N-30D 1 g78796nv30d.txt NATIONS FUND TRUST (INDEX) Nations LargeCap Index Fund Nations Managed Index Fund INDEX FUNDS Nations MidCap Index Fund ------------------------------------ Semiannual report for the period Nations SmallCap ended September 30, 2002 Index Fund [NATIONS FUNDS LOGO] This Report is submitted for the general information of shareholders of Nations Funds. This material must be preceded or accompanied by a current Nations Funds prospectus. Nations Funds distributor: Stephens Inc., which is not affiliated with Bank of America Corporation, is not a bank, and securities offered by it are not guaranteed by any bank or insured by the FDIC. Stephens Inc., member NYSE, SIPC. Nations Funds Investment Adviser: Banc of America Advisors, LLC. NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE PRESIDENTS' MESSAGE Dear Shareholder: The 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 LargeCap Index Fund 3 Nations Managed Index Fund 10 Nations MidCap Index Fund 16 Nations SmallCap Index Fund 22 Statements of operations 30 Statements of changes in net assets 32 Schedules of capital stock activity 34 Financial highlights 38 Notes to financial statements 46
NATIONS FUNDS [DALBAR LOGO] RECOGNIZED FOR OUTSTANDING DALBAR, Inc. is a well-respected SHAREHOLDER AND research firm that measures INTERMEDIARY SERVICE customer service levels and establishes benchmarks in the IN RECOGNITION OF ITS COMMITMENT financial services industry. TO PROVIDE SHAREHOLDERS AND INVESTMENT PROFESSIONALS WITH THE HIGHEST LEVEL OF SERVICE IN THE MUTUAL FUND INDUSTRY, NATIONS FUNDS RECEIVED THE DALBAR MUTUAL FUND SERVICE AWARD AND THE DALBAR KEY HONORS AWARD IN 2001. "Standard & Poor's" and "Standard & Poor's 500" are trademarks of The McGraw-Hill Companies, Inc.
[This page intentionally left blank.] NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMON STOCKS -- 97.3% AEROSPACE AND DEFENSE -- 1.8% 11,725 B.F. Goodrich Company......................................... $ 221 96,425 Boeing Company................................................ 3,291 23,200 General Dynamics Corporation.................................. 1,887 52,275 Lockheed Martin Corporation................................... 3,382 12,975 Northrop Grumman Corporation.................................. 1,609 46,275 Raytheon Company.............................................. 1,356 21,025 Rockwell Collins, Inc. ....................................... 461 21,350 Rockwell International Corporation............................ 347 54,200 United Technologies Corporation............................... 3,062 ---------- 15,616 ---------- AIRLINES -- 0.2% 17,825 AMR Corporation!!(a).......................................... 75 14,150 Delta Air Lines, Inc. ........................................ 131 88,800 Southwest Airlines Company(a)................................. 1,160 ---------- 1,366 ---------- APPAREL AND TEXTILES -- 0.3% 14,800 Jones Apparel Group, Inc.!!................................... 454 12,250 Liz Claiborne, Inc. .......................................... 306 30,650 Nike, Inc., Class B........................................... 1,324 6,850 Reebok International, Ltd.!!.................................. 172 12,575 V.F. Corporation.............................................. 452 ---------- 2,708 ---------- AUTOMOTIVE -- 1.1% 12,125 AutoZone, Inc.!!.............................................. 956 8,450 Cooper Tire & Rubber Company.................................. 136 17,075 Dana Corporation.............................................. 223 64,275 Delphi Automotive Systems Corporation......................... 550 8,100 Eaton Corporation............................................. 516 209,425 Ford Motor Company............................................ 2,052 64,375 General Motors Corporation.................................... 2,505 20,075 Genuine Parts Company......................................... 615 18,750 Goodyear Tire & Rubber Company................................ 167 10,200 Johnson Controls, Inc. ....................................... 784 6,950 Navistar International Corporation!!.......................... 151 6,700 Snap-On Inc. ................................................. 154 14,775 TRW Inc. ..................................................... 865 15,025 Visteon Corporation........................................... 142 ---------- 9,816 ---------- BEVERAGES -- 3.3% 4,150 Adolph Coors Company, Class B................................. 234 99,800 Anheuser-Busch Companies, Inc.(a)............................. 5,050 7,850 Brown-Forman Corporation, Class B............................. 526 285,200 Coca-Cola Company&&........................................... 13,678 51,500 Coca-Cola Enterprises Inc. ................................... 1,094 32,750 Pepsi Bottling Group, Inc. ................................... 766 203,600 PepsiCo, Inc. ................................................ 7,523 ---------- 28,871 ---------- BROADCASTING AND CABLE -- 2.6% 512,775 AOL Time Warner Inc.!!........................................ 5,999 70,375 Clear Channel Communications, Inc.!!.......................... 2,446 108,775 Comcast Corporation, Special Class A!!........................ 2,269
VALUE SHARES (000) ---------------------------------------------------------------------------------------- BROADCASTING AND CABLE -- (CONTINUED) 26,325 Univision Communications, Inc., Class A!!(a).................. $ 600 202,725 Viacom Inc., Class B!!........................................ 8,221 234,475 Walt Disney Company........................................... 3,550 ---------- 23,085 ---------- BUILDING MATERIALS -- 0.1% 8,250 American Standard Companies Inc.!!............................ 525 ---------- CHEMICALS -- 0.1% 30,027 Monsanto Company.............................................. 459 ---------- CHEMICALS -- BASIC -- 1.4% 26,100 Air Products and Chemicals, Inc. ............................. 1,096 12,625 Avery Dennison Corporation.................................... 719 114,125 E.I. duPont de Nemours and Company............................ 4,117 14,850 Ecolab, Inc.(a)............................................... 620 12,550 Hercules, Inc.!!.............................................. 116 19,450 PPG Industries, Inc. ......................................... 869 18,550 Praxair, Inc. ................................................ 948 25,400 Rohm & Haas Company........................................... 787 104,625 The Dow Chemical Company...................................... 2,858 ---------- 12,130 ---------- CHEMICALS -- SPECIALTY -- 0.2% 7,925 Ashland Inc. ................................................. 212 8,875 Eastman Chemical Company...................................... 339 14,775 Engelhard Corporation......................................... 352 5,775 Great Lakes Chemical Corporation(a)........................... 139 5,550 Millipore Corporation......................................... 176 14,100 Pall Corporation.............................................. 223 8,425 Sigma-Aldrich Corporation..................................... 415 ---------- 1,856 ---------- COMMERCIAL BANKING -- 9.8% 41,200 AmSouth Bancorporation........................................ 854 134,825 Banc One Corporation.......................................... 5,042 172,625 Bank of America Corporation>.................................. 11,013 83,450 Bank of New York Company, Inc. ............................... 2,398 55,550 BB&T Corporation.............................................. 1,946 27,090 Charter One Financial, Inc. .................................. 805 581,450 Citigroup Inc. ............................................... 17,239 20,075 Comerica Inc. ................................................ 968 66,675 Fifth Third Bancorp........................................... 4,083 14,525 First Tennessee National Corporation(a)....................... 504 120,375 FleetBoston Financial Corporation............................. 2,447 17,750 Golden West Financial Corporation............................. 1,104 27,650 Huntington Bancshares Inc. ................................... 503 229,075 J.P. Morgan Chase & Company................................... 4,350 49,000 KeyCorp....................................................... 1,224 24,150 Marshall and Ilsley Corporation............................... 674 50,000 Mellon Financial Corporation.................................. 1,297 70,200 National City Corporation..................................... 2,003 18,775 North Fork Bancorporation, Inc. .............................. 710 32,625 PNC Financial Services Group.................................. 1,376 25,400 Regions Financial Corporation................................. 830 39,850 SouthTrust Corporation........................................ 966 32,750 SunTrust Banks, Inc. ......................................... 2,013 22,975 Union Planters Corporation.................................... 631
SEE NOTES TO FINANCIAL STATEMENTS. 3 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) 219,950 US Bancorp!!.................................................. $ 4,087 157,550 Wachovia Corporation.......................................... 5,150 111,150 Washington Mutual, Inc. ...................................... 3,498 195,175 Wells Fargo & Company......................................... 9,400 10,525 Zions Bancorporation.......................................... 458 ---------- 87,573 ---------- COMMERCIAL SERVICES -- 1.1% 22,650 Allied Waste Industries, Inc.!!............................... 166 19,925 Apollo Group Inc., Class A!!.................................. 865 119,500 Cendant Corporation!!......................................... 1,286 19,525 Cintas Corporation............................................ 818 32,375 eBay Inc.!!(a)................................................ 1,711 22,100 Fiserv, Inc.!!................................................ 621 21,600 Omnicom Group Inc. ........................................... 1,203 13,500 Quintiles Transnational Corporation!!......................... 128 20,125 Robert Half International Inc.!!.............................. 319 16,650 Sabre Holdings Corporation!!.................................. 322 94,650 Solectron Corporation!!....................................... 200 12,825 TMP Worldwide Inc.!!.......................................... 115 70,275 Waste Management, Inc. ....................................... 1,639 ---------- 9,393 ---------- COMPUTER SERVICES -- 1.1% 71,250 Automatic Data Processing, Inc. .............................. 2,478 19,725 Computer Sciences Corporation!!............................... 548 58,950 Concord EFS, Inc.!!........................................... 936 19,900 Convergys Corporation!!....................................... 299 55,175 Electronic Data Systems Corporation........................... 771 16,525 Equifax Inc.(a)............................................... 359 86,975 First Data Corporation........................................ 2,431 43,175 Paychex, Inc. ................................................ 1,048 32,475 Sungard Data Systems, Inc.!!.................................. 632 ---------- 9,502 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 3.2% 41,225 Apple Computer, Inc.!!........................................ 598 298,075 Dell Computer Corporation!!................................... 7,007 253,175 EMC Corporation!!............................................. 1,157 37,225 Gateway, Inc.!!............................................... 111 350,576 Hewlett-Packard Company....................................... 4,091 32,600 IMS Health Inc. .............................................. 488 194,650 International Business Machines Corporation................... 11,365 22,700 Jabil Circuit, Inc.!!......................................... 336 14,500 Lexmark International, Inc.!!................................. 682 11,275 NCR Corporation!!............................................. 223 38,650 Network Appliance, Inc.!!(a).................................. 283 27,375 Pitney Bowes Inc. ............................................ 835 372,950 Sun Microsystems, Inc.!!...................................... 966 37,125 Unisys Corporation!!.......................................... 260 83,875 Xerox Corporation!!(a)........................................ 415 ---------- 28,817 ---------- CONGLOMERATES -- 0.6% 23,300 Dover Corporation............................................. 591 9,275 Fluor Corporation............................................. 227 15,875 Textron, Inc. ................................................ 541
VALUE SHARES (000) ---------------------------------------------------------------------------------------- CONGLOMERATES -- (CONTINUED) 229,225 Tyco International Ltd. ...................................... $ 3,233 11,650 Vulcan Materials Company...................................... 421 ---------- 5,013 ---------- CONSTRUCTION -- 0.0%+ 5,725 KB HOME....................................................... 280 ---------- CONSUMER CREDIT AND MORTGAGES -- 2.4% 152,675 American Express Company...................................... 4,760 14,425 Countrywide Credit Industries, Inc. .......................... 680 114,325 Fannie Mae.................................................... 6,807 79,925 Freddie Mac................................................... 4,468 52,250 Household International, Inc. ................................ 1,479 146,787 MBNA Corporation.............................................. 2,698 33,200 Providian Financial Corporation............................... 163 ---------- 21,055 ---------- CONSUMER SERVICES -- 0.1% 12,825 Harrah's Entertainment, Inc.!!................................ 618 ---------- DEPARTMENT AND DISCOUNT STORES -- 4.1% 52,250 Costco Wholesale Corporation!!................................ 1,691 9,700 Dillard's, Inc., Class A...................................... 196 38,300 Dollar General Corporation.................................... 514 23,150 Federated Department Stores, Inc.!!........................... 682 30,700 J.C. Penney Company, Inc. .................................... 489 38,675 Kohl's Corporation!!.......................................... 2,352 36,300 Sears, Roebuck and Company.................................... 1,416 104,225 Target Corporation............................................ 3,076 33,100 The May Department Stores Company............................. 754 511,025 Wal-Mart Stores, Inc. ........................................ 25,162 ---------- 36,332 ---------- DIVERSIFIED ELECTRONICS -- 0.2% 10,700 Cooper Industries, Ltd. ...................................... 325 33,525 Eastman Kodak Company(a)...................................... 913 42,725 LSI Logic Corporation!!....................................... 271 26,350 Symbol Technologies, Inc.(a).................................. 202 ---------- 1,711 ---------- DIVERSIFIED MANUFACTURING -- 4.6% 44,800 3M Company.................................................... 4,926 9,275 Allegheny Technologies Inc. .................................. 64 9,250 Black & Decker Corporation.................................... 388 6,875 Crane Company................................................. 136 17,375 Danaher Corporation........................................... 988 1,143,075 General Electric Company...................................... 28,176 121,525 Gillette Company.............................................. 3,597 94,125 Honeywell International Inc. ................................. 2,039 10,525 ITT Industries, Inc. ......................................... 656 60,275 Sanmina Corporation!!......................................... 167 10,700 W.W. Grainger, Inc. .......................................... 455 ---------- 41,592 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.3% 62,350 AES Corporation!!(a).......................................... 156 14,450 Allegheny Energy, Inc.(a)..................................... 189 43,275 Calpine Corporation!!(a)...................................... 107
SEE NOTES TO FINANCIAL STATEMENTS. 4 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- ELECTRIC POWER -- NON NUCLEAR -- (CONTINUED) 19,250 Cinergy Corporation........................................... $ 605 16,525 CMS Energy Corporation........................................ 133 24,500 Consolidated Edison, Inc.(a).................................. 985 18,875 Constellation Energy Group, Inc.(a)........................... 468 42,425 Dynegy Inc., Class A(a)....................................... 49 37,425 Edison International!!........................................ 374 25,750 Entergy Corporation........................................... 1,071 46,175 Mirant Corporation!!(a)....................................... 102 23,850 NiSource Inc. ................................................ 411 45,175 PG & E Corporation!!(a)....................................... 509 9,750 Pinnacle West Capital Corporation............................. 271 9,175 Power-One, Inc.!!............................................. 27 18,600 PPL Corporation............................................... 605 23,750 Public Service Enterprise Group Inc.(a)....................... 724 81,425 Southern Company(a)........................................... 2,344 17,925 TECO Energy, Inc.(a).......................................... 285 31,975 TXU Corporation(a)............................................ 1,335 45,725 Xcel Energy, Inc.(a).......................................... 426 ---------- 11,176 ---------- ELECTRIC POWER -- NUCLEAR -- 1.2% 16,650 Ameren Corporation............................................ 693 38,925 American Electric Power Company, Inc.(a)...................... 1,110 31,950 Dominion Resources, Inc. ..................................... 1,621 19,250 DTE Energy Company............................................ 783 101,975 Duke Energy Corporation@...................................... 1,993 37,000 Exelon Corporation............................................ 1,758 34,200 FirstEnergy Corporation....................................... 1,022 20,925 FPL Group, Inc. .............................................. 1,126 34,925 Reliant Energy, Inc. ......................................... 350 ---------- 10,456 ---------- ELECTRICAL EQUIPMENT -- 0.3% 48,375 Emerson Electric Company...................................... 2,126 22,225 Molex Inc. ................................................... 523 6,700 Thomas & Betts Corporation!!.................................. 94 ---------- 2,743 ---------- ENERGY -- MISCELLANEOUS -- 0.1% 25,425 Progress Energy, Inc. ........................................ 1,039 20 Progress Energy, Inc., CVO@(b)................................ 9 ---------- 1,048 ---------- EXPLORATION AND PRODUCTION -- 0.3% 28,550 Anadarko Petroleum Corporation................................ 1,272 17,975 Devon Energy Corporation...................................... 867 13,350 EOG Resources, Inc. .......................................... 480 ---------- 2,619 ---------- FINANCE -- MISCELLANEOUS -- 0.6% 25,450 Capital One Financial Corporation(a).......................... 889 20,750 H & R Block, Inc.(a).......................................... 872 11,800 MGIC Investment Corporation................................... 482 17,850 Moody's Corporation........................................... 866 17,775 SLM Corporation(a)............................................ 1,655 34,050 Synovus Financial Corporation................................. 702 ---------- 5,466 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- FOOD AND DRUG STORES -- 1.0% 46,775 Albertson's, Inc. ............................................ $ 1,130 45,100 CVS Corporation............................................... 1,143 53,600 Safeway Inc.!!................................................ 1,195 15,375 SUPERVALU Inc. ............................................... 248 90,625 The Kroger Company!!.......................................... 1,278 117,700 Walgreen Company.............................................. 3,621 16,150 Winn-Dixie Stores, Inc. ...................................... 212 ---------- 8,827 ---------- FOOD PRODUCTS -- 1.6% 74,850 Archer-Daniels-Midland Company................................ 936 47,125 Campbell Soup Company......................................... 1,041 61,700 ConAgra Foods, Inc. .......................................... 1,533 42,250 General Mills, Inc. .......................................... 1,877 40,325 H.J. Heinz Company............................................ 1,346 15,700 Hershey Foods Corporation..................................... 974 47,125 Kellogg Company............................................... 1,567 90,125 Sara Lee Corporation.......................................... 1,648 76,200 SYSCO Corporation............................................. 2,163 25,900 Wm. Wrigley Jr. Company....................................... 1,282 ---------- 14,367 ---------- HEALTH SERVICES -- 1.5% 16,200 Anthem, Inc.!!................................................ 1,053 59,550 HCA Inc.(a)................................................... 2,835 27,375 Health Management Associates, Inc., Class A!!................. 554 45,550 HEALTHSOUTH Corporation!!..................................... 189 19,475 Humana Inc.!!................................................. 241 11,300 Manor Care, Inc.!!............................................ 254 33,325 McKesson HBOC, Inc. .......................................... 944 56,162 Tenet Healthcare Corporation!!................................ 2,780 34,850 UnitedHealth Group Inc.!!..................................... 3,040 16,725 Wellpoint Health Networks Inc.!!(a)........................... 1,226 ---------- 13,116 ---------- HEAVY MACHINERY -- 0.8% 39,550 Caterpillar Inc. ............................................. 1,472 4,750 Cummins Engine Company, Inc.(a)............................... 112 27,400 Deere & Company............................................... 1,245 35,200 Illinois Tool Works Inc.(a)................................... 2,054 19,425 Ingersoll-Rand Company........................................ 669 7,275 McDermott International, Inc.!!............................... 45 13,325 PACCAR, Inc. ................................................. 450 13,550 Parker-Hannifin Corporation................................... 518 19,125 Thermo Electron Corporation!!................................. 308 ---------- 6,873 ---------- HOUSEHOLD PRODUCTS -- 2.7% 6,675 Alberto-Culver Company, Class B............................... 327 7,550 American Greetings Corporation, Class A(a).................... 122 27,100 Avon Products, Inc. .......................................... 1,249 62,325 Colgate-Palmolive Company..................................... 3,362 17,250 Fortune Brands, Inc. ......................................... 816 10,875 International Flavors & Fragrances, Inc. ..................... 346 59,375 Kimberly-Clark Corporation.................................... 3,363
SEE NOTES TO FINANCIAL STATEMENTS. 5 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- (CONTINUED) 149,300 Procter & Gamble Company...................................... $ 13,345 26,475 The Clorox Company............................................ 1,064 6,700 Tupperware Corporation........................................ 111 ---------- 24,105 ---------- HOUSING AND FURNISHING -- 0.5% 7,075 Centex Corporation(a)......................................... 314 22,500 Leggett & Platt, Inc. ........................................ 445 57,000 Masco Corporation............................................. 1,115 8,950 Maytag Corporation............................................ 207 30,700 Newell Rubbermaid Inc.(a)..................................... 948 7,025 Pulte Corporation............................................. 299 9,850 Stanley Works................................................. 322 7,825 Whirlpool Corporation......................................... 359 ---------- 4,009 ---------- INSURANCE -- 5.0% 30,150 Ace Ltd. ..................................................... 893 17,275 Aetna Inc. ................................................... 619 59,425 AFLAC, Inc. .................................................. 1,824 81,075 Allstate Corporation.......................................... 2,881 12,175 Ambac Financial Group, Inc. .................................. 656 299,950 American International Group, Inc. ........................... 16,406 31,325 Aon Corporation(a)............................................ 642 19,725 Chubb Corporation(a).......................................... 1,082 16,100 CIGNA Corporation............................................. 1,139 18,600 Cincinnati Financial Corporation.............................. 662 28,450 Hartford Financial Services Group, Inc. ...................... 1,166 16,975 Jefferson-Pilot Corporation................................... 681 33,350 John Hancock Financial Services, Inc. ........................ 927 21,150 Lincoln National Corporation.................................. 646 21,375 Loews Corporation............................................. 917 61,550 Marsh & McLennan Companies, Inc. ............................. 2,563 16,900 MBIA, Inc. ................................................... 675 80,650 MetLife, Inc.(a).............................................. 1,836 39,850 Principal Financial Group, Inc.!!............................. 1,043 25,025 Progressive Corporation....................................... 1,267 66,650 Prudential Financial, Inc.!!.................................. 1,904 14,675 SAFECO Corporation............................................ 466 26,000 The St. Paul Companies, Inc. ................................. 747 13,700 Torchmark Corporation......................................... 469 114,887 Travelers Property Casualty Corporation, Class B!!............ 1,554 27,725 UnumProvident Corporation..................................... 564 15,600 XL Capital Ltd., Class A(a)................................... 1,147 ---------- 45,376 ---------- INTEGRATED OIL -- 4.4% 10,250 Amerada Hess Corporation...................................... 696 16,525 Apache Corporation............................................ 982 23,125 Burlington Resources Inc. .................................... 887 122,700 ChevronTexaco Corporation..................................... 8,497 776,350 Exxon Mobil Corporation....................................... 24,765 11,525 Kerr-McGee Corporation........................................ 501 35,600 Marathon Oil Corporation...................................... 807
