15/2004 6,000,000 6,609,612 7.500%, 02/15/2005 5,000,000 5,597,070 6.500%, 05/15/2005 4,500,000 4,912,911 5.875%, 11/15/2005 6,000,000 6,442,968 6.875%, 05/15/2006 1,900,000 2,120,282 5.500%, 02/15/2008 4,000,000 4,237,188 ------------ Total U.S. Treasury Obligations (cost $92,157,900) 94,007,732 ------------ Shares or Principal amount Value ----------- ------------ Short-term Investments (0.9%) JP Morgan Vista Treasury Plus Money Market 7,603,408 7,603,408 ------------ Total Short-term Investments (cost $7,603,408) 7,603,408 ------------ TOTAL INVESTMENTS (99.3%) (cost $572,530,114) 881,838,985 OTHER ASSETS, NET OF LIABILITIES (0.7%) 5,975,299 ------------ NET ASSETS (100.0%) $887,814,284 ============
(a) Non-income producing security. (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2001, the value of this security amounted to $3,141,024 or .35% of net assets. At November 30, 2001, net unrealized appreciation of $309,308,871 consisted of gross unrealized appreciation of $325,607,784 and gross unrealized depreciation of $16,298,913 based on cost of $572,530,114 for federal income tax purposes. ADR - American Depository Receipts See accompanying notes to financial statements. 11 STATE FARM ASSOCIATES' FUNDS TRUST INTERIM FUND PORTFOLIO OF INVESTMENTS November 30, 2001 (Audited)
Principal amount Value --------- ---------- U.S. Treasury Obligations (95.0%) U.S. Treasury Notes 7.500%, 05/15/2002 $ 4,000,000 $ 4,103,908 6.375%, 08/15/2002 8,000,000 8,250,936 5.750%, 11/30/2002 5,000,000 5,181,055 6.250%, 02/15/2003 6,000,000 6,282,654 5.750%, 04/30/2003 5,000,000 5,232,615 5.750%, 08/15/2003 7,000,000 7,357,385 4.250%, 11/15/2003 7,000,000 7,190,036 4.750%, 02/15/2004 2,000,000 2,076,562 7.250%, 05/15/2004 8,000,000 8,769,688 7.250%, 08/15/2004 7,000,000 7,711,214 5.875%, 11/15/2004 8,000,000 8,540,624 7.875%, 11/15/2004 4,000,000 4,493,436 7.500%, 02/15/2005 4,000,000 4,477,656 6.500%, 05/15/2005 4,000,000 4,367,032 6.500%, 08/15/2005 8,000,000 8,757,184 5.750%, 11/15/2005 8,000,000 8,543,752 5.875%, 11/15/2005 4,000,000 4,295,312 5.625%, 02/15/2006 13,000,000 13,853,125 4.625%, 05/15/2006 7,000,000 7,181,286 6.500%, 10/15/2006 10,000,000 11,038,280 6.250%, 02/15/2007 10,000,000 10,955,080 6.625%, 05/15/2007 5,000,000 5,572,070 6.125%, 08/15/2007 9,000,000 9,823,356 ----------- Total U.S. Treasury Obligations (cost $160,652,148) 164,054,246 ----------- Shares or principal amount Value --------- ----------- Short-term Investments (4.7%) General Electric Capital Corp., 2.120%, December, 2001 $ 5,000,000 $ 4,999,411 JP Morgan Vista Treasury Plus Money Market Fund 3,190,682 3,190,682 ----------- Total Short-term Investments (cost $8,190,093) 8,190,093 ------------ TOTAL INVESTMENTS (99.7%) (cost $168,842,241) 172,244,339 ------------ OTHER ASSETS, NET OF LIABILITIES (0.3%) 551,696 ------------ NET ASSETS (100.0%) $172,796,035 ============
At November 30, 2001, net unrealized appreciation of $3,402,098 consisted of gross unrealized appreciation of $3,778,892 and gross unrealized depreciation of $376,794 based on cost of $168,842,241 for federal income tax purposes. See accompanying notes to financial statements. 12 STATE FARM ASSOCIATES' FUNDS TRUST MUNICIPAL BOND FUND PORTFOLIO OF INVESTMENTS NOVEMBER 30, 2001 (Audited)
Rating Coupon Maturity (Moody's Principal rate date or S&P)(a) amount Value ------ ---------- ---------- ----------- ------------ LONG-TERM MUNICIPAL BONDS (97.2%) ALABAMA (1.8%) The Water Works and Sewer Board, Birmingham, Alabama, Water and Sewer Revenue Bonds, Series 1994 (Prerefunded to 1-1-2004 @102) 4.750% 01/01/2005 Aa3 $ 2,200,000 $ 2,330,042 Huntsville, Alabama, General Obligation Warrants, Series 1998A 4.600% 11/01/2013 Aa2 2,165,000 2,156,318 Limestone County Board of Education, Alabama, Capital Outlay Tax Antic Warrants, Series 1998 4.900% 07/01/2015 Aaa 2,465,000 2,502,542 ------------ 6,988,902 ------------ ALASKA (1.9%) Anchorage, Alaska, General Obligation General Purpose Refunding Bonds 4.600% 02/01/2003 Aaa 1,505,000 1,540,729 Municipality of Anchorage, Alaska, 1993 General Obligation Refunding School Bonds, Series B 4.900% 09/01/2003 Aaa 1,500,000 1,560,825 Municipality of Anchorage, Alaska, 1994 General Obligation School Bonds 5.400% 07/01/2005 Aaa 1,100,000 1,177,847 Municipality of Anchorage, Alaska, 2000 General Obligation General Purpose Bonds, Series A 5.625% 09/01/2013 Aaa 1,500,000 1,622,205 Matanuska-Susitna Borough, Alaska, General Obligation School Bonds, 1999 Series A 5.000% 03/01/2015 Aaa 1,565,000 1,594,344 ------------ 7,495,950 ------------ ARIZONA (4.3%) Pima County, Arizona, General Obligation Refunding Bonds, Series 1992 6.300% 07/01/2002 A1 1,000,000 1,023,920 Deer Valley Unified School District No. 97 of Maricopa County, Arizona, School Improvement Bonds, Project of 1992, Series A (1993) 5.125% 07/01/2004 Aaa 2,000,000 2,113,060 Maricopa County, Arizona, Unified School District No. 69, Paradise Valley School Improvement Bonds, Series 1990A 7.100% 07/01/2004 A1 1,000,000 1,093,130 City of Phoenix, Arizona, General Obligation Refunding Bonds, Series 1993 A 5.300% 07/01/2006 Aa1 2,340,000 2,520,742 Maricopa County, Arizona, Unified School District No. 69, Paradise Valley School Improvement Bonds, Series 1994A 7.100% 07/01/2008 A1 1,000,000 1,176,320 Maricopa County, Arizona, Unified School District No. 69, Paradise Valley School Improvement Bonds, Series 1994A 7.000% 07/01/2009 A1 1,200,000 1,422,168 Maricopa County, Arizona, Unified School District No. 69, Paradise Valley School Improvement Bonds, Series 1994A 7.000% 07/01/2010 A1 2,500,000 2,992,350 Mesa Unified School District No. 4 of Maricopa County, Arizona, School Improvement Bonds, Project of 1995, Series D (1997) (Prerefunded 07-01-2007 @ 100) 4.750% 07/01/2010 Aaa 4,250,000 4,479,287 ------------ 16,820,977 ------------ CALIFORNIA (3.4%) City of Los Angeles, California, Department of Water and Power, Electric Plant Refunding Revenue Bonds, Second Issue of 1993 4.800% 11/15/2004 Aa3 3,000,000 3,180,180 State Of California, Various Purpose General Obligation Bonds 6.000% 10/01/2006 A1 2,000,000 2,214,680 Sacramento County, California, Sanitary District Financing Authority Revenue Bonds, 1995 5.000% 12/01/2007 Aa3 2,830,000 3,080,342 Sacramento County, California, Sanitary District Financing Authority Revenue Bonds, 1995(Prerefunded to 12-1-2007 @ 100) 5.000% 12/01/2008 Aa3 1,500,000 1,632,690 State of California, Various Purpose General Obligation Bonds 5.000% 11/01/2014 A1 3,000,000 3,078,720 ------------ 13,186,612 ------------ COLORADO (4.5%) Jefferson County, Colorado, School District No. R-1 General Obligation Bonds, Series 1992 (Prerefunded to 12-15-2002 @ 10) 5.750% 12/15/2003 Aaa 2,000,000 2,098,020
See accompanying notes to financial statements. 13 STATE FARM ASSOCIATES' FUNDS TRUST MUNICIPAL BOND FUND PORTFOLIO OF INVESTMENTS (CONTINUED) NOVEMBER 30, 2001 (AUDITED)
