-----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, IF6hIGGfSR3z8wh+b75xztT8cSYIB3nlDKUsTimSfwAShabOw3dkDB2B3J+wgwdJ 0OuH/2XexXbGgUmaI9jTww== 0000950144-02-012538.txt : 20021206 0000950144-02-012538.hdr.sgml : 20021206 20021206163839 ACCESSION NUMBER: 0000950144-02-012538 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20020930 FILED AS OF DATE: 20021206 EFFECTIVENESS DATE: 20021206 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NATIONS FUND INC CENTRAL INDEX KEY: 0000790569 STATE OF INCORPORATION: MD FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-04614 FILM NUMBER: 02851257 BUSINESS ADDRESS: STREET 1: 111 CENTER STREET STREET 2: BELLEVUE PARK CORPORATE CNTR CITY: LITTLE ROCK STATE: AR ZIP: 72201 BUSINESS PHONE: 8003217854 MAIL ADDRESS: STREET 1: ONE NATIONSBANK PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 FORMER COMPANY: FORMER CONFORMED NAME: SILVER STAR FUND INC DATE OF NAME CHANGE: 19891016 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NATIONS MASTER INVESTMENT TRUST CENTRAL INDEX KEY: 0001078410 STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-09347 FILM NUMBER: 02851258 BUSINESS ADDRESS: STREET 1: ONE NATIONSBANK PLAZA STREET 2: 101 SOUTH TRYON ST CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 18003217854 MAIL ADDRESS: STREET 1: ONE BANK OF AMERICA PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NATIONS INSTITUTIONAL RESERVES CENTRAL INDEX KEY: 0000859750 STATE OF INCORPORATION: MA FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-06030 FILM NUMBER: 02851259 BUSINESS ADDRESS: STREET 1: ONE NATIONSBANK PLZ CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 8003425734 MAIL ADDRESS: STREET 1: ONE NATIONSBANK PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 FORMER COMPANY: FORMER CONFORMED NAME: SEI CAPITOL FUNDS DATE OF NAME CHANGE: 19900318 FORMER COMPANY: FORMER CONFORMED NAME: CAPITOL MUTUAL FUNDS DATE OF NAME CHANGE: 19920703 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: 02851260 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 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: 02851261 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: MARKETMASTER TRUST DATE OF NAME CHANGE: 19920203 FORMER COMPANY: FORMER CONFORMED NAME: MARKETMASTER TRUST/DE/ DATE OF NAME CHANGE: 19920407 FORMER COMPANY: FORMER CONFORMED NAME: NATIONS FUND DATE OF NAME CHANGE: 19921228 N-30D 1 g78793nv30d.txt NATIONS FUND INC. (STOCK FUNDS) Nations Convertible Securities Fund Nations Asset Allocation Fund Nations Classic Value Fund Nations LargeCap Value Fund Nations Value Fund Nations MidCap Value Fund Nations SmallCap Value Fund Nations Marsico Growth Fund Nations Strategic Growth Fund Nations Capital Growth Fund STOCK FUNDS Nations Marsico -------------------------------- Focused Equities Fund Semiannual report for the period ended September 30, 2002 Nations MidCap Growth Fund Nations Marsico 21st Century Fund Nations Small Company Fund Nations Financial Services 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 six-month period ended September 30, 2002, echoed stock investors' weariness of recurrent bear market battles. We now know this current economic slump, which many attributed to the events of September 11, 2001, was actually well underway beginning in March of 2001. The three major stock market indices -- the Dow Jones Industrial Average, Standard & Poor's 500 Composite Stock Price Index and Nasdaq Composite Index(1)-- posted remarkably poor returns for the period. Bonds, represented by the Lehman Aggregate Bond Index(2), however, produced slightly positive returns for the same period. HISTORICAL PERSPECTIVE While equity markets suffered a dismal six months, today's economy is vastly different from the Great Depression and the severe bear market of 1973 and 1974. The Depression was marked by 25% unemployment, significant price declines and a contracting money supply, while the mid-70s saw high inflation due to the oil embargo and lofty interest rates. In contrast, today unemployment, inflation and interest rates are low and the money supply is increasing. We feel these conditions may provide a stimulus for future economic growth. The Federal Reserve Board (the Fed) left interest rates unchanged during the period, stating in August that they felt demand is growing at a moderate pace. Policymakers, however, alluded to the risk of a possible attack against Iraq as weighing on the economy -- a risk that has supplanted that of corporate governance and accounting irregularities that were issues facing the markets and economy earlier in the summer. These geopolitical and military risks have caused the Fed to continue to assess the risks to the economy as weakness as opposed to inflation. THINK BEFORE YOU REACT History has shown us that patient investors have generally been rewarded by the long-term performance of the stock markets despite the occasional severe market volatility. We believe investors with a three- to five-year investment time horizon or longer should be invested in the market, but with a diversified portfolio. We believe that a carefully selected portfolio of stocks and bonds is a sensible way to reduce some of the risk associated with investing. Market declines like we have experienced recently are never easy to live through. As painful as these drops can be in the short term, they often create tremendous opportunity, setting the stage for tomorrow's gains. By reacting to frightening headlines and selling-off investments, investors may be selling at market lows, in addition to missing out on potential gains when the markets recover. We encourage you to partner with your investment professional to review your financial goals not just during volatile times, but on a more regular 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, broker 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. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. PRESIDENTS' MESSAGE CONTINUED... OUR NEAR-TERM OUTLOOK We believe, in the short run, it is reasonable to think that the market will continue to be volatile. The threat of war with Iraq continues to weigh on the market. A prolonged military conflict in the Middle East extending over several months could further undermine business and consumer confidence. Domestically, bankruptcies, accounting scandals and the subsequent arrest and indictments of members of senior management of a number of well-known companies, of course, compound the market's lack of confidence. Investors need to be patient until unrealistic earnings projections have been corrected, the Iraqi situation is resolved and the economy regains its momentum. QUESTIONS OR COMMENTS Should you have any questions or comments on your semiannual report, please contact your investment professional or call us at 1.800.321.7854. If you 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 as well as 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 September 30, 2002 P.S. On November 6, 2002, the Fed lowered the federal funds rate by 50 basis points to 1.25%. TABLE OF CONTENTS FINANCIAL STATEMENTS Statements of net assets Nations Convertible Securities Fund 3 Nations Asset Allocation Fund 9 Nations Classic Value Fund 17 Nations LargeCap Value Fund 19 Nations Value Fund 22 Nations MidCap Value Fund 25 Nations SmallCap Value Fund 28 Nations Marsico Growth Fund 31 Nations Strategic Growth Fund 32 Nations Capital Growth Fund 33 Nations Marsico Focused Equities Fund 35 Nations MidCap Growth Fund 36 Nations Marsico 21st Century Fund 39 Nations Small Company Fund 41 Nations Financial Services Fund 44 Statements of operations 46 Statements of changes in net assets 50 Schedules of capital stock activity 56 Financial highlights 72 Notes to financial statements 102 Statements of net assets -- Nations Master Investment Trust Nations Marsico Growth Master Portfolio 113 Nations Strategic Growth Master Portfolio 115 Nations Marsico Focused Equities Master Portfolio 117 Statements of operations 119 Statements of changes in net assets 120 Financial highlights 121 Notes to financial statements 122
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.
[This page intentionally left blank.] NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- COMMON STOCKS -- 13.6% AEROSPACE AND DEFENSE -- 0.8% 32,400 L-3 Communications Holdings, Inc.!!........................... $ 1,707 78,000 Lockheed Martin Corporation................................... 5,045 -------- 6,752 -------- APPAREL AND TEXTILES -- 0.1% 30,000 Jones Apparel Group, Inc.!!................................... 921 -------- BEVERAGES -- 0.3% 55,400 Anheuser-Busch Companies, Inc. ............................... 2,803 -------- COMMERCIAL BANKING -- 1.1% 120,000 Fifth Third Bancorp........................................... 7,347 46,147 Bank United Corporation, LCPR................................. 3 41,237 Washington Mutual, Inc. ...................................... 1,298 -------- 8,648 -------- COMPUTERS AND OFFICE EQUIPMENT -- 0.2% 32,000 International Business Machines Corporation................... 1,868 -------- DEPARTMENT AND DISCOUNT STORES -- 0.3% 53,900 Wal-Mart Stores, Inc. ........................................ 2,654 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.2% 36,329 TXU Corporation............................................... 1,515 -------- EXPLORATION AND PRODUCTION -- 0.2% 39,742 Devon Energy Corporation...................................... 1,918 -------- FINANCE -- MISCELLANEOUS -- 0.4% 70,000 Moody's Corporation........................................... 3,395 -------- FOOD PRODUCTS -- 0.6% 104,500 Wm. Wrigley Jr. Company....................................... 5,172 -------- HEALTH SERVICES -- 0.6% 56,790 Laboratory Corporation of America Holdings!!.................. 1,918 64,170 Tenet Healthcare Corporation!!................................ 3,177 -------- 5,095 -------- HOUSEHOLD PRODUCTS -- 0.6% 97,000 Fortune Brands, Inc. ......................................... 4,587 -------- INSURANCE -- 0.7% 29,000 Philadelphia Consolidated Holding Corporation!!............... 856 156,750 Protective Life Corporation................................... 4,823 -------- 5,679 --------
VALUE SHARES (000) - ------------------------------------------------------------------------------------- INTEGRATED OIL -- 0.8% 37,235 ChevronTexaco Corporation..................................... $ 2,579 134,496 Unocal Corporation............................................ 4,221 -------- 6,800 -------- INVESTMENT SERVICES -- 0.2% 57,200 Merrill Lynch & Company, Inc. ................................ 1,885 -------- MEDICAL DEVICES AND SUPPLIES -- 1.0% 143,575 Johnson & Johnson............................................. 7,765 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.2% 221,700 Comverse Technology, Inc.!!................................... 1,550 -------- OILFIELD SERVICES -- 1.6% 151,500 Diamond Offshore Drilling, Inc.(a)............................ 3,022 306,651 Pride International, Inc.!!(a)................................ 3,986 38,566 Schlumberger Ltd. ............................................ 1,483 170,000 Transocean Sedco Forex Inc. .................................. 3,536 -------- 12,027 -------- PHARMACEUTICALS -- 0.2% 30,000 Teva Pharmaceutical Industries Ltd., ADR(a)................... 2,010 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.6% 170,000 CSX Corporation............................................... 4,485 -------- REAL ESTATE -- 0.5% 114,701 Apartment Investment and Management Company................... 4,456 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.7% 101,638 Equity Office Properties Trust................................ 2,624 71,460 Equity Residential Properties Trust........................... 1,711 30,000 The Rouse Company............................................. 959 -------- 5,294 -------- RESTAURANTS -- 0.2% 70,000 McDonald's Corporation........................................ 1,236 -------- SEMICONDUCTORS -- 0.8% 44,850 Linear Technology Corporation................................. 929 154,990 Motorola, Inc.(a)............................................. 5,614 -------- 6,543 --------
SEE NOTES TO FINANCIAL STATEMENTS. 3 NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- SOFTWARE -- 0.7% 57,860 Affiliated Computer Services, Inc., Class A!!(a).............. $ 2,462 20,000 Mercury Interactive Corporation!!............................. 343 59,825 Microsoft Corporation!!....................................... 2,617 -------- 5,422 -------- TOTAL COMMON STOCKS (Cost $125,771)............................................. 110,480 -------- PRINCIPAL AMOUNT (000) - --------- CONVERTIBLE BONDS AND NOTES -- 54.7% AEROSPACE AND DEFENSE -- 1.4% $ 9,140 L-3 Communications Holdings, Inc., 4.000% 09/15/11@............................................ 11,002 -------- APPAREL AND TEXTILES -- 1.4% 10,000 Jones Apparel Group, Inc., 3.420%*** 02/01/21@......................................... 5,288 980 Reebok International Ltd., 4.250%** 03/01/21(a)........................................ 985 4,695 Reebok International Ltd., 4.250%** 03/01/21@.......................................... 4,718 -------- 10,991 -------- AUTOMOTIVE -- 1.0% 1,968 Pep Boys - Manny, Moe & Jack, 4.250% 06/01/07@............................................ 1,695 8,700 Sonic Automotive Inc., 5.250% 05/07/09............................................. 6,579 -------- 8,274 -------- BEVERAGES -- 1.0% 8,970 Convertibles Ltd., 2.000% 10/15/07@............................................ 8,219 -------- BROADCASTING AND CABLE -- 2.8% 7,335 AT&T Corporation - Liberty Media Group, 3.250% 03/15/31@............................................ 6,858 9,900 Clear Channel Communications, Inc., 1.500% 12/01/02............................................. 9,801 1,975 Liberty Media Corporation, 3.500% 01/15/31(a).......................................... 1,227 4,975 Liberty Media Corporation, 3.250% 03/15/31(a).......................................... 4,652 -------- 22,538 -------- COMMERCIAL BANKING -- 0.8% 6,725 JMH Finance Ltd., 4.750% 09/06/07@(a)......................................... 6,506 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- COMMERCIAL SERVICES -- 1.3% $ 4,290 Acxiom Corporation, 3.750% 02/15/09@............................................ $ 4,531 5,897 Lennox International Inc., 6.250% 06/01/09............................................. 6,104 -------- 10,635 -------- COMPUTER SERVICES -- 2.5% 3,810 Affiliated Computer Services, Inc., Class A, 3.500% 02/15/06@............................................ 4,601 4,815 First Data Corporation, 2.000% 03/01/08(a).......................................... 5,062 4,650 Symantec Corporation, 3.000% 11/01/06@............................................ 5,841 975 The BISYS Group, Inc., 4.000% 03/15/06............................................. 893 3,850 The BISYS Group, Inc., 4.000% 03/15/06@............................................ 3,528 -------- 19,925 -------- DEPARTMENT AND DISCOUNT STORES -- 0.8% 8,805 Best Buy Company, Inc., 2.250% 01/15/22@(a)......................................... 6,868 -------- DIVERSIFIED ELECTRONICS -- 1.1% 4,776 Electro Scientific Industries, Inc., 4.250% 12/21/06@(a)......................................... 3,713 5,840 Tech Data Corporation, 2.000% 12/15/21@............................................ 4,826 -------- 8,539 -------- DIVERSIFIED MANUFACTURING -- 0.8% 9,500 SPX Corporation, 2.290%*** 02/06/21@......................................... 6,116 -------- EDUCATION -- 0.8% 970 School Specialty Inc., 6.000% 08/01/08............................................. 1,015 5,330 School Specialty, Inc., 6.000% 08/01/08@............................................ 5,576 -------- 6,591 -------- EXPLORATION AND PRODUCTION -- 1.9% 6,205 Devon Energy Corporation, 4.950% 08/15/08............................................. 6,174 8,425 Kerr-McGee Corporation, 5.250% 02/15/10............................................. 9,004 -------- 15,178 -------- FOOD PRODUCTS -- 1.2% 8,050 Performance Food Group Company, 5.500% 10/16/08............................................. 10,042 --------
SEE NOTES TO FINANCIAL STATEMENTS. 4 NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- HEALTH SERVICES -- 2.4% $ 3,545 AmeriSource Health Corporation, Class A, 5.000% 12/01/07@............................................ $ 5,464 7,940 Laboratory Corporation, 1.874% 09/11/21............................................. 5,592 5,530 Universal Health Services, Inc., Class B, 0.426% 06/23/20@............................................ 3,657 5,880 WebMD Corporation, 3.250% 04/01/07@............................................ 4,586 -------- 19,299 -------- INSURANCE -- 3.0% 9,870 Horace Mann Educators Corporation, 1.425% 05/14/32@............................................ 4,121 5,892 Ohio Casualty Corporation, 5.000% 03/19/22@............................................ 5,980 5,850 PMI Group Inc., 2.500% 07/15/21@............................................ 6,011 8,500 Radian Group Inc., 2.250% 01/01/22@............................................ 8,287 -------- 24,399 -------- LODGING AND RECREATION -- 1.1% 8,045 GTECH Holdings Corporation, 1.750% 12/15/21@............................................ 9,262 -------- MEDICAL DEVICES AND SUPPLIES -- 4.8% 2,000 Apogent Technologies Inc., 2.250% 10/15/21............................................. 1,963 8,800 Apogent Technologies Inc., 2.250% 10/15/21@............................................ 8,635 7,410 Charles River Labs Inc., 3.500% 02/01/22@............................................ 8,957 5,950 Invitrogen Corporation, 2.250% 12/15/06(a).......................................... 4,730 900 Invitrogen Corporation, 5.500% 03/01/07(a).......................................... 813 4,750 Invitrogen Corporation, 5.500% 03/01/07@............................................ 4,293 9,790 Medtronic Inc., 1.250% 09/15/21(a).......................................... 9,961 -------- 39,352 -------- METALS AND MINING -- 0.4% 1,990 Freeport McMoRan Copper & Gold, Inc., Class B, 8.250% 01/31/06............................................. 2,373 950 Freeport-McMoRan Copper & Gold, Inc., Class B, 8.250% 01/31/06@............................................ 1,133 -------- 3,506 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.2% $ 6,329 Adaptec, Inc., 3.000% 03/05/07@............................................ $ 4,288 4,700 Comverse Technology, Inc., 1.500% 12/01/05@............................................ 3,807 2,000 Comverse Technology, Inc., 1.500% 12/01/05(a).......................................... 1,620 -------- 9,715 -------- OIL REFINING AND MARKETING -- 0.3% 1,980 Pride International, Inc., 2.500% 03/01/07............................................. 2,054 -------- OILFIELD SERVICES -- 2.8% 4,850 Diamond Offshore Drilling Inc., 1.500% 04/15/31@............................................ 4,335 3,450 Diamond Offshore Drilling, Inc., 1.500% 04/15/31(a).......................................... 3,083 8,226 Hanover Compressor Company, 4.750% 03/15/08(a).......................................... 5,903 3,890 Loews Corporation, 3.125% 09/15/07............................................. 3,360 762 SEACOR SMIT, Inc., 5.375% 11/15/06............................................. 792 522 SEACOR SMIT, Inc., 5.375% 11/15/06@(a)......................................... 543 5,050 Transocean Sedco Forex Inc., 1.500% 05/15/21............................................. 4,570 -------- 22,586 -------- PHARMACEUTICALS -- 3.6% 1,990 Cephalon, Inc., 5.250% 05/01/06(a).......................................... 1,798 2,000 Cephalon, Inc., 2.500% 12/15/06............................................. 1,655 5,000 Cephalon, Inc., 5.250% 05/01/06@............................................ 4,519 6,745 Genzyme Corporation, 3.000% 05/15/21@............................................ 5,649 935 Genzyme Corporation, 3.000% 05/15/21............................................. 783 1,400 IVAX Corporation, 4.500% 05/15/08............................................. 1,076 5,700 IVAX Corporation, 4.500% 05/15/08@(a)......................................... 4,361 2,960 Medicis Pharmaceutical Corporation, Class A, 2.500% 06/04/32@(a)......................................... 2,875 3,060 Teva Pharmaceuticals Finance, LLC, 1.500% 10/15/05@(a)......................................... 3,198 1,000 Teva Pharmaceuticals Finance, LLC, 1.500% 10/15/05(a).......................................... 1,047 2,420 Teva Pharmaceuticals Finance, NV, 0.750% 08/15/21@(a)......................................... 2,514 -------- 29,475 --------
SEE NOTES TO FINANCIAL STATEMENTS. 5 NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- PUBLISHING AND ADVERTISING -- 1.4% $ 2,600 Interpublic Group of Companies, Inc., 1.800% 09/16/04............................................. $ 2,148 2,000 Interpublic Group of Companies, Inc., 1.870% 06/01/06(a).......................................... 1,393 2,020 Interpublic Group of Companies, Inc., 1.870% 06/01/06@............................................ 1,407 6,755 Lamar Advertising Company, 5.250% 09/15/06............................................. 6,552 -------- 11,500 -------- RAILROADS, TRUCKING AND SHIPPING -- 2.9% 4,928 Airbourne, Inc., 5.750% 04/01/07@............................................ 4,589 5,875 GATX Corporation, 7.500% 02/01/07@............................................ 5,765 1,805 GATX Corporation, 7.500% 02/01/07............................................. 1,771 10,550 United Parcel Service, Inc., Class B, 1.750% 09/27/07(a).......................................... 11,038 -------- 23,163 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.7% 5,100 EOP Operating, LP, 7.250%** 11/15/08@.......................................... 5,336 -------- RETAIL -- SPECIALTY -- 1.1% 1,950 J.C. Penney Company, Inc., 5.000% 10/15/08(a).......................................... 1,706 8,700 J.C. Penney Company, Inc., 5.000% 10/15/08@............................................ 7,613 -------- 9,319 -------- SEMICONDUCTORS -- 4.1% 9,745 Agilent Technologies, Inc., 3.000% 12/01/21@............................................ 7,845 7,255 AT&T Corporation - Liberty Media Group, 3.500% 01/15/31@............................................ 4,507 4,818 Fairchild Semiconductor Corporation, 5.000% 11/01/08@............................................ 3,842 2,000 Fairchild Semiconductor Corporation, Class A, 5.000% 11/01/08............................................. 1,595 4,950 General Semiconductor, Inc., 5.750% 12/15/06............................................. 4,344 4,801 LSI Logic Corporation, 4.000% 11/01/06@............................................ 3,571 6,370 Semtech Corporation, 4.500% 02/01/07(a).......................................... 5,048 3,890 Veeco Instruments Inc., 4.125% 12/21/08@............................................ 2,601 -------- 33,353 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- SOFTWARE -- 3.7% $ 10,325 BEA Systems, Inc., 4.000% 12/15/06............................................. $ 7,937 2,280 Citrix Systems, Inc., 6.035%*** 03/22/19@(a)...................................... 881 1,000 Citrix Systems, Inc., 5.584%*** 03/22/19.......................................... 386 6,885 Documentum, Inc., 4.500% 04/01/07@............................................ 5,267 4,855 HNC Software Inc., 5.250% 09/01/08@............................................ 4,497 10,540 Mercury Interactive Corporation, 4.750% 07/01/07............................................. 8,578 2,188 Network Associates, Inc., 5.250% 08/15/06@............................................ 2,136 -------- 29,682 -------- SPECIALTY STORES -- 1.4% 5,295 Barnes & Noble, Inc., 5.250% 03/15/09@............................................ 5,242 5,920 Gap, Inc., 5.750% 03/15/09@............................................ 5,816 -------- 11,058 -------- TELECOMMUNICATIONS SERVICES -- 1.0% 1,250 Bell Atlantic Financial Services, 5.750% 04/01/03@............................................ 1,259 1,000 Bell Atlantic Financial Services, 5.750% 04/01/03............................................. 1,007 950 Centurytel Inc., 4.750% 08/01/32@(a)......................................... 964 4,900 Harris Corporation, 3.500% 08/15/22@............................................ 5,255 -------- 8,485 -------- TOTAL CONVERTIBLE BONDS AND NOTES (Cost $470,303)............................................. 442,968 -------- SHARES - --------- CONVERTIBLE PREFERRED STOCKS -- 26.7% AEROSPACE AND DEFENSE -- 2.8% 89,300 Northrop Grumman Corporation.................................. 11,544 165,400 Raytheon Company.............................................. 8,601 67,000 Titan Capital Trust........................................... 2,362 -------- 22,507 -------- AUTOMOTIVE -- 2.2% 163,250 Ford Motor Company Capital Trust II........................... 6,577 386,200 General Motors Corporation, Series A.......................... 9,103 102,600 General Motors Corporation, Series B.......................... 2,296 -------- 17,976 -------- BROADCASTING AND CABLE -- 0.6% 350,000 Equity Securities Trust II.................................... 4,515 -------- CHEMICALS -- SPECIALTY -- 0.2% $231,500 Semco Capital Trust II........................................ 1,653 --------
SEE NOTES TO FINANCIAL STATEMENTS. 6 NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- COMMERCIAL BANKING -- 2.8% $146,600 Commerce Bancorp, Inc. ....................................... $ 7,495 111,400 Sovereign Capital Trust II.................................... 8,132 145,000 Washington Mutual Capital Trust I............................. 6,960 -------- 22,587 -------- COMPUTER SERVICES -- 0.4% 199,650 Electronic Data Systems Corporation........................... 3,634 -------- DIVERSIFIED ELECTRONICS -- 0.2% 200,420 Solectron Corporation......................................... 1,774 -------- ELECTRIC POWER -- NON NUCLEAR -- 2.8% 108,000 Ameren Corporation............................................ 2,884 21,000 Cinergy Corporation........................................... 1,113 330,000 Duke Energy Corporation(a).................................... 5,396 121,000 NiSource Inc. ................................................ 4,168 175,300 PPL Capital Fund Trust I(a)................................... 3,204 126,000 TXU Corporation............................................... 5,788 -------- 22,553 -------- HEALTH SERVICES -- 0.8% 83,200 Anthem, Inc. ................................................. 6,666 -------- HEAVY MACHINERY -- 0.3% 21,800 Cummins Capital Trust I(a).................................... 916 42,000 Cummins Capital Trust I@...................................... 1,764 -------- 2,680 -------- HOUSEHOLD PRODUCTS -- 1.3% 228,490 Newell Financial Trust I...................................... 10,225 -------- INSURANCE -- 3.1% 72,000 ACE Ltd. ..................................................... 4,306 57,000 Metlife Capital Trust I....................................... 4,024 196,225 Prudential Financial, Inc. ................................... 9,969 146,000 Reinsurance Group of America Inc. ............................ 6,424 -------- 24,723 -------- INTEGRATED OIL -- 0.7% 123,000 Unocal Corporation............................................ 6,027 -------- INVESTMENT SERVICES -- 0.4% 32,800 Express Scripts............................................... 3,229 --------
VALUE SHARES (000) - ------------------------------------------------------------------------------------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.4% $270,000 Merrill Lynch Pfd STRIDES..................................... $ 3,267 -------- PAPER AND FOREST PRODUCTS -- 3.0% 172,500 Boise Cascade Corporation..................................... 6,788 249,040 International Paper Capital Trust............................. 10,833 170,200 Temple-Inland Inc. ........................................... 7,029 -------- 24,650 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.2% 126,100 Union Pacific Capital Trust................................... 6,415 72,000 Union Pacific Capital Trust@.................................. 3,663 -------- 10,078 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.8% 226,200 Equity Residential Properties Trust........................... 5,293 30,000 The Rouse Company(a).......................................... 1,380 -------- 6,673 -------- SPECIALTY STORES -- 0.7% 158,850 Toys "R" Us, Inc. ............................................ 5,504 -------- TELECOMMUNICATIONS SERVICES -- 2.0% 199,600 Alltel Corporation............................................ 8,682 228,000 Citizens Communications Company............................... 3,566 113,600 Citizens Utilities Trust...................................... 3,716 -------- 15,964 -------- TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $243,188)............................................. 216,885 -------- PREFERRED STOCKS -- 0.5% COMMERCIAL BANKING -- 0.3% 40,000 Washington Mutual Inc. ....................................... 1,920 -------- INSURANCE -- 0.2% 40,900 Hartford Financial Services Group, Inc. ...................... 1,869 -------- TOTAL PREFERRED STOCKS (Cost $4,019)............................................... 3,789 --------
SEE NOTES TO FINANCIAL STATEMENTS. 7 NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 12.7% (Cost $103,233) 103,233 Nations Cash Reserves, Capital Class Shares#.................. $103,233 -------- TOTAL INVESTMENTS (Cost $946,514*).................................. 108.2% 877,355 -------- OTHER ASSETS AND LIABILITIES (NET).................. (8.2)% Cash.......................................................... $ 1 Receivable for investment securities sold..................... 1,231 Receivable for Fund shares sold............................... 1,658 Dividends receivable.......................................... 679 Interest receivable........................................... 4,229 Collateral on securities loaned............................... (69,129) Payable for Fund shares redeemed.............................. (1,873) Investment advisory fee payable............................... (445) Administration fee payable.................................... (158) Shareholder servicing and distribution fees payable........... (178) Payable for investment securities purchased................... (1,998) Accrued Trustees' fees and expenses........................... (84) Accrued expenses and other liabilities........................ (289) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (66,356) -------- NET ASSETS.......................................... 100.0% $810,999 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 1,851 Accumulated net realized loss on investments sold............. (78,385) Net unrealized depreciation of investments.................... (69,159) Paid-in capital............................................... 956,692 -------- NET ASSETS.................................................... $810,999 ========
VALUE - ------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($395,875,511 / 29,576,047 shares outstanding).............. $13.39 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($278,893,583 / 20,847,199 shares outstanding).............. $13.38 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $14.20 INVESTOR B SHARES: Net asset value and offering price per share& ($111,609,240 / 8,418,411 shares outstanding)............... $13.26 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($24,620,187 / 1,838,295 shares outstanding)................ $13.39 ========
- --------------- * Federal income tax information (see Note 10). **Variable rate security. The interest rate shown reflects the rate in effect at September 30, 2002. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2002. @Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. !!Non-income producing security. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $77,379 and $66,822, respectively. # 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 (see Note 9). The portion that represents cash collateral is $69,129. ABBREVIATIONS: ADR -- American Depository Receipt LCPR -- Litigation Contingent Payment Rights
SEE NOTES TO FINANCIAL STATEMENTS. 8 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- COMMON STOCKS -- 51.4% AEROSPACE AND DEFENSE -- 2.2% 27,825 General Dynamics Corporation.................................. $ 2,262 28,525 Lockheed Martin Corporation................................... 1,845 6,325 Northrop Grumman Corporation.................................. 785 26,325 United Technologies Corporation............................... 1,487 -------- 6,379 -------- AUTOMOTIVE -- 0.3% 17,475 Lear Corporation!!............................................ 728 -------- BEVERAGES -- 2.6% 52,375 Anheuser-Busch Companies, Inc. ............................... 2,651 50,550 Coca-Cola Company............................................. 2,424 68,505 PepsiCo, Inc. ................................................ 2,531 -------- 7,606 -------- BROADCASTING AND CABLE -- 2.7% 130,000 AOL Time Warner Inc.!!........................................ 1,521 70,000 Clear Channel Communications, Inc.!!.......................... 2,433 104,650 Comcast Corporation, Special Class A!!........................ 2,183 42,000 Viacom Inc., Class B!!........................................ 1,703 -------- 7,840 -------- CHEMICALS -- BASIC -- 0.2% 15,150 Ecolab, Inc. ................................................. 632 -------- COMMERCIAL BANKING -- 3.9% 124,110 Charter One Financial, Inc. .................................. 3,689 53,991 Citigroup Inc. ............................................... 1,601 27,525 Fifth Third Bancorp........................................... 1,685 36,000 TCF Financial Corporation..................................... 1,524 60,000 Wells Fargo & Company......................................... 2,890 -------- 11,389 -------- COMPUTER SERVICES -- 0.9% 71,450 Automatic Data Processing, Inc. .............................. 2,484 -------- COMPUTERS AND OFFICE EQUIPMENT -- 1.1% 54,575 Dell Computer Corporation!!................................... 1,283 32,800 International Business Machines Corporation................... 1,915 -------- 3,198 -------- CONSUMER CREDIT AND MORTGAGES -- 1.4% 42,750 Fannie Mae.................................................... 2,545 86,925 MBNA Corporation.............................................. 1,598 -------- 4,143 -------- DEPARTMENT AND DISCOUNT STORES -- 2.1% 62,938 Target Corporation............................................ 1,858 82,400 Wal-Mart Stores, Inc. ........................................ 4,057 -------- 5,915 -------- DIVERSIFIED MANUFACTURING -- 1.7% 14,000 3M Company.................................................... 1,540 137,475 General Electric Company...................................... 3,388 -------- 4,928 --------
VALUE SHARES (000) - -------------------------------------------------------------------------------------- ELECTRIC POWER -- NON NUCLEAR -- 0.8% 79,075 Southern Company.............................................. $ 2,276 -------- ELECTRIC POWER -- NUCLEAR -- 0.6% 31,950 FPL Group, Inc. .............................................. 1,719 -------- FINANCE -- MISCELLANEOUS -- 1.3% 40,975 SLM Corporation............................................... 3,816 -------- HEALTH SERVICES -- 1.9% 45,000 Tenet Healthcare Corporation!!................................ 2,227 18,000 UnitedHealth Group Inc.!!..................................... 1,570 23,000 Wellpoint Health Networks Inc.!!.............................. 1,686 -------- 5,483 -------- HOUSEHOLD PRODUCTS -- 1.8% 41,000 Colgate-Palmolive Company..................................... 2,212 31,900 Procter & Gamble Company...................................... 2,851 -------- 5,063 -------- HOUSING AND FURNISHING -- 1.1% 156,375 Masco Corporation............................................. 3,057 -------- INSURANCE -- 3.4% 97,000 Ace Ltd. ..................................................... 2,872 70,625 AFLAC, Inc. .................................................. 2,167 26,294 American International Group, Inc. ........................... 1,438 47,000 XL Capital Ltd., Class A...................................... 3,455 -------- 9,932 -------- INTEGRATED OIL -- 3.2% 36,100 BP Amoco plc, ADR............................................. 1,440 47,589 ChevronTexaco Corporation..................................... 3,296 136,389 Exxon Mobil Corporation....................................... 4,351 -------- 9,087 -------- INVESTMENT SERVICES -- 0.7% 58,263 Merrill Lynch & Company, Inc. ................................ 1,920 -------- LODGING AND RECREATION -- 0.7% 85,421 Starwood Hotels & Resorts Worldwide, Inc. .................... 1,905 -------- MEDICAL DEVICES AND SUPPLIES -- 4.6% 70,500 Abbott Laboratories........................................... 2,848 66,200 Baxter International Inc. .................................... 2,022 27,000 Cardinal Health, Inc. ........................................ 1,679 89,325 Johnson & Johnson............................................. 4,832 52,200 Medtronic, Inc. .............................................. 2,199 -------- 13,580 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.6% 174,375 Cisco Systems, Inc.!!......................................... 1,827 --------
SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- OILFIELD SERVICES -- 0.8% 66,550 Nabors Industries, Ltd.!!..................................... $ 2,180 -------- PHARMACEUTICALS -- 2.5% 40,325 Amgen Inc.!!.................................................. 1,682 87,625 Pfizer Inc. .................................................. 2,543 79,000 Pharmacia Corporation......................................... 3,071 -------- 7,296 -------- PUBLISHING AND ADVERTISING -- 0.6% 26,575 McGraw-Hill Companies, Inc. .................................. 1,627 -------- RESTAURANTS -- 0.7% 110,750 McDonald's Corporation........................................ 1,956 -------- SEMICONDUCTORS -- 1.8% 60,775 Analog Devices, Inc.!!........................................ 1,197 205,200 Intel Corporation............................................. 2,851 28,675 Linear Technology Corporation................................. 594 32,500 Texas Instruments Inc. ....................................... 480 -------- 5,122 -------- SOFTWARE -- 2.4% 158,275 Microsoft Corporation!!....................................... 6,923 -------- SPECIALTY STORES -- 0.7% 82,352 Home Depot, Inc. ............................................. 2,149 -------- TELECOMMUNICATIONS SERVICES -- 0.9% 125,800 Motorola, Inc. ............................................... 1,281 64,591 SBC Communications Inc. ...................................... 1,298 -------- 2,579 -------- TOBACCO -- 1.2% 89,600 Philip Morris Companies Inc. ................................. 3,476 -------- TOTAL COMMON STOCKS (Cost $168,575)............................................. 148,215 -------- PRINCIPAL AMOUNT (000) - --------- ASSET-BACKED SECURITIES -- 1.0% ASSET-BACKED -- AUTO LOANS -- 0.5% $ 800 Americredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08&&........................................... 845 450 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 5.180% 10/16/06&&........................................... 478 -------- 1,323 -------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 0.2% 500 Citibank Credit Card Master Trust I, Series 1999-5, Class A, 6.100% 05/15/08............................................. 553 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.0%+ $ 132 First Plus Home Loan Trust, Series 1998-2, Class M1, 7.220% 05/10/24............................................. $ 143 -------- ASSET-BACKED -- OTHER -- 0.3% 900 CIT Equipment Collateral, Series 2002-VT1, Class A4, 4.670% 12/21/09............................................. 933 -------- TOTAL ASSET-BACKED SECURITIES (Cost $2,787)............................................... 2,952 -------- CORPORATE BONDS AND NOTES -- 16.3% AEROSPACE AND DEFENSE -- 0.2% 484 Boeing Capital Corporation, 5.650% 05/15/06&&........................................... 510 71 Northrop Grumman Corporation, 7.125% 02/15/11............................................. 81 -------- 591 -------- AIRLINES -- 0.2% 334 American Airlines, Series 2001-2, Class A-2, 7.858% 10/01/11............................................. 353 190 U.S. Airways, Inc., Series 2002-G, 8.020% 02/05/19............................................. 198 -------- 551 -------- AUTOMOTIVE -- 1.3% 255 Delphi Automotive Systems Corporation, 6.125% 05/01/04............................................. 265 1,172 Ford Motor Company, 7.450% 07/16/31&&........................................... 950 490 Ford Motor Credit Company, 5.800% 01/12/09............................................. 438 427 Ford Motor Credit Company, 7.375% 10/28/09............................................. 409 183 General Motors Acceptance Corporation, 6.125% 09/15/06............................................. 183 296 General Motors Acceptance Corporation, 6.150% 04/05/07............................................. 300 310 General Motors Acceptance Corporation, 6.875% 09/15/11............................................. 303 546 General Motors Acceptance Corporation, 8.000% 11/01/31............................................. 529 65 Rent-a-Center Inc., Series D, 11.000% 08/15/08............................................ 69 -------- 3,446 -------- BROADCASTING AND CABLE -- 0.6% 71 ABC Family Worldwide Inc., 10.250% 11/01/07............................................ 74 300 AOL Time Warner Inc., 6.150% 05/01/07............................................. 277 569 AOL Time Warner Inc., 7.625% 04/15/31&&........................................... 473 203 Comcast Cable Communications, 7.125% 06/15/13............................................. 189
SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- BROADCASTING AND CABLE -- (CONTINUED) $ 293 Insight Communications Company, (0.000)% due 02/15/11 12.250% beginning 02/15/06.................................. $ 104 234 Time Warner Inc., 8.110% 08/15/06............................................. 228 203 Viacom Inc., Class B, 6.625% 05/15/11............................................. 225 203 Viacom Inc., Class B, 7.875% 07/30/30............................................. 244 -------- 1,814 -------- BUILDING MATERIALS -- 0.1% 122 American Standard Inc., 7.125% 02/15/03(a).......................................... 122 40 American Standard Inc., 7.375% 04/15/05............................................. 41 35 Nortek, Inc., Series B, 9.875% 06/15/11............................................. 34 -------- 197 -------- CHEMICALS -- BASIC -- 0.2% 186 Lyondell Chemical Company, Series B, 9.875% 05/01/07............................................. 172 204 The Dow Chemical Company, 6.125% 02/01/11............................................. 216 187 The Dow Chemical Company, 7.375% 11/01/29............................................. 204 -------- 592 -------- CHEMICALS -- SPECIALTY -- 0.6% 830 IMC Global Inc., 6.500% 08/01/03&&........................................... 829 141 Methanex Corporation, 8.750% 08/15/12............................................. 146 101 Praxair, Inc., 4.750% 07/15/07............................................. 107 168 Praxair, Inc., 6.500% 03/01/08............................................. 189 125 Solutia Inc., 6.500% 10/15/02............................................. 125 195 Solutia Inc., 11.250% 07/15/09@........................................... 179 237 Solutia Inc., 6.720% 10/15/37............................................. 192 -------- 1,767 -------- COMMERCIAL BANKING -- 2.1% 711 Bank One Corporation, 6.000% 08/01/08............................................. 789 497 Citigroup Inc., 7.250% 10/01/10&&........................................... 567 147 Citigroup Inc., 6.000% 02/21/12(a).......................................... 159 40 Golden State Holdings, Escrow Corporation, 7.000% 08/01/03............................................. 41 242 Golden West Financial Corporation, 4.750% 10/01/12............................................. 243 402 J.P. Morgan Chase & Company, 5.250% 05/30/07............................................. 422
