-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, THrMe2FFQsvhdWc/yUW3VzkF6CyC9lyu+LGj47E0/+9F1hqiqXnGscB7f1SHQAIa Yf3pp/6nt7HysktEGc8rvw== 0000950144-03-013551.txt : 20031209 0000950144-03-013551.hdr.sgml : 20031209 20031209162623 ACCESSION NUMBER: 0000950144-03-013551 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20030930 FILED AS OF DATE: 20031209 EFFECTIVENESS DATE: 20031209 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NATIONS FUNDS TRUST CENTRAL INDEX KEY: 0001097519 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-09645 FILM NUMBER: 031045112 BUSINESS ADDRESS: STREET 1: ONE BANK OF AMERICA PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 8003217854 MAIL ADDRESS: STREET 1: ONE BANKOF AMERICA PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 N-CSRS 1 g86185nvcsrs.txt NATIONS FUNDS TRUST N-CSRS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-09645 ------------------------------------- Nations Funds Trust --------------------------------------------------------------------- (Exact name of registrant as specified in charter) One Bank of America Plaza NC1-002-33-31 Charlotte NC 28255 --------------------------------------------------------------------- (Address of principal executive offices) (Zip code) Corporation Trust Company Corporation Trust Center 1209 Orange Street Wilmington, DE 19801 --------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 704-388-4353 --------------------- Date of fiscal year end: 03-31-2004 ---------------------- Date of reporting period: 09-30-2003 --------------------- ITEM 1. REPORTS TO STOCKHOLDERS. Municipal Bond Funds Stock Funds Nations Money Market Funds International/Global Stock Funds Index Funds Government & Corporate Bond Funds Nations LifeGoal Portfolios Fixed Income Sector Portfolios Nations Short-Term Municipal Income Fund Nations Intermediate Municipal Bond Fund Nations Municipal Income Fund Nations CA Intermediate Municipal Bond Fund Nations CA Municipal Bond Fund Nations FL Intermediate Municipal Bond Fund Nations FL Municipal Bond Fund Nations GA Intermediate Municipal Bond Fund Nations KS Municipal Income Fund Nations MD Intermediate Municipal Bond Fund MUNICIPAL BOND FUNDS Nations NC Intermediate --------------------------------- Municipal Bond Fund Semiannual report for the period ended September 30, 2003 Nations SC Intermediate Municipal Bond Fund Nations TN Intermediate Municipal Bond Fund Nations TX Intermediate Municipal Bond Fund Nations VA Intermediate Municipal Bond Fund [NATIONS FUNDS LOGO] For a free copy of the fund's proxy voting guidelines visit www.nationsfunds.com, call 1.800.321.7854, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov. 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. BACAP Distributors, LLC and Banc of America Capital Management, LLC are the distributor and investment adviser to Nations Funds, respectively. They and other affiliates of Bank of America provide services to Nations Funds and receive fees for such services. BACAP Distributors, LLC, member NASD, SIPC NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE CHAIRMAN'S AND PRESIDENT'S MESSAGE Dear Shareholder: The six-month period ended September 30, 2003, marked a significant turning point for investors. Since the official end of the recession in November 2001, investors have anxiously sifted through news for signs that the U.S. economy was regaining its footing. At last, the picture drawn by both improving corporate profits and the broad array of economic indicators may be inspiring renewed confidence in the U.S. economy. During the reporting period, three powerful forces -- fiscal policy, monetary policy and a weak dollar -- converged to stimulate the U.S. economic recovery. The U.S. Federal Reserve has lowered the overnight lending rate 13 times in the current cycle, pushing its target Federal Funds rate to the lowest level in 45 years. At the same time, federal spending and expected reductions in federal tax rates have prompted increased consumer and business spending. GENUINE RECOVERY UNDERWAY Although real gross domestic product (GDP) has increased in each of the last eight quarters, the pace of economic activity accelerated sharply during the reporting period. GDP growth featured robust consumer spending, a larger-than- expected pickup in business capital spending, strong homebuilding, and the fastest U.S. export growth in more than a year. The transition from an economy driven by massive stimulus -- low interest rates and tax cuts -- to one characterized by self-generating growth depends in large part on improvement in overall employment. While the economy has made visible progress in the areas of business spending and foreign demand, the outlook for the U.S. labor market has been a persistent worry for investors. Strong productivity gains, once blamed for lagging job creation, are now producing wider profit margins, stronger business spending and the faster GDP needed to support labor market improvement in coming months. In addition, the encouraging performance of the world's largest economy has rippled across global markets where the outlook for major foreign economies also is brightening. In fact, the global economy seems poised for a synchronized recovery. CAPITAL MARKETS REBOUND During the period, the capital markets reflected an increasingly optimistic view as to the vigor and sustainability of the U.S. economic recovery. Although performance has been strong across all market segments, investors have focused more narrowly on those areas with the greatest sensitivity to an improving environment. Since March, stocks outperformed most fixed-income markets, as the generally riskier components of the capital markets outpaced their higher quality counterparts. Year-to-date as of September 30, the Standard and Poor's 500 Composite Stock Price Index returned 14.72%, the NASDAQ Composite Index returned 34.27% and the Dow Jones Industrial Average returned 13.13%.* Fixed-income markets have been volatile since late 2002, responding to various factors, including geopolitical developments and changes in the economy. During the period, the yield curve remained quite steep with spreads between the 30-day Treasury bills and the 10-year Treasury note exceeding 350 basis points. Since touching the lowest level in over four decades of 3.13% in June, the yield on long-term Treasuries has backed up by nearly 150 basis points, trading in a range between around 3.90% and 4.60% in September. Treasuries, which had been a safe haven for wary investors during the extended bear market, lost some of their luster as equities began to revive. Accumulating evidence of economic growth in an environment of historically low inflation and interest rates encouraged investors to migrate to lower quality bonds, and high yield markets surged. Year-to-date, high yield bonds outperformed investment grade corporate bonds by more than four times. Through September 30, the US High-Yield BB& B Rated Market Index returned 22.76% to investors, compared with 3.78% for the Lehman *Standard and Poor's 500 Composite Stock Price Index: an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. The NASDAQ Composite Index: covers 4,500 stocks traded over the counter. It is an unmanaged value-weighted index calculated on price change only and does not include income. It is not an industry-neutral index; it is disproportionately technology-heavy. The Dow Jones Industrial Average (DJIA) is an unmanaged index of common stocks comprised of major industrial companies and assumes reinvestment of dividends and capital gains. 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. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... Aggregate Bond Index.** Note that high yield bonds offer the potential for higher income than other debt securities, but they also have higher risk. INVESTMENT OUTLOOK We are generally optimistic about the investing environment. Despite ongoing concerns about geopolitical tensions, most notably, continuing instability in the Middle East, and disappointment stemming from recent events in the mutual fund industry, we believe the outlook for investors has improved during the past six months. We believe the combination of low interest rates, tax cuts and a weaker dollar that restarted the U.S. economic engine, has generated momentum for growth in 2004. In general, we expect continued strong growth in GDP, modest increases in interest rates and continued low inflation for the U.S. economy. INQUIRY UPDATE Nations Funds shareholders have so far received two letters, dated September 19 and 23, 2003 describing actions taken by Bank of America and the Nations Funds Board of Trustees as a result of investigations into mutual fund trading activities. In addition to the steps outlined in these letters, Bank of America has announced the intention to provide restitution for shareholders of Nations Funds who were harmed by certain late trading and market timing practices. The independent members of the Nations Funds Board of Trustees have engaged the law firm of Willkie Farr & Gallagher and, through them, Deloitte & Touche's Investment Management Advisory Service Group to analyze the extent of any adverse monetary impact on shareholders and other matters. Nations Funds shareholders will not bear any costs related to these actions. Independent advisors Dale Frey, former president and chairman of the General Electric Investment Corporation, and Maureen Bateman, former general counsel of State Street Corporation and U.S. Trust, have been hired by Bank of America to conduct independent reviews. Mr. Frey is reviewing mutual fund policies and practices. Ms. Bateman is reviewing legal and regulatory compliance. Promontory Financial Group has been engaged by Bank of America to coordinate a detailed review of all technology, control, and compliance systems related to the mutual fund business. As these actions demonstrate, Bank of America is committed to making appropriate restitution to affected Nations Funds shareholders and to taking all appropriate actions. Both Bank of America and Nations Funds Board of Trustees are committed to ensuring that our mutual fund policies and practices are at the highest level of industry standards. Nothing is more important than the trust and confidence of Nations Funds shareholders. Bank of America continues to look for opportunities to reinforce its investment advisory unit's professional ranks. In this regard, we are pleased to introduce the recently named president of Banc of America Capital Management, LLC, Keith Winn, who has over 20 years of experience in the investment industry. Sincerely, /S/ WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS /S/ KEITH WINN H. KEITH WINN PRESIDENT BANC OF AMERICA CAPITAL MANAGEMENT, LLC October 14, 2003 **The US High-Yield BB& B Rated Market Index captures the performance of below-investment-grade debt issued by corporations domiciled in the United States or Canada. Securities in the index have remaining maturities of at least 1 year, at least $100 million outstanding and are rated BB or B by Standard and Poor's or Moody's. Please note that an investor cannot invest directly in an index; 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. TABLE OF CONTENTS FINANCIAL STATEMENTS Statements of net assets Nations Short-Term Municipal Income Fund 3 Nations Intermediate Municipal Bond Fund 24 Nations Municipal Income Fund 53 Nations CA Intermediate Municipal Bond Fund 68 Nations CA Municipal Bond Fund 74 Nations FL Intermediate Municipal Bond Fund 83 Nations FL Municipal Bond Fund 91 Nations GA Intermediate Municipal Bond Fund 95 Nations KS Municipal Income Fund 101 Nations MD Intermediate Municipal Bond Fund 107 Nations NC Intermediate Municipal Bond Fund 116 Nations SC Intermediate Municipal Bond Fund 125 Nations TN Intermediate Municipal Bond Fund 132 Nations TX Intermediate Municipal Bond Fund 136 Nations VA Intermediate Municipal Bond Fund 143 Statements of operations 154 Statements of changes in net assets 158 Schedules of capital stock activity 164 Financial highlights 180 Notes to financial statements 210
NATIONS FUNDS [DALBAR LOGO] RECOGNIZED FOR OUTSTANDING DALBAR, Inc. is a well-respected SHAREHOLDER research firm that measures SERVICE customer service levels and establishes benchmarks in the IN RECOGNITION OF ITS COMMITMENT financial services industry. TO PROVIDE SHAREHOLDERS WITH THE HIGHEST LEVEL OF SERVICE IN THE MUTUAL FUND INDUSTRY, NATIONS FUNDS RECEIVED THE DALBAR MUTUAL FUND SERVICE AWARD IN 2002.
[This page intentionally left blank] NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 99.6% ALABAMA -- 2.6% $ 1,000 Alabama State, Public School and College Authority, Revenue, Series 1996, (MBIA Insured), 5.250% 11/01/05................................... Aaa AAA $ 1,083 2,000 Alabama, 21st Century Authority Settlement Revenue, 5.250% 12/01/07................................... A1 A- 2,084 2,000 Birmingham, Alabama, GO, Series 2002B, (AMBAC Insured), 5.000% 12/01/04................................... Aaa AAA 2,091 2,000 Butler, Alabama, Industrial Development Board, PCR Refunding, (James River Project) Series 1993, 5.500% 12/01/05................................... Ba2 BB 1,995 2,100 Hoover, Alabama, GO, Series 2003, (MBIA Insured), 5.000% 03/01/08................................... Aaa AAA 2,349 1,050 Huntsville, Alabama, Electric System Revenue, Series 2002, (FSA Insured), 3.000% 12/01/04................................... Aaa AAA 1,073 1,000 Huntsville, Alabama, GO Refunding, Series 2002F, 4.000% 08/01/05................................... Aa2 AA 1,051 8,870 Huntsville, Alabama, GO, Series 1995A, 5.100% 02/01/08................................... Aa2 AA 9,407 5,000 Jefferson County, Alabama, Sewer Revenue, Series 2003C-4, 1.000% 02/01/42................................... Aaa AAA 5,000 3,085 Montgomery, Alabama, Downtown Redevelopment Authority Lease Revenue Refunding, (State of Alabama Project) Series 2002, 5.000% 10/01/07................................... Aaa AAA 3,444
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- ALABAMA -- (CONTINUED) $ 1,140 Montgomery, Alabama, Water Works and Sewer Board, Water and Sewer System Revenue Refunding, Series 2002A, (AMBAC Insured), 5.000% 09/01/04................................... Aaa AAA $ 1,181 ---------- 30,758 ---------- ALASKA -- 2.3% 1,395 Alaska, Municipal Board Bank Authority, Revenue, AMT, Series 2003A, (MBIA Insured), 3.500% 12/01/04................................... Aaa AAA 1,433 845 Alaska, Municipal Board Bank Authority, Revenue, AMT, Series 2003A, (MBIA Insured), 3.500% 12/01/05................................... Aaa AAA 883 4,600 Anchorage, Alaska, Electric Utility Revenue Refunding, Senior Lien, Series 1999, (MBIA Insured), 5.000% 06/01/06................................... Aaa AAA 5,022 1,450 Anchorage, Alaska, GO, Series 2002A, (MBIA Insured), 4.000% 06/01/04................................... Aaa AAA 1,479 4,890 Anchorage, Alaska, GO, Series 2002A, (MBIA Insured), 4.000% 06/01/06................................... Aaa AAA 5,215 8,700 North Slope Borough, Alaska, GO, Series 1996, (MBIA Insured), 2.190%& 06/30/07.................................. Aaa AAA 8,018 1,500 North Slope Borough, Alaska, GO, Series 2000B, (MBIA Insured), 1.820%& 06/30/06.................................. Aaa AAA 1,427 1,500 North Slope Borough, Alaska, GO, Series 2001A, (MBIA Insured), 2.230%& 06/30/07.................................. Aaa AAA 1,380
SEE NOTES TO FINANCIAL STATEMENTS. 3 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- ALASKA -- (CONTINUED) $ 3,000 Valdez, Alaska, Marine Terminal Revenue Refunding, (Arco Transportation Alaska, Inc. Project) Series 1994B, (Atlantic Richfield Company Guarantee), Mandatory Put 01/01/04 @ 100, 2.000%&& 05/01/31................................. A1 A+ $ 3,007 ---------- 27,864 ---------- ARIZONA -- 2.4% 6,250 Arizona State, Transportation Board Excise Tax Revenue, (Maricopa County Regional Area Road Fund Project) Series 2002, 5.000% 12/15/05................................... Aa2 AA 6,767 1,370 Arizona State, Transportation Board Highway Revenue Refunding, Series 1993A, 5.000% 07/01/09................................... Aa2 AA 1,547 2,100 Arizona State, Transportation Board Highway Revenue, Series 2003A, 6.000% 07/01/05................................... Aa1 AAA 2,278 2,400 Arizona, Electric Systems Revenue Refunding, (Salt River Project) Series 2002D, 5.000% 01/01/08................................... Aa2 AA 2,684 2,010 Maricopa County, Arizona, Unified High School District Number 210 Phoenix, GO, Unrefunded Balance, Series 2009, 5.000% 07/01/09................................... Aa3 AA 2,214 2,035 Maricopa County, Arizona, Unified School District Number 48, GO Refunding, Series 1991B, 6.300% 07/01/04................................... Aa2 AA 2,115 5,480 Northern Arizona University, Revenue Refunding, Series 2002, (FGIC Insured), 4.000% 06/01/04................................... Aaa AAA 5,590
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- ARIZONA -- (CONTINUED) $ 5,225 Phoenix, Arizona, GO Refunding, Series 1993A, 5.300% 07/01/06................................... Aa1 AA+ $ 5,769 ---------- 28,964 ---------- ARKANSAS -- 1.4% 2,500 Arkansas State, Development Finance Authority, Facilities Revenue, (Waste Management Inc. Project) Series 2001, AMT, Mandatory Put 08/01/04 @ 100, 3.000% 08/01/21................................... Baa2 BBB 2,504 2,100 Arkansas State, GO, Series 2001A 4.500% 08/01/06................................... Aa2 AA 2,280 8,550 Arkansas State, GO, Series 2001A, 4.000% 08/01/05................................... Aa2 AA 9,000 3,000 Pope County, Arkansas, Revenue Refunding, (Entergy Arkansas Incorporated Project) Series 2001, AMT, Mandatory Put 09/01/05 @ 100, 5.050% 09/01/28................................... Baa3 BBB- 3,080 ---------- 16,864 ---------- CALIFORNIA -- 0.1% 1,150 California State, Department of Water Resources Power Supply Revenue, Series 2002A, 5.500% 05/01/05................................... A3 BBB+ 1,220 ---------- COLORADO -- 2.7% 5,000 Colorado, Platte River Power Authority, Power Revenue, Series 2003FF, 5.000% 06/01/06................................... Aa3 AA- 5,459 14,895 Colorado, Public Highway Authority, Highway Revenue, Series 1997B, (MBIA Insured), 2.240% 09/01/07................................... Aaa AAA 13,648 2,370 Colorado, Regional Transportation District, Sales Tax Revenue Refunding, Series 2003A, (FSA Insured), 5.000% 11/01/07................................... Aaa AAA 2,655
SEE NOTES TO FINANCIAL STATEMENTS. 4 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- COLORADO -- (CONTINUED) $ 2,275 Denver City and County, Colorado, Airport Revenue Refunding, Series 2001D, AMT, (FSA Insured), 5.000% 11/15/05................................... Aaa AAA $ 2,437 1,605 Denver City and County, Colorado, Art Museum, GO, Series 2002 4.500% 08/01/04................................... Aa1 AA+ 1,651 1,000 Denver City and County, Colorado, Board Water Commission Refunding Revenue, Series 2001B, 5.000% 09/01/06................................... Aa1 AA+ 1,100 4,695 Thornton, Colorado, GO Refunding, Series 2002, (FSA Insured) 4.000% 12/01/04................................... Aaa AAA 4,855 ---------- 31,805 ---------- CONNECTICUT -- 1.5% 2,525 Connecticut State, GO, Series 1999A, 5.000% 06/15/05................................... Aa3 AA 2,690 10,000 Connecticut State, Special Tax Obligation Revenue Refunding, (Transportation Infrastructure Project), Series 2003A, 4.000% 09/01/05................................... Aaa AAA 10,539 2,000 Connecticut State, Special Tax Obligation, Revenue Refunding, (Transportation Infrastructure Project) Series 1993A, 5.375% 09/01/08................................... A1 AA- 2,287 2,025 Connecticut State, Special Tax Obligation, Revenue Refunding, (Transportation Infrastructure Project) Series 2001B, 5.000% 10/01/04................................... A1 AA- 2,105 ---------- 17,621 ---------- DELAWARE -- 0.2% 1,000 Delaware, Transportation Authority, Transportation System Revenue, Series 1998, (MBIA Insured), 4.500% 07/01/09................................... Aaa AAA 1,095
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- DELAWARE -- (CONTINUED) $ 1,330 Wilmington, Delaware, GO, (AMBAC Insured), 3.250% 12/01/03................................... Aaa AAA $ 1,335 ---------- 2,430 ---------- DISTRICT OF COLUMBIA -- 1.5% 3,000 District of Columbia, Revenue, (Field School Project) Series 2001A, (First Union National Bank LOC), 1.050%&& 07/01/31................................. A1 A+ 3,000 8,500 District of Columbia, Revenue, Series 2002B, (MBIA Insured), 0.900% 08/01/37................................... Aaa AAA 8,500 2,085 Metropolitan Washington, District of Columbia, Airport Authority, Virginia General Airport Revenue, Series 1997B, AMT, (FGIC Insured), 5.750% 10/01/03................................... Aaa AAA 2,085 4,000 Metropolitan, Washington, District of Columbia, Airports Authority, Virginia General Airport Revenue, Series 1997B, (FGIC Insured), AMT, 6.000% 10/01/06................................... Aaa AAA 4,474 ---------- 18,059 ---------- FLORIDA -- 7.3% 5,000 Alachua County, Florida, Health Facilities Authority, Health Facilities Revenue, (Shands Teaching Hospital Project) Series 2002A, (SunTrust Bank LOC), 1.200%&& 12/01/12................................. VMIG1 NR 5,000 4,000 Broward County, Florida, Airport System Revenue Refunding, Series 2003K, (FGIC Insured), 5.000% 10/01/07................................... Aaa AAA 4,461 1,700 Escambia County, Florida, Health Facilities Authority, Revenue, (Ascension Health Credit Project) Series 2003A, 5.000% 11/15/07................................... Aa2 AA 1,880
SEE NOTES TO FINANCIAL STATEMENTS. 5 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 2,195 Florida State, Board of Education, GO, Series 2003D, 5.000% 06/01/07................................... Aa2 AA+ $ 2,443 2,000 Florida State, Board of Education, GO, Series 2003I, 5.000% 06/01/08................................... Aa2 AA+ 2,249 2,500 Florida, Housing Finance Agency, Multi-Family Housing Revenue Refunding, (Altamonte Project) Series 1994C, Mandatory Put 12/01/03 @ 100, 7.000% 12/01/24................................... Baa1 BBB+ 2,520 5,000 Gainesville, Florida, Utilities System Revenue, Series 2003C, 5.000% 10/01/08................................... Aa2 AA 5,632 1,240 Greater Orlando Aviation Authority, Orlando, Florida, Airport Facilities Revenue Refunding, Series 2002C, (MBIA Insured), 5.250% 10/01/07................................... Aaa AAA 1,399 1,795 Hillsborough County, Florida, Aviation Authority, Revenue Refunding, (Tampa International Airport Project) AMT, Series 2003D, (MBIA Insured), 4.000% 10/01/05................................... Aaa AAA 1,881 2,500 Hillsborough County, Florida, Aviation Authority Revenue, (Tampa International Airport Project) Series 1993D, (FGIC Insured), Prerefunded 10/01/03 @ 102, 5.375% 10/01/23................................... Aaa AAA 2,550 1,870 Hillsborough County, Florida, Aviation Authority, Revenue Refunding, (Tampa International Airport Project) AMT, Series 2003D, (MBIA Insured), 5.000% 10/01/06................................... Aaa AAA 2,037
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 7,000 Hillsborough County, Florida, Industrial Development Authority, PCR Refunding, (Tampa Electric Company Project) Series 1993, Mandatory Put 08/01/07 @ 100, 4.250% 11/01/20................................... Baa3 BBB- $ 6,985 2,000 Jacksonville, Florida, Guaranteed Entitlement Improvement Revenue Refunding, Series 2002, (FGIC Insured), 3.000% 10/01/03................................... Aaa AAA 2,000 2,000 Jacksonville, Florida, Sales Tax Revenue, (River City Renaissance Project) Series 1995, (FGIC Insured), Prerefunded 10/01/05 @ 101, 5.375% 10/01/18................................... Aaa AAA 2,188 5,000 Jea, Florida, St. Johns River Power Park Systems Revenue Refunding, Series 2002, 5.000% 10/01/06................................... Aa2 AA 5,501 5,000 Jea, Florida, St. Johns River Power Park Systems Revenue Refunding, Series 2003-18, 5.000% 10/01/05................................... Aa2 AA 5,370 2,200 Jea, Florida, St. Johns River Power System Revenue, Series 2003, 2.000% 10/01/03................................... Aa2 AA 2,200 3,775 Jea, Florida, Water and Sewer Revenue, Series 2002B, (FSA Insured), 5.250% 10/01/07................................... Aaa AAA 4,259 1,380 Kissimmee, Florida, Utilities Authority Electric System Revenue Refunding, Series 2001, (AMBAC Insured), 5.000% 10/01/06................................... Aaa AAA 1,523 7,305 Miami-Dade County, Florida, Aviation Revenue Refunding, Series 1998A, AMT, 5.250% 10/01/07................................... Aaa AAA 8,163
SEE NOTES TO FINANCIAL STATEMENTS. 6 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 1,300 Miami-Dade County, Florida, Aviation Revenue, (Miami International Airport Project) Series 2002, (FGIC Insured), 5.000% 10/01/06................................... Aaa AAA $ 1,423 3,870 Miami-Dade County, Florida, Aviation Revenue, Series 2000-SG141, (FGIC Insured, Societe Generale SPA), 1.130%&& 10/01/29................................. A1 A+ 3,870 4,250 Pinellas County, Florida, Capital Improvement Revenue, Series 2000, 4.500% 01/01/06................................... Aa3 AA- 4,559 1,000 Pinellas County, Florida, Research Recovery Revenue, Series 1996, AMT, (MBIA Insured), 5.100% 10/01/03................................... Aaa AAA 1,000 3,000 Tampa, Florida, Utility Tax and Special Revenue Refunding, Series 2001, (AMBAC Insured), 6.000% 10/01/05................................... Aaa AAA 3,287 1,985 Tampa, Florida, Water and Sewer Revenue Refunding, Series 2003A, 4.000% 10/01/07................................... Aa2 AA 2,143 ---------- 86,523 ---------- GEORGIA -- 8.4% 2,000 Athens-Clarke County, Georgia, Unified Government Authority, Revenue, (University of Georgia Athletic Association Project) Series 2001, (SunTrust Bank LOC), 1.200%&& 09/01/31................................. VMIG1 NR 2,000 19,600 Burke County, Georgia, Development Authority, PCR, (Oglethorpe Power Corporation) Series 1993A, (FGIC Insured, Bayerische Landesbank SBA), 1.050%&& 01/01/16................................. VMIG1 A+ 19,601
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 6,555 Burke County, Georgia, Development Authority, PCR, (Georgia Power Company Vogtle Power Plant Project) Series 2000, 1.100%&& 10/01/32................................. NR NR $ 6,555 2,200 Burke County, Georgia, Development Authority, PCR, Series 1994, 2.500% 10/01/32................................... NR NR 2,200 3,380 Clayton County, Georgia Housing Authority, Multi-Family Housing Revenue Refunding, (Tara Court II Apartments Project) Series 2001, (FNMA Liquidity Facility), Mandatory Put 12/01/11 @ 100, 4.350% 12/01/31................................... Aaa AAA 3,483 1,200 Coweta County, Georgia, School District Sales Tax, GO, Series 2002, (State Aid Withholding), 4.000% 08/01/07................................... Aa2 AA 1,294 2,000 Coweta County, Georgia, School District, GO, Series 2002, (State Aid Withholding), 5.000% 08/01/07................................... Aa2 AA 2,230 2,000 Dalton, Georgia, Building Authority, Revenue, Series 2001, 5.000% 07/01/05................................... Aa3 A+ 2,133 2,300 DeKalb County, Georgia, Development Authority, Industrial Development Revenue, (Rock-Tenn Converting Company Project) Series 1995, (SunTrust Bank, Atlanta LOC), 1.200%&& 04/01/10................................. Aa2 AA 2,300 6,185 DeKalb County, Georgia, Special Recreation Tax District, GO, Series 2001, 5.000% 12/01/06................................... Aaa AA+ 6,857 2,600 Fayette County, Georgia, School District, GO, Series 2001, (State Aid Withholding), 5.250% 03/01/09................................... Aa3 AA 2,957
SEE NOTES TO FINANCIAL STATEMENTS. 7 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 6,500 Forsyth County, Georgia, Development Authority, Revenue, (Pinecrest Academy Inc. Project) Series 2000, (SunTrust Bank LOC), 1.100%&& 09/01/25................................. VMIG1 NR $ 6,500 6,230 Georgia State, GO, Series 1998D, 5.250% 10/01/04................................... Aaa AAA 6,494 5,750 Georgia State, GO, Series 2002, 3.000% 11/01/04................................... Aaa AAA 5,874 2,500 Georgia, George L. Smith II World Congress Center Authority, Revenue Refunding, (Domed Stadium Project) Series 2000, AMT, (MBIA Insured), 6.000% 07/01/05................................... Aaa AAA 2,696 2,855 Georgia, Private Colleges and Universities Authority, Revenue, (Emory University Project) Series 2002A, 5.000% 09/01/06................................... Aa2 AA 3,140 2,400 Gwinnett County, Georgia, Development Authority, IDR, (Maltese Signs Inc. Project) Series 2000, AMT, (Suntrust Banks Inc. LOC), 1.250%&& 02/01/15................................. VMIG1 NR 2,400 3,000 Houston County, Georgia, School District, GO, Series 2002, (State Aid Withholding), 4.000% 09/01/06................................... Aa2 AA 3,214 3,750 Monroe County, Georgia, Development Authority, PCR, (Georgia Power Company Plant Scherer Project) Series 2001, (AMBAC Insured), Mandatory Put 12/01/08 @ 100, 4.200% 01/01/12................................... Aaa AAA 4,078 7,000 Richmond County, Georgia, Development Authority, IDR Refunding, (Archer Daniels Midland Project) Series 1993, 5.300% 05/01/05................................... A1 A+ 7,429
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 6,000 Richmond County, Georgia, GO, Board of Education, Series 2002, (State Aid Withholding) 5.000% 11/01/05................................... Aa2 AA $ 6,466 ---------- 99,901 ---------- GUAM -- 0.3% 3,820 Guam, Airport Authority, Revenue, Series 1993A, 6.375% 10/01/10................................... Baa3 BBB- 3,900 ---------- HAWAII -- 0.8% 5,750 Hawaii State, GO Refunding, Series 1993CI 4.700% 11/01/07................................... Aa3 AA- 6,363 2,500 Hawaii State, GO Refunding, Series 2002CY, (FSA Insured), 5.250% 02/01/07................................... Aaa AAA 2,782 ---------- 9,145 ---------- IDAHO -- 0.9% 10,500 Idaho, Housing and Financial Assistant, (Single Family Mortgage Project) Series 2002B-I, (Bayerische Landesbank Girozentrale Liquidity Facility), 1.120%&& 07/01/33................................. NR NR 10,500 ---------- ILLINOIS -- 6.6% 1,260 Broadview, Illinois, Tax Increment Revenue, Series 1999, 4.750% 07/01/05................................... NR NR 1,312 5,000 Chicago, Illinois, Board of Education, GO, Series 2003B-3, (MBIA Insured), 0.850%&& 03/01/33................................. Aaa AAA 5,000 2,640 Chicago, Illinois, GO, Series 2003A, (XLCA Insured), 2.740%& 12/01/08.................................. Aaa AAA 2,293
SEE NOTES TO FINANCIAL STATEMENTS. 8 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 2,000 Chicago, Illinois, Metropolitan Water Reclamation District, Greater Chicago Capital Improvement Bonds, Series 2002D, 5.000% 12/01/07................................... Aaa AA+ $ 2,239 1,250 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Second Lien, Series 1193C, (MBIA Insured), 4.900% 01/01/07................................... Aaa AAA 1,286 2,780 Chicago, Illinois, Single Family Mortgage Revenue, Series 2001, AMT, (FNMA/GNMA/FHLMC COLL, Merrill Lynch Capital Services SBA), 1.180%&& 04/01/07................................. A1 A+ 2,780 4,545 Cook County, Illinois, GO Refunding, Series 2003B, (MBIA Insured), 5.000% 11/15/07................................... Aaa AAA 5,087 1,500 Cook County, Illinois, GO, Series 1993B, (MBIA Insured), 5.300% 11/15/07................................... Aaa AAA 1,538 5,580 Cook County, Illinois, Township High School District Number 211 Palatine and Schaumb, GO, Series 2001, 5.000% 12/01/05................................... Aa2 AA 6,028 1,400 Evanston, Illinois, GO Refunding, Series 2002C, 5.000% 01/01/06................................... Aaa AAA 1,513 5,205 Illinois State, GO Refunding, Series 2001, (FSA Insured), 5.250% 10/01/06................................... Aaa AAA 5,768 1,500 Illinois State, GO, Series 2001, 5.000% 04/01/05................................... Aa3 AA 1,586 4,500 Illinois State, GO, Series 2001, 5.000% 11/01/05................................... Aa3 AA 4,847 5,180 Illinois State, GO, Series 2001, 5.000% 05/01/07................................... Aa3 AA 5,740 3,000 Illinois State, GO, Series 2001, (FGIC Insured), 4.000% 11/01/04................................... Aaa AAA 3,095
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 4,600 Illinois, Development Finance Authority, Revenue Refunding, (Olin Corporation Project) Series 2002A, 4.500% 06/01/04................................... Baa3 BBB- $ 4,601 7,055 Illinois, Educational Facilities Authority, Revenue, (National Louis University) Series 1999A, (American National B&T LOC), 1.120%&& 06/01/29................................. A1 A+ 7,055 2,500 Illinois, Educational Facilities Authority, Revenue, (University of Chicago Project) Series 1998B, Mandatory Put 07/01/04 @ 100, 4.400% 07/01/25................................... Aa1 AA 2,562 3,115 Illinois, Regional Transportation Authority, Revenue Refunding, Series 2003C, (FGIC Insured, GO of Authority), 4.000% 07/01/06................................... Aaa AAA 3,325 1,125 Kane Mc Henry Cook and DeKalb County, Illinois, Unified School District Number 300, GO, Series 2002, (AMBAC Insured), 1.090%& 12/01/03.................................. Aaa AAA 1,123 3,865 Lake County, Illinois, Community Conservative School District Number 096 Kildeer, GO Refunding, Series 2003, 4.000% 01/01/07................................... Aa2 AA 4,140 1,000 Northern Illinois University Revenue, Auxiliary Facilities System, Series 1992, (FGIC Insured), 1.770%& 10/01/06.................................. Aaa AAA 948 1,000 Schaumberg, Illinois, GO, Series 2002A 5.000% 01/01/07................................... Aa1 AA+ 1,104
SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 2,975 Will County, Illinois, Community Unified School District 365, Capital Appreciation Bond, GO, Series 2002, (FSA Insured), 1.130%& 11/01/04.................................. Aaa AAA $ 2,939 ---------- 77,909 ---------- INDIANA -- 0.9% 1,585 Fort Wayne, Indiana, Sewage Works Improvements, Revenue Refunding, Series 2002B, (AMBAC Insured), 5.000% 08/01/06................................... Aaa AAA 1,737 745 Fremont, Indiana, Middle School Building Corporation, Revenue Refunding, Series 1994A, (AMBAC Insured), 4.650% 07/15/04................................... Aaa AAA 760 1,550 Indiana State, Office Building Commission Facilities Revenue, Indiana State Museum Facility, Series 2003, (MBIA Insured), 5.000% 07/01/07................................... Aaa AAA 1,725 1,620 Indianapolis, Indiana, Letters of Credit, Improvement Board Book, Series 2001A, 4.500% 07/01/04................................... Aa2 AA 1,661 1,500 Rockport, Indiana, PCR Refunding, (AEP Generating Company Project) Series 1995A, Mandatory Put 07/13/06 @ 100, 4.050% 07/01/25................................... Aaa AAA 1,595 2,500 Rockport, Indiana, PCR Refunding, (AEP Generating Company Project) Series 1995B, (AMBAC Insured, Bank of New York SBPA), Mandatory Put 07/13/06 @ 100, 4.050% 07/01/25................................... Aaa AAA 2,659 ---------- 10,137 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- IOWA -- 0.1% $ 1,000 Des Moines, Iowa, GO Refunding, Series 1996F, 5.000% 06/01/06................................... Aa2 AA+ $ 1,061 ---------- KANSAS -- 0.8% 5,000 Burlington, Kansas, Environmental Improvement Revenue Refunding, (Power and Light Project) Series 1998C, Mandatory Put 10/01/07 @ 100, 4.750% 09/01/15................................... A2 BBB 5,363 1,100 Johnson County, Kansas, Water District No. 001, Water Revenue, Series 1996A, 5.250% 12/01/06................................... Aa1 AAA 1,226 3,125 Shawnee County, Kansas, GO Refunding Improvement, Series 2002, (FSA Insured), 4.000% 09/01/04................................... Aaa AAA 3,210 ---------- 9,799 ---------- KENTUCKY -- 0.2% 1,945 Kentucky State, Property and Buildings Community, Revenue Refunding, (Number 74 Project) Series 2002, 5.000% 08/01/05................................... Aaa AAA 2,080 ---------- LOUISIANA -- 2.3% 5,000 Calcasieu Parish, Louisiana, Industrial Development Board, PCR Refunding, (Occidental Petroleum Project) Series 2001, 4.800% 12/01/06................................... Baa1 BBB+ 5,357 3,000 Louisiana State, Energy and Power Authority, Revenue Refunding, (Power Project) Series 2000, (FSA Insured), 5.250% 01/01/06................................... Aaa AAA 3,261 2,000 Louisiana State, Gas and Fuels Tax Revenue Refunding, Series 1999A, (FSA Insured), 5.000% 11/15/04................................... Aaa AAA 2,088
SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- LOUISIANA -- (CONTINUED) $ 1,000 Louisiana State, Offshore Term Authority, Deepwater Port Revenue Refunding, (Loop LLC Project) Series 2003, Mandatory Put 09/01/08 @ 100, 4.000% 09/01/23................................... A3 A+ $ 1,045 6,750 Louisiana, Public Facilities Authority, Hospital Revenue Refunding, Series 1998B, (MBIA Insured), 0.950%&& 07/18/16................................. Aaa AAA 6,750 1,850 Louisiana, Regional Transportation Authority, Revenue, Series 1998, (MBIA Insured), Prerefunded 05/01/05 @ 100.093, 6.125% 05/01/10................................... Aaa AAA 1,998 7,110 New Orleans, Louisiana, Public Improvement, GO, Series 1997A, (FGIC Insured), Prerefunded 12/01/06 @ 100, 2.150%& 09/01/07.................................. Aaa AAA 6,538 ---------- 27,037 ---------- MAINE -- 0.2% 1,900 Baileyville, Maine, PCR, (Georgia-Pacific Corporation Project) Series 1998, 4.750% 06/01/05................................... Ba3 BB 1,873 ---------- MARYLAND -- 0.8% 5,000 Baltimore, Maryland, Refunding and Conservative Public Improvement GO, Series 2003A, (FSA Insured), 0.880% 10/15/20................................... Aaa AAA 5,000 3,680 Maryland State, Economic Development Corporation Lease Revenue, Maryland Aviation Administration Facilities, Series 2003, (FSA Insured), 5.000% 06/01/07................................... Aaa AAA 4,055 ---------- 9,055 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- MASSACHUSETTS -- 1.1% $ 5,160 Boston, Massachusetts, GO Refunding, Series 2002C, 5.000% 02/01/08................................... Aa2 AA- $ 5,794 5,000 Massachusetts State, GO Refunding, Series 2003B, 4.000% 12/01/04................................... Aa2 AA- 5,167 1,495 Massachusetts State, Industrial Financing Agency Revenue, Series 1994, Prerefunded 11/15/03 @ 102, 7.100% 11/15/18................................... Aaa AAA 1,536 ---------- 12,497 ---------- MICHIGAN -- 1.9% 1,000 Detroit, Michigan, School District GO, Series 1998B, (FGIC Insured, Q-SBLF), 5.000% 05/01/07................................... Aaa AAA 1,110 1,000 Kent County, Michigan, Airport Facilities Revenue, (Kent County International Airport Project) Series 1995, AMT, Prerefunded 01/01/05 @ 102, 6.100% 01/01/25................................... Aaa AAA 1,079 1,175 Macomb County, Michigan, Community College District, GO, Series 2002, 4.000% 05/01/04................................... Aa1 AA 1,195 1,000 Michigan State, Hospital Finance Authority, Revenue, (Ascension Health Credit Project) Series 1999B, Mandatory Put 11/15/05 @ 100, 5.200% 11/15/33................................... Aa2 AA 1,079 1,800 Michigan State, Hospital Finance Authority, Revenue, Mandatory Put 11/15/06 @ 100, 5.300% 11/15/33................................... Aa2 AA 2,010 4,900 Michigan State, Housing Development Authority, Rental Housing Revenue, Series 2000B, (MBIA Insured, Morgan Guaranty Trust), 1.050%&& 04/01/24................................. VMIG1 A+ 4,900
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- MICHIGAN -- (CONTINUED) $ 2,000 Michigan State, Strategic Fund Solid Waste Disposal Revenue Refunding, (Waste Management Inc. Project) Series 2002, Mandatory Put 12/01/05 @ 100, 4.200% 12/01/12................................... Baa2 BBB $ 2,047 2,000 Michigan State, Trunk Line Capital Appreciation Revenue, Series 1992A, (AMBAC Insured), 1.350%& 10/01/05.................................. Aaa AAA 1,947 1,900 Michigan, Municipal Bond Authority, Revenue, Clean Water Revolving Fund, Series 2001, 5.000% 10/01/08................................... Aaa AAA 2,144 5,330 Oakland, Michigan, University of Michigan, Revenue, Series 2001, (FGIC Insured), 1.070%&& 03/01/31................................. VMIG1 NR 5,330 ---------- 22,841 ---------- MINNESOTA -- 1.0% 2,200 Minneapolis, Minnesota, GO, Convention Center, Series 2002, 4.000% 12/01/07................................... Aa1 AAA 2,387 10,000 Minnesota State, GO, Series 2001, 5.000% 10/01/03................................... Aaa AAA 10,001 ---------- 12,388 ---------- MISSISSIPPI -- 1.4% 1,210 Mississippi State, Capital Improvement GO, Series 1995B, 6.000% 08/01/04................................... Aa3 AA 1,260 6,750 Mississippi State, Gaming County Highway Improvements GO, Series 2001B, 5.000% 10/01/06................................... Aa3 AA 7,439 5,255 Mississippi State, GO Refunding, Series 2002C, 4.500% 08/15/04................................... Aa3 AA 5,414 2,265 Mississippi State, GO, Series 2002, 5.500% 11/01/05................................... Aa3 AA 2,465 ---------- 16,578 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- MISSOURI -- 1.9% $ 5,765 Missouri State, Board of Public State Office Buildings, Special Obligation Revenue Refunding, Series 2001B, 4.000% 12/01/05................................... Aa1 AA+ $ 6,112 3,516 Missouri State, Environmental and Energy Resource Authority, Environmental Improvement Revenue, (Kansas City Power and Light Project) Series 1993, Mandatory Put 09/01/04 @ 100, 3.900% 01/02/12................................... VMIG1 A 3,588 2,250 Missouri State, Health and Educational Facilities Authority, Revenue, (Saint Lukes Episcopal-Presbyterian Hospital Project) Series 2001, (FSA Insured), 3.850% 12/01/05................................... Aaa AAA 2,371 2,470 Missouri State, Health and Educational Facilities Authority, Revenue, (Saint Lukes Episcopal-Presbyterian Hospital Project) Series 2001, (FSA Insured), 4.000% 12/01/06................................... Aaa AAA 2,646 4,000 Missouri State, Health and Educational Facilities Revenue, (SSM Health Care Project) Series 2002A, 5.000% 06/01/07................................... Aa3 AA- 4,376 3,725 St. Louis, Missouri, Industrial Development Authority, Multi-Family Housing Revenue, (JVL Renaissance II LP Project) Series 2002B, (U.S. Bank N.A.) 2.000% 02/01/04................................... Aa2 AA 3,730 ---------- 22,823 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- NEBRASKA -- 0.5% $ 3,500 Nebraska, Public Power District Revenue, Series 2002A, (MBIA Insured), 5.000% 01/01/07................................... Aaa AAA $ 3,859 2,000 Nebraska, Public Water District Revenue, Series 2005B, (MBIA Insured), 5.250% 01/01/05................................... Aaa AAA 2,103 ---------- 5,962 ---------- NEVADA -- 2.9% 5,200 Clark County, Nevada, Industrial Development Revenue, (Nevada Power Project) Series 2000A, (AMBAC Insured), 1.050%&& 06/01/20................................. Aaa AAA 5,200 3,300 Clark County, Nevada, School District, GO Refunding, Series 1996, (FGIC Insured), 4.750% 06/15/09................................... Aaa AAA 3,604 1,035 Henderson, Nevada, GO Refunding, Series 2001, 4.000% 06/01/05................................... Aa3 AA- 1,084 2,000 Las Vegas, Nevada, GO Refunding, Series 2002B, 4.000% 01/01/08................................... Aa3 AA- 2,153 4,000 Nevada State, GO Refunding, Series 1994A, 5.800% 07/15/08................................... Aa2 AA 4,183 4,325 Nevada State, Highway Improvement Revenue, Motor Vehicle Fuel Tax, Series 2003, (MBIA Insured), 5.000% 12/01/07................................... Aaa AAA 4,843 3,250 Nevada State, Highway Improvement Revenue, Series 2000A, 5.000% 12/01/06................................... Aa3 AA 3,588 7,000 Nevada State, Highway Improvement Revenue, Series 2000A, 5.000% 12/01/08................................... Aa3 AA 7,881 2,260 Washoe County, Nevada, GO Refunding, Series 2003, (FSA Insured), 4.000% 09/01/06................................... Aaa AAA 2,418 ---------- 34,954 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- NEW HAMPSHIRE -- 0.6% $ 3,500 New Hampshire State, Business Financial Authority PCR Refunding, (United Illuminating Company) Series 1997A, AMT, Mandatory Put 02/01/04 @ 100, 3.750% 07/01/27................................... A3 A- $ 3,513 3,000 New Hampshire State, Business Financial Authority, PCR Refunding, (United Illumination Company Project) Series 1999A, (AMBAC Insured), Mandatory Put 12/03/07 @ 100, 3.250% 12/01/29................................... Aaa AAA 3,086 ---------- 6,599 ---------- NEW JERSEY -- 0.3% 3,000 Essex County, New Jersey, GO Refunding, Series 1996A-1, (FGIC Insured), 6.000% 11/15/07................................... Aaa AAA 3,479 ---------- NEW MEXICO -- 1.7% 1,000 Las Cruces, New Mexico, School District Number 002, GO, Series 2003, (MBIA Insured), 4.000% 08/01/05................................... Aaa AAA 1,052 5,915 New Mexico State, GO Refunding, Series 2001B, 5.000% 09/01/06................................... Aa1 AA+ 6,508 2,900 New Mexico State, Hospital Equipment Loan Council Hospital Revenue, (Presbyterian Healthcare Project) Series 2001A, 4.600% 08/01/08................................... A1 A+ 3,126 3,500 New Mexico State, Severance Tax Revenue, Series 2002, 4.500% 07/01/05................................... Aa2 AA 3,704 5,000 New Mexico State, Severance Tax Revenue, Series 2002, 5.000% 07/01/07................................... Aa2 AA 5,570 ---------- 19,960 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- NEW YORK -- 0.8% $ 2,000 New York City, New York, Transitional Finance Authority, Revenue Refunding, (Future Tax Secondary Project) Series 2002A, 5.000% 11/01/05................................... Aa2 AA+ $ 2,156 2,260 New York State, Environmental Facilities Corporation, State Clean Water and Drinking Funds Revenue (New York City Municipal Water Project) Series 2002-J, 3.000% 06/15/05................................... Aaa AAA 2,335 1,000 New York State, Urban Development Corporation Revenue, Personal Income Tax, Series 2002D, (FSA-CR Insured), 5.000% 12/15/07................................... Aaa AAA 1,124 4,150 New York, New York, Series 1998A, 5.000% 08/01/05................................... A2 A 4,398 ---------- 10,013 ---------- NORTH CAROLINA -- 4.7% 1,000 Cabarrus County, North Carolina, Industrial Facilities and Pollution Control Financing Authority, (Cannon Memorial YMCA Project) Series 2002, (Wachovia Bank N.A. LOC), 1.050%&& 08/01/23................................. VMIG1 NR 1,000 10,000 Chapel Hill, North Carolina, University of North Carolina, Hospital Revenue Refunding, Series 2003B, 1.000%&& 02/01/29................................. VMIG1 A+ 10,000 1,045 Charlotte, North Carolina, Certificates of Participation, (Equipment Acquisition Project) Series 2003C, 4.000% 03/01/06................................... Aa1 AA+ 1,110 1,000 Charlotte, North Carolina, Certificates of Participation, (Equipment Acquisition Project) Series 2003C, 5.000% 03/01/07................................... Aa1 AA+ 1,106
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- NORTH CAROLINA -- (CONTINUED) $ 5,000 Charlotte, North Carolina, GO Refunding, Series 2002D, 3.000% 07/01/04................................... Aaa AAA $ 5,077 3,000 Charlotte, North Carolina, GO, Series 2002B, 3.500% 07/01/04................................... Aaa AAA 3,057 1,000 Cumberland County, North Carolina, Certificates of Participation, (Civic Center Project) Series 1995A, (AMBAC Insured), Prerefunded 12/01/04 @ 102, 6.400% 12/01/24................................... Aaa AAA 1,082 2,800 Greensboro, North Carolina, Certificates of Participation, (Equipment Acquisition Project) Series 2000, (Wachovia Bank N.A. SBPA) 1.100%&& 05/01/05................................. VMIG1 A+ 2,800 3,000 Greensboro, North Carolina, GO Refunding, Series 2003, 4.000% 05/01/07................................... Aa1 AAA 3,234 1,285 Lincoln County, North Carolina, Lease Revenue, Series 2003, (FSA Insured), 4.500% 06/01/07................................... Aaa AAA 1,405 2,325 North Carolina State, Public Improvement GO, Series 2001A, 4.500% 03/01/05................................... Aa1 AAA 2,438 1,005 North Carolina, Medical Care Commission, Gaston Health Care Hospital Revenue, Series 1998, 4.500% 02/15/05................................... A1 A+ 1,045 1,000 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Gaston Memorial Hospital Project) Series 1995, (AMBAC-TCRS Insured), 5.000% 02/15/05................................... Aaa AAA 1,053
SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- NORTH CAROLINA -- (CONTINUED) $ 1,630 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Halifax Regional Medical Center, Inc. Project) Series 1998, 4.400% 08/15/04................................... Baa2 BBB $ 1,661 4,000 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Novant Health Obligation Group Project) Series 2003A, 4.000% 11/01/06................................... Aa3 AA- 4,265 1,675 North Carolina, Medical Care Commission, Healthcare Hospital Revenue, Series 2001, 5.000% 10/01/08................................... Aa3 AA 1,875 1,450 North Carolina, Medical Care Commission, Hospital Revenue Refunding, (Presbyterian Health Services Project) Series 1993, 5.125% 10/01/03................................... A1 AA- 1,450 2,000 Orange County, North Carolina, GO Refunding, Series 2003, 5.000% 06/01/05................................... Aa1 AA+ 2,131 1,125 Rutherford County, North Carolina, Certificates of Participation, Series 2002, 4.500% 09/01/06................................... Aaa AAA 1,221 2,800 University of North Carolina, Revenue Refunding, Series 2002B, 5.000% 12/01/06................................... Aa1 AA+ 3,100 1,000 Wake County, North Carolina, Public Improvement GO, Series 2003A, 5.000% 04/01/06................................... Aaa AAA 1,090 2,410 Winston-Salem, North Carolina, GO Refunding, Series 1991, 10.000% 06/01/04.................................. Aaa AAA 2,552
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- NORTH CAROLINA -- (CONTINUED) $ 2,255 Winston-Salem, North Carolina, Risk Acceptance Management Corporation, Certificates of Participation, Series 1988, (Wachovia Bank, N.A. SBPA), 1.070%&& 07/01/09................................. VMIG1 A+ $ 2,255 ---------- 56,007 ---------- OHIO -- 3.1% 3,250 Dayton, Ohio, Special Facilities Revenue Refunding, (Air Freight Corporation Project) Series 1993F, 6.050% 10/01/09................................... Ba1 BB+ 2,952 2,000 Dayton, Ohio, Special Facilities Revenue Refunding, Series 1993, 6.050% 10/01/09................................... Ba1 BB+ 1,817 2,000 Dayton, Ohio, Special Facilities Revenue, (Air Freight Corporation Project) Series 1988D, AMT, 6.200% 10/01/09................................... Ba1 BB+ 1,831 2,100 Lucas County, Ohio, GO, Series 1997, 5.300% 12/01/05................................... A1 A+ 2,273 3,000 Ohio State, Environmental Improvement Revenue, (Mead Corporation Project) Series 1993, AMT, (Royal Bank of Canada LOC), Mandatory Put 11/01/04 @ 100, 2.250% 03/01/23................................... Baa2 A+ 3,000 2,000 Ohio State, GO, Series 2001B, 4.000% 11/01/05................................... Aa1 AA+ 2,116 10,000 Ohio State, Higher Educational Capital Facilities Revenue, Series 2002A-II, 5.000% 12/01/07................................... Aa2 AA 11,224 5,000 Ohio State, Public Facilities Commission Revenue, (Higher Education Capital Facilities Project) Series 1996 II-A, 4.375% 11/01/05................................... Aaa AAA 5,326
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- OHIO -- (CONTINUED) $ 2,190 Ohio State, Revenue, Series 2002, 4.500% 06/15/06................................... Aa3 AA $ 2,367 4,000 Ohio State, State Building Authority, Revenue, (Arts Facility Building Project) Series 1996, 5.000% 10/01/06................................... Aa2 AA 4,408 ---------- 37,314 ---------- OKLAHOMA -- 0.2% 2,000 Oklahoma, Housing Development Authority, Revenue, Series 2000A, (FHLMC COLL), 5.100% 11/01/05................................... Aa3 AA- 2,142 ---------- OREGON -- 0.3% 3,120 Oregon State, State Board of Higher Education, GO, Series 2001A, 5.000% 08/01/04................................... Aa3 AA 3,223 ---------- PENNSYLVANIA -- 4.7% 6,600 Berks County, Pennsylvania, Revenue Bond, Series 2002, (MBIA Insured, Wachovia Bank N.A. SBPA), 1.020%&& 11/01/23................................. VMIG1 NR 6,600 5,075 Chester County, Pennsylvania, GO Refunding, Series 1995B, Prerefunded 11/15/05 @ 100, 5.625% 11/15/16................................... Aa1 AA 5,548 8,450 Chester County, Pennsylvania, Industrial Development Authority, Revenue, (Malvern Prep School Project) Series 2001, (First Union National Bank LOC), 1.100%&& 04/01/31................................. NR NR 8,450 1,190 Delaware County, Pennsylvania Authority, Health Care Revenue, Series 1993B, Prerefunded 11/15/05 @ 100, 6.000% 11/15/07................................... Aaa AAA 1,248
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- PENNSYLVANIA -- (CONTINUED) $10,000 Pennsylvania State, GO Refunding, Series 2002, 5.000% 10/01/05................................... Aa2 AA $ 10,756 10,000 Pennsylvania State, GO, Series 2003, 5.000% 07/01/06................................... Aa2 AA 10,960 1,500 Philadelphia, Pennsylvania, Industrial Development Authority, IDR Refunding, (Ashland Oil Inc. Project) Series 1993, 5.700% 06/01/05................................... Baa2 BBB 1,561 3,000 Philadelphia, Pennsylvania, School District, GO Refunding, Series 1998B, (MBIA Insured State Aid Withholding), 5.000% 10/01/06................................... Aaa AAA 3,304 5,000 Philadelphia, Pennsylvania, Water and Wastewater Revenue, (MBIA-IBC Insured), 5.500% 06/15/06................................... Aaa AAA 5,532 1,415 Southeastern Pennsylvania, Transportation Authority, Pennsylvania Special Revenue, Unrefunded Balance, Series 1995A, (FGIC Insured), 6.500% 03/01/04................................... Aaa AAA 1,447 ---------- 55,406 ---------- PUERTO RICO -- 0.3% 3,500 Puerto Rico Commonwealth, Public Improvement, GO Refunding, Series 2003C, (MBIA Insured), Mandatory Put 07/01/08 @ 100, 5.000% 07/01/28................................... Aaa AAA 3,910 ---------- SOUTH CAROLINA -- 2.4% 1,090 Greenville, South Carolina, Tax Increment Revenue, Series 2003, (MBIA Insured), 2.000% 04/01/04................................... Aaa AAA 1,095
SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 5,750 Richland County, South Carolina, Environmental Improvement Revenue Refunding, (International Paper Company Project) Series 2002A, 4.250% 10/01/07................................... Baa2 BBB $ 5,997 2,370 South Carolina State, Education Assistance Authority, Revenue Refunding, (Guaranteed Student Loan Senior Lien Project) Series 1993A-3, AMT, (GTD STD LNS), 5.200% 09/01/05................................... Aaa AAA 2,424 1,000 South Carolina State, Public Service Authority, Revenue, Series 1999A, (MBIA Insured), 5.000% 01/01/05................................... Aaa AAA 1,049 2,110 South Carolina, Jobs Economic Development Authority, Economic Development Revenue, (Bennettsville Printing Project) Series 1995, (First Union National Bank LOC), 1.150%&& 09/01/10................................. A1 A+ 2,110 2,945 South Carolina, Jobs Economic Development Authority, Economic Development Revenue, (Shannon Forest Project) Series 2003, 1.100% 04/01/23................................... NR NR 2,945 610 South Carolina, Jobs Economic Development Authority, Economic Development Revenue, (Valley Proteins Inc. Project) Series 1995, (Harris Bank LOC), 1.150%&& 04/01/10................................. A1 A+ 610 5,000 South Carolina, Jobs Economic Development Authority, Economic Development Revenue, (Waste Management South Carolina Inc. Project) Series 2001, AMT, Mandatory Put 11/01/04 @ 100, 4.100% 11/01/16................................... Baa2 BBB 5,066
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 1,000 South Carolina, Jobs Economic Development Authority, Hospital Facilities Revenue, (Palmetto Health Alliance Project) Series 2000A, 6.300% 12/15/03................................... Baa2 BBB $ 1,011 1,030 South Carolina, Jobs Economic Development Authority, IDR, Series 1998, (First Union National Bank LOC), 1.250%&& 09/01/19................................. NR NR 1,030 4,500 South Carolina, Transition Infrastructure Bank Revenue, Series 1998A, (MBIA Insured), 5.000% 10/01/06................................... Aaa AAA 4,958 ---------- 28,295 ---------- SOUTH DAKOTA -- 0.1% 1,100 Rapid City, South Dakota, Sales Tax Revenue Refunding, Series 2002, (AMBAC Insured), 5.500% 06/01/05................................... Aaa AAA 1,179 ---------- TENNESSEE -- 1.2% 1,335 Franklin, Tennessee, Special School District, GO Refunding, Series 2002, 4.500% 06/01/06................................... Aa2 AA 1,443 1,405 Memphis-Shelby County, Tennessee, Airport Authority, Airport Revenue Refunding, AMT, Series 2002, (MBIA Insured), 4.000% 11/15/05................................... Aaa AAA 1,475 7,710 Memphis-Shelby County, Tennessee, Airport Authority, Special Facilities Revenue Refunding, (Federal Express Corporation Project) Series 2001, 5.000% 09/01/09................................... Baa2 BBB 8,466
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 3,000 Shelby County, Tennessee, Health Development and Housing Facility Board Revenue, (Arbors of Germantown Project) Series 1994, Mandatory Put 07/01/04 @ 100, 4.750% 07/01/24................................... Baa2 BBB $ 3,052 ---------- 14,436 ---------- TEXAS -- 13.7% 2,000 Arlington, Texas, Independent School District, GO Refunding, Series 2003, (PSF-GTD), 1.420%& 02/15/05.................................. Aaa AAA 1,962 1,000 Arlington, Texas, Waterworks and Sewer Revenue, (AMBAC Insured), 5.500% 06/01/04................................... Aaa AAA 1,030 2,000 Austin, Texas, Airport System Revenue, Unrefunded Balance, Prior Lien, Series 1995A, (MBIA Insured), 5.500% 11/15/06................................... Aaa AAA 2,185 3,000 Austin, Texas, GO Refunding, 5.250% 09/01/08................................... Aa2 AA+ 3,412 2,830 Austin, Texas, GO, Series 1995, Prerefunded 09/01/05 @ 100, 5.500% 09/01/12................................... Aa2 AA+ 3,063 4,110 Austin, Texas, GO, Series 2001, 5.250% 09/01/08................................... Aa2 AA+ 4,674 4,000 Austin, Texas, Utilities System Revenue Refunding, Series 1992A, (MBIA Insured), 6.000% 11/15/06................................... Aaa AAA 4,530 2,275 Austin, Texas, Utilities System Revenue Refunding, Series 1993A, (FGIC-TCRS Insured), 5.375% 05/15/05................................... Aaa AAA 2,328
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 3,000 Austin, Texas, Water and Wastewater System Revenue Refunding, Series 2001A&B, (FSA Insured), 6.500% 05/15/05................................... Aaa AAA $ 3,254 4,900 Brazos River Authority, Texas, PCR Refunding, (Texas Electric Company Project) Series 2001B, Mandatory Put 11/01/06 @ 100, 4.750% 05/01/29................................... Baa2 BBB- 5,129 1,555 Carrollton, Texas, Farmers Branch Independent School District, GO Refunding, Series 1993, 2.190%& 02/15/07.................................. Aa2 AA 1,445 2,000 Carrollton, Texas, Farmers Branch Independent School District, GO Refunding, Series 2001, (PSF-GTD), 5.000% 02/15/08................................... Aaa AAA 2,232 1,245 Carrollton, Texas, Farmers Branch Independent School District, GO, Series 2000, (PSF-GTD), 5.000% 02/15/07................................... Aaa AAA 1,375 1,000 Central Texas, Higher Education Authority, Revenue Refunding, Series 1993, AMT, (GTD STD LNS), 5.200% 12/01/04................................... Aaa AAA 1,043 1,000 Corpus Christi, Texas, Utilities System Revenue Refunding, Series 2002, (Financial Security Assurance), 4.000% 07/15/07................................... Aaa AAA 1,076 1,000 Corpus Christi, Texas, Utilities Systems Revenue, Series 1999, (FSA Insured), 5.000% 07/15/07................................... Aaa AAA 1,113
SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 4,920 Dallas, Texas, Independent School District, GO, Series 1995, (PSF-GTD), Prerefunded 08/15/05 @ 100, 5.750% 08/15/13................................... Aaa AAA $ 5,340 1,750 Dallas, Texas, Revenue Refunding, Series 2003C, (FSA Insured), Mandatory Put 07/01/08 @ 100, 5.000% 01/01/18................................... Aaa AAA 1,947 1,000 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Series 2001, 5.000% 10/01/06................................... Aa2 AA+ 1,102 12,615 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Series 2002A, 5.000% 10/01/06................................... Aa2 AA+ 13,899 5,265 Dallas-Fort Worth, Texas, International Airport Revenue, Series 2002A, (MBIA Insured), 5.500% 11/01/08................................... Aaa AAA 5,941 1,330 Fort Bend, Texas, Independent School District, GO, Series 2002, (PSF-GTD), 5.000% 08/15/07................................... Aaa AAA 1,482 4,000 Harris County, Texas, Health Facilities Development Authority, Hospital Revenue, (Memorial Hospital Systems Project) Series 1997A, (MBIA Insured), 4.875% 06/01/05................................... Aaa AAA 4,227 2,000 Harris County, Texas, Health Facilities Development Corporation Revenue, (St. Lukes Episcopal Hospital Project) Series 2001A, 5.250% 02/15/06................................... Aa3 AA- 2,158 1,845 Houston, Texas, GO Refunding, Series 1998A, 5.000% 03/01/05................................... Aa3 AA- 1,945
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 6,485 Houston, Texas, Water and Sewer Systems Revenue Refunding, Series 1991C, (AMBAC Insured), 1.820%& 12/01/06.................................. Aaa AAA $ 6,124 6,445 Keller, Texas, Independent School District, GO, Series 1993, (PSF-GTD), Prerefunded 02/15/06 @ 100, 5.500% 08/15/13................................... Aaa AAA 7,075 1,225 Lubbock, Texas, GO Refunding, Series 2002, (MBIA Insured), 4.750% 02/15/05................................... Aaa AAA 1,285 3,750 Matagorda County, Texas, Naval District No 1, PCR Refunding, (Central Power & Light Company Project) Series 1999A, Mandatory Put 11/01/03 @ 100, 3.750% 05/01/30................................... Baa2 BBB+ 3,752 1,000 Mesquite, Texas, Independent School District, GO Refunding, Series 1997A (PSF-GTD), 5.000% 08/15/04................................... Aaa AAA 1,034 5,000 Red River Authority, Texas, Education Financing Revenue, (Parish Day School Project) Series 2001A, (Allied Irish Bank plc-LOC), Mandatory Put 12/01/04 @ 100, 3.400% 12/01/31................................... VMIG1 NR 5,127 4,940 Red River Authority, Texas, PCR Refunding, (Hoechst Celanese Corporation Project) Series 1994, 5.200% 05/01/07................................... Baa2 BBB 5,081 3,265 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 5.000% 10/01/07................................... Baa2 BBB- 3,480
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 3,990 Sam Rayburn, Texas, Municipal Power Agency, Taxable Revenue Refunding, Series 2002, 5.600% 10/01/05................................... Baa2 BBB- $ 4,176 270 San Antonio, Texas, Electric and Gas Revenue, Series 1994, Prerefunded 02/01/04 @ 102, 4.700% 02/01/05................................... Aa1 AA+ 279 2,730 San Antonio, Texas, Electric and Gas Revenue, Unrefunded Balance, Series 1994, 4.700% 02/01/05................................... Aa1 AA+ 2,817 8,900 San Antonio, Texas, GO Refunding, Series 2001, 5.000% 08/01/07................................... Aa2 AA+ 9,918 1,000 San Antonio, Texas, GO, Series 2001, 5.000% 08/01/06................................... Aa2 AA+ 1,097 1,000 San Antonio, Texas, Water System Revenue, Series 2002A, (FSA Insured), 5.000% 05/15/06................................... Aaa AAA 1,091 1,725 Socorro, Texas, Independent School District, GO Refunding, Series 2002, (PSF-GTD), 5.000% 08/15/06................................... Aaa AAA 1,893 3,030 Texas A&M University, Revenue, Series 1996, 5.750% 05/15/05................................... Aa1 AA+ 3,252 5,000 Texas State, Public Finance Authority, GO Refunding, Series 2003A, 5.000% 10/01/05................................... Aa1 AA 5,375 6,600 Texas State, Public Finance Authority, GO Refunding, Series 2003A, 5.000% 10/01/08................................... Aa1 AA 7,434 4,000 Texas, Gulf Coast Waste Disposal Authority, Environmental Facility Revenue Refunding, (Occidental Chemical Corporation Project) Series 2001, 4.200% 11/01/06................................... Baa2 BBB+ 4,194
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 4,000 University of Texas, Permian University Revenue Refunding, Series 2002A, 5.000% 07/01/06................................... Aaa AAA $ 4,377 3,500 University of Texas, Permian University Revenue Refunding, Series 2002A, 5.000% 07/01/08................................... Aaa AAA 3,933 2,555 University of Texas, University Financing Systems Revenue, Series 2001C, 4.000% 08/15/05................................... Aaa AAA 2,688 ---------- 163,374 ---------- UTAH -- 2.8% 2,000 Utah County, Utah, Hospital Revenue, (IHC Health Services Inc. Project) Series 2002, 5.000% 05/15/05................................... Aa2 AA+ 2,110 10,000 Utah State, GO, Series 2001B, 4.500% 07/01/04................................... Aaa AAA 10,263 12,825 Utah State, GO, Series 2003A, 5.000% 07/01/07................................... Aaa AAA 14,312 1,000 Utah, Intermountain Power Agency, Power Supply Revenue Refunding, Series 2002, (AMBAC Insured), 4.000% 07/01/06................................... Aaa AAA 1,067 5,000 Utah, Intermountain Power Agency, Power Supply Revenue Refunding, Series 1998A, (MBIA Insured), 5.000% 07/01/07................................... Aaa AAA 5,561 ---------- 33,313 ---------- VIRGINIA -- 2.5% 2,000 Arlington County, Virginia, Industrial Development Authority, Hospital Facilities Revenue, (Virginia Hospital Center Project) Series 2001, 5.500% 07/01/05................................... A2 A 2,137
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- VIRGINIA -- (CONTINUED) $ 4,000 Fairfax County, Virginia, Economic Development Authority, Resource Recovery, Revenue Refunding, Series 1998A, AMT, (AMBAC Insured), 5.950% 02/01/07................................... Aaa AAA $ 4,490 3,350 Richmond, Virginia, GO, Series 2000, (FSA Insured), 5.125% 01/15/04................................... Aaa AAA 3,390 1,500 Virginia State, GO, Series 1993B, Prerefunded 12/01/03 @ 102, 5.200% 12/01/09................................... Aaa AAA 1,541 2,910 Virginia State, Public School Authority, Revenue Refunding, Series 1993, (State Aid Withholdings), 5.250% 01/01/09................................... Aa1 AA 2,998 1,550 Virginia, College Building Authority, Virginia Educational Facilities Revenue, (21st Century College Equipment) Series 2003, 5.000% 02/01/06................................... Aa1 AA+ 1,681 5,635 Virginia, Commonwealth Transportation Board, Federal Highway Reimbursement Notes Revenue, Series 2002, 4.000% 10/01/05................................... Aa2 AA 5,951 1,635 Virginia, Port Authority, CommonWealth Revenue, Series 1996, AMT, 5.750% 07/01/04................................... Aa1 AA+ 1,691 1,730 Virginia, Port Authority, CommonWealth Revenue, Series 1996, AMT, 5.750% 07/01/05................................... Aa1 AA+ 1,860 1,120 Virginia, Port Authority, Port Facility Revenue, Series 2003, (MBIA Insured), 4.000% 07/01/09................................... Aaa AAA 1,183 1,015 Virginia, Port Authority, Port Facility Revenue, Series 2003, (MBIA Insured), 5.000% 07/01/07................................... Aaa AAA 1,120
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- VIRGINIA -- (CONTINUED) $ 1,065 Virginia, Port Authority, Port Facility Revenue, Series 2003, (MBIA Insured), 5.000% 07/01/08................................... Aaa AAA $ 1,184 ---------- 29,226 ---------- WASHINGTON -- 2.4% 2,190 King County, Washington, School District Number 405 Bellevue, GO, Series 2002 4.000% 12/01/04................................... Aa1 AA+ 2,265 2,000 Lewis County, Washington, Public Utilities District No. 001 Revenue Refunding, Series 2003, 5.000% 10/01/06................................... Aa1 AA- 2,200 2,605 Seattle, Washington, GO, Series 2001, 4.000% 08/01/05................................... Aa1 AAA 2,739 1,000 Seattle, Washington, Municipal Light and Power Revenue, Series 2001, (FSA Insured), 5.250% 03/01/06................................... Aaa AAA 1,091 3,455 Seattle, Washington, Refunding and Improvement, GO, Series 2003, 4.000% 08/01/06................................... Aa1 AAA 3,696 1,765 Spokane County, Washington, School District Number 354 Mead, GO Refunding, Series 1993, (MBIA Insured), 5.100% 12/01/05................................... Aaa AAA 1,862 3,655 Washington State, GO Refunding, Series 2002R-A, 5.000% 09/01/06................................... Aa1 AA+ 4,017 1,500 Washington State, GO, Series 2001B, 5.000% 09/01/06................................... Aa1 AA+ 1,648 5,000 Washington State, GO, Series 2001R-A, 5.250% 09/01/05................................... Aa1 AA+ 5,382
SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- WASHINGTON -- (continued) $ 3,000 Washington State, Health Care Facility Authority, Revenue, (Fred Hutchinson Cancer Research Project) Series 2001, (AMBAC Insured), 0.980%&& 01/01/27................................. Aaa AAA $ 3,000 ---------- 27,900 ---------- WEST VIRGINIA -- 0.3% 3,625 Cabell County, West Virginia, Board of Education, GO Refunding, Series 1997, 5.500% 05/01/04................................... Aa3 AA- 3,718 ---------- WISCONSIN -- 2.5% 1,375 Appleton, Wisconsin, Waterworks Revenue Refunding, Series 2001, (FGIC Insured), 4.000% 01/01/07................................... Aaa AAA 1,474 1,000 Appleton, Wisconsin, Waterworks Revenue Refunding, Series 2001, (FGIC Insured), 4.000% 01/01/08................................... Aaa AAA 1,076 5,000 Kaukauna, Wisconsin, PCR, Refunding, (International Paper Project) Series 1997A, 5.150% 07/01/06................................... Baa2 BBB 5,264 2,070 Milwaukee, Wisconsin, GO Refunding, Series 2002, (FSA Insured), 5.000% 09/01/07................................... Aaa AAA 2,311 1,000 Milwaukee, Wisconsin, Metropolitan Sewer District, GO, Series 1992A, 6.125% 10/01/03................................... Aa1 AA+ 1,000
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------------- WISCONSIN -- (continued) $ 1,695 Osh Kosh, Wisconsin, Area School District, GO Refunding, Series 1996B, (MBIA-IBC Insured), 4.900% 03/01/06................................... Aaa AAA $ 1,837 1,615 Wisconsin State, Clean Water Revenue, Series 1, 4.500% 06/01/06................................... Aa2 AA+ 1,743 2,250 Wisconsin State, GO Refunding, Series 1993, 4.900% 11/01/06................................... Aa3 AA- 2,476 5,600 Wisconsin State, GO Refunding, Series 1998, 5.000% 05/01/05................................... Aa3 AA- 5,939 4,045 Wisconsin State, GO, Series 2001A, 6.000% 05/01/04................................... Aa3 AA- 4,162 1,005 Wisconsin State, Health and Education Facilities Authority, Revenue, (Gundersen Lutheran Hospital Project) Series 2003A, (FSA Insured), 5.000% 02/15/07................................... Aaa AAA 1,103 1,030 Wisconsin State, Health and Educational Facilities Authority, Revenue, (Gundersen Lutheran Project) Series 2003A, (FSA Insured), 4.000% 02/15/05................................... Aaa AAA 1,067 ---------- 29,452 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $1,158,602)..................................................... 1,181,494 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS Nations Short-Term Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
SHARES VALUE (000) (000) - ---------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 0.4% (Cost $4,428) 4,428 Nations Tax-Exempt Reserves, Capital Class Shares#............ $ 4,428 ---------- TOTAL INVESTMENTS (Cost $1,163,030*)................................ 100.0% 1,185,922 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. 0.0%+ Receivable for Fund shares sold............................... $ 3,259 Dividends receivable.......................................... 12 Interest receivable........................................... 13,854 Payable for Fund shares redeemed.............................. (4,815) Investment advisory fee payable............................... (120) Administration fee payable.................................... (209) Shareholder servicing and distribution fees payable........... (102) Distributions payable......................................... (1,597) Payable for investment securities purchased................... (9,452) Accrued Trustees' fees and expenses........................... (49) Accrued expenses and other liabilities........................ (279) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 502 ---------- NET ASSETS.......................................... 100.0% $1,186,424 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 106 Accumulated net realized loss on investments sold............. (1,077) Net unrealized appreciation of investments.................... 22,892 Paid-in capital............................................... 1,164,503 ---------- NET ASSETS.................................................... $1,186,424 ==========
VALUE - ---------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($910,552,832 / 87,177,822 shares outstanding).............. $10.44 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($201,548,335 / 19,294,176 shares outstanding).............. $10.45 ========== Maximum sales charge.......................................... 1.00% Maximum offering price per share.............................. $10.56 INVESTOR B SHARES: Net asset value and offering price per share** ($1,499,291 / 143,542 shares outstanding)................... $10.44 ========== INVESTOR C SHARES: Net asset value and offering price per share** ($72,823,196 / 6,972,006 shares outstanding)................ $10.45 ==========
- --------------- * Federal income tax information (see Note 7). **The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. & Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. &&Floating rate note. The interest rate shown reflects the rate in effect at September 30, 2003. + Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations Short Term Municipal Income Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): MBIA 12.82%
Nations Short Term Municipal Income Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Industrial Development Revenue/Pollution Control Revenue 12.47%
SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 98.1% ALABAMA -- 1.5% $ 2,000 Alabama State, Public School and College Authority, GO Refunding, Series 1993, 5.000% 12/01/05........................... Aa3 AA- $ 2,066 3,265 Alabama, Special Care Facilities Financing Authority, Hospital Revenue, (Charity Obligation Group Project) Series 1999A, (MBIA Insured, Escrowed to Maturity), 4.625% 11/01/10........................... Aaa AAA 3,566 2,500 Birmingham, Alabama, Industrial Water Board, Industrial Water Supply Revenue, Series 1978, (MBIA Insured), 6.000% 07/01/07........................... Aaa AAA 2,842 835 Birmingham, Alabama, Medical Clinic Board Revenue, (Baptist Medical Centers Project) Series 1979, 8.300% 07/01/08........................... Aaa AAA 957 2,500 Birmingham, Alabama, Revenue, (Baptist Medical Center of Birmingham Project) Series 1993A, (MBIA Insured), 5.500% 08/15/05........................... Aaa AAA 2,558 9,240 Courtland, Alabama, Industrial Development Board, Solid Waste Disposal Revenue, (Champion International Corporation Project) Series 1992, AMT, 7.000% 06/01/22........................... Baa2 BBB 9,334 5,750 Courtland, Alabama, Industrial Development Board, Solid Waste Disposal Revenue, (Champion International Corporation Project) Series 1993A, AMT, 6.375% 03/01/29........................... Baa2 BBB 5,800
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- ALABAMA -- (CONTINUED) $ 1,590 Prichard, Alabama, Waterworks and Sewer Board, Water and Sewer Revenue Refunding, Series 1994, (AMBAC Insured), 5.650% 11/15/04........................... Aaa AAA $ 1,672 ---------- 28,795 ---------- ALASKA -- 2.3% 3,000 Alaska State, Housing Finance Corporation Revenue, Series 1992A, (GO of Corporation), 6.000% 12/01/05........................... Aa2 AA- 3,245 1,965 Alaska State, Housing Finance Corporation Revenue, Series 1995A, (MBIA, FHA/VA/FNMA Mortgages), 5.800% 12/01/12........................... Aaa AAA 2,045 11,500 Alaska State, Housing Finance Corporation Revenue, Series 1997A, (MBIA Insured, GO of Corporation), 6.000% 06/01/27........................... Aaa AAA 12,003 1,505 Alaska State, Housing Finance Corporation, Revenue, Series 1995A, (MBIA Insured), 5.400% 06/01/08........................... Aaa AAA 1,594 3,345 Alaska, Industrial Development and Export Authority, Revenue Refunding, Series 1998A, AMT, (MBIA Insured), 5.250% 04/01/12........................... Aaa AAA 3,640 895 Alaska, Industrial Development and Export Authority, Revenue, Series 1995A, (GO of Authority LOC), 6.000% 04/01/05........................... A2 A- 946 1,000 Alaska, Municipal Bond Bank Authority, GO Refunding, Series 1993A, 5.250% 12/01/03........................... A2 A 1,007 1,790 Alaska, Municipal Bond Bank Authority, GO Refunding, Series 1993A, 5.650% 12/01/07........................... A2 A 1,802
SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- ALASKA -- (CONTINUED) $ 1,250 Alaska, Student Loan Corporation, Revenue, Series 1997A, AMT, (AMBAC Insured), 5.200% 07/01/06........................... Aaa AAA $ 1,354 2,000 Anchorage, Alaska, Electric Utility Revenue, Senior Lien, (Municipal Light and Power Project) Series 1996C, (AMBAC Insured), 5.300% 12/01/11........................... Aaa AAA 2,253 10,600 Anchorage, Alaska, GO Refunding, Series 2002, (MBIA Insured), 5.250% 07/01/10........................... Aaa AAA 12,065 1,100 Anchorage, Alaska, GO, Series 1994, (MBIA Insured), Prerefunded 07/01/04 @ 102, 5.600% 07/01/07........................... Aaa AAA 1,160 1,000 Fairbanks, Alaska, North Star Borough GO Refunding, Series 1993S, (MBIA Insured), 5.500% 03/01/08........................... Aaa AAA 1,139 ---------- 44,253 ---------- ARIZONA -- 2.8% 1,000 Apache County, Arizona, Public Finance Corporation, Certificates of Participation, Series 1994, 5.500% 05/01/07........................... A1 AA- 1,008 500 Arizona State, Power Authority, Power Reserves Revenue, Series 2001, 5.000% 10/01/10........................... Aa2 AA 563 1,500 Arizona, Educational Loan Marketing Corporation, Educational Loan Revenue, Series 1993, 6.300% 12/01/08........................... NR NR 1,535 1,500 Arizona, Health Facilities Authority, Hospital Systems Revenue Refunding, (Samaritan Health Systems Project) Series 1993, (MBIA Insured), 5.400% 12/01/05........................... Aaa AAA 1,634
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- ARIZONA -- (CONTINUED) $10,000 Arizona, School Facility Board, Certificate of Participation, Series 2003A, (MBIA Insured), 5.250% 09/01/14........................... Aaa AAA $ 11,240 2,000 Maricopa County, Arizona, Industrial Development Authority, Health Facilities Revenue, Series 1999A, (GNMA COLL, FHA), 6.300% 09/20/38........................... Aa2 AA 2,149 340 Maricopa County, Arizona, Industrial Development Authority, Single Family Mortgage Revenue, Series 2001-1B, (GNMA/FHLMC COLL, Fannie Mae Liquidity Facility), 6.100% 09/01/28........................... Aaa AAA 365 1,000 Maricopa County, Arizona, School District Number 028 Kyrene Elementary, GO, Series 1995B, (FGIC Insured), Prerefunded 07/01/04 @ 100, 5.900% 07/01/10........................... Aaa AAA 1,037 910 Mohave County, Arizona, Elementary School District Number 016 Mohave Valley, GO, Series 1997, (MBIA Insured), 6.900% 07/01/07........................... Aaa AAA 1,074 4,710 Phoenix, Arizona, Civic Improvement Corporation, Airport Revenue Refunding, Senior Lien, Series 1999A, AMT, (FGIC Insured), 5.500% 07/01/11........................... Aaa AAA 5,283 1,000 Phoenix, Arizona, Civic Improvement Corporation, Excise Tax Revenue, Senior Lien, (Municipal Courthouse Project) Series 1999A, 5.500% 07/01/12........................... Aa2 AAA 1,133
SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- ARIZONA -- (CONTINUED) $ 1,000 Phoenix, Arizona, Industrial Development Authority, Government Office Lease Revenue, (Capital Mall LLC Project) Series 2000, (AMBAC Insured), 5.200% 09/15/16........................... Aaa AAA $ 1,100 1,190 Phoenix, Arizona, Industrial Development Authority, Multi-Family Housing Revenue, (Heather Ridge Apartments Project) Series 1998A, (FNMA COLL), 5.200% 12/15/21........................... Aaa AAA 1,152 25 Phoenix, Arizona, Industrial Development Authority, Single Family Mortgage Revenue, Series 2000-1B, (GNMA/FNMA/ FHLMC COLL), 7.650% 12/01/24........................... Aaa AAA 27 1,000 Phoenix, Arizona, Street and Highway User Revenue Refunding, Series 1999, 4.600% 07/01/11........................... A1 A+ 1,067 2,125 Pima County, Arizona, Unified School District, GO, Series 1995G, (MBIA Insured), 7.300% 07/01/05........................... Aaa AAA 2,350 8,685 Salt River, Arizona, Agricultural Improvement and Power District, Electric Systems Revenue Refunding, (Salt River Project) Series 2001A, 5.250% 01/01/06........................... Aa2 AA 9,450 4,710 Salt River, Arizona, Agriculture Improvement and Power District, Electric Systems Revenue Refunding, (Salt River Project) Series 1993B, 5.200% 01/01/08........................... Aa2 AA 5,305
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- ARIZONA -- (CONTINUED) $ 1,670 Tucson and Pima County, Arizona, Industrial Development Authority, Single Family Mortgage Revenue, Series 2001A-1, AMT, (GNMA/FNMA/ FHLMC COLL), 6.000% 07/01/21........................... Aaa AAA $ 1,747 500 Tucson, Arizona, Airport Authority, Revenue, Series 2001, AMT, (AMBAC Insured), 5.500% 06/01/12........................... Aaa AAA 551 1,000 Tucson, Arizona, GO Refunding, Series 1995, (FGIC Insured), 5.600% 07/01/07........................... Aaa AAA 1,084 1,125 Tucson & Pima County, Arizona, Industrial Development Authority, Single Family Mortgage Revenue, Series 2001A1, AMT, (GNMA/FNMA/ FHLMC COLL), 6.350% 01/01/34........................... Aaa AAA 1,237 1,235 Yuma County, Arizona, Jail District Revenue, Series 1996, (AMBAC Insured), 5.300% 07/01/09........................... Aaa AAA 1,333 ---------- 53,424 ---------- ARKANSAS -- 1.4% 13,725 Arkansas State, Federal Highway Grant Anticipation GO, Series 2001A, 5.250% 08/01/09........................... Aa2 AA 15,733 10,000 Arkansas State, GO, Series 2000A, 5.500% 08/01/11........................... Aa2 AA 11,366 ---------- 27,099 ---------- CALIFORNIA -- 5.1% 6,000 ABAG Finance Authority for Non-Profit Corporations, California, Multi-Family Revenue Refunding, Series 2000B, (GTY- AGMT), Mandatory Put 8/15/08 @ 100, 6.250% 08/15/30........................... Baa3 BBB- 6,387
SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 2,000 California State, Department of Water Resources, Power Supply Revenue, Series 2002A, 6.000% 05/01/13........................... A3 BBB+ $ 2,299 2,000 California State, GO, Series 1990, 7.000% 08/01/04........................... A3 BBB 2,091 3,265 California State, GO, Series 2000, 5.000% 12/01/16........................... A3 BBB 3,407 5,500 California, Statewide Communities Development Authority, Revenue Certificates of Participation, Series 1993, 5.400%&& 11/01/15......................... A3 A- 5,615 1,800 Citrus Heights, California, Water District Revenue, Series 2000, (FGIC Insured), 5.250% 10/01/20........................... Aaa AAA 1,937 5,000 Golden State Tobacco Securitization Corporations, Tobacco Settlement Revenue, Series 2003A, 6.250% 06/01/33........................... Baa2 BBB 4,328 11,000 Los Angeles, California, Water & Power Revenue, Series 2003A, (MBIA Insured), 5.000% 07/01/11........................... Aaa AAA 12,313 9,035 Los Angeles, California, Public Improvement, GO, Series 2003A, (MBIA Insured), 5.000% 09/01/12........................... Aaa AAA 10,093 10,000 Los Angeles, California, Unified School District, Series 1998B, 5.000% 07/01/18........................... Aaa AAA 10,579 10,000 Sacramento, California, Municipal Utility District Electric Revenue Refunding, Series 2003S, (FSA Insured), 5.000% 11/15/09........................... Aaa AAA 11,439 2,000 San Francisco, California, City and County Airport Commission, International Airport Revenue Refunding, Series 2003B-29, (FGIC Insured), 5.250% 05/01/13........................... Aaa AAA 2,267
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $14,750 San Francisco, California, GO Refunding, Series 2002, 5.000% 06/15/11........................... Aa3 AA $ 16,506 6,280 Southern California, Public Power Authority, Power Project Revenue, (Magnolia Power Project) Series 2003A, (AMBAC Insured), 5.250% 07/01/17........................... Aaa AAA 6,924 400 Southern California, Public Power Authority, Power Project Revenue, Unrefunded Balance, Series 1989, 7.000% 07/01/05........................... A2 A 406 ---------- 96,591 ---------- COLORADO -- 2.6% 1,000 Adams County, Colorado, School District Number 012, GO, Series 1997, (FGIC Insured, State Aid Withholding), Prerefunded 12/15/07 @ 101, 5.250% 12/15/09........................... Aaa AAA 1,145 3,635 Aurora Centretech Metropolitan District, Colorado, GO Refunding, Series 1998C, (BNP Paribas LOC), Mandatory Put 12/01/08 @ 100, 4.875% 12/01/28........................... Aa3 AA- 3,901 2,445 Boulder Larimer and Weld Counties, Colorado State, Vrain Valley School District, GO, Series 1997, (FGIC Insured), 5.000% 12/15/10........................... Aaa AAA 2,718 10,000 Colorado, E-470 Public Highway Authority, Revenue, Series 1997B, (MBIA Insured), 4.060%& 09/01/12.......................... Aaa AAA 6,987 4,000 Colorado, Northwest Parkway Public Highway Authority, Revenue, Series 2001C, 4.810%& 06/15/21.......................... Aaa AAA 2,882
SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- COLORADO -- (CONTINUED) $ 3,075 Denver, Colorado, City and County Airport Revenue Refunding, Series 2000A, AMT, (AMBAC Insured), 6.000% 11/15/15........................... Aaa AAA $ 3,423 10,300 Denver, Colorado, City and County Airport Revenue, Series 1995C, (MBIA Insured), 6.500% 11/15/12........................... Aaa AAA 12,257 5,570 Denver, Colorado, City and County Excise Tax Revenue Refunding, Series 1999A, (FSA Insured), 5.375% 09/01/11........................... Aaa AAA 6,286 1,630 Denver, Colorado, Health and Hospital Authority, Healthcare Revenue, Series 2001A, 6.000% 12/01/23........................... Baa2 BBB 1,657 7,385 Douglas County, Colorado, School District Number 1, Douglas and Elbert Counties, GO, Series 2001, (MBIA Insured, State Aid Withholding), 5.250% 12/15/13........................... Aaa AAA 8,262 ---------- 49,518 ---------- CONNECTICUT -- 0.6% 4,215 Connecticut State, Housing Finance Authority, Revenue, (Housing Mortgage Finance Program) Series 1997D-2, AMT, 5.600% 11/15/21........................... Aaa AAA 4,389 7,800 Stamford, Connecticut, Housing Authority, Multifamily Revenue Refunding, (Fairfield Apartments Project) Series 1998, AMT, Mandatory Put 12/01/08 @ 100, 4.750% 12/01/28........................... Baa1 BBB+ 7,903 ---------- 12,292 ---------- DISTRICT OF COLUMBIA -- 0.7% 1,375 District Columbia, Revenue, (George University Project) Series 1988C, (MBIA Insured), 4.850% 04/01/09........................... Aaa AAA 1,507
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- DISTRICT OF COLUMBIA -- (CONTINUED) $ 2,000 District Columbia, Water and Sewer Authority, Public Utility Revenue, Series 1998, (FSA Insured), 5.500% 10/01/11........................... Aaa AAA $ 2,302 1,000 District of Columbia, Hospital Revenue Refunding, (Medlantic Healthcare Group Project) Series 1997A, (MBIA Insured), 6.000% 08/15/06........................... Aaa AAA 1,126 1,350 District of Columbia, Hospital Revenue Refunding, (Medlantic Healthcare Group Project) Series 1997A, (MBIA Insured), 6.000% 08/15/07........................... Aaa AAA 1,556 3,050 District of Columbia, Revenue, (Georgetown University Project) Series 1988C, (MBIA Insured), 5.050% 04/01/11........................... Aaa AAA 3,340 2,000 District of Columbia, Revenue, (The Smithsonian Institute Project) Series 1997, 5.000% 02/01/17........................... Aaa AAA 2,147 1,500 Metropolitan Washington, District of Columbia, Airport Revenue, Series 1994A, AMT, (MBIA Insured), 5.600% 10/01/06........................... Aaa AAA 1,584 ---------- 13,562 ---------- FLORIDA -- 5.1% 440 Deerfield Beach, Florida, Water and Sewer Revenue Refunding, Series 1992, (FGIC Insured), 6.125% 10/01/03........................... Aaa AAA 440 2,700 Duval County, Florida, Housing Finance Authority, Multi-Family Housing Revenue Refunding, (United Dominion Realty Trust - Greentree Place Project) Series 1995, Mandatory Put 04/01/15 @ 100, 6.750% 04/01/25........................... Baa3 BBB- 2,808
SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 3,890 Escambia County, Florida, Housing Finance Authority, Single-Family Mortgage Revenue, Series 1999, AMT, (FNMA/GNMA COLL), 4.500% 10/01/09........................... Aaa AAA $ 4,117 10,000 Florida State, Department of Environmental Protection & Preservation Revenue, (Florida Forever Project) Series 2003B, (MBIA Insured), 5.000% 07/01/08........................... Aaa AAA 11,257 2,500 Florida State, Board of Education, Capital Outlay Refunding GO, Series 1995D, 4.750% 06/01/07........................... Aa2 AA+ 2,667 3,990 Florida State, Board of Education, Capital Outlay Refunding GO, Series 1998B, 5.250% 06/01/11........................... Aa2 AA+ 4,540 5,575 Florida State, Board of Education, Public Education Capital Outlay GO, Series 1996A, 5.500% 06/01/06........................... Aa2 AA+ 6,173 7,290 Florida State, Department of Transportation GO Refunding, Series 2002, 5.250% 07/01/13........................... Aa2 AA+ 8,263 7,440 Florida, Housing Finance Agency, Multi-Family Housing Revenue Refunding, (Altamonte Project) Series 1994C, Mandatory Put 12/01/03 @ 100, 7.000% 12/01/24........................... Baa1 BBB+ 7,499 2,000 Florida, Housing Finance Agency, Multi-Family Housing Revenue Refunding, (United Dominion Realty Trust - Andover Project) Series 1996E, AMT, Mandatory Put 05/01/08 @ 100, 6.350% 05/01/26........................... Baa1 BBB+ 2,075
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 4,695 Florida, Ports Financing Commission Revenue, State Transportation Trust Fund, Series 1996, (MBIA Insured), 6.000% 06/01/06........................... Aaa AAA $ 5,218 4,000 Jacksonville, Florida, Electric Authority, Revenue Refunding, (St. John River Project) Series 1993-10, 6.500% 10/01/03........................... Aa2 AA 4,001 2,000 Lee County, Florida, Water and Sewer Revenue, Series 1999A, (AMBAC Insured), 4.750% 10/01/19........................... Aaa AAA 2,072 1,000 Manatee County, Florida, Public Utilities Revenue Refunding, Series 1991B, (MBIA Insured), 6.400% 10/01/03........................... Aaa AAA 1,000 5,000 Miami-Dade County, Florida, Aviation Revenue Refunding, Series 1998A, AMT, 5.250% 10/01/07........................... Aaa AAA 5,587 4,075 North Broward, Florida, Hospital District Revenue Refunding, Series 1997, 5.250% 01/15/11........................... Aaa AAA 4,494 2,300 Orlando and Orange County, Florida, Expressway Authority, Revenue, Series 1988, (AMBAC Insured), 7.625% 07/01/18........................... Aaa AAA 2,704 1,000 Osceola County, Florida, Transportation Revenue, (Osceola Parkway Project) Series 1992, (MBIA Insured), 5.850% 04/01/06........................... Aaa AAA 1,014 1,000 Palm Beach County, Florida, Criminal Justice Facilities Revenue, Series 1994, (FGIC Insured), Prerefunded 06/01/04 @ 102, 5.850% 06/01/07........................... Aaa AAA 1,052 7,000 Pinellas County, Florida, Housing Authority, Housing Revenue, (Affordable Housing Project), Series 2001, (FSA Insured), 4.600% 12/01/10........................... Aaa AAA 7,335
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 6,080 Tampa, Florida, Health Systems Revenue, (Catholic Health East Project) Series 1998A-1, (MBIA Insured), 5.500% 11/15/13........................... Aaa AAA $ 6,978 4,000 Tampa, Florida, Health Systems Revenue, (Catholic Health East Project) Series 1998A-1, (MBIA Insured), 5.500% 11/15/14........................... Aaa AAA 4,600 2,000 Tampa, Florida, Water and Sewer Revenue, Series 1987, 6.800% 10/01/07........................... Aaa AAA 2,210 ---------- 98,104 ---------- GEORGIA -- 1.1% 3,500 Cartersville, Georgia, Development Authority, Sewer Facilities Revenue Refunding, (Anheuser-Busch Companies, Inc. Project) Series 1997, AMT, 5.625% 05/01/09........................... A1 A+ 3,940 5,635 DeKalb County, Georgia, Special Recreation Tax District, GO, Series 2001, 5.000% 12/01/13........................... Aaa AA+ 6,329 5,000 Fulton and DeKalb Counties, Georgia, Hospital Authority, GO Refunding Certificates, (Grady Memorial Hospital Project) Series 1993, (MBIA Insured), 5.250% 01/01/04........................... Aaa AAA 5,053 1,000 Georgia State, GO, Series 1991C, 6.500% 04/01/04........................... Aaa AAA 1,027 4,400 Georgia State, GO, Series 1997C, 6.250% 08/01/09........................... Aaa AAA 5,268 ---------- 21,617 ---------- HAWAII -- 1.4% 1,000 Hawaii State, Department Budget and Finance Special Purpose Revenue, (Kapiolani Health Care Systems Project) Series 1993, 6.400% 07/01/13........................... Baa1 BBB+ 1,021
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- HAWAII -- (CONTINUED) $ 2,000 Hawaii State, GO Refunding, Series 1997, (FGIC Insured), 5.000% 03/01/04........................... Aaa AAA $ 2,033 13,745 Hawaii State, GO, Series 2001CV (FGIC Insured), 5.500% 08/01/09........................... Aaa AAA 15,876 4,680 Honolulu City and County, Hawaii, GO Refunding, Series 1990A, 7.350% 07/01/04........................... Aa2 AA- 4,897 2,500 Honolulu City and County, Hawaii, GO Refunding, Series 1990A, 7.350% 07/01/07........................... Aa2 AA- 2,976 ---------- 26,803 ---------- IDAHO -- 0.0%+ 165 Idaho, Housing Agency, Single Family Mortgage Revenue, Series 1990A, (FHA/VA Mortgages), 7.500% 07/01/24........................... Aa2 AA 165 ---------- ILLINOIS -- 8.5% 5,195 Chicago, Illinois, City Colleges Chicago Capital Improvement, GO, Series 1999, (FGIC Insured), 6.000% 01/01/11........................... Aaa AAA 6,036 1,000 Chicago, Illinois, Emergency Telephone Systems, GO, Series 1998, (FGIC Insured), 5.550% 01/01/08........................... Aaa AAA 1,144 2,000 Chicago, Illinois, Equipment Notes, GO, Series 1998, (FGIC Insured), 5.000% 01/01/08........................... Aaa AAA 2,229 5,650 Chicago, Illinois, GO Refunding, Series 1999, (FGIC Insured), 5.000% 01/01/15........................... Aaa AAA 6,067 7,540 Chicago, Illinois, GO Refunding, Series 1999, (FGIC Insured), 5.250% 01/01/18........................... Aaa AAA 8,408
SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $10,000 Chicago, Illinois, GO Refunding, Series 1999A, (FGIC Insured), 5.000% 01/01/08........................... Aaa AAA $ 11,143 5,975 Chicago, Illinois, Housing Authority, Capital Program Revenue, Series 2001, 5.250% 07/01/12........................... Aa3 AA 6,601 5,000 Chicago, Illinois, Housing Authority, Capital Program Revenue, Series 2001, 5.375% 07/01/13........................... Aa3 AA 5,519 1,000 Chicago, Illinois, Metropolitan Water Reclamation District, Greater Chicago, Capital Improvement Bonds GO, Series 1991, 6.750% 01/01/04........................... Aaa AA+ 1,014 5,640 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Series 1993C, (MBIA Insured), 5.000% 01/01/11........................... Aaa AAA 6,258 10,000 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Series 1999, (AMBAC Insured), 5.500% 01/01/12........................... Aaa AAA 10,923 10,200 Chicago, Illinois, Park District, GO, Series 1995, 6.600% 11/15/14........................... Aa3 AA 11,234 1,135 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), 5.250% 01/01/09........................... Aaa AAA 1,257 1,195 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), 5.250% 01/01/10........................... Aaa AAA 1,331 1,260 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), 5.250% 01/01/11........................... Aaa AAA 1,397 1,325 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), 5.250% 01/01/12........................... Aaa AAA 1,464
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 1,000 Chicago, Illinois, Public Building Commission Revenue, Chicago Transit Authority, Series 1995, (AMBAC Insured), Prerefunded 01/01/05 @ 100, 6.600% 01/01/15........................... Aaa AAA $ 1,069 2,000 Chicago, Illinois, Water Revenue Refunding, Series 1992, (AMBAC Insured), 5.600% 11/01/04........................... Aaa AAA 2,047 1,490 Chicago, Illinois, Water Revenue Refunding, Series 1993, (FGIC Insured), 5.100% 11/01/08........................... Aaa AAA 1,682 1,000 Cook County, Illinois, Capital Improvement GO, Series 1996, (FGIC Insured), 5.400% 11/15/07........................... Aaa AAA 1,113 2,000 Cook County, Illinois, Community College District Number 508, Certificates of Participation, Series 1990, (FGIC Insured), 8.750% 01/01/07........................... Aaa AAA 2,429 2,265 Cook County, Illinois, School District Number 135, GO Refunding, Series 1995, (FGIC Insured), 5.450% 12/01/08........................... Aaa AAA 2,507 2,350 Cook County, Illinois, School District Number 135, GO Refunding, Series 1995, (FGIC Insured), 5.550% 12/01/09........................... Aaa AAA 2,593 1,145 Du Page County, Illinois, School District, GO, Series 1997, (FGIC Insured), 6.750% 02/01/11........................... Aaa AAA 1,401 6,850 Illinois State, GO, Series 2000, Prerefunded 06/01/10 @ 100, 5.750% 06/01/15........................... Aaa AAA 8,020 10,000 Illinois State, GO, Series 2002, (FSA Insured), 5.375% 12/01/13........................... Aaa AAA 11,352
SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 5,025 Illinois, Development Financial Authority, Solid Waste Disposal Revenue, (Waste Management Inc. Project) Series 1997, AMT, 5.050% 01/01/10........................... Baa2 BBB $ 5,155 1,030 Illinois, Educational Facilities Authority, Revenue, (Shedd Aquarium Society Project) Series 1997, (AMBAC Insured), 5.150% 07/01/09........................... Aaa AAA 1,155 1,025 Illinois, Educational Facilities Authority, Revenue, (Shedd Aquarium Society Project) Series 1997, (AMBAC Insured), 5.250% 07/01/10........................... Aaa AAA 1,149 1,145 Illinois, Educational Facilities Authority, Revenue, (Shedd Aquarium Society Project) Series 1997, (AMBAC Insured), 5.300% 07/01/11........................... Aaa AAA 1,284 635 Illinois, Health Facilities Authority, Revenue, (Franciscan Sisters Health Care Hospital) Series 1994A, (MBIA Insured), 6.500% 09/01/05........................... Aaa AAA 699 6,320 Illinois, Health Facilities Authority, Revenue, (Highland Park Hospital Project) Series 1991B, (FGIC Insured), Prerefunded 10/01/07 @ 102, 5.900% 10/01/12........................... Aaa AAA 7,423 1,700 Illinois, Health Facilities Authority, Revenue, (Northwestern Memorial Hospital) Series 1994A, 5.400% 08/15/04........................... Aa2 AA+ 1,759 2,400 Illinois, Metropolitan Pier and Exposition Authority, Revenue, Series 1992, (MBIA- IBC Insured), 6.500% 06/01/05........................... Aaa AAA 2,607
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 1,580 Illinois, Metropolitan Pier and Exposition Authority, Revenue, Series 1996A, (AMBAC Insured), 6.000% 12/15/06........................... Aaa AAA $ 1,793 6,985 Illinois, Northwest Municipal Junction Action, Water Agency and Supply Systems Revenue, Series 1997, (MBIA Insured), 5.125% 05/01/11........................... Aaa AAA 7,737 1,670 Illinois, University Housing and Auxiliary Facilities Systems Revenue, Series 1996, (MBIA Insured), 5.000% 10/01/07........................... Aaa AAA 1,846 1,000 Lake County, Illinois, Warren Township High School District Number 121 Gurnee, GO Refunding, Series 1995, (FGIC Insured), 5.050% 01/01/07........................... Aaa AAA 1,067 1,005 McLean County, Illinois, School District Number 087 Bloomington, GO, Series 1993, 5.000% 02/01/04........................... Aa2 AA 1,018 3,300 Regional Transportation of Illinois Authority, Revenue, Series 1994A, (AMBAC Insured), 5.800% 06/01/05........................... Aaa AAA 3,467 1,750 Regional Transportation of Illinois Authority, Series 1994C, (FGIC Insured, GO of Authority), 7.750% 06/01/11........................... Aaa AAA 2,270 2,250 Springfield, Illinois, Electric Revenue, Senior Lien, Series 1991, 6.500% 03/01/07........................... Aa3 A+ 2,586 ---------- 159,253 ---------- INDIANA -- 2.5% 1,685 Carmel, Indiana, High School Building Corporation, Refunding Revenue, Series 1994, (MBIA Insured, State Aid Withholding), 5.250% 07/15/09........................... Aaa AAA 1,772
SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 2,500 Columbus, Indiana, Four Star School Building Revenue, Series 1995, (MBIA Insured, State Aid Withholding), 5.700% 01/15/08........................... Aaa AAA $ 2,743 1,575 Hamilton County, Indiana, County Option Income Tax Revenue, Series 1998, (FSA Insured), 5.250% 07/10/12........................... Aaa AAA 1,754 1,140 Hamilton, Southeastern Indiana, North Del School Building Corporation, Revenue, Series 1996, (AMBAC Insured, State Aid Withholding), 5.300% 07/15/11........................... Aaa AAA 1,279 1,385 Hamilton, Southeastern Indiana, Consolidated School Building Corporation, Revenue, Series 1995, (AMBAC Insured, State Aid Withholding), Prerefunded 07/15/05 @ 102, 5.750% 07/15/09........................... Aaa AAA 1,526 3,170 Hamilton, Southeastern Indiana, Consolidated School Building Corporation, Revenue, Series 1996, (AMBAC Insured, State Aid Withholding), 5.500% 01/15/12........................... Aaa AAA 3,513 6,000 Indiana State, Development Finance Authority, PCR Refunding, (Southern Indiana Gas and Electric Project) Series 1998C, AMT, Mandatory Put 03/01/06 @ 100, 5.000% 03/01/30........................... Baa1 BBB+ 6,216 1,100 Indiana, Bond Bank Revenue, (State Revolving Fund Project) Series 1995A, 6.875% 02/01/12........................... Aaa AAA 1,204
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 4,390 Indiana, Health Facilities Financing Authority, Hospital Revenue, (Clarian Health Partners, Inc. Project) Series 1996A, 5.000% 02/15/04........................... A1 AA- $ 4,450 1,035 Indiana, Ivy Tech State College Revenue, Series 1997E, (AMBAC Insured), 5.000% 07/01/07........................... Aaa AAA 1,149 1,000 Indiana, Ivy Tech State College Revenue, Series 1997E, (AMBAC Insured), 5.050% 07/01/09........................... Aaa AAA 1,103 1,000 Indiana, Transportation Financing Authority, Highway Revenue, Series 1998A, (MBIA Insured), 5.250% 12/01/13........................... Aaa AAA 1,115 1,500 Indiana, Transportation Financing Authority, Highway Revenue, Series 1998A, (MBIA Insured), 5.250% 12/01/14........................... Aaa AAA 1,666 1,000 Indiana, University of Indiana Revenue, Series 1998K, Prerefunded 08/01/05 @ 102, 5.800% 08/01/11........................... Aa2 AA 1,104 1,000 Indiana, University of Indiana Revenue, Series 1998K, Prerefunded 08/01/05 @ 102, 5.900% 08/01/12........................... Aa2 AA 1,106 1,520 Indiana, University of Indiana Revenue, Series 1998L, 5.000% 08/01/09........................... Aa2 AA 1,673 2,510 Indiana, University of Indiana Revenue, Series 1998L, 5.000% 08/01/10........................... Aa2 AA 2,710 515 Marion County, Indiana, Hospital Authority, Hospital Facilities Revenue, (Community Hospital Indianapolis Project) Series 1983, 6.000% 05/01/04........................... Aaa AAA 530
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 1,140 Pike Township, Indianapolis, School Building Corporation, Refunding Revenue, Series 1993, (State Aid Withholding), 4.800% 08/01/05........................... A1 AA $ 1,154 1,000 Plymouth, Indiana, Multi School Building Refunding Revenue, Series 1995, (MBIA Insured, State Aid Withholding), 5.550% 07/01/09........................... Aaa AAA 1,083 1,005 Shelby County, Indiana, Jail Building Corporation, Refunding Revenue, Series 1996, (MBIA Insured), 5.300% 07/15/07........................... Aaa AAA 1,101 1,045 Shelby County, Indiana, Jail Building Corporation, Refunding Revenue, Series 1996, (MBIA Insured), 5.400% 07/15/08........................... Aaa AAA 1,157 375 St. Joseph County, Indiana, Hospital Authority, Hospital Facilities Revenue, (St. Joseph Hospital South Bend) Series 1979, 8.500% 12/01/04........................... Aaa AAA 393 1,000 Tippecanoe County, Indiana, School Building Corporation, Revenue, Series 1994, (MBIA Insured, State Aid Withholding), Prerefunded 01/15/04 @ 102, 5.800% 07/15/09........................... Aaa AAA 1,034 1,085 Westfield, Indiana, Housing Building Corporation, Refunding Revenue, Series 1998, (AMBAC Insured, State Aid Withholding), 5.100% 01/05/12........................... Aaa AAA 1,191 1,185 Westfield, Indiana, Housing Building Corporation, Refunding Revenue, Series 1998, (AMBAC Insured, State Aid Withholding), 5.100% 07/05/12........................... Aaa AAA 1,306
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 1,745 Westfield, Indiana, Housing Building Corporation, Refunding Revenue, Series 1998, (AMBAC Insured, State Aid Withholding), 5.250% 01/05/14........................... Aaa AAA $ 1,915 ---------- 46,947 ---------- IOWA -- 0.6% 9,650 Iowa, Student Loan Liquidity Corporation, Student Loan Revenue Refunding, Series 1998J, AMT, (AMBAC Insured), 4.800% 06/01/09........................... Aaa AAA 10,354 1,000 Polk County, Iowa, GO Refunding, Series 1993, (FGIC Insured), 5.100% 12/01/03........................... Aaa AAA 1,007 ---------- 11,361 ---------- KANSAS -- 0.9% 5,000 Kansas State, Department of Transportation, Highway Revenue, Series 1992, 7.250% 03/01/05........................... Aa2 AAA 5,426 4,500 Kansas State, Development Finance Authority, Revenue, Series 1998A, 4.800% 06/01/13........................... A3 A- 4,739 2,175 Labette County, Kansas, Single-Family Mortgage Revenue, Zero Coupon Capital Accumulator Bonds, Series 1982, (Escrowed to Maturity), 4.210%& 12/01/14.......................... Aaa A- 1,366 5,000 Wichita, Kansas, Hospital Revenue Refunding, Series 2001-III, 6.250% 11/15/18........................... A1 A+ 5,578 ---------- 17,109 ---------- KENTUCKY -- 0.2% 180 Kentucky State, Turnpike Authority, Toll Road Revenue, Series 1986A, Prerefunded 07/01/06 @ 100, 5.500% 07/01/07........................... Aa3 A+ 197
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- KENTUCKY -- (CONTINUED) $ 3,625 Kentucky, Housing Corporation Revenue, Series 1993B, (FHA/VA/FNMA Mortgages), 4.850% 07/01/04........................... Aaa AAA $ 3,717 ---------- 3,914 ---------- LOUISIANA -- 0.0%+ 385 Jefferson Parish, Louisiana, Home Mortgage Authority, Series 1995A, (GNMA/FNMA Insured), 6.200% 12/01/20........................... Aaa AAA 396 ---------- MARYLAND -- 1.1% 1,500 Baltimore, Maryland, Port Facilities Revenue, (E.I. duPont de Nemours and Company Project) Series 1985, 6.500% 12/01/10........................... Aa3 AA- 1,537 10,925 Maryland State, Transportation Department Revenue, Series 2002, 5.500% 02/01/10........................... Aa2 AA 12,585 3,465 Prince Georges County, Maryland, Solid Waste Management System Revenue, Unrefunded Balance, Series 1993, 5.200% 06/15/06........................... Aaa AAA 3,546 2,500 Washington County, Maryland, Suburban Sanitation District Authority, Water Supply GO Refunding, Series 1993, 4.900% 12/01/05........................... Aaa AAA 2,565 ---------- 20,233 ---------- MASSACHUSETTS -- 1.9% 3,000 Massachusetts Bay, Transportation Authority, Revenue Refunding, Series 1993A, (MBIA- IBC Insured, GO of Authority, State GTD), 5.500% 03/01/09........................... Aaa AAA 3,446 8,000 Massachusetts State, GO Refunding, Series 1996A, 5.000% 11/01/09........................... Aa2 AA- 8,889
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- MASSACHUSETTS -- (CONTINUED) $ 6,800 Massachusetts State, Industrial Financing Agency, Recovery Revenue, (Ogden Haverhill Project) Series 1998A, 5.350% 12/01/10........................... Baa2 BBB $ 6,724 1,000 Massachusetts State, Industrial Financing Agency, Revenue, (Babson College Issue Project) Series 1998A, (MBIA Insured), 5.000% 10/01/18........................... Aaa AAA 1,064 2,785 Massachusetts, Educational Financing Authority, Education Loan Revenue Refunding, Series 1999A, (AMBAC Insured), 4.100% 07/01/05........................... Aaa AAA 2,913 3,005 Massachusetts, Educational Financing Authority, Educational Loan Revenue Refunding, Series 1999A, AMT, (AMBAC Insured), 4.750% 07/01/11........................... Aaa AAA 3,214 2,835 Massachusetts, Educational Financing Authority, Educational Revenue, Series 1998C, AMT, (MBIA Insured), 4.600% 12/01/08........................... Aaa AAA 3,104 2,515 Massachusetts, Educational Financing Authority, Educational Revenue, Series 1998C, AMT, (MBIA Insured), 4.700% 12/01/09........................... Aaa AAA 2,724 2,000 Massachusetts, University of Lowell Building Authority, Revenue, Series 1995A, (AMBAC Insured), 5.700% 11/01/09........................... Aaa AAA 2,218 2,000 New England Education Loan Marketing Company of Massachusetts, Student Loan Revenue Refunding, Series 1993A, AMT, 5.700% 07/01/05........................... Aa2 AA 2,140 ---------- 36,436 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- MICHIGAN -- 2.4% $ 1,895 Chippewa Valley, Michigan, Schools Refunding GO, Series 1994, (FGIC Q-SBLF Insured), 5.000% 05/01/08........................... Aaa AAA $ 1,975 1,000 Chippewa Valley, Michigan, Schools Refunding GO, Series 1994, (FGIC Q-SBLF Insured), 5.100% 05/01/09........................... Aaa AAA 1,043 7,500 Detroit, Michigan, Convention Facilities, Revenue Refunding, (Cobo Hall Expansion Project) Series 1993, (FSA Insured), 5.100% 09/30/04........................... Aaa AAA 7,803 2,000 Detroit, Michigan, GO Refunding, Series 1995B, 7.000% 04/01/04........................... Baa1 A- 2,055 1,000 Detroit, Michigan, Water Supply Systems Refunding Revenue, Series 1995B, (MBIA Insured), 5.300% 07/01/09........................... Aaa AAA 1,144 1,205 Grand Rapids, Michigan, Building Authority, Revenue, Series 1998, 5.000% 04/01/12........................... Aa2 AA 1,343 1,000 Grand Rapids, Michigan, Building Authority, Revenue, Series 1998, 5.000% 04/01/13........................... Aa2 AA 1,114 1,415 Grand Rapids, Michigan, Building Authority, Revenue, Series 1998, 5.000% 04/01/14........................... Aa2 AA 1,575 5,000 Michigan State, Hospital Finance Authority, Revenue, (Ascension Health Credit Project) Series 1999A, Prerefunded 11/15/09 @ 101, 5.750% 11/15/18........................... Aaa AAA 5,947 7,000 Michigan State, Hospital Finance Authority, Revenue, (Ascension Health Credit Project) Series 1999B, Mandatory Put 11/15/04 @ 100, 5.050% 11/15/33........................... Aa2 AA 7,286
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- MICHIGAN -- (CONTINUED) $ 4,000 Michigan, Greater Detroit Resource Recovery Authority, Revenue Refunding, Series 1996A, (AMBAC Insured), 5.500% 12/13/03........................... Aaa AAA $ 4,036 2,000 Michigan, Higher Education Student Loan Revenue Refunding, Series 1993-XII, (AMBAC Insured, GTD STD LNS), 5.000% 10/01/04........................... Aaa AAA 2,046 3,195 Royal Oak, Michigan, Hospital Financing Authority, Hospital Revenue, (William Beaumont Hospital Project) Series 1997, 3.270%& 11/15/07.......................... Aa3 AA- 2,794 2,000 Royal Oak, Michigan, Hospital Financing Authority, Hospital Revenue, (William Beaumont Hospital Project) Series 1997K, 2.760%& 11/15/06.......................... Aa3 AA- 1,836 1,850 South Lake, Michigan, Schools GO, Series 1997, (FGIC Q-SBLF Insured), 5.250% 05/01/12........................... Aaa AAA 2,057 1,000 Van Dyke, Michigan, Public Schools Refunding GO, Series 1996, (FGIC Q-SBLF Insured), 5.100% 05/01/09........................... Aaa AAA 1,099 1,000 Ypsilanti, Michigan, School District Refunding, Series 1996, (FGIC-Q-SBLF Insured), Prerefunded 05/01/07 @ 100, 5.400% 05/01/09........................... Aaa AAA 1,127 ---------- 46,280 ---------- MINNESOTA -- 0.7% 4,600 Minneapolis and St. Paul, Minnesota, MetroAirport Commission Airport Revenue, AMT, Series 1999B, (FGIC Insured), 5.000% 01/01/07........................... Aaa AAA 5,011
SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- MINNESOTA -- (CONTINUED) $ 6,285 Minneapolis and St. Paul, Minnesota, MetroAirport Commission Airport Revenue, Series 2001D, AMT, (FGIC Insured), 5.750% 01/01/13........................... Aaa AAA $ 6,959 2,150 Southern Minnesota Municipal Power Agency, Power Supply Systems Revenue, Refunded Balance, Series 1992B, 5.800% 01/01/07........................... Aaa AAA 2,201 ---------- 14,171 ---------- MISSISSIPPI -- 0.5% 7,000 Mississippi State, GO Refunding, Series 2000, 5.000% 12/01/08........................... Aa3 AA 7,911 1,000 Mississippi State, University Educational Building Corporation, Revenue, Series 1998, (AMBAC Insured), 5.250% 08/01/12........................... Aaa AAA 1,114 1,000 Mississippi State, University Educational Building Corporation, Revenue, Series 1998, (MBIA Insured), 5.250% 08/01/13........................... Aaa AAA 1,112 ---------- 10,137 ---------- MISSOURI -- 0.9% 1,590 Kansas City, Missouri, Water Revenue, Series 1994, 5.900% 12/01/05........................... Aa3 AA 1,676 2,980 Missouri State, Environmental Improvement and Energy Resource Authority, PCR Refunding, (Associated Electrical Cooperation - Thomas Hill Project) Series 1996, 5.500% 12/01/05........................... A1 AA 3,230 2,000 Missouri State, Health and Educational Facilities Authority, Health Facilities Revenue, (BJC Health Systems Project) Series 1994A, 5.900% 05/15/04........................... Aa3 AA- 2,060
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- MISSOURI -- (CONTINUED) $ 9,060 St. Louis, Missouri, Municipal Financial Corporation Lease Hold Revenue, (Convention Center Project) Series 2003, (AMBAC Insured), 5.250% 07/15/11........................... Aaa AAA $ 10,289 ---------- 17,255 ---------- MONTANA -- 0.2% 4,000 Montana State, Board Inventory Payroll Tax Revenue, (Workers Compensation Project) Series 1991, (MBIA Insured), 6.750% 06/01/07........................... Aaa AAA 4,643 ---------- NEVADA -- 1.9% 1,365 Clark County, Nevada, Passenger Facility Charge Revenue, Las Vegas/MaCarran International Airport, Series 1995A, (MBIA Insured), 5.750% 07/01/08........................... Aaa AAA 1,486 8,895 Clark County, Nevada, School District, GO Refunding, Series 2001C, (FGIC Insured), 5.375% 06/15/13........................... Aaa AAA 10,090 1,180 Henderson, Nevada, Series 1997A, (MBIA Insured), 5.100% 06/01/08........................... Aaa AAA 1,308 1,000 Nevada State, GO Refunding, (New Municipal Bond Bank Project) Series 1987C, 7.625% 11/01/03........................... Aaa AAA 1,000 6,570 Nevada State, GO, Series 1998A, 5.250% 05/15/16........................... Aa2 AA 7,210 11,305 Nevada State, Highway Improvement Revenue Bonds, (Motor Vehicle Fuel Tax), Series 2003, (MBIA Insured), 5.000% 12/01/09........................... Aaa AAA 12,775
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- NEVADA -- (CONTINUED) $ 1,350 Washoe County, Nevada, GO Refunding, (Reno/ Sparks Convention Project) Series 1995, (MBIA Insured), 5.375% 07/01/08........................... Aaa AAA $ 1,458 ---------- 35,327 ---------- NEW JERSEY -- 1.8% 5,000 New Jersey State, GO Refunding, Series 2001H, 5.250% 07/01/14........................... Aa2 AA 5,692 3,340 New Jersey State, Housing and Mortgage Finance Agency, Revenue, (Home Buyer Project) Series 1999, AMT, 5.300% 04/01/08........................... Aaa AAA 3,514 3,440 New Jersey State, Housing and Mortgage Finance Agency, Revenue, (Home Buyer Project) Series 1999, AMT, 5.400% 04/01/09........................... Aaa AAA 3,628 10,000 New Jersey State, Transportation Trust Fund Authority, Transportation Systems Revenue, Series 1997A, 5.000% 06/15/14........................... Aa3 AA- 10,800 3,840 New Jersey State, Transportation Trust Fund Authority, Transportations System Revenue, Unrefunded Balance, Series 1995A, (MBIA Insured), 5.500% 06/15/11........................... Aaa AAA 4,188 2,265 New Jersey State, Turnpike Authority, Revenue Refunding, Series 1972G, 5.750% 01/01/09........................... Aaa AAA 2,513 4,000 New Jersey, Tobacco Settlement Financing Corporation, Revenue, Series 2003, 6.750% 06/01/39........................... Baa2 BBB 3,570 ---------- 33,905 ---------- NEW MEXICO -- 2.1% 3,000 Bernalillo County, New Mexico, Gross Receipts Tax Revenue Refunding, Series 1998, 5.250% 04/01/27........................... Aa3 AA 3,240
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- NEW MEXICO -- (CONTINUED) $15,500 Lordburg, New Mexico, PCR Refunding, (Phelps Dodge Corporation Project) Series 1993, 6.500% 04/01/13........................... Baa3 BBB- $ 15,853 6,000 New Mexico State, Highway Community Tax Revenue, Series 2000A, 6.000% 06/15/10........................... Aa2 AA+ 7,091 775 New Mexico, Mortgage Finance Authority, Single Family Mortgage Revenue, Series 1997C-2, AMT, (GNMA/FNMA/ FHLMC COLL), 5.950% 07/01/17........................... Aaa AAA 811 1,450 New Mexico, Mortgage Finance Authority, Single Family Mortgage Revenue, Series 1997E-2, AMT, (GNMA/FNMA/ FHLMC COLL), 5.600% 07/01/17........................... Aaa AAA 1,506 3,675 New Mexico, Mortgage Finance Authority, Single Family Mortgage Revenue, Series 2001B-2, AMT, (GNMA/FNMA/ FHLMC COLL), 6.200% 09/01/32........................... Aaa AAA 3,996 2,800 New Mexico, Mortgage Finance Authority, Single Family Mortgage Revenue, Series 2002B-2, AMT, (GNMA/FNMA/ FHLMC COLL), 6.350% 03/01/33........................... Aaa AAA 3,113 2,425 New Mexico, Mortgage Finance Authority, Single Family Mortgage Revenue, Series 2002PG-A-2, (GNMA/FNMA/ FHLMC COLL), 6.450% 03/01/33........................... Aaa AAA 2,659 2,000 Santa Fe, New Mexico, Gross Receipts Tax Revenue, Series 1997A, (AMBAC Insured), 5.000% 06/01/08........................... Aaa AAA 2,244 ---------- 40,513 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 38 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- NEW YORK -- 3.9% $ 8,500 Dutchess County, New York, Industrial Development Agency, Industrial Development Revenue, (IBM Project) Series 1999, AMT, Mandatory Put 12/01/09 @ 100, 5.450% 12/01/29........................... A1 A+ $ 9,450 10,000 New York City, New York, Transitional Finance Authority, Revenue Refunding, Future Tax Secured, Series 2002A, 5.500% 11/01/26........................... Aa2 AA+ 11,322 5,000 New York State, Dormitory Authority, Revenue, (City University Project) Series 1993B, 5.250% 07/01/06........................... A3 AA- 5,475 5,850 New York State, Dormitory Authority, Revenue, (State Educational Facilities Project) Series 1993A, 5.250% 05/15/15........................... A3 AA- 6,553 1,000 New York State, Tollway Authority, Highway and Bridge Trust Fund Revenue, Series 1995A, (MBIA Insured), Prerefunded 04/01/05 @ 102, 5.600% 04/01/10........................... Aaa AAA 1,087 4,510 New York State, Tollway Authority, Service Contract Revenue, (Local Highway and Bridge Project) Series 2002, 5.500% 04/01/13........................... A3 AA- 5,100 4,000 New York State, Urban Development Corporation, Correctional and Youth Facility Services Revenue, Series 2002A, Mandatory Put 1/01/11 @ 100, 5.000% 01/01/17........................... Aa3 AA- 4,370
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 7,000 New York, New York City Municipal Water Finance Authority, Water and Sewer System Revenue, Series 2000B, 5.125% 06/15/31........................... Aa2 AA $ 7,122 3,870 New York, New York, GO, Series 1995D, Prerefunded 02/15/05 @ 101, 5.750% 02/15/07........................... Aaa A 4,156 3,500 New York, New York, GO, Series 1997, (MBIA Insured), 6.250% 04/15/07........................... Aaa AAA 4,022 1,700 New York, New York, GO, Series 1997L, (MBIA Insured), 8.000% 08/01/06........................... Aaa AAA 1,999 4,565 New York, New York, GO, Unrefunded Balance, Series 1995D, 5.750% 02/15/07........................... A2 A 4,901 8,000 Niagara County, New York, Individual Development Agency, Solid Waste Disposal Revenue, Series 2001B, AMT, Mandatory Put 11/15/13 @ 100, 5.550% 11/15/24........................... Baa1 BBB 8,331 ---------- 73,888 ---------- NORTH CAROLINA -- 1.7% 4,300 Cary, North Carolina, Water and Public Improvement, GO, Series 2001, 5.000% 03/01/13........................... Aaa AAA 4,753 3,000 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, (MBIA Insured), 6.000% 07/01/24........................... Aaa AAA 3,318 2,000 Cumberland County, North Carolina, GO, Series 1998, (FGIC Insured), 5.000% 03/01/17........................... Aaa AAA 2,159 1,820 North Carolina, Housing Finance Agency, (Single-Family Program) Series 1997RR, AMT, (FHA Insured), 5.850% 09/01/28........................... Aa2 AA 1,880
SEE NOTES TO FINANCIAL STATEMENTS. 39 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- NORTH CAROLINA -- (CONTINUED) $ 4,000 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Carolina Medicorp, Inc. Project) Series 1996, 5.125% 05/01/16........................... Aa3 AA- $ 4,274 3,505 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Novant Health, Inc. Project), Series 2003A, 5.000% 11/01/11........................... Aa3 AA- 3,835 3,135 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Pitt County Memorial Hospital Project) Series 1998A, 4.400% 12/01/08........................... Aa3 AA- 3,427 3,000 North Carolina, Medical Care Commission, Hospital Revenue, (Pitt County Memorial Hospital Project) Series 1998B, 5.000% 12/01/18........................... Aa3 AA- 3,126 5,000 North Carolina, Medical Care Community Hospital Revenue, (Duke University Hospital Project) Series 1996C, (MBIA-IBC Insured), 5.250% 06/01/26........................... Aaa AAA 5,120 1,200 Winston-Salem, North Carolina, Water and Sewer Systems Revenue Refunding, Series 1997, 4.600% 06/01/11........................... Aa2 AAA 1,272 ---------- 33,164 ---------- OHIO -- 3.1% 6,135 Lorain County, Ohio, Hospital Revenue Refunding, (Catholic Healthcare Project) Series 2001A, 5.625% 10/01/14........................... A1 AA- 6,737 3,000 Lorain County, Ohio, Hospital Revenue, (Catholic Healthcare Partnerships Project) Series 2001A, 5.625% 10/01/15........................... A1 AA- 3,277
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- OHIO -- (CONTINUED) $ 3,000 Lorain County, Ohio, Hospital Revenue, (Catholic Healthcare Partnerships Project) Series 2001A, 5.625% 10/01/16........................... A1 AA- $ 3,254 6,060 Montgomery County, Ohio, Hospital Revenue, (Kettering Medical Center Project) Series 1999, 6.500% 04/01/13........................... Baa1 BBB+ 6,671 10,695 Ohio State Revenue, (New State Infrastructure) Series 2002, 5.000% 06/15/10........................... Aa3 AA 12,014 1,000 Ohio State, Building Authority, State Facilities Administration Building Fund Revenue, Series 1994A, (MBIA Insured), Prerefunded 10/01/04 @ 102, 6.000% 10/01/09........................... Aaa AAA 1,069 5,000 Ohio State, Common Schools, GO, Series 2001A, 5.000% 06/15/12........................... Aa1 AA+ 5,464 8,150 Ohio State, Common Schools, GO, Series 2002B, 4.000% 09/15/08........................... Aa1 AA+ 8,820 8,000 Ohio State, Revenue, Series 2002, 4.500% 06/15/06........................... Aa3 AA 8,648 1,325 Ohio, Housing Finance Agency, Mortgage Revenue, (Residential Project) Series 1998B-2, AMT, (GNMA COLL), 4.800% 09/01/07........................... Aaa AAA 1,426 2,500 Scioto County, Ohio, Marine Terminal Revenue Refunding, (Norfolk Southern Corporation Project) Series 1998, 5.300% 08/15/13........................... Baa1 BBB 2,547 ---------- 59,927 ---------- OKLAHOMA -- 0.3% 4,670 Oklahoma City, Oklahoma, Airport Trust Revenue, Series 2000B, AMT, (FSA Insured), 5.375% 07/01/11........................... Aaa AAA 5,119 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 40 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- OREGON -- 0.6% $10,000 Oregon State, Department Administrative Services, Certificates of Participation, Series 2002C, (MBIA Insured), 5.250% 11/01/10........................... Aaa AAA $ 11,413 295 Oregon State, GO, (Elderly and Disabled Housing Project) Series 1996B, 5.700% 08/01/16........................... Aa3 AA 308 115 Oregon State, GO, (Elderly and Disabled Housing Project) Series 1997A, 5.050% 08/01/11........................... Aa3 AA 120 30 Oregon State, Housing and Community Services, Department Mortgage Revenue, (Single Family Mortgage Project) Series 1996A, 5.500% 07/01/08........................... Aa2 AA 33 145 Oregon State, Housing and Community Services, Department Mortgage Revenue, (Single Family Mortgage Project) Series 1997H, 5.150% 07/01/09........................... Aa2 AA 154 65 Oregon State, Housing and Community Services, Department Mortgage Revenue, (Single Family Mortgage Project) Series 1998D, 4.600% 07/01/07........................... Aa2 AA 69 255 Oregon State, Housing and Community Services, Department Mortgage Revenue, (Single Family Mortgage Project) Series 2000H, (FHA/VA), 5.550% 07/01/21........................... Aa2 AA 266 ---------- 12,363 ---------- PENNSYLVANIA -- 3.6% 5,000 Allegheny County, Pennsylvania, Airport Revenue Refunding, (Pittsburgh International Airport Project) Series 1997A-1, AMT, (MBIA Insured), 5.750% 01/01/08........................... Aaa AAA 5,577
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- PENNSYLVANIA -- (CONTINUED) $ 1,055 Central Dauphin, Pennsylvania, School District, GO, Series 1998, (FGIC Insured, State Aid Withholding), 5.000% 06/01/12........................... Aaa AAA $ 1,154 1,500 Central Dauphin, Pennsylvania, School District, GO, Series 1998AA, (MBIA Insured, State Aid Withholding), 5.000% 12/01/13........................... Aaa AAA 1,641 15,000 Delaware Valley, Pennsylvania, Regional Financing Authority, Local Government Revenue, Series 2002, 5.500% 07/01/12........................... Aa2 AA- 17,219 1,350 Ligonier Valley, Pennsylvania, School District, GO Refunding, Series 1998, (FSA Insured, State Aid Withholding), 5.000% 03/01/13........................... Aaa AAA 1,470 1,000 Pennsylvania State, GO, Series 1995, (AMBAC Insured), 5.000% 11/15/09........................... Aaa AAA 1,091 10,000 Pennsylvania State, GO, Series 2001, 5.125% 01/15/16........................... Aa2 AA 10,894 9,180 Pennsylvania, Housing Finance Agency, Single-Family Mortgage Revenue, Series 1997A-61, AMT, 5.450% 10/01/21........................... Aa2 AA+ 9,447 905 Pennsylvania, Saucon Valley School District, GO, Series 1998, (AMBAC Insured, State Aid Withholding) 5.150% 10/15/13........................... Aaa AAA 1,001 835 Pennsylvania, Saucon Valley School District, GO, Series 1998, (AMBAC Insured, State Aid Withholding), Prerefunded 04/15/08 @ 100, 5.150% 10/15/13........................... Aaa AAA 945
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- PENNSYLVANIA -- (CONTINUED) $ 880 Pennsylvania, Saucon Valley School District, GO, Series 1998, (AMBAC Insured, State Aid Withholding), Prerefunded 4/15/08 @ 100, 5.200% 10/15/14........................... Aaa AAA $ 998 950 Pennsylvania, Saucon Valley School District, Unrefunded Balance, Series 1998, (AMBAC State Aid Withholding), 5.200% 10/15/14........................... Aaa AAA 1,038 2,500 Philadelphia, Pennsylvania, Industrial Development Authority, IDR Refunding, (Ashland Oil Inc. Project) Series 1993, 5.700% 06/01/05........................... Baa2 BBB 2,602 780 Scranton, Pennsylvania, School District, GO, Series 1998, (AMBAC Insured, State Aid Withholding), 4.750% 04/01/08........................... Aaa AAA 869 235 Scranton, Pennsylvania, School District, GO, Unrefunded Balance, Series 1998, (AMBAC Insured, State Aid Withholding), 4.750% 04/01/08........................... Aaa AAA 261 595 Scranton, Pennsylvania, School District, GO, Unrefunded Balance, Series 1998, (AMBAC Insured, State Aid Withholding), 5.200% 04/01/11........................... Aaa AAA 661 1,895 Scranton, Pennsylvania, School District, GO, Unrefunded Balance, Series 1998, (AMBAC Insured, State Aid Withholding), Prerefunded 04/01/08 @ 100, 5.200% 04/01/11........................... Aaa AAA 2,150 1,175 Tunkhannock, Pennsylvania, Area School District, GO, Series 1998, (AMBAC Insured, State Aid Withholding), 5.100% 07/15/12........................... Aaa AAA 1,295
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- PENNSYLVANIA -- (CONTINUED) $ 1,245 Tunkhannock, Pennsylvania, Area School District, GO, Series 1998, (AMBAC Insured, State Aid Withholding), 5.150% 07/15/14........................... Aaa AAA $ 1,351 1,845 Tyrone, Pennsylvania, Area School District, GO, Series 1998, (MBIA State Aid Withholding), 5.000% 09/15/13........................... Aaa AAA 2,016 5,400 Westmoreland County, Pennsylvania, Industrial Development Authority, Revenue, (Valley Landfill Project) Series 1993, Mandatory Put 05/01/09 @ 100, 5.100% 05/01/18........................... Baa2 BBB 5,607 ---------- 69,287 ---------- PUERTO RICO -- 0.1% 1,000 Puerto Rico, Electric Power Authority, Power Revenue Refunding, Series 1995Z, 5.250% 07/01/07........................... A3 A- 1,087 ---------- RHODE ISLAND -- 0.0%+ 55 Rhode Island State, GO, Series 1992A, 5.400% 08/01/06........................... Aa3 AA- 56 ---------- SOUTH CAROLINA -- 1.0% 3,600 Cherokee County, South Carolina, School District Number 001, GO, Series 1997, (SCSDE), 5.000% 03/01/16........................... Aa1 AA+ 3,873 3,210 Greenville Hospital Systems of South Carolina, Hospital Facilities Revenue, Series 1996B, (GTY-AGMT), 5.500% 05/01/08........................... Aa3 AA 3,497 5,160 South Carolina, Piedmont Municipal Power Agency, Electric Revenue, Series 1996B, (FGIC Insured), 6.000% 01/01/07........................... Aaa AAA 5,821
SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 5,890 York County, South Carolina, Exempt Facilities IDR, (Hoechst Celanese Corporation Project) Series 1994, AMT, 5.700% 01/01/24........................... Baa2 BBB $ 5,785 ---------- 18,976 ---------- SOUTH DAKOTA -- 0.8% 2,000 South Dakota State, Building Authority, Lease Revenue, Series 1996A, (AMBAC Insured), 5.750% 12/01/05........................... Aaa AAA 2,190 1,335 South Dakota State, Health and Educational Facilities Authority, Revenue, (Rapid City Regional Hospital Project) Series 1976, 7.750% 09/01/07........................... Aaa AAA 1,528 11,000 South Dakota, Education Loans Inc., Student Loan Revenue, Series 1998, AMT, (GTD STD LNS), 4.950% 06/01/10........................... Aaa AAA 11,784 ---------- 15,502 ---------- TENNESSEE -- 2.9% 1,940 Fayetteville and Lincoln, Tennessee, Industrial Development Board Revenue, (Franke Inc. Project) Series 1997, (Corestate Bank N.A. LOC), 5.250% 06/01/04........................... Aa3 AA- 1,987 5,000 Knox County, Tennessee, GO Refunding, Series 2001, 5.000% 04/01/09........................... Aa2 AA 5,632 5,000 Knox County, Tennessee, Health Educational and Housing Facilities Board, Revenue, (University Health System Inc. Project) Series 1999, 5.625% 04/01/29........................... Baa1 BBB+ 5,050
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 6,180 Memphis-Shelby County, Tennessee, Airport Authority, Special Facilities and Project Revenue Refunding, (Federal Express Corporation Project) Series 1997, 5.350% 09/01/12........................... Baa2 BBB $ 6,533 5,000 Memphis-Shelby County, Tennessee, Airport Authority, Special Facilities Revenue Refunding, (Federal Express Corporation Project) Series 2001, 5.000% 09/01/09........................... Baa2 BBB 5,490 7,470 Metropolitan Government, Nashville and Davidson County, Tennessee, GO Refunding, Series 2003A & B, 5.250% 10/15/07........................... Aa2 AA 8,441 1,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Health and Educational Facilities Board, Improvement Revenue Refunding, (Meharry Medical College Project) Series 1996, (AMBAC Insured), 6.000% 12/01/08........................... Aaa AAA 1,176 6,450 Shelby County, Tennessee, GO Refunding, Series 1997B, 5.500% 08/01/08........................... Aa2 AA+ 7,416 8,000 Shelby County, Tennessee, Health Educational and Housing Facilities Board Revenue, (St. Jude's Childrens Research Project) Series 1999, 5.375% 07/01/24........................... Aa2 AA 8,159 1,190 Tennessee State, Housing Development Agency, Revenue, Series 1998, AMT, 4.950% 07/01/10........................... Aa2 AA 1,260 4,000 Tennessee, Gas Revenue, (Tennergy Corporation Project) Series 1999, (MBIA Insured), 5.000% 06/01/05........................... Aaa AAA 4,255 ---------- 55,399 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 43 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- TEXAS -- 14.8% $ 2,175 Aldine, Texas, Independent School District, GO Refunding, Series 1997, (PSF-GTD), 2.130%& 02/15/07.......................... Aaa AAA $ 2,025 1,500 Birdville, Texas, Independent School District, GO Refunding, Series 1997B, (PSF-GTD), 5.000% 02/15/07........................... Aaa AAA 1,656 2,575 Carrollton, Texas, Farmers Branch Independent School District, GO, Series 1996, (PSF-GTD), Prerefunded 02/15/06 @ 100, 5.700% 02/15/17........................... Aaa AAA 2,837 4,030 Colorado River, Texas, Municipal Water Revenue Refunding, Series 2003, (AMBAC Insured), 5.000% 01/01/12........................... Aaa AAA 4,463 1,455 Coppell, Texas, Waterworks and Sewer System Revenue, Series 2001, 5.000% 09/01/09........................... Aaa AAA 1,616 7,300 Dallas, Texas, Waterworks & Sewer Systems, Revenue Refunding, Series 2001, 5.000% 10/01/16........................... Aa2 AA+ 7,858 5,000 Dallas-Fort Worth, Texas, International Airport Revenue, Series 2003A, (FSA Insured), 5.500% 11/01/17........................... Aaa AAA 5,444 1,485 Duncanville, Texas, Independent School District, GO Refunding, Series 1993, (PSF-GTD), 5.200% 02/15/09........................... Aaa AAA 1,678 1,750 El Paso, Texas, Airport Revenue, (El Paso International Airport Project) Series 1996, (FGIC Insured), 5.300% 08/15/06........................... Aaa AAA 1,753 2,190 Fort Worth, Texas, Higher Education Financial Corporation, Higher Education Revenue, (Texas Christian University Project) Series 1997, 5.000% 03/15/17........................... Aa3 AA- 2,325
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 1,050 Galena Park, Texas, Independent School District, GO, Series 1997, (PSF-GTD), 5.000% 08/15/21........................... Aaa AAA $ 1,083 3,000 Galveston, Texas, Special Contract Revenue Refunding, (Farmland Industries Inc. Project) Series 1998, 5.500% 05/01/15........................... Caa2 CCC 1,934 3,120 Garland, Texas, Certificates of Obligation, GO, Series 2000, 5.500% 02/15/12........................... Aa2 AA 3,511 10,650 Guadalupe Blanco River Authority, Texas, Sewer and Solid Waste Disposal Facility, Revenue, (E.I. duPont de Nemours and Company Project) Series 1999, AMT, 5.500% 05/01/29........................... Aa3 AA- 10,881 1,000 Harris County, Texas, Certificates of Obligation GO, Series 1992, 6.000% 12/15/10........................... Aa1 AA+ 1,201 1,055 Harris County, Texas, Criminal Justice Center GO, Series 1996, 5.400% 10/01/10........................... Aa1 AA+ 1,171 2,730 Harris County, Texas, GO, Series 1996, 5.150% 10/01/07........................... Aa1 AA+ 2,981 1,000 Harris County, Texas, GO, Series 1996, 5.375% 10/01/09........................... Aa1 AA+ 1,109 10,990 Harris County, Texas, GO, Series 2001, 5.000% 10/01/12........................... Aa1 AA+ 12,142
SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 2,350 Harris County, Texas, Health Facilities Development Authority, Hospital Revenue Refunding, (Texas Children's Hospital Project) Series 1995, (MBIA Insured, Escrowed to Maturity), 6.000% 10/01/05........................... Aaa AAA $ 2,572 5,000 Harris County, Texas, Health Facilities Development Authority, Revenue, Series 1999A, (MBIA Insured), 5.375% 07/01/19........................... Aaa AAA 5,326 5,790 Harris County, Texas, Health Facility Development Corporation, Revenue, Series 1999A, (MBIA Insured), 5.625% 07/01/11........................... Aaa AAA 6,456 7,000 Houston, Texas, Airport System Revenue, Sub- Lien, Series 1998B, AMT, (FGIC Insured), 5.250% 07/01/12........................... Aaa AAA 7,501 6,755 Houston, Texas, Airport System Revenue, Sub- Lien, Series 2000A, AMT, (FSA Insured), 6.000% 07/01/09........................... Aaa AAA 7,764 5,000 Houston, Texas, Airport Systems Revenue, Sub-lien, Series 2002, (FSA Insured), 5.000% 07/01/27........................... Aaa AAA 5,036 7,320 Houston, Texas, GO, Series 2001A, (FSA Insured), 5.500% 03/01/10........................... Aaa AAA 8,404 13,625 Houston, Texas, Water and Sewer Systems Revenue Refunding, Series 2002B, (AMBAC Insured), 5.500% 12/01/06........................... Aaa AAA 15,262 6,025 Houston, Texas, Water Systems Revenue, Series 1979, 6.400% 12/01/14........................... Aaa AAA 7,110
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 4,000 Jefferson County, Texas, Health Facilities Development Corporation, Revenue, (Baptist Hospitals Project) Series 2001, (AMBAC Insured), 5.200% 08/15/21........................... Aaa AAA $ 4,175 1,680 Keller, Texas, Independent School District, GO, Series 1993, (PSF-GTD) Prerefunded 2/15/06 @ 100, 5.600% 08/15/07........................... Aaa AAA 1,848 1,000 Lewisville, Texas, Independent School District, GO, Series 1997, (PSF-GTD), 6.750% 08/15/08........................... Aaa AAA 1,200 6,470 Lubbock, Texas, Health Facilities Development Revenue, (St. Joseph Health Systems Project) Series 1998, (FSA-CR Insured), 5.000% 07/01/06........................... Aaa AAA 7,054 1,700 Midlothian, Texas, Independent School District, GO Refunding, Series 1995, (PSF-GTD), 5.200% 02/15/13........................... Aaa AAA 1,842 5,210 North Central Texas, Health Facilities Development Corporation, Revenue Refunding, (Baylor Healthcare Systems Project) Series 1995, (AMBAC - TCRS Insured), 5.500% 05/15/13........................... Aaa AAA 5,706 5,000 North Central, Texas, Health Facilities Development Corporation, Health Facilities Revenue, (Presbyterian Healthcare Residential Project) Series 1996B, (MBIA Insured), 5.500% 06/01/16........................... Aaa AAA 5,837 1,245 Pasadena, Texas, Independent School District, GO, Series 1998, (PSF-GTD), 5.000% 02/15/11........................... Aaa AAA 1,345
SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 4,000 Plano, Texas, Independent School District, GO Refunding, Series 2001, (PSF-GTD), 5.000% 02/15/09........................... Aaa AAA $ 4,485 2,110 Richardson, Texas, GO Refunding, Series 1998, 5.250% 02/15/07........................... Aa1 AA+ 2,351 8,355 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 5.500% 10/01/11........................... Baa2 BBB- 8,814 5,000 San Antonio, Texas, Electric and Gas Revenue Refunding, Series 2002, 5.000% 02/01/10........................... Aa1 AA+ 5,588 10,210 San Antonio, Texas, Electric and Gas Revenue Refunding, Series 2002, 5.375% 02/01/15........................... Aa1 AA+ 11,589 8,000 San Antonio, Texas, General Improvement District, GO Refunding, Series 2001, 5.000% 08/01/10........................... Aa2 AA+ 8,979 1,060 San Benito, Texas, Consolidated Independent School, GO Refunding, Series 1996, (PSF-GTD), 5.000% 08/01/07........................... Aaa AAA 1,149 3,805 Tarrant County, Texas, Health Facilities Development Corporation, Health Systems Revenue, (Texas Health Resources Systems Project) Series 1997A, (MBIA Insured), 5.750% 02/15/10........................... Aaa AAA 4,258 5,000 Tarrant County, Texas, Health Facilities Development Corporation, Health Systems Revenue, (Texas Health Resources Systems Project) Series 1997A, (MBIA Insured), 5.250% 02/15/17........................... Aaa AAA 5,322 3,200 Texas A&M University, Financing Systems Revenue, Series 1995, 5.950% 05/15/05........................... Aa1 AA+ 3,444
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 6,800 Texas State, Texas Public Financing Authority, GO Refunding, Series 1996B, Prerefunded 10/01/06 @ 100, 5.300% 10/01/07........................... Aa1 AA $ 7,571 5,000 Texas State, Turnpike Authority, Dallas North Tollway Revenue, (President George Bush Turnpike Project) Series 1995, (FGIC Insured), 5.000% 01/01/25........................... Aaa AAA 5,036 1,000 Texas State, Veterans Housing Assistance, GO, Series 1994B-4, AMT, 6.100% 12/01/06........................... Aa1 AA 1,024 10,910 Texas State, Water Development GO, Series 1997D, 5.000% 08/01/19........................... Aa1 AA 11,409 5,000 Texas, Alliance Airport Authority Inc., Facilities Revenue, (Federal Express Corporation Project) Series 1996, 6.375% 04/01/21........................... Baa2 BBB 5,242 2,000 Texas, Municipal Power Agency, Revenue Refunding, Series 1994, (FGIC Insured), 5.000% 09/01/08........................... Aaa AAA 2,064 2,000 Texas, Municipal Power Agency, Revenue Refunding, Series 1994, (FGIC Insured), 5.000% 09/01/09........................... Aaa AAA 2,068 6,000 Texas, Red River Authority, PCR Refunding, Series 1991, (AMBAC Insured), 5.200% 07/01/11........................... Aaa AAA 6,409 2,000 Texas, Southwest Higher Education Authority Inc., Higher Education Revenue Refunding, (Southern Methodist University Project) Series 1995, (FSA Insured), 5.125% 10/01/16........................... Aaa AAA 2,165 500 Texas, United Independent School District, GO, Series 1995, (PSF-GTD), 5.500% 08/15/08........................... Aaa AAA 554
SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 7,600 Texas, University of Texas Revenue Refunding, Series 2003B, 5.250% 08/15/12........................... Aaa AAA $ 8,619 4,500 Travis County, Texas, Health Facilities Development Corporation, Revenue, (Ascension Health Credit Project) Series 1999A, (AMBAC Insured), Prerefunded 11/15/09 @ 101, 5.875% 11/15/24........................... Aaa AAA 5,372 4,000 Travis County, Texas, Housing Finance Authority, Multi-Family Housing Revenue, (Lakeview Apartments Project) Series 2001A, 6.250% 07/01/22........................... B3 B- 3,272 1,900 West University Place, Texas, GO Refunding, Series 1998, (MBIA Insured), 5.100% 02/01/12........................... Aaa AAA 2,082 ---------- 280,972 ---------- UTAH -- 1.9% 2,145 Cache County, Utah, School District, GO Refunding, (Utah School Board Guaranty Program) Series 1997, (SCH BD GTY), 5.500% 06/15/07........................... Aaa AAA 2,426 1,000 Iron County, Utah, School District, GO, Series 1994, (MBIA Insured), Prerefunded 01/15/05 @ 100, 6.000% 01/15/06........................... Aaa AAA 1,063 11,100 Tooele County, Utah, Hazardous Waste Treatment Revenue, (Union Pacific Project) Series 1992, AMT, 5.700% 11/01/26........................... Baa3 BBB 11,057 5,000 Utah State, Building Ownership Authority, Lease Revenue Refunding, Series 1998, (FSA Insured), 5.500% 05/15/14........................... Aaa AAA 5,770 10,000 Utah State, GO Refunding, Series 2002B, 5.375% 07/01/11........................... Aaa AAA 11,475
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- UTAH -- (CONTINUED) $ 140 Utah State, Housing Finance Agency, Single Family Mortgage Revenue, Series 1996, (FHA/VA Mortgages), 5.750% 07/01/07........................... Aaa AA $ 152 2,500 Utah State, Student Loan Revenue, Series 1995N, AMT, (AMBAC Insured, GTD STD LNS), 5.900% 11/01/07........................... Aaa AAA 2,696 345 Utah, Intermountain Power Agency, Power Supply Revenue, Series 1993A, 5.000% 07/01/04........................... A1 A+ 353 370 Utah, Intermountain Power Agency, Power Supply Revenue, Series 1993A, 5.000% 07/01/04........................... A1 A+ 379 ---------- 35,371 ---------- VERMONT -- 0.1% 1,000 Vermont, Municipal Bond Bank, Revenue, Series 1996-1, (AMBAC Insured, GO of Bond Bank), 5.700% 12/01/10........................... Aaa AAA 1,145 ---------- VIRGINIA -- 1.3% 975 Chesterfield County, Virginia, Improvement GO Refunding, Series 1991, 6.250% 07/15/05........................... Aaa AAA 1,012 2,500 Newport News, Virginia, GO Refunding, Series 1993B, (State Aid Withholding), Prerefunded 11/01/03 @ 102, 5.400% 11/01/06........................... Aa2 AA 2,560 5,240 Norfolk, Virginia, GO Refunding, Series 1994, (State Aid Withholding), 5.200% 06/01/07........................... A1 AA 5,436 3,000 Virginia Beach, Virginia, GO Refunding, Series 1993, 5.100% 07/15/05........................... Aa1 AA+ 3,212 7,000 Virginia State, Public School Authority, Revenue Refunding, Series 1993B, (State Aid Withholding), 5.250% 01/01/07........................... Aa1 AA 7,211
SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- VIRGINIA -- (CONTINUED) $ 7,300 Virginia, Pocahontas Parkway Association Toll Road Revenue, Series 1998B, 8.350%& 08/15/15.......................... Baa3 BB $ 2,763 9,100 Virginia, Pocahontas Parkway Association Toll Road Revenue, Series 1998B, 8.350%& 08/15/19.......................... Baa3 BB 2,483 ---------- 24,677 ---------- WASHINGTON -- 7.0% 1,830 Chelan County, Washington, Public Utilities District No. 001, Constructive Systems Revenue, Series 1988A, 5.900% 07/01/13........................... Aa2 AA 1,872 2,655 Chelan County, Washington, Public Utilities District No. 1, Hydro Conservative Systems Revenue, Series 1997A, AMT, Mandatory Put 07/01/07 @ 100, 4.850% 07/01/32........................... Aa2 AA 2,871 1,255 Clark County, Washington, School District Number 037 Vancouver, GO Refunding, Series 1993, 5.500% 12/01/07........................... Aa3 AA- 1,290 1,805 Clark County, Washington, School District Number 117 Camas, GO Refunding, Series 1998, (AMBAC Insured), 5.000% 12/01/12........................... Aaa AAA 2,016 1,140 Jefferson County, Washington, School District No. 49, GO, Series 1998, (FSA Insured), 5.000% 12/01/07........................... Aaa AAA 1,274 6,150 King and Snohomish Counties, Washington, GO Refunding, Series 1993, (FGIC Insured), 5.600% 12/01/10........................... Aaa AAA 7,153 970 King County, Washington, GO Prerefunded Revenue, Series 2002 5.500% 12/01/13........................... Aa1 AA+ 1,136
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 1,000 King County, Washington, GO Refunding, Series 1998B, 4.750% 01/01/17........................... Aa1 AA+ $ 1,035 3,000 King County, Washington, GO, Series 1997D, 5.550% 12/01/08........................... Aa1 AA+ 3,435 1,000 King County, Washington, GO, Series 1997D, 5.750% 12/01/11........................... Aa1 AA+ 1,159 9,030 King County, Washington, Unrefunded Revenue, Series 2002, 5.500% 12/01/13........................... Aa1 AA+ 10,465 1,000 Kitsap County, Washington, Sewer Revenue, Series 1996, (MBIA Insured), Crossover Refunded 07/01/06 @ 100, 5.600% 07/01/08........................... Aaa AAA 1,107 1,000 Lewis County, Washington, Public Utilities District No. 001, Revenue, Series 1993, Prerefunded 10/01/03 @ 102, 5.500% 10/01/09........................... Aa1 AA- 1,020 2,500 Northwest, Washington, Revenue, (Energy Wind Project), Series 2001B, 6.000% 07/01/23........................... A3 A- 2,600 5,000 Port Seattle, Washington, Passenger Facility Charge Revenue, Series 1998, AMT, (AMBAC Insured), 5.250% 12/01/09........................... Aaa AAA 5,542 3,205 Port Seattle, Washington, Revenue, Series 1996-B, AMT, (FGIC Insured), 5.100% 09/01/05........................... Aaa AAA 3,418 3,780 Port Seattle, Washington, Revenue, Series 1996-B, AMT, (FGIC Insured), 6.000% 09/01/08........................... Aaa AAA 4,346 1,000 Seattle, Washington, Municipal Light and Power Revenue Refunding, Series 1993, 5.000% 05/01/04........................... Aa3 A+ 1,022 10,365 Seattle, Washington, Municipal Light and Power Revenue Refunding, Series 2001 5.250% 03/01/11........................... Aaa AAA 11,717
SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 1,500 Skagit County, Washington, Conservative School District No. 320, GO, Series 1994, Prerefunded 12/01/04 @ 100, 6.850% 12/01/10........................... Aaa AAA $ 1,601 555 Snohomish County, Washington, School District Number 002 Everett, GO, Series 1993, (MBIA Insured), Prerefunded 12/01/03 @ 102, 5.850% 12/01/05........................... Aaa AAA 571 530 Snohomish County, Washington, School District Number 002 Everett, GO, Series 1993, (MBIA Insured), Prerefunded 12/01/03 @ 102, 6.000% 12/01/06........................... Aaa AAA 545 445 Snohomish County, Washington, School District Number 002 Everett, GO, Series 1993, Unrefunded Balance, (MBIA Insured), Prerefunded 12/01/03 @ 102, 5.850% 12/01/05........................... Aaa AAA 458 935 Snohomish County, Washington, School District Number 002 Everett, GO, Series 1993, Unrefunded Balance, (MBIA Insured), Prerefunded 12/01/03 @ 102, 6.000% 12/01/06........................... Aaa AAA 962 8,000 Snohomish County, Washington, School District Number 002 Everett, GO, Series 1998A, (MBIA Insured), 5.500% 12/01/11........................... Aaa AAA 9,231 1,000 Spokane County, Washington, School District Number 081 Spokane, GO Refunding, Series 1992, 6.000% 12/01/03........................... Aa2 AA 1,008
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 1,975 Spokane County, Washington, School District Number 354 Mead, GO, Series 1998, (FGIC Insured), 5.000% 12/01/09........................... Aaa AAA $ 2,233 7,800 Spokane County, Washington, School District Number 354 Mead, GO, Series 1998, (FGIC Insured), 5.500% 12/01/10........................... Aaa AAA 9,022 1,600 Spokane County, Washington, School District Number 354 Mead, GO, Series 1998, (FGIC Insured), 5.250% 12/01/11........................... Aaa AAA 1,818 1,500 Tacoma, Washington, Electric Systems Revenue Refunding, Series 1994, (FGIC Insured), 5.800% 01/01/04........................... Aaa AAA 1,518 2,195 Tacoma, Washington, Electric Systems Revenue, Series 1992, (AMBAC Insured), 5.900% 01/01/05........................... Aaa AAA 2,221 1,000 Vancouver, Washington, Water and Sewer Revenue, Series 1995, (FGIC Insured), Prerefunded 06/01/05 @ 100, 5.850% 06/01/11........................... Aaa AAA 1,078 6,645 Washington State, GO Refunding, Series 1997R-98A, 5.000% 07/01/15........................... Aa1 AA+ 7,146 3,330 Washington State, GO, Series 1998C, 5.500% 07/01/09........................... Aa1 AA+ 3,836 5,150 Washington State, Public Power Supply Systems Revenue Refunding, (Nuclear Project Number 1) Series 1996A, (AMBAC Insured), 6.000% 07/01/05........................... Aaa AAA 5,575 1,150 Washington State, Public Power Supply Systems Revenue Refunding, Series 1993A, 5.800% 07/01/07........................... Aa1 AA- 1,306
SEE NOTES TO FINANCIAL STATEMENTS. 49 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 3,000 Washington State, Public Power Supply Systems Revenue Refunding, Series 1993B, (FSA Insured), 5.400% 07/01/05........................... Aaa AAA $ 3,218 8,000 Washington State, Public Power Supply Systems Revenue Refunding, Series 1996A, (AMBAC Insured), 5.500% 07/01/04........................... Aaa AAA 8,268 3,000 Washington State, Public Power Supply Systems Revenue Refunding, (Nuclear Number 1 Project) Series 1996A, (MBIA Insured), 6.000% 07/01/06........................... Aaa AAA 3,358 2,165 Washington, Conservation and Renewable Energy Systems, Conservation Project Revenue, Series 1994, Prerefunding 10/01/04 @ 102, 6.200% 10/01/08........................... Aa1 AA- 2,319 ---------- 131,770 ---------- WEST VIRGINIA -- 0.7% 3,980 West Virginia State, Hospital Finance Authority, Hospital Revenue Refunding, (Charleston Area Medical Center Project) Series 1993A, 6.500% 09/01/23........................... A2 A 4,930 1,000 West Virginia State, Hospital Finance Authority, Hospital Revenue Refunding, (Charleston Area Medical Center Project) Series 1995A, (MBIA Insured), 5.750% 09/01/13........................... Aaa AAA 1,088 1,265 West Virginia State, Hospital Finance Authority, Revenue, (Charleston Medical Center Project), Series 2000, Prerefunded 09/01/10 @ 101, 6.750% 09/01/22........................... A2 A 1,404
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- WEST VIRGINIA -- (CONTINUED) $ 5,235 West Virginia State, Hospital Finance Authority, Revenue, (Charleston Medical Center Project), Unrefunded Balance, Series 2000, Prerefunded 9/01/10 @ 101, 6.750% 09/01/22........................... A2 A $ 6,522 ---------- 13,944 ---------- WISCONSIN -- 2.7% 2,500 Milwaukee County, Wisconsin, GO, Series 2001A, 5.000% 10/01/12........................... Aa3 AA 2,756 2,500 Milwaukee County, Wisconsin, GO, Series 2001A, 5.000% 10/01/13........................... Aa3 AA 2,734 10,385 Milwaukee, Wisconsin, GO Refunding, Series 2002A, (FSA Insured), 5.250% 09/01/15........................... Aaa AAA 11,796 5,790 Milwaukee, Wisconsin, Metropolitan Sewer District, GO Refunding, Series 1997A, 5.125% 10/01/16........................... Aa1 AA+ 6,303 1,000 Winneconne, Wisconsin, Community School District, GO Refunding, Series 1998, (FSA Insured), 4.900% 04/01/10........................... Aaa AAA 1,082 1,050 Winneconne, Wisconsin, Community School District, GO Refunding, Series 1998, (FSA Insured), 5.000% 04/01/11........................... Aaa AAA 1,153 1,100 Winneconne, Wisconsin, Community School District, GO Refunding, Series 1998, (FSA Insured), 5.000% 04/01/12........................... Aaa AAA 1,201 4,745 Wisconsin State, GO, Series 1996A, 5.000% 05/01/16........................... Aa3 AA- 5,039 4,725 Wisconsin State, GO, Series 2002A, 5.000% 05/01/07........................... Aa3 AA- 5,241
SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- WISCONSIN -- (CONTINUED) $ 7,615 Wisconsin State, Health and Educational Facilities Authority, Revenue, (Aurora Health Care Inc. Project) Series 1999A, 5.600% 02/15/29........................... Baa1 BBB+ $ 7,089 5,000 Wisconsin, Badger TOB Asset Securitization Corporation, Asset Backed Revenue, Series 2002, 6.000% 06/01/17........................... Baa2 BBB 4,423 2,735 Wisconsin, Housing and Economic Development Authority, Revenue, Series 1997G, 5.350% 03/01/12........................... Aa2 AA 2,885 ---------- 51,702 ---------- WYOMING -- 0.8% 3,700 Natrona County, Wyoming, Hospital Revenue Refunding, (Wyoming Medical Center Project) Series 1998, (AMBAC Insured), 5.250% 09/15/06........................... Aaa AAA 4,065 1,000 Wyoming, Building Corporation Revenue, Series 1998, 5.000% 10/01/03........................... Aaa AAA 1,000 1,275 Wyoming, Building Corporation Revenue, Series 1998, (AMBAC Insured), 5.200% 10/01/11........................... Aaa AAA 1,425 2,885 Wyoming, Community Development Authority, Multi-Family Mortgage Revenue, (Aspen Court Apartments Project) Series 1999A, (Bank One Arizona N.A. LOC), Mandatory Put 12/01/08 @ 100, 4.750% 12/01/30........................... A1 A+ 2,949 60 Wyoming, Community Development Authority, Single Family Mortgage Revenue, Series 1991A, (FHA Mortgages), 7.100% 06/01/05........................... Aa2 AA 60
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------- WYOMING -- (CONTINUED) $ 1,000 Wyoming, Community Development Authority, Single Family Mortgage Revenue, Series 1991A, (FHA Mortgages), 7.200% 06/01/06........................... Aa2 AA $ 1,004 5,000 Wyoming, Student Loan Corporation Student Loan Revenue, Series 1997B, (GTD STD LNS), 5.000% 12/01/06........................... Aa2 AA 5,418 ---------- 15,921 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $1,766,452)......................................... 1,870,373 ----------
SHARES (000) - --------- INVESTMENT COMPANIES -- 0.8% (Cost $16,203) 16,203 Nations Tax-Exempt Reserves, Capital Class Shares#.......... 16,203 ---------- TOTAL INVESTMENTS (Cost $1,782,655*).............................. 98.9% 1,886,576 ---------- OTHER ASSETS AND LIABILITIES (NET)............................... 1.1% Cash........................................................ $ 1 Receivable for investment securities sold................... 2,085 Receivable for Fund shares sold............................. 3,036 Dividends receivable........................................ 12 Interest receivable......................................... 26,480 Payable for Fund shares redeemed............................ (1,830) Investment advisory fee payable............................. (359) Administration fee payable.................................. (335) Shareholder servicing and distribution fees payable......... (17) Distributions payable....................................... (6,171) Payable for investment securities purchased................. (1,915) Accrued Trustees' fees and expenses......................... (50) Accrued expenses and other liabilities...................... (366) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......................................... 20,571 ---------- NET ASSETS........................................ 100.0% $1,907,147 ========== NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 2,290 Accumulated net realized gain on investments sold........... 1,772 Net unrealized appreciation of investments.................. 103,921 Paid-in capital............................................. 1,799,164 ---------- NET ASSETS.................................................. $1,907,147 ==========
SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS FUNDS Nations Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($1,858,900,665 / 178,885,985 shares outstanding)......... $10.39 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($36,296,701 / 3,493,311 shares outstanding).............. $10.39 ========== Maximum sales charge........................................ 3.25% Maximum offering price per share............................ $10.74 INVESTOR B SHARES: Net asset value and offering price per share** ($5,799,655 / 558,291 shares outstanding)................. $10.39 ========== INVESTOR C SHARES: Net asset value and offering price per share** ($6,149,639 / 591,861 shares outstanding)................. $10.39 ==========
- --------------- *Federal income tax information (see Note 7). ** The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. &Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. && Floating rate note. The interest rate shown reflects the rate in effect at September 30, 2003. +Amount represents less than 0.1%. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations Intermediate Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): MBIA 15.53%
Nations Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Transportation Revenue 10.86%
SEE NOTES TO FINANCIAL STATEMENTS. 52 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 99.0% ALABAMA -- 3.2% $ 2,130 Birmingham, Alabama, GO Refunding, Series 2003, (AMBAC Insured), 5.250% 06/01/17................................... Aaa AAA $ 2,381 1,100 Huntsville, Alabama, GO, Series 1995A, 5.750% 02/01/14................................... Aa2 AA 1,171 5,000 Huntsville, Alabama, Health Care Authority, Revenue, Series 2001A, 5.750% 06/01/31................................... A2 A 5,113 1,430 Jefferson County, Alabama, Sewer Revenue Refunding, Series 1997A, (FGIC Insured), Prerefunded 02/01/07 @ 101, 5.625% 02/01/22................................... Aaa AAA 1,619 570 Jefferson County, Alabama, Sewer Revenue Refunding, Series 1997A, Unrefunded Balance, (FGIC Insured), 5.625% 02/01/22................................... Aaa AAA 622 1,020 Jefferson County, Alabama, Sewer Revenue, Series 1997A, (FGIC Insured), 5.625% 02/01/18................................... Aaa AAA 1,126 2,580 Jefferson County, Alabama, Sewer Revenue, Series 1997A, (FGIC Insured), Prerefunded 02/01/07 @ 101, 5.625% 02/01/18................................... Aaa AAA 2,930 1,000 McIntosh, Alabama, Industrial Development Board, Environmental Improvement Revenue, Series 1998C, 5.375% 06/01/28................................... A2 A 1,005 8,750 Phoenix County, Alabama, Industrial Development Board, Environmental Import Revenue Refunding, (Mead Coated Board Project) Series 1998B, (GTY-AGMT), 5.250% 04/01/28................................... Baa2 BBB 8,028 -------- 23,995 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- ALASKA -- 3.4% $ 1,250 Alaska State, International Airport Revenue, Series 2002B, (AMBAC Insured), 5.500% 10/01/11................................... Aaa AAA $ 1,433 2,500 Alaska, Student Loan Corporation, Student Loan Revenue, Series 1999A, AMT, (AMBAC Insured), 4.900% 07/01/08................................... Aaa AAA 2,716 1,000 Anchorage, Alaska, Electric Utilities Revenue Refunding, Senior Lien, Series 1993, (MBIA Insured), 8.000% 12/01/09................................... Aaa AAA 1,297 7,000 Anchorage, Alaska, Electric Utilities Revenue, Senior Lien, Series 1996B, (MBIA Insured), 5.500% 02/01/26................................... Aaa AAA 7,428 1,000 North Slope Borough, Alaska, Capital Appreciation GO, Series 1995A, (MBIA Insured), 1.780%& 06/30/06.................................. Aaa AAA 952 15,000 North Slope Borough, Alaska, Capital Appreciation GO, Series 2000B, (MBIA Insured), 3.810%& 06/30/11.................................. Aaa AAA 11,196 -------- 25,022 -------- ARIZONA -- 0.4% 5,000 Tucson and Pima County, Arizona, Industrial Development Authority, Single-Family Mortgage Revenue, Series 1983A, 4.200%& 12/01/14.................................. Aaa AAA 3,143 -------- ARKANSAS -- 0.2% 1,300 Arkansas State, Development Finance Authority, Revolving Loan Fund, Wastewater Systems Revenue, Series 1996A, Prerefunded 06/01/06 @ 101, 5.700% 12/01/12................................... Aa2 AA 1,459 --------
SEE NOTES TO FINANCIAL STATEMENTS. 53 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- CALIFORNIA -- 4.1% $ 5,000 ABAG Finance Authority for Non-Profit Corporations, California, Multi-Family Revenue Refunding, Series 2000A, AMT, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.400% 08/15/30................................... Baa3 BBB- $ 5,310 2,000 ABAG Finance Authority for Non-Profit Corporations, California, Multi-Family Revenue Refunding, Series 2000B, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.250% 08/15/30................................... Baa3 BBB- 2,129 2,500 California State, Department of Water Resources, Power Supply Revenue, Series 2002A, 5.125% 05/01/18................................... A3 BBB+ 2,619 1,000 California State, Department of Water Resources, Power Supply Revenue, Series 2002A, (AMBAC Insured), 5.375% 05/01/18................................... Aaa AAA 1,095 1,000 California State, GO, Series 1983, 9.000% 04/01/05................................... A2 A 1,110 3,300 California State, GO, Series 1990, 7.000% 08/01/05................................... A3 BBB 3,620 11,400 California State, GO, Series 2002, 5.000% 10/01/17................................... A3 BBB 11,913 2,500 San Francisco, California, Bay Area Rapid Transit District, Sales Tax Revenue Refunding, Series 1990, (AMBAC Insured), 6.750% 07/01/11................................... Aaa AAA 3,090 -------- 30,886 -------- COLORADO -- 0.6% 1,350 Colorado, Health Facilities Authority, Revenue, Catholic Health Initiatives, Series 2002A, 5.000% 03/01/11................................... Aa2 A+ 1,458
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- COLORADO -- (CONTINUED) $ 2,500 Douglas County, Colorado, Sales and Use Tax Revenue, Series 1996, (MBIA Insured), 5.500% 10/15/11................................... Aaa AAA $ 2,787 -------- 4,245 -------- CONNECTICUT -- 0.7% 5,000 Connecticut State, Health and Educational Facilities Authority, Revenue, (Eastern Connecticut Health Network Project) Series 2000A, 6.000% 07/01/25................................... Aa2 AA 5,455 -------- DISTRICT OF COLUMBIA -- 4.3% 9,000 District of Columbia, Hospital Revenue Refunding, (Medlantic Healthcare Group Project) Series 1997A, (MBIA Insured), Prerefunded 08/15/07 @ 102, 5.375% 08/15/15................................... Aaa AAA 10,188 3,985 District of Columbia, Revenue Refunding, (Howard University Project) Series 1996, (MBIA Insured), 5.750% 10/01/17................................... Aaa AAA 4,459 4,200 District of Columbia, Revenue, (Association of American Medical Colleges Project) Series 1997A, (AMBAC Insured), 5.375% 02/15/17................................... Aaa AAA 4,610 11,900 District of Columbia, Revenue, (Carnegie Endowment Project) Series 1996, 5.750% 11/15/26................................... Aa3 AA- 12,756 -------- 32,013 -------- FLORIDA -- 3.1% 1,735 Florida State, Board of Education, Capital Outlay GO, Unrefunded Balance, Series 1985, 9.125% 06/01/14................................... Aa2 AA+ 2,435
SEE NOTES TO FINANCIAL STATEMENTS. 54 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 4,425 Florida State, Transportation Department, GO, Series 2002, 5.000% 07/01/23................................... Aa2 AA+ $ 4,570 2,630 Hillsborough County, Florida, Aviation Authority Revenue Refunding, Series 2003D, AMT, (MBIA Insured), 5.500% 10/01/13................................... Aaa AAA 2,957 5,000 Jea, Florida, St. John's River Power Parkway Systems Revenue Refunding, Series 2002, 5.250% 10/01/13................................... Aa2 AA 5,552 2,000 Orange County, Florida, Tourist Development Tax Revenue Refunding, Series 1998A, (AMBAC Insured), 4.750% 10/01/24................................... Aaa AAA 2,006 5,000 Orange County, Florida, Tourist Development Tax Revenue, Series 2000, (AMBAC Insured), 5.250% 10/01/17................................... Aaa AAA 5,501 -------- 23,021 -------- GEORGIA -- 6.8% 5,000 Atlanta, Georgia, Airport Facilities Revenue Refunding, Series 2000A, (FGIC Insured), Prerefunded 01/01/10 @ 101, 5.600% 01/01/30................................... Aaa AAA 5,821 3,000 Chatham County, Georgia, Hospital Medical Authority, Revenue, (Memorial Health Medical Center Project) Series 2001A, 6.125% 01/01/24................................... A3 A- 3,210 1,000 DeKalb County, Georgia, School District, GO, Series 1993A, 6.250% 07/01/09................................... Aa2 AA 1,198 4,750 Fulco, Georgia, Hospital Authority, Revenue Anticipation Certificates, (St. Josephs Hospital Project) Series 1994, Prerefunded 10/01/04 @ 102, 5.500% 10/01/18................................... Aaa AAA 4,910
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 1,435 Gainesville & Hall County, Georgia, Hospital Authority, Revenue Anticipation Certificates, (Northeast Georgia Health System Income Project) Series 2001, 5.000% 05/15/11................................... A3 A- $ 1,505 1,610 Gainesville & Hall County, Georgia, Hospital Authority, Revenue Anticipation Certificates, (Northeast Georgia Health System Income Project) Series 2001, 5.000% 05/15/12................................... A3 A- 1,670 1,560 Gainesville & Hall County, Georgia, Hospital Authority, Revenue Anticipation Certificates, (Northeast Georgia Health System Income Project) Series 2001, 5.000% 05/15/13................................... A3 A- 1,607 3,000 Georgia State, GO, Series 1992B, 6.250% 03/01/11................................... Aaa AAA 3,610 6,445 Georgia State, GO, Series 1998B, 5.500% 07/01/10................................... Aaa AAA 7,481 9,160 Georgia State, Housing and Finance Authority, Single-Family Mortgage Revenue, Series 1999B-2, AMT, 6.100% 06/01/31................................... Aa2 AAA 9,558 3,750 Georgia State, Municipal Electric Authority, Power Revenue, Series 2002A, (FSA Insured), 5.000% 01/01/18................................... Aaa AAA 4,002 1,000 Metropolitan Atlanta, Rapid Transit Authority of Georgia, Revenue Refunding, Series 1992P, (AMBAC Insured), 6.100% 07/01/05................................... Aaa AAA 1,085 2,000 Metropolitan Atlanta, Rapid Transit Authority of Georgia, Revenue Refunding, Series 1992P, (AMBAC Insured), 6.250% 07/01/20................................... Aaa AAA 2,465
SEE NOTES TO FINANCIAL STATEMENTS. 55 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 2,000 Monroe County, Georgia Development Authority, PCR, (Oglethorpe Power Corporation Project) Series 1992A, 6.800% 01/01/11................................... A3 A $ 2,380 -------- 50,502 -------- HAWAII -- 0.2% 1,180 Honolulu City and County, Hawaii, GO Refunding, Series 1993B, 8.000% 10/01/10................................... Aa2 AA- 1,534 -------- ILLINOIS -- 11.3% 3,000 Chicago, Illinois, Metropolitan Water Reclamation District GO, Series 1993, 5.500% 12/01/12................................... Aaa AA+ 3,466 3,385 Chicago, Illinois, Metropolitan Water Reclamation District, Capital Improvement GO, Series 1991, 6.900% 01/01/07................................... Aaa AA+ 3,928 3,000 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Second Lien, Series 1993C, (MBIA Insured), 5.000% 01/01/18................................... Aaa AAA 3,083 8,000 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Second Lien, Series 1999, AMT, (AMBAC Insured), 5.500% 01/01/10................................... Aaa AAA 8,915 2,640 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Senior Lien, Series 1993A, 5.000% 01/01/16................................... A1 A+ 2,662 2,000 Chicago, Illinois, Park District, GO, Series 1996, (MBIA Insured), 5.500% 01/01/16................................... Aaa AAA 2,190 4,800 Chicago, Illinois, Water Revenue, Senior Lien, Series 2000, (AMBAC Insured), 5.750% 11/01/10................................... Aaa AAA 5,617
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 4,500 Cook County, Illinois, GO, Series 1996, (FGIC Insured), Prerefunded 11/15/06 @ 101, 5.900% 11/15/16................................... Aaa AAA $ 5,153 5,000 Cook County, Illinois, GO, Series 1997A, (MBIA Insured), 5.625% 11/15/22................................... Aaa AAA 5,479 2,565 Du Page County, Illinois, GO, Series 1993, 5.600% 01/01/21................................... Aaa AAA 2,924 1,660 Glendale Heights, Illinois, Hospital Revenue Refunding, (Glendale Heights Project) Series 1985B, 7.100% 12/01/15................................... Aaa AAA 2,048 3,000 Illinois State, Metropolitan Pier and Exposition Authority, Dedicated Tax Revenue Refunding, (McCormick Place Expansion Project) Series 2002B, (MBIA Insured), 5.000% 06/15/21................................... Aaa AAA 3,119 1,500 Illinois State, Sales Tax Revenue, Series 1994V, Prerefunded 06/15/05 @ 102, 6.375% 06/15/17................................... Aa3 AAA 1,662 2,200 Illinois State, Sales Tax Revenue, Series 1994V, Prerefunded 06/15/05 @ 102, 6.375% 06/15/20................................... Aa3 AAA 2,438 1,000 Illinois, Development Finance Authority, PCR Refunding, (Commonwealth Edison Company Project) Series 1994D, (AMBAC Insured), 6.750% 03/01/15................................... Aaa AAA 1,093 1,800 Illinois, Educational Facilities Authority, Revenue, (Northwestern University Project) Series 1993, 5.375% 12/01/21................................... Aa1 AA+ 1,846 4,500 Illinois, Educational Facilities Authority, Student Housing Advancement Funding Revenue, (University Center Project) Series 2002, 6.625% 05/01/17................................... Baa2 BBB 4,780
SEE NOTES TO FINANCIAL STATEMENTS. 56 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 8,750 Illinois, Metropolitan Pier & Exposition Authority, Dedicated State Tax Revenue, Series 1993, (FGIC Insured), 4.090%& 06/15/13.................................. Aaa AAA $ 5,906 11,640 Illinois, Metropolitan Pier & Exposition Authority, Dedicated State Tax Revenue, Unrefunded Balance, Series 1993A, (FGIC Insured), 4.140%& 06/15/13.................................. Aaa AAA 7,820 2,140 Kendall Kane & Will Counties, Illinois, Community Unit School District Number 308, GO, Series 2002, (FGIC Insured), 5.000% 10/01/14................................... Aaa AAA 2,348 1,535 McHenry County, Illinois, Community Unit School District Number 200, GO, Series 1996A, (FSA Insured), 5.750% 01/01/13................................... Aaa AAA 1,744 2,680 Southern Illinois, Capital Appreciation University Revenue, (Housing and Auxiliary Facilities Systems Program) Series 1997, (MBIA Insured), 1.770%& 04/01/06.................................. Aaa AAA 2,564 5,000 Will County, Illinois, Student Housing Revenue, (Joliet Junior College Project) Series 2002A, 6.750% 09/01/33................................... NR NR 4,452 -------- 85,237 -------- INDIANA -- 2.9% 2,500 Franklin, Indiana, Economic Development Revenue Refunding, (Hoover Universal, Inc. Project) Series 1994, (GTY-AGMT), 6.100% 12/01/04................................... A2 A- 2,633
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 1,000 Hamilton/Southeastern Indiana, North Delaware School Building Corporation, First Mortgage Revenue, Series 1996, (AMBAC Insured, State Aid Withholding), 5.000% 07/15/07................................... Aaa AAA $ 1,111 1,000 Hamilton/Southeastern Indiana, North Delaware School Building Corporation, First Mortgage Revenue, Series 1996, (AMBAC Insured, State Aid Withholding), 5.100% 07/15/09................................... Aaa AAA 1,116 6,200 Indiana, Health Facilities Financing Authority, Hospital Revenue, (Charity Obligation Group Project) Series 1997D, Prerefunded 11/01/07 @ 100, 5.000% 11/01/26................................... Aaa AAA 6,808 2,000 Indiana, Health Facilities Financing Authority, Hospital Revenue, (Clarian Health Partners, Inc. Project) Series 1996A, 5.500% 02/15/16................................... A1 AA- 2,105 2,000 Indiana, Ivy Tech State College, Revenue, Series 1997E, (AMBAC Insured), 5.125% 07/01/12................................... Aaa AAA 2,208 1,135 Indianapolis, Indiana, Marion County Public Library, GO, Series 2002A, 4.250% 07/01/15................................... Aa2 AA 1,171 2,260 Indianapolis, Indiana, Marion County Public Library, GO, Series 2002A, 4.700% 07/01/19................................... Aa2 AA 2,339 2,000 St. Joseph County, Indiana, Educational Facilities Revenue, (University of Notre Dame - Du Lac Project) Series 1996, 5.500% 03/01/26................................... Aaa AAA 2,117 -------- 21,608 --------
SEE NOTES TO FINANCIAL STATEMENTS. 57 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- IOWA -- 0.4% $ 2,750 Iowa, Student Loan Liquidity Corporation, Student Loan Revenue Refunding, Series 1998J, AMT, (AMBAC Insured), 4.800% 06/01/09................................... Aaa AAA $ 2,951 -------- KANSAS -- 0.3% 2,500 Sedgwick County, Kansas, Unified School District No 259 Wichita, GO, Series 2002, (FSA Insured), 2.500% 10/01/17................................... Aaa AAA 2,044 -------- KENTUCKY -- 0.2% 1,000 Kentucky State, Turnpike Authority, Economic Development Revenue Refunding, (Revitalization Project) Series 1993, (AMBAC Insured), 5.500% 07/01/08................................... Aaa AAA 1,146 -------- MARYLAND -- 1.1% 3,000 Maryland State, Economic Development Corporation, Student Housing Revenue, (Salisbury Collegiate Housing Project) Series 1999A, 6.000% 06/01/30................................... Baa3 BBB- 3,103 4,750 Northeast Maryland, Waste Disposal Authority, Revenue Refunding, Series 2003, (AMBAC Insured), 5.500% 04/01/10................................... Aaa AAA 5,356 -------- 8,459 -------- MASSACHUSETTS -- 0.5% 3,000 Massachusetts State, Water Resources Authority, General Revenue, Series 1993C, (AMBAC Insured), 5.250% 12/01/15................................... Aaa AAA 3,417 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- MICHIGAN -- 2.9% $ 1,670 Byron Center, Michigan, Public Schools, GO, Series 1995, (MBIA Insured), Prerefunded 05/01/05 @ 101, 5.970% 05/01/15................................... Aaa AAA $ 1,814 1,000 Detroit, Michigan, GO Refunding, Series 1995B, 6.375% 04/01/07................................... Baa1 A- 1,067 1,000 Leslie, Michigan, Public Schools Ingham and Jackson Counties, GO Refunding, Series 1995, (AMBAC Insured), Prerefunded 05/01/05 @ 101, 6.000% 05/01/15................................... Aaa AAA 1,086 3,000 Michigan State, Comprehensive Transportation Revenue Refunding, Series 1996A, (MBIA Insured), 5.250% 08/01/13................................... Aaa AAA 3,328 5,435 Michigan State, Environmental Protection Program, GO, Series 1992, 6.250% 11/01/12................................... Aaa AAA 6,547 1,000 Michigan, Municipal Board Authority Revenue, Series 2001, 5.250% 10/01/19................................... Aaa AAA 1,085 6,310 University of Michigan, Hospital Revenue Refunding, Series 2002, 5.250% 12/01/20................................... Aa2 AA 6,638 -------- 21,565 -------- MISSISSIPPI -- 0.4% 2,470 Lowndes County, Mississippi, Solid Waste Disposal PCR Refunding, (Weyerhaeuser Company Project) Series 1992A, 6.800% 04/01/22................................... Baa2 BBB 2,843 -------- MISSOURI -- 3.7% 1,000 Independence, Missouri, School District, GO, Series 1991, 6.250% 03/01/11................................... A3 A- 1,177
SEE NOTES TO FINANCIAL STATEMENTS. 58 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- MISSOURI -- (CONTINUED) $ 1,450 Jefferson City, Missouri, School District, GO, Series 1991A, 6.700% 03/01/11................................... Aa2 AA $ 1,765 1,500 Kansas City, Missouri, Water Revenue, Series 1994D, Prerefunded 12/01/04 @ 100, 6.600% 12/01/14................................... Aa3 AA 1,597 3,425 Missouri State, Environmental Improvement and Energy Resource Authority, PCR Refunding, (Associated Electrical Cooperation Thomas Hill Project) Series 1996, 5.500% 12/01/10................................... A1 AA 3,868 2,000 Missouri State, Environmental Improvement and Energy Resource Authority, PCR Refunding, (Associated Electrical Cooperation Thomas Hill Project) Series 1996, 5.500% 12/01/11................................... A1 AA 2,259 4,065 Missouri State, GO, Series 1995, Prerefunded 04/01/05 @ 102, 5.600% 04/01/15................................... Aaa AAA 4,418 2,000 Missouri State, Health and Educational Facilities Authority, Revenue, (SSM Health Care Corporation Project) Series 2002A, 5.000% 06/01/11................................... Aa3 AA- 2,158 2,500 Missouri State, Health and Educational Facilities Authority, Revenue, (SSM Health Care Project) Series 2002A, 5.250% 06/01/12................................... Aa3 AA- 2,734 155 Missouri State, Housing Development Commission, Single-Family Mortgage Revenue, (Homeowner Loan Project) Series 1995A, AMT, (GNMA/FHA/VA COLL), 6.100% 09/01/14................................... Aaa AAA 161
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- MISSOURI -- (CONTINUED) $ 1,625 Missouri State, Water Pollution Control, GO, Series 1995A, Prerefunded 04/01/05 @ 102, 5.600% 04/01/15................................... Aaa AAA $ 1,766 3,500 Sikeston, Missouri, Electrical Revenue Refunding, Series 1992, (MBIA Insured), 6.100% 06/01/07................................... Aaa AAA 4,023 1,400 St. Louis, Missouri, Industrial Development Authority, PCR Refunding, (Anheuser Busch Company Project) Series 1991, 6.650% 05/01/16................................... A1 A+ 1,749 -------- 27,675 -------- NEBRASKA -- 0.3% 1,600 Omaha, Nebraska, Public Power District, Electric Revenue, Series 1992B, 6.200% 02/01/17................................... Aa2 AA 1,947 -------- NEVADA -- 2.7% 2,200 Clark County, Nevada, Highway Revenue Refunding, Series 2003, (AMBAC Insured), 5.000% 07/01/12................................... Aaa AAA 2,452 2,960 Clark County, Nevada, Passenger Facility Revenue Refunding, Series 2002, (MBIA Insured), 5.250% 07/01/11................................... Aaa AAA 3,258 4,515 Clark County, Nevada, Passenger Facility Revenue Refunding, Series 2002, (MBIA Insured), 5.250% 07/01/12................................... Aaa AAA 4,947 4,000 Nevada State, GO, Series 1995A, 5.500% 11/01/16................................... Aa2 AA 4,348 2,625 Nevada State, GO, Series 1995A, 5.500% 11/01/17................................... Aa2 AA 2,853 2,000 Nevada State, Municipal Board, GO, (Bank Project Number 40-41) Series 1993A, 6.375% 12/01/17................................... Aaa AAA 2,048 -------- 19,906 --------
SEE NOTES TO FINANCIAL STATEMENTS. 59 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- NEW JERSEY -- 0.5% $ 2,500 New Jersey State, GO, Series 1986B, 6.250% 01/15/05................................... Aa2 AA $ 2,663 825 New Jersey State, Highway Authority, Garden State Parkway Generated Revenue, Series 1971, 6.500% 01/01/11................................... Aaa AAA 956 -------- 3,619 -------- NEW MEXICO -- 0.2% 1,130 New Mexico, Mortgage Finance Authority, Single-Family Mortgage Revenue, Series 1997C-2, AMT, (GNMA/FNMA/ FHLMC COLL), 6.050% 07/01/28................................... Aaa AAA 1,167 -------- NEW YORK -- 3.5% 1,555 New York City, New York, Industrial Development Agency, Civic Facilities Revenue, (Polytechnic University Project) Series 2000, 5.300% 11/01/09................................... Ba1 BB+ 1,507 3,520 New York City, New York, Municipal Water Finance Authority, Water and Sewer Revenue, Series 2001D, 5.250% 06/15/25................................... Aa2 AA 3,664 1,250 New York City, New York, Municipal Water Finance Authority, Water and Sewer Systems Revenue, Series 1997B, 5.750% 06/15/29................................... Aa2 AA 1,359 7,250 New York City, New York, Transitional Finance Authority, Revenue Refunding, Future Tax Secured, Series 2002A, 5.500% 11/01/26................................... Aa2 AA+ 8,209 1,000 New York State, Dormitory Authority, Revenue, Series 2002B, Mandatory Put 05/15/12 @ 100, 5.250% 11/15/23................................... A3 AA- 1,097
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 2,390 New York State, Local Government Assistance Corporation, Revenue, Series 1995A, Prerefunded 04/01/05 @ 102, 6.000% 04/01/16................................... A1 AA $ 2,612 5,000 New York State, Urban Development Corporation, Correctional and Youth Facility Services Revenue, Series 2002A, Mandatory Put 1/01/11 @ 100, 5.000% 01/01/17................................... Aa3 AA- 5,463 1,750 New York, New York, City Municipal Water Financing Authority, Water and Sewer Systems Revenue, Series 1998D, 4.750% 06/15/12................................... Aa2 AA 1,859 -------- 25,770 -------- NORTH CAROLINA -- 1.0% 2,425 Haywood County, North Carolina, Industrial Facilities and Pollution Control Financing Authority, Solid Waste Disposal Revenue Refunding, (Champion International Corporation Project) Series 1999, AMT, 6.400% 11/01/24................................... Baa2 BBB 2,497 5,000 New Hanover County, North Carolina, GO, Series 2001, 5.000% 06/01/20................................... Aa2 AA 5,322 -------- 7,819 -------- OHIO -- 1.3% 7,500 Dayton, Ohio, Special Facilities Revenue, (Air Freight Corporation Project) Series 1988D, AMT, 6.200% 10/01/09................................... Ba1 BB+ 6,866 1,000 Lucas County, Ohio, Hospital Revenue, (Flower Hospital Project) Series 1993, Prerefunded 12/01/04 @ 101, 6.125% 12/01/13................................... NR NR 1,064
SEE NOTES TO FINANCIAL STATEMENTS. 60 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- OHIO -- (CONTINUED) $ 1,345 Summit County, Ohio, GO, Series 2003, 5.250% 12/01/16................................... Aa2 AA- $ 1,511 -------- 9,441 -------- OKLAHOMA -- 0.3% 3,000 Oklahoma, Development Finance Authority, Revenue Refunding, (Hillcrest Healthcare Center Inc. Project) Series 1999A, 5.000% 08/15/08................................... B1 B- 2,564 -------- PENNSYLVANIA -- 1.0% 1,690 Philadelphia, Pennsylvania, Hospital and Higher Education Facilities Authority, Hospital Revenue, (Frankford Hospital Project) Series 1993A, 6.000% 06/01/14................................... A3 A- 1,786 3,125 Philadelphia, Pennsylvania, Hospital and Higher Education Facilities Authority, Hospital Revenue, (Frankford Hospital Project) Series 1993A, 6.000% 06/01/23................................... A3 A- 3,334 2,300 Philadelphia, Pennsylvania, Industrial Development Authority, IDR Refunding, (Ashland Oil Inc. Project) Series 1993, 5.700% 06/01/05................................... Baa2 BBB 2,394 -------- 7,514 -------- SOUTH CAROLINA -- 3.8% 4,000 Georgetown County, South Carolina, Environmental Improvement Revenue Refunding, (International Paper Company Project) Series 2000A, (GTY-AGMT), 5.950% 03/15/14................................... Baa2 BBB 4,382 2,000 Greenville, South Carolina, Hospital Facilities Revenue Refunding, Series 1996B, (GTY-AGMT), 5.250% 05/01/17................................... Aa3 AA 2,066
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 5,000 Greenville, South Carolina, Hospital Facilities Revenue, Series 2001, 5.500% 05/01/26................................... Aaa AAA $ 5,291 1,000 Richland County, South Carolina, Environmental Improvement Revenue, (International Paper) Series 2003, 6.100% 04/01/23................................... Baa2 BBB 1,033 3,095 South Carolina State, Public Service Authority, Revenue Refunding, Series 2002D, (FSA Insured), 5.000% 01/01/18................................... Aaa AAA 3,315 1,000 South Carolina State, State School Facilities, GO, Series 2001A, 3.500% 01/01/16................................... Aaa AAA 958 1,105 South Carolina, State Housing Finance and Development Authority, Revenue, (Homeownership Mortgage Purchase Project) Series 1994A, 6.375% 07/01/16................................... Aaa AA 1,140 3,500 South Carolina, State Public Services Authority, Revenue Refunding, Series 1995B, (FGIC Insured), 5.875% 01/01/19................................... Aaa AAA 3,832 2,900 South Carolina, Tobacco Settlement Management Revenue, Series 2001B, 6.375% 05/15/28................................... Baa2 BBB 2,521 4,000 York County, South Carolina, Exempt Facilities IDR, (Hoechst Celanese Corporation Project) Series 1994, AMT, 5.700% 01/01/24................................... Baa2 BBB 3,929 -------- 28,467 -------- SOUTH DAKOTA -- 0.7% 4,980 South Dakota, Housing Development Authority, Revenue, Series 2002E, 5.550% 05/01/31................................... Aa1 AAA 5,046 --------
SEE NOTES TO FINANCIAL STATEMENTS. 61 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- Tennessee -- 3.5% $ 5,500 Knox County, Tennessee, Health Educational and Housing Facilities Board Revenue, (University Health Systems Inc. Project) Series 1999, 5.750% 04/01/19................................... Baa1 BBB+ $ 5,722 4,500 Maury County, Tennessee, Industrial Development Board, Multi-Model PCR Refunding, (General Motors Corporation - Saturn Corporation Project) Series 1994, 6.500% 09/01/24................................... A3 BBB 4,657 4,000 Maury County, Tennessee, Industrial Development Board, Solid Waste Disposal Revenue, Occidental Petroleum Corporation, AMT, Series 2001A, (GTY-AGMT), 6.250% 08/01/18................................... Baa1 BBB+ 4,109 1,000 Memphis, Tennessee, GO Refunding, Series 1996, 5.200% 11/01/10................................... Aa2 AA 1,108 5,000 Memphis-Shelby County, Tennessee, Airport Authority, Special Facilities Revenue Refunding, (Federal Express Corporation Project) Series 2001, 5.000% 09/01/09................................... Baa2 BBB 5,490 2,500 Metropolitan Government, Nashville and Davidson County, Tennessee, Water and Sewer Systems Revenue Refunding, Series 1993, (FGIC Insured), 5.200% 01/01/13................................... Aaa AAA 2,812 2,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Water and Sewer Systems Revenue Refunding, Series 1996, (MBIA Insured), 5.500% 01/01/14................................... Aaa AAA 2,208 -------- 26,106 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- 10.3% $ 2,470 Beaumont, Texas, Independent School District, GO, Series 1996, (PSF-GTD), 5.000% 02/15/17................................... Aaa AAA $ 2,610 1,540 Bexar, Texas, Metropolitan Water District, Waterworks Revenue, Series 1995, (MBIA Insured), Prerefunded 05/01/05 @ 102, 6.000% 05/01/15................................... Aaa AAA 1,688 2,070 Bexar, Texas, Metropolitan Water District, Waterworks Revenue, Unrefunded Balance, Series 1995, (MBIA Insured), 6.000% 05/01/15................................... Aaa AAA 2,254 1,000 Brazos River Authority, Texas, Revenue Refunding, (Houston Light and Power Company Project) Series 1992B, (MBIA Insured), 6.375% 04/01/12................................... Aaa AAA 1,033 1,150 Brazosport, Texas, Independent School District, Series 2003C, 5.000% 02/15/16................................... Aaa AAA 1,247 1,540 Comal, Texas, Independent School District, GO, Series 1996A, (PSF-GTD), Prerefunded 02/01/06 @ 100, 5.600% 02/01/10................................... Aaa AAA 1,691 1,750 Dallas County, Texas, GO, Series 1996, 5.250% 08/15/16................................... Aaa AAA 1,918 3,210 Dallas-Fort Worth, Texas, International Airport Revenue, Series 2003A, (AMBAC Insured), 5.500% 11/01/15................................... Aaa AAA 3,545 2,220 Grand Prairie, Texas, Independent School District, GO Refunding, Series 2002, (PSF-GTD), 5.000% 02/15/22................................... Aaa AAA 2,284 9,075 Harris County, Texas, GO, Refunding, Series 2002, (MBIA Insured), 4.900%& 08/15/19.................................. Aaa AAA 4,208
SEE NOTES TO FINANCIAL STATEMENTS. 62 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 3,335 Harris County, Texas, Health Facilities Development Authority, Hospital Revenue, (Memorial Herman Hospital Systems Project) Series 1998, (FSA Insured), 5.500% 06/01/11................................... Aaa AAA $ 3,769 1,000 Harris County, Texas, Health Facilities Development Corporation, Hospital Revenue, (St. Lukes's Episcopal Project) Series 2001A, 5.500% 02/15/11................................... Aa3 AA- 1,108 5,000 Houston, Texas, Airport Systems Revenue, Series 1998B, AMT, (FGIC Insured), 5.000% 07/01/16................................... Aaa AAA 5,153 1,900 Leander, Texas, Independent School District, GO Refunding, Series 2002, (PSF-GTD), 5.375% 08/15/17................................... Aaa AAA 2,105 5,000 Lubbock, Texas, Health Facilities Development Authority, Corporate Revenue, (St. Joseph Health Systems Project) Series 1998, (FSA Insured), 5.000% 07/01/07................................... Aaa AAA 5,534 4,155 McKinney, Texas, Independent School District, GO, Series 2001, (PSF-GTD), 5.125% 02/15/17................................... Aaa AAA 4,488 2,000 North Central Texas, Health Facilities Development Corporation, Hospital Revenue, (Presbyterian Healthcare Project) Series 1991A, 6.625% 06/01/11................................... Aaa AAA 2,405 5,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16................................... Baa2 BBB- 5,281
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 1,000 San Antonio, Texas, Electric and Gas Revenue Refunding, Series 2002, 5.250% 02/01/11................................... Aa1 AA+ $ 1,129 3,000 San Antonio, Texas, Electric and Gas Revenue, Series 1995, (MBIA Insured), Prerefunded 02/01/06 @ 101, 5.375% 02/01/18................................... Aaa AAA 3,308 2,000 San Antonio, Texas, Electric and Gas, GO Refunding, Series 1998A, 5.250% 02/01/16................................... Aa1 AA+ 2,186 2,000 San Antonio, Texas, GO, Series 1996, Prerefunded 08/01/05 @ 100, 5.250% 08/01/15................................... Aa2 AA+ 2,149 2,000 Texas City, Texas, IDR Refunding, (Atlantic Richfield Company Project) Series 1990, 7.375% 10/01/20................................... Aa1 AA+ 2,595 3,000 Texas State, GO Refunding, Series 1996B, Prerefunded 10/01/06 @ 100, 5.750% 10/01/15................................... Aa1 AAA 3,381 1,000 Texas State, GO, Series 1996, 5.500% 08/01/15................................... Aa1 AA 1,086 1,500 Texas State, University System Financing Refunding Revenue, Series 2002, (FSA Insured), 5.000% 03/15/17................................... Aaa AAA 1,604 4,000 Texas, Port of Bay City Authority, Matagorda County Revenue, (Hoechst Celanese Corporation Project), Series 1996, AMT, 6.500% 05/01/26................................... Baa2 BBB 4,109 2,500 Texas, Red River Authority, PCR Refunding, Series 1991, (AMBAC Insured), 5.200% 07/01/11................................... Aaa AAA 2,670 -------- 76,538 --------
SEE NOTES TO FINANCIAL STATEMENTS. 63 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- UTAH -- 1.5% $ 2,000 Emery County, Utah, PCR Refunding, (Pacificorp Project) Series 1993A, (AMBAC Insured), 5.650% 11/01/23................................... Aaa AAA $ 2,046 4,000 Murray City, Utah, Hospital Revenue Refunding, (IHC Health Services, Inc. Project) Series 1996, (MBIA Insured), 5.000% 05/15/22................................... Aaa AAA 4,043 1,735 Provo, Utah, Electric Revenue, Series 1980, 10.125% 04/01/15.................................. Aaa AAA 2,462 2,500 Utah, County Hospital Revenue, Series 1997, (MBIA Insured), 5.250% 08/15/26................................... Aaa AAA 2,560 -------- 11,111 -------- VERMONT -- 0.3% 1,985 Vermont, Municipal Bond Bank, Revenue, Series 1996-1, (AMBAC Insured), 5.750% 12/01/15................................... Aaa AAA 2,239 -------- VIRGINIA -- 0.8% 1,000 Arlington County, Virginia, Hospital Revenue, Series 2001, 5.500% 07/01/13................................... A2 A 1,105 2,830 Fairfax County, Virginia, Water and Sewer Authority, Water Revenue, Unrefunded Balance, Series 1992, 6.000% 04/01/22................................... Aa1 AAA 3,188 1,505 Virginia State, Port Authority, Port Facility Revenue, Series 2003, (MBIA Insured), 5.250% 07/01/16................................... Aaa AAA 1,634 -------- 5,927 -------- WASHINGTON -- 11.9% 7,500 Chelan County, Washington, Development Corporation, PCR Refunding, (Alcoa, Inc. Project) Series 1995, 5.850% 12/01/31................................... A2 A- 7,810
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 2,310 Chelan County, Washington, Public Utilities District Division III Revenue, Series 1997A, AMT, Mandatory Put 07/01/20 @ 100, 5.600% 07/01/32................................... Aa2 AA $ 2,382 2,480 Clark County, Washington, Sewer Revenue, Series 1996, (MBIA Insured), Prerefunded 12/01/06 @ 100, 5.800% 12/01/11................................... Aaa AAA 2,812 1,035 King County, Washington, Library Systems, GO, Series 1992, Prerefunded 12/01/06 @ 100, 6.150% 12/01/10................................... Aa3 AA- 1,184 2,000 King County, Washington, School District No. 403 Renton, GO, Series 1998, 5.250% 06/01/15................................... Aa3 AA- 2,193 2,000 King County, Washington, School District Number 415, GO, Series 1996, (FSA Insured), Prerefunded 06/01/06 @ 100, 5.800% 06/01/13................................... Aaa AAA 2,231 3,000 King County, Washington, Sewer GO Refunding, Series 1996C, 5.250% 01/01/17................................... Aa1 AA+ 3,265 7,500 Pilchuck, Washington, Public Development Corporation, Special Airport Facilities Revenue, (Tramco Inc. Project) Series 1993, AMT, 6.000% 08/01/23................................... Baa3 BBB- 7,360 2,405 Port Seattle, Washington, GO, Series 2000, AMT, 6.000% 12/01/11................................... Aa1 AA+ 2,745 4,885 Port Seattle, Washington, Revenue, Series 1999B, (FGIC Insured), 5.500% 09/01/13................................... Aaa AAA 5,407 4,365 Seattle, Washington, GO, Series 1996A, 5.625% 01/15/10................................... Aa1 AAA 4,778 1,795 Seattle, Washington, GO, Series 1997, 5.300% 08/01/17................................... Aa1 AAA 1,960
SEE NOTES TO FINANCIAL STATEMENTS. 64 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 1,525 Skagit County, Washington, School District Number 320, GO Refunding, Series 1996, (FGIC Insured), 5.500% 12/01/12................................... Aaa AAA $ 1,704 2,000 Tacoma, Washington, Conservation Systems Project Revenue, Series 1994, Prerefunded 01/01/05 @ 100, 6.600% 01/01/15................................... Aa1 AA- 2,137 2,000 Tacoma, Washington, Electric System Revenue, Series 1997, (AMBAC Insured), 5.250% 01/01/15................................... Aaa AAA 2,190 12,700 Washington State, GO, Series 1990A, 6.750% 02/01/15................................... Aa1 AA+ 15,976 10,000 Washington State, GO, Series 2000A, 5.625% 07/01/21................................... Aa1 AA+ 11,003 2,955 Washington State, GO, Unrefunded Balance, Series 1992-93A, 5.750% 10/01/12................................... Aa1 AA+ 3,452 5,000 Washington State, Public Power Supply Systems Revenue Refunding, Series 1996A, (MBIA Insured), 5.750% 07/01/11................................... Aaa AAA 5,643 1,330 Washington State, Public Power Supply Systems Revenue, (Nuclear Project Number 1) Series 1990B, Prerefunded 07/01/04 @ 100, 7.250% 07/01/09................................... Aa1 AA- 1,585 70 Washington State, Public Power Supply Systems Revenue, (Nuclear Project Number 1) Series 1990B, Unrefunded 07/01/04 @ 100, 7.250% 07/01/09................................... Aa1 AA- 82
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 1,505 Washington State, Public Power Supply Systems Revenue, (Nuclear Project Number 2) Series 1990A, Prerefunded 07/01/04 @ 100, 7.250% 07/01/06................................... Aa1 AA- $ 1,741 -------- 89,640 -------- WEST VIRGINIA -- 0.6% 1,450 Jefferson County, West Virginia, Board of Education, GO, Series 1989, (FGIC Insured), 6.850% 07/01/07................................... Aaa AAA 1,716 1,560 Jefferson County, West Virginia, Board of Education, GO, Series 1989, (FGIC Insured), 6.850% 07/01/08................................... Aaa AAA 1,893 1,000 West Virginia University, State University Systems Revenue, (Marshall University Library Project) Series 1996, (AMBAC Insured), 5.750% 04/01/16................................... Aaa AAA 1,096 -------- 4,705 -------- WISCONSIN -- 2.3% 3,000 Menomonee Falls, Wisconsin, Sewer Systems Revenue, Series 1996A, (AMBAC Insured), 5.650% 05/01/16................................... Aaa AAA 3,310 1,000 Wisconsin State, GO Refunding, Series 1993-1, 5.800% 11/01/08................................... Aa3 AA- 1,165 4,000 Wisconsin State, Health and Educational Facilities Authority, Revenue, (Aurora Health Care Inc. Project) Series 1999A, 5.600% 02/15/29................................... Baa1 BBB+ 3,724 3,500 Wisconsin State, Health and Educational Facilities Authority, Revenue, (Aurora Health Care Project) Series 1999B, 5.500% 02/15/15................................... Baa1 BBB+ 3,462
SEE NOTES TO FINANCIAL STATEMENTS. 65 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- WISCONSIN -- (CONTINUED) $ 5,500 Wisconsin State, Health and Educational Facilities Authority, Revenue, (Aurora Health Care Project) Series 1999B, 5.625% 02/15/20................................... Baa1 BBB+ $ 5,242 -------- 16,903 -------- WYOMING -- 1.8% 2,300 Campbell County, Wyoming, School District Number 001-Gillette, GO, Series 1996, (SCH BD GTY), 5.550% 06/01/06................................... Aaa AAA 2,540 10,000 Wyoming, Student Loan Corporation, Revenue Refunding, Series 1999A, 6.250% 06/01/29................................... Aa2 AA 10,611 -------- 13,151 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $677,404)................................................... 737,800 --------
SHARES VALUE (000) (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 0.0%+ (Cost $234) 234 Nations Tax-Exempt Reserves, Capital Class Shares#............ $ 234 -------- TOTAL INVESTMENTS (Cost $677,638*).................................. 99.0% 738,034 -------- OTHER ASSETS AND LIABILITIES (NET)................................. 1.0% Cash.......................................................... $ 1 Receivable for Fund shares sold............................... 133 Dividends receivable.......................................... 2 Interest receivable........................................... 11,211 Payable for Fund shares redeemed.............................. (625) Investment advisory fee payable............................... (196) Administration fee payable.................................... (131) Shareholder servicing and distribution fees payable........... (16) Distributions payable......................................... (2,638) Accrued Trustees' fees and expenses........................... (50) Accrued expenses and other liabilities........................ (207) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 7,484 -------- NET ASSETS.......................................... 100.0% $745,518 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 1,802 Accumulated net realized loss on investments sold............. (14,162) Net unrealized appreciation of investments.................... 60,396 Paid-in capital............................................... 697,482 -------- NET ASSETS.................................................... $745,518 ========
SEE NOTES TO FINANCIAL STATEMENTS. 66 NATIONS FUNDS Nations Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($699,396,464 / 62,983,283 shares outstanding).............. $11.10 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($35,704,410 / 3,216,001 shares outstanding)................ $11.10 ======== Maximum sales charge.......................................... 4.75% Maximum offering price per share.............................. $11.65 INVESTOR B SHARES: Net asset value and offering price per share** ($8,873,939 / 799,256 shares outstanding)................... $11.10 ======== INVESTOR C SHARES: Net asset value and offering price per share** ($1,543,188 / 138,973 shares outstanding)................... $11.10 ========
- --------------- *Federal income tax information (see Note 7). ** The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. &Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. +Amount represents less than 0.1%. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations Municipal Income Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): AMBAC 10.39% MBIA 13.74%
Nations Municipal Income Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Hospital Revenue 10.71% Prerefunded 12.55%
SEE NOTES TO FINANCIAL STATEMENTS. 67 NATIONS FUNDS Nations California Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 98.7% CALIFORNIA -- 93.5% $1,250 ABAG Finance Authority for Non-Profit Corporations, California, Certificates of Participation Refunding, (Episcopal Homes Foundation Project) Series 1998, 5.000% 07/01/07................................... Baa1 BBB+ $ 1,323 2,000 ABAG Finance Authority for Non-Profit Corporations, California, Multi-Family Revenue Refunding, Series 2000B, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.250% 08/15/30................................... Baa3 BBB- 2,129 600 ABAG Finance Authority for Non-Profit Corporations, Certificates of Participation Refunding, (American Baptist Homes Project) Series 1998A, 5.500% 10/01/07................................... Ba1 BB+ 619 2,200 Alameda County, California, Certificates of Participation Refunding, (Santa Rita Jail Project) Series 1993, (MBIA Insured), 5.375% 06/01/09................................... Aaa AAA 2,479 1,000 Alameda County, California, Certificates of Participation Refunding, Series 2001A, (MBIA Insured), 4.250% 12/01/11................................... Aaa AAA 1,069 1,000 Anaheim, California, Public Financing Authority, Lease Revenue, (Public Improvements Project) Series 1997C, (FSA Insured), 6.000% 09/01/11................................... Aaa AAA 1,190 1,900 Burbank, California, Public Financing Authority, Revenue, (Golden State Redevelopment Project) Series 2003A, (AMBAC Insured), 4.500% 12/01/09................................... Aaa AAA 2,121 1,325 California State University, Revenue, (Systemwide Project) Series 2003A, (FGIC Insured), 5.000% 11/01/12................................... Aaa AAA 1,482
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $2,000 California State, Department of Water Resources, Power Supply Revenue, Series 2002A, 6.000% 05/01/13................................... A3 BBB+ $ 2,299 1,000 California State, Department of Water Resources, Water Systems Revenue, (Center Valley Project Revenue) Series 1997S, 5.000% 12/01/06................................... Aa2 AA 1,111 1,000 California State, Department of Water Resources, Water Systems Revenue, (Center Valley Project) Series 1992J-2, 6.000% 12/01/06................................... Aa2 AA 1,140 20 California State, Department of Water Resources, Water Systems Revenue, (Center Valley Project) Series 1998T, 5.500% 12/01/08................................... Aa2 AA 23 3,000 California State, GO, Series 1997BL, AMT, 5.300% 12/01/12................................... A3 A 3,165 1,690 California, Health Facilities Finance Authority, Revenue, (Catholic Health Corporation Project) Series 1994A, (MBIA Insured), 5.600% 11/15/04................................... Aaa AAA 1,776 1,000 California, Health Facilities Finance Authority, Revenue, (Cedars-Sinai Medical Center Project) Series 1999A, 6.125% 12/01/19................................... A3 A- 1,082 2,000 California, Health Facilities Finance Authority, Revenue, (Kaiser Permanente Project) Series 1998A, 5.250% 06/01/12................................... Aaa AAA 2,200 1,000 California, Health Facilities Finance Authority, Revenue, (Sisters Providence Project) Series 1996, 5.500% 10/01/05................................... Aa3 AA- 1,081 1,040 California, Infrastructure & Economic Development Bank Revenue, (American Center for Wine, Food, Arts Project) Series 1999, (ACA Insured), 5.250% 12/01/08................................... A2 A 1,161
SEE NOTES TO FINANCIAL STATEMENTS. 68 NATIONS FUNDS Nations California Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $3,285 California, Santa Magarita/ Dana Point Authority, Revenue, Series 1997A, (AMBAC Insured), 5.500% 08/01/11................................... Aaa AAA $ 3,719 1,000 California, Statewide Communities Development Authority, Certificates of Participation Refunding, (Cedars-Sinai Medical Center) Series 1993, 4.700% 11/01/03................................... A3 A- 1,003 1,710 California, Statewide Communities Development Authority, Certificates of Participation, (Catholic Healthcare West Project) Series 1999, 6.000% 07/01/09................................... Baa2 BBB 1,920 1,000 California, Statewide Communities Development Authority, Solid Waste Facilities Revenue, (Waste Management Inc. Project) Series 2001, AMT, (Waste Management Inc. GTY-AGMT), Mandatory Put 04/01/04 @ 100, 4.950% 04/01/11................................... Baa2 BBB 1,011 1,000 Chaffey, California, High School District, GO, Series 2000B, (FGIC Insured), 5.500% 08/01/14................................... Aaa AAA 1,126 2,025 Culver City, California, Redevelopment Finance Authority, Revenue Refunding, Series 1993, (AMBAC Insured), 5.500% 11/01/14................................... Aaa AAA 2,349 1,000 East Bay Municipal Utilities District, California, Wastewater Systems Revenue Refunding, Series 2003F, (AMBAC Insured), 5.000% 04/01/15................................... Aaa AAA 1,092 1,000 East Bay-Delta, California, Housing & Finance Authority, Revenue, Series 2001A, (MBIA Insured), 4.250% 06/01/05................................... Aaa AAA 1,051
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,000 East Side Union High School District, Santa Clara County, California, GO Refunding, Series 2003B, (MBIA Insured), 4.200% 02/01/11................................... Aaa AAA $ 1,066 1,800 Florin, California, Resource Conservative District, Certificates of Participation, (Elk Grove Water Works Project) Series 1999A, Prerefunded 09/01/09 @ 102, 6.650% 09/01/19................................... Aaa AAA 2,246 1,280 Fontana, California, Redevelopment Agency Tax Allocation Refunding, (Jurupa Hills Redevelopment Project) Series 1999A, 4.625% 10/01/05................................... Baa1 BBB+ 1,346 1,750 Foothill/Eastern Corridor Agency, California, Toll Road Revenue, Series 1995A, Prerefunded 01/01/10 @ 102, 0.000% due 01/01/13, 7.150% beginning 01/01/05.... Aaa AAA 2,014 1,000 Golden State Tobacco Securitization Corporations, Tobacco Settlement Revenue, Series 2003A-1, 3.400% 06/01/08................................... Baa1 BBB 924 5,000 Inland Empire, California, Solid Waste Authority, Revenue, (Landfill Improvement Financing Project) Series 1996B, AMT, (FSA Insured), 6.250% 08/01/11................................... Aaa AAA 5,873 1,700 Kern, California, High School District, GO Refunding, Series 1996A, (MBIA Insured), 6.100% 08/01/07................................... Aaa AAA 1,976 1,500 Long Beach, California, Harbor Revenue, Series 1995, AMT, (MBIA Insured), 8.000% 05/15/04................................... Aaa AAA 1,564
SEE NOTES TO FINANCIAL STATEMENTS. 69 NATIONS FUNDS Nations California Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $ 500 Los Angeles County, California, Community College District, Series 2003B, (FGIC Insured), 5.000% 08/01/12................................... Aaa AAA $ 558 1,000 Los Angeles County, California, Lease Revenue Refunding, Series 2002B, (AMBAC Insured), 6.000% 12/01/12................................... Aaa AAA 1,187 1,500 Los Angeles County, California, Public Works Financing Authority, Revenue, (Regional Park and Open Space District Project) Series 1997A, 5.375% 10/01/07................................... Aa3 AA 1,706 1,000 Los Angeles County, California, Sanitation District Financing Authority, Revenue, (Capital Project) Series 2003A, (FSA Insured), 5.000% 10/01/10................................... Aaa AAA 1,134 1,400 Los Angeles County, California, Transition Commission Sales Tax Revenue, Series 1992A, 6.400% 07/01/06................................... Aa3 A+ 1,581 1,000 Los Angeles, California, Certificates of Participation, Series 2002, (MBIA Insured), 4.000% 02/01/08................................... Aaa AAA 1,085 1,500 Los Angeles, California, GO, Series 1999B, Prerefunded 09/01/09 @ 101, 5.250% 09/01/14................................... Aa2 AA 1,744 1,500 Los Angeles, California, Municipal Improvement Corporate Lease Revenue, (Special Tax-Police Emergency Projects), Series 2002G, (FGIC Insured), 5.250% 09/01/13................................... Aaa AAA 1,701 1,935 Los Angeles, California, Sanitation Equipment Charge Revenue, Series A, (FSA Insured), 5.250% 02/01/13................................... Aaa AAA 2,141 3,500 Los Angeles, California, Unified School District, GO, Series 2000D, 5.500% 07/01/09................................... Aa3 AA- 4,068
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,300 Los Angeles, California, Water & Power Revenue, Series 2001A, (MBIA-IBC Insured), 5.250% 07/01/15................................... Aaa AAA $ 1,436 1,105 Los Gatos, California, JT High School District, GO, Series 2002C, (FSA Insured), 5.375% 06/01/13................................... Aaa AAA 1,258 1,185 Modesto, California, Certificates of Participation, Series 2001A, (FSA Insured), 5.250% 07/01/18................................... Aaa AAA 1,280 1,640 Modesto, California, Irrigation District, Certificates of Participation Refunding, Series 1999A, (AMBAC Insured), 1.780%& 07/01/06.................................. Aaa AAA 1,562 3,000 Oakland, California, J.T. Powers Financing Authority, Lease Revenue Refunding, (Oakland Convention Centers) Series 2001, (AMBAC Insured), 5.500% 10/01/11................................... Aaa AAA 3,473 3,700 Oakland, California, Redevelopment Agency Tax Allocation Refunding, (Center District Redevelopment Project) Series 1992, (AMBAC Insured), 5.500% 02/01/14................................... Aaa AAA 4,261 2,000 Oakland, California, Redevelopment Agency Tax Allocation, (Center District Redevelopment Project) Series 2003 (FGIC Insured), 5.500% 09/01/12................................... Aaa AAA 2,304 1,000 Orange County, California, Public Financing Authority, Waste Management Systems Revenue Refunding, Series 1997, (AMBAC Insured), 5.500% 12/01/06................................... Aaa AAA 1,115
SEE NOTES TO FINANCIAL STATEMENTS. 70 NATIONS FUNDS Nations California Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,000 Orange County, California, Public Financing Authority, Waste Management Systems Revenue Refunding, Series 1997, (AMBAC Insured), 5.750% 12/01/10................................... Aaa AAA $ 1,155 2,000 Orange County, California, Redevelopement Agency, (Tax Allocation Central District Redevelopment) Series 2003, (FGIC Insured), 5.000% 02/15/09................................... Aaa AAA 2,265 1,375 Orange County, California, Revenue Refunding, Series 1995A, (MBIA Insured, Motor Vehicle Fee Withholding), 5.600% 06/01/07................................... Aaa AAA 1,568 650 Orange County, California, Water District Revenue, Certificates of Participation, Series 2003B, (MBIA Insured), 5.375% 08/15/17................................... Aaa AAA 725 1,000 Pasadena, California, Certificates of Participation, (Capital Improvement Refunding Project) Series 2001, 4.000% 01/01/08................................... Aa3 AA- 1,085 1,000 Port Oakland, California, Revenue, Series 2000K, AMT, (FGIC Insured), 5.500% 11/01/08................................... Aaa AAA 1,143 3,000 Sacramento County, California, Sanitation District Financing Authority, Revenue, Series 2000A, 5.000% 12/01/08................................... Aa3 AA 3,418 1,000 Sacramento, California, City Financing Authority, Lease Revenue, Series 1993B, 5.200% 11/01/07................................... A2 AA- 1,110 4,260 Sacramento, California, Cogeneration Authority, Revenue Refunding, (Cogeneration Project) Series 1998, (MBIA Insured), 5.250% 07/01/09................................... Aaa AAA 4,820
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,615 Sacramento, California, Municipal Utility District Electric Revenue, Series 2003R, (MBIA Insured), 5.000% 08/15/12................................... Aaa AAA $ 1,803 2,500 Sacramento, California, Power Authority, Revenue, (Cogeneration Project) Series 1995, (MBIA-IBC Insured), 5.875% 07/01/15................................... Aaa AAA 2,807 2,000 San Diego, California, MTDB Authority, Lease Revenue Refunding, Series 1994, 5.250% 09/01/04................................... Aa3 AA- 2,073 3,440 San Francisco, California, Bay Area Rapid Transportation District, Sales Tax Revenue, Series 1998, 5.500% 07/01/09................................... Aa3 AA- 3,933 2,490 San Francisco, California, City and County Airport Commission, International Airport Revenue, Series 1998-22, AMT, (AMBAC Insured), 6.000% 05/01/07................................... Aaa AAA 2,825 2,090 San Jose, California, Airport Revenue, Refunding, Series 2003B, (FSA Insured), 5.000% 03/01/10................................... Aaa AAA 2,293 1,000 San Juan, California, Unified School District, GO, Series 2000, (FGIC Insured), 5.000% 08/01/09................................... Aaa AAA 1,140 1,180 San Mateo County, California, Transit District, Series 1997A, 5.000% 06/01/13................................... Aaa AAA 1,315 3,955 San Ramon Valley, California, Unified School District, GO, Series 1998A, (FGIC Insured), 1.530%& 07/01/05.................................. Aaa AAA 3,851 3,000 Southern California, Public Power Authority, Power Project Revenue, Series 1989, 6.750% 07/01/13................................... A2 A 3,711
SEE NOTES TO FINANCIAL STATEMENTS. 71 NATIONS FUNDS Nations California Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $2,000 University of California, University & College Improvements Revenue, Series 2003A, 5.000% 05/15/10................................... Aaa AAA $ 2,260 1,000 Ventura County, California, Certificates of Participation, (Public Financing Authority) Series 2001, (FSA Insured), 5.250% 08/15/15................................... Aaa AAA 1,101 -------- 137,725 -------- PUERTO RICO -- 5.2% 1,000 Puerto Rico Commonwealth, Public Improvement, GO Refunding, Series 2003C, (MBIA Insured), Mandatory Put 07/01/08 @ 100, 5.000% 07/01/28................................... Aaa AAA 1,117 3,970 Puerto Rico, Commonwealth Highway & Transportation Authority, Transportation Revenue, Series 2002F, 5.000% 07/01/05................................... Baa1 A 4,216 2,000 Puerto Rico, Electric Power Authority, Power Revenue, Series 1997AA, (MBIA Insured), 6.250% 07/01/10................................... Aaa AAA 2,407 -------- 7,740 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $137,804)....................................................... 145,465 --------
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------ INVESTMENT COMPANIES -- 0.4% (Cost $650) 650 Nations Tax-Exempt Reserves, Capital Class Shares#.......... $ 650 -------- TOTAL INVESTMENTS (Cost $138,454*)................................ 99.1% 146,115 -------- OTHER ASSETS AND LIABILITIES (NET)............................... 0.9% Receivable for Fund shares sold............................. $ 581 Dividends receivable........................................ 1 Interest receivable......................................... 1,801 Payable for Fund shares redeemed............................ (488) Investment advisory fee payable............................. (20) Administration fee payable.................................. (26) Shareholder servicing and distribution fees payable......... (7) Distributions payable....................................... (371) Accrued Trustees' fees and expenses......................... (8) Accrued expenses and other liabilities...................... (73) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......................................... 1,390 -------- NET ASSETS........................................ 100.0% $147,505 ======== NET ASSETS CONSIST OF: Accumulated net realized gain on investments sold........... $ 173 Net unrealized appreciation of investments.................. 7,661 Paid-in capital............................................. 139,671 -------- NET ASSETS.................................................. $147,505 ========
SEE NOTES TO FINANCIAL STATEMENTS. 72 NATIONS FUNDS Nations California Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($128,498,383 / 12,837,571 shares outstanding)............ $10.01 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($13,897,004 / 1,385,873 shares outstanding).............. $10.03 ======== Maximum sales charge........................................ 3.25% $10.37 Maximum offering price per share............................ INVESTOR B SHARES: Net asset value and offering price per share** ($1,308,987 / 130,648 shares outstanding)................. $10.02 ======== INVESTOR C SHARES: Net asset value and offering price per share** ($3,800,214 / 378,902 shares outstanding)................. $10.03 ========
- --------------- *Federal income tax information (see Note 7). ** The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. &Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations California Intermediate Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): AMBAC 16.85% FGIC 10.56% FSA 11.03% MBIA 16.61%
Nations California Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Education Revenue 10.02% Electric Revenue 13.07% Lease Revenue 10.85% Prerefunded 10.95% Special Tax 15.80%
SEE NOTES TO FINANCIAL STATEMENTS. 73 NATIONS FUNDS Nations California Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 98.9% CALIFORNIA -- 93.3% $2,000 ABAG Finance Authority for Non-Profit Corporations, California, Certificates of Participation Refunding, (Episcopal Homes Foundation Project) Series 1998, 4.625% 07/01/04................................... Baa1 BBB+ $ 2,034 2,000 ABAG Finance Authority for Non-Profit Corporations, California, Multi-Family Revenue Refunding, Series 2000A, AMT, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.400% 08/15/30................................... Baa3 BBB- 2,124 2,000 ABAG Finance Authority for Non-Profit Corporations, California, Multi-Family Revenue Refunding, Series 2000B, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.250% 08/15/30................................... Baa3 BBB- 2,129 2,000 Anaheim, California, Unified School District, GO, Series 2002, (FSA Insured), 5.000% 08/01/25................................... Aaa AAA 2,034 3,000 Beverly Hills, California, Public Financing Authority, Lease Revenue, (Capital Imports Project) Series 1998A, 5.000% 06/01/23................................... Aa3 AA 3,047 1,185 Bodega Bay, California, Fire Protection District, Certificates of Participation, (Fire Station Project) Series 1996, 6.450% 10/01/31................................... Baa2 BBB 1,297 3,000 California State, Department of Water Resources, Water Systems Revenue, (Center Valley Project) Series 1997S, 5.000% 12/01/17................................... Aa2 AA 3,201 1,675 California State, GO, Series 1991, 6.600% 02/01/10................................... A3 BBB 1,987
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,000 California State, GO, Series 1993, 5.500% 04/01/13................................... A3 BBB $ 1,121 20 California State, GO, Series 1995, Prerefunded 03/01/05 @ 101, 5.750% 03/01/09................................... A3 BBB 22 10 California State, GO, Series 1995, Prerefunded 03/01/05 @ 101, 5.750% 03/01/09................................... A3 BBB 11 65 California State, GO, Series 1995, Unrefunded Balance, 5.750% 03/01/09................................... A3 BBB 68 3,000 California State, GO, Series 2000, 5.625% 05/01/26................................... A3 BBB 3,107 2,600 California State, GO, Series 2000, (FGIC Insured), 5.250% 09/01/30................................... Aaa AAA 2,679 1,000 California, Educational Facilities Authority Revenue, (Pooled College and University Project) Series 1999B, 5.250% 04/01/24................................... Baa3 BBB- 984 2,500 California, Educational Facilities Authority Revenue, Series 2003A, 5.000% 10/01/33................................... Aa1 AA+ 2,532 3,500 California, Health Facilities Finance Authority, Revenue, (Cedars-Sinai Medical Center Project) Series 1999A, 6.125% 12/01/19................................... A3 A- 3,788 5,000 California, Health Facilities Financing Authority, Revenue Refunding, Insured Health Facilities, (Mark Twain Project) Series 1996, (MBIA Insured), 6.000% 07/01/16................................... Aaa AAA 5,600 3,000 California, Health Facilities Financing Authority, Revenue, (Kaiser Permanente Project) Series 1998A, (FSA Insured), 5.000% 06/01/24................................... Aaa AAA 3,025 1,000 California, Health Facilities Financing Authority, Revenue, (Kaiser Permanente Project) Series 1998B, 5.250% 10/01/13................................... A3 A 1,059
SEE NOTES TO FINANCIAL STATEMENTS. 74 NATIONS FUNDS Nations California Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,510 California, Housing Finance Agency Revenue, Multi- Unit Rental Housing, Series 1992B-II, 6.700% 08/01/15................................... Aa3 A+ $ 1,527 2,000 California, Housing Finance Agency, Home Mortgage Revenue, Series 1994F-3, AMT, (MBIA/FHA/VA Insured), 6.100% 08/01/15................................... Aaa AAA 2,034 2,750 California, Housing Finance Agency, Home Mortgage Revenue, Series 1997I, AMT, (MBIA Insured), 5.650% 08/01/17................................... Aaa AAA 2,886 1,685 California, Housing Finance Agency, Home Mortgage Revenue, Series 1997I, AMT, (MBIA Insured), 5.750% 02/01/29................................... Aaa AAA 1,732 9,060 California, Housing Finance Agency, Revenue, Series 2001M, AMT, (FSA Insured), 5.920%& 08/01/32.................................. Aaa AAA 1,640 1,460 California, Housing Finance Agency, Single-Family Mortgage Revenue, Series 1997B-3, Class I, AMT, (FHA Insured), 5.400% 08/01/28................................... Aaa AAA 1,482 2,500 California, Infrastructure & Economic Development Bank Revenue, (Kaiser Hospital Assistant I - LLC Project) Series 2001A, 5.550% 08/01/31................................... A2 A 2,552 2,000 California, Maritime Infrastructure Authority Airport Revenue, San Diego Unified Port District Airport, Series 1995, (AMBAC Insured), 5.500% 11/01/05................................... Aaa AAA 2,165 1,000 California, Pollution Control Financing Authority, PCR, (Southern California Edison Company Project) Series 1992B, AMT, 6.400% 12/01/24................................... Ba2 BB 1,001
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $6,000 California, Statewide Communities Development Authority, Apartment Development Revenue Refunding, (Irvine Apartment Communities Project) Series 1998A-4, Mandatory Put 05/15/13 @ 100, 5.250% 05/15/25................................... Baa2 BBB $ 6,268 1,835 California, Statewide Communities Development Authority, Certificates of Participation, Series 1999, (FSA Insured), 5.500% 08/15/19................................... Aaa AAA 2,000 2,000 California, Statewide Communities Development Authority, Multi-Family Revenue Refunding, (Archstone/ Oakridge Housing Project) Series 1999E, Mandatory Put 06/01/08 @ 100, 5.300% 06/01/29................................... Baa1 BBB+ 2,130 2,000 California, Statewide Communities Development Authority, Multi-Family Revenue Refunding, (Quail Ridge Apartments Project) Series 2002E-1, 5.375% 07/01/32................................... A2 A 2,007 3,000 California, Statewide Communities Development Authority, Revenue Certificates of Participation, (St. Joseph Health Systems Project) Series 1993, 5.500% 07/01/23................................... Aa3 AA- 3,033 2,500 California, Statewide Communities Development Authority, Revenue Certificates of Participation, Series 1993, 5.400% 11/01/15................................... A3 A- 2,552
SEE NOTES TO FINANCIAL STATEMENTS. 75 NATIONS FUNDS Nations California Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $3,300 California, Statewide Communities Development Authority, Revenue, Certificates of Participation, (John Muir/ Mount Diablo Health Systems Project) Series 1997, (MBIA Insured), 5.125% 08/15/17................................... Aaa AAA $ 3,490 1,500 Caochella Valley, California, Park and Recreation District Improvement Board Revenue Refunding, (Reassessment District 94-1-INDIO Project) Series 1994, (MBIA Insured), Prerefunded 09/02/04 @ 102, 6.200% 09/02/16................................... Aaa AAA 1,602 1,615 Central Valley, California, Financing Authority, Cogeneration Project Revenue Refunding, (Carson Ice - General Project) Series 1998, (MBIA Insured), 5.250% 07/01/12................................... Aaa AAA 1,790 2,385 Central Valley, California, Financing Authority, Cogeneration Project Revenue, (Carson Ice Project) Series 1993, 6.000% 07/01/09................................... Baa2 BBB 2,465 415 Chino, California, Unified School District, Certificates of Participation, (Land Acquisition Project) Series 1994A, (FSA Insured), Prerefunded 09/01/04 @ 102, 6.600% 09/01/14................................... Aaa AAA 444 1,920 Contra Costa, California, Water District, Water Revenue, Series 2002L, (FSA Insured), 5.000% 10/01/24................................... Aaa AAA 1,958 2,000 Daly City, California, Housing Development Finance Agency, Mobile Home Park Revenue, (Francisan Acquisition Project) Series 2002A, 5.850% 12/15/32................................... A3 A- 2,058
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $ 520 Del Mar, California, Race Track Authority, Revenue Refunding, Series 1996, 6.000% 08/15/06................................... NR NR $ 549 1,400 Del Mar, California, Race Track Authority, Revenue Refunding, Series 1996, 6.000% 08/15/08................................... NR NR 1,523 1,000 Del Mar, California, Race Track Authority, Revenue Refunding, Series 1996, 6.200% 08/15/11................................... NR NR 1,082 2,000 East Bay Municipal Utilities District, California, Water Systems Revenue Refunding, Series 1996, (FGIC Insured), 5.000% 06/01/16................................... Aaa AAA 2,144 2,750 East Bay Municipal Utilities District, California, Water Systems Revenue, Series 2001, (MBIA Insured), 5.000% 06/01/26................................... Aaa AAA 2,788 1,000 Eastern Municipal Water District, California, Water and Sewer Certificates of Participation, Series 1991, (FGIC Insured), 6.750% 07/01/12................................... Aaa AAA 1,224 2,500 Elsinore Valley Municipal Water District, California, Certificates of Participation Refunding, Series 1992A, (FGIC Insured), 6.000% 07/01/12................................... Aaa AAA 2,965 3,000 Escondido JT Powers Financing Authority, California, Lease Revenue, (California Center for the Arts Project) Series 1995, (AMBAC Insured), 6.000% 09/01/18................................... Aaa AAA 3,303 1,100 Foothill/De Anza Community College District, University Southern California, California, Certificates of Participation Refunding, Series 2003, 5.000% 09/01/17................................... Aaa AAA 1,185 4,000 Foothill/Eastern Corridor Agency, California, Toll Road Revenue Refunding, Series 1999, 5.750% 01/15/40................................... Baa3 BBB- 4,063
SEE NOTES TO FINANCIAL STATEMENTS. 76 NATIONS FUNDS Nations California Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $2,000 Foothill/Eastern Corridor Agency, California, Toll Road Revenue Refunding, Series 1999, (MBIA Insured), 5.125% 01/15/15................................... Aaa AAA $ 2,162 2,000 Foothill/Eastern Corridor Agency, California, Toll Road Revenue, Sr. Lien, Series 1995, (MBIA-IBC Insured), 5.000% 01/01/35................................... Aaa AAA 2,014 2,000 Foothill/Eastern Corridor Agency, California, Toll Road Revenue, Sr. Lien, Series 1995A, Prerefunded 01/01/10 @ 100, 6.000% 01/01/16................................... Aaa AAA 2,372 5,000 Fresno, California, Sewer Revenue, Series 1993A-1, (AMBAC Insured), 6.250% 09/01/14................................... Aaa AAA 6,137 1,500 Golden State Tobacco Securitization Corporations, Tobacco Settlement Revenue, Series 2003A, 6.250% 06/01/33................................... Baa2 BBB 1,298 2,000 Inland Empire, California, Solid Waste Authority, Revenue, (Landfill Improvement Financing Project) Series 1996B, AMT, (FSA Insured), 6.250% 08/01/11................................... Aaa AAA 2,349 1,995 Lafayette, California, GO, Series 2002, 5.125% 07/15/25................................... Aa2 AA 2,047 1,270 Lancaster, California, Financing Authority, Tax Allocation Revenue, (Redevelopment Projects 5 and 6) Series 2003, (MBIA Insured), 5.125% 02/01/17................................... Aaa AAA 1,416 3,050 Larkspur, California, School District GO, Series 2000A, 5.250% 08/01/25................................... Aa3 AA 3,175 4,065 Lompoc, California, Unified School District, GO Series 2002A, (Election Office Project), 5.000% 08/01/27................................... Aaa AAA 4,131
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $3,000 Long Beach, California, Harbor Revenue, Series 2000A, AMT, 5.375% 05/15/24................................... Aa3 AA- $ 3,103 6,000 Los Angeles County, California, Metropolitan Transportation Authority, Sales Tax Revenue, Series 2000A, (FGIC Insured), 5.250% 07/01/30................................... Aaa AAA 6,247 2,500 Los Angeles County, California, Public Works Financing Authority, Lease Revenue, (Multiple Capital Facilities Project VI) Series 2000A, (AMBAC Insured), 5.625% 05/01/26................................... Aaa AAA 2,710 650 Los Angeles County, California, Public Works Financing Authority, Revenue, (Regional Park and Open Space District A) Series 1997A, 5.500% 10/01/08................................... Aa3 AA 739 3,000 Los Angeles, California, Convention and Exhibition Center Authority, Lease Revenue Refunding, Series 1993A, (MBIA-IBC Insured), 6.000% 08/15/10................................... Aaa AAA 3,571 3,000 Los Angeles, California, Department of Water and Power, Waterworks Revenue, Series 2001A, 5.125% 07/01/41................................... Aa3 AA 3,022 3,000 Los Angeles, California, Department Water and Power Waterworks Revenue, Series 2001A, (FGIC-TCRS Insured), 5.125% 07/01/41................................... Aaa AAA 3,037 1,500 Los Angeles, California, GO, Series 1999B, Prerefunded 09/01/09 @ 101 5.250% 09/01/14................................... Aa2 AA 1,744 3,750 Los Angeles, California, Parking Revenue, Series 1999A, (AMBAC Insured), 5.250% 05/01/29................................... Aaa AAA 3,879
SEE NOTES TO FINANCIAL STATEMENTS. 77 NATIONS FUNDS Nations California Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,115 Manhattan Beach, California, Unified School District, Certificates of Participation, Series 1995A, (MBIA Insured), Prerefunded 08/01/05 @ 102, 5.750% 08/01/20................................... Aaa AAA $ 1,231 3,635 Metropolitan Water District of Southern California, Waterworks Revenue Refunding, Series 1993A, 5.750% 07/01/21................................... Aa2 AA 4,230 2,865 Metropolitan Water District of Southern California, Waterworks Revenue, Series 1993A, 5.750% 07/01/21................................... Aa2 AA 3,404 2,000 Metropolitan Water District of Southern California, Waterworks Revenue, Series 1997A, 5.000% 07/01/26................................... Aa2 AA 2,004 2,000 Monterey County, California, Certificates of Participation, Series 2001, (MBIA Insured), 5.000% 08/01/32................................... Aaa AAA 2,019 2,500 Northridge Water District, Revenue, Certificates of Participation, Series 1996, (AMBAC Insured), 5.250% 02/01/18................................... Aaa AAA 2,710 2,095 Oak Park, California, Unified School District, GO, Series 2000, (FSA Insured), 4.290%& 05/01/14.................................. Aaa AAA 1,337 1,000 Oakland, California, State Building Authority, Lease Revenue, (Elihu M. Harris Project) Series 1998A, (AMBAC Insured), 5.000% 04/01/17................................... Aaa AAA 1,065 3,000 Orange County, California, Airport Revenue Refunding, Series 1997, AMT, (MBIA Insured), 5.500% 07/01/10................................... Aaa AAA 3,361
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $2,500 Pasadena, California, Community Development Commission, Multi-Family Housing Revenue, (Civic Center Project) Series 1991A, AMT, (FSA Insured), 6.400% 12/01/12................................... Aaa AAA $ 2,506 5,270 Pleasanton-Suisun City, California, Home Financing Authority, Home Mortgage Revenue, Municipal Multiplier, Series 1984A, (MBIA Insured), 4.610%& 10/01/16.................................. Aaa AAA 2,914 510 Pomona, California, Public Financing Authority, Revenue, Series 1994L, Prerefunded 02/01/04 @ 102, (CAPMAC-ITC Insured), 5.750% 02/01/20................................... Aaa AAA 528 1,135 Pomona, California, Public Financing Authority, Revenue, Unrefunded Balance, Series 1994L, (CAPMAC-ITC Insured), 5.750% 02/01/20................................... Aaa AAA 1,174 7,500 Port Oakland, California, Port Revenue Refunding, Series 1997H, AMT, (MBIA Insured), 5.500% 11/01/15................................... Aaa AAA 8,149 2,500 Poway, California, Certificates of Participation Refunding, (Poinsettia Mobilehome Park Project) Series 1992, (FSA Insured), 6.375% 06/01/18................................... Aaa AAA 2,546 4,000 Rancho, California, Water District Financing Authority, Revenue Refunding, Series 1995, (FGIC Insured), 5.900% 11/01/15................................... Aaa AAA 4,424 2,000 Sacramento County, California, Financing Authority, Revenue, Series 2001, (AMBAC Insured), 5.000% 12/01/26................................... Aaa AAA 2,028
SEE NOTES TO FINANCIAL STATEMENTS. 78 NATIONS FUNDS Nations California Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $ 295 Sacramento, California, Municipal Utility District Electric Revenue, Unrefunded Balance, Series 1994I, (MBIA Insured), 6.000% 01/01/24................................... Aaa AAA $ 304 1,000 Sacramento, California, Municipal Utility District Electric Revenue Refunding, Series 2001P, (FSA Insured), 5.250% 08/15/20................................... Aaa AAA 1,076 145 Sacramento, California, Municipal Utility District Electric Revenue, Series 1994I, (MBIA Insured), Prerefunded 01/01/04 @ 102, 6.000% 01/01/24................................... Aaa AAA 150 2,000 Sacramento, California, Municipal Utility District Electric Revenue, Series 2001N, (MBIA Insured), 5.000% 08/15/28................................... Aaa AAA 2,026 2,900 Sacramento, California, Power Authority Revenue, (Cogeneration Project) Series 1995, 5.875% 07/01/15................................... Baa3 BBB- 3,042 2,000 San Diego County, California, Water Authority, Water Revenue Certificates of Participation, Series 1998A, 5.125% 05/01/16................................... Aa3 AA 2,163 1,000 San Diego, California, Community College District, GO, Series 2003A, (FSA Insured), 5.000% 05/01/22................................... Aaa AAA 1,034 2,000 San Diego, California, Community Facilities District No. 1, Special Tax, Series 1995B, Prerefunded 09/01/05 @ 102, 7.000% 09/01/15................................... NR NR 2,263 1,400 San Diego, California, Public Facilities Financing Authority, Sewer Revenue, Series 1999B, (FGIC Insured), 5.000% 05/15/29................................... Aaa AAA 1,415
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,800 San Francisco, California, City and County Airport Commission, International Airport Revenue, Series 1995-7B, (FGIC Insured), 6.150% 05/01/16................................... Aaa AAA $ 1,886 2,000 San Francisco Bay Area, California, Rapid Transportation District, Sales Tax Revenue, Series 2001, (AMBAC Insured), 5.000% 07/01/26................................... Aaa AAA 2,028 2,250 San Francisco, California, City and County Airport Commission, International Airport Revenue Refunding, Series 2001-27B, (FGIC Insured), 5.000% 05/01/21................................... Aaa AAA 2,327 3,000 San Francisco, California, City and County Airport Commission, International Airport Revenue, Series 1996-2-10A, AMT, (MBIA Insured), 5.700% 05/01/26................................... Aaa AAA 3,171 2,365 San Francisco, California, City and County Airport Commission, International Airport Revenue, Series 1998-16A, AMT, (FSA Insured), 5.500% 05/01/07................................... Aaa AAA 2,645 1,750 San Joaquin County, California, Certificates of Participation, (Capital Facilities Project) Series 1993, (MBIA Insured), 5.500% 11/15/13................................... Aaa AAA 2,023 1,455 San Joaquin Hills, California, Transportation Corridor Agency, Toll Road Revenue, Sr. Lien, Series 1993, Escrowed to Maturity, 7.400% 01/01/07................................... Aaa AAA 1,722 4,195 San Jose Redevelopment Agency, California, Tax Allocation, (Merged Area Redevelopment Project) Series 1993, (MBIA Insured), 6.000% 08/01/15................................... Aaa AAA 5,059
SEE NOTES TO FINANCIAL STATEMENTS. 79 NATIONS FUNDS Nations California Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,000 San Juan, California, M-S-R Public Power Agency, Revenue Refunding, (San Juan Project) Series 2001I, (MBIA Insured), 5.000% 07/01/12................................... Aaa AAA $ 1,104 2,715 San Mateo County, California, JT Powers Authority, Lease Revenue Refunding, Series 1999A, (FSA Insured), 5.000% 07/15/29................................... Aaa AAA 2,744 2,000 San Mateo County, California, JT Powers Authority, Lease Revenue, (Capital Project) Series 1997A, (FSA Insured), 5.125% 07/15/32................................... Aaa AAA 2,034 2,010 Santa Clara County, California, East Side Unified High School District, GO Refunding, Series 2003B, (MBIA Insured), 5.250% 08/01/26................................... Aaa AAA 2,164 2,000 Saratoga, California, GO, (Saratoga Community Library Project), Series 2001, (MBIA Insured), 5.250% 08/01/31................................... Aaa AAA 2,084 4,000 Southern California, Public Power Authority, Power Project Revenue, Series 1989, 6.750% 07/01/13................................... A2 A 4,948 1,500 Sulphur Springs, California, Unified School District, Special Tax, Series 2002-1-A, 6.000% 09/01/33................................... NR NR 1,488 2,965 Tahoe Truckee, California, Unified School District Number 2, GO, Series 1999A, (FGIC Insured), 5.320%& 08/01/24.................................. Aaa AAA 992 3,780 Tahoe Truckee, California, Unified School District, GO, Series 1999A, (FGIC Insured), 5.250%& 08/01/23.................................. Aaa AAA 1,354
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,000 Torrance, California, Hospital Revenue, (Torrance Memorial Medical Center Project) Series 2001A, 5.500% 06/01/31................................... A1 A+ $ 1,015 1,000 Tri City, California, Hospital District Revenue, Series 1991, (FSA Insured), 6.000% 02/01/22................................... Aaa AAA 1,004 1,200 Union City, California, Community Redevelopment Agency, Special Tax, Series 1993, (AMBAC Insured), Prerefunded 10/01/03 @ 102, 5.850% 10/01/23................................... Aaa AAA 1,224 8,500 University of California, Hospital Revenue, (University of California Medical Center Project) Series 1996, (AMBAC Insured), Prerefunded 07/01/06 @ 101, 5.750% 07/01/24................................... Aaa AAA 9,595 3,000 University of California, Hospital Revenue, (University of California Medical Center Project) Series 1996, (AMBAC Insured), Prerefunded 07/01/06 @ 101, 6.000% 07/01/26................................... Aaa AAA 3,407 1,610 West Contra Costa, California, Unified School District, GO Refunding, Series 2001A, (MBIA Insured), 5.600% 02/01/20................................... Aaa AAA 1,862 5,000 West Covina, California, Redevelopment Agency, Community Facilities District Special Tax Refunding, (Fashion Plaza Project) Series 1996, 6.000% 09/01/17................................... Aa2 AA 5,901 1,025 Westwood, California, Unified School District, GO, Series 1996, 6.500% 08/01/21................................... Baa2 BBB 1,084 -------- 290,612 --------
SEE NOTES TO FINANCIAL STATEMENTS. 80 NATIONS FUNDS Nations California Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ PUERTO RICO -- 5.6% $2,250 Puerto Rico, Commonwealth Highway and Transportation Authority, Transportation Revenue, Series 1998A, (MBIA-IBC Insured), 4.750% 07/01/38................................... Aaa AAA $ 2,257 1,500 Puerto Rico, Commonwealth Infrastructure Financing Authority, Special Obligation, Series 2000A, 5.500% 10/01/32................................... Aaa AAA 1,631 3,000 Puerto Rico, Commonwealth, GO, Public Improvement, Series 2001A, 5.375% 07/01/28................................... Baa1 A- 3,103 8,000 Puerto Rico, Electric Power Authority, Power Revenue, Series 2000HH, (FSA Insured), 5.250% 07/01/29................................... Aaa AAA 8,361 2,000 Puerto Rico, Public Finance Corporation, Revenue, Series 2002E, 5.500% 08/01/29................................... Baa3 BBB+ 2,088 -------- 17,440 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $285,954)....................................................... 308,052 --------
SHARES VALUE (000) (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 0.3% (Cost $946) 946 Nations Tax-Exempt Reserves, Capital Class Shares#............ $ 946 -------- TOTAL INVESTMENTS (Cost $286,900*).................................. 99.2% 308,998 -------- OTHER ASSETS AND LIABILITIES (NET)................................. 0.8% Cash.......................................................... $ 1 Receivable for Fund shares sold............................... 305 Interest receivable........................................... 4,046 Payable for Fund shares redeemed.............................. (746) Investment advisory fee payable............................... (77) Administration fee payable.................................... (54) Shareholder servicing and distribution fees payable........... (40) Distributions payable......................................... (800) Accrued Trustees' fees and expenses........................... (39) Accrued expenses and other liabilities........................ (91) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 2,505 -------- NET ASSETS.......................................... 100.0% $311,503 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 486 Accumulated net realized gain on investments sold............. 439 Net unrealized appreciation of investments.................... 22,098 Paid-in capital............................................... 288,480 -------- NET ASSETS.................................................... $311,503 ========
SEE NOTES TO FINANCIAL STATEMENTS. 81 NATIONS FUNDS Nations California Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($158,144,042 / 21,006,685 shares outstanding).............. $7.53 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($138,275,170 / 18,332,476 shares outstanding).............. $7.54 ======== Maximum sales charge.......................................... 4.75% Maximum offering price per share.............................. $7.92 INVESTOR B SHARES: Net asset value and offering price per share** ($9,737,412 / 1,290,450 shares outstanding)................. $7.55 ======== INVESTOR C SHARES: Net asset value and offering price per share** ($5,346,400 / 710,992 shares outstanding)................... $7.52 ========
- --------------- * Federal income tax information (see Note 7). **The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. & Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations California Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): AMBAC 12.05% FSA 12.44% MBIA 18.96%
Nations California Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Hospital Revenue 10.00% Prerefunded 10.84% Transportation Revenue 12.63% Water Revenue 13.94%
SEE NOTES TO FINANCIAL STATEMENTS. 82 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 99.7% FLORIDA -- 93.9% $1,000 Bay County, Florida, PCR Refunding, (International Paper Company Project) Series 1998A, 5.100% 09/01/12................................... Baa2 BBB $ 1,041 1,000 Bay Medical Center, Florida, Hospital Revenue Refunding, (Bay Medical Center Project) Series 1996, (AMBAC Insured), 5.000% 10/01/05................................... Aaa AAA 1,076 2,000 Bay Medical Center, Florida, Hospital Revenue Refunding, (Bay Medical Center Project) Series 1996, (AMBAC Insured), 5.450% 10/01/12................................... Aaa AAA 2,240 1,470 Boca Raton, Florida, GO, Series 2000, 5.000% 07/01/13................................... Aaa AAA 1,606 1,000 Brevard County, Florida, Health Facilities Authority, Revenue Refunding, (Wuesthoff Memorial Hospital Project) Series 1996, (MBIA Insured), 6.250% 04/01/06................................... Aaa AAA 1,118 2,000 Brevard County, Florida, Utilities Revenue Refunding, Series 2002, (FGIC Insured), 5.250% 03/01/14................................... Aaa AAA 2,226 2,000 Broward County, Florida, Solid Waste Systems Revenue, Series 1993A, (MBIA Insured), 5.500% 07/01/04................................... Aaa AAA 2,047 2,275 Clearwater, Florida, Water and Sewer Authority, Revenue Refunding, Series 1998, (FGIC Insured), 3.810%& 12/01/11.................................. Aaa AAA 1,671 1,000 Clearwater, Florida, Water and Sewer Authority, Revenue Refunding, Series 1998, (FGIC Insured), 4.240%& 12/01/13.................................. Aaa AAA 648 3,660 Collier County, Florida, Gas Tax Revenue, Series 2003, (AMBAC Insured), 5.250% 06/01/13................................... Aaa AAA 4,169
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $3,285 Collier County, Florida, Gas Tax Revenue, Series 2003, (AMBAC Insured), 5.250% 06/01/15................................... Aaa AAA $ 3,698 2,250 Collier County, Florida, Housing Finance Authority, Multi-Family Housing Revenue, (Goodlette Arms Project) Series 2002A-1, (FNMA COLL), Mandatory Put 02/15/12 @ 100, 4.900% 02/15/32................................... Aaa AAA 2,367 1,000 Dade County, Florida, Aviation Revenue Refunding, Series 1994B, AMT, (AMBAC Insured), 6.300% 10/01/05................................... Aaa AAA 1,070 3,650 Dade County, Florida, Aviation Revenue, (Miami International Airport Project) Series 1997B, AMT, (FSA Insured), 5.000% 10/01/06................................... Aaa AAA 3,983 1,000 Delray Beach, Florida, Water and Sewer Revenue Refunding, Series 1993A, (AMBAC Insured), 5.000% 10/01/03................................... Aaa AAA 1,000 1,565 Dunes, Florida, Community Development District Revenue Refunding, (Intracoastal Waterway Bridge Project) Series 1993, 5.300% 10/01/03................................... Baa2 BBB 1,565 1,900 Dunes, Florida, Community Development District Revenue Refunding, (Intracoastal Waterway Bridge Project) Series 1993, 5.400% 10/01/04................................... Baa2 BBB 1,944 2,125 Escambia County, Florida, Health Facilities Authority, Revenue, (Ascension Health Credit Project) Series 2003A, 5.250% 11/15/11................................... Aa2 AA 2,337
SEE NOTES TO FINANCIAL STATEMENTS. 83 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,205 Escambia County, Florida, Housing Finance Authority, Single-Family Mortgage Revenue, (Multi-County Program) Series 2000A, AMT, (MBIA/FHA/VA Insured), 6.300% 10/01/20................................... Aaa AAA $ 1,291 1,700 Escambia County, Florida, Utilities Authority, Systems Revenue, Series 1996, (FGIC Insured), 5.625% 01/01/21................................... Aaa AAA 1,831 4,000 Florida State, Board of Education, Lottery Revenue, Series 2001B, 5.000% 07/01/20................................... Aaa AAA 4,205 1,000 Florida State, Board of Education, Public Education Capital Outlay GO Refunding, Series 1993A, 5.000% 06/01/08................................... Aa2 AA+ 1,124 3,000 Florida State, Board of Education, Public Education Capital Outlay GO Refunding, Series 1995A, 5.500% 06/01/14................................... Aa2 AA+ 3,213 2,000 Florida State, Board of Education, Public Education Capital Outlay GO, Series 1996A, 5.000% 06/01/18................................... Aa2 AA+ 2,117 3,525 Florida State, Board of Education, Public Education Capital Outlay GO, Series 1997A, 5.500% 01/01/08................................... Aa2 AA+ 3,961 5,000 Florida State, Department of Environmental Protection & Preservation, Revenue, (Florida Forever Project), Series 2001B, (MBIA Insured), 5.000% 07/01/09................................... Aaa AAA 5,646 1,500 Florida State, Department of Transportation GO, (Right of Way Bridge Project) Series 1996, 5.375% 07/01/26................................... Aa2 AA+ 1,586
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $3,420 Florida State, Municipal Agency Revenue Refunding, Series 2003A, (FSA Insured), 5.000% 10/01/13................................... Aaa AAA $ 3,828 1,850 Florida State, Municipal Power Agency, Revenue Refunding, (Stanton II Project) Series 2002, (AMBAC Insured), 5.500% 10/01/21................................... Aaa AAA 2,026 3,715 Florida, Capital Trust Agency, Multi-Family Housing Revenue, (River Bend Apartments Project), Series 2002A, 5.500% 10/01/22................................... A3 A- 3,596 3,300 Florida, Capital Trust Agency, Multi-Family Housing Revenue, (Shadow Run Project) Series 2000A, (FNMA COLL), Mandatory Put 11/01/10 @ 100, 5.150% 11/01/30................................... Aaa AAA 3,530 1,000 Florida, Housing Finance Agency, Multi-Family Housing Revenue Refunding, (United Dominion Realty Trust - Andover Project) Series 1996E, AMT, Mandatory Put 05/01/08 @ 100, 6.350% 05/01/26................................... Baa1 BBB+ 1,037 555 Florida, Housing Finance Agency, Revenue Refunding, (The Vineyards Project) Series 1995H, 5.875% 11/01/05................................... Baa3 BBB- 564 1,000 Florida, Housing Finance Agency, Revenue Refunding, (The Vineyards Project) Series 1995H, 6.400% 11/01/15................................... Baa3 BBB- 1,035 1,980 Florida, Housing Finance Corporation Revenue, (Homeowner Mortgage Project) Series 1998-1, (MBIA Insured), 4.950% 07/01/11................................... Aaa AAA 2,091
SEE NOTES TO FINANCIAL STATEMENTS. 84 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,000 Florida, Ports Financing Commission Revenue, (State Transportation Trust Fund Project) Series 1996, AMT, (MBIA Insured), 5.375% 06/01/16................................... Aaa AAA $ 1,074 1,000 Gainesville, Florida, Utility Systems Revenue, Series 1996A, 5.750% 10/01/07................................... Aa2 AA 1,147 1,375 Hialeah, Florida, Capital Improvement Revenue, Series 1993, 5.500% 10/01/18................................... Baa1 BBB+ 1,399 2,410 Hillsborough County, Florida, Aviation Authority, Revenue Refunding, (Tampa International Airport Project) AMT, Series 2003D, 5.500% 10/01/11................................... Aaa AAA 2,715 3,170 Hillsborough County, Florida, Aviation Authority, Revenue Refunding, (Tampa International Airport Project) Series 1997A, AMT, (AMBAC Insured), 5.750% 10/01/07................................... Aaa AAA 3,518 1,000 Hillsborough County, Florida, Capital Improvement Program Revenue Refunding, (Criminal Justice Facilities Project), Series 2003, (FGIC Insured), 5.000% 08/01/12................................... Aaa AAA 1,119 1,000 Hillsborough County, Florida, Capital Improvement Revenue Refunding, (County Center Project) Series 1996B, (MBIA Insured), 5.000% 07/01/11................................... Aaa AAA 1,102 2,335 Hillsborough County, Florida, Individual Development Authority, CIG Tax Allocation, (H. Lee Moffitt Cancer Project) Series 2002B, (AMBAC Insured), 5.500% 09/01/15................................... Aaa AAA 2,652
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,000 Indian River County, Florida, Water and Sewer Revenue Refunding, Series 1993A, (FGIC Insured), 5.200% 09/01/05................................... Aaa AAA $ 1,077 2,000 Jacksonville, Florida, Electric Systems Authority, Revenue Refunding, Series 1995-11, 5.375% 10/01/15................................... Aa2 AA 2,095 1,000 Jacksonville, Florida, Excise Tax Revenue Refunding, Series 1995A, (FGIC Insured), 5.000% 10/01/09................................... Aaa AAA 1,132 3,450 Jacksonville, Florida, GTD, Entitlement Improvement Revenue Refunding, Series 2002, (FGIC Insured), 5.375% 10/01/18................................... Aaa AAA 3,814 4,200 Jacksonville, Florida, Health Facilities Authority, Hospital Revenue, Series 1997B, 5.400% 08/15/18................................... Aaa AAA 4,442 1,000 Jacksonville, Florida, Sales Tax Revenue Refunding, Series 2002, (FGIC Insured), 5.375% 10/01/18................................... Aaa AAA 1,105 3,000 Jacksonville, Florida, Sales Tax Revenue, (River City Renaissance Project) Series 1995, (FGIC Insured), Prerefunded 10/01/05 @ 101, 5.375% 10/01/18................................... Aaa AAA 3,281 1,000 Jacksonville, Florida, Sales Tax Revenue, Refunding, Series 2001, (FGIC Insured), 5.500% 10/01/12................................... Aaa AAA 1,158 1,080 Jacksonville, Florida, Sales Tax Revenue, Series 2003, (MBIA Insured), 5.250% 10/01/19................................... Aaa AAA 1,183 2,500 Jea, Florida, St. John's River Power Parkway Systems Revenue Refunding, Series 2002, 5.250% 10/01/13................................... Aa2 AA 2,776
SEE NOTES TO FINANCIAL STATEMENTS. 85 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,000 Lakeland, Florida, Electricity and Water Revenue Refunding, Series 1990, (AMBAC Insured), 2.730%& 10/01/09.................................. Aaa AAA $ 850 2,000 Lakeland, Florida, Electricity and Water Revenue Refunding, Series 1992, 5.625% 10/01/04................................... A1 AA- 2,091 2,025 Marion County, Florida, Hospital District Revenue Refunding, Series 1999, 5.250% 10/01/11................................... A2 A 2,169 1,555 Melbourne, Florida, Water and Sewer Revenue, Series 2002B, (FGIC Insured), 4.420%& 10/01/16.................................. Aaa AAA 881 1,810 Miami Beach, Florida, Water and Sewer Revenue, Series 1995, (FSA Insured), 5.375% 09/01/15................................... Aaa AAA 1,969 2,000 Miami, Florida, GO Refunding, Series 1992, (FGIC Insured), 5.600% 12/01/03................................... Aaa AAA 2,016 1,500 Miami-Dade County, Florida, Aviation Revenue Refunding, Series 1998A, AMT, 5.250% 10/01/07................................... Aaa AAA 1,676 1,000 Miami-Dade County, Florida, Special Obligation Bonds, Series 2002A-1, (AMBAC Insured), 5.000% 04/01/11................................... Aaa AAA 1,120 5,365 Miami-Dade County, Florida, Special Obligation Revenue Refunding, Series 1997A, (MBIA Insured), 4.840%& 10/01/19.................................. Aaa AAA 2,397 1,530 Ocala, Florida, Imports Revenue Refunding, Series 2003, (AMBAC Insured), 5.375% 10/01/16................................... Aaa AAA 1,732
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $ 730 Orange County, Florida, Health Facilities Authority, Revenue Refunding, (Lakeside Alternatives, Inc. Project) Series 1995, 6.250% 07/01/05................................... Baa2 BBB $ 745 4,640 Orange County, Florida, Health Facilities Authority, Revenue, (Orlando Regional Healthcare Project) Series 1996A, (MBIA Insured), 6.250% 10/01/08................................... Aaa AAA 5,538 1,445 Orange County, Florida, Health Facilities Authority, Revenue, Series 1996A, (MBIA Insured), Escrowed to Maturity, 6.250% 10/01/16................................... Aaa AAA 1,804 555 Orange County, Florida, Health Facilities Authority, Revenue, Series 1996A, (MBIA Insured), Unrefunded Balance, 6.250% 10/01/16................................... Aaa AAA 685 4,000 Orange County, Florida, Tourist Development Tax Authority, Revenue Refunding, Series 1998A, (AMBAC Insured), 5.000% 10/01/15................................... Aaa AAA 4,335 2,000 Orlando and Orange County, Florida, Expressway Authority, Revenue, Junior Lien, Series 1990, (FGIC Insured), 6.500% 07/01/10................................... Aaa AAA 2,430 1,000 Orlando, Florida, Greater Orlando Aviation Authority, Airport Facilities Revenue Refunding, Series 1997, AMT, (FGIC Insured), 5.125% 10/01/12................................... Aaa AAA 1,068 3,000 Orlando, Florida, Utilities Commission, Water and Electric Revenue Refunding, Series 1992, 5.600% 10/01/03................................... Aa1 AA 3,000
SEE NOTES TO FINANCIAL STATEMENTS. 86 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $2,000 Orlando, Florida, Utilities Commission, Water and Electric Revenue Refunding, Series 1993B, Prerefunded 10/01/03 @ 102, 5.400% 10/01/08................................... Aa2 AA- $ 2,040 5,865 Orlando, Florida, Utilities Commission, Water and Electric Revenue Refunding, Series 2001, 5.000% 10/01/09................................... Aa1 AA 6,634 3,500 Palm Beach County, Florida, Criminal Justice Facilities Revenue, Series 1997, (FGIC Insured), 5.750% 06/01/13................................... Aaa AAA 4,120 2,000 Palm Beach County, Florida, GO Refunding, Series 1998, 5.500% 12/01/11................................... Aaa AAA 2,326 1,750 Palm Beach County, Florida, GO, Series 1994, 6.875% 12/01/03................................... Aaa AAA 1,767 1,300 Palm Beach County, Florida, GO, Series 1994, 7.000% 12/01/04................................... Aaa AAA 1,389 1,000 Palm Beach County, Florida, Health Facilities Authority, Hospital Revenue, (Good Samaritans Health System Project) Series 1993, Prerefunded 10/01/03 @ 102, 6.100% 10/01/05................................... Aaa AAA 1,020 3,000 Palm Beach County, Florida, School Board Certificates of Participation, Series 2002A, (FSA Insured), 5.375% 08/01/14................................... Aaa AAA 3,376 2,000 Palm Beach County, Florida, Stadium Facilities Revenue, Series 1996, (MBIA Insured), 5.250% 12/01/16................................... Aaa AAA 2,213 2,070 Pembroke Pines, Florida, Consolidated Utilities Systems Revenue, Series 1992, (FGIC Insured), 6.250% 09/01/07................................... Aaa AAA 2,340
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,000 Port St. Lucie, Florida, Sales Tax Revenue, Series 2003, (MBIA Insured), 5.000% 09/01/19................................... Aaa AAA $ 1,065 1,000 Port St. Lucie, Florida, Utilities Revenue, Series 2003, (MBIA Insured), 5.000% 09/01/16................................... Aaa AAA 1,092 2,000 Reedy Creek, Florida, GO, Series 1995A, (MBIA Insured), Prerefunded 06/01/05 @ 100, 5.750% 06/01/15................................... Aaa AAA 2,154 1,650 Sarasota County, Florida, Public Hospital Board Revenue Refunding, (Sarasota Memorial Hospital Project) Series 1997B, (MBIA Insured), 5.000% 10/01/07................................... Aaa AAA 1,844 1,750 Sarasota County, Florida, Public Hospital Board Revenue Refunding, (Sarasota Memorial Hospital Project) Series 1998B, (MBIA Insured), 5.250% 07/01/11................................... Aaa AAA 1,986 1,000 South Broward, Florida, Hospital District Revenue, Series 2002, 5.500% 05/01/22................................... Aa3 A+ 1,052 3,000 South Broward, Florida, Hospital District Revenue, Series 2002, 5.600% 05/01/27................................... Aa3 A+ 3,117 3,955 South Broward, Florida, Hospital District Revenue, Series 2003A, (MBIA Insured), 5.250% 05/01/12................................... Aaa AAA 4,446 1,000 St. Lucie County, Florida, School District, GO, Series 1997, (FGIC Insured), 5.875% 02/01/07................................... Aaa AAA 1,134 1,980 St. Petersburg, Florida, Health Facilities Authority, Revenue, (All Childrens Hospital Project) Series 2002, (AMBAC Insured), 5.500% 11/15/16................................... Aaa AAA 2,226
SEE NOTES TO FINANCIAL STATEMENTS. 87 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,995 St. Petersburg, Florida, Health Facilities Authority, Revenue, (All Childrens Hospital) Series 2002, (AMBAC Insured), 5.500% 11/15/15................................... Aaa AAA $ 2,254 3,775 Tallahassee, Florida, Blue Print 2000 Intern Government Revenue, Series 2003, (FSA Insured), 5.000% 10/01/13................................... Aaa AAA 4,181 1,000 Tallahassee, Florida, Conservative Utilities System Revenue Refunding, Series 2001, (FGIC Insured), 5.500% 10/01/18................................... Aaa AAA 1,158 1,000 Tallahassee, Florida, Health Facilities Revenue Refunding, (Tallahassee Memorial Regional Medical Center Project) Series 1992A, (MBIA Insured), 5.750% 12/01/04................................... Aaa AAA 1,024 1,000 Tallahassee, Florida, Health Facilities Revenue Refunding, (Tallahassee Memorial Regional Medical Center Project) Series 1992B, (MBIA Insured), 5.750% 12/01/04................................... Aaa AAA 1,024 1,000 Tampa, Florida, Capital Improvement Authority, Hospital Revenue, (H. Lee Moffitt Cancer Project) Series 1999A, 4.875% 07/01/13................................... A3 A 1,034 2,000 Tampa, Florida, Health Systems Revenue, (Catholic Health Project) Series 1998A-1, (MBIA Insured), 4.875% 11/15/15................................... Aaa AAA 2,124 3,170 Tampa, Florida, Sports Authority, Local Optional Sales Tax Revenue, (Stadium Project) Series 1997, (MBIA Insured), 6.000% 01/01/07................................... Aaa AAA 3,598
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,000 Tampa, Florida, Sports Authority, Revenue, (Tampa Bay Arena Project) Series 1995, (MBIA Insured), 5.750% 10/01/20................................... Aaa AAA $ 1,179 3,000 Tampa, Florida, Tax Allocation, (Cigarette-H. Lee Moffitt Cancer Project) Series 1999, (AMBAC Insured), 5.000% 03/01/07................................... Aaa AAA 3,325 5,495 Tampa, Florida, Utilities Tax& Special Revenue Refunding, Series 2001B, (AMBAC Insured), 5.750% 10/01/15................................... Aaa AAA 6,520 3,000 University Athletic Association Inc., Florida Athletic Program Revenue, Series 2001, Mandatory Put 10/01/05 @ 100, 2.200% 10/01/31................................... VMIG1 NR 3,056 1,000 Volusia County, Florida, Educational Facilities Authority, Educational Facilities Revenue, (Embry-Riddle Aeronautical University Project) Series 1996A, 6.125% 10/15/26................................... Baa3 BBB- 1,008 -------- 230,608 -------- GEORGIA -- 0.8% 2,000 Marietta, Georgia, Housing Authority, Multi-Family Revenue Refunding, (Wood Glen-RMKT Housing Project) Series 1994, Mandatory Put 07/01/04 @ 100, 4.750% 07/01/24................................... Baa2 BBB 2,035 -------- ILLINOIS -- 0.5% 1,620 Champaign County, Illinois, Community Unit School District Number 116 Urbana, GO, Series 1999C, (FGIC Insured), Prerefunded 01/01/09 @ 94.829, 3.040%& 01/01/10.................................. Aaa AAA 1,311 --------
SEE NOTES TO FINANCIAL STATEMENTS. 88 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- 0.5% $1,000 Calhoun County, South Carolina, Solid Waste Disposal Facility Revenue, (Carolina Eastman Company Project) Series 1992, AMT, 6.750% 05/01/17................................... A2 BBB- $ 1,266 -------- TEXAS -- 2.1% 1,945 Midland, Texas, Independent School District, GO Refunding, Series 2003, (PSF-GTD), 5.250% 02/15/17................................... Aaa AAA 2,145 4,000 Texas State, Turnpike Authority, Dallas North Tollway Revenue, (President George Bush Turnpike Project) Series 1996, (AMBAC Insured), 3.730%& 01/01/11.................................. Aaa AAA 3,060 -------- 5,205 -------- VIRGINIA -- 1.9% 4,180 Arlington County, Virginia, Industrial Development Authority, Hospital Facility Revenue, (Virginia Hospital Arlington Health Systems Project), Series 2001, 5.500% 07/01/14................................... A2 A 4,587 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $233,618)....................................................... 245,012 --------
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 0.3% (Cost $700) 700 Nations Tax-Exempt Reserves, Capital Class Shares#.......... $ 700 -------- TOTAL INVESTMENTS (Cost $234,318*)................................ 100.0% 245,712 -------- OTHER ASSETS AND LIABILITIES (NET)............................... 0.0%+ Receivable for Fund shares sold............................. $ 562 Interest receivable......................................... 4,133 Payable for Fund shares redeemed............................ (757) Investment advisory fee payable............................. (37) Administration fee payable.................................. (43) Shareholder servicing and distribution fees payable......... (20) Distributions payable....................................... (720) Payable for investment securities purchased................. (2,890) Accrued Trustees' fees and expenses......................... (48) Accrued expenses and other liabilities...................... (83) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......................................... 97 -------- NET ASSETS........................................ 100.0% $245,809 ======== NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 229 Accumulated net realized loss on investments sold........... (1,152) Net unrealized appreciation of investments.................. 11,394 Paid-in capital............................................. 235,338 -------- NET ASSETS.................................................. $245,809 ========
SEE NOTES TO FINANCIAL STATEMENTS. 89 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($208,586,869 / 19,271,512 shares outstanding)............ $10.82 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($16,741,374 / 1,547,879 shares outstanding).............. $10.82 ======== Maximum sales charge........................................ 3.25% Maximum offering price per share............................ $11.18 INVESTOR B SHARES: Net asset value and offering price per share** ($9,399,896 / 868,367 shares outstanding)................. $10.82 ======== INVESTOR C SHARES: Net asset value and offering price per share** ($11,081,173 / 1,022,501 shares outstanding).............. $10.84 ========
- --------------- *Federal income tax information (see Note 7). ** The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. &Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. +Amount represents less than 0.1%. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations Florida Intermediate Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): AMBAC 19.07% FGIC 14.45% MBIA 20.23%
Nations Florida Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Electric Revenue 10.35% Hospital Revenue 16.17% Prerefunded 10.06% Special Tax 20.83%
SEE NOTES TO FINANCIAL STATEMENTS. 90 NATIONS FUNDS Nations Florida Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 97.7% FLORIDA -- 91.7% $ 665 Alachua County, Florida, Health Facilities Authority, Revenue Refunding, (Santa Fe Healthcare Facilities, Inc. Project) Series 1993, 6.000% 11/15/09........................... Baa1 AAA $ 744 1,375 Bay County, Florida, PCR Refunding, (International Paper Company Project) Series 1998A, 5.100% 09/01/12........................... Baa2 BBB 1,432 2,550 Brevard County, Florida, Health Facilities Authority, Revenue, (Holmes Regional Medical Center, Inc. Project) Series 1996, (MBIA Insured), 5.625% 10/01/14........................... Aaa AAA 2,705 1,000 Canaveral, Florida, Port Authority, Port Improvement Revenue Refunding, Series 1996B, (FGIC Insured), 5.700% 06/01/13........................... Aaa AAA 1,126 2,250 Charlotte County, Florida, Utility Revenue Refunding, Series 1996A, (FGIC Insured), 5.625% 10/01/16........................... Aaa AAA 2,512 1,000 Collier County, Florida, Housing Finance Authority, Multi-Family Housing Revenue, (Goodlette Arms Project) Series 2002A-1, (FNMA COLL), Mandatory Put 02/15/12 @ 100, 4.900% 02/15/32........................... Aaa AAA 1,052 2,500 Dade County, Florida, Aviation Revenue, Series 1996A, AMT, (MBIA Insured), 5.750% 10/01/12........................... Aaa AAA 2,791 1,205 Escambia County, Florida, Housing Finance Authority, Single-Family Mortgage Revenue, (Multi-County Program) Series 2000A, AMT, (MBIA/FHA/VA Insured), 6.300% 10/01/20........................... Aaa AAA 1,291 3,000 Florida State, Board of Education, Capital Outlay GO, Series 1997A, 5.000% 01/01/17........................... Aa2 AA+ 3,195
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,000 Florida State, Board of Education, Lottery Revenue, Series 2000C, (FGIC Insured), 5.250% 07/01/17........................... Aaa AAA $ 1,100 1,250 Florida State, Board of Education, Public Education Capital Outlay GO, Series 1996A, 5.250% 06/01/16........................... Aa2 AA+ 1,354 1,000 Florida State, Board of Education, Public Education Capital Outlay GO, Series 1996A, 5.000% 06/01/18........................... Aa2 AA+ 1,059 1,000 Florida State, Florida Department of Transportation Revenue, Series 2002, (MBIA Insured), 5.375% 07/01/15........................... Aaa AAA 1,132 1,000 Florida, Capital Trust Agency, Multi-Family Housing Revenue, (Shadow Run Project) Series 2000A, (FNMA COLL), Mandatory Put 11/01/10 @ 100, 5.150% 11/01/30........................... Aaa AAA 1,070 2,700 Florida, Housing Finance Agency, Revenue, (Homeowner Mortgage Project) Series 1997-2, AMT, (MBIA Insured), 5.750% 07/01/14........................... Aaa AAA 2,850 1,445 Florida, Housing Finance Agency, Revenue, (Homeowner Mortgage Project) Series 1998-1, (MBIA Insured), 4.950% 01/01/11........................... Aaa AAA 1,529 3,000 Gainesville, Florida, Utility Systems Revenue, Series 1992B, 6.500% 10/01/11........................... Aa2 AA 3,688 1,800 Jacksonville, Florida, Economic Development Communities Health Care Facilities Revenue, (Mayo Clinic Jacksonville Project) Series 2001A, 5.500% 11/15/36........................... Aa2 AA 1,861 3,720 Jacksonville, Florida, GTD, Entitlement Revenue Refunding and Improvement, Series 2002, (FGIC Insured), 5.375% 10/01/19........................... Aaa AAA 4,086
SEE NOTES TO FINANCIAL STATEMENTS. 91 NATIONS FUNDS Nations Florida Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $5,000 Jacksonville, Florida, Sales Tax Revenue, (River City Renaissance Project) Series 1995, (FGIC Insured), Prerefunded 10/01/05 @ 101, 5.650% 10/01/14........................... Aaa AAA $ 5,496 2,500 Jea, Florida, St. John's River Power Parkway Systems Revenue Refunding, Series 2002, 5.250% 10/01/13........................... Aa2 AA 2,776 2,430 Leon County, Florida, Capital Improvement Revenue, Series 1997, (AMBAC Insured), 5.250% 10/01/17........................... Aaa AAA 2,674 2,370 Miami Beach, Florida, Water and Sewer Revenue, Series 1995, (FSA Insured), 5.375% 09/01/15........................... Aaa AAA 2,578 3,500 Miami-Dade County, Florida, Aviation Revenue, Series 1998C, AMT, (MBIA Insured), 5.250% 10/01/15........................... Aaa AAA 3,741 2,000 North Broward, Florida, Hospital District Revenue Refunding, Series 1997, (MBIA Insured), 5.250% 01/15/17........................... Aaa AAA 2,159 3,000 Okaloosa County, Florida, Gas Distribution Revenue Refunding, Series 1994, (MBIA Insured), Prerefunded 10/01/04 @ 102, 6.875% 10/01/19........................... Aaa AAA 3,235 3,260 Orange County, Florida, Health Facilities Authority, Revenue, Series 1996A, (MBIA Insured), Escrowed to Maturity, 6.250% 10/01/16........................... Aaa AAA 4,070 1,260 Orange County, Florida, Health Facilities Authority, Revenue, Series 1996A, (MBIA Insured), Unrefunded Balance, 6.250% 10/01/16........................... Aaa AAA 1,555
