-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, UibK/Mtuzp7TSuRCHc3lZhQp4J/6smk2nPhGSIDVHnZhZD0G2woCdoA4Nu7VLhOT g8eVd9laJhvfzB+UJZik1g== 0000950144-02-006276.txt : 20020607 0000950144-02-006276.hdr.sgml : 20020607 20020605110157 ACCESSION NUMBER: 0000950144-02-006276 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20020331 FILED AS OF DATE: 20020605 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NATIONS FUND TRUST CENTRAL INDEX KEY: 0000769100 STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-04305 FILM NUMBER: 02670506 BUSINESS ADDRESS: STREET 1: 1 BANK OF AMERICA PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 8003217854 MAIL ADDRESS: STREET 1: ONE BANK OF AMERICA PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 FORMER COMPANY: FORMER CONFORMED NAME: NATIONS FUND DATE OF NAME CHANGE: 19921228 FORMER COMPANY: FORMER CONFORMED NAME: MARKETMASTER TRUST DATE OF NAME CHANGE: 19920203 FORMER COMPANY: FORMER CONFORMED NAME: MARKETMASTER TRUST/DE/ DATE OF NAME CHANGE: 19920407 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NATIONS FUNDS TRUST CENTRAL INDEX KEY: 0001097519 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-09645 FILM NUMBER: 02670507 BUSINESS ADDRESS: STREET 1: ONE BANK OF AMERICA PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 8003217854 MAIL ADDRESS: STREET 1: ONE BANKOF AMERICA PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 N-30D 1 g75301nv30d.txt NATIONS INDEX FUNDS / NATIONS FUND TRUST Nations LargeCap Index Fund Nations Managed Index Fund INDEX FUNDS Nations MidCap Index Fund ------------------------------------ Annual report for the year ended Nations SmallCap March 31, 2002 Index Fund [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 12-month period ending March 31, 2002 marked a year of remarkable volatility, uncertainty and change in the markets. The tragic events of September 11, 2001 -- a terrorist attack of unspeakable magnitude -- shocked the United States and the world, sending markets worldwide into a short-term free fall. These events helped push the already fragile U.S. economy into recession for the first time after almost a decade of uninterrupted economic growth. The debacle of Enron and new concerns about corporate accounting also caused growing investor uncertainty. To aid the sagging economy and begin the recovery process from recession, the Federal Reserve Board cut interest rates a record eight times during this reporting period, bringing them to their lowest level in nearly 40 years. For the 12-month period, the three major stock market indexes -- the Dow Jones Industrial Average, Standard & Poor's 500 Composite Stock Price Index (S&P 500) and Nasdaq Composite Index(1) -- had modest, positive returns. Bond results for the same period, represented by the Lehman Aggregate Bond Index(2), were more muted than the prior 12-month period. Since the start of the year 2002, however, many economic indicators suggest we may be well along the path to recovery. The growth rate of the Gross Domestic Product, for example, increased from 1.7% for the fourth quarter of 2001 to 5.8% for first quarter of 2002, the fastest growth rate in more than two years. OPPORTUNITIES ABOUND One strongly advised investment approach, we believe, is to remain focused on long-term investment goals and not on short-term profits or losses. Investors who see the potential in "buying low" and "selling high" may also see the opportunities that a down or volatile market may present. In our view, now may be a good time to capture value by buying -- at a discount -- stocks or bonds of some of the most widely regarded companies. During these volatile times, buying small-, mid-cap and value prospects, in our view, may be an opportunity to acquire some respected companies at a discount, and corporate bonds appear particularly attractive as credit spreads relative to Treasuries narrow. DIVERSIFICATION AND DISCIPLINE These past two years could not have provided a more vivid example of the importance of having a diversified investment strategy. We believe that a carefully selected portfolio of stocks and bonds is a sensible way to reduce some of the risk associated with investing, particularly during uncertain times. It takes discipline to weather market uncertainty. It may be wise for you to meet with your investment professional to review your long-term financial goals, not just during volatile times, but on a more regular, disciplined basis. - --------------- (1)The Dow Jones Industrial Average is a price-weighted index of 30 of the largest, most widely held stocks traded on the New York Stock Exchange. The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 widely held common stocks. The Nasdaq Composite Index tracks the performance of domestic common stocks traded on the regular Nasdaq market as well as National Market System traded foreign stocks and ADRs. The indices are unavailable for investment and do not reflect fees, brokerage commissions or other expenses of investing. (2)The Lehman Aggregate Bond Index is an unmanaged index made up of the Lehman Government/ Corporate Index, the Asset-Backed Securities Index and the Mortgage-Backed Securities Index and includes U.S. government agency and U.S. Treasury securities, corporate bonds and mortgage-backed securities. All dividends are reinvested. The indices are unavailable for investment and do not reflect fees, brokerage commissions or other expenses of investing. Source for all statistical data -- Banc of America Capital Management, LLC PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. PRESIDENTS' MESSAGE CONTINUED... OUR NEAR-TERM OUTLOOK While the U.S. economy suffered its first downturn in a decade, we look for more positive signs from economic indicators in the coming months, which may provide a favorable backdrop for longer-term equity returns. Interest rates seem to have stabilized, inflation is quiescent and manufacturing data is looking better. We remain cautious, however, realizing that a number of risks could impact the markets, such as the continued war on terrorism, escalating conflict within the Middle East or an increase in oil prices, which has historically been a major contributing factor to the state of global economic conditions. We also continue to look for opportunities on the fixed-income side. With the improving economy, declining default rates and wider spreads, we believe high-yield and corporate bonds may look favorable. INSIGHTS AND ANALYSIS Please read through your annual report to see what your Nations Funds portfolio managers have to say about the markets, the economy and how your investment has fared over the past 12 months. Should you have any questions or comments on your annual report, please contact your investment professional or call us at 1.800.321.7854. If you do not have an investment professional and would like us to put you in contact with one, just let us know. You can visit us online anytime at www.nationsfunds.com for the most current performance and other information about your fund. 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 March 31, 2002 TABLE OF CONTENTS ECONOMIC OVERVIEW 3 PORTFOLIO COMMENTARY Nations LargeCap Index Fund 5 Nations Managed Index Fund 8 Nations MidCap Index Fund 12 Nations SmallCap Index Fund 15 FINANCIAL STATEMENTS Statements of net assets 19 Statements of operations 45 Statements of changes in net assets 46 Schedules of capital stock activity 48 Financial highlights 52 Notes to financial statements 60 Tax information 69 Fund governance 70
NATIONS FUNDS [DALBAR LOGO] RECOGNIZED FOR OUTSTANDING DALBAR, Inc. is a well-respected SHAREHOLDER AND research firm that measures INTERMEDIARY SERVICE customer service levels and establishes benchmarks in the IN RECOGNITION OF ITS COMMITMENT financial services industry. TO PROVIDE SHAREHOLDERS AND INVESTMENT PROFESSIONALS WITH THE HIGHEST LEVEL OF SERVICE IN THE MUTUAL FUND INDUSTRY, NATIONS FUNDS RECEIVED THE DALBAR MUTUAL FUND SERVICE AWARD AND THE DALBAR KEY HONORS AWARD IN 2001.
"Standard & Poor's" and "Standard & Poor's 500" are trademarks of The McGraw-Hill Companies, Inc. [This page intentionally left blank.] ECONOMIC OVERVIEW BANC OF AMERICA CAPITAL MANAGEMENT* THE YEAR IN REVIEW Over the past year, the U.S. economy suffered its first recession in more than a decade as well as the trauma of an unprecedented attack from terrorism. The ability of the U.S. financial markets to cope with these shocks demonstrates the resilience of our economic system. While stock market performance varied by investment style and sector, most measures remained relatively flat or posted gains for the 12 months ended March 31, 2002. The Standard & Poor's 500 Composite Stock Price Index** remained essentially stable, with a total return of almost 0.2%. In contrast, gains by smaller companies pushed the total return of the Russell 2000 Index*** to nearly 14%. Stock market performance across industry segments diverged widely over the past year. Anticipation of an economic recovery gave a sizable boost to basic material stocks, while investors also sought the safety of the consumer staples sector. Excess capacity, however, drove the share prices of many telecommunications service companies sharply lower. The fixed-income markets faced pressure from rising long-term interest rates in early 2002, yet still managed to post a moderate return over the 12 months ending March 31, 2002. U.S. Treasury securities achieved a 3% return, as measured by the Lehman U.S. Treasury Index.+ Meanwhile, the Lehman Corporate Bond Index++ recorded a 5% gain. After the longest expansion in U.S. history, the U.S. economy slipped into recession in March 2001, according to the Business Cycle Dating Committee of the National Bureau of Economic Research. The prior year's tightening of monetary policy, higher energy costs and the contraction in the stock market all acted to slow the economy, especially the "hard-hit" manufacturing sector. The September 11, 2001 terrorist attacks extended the downturn to other sectors, such as travel and tourism. By historical standards, the past year's recession has been relatively short and mild. Real Gross Domestic Product (GDP) declined in only one quarter, the July through September 2001 period. Housing remained strong throughout the downturn and - --------------- *Banc of America Capital Management is the investment management group of Bank of America, N.A. and includes Banc of America Capital Management, LLC, investment sub-adviser to many Nations Funds, and other non-bank affiliates of Bank of America. **The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. ***The Russell 2000 Index is an unmanaged index of 2,000 of the smallest stocks representing approximately 11% of the U.S. equity market. The index is weighted by market capitalization, and is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. +The Lehman U.S. Treasury Index is an index consisting of U.S. Treasury debt obligations and is generally considered to be representative of U.S. Treasury market activity. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. ++The Lehman Corporate Bond Index is an unmanaged market value-weighted index of investment- grade corporate fixed-rate debt issues with maturities of one year or more. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. Source of all statistical data -- Banc of America Capital Management, LLC. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 3 ECONOMIC OVERVIEW CONTINUED... consumer spending held up relatively well. However, corporate profits plunged and businesses slashed their capital spending budgets. As 2001 drew to a close, forces were converging to produce an economic upswing in 2002. Eleven interest-rate cuts by the Federal Reserve Board (the "Fed") combined with tax cuts and increases in federal spending helped to refuel the U.S. economic engine. Meanwhile, businesses reacted quickly by bringing inventories in line with demand, and Americans displayed a remarkable ability to recover from last September's shock. THE YEAR AHEAD Recent economic statistics indicate that the recession has ended and an economic recovery has taken hold. With companies no longer able to fill sales with goods already on the shelf, production and real GDP turned sharply higher in the first quarter. Although significant risks persist, we believe the recovery should continue over the balance of 2002. We also believe a gradual improvement in the job market, personal income gains and rising home equity values should support a further rise in consumer spending. Companies have been reluctant to increase their spending on technology products and other capital goods, but by the latter part of 2002 we believe many companies could grow more confident in a sustained economic recovery. Some improvement in operating margins and higher sales volumes, we feel, would allow profits to rebound over the next few quarters. Favorable long-term productivity trends remain intact, which we believe should put the economy on track for expansion in 2002. We anticipate that the Fed will raise interest rates from today's extraordinarily low levels to keep inflation in check. However, even by year-end, interest rates may continue to be at moderate levels. Looking ahead, investors may continue to face formidable risks that have recently been exacerbated by the worldwide war against terrorism and violence in the Middle East. Valuation levels also may remain a constraint. Yet, we believe that the fundamentals of the U.S. economy remain strong and the U.S. appears to be leading the rest of the world into recovery. LYNN REASER, PH.D. CHIEF ECONOMIST AND SENIOR MARKET STRATEGIST BANC OF AMERICA CAPITAL MANAGEMENT March 31, 2002 4 NATIONS LARGECAP INDEX FUND QUANTITATIVE STRATEGIES TEAM COMMENTARY* PORTFOLIO MANAGEMENT The Fund is managed by the Quantitative Strategies Team of Banc of America Capital Management, LLC, investment sub-adviser to the Fund. INVESTMENT OBJECTIVE The Fund seeks investment results that (before fees and expenses) correspond to the total return of the Standard & Poor's 500 Composite Stock Price Index (S&P 500 Index).** PERFORMANCE REVIEW For the 12-month period ended March 31, 2002, Nations LargeCap Index Fund Investor A Shares provided shareholders with a total return of - -0.30%.*** IN THE FOLLOWING INTERVIEW, THE TEAM SHARES ITS VIEWS ON NATIONS LARGECAP INDEX FUND'S PERFORMANCE FOR THE 12-MONTH PERIOD ENDED MARCH 31, 2002 AND ITS OUTLOOK FOR THE FUTURE. PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY. Nations LargeCap Index Fund's investment style and philosophy seek to provide investors with the potential for returns that closely approximate the Fund's benchmark, the S&P 500 Index. In addition, where consistent with the Fund's strategic investment process, the Fund may employ various techniques to manage capital gains distributions. HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT PREVAILED OVER THE PAST 12 MONTHS? Nations LargeCap Index Fund (Investor A Shares) slightly underperformed the S&P 500 Index for the 12 months ending March 31, 2002, returning -0.30%, while the S&P 500 Index returned 0.16%. After suffering a decline of more than 20% last year, the S&P 500 Index experienced great volatility and wound up essentially flat for the year. Seemingly on the road to recovery during the summer, the tragic events of September 11, along with the financial accounting crisis revealed by Enron Corporation's bankruptcy, sent the market plunging in the fall, followed by a sharp recovery towards the end of calendar year 2001. WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED UNFAVORABLE?& Utilities and communications provided the bulk of the market's weakness during the year, declining approximately 20%, while the materials and consumer staples sectors were up more than 10%. Portfolio results mirrored the benchmark, which was in line with our objective. WHAT DO YOU ANTICIPATE FOR THE COMING YEAR? As we move through 2002, we are finding reasons to feel somewhat more optimistic about the markets in general. However, investors may consider adjusting expectations due to continued crosscurrents in the economy with which we must contend. - --------------- *The outlook for this Fund may differ from that presented for other Nations Funds mutual funds. **The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. ***The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total return would have been lower. &Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Source for all statistical data -- Banc of America Capital Management, LLC. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 5 NATIONS LARGECAP INDEX FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/02) [PIE CHART] 4.0% Computers and office equipment 4.4% Insurance 4.5% Diversified manufacturing 4.5% Semiconductors 4.5% Medical devices and supplies 4.6% Telecommunications services 4.8% Software 5.8% Integrated oil 8.2% Pharmaceuticals 9.3% Commercial banking 45.4% Other
PORTFOLIO HOLDINGS WERE CURRENT AS OF MARCH 31, 2002, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 General Electric Company 3.5% ------------------------------------------------- 2 Microsoft Corporation 3.1% ------------------------------------------------- 3 Exxon Mobil Corporation 2.8% ------------------------------------------------- 4 Wal-Mart Stores, Inc. 2.6% ------------------------------------------------- 5 Citigroup Inc. 2.4% ------------------------------------------------- 6 Pfizer Inc. 2.4% ------------------------------------------------- 7 Intel Corporation 1.9% ------------------------------------------------- 8 Johnson & Johnson 1.9% ------------------------------------------------- 9 American International Group, Inc. 1.8% ------------------------------------------------- 10 International Business Machines Corporation 1.7% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND SECURITIES IN WHICH THE FUND MAY INVEST.
6 NATIONS LARGECAP INDEX FUND PERFORMANCE GROWTH OF A $10,000 INVESTMENT AVERAGE ANNUAL TOTAL RETURN Investor A Shares
SINCE INCEPTION (10/10/95 through 3/31/02) 12.24%
The chart to the left shows the growth in value of a hypothetical $10,000 investment in Investor A Shares of Nations LargeCap Index Fund from the inception of the share class. Figures for the Standard & Poor's 500 Composite Stock Price Index (Standard & Poor's 500 Index), an unmanaged index of 500 widely held common stocks, include reinvestment of dividends. Funds in the Lipper S&P 500 Index Funds Average are passively managed, limited-expense funds designed to replicate the performance of the S&P 500 on a reinvested basis. The Index and Lipper Average are unavailable for investment and do not reflect fees, brokerage commissions or other expenses of investing. The performance of Primary A Shares may vary based on the differences in fees paid by the shareholders investing in each class. [CHART LEGEND] [INVESTOR A SHARES (AS OF 3/31/02) RETURN CHART]
NATIONS LARGECAP INDEX STANDARD & POOR'S 500 LIPPER S&P 500 INDEX FUND $21,117 INDEX $21,956 FUNDS AVERAGE $20,969 ---------------------- --------------------- --------------------- Oct. 10 1995 10000 10000 10000 12/95 10710 10721 10590 12/96 13090 13181 12958 12/97 17285 17577 17184 12/98 22135 22605 22005 12/99 26637 27358 26457 12/00 24080 24869 23925 12/01 21081 21914 20941 Mar. 31 2002 21117 21956 20969
TOTAL RETURN (AS OF 3/31/02)
PRIMARY A INVESTOR A Inception date 12/15/93 10/10/95 - -------------------------------------------------------------------------------------------------- 1 YEAR PERFORMANCE -0.09% -0.30% - -------------------------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS 3 YEARS -2.85% -3.09% 5 YEARS 9.83% 9.50% SINCE INCEPTION 13.23% 12.24%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF FUTURE RESULTS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER MAY PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are historical in nature and measure net investment income and capital gain or loss from portfolio investments assuming reinvestment of distributions. The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. 7 NATIONS MANAGED INDEX FUND QUANTITATIVE STRATEGIES TEAM COMMENTARY* PORTFOLIO MANAGEMENT The Fund is managed by the Quantitative Strategies Team of Banc of America Capital Management, LLC, investment sub-adviser to the Fund. INVESTMENT OBJECTIVE The Fund seeks, over the long term, to provide a total return that (before fees and expenses) exceeds the total return of the Standard & Poor's 500 Composite Stock Price Index (S&P 500 Index).** PERFORMANCE REVIEW For the 12-month period ended March 31, 2002, Nations Managed Index Fund Investor A Shares provided shareholders with a total return of 2.55%.*** IN THE FOLLOWING INTERVIEW, THE TEAM SHARES ITS VIEWS ON NATIONS MANAGED INDEX FUND'S PERFORMANCE FOR THE 12-MONTH PERIOD ENDED MARCH 31, 2002 AND ITS OUTLOOK FOR THE FUTURE. PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY. Unlike traditional index funds, Nations Managed Index Fund is an active, quantitatively managed product. We believe that maximizing exposure to attractive securities, while simultaneously and carefully seeking to control portfolio risk helps to maintain characteristics similar to the S&P 500 Index. This investment style may provide investors with the potential for positive incremental performance relative to the Fund's benchmark index. In addition, where consistent with the Fund's strategic investment process, the Fund may employ various techniques to manage capital gains distributions. HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT PREVAILED OVER THE PAST 12 MONTHS? Nations Managed Index Fund (Investor A Shares) advanced 2.55%, while the S&P 500 Index returned 0.16% for the 12 months ending March 31, 2002. After suffering a decline of more than 20% last year, the S&P 500 Index experienced volatility and wound up essentially flat for the year. Seemingly on the road to recovery during the summer of 2001, the tragic events of September 11, along with the financial accounting crisis revealed by Enron Corporation's bankruptcy, sent the market plunging in the fall, followed by a sharp recovery towards the end of calendar year 2001. PLEASE DESCRIBE THE INVESTMENT PROCESS. The stock selection process uses quantitative analysis to determine the attractiveness of each stock. The stock selection process is predicated on a proprietary adaptive model that seeks to observe and predict investor behavior. A variety of factors traditionally classified as value, growth, price momentum, earnings momentum and others are dynamically evaluated to arrive at those believed to be most useful and reflective of investor behavior. The process may from time to time employ opportunistic models. The team believes stock market inefficiencies exist which can be identified and exploited, such as merger and acquisition activity involving stock or cash transactions. All stocks are evaluated by the model(s) and the most attractive stocks are added -- subject to risk management mechanisms, which are designed to seek to mute sector, size and style bias. This strategy is designed to produce a portfolio whose aggregate - --------------- *The outlook for this Fund may differ from that presented for other Nations Funds mutual funds. **The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. ***The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total return would have been lower. Source for all statistical data -- Banc of America Capital Management, LLC. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 8 NATIONS MANAGED INDEX FUND QUANTITATIVE STRATEGIES TEAM COMMENTARY continued characteristics closely resemble the benchmark while maximizing exposure to those attributes believed to be indicative of superior performance. Stock selection is anticipated to be the primary driver of returns that exceed the return of the S&P 500 Index. Secondarily, the team also seeks to minimize the distribution of capital gains to shareholders. The Fund employs the "highest in, first out" (HIFO) accounting methodology. This strategy permits, when "trimming" Fund holdings of a security, the sale of specific shares with the highest tax basis first to reduce the amount of the realized capital gain. In addition, the team may practice tax-loss harvesting& to offset realized gains with losses. This strategy can reduce the cumulative taxable gain of the Fund. WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED UNFAVORABLE?&& The technology, healthcare, telecommunications and financial sectors performed most effectively for the Fund's investors. The materials and energy sectors proved least effective for the Fund. WHAT DO YOU ANTICIPATE FOR THE COMING YEAR? As we move through 2002, we are finding reasons to feel somewhat more optimistic about the markets in general. However, investors may consider adjusting expectations due to continued crosscurrents in the economy with which we must contend. - --------------- &Tax-loss harvesting is a method whereby a mutual fund may, at times, sell portfolio securities in order to realize capital losses. &&Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. 9 NATIONS MANAGED INDEX FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/02) [PIE CHART] 3.4% Medical devices and supplies 3.5% Semiconductors 4.0% Computers and office equipment 5.0% Diversified manufacturing 5.8% Software 6.1% Insurance 6.1% Telecommunications services 6.7% Commercial banking 7.0% Integrated oil 8.9% Pharmaceuticals 43.5% Other
PORTFOLIO HOLDINGS WERE CURRENT AS OF MARCH 31, 2002, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 General Electric Company 3.6% ------------------------------------------------- 2 Microsoft Corporation 3.5% ------------------------------------------------- 3 Pfizer Inc. 2.7% ------------------------------------------------- 4 Exxon Mobil Corporation 2.3% ------------------------------------------------- 5 American International Group, Inc. 2.2% ------------------------------------------------- 6 Wal-Mart Stores, Inc. 2.1% ------------------------------------------------- 7 International Business Machines Corporation 2.0% ------------------------------------------------- 8 Citigroup Inc. 1.9% ------------------------------------------------- 9 Intel Corporation 1.7% ------------------------------------------------- 10 Merck & Company, Inc. 1.7% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND SECURITIES IN WHICH THE FUND MAY INVEST.
10 NATIONS MANAGED INDEX FUND PERFORMANCE GROWTH OF A $10,000 INVESTMENT [INVESTOR A SHARES (AS OF 3/31/02) RETURN CHART]
NATIONS MANAGED INDEX STANDARD & POOR'S 500 LIPPER LARGE-CAP CORE FUND $18,768 INDEX $19,462 FUNDS AVERAGE $17,139 --------------------- --------------------- --------------------- 7/31/96 10000 10000 10000 12/96 11695 11684 11539 12/97 15576 15581 14750 12/98 19678 20037 18225 12/99 23103 24250 21909 12/00 20528 22044 19946 12/01 18566 19425 17199 3/31/02 18768 19462 17139
AVERAGE ANNUAL TOTAL RETURN Investor A Shares
SINCE INCEPTION (7/31/96 through 3/31/02) 11.75%
The chart to the left shows the growth in value of a hypothetical $10,000 investment in Investor A Shares of Nations Managed Index Fund from the inception of the share class. Figures for the Standard & Poor's 500 Composite Stock Price Index (Standard & Poor's 500 Index), an unmanaged index of 500 widely held common stocks, include reinvestment of dividends. Funds in the Lipper Large-Cap Core Funds Average invest at least 75% of their equity assets in companies with market capitalizations of greater than $10 billion. The Index and Lipper Average are unavailable for investment and do not reflect fees, brokerage commissions or other expenses of investing. The performance of Primary A and Primary B Shares may vary based on the differences in fees paid by the shareholders investing in each class. [CHART LEGEND] TOTAL RETURN (AS OF 3/31/02)
PRIMARY A PRIMARY B INVESTOR A Inception date 7/31/96 9/4/97 7/31/96 - ---------------------------------------------------------------------------------------------------------- 1 YEAR PERFORMANCE 2.80% 2.17% 2.55% - ---------------------------------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS 3 YEARS -2.36% -2.91% -2.63% 5 YEARS 9.62% -- 9.33% SINCE INCEPTION 12.02% 4.86% 11.75%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF FUTURE RESULTS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER MAY PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are historical in nature and measure net investment income and capital gain or loss from portfolio investments assuming reinvestment of distributions. The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. 11 NATIONS MIDCAP INDEX FUND QUANTITATIVE STRATEGIES TEAM COMMENTARY* PORTFOLIO MANAGEMENT The Fund is managed by the Quantitative Strategies Team of Banc of America Capital Management, LLC, investment sub-adviser to the Fund. INVESTMENT OBJECTIVE The Fund seeks investment results that (before fees and expenses) correspond to the total return of the Standard & Poor's MidCap 400 Index (S&P MidCap 400 Index).** PERFORMANCE REVIEW For the 12-month period ended March 31, 2002, Nations MidCap Index Fund Investor A Shares provided shareholders with a total return of 17.99%.*** IN THE FOLLOWING INTERVIEW, THE TEAM SHARES ITS VIEWS ON NATIONS MIDCAP INDEX FUND'S PERFORMANCE FOR THE 12-MONTH PERIOD ENDED MARCH 31, 2002 AND ITS OUTLOOK FOR THE FUTURE. PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY. Nations MidCap Index Fund's investment style and philosophy seek to provide investors with the potential for returns that closely approximate the Fund's benchmark, the S&P MidCap 400 Index. In addition, where consistent with the Fund's strategic investment process, the Fund may employ various techniques to manage capital gains distributions. HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT PREVAILED OVER THE PAST 12 MONTHS? Nations MidCap Index Fund (Investor A Shares) sought to track the S&P MidCap 400 Index for the year ending March 31, 2002, advancing 17.99%, while the S&P MidCap 400 Index returned 18.86%. The mid-cap market performed much better than the larger Standard & Poor's 500 Composite Stock Price Index,& which returned 0.16%. Seemingly on the road to recovery during the summer of 2001, the tragic events of September 11, along with the financial accounting crisis revealed by Enron Corporation's bankruptcy, sent the market plunging in the fall, followed by a sharp recovery towards the end of calendar year 2001. WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED UNFAVORABLE?&& The consumer discretionary, consumer staples, healthcare, materials and financials sectors all advanced in excess of 20%, while the telecommunications sector plunged in excess of 30%. Portfolio results mirrored benchmark performance, which is in alignment with our objective. WHAT DO YOU ANTICIPATE FOR THE COMING YEAR? As we move through 2002, we are finding reasons to feel somewhat more optimistic about the markets in general. However, investors may consider adjusting expectations due to continued crosscurrents in the economy with which we must contend. - --------------- *The outlook for this Fund may differ from that presented for other Nations Funds mutual funds. **The Standard & Poor's MidCap 400 Index is an unmanaged index of 400 domestic stocks chosen for market size, liquidity and industry representation. The index is weighted by market value, and is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. ***The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total return would have been lower. &The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. &&Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Source for all statistical data -- Banc of America Capital Management, LLC. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 12 NATIONS MIDCAP INDEX FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/02) [PIE CHART] 2.8% Food products 3.4% Specialty stores 3.8% Health services 3.9% Oilfield services 4.2% Insurance 4.5% Commercial services 5.1% Pharmaceuticals 5.8% Semiconductors 6.4% Software 9.2% Commercial banking 50.9% Other
PORTFOLIO HOLDINGS WERE CURRENT AS OF MARCH 31, 2002, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 IDEC Pharmaceuticals Corporation 1.1% ------------------------------------------------- 2 Sungard Data Systems, Inc. 1.0% ------------------------------------------------- 3 Electronic Arts Inc. 0.9% ------------------------------------------------- 4 Quest Diagnostics Inc. 0.9% ------------------------------------------------- 5 M&T Bank Corporation 0.8% ------------------------------------------------- 6 Affiliated Computer Services, Inc., Class A 0.8% ------------------------------------------------- 7 Gilead Sciences, Inc. 0.8% ------------------------------------------------- 8 Millennium Pharmaceuticals, Inc. 0.7% ------------------------------------------------- 9 Apollo Group Inc., Class A 0.7% ------------------------------------------------- 10 R.J. Reynolds Tobacco Holdings, Inc. 0.7% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND SECURITIES IN WHICH THE FUND MAY INVEST.