VALUE SHARES (000) ---------------------------------------------------------------------------------------- INTEGRATED OIL -- (CONTINUED) 43,250 Occidental Petroleum Corporation.............................. $ 1,227 8,775 Sunoco, Inc. ................................................. 265 28,100 Unocal Corporation............................................ 882 ---------- 39,509 ---------- INVESTMENT SERVICES -- 2.1% 11,325 Bear Stearns Companies Inc. .................................. 639 156,800 Charles Schwab Corporation.................................... 1,364 29,850 Franklin Resources, Inc. ..................................... 928 55,325 Goldman Sachs Group, Inc.(a).................................. 3,654 27,975 Lehman Brothers Holdings Inc. ................................ 1,372 99,425 Merrill Lynch & Company, Inc. ................................ 3,276 125,900 Morgan Stanley Dean Witter & Company.......................... 4,266 25,475 Northern Trust Corporation.................................... 961 37,225 State Street Corporation!!.................................... 1,438 25,550 Stilwell Financial, Inc. ..................................... 308 14,075 T Rowe Price Group Inc. ...................................... 351 ---------- 18,557 ---------- LODGING AND RECREATION -- 0.8% 10,350 Brunswick Corporation......................................... 218 67,400 Carnival Corporation(a)....................................... 1,691 34,725 Harley-Davidson, Inc. ........................................ 1,613 19,900 Hasbro, Inc. ................................................. 221 43,200 Hilton Hotels Corporation..................................... 492 9,950 International Game Technology!!............................... 688 27,775 Marriott International, Inc., Class A......................... 805 50,175 Mattel, Inc. ................................................. 904 22,900 Starwood Hotels & Resorts Worldwide, Inc. .................... 511 ---------- 7,143 ---------- MEDICAL DEVICES AND SUPPLIES -- 5.0% 179,475 Abbott Laboratories........................................... 7,250 24,400 Applera Corporation -- Applied Biosystems Group............... 447 6,200 Bausch & Lomb Inc.(a)......................................... 206 69,275 Baxter International Inc. .................................... 2,116 29,500 Becton Dickinson & Company.................................... 838 30,250 Biomet, Inc. ................................................. 806 46,750 Boston Scientific Corporation!!............................... 1,475 5,925 C.R. Bard, Inc. .............................................. 324 51,900 Cardinal Health, Inc. ........................................ 3,227 35,125 Guidant Corporation!!......................................... 1,135 341,825 Johnson & Johnson&&........................................... 18,485 139,400 Medtronic, Inc. .............................................. 5,871 20,325 St. Jude Medical, Inc.!!...................................... 726 22,700 Stryker Corporation!!......................................... 1,308 15,075 Waters Corporation!!.......................................... 366 22,375 Zimmer Holdings, Inc.!!....................................... 858 ---------- 45,438 ---------- METALS AND MINING -- 0.4% 97,000 Alcoa Inc. ................................................... 1,872 16,650 Freeport-McMoran Copper & Gold, Inc., Class B!!(a)............ 224
SEE NOTES TO FINANCIAL STATEMENTS. 6 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- METALS AND MINING -- (CONTINUED) 46,125 Newmont Mining Corporation(a)................................. $ 1,269 10,225 Phelps Dodge Corporation!!.................................... 262 9,825 Worthington Industries, Inc. ................................. 184 ---------- 3,811 ---------- NATURAL GAS DISTRIBUTION -- 0.2% 67,200 El Paso Corporation........................................... 557 16,250 KeySpan Corporation(a)........................................ 544 5,050 NICOR Inc. ................................................... 142 4,075 Peoples Energy Corporation.................................... 137 23,525 Sempra Energy................................................. 462 59,350 Williams Companies, Inc. ..................................... 134 ---------- 1,976 ---------- NATURAL GAS PIPELINES -- 0.1% 14,000 Kinder Morgan, Inc. .......................................... 496 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.5% 91,500 ADC Telecommunications, Inc.!!................................ 105 22,525 American Power Conversion Corporation!!....................... 215 11,275 Andrew Corporation!!(a)....................................... 74 41,575 Avaya Inc.!!(a)............................................... 59 49,600 CIENA Corporation!!........................................... 147 840,600 Cisco Systems, Inc.!!&&....................................... 8,810 21,500 Comverse Technology, Inc.!!................................... 150 109,350 Corning Inc.!!(a)............................................. 175 156,425 JDS Uniphase Corporation!!(a)................................. 305 394,375 Lucent Technologies Inc.!!(a)................................. 300 89,275 QUALCOMM Inc.!!............................................... 2,467 18,000 Scientific-Atlanta, Inc.(a)................................... 225 47,275 Tellabs, Inc.!!............................................... 192 ---------- 13,224 ---------- OIL REFINING AND MARKETING -- 0.5% 77,727 ConocoPhillips................................................ 3,595 14,950 Noble Corporation!!........................................... 463 ---------- 4,058 ---------- OILFIELD SERVICES -- 0.7% 38,775 Baker Hughes Inc. ............................................ 1,126 18,000 BJ Services Company!!......................................... 468 50,125 Halliburton Company........................................... 647 16,600 Nabors Industries, Ltd.!!..................................... 544 10,775 Rowan Companies, Inc. ........................................ 201 66,350 Schlumberger Ltd. ............................................ 2,551 36,675 Transocean Sedco Forex Inc. .................................. 763 ---------- 6,300 ---------- PACKAGING AND CONTAINERS -- 0.1% 6,525 Ball Corporation.............................................. 329 6,075 Bemis Company, Inc. .......................................... 300 18,200 Pactiv Corporation!!.......................................... 299 9,650 Sealed Air Corporation!!(a)................................... 163 ---------- 1,091 ---------- PAPER AND FOREST PRODUCTS -- 0.5% 6,700 Boise Cascade Corporation(a).................................. 153 26,450 Georgia-Pacific Corporation................................... 346 55,350 International Paper Company................................... 1,848
VALUE SHARES (000) ---------------------------------------------------------------------------------------- PAPER AND FOREST PRODUCTS -- (CONTINUED) 12,025 Louisiana-Pacific Corporation!!............................... $ 78 22,975 Meadwestvaco Corporation...................................... 441 21,225 Plum Creek Timber Company, Inc. .............................. 480 6,150 Temple-Inland Inc. ........................................... 238 25,150 Weyerhaeuser Company.......................................... 1,101 ---------- 4,685 ---------- PHARMACEUTICALS -- 8.0% 14,850 Allergan, Inc. ............................................... 808 12,175 AmerisourceBergen Corporation................................. 870 146,842 Amgen Inc.!!.................................................. 6,123 17,075 Biogen, Inc. ................................................. 500 222,550 Bristol-Myers Squibb Company.................................. 5,297 21,700 Chiron Corporation!!.......................................... 758 129,075 Eli Lilly and Company......................................... 7,142 20,650 Forest Laboratories, Inc.!!(a)................................ 1,694 24,625 Genzyme Corporation!!......................................... 508 28,000 King Pharmaceuticals, Inc.!!.................................. 509 28,800 MedImmune, Inc.!!............................................. 602 258,450 Merck & Company, Inc.&&....................................... 11,813 711,125 Pfizer Inc. .................................................. 20,636 148,225 Pharmacia Corporation......................................... 5,763 168,475 Schering-Plough Corporation................................... 3,592 12,275 Watson Pharmaceuticals, Inc.!!................................ 301 152,250 Wyeth......................................................... 4,842 ---------- 71,758 ---------- PUBLISHING AND ADVERTISING -- 0.9% 7,175 Deluxe Corporation............................................ 323 9,650 Dow Jones & Company, Inc.(a).................................. 371 30,650 Gannett Company, Inc. ........................................ 2,213 44,075 Interpublic Group of Companies, Inc. ......................... 699 9,575 Knight-Ridder, Inc. .......................................... 540 22,300 McGraw-Hill Companies, Inc. .................................. 1,365 5,700 Meredith Corporation.......................................... 245 17,425 New York Times Company, Class A............................... 792 13,025 R.R. Donnelley & Sons Company................................. 306 34,700 Tribune Company............................................... 1,451 ---------- 8,305 ---------- RAILROADS, TRUCKING AND SHIPPING -- 1.6% 43,725 Burlington Northern Santa Fe Corporation...................... 1,046 24,450 CSX Corporation............................................... 645 34,200 FedEx Corporation............................................. 1,712 44,625 Norfolk Southern Corporation.................................. 901 7,150 Ryder System, Inc. ........................................... 178 29,050 Union Pacific Corporation..................................... 1,681 128,250 United Parcel Service, Inc., Class B.......................... 8,020 ---------- 14,183 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.3% 48,100 Equity Office Properties Trust................................ 1,242 31,650 Equity Residential Properties Trust........................... 758 21,325 Simon Property Group, Inc. ................................... 762 ---------- 2,762 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 7 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- RESTAURANTS -- 0.6% 19,675 Darden Restaurants, Inc. ..................................... $ 477 146,525 McDonald's Corporation........................................ 2,588 44,625 Starbucks Corporation!!(a).................................... 921 13,300 Wendy's International, Inc. .................................. 440 34,125 Yum! Brands, Inc.!!........................................... 946 ---------- 5,372 ---------- RETAIL -- SPECIALTY -- 0.0%+ 17,300 Sherwin-Williams Company...................................... 410 ---------- SEMICONDUCTORS -- 2.7% 39,325 Advanced Micro Devices, Inc.!!................................ 210 53,325 Agilent Technologies, Inc.!!.................................. 696 43,875 Altera Corporation!!.......................................... 380 42,025 Analog Devices, Inc.!!........................................ 828 189,000 Applied Materials, Inc.!!(a).................................. 2,183 34,600 Applied Micro Circuits Corporation!!.......................... 99 31,475 Broadcom Corporation, Class A!!(a)............................ 336 765,725 Intel Corporation............................................. 10,637 21,725 KLA-Tencor Corporation!!(a)................................... 607 36,475 Linear Technology Corporation................................. 756 37,100 Maxim Integrated Products, Inc.!!............................. 919 69,350 Micron Technology, Inc.!!(a).................................. 858 20,775 National Semiconductor Corporation!!.......................... 248 16,675 Novellus Systems, Inc.!!...................................... 347 17,575 NVIDIA Corporation!!.......................................... 150 14,350 PerkinElmer, Inc. ............................................ 78 19,225 PMC -- Sierra, Inc.!!......................................... 75 10,725 QLogic Corporation!!(a)....................................... 279 10,250 Tektronix, Inc.!!............................................. 168 21,025 Teradyne, Inc.!!(a)........................................... 202 199,175 Texas Instruments Inc. ....................................... 2,942 38,775 Xilinx, Inc.!!................................................ 614 ---------- 23,612 ---------- SOFTWARE -- 4.4% 27,575 Adobe Systems Inc. ........................................... 527 13,175 Autodesk, Inc. ............................................... 167 27,700 BMC Software, Inc.!!.......................................... 362 20,100 Citrix Systems, Inc.!!........................................ 121 66,375 Computer Associates International, Inc.(a).................... 637 43,175 Compuware Corporation!!....................................... 132 16,000 Electronic Arts Inc.!!(a)..................................... 1,055 24,300 Intuit Inc.!!................................................. 1,106 9,650 Mercury Interactive Corporation!!............................. 166 622,175 Microsoft Corporation!!....................................... 27,213 41,850 Novell, Inc.!!................................................ 88 624,200 Oracle Corporation!!(a)....................................... 4,906 30,000 Parametric Technology Corporation!!........................... 54 35,875 PeopleSoft, Inc.!!............................................ 444 22,200 Rational Software Corporation!!............................... 96 54,900 Siebel Systems, Inc.!!........................................ 316 47,150 VERITAS Software Corporation!!(a)............................. 692 69,000 Yahoo! Inc.!!(a).............................................. 660 ---------- 38,742 ---------- SPECIALTY STORES -- 2.2% 33,550 Bed Bath & Beyond Inc.!!...................................... 1,093 36,925 Best Buy Company, Inc.!!...................................... 824
VALUE SHARES (000) ---------------------------------------------------------------------------------------- SPECIALTY STORES -- (CONTINUED) 13,325 Big Lots Inc.!!............................................... $ 211 24,125 Circuit City Stores -- Circuit City Group..................... 365 19,900 Family Dollar Stores, Inc. ................................... 535 99,925 Gap, Inc. .................................................... 1,084 270,700 Home Depot, Inc. ............................................. 7,066 59,875 Limited, Inc. ................................................ 859 89,400 Lowe's Companies, Inc. ....................................... 3,701 15,525 Nordstrom, Inc. .............................................. 279 35,525 Office Depot, Inc.!!.......................................... 438 19,700 RadioShack Corporation........................................ 395 53,725 Staples, Inc.!!............................................... 687 16,750 Tiffany & Company............................................. 359 62,000 TJX Companies, Inc. .......................................... 1,054 24,400 Toys R Us, Inc.!!(a).......................................... 248 ---------- 19,198 ---------- STEEL -- 0.1% 8,975 Nucor Corporation............................................. 340 11,700 United States Steel Corporation............................... 136 ---------- 476 ---------- TELECOMMUNICATIONS SERVICES -- 3.8% 35,725 ALLTEL Corporation............................................ 1,434 441,750 AT&T Corporation.............................................. 5,305 311,075 AT&T Wireless Services Inc.!!(a).............................. 1,282 215,050 BellSouth Corporation&&....................................... 3,948 16,300 CenturyTel, Inc. ............................................. 366 32,425 Citizens Communications Company!!............................. 220 264,125 Motorola, Inc. ............................................... 2,689 104,625 Nextel Communications, Inc., Class A!!(a)..................... 790 192,650 Qwest Communications International Inc.!!(a).................. 439 382,025 SBC Communications Inc.&&..................................... 7,679 102,575 Sprint Corporation (FON Group)................................ 935 114,550 Sprint Corporation (PCS Group)!!(a)........................... 225 313,475 Verizon Communications Inc. .................................. 8,601 ---------- 33,913 ---------- TOBACCO -- 1.2% 242,850 Philip Morris Companies Inc. ................................. 9,423 10,300 R.J. Reynolds Tobacco Holdings, Inc. ......................... 415 19,450 UST Inc. ..................................................... 549 ---------- 10,387 ---------- TOTAL COMMON STOCKS (Cost $1,056,737)........................................... 863,905 ---------- SHARES (000) --------- INVESTMENT COMPANIES -- 8.4% (Cost $74,839) 74,839 Nations Cash Reserves, Capital Class Shares#.................. 74,839 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 8 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE (000) ---------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $1,131,576*)................................ 105.7% $ 938,744 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. (5.7)% Cash.......................................................... $ 1 Receivable for Fund shares sold............................... 2,667 Dividends receivable.......................................... 1,282 Interest receivable........................................... 1 Variation margin/due to broker................................ (286) Collateral on securities loaned............................... (53,169) Payable for Fund shares redeemed.............................. (133) Investment advisory fee payable............................... (29) Administration fee payable.................................... (180) Shareholder servicing and distribution fees payable........... (5) Payable for investment securities purchased................... (119) Accrued Trustees' fees and expenses........................... (72) Accrued expenses and other liabilities........................ (400) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (50,442) ---------- NET ASSETS.......................................... 100.0% $ 888,302 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 4,380 Accumulated net realized loss on investments sold and futures contracts................................................... (205,025) Net unrealized depreciation of investments and futures contracts................................................... (194,833) Paid-in capital............................................... 1,283,780 ---------- NET ASSETS.................................................... $ 888,302 ==========
VALUE ---------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($866,774,894 / 55,036,362 shares outstanding).............. $15.75 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($21,526,904 / 1,375,008 shares outstanding)................ $15.66 ==========
--------------- *Federal income tax information (see Note 12). @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. && All or a portion of security segregated as collateral for futures contracts. +Amount represents less than 0.1%. >Affiliated security. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 11). The portion that represents cash collateral is $53,169. (a) All or a portion of security was on loan on September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $115,107 and $49,631, respectively. (b) Fair valued security. SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- COMMON STOCKS -- 94.0% AEROSPACE AND DEFENSE -- 2.1% 34,500 Boeing Company................................................ $ 1,177 24,700 Raytheon Company.............................................. 724 20,200 Rockwell International Corporation............................ 329 17,900 United Technologies Corporation............................... 1,011 --------- 3,241 --------- APPAREL AND TEXTILES -- 1.2% 14,300 Jones Apparel Group, Inc.!!................................... 439 28,400 Liz Claiborne, Inc. .......................................... 709 20,800 V.F. Corporation.............................................. 748 --------- 1,896 --------- AUTOMOTIVE -- 0.7% 10,400 General Motors Corporation.................................... 405 29,700 Goodyear Tire & Rubber Company................................ 264 20,000 Pennzoil-Quaker State Company(a).............................. 439 --------- 1,108 --------- BEVERAGES -- 4.3% 16,800 Anheuser-Busch Companies, Inc. ............................... 850 61,900 Coca-Cola Company............................................. 2,968 34,300 Pepsi Bottling Group, Inc. ................................... 803 52,800 PepsiCo, Inc. ................................................ 1,951 --------- 6,572 --------- BROADCASTING AND CABLE -- 1.3% 24,000 AOL Time Warner Inc.!!........................................ 281 27,200 Viacom Inc., Class B!!........................................ 1,103 44,800 Walt Disney Company........................................... 678 --------- 2,062 --------- CHEMICALS -- BASIC -- 0.3% 10,700 PPG Industries, Inc. ......................................... 478 --------- COMMERCIAL BANKING -- 11.4% 41,900 Banc One Corporation.......................................... 1,567 34,200 Bank of New York Company, Inc. ............................... 983 117,000 Citigroup Inc.&&.............................................. 3,468 17,000 Comerica Inc. ................................................ 820 6,100 Fifth Third Bancorp........................................... 374 19,700 FleetBoston Financial Corporation............................. 401 69,100 J.P. Morgan Chase & Company................................... 1,312 12,400 National City Corporation..................................... 354 23,600 North Fork Bancorporation, Inc. .............................. 893 1,800 Regions Financial Corporation................................. 59 23,000 SouthTrust Corporation........................................ 558 900 Union Planters Corporation.................................... 25 73,500 US Bancorp!!.................................................. 1,366 48,400 Wachovia Corporation.......................................... 1,582 41,200 Washington Mutual, Inc. ...................................... 1,297 47,900 Wells Fargo & Company......................................... 2,306 --------- 17,365 --------- COMMERCIAL SERVICES -- 1.1% 14,500 Apollo Group Inc., Class A!!.................................. 630 26,800 Fiserv, Inc.!!................................................ 753 14,900 Robert Half International Inc.!!.............................. 236 5,800 Sabre Holdings Corporation!!.................................. 112 --------- 1,731 ---------
