N-30D 1 g72241n-30d.txt INSTITUTIONAL RESERVES (INTERNATIONAL SAR) [GRAPHIC: Photo Collage] Nations Global Value Fund Nations International Value Fund Nations International Equity Fund Nations Marsico International Opportunities Fund Nations Emerging Markets Fund INTERNATIONAL/GLOBAL STOCK 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 Global Value Fund 3 Nations International Value Fund 6 Nations International Equity Fund 7 Nations Marsico International Opportunities Fund 8 Nations Emerging Markets Fund 11 Statements of operations 14 Statements of changes in net assets 16 Schedules of capital stock activity 18 Financial highlights 24 Notes to financial statements 34 Statements of net assets -- Nations Master Investment Trust 40 Nations International Value Master Portfolio 41 Nations International Equity Master Portfolio 44 Statements of operations 49 Statements of changes in net assets 50 Supplementary data 50 Notes to financial statements 51
------------------------------------------------------------------------------ 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 Global Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ----------------------------------------------------------- COMMON STOCKS -- 89.1% BRAZIL -- 3.8% 48,100 Centrais Eletricas Brasileiras SA, ADR................................... $ 289 16,600 Petroleo Brasileiro SA-'A', ADR......... 319 32,600 Tele Norte Leste Participacoes SA, ADR(a)................................ 295 ------- 903 ------- CANADA -- 0.6% 4,700 AT&T Canada Inc.!!(a)................... 136 ------- FRANCE -- 1.8% 37,900 Alcatel SA 'A'.......................... 436 ------- GERMANY -- 3.6% 6,000 BASF AG................................. 211 23,003 Deutsche Telekom AG..................... 358 5,710 E.On AG................................. 293 ------- 862 ------- HONG KONG -- 1.9% 43,800 HSBC Holdings plc (REGD)................ 459 ------- ITALY -- 1.5% 24,950 ENI SpA................................. 310 6,000 Telecom Italia SpA...................... 45 ------- 355 ------- JAPAN -- 7.6% 82,000 Hitachi, Ltd............................ 546 30,000 Matsushita Electric Industrial Company, Ltd. ................................. 368 34,000 Mitsubishi Heavy Industries, Ltd. ...... 118 38 Mitsubishi Tokyo Financial Group Inc.!!................................ 297 100 Nippon Telegraph and Telephone Corporation........................... 467 3,000 Tokio Marine & Fire Insurance Company, Ltd. ................................. 28 ------- 1,824 ------- MEXICO -- 3.0% 17,100 America Movil SA de CV 'L', ADR!!....... 254 14,100 Telefonos de Mexico SA de CV 'L', ADR... 455 ------- 709 ------- SOUTH AFRICA -- 1.2% 44,400 South African Breweries plc 277 ------- SOUTH KOREA -- 1.2% 15,900 Korea Telecom Corporation, ADR.......... 291 ------- SPAIN -- 5.8% 47,680 Banco Bilbao Vizcaya Argentaria SA!!.... 490 32,500 Repsol YPF SA........................... 467 39,900 Telefonica SA!!......................... 441 ------- 1,398 ------- SWITZERLAND -- 1.4% 1,700 Zurich Financial Services AG............ 348 ------- UNITED KINGDOM -- 9.5% 69,900 BAE Systems plc......................... 340 45,500 British American Tobacco plc............ 402
VALUE SHARES (000) ----------------------------------------------------------- UNITED KINGDOM -- (CONTINUED) 56,480 British Telecommunications plc.......... $ 282 43,100 Diageo plc.............................. 453 178,500 Invensys plc............................ 92 86,300 Marks & Spencer plc..................... 323 52,300 Unilever plc............................ 397 ------- 2,289 ------- UNITED STATES -- 46.2% 7,500 Albertson's, Inc.(a).................... 239 9,900 Allstate Corporation.................... 370 28,140 Archer-Daniels-Midland Company.......... 354 3,100 Avaya Inc.!!............................ 31 9,600 Banc One Corporation.................... 302 13,200 Boeing Company.......................... 442 19,300 ConAgra Foods, Inc.!!................... 434 10,300 E.I. duPont de Nemours and Company...... 387 10,400 Eastman Kodak Company................... 338 18,000 Goodyear Tire & Rubber Company.......... 332 8,700 Great Lakes Chemical Corporation........ 192 26,800 Hewlett-Packard Company................. 431 10,100 Loews Corporation....................... 467 7,200 McDonald's Corporation.................. 195 3,160 Merck & Company, Inc. .................. 210 19,480 Motorola, Inc. ......................... 304 4,500 National City Corporation............... 135 10,500 Philip Morris Companies Inc. ........... 507 9,100 Praxair, Inc. .......................... 382 16,600 Raytheon Company........................ 577 2,400 SAFECO Corporation...................... 73 10,600 SBC Communications Inc. ................ 500 16,900 Schering-Plough Corporation............. 627 14,400 Sherwin-Williams Company................ 320 14,200 Sprint Corporation (FON Group).......... 341 4,900 The Clorox Company...................... 181 8,900 Toys R Us, Inc.!!....................... 153 47,400 Unisys Corporation!!.................... 410 16,700 UST Inc. ............................... 554 8,700 Verizon Communications Inc. ............ 472 14,400 Waste Management, Inc. ................. 385 59,300 Xerox Corporation....................... 461 ------- 11,106 ------- TOTAL COMMON STOCKS (Cost $23,540)........................ 21,393 ------- PREFERRED STOCKS -- 0.1% (Cost $70) BRAZIL -- 0.1% 1,400 Telecomunicacoes Brasileiras SA - Telebras, ADR(a)...................... 35 -------
SEE NOTES TO FINANCIAL STATEMENTS. 3 NATIONS FUNDS Nations Global Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
SHARES VALUE (000) (000) ----------------------------------------------------------- INVESTMENT COMPANIES -- 13.1% (Cost $3,156) 3,156 Nations Cash Reserves#................. $ 3,156 ------- TOTAL INVESTMENTS (Cost $26,766*)............... 102.3% 24,584 ------- OTHER ASSETS AND LIABILITIES (NET)......................... (2.3)% Cash................................... $ 467 Foreign currency (cost $390)........... 388 Receivable for investment securities sold................................. 628 Dividends receivable................... 47 Interest receivable.................... 7 Collateral on securities loaned........ (555) Investment advisory fee payable........ (17) Administration fee payable............. (1) Shareholder servicing and distribution fees payable......................... (19) Payable for investment securities purchased............................ (1,405) Accrued Trustees' fees and expenses.... (3) Accrued expenses and other liabilities.......................... (99) ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................................ (562) ------- NET ASSETS...................... 100.0% $24,022 ======= NET ASSETS CONSIST OF: Undistributed net investment income.... $ 35 Accumulated net realized gain on investments sold, foreign currencies and net other assets................. 67 Net unrealized depreciation of investments, foreign currencies and net other assets..................... (2,183) Paid-in capital........................ 26,103 ------- NET ASSETS............................. $24,022 =======
VALUE ----------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($3,395,127 / 366,623 shares outstanding)......................... $9.26 ======= INVESTOR A SHARES: Net asset value and redemption price per share ($6,764,698 / 731,751 shares outstanding).................. $9.24 ======= Maximum sales charge................... 5.75% Maximum offering price per share....... $9.80 INVESTOR B SHARES: Net asset value and offering price per share! ($4,905,206 / 532,292 shares outstanding)......................... $9.22 ======= INVESTOR C SHARES: Net asset value and offering price per share! ($8,957,334 / 971,831 shares outstanding)......................... $9.22 =======
--------------- * Federal Income Tax Information: Net unrealized depreciation of $2,182 on investment securities was comprised of gross appreciation of $454 and gross depreciation of $2,636 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $26,766. !! Non-income producing security. ! 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 7). The portion that represents cash collateral is $555. (a) All or a 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 $593 and $537, respectively. ADR -- American Depository Receipt SEE NOTES TO FINANCIAL STATEMENTS. 4 NATIONS FUNDS Nations Global Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED) At September 30, 2001, sector diversification was as follows: % OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) -------------------------------------------------------------------------------------------------- Telecommunications services................................. 18.1% $ 4,337 Commercial banking.......................................... 7.0 1,683 Tobacco..................................................... 6.1 1,463 Aerospace and defense....................................... 5.7 1,359 Computers and office equipment.............................. 5.4 1,302 Food products............................................... 4.9 1,185 Chemicals -- Basic.......................................... 4.1 980 Insurance................................................... 3.9 938 Diversified electronics..................................... 3.7 884 Pharmaceuticals............................................. 3.5 837 Integrated oil.............................................. 3.3 786 Beverages................................................... 3.0 730 Electric power -- Non nuclear............................... 2.4 582 Retail -- Specialty......................................... 2.0 473 Networking and telecommunications equipment................. 1.9 467 Commercial services......................................... 1.6 385 Housing and furnishing...................................... 1.5 368 Financial services.......................................... 1.4 348 Automotive.................................................. 1.4 332 Department and discount stores.............................. 1.3 323 Other....................................................... 6.9 1,631 ---------- ------------- TOTAL COMMON STOCKS......................................... 89.1 21,393 PREFERRED STOCKS............................................ 0.1 35 INVESTMENT COMPANIES........................................ 13.1 3,156 ---------- ------------- TOTAL INVESTMENTS........................................... 102.3 24,584 OTHER ASSETS AND LIABILITIES (NET).......................... (2.3) (562) ---------- ------------- NET ASSETS.................................................. 100.0% $ 24,022 ========== =============
SEE NOTES TO FINANCIAL STATEMENTS. 5 NATIONS FUNDS Nations International Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
VALUE (000) ---------------------------------------------------------- INVESTMENT COMPANIES -- 99.0% Investment in Nations Master Investment Trust, International Value Master Portfolio*........ $1,991,276 ---------- TOTAL INVESTMENTS......... 99.0% 1,991,276 ---------- OTHER ASSETS AND LIABILITIES (NET)....... 1.0% Receivable for Fund shares sold........................... $ 25,308 Payable for Fund shares redeemed....................... (5,239) Administration fee payable....... (291) Shareholder servicing and distribution fees payable...... (335) Accrued Trustees' fees and expenses....................... (36) Accrued expenses and other liabilities.................... (207) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET).............. 19,200 ---------- NET ASSETS................ 100.0% $2,010,476 ========== NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 28,057 Accumulated net realized gain on investment..................... 40,521 Net unrealized depreciation of investment..................... (449,948) Paid-in capital.................. 2,391,846 ---------- NET ASSETS....................... $2,010,476 ==========
VALUE ---------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share (1,416,121,703 / 95,595,974 shares outstanding)............ $14.81 ====== INVESTOR A SHARES: Net asset value and redemption price per share (438,937,964 / 29,744,257 shares outstanding)................... $14.76 ====== Maximum sales charge............. 5.75% Maximum offering price per share.......................... $15.66 INVESTOR B SHARES: Net asset value and offering price per share! (83,522,432 / 5,743,972 shares outstanding)................... $14.54 ====== INVESTOR C SHARES: Net asset value and offering price per share! (71,893,889 / 4,943,886 shares outstanding)................... $14.54 ======
--------------- * The financial statements of the International Value Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the International Value 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. 6 NATIONS FUNDS Nations International Equity Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
VALUE (000) ---------------------------------------------------------- INVESTMENT COMPANIES -- 98.7% Investment in Nations Master Investment Trust, International Equity Master Portfolio*........ $ 535,972 --------- TOTAL INVESTMENTS.......... 98.7% 535,972 --------- OTHER ASSETS AND LIABILITIES (NET)........ 1.3% Receivable for Fund shares sold... $ 9,194 Payable for Fund shares redeemed........................ (1,707) Administration fee payable........ (76) Shareholder servicing and distribution fees payable....... (28) Accrued Trustees' fees and expenses........................ (99) Accrued expenses and other liabilities..................... (159) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............... 7,125 --------- NET ASSETS................. 100.0% $ 543,097 ========= NET ASSETS CONSIST OF: Distributions in excess of net investment income............... $ (5,262) Accumulated net realized loss on investment...................... (105,549) Net unrealized depreciation of investment...................... (80,889) Paid-in capital................... 734,797 --------- NET ASSETS........................ $ 543,097 =========
VALUE ---------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share (492,279,708 / 51,475,198 shares outstanding).................... $9.56 ====== INVESTOR A SHARES: Net asset value and redemption price per share (34,685,332 / 3,689,601 shares outstanding)... $9.40 ====== Maximum sales charge.............. 5.75% Maximum offering price per share........................... $9.97 INVESTOR B SHARES: Net asset value and offering price per share! (15,160,194 / 1,678,070 shares outstanding)... $9.03 ====== INVESTOR C SHARES: Net asset value and offering price per share! (971,751 / 110,213 shares outstanding)............. $8.82 ======
--------------- * The financial statements of the International Equity Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the International Equity 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. 7 NATIONS FUNDS Nations Marsico International Opportunities Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ----------------------------------------------------------- COMMON STOCKS -- 89.0% BERMUDA -- 2.7% 13,482 Accenture Ltd.!!........................ $ 172 ------- BRAZIL -- 1.0% 4,766 Embraer-Empresa Brasileira de Aeronautica SA, ADR................... 61 ------- CANADA -- 6.1% 9,460 Bombardier, Inc. 'B'.................... 69 3,511 Canadian National Railway Company....... 133 17,452 Westjet Airlines Ltd.................... 185 ------- 387 ------- CHINA -- 2.1% 6,500 CNOOC Ltd., ADR!!(a).................... 130 ------- DENMARK -- 2.4% 1,348 Novo Nordisk A/S, ADR................... 57 2,322 Novo Nordisk A/S, Class B............... 96 ------- 153 ------- FINLAND -- 0.9% 3,800 Nokia Corporation!!..................... 59 ------- FRANCE -- 8.9% 2,044 Carrefour SA............................ 98 8,058 JC Decaux SA............................ 63 1,738 Lafarge SA!!............................ 142 1,078 Suez Lyonnaise des Eaux................. 36 2,724 Suez SA................................. 91 994 TotalFinaElf SA......................... 133 ------- 563 ------- GERMANY -- 13.2% 640 AMB Generali Holding AG................. 65 4,342 AWD Holdings AG......................... 94 5,072 Bayerische Motoren Werke (BMW) AG!!..... 129 4,483 KarstadtQuelle AG....................... 132 834 Muenchener Rueckversicherungs-Gesellschaft AG-... 216 250 Porsche AG.............................. 64 3,398 RWE AG.................................. 136 ------- 836 ------- IRELAND -- 2.6% 4,012 Ryanair Holdings plc, ADR!!............. 164 ------- ITALY -- 1.0% 2,425 Assicurazioni Generali SpA.............. 65 -------