Rating Coupon Maturity (Moody's Principal rate date or S&P)(a) amount Value ------ ---------- ---------- ----------- ------------ LONG-TERM MUNICIPAL BONDS (CONT.) COLORADO (CONT.) Arapahoe County School District # 6, Colorado, Littleton Public Schools General Obligation Improvement Bonds, Series 1995A 5.000% 12/01/2007 Aa2 $ 2,000,000 $ 2,134,900 Cherry Creek School District No. 5, (Arapahoe County, Colorado), General Obligation Bonds, Series 1999 5.500% 12/15/2009 Aa1 2,000,000 2,197,420 Mesa County Valley School District No. 51, County of Mesa, State of Colorado, General Obligation Bonds, Series 1996 5.300% 12/01/2010 Aaa 2,540,000 2,689,098 St. Vrain School District # R3-1J, Colorado, General Obligation, Series 1997 5.000% 12/15/2012 Aaa 3,135,000 3,249,459 City of Boulder, Colorado, Open Space Acquisition Refunding Bonds, Series 1999 5.000% 08/15/2013 Aa1 1,855,000 1,914,749 School District No. 12 Adams County, Colorado, (Adams 12 Five Star Schools), General Obligation Bonds, Series 2001A 5.250% 12/15/2013 Aaa 3,000,000 3,188,640 ------------ 17,472,286 ------------ DELAWARE (0.6%) The State of Delaware, General Obligation Bonds, Series 1994B(Prerefunded to 12-1-2004 @ 100) 6.000% 12/01/2011 Aaa 1,125,000 1,228,208 The State of Delaware, General Obligation Bonds, Series 1994B(Prerefunded to 12-1-2004 @ 100) 6.000% 12/01/2012 Aaa 1,125,000 1,228,207 ------------ 2,456,415 ------------ FLORIDA (1.3%) State of Florida, State Board of Education, Public Education Capital Outlay Refunding Bonds, 1995 Series C 5.125% 06/01/2008 Aa2 2,000,000 2,094,000 State of Florida, State Board of Education Capital Outlay, Series A 1999 4.750% 01/01/2015 Aa2 3,000,000 3,000,120 ------------ 5,094,120 ------------ GEORGIA (7.3%) Municipal Electric Authority of Georgia, General Power Revenue Bonds, Series 1993 A (Escrowed to Maturity) 5.000% 01/01/2004 A2 1,500,000 1,566,885 DeKalb County School District, Georgia, General Obligation Refunding Bonds, Series 1993 5.100% 07/01/2004 Aa2 1,205,000 1,269,227 Forsyth County School District, Georgia, General Obligation Bonds, Series 1995(Prerefunded to 7-1-2005 @ 102) 5.050% 07/01/2007 Aaa 3,215,000 3,485,285 State of Georgia, General Obligation Bonds, Series 1996C 6.250% 08/01/2009 Aaa 3,590,000 4,108,360 State of Georgia, General Obligation Bonds, Series 1995C 5.700% 07/01/2011 Aaa 2,000,000 2,228,560 Gwinnett County Water & Sewer Authority, Georgia, Revenue Series 1998 5.000% 08/01/2011 Aaa 4,000,000 4,225,000 State of Georgia, General Obligation Bonds, Series 1995B 5.750% 03/01/2012 Aaa 3,000,000 3,347,970 State of Georgia, General Obligation Bonds, Series 1997A 6.250% 04/01/2012 Aaa 3,000,000 3,468,690 Columbia County, Georgia, General Obligation Bonds (Courthouse/Detention Center Projects), Series 1998 4.700% 02/01/2013 AA- 1,055,000 1,062,870 Columbia County, Georgia, General Obligation Bonds (Courthouse/Detention Center Projects), Series 1998 4.800% 02/01/2014 AA- 1,195,000 1,203,867 Fayette County School District, Georgia, General Obligation Refunding School Bonds, Series 1999 4.750% 03/01/2015 Aa3 2,500,000 2,498,550 ------------ 28,465,264 ------------ HAWAII (2.0%) City and County of Honolulu, Hawaii, General Obligation Bonds, 1996 Series A 5.400% 09/01/2009 Aaa 1,775,000 1,899,623 City and County of Honolulu, Hawaii, General Obligation Bonds, 1996 Series A(Prerefunded to 9-1-2008 @ 100) 5.400% 09/01/2009 Aaa 2,225,000 2,419,598
See accompanying notes to financial statements. 14 STATE FARM ASSOCIATES' FUNDS TRUST MUNICIPAL BOND FUND PORTFOLIO OF INVESTMENTS (CONTINUED) NOVEMBER 30, 2001 (AUDITED)
Rating Coupon Maturity (Moody's Principal rate date or S&P)(a) amount Value ------ ---------- ---------- ----------- ------------ LONG-TERM MUNICIPAL BONDS (CONT.) HAWAII (CONT.) State of Hawaii, General Obligation Bonds of 1992, Series BW 6.375% 03/01/2011 Aa3 $ 3,000,000 $ 3,471,480 ------------ 7,790,701 ------------ IDAHO (0.4%) Joint School District No. 2, Ada & Canyon Counties, Idaho, General Obligation School Bonds, Series 1994 5.000% 07/30/2004 Aa2 1,540,000 1,624,361 ------------ ILLINOIS (6.0%) Lake County, Illinois, Forest Preserve District General Obligation Refunding Bonds, Series 1992B (Prerefunded to 02-01-2002 @102) 5.700% 02/01/2003 Aa1 2,000,000 2,049,640 State of Illinois, General Obligation Refunding Bonds, Series of June 1993 5.000% 06/01/2003 Aa2 2,000,000 2,073,220 County of DuPage, Illinois, General Obligation Refunding Bonds (Alternate Rev. Source - Stormwater Project) 5.100% 01/01/2004 Aaa 2,025,000 2,112,237 State of Illinois, General Obligation Bonds, Series September 1996 5.450% 09/01/2009 Aaa 4,000,000 4,276,840 Forest Preserve District of Kane County, Kane County, Illinois, General Obligation Bonds, Series 1999 5.000% 12/30/2011 Aa3 2,500,000 2,606,400 Lake County Forest Preserve District, Lake County, Illinois, General Obligation Land Acquisition and Development Bonds, Series 2000 5.000% 12/15/2012 Aa1 2,000,000 2,068,000 State of Illinois, General Obligation Bonds, Illinois, First Series of April 2001 5.375% 04/01/2013 Aaa 2,000,000 2,145,780 DuPage County Forest Preserve District, Illinois, General Obligation, Series 1997 4.900% 10/01/2013 Aaa 3,785,000 3,852,524 Community Unit School District Number 200, DuPage County, Illinois(Wheaton-Warrenville), General Obligation School Building Bonds, Series 1999 5.050% 02/01/2015 Aaa 2,195,000 2,222,372 ------------ 23,407,013 ------------ INDIANA (2.2%) Monroe County Jail, Indiana, First Mortgage Refunding Bonds, Series 1993 4.900% 01/01/2002 A1 900,000 901,827 Monroe County Jail, Indiana, First Mortgage Refunding Bonds, Series 1993 4.900% 07/01/2002 A1 925,000 940,068 Indianapolis, Indiana, Local Public Improvement Bond Bank, Series 1993A Bonds 5.250% 01/10/2004 Aaa 2,000,000 2,088,880 Southwest Allen, Indiana, High School Building Corp., 1st Mortgage Refunding Bonds, Series 1996B 4.850% 07/15/2006 Aaa 2,125,000 2,243,448 Eagle-Union Community Schools Building Corporation, Boone County, Indiana, 1st Mortgage Refunding Bonds, Series 1999 4.870% 07/05/2015 Aaa 2,325,000 2,325,837 ------------ 8,500,060 ------------ IOWA (1.1%) City of Des Moines, Iowa, Sewer Revenue Bonds, Series 1992D 6.000% 06/01/2003 Aaa 2,000,000 2,034,280 City of Iowa City, Johnson County, Iowa, Sewer Revenue Bonds 5.870% 07/01/2004 Aaa 2,045,000 2,081,462 ------------ 4,115,742 ------------ KANSAS (1.3%) Johnson County Water District No. 1, Kansas, Water Revenue, Series 1982A(Escrowed to maturity) 10.250% 08/01/2002 Aaa 120,0000 126,409 Unified School District No. 383, Riley County, Kansas, (Manhattan-Ogden) General Obligation Refunding Bonds, Series 2001 5.000% 11/01/2014 Aaa 2,790,000 2,869,906
See accompanying notes to financial statements. 15 STATE FARM ASSOCIATES' FUNDS TRUST MUNICIPAL BOND FUND PORTFOLIO OF INVESTMENTS (CONTINUED) NOVEMBER 30, 2001 (AUDITED)
Rating Coupon Maturity (Moody's Principal rate date or S&P)(a) amount Value ------ ---------- ---------- ----------- ------------ LONG-TERM MUNICIPAL BONDS (CONT.) KANSAS (CONT.) Kansas Development Finance Authority, Kansas Water Pollution Control Revolving Fund Revenue Bonds 5.500% 05/01/2015 Aa1 $ 2,000,000 2,171,840 ------------ 5,168,155 ------------ KENTUCKY (1.7%) Louisville and Jefferson County Metropolitan Sewer District (Commonwealth of Kentucky), Sewer and Drainage System Revenue Bonds, Series 1999A 5.500% 05/15/2009 Aaa 2,720,000 2,965,997 Jefferson County, Kentucky, General Obligation Refunding Bonds, Series 1998A 4.600% 12/01/2013 Aa2 1,665,000 1,675,140 Jefferson County, Kentucky, General Obligation Refunding Bonds, Series 1998A 4.700% 12/01/2014 Aa2 1,745,000 1,752,939 ------------ 6,394,076 ------------ LOUISIANA (1.4%) State of Louisiana, General Obligation Bonds, Series 1997A 5.370% 04/15/2011 Aaa 5,000,000 5,330,500 ------------ MARYLAND (1.5%) Montgomery County, Maryland, General Obligation Consolidated Public Improvement, 1998 Series A 4.870% 05/01/2013 Aaa 5,750,000 5,932,735 ------------ MICHIGAN (4.0%) State of Michigan, General Obligation Bonds, Clean Michigan Initiative Program, Series 1999A 5.500% 11/01/2009 Aaa 3,140,000 3,454,722 Lake Orion Community School District, County of Oakland, State of Michigan, 2000 School Building and Site Bonds, (General Obligation - Unlimited Tax), Series A 5.550% 05/01/2011 Aaa 2,500,000 2,724,475 Northville Public Schools, Michigan, 1997 General Obligation School Building & Site & Refunding 5.100% 05/01/2011 Aaa 3,800,000 3,947,782 Clarkston Community Schools, County of Oakland, State of Michigan, 1998 Refunding Bonds (General Obligation-Unlimited Tax) 4.850% 05/01/2012 Aaa 2,465,000 2,509,370 Avondale School District, Oakland County, Michigan, 1999 Refunding Bonds(Unlimited Tax General Obligation) 4.850% 05/01/2015 Aaa 1,400,000 1,401,638 Avondale School District, Oakland County, Michigan, 1999 Refunding Bonds(Unlimited Tax General Obligation) 4.900% 05/01/2016 Aaa 1,400,000 1,405,096 ------------ 15,443,083 ------------ MINNESOTA (2.1%) County of Ramsey, Minnesota, General Obligation Capital Improvement Refunding Bonds, Series 1992C 5.400% 12/01/2002 Aaa 1,500,000 1,549,695 State of Minnesota, General Obligation State Refunding Bonds of 1983 5.120% 08/01/2004 Aaa 3,215,000 3,340,803 Wayzata Independent School District #284, Minnesota, General Obligation School Building Refunding, Series 1998A 5.000% 02/01/2012 Aa1 3,000,000 3,107,400 ------------ 7,997,898 ------------ MISSISSIPPI (1.7%) Jackson Public School District, Mississippi, General Obligation School Bonds, Series 1992 5.800% 07/01/2002 A1 2,100,000 2,144,289