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 143 Mellon Funding Corporation, 4.875% 06/15/07............................................. $ 153 101 Mellon Funding Corporation, 6.700% 03/01/08............................................. 114 180 PNC Funding Corporation, 7.000% 09/01/04............................................. 193 304 PNC Funding Corporation, 5.750% 08/01/06............................................. 322 347 Popular North America Inc., Series E, 6.125% 10/15/06............................................. 375 142 Regions Financial Corporation, 7.750% 09/15/24............................................. 170 424 US Bank N.A., Minnesota, 6.375% 08/01/11&&........................................... 478 582 Wachovia Corporation, 4.950% 11/01/06&&........................................... 621 381 Washington Mutual, Inc., 7.500% 08/15/06&&........................................... 431 335 Washington Mutual, Inc., 5.625% 01/15/07............................................. 359 386 Wells Fargo Financial, Inc., 4.875% 06/12/07............................................. 409 -------- 5,846 -------- COMMERCIAL SERVICES -- 0.2% 322 Allied Waste North America, Inc., Series B, 10.000% 08/01/09............................................ 299 306 Coinmach Corporation, 9.000% 02/01/10............................................. 316 -------- 615 -------- COMPUTER SERVICES -- 0.0%+ 81 Seagate Tech HDD Holding, 8.000% 05/15/09@............................................ 75 -------- COMPUTERS AND OFFICE EQUIPMENT -- 0.1% 146 International Business Machines Corporation, 6.500% 01/15/28............................................. 153 202 Pitney Bowes Inc., 4.625% 10/01/12............................................. 201 -------- 354 -------- CONGLOMERATES -- 0.1% 261 Waste Management, Inc., 7.375% 08/01/10............................................. 274 -------- CONSUMER CREDIT AND MORTGAGES -- 0.2% 644 Countrywide Home Loans, Inc., Series J, 5.500% 08/01/06&&........................................... 676 -------- DEPARTMENT AND DISCOUNT STORES -- 0.3% 279 Sears Roebuck Acceptance Corporation, 6.750% 08/15/11............................................. 298
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- DEPARTMENT AND DISCOUNT STORES -- (CONTINUED) $ 167 Target Corporation, 5.875% 03/01/12............................................. $ 185 383 Wal-Mart Stores, Inc., 5.450% 08/01/06&&........................................... 420 -------- 903 -------- DIVERSIFIED ELECTRONICS -- 0.1% 209 L-3 Communications Corporation, 7.625% 06/15/12@............................................ 216 -------- DIVERSIFIED MANUFACTURING -- 0.1% 77 The Scotts Company, 8.625% 01/15/09@............................................ 80 305 The Scotts Company, Class A, 8.625% 01/15/09............................................. 319 -------- 399 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.4% 102 Calpine Corporation, 8.500% 02/15/11(a).......................................... 42 288 Cinergy Corporation, 6.250% 09/01/04............................................. 297 270 DPL Inc., 6.875% 09/01/11@............................................ 253 264 Oncor Electric Delivery, 7.000% 09/01/22@............................................ 268 60 Pepco Holdings Inc., 5.500% 08/15/07@............................................ 62 220 Pepco Holdings Inc., 6.450% 08/15/12@............................................ 228 -------- 1,150 -------- ELECTRIC POWER -- NUCLEAR -- 1.3% 220 American Electric Power Company, Inc., Series A, 6.125% 05/15/06............................................. 219 327 Constellation Energy Group, Inc., 7.600% 04/01/32............................................. 326 909 Consumers Energy Company, Series B, 6.200% 05/01/03&&........................................... 891 83 Duquesne Light Company, Series O, 6.700% 04/15/12............................................. 93 535 Exelon Generation Company LLC, 6.950% 06/15/11............................................. 589 259 FirstEnergy Corporation, Series B, 6.450% 11/15/11............................................. 244 373 PSEG Power LLC, 6.875% 04/15/06............................................. 375 232 Southern Company Capital Funding, Series A, 5.300% 02/01/07............................................. 246 121 Southern Power Company, 6.250% 07/15/12@............................................ 133 187 Virginia Electric and Power Company, Series A, 5.375% 02/01/07............................................. 201 -------- 3,317 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- EXPLORATION AND PRODUCTION -- 0.2% $ 170 Anadarko Finance Company, Series B, 6.750% 05/01/11............................................. $ 193 312 Anadarko Finance Company, Series B, 7.500% 05/01/31............................................. 368 -------- 561 -------- FINANCE -- MISCELLANEOUS -- 1.1% 265 Associates Corporation of North America, 6.950% 11/01/18............................................. 290 405 Case Credit Corporation, 6.125% 02/15/03............................................. 399 704 Caterpillar Finance Services Corporation, 5.950% 05/01/06&&........................................... 772 44 Dana Credit Corporation, 7.250% 12/16/02@............................................ 44 812 General Electric Capital Corporation, Series A, 6.750% 03/15/32&&........................................... 871 516 Household Finance Corporation, 5.875% 02/01/09&&........................................... 485 160 PCA LLC / PCA Finance Corporation, 11.875% 08/01/09@........................................... 163 -------- 3,024 -------- FOOD AND DRUG STORES -- 0.2% 424 Fred Meyer, Inc., 7.450% 03/01/08&&........................................... 487 -------- FOOD PRODUCTS -- 1.2% 365 Burns Phillips Capital Property, Ltd., 9.750% 07/15/12@............................................ 362 100 Del Monte Corporation, Series B, 9.250% 05/15/11............................................. 100 388 Kellogg Company, Series B, 6.000% 04/01/06&&........................................... 423 144 Kraft Foods Inc., 5.250% 06/01/07............................................. 156 698 Nabisco Inc., 6.125%** 02/01/33&&......................................... 706 467 Sara Lee Corporation, 6.250% 09/15/11&&........................................... 527 132 Tyson Foods Inc., Class A, 7.250% 10/01/06............................................. 147 218 Unilever Capital Corporation, 6.875% 11/01/05............................................. 244 484 Unilever Capital Corporation, 7.125% 11/01/10............................................. 576 -------- 3,241 -------- HEALTH SERVICES -- 0.2% 150 Cardinal Health, Inc., 6.750% 02/15/11............................................. 172 75 PacifiCare Health Systems, Inc., Class A, 10.750% 06/01/09............................................ 74 387 Wellpoint Health Networks Inc., 6.375% 06/15/06............................................. 422 45 Wellpoint Health Networks Inc., 6.375% 01/15/12............................................. 50 -------- 718 --------
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 0.0%+ $ 114 Proctor & Gamble Company, 4.750% 06/15/07............................................. $ 122 -------- HOUSING AND FURNISHING -- 0.1% 104 Beazer Homes USA, Inc., 8.625% 05/15/11............................................. 105 80 Beazer Homes USA, Inc., 8.375% 04/15/12............................................. 80 196 The Ryland Group, Inc., 8.000% 08/15/06............................................. 196 -------- 381 -------- INSURANCE -- 0.3% 293 Principal Life Global, 6.250% 02/15/12@............................................ 315 595 Prudential Funding LLC, 6.600% 05/15/08@............................................ 654 -------- 969 -------- INTEGRATED OIL -- 0.3% 171 Amerada Hess Corporation, 7.875% 10/01/29............................................. 205 300 Conoco Funding Company, 6.350% 10/15/11............................................. 337 416 PEMEX Master Trust, 8.625% 02/01/22@............................................ 399 -------- 941 -------- INVESTMENT SERVICES -- 1.0% 308 Bear Stearns Companies, Inc., 7.800% 08/15/07&&........................................... 359 240 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. 256 380 Credit Suisse First Boston USA, Inc., 6.125% 11/15/11............................................. 395 256 Goldman Sachs Group Inc., 6.875% 01/15/11............................................. 284 25 Goldman Sachs Group, Inc., 5.700% 09/01/12............................................. 26 253 Lehman Brothers Holdings Inc., 7.000% 02/01/08............................................. 282 288 Merrill Lynch & Company, Inc., 6.000% 02/17/09............................................. 306 298 Morgan Stanley Dean Witter & Company, 6.100% 04/15/06............................................. 321 515 Morgan Stanley Dean Witter & Company, 6.750% 04/15/11&&........................................... 564 -------- 2,793 -------- LODGING AND RECREATION -- 0.0%+ 69 John Q. Hammons Hotels, Series B, 8.875% 05/15/12............................................. 66 -------- MEDICAL DEVICES AND SUPPLIES -- 0.0%+ 94 Advanced Medical Optics, Inc., 9.250% 07/15/10............................................. 92 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- METALS AND MINING -- 0.2% $ 278 Alcoa Inc., 7.375% 08/01/10............................................. $ 331 151 Compass Minerals Group, Inc., 10.000% 08/15/11............................................ 160 115 Earle M. Jorgensen Company, 9.750% 06/01/12............................................. 112 -------- 603 -------- NATURAL GAS PIPELINES -- 0.2% 242 EL Paso Corporation, 7.800% 08/01/31............................................. 152 430 Kinder Morgan, Inc., 6.650% 03/01/05............................................. 457 -------- 609 -------- OIL REFINING AND MARKETING -- 0.1% 390 USX Corporation, 6.650% 02/01/06&&........................................... 426 -------- PACKAGING AND CONTAINERS -- 0.2% 206 Owens-Brockway Glass Containers, 8.875% 02/15/09............................................. 207 174 Riverwood International Corporation, 10.625% 08/01/07............................................ 179 298 Riverwood International Corporation, 10.875% 04/01/08............................................ 301 -------- 687 -------- PAPER AND FOREST PRODUCTS -- 0.4% 289 Ainsworth Lumber Company Ltd., 12.500% 07/15/07............................................ 297 143 Appleton Papers Inc., Series B, 12.500% 12/15/08............................................ 147 109 FiberMark, Inc., 10.750% 04/15/11(a)......................................... 105 201 International Paper Company, 8.000% 07/08/03............................................. 209 84 Louisiana-Pacific Corporation, 8.500% 08/15/05............................................. 84 312 Louisiana-Pacific Corporation, 10.875% 11/15/08@(a)........................................ 325 119 Tembec Industries Inc., 8.500% 02/01/11............................................. 120 -------- 1,287 -------- PHARMACEUTICALS -- 0.2% 27 Pharmacia Corporation, 6.600% 12/01/28............................................. 31 554 Wyeth, 6.250% 03/15/06............................................. 592 -------- 623 -------- PUBLISHING AND ADVERTISING -- 0.2% 177 Gannett Company, Inc., 6.375% 04/01/12............................................. 203 274 News America Holdings, 8.150% 10/17/36............................................. 270 -------- 473 --------
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- 0.4% $ 277 Burlington Northern Santa Fe Corporation, 6.750% 07/15/11............................................. $ 315 697 FedEx Corporation, 6.625% 02/12/04............................................. 730 -------- 1,045 -------- REAL ESTATE -- 0.3% 61 Corrections Corporation of America, 9.875% 05/01/09@............................................ 63 312 EOP Operating LP, 7.000% 07/15/11&&........................................... 345 158 Standard Pacific Corporation, 9.250% 04/15/12............................................. 149 324 Tech Olypmic USA, Inc., 10.375% 07/01/12@........................................... 296 -------- 853 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.1% 128 Health Care Property Investors, Inc., 7.480% 04/05/04............................................. 137 120 Health Care Property Investors, Inc., 6.450% 06/25/12............................................. 127 -------- 264 -------- TELECOMMUNICATIONS SERVICES -- 1.1% 308 BellSouth Telecommunications Inc., 6.375% 06/01/28............................................. 307 177 Cingular Wireless, 7.125% 12/15/31............................................. 155 399 Cox Communications, Inc., Class A, 7.750% 11/01/10&&........................................... 413 154 GTE North, Inc., Series H, 5.650% 11/15/08............................................. 157 317 Nextel Communications, Inc., Class A, 9.375% 11/15/09............................................. 242 454 SBC Communications Inc., 6.250% 03/15/11............................................. 492 48 Sprint Capital Corporation, 6.125% 11/15/08............................................. 32 129 Sprint Capital Corporation, 8.375% 03/15/12(a).......................................... 92 222 Sprint Capital Corporation, 6.900% 05/01/19............................................. 130 169 Verizon Global Funding Corporation, 7.750% 12/01/30............................................. 169 399 Verizon New England Inc., 6.500% 09/15/11&&........................................... 415 524 Verizon Pennsylvania, Series A, 5.650% 11/15/11&&........................................... 514 -------- 3,118 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- TOBACCO -- 0.2% $ 150 DIMON Inc., Series B, 9.625% 10/15/11............................................. $ 157 525 R.J. Reynolds Tobacco Holdings, Inc., 7.375% 05/15/03&&........................................... 536 -------- 693 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $45,708).............................................. 46,859 -------- FOREIGN BONDS AND NOTES -- 1.6% 2,670 AT&T Canada Inc., (0.000)% due 06/15/08 9.950% beginning 06/15/03................................... 280 235 Compagnie Generale De Geophysique SA, 10.625% 11/15/07............................................ 219 530 Corp Andina de Fomento, 8.875% 06/01/05&&........................................... 590 301 Government of Canada, 5.250% 11/05/08............................................. 330 185 Hanson Overseas B.V., 6.750% 09/15/05............................................. 202 310 Hellenic Republic, 6.950% 03/04/08............................................. 363 24 Methanex Corporation, 7.750% 08/15/05............................................. 24 563 Pemex Finance Ltd., 5.720% 11/15/03&&........................................... 580 367 Quebec (Province), 7.500% 09/15/29............................................. 473 464 Republic of Italy, 6.000% 02/22/11............................................. 531 309 Republic of Italy, 6.875% 09/27/23............................................. 374 328 Republic of Korea, 8.875% 04/15/08(a).......................................... 412 258 United Mexican States, 8.375% 01/14/11............................................. 272 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $6,712)............................................... 4,650 -------- MORTGAGE-BACKED SECURITIES -- 17.6% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.5% 290 Credit Suisse First Boston, Series 2001, 5.570%** 12/05/13........................................... 288 89 Criimi Mae CMBS Corporation, Series 1998-1, Class A1, 5.697% 06/20/30@............................................ 90 622 Fannie Mae Strip, Series 319, Class 2, Interest Only, 6.500% 02/01/32............................................. 91 5,306 JP Morgan Commercial Mortgage Finance Corporation, Series 1997-C4, Class X, Interest only, 1.275%** 12/26/28........................................... 214 6,853 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Class IO, 1.103%** 12/15/30........................................... 296
SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- (CONTINUED) $29,313 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest only, 0.450%** 09/15/27@.......................................... $ 319 34,179 Vendee Mortgage Trust, Series 1998-3, Class 1, Interest only, 0.310%** 03/15/29@.......................................... 274 -------- 1,572 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 0.6% 13 8.000% 01/01/04............................................. 13 11 8.000% 07/01/10............................................. 12 2 10.500% 04/01/19............................................ 2 367 8.000% 09/01/25............................................. 394 1,234 6.500% 07/01/29&&........................................... 1,280 -------- 1,701 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 12.9% 8 6.500% 01/01/06............................................. 8 305 8.500% 08/01/11............................................. 329 151 7.500% 10/01/11............................................. 161 8,300 6.000% 03/01/17............................................. 8,616 221 10.000% 09/01/18............................................ 254 130 7.000% 01/25/21............................................. 138 19,475 6.500% 02/01/32(b).......................................... 20,176 6,875 7.000% 05/01/32(b).......................................... 7,178 157 4.454%** 08/01/36........................................... 162 -------- 37,022 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 3.6% 6 10.000% 02/15/16............................................ 7 237 7.500% 12/15/23............................................. 253 1,567 6.500% 01/15/31&&........................................... 1,635 8,100 7.000% 11/01/32(b).......................................... 8,502 -------- 10,397 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $50,906).............................................. 50,692 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 2.3% FEDERAL HOME LOAN BANK (FHLB) -- 0.3% $ 900 5.750% 05/15/12............................................. $ 999 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.4% 3,300 5.750% 01/15/12&&........................................... 3,664 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 0.6% 1,410 7.000% 07/15/05............................................. 1,582 25 5.250% 04/15/07(a).......................................... 27 200 6.625% 11/15/30............................................. 235 -------- 1,844 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $6,034)............................................... 6,507 -------- U.S. TREASURY OBLIGATIONS -- 6.1% U.S. TREASURY NOTES -- 4.0% 11,000 3.250% 05/31/04............................................. 11,289 -------- U.S. TREASURY STRIPS -- 2.1% 1,300 Interest only, 2.640% 05/15/07............................................. 1,152 4,235 Principal only, 2.050%*** 08/15/05(a)....................................... 3,994 3,685 Principal only, 5.170%*** 11/15/27.......................................... 1,022 -------- 6,168 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $17,132).............................................. 17,457 --------
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
SHARES VALUE (000) (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 20.6% (Cost $59,210) 59,210 Nations Cash Reserves, Capital Class Shares#.................. $ 59,210 -------- TOTAL INVESTMENTS (Cost $357,064*).................................. 116.9% 336,542 -------- OTHER ASSETS AND LIABILITIES (NET).................. (16.9)% Receivable for investment securities sold..................... $ 613 Receivable for Fund shares sold............................... 441 Dividends receivable.......................................... 221 Interest receivable........................................... 1,350 Receivable for variation margin............................... 91 Unrealized depreciation on swap contracts..................... (8) Collateral on securities loaned............................... (4,452) Payable for Fund shares redeemed.............................. (1,565) Investment advisory fee payable............................... (161) Administration fee payable.................................... (57) Shareholder servicing and distribution fees payable........... (115) Due to custodian.............................................. (5) Payable for investment securities purchased................... (44,725) Accrued Trustees' fees and expenses........................... (77) Accrued expenses and other liabilities........................ (306) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (48,755) -------- NET ASSETS.......................................... 100.0% $287,787 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 451 Accumulated net realized loss on investments sold, swaps and futures contracts........................................... (34,506) Net unrealized depreciation of investments, swaps and futures contracts................................................... (20,149) Paid-in capital............................................... 341,993 -------- NET ASSETS.................................................... $287,787 ========
VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($34,588,616 / 2,084,299 shares outstanding)................ $16.59 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($164,040,725 / 9,888,284 shares outstanding)............... $16.59 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $17.60 INVESTOR B SHARES: Net asset value and offering price per share& ($87,146,307 / 5,280,578 shares outstanding)................ $16.50 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($2,011,246 / 121,681 shares outstanding)................... $16.53 ========
- --------------- * Federal income tax information (see Note 10). **Variable rate security. The interest rate shown reflects the rate in effect at September 30, 2002. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2002. @Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. !!Non-income producing security. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. &&All or a portion of security segregated as collateral for futures contracts. + Amount represents less than 0.1%. (a)All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $4,316 and $4,350, respectively. (b)TBA -- Securities purchased on a forward commitment basis. # 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 (see Note 9). The portion that represents cash collateral is $4,452. ABBREVIATION: ADR -- American Depository Receipt SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS Nations Classic Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- COMMON STOCKS -- 98.6% AEROSPACE AND DEFENSE -- 2.2% 206,790 Boeing Company.............................................. $ 7,058 --------- AIRLINES -- 1.1% 317,000 AMR Corporation!!(a)........................................ 1,325 226,700 Delta Air Lines, Inc. ...................................... 2,106 --------- 3,431 --------- AUTOMOTIVE -- 2.8% 478,200 Ford Motor Company.......................................... 4,687 484,500 Goodyear Tire & Rubber Company(a)........................... 4,307 --------- 8,994 --------- CHEMICALS -- BASIC -- 1.9% 165,900 E.I. duPont de Nemours and Company.......................... 5,984 --------- CHEMICALS -- SPECIALTY -- 1.9% 251,800 Great Lakes Chemical Corporation(a)......................... 6,048 --------- COMMERCIAL BANKING -- 3.2% 236,500 FleetBoston Financial Corporation........................... 4,808 275,300 J.P. Morgan Chase & Company................................. 5,228 --------- 10,036 --------- COMMERCIAL SERVICES -- 2.9% 1,125,000 Solectron Corporation!!..................................... 2,374 290,000 Waste Management, Inc. ..................................... 6,763 --------- 9,137 --------- COMPUTERS AND OFFICE EQUIPMENT -- 7.9% 647,700 Hewlett-Packard Company..................................... 7,558 202,110 NCR Corporation!!........................................... 4,002 910,600 Unisys Corporation!!........................................ 6,374 1,475,900 Xerox Corporation!!(a)...................................... 7,306 --------- 25,240 --------- ELECTRIC POWER -- NON NUCLEAR -- 3.6% 1,016,000 Dynegy Inc., Class A(a)..................................... 1,179 278,500 Edison International!!...................................... 2,785 246,200 PG & E Corporation!!(a)..................................... 2,772 144,000 PPL Corporation............................................. 4,686 --------- 11,422 --------- ELECTRIC POWER -- NUCLEAR -- 7.0% 360,610 Duke Energy Corporation@.................................... 7,050 199,400 Exelon Corporation.......................................... 9,472 188,800 FirstEnergy Corporation..................................... 5,643 --------- 22,165 --------- FINANCE -- MISCELLANEOUS -- 3.0% 539,000 CIT Group Inc.!!(a)......................................... 9,691 --------- FOOD AND DRUG STORES -- 5.2% 215,600 Albertson's, Inc. .......................................... 5,209 290,000 Safeway Inc.!!.............................................. 6,467 350,400 The Kroger Company!!........................................ 4,941 --------- 16,617 ---------
VALUE SHARES (000) - ------------------------------------------------------------------------------------- FOOD PRODUCTS -- 2.9% 738,365 Archer-Daniels-Midland Company.............................. $ 9,237 --------- HOUSEHOLD PRODUCTS -- 2.4% 271,200 American Greetings Corporation, Class A(a).................. 4,366 199,200 Tupperware Corporation...................................... 3,311 --------- 7,677 --------- INSURANCE -- 6.5% 92,686 Allstate Corporation........................................ 3,295 72,200 American National Insurance Company......................... 4,983 187,700 Loews Corporation........................................... 8,050 311,300 The Phoenix Companies, Inc. ................................ 4,240 --------- 20,568 --------- LODGING AND RECREATION -- 1.5% 432,100 Hasbro, Inc. ............................................... 4,809 --------- NATURAL GAS DISTRIBUTION -- 1.0% 400,000 El Paso Corporation......................................... 3,308 --------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.6% 2,039,488 Avaya Inc.!!(a)............................................. 2,916 3,021,000 Lucent Technologies Inc.!!(a)............................... 2,296 --------- 5,212 --------- PHARMACEUTICALS -- 8.4% 364,100 Bristol-Myers Squibb Company................................ 8,666 210,000 Merck & Company, Inc. ...................................... 9,598 394,500 Schering-Plough Corporation................................. 8,411 --------- 26,675 --------- PROFESSIONAL SERVICES -- 1.6% 1,472,000 Service Corporation International!!(a)...................... 5,152 --------- RESTAURANTS -- 2.1% 382,835 McDonald's Corporation...................................... 6,761 --------- RETAIL -- SPECIALTY -- 1.7% 234,800 Sherwin-Williams Company.................................... 5,560 --------- SEMICONDUCTORS -- 1.7% 445,110 Micron Technology, Inc.!!................................... 5,506 --------- SPECIALTY STORES -- 2.0% 623,990 Toys R Us, Inc.!!........................................... 6,352 --------- STEEL -- 1.6% 447,300 United States Steel Corporation............................. 5,193 --------- TELECOMMUNICATIONS SERVICES -- 16.0% 492,000 BellSouth Corporation....................................... 9,033 290,600 CenturyTel, Inc. ........................................... 6,518 657,000 Motorola, Inc. ............................................. 6,688
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS Nations Classic Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) 506,100 SBC Communications Inc. .................................... $ 10,173 780,500 Sprint Corporation (FON Group)(a)........................... 7,118 407,700 Verizon Communications Inc. ................................ 11,187 --------- 50,717 --------- TOBACCO -- 4.9% 196,400 Philip Morris Companies Inc. ............................... 7,621 72,100 R.J. Reynolds Tobacco Holdings, Inc.(a)..................... 2,907 178,000 UST Inc. ................................................... 5,021 --------- 15,549 --------- TOTAL COMMON STOCKS (Cost $476,295)........................................... 314,099 --------- SHARES (000) - --------- INVESTMENT COMPANIES -- 15.2% (Cost $48,451) 48,451 Nations Cash Reserves, Capital Class Shares#................ 48,451 --------- TOTAL INVESTMENTS (Cost $524,746*)................................ 113.8% 362,550 --------- OTHER ASSETS AND LIABILITIES (NET)................ (13.8)% Cash........................................................ $ 210 Dividends receivable........................................ 651 Interest receivable......................................... 2 Collateral on securities loaned............................. (42,740) Investment advisory fee payable............................. (192) Administration fee payable.................................. (68) Shareholder servicing and distribution fees payable......... (61) Payable for investment securities purchased................. (1,791) Accrued Trustees' fees and expenses......................... (11) Accrued expenses and other liabilities...................... (58) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET).................... (44,058) --------- NET ASSETS........................................ 100.0% $ 318,492 ========= NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 2,300 Accumulated net realized gain on investments sold........... 9,979 Net unrealized depreciation of investments.................. (162,196) Paid-in capital............................................. 468,409 --------- NET ASSETS.................................................. $ 318,492 =========
VALUE - ------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($242,080,378 / 32,181,120 shares outstanding)............ $7.52 ========= INVESTOR A SHARES: Net asset value and redemption price per share ($14,873,618 / 1,981,716 shares outstanding).............. $7.51 ========= Maximum sales charge........................................ 5.75% Maximum offering price per share............................ $7.97 INVESTOR B SHARES: Net asset value and offering price per share& ($28,676,427 / 3,855,845 shares outstanding).............. $7.44 ========= INVESTOR C SHARES: Net asset value and offering price per share& ($32,861,681 / 4,417,292 shares outstanding).............. $7.44 =========
- --------------- *Federal income tax information (see Note 10). @Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. !!Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $74,422 and $36,417, respectively. #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 (see Note 9). The portion that represents cash collateral is $42,740. SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS Nations LargeCap Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ----------------------------------------------------------------------------------- COMMON STOCKS -- 89.0% AEROSPACE AND DEFENSE -- 4.0% 21,725 Raytheon Company.............................................. $ 636 6,600 United Technologies Corporation............................... 373 ------- 1,009 ------- AUTOMOTIVE -- 1.9% 25,900 Ford Motor Company............................................ 254 5,400 Lear Corporation!!............................................ 225 ------- 479 ------- BEVERAGES -- 2.6% 13,000 Diageo plc, ADR............................................... 649 ------- BROADCASTING AND CABLE -- 2.8% 10,900 Clear Channel Communications, Inc.!!.......................... 378 16,475 Comcast Corporation, Special Class A!!........................ 344 ------- 722 ------- CHEMICALS -- 0.0%+ 699 Monsanto Company.............................................. 11 ------- COMMERCIAL BANKING -- 9.4% 8,925 Charter One Financial, Inc. .................................. 265 11,100 Citigroup Inc. ............................................... 329 4,600 Comerica Inc. ................................................ 222 11,600 FleetBoston Financial Corporation............................. 236 10,054 US Bancorp!!.................................................. 187 20,500 Wachovia Corporation.......................................... 671 10,700 Wells Fargo & Company......................................... 515 ------- 2,425 ------- COMPUTERS AND OFFICE EQUIPMENT -- 1.7% 16,755 Hewlett-Packard Company....................................... 196 4,075 International Business Machines Corporation................... 237 ------- 433 ------- CONSUMER CREDIT AND MORTGAGES -- 4.0% 12,200 American Express Company...................................... 380 4,000 Freddie Mac................................................... 224 22,200 MBNA Corporation.............................................. 408 ------- 1,012 ------- DIVERSIFIED MANUFACTURING -- 1.7% 19,875 Honeywell International Inc. ................................. 430 ------- ELECTRIC POWER -- NON NUCLEAR -- 4.2% 11,900 Consolidated Edison, Inc. .................................... 480 7,450 Public Service Enterprise Group Inc. ......................... 227 4,600 Southern Company.............................................. 132 5,500 TXU Corporation............................................... 229 ------- 1,068 ------- ELECTRIC POWER -- NUCLEAR -- 1.0% 4,825 Dominion Resources, Inc. ..................................... 245 ------- EXPLORATION AND PRODUCTION -- 1.7% 9,900 Anadarko Petroleum Corporation................................ 441 -------
VALUE SHARES (000) - ----------------------------------------------------------------------------------- FOOD PRODUCTS -- 2.0% 15,200 Kellogg Company............................................... $ 505 ------- HOUSEHOLD PRODUCTS -- 0.9% 8,000 The Estee Lauder Companies Inc., Class A...................... 230 ------- INSURANCE -- 6.0% 10,500 Ace Ltd. ..................................................... 311 6,700 American International Group, Inc. ........................... 367 5,450 Hartford Financial Services Group, Inc. ...................... 223 10,370 Prudential Financial, Inc.!!.................................. 296 23,779 Travelers Property Casualty Corporation, Class A!!............ 314 985 Travelers Property Casualty Corporation, Class B!!............ 13 ------- 1,524 ------- INTEGRATED OIL -- 7.7% 9,000 ChevronTexaco Corporation..................................... 623 29,600 Exxon Mobil Corporation....................................... 945 13,800 Occidental Petroleum Corporation.............................. 392 ------- 1,960 ------- INVESTMENT SERVICES -- 2.7% 3,650 Goldman Sachs Group, Inc. .................................... 241 7,900 Merrill Lynch & Company, Inc. ................................ 260 5,700 Morgan Stanley Dean Witter & Company.......................... 193 ------- 694 ------- LODGING AND RECREATION -- 2.1% 12,300 Carnival Corporation.......................................... 308 9,800 Starwood Hotels & Resorts Worldwide, Inc. .................... 219 ------- 527 ------- MEDICAL DEVICES AND SUPPLIES -- 1.2% 7,800 Abbott Laboratories........................................... 315 ------- METALS AND MINING -- 1.0% 9,775 Phelps Dodge Corporation!!.................................... 251 ------- OIL REFINING AND MARKETING -- 1.4% 7,700 ConocoPhillips................................................ 356 ------- OILFIELD SERVICES -- 4.1% 20,700 ENSCO International Inc. ..................................... 518 15,900 Nabors Industries, Ltd.!!..................................... 521 ------- 1,039 ------- PAPER AND FOREST PRODUCTS -- 3.5% 10,650 Bowater Inc. ................................................. 376 15,200 International Paper Company................................... 507 ------- 883 ------- PHARMACEUTICALS -- 1.3% 7,600 Bristol-Myers Squibb Company.................................. 181 4,100 Pharmacia Corporation......................................... 159 ------- 340 -------
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS Nations LargeCap Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ----------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- 2.7% 12,300 CSX Corporation............................................... $ 324 6,100 Union Pacific Corporation..................................... 353 ------- 677 ------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 1.9% 8,900 Boston Properties, Inc. ...................................... 331 4,600 Equity Office Properties Trust................................ 119 1,409 ProLogis Trust................................................ 35 ------- 485 ------- RESTAURANTS -- 0.8% 12,075 McDonald's Corporation........................................ 213 ------- SEMICONDUCTORS -- 1.8% 12,100 Agilent Technologies, Inc.!!.................................. 158 12,970 Micron Technology, Inc.!!..................................... 161 14,200 Teradyne, Inc.!!.............................................. 136 ------- 455 ------- SOFTWARE -- 0.4% 10,100 Cadence Design Systems, Inc.!!................................ 103 ------- SPECIALTY STORES -- 2.8% 19,800 Gap, Inc. .................................................... 215 20,100 Limited, Inc. ................................................ 288 19,444 Toys R Us, Inc.!!............................................. 198 ------- 701 ------- TELECOMMUNICATIONS SERVICES -- 5.8% 18,000 BellSouth Corporation......................................... 330 29,900 Motorola, Inc. ............................................... 304 25,000 SBC Communications Inc. ...................................... 503 12,300 Verizon Communications Inc. .................................. 338 ------- 1,475 ------- TOBACCO -- 3.9% 14,900 Philip Morris Companies Inc. ................................. 579 14,300 UST Inc. ..................................................... 403 ------- 982 ------- TOTAL COMMON STOCKS (Cost $28,413).............................................. 22,639 ------- PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------- CONVERTIBLE BONDS AND NOTES -- 0.1% (Cost $24) SPECIALTY STORES -- 0.1% $ 24 Gap, Inc., 5.750% 03/15/09@............................................ $ 24 ------- SHARES (000) - --------- INVESTMENT COMPANIES -- 10.8% (Cost $2,741) 2,741 Nations Cash Reserves, Capital Class Shares#.................. 2,741 ------- TOTAL INVESTMENTS (Cost $31,178*)................................... 99.9% 25,404 ------- OTHER ASSETS AND LIABILITIES (NET).................. 0.1% Cash.......................................................... $ 30 Receivable for investment securities sold..................... 315 Dividends receivable.......................................... 59 Interest receivable........................................... 3 Receivable from administrator................................. 6 Investment advisory fee payable............................... (14) Shareholder servicing and distribution fees payable........... (1) Payable for investment securities purchased................... (262) Accrued Trustees' fees and expenses........................... (6) Accrued expenses and other liabilities........................ (94) ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... 36 ------- NET ASSETS.......................................... 100.0% $25,440 ======= NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 9 Accumulated net realized loss on investments sold............. (2,458) Net unrealized depreciation of investments.................... (5,774) Paid-in capital............................................... 33,663 ------- NET ASSETS.................................................... $25,440 =======
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS Nations LargeCap Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE - ----------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($23,717,371 / 3,142,764 shares outstanding)................ $7.55 ======= INVESTOR A SHARES: Net asset value and redemption price per share ($719,816 / 95,468 shares outstanding)...................... $7.54 ======= Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $8.00 INVESTOR B SHARES: Net asset value and offering price per share& ($937,509 / 124,673 shares outstanding)..................... $7.52 ======= INVESTOR C SHARES: Net asset value and offering price per share& ($65,446 / 8,708 shares outstanding)........................ $7.52 =======
- --------------- *Federal income tax information (see Note 10). @Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. +Amount represents less than 0.1%. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. ABBREVIATION: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS Nations Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ COMMON STOCKS -- 92.7% AEROSPACE AND DEFENSE -- 4.2% 438,600 Raytheon Company.............................................. $ 12,851 132,641 United Technologies Corporation............................... 7,493 -------- 20,344 -------- AUTOMOTIVE -- 1.0% 510,800 Ford Motor Company(a)......................................... 5,006 -------- BEVERAGES -- 3.3% 29,919 Brown-Forman Corporation, Class B............................. 2,003 280,251 Diageo plc, ADR............................................... 13,987 -------- 15,990 -------- BROADCASTING AND CABLE -- 3.0% 218,700 Clear Channel Communications, Inc.!!.......................... 7,600 341,515 Comcast Corporation, Special Class A!!(a)..................... 7,124 -------- 14,724 -------- CHEMICALS -- 0.0%+ 15,455 Monsanto Company.............................................. 236 -------- COMMERCIAL BANKING -- 10.1% 169,785 Charter One Financial, Inc. .................................. 5,046 238,524 Citigroup Inc. ............................................... 7,072 94,700 Comerica Inc. ................................................ 4,566 232,942 FleetBoston Financial Corporation............................. 4,736 228,439 US Bancorp!!.................................................. 4,244 410,800 Wachovia Corporation.......................................... 13,430 214,100 Wells Fargo & Company......................................... 10,312 -------- 49,406 -------- COMPUTERS AND OFFICE EQUIPMENT -- 1.0% 80,710 International Business Machines Corporation................... 4,713 -------- CONSUMER CREDIT AND MORTGAGES -- 4.2% 238,573 American Express Company...................................... 7,439 85,008 Freddie Mac................................................... 4,752 451,368 MBNA Corporation.............................................. 8,296 -------- 20,487 -------- DIVERSIFIED MANUFACTURING -- 1.8% 402,184 Honeywell International Inc. ................................. 8,711 -------- ELECTRIC POWER -- NON NUCLEAR -- 4.5% 238,300 Consolidated Edison, Inc. .................................... 9,585 149,850 Public Service Enterprise Group Inc.(a)....................... 4,570 91,600 Southern Company(a)........................................... 2,636 119,400 TXU Corporation(a)............................................ 4,980 -------- 21,771 -------- ELECTRIC POWER -- NUCLEAR -- 1.4% 132,114 Dominion Resources, Inc. ..................................... 6,702 -------- EXPLORATION AND PRODUCTION -- 1.8% 200,942 Anadarko Petroleum Corporation................................ 8,950 --------
