N-30D 1 g68304n-30d.txt INDEX 1 [GRAPHIC: HAND WITH PUZZLE PIECES] Nations LargeCap Index Fund Nations Managed Index Fund Nations MidCap Index Fund Nations SmallCap Index Fund INDEX FUNDS ANNUAL REPORT FOR THE YEAR ENDED MARCH 31, 2001 [NATIONS FUNDS LOGO] 2 This Report is submitted for the general information of shareholders of Nations Funds. This material must be preceded or accompanied by a current Nations Funds prospectus. Nations Funds distributor: Stephens Inc., which is not affiliated with Bank of America N.A., is not a bank, and securities offered by it are not guaranteed by any bank or insured by the FDIC. Stephens Inc., member NYSE, SIPC. Nations Funds Investment adviser: Banc of America Advisors, Inc. NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE 3 PRESIDENTS' MESSAGE Dear Shareholder: The 12-month period ending March 31, 2001 marked one of the most difficult periods for investors in recent memory. As an investor, you've probably asked yourself many times over "When will it end?" The U.S. stock market has taken investors on a very wild ride during the past year and, more so, during the first quarter of 2001. After reaching all-time highs in early 2000, each of the three major stock market indexes -- the Dow Jones Industrial Average, Standard & Poor's 500 Composite Stock Price Index (S&P 500) and Nasdaq Composite Index (Nasdaq)(1) -- all ended the year 2000 in negative territory. To make matters worse, after some modest gains in January 2001, each of these indexes declined to levels not seen since 1998. It was the first time in a long time that both the S&P 500 and Nasdaq entered bear market territory -- defined by a loss of more than 20% from an index's 52-week high. International stock markets also felt the impact of the U.S. economic slowdown. The year 2000 marked the first time since 1992 that international stocks -- represented by the Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index(2) -- finished the year in the minus column, down 14%. Bond investors were the only group to have anything to cheer about, as bonds -- represented by the Lehman Aggregate Bond Index(3) -- ended 2000 ahead of the S&P 500 by more than 20%. Not only that, it was the first time in a decade that bonds outperformed stocks. Now more than ever we need to be reminded of the fact that investing generally is a long-term proposition -- one that requires patience and perseverance during volatile times. With that long-term view in mind, here are some points to note. DOWNTURNS CAN ALSO EQUAL OPPORTUNITY While many stocks were flying high in 1999 and 2000, especially in the technology sector, several Wall Street experts were warning that many of these stocks were overvalued. This warning has now come to fruition, as many of these high-flying growth stocks of yesterday now appear to be today's value opportunities. We've always been told to "buy low" and now may be a good opportunity to buy some of the most widely regarded companies in corporate America at a discount. DIVERSIFICATION IS KEY A carefully selected portfolio of stocks, bonds and money market instruments is a sensible way to reduce some of the risk associated with investing. Since different investments respond differently to the same economic conditions, we believe it makes even more sense to maintain a diversified portfolio through uncertain times. It's times like these that can prove the effectiveness of asset allocation. (1)The Dow Jones Industrial Average is a price-weighted index of 30 of the largest, most widely held stocks traded on the New York Stock Exchange. The Standard & Poor's 500 Composite Stock Price Index is an index consisting of 500 widely held common stocks. The Nasdaq Composite Index tracks the performance of domestic common stocks traded on the regular Nasdaq market as well as National Market System traded foreign stocks and ADRs. All indexes are unmanaged and unavailable for investment. (2)The Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index is an unmanaged, capitalization-weighted index consisting of securities listed on exchanges in European, Australasian and Far Eastern markets. It is unavailable for investment. (3)The Lehman Aggregate Bond Index is an unmanaged index composed of the Government/Corporate Bond Index, the Asset-Backed Securities Index and the Mortgage-Backed Securities Index, and includes U.S. Treasury issues, agency issues, corporate bond issues and mortgage-backed issues. It includes reinvestment of dividends and is unavailable for investment. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 4 PRESIDENTS' MESSAGE CONTINUED... BRIGHTER DAYS MAY BE AHEAD The U.S. economy has been slowing down and we think it will continue to do so for the near future. In addition, the markets will continue to be rocked by reports of lower corporate earnings. However, the Federal Reserve Board has done its part in aiding the economy by reducing interest rates aggressively this year. The markets react to this sort of news almost instantly, but it's important to note that rate cuts take time to have a lasting effect on the economy -- some times up to four quarters before any real impact can be measured. Please read through your report to see what your Managers of Distinction have to say about the markets, the economy and how your investment in Nation Funds has fared over the past 12 months. We encourage you to then have a conversation with your investment professional to discuss how you can take advantage of the current market environment as it relates to your long-term investment goals. We remain committed to providing you with world-class investment management and competitive products to help you reach your long-term goals. Should you have any questions or comments on your annual report, please contact your investment professional or call us at 1.800.321.7854. You can also visit us online at www.nations-funds.com. Thank you for being a part of the Nations Funds family. Sincerely, /s/ A. Max Walker A. MAX WALKER PRESIDENT AND CHAIRMAN OF THE BOARD NATIONS FUNDS /S/ ROBERT H. GORDON ROBERT H. GORDON PRESIDENT BANC OF AMERICA ADVISORS, INC. March 31, 2001 5 TABLE OF CONTENTS ECONOMIC OVERVIEW 3 PORTFOLIO COMMENTARY Nations LargeCap Index Fund 5 Nations Managed Index Fund 8 Nations MidCap Index Fund 12 Nations SmallCap Index Fund 15 FINANCIAL STATEMENTS Statements of net assets 19 Statements of operations 45 Statements of changes in net assets 46 Schedules of capital stock activity 48 Financial highlights 52 Notes to financial statements 60
------------------------------------------------------------------------------ NATIONS FUNDS RECOGNIZED FOR [DALBAR LOGO] OUTSTANDING INTERMEDIARY AND DALBAR, Inc., is a well-respected SHAREHOLDER SERVICE research firm that measures customer service levels and IN RECOGNITION OF ITS COMMITMENT TO establishes benchmarks in the PROVIDE INVESTMENT PROFESSIONALS financial services industry. AND SHAREHOLDERS WITH THE HIGHEST LEVEL OF SERVICE IN THE MUTUAL FUND INDUSTRY, NATIONS FUNDS RECEIVED BOTH THE DALBAR INTERMEDIARY SERVICE AWARD AND MUTUAL FUND SERVICE AWARD IN 2000. ------------------------------------------------------------------------------
"Standard & Poor's" and "Standard & Poor's 500" are trademarks of The McGraw-Hill Companies, Inc. 6 [This page intentionally left blank.] 7 ECONOMIC OVERVIEW BANC OF AMERICA CAPITAL MANAGEMENT* THE YEAR IN REVIEW The U.S. economy slowed dramatically in the year ended March 31, 2001, which weighed heavily on corporate profit performance and stock prices. The pendulum in the equity market swung from euphoria to pessimism, with hard-hit technology stocks responsible for much of the pull. Conversely, the fixed-income market recorded impressive gains, as weary investors scrambled for the security and liquidity of bonds. The stock market's performance during the past year was hardly uniform. The Standard & Poor's 500 Composite Stock Price Index** suffered a 22% loss in total return over the 12-month period, while the tech-heavy Nasdaq Composite Index*** plummeted 60%. Value strategies generally trumped growth approaches, reversing the trend of the past four years and highlighting the importance of diversification. While the broad market suffered a setback over the past year, investors achieved double-digit rates of return in several sectors, including utilities, transportation, consumer staples, health care and financial services. The energy sector also yielded a positive return. Joining the technology sector in the red were basic materials, capital goods, consumer cyclicals and communications. Fixed-income products provided a safe haven for investors, as slowing economic activity, interest-rate cuts by the Federal Reserve Board, and a strong U.S. dollar drove bond prices higher. Both U.S. Treasury securities and corporate bonds delivered double-digit returns to their holders in the 12 months ending March 31, 2001. The performance of the U.S. economy provided the backdrop for this rapid change in market sentiment. U.S. real GDP (gross domestic product) growth skidded from an explosive 8% at the end of 1999 to a mere 1% at the close of 2000. Three primary forces caused the slowdown: the Fed's aggressive tightening of interest rates to contain inflationary pressures; a sharp run-up in energy prices; and a rapid response by companies to control inventories amidst slowing consumer demand. As 2001 began, companies started to pare back earnings expectations, leaving investors questioning when a turning point might appear. The abrupt slowdown in the economy caught everyone, even the Federal Reserve, by surprise. To arrest a possible slide into recession, U.S. monetary policymakers slashed interest rates by a full 150 basis points -- or one and one-half percent -- in the first quarter of 2001.+ Other interest rates had already started to fall in anticipation of these reductions and in response to weaker growth. The yield on 10- *Banc of America Capital Management is the investment management group of Bank of America, N.A. and includes Banc of America Capital Management, Inc., investment sub-adviser to many Nations Funds, and other non-bank affiliates of Bank of America. **The Standard & Poor's 500 Composite Stock Price Index is a market-capitalization weighted index that measures the market value of 400 industrial stocks, 60 transportation and utility company stocks and 40 financial issues. It is unmanaged and unavailable for investment. ***The Nasdaq Composite Index tracks the performance of domestic common stocks traded on the regular Nasdaq market as well as National Market System traded foreign stocks and ADRs. It is unmanaged and unavailable for investment. +Since March 31, 2001, the Federal Reserve Board reduced the Federal Funds rate by 1.00%. Source for all statistical data -- Banc of America Capital Management, Inc. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 3 8 ECONOMIC OVERVIEW CONTINUED... year Treasury notes plummeted to less than 5.00% in March 2001 from around 6.25% a year earlier. The tight linkages among various countries and the dominance of U.S. multinational companies have caused the effects of the U.S. economic slowdown to be felt worldwide. The capital markets in Asia, Europe and Latin America have all reflected the weakening demand from U.S. consumers and businesses. The world has managed to escape a global economic crisis during the past year, however, despite a major devaluation by Turkey, a recession in Argentina and growing weakness in Japan. Meanwhile, the ongoing strength of the U.S. dollar has reflected global investors' confidence in the long-term prospects of the U.S. economy. THE YEAR AHEAD As the second quarter of 2001 began, questions persisted as to whether the U.S. economy was headed for recession. While the manufacturing sector experienced a severe decline, with weakness spreading to other areas, housing remained strong and auto sales have performed better than expected. Some of the key forces causing the economic weakness have also, at least partially, reversed course. Monetary policy has shifted to an active easing, crude oil and natural gas prices have receded from their highs, and the inventory correction is well underway. While it appears that a recession may still be avoided, significant risks persist. Concerns about the job market could cause consumers to be more frugal; companies could make aggressive cuts in capital spending or global weakness could intensify. Nevertheless, in our view, the U.S. economy should be able to recover by the end of 2001. Look for inflation to remain relatively subdued, which will be welcome news for investors. Although the current slowdown may temper near-term productivity performance, we believe longer-term trends will remain favorable. U.S. economic policy should work to help restore better growth rates. The Federal Reserve Board can be expected to reduce interest rates until the economy shows clear signs of stabilizing. Proposed tax cuts should provide some relief to consumers and businesses. We anticipate corporate profit numbers to be extremely weak in the first half of 2001, but look forward to better numbers late in the year and into 2002. The stock market may begin to reflect better expectations well before they actually materialize. On balance, the transition of a $10 trillion U.S. economy from a track of extremely rapid to more sustainable growth has been treacherous. However, we look for better news to unfold over the next 12 months. Investors who are diversified and retain a long-term investment horizon may find a number of rewarding opportunities in the coming year. LYNN REASER, PH.D. CHIEF ECONOMIST AND SENIOR MARKET STRATEGIST BANC OF AMERICA CAPITAL MANAGEMENT March 31, 2001 4 9 NATIONS LARGECAP INDEX FUND QUANTITATIVE STRATEGIES TEAM COMMENTARY* IN THE FOLLOWING INTERVIEW, THE TEAM SHARES ITS VIEWS ON NATIONS LARGECAP INDEX FUND'S PERFORMANCE FOR THE 12-MONTH PERIOD ENDED MARCH 31, 2001 AND ITS OUTLOOK FOR THE FUTURE. PORTFOLIO MANAGEMENT PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY. The Fund is managed by the The Fund normally invests in the stocks that comprise the Quantitative Strategies Team of S&P 500 Index, an unmanaged market-capitalization-weighted Banc of America Capital index consisting of 500 common stocks chosen for market Management, Inc., investment size, liquidity and industry group representation. sub-adviser to the Fund. HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT INVESTMENT OBJECTIVE PREVAILED OVER THE PAST 12 MONTHS? The Fund seeks investment results Nations LargeCap Index Fund (Investor A Shares) sought to that (before fees and expenses) track the S&P 500 Index for the 12 months ending March 31, correspond to the total return of 2001, returning -22.18%, while the S&P 500 Index returned the Standard & Poor's 500 -21.67%. The stock market performed poorly during the Composite Stock Price Index (S&P 12-month period, driven by rising energy prices, a tightened 500 Index).** interest rate environment for the better part of the year PERFORMANCE REVIEW and slowing economic growth. Many large-capitalization For the 12-month period ended stocks with high earnings expectations, particularly in the March 31, 2001, Nations LargeCap technology and communications services, were performance Index Fund Investor A Shares losers. Traditional safe havens such as utilities, consumer provided shareholders with a total staples and health care generally performed well. return of -22.18%.*** WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED UNFAVORABLE?+ Technology and communications provided the bulk of the market's weakness during the year, plummeting approximately 60% and 35%, respectively, while the capital goods and retailing sectors declined about 10% each. Utilities advanced well over 50%, while transportation and consumer staples were up more than 20%. The health care and finance sectors also advanced more than 10% each. Portfolio results mirrored the benchmark as one would expect. WHAT DO YOU ANTICIPATE FOR THE COMING YEAR? Last year we stated, "After five years of 20% market gains though, we would not be surprised to see lower returns in the coming 12-month period." Now, however, we believe we are somewhere in the "second half" of a broad revaluation of stock prices and economic fundamentals. The Federal Reserve Board is tuned to the economy and has been easing interest rates. In this environment, we would not be surprised to see positive returns in the coming 12-month period. However, we do not anticipate the spectacular gains we experienced the last five years of the decade.
*The outlook for this Fund may differ from that presented for other Nations Funds mutual funds. **The Standard & Poor's 500 Composite Stock Price Index is a market-capitalization weighted index that measures the market value of 400 industrial stocks, 60 transportation and utility company stocks and 40 financial issues. It is unmanaged and unavailable for investment. ***The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service provider, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. +Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Source for all statistical data -- Banc of America Capital Management, Inc. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 5 10 NATIONS LARGECAP INDEX FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/01) [PIE CHART] Broadcasting and cable 3.7 Semiconductors 3.9 Insurance 4.2 Software 4.5 Computers and office equipment 4.9 Diversified manufacturing 5.1 Integrated oil 5.6 Telecommunications services 6.1 Commercial banking 8.7 Pharmaceuticals 9.2 Other 44.1
TOP 10 HOLDINGS ------------------------------------------------- 1 General Electric Company 3.9% ------------------------------------------------- 2 Microsoft Corporation 2.8% ------------------------------------------------- 3 Exxon Mobil Corporation 2.7% ------------------------------------------------- 4 Pfizer Inc. 2.4% ------------------------------------------------- 5 Citigroup Inc. 2.1% ------------------------------------------------- 6 Wal-Mart Stores, Inc. 2.1% ------------------------------------------------- 7 American International Group, Inc. 1.8% ------------------------------------------------- 8 Intel Corporation 1.7% ------------------------------------------------- 9 Merck & Company, Inc. 1.7% ------------------------------------------------- 10 AOL Time Warner Inc. 1.6% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND SECURITIES IN WHICH THE FUND MAY INVEST.
PORTFOLIO HOLDINGS WERE CURRENT AS OF MARCH 31, 2001, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 6 11 NATIONS LARGECAP INDEX FUND PERFORMANCE GROWTH OF A $10,000 INVESTMENT AVERAGE ANNUAL TOTAL RETURN Investor A Shares
SINCE INCEPTION (10/10/95 through 3/31/01) 14.69%
The chart to the left shows the growth in value of a hypothetical $10,000 investment in Investor A Shares of Nations LargeCap Index Fund from the inception of the share class. Figures for the Standard & Poor's 500 Composite Stock Price Index (Standard & Poor's 500 Index), a market-capitalization weighted index that measures the market value of 400 industrial stocks, 60 transportation and utility company stocks, and 40 financial issues, include reinvestment of dividends. Funds in the Lipper S&P 500 Index Funds Average are passively managed, limited-expense funds designed to replicate the performance of the S&P 500 on a reinvested basis. It is not possible to invest in the Index or Lipper Average. [CHART LEGEND] [INVESTOR A SHARES RETURN CHART]
NATIONS LARGE CAP|INDEX STANDARD|& POOR'S|500 LIPPER|S&P FUND INDEX 500|FUNDS|UNIVERSE ----------------------- --------------------- -------------------------- Oct. 10|1995 10000.00 10000.00 10000.00 1995 10710.00 10617.00 10603.00 11267.00 11187.00 11160.00 11755.00 11689.00 11646.00 12092.00 12051.00 11991.00 1996 13091.00 13054.00 12974.00 13414.00 13404.00 13301.00 15735.00 15746.00 15597.00 16893.00 16924.00 16740.00 1997 17285.00 17410.00 17196.00 19662.00 19838.00 19563.00 20291.00 20493.00 20185.00 18276.00 18454.00 18169.00 1998 22136.00 22384.00 22023.00 23201.00 23501.00 23077.00 24794.00 25158.00 24658.00 23215.00 23586.00 23090.00 1999 26639.00 27096.00 26477.00 27220.00 27716.00 27041.00 26451.00 26979.00 26260.00 26155.00 26717.00 25984.00 2000 24080.00 24628.00 23942.00 Mar. 31|2001 21180.00 21709.00 21085.00
TOTAL RETURN (AS OF 3/31/01)
PRIMARY A INVESTOR A Inception date 12/15/93 10/10/95 -------------------------------------------------------------------------------------------------- 1 YEAR PERFORMANCE -21.94% -22.18% -------------------------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS 3 YEARS 2.77% 2.51% 5 YEARS 13.82% 13.46% SINCE INCEPTION 15.19% 14.69%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are historical in nature and measure net investment income and capital gain or loss from portfolio investments assuming reinvestment of distributions. The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. 7 12 NATIONS MANAGED INDEX FUND QUANTITATIVE STRATEGIES TEAM COMMENTARY* IN THE FOLLOWING INTERVIEW, THE TEAM SHARES ITS VIEWS ON NATIONS MANAGED INDEX FUND'S PERFORMANCE FOR THE 12-MONTH PERIOD ENDED MARCH 31, 2001 AND ITS OUTLOOK FOR THE FUTURE. PORTFOLIO MANAGEMENT PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY. The Fund is managed by the Unlike traditional index funds, Nations Managed Index Fund Quantitative Strategies Team of is an active, quantitatively managed product. We believe Banc of America Capital that maximizing exposure to attractive securities, while Management, Inc., investment simultaneously and carefully seeking to control portfolio sub-adviser to the Fund. risk to maintain the characteristics of the S&P 500 Index, INVESTMENT OBJECTIVE will provide investors with the potential for positive The Fund seeks, over the long incremental performance relative to the benchmark index. In term, to provide a total return addition, the Fund employs various techniques to manage that (before fees and expenses) capital gains distributions. exceeds the total return of the HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT Standard & Poor's 500 Composite PREVAILED OVER THE PAST 12 MONTHS?+ Stock Price Index (S&P 500 The Fund (Investor A Shares) sought to track the benchmark Index).** S&P 500 Index returning -21.75% over a 12-month period that PERFORMANCE REVIEW was characterized by significant volatility and a For the 12-month period ended deteriorating investment environment. Enhancements early in March 31, 2001, Nations Managed the year related to risk control and adjustments to the Index Fund Investor A Shares stock selection model began to prove beneficial. provided shareholders with a total The S&P 500 Index performed poorly during the 12-month return of -21.75%.*** period, returning -21.67%, driven by rising energy prices, a tightened interest rate environment for a better part of the year and slowing economic growth. Many large-capitalization stocks with high earnings expectations, particularly in the technology and communications services, were performance losers. Traditional safe havens such as utilities, consumer staples and health care generally performed well. PLEASE DESCRIBE THE INVESTMENT PROCESS. The stock selection process uses quantitative analysis to determine the attractiveness of each stock. The stock selection process is predicated on a proprietary adaptive model that seeks to observe and predict investor behavior. A variety of factors traditionally classified as value, growth, price momentum, earnings momentum and others are dynamically evaluated to arrive at those believed to be most useful and reflective of investor behavior. The process may from time to time employ opportunistic models. The team believes stock market inefficiencies exist which can be identified and exploited, such as merger and acquisition activity involving stock or cash transactions.
*The outlook for this Fund may differ from that presented for other Nations Funds mutual funds. **The Standard & Poor's 500 Composite Stock Price Index is a market-capitalization weighted index that measures the market value of 400 industrial stocks, 60 transportation and utility company stocks and 40 financial issues. It is unmanaged and unavailable for investment. ***The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. +Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Source for all statistical data -- Banc of America Capital Management, Inc. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 8 13 NATIONS MANAGED INDEX FUND QUANTITATIVE STRATEGIES TEAM COMMENTARY continued All stocks are evaluated by the model(s) and the most attractive stocks are added -- subject to risk management mechanisms, which are designed to mute sector, size and style bias. This strategy is designed to produce a portfolio whose aggregate characteristics closely resemble the benchmark while maximizing exposure to those attributes believed to be indicative of superior performance. Stock selection is anticipated to be the primary driver of returns that exceed the return of the S&P 500 Index. Secondarily, the team also seeks to minimize the distribution of capital gains to shareholders. The Fund employs the "highest in, first out" (HIFO) accounting methodology. This strategy permits, when "trimming" Fund holdings of a security, the sale of specific shares with the highest tax basis first to reduce the amount of the realized capital gain. In addition, the team may practice tax-loss harvesting++ to offset realized gains with losses. This strategy can reduce the cumulative taxable gain of the Fund. WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED UNFAVORABLE? The Fund's slightly over-weighted position in consumer staples and stock selection within consumer staples (principally in the tobacco industry), communications, capital goods, health care and consumer cyclicals provided positive contributions to performance. Stock selection was weak in utilities, energy and retailing. WHAT DO YOU ANTICIPATE FOR THE COMING YEAR? Last year we stated, "After five years of 20% market gains though, we would not be surprised to see lower returns in the coming 12-month period." Now, however, we believe we are somewhere in the "second half" of a broad revaluation of stock prices and economic fundamentals. The Federal Reserve Board is attuned to the economy and has been easing interest rates. In this environment, we would not be surprised to see positive returns in the coming 12-month period -- but not the 20% market gains we experienced the last five years of the decade. ++Tax-loss harvesting is a method whereby a mutual fund may, at times, sell portfolio securities in order to realize capital losses.
9 14 NATIONS MANAGED INDEX FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/01) [PIE CHART] 4.0% Diversified manufacturing 4.0% Broadcasting and cable 4.0% Insurance 4.0% Semiconductors 4.4% Software 4.9% Integrated oil 5.0% Computers and office equipment 5.8% Telecommunications services 8.2% Commercial banking 8.3% Pharmaceuticals 47.4% Other
TOP 10 HOLDINGS ------------------------------------------------- 1 Pfizer Inc. 2.9% ------------------------------------------------- 2 General Electric Company 2.7% ------------------------------------------------- 3 Exxon Mobil Corporation 2.4% ------------------------------------------------- 4 Microsoft Corporation 2.4% ------------------------------------------------- 5 Citigroup Inc. 2.3% ------------------------------------------------- 6 Wal-Mart Stores, Inc. 2.3% ------------------------------------------------- 7 Merck & Company, Inc. 2.0% ------------------------------------------------- 8 SBC Communications Inc. 1.9% ------------------------------------------------- 9 International Business Machines Corporation 1.8% ------------------------------------------------- 10 AOL Time Warner Inc. 1.6% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND SECURITIES IN WHICH THE FUND MAY INVEST.