VALUE SHARES (000) ----------------------------------------------------------- JAPAN -- 5.7% 1,450 Aiful Corporation....................... $ 122 6,000 Mitsui Fudosan Company, Ltd............. 68 7,000 Nippon COMSYS Corporation............... 88 11,000 The Suruga Bank, Ltd.................... 83 ------- 361 ------- NETHERLANDS -- 11.5% 5,424 Heineken Holding NV 'A'................. 152 7,294 Koninklijke Ahold NV!!.................. 203 3,446 TNT Post Group NV....................... 66 3,619 Unilever NV!!........................... 196 3,799 VNU NV.................................. 107 ------- 724 ------- PORTUGAL -- 1.3% 11,638 Portugal Telecom, SGPS, SA (REGD)....... 85 ------- SOUTH KOREA -- 1.1% 3,190 H&CB.................................... 68 ------- SPAIN -- 7.6% 28,027 Corporacion Mapfre, Compania Internacional de Reaseguros, SA....... 166 7,840 Grupo Auxiliar Metalurgico SA!!......... 107 7,971 Industria De Diseno Textil, SA!!........ 134 3,334 Sogecable, SA!!......................... 73 ------- 480 ------- SWITZERLAND -- 3.0% 4,110 UBS AG(a)............................... 190 ------- UNITED KINGDOM -- 17.9% 2,154 Amdocs Ltd.!!........................... 57 17,620 Arm Holdings plc!!...................... 61 8,816 BP Amoco plc............................ 73 14,686 Diageo plc.............................. 154 7,706 GlaxoSmithKline plc..................... 217 24,844 Northern Rock plc....................... 187 9,814 Royal Bank of Scotland-................. 216 13,250 Trinity Mirror plc...................... 68 44,422 Vodafone Group plc...................... 97 ------- 1,130 ------- TOTAL COMMON STOCKS (Cost $5,682)......................... 5,628 -------
SEE NOTES TO FINANCIAL STATEMENTS. 8 NATIONS FUNDS Nations Marsico International Opportunities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 3.2% (Cost $200) $ 200 Federal Home Loan Bank Discount note 10/01/01.............................. $ 200 ------- SHARES (000) --------- INVESTMENT COMPANIES -- 5.9% (Cost $375) 375 Nations Cash Reserves#.................. 375 ------- TOTAL INVESTMENTS (Cost $6,257*)................. 98.1% 6,203 ------- OTHER ASSETS AND LIABILITIES (NET).......................... 1.9% Foreign currency (cost $898)............ $ 890 Receivable for investment securities sold.................................. 1,733 Dividends receivable.................... 13 Interest receivable..................... 1 Receivable from investment advisor...... 25 Collateral on securities loaned......... (307) Investment advisory fee payable......... (4) Shareholder servicing and distribution fees payable.......................... (4) Due to custodian........................ (250) Payable for investment securities purchased............................. (1,876) Accrued Trustees' fees and expenses..... (16) Accrued expenses and other liabilities........................... (87) ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................................. 118 ------- NET ASSETS....................... 100.0% $ 6,321 ======= NET ASSETS CONSIST OF: Distributions in excess of net investment income..................... $ (7) Accumulated net realized loss on investments sold, foreign currencies and net other assets.................. (2,859) Net unrealized depreciation of investments, foreign currencies and net other assets...................... (55) Paid-in capital......................... 9,242 ------- NET ASSETS.............................. $ 6,321 =======
VALUE ------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($1,885,426 / 275,533 shares outstanding)................... $6.84 ======= INVESTOR A SHARES: Net asset value and redemption price per share ($2,003,021 / 293,625 shares outstanding).......................... $6.82 ======= Maximum sales charge.................... 5.75% Maximum offering price per share........ $7.24 INVESTOR B SHARES: Net asset value and offering price per share! ($1,633,836 / 241,658 shares outstanding).......................... $6.76 ======= INVESTOR C SHARES: Net asset value and offering price per share! ($798,696 / 118,094 shares outstanding).......................... $6.76 =======
--------------- * Federal Income Tax Information: Net unrealized depreciation of $54 on investment securities was comprised of gross appreciation of $197 and gross depreciation of $251 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $6,257. - 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. !! Non-income producing security. ! 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 7). The portion that represents cash collateral is $307. (a) All or a 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 $309 and $298, respectively. ADR -- American Depository Receipt SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS FUNDS Nations Marsico International Opportunities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED) At September 30, 2001, sector diversification was as follows: % OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) -------------------------------------------------------------------------------------------------- Common stocks: Insurance................................................... 8.1% $ 512 Commercial banking.......................................... 5.8 367 Consumer services........................................... 5.7 362 Airlines.................................................... 5.5 349 Integrated oil.............................................. 5.3 336 Telecommunications services................................. 5.2 327 Food and drug stores........................................ 4.8 301 Pharmaceuticals............................................. 3.4 217 Commercial services......................................... 3.4 215 Finance -- Miscellaneous.................................... 3.4 216 Automotive.................................................. 3.1 193 Railroads, trucking and shipping............................ 3.1 199 Food products............................................... 3.1 196 Consumer credit and mortgages............................... 3.0 187 Publishing and advertising.................................. 2.8 175 Beverages................................................... 2.4 154 Health services............................................. 2.4 153 Construction................................................ 2.2 142 Energy -- Miscellaneous..................................... 2.2 136 Aerospace and defense....................................... 2.1 130 Other....................................................... 12.0 761 ---------- ------------- TOTAL COMMON STOCKS......................................... 89.0 5,628 U.S. GOVERNMENT AND AGENCY OBLIGATIONS...................... 3.2 200 INVESTMENT COMPANIES........................................ 5.9 375 ---------- ------------- TOTAL INVESTMENTS........................................... 98.1 6,203 OTHER ASSETS AND LIABILITIES (NET).......................... 1.9 118 ---------- ------------- NET ASSETS.................................................. 100.0% $ 6,321 ========== =============
SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS FUNDS Nations Emerging Markets Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------ COMMON STOCKS -- 84.0% ARGENTINA -- 1.7% 25,434 Grupo Financiero Galicia SA, ADR(a)............................ $ 151 21,100 Perez Companc SA, ADR(a)............ 215 -------- 366 -------- BRAZIL -- 7.8% 12,500 Brasil Telecom Participacoes SA, ADR!!(a).......................... 340 53,000 Companhia Paranaense de Energia-Copel, ADR................ 310 13,100 Companhia Vale do Rio Doce, ADR!!... 261 34,000 Gerdau SA, ADR(a)................... 170 6,300 Petroleo Brasileiro SA-'A', ADR..... 121 31,502 Tele Norte Leste Participacoes SA, ADR(a)............................ 285 10,000 Unibanco -- Uniao de Bancos Brasileiros SA.................... 145 -------- 1,632 -------- CHINA -- 2.0% 2,236,000 PetroChina Company Ltd. ............ 427 -------- GREECE -- 0.9% 37,000 STET Hellas Telecommunications SA, ADR!!............................. 179 -------- HONG KONG -- 5.5% 28,600 China Mobile (Hong Kong) Ltd., ADR!!............................. 459 988,000 Denway Investment!!................. 263 637,000 Wheelock And Company Ltd. .......... 437 -------- 1,159 -------- HUNGARY -- 3.1% 5,000 Gedeon Richter, GDR................. 275 28,000 Matav, ADR(a)....................... 378 -------- 653 -------- INDIA -- 6.6% 94,400 ICICI Ltd., ADR..................... 467 16,200 Ranbaxy Laboratories Ltd. .......... 219 38,500 Reliance Industries Ltd., GDR....... 466 45,100 Satyam Infoway Ltd., ADR!!(a)....... 47 9,200 Wipro Ltd.(a)....................... 195 -------- 1,394 -------- ISRAEL -- 2.4% 89,200 M-Systems Flash Disk Pioneers Ltd. ............................. 377 12,400 Precise Software Solutions Ltd.!!... 137 -------- 514 -------- MALAYSIA -- 4.4% 343,200 AMMB Holdings Berhad!!.............. 266 140,000 Commerce Asset-Holding Berhad....... 260 221,000 Unisem (M) Berhad................... 398 -------- 924 -------- MEXICO -- 12.5% 305,400 Alfa, SA............................ 218 189,100 Carso Global Telecom, ADR!!(a)...... 724 17,100 Consorcio ARA SA de CV, ADR!!-...... 214 63,000 Grupo Elektra SA de CV, GDR(a)...... 296 40,000 Grupo IMSA SA de CV, ADR............ 276 144,000 Grupo Modelo SA de CV 'C'........... 316
VALUE SHARES (000) ------------------------------------------------------------ MEXICO -- (CONTINUED) 82,000 TV Azteca SA de CV, ADR!!........... $ 316 12,800 Wal-Mart de Mexico SA de CV, ADR.... 268 -------- 2,628 -------- POLAND -- 1.8% 53,218 Polski Koncern Naftowy Orlen SA, GDR............................... 375 -------- RUSSIA -- 7.0% 116,800 AO Tatneft, ADR(a).................. 1,026 43,500 Gazprom, ADR........................ 384 5,000 Norilsk Nickel, ADR!!............... 55 -------- 1,465 -------- SOUTH AFRICA -- 7.6% 30,100 Anglo American plc.................. 359 270,000 Aveng Ltd. ......................... 237 383,500 BoE Ltd. ........................... 163 217,200 FirstRand Ltd....................... 180 5,500 Impala Platinum Holdings Ltd........ 194 25,200 Investec Group Ltd.!!............... 455 -------- 1,588 -------- SOUTH KOREA -- 9.7% 33,000 Ceratech Corporation................ 300 42,300 Hynix Semiconductor Inc., GDR!!..... 140 34,900 Hyundai Motor Company Ltd., GDR..... 230 2,700 Samsung Electronics................. 289 37,400 Shinhan Financial Group Company, Ltd., GDS(a)...................... 560 27,660 SK Telecom Company Ltd., ADR........ 510 -------- 2,029 -------- TAIWAN -- 6.9% 146,550 Asustek Computer Inc., GDR.......... 455 57,000 Compal Electronics Inc., GDR(a)..... 205 60,000 Hon Hai Precision Industry Company, Ltd............................... 190 377,300 Macronix International Company Ltd.!!............................ 198 262,500 Ritek Corporation................... 211 21,172 Taiwan Semiconductor Manufacturing Company Ltd., ADR!!(a)............ 201 -------- 1,460 -------- THAILAND -- 2.8% 1,731,800 Siam Commercial Bank Public Company Ltd.!!............................ 584 -------- TURKEY -- 1.3% 191,190,000 Yapi ve Kredi Bankasi AS!!.......... 281 -------- TOTAL COMMON STOCKS (Cost $27,944)...................... 17,658 -------- PREFERRED STOCKS -- 7.9% BRAZIL -- 6.1% 2,950,000 Ambev Cia De Bebid.................. 475 124,724,810 Banco Bradesco SA................... 493 16,150 Petroleo Brasileiro SA - Petrobras......................... 310 -------- 1,278 -------- SOUTH KOREA -- 1.8% 65,000 LG Electronics Inc.................. 384 -------- TOTAL PREFERRED STOCKS (Cost $1,857)..................... 1,662 --------
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations Emerging Markets Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------ WARRANTS -- 0.1% BRAZIL -- 0.1% 4,990 Ambev Cia De Bebid Expire 4/30/03.................... $ 1 59,969 Ambev Cia De Bebid Expire 4/30/03.................... 19 -------- 20 -------- TOTAL WARRANTS (Cost $3)......................... 20 --------
SHARES (000) ----------- INVESTMENT COMPANIES -- 24.8% 4,969 Nations Cash Reserves#............. 4,969 51 Taiwan Index Fund.................. 235 -------- TOTAL INVESTMENT COMPANIES (Cost $5,448)............. 5,204 -------- TOTAL INVESTMENTS (Cost $35,252*)........... 116.8% 24,544 -------- OTHER ASSETS AND LIABILITIES (NET)......... (16.8)% Cash............................... $ 11 Foreign currency (cost $695)....... 681 Receivable for investment 218 securities sold.................. Receivable for Fund shares sold.... 963 Dividends receivable............... 81 Collateral on securities loaned.... (4,276) Payable for Fund shares redeemed... (6) Investment advisory fee payable.... (3) Administration fee payable......... (4) Shareholder servicing and distribution fees payable........ (3) Payable for investment securities purchased........................ (1,091) Accrued Trustees' fees and (34) expenses......................... Accrued expenses and other (60) liabilities...................... -------- TOTAL OTHER ASSETS AND LIABILITIES (3,523) (NET)............................ -------- NET ASSETS.................. 100.0% $ 21,021 ======== NET ASSETS CONSIST OF: Undistributed net investment $ 66 income........................... Accumulated net realized loss on investments sold, foreign currencies and net other (23,683) assets........................... Net unrealized depreciation of investments, foreign currencies and net other assets............. (10,723) Paid-in capital.................... 55,361 -------- NET ASSETS......................... $ 21,021 ======== VALUE ------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($17,214,411 / 2,540,332 shares $6.78 outstanding)..................... ===== INVESTOR A SHARES: Net asset value and redemption price per share ($2,405,013 / 358,537 shares $6.71 outstanding)..................... ===== 5.75% Maximum sales charge............... $7.12 Maximum offering price per share... INVESTOR B SHARES: Net asset value and offering price per share! ($1,317,057 / 202,227 shares outstanding).............. $6.51 ===== INVESTOR C SHARES: Net asset value and offering price per share! ($84,938 / 13,061 shares outstanding).............. $6.50 =====
--------------- * Federal Income Tax Information: Net unrealized depreciation of $10,708 on investment securities was comprised of gross appreciation of $62 and gross depreciation of $10,770 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $35,252. - 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. !! Non-income producing security. ! 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 7). The portion that represents cash collateral is $4,276. (a) All or a 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 $6,012 and $3,717, respectively. ADR -- American Depository Receipt GDR -- Global Depository Receipt GDS -- Global Depository Shares SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations Emerging Markets Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED) At September 30, 2001, sector diversification was as follows: % OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) -------------------------------------------------------------------------------------------------- Common stocks: Telecommunications services................................. 13.8% $ 2,875 Commercial banking.......................................... 10.7 2,259 Semiconductors.............................................. 7.6 1,603 Exploration and production.................................. 4.9 1,026 Diversified manufacturing................................... 4.6 960 Metals and mining........................................... 4.1 869 Diversified electronics..................................... 4.0 850 Oil refining and marketing.................................. 3.8 802 Real estate................................................. 3.1 651 Department and discount stores.............................. 2.7 564 Electronics................................................. 2.4 511 Pharmaceuticals............................................. 2.4 494 Automotive.................................................. 2.3 493 Finance -- Miscellaneous.................................... 2.2 467 Investment services......................................... 2.2 455 Software.................................................... 1.8 379 Natural gas distribution.................................... 1.8 384 Beverages................................................... 1.5 316 Integrated oil.............................................. .6 121 Other....................................................... 7.5 1,579 ---------- ------------- TOTAL COMMON STOCKS......................................... 84.0 17,658 PREFERRED STOCKS............................................ 7.9 1,662 WARRANTS.................................................... 0.1 20 INVESTMENT COMPANIES........................................ 24.8 5,204 ---------- ------------- TOTAL INVESTMENTS........................................... 116.8 24,544 OTHER ASSETS AND LIABILITIES (NET).......................... (16.8) (3,523) ---------- ------------- NET ASSETS.................................................. 100.0% $ 21,021 ========== =============