13 NATIONS MIDCAP INDEX FUND PERFORMANCE GROWTH OF A $10,000 INVESTMENT [INVESTOR A SHARES (AS OF 3/31/02) RETURN CHART]
NATIONS MIDCAP INDEX FUND STANDARD & POOR'S MIDCAP LIPPER MID-CAP CORE FUNDS $11,464 400 INDEX $11,615 AVERAGE $10,550 ------------------------- ------------------------ ------------------------- 5/31/00 10000 10000 10000 6/00 10136 10155 10522 9/00 11368 11389 11283 12/00 10909 10950 10671 3/01 9716 9771 9479 6/01 10979 11057 10581 9/01 9146 9225 8707 12/01 10776 10883 10204 3/31/02 11464 11615 10550
AVERAGE ANNUAL TOTAL RETURN Investor A Shares
SINCE INCEPTION (5/31/00 through 3/31/02) 7.74%
The chart to the left shows the growth in value of a hypothetical $10,000 investment in Investor A Shares of Nations MidCap Index Fund from the inception of the share class. Figures for the Standard & Poor's MidCap 400 Index, an unmanaged index of 400 domestic stocks chosen for market size, liquidity and industry representation and weighted by market value, include reinvestment of dividends. Funds in the Lipper Mid-Cap Core Funds Average invest at least 75% of their equity assets in companies with market capitalizations of less than 300% of the median market capitalization of the middle 1,000 securities of the Standard & Poor's MidCap 400 Index. The Index and Lipper Average are unavailable for investment and do not reflect fees, brokerage commissions or other expenses of investing. The performance of Primary A Shares may vary based on the differences in fees paid by the shareholders investing in each class. [CHART LEGEND] TOTAL RETURN (AS OF 3/31/02)
PRIMARY A INVESTOR A Inception date 3/31/00 5/31/00 - ------------------------------------------------------------------------------------------- 1 YEAR PERFORMANCE 18.29% 17.99% - ------------------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS SINCE INCEPTION 4.75% 7.74%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF FUTURE RESULTS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER MAY PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are historical in nature and measure net investment income and capital gain or loss from portfolio investments assuming reinvestment of distributions. The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. 14 NATIONS SMALLCAP INDEX FUND QUANTITATIVE STRATEGIES TEAM COMMENTARY* PORTFOLIO MANAGEMENT The Fund is managed by the Quantitative Strategies Team of Banc of America Capital Management, LLC, investment sub-adviser to the Fund. INVESTMENT OBJECTIVE The Fund seeks investment results that (before fees and expenses) correspond to the total return of the Standard & Poor's SmallCap 600 Index (S&P SmallCap 600 Index).** PERFORMANCE REVIEW For the 12-month period ended March 31, 2002, Nations SmallCap Index Fund Investor A Shares provided shareholders with a total return of 20.97%.*** IN THE FOLLOWING INTERVIEW, THE TEAM SHARES ITS VIEWS ON NATIONS SMALLCAP INDEX FUND'S PERFORMANCE FOR THE 12-MONTH PERIOD ENDED MARCH 31, 2002 AND ITS OUTLOOK FOR THE FUTURE. PLEASE DESCRIBE THE FUND'S INVESTMENT STYLE AND PHILOSOPHY. Nations SmallCap Index Fund's investment style and philosophy seek to provide investors with the potential for returns that closely approximate the Fund's benchmark, the S&P SmallCap 600 Index. In addition, where consistent with the Fund's strategic investment process, the Fund may employ various techniques to manage capital gains distributions. HOW DID THE FUND PERFORM UNDER THE MARKET CONDITIONS THAT PREVAILED OVER THE PAST 12 MONTHS? Nations SmallCap Index Fund (Investor A Shares) slightly underperformed the S&P SmallCap 600 Index for the 12 months ending March 31, 2002, climbing 20.97% after expenses, while the S&P SmallCap 600 Index returned 21.96%. The small-cap market performed much better than the larger Standard & Poor's 500 Composite Stock Price Index,& which returned 0.16%. Seemingly on the road to recovery during the summer of 2001, the tragic events of September 11, along with the financial accounting crisis revealed by Enron Corporation's bankruptcy, sent the market plunging in the fall, followed by a sharp recovery towards the end of calendar year 2001. WHICH SECTORS PROVED FAVORABLE FOR THE FUND AND WHICH PROVED UNFAVORABLE?&& The consumer discretionary, consumer staples, industrial and financials sectors all advanced in excess of 20%, while the energy sector slid slightly more than 10%. Portfolio results mirrored benchmark performance, which is in alignment with our objective. - --------------- *The outlook for this Fund may differ from that presented for other Nations Funds mutual funds. **The Standard & Poor's SmallCap 600 Index is an unmanaged index of 600 common stocks, weighted by market capitalization. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. ***The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total return would have been lower. &The Standard & Poor's 500 Composite Stock Price Index is an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. &&Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. Source for all statistical data -- Banc of America Capital Management, LLC. BECAUSE SMALL COMPANIES HAVE NARROWER MARKETS, LIMITED FINANCIAL RESOURCES AND STOCKS THAT ARE NOT AS ACTIVELY TRADED AS LARGE COMPANY STOCKS, THEIR SHARE PRICES MAY BE MORE VOLATILE. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. 15 NATIONS SMALLCAP INDEX FUND QUANTITATIVE STRATEGIES TEAM COMMENTARY continued WHAT DO YOU ANTICIPATE FOR THE COMING YEAR? As we move through 2002, we are finding reasons to feel somewhat more optimistic about the markets in general. However, investors may consider adjusting expectations due to continued crosscurrents in the economy with which we must contend. 16 NATIONS SMALLCAP INDEX FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 3/31/02) [PIE CHART] 3.0% Pharmaceuticals 3.3% Diversified manufacturing 3.5% Restaurants 3.8% Software 4.2% Commercial services 4.5% Health services 5.0% Medical devices and supplies 5.8% Semiconductors 5.9% Commercial banking 6.1% Specialty stores 54.9% Other
PORTFOLIO HOLDINGS WERE CURRENT AS OF MARCH 31, 2002, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Cephalon, Inc. 0.8% ------------------------------------------------- 2 AdvancePCS 0.7% ------------------------------------------------- 3 Varian Medical Systems, Inc. 0.7% ------------------------------------------------- 4 Whole Foods Market, Inc. 0.6% ------------------------------------------------- 5 Alliant Techsystems Inc. 0.6% ------------------------------------------------- 6 Michaels Stores, Inc. 0.6% ------------------------------------------------- 7 XTO Energy, Inc. 0.6% ------------------------------------------------- 8 Constellation Brands, Inc. 0.6% ------------------------------------------------- 9 NVR, Inc. 0.6% ------------------------------------------------- 10 OM Group, Inc. 0.5% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE INDUSTRIES AND SECURITIES IN WHICH THE FUND MAY INVEST.
17 NATIONS SMALLCAP INDEX FUND PERFORMANCE GROWTH OF A $10,000 INVESTMENT [INVESTOR A SHARES (AS OF 3/31/02) RETURN CHART]
STANDARD & POOR'S NATIONS SMALLCAP INDEX LIPPER SMALL-CAP CORE SMALLCAP 600 INDEX FUND $16,732 FUNDS AVERAGE $18,813 $18,525 ---------------------- --------------------- ------------------ 10/15/96 10000 10000 10000 12/96 10315 10557 10433 12/97 13157 13477 13104 12/98 12908 12852 12932 12/99 13588 15296 14539 12/00 14839 16700 16256 12/01 15679 17991 17314 3/31/02 16732 18813 18525
AVERAGE ANNUAL TOTAL RETURN Investor A Shares
SINCE INCEPTION (10/15/96 through 3/31/02) 9.89%
The chart to the left shows the growth in value of a hypothetical $10,000 investment in Investor A Shares of Nations SmallCap Index Fund from the inception of the share class. Figures for the Standard & Poor's SmallCap 600 Index, an unmanaged index of 600 common stocks weighted by market capitalization, include reinvestment of dividends. Funds in the Lipper Small-Cap Core Funds Average invest at least 75% of their equity assets in companies with market capitalizations less than 250% of the dollar-weighted median of the smallest 500 of the middle 1,000 securities of the Standard & Poor's SuperComposite 1500 Index. The Index and Lipper Average are unavailable for investment and do not reflect fees, brokerage commissions or other expenses of investing. The performance of Primary A Shares may vary based on the differences in fees paid by the shareholders investing in each class. [CHART LEGEND] TOTAL RETURN (AS OF 3/31/02)
PRIMARY A INVESTOR A Inception date 10/15/96 10/15/96 - --------------------------------------------------------------------------------------------- 1 YEAR PERFORMANCE 21.30% 20.97% - --------------------------------------------------------------------------------------------- AVERAGE ANNUAL RETURNS 3 YEARS 13.59% 13.27% 5 YEARS 11.47% 11.18% SINCE INCEPTION 10.18% 9.89%
THE PERFORMANCE SHOWN REPRESENTS PAST PERFORMANCE AND IS NOT PREDICTIVE OF FUTURE RESULTS AND DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER MAY PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. A MUTUAL FUND'S SHARE PRICE AND INVESTMENT RETURN WILL VARY WITH MARKET CONDITIONS, AND THE PRINCIPAL VALUE OF SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. Average annual returns are historical in nature and measure net investment income and capital gain or loss from portfolio investments assuming reinvestment of distributions. The performance shown includes the effect of fee waivers and/or expense reimbursements by the investment adviser and/or other service providers, which have the effect of increasing total return. Had all fees and expenses been considered, the total returns would have been lower. 18 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS MARCH 31, 2002
VALUE SHARES (000) - ---------------------------------------------------------------------------------- COMMON STOCKS -- 98.9% AEROSPACE AND DEFENSE -- 1.5% 12,625 B.F. Goodrich Company.................................... $ 399 103,925 Boeing Company........................................... 5,015 25,050 General Dynamics Corporation............................. 2,353 55,025 Lockheed Martin Corporation.............................. 3,168 13,700 Northrop Grumman Corporation............................. 1,549 48,500 Raytheon Company......................................... 1,991 22,775 Rockwell Collins, Inc. .................................. 574 22,875 Rockwell Automation, Inc. ............................... 459 58,675 United Technologies Corporation.......................... 4,354 ---------- 19,862 ---------- AIRLINES -- 0.2% 19,200 AMR Corporation!!(a)..................................... 507 15,300 Delta Air Lines, Inc. ................................... 501 95,150 Southwest Airlines Company............................... 1,840 8,450 US Airways Group Inc.!!(a)............................... 55 ---------- 2,903 ---------- APPAREL AND TEXTILES -- 0.3% 15,575 Jones Apparel Group, Inc.!!(a)........................... 544 13,050 Liz Claiborne, Inc. ..................................... 370 33,250 Nike, Inc., Class B(a)................................... 1,996 7,300 Reebok International, Ltd.!!............................. 197 13,775 V.F. Corporation......................................... 596 ---------- 3,703 ---------- AUTOMOTIVE -- 1.1% 13,250 AutoZone, Inc.!!(a)...................................... 912 9,000 Cooper Tire & Rubber Company............................. 195 18,425 Dana Corporation(a)...................................... 396 69,525 Delphi Automotive Systems Corporation.................... 1,112 8,600 Eaton Corporation........................................ 696 224,700 Ford Motor Company(a).................................... 3,705 68,925 General Motors Corporation(a)............................ 4,167 21,575 Genuine Parts Company.................................... 793 20,250 Goodyear Tire & Rubber Company(a)........................ 518 10,875 Johnson Controls, Inc. .................................. 960 7,425 Navistar International Corporation!!(a).................. 329 7,175 Snap-On Inc. ............................................ 244 15,675 TRW Inc.(a).............................................. 807 16,175 Visteon Corporation...................................... 268 ---------- 15,102 ---------- BEVERAGES -- 2.7% 4,475 Adolph Coors Company, Class B............................ 302 109,725 Anheuser-Busch Companies, Inc. .......................... 5,728 8,475 Brown-Forman Corporation, Class B........................ 617 308,325 Coca-Cola Company........................................ 16,112 55,175 Coca-Cola Enterprises Inc. .............................. 1,036 35,400 Pepsi Bottling Group, Inc. .............................. 916 217,100 PepsiCo, Inc. ........................................... 11,181 ---------- 35,892 ---------- BROADCASTING AND CABLE -- 2.9% 549,275 AOL Time Warner Inc.!!................................... 12,990 74,150 Clear Channel Communications, Inc.!!(a).................. 3,812 117,250 Comcast Corporation, Class A(a).......................... 3,729 26,075 Univision Communications, Inc., Class A!!(a)............. 1,095
VALUE SHARES (000) - ---------------------------------------------------------------------------------- BROADCASTING AND CABLE -- (CONTINUED) 220,050 Viacom Inc., Class B!!................................... $ 10,644 253,050 Walt Disney Company(a)................................... 5,840 ---------- 38,110 ---------- CHEMICALS -- BASIC -- 1.2% 28,200 Air Products and Chemicals, Inc.......................... 1,457 13,625 Avery Dennison Corporation............................... 832 127,200 E.I. duPont de Nemours and Company....................... 5,998 15,875 Ecolab, Inc.............................................. 726 13,475 Hercules, Inc.!!(a)...................................... 179 20,950 PPG Industries, Inc...................................... 1,150 19,950 Praxair, Inc............................................. 1,193 27,350 Rohm & Haas Company...................................... 1,156 111,900 The Dow Chemical Company................................. 3,661 ---------- 16,352 ---------- CHEMICALS -- SPECIALTY -- 0.2% 8,600 Ashland Inc.............................................. 391 9,575 Eastman Chemical Company(a).............................. 467 16,100 Engelhard Corporation.................................... 501 6,225 Great Lakes Chemical Corporation(a)...................... 175 5,925 Millipore Corporation(a)................................. 262 15,150 Pall Corporation(a)...................................... 310 9,100 Sigma-Aldrich Corporation................................ 427 ---------- 2,533 ---------- COMMERCIAL BANKING -- 9.3% 45,225 AmSouth Bancorporation(a)................................ 994 144,800 Banc One Corporation(a).................................. 6,050 195,225 Bank of America Corporation>............................. 13,279 91,375 Bank of New York Company, Inc.(a)........................ 3,840 57,200 BB&T Corporation(a)...................................... 2,180 27,900 Charter One Financial, Inc............................... 871 638,400 Citigroup Inc. .......................................... 31,615 22,100 Comerica Inc. ........................................... 1,383 72,350 Fifth Third Bancorp(a)................................... 4,882 129,525 FleetBoston Financial Corporation........................ 4,533 19,550 Golden West Financial Corporation(a)..................... 1,241 31,175 Huntington Bancshares Inc. .............................. 614 244,825 J.P. Morgan Chase & Company.............................. 8,728 52,550 KeyCorp.................................................. 1,400 13,275 Marshall and Ilsley Corporation.......................... 826 58,050 Mellon Financial Corporation............................. 2,240 75,375 National City Corporation(a)............................. 2,319 35,725 PNC Financial Services Group............................. 2,197 28,225 Regions Financial Corporation(a)......................... 970 43,000 SouthTrust Corporation................................... 1,135 35,800 SunTrust Banks, Inc. .................................... 2,389 17,050 Union Planters Corporation(a)............................ 808 236,825 US Bancorp............................................... 5,345 168,875 Wachovia Corporation..................................... 6,262 119,500 Washington Mutual, Inc. ................................. 3,959 210,350 Wells Fargo & Company.................................... 10,391 11,375 Zions Bancorporation..................................... 674 ---------- 121,125 ---------- COMMERCIAL SERVICES -- 1.0% 24,450 Allied Waste Industries, Inc.!!.......................... 318 121,800 Cendant Corporation!!(a)................................. 2,338 21,075 Cintas Corporation(a).................................... 1,051
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - ---------------------------------------------------------------------------------- COMMERCIAL SERVICES -- (CONTINUED) 23,650 Fiserv, Inc.!!........................................... $ 1,088 46,850 Interpublic Group of Companies, Inc.(a).................. 1,606 23,050 Omnicom Group Inc.(a).................................... 2,175 14,850 Quintiles Transnational Corporation!!.................... 264 21,775 Robert Half International Inc.!!......................... 643 16,700 Sabre Holdings Corporation!!............................. 780 13,725 TMP Worldwide Inc.!!(a).................................. 473 77,900 Waste Management, Inc.(a)................................ 2,123 ---------- 12,859 ---------- COMPUTER SERVICES -- 1.4% 76,975 Automatic Data Processing, Inc. ......................... 4,486 21,200 Computer Sciences Corporation!!(a)....................... 1,076 63,050 Concord EFS, Inc.!!(a)................................... 2,096 21,350 Convergys Corporation!!.................................. 631 59,650 Electronic Data Systems Corporation(a)................... 3,459 17,975 Equifax Inc.(a).......................................... 537 47,350 First Data Corporation................................... 4,132 46,500 Paychex, Inc. ........................................... 1,846 15,675 Sapient Corporation!!.................................... 74 ---------- 18,337 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 4.0% 43,850 Apple Computer, Inc.!!(a)................................ 1,038 211,450 Compaq Computer Corporation.............................. 2,210 323,500 Dell Computer Corporation!!.............................. 8,447 274,925 EMC Corporation!!........................................ 3,277 40,200 Gateway, Inc.!!.......................................... 254 240,900 Hewlett-Packard Company(a)............................... 4,322 36,675 IMS Health Inc. ......................................... 823 213,750 International Business Machines Corporation.............. 22,229 24,475 Jabil Circuit, Inc.!!(a)................................. 576 16,125 Lexmark International, Inc.!!............................ 922 12,050 NCR Corporation!!(a)..................................... 539 41,425 Network Appliance, Inc.!!(a)............................. 844 71,650 Palm, Inc.!!............................................. 286 30,250 Pitney Bowes Inc. ....................................... 1,295 403,075 Sun Microsystems, Inc.!!................................. 3,555 11,425 Tektronix, Inc. ......................................... 270 40,025 Unisys Corporation!!..................................... 506 89,350 Xerox Corporation!!(a)................................... 961 ---------- 52,354 ---------- CONGLOMERATES -- 0.8% 25,150 Dover Corporation(a)..................................... 1,031 9,950 Fluor Corporation........................................ 406 17,525 Textron, Inc. ........................................... 896 247,725 Tyco International Ltd. ................................. 8,006 12,575 Vulcan Materials Company(a).............................. 598 ---------- 10,937 ---------- CONSTRUCTION -- 0.0%+ 6,250 KB HOME.................................................. 271 ---------- CONSUMER CREDIT AND MORTGAGES -- 2.5% 165,550 American Express Company................................. 6,781 15,225 Countrywide Credit Industries, Inc.(a)................... 681
VALUE SHARES (000) - ---------------------------------------------------------------------------------- CONSUMER CREDIT AND MORTGAGES -- (CONTINUED) 123,975 Fannie Mae(a)............................................ $ 9,904 86,250 Freddie Mac.............................................. 5,466 56,800 Household International, Inc.(a)......................... 3,226 105,700 MBNA Corporation......................................... 4,077 35,275 Providian Financial Corporation.......................... 266 19,450 USA Education Inc.(a).................................... 1,902 ---------- 32,303 ---------- CONSUMER SERVICES -- 0.0%+ 13,925 Harrah's Entertainment, Inc.!!........................... 616 ---------- DEPARTMENT AND DISCOUNT STORES -- 3.8% 56,150 Costco Wholesale Corporation!!........................... 2,236 10,375 Dillard's, Inc., Class A(a).............................. 248 41,275 Dollar General Corporation............................... 672 23,775 Federated Department Stores, Inc.!!...................... 971 32,725 J.C. Penney Company, Inc.(a)............................. 678 41,575 Kohl's Corporation!!..................................... 2,958 40,025 Sears, Roebuck and Company(a)............................ 2,052 112,025 Target Corporation....................................... 4,831 36,350 The May Department Stores Company........................ 1,267 553,075 Wal-Mart Stores, Inc.(a)................................. 33,897 ---------- 49,810 ---------- DIVERSIFIED ELECTRONICS -- 0.2% 36,225 Eastman Kodak Company(a)................................. 1,129 45,525 LSI Logic Corporation!!(a)............................... 774 101,825 Solectron Corporation!!(a)............................... 794 28,350 Symbol Technologies, Inc. ............................... 319 ---------- 3,016 ---------- DIVERSIFIED MANUFACTURING -- 4.5% 9,950 Allegheny Technologies Inc. ............................. 165 9,900 Black & Decker Corporation............................... 461 7,400 Crane Company............................................ 202 18,475 Danaher Corporation(a)................................... 1,312 1,232,875 General Electric Company&&............................... 46,171 130,950 Gillette Company......................................... 4,454 100,900 Honeywell International Inc. ............................ 3,861 10,975 ITT Industries, Inc. .................................... 692 64,875 Sanmina Corporation!!(a)................................. 762 11,600 W.W. Grainger, Inc.(a)................................... 652 ---------- 58,732 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.4% 66,150 AES Corporation!!(a)..................................... 595 15,525 Allegheny Energy, Inc. .................................. 642 37,875 Calpine Corporation!!(a)................................. 481 20,625 Cinergy Corporation(a)................................... 737 16,500 CMS Energy Corporation(a)................................ 373 26,325 Consolidated Edison, Inc.(a)............................. 1,103 20,325 Constellation Energy Group, Inc. ........................ 627 43,525 Dynegy Inc., Class A(a).................................. 1,262 40,425 Edison International!!................................... 677 27,425 Entergy Corporation...................................... 1,191 49,725 Mirant Corporation!!..................................... 719 25,750 NiSource Inc.(a)......................................... 591 48,125 PG & E Corporation!!..................................... 1,134
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - ---------------------------------------------------------------------------------- ELECTRIC POWER -- NON NUCLEAR -- (CONTINUED) 10,500 Pinnacle West Capital Corporation........................ $ 476 9,775 Power-One, Inc.!!........................................ 80 18,200 PPL Corporation.......................................... 721 25,550 Public Service Enterprise Group Inc. .................... 1,170 86,250 Southern Company(a)...................................... 2,286 17,325 TECO Energy, Inc.(a)..................................... 496 32,900 TXU Corporation(a)....................................... 1,793 45,725 Xcel Energy, Inc.(a)..................................... 1,159 ---------- 18,313 ---------- ELECTRIC POWER -- NUCLEAR -- 1.1% 17,075 Ameren Corporation(a).................................... 730 39,975 American Electric Power Company, Inc.(a)................. 1,842 32,650 Dominion Resources, Inc.(a).............................. 2,127 20,175 DTE Energy Company(a).................................... 918 102,500 Duke Energy Corporation.................................. 3,875 39,825 Exelon Corporation....................................... 2,110 36,925 FirstEnergy Corporation(a)............................... 1,277 21,825 FPL Group, Inc. ......................................... 1,300 37,000 Reliant Energy, Inc. .................................... 954 ---------- 15,133 ---------- ELECTRICAL EQUIPMENT -- 0.4% 31,725 Conexant Systems, Inc.!!................................. 382 11,625 Cooper Industries, Inc. ................................. 488 52,200 Emerson Electric Company................................. 2,995 24,100 Molex Inc.(a)............................................ 836 7,225 Thomas & Betts Corporation............................... 153 ---------- 4,854 ---------- ENERGY -- MISCELLANEOUS -- 0.1% 27,150 Progress Energy, Inc.(a)................................. 1,358 19,600 Progress Energy, Inc., CVO!!(b).......................... 9 ---------- 1,367 ---------- EXPLORATION AND PRODUCTION -- 0.2% 30,875 Anadarko Petroleum Corporation(a)........................ 1,743 19,275 Devon Energy Corporation(a).............................. 930 14,325 EOG Resources, Inc. ..................................... 581 ---------- 3,254 ---------- FINANCE -- MISCELLANEOUS -- 0.4% 26,675 Capital One Financial Corporation(a)..................... 1,703 22,675 H & R Block, Inc.(a)..................................... 1,008 13,300 MGIC Investment Corporation(a)........................... 910 19,350 Moody's Corporation...................................... 795 36,150 Synovus Financial Corporation............................ 1,102 ---------- 5,518 ---------- FOOD AND DRUG STORES -- 1.1% 50,425 Albertson's, Inc.(a)..................................... 1,671 48,500 CVS Corporation(a)....................................... 1,665 62,275 Safeway Inc.!!........................................... 2,804 16,425 SUPERVALU Inc.(a)........................................ 424 99,325 The Kroger Company!!..................................... 2,201 126,800 Walgreen Company......................................... 4,969 17,450 Winn-Dixie Stores, Inc.(a)............................... 280 ---------- 14,014 ----------
VALUE SHARES (000) - ---------------------------------------------------------------------------------- FOOD PRODUCTS -- 1.6% 81,225 Archer-Daniels-Midland Company........................... $ 1,131 50,825 Campbell Soup Company(a)................................. 1,362 66,650 ConAgra Foods, Inc.(a)................................... 1,616 45,325 General Mills, Inc.(a)................................... 2,214 43,425 H.J. Heinz Company(a).................................... 1,802 16,825 Hershey Foods Corporation................................ 1,153 50,450 Kellogg Company.......................................... 1,694 97,450 Sara Lee Corporation..................................... 2,023 82,525 SYSCO Corporation........................................ 2,461 70,925 Unilever NV, NY Shares................................... 4,029 27,950 Wm. Wrigley Jr. Company(a)............................... 1,490 ---------- 20,975 ---------- HEALTH SERVICES -- 1.1% 63,900 HCA Inc.(a).............................................. 2,817 30,000 Health Management Associates, Inc., Class A!!(a)......... 622 48,675 HEALTHSOUTH Corporation!!................................ 698 20,925 Humana Inc.!!............................................ 283 67,575 Immunex Corporation!!.................................... 2,045 12,700 Manor Care, Inc.!!(a).................................... 296 35,675 McKesson HBOC, Inc. ..................................... 1,335 40,375 Tenet Healthcare Corporation!!(a)........................ 2,706 38,700 UnitedHealth Group Inc. ................................. 2,957 17,900 Wellpoint Health Networks Inc.!!......................... 1,140 ---------- 14,899 ---------- HEAVY MACHINERY -- 0.7% 42,625 Caterpillar Inc.(a)...................................... 2,423 5,125 Cummins Engine Company, Inc.(a).......................... 242 29,500 Deere & Company.......................................... 1,344 37,800 Illinois Tool Works Inc.(a).............................. 2,735 20,850 Ingersoll-Rand Company................................... 1,043 7,650 McDermott International, Inc.!!.......................... 119 9,525 PACCAR, Inc.(a).......................................... 697 14,550 Parker-Hannifin Corporation.............................. 726 22,050 Thermo Electron Corporation!!............................ 457 ---------- 9,786 ---------- HOUSEHOLD PRODUCTS -- 2.1% 7,150 Alberto-Culver Company, Class B(a)....................... 386 7,900 American Greetings Corporation, Class A(a)............... 143 29,325 Avon Products, Inc.(a)................................... 1,593 68,450 Colgate-Palmolive Company(a)............................. 3,912 18,450 Fortune Brands, Inc. .................................... 911 11,775 International Flavors & Fragrances, Inc. ................ 412 65,175 Kimberly-Clark Corporation............................... 4,214 160,825 Procter & Gamble Company................................. 14,488 28,900 The Clorox Company(a).................................... 1,261 7,200 Tupperware Corporation................................... 164 ---------- 27,484 ---------- HOUSING AND FURNISHING -- 0.4% 7,600 Centex Corporation(a).................................... 395 24,375 Leggett & Platt, Inc. ................................... 605 56,950 Masco Corporation(a)..................................... 1,562 9,525 Maytag Corporation(a).................................... 421 33,125 Newell Rubbermaid Inc. .................................. 1,059 7,500 Pulte Corporation(a)..................................... 359
SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - ---------------------------------------------------------------------------------- HOUSING AND FURNISHING -- (CONTINUED) 10,550 Stanley Works............................................ $ 488 8,300 Whirlpool Corporation.................................... 627 ---------- 5,516 ---------- INSURANCE -- 4.4% 32,200 Ace Ltd.(a).............................................. 1,343 17,950 Aetna Inc.(a)............................................ 697 64,800 AFLAC, Inc. ............................................. 1,912 88,475 Allstate Corporation..................................... 3,342 13,100 Ambac Financial Group, Inc. ............................. 774 324,175 American International Group, Inc. ...................... 23,385 33,400 Aon Corporation.......................................... 1,169 21,075 Chubb Corporation........................................ 1,541 17,950 CIGNA Corporation........................................ 1,820 20,050 Cincinnati Financial Corporation......................... 875 42,775 Conseco, Inc.!!(a)....................................... 155 30,425 Hartford Financial Services Group, Inc. ................. 2,073 18,675 Jefferson-Pilot Corporation.............................. 935 37,050 John Hancock Financial Services, Inc. ................... 1,415 23,500 Lincoln National Corporation............................. 1,192 23,750 Loews Corporation........................................ 1,391 34,075 Marsh & McLennan Companies, Inc.(a)...................... 3,841 18,425 MBIA, Inc. .............................................. 1,008 89,925 MetLife, Inc.(a)......................................... 2,833 9,100 Progressive Corporation(a)............................... 1,516 15,850 SAFECO Corporation....................................... 508 25,725 The St. Paul Companies, Inc. ............................ 1,179 15,400 Torchmark Corporation.................................... 620 30,025 UnumProvident Corporation................................ 839 16,450 XL Capital Ltd., Class A(a).............................. 1,536 ---------- 57,899 ---------- INTEGRATED OIL -- 5.8% 11,000 Amerada Hess Corporation(a).............................. 873 17,000 Apache Corporation(a).................................... 967 24,925 Burlington Resources Inc. ............................... 999 132,375 ChevronTexaco Corporation................................ 11,949 77,650 Conoco Inc. ............................................. 2,266 848,825 Exxon Mobil Corporation.................................. 37,205 12,425 Kerr-McGee Corporation................................... 781 38,400 Marathon Oil Corporation................................. 1,106 46,350 Occidental Petroleum Corporation......................... 1,351 47,300 Phillips Petroleum Company............................... 2,970 263,550 Royal Dutch Petroleum Company............................ 14,317 9,375 Sunoco, Inc. ............................................ 375 30,275 Unocal Corporation....................................... 1,179 ---------- 76,338 ---------- INVESTMENT SERVICES -- 1.9% 12,400 Bear Stearns Companies Inc.(a)........................... 778 169,575 Charles Schwab Corporation(a)............................ 2,220 32,425 Franklin Resources, Inc. ................................ 1,359 30,300 Lehman Brothers Holdings Inc.(a)......................... 1,959 104,500 Merrill Lynch & Company, Inc.(a)......................... 5,787 136,700 Morgan Stanley Dean Witter & Company..................... 7,834 27,550 Northern Trust Corporation(a)............................ 1,656 40,300 State Street Corporation(a).............................. 2,232
VALUE SHARES (000) - ---------------------------------------------------------------------------------- INVESTMENT SERVICES -- (CONTINUED) 27,475 Stilwell Financial, Inc. ................................ $ 673 15,300 T Rowe Price Group Inc. ................................. 596 ---------- 25,094 ---------- LODGING AND RECREATION -- 0.8% 10,875 Brunswick Corporation.................................... 297 72,750 Carnival Corporation(a).................................. 2,375 37,575 Harley-Davidson, Inc.(a) ................................ 2,072 21,425 Hasbro, Inc.(a).......................................... 339 45,825 Hilton Hotels Corporation(a)............................. 655 11,100 International Game Technology!!.......................... 692 29,900 Marriott International, Inc., Class A(a)................. 1,344 53,550 Mattel, Inc. ............................................ 1,116 24,550 Starwood Hotels & Resorts Worldwide, Inc. ............... 923 18,100 Tricon Global Restaurants, Inc.!!........................ 1,064 ---------- 10,877 ---------- MEDICAL DEVICES AND SUPPLIES -- 4.5% 193,150 Abbott Laboratories...................................... 10,159 26,375 Applera Corporation - Applied Biosystems Group........... 589 6,650 Bausch & Lomb Inc. ...................................... 296 73,250 Baxter International Inc.(a)............................. 4,360 32,100 Becton Dickinson & Company............................... 1,211 33,500 Biomet, Inc. ............................................ 907 50,050 Boston Scientific Corporation!!(a)....................... 1,256 6,350 C.R. Bard, Inc. ......................................... 375 55,775 Cardinal Health, Inc.(a)................................. 3,954 37,825 Guidant Corporation!!.................................... 1,639 380,625 Johnson & Johnson........................................ 24,721 150,225 Medtronic, Inc. ......................................... 6,792 10,800 St. Jude Medical, Inc.!!................................. 833 24,400 Stryker Corporation...................................... 1,472 16,225 Waters Corporation!!..................................... 454 24,050 Zimmer Holdings, Inc.!!.................................. 819 ---------- 59,837 ---------- METALS AND MINING -- 1.2% 39,825 Alcan Inc. .............................................. 1,578 105,175 Alcoa Inc. .............................................. 3,969 66,500 Barrick Gold Corporation................................. 1,234 17,875 Freeport-McMoran Copper & Gold, Inc., Class B!!(a)....... 315 22,625 Inco Ltd.!!(a)........................................... 443 48,650 Minnesota Mining & Manufacturing Company................. 5,595 48,600 Newmont Mining Corporation(a)............................ 1,346 9,775 Phelps Dodge Corporation(a).............................. 412 40,750 Placer Dome Inc. ........................................ 499 10,600 Worthington Industries, Inc. ............................ 163 ---------- 15,554 ---------- NATURAL GAS DISTRIBUTION -- 0.5% 63,325 El Paso Corporation...................................... 2,789 17,250 KeySpan Corporation...................................... 628 5,500 NICOR Inc. .............................................. 251 4,400 Peoples Energy Corporation............................... 173
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - ---------------------------------------------------------------------------------- NATURAL GAS DISTRIBUTION -- (CONTINUED) 25,700 Sempra Energy............................................ $ 646 64,025 Williams Companies, Inc.(a).............................. 1,508 ---------- 5,995 ---------- NATURAL GAS PIPELINES -- 0.1% 15,325 Kinder Morgan, Inc. ..................................... 742 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.4% 98,500 ADC Telecommunications, Inc.!!........................... 401 24,275 American Power Conversion Corporation!!(a)............... 359 10,150 Andrew Corporation!!..................................... 170 44,700 Avaya Inc.!!(a).......................................... 330 40,800 CIENA Corporation!!(a)................................... 367 910,175 Cisco Systems, Inc.!!&&.................................. 15,409 23,100 Comverse Technology, Inc.!!.............................. 293 117,250 Corning Inc.(a).......................................... 893 168,425 JDS Uniphase Corporation!!(a)............................ 992 424,750 Lucent Technologies Inc.(a).............................. 2,009 276,175 Motorola, Inc. .......................................... 3,922 397,650 Nortel Networks Corporation(a)........................... 1,785 95,200 QUALCOMM Inc.!!.......................................... 3,583 19,400 Scientific-Atlanta, Inc.(a).............................. 448 50,875 Tellabs, Inc.!!.......................................... 533 ---------- 31,494 ---------- OILFIELD SERVICES -- 0.7% 41,675 Baker Hughes Inc.(a)..................................... 1,594 53,275 Halliburton Company...................................... 909 17,475 Nabors Industries, Inc.!!................................ 738 16,400 Noble Drilling Corporation!!(a).......................... 679 11,625 Rowan Companies, Inc.!!(a)............................... 268 71,500 Schlumberger Ltd.(a)..................................... 4,206 39,550 Transocean Sedco Forex Inc. ............................. 1,314 ---------- 9,708 ---------- PACKAGING AND CONTAINERS -- 0.1% 6,800 Ball Corporation......................................... 321 6,550 Bemis Company, Inc. ..................................... 356 19,775 Pactiv Corporation!!..................................... 396 10,400 Sealed Air Corporation!!(a).............................. 490 ---------- 1,563 ---------- PAPER AND FOREST PRODUCTS -- 0.6% 7,200 Boise Cascade Corporation................................ 261 28,500 Georgia-Pacific Corporation(a)........................... 854 59,800 International Paper Company(a)........................... 2,572 12,950 Louisiana-Pacific Corporation............................ 139 24,650 Meadwestvaco Corporation................................. 817 22,650 Plum Creek Timber Company, Inc. ......................... 673 6,125 Temple-Inland Inc. ...................................... 347 27,325 Weyerhaeuser Company..................................... 1,718 ---------- 7,381 ---------- PHARMACEUTICALS -- 8.2% 16,250 Allergan, Inc. .......................................... 1,051 12,900 AmerisourceBergen Corporation(a)......................... 881 130,025 Amgen Inc.!!(a).......................................... 7,760 18,350 Biogen, Inc.!!........................................... 900
VALUE SHARES (000) - ---------------------------------------------------------------------------------- PHARMACEUTICALS -- (CONTINUED) 240,100 Bristol-Myers Squibb Company............................. $ 9,722 23,525 Chiron Corporation!!(a).................................. 1,080 139,475 Eli Lilly and Company(a)................................. 10,628 22,175 Forest Laboratories, Inc.!!(a)........................... 1,812 26,325 Genzyme Corporation!!(a)................................. 1,150 30,475 King Pharmaceuticals, Inc.!!............................. 1,067 30,725 MedImmune, Inc.!!(a)..................................... 1,208 282,250 Merck & Company, Inc. ................................... 16,252 780,100 Pfizer Inc. ............................................. 31,000 160,975 Pharmacia Corporation.................................... 7,257 181,675 Schering-Plough Corporation.............................. 5,686 13,200 Watson Pharmaceuticals, Inc.!!........................... 358 163,700 Wyeth.................................................... 10,747 ---------- 108,559 ---------- PUBLISHING AND ADVERTISING -- 0.7% 8,225 Deluxe Corporation....................................... 380 10,475 Dow Jones & Company, Inc.(a)............................. 610 32,875 Gannett Company, Inc. ................................... 2,503 10,425 Knight-Ridder, Inc.(a)................................... 716 24,000 McGraw-Hill Companies, Inc. ............................. 1,638 6,125 Meredith Corporation..................................... 260 18,700 New York Times Company, Class A.......................... 895 14,025 R.R. Donnelley & Sons Company............................ 436 36,975 Tribune Company(a)....................................... 1,681 ---------- 9,119 ---------- RAILROADS, TRUCKING AND SHIPPING -- 0.6% 47,675 Burlington Northern Santa Fe Corporation................. 1,439 26,550 CSX Corporation(a)....................................... 1,012 37,025 FedEx Corporation!!...................................... 2,151 47,975 Norfolk Southern Corporation............................. 1,149 7,525 Ryder System, Inc. ...................................... 222 30,825 Union Pacific Corporation(a)............................. 1,915 ---------- 7,888 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.2% 51,425 Equity Office Properties Trust........................... 1,542 33,600 Equity Residential Properties Trust(a)................... 966 ---------- 2,508 ---------- RESTAURANTS -- 0.5% 14,525 Darden Restaurants, Inc. ................................ 590 159,500 McDonald's Corporation................................... 4,425 47,450 Starbucks Corporation!!(a)............................... 1,098 12,975 Wendy's International, Inc.(a)........................... 454 ---------- 6,567 ---------- RETAIL -- SPECIALTY -- 0.0%+ 19,175 Sherwin-Williams Company(a).............................. 546 ---------- SEMICONDUCTORS -- 4.5% 42,175 Advanced Micro Devices, Inc.!!(a)........................ 620 57,550 Agilent Technologies, Inc.!!(a).......................... 2,012 47,800 Altera Corporation!!(a).................................. 1,045 45,275 Analog Devices, Inc.!!................................... 2,039 101,750 Applied Materials, Inc.!!................................ 5,522
SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - ---------------------------------------------------------------------------------- SEMICONDUCTORS -- (CONTINUED) 37,150 Applied Micro Circuits Corporation!!(a).................. $ 297 32,550 Broadcom Corporation, Class A!!(a)....................... 1,169 832,875 Intel Corporation........................................ 25,329 23,200 KLA-Tencor Corporation!!(a).............................. 1,543 39,375 Linear Technology Corporation(a)......................... 1,741 40,425 Maxim Integrated Products, Inc.!! (a).................... 2,252 74,475 Micron Technology, Inc.!!(a)............................. 2,450 22,050 National Semiconductor Corporation!!..................... 743 17,775 Novellus Systems, Inc.!!(a).............................. 962 17,950 NVIDIA Corporation!!(a).................................. 796 15,225 PerkinElmer, Inc. ....................................... 282 20,475 PMC - Sierra, Inc.!!(a).................................. 333 11,525 QLogic Corporation!!(a).................................. 571 22,400 Teradyne, Inc.!!(a)...................................... 883 215,450 Texas Instruments Inc. .................................. 7,131 24,850 Vitesse Semiconductor Corporation!!(a)................... 244 41,625 Xilinx, Inc.!!(a)........................................ 1,659 ---------- 59,623 ---------- SOFTWARE -- 4.8% 29,400 Adobe Systems Inc.(a).................................... 1,185 6,800 Autodesk, Inc.(a)........................................ 317 30,125 BMC Software, Inc.!!..................................... 586 23,300 Citrix Systems, Inc.!!(a)................................ 403 71,650 Computer Associates International, Inc. ................. 1,568 46,325 Compuware Corporation!!.................................. 598 26,400 Intuit Inc.!!............................................ 1,013 10,275 Mercury Interactive Corporation!!(a)..................... 387 671,950 Microsoft Corporation!!.................................. 40,524 45,000 Novell, Inc.!!........................................... 175 682,125 Oracle Corporation!!..................................... 8,731 32,250 Parametric Technology Corporation!!...................... 195 37,575 PeopleSoft, Inc.!!(a).................................... 1,373 24,125 Rational Software Corporation!!(a)....................... 382 57,375 Siebel Systems, Inc.!!(a)................................ 1,871 49,750 VERITAS Software Corporation!!(a)........................ 2,181 72,175 Yahoo! Inc.!!(a)......................................... 1,333 ---------- 62,822 ---------- SPECIALTY STORES -- 2.4% 36,050 Bed Bath & Beyond Inc.!!................................. 1,217 26,275 Best Buy Company, Inc.!!(a).............................. 2,081 14,200 Big Lots Inc.!!.......................................... 200 25,900 Circuit City Stores - Circuit City Group................. 467 21,400 Family Dollar Stores, Inc. .............................. 717
VALUE SHARES (000) - ---------------------------------------------------------------------------------- SPECIALTY STORES -- (CONTINUED) 107,325 Gap, Inc.(a)............................................. $ 1,614 290,775 Home Depot, Inc. ........................................ 14,135 64,175 Limited, Inc.(a)......................................... 1,149 96,075 Lowe's Companies, Inc. .................................. 4,178 16,675 Nordstrom, Inc.(a)....................................... 409 38,100 Office Depot, Inc.!!(a).................................. 756 22,250 RadioShack Corporation(a)................................ 668 57,275 Staples, Inc.!!(a)....................................... 1,144 17,975 Tiffany & Company(a)..................................... 639 33,850 TJX Companies, Inc.(a)................................... 1,354 24,400 Toys R Us, Inc.!!(a)..................................... 438 ---------- 31,166 ---------- STEEL -- 0.1% 9,650 Nucor Corporation........................................ 620 11,075 United States Steel Corporation.......................... 201 ---------- 821 ---------- TELECOMMUNICATIONS SERVICES -- 4.6% 38,575 ALLTEL Corporation....................................... 2,143 439,025 AT&T Corporation(a)...................................... 6,893 335,375 AT&T Wireless Services Inc.!!(a)......................... 3,002 233,075 BellSouth Corporation.................................... 8,591 17,500 CenturyTel, Inc.(a)...................................... 595 34,750 Citizens Communications Company!!(a)..................... 374 99,050 Nextel Communications, Inc., Class A!!(a)................ 533 206,600 Qwest Communications International Inc.(a)............... 1,698 415,950 SBC Communications Inc. ................................. 15,572 110,125 Sprint Corporation (FON Group)........................... 1,684 122,675 Sprint Corporation (PCS Group)!!(a)...................... 1,262 336,825 Verizon Communications Inc. ............................. 15,376 365,975 WorldCom, Inc.-WorldCom Group!!.......................... 2,467 ---------- 60,190 ---------- TOBACCO -- 1.1% 268,850 Philip Morris Companies Inc. ............................ 14,160 20,900 UST Inc.(a).............................................. 814 ---------- 14,974 ---------- TOTAL COMMON STOCKS (Cost $1,214,034)...................................... 1,303,195 ---------- CONVERTIBLE PREFERRED STOCKS -- 0.0%+ PACKAGING AND CONTAINERS -- 0.0%+ 1 Sealed Air Corporation................................... 0++ ----------
SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
SHARES VALUE (000) (000) - ---------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 22.8% (Cost $299,817) 299,817 Nations Cash Reserves, Capital Class Shares#............. $ 299,817 ---------- TOTAL INVESTMENTS (Cost $1,513,851*).............................. 121.7% 1,603,012 ---------- OTHER ASSETS AND LIABILITIES (NET)............................... (21.7)% Cash..................................................... $ 120 Receivable for Fund shares sold.......................... 874 Dividends receivable..................................... 1,327 Interest receivable...................................... 26 Receivable for variation margin.......................... 64 Collateral on securities loaned.......................... (286,690) Payable for Fund shares redeemed......................... (1,323) Investment advisory fee payable.......................... (64) Administration fee payable............................... (258) Shareholder servicing and distribution fees payable...... (7) Accrued Trustees' fees and expenses...................... (70) Accrued expenses and other liabilities................... (323) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET).................................. (286,324) ---------- NET ASSETS........................................ 100.0% $1,316,688 ========== NET ASSETS CONSIST OF: Undistributed net investment income...................... $ 605 Accumulated net realized loss on investments sold and futures contracts...................................... (116,812) Net unrealized appreciation of investments and futures contracts.............................................. 88,996 Paid-in capital.......................................... 1,343,899 ---------- NET ASSETS............................................... $1,316,688 ========== VALUE - ---------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($1,283,449,849 / 58,090,942 shares outstanding)....... $22.09 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($33,238,360 / 1,512,540 shares outstanding)........... $21.98 ==========
- --------------- *Federal income tax information (see Note 11). !! Non-income producing security. && All or a portion of security segregated as collateral for futures contracts. +Amount represents less than 0.1%. ++Amount represents less than $500. > Affiliated security. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (Note 10). The portion that represents cash collateral is $286,690. (a) All or a portion of security was on loan at March 31, 2002. The aggregate cost and market value of securities on loan at March 31, 2002 is $301,469 and $276,626, respectively. (b) Fair valued security. SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS MARCH 31, 2002
VALUE SHARES (000) - ---------------------------------------------------------------------------------- COMMON STOCKS -- 98.0% AEROSPACE AND DEFENSE -- 1.4% 16,700 Boeing Company............................................. $ 806 5,000 Rockwell Collins, Inc. .................................... 126 21,100 Rockwell Automation, Inc. ................................. 423 23,700 United Technologies Corporation............................ 1,759 -------- 3,114 -------- APPAREL AND TEXTILES -- 0.2% 1,800 Nike, Inc., Class B(a)..................................... 108 6,100 V.F. Corporation........................................... 264 -------- 372 -------- BEVERAGES -- 2.0% 29,700 Coca-Cola Company.......................................... 1,552 54,400 PepsiCo, Inc. ............................................. 2,802 -------- 4,354 -------- BROADCASTING AND CABLE -- 2.0% 44,100 AOL Time Warner Inc.!!..................................... 1,043 35,300 Viacom Inc., Class B!!..................................... 1,707 71,700 Walt Disney Company(a)..................................... 1,655 -------- 4,405 -------- CHEMICALS -- BASIC -- 0.8% 5,400 Ecolab, Inc. .............................................. 247 4,100 PPG Industries, Inc. ...................................... 225 20,800 Praxair, Inc. ............................................. 1,244 -------- 1,716 -------- CHEMICALS -- SPECIALTY -- 0.6% 23,600 Engelhard Corporation...................................... 733 11,400 Sigma-Aldrich Corporation.................................. 535 -------- 1,268 -------- COMMERCIAL BANKING -- 6.7% 14,400 Banc One Corporation....................................... 602 5,500 BB&T Corporation(a)........................................ 210 81,900 Citigroup Inc. ............................................ 4,055 49,800 FleetBoston Financial Corporation.......................... 1,743 9,900 J.P. Morgan Chase & Company................................ 353 29,900 Mellon Financial Corporation............................... 1,154 1,900 Regions Financial Corporation(a)........................... 65 24,200 SouthTrust Corporation..................................... 639 1,600 SunTrust Banks, Inc. ...................................... 107 83,300 US Bancorp................................................. 1,880 29,000 Washington Mutual, Inc. ................................... 961 55,000 Wells Fargo & Company...................................... 2,716 -------- 14,485 -------- COMMERCIAL SERVICES -- 0.9% 8,500 Cintas Corporation(a)...................................... 424 15,800 Robert Half International Inc.!!........................... 466 3,600 Sabre Holdings Corporation!!............................... 168 29,800 Waste Management, Inc. .................................... 812 -------- 1,870 -------- COMPUTER SERVICES -- 0.8% 14,300 Concord EFS, Inc.!!(a)..................................... 475 1,500 Convergys Corporation!!.................................... 44 3,000 Electronic Data Systems Corporation........................ 174
VALUE SHARES (000) - ---------------------------------------------------------------------------------- COMPUTER SERVICES -- (CONTINUED) 12,600 First Data Corporation..................................... $ 1,100 500 Paychex, Inc. ............................................. 20 -------- 1,813 -------- COMPUTERS AND OFFICE EQUIPMENT -- 4.0% 34,100 Compaq Computer Corporation................................ 356 56,100 Dell Computer Corporation!!................................ 1,465 85,300 EMC Corporation!!.......................................... 1,017 38,800 Hewlett-Packard Company(a)................................. 696 25,000 IMS Health Inc............................................. 561 41,600 International Business Machines Corporation................ 4,327 32,100 Sun Microsystems, Inc.!!................................... 283 -------- 8,705 -------- CONGLOMERATES -- 1.3% 2,000 Fluor Corporation.......................................... 82 23,600 Textron, Inc. ............................................. 1,206 39,900 Tyco International Ltd. ................................... 1,289 4,900 Vulcan Materials Company(a)................................ 233 -------- 2,810 -------- CONSUMER CREDIT AND MORTGAGES -- 2.4% 31,100 Fannie Mae................................................. 2,483 29,700 Freddie Mac................................................ 1,882 13,900 Household International, Inc. ............................. 790 2,400 MBNA Corporation........................................... 93 -------- 5,248 -------- DEPARTMENT AND DISCOUNT STORES -- 2.1% 600 Costco Wholesale Corporation!!............................. 24 5,700 J.C. Penney Company, Inc.(a)............................... 118 72,200 Wal-Mart Stores, Inc. ..................................... 4,425 -------- 4,567 -------- DIVERSIFIED ELECTRONICS -- 0.1% 4,000 Eastman Kodak Company(a)................................... 125 -------- DIVERSIFIED MANUFACTURING -- 5.0% 206,800 General Electric Company&&................................. 7,745 42,000 Gillette Company........................................... 1,428 43,300 Honeywell International Inc. .............................. 1,657 -------- 10,830 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.9% 2,300 Entergy Corporation........................................ 100 18,600 PG & E Corporation!!....................................... 438 53,200 Southern Company........................................... 1,409 -------- 1,947 -------- ELECTRIC POWER -- NUCLEAR -- 1.1% 27,600 Ameren Corporation(a)...................................... 1,180 36,500 FirstEnergy Corporation(a)................................. 1,262 -------- 2,442 --------
SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - ---------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT -- 1.2% 7,800 Cooper Industries, Inc. ................................... $ 327 26,300 Emerson Electric Company................................... 1,509 22,400 Molex Inc.(a).............................................. 777 -------- 2,613 -------- FINANCE -- MISCELLANEOUS -- 0.7% 24,400 H & R Block, Inc. ......................................... 1,085 6,200 MGIC Investment Corporation(a)............................. 424 -------- 1,509 -------- FOOD AND DRUG STORES -- 0.6% 20,000 Safeway Inc.!!............................................. 900 16,200 The Kroger Company!!....................................... 359 -------- 1,259 -------- FOOD PRODUCTS -- 1.2% 2,100 ConAgra Foods, Inc. ....................................... 51 13,500 Hershey Foods Corporation.................................. 925 36,000 SYSCO Corporation.......................................... 1,074 9,800 WM. Wrigley Jr. Company(a)................................. 522 -------- 2,572 -------- HEALTH SERVICES -- 0.3% 4,800 Health Management Associates, Inc., Class A!!(a)........... 100 15,846 Immunex Corporation!!...................................... 479 -------- 579 -------- HEAVY MACHINERY -- 1.3% 600 Caterpillar Inc. .......................................... 34 20,500 Illinois Tool Works Inc.(a)................................ 1,484 24,300 Ingersoll-Rand Company..................................... 1,215 200 Thermo Electron Corporation!!.............................. 4 -------- 2,737 -------- HOUSEHOLD PRODUCTS -- 2.2% 29,300 Colgate-Palmolive Company.................................. 1,675 9,400 Kimberly-Clark Corporation................................. 608 14,300 Procter & Gamble Company................................... 1,288 27,100 The Clorox Company(a)...................................... 1,182 -------- 4,753 -------- HOUSING AND FURNISHING -- 0.5% 15,300 Whirlpool Corporation...................................... 1,156 -------- INSURANCE -- 6.1% 12,600 Ace Ltd. .................................................. 525 20,000 Ambac Financial Group, Inc. ............................... 1,181 66,700 American International Group, Inc.&&....................... 4,811 2,300 Aon Corporation............................................ 81 15,500 Chubb Corporation.......................................... 1,133 2,100 Cincinnati Financial Corporation........................... 92 15,600 Hartford Financial Services Group, Inc. ................... 1,063 21,700 Loews Corporation.......................................... 1,271 1,300 MBIA, Inc. ................................................ 71 11,200 MetLife, Inc.(a)........................................... 353 27,000 The St. Paul Companies, Inc. .............................. 1,238 1,300 UnumProvident Corporation.................................. 36 13,900 XL Capital Ltd., Class A(a)................................ 1,298 -------- 13,153 --------
VALUE SHARES (000) - ---------------------------------------------------------------------------------- INTEGRATED OIL -- 7.0% 7,500 Apache Corporation(a)...................................... $ 427 32,900 ChevronTexaco Corporation.................................. 2,970 113,000 Exxon Mobil Corporation.................................... 4,952 42,600 Marathon Oil Corporation................................... 1,227 23,300 Phillips Petroleum Company................................. 1,463 61,800 Royal Dutch Petroleum Company.............................. 3,357 15,700 Unocal Corporation......................................... 612 -------- 15,008 -------- INVESTMENT SERVICES -- 2.6% 21,500 Charles Schwab Corporation................................. 281 17,000 Lehman Brothers Holdings Inc. ............................. 1,099 35,800 Merrill Lynch & Company, Inc. ............................. 1,983 40,500 Morgan Stanley Dean Witter & Company....................... 2,321 300 Northern Trust Corporation................................. 18 -------- 5,702 -------- LODGING AND RECREATION -- 0.0%+ 700 Harley-Davidson, Inc.(a)................................... 39 -------- MEDICAL DEVICES AND SUPPLIES -- 3.4% 33,300 Abbott Laboratories........................................ 1,752 31,000 Applera Corporation - Applied Biosystems Group............. 693 100 C.R. Bard, Inc. ........................................... 6 30,400 Guidant Corporation!!...................................... 1,317 45,300 Johnson & Johnson.......................................... 2,941 4,700 St. Jude Medical, Inc.!!................................... 363 3,800 Stryker Corporation........................................ 229 -------- 7,301 -------- METALS AND MINING -- 1.7% 44,700 Alcoa Inc. ................................................ 1,687 16,800 Minnesota Mining & Manufacturing Company................... 1,932 -------- 3,619 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.9% 20,200 Avaya Inc.!!(a)............................................ 149 164,100 Cisco Systems, Inc.!!&&.................................... 2,779 700 Corning Inc.(a)............................................ 5 8,700 JDS Uniphase Corporation!!(a).............................. 51 43,200 Lucent Technologies Inc.(a)................................ 204 103,900 Motorola, Inc. ............................................ 1,476 63,956 Nortel Networks Corporation................................ 287 14,300 QUALCOMM Inc.!!............................................ 538 4,300 Scientific-Atlanta, Inc.(a)................................ 99 57,900 Tellabs, Inc.!!............................................ 607 -------- 6,195 -------- OILFIELD SERVICES -- 0.6% 25,400 Baker Hughes Inc. ......................................... 971 14,800 Halliburton Company........................................ 253 -------- 1,224 -------- PACKAGING AND CONTAINERS -- 0.0%+ 300 Pactiv Corporation!!....................................... 6 --------
SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - ---------------------------------------------------------------------------------- PAPER AND FOREST PRODUCTS -- 0.5% 22,500 International Paper Company................................ $ 968 100 Meadwestvaco Corporation................................... 3 -------- 971 -------- PHARMACEUTICALS -- 8.9% 4,500 Allergan, Inc. ............................................ 291 19,743 Amgen Inc.!!(a)............................................ 1,178 15,900 Biogen, Inc.!!............................................. 780 65,100 Bristol-Myers Squibb Company............................... 2,636 9,300 Eli Lilly and Company...................................... 709 1,100 King Pharmaceuticals, Inc.!!............................... 39 63,700 Merck & Company, Inc. ..................................... 3,668 149,000 Pfizer Inc. ............................................... 5,921 25,700 Pharmacia Corporation...................................... 1,159 62,900 Schering-Plough Corporation................................ 1,969 10,500 Wyeth...................................................... 689 -------- 19,039 -------- PUBLISHING AND ADVERTISING -- 1.2% 19,400 Deluxe Corporation......................................... 897 19,200 Gannett Company, Inc. ..................................... 1,461 4,900 New York Times Company, Class A............................ 235 -------- 2,593 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.0% 12,900 FedEx Corporation!!........................................ 749 21,600 Union Pacific Corporation(a)............................... 1,343 -------- 2,092 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 1.0% 42,500 Equity Office Properties Trust............................. 1,275 12,700 Equity Residential Properties Trust........................ 365 18,021 Security Capital Group Inc.!!.............................. 459 -------- 2,099 -------- RESTAURANTS -- 0.1% 4,100 McDonald's Corporation..................................... 114 -------- SEMICONDUCTORS -- 3.5% 3,100 Analog Devices, Inc.!!..................................... 140 16,700 Applied Materials, Inc.!!(a)............................... 906 63,100 Applied Micro Circuits Corporation!!....................... 505 123,400 Intel Corporation.......................................... 3,752 11,700 KLA-Tencor Corporation!!(a)................................ 778 24,000 Micron Technology, Inc.!!.................................. 790 2,400 NVIDIA Corporation!!....................................... 106 24,700 PerkinElmer, Inc. ......................................... 457 4,700 PMC - Sierra, Inc.!!(a).................................... 77 -------- 7,511 -------- SOFTWARE -- 5.8% 26,800 Adobe Systems Inc.(a)...................................... 1,080 8,100 Autodesk, Inc.(a).......................................... 378 400 BMC Software, Inc.!!....................................... 8 40,600 Citrix Systems, Inc.!!(a).................................. 702 17,400 Compuware Corporation!!.................................... 225 125,900 Microsoft Corporation!!&&.................................. 7,592
VALUE SHARES (000) - ---------------------------------------------------------------------------------- SOFTWARE -- (CONTINUED) 192,900 Oracle Corporation!!....................................... $ 2,469 4,700 Siebel Systems, Inc.!!..................................... 153 -------- 12,607 -------- SPECIALTY STORES -- 3.3% 300 Bed Bath & Beyond Inc.!!................................... 10 56,900 Circuit City Stores - Circuit City Group................... 1,026 1,000 Family Dollar Stores, Inc. ................................ 34 57,400 Home Depot, Inc. .......................................... 2,790 12,700 Limited, Inc.(a)........................................... 227 32,100 Lowe's Companies, Inc. .................................... 1,396 38,500 RadioShack Corporation(a).................................. 1,157 600 Staples, Inc.!!(a)......................................... 12 11,100 TJX Companies, Inc. ....................................... 444 -------- 7,096 -------- TELECOMMUNICATIONS SERVICES -- 6.1% 24,500 ALLTEL Corporation......................................... 1,361 117,800 AT&T Corporation(a)........................................ 1,849 174,500 AT&T Wireless Services Inc.!!.............................. 1,562 65,400 BellSouth Corporation...................................... 2,411 94,200 SBC Communications Inc. ................................... 3,526 17,600 Sprint Corporation (FON Group)............................. 269 40,100 Verizon Communications Inc................................. 1,831 59,000 WorldCom, Inc.-WorldCom Group!!............................ 398 -------- 13,207 -------- TOBACCO -- 2.0% 60,000 Philip Morris Companies Inc................................ 3,160 30,600 UST Inc.(a)................................................ 1,191 -------- 4,351 -------- TOTAL COMMON STOCKS (Cost $168,428).......................................... 211,176 -------- PRINCIPAL AMOUNT (000) - --------- MORTGAGE-BACKED SECURITIES -- 9.9% (Cost $22,289) FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 9.9% $ 20,000 7.125% 01/15/30(b)......................................... 21,357 -------- U.S. TREASURY OBLIGATIONS -- 4.7% (Cost $10,630) U.S. TREASURY BONDS -- 4.7% 10,000 6.125% 08/15/29(b)......................................... 10,170 -------- CONTRACTS - --------- PURCHASED OPTIONS -- 0.1% 250 Call option Autozone, Inc. Strike price 75.00 Expire 06/22/02.......................................... 49 2,000 Call option Enron Corporation Strike price 20.00 Expire 04/20/02.......................................... 0++
SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE CONTRACTS (000) - ---------------------------------------------------------------------------------- PURCHASED OPTIONS -- (CONTINUED) 1,500 Call option Halliburton Company Strike price 17.50 Expire 04/01/02.......................................... $ 97 500 Call option(a) Lucent Technologies, Inc. Strike price 7.50 Expire 01/18/03.......................................... 23 500 Call option NVDIA Corporation Strike price 60.00 Expire 04/20/02.......................................... 5 500 Call option Tyco International Limited Strike price 40.00 Expire 04/20/02.......................................... 23 20(c) Call option on Interest Rate Swap, expiring on 11/27/02. If exercised, Commerzbank pays 3 month LIBOR and receives fixed (4.25%). Swap expires 12/01/03.................................... 45 300 Put option Bank One Corporation Strike price 40.00 Expire 05/18/02.......................................... 26 -------- TOTAL PURCHASED OPTIONS (Cost $828).............................................. 268 -------- SHARES (000) - --------- INVESTMENT COMPANIES -- 14.1% (Cost $30,314) 30,314 Nations Cash Reserves, Capital Class Shares#............... 30,314 -------- TOTAL INVESTMENTS (Cost $232,489*)................................ 126.8% 273,285 --------
VALUE CONTRACTS (000) - ---------------------------------------------------------------------------------- WRITTEN OPTIONS 500 Call option Autozone, Inc. Strike price 80.00 Expire 06/22/02................................. $ (50) 4,000 Call option Enron Corporation Strike price 25.00 Expire 04/20/02................................. 0++ 3,000 Call option Halliburton Company Strike price 20.00 Expire 04/01/02................................. (30) 500 Call option Lucent Technologies, Inc. Strike price 7.50 Expire 07/20/02................................. (5) 1,000 Call option NVDIA Corporation Strike price 65.00 Expire 04/20/02................................. (5) 1,000 Call option Tyco International Limited Strike price 40.00 Expire 04/20/02................................. (5) 15(c) Call option on Interest Rate Swap, expiring on 11/27/02. If exercised, Commerzbank pays fixed (5.11%) and receives 3 month LIBOR. Swap expires 12/02/03........................................ (32) ------- TOTAL WRITTEN OPTIONS (Premium ($753))................................ $ (127) -------
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------- SHORT POSITIONS (Proceeds $9,974) $(10,125) U.S. Treasury bond, 5.375% due 02/15/31(b).......................... $(9,501) ------- OTHER ASSETS AND LIABILITIES (NET)................ (26.8)% Cash....................................................... $ 185 Receivable for investment securities sold.................. 23,713 Receivable for Fund shares sold............................ 23 Dividends receivable....................................... 240 Receivable for variation margin............................ 38 Unrealized appreciation for interest rate swaps............ 1,256 Securities sold short, at value............................ (9,501) Written options, at value (premium $753)................... (127) Collateral on securities loaned............................ (20,261) Payable for Fund shares redeemed........................... (60) Investment advisory fee payable............................ (22) Administration fee payable................................. (41) Shareholder servicing and distribution fees payable........ (5) Payable for investment securities purchased................ (52,902) Accrued Trustees' fees and expenses........................ (62) Accrued expenses and other liabilities..................... (209) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................... (57,735) -------- NET ASSETS........................................ 100.0% $215,550 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................ $ 224 Accumulated net realized gain on investments sold, futures contracts, foreign currencies and net other assets....... 5,365 Net unrealized appreciation of investments, futures contracts, foreign currencies and net other assets....... 43,133 Paid-in capital............................................ 166,828 -------- NET ASSETS................................................. $215,550 ========
VALUE - ---------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($190,129,609 / 13,582,722 shares outstanding)........... $14.00 ======== PRIMARY B SHARES: Net asset value, offering and redemption price per share ($20 / 1 share outstanding).............................. $14.08 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($25,420,187 / 1,817,261 shares outstanding)............. $13.99 ========
- --------------- *Federal income tax information (see Note 11). !! Non-income producing security. && All or a portion of security segregated as collateral for futures contracts and delayed delivery securities. +Amount represents less than 0.1%. ++Amount represents less than $500. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (Note 10). The portion that represents cash collateral is $20,261. (a) All or a portion of security was on loan at March 31, 2002. The aggregate cost and market value of securities on loan at March 31, 2002 is $17,640 and $17,575, respectively. (b) Delayed delivery security. (c) 1 contract = $1,000,000. SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS MARCH 31, 2002
VALUE SHARES (000) - ------------------------------------------------------------------------------- COMMON STOCKS -- 98.1% AEROSPACE AND DEFENSE -- 0.4% 38,450 Precision Castparts Corporation(a)....................... $ 1,361 7,700 Sequa Corporation, Class A!!............................. 402 56,200 The Titan Corporation!!(a)............................... 1,161 --------- 2,924 --------- AIRLINES -- 0.2% 19,650 Alaska Air Group, Inc.!!................................. 654 28,325 Atlas Air, Inc.!!........................................ 373 --------- 1,027 --------- APPAREL AND TEXTILES -- 0.6% 32,700 Coach, Inc.!!............................................ 1,658 22,050 Land's End, Inc.!!....................................... 989 28,775 Timberland Company, Class A!!............................ 1,216 39,900 Unifi, Inc.!!............................................ 375 --------- 4,238 --------- AUTOMOTIVE -- 1.5% 49,425 ArvinMeritor, Inc. ...................................... 1,411 19,550 Borg-Warner Automotive, Inc.............................. 1,230 67,125 Copart, Inc.!!........................................... 1,204 55,625 Gentex Corporation!!..................................... 1,648 47,600 Lear Corporation!!(a).................................... 2,267 58,925 Pennzoil-Quaker State Company............................ 1,265 19,175 Superior Industries International, Inc................... 935 --------- 9,960 --------- BEVERAGES -- 0.2% 115,500 PepsiAmericas, Inc....................................... 1,666 --------- BROADCASTING AND CABLE -- 1.4% 38,125 Emmis Communications Corporation!!(a).................... 1,019 36,200 Entercom Communications Corporation!!.................... 1,986 80,375 Hispanic Broadcasting Corporation!!...................... 2,341 17,025 Media General Inc., Class A.............................. 1,081 79,500 Westwood One, Inc.!!..................................... 3,049 --------- 9,476 --------- BUILDING MATERIALS -- 0.8% 53,175 American Standard Companies Inc.!!....................... 3,762 35,950 Martin Marietta Materials, Inc. ......................... 1,518 --------- 5,280 --------- CHEMICALS -- BASIC -- 0.9% 23,125 FMC Corporation!!(a)..................................... 969 48,150 FMC Technologies, Inc.!!................................. 960 20,950 H.B. Fuller Company...................................... 627 85,125 IMC Global, Inc. ........................................ 1,256 87,125 Lyondell Chemical Company................................ 1,448 32,200 Olin Corporation......................................... 605 --------- 5,865 --------- CHEMICALS -- SPECIALTY -- 1.6% 51,675 Airgas, Inc.!!........................................... 1,039 33,700 Albemarle Corporation.................................... 929 46,100 Cabot Corporation(a)..................................... 1,698 17,925 Cabot Microelectronics Corporation!!..................... 1,213 83,750 Crompton Corporation..................................... 1,034 29,425 Cytec Industries Inc.!!.................................. 895
VALUE SHARES (000) - ------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- (CONTINUED) 25,400 Ferro Corporation........................................ $ 732 37,875 Lubrizol Corporation..................................... 1,318 14,500 Minerals Technologies Inc. .............................. 761 21,650 Schulman (A.) Inc. ...................................... 396 77,525 Solutia Inc. ............................................ 674 --------- 10,689 --------- COMMERCIAL BANKING -- 9.2% 48,675 Associated Banc-Corp..................................... 1,851 68,375 Astoria Financial Corporation............................ 1,986 112,475 Banknorth Group, Inc. ................................... 2,964 35,675 City National Corporation................................ 1,877 85,375 Colonial BancGroup, Inc. ................................ 1,274 49,025 Commerce Bancorp, Inc. .................................. 2,201 94,450 Compass Bancshares, Inc. ................................ 2,916 93,850 First Tennessee National Corporation(a).................. 3,289 35,425 First Virginia Banks, Inc. .............................. 1,900 62,850 Firstmerit Corporation................................... 1,809 100,625 Golden State Bancorp Inc.(a)............................. 2,988 37,075 Greater Bay Bancorp(a)................................... 1,265 117,850 Hibernia Corporation, Class A............................ 2,251 43,575 Independence Community Bank Corporation.................. 1,226 23,775 Investors Financial Services Corporation................. 1,808 68,850 M&T Bank Corporation..................................... 5,532 51,725 Mercantile Bankshares Corporation........................ 2,238 150,800 National Commerce Financial Corporation.................. 4,192 75,800 New York Community Bancorp, Inc. ........................ 2,096 120,250 North Fork Bancorporation, Inc.(a)....................... 4,276 56,900 Pacific Century Financial Corporation.................... 1,483 36,475 Provident Financial Group, Inc. ......................... 1,050 34,250 Silicon Valley Bancshares!!(a)........................... 1,036 189,950 Sovereign Bancorp, Inc.(a)............................... 2,669 56,750 TCF Financial Corporation................................ 2,986 36,500 Webster Financial Corporation............................ 1,366 25,625 Westamerica Bancorporation............................... 1,095 24,200 Wilmington Trust Corporation............................. 1,629 --------- 63,253 --------- COMMERCIAL SERVICES -- 4.5% 85,300 Apollo Group Inc., Class A!!............................. 4,567 15,300 Bandag, Inc. ............................................ 577 40,850 Catalina Marketing Corporation!!......................... 1,491 50,925 Certegy Inc.!!(a)........................................ 2,022 46,575 ChoicePoint Inc.!!&&..................................... 2,683 51,725 DeVry, Inc.!!............................................ 1,558 28,125 Fastenal Company(a)...................................... 2,118 62,725 Gartner Group, Inc.!!.................................... 815 26,575 Kelly Services, Inc. .................................... 750 28,000 Korn/Ferry International!!............................... 279 56,350 Manpower Inc.(a)......................................... 2,191 72,750 MPS Group, Inc.!!........................................ 637 19,125 NCO Group, Inc.!!........................................ 531 22,275 Rollins, Inc. ........................................... 470 80,025 SEI Investment Company................................... 3,426 45,425 Sotheby's Holdings, Class A!!............................ 729 28,725 Sylvan Learning Systems, Inc.!!(a)....................... 811 54,325 United Rentals, Inc.!!................................... 1,493
SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - ------------------------------------------------------------------------------- COMMERCIAL SERVICES -- (CONTINUED) 39,675 Valassis Communications Inc.!!........................... $ 1,533 65,900 Viad Corporation......................................... 1,845 --------- 30,526 --------- COMPUTER SERVICES -- 2.4% 64,575 Acxiom Corporation!!(a).................................. 1,107 108,425 Ceridian Corporation!!................................... 2,391 39,300 CSG Systems International, Inc.!!........................ 1,119 35,400 Internet Security Systems, Inc.!!........................ 809 66,200 Jack Henry & Associates, Inc. ........................... 1,468 207,075 Sungard Data Systems, Inc.!!............................. 6,827 29,800 Sykes Enterprises, Inc.!!................................ 289 44,850 Synopsys, Inc.!!(a)...................................... 2,474 --------- 16,484 --------- COMPUTERS AND OFFICE EQUIPMENT -- 1.3% 33,075 Avocent Corporation!!.................................... 886 28,925 InFocus Corporation!!(a)................................. 527 56,125 Miller (Herman) Inc. .................................... 1,335 31,025 Plexus Corporation!!..................................... 732 115,375 Quantum Corporation!!.................................... 918 77,950 Storage Technology Corporation!!......................... 1,671 40,850 Tech Data Corporation!!(a)............................... 1,875 30,350 Wallace Computer Services, Inc. ......................... 613 --------- 8,557 --------- CONGLOMERATES -- 1.4% 35,400 Dycom Industries, Inc.!!................................. 529 30,475 Granite Construction..................................... 750 36,350 Pentair, Inc. ........................................... 1,635 77,600 Scana Corporation........................................ 2,375 29,850 SPX Corporation!!........................................ 4,226 --------- 9,515 --------- CONSTRUCTION -- 0.3% 19,925 Jacobs Engineering Group Inc.!!.......................... 1,421 45,025 Quanta Services, Inc.!!.................................. 778 --------- 2,199 --------- CONSUMER CREDIT AND MORTGAGES -- 1.0% 62,875 AmeriCredit Corporation!!(a)............................. 2,389 74,225 Greenpoint Financial Corporation......................... 3,243 47,250 Metris Companies Inc.(a)................................. 945 --------- 6,577 --------- CONSUMER SERVICES -- 0.3% 36,750 Valspar Corporation...................................... 1,729 --------- DEPARTMENT AND DISCOUNT STORES -- 0.4% 35,350 Neiman Marcus Group Inc., Class A!!...................... 1,218 105,200 Saks, Inc.!!............................................. 1,383 --------- 2,601 --------- DIVERSIFIED ELECTRONICS -- 1.8% 19,650 Black Hills Corporation.................................. 658 52,925 Diebold, Inc. ........................................... 2,156 49,000 Harris Corporation....................................... 1,760 25,100 Hawaiian Electric Industries, Inc. ...................... 1,105 43,450 Hubbell Inc. ............................................ 1,430 37,925 National Instruments Corporation!!....................... 1,586
VALUE SHARES (000) - ------------------------------------------------------------------------------- DIVERSIFIED ELECTRONICS -- (CONTINUED) 28,975 PNM Resources Inc. ...................................... $ 888 118,000 Vishay Intertechnology, Inc.!!(a)........................ 2,399 --------- 11,982 --------- DIVERSIFIED MANUFACTURING -- 2.1% 23,125 Albany International Corporation, Class A!!.............. 701 22,425 Carlisle Companies Inc. ................................. 980 32,700 Donaldson Company, Inc.(a)............................... 1,315 67,700 Energizer Holdings Inc.!!(a)............................. 1,608 33,350 Federal Signal Corporation............................... 791 29,625 Harsco Corporation....................................... 1,160 22,175 Kaydon Corporation....................................... 599 27,275 Lancaster Colony Corporation............................. 1,010 24,725 Modine Manufacturing Company............................. 667 24,600 Nordson Corporation(a)................................... 742 40,225 Pittson Brink's Group.................................... 1,010 35,075 Sensient Technologies Corporation........................ 807 21,100 Stewart & Stevenson Services, Inc. ...................... 408 28,800 Teleflex Inc. ........................................... 1,574 28,825 York International Corporation........................... 1,035 --------- 14,407 --------- EDUCATION -- 0.2% 25,750 Education Management Corporation!!....................... 1,086 --------- ELECTRIC POWER -- NON NUCLEAR -- 2.5% 62,300 Allete, Inc. ............................................ 1,812 33,325 Cleco Corporation........................................ 796 93,750 DPL Inc.................................................. 2,394 41,425 DQE Inc.(a).............................................. 883 45,850 Great Plains Energy Inc.(a).............................. 1,144 27,775 IDACORP, Inc.(a)......................................... 1,125 103,850 Northeast Utilities Company.............................. 2,064 57,725 OGE Energy Corporation(a)................................ 1,384 79,600 Potomac Electric Power Company(a)........................ 1,859 75,650 Sierra Pacific Resources................................. 1,142 50,175 Vectren Corporation...................................... 1,289 51,950 Western Resources, Inc................................... 891 --------- 16,783 --------- ELECTRIC POWER -- NUCLEAR -- 1.1% 64,875 Alliant Energy Corporation(a)............................ 1,960 65,750 Conectiv, Inc. .......................................... 1,637 86,575 Energy East Corporation.................................. 1,883 39,300 NSTAR.................................................... 1,782 --------- 7,262 --------- ELECTRICAL EQUIPMENT -- 0.4% 24,300 AMETEK, Inc. ............................................ 905 13,700 Tecumseh Products Company................................ 730 22,825 WPS Resources Corporation................................ 900 --------- 2,535 --------- ENERGY -- MISCELLANEOUS -- 0.5% 64,250 Puget Energy Inc.(a)..................................... 1,336 86,325 Wisconsin Energy Corporation(a).......................... 2,148 --------- 3,484 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - ------------------------------------------------------------------------------- EXPLORATION AND PRODUCTION -- 0.4% 34,625 Forest Oil Corporation!!................................. $ 1,026 41,925 Noble Affiliates, Inc. .................................. 1,637 --------- 2,663 --------- FINANCE -- MISCELLANEOUS -- 0.7% 101,975 Clayton Homes Inc.(a).................................... 1,708 44,600 IndyMac Bancorp, Inc.!!.................................. 1,102 35,975 Investment Technology Group, Inc.!!...................... 1,897 --------- 4,707 --------- FOOD AND DRUG STORES -- 0.1% 34,350 Ruddick Corporation...................................... 572 --------- FOOD PRODUCTS -- 2.8% 32,225 Dean Foods Company!!(a).................................. 2,440 41,400 Dole Food Company(a)..................................... 1,283 25,550 Dreyer's Grand Ice Cream Inc. ........................... 1,052 102,775 Hormel Foods Corporation................................. 2,811 37,500 Interstate Bakeries Corporation.......................... 908 18,150 J.M. Smucker Company..................................... 613 51,375 McCormick and Company, Inc. ............................. 2,627 82,700 Smithfield Foods, Inc.!!................................. 2,158 38,550 Tootsie Roll Industries, Inc. ........................... 1,773 262,250 Tyson Foods Inc., Class A(a)............................. 3,274 --------- 18,939 --------- HEALTH SERVICES -- 3.8% 40,375 Apria Healthcare Group Inc.!!............................ 990 44,700 Covance Inc.!!........................................... 907 73,800 First Health Group Corporation!!......................... 1,781 91,575 Health Net Inc.!!........................................ 2,513 29,100 Lifepoint Hospitals, Inc.!!(a)........................... 1,076 79,800 Lincare Holdings Inc.!!(a)............................... 2,164 69,225 Omnicare, Inc.(a)........................................ 1,792 64,850 Oxford Health Plans, Inc.!!.............................. 2,710 25,600 Pacificare Health Systems Inc.!!(a)...................... 447 71,350 Quest Diagnostics Inc.!!................................. 5,910 53,375 Triad Hospitals, Inc.!!(a)............................... 1,835 26,525 Trigon Healthcare, Inc.!!................................ 1,958 44,375 Universal Health Services, Inc., Class B!!............... 1,830 --------- 25,913 --------- HEAVY MACHINERY -- 0.6% 53,325 Agco Corporation(a)...................................... 1,217 32,825 Flowserve Corporation!!.................................. 1,051 25,875 Imation Corporation!!.................................... 686 23,025 Kennametal Inc. ......................................... 931 --------- 3,885 --------- HOUSEHOLD PRODUCTS -- 0.4% 34,900 Blyth Industries, Inc. .................................. 926 28,975 Church & Dwight Company, Inc.(a)......................... 854 70,300 The Dial Corporation..................................... 1,266 --------- 3,046 --------- HOUSING AND FURNISHING -- 1.8% 71,850 D.R. Horton, Inc.!!...................................... 2,709 40,450 Furniture Brands International, Inc.!!(a)................ 1,474 43,450 Hon Industries Inc. ..................................... 1,234 47,625 Lennar Corporation(a).................................... 2,513
VALUE SHARES (000) - ------------------------------------------------------------------------------- HOUSING AND FURNISHING -- (CONTINUED) 48,475 Mohawk Industries Inc.!!(a).............................. $ 2,913 83,325 RPM Inc. ................................................ 1,296 --------- 12,139 --------- INSURANCE -- 4.2% 39,200 Allmerica Financial Corporation.......................... 1,760 50,625 American Financial Group, Inc. .......................... 1,454 62,775 Arthur J. Gallagher & Company............................ 2,057 37,975 Everest Re Group, Ltd. .................................. 2,633 63,475 Fidelity National Financial, Inc. ....................... 1,674 44,975 HCC Insurance Holdings Inc. ............................. 1,257 30,175 Horace Mann Educators Corporation........................ 679 41,000 Leucadia National Corporation............................ 1,466 35,250 MONY Group Inc.(a)....................................... 1,421 44,600 Ohio Casualty Corporation!!.............................. 845 88,125 Old Republic International Corporation................... 2,817 33,000 PMI Group, Inc.(a)....................................... 2,500 50,800 Protective Life Corporation.............................. 1,584 69,500 Radian Group Inc. ....................................... 3,411 22,175 Stancorp Financial Group Inc. ........................... 1,220 50,050 Unitrin, Inc. ........................................... 2,012 --------- 28,790 --------- INTEGRATED OIL -- 2.0% 41,175 AGL Resources Inc. ...................................... 968 33,575 Murphy Oil Corporation(a)................................ 3,223 127,325 Ocean Energy Inc. ....................................... 2,520 77,125 Pioneer Natural Resources Company!!...................... 1,719 60,350 Questar Corporation...................................... 1,552 78,750 Valero Energy Corporation................................ 3,899 --------- 13,881 --------- INVESTMENT SERVICES -- 2.5% 59,125 A.G. Edwards, Inc.&&..................................... 2,600 276,100 E*TRADE Group, Inc.!!(a)................................. 2,601 51,325 Eaton Vance Corporation.................................. 2,050 43,500 LaBranche and Company Inc.!!(a).......................... 1,351 49,500 Legg Mason, Inc.(a)...................................... 2,628 52,150 Neuberger Berman Inc. ................................... 2,443 65,150 Roslyn Bancorp, Inc. .................................... 1,349 59,300 Waddell & Reed Financial, Inc., Class A.................. 1,807 --------- 16,829 --------- LODGING AND RECREATION -- 1.5% 57,700 Callaway Golf Company.................................... 1,111 69,300 Extended Stay America, Inc.!!............................ 1,206 21,225 GTECH Holdings Corporation!!............................. 1,035 39,400 International Speedway Corporation....................... 1,801 52,450 Mandalay Resort Group!!.................................. 1,610 223,225 Park Place Entertainment Corporation!!................... 2,354 68,475 Six Flags, Inc.!!(a)..................................... 1,223 --------- 10,340 --------- MEDICAL DEVICES AND SUPPLIES -- 2.7% 78,900 Apogent Technologies Inc.!!.............................. 1,947 45,450 Beckman Coulter, Inc.(a)................................. 2,321 90,150 Cytyc Corporation!!(a)................................... 2,427 57,675 DENTSPLY International Inc. ............................. 2,137 43,875 Edwards Lifesciences Corporation!!....................... 1,226 31,625 Henry Schein, Inc.!!..................................... 1,393 46,450 Hillenbrand Industries, Inc. ............................ 2,864