PORTFOLIO HOLDINGS WERE CURRENT AS OF MARCH 31, 2001, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 10 15 NATIONS MANAGED INDEX FUND PERFORMANCE GROWTH OF A $10,000 INVESTMENT AVERAGE ANNUAL TOTAL RETURN Investor A Shares
SINCE INCEPTION (7/31/96 through 3/31/01) 13.83%
The chart to the left shows the growth in value of a hypothetical $10,000 investment in Investor A Shares of Nations Managed Index Fund from the inception of the share class. Figures for the Standard & Poor's 500 Composite Stock Price Index (Standard & Poor's 500 Index), a market-capitalization weighted index that measures the market value of 400 industrial stocks, 60 transportation and utility company stocks, and 40 financial issues, include reinvestment of dividends. It is unavailable for investment. The performance of Primary A and Primary B Shares may vary based on the differences in fees paid by the shareholders investing in each class. [INVESTOR A SHARES RETURN CHART] [CHART LEGEND]
NATIONS MANAGED INDEX FUND STANDARD & POOR'S 500 INDEX -------------------------- --------------------------- July 31 1996 10000.00 10000.00 10744.00 10786.00 11695.00 11684.00 1997 12013.00 11998.00 14049.00 14094.00 15231.00 15148.00 15578.00 15583.00 1998 17686.00 17756.00 18221.00 18342.00 16277.00 16517.00 19681.00 20035.00 1999 20334.00 21035.00 21707.00 22518.00 20226.00 21111.00 23106.00 24252.00 2000 23391.00 24807.00 22768.00 24148.00 22441.00 23913.00 20528.00 22043.00 Mar. 31 2001 18302.00 19341.00
TOTAL RETURN (AS OF 3/31/01)
PRIMARY A PRIMARY B INVESTOR A Inception date 7/31/96 9/4/97 7/31/96 ------------------------------------------------------------------------------------------------------------------ 1 YEAR PERFORMANCE -21.49% -21.90% -21.75% ------------------------------------------------------------------------------------------------------------------ AVERAGE ANNUAL RETURNS 3 YEARS 1.43% 1.15% 1.15% SINCE INCEPTION 14.11% 5.81% 13.83%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are historical in nature and measure net investment income and capital gain or loss from portfolio investments assuming reinvestment of distributions. The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. 11 16 NATIONS MIDCAP INDEX FUND QUANTITATIVE STRATEGIES TEAM COMMENTARY* IN THE FOLLOWING INTERVIEW, THE TEAM SHARES ITS VIEWS ON NATIONS MIDCAP INDEX FUND'S PERFORMANCE FOR THE PERIOD ENDED MARCH 31, 2001 AND ITS OUTLOOK FOR THE FUTURE. PORTFOLIO MANAGEMENT PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY. The Fund is managed by the The Fund normally invests in the stocks that comprise the Quantitative Strategies Team of S&P MidCap 400 Index, and seeks to replicate the performance Banc of America Capital of the Index. Management, Inc., investment HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT sub-adviser to the Fund. PREVAILED OVER THE PAST 12 MONTHS?+ INVESTMENT OBJECTIVE Nations MidCap Index Fund (Investor A Shares) sought to The Fund seeks investment results track the S&P MidCap 400 Index from the Fund's inception to that (before fees and expenses) the period ending March 31, 2001, returning -2.84%, while correspond to the total return of the S&P MidCap 400 Index returned -2.37%. The mid-cap market the Standard & Poor's MidCap 400 performed relatively well versus the larger Standard & Index (S&P MidCap 400 Index).** Poor's 500 Composite Stock Price Index++, but still PERFORMANCE REVIEW generated a negative return over the 12-month period. The From inception on May 31, 2000 to disappointing index results were a consequence of rising the period ended March 31, 2001, energy prices, a tightened interest rate environment for a Nations MidCap Index Fund Investor better part of the year and slowing economic growth. Many A Shares provided shareholders stocks with high earnings expectations, particularly in the with a total return of -2.84%.*** technology and communications services, were performance losers. Traditional "safe havens" such as utilities, consumer staples and health care generally performed well. WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED UNFAVORABLE?+ Consumer staples were up more than 30%. The energy and finance sectors also advanced close to 20% each. Portfolio results generally mirrored the benchmark. Technology and communications on the other hand provided the bulk of the market's weakness during the year, plummeting approximately 40% and 25% respectively, while capital goods declined about 10%. WHAT DO YOU ANTICIPATE FOR THE COMING YEAR? We believe we are somewhere in the "second half" of a broad revaluation of stock prices and economic fundamentals. The Federal Reserve Board is attuned to the economy and has been easing interest rates. In this environment, we would not be surprised to see positive returns in the coming 12-month period -- but not the 20% market gains we experienced the last five years of the decade.
*The outlook for this Fund may differ from that presented for other Nations Funds mutual funds. **The Standard & Poor's MidCap 400 Index is a market-value weighted index that measures the market value of 400 domestic stocks chosen for market size, liquidity and industry representation. It is unmanaged and unavailable for investment. ***The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. +Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. ++The Standard & Poor's 500 Composite Stock Price Index is a market-capitalization weighted index that measures the market value of 400 industrial stocks, 60 transportation and utility company stocks and 40 financial issues. It is unmanaged and unavailable for investment. Source for all statistical data -- Banc of America Capital Management, Inc. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 12 17 NATIONS MIDCAP INDEX FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/01) [PIE CHART] 3.3% Specialty stores 3.6% Insurance 3.7% Electric power - Non nuclear 4.4% Commercial services 4.8% Health services 5.1% Oilfield services 6.3% Semiconductors 6.3% Pharmaceuticals 6.3% Software 9.1% Commercial banking 47.1% Other
TOP 10 HOLDINGS ------------------------------------------------- 1 Genzyme Corporation 1.1% ------------------------------------------------- 2 Electronic Arts Inc. 0.9% ------------------------------------------------- 3 M&T Bank Corporation 0.9% ------------------------------------------------- 4 Sungard Data Systems, Inc. 0.8% ------------------------------------------------- 5 Millennium Pharmaceuticals, Inc. 0.8% ------------------------------------------------- 6 DST Systems, Inc. 0.8% ------------------------------------------------- 7 Waters Corporation 0.8% ------------------------------------------------- 8 BJ Services Company 0.7% ------------------------------------------------- 9 IDEC Pharmaceuticals Corporation 0.7% ------------------------------------------------- 10 R. J. Reynolds Tobacco Holdings, Inc. 0.7% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND SECURITIES IN WHICH THE FUND MAY INVEST.
PORTFOLIO HOLDINGS WERE CURRENT AS OF MARCH 31, 2001, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 13 18 NATIONS MIDCAP INDEX FUND PERFORMANCE GROWTH OF A $10,000 INVESTMENT [INVESTOR A SHARES RETURN CHART]
STANDARD & POOR'S MIDCAP LIPPER MID-CAP CORE FUNDS NATIONS MIDCAP INDEX FUND 400 INDEX AVERAGE ------------------------- ------------------------ ------------------------- May 31 2000 10000 10000 10000 10136 10143 10823 11368 11375 11610 2000 10909 10937 10653 Mar. 31 2001 9716 9759 9503
CUMULATIVE TOTAL RETURN Investor A Shares
SINCE INCEPTION (5/31/00 through 3/31/01) -2.84%
The chart to the left shows the growth in value of a hypothetical $10,000 investment in Investor A Shares of Nations MidCap Index Fund from the inception of the share class. Figures for the Standard & Poor's MidCap 400 Index, a market-value weighted index that measures the market value of 400 domestic stocks chosen for market size, liquidity and industry representation, include reinvestment of dividends. Funds in the Lipper Mid-Cap Core Funds Average invest at least 75% of their equity assets in companies with market capitalizations of less than 300% of the median market capitalization of the S&P MidCap 400 Index. The Index and Lipper average are unavailable for investment. The performance of Primary A Shares may vary based on the differences in fees paid by the shareholders investing in each class. [CHART LEGEND] TOTAL RETURN (AS OF 3/31/01)
PRIMARY A INVESTOR A Inception date 3/31/00 5/31/00 ------------------------------------------------------------------------------------------- 1 YEAR PERFORMANCE -7.27% ------------------------------------------------------------------------------------------- CUMULATIVE RETURNS SINCE INCEPTION -7.27% -2.84%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are historical in nature and measure net investment income and capital gain or loss from portfolio investments assuming reinvestment of distributions. The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. 14 19 NATIONS SMALLCAP INDEX FUND (FORMERLY KNOWN AS NATIONS MANAGED SMALLCAP INDEX FUND) QUANTITATIVE STRATEGIES TEAM COMMENTARY* IN THE FOLLOWING INTERVIEW, THE TEAM SHARES ITS VIEWS ON NATIONS SMALLCAP INDEX FUND'S PERFORMANCE FOR THE 12-MONTH PERIOD ENDED MARCH 31, 2001 AND ITS OUTLOOK FOR THE FUTURE. PORTFOLIO MANAGEMENT PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY. The Fund is managed by the The Fund normally invests in the stocks that comprise the Quantitative Strategies Team of S&P SmallCap 600 Index. Banc of America Capital HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT Management, Inc., investment PREVAILED OVER THE PAST 12 MONTHS?+ sub-adviser to the Fund. Nations SmallCap Index Fund (Investor A Shares) sought to INVESTMENT OBJECTIVE track the S&P SmallCap 600 Index for the 12 months ending The Fund seeks investment results March 31, 2001, returning -2.06%, while the index returned that (before fees and expenses) -1.28%. The small-cap market performed much better than the correspond to the total return of broad market represented by the Standard & Poor's 500 the Standard & Poor's SmallCap 600 Composite Stock Price Index++, but was down slightly during Index (S&P SmallCap 600 Index).** the 12-month period. PERFORMANCE REVIEW Negative returns were a result of rising energy prices, a For the 12-month period ended tightened interest rate environment for a better part of the March 31, 2001, Nations SmallCap year and slowing economic growth. Many stocks with high Index Fund Investor A Shares earnings expectations, particularly in the technology and provided shareholders with a total communications services, were performance losers. return of -2.06%.*** Traditional safe havens such as utilities, consumer staples and health care generally performed well.
*The outlook for this Fund may differ from that presented for other Nations Funds mutual funds. **The Standard & Poor's SmallCap 600 Index is an unmanaged market-capitalization-weighted index consisting of 600 common stocks that capture the economic and industry characteristics of small-company stock performance. It is not available for investment. ***The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. +Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. ++The Standard & Poor's 500 Composite Stock Price Index is a market-capitalization weighted index that measures the market value of 400 industrial stocks, 60 transportation and utility company stocks and 40 financial issues. It is unmanaged and unavailable for investment. Prior to May 12, 2000, Nations SmallCap Index Fund had a different name, investment objective and principal investment strategies. Source for all statistical data -- Banc of America Capital Management, Inc. BECAUSE SMALL COMPANIES HAVE NARROWER MARKETS, LIMITED FINANCIAL RESOURCES, AND THEIR STOCKS ARE NOT AS WIDELY TRADED AS LARGE COMPANY STOCKS, THEIR SHARE PRICES MAY BE MORE VOLATILE. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 15 20 NATIONS SMALLCAP INDEX FUND (FORMERLY KNOWN AS NATIONS MANAGED SMALLCAP INDEX FUND) QUANTITATIVE STRATEGIES TEAM COMMENTARY continued WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED UNFAVORABLE? Technology and communications provided the bulk of the market's weakness during the year, plummeting approximately 40% and 45%, respectively, while capital goods declined about 10%. The finance and utility sectors, on the other hand, were up about 35% each. The health care and consumer staples sectors also advanced close to 30% each. WHAT DO YOU ANTICIPATE FOR THE COMING YEAR? We believe we are somewhere in the "second half" of a broad revaluation of stock prices and economic fundamentals. The Federal Reserve Board seems to be tuned to the economy and has been easing interest rates. In this environment, we would not be surprised to see positive returns in the coming 12-month period -- but not the spectacular gains we experienced the last five years of the decade.
16 21 NATIONS SMALLCAP INDEX FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/01) [PIE CHART] 7.5% Commercial banking 5.9% Medical devices and supplies 5.7% Integrated oil 5.1% Specialty stores 4.8% Semiconductors 4.6% Health services 3.9% Commercial services 3.4% Software 3.3% Diversified manufacturing 3.1% Diversified electronics 52.7% Other
TOP 10 HOLDINGS ------------------------------------------------- 1 Universal Health Services, Inc., Class B 0.8% ------------------------------------------------- 2 Eaton Vance Corporation 0.7% ------------------------------------------------- 3 Patterson Dental Company 0.6% ------------------------------------------------- 4 Fidelity National Financial, Inc. 0.6% ------------------------------------------------- 5 Timberland Company, Class A 0.6% ------------------------------------------------- 6 Varian Medical Systems, Inc. 0.6% ------------------------------------------------- 7 Cephalon, Inc. 0.6% ------------------------------------------------- 8 Barrett Resources Corporation 0.6% ------------------------------------------------- 9 Centura Banks Inc. 0.6% ------------------------------------------------- 10 The Shaw Group Inc. 0.6% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND SECURITIES IN WHICH THE FUND MAY INVEST.
PORTFOLIO HOLDINGS WERE CURRENT AS OF MARCH 31, 2001, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 17 22 NATIONS SMALLCAP INDEX FUND PERFORMANCE GROWTH OF A $10,000 INVESTMENT AVERAGE ANNUAL TOTAL RETURN Investor A Shares
SINCE INCEPTION (10/15/96 through 3/31/01) 7.55%
The chart to the left shows the growth in value of a hypothetical $10,000 investment in Investor A Shares of Nations SmallCap Index Fund from the inception of the share class. Figures for the Standard & Poor's SmallCap 600 Index, an unmanaged market-capitalization- weighted index consisting of 600 common stocks that capture the economic and industry characteristics of small-company stock performance, include reinvestment of dividends. It is unavailable for investment. The performance of Primary A Shares may vary based on the differences in fees paid by the shareholders investing in each class. [INVESTOR A SHARES RETURN CHART] [CHART LEGEND]
NATIONS MANAGED SMALLCAP INDEX STANDARD & POOR'S SMALLCAP 600 FUND INDEX ------------------------------ ------------------------------ Oct. 15 1996 9675 10000 1996 9782 10433 10246 9854 10523 11640 10847 13522 1997 10820 13104 10511 14554 10383 13904 10436 10998 1998 10440 12932 11511 11770 13250 13585 12416 12929 1999 13588 14539 14122 15386 14320 15541 14734 16054 2000 14839 16255 Mar. 31 2001 13832 15187
TOTAL RETURN (AS OF 3/31/01)
PRIMARY A INVESTOR A Inception date 10/15/96 10/15/96 --------------------------------------------------------------------------------------------- 1 YEAR PERFORMANCE -1.74% -2.06% --------------------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS 3 YEARS -1.33% -1.59% SINCE INCEPTION 7.83% 7.55%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF FUTURE RESULTS. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are historical in nature and measure net investment income and capital gain or loss from portfolio investments assuming reinvestment of distributions. The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. 18 23 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS MARCH 31, 2001
VALUE SHARES (000) ------------------------------------------------------------ COMMON STOCKS -- 98.1% AEROSPACE AND DEFENSE -- 1.0% 19,875 B.F. Goodrich Company.............. $ 763 161,375 Boeing Company..................... 8,989 38,525 General Dynamics Corporation....... 2,417 83,300 Lockheed Martin Corporation........ 2,970 13,950 Northrop Grumman Corporation....... 1,214 65,950 Raytheon Company, Class B(a)....... 1,938 35,250 Rockwell International Corporation...................... 1,281 24,050 TRW Inc.(a)........................ 818 ---------- 20,390 ---------- AIRLINES -- 0.2% 23,800 Delta Air Lines, Inc. ............. 940 146,575 Southwest Airlines Company......... 2,602 12,950 US Airways Group Inc.++............ 459 ---------- 4,001 ---------- APPAREL AND TEXTILES -- 0.2% 10,025 Liz Claiborne, Inc. ............... 472 7,925 National Service Industries, Inc. ............................ 186 52,150 Nike, Inc., Class B................ 2,115 11,075 Reebok International, Ltd.++....... 275 22,000 V.F. Corporation................... 770 ---------- 3,818 ---------- AUTOMOTIVE -- 1.1% 22,000 AutoZone, Inc.++................... 616 14,025 Cooper Tire & Rubber Company....... 159 28,625 Dana Corporation(a)................ 492 108,250 Delphi Automotive Systems Corporation...................... 1,534 13,250 Eaton Corporation.................. 908 358,550 Ford Motor Company................. 10,082 106,050 General Motors Corporation......... 5,499 33,475 Genuine Parts Company.............. 867 30,700 Goodyear Tire & Rubber Company(a)....................... 732 16,650 Johnson Controls, Inc. ............ 1,040 11,450 Navistar International Corporation++.................... 261 14,775 PACCAR, Inc. ...................... 662 11,250 Snap-On Inc. ...................... 328 25,325 Visteon Corporation................ 381 ---------- 23,561 ---------- BEVERAGES -- 2.2% 7,125 Adolph Coors Company, Class B(a)... 466 174,450 Anheuser-Busch Companies, Inc. .... 8,012 13,250 Brown-Forman Corporation, Class B................................ 821 480,950 Coca-Cola Company?................. 21,720 80,800 Coca-Cola Enterprises Inc. ........ 1,437 279,175 PepsiCo, Inc. ..................... 12,270 ---------- 44,726 ---------- BROADCASTING AND CABLE -- 3.7% 836,850 AOL Time Warner Inc.++............. 33,599 113,075 Clear Channel Communications, Inc.++........................... 6,157 181,650 Comcast Corporation, Class A++..... 7,618 39,925 Univision Communications, Inc., Class A++(a)..................... 1,524 337,350 Viacom Inc., Class B++............. 14,833 402,300 Walt Disney Company................ 11,506 ---------- 75,237 ----------
VALUE SHARES (000) ------------------------------------------------------------ CHEMICALS -- BASIC -- 1.1% 44,300 Air Products and Chemicals, Inc. ............................ $ 1,701 21,350 Avery Dennison Corporation......... 1,111 173,325 Dow Chemical Company............... 5,472 201,700 E.I. duPont de Nemours and Company.......................... 8,209 14,875 Eastman Chemical Company........... 732 24,575 Ecolab, Inc.(a).................... 1,042 5,875 FMC Corporation++.................. 433 20,775 Hercules, Inc. .................... 270 32,550 PPG Industries, Inc.(a)............ 1,500 30,675 Praxair, Inc. ..................... 1,370 42,500 Rohm & Haas Company................ 1,309 ---------- 23,149 ---------- CHEMICALS -- SPECIALTY -- 0.1% 13,475 Ashland Inc. ...................... 517 24,725 Engelhard Corporation.............. 639 9,700 Great Lakes Chemical Corporation... 298 8,950 Millipore Corporation.............. 414 14,925 Sigma-Aldrich Corporation(a)....... 716 ---------- 2,584 ---------- COMMERCIAL BANKING -- 8.7% 72,575 AmSouth Bancorporation............. 1,220 223,600 Banc One Corporation............... 8,090 314,750 Bank of America Corporation>....... 17,233 143,200 Bank of New York Company, Inc. .... 7,051 77,675 BB&T Corporation................... 2,732 40,200 Charter One Financial, Inc. ....... 1,138 971,225 Citigroup Inc.?.................... 43,685 34,250 Comerica Inc. ..................... 2,106 90,025 Fifth Third Bancorp(a)............. 4,811 189,450 First Union Corporation............ 6,252 209,400 FleetBoston Financial Corporation...................... 7,905 30,600 Golden West Financial Corporation...................... 1,986 48,500 Huntington Bancshares Inc. ........ 691 367,925 J.P. Morgan Chase & Company........ 16,520 82,350 KeyCorp............................ 2,125 94,375 Mellon Financial Corporation....... 3,824 117,825 National City Corporation.......... 3,152 26,775 Old Kent Financial Corporation..... 1,017 56,025 PNC Financial Services Group....... 3,796 42,850 Regions Financial Corporation(a)... 1,219 32,750 SouthTrust Corporation............. 1,498 57,275 SunTrust Banks, Inc. .............. 3,711 26,875 Union Planters Corporation......... 1,034 372,675 US Bancorp......................... 8,646 40,525 Wachovia Corporation............... 2,442 112,525 Washington Mutual, Inc. ........... 6,161 330,550 Wells Fargo & Company.............. 16,352 ---------- 176,397 ---------- COMMERCIAL SERVICES -- 0.7% 38,050 Allied Waste Industries, Inc.++.... 597 32,650 Cintas Corporation(a).............. 1,287 23,975 Fiserv, Inc.++..................... 1,073 47,200 Franklin Resources, Inc. .......... 1,846 17,675 H & R Block, Inc. ................. 885 59,500 Interpublic Group of Companies, Inc.(a).......................... 2,044 34,225 Omnicom Group Inc.(a).............. 2,836 22,300 Quintiles Transnational Corporation++(a)................. 421
SEE NOTES TO FINANCIAL STATEMENTS. 19 24 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ------------------------------------------------------------ COMMERCIAL SERVICES -- (CONTINUED) 34,350 Robert Half International Inc.++... $ 768 120,200 Waste Management, Inc. ............ 2,968 ---------- 14,725 ---------- COMPUTER SERVICES -- 1.2% 122,875 Automatic Data Processing, Inc. ... 6,681 32,600 Computer Sciences Corporation++.... 1,055 41,750 Concord EFS, Inc.++................ 1,688 29,850 Convergys Corporation++............ 1,077 90,450 Electronic Data Systems Corporation...................... 5,053 27,400 Equifax Inc. ...................... 856 76,400 First Data Corporation............. 4,562 72,125 Paychex, Inc. ..................... 2,673 23,475 Sapient Corporation++(a)........... 169 ---------- 23,814 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 4.9% 19,050 Adaptec, Inc.++.................... 165 66,925 Apple Computer, Inc.++............. 1,477 326,650 Compaq Computer Corporation........ 5,945 500,275 Dell Computer Corporation++........ 12,851 58,050 Eastman Kodak Company.............. 2,316 423,125 EMC Corporation++.................. 12,440 62,450 Gateway, Inc.++.................... 1,050 373,725 Hewlett-Packard Company............ 11,686 56,800 IMS Health Inc. ................... 1,414 339,275 International Business Machines Corporation...................... 32,631 36,900 Jabil Circuit, Inc.++(a)........... 798 24,600 Lexmark International, Inc.++(a)... 1,120 18,550 NCR Corporation++(a)............... 724 62,050 Network Appliance, Inc.++(a)....... 1,043 109,550 Palm, Inc.++....................... 921 48,775 Pitney Bowes Inc. ................. 1,695 59,275 Sanmina Corporation++.............. 1,160 630,425 Sun Microsystems, Inc.++........... 9,690 18,300 Tektronix, Inc.++(a)............... 499 61,000 Unisys Corporation++............... 854 129,075 Xerox Corporation.................. 773 ---------- 101,252 ---------- CONGLOMERATES -- 0.6% 39,275 Dover Corporation.................. 1,408 14,275 Fluor Corporation.................. 635 27,525 Textron, Inc. ..................... 1,565 49,925 TXU Corporation.................... 2,063 91,025 United Technologies Corporation.... 6,672 19,525 Vulcan Materials Company........... 914 ---------- 13,257 ---------- CONSTRUCTION -- 0.0%+ 8,525 KB HOME............................ 278 ---------- CONSUMER CREDIT AND MORTGAGES -- 2.5% 257,200 American Express Company........... 10,622 194,825 Fannie Mae......................... 15,508 134,425 Freddie Mac........................ 8,715 91,050 Household International, Inc. ..... 5,394 164,725 MBNA Corporation................... 5,452
VALUE SHARES (000) ------------------------------------------------------------ CONSUMER CREDIT AND MORTGAGES -- (CONTINUED) 55,275 Providian Financial Corporation.... $ 2,711 31,725 USA Education Inc. ................ 2,305 ---------- 50,707 ---------- CONSUMER SERVICES -- 0.0%+ 22,575 Harrah's Entertainment, Inc.++..... 664 ---------- DEPARTMENT AND DISCOUNT STORES -- 3.3% 21,600 Consolidated Stores Corporation++.................... 217 86,650 Costco Wholesale Corporation++..... 3,401 17,000 Dillard's, Inc., Class A........... 373 63,950 Dollar General Corporation(a)...... 1,307 38,425 Federated Department Stores, Inc.++........................... 1,597 50,725 J.C. Penney Company, Inc.(a)....... 811 93,500 K Mart Corporation++(a)............ 879 64,150 Kohl's Corporation++............... 3,957 57,575 May Department Stores Company...... 2,043 64,625 Sears, Roebuck and Company(a)...... 2,279 173,225 Target Corporation................. 6,250 38,150 Toys R Us, Inc.++.................. 958 863,800 Wal-Mart Stores, Inc.?............. 43,622 ---------- 67,694 ---------- DIVERSIFIED ELECTRONICS -- 0.2% 61,750 LSI Logic Corporation++............ 971 124,850 Solectron Corporation++............ 2,373 28,300 Symbol Technologies, Inc. ......... 988 ---------- 4,332 ---------- DIVERSIFIED MANUFACTURING -- 5.1% 15,550 Allegheny Technologies Inc. ....... 271 15,625 Black & Decker Corporation(a)...... 574 11,675 Crane Company...................... 304 27,425 Danaher Corporation(a)............. 1,496 1,916,275 General Electric Company?.......... 80,215 203,700 Gillette Company................... 6,349 17,000 ITT Industries, Inc. .............. 659 31,050 Sherwin-Williams Company........... 791 338,875 Tyco International Ltd.(a)......... 14,650 ---------- 105,309 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.9% 102,575 AES Corporation++.................. 5,124 21,350 Allegheny Energy, Inc. ............ 988 62,275 American Electric Power Company, Inc.(a).......................... 2,927 54,475 Calpine Corporation++(a)........... 3,000 30,750 Cinergy Corporation................ 1,032 25,300 CMS Energy Corporation............. 749 41,000 Consolidated Edison, Inc.(a)....... 1,521 29,100 Constellation Energy............... 1,283 27,600 DTE Energy Company(a).............. 1,098 62,450 Dynegy Inc., Class A............... 3,186 63,025 Edison International++............. 797 43,100 Entergy Corporation................ 1,638 43,600 FirstEnergy Corporation............ 1,217 23,475 GPU, Inc. ......................... 763 39,425 NiSource Inc. ..................... 1,227 74,850 PG & E Corporation................. 932 16,375 Pinnacle West Capital Corporation...................... 751