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2001 GLOBAL INTERNATIONAL INTERNATIONAL INTERNATIONAL VALUE(A) VALUE EQUITY OPPORTUNITIES ---------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $7, $0, $0, $9 and $51, respectively)....... $ 120 $ -- $ -- $ 51 Dividends allocated from Portfolio (Net of foreign withholding taxes of $0, $3,978, $1,502, $0 and $0, respectively)+........... -- 28,898 8,278 -- Dividend income from affiliated funds......... 30 -- -- 1 Dividend income from affiliated funds allocated from Portfolio+................... -- 1,803 475 -- Interest...................................... -- -- -- 16 Interest allocated from Portfolio+............ -- -- 53 -- Securities lending............................ --* -- -- 1 Securities lending collateral from Portfolio+.................................. -- 1,528 420 -- Expenses allocated from Portfolio+............ -- (9,708) (3,265) -- -------------- -------------- -------------- -------------- Total investment income................... 150 22,521 5,961 69 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee....................... 52 -- -- 31 Administration fee............................ 13 1,715 587 8 Transfer agent fees........................... 13 449 129 4 Custodian fees................................ 23 -- -- 20 Legal and audit fees.......................... 24 40 33 28 Registration and filing fees.................. 34 107 32 40 Trustees' fees and expenses................... 8 16 16 16 Interest expense.............................. -- -- -- -- Printing expense.............................. 28 79 35 40 Other......................................... 1 13 7 -- -------------- -------------- -------------- -------------- Subtotal.................................. 196 2,419 839 187 Shareholder servicing and distribution fees: Investor A Shares........................... 5 552 49 3 Investor B Shares........................... 12 451 98 11 Investor C Shares........................... 18 324 6 5 -------------- -------------- -------------- -------------- Total expenses............................ 231 3,746 992 206 Fees waived by investment advisor and/or administrator............................... (115) (649) -- (130) Fees reduced by credits allowed by the custodian................................... (1) -- -- --* -------------- -------------- -------------- -------------- Net expenses.............................. 115 3,097 992 76 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME/(LOSS).................. 35 19,424 4,969 (7) -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions....................... 78 -- -- (1,057) Security transactions allocated from Portfolio+................................ -- 33,508 (63,724) -- Foreign currencies and net other assets..... (11) -- -- (25) Foreign currencies and net other assets allocated from Portfolio+................. -- 440 (592) -- -------------- -------------- -------------- -------------- Net realized gain/(loss) on investments....... 67 33,948 (64,316) (1,082) -------------- -------------- -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities (Note 9)......................... (2,183) -- -- (77) Securities allocated from Portfolio (Note 9)+....................................... -- (388,562) (21,735) -- Foreign currencies and net other assets..... --* -- -- 6 -------------- -------------- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments................................. (2,183) (388,562) (21,735) (71) -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments................................. (2,116) (354,614) (86,051) (1,153) -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................... $ (2,081) $ (335,190) $ (81,082) $ (1,160) ============== ============== ============== ============== EMERGING MARKETS ----------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $7, $0, $0, $9 and $51, respectively)....... $ 414 Dividends allocated from Portfolio (Net of foreign withholding taxes of $0, $3,978, $1,502, $0 and $0, respectively)+........... -- Dividend income from affiliated funds......... 9 Dividend income from affiliated funds allocated from Portfolio+................... -- Interest...................................... 14 Interest allocated from Portfolio+............ -- Securities lending............................ 37 Securities lending collateral from Portfolio+.................................. -- Expenses allocated from Portfolio+............ -- -------------- Total investment income................... 474 -------------- EXPENSES: Investment advisory fee....................... 182 Administration fee............................ 40 Transfer agent fees........................... 6 Custodian fees................................ 15 Legal and audit fees.......................... 30 Registration and filing fees.................. 16 Trustees' fees and expenses................... 16 Interest expense.............................. 10 Printing expense.............................. 34 Other......................................... 3 -------------- Subtotal.................................. 352 Shareholder servicing and distribution fees: Investor A Shares........................... 6 Investor B Shares........................... 9 Investor C Shares........................... 1 -------------- Total expenses............................ 368 Fees waived by investment advisor and/or administrator............................... (9) Fees reduced by credits allowed by the custodian................................... -- -------------- Net expenses.............................. 359 -------------- NET INVESTMENT INCOME/(LOSS).................. 115 -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions....................... (4,373) Security transactions allocated from Portfolio+................................ -- Foreign currencies and net other assets..... (23) Foreign currencies and net other assets allocated from Portfolio+................. -- -------------- Net realized gain/(loss) on investments....... (4,396) -------------- Change in unrealized appreciation/(depreciation) of: Securities (Note 9)......................... (1,893) Securities allocated from Portfolio (Note 9)+....................................... -- Foreign currencies and net other assets..... (11) -------------- Net change in unrealized appreciation/(depreciation) of investments................................. (1,904) -------------- Net realized and unrealized gain/(loss) on investments................................. (6,300) -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................... $ (6,185) ==============
--------------- * Amount represents less than $500. + Allocated from International Value Master Portfolio and International Equity Master Portfolio, respectively. (a) Global Value commenced operations on April 16, 2001. SEE NOTES TO FINANCIAL STATEMENTS. 14 [This page intentionally left blank] 15 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
GLOBAL VALUE INTERNATIONAL VALUE ------------------------------------------------------------ PERIOD SIX MONTHS ENDED ENDED 09/30/01(A) 9/30/01 YEAR ENDED (UNAUDITED) (UNAUDITED) 3/31/01 ------------------------------------------------------------ (IN THOUSANDS) Net investment income/(loss)............................ $ 35 $ 19,424 $ 22,150 Net realized gain/(loss) on investments................. 67 -- -- Net realized gain/(loss) on investments allocated from Portfolio+............................................ -- 33,948 33,992 Net change in unrealized appreciation/(depreciation) of investments........................................... (2,183) -- -- Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+................. -- (388,562) (103,599) -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations............................................ (2,081) (335,190) (47,457) Distributions to shareholders from net investment income: Primary A Shares...................................... -- -- (9,924) Primary B Shares...................................... -- -- -- Investor A Shares..................................... -- -- (2,896) Investor B Shares..................................... -- -- (484) Investor C Shares..................................... -- -- (167) Distributions to shareholders in excess of net investment income: Primary A Shares...................................... -- -- -- Primary B Shares...................................... -- -- -- Investor A Shares..................................... -- -- -- Investor B Shares..................................... -- -- -- Investor C Shares..................................... -- -- -- Distributions to shareholders from net realized gain on investments: Primary A Shares...................................... -- (4,601) (47,333) Primary B Shares...................................... -- -- -- Investor A Shares..................................... -- (1,462) (15,320) Investor B Shares..................................... -- (309) (3,941) Investor C Shares..................................... -- (206) (1,209) Distributions to shareholders in excess of 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.......................................... 26,103 705,260 923,753 -------------- -------------- -------------- Net increase/(decrease) in net assets................... 24,022 363,492 795,022 NET ASSETS: Beginning of period..................................... --* 1,646,984 851,962 -------------- -------------- -------------- End of period........................................... $ 24,022 $ 2,010,476 $ 1,646,984 ============== ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period................... $ 35 $ 28,057 $ 8,633 ============== ============== ==============
--------------- * Amount represents less than $500. + Allocated from International Value Master Portfolio and International Equity Master Portfolio, respectively. (a) Global Value commenced operations on April 16, 2001. (b) International Opportunities commenced operations on August 1, 2000. SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
INTERNATIONAL EQUITY INTERNATIONAL OPPORTUNITIES ------------------------------------- ------------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/01 YEAR ENDED 9/30/01 PERIOD ENDED (UNAUDITED) 3/31/01 (UNAUDITED) 3/31/01(B) --------------------------------------------------------------------------------------- $ 4,969 $ 8,048 $ (7) $ (18) -- -- (1,082) (1,768) (64,316) (29,984) -- -- -- -- (71) 16 (21,735) (259,030) -- -- -------------- -------------- -------------- -------------- (81,082) (280,966) (1,160) (1,770) -- (6,672) -- -- -- -- -- -- -- (230) -- -- -- (137) -- -- -- (4) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (53,837) -- -- -- --* -- -- -- (1,868) -- -- -- (2,011) -- -- -- (68) -- -- -- (7,943) -- -- -- --* -- -- -- (275) -- -- -- (297) -- -- -- (10) -- -- (169,076) 204,671 202 9,049 -------------- -------------- -------------- -------------- (250,158) (149,647) (958) 7,279 793,255 942,902 7,279 -- -------------- -------------- -------------- -------------- $ 543,097 $ 793,255 $ 6,321 $ 7,279 ============== ============== ============== ============== $ (5,262) $ (10,231) $ (7) $ -- ============== ============== ============== ============== EMERGING MARKETS ------------------------------------- SIX MONTHS ENDED 9/30/01 YEAR ENDED (UNAUDITED) 3/31/01 --- ------------------------------------- $ 115 $ (242) (4,396) (1,627) -- -- (1,904) (26,159) -- -- -------------- -------------- (6,185) (28,028) -- (79) -- -- -- (6) -- -- -- -- -- (18) -- -- -- (1) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (13,314) 5,743 -------------- -------------- (19,499) (22,389) 40,520 62,909 -------------- -------------- $ 21,021 $ 40,520 ============== ============== $ 66 $ (49) ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
GLOBAL VALUE PERIOD ENDED SEPTEMBER 30, 2001 (UNAUDITED) ------------------- SHARES DOLLARS ------------------- (IN THOUSANDS) PRIMARY A SHARES:+ Sold...................................................... 438 $ 4,350 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. (71) (722) ----- ------- Net increase/(decrease)................................... 367 $ 3,628 ===== ======= INVESTOR A SHARES:+ Sold...................................................... 769 $ 7,756 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. (37) (360) ----- ------- Net increase/(decrease)................................... 732 $ 7,396 ===== ======= INVESTOR B SHARES:+ Sold...................................................... 539 $ 5,460 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. (8) (70) ----- ------- Net increase/(decrease)................................... 531 $ 5,390 ===== ======= INVESTOR C SHARES:+ Sold...................................................... 989 $ 9,851 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. (17) (162) ----- ------- Net increase/(decrease)................................... 972 $ 9,689 ===== ======= Total net increase/(decrease)............................. 2,602 $26,103 ===== =======
--------------- + Global Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on April 16, 2001. SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERNATIONAL VALUE SIX MONTHS ENDED SEPTEMBER 30, 2001 YEAR ENDED (UNAUDITED) MARCH 31, 2001 -------------------- --------------------- SHARES DOLLARS SHARES DOLLARS ----------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 40,041 $ 694,380 46,622 $ 863,368 Issued as reinvestment of dividends....................... 107 1,981 1,731 30,888 Redeemed.................................................. (11,816) (204,654) (13,064) (241,191) ------- --------- ------- ---------- Net increase/(decrease)................................... 28,332 $ 491,707 35,289 $ 653,065 ======= ========= ======= ========== INVESTOR A SHARES: Sold...................................................... 30,406 $ 525,456 56,747 $1,051,494 Issued as reinvestment of dividends....................... 53 971 763 13,561 Redeemed.................................................. (21,206) (365,626) (46,965) (869,653) ------- --------- ------- ---------- Net increase/(decrease)................................... 9,253 $ 160,801 10,545 $ 195,402 ======= ========= ======= ========== INVESTOR B SHARES: Sold...................................................... 1,550 $ 26,370 2,235 $ 41,136 Issued as reinvestment of dividends....................... 14 258 227 3,980 Redeemed.................................................. (545) (8,930) (473) (8,581) ------- --------- ------- ---------- Net increase/(decrease)................................... 1,019 $ 17,698 1,989 $ 36,535 ======= ========= ======= ========== INVESTOR C SHARES: Sold...................................................... 2,411 $ 40,380 2,267 $ 41,438 Issued as reinvestment of dividends....................... 8 145 62 1,094 Redeemed.................................................. (332) (5,471) (208) (3,781) ------- --------- ------- ---------- Net increase/(decrease)................................... 2,087 $ 35,054 2,121 $ 38,751 ======= ========= ======= ========== Total net increase/(decrease)............................. 40,691 $ 705,260 49,944 $ 923,753 ======= ========= ======= ==========
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERNATIONAL EQUITY SIX MONTHS ENDED SEPTEMBER 30, 2001 YEAR ENDED (UNAUDITED) MARCH 31, 2001 -------------------- ----------------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 32,273 $ 357,092 119,548 $ 1,587,180 Issued in exchange for: Assets of Boatmen's Trust Company International Equity Fund (Master Trust Note 7)............................ -- -- 2,048 29,129 Primary A Shares of Nations International Growth Fund (Master Trust Note 7)................................. -- -- 1,260 17,669 Issued as reinvestment of dividends....................... -- -- 2,495 34,578 Redeemed.................................................. (45,952) (513,663) (111,981) (1,479,456) ------- --------- -------- ----------- Net increase/(decrease)................................... (13,679) $(156,571) 13,370 $ 189,100 ======= ========= ======== =========== INVESTOR A SHARES: Sold...................................................... 30,688 $ 339,620 106,860 $ 1,413,885 Issued in exchange for Investor A Shares of Nations International Growth Fund (Master Trust Note 7)......... -- -- 1,309 18,066 Issued as reinvestment of dividends....................... --* --* 117 1,593 Redeemed.................................................. (31,271) (349,125) (106,625) (1,419,696) ------- --------- -------- ----------- Net increase/(decrease)................................... (583) $ (9,505) 1,661 $ 13,848 ======= ========= ======== =========== INVESTOR B SHARES: Sold...................................................... 326 $ 3,575 854 $ 11,428 Issued in exchange for Investor B Shares of Nations International Growth Fund (Master Trust Note 7)......... -- -- 144 1,921 Issued as reinvestment of dividends....................... -- -- 172 2,294 Redeemed.................................................. (613) (6,552) (1,202) (14,802) ------- --------- -------- ----------- Net increase/(decrease)................................... (287) $ (2,977) (32) $ 841 ======= ========= ======== =========== INVESTOR C SHARES: Sold...................................................... 132 $ 1,339 506 $ 6,177 Issued in exchange for Investor C Shares of Nations International Growth Fund (Master Trust Note 7)......... -- -- 30 392 Issued as reinvestment of dividends....................... -- -- 6 81 Redeemed.................................................. (135) (1,362) (492) (5,768) ------- --------- -------- ----------- Net increase/(decrease)................................... (3) $ (23) 50 $ 882 ======= ========= ======== =========== Total net increase/(decrease)............................. (14,552) $(169,076) 15,049 $ 204,671 ======= ========= ======== ===========