VALUE SHARES (000) - ------------------------------------------------------------------------------------ FOOD PRODUCTS -- 2.1% 302,100 Kellogg Company............................................... $ 10,045 -------- HOUSEHOLD PRODUCTS -- 1.0% 161,504 The Estee Lauder Companies Inc., Class A...................... 4,642 -------- INSURANCE -- 5.4% 197,900 Ace Ltd. ..................................................... 5,860 133,813 American International Group, Inc. ........................... 7,320 207,171 Prudential Financial, Inc.!!.................................. 5,917 512,005 Travelers Property Casualty Corporation, Class A!!............ 6,758 21,172 Travelers Property Casualty Corporation, Class B!!............ 286 -------- 26,141 -------- INTEGRATED OIL -- 8.1% 179,838 ChevronTexaco Corporation..................................... 12,454 589,077 Exxon Mobil Corporation....................................... 18,792 276,071 Occidental Petroleum Corporation.............................. 7,835 -------- 39,081 -------- INVESTMENT SERVICES -- 1.9% 1,425 Lehman Brothers Holdings Inc. ................................ 70 162,643 Merrill Lynch & Company, Inc. ................................ 5,359 115,264 Morgan Stanley Dean Witter & Company.......................... 3,905 -------- 9,334 -------- LODGING AND RECREATION -- 2.2% 250,449 Carnival Corporation(a)....................................... 6,286 203,500 Starwood Hotels & Resorts Worldwide, Inc. .................... 4,538 -------- 10,824 -------- MEDICAL DEVICES AND SUPPLIES -- 1.3% 156,000 Abbott Laboratories........................................... 6,302 -------- METALS AND MINING -- 1.0% 194,700 Phelps Dodge Corporation!!.................................... 4,990 -------- OIL REFINING AND MARKETING -- 1.5% 153,394 ConocoPhillips................................................ 7,093 -------- OILFIELD SERVICES -- 4.3% 413,700 ENSCO International Inc. ..................................... 10,359 320,619 Nabors Industries, Ltd.!!..................................... 10,500 -------- 20,859 -------- PAPER AND FOREST PRODUCTS -- 3.7% 225,920 Bowater Inc. ................................................. 7,975 305,973 International Paper Company(a)................................ 10,216 -------- 18,191 -------- PHARMACEUTICALS -- 1.6% 154,000 Bristol-Myers Squibb Company.................................. 3,665 103,500 Pharmacia Corporation......................................... 4,024 -------- 7,689 --------
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS Nations Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ RAILROADS, TRUCKING AND SHIPPING -- 2.8% 233,905 CSX Corporation............................................... $ 6,170 125,251 Union Pacific Corporation..................................... 7,249 -------- 13,419 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 3.1% 162,900 Boston Properties, Inc. ...................................... 6,060 314,795 Equity Office Properties Trust................................ 8,128 31,033 ProLogis Trust................................................ 773 -------- 14,961 -------- RESTAURANTS -- 0.9% 246,039 McDonald's Corporation........................................ 4,345 -------- SEMICONDUCTORS -- 2.2% 256,000 Agilent Technologies, Inc.!!.................................. 3,343 333,885 Micron Technology, Inc.!!..................................... 4,131 330,343 Teradyne, Inc.!!(a)........................................... 3,171 -------- 10,645 -------- SOFTWARE -- 0.5% 223,600 Cadence Design Systems, Inc.!!................................ 2,274 -------- SPECIALTY STORES -- 2.7% 301,755 Gap, Inc. .................................................... 3,274 415,500 Limited, Inc. ................................................ 5,958 389,774 Toys R Us, Inc.!!(a).......................................... 3,968 -------- 13,200 -------- TELECOMMUNICATIONS SERVICES -- 6.1% 355,200 BellSouth Corporation......................................... 6,521 599,200 Motorola, Inc. ............................................... 6,100 504,100 SBC Communications Inc. ...................................... 10,133 247,398 Verizon Communications Inc. .................................. 6,789 -------- 29,543 -------- TOBACCO -- 4.0% 299,048 Philip Morris Companies Inc. ................................. 11,603 285,220 UST Inc. ..................................................... 8,046 -------- 19,649 -------- TOTAL COMMON STOCKS (Cost $530,688)............................................. 450,267 -------- PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- CONVERTIBLE BONDS AND NOTES -- 0.5% (Cost $2,326) SPECIALTY STORES -- 0.5% $ 2,326 Gap, Inc., 5.750% 03/15/09@............................................ $ 2,285 -------- SHARES (000) - --------- INVESTMENT COMPANIES -- 11.9% (Cost $57,750) 57,750 Nations Cash Reserves, Capital Class Shares#.................. 57,750 -------- TOTAL INVESTMENTS (Cost $590,764*).................................. 105.1% 510,302 -------- OTHER ASSETS AND LIABILITIES (NET).................. (5.1)% Receivable for investment securities sold..................... $ 6,403 Receivable for Fund shares sold............................... 4,386 Dividends receivable.......................................... 1,309 Interest receivable........................................... 7 Collateral on securities loaned............................... (29,753) Payable for Fund shares redeemed.............................. (223) Investment advisory fee payable............................... (275) Administration fee payable.................................... (97) Shareholder servicing and distribution fees payable........... (57) Payable for investment securities purchased................... (6,302) Accrued Trustees' fees and expenses........................... (114) Accrued expenses and other liabilities........................ (228) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (24,944) -------- NET ASSETS.......................................... 100.0% $485,358 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 498 Accumulated net realized loss on investments sold............. (33,553) Net unrealized depreciation of investments.................... (80,462) Paid-in capital............................................... 598,875 -------- NET ASSETS.................................................... $485,358 ========
SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS Nations Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE - ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($392,659,418 / 46,949,566 shares outstanding).............. $8.36 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($38,596,470 / 4,622,436 shares outstanding)................ $8.35 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $8.86 INVESTOR B SHARES: Net asset value and offering price per share& ($49,513,041 / 6,083,818 shares outstanding)................ $8.14 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($4,589,338 / 564,264 shares outstanding)................... $8.13 ========
- --------------- *Federal income tax information (see Note 10). @Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. +Amount represents less than 0.1%. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $35,376 and $26,404, respectively. #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 (see Note 9). The portion that represents cash collateral is $29,753. ABBREVIATIONS: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS Nations MidCap Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- COMMON STOCKS -- 92.4% AEROSPACE AND DEFENSE -- 2.9% 136,500 Raytheon Company.............................................. $ 3,999 95,300 Rockwell Collins, Inc. ....................................... 2,091 -------- 6,090 -------- AUTOMOTIVE -- 1.5% 116,800 Dana Corporation.............................................. 1,528 38,000 Lear Corporation!!............................................ 1,582 -------- 3,110 -------- CHEMICALS -- SPECIALTY -- 1.0% 128,225 Pall Corporation.............................................. 2,025 -------- COMMERCIAL BANKING -- 10.4% 167,010 Charter One Financial, Inc. .................................. 4,965 64,900 Comerica Inc. ................................................ 3,129 131,000 Compass Bancshares, Inc. ..................................... 3,863 119,500 Hibernia Corporation, Class A................................. 2,389 28,700 Mercantile Bankshares Corporation............................. 1,095 280,200 Sovereign Bancorp, Inc. ...................................... 3,615 59,450 Zions Bancorporation.......................................... 2,588 -------- 21,644 -------- COMPUTERS AND OFFICE EQUIPMENT -- 1.7% 118,900 Pitney Bowes Inc. ............................................ 3,625 -------- DIVERSIFIED ELECTRONICS -- 2.0% 126,125 Harris Corporation............................................ 4,224 -------- DIVERSIFIED MANUFACTURING -- 3.2% 64,400 Harsco Corporation............................................ 1,751 55,900 Kennametal Inc. .............................................. 1,795 55,050 Mueller Industries, Inc.!!.................................... 1,426 63,400 York International Corporation................................ 1,788 -------- 6,760 -------- ELECTRIC POWER -- NON NUCLEAR -- 5.1% 82,125 Consolidated Edison, Inc. .................................... 3,303 91,400 Entergy Corporation........................................... 3,803 60,700 PPL Corporation............................................... 1,975 53,375 Public Service Enterprise Group Inc. ......................... 1,628 -------- 10,709 -------- ELECTRIC POWER -- NUCLEAR -- 2.0% 28,125 Dominion Resources, Inc. ..................................... 1,427 67,700 NSTAR......................................................... 2,677 -------- 4,104 -------- EXPLORATION AND PRODUCTION -- 1.0% 100,800 Ocean Energy Inc. ............................................ 2,011 -------- FOOD PRODUCTS -- 3.7% 140,000 Kellogg Company............................................... 4,655 138,000 McCormick and Company, Inc. .................................. 3,146 -------- 7,801 --------
VALUE SHARES (000) - -------------------------------------------------------------------------------------- HEALTH SERVICES -- 3.2% 140,900 First Health Group Corporation!!.............................. $ 3,821 74,600 Triad Hospitals, Inc. ........................................ 2,831 -------- 6,652 -------- HEAVY MACHINERY -- 1.8% 81,575 Deere & Company............................................... 3,708 -------- HOUSEHOLD PRODUCTS -- 2.7% 79,175 Avon Products, Inc. .......................................... 3,650 66,575 The Estee Lauder Companies Inc., Class A...................... 1,913 -------- 5,563 -------- HOUSING AND FURNISHING -- 0.7% 75,200 Masco Corporation............................................. 1,470 -------- INSURANCE -- 4.4% 86,800 Ace Ltd. ..................................................... 2,570 41,400 Lincoln National Corporation.................................. 1,265 87,600 PartnerRe Ltd. ............................................... 4,220 37,100 The St. Paul Companies, Inc. ................................. 1,066 -------- 9,121 -------- INTEGRATED OIL -- 5.1% 89,700 Kerr-McGee Corporation........................................ 3,897 200,850 Marathon Oil Corporation...................................... 4,555 78,200 Occidental Petroleum Corporation.............................. 2,219 -------- 10,671 -------- INVESTMENT SERVICES -- 2.0% 133,275 A.G. Edwards, Inc. ........................................... 4,262 -------- LODGING AND RECREATION -- 6.7% 183,450 Brunswick Corporation......................................... 3,860 78,525 Carnival Corporation.......................................... 1,971 72,100 Mandalay Resort Group!!....................................... 2,419 223,300 Mattel, Inc. ................................................. 4,022 75,900 Starwood Hotels & Resorts Worldwide, Inc. .................... 1,693 -------- 13,965 -------- METALS AND MINING -- 4.4% 137,225 Arch Coal, Inc. .............................................. 2,271 151,175 Newmont Mining Corporation.................................... 4,159 104,400 Phelps Dodge Corporation!!.................................... 2,676 -------- 9,106 -------- OILFIELD SERVICES -- 3.1% 130,900 ENSCO International Inc. ..................................... 3,277 99,775 Nabors Industries, Ltd.!!..................................... 3,268 -------- 6,545 -------- PACKAGING AND CONTAINERS -- 0.8% 299,900 Crown Cork & Seal Company, Inc.!!............................. 1,574 --------
SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS Nations MidCap Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- PAPER AND FOREST PRODUCTS -- 3.1% 99,800 Bowater Inc. ................................................. $ 3,523 73,375 Temple-Inland Inc. ........................................... 2,834 -------- 6,357 -------- PHARMACEUTICALS -- 0.9% 72,700 Watson Pharmaceuticals, Inc.!!................................ 1,782 -------- PUBLISHING AND ADVERTISING -- 1.2% 62,800 Dow Jones & Company, Inc. .................................... 2,412 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.5% 118,350 CSX Corporation............................................... 3,122 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 5.8% 114,600 Arden Realty, Inc. ........................................... 2,710 77,975 Avalonbay Communities, Inc. .................................. 3,259 112,300 Boston Properties, Inc. ...................................... 4,179 30,600 CarrAmerica Realty Corporation................................ 770 44,600 ProLogis Trust................................................ 1,111 -------- 12,029 -------- SEMICONDUCTORS -- 3.3% 117,675 National Semiconductor Corporation!!.......................... 1,405 267,550 Tektronix, Inc.!!............................................. 4,396 106,650 Teradyne, Inc.!!.............................................. 1,024 -------- 6,825 -------- SOFTWARE -- 0.5% 100,700 Cadence Design Systems, Inc.!!................................ 1,024 -------- SPECIALTY STORES -- 5.1% 127,700 Barnes & Noble, Inc.!!........................................ 2,702 161,800 Gap, Inc. .................................................... 1,756 194,900 Limited, Inc. ................................................ 2,795 96,488 Linens 'N Things, Inc.!!...................................... 1,772 146,881 Toys R Us, Inc.!!............................................. 1,495 -------- 10,520 -------- TOBACCO -- 1.6% 118,900 UST Inc. ..................................................... 3,354 -------- TOTAL COMMON STOCKS (Cost $220,982)............................................. 192,165 -------- PRINCIPAL AMOUNT (000) ------- CONVERTIBLE BONDS AND NOTES -- 0.1% (Cost $261) SPECIALTY STORES -- 0.1% $ 261 Gap, Inc., 5.750% 03/15/09@............................................ 256 -------- VALUE SHARES (000) - -------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS -- 0.7% (Cost $1,811) PAPER AND FOREST PRODUCTS -- 0.7% 34,310 Temple-Inland Inc. ........................................... $ 1,417 -------- PREFERRED STOCKS -- 0.4% (Cost $979) INSURANCE -- 0.4% 19,380 Hartford Financial Services Group, Inc. ...................... 886 -------- SHARES (000) ------- INVESTMENT COMPANIES -- 5.4% (Cost $11,257) 11,257 Nations Cash Reserves, Capital Class Shares#.................. 11,257 -------- TOTAL INVESTMENTS (Cost $235,290*).................................. 99.0% 205,981 -------- OTHER ASSETS AND LIABILITIES (NET).................. 1.0% Cash.......................................................... $ 18,805 Receivable for investment securities sold..................... 385 Dividends receivable.......................................... 399 Interest receivable........................................... 1 Investment advisory fee payable............................... (120) Administration fee payable.................................... (37) Shareholder servicing and distribution fees payable........... (2) Payable for investment securities purchased................... (17,229) Accrued Trustees' fees and expenses........................... (6) Accrued expenses and other liabilities........................ (86) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... 2,110 -------- NET ASSETS.......................................... 100.0% $208,091 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 381 Accumulated net realized loss on investments sold............. (10,551) Net unrealized depreciation of investments.................... (29,309) Paid-in capital............................................... 247,570 -------- NET ASSETS.................................................... $208,091 ========
SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS Nations MidCap Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($204,395,526 / 23,606,960 shares outstanding).............. $8.66 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($1,862,143 / 215,199 shares outstanding)................... $8.65 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $9.18 INVESTOR B SHARES: Net asset value and offering price per share& ($1,529,667 / 177,652 shares outstanding)................... $8.61 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($303,198 / 35,127 shares outstanding)...................... $8.63 ========
- --------------- *Federal income tax information (see Note 10). @Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS Nations SmallCap Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ COMMON STOCKS -- 94.5% AEROSPACE AND DEFENSE -- 3.6% 53,100 GenCorp Inc. ................................................. $ 534 18,400 MTC Technologies, Inc.!!...................................... 398 19,600 United Defense Industries, Inc.!!............................. 463 18,300 Veridian Corporation!!........................................ 457 ------- 1,852 ------- APPAREL AND TEXTILES -- 2.9% 19,000 Brown Shoe Company, Inc. ..................................... 340 23,200 K-Swiss Inc., Class A......................................... 496 30,300 Phillips-Van Heusen Corporation............................... 382 35,400 Stride Rite Corporation....................................... 280 ------- 1,498 ------- AUTOMOTIVE -- 1.5% 10,500 Borg-Warner Automotive, Inc. ................................. 521 39,100 Tower Automotive, Inc.!!...................................... 262 ------- 783 ------- BROADCASTING AND CABLE -- 2.8% 23,300 Cumulus Media Inc., Class A!!................................. 411 10,900 Media General Inc., Class A................................... 554 20,500 Salem Communications Corporation!!............................ 460 ------- 1,425 ------- CHEMICALS -- SPECIALTY -- 4.5% 32,000 Airgas, Inc.!!................................................ 420 13,300 Albemarle Corporation......................................... 336 13,850 Cambrex Corporation........................................... 510 36,000 NL Industries, Inc. .......................................... 522 25,500 Spartech Corporation.......................................... 540 ------- 2,328 ------- COMMERCIAL BANKING -- 8.7% 35,800 Colonial BancGroup, Inc. ..................................... 444 13,600 Community Bank Systems, Inc. ................................. 403 20,900 First State Bancorporation.................................... 515 21,575 Fulton Financial Corporation.................................. 406 8,200 Hancock Holding Company....................................... 385 9,000 Independence Community Bank Corporation....................... 226 17,400 Independent Bank Corp. ....................................... 346 6,200 Pacific Capital Bancorp....................................... 168 22,800 Prosperity Bancshares, Inc. .................................. 388 15,300 Silicon Valley Bancshares!!................................... 259 24,800 Summit Bancshares, Inc. ...................................... 521 26,600 Superior Financial Corporation................................ 500 ------- 4,561 ------- COMMERCIAL SERVICES -- 5.2% 36,000 ABM Industries Inc. .......................................... 508 13,200 Emcor Group Inc.!!............................................ 656 21,200 Kelly Services, Inc. ......................................... 459 61,300 On Assignment, Inc.!!......................................... 507 27,500 Watson Wyatt & Company Holdings!!............................. 550 ------- 2,680 ------- COMPUTER SERVICES -- 1.2% 40,500 Overland Storage, Inc.!!...................................... 440 44,300 SCM Microsystems, Inc.!!...................................... 175 ------- 615 -------
VALUE SHARES (000) - ------------------------------------------------------------------------------------ CONSUMER SERVICES -- 1.0% 16,900 Russ Berrie & Company Inc. ................................... $ 507 ------- DIVERSIFIED ELECTRONICS -- 2.1% 69,300 Aeroflex, Inc.!!.............................................. 349 30,700 EMS Technologies, Inc.!!...................................... 315 50,100 Merix Corporation!!........................................... 409 ------- 1,073 ------- DIVERSIFIED MANUFACTURING -- 3.7% 19,800 CLARCOR Inc. ................................................. 608 16,500 Modine Manufacturing Company.................................. 314 22,400 Pittson Brink's Group......................................... 502 30,400 Tredegar Industries, Inc. .................................... 509 ------- 1,933 ------- ELECTRIC POWER -- NON NUCLEAR -- 1.0% 15,000 WPS Resources Corporation..................................... 532 ------- ELECTRICAL EQUIPMENT -- 1.7% 15,800 Imation Corporation!!......................................... 448 29,900 Thomas & Betts Corporation!!.................................. 421 ------- 869 ------- FINANCE -- MISCELLANEOUS -- 1.7% 33,000 Brookline Bancorp, Inc. ...................................... 388 25,600 IndyMac Bancorp, Inc.!!....................................... 493 ------- 881 ------- FOOD AND DRUG STORES -- 1.0% 31,800 Duane Reade Inc.!!............................................ 509 ------- FOOD PRODUCTS -- 1.4% 36,900 Del Monte Foods Company!!..................................... 301 20,600 International Multifoods Corporation!!........................ 404 ------- 705 ------- HEALTH SERVICES -- 4.4% 16,300 AMERIGROUP Corporation!!...................................... 546 13,500 Coventry Health Care, Inc.!!.................................. 439 9,300 Renal Care Group, Inc.!!...................................... 306 100,300 Stewart Enterprises, Inc.!!................................... 512 36,600 VCA Antech, Inc.!!............................................ 452 ------- 2,255 ------- HEAVY MACHINERY -- 0.9% 27,600 Applied Industrial Technologies, Inc. ........................ 468 ------- HOUSEHOLD PRODUCTS -- 1.9% 45,200 Nu Skin Enterprises, Inc., Class A............................ 551 51,100 Playtex Products, Inc.!!...................................... 435 ------- 986 ------- HOUSING AND FURNISHING -- 1.0% 22,100 Standard Pacific Corporation.................................. 517 ------- INSURANCE -- 5.2% 13,500 Delphi Financial Group, Inc., Class A......................... 492 20,500 IPC Holdings, Ltd.!!.......................................... 602 9,600 RLI Corporation............................................... 515
SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS Nations SmallCap Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ INSURANCE -- (CONTINUED) 10,800 Stancorp Financial Group Inc. ................................ $ 571 15,050 W.R. Berkley Corporation...................................... 512 ------- 2,692 ------- INTEGRATED OIL -- 0.9% 21,400 Tom Brown, Inc.!!............................................. 490 ------- INVESTMENT SERVICES -- 0.6% 17,500 American Capital Strategies, Ltd.(a).......................... 330 ------- LODGING AND RECREATION -- 1.1% 27,300 Marcus Corporation............................................ 358 22,400 MeriStar Hospitality Corporation.............................. 192 ------- 550 ------- MEDICAL DEVICES AND SUPPLIES -- 6.3% 12,700 Bio-Rad Laboratories, Inc.!!.................................. 478 18,800 Coherent, Inc.!!.............................................. 343 10,600 Cooper Companies, Inc. ....................................... 557 12,000 CTI Molecular Imaging, Inc.!!................................. 304 16,100 Fisher Scientific International Inc.!!........................ 489 16,800 Mine Safety Appliances Company................................ 658 75,400 PSS World Medical, Inc.!!..................................... 501 ------- 3,330 ------- METALS AND MINING -- 1.5% 19,200 Reliance Steel & Aluminum Company............................. 420 26,900 Steel Dynamics, Inc.!!........................................ 352 ------- 772 ------- NATURAL GAS DISTRIBUTION -- 2.2% 26,300 Atmos Energy Corporation...................................... 566 17,000 New Jersey Resources Corporation.............................. 559 ------- 1,125 ------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.3% 14,600 Black Box Corporation!!....................................... 485 36,100 Foundry Networks, Inc.!!...................................... 198 ------- 683 ------- OILFIELD SERVICES -- 2.4% 146,900 Grey Wolf, Inc.!!............................................. 528 35,700 Oil States International, Inc.!!.............................. 357 53,000 Superior Energy Services, Inc.!!.............................. 345 ------- 1,230 ------- PACKAGING AND CONTAINERS -- 0.5% 46,000 Crown Cork & Seal Company, Inc.!!............................. 242 ------- PAPER AND FOREST PRODUCTS -- 0.9% 23,200 Caraustar Industries, Inc.!!.................................. 217 20,800 Pope & Talbot Inc. ........................................... 267 ------- 484 -------
VALUE SHARES (000) - ------------------------------------------------------------------------------------ PHARMACEUTICALS -- 2.1% 23,200 Eon Labs, Inc.!!.............................................. $ 501 17,600 ESCO Technologies Inc.!!...................................... 568 ------- 1,069 ------- RAILROADS, TRUCKING AND SHIPPING -- 2.7% 24,900 Covenant Transport, Inc.!!.................................... 436 46,500 Pacer International, Inc.!!................................... 528 11,350 Roadway Express, Inc.(a)...................................... 416 ------- 1,380 ------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 5.8% 11,000 Essex Property Trust, Inc. ................................... 544 10,600 Healthcare Realty Trust, Inc. ................................ 330 19,800 Prentiss Properties Trust..................................... 573 16,600 PS Business Parks, Inc. ...................................... 564 18,800 SL Green Realty Corporation................................... 578 16,600 Tanger Factory Outlet Centers, Inc. .......................... 464 ------- 3,053 ------- RESTAURANTS -- 1.0% 12,100 Jack in the Box Inc.!!........................................ 275 13,900 O'Charley's Inc.!!............................................ 261 ------- 536 ------- SEMICONDUCTORS -- 0.4% 17,600 Actel Corporation!!........................................... 183 ------- SOFTWARE -- 1.0% 31,300 JDA Software Group, Inc.!!.................................... 219 19,700 NetIQ Corporation!!........................................... 285 ------- 504 ------- SPECIALTY STORES -- 5.1% 21,200 AnnTaylor Stores Corporation!!................................ 488 58,400 Foot Locker, Inc.!!........................................... 583 27,700 Kirkland's, Inc.!!............................................ 474 18,100 Regis Corporation............................................. 512 22,700 School Specialty, Inc.!!...................................... 568 ------- 2,625 ------- UTILITIES -- MISCELLANEOUS -- 1.3% 9,900 California Water Service Group................................ 253 21,000 Philadelphia Suburban Corporation!!........................... 426 ------- 679 ------- TOTAL COMMON STOCKS (Cost $53,810).............................................. 48,934 -------
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS Nations SmallCap Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------ INVESTMENT COMPANIES -- 7.4% 5 Biotech HOLDRs Trust(a)....................................... $ 397 3,457 Nations Cash Reserves, Capital Class Shares#.................. 3,457 ------- TOTAL INVESTMENT COMPANIES (Cost $3,866)............................................... 3,854 ------- TOTAL INVESTMENTS (Cost $57,676*)................................... 101.9% 52,788 ------- OTHER ASSETS AND LIABILITIES (NET)................................. (1.9)% Cash.......................................................... $ 44 Receivable for investment securities sold..................... 1,002 Dividends receivable.......................................... 63 Receivable from administrator................................. 1 Collateral on securities loaned............................... (1,043) Investment advisory fee payable............................... (35) Payable for investment securities purchased................... (961) Accrued Trustees' fees and expenses........................... (4) Accrued expenses and other liabilities........................ (76) ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (1,009) ------- NET ASSETS.......................................... 100.0% $51,779 ======= NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 26 Accumulated net realized loss on investments sold............. (2,623) Net unrealized depreciation of investments.................... (4,888) Paid-in capital............................................... 59,264 ------- NET ASSETS.................................................... $51,779 =======
VALUE - ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($51,251,837 / 6,495,909 shares outstanding)................ $7.89 ======= INVESTOR A SHARES: Net asset value and redemption price per share ($370,076 / 46,971 shares outstanding)...................... $7.88 ======= Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $8.36 INVESTOR B SHARES: Net asset value and offering price per share& ($142,867 / 18,180 shares outstanding)...................... $7.86 ======= INVESTOR C SHARES: Net asset value and offering price per share& ($14,112 / 1,796 shares outstanding)......................................... $7.86 =======
- --------------- *Federal income tax information (see Note 10). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $886 and $898, respectively. #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 (see Note 9). The portion that represents cash collateral is $1,043. SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS Nations Marsico Growth Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE (000) - --------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 99.6% Investment in Nations Master Investment Trust, Marsico Growth Master Portfolio*........................................... $ 450,185 --------- TOTAL INVESTMENTS................................... 99.6% 450,185 --------- OTHER ASSETS AND LIABILITIES (NET).................. 0.4% Receivable for Fund shares sold............................... $ 3,403 Payable for Fund shares redeemed.............................. (1,292) Administration fee payable.................................... (49) Shareholder servicing and distribution fees payable........... (203) Accrued Trustees' fees and expenses........................... (55) Accrued expenses and other liabilities........................ (92) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... 1,712 --------- NET ASSETS.......................................... 100.0% $ 451,897 ========= NET ASSETS CONSIST OF: Accumulated net investment loss............................... $ (1,992) Accumulated net realized loss on investments sold and currency contracts................................................... (176,933) Net unrealized appreciation of investments.................... 18,860 Paid-in capital............................................... 611,962 --------- NET ASSETS.................................................... $ 451,897 =========
VALUE - --------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($51,513,979 / 4,248,031 shares outstanding)................ $12.13 ========= INVESTOR A SHARES: Net asset value and redemption price per share ($211,849,147 / 17,577,893 shares outstanding).............. $12.05 ========= Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $12.79 INVESTOR B SHARES: Net asset value and offering price per share& ($152,497,732 / 13,079,918 shares outstanding).............. $11.66 ========= INVESTOR C SHARES: Net asset value and offering price per share& ($36,035,646 / 3,087,074 shares outstanding)................ $11.67 =========
- --------------- *The financial statements of the Marsico Growth Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the Marsico Growth Fund's financial statements. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS FUNDS Nations Strategic Growth Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE (000) - ---------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 99.6% Investment in Nations Master Investment Trust, Strategic Growth Master Portfolio*.................................... $1,902,867 ---------- TOTAL INVESTMENTS................................... 99.6% 1,902,867 ---------- OTHER ASSETS AND LIABILITIES (NET).................. 0.4% Receivable for Fund shares sold............................... $ 26,037 Payable for Fund shares redeemed.............................. (17,026) Administration fee payable.................................... (300) Shareholder servicing and distribution fees payable........... (126) Accrued Trustees' fees and expenses........................... (86) Accrued expenses and other liabilities........................ (279) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... 8,220 ---------- NET ASSETS.......................................... 100.0% $1,911,087 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 3,031 Accumulated net realized loss on investments sold............. (395,512) Net unrealized depreciation of investments.................... (190,523) Paid-in capital............................................... 2,494,091 ---------- NET ASSETS.................................................... $1,911,087 ==========
VALUE - ---------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($1,517,463,440 / 173,287,640 shares outstanding)........... $8.76 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($335,329,446 / 38,470,771 shares outstanding).............. $8.72 ========== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $9.25 INVESTOR B SHARES: Net asset value and offering price per share& ($45,224,364 / 5,307,070 shares outstanding)................ $8.52 ========== INVESTOR C SHARES: Net asset value and offering price per share& ($13,070,000 / 1,532,889 shares outstanding)................ $8.53 ==========
- --------------- *The financial statements of the Strategic Growth Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the Strategic Growth Fund's financial statements. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS Nations Capital Growth Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ COMMON STOCKS -- 92.3% AEROSPACE AND DEFENSE -- 5.4% 43,250 General Dynamics Corporation.................................. $ 3,518 123,925 Lockheed Martin Corporation................................... 8,014 45,597 United Technologies Corporation............................... 2,576 -------- 14,108 -------- BEVERAGES -- 7.2% 81,889 Anheuser-Busch Companies, Inc. ............................... 4,144 125,345 Coca-Cola Company............................................. 6,012 236,668 PepsiCo, Inc. ................................................ 8,744 -------- 18,900 -------- BROADCASTING AND CABLE -- 1.6% 41,983 Clear Channel Communications, Inc.!!.......................... 1,459 69,778 Viacom Inc., Class B!!........................................ 2,829 -------- 4,288 -------- CHEMICALS -- 1.3% 221,035 Monsanto Company.............................................. 3,380 -------- CHEMICALS -- BASIC -- 1.2% 76,168 Ecolab, Inc.(a) .............................................. 3,178 -------- COMMERCIAL BANKING -- 4.3% 141,671 Charter One Financial, Inc. .................................. 4,210 68,425 Fifth Third Bancorp........................................... 4,190 60,400 Wells Fargo & Company......................................... 2,909 -------- 11,309 -------- COMPUTERS AND OFFICE EQUIPMENT -- 1.6% 177,250 Dell Computer Corporation!!................................... 4,167 -------- CONSUMER CREDIT AND MORTGAGES -- 4.2% 108,825 Fannie Mae.................................................... 6,480 246,210 MBNA Corporation.............................................. 4,525 -------- 11,005 -------- DEPARTMENT AND DISCOUNT STORES -- 4.1% 62,654 Target Corporation............................................ 1,850 178,057 Wal-Mart Stores, Inc. ........................................ 8,767 -------- 10,617 -------- DIVERSIFIED MANUFACTURING -- 2.4% 250,375 General Electric Company...................................... 6,172 -------- FINANCE -- MISCELLANEOUS -- 7.2% 2,850 Berkshire Hathaway Inc., Class B!!(a)......................... 7,025 126,987 SLM Corporation............................................... 11,828 -------- 18,853 -------- FOOD AND DRUG STORES -- 1.4% 123,225 Walgreen Company.............................................. 3,790 -------- HEALTH SERVICES -- 8.1% 64,200 Quest Diagnostics Inc.!!...................................... 3,950 148,750 Tenet Healthcare Corporation!!................................ 7,363 112,325 UnitedHealth Group Inc.!!..................................... 9,796 -------- 21,109 --------
VALUE SHARES (000) - ------------------------------------------------------------------------------------ HOUSEHOLD PRODUCTS -- 5.1% 160,100 Colgate-Palmolive Company..................................... $ 8,637 52,775 Procter & Gamble Company...................................... 4,717 -------- 13,354 -------- INSURANCE -- 2.8% 151,954 AFLAC, Inc. .................................................. 4,664 36,600 XL Capital Ltd., Class A...................................... 2,690 -------- 7,354 -------- INTEGRATED OIL -- 3.3% 63,363 ChevronTexaco Corporation..................................... 4,388 129,406 Exxon Mobil Corporation....................................... 4,128 -------- 8,516 -------- LODGING AND RECREATION -- 1.6% 91,775 Harley-Davidson, Inc. ........................................ 4,263 -------- MEDICAL DEVICES AND SUPPLIES -- 7.3% 72,550 Abbott Laboratories........................................... 2,931 84,106 Baxter International Inc. .................................... 2,569 175,072 Johnson & Johnson............................................. 9,468 100,701 Medtronic, Inc. .............................................. 4,242 -------- 19,210 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.8% 312,155 Cisco Systems, Inc.!! ........................................ 3,271 147,475 QUALCOMM Inc.!!............................................... 4,074 -------- 7,345 -------- PHARMACEUTICALS -- 6.5% 73,400 Amgen Inc.!!.................................................. 3,061 338,344 Pfizer Inc. .................................................. 9,819 105,769 Pharmacia Corporation......................................... 4,112 -------- 16,992 -------- RAILROADS, TRUCKING AND SHIPPING -- 2.2% 49,425 Union Pacific Corporation..................................... 2,860 44,375 United Parcel Service, Inc., Class B.......................... 2,775 -------- 5,635 -------- SEMICONDUCTORS -- 2.7% 319,557 Intel Corporation............................................. 4,439 180,992 Texas Instruments Inc. ....................................... 2,673 -------- 7,112 -------- SOFTWARE -- 3.1% 186,781 Microsoft Corporation!!....................................... 8,170 -------- SPECIALTY STORES -- 2.9% 115,325 Lowe's Companies, Inc. ....................................... 4,775 127,919 Tiffany & Company............................................. 2,741 -------- 7,516 -------- TOBACCO -- 2.0% 137,138 Philip Morris Companies Inc. ................................. 5,321 -------- TOTAL COMMON STOCKS (Cost $236,037)............................................. 241,664 --------
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS Nations Capital Growth Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------ INVESTMENT COMPANIES -- 10.5% (Cost $27,411) 27,411 Nations Cash Reserves, Capital Class Shares#.................. $ 27,411 -------- TOTAL INVESTMENTS (Cost $263,448*).................................. 102.8% 269,075 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (2.8)% Cash.......................................................... $ 1 Receivable for Fund shares sold............................... 2,878 Dividends receivable.......................................... 253 Collateral on securities loaned............................... (511) Payable for Fund shares redeemed.............................. (745) Investment advisory fee payable............................... (147) Administration fee payable.................................... (52) Shareholder servicing and distribution fees payable........... (33) Payable for investment securities purchased................... (8,667) Accrued Trustees' fees and expenses........................... (133) Accrued expenses and other liabilities........................ (209) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (7,365) -------- NET ASSETS.......................................... 100.0% $261,710 ======== NET ASSETS CONSIST OF: Accumulated net investment loss............................... $ (163) Accumulated net realized loss on investments sold............. (81,501) Net unrealized appreciation of investments.................... 5,627 Paid-in capital............................................... 337,747 -------- NET ASSETS.................................................... $261,710 ========
VALUE - ----------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($204,024,809 / 37,313,510 shares outstanding).............. $5.47 ===== INVESTOR A SHARES: Net asset value and redemption price per share ($26,209,712 / 4,893,586 shares outstanding)................ $5.36 ===== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $5.69 INVESTOR B SHARES: Net asset value and offering price per share& ($28,535,556 / 5,868,209 shares outstanding)................ $4.86 ===== INVESTOR C SHARES: Net asset value and offering price per share& ($2,939,620 / 598,096 shares outstanding)................... $4.91 =====
- --------------- *Federal income tax information (see Note 10). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $511 and $106, respectively. #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 (see Note 9). The portion that represents cash collateral is $511. SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS Nations Marsico Focused Equities Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 100.0% Investment in Nations Master Investment Trust, Marsico Focused Equities Master Portfolio*.................................. $1,511,425 ---------- TOTAL INVESTMENTS................................... 100.0% 1,511,425 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. 0.0% Receivable for Fund shares sold............................... $ 5,405 Payable for Fund shares redeemed.............................. (3,976) Administration fee payable.................................... (165) Shareholder servicing and distribution fees payable........... (690) Accrued Trustees' fees and expenses........................... (56) Accrued expenses and other liabilities........................ (509) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 9 ---------- NET ASSETS.......................................... 100.0% $1,511,434 ========== NET ASSETS CONSIST OF: Accumulated net investment loss............................... $ (6,963) Accumulated net realized loss on investments sold and currency contracts................................................... (642,453) Net unrealized appreciation of investments.................... 66,086 Paid-in capital............................................... 2,094,764 ---------- NET ASSETS.................................................... $1,511,434 ==========