SEE NOTES TO FINANCIAL STATEMENTS. 20 25 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ------------------------------------------------------------ ELECTRIC POWER -- NON NUCLEAR -- (CONTINUED) 15,175 Power-One, Inc.++.................. $ 220 28,075 PPL Corporation.................... 1,234 41,450 Public Service Enterprise Group Inc. ............................ 1,789 130,700 Southern Company................... 4,586 65,875 Xcel Energy, Inc. ................. 1,983 ---------- 38,045 ---------- ELECTRIC POWER -- NUCLEAR -- 0.9% 26,550 Ameren Corporation................. 1,087 46,225 Dominion Resources, Inc. .......... 2,980 148,225 Duke Energy Corporation............ 6,336 61,575 Exelon Corporation................. 4,040 34,200 FPL Group, Inc. ................... 2,096 57,000 Reliant Energy, Inc. .............. 2,579 ---------- 19,118 ---------- ELECTRICAL EQUIPMENT -- 0.7% 47,025 Conexant Systems, Inc.++........... 420 18,050 Cooper Industries, Inc. ........... 604 82,975 Emerson Electric Company........... 5,144 154,225 Honeywell International Inc. ...... 6,293 37,775 Molex Inc.(a)...................... 1,333 11,225 Thomas & Betts Corporation......... 195 18,175 W.W. Grainger, Inc. ............... 615 ---------- 14,604 ---------- ENERGY -- MISCELLANEOUS -- 0.1% 39,750 Progress Energy, Inc. ............. 1,712 19,600 Progress Energy, Inc., CVO++....... 9 ---------- 1,721 ---------- EXPLORATION AND PRODUCTION -- 0.3% 48,126 Anadarko Petroleum Corporation..... 3,021 24,825 Devon Energy Corporation(a)........ 1,445 47,000 Unocal Corporation................. 1,625 ---------- 6,091 ---------- FINANCE -- MISCELLANEOUS -- 0.4% 38,075 Capital One Financial Corporation...................... 2,113 22,525 Countrywide Credit Industries, Inc. ............................ 1,112 20,650 MGIC Investment Corporation(a)..... 1,413 31,425 Moody's Corporation................ 866 55,600 Synovus Financial Corporation...... 1,501 50,650 The CIT Group, Inc., Class A....... 1,463 ---------- 8,468 ---------- FOOD AND DRUG STORES -- 1.2% 79,150 Albertson's, Inc. ................. 2,519 75,750 CVS Corporation.................... 4,431 96,900 Safeway Inc.++..................... 5,344 25,600 SUPERVALU Inc. .................... 341 158,300 The Kroger Company++............... 4,083 196,425 Walgreen Company................... 8,013 27,150 Winn-Dixie Stores, Inc.(a)......... 770 ---------- 25,501 ---------- FOOD PRODUCTS -- 1.7% 122,550 Archer-Daniels-Midland Company..... 1,612 81,275 Campbell Soup Company.............. 2,428 103,825 ConAgra Foods, Inc. ............... 1,894 54,925 General Mills, Inc. ............... 2,362
VALUE SHARES (000) ------------------------------------------------------------ FOOD PRODUCTS -- (CONTINUED) 67,250 H.J. Heinz Company................. $ 2,703 26,325 Hershey Foods Corporation.......... 1,825 78,450 Kellogg Company.................... 2,121 25,525 Quaker Oats Company................ 2,477 59,875 Ralston Purina Group............... 1,865 159,950 Sara Lee Corporation............... 3,452 130,725 SYSCO Corporation.................. 3,466 110,550 Unilever NV, NY Shares............. 5,818 43,675 Wm. Wrigley Jr. Company............ 2,107 ---------- 34,130 ---------- HEALTH SERVICES -- 0.7% 106,850 HCA - The Healthcare Company....... 4,303 74,700 HEALTHSOUTH Corporation++.......... 963 32,725 Humana Inc.++...................... 343 19,850 Manor Care, Inc.++................. 405 55,100 McKesson HBOC, Inc. ............... 1,474 62,075 Tenet Healthcare Corporation++..... 2,731 61,850 UnitedHealth Group Inc. ........... 3,665 12,100 Wellpoint Health Networks Inc.++(a)........................ 1,153 ---------- 15,037 ---------- HEAVY MACHINERY -- 0.6% 4,175 Briggs & Stratton Corporation(a)... 160 66,475 Caterpillar Inc. .................. 2,950 8,000 Cummins Engine Company, Inc.(a).... 300 45,375 Deere & Company.................... 1,649 58,425 Illinois Tool Works Inc. .......... 3,321 31,025 Ingersoll-Rand Company............. 1,232 11,675 McDermott International, Inc. ..... 148 23,725 Pall Corporation................... 520 22,550 Parker-Hannifin Corporation........ 896 34,825 Thermo Electron Corporation++...... 783 11,625 Timken Company..................... 182 ---------- 12,141 ---------- HOUSEHOLD PRODUCTS -- 1.7% 10,900 Alberto-Culver Company, Class B(a)............................. 432 46,025 Avon Products, Inc. ............... 1,841 110,675 Colgate-Palmolive Company.......... 6,116 29,900 Fortune Brands, Inc. .............. 1,029 18,900 International Flavors & Fragrances, Inc. ............................ 417 103,250 Kimberly-Clark Corporation......... 7,003 251,375 Procter & Gamble Company........... 15,736 45,700 The Clorox Company................. 1,437 11,150 Tupperware Corporation............. 266 ---------- 34,277 ---------- HOUSING AND FURNISHING -- 0.3% 11,475 Centex Corporation(a).............. 478 37,950 Leggett & Platt, Inc. ............. 730 86,300 Masco Corporation(a)............... 2,083 14,875 Maytag Corporation................. 480 51,550 Newell Rubbermaid Inc.(a).......... 1,366 7,875 Pulte Corporation.................. 318 16,625 Stanley Works...................... 548 12,850 Whirlpool Corporation.............. 642 ---------- 6,645 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 21 26 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ------------------------------------------------------------ INSURANCE -- 4.2% 27,825 Aetna Inc.++....................... $ 999 102,575 AFLAC, Inc. ....................... 2,825 141,425 Allstate Corporation............... 5,931 20,375 Ambac Financial Group, Inc. ....... 1,292 97,250 American General Corporation....... 3,720 450,175 American International Group, Inc. ............................ 36,240 49,525 Aon Corporation.................... 1,758 33,825 Chubb Corporation.................. 2,450 29,700 CIGNA Corporation.................. 3,189 31,100 Cincinnati Financial Corporation... 1,180 62,925 Conseco, Inc.(a)................... 1,013 45,700 Hartford Financial Services Group, Inc. ............................ 2,696 19,925 Jefferson-Pilot Corporation........ 1,353 37,050 Lincoln National Corporation....... 1,574 38,150 Loews Corporation.................. 2,266 53,175 Marsh & McLennan Companies, Inc. ............................ 5,053 19,025 MBIA, Inc. ........................ 1,535 147,850 MetLife, Inc.(a)................... 4,443 14,200 Progressive Corporation............ 1,378 24,700 SAFECO Corporation................. 696 42,100 The St. Paul Companies, Inc. ...... 1,855 24,425 Torchmark Corporation.............. 948 46,575 UnumProvident Corporation.......... 1,361 ---------- 85,755 ---------- INTEGRATED OIL -- 5.6% 17,125 Amerada Hess Corporation........... 1,338 23,875 Apache Corporation................. 1,375 41,775 Burlington Resources Inc. ......... 1,869 124,100 Chevron Corporation(a)............. 10,896 120,525 Conoco Inc. ....................... 3,405 22,600 EOG Resources, Inc. ............... 932 672,250 Exxon Mobil Corporation?........... 54,453 18,250 Kerr-McGee Corporation............. 1,184 71,425 Occidental Petroleum Corporation... 1,768 49,350 Phillips Petroleum Company(a)...... 2,717 412,900 Royal Dutch Petroleum Company...... 22,891 16,400 Sunoco, Inc. ...................... 532 106,400 Texaco Inc. ....................... 7,065 61,275 Transocean Sedco Forex Inc. ....... 2,656 60,050 USX-Marathon Group................. 1,618 ---------- 114,699 ---------- INVESTMENT SERVICES -- 1.7% 20,675 Bear Stearns Companies Inc. ....... 946 267,600 Charles Schwab Corporation(a)...... 4,126 48,375 Lehman Brothers Holdings Inc. ..... 3,033 156,250 Merrill Lynch & Company, Inc. ..... 8,656 216,000 Morgan Stanley Dean Witter & Company.......................... 11,557 42,900 Northern Trust Corporation......... 2,681 31,300 State Street Corporation........... 2,923 43,025 Stilwell Financial, Inc. .......... 1,154 23,475 T Rowe Price Group Inc. ........... 735 ---------- 35,811 ---------- LODGING AND RECREATION -- 0.8% 16,875 Brunswick Corporation.............. 331 113,075 Carnival Corporation............... 3,128 148,700 Cendant Corporation++.............. 2,170 23,225 Darden Restaurants, Inc. .......... 552
VALUE SHARES (000) ------------------------------------------------------------ LODGING AND RECREATION -- (CONTINUED) 58,600 Harley-Davidson, Inc.(a)........... $ 2,224 33,325 Hasbro, Inc. ...................... 430 71,300 Hilton Hotels Corporation.......... 745 46,400 Marriott International, Inc., Class A(a)............................. 1,911 82,550 Mattel, Inc. ...................... 1,464 25,475 Sabre Holdings Corporation++....... 1,176 37,350 Starwood Hotels & Resorts Worldwide Inc. ............................ 1,270 28,275 Tricon Global Restaurants, Inc.++(a)........................ 1,080 ---------- 16,481 ---------- MEDICAL DEVICES AND SUPPLIES -- 3.5% 299,100 Abbott Laboratories................ 14,115 40,800 Applera Corporation - Applied Biosystems Group................. 1,132 10,325 Bausch & Lomb Inc.(a).............. 471 56,900 Baxter International Inc. ......... 5,357 49,600 Becton Dickinson & Company......... 1,752 34,550 Biomet, Inc. ...................... 1,361 78,400 Boston Scientific Corporation++.... 1,582 9,825 C.R. Bard, Inc. ................... 446 54,200 Cardinal Health, Inc. ............. 5,244 59,500 Guidant Corporation++(a)........... 2,677 268,825 Johnson & Johnson.................. 23,514 232,375 Medtronic, Inc. ................... 10,629 16,450 St. Jude Medical, Inc.++(a)........ 886 37,825 Stryker Corporation................ 1,976 ---------- 71,142 ---------- METALS AND MINING -- 1.1% 61,475 Alcan Inc. ........................ 2,213 167,275 Alcoa Inc. ........................ 6,014 76,575 Barrick Gold Corporation........... 1,094 28,725 Freeport-McMoran Copper & Gold, Inc., Class B++.................. 375 50,900 Homestake Mining Company........... 268 35,150 Inco Ltd.++........................ 521 76,600 Minnesota Mining & Manufacturing Company.......................... 7,958 37,200 Newmont Mining Corporation......... 600 30,975 Niagara Mohawk Holdings Inc.++..... 523 15,050 Nucor Corporation.................. 603 15,225 Phelps Dodge Corporation........... 612 63,325 Placer Dome Inc. .................. 548 17,175 USX - U.S. Steel Group............. 252 16,525 Worthington Industries, Inc. ...... 154 ---------- 21,735 ---------- NATURAL GAS DISTRIBUTION -- 1.0% 96,125 El Paso Corporation................ 6,277 144,375 Enron Corporation.................. 8,389 26,025 KeySpan Corporation................ 992 8,825 NICOR Inc. ........................ 329 5,625 ONEOK, Inc.(a)..................... 230 6,850 Peoples Energy Corporation......... 266 39,550 Sempra Energy...................... 921 93,475 Williams Companies, Inc. .......... 4,005 ---------- 21,409 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 22 27 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ------------------------------------------------------------ NATURAL GAS PIPELINES -- 0.1% 22,125 Kinder Morgan, Inc.(a)............. $ 1,177 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 3.3% 150,325 ADC Telecommunications, Inc.++..... 1,278 35,725 Cabletron Systems, Inc.++.......... 461 1,407,175 Cisco Systems, Inc.++?............. 22,250 32,100 Comverse Technology, Inc.++(a)..... 1,890 177,850 Corning Inc. ...................... 3,680 252,600 JDS Uniphase Corporation++......... 4,657 658,225 Lucent Technologies Inc.(a)........ 6,563 422,425 Motorola, Inc. .................... 6,024 615,325 Nortel Networks Corporation........ 8,645 145,700 QUALCOMM Inc.++.................... 8,250 31,200 Scientific-Atlanta, Inc.(a)........ 1,298 79,400 Tellabs, Inc.++.................... 3,231 ---------- 68,227 ---------- OILFIELD SERVICES -- 0.8% 64,225 Baker Hughes Inc. ................. 2,332 85,575 Halliburton Company................ 3,145 28,425 Nabors Industries, Inc.++(a)....... 1,474 25,950 Noble Drilling Corporation++....... 1,198 18,250 Rowan Companies, Inc.++............ 502 110,725 Schlumberger Ltd. ................. 6,378 27,975 Tosco Corporation.................. 1,196 ---------- 16,225 ---------- PACKAGING AND CONTAINERS -- 0.1% 5,475 Ball Corporation................... 251 10,275 Bemis Company, Inc. ............... 340 30,575 Pactiv Corporation++............... 370 16,175 Sealed Air Corporation++(a)........ 540 ---------- 1,501 ---------- PAPER AND FOREST PRODUCTS -- 0.5% 11,075 Boise Cascade Corporation.......... 348 43,650 Georgia-Pacific Corporation........ 1,283 93,100 International Paper Company........ 3,359 20,150 Louisiana-Pacific Corporation...... 194 19,175 Mead Corporation................... 481 5,500 Potlatch Corporation............... 176 9,525 Temple-Inland Inc. ................ 421 19,475 Westvaco Corporation............... 472 42,000 Weyerhaeuser Company............... 2,133 21,125 Willamette Industries, Inc. ....... 972 ---------- 9,839 ---------- PHARMACEUTICALS -- 9.2% 25,425 Allergan, Inc.(a).................. 1,885 45,775 ALZA Corporation++(a).............. 1,854 253,450 American Home Products Corporation...................... 14,890 201,425 Amgen Inc.++....................... 12,123 28,600 Biogen, Inc.++..................... 1,811 378,150 Bristol-Myers Squibb Company....... 22,463 37,025 Chiron Corporation++............... 1,624 218,000 Eli Lilly and Company.............. 16,712 34,050 Forest Laboratories, Inc.++........ 2,017 32,650 King Pharmaceuticals, Inc.++....... 1,330 41,025 MedImmune, Inc.++.................. 1,472 446,000 Merck & Company, Inc. ............. 33,852
VALUE SHARES (000) ------------------------------------------------------------ PHARMACEUTICALS -- (CONTINUED) 1,220,125 Pfizer Inc. ....................... $ 49,965 249,400 Pharmacia Corporation.............. 12,562 282,750 Schering-Plough Corporation........ 10,329 19,875 Watson Pharmaceuticals, Inc.++..... 1,045 ---------- 185,934 ---------- PUBLISHING AND ADVERTISING -- 0.6% 12,275 American Greetings Corporation, Class A.......................... 130 14,025 Deluxe Corporation................. 332 16,925 Dow Jones & Company, Inc. ......... 886 51,000 Gannett Company, Inc. ............. 3,046 14,150 Harcourt General, Inc.(a).......... 788 14,175 Knight-Ridder, Inc.(a)............. 761 37,800 McGraw-Hill Companies, Inc. ....... 2,255 9,650 Meredith Corporation............... 337 31,350 New York Times Company, Class A.... 1,284 23,600 R.R. Donnelley & Sons Company...... 619 58,450 Tribune Company.................... 2,381 ---------- 12,819 ---------- RAILROADS, TRUCKING AND SHIPPING -- 0.5% 29,125 AMR Corporation++.................. 1,023 75,900 Burlington Northern Santa Fe Corporation...................... 2,306 41,175 CSX Corporation.................... 1,388 57,300 FedEx Corporation++................ 2,388 74,350 Norfolk Southern Corporation....... 1,245 11,575 Ryder System, Inc. ................ 208 47,925 Union Pacific Corporation.......... 2,695 ---------- 11,253 ---------- RESTAURANTS -- 0.4% 253,600 McDonald's Corporation............. 6,733 36,625 Starbucks Corporation++(a)......... 1,554 22,000 Wendy's International, Inc......... 491 ---------- 8,778 ---------- SEMICONDUCTORS -- 3.9% 60,600 Advanced Micro Devices, Inc.++..... 1,608 88,250 Agilent Technologies, Inc.++....... 2,712 76,650 Altera Corporation++............... 1,643 69,575 Analog Devices, Inc.++............. 2,521 156,500 Applied Materials, Inc.++.......... 6,808 57,725 Applied Micro Circuits Corporation++(a)................. 952 47,250 Broadcom Corporation, Class A++(a)........................... 1,366 1,301,500 Intel Corporation?................. 34,246 35,675 KLA-Tencor Corporation++(a)........ 1,405 61,250 Linear Technology Corporation...... 2,515 54,750 Maxim Integrated Products, Inc.++........................... 2,277 114,750 Micron Technology, Inc.++(a)....... 4,766 33,700 National Semiconductor Corporation++.................... 901 27,200 Novellus Systems, Inc.++(a)........ 1,103 9,650 PerkinElmer, Inc. ................. 506 17,800 QLogic Corporation++............... 401 33,750 Teradyne, Inc.++................... 1,114 335,375 Texas Instruments Inc. ............ 10,390 36,750 Vitesse Semiconductor Corporation++.................... 875 63,825 Xilinx, Inc.++(a).................. 2,242 ---------- 80,351 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 23 28 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ------------------------------------------------------------ SOFTWARE -- 4.5% 46,525 Adobe Systems Inc. ................ $ 1,627 10,900 Autodesk, Inc.(a).................. 333 47,100 BMC Software, Inc.++(a)............ 1,013 52,050 BroadVision, Inc.++(a)............. 278 35,850 Citrix Systems, Inc.++............. 757 111,450 Computer Associates International, Inc. ............................ 3,031 71,125 Compuware Corporation++............ 693 40,025 Intuit Inc.++...................... 1,111 15,650 Mercury Interactive Corporation++.................... 655 1,031,825 Microsoft Corporation++............ 56,428 61,425 Novell, Inc.++..................... 307 1,080,275 Oracle Corporation++............... 16,183 51,400 Parametric Technology Corporation++.................... 466 55,225 Peoplesoft, Inc.++................. 1,294 83,075 Siebel Systems, Inc.++(a).......... 2,260 79,025 VERITAS Software Corporation++(a)................. 3,654 107,975 Yahoo! Inc.++(a)................... 1,701 ---------- 91,791 ---------- SPECIALTY STORES -- 1.9% 55,250 Bed Bath & Beyond Inc.++........... 1,357 40,175 Best Buy Company, Inc.++........... 1,445 39,800 Circuit City Stores - Circuit City Group............................ 422 164,325 Gap, Inc. ......................... 3,898 447,875 Home Depot, Inc. .................. 19,304 82,325 Limited, Inc. ..................... 1,294 7,225 Longs Drug Stores Corporation...... 214 74,050 Lowe's Companies, Inc. ............ 4,328 25,900 Nordstrom, Inc.(a)................. 422 57,625 Office Depot, Inc.++............... 504 35,950 RadioShack Corporation............. 1,319 87,625 Staples, Inc.++(a)................. 1,303 28,200 Tiffany & Company(a)............... 768 54,075 TJX Companies, Inc.(a)............. 1,730 ---------- 38,308 ---------- TELECOMMUNICATIONS SERVICES -- 6.1% 60,550 ALLTEL Corporation................. 3,176 37,675 American Power Conversion Corporation++.................... 486 15,725 Andrew Corporation++............... 226 727,050 AT&T Corporation................... 15,486 54,675 Avaya Inc.++....................... 711 362,125 BellSouth Corporation.............. 14,818 27,200 CenturyTel, Inc. .................. 782 51,275 Citizens Communications Company++........................ 649 171,275 Global Crossing Ltd.++............. 2,311 147,350 Nextel Communications, Inc., Class A++.............................. 2,118 320,275 Qwest Communications International Inc.++........................... 11,226 654,625 SBC Communications Inc. ........... 29,215 171,000 Sprint Corporation (FON Group)..... 3,760 180,300 Sprint Corporation (PCS Group)++(a)...................... 3,426 522,525 Verizon Communications Inc. ....... 25,760 556,775 WorldCom, Inc.++................... 10,405 ---------- 124,555 ----------
VALUE SHARES (000) ------------------------------------------------------------ TOBACCO -- 1.0% 430,025 Philip Morris Companies Inc. ...... $ 20,404 31,500 UST Inc. .......................... 947 ---------- 21,351 ---------- TOTAL COMMON STOCKS (Cost $1,914,087).................. 2,010,814 ---------- CONVERTIBLE PREFERRED STOCKS -- 0.0%+ (Cost $0) PACKAGING AND CONTAINERS -- 0.0%+ 1 Sealed Air Corporation!............ 0 ---------- SHARES (000) --------- INVESTMENT COMPANIES -- 8.3% (Cost $169,422) 169,422 Nations Cash Reserves#............. 169,422 ---------- TOTAL INVESTMENTS (Cost $2,083,509*).......... 106.4% 2,180,236 ---------- OTHER ASSETS AND LIABILITIES (NET)..................... (6.4)% Cash............................... $ 1 Receivable for investment securities sold.................. 522 Receivable for Fund shares sold.... 3,871 Dividends receivable............... 1,888 Interest receivable................ 80 Receivable for variation margin.... 255 Collateral on securities loaned.... (133,563) Payable for Fund shares redeemed... (507) Investment advisory fee payable.... (206) Administration fee payable......... (413) Shareholder servicing and distribution fees payable........ (6) Payable for investment securities purchased........................ (2,761) Accrued Trustees' fees and expenses......................... (51) Accrued expenses and other liabilities...................... (239) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................ (131,129) ---------- NET ASSETS.................. 100.0% $2,049,107 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 129 Accumulated net realized loss on investments sold and futures contracts........................ (66,857) Net unrealized appreciation of investments and futures contracts........................ 96,393 Paid-in capital.................... 2,019,442 ---------- NET ASSETS......................... $2,049,107 ==========
SEE NOTES TO FINANCIAL STATEMENTS. 24 29 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE ------------------------------------------------------------ PRIMARY A SHARES Net asset value, offering and redemption price per share ($2,021,690,010 / 90,441,839 shares outstanding).............. $22.35 ------ ------ INVESTOR A SHARES Net asset value, offering and redemption price per share ($27,416,679 / 1,233,028 shares outstanding)..................... $22.24 ------ ------
--------------- * Federal Income Tax Information: Net unrealized appreciation of $83,681 on investment securities was comprised of gross appreciation of $406,312 and gross depreciation of $322,631 for federal income tax purposes. At March 31, 2001, the aggregate cost of securities for federal income tax purposes was $2,096,555. ++ Non-income producing security. ? All or a portion of security segregated as collateral for futures contracts. + Amount represents less than 0.1%. ! Amount represents less than $500. > Affiliated security. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, Inc. A portion of this amount represents cash collateral received from securities lending activity (Note 9). The portion that represents cash collateral is $133,563. (a) All or a portion of security was on loan at March 31, 2001. The aggregate cost and market value of securities on loan at March 31, 2001 is $174,902 and $130,477, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 25 30 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- COMMON STOCKS -- 98.1% AEROSPACE AND DEFENSE -- 1.3% 31,400 Boeing Company........................ $ 1,749 53,900 Lockheed Martin Corporation........... 1,921 1,800 Northrop Grumman Corporation.......... 157 31,400 Raytheon Company, Class B............. 923 -------- 4,750 -------- AIRLINES -- 0.3% 53,100 Southwest Airlines Company............ 942 900 US Airways Group Inc.++............... 32 -------- 974 -------- APPAREL AND TEXTILES -- 0.3% 7,200 Nike, Inc., Class B................... 292 31,800 Reebok International, Ltd.++.......... 791 -------- 1,083 -------- AUTOMOTIVE -- 1.4% 36,900 Ford Motor Company.................... 1,038 40,600 General Motors Corporation............ 2,105 32,300 Goodyear Tire & Rubber Company(a)..... 770 14,200 Johnson Controls, Inc. ............... 887 2,500 Navistar International Corporation++....................... 57 21,100 Visteon Corporation................... 317 -------- 5,174 -------- BEVERAGES -- 2.6% 43,800 Anheuser-Busch Companies, Inc.?....... 2,012 120,900 Coca-Cola Company?.................... 5,460 52,400 PepsiCo, Inc. ........................ 2,303 -------- 9,775 -------- BROADCASTING AND CABLE -- 4.0% 149,600 AOL Time Warner Inc.++................ 6,007 41,400 Clear Channel Communications, Inc.++.............................. 2,254 13,500 Comcast Corporation, Class A++........ 566 100,400 Viacom Inc., Class B++................ 4,415 63,400 Walt Disney Company................... 1,813 -------- 15,055 -------- CHEMICALS -- BASIC -- 1.1% 34,200 Air Products and Chemicals, Inc. ..... 1,313 65,200 Dow Chemical Company.................. 2,059 8,500 FMC Corporation++..................... 626 6,700 Hercules, Inc. ....................... 87 -------- 4,085 -------- COMMERCIAL BANKING -- 8.2% 60,800 Banc One Corporation.................. 2,200 53,700 Bank of New York Company, Inc. ....... 2,644 191,900 Citigroup Inc.?....................... 8,632 52,500 Fifth Third Bancorp................... 2,805 80,900 FleetBoston Financial Corporation..... 3,054 64,500 J.P. Morgan Chase & Company........... 2,896 18,600 KeyCorp............................... 480 64,200 Mellon Financial Corporation.......... 2,601 39,600 PNC Financial Services Group.......... 2,683 6,500 SouthTrust Corporation................ 297