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERNATIONAL OPPORTUNITIES SIX MONTHS ENDED SEPTEMBER 30, 2001 PERIOD ENDED (UNAUDITED) MARCH 31, 2001 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ----------------------------------------- (IN THOUSANDS) PRIMARY A SHARES:+ Sold...................................................... 151 $1,255 189 $ 1,855 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (60) (486) (5) (43) --- ------ ---- ------- Net increase/(decrease)................................... 91 $ 769 184 $ 1,812 === ====== ==== ======= INVESTOR A SHARES:+ Sold...................................................... 34 $ 275 524 $ 5,045 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (90) (727) (175) (1,586) --- ------ ---- ------- Net increase/(decrease)................................... (56) $ (452) 349 $ 3,459 === ====== ==== ======= INVESTOR B SHARES:+ Sold...................................................... 12 $ 102 272 $ 2,713 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (25) (188) (18) (153) --- ------ ---- ------- Net increase/(decrease)................................... (13) $ (86) 254 $ 2,560 === ====== ==== ======= INVESTOR C SHARES:+ Sold...................................................... 6 $ 45 139 $ 1,376 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (10) (74) (17) (158) --- ------ ---- ------- Net increase/(decrease)................................... (4) $ (29) 122 $ 1,218 === ====== ==== ======= Total net increase/(decrease)............................. 18 $ 202 909 $ 9,049 === ====== ==== =======
--------------- + International Opportunities Primary A, Investor A, Investor B and Investor C Shares commenced operations on August 1, 2000. SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
EMERGING MARKETS SIX MONTHS ENDED SEPTEMBER 30, 2001 YEAR ENDED (UNAUDITED) MARCH 31, 2001 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,506 $ 22,860 4,079 $ 44,819 Issued as reinvestment of dividends....................... -- -- 1 6 Redeemed.................................................. (3,874) (35,760) (3,739) (40,979) ------ -------- ------ -------- Net increase/(decrease)................................... (1,368) $(12,900) 341 $ 3,846 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 650 $ 5,917 1,719 $ 19,992 Issued as reinvestment of dividends....................... -- -- 1 7 Redeemed.................................................. (727) (6,408) (1,482) (17,808) ------ -------- ------ -------- Net increase/(decrease)................................... (77) $ (491) 238 $ 2,191 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 23 $ 207 27 $ 304 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (21) (178) (53) (594) ------ -------- ------ -------- Net increase/(decrease)................................... 2 $ 29 (26) $ (290) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 6 $ 53 5 $ 46 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (1) (5) (5) (50) ------ -------- ------ -------- Net increase/(decrease)................................... 5 $ 48 --* $ (4) ====== ======== ====== ======== Total net increase/(decrease)............................. (1,438) $(13,314) 553 $ 5,743 ====== ======== ====== ========
--------------- * Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 22 [This page intentionally left blank] 23 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET IN EXCESS OF BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT NET INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME INCOME ----------------------------------------------------------------------------------------------- GLOBAL VALUE: PRIMARY A SHARES Six months ended 9/30/2001*# (unaudited)................. $10.00 $0.06 $(0.80) $(0.74) $ -- $ -- INVESTOR A SHARES Six months ended 9/30/2001*# (unaudited)................. $10.00 $0.05 $(0.81) $(0.76) $ -- $ -- INVESTOR B SHARES Six months ended 9/30/2001*# (unaudited)................. $10.00 $0.01 $(0.79) $(0.78) $ -- $ -- INVESTOR C SHARES Six months ended 9/30/2001*# (unaudited)................. $10.00 $0.01 $(0.79) $(0.78) $ -- $ --
--------------- * Global Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on April 16, 2001. + Annualized. # 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%. SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS --------------------------------------------------------------------------------------------------------------------------------- $ -- $ -- $9.26 (7.40)% $3,395 1.40%+(a) 1.25%+ 9% 3.43%+(a) $ -- $ -- $9.24 (7.60)% $6,765 1.65%+(a) 1.00%+ 9% 3.68%+(a) $ -- $ -- $9.22 (7.80)% $4,905 2.40%+(a) 0.25%+ 9% 4.43%+(a) $ -- $ -- $9.22 (7.80)% $8,957 2.40%+(a) 0.25%+ 9% 4.43%+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 25 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 IN EXCESS OF BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT NET INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME INCOME ----------------------------------------------------------------------------------------------- INTERNATIONAL VALUE: PRIMARY A SHARES* Six months ended 9/30/2001# (unaudited)................. $17.30 $0.18 $(2.61) $(2.43) $ -- $ -- Year ended 3/31/2001.......... 18.78 0.32 (0.39) (0.07) (0.21) -- Year ended 3/31/2000#......... 14.45 0.37 4.73 5.10 (0.28) -- Period ended 3/31/1999#....... 15.53 0.16 0.28 0.44 (0.18) -- Period ended 5/15/1998........ 13.17 0.09 2.56 2.65 -- -- Year ended 11/30/1997......... 11.29 0.09 1.91 2.00 (0.09) (0.01) Period ended 11/30/1996**..... 10.00 0.06 1.29 1.35 (0.06) -- INVESTOR A SHARES* Six months ended 9/30/2001# (unaudited)................. $17.26 $0.16 $(2.60) $(2.44) $ -- $ -- Year ended 3/31/2001.......... 18.77 0.27 (0.39) (0.12) (0.19) -- Year ended 3/31/2000#......... 14.43 0.36 4.72 5.08 (0.25) -- Period ended 3/31/1999#....... 15.44 0.14 0.36 0.50 (0.17) -- Period ended 5/15/1998........ 13.13 0.08 2.52 2.60 -- -- Year ended 11/30/1997......... 11.29 0.01 1.91 1.92 (0.01) (0.05) Period ended 11/30/1996**..... 10.00 0.04 1.31 1.35 (0.04) -- INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)................. $17.07 $0.09 $(2.56) $(2.47) $ -- $ -- Year ended 3/31/2001.......... 18.64 0.16 (0.40) (0.24) (0.13) -- Year ended 3/31/2000#......... 14.40 0.22 4.66 4.88 (0.15) -- Period ended 3/31/1999***#.... 14.33 0.06 0.76 0.82 (0.13) -- INVESTOR C SHARES Six months ended 9/30/2001# (unaudited)................. $17.07 $0.09 $(2.56) $(2.47) $ -- $ -- Year ended 3/31/2001.......... 18.65 0.16 (0.41) (0.25) (0.13) -- Year ended 3/31/2000#......... 14.41 0.21 4.69 4.90 (0.17) -- Period ended 3/31/1999***#.... 13.33 0.06 1.77 1.83 (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. * The financial information for the fiscal periods through May 22, 1998 reflect the financial information for the Emerald International Equity Fund Institutional and Retail Shares, which were reorganized into the International Value Primary A and Investor A Shares, respectively, as of May 22, 1998. ** International Value Primary A and Investor A Shares commenced operations on December 27, 1995. *** International Value Investor B and Investor C Shares commenced operations on May 22, 1998 and June 15, 1998, respectively. # Per share net investment income has been calculated using the monthly average shares method. ### Amount represents results prior to conversion to a master-feeder structure. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS ----------------------------------------------------------------------------------------------------------------------------- $(0.06) $(0.06) $14.81 (14.11)% $1,416,122 1.14%+ 2.06%+ -- 1.20%+ (1.20) (1.41) 17.30 (0.50) 1,163,899 1.13 1.89 -- 1.23 (0.49) (0.77) 18.78 36.03 600,589 1.24(a) 2.11 12%### 1.34(a) (1.34) (1.52) 14.45 1.48 142,546 1.30+ 1.36+ 44 1.39+ (0.29) (0.29) 15.53 20.54 119,412 1.25+ 2.06+ 88 1.26+ (0.02) (0.12) 13.17 17.75 54,277 1.21 0.89 29 1.21 -- (0.06) 11.29 13.47 17,528 0.00+ 0.00+ 50 3.46+ $(0.06) $(0.06) $14.76 (14.20)% $ 438,938 1.39%+ 1.81%+ -- 1.45%+ (1.20) (1.39) 17.26 (0.72) 353,646 1.38 1.64 -- 1.48 (0.49) (0.74) 18.77 35.86 186,649 1.49(a) 1.86 12%### 1.59(a) (1.34) (1.51) 14.43 1.75 5,960 1.55+ 1.11+ 44 1.64+ (0.29) (0.29) 15.44 20.22 5,128 1.81+ 1.21+ 88 1.82+ (0.02) (0.08) 13.13 17.11 4,259 1.73 0.26 29 1.93 (0.02) (0.06) 11.29 13.54 115 0.00+ 1.83+ 50 57.40+ $(0.06) $(0.06) $14.54 (14.53)% $ 83,522 2.14%+ 1.06%+ -- 2.20%+ (1.20) (1.33) 17.07 (1.42) 80,655 2.13 0.89 -- 2.23 (0.49) (0.64) 18.64 34.51 50,999 2.24(a) 1.11 12%### 2.34(a) (0.62) (0.75) 14.40 1.25% 4,296 2.30+ 0.36+ 44 2.39+ $(0.06) $(0.06) $14.54 (14.53)% $ 71,894 2.14%+ 1.06%+ -- 2.20%+ (1.20) (1.33) 17.07 (1.45) 48,784 2.13 0.89 -- 2.23 (0.49) (0.66) 18.65 34.64 13,725 2.24(a) 1.11 12%### 2.34(a) (0.62) (0.75) 14.41 3.98 182 2.30+ 0.36+ 44 2.39+
SEE NOTES TO FINANCIAL STATEMENTS. 27 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 IN EXCESS OF BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT NET INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME INCOME ----------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY: PRIMARY A SHARES Six months ended 9/30/2001# (unaudited)................. $11.12 $ 0.08 $(1.64) $(1.56) $ -- $ -- Year ended 3/31/2001#......... 16.74 0.12 (4.47) (4.35) (0.11) -- Year ended 3/31/2000#......... 14.12 0.10 4.91 5.01 (0.06) -- Year ended 3/31/1999#......... 14.81 0.11 0.39 0.50 (0.12) -- Year ended 3/31/1998#......... 13.13 0.11 1.95 2.06 (0.17) (0.05) Year ended 3/31/1997#......... 13.50 0.08 0.11 0.19 (0.11) (0.00)## INVESTOR A SHARES Six months ended 9/30/2001# (unaudited)................. $10.95 $ 0.06 $(1.61) $(1.55) $ -- $ -- Year ended 3/31/2001#......... 16.51 0.07 (4.38) (4.31) (0.09) -- Year ended 3/31/2000#......... 13.97 0.06 4.86 4.92 (0.05) -- Year ended 3/31/1999#......... 14.67 0.08 0.40 0.48 (0.11) -- Year ended 3/31/1998#......... 13.01 0.07 1.94 2.01 (0.15) (0.04) Year ended 3/31/1997#......... 13.39 0.05 0.11 0.16 (0.09) (0.00)## INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)................. $10.56 $ 0.02 $(1.55) $(1.53) $ -- $ -- Year ended 3/31/2001#......... 16.06 0.00 (4.27) (4.27) (0.07) -- Year ended 3/31/2000#......... 13.75 (0.05) 4.72 4.67 (0.03) -- Year ended 3/31/1999#......... 14.56 (0.03) 0.38 0.35 (0.09) -- Year ended 3/31/1998#......... 12.83 (0.03) 1.92 1.89 -- -- Year ended 3/31/1997#......... 13.27 (0.05) 0.10 0.05 (0.04) (0.00)## INVESTOR C SHARES Six months ended 9/30/2001# (unaudited)................. $10.30 $ 0.02 $(1.50) $(1.48) $ -- $ -- Year ended 3/31/2001#......... 15.72 (0.02) (4.17) (4.19) (0.07) -- Year ended 3/31/2000#......... 13.52 (0.03) 4.60 4.57 (0.04) -- Year ended 3/31/1999#......... 14.34 (0.03) 0.37 0.34 (0.09) -- Year ended 3/31/1998#......... 12.74 (0.01) 1.89 1.88 (0.10) (0.02) Year ended 3/31/1997#......... 13.13 0.02 0.10 0.12 (0.06) (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/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. ### Amount represents results prior to conversion to a master-feeder structure. SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
DISTRIBUTIONS RATIO OF RATIO OF NET DISTRIBUTIONS IN EXCESS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT FROM NET OF NET DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO REALIZED REALIZED AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER GAINS GAINS DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS RATE ----------------------------------------------------------------------------------------------------------------------------- $ -- $ -- $ -- $ 9.56 (14.03)% $492,280 1.18%+ 1.48%+ -- (1.01) (0.15) (1.27) 11.12 (27.40) 724,572 1.15 0.89 -- (2.33) -- (2.39) 16.74 39.85 866,731 1.14 0.69 129%### (1.07) -- (1.19) 14.12 3.68 743,861 1.13 0.79 146 (0.16) -- (0.38) 14.81 16.06 885,329 1.14 0.76 64 (0.42) (0.03) (0.56) 13.13 1.32 976,855 1.16 0.62 36 $ -- $ -- $ -- $ 9.40 (14.16)% $ 34,685 1.43%+ 1.23%+ -- (1.01) (0.15) (1.25) 10.95 (27.54) 46,770 1.40 0.64 -- (2.33) -- (2.38) 16.51 39.54 43,111 1.39 0.44 129%### (1.07) -- (1.18) 13.97 3.59 12,785 1.38 0.54 146 (0.16) -- (0.35) 14.67 15.77 13,477 1.39 0.51 64 (0.42) (0.03) (0.54) 13.01 1.08 9,443 1.41 0.37 36 $ -- $ -- $ -- $ 9.03 (14.49)% $ 15,160 2.18%+ 0.48%+ -- (1.01) (0.15) (1.23) 10.56 (28.11) 20,747 2.15 (0.11) -- (2.33) -- (2.36) 16.06 38.14 32,073 2.14 (0.31) 129%### (1.07) -- (1.16) 13.75 2.65 28,266 2.13 (0.21) 146 (0.16) -- (0.16) 14.56 14.93 34,119 2.14 (0.24) 64 (0.42) (0.03) (0.49) 12.83 0.28 36,698 2.16 (0.38) 36 $ -- $ -- $ -- $ 8.82 (14.37)% $ 972 2.18%+ 0.48%+ -- (1.01) (0.15) (1.23) 10.30 (28.22) 1,166 2.15 (0.11) -- (2.33) -- (2.37) 15.72 38.12 987 2.14 (0.31) 129%### (1.07) -- (1.16) 13.52 2.63 824 2.13 (0.21) 146 (0.16) -- (0.28) 14.34 15.05 933 1.97 (0.07) 64 (0.42) (0.03) (0.51) 12.74 0.77 988 1.66 0.12 36 WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF OPERATING EXPENSES TO AVERAGE NET ASSETS --------------- 1.18%+ 1.16 1.18 1.13 1.14 1.16 1.43%+ 1.41 1.43 1.38 1.39 1.41 2.18%+ 2.16 2.18 2.13 2.14 2.16 2.18%+ 2.16 2.18 2.13 1.97 1.66
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED VALUE NET AND UNREALIZED BEGINNING INVESTMENT GAIN/(LOSS) ON OF PERIOD INCOME/(LOSS) INVESTMENTS -------------------------------------------------- INTERNATIONAL OPPORTUNITIES PRIMARY A SHARES Six months ended 9/30/2001# (unaudited)..................... $ 8.03 $ 0.00## $(1.19) Period ended 3/31/2001*#.................................... 10.00 0.00## (1.97) INVESTOR A SHARES Six months ended 9/30/2001# (unaudited)..................... $ 8.01 $ 0.00## $(1.19) Period ended 3/31/2001*#.................................... 10.00 (0.01) (1.98) INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)..................... $ 7.97 $(0.02) $(1.19) Period ended 3/31/2001*#.................................... 10.00 (0.08) (1.95) INVESTOR C SHARES Six months ended 9/30/2001# (unaudited)..................... $ 7.97 $(0.03) $(1.18) Period ended 3/31/2001*#.................................... 10.00 (0.09) (1.94)
--------------- + 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. * International Opportunities Primary A, Investor A, Investor B and Investor C Shares commenced operations on August 1, 2000. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF NET INCREASE/ NET ASSETS OPERATING INVESTMENT OPERATING (DECREASE) IN NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO NET ASSET VALUE VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE FROM OPERATIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------------- $(1.19) $6.84 (14.82)% $1,885 1.50%+(a) 0.02%+ 207% 4.93%+(a) (1.97) 8.03 (19.70) 1,477 1.47+ 0.12+ 442 6.28+ $(1.19) $6.82 (14.86)% $2,003 1.75%+(a) (0.23)%+ 207% 5.18%+(a) (1.99) 8.01 (19.90) 2,797 1.72+ (0.13)+ 442 6.53+ $(1.21) $6.76 (15.18)% $1,634 2.50%+(a) (0.98)%+ 207% 5.93%+(a) (2.03) 7.97 (20.30) 2,031 2.47+ (0.88)+ 442 7.28+ $(1.21) $6.76 (15.18)% $ 799 2.50%+(a) (0.98)%+ 207% 5.93%+(a) (2.03) 7.97 (20.30) 974 2.47+ (0.88)+ 442 7.28+
SEE NOTES TO FINANCIAL STATEMENTS. 31 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 IN EXCESS OF BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT NET INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME INCOME ----------------------------------------------------------------------------------------------- EMERGING MARKETS: PRIMARY A SHARES Six months ended 9/30/2001# (unaudited)................. $ 8.92 $ 0.04 $(2.18) $(2.14) $ -- $ -- Year ended 3/31/2001#......... 15.76 (0.05) (6.76) (6.81) (0.02) (0.01) Year ended 3/31/2000#......... 8.14 (0.05) 7.68 7.63 (0.01) -- Year ended 3/31/1999#......... 10.60 0.14 (2.53) (2.39) (0.07) -- Year ended 3/31/1998#......... 11.41 0.04 (0.76) (0.72) (0.09) -- Year ended 3/31/1997#......... 10.34 0.01 1.21 1.22 (0.02) (0.07) INVESTOR A SHARES Six months ended 9/30/2001# (unaudited)................. $ 8.84 $ 0.01 $(2.14) $(2.13) $ -- $ -- Year ended 3/31/2001#......... 15.65 (0.04) (6.75) (6.79) (0.02) (0.00)## Year ended 3/31/2000#......... 8.09 (0.09) 7.65 7.56 -- -- Year ended 3/31/1999#......... 10.57 0.10 (2.52) (2.42) (0.06) -- Year ended 3/31/1998#......... 11.39 0.01 (0.75) (0.74) (0.08) -- Year ended 3/31/1997#......... 10.32 (0.01) 1.21 1.20 (0.02) (0.05) INVESTOR B SHARES Six months ended 9/30/2001# (unaudited)................. $ 8.62 $(0.02) $(2.09) $(2.11) $ -- $ -- Year ended 3/31/2001#......... 15.32 (0.17) (6.53) (6.70) -- -- Year ended 3/31/2000#......... 7.99 (0.16) 7.49 7.33 -- -- Year ended 3/31/1999#......... 10.49 0.05 (2.50) (2.45) (0.05) -- Year ended 3/31/1998#......... 11.31 (0.07) (0.75) (0.82) -- -- Year ended 3/31/1997#......... 10.26 (0.09) 1.20 1.11 -- -- INVESTOR C SHARES Six months ended 9/30/2001# (unaudited)................. $ 8.61 $(0.02) $(2.09) $(2.11) $ -- $ -- Year ended 3/31/2001#......... 15.31 (0.16) (6.54) (6.70) -- -- Year ended 3/31/2000#......... 7.98 (0.14) 7.47 7.33 -- -- Year ended 3/31/1999#......... 10.47 0.05 (2.49) (2.44) (0.05) -- Year ended 3/31/1998#......... 11.34 (0.05) (0.75) (0.80) (0.07) -- Year ended 3/31/1997#......... 10.27 (0.04) 1.20 1.16 (0.01) (0.02)