See accompanying notes to financial statements. 16 STATE FARM ASSOCIATES' FUNDS TRUST MUNICIPAL BOND FUND PORTFOLIO OF INVESTMENTS (CONTINUED) NOVEMBER 30, 2001 (AUDITED)
Rating Coupon Maturity (Moody's Principal rate date or S&P)(a) amount Value ------ ---------- ---------- ----------- ------------ LONG-TERM MUNICIPAL BONDS (CONT.) MISSISSIPPI (CONT.) City of Jackson, Mississippi, Water and Sewer Revenue Refunding Bonds, Series 1993-A 4.850% 09/01/2004 Aaa $ 2,000,000 2,085,300 State of Mississippi, General Obligation Refunding Bonds, Series 2001 5.500% 09/01/2013 Aa3 2,000,000 2,185,840 ------------ 6,415,429 ------------ MISSOURI (1.2%) The School District of St. Joseph, (St. Joseph, Missouri), General Obligation School Building Bonds, Series 2000, (Missouri Direct Deposit Program) 5.450% 03/01/2011 AA+ 1,375,000 1,502,614 Missouri Highways and Transportation Commission, State Road Bonds, Series A 2001 5.125% 02/01/2016 Aa2 3,000,000 3,083,430 ----------- 4,586,044 ------------ NEBRASKA (2.7%) City of Lincoln, Nebraska, Water Revenue and Refunding Bonds, Series 1993 4.900% 08/15/2003 Aa2 2,000,000 2,083,140 Omaha, Nebraska, Public Power District Electric System Revenue Bonds, 1993 Series B 5.100% 02/01/2005 Aa2 1,500,000 1,585,755 Omaha Public Power District, Nebraska, Electric System Revenue Bonds, 1992 Series B (Escrowed to maturity) 6.150% 02/01/2012 Aa2 6,000,000 6,864,000 ------------ 10,532,895 ------------ NORTH CAROLINA (3.1%) County of Buncombe, North Carolina, Refunding Bonds, Series 1993 5.100% 03/01/2004 Aa2 1,600,000 1,679,968 Winston-Salem, North Carolina, Water and Sewer System Revenue Bonds, Series 1995B(Prerefunded to 6-1-2005 @ 102) 5.000% 06/01/2007 Aa2 1,325,000 1,432,365 Winston-Salem, North Carolina, Water and Sewer System Revenue Bonds, Series 1995B (Prerefunded to 06-01-2005 @ 102) 5.100% 06/01/2008 Aa2 1,665,000 1,805,376 County of Wake, North Carolina, General Obligation School Bonds, Series 1997 4.900% 03/01/2009 Aaa 4,000,000 4,203,640 State of North Carolina, Public School Building Bonds, General Obligation, Series 1999 4.600% 04/01/2016 Aaa 3,000,000 2,943,570 ------------ 12,064,919 ------------ NORTH DAKOTA (0.5%) Fargo, North Dakota, Water Revenue of 1993 (Escrowed to maturity) 5.000% 01/01/2004 Aaa 2,000,000 2,090,420 ------------ OHIO (4.7%) Columbus, Ohio, Sewer Improvement No. 27 Refunding Bonds, Series 1991 (Unlimited Tax General Obligation Bonds) 5.900% 02/15/2002 Aaa 1,535,000 1,546,543 Hilliard City School District, Ohio, General Obligation (Unlimited Tax) School Improvement Bonds, Series 2000 5.300% 12/01/2010 Aa2 2,000,000 2,168,600 State of Ohio, Higher Education Capital Facilities, General Obligation Bonds, Series 2000A 5.250% 02/01/2011 Aa1 2,000,000 2,134,020 State of Ohio, Full Faith & Credit General Obligation Infrastructure Improvement Bonds, Series 1997 5.350% 08/01/2012 Aa1 5,000,000 5,273,800 Lakota Local School District, County of Butler, Ohio, General Obligation Unlimited Tax School Improvement and Refunding Bonds, Series 2001 5.250% 12/01/2013 Aaa 2,780,000 2,931,705 Mason City School District, Counties of Warren and Butler, Ohio, School Improvement Unlimited Tax General Obligation Bonds, Series 2001 5.000% 12/01/2013 Aa2 2,000,000 2,067,460
See accompanying notes to financial statements. 17 STATE FARM ASSOCIATES' FUNDS TRUST MUNICIPAL BOND FUND PORTFOLIO OF INVESTMENTS (CONTINUED) NOVEMBER 30, 2001 (AUDITED)
Rating Coupon Maturity (Moody's Principal rate date or S&P)(a) amount Value ------ ---------- ---------- ----------- ------------ LONG-TERM MUNICIPAL BONDS (CONT.) OHIO (CONT.) Delaware County, Ohio, General Obligation, Limited Tax, Sewer District Improvement Bond, Series 1999 4.900% 12/01/2015 Aaa $ 1,970,000 $ 1,980,342 ------------ 18,102,470 ------------ OKLAHOMA (2.0%) City of Tulsa, Oklahoma, General Obligation Refunding Bonds of 1993 5.050% 06/01/2002 Aa2 1,500,000 1,522,290 Oklahoma City, Oklahoma, General Obligation Bonds, Series 1993 5.150% 05/01/2003 Aa2 1,050,000 1,088,314 Oklahoma City, Oklahoma, General Obligation Bonds, Series 1993 5.250% 05/01/2004 Aa2 1,050,000 1,084,892 Oklahoma City, Oklahoma, General Obligation Refunding Bonds, Series 1993 5.300% 08/01/2005 Aa2 2,000,000 2,140,160 City of Tulsa, Oklahoma, General Obligation Bonds, Series 1999 5.250% 12/01/2009 Aa2 1,680,000 1,806,017 ------------ 7,641,673 ------------ OREGON (2.7%) Portland, Oregon, Sewer System Revenue Refunding Bonds, 1997 Series A 5.000% 06/01/2011 Aaa 4,000,000 4,128,600 Washington and Clackamas Counties School District #23J (Tigard-Tualatin), Oregon, General Obligation Bonds, Series 1995 (Prerefunded to 6-1-2006 @ 100) 5.550% 06/01/2011 Aa3 2,000,000 2,175,000 Gresham-Barlow School District No. 10Jt, Multnomah and Clackamas Counties, Oregon, General Obligation Bonds, Series 2001 5.500% 06/15/2014 Aaa 1,980,000 2,110,561 Reynolds School Dist 7, Multnomah County, Oregon, General Obligation Refunding Bonds Series 2000 5.000% 06/15/2015 Aaa 2,135,000 2,204,537 ------------ 10,618,698 ------------ PENNSYLVANIA (1.7%) Commonwealth of Pennsylvania, General Obligation Bonds, First Series of 2001 5.000% 01/15/2013 Aa2 2,000,000 2,078,760 City of Lancaster, Lancaster County, Pennsylvania, General Obligation Bonds, Series A of 1998 4.650% 05/01/2013 Aaa 1,645,000 1,643,898 City of Lancaster, Lancaster County, Pennsylvania, General Obligation Bonds, Series A of 1998 4.750% 05/01/2014 Aaa 2,695,000 2,701,549 ------------ 6,424,207 ------------ SOUTH CAROLINA (2.6%) Charleston County, South Carolina, General Obligation Bonds of 1994 (ULT) Escrowed to maturity) 5.400% 06/01/2005 Aa1 1,625,000 1,748,809 State of South Carolina, General Obligation State Highway Bonds, Series 1995 5.100% 08/01/2008 Aaa 1,700,000 1,799,501 State of South Carolina, General Obligation State Highway Bonds, Series 1995 5.250% 08/01/2009 Aaa 1,700,000 1,801,524 City of Columbia, South Carolina, Waterworks and Sewer System Revenue Bonds, Series 1999 5.500% 02/01/2010 Aa2 2,675,000 2,919,201 School District No. 1 of Richland County, South Carolina, General Obligaion Bonds, Series 1999 5.500% 03/01/2010 Aa1 1,800,000 1,964,412 ------------ 10,233,447 ------------ SOUTH DAKOTA (1.2%) South Dakota, Housing Development Authority Homeownership Mortgage Bonds, 2001 Series D and 2001 Series E 5.000% 05/01/2014 Aa1 4,680,000 4,701,575 ------------
See accompanying notes to financial statements. 18 STATE FARM ASSOCIATES' FUNDS TRUST MUNICIPAL BOND FUND PORTFOLIO OF INVESTMENTS (CONTINUED) NOVEMBER 30, 2001 (AUDITED)