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $2,950 Orlando, Florida, Greater Orlando Aviation Authority, Airport Facilities Revenue, Series 1999A, AMT, (FGIC Insured), 5.250% 10/01/10........................... Aaa AAA $ 3,254 1,800 Orlando, Florida, Utilities Commission, Water and Electric Utilities Revenue Refunding, Series 1989D, 6.750% 10/01/17........................... Aa2 AA- 2,256 1,500 Orlando, Florida, Utilities Commission, Water and Electric Utilities Revenue Refunding, Series 1994A, 5.000% 10/01/20........................... Aa2 AA- 1,524 5,000 Palm Beach County, Florida, Solid Waste Authority, Revenue, Unrefunded Balance, Series 1997A, (AMBAC Insured), Mandatory Put 07/01/10 @ 100, 6.000% 10/01/10........................... Aaa AAA 5,914 2,000 Pensacola, Florida, Airport Revenue, Series 1997B, AMT, (MBIA Insured), 5.625% 10/01/14........................... Aaa AAA 2,210 2,115 Port St. Lucie, Florida, Utilities Revenue, Series 2003, (MBIA Insured), 5.000% 09/01/19........................... Aaa AAA 2,253 1,000 Sarasota County, Florida, Utility Systems Revenue Refunding, Series 2002C, (FGIC Insured), 5.250% 10/01/16........................... Aaa AAA 1,109 1,030 Sebring, Florida, Water and Wastewater Revenue Refunding, Series 2002, (FGIC Insured), 5.250% 01/01/14........................... Aaa AAA 1,156 1,000 South Broward, Florida, Hospital District Revenue, Series 2002, 5.600% 05/01/27........................... Aa3 A+ 1,039 4,000 South Miami, Florida, Health Facilities Authority, Hospital Revenue Refunding, (Baptist Health Systems Obligation Group Project) Series 1995, (MBIA Insured), 5.375% 10/01/16........................... Aaa AAA 4,188
SEE NOTES TO FINANCIAL STATEMENTS. 92 NATIONS FUNDS Nations Florida Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $2,500 Sunrise Lakes, Florida, Phase 4 Recreational District, GO, Series 1995A, Prerefunded 08/01/05 @ 102, 6.750% 08/01/24........................... NR NR $ 2,794 1,000 Tallahassee, Florida, Blue Print 2000 Intern Government Revenue, Series 2003, (FSA Insured), 5.000% 10/01/13........................... Aaa AAA 1,108 1,330 Tallahassee, Florida, Conservative Utility System Revenue Refunding, Series 2001, (FGIC Insured), 5.500% 10/01/14........................... Aaa AAA 1,547 500 Tampa, Florida, Sports Authority, Local Optional Sales Tax Revenue, (Stadium Project) Series 1997, (MBIA Insured), 5.125% 01/01/12........................... Aaa AAA 550 2,000 Tampa, Florida, Sports Authority, Local Optional Sales Tax Revenue, (Stadium Project) Series 1997, (MBIA Insured), 5.250% 01/01/17........................... Aaa AAA 2,175 2,500 Tampa, Florida, Sports Authority, Sales Tax Revenue, (Tampa Bay Arena Project) Series 1995, (MBIA Insured), 5.750% 10/01/15........................... Aaa AAA 2,966 1,000 Tampa, Florida, Tax Allocation Revenue, (H. Lee Moffitt Cancer Project) Series 1999, (AMBAC Insured), 4.875% 03/01/06........................... Aaa AAA 1,084
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $2,380 Volusia County, Florida, Educational Facilities Authority, Educational Facilities Revenue, (Embry-Riddle Aeronautical University Project) Series 1999A, 5.750% 10/15/29........................... Baa3 BBB- $ 2,317 -------- 104,305 -------- LOUISIANA -- 0.9% 1,000 Calcasieu Parish, Louisiana, Industrial Development Board, PCR Refunding, (Occidental Petroleum Project) Series 2001, 4.800% 12/01/06........................... Baa1 BBB+ 1,071 -------- PUERTO RICO -- 5.1% 4,190 Puerto Rico, Commonwealth GO, Series 1997, (MBIA Insured), 6.500% 07/01/15........................... Aaa.. AAA 5,281 500 Puerto Rico, Industrial Tourist Educational Medical and Environmental Authority, Control Facilities Hospital Revenue, (Hospital Auxilio Mutuo Obligation Group Project) Series 1995A, (MBIA Insured), 6.250% 07/01/16........................... Aaa AAA 538 -------- 5,819 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $100,693)........................................... 111,195 --------
SEE NOTES TO FINANCIAL STATEMENTS. 93 NATIONS FUNDS Nations Florida Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------ INVESTMENT COMPANIES -- 1.9% (Cost $2,154) 2,154 Nations Tax-Exempt Reserves, Capital Class Shares#.......... $ 2,154 -------- TOTAL INVESTMENTS (Cost $102,847*)................................ 99.6% 113,349 -------- OTHER ASSETS AND LIABILITIES (NET)............................... 0.4% Receivable for Fund shares sold............................. $ 1 Dividends receivable........................................ 1 Interest receivable......................................... 2,265 Payable for Fund shares redeemed............................ (213) Investment advisory fee payable............................. (22) Administration fee payable.................................. (20) Shareholder servicing and distribution fees payable......... (19) Distributions payable....................................... (293) Payable for investment securities purchased................. (1,083) Accrued Trustees' fees and expenses......................... (47) Accrued expenses and other liabilities...................... (74) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......................................... 496 -------- NET ASSETS........................................ 100.0% $113,845 ======== NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 330 Accumulated net realized gain on investments sold........... 903 Net unrealized appreciation of investments.................. 10,502 Paid-in capital............................................. 102,110 -------- NET ASSETS.................................................. $113,845 ========
VALUE - ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($58,340,846 / 5,788,188 shares outstanding).............. $10.08 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($43,355,411 / 4,301,677 shares outstanding).............. $10.08 ======== Maximum sales charge........................................ 4.75% Maximum offering price per share............................ $10.58 INVESTOR B SHARES: Net asset value and offering price per share** ($11,297,850 / 1,121,285 shares outstanding).............. $10.08 ======== INVESTOR C SHARES: Net asset value and offering price per share** ($851,373 / 84,580 shares outstanding).................... $10.07 ========
- --------------- *Federal income tax information (see Note 7). ** The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations Florida Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): FGIC 18.79% MBIA 40.34%
Nations Florida Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Electric Revenue 12.18% Hospital Revenue 10.44% Prerefunded 14.35% Special Tax 10.51% Transportation Revenue 11.53%
SEE NOTES TO FINANCIAL STATEMENTS. 94 NATIONS FUNDS Nations Georgia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 97.6% GEORGIA -- 89.7% $1,150 Athens, Georgia, University of Georgia Student Housing Authority, Revenue Refunding, Series 2002, (AMBAC Insured), 5.250% 12/01/19........................... Aaa AAA $ 1,248 5,000 Atlanta, Georgia, Airport Facilities Revenue Refunding, Series 2000A, (FGIC Insured), Prerefunded 01/01/10 @ 101, 5.600% 01/01/30........................... Aaa AAA 5,820 2,000 Atlanta, Georgia, Urban Residential Finance Authority, Multi-Family Revenue Refunding, (Housing City Plaza Project) Series 1998, AMT, (FNMA COLL), Mandatory Put 12/01/08 @ 100, 4.550% 12/01/28........................... Aaa AAA 2,127 940 Atlanta, Georgia, Water and Wastewater, Revenue, Series 1999A, (FGIC Insured), Prerefunded, 5.000% 11/01/38........................... Aaa AAA 949 1,060 Atlanta, Georgia, Water and Wastewater, Revenue, Unrefunded Balance, Series 1999A, (FGIC Insured), Prerefunded 05/01/09 @ 101, 5.000% 11/01/38........................... Aaa AAA 1,206 2,750 Bibb County, Georgia, GO, Series 1993, Prerefunded 01/01/04 @ 101, 5.500% 01/01/08........................... Aa3 AA 2,809 1,055 Bulloch County, Georgia, Development Authority, Student Housing Lease Revenue, (Georgia Southern University Project) Series 2002, 3.750% 08/01/10........................... Aaa AAA 1,105 1,090 Bulloch County, Georgia, Development Authority, Student Housing Lease Revenue, (Georgia Southern University Project) Series 2002, 4.000% 08/01/11........................... Aaa AAA 1,146
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $1,500 Burke County, Georgia, Development Authority, PCR, (Oglethorpe Power Corporation Project) Series 1994B, 4.700% 01/01/04........................... A3 A $ 1,513 2,000 Cartersville, Georgia, Development Authority, Sewer Facilities Revenue Refunding, (Anheuser-Busch Companies, Inc. Project) Series 1997, AMT, 5.625% 05/01/09........................... A1 A+ 2,252 1,000 Cartersville, Georgia, Development Authority, Sewer Facilities Revenue Refunding, (Anheuser-Busch Companies, Inc. Project) Series 1997, AMT, 6.125% 05/01/27........................... A1 A+ 1,045 3,000 Chatham County, Georgia, Hospital Medical Authority, Revenue, (Memorial Health Medical Center Project) Series 2001A, 6.125% 01/01/24........................... A3 A- 3,210 1,000 Cherokee County, Georgia, School System, GO, Series 1993, (AMBAC Insured), 5.875% 02/01/09........................... Aaa AAA 1,132 1,000 Cherokee County, Georgia, School System, GO, Series 2001, (State Aid Withholding), 5.250% 08/01/17........................... Aa2 AA 1,101 505 Cherokee County, Georgia, Water and Sewer Authority, Revenue Refunding, Series 1993, (MBIA Insured), 5.300% 08/01/09........................... Aaa AAA 559 1,000 Clarke County, Georgia, School District, GO Refunding, Series 1993, (FGIC Insured), 5.100% 07/01/04........................... Aaa AAA 1,031
SEE NOTES TO FINANCIAL STATEMENTS. 95 NATIONS FUNDS Nations Georgia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $3,920 Clayton County, Georgia Housing Authority, Multi-Family Housing Revenue Refunding, (Tara Court II Apartments Project) Series 2001, (FNMA Liquidity Facility), Mandatory Put 12/01/11 @ 100, 4.350% 12/01/31........................... Aaa AAA $ 4,039 3,190 Clayton County, Georgia, Hospital Authority, Revenue Anticipation Certificates, (Southern Regional Medical Center Project) Series 1998A, (MBIA Insured), 5.250% 08/01/09........................... Aaa AAA 3,608 2,000 Clayton County, Georgia, Water and Sewer Authority, Revenue, Series 2000, 6.250% 05/01/17........................... Aa3 AA 2,356 1,000 Clayton County, Georgia, Water and Sewer Authority, Revenue, Series 2000, 5.600% 05/01/18........................... Aa3 AA 1,122 5,195 Cobb County and Marietta, Georgia, Water Authority, Revenue, Series 2002, 5.125% 11/01/20........................... Aaa AAA 5,619 2,000 Cobb County, Georgia, School District, GO, Series 1995, 4.800% 02/01/04........................... Aa1 AA+ 2,025 1,300 DeKalb County, Georgia, Development Authority, Revenue, (Emory University Project) Series 1994A, (GO of University), 6.000% 10/01/14........................... Aa2 AA 1,386 3,700 DeKalb County, Georgia, Development Authority, Revenue, (Emory University Project) Series 1994A, Prerefunded 10/01/04 @ 102, 6.000% 10/01/14........................... Aa2 AA 3,956 1,000 Downtown Savannah Authority, Georgia, Revenue Refunding, (Chatham County Project) Series 1993A, 5.000% 01/01/11........................... A1 AA 1,023
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $2,490 East Point, Georgia, Building Authority, Revenue, Series 2000, (FSA Insured), 4.460%& 02/01/18.......................... Aaa AAA $ 1,193 2,000 Forsyth County, Georgia, School District, GO, Series 1999, 6.000% 02/01/15........................... Aa2 AA- 2,332 2,000 Fulco, Georgia, Hospital Authority, Revenue Anticipation Certificates, (St. Joseph Hospital Project) Series 1994, 4.900% 10/01/03........................... Aaa AAA 2,000 2,000 Fulco, Georgia, Hospital Authority, Revenue Anticipation Certificates, (St. Joseph Hospital Project) Series 1994, Prerefunded 10/01/04 @ 102, 5.500% 10/01/14........................... Aaa AAA 2,114 2,000 Fulco, Georgia, Hospital Authority, Revenue Anticipation Certificates, Health Systems Revenue, (Catholic Health East Project) Series 1998A, (MBIA Insured), 4.600% 11/15/09........................... Aaa AAA 2,197 1,000 Fulton and DeKalb Counties, Georgia, Hospital Authority, GO Refunding Certificates, (Grady Memorial Hospital Project) Series 1993, (MBIA Insured), 5.250% 01/01/04........................... Aaa AAA 1,011 5,000 Fulton County, Georgia, Building Authority, Revenue, (Judicial Center Facilities Project) Series 2002B, 4.000% 01/01/08........................... Aaa AAA 5,382 500 Fulton County, Georgia, Development Authority, Revenue, (Clark Atlanta University Project) Series 1995, (CONNIE LEE Insured), 5.125% 01/01/10........................... Aaa AAA 550 1,735 Fulton County, Georgia, Development Authority, Revenue, (Georgia Tech Foundation Facilities Project) Series 1997A, 5.000% 09/01/17........................... Aa1 AA+ 1,859
SEE NOTES TO FINANCIAL STATEMENTS. 96 NATIONS FUNDS Nations Georgia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $2,900 Fulton County, Georgia, Housing Authority, Multi-Family Housing Revenue, (Concorde Place Apartments Project) Series 1996A, AMT, Prerefunded 07/01/08 @ 100, 6.375% 01/01/27........................... Aaa AAA $ 3,416 1,500 Fulton County, Georgia, School District, GO Refunding, Series 1991, 6.250% 05/01/04........................... Aa2 AA 1,545 1,000 Gainesville & Hall County, Georgia, Hospital Authority, Revenue Anticipation Certificates, (Northeast Georgia Health System Incorporated Project) Series 2001, 5.000% 05/15/15........................... A3 A- 1,023 1,500 Georgia State, GO Refunding, Series 1992A, 6.250% 03/01/06........................... Aaa AAA 1,674 2,750 Georgia State, GO, Series 1993C, 6.500% 07/01/05........................... Aaa AAA 3,006 3,000 Georgia State, GO, Series 1999D, 5.800% 11/01/13........................... Aaa AAA 3,489 730 Georgia State, Housing and Finance Authority, Revenue, (Home Ownership Program) Series 1992B, AMT, 6.600% 06/01/25........................... Aa1 AA+ 746 560 Georgia State, Housing and Finance Authority, Single-Family Mortgage Revenue, Series 1998B-3, 4.400% 06/01/17........................... Aa2 AAA 575 960 Georgia State, Housing and Finance Authority, Single-Family Mortgage Revenue, Series 1999B-2, AMT, 6.100% 06/01/31........................... Aa2 AAA 1,002 1,000 Georgia State, Municipal Electric Authority, Revenue, Series 1998A, 5.250% 01/01/13........................... Aaa AAA 1,131 1,000 Georgia State, Tollway Authority, Revenue Refunding, (Georgia 400 Project) Series 1998, 5.000% 07/01/07........................... Aaa AAA 1,116
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $2,380 Georgia, George L. Smith II World Congress Center Authority, Revenue Refunding, (Domed Stadium Project) Series 2000, AMT, (MBIA Insured), 6.000% 07/01/05........................... Aaa AAA $ 2,566 1,250 Georgia, Municipal Association Inc., Certificate of Participation, (City Court Atlanta Project), Series 2002, (AMBAC Insured), 5.250% 12/01/26........................... Aaa AAA 1,301 1,500 Georgia, Municipal Gas Authority, Gas Tax Revenue, (Southern Storage Gas Project) Series 1994, 6.000% 07/01/04........................... A2 A 1,553 2,585 Griffin, Georgia, Combined Public Utility Improvement Revenue Refunding, Series 2002, 5.125% 01/01/19........................... Aaa AAA 2,808 1,000 Griffin-Spalding County, Georgia, School System, GO, Series 1996, (State Aid Withholding, FSA Insured), 5.250% 02/01/10........................... Aaa AAA 1,003 2,000 Gwinnett County, Georgia, GO, Series 2002, 4.000% 01/01/11........................... Aaa AAA 2,116 1,000 Hall County, Georgia, School District, GO Refunding, Series 1992B, 6.300% 12/01/05........................... A1 A+ 1,108 2,000 Hall County, Georgia, School District, GO, Series 1994, (AMBAC Insured), Prerefunded 12/01/04 @ 102, 6.700% 12/01/14........................... Aaa AAA 2,171 1,000 Henry City and County, Georgia, Water and Sewer Authority, Improvement Revenue Refunding, Series 1993A, 5.000% 02/01/07........................... A1 A+ 1,030
SEE NOTES TO FINANCIAL STATEMENTS. 97 NATIONS FUNDS Nations Georgia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $1,550 Henry County, Georgia, Hospital Authority, Revenue, (Henry Medical Center Project) Series 1997, (AMBAC Insured), Prerefunded 07/01/07 @ 102, 5.250% 07/01/09........................... Aaa AAA $ 1,771 3,000 Henry County, Georgia, Hospital Authority, Revenue, (Henry Medical Center Project) Series 1997, (AMBAC Insured), 6.000% 07/01/29........................... Aaa AAA 3,334 2,000 Houston County, Georgia, School District, GO, Series 2002, (State Aid Withholding), 4.000% 09/01/06........................... Aa2 AA 2,143 500 Lawrenceville, Georgia, Housing Authority, Multi-Family Housing Revenue, (Knollwood Park, LP Project) Series 1997, AMT, (FNMA COLL), Mandatory Put 06/01/15 @ 100, 6.250% 12/01/29........................... Aaa AAA 560 1,000 Macon, Georgia, Water Authority, Water and Sewer Revenue Refunding, Series 1994A, 4.700% 10/01/04........................... Aa3 AA- 1,037 1,000 Macon-Bibb County, Georgia, Industrial Authority, Industrial Revenue, (Weyerhaeuser Company Project) Series 1982, 9.000% 10/01/07........................... Baa2 BBB 1,272 2,000 Marietta, Georgia, Housing Authority, Multi-Family Revenue Refunding, (Wood Glen-RMKT Housing Project) Series 1994, Mandatory Put 07/01/04 @ 100, 4.750% 07/01/24........................... Baa2 BBB 2,035 1,000 Meriwether County, Georgia, School District, GO, Series 1996, (State Aid Withholding, FSA Insured), 5.500% 02/01/16........................... Aaa AAA 1,107
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $2,000 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue Refunding, Series 1992, (MBIA Insured), 6.250% 07/01/18........................... Aaa AAA $ 2,428 540 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue, Series 1983D, 7.000% 07/01/11........................... Aaa AAA 681 2,500 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue, Series 1998B, (MBIA Insured), 5.100% 07/01/13........................... Aaa AAA 2,749 3,000 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue, Series 1998B, (MBIA Insured), 5.100% 07/01/15........................... Aaa AAA 3,269 5,000 Monroe County, Georgia, Development Authority, PCR, (Georgia Power Company Plant Scherer Project) Series 2001, (AMBAC Insured), Mandatory Put 12/01/08 @ 100, 4.200% 01/01/12........................... Aaa AAA 5,438 1,000 Monroe County, Georgia, Development Authority, PCR, (Oglethorpe Power Corporation Project) Series 1992A, 6.800% 01/01/12........................... A3 A 1,199 1,100 Paulding County, Georgia, School District, GO, Series 1992A, 6.400% 02/01/04........................... A2 A 1,120 500 Peach County, Georgia, School District, GO, Series 1994, (State Aid Withholding, MBIA Insured), 6.500% 02/01/08........................... Aaa AAA 589 1,000 Richmond County, Georgia, Board of Education, GO Refunding, Series 1993, (FGIC Insured), 4.700% 11/01/06........................... Aaa AAA 1,023
SEE NOTES TO FINANCIAL STATEMENTS. 98 NATIONS FUNDS Nations Georgia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $3,000 Richmond County, Georgia, Development Authority, Environmental Improvement Revenue, (International Paper Company Project) Series 2001A, 5.150% 03/01/15........................... Baa2 BBB $ 3,044 3,000 Roswell, Georgia, GO, Series 1995, Prerefunded 02/01/05 @ 102, 5.600% 02/01/10........................... Aaa AAA 3,239 2,000 Roswell, Georgia, GO, Series 2000, 5.500% 02/01/12........................... Aaa AAA 2,256 1,225 Savannah, Georgia, Hospital Authority, Revenue, (St. Joseph's - Candler Health Systems Project) Series 1998A, (FSA Insured), 5.250% 07/01/11........................... Aaa AAA 1,337 1,310 Savannah, Georgia, Hospital Authority, Revenue, (St. Joseph's - Candler Health Systems Project) Series 1998A, (FSA Insured), 5.250% 07/01/12........................... Aaa AAA 1,430 1,000 Savannah, Georgia, Hospital Authority, Revenue, (St. Joseph's - Candler Health Systems Project) Series 1998B, (FSA Insured), 5.250% 07/01/10........................... Aaa AAA 1,105 1,000 Smyrna, Georgia, Downtown Development Authority, Revenue Refunding, Series 2002, (AMBAC Insured), 5.250% 02/01/16........................... Aaa AAA 1,132 2,225 Tift County, Georgia, Hospital Authority, Revenue, Series 2002, 5.250% 12/01/18........................... Aaa AAA 2,407 -------- 154,109 -------- ALABAMA -- 1.5% 2,320 Birmingham, Alabama, GO Refunding, Series 2003A, (AMBAC Insured), 5.250% 06/01/18........................... Aaa AAA 2,573 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ ALASKA -- 0.8% $1,315 Alaska, Municipal Bond Bank Authority, Revenue, Series 2003, (MBIA Insured), 5.250% 12/01/17........................... Aaa AAA $ 1,459 -------- LOUISIANA -- 1.2% 2,000 Calcasieu Parish, Louisiana, Industrial Development Board, PCR Refunding, (Occidental Petroleum Project) Series 2001, 4.800% 12/01/06........................... Baa1 BBB+ 2,143 -------- MICHIGAN -- 2.4% 3,650 Detroit, Michigan, GO Refunding, Series 2001B, (MBIA Insured), 5.375% 04/01/14........................... Aaa AAA 4,076 -------- SOUTH CAROLINA -- 0.8% 1,500 South Carolina, Tobacco Settlement Management Revenue, Series 2001B, 6.375% 05/15/28........................... Baa2 BBB 1,304 -------- TEXAS -- 1.2% 2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16........................... Baa2 BBB- 2,112 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $157,339)........................................... 167,776 --------
SHARES (000) - ------ INVESTMENT COMPANIES -- 1.3% (Cost $2,172) 2,172 Nations Tax-Exempt Reserves, Capital Class Shares#.......... 2,172 --------
SEE NOTES TO FINANCIAL STATEMENTS. 99 NATIONS FUNDS Nations Georgia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - --------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $159,511*)................................ 98.9% $169,948 -------- OTHER ASSETS AND LIABILITIES (NET)............................... 1.1% Cash........................................................ $ 1 Receivable for Fund shares sold............................. 210 Dividends receivable........................................ 1 Interest receivable......................................... 2,440 Payable for Fund shares redeemed............................ (19) Investment advisory fee payable............................. (23) Administration fee payable.................................. (30) Shareholder servicing and distribution fees payable......... (15) Distributions payable....................................... (503) Accrued Trustees' fees and expenses......................... (83) Accrued expenses and other liabilities...................... (66) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......................................... 1,913 -------- NET ASSETS........................................ 100.0% $171,861 ======== NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 223 Accumulated net realized loss on investments sold........... (2,639) Net unrealized appreciation of investments.................. 10,437 Paid-in capital............................................. 163,840 -------- NET ASSETS.................................................. $171,861 ======== VALUE - --------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($137,617,257 / 12,566,010 shares outstanding)............ $10.95 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($20,261,666 / 1,850,268 shares outstanding).............. $10.95 ======== Maximum sales charge........................................ 3.25% Maximum offering price per share............................ $11.32 INVESTOR B SHARES: Net asset value and offering price per share** ($8,647,826 / 789,402 shares outstanding)................. $10.95 ======== INVESTOR C SHARES: Net asset value and offering price per share** ($5,334,430 / 487,058 shares outstanding)................. $10.95 ========
- --------------- *Federal income tax information (see Note 7). ** The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. &Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations Georgia Intermediate Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): AMBAC 11.70% MBIA 14.26%
Nations Georgia Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Hospital Revenue 10.62% Prerefunded 10.81%
SEE NOTES TO FINANCIAL STATEMENTS. 100 NATIONS FUNDS Nations Kansas Municipal Income Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 99.0% KANSAS -- 90.8% $2,000 Burlington, Kansas, Environmental Improvement Revenue Refunding, (Power and Light Project) Series 1998C, Mandatory Put 10/01/07 @ 100, 4.750% 09/01/15................................... A2 BBB $ 2,145 1,380 Butler & Sedgwick Counties, Andover, Kansas, Unified School District Number 385, GO, Series 2000, (FSA Insured), 6.000% 09/01/13................................... Aaa AAA 1,658 1,600 Dodge, Kansas, Unified School District Number 443, GO Refunding, Series 2002, (FGIC Insured), 5.000% 03/01/13................................... Aaa AAA 1,785 1,045 Douglas County, Kansas, GO, Series 1999, 4.550% 08/01/05................................... Aa3 AA- 1,109 1,705 Johnson County, Kansas, Unified School District Number 229, GO Refunding, Series 1993A, (FGIC Insured), Prerefunded 10/01/03 @ 100, 5.400% 10/01/04................................... Aaa AAA 1,705 1,130 Johnson County, Kansas, Unified School District Number 231, GO Refunding, Series 1998A, (FGIC Insured), 4.600% 10/01/09................................... Aaa AAA 1,235 750 Johnson County, Kansas, Unified School District Number 233, GO Refunding, Series 1994, (AMBAC Insured), Prerefunded 09/01/04 @ 100, 5.625% 09/01/07................................... Aaa AAA 782 2,760 Johnson County, Kansas, Unified School District Number 233, GO, Series 1999A, (FGIC Insured), 5.375% 09/01/14................................... Aaa AAA 3,062 1,250 Johnson County, Kansas, Unified School District Number 512, Shawnee Mission, GO Refunding, Series 1996B, 4.850% 10/01/08................................... Aa1 AA 1,367
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $1,510 Johnson County, Kansas, Unified School District Number 512, Shawnee Mission, GO, Series 1995, 5.200% 10/01/07................................... Aa1 AA $ 1,625 500 Johnson County, Kansas, Water District Number 001, Water Revenue Refunding, Series 1993, 4.750% 06/01/04................................... Aa1 AAA 503 720 Johnson County, Kansas, Water District Number 001, Water Revenue Refunding, Series 1993, 4.750% 12/01/04................................... Aa1 AAA 724 750 Johnson County, Kansas, Water District Number 001, Water Revenue Refunding, Series 1993, 4.800% 06/01/05................................... Aa1 AAA 754 1,000 Johnson County, Kansas, Water District Number 001, Water Revenue, Series 2001, 5.000% 12/01/12................................... Aa1 AAA 1,110 595 Junction City, Kansas, Water and Sewer Revenue, Series 1996A, (MBIA Insured), Prerefunded 09/01/05 @ 101, 4.900% 09/01/07................................... Aaa AAA 643 2,230 Kansas City, Kansas, Utilities System Revenue, Series 1994, (FGIC Insured), Prerefunded 09/01/04 @ 102, 6.375% 09/01/23................................... Aaa AAA 2,383 1,000 Kansas State, Department of Transportation Highway Revenue Refunding, Series 1998, (AMBAC-TCRS-BNY Insured), 5.500% 09/01/10................................... Aaa AAA 1,157 1,055 Kansas State, Department of Transportation Highway Revenue, Series 1994, 4.800% 09/01/08................................... Aa2 AAA 1,179 735 Kansas State, Development Financing Authority, Health Facilities Revenue, (Hays Medical Center Inc. Project) Series 1997B, (MBIA Insured), 4.800% 11/15/04................................... Aaa AAA 766
SEE NOTES TO FINANCIAL STATEMENTS. 101 NATIONS FUNDS Nations Kansas Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $ 670 Kansas State, Development Financing Authority, Health Facilities Revenue, (Hays Medical Center Inc. Project) Series 1997B, (MBIA Insured), 4.900% 11/15/05................................... Aaa AAA $ 722 510 Kansas State, Development Financing Authority, Health Facilities Revenue, (Hays Medical Center Inc. Project) Series 1997B, (MBIA Insured), 5.000% 11/15/06................................... Aaa AAA 564 620 Kansas State, Development Financing Authority, Health Facilities Revenue, (St. Lukes/Shawnee Mission Project) Series 1996N, (MBIA Insured), 4.700% 11/15/05................................... Aaa AAA 666 675 Kansas State, Development Financing Authority, Health Facilities Revenue, (St. Lukes/Shawnee Mission Project) Series 1996N, (MBIA Insured), 4.750% 11/15/06................................... Aaa AAA 742 605 Kansas State, Development Financing Authority, Health Facilities Revenue, (St. Lukes/Shawnee Mission Project) Series 1996P, (MBIA Insured), 4.700% 11/15/05................................... Aaa AAA 647 630 Kansas State, Development Financing Authority, Health Facilities Revenue, (St. Lukes/Shawnee Mission Project) Series 1996P, (MBIA Insured), 4.750% 11/15/06................................... Aaa AAA 688 740 Kansas State, Development Financing Authority, Health Facilities Revenue, (Stormont-Vail Healthcare Inc. Project) Series 1996F, (MBIA Insured), 5.600% 11/15/07................................... Aaa AAA 818
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $ 500 Kansas State, Development Financing Authority, Health Facilities Revenue, (Stormont-Vail Healthcare Inc. Project) Series 1996F, (MBIA Insured), 5.750% 11/15/09................................... Aaa AAA $ 543 890 Kansas State, Development Financing Authority, Health Facilities Revenue, (Stormont-Vail Healthcare Inc. Project) Series 1996G, (MBIA Insured), Prerefunded 11/15/06 @ 100, 5.700% 11/15/08................................... Aaa AAA 1,004 730 Kansas State, Development Financing Authority, Health Facilities Revenue, (Stormont-Vail Healthcare Inc. Project) Series 1996G, (MBIA Insured), Prerefunded 11/15/06 @ 100, 5.750% 11/15/09................................... Aaa AAA 824 2,000 Kansas State, Development Financing Authority, Revenue, (Board of Regents Rehabilitation Project) Series 1997G-2, 5.000% 10/01/10................................... Aaa AAA 2,219 2,000 Kansas State, Development Financing Authority, Revenue, (Board of Regents Scientific Research) Series 2003, (AMBAC Insured), 5.000% 10/01/19................................... Aaa AAA 2,155 1,020 Kansas State, Development Financing Authority, Revenue, (Kansas State Projects) Series 2001, (AMBAC Insured), 5.500% 03/01/16................................... Aaa AAA 1,144 2,000 Kansas State, Development Financing Authority, Revenue, (Regents-Wichita University Project) Series 2000B, (AMBAC Insured), 5.900% 04/01/15................................... Aaa AAA 2,300 955 Kansas State, Development Financing Authority, Revenue, (Sisters of Charity Leavenworth Project) Series 1998, 5.000% 12/01/14................................... Aaa AAA 1,015
SEE NOTES TO FINANCIAL STATEMENTS. 102 NATIONS FUNDS Nations Kansas Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $1,000 Kansas State, Development Financing Authority, Revenue, (Water Pollution Control Project) Series 1993-II, 5.400% 11/01/03................................... Aa1 AA+ $ 1,004 1,000 Kansas State, Development Financing Authority, Revenue, Series 2002, 5.500% 11/01/13................................... Aa1 AA+ 1,147 1,000 Kansas State, Development Financing Authority, Revenue, Series 2002, 5.500% 11/01/15................................... Aa1 AA+ 1,139 2,605 Kansas State, Turnpike Authority, Revenue, Series 2002, (FSA Insured), 5.250% 09/01/15................................... Aaa AAA 2,972 1,230 Kansas State, Turnpike Authority, Revenue, Series 2002, (FSA Insured), 5.250% 09/01/16................................... Aaa AAA 1,403 1,150 Kansas, University Hospital Authority, Revenue, (Kansas University Health System Project) Series 1999A, (AMBAC Insured), 5.250% 09/01/11................................... Aaa AAA 1,275 1,265 Kansas, University Hospital Authority, Revenue, (Kansas University Health System Project) Series 1999A, (AMBAC Insured), 5.350% 09/01/12................................... Aaa AAA 1,405 1,525 Kansas, University Hospital Authority, Revenue, (Kansas University Health System Project) Series 1999A, (AMBAC Insured), 5.400% 09/01/13................................... Aaa AAA 1,696 1,000 Lenexa, Kansas GO Refunding, Series 2003A, 5.000% 09/01/11................................... Aa2 AA 1,126 1,000 Lenexa, Kansas, Public Improvement, Revenue Refunding, Series 2003A, 5.000% 09/01/12................................... Aa2 AA 1,119 1,005 Manhattan, Kansas, Hospital Revenue, (Mercy Health Care Center) Series 2001, (FSA Insured), 5.250% 08/15/10................................... Aaa AAA 1,129
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $1,065 Montgomery County, Kansas, Unified School District, Series 2002, (FGIC Insured), 6.250% 04/01/12................................... Aaa AAA $ 1,281 860 Reno County, Kansas, Unified School District Number 313, GO, Series 1996B, (FSA Insured), 5.900% 09/01/08................................... Aaa AAA 1,003 925 Reno County, Kansas, Unified School District Number 313, GO, Series 1996B, (FSA Insured), 5.900% 09/01/09................................... Aaa AAA 1,089 995 Reno County, Kansas, Unified School District Number 313, GO, Series 1996B, (FSA Insured), 5.900% 09/01/10................................... Aaa AAA 1,173 500 Salina, Kansas, Hospital Revenue Refunding, (Asbury-Salina Regional Medical Center Project) Series 1993, (AMBAC Insured), 5.100% 10/01/06................................... Aaa AAA 500 1,010 Saline County, Kansas, Unified School District Number 305 Salina, GO Refunding, Series 1999, (FSA Insured), Prerefunded 09/01/08 @ 100, 5.250% 09/01/13................................... Aaa AAA 1,124 1,000 Sedgwick & Shawnee Counties, Kansas, Single Family Revenue, AMT-Mortgage Backed Securities Program, (GNMA/FNMA Insured), Series 2003A-1, 3.250% 06/01/27................................... Aaa AAA 1,080 500 Sedgwick County, Kansas, Unified School District Number 262, GO, Series 2003, (FSA Insured), 5.000% 11/01/09................................... Aaa AAA 566 495 Sedgwick County, Kansas, Unified School District Number 264 Clearwater, GO, Series 2003, (FGIC Insured), 5.125% 09/01/09................................... Aaa AAA 563
SEE NOTES TO FINANCIAL STATEMENTS. 103 NATIONS FUNDS Nations Kansas Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $ 550 Sedgwick County, Kansas, Unified School District Number 264 Clearwater, GO, Series 2003, (FGIC Insured), 5.125% 09/01/10................................... Aaa AAA $ 624 1,000 Sedgwick County, Kansas, Unified School District Number 265 Goddard, GO, Series 1994, (FSA Insured), Prerefunded 10/01/04 @ 100, 5.400% 10/01/05................................... Aaa AAA 1,044 1,250 Sedgwick County, Kansas, Unified School District Number 265 Goddard, GO, Series 1994, (FSA Insured), Prerefunded 10/01/04 @ 100, 5.500% 10/01/06................................... Aaa AAA 1,306 1,000 Sedgwick County, Kansas, Unified School District Number 267, GO, Series 1999, (AMBAC Insured), 5.250% 11/01/11................................... Aaa AAA 1,142 625 Shawnee County, Kansas, GO Refunding & Improvement, Series 1998A, 5.000% 09/01/08................................... A1 A+ 704 1,320 Shawnee County, Kansas, GO Refunding & Improvement, Series 1998A, 5.125% 09/01/10................................... A1 A+ 1,495 1,660 Shawnee County, Kansas, GO Refunding & Improvement, Series 2002, (FSA Insured), 5.250% 09/01/17................................... Aaa AAA 1,833 500 Shawnee County, Kansas, Health Care Facilities Revenue Refunding, (Menninger Foundation Project) Series 1995, (FSA Insured), Prerefunded 08/15/05 @ 100, 5.000% 08/15/07................................... Aaa AAA 536 500 Shawnee County, Kansas, Health Care Facilities Revenue Refunding, (Menninger Foundation Project) Series 1995, (FSA Insured), Prerefunded 08/15/05 @ 100, 5.100% 08/15/09................................... Aaa AAA 536
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $ 895 Shawnee County, Kansas, Unified School District Number 345 Seaman, GO, Series 1994, (MBIA Insured), Prerefunded 09/01/04 @ 100, 5.400% 09/01/06................................... Aaa AAA $ 931 950 Shawnee County, Kansas, Unified School District Number 345 Seaman, GO, Series 1994, (MBIA Insured), Prerefunded 09/01/04 @ 100, 5.500% 09/01/07................................... Aaa AAA 989 1,000 Shawnee County, Kansas, Unified School District Number 501 Topeka, GO, Series 2002, 5.000% 02/01/14................................... Aa3 AA- 1,095 1,260 Wichita, Kansas, GO, Series 2003-772, (FGIC Insured), 4.250% 09/01/16................................... Aaa AAA 1,293 1,000 Wichita, Kansas, Water and Sewer Utility Revenue, Series 2003, (FGIC Insured), 5.000% 10/01/09................................... Aaa AAA 1,131 1,890 Wyandotte County, Kansas, School District Number 500, GO, Series 2002, (FSA Insured), 5.000% 09/01/20................................... Aaa AAA 1,991 ------- 82,187 ------- ALASKA -- 1.9% 2,000 North Slope Borough, Alaska, Capital Appreciation GO, Series 2000B, (MBIA Insured), 3.070%& 06/30/09.................................. Aaa AAA 1,679 ------- MINNESOTA -- 1.2% 1,000 Minneapolis and St. Paul Minnesota, Metropolitan Airport Commission, GO Refunding, Series 1998-13, 5.000% 01/01/10................................... Aaa AAA 1,094 -------
SEE NOTES TO FINANCIAL STATEMENTS. 104 NATIONS FUNDS Nations Kansas Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- OHIO -- 1.0% $1,000 Dayton, Ohio, Special Facilities Revenue, (Air Freight Corporation Project) Series 1988D, AMT, 6.200% 10/01/09................................... Ba1 BB+ $ 916 ------- SOUTH CAROLINA -- 2.8% 2,000 Calhoun County, South Carolina, Solid Waste Disposal Facility Revenue, (Carolina Eastman Company Project) Series 1992, AMT, 6.750% 05/01/17................................... A2 BBB- 2,531 ------- WASHINGTON -- 1.3% 1,000 Energy Northwest Washington, Electric Revenue Refunding, Series 2002A, (MBIA Insured), 5.750% 07/01/18................................... Aaa AAA 1,130 ------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $84,720)........................................................ 89,537 -------
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 0.1% (Cost $69) 69 Nations Tax-Exempt Reserves, Capital Class Shares#............ $ 69 ------- TOTAL INVESTMENTS (Cost $84,789*)................................... 99.1% 89,606 ------- OTHER ASSETS AND LIABILITIES (NET)................................. 0.9% Cash.......................................................... $ 1 Receivable for Fund shares sold............................... 20 Interest receivable........................................... 1,145 Payable for Fund shares redeemed.............................. (20) Investment advisory fee payable............................... (16) Administration fee payable.................................... (16) Shareholder servicing and distribution fees payable........... (2) Distributions payable......................................... (248) Accrued Trustees' fees and expenses........................... (25) Accrued expenses and other liabilities........................ (58) ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 781 ------- NET ASSETS.......................................... 100.0% $90,387 ======= NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 105 Accumulated net realized gain on investments sold............. 631 Net unrealized appreciation of investments.................... 4,817 Paid-in capital............................................... 84,834 ------- NET ASSETS.................................................... $90,387 =======
SEE NOTES TO FINANCIAL STATEMENTS. 105 NATIONS FUNDS Nations Kansas Municipal Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($84,499,959 / 8,083,684 shares outstanding)................ $10.45 ======= INVESTOR A SHARES: Net asset value and redemption price per share ($5,211,988 / 498,674 shares outstanding)................... $10.45 ======= Maximum sales charge.......................................... 3.25% Maximum offering price per share.............................. $10.80 INVESTOR B SHARES: Net asset value and offering price per share** ($296,772 / 28,424 shares outstanding)...................... $10.44 ======= INVESTOR C SHARES: Net asset value and offering price per share** ($378,527 / 36,300 shares outstanding)...................... $10.43 =======
- --------------- * Federal income tax information (see Note 7). **The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. & Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations Kansas Municipal Income Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): AMBAC 12.45% FGIC 17.93% FSA 21.42% MBIA 14.78%
Nations Kansas Municipal Income Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Hospital Revenue 12.47% Prerefunded 21.30%
SEE NOTES TO FINANCIAL STATEMENTS. 106 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 98.3% MARYLAND -- 81.9% $ 500 Anne Arundel County, Maryland, Consolidated General Improvement GO Refunding, Series 1995, 5.300% 04/01/10................................... Aa1 AA+ $ 536 2,855 Anne Arundel County, Maryland, GO, Series 1995, 5.200% 04/01/08................................... Aa1 AA+ 3,051 2,075 Baltimore, Maryland, Consolidated Public Improvement GO, Series 1991C, (FGIC Insured), 6.375% 10/15/07................................... Aaa AAA 2,432 1,000 Baltimore, Maryland, Consolidated Public Improvement GO, Series 1993A, (AMBAC Insured), Prerefunded 10/15/03 @ 100, 5.300% 10/15/06................................... Aaa AAA 1,002 1,740 Baltimore, Maryland, Consolidated Public Improvement GO, Series 1997A, (FGIC Insured), Prefunded 10/15/07 @ 102, 5.300% 10/15/16................................... Aaa AAA 2,008 1,000 Baltimore, Maryland, Consolidated Public Improvement GO, Series 1998B, (FGIC Insured), 6.500% 10/15/08................................... Aaa AAA 1,146 1,000 Baltimore, Maryland, Convention Center Revenue Refunding, Series 1998, (MBIA Insured), 5.000% 09/01/06................................... Aaa AAA 1,101 1,725 Baltimore, Maryland, Exchanged Revenue, Series 1996A, (FGIC Insured), 5.900% 07/01/10................................... Aaa AAA 2,036 1,000 Baltimore, Maryland, GO, Series 1989B, (MBIA Insured), 7.000% 10/15/04................................... Aaa AAA 1,061 1,000 Baltimore, Maryland, GO, Series 1989B, (MBIA Insured), 7.050% 10/15/07................................... Aaa AAA 1,198
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $1,750 Baltimore, Maryland, Port Facilities Revenue, (E.I. duPont de Nemours and Company Project) Series 1985, 6.500% 12/01/10................................... Aa3 AA- $ 1,793 1,000 Baltimore, Maryland, Revenue Refunding, (Wastewater Projects) Series 1993A, (MBIA Insured), 5.100% 07/01/04................................... Aaa AAA 1,031 800 Calvert County, Maryland, PCR Refunding, (Baltimore Gas and Electric Company Project) Series 1993, 5.550% 07/15/14................................... A2 BBB+ 825 250 Cumberland, Maryland, GO Refunding, Series 1994A, (FGIC Insured), 5.250% 05/01/21................................... Aaa AAA 260 1,000 Harford County, Maryland, GO, Series 1997, 5.500% 12/01/07................................... Aa1 AA 1,147 2,595 Howard County, Maryland, Consolidated Public Improvement GO, Refunding, Series 2002A, 5.250% 08/15/15................................... Aaa AAA 2,908 20 Howard County, Maryland, Consolidated Public Improvement GO, Series 1993A, Prerefunded 08/15/05 @ 100, 5.250% 08/15/06................................... Aaa AAA 22 1,900 Howard County, Maryland, Consolidated Public Improvement GO, Series 2000A, 5.250% 02/15/17................................... Aaa AAA 2,096 1,220 Howard County, Maryland, Consolidated Public Improvement GO, Series 2000A, Prerefunded 02/15/08 @ 101, 5.250% 02/15/16................................... Aaa AAA 1,395 210 Howard County, Maryland, Consolidated Public Improvement GO, Series 2000A, Prerefunded 02/15/08 @ 101, 5.250% 02/15/18................................... Aaa AAA 240
SEE NOTES TO FINANCIAL STATEMENTS. 107 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $3,900 Howard County, Maryland, Consolidated Public Improvement GO, Series 2002A, 5.000% 08/15/09................................... Aaa AAA $ 4,431 280 Howard County, Maryland, Consolidated Public Improvement GO, Unrefunded Balance, Series 2000A, 5.250% 02/15/16................................... Aaa AAA 310 1,790 Howard County, Maryland, Consolidated Public Improvement GO, Unrefunded Balance, Series 2000A, 5.250% 02/15/18................................... Aaa AAA 1,967 1,530 Laurel, Maryland, Public Improvement GO Refunding, 1996A, (FGIC Insured), 5.000% 10/01/11................................... Aaa AAA 1,694 1,125 Maryland State, Certificates of Participation Revenue, (Aviation Administration Facilities Project) Series 1999, AMT, 4.750% 05/01/07................................... Aa3 AA+ 1,229 500 Maryland State, Community Development Administration, Department of Housing and Community Development, Revenue, (Residential Project) Series 1998B, AMT, 4.950% 09/01/11................................... Aa2 AA 524 705 Maryland State, Community Development Administration, Department of Housing and Community Development, Revenue, (Residential Project) Series 2000A, 5.500% 09/01/12................................... Aa2 AA 746
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $1,000 Maryland State, Community Development Administration, Department of Housing and Community Development, Revenue, (Single-Family Program) Series 1997-1, (FHA COLL), 4.950% 04/01/07................................... Aa2 AA $ 1,082 4,000 Maryland State, Community Development Administration, Department of Housing and Community Development, Revenue, (Single-Family Program) Series 1998-3, AMT, 4.500% 04/01/08................................... Aa2 AA 4,271 1,685 Maryland State, Community Development Administration, Department of Housing and Community Development, Revenue, (Single-Family Program) Series 1998-3, AMT, 4.700% 04/01/10................................... Aa2 AA 1,780 2,410 Maryland State, Community Development Administration, Department of Housing and Community Development, Revenue, Series 1999D, AMT, 5.375% 09/01/24................................... Aa2 AA 2,470 3,000 Maryland State, Community Development Administration, Department of Housing and Community Development, Revenue, Series 1999H, AMT, 6.000% 09/01/17................................... Aa2 AA 3,180 1,265 Maryland State, Department of Transportation, Revenue, Series 2002, 5.500% 02/01/11................................... Aa2 AA 1,458 5,000 Maryland State, Department of Transportation, Revenue, Series 2002, 5.500% 02/01/14................................... Aa2 AA 5,790
SEE NOTES TO FINANCIAL STATEMENTS. 108 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $ 495 Maryland State, Economic Development Corporation, Student Housing Revenue, (Collegiate Housing Project) Series 1999A, 5.300% 06/01/08................................... Baa2 BBB $ 500 575 Maryland State, Economic Development Corporation, Student Housing Revenue, (Collegiate Housing Project) Series 1999A, 5.600% 06/01/11................................... Baa2 BBB 584 1,850 Maryland State, Economic Development Corporation, Student Housing Revenue, (Salisbury Collegiate Housing Project) Series 1999A, 6.000% 06/01/30................................... Baa3 BBB- 1,913 770 Maryland State, Economic Development Corporation, Student Housing Revenue, Series 1999A, 5.600% 06/01/10................................... Baa3 BBB- 792 1,000 Maryland State, Economic Development Corporation, Student Housing Revenue, Series 1999A, 5.700% 06/01/12................................... Baa3 BBB- 1,009 815 Maryland State, Economic Development Corporation, Student Housing Revenue, Series 1999A, 6.000% 06/01/19................................... Baa3 BBB- 853 1,000 Maryland State, GO, Series 1998, 5.000% 07/15/11................................... Aaa AAA 1,105 2,700 Maryland State, Health and Higher Education Facilities Authority, Revenue Refunding, (Johns Hopkins Hospital Project) Series 1993, 5.250% 07/01/04................................... A1 AA- 2,763 1,500 Maryland State, Health and Higher Education Facilities Authority, Revenue Refunding, (Johns Hopkins Hospital Project) Series 1993, 5.400% 07/01/06................................... A1 AA- 1,535
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $ 300 Maryland State, Health and Higher Education Facilities Authority, Revenue Refunding, (Johns Hopkins Hospital Project) Series 1993, 5.600% 07/01/09................................... A1 AA- $ 307 1,000 Maryland State, Health and Higher Education Facilities Authority, Revenue Refunding, (University of Maryland Medical Systems Project) Series 1993, (FGIC Insured), 5.200% 07/01/04................................... Aaa AAA 1,023 510 Maryland State, Health and Higher Education Facilities Authority, Revenue, (College of Notre Dame Project) Series 1998, (MBIA Insured), 4.600% 10/01/14................................... Aaa AAA 554 1,000 Maryland State, Health and Higher Education Facilities Authority, Revenue, (Howard County General Hospital Project) Series 1993, 5.500% 07/01/13................................... Aaa AAA 1,023 1,000 Maryland State, Health and Higher Education Facilities Authority, Revenue, (Howard County General Hospital Project) Series 1993, 5.500% 07/01/21................................... Aaa AAA 1,023 2,000 Maryland State, Health and Higher Education Facilities Authority, Revenue, (John Hopkins Hospital Redevelopment Project) Series 1979, 5.750% 07/01/09................................... Aaa AAA 2,347 1,000 Maryland State, Health and Higher Education Facilities Authority, Revenue, (Johns Hopkins Medical Project) Series 1998, 5.000% 07/01/29................................... Aaa AAA 1,011
SEE NOTES TO FINANCIAL STATEMENTS. 109 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $5,000 Maryland State, Health and Higher Education Facilities Authority, Revenue, (Johns Hopkins University Project) Series 1999, Prerefunded 07/01/09 @ 101, 6.000% 07/01/39................................... Aa2 AA $ 5,971 1,100 Maryland State, Industrial Development Financing Authority, Revenue Refunding, (American Center for Physics Facilities Project) Series 2001, (GTY AGMT), 3.650% 12/15/05................................... Aa3 AA- 1,159 500 Maryland State, Stadium Authority, Lease Revenue, (Ocean City Convention Center Project) Series 1995, 5.375% 12/15/13................................... Aa2 AA+ 549 1,550 Maryland State, State and Local Facilities Loan GO, Series 1996-2, 5.250% 06/15/11................................... Aaa AAA 1,732 5,500 Maryland State, State and Local Facilities Loan GO, Series 2000, 5.500% 08/01/09................................... Aaa AAA 6,398 2,970 Maryland State, State and Local Facilities Loan GO, Series 2000, 5.750% 08/01/11................................... Aaa AAA 3,466 2,245 Maryland State, State and Local Facilities Loan GO, Series 2002, 5.500% 03/01/13................................... Aaa AAA 2,615 3,000 Maryland State, Transportation Authority, (Baltimore/Washington International Airport Project) Series 2002A, (AMBAC Insured), 4.500% 03/01/15................................... Aaa AAA 3,179 5,000 Maryland State, Transportation Authority, Revenue, (Baltimore/ Washington International Airport Project) Series 2002A, (AMBAC Insured), 5.000% 03/01/27................................... Aaa AAA 5,105
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $ 760 Maryland State, Transportation Authority, Revenue, (Transportation Facilities Project) Series 1978, 6.800% 07/01/16................................... Aaa AAA $ 925 300 Maryland State, Transportation Authority, Revenue, (Transportation Facilities Project) Series 1992, 5.750% 07/01/15................................... A1 A+ 301 4,000 Maryland State, Transportation Authority, Transportation Revenue, Series 1992, 5.700% 07/01/05................................... A1 A+ 4,314 2,800 Maryland State, Transportation Authority, Transportation Revenue, Series 1992, 5.800% 07/01/06................................... A1 A+ 3,126 2,700 Maryland, Washington Suburban Sanitation District Authority, GO Refunding, Series 2001, 5.000% 06/01/08................................... Aaa AAA 3,044 1,000 Montgomery County, Maryland, Consolidated Public Improvement GO Refunding, Series 1992A, 5.750% 07/01/06................................... Aaa AAA 1,118 1,500 Montgomery County, Maryland, Consolidated Public Improvement GO, Series 1992A, 5.800% 07/01/07................................... Aaa AAA 1,719 3,500 Montgomery County, Maryland, Consolidated Public Improvement GO, Series 1993A, Prerefunded 10/01/03 @ 102, 4.900% 10/01/07................................... Aaa AAA 3,570 1,000 Montgomery County, Maryland, Consolidated Public Improvement GO, Series 1997A, 5.375% 05/01/08................................... Aaa AAA 1,133 1,000 Montgomery County, Maryland, Consolidated Public Improvement GO, Series 1997A, Prerefunded 05/01/07 @ 102, 5.375% 05/01/13................................... Aaa AAA 1,145
SEE NOTES TO FINANCIAL STATEMENTS. 110 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $1,000 Montgomery County, Maryland, Economic Development Revenue, (Trinity Health Care Group Project) Series 2001, 5.500% 12/01/16................................... Aa3 AA- $ 1,102 3,800 Montgomery County, Maryland, GO Refunding, Series 2001, 5.250% 10/01/10................................... Aaa AAA 4,371 1,000 Montgomery County, Maryland, GO Refunding, Series 2001, 5.250% 10/01/14................................... Aaa AAA 1,126 1,500 Montgomery County, Maryland, Housing Opportunities Commission, Multi-Family Mortgage Revenue, Series 2000A, 6.100% 07/01/30................................... Aaa AAA 1,575 1,500 Northeast Maryland, Solid Waste Disposal Authority, Revenue, (Montgomery County Resource Recreation Project) Series 1993A, AMT, 6.000% 07/01/07................................... A2 A 1,668 2,250 Northeast Maryland, Waste Disposal Authority, Revenue Refunding, Series 2003, (AMBAC Insured), 5.500% 04/01/10................................... Aaa AAA 2,537 2,000 Prince Georges County, Maryland, Consolidated Public Improvement GO, Series 1999, 5.000% 10/01/12................................... Aaa AAA 2,202 3,300 Prince Georges County, Maryland, Consolidated Public Improvement GO, Series 1999, (FSA Insured), 5.125% 10/01/16................................... Aaa AAA 3,628 1,000 Prince Georges County, Maryland, Consolidated Public Improvement GO, Series 2000, 5.125% 10/01/08................................... Aa3 AA 1,138 1,000 Prince Georges County, Maryland, Consolidated Public Improvement GO, Series 2000, 5.125% 10/01/10................................... Aa3 AA 1,139
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $4,825 Prince Georges County, Maryland, Consolidated Public Improvement GO, Series 2001, (FGIC Insured), 5.250% 12/01/11................................... Aaa AAA $ 5,526 3,970 Prince Georges County, Maryland, Construction Public Improvements GO, Series 1995, (MBIA Insured), Prerefunded 01/01/05 @ 102, 5.500% 01/01/10................................... Aaa AAA 4,267 4,650 Prince Georges County, Maryland, GO, Construction Public Improvements, Series 2001, (FGIC Insured), 5.250% 12/01/12................................... Aaa AAA 5,292 165 Prince Georges County, Maryland, Housing Authority, Single-Family Mortgage Revenue, Series 2000A, AMT, 6.150% 08/01/19................................... Aaa AAA 173 1,500 Prince Georges County, Maryland, PCR Refunding, (Potomac Electric Power Project) Series 1995, 5.750% 03/15/10................................... A1 A- 1,746 2,000 Prince Georges County, Maryland, Solid Waste Management Systems Authority, Revenue Refunding, Series 1993, (FSA Insured), 5.100% 06/15/05................................... Aaa AAA 2,047 1,200 Queen Annes County, Maryland, School and Public Facilities GO, Series 2000, 5.250% 01/15/14................................... Aaa AAA 1,334 2,620 St. Mary's County, Maryland, GO Refunding, Series 2003, 2.750% 11/01/06................................... Aa3 AA- 2,721 2,565 St. Mary's County, Maryland, GO Refunding, Series 2003, 3.000% 11/01/07................................... Aa3 AA- 2,678 1,000 St. Mary's County, Maryland, GO, Series 1995, (MBIA Insured), Prerefunded 03/01/05 @ 102, 5.700% 03/01/08................................... Aaa AAA 1,085
SEE NOTES TO FINANCIAL STATEMENTS. 111 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $2,000 University of Maryland, Systems Auxiliary Facilities and Tuition Revenue Refunding, Series 1993C, Prerefunded 10/01/03 @ 101, 4.900% 10/01/08................................... Aa3 AA+ $ 2,020 3,520 University of Maryland, Systems Auxiliary Facilities and Tuition Revenue, Series 1996A, Prerefunded 04/01/06 @ 101, 5.600% 04/01/13................................... Aa3 AA+ 3,922 3,115 University of Maryland, Systems Auxiliary Facilities and Tuition Revenue, Series 1996A, Prerefunded 04/01/06 @ 101, 5.600% 04/01/14................................... Aa3 AA+ 3,471 1,000 University of Maryland, Systems Auxiliary Facilities and Tuition Revenue, Series 1997A, 5.125% 04/01/13................................... Aa3 AA+ 1,104 1,975 University of Maryland, Systems Auxiliary Facilities and Tuition Revenue, Series 2000A, 5.000% 10/01/08................................... Aa3 AA+ 2,233 1,000 Washington County, Maryland, Consolidated Public Improvement GO Refunding, Series 1993, (FGIC Insured), 5.250% 01/01/06................................... Aaa AAA 1,023 1,000 Washington County, Maryland, Sanitation District, GO Refunding, Series 1993F, (FGIC Insured), 5.250% 01/01/06................................... Aaa AAA 1,023 1,000 Washington Suburban Sanitation District Authority, Maryland, General Construction GO, Series 2000, 5.250% 06/01/22................................... Aaa AAA 1,076 3,440 Washington Suburban Sanitation District Authority, Maryland, Water Supply GO Refunding, Series 1993, 5.100% 12/01/07................................... Aaa AAA 3,532
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $2,050 Washington Suburban Sanitation District Authority, Maryland, Water Supply GO, Series 2001, 4.125% 06/01/05................................... Aaa AAA $ 2,156 1,290 Wicomico County, Maryland, Public Improvement GO, Series 1997, (MBIA Insured), 4.800% 12/01/10................................... Aaa AAA 1,428 1,355 Wicomico County, Maryland, Public Improvement GO, Series 1997, (MBIA Insured), 4.900% 12/01/11................................... Aaa AAA 1,491 1,425 Wicomico County, Maryland, Public Improvement GO, Series 1997, (MBIA Insured), 5.000% 12/01/12................................... Aaa AAA 1,570 -------- 200,535 -------- ALABAMA -- 1.2% 3,000 Courtland, Alabama, Industrial Development Board, Solid Waste Disposal Revenue, (Champion International Corporation Project) Series 1992, AMT, 7.000% 06/01/22................................... Baa2 BBB 3,030 -------- ALASKA -- 0.5% 1,145 Alaska, Municipal Bond Bank Authority Revenue, Series 2003, (MBIA Insured, State Aid Withholding), 5.250% 12/01/15................................... Aaa AAA 1,288 -------- DISTRICT OF COLUMBIA -- 0.2% 350 Washington, District of Columbia, Metropolitan Area Transportation Authority, Revenue Refunding, Series 1993, (FGIC Insured), 6.000% 07/01/10................................... Aaa AAA 414 --------
SEE NOTES TO FINANCIAL STATEMENTS. 112 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ FLORIDA -- 1.3% $2,915 Orange County, Florida, Solid Waste Facilities Revenue Refunding, Series 2003, (MBIA Insured), 5.000% 10/01/15................................... Aaa AAA $ 3,163 -------- GUAM -- 0.2% 600 Guam, Government GO, Series 1993A, 5.200% 11/15/08................................... B2 B 591 -------- ILLINOIS -- 0.7% 1,990 Will County, Illinois, Student Housing Revenue, (Joliet Junior College Project) Series 2002A, 6.625% 09/01/23................................... NR NR 1,794 -------- KANSAS -- 0.4% 1,000 Burlington, Kansas, Environmental Improvement Revenue Refunding, (Power and Light Project) Series 1998K, Mandatory Put 10/01/07 @ 100, 4.750% 09/01/15................................... A2 BBB 1,073 -------- MICHIGAN -- 0.9% 2,000 Southfield, Michigan, Library Building Authority, GO, Series 2000, (MBIA Insured), 5.500% 05/01/24................................... Aaa AAA 2,141 -------- MINNESOTA -- 0.8% 1,715 Minneapolis and St. Paul Minnesota, Metropolitan Airport Commission, GO Refunding, Series 1998-13, 5.000% 01/01/10................................... Aaa AAA 1,876 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MISSISSIPPI -- 2.0% $1,000 Mississippi State, Hospital Facilities and Equipment Authority, Revenue, (Forrest County General Hospital Project) Series 2000, (FSA Insured), 5.625% 01/01/20................................... Aaa AAA $ 1,087 3,100 Mississippi State, Hospital Facilities and Equipment Authority, Revenue, (Forrest County General Hospital Project) Series 2000, (FSA Insured), 5.500% 01/01/24................................... Aaa AAA 3,270 500 Warren County, Mississippi, Environmental Improvement Revenue Refunding, (International Paper Company Project) Series 2000A, AMT, 6.700% 08/01/18................................... Baa2 BBB 534 -------- 4,891 -------- MISSOURI -- 0.1% 185 St. Louis County, Missouri, Mortgage Revenue, Series 1989A, (GNMA Collateral FHA/VA Mortgages), 7.950% 08/01/09................................... Aaa AAA 223 -------- PUERTO RICO -- 0.1% 310 Puerto Rico, Housing Bank and Finance Agency, Single-Family Mortgage Revenue, (Affordable Housing Mortgage-Portfolio I) Series 1995, AMT, (GNMA/FNMA/ FHLMC COLL), 6.100% 10/01/15................................... Aaa AAA 322 -------- TENNESSEE -- 1.5% 1,355 Maury County, Tennessee, Industrial Development Board, Multi-Model PCR Refunding, (General Motors Corporation - Saturn Corporation Project) Series 1994, 6.500% 09/01/24................................... A3 BBB 1,402
SEE NOTES TO FINANCIAL STATEMENTS. 113 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ TENNESSEE -- (CONTINUED) $2,000 Memphis-Shelby County, Tennessee, Airport Authority, Special Facilities Revenue Refunding, (Federal Express Corporation Project) Series 2001, 5.000% 09/01/09................................... Baa2 BBB $ 2,196 -------- 3,598 -------- TEXAS -- 6.5% 4,250 Austin, Texas, Utilities System Revenue, Refunding, Series 1997, (FSA Insured), 5.125% 11/15/13................................... Aaa AAA 4,679 2,500 Dallas-Fort Worth, Texas, International Airport Revenue, Series 2003A, (AMBAC Insured), 5.500% 11/01/14................................... Aaa AAA 2,769 2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16................................... Baa2 BBB- 2,112 2,000 San Antonio, Texas, Electric and Gas, GO Refunding, Series 1998A, 5.250% 02/01/16................................... Aa1 AA+ 2,186 2,000 Texas State, Water Development Board, Revenue, Series 1997, 5.000% 07/15/12................................... Aaa AAA 2,184 2,395 Travis County, Texas, Housing Financial Authority, Multi-Family Housing Revenue, (Lakeview Apartments Project) Series 2001A, 5.500% 07/01/11................................... B3 B- 2,090 -------- 16,020 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $225,796)....................................................... 240,959 --------
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------ INVESTMENT COMPANIES -- 0.7% (Cost $1,680) 1,680 Nations Tax-Exempt Reserves, Capital Class Shares#.......... $ 1,680 -------- TOTAL INVESTMENTS (Cost $227,476*)................................ 99.0% 242,639 -------- OTHER ASSETS AND LIABILITIES (NET)............................... 1.0% Receivable for Fund shares sold............................. $ 145 Dividends receivable........................................ 1 Interest receivable......................................... 3,490 Payable for Fund shares redeemed............................ (150) Investment advisory fee payable............................. (36) Administration fee payable.................................. (43) Shareholder servicing and distribution fees payable......... (25) Distributions payable....................................... (657) Accrued Trustees' fees and expenses......................... (86) Accrued expenses and other liabilities...................... (71) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......................................... 2,568 -------- NET ASSETS........................................ 100.0% $245,207 ======== NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 202 Accumulated net realized loss on investments sold........... (1,149) Net unrealized appreciation of investments.................. 15,163 Paid-in capital............................................. 230,991 -------- NET ASSETS.................................................. $245,207 ========
SEE NOTES TO FINANCIAL STATEMENTS. 114 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($189,174,827 / 16,827,799 shares outstanding)............ $11.24 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($33,408,061 / 2,971,899 shares outstanding).............. $11.24 ======== Maximum sales charge........................................ 3.25% Maximum offering price per share............................ $11.62 INVESTOR B SHARES: Net asset value and offering price per share** ($19,764,758 / 1,757,752 shares outstanding).............. $11.24 ======== INVESTOR C SHARES: Net asset value and offering price per share** ($2,859,373 / 254,350 shares outstanding)................. $11.24 ========
- --------------- *Federal income tax information (see Note 7). ** The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations Maryland Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Prerefunded 15.34% Transportation Revenue 11.55%
SEE NOTES TO FINANCIAL STATEMENTS. 115 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 99.9% NORTH CAROLINA -- 95.4% $1,000 Brunswick County, North Carolina, Certificates of Participation, Series 2000, 5.500% 06/01/20........................... Aaa AAA $ 1,099 2,000 Cabarrus County, North Carolina, Certificates of Participation, Installment Financing Contract, Series 2001, 5.500% 04/01/13........................... Aa3 AA- 2,265 1,500 Cabarrus County, North Carolina, GO, Series 1997, (MBIA Insured), 5.300% 02/01/13........................... Aaa AAA 1,680 1,200 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, (MBIA Insured), 4.750% 07/01/05........................... Aaa AAA 1,266 1,275 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, (MBIA Insured), 4.850% 07/01/06........................... Aaa AAA 1,377 1,260 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, (MBIA Insured), 5.000% 07/01/07........................... Aaa AAA 1,383 1,000 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, (MBIA Insured), 6.000% 07/01/24........................... Aaa AAA 1,106 1,295 Charlotte, North Carolina, GO Refunding, Series 1995, 5.000% 06/01/07........................... Aaa AAA 1,389 1,000 Charlotte, North Carolina, GO, Series 2000, 5.500% 06/01/12........................... Aaa AAA 1,140 1,570 Charlotte, North Carolina, GO, Series 2002C, 5.000% 07/01/20........................... Aaa AAA 1,661 1,265 Charlotte, North Carolina, GO, Series 2002C, 5.000% 07/01/22........................... Aaa AAA 1,318 2,000 Charlotte, North Carolina, GO, Series 2003, 4.250% 07/01/11........................... Aaa AAA 2,149 1,315 Charlotte, North Carolina, Storm Water Fee Revenue, Refunding, Series 2002, 5.250% 06/01/15........................... Aa2 AA+ 1,477
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,000 Charlotte, North Carolina, Water and Sewer GO, Series 1994, Prerefunded 02/01/04 @ 102, 5.800% 02/01/16........................... Aaa AAA $ 1,036 1,670 Charlotte, North Carolina, Water and Sewer GO, Series 1996, 5.500% 05/01/06........................... Aaa AAA 1,846 1,000 Charlotte, North Carolina, Water and Sewer GO, Series 1998, 4.750% 02/01/05........................... Aaa AAA 1,049 1,855 Charlotte, North Carolina, Water and Sewer GO, Series 1998, 4.750% 02/01/12........................... Aaa AAA 2,002 2,545 Charlotte, North Carolina, Water and Sewer Systems Revenue, Series 1999, Prerefunded 06/01/09 @ 101, 5.375% 06/01/19........................... Aa1 AAA 2,951 2,000 Charlotte-Mecklenburg Hospital Authority, Revenue, (Carolinas Healthcare System Project) Series 1997A, 5.000% 01/15/17........................... Aa3 AA 2,097 3,000 Charlotte-Mecklenburg Hospital Authority, Revenue, (Carolinas Healthcare System Project) Series 1997A, 5.125% 01/15/22........................... Aa3 AA 3,059 1,490 Concord, North Carolina, Certificate of Participation, Series 2001, (MBIA Insured), 5.000% 06/01/17........................... Aaa AAA 1,598 500 Concord, North Carolina, GO Refunding, Series 1992, 6.200% 06/01/05........................... Aa2 AA- 507 1,000 Craven County, North Carolina, Industrial Facilities and Pollution Control Financing Authority, PCR Refunding, (Weyerhaeuser Company Project) Series 1992, 6.350% 01/01/10........................... Baa2 BBB 1,022 2,120 Cumberland County, North Carolina, GO Refunding, Series 1998, (FGIC Insured), 4.750% 02/01/10........................... Aaa AAA 2,305
SEE NOTES TO FINANCIAL STATEMENTS. 116 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,000 Cumberland County, North Carolina, GO, Series 1998, (FGIC Insured), 5.000% 03/01/17........................... Aaa AAA $ 1,079 2,000 Durham County, North Carolina, GO Refunding, Series 2002, 5.000% 03/01/07........................... Aaa AAA 2,218 1,000 Durham, North Carolina, Water and Sewer Utility System Revenue, Series 2001, 5.250% 06/01/16........................... Aa3 AA 1,104 1,150 Fayetteville, North Carolina, Public Works Commission Revenue Refunding, Series 1997, (FSA Insured), 5.250% 03/01/07........................... Aaa AAA 1,282 2,000 Forsyth County, North Carolina, GO Refunding, Series 1993A, 4.750% 03/01/06........................... Aaa AAA 2,050 1,945 Forsyth County, North Carolina, GO, Series 2003B, 4.750% 03/01/22........................... Aaa AAA 1,991 1,500 Gaston County, North Carolina, GO, Series 2002, (AMBAC Insured), 5.250% 06/01/20........................... Aaa AAA 1,636 1,000 Greensboro, North Carolina, Combined Enterprise Systems Revenue, Series 1998A, 5.000% 06/01/18........................... Aa3 AA+ 1,059 1,305 Greensboro, North Carolina, Enterprise Systems Revenue, Series 1998A, 5.500% 06/01/08........................... Aa3 AA+ 1,494 1,000 Greensboro, North Carolina, Public Improvement GO, Series 1998, 4.700% 04/01/10........................... Aa1 AAA 1,087 2,000 Greenville, North Carolina, Combined Enterprise Systems Revenue, Series 1994, Prerefunded 09/01/04 @ 102, 6.000% 09/01/10........................... A2 A+ 2,124 1,000 Greenville, North Carolina, Utilities Commission Revenue, Series 2000A, (MBIA Insured), 5.500% 09/01/19........................... Aaa AAA 1,108
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,025 Guilford County, North Carolina, Public Improvement GO, Series 2000B, 5.000% 10/01/06........................... Aa1 AAA $ 1,131 4,000 Haywood County, North Carolina, Industrial Facilities and Pollution Control Financing Authority, Solid Waste Disposal Revenue Refunding, (Champion International Corporation Project) Series 1999, AMT, 6.400% 11/01/24........................... Baa2 BBB 4,119 1,275 High Point, North Carolina, Water and Sewer GO, Series 2002, (MBIA Insured), 4.500% 06/01/14........................... Aaa AAA 1,368 1,955 Iredell County, North Carolina, Public Facilities Corporate Installment Payment Revenue, (School Projects) Series 2000, (AMBAC Insured), 5.500% 06/01/09........................... Aaa AAA 2,253 2,180 Iredell County, North Carolina, Public Facilities Corporate Installment Payment Revenue, (School Projects) Series 2000, (AMBAC Insured), Prerefunded 06/01/10 @ 101, 5.125% 06/01/18........................... Aaa AAA 2,494 1,305 Johnston County, North Carolina, GO, Series 2000, (FGIC Insured), 5.500% 03/01/12........................... Aaa AAA 1,483 1,925 Johnston County, North Carolina, GO, Series 2000, (FGIC Insured), 5.500% 03/01/15........................... Aaa AAA 2,180 2,700 Johnston County, North Carolina, GO, Series 2000, (FGIC Insured), 5.500% 03/01/16........................... Aaa AAA 3,054 1,235 Lincoln County, North Carolina, Lease Revenue, Series 2003, (FSA Insured), 4.500% 06/01/09........................... Aaa AAA 1,358
SEE NOTES TO FINANCIAL STATEMENTS. 117 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,300 Martin County, North Carolina, Industrial Facilities and Pollution Control Financing Authority, Solid Waste Disposal Revenue, (Weyerhaeuser Company Project) Series 1993, AMT, 5.650% 12/01/23........................... Baa2 BBB $ 1,294 1,000 Mecklenburg County, North Carolina, GO Refunding, Series 1993, 4.250% 04/01/05........................... Aaa AAA 1,048 1,000 Mecklenburg County, North Carolina, GO Refunding, Series 1993, 6.000% 04/01/11........................... Aaa AAA 1,189 1,500 Mecklenburg County, North Carolina, GO, Series 1998C, (First Union National Bank SBPA), 1.020%&& 02/01/17......................... VMIG1 A+ 1,500 1,800 Mecklenburg County, North Carolina, GO, Series 2000D, 5.000% 04/01/11........................... Aaa AAA 2,003 1,170 Mecklenburg County, North Carolina, GO, Series 2001A, 5.000% 04/01/16........................... Aaa AAA 1,282 3,000 Mecklenburg County, North Carolina, Industrial Facilities and Pollution Control Financing Authority, Revenue Refunding, (Fluor Corporation Project) Series 1993, 5.250% 12/01/09........................... A2 A 3,011 1,000 Monroe, North Carolina, Combined Enterprise Systems Revenue, Series 1994, Prerefunded 03/01/04 @ 102, 6.000% 03/01/14........................... A3 A 1,041 995 Morganton, North Carolina, GO Refunding, Series 2003, (MBIA Insured), 4.000% 06/01/07........................... Aaa AAA 1,072 1,000 Morganton, North Carolina, Water and Sewer GO, Series 1995, (FGIC Insured), Prerefunded 06/01/05 @ 102, 5.600% 06/01/10........................... Aaa AAA 1,095
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,195 Morganton, North Carolina, Water and Sewer GO, Series 1995, (FGIC Insured), Prerefunded 06/01/05 @ 102, 5.700% 06/01/11........................... Aaa AAA $ 1,309 2,220 New Hanover County, North Carolina, GO, Series 1995, Prerefunded 03/01/05 @ 102, 5.500% 03/01/10........................... Aa2 AA 2,402 1,750 New Hanover County, North Carolina, GO, Series 2001, 4.600% 06/01/14........................... Aa2 AA 1,883 2,000 New Hanover County, North Carolina, GO, Series 2001, 5.000% 06/01/17........................... Aa2 AA 2,176 1,000 New Hanover County, North Carolina, Industrial Facilities and Pollution Control Financing Authority, Solid Waste Disposal Revenue, (Occidental Petroleum Corporation Project) Series 1994, AMT, 6.500% 08/01/14........................... Baa1 BBB+ 1,018 4,725 North Carolina State, GO, Series 1994A, Prerefunded 02/01/04 @ 102, 4.700% 02/01/10........................... Aa1 AAA 4,879 3,000 North Carolina State, GO, Series 1997A, 5.100% 03/01/06........................... Aa1 AAA 3,270 5,000 North Carolina State, GO, Series 2001A, 4.750% 03/01/14........................... Aa1 AAA 5,430 1,000 North Carolina, Appalachian State University Revenue Refunding, (Utility Systems Project) Series 1998, (MBIA Insured), 5.000% 05/15/12........................... Aaa AAA 1,116 1,000 North Carolina, Appalachian State University Revenue Refunding, Series 1998, (MBIA Insured), 5.000% 05/15/18........................... Aaa AAA 1,063
SEE NOTES TO FINANCIAL STATEMENTS. 118 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,000 North Carolina, Appalachian State University Revenue, Series 2003A, (FGIC Insured), 5.125% 05/01/18........................... Aaa AAA $ 1,085 1,970 North Carolina, Capital Facilities Finance Agency, Educational Facilities Revenue, (Johnson and Wales University Project) Series 2003A, (XLCA Insured), 5.250% 04/01/23........................... Aaa AAA 2,079 1,040 North Carolina, East Carolina University Revenue Refunding, Series 2003A, (AMBAC Insured), 4.000% 05/01/09........................... Aaa AAA 1,116 2,165 North Carolina, Eastern Municipal Power Authority, Revenue, Series 1986A, 5.000% 01/01/17........................... Aaa BBB 2,421 1,910 North Carolina, Housing Finance Agency, Multi-Family Housing Revenue Refunding, Series 1992B, (FHA COLL), 6.900% 07/01/24........................... Aa2 AA 1,934 1,000 North Carolina, Housing Finance Agency, Revenue, (Home Ownership Project) Series 2002A-14, AMT, (AMBAC Insured), 4.400% 07/01/10........................... Aaa AAA 1,042 1,210 North Carolina, Housing Finance Agency, Revenue, (Home Ownership Project) Series 1998A-2, AMT, 5.200% 01/01/20........................... Aa2 AA 1,234 950 North Carolina, Housing Finance Agency, Revenue, (Home Ownership Project) Series 1999A-6, AMT, 6.000% 01/01/16........................... Aa2 AA 1,003 1,550 North Carolina, Housing Finance Agency, Revenue, (Home Ownership Project) Series 2000A-8, AMT, 5.950% 07/01/10........................... Aa2 AA 1,642
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,080 North Carolina, Housing Finance Agency, Revenue, (Home Ownership Project) Series 2000A-8, AMT, 6.050% 07/01/12........................... Aa2 AA $ 1,130 1,500 North Carolina, Housing Finance Agency, Revenue, Series 1999A-3, AMT, 5.150% 01/01/19........................... Aa2 AA 1,539 3,925 North Carolina, Housing Finance Agency, Single-Family Housing Revenue, (Home Ownership Project) Series 1998A-1, AMT, 5.350% 01/01/17........................... Aa2 AA 4,063 595 North Carolina, Housing Finance Agency, Single-Family Housing Revenue, Series 1994Y, 6.300% 09/01/15........................... Aa2 AA 607 1,440 North Carolina, Housing Finance Agency, Student Housing Revenue, (Appalachian Student Housing Project) Series 2000A, (First Union National Bank LOC), 1.050%&& 07/01/31......................... Aa3 AA- 1,440 2,980 North Carolina, Housing Financing Agency, Series 1999A-5, AMT, 5.550% 01/01/19........................... Aa2 AA 3,093 100 North Carolina, Medical Care Commission, Hospital Revenue, (Presbyterian Health Project) Series 1993, 5.300% 10/01/05........................... A1 AA- 102 2,605 North Carolina, Medical Care Commission, Health Care Facilities Revenue Refunding, (Novant Health, Inc. Project) Series 1998A, (MBIA Insured), 5.000% 10/01/08........................... Aaa AAA 2,937 2,000 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Carolina Medicorp Inc. Project) Series 1996, 5.100% 05/01/07........................... Aa3 AA- 2,209
SEE NOTES TO FINANCIAL STATEMENTS. 119 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,715 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Carolina Medicorp Inc. Project) Series 1996, 5.125% 05/01/08........................... Aa3 AA- $ 1,871 2,000 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Duke University Hospital Project) Series 1996C, 5.250% 06/01/17........................... Aa3 AA- 2,138 1,000 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Gaston Memorial Hospital Project) Series 1995, (AMBAC-TCRS Insured), 5.000% 02/15/05........................... Aaa AAA 1,053 1,130 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Gaston Memorial Hospital Project) Series 1995, (AMBAC-TCRS Insured), 5.250% 02/15/07........................... Aaa AAA 1,243 660 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Halifax Regional Medical Center, Inc. Project) Series 1998, 4.600% 08/15/06........................... Baa2 BBB 694 1,500 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Moore Regal Hospital Project) Series 1993, Prerefunded 10/01/03 @ 102, 5.200% 10/01/13........................... Aa3 AA 1,530 4,000 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Novant Health Obligation Group Project) Series 2003A, 5.000% 11/01/17........................... Aa3 AA- 4,230
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,000 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Pitt County Memorial Hospital Project) Series 1998B, 4.750% 12/01/28........................... Aa3 AA- $ 971 1,000 North Carolina, Medical Care Commission, Hospital Revenue Refunding, (Stanley Memorial Hospital Project) Series 1996, (AMBAC Insured), 5.250% 10/01/06........................... Aaa AAA 1,109 2,750 North Carolina, Medical Care Commission, Hospital Revenue, (Gaston Memorial Hospital Project) Series 1995, 5.400% 02/15/11........................... A1 A+ 2,986 1,000 North Carolina, Medical Care Commission, Hospital Revenue, (Northeast Medical Center Project) Series 2002A, (AMBAC Insured), 5.000% 11/01/10........................... Aaa AAA 1,125 1,000 North Carolina, Medical Care Commission, Hospital Revenue, (Pitt County Memorial Hospital Project) Series 1998B, 5.000% 12/01/18........................... Aa3 AA- 1,042 210 North Carolina, Medical Care Commission, Hospital Revenue, (Presbyterian Health Project) Series 1993, 5.250% 10/01/04........................... A1 AA- 215 330 North Carolina, Medical Care Commission, Hospital Revenue, (Presbyterian Health Project) Series 1993, 5.500% 10/01/14........................... A1 AA- 338 2,670 North Carolina, Medical Care Commission, Hospital Revenue, (Presbyterian Health Project) Series 1993, Prerefunded 10/01/03 @ 102, 5.500% 10/01/14........................... A1 AA- 2,724
SEE NOTES TO FINANCIAL STATEMENTS. 120 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,790 North Carolina, Medical Care Commission, Hospital Revenue, (Presbyterian Health Project) Series 1993, Prerefunded 10/01/03 @ 102, 5.250% 10/01/04........................... A1 AA- $ 1,826 900 North Carolina, Medical Care Commission, Hospital Revenue, (Presybyterian Health Project) Series 1993, Prerefunded 10/01/03 @ 102, 5.300% 10/01/05........................... A1 AA- 918 2,000 North Carolina, Municipal Power Agency Number 1, Revenue, Series 1992, (MBIA-IBC Insured), 7.250% 01/01/07........................... Aaa AAA 2,342 1,500 Onslow County, North Carolina, Combined Enterprise Systems, Revenue, Series 1994, (MBIA Insured), 5.875% 06/01/09........................... Aaa AAA 1,576 1,625 Orange County, North Carolina, GO, Series 1994, Prerefunded 02/01/04 @ 02, 5.500% 02/01/12........................... Aa1 AA+ 1,682 1,000 Orange County, North Carolina, GO, Series 1994, Prerefunded 02/01/04 @ 102, 5.500% 02/01/14........................... Aa1 AA+ 1,035 1,000 Orange County, North Carolina, GO, Series 2000, 5.300% 04/01/17........................... Aa1 AA+ 1,108 4,645 Orange County, North Carolina, GO, Series 2000, 5.300% 04/01/18........................... Aa1 AA+ 5,121 1,300 Orange County, North Carolina, Public Improvement GO, Series 2000, 5.250% 04/01/07........................... Aa1 AA+ 1,453 1,390 Pitt County, North Carolina, Certificates of Participation, (School Facilities Project) Series 2000B, 5.750% 04/01/16........................... Aaa AAA 1,586
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,000 Pitt County, North Carolina, Certificates of Participation, (School Facilities Project) Series 2000B, 5.500% 04/01/25........................... Aaa AAA $ 1,067 1,240 Pitt County, North Carolina, Hospital Revenue, (Pitt County Memorial Hospital Project) Series 1995, 5.375% 12/01/10........................... Aaa AAA 1,365 1,000 Pitt County, North Carolina, Hospital Revenue, (Pitt County Memorial Hospital Project) Series 1995, 5.250% 12/01/21........................... Aaa AAA 1,065 1,000 Raleigh, North Carolina, Combined Enterprise System Revenue, Series 1996, 5.250% 03/01/07........................... Aa1 AAA 1,115 1,910 Raleigh, North Carolina, GO, Series 1996, 5.300% 06/01/16........................... Aaa AAA 2,097 1,000 Raleigh, North Carolina, North Carolina State University Revenue, Series 2003A, 5.000% 10/01/17........................... Aa3 AA 1,090 1,000 Randolph County, North Carolina, Certificates of Participation, Series 2000, (FSA Insured), 5.200% 06/01/12........................... Aaa AAA 1,105 1,000 Randolph County, North Carolina, Certificates of Participation, Series 2000, (FSA Insured), 5.300% 06/01/13........................... Aaa AAA 1,111 1,595 Randolph County, North Carolina, Certificates of Participation, Series 2000, (FSA Insured), 5.500% 06/01/14........................... Aaa AAA 1,792 1,000 Randolph County, North Carolina, Certificates of Participation, Series 2000, (FSA Insured), 5.500% 06/01/15........................... Aaa AAA 1,124
SEE NOTES TO FINANCIAL STATEMENTS. 121 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,000 Randolph County, North Carolina, Certificates of Participation, Series 2000, (FSA Insured), 5.750% 06/01/22........................... Aaa AAA $ 1,107 1,000 Robeson County, North Carolina, Industrial Facilities PCR Refunding, (Campbell Soup Company Project) Series 1991, 6.400% 12/01/06........................... A2 A 1,139 1,000 Rockingham, North Carolina, Certificates of Participation, Series 2002, (AMBAC Insured), 5.000% 04/01/10........................... Aaa AAA 1,120 1,045 Union County, North Carolina, Enterprise System Revenue, Series 2003A, (FSA Insured), 5.000% 06/01/16........................... Aaa AAA 1,141 1,690 University of North Carolina, Chapel Hill Hospital Revenue Refunding, Series 1999, (AMBAC Insured), 5.250% 02/15/12........................... Aaa AAA 1,876 1,000 University of North Carolina, Charlotte Revenue Refunding, (Housing and Dining Systems Project) Series 1993M, (MBIA Insured), Prerefunded 02/01/04 @ 102, 4.800% 01/01/04........................... Aaa AAA 1,010 1,325 University of North Carolina, Pool Revenue, Series 2002A, (AMBAC Insured), 4.000% 04/01/06........................... Aaa AAA 1,409 3,000 University of North Carolina, Revenue Refunding, Series 2002B, 5.000% 12/01/06........................... Aa1 AA+ 3,321 1,315 Wake County, North Carolina, GO, Series 1996, 4.600% 03/01/11........................... Aaa AAA 1,383 3,065 Wake County, North Carolina, Hospital Revenue, Series 1993, (MBIA Insured), 5.125% 10/01/26........................... Aaa AAA 3,341
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,000 Wake County, North Carolina, Public Improvement GO, Series 1994, 4.600% 02/01/06........................... Aaa AAA $ 1,021 5,000 Wake County, North Carolina, Public Improvement GO, Series 1994, 4.800% 02/01/10........................... Aaa AAA 5,161 1,000 Wake County, North Carolina, Public Improvement GO, Series 2003, 5.000% 04/01/09........................... Aaa AAA 1,129 1,200 Wayne County, North Carolina, GO Refunding, Series 1993, (MBIA Insured), 4.900% 04/01/05........................... Aaa AAA 1,268 1,240 Wilmington, North Carolina, Certificates of Participation, Series 2003A, (AMBAC Insured), 5.000% 06/01/14........................... Aaa AAA 1,373 1,000 Wilmington, North Carolina, Public Improvement GO, Series 1997A, (FGIC Insured), 5.000% 04/01/11........................... Aaa AAA 1,106 1,000 Wilmington, North Carolina, Public Improvement GO, Series 1997A, (FGIC Insured), 5.000% 04/01/13........................... Aaa AAA 1,098 1,000 Wilmington, North Carolina, Water Authority, GO, Series 1994, Prerefunded 06/01/04 @ 102, 5.700% 06/01/15........................... Aa3 AA 1,051 1,000 Wilson, North Carolina, GO, Series 2000, (AMBAC Insured), 5.100% 06/01/14........................... Aaa AAA 1,104 -------- 232,216 --------
SEE NOTES TO FINANCIAL STATEMENTS. 122 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ FLORIDA -- 1.2% $2,520 Hillsborough County, Florida, Aviation Authority, Revenue Refunding, (Tampa International Airport Project) AMT, Series 2003D, (MBIA Insured), 5.500% 10/01/12........................... Aaa AAA $ 2,832 -------- PUERTO RICO -- 0.5% 1,000 Puerto Rico, Electric Power Authority, Power Revenue Refunding, Series 1995Y, (MBIA Insured), 7.000% 07/01/07........................... Aaa AAA 1,185 -------- SOUTH CAROLINA -- 0.8% 1,500 Calhoun County, South Carolina, Solid Waste Disposal Facility Revenue, (Carolina Eastman Company Project) Series 1992, AMT, 6.750% 05/01/17........................... A2 BBB- 1,898 -------- TENNESSEE -- 0.6% 1,325 Tennessee State, GO, Series 1999B, (FSA Insured), 5.250% 05/01/17........................... Aaa AAA 1,455 -------- TEXAS -- 0.9% 2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 5.000% 10/01/07........................... Baa2 BBB- 2,132 -------- WASHINGTON -- 0.5% 1,150 Washington State, Public Power Supply Systems Revenue Refunding, Series 1993A, (MBIA-IBC Insured), 5.800% 07/01/07........................... Aaa AAA 1,310 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $227,178)........................................... 243,028 --------
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------ INVESTMENT COMPANIES -- 0.5% (Cost $1,182) 1,182 Nations Tax-Exempt Reserves, Capital Class Shares#.......... $ 1,182 -------- TOTAL INVESTMENTS (Cost $228,360*)................................ 100.4% 244,210 -------- OTHER ASSETS AND LIABILITIES (NET)............................... (0.4)% Receivable for Fund shares sold............................. $ 47 Dividends receivable........................................ 1 Interest receivable......................................... 3,422 Payable for Fund shares redeemed............................ (164) Investment advisory fee payable............................. (36) Administration fee payable.................................. (42) Shareholder servicing and distribution fees payable......... (21) Distributions payable....................................... (688) Payable for investment securities purchased................. (3,269) Accrued Trustees' fees and expenses......................... (83) Accrued expenses and other liabilities...................... (84) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......................................... (917) -------- NET ASSETS........................................ 100.0% $243,293 ======== NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 841 Accumulated net realized loss on investments sold........... (1,579) Net unrealized appreciation of investments.................. 15,850 Paid-in capital............................................. 228,181 -------- NET ASSETS.................................................. $243,293 ========
SEE NOTES TO FINANCIAL STATEMENTS. 123 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($199,053,816 / 18,338,931 shares outstanding)............ $10.85 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($24,677,102 / 2,272,944 shares outstanding).............. $10.86 ======== Maximum sales charge........................................ 3.25% Maximum offering price per share............................ $11.22 INVESTOR B SHARES: Net asset value and offering price per share** ($17,740,821 / 1,634,673 shares outstanding).............. $10.85 ======== INVESTOR C SHARES: Net asset value and offering price per share** ($1,820,899 / 167,698 shares outstanding)................. $10.86 ========
- --------------- *Federal income tax information (see Note 7). ** The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. && Floating rate note. The interest rate shown reflects the rate in effect at September 30, 2003. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations North Carolina Intermediate Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): MBIA 11.63%
Nations North Carolina Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Hospital Revenue 13.49% Prerefunded 11.13%
SEE NOTES TO FINANCIAL STATEMENTS. 124 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 95.2% SOUTH CAROLINA -- 86.1% $1,200 Anderson County, South Carolina, GO Revenue Refunding, Series 1992, 6.500% 04/01/04................................... Aa3 AA- $ 1,319 1,725 Beaufort County, South Carolina, School District, GO, Series 2000B, (SCSDE), 5.500% 03/01/16................................... Aa1 AA+ 1,930 1,200 Beaufort County, South Carolina, School District, GO, Series 2000C, (SCSDE), 5.125% 03/01/12................................... Aa1 AA+ 1,322 1,135 Beaufort County, South Carolina, School District, GO, Series 2001A, (SCSDE), 5.000% 03/01/18................................... Aa1 AA+ 1,208 1,000 Berkeley County, South Carolina, Refunding and Improvement Authority, GO, Series 1993, (FGIC Insured), 5.400% 05/01/05................................... Aaa AAA 1,022 1,000 Berkeley County, South Carolina, Refunding and Improvement Authority, GO, Series 1993, (FGIC Insured), 5.500% 05/01/06................................... Aaa AAA 1,022 2,500 Berkeley County, South Carolina, School District, GO, Series 2000, (SCSDE), 5.000% 04/01/21................................... Aa1 AA+ 2,592 1,000 Berkeley County, South Carolina, Water & Sewer Revenue, Series 2003, (MBIA Insured), 5.250% 06/01/19................................... Aaa AAA 1,093 2,790 Berkeley County, South Carolina, Water & Sewer Systems Revenue, Series 2003, (MBIA Insured), 5.250% 06/01/17................................... Aaa AAA 3,100 2,000 Calhoun County, South Carolina, Solid Waste Disposal Facility Revenue, (Carolina Eastman Company Project) Series 1992, AMT, 6.750% 05/01/17................................... A2 BBB- 2,531
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $1,000 Camden, South Carolina, Combined Public Utilities Revenue Refunding and Improvement, Series 1997, (MBIA Insured), 5.500% 03/01/17................................... Aaa AAA $ 1,109 3,000 Charleston County, South Carolina, Hospital Facilities Revenue Refunding and Improvement, (Bon Secours Health Systems Project) Series 1993, (FSA Insured), 5.500% 08/15/10................................... Aaa AAA 3,070 500 Charleston County, South Carolina, Hospital Facilities Revenue Refunding and Improvement, (Bon Secours Health Systems Project) Series 1993, (FSA Insured), 5.625% 08/15/25................................... Aaa AAA 512 1,000 Charleston County, South Carolina, Hospital Facilities Revenue Refunding and Improvement, (Medical Society Health Project) Series 1992, (MBIA Insured), 6.000% 10/01/09................................... Aaa AAA 1,024 6,370 Charleston County, South Carolina, Hospital Facilities Revenue, (Care Alliance Health Services Project) Series 1999A, (FSA Insured), 5.125% 08/15/15................................... Aaa AAA 7,035 1,000 Charleston County, South Carolina, Public Improvement Authority, GO, Series 1994, (State Aid Withholding), Prerefunded 06/01/06 @ 100, 5.500% 06/01/14................................... Aa1 AA+ 1,107 4,000 Charleston County, South Carolina, Resource Recovery Revenue, (Foster Wheeler Charleston), Series 1997, (AMBAC Insured), 5.250% 01/01/10................................... Aaa AAA 4,432
SEE NOTES TO FINANCIAL STATEMENTS. 125 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $1,000 Charleston County, South Carolina, Revenue, (Care Alliance Health Services Project) Series 1999A, (FSA Insured), 5.000% 08/15/12................................... Aaa AAA $ 1,074 1,040 Charleston County, South Carolina, Solid Waste User Fee Revenue, Series 1994, (MBIA Insured), 5.800% 01/01/06................................... Aaa AAA 1,118 5,105 Charleston, South Carolina, Waterworks and Sewer Capital Improvement Revenue Refunding, Series 1998, 5.250% 01/01/08................................... Aa3 AA- 5,756 1,000 Columbia, South Carolina, Parking Facilities Revenue Refunding, Series 1994, (AMBAC Insured), 5.750% 12/01/09................................... Aaa AAA 1,072 7,000 Columbia, South Carolina, Waterworks and Sewer Systems Revenue Refunding, Series 1993, 5.500% 02/01/09................................... Aa2 AA 8,025 1,500 Darlington County, South Carolina, IDR, (Sonoco Products Company Project) Series 1995, AMT, 6.125% 06/01/25................................... A2 A- 1,545 2,000 Darlington County, South Carolina, PCR, (Carolina Power and Light - Annual Tender Project) Series 1983, 6.600% 11/01/10................................... A2 BBB 2,068 1,000 Darlington County, South Carolina, PCR, (Carolina Power and Light - Annual Tender Project) Series 1983, (MBIA-IBC Insured), 6.600% 11/01/10................................... Aaa AAA 1,035 1,250 Florence, South Carolina, Water and Sewer Revenue Refunding, Series 1993, (AMBAC Insured), 5.150% 03/01/06................................... Aaa AAA 1,279
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $ 500 Georgetown County, South Carolina, Environmental Revenue, (International Paper Company Project) Series 1997A, AMT, 5.700% 10/01/21................................... Baa2 BBB $ 501 5,000 Georgetown County, South Carolina, PCR Refunding, (International Paper Company Project) Series 1999A, 5.125% 02/01/12................................... Baa2 BBB 5,222 2,480 Georgetown County, South Carolina, School District, GO, Series 2000, (SCSDE), 5.500% 03/01/09................................... Aa1 AA+ 2,852 1,000 Greenville, South Carolina, Hospital Facilities Revenue Refunding, Series 1996A, (GTY-AGMT), 5.400% 05/01/07................................... Aa3 AA 1,097 2,000 Greenville, South Carolina, Hospital Facilities Revenue Refunding, Series 1996B, (GTY-AGMT), 5.250% 05/01/17................................... Aa3 AA 2,066 1,385 Greenville, South Carolina, Hospital Facilities Revenue, Series 2001, 5.500% 05/01/26................................... Aaa AAA 1,465 2,000 Greenville, South Carolina, Water Utility Improvement Waterworks Revenue, Series 1997, 6.000% 02/01/06................................... Aa1 AAA 2,213 1,000 Greenville, South Carolina, Water Utility Improvement Waterworks Revenue, Series 1997, 6.000% 02/01/08................................... Aa1 AAA 1,141 1,500 Greenville, South Carolina, Water Utility Improvement, Waterworks Revenue, Series 1997, 5.500% 02/01/22................................... Aa1 AAA 1,629 1,555 Greenville, South Carolina, Water Utility Improvement, Waterworks Revenue, Series 2002, 5.250% 02/01/14................................... Aa1 AAA 1,731
SEE NOTES TO FINANCIAL STATEMENTS. 126 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $1,885 Greenwood, South Carolina, Combined Public Utilities Revenue Refunding and Improvement, Series 1993, (AMBAC Insured), Prerefunded 12/01/03 @ 102, 5.500% 12/01/06................................... Aaa AAA $ 1,937 2,000 Greenwood, South Carolina, Combined Public Utilities Revenue Refunding and Improvement, Series 1993, (AMBAC Insured), Prerefunded 12/01/03 @ 102, 5.500% 12/01/07................................... Aaa AAA 2,055 1,060 Greenwood, South Carolina, Combined Public Utilities Revenue Refunding and Improvement, Series 1993, (AMBAC Insured), Prerefunded 12/01/03 @ 102, 5.500% 12/01/08................................... Aaa AAA 1,089 1,000 Hilton Head Island, South Carolina, GO, Series 2001, 5.000% 03/01/13................................... Aa3 AA 1,089 1,440 Hilton Head Island, South Carolina, Revenue, Series 2002, (MBIA Insured), 5.250% 12/01/16................................... Aaa AAA 1,601 1,100 Horry County, South Carolina, Hospital Facilities Revenue, (Conway Hospital, Inc. Project) Series 1998, (AMBAC Insured), 4.750% 07/01/10................................... Aaa AAA 1,183 1,200 Horry County, South Carolina, Hospital Facilities Revenue, (Conway Hospital, Inc. Project) Series 1998, (AMBAC Insured), 4.875% 07/01/11................................... Aaa AAA 1,282 2,000 Lexington County, South Carolina, Health Services District Hospital Revenue, Series 2003, 5.500% 11/01/23................................... A2 A 2,064
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $1,180 Lexington County, South Carolina, Health Services District Revenue Refunding, (Health Service District and Lexmed, Inc. Project) Series 1997, (FSA Insured), 5.500% 11/01/06................................... Aaa AAA $ 1,314 3,000 Lexington County, South Carolina, Health Services District Revenue Refunding, Series 1997, (FSA Insured), 5.125% 11/01/21................................... Aaa AAA 3,105 2,000 Lexington, South Carolina, Water and Sewer Authority, Revenue, Series 1997, Prerefunded 10/01/14 @ 100, 5.450% 04/01/19................................... Aa2 AA 2,264 1,575 Medical University, South Carolina, Hospital Facilities Revenue, Series 1999, 5.500% 07/01/09................................... Baa2 BBB+ 1,815 1,980 Mount Pleasant, South Carolina, Water and Sewer Revenue Refunding and Improvement, Series 2002, (FGIC Insured), 5.250% 12/01/16................................... Aaa AAA 2,202 1,270 Mount Pleasant, South Carolina, Water and Sewer Revenue Refunding, Series 2002, (FGIC Insured), 5.250% 12/01/18................................... Aaa AAA 1,393 3,040 North Charleston, South Carolina, Sewer District Revenue Refunding, Series 2002, (FSA Insured), 5.500% 07/01/17................................... Aaa AAA 3,434 1,000 Oconee County, South Carolina, School District, GO, Series 1994, (MBIA Insured), 5.100% 01/01/13................................... Aaa AAA 1,030 1,600 Piedmont Municipal Power Agency, South Carolina, Electric Revenue Refunding, Series 1992, (MBIA Insured), 6.000% 01/01/05................................... Aaa AAA 1,698
SEE NOTES TO FINANCIAL STATEMENTS. 127 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $5,000 Piedmont Municipal Power Agency, South Carolina, Electric Revenue Refunding, Series 1996B, (MBIA Insured), 5.250% 01/01/09................................... Aaa AAA $ 5,465 3,570 Richland County, South Carolina, School District Number 001, GO Refunding, Series 2001A, (SCSDE), 5.250% 03/01/19................................... Aa1 AA+ 3,870 1,655 Richland County, South Carolina, School District Number 002, GO Refunding, Series 1994A, (MBIA Insured, SCSDE), 5.000% 03/01/05................................... Aaa AAA 1,715 2,350 Rock Hill, South Carolina, Water Utility System Revenue, Series 2003A, (FSA Insured), 5.250% 01/01/13................................... Aaa AAA 2,661 1,500 Rock Hill, South Carolina, Water Utility System Revenue, Series 2003A, (FSA Insured), 5.375% 01/01/19................................... Aaa AAA 1,651 6,135 South Carolina State, Capital Improvement GO, Series 1996A, 3.500% 07/01/06................................... Aaa AAA 6,483 1,245 South Carolina State, GO, Series 2000A, 4.800% 03/01/09................................... Aaa AAA 1,392 1,885 South Carolina State, Highway Improvement GO, Series 1999A, 4.600% 05/01/11................................... Aaa AAA 2,056 5,000 South Carolina State, Housing Finance and Development Authority, Multi-Family Housing Revenue, (United Dominion Realty Trust Project) Series 1994, AMT, Mandatory Put 05/01/04 @ 100, 6.500% 05/01/24................................... Baa3 BBB- 5,031
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $1,930 South Carolina State, Housing Finance and Development Authority, Rental Housing Revenue, (Windsor Shores Project) Series 1993B, (FHA Insured), 5.600% 07/01/16................................... Aa2 AA $ 1,932 1,250 South Carolina State, Jobs Economic Development Authority, Hospital Facility Revenue, (Georgetown Memorial Hospital Project) Series 2001, 5.250% 02/01/21................................... Aa2 AA 1,290 4,565 South Carolina State, Port Authority, Revenue, Series 1998, AMT, (FSA Insured), 5.250% 07/01/13................................... Aaa AAA 4,883 1,615 South Carolina State, Public Service Authority, Revenue Refunding, Series 2001A, (FSA Insured), 5.250% 01/01/18................................... Aaa AAA 1,770 1,480 South Carolina State, Public Service Authority, Revenue Refunding, Series 2002A, (FSA Insured), 5.500% 01/01/17................................... Aaa AAA 1,667 2,000 South Carolina State, Public Service Authority, Revenue Refunding, Series 2002D, (FSA Insured), 5.000% 01/01/18................................... Aaa AAA 2,142 2,000 South Carolina State, Public Service Authority, Revenue, Series 1999A, (MBIA Insured), 5.625% 01/01/13................................... Aaa AAA 2,274 5,000 South Carolina, Educational Facilities for Non-Profit Institutions, Revenue, (Furman University Project) Series 1996A, (MBIA Insured), 5.500% 10/01/26................................... Aaa AAA 5,311 2,000 South Carolina, Grand Strand Water and Sewer Authority, Revenue Refunding, Series 2002, (FSA Insured), 5.375% 06/01/14................................... Aaa AAA 2,250
SEE NOTES TO FINANCIAL STATEMENTS. 128 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $1,500 South Carolina, Jobs Economic Development Authority, Hospital Facilities Revenue, (Oconee Memorial Hospital, Inc. Project) Series 1995, (CONNIE LEE Insured), 6.150% 03/01/15................................... Aaa AAA $ 1,624 5,500 South Carolina, Jobs Economic Development Authority, Hospital Facilities Revenue, (Palmetto Health Alliance Project) Series 2000A, Prerefunded 12/15/10 @ 102, 7.125% 12/15/15................................... Baa2 BBB 6,976 4,375 South Carolina, Jobs Economic Development Authority, Hospital Facilities Revenue, Series 1999, (FSA Insured), 5.300% 02/01/14................................... Aaa AAA 4,741 3,615 South Carolina, Jobs Economic Development Authority, Industrial Development Revenue, (South Carolina Electric and Gas Company Project), Series 2002B, AMT, 4.200% 11/01/12................................... Aaa AAA 3,711 3,500 South Carolina, Tobacco Settlement Management Revenue, Series 2001B, 6.375% 05/15/28................................... Baa2 BBB 3,043 3,340 South Carolina, Transportation Infrastructure Book Revenue, Junior Lien, Series 2001B, (AMBAC Insured), 5.250% 10/01/13................................... Aaa AAA 3,720 3,670 South Carolina, Transportation Infrastructure Book Revenue, Junior Lien, Series 2001B, (AMBAC Insured), 5.250% 10/01/17................................... Aaa AAA 4,038 1,000 South Carolina, Transportation Infrastructure Revenue, Series 1998A, (MBIA Insured), 5.000% 10/01/12................................... Aaa AAA 1,097
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $1,000 South Carolina, Transportation Infrastructure Revenue, Series 1998A, (MBIA Insured), 4.500% 10/01/17................................... Aaa AAA $ 1,025 1,000 Spartanburg County, South Carolina, Health Services District, Hospital Revenue Refunding, Series 1997B, (MBIA Insured), 5.125% 04/15/17................................... Aaa AAA 1,053 1,275 Spartanburg County, South Carolina, School District Number 007, GO, Series 2001, (SCSDE), 4.000% 03/01/12................................... Aa1 AA+ 1,328 3,240 Spartanburg County, South Carolina, School District Number 007, GO, Series 2001, (SCSDE), 4.125% 03/01/13................................... Aa1 AA+ 3,389 2,000 Spartanburg County, South Carolina, School District Number 007, GO, Series 2001, (SCSDE), 5.000% 03/01/18................................... Aa1 AA+ 2,193 2,000 Spartanburg County, South Carolina, Solid Waste Disposal Facilities Revenue, (BMW U.S. Capital Corporation Project) Series 1994, AMT, (GTY-AGMT), 7.550% 11/01/24................................... A1 A+ 2,158 1,250 Spartanburg, South Carolina, Sanitary Sewer District Sewer System Revenue Refunding, Series 1999B, (MBIA Insured), 5.000% 03/01/26................................... Aaa AAA 1,266 2,850 Spartanburg, South Carolina, Sewer District Sewer Systems Revenue, Series 1997, AMT, (MBIA Insured), Prerefunded 06/01/07 @ 101, 5.500% 06/01/27................................... Aaa AAA 3,254 855 Western Carolina, Regional Sewer Systems Authority, Revenue Refunding, Series 1993, (FGIC Insured), 5.500% 03/01/10................................... Aaa AAA 875
SEE NOTES TO FINANCIAL STATEMENTS. 129 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $1,020 Winnsboro, South Carolina, Utility Revenue Refunding, Series 1999, (MBIA Insured), 5.250% 08/15/13................................... Aaa AAA $ 1,161 4,700 York County, South Carolina, Exempt Facilities IDR, (Hoechst Celanese Corporation Project) Series 1994, AMT, 5.700% 01/01/24................................... Baa2 BBB 4,616 7,000 York County, South Carolina, PCR, Series 2000B1, 0.900%&& 09/15/24................................. Aa3 A 6,999 3,410 York County, South Carolina, School District Number 003 Rock Hill, GO, Series 2001, (SCSDE), 5.000% 03/01/12................................... Aa1 AA+ 3,802 -------- 224,784 -------- GEORGIA -- 1.2% 3,000 Marietta, Georgia, Housing Authority, Multi-Family Revenue Refunding, (Wood Glen-RMKT Housing Project) Series 1994, Mandatory Put 07/01/04 @ 100, 4.750% 07/01/24................................... Baa2 BBB 3,052 -------- ILLINOIS -- 5.4% 2,500 Chicago, Illinois, GO Refunding, Series 2001A, (MBIA Insured), 5.500% 01/01/14................................... Aaa AAA 2,804 8,650 Illinois, Educational Facilities Authority Revenue, Series 2003C, (AMBAC Insured), 5.000% 09/01/18................................... Aaa AAA 8,961 2,000 Illinois, Metropolitan Pier and Exposition Authority, Dedicated State Tax Revenue Refunding, (McCormick Plant Expansion) Series 2002B, (MBIA Insured), 5.750% 06/15/23................................... Aaa AAA 2,216 -------- 13,981 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------------------ TEXAS -- 1.2% $3,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16................................... Baa2 BBB- $ 3,169 -------- WASHINGTON -- 1.3% 3,000 Northwest, Washington, Electric Revenue, (Columbia Generating Project), Series 2002A, (MBIA Insured), 5.500% 07/01/17................................... Aaa AAA 3,346 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $233,445)....................................................... 248,332 --------
SHARES (000) - --------- INVESTMENT COMPANIES -- 4.1% (Cost $10,706) 10,706 Nations Tax-Exempt Reserves, Capital Class Shares#.......... 10,706 -------- TOTAL INVESTMENTS (Cost $244,151*)................................ 99.3% 259,038 -------- OTHER ASSETS AND LIABILITIES (NET)............................... 0.7% Cash........................................................ $ 1 Receivable for Fund shares sold............................. 131 Dividends receivable........................................ 4 Interest receivable......................................... 3,278 Payable for Fund shares redeemed............................ (454) Investment advisory fee payable............................. (41) Administration fee payable.................................. (46) Shareholder servicing and distribution fees payable......... (24) Distributions payable....................................... (765) Accrued Trustees' fees and expenses......................... (84) Accrued expenses and other liabilities...................... (86) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......................................... 1,914 -------- NET ASSETS........................................ 100.0% $260,952 ======== NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 973 Accumulated net realized gain on investments sold........... 1,208 Net unrealized appreciation of investments.................. 14,887 Paid-in capital............................................. 243,884 -------- NET ASSETS.................................................. $260,952 ========
SEE NOTES TO FINANCIAL STATEMENTS. 130 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($211,268,977 / 19,590,982 shares outstanding)............ $10.78 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($28,590,707 / 2,651,808 shares outstanding).............. $10.78 ======== Maximum sales charge........................................ 3.25% Maximum offering price per share............................ $11.14 INVESTOR B SHARES: Net asset value and offering price per share** ($11,303,340 / 1,048,198 shares outstanding).............. $10.78 ======== INVESTOR C SHARES: Net asset value and offering price per share** ($9,789,396 / 907,499 shares outstanding)................. $10.79 ========
- --------------- *Federal income tax information (see Note 7). ** The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. && Floating rate note. The interest rate shown reflects the rate in effect at September 30, 2003. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations South Carolina Intermediate Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): AMBAC 11.90% FSA 15.83% MBIA 16.77%
Nations South Carolina Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Electric Revenue 10.42% Hospital Revenue 14.32% Water Revenue 16.59%
SEE NOTES TO FINANCIAL STATEMENTS. 131 NATIONS FUNDS Nations Tennessee Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 96.3% TENNESSEE -- 91.3% $1,535 Anderson County, Tennessee, GO Refunding, Series 2001, (FSA Insured), 5.000% 04/01/13................................... Aaa AAA $ 1,679 500 Blount County, Tennessee, Public Building Authority, Public Facility Revenue, Series 1998, (FGIC Insured), 5.000% 04/01/19................................... Aaa AAA 525 1,300 Chattanooga, Tennessee, GO Refunding, Series 2002, 4.500% 09/01/04................................... Aa2 AA 1,341 1,075 Chattanooga, Tennessee, GO Refunding, Series 2002A, 5.000% 11/01/06................................... Aa2 AA 1,188 1,700 Chattanooga-Hamilton County, Tennessee, Hospital Authority, Revenue Refunding, (Erlanger Medical Center Project) Series 1993, (FSA Insured), 5.375% 10/01/04................................... Aaa AAA 1,771 1,250 Chattanooga-Hamilton County, Tennessee, Hospital Authority, Revenue Refunding, (Erlanger Medical Center Project) Series 1993, (FSA Insured), 5.500% 10/01/07................................... Aaa AAA 1,411 1,000 Dickson County, Tennessee, GO Refunding, Series 2002, (FGIC Insured), 5.000% 03/01/14................................... Aaa AAA 1,114 1,245 Dickson County, Tennessee, GO Refunding, Series 2003, (FGIC Insured), 5.000% 06/01/14................................... Aaa AAA 1,378 1,000 Franklin, Tennessee, Special School District, GO Refunding, Series 2002, 5.000% 06/01/12................................... Aa2 AA 1,114 500 Hamilton County, Tennessee, GO Refunding, Series 1998B, 5.100% 08/01/24................................... Aa1 AA+ 536 1,415 Hamilton County, Tennessee, GO Refunding, Series 2002, (FGIC Insured), 4.000% 10/01/06................................... Aaa AAA 1,518
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 575 Humphreys County, Tennessee, Industrial Development Board, Solid Waste Disposal Revenue, (E.I. duPont de Nemours and Company Project) Series 1994, AMT, 6.700% 05/01/24................................... Aa3 AA- $ 602 300 Knox County, Tennessee, Health Educational and Housing Facilities Board Revenue Refunding, (Fort Sanders Alliance Project) Series 1993, (MBIA Insured), 7.250% 01/01/09................................... Aaa AAA 365 1,500 Knox County, Tennessee, Health Educational and Housing Facilities Board Revenue, (University Health Systems Inc. Project) Series 1999, 5.750% 04/01/19................................... Baa1 BBB+ 1,561 2,000 Knox County, Tennessee, Health Educational and Housing Facilities Board, Hospital Facilities Improvement Revenue Refunding, (Baptist Health System of East Tennessee, Inc. Project) Series 1996, (CONNIE LEE Insured), 5.500% 04/15/11................................... Aaa AAA 2,214 500 Knox County, Tennessee, Health Educational and Housing Facilities Board, Hospital Facilities Revenue, (Sanders Alliance Project) Series 1993A, (MBIA Insured), Prerefunded 01/01/04 @ 102, 4.900% 01/01/05................................... Aaa AAA 515 1,250 Knox County, Tennessee, Public Improvement GO, Series 1998, 4.750% 04/01/19................................... Aa2 AA 1,277 1,055 Knoxville, Tennessee, Electric Revenue, Series 2001U, 4.750% 07/01/08................................... Aa3 AA 1,173 1,330 Lawrenceburg, Tennessee, Public Building Authority, Water and Sewer GO, Series 2001B, (FSA Insured), 5.500% 07/01/16................................... Aaa AAA 1,496
SEE NOTES TO FINANCIAL STATEMENTS. 132 NATIONS FUNDS Nations Tennessee Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 200 Loudon County, Tennessee, Industrial Development Board, Solid Waste Disposal Revenue, (Kimberly-Clark Corporation Project) Series 1993, AMT, 6.200% 02/01/23................................... Aa2 AA- $ 204 1,800 Madison County, Tennessee, GO, Series 2002, 5.000% 04/01/13................................... Aa3 AA- 1,986 1,000 Maury County, Tennessee, Industrial Development Board, Multi-Model PCR Refunding, (General Motors Corporation - Saturn Corporation Project) Series 1994, 6.500% 09/01/24................................... A3 BBB 1,035 1,000 Maury County, Tennessee, Industrial Development Board, Solid Waste Disposal Revenue, Occidental Petroleum Corporation, AMT, Series 2001A, (GTY- AGMT), 6.250%&& 08/01/18................................. Baa1 BBB+ 1,027 1,250 McMinn County, Tennessee, Industrial Development Board, Recycling Facilities Revenue, (Bowater Inc. Project) Series 1992, AMT, 7.400% 12/01/22................................... Ba1 BB+ 1,250 1,000 Memphis, Tennessee, Electric System Revenue Refunding, Series 1992, 6.000% 01/01/05................................... Aa2 AA+ 1,061 2,500 Memphis, Tennessee, GO, Series 2000, 5.000% 04/01/17................................... Aa2 AA 2,676 1,500 Memphis, Tennessee, Water Division Revenue Refunding, Series 1992, 5.900% 01/01/04................................... Aaa AAA 1,518 1,000 Memphis-Shelby County, Tennessee, Airport Authority, Special Facilities Revenue Refunding, (Federal Express Corporation Project) Series 2002, 5.050% 09/01/12................................... Baa2 BBB 1,074
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 350 Metropolitan Government, Nashville and Davidson County, Tennessee, Electric Revenue, Series 1996A, Prerefunded 05/15/06 @ 102, 5.625% 05/15/14................................... Aa3 AA $ 395 2,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Electric Revenue, Series 1998B, 5.500% 05/15/13................................... Aa3 AA 2,314 1,000 Metropolitan Government, Nashville and Davidson County, Tennessee, GO Refunding, Series 1993, 5.250% 05/15/07................................... Aa2 AA 1,121 595 Metropolitan Government, Nashville and Davidson County, Tennessee, Health and Educational Facilities Board, Improvement Revenue Refunding, (Meharry Medical College Project) Series 1996, (AMBAC Insured), 6.000% 12/01/09................................... Aaa AAA 706 500 Metropolitan Government, Nashville and Davidson County, Tennessee, Health and Educational Facilities Board, Improvement Revenue Refunding, (Meharry Medical College Project) Series 1996, (AMBAC Insured), 6.000% 12/01/16................................... Aaa AAA 595 505 Metropolitan Government, Nashville and Davidson County, Tennessee, Health and Educational Facilities Board, Improvement Revenue Refunding, (Meharry Medical College Project) Series 1996, (AMBAC Insured), 6.000% 12/01/08................................... Aaa AAA 594 1,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Multi-Family Housing Revenue, (Enchantment, Inc. - Welch Bend Apartments Project) Series 1996A, (FNMA COLL), Mandatory Put 01/01/07 @ 100, 5.500% 01/01/27................................... Aaa AAA 1,063
SEE NOTES TO FINANCIAL STATEMENTS. 133 NATIONS FUNDS Nations Tennessee Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $1,645 Rutherford County, Tennessee, Public Improvement GO, Series 1996, 6.000% 04/01/06................................... Aa2 AA $ 1,830 1,030 Shelby County, Tennessee, GO Refunding, Series 1996B, 5.200% 12/01/09................................... Aa2 AA+ 1,153 1,000 Shelby County, Tennessee, GO Refunding, Series 1999B, 5.250% 04/01/11................................... Aa2 AA+ 1,137 1,000 Shelby County, Tennessee, Health Development and Housing Facility Board Revenue, (Arbors of Germantown Project) Series 1994, Mandatory Put 07/01/04 @ 100, 4.750% 07/01/24................................... Baa2 BBB 1,017 1,000 Shelby County, Tennessee, Health Educational and Housing Facilities Board Revenue, (St. Jude's Children's Research Project) Series 1999, 5.375% 07/01/24................................... Aa2 AA 1,020 520 Shelby County, Tennessee, Health Educational and Housing Facilities Board, Revenue, (Lebonheur Childrens Medical Center Project) Series 1993D, (MBIA Insured), 5.300% 08/15/04................................... Aaa AAA 539 490 Shelby County, Tennessee, Health Educational and Housing Facilities Board, Revenue, (Methodist Health Systems) Series 1995, (MBIA Insured), 6.250% 08/01/09................................... Aaa AAA 587 10 Shelby County, Tennessee, Health Educational and Housing Facilities Board, Revenue, Unrefunded Balance, (Methodist Health Systems Project) Series 1995, (MBIA Insured), 6.250% 08/01/09................................... Aaa AAA 12 400 Shelby County, Tennessee, Public Improvement GO Refunding, Series 1999A, 4.750% 05/01/21................................... Aa2 AA+ 406
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 500 Shelby County, Tennessee, Public Improvement GO, Series 1996A, 5.625% 06/01/06................................... Aa2 AA+ $ 555 250 Sumner County, Tennessee, Health Educational and Housing Facilities Board Revenue Refunding, (Sumner Regional Health Systems, Inc. Project) Series 1994, 7.000% 11/01/03................................... A3 A- 251 1,000 Tennessee State, GO, Series 1994A, Prerefunded 03/01/04 @ 101.5, 5.200% 03/01/05................................... Aa2 AA 1,033 2,000 Tennessee State, GO, Series 1999B, (FSA Insured), 5.250% 05/01/17................................... Aaa AAA 2,196 1,000 Tennessee State, School Board Authority Revenue, Series 2002A, (FSA Insured), 5.000% 05/01/10................................... Aaa AAA 1,123 2,500 Tennessee, Housing Development Agency, Revenue, (Home Ownership Program) Series 1997-3A, AMT, 3.640%& 01/01/08.................................. Aa2 AA 2,144 1,085 Tennessee, Housing Development Agency, Revenue, (Home Ownership Program) Series 1998, AMT, 4.750% 07/01/08................................... Aa2 AA 1,166 1,135 Tennessee, Housing Development Agency, Revenue, (Home Ownership Program) Series 1998, AMT, 4.850% 07/01/09................................... Aa2 AA 1,213 1,500 Tennessee, Tennergy Corporation, Gas Revenue, Series 1999, (MBIA Insured), 5.000% 06/01/07................................... Aaa AAA 1,668 1,200 Williamson County, Tennessee, GO, Series 2000, Prerefunded 03/01/10 @ 100, 5.350% 03/01/17................................... Aa1 AA+ 1,374 ------- 61,821 -------
SEE NOTES TO FINANCIAL STATEMENTS. 134 NATIONS FUNDS Nations Tennessee Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ----------------------------------------------------------------------------------------------- ALABAMA -- 1.5% $1,000 Mobile, Alabama, Industrial Development Board, PCR Refunding, (International Paper Company Project) Series 1998A, 4.750% 04/01/10................................... Baa2 BBB $ 1,035 ------- MISSOURI -- 1.9% 1,275 West Plains, Missouri, Industrial Development Authority, Hospital Revenue, (Ozarks Medical Center Project) Series 1997, 5.250% 11/15/07................................... Ba1 BB+ 1,277 ------- TEXAS -- 1.6% 1,000 Texas State, Public Finance Authority, GO Refunding, Series 1997, 5.000% 10/01/15................................... Aa1 AA 1,076 ------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $61,229)........................................................ 65,209 -------
SHARES (000) ------- INVESTMENT COMPANIES -- 2.6% (Cost $1,772) 1,772 Nations Tax-Exempt Reserves, Capital Class Shares#............ 1,772 ------- TOTAL INVESTMENTS (Cost $63,001*)................................... 98.9% 66,981 ------- OTHER ASSETS AND LIABILITIES (NET)................................. 1.1% Receivable for Fund shares sold............................... $ 55 Dividends receivable.......................................... 2 Interest receivable........................................... 1,078 Payable for Fund shares redeemed.............................. (63) Investment advisory fee payable............................... (3) Administration fee payable.................................... (12) Shareholder servicing and distribution fees payable........... (8) Distributions payable......................................... (166) Accrued Trustees' fees and expenses........................... (81) Accrued expenses and other liabilities........................ (43) ------- Total other assets and liabilities (net)........................................... 759 ------- NET ASSETS.......................................... 100.0% $67,740 ======= NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 32 Accumulated net realized loss on investments sold............. (158) Net unrealized appreciation of investments.................... 3,980 Paid-in capital............................................... 63,886 ------- NET ASSETS.................................................... $67,740 =======
VALUE - ------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($47,010,622 / 4,392,253 shares outstanding)................ $10.70 ======= INVESTOR A SHARES: Net asset value and redemption price per share ($15,068,209 / 1,407,916 shares outstanding)................ $10.70 ======= Maximum sales charge.......................................... 3.25% Maximum offering price per share.............................. $11.06 INVESTOR B SHARES: Net asset value and offering price per share** ($4,091,871 / 382,279 shares outstanding)................... $10.70 ======= INVESTOR C SHARES: Net asset value and offering price per share** ($1,569,006 / 147,321 shares outstanding)................... $10.65 =======
- --------------- * Federal income tax information (see Note 7). **The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. & Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. &&Floating rate note. The interest rate shown reflects the rate in effect at September 30, 2003. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations Tennessee Intermediate Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): FSA 14.28%
Nations Tennessee Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Hospital Revenue 15.35%
SEE NOTES TO FINANCIAL STATEMENTS. 135 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 99.2% TEXAS -- 91.0% $1,000 Alamo, Texas, Community College District Revenue, (FSA Insured), 5.375% 11/01/16................................... Aaa AAA $ 1,110 3,410 Austin, Texas, Electric Utility System Revenue Refunding, Series 2002, (FSA Insured), 5.500% 11/15/12................................... Aaa AAA 3,931 2,000 Austin, Texas, Electric Utility System Revenue Refunding, Series 2002A, (AMBAC Insured), 5.500% 11/15/13................................... Aaa AAA 2,311 5,750 Austin, Texas, GO Refunding, Series 1993, 5.500% 09/01/04................................... Aa2 AA+ 5,984 3,905 Austin, Texas, Public Improvement GO, Series 2001, 5.000% 09/01/13................................... Aa2 AA+ 4,277 500 Austin, Texas, Public Improvement, GO, Series 1999, 5.375% 09/01/18................................... Aa2 AA+ 549 2,500 Austin, Texas, Utility System Revenue Refunding, Series 1992, (AMBAC Insured), 3.020%& 11/15/09.................................. Aaa AAA 2,081 1,030 Barbers Hill, Texas, Independent School District, GO Refunding, Series 2003, (PSF-GTD), 5.000% 02/15/22................................... Aaa AAA 1,063 2,585 Belton, Texas, Independent School District, GO Refunding, Series 1998, (PSF-GTD), 5.250% 08/15/08................................... Aaa AAA 2,933 4,115 Cedar Hill, Texas, Independent School District, GO, Series 2000, (PSF-GTD), 3.530%& 08/15/16.................................. Aaa AAA 2,134 2,840 Cedar Hill, Texas, Independent School District, GO, Series 2000, (PSF-GTD), 3.530%& 08/15/17.................................. Aaa AAA 1,375
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $2,065 Corpus Christi, Texas, Business and Job Development Corporation, Sales Tax Revenue, (Arena Project) Series 2002, (AMBAC Insured), 5.500% 09/01/14................................... Aaa AAA $ 2,366 1,250 Corpus Christi, Texas, Business and Job Development Corporation, Sales Tax Revenue, (Arena Project) Series 2002, (AMBAC Insured), 5.500% 09/01/18................................... Aaa AAA 1,403 1,655 Corpus Christi, Texas, GO, Series 2002, (FSA Insured), 5.500% 09/01/15................................... Aaa AAA 1,874 1,000 Corpus Christi, Texas, Utility System Revenue Refunding, Series 2002, (FSA Insured), 5.000% 07/15/14................................... Aaa AAA 1,094 1,045 Dallas County, Texas, GO, Series 2000, 5.000% 08/15/09................................... Aaa AAA 1,179 1,000 Dallas, Texas, GO Refunding, Series 2003A, 5.000% 02/15/09................................... Aa1 AAA 1,122 1,300 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Series 2001, 5.000% 10/01/12................................... Aa2 AA+ 1,429 1,000 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Series 2002, 5.500% 10/01/12................................... Aa2 AA+ 1,139 500 Dallas-Fort Worth, Texas, Regional Airport Revenue Refunding, Series 1994A, (MBIA Insured), 6.000% 11/01/09................................... Aaa AAA 526 2,500 El Paso, Texas, Water and Sewer Revenue Refunding, Series 2003, (AMBAC Insured), 5.000% 03/01/11................................... Aaa AAA 2,789 1,000 Fort Bend, Texas, Independent School District, GO, Series 2000, (PSF-GTD), 5.250% 08/15/19................................... Aaa AAA 1,075
SEE NOTES TO FINANCIAL STATEMENTS. 136 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 400 Fort Worth, Texas, Higher Education Financial Corporation, Higher Education Revenue, (Texas Christian University Project) Series 1997, 5.000% 03/15/17................................... Aa3 AA- $ 425 1,905 Garland, Texas, GO, Series 1998, 5.000% 02/15/12................................... Aa2 AA 2,074 2,665 Goose Creek, Texas, Conservative Independent School District, GO Refunding, Series 2003, (PSF-GTD), 4.500% 02/15/14................................... Aaa AAA 2,838 1,000 Grapevine, Texas, GO, Series 2000, (FGIC Insured), 5.800% 08/15/19................................... Aaa AAA 1,134 1,120 Harris County, Texas, GO Refunding, Series 2002, 5.000% 10/01/08................................... Aa1 AA+ 1,261 2,600 Harris County, Texas, GO Refunding, Series 2003A, 5.000% 10/01/06................................... Aa1 AA+ 2,865 1,400 Harris County, Texas, GO, Series 1995, 5.000% 10/01/17................................... Aa1 AA+ 1,483 3,155 Harris County, Texas, Health Facilities Development Authority, Revenue, (Memorial Hospital Systems Project) Series 1997A, (MBIA Insured), 6.000% 06/01/10................................... Aaa AAA 3,661 2,000 Harris County, Texas, Health Facilities Development Authority, Revenue, Series 1999A, 5.500% 07/01/09................................... Aaa AAA 2,279 2,000 Harris County, Texas, Health Facilities Development Corporation, Revenue, (Christus Health Project) Series 1999A, (MBIA Insured), 5.500% 07/01/10................................... Aaa AAA 2,248
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $2,780 Harris County, Texas, Health Facilities Development Corporation, Revenue, (St. Lukes Episcopal Hospital Project) Series 2001A, 5.625% 02/15/16................................... Aa3 AA- $ 3,006 1,000 Harris County, Texas, Health Facilities Development Corporation, Revenue, Series 1999A, (MBIA Insured), 5.250% 07/01/07................................... Aaa AAA 1,116 750 Harris County, Texas, Port Houston Authority, Revenue Refunding, Series 2000B, AMT, 5.500% 10/01/07................................... Aa1 AA+ 843 4,250 Harris County, Texas, Toll Road Revenue Refunding, Senior Lien, Series 1994, (FGIC Insured), 5.000% 08/15/16................................... Aaa AAA 4,452 3,580 Harris County, Texas, Toll Road Revenue Refunding, Senior Lien, Series 1994, (FGIC Insured), 5.375% 08/15/20................................... Aaa AAA 3,752 1,735 Harris County, Texas, Toll Road Revenue Refunding, Series 2002, (FSA Insured), 5.375% 08/15/11................................... Aaa AAA 1,986 4,240 Houston, Texas, Area Water Corporation Contract Revenue, (Northeast Water Purification Project) Series 2002, (FGIC Insured), 5.500% 03/01/18................................... Aaa AAA 4,694 1,000 Houston, Texas, Community College System Revenue Refunding, Junior Lien, (Student Fee Project) Series 2001A, 5.375% 04/15/15................................... Aaa AAA 1,107 1,195 Houston, Texas, Hotel Occupancy Tax and Special Revenue, Series 2001B, (AMBAC Insured), 5.250% 09/01/19................................... Aaa AAA 1,285
SEE NOTES TO FINANCIAL STATEMENTS. 137 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $1,265 Houston, Texas, Hotel Occupancy Tax and Special Revenue, Series 2001B, (AMBAC Insured), 5.250% 09/01/20................................... Aaa AAA $ 1,350 7,500 Houston, Texas, Water and Sewer Systems Revenue Refunding, Junior Lien, Series 1996A, (FGIC Insured), 5.250% 12/01/25................................... Aaa AAA 7,749 5,000 Houston, Texas, Water and Sewer Systems Revenue Refunding, Junior Lien, Series 1997A, (FGIC Insured), 5.375% 12/01/27................................... Aaa AAA 5,232 1,000 Jefferson County, Texas, GO Refunding, Series 2002, (FGIC Insured), 5.750% 08/01/14................................... Aaa AAA 1,152 2,000 Klein, Texas, Independent School District, GO, Series 1999A, (PSF-GTD), 5.125% 08/01/15................................... Aaa AAA 2,173 1,740 La Marque, Texas, Independent School District, GO Refunding, Series 2003, (PSF-GTD), 5.000% 02/15/21................................... Aaa AAA 1,810 5,000 Mesquite, Texas, Independent School District 1, GO Refunding, Series 1993, (PSF-GTD), 5.300% 08/15/06................................... Aaa AAA 5,176 5,000 North Central, Texas, Health Facilities Development Corporation, Health Facilities Revenue, (Presbyterian Healthcare Residential Project) Series 1996B, (MBIA Insured), 5.500% 06/01/16................................... Aaa AAA 5,837 3,000 North Central, Texas, Health Facilities Development Corporation, Revenue Refunding, (Baylor Health Care Systems Project) Series 1995, 5.500% 05/15/13................................... Aa3 AA- 3,153
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $3,000 North Texas, Tollway Authority, Dallas North Tollway System Revenue Refunding, Series 2003B, (AMBAC Insured), Mandatory Put 07/01/08 @ 100, 5.000% 01/01/38................................... Aaa AAA $ 3,338 3,285 Northside, Texas, Independent School District, GO Refunding, Series 2002A, (PSF-GTD), 5.250% 02/15/20................................... Aaa AAA 3,514 1,500 Pearland, Texas, Independent School District, GO, Series 2000, (PSF-GTD), 5.500% 02/15/20................................... Aaa AAA 1,636 1,835 Plano, Texas, Independent School District, GO, Series 1995, (PSF-GTD), 7.000% 02/15/05................................... Aaa AAA 1,983 1,190 Rio Grande City, Texas, Conservative Independent School District, GO, Series 2002, (PSF-GTD), 5.000% 08/15/19................................... Aaa AAA 1,257 5,600 Round Rock, Texas, Independent School District, GO, Series 2000, (PSF-GTD), 5.000% 08/01/18................................... Aaa AAA 5,938 3,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16................................... Baa2 BBB- 3,169 2,250 San Antonio, Texas, Electric and Gas Systems Revenue Refunding, Series 2002, 5.250% 02/01/12................................... Aa1 AA+ 2,534 1,500 San Antonio, Texas, Electric and Gas, GO Refunding, Series 1998A, 5.250% 02/01/16................................... Aa1 AA+ 1,640 1,500 San Antonio, Texas, GO Refunding and General Improvement, Series 2003, 5.000% 08/01/09................................... Aa2 AA+ 1,690 2,000 San Antonio, Texas, GO, Series 2001, 5.000% 02/01/09................................... Aa2 AA+ 2,241 2,000 San Antonio, Texas, GO, Series 2002, 5.000% 02/01/11................................... Aa2 AA+ 2,228
SEE NOTES TO FINANCIAL STATEMENTS. 138 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $1,000 San Antonio, Texas, Independent School District, GO, (PSF-GTD), 5.500% 08/15/24................................... Aaa AAA $ 1,064 1,500 San Antonio, Texas, Refunding GO, Series 2001, 5.250% 08/01/13................................... Aa2 AA+ 1,699 1,260 South Texas, Community College District, GO, Series 2002, (AMBAC Insured), 5.250% 08/15/10................................... Aaa AAA 1,433 1,170 Sugar Land, Texas, GO Refunding, Series 2003, (FGIC Insured), 5.000% 02/15/11................................... Aaa AAA 1,302 1,000 Tarrant County, Texas, Health Facilities Development Corporation, Health Systems Revenue, (Harris Methodist Health Systems Project) Series 1994, (MBIA-IBC Insured), 6.000% 09/01/10................................... Aaa AAA 1,185 3,300 Tarrant County, Texas, Health Facilities Development Corporation, Health Systems Revenue, (Texas Health Resources Systems Project) Series 1997A, (MBIA Insured), 5.750% 02/15/08................................... Aaa AAA 3,759 1,355 Tarrant County, Texas, Hospital District Revenue, Series 2002, (MBIA Insured), 5.500% 08/15/13................................... Aaa AAA 1,521 3,860 Texas A&M University, Permanent University Funds Revenue Refunding, Series 2003, 5.250% 07/01/14................................... Aaa AAA 4,349 1,000 Texas State, College Student Loan Authority, GO, Series 1994, AMT, 5.750% 08/01/11................................... Aa1 AA 1,017 1,000 Texas State, College Student Loan Authority, GO, Series 1996, AMT, 5.000% 08/01/12................................... Aa1 AA 1,031