--------------- + 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/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b) The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO OF NET OPERATING EXPENSES RATIO OF INCLUDING RATIO OF NET DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INTEREST INVESTMENT FROM NET DIVIDENDS VALUE END OF EXPENSES TO EXPENSE INCOME/(LOSS) PORTFOLIO REALIZED AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TO AVERAGE TURNOVER GAINS DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS RATE -------------------------------------------------------------------------------------------------------------------------- $ -- $ -- $ 6.78 (23.99)% $17,214 1.83%+ 1.89%+ 0.77%+ 61% -- (0.03) 8.92 (43.21) 34,876 1.80 1.84 (0.40) 97 -- (0.01) 15.76 93.71 56,234 1.90 1.91 (0.40) 61 -- (0.07) 8.14 (22.60) 21,689 1.78(a) (b) 1.66 71 -- (0.09) 10.60 (6.39) 73,797 1.57 -- 0.36 63 $(0.06) (0.15) 11.41 11.97 76,483 1.74 -- 0.13 31 $ -- $ -- $ 6.71 (24.10)% $ 2,405 2.08%+ 2.14%+ 0.52%+ 61% -- (0.02) 8.84 (43.38) 3,851 2.05 2.09 (0.65) 97 -- -- 15.65 93.33 3,087 2.15 2.16 (0.65) 61 -- (0.06) 8.09 (22.90) 951 2.03(a) (b) 1.41 71 -- (0.08) 10.57 (6.60) 652 1.82 -- 0.11 63 $(0.06) (0.13) 11.39 11.74 894 1.99 -- (0.12) 31 $ -- $ -- $ 6.51 (24.48)% $ 1,317 2.83%+ 2.89%+ (0.23)%+ 61% -- -- 8.62 (43.73) 1,728 2.80 2.84 (1.40) 97 -- -- 15.32 91.74 3,468 2.90 2.91 (1.40) 61 -- (0.05) 7.99 (23.42) 1,579 2.78(a) (b) 0.66 71 -- -- 10.49 (7.25) 1,247 2.57 -- (0.64) 63 (0.06) (0.06) 11.31 10.88 1,499 2.74 -- (0.87) 31 $ -- $ -- $ 6.50 (24.51)% $ 85 2.83%+ 2.89%+ (0.23)%+ 61% -- -- 8.61 (43.73) 65 2.80 -- (1.40) 97 -- -- 15.31 91.73 120 2.90 2.91 (1.40) 61 -- (0.05) 7.98 (23.37) 86 2.78(a) (b) 0.66 71 -- (0.07) 10.47 (7.17) 293 2.40 -- (0.47) 63 (0.06) (0.09) 11.34 11.34 226 2.24 -- (0.37) 31 WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF OPERATING EXPENSES TO AVERAGE NET ASSETS --------------- 1.93%+ 1.86 2.54 1.98(a) 1.57 1.74 2.18%+ 2.11 2.79 2.23(a) 1.82 1.99 2.93%+ 2.86 3.54 2.98(a) 2.57 2.74 2.93%+ 2.86 3.54 2.98(a) 2.40 2.24
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 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, Reserves offered thirteen separate portfolios and Funds Trust offered fifteen separate portfolios. These financial statements pertain only to the international stock portfolios of Reserves and Funds Trust: Global Value Fund, International Value Fund, International Equity Fund, International Opportunities Fund and Emerging Markets Fund (each a "Fund" and collectively, the "Funds"). Financial statements for the other portfolios of 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. 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. International Value Fund and International Equity Fund (the "Feeder Funds") seek to achieve their investment objectives by investing substantially all of their assets in International Value Master Portfolio and International Equity 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 (90.4% for International Value Master Portfolio and 99.8% for International Equity 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. International Opportunities Fund operates in a master-feeder structure. The Fund seeks to achieve its investment objective by investing substantially all of its assets in International Opportunities Master Portfolio of the Master Trust, which has the same investment objective as the Fund. Because the value of the Fund's investment in the International Opportunities Master Portfolio as of and for the six months ended September 30, 2001 represented substantially all of the beneficial interests in the International Opportunities Master Portfolio, financial statements for the International Opportunities Master Portfolio have not been prepared and references in this report to International Opportunities Fund should be read to include references to the corresponding Master Portfolio. 1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. Securities valuation: Securities traded on a recognized exchange or on NASDAQ are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded only over-the-counter are valued at the last sale price, or if no sale occurred on such day, at the mean of the current bid and asked prices. Debt securities are generally valued by an independent pricing service. Prices provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as yield, type of issue, coupon rate, maturity and general market conditions. 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. 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: All Funds may invest in futures contracts. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin". Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. 34 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect changes in the market value of the contract. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, and the possibility that there may not be a liquid secondary market for the contracts, that a change in the value of the contract may not correlate with a change in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. 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. 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. 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, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Funds are informed of the 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. Dividends and distributions to shareholders: Distributions from net investment income, if any, are declared and paid each calendar quarter for all Funds except Global Value and International Value, which declare and pay distributions annually. Each Fund will distribute net realized capital gains (including net short-term capital gains), if any, at least annually after the 35 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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. The Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. Expenses: General expenses of 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. Emerging Markets Fund bears all costs in connection with its organization, including the fees and expenses of registering and qualifying its shares for distribution under federal and state securities regulations. All such costs are being amortized on a straight line basis over a period of five years from commencement of operations. 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 Reserves, Funds Trust and Master 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 ------ Global Value.................................. 0.90% International Opportunities................... 0.80% Emerging Markets.............................. 1.00%
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). Funds Trust has, on behalf of the Global Value Fund, entered into a sub-advisory agreement with BA Advisors and Brandes Investment Partners, L.P. ("Brandes") pursuant to which Brandes is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.50% of the first $1 billion and 0.45% over $1 billion of the Fund's average daily net assets. Master Trust has, on behalf of the International Opportunities Fund, entered into a sub-advisory agreement with BA Advisors and Marsico Capital Management, LLC ("Marsico"), a wholly-owned subsidiary of Bank of America, pursuant to which Marsico is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.45% of the Fund's average daily net assets. Reserves has, on behalf of the Emerging Markets Fund, entered into a sub-advisory agreement (the "Sub-Advisory Agreements") with BA Advisors and Gartmore Global Partners ("Gartmore"). Gartmore is a general partnership which is an indirect wholly-owned subsidiary of Nationwide Mutual Insurance Company. Under the Sub-Advisory Agreements, Gartmore is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.66% of the 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 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 Global Value Fund, International Opportunities Fund and Emerging Markets Fund. International Value Fund and International Equity Fund pay a monthly fee at the maximum annual rate of 0.17% of their average daily net 36 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) assets. The Bank of New York ("BNY") serves as sub-administrator of Reserves and Funds Trust pursuant to agreements with BA Advisors. For the six months ended September 30, 2001, Stephens and BA Advisors earned 0.07% and 0.04%, 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. From August 1, 2000 and until July 31, 2001, BA Advisors and/or the sub-advisers and Stephens agreed to reimburse expenses and/or waive fees to the extent that total expenses (excluding shareholder servicing and distribution fees), exceeded an annual rate of 1.90% of Emerging Markets Fund's average daily net assets. Effective September 7, 2001, BA Advisors and/or the sub-advisers and Stephens have agreed to voluntarily reimburse expenses and/or waive fees to the extent that total expenses (excluding shareholder servicing and distributions fees), exceed an annual rate of 1.90% of Emerging Markets Fund's average daily net assets. There is no guarantee that this expense limitation will continue for a specified period of time. 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 fees to the extent that total expenses (excluding shareholder servicing and distributions fees), exceed an annual rate of 1.40% of Global Value Fund's average daily net assets and 1.50% of International Opportunities Fund's average daily net assets. There is no guarantee that this expense limitation will continue after this date. BA Advisors and/or the sub-advisers and Stephens are entitled to reimbursement from Global Value Fund for fees waived or expenses reimbursed for a three year period following the waiver or reimbursement of any fees or expenses if such reimbursements do not cause the Fund's expenses to exceed the limits described herein. At September 30, 2001, the expense limits (excluding shareholder servicing and distribution fees) as a percentage of average daily net assets and amounts subject to possible future reimbursement under the expense limitation agreement are as follows:
AMOUNT SUBJECT TO EXPENSE FUTURE LIMIT REIMBURSEMENT ---------------------------- Global Value............... 1.40% $115,064
BNY serves as the custodian of the Reserves' and Funds Trust's assets. For the six months ended September 30, 2001, expenses of the Funds were reduced by $631 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. The Emerging Markets Fund does not participate in the expense offset arrangement. 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 $10,927 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 $540,751 in front-end sales charges for sales of Investor A Shares and $218,954 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 or BA Advisors, or any affiliate thereof, receives any compensation from Reserves and Funds Trust for serving as Trustee or Officer of Reserves and Funds Trust. 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. 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. The Global Value Fund and the International Opportunities Master Portfolio 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 Fund from such investments is included in its Statement of operations as "Dividend income from affiliated funds". 37 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS Reserves and Funds Trust each has adopted shareholder servicing plans and distribution plans for the Investor A, Investor B and Investor C Shares of each Fund. The shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. The distribution plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to compensate or reimburse the distributor and/or selling agents for activities or expenses primarily intended to result in the sale of the classes' shares. Payments are made at an annual rate, as a percentage of average daily net assets, set from time to time by the Board of Trustees, and are charged as expenses of each Fund directly to the applicable share class. A substantial portion of the expenses incurred 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 PLAN RATE LIMIT ---------------- Investor A Combined Shareholder Servicing and Distribution 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%
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) -------------------- Global Value................ $24,428 $ 896 International Opportunities............. 14,152 13,804 Emerging Markets............ 21,006 29,028
There were no purchases or sales of long-term U.S. government securities for the six months ended September 30, 2001. 5. SHARES OF BENEFICIAL INTEREST As of September 30, 2001, an unlimited number of shares of beneficial interest without par value were authorized for Reserves and Funds Trust. Reserves' and Fund Trust's Declarations of Trust authorize the Boards 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. 6. LINES OF CREDIT 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 September 30, 2001, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING INTEREST FUND (000) RATE --------------------------------------------------------- Emerging Markets................ $329 4.21%
The average amount outstanding was calculated based on daily balances in the period. 7. 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. 38 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At September 30, 2001, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) ------------------------------------------------------------ Global Value............. $ 537 $ 555 International Opportunities.......... 298 307 Emerging Markets......... 3,717 4,276
8. CAPITAL LOSS CARRYFORWARD At March 31, 2001, the following Funds had available for Federal income tax purposes the following unused capital losses expiring March 31:
2007 2009 FUND (000) (000) ------------------------------------------------------ International Opportunities.......... -- $166 Emerging Markets..................... $14,260 --
During the year ended March 31, 2001, Emerging Markets Fund utilized capital losses of $2,999,491. Under the current tax law, capital and currency losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the tax year ended March 31, 2001, the Funds elected to defer losses occurring between November 1, 2000 and March 31, 2001 as follows:
POST OCTOBER CAPITAL/CURRENCY FUND LOSSES DEFERRED --------------------------------------------------------- International Value................... $ 73 International Equity.................. 41,249 International Opportunities........... 1,322 Emerging Markets...................... 3,052
9. REORGANIZATIONS CONVERSION OF COMMON TRUST FUNDS On May 12, 2000, the International Equity Fund (the "Acquiring Fund"), acquired the assets of Boatmen's Trust Company International Equity Fund, a common trust fund, managed by Bank of America, (the "Acquired Fund"), in a tax-free exchange for shares of the Acquiring Fund. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation as of the conversion date were as follows:
TOTAL NET ACQUIRED TOTAL NET TOTAL NET ASSETS OF FUND ASSETS OF ASSETS OF ACQUIRING FUND UNREALIZED ACQUIRED FUND ACQUIRING FUND AFTER CONVERSION APPRECIATION (000) (000) (000) (000) ----------------------------------------------------------------- $29,129 $868,368 $897,497 $5,808
On September 8, 2000, the International Equity Fund (the "Acquiring Fund"), acquired the assets and assumed the liabilities of Nations International Growth 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 and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation as of the reorganization date were as follows:
TOTAL NET ACQUIRED TOTAL NET TOTAL NET ASSETS OF FUND ASSETS OF ASSETS OF ACQUIRING FUND UNREALIZED ACQUIRED FUND ACQUIRING FUND AFTER ACQUISITION APPRECIATION (000) (000) (000) (000) ----------------------------------------------------------------- $38,048 $1,023,329 $1,061,377 $8,750
10. 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.