Rating Coupon Maturity (Moody's Principal rate date or S&P)(a) amount Value ------ ---------- ---------- ----------- ------------ LONG-TERM MUNICIPAL BONDS (CONT.) TENNESSEE (3.5%) Williamson County, Tennessee, Public Works Refunding Bonds, Series 1992 5.650% 03/01/2002 Aa1 $ 1,000,000 $ 1,008,580 Nashville & Davidson County, Tennessee, Electric System Revenue Bonds,1992 Series B 5.500% 05/15/2002 Aa3 2,000,000 2,030,880 Nashville & Davidson County, Tennessee, General Obligation Refunding Bonds of 1993 5.000% 05/15/2003 Aa2 2,000,000 2,073,660 Nashville & Davidson County, Tennessee, Water and Sewer Revenue Refunding Bonds, Series 1993 4.900% 01/01/2004 Aaa 1,500,000 1,559,580 Nashville & Davidson County, Tennessee, General Obligation Refunding Bonds of 1993 5.000% 05/15/2005 Aa2 1,800,000 1,906,650 Nashville & Davidson County, Tennessee, Water and Sewer Revenue Refunding Bonds, Series 1996 5.200% 01/01/2008 Aaa 4,500,000 4,784,850 ------------ 13,364,200 ------------ TEXAS (6.1%) Texas Public Finance Authority, State of Texas, General Obligation Refunding Bonds, Series 1992A 5.700% 10/01/2003 Aa1 2,000,000 2,115,080 City of Dallas, Texas, Waterworks and Sewer System Revenue Refunding Bonds, Series 1993 4.900% 04/01/2004 Aa2 2,000,000 2,051,180 Carrollton-Farmers Branch Independent School District (Dallas and Denton Counties, Texas) School Building Unlimited Tax Bonds, Series 1996(Prerefunded to 02-15-2006 @ 100) 5.200% 02/15/2008 Aaa 2,355,000 2,516,435 Carrollton-Farmers Branch Independent School District (Dallas County, Texas) School Building Unlimited Tax Bonds, Series 1999 5.375% 02/15/2008 Aaa 1,000,000 1,073,470 State of Texas, Public Finance Authority, General Obligation Refunding Bonds, Series 1996B 5.400% 10/01/2008 Aa1 3,000,000 3,178,620 Carrollton-Farmers Branch Independent School District (Dallas County, Texas) School Building Unlimited Tax Bonds, Series 1999 5.500% 02/15/2009 Aaa 2,455,000 2,665,639 Fort Worth Independent School District (Tarrant County, Texas), School Building Unlimited Tax Bonds, Series 2000 5.500% 02/15/2010 Aaa 3,000,000 3,264,090 City of San Antonio, Texas, Electric and Gas Systems Revenue Bonds, New Series 2000A 5.750% 02/01/2012 Aa1 2,000,000 2,177,860 McKinney Independent School District (Collin County, Texas), School Building Unlimited Tax Bonds, Series 2000 5.125% 02/15/2012 Aaa 2,115,000 2,212,311 Round Rock Independent School District, Williamson and Travis Counties, Texas, Unlimited Tax School Building and Refunding Bonds, Series 1999 4.750% 08/01/2015 Aaa 2,250,000 2,229,210 ------------ 23,483,895 ------------ UTAH (1.1%) Salt Lake County, Utah, General Obligation Jail Bonds, Series 1995(Prerefunded to 12-15-2005 @ 100) 5.000% 12/15/2007 Aaa 2,780,000 2,978,520 City of Provo, Utah County, Utah, General Obligation Library Bonds, Series 1999 5.250% 03/01/2009 Aaa 1,300,000 1,389,427 ------------ 4,367,947 ------------ VIRGINIA (1.3%) Virginia Housing Developement Authority, Commonwealth Mortgage Bonds 5.350% 01/01/2013 Aa1 2,885,000 2,978,965
See accompanying notes to financial statements. 19 STATE FARM ASSOCIATES' FUNDS TRUST MUNICIPAL BOND FUND PORTFOLIO OF INVESTMENTS (CONTINUED) NOVEMBER 30, 2001 (AUDITED)
Rating Coupon Maturity (Moody's Principal rate date or S&P)(a) amount Value ------ ---------- ---------- ----------- ------------ LONG-TERM MUNICIPAL BONDS (CONT.) VIRGINIA (CONT.) Virginia Public School Authority, School Financing Bonds (1997 Resolution), Series 2001A 5.000% 08/01/2014 Aa1 $ 2,000,000 $ 2,068,940 ------------ 5,047,905 ------------ WASHINGTON (6.5%) Washington Public Power Supply System Nuclear Project No. 1, Revenue Refunding Bonds, Series 1990C 7.700% 07/01/2002 Aa1 1,000,000 1,031,310 Washington Public Power Supply System Nuclear Project No. 3, Refunding Revenue Bonds, Series 1993C 4.800% 07/01/2003 Aa1 2,000,000 2,065,440 Federal Way School District No. 210, King County, Washington, Unlimited Tax General Obligation and Refunding Bonds, Series 1993 5.250% 12/01/2003 Aaa 2,520,000 2,653,635 City of Seattle, Washington, Unlimited Tax General Obligation Refunding Bonds of 1993 4.800% 12/01/2004 Aaa 2,000,000 2,038,340 Lakewood School District No. 306, Snohomish County, Washington, Unlimtied Tax General Obligation Bonds, 2000 5.550% 12/01/2010 Aa1 2,035,000 2,234,776 State of Washington, General Obligation Bonds, Series 1993A 5.750% 10/01/2012 Aa1 4,435,000 4,928,128 State of Washington, General Obligation Bonds, Series 1993A (Escrowed to maturity) 5.750% 10/01/2012 Aa1 65,000 72,725 City of Vancouver, Washington, Water and Sewer Revenue Refunding Bonds, 1998 4.600% 06/01/2013 Aaa 2,000,000 1,976,400 Seattle, Washington, Water System Revenue 1998 5.000% 10/01/2013 Aa2 2,495,000 2,554,331 City of Vancouver, Washington, Water and Sewer Revenue Refunding Bonds, 1998 4.650% 06/01/2014 Aaa 2,605,000 2,567,748 State of Washington, Variable Purpose General Obligation Refunding Bonds, Series R-99A 4.750% 01/01/2015 Aa1 3,000,000 2,975,940 ------------ 25,098,773 ------------ WEST VIRGINIA (0.7%) State of West Virginia, State Road General Obligation Bonds, Series 1998 5.000% 06/01/2013 Aaa 2,540,000 2,616,556 ------------ WISCONSIN (4.7%) Milwaukee, Wisconsin, Metropolitan Sewerage District General Obligation Capital Purpose Bonds, Series 1990A (Escrowed to maturity) 6.700% 10/01/2002 Aa1 3,500,000 3,635,415 State of Wisconsin, General Obligation Refunding Bonds of 1993, Series 1 5.300% 11/01/2003 Aa3 2,000,000 2,105,440 State of Wisconsin, General Obligation Bonds of 1995, Series A (Prerefunded to 5-1-2005 @ 100) 6.000% 05/01/2008 Aaa 2,000,000 2,187,380 State of Wisconsin, General Obligation Refunding Bonds of 1993, Series 2 5.125% 11/01/2010 Aa3 2,500,000 2,663,275 Dane County, Wisconsin, General Obligation Refunding Bonds, Series 1998B 4.800% 03/01/2012 Aaa 2,180,000 2,218,302 Dane County, Wisconsin, General Obligation Refunding Bonds, Series 1998B 4.800% 03/01/2013 Aaa 2,220,000 2,245,730 City of Appleton, Outagamie, Winnebago, and Calumet Counties, Wisconsin, Water System Revenue Refunding Bonds, Series 2001 5.375% 01/01/2016 Aaa 2,985,000 3,104,848 ------------ 18,160,390 ------------
See accompanying notes to financial statements. 20 STATE FARM ASSOCIATES' FUNDS TRUST MUNICIPAL BOND FUND PORTFOLIO OF INVESTMENTS (Continued) November 30, 2001 (Audited)
Rating Coupon Maturity (Moody's Principal rate date or S&P) (a) amount Value ---- ---- ----------- ------ ----- Long-term Municipal Bonds(Cont.) Wyoming (0.4%) Natrona County, Wyoming, School District No. 1 General Obligation Bonds, Series 1994 (Prerefunded to 7-1-2004 @ 100) 5.450% 07/01/2006 Aaa $ 1,600,000 $ 1,704,480 ----------- Total Long-term Municipal Bonds (cost $358,506,436) 376,940,773 -----------
Shares or principal amount Value ---------- ----- Short-term Investments (2.1%) JP Morgan Vista Treasury Plus Money Market Fund 8,207,924 $ 8,207,924 ------------ Total Short-term Investments (cost $8,207,924) 8,207,924 ------------ TOTAL INVESTMENTS (99.3%) (cost $366,714,360) 385,148,697 $ OTHER ASSETS, NET OF LIABILITIES (0.7)% 2,688,839 ------------ NET ASSETS (100.0%) $387,837,536 ============
(a) Ratings are not audited. At November 30, 2001, net unrealized appreciation of $18,434,337 consisted of gross unrealized appreciation of $18,647,204 and gross unrealized depreciation of $212,867 based on cost of $366,714,360 for federal income tax purposes. Long-term Municipal Bonds consisted of 10.7% Advanced Refund Bonds, 68.9% General Obligation Bonds, and 20.4% Municipal Revenue Bonds. See accompanying notes to financial statements. 21 (This page intentionally left blank.) 22 STATE FARM ASSOCIATES' FUNDS TRUST STATEMENTS OF ASSETS AND LIABILITIES November 30, 2001 (Audited)