VALUE SHARES (000) ----------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) 2,200 UBS AG................................ $ 317 30,600 Washington Mutual, Inc. .............. 1,675 21,800 Wells Fargo & Company................. 1,078 -------- 31,362 -------- COMMERCIAL SERVICES -- 0.5% 27,200 Allied Waste Industries, Inc.++....... 426 9,900 Cintas Corporation(a)................. 390 2,300 Omnicom Group Inc.(a)................. 191 1,200 Quintiles Transnational Corporation++....................... 23 15,700 Robert Half International Inc.++...... 351 13,800 Waste Management, Inc. ............... 341 -------- 1,722 -------- COMPUTER SERVICES -- 1.2% 29,900 Automatic Data Processing, Inc. ...... 1,626 3,800 Computer Sciences Corporation++....... 123 13,200 Equifax Inc. ......................... 413 16,700 First Data Corporation................ 997 38,300 Paychex, Inc. ........................ 1,419 -------- 4,578 -------- COMPUTERS AND OFFICE EQUIPMENT -- 5.0% 94,900 Compaq Computer Corporation........... 1,727 54,900 Dell Computer Corporation++........... 1,410 110,300 EMC Corporation++..................... 3,243 13,500 Gateway, Inc.++....................... 227 27,400 Hewlett-Packard Company............... 857 18,600 IMS Health Inc. ...................... 463 69,400 International Business Machines Corporation......................... 6,675 3,200 NCR Corporation++..................... 125 30,800 Network Appliance, Inc.++(a).......... 518 42,300 Sanmina Corporation++................. 827 130,500 Sun Microsystems, Inc.++?............. 2,006 10,800 Tektronix, Inc.++..................... 295 67,300 Xerox Corporation..................... 403 -------- 18,776 -------- CONGLOMERATES -- 0.3% 12,100 Dover Corporation..................... 434 11,500 United Technologies Corporation....... 843 -------- 1,277 -------- CONSUMER CREDIT AND MORTGAGES -- 2.4% 44,200 American Express Company.............. 1,825 58,600 Fannie Mae............................ 4,665 27,800 Freddie Mac........................... 1,802 16,200 MBNA Corporation...................... 536 5,900 USA Education Inc. ................... 429 -------- 9,257 -------- CONSUMER SERVICES -- 0.1% 8,900 Harrah's Entertainment, Inc.++........ 262 -------- DEPARTMENT AND DISCOUNT STORES -- 3.4% 24,300 Costco Wholesale Corporation++........ 954 800 Federated Department Stores, Inc.++... 33 12,700 Kohl's Corporation++.................. 783 34,400 Target Corporation.................... 1,241
SEE NOTES TO FINANCIAL STATEMENTS. 26 31 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- DEPARTMENT AND DISCOUNT STORES -- (CONTINUED) 43,800 Toys R Us, Inc.++..................... $ 1,099 170,800 Wal-Mart Stores, Inc.?................ 8,626 -------- 12,736 -------- DIVERSIFIED ELECTRONICS -- 0.2% 33,200 Solectron Corporation++............... 631 -------- DIVERSIFIED MANUFACTURING -- 4.0% 7,000 Danaher Corporation(a)................ 382 10,900 Energizer Holdings Inc.++............. 273 247,128 General Electric Company?............. 10,344 23,700 Gillette Company...................... 739 75,590 Tyco International Ltd. .............. 3,268 -------- 15,006 -------- ELECTRIC POWER -- NON NUCLEAR -- 1.6% 16,800 AES Corporation++..................... 839 51,700 American Electric Power Company, Inc. ............................... 2,430 7,900 Constellation Energy.................. 348 5,700 Dynegy Inc., Class A.................. 291 25,200 Entergy Corporation................... 958 20,100 NiSource Inc. ........................ 626 32,500 Power-One, Inc.++..................... 471 100 PPL Corporation....................... 4 -------- 5,967 -------- ELECTRIC POWER -- NUCLEAR -- 1.7% 37,400 Dominion Resources, Inc. ............. 2,411 27,000 Duke Energy Corporation............... 1,154 2,700 Exelon Corporation.................... 177 36,100 FPL Group, Inc. ...................... 2,213 10,400 Reliant Energy, Inc. ................. 471 -------- 6,426 -------- ELECTRICAL EQUIPMENT -- 1.5% 22,200 Conexant Systems, Inc.++.............. 198 25,400 Emerson Electric Company.............. 1,575 94,024 Honeywell International Inc. ......... 3,836 1,800 Molex Inc. ........................... 64 -------- 5,673 -------- EXPLORATION AND PRODUCTION -- 0.6% 36,800 Anadarko Petroleum Corporation........ 2,310 -------- FINANCE -- MISCELLANEOUS -- 0.4% 13,000 Countrywide Credit Industries, Inc. ............................... 642 29,258 The CIT Group, Inc., Class A.......... 845 -------- 1,487 -------- FOOD AND DRUG STORES -- 1.6% 45,700 CVS Corporation....................... 2,673 30,800 Safeway Inc.++........................ 1,699 15,000 The Kroger Company++.................. 387 31,400 Walgreen Company...................... 1,281 -------- 6,040 -------- FOOD PRODUCTS -- 1.3% 88,400 Archer-Daniels-Midland Company........ 1,162 1,800 H.J. Heinz Company.................... 72
VALUE SHARES (000) ----------------------------------------------------------- FOOD PRODUCTS -- (CONTINUED) 4,700 Quaker Oats Company................... $ 456 2,900 Ralston Purina Group.................. 90 3,200 Sara Lee Corporation.................. 69 55,100 SYSCO Corporation..................... 1,461 32,400 Unilever NV, NY Shares................ 1,707 -------- 5,017 -------- HEALTH SERVICES -- 1.4% 16,700 HEALTHSOUTH Corporation++............. 215 51,600 McKesson HBOC, Inc. .................. 1,380 40,200 Tenet Healthcare Corporation++........ 1,769 34,400 UnitedHealth Group Inc. .............. 2,039 -------- 5,403 -------- HEAVY MACHINERY -- 0.2% 300 Briggs & Stratton Corporation(a)...... 12 8,000 Deere & Company....................... 291 23,500 Thermo Electron Corporation++......... 528 -------- 831 -------- HOUSEHOLD PRODUCTS -- 1.8% 20,800 Alberto-Culver Company, Class B(a).... 825 1,400 Avon Products, Inc. .................. 56 35,000 Colgate-Palmolive Company............. 1,934 14,500 Kimberly-Clark Corporation............ 984 49,100 Procter & Gamble Company.............. 3,073 2,400 Tupperware Corporation................ 57 -------- 6,929 -------- HOUSING AND FURNISHING -- 0.4% 4,500 Centex Corporation.................... 187 1,100 Maytag Corporation.................... 35 24,900 Pulte Corporation..................... 1,007 4,700 Whirlpool Corporation................. 235 -------- 1,464 -------- INSURANCE -- 4.0% 4,100 AFLAC, Inc. .......................... 113 56,400 Allstate Corporation.................. 2,365 40,900 American General Corporation.......... 1,564 58,800 American International Group, Inc.?... 4,734 4,300 Hartford Financial Services Group, Inc. ............................... 254 32,700 Lincoln National Corporation.......... 1,389 28,200 Loews Corporation..................... 1,675 15,500 Marsh & McLennan Companies, Inc. ..... 1,473 4,600 Progressive Corporation............... 446 23,000 The St. Paul Companies, Inc. ......... 1,013 1,800 UnumProvident Corporation............. 53 -------- 15,079 -------- INTEGRATED OIL -- 4.9% 5,000 Burlington Resources Inc. ............ 224 17,800 EOG Resources, Inc. .................. 734 113,300 Exxon Mobil Corporation?.............. 9,176 82,500 Royal Dutch Petroleum Company?........ 4,574 34,000 Texaco Inc. .......................... 2,258 32,200 Transocean Sedco Forex Inc. .......... 1,396 7,300 USX-Marathon Group.................... 197 -------- 18,559 --------
SEE NOTES TO FINANCIAL STATEMENTS. 27 32 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- INVESTMENT SERVICES -- 2.1% 25,800 Lehman Brothers Holdings Inc. ........ $ 1,618 36,500 Merrill Lynch & Company, Inc. ........ 2,022 30,700 Morgan Stanley Dean Witter & Company............................. 1,642 8,700 Northern Trust Corporation............ 544 22,800 State Street Corporation.............. 2,129 -------- 7,955 -------- LODGING AND RECREATION -- 0.6% 31,000 Harley-Davidson, Inc.(a).............. 1,176 17,800 Hilton Hotels Corporation............. 186 4,100 Marriott International, Inc., Class A(a)................................ 169 3,100 Mattel, Inc. ......................... 55 10,400 Starwood Hotels & Resorts Worldwide Inc. ............................... 354 4,800 Tricon Global Restaurants, Inc.++(a)........................... 183 -------- 2,123 -------- MEDICAL DEVICES AND SUPPLIES -- 3.6% 94,800 Abbott Laboratories................... 4,473 15,100 Baxter International Inc. ............ 1,422 29,100 Cardinal Health, Inc. ................ 2,815 44,400 Johnson & Johnson..................... 3,884 19,200 St. Jude Medical, Inc.++.............. 1,034 600 Stryker Corporation................... 31 -------- 13,659 -------- METALS AND MINING -- 1.5% 16,800 Alcan Inc. ........................... 605 37,100 Alcoa Inc. ........................... 1,334 25,100 Barrick Gold Corporation.............. 359 31,000 Minnesota Mining & Manufacturing Company............................. 3,220 -------- 5,518 -------- NATURAL GAS DISTRIBUTION -- 1.2% 44,500 El Paso Corporation................... 2,906 13,900 Enron Corporation..................... 808 15,800 KeySpan Corporation................... 602 2,200 ONEOK, Inc. .......................... 90 -------- 4,406 -------- NATURAL GAS PIPELINES -- 0.1% 3,800 Kinder Morgan, Inc. .................. 202 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 3.0% 37,600 ADC Telecommunications, Inc.++........ 320 8,600 Cabletron Systems, Inc.++............. 111 270,700 Cisco Systems, Inc.++................. 4,280 6,400 Comverse Technology, Inc.++(a)........ 377 74,200 Corning Inc. ......................... 1,535 43,100 JDS Uniphase Corporation++............ 795 60,000 Lucent Technologies Inc. ............. 598 16,700 Motorola, Inc. ....................... 238 156,100 Nortel Networks Corporation?.......... 2,193 12,200 QUALCOMM Inc.++....................... 691 6,700 Tellabs, Inc.++....................... 273 -------- 11,411 --------
VALUE SHARES (000) ----------------------------------------------------------- OILFIELD SERVICES -- 1.1% 7,600 Baker Hughes Inc. .................... $ 276 6,100 Nabors Industries, Inc.++............. 316 17,600 Schlumberger Ltd. .................... 1,014 56,750 Tosco Corporation..................... 2,427 -------- 4,033 -------- PACKAGING AND CONTAINERS -- 0.0%+ 7,000 Pactiv Corporation++.................. 85 -------- PAPER AND FOREST PRODUCTS -- 0.5% 18,000 International Paper Company........... 649 13,000 Weyerhaeuser Company.................. 661 13,700 Willamette Industries, Inc. .......... 630 -------- 1,940 -------- PHARMACEUTICALS -- 8.3% 1,100 Allergan, Inc. ....................... 82 47,600 ALZA Corporation++(a)................. 1,928 41,400 American Home Products Corporation.... 2,432 4,500 Amgen Inc.++.......................... 271 54,700 Bristol-Myers Squibb Company.......... 3,249 20,000 Eli Lilly and Company................. 1,533 101,600 Merck & Company, Inc.?................ 7,711 267,000 Pfizer Inc.?.......................... 10,933 40,100 Pharmacia Corporation................. 2,020 38,900 Schering-Plough Corporation........... 1,421 -------- 31,580 -------- PUBLISHING AND ADVERTISING -- 1.1% 8,400 Dow Jones & Company, Inc. ............ 440 6,900 Gannett Company, Inc. ................ 412 56,900 Harcourt General, Inc. ............... 3,168 2,800 McGraw-Hill Companies, Inc. .......... 167 3,100 Tribune Company....................... 126 -------- 4,313 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.6% 4,700 CSX Corporation....................... 158 11,600 FedEx Corporation++................... 483 26,500 Union Pacific Corporation............. 1,491 3,700 Wisconsin Central Transportation Corporation++....................... 59 -------- 2,191 -------- RESTAURANTS -- 0.4% 62,700 McDonald's Corporation................ 1,665 -------- SEMICONDUCTORS -- 4.0% 24,600 Analog Devices, Inc.++................ 892 19,700 Applied Materials, Inc.++............. 857 30,900 Applied Micro Circuits Corporation++(a).................... 510 227,400 Intel Corporation?.................... 5,983 46,800 Linear Technology Corporation......... 1,922 38,500 Maxim Integrated Products, Inc.++(a)........................... 1,601 15,200 Micron Technology, Inc.++(a).......... 631 29,400 PerkinElmer, Inc. .................... 1,542 14,600 QLogic Corporation++.................. 329
SEE NOTES TO FINANCIAL STATEMENTS. 28 33 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- SEMICONDUCTORS -- (CONTINUED) 21,400 Texas Instruments Inc. ............... $ 663 7,400 Vitesse Semiconductor Corporation++... 176 -------- 15,106 -------- SOFTWARE -- 4.4% 19,000 Adobe Systems Inc. ................... 664 46,900 BroadVision, Inc.++................... 251 3,800 Computer Associates International, Inc. ............................... 103 164,000 Microsoft Corporation++?.............. 8,969 230,300 Oracle Corporation++?................. 3,450 91,200 Peoplesoft, Inc.++.................... 2,138 32,400 Siebel Systems, Inc.++(a)............. 881 1,700 Yahoo! Inc.++......................... 27 -------- 16,483 -------- SPECIALTY STORES -- 1.1% 16,500 Bed Bath & Beyond Inc.++.............. 405 45,700 Circuit City Stores - Circuit City Group............................... 484 39,000 Home Depot, Inc. ..................... 1,681 50,700 Limited, Inc. ........................ 797 2,700 Lowe's Companies, Inc. ............... 158 15,100 RadioShack Corporation................ 554 8,000 TJX Companies, Inc. .................. 256 -------- 4,335 -------- TELECOMMUNICATIONS SERVICES -- 5.8% 3,000 ALLTEL Corporation.................... 157 53,200 AT&T Corporation?..................... 1,133 105,300 BellSouth Corporation................. 4,309 9,900 CenturyTel, Inc. ..................... 285 35,800 Global Crossing Ltd.++................ 483 103,740 Intermedia Communications Inc.++(a)... 1,802 44,500 Nextel Communications, Inc., Class A++................................. 640 163,600 SBC Communications Inc.?.............. 7,300 26,000 Sprint Corporation (FON Group)........ 572 111,700 Verizon Communications Inc.?.......... 5,507 12,560 WorldCom, Inc.++...................... 235 -------- 22,423 -------- TOBACCO -- 1.0% 79,800 Philip Morris Companies Inc. ......... 3,787 -------- TOTAL COMMON STOCKS (Cost $278,845)....................... 370,903 -------- SHARES VALUE (000) (000) ----------------------------------------------------------- INVESTMENT COMPANIES -- 4.7% (Cost $17,793) 17,793 Nations Cash Reserves#................ $ 17,793 -------- TOTAL INVESTMENTS (Cost $296,638*)............... 102.8% 388,696 -------- OTHER ASSETS AND LIABILITIES (NET)............ (2.8)% Cash.................................. $ 1 Receivable for investment securities sold................................ 1,243 Receivable for Fund shares sold....... 149 Dividends receivable.................. 336 Interest receivable................... 7 Unamortized organization costs........ 1 Variation margin/due to broker........ (64) Collateral on securities loaned....... (10,295) Payable for Fund shares redeemed...... (322) Investment advisory fee payable....... (106) Administration fee payable............ (76) Shareholder servicing and distribution fees payable........................ (7) Payable for investment securities purchased........................... (1,242) Accrued Trustees' fees and expenses... (44) Accrued expenses and other liabilities......................... (75) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... (10,494) -------- NET ASSETS..................... 100.0% $378,202 ======== NET ASSETS CONSIST OF: Undistributed net investment income... $ 165 Accumulated net realized gain on investments sold and futures contracts........................... 21,002 Net unrealized appreciation of investments and futures contracts... 92,041 Paid-in capital....................... 264,994 -------- NET ASSETS............................ $378,202 ========
SEE NOTES TO FINANCIAL STATEMENTS. 29 34 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($345,794,955 / 23,205,003 shares outstanding)........................ $14.90 ------ ------ PRIMARY B SHARES: Net asset value, offering and redemption price per share ($5,186 / 346 shares outstanding)... $14.99 ------ ------ INVESTOR A SHARES: Net asset value, offering and redemption price per share ($32,401,777 / 2,175,682 shares outstanding)........................ $14.89 ------ ------
--------------- * Federal Income Tax Information: Net unrealized appreciation of $86,621 on investment securities was comprised of gross appreciation of $103,049 and gross depreciation of $16,428 for federal income tax purposes. At March 31, 2001, the aggregate cost of securities for federal income tax purposes was $302,075. ++ Non-income producing security. ? All or a portion of security segregated as collateral for futures contracts. + Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, Inc. A portion of this amount represents cash collateral received from securities lending activity (Note 9). The portion that represents cash collateral is $10,295. (a) All or a portion of security was on loan at March 31, 2001. The aggregate cost and market value of securities on loan at March 31, 2001 is $10,322 and $9,744, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 30 35 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- COMMON STOCKS -- 98.5% AEROSPACE AND DEFENSE -- 0.9% 20,050 Litton Industries Inc.++(a)........... $ 1,611 22,425 Precision Castparts Corporation....... 741 4,525 Sequa Corporation, Class A++.......... 176 23,600 The Titan Corporation++(a)............ 424 -------- 2,952 -------- AIRLINES -- 0.2% 11,575 Alaska Air Group, Inc.++.............. 297 16,750 Atlas Air, Inc.++..................... 472 -------- 769 -------- APPAREL AND TEXTILES -- 0.8% 52,275 Jones Apparel Group, Inc.++........... 1,976 12,775 Land's End, Inc.++(a)................. 351 23,525 Unifi, Inc.++......................... 167 21,675 Westpoint Stevens Inc.(a)............. 195 -------- 2,689 -------- AUTOMOTIVE -- 1.0% 28,725 ArvinMeritor, Inc. ................... 394 11,475 Borg-Warner Automotive, Inc. ......... 460 32,500 Gentex Corporation++.................. 752 27,875 Lear Corporation++.................... 816 34,475 Pennzoil-Quaker State Company......... 483 11,300 Superior Industries International, Inc. ............................... 391 -------- 3,296 -------- BEVERAGES -- 0.3% 69,725 PepsiAmericas, Inc. .................. 1,088 -------- BROADCASTING AND CABLE -- 1.4% 15,325 Chris-Craft Industries, Inc.++........ 969 20,575 Emmis Communications Corporation++.... 521 19,825 Entercom Communications Corporation++....................... 779 47,700 Hispanic Broadcasting Corporation++... 911 10,000 Media General Inc., Class A........... 461 47,950 Westwood One, Inc.++.................. 1,104 -------- 4,745 -------- BUILDING MATERIALS -- 0.8% 30,375 American Standard Companies Inc.++.... 1,795 20,475 Martin Marietta Materials, Inc. ...... 874 -------- 2,669 -------- CHEMICALS -- BASIC -- 0.6% 6,175 H.B. Fuller Company................... 260 50,300 IMC Global, Inc.(a)................... 619 51,500 Lyondell Chemical Company............. 740 19,275 Olin Corporation...................... 393 -------- 2,012 -------- CHEMICALS -- SPECIALTY -- 1.7% 29,675 Airgas, Inc.++........................ 234 20,075 Albemarle Corporation................. 451 29,050 Cabot Corporation..................... 915 49,350 Crompton Corporation.................. 553 17,625 Cytec Industries Inc.++............... 564 14,975 Ferro Corporation..................... 304 22,825 Lubrizol Corporation.................. 692 8,875 Minerals Technologies Inc. ........... 310
VALUE SHARES (000) ----------------------------------------------------------- CHEMICALS -- SPECIALTY -- (CONTINUED) 12,775 Schulman (A.) Inc. ................... $ 153 45,300 Solutia Inc. ......................... 553 21,575 Tootsie Roll Industries, Inc. ........ 995 -------- 5,724 -------- COMMERCIAL BANKING -- 9.1% 29,250 Associated Banc-Corp.................. 973 21,850 Astoria Financial Corporation......... 1,168 63,450 Banknorth Group, Inc. ................ 1,261 20,950 City National Corporation............. 805 52,975 Compass Bancshares, Inc. ............. 1,132 47,500 Dime Bancorp, Inc. ................... 1,556 56,425 First Tennessee National Corporation(a)...................... 1,744 20,200 First Virginia Banks, Inc. ........... 876 38,425 Firstmerit Corporation................ 999 18,475 Greater Bay Bancorp................... 465 69,450 Hibernia Corporation, Class A......... 970 13,150 Investors Financial Services Corporation......................... 771 42,350 M&T Bank Corporation.................. 2,959 45,075 Marshall and Ilsley Corporation....... 2,380 30,625 Mercantile Bankshares Corporation..... 1,133 89,975 National Commerce Bancorporation...... 2,233 71,725 North Fork Bancorporation, Inc. ...... 1,861 34,925 Pacific Century Financial Corporation......................... 664 21,375 Provident Financial Group, Inc. ...... 601 21,425 Silicon Valley Bancshares++........... 503 107,800 Sovereign Bancorp, Inc. .............. 913 35,200 TCF Financial Corporation............. 1,330 21,425 Webster Financial Corporation......... 628 15,975 Westamerica Bancorporation............ 603 14,175 Wilmington Trust Corporation.......... 837 38,100 Zions Bancorporation.................. 1,985 -------- 31,350 -------- COMMERCIAL SERVICES -- 4.4% 50,075 Apollo Group Inc., Class A++.......... 1,643 9,050 Bandag, Inc. ......................... 242 24,325 Catalina Marketing Corporation++(a)... 792 26,675 ChoicePoint Inc.++.................... 902 66,350 Comdisco, Inc. ....................... 531 30,550 DeVry, Inc.++......................... 918 16,625 Fastenal Company(a)................... 906 37,850 Gartner Group, Inc.++................. 238 11,575 Jacobs Engineering Group Inc.++....... 671 15,675 Kelly Services, Inc. ................. 370 16,400 Korn/Ferry International++............ 275 33,175 Manpower Inc. ........................ 955 42,275 Modis Professional Services, Inc.++... 194 11,225 NCO Group, Inc.++..................... 287 28,625 Nova Corporation++.................... 528 13,150 Rollins, Inc. ........................ 254 47,550 SEI Investment Company................ 1,483 25,825 Sotheby's Holdings, Class A++......... 474 16,325 Sylvan Learning Systems, Inc.++....... 337 22,000 True North Communications............. 831 30,800 United Rentals, Inc.++(a)............. 503 23,475 Valassis Communications Inc.++........ 681 40,400 Viad Corporation...................... 963 -------- 14,978 --------
SEE NOTES TO FINANCIAL STATEMENTS. 31 36 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- COMPUTER SERVICES -- 2.7% 39,100 Acxiom Corporation++(a)............... $ 816 63,950 Ceridian Corporation.................. 898 23,000 CSG Systems International, Inc.++..... 947 38,875 Galileo International, Inc. .......... 851 38,625 Jack Henry & Associates, Inc. ........ 915 45,550 Storage Technology Corporation++...... 496 58,225 Sungard Data Systems, Inc.++.......... 2,867 17,725 Sykes Enterprises, Inc.++............. 97 26,625 Synopsys, Inc.++...................... 1,250 -------- 9,137 -------- COMPUTERS AND OFFICE EQUIPMENT -- 1.3% 19,125 Avocent Corporation++................. 417 16,850 InFocus Corporation++................. 276 33,500 Miller (Herman) Inc. ................. 774 22,200 National Instruments Corporation++.... 724 66,200 Quantum Corporation - DLT & Storage Systems++........................... 768 34,400 Sensormatic Electronics Corporation++....................... 654 23,550 Tech Data Corporation++............... 695 17,725 Wallace Computer Services, Inc. ...... 288 -------- 4,596 -------- CONGLOMERATES -- 1.1% 18,425 Dycom Industries, Inc.++.............. 238 11,975 Granite Construction.................. 407 21,325 Pentair, Inc. ........................ 543 45,875 Scana Corporation..................... 1,246 13,325 SPX Corporation++..................... 1,209 -------- 3,643 -------- CONSTRUCTION -- 0.2% 25,025 Quanta Services, Inc.++(a)............ 559 -------- CONSUMER CREDIT AND MORTGAGES -- 0.4% 44,250 Greenpoint Financial Corporation...... 1,443 -------- CONSUMER SERVICES -- 0.3% 41,575 The Dial Corporation.................. 520 18,650 Valspar Corporation................... 535 -------- 1,055 -------- DEPARTMENT AND DISCOUNT STORES -- 0.4% 20,825 Neiman Marcus Group Inc., Class A++... 679 62,000 Saks, Inc.++.......................... 806 -------- 1,485 -------- DIVERSIFIED ELECTRONICS -- 1.7% 10,050 Black Hills Corporation............... 459 31,325 Diebold, Inc. ........................ 860 55,975 DPL Inc.?............................. 1,574 28,850 Harris Corporation.................... 714 14,375 Hawaiian Electric Industries, Inc. ... 531 25,975 Hubbell Inc. ......................... 605 63,925 SCI Systems, Inc.++?.................. 1,163 -------- 5,906 --------
VALUE SHARES (000) ----------------------------------------------------------- DIVERSIFIED MANUFACTURING -- 2.4% 13,450 Albany International Corporation, Class A++........................... $ 247 13,250 Carlisle Companies Inc. .............. 432 19,400 Donaldson Company, Inc. .............. 518 40,175 Energizer Holdings Inc.++............. 1,003 19,850 Federal Signal Corporation............ 388 17,500 Harsco Corporation.................... 429 13,100 Kaydon Corporation.................... 353 16,500 Lancaster Colony Corporation.......... 480 12,875 Modine Manufacturing Company.......... 332 2,325 NCH Corporation....................... 111 14,250 Nordson Corporation................... 371 22,675 Pittson Brink's Group................. 492 18,050 Plexus Corporation++.................. 463 21,375 Sensient Technologies Corporation..... 487 12,300 Stewart & Stevenson Services, Inc. ... 268 8,275 Tecumseh Products Company............. 400 16,750 Teleflex Inc. ........................ 686 19,000 USG Corporation....................... 290 16,650 York International Corporation........ 461 -------- 8,211 -------- ELECTRIC POWER -- NON NUCLEAR -- 3.7% 33,000 Allete................................ 852 34,600 Alliant Energy Corporation............ 1,101 9,850 Cleco Corporation..................... 448 24,475 DQE Inc. ............................. 713 16,400 Idacorp, Inc. ........................ 627 62,925 Northeast Utilities Company........... 1,094 34,125 OGE Energy Corporation(a)............. 785 48,775 Potomac Electric Power Company........ 1,140 34,375 Sierra Pacific Resources.............. 509 58,450 TECO Energy, Inc. .................... 1,750 46,275 The Montana Power Company............. 652 48,350 UtiliCorp United Inc. ................ 1,565 29,300 Vectren Corporation................... 627 30,650 Western Resources, Inc. .............. 731 -------- 12,594 -------- ELECTRIC POWER -- NUCLEAR -- 1.1% 38,800 Conectiv, Inc. ....................... 848 51,450 Energy East Corporation............... 892 27,100 Kansas City Power & Light Company..... 667 23,225 NSTAR................................. 889 17,125 Public Service Company of New Mexico(a)........................... 497 -------- 3,793 -------- ELECTRICAL EQUIPMENT -- 0.2% 14,100 AMETEK, Inc. ......................... 389 10,450 Cabot Microelectronics Corporation++(a).................... 463 -------- 852 -------- ENERGY -- MISCELLANEOUS -- 0.6% 37,525 Puget Energy Inc.(a).................. 859 53,000 Wisconsin Energy Corporation(a)....... 1,143 -------- 2,002 --------