VALUE SHARES (000) -------------------------------------------------------------------------------------- COMPUTER SERVICES -- 0.5% 9,300 Computer Sciences Corporation!!............................... $ 258 6,200 Concord EFS, Inc.!!........................................... 98 200 Electronic Data Systems Corporation........................... 3 22,000 Sungard Data Systems, Inc.!!.................................. 429 --------- 788 --------- COMPUTERS AND OFFICE EQUIPMENT -- 2.1% 43,000 Dell Computer Corporation!!................................... 1,011 7,500 EMC Corporation!!............................................. 34 57,600 Hewlett-Packard Company....................................... 672 21,400 IMS Health Inc. .............................................. 320 20,800 International Business Machines Corporation................... 1,215 --------- 3,252 --------- CONGLOMERATES -- 0.2% 1,900 Fluor Corporation............................................. 46 18,700 Tyco International Ltd. ...................................... 264 --------- 310 --------- CONSTRUCTION -- 0.1% 1,900 KB HOME....................................................... 93 --------- CONSUMER CREDIT AND MORTGAGES -- 1.3% 48,100 American Express Company...................................... 1,499 9,300 Fannie Mae.................................................... 554 --------- 2,053 --------- DEPARTMENT AND DISCOUNT STORES -- 2.4% 6,400 Federated Department Stores, Inc.!!........................... 188 1,700 The May Department Stores Company............................. 39 69,800 Wal-Mart Stores, Inc.&&....................................... 3,437 --------- 3,664 --------- DIVERSIFIED MANUFACTURING -- 5.2% 13,500 3M Company.................................................... 1,486 158,800 General Electric Company...................................... 3,915 29,400 Gillette Company.............................................. 870 47,200 Honeywell International Inc. ................................. 1,022 17,700 W.W. Grainger, Inc. .......................................... 753 --------- 8,046 --------- ELECTRIC POWER -- NON NUCLEAR -- 0.2% 13,000 Allegheny Energy, Inc. ....................................... 170 15,500 PG & E Corporation!!(a)....................................... 175 --------- 345 --------- ELECTRIC POWER -- NUCLEAR -- 1.4% 19,200 American Electric Power Company, Inc. ........................ 547 1,000 Dominion Resources, Inc. ..................................... 51 11,700 Exelon Corporation............................................ 556 17,300 FPL Group, Inc. .............................................. 931 --------- 2,085 --------- ELECTRICAL EQUIPMENT -- 1.1% 21,300 Emerson Electric Company...................................... 936 33,900 Molex Inc. ................................................... 797 --------- 1,733 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- ENERGY -- MISCELLANEOUS -- 0.6% 22,400 Progress Energy, Inc. ........................................ $ 915 --------- FINANCE -- MISCELLANEOUS -- 0.8% 8,400 H & R Block, Inc. ............................................ 353 19,600 MGIC Investment Corporation................................... 800 --------- 1,153 --------- FOOD AND DRUG STORES -- 1.2% 23,200 Safeway Inc.!!................................................ 517 5,600 The Kroger Company!!.......................................... 79 41,600 Walgreen Company.............................................. 1,280 --------- 1,876 --------- FOOD PRODUCTS -- 1.8% 39,600 ConAgra Foods, Inc. .......................................... 984 14,000 Hershey Foods Corporation..................................... 869 19,200 Wm. Wrigley Jr. Company....................................... 950 --------- 2,803 --------- HEALTH SERVICES -- 0.5% 15,400 Tenet Healthcare Corporation!!................................ 762 --------- HEAVY MACHINERY -- 0.7% 18,000 Illinois Tool Works Inc.(a)................................... 1,050 --------- HOUSEHOLD PRODUCTS -- 2.4% 6,700 Avon Products, Inc. .......................................... 309 4,900 Colgate-Palmolive Company..................................... 264 4,700 Fortune Brands, Inc. ......................................... 222 32,400 Procter & Gamble Company&&.................................... 2,896 --------- 3,691 --------- INSURANCE -- 5.2% 24,500 AFLAC, Inc. .................................................. 752 8,100 Allstate Corporation.......................................... 288 49,100 American International Group, Inc.&&.......................... 2,686 2,000 Cincinnati Financial Corporation.............................. 71 20,300 Hartford Financial Services Group, Inc. ...................... 832 5,500 Marsh & McLennan Companies, Inc. ............................. 229 41,500 MetLife, Inc.(a).............................................. 945 33,800 Principal Financial Group, Inc.!!............................. 885 37,100 Prudential Financial, Inc.!!.................................. 1,060 19,100 Travelers Property Casualty Corporation, Class B!!............ 258 1,400 UnumProvident Corporation..................................... 28 --------- 8,034 --------- INTEGRATED OIL -- 4.1% 12,700 Amerada Hess Corporation...................................... 862 9,600 ChevronTexaco Corporation..................................... 665 147,200 Exxon Mobil Corporation&&..................................... 4,696 --------- 6,223 --------- INVESTMENT SERVICES -- 2.3% 19,800 Goldman Sachs Group, Inc.(a).................................. 1,307 14,800 Lehman Brothers Holdings Inc. ................................ 726 42,200 Morgan Stanley Dean Witter & Company.......................... 1,430 --------- 3,463 ---------
VALUE SHARES (000) -------------------------------------------------------------------------------------- LODGING AND RECREATION -- 1.2% 21,200 Harley-Davidson, Inc. ........................................ $ 984 46,900 Mattel, Inc. ................................................. 845 --------- 1,829 --------- MEDICAL DEVICES AND SUPPLIES -- 4.2% 11,000 Abbott Laboratories........................................... 444 38,900 Baxter International Inc. .................................... 1,188 18,700 Boston Scientific Corporation!!............................... 590 3,000 C.R. Bard, Inc. .............................................. 164 70,500 Johnson & Johnson&&........................................... 3,813 5,100 Medtronic, Inc. .............................................. 215 500 St. Jude Medical, Inc.!!...................................... 18 --------- 6,432 --------- METALS AND MINING -- 0.6% 45,400 Alcoa Inc. ................................................... 876 --------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.6% 83,300 Cisco Systems, Inc.!!......................................... 873 2,500 Scientific-Atlanta, Inc.(a)................................... 31 --------- 904 --------- OILFIELD SERVICES -- 0.6% 30,900 BJ Services Company!!......................................... 803 6,000 Transocean Sedco Forex Inc. .................................. 125 --------- 928 --------- PAPER AND FOREST PRODUCTS -- 0.5% 24,500 International Paper Company................................... 818 --------- PHARMACEUTICALS -- 7.1% 25,900 Amgen Inc.!!.................................................. 1,080 7,900 Eli Lilly and Company......................................... 437 51,600 Merck & Company, Inc. ........................................ 2,359 129,319 Pfizer Inc.&&................................................. 3,753 51,872 Pharmacia Corporation......................................... 2,017 41,600 Schering-Plough Corporation................................... 887 5,500 Wyeth......................................................... 175 --------- 10,708 --------- PUBLISHING AND ADVERTISING -- 0.5% 17,400 Deluxe Corporation............................................ 784 --------- RAILROADS, TRUCKING AND SHIPPING -- 2.0% 20,900 FedEx Corporation............................................. 1,046 32,300 United Parcel Service, Inc., Class B.......................... 2,020 --------- 3,066 --------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.6% 25,400 Equity Office Properties Trust................................ 656 12,100 Equity Residential Properties Trust........................... 290 --------- 946 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- RESTAURANTS -- 1.6% 64,800 McDonald's Corporation........................................ $ 1,145 20,200 Starbucks Corporation!!(a).................................... 417 24,900 Wendy's International, Inc. .................................. 824 --------- 2,386 --------- SEMICONDUCTORS -- 4.5% 38,200 Applied Materials, Inc.!!..................................... 441 56,000 Broadcom Corporation, Class A!!............................... 598 172,600 Intel Corporation............................................. 2,397 29,400 KLA-Tencor Corporation!!...................................... 821 6,300 Linear Technology Corporation................................. 131 53,800 Micron Technology, Inc.!!..................................... 666 41,200 National Semiconductor Corporation!!.......................... 492 2,400 PerkinElmer, Inc. ............................................ 13 23,600 QLogic Corporation!!.......................................... 615 50,900 Texas Instruments Inc. ....................................... 752 --------- 6,926 --------- SOFTWARE -- 3.7% 6,100 Adobe Systems Inc. ........................................... 117 13,700 Autodesk, Inc. ............................................... 174 86,100 Microsoft Corporation!!&&..................................... 3,765 158,800 Oracle Corporation!!.......................................... 1,248 76,700 Siebel Systems, Inc.!!........................................ 441 --------- 5,745 --------- SPECIALTY STORES -- 3.3% 12,600 Big Lots Inc.!!............................................... 199 66,800 Home Depot, Inc. ............................................. 1,744 55,500 Limited, Inc. ................................................ 796 300 Lowe's Companies, Inc. ....................................... 12 38,300 RadioShack Corporation........................................ 768 61,900 Staples, Inc.!!............................................... 792 19,700 Tiffany & Company............................................. 422 20,300 TJX Companies, Inc. .......................................... 345 --------- 5,078 --------- TELECOMMUNICATIONS SERVICES -- 4.7% 17,000 AT&T Canada Inc.!!............................................ 545 172,300 AT&T Corporation&&............................................ 2,070 65,600 BellSouth Corporation......................................... 1,204 95,300 Motorola, Inc. ............................................... 970 81,600 SBC Communications Inc. ...................................... 1,640 26,200 Verizon Communications Inc. .................................. 719 --------- 7,148 --------- TOBACCO -- 1.8% 51,500 Philip Morris Companies Inc. ................................. 1,998 26,400 UST Inc. ..................................................... 745 --------- 2,743 --------- TOTAL COMMON STOCKS (Cost $139,749)............................................. 144,109 --------- VALUE CONTRACTS (000) --------------------------------------------------------------------------------------- PURCHASED OPTIONS -- 4.8% 450 Call option Bard (C.R.) Inc. Strike Price 50.00 Expires 01/18/03............................................ $ 290 2,000 Call option Baxter International Strike Price 35.00 Expires 01/18/03............................................ 245 1,000 Call option Capital One Strike Price 40.00 Expires 02/21/03............................................ 870 1,000 Call option Capital One Strike Price 40.00 Expires 02/21/03............................................ 380 1,500 Call option Household International Strike Price 37.50 Expires 02/21/03............................................ 201 2,000 Call option Intel Corporation Strike Price 17.50 Expires 01/18/03............................................ 160 2,000 Call option Intel Corporation Strike Price 20.00 Expires 01/18/03............................................ 80 500 Call option Lucent Technologies Inc. Strike Price 7.50 Expires 01/18/03............................................ 5 3,000 Call option MBNA Corporation Strike Price 20.00 Expires 01/18/03............................................ 495 300 Call option S&P 500 Index Strike Price 1050.00 Expires 12/21/02............................................ 41 300 Call option S&P 500 Index Strike Price 1075.00 Expires 12/21/02............................................ 26 200 Call option S&P 500 Index Strike Price 825.00 Expires 10/19/02............................................ 437 50 Call option S&P 500 Index Strike Price 830.00 Expires 10/19/02............................................ 98 75 Call option S&P 500 Index Strike Price 840.00 Expires 10/19/02............................................ 114
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE CONTRACTS (000) --------------------------------------------------------------------------------------- PURCHASED OPTIONS -- (CONTINUED) 275 Call option S&P 500 Index Strike Price 850.00 Expires 10/19/02............................................ $ 323 400 Call option S&P 500 Index Strike Price 875.00 Expires 10/19/02............................................ 222 500 Call option Tyco International, Inc. Strike Price 32.50 Expires 10/19/02............................................ 1 1,000 Call option Verizon Communications Inc. Strike Price 40.00 Expires 10/19/02............................................ 5 400 Call option S&P 500 Index Strike Price 900.00 Expires 10/19/02............................................ 99 600 Call option S&P Euro Index Strike Price 875.00 Expires 12/21/02............................................ 1,599 300 Call option S&P Euro Index Strike Price 925.00 Expires 12/21/02............................................ 379 100 Call option S&P Euro Index Strike Price 975.00 Expires 12/21/02............................................ 54 25(c) Call option on Interest Rate Swap, expiring on 12/20/02. If exercised, Commerzbank pays 3 month LIBOR and receives fixed (3.10%). Swap expires 12/24/04....................................... 31 40(c) Call option on Interest Rate Swap, expiring on 12/17/02. If exercised, Commerzbank pays 3 month LIBOR and receives fixed (2.73%). Swap expires 12/19/03....................................... 14 31(c) Call option on Interest Rate Swap, expiring on 03/19/03. If exercised, Commerzbank pays fixed (4.25%) and receives 6 month EURIBOR. Swap expires 03/21/13....................................... 153 700 Put option Broadcom Corporation Strike Price 22.50 Expires 01/18/03............................................ 826 400 Put option Bard (C.R.) Inc. Strike Price 50.00 Expires 01/18/03............................................ 71
VALUE CONTRACTS (000) --------------------------------------------------------------------------------------- PURCHASED OPTIONS -- (CONTINUED) 50 Put option S&P 500 Index Strike Price 775.00 Expires 10/19/02............................................ $ 66 25 Put Option S&P 500 Index Strike Price 800.00 Expires 10/19/02............................................ 52 --------- TOTAL PURCHASED OPTIONS (Cost $13,783).............................................. 7,337 --------- SHARES (000) --------- INVESTMENT COMPANIES -- 7.9% (Cost $12,129) 12,129 Nations Cash Reserves, Capital Class Shares#.................. 12,129 --------- TOTAL INVESTMENTS (Cost $165,661)................................... 106.7% 163,575 ---------
CONTRACTS --------- WRITTEN OPTIONS (5,000) Call option Baxter International Strike Price 40.00 Expires 01/18/03.................................. $ (213) (500) Call option Capital One Strike Price 40.00 Expires 02/21/03.................................. (190) (3,000) Call option Household International Strike Price 42.50 Expires 02/21/03.................................. (157) (9,000) Call option Intel Corporation Strike Price 25.00 Expires 01/18/03.................................. (113) (2,000) Call option Intel Corporation Strike Price 20.00 Expires 01/18/03.................................. (80) (25)(b) Call option on interest rate swap, expiring on 12/20/02. If exercised, Commerzbank pays fixed (3.55%) and receives 3 month LIBOR. Swap expires 12/24/04............................. (26) (20)(b) Call option on interest rate swap, expiring on 12/17/02. If exercised, Commerzbank pays fixed (3.61%) and receives 3 month LIBOR. Swap expires 12/19/04............................. (8)
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE CONTRACTS (000) --------------------------------------------------------------------------------------- WRITTEN OPTIONS -- (CONTINUED) (15)(b) Call option on interest rate swap, expiring on 03/19/03. If exercised, Commerzbank pays 3 months LIBOR and receives fixed (3.90%). Swap expires 03/21/13............................. $ (196) (4,500) Call option MBNA Corporation Strike Price 22.50 Expires 01/18/03.................................. (405) (400) Call option S&P 500 Index Strike Price 850.00 Expires 10/19/02.................................. (470) (800) Call option S&P 500 Index Strike Price 900.00 Expires 10/19/02.................................. (198) (800) Call option S&P 500 Index Strike Price 925.00 Expires 10/19/02.................................. (90) (400) Call option S&P 500 Index Strike Price 875.00 Expires 10/19/02.................................. (222) (600) Call option S&P 500 Index Strike Price 1,100.00 Expires 12/21/02.................................. (36) (600) Call option S&P 500 Index Strike Price 1,025.00 Expires 12/21/02.................................. (126) (600) Call option S&P Euro Index Strike Price 1,125.00 Expires 12/21/02.................................. (27) (1,200) Call option S&P Euro Index Strike Price 925.00 Expires 12/21/02.................................. (1,518) (300) Call option S&P Euro Index Strike Price 975.00 Expires 12/21/02.................................. (160)
VALUE CONTRACTS (000) --------------------------------------------------------------------------------------- WRITTEN OPTIONS -- (CONTINUED) (1,000) Call option Tyco International Strike Price 35.00 Expires 10/19/02.................................. $ (3) (3,000) Call option Verizon Communications Inc. Strike Price 45.00 Expires 10/19/02.................................. (15) (500) Put option Capital One Strike Price 40.00 Expires 02/21/03.................................. (435) -------- TOTAL WRITTEN OPTIONS (Premium ($12,822))............................... (4,688) --------
OTHER ASSETS AND LIABILITIES (NET)................................. (6.7)% Cash.......................................................... $ 90 Receivable for investment securities sold..................... 84,675 Receivable for Fund shares sold............................... 1,345 Dividends receivable.......................................... 160 Unrealized appreciation on forward bond contracts............. 1,431 Unrealized depreciation on swap contracts..................... (4,594) Variation margin/due to broker................................ (239) Written options, at value (premium $12,822)................... (4,688) Collateral on securities loaned............................... (3,744) Payable for Fund shares redeemed.............................. (75) Investment advisory fee payable............................... (2) Administration fee payable.................................... (31) Shareholder servicing and distribution fees payable........... (3) Payable for investment securities purchased................... (84,160) Accrued Trustees' fees and expenses........................... (65) Accrued expenses and other liabilities........................ (334) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (10,234) --------- NET ASSETS.......................................... 100.0% $ 153,341 =========
SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS Nations Managed Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE (000) -------------------------------------------------------------------------------------- NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 515 Accumulated net realized loss on investments sold, futures contracts, swaps, options and foreign currencies............ (25,493) Net unrealized appreciation of investments, futures contracts, swaps, options and foreign currencies....................... 2,546 Paid-in capital............................................... 175,773 --------- NET ASSETS.................................................... $ 153,341 ========= PRIMARY A SHARES: Net asset value, offering and redemption price per share ($138,165,691 / 14,505,294 shares outstanding).............. $9.53 ========= PRIMARY B SHARES: Net asset value, offering and redemption price per share ($15 / 1 shares outstanding)................................ $10.70 ========= INVESTOR A SHARES: Net asset value and redemption price per share ($15,175,629 / 1,596,545 shares outstanding)................ $9.51 =========
--------------- *Federal income tax information (see Note 12). !! Non-income producing security. && All or a portion of security segregated as collateral for futures contracts and forward bond contracts. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 11). The portion that represents cash collateral is $3,744. (a) All or a portion of security was on loan on September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $3,947 and $3,548, respectively. (b) 1 Contract = $1,000,000 SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------- COMMON STOCKS -- 98.4% AEROSPACE AND DEFENSE -- 1.1% 107,675 L-3 Communications Holdings, Inc.!!(a)........................ $ 5,675 59,925 Precision Castparts Corporation............................... 1,299 11,950 Sequa Corporation, Class A!!.................................. 623 89,300 The Titan Corporation!!....................................... 857 --------- 8,454 --------- AIRLINES -- 0.1% 30,425 Alaska Air Group, Inc.!!...................................... 538 43,850 Atlas Air, Inc.!!(a).......................................... 106 --------- 644 --------- APPAREL AND TEXTILES -- 0.6% 101,625 Coach, Inc.!!................................................. 2,602 42,975 Timberland Company, Class A!!................................. 1,361 61,675 Unifi, Inc.!!................................................. 387 --------- 4,350 --------- AUTOMOTIVE -- 1.9% 77,850 ArvinMeritor, Inc. ........................................... 1,456 30,575 Borg-Warner Automotive, Inc. ................................. 1,518 117,150 Circuit City Stores -- Carmax................................. 1,898 104,250 Copart, Inc.!!................................................ 1,131 86,875 Gentex Corporation!!.......................................... 2,362 75,275 Lear Corporation!!............................................ 3,134 92,475 Pennzoil-Quaker State Company(a).............................. 2,032 30,450 Superior Industries International, Inc. ...................... 1,434 --------- 14,965 --------- BEVERAGES -- 0.6% 102,375 Constellation Brands, Inc.!!.................................. 2,365 176,225 PepsiAmericas, Inc. .......................................... 2,502 --------- 4,867 --------- BROADCASTING AND CABLE -- 1.5% 60,725 Emmis Communications Corporation!!(a)......................... 1,154 57,050 Entercom Communications Corporation!!......................... 2,702 124,550 Hispanic Broadcasting Corporation!!........................... 2,323 26,550 Media General Inc., Class A................................... 1,350 122,375 Westwood One, Inc.!!.......................................... 4,375 --------- 11,904 --------- BUILDING MATERIALS -- 0.2% 55,925 Martin Marietta Materials, Inc. .............................. 1,821 --------- CHEMICALS -- BASIC -- 1.0% 40,200 FMC Corporation!!............................................. 1,038 74,950 FMC Technologies, Inc.!!...................................... 1,256 32,475 H.B. Fuller Company........................................... 864 131,725 IMC Global, Inc. ............................................. 1,587 183,125 Lyondell Chemical Company..................................... 2,187 64,925 Olin Corporation(a)........................................... 1,063 --------- 7,995 --------- CHEMICALS -- SPECIALTY -- 1.5% 81,650 Airgas, Inc.!!................................................ 1,072 47,750 Albemarle Corporation......................................... 1,208 70,400 Cabot Corporation............................................. 1,478 27,775 Cabot Microelectronics Corporation!!(a)....................... 1,034 130,200 Crompton Corporation.......................................... 1,309