Municipal Bond Growth Fund Balanced Fund Interim Fund Fund ----------- ------------- ------------ -------------- Assets Investments in securities At identified cost $1,330,658,594 572,530,114 168,842,241 366,714,360 ============== =========== =========== =========== At value $2,529,113,514 881,838,985 172,244,339 385,148,697 Receivable for: Dividends and interest 4,623,713 5,361,285 1,633,610 5,826,718 Shares of the Fund sold 4,241,350 1,019,458 944,697 201,803 Prepaid expenses 30,020 11,722 2,884 5,705 -------------- ----------- ----------- ----------- Total assets 2,538,008,597 888,231,450 174,825,530 391,182,923 -------------- ----------- ----------- ----------- Liabilities and Net Assets Dividends to shareowners -- -- 1,488,018 3,163,729 Payable for: Shares of the Fund redeemed 444,851 102,433 441,833 4,600 Manager 734,096 297,808 84,052 151,049 Accrued liabilities 40,736 16,925 15,592 26,009 -------------- ----------- ----------- ----------- Total liabilities 1,219,683 417,166 2,029,495 3,345,387 -------------- ----------- ----------- ----------- Net assets applicable to shares outstanding of common stock $2,536,788,914 887,814,284 172,796,035 387,837,536 -------------- ----------- ----------- ----------- Fund shares outstanding 56,920,789 18,705,729 17,445,664 45,576,946 Net asset value, offering price and redemption price per share $ 44.57 47.46 9.90 8.51 ============== =========== =========== =========== Analysis of Net Assets Paid in capital $1,290,208,210 552,784,053 178,214,522 369,424,219 Accumulated net realized gain (loss) 24,631,086 507,022 (8,820,585) (21,020) Net unrealized appreciation 1,198,454,920 309,308,871 3,402,098 18,434,337 Undistributed net investment income 23,494,698 25,214,338 -- -- -------------- ----------- ----------- ----------- Net assets applicable to shares outstanding $2,536,788,914 887,814,284 172,796,035 387,837,536 ============== =========== =========== ===========
See accompanying notes to financial statements. 23 STATE FARM ASSOCIATES' FUNDS TRUST STATEMENTS OF OPERATIONS November 30, 2001 (Audited)
Growth Fund ---------------------------------- Year ended November 30 2001 2000 ---------------------- ------------ ----------- Investment Income: Dividends $35,265,342 35,053,087 Interest 2,655,436 3,979,915 Tax-exempt interest -- -- ----------- ----------- 37,920,778 39,033,002 Less: foreign withholding taxes 448,741 405,228 ----------- ----------- Total investment income 37,472,037 38,627,774 Expenses: Investment advisory and management fees 2,794,914 3,177,953 Professional fees 98,751 40,630 ICI dues 47,197 52,492 Registration fees 5,730 35,992 Fidelity bond expense 11,410 10,749 Trustees' fees 54,771 13,500 Reports to shareowners 143,771 95,214 Security evaluation fees 2,713 3,105 Franchise taxes 20,235 18,897 Blue sky registration fees 9,610 -- Custodian fees 9,287 25,455 Proxy and related expense 131,246 -- ----------- ----------- Total expenses 3,329,635 3,473,987 ----------- ----------- Net investment income 34,142,402 35,153,787 Realized and unrealized gain (loss): Net realized gain (loss) on sales of investments 24,631,086 8,445,081 Change in net unrealized appreciation or depreciation on investments (358,088,495) (82,603,064) ------------ ----------- Net realized and unrealized gain (loss) on investments (333,457,409) (74,157,983) ------------ ----------- Net change in net assets resulting from operations $(299,315,007) (39,004,196) ============= ===========
See accompanying notes to financial statements. 24 Balanced Fund Interim Fund Municipal Bond Fund ------------- ------------ ------------------- 2001 2000 2001 2000 2001 2000 ---- ---- ---- ---- ---- ---- 8,575,737 8,607,496 -- -- -- -- 20,557,414 20,286,207 8,230,286 8,625,992 372,015 359,851 -- -- -- -- 18,326,519 18,308,857 ----------- ----------- ---------- ---------- ---------- ---------- 29,133,151 28,893,703 8,230,286 8,625,992 18,698,534 18,668,708 131,898 116,756 -- -- -- -- ----------- ----------- ---------- ---------- ---------- ---------- 29,001,253 28,776,947 8,230,286 8,625,992 18,698,534 18,668,708 1,058,609 1,157,544 215,026 200,660 448,515 421,888 44,562 24,755 21,137 21,017 34,848 24,921 15,441 19,087 1,916 2,992 5,545 7,176 -- -- 3,746 -- 3,012 -- 6,638 6,126 2,818 2,941 3,996 3,678 18,874 6,750 2,938 2,250 7,790 4,500 52,798 35,579 9,037 5,045 9,930 5,762 8,907 5,537 1,429 602 42,364 18,799 17,156 17,593 11,673 10,434 20,627 18,023 8,913 -- 8,989 -- 11,024 -- 6,535 11,769 2,574 5,092 3,761 8,163 43,388 -- 5,338 -- 15,906 -- ----------- ----------- ---------- ---------- ---------- ---------- 1,281,821 1,284,740 286,621 251,033 607,318 512,910 ----------- ----------- ---------- ---------- ---------- ---------- 27,719,432 27,492,207 7,943,665 8,374,959 18,091,216 18,155,798 4,763,257 (4,256,235) (1,179,218) (3,819,121) 57,600 (37,244) (76,912,974) (11,987,371) 5,657,338 4,390,452 11,244,514 5,219,530 ----------- ----------- ---------- ---------- ---------- ---------- (72,149,717) (16,243,606) 4,478,120 571,331 11,302,114 5,182,286 ----------- ----------- ---------- ---------- ---------- ---------- (44,430,285) 11,248,601 12,421,785 8,946,290 29,393,330 23,338,084 =========== =========== ========== ========== ========== ========== See accompanying notes to financial statements. 25 STATE FARM ASSOCIATES' FUNDS TRUST STATEMENTS OF CHANGES IN NET ASSETS
Growth Fund ----------------------------- Year ended November 30 2001 2000 ---------------------- ---- ---- From operations: Net investment income $ 34,142,402 35,153,787 Net realized gain (loss) 24,631,086 8,445,081 Change in net unrealized appreciation or depreciation (358,088,495) (82,603,064) -------------- ------------ Net change in net assets resulting from operations (299,315,007) (39,004,196) Undistributed net investment income included in price of shares issued and redeemed 17,816 298,404 Distributions to shareowners from and in excess of: Net investment income (34,246,638) (35,509,569) Net realized gain (8,445,081) (12,157,004) -------------- ------------ Total distributions to shareowners (42,691,719) (47,666,573) From Fund share transactions: Proceeds from shares sold 247,215,162 575,189,471 Reinvestment of distributions 41,061,671 45,894,745 -------------- ------------ 288,276,833 621,084,216 Less payments for shares redeemed 252,177,650 478,472,641 -------------- ------------ Net increase (decrease) in net assets from Fund share transactions 36,099,183 142,611,575 -------------- ------------ Total increase (decrease) in net assets (305,889,727) 56,239,210 -------------- ------------ Net assets: Beginning of period 2,842,678,641 2,786,439,431 -------------- ------------- End of period* $2,536,788,914 2,842,678,641 ============== ============= *Including undistributed net investment income $ 23,494,698 23,581,118 ============== =============
See accompanying notes to financial statements. 26
Balanced Fund Interim Fund Municipal Bond Fund ---------------------------- --------------------------- -------------------------- 2001 2000 2001 2000 2001 2000 ------------ ----------- ----------- ----------- ----------- ----------- 27,719,432 27,492,207 7,943,665 8,374,959 18,091,216 18,155,798 4,763,257 (4,256,235) (1,179,218) (3,819,121) 57,600 (37,244) (76,912,974) (11,987,371) 5,657,338 4,390,452 11,244,514 5,219,530 ------------ ----------- ----------- ----------- ----------- ----------- (44,430,285) 11,248,601 12,421,785 8,946,290 29,393,330 23,338,084 (53,507) (252,185) -- -- -- -- (27,266,950) (29,063,033) (7,943,665) (8,374,959) (18,091,216) (18,155,798) -- (10,500,732) -- -- -- -- ------------ ----------- ----------- ----------- ----------- ----------- (27,266,950) (39,563,765) (7,943,665) (8,374,959) (18,091,216) (18,155,798) 84,932,598 159,716,297 115,155,613 47,661,071 31,405,554 25,998,924 26,043,663 37,839,726 7,031,398 7,856,803 13,367,831 13,655,464 ------------ ----------- ----------- ----------- ----------- ----------- 110,976,261 197,556,023 122,187,011 55,517,874 44,773,385 39,654,388 97,196,383 213,927,428 68,310,317 93,216,211 20,704,199 50,924,135 ------------ ----------- ----------- ----------- ----------- ----------- 13,779,878 (16,371,405) 53,876,694 (37,698,337) 24,069,186 (11,269,747) ------------ ----------- ----------- ----------- ----------- ----------- (57,970,864) (44,938,754) 58,354,814 (37,127,006) 35,371,300 (6,087,461) ------------ ----------- ----------- ----------- ----------- ----------- 945,785,148 990,723,902 114,441,221 151,568,227 352,466,236 358,553,697 ------------ ----------- ----------- ----------- ----------- ----------- 887,814,284 945,785,148 172,796,035 114,441,221 387,837,536 352,466,236 ============ =========== =========== =========== =========== =========== 25,214,338 24,815,363 -- -- -- -- ============ =========== =========== =========== =========== ===========