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - ------------------------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- (CONTINUED) 50,150 Patterson Dental Company!!............................... $ 2,193 51,450 STERIS Corporation!!..................................... 1,073 40,725 VISX Inc.!!.............................................. 719 --------- 18,300 --------- METALS AND MINING -- 0.4% 79,825 AK Steel Holding Corporation............................. 1,142 38,775 Arch Coal, Inc.(a)....................................... 829 16,450 Carpenter Technology Corporation......................... 476 41,300 UCAR International Inc.!!................................ 586 --------- 3,033 --------- NATURAL GAS DISTRIBUTION -- 1.1% 47,375 Equitable Resources, Inc. ............................... 1,650 46,825 Hanover Compressor Company!!(a).......................... 842 51,750 MDU Resources Group, Inc. ............................... 1,604 59,025 National Fuel Gas Company................................ 1,437 44,250 ONEOK, Inc. ............................................. 923 35,975 WGL Holdings Inc. ....................................... 966 --------- 7,422 --------- NATURAL GAS PIPELINES -- 0.5% 104,100 Aquila, Inc.(a).......................................... 2,586 24,200 Western Gas Resources, Inc. ............................. 901 --------- 3,487 --------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.9% 260,950 3Com Corporation!!&&..................................... 1,594 29,250 ADTRAN, Inc.!!........................................... 706 60,725 Advanced Fibre Communications, Inc.!!.................... 1,165 38,150 CommScope, Inc.!!........................................ 664 146,475 Enterasys Networks Inc.!!................................ 620 29,050 L-3 Communications Holdings, Inc.!!(a)................... 3,253 83,300 McDATA Corporation, Class A!!............................ 989 27,175 Newport Corporation...................................... 649 34,350 Plantronics, Inc.!!...................................... 719 73,925 Polycom, Inc.!!(a)....................................... 1,819 48,300 Powerwave Technologies, Inc.!!........................... 622 --------- 12,800 --------- OILFIELD SERVICES -- 3.9% 115,950 BJ Services Company!!.................................... 3,997 40,000 Cooper Cameron Corporation!!(a).......................... 2,044 99,775 ENSCO International Inc.(a)&&............................ 3,007 81,075 Grant Prideco Inc.!!(a).................................. 1,109 36,950 Helmerich & Payne, Inc. ................................. 1,481 59,950 National-Oilwell, Inc.!!(a).............................. 1,519 56,600 Patterson-UTI Energy, Inc.!!............................. 1,683 98,425 Pride International, Inc.!!.............................. 1,565 36,600 Smith International, Inc.!!(a)........................... 2,480 44,850 Tidewater Inc.(a)........................................ 1,899 71,125 Varco International, Inc.!!.............................. 1,430 85,025 Weatherford International, Inc.!!(a)..................... 4,050 --------- 26,264 ---------
VALUE SHARES (000) - ------------------------------------------------------------------------------- PACKAGING AND CONTAINERS -- 0.6% 37,850 Longview Fibre Company................................... $ 390 78,225 Packaging Corporation of America!!....................... 1,548 70,825 Sonoco Products Company.................................. 2,026 --------- 3,964 --------- PAPER AND FOREST PRODUCTS -- 0.7% 40,475 Bowater Inc.(a).......................................... 2,015 31,650 P.H. Glatfelter Company.................................. 568 20,950 Potlatch Corporation..................................... 706 20,225 Rayonier Inc. ........................................... 1,078 38,175 Wausau-Mosinee Paper Corporation......................... 487 --------- 4,854 --------- PHARMACEUTICALS -- 5.1% 31,925 Barr Laboratories, Inc.!!(a)............................. 2,101 58,675 Express Scripts, Inc.!!&&(a)............................. 3,379 143,300 Gilead Sciences, Inc.!!(a)............................... 5,157 60,450 ICN Pharmaceuticals Inc.(a).............................. 1,919 113,025 IDEC Pharmaceuticals Corporation!!(a).................... 7,269 49,200 Incyte Pharmaceuticals, Inc.!!........................... 585 146,275 IVAX Corporation!!(a).................................... 2,348 207,400 Millennium Pharmaceuticals, Inc.!!....................... 4,627 93,275 Mylan Laboratories, Inc. ................................ 2,748 54,400 Perrigo Company!!........................................ 650 65,175 Protein Design Labs, Inc.!!(a)........................... 1,116 57,725 Sepracor Inc.!!(a)....................................... 1,120 55,550 Vertex Pharmaceuticals Inc.!!............................ 1,548 --------- 34,567 --------- PUBLISHING AND ADVERTISING -- 2.2% 81,550 Belo Corporation......................................... 1,896 18,275 Banta Corporation........................................ 653 54,925 Dun & Bradstreet Corporation!!........................... 2,198 46,725 Harte-Hanks, Inc. ....................................... 1,478 32,700 Lee Enterprises, Inc.(a)................................. 1,207 73,800 Readers Digest Association, Inc., Class A................ 1,654 26,375 Scholastic Corporation!!................................. 1,429 7,025 The Washington Post Company, Class B..................... 4,264 --------- 14,779 --------- RAILROADS, TRUCKING AND SHIPPING -- 1.6% 35,650 Airborne, Inc. .......................................... 624 62,600 C.H. Robinson Worldwide, Inc. ........................... 2,103 36,200 CNF Inc. ................................................ 1,194 35,400 EGL, Inc.(a)............................................. 561 38,225 Expeditors International of Washington, Inc. ............ 2,332 36,075 GATX Corporation(a)...................................... 1,147 26,650 J.B. Hunt Transport Services, Inc.!!..................... 758 63,150 Swift Transportation Company, Inc.!!(a).................. 1,384 32,600 Trinity Industries, Inc.(a).............................. 793 --------- 10,896 --------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.4% 46,325 Hospitality Properties Trust............................. 1,590 69,175 New Plan Excel Realty Trust(a)........................... 1,387 --------- 2,977 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - ------------------------------------------------------------------------------- RESTAURANTS -- 1.0% 25,900 Bob Evans Farms, Inc. ................................... $ 731 72,050 Brinker International, Inc.!!(a)......................... 2,335 41,225 CBRL Group Inc. ......................................... 1,174 56,700 Outback Steakhouse, Inc.!!(a)............................ 2,028 16,825 Papa John's International Inc.!!......................... 469 --------- 6,737 --------- SEMICONDUCTORS -- 5.8% 73,850 Arrow Electronics, Inc.!!(a)............................. 2,066 344,975 Atmel Corporation!!(a)................................... 3,498 87,925 Avnet, Inc. ............................................. 2,379 61,025 Cirrus Logic, Inc.!!..................................... 1,152 44,700 Credence Systems Corporation!!........................... 982 53,825 Cree, Inc.!!(a).......................................... 734 89,125 Cypress Semiconductor Corporation!!(a)................... 2,050 19,850 DSP Group, Inc.!!........................................ 406 73,900 Fairchild Semiconductor Corporation, Class A!!(a)........ 2,114 23,700 FEI Company!!............................................ 843 77,325 Integrated Device Technology, Inc.!!..................... 2,570 47,000 International Rectifier Corporation!!(a)................. 2,134 63,625 KEMET Corporation!!(a)................................... 1,232 93,275 Lam Research Corporation!!(a)............................ 2,735 81,050 Lattice Semiconductor Corporation!!(a)................... 1,421 35,975 LTX Corporation!!(a)..................................... 978 68,825 Micrel, Inc.!!........................................... 1,736 98,550 Microchip Technology Inc.!!.............................. 4,121 28,925 MIPS Technologies, Inc.!!................................ 194 124,025 RF Micro Devices, Inc.!!(a).............................. 2,220 50,600 SanDisk Corporation!!(a)................................. 1,098 52,200 Semtech Corporation!!(a)................................. 1,905 67,750 TranSwitch Corporation!!................................. 221 96,525 TriQuint Semiconductor, Inc.!!........................... 1,159 --------- 39,948 --------- SOFTWARE -- 6.4% 40,225 Activision, Inc.!!(a).................................... 1,200 25,050 Advent Software, Inc.!!(a)............................... 1,482 97,225 Affiliated Computer Services, Inc., Class A!!(a)......... 5,457 192,175 Ascential Software Corporation!!......................... 740 181,200 Cadence Design Systems, Inc.!!........................... 4,097 57,350 Checkfree Corporation!!(a)............................... 879 89,200 DST Systems, Inc.!!...................................... 4,442 102,225 Electronic Arts Inc.!!................................... 6,215 55,925 Keane Inc.!!............................................. 954 66,275 Legato Systems Inc.!!.................................... 597 43,600 Macromedia Inc.!!........................................ 890 37,550 Macrovision Corporation!!................................ 1,001
VALUE SHARES (000) - ------------------------------------------------------------------------------- SOFTWARE -- (CONTINUED) 47,800 Mentor Graphics Corporation!!............................ $ 1,010 104,250 Network Associates, Inc.!!(a)............................ 2,523 37,750 Retek Inc.!!............................................. 991 51,900 Reynolds & Reynolds Company, Class A..................... 1,557 41,650 RSA Security Inc.!!(a)................................... 375 73,150 Sybase, Inc.!!........................................... 1,278 105,400 Symantec Corporation!!(a)................................ 4,344 88,075 The BISYS Group, Inc.!!&&(a)............................. 3,105 26,175 Transaction Systems Architects, Inc.!!................... 298 57,825 Wind River Systems!!..................................... 786 --------- 44,221 --------- SPECIALTY STORES -- 3.4% 38,425 99 Cents Only Stores!!................................... 1,473 73,300 Abercrombie & Fitch Company!!............................ 2,258 53,250 American Eagle Outfitters, Inc.!!........................ 1,319 49,800 Barnes & Noble, Inc.!!(a)................................ 1,543 53,550 BJ's Wholesale Club, Inc.!!(a)........................... 2,394 60,400 Borders Group Inc.!!..................................... 1,444 65,400 CDW Computer Centers, Inc.!!(a).......................... 3,292 36,150 Claire's Stores, Inc. ................................... 704 83,200 Dollar Tree Stores, Inc.!!(a)............................ 2,730 28,100 Longs Drug Stores Corporation(a)......................... 783 16,475 Payless ShoeSource, Inc.!!............................... 1,006 58,950 Ross Stores, Inc. ....................................... 2,230 42,225 Williams-Sonoma, Inc.!!(a)............................... 1,942 --------- 23,118 --------- TELECOMMUNICATIONS SERVICES -- 0.8% 162,075 Broadwing Inc.!!&&(a).................................... 1,133 40,700 Price Communications Corporation!!....................... 718 43,400 Telephone and Data Systems, Inc. ........................ 3,830 --------- 5,681 --------- TOBACCO -- 0.8% 69,100 R.J. Reynolds Tobacco Holdings, Inc.(a).................. 4,475 19,550 Universal Corporation.................................... 769 --------- 5,244 --------- UTILITIES -- MISCELLANEOUS -- 1.0% 30,000 Alexander & Baldwin, Inc. ............................... 828 74,100 American Water Works Company, Inc. ...................... 3,245 25,375 Overseas Shipholding Group, Inc. ........................ 617 125,300 Republic Services, Inc.!!................................ 2,341 --------- 7,031 --------- TOTAL COMMON STOCKS (Cost $610,885)........................................ 667,132 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 25.3% (Cost $172,325) 172,325 Nations Cash Reserves, Capital Class Shares#............. $ 172,325 --------- TOTAL INVESTMENTS (Cost $783,210*)................................ 123.4% 839,457 --------- OTHER ASSETS AND LIABILITIES (NET)................ (23.4) Cash..................................................... $ 148 Receivable for Fund shares sold.......................... 4,261 Dividends receivable..................................... 430 Interest receivable...................................... 13 Receivable for variation margin.......................... 47 Collateral on securities loaned.......................... (163,317) Payable for Fund shares redeemed......................... (157) Investment advisory fee payable.......................... (54) Administration fee payable............................... (86) Payable for investment securities purchased.............. (267) Accrued Trustees' fees and expenses...................... (27) Accrued expenses and other liabilities................... (120) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................. (159,129) --------- NET ASSETS........................................ 100.0% $ 680,328 ========= NET ASSETS CONSIST OF: Undistributed net investment income...................... $ 81 Accumulated net realized loss on investments sold and futures contracts...................................... (342) Net unrealized appreciation of investments and futures contracts.............................................. 56,359 Paid-in capital.......................................... 624,230 --------- NET ASSETS............................................... $ 680,328 ========= VALUE - ------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($679,205,899 / 72,947,098 shares outstanding)......... $9.31 ========= INVESTOR A SHARES: Net asset value and redemption price per share ($1,122,521 / 120,279 shares outstanding).............. $9.33 =========
- --------------- *Federal income tax information (see Note 11). !! Non-income producing security. && All or a portion of security segregated as collateral for futures contracts. #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 10). The portion that represents cash collateral is $163,317. (a) All or a portion of security was on loan at March 31, 2002. The aggregate cost and market value of securities on loan at March 31, 2002 is $143,243 and $157,580, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS MARCH 31, 2002
VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS -- 98.2% AEROSPACE -- 0.2% 20,500 DRS Technologies, Inc.!!................................. $ 851 -------- AEROSPACE AND DEFENSE -- 1.9% 33,200 AAR Corporation.......................................... 358 30,700 Alliant Techsystems Inc.!!............................... 3,131 37,700 Armor Holdings, Inc.!!(a)................................ 1,022 43,500 BE Aerospace, Inc.!!..................................... 432 12,500 Curtiss-Wright Corporation............................... 831 25,600 Esterline Technologies Corporation!!..................... 522 53,300 GenCorp Inc. ............................................ 838 39,300 Teledyne Technologies Inc.!!............................. 652 19,500 Triumph Group, Inc.!!.................................... 764 14,000 Woodward Governor Company................................ 963 -------- 9,513 -------- AIRLINES -- 1.0% 54,300 Atlantic Coast Airlines Holdings, Inc.!!................. 1,302 26,700 Forward Air Corporation!!(a)............................. 845 36,200 Frontier Airlines, Inc.!!................................ 663 40,900 Mesa Air Group, Inc.!!................................... 458 17,100 Midwest Express Holdings, Inc.!!......................... 313 70,200 SkyWest, Inc. ........................................... 1,750 -------- 5,331 -------- APPAREL AND TEXTILES -- 1.9% 16,200 Ashworth Inc.!!.......................................... 127 21,600 Brown Shoe Company, Inc. ................................ 420 30,700 Christopher & Banks Corporation!!(a)..................... 1,007 25,500 G & K Services, Inc., Class A............................ 949 26,900 Genesco Inc.!!(a)........................................ 742 7,900 Haggar Corporation....................................... 97 22,200 Hancock Fabrics Inc. .................................... 401 11,500 K-Swiss Inc., Class A.................................... 483 28,100 Kellwood Company(a)...................................... 683 41,100 Nautica Enterprises Inc.!!............................... 623 14,900 Oshkosh B'Gosh Inc. ..................................... 639 9,300 Oxford Industries Inc. .................................. 246 34,200 Phillips-Van Heusen Corporation.......................... 483 28,700 Quiksilver, Inc.!!....................................... 628 39,500 Russell Corporation...................................... 589 51,800 Stride Rite Corporation.................................. 427 51,400 Wolverine World Wide, Inc. .............................. 923 -------- 9,467 -------- AUTOMOTIVE -- 1.0% 24,700 Aaron Rents, Inc. ....................................... 564 28,100 Group 1 Automotive, Inc.!!(a)............................ 1,097 31,500 Intermet Corporation..................................... 221 18,400 Midas, Inc. ............................................. 262 29,500 Myers Industries Inc.(a)................................. 428 20,700 Oshkosh Truck Corporation................................ 1,179 15,400 Standard Motor Products, Inc.(a)......................... 225 26,000 TBC Corporation!!........................................ 377 25,500 Titan International Inc. ................................ 130 59,500 Tower Automotive, Inc.!!................................. 832 -------- 5,315 --------
VALUE SHARES (000) - -------------------------------------------------------------------------------- BEVERAGES -- 0.7% 10,900 Coca-Cola Bottling Company............................... $ 534 54,200 Constellation Brands, Inc.!!............................. 2,979 -------- 3,513 -------- BROADCASTING AND CABLE -- 0.1% 15,100 4Kids Entertainment Inc.!!............................... 301 -------- CHEMICALS -- BASIC -- 0.5% 31,900 Cambrex Corporation...................................... 1,343 39,200 Georgia Gulf Corporation................................. 1,053 32,400 Mississippi Chemical Corporation!!(a).................... 89 -------- 2,485 -------- CHEMICALS -- SPECIALTY -- 2.1% 27,500 Arch Chemicals, Inc. .................................... 606 12,200 Chemed Corporation....................................... 456 17,400 ChemFirst Inc. .......................................... 465 39,800 MacDermid, Inc. ......................................... 862 34,200 OM Group, Inc.&&......................................... 2,474 49,000 Omnova Solutions Inc. ................................... 407 9,300 Penford Corporation...................................... 150 115,900 PolyOne Corporation...................................... 1,414 11,400 Quaker Chemical Corporation.............................. 266 19,400 Rogers Corporation!!..................................... 644 36,200 Scotts Company, Class A!!................................ 1,657 17,400 TETRA Technologies Inc.!!................................ 505 39,300 Wellman Inc. ............................................ 646 -------- 10,552 -------- COMMERCIAL BANKING -- 5.9% 39,600 Chittenden Corporation................................... 1,154 57,400 Commercial Federal Corporation........................... 1,544 49,700 Community First Bankshares, Inc. ........................ 1,285 63,500 Cullen Frost Bankers, Inc.&&............................. 2,279 34,900 Downey Financial Corporation............................. 1,591 29,000 East West Bancorp, Inc. ................................. 849 20,600 Financial Federal Corporation!!(a)....................... 676 60,300 First Midwest Bancorp, Inc. ............................. 1,751 16,900 First Republic Bank!!.................................... 480 32,900 Firstbank Corporation.................................... 951 21,400 FirstFed Financial Corporation!!......................... 560 14,300 GBC Bancorp.............................................. 478 57,200 Hudson United Bancorp&&.................................. 1,820 27,800 MAF Bancorp Inc. ........................................ 980 31,600 Provident Bankshares Corporation......................... 758 35,200 Riggs National Corporation............................... 540 51,100 South Financial Group, Inc.(a)........................... 1,040 40,700 Southwest Bancorporation of Texas, Inc.!!................ 1,357 78,100 Staten Island Bancorp, Inc. ............................. 1,537 52,400 Sterling Bancshares, Inc. ............................... 700 48,700 Susquehanna Bancshares Inc. ............................. 1,192 88,100 TrustCo Bank Corporation NY.............................. 1,137 53,400 United Bankshares Inc. .................................. 1,577 78,500 Washington Federal, Inc. ................................ 1,879 32,700 Whitney Holding Corporation.............................. 1,630 -------- 29,745 -------- COMMERCIAL SERVICES -- 4.2% 30,200 ABM Industries Inc. ..................................... 1,108 34,100 Administaff, Inc.!!(a)................................... 942
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMERCIAL SERVICES -- (CONTINUED) 24,700 ADVO Inc.!!.............................................. $ 1,043 36,100 Arbitron Inc.!!.......................................... 1,220 7,800 Butler Manufacturing Company............................. 209 23,700 CDI Corporation!!........................................ 544 44,300 Central Parking Corporation.............................. 1,018 25,800 Computer Task Group Inc.!!............................... 149 41,500 Factset Research Systems Inc. ........................... 1,676 35,000 Florida Rock Industries, Inc. ........................... 1,394 24,600 Franklin Covey Company!!................................. 63 45,300 Global Payments Inc. .................................... 1,660 16,000 Hall Kinion & Associates, Inc.!!......................... 133 22,200 Heidrick & Struggles International, Inc.!!............... 462 18,200 IMCO Recycling Inc.!!.................................... 162 15,100 Insurance Auto Auctions Inc.!!........................... 253 27,900 Kroll Inc.!!............................................. 465 50,200 Labor Ready, Inc.!!...................................... 392 34,100 Manhattan Associates, Inc.!!............................. 1,299 28,700 MAXIMUS, Inc.!!(a)....................................... 882 17,700 Memberworks Inc.!!(a).................................... 335 27,700 On Assignment, Inc.!!.................................... 496 30,400 Pegasus Solutions Inc.!!................................. 562 26,400 Prepaid Legal Services Inc.!!(a)......................... 754 78,700 PRG-Schultz International, Inc.(a)....................... 1,106 17,400 Startek, Inc.!!.......................................... 403 64,800 Tetra Tech, Inc.!!....................................... 926 22,500 URS Corporation!!........................................ 713 18,900 Volt Information Sciences Inc.!!......................... 352 33,000 Watsco Inc. ............................................. 589 -------- 21,310 -------- COMPUTER SERVICES -- 1.0% 29,900 Analysts International Corporation....................... 120 34,300 CACI International, Inc.!!............................... 1,204 57,400 Efunds Corporation!!..................................... 921 28,600 Fair, Issac and Company Inc. ............................ 1,813 19,300 QRS Corporation!!........................................ 228 33,900 Radiant Systems, Inc.!!.................................. 307 19,000 SCM Microsystems, Inc.!!................................. 222 21,700 Zixit Corporation!!(a)................................... 141 -------- 4,956 -------- COMPUTERS AND OFFICE EQUIPMENT -- 2.1% 131,000 Adaptec, Inc.!!.......................................... 1,751 46,700 Avant Corporation!!...................................... 935 28,400 Brady Corporation, Class A............................... 1,031 31,200 Hutchinson Technology, Inc.!!............................ 673 24,200 Imagistics International Inc.!!.......................... 385 36,300 Information Resources, Inc.!!............................ 334 27,400 Mercury Computer Systems, Inc.!!......................... 876 21,600 Micros Systems, Inc.!!................................... 550 70,600 Pinnacle Systems, Inc.!!................................. 563 21,500 Radisys Corporation!!.................................... 387 149,000 Read-Rite Corporation!!.................................. 457 19,900 Standard Microsystems Corporation!!...................... 458 39,000 Zebra Technologies Corporation, Class A!!................ 2,109 -------- 10,509 -------- CONGLOMERATES -- 1.1% 39,300 Advanced Energy Industries, Inc.!!(a).................... 1,412 35,000 Apogee Enterprises, Inc. ................................ 427
VALUE SHARES (000) - -------------------------------------------------------------------------------- CONGLOMERATES -- (CONTINUED) 29,200 Hughes Supply Inc. ...................................... $ 1,138 32,800 Insituform Technologies Inc., Class A!!(a)............... 829 25,200 Triarc Companies!!....................................... 701 33,900 Waste Connections, Inc.!!(a)............................. 1,136 -------- 5,643 -------- CONSTRUCTION -- 0.3% 49,500 The Shaw Group Inc.!!.................................... 1,361 -------- CONSUMER SERVICES -- 1.1% 10,700 Angelica Corporation..................................... 166 16,000 Building Materials Holding Corporation!!................. 230 44,110 Fedders Corporation!!(a)................................. 132 27,700 Kaman Corporation........................................ 470 75,300 La-Z-Boy Inc. ........................................... 2,067 15,800 New England Business Service, Inc. ...................... 406 17,100 Royal Appliance Manufacturing Company!!.................. 91 24,900 Russ Berrie & Company Inc. .............................. 802 72,200 Spherion Corporation!!................................... 798 18,800 Thomas Industries Inc. .................................. 550 -------- 5,712 -------- DEPARTMENT AND DISCOUNT STORES -- 0.2% 30,500 Cash America Investments Inc. ........................... 268 15,900 Factory 2-U Stores Inc.!!................................ 205 35,600 ShopKo Stores, Inc.!!.................................... 645 -------- 1,118 -------- DIVERSIFIED ELECTRONICS -- 2.7% 74,200 Aeroflex, Inc.!!......................................... 954 16,300 Analogic Corporation..................................... 678 45,600 Anixter International Inc.!!............................. 1,351 47,300 Artesyn Technologies, Inc.!!............................. 440 28,300 Audiovox Corporation!!................................... 203 17,800 BEI Technologies, Inc. .................................. 336 13,200 Bel Fuse Inc. ........................................... 323 24,300 Benchmark Electronics, Inc.!!(a)......................... 680 39,100 Checkpoint Systems Inc.!!(a)............................. 624 33,900 Concord Camera Corporation!!............................. 305 35,800 CTS Corporation.......................................... 582 26,500 Dionex Corporation!!..................................... 645 24,300 EDO Corporation.......................................... 656 27,300 Gerber Scientific Inc. .................................. 201 40,000 Harman International Industries, Inc. ................... 1,974 31,700 Helix Technology Corporation............................. 803 20,100 Itron Inc.!!............................................. 598 19,500 Keithley Instruments, Inc. .............................. 428 44,500 Methode Electronics Inc., Class A........................ 554 39,200 Pioneer Standard Electronics, Inc.(a).................... 555 30,800 Trimble Navigation Ltd.!!(a)............................. 512 13,800 Ultimate Electronics, Inc.!!............................. 387 56,300 Valence Technology, Inc.!!(a)............................ 172 72 Vialta, Inc.!!++(a)...................................... 0 -------- 13,961 -------- DIVERSIFIED MANUFACTURING -- 3.3% 29,500 A.O. Smith Corporation................................... 751 51,100 Acuity Brands, Inc.!!.................................... 845 17,800 AstroPower, Inc.!!(a).................................... 743 22,800 Barnes Group Inc. ....................................... 559
SEE NOTES TO FINANCIAL STATEMENTS. 38 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - -------------------------------------------------------------------------------- DIVERSIFIED MANUFACTURING -- (CONTINUED) 30,400 Belden Inc. ............................................. $ 724 30,500 CLARCOR Inc. ............................................ 976 20,800 Cross (A.T.) Company!!................................... 144 20,400 CUNO Inc.!!.............................................. 757 47,600 Delta and Pine Land Company.............................. 903 24,000 Elcor Corporation........................................ 533 40,700 Griffon Corporation!!.................................... 682 21,600 Ionics Inc.!!............................................ 692 11,900 Lawson Products.......................................... 343 70,000 Lennox International Inc. ............................... 925 19,700 Lydall Inc.!!............................................ 279 20,400 Meade Instruments Corporation!!.......................... 73 38,400 Roper Industries, Inc. .................................. 1,910 15,100 Simpson Manufacturing Company, Inc.!!.................... 923 16,200 SPS Technologies Inc.!!.................................. 686 15,100 Standex International Corporation........................ 369 33,300 Sturm, Ruger & Company Inc. ............................. 430 47,200 Tredegar Industries, Inc. ............................... 883 52,400 Vicor Corporation!!...................................... 886 32,800 Watts Industries, Inc., Class A.......................... 551 -------- 16,567 -------- EDUCATION -- 0.5% 26,400 Corinthian Colleges, Inc.!!(a)........................... 1,335 28,600 ITT Educational Services, Inc.!!......................... 1,287 -------- 2,622 -------- ELECTRIC POWER -- NON NUCLEAR -- 1.2% 14,300 Central Vermont Public Services.......................... 255 20,300 CH Energy Group, Inc. ................................... 963 62,400 EL Paso Electric Company!!............................... 977 18,300 Emcor Group Inc.!!....................................... 1,062 7,000 Green Mountain Power Corporation......................... 128 33,900 Northwestern Corporation................................. 746 17,700 UIL Holdings Corporation................................. 1,028 41,500 UniSource Energy Corporation............................. 849 -------- 6,008 -------- ELECTRIC POWER -- NUCLEAR -- 0.3% 42,800 RGS Energy Group Inc.(a)................................. 1,680 -------- ELECTRICAL EQUIPMENT -- 0.4% 25,400 Cohu, Inc. .............................................. 724 20,300 Intermagnetics General Corporation!!..................... 553 27,800 Magnetek, Inc.!!......................................... 325 15,600 Planar Systems Inc.!!.................................... 410 -------- 2,012 -------- ENERGY -- MISCELLANEOUS -- 0.3% 58,800 Avista Corporation....................................... 914 40,900 Systems & Computer Technology Corporation!!.............. 539 -------- 1,453 -------- EXPLORATION AND PRODUCTION -- 2.4% 23,100 Evergreen Resources, Inc.!!(a)........................... 963 17,300 Key Production Company, Inc.!!........................... 328 21,000 Nuevo Energy Company!!................................... 313 26,800 Patina Oil and Gas Corporation........................... 845