VALUE - ----------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($314,238,967 / 23,912,047 shares outstanding).............. $13.14 ====== INVESTOR A SHARES: Net asset value and redemption price per share ($519,106,219 / 39,803,648 shares outstanding).............. $13.04 ====== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $13.84 INVESTOR B SHARES: Net asset value and offering price per share& ($516,779,915 / 40,909,273 shares outstanding).............. $12.63 ====== INVESTOR C SHARES: Net asset value and offering price per share& ($161,308,967 / 12,730,765 shares outstanding).............. $12.67 ======
- --------------- *The financial statements of the Nations Marsico Focused Equities Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the Nations Marsico Focused Equities Fund's financial statements. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS Nations MidCap Growth Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- COMMON STOCKS -- 92.2% AEROSPACE AND DEFENSE -- 0.5% 126,275 Rockwell Collins, Inc. ....................................... $ 2,770 --------- BEVERAGES -- 0.7% 166,250 Pepsi Bottling Group, Inc. ................................... 3,890 --------- BROADCASTING AND CABLE -- 2.6% 372,109 Adelphia Communications Corporation, Class A!!(a)............. 47 786,446 Charter Communications, Inc., Class A!!(a).................... 1,463 436,067 Radio One, Inc., Class D!!(a)................................. 7,191 212,609 Univision Communications, Inc., Class A!!(a).................. 4,847 --------- 13,548 --------- BUILDING MATERIALS -- 1.0% 81,300 American Standard Companies Inc.!!............................ 5,172 --------- CHEMICALS -- BASIC -- 1.5% 48,800 Avery Dennison Corporation.................................... 2,781 123,112 Ecolab, Inc.(a)............................................... 5,137 --------- 7,918 --------- COMMERCIAL BANKING -- 3.8% 265,280 Charter One Financial, Inc. .................................. 7,884 79,167 City National Corporation..................................... 3,703 209,000 Commerce Bancorp, Inc.(a)..................................... 8,675 --------- 20,262 --------- COMMERCIAL SERVICES -- 0.8% 138,125 Manpower Inc. ................................................ 4,053 --------- COMPUTER SERVICES -- 4.0% 444,814 Concord EFS, Inc.!!........................................... 7,063 366,912 Convergys Corporation!!....................................... 5,515 574,494 CSG Systems International, Inc.!!............................. 6,262 172,575 Internet Security Systems, Inc.!!(a).......................... 2,126 --------- 20,966 --------- CONGLOMERATES -- 2.7% 283,166 Pentair, Inc. ................................................ 10,525 35,000 SPX Corporation!!............................................. 3,532 --------- 14,057 --------- CONSTRUCTION -- 1.0% 164,625 Jacobs Engineering Group Inc.!!............................... 5,084 --------- CONSUMER CREDIT AND MORTGAGES -- 0.5% 302,115 AmeriCredit Corporation!!(a).................................. 2,438 --------- DIVERSIFIED ELECTRONICS -- 2.3% 164,081 Amphenol Corporation, Class A!!(a)............................ 5,087 914,805 Symbol Technologies, Inc.(a).................................. 7,016 --------- 12,103 ---------
VALUE SHARES (000) - ------------------------------------------------------------------------------------- DIVERSIFIED MANUFACTURING -- 1.0% 146,675 Kennametal Inc. .............................................. $ 4,711 241,146 Sanmina Corporation!!......................................... 668 --------- 5,379 --------- ELECTRIC POWER -- NUCLEAR -- 1.0% 67,650 DTE Energy Company............................................ 2,753 130,775 Energy East Corporation....................................... 2,591 --------- 5,344 --------- ELECTRICAL EQUIPMENT -- 0.3% 101,625 Celestica Inc.!!.............................................. 1,331 --------- EXPLORATION AND PRODUCTION -- 0.7% 101,479 EOG Resources, Inc. .......................................... 3,649 --------- FINANCE -- MISCELLANEOUS -- 0.6% 72,875 H & R Block, Inc. ............................................ 3,061 --------- FOOD PRODUCTS -- 0.9% 127,325 Hormel Foods Corporation...................................... 2,786 86,800 McCormick and Company, Inc. .................................. 1,979 --------- 4,765 --------- HEALTH SERVICES -- 9.3% 194,775 Community Health Systems!!.................................... 5,187 218,582 Express Scripts, Inc.!!(a).................................... 11,917 214,400 First Health Group Corporation!!.............................. 5,815 554,269 Health Management Associates, Inc., Class A!!................. 11,207 132,725 Health Net Inc.!!............................................. 2,847 252,000 HEALTHSOUTH Corporation!!..................................... 1,046 255,100 Lincare Holdings Inc.!!....................................... 7,918 45,425 Wellpoint Health Networks Inc.!!.............................. 3,330 --------- 49,267 --------- HOUSEHOLD PRODUCTS -- 0.5% 81,600 Church & Dwight Company, Inc. ................................ 2,705 --------- HOUSING AND FURNISHING -- 0.7% 74,000 Masco Corporation............................................. 1,447 40,600 Mohawk Industries Inc.!!...................................... 2,015 --------- 3,462 --------- INSURANCE -- 4.3% 180,050 Ambac Financial Group, Inc. .................................. 9,703 125,200 Arthur J. Gallagher & Company................................. 3,086 138,700 PartnerRe Ltd.(a)............................................. 6,683 109,525 PMI Group, Inc. .............................................. 2,980 --------- 22,452 --------- INTEGRATED OIL -- 0.8% 33,000 Kerr-McGee Corporation........................................ 1,434 36,175 Murphy Oil Corporation........................................ 2,968 --------- 4,402 --------- INVESTMENT SERVICES -- 2.4% 201,391 Legg Mason, Inc. ............................................. 8,571 216,487 Waddell & Reed Financial, Inc., Class A....................... 3,823 --------- 12,394 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS FUNDS Nations MidCap Growth Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- LODGING AND RECREATION -- 2.1% 77,675 Harley-Davidson, Inc. ........................................ $ 3,608 473,835 Park Place Entertainment Corporation!!........................ 3,767 169,131 Starwood Hotels & Resorts Worldwide, Inc. .................... 3,772 --------- 11,147 --------- MEDICAL DEVICES AND SUPPLIES -- 3.3% 51,450 Beckman Coulter, Inc.(a)...................................... 1,991 227,250 Biomet, Inc. ................................................. 6,052 368,022 Caliper Technologies Corporation!!(a)......................... 1,542 145,925 DENTSPLY International Inc. .................................. 5,862 335,556 Inhale Therapeutic Systems, Inc.!!(a)......................... 1,687 --------- 17,134 --------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.7% 618,896 Comverse Technology, Inc.!!................................... 4,326 554,750 Tekelec!!..................................................... 4,788 --------- 9,114 --------- OIL REFINING AND MARKETING -- 0.8% 130,275 Noble Corporation!!........................................... 4,039 --------- OILFIELD SERVICES -- 6.9% 208,575 BJ Services Company!!......................................... 5,423 335,467 ENSCO International Inc. ..................................... 8,399 174,936 GlobalSantaFe Corporation..................................... 3,910 343,975 Grant Prideco Inc.!!.......................................... 2,938 157,271 Nabors Industries, Ltd.!!..................................... 5,151 201,700 National-Oilwell, Inc.!!...................................... 3,909 164,142 Smith International, Inc.!!(a)................................ 4,811 40,525 Tidewater Inc. ............................................... 1,094 56,175 Transocean Sedco Forex Inc. .................................. 1,168 --------- 36,803 --------- PHARMACEUTICALS -- 9.3% 97,850 Barr Laboratories, Inc.!!(a).................................. 6,095 60,000 Biogen, Inc. ................................................. 1,756 166,827 Biovail Corporation!!(a)...................................... 4,119 66,150 Forest Laboratories, Inc.!!................................... 5,425 137,875 Gilead Sciences, Inc.!!....................................... 4,623 106,725 IDEC Pharmaceuticals Corporation!!(a)......................... 4,431 117,500 Medicis Pharmaceutical Corporation, Class A!!(a).............. 4,802 477,286 Millennium Pharmaceuticals, Inc.!!............................ 4,448 148,434 Myriad Genetics, Inc.!!(a).................................... 2,351 256,403 Shire Pharmaceuticals Group plc, ADR!!(a)..................... 6,352 156,800 Taro Pharmaceutical Industries Ltd.!!(a)...................... 5,292 --------- 49,694 --------- PUBLISHING AND ADVERTISING -- 1.2% 148,535 Lamar Advertising Company!!................................... 4,508 45,625 Scholastic Corporation!!...................................... 2,039 --------- 6,547 ---------
VALUE SHARES (000) - ------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- 1.2% 219,870 Expeditors International of Washington, Inc. ................. $ 6,143 --------- RESTAURANTS -- 1.0% 217,800 Darden Restaurants, Inc. ..................................... 5,279 --------- SEMICONDUCTORS -- 6.1% 159,925 Altera Corporation!!.......................................... 1,387 154,850 Analog Devices, Inc.!!........................................ 3,051 195,275 Broadcom Corporation, Class A!!............................... 2,086 180,463 Linear Technology Corporation................................. 3,739 190,823 Maxim Integrated Products, Inc.!!............................. 4,724 111,250 Microchip Technology Inc.!!................................... 2,275 152,047 MKS Instruments Inc.!!........................................ 1,660 240,936 Novellus Systems, Inc.!!...................................... 5,013 46,150 QLogic Corporation!!(a)....................................... 1,202 435,900 RF Micro Devices, Inc.!!(a)................................... 2,615 195,575 Teradyne, Inc.!!(a)........................................... 1,878 143,059 Xilinx, Inc.!!................................................ 2,266 --------- 31,896 --------- SOFTWARE -- 6.8% 195,350 Affiliated Computer Services, Inc., Class A!!(a).............. 8,312 361,742 BEA Systems, Inc.!!........................................... 1,874 676,596 Citrix Systems, Inc.!!........................................ 4,080 188,712 Intuit Inc.!!................................................. 8,591 263,575 Network Associates, Inc.!!.................................... 2,802 483,798 Precise Software Solutions Ltd.!!............................. 4,432 537,753 Quest Software, Inc.!!(a)..................................... 5,055 196,636 Siebel Systems, Inc.!!........................................ 1,131 --------- 36,277 --------- SPECIALTY STORES -- 5.3% 151,616 Abercrombie & Fitch Company!!................................. 2,982 183,333 Bed Bath & Beyond Inc.!!...................................... 5,972 256,843 Circuit City Stores-Circuit City Group........................ 3,891 293,225 Limited, Inc. ................................................ 4,205 161,175 Ross Stores, Inc. ............................................ 5,744 244,986 Tiffany & Company............................................. 5,250 --------- 28,044 --------- TOBACCO -- 0.6% 75,425 R.J. Reynolds Tobacco Holdings, Inc. ......................... 3,041 --------- UNIT INVESTMENT TRUST -- 1.3% 89,893 S&P Mid-Cap 400 Depositary Receipts........................... 6,675 --------- UTILITIES -- MISCELLANEOUS -- 0.7% 182,066 Republic Services, Inc.!!..................................... 3,423 --------- TOTAL COMMON STOCKS (Cost $631,437)............................................. 485,728 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS FUNDS Nations MidCap Growth Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 18.5% 144 iShares Russell Midcap Growth Index........................... $ 6,858 90,449 Nations Cash Reserves, Capital Class Shares#.................. 90,449 --------- TOTAL INVESTMENT COMPANIES (Cost $98,788).............................................. 97,307 --------- TOTAL INVESTMENTS (Cost $730,225*).................................. 110.7% 583,035 --------- OTHER ASSETS AND LIABILITIES (NET).................. (10.7)% Receivable for investment securities sold..................... $ 297 Receivable for Fund shares sold............................... 16,041 Dividends receivable.......................................... 237 Interest receivable........................................... 3 Collateral on securities loaned............................... (62,132) Payable for Fund shares redeemed.............................. (7,503) Investment advisory fee payable............................... (293) Administration fee payable.................................... (104) Shareholder servicing and distribution fees payable........... (31) Payable for investment securities purchased................... (2,749) Accrued Trustees' fees and expenses........................... (62) Accrued expenses and other liabilities........................ (198) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (56,494) --------- NET ASSETS.......................................... 100.0% $ 526,541 ========= NET ASSETS CONSIST OF: Accumulated net investment loss............................... $ (1,672) Accumulated net realized loss on investments sold............. (147,321) Net unrealized depreciation of investments.................... (147,190) Paid-in capital............................................... 822,724 --------- NET ASSETS.................................................... $ 526,541 =========
VALUE - ------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($467,365,501 / 56,662,036 shares outstanding).............. $8.25 ========= INVESTOR A SHARES: Net asset value and redemption price per share ($30,645,614 / 3,858,074 shares outstanding)................ $7.94 ========= Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $8.42 INVESTOR B SHARES: Net asset value and offering price per share& ($26,600,208 / 3,721,366 shares outstanding)................ $7.15 ========= INVESTOR C SHARES: Net asset value and offering price per share& ($1,929,882 / 268,397 shares outstanding)................... $7.19 =========
- --------------- *Federal income tax information (see Note 10). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $112,485 and $57,973, respectively. #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 (see Note 9). The portion that represents cash collateral is $62,132. ABBREVIATION: ADR -- American Depository Receipt SEE NOTES TO FINANCIAL STATEMENTS. 38 NATIONS FUNDS Nations Marsico 21st Century Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------- COMMON STOCKS -- 97.2% AEROSPACE AND DEFENSE -- 6.6% 24,422 L-3 Communications Holdings, Inc.!!(a)........................ $ 1,287 30,698 Lockheed Martin Corporation................................... 1,985 -------- 3,272 -------- AIRLINES -- 1.0% 13,934 Ryanair Holdings plc, ADR!!(a)................................ 472 -------- AUTOMOTIVE -- 0.6% 9,612 Bayerische Motoren Werke (BMW) AG!!........................... 308 -------- BROADCASTING AND CABLE -- 6.4% 45,860 Clear Channel Communications, Inc.!!.......................... 1,593 38,980 Viacom Inc., Class B!!........................................ 1,581 -------- 3,174 -------- CHEMICALS -- 2.9% 93,550 Monsanto Company.............................................. 1,430 -------- COMPUTER SERVICES -- 2.6% 45,108 SRA International, Inc., Class A!!............................ 1,291 -------- CONSUMER CREDIT AND MORTGAGES -- 3.0% 24,970 Fannie Mae.................................................... 1,487 -------- CONSUMER SERVICES -- 0.6% 20,358 Blue Rhino Corporation(a)..................................... 311 -------- DEPARTMENT AND DISCOUNT STORES -- 2.8% 28,024 Wal-Mart Stores, Inc. ........................................ 1,380 -------- DIVERSIFIED ELECTRONICS -- 2.6% 31,274 Analogic Corporation.......................................... 1,310 -------- DIVERSIFIED MANUFACTURING -- 2.2% 56,378 The Nautilus Group, Inc. ..................................... 1,099 -------- FINANCE -- MISCELLANEOUS -- 5.6% 29,652 SLM Corporation............................................... 2,762 -------- FOOD AND DRUG STORES -- 1.5% 83,058 Wild Oats Markets, Inc.!!..................................... 754 -------- HEALTH SERVICES -- 11.7% 27,494 Quest Diagnostics Inc.!!...................................... 1,692 26,889 Tenet Healthcare Corporation!!................................ 1,331 31,668 UnitedHealth Group Inc.!!..................................... 2,763 -------- 5,786 --------
VALUE SHARES (000) - ---------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 1.0% 9,338 Colgate-Palmolive Company..................................... $ 504 -------- HOUSING AND FURNISHING -- 8.0% 66,475 Aaon, Inc.!!.................................................. 1,125 43,397 D.R. Horton, Inc.............................................. 808 17,322 Lennar Corporation(a)......................................... 966 30,499 M.D.C. Holdings, Inc. ........................................ 1,077 -------- 3,976 -------- INSURANCE -- 3.0% 26,820 American International Group, Inc. ........................... 1,467 -------- INTEGRATED OIL -- 6.9% 36,906 Exxon Mobil Corporation....................................... 1,177 55,366 Royal Dutch Petroleum Company................................. 2,224 -------- 3,401 -------- INVESTMENT SERVICES -- 1.8% 17,884 Lehman Brothers Holdings Inc. ................................ 877 -------- LODGING AND RECREATION -- 3.3% 35,165 Four Seasons Hotels Inc.(a)................................... 1,127 20,994 GTECH Holdings Corporation!!.................................. 521 -------- 1,648 -------- MEDICAL DEVICES AND SUPPLIES -- 4.7% 52,962 InterMune Inc.!!(a)........................................... 1,739 23,904 Priority Healthcare Corporation, Class B!!.................... 602 -------- 2,341 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.9% 51,080 QUALCOMM Inc.!!............................................... 1,411 -------- PHARMACEUTICALS -- 5.0% 30,934 Amgen Inc.!!.................................................. 1,290 36,858 Genentech, Inc.!!............................................. 1,203 -------- 2,493 -------- PUBLISHING AND ADVERTISING -- 1.7% 73,914 JC Decaux SA!!................................................ 834 -------- SOFTWARE -- 3.7% 41,490 Microsoft Corporation!!....................................... 1,815 -------- SPECIALTY STORES -- 2.6% 23,022 Lowe's Companies, Inc......................................... 953 15,646 Tiffany & Company............................................. 335 -------- 1,288 --------
SEE NOTES TO FINANCIAL STATEMENTS. 39 NATIONS FUNDS Nations Marsico 21st Century Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------- UTILITIES -- MISCELLANEOUS -- 2.5% 60,936 Philadelphia Suburban Corporation!!........................... $ 1,237 -------- TOTAL COMMON STOCKS (Cost $46,313).............................................. 48,128 -------- PREFERRED STOCKS -- 1.4% (Cost $639) AUTOMOTIVE -- 1.4% 1,660 Porsche AG!!.................................................. 689 -------- PRINCIPAL AMOUNT (000) - --------- SHORT TERM INVESTMENTS -- 1.2% FEDERAL HOME LOAN BANK (FHLB) -- 1.2% (Cost $600) $ 600 1.830% 10/01/02............................................... 600 -------- SHARES (000) - --------- INVESTMENT COMPANIES -- 7.5% (Cost $3,718) 3,718 Nations Cash Reserves, Capital Class Shares#.................. 3,718 -------- TOTAL INVESTMENTS (Cost $51,270*)................................... 107.3% 53,135 -------- OTHER ASSETS AND LIABILITIES (NET).................. (7.3)% Receivable for investment securities sold..................... $ 2,731 Dividends receivable.......................................... 3 Interest receivable........................................... 1 Collateral on securities loaned............................... (3,637) Investment advisory fee payable............................... (32) Administration fee payable.................................... (10) Shareholder servicing and distribution fees payable........... (33) Due to custodian.............................................. (201) Payable for investment securities purchased................... (2,301) Accrued Trustees' fees and expenses........................... (30) Accrued expenses and other liabilities........................ (120) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (3,629) -------- NET ASSETS.......................................... 100.0% $ 49,506 ======== NET ASSETS CONSIST OF: Accumulated net investment loss............................... $ (436) Accumulated net realized loss on investments sold and currency contracts..................... (39,600) Net unrealized appreciation of investments.................... 1,865 Paid-in capital............................................... 87,677 -------- NET ASSETS.................................................... $ 49,506 ========
VALUE - ---------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($2,331,295 / 375,479 shares outstanding)................... $6.21 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($11,230,857 / 1,820,632 shares outstanding)............................. $6.17 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $6.55 INVESTOR B SHARES: Net asset value and offering price per share& ($32,455,678 / 5,361,193 shares outstanding)............................... $6.05 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($3,487,685 / 576,140 shares outstanding)................................. $6.05 ========
- --------------- *Federal income tax information (see Note 10). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $2,624 and $2,662, respectively. #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 (see Note 9). The portion that represents cash collateral is $3,637. ABBREVIATION: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 40 NATIONS FUNDS Nations Small Company Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - --------------------------------------------------------------------------------------- COMMON STOCKS -- 90.1% AEROSPACE AND DEFENSE -- 1.1% 215,793 Triumph Group, Inc.!!(a)...................................... $ 6,042 --------- AIRLINES -- 1.0% 425,724 SkyWest, Inc. ................................................ 5,577 --------- APPAREL AND TEXTILES -- 1.0% 140,559 Columbia Sportswear Company!!................................. 4,880 99,778 Vans, Inc.!!.................................................. 568 --------- 5,448 --------- BEVERAGES -- 1.4% 341,540 Constellation Brands, Inc.!!.................................. 7,890 --------- BROADCASTING AND CABLE -- 1.5% 176,341 Entercom Communications Corporation!!......................... 8,353 --------- CHEMICALS -- SPECIALTY -- 0.6% 374,741 Agrium Inc. .................................................. 3,429 --------- COMMERCIAL BANKING -- 5.4% 324,448 City National Corporation..................................... 15,175 274,799 F.N.B. Corporation............................................ 7,700 302,092 National Commerce Financial Corporation....................... 7,567 --------- 30,442 --------- COMMERCIAL SERVICES -- 4.5% 196,503 Catalina Marketing Corporation!!(a)........................... 5,518 284,537 Iron Mountain Inc.!!(a)....................................... 7,110 289,275 Manhattan Associates, Inc.!!.................................. 3,911 478,075 Pegasus Solutions Inc.!!...................................... 5,044 363,157 Trammell Crow Company!!....................................... 3,581 --------- 25,164 --------- COMPUTER SERVICES -- 1.9% 433,476 Tier Technologies, Inc., Class B!!............................ 8,201 280,604 Virage Logic Corporation!!.................................... 2,646 --------- 10,847 --------- COMPUTERS AND OFFICE EQUIPMENT -- 1.7% 317,061 Avocent Corporation!!......................................... 4,242 223,557 Plexus Corporation!!.......................................... 2,068 57,252 Zebra Technologies Corporation, Class A!!..................... 3,017 --------- 9,327 --------- CONSUMER SERVICES -- 0.5% 51,678 Rent-A-Center, Inc.!!......................................... 2,685 --------- DIVERSIFIED ELECTRONICS -- 3.0% 818,521 Aeroflex, Inc.!!.............................................. 4,125 496,013 Anaren Microwave, Inc.!!...................................... 4,077 157,510 Dionex Corporation!!.......................................... 4,026 416,880 Sypris Solutions, Inc.!!...................................... 4,524 --------- 16,752 ---------
VALUE SHARES (000) - --------------------------------------------------------------------------------------- DIVERSIFIED MANUFACTURING -- 2.8% 159,546 Actuant Corporation, Class A!!................................ $ 5,887 269,738 AstroPower, Inc.!!(a)......................................... 1,915 251,368 Delta and Pine Land Company................................... 4,711 128,112 Mueller Industries, Inc.!!.................................... 3,318 --------- 15,831 --------- EDUCATION -- 3.3% 251,931 Career Education Corporation!!(a)............................. 12,095 139,915 Education Management Corporation!!............................ 6,194 --------- 18,289 --------- FINANCE -- MISCELLANEOUS -- 4.4% 306,466 Affiliated Managers Group, Inc.!!(a).......................... 13,672 289,488 Boston Private Financial Holdings, Inc. ...................... 6,166 168,707 Investment Technology Group, Inc.!!........................... 4,936 --------- 24,774 --------- FOOD AND DRUG STORES -- 0.1% 151,594 Fleming Companies, Inc.(a).................................... 758 --------- HEALTH SERVICES -- 9.9% 85,028 Centene Corporation!!......................................... 2,269 148,090 Neurocrine Biosciences, Inc.!!................................ 6,072 554,826 Orthodontic Centers of America, Inc.!!(a)..................... 5,937 720,913 Province Healthcare Company!!(a).............................. 12,363 325,656 Triad Hospitals, Inc.(a)...................................... 12,358 153,018 Unilab Corporation!!.......................................... 3,209 773,256 US Oncology, Inc.!!........................................... 6,271 493,178 VCA Antech, Inc.!!............................................ 6,086 --------- 54,565 --------- HOUSING AND FURNISHING -- 0.8% 135,006 Ethan Allen Interiors Inc. ................................... 4,369 --------- INSURANCE -- 2.6% 171,969 Delphi Financial Group, Inc., Class A(a)...................... 6,263 130,848 IPC Holdings, Ltd.!!.......................................... 3,843 235,388 The Phoenix Companies, Inc. .................................. 3,206 41,415 Triad Guaranty Inc.!!......................................... 1,442 --------- 14,754 --------- INTEGRATED OIL -- 0.5% 186,165 Remington Oil & Gas Corporation!!............................. 2,625 --------- LODGING AND RECREATION -- 3.2% 324,039 Ameristar Casinos, Inc.!!..................................... 6,144 636,187 Shuffle Master, Inc.!!(a)..................................... 11,839 --------- 17,983 --------- MEDICAL DEVICES AND SUPPLIES -- 6.3% 61,103 Computer, Programs, and Systems, Inc.!!....................... 1,306 188,605 Cooper Companies, Inc.(a)..................................... 9,901 664,274 Endocare, Inc.!!(a)........................................... 9,506 123,928 Enzon, Inc.!!(a).............................................. 2,384 224,645 Exact Sciences Corporation!!(a)............................... 3,004 108,516 Vital Signs Inc. ............................................. 3,224 298,875 Wright Medical Group, Inc.!!.................................. 5,688 --------- 35,013 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS FUNDS Nations Small Company Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - --------------------------------------------------------------------------------------- NATURAL GAS DISTRIBUTION -- 1.0% 222,310 Energen Corporation........................................... $ 5,627 --------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.2% 502,640 AudioCodes Ltd.!!(a).......................................... 905 965,881 C-COR.Net Corporation!!(a).................................... 3,583 1,016,412 Hypercom Corporation!!........................................ 2,907 1,098,771 Proxim Corporation, Class A!!(a).............................. 1,923 523,462 REMEC, Inc.!!(a).............................................. 1,785 149,467 Tollgrade Communications, Inc.!!.............................. 1,167 --------- 12,270 --------- OILFIELD SERVICES -- 4.9% 113,031 Atwood Oceanics, Inc.!!....................................... 3,306 166,275 Cal Dive International Inc.!!................................. 3,353 185,340 Patterson-UTI Energy, Inc.!!(a)............................... 4,728 143,563 Precision Drilling Corporation!!.............................. 4,321 560,805 Pride International, Inc.!!(a)................................ 7,291 242,404 W-H Energy Services, Inc.!!................................... 4,194 --------- 27,193 --------- PHARMACEUTICALS -- 7.7% 410,740 Allos Therapeutics Inc.!!(a).................................. 3,483 485,580 Alpharma Inc., Class A........................................ 4,662 346,249 Array BioPharma Inc.!!........................................ 2,697 76,125 Cephalon, Inc.!!.............................................. 3,107 215,430 Human Genome Sciences, Inc.!!................................. 2,598 127,532 Introgen Therapeutics, Inc.!!................................. 210 520,165 Martek Biosciences Corporation!!(a)........................... 8,520 160,602 Medicis Pharmaceutical Corporation, Class A!!(a).............. 6,564 315,856 Shire Pharmaceuticals Group plc, ADR!!........................ 7,824 369,776 Women First Healthcare, Inc.@................................. 1,731 249,368 Women First Healthcare, Inc.!!................................ 1,167 --------- 42,563 --------- RAILROADS, TRUCKING AND SHIPPING -- 1.6% 57,385 Heartland Express, Inc.!!..................................... 1,075 228,665 Knight Transportation, Inc.!!................................. 3,545 328,690 RailAmerica, Inc.@............................................ 2,383 278,517 RailAmerica, Inc.!!........................................... 2,019 --------- 9,022 ---------
VALUE SHARES (000) - --------------------------------------------------------------------------------------- RESTAURANTS -- 3.5% 251,976 CEC Entertainment Inc.!!...................................... $ 8,595 229,417 Jack in the Box Inc.!!........................................ 5,231 248,635 RARE Hospitality International, Inc.!!........................ 5,823 --------- 19,649 --------- SEMICONDUCTORS -- 2.2% 141,749 Brooks-PRI Automation!!....................................... 1,623 159,360 Cymer, Inc.!!(a).............................................. 2,970 237,317 LTX Corporation!!(a).......................................... 1,082 249,075 MKS Instruments Inc.!!........................................ 2,720 535,703 Oak Technology, Inc.!!(a)..................................... 1,704 300,000 Sipex Corporation@............................................ 510 509,327 Sipex Corporation!!........................................... 866 200,134 TriQuint Semiconductor, Inc.!!................................ 706 --------- 12,181 --------- SOFTWARE -- 3.3% 495,900 Borland Software Corporation!!................................ 3,863 444,225 Dendrite International, Inc.!!................................ 2,803 284,761 Hyperion Solutions Corporation!!.............................. 5,225 370,754 Interwoven, Inc.!!............................................ 744 342,549 Lawson Software, Inc.!!....................................... 1,213 144,971 Precise Software Solutions Ltd.!!............................. 1,328 489,799 TTI Team Telecom International Ltd.!!(a)...................... 3,321 --------- 18,497 --------- SPECIALTY STORES -- 4.8% 343,375 American Eagle Outfitters, Inc.!!............................. 4,141 665,464 Cato Corporation.............................................. 12,631 177,700 Hot Topic, Inc.!!............................................. 3,204 298,038 Too Inc.!!.................................................... 6,938 --------- 26,914 --------- TELECOMMUNICATIONS SERVICES -- 1.4% 232,463 Commonwealth Telephone Enterprises, Inc.!!.................... 8,083 --------- TOTAL COMMON STOCKS (Cost $588,334)............................................. 502,916 --------- WARRANTS -- 0.0%+ (Cost $0++) 25,000 Martek Biosciences Corporation@(b)!!.......................... 87 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS FUNDS Nations Small Company Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
SHARES VALUE (000) (000) - --------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 26.1% 29 iShares Russell 2000 Growth Index Fund(a)..................... $ 1,094 144,906 Nations Cash Reserves, Capital Class Shares#.................. 144,906 --------- TOTAL INVESTMENT COMPANIES (Cost $146,539)............................................. 146,000 --------- TOTAL INVESTMENTS (Cost $734,873*).................................. 116.2% 649,003 --------- OTHER ASSETS AND LIABILITIES (NET).................. (16.2)% Cash.......................................................... $ 1 Receivable for investment securities sold..................... 3,927 Receivable for Fund shares sold............................... 21,312 Dividends receivable.......................................... 128 Interest receivable........................................... 7 Collateral on securities loaned............................... (102,937) Payable for Fund shares redeemed.............................. (8,451) Investment advisory fee payable............................... (382) Administration fee payable.................................... (109) Shareholder servicing and distribution fees payable........... (41) Payable for investment securities purchased................... (3,539) Accrued Trustees' fees and expenses........................... (46) Accrued expenses and other liabilities........................ (223) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (90,353) --------- NET ASSETS.......................................... 100.0% $ 558,650 ========= NET ASSETS CONSIST OF: Accumulated net investment loss............................... $ (2,225) Accumulated net realized loss on investments sold............. (86,861) Net unrealized depreciation of investments.................... (85,870) Paid-in capital............................................... 733,606 --------- NET ASSETS.................................................... $ 558,650 =========
VALUE - --------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($418,623,426 / 40,247,614 shares outstanding).............. $10.40 ========= INVESTOR A SHARES: Net asset value and redemption price per share ($123,015,162 / 12,026,053 shares outstanding).............. $10.23 ========= Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $10.85 INVESTOR B SHARES: Net asset value and offering price per share& ($13,674,792 / 1,397,712 shares outstanding)................ $9.78 ========= INVESTOR C SHARES: Net asset value and offering price per share& ($3,336,907 / 336,355 shares outstanding)................... $9.92 =========
- --------------- *Federal income tax information (see Note 10). @Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. +Amount represents less than 0.1%. ++Amount represents less than $500. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $116,411 and $95,648, respectively. (b) Fair valued 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 (see Note 9). The portion that represents cash collateral is $102,937. ABBREVIATION: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 43 NATIONS FUNDS Nations Financial Services Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------- COMMON STOCKS -- 90.8% COMMERCIAL BANKING -- 32.7% 6,930 Charter One Financial, Inc. .................................. $ 206 4,425 Citigroup Inc. ............................................... 131 3,000 City National Corporation..................................... 140 5,000 Commerce Bancorp, Inc. ....................................... 207 6,000 Compass Bancshares, Inc. ..................................... 177 3,150 Fifth Third Bancorp........................................... 193 5,000 Provident Financial Group, Inc.(a)............................ 125 3,500 TCF Financial Corporation..................................... 148 3,500 Wells Fargo & Company......................................... 169 ------ 1,496 ------ CONSUMER CREDIT AND MORTGAGES -- 10.7% 1,925 Fannie Mae.................................................... 115 2,400 Freddie Mac................................................... 134 3,750 Household International, Inc. ................................ 106 7,500 MBNA Corporation.............................................. 138 ------ 493 ------ FINANCE -- MISCELLANEOUS -- 6.9% 2,100 SLM Corporation............................................... 195 6,000 Synovus Financial Corporation................................. 124 ------ 319 ------ HEALTH SERVICES -- 6.6% 4,000 Health Net Inc.!!............................................. 86 1,225 UnitedHealth Group Inc.!!..................................... 107 1,500 Wellpoint Health Networks Inc.!!.............................. 110 ------ 303 ------ INSURANCE -- 22.2% 7,000 AFLAC, Inc. .................................................. 215 1,750 Ambac Financial Group, Inc. .................................. 94 1,600 American International Group, Inc. ........................... 88 7,500 Arthur J. Gallagher & Company................................. 185 3,000 PartnerRe Ltd. ............................................... 145 4,000 Reinsurance Group of America, Inc. ........................... 103 1 Travelers Property Casualty Corporation, Class A!!............ 0++ 1 Travelers Property Casualty Corporation, Class B!!............ 0++ 2,575 XL Capital Ltd., Class A...................................... 189 ------ 1,019 ------
VALUE SHARES (000) - ---------------------------------------------------------------------------------- INVESTMENT SERVICES -- 11.7% 1,800 Bear Stearns Companies Inc. .................................. $ 102 3,000 Federated Investors Inc. ..................................... 81 1,500 Goldman Sachs Group, Inc. .................................... 99 3,200 Legg Mason, Inc. ............................................. 136 1,875 Merrill Lynch & Company, Inc. ................................ 62 1,775 Morgan Stanley Dean Witter & Company.......................... 60 ------ 540 ------ TOTAL COMMON STOCKS (Cost $4,723)............................................... 4,170 ------ SHARES (000) - ------ INVESTMENT COMPANIES -- 12.9% (Cost $595) 595 Nations Cash Reserves, Capital Class Shares#.................. 595 ------ TOTAL INVESTMENTS (Cost $5,318*).................................... 103.7% 4,765 ------ OTHER ASSETS AND LIABILITIES (NET).................. (3.7)% Cash.......................................................... $ 1 Dividends receivable.......................................... 8 Receivable from administrator................................. 13 Collateral on securities loaned............................... (132) Investment advisory fee payable............................... (3) Accrued Trustees' fees and expenses........................... (11) Accrued expenses and other liabilities........................ (45) ------ TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (169) ------ NET ASSETS.......................................... 100.0% $4,596 ====== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 5 Accumulated net realized loss on investments sold............. (562) Net unrealized depreciation of investments.................... (553) Paid-in capital............................................... 5,706 ------ NET ASSETS.................................................... $4,596 ======
SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS FUNDS Nations Financial Services Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE - ---------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($4,167,549 / 519,711 shares outstanding)................... $8.02 ====== INVESTOR A SHARES: Net asset value and redemption price per share ($184,341 / 23,063 shares outstanding)...................... $7.99 ====== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $8.48 INVESTOR B SHARES: Net asset value and offering price per share& ($209,494 / 26,477 shares outstanding)...................... $7.91 ====== INVESTOR C SHARES: Net asset value and offering price per share& ($34,916 / 4,404 shares outstanding)........................ $7.93 ======
- --------------- *Federal income tax information (see Note 10). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. ++Amount represents less than $500. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $124 and $125, respectively. #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 (see Note 9). The portion that represents cash collateral is $132. SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2002