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $1,425 Texas State, College Student Loan Authority, GO, Series 1997, AMT, (GTD STD LNS), 5.000% 08/01/05................................... Aa1 AA $ 1,516 3,565 Texas State, College Student Loan Authority, GO, Series 1999, AMT, 5.000% 08/01/07................................... Aa1 AA 3,927 455 Texas State, GO, Series 1999, 5.250% 08/01/21................................... Aa1 AA 481 5,000 Texas State, Public Finance Authority, Building Revenue Refunding, Series 1992B, (AMBAC Insured), 6.100% 02/01/04................................... Aaa AAA 5,084 1,200 Texas State, Public Finance Authority, GO Refunding, Series 1996C, 6.000% 10/01/06................................... Aa2 AA 1,355 4,000 Texas State, Public Finance Authority, Revenue, Series 2003A, (FSA Insured), 5.000% 12/15/08................................... Aaa AAA 4,512 3,500 Texas State, Texas A&M University Revenue, Series 1999, 5.500% 05/15/20................................... Aa1 AA+ 3,820 1,000 Texas State, Texas A&M University, Financing System Revenue, Series 1996, 5.750% 05/15/06................................... Aa1 AA+ 1,110 3,250 Texas State, Turnpike Authority of Dallas, North Tollway Revenue, (President George Bush Turnpike Project) Series 1996, (AMBAC Insured), 2.990%& 01/01/09.................................. Aaa AAA 2,781 3,190 Texas State, Turnpike Authority, Central Texas Turnpike Systems Revenue, BAN, Series 2002, 5.000% 06/01/08................................... Aa3 AA 3,571 375 Texas State, Veterans Housing Assistance, GO Refunding, Series 1994C, 6.400% 12/01/09................................... Aa1 AA 390 3,000 Texas State, Water Development Board, Revenue, Series 1997, 5.000% 07/15/12................................... Aaa AAA 3,276
SEE NOTES TO FINANCIAL STATEMENTS. 139 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $1,500 Texas State, Water Development Board, Revenue, Series 1999B, 5.625% 07/15/21................................... Aaa AAA $ 1,653 5,000 Texas State, Water Development GO, Series 1997, 5.250% 08/01/28................................... Aa1 AA 5,155 1,000 Texas Tech University, Revenue Refunding, Series 2003, (AMBAC Insured), 5.000% 02/15/11................................... Aaa AAA 1,113 1,875 Texas, Gulf Coast Waste Disposal Authority, Bayport Area System Revenue, Series 2002, (AMBAC Insured), 5.000% 10/01/12................................... Aaa AAA 2,088 3,000 Texas, Lower Colorado River Authority, Revenue Refunding, Series 1999B, (FSA Insured), 6.000% 05/15/08................................... Aaa AAA 3,487 2,085 Texas, Lower Colorado River Authority, Revenue, Series 2003, (FSA Insured), 5.250% 05/15/11................................... Aaa AAA 2,363 1,000 Texas, North Harris Montgomery Community College District, GO Refunding, Series 2002, (FGIC Insured), 5.375% 02/15/16................................... Aaa AAA 1,110 1,500 Texas, North Harris Montgomery Community College District, GO, Series 2001, (MBIA Insured), 5.375% 02/15/16................................... Aaa AAA 1,651 4,000 Texas, Red River Authority, PCR Refunding, Series 1991, (AMBAC Insured), 5.200% 07/01/11................................... Aaa AAA 4,272 500 Travis County, Texas, Health Facilities Development Corporation, Revenue, (Ascension Health Credit Project) Series 1999A, (AMBAC Insured), Prerefunded 11/15/09 @ 101, 5.875% 11/15/24................................... Aaa AAA 597
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $4,085 Travis County, Texas, Health Facilities Development Corporation, Revenue, (Ascension Health Credit Project) Series 1999A, (MBIA Insured), 5.750% 11/15/09................................... Aaa AAA $ 4,735 1,000 Trinity River Authority, Texas, PCR, (Texas Instruments Inc. Project) Series 1996, AMT, 6.200% 03/01/20................................... A2 A 1,051 5,000 University of Texas, Permanent University Funds Revenue Refunding, Series 2002A, 5.000% 07/01/07................................... Aaa AAA 5,561 2,500 University of Texas, University Financing Systems Revenue, Series 2001B, 5.375% 08/15/15................................... Aaa AAA 2,776 1,000 University of Texas, University Financing Systems Revenue, Series 2003A, 5.375% 08/15/15................................... Aaa AAA 1,136 5,365 Waxahachie, Texas, Independent School District, Capital Appreciation GO, Series 2000, (PSF-GTD), Prerefunded 08/15/10 @ 63.473, 3.410%& 08/15/17.................................. Aaa AAA 2,699 4,545 Waxahachie, Texas, Independent School District, Capital Appreciation GO, Series 2000, (PSF-GTD), Prerefunded 08/15/10 @ 72.803, 3.410%& 08/15/15.................................. Aaa AAA 2,623 210 Waxahachie, Texas, Independent School District, Capital Appreciation GO, Unrefunded Balance, Series 2000, (PSF-GTD), 4.390%& 08/15/15.................................. Aaa AAA 113 245 Waxahachie, Texas, Independent School District, Capital Appreciation GO, Unrefunded Balance, Series 2000, (PSF-GTD), 4.650%& 08/15/17.................................. Aaa AAA 113
SEE NOTES TO FINANCIAL STATEMENTS. 140 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $1,440 West University Place, Texas, Permanent Improvement GO Refunding, Series 2002, 5.500% 02/01/15................................... Aa2 AA $ 1,620 1,910 White Settlement, Texas, Independent School District, GO Refunding, Series 2003, (PSF-GTD), 5.375% 08/15/19................................... Aaa AAA 2,103 -------- 249,255 -------- ALABAMA -- 1.1% 3,000 Courtland, Alabama, Industrial Development Board, Solid Waste Disposal Revenue, (Champion International Corporation Project) Series 1992, AMT, 7.000% 06/01/22................................... Baa2 BBB 3,030 -------- FLORIDA -- 0.4% 1,000 Florida, Housing Finance Agency, Multi-Family Housing Revenue Refunding, (United Dominion Realty Trust - Andover Project) Series 1996E, AMT, Mandatory Put 05/01/08 @ 100, 6.350% 05/01/26................................... Baa1 BBB+ 1,037 -------- GEORGIA -- 0.4% 1,000 Marietta, Georgia, Housing Authority, Multi-Family Revenue Refunding, (Wood Glen-RMKT Housing Project) Series 1994, Mandatory Put 07/01/04 @ 100, 4.750% 07/01/24................................... Baa2 BBB 1,017 -------- ILLINOIS -- 0.6% 1,500 Kane County, Illinois, Forest Preservation District, GO, Series 1999, 5.375% 12/30/14................................... Aa3 AA 1,678 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- MISSISSIPPI -- 1.0% $2,600 Warren County, Mississippi, Environmental Improvement Revenue Refunding, (International Paper Company Project) Series 2000A, AMT, 6.700% 08/01/18................................... Baa2 BBB $ 2,779 -------- OHIO -- 0.4% 1,000 Lucas County, Ohio, Hospital Revenue, (Flower Hospital Project) Series 1993, Prerefunded 12/01/04 @ 101, 6.125% 12/01/13................................... NR NR 1,064 -------- OKLAHOMA -- 0.5% 1,400 Oklahoma, Housing Development Authority, Revenue, Series 2000A, (FHLMC COLL), 5.100% 11/01/05................................... Aa3 AA- 1,499 -------- SOUTH CAROLINA -- 0.7% 1,500 Calhoun County, South Carolina, Solid Waste Disposal Facility Revenue, (Carolina Eastman Company Project) Series 1992, AMT, 6.750% 05/01/17................................... A2 BBB- 1,898 -------- TENNESSEE -- 1.7% 3,135 Chattanooga-Hamilton County, Tennessee, Hospital Authority, Revenue Refunding, (Erlanger Medical Center Project) Series 1993, (FSA Insured), 5.500% 10/01/07................................... Aaa AAA 3,540 1,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Electric Revenue, Series 1998B, 5.500% 05/15/13................................... Aa3 AA 1,156 -------- 4,696 -------- WASHINGTON -- 1.4% 2,425 Washington State, GO, Series 1995C, Prerefunded 07/01/05 @ 100, 5.450% 07/01/07................................... Aa1 AA+ 2,598
SEE NOTES TO FINANCIAL STATEMENTS. 141 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - -------------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $1,000 Washington State, Motor Vehicle Fuel Tax, GO Refunding, Series 2001R-B, 5.000% 09/01/09................................... Aa1 AA+ $ 1,127 -------- 3,725 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $254,103)................................................... 271,678 --------
SHARES (000) - --------- INVESTMENT COMPANIES -- 2.1% (Cost $5,765) 5,765 Nations Tax-Exempt Reserves, Capital Class Shares#.......... 5,765 -------- TOTAL INVESTMENTS (Cost $259,868*)................................ 101.3% 277,443 -------- OTHER ASSETS AND LIABILITIES (NET)............................... (1.3)% Cash........................................................ $ 1 Receivable for Fund shares sold............................. 31 Dividends receivable........................................ 9 Interest receivable......................................... 2,882 Payable for Fund shares redeemed............................ (425) Investment advisory fee payable............................. (43) Administration fee payable.................................. (48) Shareholder servicing and distribution fees payable......... (5) Distributions payable....................................... (832) Payable for investment securities purchased................. (4,901) Accrued Trustees' fees and expenses......................... (82) Accrued expenses and other liabilities...................... (120) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......................................... (3,533) -------- NET ASSETS........................................ 100.0% $273,910 ======== NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 451 Accumulated net realized loss on investments sold........... (1,011) Net unrealized appreciation of investments.................. 17,575 Paid-in capital............................................. 256,895 -------- NET ASSETS.................................................. $273,910 ======== VALUE - ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($261,495,767 / 24,726,784 shares outstanding)............ $10.58 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($7,588,463 / 717,671 shares outstanding)................. $10.57 ======== Maximum sales charge........................................ 3.25% Maximum offering price per share............................ $10.93 INVESTOR B SHARES: Net asset value and offering price per share** ($4,694,126 / 443,791 shares outstanding)................. $10.58 ======== INVESTOR C SHARES: Net asset value and offering price per share** ($132,129 / 12,491 shares outstanding).................... $10.58 ========
- --------------- *Federal income tax information (see Note 7). ** The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. &Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations Texas Intermediate Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): AMBAC 12.52% FGIC 11.16% PSF-GTD 15.92%
Nations Texas Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Education Revenue 11.25% Hospital Revenue 10.59% Water Revenue 10.21%
SEE NOTES TO FINANCIAL STATEMENTS. 142 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 98.5% VIRGINIA -- 82.8% $ 2,000 Alexandria, Virginia, Redevelopment and Housing Authority, Multi-Family Housing Mortgage Revenue, (Buckingham Village Apartments Project) Series 1996A, AMT, 6.050% 07/01/16........................... Aa3 AA- $ 2,082 3,285 Arlington County, Virginia, GO Refunding, Series 1993, 6.000% 06/01/12........................... Aaa AAA 3,934 3,865 Arlington County, Virginia, GO, Series 1999, (State Aid Withholding), 5.250% 06/01/16........................... Aaa AAA 4,280 3,000 Arlington County, Virginia, Industrial Development Authority, Facilities Revenue Refunding, (Lee Gardens Housing Corporation - Housing Mortgage - Woodbury Park Apartments Project) Series 1998A, 5.450% 01/01/29........................... A2 A 3,026 1,000 Arlington County, Virginia, Industrial Development Authority, Facilities Revenue, (The Nature Conservancy Project) Series 1997A, Prerefunded 07/01/07 @ 102, 5.450% 07/01/27........................... Aa1 AA+ 1,151 2,250 Arlington County, Virginia, Industrial Development Authority, Hospital Facilities Revenue, (Virginia Hospital Center Project) Series 2001, 5.250% 07/01/21........................... A2 A 2,321 2,000 Arlington County, Virginia, Industrial Development Authority, IDR Refunding, (Ogden Martin Systems Project) Series 1998A, (FSA Insured), 5.250% 01/01/05........................... Aaa AAA 2,104
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 3,280 Arlington County, Virginia, Industrial Development Authority, Revenue, (Ogden Martin Systems of Union-Alexandria/ Arlington Project) Series 1998B, AMT, (FSA Insured), 5.250% 01/01/09........................... Aaa AAA $ 3,639 1,855 Arlington County, Virginia, Industrial Development Authority, Revenue, (Ogden Martin Systems of Union-Alexandria/ Arlington Project) Series 1998B, AMT, (FSA Insured), 5.250% 01/01/10........................... Aaa AAA 2,025 1,000 Charlottesville-Albemarle, Virginia, Airport Authority, Revenue Refunding, Series 1995, AMT, 6.125% 12/01/09........................... Baa2 BBB 1,052 6,195 Chesapeake, Virginia, GO Refunding, Series 1993, 5.125% 12/01/05........................... Aa2 AA 6,720 1,000 Chesapeake, Virginia, GO, Series 1998, (State Aid Withholding), 4.650% 08/01/11........................... Aa2 AA 1,082 1,000 Chesapeake, Virginia, Water and Sewer GO, Series 1995A, 5.375% 12/01/20........................... Aa2 AA 1,088 2,000 Chesapeake, Virginia, Water and Sewer GO, Series 1995A, (State Aid Withholding), Prerefunded 12/01/05 @ 102, 7.000% 12/01/09........................... Aa2 AA 2,287 265 Chesterfield County, Virginia, Water and Sewer Authority, Revenue Refunding, Series 1992, 6.200% 11/01/05........................... Aaa AAA 271 1,320 Covington-Allegheny County, Virginia, Industrial Development Authority, PCR Refunding, (Westvaco Corporation Project) Series 1994, 5.900% 03/01/05........................... Baa2 BBB 1,380
SEE NOTES TO FINANCIAL STATEMENTS. 143 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $11,585 Fairfax County, Virginia, Economic Development Authority, Resource Recovery, Revenue Refunding, Series 1998A, AMT, (AMBAC Insured), 5.950% 02/01/07........................... Aaa AAA $ 13,004 3,385 Fairfax County, Virginia, Economic Development Authority, Resource Recovery, Revenue Refunding, Series 1998A, AMT, (AMBAC Insured), 6.050% 02/01/09........................... Aaa AAA 3,885 1,000 Fairfax County, Virginia, GO, Series 1998, (State Aid Withholding), 4.800% 04/01/10........................... Aa1 AA+ 1,099 5,000 Fairfax County, Virginia, GO, Series 2002A, (State Aid Withholding), 5.000% 06/01/10........................... Aaa AAA 5,644 1,000 Fairfax County, Virginia, Industrial Development Authority, Health Care Revenue Refunding, (Inova Health Systems Project) Series 1993, (MBIA-IBC Insured), 5.250% 08/15/19........................... Aaa AAA 1,110 500 Fairfax County, Virginia, Industrial Development Authority, Health Care Revenue Refunding, (Inova Health Systems Project) Series 1996, 5.500% 08/15/10........................... Aa2 AA 538 3,000 Fairfax County, Virginia, Public Improvement GO, Series 1997, (State Aid Withholding), 5.250% 06/01/17........................... Aaa AAA 3,229 1,450 Fairfax County, Virginia, Public Improvement GO, Series 1997A, 5.125% 06/01/11........................... Aaa AAA 1,573 1,000 Fairfax County, Virginia, Public Improvement GO, Series 1999B, 5.500% 12/01/16........................... Aaa AAA 1,136 3,000 Fairfax County, Virginia, Sewer Revenue Refunding, Series 1993, (AMBAC Insured), 5.500% 11/15/09........................... Aaa AAA 3,076
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 1,000 Fairfax County, Virginia, Water and Sewer Authority, Refunding, Series 1993, (AMBAC Insured), 5.500% 11/15/13........................... Aaa AAA $ 1,025 3,135 Fairfax County, Virginia, Water and Sewer Authority, Revenue Refunding, Series 1993, (AMBAC Insured), 5.100% 11/15/04........................... Aaa AAA 3,213 3,000 Fairfax County, Virginia, Water and Sewer Authority, Water Revenue, Series 2000, 5.625% 04/01/25........................... Aa1 AAA 3,258 3,000 Fairfax County, Virginia, Water and Sewer Authority, Water Revenue, Unrefunded Balance, Series 1992, 6.000% 04/01/22........................... Aa1 AAA 3,379 550 Giles County, Virginia, Industrial Development Authority, Exempt Facilities Revenue, (Hoechst Celanese Corporation Project) Series 1995, AMT, 5.950% 12/01/25........................... Baa2 BBB 522 3,000 Giles County, Virginia, Industrial Development Authority, Solid Waste Disposal Facilities Revenue, (Hoechst Celanese Corporation Project) Series 1992, AMT, 6.625% 12/01/22........................... Baa2 BBB 3,042 1,200 Halifax County, Virginia, Industrial Development Authority, Hospital Revenue Refunding, (Halifax Regional Hospital, Inc. Project) Series 1998, 4.900% 09/01/10........................... A2 A 1,225 400 Halifax County, Virginia, Industrial Development Authority, Hospital Revenue Refunding, (Halifax Regional Hospital, Inc. Project) Series 1998, 5.250% 09/01/17........................... A2 A 405
SEE NOTES TO FINANCIAL STATEMENTS. 144 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 500 Hanover County, Virginia, Industrial Development Authority, Revenue, (Bon Secours Health Systems Project) Series 1995, (MBIA Insured), 5.500% 08/15/25........................... Aaa AAA $ 525 1,000 Hanover County, Virginia, Industrial Development Authority, Revenue, (Memorial Regional Medical Center Project) Series 1995, (MBIA Insured), 5.500% 08/15/25........................... Aaa AAA 1,050 500 Henrico County, Virginia, Industrial Development Authority, Public Facilities Lease Revenue, Series 1994, Prerefunded 08/01/05 @ 102, 7.000% 08/01/13........................... Aa2 AA 563 3,500 Henrico County, Virginia, Industrial Development Authority, Solid Waste Revenue, (Browning-Ferris Project) Series 1995, AMT, (GTY-AGMT), Mandatory Put 12/01/05 @ 100, 5.300% 12/01/11........................... B1 BB- 3,389 500 Henry County, Virginia, GO, Series 1994, Prerefunded 07/15/04 @ 102, 5.750% 07/15/07........................... A2 A 529 1,915 James City and County, Virginia, GO, Series 1995, (FGIC Insured, State Aid Withholding), Prerefunded 12/15/05 @ 102, 5.000% 12/15/08........................... Aaa AAA 2,111 700 James City and County, Virginia, GO, Series 1995, (FGIC Insured, State Aid Withholding), Prerefunded 12/15/05 @ 102, 5.250% 12/15/14........................... Aaa AAA 775 2,335 James City and County, Virginia, Public Improvement GO Refunding, Series 2003, 5.000% 12/15/12........................... Aa3 AA 2,625
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 2,175 James City and County, Virginia, Public Improvement GO Refunding, Series 2003, 5.000% 12/15/13........................... Aa3 AA $ 2,447 2,600 Loudoun County, Virginia, GO, Series 2000B, (State Aid Withholding), 5.250% 01/01/17........................... Aa1 AA+ 2,861 1,500 Loudoun County, Virginia, Industrial Development Authority, Hospital Revenue, (Loudoun Hospital Center Project) Series 1995, (FSA Insured), 5.500% 06/01/08........................... Aaa AAA 1,605 1,765 Loudoun County, Virginia, Industrial Development Authority, Hospital Revenue, (Loudoun Hospital Center Project) Series 1995, (FSA Insured), 5.600% 06/01/09........................... Aaa AAA 1,881 500 Loudoun County, Virginia, Industrial Development Authority, Hospital Revenue, (Loudoun Hospital Center Project) Series 1995, (FSA Insured), 5.800% 06/01/20........................... Aaa AAA 540 510 Loudoun County, Virginia, Public Improvement GO, Series 2001C, (State Aid Withholding), 5.000% 11/01/14........................... Aa1 AA+ 563 1,140 Lynchburg, Virginia, Public Improvement GO, Series 1997, 5.400% 05/01/17........................... Aa3 AA 1,249 1,000 Medical College of Virginia, Hospital Authority, General Revenue, Series 1998, (MBIA Insured), 4.800% 07/01/11........................... Aaa AAA 1,079 2,000 Montgomery County, Virginia, Industrial Development Lease Authority, Revenue, Series 2000B, (AMBAC Insured), 5.500% 01/15/22........................... Aaa AAA 2,163 1,000 Newport News, Virginia, GO, Series 1998, 5.000% 03/01/18........................... Aa2 AA 1,066
SEE NOTES TO FINANCIAL STATEMENTS. 145 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 3,500 Norfolk, Virginia, Capital Improvement GO Refunding, Series 1998, (FGIC Insured, State Aid Withholding), 5.000% 07/01/11........................... Aaa AAA $ 3,864 1,000 Norfolk, Virginia, Capital Improvement Go Refunding, Series 1998, (FGIC Insured, State Aid Withholding), 5.000% 07/01/13........................... Aaa AAA 1,095 4,960 Norfolk, Virginia, Capital Improvement GO Refunding, Series 2002B, 5.250% 07/01/11........................... Aaa AAA 5,664 2,250 Norfolk, Virginia, Redevelopment and Housing Authority, Educational Facilities Revenue, (Tidewater Community College Campus Project) Series 1995, Prerefunded 11/01/05 @ 102, 5.875% 11/01/15........................... Aa1 AA+ 2,512 2,000 Norfolk, Virginia, Water Revenue, Series 1995, (MBIA Insured), 5.700% 11/01/10........................... Aaa AAA 2,220 1,000 Portsmouth, Virginia, GO Refunding, Series 1993, 5.250% 08/01/04........................... A1 AA- 1,023 3,710 Portsmouth, Virginia, Public Improvement GO Refunding, Series 2001A, (FGIC Insured), 5.500% 06/01/17........................... Aaa AAA 4,128 975 Prince William County, Virginia, Industrial Development Authority, Hospital Revenue Refunding, (Potomac Hospital Corporation Project) Series 1995, 6.550% 10/01/05........................... Aaa AAA 1,023 1,000 Prince William County, Virginia, Industrial Development Authority, Lease Revenue, (ATCC Project) Series 1996, 6.000% 02/01/14........................... Aa3 AA- 1,047
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 500 Prince William County, Virginia, Park Authority, Revenue, Series 1994, Prerefunded 10/15/04 @ 102, 6.875% 10/15/16........................... NR NR $ 540 1,000 Prince William County, Virginia, Park Authority, Water and Sewer Systems Revenue Refunding, Series 1994, Prerefunded 10/15/04 @ 102, 6.300% 10/15/07........................... NR NR 1,073 3,350 Prince William County, Virginia, Service Authority, Water and Sewer System Revenue Refunding, Series 2003, 5.000% 07/01/13........................... Aa2 AA 3,750 1,000 Richmond, Virginia, GO Refunding, Series 1995B, (FGIC Insured, State Aid Withholding), 5.000% 01/15/21........................... Aaa AAA 1,040 2,855 Richmond, Virginia, Public Improvement GO Refunding, Series 1999A, (FSA Insured), 5.000% 01/15/19........................... Aaa AAA 3,024 1,430 Richmond, Virginia, Public Improvement GO, Series 1993B, (State Aid Withholding), 5.500% 07/15/09........................... Aa3 AA 1,655 2,150 Richmond, Virginia, Public Improvement GO, Series 2002A, 5.250% 07/15/11........................... Aaa AAA 2,454 1,115 Roanoke County, Virginia, IDR, (Hollins College Project) Series 1998, 5.200% 03/15/17........................... A2 A 1,174 4,000 Roanoke, Virginia, Industrial Development Authority, Hospital Revenue, (Carilion Health System Project) Series 2002A, 5.250% 07/01/12........................... Aaa AAA 4,495 1,100 Spotsylvania County, Virginia, GO Refunding, Series 1998, (FSA Insured), 4.375% 07/15/05........................... Aaa AAA 1,164
SEE NOTES TO FINANCIAL STATEMENTS. 146 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 1,900 Spotsylvania County, Virginia, GO Refunding, Series 1998, (FSA Insured), 4.400% 07/15/06........................... Aaa AAA $ 2,054 2,000 Spotsylvania County, Virginia, GO Refunding, Series 1998, (FSA Insured), 4.400% 07/15/07........................... Aaa AAA 2,188 3,535 Staunton, Virginia, Industrial Development Authority, Educational Facilities Revenue, (Mary Baldwin College Project) Series 1996, 6.600% 11/01/14........................... NR NR 3,730 5,800 Suffolk, Virginia, Redevelopment and Housing Authority, Multi-Family Housing Revenue Refunding, (Windsor Ltd. Partnership Project) Series 2001, (FNMA Insured), Mandatory Put 07/01/11 @ 100, 4.850% 07/01/31........................... Aaa AAA 6,105 2,300 Virginia Beach, Virginia, GO Refunding, Series 1993, 5.400% 07/15/08........................... Aa1 AA+ 2,636 500 Virginia Beach, Virginia, Public Improvement GO Refunding, Series 1994, (State Aid Withholding), Prerefunded 11/01/04 @ 102, 5.750% 11/01/08........................... Aa1 AA+ 535 3,060 Virginia Beach, Virginia, Public Improvement GO, Series 2000, 5.500% 03/01/17........................... Aa1 AA+ 3,448 3,805 Virginia Beach, Virginia, Public Improvement GO, Series 2000, 5.500% 03/01/18........................... Aa1 AA+ 4,271 1,790 Virginia Beach, Virginia, Water and Sewer Revenue, Series 2000, 5.250% 08/01/17........................... Aa3 AA 1,966 1,935 Virginia Beach, Virginia, Water and Sewer Revenue, Series 2000, 5.250% 08/01/18........................... Aa3 AA 2,113 2,035 Virginia Beach, Virginia, Water and Sewer Revenue, Series 2000, 5.250% 08/01/19........................... Aa3 AA 2,211
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 2,145 Virginia Beach, Virginia, Water and Sewer Revenue, Series 2000, 5.250% 08/01/20........................... Aa3 AA $ 2,312 2,345 Virginia State, Commonwealth Transportation Board Authority, Transportation Revenue, (Northern Virginia Transportation District Project) Series 1996A, 5.125% 05/15/21........................... Aa1 AA+ 2,472 2,455 Virginia State, Housing Development Authority, Commonwealth Mortgage Revenue, Series 2000B-4, 5.500% 01/01/15........................... Aa1 AA+ 2,577 1,035 Virginia State, Housing Development Authority, Commonwealth Mortgage Revenue, Series 2001D-D-1, 4.750% 07/01/12........................... Aa1 AA+ 1,102 2,655 Virginia State, Housing Development Authority, Revenue, (Rental Housing Project) Series 2000B, AMT, 5.875% 08/01/15........................... Aa1 AA+ 2,835 2,790 Virginia State, Public Building Authority, Public Facilities Revenue, Series 2002A, 5.000% 08/01/14........................... Aa1 AA+ 3,072 2,540 Virginia State, Public School Authority, Revenue Refunding, (School Financing Project) Series 1998A, 4.875% 08/01/14........................... Aa1 AA+ 2,698 1,480 Virginia State, Public School Authority, Revenue Refunding, Series 1993B, (State Aid Withholding), 5.100% 01/01/05........................... Aa1 AA 1,524 2,195 Virginia State, Public School Authority, Revenue, Series 1993A, (State Aid Withholding), 5.400% 01/01/08........................... Aa1 AA 2,236
SEE NOTES TO FINANCIAL STATEMENTS. 147 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 640 Virginia State, Public School Authority, Revenue, Series 1994A, (State Aid Withholding), Prerefunded 08/01/04 @ 102, 6.125% 08/01/11........................... Aa1 AA $ 680 6,000 Virginia State, Public School Authority, Special Obligation Chesapeake School Financing Revenue, Series 1995, (State Aid Withholding), Prerefunded 06/01/05 @ 102, 5.600% 06/01/12........................... Aa3 AA 6,561 1,070 Virginia State, Residential Authority, Infrastructure Revenue, Series 2000A, (MBIA Insured), 5.500% 05/01/21........................... Aaa AAA 1,173 1,205 Virginia State, Resource Authority, Airport Revenue, Series 2001A, 5.250% 08/01/18........................... Aa2 AA 1,318 1,120 Virginia State, Resource Authority, Infrastructure Revenue, Series 2000A, (MBIA Insured), 5.500% 05/01/22........................... Aaa AAA 1,220 2,970 Virginia State, Resource Authority, Sewer Systems Revenue Refunding, (Harrisonburg- Rockingham Project) Series 1998, 5.000% 05/01/18........................... Aa2 AA 3,154 1,750 Virginia State, Resource Authority, Sewer Systems Revenue, (Hopewell Regional Wastewater Facilities Project) Series 1995A, AMT, 6.000% 10/01/15........................... Aa2 AA 1,844 2,000 Virginia State, Resource Authority, Systems Revenue Refunding, Series 1998, 5.000% 05/01/22........................... Aa2 AA 2,066 2,470 Virginia State, Resource Authority, Water and Sewer Systems Revenue Refunding, (Washington County Service Project) Series 1993, 5.150% 10/01/07........................... Aa2 AA 2,520
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 500 Virginia State, Resource Authority, Water and Sewer Systems Revenue, (Fauquier County Water and Sanitation Project) Series 1994C, Prerefunded 05/01/04 @ 102, 6.125% 05/01/14........................... Aa2 AA $ 525 1,020 Virginia State, Resource Authority, Water and Sewer Systems Revenue, (Suffolk Project) Series 1996A, 5.500% 04/01/17........................... Aa2 AA 1,135 1,000 Virginia State, Resource Authority, Water and Sewer Systems Revenue, (Sussex Service Authority Project) Series 1998, 4.625% 10/01/18........................... Aa2 AA 1,021 1,175 Virginia State, Resources Authority, Infrastructure Revenue, Series 2002, 5.000% 11/01/13........................... Aa2 AA 1,315 1,000 Virginia State, Resources Authority, Infrastructure Revenue, Series 2002B, 5.000% 11/01/09........................... Aa2 AA 1,133 2,350 Virginia, Biotechnology Research Park Authority, Lease Revenue, (Biotech Two Project) Series 1996, 5.750% 09/01/05........................... Aa1 AA+ 2,553 1,000 Virginia, Biotechnology Research Park Authority, Lease Revenue, (Biotech Two Project) Series 1996, 5.300% 09/01/13........................... Aa1 AA+ 1,114 1,100 Virginia, Biotechnology Research Park Authority, Lease Revenue, (Consolidated Laboratories Project) Series 2001, 5.125% 09/01/16........................... Aa1 AA+ 1,203 2,475 Virginia, Chesapeake Bay Bridge and Tunnel Commission District Revenue, Series 1995, (FGIC Insured), Prerefunded 07/01/05 @ 102, 5.875% 07/01/10........................... Aaa AAA 2,728
SEE NOTES TO FINANCIAL STATEMENTS. 148 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 1,270 Virginia, College Building Authority, Virginia Educational Facilities Revenue, (21st Century Catalogue and Equipment Program Project) Series 2002A, 5.000% 02/01/15........................... Aa1 AA+ $ 1,385 2,300 Virginia, College Building Authority, Virginia Educational Facilities Revenue, (Public Higher Education Financing Program) Series 1999A, 5.375% 09/01/12........................... Aa1 AA+ 2,594 5,000 Virginia, College Building Authority, Virginia Educational Facilities Revenue, (University Richmond Project) Series 2002A, Mandatory Put 03/01/09 @ 100, 5.000% 03/01/32........................... Aa1 AA 5,565 1,000 Virginia, Commonwealth Transportation Board, Transportation Program Revenue, (Oak Grove Connector Project) Series 1997A, 5.250% 05/15/22........................... Aa1 AA+ 1,061 1,245 Virginia, Commonwealth Transportation Board, Transportation Revenue Refunding, (U.S. Route 58 Corridor Project) Series 1997C, 5.125% 05/15/19........................... Aa1 AA+ 1,330 3,375 Virginia, Commonwealth Transportation Board, Transportation Revenue Refunding, (U.S. Route 58 Corridor Project) Series 1997C, (MBIA Insured), 5.000% 05/15/13........................... Aaa AAA 3,692 2,465 Virginia, Port Authority, Commonwealth Port Fund Revenue, Series 1996, AMT, 5.550% 07/01/12........................... Aa1 AA+ 2,600 1,000 Virginia, Port Authority, Commonwealth Port Fund Revenue, Series 1997, AMT, (MBIA Insured), 5.650% 07/01/17........................... Aaa AAA 1,091
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 1,210 Virginia, Port Authority, Port Facilities Revenue, Series 1997, AMT, (MBIA Insured), 6.000% 07/01/07........................... Aaa AAA $ 1,378 1,360 Virginia, Port Authority, Port Facilities Revenue, Series 2003, (MBIA Insured), 5.125% 07/01/14........................... Aaa AAA 1,485 1,430 Virginia, Port Authority, Port Facilities Revenue, Series 2003, (MBIA Insured), 5.125% 07/01/15........................... Aaa AAA 1,550 1,585 Virginia, Port Authority, Port Facilities Revenue, Series 2003, (MBIA Insured), 5.250% 07/01/17........................... Aaa AAA 1,709 5,000 Virginia, Southeastern Public Service Authority, Revenue Refunding, Series 1993A, (MBIA Insured), 5.100% 07/01/08........................... Aaa AAA 5,644 1,000 Washington County, Virginia, Industrial Development Authority, Hospital Facility Revenue Refunding, (Johnston Memorial Hospital Project) Series 1995, Prerefunded 07/01/05 @ 102, 6.000% 07/01/14........................... A2 A 1,102 4,050 West Point, Virginia, Industrial Development Authority, Solid Waste Disposal Revenue, (Chesapeake Corporation Project) Series 1994A, AMT, 6.375% 03/01/19........................... B1 BB 3,441 -------- 279,746 -------- ALABAMA -- 0.6% 2,000 Mobile, Alabama, Industrial Development Board, PCR Refunding, (International Paper Company Project) Series 1998B, 4.750% 04/01/10........................... Baa2 BBB 2,070 --------
SEE NOTES TO FINANCIAL STATEMENTS. 149 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ ALASKA -- 0.5% $ 1,385 Alaska, Municipal Bond Bank Authority, Revenue, Series 2003, (MBIA Insured), 5.250% 12/01/18........................... Aaa AAA $ 1,524 -------- ARIZONA -- 0.7% 2,030 Arizona, School Facilities Board Revenue, State School Improvement, Series 2002, 5.250% 07/01/14........................... Aaa AAA 2,276 -------- CONNECTICUT -- 0.6% 1,900 Connecticut State, GO, Series 2001G, 5.000% 12/15/11........................... Aa3 AA 2,133 -------- DISTRICT OF COLUMBIA -- 0.3% 1,000 Metropolitan Washington, District of Columbia, Airport Authority, Virginia General Airport Revenue Refunding, Series 1998B, AMT, (MBIA Insured), 5.250% 10/01/10........................... Aaa AAA 1,088 -------- FLORIDA -- 1.8% 2,265 Hillsborough County, Florida, Aviation Authority Revenue Refunding, (Tampa International Airport), Series 2003D, (MBIA Insured), 5.500% 10/01/10........................... Aaa AAA 2,558 1,195 Miami-Dade County, Florida, Health Authority, Hospital Revenue Refunding, (Miami Childrens Hospital Project) Series 2001, (AMBAC Insured), 4.375% 08/15/10........................... Aaa AAA 1,298 2,100 Volusia County, Florida, Educational Facilities Authority, Revenue, Series 1996A, 6.125% 10/15/16........................... Baa3 BBB- 2,150 -------- 6,006 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ GEORGIA -- 0.4% $ 1,450 Richmond County, Georgia, Development Authority, Environmental Improvement Revenue, (International Paper Company Project) Series 2001A, 5.150% 03/01/15........................... Baa2 BBB $ 1,471 -------- ILLINOIS -- 2.0% 4,500 Illinois, Metropolitan Pier and Exposition Authority, Dedicated State Tax Revenue Refunding, (McCormick Plant Expansion) Series 2002B, (MBIA Insured), 5.250% 06/15/11........................... Aaa AAA 5,094 1,990 Will County, Illinois, Student Housing Revenue, (Joliet Junior College Project) Series 2002A, 6.625% 09/01/23........................... NR NR 1,794 -------- 6,888 -------- KANSAS -- 0.6% 2,000 Burlington, Kansas, Environmental Improvement Revenue Refunding, (Power and Light Project) Series 1998K, Mandatory Put 10/01/07 @ 100, 4.750% 09/01/15........................... A2 BBB 2,145 -------- MAINE -- 0.4% 1,500 Baileyville, Maine, PCR, (Georgia-Pacific Corporation Project) Series 1998, 4.750% 06/01/05........................... Ba3 BB 1,478 -------- MARYLAND -- 0.9% 2,555 Northeast Maryland, Waste Disposal Authority, Revenue Refunding, Series 2003, (AMBAC Insured), 5.500% 04/01/10........................... Aaa AAA 2,881 --------
SEE NOTES TO FINANCIAL STATEMENTS. 150 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ MICHIGAN -- 0.6% $ 2,000 Southfield, Michigan, Library Building Authority, GO, Series 2000, (MBIA Insured), 5.500% 05/01/24........................... Aaa AAA $ 2,141 -------- MISSISSIPPI -- 0.6% 1,285 Mississippi State, Hospital Facilities and Equipment Authority, Revenue, (Forrest County General Hospital Project) Series 2000, (FSA Insured), 5.625% 01/01/20........................... Aaa AAA 1,397 500 Warren County, Mississippi, Environmental Improvement Revenue Refunding, (International Paper Company Project) Series 2000A, AMT, 6.700% 08/01/18........................... Baa2 BBB 534 -------- 1,931 -------- NEW YORK -- 0.6% 2,005 New York City, New York, Industrial Development Agency, Civic Facility Revenue, (Polytechnic University Project) Series 2000, 5.750% 11/01/10........................... Ba1 BB+ 1,958 -------- SOUTH CAROLINA -- 0.7% 2,000 Calhoun County, South Carolina, Solid Waste Disposal Facility Revenue, (Carolina Eastman Company Project) Series 1992, AMT, 6.750% 05/01/17........................... A2 BBB- 2,531 -------- TENNESSEE -- 0.6% 2,000 Memphis-Shelby County, Tennessee, Airport Authority, Special Facilities Revenue Refunding, (Federal Express Corporation Project) Series 2001, 5.000% 09/01/09........................... Baa2 BBB 2,196 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - ------------------------------------------------------------------------------------ TEXAS -- 1.6% $ 2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16........................... Baa2 BBB- $ 2,112 2,795 Trinity River Authority, Texas, Water Revenue Refunding, (Tarrant County Water Project) Series 2003, (MBIA Insured), 5.500% 02/01/14........................... Aaa AAA 3,182 -------- 5,294 -------- WASHINGTON -- 1.9% 1,000 Energy Northwest Washington, Electric Revenue Refunding, Series 2002A, (MBIA Insured), 5.750% 07/01/18........................... Aaa AAA 1,130 5,035 Washington State, Motor Vehicle Fuel Tax, GO, Series 1997F, 5.375% 07/01/22........................... Aa1 AA+ 5,358 -------- 6,488 -------- WISCONSIN -- 0.3% 1,000 Wisconsin State, Health and Educational Facilities Revenue, (Agnesian Healthcare Project) Series 2001, 6.000% 07/01/21........................... A3 A- 1,037 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $313,097)........................................... 333,282 --------
SHARES (000) - --------- - ------------------------------------------------------------------------------------ INVESTMENT COMPANIES -- 0.6% (Cost $1,921) 1,921 Nations Tax-Exempt Reserves, Capital Class Shares#.......... 1,921 --------
SEE NOTES TO FINANCIAL STATEMENTS. 151 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - ------------------------------------------------------------------------------------ TOTAL INVESTMENTS (Cost $315,018*)................................ 99.1% $335,203 -------- OTHER ASSETS AND LIABILITIES (NET)............................... 0.9% Cash........................................................ $ 1 Receivable for Fund shares sold............................. 230 Dividends receivable........................................ 1 Interest receivable......................................... 4,555 Payable for Fund shares redeemed............................ (282) Investment advisory fee payable............................. (54) Administration fee payable.................................. (59) Shareholder servicing and distribution fees payable......... (27) Distributions payable....................................... (961) Accrued Trustees' fees and expenses......................... (92) Accrued expenses and other liabilities...................... (101) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......................................... 3,211 -------- NET ASSETS........................................ 100.0% $338,414 ======== NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 871 Accumulated net realized loss on investments sold........... (126) Net unrealized appreciation of investments.................. 20,185 Paid-in capital............................................. 317,484 -------- NET ASSETS.................................................. $338,414 ======== VALUE - ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($260,794,900 / 23,305,075 shares outstanding)............ $11.19 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($58,633,556 / 5,239,014 shares outstanding).............. $11.19 ======== Maximum sales charge........................................ 3.25% Maximum offering price per share............................ $11.57 INVESTOR B SHARES: Net asset value and offering price per share** ($16,543,478 / 1,477,988 shares outstanding).............. $11.19 ======== INVESTOR C SHARES: Net asset value and offering price per share** ($2,442,303 / 218,257 shares outstanding)................. $11.19 ========
- --------------- *Federal income tax information (see Note 7). ** The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. Nations Virginia Intermediate Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2003 (as a percentage of net assets): MBIA 11.34%
Nations Virginia Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2003 (as a percentage of net assets): Education Revenue 10.16% Resource Recovery 11.57% Water Revenue 13.78%
SEE NOTES TO FINANCIAL STATEMENTS. 152 NATIONS FUNDS STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED) ABBREVIATIONS: ACA American Capital Access Corporation AMBAC American Municipal Bond Assurance Corporation AMBAC-TCRS American Municipal Bond Assurance Corporation -- Transferable Custodial Receipts AMT Alternative Minimum Tax BAN Bond Anticipation Notes CAPMAC Capital Markets Assurance Corporation CAPMAC-ITC Capital Markets Assurance Corporation -- Insured Trust Certificate CONNIE LEE College Construction Loan Insurance Corporation FGIC Financial Guaranty Insurance Company FGIC-TCRS Financial Guaranty Insurance Company -- Transferable Custodial Receipts FHLMC COLL Federal Home Loan Mortgage Corporation collateral FHA Federal Housing Authority FHA COLL Federal Housing Authority collateral FNMA Federal National Mortgage Association FNMA COLL Federal National Mortgage Association collateral FSA Financial Security Assurance FSA-CR Financial Security Assurance -- Custodial Receipts GO General Obligation GNMA Government National Mortgage Association GNMA COLL Government National Mortgage Association collateral GTY-AGMT Guarantee Agreement GTD Guarantee GTD STD LNS Guaranteed Student Loans IDR Industrial Development Revenue LOC Letter of Credit MBIA Municipal Bond Insurance Association MBIA-IBC Municipal Bond Insurance Association -- Insured Bond Certificate NR Not Rated PCR Pollution Control Revenue PSF-GTD Permanent School Fund Guarantee Q-SBLF Qualified School Board Loan Fund SCSDE South Carolina School District Enhancement SCH BD GTY School Bond Guarantee SPA Standby Purchase Agreement VA COLL Veterans Administration collateral VA Veterans Administration XLCA XL Capital Assurance
SEE NOTES TO FINANCIAL STATEMENTS. 153 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2003
SHORT-TERM INTERMEDIATE MUNICIPAL MUNICIPAL INCOME BOND --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 14,012 $ 44,540 Dividend income from affiliated funds....................... 173 158 -------------- -------------- 14,185 44,698 -------------- -------------- EXPENSES: Investment advisory fee..................................... 1,685 3,936 Administration fee.......................................... 1,236 2,165 Transfer agent fees......................................... 173 332 Custodian fees.............................................. 32 60 Legal and audit fees........................................ 48 49 Trustees' fees and expenses................................. 10 10 Interest expense............................................ 1 --* Registration and filing fees................................ 36 27 Printing expense............................................ 23 31 Other....................................................... 20 37 -------------- -------------- Subtotal................................................ 3,264 6,647 Shareholder servicing and distribution fees: Investor A Shares......................................... 259 54 Investor B Shares......................................... 8 32 Investor C Shares......................................... 389 37 -------------- -------------- Total expenses.......................................... 3,920 6,770 Fees waived and/or expenses reimbursed by investment advisor, administrator and/or distributor................. (1,016) (1,727) -------------- -------------- Net expenses............................................ 2,904 5,043 -------------- -------------- NET INVESTMENT INCOME/(LOSS)................................ 11,281 39,655 -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) on investments..................... (341) 5,671 Net change in unrealized appreciation/(depreciation) of investments............................................... 5,528 (1,376) -------------- -------------- Net realized and unrealized gain/(loss) on investments...... 5,187 4,295 -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 16,468 $ 43,950 ============== ==============
- --------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 154 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
CALIFORNIA FLORIDA GEORGIA INTERMEDIATE CALIFORNIA INTERMEDIATE FLORIDA INTERMEDIATE MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL INCOME BOND BOND BOND BOND BOND - ------------------------------------------------------------------------------------------------------- $ 19,724 $ 2,760 $ 8,159 $ 5,585 $ 2,985 $ 4,160 23 11 12 17 6 15 -------------- -------------- -------------- -------------- -------------- -------------- 19,747 2,771 8,171 5,602 2,991 4,175 -------------- -------------- -------------- -------------- -------------- -------------- 1,938 281 803 508 302 359 853 155 353 280 133 197 130 23 51 42 20 30 25 5 11 8 4 6 45 37 44 42 37 39 10 10 10 10 10 10 1 -- 1 --* --* --* 35 --* --* --* --* --* 16 8 12 11 10 9 11 10 4 7 3 6 -------------- -------------- -------------- -------------- -------------- -------------- 3,064 529 1,289 908 519 656 50 15 177 23 54 24 45 6 48 49 59 45 8 19 27 52 4 27 -------------- -------------- -------------- -------------- -------------- -------------- 3,167 569 1,541 1,032 636 752 (737) (178) (324) (273) (156) (209) -------------- -------------- -------------- -------------- -------------- -------------- 2,430 391 1,217 759 480 543 -------------- -------------- -------------- -------------- -------------- -------------- 17,317 2,380 6,954 4,843 2,511 3,632 -------------- -------------- -------------- -------------- -------------- -------------- 1,846 172 439 160 904 (37) 1,195 601 (1,469) (192) (1,220) 393 -------------- -------------- -------------- -------------- -------------- -------------- 3,041 773 (1,030) (32) (316) 356 -------------- -------------- -------------- -------------- -------------- -------------- $ 20,358 $ 3,153 $ 5,924 $ 4,811 $ 2,195 $ 3,988 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 155 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED) For the six months ended September 30, 2003
MARYLAND KANSAS INTERMEDIATE MUNICIPAL MUNICIPAL INCOME BOND --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 2,020 $ 5,561 Dividend income from affiliated funds....................... 4 17 -------------- -------------- 2,024 5,578 -------------- -------------- EXPENSES: Investment advisory fee..................................... 232 496 Administration fee.......................................... 102 273 Transfer agent fees......................................... 16 41 Custodian fees.............................................. 4 8 Legal and audit fees........................................ 35 42 Trustees' fees and expenses................................. 10 10 Interest expense............................................ --* --* Registration and filing fees................................ -- 2 Printing expense............................................ 7 11 Other....................................................... 4 9 -------------- -------------- Subtotal................................................ 410 892 Shareholder servicing and distribution fees: Investor A Shares......................................... 7 41 Investor B Shares......................................... 1 102 Investor C Shares......................................... 2 14 -------------- -------------- Total expenses.......................................... 420 1,049 Fees waived and/or expenses reimbursed by investment advisor, administrator and/or distributor................. (131) (271) -------------- -------------- Net expenses............................................ 289 778 -------------- -------------- NET INVESTMENT INCOME/(LOSS)................................ 1,735 4,800 -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) on investments..................... 630 595 Net change in unrealized appreciation/(depreciation) of investments............................................... (475) (287) -------------- -------------- Net realized and unrealized gain/(loss) on investments...... 155 308 -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 1,890 $ 5,108 ============== ==============
- --------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 156 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
NORTH CAROLINA SOUTH CAROLINA TENNESSEE TEXAS VIRGINIA INTERMEDIATE INTERMEDIATE INTERMEDIATE INTERMEDIATE INTERMEDIATE MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL BOND BOND BOND BOND BOND - -------------------------------------------------------------------------------------- $ 5,597 $ 6,294 $ 1,576 $ 6,238 $ 8,335 22 25 15 27 22 -------------- -------------- -------------- -------------- -------------- 5,619 6,319 1,591 6,265 8,357 -------------- -------------- -------------- -------------- -------------- 493 528 147 551 714 271 290 81 303 393 40 44 13 46 59 8 9 3 9 11 42 42 35 43 44 10 10 10 10 10 --* --* --* -- 1 --* --* 1 --* --* 11 10 8 9 13 9 7 4 6 10 -------------- -------------- -------------- -------------- -------------- 884 940 302 977 1,255 30 37 19 10 72 93 59 21 24 86 9 53 8 --* 12 -------------- -------------- -------------- -------------- -------------- 1,016 1,089 350 1,011 1,425 (267) (280) (117) (288) (361) -------------- -------------- -------------- -------------- -------------- 749 809 233 723 1,064 -------------- -------------- -------------- -------------- -------------- 4,870 5,510 1,358 5,542 7,293 -------------- -------------- -------------- -------------- -------------- 345 1,208 57 1,690 1,232 (375) 844 13 106 (1,234) -------------- -------------- -------------- -------------- -------------- (30) 2,052 70 1,796 (2) -------------- -------------- -------------- -------------- -------------- $ 4,840 $ 7,562 $ 1,428 $ 7,338 $ 7,291 ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 157 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
SHORT-TERM INTERMEDIATE MUNICIPAL INCOME MUNICIPAL BOND --------------------------------- --------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 ----------------------------------------------------------------------- (IN THOUSANDS) Net investment income/(loss)....................... $ 11,281 $ 19,463 $ 39,655 $ 72,145 Net realized gain/(loss) on investments............ (341) (365) 5,671 (738) Net change in unrealized appreciation/(depreciation) of investments....... 5,528 17,948 (1,376) 52,334 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations.................................. 16,468 37,046 43,950 123,741 Distributions to shareholders from net investment income: Primary A Shares................................. (8,888) (14,580) (38,631) (70,371) Investor A Shares................................ (1,943) (3,866) (817) (1,472) Investor B Shares................................ (9) (28) (96) (167) Investor C Shares................................ (441) (989) (111) (135) Distributions to shareholders from net realized gains on investments: Primary A Shares................................. -- -- -- (3,412) Investor A Shares................................ -- -- -- (65) Investor B Shares................................ -- -- -- (10) Investor C Shares................................ -- -- -- (9) Net increase/(decrease) in net assets from Fund share transactions............................... 113,199 517,115 (122,079) 781,288 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets.............. 118,386 534,698 (117,784) 829,388 NET ASSETS: Beginning of period................................ 1,068,038 533,340 2,024,931 1,195,543 -------------- -------------- -------------- -------------- End of period...................................... $ 1,186,424 $ 1,068,038 $ 1,907,147 $ 2,024,931 ============== ============== ============== ============== Undistributed net investment income/(distributions in excess of net investment income) at end of period........................................... $ 106 $ 106 $ 2,290 $ 2,290 ============== ============== ============== ==============
- --------------- (a)California Intermediate Municipal Bond Fund commenced operations on August 19, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 158 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
CALIFORNIA INTERMEDIATE CALIFORNIA MUNICIPAL INCOME MUNICIPAL BOND MUNICIPAL BOND ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 PERIOD ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03(A) (UNAUDITED) 3/31/03 - ------------------------------------------------------------------------------------------------------- $ 17,317 $ 40,255 $ 2,380 $ 2,915 $ 6,954 $ 13,137 1,846 (14,946) 172 1,455 439 2,506 1,195 33,377 601 (458) (1,469) 8,127 -------------- -------------- -------------- -------------- -------------- -------------- 20,358 58,686 3,153 3,912 5,924 23,770 (16,274) (37,636) (2,133) (2,787) (3,689) (6,388) (857) (2,203) (186) (91) (3,001) (6,278) (158) (358) (14) (10) (168) (308) (28) (58) (47) (27) (96) (163) -- -- (472) (788) (1,072) (169) -- -- (43) (34) (916) (123) -- -- (4) (5) (60) (8) -- -- (14) (12) (34) (3) (62,247) (80,031) 11,410 135,697 (13,689) 103,881 -------------- -------------- -------------- -------------- -------------- -------------- (59,206) (61,600) 11,650 135,855 (16,801) 114,211 804,724 866,324 135,855 -- 328,304 214,093 -------------- -------------- -------------- -------------- -------------- -------------- $ 745,518 $ 804,724 $ 147,505 $ 135,855 $ 311,503 $ 328,304 ============== ============== ============== ============== ============== ============== $ 1,802 $ 1,802 $ -- $ -- $ 486 $ 486 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 159 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FLORIDA INTERMEDIATE FLORIDA MUNICIPAL BOND MUNICIPAL BOND --------------------------------- --------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 ----------------------------------------------------------------------- (IN THOUSANDS) Net investment income/(loss)....................... $ 4,843 $ 10,285 $ 2,511 $ 5,644 Net realized gain/(loss) on investments............ 160 (246) 904 2,186 Net change in unrealized appreciation/(depreciation) of investments....... (192) 5,683 (1,220) 4,016 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations.................................. 4,811 15,722 2,195 11,846 Distributions to shareholders from net investment income: Primary A Shares................................. (4,222) (9,317) (1,408) (3,344) Investor A Shares................................ (330) (566) (893) (1,890) Investor B Shares................................ (141) (259) (198) (394) Investor C Shares................................ (150) (143) (12) (16) Distributions to shareholders from net realized gains on investments: Primary A Shares................................. -- -- (112) (1,314) Investor A Shares................................ -- -- (72) (791) Investor B Shares................................ -- -- (20) (195) Investor C Shares................................ -- -- (1) (8) Net increase/(decrease) in net assets from Fund share transactions............................... (8,001) 20,131 (10,675) (8,469) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets.............. (8,033) 25,568 (11,196) (4,575) NET ASSETS: Beginning of period................................ 253,842 228,274 125,041 129,616 -------------- -------------- -------------- -------------- End of period...................................... $ 245,809 $ 253,842 $ 113,845 $ 125,041 ============== ============== ============== ============== Undistributed net investment income/(distributions in excess of net investment income) at end of period........................................... $ 229 $ 229 $ 330 $ 330 ============== ============== ============== ==============
- --------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 160 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
GEORGIA INTERMEDIATE KANSAS MARYLAND INTERMEDIATE MUNICIPAL BOND MUNICIPAL INCOME MUNICIPAL BOND ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 - ------------------------------------------------------------------------------------------------------- $ 3,632 $ 7,914 $ 1,735 $ 3,970 $ 4,800 $ 9,894 (37) (1,005) 630 214 595 (527) 393 4,617 (475) 2,856 (287) 8,353 -------------- -------------- -------------- -------------- -------------- -------------- 3,988 11,526 1,890 7,040 5,108 17,720 (3,038) (6,730) (1,629) (3,788) (3,833) (8,105) (369) (636) (97) (175) (618) (1,058) (141) (422) (3) (3) (306) (658) (84) (126) (6) (4) (43) (73) -- -- (178) (207) -- -- -- -- (11) (3) -- -- -- -- --* --* -- -- -- -- (1) --* -- -- (12,596) 24,795 (6,490) (7,594) (3,284) 39,225 -------------- -------------- -------------- -------------- -------------- -------------- (12,240) 28,407 (6,525) (4,734) (2,976) 47,051 184,101 155,694 96,912 101,646 248,183 201,132 -------------- -------------- -------------- -------------- -------------- -------------- $ 171,861 $ 184,101 $ 90,387 $ 96,912 $ 245,207 $ 248,183 ============== ============== ============== ============== ============== ============== $ 223 $ 223 $ 105 $ 105 $ 202 $ 202 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 161 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
NORTH CAROLINA INTERMEDIATE SOUTH CAROLINA INTERMEDIATE MUNICIPAL BOND MUNICIPAL BOND --------------------------------- --------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 ----------------------------------------------------------------------- (IN THOUSANDS) Net investment income/(loss)....................... $ 4,870 $ 9,955 $ 5,510 $ 11,976 Net realized gain/(loss) on investments............ 345 542 1,208 1,256 Net change in unrealized appreciation/(depreciation) of investments....... (375) 8,417 844 4,252 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations.................................. 4,840 18,914 7,562 17,484 Distributions to shareholders from net investment income: Primary A Shares................................. (4,097) (8,537) (4,543) (10,227) Investor A Shares................................ (459) (788) (597) (1,045) Investor B Shares................................ (286) (594) (195) (466) Investor C Shares................................ (28) (36) (175) (238) Distributions to shareholders from net realized gains on investments: Primary A Shares................................. -- -- (701) (61) Investor A Shares................................ -- -- (91) (8) Investor B Shares................................ -- -- (40) (3) Investor C Shares................................ -- -- (35) (2) Net increase/(decrease) in net assets from Fund share transactions............................... (3,523) 42,590 (3,608) 20,995 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets.............. (3,553) 51,549 (2,423) 26,429 NET ASSETS: Beginning of period................................ 246,846 195,297 263,375 236,946 -------------- -------------- -------------- -------------- End of period...................................... $ 243,293 $ 246,846 $ 260,952 $ 263,375 ============== ============== ============== ============== Undistributed net investment income/(distributions in excess of net investment income) at end of period........................................... $ 841 $ 841 $ 973 $ 973 ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 162 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
TENNESSEE INTERMEDIATE TEXAS INTERMEDIATE VIRGINIA INTERMEDIATE MUNICIPAL BOND MUNICIPAL BOND MUNICIPAL BOND ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 - ------------------------------------------------------------------------------------------------------- $ 1,358 $ 2,583 $ 5,542 $ 12,599 $ 7,293 $ 14,853 57 145 1,690 1,240 1,232 163 13 2,333 106 7,192 (1,234) 11,420 -------------- -------------- -------------- -------------- -------------- -------------- 1,428 5,061 7,338 21,031 7,291 26,436 (998) (1,871) (5,308) (12,148) (5,843) (12,065) (277) (544) (159) (257) (1,138) (2,178) (59) (136) (74) (191) (275) (560) (24) (32) (1) (3) (37) (50) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (8,534) 21,291 (5,460) (3,632) (25,037) 58,877 -------------- -------------- -------------- -------------- -------------- -------------- (8,464) 23,769 (3,664) 4,800 (25,039) 70,460 76,204 52,435 277,574 272,774 363,453 292,993 -------------- -------------- -------------- -------------- -------------- -------------- $ 67,740 $ 76,204 $ 273,910 $ 277,574 $ 338,414 $ 363,453 ============== ============== ============== ============== ============== ============== $ 32 $ 32 $ 451 $ 451 $ 871 $ 871 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 163 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
SHORT-TERM MUNICIPAL INCOME SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 35,190 $ 366,181 72,581 $ 749,385 Issued as reinvestment of dividends....................... 41 429 135 1,391 Redeemed.................................................. (22,417) (233,217) (34,322) (354,048) ------- --------- ------- --------- Net increase/(decrease)................................... 12,814 $ 133,393 38,394 $ 396,728 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 5,976 $ 62,233 13,937 $ 143,773 Issued as reinvestment of dividends....................... 148 1,545 303 3,153 Redeemed.................................................. (7,080) (73,632) (6,355) (65,589) ------- --------- ------- --------- Net increase/(decrease)................................... (956) $ (9,854) 7,885 $ 81,337 ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... -- $ -- --* --* Issued as reinvestment of dividends....................... 1 8 2 24 Redeemed.................................................. (28) (287) (18) (186) ------- --------- ------- --------- Net increase/(decrease)................................... (27) $ (279) (16) $ (162) ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 999 $ 10,415 5,378 $ 55,405 Issued as reinvestment of dividends....................... 23 238 64 637 Redeemed.................................................. (1,991) (20,714) (1,629) (16,830) ------- --------- ------- --------- Net increase/(decrease)................................... (969) $ (10,061) 3,813 $ 39,212 ======= ========= ======= ========= Total net increase/(decrease)............................. 10,862 $ 113,199 50,076 $ 517,115 ======= ========= ======= =========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 164 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 17,704 $ 183,834 34,883 $ 358,515 Issued in exchange for assets of: Bank of America Arizona Tax-Exempt Fund (see Note 8)...... -- -- 3,037 31,309 Bank of America National Intermediate Tax-Exempt Bond Fund (see Note 8)............................................ -- -- 35,674 367,794 Bank of America National Short-Intermediate Tax-Exempt Fund (see Note 8)....................................... -- -- 28,819 297,125 Bank of America OregonTax-Exempt Income Fund (see Note 8)...................................................... -- -- 1,078 11,110 Issued as reinvestment of dividends....................... 30 312 184 1,891 Redeemed.................................................. (28,591) (295,953) (29,984) (308,514) ------- --------- ------- --------- Net increase/(decrease)................................... (10,857) $(111,807) 73,691 $ 759,230 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 3,119 $ 32,497 7,717 $ 79,375 Shares issued upon conversion from Investor B Shares...... 37 371 11 108 Issued as reinvestment of dividends....................... 33 340 61 640 Redeemed.................................................. (4,003) (41,530) (6,369) (65,605) ------- --------- ------- --------- Net increase/(decrease)................................... (814) $ (8,322) 1,420 $ 14,518 ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 76 $ 796 265 $ 2,735 Issued as reinvestment of dividends....................... 5 53 10 107 Shares redeemed upon conversion into Investor A Shares.... (37) (371) (11) (108) Redeemed.................................................. (85) (876) (77) (797) ------- --------- ------- --------- Net increase/(decrease)................................... (41) $ (398) 187 $ 1,937 ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 98 $ 1,023 664 $ 6,852 Issued as reinvestment of dividends....................... 5 53 7 76 Redeemed.................................................. (254) (2,628) (128) (1,325) ------- --------- ------- --------- Net increase/(decrease)................................... (151) $ (1,552) 543 $ 5,603 ======= ========= ======= ========= Total net increase/(decrease)............................. (11,863) $(122,079) 75,841 $ 781,288 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 165 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MUNICIPAL INCOME SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 4,151 $ 45,903 13,145 $ 144,745 Issued as reinvestment of dividends....................... 19 214 39 435 Redeemed.................................................. (8,876) (98,574) (19,806) (218,230) ------ -------- ------- --------- Net increase/(decrease)................................... (4,706) $(52,457) (6,622) $ (73,050) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 3,231 $ 35,743 7,637 $ 83,898 Shares issued upon conversion from Investor B Shares...... --* 1 19 212 Shares issued upon conversion from Investor C Shares...... 2 20 -- -- Issued as reinvestment of dividends....................... 43 473 116 1,281 Redeemed.................................................. (4,112) (45,558) (8,407) (92,606) ------ -------- ------- --------- Net increase/(decrease)................................... (836) $ (9,321) (635) $ (7,215) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 29 $ 332 200 $ 2,214 Issued as reinvestment of dividends....................... 7 76 18 195 Shares redeemed upon conversion into Investor A Shares.... --* (1) (19) (212) Redeemed.................................................. (74) (822) (203) (2,230) ------ -------- ------- --------- Net increase/(decrease)................................... (38) $ (415) (4) $ (33) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... --* $ 2 82 $ 907 Issued as reinvestment of dividends....................... 1 16 4 42 Shares redeemed upon conversion into Investor A Shares.... (2) (20) -- -- Redeemed.................................................. (5) (52) (62) (682) ------ -------- ------- --------- Net increase/(decrease)................................... (6) $ (54) 24 $ 267 ====== ======== ======= ========= Total net increase/(decrease)............................. (5,586) $(62,247) (7,237) $ (80,031) ====== ======== ======= =========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 166 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
CALIFORNIA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 PERIOD ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES:+ Sold...................................................... 1,815 $ 17,958 2,014 $ 20,166 Issued in exchange for assets of Bank of America Shorter-Term California Tax-Exempt Fund (see Note 8).... -- -- 13,038 130,380 Issued as reinvestment of dividends....................... 43 434 78 773 Redeemed.................................................. (1,419) (14,170) (2,731) (27,499) ------ -------- ------ -------- Net increase/(decrease)................................... 439 $ 4,222 12,399 $123,820 ====== ======== ====== ======== INVESTOR A SHARES:+ Sold...................................................... 726 $ 7,271 822 $ 8,248 Issued as reinvestment of dividends....................... 16 165 10 98 Redeemed.................................................. (144) (1,431) (45) (449) ------ -------- ------ -------- Net increase/(decrease)................................... 598 $ 6,005 787 $ 7,897 ====== ======== ====== ======== INVESTOR B SHARES:+ Sold...................................................... 35 $ 353 98 $ 983 Issued as reinvestment of dividends....................... 1 13 1 12 Redeemed.................................................. --* --* (5) (49) ------ -------- ------ -------- Net increase/(decrease)................................... 36 $ 366 94 $ 946 ====== ======== ====== ======== INVESTOR C SHARES:+ Sold...................................................... 181 $ 1,832 308 $ 3,107 Issued as reinvestment of dividends....................... 4 41 2 25 Redeemed.................................................. (107) (1,056) (9) (98) ------ -------- ------ -------- Net increase/(decrease)................................... 78 $ 817 301 $ 3,034 ====== ======== ====== ======== Total net increase/(decrease)............................. 1,151 $ 11,410 13,581 $135,697 ====== ======== ====== ========
- --------------- + Primary A, Investor A, Investor B and Investor C shares commenced operations on August 19, 2002, September 9, 2002, August 28, 2002, and September 11, 2002, respectively. *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 167 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
CALIFORNIA MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,043 $ 7,830 4,191 $ 31,651 Issued in exchange for assets of Bank of America Longer-Term California Tax-Exempt Fund (see Note 8)..... -- -- 16,257 122,576 Issued as reinvestment of dividends....................... 96 737 33 247 Redeemed.................................................. (2,664) (20,080) (5,891) (44,558) ------ -------- ------ -------- Net increase/(decrease)................................... (1,525) $(11,513) 14,590 $109,916 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 3,046 $ 23,268 6,170 $ 45,995 Issued as reinvestment of dividends....................... 316 2,404 479 3,616 Redeemed.................................................. (3,794) (28,763) (7,855) (58,766) ------ -------- ------ -------- Net increase/(decrease)................................... (432) $ (3,091) (1,206) $ (9,155) ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 111 $ 853 324 $ 2,432 Issued as reinvestment of dividends....................... 20 150 28 210 Redeemed.................................................. (74) (558) (142) (1,064) ------ -------- ------ -------- Net increase/(decrease)................................... 57 $ 445 210 $ 1,578 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 147 $ 1,135 445 $ 3,357 Issued as reinvestment of dividends....................... 12 88 16 120 Redeemed.................................................. (102) (753) (256) (1,935) ------ -------- ------ -------- Net increase/(decrease)................................... 57 $ 470 205 $ 1,542 ====== ======== ====== ======== Total net increase/(decrease)............................. (1,843) $(13,689) 13,799 $103,881 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 168 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
FLORIDA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,257 $ 24,494 4,917 $ 52,994 Issued as reinvestment of dividends....................... 4 44 3 31 Redeemed.................................................. (3,034) (32,530) (4,959) (53,387) ------ -------- ------ -------- Net increase/(decrease)................................... (773) $ (7,992) (39) $ (362) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 413 $ 4,476 1,537 $ 16,589 Shares issued upon conversion from Investor B Shares...... --* 2 30 322 Issued as reinvestment of dividends....................... 12 134 24 260 Redeemed.................................................. (577) (6,233) (700) (7,525) ------ -------- ------ -------- Net increase/(decrease)................................... (152) $ (1,621) 891 $ 9,646 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 69 $ 747 444 $ 4,785 Issued as reinvestment of dividends....................... 7 77 14 156 Shares redeemed upon conversion into Investor A Shares.... --* (2) (30) (322) Redeemed.................................................. (105) (1,125) (71) (765) ------ -------- ------ -------- Net increase/(decrease)................................... (29) $ (303) 357 $ 3,854 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 223 $ 2,425 661 $ 7,155 Issued as reinvestment of dividends....................... 4 46 5 55 Redeemed.................................................. (51) (556) (20) (217) ------ -------- ------ -------- Net increase/(decrease)................................... 176 $ 1,915 646 $ 6,993 ====== ======== ====== ======== Total net increase/(decrease)............................. (778) $ (8,001) 1,855 $ 20,131 ====== ======== ====== ========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 169 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
FLORIDA MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 377 $ 3,844 904 $ 9,122 Issued as reinvestment of dividends....................... 4 37 13 130 Redeemed.................................................. (1,385) (13,912) (1,798) (18,107) ------ -------- ------ -------- Net increase/(decrease)................................... (1,004) $(10,031) (881) $ (8,855) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 338 $ 3,377 607 $ 6,093 Shares issued upon conversion from Investor B Shares...... 20 196 140 1,413 Issued as reinvestment of dividends....................... 48 488 134 1,349 Redeemed.................................................. (463) (4,644) (968) (9,717) ------ -------- ------ -------- Net increase/(decrease)................................... (57) $ (583) (87) $ (862) ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 65 $ 669 290 $ 2,921 Issued as reinvestment of dividends....................... 10 101 28 285 Shares redeemed upon conversion into Investor A Shares.... (20) (196) (140) (1,413) Redeemed.................................................. (96) (962) (79) (783) ------ -------- ------ -------- Net increase/(decrease)................................... (41) $ (388) 99 $ 1,010 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 40 $ 399 46 $ 463 Issued as reinvestment of dividends....................... --* 2 --* 4 Redeemed.................................................. (8) (74) (22) (229) ------ -------- ------ -------- Net increase/(decrease)................................... 32 $ 327 24 $ 238 ====== ======== ====== ======== Total net increase/(decrease)............................. (1,070) $(10,675) (845) $ (8,469) ====== ======== ====== ========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 170 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
GEORGIA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 490 $ 5,351 2,537 $ 27,603 Issued in exchange for Primary A Shares of Nations Georgia Municipal Bond Fund (see Note 8)........................ -- -- 1,425 15,392 Issued as reinvestment of dividends....................... 1 8 1 16 Redeemed.................................................. (1,733) (18,764) (2,751) (29,888) ------ -------- ------ -------- Net increase/(decrease)................................... (1,242) $(13,405) 1,212 $ 13,123 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 302 $ 3,265 915 $ 9,971 Issued in exchange for Investor A Shares of Nations Georgia Municipal Bond Fund (see Note 8)................ -- -- 110 1,184 Shares issued upon conversion from Investor B Shares...... 4 42 93 1,006 Issued as reinvestment of dividends....................... 22 233 45 493 Redeemed.................................................. (215) (2,363) (622) (6,772) ------ -------- ------ -------- Net increase/(decrease)................................... 113 $ 1,177 541 $ 5,882 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 49 $ 542 119 $ 1,304 Issued in exchange for Investor B Shares of Nations Georgia Municipal Bond Fund (see Note 8)................ -- -- 658 7,105 Issued as reinvestment of dividends....................... 9 93 20 215 Shares redeemed upon conversion into Investor A Shares.... (4) (42) (93) (1,006) Redeemed.................................................. (101) (1,104) (510) (5,571) ------ -------- ------ -------- Net increase/(decrease)................................... (47) $ (511) 194 $ 2,047 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 148 $ 1,621 342 $ 3,725 Issued in exchange for Investor C Shares of Nations Georgia Municipal Bond Fund (see Note 8)................ -- -- 24 259 Issued as reinvestment of dividends....................... 5 55 8 86 Redeemed.................................................. (141) (1,533) (30) (327) ------ -------- ------ -------- Net increase/(decrease)................................... 12 $ 143 344 $ 3,743 ====== ======== ====== ======== Total net increase/(decrease)............................. (1,164) $(12,596) 2,291 $ 24,795 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 171 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
KANSAS MUNICIPAL INCOME SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 148 $ 1,543 460 $ 4,767 Issued as reinvestment of dividends....................... 8 81 15 153 Redeemed.................................................. (652) (6,789) (1,592) (16,528) ---- ------- ------ -------- Net increase/(decrease)................................... (496) $(5,165) (1,117) $(11,608) ==== ======= ====== ======== INVESTOR A SHARES: Sold...................................................... 38 $ 397 489 $ 5,142 Issued as reinvestment of dividends....................... 5 48 9 97 Redeemed.................................................. (165) (1,741) (184) (1,899) ---- ------- ------ -------- Net increase/(decrease)................................... (122) $(1,296) 314 $ 3,340 ==== ======= ====== ======== INVESTOR B SHARES: Sold...................................................... 3 $ 30 22 $ 231 Issued as reinvestment of dividends....................... --* 4 --* 3 Redeemed.................................................. --* --* --* --* ---- ------- ------ -------- Net increase/(decrease)................................... 3 $ 34 22 $ 234 ==== ======= ====== ======== INVESTOR C SHARES:+ Sold...................................................... -- $ -- 42 $ 436 Issued as reinvestment of dividends....................... 1 7 --* 4 Redeemed.................................................. (7) (70) --* --* ---- ------- ------ -------- Net increase/(decrease)................................... (6) $ (63) 42 $ 440 ==== ======= ====== ======== Total net increase/(decrease)............................. (621) $(6,490) (739) $ (7,594) ==== ======= ====== ========
- --------------- + Investor C Shares commenced operations on July 9, 2002. *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 172 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MARYLAND INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,098 $ 12,386 2,146 $ 23,954 Issued in exchange for Primary A Shares of Nations Maryland Municipal Bond (see Note 8).................... -- -- 1,651 18,132 Issued as reinvestment of dividends....................... 6 85 18 196 Redeemed.................................................. (1,448) (16,205) (2,561) (28,581) ------ -------- ------ -------- Net increase/(decrease)................................... (344) $ (3,734) 1,254 $ 13,701 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 479 $ 5,370 721 $ 8,039 Issued in exchange for Investor A Shares of Nations Maryland Municipal Bond (see Note 8).................... -- -- 291 3,196 Shares issued upon conversion from Investor B Shares...... --* 4 266 2,954 Issued as reinvestment of dividends....................... 36 404 64 720 Redeemed.................................................. (410) (4,577) (390) (4,334) ------ -------- ------ -------- Net increase/(decrease)................................... 105 $ 1,201 952 $ 10,575 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 65 $ 737 150 $ 1,681 Issued in exchange for Investor B Shares of Nations Maryland Municipal Bond (see Note 8).................... -- -- 1,586 17,414 Issued as reinvestment of dividends....................... 18 206 41 460 Shares redeemed upon conversion into Investor A Shares.... --* (4) (266) (2,954) Redeemed.................................................. (158) (1,772) (262) (2,910) ------ -------- ------ -------- Net increase/(decrease)................................... (75) $ (833) 1,249 $ 13,691 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 26 $ 291 89 $ 988 Issued in exchange for Investor C Shares of Nations Maryland Municipal Bond (see Note 8).................... -- -- 36 399 Issued as reinvestment of dividends....................... 3 29 5 52 Redeemed.................................................. (21) (238) (16) (181) ------ -------- ------ -------- Net increase/(decrease)................................... 8 $ 82 114 $ 1,258 ====== ======== ====== ======== Total net increase/(decrease)............................. (306) $ (3,284) 3,569 $ 39,225 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 173 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
NORTH CAROLINA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,130 $ 12,273 3,772 $ 40,493 Issued in exchange for Primary A Shares of Nations North Carolina Municipal Bond (see Note 8).................... -- -- 2,127 22,457 Issued as reinvestment of dividends....................... 4 39 3 38 Redeemed.................................................. (1,519) (16,390) (4,109) (44,129) ------ -------- ------ -------- Net increase/(decrease)................................... (385) $ (4,078) 1,793 $ 18,859 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 276 $ 2,994 782 $ 8,395 Issued in exchange for Investor A Shares of Nations North Carolina Municipal Bond (see Note 8).................... -- -- 385 4,062 Shares issued upon conversion from Investor B Shares...... 47 512 171 1,824 Issued as reinvestment of dividends....................... 32 345 53 572 Redeemed.................................................. (264) (2,875) (357) (3,829) ------ -------- ------ -------- Net increase/(decrease)................................... 91 $ 976 1,034 $ 11,024 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 75 $ 815 121 $ 1,297 Issued in exchange for Investor B Shares of Nations North Carolina Municipal Bond (see Note 8).................... -- -- 1,443 15,236 Issued as reinvestment of dividends....................... 18 199 39 423 Shares redeemed upon conversion into Investor A Shares.... (47) (512) (171) (1,824) Redeemed.................................................. (109) (1,167) (302) (3,242) ------ -------- ------ -------- Net increase/(decrease)................................... (63) $ (665) 1,130 $ 11,890 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 60 $ 656 76 $ 826 Issued in exchange for Investor C Shares of Nations North Carolina Municipal Bond (see Note 8).................... -- -- 5 50 Issued as reinvestment of dividends....................... 1 10 1 8 Redeemed.................................................. (39) (422) (6) (67) ------ -------- ------ -------- Net increase/(decrease)................................... 22 $ 244 76 $ 817 ====== ======== ====== ======== Total net increase/(decrease)............................. (335) $ (3,523) 4,033 $ 42,590 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 174 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SOUTH CAROLINA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,089 $ 11,695 2,588 $ 27,699 Issued in exchange for Primary A Shares of Nations South Carolina Municipal Bond (see Note 8).................... -- -- 1,589 16,840 Issued as reinvestment of dividends....................... 11 114 16 168 Redeemed.................................................. (1,285) (13,860) (4,184) (44,724) ------ -------- ------ -------- Net increase/(decrease)................................... (185) $ (2,051) 9 $ (17) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 529 $ 5,737 1,311 $ 14,015 Issued in exchange for Investor A Shares of Nations South Carolina Municipal Bond (see Note 8).................... -- -- 98 1,035 Shares issued upon conversion from Investor B Shares...... 62 668 200 2,129 Issued as reinvestment of dividends....................... 35 377 48 517 Redeemed.................................................. (694) (7,482) (632) (6,753) ------ -------- ------ -------- Net increase/(decrease)................................... (68) $ (700) 1,025 $ 10,943 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 79 $ 852 128 $ 1,370 Issued in exchange for Investor B Shares of Nations South Carolina Municipal Bond (see Note 8).................... -- -- 665 7,048 Issued as reinvestment of dividends....................... 15 161 27 291 Shares redeemed upon conversion into Investor A Shares.... (62) (668) (200) (2,129) Redeemed.................................................. (92) (989) (254) (2,731) ------ -------- ------ -------- Net increase/(decrease)................................... (60) $ (644) 366 $ 3,849 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 235 $ 2,550 628 $ 6,768 Issued in exchange for Investor C Shares of Nations South Carolina Municipal Bond (see Note 8).................... -- -- 63 671 Issued as reinvestment of dividends....................... 7 72 9 98 Redeemed.................................................. (265) (2,835) (122) (1,317) ------ -------- ------ -------- Net increase/(decrease)................................... (23) $ (213) 578 $ 6,220 ====== ======== ====== ======== Total net increase/(decrease)............................. (336) $ (3,608) 1,978 $ 20,995 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 175 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
TENNESSEE INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 956 $ 10,136 1,767 $ 18,707 Issued in exchange for Primary A Shares of Nations Tennessee Municipal Bond (see Note 8)................... -- -- 410 4,264 Issued as reinvestment of dividends....................... 1 6 4 43 Redeemed.................................................. (1,696) (18,004) (1,029) (10,821) ------ -------- ------ -------- Net increase/(decrease)................................... (739) $ (7,862) 1,152 $ 12,193 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 359 $ 3,849 565 $ 5,936 Issued in exchange for Investor A Shares of Nations Tennessee Municipal Bond (see Note 8)................... -- -- 131 1,362 Shares issued upon conversion from Investor B Shares...... --* 3 63 668 Issued as reinvestment of dividends....................... 18 191 36 379 Redeemed.................................................. (428) (4,536) (308) (3,242) ------ -------- ------ -------- Net increase/(decrease)................................... (51) $ (493) 487 $ 5,103 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 6 $ 65 95 $ 1,005 Issued in exchange for Investor B Shares of Nations Tennessee Municipal Bond (see Note 8)................... -- -- 280 2,907 Issued as reinvestment of dividends....................... 4 43 9 92 Shares redeemed upon conversion into Investor A Shares.... --* (3) (63) (668) Redeemed.................................................. (44) (465) (37) (384) ------ -------- ------ -------- Net increase/(decrease)................................... (34) $ (360) 284 $ 2,952 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 42 $ 453 106 $ 1,122 Issued in exchange for Investor C Shares of Nations Tennessee Municipal Bond (see Note 8)................... -- -- 27 280 Issued as reinvestment of dividends....................... 1 16 2 23 Redeemed.................................................. (27) (288) (36) (382) ------ -------- ------ -------- Net increase/(decrease)................................... 16 $ 181 99 $ 1,043 ====== ======== ====== ======== Total net increase/(decrease)............................. (808) $ (8,534) 2,022 $ 21,291 ====== ======== ====== ========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 176 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
TEXAS INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 797 $ 8,360 1,728 $ 18,006 Issued in exchange for Primary A Shares of Nations Texas Municipal Bond (see Note 8)............................. -- -- 698 7,182 Issued as reinvestment of dividends....................... 1 11 2 24 Redeemed.................................................. (1,169) (12,265) (3,417) (35,541) ------ -------- ------ -------- Net increase/(decrease)................................... (371) $ (3,894) (989) $(10,329) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 73 $ 786 412 $ 4,296 Issued in exchange for Investor A Shares of Nations Texas Municipal Bond (see Note 8)............................. -- -- 34 351 Shares issued upon conversion from Investor B Shares...... 1 7 58 598 Issued as reinvestment of dividends....................... 5 53 11 116 Redeemed.................................................. (187) (1,955) (162) (1,696) ------ -------- ------ -------- Net increase/(decrease)................................... (108) $ (1,109) 353 $ 3,665 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 13 $ 135 10 $ 103 Issued in exchange for Investor B Shares of Nations Texas Municipal Bond (see Note 8)............................................ -- -- 458 4,709 Issued as reinvestment of dividends....................... 3 33 9 96 Shares redeemed upon conversion into Investor A Shares.... (1) (7) (58) (598) Redeemed.................................................. (63) (664) (125) (1,303) ------ -------- ------ -------- Net increase/(decrease)................................... (48) $ (503) 294 $ 3,007 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 10 $ 104 1 $ 9 Issued in exchange for Investor C Shares of Nations Texas Municipal Bond (see Note 8)............................................ -- -- 2 20 Issued as reinvestment of dividends....................... --* --* --* 2 Redeemed.................................................. (6) (58) (1) (6) ------ -------- ------ -------- Net increase/(decrease)................................... 4 $ 46 2 $ 25 ====== ======== ====== ======== Total net increase/(decrease)............................... (523) $ (5,460) (340) $ (3,632) ====== ======== ====== ========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 177 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
VIRGINIA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,112 $ 23,645 5,138 $ 56,838 Issued in exchange for Primary A Shares of Nations Virginia Municipal Bond (see Note 8).................... -- -- 2,035 22,225 Issued as reinvestment of dividends....................... 3 30 9 104 Redeemed.................................................. (4,518) (50,174) (3,480) (38,530) ------ -------- ------ -------- Net increase/(decrease)................................... (2,403) $(26,499) 3,702 $ 40,637 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 574 $ 6,420 797 $ 8,813 Issued in exchange for Investor A Shares of Nations Virginia Municipal Bond (see Note 8).................... -- -- 137 1,501 Shares issued upon conversion from Investor B Shares...... 1 14 224 2,469 Issued as reinvestment of dividends....................... 70 781 138 1,532 Redeemed.................................................. (513) (5,712) (422) (4,698) ------ -------- ------ -------- Net increase/(decrease)................................... 132 $ 1,503 874 $ 9,617 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 49 $ 545 214 $ 2,378 Issued in exchange for Investor B Shares of Nations Virginia Municipal Bond (see Note 8).................... -- -- 823 8,985 Issued as reinvestment of dividends....................... 16 183 34 378 Shares redeemed upon conversion into Investor A Shares.... (1) (14) (224) (2,469) Redeemed.................................................. (137) (1,513) (129) (1,418) ------ -------- ------ -------- Net increase/(decrease)................................... (73) $ (799) 718 $ 7,854 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 77 $ 857 90 $ 990 Issued in exchange for Investor C Shares of Nations Virginia Municipal Bond (see Note 8).................... -- -- 5 56 Issued as reinvestment of dividends....................... 2 26 3 35 Redeemed.................................................. (11) (125) (28) (312) ------ -------- ------ -------- Net increase/(decrease)................................... 68 $ 758 70 $ 769 ====== ======== ====== ======== Total net increase/(decrease)............................. (2,276) $(25,037) 5,364 $ 58,877 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 178 [This page intentionally left blank] 179 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- SHORT-TERM MUNICIPAL INCOME PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $10.40 $0.11 $ 0.04 $0.15 $(0.11) Year ended 3/31/2003#..................... 10.13 0.26 0.27 0.53 (0.26) Year ended 3/31/2002*#.................... 10.14 0.34 0.01 0.35 (0.36) Year ended 3/31/2001#..................... 9.94 0.44 0.20 0.64 (0.44) Year ended 3/31/2000#..................... 10.10 0.41 (0.16) 0.25 (0.41) Year ended 3/31/1999#..................... 10.05 0.41 0.05 0.46 (0.41) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $10.40 $0.10 $ 0.05 $0.15 $(0.10) Year ended 3/31/2003#..................... 10.13 0.23 0.27 0.50 (0.23) Year ended 3/31/2002*#.................... 10.14 0.30 0.03 0.33 (0.34) Year ended 3/31/2001#..................... 9.94 0.41 0.21 0.62 (0.42) Year ended 3/31/2000#..................... 10.10 0.39 (0.16) 0.23 (0.39) Year ended 3/31/1999#..................... 10.05 0.39 0.05 0.44 (0.39) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $10.40 $0.06 $ 0.04 $0.10 $(0.06) Year ended 3/31/2003#..................... 10.13 0.16 0.27 0.43 (0.16) Year ended 3/31/2002*#.................... 10.14 0.27 (0.02) 0.25 (0.26) Year ended 3/31/2001#..................... 9.94 0.34 0.20 0.54 (0.34) Year ended 3/31/2000#..................... 10.10 0.36 (0.16) 0.20 (0.36) Year ended 3/31/1999#..................... 10.05 0.38 0.05 0.43 (0.38) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $10.40 $0.06 $ 0.05 $0.11 $(0.06) Year ended 3/31/2003#..................... 10.13 0.15 0.28 0.43 (0.16) Year ended 3/31/2002*#.................... 10.14 0.19 0.06 0.25 (0.26) Year ended 3/31/2001#..................... 9.94 0.34 0.20 0.54 (0.34) Year ended 3/31/2000#..................... 10.10 0.32 (0.16) 0.16 (0.32) Year ended 3/31/1999#..................... 10.05 0.40 0.02 0.42 (0.37)
- --------------- * Effective April 1, 2001, the Short-Term Municipal Income Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.33% to 3.37%. Investor A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.08% to 3.12%. Investor B Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 2.33% to 2.37%. Investor C Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 2.33% to 2.37%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 180 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE NET TURNOVER AVERAGE END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS - -------------------------------------------------------------------------------------------------- $10.44 1.46% $910,553 0.40%(a)+ 2.58%+ 7% 0.58%+ 10.40 5.27 773,148 0.40(a) 2.46 11 0.59 10.13 3.54 364,372 0.40(a) 3.37 12 0.63 10.14 6.61 105,004 0.40(a) 4.41 38 0.66 9.94 2.58 94,393 0.40(a) 4.16 90 0.77 10.10 4.71 79,002 0.40(a) 4.11 53 0.80 $10.45 1.43% $201,549 0.65%(a)+ 2.33%+ 7% 0.83%+ 10.40 5.00 210,556 0.65(a) 2.21 11 0.84 10.13 3.27 125,262 0.65(a) 3.12 12 0.88 10.14 6.34 23,613 0.65(a) 4.16 38 0.91 9.94 2.35 22,415 0.63(a) 3.93 90 1.02 10.10 4.50 35,805 0.60(a) 3.91 53 1.05 $10.44 0.95% $ 1,499 1.40%(a)+ 1.58%+ 7% 1.58%+ 10.40 4.22 1,771 1.40(a) 1.46 11 1.59 10.13 2.51 1,884 1.40(a) 2.37 12 1.63 10.14 5.56 3,463 1.40(a) 3.41 38 1.66 9.94 1.99 7,030 0.94(a) 3.62 90 1.77 10.10 4.34 13,931 0.75(a) 3.76 53 1.80 $10.45 1.05% $ 72,823 1.40%(a)+ 1.58%+ 7% 1.58%+ 10.40 4.21 82,563 1.40(a) 1.46 11 1.59 10.13 2.47 41,822 1.40(a) 2.37 12 1.63 10.14 5.55 1,417 1.40(a) 3.41 38 1.66 9.94 1.57 1,616 1.40(a) 3.16 90 1.77 10.10 4.29 2,583 0.83(a) 3.68 53 1.80
SEE NOTES TO FINANCIAL STATEMENTS. 181 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 ------------------------------------------------------------------------- INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $10.36 $0.21 $ 0.03 $ 0.24 $(0.21) Year ended 3/31/2003#..................... 10.00 0.44 0.38 0.82 (0.44) Year ended 3/31/2002*#.................... 10.15 0.47 (0.15) 0.32 (0.47) Year ended 3/31/2001...................... 9.78 0.47 0.37 0.84 (0.47) Year ended 3/31/2000#..................... 10.30 0.47 (0.50) (0.03) (0.47) Year ended 3/31/1999...................... 10.30 0.47 0.07 0.54 (0.47) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $10.36 $0.20 $ 0.03 $ 0.23 $(0.20) Year ended 3/31/2003#..................... 10.00 0.42 0.38 0.80 (0.42) Year ended 3/31/2002*#.................... 10.15 0.45 (0.16) 0.29 (0.44) Year ended 3/31/2001...................... 9.78 0.46 0.36 0.82 (0.45) Year ended 3/31/2000#..................... 10.30 0.45 (0.50) (0.05) (0.45) Year ended 3/31/1999...................... 10.30 0.45 0.07 0.52 (0.45) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $10.36 $0.16 $ 0.03 $ 0.19 $(0.16) Year ended 3/31/2003#..................... 10.00 0.33 0.39 0.72 (0.34) Year ended 3/31/2002*#.................... 10.15 0.36 (0.14) 0.22 (0.37) Year ended 3/31/2001...................... 9.78 0.37 0.37 0.74 (0.37) Year ended 3/31/2000 #.................... 10.30 0.38 (0.50) (0.12) (0.38) Year ended 3/31/1999...................... 10.30 0.39 0.07 0.46 (0.39) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $10.36 $0.16 $ 0.03 $ 0.19 $(0.16) Year ended 3/31/2003#..................... 10.00 0.33 0.39 0.72 (0.34) Year ended 3/31/2002*#.................... 10.16 0.35 (0.14) 0.21 (0.37) Year ended 3/31/2001...................... 9.78 0.37 0.38 0.75 (0.37) Year ended 3/31/2000#..................... 10.30 0.38 (0.50) (0.12) (0.38) Year ended 3/31/1999...................... 10.30 0.40 0.09 0.49 (0.42) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.02) Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000#..................... (0.02) Year ended 3/31/1999...................... (0.07) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.02) Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000#..................... (0.02) Year ended 3/31/1999...................... (0.07) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.02) Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000 #.................... (0.02) Year ended 3/31/1999...................... (0.07) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.02) Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000#..................... (0.02) Year ended 3/31/1999...................... (0.07)
- --------------- * Effective April 1, 2001, the Intermediate Municipal Bond Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 4.53% to 4.61%. Investor A Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 4.28% to 4.36%. Investor B Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 3.53% to 3.61%. Investor C Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 3.53% to 3.61%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 182 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE NET TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------- $(0.21) $10.39 2.34% $1,858,900 0.50%(a)+ 4.03%+ 9% 0.68%+ (0.46) 10.36 8.34 1,966,401 0.50 4.27 15 0.68 (0.47) 10.00 3.17 1,160,559 0.50(a) 4.61 14 0.68 (0.47) 10.15 8.81 1,196,121 0.50(a) 4.73 17 0.68 (0.49) 9.78 (0.27) 849,966 0.50(a) 4.75 30 0.70 (0.54) 10.30 5.33 918,367 0.50(a) 4.55 40 0.68 $(0.20) $10.39 2.21% $ 36,297 0.75%(a)+ 3.78%+ 9% 0.93%+ (0.44) 10.36 8.07 44,628 0.75 4.02 15 0.93 (0.44) 10.00 2.91 28,868 0.75(a) 4.36 14 0.93 (0.45) 10.15 8.54 20,728 0.75(a) 4.48 17 0.93 (0.47) 9.78 (0.49) 19,782 0.73(a) 4.52 30 0.95 (0.52) 10.30 5.12 16,149 0.70(a) 4.35 40 0.93 $(0.16) $10.39 1.83% $ 5,800 1.50%(a)+ 3.03%+ 9% 1.68%+ (0.36) 10.36 7.26 6,200 1.50 3.27 15 1.68 (0.37) 10.00 2.14 4,110 1.50(a) 3.61 14 1.68 (0.37) 10.15 7.74 2,563 1.50(a) 3.73 17 1.68 (0.40) 9.78 (1.18) 2,733 1.42(a) 3.83 30 1.70 (0.46) 10.30 4.49 2,556 1.30(a) 3.75 40 1.68 $(0.16) $10.39 1.83% $ 6,150 1.50%(a)+ 3.03%+ 9% 1.68%+ (0.36) 10.36 7.25 7,702 1.50 3.27 15 1.68 (0.37) 10.00 2.03 2,006 1.50(a) 3.61 14 1.68 (0.37) 10.16 7.84 528 1.50(a) 3.73 17 1.68 (0.40) 9.78 (1.19) 539 1.50(a) 3.75 30 1.70 (0.49) 10.30 4.80 1,511 1.21(a) 3.84 40 1.68
SEE NOTES TO FINANCIAL STATEMENTS. 183 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 ------------------------------------------------------------------------- MUNICIPAL INCOME PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $11.07 $0.25 $ 0.03 $ 0.28 $(0.25) Year ended 3/31/2003#..................... 10.83 0.53 0.24 0.77 (0.53) Year ended 3/31/2002*#.................... 11.14 0.55 (0.31) 0.24 (0.55) Year ended 3/31/2001#..................... 10.69 0.56 0.45 1.01 (0.56) Year ended 3/31/2000#..................... 11.48 0.54 (0.78) (0.24) (0.54) Year ended 3/31/1999...................... 11.46 0.54 0.07 0.61 (0.54) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $11.06 $0.24 $ 0.04 $ 0.28 $(0.24) Year ended 3/31/2003#..................... 10.83 0.50 0.23 0.73 (0.50) Year ended 3/31/2002*#.................... 11.14 0.53 (0.31) 0.22 (0.53) Year ended 3/31/2001#..................... 10.68 0.53 0.46 0.99 (0.53) Year ended 3/31/2000#..................... 11.48 0.52 (0.79) (0.27) (0.52) Year ended 3/31/1999...................... 11.46 0.52 0.07 0.59 (0.52) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $11.06 $0.19 $ 0.04 $ 0.23 $(0.19) Year ended 3/31/2003#..................... 10.83 0.42 0.23 0.65 (0.42) Year ended 3/31/2002*#.................... 11.13 0.44 (0.30) 0.14 (0.44) Year ended 3/31/2001#..................... 10.69 0.45 0.44 0.89 (0.45) Year ended 3/31/2000#..................... 11.48 0.44 (0.78) (0.34) (0.44) Year ended 3/31/1999...................... 11.46 0.44 0.08 0.52 (0.45) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $11.07 $0.19 $ 0.03 $ 0.22 $(0.19) Year ended 3/31/2003#..................... 10.84 0.42 0.23 0.65 (0.42) Year ended 3/31/2002*#.................... 11.14 0.44 (0.30) 0.14 (0.44) Year ended 3/31/2001#..................... 10.69 0.45 0.45 0.90 (0.45) Year ended 3/31/2000#..................... 11.48 0.44 (0.78) (0.34) (0.44) Year ended 3/31/1999...................... 11.46 0.46 0.07 0.53 (0.46) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- MUNICIPAL INCOME PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... (0.05) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... (0.05) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... (0.05) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... (0.05)
- --------------- * Effective April 1, 2001, the Municipal Income Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 4.95% to 5.01%. Investor A Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 4.70% to 4.76%. Investor B Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 3.95% to 4.01%. Investor C Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 3.95% to 4.01%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 184 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ----------------------------------------------------------------------------------------------------------------- $(0.25) $11.10 2.55% $699,397 0.60%(a)+ 4.48%+ 5% 0.79%+ (0.53) 11.07 7.19 749,047 0.60(a) 4.77 25 0.79 (0.55) 10.83 2.21 805,149 0.60(a) 5.01 13 0.79 (0.56) 11.14 9.80 881,611 0.60(a) 5.13 18 0.79 (0.55) 10.69 (2.08) 552,650 0.60(a) 4.99 36 0.82 (0.59) 11.48 5.42 635,629 0.60(a) 4.71 11 0.80 $(0.24) $11.10 2.51% $ 35,704 0.85%(a)+ 4.23%+ 5% 1.04%+ (0.50) 11.06 6.83 44,823 0.85(a) 4.52 25 1.04 (0.53) 10.83 1.95 50,765 0.85(a) 4.76 13 1.04 (0.53) 11.14 9.55 38,591 0.83(a) 4.90 18 1.04 (0.53) 10.68 (2.28) 35,937 0.83(a) 4.76 36 1.07 (0.57) 11.48 5.21 28,625 0.80(a) 4.51 11 1.05 $(0.19) $11.10 2.13% $ 8,874 1.60%(a)+ 3.48%+ 5% 1.79%+ (0.42) 11.06 6.04 9,263 1.60(a) 3.77 25 1.79 (0.44) 10.83 1.28 9,116 1.60(a) 4.01 13 1.79 (0.45) 11.13 8.62 8,930 1.60(a) 4.13 18 1.79 (0.45) 10.69 (2.99) 8,795 1.53(a) 4.06 36 1.82 (0.50) 11.48 4.53 13,810 1.45(a) 3.86 11 1.80 $(0.19) $11.10 2.04% $ 1,543 1.60%(a)+ 3.48%+ 5% 1.79%+ (0.42) 11.07 6.03 1,591 1.60(a) 3.77 25 1.79 (0.44) 10.84 1.28 1,294 1.60(a) 4.01 13 1.79 (0.45) 11.14 8.71 1,318 1.60(a) 4.13 18 1.79 (0.45) 10.69 (3.03) 1,418 1.60(a) 3.99 36 1.82 (0.51) 11.48 4.64 2,150 1.36(a) 3.95 11 1.80
SEE NOTES TO FINANCIAL STATEMENTS. 185 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 ------------------------------------------------------------------------- CALIFORNIA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES* Six months ended 9/30/2003# (unaudited)... $10.00 $0.17 $0.05 $0.22 $(0.17) Period ended 3/31/2003#................... 10.00 0.22 0.07 0.29 (0.22) INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)... $10.02 $0.16 $0.05 $0.21 $(0.16) Period ended 3/31/2003#................... 10.00 0.18 0.09 0.27 (0.18) INVESTOR B SHARES* Six months ended 9/30/2003# (unaudited)... $10.01 $0.12 $0.05 $0.17 $(0.12) Period ended 3/31/2003#................... 10.00 0.15 0.08 0.23 (0.15) INVESTOR C SHARES* Six months ended 9/30/2003# (unaudited)... $10.02 $0.12 $0.05 $0.17 $(0.12) Period ended 3/31/2003#................... 10.00 0.14 0.09 0.23 (0.14) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- CALIFORNIA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES* Six months ended 9/30/2003# (unaudited)... $(0.04) Period ended 3/31/2003#................... (0.07) INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)... $(0.04) Period ended 3/31/2003#................... (0.07) INVESTOR B SHARES* Six months ended 9/30/2003# (unaudited)... $(0.04) Period ended 3/31/2003#................... (0.07) INVESTOR C SHARES* Six months ended 9/30/2003# (unaudited)... $(0.04) Period ended 3/31/2003#................... (0.07)
- --------------- * California Intermediate Municipal Bond Primary A, Investor A, Investor B and Investor C shares commenced operations on August 19, 2002, September 9, 2002, August 29, 2002, and September 11, 2002 respectively. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 186 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ----------------------------------------------------------------------------------------------------------------- $(0.21) $10.01 2.23% $128,499 0.50%+ 3.44%+ 2% 0.75%+ (0.29) 10.00 2.94 124,009 0.50(a)+ 3.61+ 19 0.77+ $(0.20) $10.03 2.10% $ 13,897 0.75%+ 3.19%+ 2% 1.00%+ (0.25) 10.02 1.42 7,884 0.75(a)+ 3.36+ 19 1.02+ $(0.16) $10.02 1.72% $ 1,309 1.50%+ 2.44%+ 2% 1.75%+ (0.22) 10.01 1.91 945 1.50(a)+ 2.61+ 19 1.77+ $(0.16) $10.03 1.72% $ 3,800 1.50%+ 2.44%+ 2% 1.75%+ (0.21) 10.02 0.96 3,017 1.50(a)+ 2.61+ 19 1.77+
SEE NOTES TO FINANCIAL STATEMENTS. 187 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 ------------------------------------------------------------------------- CALIFORNIA MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $7.60 $0.17 $(0.02) $ 0.15 $(0.17) Year ended 3/31/2003#..................... 7.28 0.35 0.32 0.67 (0.34) Year ended 3/31/2002*#.................... 7.45 0.35 (0.14) 0.21 (0.35) Year ended 3/31/2001#..................... 7.13 0.37 0.33 0.70 (0.36) Period ended 3/31/2000***................. 7.51 0.30 (0.36) (0.06) (0.30) INVESTOR A SHARES** Six months ended 9/30/2003# (unaudited)... $7.61 $0.16 $(0.02) $ 0.14 $(0.16) Year ended 3/31/2003#..................... 7.29 0.33 0.32 0.65 (0.32) Year ended 3/31/2002*#.................... 7.47 0.33 (0.15) 0.18 (0.33) Year ended 3/31/2001#..................... 7.14 0.35 0.34 0.69 (0.34) Period ended 3/31/2000.................... 7.50 0.31 (0.34) (0.03) (0.31) Period ended 5/14/1999.................... 7.60 0.07 (0.10) (0.03) (0.07) Year ended 2/28/1999...................... 7.64 0.34 0.10 0.44 (0.34) INVESTOR B SHARES** Six months ended 9/30/2003# (unaudited)... $7.61 $0.13 $(0.01) $ 0.12 $(0.13) Year ended 3/31/2003#..................... 7.29 0.27 0.33 0.60 (0.27) Year ended 3/31/2002*#.................... 7.47 0.27 (0.14) 0.13 (0.28) Year ended 3/31/2001#..................... 7.14 0.30 0.34 0.64 (0.29) Period ended 3/31/2000.................... 7.51 0.27 (0.35) (0.08) (0.27) Period ended 5/14/1999.................... 7.61 0.06 (0.10) (0.04) (0.06) Period ended 2/28/1999****................ 7.61 0.16 0.14 0.30 (0.16) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $7.59 $0.13 $(0.02) $ 0.11 $(0.13) Year ended 3/31/2003#..................... 7.27 0.27 0.33 0.60 (0.27) Year ended 3/31/2002*#.................... 7.44 0.27 (0.13) 0.14 (0.28) Year ended 3/31/2001#..................... 7.12 0.30 0.33 0.63 (0.29) Period ended 3/31/2000****................ 7.31 0.19 (0.17) 0.02 (0.19) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- CALIFORNIA MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $(0.05) Year ended 3/31/2003#..................... (0.01) Year ended 3/31/2002*#.................... (0.03) Year ended 3/31/2001#..................... (0.02) Period ended 3/31/2000***................. (0.02) INVESTOR A SHARES** Six months ended 9/30/2003# (unaudited)... $(0.05) Year ended 3/31/2003#..................... (0.01) Year ended 3/31/2002*#.................... (0.03) Year ended 3/31/2001#..................... (0.02) Period ended 3/31/2000.................... (0.02) Period ended 5/14/1999.................... -- Year ended 2/28/1999...................... (0.14) INVESTOR B SHARES** Six months ended 9/30/2003# (unaudited)... $(0.05) Year ended 3/31/2003#..................... (0.01) Year ended 3/31/2002*#.................... (0.03) Year ended 3/31/2001#..................... (0.02) Period ended 3/31/2000.................... (0.02) Period ended 5/14/1999.................... -- Period ended 2/28/1999****................ (0.14) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $(0.05) Year ended 3/31/2003#..................... (0.01) Year ended 3/31/2002*#.................... (0.03) Year ended 3/31/2001#..................... (0.02) Period ended 3/31/2000****................ (0.02)
- --------------- * Effective April 1, 2001, the California Municipal Bond Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.69% to 4.71%. Investor A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.44% to 4.46%. Investor B Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.69% to 3.71%. Investor C Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.69% to 3.71%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. ** The financial information for the fiscal periods through May 14, 1999 reflect the financial information for the Pacific Horizon California Municipal Bond Fund A and B Shares, which were reorganized into the California Municipal Bond Investor A and Investor B Shares, respectively, as of May 21,1999. Prior to May 21,1999, the Fund's investment adviser was Bank of America National Trust and Savings Association. Effective May 21, 1999, its investment adviser became Banc of America Advisors, LLC and its investment sub-adviser became Banc of America Capital Management, LLC *** As of July 22, 1996, the Fund designated the existing series of shares as "A" Shares. ****California Municipal Bond Primary A, Investor B and Investor C Shares commenced operations on May 21, 1999, July 15, 1998 and July 29, 1999, respectively. + 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 interest expense on the operating expense ratio was less than 0.01%. (b) The effect of the custodial expense offset (see 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. 188 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------- $(0.22) $7.53 1.97% $158,144 0.60%(a)+ 4.48%+ 5% 0.80%+ (0.35) 7.60 9.37 171,155 0.60(a) 4.56 6 0.82 (0.38) 7.28 2.85 57,803 0.60 4.71 8 0.85 (0.38) 7.45 10.05 37,285 0.60(a) 5.04 20 0.82 (0.32) 7.13 (0.66) 21,654 0.60+(a) 4.70+ 34 0.79+ $(0.21) $7.54 1.84% $138,275 0.85%(a)+ 4.23%+ 5% 1.05%+ (0.33) 7.61 9.09 142,798 0.85(a) 4.31 6 1.07 (0.36) 7.29 2.45 145,567 0.85 4.46 8 1.10 (0.36) 7.47 9.93 149,282 0.83(a) 4.81 20 1.07 (0.33) 7.14 (0.46) 157,672 0.80+(a) 4.50+ 34 1.04+ (0.07) 7.50 (0.42) 206,000 0.93+ 4.40+ 1 0.96+ (0.48) 7.60 5.94 219,000 0.93 4.42 42 0.93 $(0.18) $7.55 1.59% $ 9,738 1.60%(a)+ 3.48%+ 5% 1.80%+ (0.28) 7.61 8.27 9,390 1.60(a) 3.56 6 1.82 (0.31) 7.29 1.68 7,458 1.60 3.71 8 1.85 (0.31) 7.47 9.15 5,729 1.55(a) 4.09 20 1.82 (0.29) 7.14 (1.16) 4,206 1.45+(a) 3.85+ 34 1.79+ (0.06) 7.51 (0.57) 3,000 1.66+ 3.63+ 1 1.69+ (0.30) 7.61 4.09 2,000 1.70+(b) 3.67+ 42 1.71+(b) $(0.18) $7.52 1.47% $ 5,346 1.60%(a)+ 3.48%+ 5% 1.80%+ (0.28) 7.59 8.30 4,961 1.60(a) 3.56 6 1.82 (0.31) 7.27 1.82 3,265 1.60 3.71 8 1.85% (0.31) 7.44 8.97 1,191 1.60(a) 4.04 20 1.82 (0.21) 7.12 0.30 258 1.60+(a) 3.70+ 34 1.79+
SEE NOTES TO FINANCIAL STATEMENTS. 189 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 ------------------------------------------------------------------------- FLORIDA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $10.81 $0.21 $ 0.01 $ 0.22 $(0.21) Year ended 3/31/2003#..................... 10.55 0.46 0.26 0.72 (0.46) Year ended 3/31/2002*#.................... 10.70 0.50 (0.15) 0.35 (0.50) Year ended 3/31/2001...................... 10.34 0.50 0.37 0.87 (0.51) Year ended 3/31/2000#..................... 10.79 0.50 (0.45) 0.05 (0.50) Year ended 3/31/1999...................... 10.77 0.50 0.02 0.52 (0.50) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $10.80 $0.20 $ 0.02 $ 0.22 $(0.20) Year ended 3/31/2003#..................... 10.54 0.43 0.26 0.69 (0.43) Year ended 3/31/2002*#.................... 10.69 0.47 (0.15) 0.32 (0.47) Year ended 3/31/2001...................... 10.33 0.48 0.36 0.84 (0.48) Year ended 3/31/2000#..................... 10.79 0.48 (0.46) 0.02 (0.48) Year ended 3/31/1999...................... 10.77 0.48 0.02 0.50 (0.48) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $10.81 $0.16 $ 0.01 $ 0.17 $(0.16) Year ended 3/31/2003#..................... 10.55 0.35 0.26 0.61 (0.35) Year ended 3/31/2002*#.................... 10.70 0.39 (0.15) 0.24 (0.39) Year ended 3/31/2001...................... 10.34 0.40 0.36 0.76 (0.40) Year ended 3/31/2000#..................... 10.79 0.41 (0.45) (0.04) (0.41) Year ended 3/31/1999...................... 10.77 0.42 0.02 0.44 (0.42) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $10.82 $0.16 $ 0.02 $ 0.18 $(0.16) Year ended 3/31/2003#..................... 10.56 0.35 0.26 0.61 (0.35) Year ended 3/31/2002*#.................... 10.72 0.31 (0.08) 0.23 (0.39) Year ended 3/31/2001...................... 10.36 0.40 0.36 0.76 (0.40) Year ended 3/31/2000#..................... 10.79 0.40 (0.43) (0.03) (0.40) Year ended 3/31/1999...................... 10.77 0.41 0.03 0.44 (0.42)
- --------------- * Effective April 1, 2001, the Florida Intermediate Municipal Bond Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.61% to 4.65%. Investor A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.36% to 4.40%. Investor B Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.61% to 3.65%. Investor C Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.61% to 3.65%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 190 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF NET ASSETS OPERATING INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - -------------------------------------------------------------------------------------------------- $10.82 2.07% $208,587 0.50%(a)+ 3.90%+ 12% 0.71%+ 10.81 6.94 216,624 0.50(a) 4.29 20 0.72 10.55 3.28 211,928 0.50(a) 4.65 15 0.73 10.70 8.59 240,441 0.50(a) 4.82 6 0.71 10.34 0.54 207,704 0.50(a) 4.80 12 0.74 10.79 4.95 234,530 0.50 4.65 14 0.72 $10.82 2.04% $ 16,741 0.75%(a)+ 3.65%+ 12% 0.96%+ 10.80 6.68 18,358 0.75(a) 4.04 20 0.97 10.54 3.03 8,530 0.75(a) 4.40 15 0.98 10.69 8.33 5,319 0.75(a) 4.57 6 0.96 10.33 0.22 9,695 0.73(a) 4.57 12 0.99 10.79 4.74 12,783 0.70 4.45 14 0.97 $10.82 1.56% $ 9,400 1.50%(a)+ 2.90%+ 12% 1.71%+ 10.81 5.87 9,700 1.50(a) 3.29 20 1.72 10.55 2.26 5,700 1.50(a) 3.65 15 1.73 10.70 7.52 4,429 1.50(a) 3.82 6 1.71 10.34 (0.38) 4,639 1.41(a) 3.89 12 1.74 10.79 4.11 5,090 1.30 3.85 14 1.72 $10.84 1.65% $ 11,081 1.50%(a)+ 2.90%+ 12% 1.71%+ 10.82 5.85 9,160 1.50(a) 3.29 20 1.72 10.56 2.12 2,116 1.50(a) 3.65 15 1.73 10.72 7.49 172 1.50(a) 3.82 6 1.71 10.36 (0.26) 117 1.50(a) 3.80 12 1.74 10.79 4.10 1,416 1.36 3.79 14 1.72
SEE NOTES TO FINANCIAL STATEMENTS. 191 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 ------------------------------------------------------------------------- FLORIDA MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $10.11 $0.22 $(0.01) $ 0.21 $(0.22) Year ended 3/31/2003#..................... 9.81 0.46 0.48 0.94 (0.46) Year ended 3/31/2002*#.................... 9.98 0.47 (0.12) 0.35 (0.47) Year ended 3/31/2001...................... 9.53 0.48 0.46 0.94 (0.48) Year ended 3/31/2000...................... 9.99 0.48 (0.46) 0.02 (0.48) Year ended 3/31/1999...................... 9.99 0.48 0.00 0.48 (0.48) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $10.11 $0.21 $(0.01) $ 0.20 $(0.21) Year ended 3/31/2003#..................... 9.81 0.43 0.48 0.91 (0.43) Year ended 3/31/2002*#.................... 9.98 0.45 (0.12) 0.33 (0.45) Year ended 3/31/2001...................... 9.53 0.45 0.46 0.91 (0.45) Year ended 3/31/2000...................... 9.99 0.46 (0.46) -- (0.46) Year ended 3/31/1999...................... 9.99 0.46 0.00 0.46 (0.46) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $10.11 $0.17 $(0.01) $ 0.16 $(0.17) Year ended 3/31/2003#..................... 9.81 0.35 0.49 0.84 (0.36) Year ended 3/31/2002*#.................... 9.98 0.37 (0.12) 0.25 (0.37) Year ended 3/31/2001...................... 9.53 0.38 0.46 0.84 (0.38) Year ended 3/31/2000...................... 9.99 0.39 (0.46) (0.07) (0.39) Year ended 3/31/1999...................... 9.99 0.40 0.00 0.40 (0.40) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $10.10 $0.17 $(0.01) $ 0.16 $(0.17) Year ended 3/31/2003#..................... 9.80 0.35 0.49 0.84 (0.36) Year ended 3/31/2002*#.................... 9.97 0.36 (0.11) 0.25 (0.37) Year ended 3/31/2001...................... 9.53 0.37 0.46 0.83 (0.38) Year ended 3/31/2000...................... 9.99 0.38 (0.46) (0.08) (0.38) Year ended 3/31/1999#..................... 9.99 0.37 0.03 0.40 (0.40) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- FLORIDA MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $(0.02) Year ended 3/31/2003#..................... (0.18) Year ended 3/31/2002*#.................... (0.05) Year ended 3/31/2001...................... (0.01) Year ended 3/31/2000...................... -- Year ended 3/31/1999...................... -- INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $(0.02) Year ended 3/31/2003#..................... (0.18) Year ended 3/31/2002*#.................... (0.05) Year ended 3/31/2001...................... (0.01) Year ended 3/31/2000...................... -- Year ended 3/31/1999...................... -- INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $(0.02) Year ended 3/31/2003#..................... (0.18) Year ended 3/31/2002*#.................... (0.05) Year ended 3/31/2001...................... (0.01) Year ended 3/31/2000...................... -- Year ended 3/31/1999...................... -- INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $(0.02) Year ended 3/31/2003#..................... (0.18) Year ended 3/31/2002*#.................... (0.05) Year ended 3/31/2001...................... (0.01) Year ended 3/31/2000...................... -- Year ended 3/31/1999#..................... --
- --------------- * Effective April 1, 2001, the Florida Municipal Bond Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.71% to 4.76%. Investor A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.46% to 4.51%. Investor B Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.71% to 3.76%. Investor C Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.71% to 3.76%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 192 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------ $(0.24) $10.08 2.06% $58,341 0.60%(a)+ 4.34%+ 3% 0.86%+ (0.64) 10.11 9.76 68,698 0.60(a) 4.53 21 0.85 (0.52) 9.81 3.55 75,300 0.60(a) 4.76 5 0.87 (0.49) 9.98 10.13 92,327 0.60(a) 4.93 7 0.83 (0.48) 9.53 0.26 79,335 0.60(a) 4.98 18 0.86 (0.48) 9.99 4.90 77,197 0.60(a) 4.80 16 0.85 $(0.23) $10.08 1.93% $43,355 0.85%(a)+ 4.09%+ 3% 1.11%+ (0.61) 10.11 9.49 44,073 0.85(a) 4.28 21 1.10 (0.50) 9.81 3.29 43,619 0.85(a) 4.51 5 1.12 (0.46) 9.98 9.86 45,034 0.85(a) 4.68 7 1.08 (0.46) 9.53 0.04 49,439 0.83(a) 4.75 18 1.11 (0.46) 9.99 4.69 65,373 0.80(a) 4.60 16 1.10 $(0.19) $10.08 1.55% $11,298 1.60%(a)+ 3.34%+ 3% 1.86%+ (0.54) 10.11 8.67 11,745 1.60(a) 3.53 21 1.85 (0.42) 9.81 2.52 10,419 1.60(a) 3.76 5 1.87 (0.39) 9.98 9.05 10,811 1.60(a) 3.93 7 1.83 (0.39) 9.53 (0.67) 12,802 1.53(a) 4.05 18 1.86 (0.40) 9.99 4.01 15,435 1.45(a) 3.95 16 1.85 $(0.19) $10.07 1.55% $ 851 1.60%(a)+ 3.34%+ 3% 1.86%+ (0.54) 10.10 8.68 525 1.60(a) 3.53 21 1.85 (0.42) 9.80 2.51 278 1.60(a) 3.76 5 1.87 (0.39) 9.97 8.92 64 1.60(a) 3.93 7 1.83 (0.38) 9.53 (0.73) 23 1.60(a) 3.98 18 1.86 (0.40) 9.99 4.01 23 1.53(a) 3.87 16 1.85
SEE NOTES TO FINANCIAL STATEMENTS. 193 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 ------------------------------------------------------------------------- GEORGIA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $10.92 $0.23 $ 0.03 $ 0.26 $(0.23) Year ended 3/31/2003#..................... 10.69 0.49 0.23 0.72 (0.49) Year ended 3/31/2002*#.................... 10.82 0.50 (0.13) 0.37 (0.50) Year ended 3/31/2001...................... 10.42 0.51 0.40 0.91 (0.51) Year ended 3/31/2000...................... 10.94 0.50 (0.51) (0.01) (0.50) Year ended 3/31/1999...................... 10.92 0.49 0.07 0.56 (0.50) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $10.92 $0.21 $ 0.03 $ 0.24 $(0.21) Year ended 3/31/2003#..................... 10.69 0.46 0.23 0.69 (0.46) Year ended 3/31/2002*#.................... 10.82 0.48 (0.13) 0.35 (0.48) Year ended 3/31/2001...................... 10.42 0.48 0.40 0.88 (0.48) Year ended 3/31/2000...................... 10.94 0.48 (0.52) (0.04) (0.47) Year ended 3/31/1999...................... 10.92 0.47 0.06 0.53 (0.47) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $10.92 $0.17 $ 0.03 $ 0.20 $(0.17) Year ended 3/31/2003#..................... 10.69 0.39 0.22 0.61 (0.38) Year ended 3/31/2002*#.................... 10.82 0.39 (0.12) 0.27 (0.40) Year ended 3/31/2001...................... 10.42 0.40 0.40 0.80 (0.40) Year ended 3/31/2000...................... 10.94 0.40 (0.51) (0.11) (0.40) Year ended 3/31/1999...................... 10.92 0.41 0.06 0.47 (0.41) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $10.92 $0.17 $ 0.03 $ 0.20 $(0.17) Year ended 3/31/2003#..................... 10.69 0.37 0.24 0.61 (0.38) Year ended 3/31/2002*#.................... 10.82 0.39 (0.12) 0.27 (0.40) Year ended 3/31/2001...................... 10.42 0.40 0.40 0.80 (0.40) Year ended 3/31/2000...................... 10.94 0.39 (0.51) (0.12) (0.39) Year ended 3/31/1999...................... 10.92 0.41 0.05 0.46 (0.40) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- GEORGIA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.01) Year ended 3/31/1999...................... (0.04) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.01) Year ended 3/31/1999...................... (0.04) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.01) Year ended 3/31/1999...................... (0.04) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.01) Year ended 3/31/1999...................... (0.04)
- --------------- * Effective April 1, 2001, the Georgia Intermediate Municipal Bond Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.61% to 4.65%. Investor A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.36% to 4.40%. Investor B Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.61% to 3.65%. Investor C Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.61% to 3.65%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 194 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------- $(0.23) $10.95 2.38% $137,617 0.50%(a)+ 4.14%+ 5% 0.73%+ (0.49) 10.92 6.81 150,797 0.50(a) 4.47 15 0.73 (0.50) 10.69 3.50 134,638 0.50(a) 4.65 6 0.76 (0.51) 10.82 8.93 128,158 0.50(a) 4.80 10 0.73 (0.51) 10.42 (0.02) 121,948 0.50(a) 4.69 28 0.78 (0.54) 10.94 5.20 132,016 0.50 4.51 14 0.73 $(0.21) $10.95 2.25% $ 20,262 0.75%(a)+ 3.89%+ 5% 0.98%+ (0.46) 10.92 6.54 18,979 0.75(a) 4.22 15 0.98 (0.48) 10.69 3.24 12,791 0.75(a) 4.40 6 1.01 (0.48) 10.82 8.66 11,872 0.75(a) 4.55 10 0.98 (0.48) 10.42 (0.27) 13,244 0.73(a) 4.46 28 1.03 (0.51) 10.94 4.99 19,674 0.70 4.31 14 0.98 $(0.17) $10.95 1.87% $ 8,648 1.50%(a)+ 3.14%+ 5% 1.73%+ (0.38) 10.92 5.76 9,135 1.50(a) 3.47 15 1.73 (0.40) 10.69 2.47 6,865 1.50(a) 3.65 6 1.76 (0.40) 10.82 7.85 6,773 1.50(a) 3.80 10 1.73 (0.41) 10.42 (0.96) 6,812 1.41(a) 3.78 28 1.78 (0.45) 10.94 4.37 8,310 1.30 3.71 14 1.73 $(0.17) $10.95 1.87% $ 5,334 1.50%(a)+ 3.14%+ 5% 1.73%+ (0.38) 10.92 5.74 5,190 1.50(a) 3.47 15 1.73 (0.40) 10.69 2.46 1,400 1.50(a) 3.65 6 1.76 (0.40) 10.82 7.96 770 1.50(a) 3.80 10 1.73 (0.40) 10.42 (1.13) 764 1.50(a) 3.69 28 1.78 (0.44) 10.94 4.35 886 1.31 3.70 14 1.73
SEE NOTES TO FINANCIAL STATEMENTS. 195 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 ------------------------------------------------------------------------- KANSAS MUNICIPAL INCOME PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $10.46 $0.20 $ 0.01 $0.21 $(0.20) Year ended 3/31/2003#..................... 10.16 0.42 0.32 0.74 (0.42) Year ended 3/31/2002*#.................... 10.33 0.45 (0.16) 0.29 (0.45) Period ended 3/31/2001**#................. 10.00 0.46 0.18 0.64 (0.31) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $10.45 $0.18 $ 0.02 $0.20 $(0.18) Year ended 3/31/2003#..................... 10.15 0.40 0.32 0.72 (0.40) Year ended 3/31/2002*#.................... 10.33 0.43 (0.17) 0.26 (0.43) Period ended 3/31/2001**#................. 10.00 0.47 0.13 0.60 (0.27) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $10.44 $0.14 $ 0.02 $0.16 $(0.14) Year ended 3/31/2003#..................... 10.14 0.32 0.32 0.64 (0.32) Year ended 3/31/2002*#.................... 10.32 0.35 (0.17) 0.18 (0.35) Period ended 3/31/2001**#................. 10.00 0.33 0.19 0.52 (0.20) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $10.43 $0.14 $ 0.02 $0.16 $(0.14) Period ended 3/31/2003#................... 10.00 0.22 0.45 0.67 (0.22) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- KANSAS MUNICIPAL INCOME PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $(0.02) Year ended 3/31/2003#..................... (0.02) Year ended 3/31/2002*#.................... (0.01) Period ended 3/31/2001**#................. 0.00 INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $(0.02) Year ended 3/31/2003#..................... (0.02) Year ended 3/31/2002*#.................... (0.01) Period ended 3/31/2001**#................. 0.00 INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $(0.02) Year ended 3/31/2003#..................... (0.02) Year ended 3/31/2002*#.................... (0.01) Period ended 3/31/2001**#................. 0.00 INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $(0.02) Period ended 3/31/2003#................... (0.02)
- --------------- * Effective April 1, 2001, the Kansas Municipal Income Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.39% to 4.40.%. Investor A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.14% to 4.15%. Investor B Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.39% to 3.40%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. **Kansas Municipal Income Primary A, Investor A, Investor B and Investor C Shares commenced operations on July 17, 2000, August 14, 2000, August 29, 2000 and July 9, 2002, respectively. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 196 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------ $(0.22) $10.45 2.01% $ 84,500 0.60%(a)+ 3.75%+ 7% 0.88%+ (0.44) 10.46 7.45 89,718 0.60(a) 4.07 42 0.90 (0.46) 10.16 2.84 98,506 0.60(a) 4.40 13 0.91 (0.31) 10.33 6.60 111,226 0.60+(a) 4.44+(a) 17 0.93+(a) $(0.20) $10.45 1.98% $ 5,212 0.85%(a)+ 3.50%+ 7% 1.13%+ (0.42) 10.45 7.19 6,489 0.85(a) 3.82 42 1.15 (0.44) 10.15 2.49 3,115 0.85(a) 4.15 13 1.16 (0.27) 10.33 5.66 646 0.85+(a) 4.19+(a) 17 1.18+(a) $(0.16) $10.44 1.60% $ 297 1.60%(a)+ 2.75%+ 7% 1.88%+ (0.34) 10.44 6.39 262 1.60(a) 3.07 42 1.90 (0.36) 10.14 1.62 25 1.60(a) 3.40 13 1.91 (0.20) 10.32 4.78 262 1.60+(a) 3.44+(a) 17 1.93+(a) $(0.16) $10.43 1.60% $ 378 1.60%(a)+ 2.75%+ 7% 1.88%+ (0.24) 10.43 3.04 443 1.60(a)+ 3.07+ 42 1.90+
SEE NOTES TO FINANCIAL STATEMENTS. 197 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 ------------------------------------------------------------------------- MARYLAND INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $11.22 $0.22 $ 0.02 $ 0.24 $(0.22) Year ended 3/31/2003#..................... 10.84 0.47 0.38 0.85 (0.47) Year ended 3/31/2002*#.................... 11.01 0.50 (0.17) 0.33 (0.50) Year ended 3/31/2001#..................... 10.58 0.51 0.43 0.94 (0.51) Year ended 3/31/2000...................... 11.07 0.50 (0.48) 0.02 (0.50) Year ended 3/31/1999...................... 11.01 0.50 0.06 0.56 (0.50) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $11.22 $0.21 $ 0.02 $ 0.23 $(0.21) Year ended 3/31/2003#..................... 10.84 0.44 0.38 0.82 (0.44) Year ended 3/31/2002*#.................... 11.01 0.47 (0.17) 0.30 (0.47) Year ended 3/31/2001#..................... 10.58 0.48 0.43 0.91 (0.48) Year ended 3/31/2000...................... 11.07 0.47 (0.48) (0.01) (0.47) Year ended 3/31/1999...................... 11.01 0.48 0.06 0.54 (0.48) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $11.22 $0.17 $ 0.02 $ 0.19 $(0.17) Year ended 3/31/2003#..................... 10.84 0.37 0.37 0.74 (0.36) Year ended 3/31/2002*#.................... 11.01 0.38 (0.16) 0.22 (0.39) Year ended 3/31/2001#..................... 10.58 0.40 0.43 0.83 (0.40) Year ended 3/31/2000...................... 11.07 0.40 (0.48) (0.08) (0.40) Year ended 3/31/1999...................... 11.01 0.41 0.06 0.47 (0.41) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $11.22 $0.17 $ 0.02 $ 0.19 $(0.17) Year ended 3/31/2003#..................... 10.84 0.36 0.38 0.74 (0.36) Year ended 3/31/2002*#.................... 11.01 0.35 (0.13) 0.22 (0.39) Year ended 3/31/2001#..................... 10.58 0.40 0.43 0.83 (0.40) Year ended 3/31/2000...................... 11.07 0.39 (0.48) (0.09) (0.39) Year ended 3/31/1999...................... 11.01 0.41 0.06 0.47 (0.41) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- MARYLAND INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.01) Year ended 3/31/1999...................... -- INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.01) Year ended 3/31/1999...................... -- INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.01) Year ended 3/31/1999...................... -- INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.01) Year ended 3/31/1999...................... --
- --------------- * Effective April 1, 2001, the Maryland Intermediate Municipal Bond Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 4.49% to 4.54%. Investor A Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 4.24% to 4.29%. Investor B Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 3.49% to 3.54%. Investor C Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 3.49% to 3.54%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 198 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------ $(0.22) $11.24 2.20% $189,175 0.50%(a)+ 3.99%+ 8% 0.72%+ (0.47) 11.22 7.95 192,668 0.50(a) 4.22 15 0.72 (0.50) 10.84 3.02 172,600 0.50(a) 4.54 16 0.74 (0.51) 11.01 9.08 178,304 0.50 4.72 13 0.71 (0.51) 10.58 0.17 169,218 0.50 4.65 21 0.76 (0.50) 11.07 5.17 183,356 0.50 4.51 22 0.74 $(0.21) $11.24 2.07% $ 33,408 0.75%(a)+ 3.74%+ 8% 0.97%+ (0.44) 11.22 7.69 32,174 0.75(a) 3.97 15 0.97 (0.47) 10.84 2.76 20,760 0.75(a) 4.29 16 0.99 (0.48) 11.01 8.81 17,478 0.75 4.47 13 0.96 (0.48) 10.58 (0.06) 16,454 0.73 4.42 21 1.01 (0.48) 11.07 4.96 17,166 0.70 4.31 22 0.99 $(0.17) $11.24 1.69% $ 19,765 1.50%(a)+ 2.99%+ 8% 1.72%+ (0.36) 11.22 6.89 20,565 1.50(a) 3.22 15 1.72 (0.39) 10.84 1.99 6,318 1.50(a) 3.54 16 1.74 (0.40) 11.01 8.01 5,120 1.50 3.72 13 1.71 (0.41) 10.58 (0.74) 5,662 1.42 3.73 21 1.76 (0.41) 11.07 4.33 5,989 1.30 3.71 22 1.74 $(0.17) $11.24 1.69% $ 2,859 1.50%(a)+ 2.99%+ 8% 1.72%+ (0.36) 11.22 6.88 2,776 1.50(a) 3.22 15 1.72 (0.39) 10.84 1.98 1,454 1.50(a) 3.54 16 1.74 (0.40) 11.01 8.01 301 1.50 3.72 13 1.71 (0.40) 10.58 (0.82) 335 1.50 3.65 21 1.76 (0.41) 11.07 4.31 561 1.32 3.69 22 1.74
SEE NOTES TO FINANCIAL STATEMENTS. 199 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 ------------------------------------------------------------------------- NORTH CAROLINA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $10.85 $0.22 $ --## $ 0.22 $(0.22) Year ended 3/31/2003#..................... 10.43 0.46 0.42 0.88 (0.46) Year ended 3/31/2002*#.................... 10.58 0.49 (0.16) 0.33 (0.48) Year ended 3/31/2001#..................... 10.21 0.49 0.37 0.86 (0.49) Year ended 3/31/2000...................... 10.71 0.48 (0.48) 0.00 (0.48) Year ended 3/31/1999...................... 10.70 0.49 0.04 0.53 (0.49) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $10.85 $0.21 $ 0.01 $ 0.22 $(0.21) Year ended 3/31/2003#..................... 10.44 0.44 0.41 0.85 (0.44) Year ended 3/31/2002*#.................... 10.58 0.46 (0.14) 0.32 (0.46) Year ended 3/31/2001#..................... 10.21 0.47 0.36 0.83 (0.46) Year ended 3/31/2000...................... 10.71 0.46 (0.48) (0.02) (0.46) Year ended 3/31/1999...................... 10.70 0.47 0.04 0.51 (0.47) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $10.85 $0.17 $ --## $ 0.17 $(0.17) Year ended 3/31/2003#..................... 10.43 0.36 0.42 0.78 (0.36) Year ended 3/31/2002*#.................... 10.58 0.38 (0.15) 0.23 (0.38) Year ended 3/31/2001#..................... 10.21 0.38 0.37 0.75 (0.38) Year ended 3/31/2000...................... 10.71 0.39 (0.48) (0.09) (0.39) Year ended 3/31/1999...................... 10.70 0.40 0.04 0.44 (0.40) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $10.85 $0.17 $ 0.01 $ 0.18 $(0.17) Year ended 3/31/2003#..................... 10.44 0.36 0.41 0.77 (0.36) Year ended 3/31/2002*#.................... 10.58 0.34 (0.10) 0.24 (0.38) Year ended 3/31/2001#..................... 10.21 0.39 0.36 0.75 (0.38) Year ended 3/31/2000...................... 10.71 0.38 (0.48) (0.10) (0.38) Year ended 3/31/1999...................... 10.70 0.42 0.02 0.44 (0.40) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- NORTH CAROLINA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.02) Year ended 3/31/1999...................... (0.03) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.02) Year ended 3/31/1999...................... (0.03) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.02) Year ended 3/31/1999...................... (0.03) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.02) Year ended 3/31/1999...................... (0.03)
- --------------- * Effective April 1, 2001, the North Carolina Intermediate Municipal Bond Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 4.48% to 4.58%. Investor A Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 4.23% to 4.33%. Investor B Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 3.48% to 3.58%. Investor C Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 3.48% to 3.58%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 200 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------ $(0.22) $10.85 2.05% $199,054 0.50%(a)+ 4.04%+ 8% 0.72%+ (0.46) 10.85 8.59 203,170 0.50 4.30 9 0.72 (0.48) 10.43 3.20 176,671 0.50(a) 4.58 13 0.74 (0.49) 10.58 8.61 180,126 0.50(a) 4.71 19 0.71 (0.50) 10.21 0.05 175,650 0.50(a) 4.67 19 0.76 (0.52) 10.71 5.03 193,398 0.50 4.57 16 0.71 $(0.21) $10.86 2.01% $ 24,677 0.75%(a)+ 3.79%+ 8% 0.97%+ (0.44) 10.85 8.21 23,677 0.75 4.05 9 0.97 (0.46) 10.44 3.04 11,975 0.75(a) 4.33 13 0.99 (0.46) 10.58 8.34 10,332 0.75(a) 4.46 19 0.96 (0.48) 10.21 (0.18) 9,684 0.73(a) 4.44 19 1.01 (0.50) 10.71 4.82 10,099 0.70 4.37 16 0.96 $(0.17) $10.85 1.54% $ 17,741 1.50%(a)+ 3.04%+ 8% 1.72%+ (0.36) 10.85 7.51 18,414 1.50 3.30 9 1.72 (0.38) 10.43 2.17 5,917 1.50(a) 3.58 13 1.74 (0.38) 10.58 7.54 5,261 1.50(a) 3.71 19 1.71 (0.41) 10.21 (0.87) 5,212 1.41(a) 3.76 19 1.76 (0.43) 10.71 4.20 6,671 1.30 3.77 16 1.71 $(0.17) $10.86 1.63% $ 1,821 1.50%(a)+ 3.04%+ 8% 1.72%+ (0.36) 10.85 7.40 1,585 1.50 3.30 9 1.72 (0.38) 10.44 2.25 734 1.50(a) 3.58 13 1.74 (0.38) 10.58 7.54 79 1.50(a) 3.71 19 1.71 (0.40) 10.21 (0.95) 88 1.50(a) 3.67 19 1.76 (0.43) 10.71 4.18 109 1.31 3.76 16 1.71