VALUE SHARES (000) ------------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- (CONTINUED) 45,150 Cytec Industries Inc.!!....................................... $ 991 46,175 Ferro Corporation(a).......................................... 1,067 58,925 Lubrizol Corporation.......................................... 1,665 23,075 Minerals Technologies Inc. ................................... 855 33,675 Schulman (A.) Inc. ........................................... 584 120,075 Solutia Inc. ................................................. 627 --------- 11,890 --------- COMMERCIAL BANKING -- 10.1% 86,625 Associated Banc-Corp.......................................... 2,749 101,575 Astoria Financial Corporation................................. 2,478 78,025 Bank of Hawaii Corporation.................................... 2,177 169,875 Banknorth Group, Inc. ........................................ 4,035 57,300 City National Corporation..................................... 2,680 134,600 Colonial BancGroup, Inc. ..................................... 1,669 77,050 Commerce Bancorp, Inc. ....................................... 3,198 147,550 Compass Bancshares, Inc. ..................................... 4,351 82,250 First Virginia Banks, Inc. ................................... 3,068 96,975 Firstmerit Corporation........................................ 2,077 157,350 Golden State Bancorp Inc. .................................... 5,086 58,775 Greater Bay Bancorp(a)........................................ 1,069 181,150 Hibernia Corporation, Class A................................. 3,621 65,525 Independence Community Bank Corporation....................... 1,644 73,925 Investors Financial Services Corporation...................... 2,001 105,225 M&T Bank Corporation.......................................... 8,292 79,850 Mercantile Bankshares Corporation............................. 3,048 236,250 National Commerce Financial Corporation....................... 5,918 123,150 New York Community Bancorp, Inc. ............................. 3,469 55,825 Provident Financial Group, Inc.(a)............................ 1,401 50,925 Silicon Valley Bancshares!!................................... 862 298,950 Sovereign Bancorp, Inc.(a).................................... 3,856 85,625 TCF Financial Corporation..................................... 3,625 54,950 Webster Financial Corporation................................. 1,845 38,450 Westamerica Bancorporation.................................... 1,549 75,250 Wilmington Trust Corporation.................................. 2,176 --------- 77,944 --------- COMMERCIAL SERVICES -- 3.4% 21,925 Bandag, Inc. ................................................. 669 62,625 Catalina Marketing Corporation!!.............................. 1,759 79,275 Certegy Inc.!!................................................ 1,593 98,102 ChoicePoint Inc.!!............................................ 3,496 80,075 DeVry, Inc.!!................................................. 1,491 86,925 Fastenal Company(a)........................................... 2,745 94,825 Gartner Group, Inc.!!......................................... 759 40,650 Kelly Services, Inc. ......................................... 881 43,375 Korn/Ferry International!!.................................... 340 87,700 Manpower Inc. ................................................ 2,573 117,550 MPS Group, Inc.!!............................................. 682 34,650 Rollins, Inc. ................................................ 672 123,900 SEI Investment Company........................................ 2,959 70,450 Sotheby's Holdings, Class A!!................................. 493 46,200 Sylvan Learning Systems, Inc.!!............................... 632 87,725 United Rentals, Inc.!!........................................ 740 61,025 Valassis Communications Inc.!!(a)............................. 2,140 102,200 Viad Corporation.............................................. 2,088 --------- 26,712 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------- COMPUTER SERVICES -- 1.3% 100,850 Acxiom Corporation!!.......................................... $ 1,430 170,100 Ceridian Corporation!!........................................ 2,424 59,000 CSG Systems International, Inc.!!............................. 643 55,450 Internet Security Systems, Inc.!!............................. 683 103,625 Jack Henry & Associates, Inc. ................................ 1,288 46,325 Sykes Enterprises, Inc.!!..................................... 195 87,400 Synopsys, Inc.!!.............................................. 3,335 --------- 9,998 --------- COMPUTERS AND OFFICE EQUIPMENT -- 0.9% 51,575 Avocent Corporation!!......................................... 690 45,050 InFocus Corporation!!......................................... 343 86,950 Miller (Herman) Inc. ......................................... 1,544 48,150 Plexus Corporation!!.......................................... 445 180,575 Quantum Corporation!!......................................... 399 121,350 Storage Technology Corporation!!.............................. 1,275 64,650 Tech Data Corporation!!....................................... 1,708 47,650 Wallace Computer Services, Inc. .............................. 841 --------- 7,245 --------- CONGLOMERATES -- 1.4% 54,825 Dycom Industries, Inc.!!...................................... 502 47,575 Granite Construction.......................................... 784 56,400 Pentair, Inc. ................................................ 2,096 120,000 Scana Corporation............................................. 3,122 46,825 SPX Corporation!!............................................. 4,726 --------- 11,230 --------- CONSTRUCTION -- 0.3% 62,325 Jacobs Engineering Group Inc.!!............................... 1,925 69,750 Quanta Services, Inc.!!....................................... 145 --------- 2,070 --------- CONSUMER CREDIT AND MORTGAGES -- 0.8% 174,625 AmeriCredit Corporation!!(a).................................. 1,409 113,725 Greenpoint Financial Corporation.............................. 4,747 66,400 Metris Companies Inc.(a)...................................... 153 --------- 6,309 --------- CONSUMER SERVICES -- 0.3% 57,350 Valspar Corporation(a)........................................ 2,139 --------- DEPARTMENT AND DISCOUNT STORES -- 0.4% 54,975 Neiman Marcus Group Inc., Class A!!........................... 1,443 163,400 Saks, Inc.!!.................................................. 1,721 --------- 3,164 --------- DIVERSIFIED ELECTRONICS -- 1.9% 30,775 Black Hills Corporation....................................... 806 82,550 Diebold, Inc. ................................................ 2,717 76,025 Harris Corporation............................................ 2,546 41,700 Hawaiian Electric Industries, Inc. ........................... 1,797 67,675 Hubbell Inc. ................................................. 1,967 59,050 National Instruments Corporation!!............................ 1,293 44,825 PNM Resources Inc. ........................................... 888 38,900 Varian Inc.!!................................................. 1,074 182,925 Vishay Intertechnology, Inc.!!&&.............................. 1,610 --------- 14,698 ---------
VALUE SHARES (000) ------------------------------------------------------------------------------------- DIVERSIFIED MANUFACTURING -- 2.6% 37,000 Albany International Corporation, Class A..................... $ 702 34,850 Carlisle Companies Inc. ...................................... 1,278 50,550 Donaldson Company, Inc. ...................................... 1,735 100,875 Energizer Holdings Inc.!!..................................... 3,067 51,900 Federal Signal Corporation.................................... 956 46,400 Harsco Corporation............................................ 1,262 34,925 Kaydon Corporation............................................ 700 39,450 Kennametal Inc. .............................................. 1,267 41,950 Lancaster Colony Corporation.................................. 1,767 38,550 Modine Manufacturing Company.................................. 733 38,400 Nordson Corporation........................................... 912 62,150 Pittson Brink's Group......................................... 1,392 54,225 Sensient Technologies Corporation............................. 1,146 45,000 Teleflex Inc. ................................................ 2,051 45,200 York International Corporation................................ 1,275 --------- 20,243 --------- EDUCATION -- 0.2% 40,100 Education Management Corporation!!............................ 1,775 --------- ELECTRIC POWER -- NON NUCLEAR -- 2.7% 97,650 Allete, Inc. ................................................. 2,109 53,875 Cleco Corporation............................................. 726 144,925 DPL Inc. ..................................................... 2,384 84,850 DQE Inc. ..................................................... 1,273 70,925 Great Plains Energy Inc. ..................................... 1,358 43,200 IDACORP, Inc. ................................................ 1,051 156,500 Northeast Utilities Company................................... 2,645 89,525 OGE Energy Corporation........................................ 1,510 187,075 Pepco Holdings, Inc.!!........................................ 3,733 117,025 Sierra Pacific Resources(a)................................... 714 77,650 Vectren Corporation........................................... 1,708 82,025 Westar Energy, Inc. .......................................... 825 36,350 WPS Resources Corporation(a).................................. 1,288 --------- 21,324 --------- ELECTRIC POWER -- NUCLEAR -- 1.0% 104,200 Alliant Energy Corporation.................................... 2,006 165,575 Energy East Corporation....................................... 3,280 60,750 NSTAR......................................................... 2,403 --------- 7,689 --------- ELECTRICAL EQUIPMENT -- 0.4% 37,750 AMETEK, Inc. ................................................. 1,099 40,100 Imation Corporation!!(a)...................................... 1,136 21,175 Tecumseh Products Company..................................... 889 --------- 3,124 --------- ENERGY -- MISCELLANEOUS -- 0.7% 100,300 Puget Energy Inc. ............................................ 2,047 131,900 Wisconsin Energy Corporation.................................. 3,205 --------- 5,252 --------- EXPLORATION AND PRODUCTION -- 1.3% 53,825 Forest Oil Corporation!!...................................... 1,373 65,625 Noble Energy, Inc. ........................................... 2,229 201,525 Ocean Energy Inc. ............................................ 4,020 141,350 XTO Energy, Inc. ............................................. 2,913 --------- 10,535 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------- FINANCE -- MISCELLANEOUS -- 0.6% 157,825 Clayton Homes Inc.(a)......................................... $ 1,733 65,600 IndyMac Bancorp, Inc.!!....................................... 1,264 55,150 Investment Technology Group, Inc.!!........................... 1,614 --------- 4,611 --------- FOOD AND DRUG STORES -- 0.5% 53,200 Ruddick Corporation........................................... 808 65,850 Whole Foods Market, Inc.!!.................................... 2,821 --------- 3,629 --------- FOOD PRODUCTS -- 3.6% 103,600 Dean Foods Company!!.......................................... 4,121 64,200 Dole Food Company............................................. 1,864 39,875 Dreyer's Grand Ice Cream Inc. ................................ 2,786 159,075 Hormel Foods Corporation...................................... 3,481 50,450 Interstate Bakeries Corporation............................... 1,340 160,225 McCormick and Company, Inc. .................................. 3,653 125,325 Smithfield Foods, Inc.!!...................................... 1,968 56,775 The J. M. Smucker Company..................................... 2,084 59,175 Tootsie Roll Industries, Inc. ................................ 1,759 404,600 Tyson Foods Inc., Class A..................................... 4,704 --------- 27,760 --------- HEALTH SERVICES -- 5.7% 105,925 AdvancePCS!!.................................................. 2,386 62,675 Apria Healthcare Group Inc.!!................................. 1,477 51,275 Charles River Laboratories International, Inc.!!.............. 2,013 69,200 Covance Inc.!!................................................ 1,354 90,225 Express Scripts, Inc.!!....................................... 4,919 116,050 First Health Group Corporation!!.............................. 3,147 143,375 Health Net Inc.!!............................................. 3,075 45,225 Lifepoint Hospitals, Inc.!!(a)................................ 1,410 121,800 Lincare Holdings Inc.!!....................................... 3,781 107,950 Omnicare, Inc. ............................................... 2,280 100,875 Oxford Health Plans, Inc.!!................................... 3,928 40,700 Pacificare Health Systems Inc.!!(a)........................... 940 111,625 Quest Diagnostics Inc.!!...................................... 6,867 85,025 Triad Hospitals, Inc.(a)...................................... 3,227 68,600 Universal Health Services, Inc., Class B!!.................... 3,509 --------- 44,313 --------- HEAVY MACHINERY -- 0.3% 85,425 Agco Corporation!!............................................ 1,981 63,250 Flowserve Corporation!!....................................... 633 --------- 2,614 --------- HOUSEHOLD PRODUCTS -- 0.7% 53,100 Blyth Industries, Inc. ....................................... 1,481 45,575 Church & Dwight Company, Inc. ................................ 1,511 108,675 The Dial Corporation.......................................... 2,332 --------- 5,324 --------- HOUSING AND FURNISHING -- 2.1% 167,825 D.R. Horton, Inc. ............................................ 3,125 64,475 Furniture Brands International, Inc.!!........................ 1,480 67,525 Hon Industries Inc. .......................................... 1,719 74,100 Lennar Corporation(a)......................................... 4,132 76,550 Mohawk Industries Inc.!!...................................... 3,801 131,550 RPM Inc. ..................................................... 1,850 --------- 16,107 ---------
VALUE SHARES (000) ------------------------------------------------------------------------------------- INSURANCE -- 4.7% 60,825 Allmerica Financial Corporation............................... $ 730 78,950 American Financial Group, Inc. ............................... 1,817 45,500 AmerUs Group Company(a)....................................... 1,290 101,200 Arthur J. Gallagher & Company................................. 2,495 58,750 Everest Re Group, Ltd. ....................................... 3,223 109,400 Fidelity National Financial, Inc. ............................ 3,144 71,375 HCC Insurance Holdings Inc. .................................. 1,714 46,800 Horace Mann Educators Corporation............................. 688 63,400 Leucadia National Corporation................................. 2,156 54,650 MONY Group Inc.(a)............................................ 1,348 69,475 Ohio Casualty Corporation!!................................... 1,131 138,000 Old Republic International Corporation........................ 3,916 103,400 PMI Group, Inc. .............................................. 2,814 78,675 Protective Life Corporation................................... 2,421 108,625 Radian Group Inc. ............................................ 3,548 33,900 Stancorp Financial Group Inc. ................................ 1,793 77,700 Unitrin, Inc. ................................................ 2,385 --------- 36,613 --------- INTEGRATED OIL -- 1.8% 64,325 AGL Resources Inc. ........................................... 1,421 52,500 Murphy Oil Corporation........................................ 4,309 133,025 Pioneer Natural Resources Company!!........................... 3,226 93,750 Questar Corporation........................................... 2,141 121,225 Valero Energy Corporation..................................... 3,209 --------- 14,306 --------- INVESTMENT SERVICES -- 2.2% 91,000 A.G. Edwards, Inc. ........................................... 2,911 418,700 E*TRADE Group, Inc.!!......................................... 1,863 79,575 Eaton Vance Corporation....................................... 2,199 67,575 LaBranche and Company Inc.!!(a)............................... 1,368 74,325 Legg Mason, Inc. ............................................. 3,164 80,050 Neuberger Berman Inc. ........................................ 2,157 95,875 Roslyn Bancorp, Inc. ......................................... 1,669 91,800 Waddell & Reed Financial, Inc., Class A....................... 1,621 --------- 16,952 --------- LODGING AND RECREATION -- 1.5% 87,050 Callaway Golf Company(a)...................................... 905 107,425 Extended Stay America, Inc.!!(a).............................. 1,364 65,625 GTECH Holdings Corporation!!.................................. 1,629 60,925 International Speedway Corporation............................ 2,421 78,350 Mandalay Resort Group!!(a).................................... 2,629 345,550 Park Place Entertainment Corporation!!........................ 2,747 105,925 Six Flags, Inc.!!............................................. 373 --------- 12,068 --------- MEDICAL DEVICES AND SUPPLIES -- 3.6% 122,525 Apogent Technologies Inc.!!................................... 2,286 70,825 Beckman Coulter, Inc. ........................................ 2,741 140,750 Cytyc Corporation!!........................................... 1,509 89,625 DENTSPLY International Inc. .................................. 3,600 68,550 Edwards Lifesciences Corporation!!............................ 1,754 50,175 Henry Schein, Inc.!!.......................................... 2,647 70,675 Hillenbrand Industries, Inc. ................................. 3,838
SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- (CONTINUED) 78,100 Patterson Dental Company!!.................................... $ 3,998 78,900 STERIS Corporation!!.......................................... 1,965 77,975 Varian Medical Systems, Inc.!!................................ 3,352 61,125 VISX Inc.!!................................................... 564 --------- 28,254 --------- METALS AND MINING -- 0.5% 123,625 AK Steel Holding Corporation!!................................ 904 60,000 Arch Coal, Inc.(a)............................................ 993 25,500 Carpenter Technology Corporation.............................. 332 63,975 Graftech International Ltd.!!................................. 464 59,350 Peabody Energy Corporation.................................... 1,511 --------- 4,204 --------- NATURAL GAS DISTRIBUTION -- 1.2% 71,025 Equitable Resources, Inc. .................................... 2,453 75,225 Hanover Compressor Company!!(a)............................... 624 81,850 MDU Resources Group, Inc. .................................... 1,869 91,825 National Fuel Gas Company(a).................................. 1,825 69,200 ONEOK, Inc. .................................................. 1,308 55,650 WGL Holdings Inc.(a).......................................... 1,331 --------- 9,410 --------- NATURAL GAS PIPELINES -- 0.3% 206,475 Aquila, Inc.(a)............................................... 847 37,825 Western Gas Resources, Inc. .................................. 1,182 --------- 2,029 --------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.9% 410,775 3Com Corporation!!............................................ 1,619 43,300 ADTRAN, Inc.!!................................................ 675 94,650 Advanced Fibre Communications, Inc.!!......................... 1,257 70,750 CommScope, Inc.!!............................................. 480 129,925 McDATA Corporation, Class A!!................................. 705 43,750 Newport Corporation!!......................................... 494 52,600 Plantronics, Inc.!!(a)........................................ 857 114,350 Polycom, Inc.!!............................................... 776 74,975 Powerwave Technologies, Inc.!!................................ 254 --------- 7,117 --------- OILFIELD SERVICES -- 3.7% 62,100 Cooper Cameron Corporation!!.................................. 2,593 170,475 ENSCO International Inc. ..................................... 4,269 127,450 Grant Prideco Inc.!!.......................................... 1,088 57,275 Helmerich & Payne, Inc. ...................................... 1,961 92,800 National-Oilwell, Inc.!!...................................... 1,798 90,450 Patterson-UTI Energy, Inc.!!(a)............................... 2,307 152,625 Pride International, Inc.!!(a)................................ 1,984 116,125 Smith International, Inc.!!................................... 3,404 69,400 Tidewater Inc. ............................................... 1,873 110,825 Varco International, Inc.!!................................... 1,875 149,075 Weatherford International Inc.!!.............................. 5,537 --------- 28,689 ---------
VALUE SHARES (000) ------------------------------------------------------------------------------------- PACKAGING AND CONTAINERS -- 0.6% 58,525 Longview Fibre Company........................................ $ 406 119,575 Packaging Corporation of America!!............................ 2,094 110,550 Sonoco Products Company....................................... 2,356 --------- 4,856 --------- PAPER AND FOREST PRODUCTS -- 0.7% 63,300 Bowater Inc. ................................................. 2,234 49,925 P.H. Glatfelter Company....................................... 577 32,600 Potlatch Corporation.......................................... 935 31,800 Rayonier Inc. ................................................ 1,333 59,050 Wausau-Mosinee Paper Corporation.............................. 544 --------- 5,623 --------- PHARMACEUTICALS -- 4.5% 49,950 Barr Laboratories, Inc.!!(a).................................. 3,111 224,375 Gilead Sciences, Inc.!!....................................... 7,523 94,775 ICN Pharmaceuticals Inc. ..................................... 859 174,925 IDEC Pharmaceuticals Corporation!!(a)......................... 7,263 77,375 Incyte Pharmaceuticals, Inc.!!................................ 359 222,900 IVAX Corporation!!............................................ 2,735 325,875 Millennium Pharmaceuticals, Inc.!!............................ 3,037 143,575 Mylan Laboratories, Inc. ..................................... 4,701 83,025 Perrigo Company!!............................................. 883 101,975 Protein Design Labs, Inc.!!................................... 846 96,375 Sepracor Inc.!!(a)............................................ 505 133,050 SICOR Inc.!!.................................................. 2,024 87,100 Vertex Pharmaceuticals Inc.!!................................. 1,610 --------- 35,456 --------- PUBLISHING AND ADVERTISING -- 2.7% 28,925 Banta Corporation............................................. 1,027 128,525 Belo Corporation.............................................. 2,812 85,075 Dun & Bradstreet Corporation!!................................ 2,859 105,425 Harte-Hanks, Inc. ............................................ 1,962 50,750 Lee Enterprises, Inc. ........................................ 1,668 114,175 Readers Digest Association, Inc., Class A..................... 1,787 44,775 Scholastic Corporation!!...................................... 2,001 10,900 The Washington Post Company, Class B.......................... 7,073 --------- 21,189 --------- RAILROADS, TRUCKING AND SHIPPING -- 1.7% 55,450 Airborne, Inc. ............................................... 629 96,900 C.H. Robinson Worldwide, Inc. ................................ 2,618 56,425 CNF Inc. ..................................................... 1,771 56,125 EGL, Inc.!!................................................... 618 119,125 Expeditors International of Washington, Inc. ................. 3,329 56,050 GATX Corporation(a)........................................... 1,110 44,900 J.B. Hunt Transport Services, Inc.!!.......................... 1,057 98,150 Swift Transportation Company, Inc.!!.......................... 1,531 52,600 Trinity Industries, Inc.(a)................................... 866 --------- 13,529 --------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.6% 71,650 Hospitality Properties Trust.................................. 2,373 110,975 New Plan Excel Realty Trust................................... 2,046 --------- 4,419 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------- RESTAURANTS -- 1.5% 40,800 Bob Evans Farms, Inc. ........................................ $ 967 112,300 Brinker International, Inc.!!................................. 2,909 60,125 CBRL Group Inc. .............................................. 1,372 62,325 Krispy Kreme Doughnuts, Inc.!!(a)............................. 1,948 87,875 Outback Steakhouse, Inc.!!.................................... 2,415 22,350 Papa John's International Inc.!!(a)........................... 651 58,000 The Cheesecake Factory, Inc.!!................................ 1,730 --------- 11,992 --------- SEMICONDUCTORS -- 3.2% 115,075 Arrow Electronics, Inc.!!..................................... 1,453 535,025 Atmel Corporation!!(a)........................................ 567 137,125 Avnet, Inc. .................................................. 1,480 95,575 Cirrus Logic, Inc.!!.......................................... 244 69,475 Credence Systems Corporation!!................................ 602 83,325 Cree, Inc.!!(a)............................................... 1,042 141,100 Cypress Semiconductor Corporation!!........................... 926 134,025 Fairchild Semiconductor Corporation, Class A!!................ 1,269 37,150 FEI Company!!................................................. 537 118,375 Intergrated Device Technology, Inc.!!(a)...................... 1,236 72,800 International Rectifier Corporation!!......................... 1,137 156,350 Intersil Corporation, Class A!!(a)............................ 2,026 98,700 KEMET Corporation!!........................................... 844 145,975 Lam Research Corporation!!(a)................................. 1,299 125,700 Lattice Semiconductor Corporation!!........................... 782 56,275 LTX Corporation!!(a).......................................... 257 106,200 Micrel, Inc.!!................................................ 654 231,325 Microchip Technology Inc.!!................................... 4,730 193,175 RF Micro Devices, Inc.!!(a)................................... 1,159 78,750 SanDisk Corporation!!(a)...................................... 1,032 83,675 Semtech Corporation!!......................................... 812 151,325 TriQuint Semiconductor, Inc.!!................................ 534 --------- 24,622 --------- SOFTWARE -- 4.3% 76,450 Activision, Inc.!!(a)......................................... 1,829 37,450 Advent Software, Inc.!!(a).................................... 429 151,050 Affiliated Computer Services, Inc., Class A!!................. 6,427 284,325 Ascential Software Corporation!!.............................. 528 304,275 Cadence Design Systems, Inc.!!................................ 3,094 89,425 Checkfree Corporation!!(a).................................... 1,018 137,375 DST Systems, Inc.!!........................................... 4,048 86,600 Keane Inc.!!.................................................. 585 131,625 Legato Systems Inc.!!......................................... 363 68,525 Macromedia Inc.!!............................................. 530 58,450 Macrovision Corporation!!..................................... 715 75,650 Mentor Graphics Corporation!!................................. 369 178,600 Network Associates, Inc.!!.................................... 1,899
