N-30D 1 g72239n-30d.txt FUND INC (FIXED INCOME SAR) [GRAPHIC: Building] Nations Short-Term Income Fund Nations Short-Intermediate Government Fund Nations Government Securities Fund Nations Intermediate Bond Fund Nations Bond Fund Nations Strategic Income Fund Nations High Yield Bond Fund GOVERNMENT & CORPORATE BOND FUNDS SEMIANNUAL REPORT FOR THE PERIOD ENDED SEPTEMBER 30, 2001 [NATIONS FUNDS LOGO] 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 Corporation, 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, LLC NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE PRESIDENTS' MESSAGE Dear Shareholder: The six-month period ended September 30, 2001 was like no other in history. We are still shocked and saddened by the tragic events of September 11 -- the day when our nation faced multiple terrorist attacks resulting in the deaths of thousands of innocent men, women and children on American soil. We want to extend our thoughts and prayers to the thousands of people affected by this tragedy, and to those of you who lost loved ones on that day. Since our national tragedy, our economy and financial markets, though shaken, stand firm. Not even an unprecedented four-day closing of the national stock exchanges -- the longest stock market disruption in nearly 70 years -- could bring our state-of-the-art financial system to its knees. And from this strong foundation we will press on. The Dow Jones Industrial Average(1), while shedding 1,370 points the week after reopening, has managed to recapture all but a few hundred points of that decline. Of course, reports measuring the full economic impact of the September 11 attacks have yet to be released. Therefore, we caution that the markets -- while seeming to discount weak economic and profit performance -- could still be tested in the weeks ahead. Though uncertainty persists, we believe lower interest rates, tax cuts, government spending and lower energy prices will help spur economic growth. Consumers already seem to be returning to more normal spending patterns. The Federal Reserve (the Fed) has done its part to aid the economy by cutting interest rates eight times so far this year. And the Fed could push interest rates lower if economic weakness continues. Long-term interest rates have also dropped, which should cushion the mortgage and housing sectors against the rise in unemployment. While there are a number of positives to focus on, recession is now the consensus expectation, with the timing of a recovery still uncertain. Prior to the attacks, many stocks within economically sensitive industries had already fallen to recessionary levels. The post-attack environment calls for a more severe slowdown, but the massive liquidity introduced by the Fed and additional fiscal stimulus measures planned by the U.S. Congress should induce a more robust rebound. The rebound could also be enhanced if oil prices continue to moderate as they have since September 11. A HISTORICAL PERSPECTIVE History has shown that the financial markets do not like negative surprises or uncertainty. A number of observers have drawn comparisons to the 1990-91 recession and the Gulf War. There are similarities between that period and today, including a weakening American economy prior to war and fears of a protracted Vietnam-style military involvement. Ten years ago, worries persisted that Iraq might use chemical or nuclear weapons against U.S. armed forces and that oil supplies might be severely jeopardized. In response, the Dow Jones Industrial Average dropped 21% between the peak prior to Iraq's invasion of Kuwait and its subsequent low. While we anticipate a similar loss of confidence and consequent pullback in spending, we believe there are important differences between now and then. Policymakers today have much more flexibility in terms of responding to economic malaise. A decade ago, the nation faced large budget deficits and high inflation. In contrast, the U.S. currently has a budget surplus and low inflation. The economy a decade ago also faced a financial services industry weakened by a sharp drop in the real estate market and a near collapse of the savings and loan industry. We believe today's banking system is sound. Finally, oil prices doubled in 1990, from around $20 per barrel to $40 per barrel, as fears escalated over the security of oil supplies. In contrast, oil prices have actually declined since September 11 as OPEC, led by Saudi Arabia, has pledged to hold energy prices at moderate levels. (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 index is unmanaged and unavailable for investment. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. PRESIDENTS' MESSAGE CONTINUED... OUR NEAR-TERM OUTLOOK We believe strongly that there are a compelling number of important, positive factors at work today that may augur well for equity investors. The combination of lower interest rates, constrained inflation, increasingly attractive aggregate stock market valuations and the possibility of a substantial fiscal stimulus may provide a favorable backdrop for longer-term equity returns. On the fixed-income side, we believe the best values lie with higher-quality, intermediate-term bonds. In addition, we believe high-quality corporate bonds and mortgage-backed securities, such as Ginnie Maes, will continue to provide a safe haven during these uncertain times because they are backed by the full faith and credit of the U.S. government. In our view, the U.S. economy possesses a tremendous amount of resilience that will pull it through the current crisis. When the economy recovers, we believe it will likely be stronger and healthier than it was immediately before the tragic events of September 11. EVALUATE YOUR NEXT STEPS So, where do we go from here? We encourage you to 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. As a prudent investor, start by reassessing your objectives and circumstances. For example, do today's circumstances change your need for liquid assets? Or is your situation such that the opportunities for long-term gains appear more compelling? We continue to believe that a well-diversified portfolio consisting of high-quality securities remains the best defensive strategy in an environment that is vulnerable to external factors. In our opinion, the proper approach today is to balance both value and growth prospects in establishing a portfolio that will navigate the uncertainty and challenges of the market over the next six months, whatever might transpire on the economic front. OUR CONTINUED COMMITMENT TO YOU At Nations Funds, we are committed to providing you with the tools and information to help you evaluate your investments, especially during uncertain times. We are continually updating our Web site to provide you with the information you need: - Timely fund commentaries and economic updates - Finding the right fit -- the importance of asset allocation - Strategies for investing in uncertain times - The value of an investment professional Should you have any questions or comments on your semiannual report, please contact your investment professional or call us at 1.800.321.7854. If you don't have an investment professional and would like us to put you in contact with one, just let us know. Or you may 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, LLC September 30, 2001 P.S. Since September 30, 2001, the Federal Reserve Board has twice reduced the Federal Funds rate, which now stands at 2.00%. This is the lowest the rate has been in 40 years. TABLE OF CONTENTS FINANCIAL STATEMENTS Statements of net assets Nations Short-Term Income Fund 3 Nations Short-Intermediate Government Fund 7 Nations Government Securities Fund 9 Nations Intermediate Bond Fund 11 Nations Bond Fund 12 Nations Strategic Income Fund 19 Nations High Yield Bond Fund 25 Statements of operations 26 Statements of changes in net assets 28 Schedules of capital stock activity 32 Financial highlights 40 Notes to financial statements 54 Statements of net assets -- Nations Master Investment Trust Nations Intermediate Bond Master Portfolio 66 Nations High Yield Bond Master Portfolio 72 Statements of operations 79 Statements of changes in net assets 80 Supplementary data 80 Notes to financial statements 81
------------------------------------------------------------------------------ NATIONS FUNDS [DALBAR LOGO]] RECOGNIZED FOR OUTSTANDING DALBAR, Inc. is a well-respected INTERMEDIARY AND research firm that measures SHAREHOLDER SERVICE customer service levels and establishes benchmarks in the IN RECOGNITION OF ITS COMMITMENT TO financial services industry. PROVIDE INVESTMENT PROFESSIONALS 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. ------------------------------------------------------------------------------
[This page intentionally left blank.] NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- ASSET-BACKED SECURITIES -- 19.0% ASSET-BACKED -- AUTO LOANS -- 6.8% $ 2,500 Americredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08...................... $ 2,596 4,766 BankBoston RV Trust, Series 1997-1, Class A7, 6.480% 07/15/08##.................... 4,818 5,000 BMW Vehicle Lease Trust, Series 2000-A, Class A4, 6.670% 10/25/03...................... 5,257 3,500 Ford Credit Auto Owner Trust, Series 2000-A, Class B, 7.370% 07/15/04...................... 3,738 2,270 Honda Auto Receivables Owner Trust, Series 2000-1, Class A4, 6.670% 01/16/06...................... 2,410 1,500 MMCA Automobile Trust, Series 2001-1, Class A4, 5.340% 12/15/05...................... 1,550 1,447 MMCA Automobile Trust, Series 2001-2, Class B, 5.750% 06/15/07...................... 1,483 4,000 Nissan Auto Receivables Owner Trust, Series 2000-C, Class A3, 6.720% 08/16/04...................... 4,163 5,000 Premier Auto Trust, Series 1999-1, Class A4, 5.820% 10/08/03...................... 5,125 -------- 31,140 -------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 4.4% 3,000 Citibank Credit Card Master Trust I, Series 1998-3, Class B, 5.950% 02/07/05...................... 3,106 5,000 Discover Card Master Trust I, Series 1998-6, Class A, 5.850% 01/17/06##.................... 5,199 3,936 Fingerhut Master Trust, Series 1998-1, Class B, 6.290% 02/15/05...................... 3,978 3,500 Fleet Credit Card Master Trust, Series 1999-A, Class A1, 6.000% 11/15/05...................... 3,621 3,920 Metris Master Trust, Series 1997-1, Class B, 7.110% 10/20/05...................... 4,166 -------- 20,070 -------- ASSET-BACKED -- HOME EQUITY LOANS -- 5.1% 11,477 EQCC Home Equity Loan Trust, Series 1998-1, Class A4F, 6.459% 03/15/21##.................... 11,815 7,300 Residential Asset Securities Corporation, Series 1999-KS1, Class AI3, 6.110% 05/25/25...................... 7,421 4,000 Residential Asset Securities Corporation, Series 2000-KS5, Class AI2, 6.935% 10/25/20...................... 4,130
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- ASSET-BACKED -- HOME EQUITY LOANS -- (CONTINUED) $ 93 Southern Pacific Secured Assets Corporation, Series 1998-1, Class A2, 6.270% 02/25/18...................... $ 93 -------- 23,459 -------- ASSET-BACKED -- OTHER -- 2.7% 1,260 Augusta Funding Ltd. IV, Class A1, 6.250% 11/15/02(*)................... 1,298 7,926 First Sierra Receivables, Series 1999-1, Class A4, 5.730% 09/15/04...................... 8,129 3,011 PSE&G Transition Funding LLC, Series 2001-1, Class A1, 5.460% 06/15/04...................... 3,050 -------- 12,477 -------- TOTAL ASSET-BACKED SECURITIES (Cost $84,178)....................... 87,146 -------- CORPORATE BONDS AND NOTES -- 41.0% AUTOMOTIVE -- 2.0% 1,889 Delphi Automotive Systems Corporation, 6.125% 05/01/04...................... 1,904 3,000 ERAC USA Finance Company, 7.500% 06/15/03(*)##................. 3,180 3,000 PACCAR Financial Corporation, 5.830% 03/14/03...................... 3,105 1,030 Toyota Motor Credit Corporation, 5.625% 11/13/03...................... 1,074 -------- 9,263 -------- BROADCASTING AND CABLE -- 3.1% 5,000 News America Holdings, 8.625% 02/01/03...................... 5,272 4,000 Paramount Communications, Sr. Notes, 7.500% 01/15/02...................... 4,045 5,100 Time Warner Inc., 6.100% 12/30/01(*)................... 5,129 -------- 14,446 -------- CHEMICALS -- SPECIALTY -- 0.2% 1,000 ISP Holdings Inc., 9.750% 02/15/02...................... 985 -------- COMMERCIAL BANKING -- 6.7% 615 BB&T Corporation, 7.050% 05/23/03...................... 647 5,050 First Maryland Bancorp, 8.375% 05/15/02...................... 5,204 2,865 First Union Corporation, 6.625% 06/15/04...................... 3,040 2,500 First USA Bank, N.A., 7.650% 08/01/03...................... 2,669 2,000 Firstar Corporation, 6.500% 07/15/02...................... 2,042 5,125 Golden State Holdings, Escrow Corporation, 7.000% 08/01/03...................... 5,253 2,000 PNC Funding Corporation, 6.875% 03/01/03...................... 2,084
SEE NOTES TO FINANCIAL STATEMENTS. 3 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 4,000 Popular, Inc., MTN, 6.375% 09/15/03...................... $ 4,183 5,000 Wells Fargo & Company, 5.750% 02/01/03...................... 5,162 -------- 30,284 -------- COMPUTER SERVICES -- 0.3% 348 Comdisco, Inc., 6.340% 01/11/02(b)(c)................ 249 604 Comdisco, Inc., 6.000% 01/30/02(b)(c)................ 435 799 Comdisco, Inc., 7.250% 09/20/02(b)(c)................ 579 -------- 1,263 -------- COMPUTERS AND OFFICE EQUIPMENT -- 0.5% 2,125 Compaq Computer Corporation, 7.450% 08/01/02...................... 2,177 -------- CONGLOMERATES -- 1.2% 5,500 Waste Management, Inc., 7.700% 10/01/02...................... 5,692 -------- CONSUMER CREDIT AND MORTGAGES -- 1.2% 2,000 Countrywide Home Loans, Inc., 5.250% 06/15/04...................... 2,050 3,250 Washington Mutual Inc., 8.250% 10/01/02...................... 3,385 -------- 5,435 -------- DEPARTMENT AND DISCOUNT STORES -- 1.6% 4,000 Federated Department Stores, Inc., 8.500% 06/15/03...................... 4,257 3,230 Sears Roebuck Acceptance Corporation, 6.860% 10/02/01...................... 3,230 -------- 7,487 -------- DIVERSIFIED MANUFACTURING -- 0.3% 1,500 Bayer Corporation, 6.500% 10/01/02(*)##................. 1,547 -------- ELECTRIC POWER -- NUCLEAR -- 0.4% 2,000 American Electric Power Company, Inc., 5.500% 05/15/03...................... 2,041 -------- ENERGY -- MISCELLANEOUS -- 1.1% 3,000 Nisource Finance Corporation, 7.500% 11/15/03...................... 3,181 2,000 SIUK plc, 6.375% 11/15/01...................... 2,006 -------- 5,187 -------- EXPLORATION AND PRODUCTION -- 0.7% 3,000 Norcen Energy Resources Ltd., 6.800% 07/02/02...................... 3,061 -------- FINANCE -- MISCELLANEOUS -- 4.1% 3,000 Associates Corporation of North America, 5.500% 02/15/04...................... 3,108 2,500 CIT Group, Inc., Class A, 7.500% 11/14/03...................... 2,667 2,000 Ford Motor Credit Company, 6.125% 04/28/03(a)................... 2,054
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- FINANCE -- MISCELLANEOUS -- (CONTINUED) $ 3,000 General Motors Acceptance Corporation, 5.950% 03/14/03...................... $ 3,072 1,900 Heller Financial, Inc., Class A, 6.000% 03/19/04...................... 1,997 4,000 Household Finance Corporation, 5.875% 11/01/02...................... 4,105 2,000 International Lease Finance Corporation, 4.910% 04/04/03...................... 2,045 -------- 19,048 -------- FOOD AND DRUG STORES -- 0.7% 3,000 Safeway Inc., 6.850% 09/15/04...................... 3,187 -------- FOOD PRODUCTS -- 0.7% 3,000 Kellogg Company, 5.500% 04/01/03...................... 3,074 -------- HEALTH SERVICES -- 1.1% 2,100 American Home Products Corporation, 5.875% 03/15/04...................... 2,190 3,010 HEALTHSOUTH Corporation, Sr. Notes, 6.875% 06/15/05(a)................... 2,980 -------- 5,170 -------- INSURANCE -- 2.8% 5,000 Aon Corporation, 7.400% 10/01/02##.................... 5,176 4,000 Monumental Global Funding II, 6.950% 10/01/03(*)................... 4,225 2,000 New York Life Insurance Company, 6.400% 12/15/03(*)................... 2,108 1,200 Prudential Financial, 6.875% 04/15/03(*)................... 1,248 -------- 12,757 -------- INTEGRATED OIL -- 2.1% 3,500 Phillips Petroleum Company, 6.650% 03/01/03...................... 3,634 4,000 Union Oil Company of California, 6.375% 02/01/04...................... 4,143 2,000 Valero Energy Corporation, 6.750% 12/15/02(*)................... 2,053 -------- 9,830 -------- INVESTMENT SERVICES -- 5.1% 5,000 Bear Stearns Company, Inc., 6.125% 02/01/03##.................... 5,143 4,000 Goldman Sachs Group LP, 7.125% 03/01/03(*)................... 4,179 2,500 Lehman Brothers Holdings Inc., 6.250% 04/01/03...................... 2,588 2,500 Merrill Lynch & Company, Inc., MTN, 5.880% 01/15/04...................... 2,606 4,000 Morgan Stanley Dean Witter & Company, 7.375% 04/15/03...................... 4,218 4,000 Salomon, Inc., 6.750% 02/15/03...................... 4,174 -------- 22,908 --------
SEE NOTES TO FINANCIAL STATEMENTS. 4 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- 0.5% $ 2,120 Abbott Laboratories, 5.125% 07/01/04...................... $ 2,195 -------- OIL REFINING AND MARKETING -- 0.4% 1,850 PDV America Inc., Gtd. Sr. Notes, 7.875% 08/01/03...................... 1,903 -------- PAPER AND FOREST PRODUCTS -- 0.5% 2,259 International Paper Company, 8.000% 07/08/03...................... 2,402 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.0% 2,000 FedEx Corporation, 6.625% 02/12/04...................... 2,080 2,500 Illinois Central Railroad Company, 6.750% 05/15/03...................... 2,603 -------- 4,683 -------- TELECOMMUNICATIONS SERVICES -- 0.4% 2,000 WorldCom, Inc. - WorldCom Group, 6.500% 05/15/04...................... 2,055 -------- UTILITIES -- MISCELLANEOUS -- 2.3% 4,750 Consumers Energy Company, 6.375% 09/15/03...................... 4,788 3,000 Dominion Resources, Inc., 6.000% 01/31/03##.................... 3,083 2,500 Transcontinental Gas Pipeline, 8.875% 09/15/02...................... 2,612 -------- 10,483 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $182,570)...................... 188,563 -------- MORTGAGE-BACKED SECURITIES -- 3.5% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 1.6% 3,000 Fannie Mae Whole Loan, Series 2001-W1, Class AF3, 5.690% 06/25/29##.................... 3,071 4,000 Mall of America Capital Company LLC, Series 2000-1, Class B, 3.901%** 03/12/05.................... 3,997 -------- 7,068 --------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 0.8% $ 2,649 6.000% 11/01/03 - 11/01/04............. $ 2,698 358 6.500% 08/01/04........................ 369 534 7.500% 11/01/09........................ 560 -------- 3,627 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 1.1% 5,109 6.375% 04/20/22........................ 5,201 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $15,703)....................... 15,896 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 19.0% FEDERAL HOME LOAN BANK (FHLB) -- 1.3% 5,950 5.125% 09/15/03##...................... 6,169 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 6.4% 24,700 5.750% 07/15/03(a)..................... 25,831 3,500 6.775% 11/01/03........................ 3,694 -------- 29,525 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 11.3% 30,000 5.000% 02/14/03##...................... 30,881 10,250 5.750% 04/15/03........................ 10,686 9,515 5.625% 05/14/04(a)..................... 10,009 -------- 51,576 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $85,712)....................... 87,270 -------- U.S. TREASURY OBLIGATIONS -- 10.5% U.S. TREASURY NOTES -- 5.4% 24,000 5.875% 09/30/02(a)..................... 24,792 -------- U.S. TREASURY STRIPS -- 5.1% 26,405 Principal only, 3.560%*** 11/15/04................... 23,639 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $48,070)....................... 48,431 --------
SEE NOTES TO FINANCIAL STATEMENTS. 5 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
SHARES VALUE (000) (000) ----------------------------------------------------------- INVESTMENT COMPANIES -- 23.6% (Cost $108,196) 108,196 Nations Cash Reserves#................ 108,196 -------- TOTAL INVESTMENTS (Cost $524,429*)............ 116.6% 535,502 -------- OTHER ASSETS AND LIABILITIES (NET)........... (16.6)% Cash.................................. $ 807 Receivable for investment securities sold................................ 22,810 Receivable for Fund shares sold....... 4,508 Interest receivable................... 5,677 Variation margin/due to broker........ (35) Collateral on securities loaned....... (80,131) Payable for Fund shares redeemed...... (380) Investment advisory fee payable....... (72) Administration fee payable............ (79) Shareholder servicing and distribution fees payable........................ (27) Distributions payable................. (1,716) Payable for investment securities purchased........................... (26,883) Accrued Trustees' fees and expenses... (46) Accrued expenses and other liabilities......................... (864) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... (76,431) -------- NET ASSETS.................... 100.0% $459,071 ======== NET ASSETS CONSIST OF: Accumulated net realized loss on investments sold.................... $(10,368) Net unrealized appreciation of investments and futures contracts... 12,145 Paid-in capital....................... 457,294 -------- NET ASSETS............................ $459,071 ========
VALUE ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($395,769,808 / 39,706,294 shares outstanding)........................ $9.97 ----- ----- INVESTOR A SHARES: Net asset value and redemption price per share ($50,055,854 / 5,016,892 shares outstanding)................. $9.98 ----- ----- Maximum sales charge.................. 1.00% Maximum offering price per share...... $10.08 INVESTOR B SHARES: Net asset value and offering price per share+ ($2,587,925 / 259,556 shares outstanding)........................ $9.97 ----- ----- INVESTOR C SHARES: Net asset value and offering price per share+ ($10,657,701 / 1,068,781 shares outstanding)................. $9.97 ----- -----
--------------- * Federal Income Tax Information: Net unrealized appreciation of $11,073 on investment securities was comprised of gross appreciation of $11,159 and gross depreciation of $86 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $524,429. ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2001. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2001. (*) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. + The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (Note 11). The portion that represents cash collateral is $80,131. ## All or a portion of security segregated as collateral for futures contracts and TBA. (a) All or portion of security was on loan at September 30, 2001. The aggregate cost and market value of securities on loan at September 30, 2001, is $76,396 and $77,329, respectively. (b) Issue in default. (c) Issuer in bankruptcy. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 6 NATIONS FUNDS Nations Short-Intermediate Government Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 62.0% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 6.2% $ 9,350 Chase Manhattan Bank - First Union National, Series 1999-1, Class A2, 7.439% 07/15/09...................... $ 10,334 5,000 DLJ Commercial Mortgage Corporation, Series 1999-CG2, Class A1B, 7.300% 06/10/09...................... 5,484 7,850 First Union National Bank Commercial Mortgage, Series 1999-C4, Class A2, 7.390% 11/15/09...................... 8,691 4,265 PNC Mortgage Acceptance Corporation, Series 1999-CM1, Class A1B, 7.330% 10/10/09...................... 4,695 4,664 PNC Mortgage Acceptance Corporation, Series 2001-C1, Class A1, 5.910% 03/12/34...................... 4,793 492 Vendee Mortgage Trust, Series 1994-3A, Class 1H, 6.500% 12/15/01...................... 493 -------- 34,490 -------- FEDERAL HOME LOAN BANK (FHLB) -- 3.2% 17,300 4.875% 04/16/04##...................... 17,901 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 5.8% 13,000 6.250% 07/15/04........................ 13,892 17,533 7.000% 11/01/30........................ 18,171 -------- 32,063 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 36.2% 3,082 7.000% 05/18/04........................ 3,091 40,000 6.500% 08/15/04(a)..................... 43,095 31,500 5.500% 02/15/06(a)..................... 33,109 3,370 6.150% 03/01/08........................ 3,531 12,520 6.270% 06/01/08........................ 13,191 3,097 9.000% 04/01/16........................ 3,300 23,822 6.000% 07/01/16........................ 24,217 4,846 8.500% 04/01/17........................ 5,196 28,000 6.500% 02/01/31(b)..................... 28,472 33,850 6.000% 08/01/31(b)..................... 33,723 8,130 7.000% 09/01/31(b)..................... 8,409 -------- 199,334 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 10.6% 7,650 6.375% 04/20/22........................ 7,784 9,484 7.500% 02/15/24 - 04/15/26............. 9,975 6,171 7.000% 01/16/28........................ 6,192 7,311 5.500%** 06/20/29...................... 7,392
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- (CONTINUED) $ 9,885 6.500% 07/15/29........................ $ 10,116 16,388 8.000% 06/15/30........................ 17,251 -------- 58,710 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $329,565)...................... 342,498 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 4.3% FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 4.3% 19,000 5.750% 07/15/03(a)..................... 19,869 3,675 6.775% 11/01/03........................ 3,879 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $23,293)....................... 23,748 -------- U.S. TREASURY OBLIGATIONS -- 29.2% U.S. TREASURY NOTES -- 15.4% 8,500 5.750% 04/30/03(a)..................... 8,904 59,200 5.750% 08/15/03(a)..................... 62,335 12,600 7.000% 07/15/06(a)..................... 14,266 -------- 85,505 -------- U.S. TREASURY STRIPS -- 13.8% 58,400 Interest only, 3.958%*** 05/15/06(a)................ 48,708 31,200 Interest only, 5.001%*** 05/15/11(a)................ 19,390 7,100 Principal only, 3.566%*** 11/15/04................... 6,356 5,100 Principal only, 5.823%*** 11/15/21................... 1,606 -------- 76,060 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $160,012)...................... 161,565 -------- SHORT TERM INVESTMENTS -- 2.5% (Cost $13,994) FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 2.5% 14,000 Discount note 10/09/01................. 13,994 --------
SEE NOTES TO FINANCIAL STATEMENTS. 7 NATIONS FUNDS Nations Short-Intermediate Government Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
SHARES VALUE (000) (000) ----------------------------------------------------------- INVESTMENT COMPANIES -- 48.0% (Cost $265,162) 265,162 Nations Cash Reserves#................ 265,162 -------- TOTAL INVESTMENTS (Cost $792,026*)............. 146.0% 806,967 -------- OTHER ASSETS AND LIABILITIES (NET)............ (46.0)% Unrealized appreciation on interest rate swap contracts................. $ 1,432 Receivable for investment securities sold................................ 111,923 Receivable for Fund shares sold....... 1,250 Interest receivable................... 4,623 Variation margin/due to broker........ (116) Collateral on securities loaned....... (204,399) Payable for Fund shares redeemed...... (847) Investment advisory fee payable....... (135) Administration fee payable............ (99) Shareholder servicing and distribution fees payable........................ (32) Due to custodian...................... (95) Distributions payable................. (2,022) Payable for investment securities purchased........................... (165,187) Accrued Trustees' fees and expenses... (60) Accrued expenses and other liabilities......................... (553) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................... (254,317) -------- NET ASSETS..................... 100.0% $552,650 ======== NET ASSETS CONSIST OF: Accumulated net realized loss on investments sold and futures contracts........................... $(11,627) Net unrealized appreciation of investments and futures contracts... 16,224 Paid-in capital....................... 548,053 -------- NET ASSETS............................ $552,650 ========
VALUE ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($491,678,032 / 115,780,351 shares outstanding)........................ $4.25 ----- ----- PRIMARY B SHARES: Net asset value, offering and redemption price per share ($146,976 / 34,614 shares outstanding)........................ $4.25 ----- ----- INVESTOR A SHARES: Net asset value and redemption price per share ($44,562,989 / 10,498,370 shares outstanding)................. $4.24 ----- ----- Maximum sales charge.................. 3.25% Maximum offering price per share...... $4.38 INVESTOR B SHARES: Net asset value and offering price per share(+) ($12,173,475 / 2,866,114 shares outstanding)................. $4.25 ----- ----- INVESTOR C SHARES: Net asset value and offering price per share(+) ($4,088,330 / 963,728 shares outstanding)................. $4.24 ----- -----
--------------- * Federal Income Tax Information: Net unrealized appreciation of $14,941 on investment securities was comprised of gross appreciation of $15,400 and gross depreciation of $459 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $792,026. ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2001. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2001. (+) The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (Note 11). The portion that represents cash collateral is $204,399. ## All or a portion of security segregated as collateral for futures contracts and TBA. (a) All or portion of security was on loan at September 30, 2001. The aggregate cost and market value of securities on loan at September 30, 2001, is $194,415 and $198,966, respectively. (b) TBA -- Securities purchased on a forward commitment basis. SEE NOTES TO FINANCIAL STATEMENTS. 8 NATIONS FUNDS Nations Government Securities Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- ASSET-BACKED SECURITIES -- 0.4% (Cost $1,148) ASSET-BACKED -- OTHER -- 0.4% $ 1,148 Export Funding Trust, Series 1995-A, Class A, 8.210% 12/29/06...................... $ 1,290 -------- MORTGAGE-BACKED SECURITIES -- 65.5% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 4.3% 1,265 Chase Manhattan Bank - First Union National, Series 1999-1, Class A2, 7.439% 07/15/09...................... 1,398 4,585 First Union National Bank Commercial Mortgage, Series 1999-C4, Class A2, 7.390% 11/15/09...................... 5,076 725 GE Capital Commercial Mortgage Corporation, Series 2000-1, Class A2, 6.496% 12/15/10...................... 763 1,200 PNC Mortgage Acceptance Corporation, Series 2000-C1, Class A2, 7.610% 02/15/10...................... 1,335 3,835 PNC Mortgage Acceptance Corporation, Series 2001-C1, Class A1, 5.910% 03/12/34...................... 3,941 38,677 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest only, .453%** 09/15/27..................... 470 36,614 Vendee Mortgage Trust, Series 1998-3, Class 1, Interest only, .312%** 03/15/29..................... 351 -------- 13,334 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 9.2% 299 9.000% 02/01/02 - 12/01/16............. 318 16,400 6.250% 07/15/04........................ 17,526 423 10.000% 05/01/05 - 09/01/18............ 459 1,256 8.500% 01/01/06 - 09/01/20............. 1,337 241 8.000% 08/01/07 - 05/01/17............. 252 23 7.500% 08/01/08........................ 24 1,140 9.500% 04/01/18 - 01/01/29............. 1,224 7,087 6.500% 09/15/25........................ 7,364 -------- 28,504 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 47.5% 157 7.000% 07/01/03........................ 161 1,116 10.000% 10/01/06 - 04/01/20............ 1,189 2,414 6.135% 08/01/08........................ 2,526 43 8.250% 04/01/09........................ 45 86 7.500% 06/01/09........................ 90 47 8.000% 06/01/09........................ 49 20,400 6.625% 11/15/10 - 11/15/30............. 22,112 181 8.500% 12/01/11 - 07/01/21............. 191
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- (CONTINUED) $16,666 6.000% 07/01/16##...................... $ 16,942 6,657 6.565% 07/01/16........................ 7,001 597 9.000% 12/01/16 - 09/01/24............. 645 4,631 9.500% 04/01/20 - 08/01/21............. 5,028 1,720 6.990% 06/01/23........................ 1,817 817 6.750% 03/18/28........................ 826 8,856 5.500% 02/01/29 - 03/01/29............. 8,571 45,250 6.500% 02/01/31 - 07/01/31(b).......... 46,014 16,298 6.000% 04/01/31##...................... 16,259 17,575 6.000% 08/01/31(b)..................... 17,509 300 7.000% 08/01/31(b)..................... 310 182 6.452%** 08/01/36...................... 185 -------- 147,470 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 4.5% 171 9.500% 08/15/02 - 04/20/06............. 182 228 10.500% 03/15/03 - 04/15/21............ 258 182 10.000% 11/15/03 - 03/15/21............ 197 277 9.000% 06/15/07 - 03/15/27............. 297 2,484 7.500% 09/15/07 - 04/15/29............. 2,609 216 7.000% 02/15/09 - 06/15/23............. 226 1,834 8.500% 10/15/09 - 02/20/29............. 1,970 255 6.000% 12/15/10........................ 263 32 13.000% 01/15/11 - 04/15/11............ 39 2,864 8.000% 11/15/14 - 07/15/29............. 3,043 71 11.000% 11/15/15 - 10/20/20............ 80 4,564 6.500% 04/15/29 - 01/15/31............. 4,674 -------- 13,838 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $197,248).................... 203,146 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 0.7% (Cost $2,105) FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.7% 2,043 6.775% 11/01/03........................ 2,157 -------- U.S. TREASURY OBLIGATIONS -- 23.9% U.S. TREASURY NOTES -- 3.6% 10,500 5.750% 08/15/03(a)..................... 11,056 -------- U.S. TREASURY STRIPS -- 20.3% 29,700 Interest only, 3.958%*** 05/15/06(a).............. 24,771 24,100 Interest only, 5.001%*** 05/15/11(a).............. 14,977 7,000 Interest only, 5.843%*** 11/15/21(a).............. 2,196 5,600 Principal only, 3.566%*** 11/15/04................. 5,013
SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS FUNDS Nations Government Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- U.S. TREASURY STRIPS -- (CONTINUED) $34,095 Principal only, 5.823%*** 11/15/21................. $ 10,738 23,500 Principal only, 5.763%*** 11/15/27(a).............. 5,325 -------- 63,020 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $72,866)..................... 74,076 -------- SHORT TERM INVESTMENTS -- 8.1% FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 8.1% 20,000 Discount note 10/01/01................. 19,999 5,000 Discount note 10/09/01................. 4,998 -------- 24,997 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 0.0%+ 1 9.500% 11/20/01........................ 1 -------- TOTAL SHORT TERM INVESTMENTS (Cost $24,998) ...................... 24,998 --------
SHARES (000) ------ INVESTMENT COMPANIES -- 30.3% (Cost $94,088) 94,088 Nations Cash Reserves#................. $ 94,088 -------- TOTAL INVESTMENTS (Cost $392,453*).............. 128.9% 399,755 -------- OTHER ASSETS AND LIABILITIES (NET)............. (28.9)% Unrealized appreciation on interest rate swaps........................... $ 891 Receivable for investment securities sold................................. 71,941 Receivable for Fund shares sold........ 962 Interest receivable.................... 2,314 Variation margin/due to broker......... (12) Collateral on securities loaned........ (31,629) Payable for Fund shares redeemed....... (3,092) Investment advisory fee payable........ (100) Administration fee payable............. (43) Shareholder servicing and distribution fees payable......................... (77) Due to custodian....................... (102) Distributions payable.................. (1,074) Payable for investment securities purchased............................ (129,225) Accrued Trustees' fees and expenses.... (67) Accrued expenses and other liabilities.......................... (418) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET).................... (89,731) -------- NET ASSETS...................... 100.0% $310,024 ======== VALUE (000) ----------------------------------------------------------- NET ASSETS CONSIST OF: Distributions in excess of net investment income.................... $ (394) Accumulated net realized loss on investments sold and futures contracts............................ (19,412) Net unrealized appreciation of investments and futures contracts.... 8,441 Paid-in capital........................ 321,389 -------- Net assets............................. $310,024 ======== PRIMARY A SHARES: Net asset value, offering and redemption price per share ($202,328,956 / 20,045,266 shares outstanding)......................... $10.09 ------ ------ INVESTOR A SHARES: Net asset value and redemption price per share ($59,865,272 / 5,938,190 shares outstanding).................. $10.08 ------ ------ Maximum sales charge................... 4.75% Maximum offering price per share....... $10.58 INVESTOR B SHARES: Net asset value and offering price per share(+) ($45,374,950 / 4,495,440 shares outstanding).................. $10.09 ------ ------ INVESTOR C SHARES: Net asset value and offering price per share(+) ($2,454,433 / 243,899 shares outstanding)......................... $10.06 ------ ------
--------------- * Federal Income Tax Information: Net unrealized appreciation of $7,302 on investment securities was comprised of gross appreciation of $7,963 and gross depreciation of $661 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $392,453. ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2001. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2001. (+) The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. + 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, LLC. A portion of this amount represents cash collateral received from securities lending activity (Note 11). The portion that represents cash collateral is $31,629. ## All or a portion of security segregated as collateral for futures contracts and TBA. (a) All or portion of security was on loan at September 30, 2001. The aggregate cost and market value of securities on loan at September 30, 2001, is $30,326 and $30,758, respectively. (b) TBA -- Securities purchased on a forward commitment basis. SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS FUNDS Nations Intermediate Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
VALUE (000) ----------------------------------------------------------- INVESTMENT COMPANIES -- 100.1% Investment in Nations Master Investment Trust, Intermediate Bond Master Portfolio*.......................... $142,612 -------- TOTAL INVESTMENTS.............. 100.1% 142,612 -------- OTHER ASSETS AND LIABILITIES (NET)........................ (0.1)% Administration fee payable............ $ (8) Shareholder servicing and distribution fees payable........................ (24) Accrued Trustees' fees and expenses... (37) Accrued expenses and other liabilities......................... (17) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... (86) -------- NET ASSETS..................... 100.0% $142,526 ======== NET ASSETS CONSIST OF: Undistributed net investment income... $ 140 Accumulated net realized loss on investment.......................... (2,171) Net unrealized appreciation of investment.......................... 3,577 Paid-in capital....................... 140,980 -------- NET ASSETS............................ $142,526 ========
VALUE ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share (75,506,722 / 7,821,887 shares outstanding)........................ $9.65 ----- ----- INVESTOR A SHARES: Net asset value and redemption price per share (62,433,900 / 6,452,430 shares outstanding)................. $9.68 ----- ----- Maximum sales charge.................. 5.75% Maximum offering price per share...... $10.27 INVESTOR B SHARES: Net asset value and offering price per share(+) (3,454,941 / 358,498 shares outstanding)........................ $9.64 ----- ----- INVESTOR C SHARES: Net asset value and offering price per share(+) (1,130,101 / 106,221 shares outstanding)........................ $10.64 ------ ------
--------------- * The financial statements of the Intermediate Bond Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the Intermediate Bond Fund's financial statements. (+) The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ ASSET-BACKED SECURITIES -- 8.1% ASSET-BACKED -- AUTO LOANS -- 3.4% $ 2,850 ANRC Auto Owner Trust, Series 1999-A, Class A3, 6.750% 12/15/03................... $ 2,892 2,450 Capital Auto Receivables Asset Trust, Series 2000-1, Class A3, 6.960% 11/17/03................... 2,455 4,500 Capital Auto Receivables Asset Trust, Series 2000-2, Class A2, 6.510% 04/15/03##................. 4,531 8,613 Chase Manhattan Auto Owner Trust, Series 1998-A, Class A4, 5.800% 12/16/02##................. 8,707 10,125 Chase Manhattan Auto Owner Trust, Series 2000-A, Class A2, 6.300% 06/15/03##................. 10,233 2,677 CPS Auto Trust, Series 1998-4, Class A3, 5.740% 09/15/03................... 2,724 25,000 Distribution Financial Services RV Trust, Series 1999-1, Class A4, 5.840% 10/17/11................... 25,785 5,500 Ford Credit Auto Owner Trust, Series 1998-C, Class C, 6.300% 04/15/03................... 5,541 5,000 Honda Auto Receivables Owner Trust, Series 1999-1, Class A4, 5.350% 10/15/04................... 5,083 3,780 MMAC Automobile Trust, Series 2000-2, Class A2, 6.720% 07/15/03##................. 3,831 11,625 Premier Auto Trust, Series 1998-1, Class B, 5.920% 10/06/04##................. 11,883 2,432 Premier Auto Trust, Series 1998-3, Class A4, 5.960% 10/08/02................... 2,458 ---------- 86,123 ---------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 1.4% 2,000 Citibank Credit Card Master Trust I, Series 1997-2, Class B, 6.700% 02/15/04##................. 2,027 2,500 Discover Card Master Trust I, Series 2001-4, Class A, 3.578%** 10/16/06................. 2,501 2,650 Fleet Credit Card Master Trust II, Series 1999-A, Class A, 3.598%** 09/15/04................. 2,651 15,000 Metris Master Trust, Series 1997-1, Class B, 7.110% 10/20/05................... 15,942 10,000 World Financial Network Credit Card Master Trust, Series 1996-B, Class A, 6.950% 04/15/06................... 10,573 ---------- 33,694 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ ASSET-BACKED -- HOME EQUITY LOANS -- 2.1% $ 6,075 Amresco Residential Securities Mortgage Loan Trust, Series 1996-2, Class A1, 7.925% 05/25/27................... $ 6,059 3,620 Block Mortgage Finance Inc., Series 1997-2, Class A6, 2.871%** 05/25/27................. 3,619 1,960 Bombardier Capital Mortgage Securitization, Series 1998-A, Class A3, 6.230% 04/15/28................... 2,011 8,548 First Alliance Mortgage Loan Trust, Series 1994-2, Class A1, 7.625% 07/25/25................... 8,975 6,550 IMC Home Equity Loan Trust, Series 1997-5, Class A7, 6.900% 01/20/22................... 6,696 2,070 Residential Asset Securities Corporation, Series 1999-KS1, Class AI3, 6.110% 05/25/25................... 2,104 2,665 Residential Asset Securities Corporation, Series 1999-KS1, Class AI4, 6.280% 08/25/25................... 2,746 16,000 Residential Funding Mortgage Securities II, Series 2001-HS3, Class AI1, 2.880%** 08/25/12................. 16,000 2,709 Sovereign Bank Home Equity Loan Trust, Series 2000-1, Class A1, 7.260% 02/25/15##................. 2,733 ---------- 50,943 ---------- ASSET-BACKED -- OTHER -- 1.2% 448 Caterpillar Financial Asset Trust, Series 1998-A, Class A3, 5.850% 04/25/03................... 449 1,404 Chase Manhattan Marine Owner Trust, Series 1997-A, Class A5, 6.420% 10/15/09##................. 1,422 29,000 Mall of America Capital Company LLC, Series 2000-1, Class A, 3.801%** 03/12/10##............... 29,019 ---------- 30,890 ---------- TOTAL ASSET-BACKED SECURITIES (Cost $198,509)................... 201,650 ---------- CORPORATE BONDS AND NOTES -- 35.2% AIRLINES -- 0.3% 7,580 US Airways, Inc., 8.020% 02/05/19................... 7,815 ---------- AUTOMOTIVE -- 2.9% 8,000 Chrysler Financial Corporation LLC, 5.400% 01/15/02##................. 8,042 12,106 Delphi Automotive Systems Corporation, 6.125% 05/01/04................... 12,201 14,500 Ford Motor Credit Company, 3.810%** 01/22/02................. 14,498 12,425 Ford Motor Credit Company, 7.600% 08/01/05................... 13,098 2,900 General Motors Acceptance Corporation, 5.350% 12/07/01................... 2,910
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ AUTOMOTIVE -- (CONTINUED) $ 10,000 General Motors Acceptance Corporation, 5.500% 01/14/02................... $ 10,041 5,100 General Motors Acceptance Corporation, 6.150% 04/05/07................... 5,058 7,000 Toyota Motor Credit Corporation, 5.625% 11/13/03................... 7,300 ---------- 73,148 ---------- BEVERAGES -- 0.1% 3,750 Panamerican Beverages, Inc., 7.250% 07/01/09................... 3,586 ---------- BROADCASTING AND CABLE -- 1.0% 1,145 Adelphia Communications Corporation, Class A, 10.250% 06/15/11.................. 996 1,182 British Sky Broadcasting Group plc, 6.875% 02/23/09................... 1,110 6,175 Clear Channel Communications, Inc., 7.250% 09/15/03##................. 6,480 2,080 Spanish Broadcasting Systems, Inc., Class A, 9.625% 11/01/09................... 1,830 9,500 Time Warner Inc., 6.100% 12/30/01(-)................ 9,554 3,405 Time Warner Inc., 8.110% 08/15/06................... 3,809 ---------- 23,779 ---------- BUILDING MATERIALS -- 0.3% 2,150 American Standard Inc., 7.125% 02/15/03................... 2,118 1,000 American Standard Inc., 7.375% 04/15/05................... 990 1,220 Hercules Inc., 11.125% 11/15/07(-)............... 1,171 3,170 Nortek, Inc., 9.875% 06/15/11(a)................ 2,742 ---------- 7,021 ---------- CHEMICALS -- BASIC -- 0.3% 3,800 IMC Global Inc., 7.400% 11/01/02................... 3,665 2,960 Lyondell Chemical Company, 9.875% 05/01/07................... 2,679 ---------- 6,344 ---------- CHEMICALS -- SPECIALTY -- 1.1% 605 Equistar Chemicals, L.P., 9.125% 03/15/02................... 600 16,402 ISP Holdings Inc., 9.750% 02/15/02................... 16,157 1,475 ISP Holdings Inc., 9.000% 10/15/03................... 1,431 3,530 Methanex Corporation, 7.400% 08/15/02................... 3,555
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ CHEMICALS -- SPECIALTY -- (CONTINUED) $ 3,255 NL Industries, Inc., 11.750% 10/15/03.................. $ 3,206 3,059 Praxair, Inc., 6.500% 03/01/08(a)................ 3,163 ---------- 28,112 ---------- COMMERCIAL BANKING -- 1.2% 11,570 Bank One Corporation, 6.000% 08/01/08##................. 11,644 3,462 Capital One Bank, 6.500% 07/30/04................... 3,504 8,914 Capital One Bank, 8.250% 06/15/05##................. 9,332 1,210 First Union Corporation, 7.550% 08/18/05(a)................ 1,320 1,900 PNC Funding Corporation, 7.000% 09/01/04................... 2,034 1,564 U.S. Bank NA, 6.375% 08/01/11................... 1,612 ---------- 29,446 ---------- COMPUTER SERVICES -- 0.5% 1,110 Comdisco, Inc., 6.650% 11/13/01##(d)(e)........... 799 1,000 Comdisco, Inc., 6.375% 11/30/01##(d)(e)........... 720 1,291 Comdisco, Inc., 6.340% 01/11/02(d)(e)............. 923 11,440 Comdisco, Inc., 6.000% 01/30/02##(d)(e)........... 8,237 1,870 Comdisco, Inc., 7.250% 09/20/02(d)(e)............. 1,356 800 Electronic Data Systems Corporation, 6.850% 10/15/04................... 846 ---------- 12,881 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 0.9% 18,741 Compaq Computer Corporation, 7.450% 08/01/02##................. 19,198 2,670 Seagate Technology International, 12.500% 11/15/07(-)............... 2,657 ---------- 21,855 ---------- CONGLOMERATES -- 0.1% 2,535 Waste Management, Inc., 7.375% 08/01/10................... 2,683 ---------- CONSUMER CREDIT AND MORTGAGES -- 0.4% 10,683 Countrywide Home Loans, Inc., 5.250% 06/15/04##................. 10,952 ---------- CONSUMER SERVICES -- 0.1% 2,207 The Dow Chemical Company, 6.125% 02/01/11................... 2,245 ---------- DEPARTMENT AND DISCOUNT STORES -- 0.3% 1,230 Kmart Corporation, 9.375% 02/01/06................... 1,156 6,940 Wal-Mart Stores, Inc., 5.450% 08/01/06(a)................ 7,199 ---------- 8,355 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ DIVERSIFIED ELECTRONICS -- 0.9% $ 18,080 Arrow Electronics, Inc., 4.820%** 10/05/01##............... $ 18,081 3,775 DPL Inc., 6.875% 09/01/11(-)................ 3,826 ---------- 21,907 ---------- DIVERSIFIED MANUFACTURING -- 0.2% 1,320 FiberMark, Inc., 10.750% 04/15/11(-)(a)............ 1,181 3,550 The Scotts Company, Class A, 8.625% 01/15/09................... 3,479 ---------- 4,660 ---------- ELECTRIC POWER -- NON NUCLEAR -- 2.5% 4,790 AES Corporation, 8.750% 12/15/02................... 4,694 20,000 American Electric Power Company, Inc., 3.700% 11/02/01##................. 19,951 10,310 American Electric Power Company, Inc., 6.125% 05/15/06##................. 10,657 4,320 Cinergy Corporation, 6.250% 09/01/04................... 4,402 9,185 Consumers Energy Company, 4.170%** 11/15/01##............... 9,195 2,820 PSEG Energy Holdings Inc., 8.500% 06/15/11(-)................ 2,926 8,515 PSEG Power LLC, 6.875% 04/15/06(-)(a)............. 8,931 1,095 Tiverton/Rumford Power Association, 9.000% 07/15/18(-)................ 1,073 ---------- 61,829 ---------- ELECTRIC POWER -- NUCLEAR -- 0.5% 10,800 Exelon Generation Company LLC, 6.950% 06/15/11(-)................ 11,237 ---------- ELECTRICAL EQUIPMENT -- 0.1% 2,691 Flextronics International Ltd., 9.875% 07/01/10(a)................ 2,637 ---------- ENERGY -- MISCELLANEOUS -- 1.1% 12,000 Nisource Finance Corporation, 7.500% 11/15/03##................. 12,722 8,000 Progress Energy, Inc., 7.100% 03/01/11................... 8,507 6,950 SIUK plc, 6.375% 11/15/01................... 6,972 ---------- 28,201 ---------- EXPLORATION AND PRODUCTION -- 0.5% 12,400 Pure Resources, Inc., 7.125% 06/15/11(-)##.............. 12,414 ---------- FINANCE -- MISCELLANEOUS -- 4.0% 2,747 Anadarko Finance Company, 6.750% 05/01/11................... 2,809 11,270 Boeing Capital Corporation, 5.650% 05/15/06##................. 11,319 1,925 Case Credit Corporation, 6.125% 10/15/01................... 1,906 525 Case Credit Corporation, 6.150% 03/01/02................... 499
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ FINANCE -- MISCELLANEOUS -- (CONTINUED) $ 3,560 Caterpillar Finance Services Corporation, 5.950% 05/01/06................... $ 3,698 1,500 Chrysler Financial Corporation LLC, 5.690% 11/15/01................... 1,503 9,000 CIT Group, Inc., 6.500% 02/07/06##................. 9,477 8,750 DaimlerChrysler N.A. Holdings, 6.460% 12/07/01................... 8,784 6,490 ERAC USA Finance Company, 6.625% 02/15/05(-)................ 6,644 3,550 ERAC USA Finance Company, 7.350% 06/15/08(-)................ 3,629 12,000 Heller Financial, Inc., Class A, 6.000% 03/19/04................... 12,609 7,550 Household Finance Corporation, 8.000% 05/09/05................... 8,264 3,950 Household Finance Corporation, 6.500% 01/24/06(a)................ 4,131 5,250 Pemex Project Funding Master Trust, 9.125% 10/13/10(-)................ 5,329 2,000 Progress Capital Holdings, 5.780% 02/08/02................... 2,021 7,050 Prudential Funding LLC, 6.600% 05/15/08(-)................ 7,280 12,000 Transamerica Finance Corporation, 2.820%** 03/26/02................. 12,014 ---------- 101,916 ---------- FOOD AND DRUG STORES -- 0.4% 1,900 Fred Meyer, Inc., 7.375% 03/01/05................... 2,025 5,360 Fred Meyer, Inc., 7.450% 03/01/08................... 5,672 1,030 Marsh Supermarkets, Inc., 8.875% 08/01/07................... 1,009 ---------- 8,706 ---------- FOOD PRODUCTS -- 1.3% 3,925 ConAgra Foods, Inc., 6.750% 09/15/11................... 4,046 3,620 Fleming Companies, Inc., 10.500% 12/01/04(a)............... 3,584 7,115 Kellogg Company, 6.000% 04/01/06................... 7,381 806 Pilgrim's Pride Corporation, Class B, 9.625% 09/15/11................... 810 6,904 Sara Lee Corporation, 6.250% 09/15/11(a)................ 7,064 5,860 Tyson Foods, Inc., 7.250% 10/01/06(-)................ 5,914 3,340 Unilever Capital Corporation, 6.750% 11/01/03................... 3,540 ---------- 32,339 ---------- HEALTH SERVICES -- 1.4% 4,800 American Home Products Corporation, 6.250% 03/15/06................... 5,007 2,085 Beckman Coulter, Inc., 7.450% 03/04/08................... 2,193
SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ HEALTH SERVICES -- (CONTINUED) $ 2,235 Cardinal Health, Inc., 6.750% 02/15/11................... $ 2,356 680 Dynacare Inc., Class B, 10.750% 01/15/06.................. 683 3,945 HCA Inc., 8.750% 09/01/10................... 4,246 10,615 HEALTHSOUTH Corporation, Sr. Notes, 6.875% 06/15/05................... 10,510 3,765 Magellan Health Services, Inc., 9.000% 02/15/08................... 3,501 790 Select Medical Corporation, 9.500% 06/15/09(a)................ 743 5,289 Wellpoint Health Networks Inc., 6.375% 06/15/06................... 5,441 ---------- 34,680 ---------- HOUSING AND FURNISHING -- 0.3% 1,037 D.R. Horton, Inc., 8.000% 02/01/09................... 933 2,775 Hanson Overseas B.V., 6.750% 09/15/05................... 2,918 540 Sealy Mattress Company, (0.000)% due 12/15/07 10.875% beginning 12/15/02(a)..... 432 1,559 Standard Pacific Corporation, 8.500% 04/01/09................... 1,458 1,620 The Ryland Group, Inc., 8.000% 08/15/06................... 1,555 ---------- 7,296 ---------- INSURANCE -- 0.1% 2,695 Conseco, Inc., 8.500% 10/15/02................... 2,399 ---------- INVESTMENT SERVICES -- 2.7% 5,976 Bear Stearns Companies, Inc., 7.800% 08/15/07##................. 6,545 7,165 Credit Suisse First Boston USA, 5.875% 08/01/06................... 7,375 7,814 FleetBoston Financial Corporation, 7.250% 09/15/05................... 8,469 12,400 Lehman Brothers Holdings Inc., 7.750% 01/15/05................... 13,287 9,850 Merrill Lynch & Company, Inc., 6.000% 02/17/09................... 9,872 4,300 Morgan Stanely Dean Witter & Company, 6.750% 04/15/11................... 4,429 13,525 Potomac Capital Investment Corporation, 7.550% 11/19/01(-)##.............. 13,607 2,120 Washington Mutual Finance Corporation, 8.250% 06/15/05................... 2,359 ---------- 65,943 ---------- METALS AND MINING -- 0.2% 4,000 Alcoa Inc., 7.375% 08/01/10................... 4,393 1,665 United States Steel LLC, 10.750% 08/01/08(-)............... 1,515 ---------- 5,908 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ NATURAL GAS PIPELINES -- 1.2% $ 12,700 KN Energy, Inc., 6.650% 03/01/05................... $ 13,211 15,020 Williams Companies, Inc., 6.500% 08/01/06................... 15,434 ---------- 28,645 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.1% 2,650 SBA Communications Corporation, 10.250% 02/01/09(-)(a)............ 2,120 ---------- OIL REFINING AND MARKETING -- 0.9% 1,580 Ocean Energy, Inc., 8.375% 07/01/08................... 1,652 11,965 PDV America Inc., Gtd. Sr. Notes, 7.875% 08/01/03................... 12,310 8,117 USX Corporation, 6.650% 02/01/06................... 8,495 ---------- 22,457 ---------- PACKAGING AND CONTAINERS -- 0.2% 645 Container Corporation of America, 10.750% 05/01/02.................. 655 1,280 Container Corporation of America, 9.750% 04/01/03................... 1,299 2,280 Crown Cork & Seal Company, Inc., 7.125% 09/01/02(a)................ 1,573 2,640 Riverwood International Corporation, 10.625% 08/01/07(-)(a)............ 2,666 ---------- 6,193 ---------- PAPER AND FOREST PRODUCTS -- 0.4% 1,422 Abitibi-Consolidated Inc., 8.550% 08/01/10................... 1,505 3,000 International Paper Company, 8.000% 07/08/03................... 3,190 2,705 Potlatch Corporation, 10.000% 07/15/11(-)(a)............ 2,732 2,766 Tembec Industries Inc., 8.500% 02/01/11(-)................ 2,766 ---------- 10,193 ---------- PUBLISHING AND ADVERTISING -- 0.6% 1,050 Advanstar Communications Inc., 12.000% 02/15/11.................. 651 1,053 PRIMEDIA Inc., 8.875% 05/15/11(-)................ 790 12,305 Viacom Inc., 6.625% 05/15/11(-)................ 12,699 ---------- 14,140 ---------- RAILROADS, TRUCKING AND SHIPPING -- 0.8% 9,975 FedEx Corporation, 6.625% 02/12/04................... 10,373 2,065 Teekay Shipping Corporation, 8.875% 07/15/11(-)................ 2,044 1,650 Union Pacific Corporation, 5.780% 10/15/01................... 1,651 5,000 Union Tank Car Company, 6.680% 01/15/08................... 5,268 ---------- 19,336 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ REAL ESTATE -- 0.1% $ 1,555 Beazer Homes USA, Inc., 8.625% 05/15/11(a)................ $ 1,477 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.8% 2,330 Archstone Communities Trust, 6.320% 10/01/01##................. 2,330 6,270 Archstone Communities Trust, 6.370% 10/15/01................... 6,278 8,290 EOP Operating LP, 6.376% 02/15/02................... 8,371 4,000 Spieker Properties, Inc., 7.580% 12/17/01................... 4,023 ---------- 21,002 ---------- SPECIALTY STORES -- 0.1% 2,695 The Pantry, Inc., 10.250% 10/15/07.................. 2,587 ---------- TELECOMMUNICATIONS SERVICES -- 3.8% 2,830 American Cellular Corporation, 9.500% 10/15/09................... 2,632 12,452 AT&T Wireless Group, 7.350% 03/01/06(-)(a)............. 13,225 8,095 Cox Communications, Inc., Class A, 7.750% 11/01/10(a)................ 8,737 11,324 France Telecom, 7.200% 03/01/06(-)................ 11,985 5,175 MCI Communications Corporation, 6.125% 04/15/02................... 5,232 1,615 Nextel Communications, Inc., Class A, 9.375% 11/15/09(a)................ 985 12,503 Qwest Capital Funding Inc., 7.000% 08/03/09(-)##.............. 12,409 2,845 Sprint Capital Corporation, 7.125% 01/30/06(a)................ 2,988 6,657 TELUS Corporation, 7.500% 06/01/07................... 6,980 3,125 TELUS Corporation, 8.000% 06/01/11................... 3,323 5,836 Verizon Communications Inc., 6.500% 09/15/11................... 6,030 10,500 WorldCom, Inc. - WorldCom Group, 3.743%** 11/26/01................. 10,511 9,680 WorldCom, Inc. - WorldCom Group, 7.500% 05/15/11................... 9,758 400 WorldCom, Inc. - WorldCom Group, 8.250% 05/15/31................... 393 ---------- 95,188 ---------- TOBACCO -- 0.5% 10,923 R.J. Reynolds Tobacco Holdings, Inc., 7.375% 05/15/03................... 11,223 ---------- TOTAL CORPORATE BONDS AND NOTES (Cost $858,582)................... 874,855 ---------- FOREIGN BONDS AND NOTES -- 2.1% 20,425 AT&T Canada Inc., (0.000)% due 06/15/08 9.950% beginning 06/15/03......... 9,191
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ FOREIGN BONDS AND NOTES -- (CONTINUED) $ 20,000 Banco Latinoamericano de Exportaciones, SA, Class E, 7.200% 05/28/02(-)##.............. $ 20,102 1,855 Compagnie Genera De Geophysique SA, 10.625% 11/15/07.................. 1,836 12,210 Corp Andina de Fomento, 8.875% 06/01/05##................. 13,605 4,011 Hanson Overseas B.V., 7.375% 01/15/03................... 4,169 3,322 Kimberly-Clark de Mexico, SA de CV, Class A, 8.875% 08/01/09(-)................ 3,471 ---------- TOTAL FOREIGN BONDS AND NOTES (Cost $59,732).................... 52,374 ---------- MORTGAGE-BACKED SECURITIES -- 34.4% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 7.9% 4,750 CMC Securities Corporation, Series 1997-2, Class IA14, 6.600% 11/25/27................... 4,766 9 Criimi Mae CMBS Corporation, Series 1998-1, Class A1, 5.697% 10/20/01(-)................ 9 29,995 DLJ Commercial Mortgage Corporation, Series 1999-CG2, Class A1B, 7.300% 06/10/09................... 32,898 13,700 Fannie Mae Whole Loan, Series 2001-W1, Class AF3, 5.690% 06/25/29................... 14,025 18,585 GE Capital Commercial Mortgage Corporation, Series 2000-1, Class A2, 6.496% 12/15/10................... 19,553 75,074 GMAC Commercial Mortgage Securities Inc., Series 1997-C1, Class X, 1.632%** 07/15/27................. 5,091 13,850 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2001-CIBC, Class A3, 6.260% 03/15/33................... 14,278 94,970 JP Morgan Commercial Mortgage Finance Corporation, Series 1997-C4, Class X, Interest only, 6.377%** 12/26/28................. 4,627 23,000 Nomura Asset Securities Corporation, Series 1998-D6, Class A1C, 6.690% 03/17/28##................. 24,411 12,060 PNC Mortgage Acceptance Corporation, Series 1999-CM1, Class A1B, 7.330% 10/10/09##................. 13,275 35,175 PNC Mortgage Acceptance Corporation, Series 2000-C2, Class A2, 7.300% 10/12/33##................. 38,563 10,492 Salomon Brothers Mortgage Securities VII, Series 2000-C1, Class A2, 7.520% 12/18/09................... 11,618
SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ MORTGAGE-BACKED SECURITIES -- (CONTINUED) x$ 4,707 Salomon Brothers Mortgage Securities, Series 2000-NL1, Class A1, 6.601% 04/15/08(-)................ $ 4,962 8,704 Washington Mutual, Series 2000-1, Class A1, 2.951%** 06/25/24##............... 8,695 ---------- 196,771 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 0.1% 21 9.000% 01/01/05..................... 22 300 8.000% 11/01/09 - 04/01/10.......... 315 1,417 8.500% 11/01/26..................... 1,515 ---------- 1,852 ---------- FEDERAL HOUSING AUTHORITY (FHA) CERTIFICATES -- 1.2% 9,041 6.750% 01/01/40(c).................. 9,148 6,369 7.000% 01/01/40(c).................. 6,543 4,486 6.850% 02/01/40(c).................. 4,521 9,749 6.530% 10/01/40..................... 9,605 ---------- 29,817 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 21.4% 1,447 7.000% 12/01/02 - 07/01/03.......... 1,470 450 8.250% 03/25/06..................... 473 93,133 6.000% 07/01/16##................... 94,675 3,204 7.500% 06/15/22..................... 3,430 75,000 6.500% 02/01/31(b).................. 76,265 289,900 6.500% 07/01/31(b).................. 294,792 60,300 6.000% 08/01/31(b).................. 60,074 ---------- 531,179 ---------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 3.8% 1,995 7.000% 07/20/02 - 10/01/11.......... 2,086 31 8.500% 12/15/05 - 04/15/06.......... 33 4,585 8.000% 11/15/07 - 05/15/17.......... 4,776 46 9.500% 06/15/09 - 09/15/09.......... 50 26 13.000% 01/15/11 - 02/15/11......... 31 94 9.000% 07/15/17..................... 102 14,348 7.500% 12/15/23##................... 15,104 1,134 8.500% 02/15/25##................... 1,218 11,308 7.500% 07/20/28##................... 11,787
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- (CONTINUED) $ 12,891 6.500% 01/15/31##................... $ 13,210 21,200 7.000% 07/01/31(b).................. 22,015 4,532 6.550% 03/15/40##(c)................ 4,635 12,119 6.750% 10/15/40(c).................. 12,297 6,392 6.600% 01/15/41##(c)................ 6,538 ---------- 93,892 ---------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $830,461)................... 853,511 ---------- U.S. TREASURY OBLIGATIONS -- 10.6% U.S. TREASURY NOTES -- 3.2% 35,000 5.875% 09/30/02..................... 36,154 41,000 5.750% 08/15/03(a).................. 43,172 ---------- 79,326 ---------- U.S. TREASURY STRIPS -- 7.4% 12,000 Interest only, 3.958%*** 05/15/06... 10,008 55,000 Interest only, 5.001%*** 05/15/11... 34,181 96,000 Principal only, 3.566%*** 11/15/04(a)....................... 85,945 55,600 Principal only, 5.823%*** 11/15/21.......................... 17,511 163,900 Principal only, 5.763%*** 11/15/27(a)....................... 37,136 ---------- 184,781 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $259,564)................... 264,107 ---------- SHORT TERM INVESTMENTS -- 2.0% COMMERCIAL PAPER -- 2.0% 15,000 Carolina Power & Light, Discount note 01/22/02##.......... 14,882 12,000 Nisource Finance Corporation, 3.700%** 10/11/01................. 11,988 1,625 Qwest Corporation, Discount note 10/01/01............ 1,625 20,000 Tennessee Gas Pipeline Company, Discount note 10/01/01............ 19,999 ---------- TOTAL SHORT TERM INVESTMENTS (Cost $48,436).................... 48,494 ==========
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
SHARES VALUE (000) (000) ------------------------------------------------------------ INVESTMENT COMPANIES -- 30.4% 11,809 International Bond Portfolio......... $ 120,688 634,482 Nations Cash Reserves#............... 634,482 ---------- TOTAL INVESTMENT COMPANIES (Cost $752,705)............. 755,170 ---------- TOTAL INVESTMENTS (Cost $3,007,990*).......... 122.8% 3,050,161 ---------- OTHER ASSETS AND LIABILITIES (NET)....................... (22.8)% Cash................................. $ 1,859 Unrealized appreciation on forward foreign exchange contracts......... 553 Unrealized appreciation on swap contracts.......................... 2,469 Receivable for investment securities sold............................... 443,967 Receivable for Fund shares sold...... 4,333 Dividends receivable................. 486 Interest receivable.................. 26,310 Variation margin/due to broker....... (149) Collateral on securities loaned...... (160,246) Payable for Fund shares redeemed..... (5,475) Investment advisory fee payable...... (812) Administration fee payable........... (447) Shareholder servicing and distribution fees payable.......... (32) Distributions payable................ (10,967) Payable for investment securities purchased.......................... (864,671) Accrued Trustees' fees and expenses........................... (84) Accrued expenses and other liabilities........................ (3,430) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET).............................. (566,336) ---------- NET ASSETS.................... 100.0% $2,483,825 ========== NET ASSETS CONSIST OF: Accumulated net realized loss on investments sold, futures contracts, foreign currencies and net other assets................... $ (25,573) Net unrealized appreciation of investments, futures contracts, foreign currencies and net other assets............................. 46,429 Paid-in capital...................... 2,462,969 ---------- NET ASSETS........................... $2,483,825 ==========
VALUE ------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($2,406,640,059 / 243,577,629 shares outstanding)................ $9.88 ----- ----- INVESTOR A SHARES: Net asset value and redemption price per share ($62,283,057 / 6,304,983 shares outstanding)................ $9.88 ----- ----- Maximum sales charge................. 3.25% Maximum offering price per share..... $10.21 INVESTOR B SHARES: Net asset value and offering price per share+($13,227,366 / 1,338,662 shares outstanding)................ $9.88 ----- ----- INVESTOR C SHARES: Net asset value and offering price per share+($1,674,607 / 169,503 shares outstanding)................ $9.88 ----- -----
--------------- * Federal Income Tax Information: Net unrealized appreciation of $42,171 on investment securities was comprised of gross appreciation of $58,588 and gross depreciation of $16,417 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $3,007,990. ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2001. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2001. (-) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. + The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (Note 11). The portion that represents cash collateral is $160,246. ## All or a portion of security segregated as collateral for futures contracts and TBA. (a) All or portion of security was on loan at September 30, 2001. The aggregate cost and market value of securities on loan at September 30, 2001, is $153,172 and $154,721, respectively. (b) TBA - Securities purchased on a forward commitment basis. (c) Construction loan security. Security was issued on a when-issued basis. (d) Issue in default. (e) Issuer in bankruptcy.
SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ ASSET-BACKED SECURITIES -- 25.4% ASSET-BACKED -- AUTO LOANS -- 11.4% $ 9 Americredit Automobile Receivables Trust, Series 1999-A, Class A3, 5.740% 02/12/03..................... $ 9 1,251 Americredit Automobile Receivables Trust, Series 1999-D, Class A2, 6.790% 01/12/03..................... 1,272 975 Americredit Automobile Receivables Trust, Series 2000-C, Class A2, 6.970% 01/12/04##................... 988 750 Americredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08..................... 779 2,040 ANRC Auto Owner Trust, Series 1999-A, Class A3, 6.750% 12/15/03..................... 2,071 1,130 Arcadia Automobile Receivables Trust, Series 1997-B, Class A5, 6.700% 02/15/05..................... 1,136 262 Associates Automobile Receivables Trust, Series 2000-1, Class A2, 7.150% 03/15/03##................... 263 2,000 Capital Auto Receivables Asset Trust, Series 2000-1, Class A3, 6.960% 11/17/03..................... 2,004 1,494 Chase Manhattan Auto Owner Trust, Series 1998-A, Class A4, 5.800% 12/16/02##................... 1,511 1,228 Chase Manhattan Auto Owner Trust, Series 1998-B, Class A4, 5.800% 02/17/03##................... 1,242 1,248 Chevy Chase Auto Receivables Trust, Series 1997-4, Class A, 6.250% 06/15/04..................... 1,259 523 Compass Auto Receivables Trust, Series 1998-A, Class A3, 5.900% 05/15/04##................... 526 1,785 CPS Auto Trust, Series 1998-4, Class A3, 5.740% 09/15/03..................... 1,816 72 Daimler-Benz Vehicle Trust, Series 1998-A, Class A3, 5.160% 01/20/03..................... 72 1,037 Ford Credit Auto Owner Trust, Series 1998-C, Class A5, 5.860% 10/15/02..................... 1,042 267 Franklin Auto Trust, Series 2000-1, Class A1, 7.020% 08/15/03##................... 271 1,128 Honda Auto Lease Trust, Series 1999-A, Class A4, 6.450% 09/16/02##................... 1,135 1,000 Honda Auto Receivables Owner Trust, Series 1999-1, Class A4, 5.350% 10/15/04..................... 1,017 817 Honda Auto Receivables Owner Trust, Series 2001-1, Class A1, 5.270% 03/18/02..................... 818 1,076 Household Automotive Trust, Series 2000-2, Class A2, 7.210% 07/17/03..................... 1,087
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ ASSET-BACKED -- AUTO LOANS -- (CONTINUED) $ 476 Key Auto Finance Trust, Series 1997-2, Class A5, 6.250% 10/15/03..................... $ 476 1,913 MMCA Automobile Trust, Series 1999-1, Class A4, 5.630% 07/15/05..................... 1,942 296 MMCA Automobile Trust, Series 2000-1, Class A2, 6.950% 02/15/03..................... 298 400 MMCA Automobile Trust, Series 2001-1, Class A4, 5.340% 12/15/05..................... 413 68 Onyx Acceptance Auto Trust, Series 2000-B, Class A2, 7.020% 04/15/03..................... 68 1,465 Premier Auto Trust, Series 1998-3, Class A4, 5.960% 10/08/02..................... 1,481 430 Toyota Auto Receivables Owner Trust, Series 2000-A, Class A2, 7.120% 12/15/02##................... 431 481 USAA Auto Owner Trust, Series 2000-1, Class A2, 6.900% 04/15/03..................... 485 -------- 25,912 -------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 1.8% 1,000 Discover Card Master Trust I, Series 1999-1, Class A, 5.300% 08/15/04..................... 1,009 1,350 Discover Card Master Trust I, Series 2001-4, Class A, 3.578%** 10/16/06................... 1,351 875 Sears Credit Account Master Trust, Series 1996-1, Class A, 6.200% 02/16/06##................... 883 750 Sears Credit Account Master Trust, Series 1998-1, Class B, 6.000% 08/15/05..................... 751 -------- 3,994 -------- ASSET-BACKED -- HOME EQUITY LOANS -- 4.4% 1,939 Block Mortgage Finance Inc., Series 1997-2, Class A6, 2.871%** 05/25/27................... 1,939 581 Conseco Finance Home Loan Trust, Series 2000-E, Class A1, 6.980% 06/15/11##................... 585 1,899 Residential Funding Mortgage Securities II, Inc., Series 1999-HI4, Class A3, 6.960% 08/25/12..................... 1,930 2,000 Residential Funding Mortgage Securities II, Series 2001-HS3, Class AI1, 2.880%** 08/25/12................... 2,000 34 Southern Pacific Secured Assets Corporation, Series 1998-1, Class A2, 6.270% 02/25/18..................... 34
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ ASSET-BACKED -- HOME EQUITY LOANS -- (CONTINUED) $ 1,434 Sovereign Bank Home Equity Loan Trust, Series 2000-1, Class A1, 7.260% 02/25/15##................... $ 1,447 2,027 UCFC Home Equity Loan, Series 1996-D2, Class A8, 3.908%** 12/15/26................... 2,020 -------- 9,955 -------- ASSET-BACKED -- OTHER -- 7.8% 44 Advanta Equipment Receivables, Series 2000-1, Class A1, 6.840% 07/15/02..................... 44 3,000 ARG Funding Corporation, Series 1999-1A, Class A1, 3.318%** 05/20/03................... 3,002 346 Caterpillar Financial Asset Trust, Series 1998-A, Class A3, 5.850% 04/25/03..................... 347 1,943 Chase Manhattan Marine Owner Trust, Series 1997-A, Class A5, 6.420% 10/15/09##................... 1,968 1,086 CIT Equipment Collateral, Series 2000-2, Class A2, 6.810% 12/20/02##................... 1,097 1,500 Comed Transitional Funding Trust, Series 1998-1, Class A3, 5.340% 03/25/04##................... 1,513 1,500 First Bank Corporate Card Master Trust, Series 1997-1, Class A, 6.400% 02/15/03..................... 1,517 425 John Deere Owner Trust, Series 1999-A, Class A3, 5.940% 10/15/02##................... 427 1,500 Mall of America Capital Company LLC, Series 2000-1, Class A, 3.801%** 03/12/10##................. 1,501 2,000 Newcourt Equipment Trust Securities, Series 1998-1, Class A4, 5.393% 05/20/04##................... 2,017 725 PP&L Transition Bond Company, Series 1999-1, Class A2, 6.410% 12/26/03##................... 731 523 Union Acceptance Corporation, Series 2000-B, Class A2, 7.170% 06/09/03..................... 525 1,320 WFS Financial Owner Trust, Series 1998-C, Class A4, 5.750% 08/20/03..................... 1,335 1,454 World Omni Auto Receivables Trust, Series 2001-A, Class A2, 5.130% 11/20/03##................... 1,470 -------- 17,494 -------- TOTAL ASSET-BACKED SECURITIES (Cost $57,160)...................... 57,355 --------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ CORPORATE BONDS AND NOTES -- 15.2% AIRLINES -- 0.2% $ 400 US Airways, Inc., 8.020% 02/05/19..................... $ 412 -------- AUTOMOTIVE -- 1.0% 400 Delphi Automotive Systems Corporation, 6.125% 05/01/04..................... 403 500 Ford Motor Credit Company, 3.810%** 01/22/02................... 500 425 Ford Motor Credit Company, 7.600% 08/01/05..................... 448 420 General Motors Acceptance Corporation, 6.150% 04/05/07..................... 417 400 Toyota Motor Credit Corporation, 5.625% 11/13/03..................... 417 -------- 2,185 -------- BROADCASTING AND CABLE -- 0.5% 205 Clear Channel Communications, Inc., 7.250% 09/15/03..................... 215 205 Clear Channel Communications, Inc., 7.875% 06/15/05..................... 219 270 Comcast Cable Communications, 6.750% 01/30/11..................... 273 370 Time Warner Inc., 8.110% 08/15/06..................... 414 -------- 1,121 -------- CHEMICALS -- SPECIALTY -- 0.0% 82 Praxair, Inc., 6.500% 03/01/08..................... 85 -------- COMMERCIAL BANKING -- 1.0% 300 Abbey National plc, 6.690% 10/17/05..................... 317 400 Bank One Corporation, 6.000% 08/01/08..................... 403 115 Capital One Bank, 6.500% 07/30/04..................... 116 295 Capital One Bank, 8.250% 06/15/05..................... 309 400 Citigroup Inc., 6.750% 12/01/05..................... 429 400 First Union Corporation, 7.550% 08/18/05..................... 436 200 U.S. Bank NA, 6.375% 08/01/11..................... 206 -------- 2,216 -------- COMPUTER SERVICES -- 0.2% 578 Comdisco, Inc., 6.000% 01/30/02(d)(e)............... 416 90 Electronic Data Systems Corporation, 6.850% 10/15/04..................... 95 -------- 511 -------- COMPUTERS AND OFFICE EQUIPMENT -- 0.2% 400 Compaq Computer Corporation, 7.450% 08/01/02..................... 410 -------- CONGLOMERATES -- 0.1% 200 Waste Management, Inc., 7.375% 08/01/10..................... 212 --------
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ CONSUMER CREDIT AND MORTGAGES -- 0.2% $ 400 Countrywide Home Loans, Inc., 5.250% 06/15/04..................... $ 410 -------- CONSUMER SERVICES -- 0.1% 139 The Dow Chemical Company, 6.125% 02/01/11..................... 141 -------- DEPARTMENT AND DISCOUNT STORES -- 0.2% 120 Sears Roebuck Acceptance Corporation, 6.750% 08/15/11..................... 116 235 Wal-Mart Stores, Inc., 5.450% 08/01/06..................... 244 -------- 360 -------- DIVERSIFIED ELECTRONICS -- 0.6% 1,250 Arrow Electronics, Inc., 4.820%** 10/05/01................... 1,250 127 DPL Inc., 6.875% 09/01/11(+).................. 129 -------- 1,379 -------- ELECTRIC POWER -- NON NUCLEAR -- 1.1% 1,000 American Electric Power Company, Inc., 3.700% 11/02/01..................... 998 400 American Electric Power Company, Inc., 6.125% 05/15/06..................... 413 144 Cinergy Corporation, 6.250% 09/01/04..................... 147 500 Consumers Energy Company, 6.200% 05/01/03..................... 507 400 PSEG Power LLC, 6.875% 04/15/06(+).................. 420 -------- 2,485 -------- ELECTRIC POWER -- NUCLEAR -- 0.2% 400 Exelon Generation Company LLC, 6.950% 06/15/11(+).................. 416 -------- ENERGY -- MISCELLANEOUS -- 0.8% 400 Nisource Finance Corporation, 7.500% 11/15/03..................... 424 200 Progress Energy, Inc., 7.100% 03/01/11..................... 213 1,200 SIUK plc, 6.375% 11/15/01..................... 1,203 -------- 1,840 -------- EXPLORATION AND PRODUCTION -- 0.2% 400 Pure Resources, Inc., 7.125% 06/15/11(+).................. 400 -------- FINANCE -- MISCELLANEOUS -- 1.9% 90 Anadarko Finance Company, 6.750% 05/01/11..................... 92 400 Boeing Capital Corporation, 5.650% 05/15/06..................... 402 200 CIT Group, Inc., 6.500% 02/07/06..................... 211 213 ERAC USA Finance Company, 6.625% 02/15/05(+).................. 218 120 ERAC USA Finance Company, 7.350% 06/15/08(+).................. 123 600 General Electric Capital Corporation, 6.800% 11/01/05..................... 649 400 Heller Financial, Inc., Class A, 6.000% 03/19/04..................... 420
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ FINANCE -- MISCELLANEOUS -- (CONTINUED) $ 460 Household Finance Corporation, 8.000% 05/09/05..................... $ 503 420 Kern River Funding Corporation, 6.676% 07/31/16(+).................. 440 400 Monumental Global Funding II, 6.050% 01/19/06(+).................. 415 200 Pemex Project Funding Master Trust, 9.125% 10/13/10(+).................. 203 400 Prudential Funding LLC, 6.600% 05/15/08(+).................. 413 400 Washington Mutual, Inc., 7.500% 08/15/06..................... 441 -------- 4,530 -------- FOOD AND DRUG STORES -- 0.1% 190 Fred Meyer, Inc., 7.375% 03/01/05..................... 203 -------- FOOD PRODUCTS -- 0.4% 130 ConAgra Foods, Inc., 6.750% 09/15/11..................... 134 200 Kellogg Company, 6.000% 04/01/06..................... 207 228 Sara Lee Corporation, 6.250% 09/15/11(a).................. 233 200 Tyson Foods, Inc., 7.250% 10/01/06(+).................. 202 110 Unilever Capital Corporation, 6.750% 11/01/03..................... 117 -------- 893 -------- HEALTH SERVICES -- 0.2% 200 American Home Products Corporation, 6.250% 03/15/06..................... 209 180 Wellpoint Health Networks Inc., 6.375% 06/15/06..................... 185 -------- 394 -------- HEAVY MACHINERY -- 0.2% 400 Caterpillar Inc., 7.300% 05/01/31..................... 420 -------- HOUSING AND FURNISHING -- 0.0% 95 Hanson Overseas B.V., 6.750% 09/15/05..................... 100 -------- INSURANCE -- 0.3% 600 American International Group, Inc., 5.850% 08/01/08(+).................. 606 -------- INVESTMENT SERVICES -- 0.9% 255 Credit Suisse First Boston USA, 5.875% 08/01/06..................... 262 400 FleetBoston Financial Corporation, 7.250% 09/15/05..................... 434 400 Lehman Brothers Holdings Inc., 7.750% 01/15/05..................... 429 500 MCN Investment Corporation, 6.890% 01/16/02..................... 504 325 Merrill Lynch & Company, Inc., 6.000% 02/17/09..................... 326 -------- 1,955 -------- LODGING AND RECREATION -- 0.1% 200 Harrah's Operating Company Inc., 7.125% 06/01/07(+).................. 193 --------
SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ MEDICAL DEVICES AND SUPPLIES -- 0.2% $ 400 Abbott Laboratories, 5.125% 07/01/04##................... $ 414 -------- METALS AND MINING -- 0.1% 131 Alcoa Inc., 7.375% 08/01/10..................... 144 -------- NATURAL GAS PIPELINES -- 0.3% 300 KN Energy, Inc., 6.650% 03/01/05..................... 312 400 Williams Companies, Inc., 6.500% 08/01/06..................... 411 -------- 723 -------- OIL REFINING AND MARKETING -- 0.3% 405 PDV America Inc., Gtd. Sr. Notes, 7.875% 08/01/03..................... 417 310 USX Corporation, 6.650% 02/01/06..................... 324 -------- 741 -------- PAPER AND FOREST PRODUCTS -- 0.1% 200 Abitibi-Consolidated Inc., 8.550% 08/01/10..................... 212 98 International Paper Company, 8.000% 07/08/03..................... 104 -------- 316 -------- PUBLISHING AND ADVERTISING -- 0.2% 410 Viacom Inc., 6.625% 05/15/11(+).................. 423 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.2% 400 FedEx Corporation, 6.625% 02/12/04..................... 416 2,100 Union Tank Car Company, 6.680% 01/15/08..................... 2,212 -------- 2,628 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.4% 400 Archstone Communities Trust, 6.320% 10/01/01##................... 400 500 EOP Operating LP, 6.376% 02/15/02..................... 505 -------- 905 -------- TELECOMMUNICATIONS SERVICES -- 1.5% 409 AT&T Wireless Group, 7.350% 03/01/06(+).................. 434 265 Cox Communications, Inc., Class A, 7.750% 11/01/10(a).................. 286 400 France Telecom, 7.200% 03/01/06(+).................. 423 410 Qwest Capital Funding Inc., 7.000% 08/03/09(+).................. 407 220 TELUS Corporation, 7.500% 06/01/07..................... 231 180 TELUS Corporation, 8.000% 06/01/11..................... 191 194 Verizon Communications Inc., 6.500% 09/15/11..................... 200 400 Vodafone Group plc, 7.750% 02/15/10..................... 434
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 500 WorldCom, Inc. -- WorldCom Group, 3.743%** 11/26/01................... $ 502 183 WorldCom, Inc. -- WorldCom Group, 6.500% 05/15/04..................... 188 400 WorldCom, Inc. -- WorldCom Group, 7.500% 05/15/11..................... 403 -------- 3,699 -------- TOBACCO -- 0.2% 40 Philip Morris Companies, Inc., 7.750% 01/15/27..................... 41 400 R.J. Reynolds Tobacco Holdings, Inc., 7.375% 05/15/03..................... 411 -------- 452 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $33,100)...................... 34,322 -------- FOREIGN BONDS AND NOTES -- 0.6% 500 AT&T Canada Inc., (0.000%) due 06/15/08 9.950% beginning 06/01/03........... 225 375 Banco Latinoamericano de Exportaciones, SA, Class E, 7.200% 05/28/02(+).................. 377 405 Corp Andina de Fomento, 8.875% 06/01/05..................... 452 139 Hanson Overseas B.V., 7.375% 01/15/03..................... 144 110 Kimberly-Clark de Mexico, SA de CV, Class A, 8.875% 08/01/09(+).................. 115 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $1,480)....................... 1,313 -------- MORTGAGE-BACKED SECURITIES -- 15.2% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 4.5% 104 Bombardier Capital Mortgage Securitization, Series 1999-A, Class A1, 5.825% 02/15/10..................... 104 1,680 DLJ Commercial Mortgage Corporation, Series 1999-CG2, Class A1B, 7.300% 06/10/09..................... 1,843 800 Fannie Mae Whole Loan, Series 2001-W1, Class AF3, 5.690% 06/25/29..................... 819 850 First Union National Bank Commercial Mortgage, Series 1999-C4, Class A2, 7.390% 11/15/09..................... 941 470 PNC Mortgage Acceptance Corporation, Series 2000-C1, Class A2, 7.610% 02/15/10..................... 523 3,340 Salomon Brothers Mortgage Securities VII, Series 2000-C1, Class A2, 7.520% 12/18/09..................... 3,698 2,146 Washington Mutual, Series 2000-1, Class A1, 2.951%** 06/25/24##................. 2,144 -------- 10,072 --------
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 10.3% $ 3,235 6.000% 07/01/16..................... $ 3,289 2,950 6.500% 02/01/31(c).................... 3,000 3,300 6.500% 07/01/31(c).................... 3,356 11,500 6.500% 07/01/31(c).................... 11,693 2,000 6.000% 08/01/31(c).................... 1,993 -------- 23,331 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 0.4% 879 6.500% 01/15/31....................... 901 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $33,151)...................... 34,304 -------- U.S. TREASURY OBLIGATIONS -- 7.6% U.S. TREASURY BILLS -- 0.0% 75 Discount note 10/11/01................ 75 15 Discount note 10/25/01................ 15 -------- 90 -------- U.S. TREASURY NOTES -- 4.5% 5,400 5.875% 09/30/02....................... 5,578 4,200 5.750% 08/15/03(a).................... 4,422 40 5.000% 02/15/11....................... 41 -------- 10,041 -------- U.S. TREASURY STRIPS -- 3.1% 2,685 Interest only, 5.001%*** 05/15/11(a)............... 1,669 2,500 Principal only, 3.566%*** 11/15/04.................. 2,238 5,920 Principal only, 5.823%*** 11/15/21.................. 1,864 5,255 Principal only, 5.763%*** 11/15/27(a)............... 1,191 -------- 6,962 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $16,870)...................... 17,093 -------- SHORT TERM INVESTMENTS -- 2.1% COMMERCIAL PAPER -- 2.1% 1,000 Carolina Power & Light, Discount note 01/22/02.............. 992 2,310 National Co-Operative Bank, Discount note 11/20/01.............. 2,302 500 Nisource Finance Corporation, Discount note 10/11/01.............. 499 1,000 Tennessee Gas Pipeline Company, Discount note 10/01/01.............. 1,000 -------- TOTAL SHORT TERM INVESTMENTS (Cost $4,786)....................... 4,793 --------
SHARES --------- PURCHASED OPTIONS -- 0.1% (Cost $192) 1(b) Call option United Kingdom Treasury Bond Strike price 98.63 Expire 12/31/01............. 238 --------
SHARES VALUE (000) (000) ------------------------------------------------------------ INVESTMENT COMPANIES -- 43.9% 7,125 High Yield Portfolio(++)...... $ 67,759 31,302 Nations Cash Reserves#........ 31,302 -------- TOTAL INVESTMENT COMPANIES (Cost $102,541)............. 99,061 -------- TOTAL INVESTMENTS (Cost $249,280*)............ 110.1% 248,479 -------- OTHER ASSETS AND LIABILITIES (NET)....................... (10.1)% Cash.......................... 2,000 Unrealized appreciation on swap contracts.............. 188 Receivable for investment securities sold............. 19,416 Receivable for Fund shares sold........................ 173 Dividends receivable.......... 480 Interest receivable........... 1,466 Unrealized depreciation on forward foreign exchange contracts................... (121) Variation margin/due to broker...................... (195) Collateral on securities loaned...................... (6,637) Payable for Fund shares redeemed.................... (481) Investment advisory fee payable..................... (74) Administration fee payable.... (41) Shareholder servicing and distribution fees payable... (74) Distributions payable......... (1,011) Payable for investment securities purchased........ (37,348) Accrued Trustees' fees and expenses.................... (47) Accrued expenses and other liabilities................. (463) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........... (22,769) -------- NET ASSETS.................... 100.0% $225,710 ======== NET ASSETS CONSIST OF: Undistributed net investment income...................... $ 511 Accumulated net realized loss on investments sold, futures contracts, options and currency contracts.......... (18,391) Net unrealized depreciation of investments, futures contracts, options and currency contracts.......... (786) Paid-in capital............... 244,376 -------- NET ASSETS.................... $225,710 ========
SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
VALUE ------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($149,767,365 / 15,346,291 shares outstanding)....................... $9.76 ----- ----- INVESTOR A SHARES: Net asset value and redemption price per share ($26,751,814 / 2,744,189 shares outstanding)................ $9.75 ----- ----- Maximum sales charge................. 4.75% Maximum offering price per share..... $10.24 INVESTOR B SHARES: Net asset value and offering price per share+ ($47,547,789 / 4,873,686 shares outstanding)................ $9.76 ----- ----- INVESTOR C SHARES: Net asset value and offering price per share+ ($1,643,159 / 168,566 shares outstanding)................ $9.75 ----- -----
--------------- * Federal Income Tax Information: Net unrealized depreciation of $801 on investment securities was comprised of gross appreciation of $2,970 and gross depreciation of $3,771 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $249,280. ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2001. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2001. (+) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. (++) Affiliated mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. + The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (Note 11). The portion that represents cash collateral is $6,637. ## All or a portion of security segregated as collateral for futures contracts and TBA. (a) All or portion of security was on loan at September 30, 2001. The aggregate cost and market value of securities on loan at September 30, 2001, is $6,410 and $6,480, respectively. (b) Principal amount denominated in British Pounds. (c) TBA - Securities purchased on a forward commitment basis. (d) Issue in default. (e) Issuer in bankruptcy. SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS Nations High Yield Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
VALUE (000) ----------------------------------------------------------- INVESTMENT COMPANIES -- 99.9% Investment in Nations Master Investment Trust, High Yield Bond Master Portfolio*................... $154,149 -------- TOTAL INVESTMENTS.............. 99.9% 154,149 -------- OTHER ASSETS AND LIABILITIES (NET)........................ 0.1% Receivable for Fund shares sold....... $ 510 Payable for Fund shares redeemed...... (171) Administration fee payable............ (12) Shareholder servicing and distribution fees payable........................ (69) Accrued Trustees' fees and expenses... (22) Accrued expenses and other liabilities......................... (64) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 172 -------- NET ASSETS..................... 100.0% $154,321 ======== NET ASSETS CONSIST OF: Undistributed net investment income... $ 178 Accumulated net realized gain on investment.......................... 723 Net unrealized depreciation of investment.......................... (19,521) Paid-in capital....................... 172,941 -------- NET ASSETS............................ $154,321 ========
VALUE ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share (99,405,492 / 11,830,663 shares outstanding)........................ $8.40 ----- ----- INVESTOR A SHARES: Net asset value and redemption price per share (14,217,806 / 1,702,988 shares outstanding)................. $8.35 ----- ----- Maximum sales charge.................. 5.75% Maximum offering price per share...... $8.86 INVESTOR B SHARES: Net asset value and offering price per share+ (35,670,436 / 4,274,164 shares outstanding)................. $8.35 ----- ----- INVESTOR C SHARES: Net asset value and offering price per share+ (5,027,392 / 604,090 shares outstanding)........................ $8.32 ----- -----
--------------- * The financial statements of the High Yield Bond Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the High Yield Bond Fund's financial statements. + The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2001 SHORT- SHORT-TERM INTERMEDIATE INCOME GOVERNMENT --------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 11,412 $ 14,152 Interest allocated from Portfolio+.......................... -- -- Dividends................................................... -- -- Dividends allocated from Portfolio+......................... -- -- Dividend income from affiliated funds....................... 242 1,558 Dividend income from affiliated funds allocated from Portfolio+................................................ -- -- Securities lending.......................................... 32 116 Securities lending allocated from Portfolio+................ -- -- Expenses allocated from Portfolio+.......................... -- -- ------------------- ------------------- Total investment income................................. 11,686 15,826 ------------------- ------------------- EXPENSES: Investment advisory fee..................................... 584 826 Administration fee.......................................... 428 606 Transfer agent fees......................................... 54 82 Custodian fees.............................................. 13 21 Legal and audit fees........................................ 82 82 Registration and filing fees................................ 19 23 Trustees' fees and expenses................................. 16 16 Printing expense............................................ 24 25 Interest expense............................................ -- -- Other....................................................... 8 7 ------------------- ------------------- Subtotal................................................ 1,228 1,688 Shareholder servicing and distribution fees: Primary B Shares.......................................... -- --* Investor A Shares......................................... 22 55 Investor B Shares......................................... 13 45 Investor C Shares......................................... 21 11 ------------------- ------------------- Total expenses.......................................... 1,284 1,799 Fees waived by investment advisor, administrator and/or distributor............................................... (195) --* Fees reduced by credits allowed by the custodian............ (1) --* ------------------- ------------------- Net expenses............................................ 1,088 1,799 ------------------- ------------------- NET INVESTMENT INCOME/(LOSS)................................ 10,598 14,027 ------------------- ------------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... 1,456 8,258 Security transactions allocated from Portfolio+........... -- -- Written options........................................... -- -- Futures contracts......................................... -- (621) Foreign currency and net other assets..................... -- -- Foreign currency and net other assets allocated from Portfolio+.............................................. -- -- ------------------- ------------------- Net realized gain/(loss) on investments..................... 1,456 7,637 ------------------- ------------------- Change in unrealized appreciation/(depreciation) of: Securities (Note 13)...................................... 4,572 5,962 Securities allocated from Portfolio (Note 13)+............ -- -- Written options........................................... -- -- Futures contracts......................................... 1,070 (629) Foreign currency and net other assets..................... -- -- ------------------- ------------------- Net change in unrealized appreciation/(depreciation) of investments............................................... 5,642 5,333 ------------------- ------------------- Net realized and unrealized gain/(loss) on investments...... 7,098 12,970 ------------------- ------------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 17,696 $ 26,997 =================== ===================