See accompanying notes to financial statements. 27 STATE FARM ASSOCIATES' FUNDS TRUST NOTES TO FINANCIAL STATEMENTS 1. Objective Pursuant to an agreement and plan of reorganization approved by the Board of Directors and shareholders of the State Farm Growth Fund, Inc., State Farm Balanced Fund, Inc., State Farm Interim Fund, Inc., and State Farm Municipal Bond Fund, Inc., the assets and liabilities of each Fund were transferred in tax-free business transactions to newly formed portfolio series of the same name of the State Farm Associates' Funds Trust (the "Trust"). The Trust was organized as a Delaware business trust under a Declaration of Trust dated January 5, 2001. There were no changes with respect to the rights and privileges of each Fund or fee arrangements with any service provider as a result of the reorganization. The Trust has four separate investment portfolios (the "Funds"). Each Fund has its own investment objective, investment policies, restrictions, and attendant risks. The investment objective of the Growth Fund is long-term growth of capital which may be supplemented by income. The Fund seeks to achieve this objective by investing at least 80% of its assets in common stocks and other income producing equity securities. The investment objective of the Balanced Fund is to seek long-term growth of principal while providing some current income. The Fund seeks to achieve its objective by investing approximately 60% of its assets in common stocks, and ordinarily limits its common stock investments to no more than 75% of total assets. The Fund ordinarily invests at least 25% of its total assets in fixed income securities. The Fund invests in bonds and preferred stocks to provide relative stability of principal and income. The investment objective of the Interim Fund is the realization over a period of years of the highest yield consistent with relatively low price volatility. The Fund seeks to achieve its investment objective through investment in high quality debt securities with primarily short-term (six or seven years) and intermediate-term (up to fifteen years) maturities. The investment objective of the Municipal Bond Fund is to seek as high a rate of income exempt from federal income taxes as is consistent with prudent investment management. The Fund seeks to achieve its investment objective through investment primarily in a diversified portfolio of Municipal Bonds with maturities of one to seventeen years. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with accounting principles generally accepted in the United States. 2. Significant accounting policies Securities valuation Investments are stated at value. Stocks traded on domestic or foreign securities exchanges, or in the over-the-counter market in which transaction prices are reported, are valued at the last sales prices on the day of valuation on the exchange in which the security is traded most extensively or, if there are no reported sales on that day, at the last reported bid price for the day. Long-term debt securities and U.S. Treasury bills are valued using quotations provided by an independent pricing service. Short-term debt securities, other than U.S. Treasury bills, are valued at amortized cost which approximates market value. Any securities not valued as described above are valued at fair value as determined in good faith by the Board of Trustees or their delegate. Securities transactions and investment income Security transactions are accounted for on the trade date (date the order to buy or sell is executed) and dividend income is recorded on the ex-dividend date. Interest income is recorded on the accrual basis. Premiums and original issue discounts on tax-exempt securities in the Municipal Bond Fund are amortized. Realized gains and losses from security transactions are reported on an identified cost basis. Income recognition In November 2000, the American Institute of Certified Public Accountants (AICPA) issued a revised version of the AICPA Audit and Accounting Guide requiring all Investment Companies to amortize premiums and discounts on fixed income securities, effective with the fiscal year beginning after December 15, 2000. The Balanced and Interim Funds currently do not amortize premiums and discounts on fixed income securities. Therefore, to comply with generally accepted accounting principles, these Funds will be required to amortize premiums and discounts on fixed income securities beginning December 1, 2001, and record a cumulative effect adjustment for the change in accounting. Had these Funds been required to institute this change on November 30, 2001, the cumulative effect would have reduced net investment income and increased unrealized appreciation on securities by $4,537,243 and $2,134,691 for the Balanced and Interim Funds, respectively. These reclassifications would not impact the Funds' total net assets or net asset values. 28 STATE FARM ASSOCIATES' FUNDS TRUST NOTES TO FINANCIAL STATEMENTS (Continued) Securities purchased on a "when-issued" basis The Municipal Bond Fund may purchase municipal bonds on a `when-issued' basis. Delivery and payment for these securities may be a month or more after the purchase date, during which time such securities are subject to market fluctuations. It is possible that the securities will never be issued and the commitment cancelled. At November 30, 2001, the Municipal Bond Fund had no outstanding when-issued securities. Fund share valuation Fund shares are sold and redeemed on a continuous basis at net asset value. The net asset value per share is determined daily on each day the New York Stock Exchange is open, except that a Fund need not compute a net asset value on any day when no purchase or redemption order has been received by the Fund. The net asset values are determined as of the close of regular session trading on the New York Stock Exchange (usually 3:00 p.m. Bloomington, Illinois time). The net asset value per share is computed by dividing the total value of a Fund's investments and other assets, less liabilities, by the number of Fund shares outstanding. Federal income taxes, dividends and distributions to shareowners It is each Fund's policy to comply with the special provisions of the Internal Revenue Code available to investment companies and, in the manner provided therein, to distribute all taxable income, as well as any net realized gain on sales of investments reportable for federal income tax purposes. Each Fund has complied with this policy and, accordingly, no provision for federal income taxes is required. The Interim Fund and Municipal Bond Fund declare dividends daily equal to each Fund's respective net investment income, and distributions of such amounts are made at the end of each calendar quarter. Net realized gains on sales of investments, if any, are distributed annually after the close of a Fund's fiscal year. Dividends and distributions payable to shareowners are recorded by the respective Fund on the ex-dividend date. The timing and characterization of certain income and capital gains distributions are determined annually in accordance with federal tax regulations which may differ from accounting principles generally accepted in the United States. As a result, net investment income and net realized gain on investment transactions for a reporting period may differ from distributions during such period. Accordingly, each Fund may periodically make reclassifications among certain of its capital accounts without impacting the net asset vlaue of the respective