SEE NOTES TO FINANCIAL STATEMENTS. 201 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 ------------------------------------------------------------------------- SOUTH CAROLINA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $10.74 $0.23 $ 0.08 $ 0.31 $(0.23) Year ended 3/31/2003#..................... 10.50 0.50 0.24 0.74 (0.50) Year ended 3/31/2002*#.................... 10.64 0.52 (0.14) 0.38 (0.52) Year ended 3/31/2001#..................... 10.27 0.52 0.37 0.89 (0.52) Year ended 3/31/2000#..................... 10.79 0.51 (0.51) -- (0.51) Year ended 3/31/1999...................... 10.79 0.51 0.04 0.55 (0.51) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $10.73 $0.22 $ 0.09 $ 0.31 $(0.22) Year ended 3/31/2003#..................... 10.50 0.46 0.24 0.70 (0.47) Year ended 3/31/2002*#.................... 10.64 0.50 (0.14) 0.36 (0.50) Year ended 3/31/2001#..................... 10.27 0.49 0.37 0.86 (0.49) Year ended 3/31/2000#..................... 10.79 0.49 (0.51) (0.02) (0.49) Year ended 3/31/1999...................... 10.79 0.49 0.04 0.53 (0.49) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $10.73 $0.18 $ 0.09 $ 0.27 $(0.18) Year ended 3/31/2003#..................... 10.50 0.40 0.22 0.62 (0.39) Year ended 3/31/2002*#.................... 10.64 0.42 (0.14) 0.28 (0.42) Year ended 3/31/2001#..................... 10.27 0.41 0.37 0.78 (0.41) Year ended 3/31/2000#..................... 10.79 0.41 (0.51) (0.10) (0..41) Year ended 3/31/1999...................... 10.79 0.43 0.04 0.47 (0.43) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $10.74 $0.18 $ 0.09 $ 0.27 $(0.18) Year ended 3/31/2003#..................... 10.51 0.38 0.24 0.62 (0.39) Year ended 3/31/2002*#.................... 10.64 0.41 (0.12) 0.29 (0.42) Year ended 3/31/2001#..................... 10.27 0.41 0.37 0.78 (0.41) Year ended 3/31/2000#..................... 10.79 0.40 (0.51) (0.11) (0.40) Year ended 3/31/1999...................... 10.79 0.42 0.04 0.46 (0.42) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- SOUTH CAROLINA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $(0.04) Year ended 3/31/2003#..................... (0.00)## Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... (0.04) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $(0.04) Year ended 3/31/2003#..................... (0.00)## Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... (0.04) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $(0.04) Year ended 3/31/2003#..................... (0.00)## Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... (0.04) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $(0.04) Year ended 3/31/2003#..................... (0.00)## Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... (0.04)
- --------------- * Effective April 1, 2001, the South Carolina Intermediate Municipal Bond Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.02, decrease net realized and unrealized gains or losses per share by $0.02 and increase the ratio of net investment income to average net assets from 4.78% to 4.92%. Investor A Shares -- increase net investment income per share by $0.02, decrease net realized and unrealized gains or losses per share by $0.02 and increase the ratio of net investment income to average net assets from 4.53% to 4.67%. Investor B Shares -- increase net investment income per share by $0.02, decrease net realized and unrealized gains or losses per share by $0.02 and increase the ratio of net investment income to average net assets from 3.78% to 3.92%. Investor C Shares -- increase net investment income per share by $0.02, decrease net realized and unrealized gains or losses per share by $0.02 and increase the ratio of net investment income to average net assets from 3.78% to 3.92%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 average shares method. ## Amount represents less than $0.01 per share. (a)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 202 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------------- $(0.27) $10.78 2.88% $211,269 0.50%(a)+ 4.28%+ 12% 0.71%+ (0.50) 10.74 7.16 212,300 0.50(a) 4.64 24 0.71 (0.52) 10.50 3.65 207,645 0.50(a) 4.92 8 0.73 (0.52) 10.64 8.85 217,513 0.50(a) 4.95 9 0.70 (0.52) 10.27 0.09 204,854 0.50(a) 4.88 14 0.74 (0.55) 10.79 5.22 239,195 0.50(a) 4.75 9 0.69 $(0.26) $10.78 2.85% $ 28,591 0.75%(a)+ 4.03%+ 12% 0.96%+ (0.47) 10.73 6.79 29,186 0.75(a) 4.39 24 0.96 (0.50) 10.50 3.39 17,791 0.75(a) 4.67 8 0.98 (0.49) 10.64 8.58 18,420 0.75(a) 4.70 9 0.95 (0.50) 10.27 (0.14) 17,396 0.73(a) 4.65 14 0.99 (0.53) 10.79 5.01 18,729 0.70(a) 4.55 9 0.94 $(0.22) $10.78 2.46% $ 11,303 1.50%(a)+ 3.28%+ 12% 1.71%+ (0.39) 10.73 6.00 11,892 1.50(a) 3.64 24 1.71 (0.42) 10.50 2.62 7,797 1.50(a) 3.92 8 1.73 (0.41) 10.64 7.78 7,083 1.50(a) 3.95 9 1.70 (0.42) 10.27 (0.82) 7,310 1.41(a) 3.97 14 1.74 (0.47) 10.79 4.39 8,542 1.30(a) 3.95 9 1.69 $(0.22) $10.79 2.46% $ 9,789 1.50%(a)+ 3.28%+ 12% 1.71%+ (0.39) 10.74 5.98 9,997 1.50(a) 3.64 24 1.71 (0.42) 10.51 2.71 3,713 1.50(a) 3.92 8 1.73 (0.41) 10.64 7.78 2,175 1.50(a) 3.95 9 1.70 (0.41) 10.27 (0.91) 2,755 1.50(a) 3.88 14 1.74 (0.46) 10.79 4.36 3,102 1.32(a) 3.93 9 1.69
SEE NOTES TO FINANCIAL STATEMENTS. 203 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 ------------------------------------------------------------------------- TENNESSEE INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $10.68 $0.20 $ 0.02 $ 0.22 $(0.20) Year ended 3/31/2003#..................... 10.25 0.44 0.43 0.87 (0.44) Year ended 3/31/2002*#.................... 10.35 0.46 (0.10) 0.36 (0.46) Year ended 3/31/2001#..................... 9.91 0.48 0.44 0.92 (0.48) Year ended 3/31/2000#..................... 10.46 0.47 (0.54) (0.07) (0.47) Year ended 3/31/1999...................... 10.40 0.47 0.06 0.53 (0.47) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $10.68 $0.19 $ 0.02 $ 0.21 $(0.19) Year ended 3/31/2003#..................... 10.25 0.42 0.43 0.85 (0.42) Year ended 3/31/2002*#.................... 10.35 0.43 (0.09) 0.34 (0.44) Year ended 3/31/2001#..................... 9.91 0.45 0.44 0.89 (0.45) Year ended 3/31/2000#..................... 10.46 0.44 (0.54) (0.10) (0.44) Year ended 3/31/1999...................... 10.40 0.45 0.06 0.51 (0.45) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $10.68 $0.15 $ 0.02 $ 0.17 $(0.15) Year ended 3/31/2003#..................... 10.26 0.34 0.42 0.76 (0.34) Year ended 3/31/2002*#.................... 10.35 0.36 (0.09) 0.27 (0.36) Year ended 3/31/2001#..................... 9.91 0.38 0.44 0.82 (0.38) Year ended 3/31/2000#..................... 10.46 0.38 (0.54) (0.16) (0.38) Year ended 3/31/1999...................... 10.40 0.38 0.06 0.44 (0.38) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $10.63 $0.15 $ 0.02 $ 0.17 $(0.15) Year ended 3/31/2003#..................... 10.21 0.34 0.42 0.76 (0.34) Year ended 3/31/2002*#.................... 10.31 0.30 (0.04) 0.26 (0.36) Year ended 3/31/2001#..................... 9.87 0.42 0.40 0.82 (0.38) Year ended 3/31/2000#..................... 10.45 0.39 (0.57) (0.18) (0.39) Year ended 3/31/1999...................... 10.40 0.39 0.05 0.44 (0.39) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- TENNESSEE INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... -- INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... -- INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... -- INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.01) Year ended 3/31/1999...................... --
- --------------- * Effective April 1, 2001, the Tennessee Intermediate Municipal Bond Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.44% to 4.45%. Investor A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.19% to 4.20%. Investor B Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.44% to 3.45%. Investor C Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.44% to 3.45%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 204 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------ $(0.20) $10.70 2.12% $47,011 0.50%(a)+ 3.81%+ 16% 0.82%+ (0.44) 10.68 8.65 54,802 0.50(a) 4.18 16 0.84 (0.46) 10.25 3.54 40,807 0.50 4.45 0 0.93 (0.48) 10.35 9.53 38,928 0.50(a) 4.77 10 0.84 (0.48) 9.91 (0.67) 37,736 0.50(a) 4.62 49 0.94 (0.47) 10.46 5.18 42,826 0.50 4.48 22 0.85 $(0.19) $10.70 2.00% $15,068 0.75%(a)+ 3.56%+ 16% 1.07%+ (0.42) 10.68 8.38 15,572 0.75(a) 3.93 16 1.09 (0.44) 10.25 3.28 9,955 0.75 4.20 0 1.18 (0.45) 10.35 9.25 7,945 0.75(a) 4.52 10 1.09 (0.45) 9.91 (0.90) 7,810 0.73(a) 4.39 49 1.19 (0.45) 10.46 4.97 9,242 0.70 4.28 22 1.10 $(0.15) $10.70 1.61% $ 4,092 1.50%(a)+ 2.81%+ 16% 1.82%+ (0.34) 10.68 7.46 4,439 1.50(a) 3.18 16 1.84 (0.36) 10.26 2.61 1,351 1.50 3.45 0 1.93 (0.38) 10.35 8.44 1,448 1.50(a) 3.77 10 1.84 (0.39) 9.91 (1.58) 1,783 1.41(a) 3.71 49 1.94 (0.38) 10.46 4.34 3,007 1.30 3.68 22 1.85 $(0.15) $10.65 1.62% $ 1,569 1.50%(a)+ 2.81%+ 16% 1.82%+ (0.34) 10.63 7.49 1,391 1.50(a) 3.18 16 1.84 (0.36) 10.21 2.52 322 1.50 3.45 0 1.93 (0.38) 10.31 8.46 3 1.50(a) 3.77 10 1.84 (0.40) 9.87 (1.96) 3 1.50(a) 3.62 49 1.94 (0.39) 10.45 4.28 33 1.11 3.87 22 1.85
SEE NOTES TO FINANCIAL STATEMENTS. 205 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 ------------------------------------------------------------------------- TEXAS INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $10.51 $0.21 $ 0.07 $ 0.28 $(0.21) Year ended 3/31/2003#..................... 10.19 0.47 0.32 0.79 (0.47) Year ended 3/31/2002*#.................... 10.35 0.50 (0.16) 0.34 (0.50) Year ended 3/31/2001...................... 10.00 0.51 0.35 0.86 (0.51) Year ended 3/31/2000...................... 10.48 0.49 (0.48) 0.01 (0.49) Year ended 3/31/1999...................... 10.50 0.49 0.02 0.51 (0.49) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $10.50 $0.20 $ 0.07 $ 0.27 $(0.20) Year ended 3/31/2003#..................... 10.19 0.45 0.31 0.76 (0.45) Year ended 3/31/2002*#.................... 10.35 0.48 (0.16) 0.32 (0.48) Year ended 3/31/2001...................... 10.00 0.48 0.35 0.83 (0.48) Year ended 3/31/2000...................... 10.48 0.47 (0.48) (0.01) (0.47) Year ended 3/31/1999...................... 10.50 0.47 0.02 0.49 (0.47) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $10.51 $0.16 $ 0.07 $ 0.23 $(0.16) Year ended 3/31/2003#..................... 10.19 0.37 0.32 0.69 (0.37) Year ended 3/31/2002*#.................... 10.35 0.40 (0.16) 0.24 (0.40) Year ended 3/31/2001...................... 10.00 0.40 0.35 0.75 (0.40) Year ended 3/31/2000...................... 10.48 0.40 (0.48) (0.08) (0.40) Year ended 3/31/1999...................... 10.50 0.41 0.02 0.43 (0.41) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $10.50 $0.16 $ 0.08 $ 0.24 $(0.16) Year ended 3/31/2003#..................... 10.18 0.37 0.32 0.69 (0.37) Year ended 3/31/2002*#.................... 10.35 0.24 (0.02) 0.22 (0.39) Year ended 3/31/2001...................... 10.00 0.40 0.35 0.75 (0.40) Year ended 3/31/2000...................... 10.48 0.38 (0.48) (0.10) (0.38) Year ended 3/31/1999#..................... 10.50 0.40 0.02 0.42 (0.40) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- TEXAS INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.00)## Year ended 3/31/1999...................... (0.04) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.00)## Year ended 3/31/1999...................... (0.04) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.00)## Year ended 3/31/1999...................... (0.04) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.00)## Year ended 3/31/1999#..................... (0.04)
- --------------- * Effective April 1, 2001, the Texas Intermediate Municipal Bond Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.84% to 4.87%. Investor A Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 4.59% to 4.62%. Investor B Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.84% to 3.87%. Investor C Shares -- increase net investment income per share by $0.00, decrease net realized and unrealized gains or losses per share by $0.00 and increase the ratio of net investment income to average net assets from 3.84% to 3.87%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 206 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------ $(0.21) $10.58 2.72% $261,496 0.50%(a)+ 4.04%+ 13% 0.71%+ (0.47) 10.51 7.92 263,658 0.50(a) 4.54 29 0.71 (0.50) 10.19 3.36 265,882 0.50(a) 4.87 5 0.72 (0.51) 10.35 8.78 286,949 0.50(a) 5.00 6 0.70 (0.49) 10.00 0.17 326,323 0.50(a) 4.84 33 0.72 (0.53) 10.48 4.98 391,431 0.50 4.66 22 0.68 $(0.20) $10.57 2.60% $ 7,588 0.75%(a)+ 3.79%+ 13% 0.96%+ (0.45) 10.50 7.55 8,665 0.75(a) 4.29 29 0.96 (0.48) 10.19 3.10 4,813 0.75(a) 4.62 5 0.97 (0.48) 10.35 8.52 4,346 0.75(a) 4.75 6 0.95 (0.47) 10.00 (0.06) 6,075 0.73(a) 4.61 33 0.97 (0.51) 10.48 4.77 6,909 0.70 4.46 22 0.93 $(0.16) $10.58 2.21% $ 4,694 1.50%(a)+ 3.04%+ 13% 1.71%+ (0.37) 10.51 6.85 5,166 1.50(a) 3.54 29 1.71 (0.40) 10.19 2.33 2,021 1.50(a) 3.87 5 1.72 (0.40) 10.35 7.71 2,145 1.50(a) 4.00 6 1.70 (0.40) 10.00 (0.74) 2,005 1.42(a) 3.92 33 1.72 (0.45) 10.48 4.15 2,137 1.30 3.86 22 1.68 $(0.16) $10.58 2.34% $ 132 1.50%(a)+ 3.04%+ 13% 1.71%+ (0.37) 10.50 6.84 85 1.50(a) 3.54 29 1.71 (0.39) 10.18 2.16 58 1.50(a) 3.87 5 1.72 (0.40) 10.35 7.69 3 1.50(a) 4.00 6 1.70 (0.38) 10.00 (0.86) 3 1.50(a) 3.84 33 1.72 (0.44) 10.48 4.14 3 1.33 3.83 22 1.68
SEE NOTES TO FINANCIAL STATEMENTS. 207 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 ------------------------------------------------------------------------- VIRGINIA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $11.18 $0.23 $ 0.01 $ 0.24 $(0.23) Year ended 3/31/2003#..................... 10.79 0.48 0.39 0.87 (0.48) Year ended 3/31/2002*#.................... 10.92 0.50 (0.13) 0.37 (0.50) Year ended 3/31/2001#..................... 10.51 0.50 0.41 0.91 (0.50) Year ended 3/31/2000#..................... 10.98 0.50 (0.47) 0.03 (0.50) Year ended 3/31/1999...................... 10.92 0.50 0.06 0.56 (0.50) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $11.18 $0.22 $ 0.01 $ 0.23 $(0.22) Year ended 3/31/2003#..................... 10.79 0.46 0.38 0.84 (0.45) Year ended 3/31/2002*#.................... 10.92 0.47 (0.13) 0.34 (0.47) Year ended 3/31/2001#..................... 10.51 0.48 0.41 0.89 (0.48) Year ended 3/31/2000#..................... 10.98 0.47 (0.47) 0.00 (0.47) Year ended 3/31/1999#..................... 10.92 0.47 0.07 0.54 (0.48) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $11.18 $0.18 $ 0.01 $ 0.19 $(0.18) Year ended 3/31/2003#..................... 10.79 0.37 0.39 0.76 (0.37) Year ended 3/31/2002*#.................... 10.92 0.39 (0.13) 0.26 (0.39) Year ended 3/31/2001#..................... 10.51 0.40 0.41 0.81 (0.40) Year ended 3/31/2000#..................... 10.98 0.40 (0.47) (0.07) (0.40) Year ended 3/31/1999...................... 10.92 0.41 0.06 0.47 (0.41) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $11.18 $0.18 $ 0.01 $ 0.19 $(0.18) Year ended 3/31/2003#..................... 10.79 0.37 0.39 0.76 (0.37) Year ended 3/31/2002*#.................... 10.92 0.39 (0.13) 0.26 (0.39) Year ended 3/31/2001#..................... 10.51 0.40 0.41 0.81 (0.40) Year ended 3/31/2000#..................... 10.98 0.39 (0.47) (0.08) (0.39) Year ended 3/31/1999#..................... 10.92 0.39 0.08 0.47 (0.41) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- VIRGINIA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.00)## Year ended 3/31/1999...................... -- INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.00)## Year ended 3/31/1999#..................... -- INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.00)## Year ended 3/31/1999...................... -- INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002*#.................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... (0.00)## Year ended 3/31/1999#..................... --
- --------------- * Effective April 1, 2001, the Virginia Intermediate Municipal Bond Fund has adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began accreting market discount on debt securities. The effect of this change for the year ended March 31, 2002 on each of the classes was: Primary A Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 4.49% to 4.58%. Investor A Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 4.24% to 4.33%. Investor B Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 3.49% to 3.58%. Investor C Shares -- increase net investment income per share by $0.01, decrease net realized and unrealized gains or losses per share by $0.01 and increase the ratio of net investment income to average net assets from 3.49% to 3.58%. Per share amounts and ratios for the period ended March 31, 2001 have not been restated to reflect this change in presentation. + 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 interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 208 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------------- $(0.23) $11.19 2.20% $260,795 0.50%(a)+ 4.17%+ 5% 0.70%+ (0.48) 11.18 8.21 287,348 0.50(a) 4.36 7 0.70 (0.50) 10.79 3.44 237,459 0.50(a) 4.58 10 0.72 (0.50) 10.92 8.92 252,741 0.50 4.73 9 0.70 (0.50) 10.51 0.29 228,698 0.50(a) 4.66 23 0.73 (0.50) 10.98 5.21 227,299 0.50(a) 4.54 5 0.70 $(0.22) $11.19 2.08% $ 58,634 0.75%(a)+ 3.92%+ 5% 0.95%+ (0.45) 11.18 7.95 57,088 0.75(a) 4.11 7 0.95 (0.47) 10.79 3.18 45,678 0.75(a) 4.33 10 0.97 (0.48) 10.92 8.65 43,655 0.75 4.48 9 0.95 (0.47) 10.51 0.06 46,663 0.73(a) 4.43 23 0.98 (0.48) 10.98 5.00 56,733 0.70(a) 4.34 5 0.95 $(0.18) $11.19 1.70% $ 16,543 1.50%(a)+ 3.17%+ 5% 1.70%+ (0.37) 11.18 7.14 17,337 1.50(a) 3.36 7 1.70 (0.39) 10.79 2.40 8,987 1.50(a) 3.58 10 1.72 (0.40) 10.92 7.85 8,859 1.50 3.73 9 1.70 (0.40) 10.51 (0.63) 9,073 1.41(a) 3.75 23 1.73 (0.41) 10.98 4.38 10,296 1.30(a) 3.74 5 1.70 $(0.18) $11.19 1.69% $ 2,442 1.50%(a)+ 3.17%+ 5% 1.70%+ (0.37) 11.18 7.14 1,680 1.50(a) 3.36 7 1.70 (0.39) 10.79 2.41 869 1.50(a) 3.58 10 1.72 (0.40) 10.92 7.84 817 1.50 3.73 9 1.70 (0.39) 10.51 (0.71) 759 1.50(a) 3.66 23 1.73 (0.41) 10.98 4.36 1,100 1.34(a) 3.70 5 1.70
SEE NOTES TO FINANCIAL STATEMENTS. 209 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, 2003, Funds Trust offered fifty-seven separate portfolios. These financial statements pertain only to the municipal bond portfolios of Funds Trust: Short-Term Municipal Income Fund, Intermediate Municipal Bond Fund, Municipal Income Fund, California Intermediate Municipal Bond Fund, California Municipal Bond Fund, Florida Intermediate Municipal Bond Fund, Florida Municipal Bond Fund, Georgia Intermediate Municipal Bond Fund, Kansas Municipal Income Fund, Maryland Intermediate Municipal Bond Fund, North Carolina Intermediate Municipal Bond Fund, South Carolina Intermediate Municipal Bond Fund, Tennessee Intermediate Municipal Bond Fund, Texas Intermediate Municipal Bond Fund and Virginia Intermediate Municipal Bond Fund (each a "Fund" and collectively, the "Funds"). Financial statements for the other portfolios of Funds Trust are presented under separate cover. The Funds currently offer four classes of shares: Primary A Shares, Investor A Shares, Investor B Shares and Investor C Shares. Shareholders of a Fund have equal voting rights on matters affecting all shareholders of the Fund. In addition, each class of shares of a Fund has exclusive voting rights on matters that relate solely to that class and separate voting rights on matters in which the interests of one class differ from the interests of any other class. A Fund's municipal holdings may include obligations of issuers that rely in whole or in part for payment of interest and principal on state specific revenues, real property taxes, revenues from particular institutions, such as healthcare institutions, or obligations secured by mortgages on real property. Consequently, the impact of changes in state law or regulations or the economic conditions in a particular state should be considered. 1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. Securities valuation: Securities are generally valued by an independent pricing service. These valuations are based upon a matrix pricing system and/or appraisals which take into consideration such factors as yields, security prices, maturities, redemption features and credit ratings on comparable securities. Certain securities may be valued based upon quotes provided by one or more principal market makers. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. Investments in other Nations Funds are valued at their net asset value as determined by the applicable Nations Funds' prospectus. When-issued/delayed-delivery securities: Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Fund enters into such transactions, it is required to have segregated assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments. Credit risks exist on these commitments to the extent of any unrealized losses on the underlying securities purchased and any unrealized gains on the underlying securities sold. Market risk exists on these commitments to the same extent as if the securities were owned on a settled basis and losses are recorded and reported in the same manner. 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 (including dividend income from affiliated funds) 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: It is the policy of each Fund to declare dividends from net investment income daily and to pay such dividends monthly. Each Fund will distribute net realized capital gains (including net short- 210 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) term capital gains) at least annually after the fiscal year in which the capital gains were earned, unless offset by any available capital loss carryforward. Dividends and distributions to shareholders are recorded on the ex-dividend date. 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 Capital Management, LLC ("BACAP"), 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 BACAP provides investment advisory services to the Funds. Under the terms of the Investment Advisory Agreement, BACAP is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Fund:
ANNUAL RATE ----------- Short-Term Municipal Income................................. 0.30% Intermediate Municipal Bond and nine single-state Intermediate Municipal Bond Funds......................... 0.40% Municipal Income and three single-state Municipal Bond Funds..................................................... 0.50%
BACAP Distributors, LLC ("BACAP Distributors"), a wholly-owned subsidiary of Bank of America, serves as sole administrator of Funds Trust. Under the administration agreement, BACAP Distributors is currently entitled to receive a fee, computed daily and paid monthly, at a maximum annual rate of 0.22% of each Fund's average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of Funds Trust pursuant to an agreement with BACAP Distributors. For the six months ended September 30, 2003, BACAP Distributors earned 0.16% (annualized) of the Funds' average daily net assets (net of waivers and sub-administrator fees) for its administration services. BACAP and/or its affiliates may, from time to time, reduce its fee payable by each Fund. During the six months ended September 30, 2003 and until July 31, 2004, BACAP has agreed to reimburse expenses and/or waive fees to the extent that the total expenses (excluding interest expense, shareholder servicing and distribution fees), as a percentage of the respective Fund's average daily net assets, exceed the following annual rates:
ANNUAL RATE ----------- Short-Term Municipal Income................................. 0.40% Intermediate Municipal Bond and nine single-state Intermediate Municipal Bond Funds......................... 0.50% Municipal Income and three single-state Municipal Bond Funds..................................................... 0.60%
BACAP is entitled to recover from the Funds (except Kansas Municipal Income Fund) any fees waived or expenses reimbursed by BACAP during the three year period following the date of 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. There is no guarantee that these expense limitations will continue. 211 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At September 30, 2003, the amounts potentially recoverable by BACAP pursuant to this arrangement are as follows:
POTENTIAL AMOUNT TO POTENTIAL AMOUNT TO RECOVER WITHIN 3 YEARS RECOVER WITHIN 3 YEARS FUND AS OF 9/30/03 AS OF 3/31/03 - ------------------------------------------------------------------------------------------------------------- Short-Term Municipal Income................................. $1,016,214 $1,533,069 Intermediate Municipal Bond................................. 1,726,538 2,838,755 Municipal Income............................................ 737,513 1,468,151 California Intermediate Municipal Bond...................... 177,980 221,927 California Municipal Bond................................... 323,933 605,058 Florida Intermediate Municipal Bond......................... 272,629 494,942 Florida Municipal Bond...................................... 156,201 296,315 Georgia Intermediate Municipal Bond......................... 209,007 389,857 Maryland Intermediate Municipal Bond........................ 271,508 495,122 North Carolina Intermediate Municipal Bond.................. 267,470 481,144 South Carolina Intermediate Municipal Bond.................. 280,432 517,196 Tennessee Intermediate Municipal Bond....................... 116,855 201,545 Texas Intermediate Municipal Bond........................... 287,809 529,754 Virginia Intermediate Municipal Bond........................ 361,452 653,332
BNY serves as the custodian of Funds Trust's assets. PFPC Inc. serves as the transfer agent for the Funds' shares. Bank of America serves as the sub-transfer agent for the Primary A Shares of the Funds. Bank of America is entitled to receive from the transfer agent a fee equal to the costs incurred by Bank of America in providing services pursuant to its obligations as sub-transfer agent at the annual rate of up to 0.01% of the net assets attributable to the Primary A Shares of the Funds. For the six months ended September 30, 2003, Bank of America earned approximately $88,540 for providing such services and is included in "Transfer agent fees" in the Statements of operations. BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2003, the Funds were informed that the distributors received the following:
FRONT END CONTINGENT DEFERRED SALES CHARGE SALES CHARGE (000) (000) --------------- -------------------------------------- FUND INVESTOR A INVESTOR A INVESTOR B INVESTOR C - ---------------------------------------------------------------------------------------------------------------------- Short-Term Municipal Income................................. $37 $56 $-- $12 Intermediate Municipal Bond................................. 15 41 4 3 Municipal Income............................................ 25 25 4 -- California Intermediate Municipal Bond...................... 21 -- -- 6 California Municipal Bond................................... 69 5 9 --* Florida Intermediate Municipal Bond......................... 42 2 11 1 Florida Municipal Bond...................................... 22 1 6 -- Georgia Intermediate Municipal Bond......................... 12 -- 11 2 Kansas Municipal Income..................................... 26 14 -- --* Maryland Intermediate Municipal Bond........................ 60 6 8 1 North Carolina Intermediate Municipal Bond.................. 10 4 2 -- South Carolina Intermediate Municipal Bond.................. 43 -- 1 --* Tennessee Intermediate Municipal Bond....................... 14 1 5 --* Texas Intermediate Municipal Bond........................... 3 -- 1 -- Virginia Intermediate Municipal Bond........................ 35 -- 2 --*
- --------------- *Amount represents less than $500. No officer, director or employee of Bank of America, BACAP Distributors 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 212 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 Statements of net assets. Certain Funds have made daily investments of cash balances in Nations Tax-Exempt 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". BACAP and BACAP Distributors have earned fees related to investments in affiliated funds. A significant portion of each Fund's Primary A Shares represents investments by fiduciary accounts over which Bank of America has either sole or joint investment discretion. 3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS Funds Trust has adopted shareholder servicing plans and distribution plans for the Investor B and Investor C Shares of each Fund and a combined distribution and shareholder servicing plan for Investor A Shares of each Fund. The shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. The distribution plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to compensate or reimburse the distributor and/or selling agents for activities or expenses primarily intended to result in the sale of the classes' shares. Payments are made at an annual rate, as a percentage of average daily net assets, set from time to time by the Board of Trustees, and are charged as expenses of each Fund directly to the applicable class. A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BACAP Distributors. For the six months ended September 30, 2003, the annual rates in effect and plan limits, as a percentage of average daily net assets, were as follows:
CURRENT PLAN RATE LIMIT --------------- Investor A Combined Distribution and Shareholder Servicing Plan...................................................... 0.25%* 0.25% Investor B and Investor C Shareholder Servicing Plans....... 0.25% 0.25% Investor B and Investor C Distribution Plans................ 0.75% 0.75%
- --------------- *Short-Term Municipal Income pays its shareholder servicing fees under a separate shareholder servicing plan. 4. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) -------------------- Short-Term Municipal Income................................. $246,224 $ 70,768 Intermediate Municipal Bond................................. 158,600 234,179 Municipal Income............................................ 39,047 88,073 California Intermediate Municipal Bond...................... 15,560 2,198 California Municipal Bond................................... 15,458 29,370 Florida Intermediate Municipal Bond......................... 32,845 29,789 Florida Municipal Bond...................................... 3,404 14,914 Georgia Intermediate Municipal Bond......................... 8,557 13,317 Kansas Municipal Income..................................... 6,737 12,630 Maryland Intermediate Municipal Bond........................ 19,978 22,745 North Carolina Intermediate Municipal Bond.................. 26,094 20,298 South Carolina Intermediate Municipal Bond.................. 30,565 39,551 Tennessee Intermediate Municipal Bond....................... 11,394 17,998 Texas Intermediate Municipal Bond........................... 35,595 38,490 Virginia Intermediate Municipal Bond........................ 18,087 44,575
213 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2003 for the Intermediate Municipal Bond Fund were $14,655,469 and $14,085,547, respectively. 5. SHARES OF BENEFICIAL INTEREST As of September 30, 2003, 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. Investor B Shares generally convert to Investor A Shares based on the following conditions: INTERMEDIATE MUNICIPAL BOND FUNDS
INVESTOR B SHARES PURCHASED: WILL CONVERT TO INVESTOR A SHARES AFTER: - ---------------------------------------------------------------------------------------------- - -- after November 15, 1998 Eight years - -- between August 1, 1997 and November 15, 1998 $0 - $499,999 Six years $500,000 - $999,999 Five years - -- before August 1, 1997 Six years
MUNICIPAL INCOME FUND
INVESTOR B SHARES PURCHASED: WILL CONVERT TO INVESTOR A SHARES AFTER: - ---------------------------------------------------------------------------------------------- - -- after November 15, 1998 Eight years - -- between August 1, 1997 and November 15, 1998 $0 - $249,999 Nine years $250,000 - $499,999 Six years $500,000 - $999,999 Five years - -- before August 1, 1997 Eight years
ALL OTHER LONG-TERM MUNICIPAL BOND FUNDS
INVESTOR B SHARES PURCHASED: WILL CONVERT TO INVESTOR A SHARES AFTER: - ---------------------------------------------------------------------------------------------- - -- after November 15, 1998 Eight years - -- between August 1, 1997 and November 15, 1998 $0 - $249,999 Nine years $250,000 - $499,999 Six years $500,000 - $999,999 Five years - -- before August 1, 1997 Nine years
See Schedules of capital stock activity. 6. LINE 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"). The Agreement is renewable on an annual basis. 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. 214 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The Funds had no borrowings outstanding at September 30, 2003. During the six months ended September 30, 2003, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST FUND (000) RATE - ---------------------------------------------------------------------------------------------- Short-Term Municipal Income................................. $ 69 1.50 % Intermediate Municipal Bond................................. 10 1.51 Municipal Income............................................ 94 1.63 California Municipal Bond................................... 69 1.59 Florida Intermediate Municipal Bond......................... 37 1.49 Florida Municipal Bond...................................... 30 1.52 Georgia Intermediate Municipal Bond......................... 3 1.50 Kansas Municipal Income..................................... 31 1.65 Maryland Intermediate Municipal Bond........................ 26 1.54 North Carolina Intermediate Municipal Bond.................. 25 1.47 South Carolina Intermediate Municipal Bond.................. 18 1.54 Tennessee Intermediate Municipal Bond....................... 41 1.48 Virginia Intermediate Municipal Bond........................ 156 1.60
- --------------- *The average amount outstanding was calculated based on daily balances in the period. 7. INCOME TAXES Information on the tax components of capital as of September 30, 2003 is as follows:
NET TAX UNREALIZED GROSS TAX GROSS TAX APPRECIATION/ COST OF INVESTMENTS UNREALIZED UNREALIZED (DEPRECIATION) ON FOR TAX PURPOSES APPRECIATION DEPRECIATION INVESTMENTS FUND (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- Short-Term Municipal Income.............................. $1,163,030 $ 23,355 $ (463) $ 22,892 Intermediate Municipal Bond.............................. 1,782,655 108,749 (4,828) 103,921 Municipal Income......................................... 677,638 62,565 (2,169) 60,396 California Intermediate Municipal Bond................... 138,454 7,844 (183) 7,661 California Municipal Bond................................ 286,900 22,434 (336) 22,098 Florida Intermediate Municipal Bond...................... 234,318 12,030 (636) 11,394 Florida Municipal Bond................................... 102,847 10,611 (109) 10,502 Georgia Intermediate Municipal Bond...................... 159,511 10,714 (277) 10,437 Kansas Municipal Income.................................. 84,789 4,979 (162) 4,817 Maryland Intermediate Municipal Bond..................... 227,476 15,705 (542) 15,163 North Carolina Intermediate Municipal Bond............... 228,360 16,062 (212) 15,850 South Carolina Intermediate Municipal Bond............... 244,151 15,426 (539) 14,887 Tennessee Intermediate Municipal Bond.................... 63,001 3,994 (14) 3,980 Texas Intermediate Municipal Bond........................ 259,868 17,584 (9) 17,575 Virginia Intermediate Municipal Bond..................... 315,018 21,149 (964) 20,185
215 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At March 31, 2003, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING IN 2004 IN 2005 IN 2007 IN 2008 IN 2009 IN 2010 IN 2011 FUND (000) (000) (000) (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- Short-Term Municipal Income.......................... $ 25 -- -- -- $ 360 $15 $ 336 Municipal Income..................................... -- -- -- $502 734 -- 8,472 Florida Intermediate Municipal Bond.................. 285 $22 -- 717 24 -- 138 Georgia Intermediate Municipal Bond.................. -- -- -- 981 608 58 955 Maryland Intermediate Municipal Bond................. -- -- $ 5 614 644 -- 480 North Carolina Intermediate Municipal Bond........... -- -- -- 521 1,403 -- -- Tennessee Intermediate Municipal Bond................ -- -- -- 172 43 -- -- Texas Intermediate Municipal Bond.................... -- -- -- -- 2,701 -- -- Virginia Intermediate Municipal Bond................. -- -- 88 294 799 -- --
During the year ended March 31, 2003, the following Funds utilized capital losses as follows:
CAPITAL LOSSES UTILIZED FUND (000) - ----------------------------------------------------------------------------- North Carolina Intermediate Municipal Bond.................. $ 514 South Carolina Intermediate Municipal Bond.................. 239 Tennessee Intermediate Municipal Bond....................... 144 Texas Intermediate Municipal Bond........................... 1,258 Virginia Intermediate Municipal Bond........................ 366
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, 2003, the following Funds elected to defer losses occurring between November 1, 2002 and March 31, 2003 under these rules, as follows:
CAPITAL LOSSES DEFERRED FUND (000) - ----------------------------------------------------------------------------- Intermediate Municipal Bond................................. $3,899 Municipal Income............................................ 6,295 Florida Intermediate Municipal Bond......................... 125 Virginia Intermediate Municipal Bond........................ 177
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2004. 8. REORGANIZATIONS FUND REORGANIZATION On May 10, 2002, certain Funds, as listed below (each an "Acquiring Fund"), acquired the assets and assumed the liabilities of certain Nations Municipal Bond Funds, also listed below (each an "Acquired Fund"), in a tax-free reorganization in exchange for shares of the Acquiring Fund, pursuant to a plan of reorganization approved by the 216 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Acquired Fund's shareholders. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation as of the reorganization date were as follows:
TOTAL NET ASSETS ACQUIRED FUND TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION APPRECIATION ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) - ---------------------------------------------------------------------------------------------------------------------------- Georgia Intermediate Georgia Municipal Bond $23,940 $153,547 $177,487 $1,033 Municipal Bond Maryland Intermediate Maryland Municipal Bond 39,141 203,873 243,014 2,176 Municipal Bond North Carolina North Carolina Municipal 41,805 198,749 240,554 2,158 Intermediate Municipal Bond Bond South Carolina South Carolina Municipal 25,594 240,434 266,028 1,515 Intermediate Municipal Bond Bond Tennessee Intermediate Tennessee Municipal Bond 8,813 53,262 62,075 411 Municipal Bond Texas Intermediate Texas Municipal Bond 12,262 275,678 287,940 906 Municipal Bond Virginia Intermediate Virginia Municipal Bond 32,767 297,423 330,190 1,288 Municipal Bond
CHANGE OF REGISTERED INVESTMENT COMPANY On May 10, 2002, each Fund of Nations Funds Trust listed in the left column below (each a "Fund") reorganized into a newly created successor fund listed in the right column below, that was 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 of Nations Funds Trust. The financial statements of each successor fund reflects the historical financial results of each corresponding Fund prior to the reorganization.
FUND REORGANIZED INTO A NEWLY CREATED SUCCESSOR FUND - -------------------------------------------------------------------------------------------------- Georgia Intermediate Municipal Bond Georgia Intermediate Municipal Bond Maryland Intermediate Municipal Bond Maryland Intermediate Municipal Bond North Carolina Intermediate Municipal Bond North Carolina Intermediate Municipal Bond South Carolina Intermediate Municipal Bond South Carolina Intermediate Municipal Bond Tennessee Intermediate Municipal Bond Tennessee Intermediate Municipal Bond Texas Intermediate Municipal Bond Texas Intermediate Municipal Bond Virginia Intermediate Municipal Bond Virginia Intermediate Municipal Bond Short-Term Municipal Income Short-Term Municipal Income Intermediate Municipal Bond Intermediate Municipal Bond Municipal Income Municipal Income Florida Intermediate Municipal Bond Florida Intermediate Municipal Bond Florida Municipal Bond Florida Municipal Bond
On May 17, 2002, the California Municipal Bond Fund of Nations Reserves (the "Fund") reorganized into a newly created successor fund of Nations Funds Trust that was substantially identical to the existing Fund. The acquisition was accomplished by a tax-free exchange of shares of the Fund for shares of equal value of the newly created successor fund. The financial statements of the successor fund reflect the historical financial results of the Fund prior to the reorganization. CONVERSION OF COMMON TRUST FUNDS On August 16, 2002, certain Funds, as listed below (each an "Acquiring Fund"), acquired the net assets of certain common trust funds, managed by Bank of America, also listed below (each an "Acquired Fund"), in a tax-free exchange 217 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) for shares of the Acquiring Fund. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation as of the conversion date were as follows:
TOTAL NET ASSETS ACQUIRED FUND TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION APPRECIATION ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) - ---------------------------------------------------------------------------------------------------------------------------- Intermediate Municipal Bank of America $ 11,110 $1,264,040 $1,275,150 $ 586 Bond Oregon Tax-Exempt Income Fund Intermediate Municipal Bank of America 31,309 1,264,040 1,295,349 1,410 Bond Arizona Tax-Exempt Fund Intermediate Municipal Bank of America 367,794 1,264,040 1,631,834 17,039 Bond National Intermediate Tax-Exempt Bond Fund Intermediate Municipal Bank of America 297,125 1,264,040 1,561,165 15,339 Bond National Short-Intermediate Tax-Exempt Fund California Intermediate Bank of America 130,380 0 130,380 7,518 Municipal Bond Shorter-Term California Tax-Exempt Fund California Municipal Bank of America 122,576 229,347 351,923 8,475 Bond Longer-Term California Tax-Exempt Fund
9. EVENTS On September 3, 2003, the Office of the Attorney General for the State of New York ("NYAG") simultaneously filed and settled a complaint against Canary Capital Partners, LLC, et al. (collectively, "Canary"). The complaint alleged, among other things, that Canary engaged in improper trading in certain Nations Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and also "late trading". On September 8, 2003, Bank of America Corporation announced that, to the extent that the independent trustees determine that Nations Funds shareholders were adversely affected by a discretionary market-timing agreement or late trading activities, the adviser will make appropriate restitution. Bank of America Corporation also announced that the adviser will promptly return to Nations Funds that were the subject of a market-timing agreement all management and investment advisory fees it received as a result of such agreement. In addition, Bank of America Corporation has also agreed to make appropriate reimbursement of costs incurred by Nations Funds in connection with this matter. On September 16, 2003, the NYAG announced a criminal action, and the SEC announced a civil action, against a former employee of Banc of America Securities, LLC, a selling agent affiliated with the Nations Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name Nations Funds, among others, as defendants. 218 THE NATIONS FUNDS FAMILY OF FUNDS THE MUTUAL FUND FAMILY OF BANC OF AMERICA CAPITAL MANAGEMENT Within each category, the funds are listed from aggressive to conservative. Lower risk/reward potential 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 EQUITY FUNDS GROWTH FUNDS Nations Small Company Fund Nations Marsico 21st Century Fund Nations MidCap Growth Fund Nations Marsico Focused Equities Fund Nations Marsico Growth 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 Higher reward/risk potential INTERNATIONAL/GLOBAL FUNDS Nations Marsico International Opportunities Fund Nations International Equity Fund Nations International Value Fund Nations Global Value Fund SPECIALTY FUNDS INDEX FUNDS Nations SmallCap Index Fund Nations MidCap Index Fund Nations LargeCap Index Fund Nations LargeCap Enhanced Core Fund ASSET ALLOCATION PORTFOLIOS Nations LifeGoal Growth Portfolio Nations LifeGoal Balanced Growth Portfolio Nations LifeGoal Income Portfolio Nations LifeGoal Income and Growth Portfolio OTHER SPECIALTY FUNDS Nations Convertible Securities Fund MUNISAR (9/03) Nations Convertible Securities Fund Nations Asset Allocation Fund Nations Value Fund Nations MidCap Value Fund Nations SmallCap Value Fund Nations Marsico Growth Fund Nations Strategic Growth Fund Nations Capital Growth Fund STOCK FUNDS Nations Marsico -------------------------------- Focused Equities Fund Semiannual report for the period ended September 30, 2003 Nations MidCap Growth Fund Nations Marsico 21st Century Fund Nations Small Company Fund [NATIONS FUNDS LOGO] For a free copy of the fund's proxy voting guidelines visit www.nationsfunds.com, call 1.800.321.7854, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov. 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. BACAP Distributors, LLC and Banc of America Capital Management, LLC are the distributor and investment adviser to Nations Funds, respectively. They and other affiliates of Bank of America provide services to Nations Funds and receive fees for such services. BACAP Distributors, LLC, member NASD, SIPC NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE CHAIRMAN'S AND PRESIDENT'S MESSAGE Dear Shareholder: The six-month period ended September 30, 2003, marked a significant turning point for investors. Since the official end of the recession in November 2001, investors have anxiously sifted through news for signs that the U.S. economy was regaining its footing. At last, the picture drawn by both improving corporate profits and the broad array of economic indicators may be inspiring renewed confidence in the U.S. economy. During the reporting period, three powerful forces -- fiscal policy, monetary policy and a weak dollar -- converged to stimulate the U.S. economic recovery. The U.S. Federal Reserve has lowered the overnight lending rate 13 times in the current cycle, pushing its target Federal Funds rate to the lowest level in 45 years. At the same time, federal spending and expected reductions in federal tax rates have prompted increased consumer and business spending. GENUINE RECOVERY UNDERWAY Although real gross domestic product (GDP) has increased in each of the last eight quarters, the pace of economic activity accelerated sharply during the reporting period. GDP growth featured robust consumer spending, a larger-than- expected pickup in business capital spending, strong homebuilding, and the fastest U.S. export growth in more than a year. The transition from an economy driven by massive stimulus -- low interest rates and tax cuts -- to one characterized by self-generating growth depends in large part on improvement in overall employment. While the economy has made visible progress in the areas of business spending and foreign demand, the outlook for the U.S. labor market has been a persistent worry for investors. Strong productivity gains, once blamed for lagging job creation, are now producing wider profit margins, stronger business spending and the faster GDP needed to support labor market improvement in coming months. In addition, the encouraging performance of the world's largest economy has rippled across global markets where the outlook for major foreign economies also is brightening. In fact, the global economy seems poised for a synchronized recovery. CAPITAL MARKETS REBOUND During the period, the capital markets reflected an increasingly optimistic view as to the vigor and sustainability of the U.S. economic recovery. Although performance has been strong across all market segments, investors have focused more narrowly on those areas with the greatest sensitivity to an improving environment. Since March, stocks outperformed most fixed-income markets, as the generally riskier components of the capital markets outpaced their higher quality counterparts. Year-to-date as of September 30, the Standard and Poor's 500 Composite Stock Price Index returned 14.72%, the NASDAQ Composite Index returned 34.27% and the Dow Jones Industrial Average returned 13.13%.* Fixed-income markets have been volatile since late 2002, responding to various factors, including geopolitical developments and changes in the economy. During the period, the yield curve remained quite steep with spreads between the 30-day Treasury bills and the 10-year Treasury note exceeding 350 basis points. Since touching the lowest level in over four decades of 3.13% in June, the yield on long-term Treasuries has backed up by nearly 150 basis points, trading in a range between around 3.90% and 4.60% in September. Treasuries, which had been a safe haven for wary investors during the extended bear market, lost some of their luster as equities began to revive. Accumulating evidence of economic growth in an environment of historically low inflation and interest rates encouraged investors to migrate to lower quality bonds, and high yield markets surged. Year-to-date, high yield bonds outperformed investment grade corporate bonds by more than four times. Through September 30, the US High-Yield BB& B Rated Market Index returned 22.76% to investors, compared with 3.78% for the Lehman *Standard and Poor's 500 Composite Stock Price Index: an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. The NASDAQ Composite Index: covers 4,500 stocks traded over the counter. It is an unmanaged value-weighted index calculated on price change only and does not include income. It is not an industry-neutral index; it is disproportionately technology-heavy. The Dow Jones Industrial Average (DJIA) is an unmanaged index of common stocks comprised of major industrial companies and assumes reinvestment of dividends and capital gains. 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. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... Aggregate Bond Index.** Note that high yield bonds offer the potential for higher income than other debt securities, but they also have higher risk. INVESTMENT OUTLOOK We are generally optimistic about the investing environment. Despite ongoing concerns about geopolitical tensions, most notably, continuing instability in the Middle East, and disappointment stemming from recent events in the mutual fund industry, we believe the outlook for investors has improved during the past six months. We believe the combination of low interest rates, tax cuts and a weaker dollar that restarted the U.S. economic engine, has generated momentum for growth in 2004. In general, we expect continued strong growth in GDP, modest increases in interest rates and continued low inflation for the U.S. economy. INQUIRY UPDATE Nations Funds shareholders have so far received two letters, dated September 19 and 23, 2003 describing actions taken by Bank of America and the Nations Funds Board of Trustees as a result of investigations into mutual fund trading activities. In addition to the steps outlined in these letters, Bank of America has announced the intention to provide restitution for shareholders of Nations Funds who were harmed by certain late trading and market timing practices. The independent members of the Nations Funds Board of Trustees have engaged the law firm of Willkie Farr & Gallagher and, through them, Deloitte & Touche's Investment Management Advisory Service Group to analyze the extent of any adverse monetary impact on shareholders and other matters. Nations Funds shareholders will not bear any costs related to these actions. Independent advisors Dale Frey, former president and chairman of the General Electric Investment Corporation, and Maureen Bateman, former general counsel of State Street Corporation and U.S. Trust, have been hired by Bank of America to conduct independent reviews. Mr. Frey is reviewing mutual fund policies and practices. Ms. Bateman is reviewing legal and regulatory compliance. Promontory Financial Group has been engaged by Bank of America to coordinate a detailed review of all technology, control, and compliance systems related to the mutual fund business. As these actions demonstrate, Bank of America is committed to making appropriate restitution to affected Nations Funds shareholders and to taking all appropriate actions. Both Bank of America and Nations Funds Board of Trustees are committed to ensuring that our mutual fund policies and practices are at the highest level of industry standards. Nothing is more important than the trust and confidence of Nations Funds shareholders. Bank of America continues to look for opportunities to reinforce its investment advisory unit's professional ranks. In this regard, we are pleased to introduce the recently named president of Banc of America Capital Management, LLC, Keith Winn, who has over 20 years of experience in the investment industry. Sincerely, /S/ WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS /S/ KEITH WINN H. KEITH WINN PRESIDENT BANC OF AMERICA CAPITAL MANAGEMENT, LLC October 14, 2003 **The US High-Yield BB& B Rated Market Index captures the performance of below-investment-grade debt issued by corporations domiciled in the United States or Canada. Securities in the index have remaining maturities of at least 1 year, at least $100 million outstanding and are rated BB or B by Standard and Poor's or Moody's. Please note that an investor cannot invest directly in an index; 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. TABLE OF CONTENTS FINANCIAL STATEMENTS Statements of net assets Nations Convertible Securities Fund 3 Nations Asset Allocation Fund 9 Nations Value Fund 19 Nations MidCap Value Fund 22 Nations SmallCap Value Fund 25 Nations Marsico Growth Fund 28 Nations Strategic Growth Fund 29 Nations Capital Growth Fund 30 Nations Marsico Focused Equities Fund 32 Nations MidCap Growth Fund 33 Nations Marsico 21st Century Fund 36 Nations Small Company Fund 38 Statements of operations 42 Statements of changes in net assets 46 Schedules of capital stock activity 52 Financial highlights 64 Notes to financial statements 88 Statement of net assets -- Nations Master Investment Trust 103 Nations Marsico Growth Master Portfolio 103 Nations Strategic Growth Master Portfolio 105 Nations Marsico Focused Equities Master Portfolio 107 Statement of operations 109 Statement of changes in net assets 110 Financial highlights 111 Notes to financial statements 112
NATIONS FUNDS [DALBAR LOGO] RECOGNIZED FOR OUTSTANDING DALBAR, Inc. is a well-respected SHAREHOLDER SERVICE research firm that measures customer service levels and IN RECOGNITION OF ITS COMMITMENT establishes benchmarks in the TO PROVIDE SHAREHOLDERS WITH THE financial services industry. HIGHEST LEVEL OF SERVICE IN THE MUTUAL FUND INDUSTRY, NATIONS FUNDS RECEIVED THE DALBAR MUTUAL FUND SERVICE AWARD IN 2002.
[This page intentionally left blank] NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- COMMON STOCKS -- 19.1% BROADCASTING AND CABLE -- 1.1% 150,300 Clear Channel Communications, Inc. ........................... $ 5,756 444,450 The Walt Disney Company....................................... 8,965 ---------- 14,721 ---------- COMMERCIAL BANKING -- 0.8% 46,147 Bank United Corporation!!..................................... 2 594,374 Sovereign Bancorp, Inc. ...................................... 11,026 ---------- 11,028 ---------- COMMERCIAL SERVICES -- 0.8% 600,000 Cendant Corporation!!......................................... 11,214 ---------- COMPUTER SERVICES -- 0.6% 42,560 Affiliated Computer Services, Inc., Class A!!................. 2,072 176,000 Automatic Data Processing, Inc. .............................. 6,310 ---------- 8,382 ---------- CONGLOMERATES -- 0.4% 250,000 Tyco International Ltd. ...................................... 5,108 ---------- DEPARTMENT AND DISCOUNT STORES -- 0.3% 69,600 Wal-Mart Stores, Inc. ........................................ 3,887 ---------- DIVERSIFIED MANUFACTURING -- 2.0% 134,000 3M Company.................................................... 9,256 104,000 Danaher Corporation........................................... 7,681 270,000 General Electric Company...................................... 8,049 50,000 Kaydon Corporation............................................ 1,187 ---------- 26,173 ---------- ELECTRIC POWER -- NON NUCLEAR -- 0.8% 98,000 Cinergy Corporation........................................... 3,597 379,924 NiSource Inc. ................................................ 7,590 ---------- 11,187 ---------- FINANCE -- MISCELLANEOUS -- 0.7% 180,000 Moody's Corporation........................................... 9,895 ---------- FOOD PRODUCTS -- 0.5% 126,600 Wm. Wrigley Jr. Company....................................... 7,001 ---------- HEAVY MACHINERY -- 0.7% 225,000 Cummins, Inc. ................................................ 9,997 ---------- INSURANCE -- 0.2% 86,750 Protective Life Corporation................................... 2,589 ---------- INTEGRATED OIL -- 1.0% 110,000 ChevronTexaco Corporation..................................... 7,859 192,096 Unocal Corporation............................................ 6,055 ---------- 13,914 ----------
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- METALS AND MINING -- 1.3% 70,500 Alcoa Inc. ................................................... $ 1,844 200,000 Freeport-McMoran Copper & Gold, Inc., Class B................. 6,620 300,000 Inco Ltd.!!................................................... 8,325 ---------- 16,789 ---------- NATURAL GAS DISTRIBUTION -- 0.1% 140,000 Hanover Compressor Company!!.................................. 1,386 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.1% 478,200 American Tower Corporation, Class A!!......................... 4,854 351,700 Comverse Technology, Inc.!!................................... 5,261 550,000 Corning Inc.!!................................................ 5,181 ---------- 15,296 ---------- OILFIELD SERVICES -- 3.2% 310,000 Diamond Offshore Drilling, Inc. .............................. 5,921 300,000 Halliburton Company........................................... 7,275 400,000 Pride International, Inc.!!................................... 6,780 300,000 Rowan Companies, Inc.!!....................................... 7,375 150,000 Schlumberger Ltd. ............................................ 7,260 340,000 Transocean Inc.!!............................................. 6,800 ---------- 41,411 ---------- PAPER AND FOREST PRODUCTS -- 1.0% 300,000 International Paper Company................................... 11,706 27,000 Weyerhaeuser Company.......................................... 1,578 ---------- 13,284 ---------- PHARMACEUTICALS -- 0.7% 71,000 Amgen Inc.!!.................................................. 4,584 80,700 Teva Pharmaceutical Industries Ltd., ADR...................... 4,612 ---------- 9,196 ---------- RAILROADS, TRUCKING AND SHIPPING -- 0.2% 40,000 Union Pacific Corporation..................................... 2,327 ---------- SEMICONDUCTORS -- 0.8% 66,000 Analog Devices, Inc.!!........................................ 2,509 145,500 Intel Corporation............................................. 4,003 111,300 Linear Technology Corporation................................. 3,986 ---------- 10,498 ---------- SOFTWARE -- 0.5% 54,000 Mercury Interactive Corporation!!............................. 2,452 170,000 Microsoft Corporation......................................... 4,724 ---------- 7,176 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 3 NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- 0.3% 320,000 Crown Castle International Corporation!!...................... $ 3,011 75,000 Nextel Communications, Inc., Class A!!........................ 1,477 ---------- 4,488 ---------- TOTAL COMMON STOCKS (Cost $234,090)............................................. 256,947 ---------- PRINCIPAL AMOUNT (000) - -------- CONVERTIBLE BONDS AND NOTES -- 58.3% AEROSPACE AND DEFENSE -- 0.3% $ 4,180 L-3 Communications Holdings, Inc., 4.000% 09/15/11@............................................ 4,264 ---------- AIRLINES -- 0.8% 11,900 Delta Air Lines, Inc., 8.000% 06/03/23@............................................ 11,112 ---------- AUTOMOTIVE -- 0.9% 7,200 Sonic Automotive Inc., 5.250% 05/07/09............................................. 6,462 5,850 Tower Automotive Inc., 5.000% 08/01/04(a).......................................... 5,762 ---------- 12,224 ---------- BROADCASTING AND CABLE -- 2.8% 6,925 Liberty Media Corporation, 0.750% 03/30/23............................................. 7,436 1,975 Liberty Media Corporation, 3.500% 01/15/31(a).......................................... 1,521 12,310 Liberty Media Corporation, 3.250% 03/15/31(a).......................................... 11,940 7,255 Liberty Media Group, 3.500% 01/15/31@............................................ 5,586 10,800 The Walt Disney Company, 2.125% 04/15/23............................................. 11,030 ---------- 37,513 ---------- CHEMICALS -- BASIC -- 0.4% 4,915 Church & Dwight Co., Inc., 5.250% 08/15/33............................................. 5,222 ---------- COMMERCIAL SERVICES -- 2.0% 4,290 Acxiom Corporation, 3.750% 02/15/09@............................................ 4,676 11,910 Fair Issac Corporation, 1.500% 08/15/23............................................. 12,729 7,897 Lennox International Inc., 6.250% 06/01/09............................................. 9,101 ---------- 26,506 ---------- COMPUTER SERVICES -- 2.3% 13,720 Amazon.com, Inc., 4.750% 02/01/09............................................. 13,085
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- COMPUTER SERVICES -- (CONTINUED) $ 11,910 DST Systems Inc., 4.125% 08/15/23............................................. $ 13,221 3,850 The BISYS Group, Inc., 4.000% 03/15/06@............................................ 3,696 975 The BISYS Group, Inc., 4.000% 03/15/06............................................. 936 ---------- 30,938 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 1.5% 8,910 Quantum Corporation, 4.375% 08/01/10............................................. 8,621 970 School Specialty, Inc., 6.000% 08/01/08............................................. 1,029 5,330 School Specialty, Inc., 6.000% 08/01/08@............................................ 5,656 4,900 School Specialty, Inc., 3.750% 08/01/23............................................. 4,839 ---------- 20,145 ---------- CONGLOMERATES -- 2.6% 13,750 Tyco International Group, 2.750% 01/15/18............................................. 15,073 17,350 Tyco International Group, 3.125% 01/15/23............................................. 19,476 ---------- 34,549 ---------- CONSTRUCTION -- 0.6% 11,750 Shaw Group Inc., 2.487%*** 05/01/21(a)....................................... 7,608 ---------- CONSUMER SERVICES -- 0.7% 3,960 Pegasus Solution Inc., 3.875% 07/15/23............................................. 3,836 10,890 RPM International, Inc., 1.389% 05/13/33............................................. 5,336 ---------- 9,172 ---------- DIVERSIFIED ELECTRONICS -- 0.3% 4,776 Electro Scientific Industries, Inc., 4.250% 12/21/06............................................. 4,573 ---------- DIVERSIFIED MANUFACTURING -- 0.8% 4,715 Kaydon Corporation, 4.000% 05/23/23............................................. 4,933 6,686 Maverick Tube Corporation, 4.000% 06/15/33(a).......................................... 5,809 ---------- 10,742 ---------- ELECTRIC POWER -- NON NUCLEAR -- 2.0% 8,925 CenterPoint Energy, Inc., 3.750% 05/15/23............................................. 9,115 12,890 PPL Energy Supply LLC, 2.625% 05/15/23............................................. 12,728 5,950 Reliant Resources, Inc., 5.000% 08/15/10(a).......................................... 5,065 ---------- 26,908 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 4 NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ELECTRIC POWER -- NUCLEAR -- 0.7% $ 10,750 Calpine Corporation, 4.000% 12/26/06............................................. $ 9,850 ---------- ELECTRICAL EQUIPMENT -- 1.5% 16,870 Vishay Intertechnology, 3.625% 08/01/23(a).......................................... 20,033 ---------- ENERGY -- MISCELLANEOUS -- 0.1% 1,000 Massey Energy Company, 4.750% 05/15/23(a).......................................... 1,005 ---------- EXPLORATION AND PRODUCTION -- 1.4% 4,225 Devon Energy Corporation, 4.950% 08/15/08............................................. 4,299 8,925 Kerr-McGee Corporation, 5.250% 02/15/10............................................. 9,305 5,450 Massey Energy Company, 4.750% 05/15/23............................................. 5,477 ---------- 19,081 ---------- FOOD PRODUCTS -- 0.8% 4,000 Bunge Ltd., 3.750% 11/15/22............................................. 4,305 5,075 Performance Food Group Company, 5.500% 10/16/08............................................. 6,743 ---------- 11,048 ---------- HEALTH SERVICES -- 1.6% 3,970 Affymetrix Inc., 4.750% 02/15/07............................................. 3,623 9,920 Health Management Associates, Inc., 1.500% 08/01/23............................................. 10,465 6,950 Lincare Holdings Inc., 3.000% 06/15/33............................................. 7,150 ---------- 21,238 ---------- INSURANCE -- 0.9% 5,892 Ohio Casualty Corporation, 5.000% 03/19/22@............................................ 5,678 5,850 PMI Group Inc., 2.500% 07/15/21@............................................ 6,187 ---------- 11,865 ---------- MEDICAL DEVICES AND SUPPLIES -- 2.1% 7,410 Charles River Labs Inc., 3.500% 02/01/22@............................................ 7,364 14,890 Invitrogen Corporation, 2.000% 08/01/23............................................. 16,360 3,970 Protein Design Labs, Inc., 2.750% 08/16/23............................................. 3,876 ---------- 27,600 ---------- METALS AND MINING -- 2.2% 12,785 Freeport-McMoran Copper & Gold, Inc., 7.000% 02/11/11............................................. 17,100 4,995 Inco Ltd., 1.000% 03/14/23@............................................ 5,182 4,870 Inco Ltd., 3.500% 03/14/52............................................. 5,990
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- METALS AND MINING -- (CONTINUED) $ 1,000 Inco Ltd., 3.500% 03/14/52@............................................ $ 1,230 ---------- 29,502 ---------- NATURAL GAS PIPELINES -- 0.4% 4,970 Dynegy Inc., 4.750% 08/15/23............................................. 5,709 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 3.8% 8,860 American Tower Corporation, 6.250% 10/15/09............................................. 8,439 11,910 American Tower Corporation, 3.250% 08/01/10............................................. 12,773 4,940 Corning Inc., 3.500% 11/01/08............................................. 5,786 9,830 Crown Castle International Corporation, 4.000% 07/15/10............................................. 11,612 12,800 Lucent Technologies Inc., 2.750% 06/15/23............................................. 12,016 ---------- 50,626 ---------- OIL REFINING AND MARKETING -- 0.2% 2,000 Fisher Scientific International, 2.500% 10/01/23............................................. 2,205 ---------- OILFIELD SERVICES -- 2.3% 9,925 Halliburton Company, 3.125% 07/15/23............................................. 9,925 8,226 Hanover Compressor Company, 4.750% 03/15/08............................................. 7,393 1,000 Pride International, Inc., 2.500% 03/01/07............................................. 1,180 11,900 Pride International, Inc., 3.250% 05/01/33(a).......................................... 12,138 ---------- 30,636 ---------- PACKAGING AND CONTAINERS -- 1.3% 17,910 Sealed Air Corporation, 3.000% 06/30/33(a).......................................... 17,843 ---------- PHARMACEUTICALS -- 6.2% 9,920 Amgen Inc., 0.962%*** 03/01/32.......................................... 7,552 2,970 Axcan Pharmaceuticals, Inc., 4.250% 04/15/08@............................................ 3,512 3,970 Celgene Corporation, 1.750% 06/01/08............................................. 4,580 9,260 Enzon Pharmaceuticals Inc., 4.500% 07/01/08............................................. 7,709 11,880 ICOS Corporation, 2.000% 07/01/23............................................. 11,004 5,700 IVAX Corporation, 4.500% 05/15/08@............................................ 5,593
SEE NOTES TO FINANCIAL STATEMENTS. 5 NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- PHARMACEUTICALS -- (CONTINUED) $ 1,400 IVAX Corporation, 4.500% 05/15/08............................................. $ 1,374 3,270 K-V Pharmaceutical Company, 2.500% 05/16/33............................................. 3,785 2,100 Medicis Pharmaceutical Corporation, Inc., 2.500% 06/04/32@............................................ 2,449 170 Medicis Pharmaceutical Corporation, Inc., 2.500% 06/04/32............................................. 198 6,950 Sepracor Inc., 5.000% 02/15/07(a).......................................... 6,429 7,950 Teva Pharmaceutical Industries Ltd., 0.375% 11/15/22............................................. 11,169 11,290 Vertex Pharmaceuticals, Inc., 5.000% 09/19/07............................................. 9,540 6,970 Watson Pharmaceuticals, 1.750% 03/15/23@............................................ 8,451 ---------- 83,345 ---------- PUBLISHING AND ADVERTISING -- 1.1% 2,420 Interpublic Group of Companies, Inc., 4.500% 03/15/23@............................................ 3,415 12,795 Lamar Advertising Company, 2.875% 12/31/10............................................. 11,740 ---------- 15,155 ---------- RAILROADS, TRUCKING AND SHIPPING -- 1.3% 5,875 GATX Corporation, 7.500% 02/01/07@............................................ 6,131 1,805 GATX Corporation, 7.500% 02/01/07............................................. 1,884 3,952 GATX Corporation, 5.000% 08/15/23............................................. 4,308 4,960 Yellow Corporation, 5.000% 08/08/23(a).......................................... 5,822 ---------- 18,145 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.1% 1,170 EOP Operating, LP, 7.250%** 11/15/08@.......................................... 1,230 ---------- RETAIL -- SPECIALTY -- 0.5% 6,720 J.C. Penney Company, Inc., 5.000% 10/15/08@............................................ 6,838 ---------- SEMICONDUCTORS -- 4.9% 14,750 Agere Systems Inc., 6.500% 12/15/09............................................. 19,045 9,745 Agilent Technologies, Inc., 3.000% 12/01/21@............................................ 9,829 3,080 Conexant Systems, Inc., 4.000% 02/01/07............................................. 2,614 4,818 Fairchild Semiconductor Corporation, 5.000% 11/01/08@............................................ 4,716
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- SEMICONDUCTORS -- (CONTINUED) $ 2,000 Fairchild Semiconductor Corporation, Class A, 5.000% 11/01/08............................................. $ 1,958 5,420 International Rectifier Corporation, 4.250% 07/15/07............................................. 5,163 4,880 Kulicke & Soffa Industries Inc., 5.250% 08/15/06............................................. 4,465 4,900 Kulicke & Soffa Industries, Inc., 4.750% 12/15/06............................................. 4,294 990 LSI Logic Corporation, 4.000% 11/01/06............................................. 947 4,351 LSI Logic Corporation, 4.000% 11/01/06@............................................ 4,161 7,920 LSI Logic Corporation, 4.000% 05/15/10@............................................ 8,554 ---------- 65,746 ---------- SOFTWARE -- 1.4% 10,325 BEA Systems, Inc., 4.000% 12/15/06............................................. 10,093 3,680 Documentum, Inc., 4.500% 04/01/07............................................. 3,951 4,686 Mercury Interactive Corporation, 4.750% 07/01/07(a).......................................... 4,657 ---------- 18,701 ---------- SPECIALTY STORES -- 0.4% 5,295 Barnes & Noble, Inc., 5.250% 03/15/09@............................................ 5,434 ---------- TELECOMMUNICATIONS SERVICES -- 5.1% 9,405 Andrew Corporation, 3.250% 08/15/13............................................. 11,097 9,675 AT&T Corporation - Liberty Media Group, 4.000% 11/15/29............................................. 6,410 2,900 Centurytel Inc., 4.750% 08/01/32............................................. 3,353 4,925 Commonwealth Telephone Enterprises, Inc., 3.250% 07/15/23............................................. 4,999 6,800 Harris Corporation, 3.500% 08/15/22............................................. 7,302 3,000 Level 3 Communications, Inc., 6.000% 09/15/09(a).......................................... 1,913 2,000 Level 3 Communications, Inc., 6.000% 03/15/10(a).......................................... 1,255 6,880 Level 3 Communications, Inc., 2.875% 07/15/10(a).......................................... 6,768 2,940 Nextel Communications, Inc., 6.000% 06/01/11............................................. 3,186 11,560 Nextel Communications, Inc., Class A, 5.250% 01/15/10............................................. 10,780
SEE NOTES TO FINANCIAL STATEMENTS. 6 NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 11,450 Nextel Partners, Inc., 1.500% 11/15/08............................................. $ 11,926 ---------- 68,989 ---------- TOTAL CONVERTIBLE BONDS AND NOTES (Cost $742,415)............................................. 783,300 ---------- SHARES - --------- CONVERTIBLE PREFERRED STOCKS -- 21.4% AEROSPACE AND DEFENSE -- 1.2% 45,000 Northrop Grumman Corporation, 7.00%........................... 5,306 80,350 Northrop Grumman Corporation, 7.25%........................... 7,858 68,500 Raytheon Company(a)........................................... 3,627 ---------- 16,791 ---------- AUTOMOTIVE -- 1.7% 74,000 Ford Motor Company Capital Trust II........................... 3,205 552,250 General Motors Corporation.................................... 14,883 233,300 General Motors Corporation, Series B.......................... 5,361 ---------- 23,449 ---------- BEVERAGES -- 0.5% 210,350 Constellation Brands, Inc. ................................... 6,083 ---------- COMMERCIAL BANKING -- 0.7% 145,000 Washington Mutual Capital Trust I............................. 7,767 40,000 Washington Mutual Inc. ....................................... 2,143 ---------- 9,910 ---------- COMMERCIAL SERVICES -- 0.5% 138,680 Cendant Corporation........................................... 6,349 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 0.5% 63,700 Xerox Corporation............................................. 6,519 ---------- CONSUMER CREDIT AND MORTGAGES -- 0.9% 47,550 Doral Financial Corporation................................... 11,965 ---------- CONSUMER SERVICES -- 0.3% 66,255 Allied Waste Industries, Inc. ................................ 4,124 ---------- DIVERSIFIED MANUFACTURING -- 1.0% 97,800 Williams Companies, Inc.(a)................................... 5,892 119,100 Williams Companies, Inc.@..................................... 7,176 ---------- 13,068 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.7% 288,200 Ameren Corporation............................................ 8,026 120,200 Cinergy Corporation........................................... 7,356 330,000 Duke Energy Corporation....................................... 4,310 175,300 PPL Capital Fund Trust I...................................... 3,685 ---------- 23,377 ----------
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- HEALTH SERVICES -- 1.3% 70,200 Anthem, Inc. ................................................. $ 5,985 205,850 Omnicare, Inc.(a)............................................. 11,579 ---------- 17,564 ---------- HEAVY MACHINERY -- 1.0% 179,200 Cummins Capital Trust I....................................... 10,528 42,000 Cummins Capital Trust I@...................................... 2,468 ---------- 12,996 ---------- INSURANCE -- 2.6% 208,360 Hartford Financial Services Group, Inc. ...................... 11,654 196,225 Prudential Financial Inc. .................................... 11,785 66,000 Reinsurance Group of America Inc. ............................ 3,919 175,560 UnumProvident Corporation..................................... 5,650 ---------- 33,008 ---------- INVESTMENT SERVICES -- 0.8% 294,000 Citigroup Global Markets Holdings Inc. ....................... 10,222 ---------- MEDICAL DEVICES AND SUPPLIES -- 0.9% 242,160 Baxter International Inc. .................................... 12,750 ---------- METALS AND MINING -- 0.2% 43,750 Arch Coal, Inc. .............................................. 2,838 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.1% 85,950 Lucent Technologies Capital Trust I........................... 7,131 20,000 Lucent Technologies Inc. ..................................... 2,075 270,000 Merrill Lynch-Series Cisco.................................... 5,360 ---------- 14,566 ---------- OIL AND GAS -- 1.0% 173,650 Chesapeake Energy Corporation................................. 10,853 46,200 Southern Union Company........................................ 2,587 ---------- 13,440 ---------- PAPER AND FOREST PRODUCTS -- 1.0% 172,500 Boise Cascade Corporation..................................... 7,807 111,400 Temple-Inland Inc. ........................................... 5,442 ---------- 13,249 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.3% 176,700 Equity Residential Properties Trust........................... 4,608 ---------- SEMICONDUCTORS -- 0.4% 154,990 Motorola, Inc.(a)............................................. 5,877 ---------- TELECOMMUNICATIONS SERVICES -- 1.8% 199,600 Alltel Corporation............................................ 9,759 116,000 CenturyTel, Inc. ............................................. 3,213 228,000 Citizens Communications Company............................... 5,495
SEE NOTES TO FINANCIAL STATEMENTS. 7 NATIONS FUNDS Nations Convertible Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) 113,600 Citizens Utilities Trust...................................... $ 5,669 ---------- 24,136 ---------- TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $270,116)............................................. 286,889 ---------- PRINCIPAL AMOUNT (000) - --------- FOREIGN CONVERTIBLE BONDS AND NOTES -- 0.6% (Cost $7,023) $ 9,800 Nortel Networks Corporation, 4.250% 09/01/08............................................. 8,649 ---------- SHARES (000) - -------- INVESTMENT COMPANIES -- 15.8% (Cost $213,064) 213,064 Nations Cash Reserves, Capital Class Shares#.................. 213,064 ---------- TOTAL INVESTMENTS (Cost $1,466,708*)................................ 115.2% 1,548,849 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. (15.2)% Receivable for investment securities sold..................... $ 994 Receivable for Fund shares sold............................... 2,612 Dividends receivable.......................................... 532 Interest receivable........................................... 6,839 Receivable from investment adviser............................ 44 Collateral on securities loaned............................... (210,066) Payable for Fund shares redeemed.............................. (2,517) Investment advisory fee payable............................... (724) Administration fee payable.................................... (256) Shareholder servicing and distribution fees payable........... (236) Due to custodian.............................................. (995) Accrued Trustees' fees and expenses........................... (73) Accrued expenses and other liabilities........................ (209) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (204,055) ---------- NET ASSETS.......................................... 100.0% $1,344,794 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 464 Accumulated net realized loss on investments sold............. (89,370) Net unrealized appreciation of investments.................... 82,141 Paid-in capital............................................... 1,351,559 ---------- NET ASSETS.................................................... $1,344,794 ========== VALUE - ---------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($795,691,991 / 51,891,112 shares outstanding).............. $15.33 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($356,003,086 / 23,210,155 shares outstanding).............................. $15.34 ========== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $16.28 INVESTOR B SHARES: Net asset value and offering price per share& ($138,344,590 / 9,111,890 shares outstanding)............... $15.18 ========== INVESTOR C SHARES: Net asset value and offering price per share& ($54,754,520 / 3,571,256 shares outstanding)................ $15.33 ==========
- --------------- * Federal income tax information (see Note 12). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. !!Non-income producing security. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. @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. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $210,066. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $195,072 and $202,733, respectively. ABBREVIATIONS: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 8 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- COMMON STOCKS -- 62.9% AEROSPACE AND DEFENSE -- 1.4% 24,602 Boeing Company................................................ $ 845 32,289 Rockwell Collins, Inc. ....................................... 815 17,735 United Technologies Corporation............................... 1,370 -------- 3,030 -------- AUTOMOTIVE -- 0.5% 25,631 Ford Motor Company............................................ 276 15,786 Lear Corporation!!............................................ 831 -------- 1,107 -------- BEVERAGES -- 1.6% 16,875 Anheuser-Busch Companies, Inc. ............................... 833 17,824 Coca-Cola Company............................................. 766 40,457 PepsiCo, Inc. ................................................ 1,853 -------- 3,452 -------- BROADCASTING AND CABLE -- 1.8% 31,925 AOL Time Warner Inc.!!........................................ 482 9,997 Clear Channel Communications, Inc. ........................... 383 25,745 Comcast Corporation, Class A!!................................ 761 9,246 Pixar, Inc.!!................................................. 615 6,469 The E.W. Scripps Company, Class A............................. 551 25,132 Viacom Inc., Class B.......................................... 962 -------- 3,754 -------- BUILDING MATERIALS -- 0.4% 9,106 American Standard Companies Inc.!!............................ 767 -------- CHEMICALS -- SPECIALTY -- 0.7% 13,085 International Flavors & Fragrances, Inc. ..................... 433 41,746 Monsanto Company.............................................. 999 -------- 1,432 -------- COMMERCIAL BANKING -- 7.9% 34,507 Charter One Financial, Inc. .................................. 1,056 84,578 Citigroup Inc.##.............................................. 3,848 13,593 City National Corporation..................................... 693 25,661 Comerica Inc. ................................................ 1,196 60,000 FleetBoston Financial Corporation............................. 1,809 23,389 Hibernia Corporation, Class A................................. 474 24,736 Mellon Financial Corporation.................................. 746 13,880 PNC Financial Services Group.................................. 660 36,520 Sovereign Bancorp, Inc. ...................................... 677 76,748 US Bancorp.................................................... 1,841 26,937 Wachovia Corporation.......................................... 1,110 40,768 Washington Mutual, Inc. ...................................... 1,605 13,973 Zions Bancorporation.......................................... 780 -------- 16,495 -------- COMPUTER SERVICES -- 1.2% 9,233 Affiliated Computer Services, Inc., Class A!!................. 450 50,324 Convergys Corporation!!....................................... 923 50,419 CSG Systems International, Inc.!!............................. 745 12,746 First Data Corporation........................................ 509 -------- 2,627 --------
VALUE SHARES (000) - ------------------------------------------------------------------------------------- COMPUTERS AND OFFICE EQUIPMENT -- 1.3% 8,953 Dell Inc.!!................................................... $ 299 15,846 Hewlett-Packard Company....................................... 307 19,144 International Business Machines Corporation................... 1,690 10,952 Pitney Bowes Inc. ............................................ 420 -------- 2,716 -------- CONGLOMERATES -- 0.3% 14,260 Pentair, Inc. ................................................ 569 -------- CONSUMER CREDIT AND MORTGAGES -- 1.0% 11,294 Fannie Mae.................................................... 793 59,747 MBNA Corporation.............................................. 1,362 -------- 2,155 -------- CONSUMER SERVICES -- 0.1% 12,670 Hewitt Associates, Inc.!!..................................... 309 -------- DEPARTMENT AND DISCOUNT STORES -- 1.0% 39,485 Wal-Mart Stores, Inc.##....................................... 2,205 -------- DIVERSIFIED ELECTRONICS -- 1.1% 20,612 Cooper Industries, Ltd. ...................................... 990 34,499 Flextronics International Ltd.!!.............................. 489 21,912 Harris Corporation............................................ 784 -------- 2,263 -------- DIVERSIFIED MANUFACTURING -- 2.6% 12,688 3M Company.................................................... 876 119,441 General Electric Company...................................... 3,561 25,581 Harsco Corporation............................................ 984 -------- 5,421 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.7% 94,089 AES Corporation!!............................................. 698 12,864 Entergy Corporation........................................... 697 -------- 1,395 -------- ELECTRIC POWER -- NUCLEAR -- 0.8% 15,068 DTE Energy Company............................................ 556 16,755 FPL Group, Inc. .............................................. 1,059 -------- 1,615 -------- ELECTRICAL EQUIPMENT -- 0.2% 24,725 Celestica Inc.!!.............................................. 392 -------- EXPLORATION AND PRODUCTION -- 0.2% 11,857 Anadarko Petroleum Corporation................................ 495 -------- FINANCE -- MISCELLANEOUS -- 0.9% 10,994 Affiliated Managers Group, Inc.!!............................. 690 10,383 Capital One Financial Corporation............................. 592 13,340 H & R Block, Inc. ............................................ 576 -------- 1,858 --------
SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- FINANCIAL SERVICES -- 0.5% 33,110 J.P. Morgan Chase & Company................................... $ 1,137 -------- FOOD AND DRUG STORES -- 0.3% 33,755 The Kroger Company!!.......................................... 603 -------- FOOD PRODUCTS -- 1.0% 35,012 Kellogg Company............................................... 1,168 63,781 Tyson Foods Inc., Class A..................................... 901 -------- 2,069 -------- HEALTH SERVICES -- 1.4% 22,257 Health Net Inc.!!............................................. 705 16,639 Quest Diagnostics Inc.!!...................................... 1,008 14,080 UnitedHealth Group Inc. ...................................... 709 8,041 Wellpoint Health Networks Inc.!!.............................. 620 -------- 3,042 -------- HOUSEHOLD PRODUCTS -- 1.6% 24,550 Colgate-Palmolive Company..................................... 1,372 18,511 Procter & Gamble Company...................................... 1,718 10,020 The Estee Lauder Companies Inc., Class A...................... 342 -------- 3,432 -------- HOUSING AND FURNISHING -- 0.6% 10,454 Lennar Corporation, Class A................................... 813 6,698 Mohawk Industries Inc.!!...................................... 478 -------- 1,291 -------- INSURANCE -- 2.8% 18,688 ACE Ltd. ..................................................... 618 13,033 Ambac Financial Group, Inc. .................................. 834 24,407 American International Group, Inc. ........................... 1,409 13,064 Prudential Financial, Inc. ................................... 488 33,787 The PMI Group, Inc. .......................................... 1,140 41,362 Travelers Property Casualty Corporation, Class B.............. 657 49,888 UnumProvident Corporation..................................... 737 -------- 5,883 -------- INTEGRATED OIL -- 3.4% 24,995 ChevronTexaco Corporation..................................... 1,786 78,730 Exxon Mobil Corporation##..................................... 2,881 14,090 Kerr-McGee Corporation........................................ 629 27,861 Marathon Oil Corporation...................................... 794 21,208 Occidental Petroleum Corporation.............................. 747 10,472 Valero Energy Corporation..................................... 401 -------- 7,238 -------- INVESTMENT SERVICES -- 0.8% 9,253 Lehman Brothers Holdings Inc. ................................ 639 20,754 Merrill Lynch & Company, Inc. ................................ 1,111 -------- 1,750 -------- LODGING AND RECREATION -- 1.0% 15,933 Brunswick Corporation......................................... 409 12,651 Harrah's Entertainment, Inc. ................................. 533 13,828 Mandalay Resort Group......................................... 548 35,341 Mattel, Inc. ................................................. 670 -------- 2,160 --------
VALUE SHARES (000) - ------------------------------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- 2.1% 20,753 Abbott Laboratories........................................... $ 883 18,840 Boston Scientific Corporation!!............................... 1,202 12,611 DENTSPLY International Inc. .................................. 565 38,091 Johnson & Johnson............................................. 1,887 -------- 4,537 -------- METALS AND MINING -- 0.2% 16,375 Arch Coal, Inc. .............................................. 364 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.0% 120,925 Cisco Systems, Inc.!!......................................... 2,363 93,112 Motorola, Inc. ............................................... 1,115 121,082 Tellabs, Inc.!!............................................... 822 -------- 4,300 -------- OILFIELD SERVICES -- 0.4% 17,080 GlobalSantaFe Corporation..................................... 409 16,616 Halliburton Company........................................... 403 -------- 812 -------- PACKAGING AND CONTAINERS -- 0.6% 15,221 Ball Corporation.............................................. 822 54,667 Crown Holdings, Inc.!!........................................ 369 -------- 1,191 -------- PAPER AND FOREST PRODUCTS -- 0.1% 7,041 International Paper Company................................... 275 -------- PHARMACEUTICALS -- 5.2% 12,452 Allergan, Inc. ............................................... 980 30,066 Amgen Inc.!!.................................................. 1,941 27,143 Bristol-Myers Squibb Company.................................. 696 9,985 Eli Lilly and Company......................................... 593 13,962 Express Scripts, Inc.!!....................................... 854 26,813 MedImmune, Inc.!!............................................. 885 11,179 Merck & Company, Inc. ........................................ 566 106,416 Pfizer Inc.##................................................. 3,234 52,700 Shire Pharmaceuticals Group plc, ADR!!........................ 1,165 -------- 10,914 -------- PUBLISHING AND ADVERTISING -- 0.9% 9,156 Dow Jones & Company, Inc. .................................... 434 56,347 Interpublic Group of Companies, Inc. ......................... 795 11,325 McGraw-Hill Companies, Inc. .................................. 704 -------- 1,933 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.4% 13,775 United Parcel Service, Inc., Class B.......................... 879 -------- RESTAURANTS -- 0.5% 15,421 Brinker International, Inc.!!................................. 514 27,231 Darden Restaurants, Inc. ..................................... 518 -------- 1,032 -------- SEMICONDUCTORS -- 3.4% 162,340 Agere Systems Inc., Class A!!(a).............................. 498 117,373 Intel Corporation............................................. 3,230 25,140 Intergrated Device Technology, Inc.!!......................... 312
SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- SEMICONDUCTORS -- (CONTINUED) 15,822 Lam Research Corporation!!.................................... $ 350 16,228 MKS Instruments, Inc.!!....................................... 351 27,552 Teradyne, Inc.!!.............................................. 512 55,300 Texas Instruments Inc. ....................................... 1,262 22,478 Xilinx, Inc.!!................................................ 641 -------- 7,156 -------- SOFTWARE -- 3.1% 14,362 Electronic Arts Inc.!!........................................ 1,325 16,513 Intuit Inc.!!................................................. 797 112,322 Microsoft Corporation##....................................... 3,121 54,843 Network Associates, Inc.!!.................................... 755 8,369 Symantec Corporation!!........................................ 527 -------- 6,525 -------- SPECIALTY STORES -- 1.6% 22,839 Abercrombie & Fitch Company!!................................. 633 32,607 American Eagle Outfitters, Inc.!!............................. 485 33,304 Barnes & Noble, Inc.!!........................................ 845 22,090 Home Depot, Inc. ............................................. 704 24,645 Sherwin-Williams Company...................................... 725 -------- 3,392 -------- TELECOMMUNICATIONS SERVICES -- 2.6% 29,099 BellSouth Corporation......................................... 689 31,954 CenturyTel, Inc. ............................................. 1,083 61,906 Nextel Communications, Inc., Class A!!........................ 1,219 46,997 SBC Communications Inc. ...................................... 1,046 45,125 Verizon Communications Inc.##................................. 1,463 -------- 5,500 -------- TOBACCO -- 0.7% 31,582 Altria Group, Inc. ........................................... 1,383 -------- TOTAL COMMON STOCKS (Cost $111,719)............................................. 132,855 -------- PRINCIPAL AMOUNT (000) - --------- ASSET-BACKED SECURITIES -- 1.5% ASSET-BACKED -- AUTO LOANS -- 0.8% $ 800 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08............................................. 829 450 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 5.180% 10/16/06............................................. 477 267 Ford Credit Auto Owner Trust, Series 2003-A, Class A4A, 2.700% 06/15/07............................................. 271 -------- 1,577 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 0.3% $ 125 American Express Credit Account Master, Series 2003-4, Class A, 1.690% 01/15/09............................................. $ 124 500 Citibank Credit Card Master Trust I, Series 1999-5, Class A, 6.100% 05/15/08............................................. 550 -------- 674 -------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.0%+ 77 First Plus Home Loan Trust, Series 1998-2, Class M1, 7.220% 05/10/24............................................. 79 -------- ASSET-BACKED -- OTHER -- 0.4% 900 CIT Equipment Collateral, Series 2002-VT1, Class A4, 4.670% 12/21/09##........................................... 935 -------- TOTAL ASSET-BACKED SECURITIES (Cost $3,126)............................................... 3,265 -------- CORPORATE BONDS AND NOTES -- 9.0% AEROSPACE AND DEFENSE -- 0.2% 79 Boeing Company, 5.125% 02/15/13............................................. 80 10 General Dynamics Corporation, 4.500% 08/15/10............................................. 10 151 Northrop Grumman Corporation, 7.125% 02/15/11............................................. 177 73 Raytheon Company, 5.375% 04/01/13............................................. 75 -------- 342 -------- AUTOMOTIVE -- 0.6% 243 Daimler Chrysler, 4.050% 06/04/08............................................. 241 137 Delphi Corporation, 6.125% 05/01/04............................................. 140 177 Ford Motor Company, 7.450% 07/16/31............................................. 163 362 Ford Motor Credit Company, 5.800% 01/12/09##........................................... 364 33 Ford Motor Credit Company, 7.375% 02/01/11............................................. 35 135 General Motors Acceptance Corporation, 6.150% 04/05/07............................................. 143 87 General Motors Acceptance Corporation, 6.875% 09/15/11............................................. 90 113 General Motors Acceptance Corporation, 8.000% 11/01/31............................................. 116 44 General Motors Corporation, 8.250% 07/15/23............................................. 46 -------- 1,338 --------
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- BEVERAGES -- 0.1% $ 91 Anheuser-Busch Companies, Inc., 5.950% 01/15/33............................................. $ 96 197 Cadbury Schweppes, 5.125% 10/01/13@............................................ 200 -------- 296 -------- BROADCASTING AND CABLE -- 0.4% 143 AOL Time Warner Inc., 6.150% 05/01/07............................................. 157 18 AOL Time Warner Inc., 6.875% 05/01/12............................................. 20 202 AOL Time Warner Inc., 7.625% 04/15/31##........................................... 230 116 Comcast Cable Communications, Inc., 7.125% 06/15/13............................................. 133 69 Cox Communications, Inc., Class A, 5.500% 10/01/15............................................. 71 38 Cox Enterprises, Inc., 4.375% 05/01/08@............................................ 39 21 Liberty Media Corporation, 5.700% 05/15/13(a).......................................... 21 61 Tele-Communications, Inc., Class A, 9.875% 06/15/22............................................. 85 8 Viacom Inc., Class B, 6.625% 05/15/11............................................. 9 36 Viacom Inc., Class B, 7.875% 07/30/30............................................. 45 -------- 810 -------- CHEMICALS -- BASIC -- 0.1% 44 Dow Chemical Company, 6.125% 02/01/11............................................. 47 50 Dow Chemical Company, 7.375% 11/01/29............................................. 56 38 Eastman Chemical Company, 3.250% 06/15/08............................................. 37 -------- 140 -------- CHEMICALS -- SPECIALTY -- 0.1% 63 E.I. du Pont de Nemours and Company, 3.375% 11/15/07............................................. 64 49 Praxair, Inc., 4.750% 07/15/07............................................. 52 68 Praxair, Inc., 6.500% 03/01/08............................................. 77 -------- 193 -------- COMMERCIAL BANKING -- 1.7% 131 AmSouth Bank N.A., 4.850% 04/01/13............................................. 133 351 Bank One Corporation, 6.000% 08/01/08............................................. 392 326 Citigroup Inc., 7.250% 10/01/10##........................................... 386 88 Citigroup Inc., 6.000% 02/21/12............................................. 97 69 City National Bank, 5.125% 02/15/13............................................. 70
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 84 FleetBoston Financial Corporation, 7.250% 09/15/05............................................. $ 93 133 Golden West Financial Corporation, 4.750% 10/01/12............................................. 136 210 J.P. Morgan Chase & Company, 7.250% 06/01/07............................................. 241 67 Key Bank N.A., 7.000% 02/01/11............................................. 78 101 Mellon Funding Corporation, 6.700% 03/01/08............................................. 115 81 Mellon Funding Corporation, 6.400% 05/14/11............................................. 92 226 National City Bank, 4.625% 05/01/13............................................. 228 102 PNC Funding Corporation, 7.000% 09/01/04............................................. 107 153 PNC Funding Corporation, 5.750% 08/01/06............................................. 166 161 Popular North America Inc., MTN, Series E, 6.125% 10/15/06............................................. 179 71 Regions Financial Corporation, 7.750% 09/15/24............................................. 88 53 SouthTrust Bank N.A., 4.750% 03/01/13............................................. 53 209 US Bank N.A., Minnesota, 6.375% 08/01/11............................................. 237 297 Wachovia Corporation, 4.950% 11/01/06............................................. 320 180 Washington Mutual, Inc., 5.625% 01/15/07............................................. 196 199 Wells Fargo Financial, Inc., 4.875% 06/12/07............................................. 215 -------- 3,622 -------- COMPUTER SERVICES -- 0.0%+ 24 Electronic Data Systems Corporation, 6.000% 08/01/13@............................................ 23 -------- COMPUTERS AND OFFICE EQUIPMENT -- 0.1% 59 International Business Machines Corporation, 6.500% 01/15/28............................................. 65 33 International Business Machines Corporation, 5.875% 11/29/32............................................. 34 123 Pitney Bowes Inc., 4.625% 10/01/12............................................. 124 -------- 223 -------- CONGLOMERATES -- 0.1% 118 Waste Management, Inc., 7.375% 08/01/10............................................. 138 --------
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- CONSUMER CREDIT AND MORTGAGES -- 0.2% $ 56 American Express Company, 3.750% 11/20/07............................................. $ 58 50 American Express Credit Corporation, 3.000% 05/16/08............................................. 49 65 American General Finance, MTN, Series H, 2.750% 06/15/08............................................. 63 302 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06............................................. 325 -------- 495 -------- CONSUMER SERVICES -- 0.0%+ 18 Monsanto Company, 4.000% 05/15/08............................................. 18 -------- DEPARTMENT AND DISCOUNT STORES -- 0.2% 21 Kohl's Corporation, 6.000% 01/15/33............................................. 22 22 Target Corporation, 5.375% 06/15/09............................................. 24 106 Target Corporation, 5.875% 03/01/12............................................. 117 175 Wal-Mart Stores, Inc., 5.450% 08/01/06............................................. 191 50 Wal-Mart Stores, Inc., 4.550% 05/01/13............................................. 50 -------- 404 -------- DIVERSIFIED ELECTRONICS -- 0.1% 188 First Data Corporation, 4.700% 08/01/13............................................. 189 -------- DIVERSIFIED MANUFACTURING -- 0.0%+ 77 The Scotts Company, Class A, 8.625% 01/15/09............................................. 81 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.1% 56 Appalachian Power Company, Series G, 3.600% 05/15/08............................................. 56 135 Cinergy Corporation, 6.250% 09/01/04............................................. 140 35 Dominion Resources, Inc., 5.000% 03/15/13............................................. 35 22 Ohio Edison Company, 4.000% 05/01/08@............................................ 22 45 Pepco Holdings, Inc., 5.500% 08/15/07............................................. 47 -------- 300 -------- ELECTRIC POWER -- NUCLEAR -- 0.2% 35 Duquesne Light Company, 6.700% 04/15/12............................................. 40 89 FirstEnergy Corporation, Series B, 6.450% 11/15/11............................................. 93 53 FirstEnergy Corporation, Series C, 7.375% 11/15/31............................................. 54
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- ELECTRIC POWER -- NUCLEAR -- (CONTINUED) $ 117 Southern Company Capital Funding, Series A, 5.300% 02/01/07............................................. $ 127 66 Southern Power Company, Series B, 6.250% 07/15/12............................................. 72 93 Virginia Electric and Power Company, Series A, 5.375% 02/01/07............................................. 100 -------- 486 -------- ENERGY -- MISCELLANEOUS -- 0.2% 18 New York State Electric & Gas, 5.750% 05/01/23............................................. 17 113 Nisource Finance Corporation, 5.400% 07/15/14............................................. 115 221 Progress Energy, Inc., 6.050% 04/15/07............................................. 240 -------- 372 -------- EXPLORATION AND PRODUCTION -- 0.2% 206 Pioneer Natural Resources Company, 6.500% 01/15/08............................................. 223 175 XTO Energy, Inc., 7.500% 04/15/12............................................. 195 -------- 418 -------- FINANCE -- MISCELLANEOUS -- 0.6% 120 Associates Corporation of North America, 6.950% 11/01/18............................................. 141 87 CIT Group Inc., 7.375% 04/02/07............................................. 100 42 General Electric Capital Corporation, MTN, Series A, 4.250% 01/15/08(a).......................................... 44 372 General Electric Capital Corporation, MTN, Series A, 6.750% 03/15/32............................................. 419 136 Household Finance Corporation, 5.875% 02/01/09............................................. 149 53 Household Finance Corporation, 6.375% 11/27/12............................................. 59 72 Household Finance Corporation, 7.350% 11/27/32............................................. 85 52 International Lease Finance Corporation, 4.500% 05/01/08............................................. 54 80 National Rural Utilities Cooperative Finance Corporation, 3.250% 10/01/07............................................. 81 90 National Rural Utilities Cooperative Finance Corporation, 5.750% 08/28/09............................................. 99 69 National Rural Utilities Cooperative Finance Corporation, MTN, Series C, 8.000% 03/01/32............................................. 86 -------- 1,317 --------
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- FOOD AND DRUG STORES -- 0.1% $ 202 Fred Meyer, Inc., 7.450% 03/01/08............................................. $ 234 19 The Kroger Company, 6.800% 04/01/11............................................. 22 23 The Kroger Company, 6.750% 04/15/12............................................. 26 -------- 282 -------- HEALTH SERVICES -- 0.2% 82 Cardinal Health, Inc., 6.750% 02/15/11............................................. 95 193 Wellpoint Health Networks Inc., 6.375% 06/15/06............................................. 214 45 Wellpoint Health Networks Inc., 6.375% 01/15/12............................................. 50 -------- 359 -------- HEAVY MACHINERY -- 0.1% 154 Caterpillar Finance Services Corporation, 5.950% 05/01/06............................................. 168 -------- HOUSEHOLD PRODUCTS -- 0.1% 114 Proctor & Gamble Company, 4.750% 06/15/07............................................. 122 -------- INSURANCE -- 0.4% 37 Hartford Life, Inc., 7.375% 03/01/31............................................. 43 31 Marsh & McLennan Companies, Inc., 5.875% 08/01/33............................................. 31 70 Mass Mutual Global Funding II, 2.550% 07/15/08@............................................ 68 85 Metlife, Inc., 6.500% 12/15/32............................................. 91 30 Nationwide Financial Services, Inc., Class A, 5.900% 07/01/12............................................. 32 144 Principal Life Global, 6.250% 02/15/12@............................................ 160 47 Progressive Corporation, 6.250% 12/01/32............................................. 50 212 Prudential Funding LLC, MTN, 6.600% 05/15/08@............................................ 241 46 The Hartford Financial Services Group, Inc., 2.375% 06/01/06............................................. 46 35 The Hartford Financial Services Group, Inc., 4.625% 07/15/13@............................................ 34 -------- 796 -------- INTEGRATED OIL -- 0.1% 194 USX Corporation, 6.650% 02/01/06............................................. 214 -------- INVESTMENT SERVICES -- 1.0% 167 Bear Stearns Companies Inc., 4.000% 01/31/08............................................. 172
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- INVESTMENT SERVICES -- (CONTINUED) $ 25 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. $ 27 104 Credit Suisse First Boston USA, Inc., 6.125% 11/15/11............................................. 114 204 Goldman Sachs Group, Inc., 6.875% 01/15/11##........................................... 235 169 Goldman Sachs Group, Inc., 6.600% 01/15/12............................................. 191 185 Lehman Brothers Holdings Inc., 4.000% 01/22/08............................................. 190 152 Lehman Brothers Holdings Inc., 7.000% 02/01/08............................................. 174 38 Lehman Brothers Holdings Inc., 7.875% 08/15/10............................................. 46 189 Merrill Lynch & Company, Inc., 6.000% 02/17/09............................................. 209 82 Merrill Lynch & Company, Inc., MTN, Series B, 2.070% 06/12/06............................................. 81 63 Merrill Lynch & Company, Inc., MTN, Series B, 3.700% 04/21/08............................................. 64 245 Morgan Stanley, 6.750% 04/15/11##........................................... 281 109 Morgan Stanley, 6.600% 04/01/12............................................. 123 68 Morgan Stanley, 5.300% 03/01/13............................................. 70 80 Salomon Smith Barney Holdings Inc., 6.500% 02/15/08............................................. 91 -------- 2,068 -------- MEDICAL DEVICES AND SUPPLIES -- 0.0%+ 57 Bristol-Myers Squibb Company, 5.250% 08/15/13@(a)......................................... 59 -------- METALS AND MINING -- 0.1% 100 Alcoa Inc., 7.375% 08/01/10............................................. 119 -------- NATURAL GAS DISTRIBUTION -- 0.1% 250 CenterPoint Energy Resources Corporation, 7.875% 04/01/13@............................................ 281 -------- NATURAL GAS PIPELINES -- 0.2% 241 Kinder Morgan, Inc., 6.650% 03/01/05............................................. 257 125 Teppco Partners, LP, 7.625% 02/15/12............................................. 147 -------- 404 --------
SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- OIL REFINING AND MARKETING -- 0.0%+ $ 39 Valero Energy Corporation, 6.875% 04/15/12............................................. $ 44 -------- PAPER AND FOREST PRODUCTS -- 0.1% 70 Champion International Corporation, 7.350% 11/01/25............................................. 78 62 International Paper Company, 5.850%** 10/30/12........................................... 66 52 MeadWestvaco Corporation, 6.850% 04/01/12............................................. 59 91 MeadWestvaco Corporation, 8.200% 01/15/30............................................. 108 -------- 311 -------- PHARMACEUTICALS -- 0.0%+ 27 Pharmacia Corporation, 6.600% 12/01/28............................................. 31 -------- PUBLISHING AND ADVERTISING -- 0.2% 81 Gannett Company, Inc., 6.375% 04/01/12............................................. 92 58 Knight-Ridder, Inc., 7.125% 06/01/11............................................. 68 20 News America Holdings, 9.250% 02/01/13............................................. 26 116 News America Holdings, 8.150% 10/17/36............................................. 143 25 News America Inc., 6.550% 03/15/33............................................. 26 -------- 355 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.2% 147 Burlington Northern Santa Fe Corporation, 6.750% 07/15/11............................................. 170 234 FedEx Corporation, 6.625% 02/12/04............................................. 238 -------- 408 -------- REAL ESTATE -- 0.1% 129 EOP Operating LP, 7.000% 07/15/11............................................. 147 16 ERP Operating LP, 5.200% 04/01/13............................................. 16 -------- 163 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.1% 58 Health Care Property Investors, Inc., 6.450% 06/25/12............................................. 63 59 Health Care Property Investors, Inc., MTN, Series D, 7.480% 04/05/04............................................. 60 -------- 123 -------- TELECOMMUNICATIONS SERVICES -- 0.7% 24 AT&T Corporation, 7.800% 11/15/11............................................. 28
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 17 AT&T Corporation, 8.500%** 11/15/31........................................... $ 20 41 AT&T Wireless Services Inc., 8.125% 05/01/12............................................. 49 37 AT&T Wireless Services Inc., 8.750% 03/01/31............................................. 46 138 BellSouth Telecommunications Inc., 6.375% 06/01/28............................................. 148 30 Citizens Communications Company, 9.250% 05/15/11............................................. 38 15 Citizens Communications Company, 9.000% 08/15/31............................................. 20 107 Cox Communications, Inc., Class A, 7.750% 11/01/10............................................. 128 31 Pacific Bell, 7.125% 03/15/26............................................. 36 69 SBC Communications Inc., 6.250% 03/15/11............................................. 77 24 Sprint Capital Corporation, 6.125% 11/15/08............................................. 26 204 Sprint Capital Corporation, 8.375% 03/15/12##........................................... 241 106 Sprint Capital Corporation, 8.750% 03/15/32............................................. 126 28 Verizon Global Funding Corporation, 7.750% 12/01/30............................................. 34 224 Verizon New England Inc., 6.500% 09/15/11............................................. 251 200 Verizon Pennsylvania Inc., Series A, 5.650% 11/15/11............................................. 214 -------- 1,482 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $17,876).............................................. 18,994 -------- FOREIGN BONDS AND NOTES -- 1.3% BROADCASTING AND CABLE -- 0.0%+ 17 Rogers Cable Inc., 6.250% 06/15/13............................................. 17 -------- BUILDING MATERIALS -- 0.1% 185 Hanson Overseas BV, 6.750% 09/15/05............................................. 200 -------- CHEMICALS -- SPECIALTY -- 0.0%+ 23 Potash Corporation of Saskatchewan Inc., 4.875% 03/01/13............................................. 23 -------- COMMERCIAL BANKING -- 0.1% 114 Scotland International Finance, 4.250% 05/23/13@............................................ 110 --------
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- DIVERSIFIED MANUFACTURING -- 0.0%+ $ 48 Rio Tinto Financial Ltd., 2.625% 09/30/08............................................. $ 46 -------- FOOD PRODUCTS -- 0.1% 227 Unilever Capital Corporation, 7.125% 11/01/10............................................. 269 -------- INTEGRATED OIL -- 0.3% 142 Conoco Funding Company, 6.350% 10/15/11............................................. 160 113 PEMEX Finance Ltd., 5.720% 11/15/03............................................. 113 228 PEMEX Project Funding Master Trust, 8.625%** 02/01/22........................................... 254 56 Petro-Canada, 4.000% 07/15/13............................................. 53 -------- 580 -------- METALS AND MINING -- 0.1% 47 Alcan Inc., 6.450% 03/15/11............................................. 53 44 Alcan Inc., 7.250% 03/15/31............................................. 52 48 BHP Finance USA Ltd., 4.800% 04/15/13............................................. 49 -------- 154 -------- PUBLISHING AND ADVERTISING -- 0.1% 105 Thomson Corporation, 5.250% 08/15/13............................................. 109 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.1% 95 Canadian National Railway Company, 6.900% 07/15/28............................................. 107 -------- TELECOMMUNICATIONS SERVICES -- 0.4% 53 British Telecommunications, plc, 8.375%** 12/15/10........................................... 65 25 British Telecommunications, plc, 8.875%** 12/15/30........................................... 33 203 Deutsche Telecom International Finance BV, 5.250% 07/22/13............................................. 206 130 Deutsche Telekom International Finance BV, 8.750% 06/15/30............................................. 165 159 France Telecom SA, 9.000%** 03/01/11........................................... 194 104 France Telecom SA, 9.750% 03/01/31............................................. 139 253 Telus Corporation, 7.500% 06/01/07............................................. 285 -------- 1,087 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $2,603)............................................... 2,702 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 12.9% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.8% $ 270 Freddie Mac, Series 2420, Class EC, 6.500% 03/15/30............................................. $ 274 388 Freddie Mac, Series 2434, Class PN, 6.500% 05/15/29............................................. 393 143 Freddie Mac, Series 2458, Class PC, 6.500% 02/15/26............................................. 143 4,239 JP Morgan Commercial Mortgage Finance Corporation, Series 1997-C4, Class X, Interest only, 1.283%** 12/26/28........................................... 141 6,160 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.113%** 12/15/30........................................... 240 19,367 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest only, 0.448%** 09/15/27(c)........................................ 207 23,267 Vendee Mortgage Trust, Series 1998-3, Class 1, Interest only, 0.307%** 03/15/29(c)........................................ 202 -------- 1,600 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 1.4% 1 8.000% 01/01/04............................................. 1 1,000 2.875% 09/15/05............................................. 1,024 9 8.000% 07/01/10............................................. 9 192 8.000% 09/01/25............................................. 208 374 6.500% 07/01/29............................................. 390 1,322 6.500% 11/01/32............................................. 1,382 -------- 3,014 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 8.3% 205 8.500% 08/01/11............................................. 223 93 7.500% 10/01/11............................................. 99 150 4.625% 10/15/13(a).......................................... 152 5,418 5.000% 03/01/18(b).......................................... 5,551 157 10.000% 09/01/18............................................ 177 71 7.000% 01/25/21............................................. 76 508 6.500% 08/25/29............................................. 515 3,169 6.500% 07/01/32............................................. 3,303 5,350 5.000% 05/01/33(b).......................................... 5,350
SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- (CONTINUED) $ 1,780 6.500% 09/01/33(b).......................................... $ 1,851 117 3.214%** 08/01/36........................................... 121 -------- 17,418 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 2.4% 5 10.000% 02/15/16............................................ 6 110 7.500% 12/15/23............................................. 119 4,900 5.500% 12/01/32(b).......................................... 5,022 -------- 5,147 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $27,345).............................................. 27,179 -------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- 0.8% 152 Government of Canada, 5.250% 11/05/08............................................. 168 162 Hellenic Republic, 6.950% 03/04/08............................................. 187 189 Quebec (Province of), 7.500% 09/15/29............................................. 240 126 Region of Lombardy, 5.804% 10/25/32............................................. 133 45 Republic of Chile, 5.500% 01/15/13............................................. 47 195 Republic of Italy, 6.000% 02/22/11............................................. 221 29 Republic of Italy, 6.875% 09/27/23............................................. 35 28 Republic of Korea, 8.875% 04/15/08............................................. 34 201 United Mexican States, 8.375% 01/14/11............................................. 239 105 United Mexican States, 6.375% 01/16/13............................................. 111 240 United Mexican States, 7.500% 04/08/33............................................. 250 -------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $1,563)............................................... 1,665 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 3.6% FEDERAL FARM CREDIT BANK (FFCB) -- 0.1% 150 2.500% 03/15/06............................................. 152 -------- FEDERAL HOME LOAN BANK (FHLB) -- 0.7% 415 5.125% 03/06/06............................................. 446 760 5.800% 09/02/08............................................. 852 100 3.875% 06/14/13(a).......................................... 96 -------- 1,394 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.4% $ 374 2.375% 04/15/06............................................. $ 377 500 4.875% 03/15/07............................................. 540 745 5.125% 10/15/08(a).......................................... 812 374 5.750% 03/15/09............................................. 418 747 4.500% 01/15/13(a).......................................... 756 150 6.750% 03/15/31............................................. 178 -------- 3,081 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 1.3% 747 5.250% 06/15/06(a).......................................... 810 971 5.250% 01/15/09............................................. 1,064 537 4.375% 09/15/12(a).......................................... 541 200 7.250% 05/15/30(a).......................................... 250 -------- 2,665 -------- TENNESSEE VALLEY AUTHORITY -- 0.1% 330 4.700% 07/15/33............................................. 297 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $7,379)............................................... 7,589 -------- U.S. TREASURY OBLIGATIONS -- 5.5% U.S. TREASURY NOTES -- 0.7% 1,500 2.000% 08/31/05(a).......................................... 1,516 -------- U.S. TREASURY STRIPS -- 4.8% 900 Interest only, 4.389%*** 11/15/13.......................................... 580 4,450 Principal only, 1.858%*** 08/15/06(a)....................................... 4,220 4,355 Principal only, 2.938%*** 11/15/08##........................................ 3,750 200 Principal only, 5.369%*** 08/15/29.......................................... 51 2,100 TIGR Receipts, 4.239%*** 02/15/13.......................................... 1,417 -------- 10,018 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $11,389).............................................. 11,534 -------- SHARES - --------- WARRANTS -- 0.0%+ (Cost $0)++ 195 Solutia Inc., Expire 07/15/09!!(h)........................................ 1 -------- SHARES (000) - -------- INVESTMENT COMPANIES -- 14.0% 537 High Yield Portfolio@@........................................ 5,112 24,447 Nations Cash Reserves, Capital Class Shares#.................. 24,447 -------- TOTAL INVESTMENT COMPANIES (Cost $29,368).............................................. 29,559 --------
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS Nations Asset Allocation Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - ------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $212,368*).................................. 111.5% $235,343 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (11.5)% Receivable for investment securities sold..................... $ 1,428 Receivable for Fund shares sold............................... 33 Dividends receivable.......................................... 206 Interest receivable........................................... 553 Unrealized appreciation on swap contracts..................... 40 Variation margin/due to broker................................ (7) Collateral on securities loaned............................... (8,237) Payable for Fund shares redeemed.............................. (710) Investment advisory fee payable............................... (114) Administration fee payable.................................... (40) Shareholder servicing and distribution fees payable........... (87) Payable for investment securities purchased................... (17,049) Accrued Trustees' fees and expenses........................... (71) Accrued expenses and other liabilities........................ (172) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (24,227) -------- NET ASSETS.......................................... 100.0% $211,116 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 370 Accumulated net realized loss on investments sold, swaps, options and futures contracts............................... (55,367) Net unrealized appreciation of investments, swaps, options, and futures contracts....................................... 22,896 Paid-in capital............................................... 243,217 -------- NET ASSETS.................................................... $211,116 ========
VALUE - ------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($39,754,790 / 2,160,476 shares outstanding)................ $18.40 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($94,109,210 / 5,107,245 shares outstanding)................ $18.43 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $19.55 INVESTOR B SHARES: Net asset value and offering price per share& ($75,049,461 / 4,106,021 shares outstanding)................ $18.28 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($2,202,893 / 120,529 shares outstanding)................... $18.28 ========
- --------------- * Federal income tax information (see Note 12). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. !!Non-income producing security. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. @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. @ Mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. + Amount represents less than 0.1%. ++Amount represents less than $500. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $8,237. ##All or a portion of security segregated as collateral for futures contracts and TBA. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $7,873 and $8,052, respectively. (b) TBA -- Securities purchased on a forward commitment basis. (c) Restricted security. (h) Fair valued security. ABBREVIATIONS: MTN -- Medium Term Note ADR -- American Depository Receipt TIGR -- Treasury Investor Growth Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS Nations Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ----------------------------------------------------------------------------------------- COMMON STOCKS -- 98.3% AEROSPACE AND DEFENSE -- 5.4% 646,400 B.F. Goodrich Company......................................... $ 15,669 84,600 Lockheed Martin Corporation................................... 3,904 133,000 Northrop Grumman Corporation.................................. 11,467 208,125 Raytheon Company.............................................. 5,828 329,591 United Technologies Corporation............................... 25,471 ----------- 62,339 ----------- AIRLINES -- 1.0% 317,000 AMR Corporation!!(a).......................................... 3,630 634,800 Delta Air Lines, Inc. ........................................ 8,442 ----------- 12,072 ----------- AUTOMOTIVE -- 0.6% 157,700 General Motors Corporation.................................... 6,455 ----------- BEVERAGES -- 2.0% 347,551 Diageo plc, ADR(a)............................................ 15,344 166,289 PepsiCo, Inc. ................................................ 7,621 ----------- 22,965 ----------- BROADCASTING AND CABLE -- 4.9% 300,192 Clear Channel Communications, Inc. ........................... 11,497 998,790 Comcast Corporation, Class A!!................................ 29,505 743,100 The Walt Disney Company....................................... 14,988 ----------- 55,990 ----------- CHEMICALS -- BASIC -- 1.9% 162,400 Eastman Chemical Company...................................... 5,440 307,300 PPG Industries, Inc. ......................................... 16,048 ----------- 21,488 ----------- COMMERCIAL BANKING -- 15.5% 250,110 Charter One Financial, Inc. .................................. 7,653 1,113,724 Citigroup Inc. ............................................... 50,685 82,000 Comerica Inc. ................................................ 3,821 1,073,792 FleetBoston Financial Corporation............................. 32,374 491,700 J.P. Morgan Chase & Company(a)................................ 16,880 586,000 Mellon Financial Corporation.................................. 17,662 1,179,393 US Bancorp.................................................... 28,294 333,300 Wachovia Corporation.......................................... 13,729 154,700 Wells Fargo & Company......................................... 7,967 ----------- 179,065 ----------- COMMERCIAL SERVICES -- 2.1% 449,600 Ingram Micro Inc.!!........................................... 5,867 2,012,800 Solectron Corporation!!....................................... 11,775 237,600 Waste Management, Inc. ....................................... 6,218 ----------- 23,860 ----------- COMPUTER SERVICES -- 1.1% 910,600 Unisys Corporation!!.......................................... 12,320 -----------
VALUE SHARES (000) - ----------------------------------------------------------------------------------------- COMPUTERS AND OFFICE EQUIPMENT -- 3.4% 1,121,280 Hewlett-Packard Company....................................... $ 21,708 120,485 International Business Machines Corporation................... 10,642 202,110 NCR Corporation!!............................................. 6,405 ----------- 38,755 ----------- CONSUMER CREDIT AND MORTGAGES -- 1.7% 252,173 American Express Company...................................... 11,363 152,308 Freddie Mac................................................... 7,973 ----------- 19,336 ----------- DEPARTMENT AND DISCOUNT STORES -- 0.8% 361,626 The May Department Stores Company............................. 8,907 ----------- DIVERSIFIED MANUFACTURING -- 2.3% 1,016,459 Honeywell International Inc. ................................. 26,784 ----------- ELECTRIC POWER -- NON NUCLEAR -- 1.2% 1,283,800 AES Corporation!!............................................. 9,526 766,200 Reliant Resources, Inc.!!..................................... 3,923 ----------- 13,449 ----------- ELECTRIC POWER -- NUCLEAR -- 5.9% 393,200 American Electric Power Company, Inc. ........................ 11,796 112,239 Dominion Resources, Inc. ..................................... 6,948 331,500 DTE Energy Company............................................ 12,229 529,110 Duke Energy Corporation....................................... 9,423 316,000 FirstEnergy Corporation....................................... 10,080 125,300 FPL Group, Inc. .............................................. 7,919 377,200 PG & E Corporation!!(a)....................................... 9,015 ----------- 67,410 ----------- FINANCE -- MISCELLANEOUS -- 2.3% 201,700 Capital One Financial Corporation............................. 11,505 539,000 CIT Group Inc. ............................................... 15,502 ----------- 27,007 ----------- FOOD AND DRUG STORES -- 1.0% 635,750 The Kroger Company!!.......................................... 11,361 ----------- HEALTH SERVICES -- 0.2% 146,000 Tenet Healthcare Corporation!!................................ 2,114 ----------- HOUSEHOLD PRODUCTS -- 0.5% 111,220 Kimberly-Clark Corporation.................................... 5,708 ----------- INSURANCE -- 7.1% 499,300 ACE Ltd. ..................................................... 16,517 204,000 Aetna Inc. ................................................... 12,450 213,413 American International Group, Inc. ........................... 12,314 293,600 Hartford Financial Services Group, Inc. ...................... 15,452
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS Nations Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ----------------------------------------------------------------------------------------- INSURANCE -- (CONTINUED) 238,400 John Hancock Financial Services, Inc. ........................ $ 8,058 1,056,384 Travelers Property Casualty Corporation, Class A.............. 16,774 ----------- 81,565 ----------- INTEGRATED OIL -- 3.0% 221,001 BP Amoco plc, ADR............................................. 9,304 100,538 ChevronTexaco Corporation..................................... 7,183 221,894 ConocoPhillips................................................ 12,149 176,771 Occidental Petroleum Corporation.............................. 6,228 ----------- 34,864 ----------- INVESTMENT SERVICES -- 2.1% 106,700 Lehman Brothers Holdings Inc. ................................ 7,371 323,043 Merrill Lynch & Company, Inc. ................................ 17,292 ----------- 24,663 ----------- LODGING AND RECREATION -- 1.5% 288,049 Carnival Corporation.......................................... 9,474 232,000 Starwood Hotels & Resorts Worldwide, Inc. .................... 8,074 ----------- 17,548 ----------- MEDICAL DEVICES AND SUPPLIES -- 1.8% 197,100 Abbott Laboratories........................................... 8,387 410,200 Baxter International Inc. .................................... 11,920 ----------- 20,307 ----------- METALS AND MINING -- 0.8% 200,875 Phelps Dodge Corporation!!.................................... 9,401 ----------- NATURAL GAS DISTRIBUTION -- 0.4% 692,460 El Paso Corporation........................................... 5,055 ----------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.6% 1,729,100 Nortel Networks Corporation!!................................. 7,089 ----------- OILFIELD SERVICES -- 3.3% 538,600 ENSCO International Inc. ..................................... 14,446 345,419 Nabors Industries, Ltd.!!..................................... 12,870 630,500 Pride International, Inc.!!................................... 10,687 ----------- 38,003 ----------- PAPER AND FOREST PRODUCTS -- 2.7% 347,470 Bowater Inc. ................................................. 14,615 305,823 International Paper Company................................... 11,933 72,400 Weyerhaeuser Company.......................................... 4,232 ----------- 30,780 ----------- PHARMACEUTICALS -- 3.1% 364,100 Bristol-Myers Squibb Company.................................. 9,343 379,240 Pfizer Inc. .................................................. 11,521 360,900 Watson Pharmaceuticals, Inc.!!................................ 15,046 ----------- 35,910 -----------
VALUE SHARES (000) - ----------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- 0.9% 370,905 CSX Corporation............................................... $ 10,849 ----------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 2.8% 470,200 Archstone-Smith Trust......................................... 12,404 727,895 Equity Office Properties Trust................................ 20,039 ----------- 32,443 ----------- RESTAURANTS -- 1.2% 590,300 McDonald's Corporation........................................ 13,896 ----------- SEMICONDUCTORS -- 3.0% 2,413,616 Agere Systems Inc., Class A!!................................. 7,410 881,600 ASML Holding NV!!(a).......................................... 11,575 903,900 Fairchild Semiconductor Corporation, Class A!!................ 14,987 ----------- 33,972 ----------- SPECIALTY STORES -- 2.2% 1,290,600 Limited Brands................................................ 19,462 230,536 Nordstrom, Inc. .............................................. 5,720 ----------- 25,182 ----------- STEEL -- 1.4% 346,200 Nucor Corporation............................................. 15,884 ----------- TELECOMMUNICATIONS SERVICES -- 4.3% 450,560 BellSouth Corporation......................................... 10,669 484,415 SBC Communications Inc. ...................................... 10,778 878,148 Verizon Communications Inc. .................................. 28,488 ----------- 49,935 ----------- TOBACCO -- 2.3% 607,148 Altria Group, Inc. ........................................... 26,593 ----------- TOTAL COMMON STOCKS (Cost $1,072,844)........................................... 1,131,324 ----------- CONTRACTS - --------- PURCHASED OPTIONS -- 0.1% (Cost $1,040) 5,000 Put option Semiconductor HOLDRs Trust!! Strike Price 37.50 Expires 10/18/03............................................ 1,675 -----------