--------------- * Amount represents less than $500. + Allocated from Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
GOVERNMENT INTERMEDIATE STRATEGIC HIGH YIELD SECURITIES BOND BOND INCOME BOND --------------------------------------------------------------------------------------------------------------- $ 7,208 $ -- $ 72,998 $ 4,322 $ -- -- 3,919 -- -- 8,297 -- -- 2,693 2,710 -- -- 137 -- -- 190 918 -- 5,460 595 -- -- 182 -- -- 296 45 -- 113 9 -- -- 14 -- -- 9 -- (323) -- -- (465) ------------------- ------------------- ------------------- ------------------- ------------------- 8,171 3,929 81,264 7,636 8,327 ------------------- ------------------- ------------------- ------------------- ------------------- 667 -- 4,840 569 -- 306 110 2,662 250 128 41 18 354 38 14 18 -- 85 16 -- 83 54 88 80 59 22 24 47 20 26 19 17 16 16 16 26 22 40 31 19 -- -- 8 -- -- 15 9 27 6 1 ------------------- ------------------- ------------------- ------------------- ------------------- 1,197 254 8,167 1,026 263 -- -- -- -- -- 74 77 56 35 16 180 9 47 246 148 9 5 7 8 18 ------------------- ------------------- ------------------- ------------------- ------------------- 1,460 345 8,277 1,315 445 (181) (53) -- (114) (68) (2) -- (5) (1) -- ------------------- ------------------- ------------------- ------------------- ------------------- 1,277 292 8,272 1,200 377 ------------------- ------------------- ------------------- ------------------- ------------------- 6,894 3,637 72,992 6,436 7,950 ------------------- ------------------- ------------------- ------------------- ------------------- 4,308 -- 12,431 344 -- -- (228) -- -- 932 (506) -- 48 (26) -- -- -- (8,640) (279) -- -- -- 373 761 -- -- -- -- -- (108) ------------------- ------------------- ------------------- ------------------- ------------------- 3,802 (228) 4,212 800 824 ------------------- ------------------- ------------------- ------------------- ------------------- 3,444 -- 17,705 (2,085) -- -- 2,056 -- -- (17,242) -- -- (71) 17 -- 247 -- 2,823 (44) -- -- -- 553 (2,148) -- ------------------- ------------------- ------------------- ------------------- ------------------- 3,691 2,056 21,010 (4,260) (17,242) ------------------- ------------------- ------------------- ------------------- ------------------- 7,493 1,828 25,222 (3,460) (16,418) ------------------- ------------------- ------------------- ------------------- ------------------- $ 14,387 $ 5,465 $ 98,214 $ 2,976 $ (8,468) =================== =================== =================== =================== ===================
SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
SHORT-TERM INCOME ------------------------------------ SIX MONTHS ENDED 9/30/01 YEAR ENDED (UNAUDITED) 3/31/01 ------------------------------------ (IN THOUSANDS) Net investment income/(loss)................................ $ 10,598 $ 23,079 Net realized gain/(loss) on investments..................... 1,456 (1,697) Net change in unrealized appreciation/(depreciation) of investments............................................... 5,642 12,829 -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 17,696 34,211 Distributions to shareholders from net investment income: Primary A Shares.......................................... (10,047) (22,396) Primary B Shares.......................................... -- -- Investor A Shares......................................... (409) (510) Investor B Shares......................................... (57) (135) Investor C Shares......................................... (85) (38) Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... -- -- Primary B Shares.......................................... -- -- Investor A Shares......................................... -- -- Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Net increase/(decrease) in net assets from Fund share transactions.............................................. 82,155 (55,666) -------------- -------------- Net increase/(decrease) in net assets....................... 89,253 (44,534) NET ASSETS: Beginning of period......................................... 369,818 414,352 -------------- -------------- End of period............................................... $ 459,071 $ 369,818 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ -- $ -- ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
SHORT-INTERMEDIATE GOVERNMENT GOVERNMENT SECURITIES -------------------------------------- ---------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/01 YEAR ENDED 9/30/01 YEAR ENDED (UNAUDITED) 3/31/01 (UNAUDITED) 3/31/01 ------------------------------------------------------------------------------ $ 14,027 $ 32,003 $ 6,894 $ 13,539 7,637 6,886 3,802 5,314 5,333 21,293 3,691 6,389 -------------- -------------- -------------- -------------- 26,997 60,182 14,387 25,242 (12,723) (29,250) (4,660) (8,845) (3) (8) -- -- (1,075) (2,358) (1,456) (3,332) (182) (357) (738) (1,346) (44) (30) (40) (16) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (10,804) (29,689) 62,339 34,979 -------------- -------------- -------------- -------------- 2,166 (1,510) 69,832 46,682 550,484 551,994 240,192 193,510 -------------- -------------- -------------- -------------- $ 552,650 $ 550,484 $ 310,024 $ 240,192 ============== ============== ============== ============== $ -- $ -- $ (394) $ (394) ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
INTERMEDIATE BOND ---------------------------------- SIX MONTHS ENDED 9/30/01 YEAR ENDED (UNAUDITED) 3/31/01 ---------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 3,637 $ 5,980 Net realized gain/(loss) on investments..................... -- -- Net realized gain/(loss) on investments allocated from Portfolio+................................................ (228) (310) Net change in unrealized appreciation/(depreciation) of investments............................................... -- -- Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+..................... 2,056 4,599 -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 5,465 10,269 Distributions to shareholders from net investment income: Primary A Shares.......................................... (1,827) (1,943) Primary B Shares.......................................... -- -- Investor A Shares......................................... (1,636) (3,664) Investor B Shares......................................... (44) (30) Investor C Shares......................................... (20) (7) Seafirst Shares**......................................... -- (317) Distributions to shareholders in excess of net investment income: Primary A Shares.......................................... -- -- Primary B Shares.......................................... -- -- Investor A Shares......................................... -- -- Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Seafirst Shares**......................................... -- -- Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... -- -- Primary B Shares.......................................... -- -- Investor A Shares......................................... -- -- Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Seafirst Shares**......................................... -- -- Net increase/(decrease) in net assets from Fund share transactions.............................................. 24,706 21,054 -------------- -------------- Net increase/(decrease) in net assets....................... 26,644 25,362 NET ASSETS: Beginning of period......................................... 115,882 90,520 -------------- -------------- End of period............................................... $ 142,526 $ 115,882 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ 140 $ 31 ============== ==============
--------------- ** Seafirst Shares converted into Investor A Shares on June 23, 2000. + Allocated from Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
BOND STRATEGIC INCOME HIGH YIELD BOND ---------------------------------- ---------------------------------- ---------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/01 YEAR ENDED 9/30/01 YEAR ENDED 9/30/01 YEAR ENDED (UNAUDITED) 3/31/01 (UNAUDITED) 3/31/01 (UNAUDITED) 3/31/01 ---------------------------------------------------------------------------------------------------------------------- $ 72,992 $ 147,003 $ 6,436 $ 15,691 $ 7,950 $ 3,641 4,212 (4,839) 800 (404) -- -- -- -- -- -- 824 (93) 21,010 106,779 (4,260) 10,840 -- -- -- -- -- -- (17,242) (2,109) -------------- -------------- -------------- -------------- -------------- -------------- 98,214 248,943 2,976 26,127 (8,468) 1,439 (71,439) (145,064) (4,407) (10,763) (5,320) (2,171) -- -- -- -- -- -- (1,286) (1,573) (783) (1,881) (660) (337) (230) (311) (1,208) (2,987) (1,482) (1,145) (37) (55) (38) (77) (183) (66) -- -- -- -- -- -- -- -- -- -- -- (99) -- -- -- -- -- -- -- -- -- -- -- (16) -- -- -- -- -- (52) -- -- -- -- -- (3) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 89,365 443,394 (29,587) 41,862 76,912 82,722 -------------- -------------- -------------- -------------- -------------- -------------- 114,587 545,334 (33,047) 52,281 60,799 80,272 2,369,238 1,823,904 258,757 206,476 93,522 13,250 -------------- -------------- -------------- -------------- -------------- -------------- $ 2,483,825 $ 2,369,238 $ 225,710 $ 258,757 $ 154,321 $ 93,522 ============== ============== ============== ============== ============== ============== $ -- $ -- $ 511 $ 511 $ 178 $ (127) ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
SHORT-TERM INCOME SIX MONTHS ENDED SEPTEMBER 30, 2001 YEAR ENDED (UNAUDITED) MARCH 31, 2001 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 9,725 $ 95,681 7,590 $ 72,733 Issued as reinvestment of dividends....................... 67 655 163 1,561 Redeemed.................................................. (6,694) (65,642) (13,057) (124,893) ------ -------- ------- --------- Net increase/(decrease)................................... 3,098 $ 30,694 (5,304) $ (50,599) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 4,621 $ 45,537 1,102 $ 10,572 Issued as reinvestment of dividends....................... 20 200 39 377 Redeemed.................................................. (405) (3,980) (1,604) (15,359) ------ -------- ------- --------- Net increase/(decrease)................................... 4,236 $ 41,757 (463) $ (4,410) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 3 $ 32 3 $ 33 Issued as reinvestment of dividends....................... 4 42 12 114 Redeemed.................................................. (4) (44) (65) (624) ------ -------- ------- --------- Net increase/(decrease)................................... 3 $ 30 (50) $ (477) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 1,142 $ 11,231 74 $ 718 Issued as reinvestment of dividends....................... 5 48 4 35 Redeemed.................................................. (163) (1,605) (97) (933) ------ -------- ------- --------- Net increase/(decrease)................................... 984 $ 9,674 (19) $ (180) ====== ======== ======= ========= Total net increase/(decrease)............................. 8,321 $ 82,155 (5,836) $ (55,666) ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SHORT-INTERMEDIATE GOVERNMENT SIX MONTHS ENDED SEPTEMBER 30, 2001 YEAR ENDED (UNAUDITED) MARCH 31, 2001 ------------------- -------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 10,582 $ 43,935 24,744 $ 99,348 Issued in exchange for assets of: Boatmen's Trust Company Intermediate Government Fund (Note 13)............................................. -- -- 5,337 21,135 Bank IV Kansas U.S. Treasury Fund (Note 13)............. -- -- 4,829 19,124 Issued as reinvestment of dividends....................... 29 122 33 131 Redeemed.................................................. (14,621) (60,815) (41,301) (165,953) ------- -------- ------- --------- Net increase/(decrease)................................... (4,010) $(16,758) (6,358) $ (26,215) ======= ======== ======= ========= PRIMARY B SHARES: Sold...................................................... -- $ -- -- $ -- Issued as reinvestment of dividends....................... 1 3 2 8 Redeemed.................................................. -- -- (19) (74) ------- -------- ------- --------- Net increase/(decrease)................................... 1 $ 3 (17) $ (66) ======= ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 8,448 $ 35,041 4,924 $ 20,104 Issued as reinvestment of dividends....................... 134 555 347 1,397 Redeemed.................................................. (8,755) (36,292) (6,103) (24,735) ------- -------- ------- --------- Net increase/(decrease)................................... (173) $ (696) (832) $ (3,234) ======= ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 1,266 $ 5,295 603 $ 2,460 Issued as reinvestment of dividends....................... 25 104 58 234 Redeemed.................................................. (402) (1,665) (815) (3,255) ------- -------- ------- --------- Net increase/(decrease)................................... 889 $ 3,734 (154) $ (561) ======= ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 888 $ 3,677 319 $ 1,290 Issued as reinvestment of dividends....................... 7 27 6 23 Redeemed.................................................. (191) (791) (232) (926) ------- -------- ------- --------- Net increase/(decrease)................................... 704 $ 2,913 93 $ 387 ======= ======== ======= ========= Total net increase/(decrease)............................. (2,589) $(10,804) (7,268) $ (29,689) ======= ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
GOVERNMENT SECURITIES SIX MONTHS ENDED SEPTEMBER 30, 2001 YEAR ENDED (UNAUDITED) MARCH 31, 2001 ------------------ ------------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 4,227 $ 41,375 4,596 $ 43,985 Issued in exchange for assets of Boatmen's Trust Company Taxable Bond Fund (Note 13)............................. -- -- 4,855 45,638 Issued in exchange for Primary A Shares of Nations U.S. Government Bond Fund (Note 13).......................... 5,428 52,977 -- -- Issued as reinvestment of dividends....................... 9 92 25 241 Redeemed.................................................. (5,201) (51,160) (5,493) (52,530) ------ -------- ------- -------- Net increase/(decrease)................................... 4,463 $ 43,284 3,983 $ 37,334 ====== ======== ======= ======== INVESTOR A SHARES: Sold...................................................... 8,390 $ 82,391 9,666 $ 93,188 Issued in exchange for Investor A Shares of Nations U.S. Government Bond Fund (Note 13).......................... 826 8,053 -- -- Issued as reinvestment of dividends....................... 83 809 233 2,223 Redeemed.................................................. (9,208) (90,410) (10,186) (98,023) ------ -------- ------- -------- Net increase/(decrease)................................... 91 $ 843 (287) $ (2,612) ====== ======== ======= ======== INVESTOR B SHARES: Sold...................................................... 933 $ 9,196 544 $ 5,290 Issued in exchange for Investor B Shares of Nations U.S. Government Bond Fund (Note 13).......................... 1,173 11,447 -- -- Issued as reinvestment of dividends....................... 47 467 102 974 Redeemed.................................................. (448) (4,424) (732) (6,974) ------ -------- ------- -------- Net increase/(decrease)................................... 1,705 $ 16,686 (86) $ (710) ====== ======== ======= ======== INVESTOR C SHARES: Sold...................................................... 194 $ 1,913 115 $ 1,134 Issued in exchange for Investor C Shares of Nations U.S. Government Bond Fund (Note 13).......................... 95 920 -- -- Issued as reinvestment of dividends....................... 3 25 1 10 Redeemed.................................................. (171) (1,684) (18) (177) ------ -------- ------- -------- Net increase/(decrease)................................... 121 $ 1,174 98 $ 967 ====== ======== ======= ======== Total net increase/(decrease)............................. 6,380 $ 61,987 3,708 $ 34,979 ====== ======== ======= ========
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERMEDIATE BOND SIX MONTHS ENDED SEPTEMBER 30, 2001 YEAR ENDED (UNAUDITED) MARCH 31, 2001 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ---------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 3,516 $ 33,426 4,119 $ 38,361 Issued as reinvestment of dividends....................... 3 31 6 56 Redeemed.................................................. (1,072) (10,198) (763) (7,077) ------ -------- ------ -------- Net increase/(decrease)................................... 2,447 $ 23,259 3,362 $ 31,340 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 1,412 $ 13,459 4,794 $ 44,054 Issued as reinvestment of dividends....................... 96 913 176 1,635 Redeemed.................................................. (1,615) (15,373) (3,352) (31,152) ------ -------- ------ -------- Net increase/(decrease)................................... (107) $ (1,001) 1,618 $ 14,537 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 242 $ 2,319 116 $ 1,090 Issued as reinvestment of dividends....................... 4 36 3 24 Redeemed.................................................. (23) (222) (11) (105) ------ -------- ------ -------- Net increase/(decrease)................................... 223 $ 2,133 108 $ 1,009 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 43 $ 453 77 $ 793 Issued as reinvestment of dividends....................... 1 8 --* 3 Redeemed.................................................. (14) (146) (3) (24) ------ -------- ------ -------- Net increase/(decrease)................................... 30 $ 315 74 $ 772 ====== ======== ====== ======== SEAFIRST SHARES:** Sold...................................................... -- $ -- --* $ 12 Issued as reinvestment of dividends....................... -- -- 31 317 Redeemed.................................................. -- -- (2,592) (26,933) ------ -------- ------ -------- Net increase/(decrease)................................... -- $ -- (2,561) $(26,604) ------ -------- ------ -------- Total net increase/(decrease)............................. 2,593 $ 24,706 2,601 $ 21,054 ====== ======== ====== ========
--------------- * Amount represents less than 500 shares and/or $500, as applicable. ** Seafirst Shares converted into Investor A Shares on June 23, 2000. SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
BOND SIX MONTHS ENDED SEPTEMBER 30, 2001 YEAR ENDED (UNAUDITED) MARCH 31, 2001 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 29,725 $ 289,678 65,505 $ 620,433 Issued in exchange for assets of: Boatmen's Trust Company Intermediate Taxable Bond Fund Note 13)................................................ -- -- 12,412 116,422 Bank IV Kansas Intermediate Bond Fund (Note 13)......... -- -- 8,123 76,191 BCA High Grade Income Bond Fund (Note 13)............... -- -- 23,402 219,513 Issued as reinvestment of dividends....................... 512 4,987 861 8,216 Redeemed.................................................. (25,241) (245,939) (63,233) (601,516) ------- --------- ------- --------- Net increase/(decrease)................................... 4,996 $ 48,726 47,070 $ 439,259 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 6,010 $ 58,557 1,963 $ 18,679 Issued as reinvestment of dividends....................... 53 512 121 1,147 Redeemed.................................................. (2,541) (24,873) (1,801) (17,151) ------- --------- ------- --------- Net increase/(decrease)................................... 3,522 $ 34,196 283 $ 2,675 ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 697 $ 6,825 239 $ 2,304 Issued as reinvestment of dividends....................... 16 156 29 276 Redeemed.................................................. (89) (873) (155) (1,463) ------- --------- ------- --------- Net increase/(decrease)................................... 624 $ 6,108 113 $ 1,117 ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 64 $ 621 54 $ 518 Issued as reinvestment of dividends....................... 2 24 5 49 Redeemed.................................................. (32) (310) (24) (224) ------- --------- ------- --------- Net increase/(decrease)................................... 34 $ 335 35 $ 343 ======= ========= ======= ========= Total net increase/(decrease)............................. 9,176 $ 89,365 47,501 $ 443,394 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
STRATEGIC INCOME SIX MONTHS ENDED SEPTEMBER 30, 2001 YEAR ENDED (UNAUDITED) MARCH 31, 2001 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,365 $ 23,161 12,232 $116,097 Issued as reinvestment of dividends....................... 9 91 265 2,545 Redeemed.................................................. (5,013) (48,972) (6,948) (66,777) ------ -------- ------ -------- Net increase/(decrease)................................... (2,639) $(25,720) 5,549 $ 51,865 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 156 $ 1,521 382 $ 3,727 Issued as reinvestment of dividends....................... 35 347 98 935 Redeemed.................................................. (392) (3,843) (778) (7,431) ------ -------- ------ -------- Net increase/(decrease)................................... (201) $ (1,975) (298) $ (2,769) ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 332 $ 3,260 520 $ 4,982 Issued as reinvestment of dividends....................... 69 670 205 1,962 Redeemed.................................................. (609) (5,959) (1,517) (14,447) ------ -------- ------ -------- Net increase/(decrease)................................... (208) $ (2,029) (792) $ (7,503) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 31 $ 302 60 $ 582 Issued as reinvestment of dividends....................... 3 30 8 72 Redeemed.................................................. (20) (195) (40) (385) ------ -------- ------ -------- Net increase/(decrease)................................... 14 $ 137 28 $ 269 ====== ======== ====== ======== Total net increase/(decrease)............................. (3,034) $(29,587) 4,487 $ 41,862 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
HIGH YIELD BOND SIX MONTHS ENDED SEPTEMBER 30, 2001 YEAR ENDED (UNAUDITED) MARCH 31, 2001 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 7,987 $ 73,017 6,797 $ 64,265 Issued as reinvestment of dividends....................... 154 1,375 49 466 Redeemed.................................................. (2,912) (25,317) (1,192) (11,616) ------ -------- ------ -------- Net increase/(decrease)................................... 5,229 $ 49,075 5,654 $ 53,115 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 1,347 $ 12,294 858 $ 8,053 Issued as reinvestment of dividends....................... 62 554 31 282 Redeemed.................................................. (612) (5,573) (21) (198) ------ -------- ------ -------- Net increase/(decrease)................................... 797 $ 7,275 868 $ 8,137 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 2,009 $ 18,186 2,206 $ 21,032 Issued as reinvestment of dividends....................... 101 898 76 711 Redeemed.................................................. (236) (2,121) (228) (2,160) ------ -------- ------ -------- Net increase/(decrease)................................... 1,874 $ 16,963 2,054 $ 19,583 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 416 $ 3,761 202 $ 1,911 Issued as reinvestment of dividends....................... 11 93 4 37 Redeemed.................................................. (29) (255) (6) (61) ------ -------- ------ -------- Net increase/(decrease)................................... 398 $ 3,599 200 $ 1,887 ====== ======== ====== ======== Total net increase/(decrease)............................. 8,298 $ 76,912 8,776 $ 82,722 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 38 [This page intentionally left blank] 39 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period. 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 PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------------ SHORT-TERM INCOME PRIMARY A SHARES Six months ended 9/30/2001# (unaudited)......... $9.80 $0.27 $ 0.17 $0.44 $(0.27) Year ended 3/31/2001............................ 9.51 0.58 0.29 0.87 (0.58) Year ended 3/31/2000............................ 9.79 0.56 (0.28) 0.28 (0.56) Year ended 3/31/1999............................ 9.77 0.56 0.02 0.58 (0.56) Year ended 3/31/1998............................ 9.68 0.56 0.09 0.65 (0.56) Year ended 3/31/1997#........................... 9.76 0.58 (0.08) 0.50 (0.58) INVESTOR A SHARES Six months ended 9/30/2001# (unaudited)......... $9.81 $0.25 $ 0.17 $0.42 $(0.25) Year ended 3/31/2001............................ 9.51 0.56 0.30 0.86 (0.56) Year ended 3/31/2000............................ 9.79 0.54 (0.28) 0.26 (0.54) Year ended 3/31/1999............................ 9.77 0.54 0.02 0.56 (0.54) Year ended 3/31/1998............................ 9.68 0.54 0.09 0.63 (0.54) Year ended 3/31/1997#........................... 9.76 0.56 (0.08) 0.48 (0.56) INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)......... $9.80 $0.22 $ 0.17 $0.39 $(0.22) Year ended 3/31/2001............................ 9.51 0.48 0.29 0.77 (0.48) Year ended 3/31/2000............................ 9.79 0.51 (0.28) 0.23 (0.51) Year ended 3/31/1999............................ 9.77 0.52 0.02 0.54 (0.52) Year ended 3/31/1998............................ 9.68 0.53 0.09 0.62 (0.53) Year ended 3/31/1997#........................... 9.76 0.55 (0.08) 0.47 (0.55) INVESTOR C SHARES Six months ended 9/30/2001# (unaudited)......... $9.80 $0.22 $ 0.17 $0.39 $(0.22) Year ended 3/31/2001............................ 9.51 0.48 0.29 0.77 (0.48) Year ended 3/31/2000............................ 9.79 0.47 (0.28) 0.19 (0.47) Year ended 3/31/1999............................ 9.77 0.52 0.02 0.54 (0.52) Year ended 3/31/1998............................ 9.68 0.53 0.09 0.62 (0.53) Year ended 3/31/1997#........................... 9.76 0.55 (0.08) 0.47 (0.55)