VALUE SHARES (000) - -------------------------------------------------------------------------------- EXPLORATION AND PRODUCTION -- (CONTINUED) 28,900 Plains Resources Inc.!!.................................. $ 719 66,400 Pogo Producing Company(a)................................ 2,105 15,700 Prima Energy Corporation!!............................... 391 31,100 Southwestern Energy Company!!............................ 391 32,500 Stone Energy Corporation!!............................... 1,259 44,600 Unit Corporation!!....................................... 816 78,100 Vintage Petroleum, Inc. ................................. 1,148 152,900 XTO Energy, Inc.(a)...................................... 3,066 -------- 12,344 -------- FINANCE -- MISCELLANEOUS -- 0.9% 29,700 American Financial Holdings, Inc. ....................... 790 30,800 Anchor Bancorp Wisconsin Inc. ........................... 617 27,500 Boston Private Financial Holdings, Inc. ................. 736 21,300 Dime Community Bancshares................................ 656 21,500 Sourcecorp, Inc.!!....................................... 634 21,300 SWS Group, Inc.(a)....................................... 431 24,100 UCBH Holdings Inc. ...................................... 867 -------- 4,731 -------- FOOD AND DRUG STORES -- 1.7% 61,300 Casey's General Stores, Inc.............................. 828 54,900 Fleming Companies, Inc.(a)............................... 1,230 31,400 Fred's, Inc. ............................................ 1,130 14,500 Nash-Finch Company....................................... 395 47,400 The Great Atlantic & Pacific Tea Company, Inc.!!......... 1,322 23,200 United Natural Foods, Inc.!!............................. 578 68,900 Whole Foods Market, Inc.!!(a)............................ 3,147 -------- 8,630 -------- FOOD PRODUCTS -- 1.5% 22,000 American Italian Pasta Company!!(a)...................... 999 43,500 Corn Products International Inc. ........................ 1,401 41,900 Hain Celestial Group, Inc.!!............................. 932 23,500 International Multifoods Corporation!!................... 558 10,800 J & J Snack Foods Corporation!!.......................... 404 36,000 Lance, Inc. ............................................. 515 54,100 Performance Food Group Company!!(a)...................... 1,767 37,000 Ralcorp Holdings, Inc.!!................................. 1,006 -------- 7,582 -------- HEALTH SERVICES -- 4.5% 32,300 Accredo Health, Inc.!!................................... 1,850 90,500 Advanced Tissue Sciences, Inc.!!(a)...................... 285 114,300 AdvancePCS!!............................................. 3,438 81,100 Coventry Health Care, Inc.!!............................. 2,109 11,300 Curative Health Services, Inc.!!(a)...................... 121 20,000 IMPATH Inc.!!(a)......................................... 821 38,000 Invacare Corporation..................................... 1,429 60,000 Mid Atlantic Medical Services, Inc.!!(a)................. 1,710 42,200 NDCHealth Corporation.................................... 1,536 61,800 Orthodontic Centers of America, Inc.!!(a)................ 1,706 30,800 PAREXEL International Corporation!!...................... 494 30,200 Pediatrix Medical Group, Inc.!!.......................... 1,231 39,100 Province Healthcare Company!!............................ 1,242 21,400 RehabCare Group, Inc.!!.................................. 610 60,900 Renal Care Group, Inc.!!&&............................... 1,998 27,300 Sunrise Assisted Living, Inc.!!(a)....................... 744
SEE NOTES TO FINANCIAL STATEMENTS. 39 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - -------------------------------------------------------------------------------- HEALTH SERVICES -- (CONTINUED) 117,300 US Oncology, Inc.!!...................................... $ 1,033 32,200 Viasys Healthcare Inc.!!................................. 724 -------- 23,081 -------- HEAVY MACHINERY -- 2.9% 23,800 Applied Industrial Technologies, Inc. ................... 458 24,300 Astec Industries Inc.!!.................................. 427 41,900 Baldor Electric Company.................................. 947 26,700 Briggs & Stratton Corporation(a)......................... 1,228 9,800 CPI Corporation.......................................... 161 18,900 Flow International Corporation!!......................... 185 19,300 Gardner Denver Machinery Inc.!!.......................... 473 38,500 Graco Inc. .............................................. 1,573 38,000 IDEX Corporation(a)...................................... 1,406 52,100 JLG Industries, Inc. .................................... 771 14,400 Lindsay Manufacturing Company............................ 351 30,000 Manitowoc Company, Inc. ................................. 1,185 41,400 Milacron Inc.(a)......................................... 604 51,800 Paxar Corporation!!...................................... 873 30,200 Regal Beloit Corporation................................. 772 14,700 Robbins & Myers, Inc.(a)................................. 402 74,000 Timken Company........................................... 1,708 15,200 Toro Company............................................. 906 26,400 X-Rite, Inc. ............................................ 211 -------- 14,641 -------- HOUSEHOLD PRODUCTS -- 0.1% 8,500 National Presto Industries, Inc. ........................ 245 20,200 Natures Sunshine Products Inc. .......................... 226 41,300 SLI, Inc. ............................................... 105 -------- 576 -------- HOUSING AND FURNISHING -- 2.8% 28,700 Applica Inc.!!........................................... 247 14,500 Bassett Furniture Industries, Inc. ...................... 297 59,600 Champion Enterprises Inc.!!.............................. 477 19,700 Coachmen Industries Inc. ................................ 321 47,900 Ethan Allen Interiors Inc.(a)............................ 1,823 62,900 Interface Inc., Class A.................................. 399 33,000 M.D.C. Holdings, Inc. ................................... 1,426 35,400 Monaco Coach Corporation!!............................... 860 9,300 NVR, Inc.!!(a)........................................... 2,934 13,500 Salton, Inc.!!(a)........................................ 268 10,300 Skyline Corporation...................................... 320 36,400 Standard Pacific Corporation............................. 1,023 16,400 The Ryland Group, Inc.(a)................................ 1,479 43,300 Toll Brothers, Inc.!!(a)................................. 2,159 -------- 14,033 -------- INSURANCE -- 2.4% 25,200 Delphi Financial Group, Inc., Class A.................... 988 84,900 First American Financial Corporation..................... 1,806 87,500 Fremont General Corporation.............................. 534 35,000 Hilb, Rogal and Hamilton Company......................... 1,092 23,100 Landamerica Financial Group, Inc. ....................... 800 25,800 Philadelphia Consolidated Holding Corporation!!.......... 1,027 36,300 Presidential Life Corporation............................ 826 12,200 RLI Corporation.......................................... 631 30,600 Ryerson Tull Inc. ....................................... 335
VALUE SHARES (000) - -------------------------------------------------------------------------------- INSURANCE -- (CONTINUED) 11,600 SCPIE Holdings Inc. ..................................... $ 197 31,500 Selective Insurance Group, Inc. ......................... 841 34,400 Sierra Health Services, Inc.!!(a)........................ 450 21,900 Stewart Information Services Corporation!!............... 438 45,600 Trenwick Group Ltd....................................... 409 58,800 UICI..................................................... 1,114 21,700 Zenith National Insurance................................ 634 -------- 12,122 -------- INTEGRATED OIL -- 1.6% 39,400 Cabot Oil & Gas Corporation.............................. 976 63,500 Input/Output, Inc.!!..................................... 578 54,400 Newfield Exploration Company!!........................... 2,011 29,300 Oceaneering International Inc.!!......................... 850 27,800 Remington Oil & Gas Corporation!!........................ 560 30,900 Seitel Inc.!!(a)......................................... 283 34,300 St. Mary Land & Exploration Company(a)................... 745 30,600 Swift Energy Company!!................................... 603 48,400 Tom Brown, Inc.!!........................................ 1,321 -------- 7,927 -------- INVESTMENT SERVICES -- 0.7% 32,500 Jefferies Group, Inc. ................................... 1,567 60,100 Raymond James Financial, Inc. ........................... 2,057 -------- 3,624 -------- LODGING AND RECREATION -- 2.2% 21,500 Action Performance Companies, Inc.!!..................... 1,059 29,000 Arctic Cat Inc. ......................................... 584 35,700 Argosy Gaming Company!!.................................. 1,310 45,200 Aztar Corporation!!...................................... 990 36,000 Bally Total Fitness Holding!!(a)......................... 790 43,200 Fleetwood Enterprises Inc.(a)............................ 467 12,800 Huffy Corporation!!...................................... 87 23,700 JAKKS Pacific, Inc.!!.................................... 539 22,100 K2 Inc.!!................................................ 144 31,500 Pinnacle Entertainment, Inc.!!........................... 254 28,400 Polaris Industries Inc.(a)............................... 1,809 55,300 Prime Hospitality Corporation!!.......................... 727 17,500 Thor Industries Inc. .................................... 828 25,600 Winnebago Industries..................................... 1,075 39,800 WMS Industries, Inc. .................................... 756 -------- 11,419 -------- MEDICAL DEVICES AND SUPPLIES -- 5.0% 28,200 Arthrocare Corporation!!................................. 508 18,000 Biosite Inc.!!........................................... 446 35,400 Coherent, Inc.!!......................................... 1,200 31,100 CONMED Corporation!!..................................... 778 18,900 Cooper Companies, Inc.(a)................................ 896 23,400 Cryolife, Inc.!!......................................... 489 18,200 Datascope Corporation.................................... 534 35,000 Diagnostic Products Corporation(a)....................... 1,512 32,800 Haemonetics Corporation!!................................ 1,041 23,500 Hologic, Inc.!!.......................................... 363 79,900 Hooper Holmes, Inc. ..................................... 838 41,600 IDEXX Laboratories, Inc.!!............................... 1,117 24,800 INAMED Corporation!!..................................... 816 29,000 Mentor Corporation....................................... 1,046 17,400 Osteotech, Inc.!!........................................ 116
SEE NOTES TO FINANCIAL STATEMENTS. 40 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - -------------------------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- (CONTINUED) 41,900 Owens & Minor, Inc. ..................................... $ 823 15,000 PolyMedica Corporation!!(a).............................. 382 56,200 Priority Healthcare Corporation, Class B!!............... 1,462 39,800 ResMed Inc.!!(a)......................................... 1,596 37,800 Respironics, Inc.!!...................................... 1,225 30,200 Sola International Inc.!!................................ 445 12,100 SpaceLabs Medical Inc.!!................................. 170 20,900 SurModics, Inc.!!........................................ 911 46,800 Sybron Dental Specialties, Inc.!!........................ 941 51,300 Techne Corporation!!..................................... 1,414 36,700 Theragenics Corporation!!................................ 363 83,300 Varian Medical Systems, Inc.!!........................... 3,406 16,000 Vital Signs Inc. ........................................ 590 -------- 25,428 -------- METALS AND MINING -- 2.0% 17,500 A. M. Castle & Company................................... 190 20,600 Brush Wellman Inc. ...................................... 262 25,300 Century Aluminum Company................................. 411 12,500 Cleveland-Cliffs Inc. ................................... 275 16,200 Commercial Metals Company................................ 680 20,400 Commonwealth Industries, Inc. ........................... 151 92,400 Massey Energy Company.................................... 1,561 18,200 Material Sciences Corporation!!.......................... 190 41,400 Mueller Industries, Inc.!!............................... 1,449 16,800 Quanex Corporation....................................... 596 39,000 Reliance Steel & Aluminum Company........................ 1,076 25,600 RTI International Metals, Inc.!!......................... 296 56,700 Steel Dynamics, Inc.!!................................... 930 11,800 Steel Technologies Inc. ................................. 101 47,900 Stillwater Mining Company!!.............................. 903 25,900 Texas Industries, Inc. .................................. 1,067 15,000 Wolverine Tube Inc.!!.................................... 131 -------- 10,269 -------- NATURAL GAS DISTRIBUTION -- 2.1% 50,800 Atmos Energy Corporation(a).............................. 1,199 13,700 Cascade Natural Gas Corporation.......................... 291 38,600 Energen Corporation&&.................................... 1,021 33,200 New Jersey Resources Corporation......................... 1,004 31,100 Northwest Natural Gas Company............................ 871 18,900 NUI Holding Company...................................... 470 40,300 Piedmont Natural Gas Company, Inc. ...................... 1,435 64,500 Southern Union Company!!................................. 1,182 40,100 Southwest Gas Corporation................................ 1,003 23,400 The Laclede Group Inc.(a)................................ 545 33,900 UGI Corporation.......................................... 1,062 30,300 Valmont Industries Inc. ................................. 542 -------- 10,625 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.6% 28,000 Aware Inc.!!............................................. 178 24,900 Black Box Corporation!!.................................. 1,205 15,400 Brooktrout Inc.!!........................................ 95 43,700 C-COR.Net Corporation!!.................................. 786 54,600 Cable Design Technologies Corporation!!.................. 729 39,200 Captaris Inc.!!.......................................... 136 20,700 Concord Communications, Inc.!!........................... 438
VALUE SHARES (000) - -------------------------------------------------------------------------------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- (CONTINUED) 101,800 DMC Stratex Networks, Inc.!!............................. $ 554 72,900 Harmonic Inc.!!.......................................... 845 41,800 InterVoice-Brite, Inc.!!................................. 268 34,000 NYFIX, Inc.!!(a)......................................... 509 32,300 Rainbow Technologies, Inc.!!............................. 325 18,000 SBS Technologies, Inc.!!................................. 230 83,200 Stratos Lightwave, Inc.!!................................ 368 26,400 Three-Five Systems, Inc.!!............................... 391 16,600 Tollgrade Communications, Inc.!!......................... 407 32,100 ViaSat, Inc.!!........................................... 450 39,400 Visual Networks, Inc.!!(a)............................... 116 -------- 8,030 -------- OIL REFINING AND MARKETING -- 0.3% 18,400 CARBO Ceramics Inc. ..................................... 754 19,500 WD-40 Company............................................ 587 -------- 1,341 -------- OILFIELD SERVICES -- 1.1% 17,100 Atwood Oceanics, Inc.!!.................................. 785 40,300 Cal Dive International Inc.!!............................ 1,003 21,400 Dril-Quip, Inc.!!........................................ 549 31,100 Lone Star Technologies, Inc.!!........................... 709 27,600 Offshore Logistics, Inc.!!............................... 595 24,800 SEACOR SMIT Inc.!!....................................... 1,215 38,300 Veritas DGC Inc.!!(a).................................... 648 -------- 5,504 -------- PACKAGING AND CONTAINERS -- 0.6% 44,400 AptarGroup, Inc. ........................................ 1,556 19,000 Libbey Inc. ............................................. 732 17,400 Mobile Mini Inc.!!....................................... 560 -------- 2,848 -------- PAPER AND FOREST PRODUCTS -- 0.9% 43,000 Buckeye Technologies Inc.!!.............................. 443 34,400 Caraustar Industries, Inc. .............................. 359 18,700 Chesapeake Corporation................................... 508 14,800 Deltic Lumber Corporation................................ 448 19,300 Pope & Talbot Inc. ...................................... 283 18,300 Schweitzer-Mauduit International, Inc. .................. 455 41,900 United Stationers Inc.!!................................. 1,596 24,500 Universal Forest Products, Inc. ......................... 585 -------- 4,677 -------- PHARMACEUTICALS -- 3.0% 52,900 Alpharma Inc., Class A(a)................................ 756 25,100 ArQule Inc.!!............................................ 317 72,100 Bio-Technology General Corporation!!..................... 354 62,600 Cephalon, Inc.!!(a)...................................... 3,943 46,000 Cygnus, Inc.!!........................................... 180 35,200 Enzo Biochem, Inc.!!(a).................................. 713 37,800 Medicis Pharmaceutical Corporation, Class A!!............ 2,098 29,800 GI Pharma, Inc.!!........................................ 410 81,400 NBTY, Inc.!!............................................. 1,389 27,800 Noven Pharmaceuticals, Inc.!!............................ 577 64,300 Pharmaceutical Product Development, Inc.!!............... 2,241
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - -------------------------------------------------------------------------------- PHARMACEUTICALS -- (CONTINUED) 54,100 Regeneron Pharmaceuticals, Inc.!!(a)..................... $ 1,352 30,600 Syncor International Corporation!!(a).................... 834 -------- 15,164 -------- PUBLISHING AND ADVERTISING -- 0.9% 23,800 Advanced Marketing Services Inc. ........................ 571 40,900 Bowne & Company Inc. .................................... 575 16,300 Consolidated Graphics Inc.!!............................. 324 26,900 Information Holdings Inc.!!.............................. 775 36,000 John H. Harland Company.................................. 1,048 39,500 Penton Media, Inc.(a).................................... 298 34,100 The Standard Register Company............................ 959 17,800 Thomas Nelson, Inc....................................... 216 -------- 4,766 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.9% 30,200 Arkansas Best Corporation!!.............................. 839 62,001 Heartland Express, Inc.!!................................ 1,238 72,900 Kansas City Southern Industries, Inc.!!.................. 1,162 29,700 Kirby Corporation!!...................................... 888 9,900 Landstar System, Inc.!!.................................. 919 24,000 Roadway Express, Inc. ................................... 888 32,700 U.S. Freightways Corporation............................. 1,159 28,400 Wabash National Corporation.............................. 281 78,410 Werner Enterprises, Inc. ................................ 1,642 30,600 Yellow Corporation!!..................................... 808 -------- 9,824 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.6% 25,800 Colonial Properties Trust................................ 889 33,900 Kilroy Realty Corporation................................ 956 40,200 Shurgard Storage Centers, Inc. .......................... 1,363 -------- 3,208 -------- RESTAURANTS -- 3.5% 45,800 Applebees International Inc. ............................ 1,663 34,400 CEC Entertainment Inc.!!(a).............................. 1,589 25,500 IHOP Corporation!!....................................... 860 48,700 Jack in the Box Inc.!!................................... 1,444 27,400 Landry's Seafood Restaurants Inc. ....................... 629 29,800 Lone Star Steakhouse & Saloon, Inc. ..................... 623 27,800 Luby's Inc.!!............................................ 189 36,200 Marcus Corporation....................................... 584 23,100 O'Charley's Inc.!!....................................... 498 14,900 P.F. Changs China Bistro Inc.!!(a)....................... 993 17,500 Panera Bread Company, Class A!!.......................... 1,115 26,500 RARE Hospitality International, Inc.!!................... 674 79,700 Ruby Tuesday, Inc. ...................................... 1,852 37,700 Ryan's Family Steak Houses Inc.!!........................ 905 49,400 Sonic Corporation!!...................................... 1,270 59,900 The Cheesecake Factory, Inc.!!(a)........................ 2,209 34,400 The Steak n Shake Company!!.............................. 483 -------- 17,580 -------- SEMICONDUCTORS -- 5.8% 29,700 Actel Corporation!!...................................... 615 50,500 Alliance Semiconductor Corporation!!..................... 582 54,700 Alpha Industries, Inc.!!(a).............................. 834 37,500 ATMI, Inc.!!(a).......................................... 1,179 120,500 Axcelis Technologies, Inc.!!&&........................... 1,723
VALUE SHARES (000) - -------------------------------------------------------------------------------- SEMICONDUCTORS -- (CONTINUED) 27,700 AXT, Inc.!!.............................................. $ 296 24,700 Brooks Automation, Inc.!!(a)............................. 1,122 32,300 C&D Technologies, Inc. .................................. 679 54,200 Cognex Corporation!!..................................... 1,575 40,900 Cymer, Inc.!!(a)......................................... 2,032 22,000 Dupont Photomasks, Inc.!!................................ 1,144 28,600 Elantec Semiconductor, Inc.!!............................ 1,223 33,800 Electro Scientific Industries, Inc.!!(a)................. 1,239 26,100 Electroglas, Inc.!!...................................... 441 54,600 ESS Technology, Inc.!!(a)................................ 1,132 48,300 Exar Corporation!!....................................... 992 80,900 Kopin Corporation!!...................................... 737 60,800 Kulicke & Soffa Industries Inc.!!(a)..................... 1,265 35,300 Microsemi Corporation!!(a)............................... 576 24,100 Park Electrochemical Corporation......................... 699 31,200 Pericom Semiconductor Corporation!!...................... 441 20,900 Photon Dynamics, Inc.!!.................................. 1,064 37,500 Photronics, Inc.!!....................................... 1,265 34,500 Power Integrations, Inc.!!............................... 657 20,000 Rudolph Technologies, Inc.!!............................. 863 15,400 Supertex, Inc.!!......................................... 327 41,700 Technitrol, Inc. ........................................ 994 35,700 Therma-Wave Inc.!!....................................... 516 27,800 Ultratech Stepper, Inc.!!................................ 578 40,600 Varian Semiconductor Equipment Associates, Inc.!!........ 1,828 35,600 Veeco Instruments Inc.!!(a).............................. 1,246 216 Zilog, Inc.!!(b)......................................... 0++ -------- 29,864 -------- SOFTWARE -- 3.8% 51,500 American Management Systems!!............................ 962 17,800 Ansys, Inc.!!............................................ 482 39,300 Aspen Technology, Inc.!!(a).............................. 900 32,300 Avid Technology, Inc.!!.................................. 449 26,900 BARRA, Inc.!!............................................ 1,629 20,900 Bell Microproducts Inc.!!................................ 217 27,000 Carreker Corporation!!(a)................................ 235 43,200 Cerner Corporation!!(a).................................. 2,062 74,900 Ciber Inc.!!............................................. 685 48,900 Dendrite International, Inc.!!........................... 523 28,500 ePresence, Inc.!!........................................ 121 43,500 FileNET Corporation!!.................................... 743 43,600 HNC Software Inc.!!...................................... 732 40,600 Hyperion Solutions Corporation!!......................... 1,097 24,500 Kronos Inc.!!............................................ 1,151 18,400 MapInfo Corporation!!.................................... 184 52,700 Midway Games Inc.!!(a)................................... 709 28,100 MRO Software, Inc.!!..................................... 350 41,900 Netegrity, Inc.!!(a)..................................... 620 24,100 PC-Tel, Inc.!!........................................... 208 31,100 Phoenix Technologies Ltd.!!.............................. 425 44,300 Progress Software Corporation!!.......................... 804 23,800 Roxio, Inc.!!............................................ 540 20,700 SPSS, Inc.!!............................................. 363 45,500 Take-Two Interactive Software, Inc.!!(a)................. 915 30,500 THQ Inc.!!(a)............................................ 1,498 43,200 Verity, Inc.!!........................................... 764 -------- 19,368 --------
SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE SHARES (000) - -------------------------------------------------------------------------------- SPECIALTY STORES -- 6.1% 36,100 AnnTaylor Stores Corporation!!(a)........................ $ 1,560 54,900 Burlington Coat Factory Warehouse Corporation............ 1,057 30,800 Cato Corporation......................................... 686 50,300 Chico's FAS, Inc.!!(a)................................... 1,695 26,600 Cost Plus, Inc.!!(a)..................................... 728 15,900 Department 56, Inc.!!.................................... 223 22,500 Dress Barn, Inc.!!....................................... 666 17,000 Enesco Group, Inc.!!..................................... 117 24,600 Footstar, Inc.!!......................................... 750 37,300 Fossil, Inc.!!........................................... 992 40,200 Goody's Family Clothing Inc.!!........................... 316 35,300 Gymboree Corporation!!................................... 521 38,600 Hot Topic, Inc.!!(a)..................................... 807 51,500 Insight Enterprises, Inc.!!.............................. 1,166 23,100 Jo-Ann Stores Inc.!!..................................... 373 50,300 Linens 'N Things, Inc.!!(a).............................. 1,536 81,200 Michaels Stores, Inc.!!.................................. 3,068 65,000 O'Reilly Automotive Inc.!!............................... 2,052 40,500 Pacific Sunwear of California, Inc.!!.................... 996 63,600 PEP Boys - Manny, Moe & Jack............................. 1,058 115,600 Pier 1 Imports, Inc. .................................... 2,379 52,300 Regis Corporation........................................ 1,469 22,200 School Specialty, Inc.!!................................. 593 30,800 SCP Pool Corporation!!................................... 967 51,000 Stein Mart Inc.!!........................................ 511 52,400 The Men's Wearhouse, Inc.!!.............................. 1,224 38,800 Too Inc.!!............................................... 1,144 24,700 Wet Seal, Inc., Class A!!................................ 862 43,100 Zale Corporation!!....................................... 1,750 -------- 31,266 -------- TELECOMMUNICATIONS SERVICES -- 0.7% 37,600 Allen Telecom Inc.!!(a).................................. 251 64,100 Aspect Communications Corporation!!...................... 251 21,200 Boston Communications Group, Inc.!!...................... 183 16,100 Catapult Communications Corporation!!.................... 406 15,300 Davox Corporation!!...................................... 122 27,000 Digi International Inc.!!................................ 147 67,600 General Communication, Inc., Class A!!................... 588 29,800 Inter-Tel Inc. .......................................... 550 30,100 Metro One Telecommunications, Inc.!!..................... 764 27,400 Network Equipment Technologies Inc.!!.................... 141 27,600 SymmetriCom Inc.!!(a).................................... 171 -------- 3,574 -------- TOBACCO -- 0.1% 55,200 DiMon Inc. .............................................. 381 -------- UTILITIES -- MISCELLANEOUS -- 0.5% 12,500 American States Water Company............................ 441 84,400 Philadelphia Suburban Corporation........................ 1,983 -------- 2,424 -------- TOTAL COMMON STOCKS (Cost $430,571)........................................ 498,836 -------- SHARES VALUE (000) (000) - -------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 19.2% (Cost $97,364) 97,364 Nations Cash Reserves, Capital Class Shares#............. $ 97,364 TOTAL INVESTMENTS (Cost $527,935*)................................ 117.4% 596,200 -------- OTHER ASSETS AND LIABILITIES (NET)................ (17.4)% Cash..................................................... $ 23 Receivable for investment securities sold................ 160 Receivable for Fund shares sold.......................... 3,964 Dividends receivable..................................... 274 Interest receivable...................................... 12 Receivable for variation margin.......................... 10 Collateral on securities loaned.......................... (78,818) Payable for Fund shares redeemed......................... (673) Investment advisory fee payable.......................... (19) Administration fee payable............................... (92) Shareholder servicing and distribution fees payable...... (2) Payable for investment securities purchased.............. (13,005) Accrued Trustees' fees and expenses...................... (63) Accrued expenses and other liabilities................... (163) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................. (88,392) -------- NET ASSETS........................................ 100.0% $507,808 ======== NET ASSETS CONSIST OF: Undistributed net investment income...................... $ 160 Accumulated net realized loss on investments sold and futures contracts...................................... (4,036) Net unrealized appreciation of investments and futures contracts.............................................. 68,323 Paid-in capital.......................................... 443,361 -------- NET ASSETS............................................... $507,808 ========
SEE NOTES TO FINANCIAL STATEMENTS. 43 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) MARCH 31, 2002