CONVERTIBLE ASSET SECURITIES ALLOCATION --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 8,037 $ 3,249 Dividends (Net of foreign withholding taxes of $0, $3, $0, $1, $25, $0, $0 and $0, respectively)..................... 8,810 1,307 Dividend income from affiliated funds....................... 300 453 Securities lending.......................................... 32 12 Allocated from Portfolio: Interest+................................................... -- -- Dividends (Net of foreign withholding taxes of $0, $0, $0, $0, $0, $0, $0 and $78, respectively)+.................... -- -- Dividend income from affiliated funds+...................... -- -- Securities lending+......................................... -- -- Expenses+................................................... -- -- -------------- -------------- Total investment income/(loss).......................... 17,179 5,021 -------------- -------------- EXPENSES: Investment advisory fee..................................... 2,522 1,108 Administration fee.......................................... 892 392 Transfer agent fees......................................... 122 66 Custodian fees.............................................. 24 21 Legal and audit fees........................................ 47 45 Registration and filing fees................................ 78 29 Trustees' fees and expenses................................. 7 7 Interest expense............................................ -- -- Printing expense............................................ 92 105 Other....................................................... 19 9 -------------- -------------- Subtotal................................................ 3,803 1,782 Shareholder servicing and distribution fees: Investor A Shares......................................... 391 244 Investor B Shares......................................... 569 528 Investor C Shares......................................... 120 13 -------------- -------------- Total expenses.......................................... 4,883 2,567 Fees waived by investment advisor and/or administrator...... -- -- Fees reduced by credits allowed by the custodian............ (1) (1) -------------- -------------- Net expenses............................................ 4,882 2,566 -------------- -------------- NET INVESTMENT INCOME/(LOSS)................................ 12,297 2,455 -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... (40,107) (19,497) Written options........................................... -- -- Futures contracts......................................... -- 1,567 Swaps..................................................... -- -- Foreign currency transactions............................. -- -- Allocated from Portfolio: Security transactions+.................................... -- -- Foreign currency transactions +........................... -- -- -------------- -------------- Net realized gain/(loss) on investments..................... (40,107) (17,930) -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities (Note 11)...................................... (97,907) (45,647) Futures contracts......................................... -- 911 Swap contracts............................................ -- (8) Securities allocated from Portfolio (Note 11)+............ -- -- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... (97,907) (44,744) -------------- -------------- Net realized and unrealized gain/(loss) on investments...... (138,014) (62,674) -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ (125,717) $ (60,219) ============== ==============
- --------------- * Amount represents less than $500. + Allocated from Growth Master Portfolio. (a)SmallCap Value commenced operations on May 1, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
CLASSIC LARGECAP MIDCAP SMALLCAP VALUE VALUE VALUE VALUE VALUE(A) GROWTH - ------------------------------------------------------------------------------------------------------- $ -- $ 1 $ 66 $ 7 $ 1 $ -- 3,998 254 6,065 1,493 168 -- 109 12 179 77 19 -- 26 -- 35 -- 1 -- -- -- -- -- -- 340 -- -- -- -- -- 1,892 -- -- -- -- -- 2 -- -- -- -- -- 41 -- -- -- -- -- (2,164) -------------- -------------- -------------- -------------- -------------- -------------- 4,133 267 6,345 1,577 189 111 -------------- -------------- -------------- -------------- -------------- -------------- 1,274 79 1,887 589 113 -- 450 28 668 275 29 324 65 2 104 11 10 248 10 3 31 5 4 -- 42 32 49 34 33 40 26 5 59 5 27 21 7 8 7 8 7 14 -- -- -- -- -- -- 27 22 55 23 25 66 6 --* 11 2 2 10 -------------- -------------- -------------- -------------- -------------- -------------- 1,907 179 2,871 952 250 723 23 1 62 2 --* 282 190 3 332 7 --* 922 210 -- 31 1 --* 168 -------------- -------------- -------------- -------------- -------------- -------------- 2,330 183 3,296 962 250 2,095 -- (49) -- -- (87) -- (1) --* --* (1) --* -- -------------- -------------- -------------- -------------- -------------- -------------- 2,329 134 3,296 961 163 2,095 -------------- -------------- -------------- -------------- -------------- -------------- 1,804 133 3,049 616 26 (1,984) -------------- -------------- -------------- -------------- -------------- -------------- 9,974 (2,450) (33,473) (10,542) (2,623) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (43,246) -- -- -- -- -- -- -- -- -- -- -- (4) -------------- -------------- -------------- -------------- -------------- -------------- 9,974 (2,450) (33,473) (10,542) (2,623) (43,250) -------------- -------------- -------------- -------------- -------------- -------------- (182,433) (6,191) (159,173) (35,408) (4,888) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (53,799) -------------- -------------- -------------- -------------- -------------- -------------- (182,433) (6,191) (159,173) (35,408) (4,888) (53,799) -------------- -------------- -------------- -------------- -------------- -------------- (172,459) (8,641) (192,646) (45,950) (7,511) (97,049) -------------- -------------- -------------- -------------- -------------- -------------- $ (170,655) $ (8,508) $ (189,597) $ (45,334) $ (7,485) $ (99,033) ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED) For the six months ended September 30, 2002
STRATEGIC CAPITAL GROWTH(A) GROWTH --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 2# $ -- Dividends (Net of foreign withholding taxes of $0, $0, $0, $0, $13, $3 and $0, respectively)......................... 1,628# 1,562 Dividend income from affiliated funds....................... 82# 134 Securities lending.......................................... 27# 8 Allocated from Portfolio: Interest+................................................... 50 -- Dividends (Net of foreign withholding taxes of $29, $0, $309, $0, $0, $0 and $0, respectively)+................... 10,306 -- Dividend income from affiliated funds+...................... 379 -- Securities lending+......................................... 18 -- Expenses+................................................... (5,241) -- -------------- -------------- Total investment income/(loss).......................... 7,251 1,704 -------------- -------------- EXPENSES: Investment advisory fee..................................... 912# 1,021 Administration fee.......................................... 1,472 361 Transfer agent fees......................................... 228 59 Custodian fees.............................................. 9# 21 Legal and audit fees........................................ 58 47 Registration and filing fees................................ 61 58 Trustees' fees and expenses................................. 7 7 Interest expense............................................ -- -- Printing expense............................................ 96 54 Other....................................................... 29 7 -------------- -------------- Subtotal................................................ 2,872 1,635 Shareholder servicing and distribution fees: Investor A Shares......................................... 410 38 Investor B Shares......................................... 228 175 Investor C Shares......................................... 67 19 -------------- -------------- Total expenses.......................................... 3,577 1,867 Fees waived by investment advisor and/or administrator...... -- -- Fees reduced by credits allowed by the custodian............ -- --* -------------- -------------- Net expenses............................................ 2,333 1,867 -------------- -------------- NET INVESTMENT INCOME/(LOSS)................................ 3,674 (163) -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... -- (39,315) Written options........................................... -- -- Futures contracts......................................... -- -- Foreign currency transactions............................. -- -- Allocated from Portfolio: Security transactions+.................................... (197,603) -- Foreign currency transactions+............................ -- -- -------------- -------------- Net realized gain/(loss) on investments..................... (197,603) (39,315) -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities (Note 11)...................................... -- (73,572) Futures contracts......................................... -- -- Securities allocated from Portfolio (Note 11)+............ (310,657) -- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... (310,657) (73,572) -------------- -------------- Net realized and unrealized gain/(loss) on investments...... (508,260) (112,887) -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ (504,586) $ (113,050) ============== ==============
- --------------- * Amount represents less than $500. + Allocated from Strategic Growth Master Portfolio and Focused Equities Master Portfolio, respectively. # Amount represents results from operations prior to conversion to master-feeder structure. (a)As of May 13, 2002, Strategic Growth Fund converted to a master-feeder structure. SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
FOCUSED MIDCAP 21ST SMALL FINANCIAL EQUITIES GROWTH CENTURY COMPANY SERVICES - -------------------------------------------------------------------------------------- $ -- $ -- $ 11 $ -- $ 1 -- 955 203 1,398 37 -- 278 --* 262 2 -- 86 5 133 1 456 -- -- -- -- 6,075 -- -- -- -- 1 -- -- -- -- 182 -- -- -- -- (7,026) -- -- -- -- -------------- -------------- -------------- -------------- -------------- (312) 1,319 219 1,793 41 -------------- -------------- -------------- -------------- -------------- -- 1,815 222 2,931 20 1,058 643 68 749 6 709 102 18 112 1 -- 26 4 27 --* 48 49 33 49 35 27 58 33 69 10 15 7 7 7 8 -- -- --* 1 -- 178 49 39 64 21 33 10 1 13 --* -------------- -------------- -------------- -------------- -------------- 2,068 2,759 425 4,022 101 630 41 17 171 1 3,066 179 193 83 1 887 12 20 19 --* -------------- -------------- -------------- -------------- -------------- 6,651 2,991 655 4,295 103 -- -- -- (277) (67) -- --* --* --* --* -------------- -------------- -------------- -------------- -------------- 6,651 2,991 655 4,018 36 -------------- -------------- -------------- -------------- -------------- (6,963) (1,672) (436) (2,225) 5 -------------- -------------- -------------- -------------- -------------- -- (99,392) (1,741) (44,260) (358) -- -- -- -- -- -- -- -- -- -- -- -- 2 -- -- (118,688) -- -- -- -- (68) -- -- -- -- -------------- -------------- -------------- -------------- -------------- (118,756) (99,392) (1,739) (44,260) (358) -------------- -------------- -------------- -------------- -------------- -- (147,477) (5,620) (185,373) (979) -- -- -- -- -- (180,310) -- -- -- -- -------------- -------------- -------------- -------------- -------------- (180,310) (147,477) (5,620) (185,373) (979) -------------- -------------- -------------- -------------- -------------- (299,066) (246,869) (7,359) (229,633) (1,337) -------------- -------------- -------------- -------------- -------------- $ (306,029) $ (248,541) $ (7,795) $ (231,858) $ (1,332) ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 49 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
CONVERTIBLE SECURITIES ASSET ALLOCATION --------------------------------- --------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/02 YEAR ENDED 9/30/02 YEAR ENDED (UNAUDITED) 3/31/02 (UNAUDITED) 3/31/02 ----------------------------------------------------------------------- (IN THOUSANDS) Net investment income/(loss)....................... $ 12,297 $ 19,147 $ 2,455 $ 6,727 Net realized gain/(loss) on investments............ (40,107) (32,879) (17,930) (10,376) Net realized gain/(loss) on investments allocated from Portfolio................................... -- -- -- -- Net change in unrealized appreciation/(depreciation) of investments....... (97,907) 34,804 (44,744) (2,301) Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio......................... -- -- -- -- -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations.................................. (125,717) 21,072 (60,219) (5,950) Distributions to shareholders from net investment income: Primary A Shares................................. (5,938) (5,011) (380) (854) Investor A Shares................................ (4,511) (10,164) (1,630) (4,085) Investor B Shares................................ (1,369) (1,912) (476) (1,486) Investor C Shares................................ (287) (398) (12) (41) Distributions to shareholders from net realized gain on investments: Primary A Shares................................. -- (282) -- (21) Investor A Shares................................ -- (956) -- (365) Investor B Shares................................ -- (176) -- (166) Investor C Shares................................ -- (34) -- (4) Net increase/(decrease) in net assets from Fund share transactions............................... 279,983 215,625 (41,565) 53,397 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets.............. 142,161 217,764 (104,282) 40,425 NET ASSETS: Beginning of period................................ 668,838 451,074 392,069 351,644 -------------- -------------- -------------- -------------- End of period...................................... $ 810,999 $ 668,838 $ 287,787 $ 392,069 ============== ============== ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period.............. $ 1,851 $ 1,659 $ 451 $ 494 ============== ============== ============== ==============
- --------------- * Amount represents less than $500. (a)Classic Value commenced operations on April 16, 2001. (b)LargeCap Value commenced operations on November 20, 2001. SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
CLASSIC VALUE LARGECAP VALUE VALUE ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/02 PERIOD ENDED 9/30/02 PERIOD ENDED 9/30/02 YEAR ENDED (UNAUDITED) 3/31/02(A) (UNAUDITED) 3/31/02(B) (UNAUDITED) 3/31/02 - ------------------------------------------------------------------------------------------------------- $ 1,804 $ 1,194 $ 133 $ 23 $ 3,049 $ 7,979 9,974 12,986 (2,450) 29 (33,473) 42,471 -- -- -- -- -- -- (182,433) 20,237 (6,191) 416 (159,173) (10,147) -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- (170,655) 34,417 (8,508) 468 (189,597) 40,303 -- (663) (127) (16) (2,700) (6,690) -- (26) (3) --* (227) (413) -- (4) (1) --* (132) (187) -- (5) --* --* (12) (18) (8,347) (1,106) (32) -- (7,879) (69,242) (514) (59) (1) -- (885) (5,561) (1,111) (144) (1) -- (1,224) (7,789) (1,198) (193) --* -- (116) (734) 131,101 336,999 15,665 17,996 29,122 (302,611) -------------- -------------- -------------- -------------- -------------- -------------- (50,724) 369,216 6,992 18,448 (173,650) (352,942) 369,216 -- 18,448 -- 659,008 1,011,950 -------------- -------------- -------------- -------------- -------------- -------------- $ 318,492 $ 369,216 $ 25,440 $ 18,448 $ 485,358 $ 659,008 ============== ============== ============== ============== ============== ============== $ 2,300 $ 496 $ 9 $ 7 $ 498 $ 521 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MIDCAP VALUE SMALLCAP VALUE --------------------------------- -------------- SIX MONTHS PERIOD ENDED ENDED 9/30/02 PERIOD ENDED 9/30/02(A) (UNAUDITED) 3/31/02(C) (UNAUDITED) ---------------------------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 616 $ 75 $ 26 Net realized gain/(loss) on investments..................... (10,542) 417 (2,623) Net realized gain/(loss) on investments allocated from Portfolio+................................................ -- -- -- Net change in unrealized appreciation/(depreciation) of investments............................................... (35,408) 6,099 (4,888) Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+..................... -- -- -- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ (45,334) 6,591 (7,485) Distributions to shareholders from net investment income: Primary A Shares.......................................... (234) (279) -- Investor A Shares......................................... (1) (1) -- Investor B Shares......................................... -- (1) -- Investor C Shares......................................... -- -- -- Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... (214) -- -- Investor A Shares......................................... (2) -- -- Investor B Shares......................................... (2) -- -- Investor C Shares......................................... --* -- -- Net increase/(decrease) in net assets from Fund share transactions.............................................. 153,800 93,768 59,264 -------------- -------------- -------------- Net increase/(decrease) in net assets....................... 108,013 100,078 51,779 NET ASSETS: Beginning of period......................................... 100,078 -- -- -------------- -------------- -------------- End of period............................................... $ 208,091 $ 100,078 $ 51,779 ============== ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ 381 $ -- $ 26 ============== ============== ==============
- --------------- * Amount represents less than $500. + Allocated from Growth Master Portfolio and Strategic Growth Portfolio, respectively. # Amount represents results from operations prior to conversion to master-feeder structure. (a)SmallCap Value commenced operations on May 1, 2002. (b)As of May 13, 2002, Strategic Growth Fund converted to a master-feeder structure. (c)MidCap Value commenced operations on November 20, 2001. SEE NOTES TO FINANCIAL STATEMENTS. 52 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
GROWTH STRATEGIC GROWTH CAPITAL GROWTH ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/02 YEAR ENDED 9/30/02(B) YEAR ENDED 9/30/02 YEAR ENDED (UNAUDITED) 3/31/02 (UNAUDITED) 3/31/02 (UNAUDITED) 3/31/02 - ------------------------------------------------------------------------------------------------------- $ (1,984) $ (4,842) $ 3,674 $ 2,246 $ (163) $ (1,132) -- -- (25,186)# (112,990) (39,315) (3,694) (43,250) (77,363) (172,417)# -- -- -- -- -- (100,734)# 109,777 (73,572) (2,066) (53,799) 75,622 (209,923) -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- (99,033) (6,583) (504,586) (967) (113,050) (6,892) -- -- (1,128) (1,543) -- -- -- -- (176) (23) -- -- -- -- (19) --* -- -- -- -- -- --* -- -- -- -- -- -- -- (15,951) -- -- -- -- -- (1,040) -- -- -- -- -- (1,528) -- -- -- -- -- (110) 32,826 8,144 1,149,221 67,490 618 (213,683) -------------- -------------- -------------- -------------- -------------- -------------- (66,207) 1,561 643,312 64,957 (112,432) (239,204) 518,104 516,543 1,267,775 1,202,818 374,142 613,346 -------------- -------------- -------------- -------------- -------------- -------------- $ 451,897 $ 518,104 $ 1,911,087 $ 1,267,775 $ 261,710 $ 374,142 ============== ============== ============== ============== ============== ============== $ (1,992) $ (8) $ 3,031 $ 680 $ (163) $ -- ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 53 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOCUSED EQUITIES MIDCAP GROWTH --------------------------------- --------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/02 YEAR ENDED 9/30/02 YEAR ENDED (UNAUDITED) 3/31/02 (UNAUDITED) 3/31/02 ----------------------------------------------------------------------- (IN THOUSANDS) Net investment income/(loss)........................ $ (6,963) $ (15,787) $ (1,672) $ (3,105) Net realized gain/(loss) on investments............. -- -- (99,392) (43,669) Net realized gain/(loss) on investments allocated from Portfolio+................................... (118,756) (257,297) -- -- Net change in unrealized appreciation/(depreciation) of investments.................................... -- -- (147,477) (40,763) Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+.......... (180,310) 309,781 -- -- -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................... (306,029) 36,697 (248,541) (87,537) Distributions to shareholders from net investment income: Primary A Shares.................................. -- -- -- -- Investor A Shares................................. -- -- -- -- Investor B Shares................................. -- -- -- -- Investor C Shares................................. -- -- -- -- Distributions to shareholders from net realized gain on investments: Primary A Shares.................................. -- -- -- -- Investor A Shares................................. -- -- -- -- Investor B Shares................................. -- -- -- -- Investor C Shares................................. -- -- -- -- Net increase/(decrease) in net assets from Fund share transactions................................ 94,908 (105,304) 147,038 263,384 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets............... (211,121) (68,607) (101,503) 175,847 NET ASSETS: Beginning of period................................. 1,722,555 1,791,162 628,044 452,197 -------------- -------------- -------------- -------------- End of period....................................... $ 1,511,434 $ 1,722,555 $ 526,541 $ 628,044 ============== ============== ============== ============== Undistributed net investment income/(loss)/ (distributions in excess of net investment income) at end of period.................................. $ (6,963) $ -- $ (1,672) $ -- ============== ============== ============== ==============
- --------------- * Amount represents less than $500. + Allocated from Focused Equities Master Portfolio. SEE NOTES TO FINANCIAL STATEMENTS. 54 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
21ST CENTURY SMALL COMPANY FINANCIAL SERVICES ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/02 YEAR ENDED 9/30/02 YEAR ENDED 9/30/02 YEAR ENDED (UNAUDITED) 3/31/02 (UNAUDITED) 3/31/02 (UNAUDITED) 3/31/02 - ------------------------------------------------------------------------------------------------------- $ (436) $ (1,101) $ (2,225) $ (4,092) $ 5 $ 3 (1,739) (10,019) (44,260) (10,588) (358) (204) -- -- -- -- -- -- (5,620) 10,766 (185,373) 83,151 (979) 426 -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- (7,795) (354) (231,858) 68,471 (1,332) 225 -- -- -- -- -- (6) -- -- -- -- -- --* -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (8,643) (15,993) 38,574 45,203 (25) 5,734 -------------- -------------- -------------- -------------- -------------- -------------- (16,438) (16,347) (193,284) 113,674 (1,357) 5,953 65,944 82,291 751,934 638,260 5,953 -- -------------- -------------- -------------- -------------- -------------- -------------- $ 49,506 $ 65,944 $ 558,650 $ 751,934 $ 4,596 $ 5,953 ============== ============== ============== ============== ============== ============== $ (436) $ -- $ (2,225) $ -- $ 5 $ -- ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 55 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
CONVERTIBLE SECURITIES SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 17,237 $ 263,130 26,494 $ 418,389 Issued in exchange for net assets of: Bank of America Equity Income Fund (Note 11)............ 846 11,664 -- -- Bank of America Equity & Convertible Fund (Note 11)..... 5,772 79,598 -- -- Issued in exchange for Primary A Shares of Nations Equity Income Fund (Note 11)................................... 3,257 51,793 -- -- Issued as reinvestment of dividends....................... 33 473 36 579 Redeemed.................................................. (12,308) (191,095) (16,504) (261,491) ------- --------- ------- --------- Net increase/(decrease)................................... 14,837 $ 215,563 10,026 $ 157,477 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 3,706 $ 56,563 3,821 $ 60,434 Issued in exchange for Investor A Shares of Nations Equity Income Fund (Note 11)................................... 1,267 20,137 -- -- Issued as reinvestment of dividends....................... 286 4,073 640 10,143 Redeemed.................................................. (4,505) (67,710) (4,057) (63,947) ------- --------- ------- --------- Net increase/(decrease)................................... 754 $ 13,063 404 $ 6,630 ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 1,745 $ 25,866 3,260 $ 51,688 Issued in exchange for Investor B Shares of Nations Equity Income Fund (Note 11)................................... 1,998 31,448 -- -- Issued as reinvestment of dividends....................... 84 1,184 114 1,791 Redeemed.................................................. (1,102) (15,842) (806) (12,510) ------- --------- ------- --------- Net increase/(decrease)................................... 2,725 $ 42,656 2,568 $ 40,969 ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 601 $ 9,004 847 $ 13,519 Issued in exchange for Investor C Shares of Nations Equity Income Fund (Note 11)................................... 137 2,170 -- -- Issued as reinvestment of dividends....................... 13 191 19 307 Redeemed.................................................. (183) (2,664) (208) (3,277) ------- --------- ------- --------- Net increase/(decrease)................................... 568 $ 8,701 658 $ 10,549 ======= ========= ======= ========= Total net increase/(decrease)............................. 18,884 $ 279,983 13,656 $ 215,625 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 56 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
ASSET ALLOCATION SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 146 $ 2,736 74 $ 1,500 Issued in exchange for Primary A Shares of Nations Balanced Assets Fund (Note 11).......................... -- -- 1,518 32,586 Issued as reinvestment of dividends....................... 14 251 10 195 Redeemed.................................................. (98) (1,767) (213) (4,256) ------ -------- ------ -------- Net increase/(decrease)................................... 62 $ 1,220 1,389 $ 30,025 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 323 $ 5,809 570 $ 11,588 Issued in exchange for Investor A Shares of Nations Balanced Assets Fund (Note 11).......................... -- -- 701 15,029 Issued as reinvestment of dividends....................... 91 1,588 218 4,346 Redeemed.................................................. (1,750) (31,167) (1,661) (33,660) ------ -------- ------ -------- Net increase/(decrease)................................... (1,336) $(23,770) (172) $ (2,697) ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 122 $ 2,230 424 $ 8,536 Issued in exchange for Investor B Shares of Nations Balanced Assets Fund (Note 11).......................... -- -- 1,944 41,435 Issued as reinvestment of dividends....................... 25 426 74 1,475 Redeemed.................................................. (1,175) (20,979) (1,314) (26,259) ------ -------- ------ -------- Net increase/(decrease)................................... (1,028) $(18,323) 1,128 $ 25,187 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 19 $ 346 45 $ 921 Issued in exchange for Investor C Shares of Nations Balanced Assets Fund (Note 11).......................... -- -- 90 1,912 Issued as reinvestment of dividends....................... 1 11 2 41 Redeemed.................................................. (60) (1,049) (100) (1,992) ------ -------- ------ -------- Net increase/(decrease)................................... (40) $ (692) 37 $ 882 ====== ======== ====== ======== Total net increase/(decrease)............................. (2,342) $(41,565) 2,382 $ 53,397 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 57 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
CLASSIC VALUE SIX MONTHS ENDED SEPTEMBER 30, 2002 PERIOD ENDED (UNAUDITED) MARCH 31, 2002 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES:+ Sold...................................................... 12,913 $137,560 24,229 $267,418 Issued as reinvestment of dividends....................... 120 1,409 18 197 Redeemed.................................................. (3,603) (35,514) (1,497) (16,863) ------ -------- ------ -------- Net increase/(decrease)................................... 9,430 $103,455 22,750 $250,752 ====== ======== ====== ======== INVESTOR A SHARES:+ Sold...................................................... 1,071 $ 11,375 1,678 $ 18,594 Issued as reinvestment of dividends....................... 34 393 6 67 Redeemed.................................................. (544) (5,442) (264) (2,886) ------ -------- ------ -------- Net increase/(decrease)................................... 561 $ 6,326 1,420 $ 15,775 ====== ======== ====== ======== INVESTOR B SHARES:+ Sold...................................................... 1,385 $ 15,074 3,198 $ 35,160 Issued as reinvestment of dividends....................... 82 955 12 126 Redeemed.................................................. (655) (6,310) (166) (1,816) ------ -------- ------ -------- Net increase/(decrease)................................... 812 $ 9,719 3,044 $ 33,470 ====== ======== ====== ======== INVESTOR C SHARES:+ Sold...................................................... 1,340 $ 14,576 3,500 $ 37,993 Issued as reinvestment of dividends....................... 66 773 14 147 Redeemed.................................................. (399) (3,748) (104) (1,138) ------ -------- ------ -------- Net increase/(decrease)................................... 1,007 $ 11,601 3,410 $ 37,002 ====== ======== ====== ======== Total net increase/(decrease)............................. 11,810 $131,101 30,624 $336,999 ====== ======== ====== ========
- --------------- + Classic Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on April 16, 2001. SEE NOTES TO FINANCIAL STATEMENTS. 58 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
LARGECAP VALUE SIX MONTHS ENDED SEPTEMBER 30, 2002 PERIOD ENDED (UNAUDITED) MARCH 31, 2002 ------------------- ----------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES:+ Sold...................................................... 1,646 $15,621 1,672 $17,450 Issued as reinvestment of dividends....................... 1 30 1 8 Redeemed.................................................. (173) (1,515) (7) (68) ----- ------- ----- ------- Net increase/(decrease)................................... 1,474 $14,136 1,666 $17,390 ===== ======= ===== ======= INVESTOR A SHARES:+ Sold...................................................... 77 $ 702 30 $ 304 Issued as reinvestment of dividends....................... --* 3 --* --* Redeemed.................................................. (11) (100) -- -- ----- ------- ----- ------- Net increase/(decrease)................................... 66 $ 605 30 $ 304 ===== ======= ===== ======= INVESTOR B SHARES:+ Sold...................................................... 100 $ 887 27 $ 282 Issued as reinvestment of dividends....................... --* 2 --* --* Redeemed.................................................. (3) (28) --* --* ----- ------- ----- ------- Net increase/(decrease)................................... 97 $ 861 27 $ 282 ===== ======= ===== ======= INVESTOR C SHARES:+ Sold...................................................... 7 $ 67 2 $ 20 Issued as reinvestment of dividends....................... --* --* --* --* Redeemed.................................................. --* (4) -- -- ----- ------- ----- ------- Net increase/(decrease)................................... 7 $ 63 2 $ 20 ===== ======= ===== ======= Total net increase/(decrease)............................. 1,644 $15,665 1,725 $17,996 ===== ======= ===== =======
- --------------- * Amount represents less than 500 shares and/or $500, as applicable. + LargeCap Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on November 20, 2001. SEE NOTES TO FINANCIAL STATEMENTS. 59 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
VALUE SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 6,577 $ 65,960 14,640 $ 161,844 Issued in exchange for net assets of Bank of America Equity Value Fund (Note 11)............................. 501 4,521 -- -- Issued as reinvestment of dividends....................... 521 5,621 4,255 51,786 Redeemed.................................................. (3,550) (36,421) (44,169) (502,697) ------ -------- ------- --------- Net increase/(decrease)................................... 4,049 $ 39,681 (25,274) $(289,067) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 439 $ 4,656 1,256 $ 14,612 Issued as reinvestment of dividends....................... 92 996 422 5,137 Redeemed.................................................. (776) (7,895) (2,140) (24,523) ------ -------- ------- --------- Net increase/(decrease)................................... (245) $ (2,243) (462) $ (4,774) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 205 $ 2,121 583 $ 6,590 Issued as reinvestment of dividends....................... 118 1,271 624 7,463 Redeemed.................................................. (1,116) (10,934) (2,000) (22,285) ------ -------- ------- --------- Net increase/(decrease)................................... (793) $ (7,542) (793) $ (8,232) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 64 $ 662 118 $ 1,343 Issued as reinvestment of dividends....................... 11 118 60 719 Redeemed.................................................. (154) (1,554) (234) (2,600) ------ -------- ------- --------- Net increase/(decrease)................................... (79) $ (774) (56) $ (538) ====== ======== ======= ========= Total net increase/(decrease)............................. 2,932 $ 29,122 (26,585) $(302,611) ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 60 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MIDCAP VALUE SIX MONTHS ENDED SEPTEMBER 30, 2002 PERIOD ENDED (UNAUDITED) MARCH 31, 2002 ------------------ ----------------- SHARES DOLLARS SHARES DOLLARS ----------------------------------------- (IN THOUSANDS) PRIMARY A SHARES:+ Sold...................................................... 17,116 $173,152 8,827 $93,588 Issued as reinvestment of dividends....................... 8 85 8 85 Redeemed.................................................. (2,257) (22,793) (95) (1,040) ------ -------- ----- ------- Net increase/(decrease)................................... 14,867 $150,444 8,740 $92,633 ====== ======== ===== ======= INVESTOR A SHARES:+ Sold...................................................... 264 $ 2,656 50 $ 540 Issued as reinvestment of dividends....................... --* 3 --* 1 Redeemed.................................................. (100) (954) --* --* ------ -------- ----- ------- Net increase/(decrease)................................... 164 $ 1,705 50 $ 541 ====== ======== ===== ======= INVESTOR B SHARES:+ Sold...................................................... 160 $ 1,649 47 $ 507 Issued as reinvestment of dividends....................... --* 2 --* 1 Redeemed.................................................. (28) (272) --* (5) ------ -------- ----- ------- Net increase/(decrease)................................... 132 $ 1,379 47 $ 503 ====== ======== ===== ======= INVESTOR C SHARES:+ Sold...................................................... 30 $ 300 8 $ 91 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (3) (28) -- -- ------ -------- ----- ------- Net increase/(decrease)................................... 27 $ 272 8 $ 91 ====== ======== ===== ======= Total net increase/(decrease)............................. 15,190 $153,800 8,845 $93,768 ====== ======== ===== =======
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. + MidCap Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on November 20, 2001. SEE NOTES TO FINANCIAL STATEMENTS. 61 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SMALLCAP VALUE PERIOD ENDED SEPTEMBER 30, 2002 (UNAUDITED) ------------------- SHARES DOLLARS ------------------- (IN THOUSANDS) PRIMARY A SHARES:+ Sold...................................................... 6,606 $59,575 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. (110) (924) ----- ------- Net increase/(decrease)................................... 6,496 $58,651 ===== ======= INVESTOR A SHARES:+ Sold...................................................... 50 $ 461 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. (3) (28) ----- ------- Net increase/(decrease)................................... 47 $ 433 ===== ======= INVESTOR B SHARES:+ Sold...................................................... 18 $ 168 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. --* (3) ----- ------- Net increase/(decrease)................................... 18 $ 165 ===== ======= INVESTOR C SHARES:+ Sold...................................................... 2 $ 15 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. -- -- ----- ------- Net increase/(decrease)................................... 2 $ 15 ===== ======= Total net increase/(decrease)............................. 6,563 $59,264 ===== =======
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. + SmallCap Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on May 1, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 62 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
GROWTH SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 830 $ 10,801 1,241 $ 18,532 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (554) (7,639) (2,670) (38,838) ------ -------- ------ -------- Net increase/(decrease)................................... 276 $ 3,162 (1,429) $(20,306) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 5,983 $ 82,251 8,784 $124,273 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (3,213) (43,107) (5,006) (71,687) ------ -------- ------ -------- Net increase/(decrease)................................... 2,770 $ 39,144 3,778 $ 52,586 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 558 $ 7,322 1,606 $ 22,575 Issued as reinvestment of dividends....................... -- -- --* --* Redeemed.................................................. (2,137) (27,785) (3,416) (46,801) ------ -------- ------ -------- Net increase/(decrease)................................... (1,579) $(20,463) (1,810) $(24,226) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 1,145 $ 14,692 666 $ 9,283 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (286) (3,709) (659) (9,193) ------ -------- ------ -------- Net increase/(decrease)................................... 859 $ 10,983 7 $ 90 ====== ======== ====== ======== Total net increase/(decrease)............................. 2,326 $ 32,826 546 $ 8,144 ====== ======== ====== ========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 63 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
STRATEGIC GROWTH SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 --------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ----------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 19,857 $ 199,659 37,365 $ 460,120 Issued in exchange for net assets of: Bank of America Equity Fund (Note 11)................... 47,950 429,632 -- -- Bank of America Charitable Equity Fund (Note 11)........ 17,441 156,270 -- -- Issued in exchange for Primary A Shares Nations Blue Chip Fund (Note 11).......................................... 3,963 44,150 -- -- Issued as reinvestment of dividends....................... 3 29 2 19 Redeemed.................................................. (15,494) (157,676) (32,601) (411,062) ------- ---------- ------- --------- Net increase/(decrease)................................... 73,720 $ 672,064 4,766 $ 49,077 ======= ========== ======= ========= INVESTOR A SHARES: Sold...................................................... 2,721 $ 27,985 2,960 $ 37,687 Issued in exchange for Investor A Shares Nations Blue Chip Fund (Note 11).......................................... 41,355 459,035 -- -- Issued as reinvestment of dividends....................... 15 166 1 12 Redeemed.................................................. (7,793) (76,265) (1,744) (21,580) ------- ---------- ------- --------- Net increase/(decrease)................................... 36,298 $ 410,921 1,217 $ 16,119 ======= ========== ======= ========= INVESTOR B SHARES: Sold...................................................... 152 $ 1,573 257 $ 3,119 Issued in exchange for Investor B Shares Nations Blue Chip Fund (Note 11).......................................... 5,502 59,865 -- -- Issued as reinvestment of dividends....................... 2 17 --* --* Redeemed.................................................. (1,040) (10,046) (115) (1,387) ------- ---------- ------- --------- Net increase/(decrease)................................... 4,616 $ 51,409 142 $ 1,732 ======= ========== ======= ========= INVESTOR C SHARES: Sold...................................................... 1,285 $ 14,217 73 $ 900 Issued in exchange for Investor C Shares Nations Blue Chip Fund (Note 11).......................................... 309 3,360 -- -- Issued as reinvestment of dividends....................... -- -- --* --* Redeemed.................................................. (280) (2,750) (28) (338) ------- ---------- ------- --------- Net increase/(decrease)................................... 1,314 $ 14,827 45 $ 562 ======= ========== ======= ========= Total net increase/(decrease)............................. 115,948 $1,149,221 6,170 $ 67,490 ======= ========== ======= =========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 64 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
CAPITAL GROWTH SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 3,018 $ 18,830 9,641 $ 75,399 Issued in exchange for net assets of Bank of America Equity Growth Fund (Note 11)............................ 1,400 7,660 -- -- Issued in exchange for Primary A Shares of Nations Aggressive Growth Fund (Note 11)........................ 1,184 8,150 -- -- Issued as reinvestment of dividends....................... -- -- 628 5,857 Redeemed.................................................. (7,080) (45,094) (35,516) (290,110) ------ -------- ------- --------- Net increase/(decrease)................................... (1,478) $(10,454) (25,247) $(208,854) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 1,037 $ 6,716 1,741 $ 13,680 Issued in exchange for Investor A Shares of Nations Aggressive Growth Fund (Note 11)........................ 1,762 11,877 -- -- Issued as reinvestment of dividends....................... -- -- 99 906 Redeemed.................................................. (1,694) (10,711) (2,036) (16,042) ------ -------- ------- --------- Net increase/(decrease)................................... 1,105 $ 7,882 (196) $ (1,456) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 208 $ 1,256 369 $ 2,634 Issued in exchange for Investor B Shares of Nations Aggressive Growth Fund (Note 11)........................ 1,483 9,111 -- -- Issued as reinvestment of dividends....................... -- -- 174 1,460 Redeemed.................................................. (1,238) (6,995) (1,229) (8,913) ------ -------- ------- --------- Net increase/(decrease)................................... 453 $ 3,372 (686) $ (4,819) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 64 $ 385 294 $ 2,086 Issued in exchange for Investor C Shares of Nations Aggressive Growth Fund (Note 11)........................ 64 396 -- -- Issued as reinvestment of dividends....................... -- -- 12 100 Redeemed.................................................. (173) (963) (102) (740) ------ -------- ------- --------- Net increase/(decrease)................................... (45) $ (182) 204 $ 1,446 ====== ======== ======= ========= Total net increase/(decrease)............................. 35 $ 618 (25,925) $(213,683) ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 65 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