SEE NOTES TO FINANCIAL STATEMENTS. 32 37 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- FINANCE -- MISCELLANEOUS -- 1.0% 35,050 AmeriCredit Corporation++(a).......... $ 1,136 60,300 Clayton Homes Inc. ................... 727 27,525 IndyMac Bancorp, Inc.++............... 791 13,825 Investment Technology Group, Inc.++... 708 -------- 3,362 -------- FOOD AND DRUG STORES -- 0.1% 20,250 Ruddick Corporation................... 277 -------- FOOD PRODUCTS -- 2.1% 15,600 Dean Foods Company.................... 528 24,450 Dole Food Company..................... 393 12,375 Dreyer's Grand Ice Cream Inc. ........ 321 60,700 Hormel Foods Corporation.............. 1,182 46,250 IBP, Inc.(a).......................... 759 22,075 Interstate Bakeries Corporation....... 337 10,600 J.M. Smucker Company.................. 278 12,675 Lance, Inc. .......................... 143 30,025 McCormick and Company, Inc. .......... 1,261 11,900 Suiza Foods Corporation++(a).......... 572 97,400 Tyson Foods Inc., Class A............. 1,312 -------- 7,086 -------- HEALTH SERVICES -- 4.8% 23,050 AmeriSource Health Corporation, Class A++(a).............................. 1,131 23,025 Apria Healthcare Group Inc.++......... 557 25,325 Covance Inc.++........................ 325 16,975 Express Scripts Inc., Class A++(a).... 1,471 20,850 First Health Group Corporation++...... 915 106,700 Health Management Associates, Inc., Class A++........................... 1,659 53,650 Health Net Inc.++..................... 1,106 22,825 Lincare Holdings Inc.++............... 1,208 40,350 Omnicare, Inc. ....................... 866 43,075 Oxford Health Plans, Inc.++........... 1,152 14,950 Pacificare Health Systems Inc.++(a)... 372 20,225 Quest Diagnostics Inc.++.............. 1,797 31,375 Quorum Health Group Inc.++............ 477 16,450 Trigon Healthcare, Inc.++............. 847 56,625 Waters Corporation++.................. 2,630 -------- 16,513 -------- HEAVY MACHINERY -- 0.4% 26,100 Agco Corporation...................... 251 16,400 Flowserve Corporation++............... 368 15,450 Imation Corporation++................. 347 13,325 Kennametal Inc. ...................... 366 -------- 1,332 -------- HOUSEHOLD PRODUCTS -- 0.2% 20,600 Blyth Industries, Inc.(a)............. 475 16,900 Church & Dwight Company, Inc. ........ 367 -------- 842 --------
VALUE SHARES (000) ----------------------------------------------------------- HOUSING AND FURNISHING -- 1.0% 21,750 Furniture Brands International, Inc.++.............................. $ 515 26,375 Hon Industries Inc. .................. 606 27,625 Lennar Corporation(a)................. 1,102 22,950 Mohawk Industries Inc.++.............. 644 44,775 RPM Inc. ............................. 457 -------- 3,324 -------- INSURANCE -- 3.6% 23,275 Allmerica Financial Corporation....... 1,208 29,050 American Financial Group, Inc. ....... 700 34,475 Arthur J. Gallagher & Company......... 955 20,075 Everest Re Group, Ltd. ............... 1,335 17,750 Horace Mann Educators Corporation..... 314 24,225 Leucadia National Corporation(a)...... 779 21,925 MONY Group Inc. ...................... 728 26,300 Ohio Casualty Corporation............. 247 51,600 Old Republic International Corporation......................... 1,466 19,400 PMI Group, Inc. ...................... 1,261 28,300 Protective Life Corporation........... 868 20,250 Radian Group Inc. .................... 1,372 10,850 Ryerson Tull Inc. .................... 109 29,625 Unitrin, Inc. ........................ 1,078 -------- 12,420 -------- INTEGRATED OIL -- 2.3% 23,750 AGL Resources Inc. ................... 520 19,750 Murphy Oil Corporation................ 1,315 24,525 Noble Affiliates, Inc. ............... 1,023 73,375 Ocean Energy Inc. .................... 1,214 43,125 Pioneer Natural Resources Company++... 677 35,250 Questar Corporation................... 966 38,100 Ultramar Diamond Shamrock Corporation......................... 1,379 26,750 Valero Energy Corporation............. 950 -------- 8,044 -------- INVESTMENT SERVICES -- 2.1% 35,175 A.G. Edwards, Inc. ................... 1,301 139,400 E*TRADE Group, Inc.++................. 973 24,600 LaBranche and Company Inc.++(a)....... 791 27,300 Legg Mason, Inc. ..................... 1,149 21,375 Neuberger Berman Inc.(a).............. 1,331 26,950 Roslyn Bancorp, Inc. ................. 606 36,675 Waddell & Reed Financial, Inc., Class A(a)................................ 1,040 -------- 7,191 -------- LODGING AND RECREATION -- 1.7% 32,500 Callaway Golf Company................. 722 32,125 International Game Technology++....... 1,617 23,275 International Speedway Corporation(a)...................... 863 33,400 Mandalay Resorts Group++(a)........... 667 130,275 Park Place Entertainment Corporation++....................... 1,335 34,475 Six Flags, Inc.++(a).................. 667 -------- 5,871 --------
SEE NOTES TO FINANCIAL STATEMENTS. 33 38 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- 1.8% 46,150 Apogent Technologies Inc.++........... $ 934 26,025 Beckman Coulter, Inc. ................ 1,017 22,550 DENTSPLY International Inc. .......... 823 25,700 Edwards Lifesciences Corporation++.... 504 27,350 Hillenbrand Industries, Inc. ......... 1,320 28,275 Minimed Inc.++(a)..................... 822 30,050 STERIS Corporation++.................. 424 26,650 VISX Inc.++........................... 458 -------- 6,302 -------- METALS AND MINING -- 0.3% 47,150 AK Steel Holding Corporation.......... 474 9,650 Carpenter Technology Corporation...... 271 2,975 Maxxam Inc.++......................... 39 19,775 UCAR International Inc.++(a).......... 229 -------- 1,013 -------- NATURAL GAS DISTRIBUTION -- 1.6% 14,275 Equitable Resources, Inc. ............ 985 25,875 Hanover Compressor Company++.......... 820 39,525 MCN Energy Group Inc. ................ 1,020 29,100 MDU Resources Group, Inc. ............ 1,039 17,300 National Fuel Gas Company............. 927 20,350 WGL Holdings Inc. .................... 563 -------- 5,354 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.2% 149,050 3Com Corporation++.................... 852 17,300 ADTRAN, Inc.++(a)..................... 425 35,325 Advanced Fibre Communications, Inc.++.............................. 506 14,675 L-3 Communications Holdings, Inc.++... 1,159 21,550 Plantronics, Inc.++................... 383 35,825 Polycom, Inc.++....................... 443 27,675 Powerwave Technologies, Inc.++........ 377 -------- 4,145 -------- OILFIELD SERVICES -- 5.1% 35,975 BJ Services Company++?................ 2,562 23,625 Cooper Cameron Corporation++.......... 1,276 60,675 ENSCO International Inc.?............. 2,124 77,125 Global Marine Inc.++.................. 1,974 47,550 Grant Prideco Inc.++.................. 818 21,950 Helmerich & Payne, Inc. .............. 1,016 24,850 Marine Drilling Companies, Inc.++..... 662 35,300 National-Oilwell, Inc.++(a)........... 1,222 22,075 Smith International, Inc.++(a)........ 1,550 24,475 Tidewater Inc. ....................... 1,106 41,375 Varco International, Inc.++........... 854 48,150 Weatherford International, Inc.++(a)........................... 2,377 -------- 17,541 -------- PACKAGING AND CONTAINERS -- 0.4% 22,500 Longview Fibre Company................ 293 43,600 Sonoco Products Company............... 937 -------- 1,230 --------
VALUE SHARES (000) ----------------------------------------------------------- PAPER AND FOREST PRODUCTS -- 0.9% 21,950 Bowater Inc. ......................... $ 1,040 35,250 Georgia-Pacific Corporation (Timber Group).............................. 1,012 18,575 P.H. Glatfelter Company............... 237 11,875 Rayonier Inc. ........................ 490 22,450 Wausau-Mosinee Paper Corporation...... 292 -------- 3,071 -------- PHARMACEUTICALS -- 6.3% 15,500 Barr Laboratories, Inc.++(a).......... 886 59,200 Bergen Brunswig Corporation, Class A................................... 983 19,825 Carter-Wallace, Inc. ................. 494 23,825 COR Therapeutics, Inc.++(a)........... 536 41,575 Genzyme Corporation++(a).............. 3,755 41,225 Gilead Sciences, Inc.++............... 1,340 34,875 ICN Pharmaceuticals Inc.(a)........... 887 62,800 IDEC Pharmaceuticals Corporation++.... 2,512 28,100 Incyte Pharmaceuticals, Inc.++........ 431 69,825 IVAX Corporation++.................... 2,199 93,100 Millennium Pharmaceuticals, Inc.++.... 2,836 54,725 Mylan Laboratories, Inc. ............. 1,415 32,200 Perrigo Company++..................... 318 18,950 Protein Design Labs, Inc.++(a)........ 843 34,000 Sepracor Inc.++(a).................... 1,088 25,850 Vertex Pharmaceuticals Inc.++......... 947 -------- 21,470 -------- PUBLISHING AND ADVERTISING -- 2.3% 49,775 A.H. Belo Corporation................. 820 10,775 Banta Corporation..................... 261 35,100 Dun & Bradstreet Corporation++........ 827 29,425 Harte-Hanks, Inc. .................... 666 12,650 Houghton Mifflin Company.............. 582 19,150 Lee Enterprises, Inc. ................ 583 45,100 Readers Digest Association, Inc., Class A(a).......................... 1,239 15,275 Scholastic Corporation(a)............. 551 4,125 The Washington Post Company, Class B................................... 2,384 -------- 7,913 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.9% 21,050 Airborne, Inc. ....................... 214 37,000 C.H. Robinson Worldwide, Inc. ........ 1,013 21,300 CNF Inc. ............................. 615 20,475 EGL, Inc.++........................... 499 22,500 Expeditors International of Washington, Inc. ................... 1,135 20,925 GATX Corporation...................... 888 15,400 J.B. Hunt Transport Services, Inc.++.............................. 241 15,475 Newport News Shipbuilding Inc. ....... 757 27,700 Swift Transportation Company, Inc.++.............................. 512 16,150 Trinity Industries, Inc. ............. 315 20,325 Wisconsin Central Transportation Corporation++....................... 324 -------- 6,513 --------
SEE NOTES TO FINANCIAL STATEMENTS. 34 39 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- RESTAURANTS -- 0.9% 15,225 Bob Evans Farms, Inc. ................ $ 270 43,425 Brinker International, Inc.++......... 1,213 24,600 CBRL Group Inc. ...................... 447 10,950 Lone Star Steakhouse & Saloon......... 102 33,625 Outback Steakhouse, Inc.++(a)......... 856 10,050 Papa John's International Inc.++(a)... 239 -------- 3,127 -------- SEMICONDUCTORS -- 6.3% 43,025 Arrow Electronics, Inc.++(a).......... 972 204,200 Atmel Corporation++?.................. 2,004 40,450 Avnet, Inc. .......................... 829 34,625 Cirrus Logic, Inc.++.................. 517 23,550 Credence Systems Corporation++........ 483 57,600 Cypress Semiconductor Corporation++... 1,021 26,950 Dallas Semiconductor Corporation...... 701 11,875 DSP Group, Inc.++..................... 184 46,800 Intergrated Device Technology, Inc.++(a)........................... 1,386 27,300 International Rectifier Corporation++(a).................... 1,106 38,375 KEMET Corporation++................... 650 53,700 Lam Research Corporation++............ 1,275 47,050 Lattice Semiconductor Corporation++... 856 37,325 Micrel, Inc.++........................ 1,043 57,075 Microchip Technology Inc.++........... 1,445 16,975 MIPS Technologies, Inc.++............. 390 29,725 Nvidia Corporation++(a)............... 1,930 71,450 RF Micro Devices, Inc.++.............. 835 29,475 SanDisk Corporation++................. 601 18,650 Sawtek Inc.++......................... 332 29,450 Semtech Corporation++(a).............. 867 36,175 TranSwitch Corporation++.............. 475 34,375 TriQuint Semiconductor, Inc.++........ 509 60,400 Vishay Intertechnology, Inc.++?....... 1,202 -------- 21,613 -------- SOFTWARE -- 6.3% 21,875 Affiliated Computer Services, Inc., Class A++........................... 1,420 107,650 Cadence Design Systems, Inc.++........ 1,990 33,375 Checkfree Corporation++?.............. 982 54,700 DST Systems, Inc.++................... 2,636 58,250 Electronic Arts Inc.++................ 3,161 14,900 GTECH Holdings Corporation++.......... 406 122,525 Informix Corporation++................ 662 30,200 Keane Inc.++.......................... 393 38,250 Legato Systems Inc.++................. 461 25,775 Macromedia Inc.++..................... 414 21,750 Macrovision Corporation++............. 947 28,300 Mentor Graphics Corporation++......... 584 60,275 Network Associates, Inc.++............ 497 89,025 Rational Software Corporation++?...... 1,580 20,975 Retek Inc.++.......................... 395
VALUE SHARES (000) ----------------------------------------------------------- SOFTWARE -- (CONTINUED) 40,175 Reynolds & Reynolds Company, Class A................................... $ 773 15,575 Structural Dynamics Research Corporation++....................... 221 38,400 Sybase, Inc.++........................ 595 33,125 Symantec Corporation++................ 1,385 25,100 The BISYS Group, Inc.++(a)............ 1,341 15,925 Transaction Systems Architects, Inc.++.............................. 114 32,550 Wind River Systems++(a)............... 757 -------- 21,714 -------- SPECIALTY STORES -- 3.3% 43,275 Abercrombie & Fitch Company++......... 1,415 30,525 American Eagle Outfitters, Inc.++(a)........................... 878 28,275 Barnes & Noble, Inc.++................ 676 31,700 BJ's Wholesale Club, Inc.++(a)........ 1,517 34,425 Borders Group Inc.++.................. 579 38,225 CDW Computer Centers, Inc.++.......... 1,185 21,425 Claire's Stores, Inc. ................ 379 47,275 Dollar Tree Stores, Inc.++(a)......... 911 75,025 Family Dollar Stores, Inc.?........... 1,927 9,600 Payless ShoeSource, Inc.++............ 598 35,500 Ross Stores, Inc. .................... 666 24,875 Williams-Sonoma, Inc.++............... 653 -------- 11,384 -------- TELECOMMUNICATIONS SERVICES -- 1.7% 16,700 Antec Corporation++................... 122 94,675 Broadwing Inc.++...................... 1,812 22,425 CommScope, Inc.++..................... 374 20,850 Mastec, Inc.++........................ 282 15,675 Newport Corporation(a)................ 459 24,325 Price Communications Corporation++.... 419 25,750 Telephone and Data Systems, Inc. ..... 2,407 -------- 5,875 -------- TOBACCO -- 0.9% 44,700 R.J. Reynolds Tobacco Holdings, Inc. ............................... 2,508 11,900 Universal Corporation................. 469 -------- 2,977 -------- UTILITIES -- MISCELLANEOUS -- 0.7% 17,725 Alexander & Baldwin, Inc. ............ 379 43,125 American Water Works Company, Inc. ... 1,391 21,750 Covanta Energy Corporation++.......... 365 14,875 Overseas Shipholding Group, Inc. ..... 409 -------- 2,544 -------- TOTAL COMMON STOCKS (Cost $346,771)....................... 337,596 -------- WARRANTS -- 0.0%+ (Cost $13) 45,847 Dime Bancorp Litigation Tracking Warrant(b).......................... 11 --------
SEE NOTES TO FINANCIAL STATEMENTS. 35 40 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
SHARES VALUE (000) (000) ----------------------------------------------------------- INVESTMENT COMPANIES -- 14.9% (Cost $51,143) 51,143 Nations Cash Reserves#................. $ 51,143 -------- TOTAL INVESTMENTS (Cost $397,927*).............. 113.4% 388,750 -------- OTHER ASSETS AND LIABILITIES (NET)........... (13.4)% Receivable for investment securities sold................................. $ 6,895 Dividends receivable................... 225 Interest receivable.................... 35 Receivable from investment advisor..... 144 Receivable for variation margin........ 23 Collateral on securities loaned........ (46,457) Administration fee payable............. (212) Due to custodian....................... (46) Payable for investment securities purchased............................ (6,501) Accrued Trustees' fees and expenses.... (9) Accrued expenses and other liabilities.......................... (129) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET).................... (46,032) -------- NET ASSETS.................... 100.0% $342,718 ======== NET ASSETS CONSIST OF: Undistributed net investment income.... $ 28 Accumulated net realized gain on investments sold and futures contracts............................ 12,446 Net unrealized depreciation of investments and futures contracts.... (9,293) Paid-in capital........................ 339,537 -------- NET ASSETS............................. $342,718 ========
VALUE ----------------------------------------------------------- PRIMARY A SHARES Net asset value, offering and redemption price per share (342,502,628 / 40,808,711 shares outstanding)......................... $8.39 ======== INVESTOR A SHARES Net asset value, offering and redemption price per share (215,402 / 25,598 shares outstanding)......................... $8.41 ========
--------------- * Federal Income Tax Information: Net unrealized depreciation of $19,573 on investment securities was comprised of gross appreciation of $42,004 and gross depreciation of $61,577 for federal income tax purposes. At March 31, 2001, the aggregate cost of securities for federal income tax purposes was $408,323. ++ Non-income producing security. ?All or a portion of security segregated as collateral for futures contracts. !Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, Inc. A portion of this amount represents cash collateral received from securities lending activity (Note 9). The portion that represents cash collateral is $46,457. (a)All or a portion of security was on loan at March 31, 2001. The aggregate cost and market value of securities on loan at March 31, 2001 is $46,636 and $44,190, respectively. (b)This warrant represents a potential distribution settlement in a legal claim. SEE NOTES TO FINANCIAL STATEMENTS. 36 41 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- COMMON STOCKS -- 99.7% AEROSPACE AND DEFENSE -- 1.1% 21,400 AAR Corporation....................... $ 273 11,100 Alliant Techsystems Inc.++............ 984 17,900 Armor Holdings, Inc.++................ 315 20,400 BE Aerospace, Inc.++(a)............... 375 33,700 GenCorp Inc. ......................... 358 29,900 Orbital Sciences Corporation++........ 179 25,100 Teledyne Technologies Inc.++.......... 351 -------- 2,835 -------- AIRLINES -- 1.1% 33,800 Atlantic Coast Airlines Holdings, Inc.++.............................. 710 17,000 Forward Air Corporation++............. 556 22,300 Frontier Airlines, Inc.++............. 272 25,800 Mesa Air Group, Inc.++................ 216 11,000 Midwest Express Holdings, Inc.++...... 174 44,700 SkyWest, Inc. ........................ 1,039 -------- 2,967 -------- APPAREL AND TEXTILES -- 2.5% 10,400 Ashworth Inc.++....................... 67 14,100 Brown Shoe Company, Inc. ............. 266 11,200 Casual Male Corporation............... 34 20,400 Cone Mills Corporation++.............. 64 16,300 G & K Services, Inc., Class A......... 325 17,100 Genesco Inc.++........................ 469 5,200 Haggar Corporation.................... 67 13,800 Hancock Fabrics Inc. ................. 104 23,800 Hartmarx Corporation++................ 76 8,000 K-Swiss Inc., Class A................. 205 18,000 Kellwood Company...................... 374 25,200 Nautica Enterprises Inc.++............ 452 9,700 Oshkosh B'Gosh Inc. .................. 247 5,800 Oxford Industries Inc. ............... 105 21,700 Phillips-Van Heusen Corporation....... 327 17,900 Quiksilver, Inc.++.................... 475 25,400 Russell Corporation................... 475 14,300 Springs Industries Inc., Class A...... 612 33,100 Stride Rite Corporation............... 248 31,600 Timberland Company, Class A++?........ 1,605 -------- 6,597 -------- AUTOMOTIVE -- 1.1% 15,800 Aaron Rents, Inc. .................... 254 43,500 Copart, Inc.++........................ 891 15,900 Group 1 Automotive, Inc.++............ 200 20,300 Intermet Corporation.................. 56 12,100 Midas, Inc. .......................... 159 17,200 Myers Industries Inc. ................ 232 13,300 Oshkosh Truck Corporation............. 472 9,900 Standard Motor Products, Inc.(a)...... 105 16,900 TBC Corporation++..................... 102 28,400 Tenneco Automotive Inc. .............. 80 16,500 Titan International Inc. ............. 59 35,900 Tower Automotive, Inc.++.............. 385 -------- 2,995 --------
VALUE SHARES (000) ----------------------------------------------------------- BEVERAGES -- 0.5% 7,000 Coca-Cola Bottling Company............ $ 283 16,200 Constellation Brands, Inc.++.......... 1,162 -------- 1,445 -------- BROADCASTING AND CABLE -- 0.0%+ 9,700 4Kids Entertainment Inc.++............ 109 -------- CHEMICALS -- BASIC -- 0.5% 20,000 Cambrex Corporation................... 831 25,000 Georgia Gulf Corporation.............. 435 20,800 Mississippi Chemical Corporation++(a).................... 70 -------- 1,336 -------- CHEMICALS -- SPECIALTY -- 2.1% 17,600 Arch Chemicals, Inc. ................. 375 8,000 Chemed Corporation.................... 278 11,800 ChemFirst Inc. ....................... 314 24,800 MacDermid, Inc. ...................... 448 19,000 OM Group, Inc. ....................... 1,011 31,500 Omnova Solutions Inc. ................ 209 5,900 Penford Corporation................... 52 75,000 PolyOne Corporation................... 683 7,000 Quaker Chemical Corporation........... 124 12,000 Rogers Corporation++.................. 426 22,700 Scotts Company, Class A++............. 864 10,800 TETRA Technologies Inc.++(a).......... 219 25,400 Wellman Inc. ......................... 489 -------- 5,492 -------- COMMERCIAL BANKING -- 7.5% 31,400 Centura Banks Inc. ................... 1,552 21,000 Chittenden Corporation................ 655 25,000 Commerce Bancorp, Inc.?............... 1,499 43,200 Commercial Federal Corporation........ 963 33,500 Community First Bankshares, Inc. ..... 676 41,300 Cullen Frost Bankers, Inc. ........... 1,415 22,500 Downey Financial Corporation.......... 1,019 18,100 East West Bancorp, Inc. .............. 348 32,600 First Midwest Bancorp, Inc. .......... 918 21,000 Firstbank Corporation................. 544 13,700 FirstFed Financial Corporation++...... 384 9,200 GBC Bancorp........................... 262 42,400 Hudson United Bancorp................. 962 18,400 MAF Bancorp Inc. ..................... 504 35,000 New York Community Bancorp, Inc. ..... 1,015 21,100 Provident Bankshares Corporation...... 472 22,600 Riggs National Corporation............ 359 34,500 South Financial Group, Inc. .......... 492 22,800 Southwest Bancorporation of Texas++... 715 28,100 Staten Island Bancorp, Inc. .......... 700 20,900 Sterling Bancshares, Inc. ............ 366 31,300 Susquehanna Bancshares Inc. .......... 563 48,900 TrustCo Bank Corporation NY........... 630 33,300 United Bankshares Inc. ............... 737 45,800 Washington Federal, Inc. ............. 1,125 18,100 Whitney Holding Corporation........... 716 -------- 19,591 --------
SEE NOTES TO FINANCIAL STATEMENTS. 37 42 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- COMMERCIAL SERVICES -- 3.9% 18,400 ABM Industries Inc. .................. $ 575 21,900 Administaff, Inc.++................... 397 16,100 ADVO Inc.++........................... 594 21,800 Arbitron Inc. ........................ 501 44,300 Brightpoint, Inc.++................... 107 5,100 Butler Manufacturing Company.......... 117 15,200 CDI Corporation++..................... 198 29,000 Central Parking Corporation........... 528 16,700 Computer Task Group Inc. ............. 78 39,700 eLoyalty Corporation++................ 97 12,800 F.Y.I. Inc.++......................... 428 26,200 Factset Research Systems Inc. ........ 791 14,900 Florida Rock Industries............... 588 16,400 Franklin Covey Company++.............. 133 21,100 Global Payments Inc.++................ 390 10,500 Hall Kinion & Associates, Inc.++...... 61 15,400 Heidrick & Struggles International, Inc.++(a)............ 446 12,200 IMCO Recycling Inc.++................. 55 9,300 Insurance Auto Auctions Inc.++........ 114 33,000 Labor Ready, Inc.++................... 104 16,900 MAXIMUS, Inc.++....................... 500 12,300 Memberworks Inc.++.................... 289 26,300 National Data Corporation............. 614 18,400 On Assignment, Inc.++................. 384 19,600 Pegasus Solutions Inc.++.............. 175 36,000 Polaroid Corporation.................. 153 18,000 Prepaid Legal Services Inc.++(a)...... 186 11,100 Startek, Inc.++....................... 157 32,100 Tetra Tech, Inc.++.................... 650 38,200 The Profit Recovery Group International, Inc.++(a)............ 239 13,400 URS Corporation++..................... 255 12,100 Volt Information Sciences Inc.++...... 218 21,200 Watsco Inc. .......................... 245 -------- 10,367 -------- COMPUTER SERVICES -- 0.8% 18,000 Analysts International Corporation.... 93 9,000 CACI International, Inc.++............ 243 11,500 Fair, Issac and Company Inc. ......... 673 17,500 Gerber Scientific Inc. ............... 117 11,700 QRS Corporation++..................... 99 22,100 Radiant Systems, Inc.++............... 305 12,100 SCM Microsystems, Inc.++(a)........... 187 73,700 SONICblue Inc.++...................... 350 13,300 Zixit Corporation++(a)................ 94 -------- 2,161 -------- COMPUTERS AND OFFICE EQUIPMENT -- 2.0% 30,700 Avant Corporation++................... 530 18,100 Brady Corporation..................... 610 18,500 Exabyte Corporation++................. 27 19,800 Hutchinson Technology, Inc.++(a)...... 296 23,100 Information Resources, Inc.++......... 150 10,000 Kronos Inc.++......................... 314 17,100 Mercury Computer Systems, Inc.++...... 656 13,800 Micros Systems, Inc.++................ 279 40,600 Pinnacle Systems, Inc.++.............. 343 13,800 Radisys Corporation++................. 235