WILL BE REORGANIZED INTO A NEWLY FUND CREATED SUCCESSOR TO: -------------------------------------------------------- International Value.............. International Value International Equity............. International Equity Emerging Markets..... Emerging Markets
39 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio and Nations International Equity Master Portfolio Semi-Annual Report SEPTEMBER 30, 2001 (UNAUDITED) The following pages should be read in conjunction with the Nations International Value and Nations International Equity Funds' Semi-Annual Report. 40 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------ COMMON STOCKS -- 94.5% ARGENTINA -- 0.3% 843,100 Telecom Argentina Stet - France Telecom SA, ADR(a)............... $ 7,327 ---------- BRAZIL -- 4.6% 2,839,200 Banco Bradesco SA, ADR(a).......... 11,216 241,760 Brasil Telecom Participacoes SA, ADR!!(a)......................... 6,576 7,567,270 Centrais Eletricas Brasileiras SA, ADR(a)........................... 45,479 1,984,600 Petroleo Brasileiro SA-'A', ADR(a)........................... 38,104 ---------- 101,375 ---------- CANADA -- 0.3% 609,000 TELUS Corporation, Non Voting Shares!!(a)...................... 6,882 ---------- CHINA -- 0.8% 939,000 PetroChina Company Ltd., ADR(a).... 18,010 ---------- DENMARK -- 0.6% 887,650 Den Danske Bank A/S, ADR(a)........ 13,915 ---------- FRANCE -- 6.5% 3,829,100 Alcatel SA, ADR(a)................. 44,418 1,071,000 Alstom SA, ADR(a).................. 16,975 219,700 Beghin - Say!!..................... 7,497 219,700 Cereol!!........................... 4,602 219,700 Cerestar!!......................... 5,702 1,426,100 Compagnie Generale des Etablissements Michelin.......... 37,597 219,700 Provimi!!.......................... 2,401 341,170 Total Fina Elf SA, ADR............. 23,046 ---------- 142,238 ---------- GERMANY -- 5.5% 822,000 BASF AG, ADR(a).................... 28,935 151,710 Deutsche Telekom AG................ 2,361 2,273,800 Deutsche Telekom AG, ADR(a)........ 35,244 1,048,900 E.On AG, ADR(a).................... 53,757 ---------- 120,297 ---------- HONG KONG -- 2.2% 8,350,200 CLP Holdings Ltd., ADR!!........... 32,118 4,320,000 Swire Pacific, Ltd. 'A', ADR....... 16,257 ---------- 48,375 ---------- IRELAND -- 2.1% 1,510,140 Allied Irish Banks plc, ADR(a)..... 27,334 609,000 Bank of Ireland, ADR(a)............ 19,177 ---------- 46,511 ---------- ITALY -- 2.0% 484,840 ENI SpA, ADR(a).................... 29,624 184,390 Telecom Italia SpA, ADR(a)......... 14,045 ---------- 43,669 ---------- JAPAN -- 19.4% 188,000 Daiichi Pharmaceutical Company, Ltd. ............................ 3,945 2,766,000 Daiwa House Industry Company, Ltd. ............................ 20,200 783,625 Hitachi, Ltd., ADR(a).............. 52,503 6,788 Japan Tobacco, Inc. ............... 49,344 1,904,950 Komatsu Ltd., ADR.................. 27,504 1,230,000 Komatsu Ltd.!!..................... 4,440 2,996,010 Matsushita Electric Industrial Company Ltd., ADR(a)............. 36,192
VALUE SHARES (000) ------------------------------------------------------------ JAPAN -- (CONTINUED) 10,262,000 Mitsubishi Heavy Industries, Ltd. ............................ $ 35,575 6,001,990 Mitsubishi Tokyo Financial Group Inc.!!(a)........................ 46,515 1,563,180 Nippon Telegraph and Telephone Corporation, ADR................. 36,188 778,000 Ono Pharmaceutical Company, Ltd. ............................ 24,490 4,582,000 Sumitomo Mitsui Banking Corporation, ADR(a).............. 32,847 728,000 TDK Corporation, ADR(a)............ 30,343 606,478 Tokio Marine & Fire Insurance Company, Ltd., ADR(a)............ 27,085 ---------- 427,171 ---------- MEXICO -- 3.8% 1,202,550 America Movil SA de CV 'L', ADR!!............................ 17,834 2,032,550 Telefonos de Mexico SA de CV 'L', ADR(a)........................... 65,631 ---------- 83,465 ---------- NETHERLANDS -- 0.3% 187,000 Akzo Nobel NV, ADR(a).............. 7,603 ---------- NEW ZEALAND -- 0.7% 1,169,200 Telecom Corporation of New Zealand Ltd., ADR(a)..................... 16,252 ---------- PORTUGAL -- 1.0% 3,160,776 Portugal Telecom, SGPS, SA, ADR!!(a)......................... 22,694 ---------- SINGAPORE -- 2.5% 263,453 DBS Group Holdings Ltd., ADR(a).... 5,757 3,464,100 Jardine Matheson Holdings, Ltd., ADR(a)........................... 19,572 5,524,000 Oversea-Chinese Banking Corporation Ltd. ............................ 29,553 ---------- 54,882 ---------- SOUTH AFRICA -- 1.5% 379,600 South African Breweries plc........ 2,371 4,967,200 South African Breweries plc, ADR(a)........................... 30,550 ---------- 32,921 ---------- SOUTH KOREA -- 4.0% 3,764,000 Korea Electric Power Corporation, ADR(a)........................... 33,311 1,660,000 Korea Telecom Corporation, ADR..... 30,361 1,527,400 Pohang Iron & Steel Company Ltd., ADR.............................. 23,980 ---------- 87,652 ---------- SPAIN -- 10.1% 2,435,400 Altadis, SA........................ 38,812 6,871,433 Banco Bilbao Vizcaya Argentaria SA, ADR(a)........................... 71,807 4,453,000 Repsol YPF SA, ADR(a).............. 64,837 1,415,749 Telefonica SA, ADR!!(a)............ 48,065 ---------- 223,521 ---------- SWITZERLAND -- 3.5% 869,700 Swisscom AG, ADR................... 24,508 2,555,619 Zurich Financial Services AG, ADR(a)........................... 52,250 ---------- 76,758 ---------- UNITED KINGDOM -- 22.4% 365,000 Allied Domecq plc, ADR............. 2,036 3,477,700 BAE Systems plc, ADR(a)............ 67,774
41 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------ UNITED KINGDOM -- (CONTINUED) 137,000 BOC Group plc...................... $ 1,888 4,260,100 British American Tobacco plc, ADR(a)........................... 75,489 1,540,000 British Energy plc, ADR(a)......... 24,024 472,030 British Telecommunications plc, ADR(a)........................... 24,144 3,804,000 Corus Group plc, ADR!!(a).......... 23,889 1,267,571 Diageo plc, ADR.................... 52,604 1,241,500 HSBC Holdings plc, ADR(a).......... 66,669 1,985,300 Imperial Chemical Industries plc, ADR.............................. 34,048 336,200 Innogy Holdings plc, ADR........... 10,254 18,541,415 Invensys plc, ADR(a)............... 19,211 2,048,465 Marks & Spencer plc, ADR(a)........ 46,108 312,000 Rolls-Royce plc, ADR(a)............ 2,986 1,352,600 Unilever plc, ADR(a)............... 40,577 ---------- 491,701 ---------- VENEZUELA -- 0.4% 377,900 Cia Anonima Nacional Telefonos de Venezuela, ADR(a)................ 8,711 ---------- TOTAL COMMON STOCKS (Cost $2,553,274)................ 2,081,930 ---------- PREFERRED STOCKS -- 1.4% BRAZIL -- 1.4% 882,000 Companhia de Bebidas das Americas, ADR.............................. 14,121 663,200 Telecomunicacoes Brasileiras SA - Telebras, ADR(a)................. 16,785 ---------- 30,906 ---------- TOTAL PREFERRED STOCKS (Cost $55,566)................... 30,906 ----------
SHARES VALUE (000) (000) ------------------------------------------------------------ INVESTMENT COMPANIES -- 30.6% (Cost $674,148) 674,148 Nations Cash Reserves#............ $ 674,148 ---------- TOTAL INVESTMENTS (Cost $3,282,988*)....... 126.5% 2,786,984 ---------- OTHER ASSETS AND LIABILITIES (NET)........ (26.5)% Cash.............................. $ 573 Receivable for investment securities sold................. 3,519 Dividends receivable.............. 8,796 Interest receivable............... 172 Collateral on securities loaned... (582,967) Investment advisory fee payable... (1,701) Administration fee payable........ (95) Payable for investment securities purchased....................... (11,170) Accrued Trustees' fees and expenses........................ (23) Accrued expenses and other liabilities..................... (68) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................... (582,964) ---------- NET ASSETS................. 100.0% $2,204,020 ==========
--------------- * Federal Income Tax Information: Net unrealized depreciation of $496,004 on investment securities was comprised of gross appreciation of $78,894 and gross depreciation of $574,898 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $3,282,988. !! Non-income producing security. # 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 6). The portion that represents cash collateral is $582,967. (a) All or a 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 $740,332 and $497,363, respectively. ADR -- American Depository Receipt 42 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED) At September 30, 2001, sector diversification was as follows: % OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) -------------------------------------------------------------------------------------------------- Common stocks: Telecommunications services................................. 17.4% $ 366,823 Commercial banking.......................................... 14.7 324,790 Integrated oil.............................................. 7.9 173,621 Tobacco..................................................... 7.4 163,645 Electric power -- Non nuclear............................... 6.4 141,608 Financial services.......................................... 4.6 88,079 Heavy machinery............................................. 4.0 86,730 Beverages................................................... 3.9 87,561 Aerospace and defense....................................... 3.2 70,760 Electrical equipment........................................ 3.2 69,478 Food products............................................... 2.8 60,779 Electric power -- Nuclear................................... 2.6 57,335 Housing and furnishing...................................... 2.6 56,392 Department and discount stores.............................. 2.1 46,108 Networking and telecommunications equipment................. 2.0 44,418 Automotive.................................................. 1.7 37,597 Chemicals -- Basic.......................................... 1.7 35,936 Chemicals -- Specialty...................................... 1.6 36,538 Diversified electronics..................................... 1.4 30,343 Pharmaceuticals............................................. 1.3 28,435 Other....................................................... 2.0 74,954 ---------- ------------- TOTAL COMMON STOCKS......................................... 94.5 2,081,930 PREFERRED STOCKS............................................ 1.4 30,906 INVESTMENT COMPANIES........................................ 30.6 674,148 ---------- ------------- TOTAL INVESTMENTS........................................... 126.5 2,786,984 OTHER ASSETS AND LIABILITIES (NET).......................... (26.5) (582,964) ---------- ------------- NET ASSETS.................................................. 100.0% $ 2,204,020 ========== =============
43 NATIONS MASTER INVESTMENT TRUST Nations International Equity Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ----------------------------------------------------------- COMMON STOCKS -- 94.9% AUSTRALIA -- 2.2% 360,991 Broken Hill Proprietary Company, Ltd. .............................. $ 1,528 100,900 Challenger International Ltd. ....... 122 387,800 Foster's Brewing Group Ltd. ......... 955 327,800 National Australia Bank Ltd. ........ 4,151 166,120 Rio Tinto Ltd. ...................... 2,562 110,000 The News Corporation Ltd. ........... 673 71,205 The News Corporation Ltd., ADR(a).... 1,716 -------- 11,707 -------- BELGIUM -- 0.3% 97,638 Dexia!!.............................. 1,465 53,127 Interbrew Strip VVPR!!............... 1 -------- 1,466 -------- BRAZIL -- 0.8% 139,300 Banco Bradesco SA, ADR(a)............ 550 96,475 Petroleo Brasileiro SA, ADR(a)....... 1,905 75,000 Petroleo Brasileiro SA-'A', ADR...... 1,440 20,700 Unibanco -- Uniao De Bancos Brasileiros SA..................... 300 -------- 4,195 -------- CANADA -- 2.5% 14,664 Alcan Aluminum Ltd. ................. 440 180,000 Barrick Gold Corporation(a).......... 3,124 65,400 BCE, Inc. ........................... 1,427 36,256 Canada Life Financial Corporation.... 1,029 17,900 Manulife Financial Corporation....... 469 10,600 Nortel Networks Corporation.......... 59 86,050 Royal Bank of Canada................. 2,623 64,495 Sun Life Financial Services of Canada............................. 1,294 46,554 Suncor Energy, Inc. ................. 1,297 63,550 Toronto-Dominion Bank................ 1,562 -------- 13,324 -------- CHINA -- 0.1% 36,700 CNOOC Ltd., ADR!!(a)................. 734 -------- DENMARK -- 0.3% 100,181 Danske Bank A/S...................... 1,571 -------- FINLAND -- 0.9% 134,807 Nokia Oyj............................ 2,204 119,331 Stora Enso Oyj 'R'................... 1,331 30,498 TietoEnator Oyj-..................... 576 31,742 UPM -- Kymmene Oyj................... 905 -------- 5,016 -------- FRANCE -- 11.9% 23,703 Accor SA............................. 673 27,951 Alstom............................... 427 30,629 Aventis SA........................... 2,323 30,046 Aventis SA........................... 2,271 37,105 Banque Nationale de Paris (BNP)!!.... 3,034 67,145 Bouygues SA.......................... 1,733 32,512 Compagnie De Saint-Gobain............ 4,471 83,000 Compagnie Generale des Etablissements Michelin........................... 2,188 22,243 Danone............................... 2,897 116,463 Havas Advertising SA................. 710 23,937 L'Oreal SA!!......................... 1,649