FOCUSED EQUITIES SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 4,445 $ 64,467 5,380 $ 81,909 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (2,366) (34,490) (6,627) (100,672) ------ -------- ------- --------- Net increase/(decrease)................................... 2,079 $ 29,977 (1,247) $ (18,763) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 13,894 $197,817 10,257 $ 156,397 Issued as reinvestment of dividends....................... -- -- --* --* Redeemed.................................................. (6,287) (91,763) (10,156) (152,458) ------ -------- ------- --------- Net increase/(decrease)................................... 7,607 $106,054 101 $ 3,939 ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 1,898 $ 27,188 3,687 $ 55,115 Issued as reinvestment of dividends....................... -- -- --* --* Redeemed.................................................. (5,330) (74,461) (8,766) (127,689) ------ -------- ------- --------- Net increase/(decrease)................................... (3,432) $(47,273) (5,079) $ (72,574) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 2,056 $ 28,972 2,082 $ 31,291 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (1,608) (22,822) (3,336) (49,197) ------ -------- ------- --------- Net increase/(decrease)................................... 448 $ 6,150 (1,254) $ (17,906) ====== ======== ======= ========= Total net increase/(decrease)............................. 6,702 $ 94,908 (7,479) $(105,304) ====== ======== ======= =========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 66 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MIDCAP GROWTH SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 11,593 $ 116,551 44,038 $ 629,113 Issued in exchange for net assets of Bank of America Equity Midcap Fund (Note 11)............................ 15,827 139,116 -- -- Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (12,193) (121,264) (29,130) (390,347) ------- --------- ------- --------- Net increase/(decrease)................................... 15,227 $ 134,403 14,908 $ 238,766 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 5,352 $ 54,056 5,425 $ 69,948 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (4,018) (40,121) (4,071) (52,029) ------- --------- ------- --------- Net increase/(decrease)................................... 1,334 $ 13,935 1,354 $ 17,919 ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 430 $ 4,245 1,419 $ 17,481 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (651) (5,669) (915) (10,940) ------- --------- ------- --------- Net increase/(decrease)................................... (221) $ (1,424) 504 $ 6,541 ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 75 $ 709 177 $ 2,163 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (68) (585) (167) (2,005) ------- --------- ------- --------- Net increase/(decrease)................................... 7 $ 124 10 $ 158 ======= ========= ======= ========= Total net increase/(decrease)............................. 16,347 $ 147,038 16,776 $ 263,384 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 67 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
21ST CENTURY SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 101 $ 708 246 $ 1,719 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (198) (1,380) (588) (3,831) ------ ------- ------ -------- Net increase/(decrease)................................... (97) $ (672) (342) $ (2,112) ====== ======= ====== ======== INVESTOR A SHARES: Sold...................................................... 91 $ 615 126 $ 877 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (357) (2,412) (859) (5,730) ------ ------- ------ -------- Net increase/(decrease)................................... (266) $(1,797) (733) $ (4,853) ====== ======= ====== ======== INVESTOR B SHARES: Sold...................................................... 91 $ 614 391 $ 2,683 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (935) (6,138) (1,473) (9,834) ------ ------- ------ -------- Net increase/(decrease)................................... (844) $(5,524) (1,082) $ (7,151) ====== ======= ====== ======== INVESTOR C SHARES: Sold...................................................... 47 $ 297 41 $ 282 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (140) (947) (319) (2,159) ------ ------- ------ -------- Net increase/(decrease)................................... (93) $ (650) (278) $ (1,877) ====== ======= ====== ======== Total net increase/(decrease)............................. (1,300) $(8,643) (2,435) $(15,993) ====== ======= ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 68 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SMALL COMPANY SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 46,267 $ 577,984 65,130 $ 926,484 Issued in exchange for net assets of Bank of America SmallCap Equity Fund (Note 11).......................... 2,522 27,839 -- -- Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (46,550) (585,021) (61,974) (883,993) ------- --------- ------- --------- Net increase/(decrease)................................... 2,239 $ 20,802 3,156 $ 42,491 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 4,439 $ 52,175 5,848 $ 82,756 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (3,044) (37,738) (6,051) (85,378) ------- --------- ------- --------- Net increase/(decrease)................................... 1,395 $ 14,437 (203) $ (2,622) ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 374 $ 4,778 533 $ 7,276 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (204) (2,370) (204) (2,714) ------- --------- ------- --------- Net increase/(decrease)................................... 170 $ 2,408 329 $ 4,562 ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 119 $ 1,520 200 $ 2,775 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (51) (593) (144) (2,003) ------- --------- ------- --------- Net increase/(decrease)................................... 68 $ 927 56 $ 772 ======= ========= ======= ========= Total net increase/(decrease)............................. 3,872 $ 38,574 3,338 $ 45,203 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 69 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
FINANCIAL SERVICES SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 ------------------- ----------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 5 $ 44 1,015 $10,274 Issued as reinvestment of dividends....................... -- -- 1 6 Redeemed.................................................. -- -- (501) (5,131) --- ----- ----- ------- Net increase/(decrease)................................... 5 $ 44 515 $ 5,149 === ===== ===== ======= INVESTOR A SHARES: Sold...................................................... 9 $ 82 30 $ 288 Issued as reinvestment of dividends....................... -- -- --* --* Redeemed.................................................. (15) (157) --* (1) --- ----- ----- ------- Net increase/(decrease) (6) $ (75) 30 $ 287 === ===== ===== ======= INVESTOR B SHARES: Sold...................................................... 3 $ 32 27 $ 268 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (3) (26) (1) (11) --- ----- ----- ------- Net increase/(decrease)................................... --* $ 6 26 $ 257 === ===== ===== ======= INVESTOR C SHARES:+ Sold...................................................... --* $ --* 4 $ 41 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. -- -- -- -- --- ----- ----- ------- Net increase/(decrease)................................... --* $ --* 4 $ 41 === ===== ===== ======= Total net increase/(decrease)............................. (1) $ (25) 575 $ 5,734 === ===== ===== =======
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. + Financial Services Investor C Shares commenced operations on December 13, 2001. SEE NOTES TO FINANCIAL STATEMENTS. 70 [This page intentionally left blank] 71 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 ------------------------------------------------------------------------- CONVERTIBLE SECURITIES PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $16.03 $0.26 $(2.67) $(2.41) $(0.23) Year ended 3/31/2002#..................... 16.05 0.59 -- 0.59 (0.56) Year ended 3/31/2001...................... 22.18 0.51 (2.00) (1.49) (0.60) Period ended 3/31/2000**#................. 18.15 0.42 5.52 5.94 (0.50) INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $16.02 $0.23 $(2.65) $(2.42) $(0.22) Year ended 3/31/2002#..................... 16.04 0.59 (0.04) 0.55 (0.52) Year ended 3/31/2001...................... 22.17 0.51 (2.05) (1.54) (0.55) Period ended 3/31/2000#................... 18.31 0.46 5.26 5.72 (0.45) Period ended 5/14/1999.................... 17.34 0.12 0.96 1.08 (0.11) Year ended 2/28/1998...................... 17.35 0.58 2.89 3.47 (0.59) INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $15.88 $0.18 $(2.63) $(2.45) $(0.17) Year ended 3/31/2002#..................... 15.92 0.45 (0.03) 0.42 (0.41) Year ended 3/31/2001...................... 22.06 0.35 (2.00) (1.65) (0.45) Period ended 3/31/2000#................... 18.27 0.44 5.12 5.56 (0.36) Period ended 5/14/1999.................... 17.30 0.09 0.96 1.05 (0.27) Period ended 2/28/1999**.................. 17.67 0.22 (0.17) 0.05 (0.24) INVESTOR C SHARES* Six months ended 9/30/2002# (unaudited)... $16.04 $0.18 $(2.67) $(2.49) $(0.16) Year ended 3/31/2002#..................... 16.08 0.45 (0.03) 0.42 (0.41) Year ended 3/31/2001...................... 22.23 0.35 (2.02) (1.67) (0.44) Period ended 3/31/2000#................... 18.35 0.38 5.22 5.60 (0.31) Period ended 5/14/1999.................... 17.37 0.10 0.97 1.07 (0.09) Year ended 2/28/1999...................... 17.24 0.40 0.31 0.71 (0.40) Year ended 2/28/1998...................... 17.30 0.48 2.89 3.37 (0.48) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- CONVERTIBLE SECURITIES PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.05) Year ended 3/31/2001...................... (4.04) Period ended 3/31/2000**#................. (1.41) INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.05) Year ended 3/31/2001...................... (4.04) Period ended 3/31/2000#................... (1.41) Period ended 5/14/1999.................... -- Year ended 2/28/1998...................... (2.95) INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.05) Year ended 3/31/2001...................... (4.04) Period ended 3/31/2000#................... (1.41) Period ended 5/14/1999.................... -- Period ended 2/28/1999**.................. (0.18) INVESTOR C SHARES* Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.05) Year ended 3/31/2001...................... (4.04) Period ended 3/31/2000#................... (1.41) Period ended 5/14/1999.................... -- Year ended 2/28/1999...................... (0.18) Year ended 2/28/1998...................... (2.95)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * The financial information for the fiscal periods through May 14, 1999 reflect the financial information for the Pacific Horizon Capital Income Fund A, B and K Shares, which were reorganized into the Convertible Securities Investor A, Investor B and Investor C Shares, respectively, as of May 21,1999. Prior to May 21, 1999, the Fund's investment adviser was Bank of America National Trust and Savings Association. Effective May 21, 1999, its investment adviser became Banc of America Advisors, LLC. and its investment sub-adviser became Banc of America Capital Management, LLC. **Convertible Securities Primary A, and Investor B Shares commenced operations on May 21, 1999 and July 15, 1998, respectively. # Per share net investment income (loss) 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. 72 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------- $(0.23) $13.39 (15.10)% $395,876 0.98%+(a) 3.53%+ 19% 0.98%+(a) (0.61) 16.03 3.78 236,202 1.00(a)(b) 3.61 50 1.00(a) (4.64) 16.05 (7.59) 75,627 0.99(a)(b) 3.08 73 1.00(a) (1.91) 22.18 35.21 13,688 0.97+(b) 2.21+ 65 0.98+ $(0.22) $13.38 (15.22)% $278,894 1.23%+(a) 3.28%+ 19% 1.23%+(a) (0.57) 16.02 3.53 321,858 1.25(a)(b) 3.36 50 1.25(a) (4.59) 16.04 (7.88) 315,857 1.24(a)(b) 2.86 73 1.25(a) (1.86) 22.17 33.68 369,488 1.22+(b) 1.96+ 65 1.23+ (0.11) 18.31 6.25 352,000 1.30+ 3.07+ 16 1.32+ (3.54) 17.28 21.54 391,000 1.10(a) 3.35 69 1.12(a) $(0.17) $13.26 (15.52)% $111,609 1.98%+(a) 2.53%+ 19% 1.98%+(a) (0.46) 15.88 2.78 90,408 2.00(a)(b) 2.61 50 2.00(a) (4.49) 15.92 (8.49) 49,763 1.99(a)(b) 2.08 73 2.00(a) (1.77) 22.06 32.76 11,175 1.97+(b) 1.21+ 65 1.98+ (0.08) 18.27 6.10 4,000 2.06+ 2.34+ 16 2.08+ (0.42) 17.30 0.44 3,000 1.96+(a) 2.14+ 66 1.97(a)+ $(0.16) $13.39 (15.56)% $ 24,620 1.98%+(a) 2.53%+ 19% 1.98%+(a) (0.46) 16.04 2.78 20,370 2.00(a)(b) 2.61 50 2.00(a) (4.48) 16.08 (8.50) 9,827 1.99(a)(b) 2.08 73 2.00(a) (1.72) 22.23 32.81 3,033 1.97+(b) 1.21+ 65 1.98+ (0.09) 18.35 6.17 4,000 1.80+ 2.56+ 16 2.07+ (0.58) 17.37 4.29 4,000 1.65(a) 2.45 66 1.91(a) (3.43) 17.24 20.97 3,000 1.60 2.85 69 1.86
SEE NOTES TO FINANCIAL STATEMENTS. 73 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 ------------------------------------------------------------------------- ASSET ALLOCATION PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $19.93 $0.17 $(3.33) $(3.16) $(0.18) Year ended 3/31/2002#..................... 20.32 0.44 (0.39) 0.05 (0.41) Year ended 3/31/2001#..................... 24.35 0.57 (2.84) (2.27) (0.55) Period ended 3/31/2000***#................ 23.06 0.49 1.93 2.42 (0.41) INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $19.92 $0.15 $(3.32) $(3.17) $(0.16) Year ended 3/31/2002#..................... 20.32 0.39 (0.40) (0.01) (0.36) Year ended 3/31/2001#..................... 24.35 0.50 (2.82) (2.32) (0.50) Period ended 3/31/2000#................... 23.40 0.43 1.59 2.02 (0.35) Period ended 5/14/1999.................... 22.50 0.10 0.91 1.01 (0.11) Year ended 2/28/1999...................... 21.41 0.55 2.48 3.03 (0.45) Year ended 2/28/1998...................... 19.40 0.52 3.72 4.24 (0.47) INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $19.81 $0.08 $(3.30) $(3.22) $(0.09) Year ended 3/31/2002#..................... 20.22 0.23 (0.39) (0.16) (0.22) Year ended 3/31/2001#..................... 24.24 0.33 (2.81) (2.48) (0.33) Period ended 3/31/2000#................... 23.32 0.47 1.39 1.86 (0.22) Period ended 5/14/1999.................... 22.45 0.06 0.89 0.95 (0.08) Period ended 2/28/1999***................. 23.17 0.22 0.75 0.97 (0.20) INVESTOR C SHARES* Six months ended 9/30/2002# (unaudited)... $19.84 $0.08 $(3.30) $(3.22) $(0.09) Year ended 3/31/2002#..................... 20.22 0.24 (0.38) (0.14) (0.21) Year ended 3/31/2001#..................... 24.27 0.33 (2.82) (2.49) (0.33) Period ended 3/31/2000#................... 23.33 0.42 1.43 1.85 (0.19) Period ended 5/14/1999.................... 22.45 0.05 0.92 0.97 (0.09) Year ended 2/28/1999...................... 21.36 0.44 2.49 2.93 (0.35) Year ended 2/28/1998...................... 19.40 0.41 3.66 4.07 (0.36) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- ASSET ALLOCATION PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.03) Year ended 3/31/2001#..................... (1.21) Period ended 3/31/2000***#................ (0.72) INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.03) Year ended 3/31/2001#..................... (1.21) Period ended 3/31/2000#................... (0.72) Period ended 5/14/1999.................... -- Year ended 2/28/1999...................... (1.49) Year ended 2/28/1998...................... (1.76) INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.03) Year ended 3/31/2001#..................... (1.21) Period ended 3/31/2000#................... (0.72) Period ended 5/14/1999.................... -- Period ended 2/28/1999***................. (1.49) INVESTOR C SHARES* Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.03) Year ended 3/31/2001#..................... (1.21) Period ended 3/31/2000#................... (0.72) Period ended 5/14/1999.................... -- Year ended 2/28/1999...................... (1.49) Year ended 2/28/1998...................... (1.75)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * The financial information for the fiscal periods through May 14, 1999 reflect the financial information for the Pacific Horizon Asset Allocation Fund A, B, and K Shares, which were reorganized into the Asset Allocation Investor A, Investor B, and Investor C Shares, respectively, as of May 21,1999. Prior to May 21, 1999, the Fund's investment adviser was Bank of America National Trust and Savings Association. Effective May 21, 1999, its investment adviser became Banc of America Advisors, LLC. and its investment sub-adviser became Banc of America Capital Management, LLC. ** As of July 22, 1996, the Fund designated the existing series of shares as "A" Shares. ***Asset Allocation Primary A, Investor B, and Investor C Shares commenced operations on May 21, 1999, July 15, 1998, and November 11, 1996, respectively. # Per share net investment income (loss) 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. 74 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------- $(0.18) $16.59 (15.84)% $ 34,589 1.05%+(a) 1.91%+ 143% 1.05%+(a) (0.44) 19.93 0.26 40,287 1.03(a) 2.10 226 1.03(a) (1.76) 20.32 (9.83) 12,847 0.98(a)(b) 2.45 88 1.00(a) (1.13) 24.35 10.88 15,532 0.95+(a)(b) 1.85+ 84 1.02+(a) $(0.16) $16.59 (15.96)% $164,041 1.30%+(a) 1.66%+ 143% 1.30%+(a) (0.39) 19.92 (0.05) 223,579 1.28(a) 1.85 226 1.28(a) (1.71) 20.32 (10.05) 231,520 1.23(a)(b) 2.20 88 1.25(a) (1.07) 24.35 8.99 83,412 1.20+(a)(b) 1.60+ 84 1.27+(a) (0.11) 23.40 4.50 72,000 1.18+ 2.01+ 20 1.20+ (1.94) 22.50 14.72 72,000 0.94 2.64 114 0.94 (2.23) 21.41 23.07 49,000 1.03 2.67 67 1.09 $(0.09) $16.50 (16.29)% $ 87,146 2.05%+(a) 0.91%+ 143% 2.05%+(a) (0.25) 19.81 (0.77) 124,983 2.03(a) 1.10 226 2.03(a) (1.54) 20.22 (10.73) 104,745 1.98(a)(b) 1.45 88 2.00(a) (0.94) 24.24 8.31 121,644 1.95+(a)(b) 0.85+ 84 2.02+(a) (0.08) 23.32 4.26 10,000 1.95+ 1.26+ 20 1.97+ (1.69) 22.45 4.59 6,000 1.74+ 1.92+ 114 1.74 $(0.09) $16.53 (16.27)% $ 2,011 2.05%+(a) 0.91%+ 143% 2.05%+(a) (0.24) 19.84 (0.78) 3,220 2.03(a) 1.10 226 2.03(a) (1.54) 20.24 (10.74) 2,532 1.98(a)(b) 1.45 88 2.00(a) (0.91) 24.27 8.24 2,305 1.95+(a)(b) 0.85+ 84 2.02+(a) (0.09) 23.33 4.31 2,000 1.67+ 1.52+ 20 1.96+ (1.84) 22.45 14.23 2,000 1.44 2.14 114 1.69 (2.11) 21.36 22.10 2,000 1.52 2.17 67 1.58
SEE NOTES TO FINANCIAL STATEMENTS. 75 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 ------------------------------------------------------------------------- CLASSIC VALUE PRIMARY A SHARES* Six months ended 9/30/2002# (unaudited)... $12.07 $ 0.06 $(4.30) $(4.24) $ -- Period ended 3/31/2002#................... 10.00 0.11 2.10 2.21 (0.04) INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $12.06 $ 0.05 $(4.29) $(4.24) $ -- Period ended 3/31/2002#................... 10.00 0.10 2.09 2.19 (0.03) INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $12.00 $ 0.01 $(4.26) $(4.25) $ -- Period ended 3/31/2002#................... 10.00 (0.00)## 2.10 2.10 (0.00)## INVESTOR C SHARES* Six months ended 9/30/2002# (unaudited)... $12.00 $ 0.01 $(4.26) $(4.25) $ -- Period ended 3/31/2002#................... 10.00 0.01 2.09 2.10 (0.00)## DISTRIBUTIONS FROM NET REALIZED GAINS ------------- CLASSIC VALUE PRIMARY A SHARES* Six months ended 9/30/2002# (unaudited)... $(0.31) Period ended 3/31/2002#................... (0.10) INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $(0.31) Period ended 3/31/2002#................... (0.10) INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $(0.31) Period ended 3/31/2002#................... (0.10) INVESTOR C SHARES* Six months ended 9/30/2002# (unaudited)... $(0.31) Period ended 3/31/2002#................... (0.10)
- --------------- * Classic Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on April 16, 2001. + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income (loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01% SEE NOTES TO FINANCIAL STATEMENTS. 76 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------- $(0.31) $ 7.52 (36.05)% $242,080 0.98%+(a) 1.14%+ 19% 0.98%+(a) (0.14) 12.07 22.21 274,661 1.04+(a) 1.06+ 42 1.04+(a) $(0.31) $ 7.51 (36.17)% $ 14,874 1.23%+(a) 0.89%+ 19% 1.23%+(a) (0.13) 12.06 22.00 17,128 1.29+(a) 0.81+ 42 1.29+(a) $(0.31) $ 7.44 (36.35)% $ 28,676 1.98%+(a) 0.14%+ 19% 1.98%+(a) (0.10) 12.00 21.08 36,511 2.04+(a) 0.06+ 42 2.04+(a) $(0.31) $ 7.44 (36.35)% $ 32,862 1.98%+(a) 0.14%+ 19% 1.98%+(a) (0.10) 12.00 21.08 40,916 2.04+(a) 0.06+ 42 2.04+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 77 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 ------------------------------------------------------------------------- LARGECAP VALUE PRIMARY A SHARES* Six months ended 9/30/2002# (unaudited)... $10.69 $0.05 $(3.14) $(3.09) $(0.04) Period ended 3/31/2002#................... 10.00 0.08 0.63 0.71 (0.02) INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $10.69 $0.04 $(3.15) $(3.11) $(0.03) Period ended 3/31/2002#................... 10.00 0.07 0.63 0.70 (0.01) INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $10.67 $0.01 $(3.14) $(3.13) $(0.01) Period ended 3/31/2002#................... 10.00 0.00## 0.67 0.67 (0.00)## INVESTOR C SHARES* Six months ended 9/30/2002# (unaudited)... $10.67 $0.01 $(3.14) $(3.13) $(0.01) Period ended 3/31/2002#................... 10.00 0.00## 0.67 0.67 (0.00)## DISTRIBUTIONS FROM NET REALIZED GAINS ------------- LARGECAP VALUE PRIMARY A SHARES* Six months ended 9/30/2002# (unaudited)... $(0.01) Period ended 3/31/2002#................... -- INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $(0.01) Period ended 3/31/2002#................... -- INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $(0.01) Period ended 3/31/2002#................... -- INVESTOR C SHARES* Six months ended 9/30/2002# (unaudited)... $(0.01) Period ended 3/31/2002#................... --
- --------------- * LargeCap Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on November 20, 2001. + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income (loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01% SEE NOTES TO FINANCIAL STATEMENTS. 78 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------- $(0.05) $ 7.55 (28.90)% $23,717 1.07%+(a) 1.13%+ 41% 1.48%+(a) (0.02) 10.69 7.08 17,822 1.07+(a) 0.88+ 24 6.31+(a) $(0.04) $ 7.54 (29.08)% $ 720 1.32%+(a) 0.88%+ 41% 1.73%+(a) (0.01) 10.69 7.03 315 1.32+(a) 0.63+ 24 6.56+(a) $(0.02) $ 7.52 (29.31)% $ 938 2.07%+(a) 0.13%+ 41% 2.48%+(a) (0.00)## 10.67 6.74 290 2.07+(a) (0.12)+ 24 7.31+(a) $(0.02) $ 7.52 (29.31)% $ 65 2.07%+(a) 0.13%+ 41% 2.48%+(a) (0.00)## 10.67 6.74 21 2.07+(a) (0.12)+ 24 7.31+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 79 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 ------------------------------------------------------------------------- VALUE PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $11.96 $0.06 $(3.42) $(3.36) $(0.06) Year ended 3/31/2002#..................... 12.39 0.12 0.58 0.70 (0.10) Year ended 3/31/2001...................... 16.24 0.17 (0.42) (0.25) (0.18) Year ended 3/31/2000#..................... 18.16 0.11 (0.06) 0.05 (0.11) Year ended 3/31/1999#..................... 19.92 0.13 0.64 0.77 (0.14) Year ended 3/31/1998#..................... 17.87 0.20 5.98 6.18 (0.19) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $11.94 $0.05 $(3.41) $(3.36) $(0.05) Year ended 3/31/2002#..................... 12.38 0.09 0.58 0.67 (0.08) Year ended 3/31/2001...................... 16.24 0.14 (0.43) (0.29) (0.15) Year ended 3/31/2000#..................... 18.16 0.07 (0.07) 0.00 (0.06) Year ended 3/31/1999#..................... 19.92 0.09 0.63 0.72 (0.09) Year ended 3/31/1998#..................... 17.87 0.15 5.98 6.13 (0.14) INVESTOR B SHARES Six months ended 9/30/2002# (unaudited)... $11.66 $0.01 $(3.33) $(3.32) $(0.02) Year ended 3/31/2002#..................... 12.13 0.00## 0.59 0.59 (0.03) Year ended 3/31/2001...................... 16.00 0.04 (0.43) (0.39) (0.06) Year ended 3/31/2000#..................... 18.00 (0.06) (0.08) (0.14) (0.00)## Year ended 3/31/1999#..................... 19.81 (0.05) 0.63 0.58 -- Year ended 3/31/1998#..................... 17.81 0.02 5.96 5.98 (0.04) INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $11.65 $0.01 $(3.33) $(3.32) $(0.02) Year ended 3/31/2002#..................... 12.13 0.00## 0.58 0.58 (0.03) Year ended 3/31/2001...................... 15.99 0.04 (0.42) (0.38) (0.06) Year ended 3/31/2000#..................... 17.98 (0.06) (0.07) (0.13) (0.00)## Year ended 3/31/1999#..................... 19.75 (0.02) 0.65 0.63 (0.01) Year ended 3/31/1998#..................... 17.75 0.04 5.95 5.99 (0.05) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- VALUE PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $(0.18) Year ended 3/31/2002#..................... (1.03) Year ended 3/31/2001...................... (3.42) Year ended 3/31/2000#..................... (1.86) Year ended 3/31/1999#..................... (2.39) Year ended 3/31/1998#..................... (3.94) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $(0.18) Year ended 3/31/2002#..................... (1.03) Year ended 3/31/2001...................... (3.42) Year ended 3/31/2000#..................... (1.86) Year ended 3/31/1999#..................... (2.39) Year ended 3/31/1998#..................... (3.94) INVESTOR B SHARES Six months ended 9/30/2002# (unaudited)... $(0.18) Year ended 3/31/2002#..................... (1.03) Year ended 3/31/2001...................... (3.42) Year ended 3/31/2000#..................... (1.86) Year ended 3/31/1999#..................... (2.39) Year ended 3/31/1998#..................... (3.94) INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $(0.18) Year ended 3/31/2002#..................... (1.03) Year ended 3/31/2001...................... (3.42) Year ended 3/31/2000#..................... (1.86) Year ended 3/31/1999#..................... (2.39) Year ended 3/31/1998#..................... (3.94)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income (loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 80 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------- $(0.24) $ 8.36 (28.53)% $ 392,659 0.99%+(a) 1.21%+ 44% 0.99%+(a) (1.13) 11.96 5.64 513,206 0.95(a)(b) 1.02 135 0.95(a) (3.60) 12.39 (1.97) 844,432 0.94(a)(b) 1.28 181 0.94(a) (1.97) 16.24 (0.16) 1,290,572 0.93(a)(b) 0.65 95 0.93(a) (2.53) 18.16 4.15 1,939,704 0.94(a)(b) 0.76 38 0.94(a) (4.13) 19.92 38.53 2,248,460 0.95(a) 1.04 79 0.95(a) $(0.23) $ 8.35 (28.58)% $ 38,597 1.24%+(a) 0.96%+ 44% 1.24%+(a) (1.11) 11.94 5.33 58,144 1.20(a)(b) 0.77 135 1.20(a) (3.57) 12.38 (2.29) 65,975 1.19(a)(b) 1.03 181 1.19(a) (1.92) 16.24 (0.47) 94,256 1.18(a)(b) 0.40 95 1.18(a) (2.48) 18.16 3.96 136,691 1.19(a)(b) 0.51 38 1.19(a) (4.08) 19.92 38.22 149,167 1.20(a) 0.79 79 1.20(a) $(0.20) $ 8.14 (28.87)% $ 49,513 1.99%+(a) 0.21%+ 44% 1.99%+(a) (1.06) 11.66 4.66 80,162 1.95(a)(b) 0.02 135 1.95(a) (3.48) 12.13 (3.05) 93,064 1.94(a)(b) 0.28 181 1.94(a) (1.86) 16.00 (1.24) 124,000 1.93(a)(b) (0.35) 95 1.93(a) (2.39) 18.00 3.11 154,025 1.94(a)(b) (0.24) 38 1.94(a) (3.98) 19.81 37.29 149,635 1.87(a) 0.12 79 1.87(a) $(0.20) $ 8.13 (28.89)% $ 4,589 1.99%+(a) 0.21%+ 44% 1.99%+(a) (1.06) 11.65 4.58 7,496 1.95(a)(b) 0.02 135 1.95(a) (3.48) 12.13 (2.98) 8,479 1.94(a)(b) 0.28 181 1.94(a) (1.86) 15.99 (1.18) 10,042 1.93(a)(b) (0.32) 95 1.93(a) (2.40) 17.98 3.39 12,106 1.70(a)(b) 0.00 38 1.94(a) (3.99) 19.75 37.55 13,969 1.78(a) 0.21 79 1.78(a)
SEE NOTES TO FINANCIAL STATEMENTS. 81 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 ------------------------------------------------------------------------- MIDCAP VALUE PRIMARY A SHARES* Six months ended 9/30/2002# (unaudited)... $11.32 $ 0.04 $(2.67) $(2.63) $(0.01) Period ended 3/31/2002#................... 10.00 0.06 1.30 1.36 (0.04) INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $11.30 $ 0.03 $(2.66) $(2.63) $ --## Period ended 3/31/2002#................... 10.00 0.04 1.30 1.34 (0.04) INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $11.29 $(0.01) $(2.65) $(2.66) $ -- Period ended 3/31/2002#................... 10.00 (0.04) 1.35 1.31 (0.02) INVESTOR C SHARES* Six months ended 9/30/2002# (unaudited)... $11.31 $(0.01) $(2.65) $(2.66) $ -- Period ended 3/31/2002#................... 10.00 (0.05) 1.36 1.31 (0.00)## DISTRIBUTIONS FROM NET REALIZED GAINS ------------- MIDCAP VALUE PRIMARY A SHARES* Six months ended 9/30/2002# (unaudited)... $(0.02) Period ended 3/31/2002#................... -- INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $(0.02) Period ended 3/31/2002#................... -- INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $(0.02) Period ended 3/31/2002#................... -- INVESTOR C SHARES* Six months ended 9/30/2002# (unaudited)... $(0.02) Period ended 3/31/2002#................... --
- --------------- * MidCap Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on November 20, 2001. + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income (loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01% SEE NOTES TO FINANCIAL STATEMENTS. 82 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------- $(0.03) $ 8.66 (23.28)% $204,396 1.21%+(a) 0.80%+ 39% 1.21%+(a) (0.04) 11.32 13.63 98,888 1.25+(a) 0.64+ 19 2.03+(a) $(0.02) $ 8.65 (23.30)% $ 1,862 1.46%+(a) 0.55%+ 39% 1.46%+(a) (0.04) 11.30 13.37 573 1.50+(a) 0.39+ 19 2.28+(a) $(0.02) $ 8.61 (23.61)% $ 1,530 2.21%+(a) (0.20)%+ 39% 2.21%+(a) (0.02) 11.29 13.14 524 2.25+(a) (0.36)+ 19 3.03+(a) $(0.02) $ 8.63 (23.57)% $ 303 2.21%+(a) (0.20)%+ 39% 2.21%+(a) (0.00)## 11.31 13.10 93 2.25+(a) (0.36)+ 19 3.03+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 83 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 ------------------------------------------------------------------------- SMALLCAP VALUE PRIMARY A SHARES* Period ended 9/30/2002# (unaudited)....... $10.00 $ 0.01 $(2.12) $(2.11) $ -- INVESTOR A SHARES* Period ended 9/30/2002# (unaudited)....... $10.00 $ 0.00## $(2.12) $(2.12) $ -- INVESTOR B SHARES* Period ended 9/30/2002# (unaudited)....... $10.00 $(0.03) $(2.11) $(2.14) $ -- INVESTOR C SHARES* Period ended 9/30/2002# (unaudited)....... $10.00 $(0.03) $(2.11) $(2.14) $ --
- --------------- * SmallCap Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on May 1, 2002. + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income (loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01% SEE NOTES TO FINANCIAL STATEMENTS. 84 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING VALUE END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------ $7.89 (21.10)% $51,252 1.30%+(a) 0.21%+ 38% 2.00%+(a) $7.88 (21.20)% $ 370 1.55%+(a) (0.04)%+ 38% 2.25%+(a) $7.86 (21.40)% $ 143 2.30%+(a) (0.79)%+ 38% 3.00%+(a) $7.86 (21.40)% $ 14 2.30%+(a) (0.79)%+ 38% 3.00%+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 85 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS GAINS ---------------------------------------------------------------------------- GROWTH PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $14.79 $(0.02) $(2.64) $(2.66) $ -- Year ended 3/31/2002#..................... 14.91 (0.06) (0.06) (0.12) -- Year ended 3/31/2001...................... 21.61 (0.01) (6.53) (6.54) (0.16) Year ended 3/31/2000...................... 14.91 (0.07) 6.81 6.74 (0.04) Year ended 3/31/1999#..................... 12.03 0.00## 2.89 2.89 (0.01) Period ended 3/31/1998*#.................. 10.00 0.01 2.02 2.03 -- INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $14.72 $(0.03) $(2.64) $(2.67) $ -- Year ended 3/31/2002#..................... 14.87 (0.09) (0.06) (0.15) -- Year ended 3/31/2001...................... 21.62 (0.05) (6.54) (6.59) (0.16) Year ended 3/31/2000...................... 14.95 (0.11) 6.82 6.71 (0.04) Year ended 3/31/1999#..................... 12.02 (0.03) 2.97 2.94 (0.01) Period ended 3/31/1998*#.................. 10.00 0.00## 2.02 2.02 -- INVESTOR B SHARES Six months ended 9/30/2002# (unaudited)... $14.29 $(0.08) $(2.55) $(2.63) $ -- Year ended 3/31/2002#..................... 14.55 (0.20) (0.06) (0.26) -- Year ended 3/31/2001...................... 21.31 (0.18) (6.42) (6.60) (0.16) Year ended 3/31/2000...................... 14.85 (0.24) 6.74 6.50 (0.04) Year ended 3/31/1999#..................... 12.02 (0.12) 2.96 2.84 (0.01) Period ended 3/31/1998* #................. 10.00 (0.02) 2.04 2.02 -- INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $14.31 $(0.08) $(2.56) $(2.64) $ -- Year ended 3/31/2002#..................... 14.57 (0.20) (0.06) (0.26) -- Year ended 3/31/2001...................... 21.34 (0.17) (6.44) (6.61) (0.16) Year ended 3/31/2000...................... 14.86 (0.25) 6.77 6.52 (0.04) Year ended 3/31/1999#..................... 12.02 (0.12) 2.97 2.85 (0.01) Period ended 3/31/1998*#.................. 10.00 (0.02) 2.04 2.02 --
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Growth Primary A, Investor A, Investor B and Investor C Shares commenced operations on December 31, 1997. # Per share net investment income (loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. ### Amount represents results prior to conversion to a master-feeder structure. (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. 86 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING VALUE END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------ $12.13 (17.99)% $ 51,514 1.16%+ (0.25)%+ -- 1.16%+ 14.79 (0.80) 58,752 1.14 (0.39) -- 1.14 14.91 (30.42) 80,526 1.10 (0.03) -- 1.10 21.61 45.33 113,028 1.23(a) (0.37) 55%### 1.23(a) 14.91 24.05 52,229 1.25(a) 0.05 150 1.25(a) 12.03 20.30 2,517 1.09+(a) 0.38+ 22 1.97+(a) $12.05 (18.14)% $211,849 1.41%+ (0.50)%+ -- 1.41%+ 14.72 (1.01) 217,963 1.39 (0.64) -- 1.39 14.87 (30.63) 164,031 1.35 (0.28) -- 1.35 21.62 45.01 175,859 1.48(a) (0.62) 55%### 1.48(a) 14.95 24.38 43,392 1.50(a) (0.20) 150 1.50(a) 12.02 20.20 1,141 1.34+(a) 0.13+ 22 2.22+(a) $11.66 (18.40)% $152,498 2.16%+ (1.25)%+ -- 2.16%+ 14.29 (1.79) 209,503 2.14 (1.39) -- 2.14 14.55 (31.13) 239,621 2.10 (1.03) -- 2.10 21.31 43.90 305,607 2.23(a) (1.37) 55%### 2.23(a) 14.85 23.55 99,257 2.25(a) (0.95) 150 2.25(a) 12.02 20.20 7,907 2.09+(a) (0.62)+ 22 2.97+(a) $11.67 (18.45)% $ 36,036 2.16%+ (1.25)%+ -- 2.16%+ 14.31 (1.78) 31,886 2.14 (1.39) -- 2.14 14.57 (31.10) 32,365 2.10 (1.03) -- 2.10 21.34 43.93 34,785 2.23(a) (1.37) 55%### 2.23(a) 14.86 23.63 3,233 2.25(a) (0.95) 150 2.25(a) 12.02 20.20 518 2.09+(a) (0.62)+ 22 2.97+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 87 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 ------------------------------------------------------------------------- STRATEGIC GROWTH PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $12.35 $ 0.03 $(3.61) $(3.58) $(0.01) Year ended 3/31/2002#..................... 12.47 0.02 (0.12) (0.10) (0.02) Year ended 3/31/2001...................... 17.03 (0.01) (4.51) (4.52) (0.01) Year ended 3/31/2000#..................... 13.86 (0.02) 3.39 3.37 -- Period ended 3/31/1999*#.................. 10.00 0.00## 3.87 3.87 -- INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $12.31 $ 0.01 $(3.60) $(3.59) $(0.00)## Year ended 3/31/2002#..................... 12.44 (0.01) (0.11) (0.12) (0.01) Year ended 3/31/2001...................... 16.98 (0.04) (4.47) (4.51) -- Period ended 3/31/2000**#................. 13.88 (0.03) 3.19 3.16 -- INVESTOR B SHARES Six months ended 9/30/2002# (unaudited)... $12.07 $(0.03) $(3.52) $(3.55) $(0.00)## Year ended 3/31/2002#..................... 12.29 (0.10) (0.12) (0.22) (0.00)## Year ended 3/31/2001...................... 16.90 (0.14) (4.44) (4.58) -- Period ended 3/31/2000**#................. 13.88 (0.10) 3.18 3.08 -- INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $12.08 $(0.03) $(3.52) $(3.55) $ -- Year ended 3/31/2002#..................... 12.30 (0.10) (0.12) (0.22) (0.00)## Year ended 3/31/2001...................... 16.92 (0.14) (4.45) (4.59) -- Period ended 3/31/2000**#................. 13.88 (0.10) 3.20 3.10 -- DISTRIBUTIONS FROM NET REALIZED GAINS ------------- STRATEGIC GROWTH PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (0.03) Year ended 3/31/2000#..................... (0.20) Period ended 3/31/1999*#.................. (0.01) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (0.03) Period ended 3/31/2000**#................. (0.06) INVESTOR B SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (0.03) Period ended 3/31/2000**#................. (0.06) INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (0.03) Period ended 3/31/2000**#................. (0.06)
- --------------- + Annualized ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Strategic Growth Primary A Shares commenced operations on October 2, 1998. ** Strategic Growth Investor A, Investor B and Investor C Shares commenced operations on August 2, 1999. # Per share net investment income (loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. ### Amount represents results prior to conversion to a master-feeder structure. (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. 88 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 - ---------------------------------------------------------------------------------------------------------------- $(0.01) $ 8.76 (29.01)% $1,517,463 0.95%+ 0.51%+ 15%### 0.95%+ (0.02) 12.35 (0.83) 1,230,030 0.94(a) 0.20 71### 0.94(a) (0.04) 12.47 (26.62) 1,182,028 0.94(a)(b) (0.09) 56 0.94(a) (0.20) 17.03 24.63 860,124 0.97 (0.10) 23 0.97 (0.01) 13.86 38.65 266,823 1.07+(a) (0.03)+ 34 1.07+(a) $(0.00)## $ 8.72 (29.14)% $ 335,330 1.20%+ 0.26%+ 15%### 1.20%+ (0.01) 12.31 (0.97) 26,742 1.19(a) (0.05) 71### 1.19(a) (0.03) 12.44 (26.62) 11,895 1.19(a)(b) (0.34) 56 1.19(a) (0.06) 16.98 22.86 5,503 1.22+ (0.35)+ 23 1.22+ $(0.00)## $ 8.52 (29.39)% $ 45,224 1.95%+ (0.49)%+ 15%### 1.95%+ (0.00)## 12.07 (1.78) 8,358 1.94(a) (0.80) 71### 1.94(a) (0.03) 12.29 (27.16) 6,758 1.94(a)(b) (1.09) 56 1.94(a) (0.06) 16.90 22.29 4,934 1.97+ (1.10)+ 23 1.97+ $ -- $ 8.53 (29.39)% $ 13,070 1.95%+ (0.49)%+ 15%### 1.95%+ (0.00)## 12.08 (1.78) 2,645 1.94(a) (0.80) 71### 1.94(a) (0.03) 12.30 (27.14) 2,137 1.94(a)(b) (1.09) 56 1.94(a) (0.06) 16.92 22.36 1,706 1.97+ (1.10)+ 23 1.97+
SEE NOTES TO FINANCIAL STATEMENTS. 89 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 ------------------------------------------------------------------------- CAPITAL GROWTH PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $ 7.81 $ 0.00## $(2.34) $(2.34) $ -- Year ended 3/31/2002#..................... 8.30 (0.01) (0.22) (0.23) -- Year ended 3/31/2001...................... 14.59 (0.03) (3.90) (3.93) -- Year ended 3/31/2000...................... 12.05 (0.05) 3.47 3.42 -- Year ended 3/31/1999#..................... 13.30 0.00## 1.59 1.59 -- Year ended 3/31/1998#..................... 11.70 0.02 5.27 5.29 (0.01) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $ 7.65 $(0.01) $(2.28) $(2.29) $ -- Year ended 3/31/2002#..................... 8.16 (0.03) (0.22) (0.25) -- Year ended 3/31/2001...................... 14.43 (0.07) (3.84) (3.91) -- Year ended 3/31/2000...................... 11.97 (0.08) 3.42 3.34 -- Year ended 3/31/1999#..................... 13.26 (0.03) 1.58 1.55 -- Year ended 3/31/1998#..................... 11.67 (0.01) 5.28 5.27 -- INVESTOR B SHARES Six months ended 9/30/2002# (unaudited)... $ 6.97 $(0.03) $(2.08) $(2.11) $ -- Year ended 3/31/2002#..................... 7.51 (0.08) (0.20) (0.28) -- Year ended 3/31/2001...................... 13.58 (0.14) (3.57) (3.71) -- Year ended 3/31/2000...................... 11.39 (0.17) 3.24 3.07 -- Year ended 3/31/1999#..................... 12.83 (0.11) 1.51 1.40 -- Year ended 3/31/1998#..................... 11.47 (0.10) 5.14 5.04 -- INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $ 7.05 $(0.03) $(2.11) $(2.14) $ -- Year ended 3/31/2002#..................... 7.59 (0.08) (0.20) (0.28) -- Year ended 3/31/2001...................... 13.70 (0.13) (3.62) (3.75) -- Year ended 3/31/2000...................... 11.48 (0.16) 3.26 3.10 -- Year ended 3/31/1999#..................... 12.92 (0.11) 1.51 1.40 -- Year ended 3/31/1998#..................... 11.50 (0.08) 5.18 5.10 -- DISTRIBUTIONS FROM NET REALIZED GAINS ------------- CAPITAL GROWTH PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.26) Year ended 3/31/2001...................... (2.36) Year ended 3/31/2000...................... (0.88) Year ended 3/31/1999#..................... (2.84) Year ended 3/31/1998#..................... (3.68) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.26) Year ended 3/31/2001...................... (2.36) Year ended 3/31/2000...................... (0.88) Year ended 3/31/1999#..................... (2.84) Year ended 3/31/1998#..................... (3.68) INVESTOR B SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.26) Year ended 3/31/2001...................... (2.36) Year ended 3/31/2000...................... (0.88) Year ended 3/31/1999#..................... (2.84) Year ended 3/31/1998#..................... (3.68) INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... (0.26) Year ended 3/31/2001...................... (2.36) Year ended 3/31/2000...................... (0.88) Year ended 3/31/1999#..................... (2.84) Year ended 3/31/1998#..................... (3.68)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income (loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 90 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 INCOME/(LOSS) TO PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ---------------------------------------------------------------------------------------------------------------- $ -- $ 5.47 (29.96)% $204,025 1.05%+(a) 0.04%+ 85% 1.05%+(a) (0.26) 7.81 (3.31) 302,843 0.97(a)(b) (0.12) 65 0.97(a) (2.36) 8.30 (30.69) 531,657 0.95(a)(b) (0.28) 96 0.95(a) (0.88) 14.59 29.90 816,371 0.96(a)(b) (0.38) 39 0.96(a) (2.84) 12.05 14.99 737,620 0.96(a) (0.04) 39 0.96(a) (3.69) 13.30 53.89 872,150 0.95(a)(b) 0.13 113 0.95(a) $ -- $ 5.36 (29.93)% $ 26,210 1.30%+(a) (0.21)%+ 85% 1.30%+(a) (0.26) 7.65 (3.62) 28,994 1.22(a)(b) (0.37) 65 1.22(a) (2.36) 8.16 (30.91) 32,519 1.20(a)(b) (0.53) 96 1.20(a) (0.88) 14.43 29.41 61,756 1.21(a)(b) (0.63) 39 1.21(a) (2.84) 11.97 14.70 52,987 1.21(a) (0.29) 39 1.21(a) (3.68) 13.26 53.83 43,380 1.20(a)(b) (0.12) 113 1.20(a) $ -- $ 4.86 (30.27)% $ 28,535 2.05%+(a) (0.96)%+ 85% 2.05%+(a) (0.26) 6.97 (4.35) 37,767 1.97(a)(b) (1.12) 65 1.97(a) (2.36) 7.51 (31.37) 45,832 1.95(a)(b) (1.28) 96 1.95(a) (0.88) 13.58 28.42 75,844 1.96(a)(b) (1.38) 39 1.96(a) (2.84) 11.39 13.86 66,338 1.96(a) (1.04) 39 1.96(a) (3.68) 12.83 52.52 59,496 1.95(a)(b) (0.87) 113 1.95(a) $ -- $ 4.91 (30.35)% $ 2,940 2.05%+(a) (0.96)%+ 85% 2.05%+(a) (0.26) 7.05 (4.31) 4,538 1.97(a)(b) (1.12) 65 1.97(a) (2.36) 7.59 (31.38) 3,338 1.95(a)(b) (1.28) 96 1.95(a) (0.88) 13.70 28.46 4,883 1.96(a)(b) (1.38) 39 1.96(a) (2.84) 11.48 13.76 3,862 1.96(a) (1.04) 39 1.96(a) (3.68) 12.92 53.02 6,176 1.78(a)(b) (0.70) 113 1.78(a)
SEE NOTES TO FINANCIAL STATEMENTS. 91 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS GAINS ---------------------------------------------------------------------------- FOCUSED EQUITIES PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $15.87 $(0.02) $(2.71) $(2.73) $ -- Year ended 3/31/2002#..................... 15.37 (0.05) 0.55 0.50 -- Year ended 3/31/2001...................... 22.59 (0.01) (7.13) (7.14) (0.08) Year ended 3/31/2000#..................... 16.69 (0.01) 6.14 6.13 (0.23) Year ended 3/31/1999#..................... 12.13 (0.01) 4.58 4.57 (0.01) Period ended 3/31/1998*#.................. 10.00 (0.01) 2.14 2.13 -- INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $15.77 $(0.04) $(2.69) $(2.73) $ -- Year ended 3/31/2002#..................... 15.31 (0.09) 0.55 0.46 -- Year ended 3/31/2001...................... 22.56 (0.06) (7.11) (7.17) (0.08) Year ended 3/31/2000#..................... 16.73 (0.03) 6.09 6.06 (0.23) Year ended 3/31/1999#..................... 12.14 (0.04) 4.64 4.60 (0.01) Period ended 3/31/1998*#.................. 10.00 (0.01) 2.15 2.14 -- INVESTOR B SHARES Six months ended 9/30/2002# (unaudited)... $15.33 $(0.09) $(2.61) $(2.70) $ -- Year ended 3/31/2002#..................... 15.00 (0.20) 0.53 0.33 -- Year ended 3/31/2001...................... 22.26 (0.20) (6.98) (7.18) (0.08) Year ended 3/31/2000#..................... 16.62 (0.09) 5.96 5.87 (0.23) Year ended 3/31/1999#..................... 12.13 (0.12) 4.62 4.50 (0.01) Period ended 3/31/1998*#.................. 10.00 (0.04) 2.17 2.13 -- INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $15.38 $(0.09) $(2.62) $(2.71) $ -- Year ended 3/31/2002#..................... 15.05 (0.20) 0.53 0.33 -- Year ended 3/31/2001...................... 22.33 (0.20) (7.00) (7.20) (0.08) Year ended 3/31/2000#..................... 16.67 (0.08) 5.97 5.89 (0.23) Year ended 3/31/1999#..................... 12.13 (0.14) 4.69 4.55 (0.01) Period ended 3/31/1998*#.................. 10.00 (0.04) 2.17 2.13 --