--------------- + 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. # 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. 40 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------ $9.97 4.58% $395,770 0.53%+(a) 5.50%+ 36% 0.63%+(a) 9.80 9.44 358,812 0.51(a) 6.04 42 0.61(a) 9.51 3.00 398,620 0.50(a) 5.86 62 0.63(a) 9.79 6.07 397,467 0.50(a) 5.70 64 0.80(a) 9.77 6.89 331,961 0.56(a)(b) 5.75 66 0.86(a) 9.68 5.25 181,455 0.55(b) 5.97 172 0.85 $9.98 4.44% $ 50,056 0.78%+(a) 5.25%+ 36% 0.88%+(a) 9.81 9.28 7,658 0.76(a) 5.79 42 0.86(a) 9.51 2.76 11,831 0.73(a) 5.63 62 0.88(a) 9.79 5.85 14,652 0.70(a) 5.50 64 1.05(a) 9.77 6.67 13,688 0.76(a)(b) 5.55 66 1.06(a) 9.68 5.04 6,169 0.75(b) 5.77 172 1.05 $9.97 4.05% $ 2,588 1.53%+(a) 4.50%+ 36% 1.63%+(a) 9.80 8.36 2,515 1.51(a) 5.04 42 1.61(a) 9.51 2.40 2,914 1.05(a) 5.31 62 1.63(a) 9.79 5.70 5,825 0.85(a) 5.35 64 1.80(a) 9.77 6.51 4,602 0.91(a)(b) 5.40 66 1.21(a) 9.68 4.89 5,536 0.90(b) 5.62 172 1.20 $9.97 4.05% $ 10,657 1.53%+(a) 4.50%+ 36% 1.63%+(a) 9.80 8.37 833 1.51(a) 5.04 42 1.61(a) 9.51 1.97 987 1.50(a) 4.86 62 1.63(a) 9.79 5.64 1,744 1.01(a) 5.19 64 1.80(a) 9.77 6.51 2,992 0.91(a)(b) 5.40 66 1.21(a) 9.68 4.89 4,063 0.90(b) 5.62 172 1.20
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period. 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 PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ----------------------------------------------------------------------------- SHORT-INTERMEDIATE GOVERNMENT PRIMARY A SHARES Six months ended 9/30/2001# (unaudited)......... $4.15 $0.11 $ 0.10 $0.21 $(0.11) Year ended 3/31/2001............................ 3.94 0.23 0.21 0.44 (0.23) Year ended 3/31/2000............................ 4.10 0.22 (0.16) 0.06 (0.22) Year ended 3/31/1999............................ 4.12 0.22 (0.02) 0.20 (0.22) Year ended 3/31/1998............................ 3.99 0.23 0.13 0.36 (0.23) Year ended 3/31/1997#........................... 4.07 0.23 (0.08) 0.15 (0.23) PRIMARY B SHARES Six months ended 9/30/2001# (unaudited)......... $4.15 $0.10 $ 0.10 $0.20 $(0.10) Year ended 3/31/2001............................ 3.94 0.21 0.21 0.42 (0.21) Year ended 3/31/2000............................ 4.10 0.21 (0.16) 0.05 (0.21) Year ended 3/31/1999#........................... 4.12 0.21 (0.02) 0.19 (0.21) Year ended 3/31/1998............................ 3.99 0.21 0.13 0.34 (0.21) Six months ended 3/31/1997*#.................... 4.02 0.16 (0.03) 0.13 (0.16) INVESTOR A SHARES Six months ended 9/30/2001# (unaudited)......... $4.15 $0.10 $ 0.09 $0.19 $(0.10) Year ended 3/31/2001............................ 3.94 0.22 0.21 0.43 (0.22) Year ended 3/31/2000............................ 4.10 0.22 (0.16) 0.06 (0.22) Year ended 3/31/1999............................ 4.12 0.21 (0.02) 0.19 (0.21) Year ended 3/31/1998............................ 3.99 0.22 0.13 0.35 (0.22) Year ended 3/31/1997#........................... 4.07 0.22 (0.08) 0.14 (0.22) INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)......... $4.15 $0.09 $ 0.10 $0.19 $(0.09) Year ended 3/31/2001............................ 3.94 0.19 0.21 0.40 (0.19) Year ended 3/31/2000............................ 4.10 0.19 (0.16) 0.03 (0.19) Year ended 3/31/1999............................ 4.12 0.19 (0.02) 0.17 (0.19) Year ended 3/31/1998............................ 3.99 0.20 0.13 0.33 (0.20) Year ended 3/31/1997#........................... 4.07 0.20 (0.08) 0.12 (0.20) INVESTOR C SHARES Six months ended 9/30/2001# (unaudited)......... $4.14 $0.09 $ 0.10 $0.19 $(0.09) Year ended 3/31/2001............................ 3.93 0.19 0.21 0.40 (0.19) Year ended 3/31/2000............................ 4.09 0.19 (0.16) 0.03 (0.19) Year ended 3/31/1999............................ 4.12 0.19 (0.03) 0.16 (0.19) Year ended 3/31/1998............................ 3.99 0.20 0.13 0.33 (0.20) Year ended 3/31/1997#........................... 4.07 0.21 (0.08) 0.13 (0.21)
--------------- + 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. * Short-Intermediate Government Primary B Shares commenced operations on June 28, 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. 42 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------ $4.25 5.07% $491,678 0.61%+(a) 5.14%+ 167% 0.61%+(a) 4.15 11.56 496,821 0.59(a) 5.77 108 0.59(a) 3.94 1.63 497,392 0.60(a) 5.59 177 0.65(a) 4.10 4.97 589,092 0.58(a) 5.36 242 0.78(a) 4.12 9.11 663,833 0.61 5.53 538 0.81 3.99 3.72 371,118 0.63(a)(b) 5.73 529 0.83(a) $4.25 4.81% $ 147 1.11%+(a) 4.64%+ 167% 1.21%+(a) 4.15 11.01 141 1.09(a) 5.27 108 1.19(a) 3.94 1.23 200 0.99(a) 5.20 177 1.25(a) 4.10 4.61 273 0.93(a) 5.01 242 1.38(a) 4.12 8.74 261 0.96 5.18 538 1.16 3.99 3.31 16,980 0.98+(a)(b) 5.38+ 529 1.18+(a) $4.24 4.70% $ 44,563 0.86%+(a) 4.89%+ 167% 0.86%+(a) 4.15 11.31 44,244 0.82(a) 5.54 108 0.84(a) 3.94 1.43 45,341 0.80(a) 5.39 177 0.90(a) 4.10 4.76 44,793 0.78(a) 5.16 242 1.03(a) 4.12 8.89 49,478 0.81 5.33 538 1.01 3.99 3.51 42,468 0.83(a)(b) 5.53 529 1.03(a) $4.25 4.55% $ 12,174 1.61%+(a) 4.14%+ 167% 1.61%+(a) 4.15 10.46 8,199 1.59(a) 4.77 108 1.59(a) 3.94 0.70 8,400 1.51(a) 4.68 177 1.65(a) 4.10 4.14 9,591 1.38(a) 4.56 242 1.78(a) 4.12 8.35 9,815 1.34 4.80 538 1.54 3.99 3.10 10,788 1.23(a)(b) 5.13 529 1.43(a) $4.24 4.55% $ 4,088 1.61%+(a) 4.14%+ 167% 1.61%+(a) 4.14 10.49 1,079 1.59(a) 4.77 108 1.59(a) 3.93 0.74 661 1.54(a) 4.65 177 1.65(a) 4.09 4.05 1,190 1.34(a) 4.60 242 1.78(a) 4.12 8.45 1,808 1.31 4.83 538 1.51 3.99 3.21 8,334 1.13(a)(b) 5.23 529 1.33(a)
SEE NOTES TO FINANCIAL STATEMENTS. 43 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 ----------------------------------------------------------------------------------------- GOVERNMENT SECURITIES PRIMARY A SHARES Six months ended 9/30/2001# (unaudited)........................ $9.87 $0.26 $ 0.22 $ 0.48 $(0.26) $ -- Year ended 3/31/2001................. 9.38 0.60 0.48 1.08 (0.59) -- Year ended 3/31/2000................. 9.86 0.58 (0.48) 0.10 (0.58) -- Year ended 3/31/1999#................ 9.90 0.58 (0.05) 0.53 (0.57) -- Year ended 3/31/1998................. 9.39 0.55 0.51 1.06 (0.55) -- Year ended 3/31/1997#................ 9.67 0.60 (0.30) 0.30 (0.58) (0.00)## INVESTOR A SHARES Six months ended 9/30/2001# (unaudited)........................ $9.86 $0.24 $ 0.22 $ 0.46 $(0.24) $ -- Year ended 3/31/2001................. 9.37 0.57 0.49 1.06 (0.57) -- Year ended 3/31/2000................. 9.86 0.57 (0.50) 0.07 (0.56) -- Year ended 3/31/1999#................ 9.90 0.56 (0.05) 0.51 (0.55) -- Year ended 3/31/1998................. 9.39 0.52 0.51 1.03 (0.52) -- Year ended 3/31/1997#................ 9.67 0.58 (0.30) 0.28 (0.56) (0.00)## INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)........................ $9.87 $0.21 $ 0.22 $ 0.43 $(0.21) $ -- Year ended 3/31/2001................. 9.38 0.50 0.49 0.99 (0.50) -- Year ended 3/31/2000................. 9.86 0.49 (0.48) 0.01 (0.49) -- Year ended 3/31/1999#................ 9.90 0.49 (0.04) 0.45 (0.49) -- Year ended 3/31/1998................. 9.39 0.47 0.51 0.98 (0.47) -- Year ended 3/31/1997#................ 9.67 0.54 (0.30) 0.24 (0.52) (0.00)## INVESTOR C SHARES Six months ended 9/30/2001# (unaudited)........................ $9.84 $0.21 $ 0.22 $ 0.43 $(0.21) $ -- Year ended 3/31/2001................. 9.34 0.52 0.48 1.00 (0.50) -- Year ended 3/31/2000................. 9.86 0.49 (0.52) (0.03) (0.49) -- Year ended 3/31/1999#................ 9.90 0.49 (0.04) 0.45 (0.49) -- Year ended 3/31/1998................. 9.39 0.48 0.51 0.99 (0.48) -- Year ended 3/31/1997#................ 9.67 0.55 (0.30) 0.25 (0.53) (0.00)##
--------------- + 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. # Per share net investment income has been calculated using the monthly average shares method. ## Amount represents less than $0.01. (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. 44 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 TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------------ $(0.26) $10.09 4.92% $202,329 0.73%+(a) 5.15%+ 216% 0.86%+(a) (0.59) 9.87 11.97 153,799 0.75(a) 6.21 183 0.86(a) (0.58) 9.38 1.12 108,798 0.78(b) 6.17 348 0.90 (0.57) 9.86 5.41 119,659 0.73(a) 5.70 600 0.84(a) (0.55) 9.90 11.65 75,796 0.85(a)(b) 5.63 303 0.99(a) (0.58) 9.39 3.18 52,606 0.80 6.28 468 0.94 $(0.24) $10.08 4.79% $ 59,865 0.98%+(a) 4.90%+ 216% 1.11%+(a) (0.57) 9.86 11.70 57,641 1.00(a) 5.96 183 1.11(a) (0.56) 9.37 0.80 57,485 1.03(b) 5.92 348 1.15 (0.55) 9.86 5.16 19,167 0.98(a) 5.45 600 1.09(a) (0.52) 9.90 11.37 8,509 1.10(a)(b) 5.38 303 1.24(a) (0.56) 9.39 2.92 9,852 1.05 6.03 468 1.19 $(0.21) $10.09 4.40% $ 45,375 1.73%+(a) 4.15%+ 216% 1.86%+(a) (0.50) 9.87 10.86 27,544 1.75(a) 5.21 183 1.86(a) (0.49) 9.38 0.22 26,988 1.72(b) 5.23 348 1.90 (0.49) 9.86 4.53 30,109 1.58(a) 4.85 600 1.84(a) (0.47) 9.90 10.78 32,391 1.63(a)(b) 4.85 303 1.77(a) (0.52) 9.39 2.51 38,807 1.45 5.63 468 1.59 $(0.21) $10.06 4.41% $ 2,454 1.73%+(a) 4.15%+ 216% 1.86%+(a) (0.50) 9.84 11.03 1,213 1.75(a) 5.21 183 1.86(a) (0.49) 9.34 (0.22) 238 1.78(b) 5.17 348 1.90 (0.49) 9.86 4.52 213 1.59(a) 4.84 600 1.84(a) (0.48) 9.90 10.84 735 1.58(a)(b) 4.90 303 1.72(a) (0.53) 9.39 2.67 1,835 1.30 5.78 468 1.44
SEE NOTES TO FINANCIAL STATEMENTS. 45 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 ----------------------------------------------------------------------------------------- INTERMEDIATE BOND PRIMARY A SHARES Six months ended 9/30/2001# (unaudited)........................ $ 9.52 $0.27 $ 0.13 $ 0.40 $(0.27) $ -- Year ended 3/31/2001#................ 9.13 0.58 0.39 0.97 (0.58) -- Period ended 3/31/2000***............ 9.52 0.49 (0.37) 0.12 (0.51) -- INVESTOR A SHARES* Six months ended 9/30/2001# (unaudited)........................ $ 9.55 $0.25 $ 0.13 $ 0.38 $(0.25) $ -- Year ended 3/31/2001#................ 9.15 0.56 0.40 0.96 (0.56) -- Period ended 3/31/2000............... 9.50 0.46 (0.34) 0.12 (0.47) -- Period ended 5/14/1999............... 9.52 0.10 (0.04) 0.06 (0.08) -- Year ended 2/28/1999................. 9.69 0.50 (0.03) 0.47 (0.53) (0.11) Year ended 2/28/1998................. 9.54 0.49 0.20 0.69 (0.51) (0.03) Year ended 2/28/1997**............... 9.75 0.52 (0.15) 0.37 (0.52) (0.06) INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)........................ $ 9.51 $0.22 $ 0.13 $ 0.35 $(0.22) $ -- Year ended 3/31/2001#................ 9.13 0.47 0.42 0.89 (0.51) -- Period ended 3/31/2000***............ 9.52 0.22 (0.36) (0.14) (0.25) -- INVESTOR C SHARES* Six months ended 9/30/2001# (unaudited)........................ $10.47 $0.21 $ 0.17 $ 0.38 $(0.21) $ -- Year ended 3/31/2001#................ 9.32 0.47 1.09 1.56 (0.41) -- Period ended 3/31/2000............... 9.56 0.34 (0.23) 0.11 (0.35) -- Period ended 5/14/1999............... 9.59 0.09 (0.04) 0.05 (0.08) -- Year ended 2/28/1999................. 9.72 0.46 -- 0.46 (0.48) (0.11) Year ended 2/28/1998................. 9.54 0.44 0.19 0.63 (0.42) (0.03) Period ended 2/28/1997***............ 9.53 0.31 0.07 0.38 (0.31) (0.06)
--------------- + 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. * The financial information for the fiscal periods through May 14, 1999 reflect the financial information for the Pacific Horizon Intermediate Bond Fund A, and K Shares, which were reorganized into the Intermediate Bond Investor A and Investor C Shares, respectively, as of May 21, 1999. Prior to May 21, 1999, the Fund's investment adviser was Bank of America National Trust and Savings Association. Effective May 21, 1999, its investment adviser became Banc of America Advisors, LLC and its investment sub-adviser became Banc of America Capital Management, LLC. ** As of July 22, 1996 the Fund designated the existing series of shares as "A" shares. *** Intermediate Bond Primary A, Investor B, and Investor C Shares commenced operations on May 21, 1999, October 20, 1999, and November 20, 1996, respectively. # Per share net investment income has been calculated using the monthly average shares method. SEE NOTES TO FINANCIAL STATEMENTS. 46 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 TO INCOME/(LOSS) EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS ------------------------------------------------------------------------------------------------------ $(0.27) $ 9.65 4.22% $75,507 0.81%+ 5.77%+ 0.89%+ (0.58) 9.52 11.04 51,178 0.78 6.31 0.81 (0.51) 9.13 1.29 18,365 0.81+ 6.08+ 1.05+ $(0.25) $ 9.68 4.09% $62,434 1.06%+ 5.52%+ 1.14%+ (0.56) 9.55 10.88 62,617 1.03 6.06 1.06 (0.47) 9.15 1.34 45,207 1.06+ 5.83+ 1.30+ (0.08) 9.50 0.66 61,412 1.09+ 4.90+ 1.12+ (0.64) 9.52 4.89 63,404 0.90 5.14 0.90 (0.54) 9.69 7.40 41,875 0.90 5.50 1.21 (0.58) 9.54 3.92 22,937 0.75 5.45 2.26 $(0.22) $ 9.64 3.74% $ 3,455 1.81%+ 4.77%+ 1.89%+ (0.51) 9.51 9.99 1,290 1.78 5.31 1.81 (0.25) 9.13 1.33 256 1.81+ 5.08+ 2.05+ $(0.21) $10.64 3.71% $ 1,130 1.81%+ 4.77%+ 1.89%+ (0.41) 10.47 17.06 797 1.78 5.31 1.81 (0.35) 9.32 1.18 15 1.81+ 5.08+ 2.05+ (0.08) 9.56 0.47 469 1.57+ 4.42+ 1.84+ (0.59) 9.59 4.76 495 1.39 4.67 1.65 (0.45) 9.72 6.80 513 1.39 4.99 1.73 (0.37) 9.54 3.73 332 1.43+ 5.41+ 2.71+
SEE NOTES TO FINANCIAL STATEMENTS. 47 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 -------------------------------------------------------------------------------------------- BOND PRIMARY A SHARES Six months ended 9/30/2001# (unaudited)............ $ 9.78 $0.30 $ 0.10 $ 0.40 $(0.30) $ 0.00 Year ended 3/31/2001..... 9.37 0.62 0.41 1.03 (0.62) 0.00 Year ended 3/31/2000..... 9.93 0.59 (0.52) 0.07 (0.59) (0.04) Year ended 3/31/1999..... 10.03 0.59 (0.04) 0.55 (0.59) (0.06) Year ended 3/31/1998..... 9.62 0.58 0.41 0.99 (0.58) -- Year ended 3/31/1997#.... 9.93 0.58 (0.20) 0.38 (0.58) (0.11) INVESTOR A SHARES Six months ended 9/30/2001# (unaudited)............ $ 9.78 $0.28 $ 0.10 $ 0.38 $(0.28) $ 0.00 Year ended 3/31/2001..... 9.37 0.60 0.41 1.01 (0.60) 0.00 Year ended 3/31/2000..... 9.93 0.57 (0.52) 0.05 (0.57) (0.04) Year ended 3/31/1999..... 10.03 0.57 (0.04) 0.53 (0.57) (0.06) Year ended 3/31/1998..... 9.62 0.56 0.41 0.97 (0.56) -- Year ended 3/31/1997#.... 9.93 0.56 (0.20) 0.36 (0.56) (0.11) INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)............ $ 9.78 $0.25 $ 0.10 $ 0.35 $(0.25) $ 0.00 Year ended 3/31/2001..... 9.37 0.52 0.41 0.93 (0.52) 0.00 Year ended 3/31/2000..... 9.93 0.50 (0.52) (0.02) (0.50) (0.04) Year ended 3/31/1999..... 10.03 0.51 (0.04) 0.47 (0.51) (0.06) Year ended 3/31/1998..... 9.62 0.51 0.41 0.92 (0.51) -- Year ended 3/31/1997#.... 9.93 0.52 (0.20) 0.32 (0.52) (0.11) INVESTOR C SHARES Six months ended 9/30/2001# (unaudited)............ $ 9.78 $0.25 $ 0.10 $ 0.35 $(0.25) $ 0.00 Year ended 3/31/2001..... 9.37 0.52 0.41 0.93 (0.52) 0.00 Year ended 3/31/2000..... 9.93 0.48 (0.52) (0.04) (0.48) (0.04) Year ended 3/31/1999..... 10.03 0.51 (0.04) 0.47 (0.51) (0.06) Year ended 3/31/1998..... 9.62 0.52 0.41 0.93 (0.52) -- Year ended 3/31/1997#.... 9.93 0.53 (0.20) 0.33 (0.53) (0.11) DISTRIBUTIONS FROM CAPITAL ------------- BOND PRIMARY A SHARES Six months ended 9/30/2001# (unaudited)............ $ 0.00 Year ended 3/31/2001..... 0.00 Year ended 3/31/2000..... -- Year ended 3/31/1999..... -- Year ended 3/31/1998..... -- Year ended 3/31/1997#.... (0.00)## INVESTOR A SHARES Six months ended 9/30/2001# (unaudited)............ $ 0.00 Year ended 3/31/2001..... 0.00 Year ended 3/31/2000..... -- Year ended 3/31/1999..... -- Year ended 3/31/1998..... -- Year ended 3/31/1997#.... (0.00)## INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)............ $ 0.00 Year ended 3/31/2001..... 0.00 Year ended 3/31/2000..... -- Year ended 3/31/1999..... -- Year ended 3/31/1998..... -- Year ended 3/31/1997#.... (0.00)## INVESTOR C SHARES Six months ended 9/30/2001# (unaudited)............ $ 0.00 Year ended 3/31/2001..... 0.00 Year ended 3/31/2000..... -- Year ended 3/31/1999..... -- Year ended 3/31/1998..... -- Year ended 3/31/1997#.... (0.00)##
--------------- + 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. # Per share net investment income has been calculated using the monthly average shares method. ## Amount represents less than $0.01. (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. 48 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 TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------------ $(0.30) $ 9.88 4.12% $2,406,640 0.67%+(a)(b) 6.08%+ 146% 0.67%+(a) (0.62) 9.78 11.39 2,333,703 0.67(a) 6.53 120 0.67(a) (0.63) 9.37 0.97 1,793,913 0.67 6.20 63 0.69 (0.65) 9.93 5.61 1,798,155 0.68(a) 5.86 107 0.78(a) (0.58) 10.03 10.53 1,681,990 0.72(a)(b) 5.86 244 0.83(a) (0.69) 9.62 3.90 947,277 0.71(a) 5.98 368 0.81(a) $(0.28) $ 9.88 3.99% $ 62,283 0.92%+(a)(b) 5.83%+ 146% 0.92%+(a) (0.60) 9.78 11.11 27,220 0.92(a) 6.28 120 0.92(a) (0.61) 9.37 0.74 23,420 0.90 5.97 63 0.94 (0.63) 9.93 5.40 32,119 0.88(a) 5.66 107 1.03(a) (0.56) 10.03 10.30 26,054 0.92(a)(b) 5.66 244 1.03(a) (0.67) 9.62 3.70 6,345 0.91(a) 5.78 368 1.01(a) $(0.25) $ 9.88 3.60% $ 13,227 1.67%+(a)(b) 5.08%+ 146% 1.67%+(a) (0.52) 9.78 3.60 6,994 1.67(a) 5.53 120 1.67(a) (0.54) 9.37 0.05 5,637 1.59 5.28 63 1.69 (0.57) 9.93 4.76 5,440 1.48(a) 5.06 107 1.78(a) (0.51) 10.03 9.73 2,662 1.47(a)(b) 5.11 244 1.58(a) (0.63) 9.62 3.23 2,109 1.36(a) 5.33 368 1.46(a) $(0.25) $ 9.88 3.60% $ 1,675 1.67%+(a)(b) 5.08%+ 146% 1.67%+(a) (0.52) 9.78 10.28 1,321 1.67(a) 5.53 120 1.67(a) (0.52) 9.37 (0.24) 934 1.67 5.20 63 1.69 (0.57) 9.93 4.90 1,137 1.40(a) 5.14 107 1.78(a) (0.52) 10.03 9.87 943 1.42(a)(b) 5.16 244 1.53(a) (0.64) 9.62 3.38 1,068 1.21(a) 5.48 368 1.31(a)
SEE NOTES TO FINANCIAL STATEMENTS. 49 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 ----------------------------------------------------------------------------------------- STRATEGIC INCOME PRIMARY A SHARES Six months ended 9/30/2001# (unaudited)........................ $9.89 $0.29 $(0.13) $ 0.16 $(0.29) $ -- Year ended 3/31/2001#................ 9.53 0.66 0.35 1.01 (0.65) -- Year ended 3/31/2000................. 10.31 0.68 (0.78) (0.10) (0.68) (0.00)## Year ended 3/31/1999#................ 10.55 0.66 (0.14) 0.52 (0.66) (0.10) Year ended 3/31/1998................. 10.11 0.65 0.44 1.09 (0.65) -- Year ended 3/31/1997#................ 10.42 0.69 (0.18) 0.51 (0.69) (0.13) INVESTOR A SHARES Six months ended 9/30/2001# (unaudited)........................ $9.88 $0.28 $(0.13) $ 0.15 $(0.28) $ -- Year ended 3/31/2001#................ 9.52 0.63 0.36 0.99 (0.63) -- Year ended 3/31/2000................. 10.31 0.65 (0.79) (0.14) (0.65) (0.00)## Year ended 3/31/1999#................ 10.55 0.63 (0.14) 0.49 (0.63) (0.10) Year ended 3/31/1998................. 10.11 0.63 0.44 1.07 (0.63) -- Year ended 3/31/1997#................ 10.42 0.66 (0.18) 0.48 (0.66) (0.13) INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)........................ $9.89 $0.24 $(0.13) $ 0.11 $(0.24) $ -- Year ended 3/31/2001#................ 9.52 0.56 0.37 0.93 (0.56) -- Year ended 3/31/2000................. 10.31 0.59 (0.79) (0.20) (0.59) (0.00)## Year ended 3/31/1999#................ 10.55 0.57 (0.14) 0.43 (0.57) (0.10) Year ended 3/31/1998................. 10.11 0.57 0.44 1.01 (0.57) -- Year ended 3/31/1997#................ 10.42 0.61 (0.18) 0.43 (0.61) (0.13) INVESTOR C SHARES Six months ended 9/30/2001# (unaudited)........................ $9.88 $0.24 $(0.13) $ 0.11 $(0.24) $ -- Year ended 3/31/2001# 9.52 0.56 0.36 0.92 (0.56) -- Year ended 3/31/2000................. 10.31 0.58 (0.79) (0.21) (0.58) (0.00)## Year ended 3/31/1999#................ 10.55 0.57 (0.14) 0.43 (0.57) (0.10) Year ended 3/31/1998................. 10.11 0.58 0.44 1.02 (0.58) -- Year ended 3/31/1997#................ 10.42 0.63 (0.18) 0.45 (0.63) (0.13)
--------------- + 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. # 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 expenses ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 50 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 TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------------ $(0.29) $ 9.76 1.65% $149,767 0.80%+(a) 5.90%+ 113% 0.90%+(a) (0.65) 9.89 11.06 177,877 0.72 6.76 238 0.84 (0.68) 9.53 (0.95) 118,458 0.71(a) 6.80 107 0.90(a) (0.76) 10.31 5.00 317,937 0.70(a) 6.27 94 0.80(a) (0.65) 10.55 11.07 263,840 0.73(a) 6.27 203 0.83(a) (0.82) 10.11 4.97 152,070 0.75(a) 6.73 278 0.85(a) $(0.28) $ 9.75 1.52% $ 26,752 1.05%+(a) 5.65%+ 113% 1.15%+(a) (0.63) 9.88 10.80 29,102 0.97 6.51 238 1.09 (0.65) 9.52 (1.30) 30,870 0.96(a) 6.55 107 1.15(a) (0.73) 10.31 4.74 12,954 0.95(a) 6.02 94 1.05(a) (0.63) 10.55 10.80 11,946 0.98(a) 6.02 203 1.08(a) (0.79) 10.11 4.71 11,662 1.00(a) 6.48 278 1.10(a) $(0.24) $ 9.76 1.14% $ 47,548 1.80%+(a) 4.90%+ 113% 1.90%+(a) (0.56) 9.89 10.08 50,251 1.72 5.76 238 1.84 (0.59) 9.52 (1.98) 55,946 1.65(a) 5.86 107 1.90(a) (0.67) 10.31 4.11 67,651 1.55(a) 5.42 94 1.80(a) (0.57) 10.55 10.18 65,248 1.55(a) 5.45 203 1.65(a) (0.74) 10.11 4.18 70,631 1.50(a) 5.98 278 1.60(a) $(0.24) $ 9.75 1.14% $ 1,643 1.80%+(a) 4.90%+ 113% 1.90%+(a) (0.56) 9.88 9.98 1,527 1.72 5.76 238 1.84 (0.58) 9.52 (2.04) 1,202 1.71(a) 5.80 107 1.90(a) (0.67) 10.31 4.09 1,474 1.56(a) 5.41 94 1.80(a) (0.58) 10.55 10.27 2,090 1.46(a) 5.54 203 1.56(a) (0.76) 10.11 4.44 3,343 1.25(a) 6.23 278 1.35(a)
SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
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 PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ----------------------------------------------------------------------------------------- HIGH YIELD BOND PRIMARY A SHARES Six months ended 9/30/2001# (unaudited)....................... $ 9.27 $0.61 $(0.88) $(0.27) $(0.60) Year ended 3/31/2001#............... 9.90 0.96 (0.54) 0.42 (1.00) Period ended 3/31/2000*#............ 10.00 0.09 (0.11) (0.02) (0.08) INVESTOR A SHARES Six months ended 9/30/2001# (unaudited)....................... $ 9.22 $0.57 $(0.88) $(0.31) $(0.56) Year ended 3/31/2001#............... 9.88 0.96 (0.58) 0.38 (0.99) Period ended 3/31/2000*#............ 10.00 0.08 (0.12) (0.04) (0.08) INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)....................... $ 9.21 $0.52 $(0.87) $(0.35) $(0.51) Year ended 3/31/2001#............... 9.88 0.92 (0.62) 0.30 (0.93) Period ended 3/31/2000**#........... 10.00 0.07 (0.12) (0.05) (0.07) INVESTOR C SHARES Six months ended 9/30/2001# (unaudited)....................... $ 9.19 $0.52 $(0.88) $(0.36) $(0.51) Year ended 3/31/2001#............... 9.87 0.90 (0.61) 0.29 (0.93) Period ended 3/31/2000***#.......... 10.02 0.04 (0.12) (0.08) (0.07)
--------------- + 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. * High Yield Bond Primary A and Investor A Shares commenced operations on February 14, 2000. ** High Yield Bond Investor B Shares commenced operations on February 17, 2000. *** High Yield Bond Investor C Shares commenced operations on March 8, 2000. # Per share net investment income has been calculated using the monthly average shares method. SEE NOTES TO FINANCIAL STATEMENTS. 52 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF DISTRIBUTIONS IN NET ASSETS OPERATING NET INVESTMENT OPERATING EXCESS OF NET NET ASSET END OF EXPENSES INCOME/(LOSS) EXPENSES TO INVESTMENT VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE AVERAGE INCOME END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS --------------------------------------------------------------------------------------------------------- $ -- $8.40 (4.35)% $99,406 0.93%+ 11.50%+ 1.03%+ (0.05) 9.27 4.51 61,181 0.93 10.97 1.45 -- 9.90 (0.12) 9,394 0.93+ 7.03+ 12.66+ $ -- $8.35 (4.51)% $14,218 1.18%+ 11.25%+ 1.28%+ (0.05) 9.22 3.99 8,344 1.18 10.72 1.70 -- 9.88 (0.33) 371 1.18+ 6.78+ 12.91+ $ -- $8.35 (4.74)% $35,670 1.93%+ 10.50%+ 2.03%+ (0.04) 9.21 3.29 22,106 1.93 9.97 2.45 -- 9.88 (0.47) 3,426 1.93+ 6.03+ 13.66+ $ -- $8.32 (4.86)% $ 5,027 1.93%+ 10.50%+ 2.03%+ (0.04) 9.19 3.20 1,891 1.93 9.97 2.45 -- 9.87 (0.76) 59 1.93+ 6.03+ 13.66+