VALUE SHARES (000) ----------------------------------------------------------- FRANCE -- (CONTINUED) 20,803 Lafarge SA!!......................... $ 1,695 24,347 Publicis SA.......................... 410 110,440 Sanofi-Synthelabo SA................. 7,191 12,165 Schneider Electric SA................ 443 113,548 Societe Generale 'A'................. 5,667 53,705 Societe Television Francaise 1....... 1,027 145,300 TotalFinaElf SA...................... 19,517 94,561 Usinor SA............................ 757 102,621 Vivendi Universal SA................. 4,752 -------- 63,835 -------- GERMANY -- 5.8% 29,909 Allianz AG........................... 6,782 115,100 BASF AG.............................. 4,045 80,000 Bayer AG............................. 2,266 97,108 Bayerische Motoren Werke (BMW) AG!!............................... 2,472 63,407 Deutsche Bank AG (REGD).............. 3,456 25,000 Deutsche Boerse AG................... 865 54,777 Deutsche Post AG (REGD)-............. 793 76,659 Deutsche Telekom AG.................. 1,193 24,684 E.On AG.............................. 1,268 29,286 Metro AG!!(a)........................ 960 18,124 Muenchener Rueckversicherungs- Gesellschaft AG-...........--...... 4,704 6,741 SAP AG............................... 714 30,000 SAP AG, ADR(a)....................... 778 26,860 Siemens AG........................... 1,013 -------- 31,309 -------- HONG KONG -- 2.7% 307,000 Cheung Kong (Holdings) Ltd. ......... 2,392 1,038,400 China Mobile (HK) Ltd.!!............. 3,302 69,200 Hang Seng Bank....................... 716 312,500 Hong Kong & China Gas Company Ltd. .............................. 391 255,500 Hong Kong Electric Holdings Ltd. .... 983 600,000 Hong Kong Exchanges Clearing Ltd. ... 723 550,000 HSBC Holdings plc (REGD)(a).......... 5,765 60,000 Hutchison Whampoa.................... 446 -------- 14,718 -------- INDIA -- 0.1% 37,700 Reliance Industries Ltd., GDR........ 419 -------- IRELAND -- 1.6% 95,306 Allied Irish Banks plc............... 857 100,216 Bank of Ireland...................... 794 171,005 CRH plc.............................. 2,538 77,026 CRH plc, F/P......................... 1,143 20,200 Elan Corporation plc, ADR!!(a)....... 979 43,702 Elan Corporation plc!!............... 2,169 -------- 8,480 -------- ITALY -- 3.4% 56,110 Banca Fideuram SpA................... 331 441,661 Banca Intesa SpA..................... 1,092 164,382 ENI SpA.............................. 2,040 70,000 ENI SpA, ADR......................... 4,277 23,800 Fiat SpA............................. 416 16,398 Gucci Group NV(a).................... 1,341 98,047 San Paolo -- IMI SpA................. 1,029 120,000 San Paolo -- IMI SpA, ADR(a)......... 2,490
SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS MASTER INVESTMENT TRUST Nations International Equity Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ----------------------------------------------------------- ITALY -- (CONTINUED) 173,900 Telecom Italia Mobile SpA............ $ 844 576,984 Telecom Italia SpA................... 4,356 -------- 18,216 -------- JAPAN -- 15.4% 6,100 Acom Company, Ltd.-.................. 538 6,150 Aiful Corporation.................... 516 87,000 Asahi Kasei Corporation.............. 292 14,800 Asatsu-DK Inc. ...................... 348 172,000 CANON Inc. .......................... 4,721 58,000 Chungai Pharmaceutical Company, Ltd.(a)............................ 902 124 East Japan Railway Company........... 748 2,800 Fast Retailing Company, Ltd. ........ 315 145,000 Fuji Photo Film Company, Ltd. ....... 4,991 116 Fuji Television Network, Inc. ....... 578 800 Fujitsu Ltd. ........................ 7 360,000 Hitachi, Ltd. ....................... 2,397 74,100 Honda Motor Company Ltd. ............ 2,407 79,000 Ito-Yokado Company, Ltd. ............ 3,508 174 Japan Real Estate Investment Corporation........................ 789 30,000 Kyocera Corporation!!................ 1,959 8,400 Lawson Inc. ......................... 331 50,000 Matsushita Electric Industrial Company, Ltd. ..................... 613 80,000 Matsushita Electric Works, Ltd.(a)... 644 265,000 Mitsubishi Chemical Corporation...... 563 81,000 Mitsubishi Heavy Industries, Ltd. ... 281 408,000 Mitsubishi Materials Corporation..... 678 76 Mitsubishi Tokyo Financial Group Inc.!!............................. 593 97,000 Mitsui Fudosan Company, Ltd. ........ 1,107 227 Mizuho Holdings, Inc. ............... 877 118,000 NEC Corporation...................... 964 364,000 Nikko Securities Company, Ltd. ...... 1,934 13,900 Nintendo Company, Ltd. .............. 1,996 288,000 Nippon Express Company, Ltd.(a)...... 1,093 420,000 Nippon Steel Corporation............. 536 1,199 Nippon Telegraph and Telephone Corporation........................ 5,596 4,920 Nippon Television Network Corporation........................ 1,129 219,000 Nissan Motor Company, Ltd. .......... 914 52,000 Nomura Securities.................... 680 192,000 NSK Ltd. ............................ 577 535 NTT DoCoMo, Inc.-.................... 7,230 21,700 Orix Corporation..................... 1,812 10,100 Rohm Company Ltd. ................... 983 72,000 Sankyo Company, Ltd. ................ 1,272 107,000 Sanyo Electric Company, Ltd. ........ 394 27,500 Secom Company Ltd. .................. 1,417 43,700 Sharp Corporation.................... 393 92,000 Shin-Etsu Chemical Company, Ltd. .... 2,587 38,000 Shionogi and Company, Ltd. .......... 715 27,000 Shiseido Company, Ltd. .............. 233 107,700 Sony Corporation!!................... 3,969 700 Sumitomo Corporation................. 4 35,000 Takeda Chemical Industries, Ltd. .... 1,616 25,000 Takefuji Corporation-................ 1,973 73,000 TDK Corporation...................... 3,064
VALUE SHARES (000) ----------------------------------------------------------- JAPAN -- (CONTINUED) 13,000 The Bank Of Kyoto, Ltd. ............. $ 60 143,000 The Sumitomo Trust & Banking Company, Ltd. .............................. 708 29,900 Tokyo Electric Power Company, Inc. .............................. 745 150,000 Tokyo Gas Company Ltd.(a)............ 494 240,800 Toyota Motor Corporation............. 6,185 27,000 Yamanouchi Pharmaceutical............ 725 -------- 82,701 -------- MEXICO -- 1.1% 4,612 America Movil SA de CV 'L', ADR!!.... 68 511,008 Grupo Financiero BBVA Bancomer, SA de CV (GFB)!!......................... 357 30,339 Grupo Televisa SA, ADR!!(a).......... 871 101,586 Telefonos de Mexico SA de CV 'L', ADR................................ 3,280 66,840 Wal-Mart de Mexico SA de CV, ADR..... 1,399 -------- 5,975 -------- NETHERLANDS -- 7.2% 434,947 ABN AMRO Holding NV!!................ 7,174 39,282 Aegon NV............................. 1,027 51,939 Akzo Nobel NV........................ 2,119 18,066 ASM Lithography Holding NV!!......... 201 18,840 Gucci Group NV (REGD)(a)............. 1,541 22,683 Heineken NV.......................... 860 490,517 ING Groep NV......................... 13,146 174,890 Koninklijke (Royal) Philips Electronics NV!!................... 3,392 38,221 Royal Dutch Petroleum Company........ 1,922 42,987 TNT Post Group NV.................... 822 93,000 Unilever NV, NY Shares............... 5,024 21,575 VNU NV............................... 608 27,229 Wolters Kluwer NV.................... 604 -------- 38,440 -------- NORWAY -- 0.4% 285,000 Statoil ASA.......................... 1,896 -------- PORTUGAL -- 0.6% 92,600 Portugal Telecom, SGPS, SA (REGD).... 673 382,500 Portugal Telecom, SGPS, SA, ADR!!(a)........................... 2,746 -------- 3,419 -------- SINGAPORE -- 0.3% 98,256 DBS Group Holdings Ltd............... 537 111,850 Oversea-Chinese Banking Corporation Ltd. .............................. 598 69,000 Singapore Press Holdings, Ltd. ...... 617 13,000 Venture Manufacturing (Singapore) Ltd. .............................. 64 -------- 1,816 -------- SOUTH KOREA -- 2.4% 38,000 H&CB, ADR............................ 391 384,100 Korea Electric Power Corporation, ADR(a)............................. 3,399 153,600 Korea Telecom Corporation, ADR....... 2,809 5,800 NCsoft Corporation................... 416 30,400 Pohang Iron & Steel Company Ltd., ADR................................ 477 42,445 Samsung Electronics.................. 4,538 33,200 SK Telecom Company Ltd., ADR......... 612 540 SK Telecom Company, Ltd. ............ 86 -------- 12,728 --------
SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS MASTER INVESTMENT TRUST Nations International Equity Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ----------------------------------------------------------- SPAIN -- 3.4% 20,005 Altadis, SA.......................... $ 319 72,769 Banco Bilbao Vizcaya Argentaria SA!!............................... 749 106,585 Banco Popular Espanol SA............. 3,688 366,934 Endesa SA............................ 5,698 87,215 Iberdrola SA......................... 1,187 27,501 Industria De Diseno Textil, SA!!..... 463 67,863 Orange SA!!.......................... 494 250,000 Repsol YPF SA, ADR................... 3,640 181,353 Telefonica SA!!...................... 2,005 -------- 18,243 -------- SWEDEN -- 1.3% 23,800 Autoliv, Inc. ....................... 364 362,015 Ericsson AB (LM) 'B'................. 1,310 268,135 Investor AB 'B'...................... 2,539 61,172 Sandvik AB!!......................... 1,107 12,140 Securitas AB......................... 196 96,630 Svenska Handelsbanken AB 'A'......... 1,255 -------- 6,771 -------- SWITZERLAND -- 7.4% 16,800 Ciba Specialty Chemicals AG!!........ 998 764 Compagnie Financiere Richemont AG 'A'................................ 1,442 3,670 Julius Baer Holdings Ltd., Zurich.... 1,093 55,519 Nestle SA (REGD)..................... 11,849 305,480 Novartis AG.......................... 11,962 52,000 Roche Holding AG..................... 3,732 7,500 Swiss Re............................. 738 1,441 Syngenta AG (REGD)!!................. 72 48,559 Syngenta AG!!........................ 2,454 8,220 The Swatch Group AG., Class B!!...... 595 18,740 The Swatch Group AG!!................ 278 39,286 UBS AG (REGD)........................ 1,837 14,000 Zurich Financial Services AG......... 2,862 -------- 39,912 -------- TAIWAN -- 0.2% 344,232 Taiwan Semiconductor Manufacturing Company Ltd.!!..................... 466 900,000 Yageo Corporation!!.................. 482 -------- 948 -------- THAILAND -- 0.1% 740,000 Bangkok Bank Public Company Ltd. .... 520 -------- UNITED KINGDOM -- 22.4% 176,142 Abbey National plc................... 2,584 567,884 Aegis Group plc...................... 668 90,563 Amvescap plc......................... 969 36,880 Anglo American plc................... 443 215,341 AstraZeneca plc...................... 10,017 150,721 BAE Systems plc...................... 733 41,936 Barclays plc......................... 1,153 172,429 Billiton plc......................... 709 138,093 BOC Group plc........................ 1,903 1,101,817 BP Amoco plc......................... 9,101 50,000 British Airways plc, ADR(a).......... 1,335 60,628 British Sky Broadcasting Group plc ('BSkyB')!!........................ 526 835,502 British Telecommunications plc....... 4,175
VALUE SHARES (000) ----------------------------------------------------------- UNITED KINGDOM -- (CONTINUED) 104,336 Bunzl plc............................ $ 698 65,600 Canary Wharf Finance plc!!........... 453 131,679 Capita Group plc..................... 714 77,346 Carlton Communications plc........... 151 458,933 Centrica plc......................... 1,436 113,390 CGNU plc............................. 1,399 227,050 Compass Group plc.................... 1,583 110,000 Corus Group plc, ADR!!............... 691 532,501 Diageo plc........................... 5,592 345,848 Friends Provident plc!!.............. 981 650,335 GlaxoSmithKline plc.................. 18,351 150,148 Granada plc-......................... 205 266,640 Hays plc............................. 600 61,436 HBOS plc............................. 663 326,407 HSBC Holdings plc!!.................. 3,440 29,100 Imperial Chemical Industries plc..... 122 332,988 Innogy Holdings plc.................. 1,033 43,700 Logica plc........................... 434 700,000 Marks & Spencer plc.................. 2,623 169,638 Misys plc............................ 507 82,000 National Grid Group plc.............. 518 187,215 Persimmon plc........................ 831 41,700 Prudential plc....................... 429 128,000 Rentokil Initial plc................. 463 98,167 Rio Tinto plc (REGD)................. 1,544 61,574 Royal Bank of Scotland-.............. 1,356 844,288 Scottish Power plc................... 5,075 1,715,922 Shell Transport and Trading Company plc................................ 12,862 61,000 Shire Pharmaceuticals Group plc!!.... 825 56,492 Smiths Group plc..................... 546 88,000 Standard Chartered plc!!............. 872 951,224 Tesco plc............................ 3,579 204,353 Unilever plc......................... 1,551 75,186 United Business Media plc............ 418 5,577,289 Vodafone Group plc................... 12,297 253,818 WPP Group plc........................ 1,846 -------- 121,004 -------- UNITED STATES -- 0.1% 12,100 Ace Ltd. ............................ 349 3,500 XL Capital Ltd., Class A............. 277 -------- 626 -------- TOTAL COMMON STOCKS (Cost: $589,746)................... 509,989 -------- PREFERRED STOCKS -- 0.2% BRAZIL -- 0.1% 29,454 Companhia de Bebidas das Americas, ADR................................ 472 -------- GERMANY -- 0.0%+ 18,588 ProSieben Sat.1 Media AG............. 86 -------- JAPAN -- 0.1% 29,300 Tokyo Broadcasting Company, ADR-..... 556 -------- TOTAL PREFERRED STOCKS (Cost: $2,325)..................... 1,114 --------
SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS MASTER INVESTMENT TRUST Nations International Equity Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED)
VALUE SHARES (000) ----------------------------------------------------------- WARRANTS -- 0.1% (Cost: $474) UNITED STATES -- 0.1% 6,000 Infosys Technologies Ltd. ........... $ 299 --------
SHARES (000) --------- INVESTMENT COMPANIES -- 7.6% (Cost: $40,625) 40,625 Nations Cash Reserves#............. 40,625 ---------- TOTAL INVESTMENTS (Cost $633,170*).......... 102.8% 552,027 ---------- OTHER ASSETS AND LIABILITIES (NET)..................... (2.8)% Cash............................... $ 7,154 Receivable for investment securities sold.................. 10,373 Receivable for Fund shares sold.... 2 Dividends receivable............... 1,518 Interest receivable................ 43 Receivable for variation margin.... 60 Collateral on securities loaned.... (18,612) Payable for Fund shares redeemed... (6) Investment advisory fee payable.... (359) Administration fee payable......... (22) Payable for investment securities purchased........................ (15,197) Accrued Trustees' fees and expenses......................... (22) Accrued expenses and other liabilities...................... (148) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................ (15,216) ---------- NET ASSETS.................. 100.0% $ 536,811 ==========