VALUE SHARES (000) ----------------------------------------------------------- COMPUTERS AND OFFICE EQUIPMENT -- (CONTINUED) 94,200 Read-Rite Corporation++............... $ 781 12,700 Standard Microsystems Corporation++... 191 25,100 Zebra Technologies Corporation++?..... 956 -------- 5,368 -------- CONGLOMERATES -- 1.3% 25,100 Advanced Energy Industries, Inc.++(a)........................... 648 22,200 Apogee Enterprises, Inc. ............. 158 21,200 Insituform Technologies Inc., Class A++................................. 692 32,400 The Shaw Group Inc.++(a).............. 1,513 17,800 Triarc Companies++.................... 438 -------- 3,449 -------- CONSTRUCTION -- 0.2% 13,600 SCP Pool Corporation++................ 442 -------- CONSUMER SERVICES -- 1.3% 6,800 Angelica Corporation.................. 79 10,200 Building Materials Holding Corporation++....................... 100 9,900 Edgewater Technology, Inc.++.......... 41 25,500 Fedders Corporation................... 143 17,700 Kaman Corporation..................... 290 48,100 La-Z-Boy Inc. ........................ 856 10,300 New England Business Service, Inc. ... 191 11,400 Royal Appliance Manufacturing Company++........................... 44 15,800 Russ Berrie & Company Inc. ........... 398 49,600 Spherion Corporation++................ 344 17,800 The Kroll-O'Gara Company++............ 96 12,000 Thomas Industries Inc. ............... 248 33,100 Wolverine World Wide.................. 483 -------- 3,313 -------- DEPARTMENT AND DISCOUNT STORES -- 0.4% 20,300 Cash America Investments Inc. ........ 124 10,200 Factory 2-U Stores Inc.++............. 279 32,600 Regis Corporation..................... 476 22,900 ShopKo Stores, Inc.++................. 183 -------- 1,062 -------- DIVERSIFIED ELECTRONICS -- 3.1% 46,600 Aeroflex, Inc.++...................... 481 10,300 Analogic Corporation.................. 463 29,900 Anixter International Inc.++(a)....... 720 30,300 Artesyn Technologies, Inc.++.......... 328 10,900 AstroPower, Inc.++(a)................. 327 17,900 Audiovox Corporation++................ 137 8,500 Bel Fuse Inc. ........................ 198 15,600 Benchmark Electronics Inc.++(a)....... 304 21,900 BMC Industries, Inc. ................. 122 24,100 Checkpoint Systems Inc.++(a).......... 228 21,700 Concord Camera Corporation++.......... 153 22,100 CTS Corporation?...................... 459 17,600 Dionex Corporation++.................. 553 16,100 Esterline Technologies Corporation++....................... 350 25,500 Harman International Industries....... 653 17,900 Helix Technology Corporation.......... 420 12,200 Itron Inc.++(a)....................... 145 12,600 Keithley Instruments, Inc. ........... 204 22,800 Kent Electronics Corporation++........ 410 28,400 Methode Electronics Inc.?............. 509
SEE NOTES TO FINANCIAL STATEMENTS. 38 43 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- DIVERSIFIED ELECTRONICS -- (CONTINUED) 22,000 Pioneer Standard Electronics(a)....... $ 270 28,100 Robotic Vision Systems, Inc.++(a)..... 68 18,700 Trimble Navigation Ltd.++............. 354 8,700 Ultimate Electronics, Inc.++.......... 218 32,600 Valence Technology, Inc.++(a)......... 149 -------- 8,223 -------- DIVERSIFIED MANUFACTURING -- 3.3% 18,800 A.O. Smith Corporation................ 367 14,900 Barnes Group Inc. .................... 283 19,400 Belden Inc. .......................... 389 19,400 CLARCOR Inc. ......................... 448 13,600 Cross (A.T.) Company++................ 100 13,000 CUNO Inc.++........................... 377 30,600 Delta and Pine Land Company........... 738 15,300 Elcor Corporation..................... 214 23,700 Griffon Corporation++................. 187 12,000 Innovex Inc.++........................ 59 12,900 Ionics Inc.++......................... 335 14,300 JAKKS Pacific, Inc.++(a).............. 152 7,700 Lawson Products....................... 191 44,200 Lennox International Inc. ............ 455 12,600 Lydall Inc.++......................... 131 13,200 Meade Instruments Corporation++....... 54 10,000 Photon Dynamics, Inc.++............... 211 24,400 Roper Industries, Inc. ............... 875 13,500 Scott Technologies, Inc.++............ 299 9,500 Simpson Manufacturing Company, Inc.++.............................. 468 10,200 SPS Technologies Inc.++............... 460 9,700 Standex International Corporation..... 223 21,400 Sturm, Ruger & Company Inc. .......... 210 30,300 Tredegar Industries, Inc. ............ 533 33,700 Vicor Corporation++?.................. 691 21,100 Watts Industries, Inc. ............... 352 -------- 8,802 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.8% 5,800 Bangor Hydro-Electric Company......... 152 9,100 Central Vermont Public Services....... 150 13,300 CH Energy Group, Inc. ................ 589 4,500 Green Mountain Power Corporation...... 75 11,500 UIL Holdings Corporation.............. 546 25,900 UniSource Energy Corporation.......... 544 -------- 2,056 -------- ELECTRIC POWER -- NUCLEAR -- 0.4% 27,600 RGS Energy Group Inc. ................ 1,021 -------- ELECTRICAL EQUIPMENT -- 0.6% 31,300 APW Ltd.++?........................... 269 20,900 C&D Technologies, Inc. ............... 576 16,100 Cohu, Inc. ........................... 251 12,200 Intermagnetics General Corporation++....................... 296 17,800 Magnetek, Inc.++...................... 168 -------- 1,560 --------
VALUE SHARES (000) ----------------------------------------------------------- ENERGY -- MISCELLANEOUS -- 0.5% 37,600 Avista Corporation.................... $ 662 26,000 Systems & Computer Technology Corporation++....................... 239 21,500 UGI Corporation....................... 527 -------- 1,428 -------- EXPLORATION AND PRODUCTION -- 0.8% 10,900 Key Production Company, Inc.++........ 226 14,000 Nuevo Energy Company++................ 248 16,100 Patina Oil and Gas Corporation........ 430 19,900 Southwestern Energy Company........... 197 20,600 Stone Energy Corporation++............ 1,015 -------- 2,116 -------- FINANCE -- MISCELLANEOUS -- 0.2% 18,200 Anchor Bancorp Wisconsin Inc. ........ 253 7,400 UCBH Holdings Inc. ................... 360 -------- 613 -------- FOOD AND DRUG STORES -- 1.0% 39,500 Casey's General Stores, Inc. ......... 472 31,500 Fleming Companies, Inc. .............. 802 9,100 Nash-Finch Company.................... 158 30,600 The Great Atlantic & Pacific Tea Company, Inc. ...................... 280 21,300 Whole Foods Market, Inc.++(a)......... 897 -------- 2,609 -------- FOOD PRODUCTS -- 2.5% 7,900 Agribrands International, Inc.++...... 426 13,900 American Italian Pasta Company++...... 445 28,000 Corn Products International Inc. ..... 718 33,700 Earthgrains Company................... 716 26,500 Hain Celestial Group, Inc.++.......... 769 15,000 International Multifoods Corporation++....................... 289 6,700 J & J Snack Foods Corporation++....... 113 14,500 Michael Foods, Inc. .................. 433 13,800 Performance Food Group Company++...... 725 23,800 Ralcorp Holdings, Inc.++.............. 426 43,400 Smithfield Foods, Inc.++(a)........... 1,410 14,600 United Natural Foods, Inc.++.......... 205 -------- 6,675 -------- HEALTH SERVICES -- 4.6% 20,300 Accredo Health, Inc.++................ 664 51,100 Advanced Tissue Sciences, Inc.++...... 201 23,500 AdvancePCS++.......................... 1,275 27,600 Cerner Corporation++.................. 945 47,300 Coventry Health Care, Inc.++.......... 783 6,300 Curative Health Services, Inc.++...... 36 24,100 Immune Response Corporation++(a)...... 61 12,500 IMPATH Inc.++......................... 580 24,100 Invacare Corporation.................. 952 39,000 Mid Atlantic Medical Services, Inc.++.............................. 792 38,800 Orthodontic Centers of America, Inc.++(a)........................... 795 19,600 PAREXEL International Corporation++... 244 12,600 Pediatrix Medical Group, Inc.++....... 280 24,600 Province Healthcare Company++......... 749 37,000 Renal Care Group, Inc.++.............. 992
SEE NOTES TO FINANCIAL STATEMENTS. 39 44 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- HEALTH SERVICES -- (CONTINUED) 23,800 Universal Health Services, Inc., Class B++?(a)............................. $ 2,102 73,200 US Oncology, Inc.++................... 595 -------- 12,046 -------- HEAVY MACHINERY -- 2.6% 15,800 Applied Industrial Technologies, Inc. ............................... 259 15,400 Astec Industries Inc.++............... 201 26,800 Baldor Electric Company............... 564 6,000 CPI Corporation....................... 119 11,800 Flow International Corporation++...... 124 32,500 Foster Wheeler Corporation............ 584 12,200 Gardner Denver Machinery Inc.++....... 239 24,200 Graco Inc. ........................... 677 24,000 IDEX Corporation...................... 695 33,400 JLG Industries, Inc. ................. 434 9,300 Lindsay Manufacturing Company......... 172 19,600 Manitowoc Company, Inc. .............. 486 26,800 Milacron Inc. ........................ 485 33,600 Paxar Corporation++................... 420 16,800 Regal Beloit.......................... 280 8,800 Robbins & Myers, Inc.(a).............. 225 23,900 SpeedFam-IPEC, Inc.++................. 155 10,100 Toro Company.......................... 465 17,000 X-Rite, Inc. ......................... 167 -------- 6,751 -------- HOUSEHOLD PRODUCTS -- 0.2% 5,500 National Presto Industries, Inc. ..... 165 13,200 Natures Sunshine Products Inc. ....... 92 27,700 SLI, Inc. ............................ 231 -------- 488 -------- HOUSING AND FURNISHING -- 2.9% 18,400 Applica Inc.++(a)..................... 114 9,300 Bassett Furniture Industries, Inc. ... 119 37,700 Champion Enterprises Inc.++........... 194 12,400 Coachmen Industries Inc. ............. 111 60,100 D.R. Horton, Inc. .................... 1,270 31,400 Ethan Allen Interiors Inc.(a)......... 1,061 40,600 Interface, Inc., Class A.............. 279 18,600 M.D.C. Holdings, Inc. ................ 732 15,100 Monaco Coach Corporation++............ 271 6,700 NVR, Inc.++........................... 1,092 9,400 Salton, Inc.++(a)..................... 143 6,700 Skyline Corporation................... 145 23,900 Standard Pacific Corporation.......... 504 10,500 The Ryland Group, Inc. ............... 436 28,600 Toll Brothers, Inc.++................. 1,101 -------- 7,572 -------- INSURANCE -- 2.5% 16,100 Delphi Financial Group, Inc., Class A................................... 477 10,300 E.W. Blanch Holdings, Inc. ........... 82 61,300 Fidelity National Financial, Inc. .... 1,640 50,700 First American Financial Corporation......................... 1,317 55,800 Fremont General Corporation(a)........ 217 10,500 Hilb, Rogal and Hamilton Company...... 368 10,700 Landamerica Financial Group, Inc. .... 381 32,900 Mutual Risk Management Ltd. .......... 239
VALUE SHARES (000) ----------------------------------------------------------- INSURANCE -- (CONTINUED) 7,900 RLI Corporation....................... $ 323 7,400 SCPIE Holdings Inc. .................. 150 20,000 Selective Insurance Group............. 465 21,700 Sierra Health Services, Inc.++........ 99 29,200 Trenwick Group Ltd. .................. 576 13,700 Zenith National Insurance............. 323 -------- 6,657 -------- INTEGRATED OIL -- 5.7% 26,300 Barrett Resources Corporation++....... 1,578 23,200 Cabot Oil & Gas Corporation........... 626 60,900 Cross Timbers Oil Company............. 1,507 14,400 HS Resources, Inc.++.................. 648 40,700 Input/Output, Inc.++.................. 381 35,000 Louis Dreyfus Natural Gas Corporation++....................... 1,295 14,100 New Jersey Resources Corporation...... 580 33,800 Newfield Exploration Company++?....... 1,180 18,400 Oceaneering International Inc.++...... 396 13,900 Plains Resources Inc.++............... 292 42,400 Pogo Producing Company................ 1,251 53,500 Pride International Inc.++?(a)........ 1,271 17,100 Remington Oil & Gas Corporation++..... 236 19,400 Seitel Inc.++......................... 361 18,000 St. Mary Land & Exploration Company... 419 19,600 Swift Energy Company++................ 628 30,200 Tom Brown, Inc.++..................... 997 50,100 Vintage Petroleum, Inc. .............. 1,020 -------- 14,666 -------- INVESTMENT SERVICES -- 1.5% 56,100 Eaton Vance Corporation?.............. 1,741 19,500 Jefferies Group, Inc. ................ 563 37,900 Raymond James Financial, Inc. ........ 1,054 12,600 Southwest Securities Group, Inc.(a)... 235 19,100 Tucker Anthony Sutro Corporation...... 362 -------- 3,955 -------- LODGING AND RECREATION -- 1.8% 11,600 Anchor Gaming++....................... 710 19,000 Arctic Cat Inc. ...................... 260 31,500 Aztar Corporation++................... 334 20,700 Bally Total Fitness Holding++......... 610 26,100 Fleetwood Enterprises Inc. ........... 236 8,200 Huffy Corporation++................... 54 14,300 K2 Inc.++............................. 125 21,000 Pinnacle Entertainment, Inc.++........ 221 18,900 Polaris Industries Inc. .............. 853 35,900 Prime Hospitality Corporation++....... 388 9,500 Thor Industries Inc. ................. 207 16,300 Winnebago Industries.................. 289 25,100 WMS Industries, Inc.++................ 452 -------- 4,739 -------- MEDICAL DEVICES AND SUPPLIES -- 5.9% 39,500 Alliance Pharmaceutical Corporation++....................... 128 17,600 Arthrocare Corporation++(a)........... 246 21,700 Coherent, Inc.++?..................... 770 12,200 CONMED Corporation++(a)............... 234 11,600 Cooper Companies, Inc. ............... 549 14,900 Cryolife, Inc.++...................... 386
SEE NOTES TO FINANCIAL STATEMENTS. 40 45 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- (CONTINUED) 11,800 Datascope Corporation................. $ 427 11,000 Diagnostic Products Corporation....... 574 20,300 Haemonetics Corporation............... 672 12,300 Hologic, Inc.++....................... 49 52,600 Hooper Holmes, Inc. .................. 452 26,400 IDEXX Laboratories, Inc.++............ 579 15,400 INAMED Corporation.................... 366 18,900 Mentor Corporation.................... 425 27,500 Organogenesis Inc.++.................. 224 11,100 Osteotech, Inc.++..................... 60 26,400 Owens & Minor, Inc. .................. 436 53,700 Patterson Dental Company++?........... 1,652 10,600 PolyMedica Corporation++(a)........... 241 36,200 Priority Healthcare Corporation, Class B++................................. 1,367 24,800 ResMed Inc.++(a)...................... 1,002 24,100 Respironics, Inc.++................... 735 18,900 Sola International Inc.++............. 170 7,600 SpaceLabs Medical Inc.++.............. 86 28,000 Sybron Dental Specialties, Inc.++..... 588 33,000 Techne Corporation++?................. 862 23,500 Theragenics Corporation++............. 150 26,100 Varian Medical Systems, Inc.++?(a).... 1,588 9,900 Vital Signs Inc. ..................... 318 -------- 15,336 -------- METALS AND MINING -- 2.4% 11,200 A. M. Castle & Company................ 101 6,700 Amcast Industrial Corporation......... 62 13,200 Brush Wellman Inc. ................... 246 8,100 Cleveland-Cliffs Inc. ................ 146 10,300 Commercial Metals Company............. 259 13,200 Commonwealth Industries, Inc. ........ 58 60,300 Massey Energy Company................. 1,441 11,400 Material Sciences Corporation++....... 92 26,600 Mueller Industries, Inc.++............ 799 18,500 Northwestern Corporation.............. 453 10,800 Quanex Corporation.................... 194 19,900 Reliance Steel & Aluminum Company..... 467 16,700 RTI International Metals, Inc.++...... 225 36,300 Steel Dynamics, Inc.++................ 404 8,200 Steel Technologies Inc. .............. 52 30,800 Stillwater Mining Company++........... 833 16,500 Texas Industries, Inc. ............... 479 9,500 Wolverine Tube Inc.++................. 120 -------- 6,431 -------- NATURAL GAS DISTRIBUTION -- 2.1% 31,000 Atmos Energy Corporation.............. 738 8,800 Cascade Natural Gas Corporation....... 179 24,500 Energen Corporation................... 865 15,100 Laclede Gas Company................... 352 20,000 Northwest Natural Gas Company......... 480 10,300 NUI Holding Company................... 278 25,500 Piedmont Natural Gas Company, Inc. ... 905 40,600 Southern Union Company++.............. 853 25,100 Southwest Gas Corporation............. 523 18,600 Valmont Industries Inc. .............. 315 -------- 5,488 --------
VALUE SHARES (000) ----------------------------------------------------------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.5% 35,700 Auspex Systems, Inc.++................ $ 147 18,000 Aware Inc.++.......................... 173 15,300 Black Box Corporation++(a)............ 682 9,900 Brooktrout Inc.++..................... 61 25,800 C-COR Electronics++................... 173 34,900 Cable Design Technologies Corporation++....................... 468 13,200 Concord Communications, Inc.++........ 108 58,800 DMC Stratex Networks, Inc.++.......... 488 46,000 Harmonic Inc.++....................... 259 19,900 NYFIX, Inc.++......................... 456 64,100 P-Com, Inc.++......................... 82 21,400 Proxim, Inc.++........................ 215 20,400 Rainbow Technologies, Inc.++.......... 102 17,200 Three-Five Systems, Inc.++............ 210 17,500 ViaSat, Inc.++........................ 265 24,700 Visual Networks, Inc.++............... 88 -------- 3,977 -------- OIL REFINING AND MARKETING -- 0.1% 12,300 WD-40 Company......................... 246 -------- OILFIELD SERVICES -- 1.9% 11,000 Atwood Oceanics, Inc.++............... 450 25,700 Cal Dive International Inc.++......... 652 13,800 Dril-Quip++........................... 331 19,400 Hughes Supply Inc. ................... 284 18,900 Lone Star Technologies, Inc.++........ 807 17,100 Offshore Logistics, Inc.++............ 424 13,600 SEACOR SMIT Inc.++.................... 615 16,100 THQ Inc.++............................ 612 24,400 Veritas DGC Inc.++.................... 780 -------- 4,955 -------- PACKAGING AND CONTAINERS -- 0.5% 28,300 AptarGroup, Inc. ..................... 863 12,200 Libbey Inc. .......................... 364 -------- 1,227 -------- PAPER AND FOREST PRODUCTS -- 0.8% 27,500 Buckeye Technologies Inc.++........... 317 20,900 Caraustar Industries, Inc. ........... 168 12,100 Chesapeake Corporation................ 280 9,500 Deltic Lumber......................... 192 11,000 Pope & Talbot Inc. ................... 136 11,900 Schweitzer-Mauduit International, Inc. ............................... 210 27,300 United Stationers Inc.++.............. 663 15,900 Universal Forest Products............. 240 -------- 2,206 -------- PHARMACEUTICALS -- 3.0% 32,000 Alpharma Inc., Class A?(a)............ 1,048 13,400 ArQule Inc.++......................... 178 43,700 Bio-Technology General Corporation++....................... 273 33,000 Cephalon, Inc.++?(a).................. 1,586 21,500 Cygnus, Inc.++(a)..................... 161 21,500 Enzo Biochem, Inc.++(a)............... 361 24,000 Medicis Pharmaceutical Corporation, Class A++?.......................... 1,076 13,200 MGI Pharma, Inc.++.................... 144
SEE NOTES TO FINANCIAL STATEMENTS. 41 46 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- PHARMACEUTICALS -- (CONTINUED) 52,500 NBTY, Inc.++.......................... $ 446 17,600 Noven Pharmaceuticals, Inc.++......... 498 19,900 Pharmaceutical Product Development, Inc.++.............................. 838 29,300 Regeneron Pharmaceuticals, Inc.++..... 650 19,200 Syncor International Corporation++?... 619 -------- 7,878 -------- PUBLISHING AND ADVERTISING -- 0.8% 26,500 Bowne & Company Inc. ................. 293 10,400 Consolidated Graphics Inc.++.......... 130 12,800 Cyrk, Inc.++.......................... 26 17,200 Information Holdings Inc.++........... 368 22,700 John H. Harland Company............... 424 25,400 Penton Media, Inc. ................... 370 21,900 The Standard Register Company......... 357 11,500 Thomas Nelson, Inc. .................. 74 -------- 2,042 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.8% 15,900 Arkansas Best Corporation++(a)........ 250 19,600 Arnold Industries, Inc. .............. 374 29,300 Fritz Companies, Inc.++............... 320 20,300 Heartland Express, Inc.++............. 513 19,100 Kirby Corporation++................... 382 6,700 Landstar System, Inc.++............... 454 8,900 M.S. Carriers Inc.++.................. 273 15,400 Roadway Express, Inc. ................ 339 20,600 U.S. Freightways Corporation.......... 648 18,400 Wabash National Corporation(a)........ 189 37,400 Werner Enterprises, Inc. ............. 640 18,900 Yellow Corporation++.................. 324 -------- 4,706 -------- RESTAURANTS -- 2.9% 20,200 Applebees International Inc. ......... 721 21,600 CEC Entertainment Inc.++.............. 958 15,900 IHOP Corporation++.................... 318 30,800 Jack in the Box Inc.++................ 922 17,200 Landry's Seafood Restaurants Inc. .... 195 17,800 Luby's Inc. .......................... 135 23,200 Marcus Corporation.................... 320 12,600 O'Charley's Inc.++.................... 264 8,300 P.F. Changs China Bistro Inc.++(a).... 291 10,400 Panera Bread Company, Class A++....... 278 14,900 RARE Hospitality International, Inc.++.............................. 371 50,400 Ruby Tuesday, Inc. ................... 989 25,500 Ryan's Family Steak Houses Inc.++..... 271 21,000 Sonic Corporation++(a)................ 526 24,800 The Cheesecake Factory++.............. 913 22,700 The Steak n Shake Company++........... 195 -------- 7,667 -------- SEMICONDUCTORS -- 4.8% 19,200 Actel Corporation++................... 392 34,100 Alliance Semiconductor Corporation++....................... 396 34,600 Alpha Industries, Inc.++?............. 545 24,100 ATMI, Inc.++.......................... 446 77,300 Axcelis Technologies, Inc.++.......... 893 17,500 AXT, Inc.++........................... 263
VALUE SHARES (000) ----------------------------------------------------------- SEMICONDUCTORS -- (CONTINUED) 13,700 Brooks Automation, Inc.++............. $ 545 39,500 C-Cube Micosystems Inc.++............. 486 34,600 Cognex Corporation++?................. 855 24,300 Cymer, Inc.++......................... 526 13,900 Dupont Photomasks, Inc.++............. 610 16,700 Elantec Semiconductor, Inc. .......... 444 21,400 Electro Scientific Industries, Inc.++.............................. 601 16,500 Electroglas, Inc.++................... 272 30,100 General Semiconductor, Inc.++......... 285 50,500 Kopin Corporation++................... 290 38,900 Kulicke & Soffa Industries Inc.++..... 528 12,600 Park Electrochemical Corporation...... 285 19,800 Pericom Semiconductor Corporation++... 255 23,700 Photronics, Inc.++.................... 585 21,900 Power Integrations, Inc.++............ 378 27,800 Silicon Valley Group, Inc.++.......... 765 9,900 Supertex, Inc.++...................... 125 26,500 Technitrol, Inc.?..................... 660 17,000 Ultratech Stepper, Inc.++............. 419 25,600 Varian Semiconductor Equipment Associates, Inc.++.................. 817 216 Zilog Inc.++.......................... 1 -------- 12,667 -------- SOFTWARE -- 3.4% 33,100 American Management Systems++?........ 606 23,700 Aspen Technology, Inc.++.............. 566 20,300 Avid Technology, Inc.++............... 272 24,500 AVT Corporation++..................... 69 16,800 BARRA, Inc.++......................... 907 12,400 Bell Microproducts Inc.++............. 140 16,900 Carreker Corporation++................ 321 47,400 Ciber Inc.++.......................... 231 31,800 Dendrite International, Inc.++........ 445 18,900 ePresence, Inc.++..................... 86 35,000 ESS Technology, Inc.++................ 201 27,600 FileNET Corporation++................. 433 25,700 HNC Software Inc.++................... 451 26,300 Hyperion Solutions Corporation++...... 424 11,600 MapInfo Corporation++................. 206 30,000 Midway Games Inc.++................... 219 17,600 MRO Software, Inc.++.................. 142 14,900 PC-Tel, Inc.++........................ 112 20,000 Phoenix Technologies Ltd.++........... 278 28,100 Progress Software Corporation++....... 407 24,500 Remedy Corporation++.................. 472 46,900 RSA Security Inc.++?.................. 1,159 10,800 SPSS, Inc.++.......................... 183 26,900 Verity, Inc.++........................ 610 -------- 8,940 -------- SPECIALTY STORES -- 5.1% 40,900 99 Cents Only Stores++?............... 946 13,000 Action Performance Companies, Inc.++(a)........................... 146 22,900 AnnTaylor Stores Corporation++........ 608 35,300 Burlington Coat Factory Warehouse Corporation......................... 695 19,800 Cato Corporation...................... 298 13,900 Chico's FAS, Inc.++(a)................ 456 16,800 Cost Plus, Inc.++..................... 387