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Focused Equities Primary A, Investor A, Investor B and Investor C Shares commenced operations on December 31, 1997. # Per share net investment income (loss) has been calculated using the monthly average shares method. ### Amount represents results prior to conversion to a master-feeder structure. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 92 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING VALUE END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ----------------------------------------------------------------------------------------------- $13.14 (17.20)% $ 314,239 1.12%+ (0.29)%+ -- 1.12%+ 15.87 3.25 346,435 1.11 (0.33) -- 1.11 15.37 (31.67) 354,798 1.09 (0.05) -- 1.09 22.59 37.13 326,745 1.16(a) (0.35) 53%### 1.16(a) 16.69 37.73 105,458 1.06(a) 0.05 177 1.06(a) 12.13 21.30 8,808 1.52+(a) (0.30)+ 25 1.52+(a) $13.04 (17.31)% $ 519,106 1.37%+ (0.54)%+ -- 1.37%+ 15.77 3.00 507,590 1.36 (0.58) -- 1.36 15.31 (31.80) 491,437 1.34 (0.30) -- 1.34 22.56 36.62 690,166 1.41(a) (0.60) 53%### 1.41(a) 16.73 37.94 238,137 1.31(a) (0.20) 177 1.31(a) 12.14 21.40 6,056 1.77+(a) (0.55)+ 25 1.77+(a) $12.63 (17.61)% $ 516,780 2.12%+ (1.29)%+ -- 2.12%+ 15.33 2.20 679,688 2.11 (1.33) -- 2.11 15.00 (32.32) 741,285 2.09 (1.05) -- 2.09 22.26 35.71 1,003,840 2.16(a) (1.35) 53%### 2.16(a) 16.62 37.15 306,365 2.06(a) (0.95) 177 2.06(a) 12.13 21.30 20,446 2.52+(a) (1.30)+ 25 2.52+(a) $12.67 (17.62)% $ 161,309 2.12%+ (1.29)%+ -- 2.12%+ 15.38 2.19 188,842 2.11 (1.33) -- 2.11 15.05 (32.31) 203,642 2.09 (1.05) -- 2.09 22.33 35.72 247,509 2.16(a) (1.35) 53%### 2.16(a) 16.67 37.56 13,682 2.06(a) (0.95) 177 2.06(a) 12.13 21.30 469 2.52+(a) (1.30)+ 25 2.52+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 93 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS GAINS ---------------------------------------------------------------------------- MIDCAP GROWTH PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $13.21 $(0.03) $(4.93) $(4.96) $ -- Year ended 3/31/2002#..................... 14.63 (0.05) (1.37) (1.42) -- Year ended 3/31/2001...................... 22.41 (0.03) (4.02) (4.05) (3.73) Year ended 3/31/2000#..................... 13.31 (0.07) 9.81 9.74 (0.64) Year ended 3/31/1999#..................... 16.56 (0.04) (0.94) (0.98) (2.27) Year ended 3/31/1998#..................... 12.86 (0.06) 5.55 5.49 (1.79) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $12.73 $(0.04) $(4.75) $(4.79) $ -- Year ended 3/31/2002#..................... 14.14 (0.09) (1.32) (1.41) -- Year ended 3/31/2001...................... 21.87 (0.09) (3.91) (4.00) (3.73) Year ended 3/31/2000#..................... 13.04 (0.12) 9.59 9.47 (0.64) Year ended 3/31/1999#..................... 16.30 (0.07) (0.92) (0.99) (2.27) Year ended 3/31/1998#..................... 12.69 (0.10) 5.50 5.40 (1.79) INVESTOR B SHARES Six months ended 9/30/2002# (unaudited)... $11.51 $(0.07) $(4.29) $(4.36) $ -- Year ended 3/31/2002#..................... 12.87 (0.17) (1.19) (1.36) -- Year ended 3/31/2001...................... 20.38 (0.19) (3.59) (3.78) (3.73) Year ended 3/31/2000#..................... 12.28 (0.22) 8.96 8.74 (0.64) Year ended 3/31/1999#..................... 15.58 (0.15) (0.88) (1.03) (2.27) Year ended 3/31/1998#..................... 12.29 (0.20) 5.28 5.08 (1.79) INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $11.57 $(0.07) $(4.31) $(4.38) $ -- Year ended 3/31/2002#..................... 12.95 (0.17) (1.21) (1.38) -- Year ended 3/31/2001...................... 20.47 (0.17) (3.62) (3.79) (3.73) Year ended 3/31/2000#..................... 12.33 (0.22) 9.00 8.78 (0.64) Year ended 3/31/1999#..................... 15.63 (0.15) (0.88) (1.03) (2.27) Year ended 3/31/1998#..................... 12.31 (0.18) 5.29 5.11 (1.79)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income (loss) has been calculated using the monthly average shares method. (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. 94 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS RATIO OF AND/OR EXPENSE OPERATING REIMBURSEMENTS EXPENSES --------------- RATIO OF INCLUDING RATIO OF NET RATIO OF NET ASSET NET ASSETS OPERATING INTEREST INVESTMENT OPERATING VALUE END OF EXPENSES EXPENSE INCOME/(LOSS) TO PORTFOLIO EXPENSES TO END OF TOTAL PERIOD TO AVERAGE TO AVERAGE AVERAGE TURNOVER AVERAGE PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------ $ 8.25 (37.55)% $467,365 0.99%+(a) 0.99%+(a) (0.52)%+ 35% 0.99%+(a) 13.21 (9.71) 547,514 0.97(a)(b) -- (0.39) 39 0.97(a) 14.63 (20.67) 388,152 0.98(a) -- (0.27) 39 0.98(a) 22.41 75.34 281,951 1.00(a)(b) -- (0.45) 46 1.00(a) 13.31 (7.21) 177,861 0.98(a)(b) -- (0.29) 43 0.98(a) 16.56 45.09 318,584 0.98(a) 0.99% (0.42) 76 0.98(a) $ 7.94 (37.63)% $ 30,646 1.24%+(a) 1.24%+(a) (0.77)%+ 35% 1.24%+(a) 12.73 (9.97) 32,138 1.22(a)(b) -- (0.64) 39 1.22(a) 14.14 (20.98) 16,536 1.23(a) -- (0.52) 39 1.23(a) 21.87 74.82 22,741 1.25(a)(b) -- (0.70) 46 1.25(a) 13.04 (7.41) 18,042 1.23(a)(b) -- (0.54) 43 1.23(a) 16.30 44.86 21,591 1.23(a) 1.23(a) (0.67) 76 1.23(a) $ 7.15 (37.88)% $ 26,600 1.99%+(a) 1.99%+(a) (1.52)%+ 35% 1.99%+(a) 11.51 (10.57) 45,368 1.97(a)(b) -- (1.39) 39 1.97(a) 12.87 (21.51) 44,261 1.98(a) -- (1.27) 39 1.98(a) 20.38 73.47 49,606 2.00(a)(b) -- (1.45) 46 2.00(a) 12.28 (8.10) 33,245 1.98(a)(b) -- (1.29) 43 1.98(a) 15.58 43.64 45,451 1.98(a) 1.99% (1.42) 76 1.98(a) $ 7.19 (37.86)% $ 1,930 1.99%+(a) 1.99%+(a) (1.52)%+ 35% 1.99%+(a) 11.57 (10.66) 3,024 1.97(a)(b) -- (1.39) 39 1.97(a) 12.95 (21.46) 3,248 1.98(a) -- (1.27) 39 1.98(a) 20.47 73.50 2,628 2.00(a)(b) -- (1.45) 46 2.00(a) 12.33 (8.08) 1,383 1.98(a)(b) -- (1.29) 43 1.98(a) 15.63 43.80 2,266 1.81(a) 1.82% (1.25) 76 1.81(a)
SEE NOTES TO FINANCIAL STATEMENTS. 95 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ NET ASSET VALUE NET AND UNREALIZED (DECREASE) IN VALUE BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE END OF OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS PERIOD ------------------------------------------------------------------------ 21ST CENTURY PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $ 7.10 $(0.02) $(0.87) $(0.89) $6.21 Year ended 3/31/2002#..................... 6.99 (0.05) 0.16 0.11 7.10 Period ended 3/31/2001*................... 10.00 (0.03) (2.98) (3.01) 6.99 INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $ 7.06 $(0.03) $(0.86) $(0.89) $6.17 Year ended 3/31/2002#..................... 6.97 (0.07) 0.16 0.09 7.06 Period ended 3/31/2001*................... 10.00 (0.06) (2.97) (3.03) 6.97 INVESTOR B SHARES Six months ended 9/30/2002# (unaudited)... $ 6.96 $(0.06) $(0.85) $(0.91) $6.05 Year ended 3/31/2002#..................... 6.92 (0.12) 0.16 0.04 6.96 Period ended 3/31/2001*................... 10.00 (0.11) (2.97) (3.08) 6.92 INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $ 6.96 $(0.06) $(0.85) $(0.91) $6.05 Year ended 3/31/2002#..................... 6.92 (0.12) 0.16 0.04 6.96 Period ended 3/31/2001*................... 10.00 (0.11) (2.97) (3.08) 6.92
- --------------- + 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. * 21st Century Primary A, Investor A, Investor B and Investor C Shares commenced operations on April 10, 2000. # Per share net investment income (loss) 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. 96 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF NET ASSETS OPERATING INVESTMENT OPERATING END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------ (12.54)% $ 2,331 1.45%+(a)(b) (0.68)%+ 150% 1.45%+(a)(b) 1.57 3,356 1.37(a) (0.72) 419 1.37(a) (30.10) 5,686 1.35+ (0.41)+ 426 1.35+ (12.61)% $11,231 1.70%+(a)(b) (0.93)%+ 150% 1.70%+(a)(b) 1.29 14,741 1.62(a) (0.97) 419 1.62(a) (30.30) 19,644 1.60+ (0.66)+ 426 1.60+ (12.93)% $32,456 2.45%+(a)(b) (1.68)%+ 150% 2.45%+(a)(b) 0.58 43,187 2.37(a) (1.72) 419 2.37(a) (30.80) 50,404 2.35+ (1.41)+ 426 2.35+ (12.93)% $ 3,488 2.45%+(a)(b) (1.68)%+ 150% 2.45%+(a)(b) 0.58 4,660 2.37(a) (1.72) 419 2.37(a) (30.80) 6,557 2.35+ (1.41)+ 426 2.35+
SEE NOTES TO FINANCIAL STATEMENTS. 97 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 ------------------------------------------------------------------------- SMALL COMPANY PRIMARY A SHARES* Six months ended 9/30/2002# (unaudited)... $15.07 $(0.04) $(4.63) $(4.67) $ -- Year ended 3/31/2002#..................... 13.69 (0.07) 1.45 1.38 -- Year ended 3/31/2001...................... 22.66 (0.10) (6.67) (6.77) -- Year ended 3/31/2000#..................... 11.50 (0.10) 11.29 11.19 -- Year ended 3/31/1999#..................... 15.79 (0.05) (3.11) (3.16) -- Period ended 3/31/1998.................... 12.07 0.01 4.43 4.44 (0.01) Period ended 5/16/1997.................... 10.65 0.04 1.47 1.51 (0.04) INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $14.84 $(0.05) $(4.56) $(4.61) $ -- Year ended 3/31/2002#..................... 13.52 (0.10) 1.42 1.32 -- Year ended 3/31/2001...................... 22.44 (0.14) (6.58) (6.72) -- Year ended 3/31/2000#..................... 11.43 (0.15) 11.19 11.04 -- Year ended 3/31/1999#..................... 15.74 (0.07) (3.11) (3.18) -- Period ended 3/31/1998.................... 12.05 (0.02) 4.42 4.40 -- Period ended 5/16/1997.................... 10.64 0.03 1.46 1.49 (0.03) INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $14.25 $(0.10) $(4.37) $(4.47) $ -- Year ended 3/31/2002#..................... 13.08 (0.20) 1.37 1.17 -- Year ended 3/31/2001...................... 21.94 (0.23) (6.43) (6.66) -- Year ended 3/31/2000#..................... 11.23 (0.25) 10.99 10.74 -- Year ended 3/31/1999#..................... 15.59 (0.11) (3.12) (3.23) -- Period ended 3/31/1998.................... 12.03 (0.08) 4.35 4.27 -- Period ended 5/16/1997.................... 10.65 (0.03) 1.46 1.43 -- INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $14.45 $(0.10) $(4.43) $(4.53) $ -- Year ended 3/31/2002#..................... 13.26 (0.20) 1.39 1.19 -- Year ended 3/31/2001...................... 22.21 (0.25) (6.50) (6.75) -- Year ended 3/31/2000#..................... 11.38 (0.23) 11.09 10.86 -- Year ended 3/31/1999#..................... 15.74 (0.12) (3.11) (3.23) -- Period ended 3/31/1998**.................. 15.18 (0.08) 1.35 1.27 -- DISTRIBUTIONS FROM NET REALIZED GAINS ------------- SMALL COMPANY PRIMARY A SHARES* Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (2.20) Year ended 3/31/2000#..................... (0.03) Year ended 3/31/1999#..................... (1.13) Period ended 3/31/1998.................... (0.71) Period ended 5/16/1997.................... (0.05) INVESTOR A SHARES* Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (2.20) Year ended 3/31/2000#..................... (0.03) Year ended 3/31/1999#..................... (1.13) Period ended 3/31/1998.................... (0.71) Period ended 5/16/1997.................... (0.05) INVESTOR B SHARES* Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (2.20) Year ended 3/31/2000#..................... (0.03) Year ended 3/31/1999#..................... (1.13) Period ended 3/31/1998.................... (0.71) Period ended 5/16/1997.................... (0.05) INVESTOR C SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (2.20) Year ended 3/31/2000#..................... (0.03) Year ended 3/31/1999#..................... (1.13) Period ended 3/31/1998**.................. (0.71)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * The financial information for the fiscal periods prior to May 23, 1997 reflects the financial information for the Pilot Small Capitalization Equity Fund Pilot, Class A and Class B Shares, which were reorganized into the Small Company Primary A, Investor A and Investor B Shares, respectively, as of the close of business on May 23, 1997. Prior to May 23, 1997, the investment manager to Small Company was Boatmen's Trust Company. Effective May 23, 1997, the investment manager to Small Company became Banc of America Capital Management, LLC. **Small Company Investor C Shares commenced operations on September 22, 1997. # Per share net investment income (loss) 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. 98 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ---------------------------------------------------------------------------------------------------------------------- $ -- $10.40 (30.99)% $418,623 1.15%+(a)(b) (0.60)%+ 21% 1.24%+(a)(b) -- 15.07 10.08 572,820 1.15(a)(b) (0.48) 35 1.21(a) (2.20) 13.69 (31.86) 477,246 1.15(a)(b) (0.52) 48 1.20(a) (0.03) 22.66 97.46 647,825 1.13(a)(b) (0.65) 63 1.22(a) (1.13) 11.50 (21.05) 327,981 0.95(a) (0.42) 87 1.22(a) (0.72) 15.79 37.27 235,427 0.95+(a) 0.05+ 59 1.26+(a) (0.09) 12.07 14.21 109,450 0.98+ 0.54+ 48 1.41+ $ -- $10.23 (31.06)% $123,015 1.40%+(a)(b) (0.85)%+ 21% 1.49%+(a)(b) -- 14.84 9.76 157,759 1.40(a)(b) (0.73) 35 1.46(a) (2.20) 13.52 (31.96) 146,457 1.40(a)(b) (0.77) 48 1.45(a) (0.03) 22.44 96.91 245,425 1.38(a)(b) (0.90) 63 1.47(a) (1.13) 11.43 (21.32) 16,143 1.20(a) (0.67) 87 1.47(a) (0.71) 15.74 37.02 6,772 1.20+(a) (0.20)+ 59 1.51+(a) (0.08) 12.05 13.98 3,697 1.23+ 0.30+ 48 1.66+ $ -- $ 9.78 (31.37)% $ 13,675 2.15%+(a)(b) (1.60)%+ 21% 2.24%+(a)(b) -- 14.25 8.94 17,484 2.15(a)(b) (1.48) 35 2.21(a) (2.20) 13.08 (32.45) 11,744 2.15(a)(b) (1.52) 48 2.20(a) (0.03) 21.94 95.79 13,839 2.13(a)(b) (1.65) 63 2.22(a) (1.13) 11.23 (21.86) 5,127 1.95(a) (1.42) 87 2.22(a) (0.71) 15.59 36.06 3,384 1.87+(a) (0.87)+ 59 2.18+(a) (0.05) 12.03 13.43 2,635 1.97+ (0.45)+ 48 2.41+ $ -- $ 9.92 (31.35)% $ 3,337 2.15%+(a)(b) (1.60)%+ 21% 2.24%+(a)(b) -- 14.45 8.97 3,871 2.15(a)(b) (1.48) 35 2.21(a) (2.20) 13.26 (32.46) 2,813 2.15(a)(b) (1.52) 48 2.20(a) (0.03) 22.21 95.76 3,588 2.13(a)(b) (1.65) 63 2.22(a) (1.13) 11.38 (21.66) 1,951 1.70(a) (1.17) 87 2.22(a) (0.71) 15.74 8.75 3,122 1.95+(a) (0.95)+ 59 2.26+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 99 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 ------------------------------------------------------------------------- FINANCIAL SERVICES PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $10.36 $ 0.01 $(2.35) $(2.34) $ -- Year ended 3/31/2002#..................... 10.00 0.01 0.36 0.37 (0.01) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $10.34 $ 0.00## $(2.35) $(2.35) $ -- Year ended 3/31/2002#..................... 10.00 (0.03) 0.37 0.34 (0.00)## INVESTOR B SHARES Six months ended 9/30/2002# (unaudited)... $10.27 $(0.03) $(2.33) $(2.36) $ -- Year ended 3/31/2002#..................... 10.00 (0.11) 0.38 0.27 -- INVESTOR C SHARES* Six months ended 9/30/2002# (unaudited)... $10.30 $(0.03) $(2.34) $(2.37) $ -- Period ended 3/31/2002#................... 10.00 (0.04) 0.34 0.30 --
- --------------- + Annualized. * Financial Services Investor C Shares commenced operations on December 13, 2001. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income (loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and / or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 100 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING VALUE END OF EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO END OF TOTAL PERIOD TO AVERAGE AVERAGE TURNOVER AVERAGE PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------ $ 8.02 (22.59)% $4,168 1.30%+(a) 0.26%+ 37% 3.84%+(a) 10.36 3.71 5,333 1.31(a) 0.10 89 3.78(a) $ 7.99 (22.73)% $ 184 1.55%+(a) 0.01%+ 37% 4.09%+(a) 10.34 3.41 307 1.56(a) (0.15) 89 4.03(a) $ 7.91 (22.98)% $ 209 2.30%+(a) (0.74)%+ 37% 4.84%+(a) 10.27 2.70 268 2.31(a) (1.10) 89 4.78(a) $ 7.93 (23.01)% $ 35 2.30%+(a) (0.74)%+ 37% 4.84%+(a) 10.30 5.86% 45 2.31+(a) (1.10)+ 89 4.78+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 101 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) Nations Funds Trust ("Funds Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end investment company. At September 30, 2002, Funds Trust offered sixty-one separate portfolios. These financial statements pertain only to certain domestic stock portfolios of Funds Trust: Convertible Securities Fund, Asset Allocation Fund, Classic Value Fund, LargeCap Value Fund, Value Fund, MidCap Value Fund, SmallCap Value Fund, Growth Fund (formerly Growth & Income Fund), Strategic Growth Fund, Capital Growth Fund, Focused Equities Fund, MidCap Growth Fund, 21st Century Fund, Small Company Fund and Financial Services Fund (each a "Fund" and collectively, the "Funds"). Financial statements for the other portfolios of Funds Trust are presented under separate cover. The Funds currently offer four classes of shares: Primary A Shares, Investor A Shares, Investor B Shares and Investor C Shares. Shareholders of a Fund have equal voting rights on matters affecting all shareholders of the Fund. In addition, each class of shares of a Fund has exclusive voting rights on matters that relate solely to that class and separate voting rights on matters in which the interests of one class differ from the interests of any other class. Growth Fund, Strategic Growth Fund and Focused Equities Fund (the "Feeder Funds") seek to achieve their investment objectives by investing substantially all of their assets in Growth Master Portfolio, Strategic Growth Master Portfolio and Focused Equities Master Portfolio, respectively (the "Master Portfolios"), each a series of Nations Master Investment Trust (the "Master Trust"), another open-end management investment company in the Nations Funds family. The Master Portfolios each have the same investment objective as that of its corresponding Feeder Fund. The values of the Feeder Funds' investments in the respective Master Portfolios included in the Statements of net assets reflect the Feeder Funds' proportionate beneficial interests in the net assets of the respective Master Portfolios (98.0% for Growth Master Portfolio, 98.8% for Strategic Growth Master Portfolio and 98.6% for Focused Equities Master Portfolio at September 30, 2002). The financial statements of the Master Portfolios, including their schedules of investments, are included elsewhere within this report and should be read in conjunction with the Feeder Funds' financial statements. Other funds not registered under the 1940 Act managed by Banc of America Advisors, LLC ("BA Advisors"), whose financial statements are not presented here, also invest in the Master Portfolios. SmallCap Value Fund and 21st Century Fund operate in a master-feeder structure. The Funds seek to achieve their investment objectives by investing substantially all of their assets in SmallCap Value Master Portfolio and 21st Century Master Portfolio, respectively. The Master Portfolios each have the same investment objective as their corresponding Feeder Fund. Because the value of each Fund's investment in its corresponding Master Portfolio as of and for the six months ended September 30, 2002 represented substantially all of the beneficial interests in SmallCap Value Master Portfolio and 21st Century Master Portfolio, the financial statements for SmallCap Value Fund and 21st Century Fund reflect the consolidation of SmallCap Value Master Portfolio and 21st Century Master Portfolio. Separate financial statements for SmallCap Value Master Portfolio and 21st Century Master Portfolio have not been prepared and references in this report to SmallCap Value Fund and 21st Century Fund should be read to include references to the corresponding Master Portfolios. 1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. Securities valuation: Securities, including 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. Certain securities may be valued using broker quotations or on the basis of prices provided by pricing services. 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 as determined by the applicable Nations Funds' prospectus. The valuation of each Feeder Funds' investment in its corresponding Master Portfolio is based on the reported net asset value of that Master Portfolio. The Master 102 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Portfolios use valuation policies consistent with those described above. 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 market. 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 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, 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. 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 interest 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. Securities transactions and investment income: Securities transactions are recorded on trade date. Realized gains and losses are computed based on the specific identification of securities sold. Interest income, adjusted for accretion of discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income is recorded on ex- dividend date. Each Fund's investment income and realized and unrealized gains and losses are allocated among its share classes based upon the relative net assets of each class of shares. The Feeder Funds record their share of the investment income and realized and unrealized gains and losses reported by the Master Portfolios on a daily basis. The investment income and realized and unrealized gains and losses are allocated daily to investors in the Master Portfolios based upon the relative value of their investments in the Master Portfolios. Dividends and distributions to shareholders: Effective August 1, 2002, distributions from net investment income, if any, are declared and paid each calendar quarter by the Convertible Securities, Asset Allocation, LargeCap Value, Value and MidCap Value Funds. Classic Value, SmallCap Value, Growth, Strategic Growth, Capital Growth, Focused Equities, MidCap Growth, 21st Century, Small Company and Financial Services Funds declare and pay distributions annually. The Funds may, however, declare and pay distributions from net investment income more frequently. Prior to August 1, 2002, distributions from net investment income, if any, were declared and paid each calendar quarter by the Convertible Securities, Asset Allocation, LargeCap Value, MidCap Value, Growth, Focused Equities, MidCap Growth and 21st Century Funds; Classic Value and Financial Services Funds declared and paid distributions annually; all other Funds declared and paid distributions monthly. Each Fund will distribute net realized capital gains (including net short-term capital gains) at least 103 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 Funds Trust are allocated to the Funds based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Fund or class of shares are charged to such Fund or class. The Feeder Funds record their share of the expenses reported by the Master Portfolios on a daily basis. The expenses are allocated daily to investors in the Master Portfolios based upon the relative value of the Feeder Funds' investments in the Master Portfolios. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Each of Funds Trust and Master Trust has entered into an investment advisory agreement (the "Investment Advisory Agreement") with BA Advisors, a wholly- owned subsidiary of Bank of America, N.A. ("Bank of America"), which in turn is a wholly-owned banking subsidiary of Bank of America Corporation, a bank holding company organized as a Delaware corporation, pursuant to which BA Advisors provides investment advisory services to the Funds and the Master Portfolios. Under the terms of the Investment Advisory Agreement, BA Advisors is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Fund and Master Portfolios:
ANNUAL RATE ------ Convertible Securities, Asset Allocation, Classic Value, LargeCap Value, Value, Capital Growth, MidCap Growth............... 0.65% MidCap Value, 21st Century, Financial Services.................................... 0.75% SmallCap Value, Small Company................. 0.90%
The Feeder Funds indirectly pay for investment advisory services through their investments in their corresponding Master Portfolios (See Note 2 of Notes to financial statements of the Master Portfolios). Each of 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 following maximum annual rate of each Fund's and Master Portfolio's average daily net assets:
ANNUAL RATE ------ Convertible Securities, Asset Allocation, LargeCap Value, Value, MidCap Value, Capital Growth, MidCap Growth, Small Company, Financial Services.......................... 0.25% SmallCap Value................................ 0.35%
Master Trust has, on behalf of the 21st Century Fund, entered into a sub-advisory agreement with BA Advisors and Marsico Capital Management, LLC ("Marsico"), a wholly-owned subsidiary of Bank of America, pursuant to which Marsico is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.45% of the Fund's average daily net assets. Funds Trust has, on behalf of the Classic Value Fund, entered into a sub-advisory agreement with BA Advisors and Brandes Investment Partners, LLC ("Brandes") pursuant to which Brandes is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.40% of the first $500 million of the Fund's average daily net assets and 0.35% over $500 million of the Fund's average daily net assets. The Feeder Funds indirectly pay for sub-advisory services through their investments in their corresponding Master Portfolios (See Note 2 of Notes to financial statements of the Master Portfolios). Stephens Inc. ("Stephens") and BA Advisors serve as co-administrators of Funds Trust. Under the co-administration agreement, 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 the average daily net assets of all Funds except for Strategic Growth Fund, which pays a monthly fee at the maximum annual rate of 0.18% of its average daily net assets and Growth and Focused Equities Funds, which pay a monthly fee at the maximum annual rate of 0.13% of their average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of Funds Trust pursuant to an agreement with BA Advisors. For the six months ended September 30, 2002, Stephens and BA Advisors earned 0.06% and 0.08%, respectively, of the 104 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Funds' average daily net assets for their co-administration services. BA Advisors and/or the sub-advisers and/or Stephens may, from time to time, reduce their fees payable by each Fund. During the six months ended September 30, 2002 and until July 31, 2003, BA Advisors and/or the sub-advisers 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:
ANNUAL FUND RATE - ---------------------------------------------------- Classic Value............................... 1.13% LargeCap Value.............................. 1.07% MidCap Value................................ 1.25% SmallCap Value.............................. 1.30% Small Company............................... 1.15% Financial Services.......................... 1.30%
BA Advisors is entitled to recover from Classic Value Fund, LargeCap Value Fund, MidCap Value Fund, SmallCap Value Fund, Small Company Fund and Financial Services Fund any fees waived or expenses reimbursed during the three year period following such waiver or reimbursement, to the extent that such recovery would not cause the affected fund to exceed the expense limitations in effect at the time of recovery. At September 30, 2002, the amounts potentially recoverable by BA Advisors pursuant to this arrangement are as follows:
POTENTIAL POTENTIAL AMOUNT AMOUNT TO RECOVER TO RECOVER WITHIN 3 YEARS WITHIN 3 YEARS AS OF 9/30/02 AS OF 3/31/02 ------------------------------- Classic Value.................. $ -- $ -- LargeCap Value................. 48,703 137,580 MidCap Value................... -- -- SmallCap Value................. 87,183 -- Small Company.................. 234,299 -- Financial Services............. 67,324 128,235
BNY serves as the custodian of Funds Trust's assets. For the six months ended September 30, 2002, expenses of the Funds were reduced by $4,492 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 Shares of the Funds. For the six months ended September 30, 2002, Bank of America earned approximately $28,872 for providing such services. Stephens serves as distributor of the Funds' shares. For the six months ended September 30, 2002, the Funds were informed that the distributor received the following:
FRONT END CONTINGENT SALES DEFERRED CHARGE SALES CHARGE (000) (000) FUND INVESTOR A INVESTOR A INVESTOR B INVESTOR C - -------------------------------------------------------------------------- Convertible Securities......... $487 $ 1 $ 150 $ 5 Asset Allocation..... 28 2 114 --* Classic Value........ 153 2 60 12 LargeCap Value....... 13 -- --* -- Value................ 34 --* 41 1 MidCap Value......... 24 -- 3 --* SmallCap Value....... 8 -- --* -- Growth............... 91 --* 322 1 Strategic Growth..... 49 --* 107 --* Capital Growth....... 21 -- 25 2 Focused Equities..... 407 2 1,013 5 MidCap Growth........ 14 -- 34 1 21st Century......... 8 1 77 --* Small Company........ 96 --* 24 3 Financial Services... -- -- --* --
- --------------- *Amount represents less than $500. For the six months ended September 30, 2002, 21st Century Master Portfolio paid commissions of $724 to certain affiliates of BA Advisors in connection with the execution of various portfolio transactions. No officer, director or employee of Bank of America, BA Advisors or BACAP, or any affiliate thereof, receives any compensation from Funds Trust for serving as Trustee or Officer of Funds Trust. Funds Trust's eligible Trustees may participate in a non-qualified deferred compensation plan which may be terminated at any time. All benefits provided under this plan are unfunded and any payments to plan participants are paid solely out of the Funds' assets. Income earned on the 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 Reserves, another portfolio of Funds Trust. The expense for the deferred compensation plan is included in "Trustees' fees and expenses" in the Statements of operations. The liability for the deferred compensation plan is included in "Accrued Trustees' fees and expenses" in the Statement of net assets. Funds Trust previously offered a retirement plan to the Trustees, which was terminated on January 1, 2002. 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. 105 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The liability for the retirement plan is included in "Accrued Trustees' fees and expenses" in the Statement of net assets. Certain Funds have made daily investments of cash balances in Nations Cash Reserves, another portfolio of Funds Trust, 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 Funds Trust has adopted shareholder servicing plans and distribution plans for the Investor B and Investor C Shares of each Fund and a combined distribution and shareholder servicing plan for Investor A Shares of each Fund. The shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. The distribution plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to compensate or reimburse the distributor and/or selling agents for activities or expenses primarily intended to result in the sale of the classes' shares. Payments are made at an annual rate, as a percentage of average daily net assets, set from time to time by the Board of Trustees, and are charged as expenses of each Fund directly to the applicable share class. A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BA Advisors. For the six months ended September 30, 2002, the annual rates in effect and plan limits, as a percentage of average daily net assets, were as follows:
CURRENT PLAN RATE LIMIT --------------- Investor A Combined Distribution and Shareholder Servicing Plan........... 0.25% 0.25% Investor B and Investor C Shareholder Servicing Plans...................... 0.25% 0.25% Investor B and Investor C Distribution Plans................................ 0.75% 0.75%
4. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2002 were as follows:
PURCHASES SALES (000) (000) -------------------- Convertible Securities............ $276,027 $142,164 Asset Allocation.................. 130,261 161,644 Classic Value..................... 196,537 71,255 LargeCap Value.................... 22,866 9,367 Value............................. 246,351 247,104 MidCap Value...................... 202,655 59,543 SmallCap Value.................... 66,481 10,049 Strategic Growth*................. 243,011 176,277 Capital Growth.................... 255,647 293,519 MidCap Growth..................... 189,849 196,293 21st Century...................... 86,988 83,130 Small Company..................... 132,888 128,919 Financial Services................ 1,844 1,867
- --------------- *Prior to conversion to a master-feeder structure. The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2002 were as follows:
PURCHASES SALES (000) (000) -------------------- Asset Allocation.................. $344,685 $345,179 21st Century...................... 1,872 3,783 Financial Services................ 32 --
106 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 5. FUTURES CONTRACTS At September 30, 2002, the Asset Allocation Fund had the following futures contracts open:
VALUE OF UNREALIZED CONTRACT MARKET VALUE APPRECIATION/ NUMBER OF WHEN OPENED OF CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------------ 90 Day Euro Futures (long position) expiring March 2003(a)................................................... 22 $ 5,396 $ 5,417 $ 21 90 Day Euro Futures (long position) expiring June 2004(a)... 65 15,702 15,765 63 90 Day Euro Futures (long position) expiring December 2002(a)................................................... 43 10,560 10,590 30 Abbey National plc Universal Stock Share Futures (long position) expiring December 2002(a)....................... 11 1,215 1,257 42 Antenna Hungaria Share Futures (long position) expiring December 2002(a).......................................... 15 3,191 3,224 33 U.S. 10 year Treasury Note Futures (long position) expiring December 2002(a).......................................... 48 5,425 5,564 139 U.S. 20 year Treasury Bond Futures (long position) expiring December 2002(a).......................................... 81 9,040 9,254 214 90 Day Euro Futures (short position) expiring June 2003(a)................................................... (87) (21,284) (21,388) (104) 90 Day Euro Futures (short position) expiring September 2003(a)................................................... (43) (10,480) (10,537) (57) ----- Total net unrealized appreciation........................... $ 381 =====
- --------------- (a)Securities have been segregated as collateral for open futures contracts. 6. SWAP CONTRACTS At September 30, 2002, Asset Allocation Fund had the following swap contract outstanding:
FIXED RATE/ FLOATING RATE/ TOTAL RETURN TOTAL RETURN UNREALIZED NOTIONAL PAYMENTS PAYMENTS APPRECIATION/ AMOUNT MADE BY RECEIVED BY (DEPRECIATION) DESCRIPTION (000) THE FUND THE FUND (000) - ------------------------------------------------------------------------------------------------------------------------- CMBS Aaa Index CMBS Aaa Index Spread Contract with Morgan Stanley, effective July 31, 2002, Floating II Floating I expiring October 31, 2002(a).............................. $4,350 Total Return Total Return $(8) ===
- --------------- (a)Fair valued 7. SHARES OF BENEFICIAL INTEREST As of September 30, 2002, an unlimited number of shares of beneficial interest without par value were authorized for Funds Trust. Funds Trust's Declaration of Trust authorizes 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. 8. LINES OF CREDIT Funds Trust participates 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. For the six months ended September 30, 2002, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING INTEREST FUND (000) RATE - ------------------------------------------------------------------------------------ 21st Century................................................ $14 2.24% Small Company............................................... 128 2.25
The average amount outstanding was calculated based on daily balances during the period. 107 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 9. SECURITIES LENDING Under an agreement with BNY, the Funds can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned. The cash collateral received is invested in Nations Cash Reserves. A portion of the income generated by the investment of the collateral, net of any rebates paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder is paid to the Fund. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. There would be a potential loss to the Fund in the event the Fund is delayed or prevented from exercising its right to dispose of the collateral. The Fund bears the risk of loss with respect to the investment of collateral. At September 30, 2002, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) - ----------------------------------------------------------------------------------------------- Convertible Securities...................................... $66,822 $ 69,129 Asset Allocation............................................ 4,350 4,452 Classic Value............................................... 36,417 42,740 Value....................................................... 26,404 29,753 SmallCap Value.............................................. 898 1,043 Capital Growth.............................................. 106 511 MidCap Growth............................................... 57,973 62,132 21st Century................................................ 2,662 3,637 Small Company............................................... 95,648 102,937 Financial Services.......................................... 125 132
10. INCOME TAXES Information on the tax components of capital as of September 30, 2002 is as follows:
NET TAX UNREALIZED APPRECIATION/ (DEPRECIATION) NET TAX ON DERIVATIVES COST OF UNREALIZED AND FOREIGN INVESTMENTS GROSS TAX GROSS TAX APPRECIATION/ CURRENCY AND FOR TAX UNREALIZED UNREALIZED (DEPRECIATION) NET OTHER PURPOSES APPRECIATION DEPRECIATION ON INVESTMENTS ASSETS FUND (000) (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- Convertible Securities.............................. $946,514 $32,203 $(101,362) $ (69,159) $ -- Asset Allocation.................................... 357,064 10,812 (31,334) (20,522) 373 Classic Value....................................... 524,746 1,533 (163,729) (162,196) -- LargeCap Value...................................... 31,178 67 (5,841) (5,774) -- Value............................................... 590,764 14,201 (94,663) (80,462) -- MidCap Value........................................ 235,290 1,642 (30,951) (29,309) -- SmallCap Value...................................... 57,676 1,259 (6,147) (4,888) -- Growth.............................................. N/A* N/A* N/A* -- -- Strategic Growth.................................... N/A* N/A* N/A* -- -- Capital Growth...................................... 263,448 20,661 (15,034) 5,627 -- Focused Equities.................................... N/A* N/A* N/A* -- -- MidCap Growth....................................... 730,225 57,501 (204,691) (147,190) -- 21st Century........................................ 51,270 4,443 (2,578) 1,865 -- Small Company....................................... 734,873 55,618 (141,488) (85,870) -- Financial Services.................................. 5,318 95 (648) (553) --
- --------------- *See corresponding Master Portfolio for tax basis information. 108 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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) - --------------------------------------------------------------------------------------- Convertible Securities...................................... -- $ 25,748 Asset Allocation............................................ -- 16,104 Growth...................................................... $ 32,075 81,928 Strategic Growth............................................ 42,323 111,955 Capital Growth.............................................. -- 39,619 Focused Equities............................................ 112,608 375,725 MidCap Growth............................................... -- 24,893 21st Century................................................ 12,771 24,223 Small Company............................................... -- 38,429 Financial Services.......................................... -- 100
Under the current tax law, capital and currency losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the 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 CURRENCY LOSSES DEFERRED DEFERRED FUND (000) (000) - ---------------------------------------------------------------------------------------------- Convertible Securities...................................... $11,486 -- Growth...................................................... 18,671 $ 8 Strategic Growth............................................ 28,628 -- Focused Equities............................................ 31,565 -- MidCap Growth............................................... 22,066 -- 21st Century................................................ 724 -- Small Company............................................... 2,473 -- Financial Services.......................................... 102 --
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2003. 11. REORGANIZATIONS FUND REORGANIZATION On June 8, 2001, the Asset Allocation Fund (the "Acquiring Fund"), acquired the assets and assumed the liabilities of the Balanced Assets Fund (the "Acquired Fund"), in a tax-free reorganization in exchange for shares of the Acquiring Fund, pursuant to a plan of reorganization approved by the Acquired Fund's shareholders. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation as of the reorganization date were as follows:
TOTAL NET ASSETS ACQUIRED FUND TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION APPRECIATION (000) (000) (000) (000) - ------------------------------------------------------------------------ $90,962 $366,605 $457,567 $5,772
CHANGE IN REGISTERED INVESTMENT COMPANY On June 8, 2001, the Asset Allocation, Growth (formerly Growth & Income) and Focused Equities Funds, newly established shell portfolios of Funds Trust (the "Successor Funds"), acquired the assets and liabilities of their predecessor funds, which were series of Nations Reserves, another registered investment company within the Nations Funds family, pursuant to a plan of reorganization approved by each predecessor fund's shareholders. The predecessor funds had the same name, investment objective and principal investment strategies as the Successor Funds. The acquisition was accomplished by a tax-free exchange of shares of the Successor Funds in an amount equal to the value of the outstanding shares of the predecessor funds. The financial statements of the Successor Funds reflect the historical financial results of the predecessor funds prior to the reorganizations. 109 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 second 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:
TOTAL NET SHARES ASSETS REDEEMED/ REDEEMED/ TRANSFERRED TRANSFERRED REALIZED TO BANK PLAN TO BANK PLAN GAIN/LOSS BANK PLAN SEPARATE ACCOUNTS NATIONS FUND (000) (000) (000) - ----------------------------------------------------------------------------------------------- Value Separate Account Value 28,656 $324,384 $30,497 Capital Growth Separate Account Capital Growth 14,871 120,603 28,890 Aggressive Growth Separate Account Aggressive Growth 8,752 84,193 366 MidCap Growth Separate Account MidCap Growth 8,805 123,180 4,129 Small Company Separate Account Small Company 10,145 152,688 24,704
FUND REORGANIZATION On May 10, 2002, certain Funds, as listed below (each an "Acquiring Fund"), acquired the assets and assumed the liabilities of certain Nations Domestic Stock Funds, also listed below (each an "Acquired Fund"), in a tax-free reorganization in exchange for shares of the Acquiring Fund, pursuant to a plan or reorganization approved by the Acquired Fund's shareholders. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation/(depreciation) as of the reorganization date were as follows:
TOTAL NET ASSETS ACQUIRED FUND TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED APPRECIATION/ OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION (DEPRECIATION) ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------------------------ Convertible Securities Equity Income $105,548 $ 679,809 $ 785,357 $ 1,440 Strategic Growth Blue Chip 566,410 1,174,477 1,740,887 37,555 Capital Growth Aggressive Growth 29,534 320,757 350,291 (583)
CHANGE OF REGISTERED INVESTMENT COMPANY On May 10, 2002, each Fund listed in the left column below (each a "Fund") reorganized into a newly created successor fund listed in the right column below, that is substantially identical to the existing Fund. The acquisition was accomplished by a tax-free exchange of shares of each Fund for shares of equal value of the newly created successor fund. The financial statements of each successor fund reflects the historical financial results of each corresponding Fund prior to the reorganization.