VALUE SHARES (000) ------------------------------------------------------------------------------------- SOFTWARE -- (CONTINUED) 60,350 Retek Inc.!!.................................................. $ 217 79,575 Reynolds & Reynolds Company, Class A.......................... 1,786 64,875 RSA Security Inc.!!........................................... 218 111,250 Sybase, Inc.!!................................................ 1,293 166,200 Symantec Corporation!!........................................ 5,589 136,725 The BISYS Group, Inc.!!....................................... 2,285 40,575 Transaction Systems Architects, Inc.!!........................ 252 90,500 Wind River Systems!!.......................................... 291 --------- 33,765 --------- SPECIALTY STORES -- 4.5% 80,351 99 Cents Only Stores.......................................... 1,663 113,500 Abercrombie & Fitch Company!!................................. 2,233 82,650 American Eagle Outfitters, Inc.!!............................. 997 77,250 Barnes & Noble, Inc.!!........................................ 1,635 81,600 BJ's Wholesale Club, Inc.!!................................... 1,551 93,675 Borders Group Inc.!!.......................................... 1,480 96,500 CDW Computer Centers, Inc.!!.................................. 4,088 55,875 Claire's Stores, Inc. ........................................ 1,218 130,800 Dollar Tree Stores, Inc.!!.................................... 2,883 43,875 Longs Drug Stores Corporation(a).............................. 1,013 76,050 Michaels Stores, Inc.!!....................................... 3,475 25,900 Payless ShoeSource, Inc.!!.................................... 1,399 154,675 PETsMart, Inc.!!.............................................. 2,755 107,100 Pier 1 Imports, Inc. ......................................... 2,042 90,075 Ross Stores, Inc. ............................................ 3,210 131,825 Williams-Sonoma, Inc.!!....................................... 3,115 --------- 34,757 --------- TELECOMMUNICATIONS SERVICES -- 0.6% 250,800 Broadwing Inc.!!(a)........................................... 497 62,450 Price Communications Corporation!!............................ 706 67,200 Telephone and Data Systems, Inc. ............................. 3,390 --------- 4,593 --------- TOBACCO -- 0.1% 29,975 Universal Corporation......................................... 1,051 --------- UTILITIES -- MISCELLANEOUS -- 1.3% 47,100 Alexander & Baldwin, Inc. .................................... 1,048 114,650 American Water Works Company, Inc.&&.......................... 5,120 39,450 Overseas Shipholding Group, Inc. ............................. 603 187,450 Republic Services, Inc.!!..................................... 3,524 --------- 10,295 --------- TOTAL COMMON STOCKS (Cost $938,033)............................................. 768,488 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
SHARES VALUE (000) (000) ------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 6.9% (Cost $53,978) 53,978 Nations Cash Reserves, Capital Class Shares#.................. $ 53,978 --------- TOTAL INVESTMENTS (Cost $992,011*).................................. 105.3% 822,466 --------- SHARES ------- SHORT POSITION (Proceeds $526) (47,100) Cimarex Energy Company.............................. (526) OTHER ASSETS AND LIABILITIES (NET).................. (5.3)% Cash.......................................................... $ 7,145 Receivable for investment securities sold..................... 1,238 Dividends receivable.......................................... 457 Interest receivable........................................... 27 Short position at value (proceeds $526)....................... (526) Variation margin/due to broker................................ (71) Collateral on securities loaned............................... (42,206) Investment advisory fee payable............................... (66) Administration fee payable.................................... (115) Payable for investment securities purchased................... (7,159) Accrued Trustees' fees and expenses........................... (29) Accrued expenses and other liabilities........................ (116) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (41,421) --------- NET ASSETS.......................................... 100.0% $ 781,045 ========= NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 1,663 Accumulated net realized loss on investments sold and futures contracts................................................... (7,114) Net unrealized depreciation of investments and futures contracts................................................... (169,573) Paid-in capital............................................... 956,069 --------- NET ASSETS.................................................... $ 781,045 =========
VALUE ------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($778,963,663 / 111,934,090 shares outstanding)............. $6.96 ========= INVESTOR A SHARES: Net asset value and redemption price per share ($2,080,978 / 298,482 shares outstanding)................... $6.97 =========
--------------- *Federal income tax information (see Note 12). !! Non-income producing security. && All or a portion of security segregated as collateral for futures contracts. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 11). The portion that represents cash collateral is $42,206. (a) All or a portion of security was on loan on September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $60,716 and $39,674, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------ COMMON STOCKS -- 99.1% AEROSPACE -- 0.2% 28,000 DRS Technologies, Inc.!!...................................... $ 1,042 -------- AEROSPACE AND DEFENSE -- 2.0% 52,900 AAR Corporation............................................... 251 63,300 Alliant Techsystems Inc.!!(a)................................. 4,385 48,700 Armor Holdings, Inc.!!........................................ 730 59,300 BE Aerospace, Inc.!!.......................................... 282 17,000 Curtiss-Wright Corporation.................................... 1,016 34,500 Esterline Technologies Corporation!!.......................... 574 71,800 GenCorp Inc.(a)............................................... 722 53,200 Teledyne Technologies Inc.!!.................................. 966 26,300 Triumph Group, Inc.!!(a)...................................... 736 18,800 Woodward Governor Company..................................... 891 -------- 10,553 -------- AIRLINES -- 0.6% 75,100 Atlantic Coast Airlines Holdings, Inc.!!...................... 695 36,200 Forward Air Corporation!!..................................... 655 49,200 Frontier Airlines, Inc.!!..................................... 240 54,000 Mesa Air Group, Inc.!!........................................ 197 25,800 Midwest Express Holdings, Inc.!!.............................. 103 95,400 SkyWest, Inc. ................................................ 1,250 -------- 3,140 -------- APPAREL AND TEXTILES -- 2.2% 22,100 Ashworth Inc.!!............................................... 109 29,300 Brown Shoe Company, Inc. ..................................... 524 42,400 Christopher & Banks Corporation!!............................. 1,066 34,400 G & K Services, Inc., Class A................................. 1,165 36,400 Genesco Inc.!!(a)............................................. 502 10,700 Haggar Corporation............................................ 117 31,500 Hancock Fabrics Inc. ......................................... 509 30,600 K-Swiss Inc., Class A......................................... 654 42,100 Kellwood Company.............................................. 962 55,900 Nautica Enterprises Inc.!!.................................... 581 21,000 Oshkosh B'Gosh Inc. .......................................... 722 12,500 Oxford Industries Inc. ....................................... 274 46,100 Phillips-Van Heusen Corporation............................... 581 39,300 Quiksilver, Inc.!!............................................ 888 53,400 Russell Corporation........................................... 800 69,300 Stride Rite Corporation....................................... 548 44,000 The Children's Place Retail Stores, Inc.!!(a)................. 444 67,600 Wolverine World Wide, Inc. ................................... 1,015 -------- 11,461 -------- AUTOMOTIVE -- 1.1% 36,000 Aaron Rents, Inc. ............................................ 828 38,500 Group 1 Automotive, Inc.!!.................................... 860 42,300 Intermet Corporation.......................................... 203 24,900 Midas, Inc.!!................................................. 125 49,900 Myers Industries Inc. ........................................ 625 28,100 Oshkosh Truck Corporation..................................... 1,585 20,900 Standard Motor Products, Inc. ................................ 226 35,200 TBC Corporation!!............................................. 365 34,600 Titan International Inc. ..................................... 90 109,400 Tower Automotive, Inc.!!...................................... 733 -------- 5,640 --------
VALUE SHARES (000) ------------------------------------------------------------------------------------ BEVERAGES -- 0.1% 14,700 Coca-Cola Bottling Company.................................... $ 689 -------- BROADCASTING AND CABLE -- 0.1% 20,900 4Kids Entertainment Inc.!!(a)................................. 496 -------- CHEMICALS -- BASIC -- 0.2% 53,400 Georgia Gulf Corporation...................................... 1,221 -------- CHEMICALS -- SPECIALTY -- 2.4% 37,200 Arch Chemicals, Inc. ......................................... 659 43,200 Cambrex Corporation........................................... 1,590 16,300 Chemed Corporation............................................ 502 23,700 ChemFirst Inc. ............................................... 682 53,600 MacDermid, Inc. .............................................. 1,069 46,800 OM Group, Inc. ............................................... 2,003 65,900 Omnova Solutions Inc.!!....................................... 302 12,700 Penford Corporation........................................... 171 152,200 PolyOne Corporation........................................... 1,307 15,500 Quaker Chemical Corporation................................... 298 26,300 Rogers Corporation!!.......................................... 614 49,400 Scotts Company, Class A!!..................................... 2,060 23,700 TETRA Technologies Inc.!!..................................... 478 52,900 Wellman Inc. ................................................. 722 -------- 12,457 -------- COMMERCIAL BANKING -- 7.7% 53,600 Chittenden Corporation........................................ 1,587 75,100 Commercial Federal Corporation................................ 1,635 65,700 Community First Bankshares, Inc. ............................. 1,832 84,800 Cullen Frost Bankers, Inc. ................................... 2,897 46,900 Downey Financial Corporation.................................. 1,606 39,300 East West Bancorp, Inc. ...................................... 1,327 29,800 Financial Federal Corporation!!............................... 949 79,500 First Midwest Bancorp, Inc.&&................................. 2,135 24,600 First Republic Bank!!......................................... 535 44,200 Firstbank Corporation......................................... 1,685 28,700 FirstFed Financial Corporation!!.............................. 739 19,200 GBC Bancorp................................................... 373 75,000 Hudson United Bancorp......................................... 1,995 46,100 Irwin Financial Corp.......................................... 784 38,600 MAF Bancorp Inc. ............................................. 1,193 41,300 Provident Bankshares Corporation.............................. 891 47,400 Riggs National Corporation.................................... 677 39,800 Seacoast Financial Services Corporation....................... 799 73,400 South Financial Group, Inc.(a)................................ 1,548 55,900 Southwest Bancorporation of Texas, Inc.!!(a).................. 2,035 100,300 Staten Island Bancorp, Inc. .................................. 1,745 72,900 Sterling Bancshares, Inc. .................................... 953 65,800 Susquehanna Bancshares Inc. .................................. 1,425 120,200 TrustCo Bank Corporation NY................................... 1,271 70,600 United Bankshares Inc. ....................................... 2,048 105,400 Washington Federal, Inc. ..................................... 2,352 66,500 Whitney Holding Corporation................................... 2,133 -------- 39,149 --------
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------ COMMERCIAL SERVICES -- 4.7% 81,500 ABM Industries Inc. .......................................... $ 1,149 46,200 Administaff, Inc.!!(a)........................................ 178 33,200 ADVO Inc.!!................................................... 1,054 49,000 Arbitron Inc.!!............................................... 1,670 10,500 Butler Manufacturing Company.................................. 227 32,000 CDI Corporation!!............................................. 837 59,700 Central Parking Corporation................................... 1,202 34,700 Computer Task Group Inc.!!.................................... 113 24,800 Emcor Group Inc.!!............................................ 1,233 56,100 Factset Research Systems Inc.(a).............................. 1,489 47,500 Florida Rock Industries, Inc. ................................ 1,452 61,100 Global Payments Inc. ......................................... 1,564 20,500 Hall Kinion & Associates, Inc.!!.............................. 123 30,100 Heidrick & Struggles International, Inc.!!.................... 457 24,100 IMCO Recycling Inc.!!......................................... 146 20,300 Insurance Auto Auctions Inc.!!................................ 307 55,700 Kroll Inc.!!.................................................. 1,105 68,500 Labor Ready, Inc.!!(a)........................................ 433 48,000 Manhattan Associates, Inc.!!.................................. 649 36,000 MAXIMUS, Inc.!!(a)............................................ 806 22,200 Memberworks Inc.!!(a)......................................... 387 43,100 NCO Group, Inc.!!............................................. 491 44,700 On Assignment, Inc.!!......................................... 370 41,300 Pegasus Solutions Inc.!!...................................... 436 32,200 Prepaid Legal Services Inc.!!(a).............................. 640 107,300 PRG- Schultz International, Inc.!!(a)......................... 1,328 23,500 Startek, Inc.!!............................................... 517 88,500 Tetra Tech, Inc.!!(a)......................................... 707 49,800 URS Corporation!!............................................. 825 25,300 Volt Information Sciences Inc.!!.............................. 383 43,700 Watsco Inc. .................................................. 625 54,800 Watson Wyatt & Company Holdings!!............................. 1,096 -------- 23,999 -------- COMPUTER SERVICES -- 1.2% 40,200 Analysts International Corporation!!.......................... 117 47,200 CACI International, Inc.!!.................................... 1,673 77,500 Efunds Corporation!!.......................................... 727 84,800 Fair, Issac and Company Inc. ................................. 2,772 26,200 QRS Corporation!!............................................. 174 46,000 Radiant Systems, Inc.!!....................................... 368 26,000 SCM Microsystems, Inc.!!...................................... 103 23,000 TALX Corporation.............................................. 303 30,100 Zixit Corporation!!(a)........................................ 116 -------- 6,353 -------- COMPUTERS AND OFFICE EQUIPMENT -- 1.8% 177,000 Adaptec, Inc.!!............................................... 781 38,300 Brady Corporation, Class A.................................... 1,233 42,100 Hutchinson Technology, Inc.!!(a).............................. 680 31,100 Imagistics International Inc.!!............................... 540 49,100 Information Resources, Inc.!!................................. 182 35,900 Mercury Computer Systems, Inc.!!.............................. 847 29,100 Micros Systems, Inc.!!........................................ 675 97,600 Pinnacle Systems, Inc.!!...................................... 1,054 29,100 Radisys Corporation!!......................................... 115 26,900 Standard Microsystems Corporation!!........................... 411 52,400 Zebra Technologies Corporation, Class A!!..................... 2,761 -------- 9,279 --------
VALUE SHARES (000) ------------------------------------------------------------------------------------ CONGLOMERATES -- 1.0% 53,300 Advanced Energy Industries, Inc.!!............................ $ 474 47,300 Apogee Enterprises, Inc. ..................................... 517 39,700 Hughes Supply Inc. ........................................... 1,157 44,000 Insituform Technologies Inc., Class A!!(a).................... 631 34,100 Triarc Companies!!............................................ 774 46,200 Waste Connections, Inc.!!(a).................................. 1,608 -------- 5,161 -------- CONSTRUCTION -- 0.3% 32,200 ElkCorp....................................................... 550 69,600 The Shaw Group Inc.!!(a)...................................... 988 -------- 1,538 -------- CONSUMER SERVICES -- 1.3% 14,300 Angelica Corporation.......................................... 307 21,800 Building Materials Holding Corporation!!...................... 255 19,700 Concerto Software Inc.!!...................................... 117 53,800 Fedders Corporation........................................... 136 37,300 Kaman Corporation............................................. 457 96,900 La-Z-Boy Inc. ................................................ 2,248 21,600 New England Business Service, Inc. ........................... 457 21,300 Royal Appliance Manufacturing Company!!....................... 85 34,000 Russ Berrie & Company Inc. ................................... 1,020 97,800 Spherion Corporation!!........................................ 689 28,400 Thomas Industries Inc. ....................................... 704 -------- 6,475 -------- DEPARTMENT AND DISCOUNT STORES -- 0.2% 40,700 Cash America Investments Inc. ................................ 333 21,500 Factory 2-U Stores Inc.!!..................................... 42 47,900 ShopKo Stores, Inc.!!......................................... 626 -------- 1,001 -------- DIVERSIFIED ELECTRONICS -- 3.0% 99,700 Aeroflex, Inc.!!.............................................. 502 22,000 Analogic Corporation.......................................... 922 62,200 Anixter International Inc.!!.................................. 1,281 63,800 Artesyn Technologies, Inc.!!.................................. 96 39,500 Audiovox Corporation!!........................................ 276 23,900 BEI Technologies, Inc. ....................................... 263 18,200 Bel Fuse Inc. ................................................ 390 40,300 Benchmark Electronics, Inc.!!................................. 848 53,600 Checkpoint Systems Inc.!!..................................... 662 45,700 Concord Camera Corporation!!.................................. 213 55,800 CTS Corporation............................................... 257 35,000 Dionex Corporation!!.......................................... 895 32,700 EDO Corporation(a)............................................ 733 17,400 Engineered Support Systems, Inc. ............................. 992 28,000 FLIR Systems, Inc.!!.......................................... 980 36,700 Gerber Scientific Inc.!!...................................... 141 54,000 Harman International Industries, Inc. ........................ 2,795 43,400 Helix Technology Corporation.................................. 419 33,500 Itron Inc.!!.................................................. 616 26,400 Keithley Instruments, Inc. ................................... 321 60,100 Methode Electronics Inc., Class A............................. 552 53,000 Pioneer Standard Electronics, Inc.(a)......................... 384 47,700 Trimble Navigation Ltd.!!..................................... 472 24,100 Ultimate Electronics, Inc.!!.................................. 307 -------- 15,317 --------
SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------ DIVERSIFIED MANUFACTURING -- 3.7% 47,600 A.O. Smith Corporation........................................ $ 1,353 68,700 Acuity Brands, Inc. .......................................... 842 36,200 AstroPower, Inc.!!(a)......................................... 257 31,300 Barnes Group Inc. ............................................ 629 41,400 Belden Inc. .................................................. 556 41,300 CLARCOR Inc. ................................................. 1,268 26,600 Cross (A.T.) Company!!........................................ 164 27,500 CUNO Inc.!!................................................... 848 63,600 Delta and Pine Land Company................................... 1,192 55,100 Griffon Corporation!!......................................... 587 29,200 Ionics Inc.!!................................................. 695 16,000 Lawson Products............................................... 466 95,700 Lennox International Inc. .................................... 1,266 26,600 Lydall Inc.!!................................................. 314 27,400 Meade Instruments Corporation!!............................... 85 57,000 Mueller Industries, Inc.!!.................................... 1,476 52,000 Roper Industries, Inc. ....................................... 1,794 40,700 Simpson Manufacturing Company, Inc.!!......................... 1,278 21,900 SPS Technologies Inc.!!....................................... 546 20,200 Standex International Corporation............................. 410 47,400 Stewart & Stevenson Services, Inc. ........................... 464 44,700 Sturm, Ruger & Company Inc. .................................. 545 63,700 Tredegar Industries, Inc. .................................... 1,067 70,500 Vicor Corporation!!........................................... 504 44,400 Watts Industries, Inc., Class A............................... 728 -------- 19,334 -------- EDUCATION -- 0.8% 71,300 Corinthian Colleges, Inc.!!................................... 2,691 76,400 ITT Educational Services, Inc.!!.............................. 1,434 -------- 4,125 -------- ELECTRIC POWER -- NON NUCLEAR -- 1.0% 19,400 Central Vermont Public Services............................... 342 27,200 CH Energy Group, Inc. ........................................ 1,277 83,000 EL Paso Electric Company!!.................................... 986 9,500 Green Mountain Power Corporation.............................. 168 45,500 Northwestern Corporation(a)................................... 444 24,000 UIL Holdings Corporation...................................... 851 55,800 UniSource Energy Corporation.................................. 851 -------- 4,919 -------- ELECTRICAL EQUIPMENT -- 0.3% 34,500 Cohu, Inc. ................................................... 390 27,700 Intermagnetics General Corporation!!.......................... 473 37,400 Magnetek, Inc.!!.............................................. 120 22,600 Planar Systems Inc.!!......................................... 360 -------- 1,343 -------- ENERGY -- MISCELLANEOUS -- 0.2% 79,500 Avista Corporation............................................ 890 55,500 Systems & Computer Technology Corporation!!................... 389 -------- 1,279 -------- EXPLORATION AND PRODUCTION -- 2.6% 44,200 Cimarex Energy Company........................................ 762 31,500 Evergreen Resources, Inc.!!................................... 1,291 23,400 Key Production Company, Inc.!!................................ 379 28,600 Nuevo Energy Company!!........................................ 312