SEE NOTES TO FINANCIAL STATEMENTS. 53 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) Nations Fund Trust (the "Trust"), Nations Reserves ("Reserves") 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 September 30, 2001, the Trust offered thirty-three separate portfolios, Reserves offered thirteen separate portfolios and Funds Trust offered fifteen separate portfolios. These financial statements pertain only to the following U.S. government and corporate bond portfolios of the Trust, Reserves and Funds Trust: Short-Term Income Fund, Short-Intermediate Government Fund, Government Securities Fund, Intermediate Bond Fund, Bond Fund, Strategic Income Fund and High Yield Bond Fund (each a "Fund" and collectively, the "Funds"). Financial statements for the other portfolios of the Trust, Reserves and Funds Trust are presented under separate cover. The Funds currently offer four classes of shares: Primary A Shares, Investor A Shares, Investor B Shares and Investor C Shares. In addition, Short-Intermediate Government 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. Intermediate Bond Fund and High Yield Bond Fund (the "Feeder Funds") seek to achieve their investment objectives by investing substantially all of their assets in Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio, respectively (the "Master Portfolios"), each a series of Nations Master Investment Trust (the "Master Trust"), another open-end management investment company in the Nations Funds family. The Master Portfolios each have the same investment objective as that of its corresponding Feeder Fund. The values of the Feeder Funds' investments in the respective Master Portfolios included in the Statements of net assets reflect the Feeder Funds' proportionate beneficial interests in the net assets of the respective Master Portfolios (84.8% for Intermediate Bond Master Portfolio and 94.9% for High Yield Bond Master Portfolio at September 30, 2001). The financial statements of the Master Portfolios, including their schedules of investments, are included elsewhere within this report and should be read in conjunction with the Feeder Funds' financial statements. Other funds not registered under the 1940 Act managed by Banc of America Advisors, LLC ("BA Advisors"), whose financial statements are not presented here, also invest in the Master Portfolios. 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 are generally valued using prices provided by a pricing service or based upon broker-dealer quotations. Certain prices provided by broker-dealers or the pricing service may be based on a matrix pricing system, which considers such factors as security prices, yields and maturities. Certain securities may be valued based upon quotes provided by one or more principal market makers. 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. Investments in other Nations Funds are valued at their net asset value determined as of the close of the New York Stock Exchange on the valuation date. The valuation of each Feeder Fund's investment in its corresponding Master Portfolio is based on the reported net asset value of that Master Portfolio. The Master Portfolios use valuation policies consistent with those described above. Futures contracts: The Short-Term Income, Short-Intermediate Government, Government Securities, Intermediate Bond, Bond and Strategic Income 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 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. 54 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, 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 and write call and put options on non-U.S. stock index and interest rate futures contracts. A Fund may use such options on futures contracts in connection with its hedging strategies in lieu of purchasing and writing options directly on the underlying securities or stock indices or purchasing and selling the underlying futures, and to seek to enhance return. 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. 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. 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. Foreign currency exchanges: The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are exchanged into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are exchanged on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received. The effects of changes in foreign currency exchange rates on securities are not separately identified in the Statements of operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on securities. Forward foreign currency transactions: Generally, each Fund may enter into forward currency exchange contracts only under two circumstances: (i) when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency, to "lock in" the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when the investment adviser or sub-adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar. Forward foreign currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed or offset with the same counterparty, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset. 55 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Forward foreign currency contracts will be used primarily to protect the Funds from adverse currency movements and will generally not be entered into for terms greater than one year. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Fund's investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of net assets. In addition, the Funds could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. Interest rate swap contracts: Certain Funds may from time to time enter into interest rate swap contracts. The counterparty to an interest rate swap contract will typically be a bank, investment banking firm or broker-dealer. During the term of the outstanding interest rate swap contract, changes in the underlying value of the interest rate swap are recorded as unrealized gains or losses. Net semi-annual interest payments to be received or paid are accrued daily and recorded in the Statement of operations as an adjustment to interest income. If there is a default by the counterparty to an interest rate swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that interest rate swap contract counterparties will be able to meet their obligations pursuant to interest rate swap contracts or that, in the event of default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to interest rate swap contracts. The creditworthiness of interest rate swap contract counterparties is closely monitored in order to minimize this risk. 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. The Feeder Funds record their share of the investment income and realized and unrealized gains and losses reported by the Master Portfolios on a daily basis. The investment income and realized and unrealized gains and losses are allocated daily to investors in the Master Portfolios based upon the relative value of their investments in the Master Portfolios. Effective April 1, 2001, the Funds have adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies which requires the Funds to classify gains and losses realized on principal paydowns received on mortgage-backed securities, previously included in realized gain/loss, as part of interest income. The adoption of this accounting principle has no effect on the Funds' net asset value but changed the classification between interest income and realized gain/loss on the Statement of operations. The statement of changes in net assets and financial highlights for prior periods have not been restated to reflect this change. The impact of the adoption of this principle is not material to the financial statements. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Fund enters into such transactions, it instructs its custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments. Stripped mortgage-backed securities are derivative multi-class mortgage securities structured so that one class receives most, if not all, of the principal from the underlying mortgage assets, while the other class receives most, if not all, of the interest and the remainder of the principal. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to fully recoup its initial investment in an interest-only security. The fair market value of these securities is unusually volatile in response to changes in interest rates. Dividends and distributions to shareholders: It is the policy of each Fund (except Intermediate Bond and High Yield Bond) to declare dividends from net investment income daily and to pay such dividends monthly. Intermediate Bond and High Yield Bond Funds declare 56 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) and pay dividends monthly. Each Fund will distribute net realized capital gains (including net short-term capital gains) 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. 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, Reserves 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 Feeder Funds record their share of the expenses reported by the Master Portfolios on a daily basis. The expenses are allocated daily to investors in the Master Portfolios based upon the relative value of the Feeder Funds' investments in the Master Portfolios. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Each of the Trust and Funds Trust has entered into an investment advisory agreement (the "Investment Advisory Agreements") with BA Advisors, 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 as a Delaware corporation, pursuant to which BA Advisors provides investment advisory services to the Funds. Under the terms of the Investment Advisory Agreements, BA Advisors is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Fund:
ANNUAL RATE ------ Short-Term Income, Short-Intermediate Government.................................. 0.30% Bond.......................................... 0.40% Strategic Income.............................. 0.50%
FEES ON NET FEES ON NET FEES ON NET ASSETS UP TO ASSETS BETWEEN ASSETS $200 $200 AND $250 EXCEEDING MILLION MILLION $250 MILLION -------------------------------------------------------------------- Government Securities......... 0.50% 0.45% 0.40%
The Feeder Funds indirectly pay for investment advisory services through their investments in their corresponding Master Portfolios (see Note 2 of Notes to financial statements of the Master Portfolios). Each of the Trust and Funds Trust has entered into a sub-advisory agreement with BA Advisors and Banc of America Capital Management, LLC ("BACAP"), a wholly-owned subsidiary of Bank of America, pursuant to which BACAP is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.15% of each Fund's average daily net assets. The Feeder Funds indirectly pay for sub-advisory services through their investments in their corresponding Master Portfolios (See Note 2 of Notes to financial statements of the Master Portfolios). Stephens Inc. ("Stephens") and BA Advisors serve as co-administrators of the Trust, Reserves and Funds Trust. Under the co-administration agreements, Stephens and BA Advisors are currently entitled to receive a combined fee, computed daily and paid monthly, at the maximum annual rate of 0.22% of the average daily net assets of all Funds except for Intermediate Bond Fund, which pays a monthly fee at the maximum annual rate of 0.17% of its average daily net assets and High Yield Bond Fund, which pays a monthly fee at the maximum annual rate of 0.18% of its average daily net assets. For the period beginning August 1, 2001 and until July 31, 2002, Stephens has agreed to waive 0.05% of its co- administration fees for Government Securities Fund. The Bank of New York ("BNY") serves as sub-administrator of the Trust, Reserves and Funds Trust pursuant to agreements with BA Advisors. For the six months ended September 30, 2001, Stephens and BA Advisors earned 0.08% and 0.10%, respectively, of the Funds' average daily net assets for their co-administration services. BA Advisors and/or the sub-advisers and Stephens may, from time to time, reduce their fees payable by each Fund. Effective August 1, 2001 and until July 31, 2002, BA Advisors has agreed to waive its advisory fees for the 57 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Funds set forth below (as a percentage of the Funds' net assets): Short-Term Income............................. 0.10% Government Securities......................... 0.10%* Strategic Income.............................. 0.10%
--------------- * This percentage could slightly fluctuate, as a result of the Government Securities tiered advisory fee. In addition, effective August 1, 2001 and until July 31, 2002, BA Advisors and/or the sub-advisers and Stephens have agreed to reimburse expenses and/or waive their fees to the extent that the 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 ------------------------------------------------------ Intermediate Bond Fund........................ 0.81% High Yield Bond Fund.......................... 0.93%
BNY serves as the custodian of the Trust's, Reserves' and Funds Trust's assets. For the six months ended September 30, 2001, expenses of the Funds were reduced by $9,915 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 six months ended September 30, 2001, Bank of America earned approximately $16,396 for providing such services. Stephens also serves as distributor of the Funds' shares. For the six months ended September 30, 2001, the Funds were informed that the distributor received $184,531 in front-end sales charges for sales of Investor A Shares and $147,949 in contingent deferred sales charges from redemption of shares which were subject to such charges. A substantial portion of these fees is paid to affiliates of Bank of America. No officer, director or employee of Bank of America, BA Advisors or BACAP, or any affiliate thereof, receives any compensation from the Trust, Reserves and Funds Trust for serving as Trustee or Officer of the Trust, Reserves and Funds Trust. The Trust's, Reserves' 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 the Nations Cash Reserves, a portfolio of Reserves, pursuant to an exemptive order received from the Securities and Exchange Commission. The income earned by each Fund from such investments is included in its Statement of operations as "Dividend income from affiliated funds". 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, Reserves and Funds Trust each has adopted shareholder servicing plans and distribution plans for the Investor B and Investor C Shares of each Fund and a combined distribution and shareholder servicing plan for the Investor A Shares of each Fund. In addition, the Trust has adopted a shareholder administration plan for Primary B Shares of Short-Intermediate Government Fund. The shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. The administration plan permits the Short-Intermediate Government Fund to compensate institutions for shareholder administration services provided to their customers that own Primary B Shares. 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 in the sale of the applicable 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/Directors, and are charged as expenses of each Fund directly to the applicable share class. A substantial portion of the expenses incurred 58 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) pursuant to these plans is paid to affiliates of Bank of America and BA Advisors. At September 30, 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: Short-Intermediate Government.... 0.50% 0.60% Investor A Combined Distribution and Shareholder Servicing Plan... 0.25%* 0.25% Investor B and Investor C Shareholder Servicing Plans...... 0.25% 0.25% Investor B and Investor C Distribution Plans............... 0.75% 0.75%
--------------- * Short-Term Income Fund pays its shareholder servicing fees under a separate shareholder servicing plan. 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 six months ended September 30, 2001 were as follows:
PURCHASES SALES (000) (000) ----------------------- Short-Term Income............. $ 69,796 $ 11,587 Short-Intermediate Government.................. 5,253 21,641 Government Securities......... 18,039 31,193 Bond.......................... 770,941 1,236,303 Strategic Income.............. 159,165 236,946
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2001 were as follows:
PURCHASES SALES (000) (000) ------------------------ Short-Term Income........... $ 167,111 $ 123,677 Short-Intermediate Government................ 1,000,688 908,427 Government Securities....... 652,366 597,831 Bond........................ 2,637,438 2,521,340 Strategic Income............ 134,766 139,166
5. FUTURES CONTRACTS At September 30, 2001, the following Funds had futures contracts open:
VALUE OF CONTRACT MARKET UNREALIZED WHEN VALUE OF APPRECIATION/ NUMBER OF OPENED CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) --------------------------------------------------------------------------------------------------------------- SHORT-TERM INCOME FUND: Antenna Hungaria Share Futures (long position) expiring December 2001(a).......................................... 370 $ 76,728 $ 77,798 $1,070 ====== GOVERNMENT SECURITIES FUND: Abbey National plc Universal Stock Share Futures (long position) expiring December 2001(a)....................... 90 9,533 9,737 204 Antenna Hungaria Share Futures (long position) expiring December 2001(a).......................................... 95 19,932 19,975 43 ------ Total net unrealized appreciation........................... $ 247 ====== SHORT-INTERMEDIATE GOVERNMENT FUND: U.S. 20 year Treasury Bond Futures (short position) expiring December 2001(a).......................................... (120) (12,511) (12,660) $ (149) ====== BOND FUND: Antenna Hungaria Share Futures (long position) expiring December 2001(a).......................................... 470 98,830 98,825 (5) U.S. 20 year Treasury Bond Futures (long position) expiring December 2001(a).......................................... 1,005 104,787 106,027 1,240 ------ Total net unrealized appreciation........................... $1,235 ====== STRATEGIC INCOME FUND: Abbey National plc Universal Stock Share Futures (short position) expiring December 2001(a)....................... (22) $ (2,319) $ (2,380) $ (61) United Kingdom 10 year Gilt Futures (short position) expiring December 2001(a)................................. (15) (2,540) (2,530) 10 ------ Total net unrealized appreciation........................... $ (51) ======
--------------- (a) Securities have been segregated as collateral for the Fund's open futures contracts. 59 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 6. WRITTEN OPTIONS Written options for the Bond Fund for the six months ended September 30, 2001 aggregated the following:
NUMBER OF PREMIUM SUMMARY OF WRITTEN OPTIONS CONTRACTS (000) ----------------------------------------------------- Outstanding at March 31, 2001............... 2 $(143) Contracts opened............. 0 0 Contracts closed............. 2 143 -- ----- Outstanding at September 30, 2001........... 0 $ 0 == =====
7. FORWARD FOREIGN CURRENCY CONTRACTS At September 30, 2001, the following Funds had forward foreign currency contracts outstanding:
VALUE OF VALUE OF MARKET UNREALIZED CONTRACT CONTRACT VALUE OF APPRECIATION/ WHEN OPENED WHEN OPENED CONTRACT (DEPRECIATION) LOCAL (LOCAL CURRENCY) (US DOLLARS) (US DOLLARS) (US DOLLARS) DESCRIPTION CURRENCY (000) (000) (000) (000) --------------------------------------------------------------------------------------------------------------------------------- BOND: CONTRACTS TO SELL: Expiring June 6, 2002.................. Hong Kong Dollar (194,985) $(25,000) $(25,007) $ (7) Expiring December 22, 2001............. Japanese Yen (2,338,600) (20,000) (19,749) 251 Expiring December 22, 2001............. Japanese Yen (2,923,913) (25,000) (24,691) 309 ----- Total net unrealized appreciation...... $ 553 ===== STRATEGIC INCOME: CONTRACTS TO BUY: Expiring October 3, 2001............... Australian Dollar 740 383 365 (18) Expiring October 1, 2001............... British Pound Sterling 273 388 402 14 Expiring October 2, 2001............... Euro 500 448 455 7 Expiring October 3, 2001............... Euro 1,300 1,166 1,184 18 Expiring October 25, 2001.............. Euro 1,826 1,637 1,662 25 Expiring November 7, 2001.............. Euro 1,297 1,162 1,179 17 Expiring June 10, 2002................. Hong Kong Dollar 5,600 717 718 1 ----- Total net unrealized appreciation...... $ 64 ===== CONTRACTS TO SELL: Expiring October 3, 2001............... Australian Dollar (740) $ (374) $ (365) $ 9 Expiring October 2, 2001............... Euro (500) (437) (455) (18) Expiring October 3, 2001............... Euro (1,300) (1,135) (1,184) (49) Expiring October 25, 2001.............. Euro (1,826) (1,590) (1,662) (72) Expiring November 7, 2001.............. Euro (1,297) (1,142) (1,180) (38) Expiring October 1, 2001............... British Pound Sterling (135) (191) (199) (8) Expiring October 1, 2001............... British Pound Sterling (138) (194) (202) (8) Expiring November 14, 2001............. British Pound Sterling (112) (163) (164) (1) Expiring June 10, 2002................. Hong Kong Dollar (5,600) (718) (718) -- ----- Net unrealized depreciation......................... $(185) ----- Total net unrealized depreciation...... $(121) =====
60 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 8. SWAP CONTRACTS At September 30, 2001, the following Funds had swap contracts outstanding:
FIXED RATE/ FLOATING RATE/ TOTAL RETURN TOTAL RETURN NOTIONAL PAYMENTS PAYMENTS UNREALIZED AMOUNT MADE BY RECEIVED BY APPRECIATION DESCRIPTION (000) THE FUND THE FUND (000) ------------------------------------------------------------------------------------------------------------------------ SHORT-INTERMEDIATE GOVERNMENT FUND: Contract with Lehman Brothers, effective April 26, 2001, expiring May 01, 2006(a).................................. $ 14,000 5.473 3-month LIBOR $ 839 Contract with Lehman Brothers, effective April 26, 2001, expiring May 01, 2004(a).................................. 18,000 5.074 3-month LIBOR 593 ------ Total net unrealized appreciation........................... $1,432 ====== GOVERNMENT SECURITIES FUND: Contract with Lehman Brothers, effective April 26, 2001, expiring May 01, 2006(a).................................. $ 6,500 5.473 3-month LIBOR $ 276 Contract with Lehman Brothers, effective April 26, 2001, expiring May 01, 2004(a).................................. 13,200 5.074 3-month LIBOR 615 ------ Total net unrealized appreciation........................... $ 891 ====== BOND FUND: Contract with Salomon Smith Barney Inc., effective August 10, 2001, expiring December 31, 2001(a)................... $118,500 Salomon WGBI Salomon U.S. Index Treasury Index $1,708 Contract with Morgan Stanley Dean Witter and Company, effective July 31, 2001, expiring December 31, 2001(a).... 50,000 Lehman Brothers 1-month LIBOR CMBS "Aaa" less 25 bps Index 761 ------ Total net unrealized appreciation........................... $2,469 ====== STRATEGIC INCOME FUND: Contract with Salomon Smith Barney Inc., effective September 28, 2001, expiring December 31, 2001(a)................... $ 73,600 Salomon WGBI Salomon U.S. Index Treasury Index $ 188 ======
--------------- (a) Fair valued 9. SHARES OF BENEFICIAL INTEREST/CAPITAL STOCK As of September 30, 2001, an unlimited number of shares of beneficial interest without par value were authorized for each of the Trust, Reserves and Funds Trust. The Trust's, Reserves' 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. 10. LINES OF CREDIT The Trust, Reserves 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 September 30, 2001, there were no loans outstanding under this Agreement. For the six months ended 61 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) September 30, 2001, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING INTEREST FUND (000) RATE --------------------------------------------------------- Bond............................ $317 5.17%
11. 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 September 30, 2001, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) ------------------------------------------------------------ Short-Term Income....... $ 77,329 $ 80,131 Short-Intermediate Government............ 198,966 204,399 Government Securities... 30,758 31,629 Bond.................... 154,721 160,246 Strategic Income........ 6,480 6,637
12. 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:
2002 2003 2005 2007 2008 2009 FUND (000) (000) (000) (000) (000) (000) ----------------------------------------------------------------------------------------------------------------- Short-Term Income..................................... $4,900 $ 651 $ 122 -- $ 2,435 $3,076 Short-Intermediate Government......................... -- -- 5,377 -- 13,389 -- Government Securities................................. 5,585 5,914 2,303 $ 86 9,296 -- Intermediate Bond..................................... -- -- -- 1,126 504 52 Bond.................................................. -- -- -- -- 10,756 9,545 Strategic Income...................................... 849 -- -- -- 11,355 3,544 High Yield............................................ -- -- -- -- -- 41
The capital loss carryforward for the Government Securities Fund is subject to certain limitations. At March 31, 2001, the following Portfolios utilized capital losses during the period as follows:
CAPITAL LOSSES UTILIZED PORTFOLIO (000) ------------------------------------------------------------------------ Short-Intermediate Government.......................... $2,537 Government Securities.................................. 1,553
62 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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) --------------------------------------------------------- Short-Term Income........................ $ 639 Short-Intermediate Government............ -- Government Securities.................... -- Intermediate Bond........................ 283 Bond..................................... 10,515 Strategic Income......................... 3,407 High Yield Bond.......................... 2
13. REORGANIZATIONS CONVERSION OF COMMON TRUST FUNDS On June 16, 2000, certain Funds, as listed below (each an "Acquiring Fund"), acquired the assets of certain common trust funds, managed by Bank of America, also listed below (each an "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/(depreciation) as of the conversion date were as follows:
ACQUIRED FUND TOTAL NET ASSETS UNREALIZED TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND APPRECIATION/ OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION (DEPRECIATION) ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) ------------------------------------------------------------------------------------------------------------------------------- Short-Intermediate Government Boatmen's Trust Company Intermediate Government Fund $ 21,135 $ 537,543 $ 558,678 $ 135 Short-Intermediate Government Bank IV Kansas U.S. Treasury Fund 19,124 537,543 556,667 21 Government Securities Boatmen's Trust Company Taxable Bond Fund 45,638 188,006 233,644 (951) Bond Boatmen's Trust Company Intermediate Taxable Bond Fund 116,422 1,868,792 1,985,214 (818) Bond Bank IV Kansas Intermediate Bond Fund 76,191 1,868,792 1,944,983 (923) Bond BCA High Grade Income Bond Fund 219,513 1,868,792 2,088,305 (2,009)
On June 8, 2001, the Government Securities Fund (the "Acquiring Fund"), acquired the assets and assumed the liabilities of the U.S. Government Bond Fund (the "Acquired Fund"), in a tax-free reorganization in exchange for shares of the Acquiring Fund, pursuant to a plan of reorganization approved by the Acquired Fund's shareholders. The number 63 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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:
ACQUIRED TOTAL NET ASSETS FUND TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION APPRECIATION (000) (000) (000) (000) ----------------------------------------------------------------------- $73,397 $232,156 $305,553 $352
14. SUBSEQUENT EVENT On October 10, 2001, the Board of Trustees of each fund listed in the left column below (each a "Fund") approved its reorganization into a newly created successor fund that is substantially identical to the existing Fund. The principal effect of this reorganization would be to redomicile the Fund in Delaware, under a Delaware business trust structure that management believes provides greater flexibility and efficiency in certain corporate and organizational matters. Shareholders will be asked to consider and vote on an Agreement and Plan of Reorganization at special shareholder meetings that will likely be held in March 2002. If shareholders approve this plan, the reorganization is expected to occur in the second quarter of 2002. At that time, shares of each Fund would be exchanged for shares of equal value of the newly created successor fund.