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS Nations Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
SHARES VALUE (000) (000) - ----------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 2.8% (Cost $31,931) 31,931 Nations Cash Reserves, Capital Class Shares#.................. $ 31,931 ----------- TOTAL INVESTMENTS (Cost $1,105,815*)................................ 101.2% 1,164,930 ----------- OTHER ASSETS AND LIABILITIES (NET)................................. (1.2)% Cash.......................................................... $ 98 Receivable for investment securities sold..................... 1,897 Receivable for Fund shares sold............................... 3,374 Dividends receivable.......................................... 2,687 Interest receivable........................................... 2 Receivable from investment adviser............................ 3 Collateral on securities loaned............................... (18,824) Payable for Fund shares redeemed.............................. (1,976) Investment advisory fee payable............................... (625) Administration fee payable.................................... (221) Shareholder servicing and distribution fees payable........... (137) Accrued Trustees' fees and expenses........................... (132) Accrued expenses and other liabilities........................ (266) ----------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (14,120) ----------- NET ASSETS.......................................... 100.0% $ 1,150,810 =========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 1,196 Accumulated net realized loss on investments sold............. (101,050) Net unrealized appreciation of investments.................... 59,115 Paid-in capital............................................... 1,191,549 ----------- NET ASSETS.................................................... $ 1,150,810 ===========
VALUE - ----------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($874,769,114 / 86,784,646 shares outstanding).............. $10.08 =========== INVESTOR A SHARES: Net asset value and redemption price per share ($153,803,963 / 15,276,697 shares outstanding).............................. $10.07 =========== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $10.68 INVESTOR B SHARES: Net asset value and offering price per share& ($78,716,024 / 8,026,742 shares outstanding)............................... $9.81 =========== INVESTOR C SHARES: Net asset value and offering price per share& ($43,520,437 / 4,443,486 shares outstanding)............................... $9.79 ===========
- --------------- *Federal income tax information (see Note 12). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $18,824. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $20,301 and $18,081, respectively. ABBREVIATIONS: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS Nations MidCap Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- COMMON STOCKS -- 94.6% AEROSPACE AND DEFENSE -- 4.3% 252,700 B.F. Goodrich Company......................................... $ 6,125 44,000 Northrop Grumman Corporation.................................. 3,794 127,000 Raytheon Company.............................................. 3,556 159,300 Rockwell Collins, Inc. ....................................... 4,022 -------- 17,497 -------- AIRLINES -- 0.7% 225,600 Delta Air Lines, Inc. ........................................ 3,000 -------- AUTOMOTIVE -- 0.8% 91,500 Navistar International Corporation!!.......................... 3,411 -------- CHEMICALS -- BASIC -- 2.1% 56,400 Eastman Chemical Company...................................... 1,889 71,900 PPG Industries, Inc. ......................................... 3,755 83,200 Rohm & Haas Company........................................... 2,783 -------- 8,427 -------- CHEMICALS -- SPECIALTY -- 1.0% 129,100 International Flavors & Fragrances, Inc. ..................... 4,271 -------- COMMERCIAL BANKING -- 9.9% 179,510 Charter One Financial, Inc. .................................. 5,493 78,800 City National Corporation..................................... 4,016 88,800 Comerica Inc. ................................................ 4,138 119,800 Compass Bancshares, Inc. ..................................... 4,143 242,500 Hibernia Corporation, Class A................................. 4,913 229,600 Mellon Financial Corporation.................................. 6,921 50,600 Mercantile Bankshares Corporation............................. 2,024 164,600 Sovereign Bancorp, Inc. ...................................... 3,053 95,350 Zions Bancorporation.......................................... 5,325 -------- 40,026 -------- COMMERCIAL SERVICES -- 2.7% 289,200 Ingram Micro Inc.!!........................................... 3,774 142,800 United Rentals, Inc.!!........................................ 2,298 195,800 Waste Management, Inc. ....................................... 5,124 -------- 11,196 -------- COMPUTER SERVICES -- 1.4% 149,800 Computer Sciences Corporation!!............................... 5,628 -------- COMPUTERS AND OFFICE EQUIPMENT -- 2.2% 30,500 Lexmark International, Inc.!!................................. 1,922 187,400 Pitney Bowes Inc. ............................................ 7,181 -------- 9,103 -------- DIVERSIFIED ELECTRONICS -- 2.6% 62,000 Cooper Industries, Ltd. ...................................... 2,978 145,100 Flextronics International Ltd.!!.............................. 2,058 158,325 Harris Corporation............................................ 5,666 -------- 10,702 --------
VALUE SHARES (000) - -------------------------------------------------------------------------------------- DIVERSIFIED MANUFACTURING -- 1.9% 58,400 Harsco Corporation............................................ $ 2,247 69,000 Kennametal Inc. .............................................. 2,581 118,050 Mueller Industries, Inc.!!.................................... 3,004 -------- 7,832 -------- ELECTRIC POWER -- NON NUCLEAR -- 2.8% 334,400 AES Corporation!!............................................. 2,481 85,300 Consolidated Edison, Inc. .................................... 3,477 63,900 NSTAR......................................................... 3,035 452,100 Reliant Resources, Inc.!!..................................... 2,315 -------- 11,308 -------- ELECTRIC POWER -- NUCLEAR -- 6.1% 144,800 American Electric Power Company, Inc. ........................ 4,344 51,425 Dominion Resources, Inc. ..................................... 3,183 116,000 DTE Energy Company............................................ 4,279 79,500 Entergy Corporation........................................... 4,305 131,100 FirstEnergy Corporation....................................... 4,182 115,700 PPL Corporation............................................... 4,738 -------- 25,031 -------- EXPLORATION AND PRODUCTION -- 1.0% 106,900 Newfield Exploration Company!!................................ 4,123 -------- FINANCE -- MISCELLANEOUS -- 2.3% 71,900 Capital One Financial Corporation............................. 4,101 186,100 CIT Group Inc. ............................................... 5,352 -------- 9,453 -------- FOOD PRODUCTS -- 1.5% 148,100 McCormick and Company, Inc. .................................. 4,061 141,850 Tyson Foods Inc., Class A..................................... 2,004 -------- 6,065 -------- HEALTH SERVICES -- 2.2% 156,600 First Health Group Corporation!!.............................. 4,095 162,900 Triad Hospitals, Inc.!!....................................... 4,933 -------- 9,028 -------- HEAVY MACHINERY -- 1.0% 91,300 Parker-Hannifin Corporation................................... 4,081 -------- HOUSING AND FURNISHING -- 0.7% 99,400 The Stanley Works............................................. 2,934 -------- INSURANCE -- 7.7% 161,400 ACE Ltd. ..................................................... 5,339 72,400 Aetna Inc. ................................................... 4,419 79,500 Ambac Financial Group, Inc. .................................. 5,088 92,200 Hartford Financial Services Group, Inc. ...................... 4,852 119,800 John Hancock Financial Services, Inc. ........................ 4,049 151,200 Lincoln National Corporation.................................. 5,350 133,600 UnumProvident Corporation..................................... 1,973 -------- 31,070 --------
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS Nations MidCap Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- INTEGRATED OIL -- 2.3% 122,000 Occidental Petroleum Corporation.............................. $ 4,298 127,000 Sunoco, Inc. ................................................. 5,108 -------- 9,406 -------- INVESTMENT SERVICES -- 1.5% 43,100 Legg Mason, Inc. ............................................. 3,112 45,300 Lehman Brothers Holdings Inc. ................................ 3,129 -------- 6,241 -------- LODGING AND RECREATION -- 4.3% 189,150 Brunswick Corporation......................................... 4,857 151,925 Carnival Corporation.......................................... 4,996 54,500 Mandalay Resort Group......................................... 2,159 137,000 Mattel, Inc. ................................................. 2,598 88,300 Starwood Hotels & Resorts Worldwide, Inc. .................... 3,073 -------- 17,683 -------- METALS AND MINING -- 3.4% 192,025 Arch Coal, Inc. .............................................. 4,265 135,975 Newmont Mining Corporation.................................... 5,315 90,300 Phelps Dodge Corporation!!.................................... 4,226 -------- 13,806 -------- OILFIELD SERVICES -- 3.5% 176,500 Baker Hughes Inc. ............................................ 5,223 87,500 Cooper Cameron Corporation!!.................................. 4,043 76,900 ENSCO International Inc. ..................................... 2,062 78,200 Precision Drilling Corporation!!.............................. 2,945 -------- 14,273 -------- PACKAGING AND CONTAINERS -- 0.7% 398,700 Crown Holdings, Inc.!!........................................ 2,691 -------- PAPER AND FOREST PRODUCTS -- 2.1% 108,000 Bowater Inc. ................................................. 4,543 85,075 Temple-Inland Inc. ........................................... 4,130 -------- 8,673 -------- PHARMACEUTICALS -- 2.6% 54,500 AmerisourceBergen Corporation................................. 2,946 137,600 Shire Pharmaceuticals Group plc, ADR!!........................ 3,042 106,700 Watson Pharmaceuticals, Inc.!!................................ 4,448 -------- 10,436 -------- PUBLISHING AND ADVERTISING -- 1.3% 107,600 Dow Jones & Company, Inc. .................................... 5,095 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.3% 186,150 CSX Corporation............................................... 5,445 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 4.6% 138,000 Archstone-Smith Trust......................................... 3,640 132,600 Arden Realty, Inc. ........................................... 3,702 89,475 Avalonbay Communities, Inc. .................................. 4,188 87,900 Boston Properties, Inc. ...................................... 3,821
VALUE SHARES (000) - -------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- (CONTINUED) 120,000 Equity Residential Properties Trust........................... $ 3,514 -------- 18,865 -------- SEMICONDUCTORS -- 6.3% 858,293 Agere Systems Inc., Class A!!................................. 2,635 308,000 ASML Holding NV!!............................................. 4,044 260,300 Fairchild Semiconductor Corporation, Class A!!................ 4,316 341,300 Intergrated Device Technology, Inc.!!......................... 4,239 86,400 Lam Research Corporation!!.................................... 1,914 323,450 Tektronix, Inc. .............................................. 8,005 -------- 25,153 -------- SPECIALTY STORES -- 4.5% 147,300 Abercrombie & Fitch Company!!................................. 4,082 167,200 American Eagle Outfitters, Inc.!!............................. 2,485 420,900 Limited Brands................................................ 6,346 72,700 Linens 'N Things, Inc.!!...................................... 1,729 154,200 Nordstrom, Inc. .............................................. 3,826 -------- 18,468 -------- STEEL -- 0.7% 59,700 Nucor Corporation............................................. 2,739 -------- TOBACCO -- 0.6% 64,600 UST Inc. ..................................................... 2,273 -------- TOTAL COMMON STOCKS (Cost $346,019)............................................. 385,433 -------- PRINCIPAL AMOUNT (000) - --------- CONVERTIBLE BONDS AND NOTES -- 0.9% AIRLINES -- 0.4% $ 2,000 Delta Air Lines, Inc., 8.000% 06/03/23@............................................ 1,868 -------- AUTOMOBILES -- 0.5% 2,000 Navistar Financial Corporation, 4.750% 04/01/09............................................. 1,970 -------- TOTAL CONVERTIBLE BONDS AND NOTES (Cost $3,536)............................................... 3,838 -------- SHARES - --------- CONVERTIBLE PREFERRED STOCKS -- 2.1% CONSUMER SERVICES -- 0.5% 31,758 Allied Waste Industries, Inc. ................................ 1,977 -------- INSURANCE -- 1.0% 41,600 Hartford Financial Services Group, Inc. ...................... 2,327 62,940 UnumProvident Corporation..................................... 2,025 -------- 4,352 --------
SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS Nations MidCap Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- STEEL -- 0.6% 33,800 U.S. Steel Corporation........................................ $ 2,248 -------- TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $7,071)............................................... 8,577 -------- SHARES (000) - -------- INVESTMENT COMPANIES -- 2.5% (Cost $9,987) 9,987 Nations Cash Reserves, Capital Class Shares#.................. 9,987 -------- TOTAL INVESTMENTS (Cost $366,613*).................................. 100.1% 407,835 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (0.1)% Cash.......................................................... $ 91 Receivable for investment securities sold..................... 2,965 Dividends receivable.......................................... 795 Investment advisory fee payable............................... (256) Administration fee payable.................................... (79) Shareholder servicing and distribution fees payable........... (4) Payable for investment securities purchased................... (3,830) Accrued Trustees' fees and expenses........................... (9) Accrued expenses and other liabilities........................ (114) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (441) -------- NET ASSETS.......................................... 100.0% $407,394 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 309 Accumulated net realized loss on investments sold............. (9,625) Net unrealized appreciation of investments.................... 41,222 Paid-in capital............................................... 375,488 -------- NET ASSETS.................................................... $407,394 ========
VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($398,705,991 / 37,197,005 shares outstanding).............. $10.72 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($5,307,910 /495,724 shares outstanding).................... $10.71 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $11.36 INVESTOR B SHARES: Net asset value and offering price per share& ($2,878,370 /270,361 shares outstanding).................... $10.65 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($501,319 /46,965 shares outstanding)....................... $10.67 ========
- --------------- * Federal income tax information (see Note 12). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. @ 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. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. ABBREVIATIONS: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS Nations SmallCap Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ COMMON STOCKS -- 95.7% AEROSPACE AND DEFENSE -- 1.5% 80,700 AAR Corporation!!............................................. $ 647 51,700 MTC Technologies, Inc.!!...................................... 1,200 -------- 1,847 -------- AIRLINES -- 0.9% 37,200 Alaska Air Group, Inc.!!...................................... 1,035 -------- APPAREL AND TEXTILES -- 1.8% 29,600 Brown Shoe Company, Inc. ..................................... 938 83,700 Phillips-Van Heusen Corporation............................... 1,257 -------- 2,195 -------- AUTOMOTIVE -- 2.1% 18,400 Borg Warner Inc. ............................................. 1,249 180,000 Collins & Aikman Corporation!!................................ 608 20,500 Group 1 Automotive, Inc.!!.................................... 708 -------- 2,565 -------- BROADCASTING AND CABLE -- 1.3% 106,000 Charter Communications, Inc., Class A!!(a).................... 437 54,400 Emmis Communications Corporation!!............................ 1,098 -------- 1,535 -------- CHEMICALS -- SPECIALTY -- 1.3% 142,400 Crompton Corporation.......................................... 827 176,400 Solutia Inc. ................................................. 704 -------- 1,531 -------- COMMERCIAL BANKING -- 10.4% 85,900 Brookline Bancorp, Inc. ...................................... 1,263 71,900 Colonial BancGroup, Inc. ..................................... 1,038 26,100 Community Bank Systems, Inc. ................................. 1,146 75,736 First Niagara Financial Group, Inc. .......................... 1,144 34,200 First Republic Bank........................................... 1,054 42,100 First State Bancorporation.................................... 1,247 59,163 Fulton Financial Corporation.................................. 1,188 48,400 Independent Bank Corporation.................................. 1,240 50,700 Prosperity Bancshares, Inc. .................................. 1,080 31,500 Sterling Bancorp.............................................. 848 41,260 Summit Bancshares, Inc. ...................................... 1,135 -------- 12,383 -------- COMMERCIAL SERVICES -- 5.6% 36,100 Dycom Industries, Inc.!!...................................... 736 21,700 Emcor Group Inc.!!............................................ 923 60,300 Mastec, Inc.!!................................................ 585 134,700 MPS Group, Inc.!!............................................. 1,213 60,400 Tetra Tech, Inc.!!............................................ 1,203 58,200 United Rentals, Inc.!!........................................ 936 48,400 Watson Wyatt & Company Holdings!!............................. 1,089 -------- 6,685 -------- COMPUTER SERVICES -- 0.7% 98,800 ActivCard Corporation!!....................................... 810 --------
VALUE SHARES (000) - ------------------------------------------------------------------------------------ COMPUTERS AND OFFICE EQUIPMENT -- 2.0% 142,000 Gateway, Inc.!!............................................... $ 804 53,000 Iomega Corporation!!.......................................... 590 74,500 Western Digital Corporation!!................................. 960 -------- 2,354 -------- CONSUMER SERVICES -- 0.8% 79,400 Casella Waste Systems, Inc., Class A!!........................ 986 -------- DIVERSIFIED ELECTRONICS -- 1.3% 59,200 Aeroflex, Inc.!!.............................................. 524 63,600 EMS Technologies, Inc.!!...................................... 1,080 -------- 1,604 -------- DIVERSIFIED MANUFACTURING -- 3.2% 23,500 ESCO Technologies Inc.!!...................................... 1,064 16,800 Kennametal Inc. .............................................. 628 52,200 Sensient Technologies Corporation............................. 1,096 29,600 York International Corporation................................ 1,024 -------- 3,812 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.7% 20,900 WPS Resources Corporation(a).................................. 861 -------- ELECTRICAL EQUIPMENT -- 0.5% 18,000 Imation Corporation........................................... 588 -------- ENERGY -- MISCELLANEOUS -- 0.8% 52,000 CONSOL Energy Inc.(a)......................................... 966 -------- EXPLORATION AND PRODUCTION -- 0.7% 36,400 Quicksilver Resources Inc.!!.................................. 889 -------- FINANCE -- MISCELLANEOUS -- 0.9% 18,000 Affiliated Managers Group, Inc.!!............................. 1,130 -------- FOOD PRODUCTS -- 1.0% 137,100 Del Monte Foods Company!!..................................... 1,194 -------- HEALTH SERVICES -- 5.4% 139,200 Beverly Enterprises Inc.!!.................................... 824 42,800 Molina Healthcare Inc.!!...................................... 1,188 83,500 Province Healthcare Company!!................................. 1,081 221,800 Stewart Enterprises, Inc.!!................................... 843 42,500 Triad Hospitals, Inc.!!....................................... 1,287 51,100 VCA Antech, Inc.!!............................................ 1,203 -------- 6,426 -------- HEAVY MACHINERY -- 2.2% 30,900 Agco Corporation!!............................................ 530 20,100 Cummins, Inc. ................................................ 893 79,200 Joy Global Inc.!!............................................. 1,243 -------- 2,666 --------
SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS Nations SmallCap Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ HOUSING AND FURNISHING -- 1.0% 32,400 Standard Pacific Corporation.................................. $ 1,228 -------- INSURANCE -- 4.9% 21,100 Delphi Financial Group, Inc., Class A......................... 982 44,360 Platinum Underwriters Holdings, Ltd. ......................... 1,247 21,250 Stancorp Financial Group Inc. ................................ 1,221 26,800 Triad Guaranty Inc.!!......................................... 1,314 41,000 Zenith National Insurance..................................... 1,141 -------- 5,905 -------- INVESTMENT SERVICES -- 1.7% 41,000 American Capital Strategies, Ltd.(a).......................... 1,020 37,700 LaBranche & Company Inc. ..................................... 550 19,000 National Financial Partners Corporation!!..................... 513 -------- 2,083 -------- LODGING AND RECREATION -- 2.3% 51,700 Alliance Gaming Corporation!!................................. 1,048 114,900 Bally Total Fitness Holding!!(a).............................. 994 47,300 Marcus Corporation............................................ 722 -------- 2,764 -------- MEDICAL DEVICES AND SUPPLIES -- 3.6% 23,600 Bio-Rad Laboratories, Inc.!!.................................. 1,204 86,200 Cytyc Corporation!!........................................... 1,297 30,900 Fisher Scientific International Inc.!!........................ 1,226 11,500 Mine Safety Appliances Company................................ 628 -------- 4,355 -------- METALS AND MINING -- 2.2% 62,500 Arch Coal, Inc. .............................................. 1,389 34,800 Precision Castparts Corporation............................... 1,221 -------- 2,610 -------- NATURAL GAS DISTRIBUTION -- 1.4% 40,700 Atmos Energy Corporation...................................... 974 20,800 New Jersey Resources Corporation.............................. 750 -------- 1,724 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.2% 154,800 3Com Corporation!!............................................ 913 182,900 Enterasys Networks, Inc.!!.................................... 732 200,000 Sycamore Networks, Inc.!!..................................... 980 -------- 2,625 -------- OILFIELD SERVICES -- 2.2% 361,800 Grey Wolf, Inc.!!(a).......................................... 1,259 64,200 Universal Compression Holdings, Inc.!!........................ 1,382 -------- 2,641 -------- PACKAGING AND CONTAINERS -- 0.8% 135,400 Crown Holdings, Inc.!!........................................ 914 -------- PAPER AND FOREST PRODUCTS -- 2.2% 27,800 Boise Cascade Corporation..................................... 767 78,000 Louisiana-Pacific Corporation!!............................... 1,075 63,400 P.H. Glatfelter Company....................................... 747 -------- 2,589 --------
VALUE SHARES (000) - ------------------------------------------------------------------------------------ RAILROADS, TRUCKING AND SHIPPING -- 3.0% 56,500 GATX Corporation.............................................. $ 1,195 57,700 Pacer International, Inc.!!................................... 1,150 42,200 Ryder System, Inc. ........................................... 1,237 -------- 3,582 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 7.5% 20,900 Brandywine Realty Trust....................................... 537 171,100 Equity Inns Inc. ............................................. 1,288 120,900 LTC Properties, Inc. ......................................... 1,399 196,000 MeriStar Hospitality Corporation!!............................ 1,388 119,700 Omega Healthcare Investors, Inc. ............................. 919 38,900 Prentiss Properties Trust..................................... 1,206 28,800 SL Green Realty Corporation(a)................................ 1,040 33,300 Tanger Factory Outlet Centers, Inc. .......................... 1,224 -------- 9,001 -------- RESTAURANTS -- 1.0% 48,300 Ruby Tuesday, Inc. ........................................... 1,165 -------- SEMICONDUCTORS -- 3.3% 32,600 Coherent, Inc.!!.............................................. 803 55,500 Fairchild Semiconductor Corporation, Class A!!................ 920 72,000 Intergrated Device Technology, Inc.!!......................... 894 68,000 Mykrolis Corporation!!........................................ 826 63,600 Pixelworks, Inc.!!(a)......................................... 548 -------- 3,991 -------- SOFTWARE -- 2.0% 54,500 JDA Software Group, Inc.!!.................................... 810 172,100 Novell, Inc.!!................................................ 918 126,000 TIBCO Software Inc.!!......................................... 674 -------- 2,402 -------- SPECIALTY STORES -- 5.8% 78,600 American Eagle Outfitters, Inc.!!............................. 1,168 64,600 BJ's Wholesale Club, Inc.!!................................... 1,252 72,400 Hollywood Entertainment Corporation!!......................... 1,231 60,520 Kirkland's, Inc.!!............................................ 970 36,900 Regis Corporation............................................. 1,184 40,900 School Specialty, Inc.!!(a)................................... 1,154 -------- 6,959 -------- STEEL -- 1.6% 45,491 Carpenter Technology Corporation.............................. 975 48,400 United States Steel Corporation............................... 890 -------- 1,865 -------- TELECOMMUNICATIONS SERVICES -- 0.4% 38,000 Talk America Holdings, Inc.!!................................. 434 -------- TOBACCO -- 0.7% 38,200 Lowes Corporation - Carolina Group............................ 879 --------
SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS Nations SmallCap Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ UTILITIES -- MISCELLANEOUS -- 0.8% 39,500 Philadelphia Suburban Corporation............................. $ 950 -------- TOTAL COMMON STOCKS (Cost $100,591)............................................. 114,728 -------- SHARES (000) - ------- INVESTMENT COMPANIES -- 11.4% 7 Biotech HOLDRs Trust(a)....................................... 929 12,696 Nations Cash Reserves, Capital Class Shares#.................. 12,696 -------- TOTAL INVESTMENT COMPANIES (Cost $13,291).............................................. 13,625 -------- TOTAL INVESTMENTS (Cost $113,882*).................................. 107.1% 128,353 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (7.1)% Cash.......................................................... $ 419 Receivable for investment securities sold..................... 2,676 Dividends receivable.......................................... 137 Collateral on securities loaned............................... (8,053) Investment advisory fee payable............................... (90) Administration fee payable.................................... (12) Shareholder servicing and distribution fees payable................................................ (1) Payable for investment securities purchased................... (3,533) Accrued Trustees' fees and expenses........................... (12) Accrued expenses and other liabilities........................ (61) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (8,530) -------- NET ASSETS.......................................... 100.0% $119,823 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 83 Accumulated net realized loss on investments sold............................................ (631) Net unrealized appreciation of investments.................... 14,471 Paid-in capital............................................... 105,900 -------- NET ASSETS.................................................... $119,823 ========
VALUE - ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($116,423,183 / 11,697,583 shares outstanding)................................................ $9.95 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($2,220,824 / 223,914 shares outstanding)................... $9.92 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $10.53 INVESTOR B SHARES: Net asset value and offering price per share& ($995,027 / 101,149 shares outstanding)..................... $9.84 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($183,705 / 18,679 shares outstanding)...................... $9.83 ========
- --------------- *Federal income tax information (see Note 12). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $8,053. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $7,361 and $7,860, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS Nations Marsico Growth Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - --------------------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 99.5% Investment in Nations Master Investment Trust, Marsico Growth Master Portfolio*........................................... $ 891,966 --------- TOTAL INVESTMENTS................................... 99.5% 891,966 --------- OTHER ASSETS AND LIABILITIES (NET)................................. 0.5% Receivable for Fund shares sold............................... $ 5,902 Payable for Fund shares redeemed.............................. (1,160) Administration fee payable.................................... (96) Shareholder servicing and distribution fees payable........... (313) Accrued Trustees' fees and expenses........................... (49) Accrued expenses and other liabilities........................ (99) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 4,185 --------- NET ASSETS.......................................... 100.0% $ 896,151 ========= NET ASSETS CONSIST OF: Net investment loss........................................... $ (2,744) Accumulated net realized loss on investments sold............. (183,937) Net unrealized appreciation of investments.................... 134,029 Paid-in capital............................................... 948,803 --------- NET ASSETS.................................................... $ 896,151 ========= VALUE - --------------------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($196,320,634 / 13,817,981 shares outstanding).............. $14.21 ========= INVESTOR A SHARES: Net asset value and redemption price per share ($425,543,929 / 30,211,894 shares outstanding).............. $14.09 ========= Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $14.95 INVESTOR B SHARES: Net asset value and offering price per share& ($163,860,560 / 12,115,551 shares outstanding).............. $13.52 ========= INVESTOR C SHARES: Net asset value and offering price per share& ($110,425,429 / 8,154,907 shares outstanding)............... $13.54 =========
- --------------- *The financial statements of the Marsico Growth Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the Marsico Growth Fund's financial statements. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS Nations Strategic Growth Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - ---------------------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 100.3% Investment in Nations Master Investment Trust, Strategic Growth Master Portfolio*.................................... $1,780,404 ---------- TOTAL INVESTMENTS................................... 100.3% 1,780,404 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. (0.3)% Receivable for Fund shares sold............................... $ 1,917 Receivable from investment adviser............................ 4 Payable for Fund shares redeemed.............................. (7,119) Administration fee payable.................................... (271) Shareholder servicing and distribution fees payable........... (115) Accrued Trustees' fees and expenses........................... (78) Accrued expenses and other liabilities........................ (286) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (5,948) ---------- NET ASSETS.......................................... 100.0% $1,774,456 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 7,131 Accumulated net realized loss on investments sold............. (626,689) Net unrealized appreciation of investments.................... 62,435 Paid-in capital............................................... 2,331,579 ---------- NET ASSETS.................................................... $1,774,456 ========== VALUE - ---------------------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($1,481,735,647 / 143,811,465 shares outstanding)........... $10.30 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($234,232,607 / 22,822,064 shares outstanding).............. $10.26 ========== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $10.89 INVESTOR B SHARES: Net asset value and offering price per share& ($43,206,220 / 4,334,823 shares outstanding)................ $9.97 ========== INVESTOR C SHARES: Net asset value and offering price per share& ($15,281,717 / 1,532,328 shares outstanding)................ $9.97 ==========
- --------------- * The financial statements of the Strategic Growth Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the Strategic Growth Fund's financial statements. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS Nations Capital Growth Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ COMMON STOCKS -- 99.1% AEROSPACE AND DEFENSE -- 1.3% 31,472 United Technologies Corporation............................... $ 2,432 -------- BEVERAGES -- 2.1% 85,318 PepsiCo, Inc. ................................................ 3,910 -------- BROADCASTING AND CABLE -- 6.2% 98,283 Clear Channel Communications, Inc. ........................... 3,764 155,600 The Walt Disney Company....................................... 3,138 121,503 Viacom Inc., Class B.......................................... 4,654 -------- 11,556 -------- COMMERCIAL BANKING -- 4.8% 170,200 Citigroup Inc. ............................................... 7,745 35,950 Mellon Financial Corporation.................................. 1,084 -------- 8,829 -------- COMMERCIAL SERVICES -- 2.2% 77,700 eBay Inc.!!................................................... 4,158 -------- COMPUTERS AND OFFICE EQUIPMENT -- 3.1% 169,725 Dell Inc.!!................................................... 5,667 -------- CONSUMER CREDIT AND MORTGAGES -- 4.2% 51,425 American Express Company...................................... 2,317 76,675 Fannie Mae.................................................... 5,383 -------- 7,700 -------- DEPARTMENT AND DISCOUNT STORES -- 3.1% 42,450 Target Corporation............................................ 1,597 73,557 Wal-Mart Stores, Inc. ........................................ 4,109 -------- 5,706 -------- DIVERSIFIED MANUFACTURING -- 3.3% 205,675 General Electric Company...................................... 6,131 -------- FINANCE -- MISCELLANEOUS -- 6.7% 62,550 Capital One Financial Corporation............................. 3,568 229,411 SLM Corporation............................................... 8,938 -------- 12,506 -------- FOOD AND DRUG STORES -- 1.0% 58,200 Walgreen Company.............................................. 1,783 -------- HEALTH SERVICES -- 5.4% 17,200 Quest Diagnostics Inc.!!(a)................................... 1,043 179,700 UnitedHealth Group Inc. ...................................... 9,043 -------- 10,086 -------- HOUSEHOLD PRODUCTS -- 2.8% 55,250 Procter & Gamble Company...................................... 5,128 --------
VALUE SHARES (000) - ------------------------------------------------------------------------------------ HOUSING AND FURNISHING -- 1.8% 43,400 Lennar Corporation, Class A................................... $ 3,376 -------- INSURANCE -- 2.1% 32,625 Ambac Financial Group, Inc. .................................. 2,088 23,125 XL Capital Ltd., Class A...................................... 1,791 -------- 3,879 -------- INVESTMENT SERVICES -- 3.8% 49,700 Goldman Sachs Group, Inc. .................................... 4,170 40,925 Lehman Brothers Holdings Inc. ................................ 2,827 -------- 6,997 -------- LODGING AND RECREATION -- 2.0% 105,275 Starwood Hotels & Resorts Worldwide, Inc. .................... 3,664 -------- MEDICAL DEVICES AND SUPPLIES -- 3.1% 54,001 Medtronic, Inc. .............................................. 2,534 58,225 Zimmer Holdings, Inc.!!....................................... 3,208 -------- 5,742 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 5.4% 422,350 Cisco Systems, Inc.!!......................................... 8,253 115,000 Nokia Corporation, ADR........................................ 1,794 -------- 10,047 -------- PHARMACEUTICALS -- 15.2% 84,350 Amgen Inc.!!.................................................. 5,446 59,050 Eli Lilly and Company......................................... 3,508 30,700 Express Scripts, Inc.!!....................................... 1,877 87,175 Genentech, Inc.!!............................................. 6,986 120,770 Pfizer Inc. .................................................. 3,669 117,418 Teva Pharmaceutical Industries Ltd., ADR...................... 6,710 -------- 28,196 -------- RAILROADS, TRUCKING AND SHIPPING -- 3.1% 90,650 FedEx Corporation............................................. 5,841 -------- RESTAURANTS -- 1.2% 79,075 Starbucks Corporation!!....................................... 2,277 -------- SEMICONDUCTORS -- 5.3% 272,457 Intel Corporation............................................. 7,496 101,425 Texas Instruments Inc. ....................................... 2,312 -------- 9,808 -------- SOFTWARE -- 4.4% 60,875 Electronic Arts Inc.!!........................................ 5,614 227,775 Oracle Corporation!!.......................................... 2,556 -------- 8,170 --------
SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS Nations Capital Growth Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------ SPECIALTY STORES -- 5.5% 55,800 Amazon.com, Inc.!!(a)......................................... $ 2,698 136,625 Home Depot, Inc. ............................................. 4,352 59,475 Lowe's Companies, Inc. ....................................... 3,087 -------- 10,137 -------- TOTAL COMMON STOCKS (Cost $145,498)............................................. 183,726 -------- SHARES (000) - ------- INVESTMENT COMPANIES -- 1.8% (Cost $3,352) 3,352 Nations Cash Reserves, Capital Class Shares#.................. 3,352 -------- TOTAL INVESTMENTS (Cost $148,850*).................................. 100.9% 187,078 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (0.9)% Receivable for investment securities sold..................... $ 3,851 Receivable for Fund shares sold............................... 12 Dividends receivable.......................................... 62 Interest receivable........................................... 2 Collateral on securities loaned............................... (3,194) Payable for Fund shares redeemed.............................. (1,914) Investment advisory fee payable............................... (105) Administration fee payable.................................... (37) Shareholder servicing and distribution fees payable................................................ (28) Accrued Trustees' fees and expenses........................... (122) Accrued expenses and other liabilities........................ (138) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (1,611) -------- NET ASSETS.......................................... 100.0% $185,467 ======== NET ASSETS CONSIST OF: Net investment loss........................................... $ (373) Accumulated net realized loss on investments sold............. (86,918) Net unrealized appreciation of investments.................... 38,228 Paid-in capital............................................... 234,530 -------- NET ASSETS.................................................... $185,467 ========
VALUE - ------------------------------------------------------------------------------------ PRIMARY A SHARES: Net asset value, offering and redemption price per share ($128,515,000 / 19,741,488 shares outstanding)................................................ $6.51 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($31,400,619 / 4,937,380 shares outstanding)................ $6.36 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $6.75 INVESTOR B SHARES: Net asset value and offering price per share& ($22,796,762 / 3,977,392 shares outstanding)................ $5.73 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($2,754,762 / 475,323 shares outstanding)................... $5.80 ========
- --------------- *Federal income tax information (see Note 12). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $3,194. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $2,316 and $3,039, respectively. ABBREVIATIONS: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS FUNDS Nations Marsico Focused Equities Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - ---------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 99.9% Investment in Nations Master Investment Trust, Marsico Focused Equities Master Portfolio*.................................. $2,135,291 ---------- TOTAL INVESTMENTS................................... 99.9% 2,135,291 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. 0.1% Receivable for Fund shares sold............................... $ 8,700 Payable for Fund shares redeemed.............................. (4,754) Administration fee payable.................................... (232) Shareholder servicing and distribution fees payable........... (839) Accrued Trustees' fees and expenses........................... (50) Accrued expenses and other liabilities........................ (486) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 2,339 ---------- NET ASSETS.......................................... 100.0% $2,137,630 ========== NET ASSETS CONSIST OF: Net investment loss........................................... $ (7,182) Accumulated net realized loss on investments sold............. (679,970) Net unrealized appreciation of investments.................... 376,386 Paid-in capital............................................... 2,448,396 ---------- NET ASSETS.................................................... $2,137,630 ========== VALUE - ---------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($582,832,932 / 38,097,641 shares outstanding).............. $15.30 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($751,390,615 / 49,611,312 shares outstanding).............................. $15.15 ========== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $16.07 INVESTOR B SHARES: Net asset value and offering price per share& ($546,224,040 / 37,513,476 shares outstanding).............. $14.56 ========== INVESTOR C SHARES: Net asset value and offering price per share& ($257,182,468 / 17,610,242 shares outstanding).............. $14.60 ==========
- --------------- * The financial statements of the Marsico Focused Equities Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the Marsico Focused Equities Fund's financial statements & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS Nations MidCap Growth Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - --------------------------------------------------------------------------------------- COMMON STOCKS -- 97.4% AEROSPACE AND DEFENSE -- 0.6% 126,275 Rockwell Collins, Inc. ....................................... $ 3,188 --------- AUTOMOTIVE -- 1.0% 100,025 Lear Corporation!!............................................ 5,265 --------- BEVERAGES -- 1.1% 267,200 Pepsi Bottling Group, Inc. ................................... 5,499 --------- BROADCASTING AND CABLE -- 3.4% 175,600 Entercom Communications Corporation!!......................... 7,871 61,120 The E.W. Scripps Company, Class A............................. 5,201 132,859 Univision Communications, Inc., Class A!!..................... 4,242 --------- 17,314 --------- BUILDING MATERIALS -- 1.1% 65,525 American Standard Companies Inc.!!............................ 5,520 --------- CHEMICALS -- BASIC -- 1.7% 80,750 Air Products and Chemicals, Inc. ............................. 3,642 190,249 Ecolab, Inc. ................................................. 4,804 --------- 8,446 --------- COMMERCIAL BANKING -- 0.6% 53,259 Zions Bancorporation.......................................... 2,975 --------- COMMERCIAL SERVICES -- 1.3% 177,775 Fiserv, Inc.!!................................................ 6,441 --------- COMPUTER SERVICES -- 4.0% 105,775 Affiliated Computer Services, Inc., Class A!!................. 5,150 202,078 Cognizant Technology Solutions Corporation!!.................. 7,371 144,287 Convergys Corporation!!....................................... 2,646 180,919 CSG Systems International, Inc.!!............................. 2,672 77,850 Synopsys, Inc.!!.............................................. 2,395 --------- 20,234 --------- COMPUTERS AND OFFICE EQUIPMENT -- 1.6% 33,150 Lexmark International, Inc.!!................................. 2,089 177,075 Network Appliance, Inc.!!..................................... 3,635 66,552 Pitney Bowes Inc. ............................................ 2,550 --------- 8,274 --------- CONGLOMERATES -- 1.0% 125,766 Pentair, Inc. ................................................ 5,014 --------- CONSTRUCTION -- 1.5% 164,625 Jacobs Engineering Group Inc.!!............................... 7,425 ---------
VALUE SHARES (000) - --------------------------------------------------------------------------------------- CONSUMER SERVICES -- 1.0% 214,750 Hewitt Associates, Inc.!!..................................... $ 5,229 --------- DEPARTMENT AND DISCOUNT STORES -- 1.1% 266,500 Dollar General Corporation.................................... 5,330 --------- DIVERSIFIED ELECTRONICS -- 4.3% 211,906 Amphenol Corporation, Class A!!............................... 11,029 175,694 Harris Corporation............................................ 6,288 394,530 Symbol Technologies, Inc. .................................... 4,715 --------- 22,032 --------- EDUCATION -- 1.1% 122,100 Career Education Corporation!!................................ 5,531 --------- ELECTRIC POWER -- NUCLEAR -- 0.7% 57,900 FPL Group, Inc. .............................................. 3,659 --------- EXPLORATION AND PRODUCTION -- 0.9% 114,804 EOG Resources, Inc.(a)........................................ 4,792 --------- FINANCE -- MISCELLANEOUS -- 1.9% 88,325 Affiliated Managers Group, Inc.!!............................. 5,547 96,750 H & R Block, Inc. ............................................ 4,175 --------- 9,722 --------- FOOD PRODUCTS -- 2.1% 78,175 Corn Products International, Inc. ............................ 2,490 294,525 McCormick and Company, Inc. .................................. 8,076 --------- 10,566 --------- HEALTH SERVICES -- 7.6% 214,400 First Health Group Corporation!!.............................. 5,607 393,544 Health Management Associates, Inc., Class A................... 8,583 233,325 Health Net Inc.!!............................................. 7,389 168,475 Lincare Holdings Inc.!!....................................... 6,175 103,925 Quest Diagnostics Inc.!!(a)................................... 6,302 97,756 Stericycle, Inc.!!............................................ 4,611 --------- 38,667 --------- HOUSING AND FURNISHING -- 0.7% 49,200 Mohawk Industries Inc.!!...................................... 3,509 --------- INSURANCE -- 4.5% 227,725 ACE Ltd. ..................................................... 7,533 131,650 Ambac Financial Group, Inc. .................................. 8,426 204,925 The PMI Group, Inc. .......................................... 6,916 --------- 22,875 --------- INTEGRATED OIL -- 1.1% 78,571 Apache Corporation............................................ 5,448 --------- INVESTMENT SERVICES -- 1.3% 91,066 Legg Mason, Inc. ............................................. 6,575 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS Nations MidCap Growth Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - --------------------------------------------------------------------------------------- LODGING AND RECREATION -- 3.4% 126,275 Harrah's Entertainment, Inc. ................................. $ 5,317 133,525 International Game Technology................................. 3,759 231,231 Starwood Hotels & Resorts Worldwide, Inc. .................... 8,047 --------- 17,123 --------- MEDICAL DEVICES AND SUPPLIES -- 4.3% 116,875 DENTSPLY International Inc. .................................. 5,241 49,600 Invitrogen Corporation!!...................................... 2,876 128,750 Respironics, Inc.!!........................................... 5,379 148,350 Zimmer Holdings, Inc.!!....................................... 8,174 --------- 21,670 --------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.4% 438,900 Tekelec!!..................................................... 6,851 --------- OIL REFINING AND MARKETING -- 1.2% 183,975 Noble Corporation!!........................................... 6,253 --------- OILFIELD SERVICES -- 3.1% 118,675 BJ Services Company!!......................................... 4,055 139,617 ENSCO International Inc. ..................................... 3,745 100,471 Nabors Industries, Ltd.!!..................................... 3,744 114,142 Smith International, Inc.!!................................... 4,106 --------- 15,650 --------- PHARMACEUTICALS -- 10.3% 59,450 Allergan, Inc. ............................................... 4,680 45,875 AmerisourceBergen Corporation................................. 2,480 131,074 Barr Laboratories, Inc.!!..................................... 8,942 231,250 Endo Pharmaceuticals Holdings Inc.!!.......................... 4,729 108,257 Express Scripts, Inc.!!....................................... 6,620 137,875 Gilead Sciences, Inc.!!....................................... 7,711 102,975 MedImmune, Inc.!!............................................. 3,399 192,961 Millennium Pharmaceuticals, Inc.!!............................ 2,970 50,300 Pharmaceutical Resources, Inc.!!.............................. 3,431 132,519 Taro Pharmaceutical Industries Ltd.!!......................... 7,469 --------- 52,431 --------- PUBLISHING AND ADVERTISING -- 1.0% 167,710 Lamar Advertising Company!!................................... 4,921 --------- RAILROADS, TRUCKING AND SHIPPING -- 1.5% 109,720 Expeditors International of Washington, Inc. ................. 3,775 195,275 Norfolk Southern Corporation.................................. 3,613 --------- 7,388 ---------
VALUE SHARES (000) - --------------------------------------------------------------------------------------- RESTAURANTS -- 2.6% 186,275 Brinker International, Inc.!!................................. $ 6,214 199,275 Darden Restaurants, Inc. ..................................... 3,786 93,722 The Cheesecake Factory, Inc.!!................................ 3,390 --------- 13,390 --------- SEMICONDUCTORS -- 7.3% 1,279,875 Agere Systems Inc., Class A!!(a).............................. 3,929 120,000 Analog Devices, Inc.!!........................................ 4,562 92,650 Cymer, Inc.!!................................................. 3,817 100,425 KLA-Tencor Corporation!!...................................... 5,161 135,563 Linear Technology Corporation................................. 4,855 116,598 Maxim Integrated Products, Inc. .............................. 4,606 116,400 Microchip Technology Inc. .................................... 2,787 160,022 MKS Instruments, Inc.!!....................................... 3,466 108,261 Novellus Systems, Inc.!!...................................... 3,654 --------- 36,837 --------- SOFTWARE -- 6.6% 330,171 Citrix Systems, Inc.!!........................................ 7,290 112,500 Electronic Arts Inc.!!........................................ 10,376 72,152 Intuit Inc.!!................................................. 3,481 553,878 Quest Software, Inc.!!........................................ 6,702 88,450 Symantec Corporation!!........................................ 5,574 --------- 33,423 --------- SPECIALTY STORES -- 7.1% 186,725 Abercrombie & Fitch Company!!................................. 5,174 103,908 Bed Bath & Beyond Inc.!!...................................... 3,967 121,943 Family Dollar Stores, Inc. ................................... 4,864 384,775 Limited Brands................................................ 5,802 101,325 Ross Stores, Inc. ............................................ 4,697 190,725 Staples, Inc.!!............................................... 4,530 180,811 Tiffany & Company............................................. 6,751 --------- 35,785 --------- TELECOMMUNICATIONS SERVICES -- 0.4% 56,450 Commonwealth Telephone Enterprises, Inc.!!.................... 2,265 --------- TOTAL COMMON STOCKS (Cost $410,457)............................................. 493,517 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS Nations MidCap Growth Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
SHARES VALUE (000) (000) - --------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 3.0% 104 iShares Nasdaq Biotechnology Index Fund(a).................... $ 7,439 7,692 Nations Cash Reserves, Capital Class Shares#.................. 7,692 --------- TOTAL INVESTMENT COMPANIES (Cost $13,409).............................................. 15,131 --------- TOTAL INVESTMENTS (Cost $423,866*).................................. 100.4% 508,648 --------- OTHER ASSETS AND LIABILITIES (NET)................................. (0.4)% Receivable for investment securities sold..................... $ 12,162 Receivable for Fund shares sold............................... 519 Dividends receivable.......................................... 174 Interest receivable........................................... 1 Collateral on securities loaned............................... (7,692) Payable for Fund shares redeemed.............................. (2,149) Investment advisory fee payable............................... (280) Administration fee payable.................................... (99) Shareholder servicing and distribution fees payable........... (28) Due to custodian.............................................. (2,228) Payable for investment securities purchased................... (2,123) Accrued Trustees' fees and expenses........................... (60) Accrued expenses and other liabilities........................ (168) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (1,971) --------- NET ASSETS.......................................... 100.0% $ 506,677 ========= NET ASSETS CONSIST OF: Net investment loss........................................... $ (1,247) Accumulated net realized loss on investments sold............. (257,499) Net unrealized appreciation of investments.................... 84,782 Paid-in capital............................................... 680,641 --------- NET ASSETS.................................................... $ 506,677 =========
VALUE - --------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($458,149,694 / 43,712,156 shares outstanding).............. $10.48 ========= INVESTOR A SHARES: Net asset value and redemption price per share ($21,215,343 / 2,106,673 shares outstanding)................ $10.07 ========= Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $10.68 INVESTOR B SHARES: Net asset value and offering price per share& ($25,613,521 / 2,848,490 shares outstanding)................ $8.99 ========= INVESTOR C SHARES: Net asset value and offering price per share& ($1,698,442 / 187,789 shares outstanding)................... $9.04 =========
- --------------- *Federal income tax information (see Note 12). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $7,692. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $6,024 and $7,438, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS Nations Marsico 21st Century Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- COMMON STOCKS -- 99.9% AIRLINES -- 9.0% 86,183 JetBlue Airways Corporation!!................................. $ 5,255 82,422 Ryanair Holdings plc, ADR!!(a)................................ 3,338 -------- 8,593 -------- AUTOMOTIVE -- 3.2% 81,966 Bayerische Motoren Werke (BMW) AG............................. 3,097 -------- BROADCASTING AND CABLE -- 2.7% 153,669 Cumulus Media Inc., Class A!!................................. 2,620 -------- COMMERCIAL BANKING -- 2.9% 60,666 Citigroup Inc. ............................................... 2,761 -------- COMPUTER SERVICES -- 3.2% 52,406 Fair, Issac and Company Inc.(a)............................... 3,090 -------- COMPUTERS AND OFFICE EQUIPMENT -- 3.3% 94,523 Dell Inc.!!................................................... 3,156 -------- DEPARTMENT AND DISCOUNT STORES -- 3.0% 65,722 Sears, Roebuck and Company.................................... 2,874 -------- DIVERSIFIED ELECTRONICS -- 5.7% 37,570 Digital Theater Systems Inc.!!................................ 1,070 44,038 Harman International Industries, Inc. ........................ 4,331 -------- 5,401 -------- FINANCE -- MISCELLANEOUS -- 4.2% 132,156 UCBH Holdings Inc. ........................................... 3,995 -------- HEALTH SERVICES -- 2.1% 39,266 UnitedHealth Group Inc. ...................................... 1,976 -------- HEAVY MACHINERY -- 3.2% 45,006 Caterpillar Inc. ............................................. 3,098 -------- HOUSING AND FURNISHING -- 2.8% 159,719 WCI Communities, Inc.!!....................................... 2,635 -------- INSURANCE -- 2.7% 49,484 MGIC Investment Corporation................................... 2,577 -------- INVESTMENT SERVICES -- 3.5% 114,883 Jefferies Group, Inc. ........................................ 3,303 --------
VALUE SHARES (000) - -------------------------------------------------------------------------------------- LODGING AND RECREATION -- 6.1% 36,523 Four Seasons Hotels Inc. ..................................... $ 1,819 41,824 Harley-Davidson, Inc. ........................................ 2,016 108,503 Wynn Resorts, Ltd.!!.......................................... 1,973 -------- 5,808 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 8.3% 161,649 Cisco Systems, Inc.!!......................................... 3,158 93,191 Foundry Networks, Inc.!!...................................... 2,005 66,566 QUALCOMM Inc. ................................................ 2,772 -------- 7,935 -------- PHARMACEUTICALS -- 2.7% 32,031 Genentech, Inc.!!............................................. 2,567 -------- PUBLISHING AND ADVERTISING -- 2.7% 101,976 Monster Worldwide Inc.!!...................................... 2,568 -------- RAILROADS, TRUCKING AND SHIPPING -- 4.1% 61,079 FedEx Corporation............................................. 3,935 -------- RESTAURANTS -- 1.8% 58,286 Starbucks Corporation!!....................................... 1,679 -------- SEMICONDUCTORS -- 2.9% 101,813 Intel Corporation............................................. 2,801 -------- SOFTWARE -- 2.1% 64,692 VERITAS Software Corporation!!................................ 2,031 -------- SPECIALTY STORES -- 12.5% 94,264 Electronics Boutique Holdings Corporation!!................... 2,693 173,137 Select Comfort Corporation!!.................................. 4,588 85,253 The Sports Authority, Inc.!!.................................. 2,682 49,545 Tiffany & Company............................................. 1,850 -------- 11,813 -------- TELECOMMUNICATIONS SERVICES -- 5.2% 78,020 Echostar Communications Corporation!!......................... 2,986 98,131 Nextel Communications, Inc., Class A!!........................ 1,932 -------- 4,918 -------- TOTAL COMMON STOCKS (Cost $81,087).............................................. 95,231 -------- PRINCIPAL AMOUNT (000) - --------- SHORT TERM INVESTMENTS -- 0.9% FEDERAL HOME LOAN BANK (FHLB) -- 0.9% (Cost $900) $ 900 Discount note 10/01/03...................................... 900 --------
SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS FUNDS Nations Marsico 21st Century Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
SHARES VALUE (000) (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 6.9% (Cost $6,616) 6,616 Nations Cash Reserves, Capital Class Shares#.................. $ 6,616 -------- TOTAL INVESTMENTS (Cost $88,603*)................................... 107.7% 102,747 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (7.7)% Cash.......................................................... $ 126 Unrealized appreciation on forward foreign exchange contracts................................................... 51 Receivable for investment securities sold..................... 3,714 Dividends receivable.......................................... 27 Unrealized depreciation on forward foreign exchange contracts................................................... (199) Collateral on securities loaned............................... (6,597) Investment advisory fee payable............................... (59) Administration fee payable.................................... (18) Shareholder servicing and distribution fees payable........... (46) Payable for investment securities purchased................... (4,183) Accrued Trustees' fees and expenses........................... (28) Accrued expenses and other liabilities........................ (100) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (7,312) -------- NET ASSETS.......................................... 100.0% $ 95,435 ======== NET ASSETS CONSIST OF: Net investment loss........................................... $ (519) Accumulated net realized loss on investments sold and currency contracts................................................... (33,809) Net unrealized appreciation of investments and currency contracts................................................... 13,996 Paid-in capital............................................... 115,767 -------- NET ASSETS.................................................... $ 95,435 ======== VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($13,757,119 / 1,649,819 shares outstanding)................ $8.34 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($34,393,408 / 4,162,817 shares outstanding)................ $8.26 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $8.76 INVESTOR B SHARES: Net asset value and offering price per share& ($40,068,710 / 4,978,797 shares outstanding)................ $8.05 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($7,216,213 / 896,713 shares outstanding)................... $8.05 ========
- --------------- *Federal income tax information (see Note 12). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $6,597. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $6,267 and $6,428, respectively. ABBREVIATIONS: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS FUNDS Nations Small Company Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- COMMON STOCKS -- 98.1% AEROSPACE AND DEFENSE -- 0.9% 221,893 Triumph Group, Inc.!!......................................... $ 6,612 -------- AIRLINES -- 1.1% 425,724 SkyWest, Inc. ................................................ 7,374 -------- APPAREL AND TEXTILES -- 1.4% 123,609 Columbia Sportswear Company!!................................. 6,520 207,825 Genesco Inc.!!................................................ 3,338 -------- 9,858 -------- BEVERAGES -- 1.0% 232,115 Constellation Brands, Inc.!!.................................. 7,077 -------- BROADCASTING AND CABLE -- 1.0% 467,650 Radio One, Inc., Class D!!.................................... 6,715 -------- CHEMICALS -- BASIC -- 2.2% 553,366 Agrium Inc. .................................................. 6,950 368,493 Delta and Pine Land Company................................... 8,479 -------- 15,429 -------- COMMERCIAL BANKING -- 4.5% 327,032 City National Corporation..................................... 16,666 206,365 F.N.B. Corporation............................................ 7,120 315,892 National Commerce Financial Corporation....................... 7,859 -------- 31,645 -------- COMMERCIAL SERVICES -- 1.5% 287,639 Trammell Crow Company!!....................................... 3,581 300,369 Watson Wyatt & Company Holdings!!............................. 6,761 -------- 10,342 -------- COMPUTER SERVICES -- 2.8% 34,250 Anteon International Corporation.............................. 1,048 229,910 Cognizant Technology Solutions Corporation!!.................. 8,385 269,857 Pegasus Solutions Inc.!!...................................... 3,732 282,023 Secure Computing Corporation!!................................ 3,294 445,704 Virage Logic Corporation!!.................................... 3,387 -------- 19,846 -------- COMPUTERS AND OFFICE EQUIPMENT -- 2.3% 243,711 Avocent Corporation!!......................................... 7,382 432,222 Pinnacle Systems, Inc.!!...................................... 3,644 301,157 Plexus Corporation!!.......................................... 4,680 -------- 15,706 -------- CONSTRUCTION -- 1.2% 303,702 Chicago Bridge & Iron Company NV.............................. 8,249 -------- CONSUMER SERVICES -- 1.9% 159,195 Rent-A-Center, Inc.!!......................................... 5,142 492,370 ValueVision Media, Inc., Class A!!............................ 7,834 -------- 12,976 --------
VALUE SHARES (000) - -------------------------------------------------------------------------------------- DIVERSIFIED ELECTRONICS -- 5.7% 778,157 Aeroflex, Inc.!!.............................................. $ 6,886 414,713 Anaren Microwave, Inc.!!...................................... 5,292 292,544 Daktronics, Inc.!!............................................ 4,684 170,535 Dionex Corporation!!(a)....................................... 6,712 206,300 Integrated Circuit Systems, Inc.!!............................ 6,197 451,350 RF Micro Devices, Inc.!!(a)................................... 4,193 441,280 Sypris Solutions, Inc. ....................................... 6,059 -------- 40,023 -------- DIVERSIFIED MANUFACTURING -- 2.5% 104,671 Actuant Corporation, Class A!!................................ 5,878 110,752 CUNO Inc.!!................................................... 4,340 337,887 Griffon Corporation!!......................................... 6,069 35,734 Mueller Industries, Inc.!!.................................... 909 -------- 17,196 -------- EDUCATION -- 2.1% 103,287 Career Education Corporation!!................................ 4,679 173,065 Education Management Corporation!!............................ 9,981 -------- 14,660 -------- EXPLORATION AND PRODUCTION -- 0.2% 241,743 Brigham Exploration Company................................... 1,644 -------- FINANCE -- MISCELLANEOUS -- 3.1% 200,491 Affiliated Managers Group, Inc.!!............................. 12,590 368,788 Boston Private Financial Holdings, Inc. ...................... 8,689 -------- 21,279 -------- FOOD PRODUCTS -- 1.0% 209,952 Corn Products International, Inc. ............................ 6,687 -------- HEALTH SERVICES -- 7.4% 238,462 Centene Corporation!!......................................... 7,247 220,126 Orthodontic Centers of America, Inc.!!(a)..................... 1,735 604,413 Province Healthcare Company!!................................. 7,827 191,278 Stericycle, Inc.!!............................................ 9,023 280,456 Triad Hospitals, Inc.!!....................................... 8,492 669,531 US Oncology, Inc.!!........................................... 4,894 537,303 VCA Antech, Inc.!!............................................ 12,653 -------- 51,871 -------- HOUSING AND FURNISHING -- 0.7% 141,306 Ethan Allen Interiors Inc. ................................... 5,087 -------- INSURANCE -- 3.0% 161,719 Delphi Financial Group, Inc., Class A......................... 7,523 44,850 Direct General Corporation!!.................................. 1,124 150,566 Endurance Specialty Holdings Ltd. ............................ 4,397 158,740 Triad Guaranty Inc.!!......................................... 7,791 -------- 20,835 -------- INTEGRATED OIL -- 0.6% 227,540 Remington Oil & Gas Corporation!!............................. 4,130 --------
SEE NOTES TO FINANCIAL STATEMENTS. 38 NATIONS FUNDS Nations Small Company Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- LODGING AND RECREATION -- 2.0% 531,075 Boyd Gaming Corporation....................................... $ 8,104 223,062 Shuffle Master, Inc.!!........................................ 6,063 -------- 14,167 -------- MEDICAL DEVICES AND SUPPLIES -- 6.0% 102,128 Cooper Companies, Inc. ....................................... 4,162 439,045 Exact Sciences Corporation!!(a)............................... 5,927 416,157 Merit Medical Systems Inc.!!.................................. 9,197 264,200 Respironics, Inc.!!........................................... 11,038 450,200 Wright Medical Group, Inc.!!.................................. 11,381 -------- 41,705 -------- NATURAL GAS DISTRIBUTION -- 1.8% 193,570 AGL Resources Inc. ........................................... 5,453 199,435 Energen Corporation........................................... 7,215 -------- 12,668 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 4.0% 684,115 AudioCodes Ltd.!!(a).......................................... 5,131 752,381 C-COR.Net Corporation!!....................................... 4,966 950,000 Hypercom Corporation!!........................................ 5,121 108,825 j2 Global Communications, Inc.!!(a)........................... 4,117 583,956 REMEC, Inc.!!................................................. 5,955 180,810 Tollgrade Communications, Inc.!!.............................. 2,906 -------- 28,196 -------- OILFIELD SERVICES -- 4.3% 79,224 Atwood Oceanics, Inc.!!....................................... 1,901 314,850 Cal Dive International, Inc.!!................................ 6,121 152,590 Patterson-UTI Energy, Inc.!!.................................. 4,131 114,716 Precision Drilling Corporation!!(a)........................... 4,320 396,544 Pride International, Inc.!!................................... 6,720 388,275 Varco International, Inc.!!(a)................................ 6,566 -------- 29,759 -------- PACKAGING AND CONTAINERS -- 0.5% 227,650 Anchor Glass Container Corporation!!.......................... 3,711 -------- PHARMACEUTICALS -- 9.3% 295,350 Affymetrix, Inc.!!............................................ 6,199 104,150 Angiotech Pharmaceuticals, Inc. .............................. 4,546 289,750 AtheroGenics, Inc.!!.......................................... 4,850 242,100 Axcan Pharma Inc.!!(a)........................................ 3,307 284,750 BioMarin Pharmaceutical Inc.!!................................ 2,181 208,100 Connetics Corporation!!....................................... 3,758 286,190 Martek Biosciences Corporation!!.............................. 15,075 140,074 Medicis Pharmaceutical Corporation, Class A................... 8,209 284,035 Penwest Pharmaceuticals Company!!(a).......................... 6,107 78,571 Pharmaceutical Resources, Inc.!!.............................. 5,360 304,285 Protein Design Labs, Inc.!!................................... 4,217 -------- 63,809 -------- PUBLISHING AND ADVERTISING -- 1.0% 180,600 R.H. Donnelley Corporation!!.................................. 7,298 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.9% 124,365 Knight Transportation, Inc.!!................................. 3,118 328,690 RailAmerica, Inc.@............................................ 2,827
VALUE SHARES (000) - -------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- (CONTINUED) 246,517 RailAmerica, Inc. ............................................ $ 2,120 32,000 RailAmerica, Inc.!!........................................... 275 155,214 UTI Worldwide, Inc. .......................................... 4,738 -------- 13,078 -------- RESTAURANTS -- 2.6% 295,365 RARE Hospitality International, Inc.!!........................ 7,358 409,700 Red Robin Gourmet Burgers!!................................... 10,431 -------- 17,789 -------- SEMICONDUCTORS -- 6.1% 34,500 AMIS Holdings, Inc.(a)........................................ 637 247,041 Cognex Corporation............................................ 6,495 177,785 Cymer, Inc.!!................................................. 7,325 509,137 LTX Corporation!!............................................. 5,733 388,300 Microsemi Corporation!!....................................... 5,918 175,600 MKS Instruments, Inc.!!....................................... 3,803 694,584 TriQuint Semiconductor, Inc.!!................................ 3,890 113,550 Varian Semiconductor Equipment Associates, Inc.!!(a)....................................... 4,252 242,636 Zoran Corporation!!........................................... 4,731 -------- 42,784 -------- SOFTWARE -- 7.0% 577,000 Borland Software Corporation!!................................ 5,314 171,834 Computer Programs and Systems, Inc.(a)........................ 3,098 375,727 EPIQ Systems, Inc.!!.......................................... 6,372 291,236 Hyperion Solutions Corporation!!.............................. 8,409 604,149 Lawson Software, Inc.!!....................................... 4,283 235,550 Manhattan Associates, Inc.!!.................................. 6,098 282,025 Neoware Systems, Inc.!!(a).................................... 4,814 81,795 OPNET Technologies, Inc.!!.................................... 1,021 265,475 Packeteer, Inc.!!............................................. 3,199 111,845 Portal Software, Inc. ........................................ 1,620 198,525 Progress Software Corporation!!............................... 4,268 -------- 48,496 -------- SPECIALTY STORES -- 1.7% 289,825 American Eagle Outfitters, Inc.!!............................. 4,307 389,789 Cato Corporation.............................................. 7,862 -------- 12,169 -------- TELECOMMUNICATIONS SERVICES -- 1.8% 319,384 Commonwealth Telephone Enterprises, Inc.!!(a)...................................... 12,816 -------- TOTAL COMMON STOCKS (Cost $563,352)............................................. 683,686 -------- PRINCIPAL AMOUNT (000) - --------- CONVERTIBLE BONDS AND NOTES -- 0.1% PHARMACEUTICALS -- 0.1% (Cost $644) $ 644 Biomarin Pharmaceutical Inc., 3.500% 06/15/08@............................................ (549) --------
SEE NOTES TO FINANCIAL STATEMENTS. 39 NATIONS FUNDS Nations Small Company Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
SHARES VALUE (000) (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 6.1% 132 iShares Nasdaq Biotechnology Index Fund(a)............................................... $ 9,503 33,031 Nations Cash Reserves, Capital Class Shares#.................. 33,031 -------- TOTAL INVESTMENT COMPANIES (Cost $40,442).............................................. 42,534 -------- TOTAL INVESTMENTS (Cost $604,438*).................................. 104.3% 726,769 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (4.3)% Cash.......................................................... $ 260 Receivable for investment securities sold..................... 13,764 Dividends receivable.......................................... 137 Receivable from investment adviser............................ 130 Collateral on securities loaned............................... (31,705) Investment advisory fee payable............................... (541) Administration fee payable.................................... (90) Shareholder servicing and distribution fees payable........... (56) Payable for investment securities purchased................... (11,594) Accrued Trustees' fees and expenses........................... (45) Accrued expenses and other liabilities........................ (155) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (29,895) -------- NET ASSETS.......................................... 100.0% $696,874 ======== NET ASSETS CONSIST OF: Net investment loss........................................... $ (2,370) Accumulated net realized loss on investments sold............. (138,829) Net unrealized appreciation of investments.................... 122,331 Paid-in capital............................................... 715,742 -------- NET ASSETS.................................................... $696,874 ======== VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($499,818,026 / 38,020,902 shares outstanding).............. $13.15 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($174,768,648 / 13,552,455 shares outstanding).............. $12.90 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $13.69 INVESTOR B SHARES: Net asset value and offering price per share& ($17,322,190 / 1,414,952 shares outstanding)................ $12.24 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($4,965,158 / 399,987 shares outstanding)................... $12.41 ========
- --------------- *Federal income tax information (see Note 12). !! Non-income producing security. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. @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. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $31,705. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $28,300 and $30,411, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 40 [This page intentionally left blank] 41 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2003
CONVERTIBLE ASSET SECURITIES ALLOCATION --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 16,815 $ 1,448 Dividends (Net of foreign withholding taxes of $2, $0, $54, $0, $0, $0, $0, $2, $0, $0, $5 and $7, respectively)...... 8,708 1,270 Dividend income from affiliated funds....................... 93 111 Securities lending.......................................... 201 3 Allocated from Portfolio: Interest+................................................... -- -- Dividends (Net of foreign withholding taxes of $0, $0, $0, $0, $0, $24, $44, $0, $160, $0, $0 and $0, respectively)+............................................ -- -- Dividend income from affiliated funds+...................... -- -- Securities lending+......................................... -- -- Expenses (Net of reimbursement of $0, $0, $0, $0, $0, $0, $4, $0, $0, $0, $0 and $0, respectively)+................. -- -- -------------- -------------- Total investment income/(loss).......................... 25,817 2,832 -------------- -------------- EXPENSES: Investment advisory fee..................................... 3,928 685 Administration fee.......................................... 1,390 242 Transfer agent fees......................................... 179 37 Custodian fees.............................................. 39 12 Legal and audit fees........................................ 44 39 Registration and filing fees................................ 39 36 Trustees' fees and expenses................................. 10 10 Interest expense............................................ 22 -- Printing expense............................................ 79 81 Other....................................................... 8 --* -------------- -------------- Subtotal................................................ 5,738 1,142 Shareholder servicing and distribution fees: Investor A Shares......................................... 421 118 Investor B Shares......................................... 645 378 Investor C Shares......................................... 219 11 -------------- -------------- Total expenses.......................................... 7,023 1,649 Fees waived by investment advisor and/or administrator...... -- -- Fees reduced by credits allowed by the custodian............ (6) --* Reimbursement from investment adviser....................... (44) -- -------------- -------------- Net expenses............................................ 6,973 1,649 -------------- -------------- NET INVESTMENT INCOME/(LOSS)................................ 18,844 1,183 -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... 15,805 1,147 Written options........................................... -- (169) Futures contracts......................................... -- 327 Swap contracts............................................ -- 151 Foreign currency and net other assets..................... -- -- Allocated from Portfolio: Security transactions+.................................... -- -- Foreign currency and net other assets+.................... -- -- -------------- -------------- Net realized gain/(loss) on investments..................... 15,805 1,456 -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities (see Note 13).................................. 103,292 22,182 Written options........................................... -- (2) Futures contracts......................................... -- (116) Swap contracts............................................ -- 51 Foreign currency and net other assets..................... -- -- Securities allocated from Portfolio (see Note 13)+........ -- -- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... 103,292 22,115 -------------- -------------- Net realized and unrealized gain/(loss) on investments...... 119,097 23,571 -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 137,941 $ 24,754 ============== ==============
- --------------- *Amount represents less than $500. + Allocated from Growth Master Portfolio, Strategic Growth Master Portfolio and Focused Equities Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
MIDCAP SMALLCAP VALUE VALUE VALUE GROWTH - -------------------------------------------------------------------------- $ -- $ 98 $ -- $ -- 9,884 3,886 689 -- 74 48 20 -- 10 -- 12 -- -- -- -- 681 -- -- -- 2,460 -- -- -- --* -- -- -- 19 -- -- -- (3,306) -------------- -------------- -------------- -------------- 9,968 4,032 721 (146) -------------- -------------- -------------- -------------- 2,709 1,395 454 -- 959 428 116 495 136 56 15 286 27 15 9 -- 42 35 38 39 34 24 24 34 10 9 10 10 --* -- -- -- 45 32 31 82 1 2 -- -- -------------- -------------- -------------- -------------- 3,963 1,996 697 946 110 6 2 448 282 12 3 781 116 2 1 423 -------------- -------------- -------------- -------------- 4,471 2,016 703 2,598 -- -- (42) -- --* --* --* -- (3) -- -- -- -------------- -------------- -------------- -------------- 4,468 2,016 661 2,598 -------------- -------------- -------------- -------------- 5,500 2,016 60 (2,744) -------------- -------------- -------------- -------------- (46,303) 11,264 5,239 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 4,981 -- -- -- (72) -------------- -------------- -------------- -------------- (46,303) 11,264 5,239 4,909 -------------- -------------- -------------- -------------- 155,692 60,256 17,718 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 115,859 -------------- -------------- -------------- -------------- 155,692 60,256 17,718 115,859 -------------- -------------- -------------- -------------- 109,389 71,520 22,957 120,768 -------------- -------------- -------------- -------------- $ 114,889 $ 73,536 $ 23,017 $ 118,024 ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 43 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED) For the six months ended September 30, 2003
STRATEGIC CAPITAL GROWTH GROWTH --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ -- $ -- Dividends (Net of foreign withholding taxes of $2, $0, $54, $0, $0, $0, $0, $2, $0, $0, $5 and $7, respectively)...... -- 886 Dividend income from affiliated funds....................... -- 21 Securities lending.......................................... -- 4 Allocated from Portfolio: Interest+................................................... 1 -- Dividends (Net of foreign withholding taxes of $0, $0, $0, $0, $0, $24, $44, $0, $160, $0, $0 and $0, respectively)+............................................ 12,699 -- Dividend income from affiliated funds+...................... 93 -- Securities lending+......................................... 84 -- Expenses (Net of reimbursement of $0, $0, $0, $0, $0, $0, $4, $0, $0, $0, $0 and $0, respectively)+................. (6,426) -- -------------- -------------- Total investment income/(loss).......................... 6,451 911 -------------- -------------- EXPENSES: Investment advisory fee..................................... -- 699 Administration fee.......................................... 1,625 247 Transfer agent fees......................................... 315 35 Custodian fees.............................................. -- 9 Legal and audit fees........................................ 40 40 Registration and filing fees................................ 58 31 Trustees' fees and expenses................................. 10 10 Interest expense............................................ -- 1 Printing expense............................................ 41 42 Other....................................................... -- --* -------------- -------------- Subtotal................................................ 2,089 1,114 Shareholder servicing and distribution fees: Investor A Shares......................................... 295 39 Investor B Shares......................................... 215 115 Investor C Shares......................................... 74 16 -------------- -------------- Total expenses.......................................... 2,673 1,284 Fees waived by investment advisor and/or administrator...... -- -- Fees reduced by credits allowed by the custodian............ -- --* Reimbursement from investment adviser....................... (4) -- -------------- -------------- Net expenses............................................ 2,669 1,284 -------------- -------------- NET INVESTMENT INCOME/(LOSS)................................ 3,782 (373) -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... -- 12,821 Written options........................................... -- -- Futures contracts......................................... -- -- Swap contracts............................................ -- -- Foreign currency and net other assets..................... -- -- Allocated from Portfolio: Security transactions+.................................... (26,660) -- Foreign currency and net other assets+.................... -- -- -------------- -------------- Net realized gain/(loss) on investments..................... (26,660) 12,821 -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities (see Note 13).................................. -- 20,416 Written options........................................... -- -- Futures contracts......................................... -- -- Swap contracts............................................ -- -- Foreign currency and net other assets..................... -- -- Securities allocated from Portfolio (see Note 13)+........ 305,702 -- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... 305,702 20,416 -------------- -------------- Net realized and unrealized gain/(loss) on investments...... 279,042 33,237 -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 282,824 $ 32,864 ============== ==============
- --------------- *Amount represents less than $500. + Allocated from Growth Master Portfolio, Strategic Growth Master Portfolio and Focused Equities Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
FOCUSED MIDCAP 21ST SMALL EQUITIES GROWTH CENTURY COMPANY - -------------------------------------------------------------------------- $ -- $ -- $ 6 $ 13 -- 1,199 155 1,400 -- 111 --* 119 -- 7 7 65 315 -- -- -- 7,473 -- -- -- 1 -- -- -- 86 -- -- -- (8,213) -- -- -- -------------- -------------- -------------- -------------- (338) 1,317 168 1,597 -------------- -------------- -------------- -------------- -- 1,609 263 2,972 1,238 569 80 760 773 89 15 126 -- 15 9 21 38 41 33 43 39 32 13 36 10 10 10 10 -- --* -- --* 180 40 29 48 -- -- 3 4 -------------- -------------- -------------- -------------- 2,278 2,405 455 4,020 819 25 26 199 2,634 125 181 78 1,113 9 25 22 -------------- -------------- -------------- -------------- 6,844 2,564 687 4,319 -- -- -- (222) -- --* --* --* -- -- -- (130) -------------- -------------- -------------- -------------- 6,844 2,564 687 3,967 -------------- -------------- -------------- -------------- (7,182) (1,247) (519) (2,370) -------------- -------------- -------------- -------------- -- (25,223) 5,571 547 -- -- -- -- -- -- -- -- -- -- -- -- -- -- 86 -- (13,077) -- -- -- (269) -- -- -- -------------- -------------- -------------- -------------- (13,346) (25,223) 5,657 547 -------------- -------------- -------------- -------------- -- 117,859 12,182 165,745 -- -- -- -- -- -- -- -- -- -- -- -- -- -- (148) -- 327,253 -- -- -- -------------- -------------- -------------- -------------- 327,253 117,859 12,034 165,745 -------------- -------------- -------------- -------------- 313,907 92,636 17,691 166,292 -------------- -------------- -------------- -------------- $ 306,725 $ 91,389 $ 17,172 $ 163,922 ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
CONVERTIBLE SECURITIES --------------------------------- SIX MONTHS ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 18,844 $ 27,101 Net realized gain/(loss) on investments..................... 15,805 (64,748) Net realized gain/(loss) on investments allocated from Portfolio................................................. -- -- Net change in unrealized appreciation/(depreciation) of investments............................................... 103,292 (49,899) Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio...................... -- -- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 137,941 (87,546) Distributions to shareholders from net investment income: Primary A Shares.......................................... (11,587) (15,142) Investor A Shares......................................... (4,959) (9,699) Investor B Shares......................................... (1,448) (2,968) Investor C Shares......................................... (538) (700) Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... -- -- Investor A Shares......................................... -- -- Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Net increase/(decrease) in net assets from Fund share transactions.............................................. 267,731 404,871 -------------- -------------- Net increase/(decrease) in net assets....................... 387,140 288,816 NET ASSETS: Beginning of period......................................... 957,654 668,838 -------------- -------------- End of period............................................... $ 1,344,794 $ 957,654 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ 464 $ 152 ============== ==============
- --------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
ASSET ALLOCATION VALUE MIDCAP VALUE ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED 9/30/03 YEAR ENDED ENDED 9/30/03 YEAR ENDED ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 - ------------------------------------------------------------------------------------------------------- $ 1,183 $ 4,195 $ 5,500 $ 7,115 $ 2,016 $ 2,250 1,456 (40,246) (46,303) (54,789) 11,264 (20,984) -- -- -- -- -- -- 22,115 (23,813) 155,692 (132,951) 60,256 (25,133) -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 24,754 (59,864) 114,889 (180,625) 73,536 (43,867) (311) (713) (4,417) (6,087) (1,976) (1,835) (627) (2,680) (450) (521) (19) (16) (220) (918) (71) (236) (2) (4) (7) (27) (9) (26) --* (1) -- -- -- (7,879) -- (214) -- -- -- (885) -- (2) -- -- -- (1,224) -- (2) -- -- -- (116) -- --* (10,334) (130,006) 503,596 75,863 36,175 245,543 -------------- -------------- -------------- -------------- -------------- -------------- 13,255 (194,208) 613,538 (121,736) 107,714 199,602 197,861 392,069 537,272 659,008 299,680 100,078 -------------- -------------- -------------- -------------- -------------- -------------- $ 211,116 $ 197,861 $ 1,150,810 $ 537,272 $ 407,394 $ 299,680 ============== ============== ============== ============== ============== ============== $ 370 $ 352 $ 1,196 $ 643 $ 309 $ 290 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
SMALLCAP VALUE --------------------------------- SIX MONTHS ENDED 9/30/03 PERIOD ENDED (UNAUDITED) 3/31/03(A) --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 60 $ 192 Net realized gain/(loss) on investments..................... 5,239 (5,890) Net realized gain/(loss) on investments allocated from Portfolio+................................................ -- -- Net change in unrealized appreciation/(depreciation) of investments............................................... 17,718 (3,247) Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+..................... -- -- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 23,017 (8,945) Distributions to shareholders from net investment income: Primary A Shares.......................................... -- (147) Investor A Shares......................................... -- (2) Investor B Shares......................................... -- --* Investor C Shares......................................... -- --* Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... -- -- Investor A Shares......................................... -- -- Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Net increase/(decrease) in net assets from Fund share transactions.............................................. 25,119 80,781 -------------- -------------- Net increase/(decrease) in net assets....................... 48,136 71,687 NET ASSETS: Beginning of period......................................... 71,687 -- -------------- -------------- End of period............................................... $ 119,823 $ 71,687 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ 83 $ 23 ============== ==============
- --------------- + Allocated from Growth Master Portfolio and Strategic Growth Master Portfolio, respectively. * Amount represents less than $500. # Amount represents results from operations prior to conversion from master-feeder structure. (a)SmallCap Value commenced operations on May 1, 2002. (b)As of May 13, 2002, Strategic Growth Fund converted to a master-feeder structure. SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
GROWTH STRATEGIC GROWTH CAPITAL GROWTH ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED 9/30/03 YEAR ENDED ENDED 9/30/03 YEAR ENDED ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03(B) (UNAUDITED) 3/31/03 - ------------------------------------------------------------------------------------------------------- $ (2,744) $ (4,467) $ 3,782 $ 10,982 $ (373) $ (36) -- -- -- (25,186)# 12,821 (45,359) 4,909 (55,290) (26,660) (305,110) -- -- -- -- -- (100,733)# 20,416 (61,387) 115,859 (54,489) 305,702 (262,668) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 118,024 (114,246) 282,824 (682,715) 32,864 (106,782) -- -- -- (7,224) -- -- -- -- -- (1,070) -- -- -- -- -- (19) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 198,506 175,763 (167,148) 1,082,033 (58,242) (56,515) -------------- -------------- -------------- -------------- -------------- -------------- 316,530 61,517 115,676 391,005 (25,378) (163,297) 579,621 518,104 1,658,780 1,267,775 210,845 374,142 -------------- -------------- -------------- -------------- -------------- -------------- $ 896,151 $ 579,621 $ 1,774,456 $ 1,658,780 $ 185,467 $ 210,845 ============== ============== ============== ============== ============== ============== $ (2,744) $ -- $ 7,131 $ 3,349 $ (373) $ -- ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 49 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOCUSED EQUITIES --------------------------------- SIX MONTHS ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ (7,182) $ (14,029) Net realized gain/(loss) on investments..................... -- -- Net realized gain/(loss) on investments allocated from Portfolio+................................................ (13,346) (142,705) Net change in unrealized appreciation/(depreciation) of investments............................................... -- -- Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+..................... 327,253 (197,263) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 306,725 (353,997) Distributions to shareholders from net investment income: Primary A Shares.......................................... -- -- Investor A Shares......................................... -- -- Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... -- -- Investor A Shares......................................... -- -- Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Net increase/(decrease) in net assets from Fund share transactions.............................................. 271,127 191,220 -------------- -------------- Net increase/(decrease) in net assets....................... 577,852 (162,777) NET ASSETS: Beginning of period......................................... 1,559,778 1,722,555 -------------- -------------- End of period............................................... $ 2,137,630 $ 1,559,778 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ (7,182) $ -- ============== ==============
- --------------- + Allocated from Focused Equities Master Portfolio. SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MIDCAP GROWTH 21ST CENTURY SMALL COMPANY ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED 9/30/03 YEAR ENDED ENDED 9/30/03 YEAR ENDED ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 - ------------------------------------------------------------------------------------------------------- $ (1,247) $ (2,757) $ (519) $ (863) $ (2,370) $ (4,253) (25,223) (184,346) 5,657 (1,599) 547 (98,329) -- -- -- -- -- -- 117,859 (33,365) 12,034 (5,523) 165,745 (142,917) -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 91,389 (220,468) 17,172 (7,985) 163,922 (245,499) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- (29,518) 37,230 30,788 (10,484) (22,077) 48,594 -------------- -------------- -------------- -------------- -------------- -------------- 61,871 (183,238) 47,960 (18,469) 141,845 (196,905) 444,806 628,044 47,475 65,944 555,029 751,934 -------------- -------------- -------------- -------------- -------------- -------------- $ 506,677 $ 444,806 $ 95,435 $ 47,475 $ 696,874 $ 555,029 ============== ============== ============== ============== ============== ============== $ (1,247) $ -- $ (519) $ -- $ (2,370) $ -- ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
CONVERTIBLE SECURITIES SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------- -------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 23,669 $ 350,471 45,660 $ 649,083 Issued in exchange for net assets of: Bank of America Equity Income Fund (see Note 13)........ -- -- 846 11,664 Bank of America Equity & Convertible Fund (see Note 13)................................................... -- -- 5,772 79,598 Issued in exchange for Primary A Shares of Nations Equity Income Fund (see Note 13)............................... -- -- 3,257 51,793 Issued as reinvestment of dividends....................... 63 949 94 1,306 Redeemed.................................................. (9,850) (146,737) (32,359) (460,920) ------ --------- ------- --------- Net increase/(decrease)................................... 13,882 $ 204,683 23,270 $ 332,524 ====== ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 6,018 $ 89,455 6,393 $ 93,580 Issued in exchange for Investor A Shares of Nations Equity Income Fund (see Note 13)............................... -- -- 1,267 20,137 Shares issued upon conversion from Investor B shares...... 2 28 484 6,905 Shares issued upon conversion from Investor C shares...... 11 167 -- -- Issued as reinvestment of dividends....................... 283 4,294 621 8,710 Redeemed.................................................. (4,352) (65,071) (7,611) (110,347) ------ --------- ------- --------- Net increase/(decrease)................................... 1,962 $ 28,873 1,154 $ 18,985 ====== ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 1,482 $ 21,757 2,854 $ 41,083 Issued in exchange for Investor B Shares of Nations Equity Income Fund (see Note 13)............................... -- -- 1,998 31,448 Issued as reinvestment of dividends....................... 80 1,198 183 2,534 Shares redeemed upon conversion to Investor A shares...... (2) (28) (488) (6,905) Redeemed.................................................. (622) (9,190) (2,067) (28,531) ------ --------- ------- --------- Net increase/(decrease)................................... 938 $ 13,737 2,480 $ 39,629 ====== ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 1,681 $ 25,084 1,144 $ 16,527 Issued in exchange for Investor C Shares of Nations Equity Income Fund (see Note 13)............................... -- -- 137 2,170 Issued as reinvestment of dividends....................... 21 314 33 467 Shares redeemed upon conversion to Investor A shares...... (11) (167) -- -- Redeemed.................................................. (319) (4,793) (384) (5,431) ------ --------- ------- --------- Net increase/(decrease)................................... 1,372 $ 20,438 930 $ 13,733 ====== ========= ======= ========= Total net increase/(decrease)............................. 18,154 $ 267,731 27,834 $ 404,871 ====== ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 52 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
ASSET ALLOCATION SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 24 $ 425 287 $ 5,107 Issued as reinvestment of dividends....................... 12 213 28 476 Redeemed.................................................. (38) (689) (174) (3,070) ---- -------- ------ --------- Net increase/(decrease)................................... (2) $ (51) 141 $ 2,513 ==== ======== ====== ========= INVESTOR A SHARES: Sold...................................................... 575 $ 10,342 3,000 $ 50,561 Shares issued upon conversion from Investor B shares...... 12 230 -- -- Issued as reinvestment of dividends....................... 33 598 151 2,604 Redeemed.................................................. (865) (15,582) (9,023) (152,551) ---- -------- ------ --------- Net increase/(decrease)................................... (245) $ (4,412) (5,872) $ (99,386) ==== ======== ====== ========= INVESTOR B SHARES: Sold...................................................... 53 $ 941 175 $ 3,121 Issued as reinvestment of dividends....................... 11 196 48 819 Shares redeemed upon conversion to Investor A shares...... (12) (230) Redeemed.................................................. (381) (6,747) (2,096) (36,392) ---- -------- ------ --------- Net increase/(decrease)................................... (329) $ (5,840) (1,873) $ (32,452) ==== ======== ====== ========= INVESTOR C SHARES: Sold...................................................... 19 $ 340 36 $ 627 Issued as reinvestment of dividends....................... --* 6 1 24 Redeemed.................................................. (21) (377) (77) (1,332) ---- -------- ------ --------- Net increase/(decrease)................................... (2) $ (31) (40) $ (681) ==== ======== ====== ========= Total net increase/(decrease)............................. (578) $(10,334) (7,644) $(130,006) ==== ======== ====== =========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 53 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
VALUE SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- ------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 15,144 $ 148,100 19,199 $177,319 Issued in exchange for Primary A Shares of Nations Classic Value Fund (see Note 13)................................ 26,676 265,429 -- -- Issued in exchange for Primary A Shares of Nations LargeCap Value Fund (see Note 13)....................... 3,974 39,538 -- -- Issued in exchange for net assets of Bank of America Equity Value Fund (see Note 13)......................... -- -- 501 4,521 Issued as reinvestment of dividends....................... 189 1,883 708 7,272 Redeemed.................................................. (12,491) (123,602) (10,015) (93,977) ------- --------- ------- -------- Net increase/(decrease)................................... 33,492 $ 331,348 10,393 $ 95,135 ======= ========= ======= ======== INVESTOR A SHARES: Sold...................................................... 2,753 $ 27,412 790 $ 7,750 Issued in exchange for Investor A Shares of Nations Classic Value Fund (see Note 13)........................ 1,872 18,605 -- -- Issued in exchange for Investor A Shares of Nations LargeCap Value Fund (see Note 13)....................... 6,832 67,909 -- -- Shares issued upon conversion from Investor B shares...... 7 72 909 8,034 Shares issued upon conversion from Investor C Shares...... 12 121 -- -- Issued as reinvestment of dividends....................... 41 405 122 1,260 Redeemed.................................................. (1,364) (13,340) (1,566) (14,806) ------- --------- ------- -------- Net increase/(decrease)................................... 10,153 $ 101,184 255 $ 2,238 ======= ========= ======= ======== INVESTOR B SHARES: Sold...................................................... 258 $ 2,461 311 $ 3,028 Issued in exchange for Investor B Shares of Nations Classic Value Fund (see Note 13)........................ 3,553 34,388 -- -- Issued in exchange for Investor B Shares of Nations LargeCap Value Fund (see Note 13)....................... 202 1,956 -- -- Issued as reinvestment of dividends....................... 7 65 129 1,367 Shares redeemed upon conversion to Investor A shares...... (7) (72) (932) (8,034) Redeemed.................................................. (519) (4,937) (1,851) (17,146) ------- --------- ------- -------- Net increase/(decrease)................................... 3,494 $ 33,861 (2,343) $(20,785) ======= ========= ======= ======== INVESTOR C SHARES: Sold...................................................... 229 $ 2,181 127 $ 1,205 Issued in exchange for Investor C Shares of Nations Classic Value Fund (see Note 13)........................ 5,093 49,253 -- -- Issued in exchange for Investor C Shares of Nations LargeCap Value Fund (see Note 13)....................... 17 167 -- -- Issued as reinvestment of dividends....................... 1 8 12 131 Shares redeemed upon conversion to Investor A shares...... (12) (121) -- -- Redeemed.................................................. (1,454) (14,285) (213) (2,061) ------- --------- ------- -------- Net increase/(decrease)................................... 3,874 $ 37,203 (74) $ (725) ======= ========= ======= ======== Total net increase/(decrease)............................. 51,013 $ 503,596 8,231 $ 75,863 ======= ========= ======= ========
SEE NOTES TO FINANCIAL STATEMENTS. 54 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MIDCAP VALUE SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 7,018 $ 70,804 30,784 $294,623 Issued as reinvestment of dividends....................... 20 212 26 240 Redeemed.................................................. (3,562) (36,573) (5,829) (54,609) ------ -------- ------ -------- Net increase/(decrease)................................... 3,476 $ 34,443 24,981 $240,254 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 203 $ 2,087 471 $ 4,507 Shares issued upon conversion from Investor B shares...... --* --* 1 11 Issued as reinvestment of dividends....................... 1 17 2 17 Redeemed.................................................. (84) (875) (149) (1,387) ------ -------- ------ -------- Net increase/(decrease)................................... 120 $ 1,229 325 $ 3,148 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 57 $ 576 228 $ 2,254 Issued as reinvestment of dividends....................... --* 2 1 5 Shares redeemed upon conversion to Investor A shares...... --* --* (1) (11) Redeemed.................................................. (13) (131) (48) (439) ------ -------- ------ -------- Net increase/(decrease)................................... 44 $ 447 180 $ 1,809 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 8 $ 83 38 $ 376 Issued as reinvestment of dividends....................... --* --* --* 1 Redeemed.................................................. (3) (27) (5) (45) ------ -------- ------ -------- Net increase/(decrease)................................... 5 $ 56 33 $ 332 ====== ======== ====== ======== Total net increase/(decrease)............................. 3,645 $ 36,175 25,519 $245,543 ====== ======== ====== ========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 55 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SMALLCAP VALUE SIX MONTHS ENDED SEPTEMBER 30, 2003 PERIOD ENDED (UNAUDITED) MARCH 31, 2003 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES:+ Sold...................................................... 3,496 $31,916 10,899 $ 94,051 Issued as reinvestment of dividends....................... -- -- 4 39 Redeemed.................................................. (878) (8,175) (1,824) (14,973) ----- ------- ------ -------- Net increase/(decrease)................................... 2,618 $23,741 9,079 $ 79,117 ===== ======= ====== ======== INVESTOR A SHARES:+ Sold...................................................... 89 $ 836 158 $ 1,334 Shares issued upon conversion from Investor B shares...... -- -- 1 7 Issued as reinvestment of dividends....................... -- -- --* 2 Redeemed.................................................. (11) (106) (13) (110) ----- ------- ------ -------- Net increase/(decrease)................................... 78 $ 730 146 $ 1,233 ===== ======= ====== ======== INVESTOR B SHARES:+ Sold...................................................... 58 $ 548 49 $ 410 Issued as reinvestment of dividends....................... -- -- -- -- Shares redeemed upon conversion to Investor A shares...... -- -- (1) (7) Redeemed.................................................. (1) (11) (4) (31) ----- ------- ------ -------- Net increase/(decrease)................................... 57 $ 537 44 $ 372 ===== ======= ====== ======== INVESTOR C SHARES:+ Sold...................................................... 15 $ 141 7 $ 60 Issued as reinvestment of dividends....................... -- -- --* --* Redeemed.................................................. (3) (30) --* (1) ----- ------- ------ -------- Net increase/(decrease)................................... 12 $ 111 7 $ 59 ===== ======= ====== ======== Total net increase/(decrease)............................. 2,765 $25,119 9,276 $ 80,781 ===== ======= ====== ========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. + SmallCap Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on May 1, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 56 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
GROWTH SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 7,341 $ 99,067 6,469 $ 79,443 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (2,431) (34,146) (1,533) (19,386) ------ -------- ------ -------- Net increase/(decrease)................................... 4,910 $ 64,921 4,936 $ 60,057 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 10,253 $139,031 16,562 $213,974 Shares issued upon conversion from Investor B shares...... 3 42 167 2,166 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (3,640) (49,106) (7,941) (99,836) ------ -------- ------ -------- Net increase/(decrease)................................... 6,616 $ 89,967 8,788 $116,304 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 952 $ 12,282 1,346 $ 16,576 Issued as reinvestment of dividends....................... -- -- -- -- Shares redeemed upon conversion to Investor A shares...... (3) (42) (173) (2,166) Redeemed.................................................. (856) (11,058) (3,809) (47,127) ------ -------- ------ -------- Net increase/(decrease)................................... 93 $ 1,182 (2,636) $(32,717) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 3,642 $ 47,310 3,301 $ 39,984 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (373) (4,874) (643) (7,865) ------ -------- ------ -------- Net increase/(decrease)................................... 3,269 $ 42,436 2,658 $ 32,119 ====== ======== ====== ======== Total net increase/(decrease)............................. 14,888 $198,506 13,746 $175,763 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 57 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
STRATEGIC GROWTH SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- --------------------- SHARES DOLLARS SHARES DOLLARS ----------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 17,931 $ 176,707 36,386 $ 479,952 Issued in exchange for net assets of: Bank of America Equity Fund (see Note 13)............... -- -- 47,950 429,632 Bank of America Charitable Equity Fund (see Note 13).... -- -- 17,441 156,270 Issued in exchange for Primary A Shares of Nations Blue Chip Fund (see Note 13)................................. -- -- 3,963 44,151 Issued as reinvestment of dividends....................... -- -- 26 235 Redeemed.................................................. (32,832) (326,045) (46,621) (439,345) ------- --------- ------- ---------- Net increase/(decrease)................................... (14,901) $(149,338) 59,145 $ 670,895 ======= ========= ======= ========== INVESTOR A SHARES: Sold...................................................... 3,555 $ 35,265 13,780 $ 182,558 Issued in exchange for Investor A Shares of Nations Blue Chip Fund (see Note 13)................................. -- -- 41,355 459,035 Shares issued upon conversion from Investor B shares...... -- -- 33 308 Issued as reinvestment of dividends....................... -- -- 110 1,018 Redeemed.................................................. (5,139) (51,106) (33,045) (301,025) ------- --------- ------- ---------- Net increase/(decrease)................................... (1,584) $ (15,841) 22,233 $ 341,894 ======= ========= ======= ========== INVESTOR B SHARES: Sold...................................................... 99 $ 971 253 $ 10,151 Issued in exchange for Investor B Shares of Nations Blue Chip Fund (see Note 13)................................. -- -- 5,502 59,864 Issued as reinvestment of dividends....................... -- -- 2 17 Shares redeemed upon conversion to Investor A shares...... -- -- (33) (308) Redeemed.................................................. (331) (3,197) (1,850) (17,093) ------- --------- ------- ---------- Net increase/(decrease)................................... (232) $ (2,226) 3,874 $ 52,631 ======= ========= ======= ========== INVESTOR C SHARES: Sold...................................................... 217 $ 2,087 1,493 $ 18,072 Issued in exchange for Investor C Shares of Nations Blue Chip Fund (see Note 13)................................. -- -- 309 3,360 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (190) (1,830) (515) (4,819) ------- --------- ------- ---------- Net increase/(decrease)................................... 27 $ 257 1,287 $ 16,613 ======= ========= ======= ========== Total net increase/(decrease)............................. (16,690) $(167,148) 86,539 $1,082,033 ======= ========= ======= ==========
SEE NOTES TO FINANCIAL STATEMENTS. 58 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
CAPITAL GROWTH SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,176 $ 7,347 5,436 $ 32,609 Issued in exchange for net assets of Bank of America Equity Growth Fund (see Note 13)........................ -- -- 1,400 7,660 Issued in exchange for Primary A Shares of Nations Aggressive Growth Fund (see Note 13).................... -- -- 1,184 8,150 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (9,607) (61,532) (18,640) (109,864) ------ -------- ------- --------- Net increase/(decrease)................................... (8,431) $(54,185) (10,620) $ (61,445) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 837 $ 5,201 1,900 $ 11,614 Issued in exchange for Investor A Shares of Nations Aggressive Growth Fund (see Note 13).................... -- -- 1,762 11,877 Shares issued upon conversion from Investor B shares...... 1 6 874 5,084 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (1,166) (7,211) (3,058) (18,297) ------ -------- ------- --------- Net increase/(decrease)................................... (328) $ (2,004) 1,478 $ 10,278 ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 109 $ 604 272 $ 1,584 Issued in exchange for Investor B Shares of Nations Aggressive Growth Fund (see Note 13).................... -- -- 1,483 9,111 Issued as reinvestment of dividends....................... -- -- -- -- Shares redeemed upon conversion to Investor A shares...... (1) (6) (960) (5,084) Redeemed.................................................. (386) (2,162) (1,955) (10,591) ------ -------- ------- --------- Net increase/(decrease)................................... (278) $ (1,564) (1,160) $ (4,980) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 33 $ 187 103 $ 586 Issued in exchange for Investor C Shares of Nations Aggressive Growth Fund (see Note 13).................... -- -- 64 396 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (117) (676) (251) (1,350) ------ -------- ------- --------- Net increase/(decrease)................................... (84) $ (489) (84) $ (368) ====== ======== ======= ========= Total net increase/(decrease)............................. (9,121) $(58,242) (10,386) $ (56,515) ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 59 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
FOCUSED EQUITIES SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 11,437 $ 169,103 15,666 $ 210,049 Redeemed.................................................. (3,375) (49,875) (7,463) (99,670) ------- --------- ------- --------- Net increase/(decrease)................................... 8,062 $ 119,228 8,203 $ 110,379 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 19,462 $ 286,386 24,366 $ 334,389 Shares issued upon conversion from Investor B shares...... 40 610 285 3,978 Shares issued upon conversion from Investor C shares...... 4 57 -- -- Redeemed.................................................. (12,267) (180,106) (14,475) (196,344) ------- --------- ------- --------- Net increase/(decrease)................................... 7,239 $ 106,947 10,176 $ 142,023 ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 2,250 $ 31,533 3,627 $ 49,131 Shares redeemed upon conversion to Investor A shares...... (40) (610) (294) (3,978) Redeemed.................................................. (2,413) (33,707) (9,958) (131,893) ------- --------- ------- --------- Net increase/(decrease)................................... (203) $ (2,784) (6,625) $ (86,740) ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 4,393 $ 62,291 5,064 $ 67,084 Shares redeemed upon conversion to Investor A shares...... (4) (57) -- -- Redeemed.................................................. (1,023) (14,498) (3,103) (41,526) ------- --------- ------- --------- Net increase/(decrease)................................... 3,366 $ 47,736 1,961 $ 25,558 ======= ========= ======= ========= Total net increase/(decrease)............................. 18,464 $ 271,127 13,715 $ 191,220 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 60 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MIDCAP GROWTH SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 4,379 $ 43,676 19,336 $ 185,307 Issued in exchange for net assets of Bank of America Equity Midcap Fund (see Note 13)........................ -- -- 15,827 139,116 Redeemed.................................................. (7,214) (71,454) (30,050) (279,180) ------ -------- ------- --------- Net increase/(decrease)................................... (2,835) $(27,778) 5,113 $ 45,243 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 816 $ 8,012 6,533 $ 63,914 Shares issued upon conversion from Investor B shares...... 1 9 380 3,258 Redeemed.................................................. (886) (8,583) (7,261) (67,696) ------ -------- ------- --------- Net increase/(decrease)................................... (69) $ (562) (348) $ (524) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 142 $ 1,219 528 $ 4,989 Shares redeemed upon conversion to Investor A shares...... (1) (9) (422) (3,258) Redeemed.................................................. (238) (2,042) (1,103) (9,042) ------ -------- ------- --------- Net increase/(decrease)................................... (97) $ (832) (997) $ (7,311) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 18 $ 155 96 $ 866 Redeemed.................................................. (58) (501) (130) (1,044) ------ -------- ------- --------- Net increase/(decrease)................................... (40) $ (346) (34) $ (178) ====== ======== ======= ========= Total net increase/(decrease)............................. (3,041) $(29,518) 3,734 $ 37,230 ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 61 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
21ST CENTURY SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,151 $ 8,938 338 $ 2,250 Redeemed.................................................. (69) (552) (242) (1,662) ----- ------- ------ -------- Net increase/(decrease)................................... 1,082 $ 8,386 96 $ 588 ===== ======= ====== ======== INVESTOR A SHARES: Sold...................................................... 2,649 $20,971 539 $ 3,557 Shares issued upon conversion from Investor B shares...... -- -- 33 220 Redeemed.................................................. (239) (1,863) (906) (5,789) ----- ------- ------ -------- Net increase/(decrease)................................... 2,410 $19,108 (334) $ (2,012) ===== ======= ====== ======== INVESTOR B SHARES: Sold...................................................... 414 $ 3,174 347 $ 2,223 Shares redeemed upon conversion to Investor A shares...... -- -- (34) (220) Redeemed.................................................. (319) (2,352) (1,634) (10,458) ----- ------- ------ -------- Net increase/(decrease)................................... 95 $ 822 (1,321) $ (8,455) ===== ======= ====== ======== INVESTOR C SHARES: Sold...................................................... 354 $ 2,758 120 $ 763 Redeemed.................................................. (39) (286) (208) (1,368) ----- ------- ------ -------- Net increase/(decrease)................................... 315 $ 2,472 (88) $ (605) ===== ======= ====== ======== Total net increase/(decrease)............................. 3,902 $30,788 (1,647) $(10,484) ===== ======= ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 62 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SMALL COMPANY SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 8,980 $ 105,082 83,950 $ 977,579 Issued in exchange for net assets of Bank of America SmallCap Equity Fund (see Note 13)...................... -- -- 2,522 27,839 Redeemed.................................................. (11,407) (135,947) (84,033) (983,775) ------- --------- ------- --------- Net increase/(decrease)................................... (2,427) $ (30,865) 2,439 $ 21,643 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 3,107 $ 37,416 8,542 $ 94,375 Shares issued upon conversion from Investor B shares...... --* 3 17 182 Redeemed.................................................. (2,467) (29,933) (6,278) (70,693) ------- --------- ------- --------- Net increase/(decrease)................................... 640 $ 7,486 2,281 $ 23,864 ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 197 $ 2,257 514 $ 6,156 Shares redeemed upon conversion to Investor A shares...... --* (3) (18) (182) Redeemed.................................................. (106) (1,222) (399) (4,248) ------- --------- ------- --------- Net increase/(decrease)................................... 91 $ 1,032 97 $ 1,726 ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 73 $ 862 191 $ 2,254 Redeemed.................................................. (52) (592) (81) (893) ------- --------- ------- --------- Net increase/(decrease)................................... 21 $ 270 110 $ 1,361 ======= ========= ======= ========= Total net increase/(decrease)............................. (1,675) $ (22,077) 4,927 $ 48,594 ======= ========= ======= =========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 63 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- CONVERTIBLE SECURITIES PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $13.77 $0.25 $ 1.54 $ 1.79 $(0.23) Year ended 3/31/2003#..................... 16.03 0.51 (2.27) (1.76) (0.50) Year ended 3/31/2002#..................... 16.05 0.59 -- 0.59 (0.56) Year ended 3/31/2001...................... 22.18 0.51 (2.00) (1.49) (0.60) Period ended 3/31/2000**#................. 18.15 0.42 5.52 5.94 (0.50) INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)... $13.77 $0.23 $ 1.56 $ 1.79 $(0.22) Year ended 3/31/2003#..................... 16.02 0.47 (2.25) (1.78) (0.47) Year ended 3/31/2002#..................... 16.04 0.59 (0.04) 0.55 (0.52) Year ended 3/31/2001...................... 22.17 0.51 (2.05) (1.54) (0.55) Period ended 3/31/2000#................... 18.31 0.46 5.26 5.72 (0.45) Period ended 5/14/1999.................... 17.34 0.12 0.96 1.08 (0.11) Year ended 2/28/1999...................... 17.28 0.51 0.25 0.76 (0.52) INVESTOR B SHARES* Six months ended 9/30/2003# (unaudited)... $13.64 $0.17 $ 1.53 $ 1.70 $(0.16) Year ended 3/31/2003#..................... 15.88 0.36 (2.24) (1.88) (0.36) Year ended 3/31/2002#..................... 15.92 0.45 (0.03) 0.42 (0.41) Year ended 3/31/2001...................... 22.06 0.35 (2.00) (1.65) (0.45) Period ended 3/31/2000#................... 18.27 0.44 5.12 5.56 (0.36) Period ended 5/14/1999.................... 17.30 0.09 0.96 1.05 (0.27) Period ended 2/28/1999**.................. 17.67 0.22 (0.17) 0.05 (0.24) INVESTOR C SHARES* Six months ended 9/30/2003# (unaudited)... $13.77 $0.17 $ 1.56 $ 1.73 $(0.17) Year ended 3/31/2003#..................... 16.04 0.36 (2.26) (1.90) (0.37) Year ended 3/31/2002#..................... 16.08 0.45 (0.03) 0.42 (0.41) Year ended 3/31/2001...................... 22.23 0.35 (2.02) (1.67) (0.44) Period ended 3/31/2000#................... 18.35 0.38 5.22 5.60 (0.31) Period ended 5/14/1999.................... 17.37 0.10 0.97 1.07 (0.09) Year ended 2/28/1999...................... 17.24 0.40 0.31 0.71 (0.40) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- CONVERTIBLE SECURITIES PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... (0.05) Year ended 3/31/2001...................... (4.04) Period ended 3/31/2000**#................. (1.41) INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... (0.05) Year ended 3/31/2001...................... (4.04) Period ended 3/31/2000#................... (1.41) Period ended 5/14/1999.................... -- Year ended 2/28/1999...................... (0.18) INVESTOR B SHARES* Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... (0.05) Year ended 3/31/2001...................... (4.04) Period ended 3/31/2000#................... (1.41) Period ended 5/14/1999.................... -- Period ended 2/28/1999**.................. (0.18) INVESTOR C SHARES* Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... (0.05) Year ended 3/31/2001...................... (4.04) Period ended 3/31/2000#................... (1.41) Period ended 5/14/1999.................... -- Year ended 2/28/1999...................... (0.18)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * The financial information for the fiscal periods through May 14, 1999 reflect the financial information for the Pacific Horizon Capital Income Fund A, B and K Shares, which were reorganized into the Convertible Securities Investor A, Investor B and Investor C Shares, respectively, as of May 21, 1999. Prior to May 21, 1999, the Fund's investment adviser was Bank of America National Trust and Savings Association. Effective May 21, 1999, its investment adviser became Banc of America Advisors, LLC. and its investment sub-adviser became Banc of America Capital Management, LLC. **Convertible Securities Primary A, and Investor B Shares commenced operations on May 21, 1999 and July 15, 1998, respectively. # Per share net investment income/(loss) has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (see 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%. (c)The Reimbursement from Investment Adviser (see note 15) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. Absent this reimbursement, the ratios of operating expenses to average net assets would have been 0.95% for Primary A Shares, 1.20% for Investor A Shares and 1.95% each for Investor B and C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 64 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------------- $(0.23) $15.33 13.05% $795,692 0.94%+(a)(b)(c) 3.32%+ 46% 0.95%+(a) (0.50) 13.77 (11.01) 523,271 0.97(a)(b) 3.59 57 0.97(a) (0.61) 16.03 3.74 236,202 1.00(a)(b) 3.78 50 1.00(a) (4.64) 16.05 (7.59) 75,627 0.99(a)(b) 3.08 73 1.00(a) (1.91) 22.18 35.21 13,688 0.97+(b) 2.21+ 65 0.98+ $(0.22) $15.34 12.99% $356,003 1.19%+(a)(b)(c) 3.07%+ 46% 1.20%+(a) (0.47) 13.77 (11.18) 292,622 1.22(a)(b) 3.34 57 1.22(a) (0.57) 16.02 3.48 321,858 1.25(a)(b) 3.53 50 1.25(a) (4.59) 16.04 (7.88) 315,857 1.24(a)(b) 2.86 73 1.25(a) (1.86) 22.17 33.68 369,488 1.22+(b) 1.96+ 65 1.23+ (0.11) 18.31 6.25 352,000 1.30+ 3.07+ 16 1.32+ (0.70) 17.34 4.64 356,000 1.15(a) 2.97 66 1.16(a) $(0.16) $15.18 12.49% $138,345 1.94%+(a)(b)(c) 2.32%+ 46% 1.95%+(a) (0.36) 13.64 (11.83) 111,468 1.97(a)(b) 2.59 57 1.97(a) (0.46) 15.88 2.68 90,408 2.00(a)(b) 2.78 50 2.00(a) (4.49) 15.92 (8.49) 49,763 1.99(a)(b) 2.08 73 2.00(a) (1.77) 22.06 32.76 11,175 1.97+(b) 1.21+ 65 1.98+ (0.08) 18.27 6.10 4,000 2.06+ 2.34+ 16 2.08+ (0.42) 17.30 0.44 3,000 1.96+(a) 2.14+ 66 1.97(a)+ $(0.17) $15.33 12.56% $ 54,754 1.94%+(a)(b)(c) 2.32%+ 46% 1.95%+(a) (0.37) 13.77 (11.89) 30,293 1.97(a)(b) 2.59 57 1.97(a) (0.46) 16.04 2.66 20,370 2.00(a)(b) 2.78 50 2.00(a) (4.48) 16.08 (8.50) 9,827 1.99(a)(b) 2.08 73 2.00(a) (1.72) 22.23 32.81 3,033 1.97+(b) 1.21+ 65 1.98+ (0.09) 18.35 6.17 4,000 1.80+ 2.56+ 16 2.07+ (0.58) 17.37 4.29 4,000 1.65(a) 2.45 66 1.91(a)
SEE NOTES TO FINANCIAL STATEMENTS. 65 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- ASSET ALLOCATION PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $16.42 $0.14 $ 1.98 $ 2.12 $(0.14) Year ended 3/31/2003#..................... 19.93 0.32 (3.49) (3.17) (0.34) Year ended 3/31/2002#..................... 20.32 0.44 (0.39) 0.05 (0.41) Year ended 3/31/2001#..................... 24.35 0.57 (2.84) (2.27) (0.55) Period ended 3/31/2000***#................ 23.06 0.49 1.93 2.42 (0.41) INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)... $16.44 $0.12 $ 1.99 $ 2.11 $(0.12) Year ended 3/31/2003#..................... 19.92 0.29 (3.48) (3.19) (0.29) Year ended 3/31/2002#..................... 20.32 0.39 (0.40) (0.01) (0.36) Year ended 3/31/2001#..................... 24.35 0.50 (2.82) (2.32) (0.50) Period ended 3/31/2000#................... 23.40 0.43 1.59 2.02 (0.35) Period ended 5/14/1999.................... 22.50 0.10 0.91 1.01 (0.11) Year ended 2/28/1999...................... 21.41 0.55 2.48 3.03 (0.45) INVESTOR B SHARES* Six months ended 9/30/2003# (unaudited)... $16.31 $0.05 $ 1.97 $ 2.02 $(0.05) Year ended 3/31/2003#..................... 19.81 0.15 (3.47) (3.32) (0.18) Year ended 3/31/2002#..................... 20.22 0.23 (0.39) (0.16) (0.22) Year ended 3/31/2001#..................... 24.24 0.33 (2.81) (2.48) (0.33) Period ended 3/31/2000#................... 23.32 0.47 1.39 1.86 (0.22) Period ended 5/14/1999.................... 22.45 0.06 0.89 0.95 (0.08) Period ended 2/28/1999***................. 23.17 0.22 0.75 0.97 (0.20) INVESTOR C SHARES* Six months ended 9/30/2003# (unaudited)... $16.31 $0.05 $ 1.98 $ 2.03 $(0.06) Year ended 3/31/2003#..................... 19.84 0.15 (3.48) (3.33) (0.20) Year ended 3/31/2002#..................... 20.22 0.24 (0.38) (0.14) (0.21) Year ended 3/31/2001#..................... 24.27 0.33 (2.82) (2.49) (0.33) Period ended 3/31/2000#................... 23.33 0.42 1.43 1.85 (0.19) Period ended 5/14/1999.................... 22.45 0.05 0.92 0.97 (0.09) Year ended 2/28/1999...................... 21.36 0.44 2.49 2.93 (0.35) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- ASSET ALLOCATION PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... (0.03) Year ended 3/31/2001#..................... (1.21) Period ended 3/31/2000***#................ (0.72) INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... (0.03) Year ended 3/31/2001#..................... (1.21) Period ended 3/31/2000#................... (0.72) Period ended 5/14/1999.................... -- Year ended 2/28/1999...................... (1.49) INVESTOR B SHARES* Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... (0.03) Year ended 3/31/2001#..................... (1.21) Period ended 3/31/2000#................... (0.72) Period ended 5/14/1999.................... -- Period ended 2/28/1999***................. (1.49) INVESTOR C SHARES* Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... (0.03) Year ended 3/31/2001#..................... (1.21) Period ended 3/31/2000#................... (0.72) Period ended 5/14/1999.................... -- Year ended 2/28/1999...................... (1.49)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * The financial information for the fiscal periods through May 14, 1999 reflect the financial information for the Pacific Horizon Asset Allocation Fund A, B, and K Shares, which were reorganized into the Asset Allocation Investor A, Investor B, and Investor C Shares, respectively, as of May 21, 1999. Prior to May 21, 1999, the Fund's investment adviser was Bank of America National Trust and Savings Association. Effective May 21, 1999, its investment adviser became Banc of America Advisors, LLC. and its investment sub-adviser became Banc of America Capital Management, LLC. ***Asset Allocation Primary A, Investor B, and Investor C Shares commenced operations on May 21, 1999, July 15, 1998, and November 11, 1996, respectively. # Per share net investment income/(loss) has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (see 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. 66 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------------- $(0.14) $18.40 12.94% $ 39,755 1.08%+(a) 1.60%+ 110% 1.08%+(a) (0.34) 16.42 (15.96) 35,514 1.04(a)(b) 1.85 315 1.04(a) (0.44) 19.93 0.26 40,287 1.03(a) 2.10 226 1.03(a) (1.76) 20.32 (9.83) 12,847 0.98(a)(b) 2.45 88 1.00(a) (1.13) 24.35 10.88 15,532 0.95+(a)(b) 1.85+ 84 1.02+(a) $(0.12) $18.43 12.85% $ 94,109 1.33%+(a) 1.35%+ 110% 1.33%+(a) (0.29) 16.44 (16.05) 88,011 1.29(a)(b) 1.60 315 1.29(a) (0.39) 19.92 (0.05) 223,579 1.28(a) 1.85 226 1.28(a) (1.71) 20.32 (10.05) 231,520 1.23(a)(b) 2.20 88 1.25(a) (1.07) 24.35 8.99 83,412 1.20+(a)(b) 1.60+ 84 1.27+(a) (0.11) 23.40 4.50 72,000 1.18+ 2.01+ 20 1.20+ (1.94) 22.50 14.72 72,000 0.94 2.64 114 0.94 $(0.05) $18.28 12.41% $ 75,049 2.08%+(a) 0.60%+ 110% 2.08%+(a) (0.18) 16.31 (16.80) 72,344 2.04(a)(b) 0.85 315 2.04(a) (0.25) 19.81 (0.77) 124,983 2.03(a) 1.10 226 2.03(a) (1.54) 20.22 (10.73) 104,745 1.98(a)(b) 1.45 88 2.00(a) (0.94) 24.24 8.31 121,644 1.95+(a)(b) 0.85+ 84 2.02+(a) (0.08) 23.32 4.26 10,000 1.95+ 1.26+ 20 1.97+ (1.69) 22.45 4.59 6,000 1.74+ 1.92+ 114 1.74 $(0.06) $18.28 12.42% $ 2,203 2.08%+(a) 0.60%+ 110% 2.08%+(a) (0.20) 16.31 (16.80) 1,992 2.04(a)(b) 0.85 315 2.04(a) (0.24) 19.84 (0.78) 3,220 2.03(a) 1.10 226 2.03(a) (1.54) 20.24 (10.74) 2,532 1.98(a)(b) 1.45 88 2.00(a) (0.91) 24.27 8.24 2,305 1.95+(a)(b) 0.85+ 84 2.02+(a) (0.09) 23.33 4.31 2,000 1.67+ 1.52+ 20 1.96+ (1.84) 22.45 14.23 2,000 1.44 2.14 114 1.69