VALUE SHARES (000) ------------------------------------------------------------------------------------ EXPLORATION AND PRODUCTION -- (CONTINUED) 45,800 Patina Oil and Gas Corporation................................ $ 1,305 39,800 Plains Resources Inc.!!....................................... 1,026 100,900 Pogo Producing Company........................................ 3,437 21,200 Prima Energy Corporation!!.................................... 445 42,700 Southwestern Energy Company!!................................. 512 43,800 Stone Energy Corporation!!(a)................................. 1,424 72,000 Unit Corporation!!............................................ 1,379 105,200 Vintage Petroleum, Inc. ...................................... 1,136 -------- 13,408 -------- FINANCE -- MISCELLANEOUS -- 1.1% 35,500 American Financial Holdings, Inc. ............................ 1,080 41,500 Anchor Bancorp Wisconsin Inc. ................................ 838 37,300 Boston Private Financial Holdings, Inc. ...................... 794 43,000 Dime Community Bancshares..................................... 921 28,800 Sourcecorp, Inc.!!............................................ 588 28,600 SWS Group, Inc.(a)............................................ 350 32,600 UCBH Holdings Inc. ........................................... 1,281 -------- 5,852 -------- FOOD AND DRUG STORES -- 0.9% 82,500 Casey's General Stores, Inc. ................................. 953 39,800 Duane Reade Inc.!!(a)......................................... 637 90,200 Fleming Companies, Inc.(a).................................... 451 42,400 Fred's, Inc. ................................................. 1,266 19,800 Nash-Finch Company............................................ 269 64,000 The Great Atlantic & Pacific Tea Company, Inc.!!(a)........... 536 31,700 United Natural Foods, Inc.!!.................................. 730 -------- 4,842 -------- FOOD PRODUCTS -- 1.7% 29,800 American Italian Pasta Company!!(a)........................... 1,064 59,100 Corn Products International Inc. ............................. 1,699 56,300 Hain Celestial Group, Inc.!!.................................. 825 31,700 International Multifoods Corporation!!........................ 621 14,700 J & J Snack Foods Corporation!!............................... 542 48,300 Lance, Inc. .................................................. 616 74,700 Performance Food Group Company!!.............................. 2,537 49,900 Ralcorp Holdings, Inc.!!...................................... 1,061 -------- 8,965 -------- HEALTH SERVICES -- 4.6% 52,000 Accredo Health, Inc.!!........................................ 2,479 36,875 AMERIGROUP Corporation!!...................................... 1,237 34,000 AmSurg Corporation!!(a)....................................... 1,026 99,600 Coventry Health Care, Inc.!!.................................. 3,237 19,400 Curative Health Services, Inc.!!(a)........................... 210 27,100 IMPATH Inc.!!(a).............................................. 350 51,400 Invacare Corporation.......................................... 1,760 77,300 Mid Atlantic Medical Services, Inc.!!(a)...................... 2,798 57,600 NDCHealth Corporation......................................... 896 85,200 Orthodontic Centers of America, Inc.!!(a)..................... 912 41,600 PAREXEL International Corporation!!(a)........................ 354 42,500 Pediatrix Medical Group, Inc.!!............................... 1,317 80,700 Province Healthcare Company!!(a).............................. 1,384 28,400 RehabCare Group, Inc.!!....................................... 657 80,500 Renal Care Group, Inc.!!...................................... 2,648 37,900 Sunrise Assisted Living, Inc.!!(a)............................ 813
SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------ HEALTH SERVICES -- (CONTINUED) 151,800 US Oncology, Inc.!!........................................... $ 1,231 43,300 Viasys Healthcare Inc.!!...................................... 667 -------- 23,976 -------- HEAVY MACHINERY -- 2.9% 31,900 Applied Industrial Technologies, Inc. ........................ 541 32,700 Astec Industries Inc.!!....................................... 353 56,700 Baldor Electric Company....................................... 1,083 36,000 Briggs & Stratton Corporation(a).............................. 1,351 13,400 CPI Corporation............................................... 184 25,500 Flow International Corporation!!.............................. 82 26,400 Gardner Denver Machinery Inc.!!............................... 415 79,100 Graco Inc. ................................................... 1,961 53,900 IDEX Corporation.............................................. 1,539 70,900 JLG Industries, Inc. ......................................... 571 19,400 Lindsay Manufacturing Company................................. 470 43,800 Manitowoc Company, Inc. ...................................... 1,198 56,100 Milacron Inc. ................................................ 253 65,900 Paxar Corporation!!........................................... 958 41,600 Regal Beloit Corporation...................................... 712 23,200 Robbins & Myers, Inc. ........................................ 433 100,400 Timken Company................................................ 1,682 20,200 Toro Company.................................................. 1,136 33,600 X-Rite, Inc. ................................................. 260 -------- 15,182 -------- HOUSEHOLD PRODUCTS -- 0.1% 11,400 National Presto Industries, Inc. ............................. 329 26,300 Natures Sunshine Products Inc. ............................... 285 -------- 614 -------- HOUSING AND FURNISHING -- 3.2% 39,000 Applica Inc.!!................................................ 207 19,500 Bassett Furniture Industries, Inc. ........................... 269 81,700 Champion Enterprises Inc.!!(a)................................ 240 26,800 Coachmen Industries Inc. ..................................... 402 64,400 Ethan Allen Interiors Inc. ................................... 2,084 36,000 Haverty Furniture Companies, Inc. ............................ 450 85,100 Interface Inc., Class A....................................... 337 44,300 M.D.C. Holdings, Inc. ........................................ 1,564 47,900 Monaco Coach Corporation!!.................................... 959 12,600 NVR, Inc.!!................................................... 3,777 18,300 Salton, Inc.!!(a)............................................. 156 13,900 Skyline Corporation........................................... 378 53,700 Standard Pacific Corporation.................................. 1,256 43,700 The Ryland Group, Inc. ....................................... 1,624 117,800 Toll Brothers, Inc.!!(a)...................................... 2,561 -------- 16,264 -------- INSURANCE -- 2.9% 34,100 Delphi Financial Group, Inc., Class A......................... 1,242 119,000 First American Financial Corporation.......................... 2,431 124,700 Fremont General Corporation(a)................................ 611 48,800 Hilb, Rogal and Hamilton Company.............................. 2,013 30,600 Landamerica Financial Group, Inc. ............................ 1,006 35,900 Philadelphia Consolidated Holding Corporation!!............... 1,059 48,700 Presidential Life Corporation................................. 701 16,500 RLI Corporation............................................... 885 41,200 Ryerson Tull Inc. ............................................ 265
VALUE SHARES (000) ------------------------------------------------------------------------------------ INSURANCE -- (CONTINUED) 16,300 SCPIE Holdings Inc. .......................................... $ 83 43,800 Selective Insurance Group, Inc. .............................. 952 47,800 Sierra Health Services, Inc.!!................................ 858 29,300 Stewart Information Services Corporation!!.................... 626 61,100 Trenwick Group Ltd. .......................................... 318 79,000 UICI!!(a)..................................................... 1,285 31,200 Zenith National Insurance..................................... 824 -------- 15,159 -------- INTEGRATED OIL -- 1.7% 52,800 Cabot Oil & Gas Corporation................................... 1,135 84,800 Input/Output, Inc.!!.......................................... 406 73,800 Newfield Exploration Company!!................................ 2,479 41,100 Oceaneering International Inc.!!.............................. 1,046 43,400 Remington Oil & Gas Corporation!!............................. 612 46,300 St. Mary Land & Exploration Company(a)........................ 1,107 44,700 Swift Energy Company!!........................................ 465 65,200 Tom Brown, Inc.!!(a).......................................... 1,493 -------- 8,743 -------- INVESTMENT SERVICES -- 0.8% 44,700 Jefferies Group, Inc. ........................................ 1,706 80,400 Raymond James Financial, Inc. ................................ 2,176 -------- 3,882 -------- LODGING AND RECREATION -- 2.5% 29,600 Action Performance Companies, Inc.!!(a)....................... 761 37,400 Arctic Cat Inc. .............................................. 522 47,900 Argosy Gaming Company!!....................................... 1,100 62,000 Aztar Corporation!!........................................... 819 55,000 Bally Total Fitness Holding!!(a).............................. 545 59,500 Fleetwood Enterprises Inc.!!(a)............................... 401 22,674 Huffy Corporation!!........................................... 175 39,200 JAKKS Pacific, Inc.!!......................................... 436 29,800 K2 Inc.!!..................................................... 235 48,800 Marcus Corporation............................................ 639 43,000 Pinnacle Entertainment, Inc.!!................................ 314 38,400 Polaris Industries Inc. ...................................... 2,382 74,800 Prime Hospitality Corporation!!............................... 613 29,800 Shuffle Master, Inc.!!........................................ 555 47,300 Thor Industries Inc. ......................................... 1,644 31,200 Winnebago Industries(a)....................................... 1,233 53,200 WMS Industries, Inc.!!........................................ 750 -------- 13,124 -------- MEDICAL DEVICES AND SUPPLIES -- 5.5% 47,700 Advanced Medical Optics, Inc.!!............................... 454 50,900 Ameripath, Inc.!!............................................. 758 35,600 Arthrocare Corporation!!(a)................................... 431 24,500 Biosite Inc.!!(a)............................................. 710 48,200 Coherent, Inc.!!.............................................. 880 47,600 CONMED Corporation!!.......................................... 959 25,400 Cooper Companies, Inc. ....................................... 1,334 32,400 Cryolife, Inc.!!(a)........................................... 85 24,600 Datascope Corporation......................................... 666 47,400 Diagnostic Products Corporation............................... 2,179 20,500 Dianon Systems, Inc.!!........................................ 970 41,300 Haemonetics Corporation!!..................................... 980 32,300 Hologic, Inc.!!............................................... 317 108,300 Hooper Holmes, Inc. .......................................... 671
SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------ MEDICAL DEVICES AND SUPPLIES -- (CONTINUED) 23,100 ICU Medical, Inc.!!........................................... $ 844 55,300 IDEXX Laboratories, Inc.!!.................................... 1,711 34,700 INAMED Corporation!!.......................................... 798 38,600 Mentor Corporation............................................ 1,231 28,200 Osteotech, Inc.!!............................................. 146 56,700 Owens & Minor, Inc. .......................................... 810 20,200 PolyMedica Corporation!!(a)................................... 534 73,100 Priority Healthcare Corporation, Class B!!.................... 1,842 53,600 ResMed Inc.!!(a).............................................. 1,533 55,000 Respironics, Inc.!!........................................... 1,761 40,800 Sola International Inc.!!..................................... 410 28,600 SurModics, Inc.!!............................................. 909 63,100 Sybron Dental Specialties, Inc.!!............................. 883 69,100 Techne Corporation!!.......................................... 2,265 49,400 Theragenics Corporation!!..................................... 217 21,500 Vital Signs Inc. ............................................. 639 -------- 27,927 -------- METALS AND MINING -- 1.6% 24,700 A. M. Castle & Company........................................ 167 27,600 Brush Wellman Inc.!!.......................................... 215 34,100 Century Aluminum Company...................................... 237 16,900 Cleveland-Cliffs Inc. ........................................ 406 47,300 Commercial Metals Company..................................... 848 26,600 Commonwealth Industries, Inc. ................................ 140 124,400 Massey Energy Company......................................... 802 24,300 Material Sciences Corporation!!............................... 296 27,200 Quanex Corporation............................................ 944 52,700 Reliance Steel & Aluminum Company............................. 1,152 34,500 RTI International Metals, Inc.!!.............................. 362 79,000 Steel Dynamics, Inc.!!........................................ 1,034 15,900 Steel Technologies Inc. ...................................... 270 72,000 Stillwater Mining Company!!................................... 432 34,900 Texas Industries, Inc. ....................................... 847 20,400 Wolverine Tube Inc.!!......................................... 125 -------- 8,277 -------- NATURAL GAS DISTRIBUTION -- 2.7% 69,000 Atmos Energy Corporation(a)................................... 1,484 18,400 Cascade Natural Gas Corporation............................... 362 57,300 Energen Corporation........................................... 1,450 44,700 New Jersey Resources Corporation.............................. 1,471 42,300 Northwest Natural Gas Company................................. 1,242 26,200 NUI Holding Company........................................... 566 54,500 Piedmont Natural Gas Company, Inc. ........................... 1,932 91,400 Southern Union Company!!...................................... 1,033 54,900 Southwest Gas Corporation..................................... 1,222 31,400 The Laclede Group Inc. ....................................... 732 45,800 UGI Corporation............................................... 1,665 39,500 Valmont Industries Inc. ...................................... 922 -------- 14,081 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.7% 37,700 Aware Inc.!!.................................................. 78 33,100 Black Box Corporation!!....................................... 1,100 20,300 Brooktrout Inc.!!............................................. 93 60,200 C-COR.Net Corporation!!....................................... 223 73,800 Cable Design Technologies Corporation!!....................... 452
VALUE SHARES (000) ------------------------------------------------------------------------------------ NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- (CONTINUED) 53,000 Captaris Inc.!!............................................... $ 122 28,400 Concord Communications, Inc.!!................................ 143 99,000 Harmonic Inc.!!............................................... 173 51,100 NYFIX, Inc.!!(a).............................................. 199 44,400 Rainbow Technologies, Inc.!!.................................. 126 24,200 SBS Technologies, Inc.!!...................................... 173 35,800 Three-Five Systems, Inc.!!(a)................................. 166 22,500 Tollgrade Communications, Inc.!!.............................. 176 43,200 ViaSat, Inc.!!(a)............................................. 272 -------- 3,496 -------- OIL REFINING AND MARKETING -- 0.4% 25,500 CARBO Ceramics Inc. .......................................... 914 43,400 Frontier Oil Corporation...................................... 538 27,300 WD-40 Company................................................. 789 -------- 2,241 -------- OILFIELD SERVICES -- 1.2% 23,000 Atwood Oceanics, Inc.!!....................................... 673 61,900 Cal Dive International Inc.!!................................. 1,248 28,700 Dril-Quip, Inc.!!............................................. 484 47,400 Lone Star Technologies, Inc.!!................................ 562 37,200 Offshore Logistics, Inc.!!.................................... 668 33,500 SEACOR SMIT Inc.!!............................................ 1,373 51,700 Veritas DGC Inc.!!(a)......................................... 559 43,600 W-H Energy Services, Inc.!!................................... 754 -------- 6,321 -------- PACKAGING AND CONTAINERS -- 0.5% 59,700 AptarGroup, Inc. ............................................. 1,604 25,800 Libbey Inc. .................................................. 822 23,700 Mobile Mini Inc.!!(a)......................................... 307 -------- 2,733 -------- PAPER AND FOREST PRODUCTS -- 1.1% 61,400 Buckeye Technologies Inc.!!................................... 451 46,300 Caraustar Industries, Inc.!!.................................. 433 25,200 Chesapeake Corporation........................................ 376 19,900 Deltic Lumber Corporation..................................... 437 26,000 Pope & Talbot Inc. ........................................... 334 57,000 Rock-Tenn Company -- Class A.................................. 880 24,800 Schweitzer-Mauduit International, Inc. ....................... 529 54,800 United Stationers Inc.!!...................................... 1,442 29,800 Universal Forest Products, Inc. .............................. 561 -------- 5,443 -------- PHARMACEUTICALS -- 2.7% 85,200 Alpharma Inc., Class A........................................ 818 35,300 ArQule Inc.!!................................................. 182 97,300 Bio-Technology General Corporation!!.......................... 288 91,500 Cephalon, Inc.!!.............................................. 3,736 47,300 Enzo Biochem, Inc.!!(a)....................................... 676 51,100 Medicis Pharmaceutical Corporation, Class A!!(a).............. 2,088 41,800 MGI Pharma, Inc.!!............................................ 293 110,100 NBTY, Inc.!!.................................................. 1,429 37,500 Noven Pharmaceuticals, Inc.!!................................. 459 91,800 Pharmaceutical Product Development, Inc.!!.................... 1,775
SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------ PHARMACEUTICALS -- (CONTINUED) 73,100 Regeneron Pharmaceuticals, Inc.!!(a).......................... $ 987 42,200 Syncor International Corporation!!............................ 1,355 -------- 14,086 -------- PUBLISHING AND ADVERTISING -- 0.9% 32,100 Advanced Marketing Services Inc. ............................. 443 55,700 Bowne & Company Inc. ......................................... 557 22,000 Consolidated Graphics Inc.!!.................................. 386 36,200 Information Holdings Inc.!!................................... 784 48,900 John H. Harland Company....................................... 1,327 46,700 The Standard Register Company................................. 1,121 23,900 Thomas Nelson, Inc.!!......................................... 210 -------- 4,828 -------- RAILROADS, TRUCKING AND SHIPPING -- 2.4% 41,200 Arkansas Best Corporation!!................................... 1,182 83,101 Heartland Express, Inc.!!..................................... 1,557 100,200 Kansas City Southern Industries, Inc.!!....................... 1,242 39,900 Kirby Corporation!!........................................... 903 27,000 Landstar System, Inc.!!....................................... 1,324 32,100 Roadway Express, Inc.(a)...................................... 1,177 44,700 U.S. Freightways Corporation.................................. 1,282 38,300 Wabash National Corporation................................... 207 106,000 Werner Enterprises, Inc. ..................................... 1,949 48,500 Yellow Corporation!!.......................................... 1,431 -------- 12,254 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 1.5% 46,300 Capital Automotive REIT....................................... 1,157 37,300 Colonial Properties Trust..................................... 1,350 30,300 Essex Property Trust, Inc. ................................... 1,498 46,000 Glenborough Realty Trust Inc. ................................ 934 46,400 Kilroy Realty Corporation..................................... 1,100 59,500 Shurgard Storage Centers, Inc. ............................... 1,880 -------- 7,919 -------- RESTAURANTS -- 3.3% 93,000 Applebees International Inc. ................................. 2,038 46,000 CEC Entertainment Inc.!!...................................... 1,569 34,700 IHOP Corporation!!............................................ 836 65,000 Jack in the Box Inc.!!........................................ 1,482 46,300 Landry's Seafood Restaurants Inc. ............................ 1,046 36,500 Lone Star Steakhouse & Saloon, Inc. .......................... 766 37,300 Luby's Inc.!!................................................. 184 31,200 O'Charley's Inc.!!............................................ 585 41,400 P.F. Changs China Bistro Inc.!!(a)............................ 1,202 48,200 Panera Bread Company, Class A!!............................... 1,301 36,400 RARE Hospitality International, Inc.!!........................ 852 106,000 Ruby Tuesday, Inc. ........................................... 1,991 72,300 Ryan's Family Steak Houses Inc.!!............................. 880 67,100 Sonic Corporation!!........................................... 1,550 45,700 The Steak n Shake Company!!................................... 503 -------- 16,785 -------- SEMICONDUCTORS -- 3.2% 40,900 Actel Corporation!!........................................... 425 62,100 Alliance Semiconductor Corporation!!.......................... 236 50,900 ATMI, Inc.!!.................................................. 718 163,300 Axcelis Technologies, Inc.!!.................................. 797 37,300 AXT, Inc.!!................................................... 78
VALUE SHARES (000) ------------------------------------------------------------------------------------ SEMICONDUCTORS -- (CONTINUED) 56,300 Brooks-PRI Automation!!....................................... $ 645 43,200 C&D Technologies, Inc. ....................................... 633 73,500 Cognex Corporation!!.......................................... 1,022 56,500 Cymer, Inc.!!(a).............................................. 1,052 45,000 DSP Group, Inc.!!............................................. 723 29,700 Dupont Photomasks, Inc.!!..................................... 677 45,900 Electro Scientific Industries, Inc.!!(a)...................... 681 35,200 Electroglas, Inc.!!........................................... 70 72,400 ESS Technolgy, Inc.!!(a)...................................... 445 65,600 Exar Corporation!!............................................ 758 115,300 Kopin Corporation!!........................................... 401 82,000 Kulicke & Soffa Industries Inc.!!(a).......................... 246 48,000 Microsemi Corporation!!....................................... 269 32,400 Park Electrochemical Corporation.............................. 541 42,300 Pericom Semiconductor Corporation!!........................... 365 28,500 Photon Dynamics, Inc.!!(a).................................... 531 53,100 Photronics, Inc.!!............................................ 534 47,300 Power Integrations, Inc.!!.................................... 577 26,900 Rudolph Technologies, Inc.!!.................................. 277 228,500 Skyworks Solutions, Inc.!!.................................... 1,035 20,900 Supertex, Inc.!!.............................................. 217 66,600 Technitrol, Inc. ............................................. 996 37,600 Ultratech Stepper, Inc.!!..................................... 304 56,100 Varian Semiconductor Equipment Associates, Inc.!!............. 922 48,400 Veeco Instruments Inc.!!(a)................................... 523 216 Zilog, Inc.@!!(b)............................................. 0++ -------- 16,698 -------- SOFTWARE -- 3.2% 70,000 American Management Systems!!(a).............................. 891 24,200 Ansys, Inc.!!................................................. 417 59,000 Aspen Technology, Inc.!!(a)................................... 177 43,800 Avid Technology, Inc.!!....................................... 451 33,800 BARRA, Inc.!!(a).............................................. 923 32,600 Bell Microproducts Inc.!!..................................... 136 38,700 Carreker Corporation!!........................................ 237 58,900 Cerner Corporation!!.......................................... 2,074 107,500 Ciber Inc.!!.................................................. 625 66,200 Dendrite International, Inc.!!................................ 418 59,200 FileNET Corporation!!......................................... 613 55,300 Hyperion Solutions Corporation!!.............................. 1,015 46,900 JDA Software Group, Inc.!!.................................... 328 32,700 Kronos Inc.!!................................................. 805 25,100 MapInfo Corporation!!......................................... 99 77,200 Midway Games Inc.!!(a)........................................ 423 40,300 MRO Software, Inc.!!.......................................... 351 56,800 Netegrity, Inc.!!(a).......................................... 117 33,500 PC-Tel, Inc.!!................................................ 175 43,600 Phoenix Technologies Ltd.!!................................... 316 60,100 Progress Software Corporation!!............................... 727 32,500 Roxio, Inc.!!................................................. 98 67,100 SERENA Software, Inc.!!....................................... 805 28,000 SPSS, Inc.!!.................................................. 324 63,700 Take-Two Interactive Software, Inc.!!(a)...................... 1,847 65,900 THQ Inc.!!(a)................................................. 1,371 58,500 Verity, Inc.!!................................................ 582 -------- 16,345 --------
SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------ SPECIALTY STORES -- 5.8% 74,000 AnnTaylor Stores Corporation!!................................ $ 1,704 73,900 Burlington Coat Factory Warehouse Corporation................. 1,330 42,300 Cato Corporation.............................................. 803 138,900 Chico's FAS, Inc.!!(a)........................................ 2,213 36,100 Cost Plus, Inc.!!............................................. 969 21,600 Department 56, Inc.!!......................................... 226 60,600 Dress Barn, Inc.!!............................................ 943 22,800 Enesco Group, Inc.!!.......................................... 160 33,500 Footstar, Inc.!!.............................................. 261 76,700 Fossil, Inc.!!................................................ 1,538 54,100 Goody's Family Clothing Inc.!!................................ 255 48,000 Gymboree Corporation!!........................................ 783 52,000 Hot Topic, Inc.!!............................................. 938 76,500 Insight Enterprises, Inc.!!................................... 776 32,100 J. Jill Group Inc.!!.......................................... 559 31,600 Jo-Ann Stores Inc.!!(a)....................................... 886 73,200 Linens 'N Things, Inc.!!(a)................................... 1,345 88,300 O'Reilly Automotive Inc.!!.................................... 2,527 54,500 Pacific Sunwear of California, Inc.!!......................... 1,110 85,500 PEP Boys -- Manny, Moe & Jack................................. 1,047 71,900 Regis Corporation............................................. 2,034 30,300 School Specialty, Inc.!!...................................... 758 39,400 SCP Pool Corporation!!(a)..................................... 1,080 69,200 Stein Mart Inc.!!............................................. 404 70,700 The Men's Wearhouse, Inc.!!................................... 1,039 56,300 Too Inc.!!.................................................... 1,311 50,500 Wet Seal, Inc., Class A!!..................................... 505 56,700 Zale Corporation!!............................................ 1,710 -------- 29,214 -------- STEEL -- 0.1% 67,900 Maverick Tube Corporation!!................................... 602 -------- TELECOMMUNICATIONS SERVICES -- 0.5% 50,700 Allen Telecom Inc.!!.......................................... 271 28,800 Boston Communications Group, Inc.!!........................... 297 21,700 Catapult Communications Corporation!!......................... 212 36,900 Digi International Inc.!!..................................... 72 92,000 General Communication, Inc., Class A!!........................ 346 40,400 Inter-Tel Inc. ............................................... 821 40,900 Metro One Telecommunications, Inc.!!(a)....................... 348 37,100 Network Equipment Technologies Inc.!!......................... 139 36,600 SymmetriCom Inc.!!(a)......................................... 94 -------- 2,600 -------- TOBACCO -- 0.1% 74,200 DiMon Inc. ................................................... 463 --------
VALUE SHARES (000) ------------------------------------------------------------------------------------ UTILITIES -- MISCELLANEOUS -- 0.6% 25,200 American States Water Company................................. $ 661 114,400 Philadelphia Suburban Corporation!!........................... 2,322 -------- 2,983 -------- TOTAL COMMON STOCKS (Cost $588,669)............................................. 511,278 -------- SHARES (000) ------- INVESTMENT COMPANIES -- 11.7% (Cost $60,277) 60,277 Nations Cash Reserves, Capital Class Shares#.................. 60,277 -------- TOTAL INVESTMENTS (Cost $648,946*).................................. 110.8% 571,555 -------- OTHER ASSETS AND LIABILITIES (NET).................. (10.8)% Cash.......................................................... $ 45 Receivable for investment securities sold..................... 4,572 Receivable for Fund shares sold............................... 6,604 Dividends receivable.......................................... 352 Interest receivable........................................... 6 Receivable from investment advisor............................ 25 Receivable for variation margin............................... 6 Collateral on securities loaned............................... (56,094) Payable for Fund shares redeemed.............................. (2,315) Administration fee payable.................................... (99) Shareholder servicing and distribution fees payable........... (2) Payable for investment securities purchased................... (8,405) Accrued Trustees' fees and expenses........................... (66) Accrued expenses and other liabilities........................ (113) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (55,484) -------- NET ASSETS.......................................... 100.0% $516,071 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 806 Accumulated net realized loss on investments sold and futures contracts................................................... (16,326) Net unrealized depreciation of investments and futures contracts................................................... (77,379) Paid-in capital............................................... 608,970 -------- NET ASSETS.................................................... $516,071 ========
SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2002 (UNAUDITED)
VALUE ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($507,944,027 / 43,086,647 shares outstanding).............. $11.79 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($8,127,335 / 691,674 shares outstanding)................... $11.75 ========
--------------- *Federal income tax information (see Note 12). @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. && All or a portion of security segregated as collateral for futures contracts. ++Amount represents less than $500. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 11). The portion that represents cash collateral is $56,094. (a) All or a portion of security was on loan on September 30, 2002. The aggregate cost and market value of securities on loan at September 30, 2002 is $70,549 and $53,093, respectively. (b) Fair valued security. SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2002
LARGECAP MANAGED MIDCAP SMALLCAP INDEX INDEX INDEX INDEX ----------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $46, $8, $0 and $1, respectively)..................... $ 8,787 $ 1,122 $ 4,041 $ 2,141 Dividend income from affiliated funds.............. 141 46 191 62 Interest........................................... -- -- 23 -- Securities lending................................. 55 5 60 78 -------------- -------------- -------------- -------------- Total investment income........................ 8,983 1,173 4,315 2,281 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee............................ 2,209 373 1,564 1,097 Administration fee................................. 1,270 215 899 631 Transfer agent fees................................ 202 33 98 75 Custodian fees..................................... 74 27 27 111 Legal and audit fees............................... 53 46 50 48 Registration and filing fees....................... 33 46 24 33 Trustees fees and expenses......................... 7 7 7 7 Interest expense................................... 1 1 -- --* Printing expense................................... 28 18 18 21 Other.............................................. 22 6 12 10 -------------- -------------- -------------- -------------- Subtotal....................................... 3,899 772 2,699 2,033 Shareholder servicing and distribution fees: Primary B Shares................................. -- -- -- -- Investor A Shares................................ 36 26 2 11 -------------- -------------- -------------- -------------- Total expenses................................. 3,935 798 2,701 2,044 Fees waived by investment advisor and/or distributor...................................... (1,965) (304) (1,331) (934) Fees reduced by credits allowed by the custodian... (1) --* --* (1) -------------- -------------- -------------- -------------- Net expenses................................... 1,969 494 1,370 1,109 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME/(LOSS)....................... 7,014 679 2,945 1,172 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions............................ (86,470) (20,755) 2,945 (9,104) Written options.................................. -- (70) -- -- Futures contracts................................ (1,743) (2,764) (2,569) (735) Swap contracts................................... -- 1,528 -- -- Foreign currency transactions and net other assets......................................... -- (91) -- -- -------------- -------------- -------------- -------------- Net realized gain/(loss) on investments............ (88,213) (22,152) 376 (9,839) -------------- -------------- -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities....................................... (281,993) (41,468) (225,792) (145,657) Written options.................................. -- 8,068 -- -- Futures contracts................................ (1,836) (412) (140) (45) Investments sold short........................... -- (2,271) -- -- Swap contracts................................... -- (4,594) -- -- Foreign currency transactions and net other assets......................................... -- 90 -- -- -------------- -------------- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments....... (283,829) (40,587) (225,932) (145,702) -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments...................................... (372,042) (62,739) (225,556) (155,541) -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................. $ (365,028) $ (62,060) $ (222,611) $ (154,369) ============== ============== ============== ==============
--------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 30 [This page intentionally left blank.] 31 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
LARGECAP INDEX --------------------------------- SIX MONTHS ENDED 9/30/02 YEAR ENDED (UNAUDITED) 3/31/02 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 7,014 $ 19,820 Net realized gain/(loss) on investments..................... (88,213) (18,467) Net change in unrealized appreciation/(depreciation) of investments............................................... (283,829) (7,396) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ (365,028) (6,043) Distributions to shareholders from net investment income: Primary A Shares.......................................... (3,172) (19,082) Primary B Shares.......................................... -- -- Investor A Shares......................................... (67) (262) Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... -- -- Primary B Shares.......................................... -- -- Investor A Shares......................................... -- -- Net increase/(decrease) in net assets from Fund share transactions.............................................. (60,119) (707,032) -------------- -------------- Net increase/(decrease) in net assets....................... (428,386) (732,419) -------------- -------------- NET ASSETS: Beginning of period......................................... 1,316,688 2,049,107 -------------- -------------- End of period............................................... $ 888,302 $ 1,316,688 ============== ============== Undistributed net investment income at end of period........ $ 4,380 $ 605 ============== ==============
--------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MANAGED INDEX MIDCAP INDEX SMALLCAP INDEX ----------------------------------- ------------------------------- ------------------------------- 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 ------------------------------------------------------------------------------------------------------- $ 679 $ 2,682 $ 2,945 $ 3,656 $ 1,172 $ 1,602 (22,152) 54,563 376 14,259 (9,839) 3,458 (40,587) (48,908) (225,932) 65,652 (145,702) 67,460 -------------- -------------- -------------- -------------- -------------- -------------- (62,060) 8,337 (222,611) 83,567 (154,369) 72,520 (350) (2,555) (1,361) (3,600) (518) (1,774) -- --* -- -- -- -- (38) (182) (2) (3) (8) (20) (7,723) (29,418) (7,133) (22,708) (2,412) (6,720) -- --* -- -- -- -- (983) (2,744) (15) (19) (39) (175) 8,945 (136,090) 331,839 280,373 165,609 180,995 -------------- -------------- -------------- -------------- -------------- -------------- (62,209) (162,652) 100,717 337,610 8,263 244,826 -------------- -------------- -------------- -------------- -------------- -------------- 215,550 378,202 680,328 342,718 507,808 262,982 -------------- -------------- -------------- -------------- -------------- -------------- $ 153,341 $ 215,550 $ 781,045 $ 680,328 $ 516,071 $ 507,808 ============== ============== ============== ============== ============== ============== $ 515 $ 224 $ 1,663 $ 81 $ 806 $ 160 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
LARGECAP INDEX SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 ------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 4,295 $ 79,662 10,289 $ 230,175 Issued as reinvestment of dividends....................... 114 2,170 690 14,886 Redeemed.................................................. (7,464) (139,943) (43,330) (958,520) ------ --------- ------- --------- Net increase/(decrease)................................... (3,055) $ (58,111) (32,351) $(713,459) ====== ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 429 $ 8,117 1,053 $ 23,399 Issued as reinvestment of dividends....................... 3 56 10 218 Redeemed.................................................. (569) (10,181) (783) (17,190) ------ --------- ------- --------- Net increase/(decrease)................................... (137) $ (2,008) 280 $ 6,427 ====== ========= ======= ========= Total net increase/(decrease)............................. (3,192) $ (60,119) (32,071) $(707,032) ====== ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MANAGED INDEX SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,894 $ 34,397 4,715 $ 65,240 Issued as reinvestment of dividends....................... 140 1,789 1,267 19,401 Redeemed.................................................. (2,111) (25,074) (15,604) (216,096) ------ -------- ------- --------- Net increase/(decrease)................................... 923 $ 11,112 (9,622) $(131,455) ====== ======== ======= ========= PRIMARY B SHARES: Sold...................................................... -- $ -- --* $ 2 Issued as reinvestment of dividends....................... -- -- --* --* Redeemed.................................................. -- -- --* (7) ------ -------- ------- --------- Net increase/(decrease)................................... -- $ -- --* $ (5) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 235 $ 2,748 277 $ 3,930 Issued as reinvestment of dividends....................... 67 854 162 2,499 Redeemed.................................................. (523) (5,769) (798) (11,059) ------ -------- ------- --------- Net increase/(decrease)................................... (221) $ (2,167) (359) $ (4,630) ====== ======== ======= ========= Total net increase/(decrease)............................. 702 $ 8,945 (9,981) $(136,090) ====== ======== ======= =========
--------------- * Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MIDCAP INDEX SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 46,948 $392,120 49,996 $ 432,941 Issued as reinvestment of dividends....................... 364 3,306 2,609 24,315 Redeemed.................................................. (8,325) (65,081) (20,467) (177,712) ------ -------- ------- --------- Net increase/(decrease)................................... 38,987 $330,345 32,138 $ 279,544 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 257 $ 2,121 142 $ 1,223 Issued as reinvestment of dividends....................... 2 15 2 22 Redeemed.................................................. (81) (642) (50) (416) ------ -------- ------- --------- Net increase/(decrease)................................... 178 $ 1,494 94 $ 829 ====== ======== ======= ========= Total net increase/(decrease)............................. 39,165 $331,839 32,232 $ 280,373 ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SMALLCAP INDEX SIX MONTHS ENDED SEPTEMBER 30, 2002 YEAR ENDED (UNAUDITED) MARCH 31, 2002 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 18,141 $258,682 23,732 $ 337,382 Issued as reinvestment of dividends....................... 60 932 241 3,530 Redeemed.................................................. (7,053) (95,835) (11,407) (160,878) ------ -------- ------- --------- Net increase/(decrease)................................... 11,148 $163,779 12,566 $ 180,034 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 886 $ 11,881 1,059 $ 15,171 Issued as reinvestment of dividends....................... 3 41 11 162 Redeemed.................................................. (757) (10,092) (1,004) (14,372) ------ -------- ------- --------- Net increase/(decrease)................................... 132 $ 1,830 66 $ 961 ====== ======== ======= ========= Total net increase/(decrease)............................. 11,280 $165,609 12,632 $ 180,995 ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 37 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 ------------------------------------------------------------------------- LARGECAP INDEX PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $22.09 $0.12 $(6.40) $(6.28) $(0.06) Year ended 3/31/2002#..................... 22.35 0.24 (0.27) (0.03) (0.23) Year ended 3/31/2001#..................... 28.90 0.24 (6.55) (6.31) (0.24) Year ended 3/31/2000#..................... 25.06 0.26 4.09 4.35 (0.25) Year ended 3/31/1999...................... 22.41 0.26 3.63 3.89 (0.25) Year ended 3/31/1998#..................... 15.89 0.27 7.11 7.38 (0.27) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $21.98 $0.10 $(6.38) $(6.28) $(0.04) Year ended 3/31/2002#..................... 22.24 0.18 (0.26) (0.08) (0.18) Year ended 3/31/2001#..................... 28.76 0.17 (6.52) (6.35) (0.17) Year ended 3/31/2000#..................... 24.94 0.19 4.08 4.27 (0.19) Year ended 3/31/1999...................... 22.31 0.19 3.63 3.82 (0.20) Year ended 3/31/1998#..................... 15.87 0.21 7.05 7.26 (0.23) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- LARGECAP INDEX PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001#..................... (0.00)## Year ended 3/31/2000#..................... (0.26) Year ended 3/31/1999...................... (0.99) Year ended 3/31/1998#..................... (0.59) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $ -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001#..................... (0.00)## Year ended 3/31/2000#..................... (0.26) Year ended 3/31/1999...................... (0.99) Year ended 3/31/1998#..................... (0.59)
--------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (Note 2) on the operating 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. 38 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS RATIO OF AND/OR EXPENSE OPERATING REIMBURSEMENTS EXPENSES --------------- RATIO OF INCLUDING RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INTEREST INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES EXPENSE INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------------------- $(0.06) $15.75 (28.49)% $ 866,775 0.35%+(a) 0.35%+(a)(b) 1.28%+ 4% 0.71%+(a) (0.23) 22.09 (0.09) 1,283,450 0.35(a) 0.35(a)(b) 1.05 7 0.68(a) (0.24) 22.35 (21.94) 2,021,690 0.35(a) 0.35(a)(b) 0.88 8 0.68(a) (0.51) 28.90 17.58 2,826,486 0.35(a) 0.35(a)(b) 0.96 7 0.71(a) (1.24) 25.06 18.26 933,313 0.35(a) 0.35(a)(b) 1.17 4 0.71(a) (0.86) 22.41 47.38 656,523 0.35(a) 0.36(a) 1.39 26 0.66(a) $(0.04) $15.66 (28.59)% $ 21,527 0.60%+(a) 0.60%+(a)(b) 1.03%+ 4% 0.96%+(a) (0.18) 21.98 (0.30) 33,238 0.60(a) 0.60(a)(b) 0.80 7 0.93(a) (0.17) 22.24 (22.18) 27,417 0.60(a) 0.60(a)(b) 0.63 8 0.93(a) (0.45) 28.76 17.32 28,943 0.60(a) 0.60(a)(b) 0.71 7 0.96(a) (1.19) 24.94 18.00 13,827 0.60(a) 0.60(a)(b) 0.92 4 0.96(a) (0.82) 22.31 46.58 4,595 0.60(a) 0.61(a) 1.14 26 0.91(a)
SEE NOTES TO FINANCIAL STATEMENTS. 39 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- MANAGED INDEX PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $14.00 $0.04 $(3.94) $(3.90) $(0.03) Year ended 3/31/2002#..................... 14.90 0.12 0.39 0.51 (0.12) Year ended 3/31/2001#..................... 22.04 0.13 (4.46) (4.33) (0.12) Year ended 3/31/2000#..................... 19.39 0.16 2.78 2.94 (0.16) Year ended 3/31/1999#..................... 17.14 0.18 2.40 2.58 (0.18) Year ended 3/31/1998...................... 11.89 0.15 5.42 5.57 (0.17) PRIMARY B SHARES Six months ended 9/30/2002# (unaudited)... $14.08 $0.02 $(2.84) $(2.82) $(0.02) Year ended 3/31/2002#..................... 14.99 0.05 0.38 0.43 (0.05) Year ended 3/31/2001#..................... 22.16 0.04 (4.49) (4.45) (0.03) Year ended 3/31/2000#..................... 19.38 0.06 2.78 2.84 (0.06) Year ended 3/31/1999#..................... 17.11 0.09 2.41 2.50 (0.08) Period ended 3/31/1998*................... 14.52 0.14 2.73 2.87 (0.13) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $13.99 $0.03 $(3.95) $(3.92) $(0.02) Year ended 3/31/2002#..................... 14.89 0.08 0.40 0.48 (0.09) Year ended 3/31/2001#..................... 22.04 0.08 (4.47) (4.39) (0.07) Year ended 3/31/2000#..................... 19.39 0.11 2.78 2.89 (0.11) Year ended 3/31/1999#..................... 17.14 0.14 2.39 2.53 (0.13) Year ended 3/31/1998...................... 11.89 0.14 5.40 5.54 (0.14) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- MANAGED INDEX PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $(0.54) Year ended 3/31/2002#..................... (1.29) Year ended 3/31/2001#..................... (2.69) Year ended 3/31/2000#..................... (0.13) Year ended 3/31/1999#..................... (0.15) Year ended 3/31/1998...................... (0.15) PRIMARY B SHARES Six months ended 9/30/2002# (unaudited)... $(0.54) Year ended 3/31/2002#..................... (1.29) Year ended 3/31/2001#..................... (2.69) Year ended 3/31/2000#..................... -- Year ended 3/31/1999#..................... (0.15) Period ended 3/31/1998*................... (0.15) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $(0.54) Year ended 3/31/2002#..................... (1.29) Year ended 3/31/2001#..................... (2.69) Year ended 3/31/2000#..................... (0.13) Year ended 3/31/1999#..................... (0.15) Year ended 3/31/1998...................... (0.15)
--------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Managed Index Primary B Shares commenced operations on September 4, 1997. **Amount represents less than $500. # Per share net investment income has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 40 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) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------------ $(0.57) $ 9.53 (28.96)% $138,166 0.50%+(a)(b) 0.76%+ 144% 0.83%+(a) (1.41) 14.00 2.80 190,130 0.50(a)(b) 0.83 345 0.75(a) (2.81) 14.90 (21.49) 345,795 0.50(a)(b) 0.67 97 0.70(a) (0.29) 22.04 15.33 593,317 0.50(a)(b) 0.80 64 0.72(a) (0.33) 19.39 15.25 665,631 0.50(a) 1.03 35 0.73(a) (0.32) 17.14 47.54 374,504 0.50(a)(b) 1.26 30 0.80(a) $(0.56) $10.70 (28.72)% $ --** 1.00%+(a)(b) 0.26%+ 144% 1.43%+(a) (1.34) 14.08 2.17 --** 1.00(a)(b) 0.33 345 1.35(a) (2.72) 14.99 (21.90) 5 1.00(a)(b) 0.17 97 1.30(a) (0.06) 22.16 14.70 6 1.00(a)(b) 0.30 64 1.32(a) (0.23) 19.38 14.78 4 1.00(a) 0.53 35 1.33(a) (0.28) 17.11 18.24 3 1.00+(a)(b) 0.76+ 30 1.30+(a) $(0.56) $ 9.51 (29.09)% $ 15,175 0.75%+(a)(b) 0.51%+ 144% 1.08%+(a) (1.38) 13.99 2.55 25,420 0.75(a)(b) 0.58 345 1.00(a) (2.76) 14.89 (21.75) 32,402 0.75(a)(b) 0.42 97 0.95(a) (0.24) 22.04 15.04 51,433 0.75(a)(b) 0.55 64 0.97(a) (0.28) 19.39 14.97 51,439 0.75(a) 0.78 35 0.98(a) (0.29) 17.14 47.21 25,447 0.75(a)(b) 1.01 30 1.05(a)
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- MIDCAP INDEX PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $ 9.31 $0.03 $(2.29) $(2.26) $(0.01) Year ended 3/31/2002#..................... 8.39 0.07 1.46 1.53 (0.06) Period ended 3/31/2001*................... 10.00 0.08 (0.72) (0.64) (0.08) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $ 9.33 $0.02 $(2.29) $(2.27) $(0.01) Year ended 3/31/2002#..................... 8.41 0.05 1.46 1.51 (0.04) Period ended 3/31/2001*................... 9.55 0.05 (0.24) (0.19) (0.06) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- MIDCAP INDEX PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $(0.08) Year ended 3/31/2002#..................... (0.55) Period ended 3/31/2001*................... (0.89) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $(0.08) Year ended 3/31/2002#..................... (0.55) Period ended 3/31/2001*................... (0.89)