FUND WILL BE REORGANIZED INTO A NEWLY CREATED SUCCESSOR TO: ------------------------------------------------------------------------------------------------ Short-Term Income Short-Term Income Short-Intermediate Government Short-Intermediate Government Intermediate Bond Intermediate Bond Bond Bond Strategic Income Strategic Income
64 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio and Nations High Yield Bond Master Portfolio Semi-annual Report SEPTEMBER 30,2001 (UNAUDITED) The following pages should be read in conjunction with Nations Intermediate Bond and Nations High Yield Bond Funds' Semi-annual Report. 65 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- ASSET-BACKED SECURITIES -- 3.0% ASSET-BACKED -- AUTO LOANS -- 2.2% $ 1,000 Americredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08...................... $ 1,039 1,844 Daimler-Benz Vehicle Trust, Series 1998-A, Class A4, 5.220% 12/22/03##.................... 1,866 800 MMCA Automobile Trust, Series 2001-1, Class A4, 5.340% 12/15/05...................... 827 -------- 3,732 -------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 0.8% 1,340 First Chicago Master Trust II, Series 1995-0, Class A, 3.718%** 02/15/04##.................. 1,342 -------- TOTAL ASSET-BACKED SECURITIES (Cost $4,988)........................ 5,074 -------- CORPORATE BONDS AND NOTES -- 42.1% AIRLINES -- 0.6% 1,000 US Airways, Inc., 8.020% 02/05/19...................... 1,031 -------- AUTOMOTIVE -- 2.1% 699 Delphi Automotive Systems Corporation, 6.125% 05/01/04...................... 704 780 Ford Motor Credit Company, 7.600% 08/01/05...................... 822 1,400 General Motors Acceptance Corporation, 6.150% 04/05/07...................... 1,389 650 Toyota Motor Credit Corporation, 5.625% 11/13/03...................... 678 -------- 3,593 -------- BEVERAGES -- 0.4% 650 Panamerican Beverages, Inc., 7.250% 07/01/09##.................... 622 -------- BROADCASTING AND CABLE -- 2.7% 1,300 A.H. Belo Corporation, 6.875% 06/01/02...................... 1,316 65 Adelphia Communications Corporation, Class A, 10.250% 06/15/11..................... 57 455 British Sky Broadcasting Group plc, 6.875% 02/23/09##.................... 427 485 Clear Channel Communications, Inc., 7.250% 09/15/03...................... 509 485 Clear Channel Communications, Inc., 7.875% 06/15/05...................... 519 645 Comcast Cable Communications, 6.750% 01/30/11##.................... 652 112 Spanish Broadcasting Systems, Inc., Class A, 9.625% 11/01/09...................... 99 890 Time Warner Inc., 8.110% 08/15/06...................... 996 -------- 4,575 --------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- BUILDING MATERIALS -- 0.2% $ 135 American Standard Inc., 7.125% 02/15/03...................... $ 133 65 Hercules Inc., 11.125% 11/15/07(+).................. 62 165 Nortek, Inc., 9.875% 06/15/11(a)................... 143 -------- 338 -------- CHEMICALS -- BASIC -- 0.2% 235 IMC Global Inc., 7.400% 11/01/02...................... 227 180 Lyondell Chemical Company, 9.875% 05/01/07...................... 163 -------- 390 -------- CHEMICALS -- SPECIALTY -- 1.8% 40 Equistar Chemicals, L.P., 9.125% 03/15/02...................... 40 720 ISP Holdings Inc., 9.750% 02/15/02...................... 709 95 ISP Holdings Inc., 9.000% 10/15/03...................... 92 220 Methanex Corporation, 7.400% 08/15/02...................... 222 172 NL Industries, Inc., 11.750% 10/15/03..................... 169 1,600 Praxair, Inc., 6.750% 03/01/03##.................... 1,668 195 Praxair, Inc., 6.500% 03/01/08...................... 202 -------- 3,102 -------- COMMERCIAL BANKING -- 2.6% 725 Bank One Corporation, 6.000% 08/01/08...................... 730 272 Capital One Bank, 6.500% 07/30/04...................... 275 700 Capital One Bank, 8.250% 06/15/05##.................... 733 655 Citigroup Inc., 6.750% 12/01/05...................... 703 600 First Union Corporation, 7.550% 08/18/05##.................... 655 700 PNC Funding Corporation, 7.000% 09/01/04...................... 749 458 U.S. Bank NA, 6.375% 08/01/11...................... 472 -------- 4,317 -------- COMPUTER SERVICES -- 0.4% 782 Comdisco, Inc., 6.000% 01/30/02(d)(e)................ 563 217 Comdisco, Inc., 7.250% 09/20/02(d)(e)................ 157 -------- 720 --------
SEE NOTES TO FINANCIAL STATEMENTS. 66 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- COMPUTERS AND OFFICE EQUIPMENT -- 0.7% $ 1,000 Compaq Computer Corporation, 7.450% 08/01/02...................... $ 1,025 135 Seagate Technology International, 12.500% 11/15/07(+)(a)............... 134 -------- 1,159 -------- CONGLOMERATES -- 0.3% 467 Waste Management, Inc., 7.375% 08/01/10...................... 494 -------- CONSUMER CREDIT AND MORTGAGES -- 0.5% 800 Countrywide Home Loans, Inc., 5.250% 06/15/04...................... 820 -------- CONSUMER SERVICES -- 0.2% 331 The Dow Chemical Company, 6.125% 02/01/11...................... 337 -------- DEPARTMENT AND DISCOUNT STORES -- 0.8% 85 Kmart Corporation, 9.375% 02/01/06...................... 80 695 Sears Roebuck Acceptance Corporation, 6.750% 08/15/11...................... 672 545 Wal-Mart Stores, Inc., 5.450% 08/01/06...................... 565 -------- 1,317 -------- DIVERSIFIED ELECTRONICS -- 0.5% 580 Arrow Electronics, Inc., 4.820%** 10/05/01.................... 580 306 DPL Inc., 6.875% 09/01/11(+)................... 310 -------- 890 -------- DIVERSIFIED MANUFACTURING -- 0.1% 70 FiberMark, Inc., 10.750% 04/15/11(+).................. 63 180 The Scotts Company, Class A, 8.625% 01/15/09...................... 176 -------- 239 -------- ELECTRIC POWER -- NON NUCLEAR -- 2.1% 245 AES Corporation, 8.750% 12/15/02...................... 240 700 American Electric Power Company, Inc., 6.125% 05/15/06...................... 724 350 Cinergy Corporation, 6.250% 09/01/04...................... 357 1,400 Consumers Energy Company, 6.200% 05/01/03##.................... 1,420 35 PSEG Energy Holdings Inc., 8.500% 06/15/11(+)................... 36 675 PSEG Power LLC, 6.875% 04/15/06(+)................... 708 70 Tiverton/Rumford Power Association, 9.000% 07/15/18(+)................... 69 -------- 3,554 -------- ELECTRIC POWER -- NUCLEAR -- 0.5% 750 Exelon Generation Company LLC, 6.950% 06/15/11(+)................... 780 --------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 0.1% $ 165 Flextronics International Ltd., 9.875% 07/01/10(a)................... $ 162 -------- ENERGY -- MISCELLANEOUS -- 0.8% 700 Nisource Finance Corporation, 7.500% 11/15/03...................... 742 600 Progress Energy, Inc., 7.100% 03/01/11...................... 638 -------- 1,380 -------- EXPLORATION AND PRODUCTION -- 0.5% 800 Pure Resources, Inc., 7.125% 06/15/11(+)................... 801 -------- FINANCE -- MISCELLANEOUS -- 5.2% 174 Anadarko Finance Company, 6.750% 05/01/11...................... 178 700 Boeing Capital Corporation, 5.650% 05/15/06##.................... 703 120 Case Credit Corporation, 6.125% 10/15/01...................... 119 35 Case Credit Corporation, 6.150% 03/01/02...................... 33 700 Caterpillar Finance Services Corporation, 5.950% 05/01/06...................... 727 650 CIT Group, Inc., 6.500% 02/07/06...................... 684 412 ERAC USA Finance Company, 6.625% 02/15/05(+)................... 422 285 ERAC USA Finance Company, 7.350% 06/15/08(+)................... 291 815 General Electric Capital Corporation, 6.800% 11/01/05...................... 880 700 Heller Financial, Inc., Class A, 6.000% 03/19/04...................... 736 700 Household Finance Corporation, 8.000% 05/09/05...................... 766 700 National Rural Utilities Cooperative Finance Corporation, 6.000% 05/15/06...................... 731 365 Pemex Project Funding Master Trust, 9.125% 10/13/10(+)................... 370 700 Prudential Funding LLC, 6.600% 05/15/08(+)................... 723 1,200 Washington Mutual, Inc., 7.500% 08/15/06...................... 1,322 -------- 8,685 -------- FOOD AND DRUG STORES -- 1.5% 650 Fred Meyer, Inc., 7.450% 03/01/08...................... 688 50 Marsh Supermarkets, Inc., 8.875% 08/01/07...................... 49 1,750 Nabisco Inc., 6.125% 02/01/33##.................... 1,797 -------- 2,534 --------
SEE NOTES TO FINANCIAL STATEMENTS. 67 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- FOOD PRODUCTS -- 2.2% $ 318 ConAgra Foods, Inc., 6.750% 09/15/11...................... $ 328 190 Fleming Companies, Inc., 10.500% 12/01/04..................... 188 996 Kellogg Company, 6.000% 04/01/06...................... 1,033 51 Pilgrim's Pride Corporation, Class B, 9.625% 09/15/11...................... 51 559 Sara Lee Corporation, 6.250% 09/15/11(a)................... 572 493 Tyson Foods, Inc., 7.250% 10/01/06(+)................... 498 215 Unilever Capital Corporation, 6.750% 11/01/03...................... 228 800 Unilever Capital Corporation, 7.125% 11/01/10...................... 878 -------- 3,776 -------- HEALTH SERVICES -- 1.3% 700 American Home Products Corporation, 6.250% 03/15/06...................... 730 135 Beckman Coulter, Inc., 7.450% 03/04/08...................... 142 300 Cardinal Health, Inc., 6.750% 02/15/11##.................... 316 45 Dynacare Inc., Class B, 10.750% 01/15/06..................... 45 255 HCA Inc., 8.750% 09/01/10...................... 274 235 Magellan Health Services, Inc., 9.000% 02/15/08...................... 219 40 Select Medical Corporation, 9.500% 06/15/09(a)................... 38 334 Wellpoint Health Networks Inc., 6.375% 06/15/06...................... 344 -------- 2,108 -------- HOUSING AND FURNISHING -- 0.3% 55 D.R. Horton, Inc., 8.000% 02/01/09...................... 50 225 Hanson Overseas B.V., 6.750% 09/15/05...................... 236 35 Sealy Mattress Company, (0.000)% due 12/15/07 10.875% beginning 12/15/02(a)........ 28 82 Standard Pacific Corporation, 8.500% 04/01/09...................... 77 100 The Ryland Group, Inc., 8.000% 08/15/06...................... 96 -------- 487 -------- INSURANCE -- 0.5% 750 American International Group, Inc., 5.850% 08/01/08(+)................... 758 170 Conseco, Inc., 8.500% 10/15/02...................... 151 -------- 909 --------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- INVESTMENT SERVICES -- 3.4% $ 509 Bear Stearns Companies, Inc., 7.800% 08/15/07...................... $ 557 485 Credit Suisse First Boston USA, 5.875% 08/01/06...................... 499 700 FleetBoston Financial Corporation, 7.250% 09/15/05...................... 759 650 Lehman Brothers Holdings Inc., 7.750% 01/15/05...................... 697 796 Merrill Lynch & Company, Inc., 6.000% 02/17/09...................... 798 1,017 Morgan Stanley Dean Witter & Company, 6.750% 04/15/11...................... 1,047 650 Principal Life Global Funding, 6.125% 03/01/06(+)................... 682 650 Wells Fargo Financial, Inc., 6.125% 02/15/06...................... 682 -------- 5,721 -------- LODGING AND RECREATION -- 0.2% 340 Harrah's Operating Company Inc., 7.125% 06/01/07(+)................... 328 -------- METALS AND MINING -- 0.3% 311 Alcoa Inc., 7.375% 08/01/10...................... 342 110 United States Steel LLC, 10.750% 08/01/08(+).................. 100 -------- 442 -------- NATURAL GAS PIPELINES -- 1.0% 650 KN Energy, Inc., 6.650% 03/01/05...................... 676 1,000 Williams Companies, Inc., 6.500% 08/01/06...................... 1,028 -------- 1,704 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.1% 140 SBA Communications Corporation, 10.250% 02/01/09(+).................. 112 -------- OIL REFINING AND MARKETING -- 0.9% 80 Ocean Energy, Inc., 8.375% 07/01/08...................... 84 750 PDV America Inc., Gtd. Sr. Notes, 7.875% 08/01/03##.................... 771 601 USX Corporation, 6.650% 02/01/06...................... 629 -------- 1,484 -------- PACKAGING AND CONTAINERS -- 0.2% 40 Container Corporation of America, 10.750% 05/01/02..................... 41 70 Container Corporation of America, 9.750% 04/01/03...................... 71 140 Riverwood International Corporation, 10.625% 08/01/07(+)(a)............... 141 -------- 253 --------
SEE NOTES TO FINANCIAL STATEMENTS. 68 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- PAPER AND FOREST PRODUCTS -- 0.7% $ 493 Abitibi-Consolidated Inc., 8.550% 08/01/10##.................... $ 521 237 International Paper Company, 8.000% 07/08/03...................... 252 170 Potlatch Corporation, 10.000% 07/15/11(+)(a)............... 172 188 Tembec Industries Inc., 8.500% 02/01/11(+)................... 188 -------- 1,133 -------- PUBLISHING AND ADVERTISING -- 0.6% 60 Advanstar Communications Inc., 12.000% 02/15/11..................... 37 54 PRIMEDIA Inc., 8.875% 05/15/11(+)................... 41 975 Viacom Inc., 6.625% 05/15/11(+)................... 1,006 -------- 1,084 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.5% 700 FedEx Corporation, 6.625% 02/12/04...................... 728 110 Teekay Shipping Corporation, 8.875% 07/15/11(+)................... 109 -------- 837 -------- REAL ESTATE -- 0.0%+ 82 Beazer Homes USA, Inc., 8.625% 05/15/11...................... 78 -------- SPECIALTY STORES -- 0.1% 170 The Pantry, Inc., 10.250% 10/15/07..................... 163 -------- TELECOMMUNICATIONS SERVICES -- 4.6% 150 American Cellular Corporation, 9.500% 10/15/09...................... 140 982 AT&T Wireless Group, 7.350% 03/01/06(+)................... 1,043 635 Cox Communications, Inc., Class A, 7.750% 11/01/10...................... 685 665 France Telecom, 7.200% 03/01/06(+)................... 704 100 Nextel Communications, Inc., Class A, 9.375% 11/15/09(a)................... 61 985 Qwest Capital Funding Inc., 7.000% 08/03/09(+)................... 978 415 Sprint Capital Corporation, 7.125% 01/30/06...................... 436 500 TELUS Corporation, 7.500% 06/01/07...................... 524 225 TELUS Corporation, 8.000% 06/01/11...................... 239 461 Verizon Communications Inc., 6.500% 09/15/11...................... 476 1,250 Vodafone Group plc, 7.625% 02/15/05...................... 1,351
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 452 WorldCom, Inc. -- WorldCom Group, 6.500% 05/15/04...................... $ 464 700 WorldCom, Inc. -- WorldCom Group, 7.500% 05/15/11...................... 706 -------- 7,807 -------- TOBACCO -- 0.4% 590 R.J. Reynolds Tobacco Holdings, Inc., 7.375% 05/15/03...................... 606 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $68,902)....................... 70,872 -------- FOREIGN BONDS AND NOTES -- 2.8% 70 AT&T Canada Inc., (0.000)% due 06/15/08 9.950% beginning 06/15/03............ 32 1,385 Banco Latinoamericano de Exportaciones, SA, Class E, 7.200% 05/28/02(+)................... 1,391 90 Compagnie Genera De Geophysique SA, 10.625% 11/15/07..................... 89 970 Corp Andina de Fomento, 8.875% 06/01/05...................... 1,081 329 Hanson Overseas B.V., 7.375% 01/15/03...................... 342 213 Kimberly-Clark de Mexico, SA de CV, Class A, 8.875% 08/01/09(+)................... 223 470 Ontario (Province of), 7.000% 08/04/05...................... 513 942 Pemex Finance Ltd., 5.720% 11/15/03##.................... 953 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $4,581)........................ 4,624 -------- MORTGAGE-BACKED SECURITIES -- 14.7% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 13.5% 1,950 Commercial Mortgage Acceptance Corporation, Series 1999-C1, Class A2, 7.030% 05/15/09##.................... 2,109 803 Criimi Mae CMBS Corporation, Series 1998-1, Class A1, 5.697% 10/20/01(+)##................. 827 500 CS First Boston Mortgage Securities Corporation, Series 1998-C2, Class A2, 6.300% 11/15/08...................... 521 1,500 DLJ Commercial Mortgage Corporation, Series 1998-CF2, Class A1B, 6.240% 11/12/31##.................... 1,567 2,250 DLJ Commercial Mortgage Corporation, Series 1999-CG2, Class A1B, 7.300% 06/10/09...................... 2,467 1,000 DLJ Commercial Mortgage Corporation, Series 2000-CF1, Class A1B, 7.620% 05/10/10...................... 1,121 1,400 Fannie Mae Whole Loan, Series 2001-W1, Class AF3, 5.690% 06/25/29...................... 1,433
SEE NOTES TO FINANCIAL STATEMENTS. 69 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- (CONTINUED) $ 1,800 First Union National Bank Commercial Mortgage, Series 1999-C4, Class A2, 7.390% 11/15/09...................... $ 1,993 300 JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2001-CIBC, Class A3, 6.260% 03/15/33...................... 309 7,583 JP Morgan Commercial Mortgage Finance Corporation, Series 1997-C4, Class X, Interest only, 6.377%** 12/26/28##.................. 369 1,300 Mortgage Capital Funding, Inc., Series 1998-MC2, Class A2, 6.423% 05/18/08##.................... 1,363 2,180 Nomura Asset Securities Corporation, Series 1998-D6, Class A1B, 6.590% 03/17/28##.................... 2,315 1,100 PNC Mortgage Acceptance Corporation, Series 2000-C1, Class A2, 7.610% 02/15/10##.................... 1,224 1,850 Salomon Brothers Mortgage Securities VII, Series 2000-C1, Class A2, 7.520% 12/18/09...................... 2,049 1,900 Salomon Brothers Mortgage Securities VII, Series 2000-C2, Class A2, 7.455% 04/18/10...................... 2,103 44,893 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest only, .453%** 09/15/27..................... 546 45,478 Vendee Mortgage Trust, Series 1998-3, Class 1, Interest only, .312%** 03/15/29..................... 436 -------- 22,752 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 0.8% 1,200 5.500% 07/15/06(a)..................... 1,261 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 0.2% 342 6.452%** 08/01/36##.................... 347 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 0.2% 298 10.000% 07/15/16 - 08/15/17............ 335 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $23,846)....................... 24,695 --------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 20.6% U.S. TREASURY NOTES -- 1.6% $ 2,000 7.250% 08/15/04(a)..................... $ 2,216 500 6.250% 02/15/07(a)..................... 553 -------- 2,769 -------- U.S. TREASURY STRIPS -- 19.0% 15,475 Interest only, 3.958%*** 05/15/06................. 12,907 7,565 Interest only, 5.001%*** 05/15/11(a).............. 4,701 15,725 Principal only, 3.566%*** 11/15/04................. 14,078 440 Principal only, 5.823%*** 11/15/21................. 139 200 Principal only, 5.763%*** 11/15/27................. 45 -------- 31,870 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $33,550)....................... 34,639 --------
SHARES (000) --------- INVESTMENT COMPANIES -- 11.3% 713 International Bond Portfolio(++)...... 7,289 11,631 Nations Cash Reserves#................ 11,631 -------- TOTAL INVESTMENT COMPANIES (Cost $18,764)...................... 18,920 -------- TOTAL INVESTMENTS (Cost $154,631*)............. 94.5% 158,824 -------- OTHER ASSETS AND LIABILITIES (NET)........................ 5.5% Cash.................................. $ 57 Receivable for investment securities sold................................ 18,160 Dividends receivable.................. 29 Interest receivable................... 1,739 Variation margin/due to broker........ (11) Collateral on securities loaned....... (8,319) Investment advisory fee payable....... (54) Administration fee payable............ (7) Payable for investment securities purchased........................... (2,263) Accrued Trustees' fees and expenses... (23) Accrued expenses and other liabilities......................... (65) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 9,243 -------- NET ASSETS..................... 100.0% $168,067 ========
SEE NOTES TO FINANCIAL STATEMENTS. 70 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED) --------------- * Federal Income Tax Information: Net unrealized appreciation of $4,193 on investment securities was comprised of gross appreciation of $5,234 and gross depreciation of $1,041 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $154,631. ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2001. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2001. (+) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. (++) Affiliated mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. + 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, LLC. A portion of this amount represents cash collateral received from securities lending activity (Note 11). The portion that represents cash collateral is $8,319. ## All or a portion of security segregated as collateral for futures contracts. (a) All or portion of security was on loan at September 30, 2001. The aggregate cost and market value of securities on loan at September 30, 2001, is $7,997 and $8,091, respectively. (d) Issue in default. (e) Issuer in bankruptcy. SEE NOTES TO FINANCIAL STATEMENTS. 71 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------ COMMON STOCKS -- 2.3% AIRLINES -- 0.4% 21,700 Delta Air Lines, Inc. ................ $ 572 ------- BROADCASTING AND CABLE -- 0.1% 12,210 Charter Communications, Inc.(!)(a).... 151 ------- HEALTH SERVICES -- 0.5% 31,010 Apria Healthcare Group Inc.(!)........ 803 ------- LODGING AND RECREATION -- 0.4% 26,545 Pinnacle Entertainment, Inc.(!)....... 158 21,800 Starwood Hotels & Resorts Worldwide Inc................................. 479 17,233 United Artists, Bank Debt............. 26 ------- 663 ------- METALS AND MINING -- 0.2% 2,883 Joy Global Inc.(!).................... 43 24,365 Placer Dome Inc. ..................... 311 ------- 354 ------- PAPER AND FOREST PRODUCTS -- 0.1% 34,100 Abitibi-Consolidated Inc. ............ 218 ------- TELECOMMUNICATIONS SERVICES -- 0.6% 127,971 @Track Communications, Inc.(!)........ 166 5,900 BellSouth Corporation................. 245 6,617 ICO Global Communication Holdings Ltd.(!)............................. 17 5,900 SBC Communications Inc. .............. 279 4,400 Verizon Communications Inc. .......... 238 ------- 945 ------- TOTAL COMMON STOCKS (Cost $3,822)....................... 3,706 ------- PRINCIPAL AMOUNT (000) --------- CONVERTIBLE BONDS AND NOTES -- 4.5% BROADCASTING AND CABLE -- 0.1% $ 360 Telewest Finance, 6.000% 07/07/05(+).................. 210 ------- COMPUTERS AND OFFICE EQUIPMENT -- 0.2% 290 Quantum Corporation, 7.000% 08/01/04..................... 252 ------- CONGLOMERATES -- 0.1% 575 Internet Capital Group, Inc., 5.500% 12/21/04..................... 124 ------- HEALTH SERVICES -- 0.7% 740 CuraGen Corporation, 6.000% 02/02/07..................... 542 795 Incyte Genomics, Inc., 5.500% 02/01/07..................... 553 ------- 1,095 ------- METALS AND MINING -- 0.3% 565 Agnico-Eagle Mines Ltd., 3.500% 01/27/04..................... 483 -------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.1% $ 865 CIENA Corporation, 3.750% 02/01/08..................... $ 517 1,090 Juniper Networks, Inc., 4.750% 03/15/07..................... 670 835 ONI Systems Corporation, 5.000% 10/15/05..................... 519 ------- 1,706 ------- SEMICONDUCTORS -- 0.9% 1,160 LSI Logic Corporation, 4.000% 02/15/05(a).................. 932 740 Vitesse Semiconductor Corporation, 4.000% 03/15/05(+)(a)............... 584 ------- 1,516 ------- TELECOMMUNICATIONS SERVICES -- 1.1% 4,405 At Home Corporation, 4.750% 12/15/06(a)(b)(c)............ 748 1,535(e) Colt Telecom Group plc, 2.000% 04/03/07(+).................. 545 1,375 Cox Communications, Inc., Class A, .426% 04/19/20...................... 590 ------- 1,883 ------- TOTAL CONVERTIBLE BONDS AND NOTES (Cost $9,278)....................... 7,269 ------- CORPORATE BONDS AND NOTES -- 92.6% AIRLINES -- 0.4% 815 Delta Air Lines, Inc., 8.300% 12/15/29..................... 611 ------- AUTOMOTIVE -- 0.7% 1,720 Mark IV Industries, Inc., 7.500% 09/01/07..................... 1,066 ------- BROADCASTING AND CABLE -- 13.0% 125 Ackerly Group Bank Debt, 6.864%** 11/10/02................... 122 1,125 Ackerly Group Bank Debt, 7.603%** 11/10/02................... 1,097 670 Adelphia Communications Corporation, Class A, 10.250% 06/15/11.................... 583 140 Benedek Communications, 13.250% 05/15/06.................... 74 200 Big City Radio, Inc., 11.250%*** 03/15/05................. 92 785 British Sky Broadcasting Group plc, 7.300% 10/15/06..................... 789 75 British Sky Broadcasting Group plc, 6.875% 02/23/09..................... 70 2,185 Cablevision SA, 13.750% 04/30/07.................... 1,005 1,045 Charter Communications Holdings LLC, 8.625% 04/01/09..................... 933 1,360 Charter Communications Holdings LLC, 10.250% 01/15/10.................... 1,306 125 Charter Communications Holdings LLC, 10.000% 05/15/11.................... 119
SEE NOTES TO FINANCIAL STATEMENTS. 72 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ BROADCASTING AND CABLE -- (CONTINUED) $ 1,915 Charter Communications Holdings LLC, (0.000)% due 01/15/10 11.750% beginning 01/15/05.......... $ 1,216 395 Charter Communications Holdings LLC, (0.000)% due 05/15/11 11.750% beginning 05/15/06.......... 217 2,810 Comcast UK Cable Partners Ltd., Class A, 11.200% 11/15/07.................... 1,938 905 CSC Holdings Inc., 7.625% 04/01/11(+).................. 895 1,045 Frontiervision Operating Partners LP, 11.000% 10/15/06.................... 1,055 490 Frontiervision Operating Partners LP, 11.875% 09/15/07.................... 492 310 Frontiervision Operating Partners LP, 11.875% 09/15/07.................... 312 580 Lin Television Corporation, 8.000% 01/15/08(+)(a)............... 554 310 News America Inc., 7.250% 05/18/18..................... 287 480 NTL Communications Corporation, 11.500% 10/01/08(a)................. 240 685 NTL Communications Corporation, Series B, 11.875% 10/01/10(a)................. 344 585(e) Ono Finance plc, 13.000% 05/01/09.................... 304 175 Ono Finance plc, 13.000% 05/01/09.................... 105 1,365 Ono Finance plc, 14.000% 02/15/11.................... 846 1,405 Paxson Communications Corporation, 10.750% 07/15/08(+)(a).............. 1,392 1,080 Radio Unica Corporation, (0.000)% due 08/01/06 11.750% beginning 08/01/02.......... 518 705 Rogers Cable Systems, 10.125% 09/01/12.................... 730 595(e) SBS Broadcasting SA, 12.000% 06/15/08(+)................. 374 780 Sinclair Broadcast Group, Inc., 8.750% 12/15/07..................... 686 500 Telewest Communications plc, 11.000% 10/01/07.................... 318 1,410 UIH Australia/Pacific Inc., Series B, 14.000% 05/15/06.................... 169 505 United Pan-Europe Communications N.V., Class A, 10.875% 08/01/09.................... 71 5,390 United Pan-Europe Communications N.V., Class A, 11.250% 02/01/10.................... 755 515 United Pan-Europe Communications N.V., Class A, 11.500% 02/01/10.................... 70 205 United Pan-Europe Communications N.V., Class A, (0.000)% due 02/01/10 13.750% beginning 02/01/05.......... 11
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ BROADCASTING AND CABLE -- (CONTINUED) $ 3,195 United Pan-Europe Communications N.V., Class A, (0.000)% due 08/01/09 12.500% beginning 08/01/04.......... $ 192 1,025 United Pan-Europe Communications N.V., Class A, (0.000)% due 11/01/09 13.375% beginning 11/01/04.......... 62 3,365 UnitedGlobalCom Inc., (0.000)% due 02/15/08 10.750% beginning 02/15/03.......... 808 ------- 21,151 ------- CHEMICALS -- BASIC -- 0.8% 115 Agricultural Minerals & Chemicals, 10.750% 09/30/03.................... 106 1,203 Octel Developments plc, 10.000% 05/01/06.................... 1,227 ------- 1,333 ------- CHEMICALS -- SPECIALTY -- 2.0% 820 Acetex Corporation, 10.875% 08/01/09(+)................. 787 1,205 Airgas, Inc., 9.125% 10/01/11(+).................. 1,217 340 General Chemical Industrial Products, 10.625% 05/01/09.................... 211 65 Marsulex Inc., 9.625% 07/01/08..................... 62 1,155 Sovereign Specialty Chemical, 11.875% 03/15/10(a)................. 959 ------- 3,236 ------- COMMERCIAL BANKING -- 0.6% 885 Golden State Holdings, Escrow Corporation, 7.125% 08/01/05..................... 901 ------- COMMERCIAL SERVICES -- 1.6% 1,170 Intertek Finance plc, 10.250% 11/01/06.................... 889 1,405 Protection One Alarm Monitor, 7.375% 08/15/05..................... 1,068 1,785 The FINOVA Group Inc., 7.500% 11/15/09(a).................. 700 ------- 2,657 ------- COMPUTERS AND OFFICE EQUIPMENT -- 0.6% 1,085 Unisys Corporation, 8.125% 06/01/06..................... 1,014 ------- CONSUMER SERVICES -- 0.1% 145 Jafra Cosmetics International, Inc., 11.750% 05/01/08.................... 138 ------- DIVERSIFIED ELECTRONICS -- 0.6% 990 Knowles Electronics Inc., 13.125% 10/15/09.................... 931 ------- ELECTRIC POWER -- NON NUCLEAR -- 13.9% 1,735 AES Corporation, 8.750% 12/15/02(a).................. 1,700 440 AES Drax Holdings Ltd., 10.410% 12/31/20.................... 477
SEE NOTES TO FINANCIAL STATEMENTS. 73 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ ELECTRIC POWER -- NON NUCLEAR -- (CONTINUED) $ 1,705 AES Eastern Energy, 9.000% 01/02/17..................... $ 1,817 930 AES Eastern Energy, 9.670% 01/02/29..................... 995 871 Caithness Coso Funding Corporation, Series B, 6.800% 12/15/01..................... 873 2,010 Caithness Coso Funding Corporation, Series B, 9.050% 12/15/09..................... 1,890 925 Calpine Canada Energy Finance, 8.500% 05/01/08..................... 903 790 CMS Energy Corporation, 8.125% 05/15/02..................... 796 165 CMS Energy Corporation, 10.875% 12/15/04(+)................. 168 900 CMS Energy Corporation, 9.875% 10/15/07..................... 930 625 Edison International, Inc., 6.875% 09/15/04..................... 513 1,255 Edison Mission Energy, 10.000% 08/15/08(+)................. 1,259 545 Edison Mission Energy, 9.875% 04/15/11..................... 551 470 ESI Tractebel Acquisition Corporation, Series B, 7.990% 12/30/11..................... 488 1,900 Owens Corning Bank Debt, .000% 06/26/02...................... 1,278 1,755 PG&E National Energy Group, 10.375% 05/16/11(+)................. 1,888 500 PSEG Energy Holdings, Inc., 9.125% 02/10/04..................... 532 1,060 PSEG Energy Holdings, Inc., 8.625% 02/15/08(+).................. 1,121 840 PSEG Energy Holdings, Inc., 10.000% 10/01/09.................... 941 389 Salton Sea Funding, 7.370% 05/30/05..................... 392 1,410 Tiverton/Rumford Power Association, 9.000% 07/15/18(+).................. 1,382 375 Western Resources, Inc., 6.250%(++) 08/15/03................. 357 620 Western Resources, Inc., 6.875% 08/01/04..................... 590 375 Western Resources, Inc., 7.125% 08/01/09..................... 331 440 Western Resources, Inc., 7.650% 04/15/23..................... 352 ------- 22,524 ------- ELECTRICAL EQUIPMENT -- 0.2% 465 Thomas & Betts Corporation, 6.625% 05/07/08..................... 384 ------- EXPLORATION AND PRODUCTION -- 3.5% 915 Baytex Energy Ltd., 10.500% 02/15/11(+)................. 894 1,080 Comstock Resources, Inc., 11.250% 05/01/07.................... 1,069
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ EXPLORATION AND PRODUCTION -- (CONTINUED) $ 620 DevX Energy, Inc., 12.500% 07/01/08(+)................. $ 614 460 Mission Resources Corporation, 10.875% 04/01/07(+)................. 414 315 Ocean Energy, Inc., 8.250% 07/01/18..................... 321 185 Triton Energy Ltd., 9.250% 04/15/05..................... 204 1,220 Triton Energy Ltd., 8.875% 10/01/07..................... 1,321 825 Westport Resources Corporation, 8.875% 09/15/07..................... 825 ------- 5,662 ------- FOOD PRODUCTS -- 0.7% 300 Chiquita Brands International, Inc., 9.625% 01/15/04(b).................. 207 50 Chiquita Brands International, Inc., 9.125% 03/01/04(b).................. 35 205 Chiquita Brands International, Inc., 10.000% 06/15/09(a)(b).............. 141 830 Pilgrim's Pride Corporation, Class B, 9.625% 09/15/11..................... 834 ------- 1,217 ------- HEALTH SERVICES -- 5.7% 1,375 Express Scripts, Inc., 9.625% 06/15/09..................... 1,499 285 Fountain View Inc., 11.250% 04/15/08(b)................. 146 210 Harborside Healthcare, (0.000)% due 08/01/07 12.000% beginning 08/01/04.......... 91 280 HCA Inc., 7.875% 02/01/11..................... 287 1,200 HCA Inc., 7.500% 11/15/95..................... 1,026 1,775 Kelso and Company, 12.750% 10/01/09.................... 1,997 900 Magellan Health Services, Inc., 9.375% 11/15/07(+).................. 918 125 Manor Care, Inc., 7.500% 06/15/06..................... 128 875 Manor Care, Inc., 8.000% 03/01/08(+).................. 900 447 Multicare Companies Inc., .000% 08/01/07(b)(c)................ 40 1,075 Team Health, Inc., 12.000% 03/15/09.................... 1,118 1,110 Tenet Healthcare Corporation, 8.625% 12/01/03..................... 1,182 ------- 9,332 ------- HEAVY MACHINERY -- 0.3% 230 Thermadyne Bank Debt Funded Revolver, 6.555%** 05/22/04................... 186 238 Thermadyne Bank Debt Term A, 6.555%** 05/22/04................... 193 140 Thermadyne Bank Debt Unfunded Revolver, 6.555%** 05/22/04................... 113