VALUE - -------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($499,084,122 / 31,938,749 shares outstanding)......... $15.63 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($8,723,691 / 559,335 shares outstanding).............. $15.60 ========
- --------------- *Federal income tax information (see Note 11). !! Non-income producing security. && All or a portion of security segregated as collateral for futures contracts. ++Amount represents less than $500. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (Note 10). The portion that represents cash collateral is $78,818. (a) All or a portion of security was on loan at March 31, 2002. The aggregate cost and market value of securities on loan at March 31, 2002 is $64,476 and $75,771, respectively. (b) Fair valued security. SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS FUNDS STATEMENTS OF OPERATIONS For the year ended March 31, 2002
LARGECAP MANAGED MIDCAP SMALLCAP INDEX INDEX INDEX INDEX ----------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $115, $16, $0 and $1, respectively).............. $ 25,225 $ 4,234 $ 4,636 $ 2,610 Dividend income from affiliated funds.............. 922 135 375 249 Interest........................................... -- -- 24 15 Securities lending................................. 367 27 224 169 -------------- -------------- -------------- -------------- Total investment income........................ 26,514 4,396 5,259 3,043 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee............................ 7,557 1,310 1,831 1,422 Administration fee................................. 4,345 754 1,052 817 Transfer agent fees................................ 596 106 130 104 Custodian fees..................................... 155 46 32 125 Legal and audit fees............................... 105 110 97 115 Registration and filing fees....................... 27 31 52 37 Trustees fees and expenses......................... 29 29 29 29 Amortization of organization costs................. -- 1 -- 1 Interest expense................................... 1 3 -- --* Printing expense................................... 32 53 53 57 Other.............................................. 27 5 10 13 -------------- -------------- -------------- -------------- Subtotal....................................... 12,874 2,448 3,286 2,720 Shareholder servicing and distribution fees: Primary B Shares................................. -- --* -- -- Investor A Shares................................ 80 73 1 19 -------------- -------------- -------------- -------------- Total expenses................................. 12,954 2,521 3,287 2,739 Fees waived by investment advisor and/or distributor...................................... (6,260) (806) (1,683) (1,297) Fees reduced by credits allowed by the custodian... --* (1) (1) (1) -------------- -------------- -------------- -------------- Net expenses................................... 6,694 1,714 1,603 1,441 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME/(LOSS)....................... 19,820 2,682 3,656 1,602 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions**.......................... (21,272) 53,438 14,703 3,323 Written options.................................. -- 5,879 -- -- Futures contracts................................ 2,805 (4,641) (444) 135 Swap contracts................................... -- (76) -- -- Foreign currency transactions and net other assets......................................... -- (37) -- -- -------------- -------------- -------------- -------------- Net realized gain/(loss) on investments............ (18,467) 54,563 14,259 3,458 -------------- -------------- -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities....................................... (7,566) (51,262) 65,424 67,432 Written options.................................. -- 626 -- -- Futures contracts................................ 170 89 228 28 Investments sold short........................... -- 473 -- -- Swap contracts................................... -- 1,256 -- -- Foreign currency transactions and net other assets......................................... -- (90) -- -- -------------- -------------- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments....... (7,396) (48,908) 65,652 67,460 -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments...................................... (25,863) 5,655 79,911 70,918 -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................. $ (6,043) $ 8,337 $ 83,567 $ 72,520 ============== ============== ============== ==============
- --------------- * Amount represents less than $500. ** See Note 12 -- Bank Plan Redemption-In-Kind. SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
LARGECAP INDEX -------------------------------- YEAR ENDED YEAR ENDED 3/31/02 3/31/01 -------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 19,820 $ 22,471 Net realized gain/(loss) on investments..................... (18,467) (59,688) Net change in unrealized appreciation/(depreciation) of investments............................................... (7,396) (548,772) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ (6,043) (585,989) Distributions to shareholders from net investment income: Primary A Shares.......................................... (19,082) (22,206) Primary B Shares.......................................... -- -- Investor A Shares......................................... (262) (202) Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... -- (68) Primary B Shares.......................................... -- -- Investor A Shares......................................... -- (1) Net increase/(decrease) in net assets from Fund share transactions.............................................. (707,032) (197,856) -------------- -------------- Net increase/(decrease) in net assets....................... (732,419) (806,322) -------------- -------------- NET ASSETS: Beginning of year........................................... 2,049,107 2,855,429 -------------- -------------- End of year................................................. $ 1,316,688 $ 2,049,107 ============== ============== Undistributed net investment income at end of year.......... $ 605 $ 129 ============== ==============
- --------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MANAGED INDEX MIDCAP INDEX SMALLCAP INDEX - ----------------------------------- ------------------------------- ------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 3/31/02 3/31/01 3/31/02 3/31/01 3/31/02 3/31/01 - ------------------------------------------------------------------------------------------------------- $ 2,682 $ 3,287 $ 3,656 $ 3,214 $ 1,602 $ 1,234 54,563 59,363 14,259 45,275 3,458 23,443 (48,908) (173,582) 65,652 (9,293) 67,460 (31,496) -------------- -------------- -------------- -------------- -------------- -------------- 8,337 (110,932) 83,567 39,196 72,520 (6,819) (2,555) (2,955) (3,600) (3,184) (1,774) (889) --* --* -- -- -- -- (182) (167) (3) (1) (20) (12) (29,418) (66,923) (22,708) (32,829) (6,720) -- --* (1) -- -- -- -- (2,744) (6,128) (19) (1) (175) -- (136,090) (79,448) 280,373 339,537 180,995 66,499 -------------- -------------- -------------- -------------- -------------- -------------- (162,652) (266,554) 337,610 342,718 244,826 58,779 -------------- -------------- -------------- -------------- -------------- -------------- 378,202 644,756 342,718 -- 262,982 204,203 -------------- -------------- -------------- -------------- -------------- -------------- $ 215,550 $ 378,202 $ 680,328 $ 342,718 $ 507,808 $ 262,982 ============== ============== ============== ============== ============== ============== $ 224 $ 165 $ 81 $ 28 $ 160 $ 357 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
LARGECAP INDEX YEAR ENDED YEAR ENDED MARCH 31, 2002 MARCH 31, 2001 -------------------- ---------------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 10,289 $ 230,175 26,263 $ 724,134 Issued in exchange for assets of Boatmen's Trust Company Equity Index Fund (Note 12)............................. -- -- 3,147 86,357 Issued as reinvestment of dividends....................... 690 14,886 595 14,995 Redeemed.................................................. (43,330) (958,520) (37,361) (1,029,638) ------- --------- ------- ----------- Total net increase/(decrease)............................. (32,351) $(713,459) (7,356) $ (204,152) ======= ========= ======= =========== INVESTOR A SHARES: Sold...................................................... 1,053 $ 23,399 630 $ 16,616 Issued as reinvestment of dividends....................... 10 218 7 171 Redeemed.................................................. (783) (17,190) (410) (10,491) ------- --------- ------- ----------- Net increase/(decrease)................................... 280 $ 6,427 227 $ 6,296 ======= ========= ======= =========== Total net increase/(decrease)............................. (32,071) $(707,032) (7,129) $ (197,856) ======= ========= ======= ===========
SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MANAGED INDEX YEAR ENDED YEAR ENDED MARCH 31, 2002 MARCH 31, 2001 -------------------- ------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 4,715 $ 65,240 726 $ 13,552 Issued in exchange for Primary A Shares of Nations Managed Value Index Fund (Note 12).............................. -- -- 85 1,648 Issued as reinvestment of dividends....................... 1,267 19,401 2,159 39,299 Redeemed.................................................. (15,604) (216,096) (6,688) (130,821) ------- --------- ------ --------- Net increase/(decrease)................................... (9,622) $(131,455) (3,718) $ (76,322) ======= ========= ====== ========= PRIMARY B SHARES: Sold...................................................... --* $ 2 --* $ 1 Issued as reinvestment of dividends....................... --* --* --* 1 Redeemed.................................................. --* (7) --* --* ------- --------- ------ --------- Net increase/(decrease)................................... --* $ (5) --* $ 2 ======= ========= ====== ========= INVESTOR A SHARES: Sold...................................................... 277 $ 3,930 425 $ 8,026 Issued in exchange for Investor A Shares of Nations Managed Value Index Fund (Note 12)...................... -- -- 74 1,431 Issued as reinvestment of dividends....................... 162 2,499 302 5,489 Redeemed.................................................. (798) (11,059) (959) (18,074) ------- --------- ------ --------- Net increase/(decrease)................................... (359) $ (4,630) (158) $ (3,128) ======= ========= ====== ========= Total net increase/(decrease)............................. (9,981) $(136,090) (3,876) $ (79,448) ======= ========= ====== =========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 49 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MIDCAP INDEX YEAR ENDED YEAR ENDED MARCH 31, 2002 MARCH 31, 2001 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 49,996 $ 432,941 63,692 $ 568,046 Issued as reinvestment of dividends....................... 2,609 24,315 3,767 34,720 Redeemed.................................................. (20,467) (177,712) (26,650) (263,466) ------- --------- ------- --------- Net increase/(decrease)................................... 32,138 $ 279,544 40,809 $ 339,300 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 142 $ 1,223 66 $ 606 Issued as reinvestment of dividends....................... 2 22 --* 1 Redeemed.................................................. (50) (416) (40) (370) ------- --------- ------- --------- Net increase/(decrease)................................... 94 $ 829 26 $ 237 ======= ========= ======= ========= Total net increase/(decrease)............................. 32,232 $ 280,373 40,835 $ 339,537 ======= ========= ======= =========
- --------------- *Amount represents less than 500 shares. SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SMALLCAP INDEX YEAR ENDED YEAR ENDED MARCH 31, 2002 MARCH 31, 2001 -------------------- ------------------ SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 23,732 $ 337,382 9,786 $134,803 Issued in exchange for Primary A Shares of Nations Managed SmallCap Value Index Fund (Note 12)..................... -- -- 116 1,469 Issued as reinvestment of dividends....................... 241 3,530 26 361 Redeemed.................................................. (11,407) (160,878) (5,085) (69,176) ------- --------- ------ -------- Net increase/(decrease)................................... 12,566 $ 180,034 4,843 $ 67,457 ======= ========= ====== ======== INVESTOR A SHARES: Sold...................................................... 1,059 $ 15,171 218 $ 3,104 Issued in exchange for Investor A Shares of Nations Managed SmallCap Value Index Fund (Note 12)............. -- -- 94 1,191 Issued as reinvestment of dividends....................... 11 162 1 10 Redeemed.................................................. (1,004) (14,372) (383) (5,263) ------- --------- ------ -------- Net increase/(decrease)................................... 66 $ 961 (70) $ (958) ======= ========= ====== ======== Total net increase/(decrease)............................. 12,632 $ 180,995 4,773 $ 66,499 ======= ========= ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each year.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME (LOSS) INVESTMENTS FROM OPERATIONS INCOME ----------------------------------------------------------------------------- LARGECAP INDEX PRIMARY A SHARES Year ended 3/31/2002#..................... $22.35 $0.24 $(0.27) $(0.03) $(0.23) Year ended 3/31/2001#..................... 28.90 0.24 (6.55) (6.31) (0.24) Year ended 3/31/2000#..................... 25.06 0.26 4.09 4.35 (0.25) Year ended 3/31/1999...................... 22.41 0.26 3.63 3.89 (0.25) Year ended 3/31/1998#..................... 15.89 46 7.11 7.38 (0.27) INVESTOR A SHARES Year ended 3/31/2002#..................... $22.24 $0.18 $(0.26) $(0.08) $(0.18) Year ended 3/31/2001#..................... 28.76 0.17 (6.52) (6.35) (0.17) Year ended 3/31/2000#..................... 24.94 0.19 4.08 4.27 (0.19) Year ended 3/31/1999...................... 22.31 0.19 3.63 3.82 (0.20) Year ended 3/31/1998#..................... 15.87 0.21 7.05 7.26 (0.23) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- LARGECAP INDEX PRIMARY A SHARES Year ended 3/31/2002#..................... $ -- Year ended 3/31/2001#..................... (0.00)## Year ended 3/31/2000#..................... (0.26) Year ended 3/31/1999...................... (0.99) Year ended 3/31/1998#..................... (0.59) INVESTOR A SHARES Year ended 3/31/2002#..................... $ -- Year ended 3/31/2001#..................... (0.00)## Year ended 3/31/2000#..................... (0.26) Year ended 3/31/1999...................... (0.99) Year ended 3/31/1998#..................... (0.59)
- --------------- ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 52 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS RATIO OF AND/OR EXPENSE OPERATING REIMBURSEMENTS EXPENSES --------------- RATIO OF INCLUDING RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INTEREST INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES EXPENSE INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS RATE NET ASSETS - -------------------------------------------------------------------------------------------------------------------------- $(0.23) $22.09 (0.09)% $1,283,450 0.35%(a)(b) 0.00% 1.05% 7% 0.68%(a) (0.24) 22.35 (21.94) 2,021,690 0.35(a)(b) -- 0.88 8 0.68(a) (0.51) 28.90 17.58 2,826,486 0.35(a)(b) -- 0.96 7 0.71(a) (1.24) 25.06 18.26 933,313 0.35(a) -- 1.17 4 0.71(a) (0.86) 22.41 47.38 656,523 0.35(a) 0.36(a) 1.39 26 0.66(a) $(0.18) $21.98 (0.30)% $ 33,238 0.60%(a)(b) 0.00% 0.80% 7% 0.93%(a) (0.17) 22.24 (22.18) 27,417 0.60(a)(b) -- 0.63 8 0.93(a) (0.45) 28.76 17.32 28,943 0.60(a)(b) -- 0.71 7 0.96(a) (1.19) 24.94 18.00 13,827 0.60(a) -- 0.92 4 0.96(a) (0.82) 22.31 46.58 4,595 0.60(a) 0.61(a) 1.14 26 0.91(a)
SEE NOTES TO FINANCIAL STATEMENTS. 53 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- MANAGED INDEX PRIMARY A SHARES Year ended 3/31/2002#..................... $14.90 $0.12 $ 0.39 $ 0.51 $(0.12) Year ended 3/31/2001#..................... 22.04 0.13 (4.46) (4.33) (0.12) Year ended 3/31/2000#..................... 19.39 0.16 2.78 2.94 (0.16) Year ended 3/31/1999#..................... 17.14 0.18 2.40 2.58 (0.18) Year ended 3/31/1998...................... 11.89 0.15 5.42 5.57 (0.17) PRIMARY B SHARES Year ended 3/31/2002#..................... $14.99 $0.05 $ 0.38 $ 0.43 $(0.05) Year ended 3/31/2001#..................... 22.16 0.04 (4.49) (4.45) (0.03) Year ended 3/31/2000#..................... 19.38 0.06 2.78 2.84 (0.06) Year ended 3/31/1999#..................... 17.11 0.09 2.41 2.50 (0.08) Period ended 3/31/1998*................... 14.52 0.14 2.73 2.87 (0.13) INVESTOR A SHARES Year ended 3/31/2002#..................... $14.89 $0.08 $ 0.40 $ 0.48 $(0.09) Year ended 3/31/2001#..................... 22.04 0.08 (4.47) (4.39) (0.07) Year ended 3/31/2000#..................... 19.39 0.11 2.78 2.89 (0.11) Year ended 3/31/1999#..................... 17.14 0.14 2.39 2.53 (0.13) Year ended 3/31/1998...................... 11.89 0.14 5.40 5.54 (0.14) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- MANAGED INDEX PRIMARY A SHARES Year ended 3/31/2002#..................... $(1.29) Year ended 3/31/2001#..................... (2.69) Year ended 3/31/2000#..................... (0.13) Year ended 3/31/1999#..................... (0.15) Year ended 3/31/1998...................... (0.15) PRIMARY B SHARES Year ended 3/31/2002#..................... $(1.29) Year ended 3/31/2001#..................... (2.69) Year ended 3/31/2000#..................... -- Year ended 3/31/1999#..................... (0.15) Period ended 3/31/1998*................... (0.15) INVESTOR A SHARES Year ended 3/31/2002#..................... $(1.29) Year ended 3/31/2001#..................... (2.69) Year ended 3/31/2000#..................... (0.13) Year ended 3/31/1999#..................... (0.15) Year ended 3/31/1998...................... (0.15)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Managed Index Primary B Shares commenced operations on September 4, 1997. **Amount represents less than $500. # Per share net investment income has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 54 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) TO PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS - ----------------------------------------------------------------------------------------------------------------- $(1.41) $14.00 2.80% $190,130 0.50%(a)(b) 0.83% 345% 0.75%(a) (2.81) 14.90 (21.49) 345,795 0.50(a)(b) 0.67 97 0.70(a) (0.29) 22.04 15.33 593,317 0.50(a)(b) 0.80 64 0.72(a) (0.33) 19.39 15.25 665,631 0.50(a) 1.03 35 0.73(a) (0.32) 17.14 47.54 374,504 0.50(a)(b) 1.26 30 0.80(a) $(1.34) $14.08 2.17% $ --** 1.00%(a)(b) 0.33% 345% 1.35%(a) (2.72) 14.99 (21.90) 5 1.00(a)(b) 0.17 97 1.30(a) (0.06) 22.16 14.70 6 1.00(a)(b) 0.30 64 1.32(a) (0.23) 19.38 14.78 4 1.00(a) 0.53 35 1.33(a) (0.28) 17.11 18.24 3 1.00+(a)(b) 0.76+ 30 1.30+(a) $(1.38) $13.99 2.55% $ 25,420 0.75%(a)(b) 0.58% 345% 1.00%(a) (2.76) 14.89 (21.75) 32,402 0.75(a)(b) 0.42 97 0.95(a) (0.24) 22.04 15.04 51,433 0.75(a)(b) 0.55 64 0.97(a) (0.28) 19.39 14.97 51,439 0.75(a) 0.78 35 0.98(a) (0.29) 17.14 47.21 25,447 0.75(a)(b) 1.01 30 1.05(a)
SEE NOTES TO FINANCIAL STATEMENTS. 55 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- MIDCAP INDEX PRIMARY A SHARES Year ended 3/31/2002#..................... $ 8.39 $0.07 $ 1.46 $ 1.53 $(0.06) Period ended 3/31/2001*................... 10.00 0.08 (0.72) (0.64) (0.08) INVESTOR A SHARES Year ended 3/31/2002#..................... $ 8.41 $0.05 $ 1.46 $ 1.51 $(0.04) Period ended 3/31/2001*................... 9.55 0.05 (0.24) (0.19) (0.06) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- MIDCAP INDEX PRIMARY A SHARES Year ended 3/31/2002#..................... $(0.55) Period ended 3/31/2001*................... (0.89) INVESTOR A SHARES Year ended 3/31/2002#..................... $(0.55) Period ended 3/31/2001*................... (0.89)
- --------------- + Annualized. ++Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * MidCap Index Primary A and Investor A Shares were first offered on March 31, 2000 and May 31, 2000, respectively. # 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. 56 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS RATIO OF NET AND/OR EXPENSE OPERATING REIMBURSEMENTS EXPENSES --------------- RATIO OF INCLUDING RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INTEREST INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES EXPENSE INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS RATE NET ASSETS - ---------------------------------------------------------------------------------------------------------------------------------- $(0.61) $9.31 18.29% $679,205 0.35%(a) 0.00% 0.82% 16% 0.72%(a) (0.97) 8.39 (7.27) 342,503 0.35(a) 0.36(a) 0.82 69 0.75(a) $(0.59) $9.33 17.99% $ 1,123 0.60%(a) 0.00% 0.57% 16% 0.97%(a) (0.95) 8.41 (2.84) 215 0.60+(a) 0.60+(a) 0.57+ 69 1.00+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 57 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each year.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- SMALLCAP INDEX PRIMARY A SHARES Year ended 3/31/2002#..................... $13.24 $0.06 $ 2.73 $ 2.79 $(0.07) Year ended 3/31/2001#..................... 13.53 0.08 (0.31) (0.23) (0.06) Year ended 3/31/2000#..................... 11.04 0.04 2.49 2.53 (0.04) Year ended 3/31/1999#..................... 14.10 0.06 (2.92) (2.86) (0.06) Year ended 3/31/1998...................... 9.83 0.06 4.58 4.64 (0.06) INVESTOR A SHARES Year ended 3/31/2002#..................... $13.22 $0.03 $ 2.72 $ 2.75 $(0.04) Year ended 3/31/2001#..................... 13.52 0.04 (0.32) (0.28) (0.02) Year ended 3/31/2000#..................... 11.03 0.01 2.49 2.50 (0.01) Year ended 3/31/1999#..................... 14.08 0.03 (2.91) (2.88) (0.03) Year ended 3/31/1998...................... 9.82 0.03 4.57 4.60 (0.03) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- SMALLCAP INDEX PRIMARY A SHARES Year ended 3/31/2002#..................... $(0.33) Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... -- Year ended 3/31/1999#..................... (0.14) Year ended 3/31/1998...................... (0.31) INVESTOR A SHARES Year ended 3/31/2002#..................... $(0.33) Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... -- Year ended 3/31/1999#..................... (0.14) Year ended 3/31/1998...................... (0.31)
- --------------- ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 58 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS RATIO OF NET AND/OR EXPENSE OPERATING REIMBURSEMENTS EXPENSES --------------- RATIO OF INCLUDING RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INTEREST INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES EXPENSE INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS RATE NET ASSETS - ---------------------------------------------------------------------------------------------------------------------------- $(0.40) $15.63 21.30% $ 499,084 0.40%(a)(b) 0.00% 0.46% 18% 0.76%(a) (0.06) 13.24 (1.74) 256,465 0.41(a)(b) -- 0.56 65 0.79(a) (0.04) 13.53 22.97 196,593 0.50(a) 0.51(a) 0.35 53 0.77(a) (0.20) 11.04 (20.50) 189,379 0.50(a)(b) -- 0.52 65 0.82(a) (0.37) 14.10 47.71 102,437 0.50(a)(b) -- 0.52 62 1.02(a) $(0.37) $15.60 20.97% $ 8,724 0.65%(a)(b) 0.00% 0.21% 18% 1.01%(a) (0.02) 13.22 (2.06) 6,517 0.66(a)(b) -- 0.31 65 1.04(a) (0.01) 13.52 22.67 7,610 0.75(a) 0.76(a) 0.10 53 1.02(a) (0.17) 11.03 (20.67) 9,782 0.75(a)(b) -- 0.27 65 1.07(a) (0.34) 14.08 47.35 13,768 0.75(a)(b) -- 0.27 62 1.27(a)
SEE NOTES TO FINANCIAL STATEMENTS. 59 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS Nations Fund Trust (the "Trust") and Nations Funds Trust ("Funds Trust") are each registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. At March 31, 2002, the Trust offered thirty-three separate portfolios and Funds Trust offered eighteen separate portfolios. These financial statements pertain only to the four index portfolios of the Trust and Funds Trust: LargeCap Index Fund, Managed Index Fund, MidCap Index Fund and SmallCap Index Fund (each a "Fund" and collectively, the "Funds"). Financial statements for the other portfolios of the Trust and Funds Trust are presented under separate cover. The Funds currently offer two classes of shares: Primary A Shares and Investor A Shares. Managed Index Fund also offers Primary B Shares. Shareholders of a Fund have equal voting rights on matters affecting all shareholders of the Fund. In addition, each class of shares of a Fund has exclusive voting rights on matters that relate solely to that class and separate voting rights on matters in which the interests of one class differ from the interests of any other class. 1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. Securities valuation: Securities, including options and futures contracts, traded on a recognized exchange or on NASDAQ are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded only over-the-counter are valued at the last sale price, or if no sale occurred on such day, at the mean of the current bid and asked prices. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. Investments in other Nations Funds are valued at their net asset value determined as of the close of the New York Stock Exchange on the valuation date. Futures contracts: All Funds may invest in futures contracts for the purposes of hedging against changes in values of the Fund's securities or changes in the prevailing levels of interest rates or currency exchange rates or to gain exposure to the equity markets. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect changes in the market value of the contract. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, and the possibility that there may not be a liquid secondary market for the contracts, that a change in the value of the contract may not correlate with a change in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. Options: The Funds may purchase put options on stock index futures contracts, stock indices or equity securities for the purpose of hedging the relevant portion of their portfolio securities against an anticipated market-wide decline or against declines in the values of individual portfolio securities, and may purchase call options on such futures contracts as a hedge against a market advance when they are not fully invested. A Fund may write options on such futures contracts primarily for the purpose of terminating existing positions. The Funds may also engage these techniques for non-hedging purposes such as seeking yield enhancement. The Funds may write covered call options and put options on securities in which they are permitted to invest from time to time in seeking to attain each Fund's objective. Call options written by a Fund give the holder the right to buy the underlying securities from the Fund at a stated exercise price; put options give the holder the right to sell the underlying security to the Fund at a stated price. In the case of put options, a Fund is 60 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) required to maintain in a separate account liquid assets with a value equal to or greater than the exercise price of the underlying securities. The Funds may also write combinations of covered puts and calls on the same underlying security. When the Fund purchases an option it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. The Funds typically receive a premium from writing a put or call option, which would increase the Funds' return in the event the option expires unexercised or is closed out at a profit. The amount of the premium would reflect, among other things, the relationship of the market price of the underlying security to the exercise price of the option, the term of the option and the volatility of the market price of the underlying security. By writing a call option, a Fund limits its opportunity to profit from any increase in the market value of the underlying security above the exercise price of the option. By writing a put option, a Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss if the purchase price exceeds the market value plus the amount of the premium received. A Fund may terminate an option that it has written prior to its expiration by entering into a closing purchase transaction in which it purchases an option having the same terms as the option written. The Fund will realize a profit or loss from such transaction if the cost of such transaction is less or more than the premium received from the writing of the option. In the case of a put option, any loss so incurred may be partially or entirely offset by the premium received from a simultaneous or subsequent sale of a different put option. Because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from the repurchase of a call option is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by a Fund. Swaps: The Funds may engage in swap transactions such as interest rate, total return, index or currency swaps, consistent with its investment objective and policies. Swaps involve the exchange by the Fund with another party of their respective commitments to pay or receive interest or total return throughout the lives of the agreements. The interest to be paid or received on interest rate swaps is included in dividend income. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of net assets. A realized gain or loss is recorded upon termination of swap agreements and is equal to the difference between the Fund's basis in the swap and the proceeds from (or cost of) the closing transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that the swap contract counterparties will be able to meet their obligations pursuant to the swap contracts or that, in the event of default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to the swap contracts. The creditworthiness of the swap contract counterparties is closely monitored in order to minimize this risk. The use of derivative instruments involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statement of net assets. Delayed delivery securities: Securities purchased or sold on a delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Fund enters into such transactions, it instructs its custodian to segregate assets with a current value at least equal to the amount of its delayed-delivery purchase commitments. Securities transactions and investment income: Securities transactions are recorded on trade date. Realized gains and losses are computed based on the specific identification of securities sold. Interest income, adjusted for accretion of discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income is recorded on ex- dividend date. Each Fund's investment income and realized and unrealized gains and losses are allocated among its share classes based upon the relative net assets of each class of shares. Dividends and distributions to shareholders: Distributions from net investment income are declared and paid each month by the Managed Index Fund; all 61 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) other Funds declare and pay distributions each calendar quarter. Each Fund will distribute net realized capital gains (including net short-term capital gains, if any) at least annually after the fiscal year in which the capital gains were earned, unless offset by any available capital loss carryforward. Income distributions and capital gain distributions on a Fund level are determined in accordance with federal income tax regulations which may differ from accounting principles generally accepted in the United States of America. Federal income tax: Each Fund intends to continue to qualify as a regulated investment company by complying with the applicable requirements of the Internal Revenue Code of 1986, as amended, and by distributing substantially all of its earnings to its shareholders. Therefore, no provision is made for federal income or excise taxes. Expenses: General expenses of the Trust and Funds Trust are allocated to the Funds based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Fund or class of shares are charged to such Fund or class. The Managed Index and SmallCap Index Funds bore costs in connection with their organization, including the fees and expenses of registering and qualifying their shares for distribution under federal and state securities regulations. All such costs were amortized on a straight line basis over a period of five years from commencement of operations. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Each of the Trust and Funds Trust has entered into an investment advisory agreement (the "Investment Advisory Agreements") 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 Funds. Under the terms of the Investment Advisory Agreements, BA Advisors is entitled to receive an advisory fee, calculated daily and payable monthly, at the maximum annual rate of 0.40% of each Fund's average daily net assets. Each of the Trust and Funds Trust has entered into a sub-advisory agreement with BA Advisors and Banc of America Capital Management, LLC ("BACAP"), a wholly-owned subsidiary of Bank of America, pursuant to which BACAP is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.10% of each Fund's average daily net assets. Stephens Inc. ("Stephens") and BA Advisors serve as co-administrators of the Trust 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 0.23% of each Fund's average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of the Trust and Funds Trust pursuant to agreements with BA Advisors. For the year ended March 31, 2002, Stephens and BA Advisors earned 0.08% and 0.10%, respectively, of the Funds' average daily net assets for their co-administration services. BA Advisors and/or the sub-adviser and/or Stephens may, from time to time, reduce their fees payable by each Fund. During the year ended March 31, 2002 and until July 31, 2002, BA Advisors and/or the sub-adviser and/or Stephens have agreed to reimburse expenses and/or waive their fees to the extent that total expenses (excluding shareholder servicing and distribution fees), as a percentage of the respective Fund's average daily net assets, exceed the following annual rates:
FUND ANNUAL RATE - ---------------------------------------------------------- LargeCap Index Fund and MidCap Index Fund.... 0.35% SmallCap Index Fund.......................... 0.40% Managed Index Fund........................... 0.50%
BNY serves as the custodian of the Trust's and Funds Trust's assets. For the year ended March 31, 2002, expenses of the Funds were reduced by $2,930 under expense offset arrangements with BNY. The Funds could have invested a portion of the assets utilized in connection with the expense offset arrangements in an income producing asset if they had not entered into such arrangements. PFPC Inc. ("PFPC") serves as the transfer agent for the Funds' shares. Bank of America serves as the sub-transfer agent for the Primary A and Primary B Shares of the Funds. For the year ended March 31, 2002, Bank of America earned approximately $23,991 for providing such services. Stephens also serves as distributor of the Funds' shares. No officer, director or employee of Bank of America, BA Advisors or BACAP, or any affiliate thereof, receives any 62 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) compensation from the Trust and Funds Trust for serving as Trustee or Officer of the Trust and Funds Trust. The Trust's and Funds Trust's eligible Trustees may participate in non-qualified deferred compensation and retirement plans which may be terminated at any time. All benefits provided under these plans are unfunded and any payments to plan participants are paid solely out of the Funds' assets. Income earned on each plan participant's deferral account is based on the rate of return of the eligible mutual funds selected by the participants or, if no funds are selected, on the rate of return of Nations Treasury Fund, a portfolio of Nations Fund, Inc., another registered investment company in the Nations Funds family. The expense for the deferred compensation and retirement plans is included in "Trustees' fees and expenses" in the Statements of operations. Effective January 1, 2002, the retirement plan was terminated. The Trust's and Funds Trust's eligible Trustees had the option of a rollover into the deferred compensation plan on January 1, 2002 or a lump sum distribution, including interest, on January 1, 2003. Certain Funds have made daily investments of cash balances in Nations Cash Reserves, a portfolio of Nations Reserves, pursuant to an exemptive order received from the Securities and Exchange Commission. The income earned by each Fund from such investments is included in its Statement of operations as "Dividend income from affiliated funds". A significant portion of each Fund's Primary A Shares represents investments by fiduciary accounts over which Bank of America has either sole or joint investment discretion. 3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS The Trust has adopted a shareholder administration plan for Primary B Shares of the Managed Index Fund. Each of the Trust and Funds Trust has adopted a combined shareholder servicing and distribution plan for the Investor A Shares of each Fund. The shareholder administration plan permits the Managed Index Fund to compensate institutions for shareholder administration services provided to customers that own Primary B Shares. The shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. The distribution plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to compensate or reimburse the distributor and/or selling agents for activities or expenses primarily intended to result in the sale of the classes' shares. Payments are made at an annual rate, as a percentage of average daily net assets, set from time to time by the Board of Trustees, and are charged as expenses of each Fund directly to the applicable class. A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BA Advisors. For the year ended March 31, 2002, the annual rates in effect and plan limits, as a percentage of average daily net assets, were as follows:
CURRENT RATE (AFTER FEE PLAN WAIVERS) LIMIT ------------------- PRIMARY B SHAREHOLDER ADMINISTRATION PLAN: Managed Index Fund............... 0.50%* 0.60% INVESTOR A COMBINED SHAREHOLDER SERVICING AND DISTRIBUTION PLAN............................. 0.25% 0.25%
- --------------- *During the year ended March 31, 2002 and until July 31, 2002 Stephens has agreed to waive Primary B Shareholder Administration fees as a percentage of the Managed Index Fund's average daily net assets at an annual rate of 0.10%. 4. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the year ended March 31, 2002 were as follows:
PURCHASES SALES (000) (000) ------------------------ LargeCap Index.............. $ 133,930 $ 812,689 Managed Index............... 1,087,095 1,356,944 MidCap Index................ 450,657 201,259 SmallCap Index.............. 285,845 119,388
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the year ended March 31, 2002 were as follows:
PURCHASES SALES (000) (000) -------------------- Managed Index..................... $44,286 $11,310
63 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 5. FUTURES CONTRACTS At March 31, 2002, the following Funds had futures contracts open:
UNREALIZED VALUE OF CONTRACT MARKET VALUE OF APPRECIATION/ NUMBER OF WHEN OPENED CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) - ----------------------------------------------------------------------------------------------------------------------------- LARGECAP INDEX: S&P 500 Futures (long position) Expiring June 2002(a)....... 51 $14,817 $14,652 $(165) MANAGED INDEX: S&P 500 Futures (long position) Expiring June 2002(a)....... 22 6,249 6,321 72 MIDCAP INDEX: MidCap 400 Futures (long position) Expiring June 2002(a).... 35 9,381 9,493 112 SMALLCAP INDEX: Russell 200 Futures (long position) Expiring June 2002(a)... 24 6,032 6,090 58
- --------------- (a)Securities have been segregated as collateral for each Fund's open futures contracts. 6. WRITTEN OPTIONS Written options for the Managed Index Fund for the year ended March 31, 2002 aggregated the following:
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS CONTRACTS (000) - -------------------------------------------------------- Options outstanding at March 31, 2001........................... 0 $ 0 Options written.................. 18,060 4,632 Options terminated in closing purchase transactions.......... (2,045) (3,149) Options expired.................. (6,000) (730) ------ ------- Options outstanding at March 31, 2002........................... 10,015 $ 753 ====== =======
7. SWAP CONTRACTS At March 31, 2002, the Managed Index Fund had the following swap contracts outstanding:
UNREALIZED NOTIONAL FLOATING RATE/ FLOATING RATE/ APPRECIATION/ AMOUNT FIXED RATE PAYMENTS FIXED RATE PAYMENTS (DEPRECIATION) DESCRIPTION (000) MADE BY THE FUND RECEIVED BY THE FUND (000) - --------------------------------------------------------------------------------------------------------------------------------- Contract with Merrill Lynch, effective April 3, 2002, expiring April 3, 2007(a).............................. $10,000 0.320% 0.520% $ -- Contract with Commerzbank, effective February 26, 2002, expiring February 26, 2014(a).......................... 5,750 5.690 3-month LIBOR 244 Contract with Commerzbank, effective June 3, 2002, expiring January 15, 2030(a)........................... 10,500 6.076 3-month LIBOR 503 Contract with Commerzbank, effective October 26, 2001, expiring January 15, 2030(a)........................... 10,720 5.846 3-month LIBOR 756 Contract with Commerzbank, effective February 26, 2002, expiring February 26, 2009(a).......................... 17,000 3-month LIBOR 5.183 (565) Contract with Commerzbank, effective February 26, 2002, expiring February 26, 2004(a).......................... 25,500 3-month LIBOR 3.345 318 ------ Total net unrealized appreciation........................ $1,256 ======
- --------------- (a)Fair valued security. 64 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 8. SHARES OF BENEFICIAL INTEREST As of March 31, 2002, an unlimited number of shares of beneficial interest without par value were authorized for each of the Trust and Funds Trust. The Trust's and Funds Trust's Declarations of Trust authorize the Board of Trustees to classify or reclassify any authorized but unissued shares into one or more additional classes or series of shares. See Schedules of capital stock activity. 9. LINES OF CREDIT The Trust and Funds Trust each participate with other Nations Funds in a $1 billion uncommitted line of credit provided by BNY under a line of credit agreement (the "Agreement"). Advances under the Agreement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable at a specified Federal Funds rate plus 0.50% on an annualized basis. Each participating Fund maintains a ratio of net assets (not including amounts borrowed pursuant to the Agreement) to the aggregate amount of indebtedness pursuant to the Agreement of no less than 4 to 1. At March 31, 2002, there were no loans outstanding under this Agreement. For the year ended March 31, 2002, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING INTEREST FUND (000) RATE - ----------------------------------------------------------- LargeCap Index.................... $39 3.31% Managed Index..................... 82 3.27 SmallCap Index.................... 3 5.49
The average amount outstanding was calculated based on daily balances in the period. 10. SECURITIES LENDING Under an agreement with BNY, the Funds can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned. The cash collateral received is invested in Nations Cash Reserves. A portion of the income generated by the investment of the collateral, net of any rebates paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder is paid to the Fund. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. There would be a potential loss to the Fund in the event the Fund is delayed or prevented from exercising its right to dispose of the collateral. The Fund bears the risk of loss with respect to the investment of collateral. At March 31, 2002, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) - ---------------------------------------------------------------- LargeCap Index.............. $276,626 $286,690 Managed Index............... 17,575 20,261 MidCap Index................ 157,580 163,317 SmallCap Index.............. 75,771 78,818
11. INCOME TAXES Information on the tax components of capital is as follows:
NET TAX UNREALIZED APPRECIATION/ (DEPRECIATION) NET TAX ON UNDISTRIBUTED UNREALIZED DERIVATIVES ORDINARY COST OF APPRECIATION/ AND FOREIGN INCOME/ INVESTMENTS GROSS TAX GROSS TAX (DEPRECIATION) CURRENCY (ACCUMULATED FOR TAX UNREALIZED UNREALIZED ON AND NET OTHER ORDINARY PURPOSES APPRECIATION DEPRECIATION INVESTMENTS ASSETS LOSS) FUND (000) (000) (000) (000) (000) (000) - -------------------------------------------------------------------------------------------------------------------------- LargeCap Index............. $1,535,425 $318,787 $(251,200) $67,587 $ -- $ 605 Managed Index.............. 235,759 45,689 (8,163) 37,526 2,265 5,370 MidCap Index............... 790,588 97,955 (49,086) 48,869 -- 126 SmallCap Index............. 534,364 94,454 (32,618) 61,836 -- 160 UNDISTRIBUTED LONG-TERM GAINS/ (ACCUMULATED CAPITAL LOSS) FUND (000) - --------------------------- -------------- LargeCap Index............. $(95,403) Managed Index.............. 3,561 MidCap Index............... 7,103 SmallCap Index............. 2,451
65 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) At March 31, 2002, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING IN EXPIRING IN 2009 2010 FUND (000) (000) - ---------------------------------------------------------------------------------------- LargeCap Index.............................................. $31,209 $39,881
Under the current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the fiscal year ended March 31, 2002, the following Funds elected to defer losses occurring between November 1, 2001 and March 31, 2002 under these rules, as follows:
CAPITAL LOSSES DEFERRED FUND (000) - ---------------------------------------------------------------------- LargeCap Index.............................................. $24,313
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2003. The tax composition of dividends (other than return of capital dividends for the year) was as follows:
LONG-TERM ORDINARY CAPITAL INCOME GAINS FUND (000) (000) - ----------------------------------------------------------------------------------------- LargeCap Index.............................................. $19,342 $ -- Managed Index............................................... 2,737 32,163 MidCap Index................................................ 3,603 22,727 SmallCap Index.............................................. 1,795 6,894
Certain reclassifications are made to each Fund's capital accounts to reflect income and gains available for distribution (or available capital loss carryforwards) under federal income tax regulations. These reclassifications are due primarily to different book and tax accounting for futures contracts, the redemption in kind and use of the tax accounting practice known as equalization. 12. REORGANIZATIONS On May 12, 2000, the Managed Index Fund and the SmallCap Index Fund (each an "Acquiring Fund"), acquired the assets and assumed the liabilities of the Nations Managed Value Index Fund and the Nations Managed SmallCap Value Index Fund, respectively, (each an "Acquired Fund"), in a tax-free reorganization in exchange for shares of the respective Acquiring Fund, pursuant to a plan of reorganization approved by the respective Acquired Fund's shareholders. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation as of the reorganization date were as follows:
TOTAL NET ASSETS TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND ACQUIRED FUND OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION UNREALIZED APPRECIATION ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) - ---------------------------------------------------------------------------------------------------------------------------- Managed Index Managed Value Index Fund $3,079 $571,572 $574,651 $536 SmallCap Index Managed SmallCap Value Index Fund 2,660 188,836 191,096 94
CONVERSION OF COMMON TRUST FUNDS On May 12, 2000, the LargeCap Index Fund (the "Acquiring Fund"), acquired the assets of Boatmen's Trust Company Equity Index Fund, a common trust fund, managed by Bank of America, N.A. (the "Acquired Fund"), in a tax-free exchange for shares of the Acquiring Fund. The number and value of shares issued by the Acquiring Fund are presented 66 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) in the Schedules of capital stock activity. Net assets and unrealized appreciation as of the conversion date were as follows:
ACQUIRED TOTAL NET ASSETS OF FUND TOTAL NET ASSETS OF TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED ACQUIRED FUND ACQUIRING FUND AFTER CONVERSION APPRECIATION (000) (000) (000) (000) - ------------------------------------------------------------------------------ $86,357 $2,700,937 $2,787,294 $56,303
BANK PLAN REDEMPTION-IN-KIND On January 11, 2002, certain Separate Accounts, as listed in the left column below redeemed shares and acquired net assets from Primary A Shares of certain Nations Funds, listed in the right column below. The number and value of shares redeemed by each Nations Fund are included in the Schedules of capital stock activity. Shares redeemed, acquired net assets and realized gain/loss as of the conversion date were as follows:
SHARES TOTAL NET ASSETS REDEEMED/TRANSFERRED REDEEMED/TRANSFERRED REALIZED TO BANK PLAN TO BANK PLAN GAIN/LOSS BANK PLAN SEPARATE ACCOUNTS NATIONS FUND (000) (000) (000) - -------------------------------------------------------------------------------------------------------- S&P 499 Separate Account LargeCap Index 31,578 $696,920 $45,612 Managed Index Separate Managed Index Account 11,709 161,347 36,201 MidCap Index Separate MidCap Index Account 15,132 132,408 4,887 SmallCap Index Separate SmallCap Index Account 3,900 57,297 5,938
13. 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. On March 27, 2002, shareholders of each Fund approved the reorganization. The reorganization occurred on May 10, 2002. At that time, shares of each Fund were exchanged for shares of equal value of the newly created successor fund. The principal effect of this reorganization was to redomicile the Funds in Delaware, under a Delaware business trust structure that management believes provides greater flexibility and efficiency in certain corporate and organizational matters.
FUND REORGANIZED INTO A NEWLY CREATED SUCCESSOR FUND - ------------------------------------------------------------------------ LargeCap Index LargeCap Index Managed Index Managed Index SmallCap Index SmallCap Index
67 NATIONS FUNDS REPORT OF INDEPENDENT ACCOUNTANTS TO THE SHAREHOLDERS AND TRUSTEES OF NATIONS FUND TRUST AND NATIONS FUNDS TRUST In our opinion, the accompanying statements of net assets, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Nations LargeCap Index Fund, Nations Managed Index Fund, Nations MidCap Index Fund and Nations SmallCap Index Fund, (constituting part of Nations Fund Trust or Nations Funds Trust, hereafter referred to as the "Funds") at March 31, 2002, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at March 31, 2002 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York May 17, 2002 68 NATIONS FUND TAX INFORMATION (UNAUDITED) For the fiscal year ended March 31, 2002, the amount of long-term capital gains designated by the Trust and Funds Trust were as follows:
FUND TOTAL - ------------------------------------------------------------------------- Managed Index............................................... $35,229,824 MidCap Index................................................ 24,795,729 SmallCap Index.............................................. 7,686,225
Of the ordinary income (including short-term capital gain) distributions made by the Trust and Funds Trust during the fiscal year ended March 31, 2001, the following percentages qualify for the dividend received deduction available to corporate shareholders: LargeCap Index.............................................. 100.00% Managed Index............................................... 100.00% MidCap Index................................................ 100.00% SmallCap Index.............................................. 100.00%
69 NATIONS FUNDS FUND GOVERNANCE (UNAUDITED) The Boards of Trustees/Directors (the "Boards") of Nations Fund Trust, Nations Fund, Inc., Nations Reserves, Nations Funds Trust and Nations Master Investment Trust (the "Companies") oversee their funds to ensure that they are managed and operated in the interests of shareholders. This annual report may relate to Funds of one or more of the Companies. Please see the introduction for the Notes to financial statements for information about which Funds and which Companies are applicable to this annual report. A majority of the Trustees/Directors ("Board Members") are "independent," meaning that they have no affiliation with Bank of America, N.A., its affiliates, or the funds, apart from the personal investments that most Board Members have made in certain of the funds as private individuals. The Board Members bring distinguished backgrounds in government, business, academia and public service to their task of working with Company officers to establish the policies and oversee the activities of the funds. Although all Board Members are charged with the fiduciary duty of protecting shareholders interests when supervising and overseeing the management and operations of the Companies, the independent Board Members have particular responsibilities for assuring that the Companies are managed in the best interests of fund shareholders. The following table provides basic information about the Board Members and Officers of the Companies. The mailing address of each Board Member is c/o Nations Funds, 101 South Tryon Street, 33rd Floor, Charlotte, North Carolina 28255. Each Board Member and Officer serves in identical capacities for each Company (except for Mr. Carmichael, who serves in an advisory capacity for certain Companies) and serves an indefinite term, subject to retirement from service as required (pursuant to each Company's retirement policy) at the end of the calendar year in which a Board Member turns 72, provided that any Board Member who served on any of the Boards as of February 22, 2001, and who reached the age of 72 no later than the end of that calendar year, may continue to serve until the end of the calendar year in which such Trustee reaches age 75 and may continue to serve for successive annual periods thereafter upon the vote of a majority of the other Board Members.
NAME, AGE AND POSITION TERM OF OFFICE AND PRINCIPAL OCCUPATION(S) DURING NUMBER OF FUNDS IN WITH THE COMPANIES LENGTH OF TIME SERVED THE PAST FIVE YEARS FUND COMPLEX OVERSEEN - ---------------------------------------------------------------------------------------------------------- INDEPENDENT BOARD MEMBERS William P. Carmichael Indefinite term; Senior Managing Director of The 41 (50 others in an Age: 58 Board Member since Succession Fund (a company formed advisory capacity Board Member (Nations 1999 to advise and buy family owned only) Funds Trust and companies) from 1998 through Nations Master April 2001. Investment Trust only) William H. Grigg Indefinite term; Retired; Chairman Emeritus since 95 Age: 69 Board Member since July 1997, Chairman and Chief Board Member 1991 Executive Officer through July 1997 -- Duke Power Co. Thomas F. Keller Indefinite term; R.J. Reynolds Industries 95 Age: 70 Board Member since Professor of Business Board Member 1991 Administration, Fuqua School of Business, Duke University, since July 1974; Dean, Fuqua School of Business Europe, Duke University, July 1999 through June 2001 Carl E. Mundy, Jr. Indefinite term; President and Chief Executive 91 Age: 66 Board Member since Officer -- USO from May 1996 to Board Member 1996 May 2000; Commandant -- United States Marine Corps from July 1991 to July 1995; Member, Board of Advisors to the Comptroller General of the United States; Chairman, Board of Trustees, Marine Corps University Foundation; Dr. Cornelius J. Pings Indefinite term; Retired; President, Association 91 Age: 73 Board Member since of American Universities through Board Member 1999 June 1998. NAME, AGE AND POSITION WITH THE COMPANIES OTHER DIRECTORSHIPS HELD - ---------------------- --------------------------------- INDEPENDENT BOARD MEMB William P. Carmichael Director -- Cobra Electronics Age: 58 Corporation (electronic equipment Board Member (Nations manufacturer), Opta Food Funds Trust and Ingredients, Inc. (food Nations Master ingredients manufacturer) and Investment Trust only) Golden Rule Insurance Company since May, 1994; Board Member, Nations Funds Family (4 registered investment companies) William H. Grigg Director, The Shaw Group, Inc.; Age: 69 and Director and Vice Chairman, Board Member Aegis Insurance Services, Ltd. (a mutual fund insurance company in Bermuda); Board Member, Nations Funds Family (11 registered investment companies) Thomas F. Keller Director, Wendy's International, Age: 70 Inc. (restaurant operating and Board Member franchising); Director, Dimon, Inc. (tobacco); and Director, Biogen, Inc. (pharmaceutical biotechnology); Board Member, Nations Funds Family (11 registered investment companies) Carl E. Mundy, Jr. Director -- Shering-Plough Age: 66 (pharmaceuticals and health care Board Member products); General Dynamics Corporation (defense systems); Board Member, Nations Funds Family (7 registered investment companies) Dr. Cornelius J. Pings Director, Farmers Group, Inc. Age: 73 (insurance company); Board Board Member Member, Nations Funds Family (7 registered investment companies)
70 NATIONS FUNDS FUND GOVERNANCE (CONTINUED) (UNAUDITED)
NAME, AGE AND POSITION TERM OF OFFICE AND PRINCIPAL OCCUPATION(S) DURING NUMBER OF FUNDS IN WITH THE COMPANIES LENGTH OF TIME SERVED THE PAST FIVE YEARS FUND COMPLEX OVERSEEN - ---------------------------------------------------------------------------------------------------------- Charles B. Walker Indefinite term; Vice Chairman and Chief Financial 91 Age: 63 Board Member since Officer -- Albemarle Corporation Board Member 1985 (chemical manufacturing) INTERESTED BOARD MEMBERS(1) Edmund L. Benson, III Indefinite term; Director, President and 91 Age: 65 Board Member since Treasurer, Saunders & Benson, Board Member 1985 Inc. (insurance) James B. Sommers Indefinite term; Retired 91 Age: 63 Board Member since Board Member 1997 A. Max Walker Indefinite term; Independent Financial Consultant 95 Age: 80 Board Member since President, Chairman of inception the Boards and Board Member Thomas S. Word, Jr. Indefinite term; Partner -- McGuire, Woods, Battle 91 Age: 63 Board Member since & Boothe LLP (law firm) Board Member 1985 OTHER OFFICERS Richard H. Blank, Jr. Indefinite term; Senior Vice President since 1998, N/A Age: 44 Secretary since 1993 and Vice President from 1994 to Stephens Inc. and Treasurer since 1998 -- Mutual Fund Services, 111 Center Street 1998 Stephens Inc.; Secretary since Little Rock, AR 72201 September 1993 and Treasurer Secretary and since November 1998 -- Nations Treasurer Funds Family (7 other registered investment companies) NAME, AGE AND POSITION WITH THE COMPANIES OTHER DIRECTORSHIPS HELD - ---------------------- --------------------------------- Charles B. Walker Director -- Ethyl Corporation Age: 63 (chemical manufacturing); Board Board Member Member, Nations Funds Family (7 registered investment companies) INTERESTED BOARD MEMBE Edmund L. Benson, III Director, Insurance Managers Inc. Age: 65 (insurance); Board Member, Board Member Nations Funds Family (7 registered investment companies) James B. Sommers Chairman -- Central Piedmont Age: 63 Community College Foundation; Board Member Director, Board of Commissioners, Charlotte/Mecklenberg Hospital Authority; Trustee, Central Piedmont Community College, Mint Museum of Art; Board Member, Nations Funds Family (7 registered investment companies) A. Max Walker President, Chairman and Board Age: 80 Member, Nations Funds Family (7 President, Chairman of registered investment companies) the Boards and Board Chairman and Board Member, Member Nations Funds Family (4 registered investment companies) Thomas S. Word, Jr. Director -- Vaughan-Bassett Age: 63 Furniture Company, Inc. Board Member (furniture); Board Member, Nations Funds Family (7 registered investment companies) OTHER OFFICERS Richard H. Blank, Jr. N/A Age: 44 Stephens Inc. 111 Center Street Little Rock, AR 72201 Secretary and Treasurer
- --------------- (1) Basis of Interestedness. Mr. Benson's step-son is an employee of Bank of America, the parent of BA Advisors. Mr. Sommers own securities of Bank of America Corporation, the parent holding company of BA Advisors. Mr. Word is affiliated with a law firm which provides services to Bank of America and certain of its affiliates. Mr. A. Max Walker is an Interested Board Member by virtue of the fact that he also serves as President of the Companies. More information about the Board Members is available in the Statement of Additional Information, which is available at no charge from Nations Funds. 71 [This page intentionally left blank] [This page intentionally left blank] THE NATIONS FUNDS FAMILY OF FUNDS 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(1) Nations Cash Reserves Nations Money Market Reserves Nations Government Money Market Fund(2) Nations Government Reserves Nations Treasury Fund(3) Nations Treasury Reserves Nations Tax Exempt Fund(4) Nations Municipal Reserves Nations California Tax-Exempt Reserves Nations New York 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)(5) 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 STOCK 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(6) Nations Aggressive Growth Fund(7) Nations Capital Growth Fund Nations Strategic Growth Fund BLEND FUNDS Nations Blue Chip Fund(8) Nations Asset Allocation Fund Nations Equity Income Fund(9) VALUE FUNDS Nations MidCap Value Fund Nations Value Fund Nations LargeCap 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 1 Effective May 10, 2002, the fund reorganized into Nations Cash Reserves. 2 Effective May 10, 2002, the fund reorganized into Nations Government Reserves. 3 Effective May 10, 2002, the fund reorganized into Nations Treasury Reserves. 4 Effective May 10, 2002, the fund reorganized into Nations Tax-Exempt Reserves. 5 Effective May 10, 2002, these funds, excluding CA and FL, reorganized into a corresponding intermediate municipal bond fund of the same state which has substantially similar investment objectives and principal investment strategies. 6 Effective May 10, 2002, the fund's name changed to Nations Marsico Growth Fund which better reflects the fund's investment objective and strategies. 7 Effective May 10, 2002, the fund reorganized into Nations Capital Growth Fund. 8 Effective May 10, 2002, the fund reorganized into Nations Strategic Growth Fund. 9 Effective May 10, 2002, the fund reorganized into Nations Convertible Securities Fund. INDEXAR 220635 (04/02) -----END PRIVACY-ENHANCED MESSAGE-----