REORGANIZED INTO A NEWLY FUND CREATED SUCCESSOR FUND - ------------------------------------------------ Convertible Securities Convertible Securities Strategic Growth Strategic Growth Capital Growth Capital Growth MidCap Growth MidCap Growth
On May 17, 2002, each Fund listed in the left column below (each a "Fund") reorganized into a newly created successor fund listed in the right column below, that is substantially identical to the existing Fund. The acquisition was accomplished by a tax-free exchange of shares of each Fund for shares of equal value of the newly created successor fund. The financial statements of each successor fund reflects the historical financial results of each corresponding Fund prior to the reorganization.
REORGANIZED INTO A NEWLY FUND CREATED SUCCESSOR FUND - --------------------------------------- Value Value Small Company Small Company
110 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) CONVERSION OF COMMON TRUST FUNDS On July 19, 2002, certain Funds, as listed below (each an "Acquiring Fund"), acquired the net assets of certain common trust funds, managed by Bank of America, also listed below (each an "Acquired Fund"), in a tax-free exchange for shares of the Acquiring Fund. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation/(depreciation) as of the conversion date were as follows:
TOTAL NET ASSETS TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION ACQUIRING FUND ACQUIRED FUND (000) (000) (000) - ------------------------------------------------------------------------------------------------------------ Convertible Securities Bank of America $ 11,664 $ 714,493 $ 726,157 Equity Income Fund Convertible Securities Bank of America 79,598 714,493 794,091 Equity & Convertible Fund Value Bank of America 4,521 504,398 508,919 Equity Value Fund Strategic Growth Bank of America 429,632 1,400,063 1,829,695 Equity Fund Strategic Growth Bank of America 156,270 1,400,063 1,556,333 Charitable Equity Fund Capital Growth Bank of America 7,660 263,648 271,308 Equity Growth Fund MidCap Growth Bank of America 139,116 419,239 558,355 Equity MidCap Fund Small Company Bank of America 27,839 533,701 561,540 SmallCap Equity Fund ACQUIRED FUND UNREALIZED APPRECIATION/ (DEPRECIATION) ACQUIRING FUND (000) - ---------------------- ------------------------ Convertible Securities $ (705) Convertible Securities (6,595) Value (905) Strategic Growth (52,377) Strategic Growth (6,141) Capital Growth (645) MidCap Growth (15) Small Company (8,949)
12. SUBSEQUENT EVENT On October 8, 2002, the Board of Trustees of each Fund approved the replacement of Stephens with BA Advisors as the exclusive distributor of the shares of the Funds. In addition, on November 21, 2002, the Board of Trustees approved the termination of Stephens as the co-administrator with BA Advisors (which will result in BA Advisors being the sole administrator to the Funds) and approved the assumption by BACAP of BA Advisors' role as the primary investment adviser to the Funds. The transition in service providers is expected to occur on or about January 1, 2003. It is also anticipated that BA Advisors will change its name to BACAP Distributors, LLC on or about January 1, 2003. 111 NATIONS MASTER INVESTMENT TRUST Nations Marsico Growth Master Portfolio, Nations Strategic Growth Master Portfolio and Nations Marsico Focused Equities Master Portfolio Semi-annual Report SEPTEMBER 30, 2002 (UNAUDITED) The following pages should be read in conjunction with Nations Marsico Growth, Nations Strategic Growth and Nations Marsico Focused Equities Funds' Semi-Annual Report. 112 NATIONS MASTER INVESTMENT TRUST Nations Marsico Growth Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ COMMON STOCKS -- 92.2% AEROSPACE AND DEFENSE -- 8.7% 132,863 General Dynamics Corporation................................ $ 10,806 107,782 L-3 Communications Holdings, Inc.!!......................... 5,680 364,218 Lockheed Martin Corporation................................. 23,553 -------- 40,039 -------- AIRLINES -- 1.4% 188,480 Ryanair Holdings plc, ADR!!(a).............................. 6,388 -------- AUTOMOTIVE -- 3.1% 449,076 Bayerische Motoren Werke (BMW) AG!!......................... 14,403 -------- BEVERAGES -- 3.7% 89,058 Anheuser-Busch Companies, Inc............................... 4,506 115,934 Heineken NV!!............................................... 4,550 218,128 PepsiCo, Inc. .............................................. 8,060 -------- 17,116 -------- BROADCASTING AND CABLE -- 4.6% 209,694 Clear Channel Communications, Inc.!!........................ 7,287 341,306 Viacom Inc., Class B!!...................................... 13,840 -------- 21,127 -------- CHEMICALS -- 0.2% 66,256 Monsanto Company............................................ 1,013 -------- COMMERCIAL BANKING -- 1.4% 137,454 Wells Fargo & Company....................................... 6,620 -------- COMPUTERS AND OFFICE EQUIPMENT -- 1.3% 262,438 Dell Computer Corporation!!................................. 6,170 -------- CONSTRUCTION -- 0.2% 24,462 Jacobs Engineering Group Inc.!!............................. 755 -------- CONSUMER CREDIT AND MORTGAGES -- 1.9% 147,548 Fannie Mae.................................................. 8,785 -------- DEPARTMENT AND DISCOUNT STORES -- 5.7% 121,584 Kohl's Corporation!!........................................ 7,394 381,318 Wal-Mart Stores, Inc. ...................................... 18,776 -------- 26,170 -------- FINANCE -- MISCELLANEOUS -- 5.9% 292,744 SLM Corporation............................................. 27,266 -------- FOOD PRODUCTS -- 2.4% 301,174 Kraft Foods, Inc. .......................................... 10,981 --------
VALUE SHARES (000) - ------------------------------------------------------------------------------------ HEALTH SERVICES -- 16.5% 29,722 Oxford Health Plans, Inc.!!................................. $ 1,157 270,704 Quest Diagnostics Inc.!!.................................... 16,656 562,905 Tenet Healthcare Corporation!!.............................. 27,864 339,156 UnitedHealth Group Inc.!!................................... 29,581 -------- 75,258 -------- HEAVY MACHINERY -- 0.4% 40,576 Deere & Company............................................. 1,844 -------- HOUSEHOLD PRODUCTS -- 3.6% 32,820 Colgate-Palmolive Company................................... 1,771 166,546 Procter & Gamble Company.................................... 14,886 -------- 16,657 -------- HOUSING AND FURNISHING -- 3.4% 199,620 D.R. Horton, Inc............................................ 3,717 127,504 Lennar Corporation.......................................... 7,112 131,864 M.D.C. Holdings, Inc........................................ 4,655 -------- 15,484 -------- INVESTMENT SERVICES -- 3.0% 279,838 Lehman Brothers Holdings Inc. .............................. 13,726 -------- LODGING AND RECREATION -- 3.3% 173,262 Four Seasons Hotels Inc.(a)................................. 5,551 48,654 Harley-Davidson, Inc. ...................................... 2,260 191,534 MGM Mirage Inc.!!(a)........................................ 7,145 -------- 14,956 -------- MEDICAL DEVICES AND SUPPLIES -- 3.6% 138,750 Johnson & Johnson........................................... 7,504 237,498 Zimmer Holdings, Inc.!!..................................... 9,105 -------- 16,609 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 3.3% 477,118 Nokia Corporation!!......................................... 6,322 320,056 QUALCOMM Inc.!!............................................. 8,840 -------- 15,162 -------- PHARMACEUTICALS -- 2.7% 256,484 Amgen Inc.!!................................................ 10,695 21,972 Forest Laboratories, Inc.!!................................. 1,802 -------- 12,497 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.6% 145,560 FedEx Corporation........................................... 7,288 -------- SOFTWARE -- 3.1% 129,844 Electronic Arts Inc.!!(a)................................... 8,564 130,284 Microsoft Corporation!!..................................... 5,699 -------- 14,263 --------
SEE NOTES TO FINANCIAL STATEMENTS. 113 NATIONS MASTER INVESTMENT TRUST Nations Marsico Growth Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ SPECIALTY STORES -- 7.2% 220,540 Bed Bath & Beyond Inc.!!.................................... $ 7,183 395,454 Lowe's Companies, Inc. ..................................... 16,371 442,700 Tiffany & Company........................................... 9,487 -------- 33,041 -------- TOTAL COMMON STOCKS (Cost $405,097)........................................... 423,618 -------- PRINCIPAL AMOUNT (000) - --------- CORPORATE BONDS AND NOTES -- 0.1% HOUSING AND FURNISHING -- 0.1% (Cost $538) $ 550 M.D.C. Holdings, Inc., 8.375% 02/01/08........................................... 556 -------- SHARES - --------- PREFERRED STOCKS -- 1.3% AUTOMOTIVE -- 1.3% (Cost $5,195) 14,364 Porsche AG!!................................................ 5,963 -------- PRINCIPAL AMOUNT (000) - --------- SHORT TERM INVESTMENTS -- 7.5% FEDERAL HOME LOAN BANK (FHLB) -- 7.5% (Cost $34,500) $ 34,500 1.830% 10/01/02............................................. 34,498 --------
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------ - --------- INVESTMENT COMPANIES -- 2.6% (Cost $11,752) 11,752 Nations Cash Reserves, Capital Class Shares#................ $ 11,752 -------- TOTAL INVESTMENTS (Cost $457,082*)................................ 103.7% 476,387 -------- OTHER ASSETS AND LIABILITIES (NET)................ (3.7)% Receivable for investment securities sold................... $ 2,654 Dividends receivable........................................ 108 Interest receivable......................................... 8 Collateral on securities loaned............................. (11,721) Investment advisory fee payable............................. (290) Administration fee payable.................................. (39) Due to custodian............................................ (9) Payable for investment securities purchased................. (7,448) Accrued Trustees' fees and expenses......................... (32) Accrued expenses and other liabilities...................... (31) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......................................... (16,800) -------- NET ASSETS........................................ 100.0% $459,587 ========
- --------------- *Federal income tax information: Net unrealized appreciation of $19,305 on investment securities was comprised of gross appreciation of $44,655 and gross depreciation of $25,350 for federal income tax purposes. At September 30, 2002, the aggregate cost of securities for federal income tax purposes was $457,082. !! Non-income producing security. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $12,514 and $11,524, respectively. #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 (see Note 5). The portion that represents cash collateral is $11,721. ABBREVIATION: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 114 NATIONS MASTER INVESTMENT TRUST Nations Strategic Growth Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- COMMON STOCKS -- 96.6% AEROSPACE AND DEFENSE -- 4.0% 310,625 General Dynamics Corporation.................................. $ 25,264 360,550 Lockheed Martin Corporation................................... 23,317 81,750 Northrop Grumman Corporation(a)............................... 10,140 334,475 United Technologies Corporation............................... 18,894 ---------- 77,615 ---------- AUTOMOTIVE -- 0.5% 230,225 Lear Corporation!!............................................ 9,589 ---------- BEVERAGES -- 5.1% 662,425 Anheuser-Busch Companies, Inc. ............................... 33,519 620,650 Coca-Cola Company............................................. 29,766 945,420 PepsiCo, Inc. ................................................ 34,933 ---------- 98,218 ---------- BROADCASTING AND CABLE -- 5.2% 1,590,090 AOL Time Warner Inc.!!........................................ 18,604 900,000 Clear Channel Communications, Inc.!!.......................... 31,274 1,363,600 Comcast Corporation, Special Class A!!........................ 28,445 533,950 Viacom Inc., Class B!!........................................ 21,652 ---------- 99,975 ---------- CHEMICALS -- BASIC -- 0.4% 189,368 Ecolab, Inc. ................................................. 7,902 ---------- COMMERCIAL BANKING -- 7.2% 1,532,921 Charter One Financial, Inc. .................................. 45,559 702,187 Citigroup Inc. ............................................... 20,820 340,000 Fifth Third Bancorp........................................... 20,818 462,863 TCF Financial Corporation..................................... 19,593 678,000 Wells Fargo & Company......................................... 32,653 ---------- 139,443 ---------- COMPUTER SERVICES -- 1.4% 786,650 Automatic Data Processing, Inc. .............................. 27,352 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 2.0% 648,700 Dell Computer Corporation!!................................... 15,251 405,375 International Business Machines Corporation................... 23,670 ---------- 38,921 ---------- CONSUMER CREDIT AND MORTGAGES -- 2.6% 532,640 Fannie Mae.................................................... 31,713 1,037,249 MBNA Corporation.............................................. 19,065 ---------- 50,778 ---------- DEPARTMENT AND DISCOUNT STORES -- 3.8% 788,937 Target Corporation............................................ 23,289 1,019,125 Wal-Mart Stores, Inc. ........................................ 50,182 ---------- 73,471 ----------
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- DIVERSIFIED MANUFACTURING -- 4.0% 170,000 3M Company.................................................... $ 18,695 2,339,050 General Electric Company&&.................................... 57,657 ---------- 76,352 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.3% 891,500 Southern Company.............................................. 25,657 ---------- ELECTRIC POWER -- NUCLEAR -- 1.0% 356,900 FPL Group, Inc. .............................................. 19,201 ---------- FINANCE -- MISCELLANEOUS -- 2.5% 521,300 SLM Corporation............................................... 48,554 ---------- HEALTH SERVICES -- 3.1% 419,037 Tenet Healthcare Corporation!!................................ 20,742 207,775 UnitedHealth Group Inc.!!..................................... 18,122 290,300 Wellpoint Health Networks Inc.!!.............................. 21,279 ---------- 60,143 ---------- HOUSEHOLD PRODUCTS -- 3.2% 500,075 Colgate-Palmolive Company..................................... 26,979 383,900 Procter & Gamble Company...................................... 34,313 ---------- 61,292 ---------- HOUSING AND FURNISHING -- 1.8% 1,763,125 Masco Corporation............................................. 34,469 ---------- INSURANCE -- 6.7% 1,255,975 Ace Ltd. ..................................................... 37,189 906,375 AFLAC, Inc. .................................................. 27,817 351,236 American International Group, Inc. ........................... 19,213 614,575 XL Capital Ltd., Class A...................................... 45,171 ---------- 129,390 ---------- INTEGRATED OIL -- 5.7% 435,300 BP Amoco plc, ADR............................................. 17,368 581,609 ChevronTexaco Corporation..................................... 40,276 1,648,090 Exxon Mobil Corporation....................................... 52,575 ---------- 110,219 ---------- INVESTMENT SERVICES -- 1.1% 648,011 Merrill Lynch & Company, Inc. ................................ 21,352 ---------- LODGING AND RECREATION -- 1.2% 1,039,638 Starwood Hotels & Resorts Worldwide, Inc. .................... 23,184 ---------- MEDICAL DEVICES AND SUPPLIES -- 8.2% 792,400 Abbott Laboratories........................................... 32,013 784,575 Baxter International Inc. .................................... 23,969 350,000 Cardinal Health, Inc. ........................................ 21,770 1,016,375 Johnson & Johnson............................................. 54,967 587,735 Medtronic, Inc. .............................................. 24,755 ---------- 157,474 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 115 NATIONS MASTER INVESTMENT TRUST Nations Strategic Growth Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.2% 2,141,800 Cisco Systems, Inc.!!......................................... $ 22,446 ---------- OILFIELD SERVICES -- 1.4% 847,138 Nabors Industries, Ltd.!!..................................... 27,744 ---------- PHARMACEUTICALS -- 4.4% 453,375 Amgen Inc.!!.................................................. 18,906 1,012,650 Pfizer Inc. .................................................. 29,387 917,900 Pharmacia Corporation......................................... 35,688 ---------- 83,981 ---------- PUBLISHING AND ADVERTISING -- 1.1% 344,400 McGraw-Hill Companies, Inc. .................................. 21,084 ---------- RESTAURANTS -- 1.3% 1,400,000 McDonald's Corporation........................................ 24,724 ---------- SEMICONDUCTORS -- 3.6% 752,025 Analog Devices, Inc.!!........................................ 14,815 2,446,200 Intel Corporation............................................. 33,977 482,750 Linear Technology Corporation................................. 10,003 650,650 Texas Instruments Inc. ....................................... 9,610 ---------- 68,405 ---------- SOFTWARE -- 4.4% 1,930,025 Microsoft Corporation!!&&..................................... 84,419 ---------- SPECIALTY STORES -- 1.9% 1,023,079 Home Depot, Inc. ............................................. 26,702 700,000 Limited, Inc. ................................................ 10,038 ---------- 36,740 ---------- TELECOMMUNICATIONS SERVICES -- 1.7% 1,490,300 Motorola, Inc. ............................................... 15,171 846,086 SBC Communications Inc. ...................................... 17,007 ---------- 32,178 ---------- TOBACCO -- 2.2% 1,099,625 Philip Morris Companies Inc. ................................. 42,665 ---------- UNIT INVESTMENT TRUST -- 1.4% 320,000 Standard & Poor's Depositary Receipts(a)...................... 26,173 ---------- TOTAL COMMON STOCKS (Cost $2,054,045)........................................... 1,861,110 ---------- SHARES VALUE (000) (000) - ---------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 5.1% (Cost $97,498) 97,498 Nations Cash Reserves, Capital Class Shares#.................. $ 97,498 ---------- TOTAL INVESTMENTS (Cost $2,151,543*)................................ 101.7% 1,958,608 ---------- OTHER ASSETS AND LIABILITIES (NET).................. (1.7)% Cash.......................................................... $ 45 Receivable for investment securities sold..................... 3,858 Dividends receivable.......................................... 2,105 Collateral on securities loaned............................... (35,033) Investment advisory fee payable............................... (1,096) Administration fee payable.................................... (84) Payable for investment securities purchased................... (1,765) Accrued Trustees' fees and expenses........................... (34) Accrued expenses and other liabilities........................ (55) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (32,059) ---------- NET ASSETS.......................................... 100.0% $1,926,549 ==========
- --------------- *Federal income tax information: Net unrealized depreciation of $192,935 on investment securities was comprised of gross appreciation of $96,746 and gross depreciation of $289,681 for federal income tax purposes. At September 30, 2002, the aggregate cost of securities for federal income tax purposes was $2,151,543. !! Non-income producing security. && All or a portion of security segregated as collateral for futures contracts. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $35,418 and $33,814 respectively. #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 (see Note 5). The portion that represents cash collateral is $35,033. ABBREVIATION: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 116 NATIONS MASTER INVESTMENT TRUST Nations Marsico Focused Equities Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- COMMON STOCKS -- 93.2% AEROSPACE AND DEFENSE -- 12.3% 436,351 General Dynamics Corporation.................................. $ 35,488 734,112 L-3 Communications Holdings, Inc.!!(a)........................ 38,688 1,766,134 Lockheed Martin Corporation................................... 114,216 ---------- 188,392 ---------- AUTOMOTIVE -- 4.6% 2,183,311 Bayerische Motoren Werke (BMW) AG!!........................... 70,022 ---------- BEVERAGES -- 3.5% 516,131 Anheuser-Busch Companies, Inc.(a)............................. 26,116 728,204 PepsiCo, Inc. ................................................ 26,907 ---------- 53,023 ---------- BROADCASTING AND CABLE -- 4.6% 700,960 Clear Channel Communications, Inc.!!.......................... 24,358 1,138,133 Viacom Inc., Class B!!........................................ 46,152 ---------- 70,510 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 1.3% 864,834 Dell Computer Corporation!!................................... 20,332 ---------- CONSUMER CREDIT AND MORTGAGES -- 1.9% 486,512 Fannie Mae.................................................... 28,967 ---------- DEPARTMENT AND DISCOUNT STORES -- 5.7% 408,448 Kohl's Corporation!!.......................................... 24,838 1,259,264 Wal-Mart Stores, Inc. ........................................ 62,006 ---------- 86,844 ---------- FINANCE -- MISCELLANEOUS -- 5.6% 917,942 SLM Corporation............................................... 85,497 ---------- HEALTH SERVICES -- 21.7% 1,294,359 Quest Diagnostics Inc.!!(a)................................... 79,642 2,797,091 Tenet Healthcare Corporation!!................................ 138,455 1,315,102 UnitedHealth Group Inc.!!..................................... 114,703 ---------- 332,800 ---------- HOUSEHOLD PRODUCTS -- 3.6% 109,706 Colgate-Palmolive Company..................................... 5,919 556,320 Procter & Gamble Company...................................... 49,724 ---------- 55,643 ---------- HOUSING AND FURNISHING -- 2.1% 584,754 Lennar Corporation(a)......................................... 32,618 ----------
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- INVESTMENT SERVICES -- 4.1% 1,291,026 Lehman Brothers Holdings Inc. ................................ $ 63,325 ---------- LODGING AND RECREATION -- 3.2% 761,471 Four Seasons Hotels Inc.(a)................................... 24,398 657,991 MGM Mirage Inc.!!(a).......................................... 24,543 ---------- 48,941 ---------- MEDICAL DEVICES AND SUPPLIES -- 2.3% 648,522 Johnson & Johnson............................................. 35,072 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 3.3% 1,595,878 Nokia Corporation!!........................................... 21,145 1,068,020 QUALCOMM Inc.!!............................................... 29,499 ---------- 50,644 ---------- PHARMACEUTICALS -- 2.7% 839,560 Amgen Inc.!!.................................................. 35,010 72,946 Forest Laboratories, Inc.!!................................... 5,982 ---------- 40,992 ---------- RAILROADS, TRUCKING AND SHIPPING -- 0.7% 218,682 FedEx Corporation............................................. 10,949 ---------- SOFTWARE -- 1.2% 434,523 Microsoft Corporation!!....................................... 19,006 ---------- SPECIALTY STORES -- 8.8% 1,730,646 Lowe's Companies, Inc. ....................................... 71,649 2,941,247 Tiffany & Company............................................. 63,031 ---------- 134,680 ---------- TOTAL COMMON STOCKS (Cost $1,361,325)........................................... 1,428,257 ---------- PREFERRED STOCKS -- 2.4% (Cost $36,281) AUTOMOTIVE -- 2.4% 88,049 Porsche AG!!.................................................. 36,549 ---------- PRINCIPAL AMOUNT (000) - --------- SHORT TERM INVESTMENTS -- 4.9% FEDERAL HOME LOAN BANK (FHLB) -- 4.9% (Cost $75,200) $ 75,200 1.830% 10/01/02............................................... 75,196 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 117 NATIONS MASTER INVESTMENT TRUST Nations Marsico Focused Equities Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
SHARES VALUE (000) (000) - ---------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 3.1% INVESTMENT COMPANIES (Cost $48,108) 48,108 Nations Cash Reserves, Capital Class Shares#.................. $ 48,108 ---------- TOTAL INVESTMENTS (Cost $1,520,914*)................................ 103.6% 1,588,110 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. (3.6)% Cash.......................................................... $ 17 Receivable for investment securities sold..................... 3,459 Dividends receivable.......................................... 236 Interest receivable........................................... 2 Collateral on securities loaned............................... (48,034) Investment advisory fee payable............................... (967) Administration fee payable.................................... (129) Payable for investment securities purchased................... (9,614) Accrued Trustees' fees and expenses........................... (33) Accrued expenses and other liabilities........................ (48) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (55,111) ---------- NET ASSETS.......................................... 100.0% $1,532,999 ==========
- --------------- *Federal income tax information: Net unrealized appreciation of $67,196 on investment securities was comprised of gross appreciation of $152,099 and gross depreciation of $84,903 for federal income tax purposes. At September 30, 2002, the aggregate cost of securities for federal income tax purposes was $1,520,914. !! Non-income producing security. (a) All or a portion of security was on loan at September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $60,590 and $46,480, respectively. #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 (see Note 5). The portion that represents cash collateral is $48,034. SEE NOTES TO FINANCIAL STATEMENTS. 118 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2002
STRATEGIC FOCUSED GROWTH GROWTH EQUITIES MASTER MASTER MASTER PORTFOLIO PORTFOLIO(A) PORTFOLIO ---------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $80, $29 and $313, respectively)....................................... $ 1,930 $ 12,089 $ 6,176 Dividend income from affiliated funds....................... 2 466 1 Interest.................................................... 350 53 465 Securities lending.......................................... 40 40 167 -------------- -------------- -------------- Total investment income................................. 2,322 12,648 6,809 -------------- -------------- -------------- EXPENSES: Investment advisory fee..................................... 1,906 5,646 6,198 Administration fee.......................................... 254 364 826 Custodian fees.............................................. 23 63 71 Legal and audit fees........................................ 16 14 16 Trustees' fees and expenses................................. 7 5 7 Interest expense............................................ -- -- --* Other....................................................... 2 4 6 -------------- -------------- -------------- Total expenses.......................................... 2,208 6,096 7,124 Fees reduced by credits allowed by the custodian............ --* --* --* -------------- -------------- -------------- Net expenses............................................ 2,208 6,096 7,124 -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)................................ 114 6,552 (315) -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... (43,779) (198,768) (119,956) Foreign currency transactions............................. (4) -- (68) -------------- -------------- -------------- Net realized gain/(loss) on investments..................... (43,783) (198,768) (120,024) Change in unrealized appreciation/(depreciation) of Securities (Note 6)....................................... (55,263) (192,935) (183,223) -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments...... (99,046) (391,703) (303,247) -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ (98,932) $ (385,151) $ (303,562) ============== ============== ==============
- --------------- * Amount represents less than $500. (a)Strategic Growth Master Portfolio commenced operations on May 13, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 119 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF CHANGES IN NET ASSETS
STRATEGIC GROWTH GROWTH MASTER FOCUSED EQUITIES MASTER PORTFOLIO PORTFOLIO MASTER PORTFOLIO --------------------------------- -------------- --------------------------------- SIX MONTHS PERIOD SIX MONTHS ENDED ENDED ENDED 9/30/02 YEAR ENDED 9/30/02(F) 9/30/02 YEAR ENDED (UNAUDITED) 3/31/02 (UNAUDITED) (UNAUDITED) 3/31/02 ------------------------------------------------------------------------------------------ (IN THOUSANDS) Net investment income (loss)........ $ 114 $ (626) $ 6,552 $ (315) $ (1,429) Net realized gain/(loss) on investments....................... (43,783) (79,466) (198,768) (120,024) (260,711) Net change in unrealized appreciation/(depreciation) of investments....................... (55,263) 77,647 (192,935) (183,223) 314,550 -------------- -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations........................ (98,932) (2,445) (385,151) (303,562) 52,410 Contributions....................... 153,005 185,042 2,491,850 438,951 389,119 Withdrawals......................... (120,323) (186,810) (180,150) (349,941) (506,240) -------------- -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets............................ (66,250) (4,213) 1,926,549 (214,552) (64,711) NET ASSETS: Beginning of period................. 525,837 530,050 -- 1,747,551 1,812,262 -------------- -------------- -------------- -------------- -------------- End of period....................... $ 459,587 $ 525,837 $ 1,926,549 $ 1,532,999 $ 1,747,551 ============== ============== ============== ============== ==============
- --------------- (f) Strategic Growth Master Portfolio commenced operations on May 13, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 120 NATIONS MASTER INVESTMENT TRUST FINANCIAL HIGHLIGHTS
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF OPERATING INVESTMENT OPERATING EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO TOTAL TO AVERAGE TO AVERAGE TURNOVER AVERAGE RETURN@ NET ASSETS NET ASSETS RATE NET ASSETS ---------------------------------------------------------------------- GROWTH MASTER PORTFOLIO: Six months ended 9/30/2002 (unaudited)............. (17.70)% 0.87%+(d) 0.04%+ 66% 0.87%+(d) Year ended 3/31/2002............................... (0.53) 0.87(d)(e) (0.13) 114 0.87(d)(e) Year ended 3/31/2001............................... -- 0.86(d) 0.20 113 0.86(d) Period ended 3/31/2000(a).......................... -- 0.86+(d) (0.04)+ 60 0.86+(d) STRATEGIC GROWTH MASTER PORTFOLIO: Period ended 9/30/2002 (unaudited)(f).............. (28.76)% 0.70%+(d) 0.75%+ 29% 0.70%+(d) FOCUSED EQUITIES MASTER PORTFOLIO: Six months ended 9/30/2002 (unaudited)............. (16.94)% 0.86%+(d)(e) (0.04)%+ 61% 0.86%+(d)(e) Year ended 3/31/2002............................... 3.50 0.86(d)(e) (0.08) 129 0.86(d)(e) Year ended 3/31/2001............................... -- 0.86(d)(e) 0.17 134 0.86(d) Period ended 3/31/2000(c).......................... -- 0.84+(d) (0.07)+ 84 0.84+(d)
- --------------- + Annualized (a)Growth Master Portfolio commenced operations on October 8, 1999. (c)Focused Equities Master Portfolio commenced operations on October 8, 1999. (d)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%. (e)The effect of interest expense on the operating expense ratio was less than 0.01%. (f)Strategic Growth Master Portfolio commenced operations on May 13, 2002. @ Total return for the Portfolio has been calculated based on the total return for the Fund adjusted for the difference in expenses as set out in the notes to financial statements. SEE NOTES TO FINANCIAL STATEMENTS. 121 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (UNAUDITED) Nations Master Investment Trust (the "Master Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. At September 30, 2002, the Master Trust offered twelve separate portfolios. These financial statements pertain only to Nations Marsico Growth Master Portfolio (formerly Nations Marsico Growth & Income Master Portfolio), Nations Strategic Growth Master Portfolio and Nations Marsico Focused Equities Master Portfolio (each a "Master Portfolio" and collectively, the "Master Portfolios"). Financial statements for the other portfolios of the Master Trust are presented under separate cover. The following investors were invested in the Master Portfolios at September 30, 2002: Growth Master Portfolio: Nations Marsico Growth Fund................... 98.0% Nations Marsico Growth Fund (Offshore)........ 1.7% Banc of America Capital Management Funds I -- Growth Fund................................. 0.3% Strategic Growth Master Portfolio: Nations Strategic Growth Fund................. 98.8% Nations Strategic Growth Fund (Offshore)...... 1.2% Focused Equities Master Portfolio: Nations Marsico Focused Equities Fund......... 98.6% Nations Marsico Focused Equities Fund (Offshore).................................. 1.0% Banc of America Capital Management Funds I -- Focused Equities Fund....................... 0.4%
1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Master Portfolios in the preparation of their financial statements. Securities valuation: Securities, including 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. Certain securities may be valued using broker quotations or on the basis of prices provided by pricing services. 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 as determined by the applicable Nations Funds' prospectus. Futures contracts: All Master Portfolios may invest in futures contracts for the purposes of hedging against changes in values of the Portfolios' securities or changes in the prevailing levels of interest rates or currency exchange rates or to gain exposure to the equity market. Upon entering into a futures contract, a Master Portfolio is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Master Portfolio each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect changes in the market value of the contract. When the contract is closed, a Master Portfolio records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts, that a change in the value of the contract may not correlate with a change in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. 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. 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. Federal income taxes: The Master Portfolios are treated as partnerships for federal income tax purposes and therefore are not subject to federal income tax. Each investor in the Master Portfolios will be subject to 122 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) taxation on its allocated share of the Master Portfolio's ordinary income and capital gains. Expenses: General expenses of the Master Trust are allocated to the Master Portfolios based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Master Portfolio are charged to such Portfolio. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS The Master Trust has entered into an investment advisory agreement (the "Investment Advisory Agreement") with Banc of America Advisors, LLC ("BA Advisors"), a wholly-owned subsidiary of Bank of America, N.A. ("Bank of America"), which in turn is a wholly-owned banking subsidiary of Bank of America Corporation, a bank holding company organized as a Delaware corporation, pursuant to which BA Advisors provides investment advisory services to the Master Portfolios. Under the terms of the Investment Advisory Agreement, BA Advisors is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Master Portfolio:
ANNUAL RATE ------ Growth Master Portfolio....................... 0.75% Strategic Growth Master Portfolio............. 0.65% Focused Equities Master Portfolio............. 0.75%
The Master Trust has, on behalf of the Growth and Focused Equities Master Portfolios, entered into a sub-advisory agreement with BA Advisors and Marsico Capital Management, LLC ("Marsico"), a wholly-owned subsidiary of Bank of America, pursuant to which Marsico is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.45% of each Master Portfolio's average daily net assets. The Master Trust has, on behalf of the Strategic Growth Master Portfolio, entered into a sub-advisory agreement with BA Advisors and Banc of America Capital Management, LLC ("BACAP"), pursuant to which BACAP is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.25% of the Master Portfolio's average daily net assets. Stephens Inc. ("Stephens") and BA Advisors serve as co-administrators of the Master Trust. Under the co-administration agreements, Stephens and BA Advisors are currently entitled to receive a combined fee, computed daily and paid monthly, at the maximum annual rate of 0.05% of the Strategic Growth Master Portfolio's average daily net assets and 0.10% of the Growth and Focused Equities Master Portfolios' average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of the Master Trust pursuant to an agreement with BA Advisors. For the six months ended September 30, 2002, BA Advisors earned 0.10%, 0.05%, and 0.10%, respectively, from the average daily net assets of the Growth, Strategic Growth and Focused Equities Master Portfolios for its co-administration services. BNY serves as the custodian of the Master Trust's assets. For the six months ended September 30, 2002, expenses of the Master Portfolios were reduced by $434 under expense offset arrangements with BNY. The Master Portfolios could have invested a portion of the assets utilized in connection with the expense offset arrangements in an income producing asset if they had not entered into such arrangements. For the six months ended September 30, 2002, Growth Master Portfolio and Focused Equities Master Portfolio paid commissions of $26,540 and $113,807, respectively, to certain affiliates of BA Advisors in connection with the execution of various portfolio transactions. No officer, director or employee of Bank of America or BA Advisors, or any affiliate thereof, receives any compensation from the Master Trust for serving as a Trustee or Officer of the Master Trust. The Master Trust's eligible Trustees may participate in a non-qualified deferred compensation plan which may be terminated at any time. All benefits provided under this plan are unfunded and any payments to plan participants are paid solely out of the Master Portfolios' assets. Income earned on the 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 Reserves, a portfolio of Nations Funds Trust, another registered investment company in the Nations Funds family. The expense for the deferred compensation plan is included in "Trustees' fees and expenses" in the Statements of operations. The liability for the deferred compensation plan is included in "Accrued Trustees' fees and expenses" in the Statement of net assets. The Master Trust previously offered a retirement plan to the Trustees, which was terminated on January 1, 2002. Master 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. 123 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The liability for the retirement plan is included in "Accrued Trustees' fees and expenses" in the Statement of net assets. The Master Portfolios have made daily investments of cash balances in Nations Cash Reserves, a portfolio of Nations Funds Trust, pursuant to an exemptive order received from the Securities and Exchange Commission. The income earned by each Master Portfolio from such investments is included in its Statement of operations as "Dividend income from affiliated funds". 3. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2002 were as follows:
PURCHASES SALES (000) (000) --------------------- Growth Master Portfolio......... $ 332,818 $310,727 Strategic Growth Master Portfolio*.................... 504,994 576,246 Focused Equities Master Portfolio..................... 1,016,834 977,184
- --------------- *commenced operations on May 13, 2002. 4. LINES OF CREDIT The Master Trust participates 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 Master Portfolio maintains a ratio of net assets (not including amounts borrowed pursuant to the Agreement) to the aggregate amount of indebtedness pursuant to the Agreement of no less than 4 to 1. At September 30, 2002, there were no loans outstanding under this Agreement. For the six months ended September 30, 2002, borrowings by the Master Portfolios under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING INTEREST PORTFOLIO (000) RATE - ------------------------------------------------------------- Focused Equities Master Portfolio.... $9 2.24%
The average amount outstanding was calculated based on daily balances in the period. 5. SECURITIES LENDING Under an agreement with BNY, the Master Portfolios can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned. The cash collateral received is invested in Nations Cash Reserves. A portion of the income generated by the investment of the collateral, net of any rebates paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder is paid to the Master Portfolios. Generally, in the event of counterparty default, the Master Portfolio has the right to use the collateral to offset losses incurred. There would be a potential loss to the Master Portfolio in the event the Master Portfolio is delayed or prevented from exercising its right to dispose of the collateral. The Master Portfolio bears the risk of loss with respect to the investment of collateral. At September 30, 2002, the following Master Portfolios had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL (000) (000) --------------------------------- Growth Master Portfolio....... $11,524 $11,721 Strategic Growth Master Portfolio................... 33,814 35,033 Focused Equities Master Portfolio................... 46,480 48,034
6. REORGANIZATIONS FUND REORGANIZATION On May 10, 2002, the assets and liabilities of Nations Blue Chip Fund (the "Fund"), a feeder to Nations Blue Chip Master Portfolio, were transferred to Nations Strategic Growth Fund (the "Acquiring Fund"). Because the assets of Nations Blue Chip Fund were held at the master portfolio level, this transfer was accomplished through a reorganization of Nations Blue Chip Master Portfolio and Nations Strategic Growth Master Portfolio. Immediately afterward, the assets of the Acquiring Fund were contributed to Nations Strategic Growth Master Portfolio in exchange for interests in that Master Portfolio. Each transfer was in exchange for shares of equal value of the designated classes of the Acquiring Fund. The reorganization was tax-free whereby the Acquiring Fund assumed the market value and cost basis of the portfolio positions in Nations Blue Chip Master Portfolio. 124 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 7. SUBSEQUENT EVENT On October 8, 2002, the Board of Trustees of each Master Portfolio approved the replacement of Stephens with BA Advisors as the exclusive placement agent of the interests of the Master Portfolios. In addition, on November 21, 2002, the Board of Trustees approved the termination of Stephens as the co-administrator with BA Advisors (which will result in BA Advisors being the sole administrator to the Master Portfolios) and approved the assumption by BACAP of BA Advisors' role as the primary investment adviser to the Master Portfolios. The transition in service providers is expected to occur on or about January 1, 2003. It is also anticipated that BA Advisors will change its name to BACAP Distributors, LLC on or about January 1, 2003. 125 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 Cash Reserves Nations Money Market Reserves Nations Government Reserves Nations Treasury Reserves Nations Tax-Exempt Reserves 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) Nations Intermediate Municipal Bond Fund Nations State-Specific Intermediate Municipal Bond Funds (CA, 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 Fund Nations Capital Growth Fund Nations Strategic Growth Fund BLEND FUNDS Nations Asset Allocation Fund VALUE FUNDS Nations SmallCap Value Fund 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 *As of June 3, 2002, Nations International Value Fund was closed to new or additional investments except in limited circumstances. Please refer to the Fund's most recent prospectus for more information. STKSAR (9/02) -----END PRIVACY-ENHANCED MESSAGE-----