--------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * MidCap Index Primary A and Investor A Shares were first offered on March 31, 2000 and May 31, 2000, respectively. # Per share net investment income has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS RATIO OF AND/OR EXPENSE OPERATING REIMBURSEMENTS EXPENSES --------------- RATIO OF INCLUDING RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INTEREST INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES EXPENSE INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------------------- $(0.09) $6.96 (24.45)% $778,964 0.35%+(a) 0.35%+(a) 0.76%+ 9% 0.69%+(a) (0.61) 9.31 18.29 679,205 0.35(a) 0.35(a) 0.82 16 0.72(a) (0.97) 8.39 (7.27) 342,503 0.35(a) 0.36(a) 0.82 69 0.75(a) $(0.09) $6.97 (24.56)% $ 2,081 0.60%+(a) 0.60%+(a) 0.51%+ 9% 0.94%+(a) (0.59) 9.33 17.99 1,123 0.60(a) 0.60(a) 0.57 16 0.97(a) (0.95) 8.41 (2.84) 215 0.60+(a) 0.60+(a) 0.57+ 69 1.00+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 43 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 INDEX PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $15.63 $0.03 $(3.79) $(3.76) $(0.01) Year ended 3/31/2002#..................... 13.24 0.06 2.73 2.79 (0.07) Year ended 3/31/2001#..................... 13.53 0.08 (0.31) (0.23) (0.06) Year ended 3/31/2000#..................... 11.04 0.04 2.49 2.53 (0.04) Year ended 3/31/1999#..................... 14.10 0.06 (2.92) (2.86) (0.06) Year ended 3/31/1998...................... 9.83 0.06 4.58 4.64 (0.06) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $15.60 $0.01 $(3.78) $(3.77) $(0.01) Year ended 3/31/2002#..................... 13.22 0.03 2.72 2.75 (0.04) Year ended 3/31/2001#..................... 13.52 0.04 (0.32) (0.28) (0.02) Year ended 3/31/2000#..................... 11.03 0.01 2.49 2.50 (0.01) Year ended 3/31/1999#..................... 14.08 0.03 (2.91) (2.88) (0.03) Year ended 3/31/1998...................... 9.82 0.03 4.57 4.60 (0.03) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- SMALLCAP INDEX PRIMARY A SHARES Six months ended 9/30/2002# (unaudited)... $(0.07) Year ended 3/31/2002#..................... (0.33) Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... -- Year ended 3/31/1999#..................... (0.14) Year ended 3/31/1998...................... (0.31) INVESTOR A SHARES Six months ended 9/30/2002# (unaudited)... $(0.07) Year ended 3/31/2002#..................... (0.33) Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... -- Year ended 3/31/1999#..................... (0.14) Year ended 3/31/1998...................... (0.31)
--------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS RATIO OF NET AND/OR EXPENSE OPERATING REIMBURSEMENTS EXPENSES --------------- RATIO OF INCLUDING RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INTEREST INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSE EXPENSE INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS RATE NET ASSETS --------------------------------------------------------------------------------------------------------------------------------- $(0.08) $11.79 (24.19)% $507,944 0.40%+(a) 0.40%+(a)(b) 0.43%+ 11% 0.74%+(a) (0.40) 15.63 21.30 499,084 0.40(a) 0.40(a)(b) 0.46 18 0.76(a) (0.06) 13.24 (1.74) 256,465 0.41(a) 0.41(a)(b) 0.56 65 0.79(a) (0.04) 13.53 22.97 196,593 0.50(a) 0.51(a) 0.35 53 0.77(a) (0.20) 11.04 (20.50) 189,379 0.50(a) 0.50(a)(b) 0.52 65 0.82(a) (0.37) 14.10 47.71 102,437 0.50(a) 0.50(a)(b) 0.52 62 1.02(a) $(0.08) $11.75 (24.30)% $ 8,127 0.65%+(a) 0.65%+(a)(b) 0.18%+ 11% 0.99%+(a) (0.37) 15.60 20.97 8,724 0.65(a) 0.65(a)(b) 0.21 18 1.01(a) (0.02) 13.22 (2.06) 6,517 0.66(a) 0.66(a)(b) 0.31 65 1.04(a) (0.01) 13.52 22.67 7,610 0.75(a) 0.76(a) 0.10 53 1.02(a) (0.17) 11.03 (20.67) 9,782 0.75(a) 0.75(a)(b) 0.27 65 1.07(a) (0.34) 14.08 47.35 13,768 0.75(a) 0.75(a)(b) 0.27 62 1.27(a)
SEE NOTES TO FINANCIAL STATEMENTS. 45 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 the four index portfolios of Funds Trust: LargeCap Index Fund, Managed Index Fund, MidCap Index Fund and SmallCap Index Fund (each a "Fund" and collectively, the "Funds"). Financial statements for the other portfolios of Funds Trust are presented under separate cover. The Funds currently offer two classes of shares: Primary A Shares and Investor A Shares. Managed Index also offers Primary B Shares. Shareholders of a Fund have equal voting rights on matters affecting all shareholders of the Fund. In addition, each class of shares of a Fund has exclusive voting rights on matters that relate solely to that class and separate voting rights on matters in which the interests of one class differ from the interests of any other class. 1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. Securities valuation: Securities, including options and futures contracts, traded on a recognized exchange or on NASDAQ are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded only over-the-counter are valued at the last sale price, or if no sale occurred on such day, at the mean of the current bid and asked prices. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. Investments in other Nations Funds are valued at their net asset value as determined by the applicable Nations Funds' prospectus. Futures contracts: All Funds may invest in futures contracts for the purposes of hedging against changes in values of the Fund's securities or changes in the prevailing levels of interest rates or currency exchange rates or to gain exposure to the equity markets. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect changes in the market value of the contract. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts, that a change in the value of the contract may not correlate with a change in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. Options: The Funds may purchase put options on stock index futures contracts, stock indices or equity securities for the purpose of hedging the relevant portion of their portfolio securities against an anticipated market-wide decline or against declines in the values of individual portfolio securities, and may purchase call options on such futures contracts as a hedge against a market advance when they are not fully invested. A Fund may write options on such futures contracts primarily for the purpose of terminating existing positions. The Funds may also engage these techniques for non-hedging purposes such as seeking yield enhancement. The Funds may write covered call options and put options on securities in which they are permitted to invest from time to time in seeking to attain each Fund's objective. Call options written by a Fund give the holder the right to buy the underlying securities from the Fund at a stated exercise price; put options give the holder the right to sell the underlying security to the Fund at a stated price. In the case of put options, a Fund is required to maintain in a separate account liquid assets with a value equal to or greater than the exercise price of the underlying securities. The Funds may also write 46 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) combinations of covered puts and calls on the same underlying security. When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. The Funds typically receive a premium from writing a put or call option, which would increase the Funds' return in the event the option expires unexercised or is closed out at a profit. The amount of the premium would reflect, among other things, the relationship of the market price of the underlying security to the exercise price of the option, the term of the option and the volatility of the market price of the underlying security. By writing a call option, a Fund limits its opportunity to profit from any increase in the market value of the underlying security above the exercise price of the option. By writing a put option, a Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss if the purchase price exceeds the market value plus the amount of the premium received. A Fund may terminate an option that it has written prior to its expiration by entering into a closing purchase transaction in which it purchases an option having the same terms as the option written. The Fund will realize a profit or loss from such transaction if the cost of such transaction is less or more than the premium received from the writing of the option. In the case of a put option, any loss so incurred may be partially or entirely offset by the premium received from a simultaneous or subsequent sale of a different put option. Because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from the repurchase of a call option is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by a Fund. Swaps: The Funds may engage in swap transactions such as interest rate, total return, index or currency swaps, consistent with its investment objective and policies. Swaps involve the exchange by the Fund with another party of their respective commitments to pay or receive interest or total return throughout the lives of the agreements. The interest to be paid or received on interest rate swaps is included in dividend income. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of net assets. A realized gain or loss is recorded upon termination of swap agreements and is equal to the difference between the Fund's basis in the swap and the proceeds from (or cost of) the closing transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that the swap contract counterparties will be able to meet their obligations pursuant to the swap contracts or that, in the event of default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to the swap contracts. The creditworthiness of the swap contract counterparties is closely monitored in order to minimize this risk. The use of derivative instruments involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statement of net assets. When-issued/Delayed delivery securities: Securities purchased or sold on a delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Fund enters into such transactions, it instructs its custodian to segregate assets with a current value at least equal to the amount of its delayed-delivery purchase commitments. Securities transactions and investment income: Securities transactions are recorded on trade date. Realized gains and losses are computed based on the specific identification of securities sold. Interest income, adjusted for accretion of discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income is recorded on ex- dividend date. Each Fund's investment income and realized and unrealized gains and losses are allocated among its share classes based upon the relative net assets of each class of shares. Dividends and distributions to shareholders: Effective August 1, 2002, distributions from net investment income are declared and paid at least annually for each of the Funds. Prior to August 1, 2002, distributions from net investment income were declared and paid each month by the Managed Index Fund; all other Funds declared and 47 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) paid distributions each calendar quarter. Each Fund will distribute net realized capital gains (including net short-term capital gains, if any) at least annually after the fiscal year in which the capital gains were earned, unless offset by any available capital loss carryforward. Income distributions and capital gain distributions on a Fund level are determined in accordance with federal income tax regulations which may differ from accounting principles generally accepted in the United States of America. Federal income tax: Each Fund intends to continue to qualify as a regulated investment company by complying with the applicable requirements of the Internal Revenue Code of 1986, as amended, and by distributing substantially all of its earnings to its shareholders. Therefore, no provision is made for federal income or excise taxes. Expenses: General expenses of 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. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Funds 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 Funds. Under the terms of the Investment Advisory Agreement, BA Advisors is entitled to receive an advisory fee, calculated daily and payable monthly, at the maximum annual rate of 0.40% of each Fund's average daily net assets. Funds Trust has entered into a sub-advisory agreement with BA Advisors and Banc of America Capital Management, LLC ("BACAP"), a wholly-owned subsidiary of Bank of America, pursuant to which BACAP is entitled to receive a sub-advisory fee from BA Advisors at the maximum annual rate of 0.10% of each Fund's average daily net assets. Stephens Inc. ("Stephens") and BA Advisors serve as co-administrators of Funds Trust. Under the co-administration agreements, Stephens and BA Advisors are currently entitled to receive a combined fee, computed daily and paid monthly, at the maximum annual rate of 0.23% of each Fund's average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of Funds Trust pursuant to agreements with BA Advisors. For the six months ended September 30, 2002, Stephens and BA Advisors earned 0.07% and 0.10%, respectively, of the Funds' average daily net assets for their co-administration services. BA Advisors and/or the sub-adviser and/or Stephens may, from time to time, reduce their fees payable by each Fund. During the six months ended September 30, 2002 and until July 31, 2003, BA Advisors and/or the sub-adviser and/or Stephens have agreed to reimburse expenses and/or waive their fees to the extent that total expenses (excluding shareholder servicing and distribution fees), as a percentage of the respective Fund's average daily net assets, exceed the following annual rates:
FUND ANNUAL RATE --------------------------------------------------------- LargeCap Index Fund and MidCap Index Fund... 0.35% SmallCap Index Fund......................... 0.40% Managed Index Fund.......................... 0.50%
BA Advisors is entitled to recover from LargeCap Index Fund, Managed Index Fund and SmallCap Index Fund any fees waived or expenses reimbursed by BA Advisors 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 AMOUNT TO RECOVER WITHIN 3 YEARS FUND AS OF 9/30/02 ------------------------------------------------------------- LargeCap Index....................... $1,602,571 Managed Index........................ 253,262 SmallCap Index....................... 794,860
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 $2,185 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- 48 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) transfer agent for the Primary A and Primary B Shares of the Funds. For the six months ended September 30, 2002, Bank of America earned approximately $9,798 for providing such services. Stephens also serves as distributor of the Funds' shares. No officer, director or employee of Bank of America, BA Advisors or BACAP, or any affiliate thereof, receives any 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. 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 a shareholder administration plan for Primary B Shares of the Managed Index Fund. Funds Trust has adopted a combined shareholder servicing and distribution plan for the Investor A Shares of each Fund. The shareholder administration plan permits Managed Index Fund to compensate institutions for shareholder administration services provided to customers that own Primary B Shares. The shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. The distribution plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to compensate or reimburse the distributor and/or selling agents for activities or expenses primarily intended to result in the sale of the classes' shares. Payments are made at an annual rate, as a percentage of average daily net assets, set from time to time by the Board of Trustees, and are charged as expenses of each Fund directly to the applicable class. A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BA Advisors. For the 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 RATE (AFTER FEE PLAN WAIVERS) LIMIT ------------------- PRIMARY B SHAREHOLDER ADMINISTRATION PLAN: Managed Index Fund................ 0.50%* 0.60% Investor A Combined Shareholder Servicing and Distribution Plan............................ 0.25% 0.25%
--------------- *During the six months ended September 30, 2002 and until July 31, 2003, BA Advisors has agreed to waive Primary B Shareholder Administration fees as a percentage of the Managed Index Fund's average daily net assets at an annual rate of 0.10% 4. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2002 were as follows:
PURCHASES SALES (000) (000) -------------------- LargeCap Index.................... $ 40,452 $111,149 Managed Index..................... 316,496 322,714 MidCap Index...................... 391,044 66,840 SmallCap Index.................... 224,925 57,721
49 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 5. FUTURES CONTRACTS At September 30, 2002, the following Funds had futures contracts open:
UNREALIZED VALUE OF CONTRACT MARKET VALUE OF APPRECIATION/ NUMBER OF WHEN OPENED CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) ------------------------------------------------------------------------------------------------------------------------------ LARGECAP INDEX: S&P 500 Futures (long position) Expiring December 2002(a)... 111 $24,617 $22,616 $(2,001) ======= MANAGED INDEX: S&P 500 Futures (long position) Expiring December 2002(a)... 55 11,545 11,206 $ (339) ======= MIDCAP INDEX: MidCap 400 Futures (long position) Expiring December 2002(a)................................................... 29 5,942 5,914 $ (28) ======= SMALLCAP INDEX: Russell 200 Futures (long position) Expiring December 2002(a)................................................... 9 1,619 1,631 $ 12 =======
--------------- (a)Securities have been segregated as collateral for each Fund's open futures contracts. 6. WRITTEN OPTIONS Written options for the Managed Index Fund for the six months ended September 30, 2002 aggregated the following:
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS CONTRACTS (000) ---------------------------------------------------------------------------------- Options outstanding at March 31, 2002....................... 10,015 $ 753 Options written............................................. 53,425 17,233 Options terminated in closing purchase transactions......... (11,855) (2,530) Options expired............................................. (17,300) (2,634) ------- ------- Options outstanding at September 30, 2002................... 34,285 $12,822 ======= =======
50 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 7. SWAP CONTRACTS At September 30, 2002, the Managed Index Fund had the following swap contracts outstanding:
FLOATING RATE/ FLOATING RATE/ FIXED RATE UNREALIZED NOTIONAL FIXED RATE PAYMENTS APPRECIATION/ AMOUNT PAYMENTS RECEIVED BY (DEPRECIATION) DESCRIPTION (000) MADE BY THE FUND THE FUND (000) ------------------------------------------------------------------------------------------------------------------------- 29,100 shares of Comcast Contract with Bear Stearns, effective June Corporation 24, 2002, expiring June 24, 2003(a)........ $ 774 (Class A) 1-month LIBOR $ 165 Contract with Commerzbank, effective October 26, 2001, expiring January 15, 2030(a)..... 10,720 5.846% 3-month LIBOR (1,231) Contract with Commerzbank, effective June 3, 2002, expiring January 15, 2030(a)......... 10,500 6.076 3-month LIBOR (1,570) Contract with Commerzbank, effective November 5, 2002, expiring February 15, 2007(a)..... 46,500 3-month LIBOR 3.977% 1,645 Contract with Commerzbank, effective September 4, 2002, expiring January 15, 2030(a).................................... 10,300 6.147 3-month LIBOR (1,651) Contract with Merrill Lynch, effective April 3, 2002, expiring April 3, 2007(a)......... 10,000 0.400 0.520 -- Contract with Merrill Lynch, effective August Merrill Lynch High Yield 1, 2002, expiring July 2, 2003(a).......... 5,000 3-month LIBOR Index Total Return (15) Contract with Merrill Lynch, effective November 5, 2002, expiring February 15, 2012(a).................................... 25,500 5.066 3-month LIBOR (1,751) Contract with Merrill Lynch, effective August 1, 2002, expiring August 2, 2007(a)........ 4,800 4.120 3-month LIBOR (201) Contract with Merrill Lynch, effective August C.R. Bard Index 8, 2002, expiring August 5, 2003(a)........ 901 Total Return 1-month LIBOR 23 Contract with Merrill Lynch, effective August C.R. Bard Index 14, 2002, expiring August 5, 2003(a)....... 453 Total Return 1-month LIBOR 11 CMBS Aaa Index Contract with Morgan Stanley, effective July Floating II CMBS Aaa Index Spread 31, 2002, expiring October 31, 2002(a)..... 10,000 Total Return Floating I Total Return (19) ------- Total net unrealized depreciation............ $(4,594) =======
--------------- (a)Fair valued security. 51 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 8. FORWARD BOND CONTRACTS At September 30, 2002, Managed Index Fund had the following forward bond contracts outstanding:
VALUE OF UNREALIZED PRINCIPAL OF CONTRACT MARKET VALUE APPRECIATION/ CONTRACT WHEN OPENED OF CONTRACT (DEPRECIATION) DESCRIPTION (000) (000) (000) (000) ------------------------------------------------------------------------------------------------------------------------- CONTRACTS TO BUY: Federal National Mortgage Association (FNMA) Certificates, 7.125% due 01/15/30, contract expiring June 3, 2003(a)................................................. $ 30,000 $ 35,743 $ 37,115 $ 1,372 U.S. Treasury note, 4.875% due 02/15/12, contract expiring November 5, 2002(a)..................................... 25,000 25,689 27,468 1,779 U.S. Treasury bond, 6.125% due 08/15/29, contract expiring September 4, 2003(a).................................... 10,000 11,352 11,903 551 Net realized appreciation................................. $ 3,702 ------- CONTRACTS TO SELL: U.S. Treasury note, 6.250% due 02/15/07, contract expiring October 26, 2003(a)..................................... (44,000) (48,938) (50,694) (1,756) U.S. Treasury bond, 5.375% due 02/15/31, contract expiring May 15, 2003(a)......................................... (10,125) (10,677) (11,192) (515) Net unrealized depreciation............................... $(2,271) ======= Total net unrealized appreciation..................... $ 1,431 =======
--------------- In conjunction with this transaction, the broker and the counterparty agree to net settle the sale for the value on settlement date. (a)Securities have been segregated as collateral for the Fund's open forward bond contracts. 9. 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. 10. 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. At September 30, 2002, there were no loans outstanding under this Agreement. 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 ------------------------------------------------------------- LargeCap Index....................... $99 2.21% Managed Index........................ 67 2.26 SmallCap Index....................... 25 2.25
The average amount outstanding was calculated based on daily balances in the period. 52 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 11. SECURITIES LENDING Under an agreement with BNY, the Funds can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned. The cash collateral received is invested in Nations Cash Reserves. A portion of the income generated by the investment of the collateral, net of any rebates paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder is paid to the Fund. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. There would be a potential loss to the Fund in the event the Fund is delayed or prevented from exercising its right to dispose of the collateral. The Fund bears the risk of loss with respect to the investment of collateral. At September 30, 2002, the following Funds had securities on loan:
MARKET MARKET VALUE OF VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) ------------------------------------------------------------------ LargeCap Index................. $49,631 $53,169 Managed Index.................. 3,548 3,744 MidCap Index................... 39,674 42,206 SmallCap Index................. 53,093 56,094
12. 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) --------------------------------------------------------------------------------------------------------------------------- LargeCap Index............................ $1,131,576 $139,944 $(332,776) $(192,832) $(2,001) Managed Index............................. 165,661 34,606 (36,692) (2,086) 4,632 MidCap Index.............................. 992,011 31,435 (200,980) (169,545) (28) SmallCap Index............................ 648,946 40,472 (117,863) (77,391) 12
At March 31, 2002, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING IN EXPIRING IN 2009 2010 FUND (000) (000) --------------------------------------------------------------- LargeCap Index...................... $31,209 $39,881
Under the current tax law, capital losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the fiscal year ended March 31, 2002, the following Funds elected to defer losses occurring between November 1, 2001 and March 31, 2002 under these rules, as follows:
CAPITAL LOSSES DEFERRED FUND (000) ---------------------------------------------------------- LargeCap Index............................ $24,313
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2003. 53 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 13. REORGANIZATIONS BANK PLAN REDEMPTION-IN-KIND On January 11, 2002, certain Separate Accounts, as listed in the left column below redeemed shares and acquired net assets from Primary A Shares of certain Nations Funds, listed in the right column below. The number and value of shares redeemed by each Nations Fund are included in the Schedules of capital stock activity. Shares redeemed, acquired net assets and realized gain/loss as of the conversion date were as follows:
SHARES TOTAL NET ASSETS REDEEMED/TRANSFERRED REDEEMED/TRANSFERRED REALIZED TO BANK PLAN TO BANK PLAN GAIN/LOSS BANK PLAN SEPARATE ACCOUNTS NATIONS FUND (000) (000) (000) ---------------------------------------------------------------------------------------------------------- S&P 499 Separate Account LargeCap Index 31,578 $696,920 $45,612 Managed Index Separate Account Managed Index 11,709 161,347 36,201 MidCap Index Separate Account MidCap Index 15,132 132,408 4,887 SmallCap Index Separate Account SmallCap Index 3,900 57,297 5,938
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 the successor funds reflect the historical financial results of the Fund prior to the reorganization.
FUND REORGANIZED INTO A NEWLY CREATED SUCCESSOR FUND --------------------------------------------------------------- LargeCap Index LargeCap Index Managed Index Managed Index SmallCap Index SmallCap Index
14. 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. 54 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. INDEXSAR (9/02)