Fund. On December 17, 2001, the Growth Fund declared an ordinary income dividend of $0.305 per share and a capital gain distribution of $0.4325 to shareowners of record on December 17, 2001 (reinvestment date December 18, 2001). On December 17, 2001, the Balanced Fund declared an ordinary income dividend of $0.74 per share and a capital gain distribution of $0.0272 to shareowners of record on December 17, 2001 (reinvestment date December 18, 2001). At November 30, 2001, the following Funds had unused capital loss carryforwards available for federal income tax purposes to be applied, against future capital gains if any. If not applied the carryforwards will expire as follows: Expiration Interim Municipal year Fund Bond Fund ---- ---- --------- 2002 $ 335,277 -- 2003 321,293 -- 2004 363,957 -- 2005 922,190 -- 2006 994,996 -- 2007 884,533 -- 2008 3,819,121 21,020 2009 1,179,218 -- ---- ----------- ------- Total: $ 8,820,585 21,020 The Interim Fund had a capital loss carryover of $162,716 that expired in 2001 and was reclassified from accumulated net realized gain (loss) to paid in capital on the Statement of Assets and Liabilities. Equalization accounting A portion of proceeds from sales and payments on redemptions of Fund shares is credited or charged to undistributed net investment income for the Growth Fund and Balanced Fund. As a result, undistributed net investment income per share is unaffected by sales or redemptions of shares. Foreign currency translation Investment securities and other assets and liablities denominated in a foreign currency are translated into U.S. dollars at the prevailing rates at period end. Purchases and sales of investment securities, income and expenses are 29 STATE FARM ASSOCIATES' FUNDS TRUST NOTES TO FINANCIAL STATEMENTS (Continued) translated into U.S. dollars at the prevailing exchange rates on the respective dates of transactions. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed but is included with net realized and unrealized gains and losses on investment securities. Expenses Expenses arising in connection with a specific Fund are allocated to that Fund. Other Trust expenses are allocated between the Funds in proportion to their relative net assets. Use of estimates The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. 3. Transactions with affiliates Each Fund has an investment advisory and management services agreement with State Farm Investment Management Corp. (Manager) pursuant to which each Fund pays the Manager an annual fee (computed on a daily basis and paid quarterly) at the following rates:
================================================================================ Growth Fund .20% of the first $100 million of average net assets .15% of the next $100 million of average net assets .10% of the average net assets in excess of $200 million Balanced Fund .20% of the first $100 million of average net assets .15% of the next $100 million of average net assets .10% of the average net assets in excess of $200 million Interim Fund .20% of the first $50 million of average net assets .15% of the next $50 million of average net assets .10% of the average net assets in excess of $100 million Municipal Bond Fund .20% of the first $50 million of average net assets .15% of the next $50 million of average net assets .10% of the average net assets in excess of $100 million ================================================================================
Under the terms of these agreements, the Funds incurred the following fees for the fiscal years ended November 30:
================================================================================ 2001 2000 ---------- --------- Growth Fund $2,794,914 3,177,953 Balanced Fund 1,058,609 1,157,544 Interim Fund 215,026 200,660 Municipal Bond Fund 448,515 421,888 ================================================================================
The Funds do not pay any discount, commission or other compensation for transfer agent or underwriting services provided by the Manager. Certain officers and/or trustees of the Trust are also officers and/or directors of the Manager. The Funds made no payments to their officers or trustees during the fiscal years ended November 30, 2001 and 2000, except for the following trustees' fees paid to or accrued for the Funds' independent trustees:
================================================================================ 2001 2000 ------- ------ Growth Fund $54,771 13,500 Balanced Fund 18,874 6,750 Interim Fund 2,938 2,250 Municipal Bond Fund 7,790 4,500 ================================================================================
4. Investment transactions Investment transactions (exclusive of short-term instruments) for each of the fiscal years ended November 30, were as follows:
================================================================================ 2001 2000 ------------ ----------- Growth Fund Purchases $196,260,873 160,503,816 Proceeds from sales 116,474,646 90,010,936 Balanced Fund Purchases 89,974,852 48,767,099 Proceeds from sales 78,906,153 74,382,336 Interim Fund Purchases 69,893,866 15,123,281 Proceeds from sales 22,500,000 51,593,613 Municipal Bond Fund Purchases 44,054,006 24,318,973 Proceeds from sales 22,041,756 36,912,396 ================================================================================
30 STATE FARM ASSOCIATES' FUNDS TRUST NOTES TO FINANCIAL STATEMENTS (Continued) 5. Fund share transactions For each of the fiscal years ended November 30, proceeds and payments on Fund shares as shown in each Fund's Statement of Changes in Net Assets are in respect of the following number of shares:
2001 2000 ---------- ---------- Growth Fund Shares sold 5,371,786 10,621,413 Shares issued in reinvestment of ordinary income dividends and realized gain distributions 840,427 841,549 ---------- ---------- 6,212,213 11,462,962 Less shares redeemed 5,555,293 8,825,806 ---------- ---------- Net increase in shares outstanding 656,920 2,637,156 ========== ========== Balanced Fund Shares sold 1,767,977 3,003,616 Shares issued in reinvestment of ordinary income dividends and realized gain distributions 525,932 705,906 ---------- ---------- 2,293,909 3,709,522 Less shares redeemed 2,043,125 4,021,390 ---------- ---------- Net increase (decrease) in shares outstanding 250,784 (311,868) ========== ========== Interim Fund Shares sold 11,727,095 5,071,077 Shares issued in reinvestment of ordinary income dividends and realized gain distributions 720,600 834,715 ---------- ---------- 12,447,695 5,905,792 Less shares redeemed 6,982,130 9,924,760 ---------- ---------- Net increase (decrease) in shares outstanding 5,465,565 (4,018,968) ========== ========== Municipal Bond Fund Shares sold 3,687,722 3,202,250 Shares issued in reinvestment of ordinary income dividends and realized gain distributions 1,576,494 1,682,684 ---------- ---------- 5,264,216 4,884,934 Less shares redeemed 2,438,096 6,305,824 ---------- ---------- Net increase (decrease) in shares outstanding 2,826,120 (1,420,890) ========== ==========
31 STATE FARM ASSOCIATES' FUNDS TRUST GROWTH FUND FINANCIAL HIGHLIGHTS The financial highlights table is intended to help you understand the financial performance of each Fund. Certain information reflects financial results for a single Fund share. The total returns in the table represent the rate that an investor would have earned (or lost) on an investment in the Fund (assuming reinvestment of all dividends and distributions). (For a share outstanding throughout each period)