SEE NOTES TO FINANCIAL STATEMENTS. 67 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- VALUE PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ 8.48 $ 0.07 $ 1.60 $ 1.67 $(0.07) Year ended 3/31/2003#..................... 11.96 0.14 (3.31) (3.17) (0.13) Year ended 3/31/2002#..................... 12.39 0.12 0.58 0.70 (0.10) Year ended 3/31/2001...................... 16.24 0.17 (0.42) (0.25) (0.18) Year ended 3/31/2000#..................... 18.16 0.11 (0.06) 0.05 (0.11) Year ended 3/31/1999#..................... 19.92 0.13 0.64 0.77 (0.14) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ 8.46 $ 0.06 $ 1.60 $ 1.66 $(0.05) Year ended 3/31/2003#..................... 11.94 0.11 (3.31) (3.20) (0.10) Year ended 3/31/2002#..................... 12.38 0.09 0.58 0.67 (0.08) Year ended 3/31/2001...................... 16.24 0.14 (0.43) (0.29) (0.15) Year ended 3/31/2000#..................... 18.16 0.07 (0.07) 0.00 (0.06) Year ended 3/31/1999#..................... 19.92 0.09 0.63 0.72 (0.09) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ 8.25 $ 0.02 $ 1.56 $ 1.58 $(0.02) Year ended 3/31/2003#..................... 11.66 0.03 (3.22) (3.19) (0.04) Year ended 3/31/2002#..................... 12.13 0.00## 0.59 0.59 (0.03) Year ended 3/31/2001...................... 16.00 0.04 (0.43) (0.39) (0.06) Year ended 3/31/2000#..................... 18.00 (0.06) (0.08) (0.14) (0.00)## Year ended 3/31/1999#..................... 19.81 (0.05) 0.63 0.58 -- INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ 8.24 $ 0.03 $ 1.54 $ 1.57 $(0.02) Year ended 3/31/2003#..................... 11.65 0.04 (3.22) (3.18) (0.05) Year ended 3/31/2002#..................... 12.13 0.00## 0.58 0.58 (0.03) Year ended 3/31/2001...................... 15.99 0.04 (0.42) (0.38) (0.06) Year ended 3/31/2000#..................... 17.98 (0.06) (0.07) (0.13) (0.00)## Year ended 3/31/1999#..................... 19.75 (0.02) 0.65 0.63 (0.01) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- VALUE PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.18) Year ended 3/31/2002#..................... (1.03) Year ended 3/31/2001...................... (3.42) Year ended 3/31/2000#..................... (1.86) Year ended 3/31/1999#..................... (2.39) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.18) Year ended 3/31/2002#..................... (1.03) Year ended 3/31/2001...................... (3.42) Year ended 3/31/2000#..................... (1.86) Year ended 3/31/1999#..................... (2.39) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.18) Year ended 3/31/2002#..................... (1.03) Year ended 3/31/2001...................... (3.42) Year ended 3/31/2000#..................... (1.86) Year ended 3/31/1999#..................... (2.39) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.18) Year ended 3/31/2002#..................... (1.03) Year ended 3/31/2001...................... (3.42) Year ended 3/31/2000#..................... (1.86) Year ended 3/31/1999#..................... (2.39)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (see 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%. (c)The Reimbursement from Investment Adviser (see note 15) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 68 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------------- $(0.07) $10.08 19.66% $ 874,769 0.95%+(a)(b)(c) 1.43%+ 60% 0.95%+(a) (0.31) 8.48 (26.95) 451,815 0.97(a) 1.43 75 0.97(a) (1.13) 11.96 5.64 513,206 0.95(a)(b) 1.02 135 0.95(a) (3.60) 12.39 (1.97) 844,432 0.94(a)(b) 1.28 181 0.94(a) (1.97) 16.24 (0.16) 1,290,572 0.93(a)(b) 0.65 95 0.93(a) (2.53) 18.16 4.15 1,939,704 0.94(a)(b) 0.76 38 0.94(a) $(0.05) $10.07 19.68% $ 153,804 1.20%+(a)(b)(c) 1.18%+ 60% 1.20%+(a) (0.28) 8.46 (27.17) 43,364 1.22(a) 1.18 75 1.22(a) (1.11) 11.94 5.33 58,144 1.20(a)(b) 0.77 135 1.20(a) (3.57) 12.38 (2.29) 65,975 1.19(a)(b) 1.03 181 1.19(a) (1.92) 16.24 (0.47) 94,256 1.18(a)(b) 0.40 95 1.18(a) (2.48) 18.16 3.96 136,691 1.19(a)(b) 0.51 38 1.19(a) $(0.02) $ 9.81 19.11% $ 78,716 1.95%+(a)(b)(c) 0.43%+ 60% 1.95%+(a) (0.22) 8.25 (27.72) 37,399 1.97(a) 0.43 75 1.97(a) (1.06) 11.66 4.66 80,162 1.95(a)(b) 0.02 135 1.95(a) (3.48) 12.13 (3.05) 93,064 1.94(a)(b) 0.28 181 1.94(a) (1.86) 16.00 (1.24) 124,000 1.93(a)(b) (0.35) 95 1.93(a) (2.39) 18.00 3.11 154,025 1.94(a)(b) (0.24) 38 1.94(a) $(0.02) $ 9.79 19.01% $ 43,521 1.95%+(a)(b)(c) 0.43%+ 60% 1.95%+(a) (0.23) 8.24 (27.72) 4,694 1.97(a) 0.43 75 1.97(a) (1.06) 11.65 4.58 7,496 1.95(a)(b) 0.02 135 1.95(a) (3.48) 12.13 (2.98) 8,479 1.94(a)(b) 0.28 181 1.94(a) (1.86) 15.99 (1.18) 10,042 1.93(a)(b) (0.32) 95 1.93(a) (2.40) 17.98 3.39 12,106 1.70(a)(b) 0.00 38 1.94(a)
SEE NOTES TO FINANCIAL STATEMENTS. 69 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- MIDCAP VALUE PRIMARY A SHARES* Six months ended 9/30/2003# (unaudited)... $ 8.72 $ 0.06 $ 1.99 $ 2.05 $(0.05) Year ended 3/31/2003#..................... 11.32 0.10 (2.61) (2.51) (0.07) Period ended 3/31/2002#................... 10.00 0.06 1.30 1.36 (0.04) INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)... $ 8.71 $ 0.04 $ 2.00 $ 2.04 $(0.04) Year ended 3/31/2003#..................... 11.30 0.08 (2.60) (2.52) (0.05) Period ended 3/31/2002#................... 10.00 0.04 1.30 1.34 (0.04) INVESTOR B SHARES* Six months ended 9/30/2003# (unaudited)... $ 8.67 $ 0.01 $ 1.98 $ 1.99 $(0.01) Year ended 3/31/2003#..................... 11.29 0.01 (2.59) (2.58) (0.02) Period ended 3/31/2002#................... 10.00 (0.04) 1.35 1.31 (0.02) INVESTOR C SHARES* Six months ended 9/30/2003# (unaudited)... $ 8.69 $ 0.01 $ 1.98 $ 1.99 $(0.01) Year ended 3/31/2003#..................... 11.31 0.01 (2.59) (2.58) (0.02) Period ended 3/31/2002#................... 10.00 (0.05) 1.36 1.31 (0.00)## DISTRIBUTIONS FROM NET REALIZED GAINS ------------- MIDCAP VALUE PRIMARY A SHARES* Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.02) Period ended 3/31/2002#................... -- INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.02) Period ended 3/31/2002#................... -- INVESTOR B SHARES* Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.02) Period ended 3/31/2002#................... -- INVESTOR C SHARES* Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.02) Period ended 3/31/2002#................... --
- --------------- * MidCap Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on November 20, 2001. + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (see 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. 70 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------------- $(0.05) $10.72 23.57% $398,706 1.07%+(a) 1.09%+ 52% 1.07%+(a) (0.09) 8.72 (22.27) 294,087 1.16(a) 1.11 98 1.16(a) (0.04) 11.32 13.63 98,888 1.25+(a) 0.64+ 19 2.03+(a) $(0.04) $10.71 23.47% $ 5,308 1.32%+(a) 0.84%+ 52% 1.32%+(a) (0.07) 8.71 (22.36) 3,270 1.41(a) 0.86 98 1.41(a) (0.04) 11.30 13.37 573 1.50+(a) 0.39+ 19 2.28+(a) $(0.01) $10.65 22.92% $ 2,879 2.07%+(a) 0.09%+ 52% 2.07%+(a) (0.04) 8.67 (22.93) 1,961 2.16(a) 0.11 98 2.16(a) (0.02) 11.29 13.14 524 2.25+(a) (0.36)+ 19 3.03+(a) $(0.01) $10.67 22.86% $ 501 2.07%+(a) 0.09%+ 52% 2.07%+(a) (0.04) 8.69 (22.89) 362 2.16(a) 0.11 98 2.16(a) (0.00)## 11.31 13.10 93 2.25+(a) (0.36)+ 19 3.03+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 71 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- SMALLCAP VALUE PRIMARY A SHARES* Six months ended 9/30/2003# (unaudited)... $ 7.73 $ 0.01 $ 2.21 $ 2.22 $ -- Period ended 3/31/2003#................... 10.00 0.03 (2.28) (2.25) (0.02) INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)... $ 7.71 $(0.01) $ 2.22 $ 2.21 $ -- Period ended 3/31/2003#................... 10.00 0.01 (2.28) (2.27) (0.02) INVESTOR B SHARES* Six months ended 9/30/2003# (unaudited)... $ 7.68 $(0.04) $ 2.20 $ 2.16 $ -- Period ended 3/31/2003#................... 10.00 (0.04) (2.28) (2.32) (0.00)## INVESTOR C SHARES* Six months ended 9/30/2003# (unaudited)... $ 7.67 $(0.04) $ 2.20 $ 2.16 $ -- Period ended 3/31/2003#................... 10.00 (0.04) (2.29) (2.33) (0.00)##
- --------------- * SmallCap Value Primary A, Investor A, Investor B and Investor C Shares commenced operations on May 1, 2002. + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (see 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. 72 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------- $9.95 28.72% $116,423 1.30%+(a) 0.13%+ 63% 1.38%+(a) 7.73 (22.50) 70,168 1.30+(a) 0.45+ 89 1.57+(a) $9.92 28.66% $ 2,221 1.55%+(a) (0.12)%+ 63% 1.63%+(a) 7.71 (22.75) 1,122 1.55+(a) 0.20+ 89 1.82+(a) $9.84 28.12% $ 995 2.30%+(a) (0.87)%+ 63% 2.38%+(a) 7.68 (23.20) 341 2.30+(a) (0.55)+ 89 2.57+(a) $9.83 28.16% $ 184 2.30%+(a) (0.87)%+ 63% 2.38%+(a) 7.67 (23.29) 56 2.30+(a) (0.55)+ 89 2.57+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 73 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS GAINS ---------------------------------------------------------------------------- GROWTH* PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $11.95 $(0.02) $ 2.28 $ 2.26 $ -- Year ended 3/31/2003#..................... 14.79 (0.05) (2.79) (2.84) -- Year ended 3/31/2002#..................... 14.91 (0.06) (0.06) (0.12) -- Year ended 3/31/2001...................... 21.61 (0.01) (6.53) (6.54) (0.16) Year ended 3/31/2000...................... 14.91 (0.07) 6.81 6.74 (0.04) Year ended 3/31/1999#..................... 12.03 0.00## 2.89 2.89 (0.01) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $11.86 $(0.04) $ 2.27 $ 2.23 $ -- Year ended 3/31/2003#..................... 14.72 (0.08) (2.78) (2.86) -- Year ended 3/31/2002#..................... 14.87 (0.09) (0.06) (0.15) -- Year ended 3/31/2001...................... 21.62 (0.05) (6.54) (6.59) (0.16) Year ended 3/31/2000...................... 14.95 (0.11) 6.82 6.71 (0.04) Year ended 3/31/1999#..................... 12.02 (0.03) 2.97 2.94 (0.01) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $11.43 $(0.08) $ 2.17 $ 2.09 $ -- Year ended 3/31/2003#..................... 14.29 (0.17) (2.69) (2.86) -- Year ended 3/31/2002#..................... 14.55 (0.20) (0.06) (0.26) -- Year ended 3/31/2001...................... 21.31 (0.18) (6.42) (6.60) (0.16) Year ended 3/31/2000...................... 14.85 (0.24) 6.74 6.50 (0.04) Year ended 3/31/1999#..................... 12.02 (0.12) 2.96 2.84 (0.01) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $11.44 $(0.08) $ 2.18 $ 2.10 $ -- Year ended 3/31/2003#..................... 14.31 (0.17) (2.70) (2.87) -- Year ended 3/31/2002#..................... 14.57 (0.20) (0.06) (0.26) -- Year ended 3/31/2001...................... 21.34 (0.17) (6.44) (6.61) (0.16) Year ended 3/31/2000...................... 14.86 (0.25) 6.77 6.52 (0.04) Year ended 3/31/1999#..................... 12.02 (0.12) 2.97 2.85 (0.01)
- --------------- * The per share amounts and percentages reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of Growth Master Portfolio. + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. ### Amount represents results prior to conversion to a master-feeder structure. (a)The effect of the custodial expense offset (see 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. 74 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------- $14.21 18.91% $196,321 1.12%+ (0.28)%+ -- 1.12%+ 11.95 (19.20) 106,436 1.17 (0.37) -- 1.17 14.79 (0.80) 58,752 1.14 (0.39) -- 1.14 14.91 (30.42) 80,526 1.10 (0.03) -- 1.10 21.61 45.33 113,028 1.23(a) (0.37) 55%### 1.23(a) 14.91 24.05 52,229 1.25(a) 0.05 150 1.25(a) $14.09 18.80% $425,544 1.37%+ (0.53)%+ -- 1.37%+ 11.86 (19.43) 279,840 1.42 (0.62) -- 1.42 14.72 (1.01) 217,963 1.39 (0.64) -- 1.39 14.87 (30.63) 164,031 1.35 (0.28) -- 1.35 21.62 45.01 175,859 1.48(a) (0.62) 55%### 1.48(a) 14.95 24.38 43,392 1.50(a) (0.20) 150 1.50(a) $13.52 18.29% $163,861 2.12%+ (1.28)%+ -- 2.12%+ 11.43 (20.01) 137,432 2.17 (1.37) -- 2.17 14.29 (1.79) 209,503 2.14 (1.39) -- 2.14 14.55 (31.13) 239,621 2.10 (1.03) -- 2.10 21.31 43.90 305,607 2.23(a) (1.37) 55%### 2.23(a) 14.85 23.55 99,257 2.25(a) (0.95) 150 2.25(a) $13.54 18.36% $110,425 2.12%+ (1.28)%+ -- 2.12%+ 11.44 (20.06) 55,913 2.17 (1.37) -- 2.17 14.31 (1.78) 31,886 2.14 (1.39) -- 2.14 14.57 (31.10) 32,365 2.10 (1.03) -- 2.10 21.34 43.93 34,785 2.23(a) (1.37) 55%### 2.23(a) 14.86 23.63 3,233 2.25(a) (0.95) 150 2.25(a)
SEE NOTES TO FINANCIAL STATEMENTS. 75 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- STRATEGIC GROWTH*** PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ 8.78 $ 0.02 $ 1.50 $ 1.52 $ -- Year ended 3/31/2003#..................... 12.35 0.07 (3.59) (3.52) (0.05) Year ended 3/31/2002#..................... 12.47 0.02 (0.12) (0.10) (0.02) Year ended 3/31/2001...................... 17.03 (0.01) (4.51) (4.52) (0.01) Year ended 3/31/2000#..................... 13.86 (0.02) 3.39 3.37 -- Period ended 3/31/1999*#.................. 10.00 0.00## 3.87 3.87 -- INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ 8.76 $ 0.01 $ 1.49 $ 1.50 $ -- Year ended 3/31/2003#..................... 12.31 0.04 (3.56) (3.52) (0.03) Year ended 3/31/2002#..................... 12.44 (0.01) (0.11) (0.12) (0.01) Year ended 3/31/2001...................... 16.98 (0.04) (4.47) (4.51) -- Period ended 3/31/2000**#................. 13.88 (0.03) 3.19 3.16 -- INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ 8.54 $(0.02) $ 1.45 $ 1.43 $ -- Year ended 3/31/2003#..................... 12.07 (0.03) (3.50) (3.53) (0.00)## Year ended 3/31/2002#..................... 12.29 (0.10) (0.12) (0.22) (0.00)## Year ended 3/31/2001...................... 16.90 (0.14) (4.44) (4.58) -- Period ended 3/31/2000**#................. 13.88 (0.10) 3.18 3.08 -- INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ 8.54 $(0.02) $ 1.45 $ 1.43 $ -- Year ended 3/31/2003#..................... 12.08 (0.03) (3.51) (3.54) -- Year ended 3/31/2002#..................... 12.30 (0.10) (0.12) (0.22) (0.00)## Year ended 3/31/2001...................... 16.92 (0.14) (4.45) (4.59) -- Period ended 3/31/2000**#................. 13.88 (0.10) 3.20 3.10 -- DISTRIBUTIONS FROM NET REALIZED GAINS ------------- STRATEGIC GROWTH*** PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (0.03) Year ended 3/31/2000#..................... (0.20) Period ended 3/31/1999*#.................. (0.01) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (0.03) Period ended 3/31/2000**#................. (0.06) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (0.03) Period ended 3/31/2000**#................. (0.06) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... (0.03) Period ended 3/31/2000**#................. (0.06)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * Strategic Growth Primary A Shares commenced operations on October 2, 1998. ** Strategic Growth Investor A, Investor B and Investor C Shares commenced operations on August 2, 1999. ***The per share amounts and percentages reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of Strategic Growth Master Portfolio. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. ### Amount represents results prior to conversion to a master-feeder structure on May 13, 2002. (a)The effect of the custodial expense offset (see 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%. (c)The Reimbursement from Investment Adviser (see note 15) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 76 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------------- $ -- $10.30 17.31% $1,481,735 0.94%+(c) 0.48%+ -- 0.94%+ (0.05) 8.78 (28.55) 1,393,260 0.94 0.69 15%### 0.94 (0.02) 12.35 (0.83) 1,230,030 0.94(a) 0.20 71 0.94(a) (0.04) 12.47 (26.62) 1,182,028 0.94(a)(b) (0.09) 56 0.94(a) (0.20) 17.03 24.63 860,124 0.97 (0.10) 23 0.97 (0.01) 13.86 38.65 266,823 1.07+(a) (0.03)+ 34 1.07+(a) $ -- $10.26 17.12% $ 234,233 1.19%+(c) 0.23%+ -- 1.19%+ (0.03) 8.76 (28.61) 213,691 1.19 0.44 15%### 1.19 (0.01) 12.31 (0.97) 26,742 1.19(a) (0.05) 71 1.19(a) (0.03) 12.44 (26.62) 11,895 1.19(a)(b) (0.34) 56 1.19(a) (0.06) 16.98 22.86 5,503 1.22+ (0.35)+ 23 1.22+ $ -- $ 9.97 16.74% $ 43,206 1.94%+(c) (0.52)%+ -- 1.94%+ (0.00)## 8.54 (29.23) 38,972 1.94 (0.31) 15%### 1.94 (0.00)## 12.07 (1.78) 8,358 1.94(a) (0.80) 71 1.94(a) (0.03) 12.29 (27.16) 6,758 1.94(a)(b) (1.09) 56 1.94(a) (0.06) 16.90 22.29 4,934 1.97+ (1.10)+ 23 1.97+ $ -- $ 9.97 16.74% $ 15,282 1.94%+(c) (0.52)%+ -- 1.94%+ -- 8.54 (29.30) 12,857 1.94 (0.31) 15%### 1.94 (0.00)## 12.08 (1.78) 2,645 1.94(a) (0.80) 71 1.94(a) (0.03) 12.30 (27.14) 2,137 1.94(a)(b) (1.09) 56 1.94(a) (0.06) 16.92 22.36 1,706 1.97+ (1.10)+ 23 1.97+
SEE NOTES TO FINANCIAL STATEMENTS. 77 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS GAINS ---------------------------------------------------------------------------- CAPITAL GROWTH PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ 5.61 $(0.01) $ 0.91 $ 0.90 $ -- Year ended 3/31/2003#..................... 7.81 0.01 (2.21) (2.20) -- Year ended 3/31/2002#..................... 8.30 (0.01) (0.22) (0.23) (0.26) Year ended 3/31/2001...................... 14.59 (0.03) (3.90) (3.93) (2.36) Year ended 3/31/2000...................... 12.05 (0.05) 3.47 3.42 (0.88) Year ended 3/31/1999#..................... 13.30 0.00## 1.59 1.59 (2.84) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ 5.49 $(0.01) $ 0.88 $ 0.87 $ -- Year ended 3/31/2003#..................... 7.65 (0.01) (2.15) (2.16) -- Year ended 3/31/2002#..................... 8.16 (0.03) (0.22) (0.25) (0.26) Year ended 3/31/2001...................... 14.43 (0.07) (3.84) (3.91) (2.36) Year ended 3/31/2000...................... 11.97 (0.08) 3.42 3.34 (0.88) Year ended 3/31/1999#..................... 13.26 (0.03) 1.58 1.55 (2.84) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ 4.96 $(0.03) $ 0.80 $ 0.77 $ -- Year ended 3/31/2003#..................... 6.97 (0.05) (1.96) (2.01) -- Year ended 3/31/2002#..................... 7.51 (0.08) (0.20) (0.28) (0.26) Year ended 3/31/2001...................... 13.58 (0.14) (3.57) (3.71) (2.36) Year ended 3/31/2000...................... 11.39 (0.17) 3.24 3.07 (0.88) Year ended 3/31/1999#..................... 12.83 (0.11) 1.51 1.40 (2.84) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ 5.02 $(0.03) $ 0.81 $ 0.78 $ -- Year ended 3/31/2003#..................... 7.05 (0.05) (1.98) (2.03) -- Year ended 3/31/2002#..................... 7.59 (0.08) (0.20) (0.28) (0.26) Year ended 3/31/2001...................... 13.70 (0.13) (3.62) (3.75) (2.36) Year ended 3/31/2000...................... 11.48 (0.16) 3.26 3.10 (0.88) Year ended 3/31/1999#..................... 12.92 (0.11) 1.51 1.40 (2.84)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (see 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. 78 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) TO PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS - ---------------------------------------------------------------------------------------------------------- $ 6.51 16.04% $128,515 1.04%+(a)(b) (0.19)%+ 65% 1.04%+(a) 5.61 (28.17) 158,017 1.01(a)(b) 0.13 178 1.01(a) 7.81 (3.31) 302,843 0.97(a)(b) (0.12) 65 0.97(a) 8.30 (30.69) 531,657 0.95(a)(b) (0.28) 96 0.95(a) 14.59 29.90 816,371 0.96(a)(b) (0.38) 39 0.96(a) 12.05 14.99 737,620 0.96(a) (0.04) 39 0.96(a) $ 6.36 15.85% $ 31,400 1.29%+(a)(b) (0.44)%+ 65% 1.29%+(a) 5.49 (28.24) 28,896 1.26(a)(b) (0.12) 178 1.26(a) 7.65 (3.62) 28,994 1.22(a)(b) (0.37) 65 1.22(a) 8.16 (30.91) 32,519 1.20(a)(b) (0.53) 96 1.20(a) 14.43 29.41 61,756 1.21(a)(b) (0.63) 39 1.21(a) 11.97 14.70 52,987 1.21(a) (0.29) 39 1.21(a) $ 5.73 15.52% $ 22,797 2.04%+(a)(b) (1.19)%+ 65% 2.04%+(a) 4.96 (28.84) 21,125 2.01(a)(b) (0.87) 178 2.01(a) 6.97 (4.35) 37,767 1.97(a)(b) (1.12) 65 1.97(a) 7.51 (31.37) 45,832 1.95(a)(b) (1.28) 96 1.95(a) 13.58 28.42 75,844 1.96(a)(b) (1.38) 39 1.96(a) 11.39 13.86 66,338 1.96(a) (1.04) 39 1.96(a) $ 5.80 15.54% $ 2,755 2.04%+(a)(b) (1.19)%+ 65% 2.04%+(a) 5.02 (28.79) 2,807 2.01(a)(b) (0.87) 178 2.01(a) 7.05 (4.31) 4,538 1.97(a)(b) (1.12) 65 1.97(a) 7.59 (31.38) 3,338 1.95(a)(b) (1.28) 96 1.95(a) 13.70 28.46 4,883 1.96(a)(b) (1.38) 39 1.96(a) 11.48 13.76 3,862 1.96(a) (1.04) 39 1.96(a)
SEE NOTES TO FINANCIAL STATEMENTS. 79 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS GAINS ---------------------------------------------------------------------------- FOCUSED EQUITIES* PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $12.81 $(0.02) $ 2.51 $ 2.49 $ -- Year ended 3/31/2003#..................... 15.87 (0.05) (3.01) (3.06) -- Year ended 3/31/2002#..................... 15.37 (0.05) 0.55 0.50 -- Year ended 3/31/2001...................... 22.59 (0.01) (7.13) (7.14) (0.08) Year ended 3/31/2000#..................... 16.69 (0.01) 6.14 6.13 (0.23) Year ended 3/31/1999#..................... 12.13 (0.01) 4.58 4.57 (0.01) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $12.70 $(0.04) $ 2.49 $ 2.45 $ -- Year ended 3/31/2003#..................... 15.77 (0.08) (2.99) (3.07) -- Year ended 3/31/2002#..................... 15.31 (0.09) 0.55 0.46 -- Year ended 3/31/2001...................... 22.56 (0.06) (7.11) (7.17) (0.08) Year ended 3/31/2000#..................... 16.73 (0.03) 6.09 6.06 (0.23) Year ended 3/31/1999#..................... 12.14 (0.04) 4.64 4.60 (0.01) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $12.25 $(0.09) $ 2.40 $ 2.31 $ -- Year ended 3/31/2003#..................... 15.33 (0.18) (2.90) (3.08) -- Year ended 3/31/2002#..................... 15.00 (0.20) 0.53 0.33 -- Year ended 3/31/2001...................... 22.26 (0.20) (6.98) (7.18) (0.08) Year ended 3/31/2000#..................... 16.62 (0.09) 5.96 5.87 (0.23) Year ended 3/31/1999#..................... 12.13 (0.12) 4.62 4.50 (0.01) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $12.29 $(0.09) $ 2.40 $ 2.31 $ -- Year ended 3/31/2003#..................... 15.38 (0.18) (2.91) (3.09) -- Year ended 3/31/2002#..................... 15.05 (0.20) 0.53 0.33 -- Year ended 3/31/2001...................... 22.33 (0.20) (7.00) (7.20) (0.08) Year ended 3/31/2000#..................... 16.67 (0.08) 5.97 5.89 (0.23) Year ended 3/31/1999#..................... 12.13 (0.14) 4.69 4.55 (0.01)
- --------------- * The per share amounts and percentages reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of Focused Equities Master Portfolio. + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ### Amount represents results prior to conversion to a master-feeder structure. (a)The effect of the custodial expense offset (see 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. 80 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) TO PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------ $15.30 19.44% $ 582,833 1.10%+ (0.27)%+ -- 1.10%+ 12.81 (19.28) 384,706 1.12 (0.35) -- 1.12 15.87 3.25 346,435 1.11 (0.33) -- 1.11 15.37 (31.67) 354,798 1.09 (0.05) -- 1.09 22.59 37.13 326,745 1.16(a) (0.35) 53%### 1.16(a) 16.69 37.73 105,458 1.06(a) 0.05 177 1.06(a) $15.15 19.29% $ 751,391 1.35%+ (0.52)%+ -- 1.35%+ 12.70 (19.47) 537,958 1.37 (0.60) -- 1.37 15.77 3.00 507,590 1.36 (0.58) -- 1.36 15.31 (31.80) 491,437 1.34 (0.30) -- 1.34 22.56 36.62 690,166 1.41(a) (0.60) 53%### 1.41(a) 16.73 37.94 238,137 1.31(a) (0.20) 177 1.31(a) $14.56 18.86% $ 546,224 2.10%+ (1.27)%+ -- 2.10%+ 12.25 (20.09) 462,082 2.12 (1.35) -- 2.12 15.33 2.20 679,688 2.11 (1.33) -- 2.11 15.00 (32.32) 741,285 2.09 (1.05) -- 2.09 22.26 35.71 1,003,840 2.16(a) (1.35) 53%### 2.16(a) 16.62 37.15 306,365 2.06(a) (0.95) 177 2.06(a) $14.60 18.80% $ 257,182 2.10%+ (1.27)%+ -- 2.10%+ 12.29 (20.09) 175,032 2.12 (1.35) -- 2.12 15.38 2.19 188,842 2.11 (1.33) -- 2.11 15.05 (32.31) 203,642 2.09 (1.05) -- 2.09 22.33 35.72 247,509 2.16(a) (1.35) 53%### 2.16(a) 16.67 37.56 13,682 2.06(a) (0.95) 177 2.06(a)
SEE NOTES TO FINANCIAL STATEMENTS. 81 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS GAINS ---------------------------------------------------------------------------- MIDCAP GROWTH PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ 8.66 $(0.02) $ 1.84 $ 1.82 $ -- Year ended 3/31/2003#..................... 13.21 (0.04) (4.51) (4.55) -- Year ended 3/31/2002#..................... 14.63 (0.05) (1.37) (1.42) -- Year ended 3/31/2001...................... 22.41 (0.03) (4.02) (4.05) (3.73) Year ended 3/31/2000#..................... 13.31 (0.07) 9.81 9.74 (0.64) Year ended 3/31/1999#..................... 16.56 (0.04) (0.94) (0.98) (2.27) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ 8.33 $(0.03) $ 1.77 $ 1.74 $ -- Year ended 3/31/2003#..................... 12.73 (0.07) (4.33) (4.40) -- Year ended 3/31/2002#..................... 14.14 (0.09) (1.32) (1.41) -- Year ended 3/31/2001...................... 21.87 (0.09) (3.91) (4.00) (3.73) Year ended 3/31/2000#..................... 13.04 (0.12) 9.59 9.47 (0.64) Year ended 3/31/1999#..................... 16.30 (0.07) (0.92) (0.99) (2.27) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ 7.46 $(0.06) $ 1.59 $ 1.53 $ -- Year ended 3/31/2003#..................... 11.51 (0.12) (3.93) (4.05) -- Year ended 3/31/2002#..................... 12.87 (0.17) (1.19) (1.36) -- Year ended 3/31/2001...................... 20.38 (0.19) (3.59) (3.78) (3.73) Year ended 3/31/2000#..................... 12.28 (0.22) 8.96 8.74 (0.64) Year ended 3/31/1999#..................... 15.58 (0.15) (0.88) (1.03) (2.27) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ 7.51 $(0.06) $ 1.59 $ 1.53 $ -- Year ended 3/31/2003#..................... 11.57 (0.12) (3.94) (4.06) -- Year ended 3/31/2002#..................... 12.95 (0.17) (1.21) (1.38) -- Year ended 3/31/2001...................... 20.47 (0.17) (3.62) (3.79) (3.73) Year ended 3/31/2000#..................... 12.33 (0.22) 9.00 8.78 (0.64) Year ended 3/31/1999#..................... 15.63 (0.15) (0.88) (1.03) (2.27)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (see 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. 82 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) TO PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS - ---------------------------------------------------------------------------------------------------------- $10.48 21.02% $458,150 0.97%+(a)(b) (0.44)%+ 38% 0.97%+(a) 8.66 (34.44) 402,987 0.97(a)(b) (0.45) 58 0.97(a) 13.21 (9.71) 547,514 0.97(a)(b) (0.39) 39 0.97(a) 14.63 (20.67) 388,152 0.98(a) (0.27) 39 0.98(a) 22.41 75.34 281,951 1.00(a)(b) (0.45) 46 1.00(a) 13.31 (7.21) 177,861 0.98(a)(b) (0.29) 43 0.98(a) $10.07 20.89% $ 21,215 1.22%+(a)(b) (0.69)%+ 38% 1.22%+(a) 8.33 (34.56) 18,120 1.22(a)(b) (0.70) 58 1.22(a) 12.73 (9.97) 32,138 1.22(a)(b) (0.64) 39 1.22(a) 14.14 (20.98) 16,536 1.23(a) (0.52) 39 1.23(a) 21.87 74.82 22,741 1.25(a)(b) (0.70) 46 1.25(a) 13.04 (7.41) 18,042 1.23(a)(b) (0.54) 43 1.23(a) $ 8.99 20.51% $ 25,614 1.97%+(a)(b) (1.44)%+ 38% 1.97%+(a) 7.46 (35.19) 21,990 1.97(a)(b) (1.45) 58 1.97(a) 11.51 (10.57) 45,368 1.97(a)(b) (1.39) 39 1.97(a) 12.87 (21.51) 44,261 1.98(a) (1.27) 39 1.98(a) 20.38 73.47 49,606 2.00(a)(b) (1.45) 46 2.00(a) 12.28 (8.10) 33,245 1.98(a)(b) (1.29) 43 1.98(a) $ 9.04 20.37% $ 1,698 1.97%+(a)(b) (1.44)%+ 38% 1.97%+(a) 7.51 (35.09) 1,709 1.97(a)(b) (1.45) 58 1.97(a) 11.57 (10.66) 3,024 1.97(a)(b) (1.39) 39 1.97(a) 12.95 (21.46) 3,248 1.98(a) (1.27) 39 1.98(a) 20.47 73.50 2,628 2.00(a)(b) (1.45) 46 2.00(a) 12.33 (8.08) 1,383 1.98(a)(b) (1.29) 43 1.98(a)
SEE NOTES TO FINANCIAL STATEMENTS. 83 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ VALUE NET AND UNREALIZED (DECREASE) IN NET ASSET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE VALUE OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS END OF PERIOD ---------------------------------------------------------------------------- 21ST CENTURY PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ 6.24 $(0.03) $ 2.13 $ 2.10 $ 8.34 Year ended 3/31/2003#..................... 7.10 (0.05) (0.81) (0.86) 6.24 Year ended 3/31/2002#..................... 6.99 (0.05) 0.16 0.11 7.10 Period ended 3/31/2001*................... 10.00 (0.03) (2.98) (3.01) 6.99 INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ 6.19 $(0.04) $ 2.11 $ 2.07 $ 8.26 Year ended 3/31/2003#..................... 7.06 (0.07) (0.80) (0.87) 6.19 Year ended 3/31/2002#..................... 6.97 (0.07) 0.16 0.09 7.06 Period ended 3/31/2001*................... 10.00 (0.06) (2.97) (3.03) 6.97 INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ 6.05 $(0.07) $ 2.07 $ 2.00 $ 8.05 Year ended 3/31/2003#..................... 6.96 (0.12) (0.79) (0.91) 6.05 Year ended 3/31/2002#..................... 6.92 (0.12) 0.16 0.04 6.96 Period ended 3/31/2001*................... 10.00 (0.11) (2.97) (3.08) 6.92 INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ 6.05 $(0.07) $ 2.07 $ 2.00 $ 8.05 Year ended 3/31/2003#..................... 6.96 (0.12) (0.79) (0.91) 6.05 Year ended 3/31/2002#..................... 6.92 (0.12) 0.16 0.04 6.96 Period ended 3/31/2001*................... 10.00 (0.11) (2.97) (3.08) 6.92
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. * 21st Century Primary A, Investor A, Investor B and Investor C Shares commenced operations on April 10, 2000. # Per share net investment income/(loss) has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (see 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. 84 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING END OF EXPENSES TO INCOME/(LOSS) TO PORTFOLIO EXPENSES TO TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE RETURN++ (000) ASSETS ASSETS RATE NET ASSETS - -------------------------------------------------------------------------------------- 33.65% $13,757 1.30%+(a) (0.75)%+ 83% 1.30%+(a) (12.11) 3,543 1.45(a)(b) (0.81) 308 1.46(a) 1.57 3,356 1.37(a) (0.72) 419 1.37(a) (30.10) 5,686 1.35+ (0.41)+ 426 1.35+ 33.44% $34,393 1.55%+(a) (1.00)%+ 83% 1.55%+(a) (12.32) 10,853 1.70(a)(b) (1.06) 308 1.71(a) 1.29 14,741 1.62(a) (0.97) 419 1.62(a) (30.30) 19,644 1.60+ (0.66)+ 426 1.60+ 33.06% $40,069 2.30%+(a) (1.75)%+ 83% 2.30%+(a) (13.07) 29,562 2.45(a)(b) (1.81) 308 2.46(a) 0.58 43,187 2.37(a) (1.72) 419 2.37(a) (30.80) 50,404 2.35+ (1.41)+ 426 2.35+ 33.06% $ 7,216 2.30%+(a) (1.75)%+ 83% 2.30%+(a) (13.07) 3,517 2.45(a)(b) (1.81) 308 2.46(a) 0.58 4,660 2.37(a) (1.72) 419 2.37(a) (30.80) 6,557 2.35+ (1.41)+ 426 2.35+
SEE NOTES TO FINANCIAL STATEMENTS. 85 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS GAINS ---------------------------------------------------------------------------- SMALL COMPANY PRIMARY A SHARES* Six months ended 9/30/2003# (unaudited)... $10.14 $(0.04) $ 3.05 $ 3.01 $ -- Year ended 3/31/2003#..................... 15.07 (0.07) (4.86) (4.93) -- Year ended 3/31/2002#..................... 13.69 (0.07) 1.45 1.38 -- Year ended 3/31/2001...................... 22.66 (0.10) (6.67) (6.77) (2.20) Year ended 3/31/2000#..................... 11.50 (0.10) 11.29 11.19 (0.03) Year ended 3/31/1999#..................... 15.79 (0.05) (3.11) (3.16) (1.13) INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)... $ 9.96 $(0.05) $ 2.99 $ 2.94 $ -- Year ended 3/31/2003#..................... 14.84 (0.10) (4.78) (4.88) -- Year ended 3/31/2002#..................... 13.52 (0.10) 1.42 1.32 -- Year ended 3/31/2001...................... 22.44 (0.14) (6.58) (6.72) (2.20) Year ended 3/31/2000#..................... 11.43 (0.15) 11.19 11.04 (0.03) Year ended 3/31/1999#..................... 15.74 (0.07) (3.11) (3.18) (1.13) INVESTOR B SHARES* Six months ended 9/30/2003# (unaudited)... $ 9.49 $(0.09) $ 2.84 $ 2.75 $ -- Year ended 3/31/2003#..................... 14.25 (0.18) (4.58) (4.76) -- Year ended 3/31/2002#..................... 13.08 (0.20) 1.37 1.17 -- Year ended 3/31/2001...................... 21.94 (0.23) (6.43) (6.66) (2.20) Year ended 3/31/2000#..................... 11.23 (0.25) 10.99 10.74 (0.03) Year ended 3/31/1999#..................... 15.59 (0.11) (3.12) (3.23) (1.13) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ 9.62 $(0.10) $ 2.89 $ 2.79 $ -- Year ended 3/31/2003#..................... 14.45 (0.18) (4.65) (4.83) -- Year ended 3/31/2002#..................... 13.26 (0.20) 1.39 1.19 -- Year ended 3/31/2001...................... 22.21 (0.25) (6.50) (6.75) (2.20) Year ended 3/31/2000#..................... 11.38 (0.23) 11.09 10.86 (0.03) Year ended 3/31/1999#..................... 15.74 (0.12) (3.11) (3.23) (1.13)
- --------------- * The financial information for the fiscal periods prior to May 23, 1997 reflects the financial information for the Pilot Small Capitalization Equity Fund Pilot, Class A and B Shares, which were reorganized into the Small Company Primary A, Investor A and Investor B Shares, respectively, as of the close of business on May 23, 1997. Prior to May 23, 1997, the investment manager to Small Company was Boatmen's Trust Company. Effective May 23, 1997, the investment manager to Small Company became Banc of America Capital Management, LLC. + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (see 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%. (c)The Reimbursement from Investment Adviser (see note 15) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was 0.02%. Absent this reimbursement, the ratios of operating expenses to average net assets would have been 1.15% for Primary A Shares, 1.40% for Investor A Shares and 2.15% each for Investor B and C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 86 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) TO PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TURNOVER AVERAGE END OF PERIOD RETURN++ (000) ASSETS ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------- $13.15 29.68% $499,818 1.13%+(a)(b)(c) (0.66)%+ 32% 1.22%+(a) 10.14 (32.71) 410,198 1.15(a)(b) (0.61) 44 1.23(a) 15.07 10.08 572,820 1.15(a)(b) (0.48) 35 1.21(a) 13.69 (31.86) 477,246 1.15(a)(b) (0.52) 48 1.20(a) 22.66 97.46 647,825 1.13(a)(b) (0.65) 63 1.22(a) 11.50 (21.05) 327,981 0.95(a) (0.42) 87 1.22(a) $12.90 29.52% $174,769 1.38%+(a)(b)(c) (0.91)%+ 32% 1.47%+(a) 9.96 (32.88) 128,620 1.40(a)(b) (0.86) 44 1.48(a) 14.84 9.76 157,759 1.40(a)(b) (0.73) 35 1.46(a) 13.52 (31.96) 146,457 1.40(a)(b) (0.77) 48 1.45(a) 22.44 96.91 245,425 1.38(a)(b) (0.90) 63 1.47(a) 11.43 (21.32) 16,143 1.20(a) (0.67) 87 1.47(a) $12.24 28.98% $ 17,322 2.13%+(a)(b)(c) (1.66)%+ 32% 2.22%+(a) 9.49 (33.40) 12,567 2.15(a)(b) (1.61) 44 2.23(a) 14.25 8.94 17,484 2.15(a)(b) (1.48) 35 2.21(a) 13.08 (32.45) 11,744 2.15(a)(b) (1.52) 48 2.20(a) 21.94 95.79 13,839 2.13(a)(b) (1.65) 63 2.22(a) 11.23 (21.86) 5,127 1.95(a) (1.42) 87 2.22(a) $12.41 29.00% $ 4,965 2.13%+(a)(b)(c) (1.66)%+ 32% 2.22%+(a) 9.62 (33.43) 3,644 2.15(a)(b) (1.61) 44 2.23(a) 14.45 8.97 3,871 2.15(a)(b) (1.48) 35 2.21(a) 13.26 (32.46) 2,813 2.15(a)(b) (1.52) 48 2.20(a) 22.21 95.76 3,588 2.13(a)(b) (1.65) 63 2.22(a) 11.38 (21.66) 1,951 1.70(a) (1.17) 87 2.22(a)
SEE NOTES TO FINANCIAL STATEMENTS. 87 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, 2003, Funds Trust offered fifty-seven separate portfolios. These financial statements pertain only to certain domestic stock portfolios of Funds Trust: Convertible Securities Fund, Asset Allocation Fund, Value Fund, MidCap Value Fund, SmallCap Value Fund, Growth Fund, Strategic Growth Fund, Capital Growth Fund, Focused Equities Fund, MidCap Growth Fund, 21st Century Fund and Small Company Fund (each a "Fund" and collectively, the "Funds"). Financial statements for the other portfolios of Funds Trust are presented under separate cover. The Funds currently offer four classes of shares: Primary A Shares, Investor A Shares, Investor B Shares and Investor C Shares. Shareholders of a Fund have equal voting rights on matters affecting all shareholders of the Fund. In addition, each class of shares of a Fund has exclusive voting rights on matters that relate solely to that class and separate voting rights on matters in which the interests of one class differ from the interests of any other class. Growth Fund, Strategic Growth Fund and Focused Equities Fund (the "Feeder Funds") seek to achieve their investment objectives by investing substantially all of their assets in Growth Master Portfolio, Strategic Growth Master Portfolio and Focused Equities Master Portfolio, respectively (the "Master Portfolios"), each a series of Nations Master Investment Trust (the "Master Trust"), another open-end management investment company in the Nations Funds family. The Master Portfolios each have the same investment objective as that of its corresponding Feeder Fund. The values of the Feeder Funds' investments in the respective Master Portfolios included in the Statements of net assets reflect the Feeder Funds' proportionate beneficial interests in the net assets of the respective Master Portfolios (95.2% for Growth Master Portfolio, 98.6% for Strategic Growth Master Portfolio and 98.3% for Focused Equities Master Portfolio at September 30, 2003). The financial statements of the Master Portfolios, including their schedules of investments, are included elsewhere within this report and should be read in conjunction with the Feeder Funds' financial statements. Other funds not registered under the 1940 Act managed by Banc of America Capital Management, LLC ("BACAP"), whose financial statements are not presented here, also invest in the Master Portfolios. SmallCap Value Fund, 21st Century Fund and Small Company Fund operate in a master-feeder structure. The Funds seek to achieve their investment objectives by investing substantially all of their assets in SmallCap Value Master Portfolio, 21st Century Master Portfolio and Small Company Master Portfolio of the Master Trust, which has the same investment objective as their corresponding Feeder Fund. Because the value of each Funds' investment in the SmallCap Value Master Portfolio, 21st Century Master Portfolio and Small Company Master Portfolio as of and for the six months ended September 30, 2003 represented substantially all of the beneficial interests in the SmallCap Value Master Portfolio, 21st Century Master Portfolio and Small Company Master Portfolio, the financial statements for the SmallCap Value Fund, 21st Century Fund and Small Company Fund reflect the consolidation of the SmallCap Value Master Portfolio, 21st Century Master Portfolio and Small Company Master Portfolio. Separate financial statements for the SmallCap Value Master Portfolio, 21st Century Master Portfolio and Small Company Master Portfolio have not been prepared and references in this report to SmallCap Value Fund, 21st Century Fund and Small Company Fund should be read to include references to the corresponding Master Portfolios. Certain Funds invest in securities of foreign issuers. There are certain risks involved in investing in foreign securities that are in addition to the usual risks inherent in domestic instruments. These risks include those resulting from currency fluctuations, future adverse political and economic developments and possible imposition of currency exchange blockages or other foreign government laws or restrictions. The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments in a specific country, industry or region. 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 are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on NASDAQ are valued at the NASDAQ official closing price. Securities traded only over-the-counter are valued at the last 88 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) sale price, or if no sale occurred on such day, at the mean of the current bid and asked prices. Certain securities may be valued using broker quotations or on the basis of prices provided by pricing services. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. Investments in other Nations Funds are valued at their net asset value as determined by the applicable Nations Funds' prospectus. The valuation of each Feeder Funds' investment in its corresponding Master Portfolio is based on the reported net asset value of that Master Portfolio. The Master Portfolios use valuation policies consistent with those described above. Futures contracts: All Funds may invest in futures contracts for the purposes of hedging against changes in values of the Fund's securities or changes in the prevailing levels of interest rates or currency exchange rates or to gain exposure to the equity market. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as 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 and write call and put options on securities, futures and swap contracts ("swaptions"). A Fund may use such options on futures contracts in connection with its hedging strategies in lieu of purchasing and writing options directly on the underlying securities or stock indices or purchasing and selling the underlying futures, and to seek to enhance return. The Funds may write covered call options and put options on securities in which they are permitted to invest from time to time in seeking to attain each Fund's objective. Call options written by a Fund give the holder the right to buy the underlying securities from the Fund at a stated exercise price; put options give the holder the right to sell the underlying security to the Fund at a stated price. In the case of put options, a Fund is required to maintain in a separate account liquid assets with a value equal to or greater than the exercise price of the underlying securities. The Funds may also write combinations of covered puts and calls on the same underlying security. 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. Because 89 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from the repurchase of a call option is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by a Fund. Foreign currency transactions: The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received. The effects of changes in foreign currency exchange rates on securities are not separately identified in the Statements of operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on securities. Forward foreign currency transactions: Generally, each Fund may enter into forward currency exchange contracts only under two circumstances: (i) when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency, to "lock in" the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when the investment adviser or sub-adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar. Forward foreign currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed or offset with the same counterparty, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset. Forward foreign currency contracts will be used primarily to protect the Funds from adverse currency movements and will generally not be entered into for terms greater than one year. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Fund's investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of net assets. In addition, the Funds could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. Swaps: The Funds may engage in swap transactions such as interest rate, total return, index or currency swaps, consistent with their investment objective and policies to obtain a desired return at a lower cost than if the Funds had invested directly in the asset that yielded the desired return. Swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest or total return throughout the lives of the agreements. The interest to be paid or received on interest rate swaps is included in interest income. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of net assets. A realized gain or loss is recorded upon termination of swap agreements and is equal to the difference between the Fund's basis in the swap and the proceeds from (or cost of ) the closing transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that the swap contract counterparties will be able to meet their obligations pursuant to the swap contracts or that, in the event of default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to the swap contracts. The creditworthiness of the swap contract counterparties is closely monitored in order to minimize this risk. 90 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The use of derivative instruments involves, to varying degrees, elements of market risk in excess of the related amounts recognized in the Statements of net assets. When-issued/delayed delivery securities: Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Fund enters into such transactions, it is required to have segregated assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments. Credit risks exist on these commitments to the extent of any unrealized losses on the underlying securities purchased and any unrealized gains on the underlying securities sold. Market risk exists on these commitments to the same extent as if the securities were owned on a settled basis and losses are recorded and reported in the same manner. Stripped securities: Stripped mortgage-backed securities are derivative multi-class mortgage securities structured so that one class receives most, if not all, of the principal from the underlying mortgage assets, while the other class receives most, if not all, of the interest and the remainder of the principal. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to fully recoup its initial investment in an interest-only security. The market value of these securities consisting entirely of principal payments can be extremely volatile in response to changes in interest rates. Credit risk reflects the risk that a Fund may not receive all or part of its principal because the issuer or credit enhancer has defaulted on its obligation. Dollar Rolls: The Funds may enter into dollar rolls in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon, and maturity) securities on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund's policy is to record the component of dollar rolls using "to be announced" mortgage-backed securities ("TBA Dollar Rolls") as purchase and sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the trade date of the sale transaction. Asset Allocation Fund had dollar rolls outstanding as of September 30, 2003, which are included in Payable for investment securities purchased on its Statement of net assets. Each Fund maintains a segregated account of U.S. Government securities or other liquid assets, the dollar value of which is equal to its obligation with respect to dollar rolls. 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 (including dividend income from affiliated funds) is recorded on ex-dividend date. Each Fund's investment income and realized and unrealized gains and losses are allocated among its share classes based upon the relative net assets of each class of shares. The Feeder Funds record their share of the investment income and realized and unrealized gains and losses reported by the Master Portfolios on a daily basis. The investment income and realized and unrealized gains and losses are allocated daily to investors in the Master Portfolios based upon the relative value of their investments in the Master Portfolios. Dividends and distributions to shareholders: Distributions from net investment income, if any, are declared and paid each calendar quarter by the Convertible Securities, Asset Allocation, Value and MidCap Value Funds. SmallCap Value, Growth, Strategic Growth, Capital Growth, Focused Equities, MidCap Growth, 21st Century and Small Company Funds declare and pay distributions annually. The Funds may, however, declare and pay distributions from net investment income more frequently. Each Fund will distribute net realized capital gains (including net short-term capital gains) at least annually after the fiscal year in which the capital gains were earned, unless offset by any available capital loss carryforward. Dividends and distributions to shareholders are recorded on the ex-dividend date. 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. 91 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Expenses: General expenses of Funds Trust are allocated to the Funds based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Fund or class of shares are charged to such Fund or class. The Feeder Funds record their share of the expenses reported by the Master Portfolios on a daily basis. The expenses are allocated daily to investors in the Master Portfolios based upon the relative value of the Feeder Funds' investments in the Master Portfolios. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Funds Trust and Master Trust have entered into an investment advisory agreement (the "Investment Advisory Agreement") with BACAP, 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 BACAP provides investment advisory services to the Funds. Under the terms of the Investment Advisory Agreement, BACAP is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Fund and Master Portfolio:
ANNUAL RATE ------ Convertible Securities, Asset Allocation, Value, Capital Growth, MidCap Growth..................................... 0.65% MidCap Value, 21st Century.................................. 0.75% SmallCap Value, Small Company............................... 0.90%
The Growth, Strategic Growth and Focused Equities Feeder Funds indirectly pay for investment advisory and sub-advisory services through their investments in their corresponding Master Portfolios (See Note 2 of Notes to financial statements of the Master Portfolios). Master Trust has, on behalf of the 21st Century Fund, entered into a sub-advisory agreement with BACAP and Marsico Capital Management, LLC ("Marsico"), a wholly-owned subsidiary of Bank of America, pursuant to which Marsico is entitled to receive a sub-advisory fee from BACAP at the maximum annual rate of 0.45% of the Fund's average daily net assets. BACAP Distributors, LLC ("BACAP Distributors"), a wholly-owned subsidiary of Bank of America, serves as sole administrator of Funds Trust. Under the administration agreement, BACAP Distributors is currently entitled to receive a fee, computed daily and paid monthly, at the maximum annual rate of 0.23% of the average daily net assets of all Funds except for Strategic Growth Fund, which pays a monthly fee at the maximum annual rate of 0.18% of its average daily net assets and Growth and Focused Equities Funds, which pay a monthly fee at the maximum annual rate of 0.13% of their average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of Funds Trust pursuant to an agreement with BACAP Distributors. For the six months ended September 30, 2003, BACAP Distributors earned 0.14% (annualized) of the Funds' average daily net assets (net of waivers and sub-administrator fees) for its administration services. BACAP and/or its affiliates may, from time to time, reduce its fees payable by each Fund. During the six months ended September 30, 2003 and until July 31, 2004, BACAP has agreed to reimburse expenses and/or waive fees to the extent that total expenses (excluding interest expense, shareholder servicing and distribution fees), as a percentage of the respective Fund's average daily net assets, exceed the following annual rates:
ANNUAL FUND RATE - -------------------------------------------------------------------- MidCap Value................................................ 1.25% SmallCap Value.............................................. 1.30% Small Company............................................... 1.15%
BACAP is entitled to recover from MidCap Value Fund, SmallCap Value Fund and Small Company Fund any fees waived or expenses reimbursed by BACAP during the three year period following the date of 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. There is no guarantee that these expense limitations will continue. 92 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At September 30, 2003, the amounts potentially recoverable by BACAP pursuant to this arrangement are as follows:
POTENTIAL AMOUNT TO POTENTIAL AMOUNT TO AMOUNT RECOVERED DURING RECOVER WITHIN 3 YEARS RECOVER WITHIN 3 YEARS PERIOD ENDED AS OF 9/30/03 AS OF 3/31/03 9/30/03 --------------------------------------------------------------------------- MidCap Value........................... $ -- $ -- $-- SmallCap Value......................... 41,467 117,740 -- Small Company.......................... 221,771 405,127 --
BNY serves as the custodian of Funds Trust's assets. For the six months ended September 30, 2003, expenses of the Funds were reduced by $7,524 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. serves as the transfer agent for the Funds' shares. Bank of America serves as the sub-transfer agent for the Primary A Shares of the Funds. Bank of America is entitled to receive from the transfer agent a fee equal to the costs incurred by Bank of America in providing services pursuant to its obligations as sub-transfer agent at the annual rate of up to 0.01% of the net assets attributable to the Primary A shares of the Funds. For the six months ended September 30, 2003, Bank of America earned approximately $72,278 for providing such services and is included in "Transfer agent fees" in the Statements of operations. BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2003, the Funds were informed that the distributors received the following:
FRONT END CONTINGENT DEFERRED SALES CHARGE SALES CHARGE (000) (000) ------------ -------------------------------------- FUND INVESTOR A INVESTOR A INVESTOR B INVESTOR C - -------------------------------------------------------------------------------------------------------------------- Convertible Securities...................................... $686 $17 $109 $ 6 Asset Allocation............................................ 18 6 26 --* Value....................................................... 57 -- 28 13 MidCap Value................................................ 2 --* 2 --* SmallCap Value.............................................. 6 -- --* --* Growth...................................................... 276 1 134 5 Strategic Growth............................................ 58 9 38 --* Capital Growth.............................................. 53 --* 10 --* Focused Equities............................................ 576 23 465 10 MidCap Growth............................................... 17 --* 16 --* 21st Century................................................ 18 -- 39 --* Small Company............................................... 47 --* 14 1
- --------------- *Amount represents less than $500. For the six months ended September 30, 2003, the following Funds paid commissions to certain affiliates of BACAP in connection with the execution of various portfolio transactions:
FUND COMMISSIONS - ------------------------------------------------------------------------- Convertible Securities...................................... $ 81,007 Asset Allocation............................................ 35,106 Value....................................................... 195,110 MidCap Value................................................ 128,315 SmallCap Value.............................................. 69,620 MidCap Growth............................................... 57,087 Small Company............................................... 16,875
No officer, director or employee of Bank of America, BACAP Distributors 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 93 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 Statements 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." BACAP and BACAP Distributors have earned fees related to investments in affiliated funds. Asset Allocation Fund has invested in the High Yield Portfolio, portfolio of the Master Investment Trust. The income earned by the Fund from such investments is included in its Statement of operations as "Dividend income from affiliated funds." A significant portion of each Fund's Primary A Shares represents investments by fiduciary accounts over which Bank of America has either sole or joint investment discretion. 3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS Funds Trust has adopted shareholder servicing plans and distribution plans for the Investor B and Investor C Shares of each Fund and a combined distribution and shareholder servicing plan for Investor A Shares of each Fund. The shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. The distribution plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to compensate or reimburse the distributor and/or selling agents for activities or expenses primarily intended to result in the sale of the classes' shares. Payments are made at an annual rate, as a percentage of average daily net assets, set from time to time by the Board of Trustees, and are charged as expenses of each Fund directly to the applicable share class. A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BACAP Distributors. For the six months ended September 30, 2003, the annual rates in effect and plan limits, as a percentage of average daily net assets, were as follows:
CURRENT PLAN RATE LIMIT ---------------- Investor A Combined Distribution and Shareholder Servicing Plan...................................................... 0.25% 0.25% Investor B and Investor C Shareholder Servicing Plans....... 0.25% 0.25% Investor B and Investor C Distribution Plans................ 0.75% 0.75%
4. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) --------------------- Convertible Securities...................................... $838,339 $551,374 Asset Allocation............................................ 58,204 76,356 Value....................................................... 527,098 495,907 MidCap Value................................................ 225,425 186,937 SmallCap Value.............................................. 85,009 60,878 Capital Growth.............................................. 133,952 186,311 MidCap Growth............................................... 178,146 188,381 21st Century................................................ 87,667 57,162 Small Company............................................... 219,289 203,822
94 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) --------------------- Asset Allocation............................................ $171,322 $163,329
5. FUTURES CONTRACTS At September 30, 2003, the Asset Allocation Fund had the following futures contracts open:
UNREALIZED VALUE OF CONTRACT MARKET VALUE OF APPRECIATION/ NUMBER OF WHEN OPENED CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- U.S. 2 year Treasury Note Futures (long position) expiring December 2003(a).......................................... 3 $ 638 $ 647 $ 9 U.S. 20 year Treasury Note Futures (long position) expiring December 2003(a).......................................... 38 3,968 4,262 294 U.S. 5 year Treasury Note Futures (short position) expiring December 2003(a).......................................... (41) (4,475) (4,652) (177) U.S. 10 year Treasury Bond Futures (short position) expiring December 2003(a).......................................... (40) (4,340) (4,585) (245) ----- Total net unrealized depreciation........................... $(119) =====
- --------------- (a)Securities have been segregated as collateral for open futures contracts. 6. WRITTEN OPTIONS Written options for the Asset Allocation Fund for the six months ended September 30, 2003 aggregated the following:
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS CONTRACTS (000) - ----------------------------------------------------------------------------------- Outstanding at March 31, 2003............................... 4 $ 27 Contracts opened............................................ 40 222 Contracts closed............................................ (15) (79) Options expired............................................. (29) (170) --- ----- Outstanding at September 30, 2003........................... -- $ -- === =====
7. FORWARD FOREIGN CURRENCY CONTRACTS At September 30, 2003, the 21st Century Fund had the following forward foreign currency contracts outstanding:
VALUE OF VALUE OF UNREALIZED CONTRACT CONTRACT WHEN MARKET VALUE OF APPRECIATION/ WHEN OPENED OPENED CONTRACT (DEPRECIATION) LOCAL (LOCAL CURRENCY) (US DOLLARS) (US DOLLARS) (US DOLLARS) DESCRIPTION CURRENCY (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- 21ST CENTURY FUND: CONTRACTS TO BUY Expiring December 17, 2003................ Swiss Franc 3,226 $ 2,401 $ 2,447 $ 46 Expiring December 17, 2003................ Euro 304 348 353 5 ----- Net unrealized appreciation............... $ 51 ----- CONTRACTS TO SELL: Expiring December 17, 2003................ Swiss Franc (3,226) $(2,346) $(2,447) $(101) Expiring December 17, 2003................ Euro (2,809) (3,166) (3,264) (98) ----- Net unrealized depreciation............... $(199) ----- Total net unrealized depreciation......... $(148) =====
95 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 8. SWAP CONTRACTS At September 30, 2003, Asset Allocation Fund had the following swap contracts outstanding:
UNREALIZED NOTIONAL PAYMENTS APPRECIATION/ AMOUNT PAYMENTS MADE RECEIVED BY (DEPRECIATION) DESCRIPTION (000) BY THE FUND THE FUND (000) - ---------------------------------------------------------------------------------------------------------------------------- Contract with Lehman Brothers, effective November 1, 2002, expiring November 1, 2003(a)................ $1,600 1-month LIBOR Lehman Brothers +0.90% Baa Total Return Index $40 Contract with Morgan Stanley, effective September 30, 2003, expiring December 31, 2003(a)........... 1,500 Lehman CMBS Lehman CMBS Aaa Index Aaa Index Spread (Prior floating rate +0.44% -- minus current floating rate) X factor --- Total unrealized appreciation....................... $40 ===
- --------------- (a)Fair value. 9. SHARES OF BENEFICIAL INTEREST As of September 30, 2003, 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. Investor B Shares generally convert to Investor A Shares based on the following conditions:
INVESTOR B SHARES PURCHASED: WILL CONVERT TO INVESTOR A SHARES AFTER: - ---------------------------------------------------------------------------------------------- - -- after November 15, 1998 Eight years - -- between August 1, 1997 and November 15, 1998 $0 - $249,999 Nine years $250,000 - $499,999 Six years $500,000 - $999,999 Five years - -- before August 1, 1997 Nine years
See Schedules of capital stock activity. 10. LINE 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"). The Agreement is renewable on an annual basis. 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. 96 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The Funds had borrowings outstanding at September 30, 2003. During the six months ended September 30, 2003, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST FUND (000) RATE - -------------------------------------------------------------------------------------- Convertible Securities...................................... $2,909 1.58% Value....................................................... 43 1.54 Capital Growth.............................................. 165 1.58 MidCap Growth............................................... 28 1.61 Small Company............................................... 30 1.46
- --------------- *The average amount outstanding was calculated based on daily balances in the period. 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, 2003, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) - ------------------------------------------------------------------------------------------------ Convertible Securities...................................... $202,733 $210,066 Asset Allocation............................................ 8,052 8,237 Value....................................................... 18,081 18,824 SmallCap Value.............................................. 7,860 8,053 Capital Growth.............................................. 3,039 3,194 MidCap Growth............................................... 7,438 7,692 21st Century................................................ 6,428 6,597 Small Company............................................... 30,411 31,705
97 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 12. INCOME TAXES Information on the tax components of capital as of September 30, 2003 is as follows:
NET TAX UNREALIZED APPRECIATION/ (DEPRECIATION) NET TAX ON DERIVATIVES COST OF UNREALIZED AND FOREIGN INVESTMENTS GROSS TAX GROSS TAX APPRECIATION/ CURRENCY AND FOR TAX UNREALIZED UNREALIZED (DEPRECIATION) NET OTHER PURPOSES APPRECIATION DEPRECIATION ON INVESTMENTS ASSETS FUND (000) (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- Convertible Securities.......................... $1,466,708 $110,212 $(28,071) $ 82,141 $ -- Asset Allocation................................ 212,368 25,114 (2,139) 22,975 (79) Value........................................... 1,105,815 94,101 (34,986) 59,115 -- MidCap Value.................................... 366,613 45,604 (4,382) 41,222 -- SmallCap Value.................................. 113,882 16,018 (1,547) 14,471 -- Growth.......................................... N/A* N/A* N/A* 137,384 (216) Strategic Growth................................ N/A* N/A* N/A* 263,061 -- Capital Growth.................................. 148,850 39,350 (1,122) 38,228 -- Focused Equities................................ N/A* N/A* N/A* 384,904 (1,995) MidCap Growth................................... 423,866 105,454 (20,672) 84,782 -- 21st Century.................................... 88,603 15,340 (1,196) 14,144 (148) Small Company................................... 604,438 151,542 (29,211) 122,331 --
- --------------- *See corresponding Master Portfolio for tax basis information. At March 31, 2003, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING IN EXPIRING IN EXPIRING IN 2009 2010 2011 FUND (000) (000) (000) - ------------------------------------------------------------------------------------------------------- Convertible Securities...................................... -- $ 27,913 $ 76,296 Asset Allocation............................................ -- 16,103 18,585 Value....................................................... -- -- 39,946 MidCap Value................................................ -- -- 13,202 SmallCap Value.............................................. -- -- 3,034 Growth...................................................... $ 32,076 81,928 61,904 Strategic Growth............................................ 110,198 117,796 227,643 Capital Growth.............................................. 10,196 40,838 41,478 Focused Equities............................................ 112,609 375,725 145,695 MidCap Growth............................................... -- 24,894 142,174 21st Century................................................ 12,772 24,223 1,800 Small Company............................................... -- 38,429 48,702
Under the current tax law, capital and currency losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the fiscal year ended March 31, 2003, the following Funds elected to defer losses occurring between November 1, 2002 and March 31, 2003 under these rules, as follows: 98 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
CAPITAL LOSSES DEFERRED FUND (000) - ---------------------------------------------------------------------------- Convertible Securities...................................... $ -- Asset Allocation............................................ 20,006 Value....................................................... 11,827 MidCap Value................................................ 3,543 SmallCap Value.............................................. 2,359 Growth...................................................... 10,987 Strategic Growth............................................ 107,246 Capital Growth.............................................. 3,762 Focused Equities............................................ 25,850 MidCap Growth............................................... 65,208 21st Century................................................ 481 Small Company............................................... 50,732
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2004. 13. REORGANIZATIONS FUND REORGANIZATION On May 10, 2002, certain Funds, as listed below (each an "Acquiring Fund"), acquired the assets and assumed the liabilities of certain Nations Domestic Stock Funds, also listed below (each an "Acquired Fund"), in a tax-free reorganization in exchange for shares of the Acquiring Fund, pursuant to a plan of reorganization approved by the Acquired Fund's shareholders. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation/(depreciation) as of the reorganization date were as follows:
ACQUIRED FUND TOTAL NET ASSETS UNREALIZED TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND APPRECIATION/ OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION (DEPRECIATION) ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) - -------------------------------------------------------------------------------------------------------------------- Convertible Securities Equity Income $105,548 $ 679,809 $ 785,357 $ 1,440 Strategic Growth Blue Chip 566,410 1,174,477 1,740,887 37,555 Capital Growth Aggressive Growth 29,534 320,757 350,291 (583)
CHANGE OF REGISTERED INVESTMENT COMPANY On May 10, 2002, each Fund of Nations Fund Trust, except Convertible Securities of Nations Reserves listed in the left column below (each a "Fund") reorganized into a newly created successor fund of Nations Funds Trust listed in the right column below, that was substantially identical to the existing Fund. The acquisition was accomplished by a tax-free exchange of shares of each Fund for shares of equal value of the newly created successor fund. The financial statements of each successor fund reflects the historical financial results of each corresponding Fund prior to the reorganization.
FUND REORGANIZED INTO A NEWLY CREATED SUCCESSOR FUND - ---------------------------------------------------------------------------------------------- Convertible Securities Convertible Securities Strategic Growth Strategic Growth Capital Growth Capital Growth MidCap Growth MidCap Growth
On May 17, 2002, Value, of Nations Fund Trust and Small Company, of Nations Fund, Inc. (each a "Fund") reorganized into a newly created successor fund of Nations Funds Trust, that was substantially identical to the existing Fund. The acquisition was accomplished by a tax-free exchange of shares of each Fund for shares of equal value of the newly created successor fund. The financial statements of each successor fund reflects the historical financial results of each corresponding Fund prior to the reorganization. 99 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
FUND REORGANIZED INTO A NEWLY CREATED SUCCESSOR FUND - ---------------------------------------------------------------------------------------------- Value Value Small Company Small Company
CONVERSION OF COMMON TRUST FUNDS On July 19, 2002, certain Funds, as listed below (each an "Acquiring Fund"), acquired the net assets of certain common trust funds, managed by Bank of America, also listed below (each an "Acquired Fund"), in a tax-free exchange for shares of the Acquiring Fund. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized depreciation as of the conversion date were as follows:
TOTAL NET ASSETS ACQUIRED FUND TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION DEPRECIATION ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) - ---------------------------------------------------------------------------------------------------------------------------- Convertible Securities Bank of America Equity $ 11,664 $ 714,493 $ 726,157 $ (705) Income Fund Convertible Securities Bank of America Equity & 79,598 714,493 794,091 (6,595) Convertible Fund Value Bank of America Equity 4,521 504,398 508,919 (905) Value Fund Strategic Growth Bank of America Equity 429,632 1,400,063 1,829,695 (52,377) Fund Strategic Growth Bank of America 156,270 1,400,063 1,556,333 (6,141) Charitable Equity Fund Capital Growth Bank of America Equity 7,660 263,648 271,308 (645) Growth Fund MidCap Growth Bank of America Equity 139,116 419,239 558,355 (15) MidCap Fund Small Company Bank of America SmallCap 27,839 533,701 561,540 (8,949) Equity Fund
FUND REORGANIZATION On July 18, 2003, Value Fund ("Acquiring Fund"), acquired the assets and assumed the liabilities of Classic Value Fund and LargeCap Value Fund (each an "Acquired Fund"), in a tax-free reorganization in exchange for shares of the Acquiring Fund, pursuant to a plan of reorganization approved by the Acquired Fund's shareholders. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation/(depreciation) as of the reorganization date were as follows:
ACQUIRED FUND TOTAL NET ASSETS UNREALIZED TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND APPRECIATION/ OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION (DEPRECIATION) ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) - ----------------------------------------------------------------------------------------------------------- Value Classic Value $367,675 $675,324 $1,042,999 $(50,233) Value LargeCap Value 109,570 675,324 784,894 7,896
14. SUBSEQUENT EVENT On August 28, 2003, the Board of Trustees of Nations Funds approved an Agreement and Plan of Reorganization (the "Plan") pursuant to which Growth Fund will acquire all of the assets of Capital Growth Fund in exchange for shares of equal value of Growth Fund and the assumption by Growth Fund of all liabilities of Capital Growth Fund. If this Plan is approved by shareholders of Capital Growth Fund, the reorganization is expected to occur on or about January 23, 2004. Upon the closing of the reorganization, the assets received, including the securities received in the transaction, will be contributed to Growth Master Portfolio. 100 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Effective October 1, 2003, Marsico replaced BACAP as sub-adviser to the Capital Growth Fund. In addition, the Fund changed its investment objective and principal investment strategies. Effective November 1, 2003, Small Company Fund converted to a master/feeder structure. As a result of this change, the Fund invests all of its assets in Small Company Master Portfolio which has the same investment objective as the Fund. 15. EVENTS On September 3, 2003, the Office of the Attorney General for the State of New York ("NYAG") simultaneously filed and settled a complaint against Canary Capital Partners, LLC, et al. (collectively, "Canary"). The complaint alleged, among other things, that Canary engaged in improper trading in certain Nations Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and also "late trading." The NYAG later announced a criminal action, and the SEC announced a civil action, against a former employee of Banc of America Securities, LLC, a selling agent affiliated with the Nations Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name Nations Funds, among others, as defendants. The independent Trustees of Funds Trust and Master Trust have engaged independent legal counsel and, through them, independent accountants to determine the extent of any "late trading" or improper "market timing" activity in any of the Funds and to determine the extent of any losses suffered by the Funds from such activity and/or the amount of any disgorgement that should be made. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of Funds Trust and Master Trust jointly announced that: (i) to the extent that the independent counsel and accountants determine that the Funds were adversely affected by any late trading or any discretionary market timing agreement, BACAP would make appropriate restitution; and (ii) BACAP and BACAP Distributors would promptly return to the Funds that were the subject of a market timing agreement all advisory and administration fees they received as a result of such an agreement, irrespective as to whether or not there is an independent determination of any negative impact to any Fund shareholders. In addition, Bank of America Corporation has also agreed to make appropriate reimbursement of costs incurred by Nations Funds in connection with this matter. Bank of America Corporation has also announced the establishment of a restitution fund for shareholders of the Funds who were harmed by the late trading and improper market timing practices of Canary. With regard only to the commitment noted above to promptly return certain fees, the Funds recorded the following receivables to reflect the return of investment advisory fees earned by BACAP, or its predecessors, (net of waivers) and administration fees earned by BACAP Distributors, or its predecessors, (net of waivers, if any) related to a market timing agreement during the indicated periods as follows: Nations Convertible Securities Fund (May 2001 through July 2003) -- $44,200; Nations Value Fund (May 2003 through July 2003) -- $3,100; Nations Strategic Growth Fund (April 2003 through July 2003) -- $4,250; and Nations Small Company Fund (May 2001 through July 2003) -- $130,000. Each receivable is expected to be paid on or about November 28, 2003 and was recorded as a reimbursement in the Statement of operations of each impacted Fund. The receivables described in the preceding paragraphs reflect only the return of fees received by BACAP and BACAP Distributors as a result of a discretionary market timing agreement, and do not reflect Bank of America Corporation's pledge of restitution to those Funds that were adversely affected by any late trading or any discretionary market timing agreement. A review of the harm to Fund shareholders as a result of any late trading or any discretionary market timing arrangement remains ongoing. 101 NATIONS MASTER INVESTMENT TRUST Nations Marsico Growth Master Portfolio, Nations Strategic Growth Master Portfolio and Nations Marsico Focused Equities Master Portfolio Semi-Annual Report SEPTEMBER 30, 2003 (UNAUDITED) The following pages should be read in conjunction with Nations Marsico Growth, Nations Strategic Growth and Nations Marsico Focused Equities Funds' Semi-Annual Report. 102 NATIONS MASTER INVESTMENT TRUST Nations Marsico Growth Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - --------------------------------------------------------------------------------------- COMMON STOCKS -- 90.8% AEROSPACE AND DEFENSE -- 1.5% 299,396 Lockheed Martin Corporation................................... $ 13,817 -------- AIRLINES -- 1.7% 137,432 JetBlue Airways Corporation!!................................. 8,380 188,480 Ryanair Holdings plc, ADR!!(a)................................ 7,633 -------- 16,013 -------- AUTOMOTIVE -- 0.8% 190,964 Bayerische Motoren Werke (BMW) AG............................. 7,216 -------- BEVERAGES -- 0.9% 179,058 Anheuser-Busch Companies, Inc. ............................... 8,835 -------- BROADCASTING AND CABLE -- 3.3% 200,803 The Walt Disney Company....................................... 4,050 703,333 Viacom Inc., Class B.......................................... 26,938 -------- 30,988 -------- COMMERCIAL BANKING -- 5.1% 1,058,605 Citigroup Inc. ............................................... 48,177 -------- COMMERCIAL SERVICES -- 0.9% 162,109 eBay Inc.!!................................................... 8,674 -------- COMPUTERS AND OFFICE EQUIPMENT -- 3.8% 1,036,810 Dell Inc.!!................................................... 34,619 93,398 EMC Corporation!!............................................. 1,180 -------- 35,799 -------- CONSTRUCTION -- 0.1% 24,462 Jacobs Engineering Group Inc.!!............................... 1,103 -------- CONSUMER CREDIT AND MORTGAGES -- 3.5% 467,788 Fannie Mae.................................................... 32,839 -------- DEPARTMENT AND DISCOUNT STORES -- 4.3% 313,243 Sears, Roebuck and Company.................................... 13,698 480,726 Wal-Mart Stores, Inc. ........................................ 26,849 -------- 40,547 -------- DIVERSIFIED MANUFACTURING -- 3.2% 1,000,031 General Electric Company...................................... 29,811 -------- FINANCE -- MISCELLANEOUS -- 5.0% 1,209,200 SLM Corporation............................................... 47,110 -------- HEALTH SERVICES -- 7.8% 250,899 Quest Diagnostics Inc.!!...................................... 15,215 1,123,588 UnitedHealth Group Inc. ...................................... 56,538 -------- 71,753 --------
VALUE SHARES (000) - --------------------------------------------------------------------------------------- HEAVY MACHINERY -- 3.0% 409,088 Caterpillar Inc. ............................................. $ 28,162 -------- HOUSEHOLD PRODUCTS -- 2.0% 203,402 Procter & Gamble Company...................................... 18,880 -------- HOUSING AND FURNISHING -- 2.6% 191,769 Lennar Corporation, Class A................................... 14,917 17,308 Lennar Corporation, Class B................................... 1,298 151,732 M.D.C. Holdings, Inc. ........................................ 8,194 -------- 24,409 -------- INVESTMENT SERVICES -- 4.0% 81,009 Goldman Sachs Group, Inc. .................................... 6,797 571,663 Merrill Lynch & Company, Inc. ................................ 30,601 -------- 37,398 -------- LODGING AND RECREATION -- 2.3% 168,505 Four Seasons Hotels Inc. ..................................... 8,393 48,654 Harley-Davidson, Inc. ........................................ 2,345 613,952 Wynn Resorts, Ltd.!!(a)....................................... 11,162 -------- 21,900 -------- MEDICAL DEVICES AND SUPPLIES -- 3.8% 333,838 Boston Scientific Corporation!!............................... 21,299 252,984 Zimmer Holdings, Inc.!!....................................... 13,939 -------- 35,238 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 4.2% 1,532,502 Cisco Systems, Inc.!!......................................... 29,945 227,201 QUALCOMM Inc. ................................................ 9,461 -------- 39,406 -------- PHARMACEUTICALS -- 9.9% 457,984 Amgen Inc.!!.................................................. 29,572 1,026,680 Caremark Rx, Inc.!!........................................... 23,203 488,220 Genentech, Inc.!!............................................. 39,126 -------- 91,901 -------- PUBLISHING AND ADVERTISING -- 0.2% 88,739 Monster Worldwide Inc.!!...................................... 2,234 -------- RAILROADS, TRUCKING AND SHIPPING -- 3.7% 544,751 FedEx Corporation............................................. 35,098 -------- SEMICONDUCTORS -- 5.2% 1,769,873 Intel Corporation............................................. 48,689 -------- SOFTWARE -- 3.1% 314,190 Electronic Arts Inc.!!........................................ 28,978 -------- SPECIALTY STORES -- 4.1% 446,152 Lowe's Companies, Inc. ....................................... 23,155 415,046 Tiffany & Company............................................. 15,494 -------- 38,649 --------
SEE NOTES TO FINANCIAL STATEMENTS. 103 NATIONS MASTER INVESTMENT TRUST Nations Marsico Growth Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - --------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- 0.8% 194,650 Echostar Communications Corporation!!......................... $ 7,449 -------- TOTAL COMMON STOCKS (Cost $717,071)............................................. 851,073 -------- PRINCIPAL AMOUNT (000) - ---------- CONVERTIBLE BONDS AND NOTES -- 3.3% AIRLINES -- 1.0% $ 7,500 JetBlue Airways Corporation, 3.500% 07/15/33............................................. 9,188 -------- LODGING AND RECREATION -- 2.3% 20,000 Wynn Resorts, 6.000% 07/15/15............................................. 21,300 -------- TOTAL CONVERTIBLE BONDS AND NOTES (Cost $27,105).............................................. 30,488 -------- SHORT TERM INVESTMENTS -- 3.2% FEDERAL HOME LOAN BANK (FHLB) -- 3.2% (Cost $30,000) 30 Discount note 10/01/03...................................... 29,999 -------- SHARES (000) - ---------- INVESTMENT COMPANIES -- 1.0% (Cost $9,177) 9,177 Nations Cash Reserves, Capital Class Shares#.................. 9,177 --------
VALUE (000) - --------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $783,353*).................................. 98.3% $920,737 -------- OTHER ASSETS AND LIABILITIES (NET)................................. 1.7% Unrealized appreciation on forward foreign exchange contracts................................................... $ 12 Receivable for investment securities sold..................... 27,529 Dividends receivable.......................................... 375 Interest receivable........................................... 338 Unrealized depreciation on forward foreign exchange contracts................................................... (228) Collateral on securities loaned............................... (9,080) Investment advisory fee payable............................... (581) Administration fee payable.................................... (78) Payable for investment securities purchased................... (1,872) Accrued Trustees' fees and expenses........................... (31) Accrued expenses and other liabilities........................ (29) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... 16,355 -------- NET ASSETS.......................................... 100.0% $937,092 ========
- --------------- *Federal income tax information: Net unrealized appreciation of $137,384 on investment securities was comprised of gross appreciation of $143,674 and depreciation of $6,290 for federal income tax purposes. At September 30, 2003, the aggregate cost for federal income tax purposes was $783,353. !! Non-income producing security. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 6). The portion that represents cash collateral is $9,080. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $6,697 and $8,753, respectively. ABBREVIATIONS: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 104 NATIONS MASTER INVESTMENT TRUST Nations Strategic Growth Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- COMMON STOCKS -- 94.8% AEROSPACE AND DEFENSE -- 2.0% 157,425 General Dynamics Corporation.................................. $ 12,289 299,475 United Technologies Corporation............................... 23,143 ---------- 35,432 ---------- AUTOMOTIVE -- 1.4% 478,075 Lear Corporation!!............................................ 25,166 ---------- BEVERAGES -- 2.6% 350,600 Coca-Cola Company............................................. 15,062 685,220 PepsiCo, Inc. ................................................ 31,403 ---------- 46,465 ---------- BROADCASTING AND CABLE -- 5.7% 831,340 AOL Time Warner Inc.!!........................................ 12,562 505,575 Clear Channel Communications, Inc. ........................... 19,364 1,282,250 Comcast Corporation, Class A!!................................ 37,877 450,725 The Walt Disney Company....................................... 9,091 613,425 Viacom Inc., Class B.......................................... 23,494 ---------- 102,388 ---------- CHEMICALS -- BASIC -- 0.7% 162,075 E.I. duPont de Nemours and Company............................ 6,485 215,450 The Dow Chemical Company...................................... 7,010 ---------- 13,495 ---------- COMMERCIAL BANKING -- 6.2% 1,299,137 Citigroup Inc. ............................................... 59,123 594,550 FleetBoston Financial Corporation............................. 17,926 672,750 Mellon Financial Corporation.................................. 20,277 737,850 US Bancorp.................................................... 17,701 ---------- 115,027 ---------- COMPUTER SERVICES -- 0.8% 283,875 Affiliated Computer Services, Inc., Class A!!................. 13,822 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 3.0% 458,075 Dell Inc.!!................................................... 15,295 586,975 Hewlett-Packard Company....................................... 11,364 312,300 International Business Machines Corporation................... 27,585 ---------- 54,244 ---------- CONSUMER CREDIT AND MORTGAGES -- 3.9% 660,325 American Express Company...................................... 29,754 283,875 Freddie Mac................................................... 14,861 1,111,499 MBNA Corporation.............................................. 25,342 ---------- 69,957 ---------- DEPARTMENT AND DISCOUNT STORES -- 4.6% 248,000 Kohl's Corporation!!.......................................... 13,268 634,612 Target Corporation............................................ 23,880 809,200 Wal-Mart Stores, Inc. ........................................ 45,194 ---------- 82,342 ----------
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- DIVERSIFIED MANUFACTURING -- 3.3% 1,720,075 General Electric Company...................................... $ 51,276 321,900 Honeywell International Inc. ................................. 8,482 ---------- 59,758 ---------- ELECTRIC POWER -- NON NUCLEAR -- 0.6% 491,775 TXU Corporation............................................... 11,586 ---------- ELECTRIC POWER -- NUCLEAR -- 0.6% 373,750 American Electric Power Company, Inc. ........................ 11,213 ---------- FINANCE -- MISCELLANEOUS -- 0.8% 360,550 SLM Corporation............................................... 14,047 ---------- FINANCIAL SERVICES -- 1.1% 565,475 J.P. Morgan Chase & Company................................... 19,413 ---------- HEALTH SERVICES -- 2.7% 243,000 Quest Diagnostics Inc.!!(a)................................... 14,736 413,925 UnitedHealth Group Inc. ...................................... 20,828 160,975 Wellpoint Health Networks Inc.!!.............................. 12,408 ---------- 47,972 ---------- HOUSEHOLD PRODUCTS -- 2.1% 300,125 Colgate-Palmolive Company..................................... 16,774 229,350 Procter & Gamble Company...................................... 21,288 ---------- 38,062 ---------- INSURANCE -- 5.6% 1,397,500 ACE Ltd. ..................................................... 46,229 419,475 Hartford Financial Services Group, Inc. ...................... 22,077 423,025 XL Capital Ltd., Class A...................................... 32,759 ---------- 101,065 ---------- INTEGRATED OIL -- 5.5% 274,325 Apache Corporation............................................ 19,022 421,300 BP Amoco plc, ADR............................................. 17,737 274,309 ChevronTexaco Corporation..................................... 19,599 1,151,140 Exxon Mobil Corporation....................................... 42,132 ---------- 98,490 ---------- INVESTMENT SERVICES -- 4.9% 226,750 Goldman Sachs Group, Inc. .................................... 19,024 264,650 Lehman Brothers Holdings Inc. ................................ 18,282 701,886 Merrill Lynch & Company, Inc. ................................ 37,572 266,875 Morgan Stanley................................................ 13,467 ---------- 88,345 ---------- LODGING AND RECREATION -- 1.9% 1,005,988 Starwood Hotels & Resorts Worldwide, Inc. .................... 35,008 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 105 NATIONS MASTER INVESTMENT TRUST Nations Strategic Growth Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- 4.2% 437,625 Abbott Laboratories........................................... $ 18,621 614,025 Johnson & Johnson............................................. 30,406 568,710 Medtronic, Inc. .............................................. 26,684 ---------- 75,711 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.2% 1,991,325 Cisco Systems, Inc.!!......................................... 38,910 ---------- OILFIELD SERVICES -- 2.1% 550,775 Baker Hughes Inc. ............................................ 16,297 347,025 GlobalSantaFe Corporation..................................... 8,311 332,838 Nabors Industries, Ltd.!!..................................... 12,402 ---------- 37,010 ---------- PAPER AND FOREST PRODUCTS -- 0.4% 469,200 Smurfit-Stone Container Corporation!!......................... 7,029 ---------- PHARMACEUTICALS -- 6.9% 210,475 Amgen Inc.!!.................................................. 13,590 138,750 Eli Lilly and Company......................................... 8,242 417,750 Merck & Company, Inc. ........................................ 21,147 1,792,770 Pfizer Inc. .................................................. 54,465 291,788 Teva Pharmaceutical Industries Ltd., ADR...................... 16,676 229,800 Watson Pharmaceuticals, Inc.!!................................ 9,580 ---------- 123,700 ---------- RAILROADS, TRUCKING AND SHIPPING -- 1.3% 196,700 FedEx Corporation............................................. 12,674 156,650 United Parcel Service, Inc., Class B.......................... 9,994 ---------- 22,668 ---------- SEMICONDUCTORS -- 4.8% 1,104,950 Fairchild Semiconductor Corporation, Class A!!................ 18,320 1,969,350 Intel Corporation............................................. 54,177 283,875 KLA-Tencor Corporation!!...................................... 14,591 ---------- 87,088 ---------- SOFTWARE -- 7.0% 467,275 Electronic Arts Inc.!!........................................ 43,097 2,178,100 Microsoft Corporation......................................... 60,530 1,404,725 Oracle Corporation!!.......................................... 15,761 483,825 PeopleSoft, Inc.!!............................................ 8,801 ---------- 128,189 ---------- SPECIALTY STORES -- 4.0% 663,900 Abercrombie & Fitch Company!!................................. 18,397 750,854 Home Depot, Inc. ............................................. 23,915 1,195,050 Limited Brands................................................ 18,021 500,000 Nordstrom, Inc. .............................................. 12,405 ---------- 72,738 ---------- TELECOMMUNICATIONS SERVICES -- 0.5% 292,200 Verizon Communications Inc. .................................. 9,479 ----------
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- TOBACCO -- 1.4% 592,375 Altria Group, Inc. ........................................... $ 25,946 ---------- TOTAL COMMON STOCKS (Cost $1,452,256)........................................... 1,711,765 ---------- SHARES (000) - --------- INVESTMENT COMPANIES -- 8.9% 475 iShares Dow Jones U.S. Basic Materials Sector Index Fund...... 17,708 300 iShares Nasdaq Biotechnology Index Fund(a).................... 21,525 289 iShares Russell 2000 Index Fund(a)............................ 28,067 615 Nasdaq 100 Index Tracking Stock Fund(a)....................... 19,945 73,492 Nations Cash Reserves, Capital Class Shares#.................. 73,492 ---------- TOTAL INVESTMENT COMPANIES (Cost $157,185)............................................. 160,737 ---------- TOTAL INVESTMENTS (Cost $1,609,441*)................................ 103.7% 1,872,502 ---------- OTHER ASSETS AND LIABILITIES (NET).................. (3.7)% Dividends receivable.......................................... $ 2,108 Interest receivable........................................... 13 Receivable from investment adviser............................ 4 Collateral on securities loaned............................... (68,390) Investment advisory fee payable............................... (992) Administration fee payable.................................... (76) Due to custodian.............................................. (8) Accrued Trustees' fees and expenses........................... (32) Accrued expenses and other liabilities........................ (46) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (67,419) ---------- NET ASSETS.......................................... 100.0% $1,805,083 ==========
- --------------- *Federal income tax information: net unrealized appreciation of $263,061 on investment securities was comprised of gross appreciation of $294,921 and gross depreciation of $31,860 for federal income tax purposes. At September 30, 2003, the aggregate cost of securities for federal income tax purposes was $1,609,441. !! Non-income producing security. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 6). The portion that represents cash collateral is $68,390. (a) All or portion of security was on loan September 30, 2003. The aggregate cost and market value of securities on loan September 30, 2003 is $61,142 and $65,621, respectively. ABBREVIATIONS: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 106 NATIONS MASTER INVESTMENT TRUST Nations Marsico Focused Equities Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ----------------------------------------------------------------------------------------- COMMON STOCKS -- 96.7% AUTOMOTIVE -- 3.1% 1,763,095 Bayerische Motoren Werke (BMW) AG............................. $ 66,627 ---------- BEVERAGES -- 0.3% 129,860 Anheuser-Busch Companies, Inc. ............................... 6,407 ---------- BROADCASTING AND CABLE -- 3.5% 475,052 The Walt Disney Company....................................... 9,582 1,728,923 Viacom Inc., Class B.......................................... 66,218 ---------- 75,800 ---------- COMMERCIAL BANKING -- 4.5% 2,133,164 Citigroup Inc. ............................................... 97,080 ---------- COMMERCIAL SERVICES -- 2.2% 886,342 eBay Inc.!!................................................... 47,428 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 3.6% 2,349,934 Dell Inc.!!................................................... 78,464 ---------- CONSUMER CREDIT AND MORTGAGES -- 4.3% 1,341,361 Fannie Mae.................................................... 94,164 ---------- DEPARTMENT AND DISCOUNT STORES -- 5.5% 1,166,400 Sears, Roebuck and Company.................................... 51,007 1,212,270 Wal-Mart Stores, Inc. ........................................ 67,705 ---------- 118,712 ---------- DIVERSIFIED MANUFACTURING -- 3.3% 2,420,623 General Electric Company...................................... 72,159 ---------- FINANCE -- MISCELLANEOUS -- 6.0% 3,322,872 SLM Corporation............................................... 129,459 ---------- HEALTH SERVICES -- 9.0% 671,093 Quest Diagnostics Inc.!!(a)................................... 40,695 3,108,828 UnitedHealth Group Inc. ...................................... 156,436 ---------- 197,131 ---------- HEAVY MACHINERY -- 3.0% 959,675 Caterpillar Inc. ............................................. 66,064 ---------- HOUSING AND FURNISHING -- 2.3% 617,304 Lennar Corporation, Class A................................... 48,020 22,507 Lennar Corporation, Class B................................... 1,688 ---------- 49,708 ---------- INVESTMENT SERVICES -- 4.1% 187,994 Goldman Sachs Group, Inc. .................................... 15,773 1,358,777 Merrill Lynch & Company, Inc. ................................ 72,735 ---------- 88,508 ----------
VALUE SHARES (000) - ----------------------------------------------------------------------------------------- LODGING AND RECREATION -- 1.7% 740,564 Four Seasons Hotels Inc. ..................................... $ 36,887 ---------- MEDICAL DEVICES AND SUPPLIES -- 2.3% 774,774 Boston Scientific Corporation!!............................... 49,431 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 7.6% 5,091,350 Cisco Systems, Inc.!!......................................... 99,485 1,579,247 QUALCOMM Inc. ................................................ 65,760 ---------- 165,245 ---------- PHARMACEUTICALS -- 8.8% 1,257,797 Amgen Inc.!!.................................................. 81,216 1,377,351 Genentech, Inc.!!............................................. 110,381 ---------- 191,597 ---------- RAILROADS, TRUCKING AND SHIPPING -- 3.1% 1,061,041 FedEx Corporation............................................. 68,363 ---------- SEMICONDUCTORS -- 7.9% 6,265,705 Intel Corporation............................................. 172,370 ---------- SOFTWARE -- 3.6% 852,547 Electronic Arts Inc.!!........................................ 78,630 ---------- SPECIALTY STORES -- 7.0% 1,275,117 Lowe's Companies, Inc. ....................................... 66,179 2,280,353 Tiffany & Company............................................. 85,125 ---------- 151,304 ---------- TOTAL COMMON STOCKS (Cost $1,716,633)........................................... 2,101,538 ---------- PRINCIPAL AMOUNT (000) - ---------- SHORT TERM INVESTMENTS -- 1.2% FEDERAL HOME LOAN BANK (FHLB) -- 1.2% (Cost $26,800) $ 26,800 Discount note 10/01/03...................................... 26,799 ---------- SHARES (000) - ---------- INVESTMENT COMPANIES -- 0.1% (Cost $1,407) 1,407 Nations Cash Reserves, Capital Class Shares#.................. 1,407 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 107 NATIONS MASTER INVESTMENT TRUST Nations Marsico Focused Equities Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - ----------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $1,744,840*)................................ 98.0% $2,129,744 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. 2.0% Unrealized appreciation on forward foreign exchange contracts................................................... $ 107 Receivable for investment securities sold..................... 64,228 Dividends receivable.......................................... 1,077 Unrealized depreciation on forward foreign exchange contracts................................................... (2,102) Collateral on securities loaned............................... (1,333) Investment advisory fee payable............................... (1,363) Administration fee payable.................................... (182) Due to custodian.............................................. (14) Payable for investment securities purchased................... (17,198) Accrued Trustees' fees and expenses........................... (31) Accrued expenses and other liabilities........................ (40) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 43,149 ---------- NET ASSETS.......................................... 100.0% $2,172,893 ==========
- --------------- *Federal income tax information: net unrealized appreciation of $384,904 on investment securities was comprised of gross appreciation of $391,281 and depreciation of $6,377 for federal income tax purposes. At September 30, 2003, the aggregate cost for federal income tax purposes was $1,744,840. !! Non-income producing security. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 6). The portion that represents cash collateral is $1,333. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $1,158 and $1,304, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 108 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2003
GROWTH STRATEGIC GROWTH FOCUSED EQUITIES MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO ------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (net of foreign withholding taxes of $25, $44 and $163, respectively)...................................... $ 2,550 $ 12,869 $ 7,602 Dividend income from affiliated funds...................... 1 95 1 Interest................................................... 710 1 321 Securities lending......................................... 19 84 87 ----------------- ----------------- ----------------- Total investment income................................ 3,280 13,049 8,011 ----------------- ----------------- ----------------- EXPENSES: Investment advisory fee.................................... 2,963 5,950 7,277 Administration fee......................................... 395 458 970 Custodian fees............................................. 30 61 70 Legal and audit fees....................................... 21 20 20 Trustees' fees and expenses................................ 10 10 10 Interest expense........................................... --* 13 -- Other...................................................... 6 9 9 ----------------- ----------------- ----------------- Total expenses......................................... 3,425 6,521 8,356 Fees reduced by credits allowed by the custodian........... (1) (5) --* Reimbursement from investment adviser...................... -- (4) -- ----------------- ----------------- ----------------- Net expenses........................................... 3,424 6,512 8,356 ----------------- ----------------- ----------------- NET INVESTMENT INCOME (LOSS)............................... (144) 6,537 (345) ----------------- ----------------- ----------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: NET REALIZED GAIN/(LOSS) FROM: Security transactions.................................... 4,927 (27,011) (13,348) Foreign currency and net other assets.................... (77) -- (274) ----------------- ----------------- ----------------- Net realized gain/(loss) on investments.................... 4,850 (27,011) (13,622) Change in unrealized appreciation/(depreciation) of securities (see Note 7).................................. 118,590 309,681 333,009 ----------------- ----------------- ----------------- Net realized and unrealized gain/(loss) on investments..... 123,440 282,670 319,387 ----------------- ----------------- ----------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............................................... $ 123,296 $ 289,207 $ 319,042 ================= ================= =================
- --------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 109 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF CHANGES IN NET ASSETS
GROWTH STRATEGIC GROWTH FOCUSED EQUITIES MASTER PORTFOLIO MASTER PORTFOLIO MASTER PORTFOLIO ------------------------------- ------------------------------- ------------------------------- SIX MONTHS YEAR SIX MONTHS PERIOD SIX MONTHS YEAR ENDED 9/30/03 ENDED ENDED 9/30/03 ENDED ENDED 9/30/03 ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03(A) (UNAUDITED) 3/31/03 --------------------------------------------------------------------------------------------------- (IN THOUSANDS) Net investment income (loss).................... $ (144) $ (256) $ 6,537 $ 15,990 $ (345) $ (1,349) Net realized gain/(loss) on investments............... 4,850 (56,054) (27,011) (307,912) (13,622) (144,493) Net change in unrealized appreciation/(depreciation) of investments............ 118,590 (55,989) 309,681 (66,021) 333,009 (200,520) -------------- -------------- -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................ 123,296 (112,299) 289,207 (357,943) 319,042 (346,362) Contributions............... 471,847 355,744 221,016 2,787,500 793,285 671,900 Withdrawals................. (247,779) (179,554) (410,141) (724,556) (523,149) (489,374) -------------- -------------- -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets................ 347,364 63,891 100,082 1,705,001 589,178 (163,836) NET ASSETS: Beginning of period......... 589,728 525,837 1,705,001 -- 1,583,715 1,747,551 -------------- -------------- -------------- -------------- -------------- -------------- End of period............... $ 937,092 $ 589,728 $ 1,805,083 $ 1,705,001 $ 2,172,893 $ 1,583,715 ============== ============== ============== ============== ============== ==============
- --------------- (a)Strategic Growth Master Portfolio commenced operations on May 13, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 110 NATIONS MASTER INVESTMENT TRUST FINANCIAL HIGHLIGHTS
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------- RATIO OF RATIO OF NET RATIO OF OPERATING INVESTMENT OPERATING EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO TOTAL TO AVERAGE TO AVERAGE TURNOVER AVERAGE RETURN NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------- GROWTH MASTER PORTFOLIO: Six months ended 9/30/2003 (unaudited).......... 19.16% 0.87%+(d)(e) (0.04)%+ 39% 0.87%+(d) Year ended 3/31/2003............................ (18.90) 0.87(d)(e) (0.05) 107 0.87(d)(e) Year ended 3/31/2002............................ (0.53) 0.87(d)(e) (0.13) 114 0.87(d)(e) Year ended 3/31/2001............................ --@ 0.86(d) 0.20 113 0.86(d) Period ended 3/31/2000(a)....................... --@ 0.86+(d) (0.04)+ 60 0.86+(d) STRATEGIC GROWTH MASTER PORTFOLIO: Six months ended 9/30/2003 (unaudited).......... 17.54% 0.71%+(d)(e) 0.71%+ 27% 0.71%+(b)(d) Period ended 3/31/2003(f)....................... (22.08) 0.71+(d)(e) 0.96+ 77 0.71+(d)(e) FOCUSED EQUITIES MASTER PORTFOLIO: Six months ended 9/30/2003 (unaudited).......... 19.68% 0.86%+(d) (0.04)%+ 40% 0.86%+(d) Year ended 3/31/2003............................ (19.02) 0.86(d)(e) (0.08) 115 0.86(d)(e) Year ended 3/31/2002............................ 3.50 0.86(d)(e) (0.08) 129 0.86(d)(e) Year ended 3/31/2001............................ --@ 0.86(d)(e) 0.17 134 0.86(d) Period ended 3/31/2000(c)....................... --@ 0.84+(d) (0.07)+ 84 0.84+(d)
- --------------- + Annualized. (a)Growth Master Portfolio commenced operations on October 8, 1999. (b)The Reimbursement from Investment Adviser (see Note 9) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement to the operating expense ratio (with waivers) was less than 0.01%. (c)Focused Equities Master Portfolio commenced operations on October 8, 1999. (d)The effect of the custodial expense offset (see Note 2) on the operating expense ratio, with and without waivers and/or expenses, was less than 0.01%. (e)The effect of interest expense on the operating expense ratio was less than 0.01%. (f) Strategic Growth Master Portfolio commenced operations on May 13, 2002. @ Total return not required for periods indicated. SEE NOTES TO FINANCIAL STATEMENTS. 111 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (UNAUDITED) Nations Master Investment Trust (the "Master Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. At September 30, 2003, the Master Trust offered twelve separate portfolios. These financial statements pertain only to Nations Marsico Growth Master Portfolio, Nations Strategic Growth Master Portfolio and Nations Marsico Focused Equities Master Portfolio (each a "Master Portfolio" and collectively, the "Master Portfolios"). Financial statements for the other portfolios of the Master Trust are presented under separate cover. Certain Funds invest in securities of foreign issuers. There are certain risks involved in investing in foreign securities that are in addition to the usual risks inherent in domestic instruments. These risks include those resulting from currency fluctuations, future adverse political and economic developments and possible imposition of currency exchange blockages or other foreign government laws or restrictions. The following investors were invested in the Master Portfolios at September 30, 2003: GROWTH MASTER PORTFOLIO: Nations Marsico Growth Fund................................. 95.2% Nations Marsico Growth Fund (Offshore)...................... 2.6% Banc of America Capital Management Funds I - Growth Fund.... 2.2% STRATEGIC GROWTH MASTER PORTFOLIO: Nations Strategic Growth Fund............................... 98.6% Nations Strategic Growth Fund (Offshore).................... 1.4% FOCUSED EQUITIES MASTER PORTFOLIO: Nations Marsico Focused Equities Fund....................... 98.3% Nations Marsico Focused Equities Fund (Offshore)............ 1.3% Banc of America Capital Management Funds I - Focused Equities Fund............................................. 0.4%
1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Master Portfolios in the preparation of their financial statements. Securities valuation: Securities, including options and futures contracts, traded on a recognized exchange are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on NASDAQ are valued at the NASDAQ official closing price. Securities traded only over-the-counter are valued at the last sale price, or if no sale occurred on such day, at the mean of the current bid and asked prices. Certain securities may be valued using broker quotations or on the basis of prices provided by pricing services. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. Investments in other Nations Funds are valued at their net asset value as determined by the applicable Nations Funds' prospectus. Futures contracts: All Master Portfolios may invest in futures contracts for the purposes of hedging against changes in values of the Portfolios' securities or changes in the prevailing levels of interest rates or currency exchange rates or to gain exposure to the equity market. Upon entering into a futures contract, a Master Portfolio is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Master Portfolio each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect changes in the market value of the contract. When the contract is closed, a Master Portfolio records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts, that a change in the value 112 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) of the contract may not correlate with a change in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. Options: The Funds may purchase and write call and put options on securities, futures and swap contracts ("swaptions"). A Fund may use such options on futures contracts in connection with its hedging strategies in lieu of purchasing and writing options directly on the underlying securities or stock indices or purchasing and selling the underlying futures, and to seek to enhance return. The Funds may write covered call options and put options on securities in which they are permitted to invest from time to time in seeking to attain each Fund's objective. Call options written by a Fund give the holder the right to buy the underlying securities from the Fund at a stated exercise price; put options give the holder the right to sell the underlying security to the Fund at a stated price. In the case of put options, a Fund is required to maintain in a separate account liquid assets with a value equal to or greater than the exercise price of the underlying securities. The Funds may also write combinations of covered puts and calls on the same underlying security. 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. Because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from the repurchase of a call option is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by a Fund. Foreign currency transactions: The books and records of the Master Portfolios are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Master Portfolio and the amounts actually received. The effects of changes in foreign currency exchange rates on securities are not separately identified in the Statements of operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on securities. Forward foreign currency transactions: Generally, each Master Portfolio may enter into forward currency exchange contracts only under two circumstances: (i) when a Master Portfolio enters into a contract for the purchase or sale of a security denominated in a foreign currency, to "lock in" the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when the investment adviser or sub-adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar. Forward foreign currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by a Master Portfolio as an unrealized gain or loss. When the contract is closed or offset with the same counterparty, a Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset. 113 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Forward foreign currency contracts will be used primarily to protect the Master Portfolio from adverse currency movements and will generally not be entered into for terms greater than one year. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Master Portfolio's investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency contract would limit the risk of loss due to decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of net assets. In addition, the Master Portfolios could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. The use of derivative instruments involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statement of net assets. Securities transactions and investment income: Securities transactions are recorded on trade date. Realized gains and losses are computed based on the specific identification of securities sold. Interest income, adjusted for accretion of discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income (including dividend income from affiliated funds) is recorded on ex-dividend date. Each investor in the Portfolio is treated as an owner of its proportionate share of the net assets, income, expenses, realized and unrealized gains and losses of the Portfolio. Federal income taxes: The Master Portfolios are treated as partnerships for federal income tax purposes and therefore are not subject to federal income tax. Each investor in the Master Portfolios will be subject to taxation on its allocated share of the Master Portfolio's ordinary income and capital gains. Expenses: General expenses of the Master Trust are allocated to the Master Portfolios based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Master Portfolio are charged to such Portfolio. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS The Master Trust has entered into an investment advisory agreement (the "Investment Advisory Agreement") with Banc of America Capital Management, LLC ("BACAP"), 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 BACAP provides investment advisory services to the Master Portfolios. Under the terms of the Investment Advisory Agreement, BACAP is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Master Portfolio:
ANNUAL RATE ------ Growth Master Portfolio..................................... 0.75% Strategic Growth Master Portfolio........................... 0.65% Focused Equities Master Portfolio........................... 0.75%
The Master Trust has, on behalf of the Growth and Focused Equities Master Portfolios, entered into a sub-advisory agreement with BACAP and Marsico Capital Management, LLC ("Marsico"), a wholly-owned subsidiary of Bank of America, pursuant to which Marsico is entitled to receive a sub-advisory fee from BACAP at the maximum annual rate of 0.45% of each Master Portfolio's average daily net assets. BACAP Distributors, LLC ("BACAP Distributors"), a wholly-owned subsidiary of Bank of America, serves as sole administrator of the Master Trust. Under the administration agreement, BACAP Distributors is currently entitled to receive a fee, computed daily and paid monthly, at the maximum annual rate of 0.05% of the Strategic Growth Master Portfolio's average daily net assets and 0.10% of the Growth and Focused Equities Master Portfolios' average daily net 114 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) assets. The Bank of New York ("BNY") serves as sub-administrator of the Master Trust pursuant to an agreement with BACAP Distributors. For the six months ended September 30, 2003, BACAP Distributors earned 0.10% (annualized) of the Growth and Focused Equities Master Portfolios' average daily net assets and 0.05% (annualized) of the Strategic Growth Master Portfolio's average daily net assets for its administration services. BNY serves as the custodian of the Master Trust's assets. For the six months ended September 30, 2003, expenses of the Master Portfolios were reduced by $6,452 under expense offset arrangements with BNY. The Master Portfolios could have invested a portion of the assets utilized in connection with the expense offset arrangements in an income producing asset if they had not entered into such arrangements. For the six months ended September 30, 2003, Strategic Growth Master Portfolio paid commissions of $90,788 to certain affiliates of BACAP in connection with the execution of various portfolio transactions. No officer, director or employee of Bank of America or BACAP, or any affiliate thereof, receives any compensation from the Master Trust for serving as a Trustee or Officer of the Master Trust. The Master Trust's eligible Trustees may participate in a non-qualified deferred compensation plan which may be terminated at any time. All benefits provided under this plan are unfunded and any payments to plan participants are paid solely out of the Master Portfolios' assets. Income earned on the plan participant's deferral account is based on the rate of return of the eligible mutual funds selected by the participants or, if no funds are selected, on the rate of return of Nations Treasury Reserves, a portfolio of Nations Funds Trust, another registered investment company in the Nations Funds family. The expense for the deferred compensation plan is included in "Trustees' fees and expenses" in the Statements of operations. The liability for the deferred compensation plan is included in "Accrued Trustees' fees and expenses" in the Statement of net assets. The Master Portfolios have made daily investments of cash balances in Nations Cash Reserves, a portfolio of Nations Funds Trust, pursuant to an exemptive order received from the Securities and Exchange Commission. The income earned by each Master Portfolio from such investments is included in its Statement of operations as "Dividend income from affiliated funds". BACAP and BACAP Distributors have earned fees related to investments in affiliated funds. 3. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) --------------------- Growth Master Portfolio..................................... $507,231 $271,579 Strategic Growth Master Portfolio........................... 480,059 616,380 Focused Equities Master Portfolio........................... 953,374 743,466
115 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 4. FORWARD FOREIGN CURRENCY CONTRACTS At September 30, 2003, the Growth Master Portfolio and Focused Equities Master Portfolio had the following forward foreign currency contracts outstanding:
VALUE OF VALUE OF UNREALIZED CONTRACT CONTRACT MARKET VALUE APPRECIATION/ WHEN OPENED WHEN OPENED OF CONTRACT (DEPRECIATION) LOCAL (LOCAL CURRENCY) (US DOLLARS) (US DOLLARS) (US DOLLARS) DESCRIPTION CURRENCY (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- GROWTH PORTFOLIO: CONTRACTS TO BUY Expiring December 17, 2003....................... Euro 708 $ 811 $ 823 $ 12 ------- CONTRACTS TO SELL: Expiring December 17, 2003....................... Euro (6,544) $ (7,376) $ (7,604) $ (228) ------- Total net unrealized depreciation................ $ (216) ======= FOCUSED EQUITIES PORTFOLIO: CONTRACTS TO BUY Expiring December 17, 2003....................... Euro 6,532 $ 7,484 $ 7,591 $ 107 ------- CONTRACTS TO SELL: Expiring December 17, 2003....................... Euro (60,415) $(68,101) $(70,203) $(2,102) ------- Total net unrealized depreciation................ $(1,995) =======
5. LINE OF CREDIT The Master Trust participates with other Nations Funds in a $1 billion uncommitted line of credit provided by BNY under a line of credit agreement (the "Agreement"). The Agreement is renewable on an annual basis. Advances under the Agreement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable at a specified Federal Funds rate plus 0.50% on an annualized basis. Each participating Master Portfolio maintains a ratio of net assets (not including amounts borrowed pursuant to the Agreement) to the aggregate amount of indebtedness pursuant to the Agreement of no less than 4 to 1. The Master Portfolios had no borrowings outstanding at September 30, 2003. During the six months ended September 30, 2003, borrowings by the Master Portfolios under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST PORTFOLIO (000) RATE - -------------------------------------------------------------------------------------- Growth Master Portfolio..................................... $ 2 1.50% Strategic Growth Master Portfolio........................... 1,711 1.61
- --------------- *The average amount outstanding was calculated based on daily balances in the period. 6. SECURITIES LENDING Under an agreement with BNY, the Master Portfolios can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned. The cash collateral received is invested in Nations Cash Reserves. A portion of the income generated by the investment of the collateral, net of any rebates paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder is paid to the Master Portfolios. Generally, in the event of counterparty default, the Master Portfolio has the right to use the collateral to offset losses incurred. There would be a potential loss to the Master Portfolio in the event the Master Portfolio is delayed or prevented from exercising its right to dispose of the collateral. The Master Portfolio bears the risk of loss with respect to the investment of collateral. 116 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At September 30, 2003, the following Master Portfolios had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL (000) (000) ---------------------------------- Growth Master Portfolio..................................... $ 8,753 $ 9,080 Strategic Growth Master Portfolio........................... 65,621 68,390 Focused Equities Master Portfolio........................... 1,304 1,333
7. REORGANIZATIONS FUND REORGANIZATION On May 10, 2002, the assets and liabilities of Nations Blue Chip Fund (the "Fund"), an investor in Nations Blue Chip Master Portfolio, were reorganized into Nations Strategic Growth Fund (the "Acquiring Fund"). Because the assets of Nations Blue Chip Fund were held at the master portfolio level, this transfer was accomplished through a reorganization of Nations Blue Chip Master Portfolio into Nations Strategic Growth Master Portfolio. Immediately afterward, the assets of the Acquiring Fund were contributed to Nations Strategic Growth Master Portfolio in exchange for interests in that Master Portfolio. Each transfer was in exchange for shares of equal value of the designated classes of the Acquiring Fund. The reorganization was tax-free whereby the Acquiring Fund assumed the market value and cost basis of the portfolio positions in Nations Blue Chip Master Portfolio. 8. SUBSEQUENT EVENT On August 28, 2003, the Board of Trustees of Nations Funds approved an Agreement and Plan of Reorganization (the "Plan") pursuant to which Growth Fund will acquire all of the assets of Capital Growth Fund in exchange for shares of equal value of Growth Fund and the assumption by Growth Fund of all liabilities of Capital Growth Fund. If this Plan is approved by shareholders of Capital Growth Fund, the reorganization is expected to occur on or about January 23, 2004. Upon the closing of the reorganization, the assets received, including the securities received in the transaction, will be contributed to Growth Master Portfolio. 9. EVENTS On September 3, 2003, the Office of the Attorney General for the State of New York ("NYAG") simultaneously filed and settled a complaint against Canary Capital Partners, LLC, et al. (collectively, "Canary"). The complaint alleged, among other things, that Canary engaged in improper trading in certain Nations Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and also "late trading." The NYAG later announced a criminal action, and the SEC announced a civil action, against a former employee of Banc of America Securities, LLC, a selling agent affiliated with the Nations Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name Nations Funds, among others, as defendants. The independent Trustees of Funds Trust and Master Trust have engaged independent legal counsel and, through them, independent accountants to determine the extent of any "late trading" or improper "market timing" activity in any of the Funds and to determine the extent of any losses suffered by the Funds from such activity and/or the amount of any disgorgement that should be made. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds Trust and Master Trust jointly announced that: (i) to the extent that the independent counsel and accountants determine that the Funds were adversely affected by any late trading or any discretionary market timing agreement, BACAP would make appropriate restitution; and (ii) BACAP and BACAP Distributors would promptly return to the Funds that were the subject of a market timing agreement all advisory and administration fees they received as a result of such an agreement, irrespective as to whether or not there is an independent determination of any negative impact to any Fund shareholders. In addition, Bank of America Corporation has also agreed to make appropriate reimbursement of costs incurred by Nations Funds in connection with this matter. Bank of America Corporation has also announced the establishment of a restitution fund for shareholders of the Funds who were harmed by the late trading and improper market timing practices of Canary. 117 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) With regard only to the commitment noted above to promptly return certain fees, the Funds recorded the following receivables to reflect the return of investment advisory fees earned by BACAP, or its predecessors, (net of waivers) and administration fees earned by BACAP Distributors, or its predecessors, (net of waivers, if any) related to a market timing agreement during the indicated periods as follows: Nations Strategic Growth Master Portfolio (April 2003 through July 2003) -- $4,250. The receivable is expected to be paid on or about November 28, 2003 and was recorded as a reimbursement in the Statement of operations of the impacted Fund. The receivable described in the preceding paragraphs reflects only the return of fees received by BACAP and BACAP Distributors as a result of a discretionary market timing agreement, and does not reflect Bank of America Corporation's pledge of restitution to those Funds that were adversely affected by any late trading or any discretionary market timing agreement. A review of the harm to Fund shareholders as a result of any late trading or any discretionary market timing arrangement remains ongoing. 118 THE NATIONS FUNDS FAMILY OF FUNDS THE MUTUAL FUND FAMILY OF BANC OF AMERICA CAPITAL MANAGEMENT Within each category, the funds are listed from aggressive to conservative. Lower risk/reward potential 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 EQUITY FUNDS GROWTH FUNDS Nations Small Company Fund Nations Marsico 21st Century Fund Nations MidCap Growth Fund Nations Marsico Focused Equities Fund Nations Marsico Growth 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 Higher reward/risk potential INTERNATIONAL/GLOBAL FUNDS Nations Marsico International Opportunities Fund Nations International Equity Fund Nations International Value Fund Nations Global Value Fund SPECIALTY FUNDS INDEX FUNDS Nations SmallCap Index Fund Nations MidCap Index Fund Nations LargeCap Index Fund Nations LargeCap Enhanced Core Fund ASSET ALLOCATION PORTFOLIOS Nations LifeGoal Growth Portfolio Nations LifeGoal Balanced Growth Portfolio Nations LifeGoal Income Portfolio Nations LifeGoal Income and Growth Portfolio OTHER SPECIALTY FUNDS Nations Convertible Securities Fund STKSAR (9/03) Nations Cash Reserves Nations Money Market Reserves Nations Treasury Reserves Nations Government Reserves Nations Municipal Reserves Nations Tax-Exempt Reserves NATIONS MONEY MARKET FUNDS Nations California -------------------------------- Tax-Exempt Reserves Semiannual report for the period ended September 30, 2003 Nations New York Tax-Exempt Reserves [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. BACAP Distributors, LLC and Banc of America Capital Management, LLC are the distributor and investment adviser to Nations Funds, respectively. They and other affiliates of Bank of America provide services to Nations Funds and receive fees for such services. BACAP Distributors, LLC, member NASD, SIPC NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE NATIONS FUNDS MONEY MARKET FUNDS Dear Shareholder: We are pleased to present the semiannual financial report for Nations Funds money market funds (the "Funds"). This report contains important financial data regarding your investment for the period ending September 30, 2003. We hope you will take a moment to review this information. THE ECONOMY The second and third quarters of 2003 saw some significant improvements in the economy. However, employment numbers remained weak until the end of the period. Going into the second quarter, investors were generally optimistic. Earlier this year, the financial markets viewed the Iraqi war as being resolved quickly and successfully, and both first-quarter corporate revenue and earnings came in stronger than expected. In addition to these positive steps, investors also saw the passing of President Bush's proposed tax cuts and the strongest quarterly performance of the Standard and Poor's 500 Composite Stock Price Index* in over four years during the April through June timeframe. However, conflicting economic signals persisted, as many investors were discouraged over the poor performance in the labor market. The unemployment rate increased to a nine-year high of 6.4% in June, which also marked the largest one-month increase since the September 11, 2001 attacks. On June 25, 2003 the Federal Reserve (the Fed) lowered the Federal Funds target rate another 25 basis points, from 1.25% to 1.00%. This marked the thirteenth rate cut since early 2001. However, this ease disappointed some in the financial markets who were hoping for a half point cut. The Fed indicated that it would keep interest rates low until there were clear signs of a sustained economic expansion. As expected, it left interest rates at 1% during its meeting on September 16. Although the job market remained weak through the summer, consumer spending stayed strong, and in July, the National Bureau of Economic Research made a statement that the most recent recession officially ended in November 2001. Through the third quarter, real gross domestic product (GDP) has increased for eight consecutive quarters. PORTFOLIO OUTLOOK Looking ahead, we are hopeful that the economy will continue to look stronger due to low interest rates, a strengthening dollar and some continued impetus from further expected tax cuts. We also anticipate positive corporate earnings to continue to advance in late 2003 and 2004. However, even with the signs of positive economic news, the FOMC will continue to watch the economic landscape very closely. Analysts speculate that monetary policymakers will leave rates unchanged for a sustained period of time, and current market consensus is they will continue at current levels through the first half of 2004. During the fourth quarter of 2003 and first quarter of 2004, we believe the economy will continue to gain strength. If the economy continues to show signs of strengthening, job growth should improve. We think that a resumption of capital spending, a competitive dollar and a rebuilding of inventories should push industrial output higher, which in turn, will cause companies to resume hiring to meet demand. An improved labor market should set off advances in personal income and additional consumer spending. OUR COMMITMENT TO YOUR SHORT-TERM INVESTMENT NEEDS With today's uncertainty in the marketplace, we believe it is important to have some exposure to short-term investments, which can allow investors to respond rapidly to changing market conditions. Nations Funds money market funds are managed to offer stability of principal and daily liquidity and competitive yields. INQUIRY UPDATE Nations Funds shareholders have so far received two letters, dated September 19 and 23, 2003 describing actions taken by Bank of America and the Nations Funds Board of Trustees as a result of investigations into mutual fund trading activities. In addition to the steps outlined in these letters, Bank of America has announced the intention to provide restitution for shareholders of Nations Funds who were harmed by certain late trading and market timing practices. *Standard and Poor's 500 Composite Stock Price Index: an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. The independent members of the Nations Funds Board of Trustees have engaged the law firm of Willkie Farr & Gallagher and, through them, Deloitte & Touche's Investment Management Advisory Service Group to analyze the extent of any adverse monetary impact on shareholders and other matters. Nations Funds shareholders will not bear any costs related to these actions. Independent advisors Dale Frey, former president and chairman of the General Electric Investment Corporation, and Maureen Bateman, former general counsel of State Street Corporation and U.S. Trust, have been hired by Bank of America to conduct independent reviews. Mr. Frey is reviewing mutual fund policies and practices. Ms. Bateman is reviewing legal and regulatory compliance. Promontory Financial Group has been engaged by Bank of America to coordinate a detailed review of all technology, control, and compliance systems related to the mutual fund business. As these actions demonstrate, Bank of America is committed to making appropriate restitution to affected Nations Funds shareholders and to taking all appropriate actions. Both Bank of America and Nations Funds Board of Trustees are committed to ensuring that our mutual fund policies and practices are at the highest level of industry standards. Nothing is more important than the trust and confidence of Nations Funds shareholders. Bank of America continues to look for opportunities to reinforce its investment advisory unit's professional ranks. In this regard, it has recently announced that Andrew Stenwall will assume an expended role within Banc of America Capital Management, LLC (BACAP), heading up money market investments as well as the fixed-income platform. We are pleased to introduce the recently named president of BACAP, Keith Winn, who has over 20 years of experience in the investment industry. Sincerely, /S/ WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS /S/ H. KEITH WINN H. KEITH WINN PRESIDENT BANC OF AMERICA CAPITAL MANAGEMENT, LLC October 14, 2003 AN INVESTMENT IN MONEY MARKET FUNDS IS NOT INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH MONEY MARKET FUNDS SEEK TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT IS POSSIBLE TO LOSE MONEY BY INVESTING IN MONEY MARKET FUNDS. TABLE OF CONTENTS FINANCIAL STATEMENTS Statements of net assets Nations Cash Reserves 3 Nations Money Market Reserves 15 Nations Treasury Reserves 20 Nations Government Reserves 22 Nations Municipal Reserves 24 Nations Tax-Exempt Reserves 46 Nations California Tax-Exempt Reserves 60 Nations New York Tax-Exempt Reserves 68 Statements of operations 74 Statements of changes in net assets 76 Schedules of capital stock activity 80 Financial highlights 88 Notes to financial statements 104
NATIONS FUNDS [DALBAR LOGO] RECOGNIZED FOR OUTSTANDING DALBAR, Inc. is a well-respected SHAREHOLDER SERVICE research firm that measures customer service levels and IN RECOGNITION OF ITS COMMITMENT establishes benchmarks in the TO PROVIDE SHAREHOLDERS WITH THE financial services industry. HIGHEST LEVEL OF SERVICE IN THE MUTUAL FUND INDUSTRY, NATIONS FUNDS RECEIVED THE DALBAR MUTUAL FUND SERVICE AWARD IN 2002.