--------------- * Federal Income Tax Information: Net unrealized depreciation of $81,143 on investment securities was comprised of gross appreciation of $20,832 and gross depreciation of $101,975 for federal income tax purposes. At September 30, 2001, the aggregate cost of securities for federal income tax purposes was $633,170. - 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. !! Non-income producing security. + 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 6). The portion that represents cash collateral is $18,612. (a) All or a 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 $21,893 and $17,794 respectively. ADR -- American Depository Receipt GDR -- Global Depository Receipt SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS MASTER INVESTMENT TRUST Nations International Equity Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2001 (UNAUDITED) At September 30, 2001, sector diversification was as follows: % OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) -------------------------------------------------------------------------------------------------- Commercial banking.......................................... 12.5% $ 66,569 Pharmaceuticals............................................. 12.2 65,050 Integrated oil.............................................. 10.6 56,695 Telecommunications services................................. 9.9 53,193 Insurance................................................... 6.1 32,624 Food products............................................... 4.9 26,483 Automotive.................................................. 2.8 14,946 Electric power -- Non nuclear............................... 2.8 14,956 Metals and mining........................................... 2.1 11,505 Electronics................................................. 2.1 11,159 Diversified electronics..................................... 2.0 10,761 Chemicals -- Basic.......................................... 1.9 10,455 Construction................................................ 1.5 7,940 Chemicals -- Specialty...................................... 1.5 7,385 Computers and office equipment.............................. 1.5 7,792 Conglomerates............................................... 1.5 7,841 Beverages................................................... 1.4 7,408 Broadcasting and cable...................................... 1.4 6,876 Publishing and advertising.................................. 1.2 6,229 Semiconductors.............................................. 1.0 5,205 Other....................................................... 14.0 78,917 ---------- ------------- TOTAL COMMON STOCKS......................................... 94.9 509,989 PREFERRED STOCKS............................................ 0.2 1,114 WARRANTS.................................................... 0.1 299 INVESTMENT COMPANIES........................................ 7.6 40,625 ---------- ------------- TOTAL INVESTMENTS........................................... 102.8 552,027 OTHER ASSETS AND LIABILITIES (NET).......................... (2.8) (15,216) ---------- ------------- NET ASSETS.................................................. 100.0% $ 536,811 ---------- ------------- ---------- -------------
SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2001 INTERNATIONAL INTERNATIONAL VALUE EQUITY MASTER MASTER PORTFOLIO PORTFOLIO ------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $0 and $1,505, respectively)..................................... $ 31,661 $ 8,295 Dividend income from affiliated funds....................... 1,973 476 Interest.................................................... -- 53 Securities lending.......................................... 1,633 420 -------------- -------------- Total investment income................................. 35,267 9,244 -------------- -------------- EXPENSES: Investment advisory fee..................................... 9,956 2,771 Administration fee.......................................... 553 174 Custodian fees.............................................. 102 249 Legal and audit fees........................................ 22 21 Trustees' fees and expenses................................. 17 17 Interest expense............................................ 3 33 Other....................................................... 7 8 -------------- -------------- Total expenses.......................................... 10,660 3,273 Fees waived by investment advisor........................... (709) -- Fees reduced by credits allowed by the custodian............ (19) (1) -------------- -------------- Net expenses............................................ 9,932 3,272 -------------- -------------- NET INVESTMENT INCOME....................................... 25,335 5,972 -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS Net realized gain/(loss) from: Security transactions..................................... 36,173 (62,723) Futures contracts......................................... -- (1,201) Forward foreign exchange contracts, foreign currencies and other net assets........................................ (251) (600) -------------- -------------- Net realized gain/(loss) on investments..................... 35,922 (64,524) -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities................................................ (426,626) (21,859) Futures contracts......................................... -- 18 Forward foreign exchange contracts, foreign currencies and other net assets........................................ 3 118 -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... (426,623) (21,723) -------------- -------------- Net realized and unrealized gain/(loss) on investments...... (390,701) (86,247) -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ (365,366) $ (80,275) ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 49 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF CHANGES IN NET ASSETS INTERNATIONAL VALUE INTERNATIONAL EQUITY 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................................ $ 25,335 $ 28,132 $ 5,972 $ 10,725 Net realized gain/(loss) on investments.............. 35,922 34,050 (64,524) (30,925) Net change in unrealized appreciation/(depreciation) of investments..................................... (426,623) (112,412) (21,723) (246,000) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations......................................... (365,366) (50,230) (80,275) (266,200) Contributions........................................ 1,533,311 2,266,519 721,650 3,172,103 Withdrawals.......................................... (733,837) (1,302,473) (887,671) (3,051,242) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets................ 434,108 913,816 (246,296) (145,339) NET ASSETS: Beginning of period.................................. 1,769,912 856,096 783,107 928,446 -------------- -------------- -------------- -------------- End of period........................................ $ 2,204,020 $ 1,769,912 $ 536,811 $ 783,107 ============== ============== ============== ==============
SUPPLEMENTARY DATA
WITHOUT WAIVERS RATIO OF AND/OR EXPENSE OPERATING REIMBURSEMENTS EXPENSES --------------- RATIO OF INCLUDING RATIO OF NET RATIO OF OPERATING INTEREST INVESTMENT OPERATING EXPENSES EXPENSE INCOME/(LOSS) PORTFOLIO EXPENSES TO TO AVERAGE TO AVERAGE TO AVERAGE TURNOVER AVERAGE NET ASSETS NET ASSETS NET ASSETS RATE NET ASSETS --------------------------------------------------------------------- INTERNATIONAL VALUE MASTER PORTFOLIO: Six months ended 9/30/2001 (unaudited).... 0.90%(c) (d) 2.29%+ 9% 0.97%+(c) Year ended 3/31/2001...................... 0.87(c) (d) 2.16 14 0.97(c) Period ended 3/31/2000(a)................. 0.88+ -- 2.31+ 22 0.98+ INTERNATIONAL EQUITY MASTER PORTFOLIO: Six months ended 9/30/2001 (unaudited).... 0.95%+(c) (d) 1.73%+ 33% 0.95%+(c) Year ended 3/31/2001...................... 0.92 0.93 1.13 92 0.93 Period ended 3/31/2000(b)................. 0.92+ 0.94+ 0.10+ 48 0.94+
--------------- + Annualized. (a) International Value Master Portfolio commenced operations on October 18, 1999. (b) International Equity Master Portfolio commenced operations on October 8, 1999. (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. 50 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 International Value Master Portfolio and International Equity 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: International Value Master Portfolio: Nations International Value Fund............ 90.4% Nations International Value Fund (Offshore)................................ 1.8% Banc of America Capital Management Funds VII -- International Value Fund........... 7.8% International Equity Master Portfolio: Nations International Equity Fund........... 99.8% Nations International Equity Fund (Offshore)................................ 0.2%
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 traded on a recognized exchange or on NASDAQ are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded only over-the-counter are valued at the last sale price, or if no sale occurred on such day, at the mean of the current bid and asked prices. Debt securities are generally valued by an independent pricing service. Prices provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as yield, type of issue, coupon rate, maturity and general market conditions. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. Futures contracts: A Master Portfolio may invest in futures contracts. Upon entering into a futures contract, a Master Portfolio is required to deposit with the broker and 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. 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, each 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 51 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 Portfolio 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 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. The Funds had no forward foreign currency contracts outstanding at September 30, 2001. 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, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Master Portfolios are informed of the ex-dividend date. 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 Portfolio. The Master Portfolios may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Master Portfolios will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. 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 ------ International Value Master Portfolio.......... 0.90% International Equity Master Portfolio......... 0.80%
The Master Trust has, on behalf on the International Value Master Portfolio, entered into a sub-advisory agreement with BA Advisors and Brandes Investment Partners, L.P. ("Brandes"), pursuant to which Brandes is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.50% of the Master Portfolio's average daily net assets. The International Equity Master Portfolio is a "multi-manager" fund, which means that it is managed by more than one sub-adviser. Gartmore Global Partners ("Gartmore"), INVESCO Global Asset Management (N.A.), Inc. ("INVESCO") and Putnam Investment 52 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Management, LLC. ("Putnam") each manage approximately one-third of the assets of the Master Portfolio. Pursuant to the sub-advisory agreement, Gartmore, INVESCO and Putnam are entitled to receive a fee from BA Advisors at the maximum annual rate of 0.65% of the first $60 million, 0.55% of the next $130 million, 0.45% of the next $200 million and 0.40% over $390 million of the Master Portfolios' average daily net assets under management. For the period August 1, 2000 to July 31, 2001, BA Advisors agreed to waive 0.10% of International Value Master Portfolio's advisory fee. 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% from the average daily net assets of the Master Portfolios 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 $20,001 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 or BA Advisors, or any affiliate thereof, receives any compensation from the Master Trust for serving as a Trustee or officer of the Master Trust. 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) ------------------------------------------------------- International Value Master Portfolio..................... $973,531 $179,991 International Equity Master Portfolio..................... 219,965 384,949
There were no purchases and sales of long-term U.S. government securities for the six months ended September 30, 2001. 4. FUTURES CONTRACTS At September 30, 2001, the International Equity Master Portfolio had the following futures contracts open:
VALUE OF CONTRACT MARKET NUMBER WHEN VALUE OF UNREALIZED OF OPENED CONTRACTS APPRECIATION DESCRIPTION CONTRACTS (000) (000) (000) ------------------------------------------------------------------- S&P/Toronto Stock Exchange 60 Index Futures (long position) expiring December 2001(a)......... 38 $1,850 $1,922 $72
--------------- (a) Cash has been segregated as collateral for open futures contracts. 5. 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 53 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 funds 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 September 30, 2001, borrowings by the Master Portfolios under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING INTEREST PORTFOLIO (000) RATE --------------------------------------------------------- International Value Master Portfolio..................... $ 137 4.54% International Equity Master Portfolio..................... 1,087 4.44
The average amount outstanding was calculated based on daily balances in the period. 6. 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 VALUE LOANED SECURITIES OF COLLATERAL PORTFOLIO (000) (000) ------------------------------------------------------------ International Value Master Portfolio....... $497,363 $582,967 International Equity Master Portfolio....... 17,794 18,612
7. REORGANIZATIONS CONVERSION OF COMMON TRUST FUNDS On May 12, 2000, the International Equity Fund (the "Acquiring Fund"), acquired the assets of Bank of America Common Trust International Equity Fund, a common trust fund, managed by Bank of America, N.A., (the "Acquired Fund"), in a tax-free exchange for shares of the Acquiring Fund. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity of the International Equity Fund. Net assets and unrealized appreciation as of the conversion date were as follows:
TOTAL NET ACQUIRED TOTAL NET TOTAL NET ASSETS OF FUND ASSETS OF ASSETS OF ACQUIRING FUND UNREALIZED ACQUIRED FUND ACQUIRING FUND AFTER CONVERSION APPRECIATION (000) (000) (000) (000) ---------------------------------------------------------------- $29,129 $868,368 $897,497 $5,808
On September 8, 2000, the International Equity Fund (the "Acquiring Fund"), acquired the assets and assumed the liabilities of Nations International Growth 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 and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity of the International Equity Fund. The Acquiring Fund contributed the securities and other assets to the International Equity Master Portfolio for an interest in the Portfolios. Net assets and unrealized appreciation as of the reorganization date were as follows:
TOTAL NET ACQUIRED TOTAL NET TOTAL NET ASSETS OF FUND ASSETS OF ASSETS OF ACQUIRING FUND UNREALIZED ACQUIRED FUND ACQUIRING FUND AFTER ACQUISITION APPRECIATION (000) (000) (000) (000) ----------------------------------------------------------------- $38,052 $1,023,391 $1,061,443 $8,750
54 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 INTSTKSAR (9/01)