SEE NOTES TO FINANCIAL STATEMENTS. 42 47 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE SHARES (000) ----------------------------------------------------------- SPECIALTY STORES -- (CONTINUED) 10,700 Department 56, Inc.++................. $ 95 13,300 Discount Auto Parts Inc.++............ 102 14,600 Dress Barn, Inc.++.................... 342 10,700 Enesco Group, Inc.++.................. 71 15,600 Footstar, Inc.++...................... 626 24,400 Fossil, Inc.++........................ 424 25,900 Goody's Family Clothing Inc.++........ 117 10,100 Gottschalks Inc.++.................... 51 19,400 Gymboree Corporation++................ 194 33,100 Insight Enterprises, Inc.++........... 699 14,500 Jo-Ann Stores Inc.++.................. 64 6,900 Lillian Vernon Corporation............ 50 31,900 Linens 'N Things, Inc.++?............. 877 15,200 Mayor's Jewelers Inc.++............... 63 25,900 Michaels Stores, Inc.++?.............. 775 40,800 O'Reilly Automotive Inc.++............ 813 25,700 Pacific Sunwear of California, Inc.++.............................. 707 42,500 PEP Boys - Manny, Moe & Jack.......... 259 76,400 Pier 1 Imports, Inc. ................. 994 13,900 School Specialty, Inc.++.............. 300 33,800 Stein Mart Inc.++..................... 370 33,300 The Men's Wearhouse, Inc.++........... 719 11,000 Wet Seal, Inc., Class A++............. 282 27,600 Zale Corporation++?................... 800 -------- 13,330 -------- TELECOMMUNICATIONS SERVICES -- 0.8% 22,300 Allen Telecom Inc.++.................. 288 40,800 Aspect Communications Corporation++?(a)................... 180 13,500 Boston Communications Group, Inc.++... 100 10,200 Davox Corporation++................... 116 12,100 Digi International Inc.++............. 70 41,700 General Communication, Inc., Class A++................................. 374 21,100 Inter-Tel Inc. ....................... 215 26,500 International FiberCom, Inc.++........ 103 26,200 Intervoice Inc.++..................... 213 17,400 Network Equipment Technologies Inc.++.............................. 74 28,600 Pac-West Telecomm, Inc.++............. 100 18,700 SymmetriCom Inc.++.................... 227 -------- 2,060 -------- TOBACCO -- 0.1% 35,500 DiMon Inc. ........................... 273 --------
VALUE SHARES (000) ----------------------------------------------------------- UTILITIES -- MISCELLANEOUS -- 0.5% 8,100 American States Water Company......... $ 268 42,300 Philadelphia Suburban Corporation..... 997 -------- 1,265 -------- TOTAL COMMON STOCKS (Cost $261,368)....................... 262,200 -------- PRINCIPAL AMOUNT (000) --------- U.S. TREASURY OBLIGATIONS -- 0.3% (Cost $792) U.S. TREASURY BILLS -- 0.3% $ 800 3.725%** 06/21/01?.................... 793 -------- SHARES (000) --------- INVESTMENT COMPANIES -- 9.8% (Cost $25,764) 25,764 Nations Cash Reserves#................ 25,764 -------- TOTAL INVESTMENTS (Cost $287,924*)............. 109.8% 288,757 -------- OTHER ASSETS AND LIABILITIES (NET)........................ (9.8)% Receivable for investment securities sold................................ $ 1,920 Receivable for Fund shares sold....... 10,678 Dividends receivable.................. 146 Interest receivable................... 25 Receivable from investment advisor.... 14 Receivable for variation margin....... 111 Unamortized organization costs........ 1 Collateral on securities loaned....... (19,645) Payable for Fund shares redeemed...... (2,009) Administration fee payable............ (50) Shareholder servicing and distribution fees payable........................ (1) Payable for investment securities purchased........................... (16,867) Accrued Trustees' fees and expenses... (44) Accrued expenses and other liabilities......................... (54) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................... (25,775) -------- NET ASSETS..................... 100.0% $262,982 ========
SEE NOTES TO FINANCIAL STATEMENTS. 43 48 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2001
VALUE (000) ----------------------------------------------------------- NET ASSETS CONSIST OF: Undistributed net investment income... $ 357 Accumulated net realized gain on investments sold and futures contracts........................... 4,184 Net unrealized appreciation of investments and futures contracts... 863 Paid-in capital....................... 257,578 -------- NET ASSETS............................ $262,982 ======== PRIMARY A SHARES Net asset value, offering and redemption price per share ($256,465,216 / 19,372,407 shares outstanding)........................ $13.24 ======== INVESTOR A SHARES Net asset value, offering and redemption price per share ($6,516,890 / 493,087 shares outstanding)........................ $13.22 ========
--------------- * Federal Income Tax Information: Net unrealized depreciation of $1,775 on investment securities was comprised of gross appreciation of $38,213 and gross depreciation of $39,988 for federal income tax purposes. At March 31, 2001, the aggregate cost of securities for federal income tax purposes was $290,532. ** Rate represents annualized yield to maturity at March 31, 2001. ++ Non-income producing security. ? All or a portion of security segregated as collateral for futures contracts. + Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, Inc. A portion of this amount represents cash collateral received from securities lending activity (Note 9). The portion that represents cash collateral is $19,645. (a) All or a portion of security was on loan at March 31, 2001. The aggregate cost and market value of securities on loan at March 31, 2001 is $20,766 and $18,589, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 44 49 NATIONS FUNDS STATEMENTS OF OPERATIONS For the year ended March 31, 2001
LARGE CAP MANAGED MIDCAP SMALLCAP INDEX INDEX INDEX INDEX ----------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $143, $32, $0 and $1, respectively).............. $ 28,991 $ 5,372 $ 4,154 $ 1,588 Interest........................................... 2,363 548 409 520 Securities lending................................. 166 29 36 66 -------------- -------------- -------------- -------------- Total investment income........................ 31,520 5,949 4,599 2,174 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee............................ 10,204 2,027 1,562 897 Administration fee................................. 5,868 1,165 897 515 Transfer agent fees................................ 754 125 114 64 Custodian fees..................................... 201 54 30 84 Legal and audit fees............................... 89 57 79 59 Registration and filing fees....................... 49 28 157 43 Trustees' fees and expenses........................ 17 17 17 17 Amortization of organization costs................. -- 3 -- 3 Interest expense................................... 44 17 20 2 Printing expense................................... 134 40 42 58 Other.............................................. 43 -- 10 36 -------------- -------------- -------------- -------------- Subtotal....................................... 17,403 3,533 2,928 1,778 Shareholder servicing and distribution fees: Primary B Shares................................. -- --* -- -- Investor A Shares................................ 76 110 --* 18 -------------- -------------- -------------- -------------- Total expenses................................. 17,479 3,643 2,928 1,796 Fees waived by investment advisor and/or distributor...................................... (8,419) (975) (1,541) (851) Fees reduced by credits allowed by the custodian... (11) (6) (2) (5) -------------- -------------- -------------- -------------- Net expenses................................... 9,049 2,662 1,385 940 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME/(LOSS)....................... 22,471 3,287 3,214 1,234 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions............................ (49,917) 63,915 45,461 25,840 Written options.................................. -- 77 -- -- Futures contracts................................ (9,771) (4,629) (186) (2,397) -------------- -------------- -------------- -------------- Net realized gain/(loss) on investments............ (59,688) 59,363 45,275 23,443 -------------- -------------- -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities....................................... (546,913) (173,455) (9,177) (32,449) Futures contracts................................ (1,859) (127) (116) 953 -------------- -------------- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments....... (548,772) (173,582) (9,293) (31,496) -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments...................................... (608,460) (114,219) 35,982 (8,053) -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................. $ (585,989) $ (110,932) $ 39,196 $ (6,819) ============== ============== ============== ==============
--------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 45 50 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS LARGECAP INDEX ------------------------------- YEAR ENDED YEAR ENDED 3/31/01 3/31/00 ------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 22,471 $ 10,043 Net realized gain/(loss) on investments..................... (59,688) 2,015 Net change in unrealized appreciation/(depreciation) of investments............................................... (548,772) 161,252 -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ (585,989) 173,310 Distributions to shareholders from net investment income: Primary A Shares.......................................... (22,206) (9,866) Primary B Shares.......................................... -- -- Investor A Shares......................................... (202) (159) Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... (68) (10,202) Primary B Shares.......................................... -- -- Investor A Shares (1) (241) Net increase/(decrease) in net assets from Fund share transactions.............................................. (197,856) 1,755,447 -------------- -------------- Net increase/(decrease) in net assets....................... (806,322) 1,908,289 -------------- -------------- NET ASSETS: Beginning of period......................................... 2,855,429 947,140 -------------- -------------- End of period............................................... $ 2,049,107 $ 2,855,429 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ 129 $ 63 ============== ==============
--------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 46 51 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED) MANAGED INDEX MIDCAP INDEX SMALLCAP INDEX ----------------------------------- -------------- ------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 3/31/01 3/31/00 3/31/01 3/31/01 3/31/00 -------------------------------------------------------------------------------------- $ 3,287 $ 5,537 $ 3,214 $ 1,234 $ 685 59,363 51,922 45,275 23,443 (1,463) (173,582) 36,646 (9,293) (31,496) 41,308 -------------- -------------- -------------- -------------- -------------- (110,932) 94,105 39,196 (6,819) 40,530 (2,955) (5,273) (3,184) (889) (654) --* --* -- -- -- (167) (290) (1) (12) (7) (66,923) (4,135) (32,829) -- -- (1) -- -- -- -- (6,128) (348) (1) -- -- (79,448) (156,377) 339,537 66,499 (34,827) -------------- -------------- -------------- -------------- -------------- (266,554) (72,318) 342,718 58,779 5,042 -------------- -------------- -------------- -------------- -------------- 644,756 717,074 -- 204,203 199,161 -------------- -------------- -------------- -------------- -------------- $ 378,202 $ 644,756 $ 342,718 $ 262,982 $ 204,203 ============== ============== ============== ============== ============== $ 165 $ -- $ 28 $ 357 $ 24 ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 47 52 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
LARGECAP INDEX YEAR ENDED YEAR ENDED MARCH 31, 2001 MARCH 31, 2000 ---------------------- --------------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 26,263 $ 724,134 8,490 $ 224,859 Issued in exchange for assets of Boatmen's Trust Company Equity Index Fund (Note 11)............................. 3,147 86,357 -- -- Issued in exchange for assets of Collective Trust Equity Index Fund (Note 11).................................... -- -- 58,487 1,690,266 Issued as reinvestment of dividends....................... 595 14,995 511 13,544 Redeemed.................................................. (37,361) (1,029,638) (44,295) (184,945) ------- ----------- ------- ---------- Net increase/(decrease)................................... (7,356) $ (204,152) 23,193 $1,743,724 ======= =========== ======= ========== INVESTOR A SHARES: Sold...................................................... 630 $ 16,616 918 $ 24,361 Issued as reinvestment of dividends....................... 7 171 13 350 Redeemed.................................................. (410) (10,491) (479) (12,988) ------- ----------- ------- ---------- Net increase/(decrease)................................... 227 $ 6,296 452 $ 11,723 ======= =========== ======= ========== Total net increase/(decrease)............................. (7,129) $ (197,856) 23,645 $1,755,447 ======= =========== ======= ==========
SEE NOTES TO FINANCIAL STATEMENTS. 48 53 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MANAGED INDEX YEAR ENDED YEAR ENDED MARCH 31, 2001 MARCH 31, 2000 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 726 $ 13,552 3,058 $ 62,607 Issued in exchange for Primary A Shares of Nations Managed Value Index Fund (Note 11).............................. 85 1,648 -- -- Issued as reinvestment of dividends....................... 2,159 39,299 267 5,408 Redeemed.................................................. (6,688) (130,821) (10,732) (217,683) ------ -------- ------- --------- Net increase/(decrease)................................... (3,718) $(76,322) (7,407) $(149,668) ====== ======== ======= ========= PRIMARY B SHARES: Sold...................................................... --* $ 1 --* $ 1 Issued as reinvestment of dividends....................... --* 1 --* --* Redeemed.................................................. --* --* --* --* ------ -------- ------- --------- Net increase/(decrease)................................... --* $ 2 --* $ 1 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 425 $ 8,026 678 $ 13,827 Issued in exchange for Investor A Shares of Nations Managed Value Index Fund (Note 11)...................... 74 1,431 -- -- Issued as reinvestment of dividends....................... 302 5,489 27 538 Redeemed.................................................. (959) (18,074) (1,024) (21,075) ------ -------- ------- --------- Net increase/(decrease)................................... (158) $ (3,128) (319) $ (6,710) ====== ======== ======= ========= Total net increase/(decrease)............................. (3,876) $(79,448) (7,726) $(156,378) ====== ======== ======= =========
--------------- * Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 49 54 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MIDCAP INDEX YEAR ENDED MARCH 31, 2001 -------------------- SHARES DOLLARS -------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 63,692 $ 568,046 Issued as reinvestment of dividends....................... 3,767 34,720 Redeemed.................................................. (26,650) (263,466) ------- --------- Net increase/(decrease)................................... 40,809 $ 339,300 ======= ========= INVESTOR A SHARES: Sold...................................................... 66 $ 606 Issued as reinvestment of dividends....................... --* 1 Redeemed.................................................. (40) (370) ------- --------- Net increase/(decrease)................................... 26 $ 237 ======= ========= Total net increase/(decrease)............................. 40,834 $ 339,537 ======= =========
--------------- * Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 50 55 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SMALLCAP INDEX YEAR ENDED YEAR ENDED MARCH 31, 2001 MARCH 31, 2000 ------------------ ------------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 9,786 $134,803 6,075 $ 76,898 Issued in exchange for Primary A Shares of Nations Managed SmallCap Value Index Fund (Note 11)..................... 116 1,469 -- -- Issued as reinvestment of dividends....................... 26 361 18 233 Redeemed.................................................. (5,085) (69,176) (8,723) (107,969) ------ -------- ------ --------- Net increase/(decrease)................................... 4,843 $ 67,457 (2,630) $ (30,838) ====== ======== ====== ========= INVESTOR A SHARES: Sold...................................................... 218 $ 3,104 285 $ 3,621 Issued in exchange for Investor A Shares of Nations Managed SmallCap Value Index Fund (Note 11)............. 94 1,191 -- -- Issued as reinvestment of dividends....................... 1 10 1 7 Redeemed.................................................. (383) (5,263) (610) (7,617) ------ -------- ------ --------- Net increase/(decrease)................................... (70) $ (958) (324) $ (3,989) ====== ======== ====== ========= Total net increase/(decrease)............................. 4,773 $ 66,499 (2,954) $ (34,827) ====== ======== ====== =========
SEE NOTES TO FINANCIAL STATEMENTS. 51 56 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each year.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF YEAR INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- LARGECAP INDEX PRIMARY A SHARES Year ended 3/31/2001#..................... $28.90 $0.24 $(6.55) $(6.31) $(0.24) Year ended 3/31/2000#..................... 25.06 0.26 4.09 4.35 (0.25) Year ended 3/31/1999...................... 22.41 0.26 3.63 3.89 (0.25) Year ended 3/31/1998#..................... 15.89 0.27 7.11 7.38 (0.27) Year ended 3/31/1997...................... 13.58 0.26 2.36 2.62 (0.26) INVESTOR A SHARES Year ended 3/31/2001#..................... $28.76 $0.17 $(6.52) $(6.35) $(0.17) Year ended 3/31/2000#..................... 24.94 0.19 4.08 4.27 (0.19) Year ended 3/31/1999...................... 22.31 0.19 3.63 3.82 (0.20) Year ended 3/31/1998#..................... 15.87 0.21 7.05 7.26 (0.23) Year ended 3/31/1997...................... 13.58 0.25 2.32 2.57 (0.23) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- LARGECAP INDEX PRIMARY A SHARES Year ended 3/31/2001#..................... $ --## Year ended 3/31/2000#..................... (0.26) Year ended 3/31/1999...................... (0.99) Year ended 3/31/1998#..................... (0.59) Year ended 3/31/1997...................... (0.05) INVESTOR A SHARES Year ended 3/31/2001#..................... $ --## Year ended 3/31/2000#..................... (0.26) Year ended 3/31/1999...................... (0.99) Year ended 3/31/1998#..................... (0.59) Year ended 3/31/1997...................... (0.05)
--------------- ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b) The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 52 57 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS RATIO OF AND/OR EXPENSE OPERATING REIMBURSEMENTS EXPENSES --------------- RATIO OF INCLUDING RATIO OF RATIO OF TOTAL NET ASSETS OPERATING INTEREST NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES TO EXPENSE INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL YEAR AVERAGE NET TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF YEAR RETURN++ (000) ASSETS NET ASSETS NET ASSETS RATE NET ASSETS ----------------------------------------------------------------------------------------------------------------------------- $(0.24) $22.35 (21.94)% $2,021,690 0.35%(a)(b) -- 0.88% 8% 0.68%(a) (0.51) 28.90 17.58 2,826,486 0.35(a)(b) -- 0.96 7 0.71(a) (1.24) 25.06 18.26 933,313 0.35(a) -- 1.17 4 0.71(a) (0.86) 22.41 47.38 656,523 0.35(a) 0.36% 1.39 26 0.66(a) (0.31) 15.89 19.41 567,039 0.35(a) -- 1.91 5 0.70(a) $(0.17) $22.24 (22.18)% $ 27,417 0.60%(a)(b) -- 0.63% 8% 0.93%(a) (0.45) 28.76 17.32 28,943 0.60(a)(b) -- 0.71 7 0.96(a) (1.19) 24.94 18.00 13,827 0.60(a) -- 0.92 4 0.96(a) (0.82) 22.31 46.58 4,595 0.60(a) 0.61% 1.14 26 0.91(a) (0.28) 15.87 19.06 2,574 0.60(a) -- 1.66 5 0.95(a)
SEE NOTES TO FINANCIAL STATEMENTS. 53 58 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- MANAGED INDEX PRIMARY A SHARES Year ended 3/31/2001#.......... $22.04 $0.13 $(4.46) $(4.33) $(0.12) $(2.69) Year ended 3/31/2000#.......... 19.39 0.16 2.78 2.94 (0.16) (0.13) Year ended 3/31/1999#.......... 17.14 0.18 2.40 2.58 (0.18) (0.15) Year ended 3/31/1998........... 11.89 0.15 5.42 5.57 (0.17) (0.15) Period ended 3/31/1997*........ 10.00 0.15 1.87 2.02 (0.13) -- PRIMARY B SHARES Year ended 3/31/2001#.......... $22.16 $0.04 $(4.49) $(4.45) $(0.03) $(2.69) Year ended 3/31/2000#.......... 19.38 0.06 2.78 2.84 (0.06) -- Year ended 3/31/1999#.......... 17.11 0.09 2.41 2.50 (0.08) (0.15) Period ended 3/31/1998**....... 14.52 0.14 2.73 2.87 (0.13) (0.15) INVESTOR A SHARES Year ended 3/31/2001#.......... $22.04 $0.08 $(4.47) $(4.39) $(0.07) $(2.69) Year ended 3/31/2000#.......... 19.39 0.11 2.78 2.89 (0.11) (0.13) Year ended 3/31/1999#.......... 17.14 0.14 2.39 2.53 (0.13) (0.15) Year ended 3/31/1998........... 11.89 0.14 5.40 5.54 (0.14) (0.15) Period ended 3/31/1997*........ 10.00 0.12 1.89 2.01 (0.12) --
--------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Managed Index Primary A and Investor A Shares commenced operations on July 31, 1996. ** Managed Index Primary B Shares commenced operations on September 4, 1997. # Per share net investment income has been calculated using the monthly average shares method. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b) The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 54 59 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS -------------------------------------------------------------------------------------------------------------------- $(2.81) $14.90 (21.49)% $345,795 0.50%(a)(b) 0.67% 97% 0.70%(a) (0.29) 22.04 15.33 593,317 0.50(a)(b) 0.80 64 0.72(a) (0.33) 19.39 15.25 665,631 0.50(a) 1.03 35 0.73(a) (0.32) 17.14 47.54 374,504 0.50(a)(b) 1.26 30 0.80(a) (0.13) 11.89 20.22 42,226 0.50+(a) 1.92+ 17 1.05+(a) $(2.72) $14.99 (21.90)% $ 5 1.00%(a)(b) 0.17% 97% 1.30%(a) (0.06) 22.16 14.70 6 1.00(a)(b) 0.30 64 1.32(a) (0.23) 19.38 14.78 4 1.00(a) 0.53 35 1.33(a) (0.28) 17.11 18.24 3 1.00+(a)(b) 0.76+ 30 1.30+(a) $(2.76) $14.89 (21.75)% $ 32,402 0.75%(a)(b) 0.42% 97% 0.95%(a) (0.24) 22.04 15.04 51,433 0.75(a)(b) 0.55 64 0.97(a) (0.28) 19.39 14.97 51,439 0.75(a) 0.78 35 0.98(a) (0.29) 17.14 47.21 25,447 0.75(a)(b) 1.01 30 1.05(a) (0.12) 11.89 20.12 3,038 0.75+(a) 1.67+ 17 1.30+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 55 60 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- MIDCAP INDEX PRIMARY A SHARES Period ended 3/31/2001*........ $10.00 $0.08 $(0.72) $(0.64) $(0.08) $(0.89) INVESTOR A SHARES Period ended 3/31/2001*........ $ 9.55 $0.05 $(0.24) $(0.19) $(0.06) $(0.89)
--------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * MidCap Index Primary A and Investor A Shares were first offered on March 31, 2000 and May 31, 2000, respectively. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 56 61 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO OF NET OPERATING RATIO OF EXPENSES RATIO OF TOTAL NET ASSETS OPERATING INCLUDING NET INVESTMENT DIVIDENDS NET ASSET END OF EXPENSES TO INTEREST EXPENSE INCOME/(LOSS) PORTFOLIO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TO AVERAGE TURNOVER DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS RATE ------------------------------------------------------------------------------------------------------------------------- $(0.97) $8.39 (7.27)% $342,503 0.35%(a) 0.36%(a) 0.82% 69% $(0.95) $8.41 (2.84)% $ 215 0.60%(a)+ 0.61%(a)+ 0.57%+ 69% WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF OPERATING EXPENSES TO AVERAGE NET ASSETS --------------- 0.75%(a) 1.00%(a)+
SEE NOTES TO FINANCIAL STATEMENTS. 57 62 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- SMALLCAP INDEX PRIMARY A SHARES Year ended 3/31/2001#.......... $13.53 $0.08 $(0.31) $(0.23) $(0.06) $ -- Year ended 3/31/2000#.......... 11.04 0.04 2.49 2.53 (0.04) -- Year ended 3/31/1999#.......... 14.10 0.06 (2.92) (2.86) (0.06) (0.14) Year ended 3/31/1998........... 9.83 0.06 4.58 4.64 (0.06) (0.31) Period ended 3/31/1997*........ 10.00 0.03 (0.17) (0.14) (0.03) -- INVESTOR A SHARES Year ended 3/31/2001#.......... $13.52 $0.04 $(0.32) $(0.28) $(0.02) $ -- Year ended 3/31/2000#.......... 11.03 0.01 2.49 2.50 (0.01) -- Year ended 3/31/1999#.......... 14.08 0.03 (2.91) (2.88) (0.03) (0.14) Year ended 3/31/1998........... 9.82 0.03 4.57 4.60 (0.03) (0.31) Period ended 3/31/1997*........ 10.00 0.03 (0.18) (0.15) (0.03) --
--------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Managed SmallCap Index Primary A and Investor A Shares commenced operations on October 15, 1996. # Per share net investment income has been calculated using the monthly average shares method. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b) The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 58 63 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO OF RATIO OF NET OPERATING RATIO OF TOTAL NET ASSET NET ASSETS OPERATING EXPENSES INCLUDING NET INVESTMENT DIVIDENDS VALUE END OF EXPENSE TO INTEREST EXPENSE INCOME/(LOSS) PORTFOLIO AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS RATE --------------------------------------------------------------------------------------------------------------------------- $(0.06) $13.24 (1.74)% $256,465 0.41%(a)(b) -- 0.56% 65% (0.04) 13.53 22.97 196,593 0.50(a) 0.51%(a) 0.35 53 (0.20) 11.04 (20.50) 189,379 0.50(a)(b) -- 0.52 65 (0.37) 14.10 47.71 102,437 0.50(a)(b) -- 0.52 62 (0.03) 9.83 (1.37) 40,851 0.50+ -- 1.05+ 18 $(0.02) $13.22 (2.06)% $ 6,517 0.66%(a)(b) -- 0.31% 65% (0.01) 13.52 22.67 7,610 0.75(a) 0.76%(a) 0.10 53 (0.17) 11.03 (20.67) 9,782 0.75(a)(b) -- 0.27 65 (0.34) 14.08 47.35 13,768 0.75(a)(b) -- 0.27 62 (0.03) 9.82 (1.52) 334 0.75+ -- 0.80+ 18 WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF OPERATING EXPENSES TO AVERAGE NET ASSETS --------------- 0.79%(a) 0.77(a) 0.82(a) 1.02(a) 1.21+ 1.04%(a) 1.02(a) 1.07(a) 1.27(a) 1.46+