Year ended November 30, ------------------------------------------------ 2001 2000 1999 1998 1997 -------- ------- ------- ------- ------- Net asset value, beginning of period $ 50.52 51.96 44.65 39.48 34.55 Income from Investment Operations Net investment income (a) 0.60 0.65 0.62 0.61 0.62 Net gain (loss) on investments (both realized and unrealized) (5.79) (1.21) 7.33 6.33 7.23 -------- ------- ------- ------- ------- Total from investment operations (5.19) (0.56) 7.95 6.94 7.85 -------- ------- ------- ------- ------- Less Distributions Net investment income (0.61) (0.65) (0.59) (0.64) (0.61) Net realized gain (0.15) (0.23) (0.05) (1.13) (2.31) -------- ------- ------- ------- ------- Total distributions (0.76) (0.88) (0.64) (1.77) (2.92) -------- ------- ------- ------- ------- Net asset value, end of period $ 44.57 50.52 51.96 44.65 39.48 ======== ======= ======= ======= ======= Total Return (10.41)% (1.20)% 17.93% 18.17% 24.80% Ratios/Supplemental Data Net assets, end of period (millions) $2,536.8 2,842.7 2,786.4 2,285.5 1,821.1 Average net asset ratios Expenses 0.13% 0.11% 0.12% 0.12% 0.12% Net investment income 1.29% 1.16% 1.27% 1.47% 1.78% Portfolio turnover rate 5% 3% 2% 1% 6%
(a) The per share data was calculated using the weighted average shares method in 2001. See accompanying notes to financial statements. 32 STATE FARM ASSOCIATES' FUNDS TRUST BALANCED FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)
Year ended November 30, --------------------------------------- 2001 2000 1999 1998 1997 ------ ----- ----- ----- ----- Net asset value, beginning of period $51.25 52.79 49.54 46.09 42.04 Income from Investment Operations Net investment income (a) 1.48 1.50 1.51 1.54 1.40 Net gain (loss) on investments (both realized and unrealized) (3.80) (0.91) 3.23 4.14 5.45 ------ ----- ----- ----- ----- Total from investment operations (2.32) 0.59 4.74 5.68 6.85 ------ ----- ----- ----- ----- Less Distributions Net investment income (1.47) (1.56) (1.47) (1.54) (1.47) Net realized gain -- (0.57) (0.02) (0.69) (1.33) ------ ----- ----- ----- ----- Total distributions (1.47) (2.13) (1.49) (2.23) (2.80) ------ ----- ----- ----- ----- Net asset value, end of period $47.46 51.25 52.79 49.54 46.09 ====== ===== ===== ===== ===== Total Return (4.63)% 0.97% 9.72% 12.72% 17.33% Ratios/Supplemental Data Net assets, end of period (millions) $887.8 945.8 990.7 893.2 762.3 Average net asset ratios Expenses 0.14% 0.13% 0.13% 0.14% 0.14% Net investment income 3.05% 2.74% 2.96% 3.34% 3.42% Portfolio turnover rate 9% 5% 5% 2% 6%
(a) The per share data was calculated using the weighted average shares method in 2001. See accompanying notes to financial statements. 33 STATE FARM ASSOCIATES' FUNDS TRUST INTERIM FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)
Year ended November 30, ------------------------------- 2001 2000 1999 1998 1997 ---- ---- ---- ---- ---- Net asset value, beginning of period $ 9.55 9.47 9.98 9.85 9.98 Income from Investment Operations Net investment income 0.56 0.63 0.64 0.68 0.69 Net gain (loss) on investments (both realized and unrealized) 0.35 0.08 (0.51) 0.13 (0.13) ------- ----- ----- ---- ----- Total from investment operations 0.9 10.71 0.13 0.81 0.56 ------ ----- ----- ---- ----- Less Distributions Net investment income (0.56) (0.63)(0.64) (0.68)(0.69) ------ ----- ----- ----- ----- Total distributions (0.56) (0.63)(0.64) (0.68)(0.69) ------ ----- ----- ----- ----- Net asset value, end of period $ 9.90 9.55 9.47 9.98 9.85 ====== ===== ===== ===== ===== Total Return 9.73% 7.70% 1.35% 8.31% 5.87% Ratios/Supplemental Data Net assets, end of period (millions) $172.8 114.4 151.6 154.1 112.8 Average net asset ratios Expenses 0.20% 0.20% 0.20% 0.21% 0.22% Net investment income 5.67% 6.66% 6.63% 6.80% 7.03% Portfolio turnover rate 17% 12% 12% 14% 15%
See accompanying notes to financial statements. 34 STATE FARM ASSOCIATES' FUNDS TRUST MUNICIPAL BOND FUND FINANCIAL HIGHLIGHTS (For a share outstanding throughout each period)
Year ended November 30, -------------------------------------------- 2001 2000 1999 1998 1997 ------ ----- ----- ----- ----- Net asset value, beginning of period $ 8.24 8.12 8.55 8.43 8.44 Income from Investment Operations Net investment income 0.41 0.42 0.43 0.45 0.47 Net gain (loss) on investments (both realized and unrealized) 0.27 0.12 (0.43) 0.12 (0.01) ---- ---- ----- ---- ----- Total from investment operations 0.68 0.54 -- 0.57 0.46 ---- ---- ----- ---- ----- Less Distributions Net investment income (0.41) (0.42) (0.43) (0.45) (0.47) Net realized gain (a) -- -- -- -- -- -- -- -- -- -- Total distributions (0.41) (0.42) (0.43) (0.45) (0.47) ----- ----- ----- ---- ----- Net asset value, end of period $8.51 8.24 8.12 8.55 8.43 ===== ===== ===== ===== ===== Total Return 8.39% 6.87% 0.04% 6.82% 5.68% Ratios/Supplemental Data Net assets, end of period (millions) $387.8 352.5 358.6 363.1 336.4 Average net asset ratios Expenses 0.16% 0.15% 0.16% 0.15% 0.15% Net investment income 4.84% 5.23% 5.20% 5.29% 5.61% Portfolio turnover rate 6% 7% 10% 6% 6%
(a) Distributions representing less than $.01 per share were made in 1997. See accompanying notes to financial statements. 35 Tax Information State Farm Growth Fund The Fund paid ordinary income dividends of $.29 per share in June 2001 and $.305 per share in December 2001. Of these dividends, 84% qualifies for the 70% deduction for dividends received by corporations as provided by the Internal Revenue Code. In December 2001 the Fund made a capital gain distribution of $.4325 per share, 100% of which was paid from long-term capital gain and is designated as a capital gain dividend. State Farm Balanced Fund The Fund paid ordinary income dividends of $.74 per share in June 2001 and $.74 per share in December 2001. Of these dividends, 26% qualifies for the 70% deduction for dividends received by corporations as provided by the Internal Revenue Code. In December 2001 the Fund made a capital gain distribution of $.0272 per share, 100% of which was paid from long-term capital gain and is designated as a capital gain dividend. State Farm Interim Fund The Fund paid ordinary income dividends in March, June, September, and December. The dividends paid to you will be included on the Form 1099-DIV to be sent in January 2002. Since the Fund's investment income was derived from interest, none of the taxable portion of the Fund's distributions are eligible for the dividend received deduction for corporations. State Farm Municipal Bond Fund The Fund paid ordinary income dividends in March, June, September and December. Of those dividends, 98% in March, 98% in June, 98% in September and 98% in December are designated as exempt-interest dividends. The taxable portion of the dividends paid to you will be included on the Form 1099-DIV to be sent in January 2002. Since the Fund's investment income was derived from interest, none of the taxable portion of the Fund's distributions are eligible for the dividend received deduction for corporations. NOTE: The taxable portion of the dividends and distributions paid to you must be included in your federal income tax return and must be reported by the Funds to the Internal Revenue Service in accordance with provisions of the Internal Revenue Code. The tax-exempt status of dividends derived from interest on municipal bonds for federal income tax purposes does not necessarily result in exemption from any state or local income taxes or other taxes. 36 State Farm Mutual Funds U.S. POSTAGE Three State Farm Plaza, R-4 PAID Bloomington, IL 61791-0001 STATE FARM FORWARDING SERVICE REQUESTED INSURANCE COMPANIES PRESORTED STANDARD [State Farm Insurance Logo] Mutual Funds/TM/ State Farm Mutual Funds(TM)are not insurance products and are offered by: State Farm VP Management Corp. Underwriter and Distributor of Securities Products One State Farm Plaza Bloomington, Illinois 61710-0001 1-800-447-0740 1-309-766-2029 ------------------------------ Not . No Bank Guarantee FDIC . May Lose Value Insured ------------------------------ ================================================================================ 190-4049.3-CH REV 01-2002 Printed in U.S.A.