SEE NOTES TO FINANCIAL STATEMENTS. 74 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ HEAVY MACHINERY -- (CONTINUED) $ 82(g) Thermadyne Canadian Funded Revolver, 6.555%** 05/22/04................... $ 42 65 Thermadyne Manufacturing LLC, 9.875% 06/01/08(b).................. 22 ------- 556 ------- HOUSEHOLD PRODUCTS -- 0.3% 360 Hasbro, Inc., 5.600% 11/01/05..................... 313 245 Hasbro, Inc., 6.600% 07/15/28..................... 156 ------- 469 ------- LODGING AND RECREATION -- 11.0% 1,433 Bally Total Fitness Holding Corporation, Series D, 9.875% 10/15/07..................... 1,419 794 Carmike Cinemas, Inc. Bank Debt, .000% 11/10/02...................... 767 998 Carmike Cinemas, Inc. Bank Debt, .000% 03/30/05...................... 965 1,430 Felcor Lodging LP, 9.500% 09/15/08..................... 1,223 1,060 Hilton Hotels Corporation, 7.625% 05/15/08..................... 985 395 Hilton Hotels Corporation, 8.250% 02/15/11..................... 363 210 Hilton Hotels Corporation, 7.500% 12/15/17..................... 159 1,685 Hollywood Casino Corporation, 13.000% 08/01/06(a)................. 1,442 1,525 ITT Corporation, 7.375% 11/15/15..................... 1,244 720 Mandalay Resort Group, 9.500% 08/01/08(a).................. 691 625 MGM Mirage Inc., 9.750% 06/01/07..................... 613 315 Park Place Entertainment Corporation, 8.875% 09/15/08..................... 299 1,310 Penn National Gaming, Inc., 11.125% 03/01/08.................... 1,320 860 Pinnacle Entertainment, Inc., Series B, 9.250% 02/15/07..................... 722 1,095 Pinnacle Entertainment, Inc., Series B, 9.500% 08/01/07..................... 920 530 Royal Caribbean Cruises Ltd., 7.500% 10/15/27..................... 334 1,320 Sun International Hotels Ltd., 9.000% 03/15/07..................... 1,181 737 United Artists Theatre Circuit Inc., 9.300% 07/01/15..................... 626 540 United Artists, Bank Debt, 7.580%** 02/02/05................... 521 1,125 Vail Resorts, Inc., 8.750% 05/15/09..................... 1,013 1,180 Venetian Casino Resort LLC, 12.250% 11/15/04.................... 1,050 ------- 17,857 -------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ MEDICAL DEVICES AND SUPPLIES -- 2.2% $ 1,565 Alaris Medical Systems, Inc., 9.750% 12/01/06..................... $ 1,268 1,022 Alaris Medical Systems, Inc., (0.000)% due 08/01/08 11.125% beginning 08/01/03.......... 450 130 DJ Orthopedics LLC, 12.625% 06/15/09.................... 134 2,135 Per-Se Technologies, Inc., Series B, 9.500% 02/15/05..................... 1,772 ------- 3,624 ------- MEDICAL SERVICES -- 0.6% 965 Owens & Minor, Inc., 8.500% 07/15/11(+).................. 996 ------- METALS AND MINING -- 2.6% 3,950 Algoma Steel Inc., 12.375% 07/15/05(b)................. 474 810 Commonwealth Industries, Inc., 10.750% 10/01/06.................... 749 170 Great Central Mines Ltd., 8.875% 04/01/08..................... 158 1,025 Joy Global Inc., 10.750% 04/30/06(a)................. 1,025 1,695 Newmont Mining Corporation, 8.625% 05/15/11..................... 1,686 245 Ormet Corporation, 11.000% 08/15/08(+)................. 156 ------- 4,248 ------- NATURAL GAS DISTRIBUTION -- 1.4% 900 AmeriGas Partners, LP, 8.875% 05/20/11(+).................. 923 1,715 Energy Corporation of America, 9.500% 05/15/07..................... 1,321 ------- 2,244 ------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.3% 875 Comverse Technology, Inc., 1.500% 12/01/05..................... 630 200 Lucent Technologies Inc., 4.286%** 02/26/03................... 184 200 Lucent Technologies Inc., 6.330% 02/26/06..................... 184 155 Lucent Technologies Inc., 7.250% 07/15/06(a).................. 126 500 Lucent Technologies Inc., 5.420%** 05/30/10................... 460 535 Lucent Technologies Inc., 6.500% 01/15/28..................... 332 1,555 Lucent Technologies Inc., 6.450% 03/15/29..................... 979 390 Marconi Corporation plc, 7.750% 09/15/10..................... 147 1,875 Marconi Corporation plc, 8.375% 09/15/30..................... 664 ------- 3,706 -------
SEE NOTES TO FINANCIAL STATEMENTS. 75 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ OILFIELD SERVICES -- 0.7% $ 1,030 HORNBECK-LEEVAC Marine Services, Inc., 10.625% 08/01/08(+)................. $ 968 80 R&B Falcon Corporation, 9.500% 12/15/08..................... 94 ------- 1,062 ------- PACKAGING AND CONTAINERS -- 3.1% 1,190 Crown Cork & Seal Company, Inc., 7.125% 09/01/02..................... 821 1,000 Crown Cork & Seal Company, Inc., 5.582%** 01/02/03................... 850 720 Crown Cork & Seal Company, Inc., 6.750% 04/15/03..................... 403 150 Crown Cork & Seal Company, Inc., 8.000% 04/15/23..................... 62 955 Owens-Illinois, Inc., 7.150% 05/15/05(a).................. 750 1,180 Owens-Illinois, Inc., 7.800% 05/15/18..................... 785 1,370 Plastipak Holdings Inc., 10.750% 09/01/11(+)................. 1,369 ------- 5,040 ------- PAPER AND FOREST PRODUCTS -- 0.6% 900 Norske Skog Canada Ltd., 8.625% 06/15/11(+).................. 891 80 Pope and Talbot, Inc., 8.375% 06/01/13..................... 70 ------- 961 ------- PHARMACEUTICALS -- 2.1% 1,350 AmerisourceBergen Corporation, 8.125% 09/01/08(+).................. 1,384 1,375 Caremark Rx, Inc., 7.375% 10/01/06..................... 1,354 190 Mckesson Finance of Canada, 6.550% 11/01/02(+).................. 193 520 McKesson HBOC, Inc., 7.650% 03/01/27..................... 458 ------- 3,389 ------- PUBLISHING AND ADVERTISING -- 7.6% 1,000 American Color Graphics, 12.750% 08/01/05.................... 955 1,530 American Greetings Corporation, 11.750% 07/15/08(+)................. 1,377 1,240 Canwest Media, Inc., 10.625% 05/15/11(+)................. 1,221 2,030 Garden State Newspapers, Inc., 8.750% 10/01/09..................... 1,736 35 Garden State Newspapers, Inc., 8.625% 07/01/11..................... 29 510 Hollinger Participation Trust, 12.125% 11/15/10(+)................. 413 835(f) IPC Media Ltd., plc, 9.625% 03/15/08..................... 1,338 1,180 Key3Media Group, Inc., 11.250% 06/15/11(a)................. 802
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ PUBLISHING AND ADVERTISING -- (CONTINUED) $ 1,195 Phoenix Color Corporation, 10.375% 02/01/09.................... $ 837 605 Quebecor Media, 11.125% 07/15/11(+)................. 599 1,965 Quebecor Media, (0.000)% due 07/15/11 13.375% beginning 07/15/06(+)....... 1,061 449 Rand McNally and Company Bank Debt, .000% 11/06/03...................... 112 7 Rand McNally and Company Bank Debt, .000% 11/06/03...................... 2 209 Rand McNally and Company Bank Debt, .000% 04/06/05...................... 59 232 Rand McNally and Company Bank Debt, .000% 04/06/06...................... 66 695(f) Regional Independent Media Holdings Ltd., (0.000)% due 07/01/08 12.875% beginning 07/01/03.......... 797 115 TS/F Communications Corporation, 10.375% 11/01/07.................... 105 2,740 Ziff Davis Media Inc., 12.000% 07/15/10.................... 849 ------- 12,358 ------- RAILROADS, TRUCKING AND SHIPPING -- 0.4% 471 Ermis Maritime Holdings Ltd., 12.500% 12/31/04(d)(h).............. 402 4 Pegasus Promissory Note, .000% 01/01/99(b)++................. 0 230 Sea Containers Ltd., 10.750% 10/15/06.................... 133 230 Sea Containers Ltd., 7.875% 02/15/08..................... 115 ------- 650 ------- REAL ESTATE -- 1.6% 1,155 Blum CB Corporation, 11.250% 06/15/11(+)................. 1,040 1,045 LNR Property Corporation, 9.375% 03/15/08..................... 982 610 LNR Property Corporation, 10.500% 01/15/09.................... 592 ------- 2,614 ------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 4.3% 1,140 BF Saul, 9.750% 04/01/08..................... 1,112 190 Capstar Hotel, 8.750% 08/15/07..................... 144 1,880 Crescent Real Estate Equities LP, 7.000% 09/15/02..................... 1,893 445 Crescent Real Estate Equities LP, 7.500% 09/15/07..................... 419 930 Healthcare Realty Trust, Inc., 8.125% 05/01/11..................... 966
SEE NOTES TO FINANCIAL STATEMENTS. 76 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS (REITS) -- (CONTINUED) $ 1,685 Meristar Hospitality Corporation, 9.000% 01/15/08(+).................. $ 1,365 1,535 OMEGA Healthcare Investors, Inc., 6.950% 08/01/07..................... 1,121 ------- 7,020 ------- SEMICONDUCTORS -- 0.5% 845 Fairchild Semiconductor Corporation, 10.375% 10/01/07(a)................. 805 ------- TELECOMMUNICATIONS SERVICES -- 6.1% 250 360Networks Inc., 13.000% 05/01/08(b)(c).............. 1 385 Alamosa Delaware Inc., 12.500% 02/01/11.................... 343 1,070 Alamosa Holdings, Inc., (0.000)% due 02/15/10 12.875% beginning 02/15/05.......... 514 1,825 Call-Net Enterprises, Inc., 9.375% 05/15/09..................... 438 125 Call-Net Enterprises, Inc., (0.000)% due 05/15/09 10.800% beginning 05/15/04.......... 21 170 Call-Net Enterprises, Inc., (0.000)% due 08/15/08 8.940% beginning 08/15/03........... 31 1,145 COLO.COM, 13.875% 03/15/10(+)(b)(c)........... 183 580(e) Colt Telecom Group plc., 2.000% 03/29/06(+).................. 215 590(e) Completel Europe N.V., Series B, 14.000% 04/15/10.................... 172 1,750 Globix Corporation, 12.500% 02/01/10.................... 315 583 GT Telecom Racers Notes Trust, Series A, 8.250%** 06/30/08................... 420 417 GT Telecom Racers Notes Trust, Series B, 8.688%** 02/03/03................... 300 1,060 Hermes Europe Railtel BV, 11.500% 08/15/07(b)................. 159 180 IMPSAT Fiber Networks, Inc., 13.750% 02/15/05.................... 23 2,305 Millicom International Cellular SA, 13.500% 06/01/06.................... 1,578 1,555 Neon Communications Inc., 12.750% 08/15/08.................... 451 1,075 Nextel International Inc., 12.750% 08/01/10.................... 247 220 Nextel International Inc., (0.000)% due 04/15/08 12.125% beginning 04/15/03.......... 29 1,115 Orion Network Systems, Inc., (0.000)% due 01/15/07 12.500% beginning 01/15/02.......... 357 165 Pagemart Nationwide, 15.000% 02/01/05(b)(c).............. 3
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------ TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 205 Price Communications Wireless, Inc., 9.125% 12/15/06..................... $ 209 945 Price Communications Wireless, Inc., 11.750% 07/15/07.................... 982 350 PSINet, Inc., 11.500% 11/01/08(b)(c).............. 21 1,210 PSINet, Inc., 11.000% 08/01/09(b)(c).............. 73 160 Rogers Communications, Inc., 8.875% 07/15/07..................... 160 665 Telesystem International Wireless Inc., 14.000% 12/30/03.................... 366 370(f) Telewest Communications plc, 9.875% 02/01/10..................... 322 1,250 US Unwired Inc., Series B, (0.000)% due 11/01/09 13.375% beginning 11/01/04.......... 650 800 Voicestream Wireless, 10.375% 11/15/09.................... 900 525 XO Communications, Inc., Class A, 6.500%** 12/31/06................... 347 ------- 9,830 ------- TOBACCO -- 0.5% 855 North Atlantic Trading Company, 11.000% 06/15/04.................... 744 ------- TOTAL CORPORATE BONDS AND NOTES (Cost $168,566)..................... 150,330 ------- SHARES --------- PREFERRED STOCKS -- 2.3% BROADCASTING AND CABLE -- 0.5% 9,610 Paxson Communications Corporation(!)(d)................... 872 ------- RAILROADS, TRUCKING AND SHIPPING -- 0.0%+ 6,170 Ermis Maritime Holding Ltd.(!)++(h)... 0 ------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 1.5% 23,400 Sovereign REIT(+)..................... 2,363 ------- TELECOMMUNICATIONS SERVICES -- 0.1% 4,580 Nextel Communications, Inc., Series D(!)(d)............................. 243 ------- TOBACCO -- 0.2% 26,345 North Atlantic Trading Company(!)(d)....................... 316 ------- TOTAL PREFERRED STOCKS (Cost $3,932)....................... 3,794 ------- WARRANTS -- 0.1% 1,145 COLO.COM Expire 03/15/10(+)++................ 0 5,803 Harbor Healthcare Corporation Expire 08/01/09..................... 9 1,660 ICO Global Communications Expire 05/16/06++................... 0 3 ICO Global Communications Expire 05/16/06++................... 0
SEE NOTES TO FINANCIAL STATEMENTS. 77 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------ WARRANTS -- (CONTINUED) 1,365 Ono Finance plc Expire 03/16/11(+).................. $ 66 180 UbiquiTel Inc. Expire 04/15/10(+).................. 11 ------- TOTAL WARRANTS (Cost $223)......................... 86 ------- PRINCIPAL AMOUNT (000) --------- SHORT TERM INVESTMENTS -- 0.2% (Cost $311) COMMERCIAL PAPER -- 0.2% $ 380 Southern California Edison Company, 6.631%** 02/02/02................... 312 -------
SHARES (000) ------- INVESTMENT COMPANIES -- 7.7% (Cost $12,532) 12,532 Nations Cash Reserves#.............. 12,532 -------- TOTAL INVESTMENTS (Cost $198,664*)........... 109.7% 178,029 -------- OTHER ASSETS AND LIABILITIES (NET)...................... (9.7)% Receivable for investment securities sold.............................. $ 14,717 Dividends receivable................ 31 Interest receivable................. 4,520 Unrealized depreciation on forward foreign exchange contracts........ (13) Collateral on securities loaned..... (12,532) Investment advisory fee payable..... (82) Administration fee payable.......... (7) Due to custodian.................... (18,116) Payable for investment securities purchased......................... (4,150) Accrued Trustees' fees and expenses.......................... (26) Accrued expenses and other liabilities....................... (27) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................. (15,685) -------- NET ASSETS................... 100.0% $162,344 ========
--------------- * Federal Income Tax Information: Net unrealized depreciation of $20,635 on investment securities was comprised of gross appreciation of $3,359 and gross depreciation of $23,994 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $198,664. ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2001. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2001. (!) Non-income producing security. (+) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. + Amount represents less than 0.1%. ++ Amount represents less than $500. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. Represents cash collateral received from securities lending activity (Note 11). (a) All or portion of security was on loan at September 30, 2001. The aggregate cost and market value of securities on loan at September 30, 2001, is $11,897 and $10,115, respectively. (b) Issue in default. (c) Issuer in bankruptcy. (d) PIK ("Payment in kind"). Interest or dividend payment is made with additional securities. (e) Principal amount denominated in Euro. (f) Principal amount denominated in British Pounds. (g) Principal amount denominated in Canadian Dollars. (h) Fair valued security. SEE NOTES TO FINANCIAL STATEMENTS. 78 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2001
INTERMEDIATE BOND HIGH YIELD BOND MASTER PORTFOLIO MASTER PORTFOLIO ------------------- ------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 4,589 $ 8,743 Dividends................................................... 162 201 Dividend income from affiliated funds....................... 213 312 Securities lending.......................................... 16 9 ------------------- ------------------- Total investment income................................. 4,980 9,265 ------------------- ------------------- EXPENSES: Investment advisory fee..................................... 303 412 Administration fee.......................................... 38 37 Custodian fees.............................................. 6 5 Legal and audit fees........................................ 12 9 Trustees' fees and expenses................................. 17 17 Interest expenses........................................... 1 1 Other....................................................... 1 10 ------------------- ------------------- Total expenses.......................................... 378 491 Fees reduced by credits allowed by the custodian............ --* (1) ------------------- ------------------- Net expenses............................................ 378 490 ------------------- ------------------- NET INVESTMENT INCOME....................................... 4,602 8,775 ------------------- ------------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions....................................... (189) 984 Futures..................................................... (110) -- Forward foreign exchange contracts, foreign currencies and other net assets.......................................... --* (114) ------------------- ------------------- Net realized gain/(loss) on investments..................... (299) 870 ------------------- ------------------- Change in unrealized appreciation/(depreciation) of: Securities.................................................. 2,395 (18,063) Futures..................................................... 24 -- Forward foreign exchange contracts, foreign currencies and other net assets.......................................... -- (63) ------------------- ------------------- Net change in unrealized appreciation/(depreciation) of investments............................................... 2,419 (18,126) ------------------- ------------------- Net realized and unrealized gain/(loss) on investments...... 2,120 (17,256) ------------------- ------------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 6,722 $ (8,481) =================== ===================
--------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 79 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF CHANGES IN NET ASSETS
INTERMEDIATE BOND HIGH YIELD BOND MASTER PORTFOLIO MASTER PORTFOLIO ------------------------------------ ------------------------------------ SIX MONTHS SIX MONTHS ENDED ENDED 9/30/01 YEAR ENDED 9/30/01 YEAR ENDED (UNAUDITED) 3/31/01 (UNAUDITED) 3/31/01 ---------------------------------------------------------------------------- (IN THOUSANDS) Net investment income............................ $ 4,602 $ 7,924 $ 8,775 $ 4,203 Net realized gain/(loss) on investments.......... (299) (1,399) 870 (116) Net change in unrealized appreciation/(depreciation) of investments..... 2,419 6,544 (18,126) (2,336) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................ 6,722 13,069 (8,481) 1,751 Contributions.................................... 50,646 12,629 133,979 105,168 Withdrawals...................................... (27,614) (6,886) (58,692) (24,881) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets............ 29,754 18,812 66,806 82,038 NET ASSETS: Beginning of period.............................. 138,313 119,501 95,538 13,500 -------------- -------------- -------------- -------------- End of period.................................... $ 168,067 $ 138,313 $ 162,344 $ 95,538 ============== ============== ============== ==============
SUPPLEMENTARY DATA
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF OPERATING INVESTMENT OPERATING EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AVERAGE TO AVERAGE TURNOVER TO AVERAGE NET ASSETS NET ASSETS RATE NET ASSETS --------------------------------------------------------------------- INTERMEDIATE BOND MASTER PORTFOLIO: Six months ended 9/30/2001 (unaudited)............ 0.50%+(c)(d) 6.08%+ 113% 0.50%+(c) Year ended 3/31/2001.............................. 0.45(c) 6.61 118 0.46(c) Period ended 3/31/2000............................ 0.54+ 6.10+ 90 0.55+ Period ended 5/14/1999(a)......................... 0.38+ 5.61+ 19 0.42+ Year ended 2/28/1999(a)........................... 0.35 5.69 137 0.45 Year ended 2/28/1998(a)........................... 0.35 5.99 127 0.55 Year ended 2/28/1997(a)........................... 0.35 5.86 83 0.65 HIGH YIELD BOND MASTER PORTFOLIO: Six months ended 9/30/2001 (unaudited)............ 0.66%+(c)(d) 11.72%+ 27% 0.66%+(c) Year ended 3/31/2001.............................. 0.71 11.14 63 0.72 Period ended 3/31/2000(b)......................... 2.82+ 5.16+ 26 2.86+
--------------- + Annualized. (a) Represents financial information for the Pacific Horizon Intermediate Bond Portfolio, which was reorganized into Intermediate Bond Master Portfolio on May 21, 1999. (b) High Yield Bond Master Portfolio commenced operations on February 14, 2000. (c) 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%. (d) The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 80 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (UNAUDITED) Nations Master Investment Trust (the "Master Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. At September 30, 2001, the Master Trust offered eleven separate portfolios. These financial statements pertain only to Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio (each a "Master Portfolio" and collectively, the "Master Portfolios"). Financial statements for the other portfolios of the Master Trust are presented under separate cover. The following investors were invested in the Master Portfolios at September 30, 2001: Intermediate Bond Master Portfolio: Nations Intermediate Bond Fund.............. 84.8% Nations Intermediate Bond Fund (Offshore)... 15.2% High Yield Bond Master Portfolio: Nations High Yield Bond Fund................ 94.9% Nations High Yield Bond Fund (Offshore)..... 5.1%
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 Master Portfolios in the preparation of their financial statements. Securities valuation: Securities are generally valued using prices provided by a pricing service or based upon broker-dealer quotations. Certain prices provided by broker-dealers or the pricing service may be based on a matrix pricing system, which considers such factors as security prices, yields and maturities. Certain securities may be valued based upon quotes provided by one or more principal market makers. 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. Investments in other Nations Funds are valued at their net asset value determined as of the close of the New York Stock Exchange on the valuation date. Futures contracts: The Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio may invest in futures contracts. Upon entering into a futures contract, a Master Portfolio 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 Master Portfolio 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 the market value of the contract. When the contract is closed, a Master Portfolio 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, 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 Intermediate Bond Master Portfolio may purchase and write call and put options on non-U.S. stock index and interest rate futures contracts. The Master Portfolio may use such options on futures contracts in connection with its hedging strategies and for the purpose of yield enhancement in lieu of purchasing and writing options directly on the underlying securities or stock indices or purchasing and selling the underlying futures. The Master Portfolio may write covered call options and covered put options on securities in which it is permitted to invest from time to time in seeking to attain the Master Portfolio's objective. Call options written by a Master Portfolio give the holder the right to buy the underlying securities from the Master Portfolio at a stated exercise price; put options give the holder the right to sell the underlying security to the Master Portfolio at a stated price. In the case of put options, a Master Portfolio 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 Master Portfolio may also write combinations of covered puts and calls on the same underlying security. The Master Portfolio typically receives a premium from writing a put or call option, which would increase the Master Portfolio's return in the event the option expires unexercised or is closed out at a profit. The amount of 81 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 Master Portfolio limits its opportunity to profit from any increase in the market value of the underlying security for an exercise price higher than its then current market value, resulting in 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. The Master Portfolio 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 Master Portfolio will realize a profit or loss from such transaction in which it purchases an option having the same terms as the option written. The Master Portfolio 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 Master Portfolio. Foreign currency exchanges: The books and records of the Master Portfolios are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are exchanged into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are exchanged on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Master Portfolio and the amounts actually received. The effects of changes in foreign currency exchange rates on securities are not separately identified in the Statements of operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on securities. Forward foreign currency transactions: Generally, a Master Portfolio may enter into forward currency exchange contracts only under two circumstances: (i) when a Master Portfolio enters into a contract for the purchase or sale of a security denominated in a foreign currency, to "lock in" the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when the investment adviser or sub-adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar. Forward foreign currency contracts are valued at the forward rate and are marked- to-market daily. The change in market value is recorded by a Master Portfolio as an unrealized gain or loss. When the contract is closed or offset with the same counterparty, a Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset. Forward foreign currency contracts will be used primarily to protect the Master Portfolios from adverse currency movements and will generally not be entered into for terms greater than one year. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Master Portfolio's investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of net assets. In addition, the Master Portfolios could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. 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. 82 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Effective April 1, 2001, the Master Portfolios have adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies which requires the Master Portfolios to classify gains and loses realized on principal paydowns received on mortgage-backed securities, previously included in realized gain/ loss, as part of interest income. The adoption of this accounting principle has no effect on the Master Portfolios' net asset value but changed the classification between interest income and realized gain/loss on the Statement of operations. The statement of changes in net assets and financial highlights for prior periods have not been restated to reflect this change. The impact of the adoption of this principle is not material to the financial statements. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Master Portfolio enters into such transactions, it instructs the custodian to segregate assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments. Federal income taxes: The Master Portfolios are treated as partnerships for federal income tax purposes and therefore are not subject to federal income tax. Each investor in the Master Portfolios will be subject to taxation on its allocated share of the Master Portfolio's ordinary income and capital gains. Expenses: General expenses of the Master Trust are allocated to the Master Portfolios based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Master Portfolio are charged to such Master Portfolio. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS The Master Trust has entered into an investment advisory agreement (the "Investment Advisory Agreement") with Banc of America Advisors, LLC ("BA Advisors"), 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 as a Delaware corporation, pursuant to which BA Advisors provides investment advisory services to the Master Portfolios. Under the terms of the Investment Advisory Agreement, BA Advisors is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Master Portfolio:
ANNUAL RATE ------ Intermediate Bond Master Portfolio............ 0.40% High Yield Bond Master Portfolio.............. 0.55%
The Master Trust has, on behalf of the Intermediate Bond Master Portfolio, entered into a sub-advisory agreement with BA Advisors and Banc of America Capital Management, LLC ("BACAP"), a wholly-owned subsidiary of Bank of America, pursuant to which BACAP is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.15% of the Master Portfolio's average daily net assets. The Master Trust has, on behalf of the High Yield Bond Master Portfolio, entered into a sub-advisory agreement with BA Advisors and MacKay Shields LLC ("MacKay Shields") pursuant to which MacKay Shields is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.40% of the Master Portfolio's average daily net assets up to and including $100 million; 0.375% over $100 million and up to and including $200 million and 0.35% over $200 million. Stephens Inc. ("Stephens") and BA Advisors serve as co-administrators of the Master Trust. Under the co-administration agreements, Stephens and BA Advisors are currently entitled to receive a combined fee, computed daily and paid monthly, at the maximum annual rate of 0.05% of each Master Portfolio's average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of the Master Trust pursuant to an agreement with BA Advisors. For the six months ended September 30, 2001, BA Advisors earned 0.05% of each Master Portfolio's average daily net assets for its co-administration services. BNY serves as the custodian of the Master Trust's assets. For the six months ended September 30, 2001, expenses of the Master Portfolios were reduced by $1,980 under expense offset arrangements with BNY. The Master Portfolios 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. No officer, director or employee of Bank of America, BA Advisors or BACAP, or any affiliate thereof, receives any compensation from the Master Trust for serving as a Trustee or Officer of the Master Trust. 83 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The Master 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 Master Portfolios' 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. The Master Portfolios have made daily investments of cash balances in the Nations Cash Reserves, a portfolio of Nations Reserves, pursuant to an exemptive order received from the Securities and Exchange Commission. The income earned by each Master Portfolio from such investments is included in its Statement of operations as "Dividend income from affiliated funds (or allocated from Portfolio)". 3. 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 six months ended September 30, 2001 were as follows:
PURCHASES SALES PORTFOLIO (000) (000) ------------------------------------------------------- Intermediate Bond Master Portfolio...................... $ 42,891 $33,963 High Yield Bond Master Portfolio...................... 126,075 34,011
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2001 were as follows:
PURCHASES SALES PORTFOLIO (000) (000) ------------------------------------------------------- Intermediate Bond Master Portfolio..................... $124,104 $130,621 High Yield Master Portfolio..... 1,845 1,873
4. FUTURES CONTRACTS At September 30, 2001, the Intermediate Bond Master Portfolio had the following futures contracts open:
VALUE OF CONTRACT MARKET UNREALIZED WHEN VALUE OF APPRECIATION/ NUMBER OF OPENED CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) ------------------------------------------------------------------------ Antenna Hungaria Share Futures (long position) expiring December 2001(a)... 120 $25,236 $25,232 $(4) ===
--------------- (a) Securities have been segregated as collateral for open futures contracts. 5. FORWARD FOREIGN CURRENCY CONTRACTS At September 30, 2001, the High Yield Bond Master Portfolio had the following forward foreign currency contracts outstanding:
VALUE OF CONTRACT VALUE OF WHEN CONTRACT MARKET UNREALIZED OPENED WHEN VALUE OF APPRECIATION/ (LOCAL OPENED CONTRACT (DEPRECIATION) LOCAL CURRENCY) US$ US$ US$ DESCRIPTION CURRENCY (000) (000) (000) (000) ---------------------------------------------------------------------------------- Contracts to Sell: Expiring March 22, 2002............... Euro (1,791) $(1,630) $(1,624) $ 6 Expiring March 22, 2002............... British (1,497) (2,163) (2,181) (19) Pound Sterling Total net unrealized depreciation....... $(13) ====
6. LINES OF CREDIT The Master Trust participates 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 Master Portfolio maintains a ratio of net assets (not including amounts borrowed pursuant to the Agreement) to the aggregate 84 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) amount of indebtedness pursuant to the Agreement of no less than 4 to 1. For the six months ended September 30, 2001, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING INTEREST PORTFOLIO (000) RATE --------------------------------------------------------- Intermediate Bond Master Portfolio..................... $27 5.17% High Yield Master Portfolio..... 24 3.25
7. SECURITIES LENDING Under an agreement with BNY, the Master Portfolios 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 Master Portfolios. Generally, in the event of counterparty default, the Master Portfolio has the right to use the collateral to offset losses incurred. There would be a potential loss to the Master Portfolio in the event the Master Portfolio is delayed or prevented from exercising its right to dispose of the collateral. The Master Portfolio bears the risk of loss with respect to the investment of collateral. At September 30, 2001, the following Master Portfolios had securities on loan:
MARKET VALUE OF MARKET LOANED VALUE OF SECURITIES COLLATERAL PORTFOLIO (000) (000) ----------------------------------------------------------- Intermediate Bond Master Portfolio...................... $ 8,091 $ 8,319 High Yield Bond Master Portfolio...................... 10,115 12,532
85 THE NATIONS FUNDS FAMILY OF FUNDS The mutual fund family of Banc of America Capital Management Within each category, the funds are listed from aggressive to conservative. Lower risk/reward potential SPECIALTY FUNDS INDEX FUNDS Nations SmallCap Index Fund Nations MidCap Index Fund Nations LargeCap Index Fund Nations Managed Index Fund ASSET ALLOCATION PORTFOLIOS Nations LifeGoal Growth Portfolio Nations LifeGoal Balanced Growth Portfolio Nations LifeGoal Income and Growth Portfolio OTHER SPECIALTIES Nations Financial Services Fund Nations Convertible Securities Fund 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 TAXABLE INCOME FUNDS Nations High Yield Bond Fund Nations Strategic Income Fund Nations Bond Fund Nations Intermediate Bond Fund Nations Government Securities 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, MD, NC, SC, TN, TX, VA) Nations Intermediate Municipal Bond Fund Nations State-Specific Intermediate Municipal Bond Funds (FL, GA, KS, MD, NC, SC, TN, TX, VA) Nations Short-Term Municipal Income Fund EQUITY FUNDS GROWTH FUNDS Nations Small Company Fund Nations Marsico 21st Century Fund Nations MidCap Growth Fund Nations Marsico Focused Equities Fund Nations Marsico Growth & Income Fund Nations Aggressive Growth Fund Nations Capital Growth Fund Nations Strategic Growth Fund BLEND FUNDS Nations Blue Chip Fund Nations Asset Allocation Fund Nations Equity Income Fund VALUE FUNDS Nations Value Fund Nations Classic Value Fund Higher reward/risk potential INTERNATIONAL/GLOBAL FUNDS Nations Emerging Markets Fund Nations Marsico International Opportunities Fund Nations International Equity Fund Nations International Value Fund Nations Global Value Fund FIXEDSAR (9/01)