SEE NOTES TO FINANCIAL STATEMENTS. 59 64 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS Nations Fund Trust (the "Trust") and Nations Funds Trust ("Funds Trust") are each registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. At March 31, 2001, the Trust offered thirty-four separate portfolios and Funds Trust offered five separate portfolios. These financial statements pertain only to the four index portfolios of the Trust and Funds Trust: LargeCap Index Fund, Managed Index Fund, MidCap Index Fund and SmallCap Index Fund (formerly Managed SmallCap Index Fund) (each a "Fund" and collectively, the "Funds"). Financial statements for the other portfolios of the Trust and Funds Trust are presented under separate cover. The Funds currently offer two classes of shares: Primary A Shares and Investor A Shares. Managed Index Fund also offers Primary B Shares. Shareholders of a Fund have equal voting rights on matters affecting all shareholders of the Fund. In addition, each class of shares of a Fund has exclusive voting rights on matters that relate solely to that class and separate voting rights on matters in which the interests of one class differ from the interests of any other class. 1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. Securities valuation: Securities traded on a recognized exchange or on NASDAQ are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded only over-the-counter are valued at the last sale price, or if no sale occurred on such day, at the mean of the current bid and asked prices. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. Futures contracts: All Funds may invest in futures contracts. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect changes in the market value of the contract. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, and the possibility that there may not be a liquid secondary market for the contracts, that a change in the value of the contract may not correlate with a change in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. Options: The Funds may purchase put options on stock index futures contracts, stock indices or equity securities for the purpose of hedging the relevant portion of their portfolio securities against an anticipated market-wide decline or against declines in the values of individual portfolio securities, and may purchase call options on such futures contracts as a hedge against a market advance when they are not fully invested. A Fund may write options on such futures contracts primarily for the purpose of terminating existing positions. The Funds may also engage these techniques for non-hedging purposes such as seeking yield enhancement. The Funds may write covered call options and covered put options on securities in which they are permitted to invest from time to time in seeking to attain each Fund's objective. Call options written by a Fund give the holder the right to buy the underlying securities from the Fund at a stated exercise price; put options give the holder the right to sell the underlying security to the Fund at a stated price. The Funds may write only covered options, which means that so long as a Fund is obligated as the writer of a call option, it is required to own the underlying securities subject to the option (or comparable securities satisfying the cover requirements of securities exchanges). In the case of put options, a Fund is required to maintain in a separate account liquid assets with a value equal to or greater than the exercise price of the underlying securities. The Funds may also write combinations of covered puts and calls on the same underlying security. 60 65 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) The Funds typically receive a premium from writing a put or call option, which would increase the Funds' return in the event the option expires unexercised or is closed out at a profit. The amount of the premium would reflect, among other things, the relationship of the market price of the underlying security to the exercise price of the option, the term of the option and the volatility of the market price of the underlying security. By writing a call option, a Fund limits its opportunity to profit from any increase in the market value of the underlying security above the exercise price of the option. By writing a put option, a Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss if the purchase price exceeds the market value plus the amount of the premium received, unless the security subsequently appreciates in value. A Fund may terminate an option that it has written prior to its expiration by entering into a closing purchase transaction in which it purchases an option having the same terms as the option written. The Fund will realize a profit or loss from such transaction if the cost of such transaction is less or more than the premium received from the writing of the option. In the case of a put option, any loss so incurred may be partially or entirely offset by the premium received from a simultaneous or subsequent sale of a different put option. Because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from the repurchase of a call option is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by a Fund. Securities transactions and investment income: Securities transactions are recorded on trade date. Realized gains and losses are computed based on the specific identification of securities sold. Interest income, adjusted for accretion of discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income is recorded on ex-dividend date. Each Fund's investment income and realized and unrealized gains and losses are allocated among its share classes based upon the relative net assets of each class of shares. Dividends and distributions to shareholders: Distributions from net investment income are declared and paid each month by the Managed Index Fund; all other Funds declare and pay distributions each calendar quarter. Each Fund will distribute net realized capital gains (including net short-term capital gains, if any) at least annually after the fiscal year in which the capital gains were earned, unless offset by any available capital loss carryforward. Income distributions and capital gain distributions on a Fund level are determined in accordance with federal income tax regulations which may differ from accounting principles generally accepted in the United States of America. Certain reclassifications are made to each Fund's capital accounts to reflect income and gains available for distribution (or available capital loss carryforwards) under federal income tax regulations. These reclassifications are due to different book and tax accounting for futures contracts and use of the tax accounting practice known as equalization. Reclassifications for the year ended March 31, 2001 were as follows:
INCREASE/ (DECREASE) INCREASE/ INCREASE/ UNDISTRIBUTED (DECREASE) (DECREASE) NET ACCUMULATED PAID-IN INVESTMENT NET REALIZED CAPITAL INCOME GAIN/(LOSS) (000) (000) (000) ----------------------------------------- LargeCap Index....... -- $ 3 $ (3) Managed Index........ $4,904 -- (4,904) MidCap Index......... -- (1) 1 SmallCap Index....... 843 -- (843)
Federal income tax: Each Fund intends to continue to qualify as a regulated investment company by complying with the applicable requirements of the Internal Revenue Code of 1986, as amended, and by distributing substantially all of its earnings to its shareholders. Therefore, no provision is made for federal income or excise taxes. Expenses: General expenses of the Trust and Funds Trust are allocated to the Funds based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Fund or class of shares are charged to such Fund or class. The Managed Index and SmallCap Index Funds bear all costs in connection with their organization, including the fees and expenses of registering and qualifying their shares for distribution under federal and state securities regulations. All such costs are being amortized on a straight line basis over a period of five years from commencement of operations. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Each of the Trust, Funds Trust and Master Trust has entered into an investment advisory agreement (the "Investment Advisory Agreements") with Banc of America Advisors, Inc. ("BAAI"), a wholly-owned subsidiary of Bank of America, N.A. ("Bank of America"), which in turn is a wholly-owned banking subsidiary of Bank of America Corporation, a bank holding company organized 61 66 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) as a Delaware corporation, pursuant to which BAAI provides investment advisory services to the Funds. Under the terms of the Investment Advisory Agreements, BAAI is entitled to receive an advisory fee, calculated daily and payable monthly, at the maximum annual rate of 0.40% of each Fund's average daily net assets. Each of the Trust and Funds Trust has entered into a sub-advisory agreement with BAAI and Banc of America Capital Management, Inc. ("BACAP"), a wholly-owned subsidiary of Bank of America, pursuant to which BACAP is entitled to receive a sub-advisory fee from BAAI at the maximum annual rate of 0.10% of each Fund's average daily net assets. Stephens Inc. ("Stephens") and BAAI serve as co-administrators of the Trust and Funds Trust. Under the co-administration agreements, Stephens and BAAI are currently entitled to receive a combined fee, computed daily and paid monthly, at the maximum annual rate of 0.23% of each Fund's average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of the Trust and Funds Trust pursuant to agreements with BAAI. For the year ended March 31, 2001, Stephens and BAAI earned 0.07% and 0.11%, respectively, of the Funds' average daily net assets for their co-administration services. BAAI and/or the sub-adviser and Stephens may, from time to time, reduce their fees payable by each Fund. During the year ended March 31, 2001 and until July 31, 2001, BAAI and/or the sub-adviser and Stephens agreed to reimburse expenses and/or waive their fees to the extent that total expenses (excluding shareholder servicing and distribution fees), as a percentage of the respective Fund's average daily net assets, exceed the following annual rates:
ANNUAL FUND RATE ------------------------------------------------------ LargeCap Index Fund and MidCap Index Fund..... 0.35% SmallCap Index Fund........................... 0.40%* Managed Index Fund............................ 0.50%
--------------- * Prior to May 15, 2000 the rate was 0.50%. BNY serves as the custodian of the Trust's and Funds Trust's assets. For the year ended March 31, 2001, expenses of the Funds were reduced by $24,162 under expense offset arrangements with BNY. The Funds could have invested a portion of the assets utilized in connection with the expense offset arrangements in an income producing asset if they had not entered into such arrangements. PFPC Inc. ("PFPC") serves as the transfer agent for the Funds' shares. Bank of America serves as the sub-transfer agent for the Primary A and Primary B Shares of the Funds. For the year ended March 31, 2001, Bank of America earned approximately $15,784 for providing such services. Stephens also serves as distributor of the Funds' shares. No officer, director or employee of Bank of America, BAAI or BACAP, or any affiliate thereof, receives any compensation from the Trust and Funds Trust for serving as Trustee or Officer of the Trust and Funds Trust. The Trust's and Funds Trust's eligible Trustees may participate in non-qualified deferred compensation and retirement plans which may be terminated at any time. All benefits provided under these plans are unfunded and any payments to plan participants are paid solely out of the Funds' assets. Income earned on each plan participant's deferral account is based on the rate of return of the eligible mutual funds selected by the participants or, if no funds are selected, on the rate of return of Nations Treasury Fund, a portfolio of Nations Fund, Inc., another registered investment company in the Nations Funds family. The expense for the deferred compensation and retirement plans is included in "Trustees' fees and expenses" in the Statements of operations. Certain Funds have made daily investments of cash balances in Nations Cash Reserves, a portfolio of Nations Reserves, pursuant to an exemptive order received from the Securities and Exchange Commission. For the year ended March 31, 2001, the Funds earned $6,074,024 in the aggregate from such investments, which is included in interest income. A significant portion of each Fund's Primary A Shares represents investments by fiduciary accounts over which Bank of America has either sole or joint investment discretion. 3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS The Trust has adopted a shareholder administration plan for Primary B Shares of the Managed Index Fund. Each of the Trust and Funds Trust has adopted a combined shareholder servicing and distribution plan for the Investor A Shares of each Fund. The shareholder administration plan permits the Managed Index Fund to compensate institutions for shareholder administration services provided to customers that own Primary B Shares. The shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. The distribution plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to compensate or reimburse the distributor and/or selling agents for activities or expenses primarily intended to result 62 67 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) in the sale of the classes' shares. Payments are made at an annual rate, as a percentage of average daily net assets, set from time to time by the Board of Trustees, and are charged as expenses of each Fund directly to the applicable class. A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BAAI. During the year ended March 31, 2001 and until July 31, 2001, the annual rates in effect and plan limits, as a percentage of average daily net assets, were as follows:
CURRENT RATE (AFTER FEE PLAN WAIVERS) LIMIT ------------------ PRIMARY B SHAREHOLDER ADMINISTRATION PLAN: Managed Index Fund................. 0.50% 0.60% INVESTOR A COMBINED SHAREHOLDER SERVICING AND DISTRIBUTION PLAN.... 0.25% 0.25%
4. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the year ended March 31, 2001 were as follows:
PURCHASES SALES (000) (000) -------------------- LargeCap Index.................... $195,694 $514,520 Managed Index..................... 488,481 647,767 MidCap Index...................... 564,713 263,391 SmallCap Index.................... 222,826 141,806
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the year ended March 31, 2001 were as follows:
PURCHASES SALES (000) (000) ------------------ LargeCap Index...................... $7,636 $2,476 Managed Index....................... 306 2,104
5. FUTURES CONTRACTS At March 31, 2001, the following Funds had futures contracts open:
UNREALIZED VALUE OF CONTRACT MARKET VALUE OF APPRECIATION/ NUMBER OF WHEN OPENED CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) ------------------------------------------------------------------------------------------------------------------------------ LARGECAP INDEX: S&P 500 Futures (long position) expiring June 2001(a) 122 $35,996 $35,661 $(335) MANAGED INDEX: S&P 500 Futures (long position) expiring June 2001(a) 38 11,124 11,107 (17) MIDCAP INDEX: MidCap 400 Futures (long position) expiring June 2001(a) 23 5,447 5,331 (116) SMALLCAP INDEX Russell 200 Futures (long position) expiring June 2001(a) 13 2,920 2,950 30
--------------- (a) Securities have been segregated as collateral for the LargeCap Index, Managed Index, MidCap Index and SmallCap Index Funds for open futures contracts. 6. WRITTEN OPTIONS Written options for the Managed Index Fund for the year ended March 31, 2001 aggregated the following:
NUMBER OF PREMIUM SUMMARY OF WRITTEN OPTIONS CONTRACTS (000) ------------------------------------------------------ Outstanding at March 31, 2000... 0 $ 0 Contracts opened................ 31 77 Contracts closed................ (31) (77) --- ---- Outstanding at March 31, 2001... 0 $ 0 === ====
7. SHARES OF BENEFICIAL INTEREST As of March 31, 2001, an unlimited number of shares of beneficial interest without par value were authorized for each of the Trust and Funds Trust. The Trust's and Funds Trust's Declarations of Trust authorize the Board of Trustees to classify or reclassify any authorized but unissued shares into one or more additional classes or series of shares. See Schedules of capital stock activity. 63 68 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 8. LINES OF CREDIT The Trust and Funds Trust each participate with other Nations Funds in an uncommitted line of credit provided by BNY under a line of credit agreement (the "Agreement"). Advances under the Agreement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable at a specified Federal Funds rate plus 0.50% on an annualized basis. Each participating Fund maintains a ratio of net assets (not including amounts borrowed pursuant to the Agreement) to the aggregate amount of indebtedness pursuant to the Agreement of no less than 4 to 1. At March 31, 2001, there were no loans outstanding under this Agreement. For the year ended March 31, 2001, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING INTEREST FUND (000) RATE --------------------------------------------------------- LargeCap Index.................. $611 6.89% Managed Index................... 252 6.27 MidCap Index.................... 269 6.95 SmallCap Index.................. 25 6.99
The average amount outstanding was calculated based on daily balances in the period. The Trust and Funds Trust also participated with other Nations Funds in a committed line of credit provided by BNY that was terminated on December 7, 2000. Interest on borrowings under the committed line was payable at a specified Federal Funds rate plus 0.50% on an annualized basis. A facility fee of 0.09% per annum of the total amounts available under the line of credit was charged, of which each Fund paid its pro rata share. This fee was paid quarterly in arrears. Each participating Fund was required to maintain an asset coverage ratio of at least 300% under the terms of the arrangement. For the period ended December 7, 2000, there were no borrowings by the Funds under the committed line of credit. 9. SECURITIES LENDING Under an agreement with BNY, the Funds can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned. The cash collateral received is invested in Nations Cash Reserves. A portion of the income generated by the investment of the collateral, net of any rebates paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder is paid to the Fund. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. There would be a potential loss to the Fund in the event the Fund is delayed or prevented from exercising its right to dispose of the collateral. The Fund bears the risk of loss with respect to the investment of collateral. At March 31, 2001, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) ------------------------------------------------------------ LargeCap Index.......... $130,477 $133,563 Managed Index........... 9,744 10,295 MidCap Index............ 44,190 46,457 SmallCap Index.......... 18,589 19,645
10. CAPITAL LOSS CARRYFORWARD At March 31, 2001, the following Funds had available for federal income tax purposes the following unused capital losses expiring March 31:
2007 2008 2009 FUND (000) (000) (000) ---------------------------------------------------------- SmallCap Index.................. -- $71 -- LargeCap Index.................. -- -- $31,209
At March 31, 2001, the SmallCap Index Fund utilized capital loss carryforwards of $17,544,000 during the year. Under the current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the year ended March 31, 2001, the following Funds elected to defer losses occurring between November 1, 2000 and March 31, 2001 under these rules:
POST-OCTOBER CAPITAL LOSSES DEFERRED FUND (000) --------------------------------------------------------- LargeCap Index........................... $22,357
11. REORGANIZATIONS ACQUISITION OF THE COLLECTIVE TRUST EQUITY INDEX FUND On March 31, 2000, the LargeCap Index Fund (the "Acquiring Fund") acquired the assets of the Collective Trust Equity Index Fund (the "Acquired Fund"), managed by Bank of America, in a taxable exchange for shares of the Acquiring Fund. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets as of the conversation date 64 69 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) of the Acquired Fund and the Acquiring Fund prior to conversion, and the Acquiring Fund immediately after the conversion, were $1,690,266,000, $1,165,163,000 and $2,855,429,000, respectively. On May 12, 2000, the Managed Index Fund and the SmallCap Index Fund (each an "Acquiring Fund"), acquired the assets and assumed the liabilities of the Nations Managed Value Index Fund and the Nations Managed SmallCap Value Index Fund, respectively, (each an "Acquired Fund"), in a tax-free reorganization in exchange for shares of the respective Acquiring Fund, pursuant to a plan of reorganization approved by the respective Acquired Fund's shareholders. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation as of the reorganization date were as follows:
TOTAL NET ASSETS TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND ACQUIRED FUND OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION UNREALIZED APPRECIATION ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) ---------------------------------------------------------------------------------------------------------------------------- Managed Index Managed Value Index Fund $3,079 $571,572 $574,651 $536 SmallCap Index Managed SmallCap Value Index Fund 2,660 188,836 191,096 94
CONVERSION OF COMMON TRUST FUNDS On May 12, 2000, the LargeCap Index Fund (the "Acquiring Fund"), acquired the assets of Boatmen's Trust Company Equity Index Fund, a common trust fund, managed by Bank of America, N.A. (the "Acquired Fund"), in a tax-free exchange for shares of the Acquiring Fund. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation as of the conversion date were as follows:
TOTAL NET ASSETS TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND ACQUIRED FUND OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION UNREALIZED APPRECIATION (000) (000) (000) (000) --------------------------------------------------------------------------------- $86,357 $2,700,937 $2,787,294 $56,303
12. SUBSEQUENT EVENT On April 5, 2001, BAAI and BACAP reorganized into successor entities named Banc of America Advisors, LLC and Banc of America Capital Management, LLC, respectively. The successor entities are organized as limited liability companies under the laws of the State of North Carolina. 65 70 NATIONS FUND REPORT OF INDEPENDENT ACCOUNTANTS TO THE SHAREHOLDERS AND TRUSTEES OF NATIONS FUND TRUST AND NATIONS FUNDS TRUST In our opinion, the accompanying statements of net assets, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Nations LargeCap Index Fund, Nations Managed Index Fund, Nations MidCap Index Fund and Nations SmallCap Index Fund, (portfolios of Nations Fund Trust or Nations Funds Trust, hereafter referred to as the "Funds") at March 31, 2001, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2001 by correspondence with the custodian, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York May 16, 2001 66 71 NATIONS FUNDS TAX INFORMATION (UNAUDITED) For the fiscal year ended March 31, 2001, the amount of long-term capital gains designated by the Trust and Funds Trust were as follows:
FUND TOTAL ------------------------------------------------------------------------- LargeCap Index.............................................. $ 38,299 Managed Index............................................... 77,955,570 MidCap Index................................................ 21,047,627 SmallCap Index.............................................. 843,809
Of the ordinary income (including short-term capital gain) distributions made by the Trust and Funds Trust during the fiscal year ended March 31, 2001, the following percentages qualify for the dividend received deduction available to corporate shareholders: Large Cap Index............................................. 100.00% Managed Index............................................... 100.00% MidCap Index................................................ 27.33% SmallCap Index.............................................. 100.00%
67 72 [This page intentionally left blank.] 73 [This page intentionally left blank.] 74 THE NATIONS FUNDS FAMILY OF FUNDS A spectrum of fund choices for building a total asset-allocation strategy LOWER RISK/REWARD POTENTIAL MONEY MARKET FUNDS Nations Prime Fund Nations Cash Reserves Nations Money Market Reserves Nations Government Money Market Fund Nations Government Reserves Nations Treasury Fund Nations Treasury Reserves Nations Tax Exempt Fund Nations Municipal Reserves Nations California Tax-Exempt Reserves FIXED INCOME FUNDS INCOME FUNDS Nations High Yield Bond Fund Nations Strategic Income Fund Nations U.S. Government Bond Fund Nations Government Securities Fund Nations Bond Fund Nations Intermediate Bond Fund Nations Short-Intermediate Government Fund Nations Short-Term Income Fund TAX-EXEMPT INCOME FUNDS Nations Municipal Income Fund Nations State-Specific Long-Term Municipal Bond Funds (CA, FL, GA, KS, MD, NC, SC, TN, TX, VA) Nations Intermediate Municipal Bond Fund Nations State-Specific Intermediate Municipal Bond Funds (FL, GA, MD, NC, SC, TN, TX, VA) Nations Short-Term Municipal Income Fund EQUITY FUNDS GROWTH FUNDS Nations Financial Services Fund Nations Small Company Fund Nations Marsico 21st Century Fund Nations MidCap Growth Fund Nations Marsico Focused Equities Fund Nations Aggressive Growth Fund Nations Capital Growth Fund Nations Strategic Growth Fund Nations Blue Chip Fund GROWTH AND INCOME FUNDS Nations Marsico Growth & Income Fund Nations Value Fund Nations Classic Value Fund Nations Equity Income Fund Nations Asset Allocation Fund Nations Balanced Assets Fund Nations Convertible Securities Fund INTERNATIONAL/GLOBAL FUNDS Nations Emerging Markets Fund Nations Marsico International Opportunities Fund Nations International Equity Fund Nations International Value Fund Nations Global Value Fund HIGHER RISK/REWARD POTENTIAL INDEX FUNDS Nations Managed Index Fund Nations LargeCap Index Fund Nations MidCap Index Fund Nations SmallCap Index Fund ASSET ALLOCATION PORTFOLIOS Nations LifeGoal Balanced Growth Portfolio Nations LifeGoal Growth Portfolio Nations LifeGoal Income and Growth Portfolio INDEXAR (3/01)