[This page intentionally left blank] NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES -- 3.2% ASSET-BACKED -- AUTO LOANS -- 1.1% $ 10,534 Americredit Automobile Receivables Trust, Series 2003-AM, Class A1, 1.298%& 11/06/03!!.......................................... $ 10,534 90,000 Americredit Automobile Receivables Trust, Series 2003-CF, Class A1, 1.126% 09/07/04............................................. 90,000 18,824 BMW Vehicle Owner Trust, Series 2003-A, Class A1, 1.270% 04/25/04............................................. 18,824 17,164 Capital One Auto Finance Trust, Series 2003-A, Class A1, 1.251% 06/15/04............................................. 17,164 149,723 Chase Manhattan Auto Owner Trust, Series 2003-A, Class A1, 1.200% 06/15/04............................................. 149,723 71,988 Chase Manhattan Auto Owner Trust, Series 2003-B, Class A1, 1.060% 08/16/04............................................. 71,988 130,103 Daimler Chrysler Auto Trust, Series 2003-A, Class A1, 1.100% 08/08/04............................................. 130,103 12,082 Drive Auto Receivables Trust, Series 2003-2, Class A1, 1.090% 07/15/04............................................. 12,082 12,597 Long Beach Auto Receivables Trust, Series 2003-B, Class A1, 0.990% 06/15/04............................................. 12,597 17,591 Nissan Auto Receivables Owner Trust, Series 2003-A, Class A1, 1.300%& 10/15/03!!.......................................... 17,591 23,688 USAA Auto Owner Trust, Series 2003-1, Class A1, 1.052% 07/15/04............................................. 23,688 150,000 Whole Auto Loan Trust, Series 2003-1, Class A1, 1.100% 09/15/04............................................. 149,999 ----------- 704,293 ----------- ASSET-BACKED -- OTHER -- 2.1% 16,760 Caterpillar Financial Asset Trust, Series 2003-A, Class A1, 1.229% 05/25/04............................................. 16,760 95,966 G-Force CDO, Ltd., Series 2002-1A, Class A1MM, 1.170%& 10/27/03!!.......................................... 95,966 46,407 G-Star Ltd., Series 2002-2A, Class A1MA, 1.160%& 10/28/03!!.......................................... 46,407 38,864 G-Star Ltd., Series 2002-2A, Class A1MB, 1.180%& 10/28/03!!.......................................... 38,864 76,059 Great America Leasing Receivables, Series 2003-1, Class A1, 1.170% 09/15/04............................................. 76,059
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ ASSET-BACKED -- OTHER -- (CONTINUED) $ 21,252 Ikon Receivables LLC, Series 2003-1, Class A1, 1.308%& 10/15/03!!.......................................... $ 21,252 175,000 Newcastle CDO, Ltd., Series 3A, Class 1MM, 1.155%& 10/24/03!!.......................................... 175,000 245,000 Phoenix-Mistic CBO, Ltd., Series 2002-1A, Class A1A, 1.409%& 03/15/04............................................ 245,065 40,000 Phoenix-Mistic CBO, Ltd., Series 2002-1A, Class A1B2, 1.250%& 03/15/04!!.......................................... 40,000 50,000 Putnam Structured Product CDO, Series 2001-1A, Class A1MB, 1.210%& 11/25/03............................................ 50,000 101,000 Putnam Structured Product CDO, Series 2002-1A, Class A1D, 1.160%& 10/10/03!!.......................................... 101,000 100,000 Putnam Structured Product CDO, Series 2002-1A, Class A1E, 1.170%& 10/10/03!!.......................................... 100,000 176,000 Putnam Structured Product CDO, Series 2002-1A, Class A1J, 1.080%& 10/15/03!!.......................................... 175,999 121,400 Winston Funding Ltd., Series 2003-1, Class A1MB, 1.150%& 10/23/03!!.......................................... 121,400 ----------- 1,303,772 ----------- TOTAL ASSET-BACKED SECURITIES (Cost $2,008,065)........................................... 2,008,065 ----------- BANK OBLIGATIONS -- 11.6% BANK NOTES -- 1.7% American Express Centurion Bank 50,000 1.110%& 10/14/03!!.......................................... 50,000 80,000 1.110%& 10/24/03!!.......................................... 80,000 100,000 1.100%& 10/27/03!!.......................................... 100,000 25,000 Comerica Bank 1.175%& 10/27/03!!.......................................... 25,008 Key Bank N.A. 50,000 1.260%& 10/27/03!!.......................................... 50,034 75,000 1.298%& 01/26/04!!.......................................... 75,045 US Bank, N.A. 100,000 1.050%& 10/01/03!!.......................................... 99,997 100,000 1.070%& 10/20/03!!.......................................... 99,998 Wells Fargo Bank N.A. 300,000 1.060%& 10/07/03!!.......................................... 299,980 163,000 1.060%& 11/06/03!!.......................................... 162,994 ----------- 1,043,056 ----------- CERTIFICATES OF DEPOSIT -- DOMESTIC -- 1.5% 150,000 Branch Banking & Trust 1.050%& 10/24/03!!.......................................... 149,999 140,000 Chase Manhattan Bank USA N.A. 1.080%& 10/30/03!!.......................................... 140,000
SEE NOTES TO FINANCIAL STATEMENTS. 3 NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ CERTIFICATES OF DEPOSIT -- DOMESTIC -- (CONTINUED) First Tennessee Bank, (Memphis) $ 100,000 1.060%& 10/01/03!!.......................................... $ 99,997 75,000 1.070%& 10/21/03!!.......................................... 75,000 90,000 1.090%& 12/30/03!!.......................................... 89,999 SouthTrust Bank, N.A 80,000 1.430% 01/20/04............................................. 80,000 50,000 1.330% 02/18/04............................................. 50,002 100,000 1.330% 02/24/04............................................. 100,000 115,000 Wells Fargo Bank N.A 1.060% 10/30/03............................................. 115,000 ----------- 899,997 ----------- CERTIFICATES OF DEPOSIT -- EURO -- 0.6% 200,000 Deutsche Bank AG 1.380% 10/15/03............................................. 200,000 190,000 Landesbank Hessen-Thueringen 1.395% 10/07/03............................................. 190,000 ----------- 390,000 ----------- CERTIFICATES OF DEPOSIT -- YANKEE -- 5.7% 100,000 Abbey National Treasury Services plc 1.080%& 12/29/03!!.......................................... 99,992 200,000 Bayerische Landesbank Girozentrale, (New York) 1.030% 12/15/03............................................. 199,996 50,000 Canadian Imperial Bank of Commerce, (New York) 1.125%& 10/01/03!!.......................................... 50,001 200,000 Credit Agricole Indosuez, (New York) 1.060%& 12/31/03!!.......................................... 199,970 Credit Suisse First Boston, (New York) 95,000 1.080%& 10/07/03!!.......................................... 95,000 400,000 1.130%& 10/08/03!!.......................................... 400,000 300,000 1.095%& 10/20/03!!.......................................... 300,000 75,000 Danske Bank, (New York) 1.960% 10/10/03............................................. 75,000 Deutsche Bank AG, (New York) 400,000 1.060%& 10/01/03!!.......................................... 400,000 1,000,000 1.310%& 10/30/03!!@@........................................ 1,000,000 200,000 1.340%& 12/10/03!!@@........................................ 200,000 175,000 Dresdner Bank, (New York) 1.099%& 10/02/03............................................ 175,000 240,000 Svenska Handelsbanken, (New York) 1.970% 10/10/03............................................. 240,001 185,000 Westdeutsche Landesbank 1.070%& 10/20/03!!.......................................... 184,988 ----------- 3,619,948 -----------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ PROMISSORY NOTES -- 0.6% CCN Bluegrass I LLC $ 25,000 1.190%& 10/20/03!!#@@....................................... $ 25,000 25,000 1.190%& 10/20/03!!#@@....................................... 25,000 300,000 Goldman Sachs Group Inc. 1.160%& 10/12/03!!@@........................................ 300,000 ----------- 350,000 ----------- TIME DEPOSITS -- EURO -- 1.5% 900,000 Societe Generale 1.188% 10/01/03............................................. 900,000 ----------- TOTAL BANK OBLIGATIONS (Cost $7,203,001)........................................... 7,203,001 ----------- CORPORATE OBLIGATIONS -- 29.0% COMMERCIAL PAPER -- 12.7% AB Spintab 49,000 Discount note 10/09/03...................................... 48,989 200,000 Discount note 10/14/03...................................... 199,925 250,000 Discount note 10/15/03...................................... 249,900 200,000 Discount note 12/23/03...................................... 199,504 Amstel Funding Corporation 200,000 Discount note 10/08/03#..................................... 199,959 100,000 Discount note 12/12/03#..................................... 99,792 261,458 Discount note 12/15/03#..................................... 260,887 50,000 Aspen Funding Corporation Discount note 11/10/03...................................... 49,941 Atlantis One Funding 50,000 Discount note 11/12/03#..................................... 49,940 116,566 Discount note 12/15/03#..................................... 116,313 33,280 Barton Capital Corporation Discount note 05/20/04...................................... 33,033 Bavaria TRR Corporation 100,000 Discount note 10/15/03##.................................... 99,959 298,000 Discount note 10/22/03...................................... 297,811 40,000 Discount note 10/24/03...................................... 39,972 225,000 Discount note 10/27/03#..................................... 224,823 145,300 Discount note 10/30/03...................................... 145,172 Brahms Funding Corporation 94,514 Discount note 10/22/03...................................... 94,453 47,141 Discount note 10/28/03...................................... 47,102 50,000 Discount note 11/24/03#..................................... 49,916 90,000 Cancara Asset Securitisation LLC Discount note 10/15/03#..................................... 89,964 100,000 Charta Corporation Discount note 10/09/03#..................................... 99,977 120,000 CXC LLC Discount note 10/09/03#..................................... 119,973 70,000 Delaware Funding Corporation Discount note 10/14/03#..................................... 69,974 50,000 Eiffel Funding LLC Discount note 10/14/03#..................................... 49,981 50,000 Fairway Finance Corporation Discount note 10/15/03#..................................... 49,980 Galaxy Funding Inc. 325,000 Discount note 10/14/03#..................................... 324,879 130,000 Discount note 10/15/03#..................................... 129,948 77,705 Discount note 12/18/03...................................... 77,521
SEE NOTES TO FINANCIAL STATEMENTS. 4 NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ COMMERCIAL PAPER -- (CONTINUED) General Electric Capital International Funding, Inc. $ 150,000 Discount note 10/27/03#..................................... $ 149,882 100,000 Discount note 10/28/03#..................................... 99,918 GIRO Balanced Funding Corporation 50,134 Discount note 10/15/03#..................................... 50,114 22,363 Discount note 10/20/03#..................................... 22,351 260,644 GIRO Funding US Corporation Discount note 10/15/03#..................................... 260,539 Grampian Funding LLC 125,000 Discount note 10/09/03#..................................... 124,971 167,000 Discount note 10/30/03...................................... 166,856 250,000 Discount note 12/15/03#..................................... 249,438 99,750 Discount note 12/30/03#..................................... 99,493 Greyhawk Funding LLC 126,000 Discount note 10/09/03#..................................... 125,971 150,000 Discount note 10/15/03#..................................... 149,940 181,000 Discount note 10/22/03#..................................... 180,891 250,000 Discount note 10/23/03#..................................... 249,843 200,000 Discount note 12/04/03...................................... 199,616 100,000 Discount note 12/11/03#..................................... 99,787 Leafs LLC 175,000 1.130%& 10/20/03!!#......................................... 175,000 150,000 1.130%& 10/20/03!!#......................................... 150,000 MOAT Funding LLC 75,000 Discount note 10/14/03#..................................... 74,972 75,000 Discount note 10/23/03#..................................... 74,953 100,000 Discount note 12/15/03#..................................... 99,785 Montauk Funding Corporation 215,000 1.080%& 10/10/03#........................................... 215,000 115,000 1.080%& 10/15/03!!.......................................... 114,995 50,000 1.090%& 10/15/03!!#......................................... 50,000 Ness LLC 232,089 Discount note 10/15/03#..................................... 231,996 57,666 Discount note 12/11/03#..................................... 57,550 150,000 Paradigm Funding LLC 1.080%& 10/10/03#........................................... 150,000 Scaldis Capital LLC 150,000 Discount note 10/15/03#..................................... 149,940 161,123 Discount note 10/28/03...................................... 160,992 75,000 Discount note 12/10/03#..................................... 74,850 100,000 Sigma Finance Inc. 1.090%& 10/01/03!!#......................................... 100,000 48,623 Strips III LLC 1.170%& 10/24/03!!#@@....................................... 48,623 70,332 Sunbelt Funding Corporation Discount note 10/09/03#..................................... 70,316 102,326 Surrey Funding Corporation Discount note 10/15/03#..................................... 102,285 ----------- 7,850,455 ----------- CORPORATE BONDS AND NOTES -- 16.3% 330 4-L Co of Carmel 1.190%& 10/02/03!!.......................................... 330 50,000 ABN AMRO Bank NV, (Chicago) 1.035%& 10/14/03!!.......................................... 49,996
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) $ 3,595 Acme Paper& Supply Company 1.240%& 10/02/03!!.......................................... $ 3,595 300,000 American Express Credit Corporation 1.152%& 11/07/03!!.......................................... 300,000 10,420 Arogas Inc. 1.170%& 10/02/03!!.......................................... 10,420 55,652 Associates Corporation, N.A. 5.750% 11/01/03............................................. 55,834 4,040 Atlanta Bread Company 1.190%& 10/02/03!!.......................................... 4,040 125,000 Bank of New York Company, Inc. 1.110%& 10/29/03!!.......................................... 125,000 450,000 Barclays Bank plc, (New York) 1.050%& 12/11/03!!.......................................... 449,934 Bear Stearns Companies Inc. 400,000 1.130%& 10/01/03!!.......................................... 399,999 26,500 1.730%& 11/24/03!!.......................................... 26,614 81,000 Bellsouth Corporation 4.160% 04/26/04............................................. 82,249 4,875 Berkeley Realty Company LLC 1.220%& 10/02/03!!.......................................... 4,875 4,460 Berks Medical Realty LP 1.170%& 10/02/03!!.......................................... 4,460 Beta Finance Inc. 85,000 1.073%& 10/01/03!!#......................................... 85,000 209,000 1.056%& 10/15/03!!#......................................... 208,994 400,000 1.056%& 10/15/03#........................................... 399,999 60,000 1.075%& 10/15/03!!.......................................... 59,994 200,000 1.080%& 10/15/03!!#......................................... 199,996 100,000 BMW US Capital LLC 1.120%& 10/14/03!!.......................................... 100,000 1,225 Bracalente Manufacturing 1.270%& 10/02/03!!.......................................... 1,225 200,000 Canadian Imperial Bank of Commerce, (New York) 1.080%& 10/29/03!!.......................................... 199,974 2,255 Carroll Canton Borrowing 1.240%& 10/02/03!!.......................................... 2,255 90,000 Caterpillar Financial Services Corporation 1.290%& 12/01/03!!.......................................... 90,000 8,150 Caterpillar Real Estate Holding LLC 1.340%& 10/03/03!!.......................................... 8,150 CC (USA) Inc., MTN 75,000 1.073%& 10/01/03!!#......................................... 75,000 140,000 1.075%& 10/15/03!!.......................................... 139,987 250,000 1.088%& 12/15/03!!.......................................... 249,997 63,000 Citigroup Inc. 5.700% 02/06/04............................................. 63,916 5,340 Clinic Building LLC Project 1.200%& 10/02/03!!.......................................... 5,340 310 Colortech Inc. 1.190%& 10/02/03!!.......................................... 310 15,275 Conestoga Wood Specialty 1.150%& 10/02/03!!##........................................ 15,275
SEE NOTES TO FINANCIAL STATEMENTS. 5 NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) $ 6,355 Cornell Iron Works Inc. 1.170%& 10/02/03!!.......................................... $ 6,355 221,000 Countrywide Home Loans Inc., Series K 1.360%& 10/14/03!!.......................................... 220,987 55,000 Credit Suisse First Boston USA Inc. 1.284%& 01/02/04!!.......................................... 55,081 Credit Suisse First Boston, (New York) 175,000 1.100%& 10/14/03!!.......................................... 175,000 175,000 1.130%& 10/14/03!!.......................................... 175,000 65,000 Credit Suisse Group Finance (US) 1.310%& 10/06/03............................................ 65,001 5,000 Crosspoint Community Church 1.220%& 10/02/03!!.......................................... 5,000 17,395 Driftwood Landing Corporation 1.200%& 10/02/03!!.......................................... 17,395 4,455 EB&B Properties LLC 1.290%& 10/03/03!!.......................................... 4,455 56,650 First Security Bank, N.A. 1.505%& 11/24/03............................................ 56,682 100,000 First Tennessee Bank 1.090%& 10/06/03............................................ 100,000 3,435 Florida Orthopedic Institute 1.220%& 10/02/03!!.......................................... 3,435 5,055 Galday Inn Inc. 1.220%& 10/02/03!!.......................................... 5,055 13,750 Garlands of Barrington 1.140%& 10/02/03!!.......................................... 13,750 55,000 General Electric Capital Corporation, MTN, Series A 1.325%& 10/01/03!!.......................................... 55,003 4,250 Greenbrier Partners LLC 1.190%& 10/02/03!!.......................................... 4,250 11,580 Hammon Branch-1 Borrow 1.170%& 10/02/03!!.......................................... 11,580 3,450 Han Sung Industries 1.220%& 10/02/03!!.......................................... 3,450 255 Horizon Development Company LLC 1.190%& 10/01/03!!.......................................... 255 9,000 Hospital Laundry Services 1.220%& 10/02/03!!.......................................... 9,000 125,000 Household Finance Corporation 1.130%& 11/18/03!!.......................................... 125,000 3,915 Jackson Tube Service Inc. 1.220%& 10/02/03!!.......................................... 3,915 7,620 James A. Martin and Donna F. Martin 1.170%& 10/02/03!!.......................................... 7,620 5,420 Johnson Research and Development 1.170%& 10/02/03!!##........................................ 5,420
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) $ 10,000 JP Morgan & Company Inc. 5.750% 02/25/04............................................. $ 10,165 JP Morgan Chase & Company, Series C 45,000 1.256%& 11/05/03!!.......................................... 45,023 70,000 1.287%& 11/10/03!!.......................................... 70,083 50,000 1.300%& 11/20/03!!.......................................... 50,067 60,000 1.290%& 12/22/03!!.......................................... 60,056 215 JX Enterprises Group 1.190%& 10/02/03!!.......................................... 215 K2 (USA) LLC 160,000 1.100%& 10/01/03!!#......................................... 160,000 150,000 1.080%& 10/10/03!!.......................................... 149,993 50,000 1.180%& 12/15/03!!.......................................... 50,031 166,000 1.210% 08/09/04............................................. 165,757 150,000 Key Bank, N.A. 1.095%& 10/01/03!!.......................................... 150,000 2,820 L & H Holdings LLC 1.340%& 10/03/03!!.......................................... 2,820 15,520 L.E. Pope Building Company 1.170%& 10/02/03!!.......................................... 15,520 Links Finance LLC 125,000 1.100%& 10/07/03!!#......................................... 124,996 60,000 1.080%& 10/10/03!!.......................................... 59,997 100,000 1.080%& 10/15/03!!.......................................... 99,990 200,000 1.090%& 10/15/03!!.......................................... 199,995 100,000 1.110%& 10/17/03!!#......................................... 100,000 40,000 1.080%& 10/20/03!!.......................................... 39,997 3,370 Long Term Capital LLC 1.240%& 10/03/03!!.......................................... 3,370 17,700 LP Pinewood SPV 1.120%& 10/02/03!!.......................................... 17,700 220 Macatawa Bank Corporation 1.290%& 10/02/03!!.......................................... 220 250 Massachusetts Nursing 1.140%& 10/01/03!!.......................................... 250 1,500 Max Daetwyler Corporation 1.290%& 10/02/03!!.......................................... 1,500 90,000 Merck and Company, Inc. 4.489%& 02/22/04!!.......................................... 91,141 Merrill Lynch and Company, Inc. 100,000 1.080%& 10/14/03!!.......................................... 100,000 100,000 1.430%& 11/21/03!!.......................................... 100,219 2,250 Midtown Church of Christ 1.340%& 10/03/03!!.......................................... 2,250 Morgan Stanley, Series C 400,000 1.240%& 10/15/03!!.......................................... 399,999 50,000 1.430%& 11/14/03!!.......................................... 50,112 10,000 1.450%& 02/09/04............................................ 10,010 Northern Rock plc 200,000 1.103%& 10/16/03!!#......................................... 200,000 200,000 1.140%& 10/16/03!!#......................................... 200,000 150,000 1.140%& 10/20/03!!#......................................... 150,007 4,850 Pearlstine Distributors 1.190%& 10/03/03!!.......................................... 4,850 Premier Asset LLC 100,000 1.100%& 10/01/03!!.......................................... 100,000 50,000 1.046%& 10/15/03!!.......................................... 50,000
SEE NOTES TO FINANCIAL STATEMENTS. 6 NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) $ 3,915 PRL Corporation 1.200%& 10/02/03!!.......................................... $ 3,915 1,655 RDR Investment Company 1.290%& 10/02/03!!.......................................... 1,655 1,140 Red Lion Evangelical Free Church 1.290%& 10/02/03!!.......................................... 1,140 1,780 Rehab of El Paso 1.200%& 10/01/03!!.......................................... 1,780 22,795 Resources and Conservation 1.120%& 10/02/03!!.......................................... 22,795 29,000 RH Sheppard Company Inc. 1.120%& 10/02/03!!.......................................... 29,000 10,385 Robb and Stucky Ltd. 1.170%& 10/02/03!!.......................................... 10,385 5,100 Sahtooma LLC 1.190%& 10/02/03!!.......................................... 5,100 7,400 Schlitz Park Associates II LP 1.200%& 10/01/03!!.......................................... 7,400 Sigma Finance Inc. 150,000 1.080%& 10/10/03!!.......................................... 149,972 100,000 1.080%& 10/15/03!!#......................................... 99,991 50,000 1.080%& 10/15/03!!#......................................... 49,995 300,000 1.080%& 10/15/03!!#......................................... 299,969 215,000 1.085%& 10/15/03!!#......................................... 214,987 35,000 1.220%& 10/27/03#........................................... 35,003 300,000 1.080%& 11/06/03!!#......................................... 299,962 100,000 SLM Corporation 1.115%& 10/01/03!!.......................................... 99,968 95,990 SMM Trust 2002-M 1.170%& 12/15/03............................................ 95,990 11,990 SMM Trust 2003-G 1.290%& 12/03/03!!.......................................... 11,990 189,000 SMM Trust 2003-H 1.140%& 12/23/03!!.......................................... 189,000 2,235 Somar LLC 1.290%& 10/02/03!!.......................................... 2,235 30,000 SouthTrust Bank N.A. 1.210%& 11/24/03!!.......................................... 30,023 19,140 Suncoast Beverage Sales, Ltd. 1.150%& 10/02/03!!.......................................... 19,140 6,000 Supreme Beverage Company 1.220%& 10/09/03!!.......................................... 6,000 10,010 Tack Capital Company 1.120%& 10/02/03!!.......................................... 10,010 30,000 Tango Finance Corporation 1.076%& 10/15/03!!.......................................... 30,000 2,220 Temple Beth AHM 1.270%& 10/02/03!!.......................................... 2,220 6,620 TIM-BAR Corporation, Series 1998 1.190%& 10/08/03!!.......................................... 6,620 Toyota Motor Credit Corporation 6,000 5.625% 11/13/03............................................. 6,028 125,000 1.070%& 12/16/03!!.......................................... 124,973 50,000 Toyota Motor Finance BV 1.140%& 11/17/03!!.......................................... 50,016 9,202 Turf Valley Inc. 1.170%& 10/02/03!!.......................................... 9,202
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) $ 10,200 United Steel Deck Inc., Series 1999 1.140%& 10/02/03!!.......................................... $ 10,200 7,150 Venezia Enterprises 1.170%& 10/02/03!!.......................................... 7,150 Wachovia Bank N.A 200,000 1.050%& 10/01/03!!.......................................... 200,000 13,075 6.925% 10/15/03............................................. 13,100 520 Wallace Enterprises LP 1.190%& 10/02/03!!.......................................... 520 8,090 West Ridge Enterprises, Series 1998 1.190%& 10/01/03!!.......................................... 8,090 30,000 Whistlejacket Capital LLC 1.050%& 10/17/03!!.......................................... 30,000 Whistlejacket Capital Ltd. 50,000 1.100%& 10/01/03!!.......................................... 50,000 35,000 1.074%& 11/03/03!!.......................................... 35,000 White Pine Finance LLC 50,000 1.080%& 10/01/03!!#......................................... 50,000 80,000 1.056%& 10/15/03!!#......................................... 79,998 75,000 1.100%& 10/15/03!!#......................................... 74,997 50,000 1.090%& 10/20/03!!#......................................... 50,000 50,000 1.090%& 12/12/03!!.......................................... 50,000 ----------- 10,173,299 ----------- TOTAL CORPORATE OBLIGATIONS (Cost $18,023,754).......................................... 18,023,754 ----------- EXTENDABLE COMMERCIAL NOTES -- 2.0% 100,000 Citibank Credit Card Master Trust I Discount note 12/09/03#..................................... 99,795 83,000 Discover Card Master Trust I Discount note 12/18/03#..................................... 82,806 MBNA Credit Card Master Trust II 51,998 Discount note 10/15/03#..................................... 51,977 80,000 Discount note 10/15/03#..................................... 79,968 Mitten GMAC Mortgage Corporation 180,000 Discount note 10/15/03#..................................... 179,923 200,000 Discount note 10/15/03#..................................... 199,914 200,000 Discount note 12/15/03#..................................... 199,533 100,000 Discount note 12/22/03#..................................... 99,740 Mitten Residential Funding Corporation 50,000 Discount note 10/15/03#..................................... 49,978 75,000 Discount note 10/30/03#..................................... 74,932 100,000 Discount note 11/13/03#..................................... 99,865 50,000 Discount note 11/13/03#..................................... 49,933 ----------- TOTAL EXTENDABLE COMMERCIAL NOTES (Cost $1,268,364)........................................... 1,268,364 -----------
SEE NOTES TO FINANCIAL STATEMENTS. 7 NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ Funding agreements -- 1.6% $ 100,000 GE Life Annuity 1.230%& 11/25/03!!@@........................................ $ 100,000 50,000 Jackson National Life Insurance Company 1.230%& 12/15/03!!@@........................................ 50,000 300,000 Monumental Life 1.270%& 10/01/03!!@@........................................ 300,000 125,000 SunAmerica Life Insurance Company of America 1.200%& 10/01/03!!@@........................................ 125,000 Transamerica Occidental Life Insurance Company 125,000 1.330%& 10/01/03!!@@........................................ 125,000 117,000 1.360%& 10/01/03!!@@........................................ 117,000 20,000 1.250%& 11/03/03!!@@........................................ 20,000 132,000 Travelers Property Casualty Corporation 1.223%& 11/03/03!!#@@....................................... 132,000 ----------- TOTAL FUNDING AGREEMENTS (Cost $969,000)............................................. 969,000 ----------- MORTGAGE-BACKED SECURITIES -- 1.6% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 1.6% 50,000 CIT Equipment Collateral, Series 2003-EF1, Class A1, 1.139% 10/15/04............................................. 50,000 67,500 Granite Mortgages plc, Series 2003-1, Class 1A1, 1.110%& 10/20/03!!.......................................... 67,500 100,000 Holmes Financing plc, Series 6, Class 1A, 1.120%& 10/15/03............................................ 100,000 175,000 Holmes Financing plc, Series 7, Class 1A, 1.080%& 10/15/03!!.......................................... 175,000 175,000 Permanent Financing plc, Series 2, Class 1A, 1.080%& 10/10/03!!.......................................... 175,000 257,630 Residential Mortgage Securities, Series 15A, Class A1, 1.160%& 10/09/03!!.......................................... 257,630 159,000 Residential Mortgage Securities, Series 16A, Class A1, 1.132%& 10/11/03!!.......................................... 159,000 ----------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $984,130)............................................. 984,130 -----------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 1.0% ALASKA -- 0.1% $ 32,585 Alaska State Housing Finance Corporation, Series 2001C, (MBIA Insured, GO of Corporation), 1.070%& 10/02/03!!.......................................... $ 32,585 ----------- CALIFORNIA -- 0.2% 58,645 California Housing Finance Agency Revenue, Series 2000R, (AMBAC Insured, Westdeutshce Landesbank LOC, Bayerische Landesbank LOC, KBC Bank NV LOC), 1.060%& 10/01/03!!.......................................... 58,645 26,230 Pasadena, California Public Financing Authority, Lease Revenue, (Paseo Colorado Package Facility Program) Series 2000, (AMBAC Insured, KBC Bank NV SBPA), 1.050%& 10/02/03!!.......................................... 26,230 1,000 San Jose, California Redevelopment Agency Revenue, Series 2002H, (Bank of New York LOC), 1.100%& 10/01/03!!.......................................... 1,000 11,250 San Jose, California Redevelopment Agency Revenue, Series 2003A, (JP Morgan Chase Bank LOC), 1.110%& 10/01/03!!.......................................... 11,250 ----------- 97,125 ----------- COLORADO -- 0.1% 55,175 Colorado Housing and Finance Authority, Single Family Mortgage Revenue, Series 2003B-2, (JP Morgan Chase Bank SBPA), 1.070%& 10/01/03!!.......................................... 55,175 1,005 Denver City and County, Colorado Certificates of Participation, Series 2002B, (MBIA Insured, Bank One Colorado, N.A. SBPA), 1.100%& 10/01/03!!.......................................... 1,005 7,000 Denver, Colorado City and County Certificates of Participation, (Justice Center Site Project) Series 2002C, (JP Morgan Chase Bank LOC), 1.110%& 10/01/03!!.......................................... 7,000 ----------- 63,180 -----------
SEE NOTES TO FINANCIAL STATEMENTS. 8 NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ CONNECTICUT -- 0.1% $ 10,765 Connecticut State Development Authority Industrial Development Revenue, (Latex Foam International Project) Series 2002, (Wachovia Bank N.A. LOC), 1.170%& 10/02/03!!.......................................... $ 10,765 39,785 Connecticut State Housing Finance Authority Revenue, (Housing Mortgage Finance Program) Series 2002C-3, (FHLB SBPA), 1.070%& 10/02/03!!.......................................... 39,785 ----------- 50,550 ----------- FLORIDA -- 0.1% 16,000 Florida Housing Finance Agency, Revenue, Series 1993, (MBIA Insured, Westdeutsche Landesbank SBPA), 1.050%& 10/02/03!!.......................................... 16,000 34,700 Florida Housing Financing Corporation, Revenue, Series 2002A, (AMBAC Insured, SBPA Dexia Credit Local), 1.100%& 10/02/03!!.......................................... 34,700 ----------- 50,700 ----------- GEORGIA -- 0.0%+ 3,500 Columbus, Georgia Development Authority Revenue, (Fairfield Inn Project) Series 2003, (Regions Bank LOC), 1.190%& 10/02/03!!.......................................... 3,500 5,000 Columbus, Georgia Development Authority Revenue, (Residence Inn Project) Series 2003, (Regions Bank LOC), 1.190%& 10/02/03!!.......................................... 5,000 14,270 Talbot County, Georgia Development Authority IDR, (Junction City Mining Company Project) Series 2000, (First Union National Bank LOC), 1.170%& 10/02/03!!.......................................... 14,270 ----------- 22,770 -----------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ MARYLAND -- 0.0%+ $ 3,690 Maryland State Industrial Development Financing Authority, Economic Development Revenue, (Chesapeake Biology Lab Project) Series 1998, (First Union National Bank), 1.190%& 10/02/03!!.......................................... $ 3,690 ----------- MASSACHUSETTS -- 0.0%+ 1,750 Massachusetts State Development Financing Agency, Assisted Living Facilities Revenue, (Whalers Cove Project) Series 2001B, (First Union National Bank LOC), 1.290%& 10/02/03!!.......................................... 1,750 ----------- MICHIGAN -- 0.0%+ 950 Michigan State Housing Development Authority, Multi-Family Revenue, Series 2003, (FHLB LOC), 1.270%& 10/02/03!!.......................................... 950 ----------- MINNESOTA -- 0.0%+ 7,230 Minnesota State Higher Education Facilities Authority, Revenue, (Concordia University Project) Series 2003, (U.S. Bank N.A. LOC), 1.170%& 10/01/03!!.......................................... 7,230 ----------- MISSISSIPPI -- 0.0%+ 15,000 Mississippi Business Financing Corporation IDR, (Telepex Inc. Project) Series 2000, (First Union National Bank LOC), 1.120%& 10/02/03!!.......................................... 15,000 8,800 Mississippi Business Financing Corporation Revenue, Series 1997B, (First Union National Bank LOC), 1.190%& 10/02/03!!.......................................... 8,800 ----------- 23,800 ----------- MISSOURI -- 0.0%+ 7,500 Missouri State Economic Development Export Revenue, (Biocraft Labs, Inc. Project) Series 1989, (PNC Bank LOC), 1.170%& 10/01/03!!.......................................... 7,500 -----------
SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ NEW JERSEY -- 0.0%+ $ 910 New Jersey Economic Development Authority Revenue, (Melrich Road Project) Series 2002B, (Wachovia Bank N.A.), 1.320%& 10/02/03!!.......................................... $ 910 1,175 New Jersey Economic Development Authority Revenue, (PB Tower LLC Project) Series 2001, (First Union National Bank LOC), 1.270%& 10/02/03!!.......................................... 1,175 7,310 New Jersey Economic Development Authority Revenue, Series 1997, (First Union National Bank LOC), 1.170%& 10/01/03!!.......................................... 7,310 ----------- 9,395 ----------- NEW YORK -- 0.1% 3,710 Clinton County, New York Industrial Development Agency IDR, (Bombardier Corporation Project) Series 1997A, (Marine Midland Bank LOC), 1.300%& 10/02/03!!.......................................... 3,710 34,598 New York City, New York GO, Series 2001A-9, (FGIC Insured, FGIC SBPA), 1.050%& 10/01/03!!.......................................... 34,598 5,810 New York State Housing Finance Agency Revenue, Series 2000B, (Key Bank N.A.), 1.110%& 10/01/03!!.......................................... 5,810 8,000 New York State Housing Finance Agency Revenue, Series 2001, (FNMA Liquidity Facility), 1.100%& 10/01/03!!.......................................... 8,000 2,300 New York State Housing Finance Agency, Revenue, (Taxable -360 West 43 Street Project) Series 2002, (Bayerische Hypotheken und Vereinsbank LOC), 1.270%& 10/01/03!!.......................................... 2,300 10,000 New York State Housing Financing Agency Revenue, Series 2002B, (Fleet National Bank LOC), 1.110%& 10/01/03!!.......................................... 10,000 4,725 New York, New York City Housing Development Corporation, Multi-Family Housing Revenue, Series 2002, (Bayerische Landesbank LOC), 1.110%& 10/01/03!!.......................................... 4,725 ----------- 69,143 -----------
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ TENNESSEE -- 0.0%+ $ 4,200 Hamilton County, Tennessee Industrial Development Board IDR, Series 1999, (First Union National Bank LOC), 1.240%& 10/02/03!!.......................................... $ 4,200 450 Memphis, Tennessee Health Educational and Housing Facilities Board Revenue, (Springdale Creek Project) Series 2003B, (First Tennessee Bank LOC), 1.300%& 10/02/03!!.......................................... 450 ----------- 4,650 ----------- TEXAS -- 0.1% 45,045 Harris County -- Houston, Texas, Sports Authority Special Revenue, Jr. Lien, Series 2001D, (MBIA Insured, Morgan Guaranty Trust SBPA), 1.150%& 10/02/03!!.......................................... 45,045 ----------- VIRGINIA -- 0.2% 140,000 Virginia State Housing Development Authority Commonwealth Revenue, Series 1996E, 1.070%& 10/01/03!!.......................................... 140,000 ----------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $630,063)............................................. 630,063 ----------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 37.3% FEDERAL HOME LOAN BANK (FHLB) -- 5.8% 80,709 Discount note 10/01/03...................................... 80,709 19,000 3.060% 10/24/03............................................. 19,015 200,000 1.010%& 10/27/03!!.......................................... 199,940 135,457 Discount note 11/28/03...................................... 135,233 40,000 3.110% 12/03/03............................................. 40,118 19,000 3.180% 12/03/03............................................. 19,057 925,000 1.055%& 12/15/03!!.......................................... 924,753 232,000 Discount note 12/19/03...................................... 231,478 190,000 1.070%& 12/21/03!!.......................................... 189,944 56,000 5.375% 01/05/04............................................. 56,544 80,000 3.750% 02/13/04............................................. 80,697 34,645 5.250% 02/13/04............................................. 35,138 250,000 Discount note 03/01/04...................................... 248,871 95,800 3.750% 04/15/04............................................. 97,165 150,000 1.420% 04/21/04............................................. 150,000 200,000 1.375% 05/11/04............................................. 200,000 187,000 1.375% 05/12/04............................................. 187,000 200,000 1.400% 05/14/04............................................. 200,000 155,960 3.375% 06/15/04............................................. 158,435 89,450 4.750% 06/28/04............................................. 91,863 85,000 1.350% 08/25/04............................................. 85,002
SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ FEDERAL HOME LOAN BANK (FHLB) -- (CONTINUED) $ 60,000 1.360% 09/21/04............................................. $ 60,000 50,000 1.420% 09/24/04............................................. 49,993 30,000 1.470% 09/24/04............................................. 30,000 ----------- 3,570,955 ----------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 15.2% 50,000 Discount note 10/30/03...................................... 49,958 850,000 1.046%& 11/01/03!!.......................................... 849,661 650,000 1.059%& 11/01/03!!.......................................... 649,738 150,000 Discount note 11/13/03...................................... 149,807 47,949 6.375% 11/15/03............................................. 48,218 575,000 Discount note 11/20/03...................................... 574,138 70,000 Discount note 12/04/03...................................... 69,807 405,000 Discount note 12/05/03...................................... 404,276 68,200 Discount note 12/09/03...................................... 68,063 320,000 1.107%& 12/09/03!!.......................................... 320,000 518,065 Discount note 12/10/03...................................... 516,980 943,808 Discount note 12/11/03...................................... 941,834 200,000 Discount note 12/12/03...................................... 199,572 125,000 Discount note 12/15/03...................................... 124,719 454,000 1.035%& 12/20/03!!.......................................... 453,916 858,382 Discount note 12/31/03...................................... 856,001 171,915 3.250% 01/15/04............................................. 172,799 1,100,837 Discount note 02/26/04...................................... 1,095,268 112,850 Discount note 03/25/04...................................... 112,260 300,000 Discount note 03/31/04...................................... 298,256 120,000 Discount note 04/01/04...................................... 119,299 90,000 3.750% 04/15/04............................................. 91,320 79,477 Discount note 04/22/04...................................... 78,936 74,150 Discount note 06/14/04...................................... 73,494 103,000 Discount note 06/17/04...................................... 102,269 435,000 Discount note 07/15/04...................................... 431,209 62,725 3.000% 07/15/04............................................. 63,558 50,000 4.500% 08/15/04............................................. 51,436 458,000 1.170% 08/20/04............................................. 458,000 ----------- 9,424,792 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 16.1% 301,148 Discount note 10/15/03...................................... 301,028 505,000 1.010%& 10/17/03!!.......................................... 504,935 400,000 1.000%& 10/18/03!!.......................................... 399,844 766,000 1.010%& 10/28/03!!.......................................... 765,628 150,000 Discount note 10/29/03...................................... 149,878 200,000 1.014%& 11/03/03!!.......................................... 199,938 2,148,387 Discount note 12/10/03...................................... 2,144,182 25,000 1.003%& 12/10/03!!.......................................... 24,990 87,076 Discount note 12/12/03...................................... 86,837 325,000 Discount note 12/15/03...................................... 324,276 100,000 Discount note 02/06/04...................................... 99,543 59,250 5.125% 02/13/04............................................. 60,073 140,000 Discount note 03/10/04...................................... 139,314 41,020 4.750% 03/15/04............................................. 41,656 950,000 Discount note 04/15/04...................................... 944,333 53,000 3.625% 04/15/04............................................. 53,713 200,000 1.360% 04/28/04............................................. 200,000 96,000 1.380% 05/07/04............................................. 96,000 49,750 5.625% 05/14/04............................................. 51,095
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- (CONTINUED) $ 289,000 Discount note 06/25/04...................................... $ 286,719 19,115 7.400% 07/01/04............................................. 19,986 200,000 1.080% 07/23/04............................................. 199,774 350,000 6.500% 08/15/04............................................. 365,737 191,000 1.200% 08/23/04............................................. 190,968 285,000 1.400% 09/21/04............................................. 285,000 272,000 1.500% 09/21/04............................................. 272,000 565,000 1.530% 09/24/04............................................. 565,000 95,000 1.550% 10/01/04............................................. 95,000 778,500 1.340% 10/18/04............................................. 778,500 300,000 1.350% 10/20/04............................................. 300,000 ----------- 9,945,947 ----------- STUDENT LOAN MARKETING ASSOCIATION (SLMA) -- 0.2% 111,845 4.750% 04/23/04............................................. 114,002 ----------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $23,055,696).......................................... 23,055,696 ----------- U.S. TREASURY OBLIGATIONS -- 1.4% U.S. TREASURY BILLS -- 0.1% 50,000 Discount note 01/15/04...................................... 49,866 ----------- U.S. TREASURY NOTES -- 1.3% 444,000 3.250% 12/31/03............................................. 445,999 94,000 3.000% 01/31/04............................................. 94,504 6,000 5.875% 02/15/04............................................. 6,105 90,000 3.000% 02/29/04............................................. 90,666 25,000 3.250% 05/31/04............................................. 25,356 134,000 2.875% 06/30/04............................................. 135,823 10,000 2.250% 07/31/04............................................. 10,098 ----------- 808,551 ----------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $858,417)............................................. 858,417 ----------- REPURCHASE AGREEMENTS -- 12.4% 159,109 Agreement with Banque National de Paris, 1.080% dated 09/30/03 to be repurchased at $159,114 on 10/01/03 collateralized by: US Government and Agency Obligations; collateral valued at $162,291.................................................... 159,109 150,000 Agreement with Countrywide Home Loans, Inc., 0.800% dated 09/30/03 to be repurchased at $150,003 on 10/01/03 collateralized by: U.S. Treasury Obligations; collateral valued at $153,000.......................................... 150,000
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ REPURCHASE AGREEMENTS -- (CONTINUED) $2,200,000 Countrywide Home Loans, Inc., 1.150% dated 09/30/03 to be repurchased at $2,200,070 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; collateral valued at $2,244,000.................................................. $ 2,200,000 200,000 Agreement with Credit Suisse First Boston Corporation, 1.150% dated 09/30/03 to be repurchased at $200,006 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; collateral valued at $204,000............................... 200,000 46,896 Agreement with Dresdner Kleinwort Benson North America LLC, 0.900% dated 09/30/03 to be repurchased at $46,897 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; collateral valued at $47,834................... 46,896 873,499 Agreement with Dresdner Kleinwort Benson North America LLC, 1.120% dated 09/30/03 to be repurchased at $873,526 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; collateral valued at $890,969.................. 873,499 215,459 Agreement with Dresdner Kleinwort Benson North America LLC, 1.120% dated 09/30/03 to be repurchased at $215,466 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; U.S. Treasury Obligations; collateral valued at $219,772.................................................... 215,459 1,220,000 Agreement with Goldman Sachs and Company, 1.132% dated 09/30/03 to be repurchased at $1,220,038 on 10/01/03 collateralized by: Various Commercial Paper; collateral valued at $1,244,400........................................ 1,220,000
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ REPURCHASE AGREEMENTS -- (CONTINUED) $ 54,552 Agreement with Goldman Sachs and Company, 0.950% dated 09/30/03 to be repurchased at $54,553 on 10/01/03 collateralized by: U.S. Treasury Obligations; collateral valued at $55,644........................................... $ 54,552 100,000 Agreement with Lehman Brothers Inc., 1.240% dated 09/30/03 to be repurchased at $100,003 on 10/01/03 collateralized by: Various Commercial Paper; collateral valued at $102,000..... 100,000 400,000 Agreement with Merrill Lynch Government Securities Inc., 1.130% dated 09/30/03 to be repurchased at $400,013 on 10/01/03 collateralized by: Various Commercial Paper; collateral valued at $408,002............................... 400,000 800,000 Agreement with Salomon Smith Barney Inc., 1.125% dated 09/30/03 to be repurchased at $800,025 on 10/01/03 collateralized by: Various Commercial Paper; collateral valued at $816,000.......................................... 800,000 900,000 Agreement with UBS Securities Inc., 1.150% dated 09/30/03 to be repurchased at $900,029 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; collateral valued at $918,004.................................................... 900,000 400,000 Agreement with Westdeutsche Landesbank Girozentrale, 1.082% dated 09/30/03 to be repurchased at $400,012 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; U.S. Treasury Obligations; collateral valued at $408,000.... 400,000 ----------- TOTAL REPURCHASE AGREEMENTS (Cost $7,719,515)........................................... 7,719,515 -----------
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - ------------------------------------------------------------------------------------------ TOTAL INVESTMENTS (Cost $62,720,005*)............................... 101.1% $62,720,005 ----------- OTHER ASSETS AND LIABILITIES (NET).................. (1.1)% Cash.......................................................... $ 620 Receivable for investment securities sold..................... 122,465 Receivable for Fund shares sold............................... 38 Interest receivable........................................... 83,168 Receivable from investment advisor............................ 106 Payable for Fund shares redeemed.............................. (101) Investment advisory fee payable............................... (6,351) Administration fee payable.................................... (3,336) Shareholder servicing and distribution fees payable........... (9,939) Distributions payable......................................... (14,684) Payable for investment securities purchased................... (841,879) Accrued Trustees' fees and expenses........................... (398) Accrued expenses and other liabilities........................ (2,641) ----------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (672,932) ----------- NET ASSETS.......................................... 100.0% $62,047,073 =========== NET ASSETS CONSIST OF: Distributions in excess of net investment income.............. $ (6) Accumulated net realized loss on investments sold............. (1,885) Paid-in capital............................................... 62,048,964 ----------- NET ASSETS.................................................... $62,047,073 ===========
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS MONEY MARKET FUNDS Nations Cash Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ------------------------------------------------------------------------------------------ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($26,447,786,940 / 26,449,086,862 shares outstanding)......... $1.00 =========== TRUST CLASS SHARES: ($4,291,293,603 / 4,291,588,368 shares outstanding)........... $1.00 =========== LIQUIDITY CLASS SHARES: ($1,456,483,321 / 1,456,444,692 shares outstanding)........... $1.00 =========== ADVISER CLASS SHARES: ($11,899,323,997 / 11,899,846,829 shares outstanding)......... $1.00 =========== INVESTOR CLASS SHARES: ($3,093,898,688 / 3,094,545,646 shares outstanding)........... $1.00 =========== MARKET CLASS SHARES: ($186,418 / 185,993 shares outstanding)....................... $1.00 =========== DAILY CLASS SHARES: ($9,379,922,042 / 9,380,142,735 shares outstanding)........... $1.00 =========== SERVICE CLASS SHARES: ($83,248,986 / 83,253,754 shares outstanding)................. $1.00 =========== INVESTOR A SHARES: ($346,145,134 / 346,223,867 shares outstanding)............... $1.00 =========== INVESTOR B SHARES: ($41,864,889 / 41,864,534 shares outstanding)................. $1.00 ===========
VALUE - ------------------------------------------------------------------------------------------ INVESTOR C SHARES: ($3,391,603 / 3,391,599 shares outstanding)................... $1.00 =========== INSTITUTIONAL SHARES: ($4,986,943,096 / 4,986,887,961 shares outstanding)........... $1.00 =========== MARSICO SHARES: ($16,583,862 / 16,582,371 shares outstanding)................. $1.00 ===========
- --------------- * Federal income tax information (see Note 7). & Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2003. !!Reset date. Interest rates reset either daily, weekly, monthly, or quarterly. # Security not registered under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional buyers. ## 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 to qualified institutional buyers. + Amount represents less than 0.1%. @@Restricted security (see Note 5). SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS MONEY MARKET FUNDS Nations Money Market Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ----------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 3.6% ASSET-BACKED -- AUTO LOANS -- 1.5% $ 27,000 Americredit Automobile Receivables Trust, Series 2003-CF, Class A1, 1.126% 09/07/04............................................. $ 27,000 16,637 Bay View Auto Trust, Series 2003-LJ1, Class A1, 1.135% 08/25/04............................................. 16,637 2,058 Chase Manhattan Auto Owner Trust, Series 2003-A, Class A1, 1.200% 06/15/04............................................. 2,058 34,694 Daimler Chrysler Auto Trust, Series 2003-A, Class A1, 1.100% 08/08/04............................................. 34,694 12,651 Household Automotive Trust, Series 2003-1, Class A1, 1.240%& 10/17/03&&.......................................... 12,651 80,000 Whole Auto Loan Trust, Series 2003-1, Class A1, 1.100% 09/15/04............................................. 80,000 ----------- 173,040 ----------- ASSET-BACKED -- OTHER -- 2.1% 27,088 CIT Equipment Collateral, Series 2003-VT1, Class A1, 1.209%& 10/20/03&&.......................................... 27,088 34,606 CNH Equipment Trust, Series 2003-A, Class A1, 1.263%& 10/15/03&&.......................................... 34,606 8,792 G-Star Ltd., Series 2002-2A, Class A1MA, 1.160%& 10/28/03&&.......................................... 8,792 7,293 G-Star Ltd., Series 2002-2A, Class A1MB, 1.180%& 10/28/03&&.......................................... 7,293 5,541 Navistar Financial Corporation Owner Trust, Series 2003-A, Class A1, 1.250%& 10/15/03&&.......................................... 5,541 50,000 Phoenix-Mistic CBO, Ltd., Series 2002-1A, Class A1A, 1.409%& 03/15/04............................................ 50,014 76,000 Putnam Structured Product CDO, Series 2002-1A, Class A1E, 1.170%& 10/10/03&&.......................................... 76,001 50,000 Winston Funding Ltd., Series 2003-1, Class A1MB, 1.150%& 10/23/03&&.......................................... 50,000 ----------- 259,335 ----------- TOTAL ASSET-BACKED SECURITIES (Cost $432,375)............................................. 432,375 -----------
PRINCIPAL AMOUNT VALUE (000) (000) - ----------------------------------------------------------------------------------------- BANK OBLIGATIONS -- 11.1% BANK NOTES -- 1.8% Wells Fargo Bank N.A. $ 135,000 1.060%& 10/07/03&&.......................................... $ 134,991 75,000 1.060%& 11/06/03&&.......................................... 74,997 ----------- 209,988 ----------- CERTIFICATES OF DEPOSIT -- DOMESTIC -- 1.6% 25,000 Branch Banking & Trust 1.050%& 10/24/03&&.......................................... 25,000 50,000 Chase Manhattan Bank USA N.A. 1.080%& 10/30/03&&.......................................... 50,000 First Tennessee Bank, (Memphis) 15,000 1.070%& 10/21/03&&.......................................... 15,000 30,000 1.090%& 12/30/03&&.......................................... 30,000 25,000 SouthTrust Bank, N.A. 1.330% 02/18/04............................................. 25,001 50,000 Wells Fargo Bank N.A. 1.060% 10/30/03............................................. 49,999 ----------- 195,000 ----------- CERTIFICATES OF DEPOSIT -- EURO -- 0.1% 10,000 Landesbank Hessen-Thueringen 1.395% 10/07/03............................................. 10,000 ----------- CERTIFICATES OF DEPOSIT -- YANKEE -- 5.1% 50,000 Abbey National Treasury Services plc 1.080%& 12/29/03&&.......................................... 49,996 85,000 Credit Agricole Indosuez, (New York) 1.060%& 12/31/03&&.......................................... 84,987 Credit Suisse First Boston, (New York) 100,000 1.130%& 10/08/03&&.......................................... 100,001 100,000 1.095%& 10/20/03&&.......................................... 100,000 25,000 Danske Bank, (New York) 1.960% 10/10/03............................................. 25,000 75,000 Deutsche Bank AG, (New York) 1.060%& 10/01/03&&.......................................... 75,000 75,000 Dresdner Bank, (New York) 1.099%& 10/02/03............................................ 75,000 50,000 Svenska Handelsbanken, (New York) 1.970% 10/10/03............................................. 50,000 50,000 Westdeutsche Landesbank 1.070%& 10/20/03&&.......................................... 49,997 ----------- 609,981 ----------- PROMISSORY NOTES -- 0.8% 100,000 Goldman Sachs Group Inc. 1.160%& 10/12/03&&@@........................................ 100,000 -----------
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS MONEY MARKET FUNDS Nations Money Market Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ----------------------------------------------------------------------------------------- TIME DEPOSITS -- EURO -- 1.7% $ 200,000 Societe Generale 1.188% 10/01/03............................................. $ 200,000 ----------- TOTAL BANK OBLIGATIONS (Cost $1,324,969)........................................... 1,324,969 ----------- CORPORATE OBLIGATIONS -- 36.3% COMMERCIAL PAPER -- 17.3% AB Spintab 35,000 Discount note 10/15/03...................................... 34,986 100,000 Discount note 12/23/03...................................... 99,752 Amstel Funding Corporation 50,000 Discount note 10/08/03#..................................... 49,990 50,000 Discount note 12/15/03#..................................... 49,892 45,508 Atlantis One Funding Discount note 11/12/03#..................................... 45,453 Bavaria TRR Corporation 50,000 Discount note 10/15/03##.................................... 49,980 36,000 Discount note 10/22/03...................................... 35,977 40,000 Discount note 10/24/03...................................... 39,972 50,000 Discount note 10/27/03#..................................... 49,960 107,000 Blue Ridge Asset Funding Discount note 10/01/03...................................... 107,000 Brahms Funding Corporation 24,408 Discount note 10/01/03...................................... 24,408 33,340 Discount note 11/24/03#..................................... 33,284 50,000 CXC LLC Discount note 10/09/03#..................................... 49,989 49,129 Eiffel Funding LLC Discount note 10/14/03#..................................... 49,111 Galaxy Funding Inc. 25,000 Discount note 10/15/03#..................................... 24,990 50,000 Discount note 12/18/03...................................... 49,882 120,000 General Electric Capital International Funding, Inc. Discount note 10/27/03#..................................... 119,906 Grampian Funding LLC 50,000 Discount note 10/09/03#..................................... 49,988 75,000 Discount note 10/30/03...................................... 74,935 50,000 Discount note 12/15/03#..................................... 49,888 Greyhawk Funding LLC 50,000 Discount note 10/15/03#..................................... 49,980 93,000 Discount note 10/22/03#..................................... 92,944 89,984 Discount note 11/14/03...................................... 89,866 Leafs LLC 50,000 1.130%& 10/20/03&&#......................................... 50,000 50,000 1.130%& 10/20/03&&#......................................... 50,000 MOAT Funding LLC 90,000 Discount note 10/15/03#..................................... 89,964 25,000 Discount note 10/23/03#..................................... 24,984 50,000 Montauk Funding Corporation 1.080%& 10/10/03#........................................... 50,000 Ness LLC 39,639 Discount note 10/10/03#..................................... 39,629 30,086 Discount note 12/05/03...................................... 30,027 32,222 Discount note 12/10/03#..................................... 32,158 20,114 Discount note 12/12/03#..................................... 20,073 50,000 Newport Funding Corporation Discount note 11/10/03...................................... 49,941
PRINCIPAL AMOUNT VALUE (000) (000) - ----------------------------------------------------------------------------------------- COMMERCIAL PAPER -- (CONTINUED) $ 150,000 Paradigm Funding LLC 1.080%& 10/10/03#........................................... $ 149,999 Scaldis Capital LLC 68,141 Discount note 10/15/03#..................................... 68,114 75,000 Discount note 10/28/03...................................... 74,939 14,351 Discount note 12/08/03#..................................... 14,323 ----------- 2,066,284 ----------- CORPORATE BONDS AND NOTES -- 19.0% 7,105 Acton Assisted Living 1.240%& 10/02/03&&.......................................... 7,105 13,994 Associates Corporation N.A. 5.800% 04/20/04............................................. 14,348 180,000 Barclays Bank plc, (New York) 1.050%& 12/11/03&&.......................................... 179,973 50,000 Bear Stearns Companies Inc. 1.130%& 10/01/03&&.......................................... 50,000 Beta Finance Inc. 25,000 1.073%& 10/01/03&&#......................................... 25,000 50,000 1.056%& 10/15/03&&#......................................... 49,999 100,000 1.056%& 10/15/03#........................................... 100,000 25,000 1.075%& 10/15/03&&.......................................... 24,998 70,000 1.080%& 10/15/03&&#......................................... 69,999 CC (USA) Inc., MTN 25,000 1.073%& 10/01/03&&#......................................... 25,000 50,000 1.075%& 10/15/03&&.......................................... 49,995 10,000 Citigroup Inc. 5.700% 02/06/04............................................. 10,145 Credit Suisse First Boston, (New York) 75,000 1.100%& 10/14/03&&.......................................... 75,000 75,000 1.130%& 10/14/03&&.......................................... 75,000 General Electric Capital Corporation 15,000 1.180%& 10/22/03............................................ 15,001 15,000 1.210%& 10/22/03&&.......................................... 15,011 30,300 1.120%& 10/28/03&&.......................................... 30,304 20,000 General Electric Capital Corporation, MTN, Series A 1.325%& 10/01/03&&.......................................... 20,001 50,000 Household Finance Corporation 1.130%& 11/18/03&&.......................................... 50,000 29,180 JP Morgan Chase & Company 5.750% 04/15/04............................................. 29,864 JP Morgan Chase & Company, Series C 30,000 1.255%& 11/05/03&&.......................................... 30,017 25,000 1.287%& 11/10/03&&.......................................... 25,030 56,250 1.300%& 11/20/03&&.......................................... 56,322 K2 (USA) LLC 75,000 1.100%& 10/01/03&&#......................................... 75,000 50,000 1.080%& 10/10/03&&.......................................... 49,998 Links Finance LLC 40,000 1.100%& 10/07/03&&#......................................... 39,999 25,000 1.080%& 10/10/03&&.......................................... 24,999 35,000 1.110%& 10/17/03&&#......................................... 35,000 50,000 MBIA Global Funding LLC 1.100%& 10/08/03............................................ 50,000
SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS MONEY MARKET FUNDS Nations Money Market Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ----------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES -- (CONTINUED) Merrill Lynch and Company, Inc. $ 25,000 1.080%& 10/14/03&&.......................................... $ 25,000 25,220 1.430%& 11/21/03&&.......................................... 25,275 100,000 Morgan Stanley, Series C 1.240%& 10/15/03&&.......................................... 100,000 Northern Rock plc 45,000 1.103%& 10/16/03&&#......................................... 45,000 45,000 1.140%& 10/16/03&&#......................................... 45,000 20,000 Premier Asset LLC 1.046%& 10/15/03&&.......................................... 20,000 6,800 Schlitz Park Associates II LP 1.200%& 10/01/03&&.......................................... 6,800 Sigma Finance Inc. 60,000 1.090%& 10/01/03&&#......................................... 60,000 25,000 1.080%& 10/10/03&&.......................................... 24,995 50,000 1.080%& 10/15/03&&#......................................... 49,995 100,000 1.080%& 10/15/03&&#......................................... 99,990 SMM Trust 2002-M 20,000 1.170%& 12/15/03............................................ 20,000 21,000 1.310%& 12/15/03............................................ 21,000 17,490 SMM Trust 2003-H 1.265%& 12/23/03&&.......................................... 17,490 Tango Finance Corporation, MTN 35,000 1.090%& 10/15/03&&.......................................... 35,000 15,000 1.090%& 10/23/03&&#......................................... 15,000 50,000 Toyota Motor Credit Corporation 1.070%& 12/16/03&&.......................................... 49,989 Whistlejacket Capital Ltd. 10,000 1.100%& 10/01/03&&.......................................... 10,000 48,000 1.085%& 10/14/03&&.......................................... 47,998 25,000 1.074%& 11/04/03&&.......................................... 25,000 White Pine Finance LLC 50,000 1.080%& 10/01/03&&#......................................... 50,000 30,000 1.056%& 10/15/03&&#......................................... 29,999 40,000 1.100%& 10/15/03&&#......................................... 39,998 40,000 1.080%& 10/20/03&&.......................................... 39,997 45,000 1.090%& 10/20/03&&#......................................... 45,000 ----------- 2,251,634 ----------- TOTAL CORPORATE OBLIGATIONS (Cost $4,317,918)........................................... 4,317,918 ----------- EXTENDABLE COMMERCIAL NOTES -- 1.4% 50,000 Citibank Credit Card Master Trust I Discount note 12/09/03#..................................... 49,897 Mitten GMAC Mortgage Corporation 25,000 Discount note 10/15/03#..................................... 24,989 20,000 Discount note 12/22/03#..................................... 19,948
PRINCIPAL AMOUNT VALUE (000) (000) - ----------------------------------------------------------------------------------------- EXTENDABLE COMMERCIAL NOTES -- (CONTINUED) Mitten Residential Funding Corporation $ 25,000 Discount note 10/30/03#..................................... $ 24,977 50,000 Discount note 11/13/03#..................................... 49,934 ----------- TOTAL EXTENDABLE COMMERCIAL NOTES (Cost $169,745)............................................. 169,745 ----------- MORTGAGE-BACKED SECURITIES -- 2.3% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 2.3% 25,000 Granite Mortgages plc, Series 2003-1, Class 1A1, 1.110%& 10/20/03&&.......................................... 25,000 50,000 Holmes Financing plc, Series 6, Class 1A, 1.120%& 10/15/03............................................ 50,000 75,000 Holmes Financing plc, Series 7, Class 1A, 1.080%& 10/15/03&&.......................................... 75,000 65,000 Permanent Financing plc, Series 2, Class 1A, 1.080%& 10/10/03&&.......................................... 65,000 58,909 Residential Mortgage Securities, Series 15A, Class A1, 1.160%& 10/09/03&&.......................................... 58,909 ----------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $273,909)............................................. 273,909 ----------- MUNICIPAL BONDS AND NOTES -- 1.1% CALIFORNIA -- 0.7% 81,250 California Housing Finance Agency Revenue, Series 2000K, (FSA Insured), 1.050%& 10/01/03&&.......................................... 81,250 ----------- COLORADO -- 0.0%+ 4,000 Denver, Colorado City and County Airport Revenue Refunding, Series 2002D, (Societe Generale LOC), 1.100%& 10/01/03&&.......................................... 4,000 ----------- NEW YORK -- 0.4% 47,902 New York City, New York GO, Series 2001A-9, (FGIC Insured, FGIC SBPA), 1.050%& 10/01/03&&.......................................... 47,902 ----------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $133,152)............................................. 133,152 -----------
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS MONEY MARKET FUNDS Nations Money Market Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ----------------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 30.2% FEDERAL HOME LOAN BANK (FHLB) -- 5.9% $ 37,545 3.125% 11/14/03............................................. $ 37,627 300,000 1.055%& 12/15/03&&.......................................... 299,919 100,000 Discount note 12/19/03...................................... 99,774 15,380 3.750% 02/13/04............................................. 15,516 50,000 Discount note 03/01/04...................................... 49,774 23,500 1.420% 04/21/04............................................. 23,500 50,000 1.375% 05/11/04............................................. 50,000 10,000 1.350% 05/12/04............................................. 9,997 50,000 1.375% 05/12/04............................................. 50,000 25,000 3.375% 06/15/04............................................. 25,393 10,000 4.750% 06/28/04............................................. 10,269 25,000 1.350% 08/25/04............................................. 25,001 10,000 1.420% 09/24/04............................................. 9,999 ----------- 706,769 ----------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 16.4% 75,000 1.046%& 11/01/03&&.......................................... 74,970 50,000 1.059%& 11/01/03&&.......................................... 49,980 68,600 Discount note 11/13/03...................................... 68,512 200,000 Discount note 11/20/03...................................... 199,700 20,000 Discount note 12/04/03...................................... 19,945 150,000 1.107%& 12/09/03&&.......................................... 150,000 790,000 Discount note 12/10/03...................................... 788,346 150,000 Discount note 12/11/03...................................... 149,686 75,000 Discount note 12/15/03...................................... 74,831 200,000 Discount note 02/26/04...................................... 199,063 3,000 6.313% 02/26/04............................................. 3,060 110,000 Discount note 03/31/04...................................... 109,360 50,000 Discount note 04/01/04...................................... 49,708 20,000 1.170% 08/20/04............................................. 20,000 ----------- 1,957,161 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 7.9% 115,000 1.010%& 10/17/03&&.......................................... 114,985 100,000 1.000%& 10/18/03&&.......................................... 99,961 100,000 1.010%& 10/28/03&&.......................................... 99,937 100,000 Discount note 12/15/03...................................... 99,777 40,000 5.125% 02/13/04............................................. 40,588 21,475 Discount note 03/03/04...................................... 21,374 7,288 3.000% 06/15/04............................................. 7,378 43,000 1.080% 07/23/04............................................. 42,951 62,954 6.500% 08/15/04............................................. 65,785 50,000 1.400% 09/21/04............................................. 50,000 100,000 1.500% 09/21/04............................................. 100,000 50,000 1.530% 09/24/04............................................. 50,000 25,000 1.550% 10/01/04............................................. 25,000 25,000 1.340% 10/18/04............................................. 25,000 100,000 1.014%& 11/03/05&&.......................................... 99,969 ----------- 942,705 ----------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $3,606,635)........................................... 3,606,635 -----------
PRINCIPAL AMOUNT VALUE (000) (000) - ----------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 15.7% $ 300,000 Agreement with Countrywide Home Loans, Inc., 1.150% dated 09/30/03 to be repurchased at $300,010 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; collateral valued at $306,000............................... $ 300,000 526,501 Agreement with Dresdner Kleinworth Benson North America LLC, 1.120% dated 09/30/03 to be repurchased at $526,517 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; U.S. Treasury Obligations; collateral valued at $537,035.................................................... 526,501 250,000 Agreement with Goldman Sachs and Company, 1.130% dated 09/30/03 to be repurchased at $250,008 on 10/01/03 collateralized by: Various Commercial Paper; collateral valued at $255,000.......................................... 250,000 200,000 Agreement with J.P. Morgan Securities Inc., 1.160% dated 09/30/03 to be repurchased at $200,006 on 10/01/03 collateralized by: Various Commercial Paper; collateral valued at $204,000.......................................... 200,000 100,000 Agreement with Merrill Lynch Government Securities Inc., 1.130% dated 09/30/03 to be repurchased at $100,003 on 10/01/03 collateralized by: Various Commercial Paper; collateral valued at $102,004............................... 100,000 200,000 Agreement with Salomon Smith Barney Inc., 1.125% dated 09/30/03 to be repurchased at $200,006 on 10/01/03 collateralized by: Various Commercial Paper; collateral valued at $204,000.......................................... 200,000 100,000 Agreement with UBS Warburg, 1.150% dated 09/30/03 to be repurchased at $100,003 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; collateral valued at $102,001.................................................... 100,000
SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS MONEY MARKET FUNDS Nations Money Market Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ----------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- (CONTINUED) $ 200,000 Agreement with Westdeutsche Landesbank Girozentrale, 1.045% dated 09/30/03 to be repurchased at $200,006 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; U.S. Treasury Obligations; collateral valued at $204,000.... $ 200,000 ----------- TOTAL REPURCHASE AGREEMENTS (Cost $1,876,501)........................................... 1,876,501 ----------- TOTAL INVESTMENTS (Cost $12,135,204*)............................... 101.7% 12,135,204 ----------- OTHER ASSETS AND LIABILITIES (NET)................................. (1.7)% Interest receivable........................................... $ 11,108 Payable for Fund shares redeemed.............................. (4) Investment advisory fee payable............................... (1,236) Administration fee payable.................................... (624) Shareholder servicing and distribution fees payable........... (694) Due to custodian.............................................. (5) Distributions payable......................................... (3,948) Payable for investment securities purchased................... (206,010) Accrued Trustees' fees and expenses........................... (57) Accrued expenses and other liabilities........................ (672) ----------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (202,142) ----------- NET ASSETS.......................................... 100.0% $11,933,062 =========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 131 Accumulated net realized gain on investments sold............. 191 Paid-in capital............................................... 11,932,740 ----------- NET ASSETS.................................................... $11,933,062 ===========
VALUE - ----------------------------------------------------------------------------------------- - ----------------------------------------------------------------------------------------- NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($8,601,592,832 / 8,601,425,546 shares outstanding)........... $1.00 =========== TRUST CLASS SHARES: ($42,698,824 / 42,802,160 shares outstanding)................. $1.00 =========== LIQUIDITY CLASS SHARES: ($498,517,106 / 498,442,030 shares outstanding)............... $1.00 =========== ADVISER CLASS SHARES: ($1,846,810,600 / 1,846,735,014 shares outstanding)........... $1.00 =========== INVESTOR CLASS SHARES: ($62,324,377 / 62,304,681 shares outstanding)................. $1.00 =========== DAILY CLASS SHARES: ($4,391,294 / 4,389,659 shares outstanding)................... $1.00 =========== SERVICE CLASS SHARES: ($3,345,889 / 3,340,792 shares outstanding)................... $1.00 =========== INVESTOR B SHARES: ($12,506,198 / 12,505,061 shares outstanding)................. $1.00 =========== INVESTOR C SHARES: ($862,991 / 862,927 shares outstanding)....................... $1.00 =========== INSTITUTIONAL SHARES: ($860,011,673 / 859,972,879 shares outstanding)............... $1.00 ===========
- --------------- *Federal income tax information (see Note 7). &Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2003. && Reset date. Interest rates reset either daily, weekly, monthly, or quarterly. #Security not registered under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional buyers. ##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 to qualified institutional buyers. +Amount represents less than 0.1%. @@ Restricted security (see Note 5). SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS MONEY MARKET FUNDS Nations Treasury Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ REPURCHASE AGREEMENTS -- 72.3% $ 500,000 Agreement with Banque National de Paris, 0.970% dated 09/30/03 to be repurchased at $500,013 on 10/01/03 collateralized by: U.S. Treasury Obligations; collateral valued at $510,001.... $ 500,000 1,500,000 Agreement with Barclays Capital Inc., 0.970% dated 09/30/03 to be repurchased at $1,500,040 on 10/01/03 collateralized by: U.S. Treasury Obligations; collateral valued at $1,530,000.. 1,500,000 1,000,000 Agreement with Bear Stearns Companies Inc., 0.970% dated 09/30/03 to be repurchased at $1,000,026 on 10/01/03 collateralized by: U.S. Treasury Obligations; collateral valued at $1,021,821........................................ 1,000,000 300,000 Agreement with Bear Stearns Companies Inc., 1.070% dated 09/30/03 to be repurchased at $300,009 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; collateral valued at $306,003............................... 300,000 200,000 Deutsche Bank Securities Inc., 1.290% with a final maturity date of 09/16/04. Interest receivable at September 30, 2003 was $294, collateralized by: U.S. Treasury Obligations; collateral valued at $204,000@@............................. 200,000 200,000 Agreement with First Union Securities, Inc., 1.070% dated 09/30/03 to be repurchased at $200,006 on 10/01/03 collateralized by: U.S. Government Agency and Obligations; collateral valued at $204,000............................... 200,000 345,448 Agreement with Goldman Sachs and Company 0.950% dated 09/30/03 to be repurchased at $345,457 on 10/01/03 collateralized by: U.S. Treasury Obligations; collateral valued at $352,358.... 345,448 500,000 Agreement with Greenwich Capital Markets Inc., 0.960% dated 09/30/03 to be repurchased at $500,013 on 10/01/03 collateralized by: U.S. Treasury Obligations; collateral valued at $510,002.......................................... 500,000
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ REPURCHASE AGREEMENTS -- (CONTINUED) $ 300,000 Agreement with J.P. Morgan Securities Inc., 1.050% dated 09/30/03 to be repurchased at $300,009 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; collateral valued at $306,001............................... $ 300,000 1,000,000 Agreement with UBS Warburg, 0.970% dated 09/30/03 to be repurchased at $1,000,027 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; collateral valued at $1,020,001.................................................. 1,000,000 1,000,000 Agreement with UBS Warburg, 1.050% dated 09/30/03 to be repurchased at $1,000,029 on 10/01/03 collateralized by: U.S. Treasury Obligations; collateral valued at $1,020,002.. 1,000,000 300,000 Agreement with Westdeutsche Landesbank Girozentrale, 0.970% dated 09/30/03 to be repurchased at $300,008 on 10/01/03 collateralized by: U.S. Treasury Obligations; collateral valued at $306,001.......................................... 300,000 200,000 Agreement with Westdeutsche Landesbank Girozentrale, 1.070% dated 09/30/03 to be repurchased at $200,006 on 10/01/03 collateralized by: U.S. Government and Agency Obligations; collateral valued at $204,000............................... 200,000 ----------- TOTAL REPURCHASE AGREEMENTS (Cost $7,345,448)........................................... 7,345,448 ----------- U.S. TREASURY OBLIGATIONS -- 27.6% U.S. TREASURY BILLS -- 1.7% 68,000 Discount note 12/11/03...................................... 67,883 100,000 Discount note 01/15/04...................................... 99,731 ----------- 167,614 ----------- U.S. TREASURY BONDS -- 0.4% 40,000 2.125% 08/31/04............................................. 40,300 ----------- U.S. TREASURY NOTES -- 25.5% 274,000 2.750% 10/31/03............................................. 274,274 189,000 4.250% 11/15/03............................................. 189,563 134,000 3.000% 11/30/03............................................. 134,346 192,000 3.250% 12/31/03............................................. 192,941
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS MONEY MARKET FUNDS Nations Treasury Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------ U.S. TREASURY NOTES -- (CONTINUED) $ 75,000 3.000% 01/31/04............................................. $ 75,402 417,000 3.000% 02/29/04............................................. 420,033 312,000 3.625% 03/31/04............................................. 315,888 406,000 3.375% 04/30/04............................................. 411,007 313,000 2.875% 06/30/04............................................. 317,327 183,000 2.250% 07/31/04............................................. 184,702 75,000 1.875% 09/30/04............................................. 75,392 ----------- 2,590,875 ----------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,798,789)........................................... 2,798,789 ----------- TOTAL INVESTMENTS (Cost $10,144,237*)............................... 99.9% 10,144,237 ----------- OTHER ASSETS AND LIABILITIES (NET)................................. 0.1% Interest receivable........................................... $ 19,860 Investment advisory fee payable............................... (1,046) Administration fee payable.................................... (551) Shareholder servicing and distribution fees payable........... (2,100) Distributions payable......................................... (2,444) Accrued Trustees' fees and expenses........................... (269) Accrued expenses and other liabilities........................ (286) ----------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 13,164 ----------- NET ASSETS.......................................... 100.0% $10,157,401 =========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 46 Accumulated net realized loss on investments sold............. (68) Paid-in capital............................................... 10,157,423 ----------- NET ASSETS.................................................... $10,157,401 =========== VALUE - ------------------------------------------------------------------------------------------ NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($1,844,566,221 / 1,844,888,248 shares outstanding)........... $1.00 =========== TRUST CLASS SHARES: ($799,964,210 / 800,339,781 shares outstanding)............... $1.00 =========== LIQUIDITY CLASS SHARES: ($418,964,427 / 418,938,246 shares outstanding)............... $1.00 =========== ADVISER CLASS SHARES: ($4,312,997,399 / 4,313,457,011 shares outstanding)........... $1.00 =========== INVESTOR CLASS SHARES: ($611,727,855 / 612,009,248 shares outstanding)............... $1.00 =========== DAILY CLASS SHARES: ($436,262,314 / 436,433,435 shares outstanding)............... $1.00 =========== SERVICE CLASS SHARES: ($32,254,189 / 32,267,278 shares outstanding)................. $1.00 =========== INVESTOR A SHARES: ($763,851,955 / 764,416,016 shares outstanding)............... $1.00 =========== INVESTOR B SHARES: ($407,613 / 407,606 shares outstanding)....................... $1.00 =========== INSTITUTIONAL SHARES: ($936,404,826 / 936,405,123 shares outstanding)............... $1.00 ===========
- --------------- *Federal income information (see Note 7). @@ Restricted security (see Note 5). SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS MONEY MARKET FUNDS Nations Government Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 100.6% FEDERAL FARM CREDIT BANK (FFCB) -- 15.9% $ 50,000 0.990%& 10/01/03&&.......................................... $ 49,988 75,000 1.000%& 10/01/03&&.......................................... 75,000 100,000 1.015%& 10/01/03&&.......................................... 99,996 200,000 1.015%& 10/01/03&&.......................................... 199,994 100,000 1.020%& 10/10/03&&.......................................... 99,991 40,090 1.164%& 10/14/03&&.......................................... 40,082 100,000 0.995%& 11/01/03&&.......................................... 99,992 100,000 1.000%& 11/04/03&&.......................................... 99,960 ---------- 765,003 ---------- FEDERAL HOME LOAN BANK (FHLB) -- 84.3% 175,566 Discount note 10/01/03...................................... 175,566 27,830 3.125% 10/01/03............................................. 27,830 200,000 1.003%& 10/06/03&&.......................................... 199,979 430,340 Discount note 10/08/03...................................... 430,254 71,898 Discount note 10/10/03...................................... 71,880 4,451 Discount note 10/14/03...................................... 4,449 128,262 Discount note 10/15/03...................................... 128,212 86,103 Discount note 10/15/03...................................... 86,069 57,266 Discount note 10/17/03...................................... 57,241 100,000 1.000%& 10/17/03&&.......................................... 99,961 262,177 Discount note 10/22/03...................................... 262,022 243,328 Discount note 10/24/03...................................... 243,166 200,000 1.000%& 10/24/03&&.......................................... 199,964 10,000 3.060% 10/24/03............................................. 10,008 250,000 1.016%& 10/25/03&&.......................................... 249,931 1,295 Discount note 10/31/03...................................... 1,294 50,530 Discount note 11/07/03...................................... 50,477 35,686 Discount note 11/12/03...................................... 35,644 24,000 2.500% 11/14/03............................................. 24,019 47,500 3.125% 11/14/03............................................. 47,587 25,695 6.375% 11/14/03............................................. 25,845 4,221 Discount note 11/19/03...................................... 4,215 173,400 Discount note 11/21/03...................................... 173,145 2,870 Discount note 11/25/03...................................... 2,864 15,407 Discount note 11/26/03...................................... 15,382 75,000 0.990%& 11/27/03&&.......................................... 74,978 169,382 Discount note 11/28/03...................................... 169,100 15,000 3.180% 12/03/03............................................. 15,045 97,000 0.970%& 12/04/03&&.......................................... 96,992 200,000 1.055%& 12/15/03&&.......................................... 199,946 50,000 1.070%& 12/21/03&&.......................................... 49,985 10,000 0.975%& 12/29/03&&.......................................... 9,997 115,710 5.375% 01/05/04............................................. 116,875 100,000 0.970%& 01/06/04&&.......................................... 99,967 73,000 Discount note 02/04/04...................................... 72,711 84,000 Discount note 02/13/04...................................... 83,649 14,400 3.750% 02/13/04............................................. 14,541 45,000 5.250% 02/13/04............................................. 45,657 87,905 3.750% 04/15/04............................................. 89,137
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK (FHLB) -- (CONTINUED) $ 29,950 4.875% 04/16/04............................................. $ 30,543 25,000 1.420% 04/21/04............................................. 25,000 5,000 3.375% 05/14/04............................................. 5,067 5,000 3.375% 06/15/04............................................. 5,072 98,000 4.750% 06/28/04............................................. 100,614 5,000 1.250% 07/02/04............................................. 4,998 50,000 1.350% 08/25/04............................................. 50,001 30,000 1.360% 09/21/04............................................. 30,000 30,000 1.420% 09/24/04............................................. 29,996 15,000 1.470% 09/24/04............................................. 15,000 ---------- 4,061,875 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 0.4% 20,000 1.400% 09/21/04............................................. 20,000 ---------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $4,846,878)........................................... 4,846,878 ---------- U.S. TREASURY OBLIGATIONS -- 0.3% (Cost $15,146) U.S. TREASURY NOTES -- 0.3% 15,000 2.250% 07/31/04............................................. 15,146 ---------- TOTAL INVESTMENTS (Cost $4,862,024*)................................ 100.9% 4,862,024 ---------- OTHER ASSETS AND LIABILITIES (NET).................. (0.9)% Cash.......................................................... $ 1 Interest receivable........................................... 9,782 Investment advisory fee payable............................... (493) Administration fee payable.................................... (248) Shareholder servicing and distribution fees payable........... (799) Distributions payable......................................... (364) Payable for investment securities purchased................... (49,270) Accrued Trustees' fees and expenses........................... (111) Accrued expenses and other liabilities........................ (838) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (42,340) ---------- NET ASSETS.......................................... 100.0% $4,819,684 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 45 Accumulated net realized gain on investments sold............. 106 Paid-in capital............................................... 4,819,533 ---------- NET ASSETS.................................................... $4,819,684 ==========
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS MONEY MARKET FUNDS Nations Government Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ---------------------------------------------------------------------------------------- NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($1,297,548,452 / 1,297,342,989 shares outstanding)........... $1.00 ========== TRUST CLASS SHARES: ($372,455,348 / 372,410,059 shares outstanding)............... $1.00 ========== LIQUIDITY CLASS SHARES: ($320,092,817 / 319,885,416 shares outstanding)............... $1.00 ========== ADVISER CLASS SHARES: ($1,474,291,243 / 1,474,450,638 shares outstanding)........... $1.00 ========== INVESTOR CLASS SHARES: ($683,926,397 / 684,115,869 shares outstanding)............... $1.00 ========== DAILY CLASS SHARES: ($282,373,955 / 282,315,810 shares outstanding)............... $1.00 ========== INVESTOR A SHARES: ($5,187,272 / 5,183,590 shares outstanding)................... $1.00 ========== INVESTOR B SHARES: ($1,170,590 / 1,170,358 shares outstanding)................... $1.00 ========== INSTITUTIONAL SHARES: ($382,637,915 / 382,612,553 shares outstanding)............... $1.00 ==========
- --------------- * Federal income tax information (see Note 7). & Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2003. &&Reset date. Interest rates reset either daily, weekly, monthly, or quarterly. SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 98.9% ALABAMA -- 1.0% $ 4,200 Birmingham, Alabama Medical Clinic Board Revenue, (Medical Advancement Foundation Project) Series 2000A, (Columbus Bank & Trust LOC), 1.390% 09/01/30**........................................... $ 4,200 4,015 Birmingham, Alabama Private Educational Building Authority Revenue, (The Altamont School Project) Series 1998, (AmSouth Bank of Alabama N.A. LOC), 1.180% 04/01/13**........................................... 4,015 1,250 Dothan Houston County, Alabama Airport Authority, Airport Revenue, (Pemco Aviation Group Project) Series 2002, AMT, (SouthTrust Bank N.A. LOC), 1.330% 10/01/17**........................................... 1,250 3,500 Geneva County, Alabama Industrial Development Board Revenue, (Brooks AG Company Inc. Project) Series 2002, AMT, (Regions Bank LOC), 1.230% 03/01/14**........................................... 3,500 3,450 Huntsville, Alabama Solid Waste Disposal Authority and Resources Recovery Revenue, Series 2003, AMT, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.100% 10/01/12**@@......................................... 3,450 24,000 Phenix County, Alabama Industrial Development Board Environmental Improvement Revenue, (Mead Coated Board, Inc. Project) Series 1993A, AMT, (Toronto Dominion Bank LOC), 1.200% 06/01/28**........................................... 24,000 ---------- 40,415 ---------- ALASKA -- 0.4% 8,000 Alaska Industrial Development and Export Authority Exempt Facilities Revenue, (AMAX Gold, Inc. Project) Series 1997, AMT, (Bank of Nova Scotia LOC), 1.160% 05/01/09**........................................... 8,000 7,000 Alaska State, Housing Finance Corporation Revenue, Series 2002A, AMT, (FSA GO of Corporation, Dexia Credit Local de France SBPA), 1.170% 12/01/36**........................................... 7,000 ---------- 15,000 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ARIZONA -- 1.3% $ 5,200 Apache County, Arizona, IDR, (Tucson Electric Power Project) Series 1983C, (Societe Generale LOC), 1.150% 12/15/18**........................................... $ 5,200 10,000 Arizona Educational Loan Marketing Corporation, Educational Loan Revenue, Series 1991A, AMT, (GTD STD LNS, State Street Banking and Trust Company LOC), 1.150% 12/01/20**........................................... 10,000 17,650 Coconino County, Arizona Pollution Control Corporation Revenue, (Arizona Public Service Company - Navajo Project) Series 1994A, AMT, (KBC Bank LOC), 1.130% 10/01/29**........................................... 17,650 1,000 Flagstaff, Arizona Street and Highway User Revenue, Series 2003, (FSA Insured), 2.500% 07/01/04............................................. 1,012 2,100 Goodyear, Arizona, IDR, (Walle Corporation Project) Series 1995, AMT, (Bank One Kentucky, N.A. LOC), 1.220% 05/01/15**#.......................................... 2,100 16,300 Phoenix, Arizona Civic Improvement Corporation Excise Tax Revenue, (Apartment Improvements Project) Series 1995, AMT, (Landesbank Hessen Thueringen LOC), 1.090% 06/01/20**........................................... 16,300 4,600 Phoenix, Arizona Industrial Development Authority, Multi- Family Housing Revenue Refunding, Series 2003B, AMT, (Park National Bank LOC, FHLB LOC), 1.180% 04/01/08**........................................... 4,600 ---------- 56,862 ---------- ARKANSAS -- 0.3% 5,775 Arkansas State Development Finance Authority, Solid Waste Disposal Revenue, (Waste Management of Arkansas Project) Series 2003, AMT, (Fleet National Bank LOC), 1.100% 06/01/28**........................................... 5,775 6,500 Lowell, Arkansas IDR, (Little Rock Newspapers, Inc. Project) Series 1996, AMT, (Bank of New York LOC), 1.100% 06/01/31**#.......................................... 6,500 ---------- 12,275 ---------- CALIFORNIA -- 4.6% 6,500 California Community College Financing Authority TRAN, Series 2003A, 2.000% 06/30/04............................................. 6,558
SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 10,000 California Higher Education Loan Authority Inc., Student Loan Revenue, Series 1987, AMT, (Student Loan Marketing Association LOC), 1.050% 07/01/04**........................................... $ 10,000 10,000 California Housing Finance Agency Multi-Family Housing Revenue, Series 2000C, AMT, (GO of Agency), 1.280% 02/01/33**........................................... 10,000 19,900 California Housing Finance Agency Revenue, Series 2002B, AMT, (FSA Insured, Lloyds TSB Bank plc), 1.280% 08/01/33**........................................... 19,900 11,900 California Housing Finance Agency Revenue, Series 2002M, AMT, (Bank of Nova Scotia SBPA), 1.200% 08/01/33**........................................... 11,900 10,000 California School Cash Reserve Program Authority, Revenue, Series 2003A, 2.000% 07/06/04............................................. 10,089 23,880 California State Department of Water Resources, Power Supply Revenue, Series 2002B-1, (Bank of New York LOC, California State Teachers Retirement LOC), 1.200% 05/01/22**........................................... 23,880 30,100 California State, Department of Water Resources, Power Supply Revenue, Series 2002B-2, (BNP Paribas LOC), 1.230% 05/01/22**........................................... 30,100 31,250 California Statewide Communities Development Authority Revenue, TRAN, Series 2003A-1, (FSA Insured), 2.000% 06/30/04............................................. 31,509 37,500 Los Angeles County, California TRAN, Series 2003A, 2.000% 06/30/04............................................. 37,805 2,795 Orange County, California Sanitation Districts Certificates of Participation, Series 2000A, (Dexia Public Finance Bank SBPA), 1.200% 08/01/29**........................................... 2,795 ---------- 194,536 ---------- COLORADO -- 2.9% 470 Colorado Health Facilities Authority Revenue, (Goodwill Industries, Inc. Project) Series 1994, (Bank One of Colorado, N.A. LOC), 1.350% 12/01/04**........................................... 470
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- COLORADO -- (CONTINUED) $ 6,940 Colorado Health Facility Authority Revenue, (Frasier Meadows Manor Project) Series 1999, (Bank one Colorado N.A. LOC), 1.100% 06/01/21**........................................... $ 6,940 25,000 Colorado Housing and Finance Authority Revenue, Series 2002I-C2, AMT, (FHLB SBPA), 1.750% 10/01/32**........................................... 25,000 14,000 Colorado Housing and Finance Authority, Single Family Mortgage Revenue, Series 2002, (Federal Home Loan Bank SBPA), 1.070% 11/01/21**........................................... 14,000 4,900 Colorado Housing and Finance Authority, Single Family Mortgage Revenue, Series 2002, (FHLB SBPA), 1.120% 11/01/21**........................................... 4,900 17,000 Colorado Housing and Finance Authority, Single Family Mortgage Revenue, Series 2003B-3, AMT, (JP Morgan Chase Bank SBPA), 1.120% 11/01/26**........................................... 17,000 26,720 Denver City and County, Colorado Exercise Tax Revenue, (Colorado Convention Center Project) Series 2001, (FSA Insured, Dexia Credit Local SBPA), 1.050% 09/01/25**........................................... 26,720 2,200 Denver, Colorado City and County Airport Revenue Refunding, Series 2001A, AMT, (FGIC Insured), 5.000% 11/15/03............................................. 2,209 10,320 Denver, Colorado City and County Airport Revenue, Series 1991D, AMT, (MBIA-IBC Insured), 1.725%*** 11/15/03.......................................... 10,298 12,000 Denver, Colorado City and County Certificates of Participation, Series 2003, (AMBAC Insured, Dexia Credit Local SBPA), 1.050% 12/01/29**........................................... 12,000 685 Larimer County, Colorado IDR Refunding, (Ultimate Support Systems Project) Series 1995A, (Bank One of Colorado, N.A. LOC), 1.250% 06/01/10**#.......................................... 685 ---------- 120,222 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CONNECTICUT -- 2.8% $ 7,650 Connecticut State Health and Educational Facilities Authority Revenue, (Westminster School Project) Series 2002C, (Fleet Bank N.A. LOC), 1.100% 07/01/32**........................................... $ 7,650 47,340 Connecticut State Health and Educational Facilities Authority Revenue, (Yale University Project) Series 2003, 1.130% 07/01/37**........................................... 47,340 35,550 Connecticut State, Health and Educational Facilities Authority, Revenue, (Yale University Project) Series 2001V-2, 1.190% 07/01/36**........................................... 35,550 28,320 Fairfield, Connecticut BAN, Series 2003, 1.500% 07/29/04............................................. 28,455 ---------- 118,995 ---------- DELAWARE -- 2.7% 50,500 Delaware State Economic Development Authority IDR, (Clean Power Project) Series 1997B, AMT, (Motiva Enterprises LLC Guarantee), 1.300% 08/01/29**........................................... 50,500 58,000 Delaware State Economic Development Authority IDR, (Clean Power Project) Series 1997D, AMT, (Motiva Enterprises LLC Guarantee), 1.180% 08/01/29**........................................... 58,000 5,185 New Castle County, Delaware Airport Facilities Revenue, (Flightsafety International Inc. Project) Series 2002, (Berkshire Hathaway GTY AGMT), 1.130% 12/01/32**........................................... 5,185 ---------- 113,685 ---------- DISTRICT OF COLUMBIA -- 0.9% 5,000 District of Columbia Housing Finance Agency, Multi-Family Housing Revenue, Series 1995A, AMT, (HUD Section 8, Landesbank Hessen-Thueringin LOC), 1.270% 08/01/25**........................................... 5,000 7,500 District of Columbia Enterprise Zone Revenue, (House on F Street Project) Series 2001, (Bank of New York LOC), 1.100% 05/01/15**........................................... 7,500 21,400 District of Columbia Revenue, Series 1998B, (FSA Insured), 1.250% 08/15/38**........................................... 21,400
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- DISTRICT OF COLUMBIA -- (CONTINUED) $ 2,570 Metropolitan Washington, DC Airport Authority Systems Revenue, Series 2002A, AMT, (FGIC Insured), 4.000% 10/01/03............................................. $ 2,570 ---------- 36,470 ---------- FLORIDA -- 6.9% 30,000 Broward County, Florida Port Facilities Revenue Refunding, (Port Everglades Project) Series 1998, (AMBAC Insured, Bank of Nova Scotia SBPA), 1.150% 09/01/27**........................................... 30,000 32,750 Collier County, Florida Health Facilities Authority Hospital Revenue, Cleveland Clinic Health, Series 2003C-1, (JP Morgan Chase Bank LOC), 1.220% 01/01/35**........................................... 32,750 4,515 Escambia County, Florida Housing Finance Authority, Single Family Mortgage Revenue, Series 2001, 1.180% 10/01/31**........................................... 4,515 7,545 Florida Housing Finance Agency Multi-Family Housing Revenue, (Lakes of Northdale Project) Series 1984D, (SouthTrust Bank of Alabama LOC), 1.130% 06/01/07**........................................... 7,545 3,500 Florida Housing Finance Corporation Revenue, (Tuscany Lakes Housing Project) Series 2002, AMT, (FNMA Insured), 1.230% 11/15/35**........................................... 3,500 6,000 Florida Housing Finance Corporation, Multi-Family Revenue, (Hunters Run Apartments Project) Series 2003G, AMT, (FNMA Collateral Agreement, Amsouth Bank LOC), 1.110% 06/15/36**........................................... 6,000 7,100 Florida Local Government Finance Commission, 1.000% 02/06/04............................................. 7,100 8,795 Florida State Board of Education Lottery Revenue, Series 2003, 1.130% 07/01/10**........................................... 8,795 1,455 Fort Walton Beach, Florida IDR, (Burton Golf, Inc. Project) Series 1996, AMT, (Columbus Bank and Trust LOC), 1.350% 10/01/11**........................................... 1,455 111,400 Greater Orlando Aviation Authority Florida, Airport Facility Revenue Refunding, (FSA Bayerische Hypotheken und Vereinsbank SBPA), 1.100% 10/01/21**........................................... 111,400
SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 4,295 Hillsborough County, Florida Aviation Authority Revenue, Series 2003, AMT, (MBIA Insured), 1.200% 10/01/15**........................................... $ 4,295 5,255 Jacksonville, Florida Sales Tax Revenue, Series 2001, 1.130% 10/01/14**........................................... 5,255 5,000 Lee County, Florida Industrial Development Authority, Utilities Revenue, (North Fort Myers Utilities Project) Series 2003A, AMT, (SunTrust Bank LOC), 1.200% 06/01/22**........................................... 5,000 2,500 Lee County, Florida Solid Waste Systems Revenue Refunding, Series 2001, AMT, (MBIA Insured), 5.000% 10/01/03............................................. 2,500 18,200 Miami-Dade County, Florida Individual Development Authority Revenue, (Airis Miami LLC Project) Series 1999A, AMT, (AMBAC Insured, Bayerische Landesbank SBPA), 1.100% 10/15/25**........................................... 18,200 16,000 Orange County, Florida Housing Finance Authority, Multi-Family Revenue, (Northbridge Phase II Project) Series 2003A, AMT, (SouthTrust Bank N.A. LOC), 1.110% 08/15/36**........................................... 16,000 14,420 Palm Beach County, Florida Solid Waste Authority Revenue, Series 2003, (AMBAC Insured), 1.230% 10/01/13**#.......................................... 14,420 5,500 University Athletic Association Inc., Florida Athletic Program Revenue, Series 2001, (SunTrust Bank LOC), 2.600% 10/01/31**........................................... 5,500 9,000 University of Florida, Research Foundation Inc., Capital Improvement Revenue, Series 2003, (Wachovia Bank N.A. LOC), 1.120% 09/01/33**........................................... 9,000 ---------- 293,230 ---------- GEORGIA -- 3.7% 12,960 Atlanta, Georgia Airport Revenue, Series 2001, AMT, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.260% 01/01/25**@@......................................... 12,960 5,390 Atlanta, Georgia Airport Revenue, Series 2003, AMT, (FGIC Insured, BNP Paribas SBPA), 1.200% 01/01/14**........................................... 5,390
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 25,100 Atlanta, Georgia Urban Residential Finance Authority, Multi-Family Revenue, (Park District Atlantic Project) Series 2002A, AMT, (SouthTrust Bank N.A. LOC), 1.200% 12/01/37**........................................... $ 25,100 7,000 Atlanta, Georgia Urban Residential Finance Authority, Multi-Family Revenue, AMT, (Regions Bank LOC), 1.180% 03/01/43**........................................... 7,000 5,610 Atlanta, Georgia Water and Sewer Revenue, Series 2001, 1.130% 01/01/17**........................................... 5,610 5,000 Bartow County, Georgia Development Authority, Multi-Family Housing Revenue, (Somerset Cove Apartments Project) Series 2002, (PNC Bank N.A.), 1.200% 02/01/35**........................................... 5,000 5,725 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Chateau Forest Apartments Project) Series 1990E, (FSA Insured, Societe Generale SBPA), 1.010% 01/01/21**........................................... 5,725 3,900 Cobb County, Georgia Housing Authority, Multi-Family Housing Revenue, (Woodchase Village Apartments Project) Series 2003, AMT, (Regions Bank LOC), 1.200% 03/15/36**........................................... 3,900 755 Cobb County, Georgia IDR, (Datagraphic Inc. Project) Series 1990, AMT, (SouthTrust Bank of Alabama LOC), 1.330% 05/01/05**........................................... 755 9,215 Columbia County, Georgia Development Authority, Multi-Family Revenue, (Westwood Club Apartments Project) Series 2002, AMT, (Keybank, N.A. LOC), 1.190% 11/15/35**........................................... 9,215 10,000 Columbus, Georgia Hospital Authority Revenue, (St. Francis Hospital Inc., Project) Series 2000A, (Columbus Bank & Trust LOC), 1.230% 01/01/31**........................................... 10,000 7,475 DeKalb County, Georgia Housing Authority Multi-Family Housing Revenue, (Stone Mill Run Apartments Project) Series 1995A, AMT, (First Tennessee Bank, N.A. LOC), 1.200% 08/01/27**........................................... 7,475
SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 250 Downtown Smyrna, Georgia Development Authority Revenue, Series 2002, (AMBAC Insured), 2.250% 02/01/04............................................. $ 251 34,270 Fulton County, Georgia Development Authority, Airport Facilities Revenue (Flightsafety International Inc. Project) Series 1999B, AMT, 1.130% 12/01/18**........................................... 34,270 9,350 Fulton County, Georgia Development Authority, Airport Facilities Revenue, (Flightsafety International Inc. Project) Series 1999B, AMT, 1.130% 12/01/28**........................................... 9,350 3,900 Fulton County, Georgia Development Authority, IDR, (Leggett & Platt Inc. Project) Series 1992A, AMT, (Wachovia Bank of Georgia LOC), 1.350% 06/01/27**........................................... 3,900 9,215 Richmond County, Georgia Development Authority, (Stonegate Club Apartments Project) Series 2002, (J.P. Morgan Chase Bank LOC), 1.190% 11/15/35**........................................... 9,215 1,275 Thomasville, Georgia Payroll Development Authority Industrial Revenue, (Scruggs Company Project) Series 2000, (First Union National Bank LOC), 1.250% 08/01/10**##......................................... 1,275 ---------- 156,391 ---------- HAWAII -- 0.3% 11,700 Honolulu City and County, Hawaii GO, Series 2001C, (FGIC Insured, FGIC SBPA), 1.300% 12/01/07**........................................... 11,700 ---------- IDAHO -- 0.9% 6,290 Idaho Housing and Finance Association Revenue, Series 2002A-38, AMT, (Wachovia Bank N.A. LOC), 1.200% 07/01/32**##......................................... 6,290 8,710 Idaho Housing and Finance Association, Single Family Mortgage Revenue, Series 2003C, AMT, (Bayerische Landesbank SBPA), 1.050% 07/01/34............................................. 8,710 20,900 Idaho State TAN, Series 2003, 2.000% 06/30/04............................................. 21,057 2,000 Power County, Idaho IDR, (FMC Corporation Project) Series 2001, AMT, (Wachovia Bank N.A. LOC), 1.150% 04/01/14**........................................... 2,000 ---------- 38,057 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ILLINOIS -- 7.8% $ 20,000 Chicago, Illinois GO, Limited Notes, Series 2002, (Landesbank Hessen-Thueringen LOC), Mandatory Put 12/04/03 @ 100, 1.280% 01/08/04............................................. $ 20,000 8,945 Chicago, Illinois GO, Series 2003, (Landesbank Hessen Thueringen LOC), Mandatory Put 01/07/04 @ 100, 1.220% 01/07/05............................................. 8,945 21,100 Chicago, Illinois Midway Airport Revenue, Second Lien, Series 1998B, AMT, (MBIA Insured, Commerzbank Liquidity Facility), 1.270% 01/01/29**........................................... 21,100 2,200 Chicago, Illinois Multi-Family Housing Revenue, Series 2001B, (Harris Trust & Savings Bank LOC), 1.200% 04/01/09**........................................... 2,200 7,900 Chicago, Illinois O'Hare International Airport Revenue, (General Airport Project) Second Lien, Series 1988A, AMT, (Bayerische Landesbank LOC), 1.110% 01/01/18**........................................... 7,900 5,200 Chicago, Illinois O'Hare International Airport Revenue, Series 2003, AMT, (FSA Insured, Citigroup Global Markets Liquidity Facility), 1.200% 01/01/22**........................................... 5,200 5,500 Chicago, Illinois O'Hare International Airport Revenue, Series 2003, AMT, (FSA Insured, Merrill Lynch Capital Services SBPA), 1.200% 07/01/11**#.......................................... 5,500 1,910 Gurnee, Illinois IDR, (Kenall Manufacturing Company Project) Series 1998, (Harris Trust and Saving Bank LOC), 1.200% 03/01/18**........................................... 1,910 6,230 Gurnee, Illinois IDR, (Little Lady Foods Inc. Project) Series 2002, AMT, (LaSalle Bank N.A. LOC), 1.180% 12/01/22**........................................... 6,230 2,600 Illinois Development Finance Authority, IDR, (Rainbow Graphics Inc. Project) Series 2003, AMT, (Bank One N.A. LOC), 1.420% 08/01/23**#.......................................... 2,600 2,605 Illinois Development Finance Authority Affordable Housing Revenue, (Cinnamon Lake Towers Project) Series 1997, AMT, (Bank One N.A. LOC), 1.200% 04/15/37**........................................... 2,605
SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 2,570 Illinois Development Finance Authority IDR, (Flinn Scientific Incorporated Project) Series 1995, (Harris Trust and Savings Bank LOC), 1.200% 10/01/15**........................................... $ 2,570 3,500 Illinois Development Finance Authority IDR, (Randolph Pickle Corporation Project) Series 1992, AMT, (American National Bank & Trust Company LOC), 1.300% 06/01/12**........................................... 3,500 2,800 Illinois Development Finance Authority IDR, (Unique Building Corporation Project) Series 1989, AMT, (American National Bank & Trust Company LOC), 1.300% 05/01/19**........................................... 2,800 4,900 Illinois Development Finance Authority IDR, (WM Plastics Project) Series 2001, AMT, (LaSalle Bank, N.A. LOC), 1.180% 08/01/26**........................................... 4,900 845 Illinois Development Finance Authority Industrial Project Revenue, (Midco International Incorporated Project) Series 2000, AMT, (Harris Trust & Savings Bank LOC), 1.200% 05/01/25**........................................... 845 1,600 Illinois Development Finance Authority Revenue, (Park Ridge Youth Campus Project) Series 1998, (Northern Trust Company LOC), 1.150% 09/01/18**#.......................................... 1,600 5,300 Illinois Development Finance Authority Revenue, (Residential Rental Project) Series 1994, (FNMA Collateral), 1.050% 04/01/24**........................................... 5,300 4,500 Illinois Development Finance Authority Solid Waste Disposal Revenue, (Republic Services Incorporation Project) Series 2001, AMT, (Bank One N.A. LOC), 1.200% 12/01/26**........................................... 4,500 1,800 Illinois Development Finance Authority, IDR, (Campagna-Turano Bakery Project) Series 2000, AMT, (American National Bank & Trust LOC), 1.350% 08/01/25**........................................... 1,800 1,000 Illinois Development Finance Authority, IDR, (Hoda LLC Project) Series 2000A, AMT, (American National Bank & Trust LOC), 1.350% 12/01/20**........................................... 1,000
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 2,150 Illinois Development Finance Authority, IDR, (Royal Continental Box Project) Series 1995B, AMT, (LaSalle National Bank LOC), 1.180% 04/01/10**........................................... $ 2,150 6,700 Illinois Development Finance Authority, Multi-Family Revenue, (West Chicago Senior Apartment Project) Series 2003, AMT, (Citibank N.A. LOC), 1.180% 02/01/38**........................................... 6,700 4,500 Illinois Development Finance Authority, Multi-Family Revenue, Series 2001, 1.220% 12/01/13**........................................... 4,500 1,400 Illinois Educational Facilities Authority Revenue, (Northwestern University Project) Series 1985, (First National Bank of Chicago SBPA), 1.100% 12/01/25**........................................... 1,400 33,340 Illinois Health Facilities Authority Revenue, (University Chicago Hospital) Series 1998, (MBIA Insured, Bank One Illinois N.A. SPBA), 1.250% 08/01/26**........................................... 33,340 23,000 Illinois Health Facilities Authority, Series 1988, 1.040% 11/13/03............................................. 23,000 23,500 Illinois Health Facilities Authority, Series 2003, .870% 12/04/03.............................................. 23,500 4,975 Illinois Sports Facilities Authority, Series 2000A-36, AMT, (MBIA Insured, First Union National Bank SBPA), 1.200% 06/15/04**#.......................................... 4,975 2,850 Illinois State Development Finance Authority Economic Development Revenue, (Addison 450 LP Project) Series 1989, AMT, (American National Bank & Trust Company LOC), 1.200% 12/01/09**........................................... 2,850 71,000 Illinois State GO, Series 2003, 1.500% 03/15/04............................................. 71,176 1,500 Lombard Village, Illinois Industrial Projects Revenue Refunding, (B&H Partnership Project) Series 1995, (LaSalle Bank, N.A. LOC), 1.450% 10/01/13**........................................... 1,500 3,670 Palos Hills, Illinois Multi-Family Housing Revenue, (Green Oaks Project) Series 1998, AMT, (FNMA Collateral Agreement), 1.180% 08/01/29**#.......................................... 3,670
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 1,700 Savanna, Illinois IDR, (Metform Corporation Project) Series 1994B, AMT, (Bank One N.A. LOC), 1.200% 06/01/09**........................................... $ 1,700 7,665 University of Illinois, University Revenue, Series 2003, (AMBAC Insured, Wachovia Bank N.A. SBPA), 1.150% 04/01/34**@@......................................... 7,665 2,700 Upper Illinois, River Valley Development Authority, IDR, (Clover Properties LLC Project) Series 2000, AMT, (Lasalle Bank N.A. LOC), 1.180% 07/01/20**##......................................... 2,700 1,395 Urbana, Illinois Multi-Family Housing Revenue, (Prairie Green II Apartments Project) Series 2003, AMT, (Lasalle Bank N.A. LOC), 1.180% 06/01/29**........................................... 1,395 4,100 Will County, Illinois Exempt Facilities Revenue, (Amoco Chemical Company Project) Series 1998, AMT, 1.250% 03/01/28**........................................... 4,100 22,905 Will County, Illinois Multi-Family Housing Redevelopment Revenue Refunding, (Woodlands Crest Hill Project), Series 1999, 1.160% 02/15/31**........................................... 22,905 ---------- 332,231 ---------- INDIANA -- 4.5% 3,000 Allen County, Indiana Economic Development Revenue, (Debrand Inc. Project) Series 2002, (Bank One N.A. LOC), 1.370% 08/01/17**........................................... 3,000 1,700 Elkhart, Indiana Economic Development Revenue, (Vahala Foam Enterprises Project) Series 2002, (Bank One N.A.), 1.380% 09/01/17**........................................... 1,700 1,000 Franklin, Indiana EDR, (Davidson Industries Inc. Project) Series 1997A, AMT, (Bank One Indiana N.A. LOC), 1.350% 01/01/08**........................................... 1,000 5,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 1997, 1.090% 10/01/27**........................................... 5,000 7,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 1999, AMT, 1.090% 01/01/29**........................................... 7,000
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 5,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 2001B, 1.090% 09/01/31**........................................... $ 5,000 10,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project), Series 2000A, 1.090% 01/01/28**........................................... 10,000 6,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project), Series 200A, 1.090% 01/01/30**........................................... 6,000 3,182 Greencastle, Indiana Economic Development Revenue Refunding, (Round Barn Manor Project) Series 2003A, AMT, (Federal Home Loan Bank), 1.180% 01/01/28**........................................... 3,182 45,500 Indiana Board Bank Revenue, (Advance Funding Project) Series 2003A, (AMBAC Insured), 2.000% 01/27/04............................................. 45,631 955 Indiana Health Facilities Financing Authority Revenue Refunding, (Cardinal Center, Inc. Project) Series 1996A, (Key Bank, N.A. LOC), 1.150% 12/01/16**#.......................................... 955 15,000 Indiana Health Facilities Financing Authority Revenue, (Ascension Health Credit Group Project) Series 2001A-1, .980% 11/15/36**............................................ 15,000 26,000 Indiana Health Facilities Financing Authority Revenue, Series 2001GP-A-3, 1.150% 11/15/36**........................................... 26,000 1,000 Indiana State Development Finance Authority, EDR, (Patriot Homes Inc. Project), Series 1995, AMT, (Bank One Indiana N.A. LOC), 1.350% 01/01/10**........................................... 1,000 20,000 Indiana Transportation Finance Authority Highway Revenue, BAN, Series 2003, (Bank One N.A. LOC), 1.500% 10/03/03............................................. 20,001 17,000 Indiana, Secondary Market Educational Loans Inc., Student Loan Revenue, Series 1988B, AMT, (AMBAC Insured, SLMA SBPA), 1.100% 12/01/13**........................................... 17,000 2,000 Indianapolis, Indiana IDR, (Altec Industries Project) Series 1989, (Wachovia Bank of Georgia LOC), 1.380% 12/01/04**........................................... 2,000
SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 5,500 Jeffersonville, Indiana Economic Development Revenue, (Amatrol Project) Series 2003, AMT, (National City Bank of Kentucky LOC), 1.230% 04/01/23**........................................... $ 5,500 1,045 Michigan City, Indiana Sanitation District GO, Series 1995, (MBIA Insured), 4.750% 07/01/04............................................. 1,061 9,045 Vincennes University Industrial Revenue, (Student Fee Project) Series 2002F, (Bank One Indiana N.A. LOC), 1.200% 10/01/22**........................................... 9,045 5,720 Washington County, Indiana Industrial Economic Development Revenue, (Frank Miller Lumber Company Project) Series 2001, (National City Bank of Indiana LOC), 1.230% 08/01/16**........................................... 5,720 ---------- 190,795 ---------- IOWA -- 0.9% 5,560 Iowa Finance Authority Single Family Revenue, Series 2002A-46, (GNMA/FNMA COLL, GO of Authority, Wachovia Bank N.A. Liquidity Facility), 1.200% 07/01/24**........................................... 5,560 4,000 Iowa Finance Authority, Multi-Family Revenue, (The Gables at Johnston Project) Series 2002, AMT, (Wachovia Bank N.A. LOC), 1.150% 12/01/37**........................................... 4,000 7,830 Iowa State Finance Authority IDR, (Sauer-Sundstrand Company Project) Series 1996, AMT, (Bayerische Hypotheken und Vereinsbank LOC), 1.200% 05/01/26**........................................... 7,830 20,000 Iowa State School Cash Anticipation Notes Program, Series 2003B, (FSA Insured), 2.250% 01/30/04............................................. 20,077 1,000 West Burlington, Iowa IDR, (Borhi Oilhydraulic Project) Series 2001B, AMT, (American National Bank & Trust LOC) 1.350% 01/01/11**........................................... 1,000 ---------- 38,467 ---------- KANSAS -- 0.6% 5,400 Fredonia, Kansas Revenue, (Systech Environmental Corporation Project) Series 1989, AMT, (Banque Nationale de Paris LOC), 1.150% 02/01/07**........................................... 5,400
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $ 4,000 Junction City, Kansas IDR, (Genmar Manufacturing Project) Series 1999, AMT, (Bank of New York LOC), 1.100% 04/01/19**#.......................................... $ 4,000 9,200 Kansas State Development Finance Authority Exempt Facilities Revenue, (Seaboard Project) Series 1995A, AMT, (Bank of New York LOC), 1.100% 12/01/25**#.......................................... 9,200 5,110 Sedgwick & Shawnee Counties, Kansas Single Family Revenue, Series 2002, 1.180% 12/01/27**@@......................................... 5,110 ---------- 23,710 ---------- KENTUCKY -- 1.7% 8,000 Campbellsville-Taylor County, Kentucky IDR, (Airguards Industrial Inc. Project), AMT, (Northern Trust Company LOC), 1.150% 05/01/31**........................................... 8,000 5,000 Carroll County, Kentucky IDR, (Kentucky Ladder Company Project) Series 1990, AMT, (Bankers Trust Company LOC), 1.450% 09/01/10**........................................... 5,000 4,625 Daviess County, Kentucky Health Care Revenue, (Wendell Fosters Campus for Development Project) Series 2001, (National City Bank, Kentucky LOC), 1.170% 05/01/21**........................................... 4,625 200 Hopkinsville, Kentucky Industrial Building Revenue, (Brazeway, Inc. Project) Series 1994, AMT, (Bank One Michigan, N.A. LOC), 1.350% 06/01/04**#.......................................... 200 3,950 Jefferson County, Kentucky Industrial Building Revenue, (Dant Growth LLC Project) Series 2002, AMT, (Bank One Kentucky N.A. LOC), 1.440% 09/01/22**........................................... 3,950 980 Jefferson County, Kentucky Industrial Building Revenue, (Seven Counties Services, Inc. Project) Series 1996, (Bank One of Kentucky, N.A. LOC), 1.100% 06/01/11**#.......................................... 980 450 Jeffersontown, Kentucky Industrial Building Revenue, (Rague Food Systems, Inc. Project) Series 1995, AMT, (PNC Bank, N.A. LOC), 1.220% 04/01/20**#.......................................... 450 3,345 Kenton County, Kentucky Airport Board, Airport Revenue, Series 2002A, AMT, (MBIA Insured), 2.650% 03/01/04............................................. 3,367
SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- KENTUCKY -- (CONTINUED) $ 10,000 Kentucky Economic Development Finance Authority, Industrial Building Revenue, (Goodwill Industries Project) Series 2003, 1.100% 08/01/23............................................. $ 10,000 4,900 Lexington-Fayette County, Kentucky Urban County Airport Corporation Revenue, (First Mortgage Project) Series 1994A, AMT, (Dexia Public Finance Bank SA LOC), 1.270% 04/01/24**........................................... 4,900 2,400 Lexington-Fayette County, Kentucky Urban County Airport Corporation Revenue, (First Mortgage Project) Series 1994B, AMT, (Dexia Public Finance Bank SA LOC), 1.270% 04/01/24**........................................... 2,400 6,900 Lexington-Fayette, Kentucky Urban County Airport Corporation Revenue, Series 1998A, AMT, (MBIA Insured, Credit Local de France SBPA), 1.270% 07/01/28............................................. 6,900 4,400 Lexington-Fayette, Kentucky Urban County Airport Corporation Revenue, Series 1998C, AMT, (MBIA Insured, Credit Local de France SBPA), 1.270% 07/01/13............................................. 4,400 2,560 Louisville and Jefferson County, Kentucky Convention Center GO, Series 1996PT-69, (FSA Insured, Merrill Lynch SBPA), 1.130% 07/01/24**##......................................... 2,560 7,245 Louisville and Jefferson County, Kentucky Regional Airport Authority, Airport Systems Revenue, Series 2003, 1.200% 07/01/16#............................................ 7,245 6,000 Minor Lane Heights, Kentucky Solid Waste Disposal Revenue, (Waste Management Kentucky LLC Project) Series 2003, (Wachovia Bank N.A. LOC), 1.180% 03/01/21**........................................... 6,000 ---------- 70,977 ---------- LOUISIANA -- 1.7% 2,900 Calcasieu Parish Inc., Louisiana Industrial Development Board Environmental Revenue, (CITGO Petroleum Corporation Project) Series 1994, AMT, (Banque Nationale de Paris LOC), 1.270% 12/01/24**........................................... 2,900
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- LOUISIANA -- (CONTINUED) $ 5,100 Calcasieu Parish Inc., Louisiana Industrial Development Board Revenue, (Hydroserve Westlake Project) Series 1999, AMT, (Bank One Chicago, N.A. LOC), 1.130% 12/01/24**........................................... $ 5,100 8,000 Calcasieu Parish, Louisiana Public Transportation Authority, Solid Waste Disposal Revenue, Series 1997, (Morgan Guaranty Trust LOC), 1.130% 12/01/27**........................................... 8,000 8,175 Ernest N. Morial - New Orleans, Louisiana Exhibit Hall Authority, Special Tax, Series 2003, (AMBAC Insured, Citigroup Global Markets Liquidity Facility), 1.150% 07/15/23**#.......................................... 8,175 11,600 Lincoln Parish, Louisiana Exemption Facility Revenue, (Willamette Industrial Income Project) Series 1995, AMT, (Deutsche Bank A.G. LOC), 1.100% 09/01/25**........................................... 11,600 2,050 Louisiana Housing Finance Agency, Multi-Family Housing Revenue, (Restoration Project) Series 2002A, AMT, (Regions Bank LOC), 1.280% 12/01/32**........................................... 2,050 7,000 Louisiana Public Facilities Authority Revenue, Series 1992, 1.040% 10/01/22**........................................... 7,000 4,250 Louisiana State, Energy & Power Authority, Revenue Refunding, Series 2000, (FSA Insured), 5.500% 01/01/04............................................. 4,295 2,000 New Orleans, Louisiana Revenue, Series 2000, (FSA Insured), 5.000% 12/01/03............................................. 2,012 7,500 Port New Orleans, Louisiana Revenue, (New Orleans Cold Storage Project) Series 2002, AMT, (Whitney National Bank LOC, SunTrust Bank LOC), 1.250% 11/01/22**........................................... 7,500 13,000 South Louisiana Port Commission Facilities Port Revenue, (Holnam, Inc. Project) Series 1997, AMT, (Wachovia Bank, N.A. LOC), 1.110% 01/01/27**........................................... 13,000 ---------- 71,632 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- MAINE -- 0.3% $ 11,600 Maine Public Utility Financing Bank Public Utility Revenue Refunding, (Maine Public Service Company Project) Series 1996, AMT, (Bank of New York LOC), 1.100% 04/01/21**........................................... $ 11,600 ---------- MARYLAND -- 0.5% 12,160 Maryland State Department Transportation Refunding Revenue, Series 2003, 1.500% 12/15/03............................................. 12,172 6,840 Maryland State Industrial Development Finance Authority Economic Development Revenue, (General Binding Corporation Project) Series 1996, AMT, (Harris Trust & Savings Bank LOC), 1.200% 03/01/26**........................................... 6,840 2,300 Maryland State Industrial Development Finance Authority Revenue, (Rock-Tenn Converting Company Project) Series 1994, AMT, (SunTrust Bank LOC), 1.200% 05/01/06**#.......................................... 2,300 ---------- 21,312 ---------- MASSACHUSETTS -- 0.2% 7,995 Massachusetts Municipal Wholesale Electric Company, Power Supply Systems Revenue, Series 2001, (MBIA Insured, Bank of New York Liquidity Facility), 1.100% 07/01/07**........................................... 7,995 690 Massachusetts State, Port Authority Revenue, Series 1999B, AMT, (FSA Insured), 4.350% 07/01/04............................................. 706 ---------- 8,701 ---------- MICHIGAN -- 1.8% 2,000 Detroit, Michigan Economic Development Corporation Resource Recovery Revenue Refunding, Series 2001A, AMT, 3.450% 05/01/04............................................. 2,028 48,000 Michigan Municipal Bond Authority Revenue, Series 2003B-2, (JP Morgan Chase & Company LOC), 2.000% 08/23/04............................................. 48,412 9,500 Michigan State, Housing Development Authority Multi-Family Revenue, (Canterbury Project) Series 2003A, AMT, (Lasalle Bank N.A. LOC), 1.180% 06/01/38**........................................... 9,500
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- MICHIGAN -- (CONTINUED) $ 1,300 Michigan State, Strategic Fund Ltd. Revenue, (Ideal Steel & Building Supply Project) Series 2002, AMT, (Bank One Michigan LOC), 1.200% 05/01/22**........................................... $ 1,300 14,950 Wayne Charter County, Michigan Airport Revenue Refunding, (Detroit Metropolitan County Project) Series 1996, AMT, (Bayerische Landesbank LOC), 1.100% 12/01/16**........................................... 14,950 ---------- 76,190 ---------- MINNESOTA -- 0.1% 5,000 Minneapolis, Minnesota Special School District No. 001, GO, Series 2003, 1.750% 08/06/04............................................. 5,033 ---------- MISSISSIPPI -- 0.0%+ 605 Mississippi Business Finance Corporation IDR, (Choctaw Maid Farms, Inc. Project) Series 1995, AMT, (Rabobank Nederland LOC), 1.200% 03/01/10**#.......................................... 605 600 Mississippi Business Finance Corporation, (Trilogy Communications Project) Series 1995, AMT, (First Union National Bank LOC), 1.150% 06/01/05**#.......................................... 600 ---------- 1,205 ---------- MISSOURI -- 1.4% 2,100 Jefferson County, Missouri Industrial Development Authority Multi-Family Housing Revenue, (Sunset Pointe Project) Series 2000, AMT, (Lasalle Bank N.A. LOC), 1.160% 10/01/30**........................................... 2,100 1,500 Missouri State, Development Finance Board, Air Cargo Facilities Revenue, (St. Louis Air Project) Series 2000, AMT, (American National Bank & Trust LOC), 1.160% 03/01/30**........................................... 1,500 16,600 Missouri Higher Education Loan Authority, Student Loan Revenue Refunding, Series 1991B, AMT, (MBIA Insured, GTD STD LNS, State Street Bank & Trust Company SBPA), 1.150% 03/01/20**........................................... 16,600 12,335 Missouri State Development Finance Board Lease Revenue, (Missouri Association of Utilities Lease Pool Project) Series 1999, (TransAmerica Life and Annuity Guarantee), 1.150% 12/01/22**........................................... 12,335
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- MISSOURI -- (CONTINUED) $ 5,600 Missouri State Health and Educational Facilities Authority, Health Facilities Revenue Refunding, (Sisters of Mercy Health Care System Project) Series 1992B, (ABN-AMRO N.V., Chicago SBPA, Westdeutsche Landesbank SBPA, Dexia Credit Local de France SBPA), 1.125% 06/01/14**........................................... $ 5,600 20,000 St. Louis County, Missouri Industrial Development Authority, Multi-Family Housing Revenue, (General Grant Apartments) Series 2003, AMT, (U.S. Bank N.A. LOC), 1.200% 03/01/38**........................................... 20,000 ---------- 58,135 ---------- NEBRASKA -- 0.8% 5,550 Lancaster County, Nebraska IDR, (Garner Industries, Inc. Project) Series 2000A, AMT, (Wells Fargo Bank, N.A. LOC), 1.280% 11/01/20**........................................... 5,550 6,275 Nebraska Help Inc. Student Loan Revenue, Series 1986A, AMT, (MBIA Insured), 1.200% 12/01/16**##......................................... 6,275 9,695 Nebraska Help Inc. Student Loan Revenue, Series 1986B, AMT, (MBIA Insured), 1.200% 12/01/16**##......................................... 9,695 8,100 Nebraska Help Inc. Student Loan Revenue, Series 1986C, AMT, (MBIA Insured), 1.200% 12/01/16**#.......................................... 8,100 5,645 Nebraska Public Water District Revenue, Series 2001 PA-869R, (Merrill Lynch SBPA, Escrowed in US Treasuries), 1.130% 01/01/15**........................................... 5,645 ---------- 35,265 ---------- NEVADA -- 1.1% 1,000 Clark County, Nevada GO, Series 1994A, (MBIA Insured), 5.800% 06/01/08............................................. 1,042 8,000 Clark County, Nevada IDR, (Nevada Cogeneration Association I Project) Series 1991, AMT, (Canadian Imperial Bank of Commerce LOC), 1.250% 11/01/21**........................................... 8,000 12,500 Clark County, Nevada IDR, (Southwest Gas Corporation Project) Series 2003B, AMT, (Fleet National Bank LOC), 1.200% 03/01/38**........................................... 12,500
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- NEVADA -- (CONTINUED) $ 11,500 Director St, Nevada Department of Business & Industry, PCR, (Barrick Goldstrike Mines Project) Series 1999, AMT, (Royal Bank of Canada LOC), 1.110% 06/01/29**........................................... $ 11,500 6,300 Nevada Housing Division, Multi-Unit Housing Revenue (Silver Pines Housing Project) Series 2002A, (Fannie Mae LOC), 1.100% 10/15/35**........................................... 6,300 5,885 Nevada Housing Division, Multi-Unit Housing Revenue, (Studio 3 LP Project), Series 1999A, AMT, (US Bank, N.A. LOC), 1.125% 10/01/30**........................................... 5,885 ---------- 45,227 ---------- NEW HAMPSHIRE -- 0.3% 8,860 New Hampshire Health and Educational Facilities Authority Revenue, Series 2003, (Fleet National Bank LOC), 1.150% 03/01/34**........................................... 8,860 3,500 New Hampshire State, Business Finance Authority, Exempt Facilities Revenue, (Waste Management of New Hampshire Inc. Project) Series 2000, AMT, (Wachovia Bank N.A. LOC), 1.150% 09/01/12**........................................... 3,500 ---------- 12,360 ---------- NEW MEXICO -- 1.7% 70,000 New Mexico State, TRAN, Series 2003, 2.000% 06/30/04............................................. 70,576 ---------- NEW YORK -- 6.3% 2,500 Buffalo, New York Revenue Anticipation Notes, Series 2003A, (Bank of New York LOC), 2.750% 07/29/04............................................. 2,534 1,000 Metropolitan Transitional Authority New York Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.110% 11/15/10**#.......................................... 1,000 5,300 Metropolitan, New York Transportation Authority Revenue, Series 2003, (AMBAC Insured, Citigroup Global Markets Liquidity Facility), 1.110% 11/15/18**........................................... 5,300
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 2,700 Monroe County, New York Industrial Development Agency, Civic Facilities Revenue, (Hillside Childrens Center Project) Series 1998, (Key Bank, N.A. LOC), 1.150% 08/01/18**#.......................................... $ 2,700 480 Monroe County, New York Industrial Development Agency, Civic Facilities Revenue, (St. Anns Home Company Project) Series 2000, (HSBC Bank USA LOC), 1.070% 07/01/30**........................................... 480 28,250 New York and New Jersey Port Authority, Construction Notes, Series 2003UU, 2.000% 10/15/03............................................. 28,260 15,700 New York City, New York Transitional Finance Authority Revenue, Series 2002A, (Dexia Credit Local Liquidity Facility) 1.200% 11/01/22**........................................... 15,700 1,800 New York State Environmental Facilities Corporation Clean Water and Drinking, Series 2003, (Citigroup Global Market Liquidity Facility), 1.110% 06/15/19**#.......................................... 1,800 7,650 New York State Housing Finance Agency Revenue, (East 84th Street Project) Series 1995A, AMT, (Bayerische Hypotheken und Vereinsbank LOC), 1.250% 11/01/28**........................................... 7,650 7,210 New York State Housing Finance Agency Revenue, (Theater Row Tower Project) Series 2000A, AMT, (Bayerische Hypotheken und Vereinsbank LOC), 1.300% 11/01/32**........................................... 7,210 6,000 New York State Housing Finance Agency Revenue, 66 West 38th Street, Series 2001A, (Bayerische Hypotheken und Vereinsbank LOC), 1.150% 11/01/33**........................................... 6,000 14,780 New York State Power Authority, Series 2003, 0.880% 11/06/03............................................. 14,780 2,800 New York State, Environmental Facilities Corporation, Solid Waste Disposal Revenue, (Waste Management Inc. Project) Series 2002B, AMT, (JP Morgan Chase Bank LOC), 1.120% 05/01/19**........................................... 2,800
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 14,800 New York State, Housing Finance Agency Revenue, (Theater Row Housing Project) Series 2002A, AMT, (Bayerische Hypotheken und Vereinsbank LOC), 1.300% 11/01/32**........................................... $ 14,800 2,000 New York State, Housing Finance Agency Revenue, Series 2000A, AMT, (Bayerische Hypo-und Vereinsbank LOC), 1.150% 11/01/33**........................................... 2,000 34,000 New York State, Tollway Authority General Revenue, BAN, Series 2003A, 1.125% 03/25/04............................................. 34,004 4,535 New York State, Tollway Authority Highway and Bridge Trust Fund Revenue, Series 1996A, (AMBAC Insured), 6.250% 04/01/04............................................. 4,652 95,500 New York, New York City Transitional Finance Authority Revenue, Series 2003-2, 2.000% 02/19/04............................................. 95,847 500 New York, New York City Industrial Development Agency Civic Facility Revenue, (CASA Project), Series 2000, (Chase Manhattan Bank LOC), 1.080% 03/01/20**........................................... 500 3,400 New York, New York City Transitional Finance Authority Revenue, (New York City Recovery Project) Series 2002, (Landesbank Hessen-Thueringen Liquidity Facility), 1.200% 11/01/22**........................................... 3,400 2,100 New York, New York City Transitional Finance Authority, Series 2002G, (Bank New York SBPA), 1.080% 11/01/22**........................................... 2,100 11,700 New York, New York Transitional Finance Authority, Future Tax Secondary, Series 2002C, (Landesbank Hessen-Thueringen SBPA), 1.230% 11/01/22**........................................... 11,700 1,000 Port Authority New York and New Jersey, Series 2003, (AMBAC GO of Authority, Citigroup Global Market Liquidity Facility), 1.160% 12/15/32**#.......................................... 1,000 ---------- 266,217 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- NORTH CAROLINA -- 0.8% $ 8,200 Cleveland County, North Carolina Industrial Facilities Pollution Control Financing Authority, (Curtiss-Wright Flight System Project) Series 1998, AMT, (ScotiaBank LOC), 1.150% 11/01/23**........................................... $ 8,200 1,075 East Carolina University, North Carolina University Revenue, (Dowdy-Ficklen Stadium Project) Series 1996, (Wachovia Bank LOC), 1.120% 05/01/17**........................................... 1,075 1,895 Iredell County, North Carolina Industrial Facilities and Pollution Control Financing Authority Revenue, (Sullivan Corporation Project) Series 1996, AMT, (Bank One Milwaukee, N.A. LOC), 1.350% 01/01/11**#.......................................... 1,895 3,600 Lincoln County, North Carolina Industrial Facilities & Pollution Control Financing Authority Revenue, (HOF Textiles Inc. Project) Series 1991, AMT, 1.350% 10/01/11**........................................... 3,600 1,400 Mecklenburg County, North Carolina Industrial Facilities and Pollution Control Financing Authority Revenue, (Sterigenics International Project) Series 1996, AMT, (American National Bank & Trust LOC), 1.150% 03/01/16**#.......................................... 1,400 4,640 Mecklenburg County, North Carolina Multi-Family Housing Revenue, (Barrington Oaks Apartments Project) Series 2003, AMT, (SunTrust Bank LOC), 1.250% 09/01/35**........................................... 4,640 2,800 North Carolina State Port Authority Exempt Facilities Revenue, (Wilmington Bulk LLC Project) Series 2001A, AMT, (Branch Banking & Trust LOC), 1.200% 09/01/22**........................................... 2,800 4,845 North Carolina State Port Authority Exempt Facilities Revenue, (Wilmington Bulk LLC Project) Series 2001B, AMT, (Branch Banking & Trust LOC), 1.200% 09/01/22**........................................... 4,845
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- NORTH CAROLINA -- (CONTINUED) $ 4,660 Rowan County, North Carolina Industrial Facilities Pollution Control Financing Authority, (Fixed Industrial Development PHC LLC Project) Series 1999, AMT, (Branch Banking and Trust LOC), 1.200% 03/01/14**........................................... $ 4,660 2,345 Rutherford County, North Carolina GO, Series 2003B, (MBIA Insured), 3.000% 06/01/04............................................. 2,379 ---------- 35,494 ---------- OHIO -- 1.5% 865 Centerville, Ohio Health Care Revenue, (Bethany Lutheran Village Hospital Project) Series 1994, (PNC Bank of Ohio, N.A. LOC), 1.140% 11/01/13**#.......................................... 865 23,650 Cleveland, Ohio Waterworks Revenue, Series 2002L, (FGIC Insured, Westdeutsche Landesbank SBPA), 1.050% 01/01/33**........................................... 23,650 425 Greene County, Ohio IDR, (FC Ltd. - AFC Stamping Project) Series 1995, AMT, (Key Bank, N.A. LOC), 1.250% 09/01/16**#.......................................... 425 6,225 Kettering, Ohio IDR, Series 2002, AMT, (Merrill Lynch Capital Services SPBA), 1.270% 11/01/34**........................................... 6,225 1,270 Lucas County, Ohio IDR, (Dynamic Dies, Inc. Project) Series 1997, AMT, (National City Bank LOC), 1.230% 07/01/09**........................................... 1,270 2,179 Ohio Housing Finance Agency Multi-Family Housing Revenue, (Kenwood Congregation - Retirement Project) Series 1985, (Morgan Guaranty Trust LOC), 0.950% 12/01/15**........................................... 2,179 10,500 Ohio State Water Development Authority Solid Waste Disposal Revenue, (The Timken Company Project) Series 1997, AMT, (Wachovia Bank of North Carolina, N.A. LOC), 1.120% 07/01/32**........................................... 10,500
SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- OHIO -- (CONTINUED) $ 750 Summit County, Ohio IDR, (Oliver Printing Company, Inc. Project) Series 1997, AMT, (Bank One of Akron, N.A. LOC), 1.350% 02/01/07**#.......................................... $ 750 15,800 Toledo-Lucas County, Ohio Port Authority Airport Development Revenue, (Flightsafety International, Inc. Project) Series 1998-1, AMT, (Berkshire Hathaway Inc. Guarantee), 1.130% 01/01/18**#.......................................... 15,800 ---------- 61,664 ---------- OKLAHOMA -- 1.2% 1,930 Claremore, Oklahoma Industrial and Redevelopment Industrial Development Authority Revenue, (Whirlwind Steel Buildings Project) Series 2001, AMT, (Chase Manhattan Bank LOC), 1.180% 09/01/16**........................................... 1,930 10,000 Oklahoma Development Finance Authority Revenue, (Seabrook Farms Inc. Project) Series 1997, AMT, (Bank of New York LOC), 1.100% 03/01/27**#.......................................... 10,000 4,210 Oklahoma Housing Finance Agency Single Family Revenue, (Homeownership Loan Program) Series 2001PT-1288, AMT, (GNMA Collateral Agreement, Merrill Lynch SBPA), 1.180% 09/01/29**@@......................................... 4,210 35,500 Oklahoma State Industrial Authority Revenue Refunding, (Integris Health Obligated Group Project) Series 1999B, (MBIA Insured, Morgan Guaranty SBPA), 1.250% 08/15/29**........................................... 35,500 ---------- 51,640 ---------- OREGON -- 0.2% 2,000 Oregon State, Economic Development Revenue, (KRC Western Inc. Project) Series 1997-178, AMT, (Wachovia Bank LOC), 1.150% 01/01/17**##......................................... 2,000 4,500 Port Portland, Oregon Special Obligation Revenue, (Portland Bulk Terminals Project) Series 1999, AMT, (Canadian Imperial Bank LOC), 1.100% 10/01/25**........................................... 4,500 ---------- 6,500 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- PENNSYLVANIA -- 1.1% $ 4,000 Allegheny County, Pennsylvania Hospital Development Authority Revenue, (South Hills Healthcare Project) Series 2000A, (PNC Bank N.A. LOC), 1.150% 06/01/30............................................. $ 4,000 1,860 Elk County, Pennsylvania IDR Authority, (Clarion Sintered Metals Project) Series 1998, AMT, (PNC Bank, N.A. LOC), 1.220% 03/01/09**#.......................................... 1,860 9,000 Elk County, Pennsylvania Industrial Development Authority, Solid Waste Disposal Revenue, (Willamette Industries Inc. Project) Series 1992, (Deustche Bank A.G. LOC), 1.100% 08/01/10**........................................... 9,000 1,600 Emmaus, Pennsylvania General Authority Revenue, Series 1989B-23, (DEPFA Bank plc), 1.090% 03/01/24**........................................... 1,600 7,000 Emmaus, Pennsylvania General Authority Revenue, Series 1989G-18, (DEPFA Bank plc), 1.090% 03/01/24**........................................... 7,000 4,750 Indiana County, Pennsylvania Industrial Development Authority PCR, (Conemaugh Project) Series 1997A, (Bank One N.A. LOC), 1.200% 06/01/27**........................................... 4,750 800 Pennsylvania Economic Development Financing Authority Development Revenue, (Pennsylvania Bar Institute Project) Series 1996B, AMT, (PNC Bank, N.A. LOC), 1.120% 04/01/15**#.......................................... 800 5,525 Pennsylvania Economic Development Financing Authority Exempt Facilities Revenue, (Amtrak Project) Series 2001B, AMT, (Morgan Guaranty Trust LOC), 1.100% 11/01/41**........................................... 5,525 1,760 Schuylkill County, Pennsylvania Industrial Development Authority Revenue, (Bon-Ton Stores Project) Series 1992, AMT, (PNC Bank, N.A. LOC), 1.220% 02/01/12**#.......................................... 1,760 1,315 Schuylkill County, Pennsylvania Industrial Development Authority Revenue, (S. Grumbacher and Son Project) Series 1990, (PNC Bank, N.A. LOC), 1.120% 02/01/12**#.......................................... 1,315
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- PENNSYLVANIA -- (CONTINUED) $ 3,505 Westmoreland County, Pennsylvania Industrial Development Authority Revenue, (Elizabeth Carbide Die Project) Series 1998A, AMT, (National City Bank LOC), 1.230% 10/01/13**#.......................................... $ 3,505 3,480 Westmoreland County, Pennsylvania Industrial Development Authority Revenue, (Rhodin Enterprises Project) Series 1997, AMT, (National City Bank, N.A. LOC), 1.220% 04/01/17**........................................... 3,480 ---------- 44,595 ---------- RHODE ISLAND -- 0.2% 3,560 Pawtucket, Rhode Island GO, Series 2002A, (AMBAC Insured), 4.000% 04/15/04............................................. 3,615 2,870 Rhode Island State Industrial Facilities Corporation IDR, (Precision Turned Components Project) Series 2000, (Bank of New York LOC), 1.200% 05/01/11**........................................... 2,870 ---------- 6,485 ---------- SOUTH CAROLINA -- 3.1% 3,700 Anderson County, South Carolina IDR, (Mikron Corporation Project) Series 1998, AMT, (ABN AMRO Bank N.V. LOC), 1.200% 11/01/12**#.......................................... 3,700 1,000 Cherokee County, South Carolina Industrial Revenue Refunding, (Holmberg Electronic Corporation Project) Series 1989, (Wachovia Bank of North Carolina, N.A. LOC), 1.150% 11/01/04**#.......................................... 1,000 4,800 Kershaw County, South Carolina IDR, (DeRoyal Textiles, Inc. Project) Series 1994, AMT, (SunTrust Bank of Nashville LOC), 1.200% 12/01/07**#.......................................... 4,800 12,000 Marlboro County, South Carolina Solid Waste Disposal Facilities Revenue, (Willamette Industries Inc. Project) Series 1995, AMT, (Deutsche Bank AG LOC), 1.100% 08/01/15**........................................... 12,000 5,500 Marlboro County, South Carolina Solid Waste Disposal Revenue, (Willamette Industrial Income Project) Series 1996, AMT, (Deutsche Bank A.G. LOC), 1.100% 06/01/23**........................................... 5,500 13,325 South Carolina Housing and Development Authority, Mortgage Revenue Notes, Series 2002B, AMT, (AMBAC Insured), 1.570% 10/01/03............................................. 13,325
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 3,120 South Carolina Jobs Economic Development Authority Development Revenue, (Spartanburg YMCA Project) Series 1996, (First Union National Bank LOC), 1.150% 06/01/18**#.......................................... $ 3,120 4,000 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Pine River Plastics Inc. Project) Series 2000, AMT, (Comerica Bank LOC), 1.200% 03/01/11**........................................... 4,000 5,705 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Raynor USA Southeast Project) Series 2000, AMT, (LaSalle Bank, N.A. LOC), 1.180% 05/01/20**........................................... 5,705 24,995 South Carolina Jobs Economic Development Authority Economic Development Revenue, (St. Francis Bon Secours Hospital Project) Series 2000PT-503, (Merrill Lynch Guarantee SBPA), 1.280% 11/15/30**#.......................................... 24,995 6,175 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Thompson Steel Company, Inc. Project) Series 2000, AMT, (Fleet National Bank, N.A. LOC), 1.150% 06/01/20**........................................... 6,175 6,275 South Carolina Jobs Economic Development Authority IDR, (Abraham Industries LLC Project) Series 1999, AMT, (PNC Bank, N.A. LOC), 1.220% 05/01/14**#.......................................... 6,275 2,100 South Carolina Jobs Economic Development Authority IDR, (Banks Construction Company Project) Series 1999, AMT, (Wachovia Bank of North Carolina, N.A. LOC), 1.200% 05/01/09**........................................... 2,100 3,105 South Carolina Jobs Economic Development Authority IDR, (Kravet Fabrics, Inc. Project) Series 1997, AMT, (Bank of New York LOC), 1.100% 03/01/12**##......................................... 3,105 5,575 South Carolina Jobs Economic Development Authority IDR, (Quoizel, Inc. Project) Series 1996, AMT, (Branch Banking & Trust LOC), 1.200% 05/01/16**........................................... 5,575
SEE NOTES TO FINANCIAL STATEMENTS. 38 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 5,500 South Carolina Jobs Economic Development Authority Revenue, (Alco-Lite Industries LLC - TechnoSteel LLC Project) Series 1997, AMT, (Wachovia Bank of South Carolina, N.A. LOC), 1.150% 04/01/12**........................................... $ 5,500 11,250 South Carolina Jobs Economic Development Authority, Economic Development Revenue, (Giant Cement Holding Inc. Project) Series 2002, AMT, (Citibank N.A. LOC), 1.120% 12/01/22**........................................... 11,250 5,000 South Carolina Jobs Economic Development Authority, Economic Development Revenue, (Waste Management South Carolina Project) Series 2003, AMT, (Wachovia Bank N.A. LOC), 1.200% 07/01/24**........................................... 5,000 6,400 South Carolina State Housing Finance and Development Authority Multi-Family Revenue Refunding, (Rental Bay Club Apartments) Series 2001, AMT, (General Electric Capital Corporation LOC), 1.160% 06/01/21**........................................... 6,400 ---------- 129,525 ---------- SOUTH DAKOTA -- 0.2% 330 South Dakota Economic Development Financing Authority IDR Refunding, (Lomar Development Company Project) Series 1996B, AMT, (US Bank, N.A. LOC), 1.300% 08/01/08**#.......................................... 330 9,935 South Dakota State Housing Development Authority, Series 1998PT-168, AMT, (Banque Nationale de Paris SBPA), 1.180% 05/01/27**##......................................... 9,935 ---------- 10,265 ---------- TENNESSEE -- 2.8% 4,445 Blount County, Tennessee Industrial Development Board, IDR, (Arrowhead Partners LP Project) Series 2003, AMT, (SunTrust Bank LOC), 1.250% 12/01/13**........................................... 4,445 20,600 Collierville, Tennessee Industrial Development Board Revenue, (St. Georges High School Project) Series 2001, (AmSouth Bank of Alabama, N.A. LOC), 1.140% 08/01/31**........................................... 20,600
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 5,930 Franklin County, Tennessee Health and Educational Facilities Board Revenue, (University of the South Project) Series 1998B, (AmSouth Bank of Alabama, N.A. LOC), 1.160% 09/01/18**........................................... $ 5,930 13,685 Johnson City, Tennessee Health and Educational Facilities Board Hospital Revenue, (Mountain States Project) Series 2001PT-560, (Merrill Lynch Guarantee SBPA), 1.220% 07/01/26**........................................... 13,685 5,350 Memphis, Tennessee Health Educational and Housing Facilities Board Revenue, (Springdale Creek Apartments Project) Series 2003A, AMT, (First Tennessee Bank LOC), 1.250% 01/01/35**........................................... 5,350 6,245 Memphis-Shelby County, Tennessee Airport Authority, Airport Revenue, Series 2001, AMT, (FSA Insured, Toronto-Dominion Bank Liquidity Facility), 1.000% 03/01/09**#.......................................... 6,245 4,300 Metropolitan Government Nashville and Davidson County, Tennessee Health and Education Facilities Board Revenue, (Danridge Tower II Project) Series 2002, (First Tennessee Bank LOC), 1.250% 09/01/32**........................................... 4,300 6,500 Monroe County, Tennessee Industrial Development Board IDR, (American Transit Corporation Project) Series 1986, (Bank of Boston LOC), 1.100% 08/01/06**#.......................................... 6,500 3,145 Shelby County, Tennessee Health Educational and Housing Facilities Board Multi-Family Housing Revenue, (Flag Manor Project) Series 1995, AMT, (FHLB Guarantee), 1.130% 01/01/23**#.......................................... 3,145 2,000 Shelby County, Tennessee Health Educational and Housing Facilities Board Revenue, (Spring Creek Apartments) Series 2003A, AMT, (First Tennessee Bank LOC), 1.250% 12/01/20**........................................... 2,000 1,200 Springfield, Tennessee Industrial Development Board Revenue, (All American Homes of Tennessee Project) Series 1994, AMT, (Bank One of Michigan, N.A. LOC), 1.350% 11/01/09**#.......................................... 1,200
SEE NOTES TO FINANCIAL STATEMENTS. 39 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 10,000 Steward County, Tennessee Industrial Development Board, Solid Waste Disposal Revenue, (Standard Gypsum Project) Series 1999B, AMT, (Toronto-Dominion Bank LOC), 1.110% 05/01/34**........................................... $ 10,000 5,000 Sullivan County, Tennessee Industrial Development Board Revenue, (Modern Forge Company Project) Series 1990, AMT, (Northern Trust Company LOC), 1.150% 07/01/10**#.......................................... 5,000 4,800 Tennessee Volunteer State Student Funding Corporation Student Loan Revenue, Series 1988A-1, (State Street Bank and Trust Company LOC), 1.150% 12/01/23**........................................... 4,800 25,900 Tennessee Volunteer State Student Funding Corporation Student Loan Revenue, Series 1998A-2, AMT, (State Street Bank and Trust Company LOC), 1.150% 12/01/23**........................................... 25,900 ---------- 119,100 ---------- TEXAS -- 16.7% 30,515 Bell County, Texas Health Facilities Development Corporation Revenue, (Scott and White Memorial Hospital Project) Series 2000B-2, (MBIA Insured, Chase Bank of Texas, N.A. SBPA), 1.250% 08/15/29**........................................... 30,515 27,000 Bell County, Texas Health Facilities Development Corporation Revenue, (Scott and White Memorial Hospital Project) Series 2001-2, 1.250% 08/15/31**........................................... 27,000 1,100 Bell County, Texas Industrial Development Corporation, IDR, (Metal Sales Manufacturing Corporation Project) Series 1998, AMT, (Firstar Bank N.A. LOC), 1.330% 08/01/08**........................................... 1,100 31,950 Brazos River Authority, Texas PCR, (TXU Energy Company Project) Series 2002A, (JP Morgan Chase Bank LOC), 1.150% 05/01/37**........................................... 31,950 31,350 Brownsville, Texas Utilities Systems Revenue Refunding, Series 2001A, (MBIA Insured), 1.050% 09/01/25**........................................... 31,350
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 6,700 Calhoun County, Texas Navajo District, (Formosa Plastics Corporation Project) Series 2002, (JP Morgan Chase Bank LOC), 1.150% 09/01/32**........................................... $ 6,700 5,300 Chambers County, Texas Industrial Development Corporation Revenue, (Ecolochem, Inc. Project) Series 1999, AMT, (Wachovia Bank, N.A. LOC), 1.150% 03/01/14**........................................... 5,300 16,180 Dallas-Fort Worth, Texas International Airport Facility Revenue, (Flightsafety Project) Series 1999, AMT, (OBH, Inc. Guarantee), 1.130% 07/01/32**........................................... 16,180 5,090 Dallas-Fort Worth, Texas International Airport Revenue, Series 2003, AMT, (FGIC Insured), 1.200% 11/01/20**#.......................................... 5,090 9,840 Dallas-Fort Worth, Texas International Airport Revenue, Series 2003, AMT, (Merrill Lynch Capital Services SBPA), 1.150% 05/01/11**@@......................................... 9,840 10,110 Dallas-Fort Worth, Texas International Airport Revenue, Series 2003, AMT, (Merrill Lynch Capital Services SBPA), 1.200% 05/01/11**........................................... 10,110 1,500 Dallas-Fort Worth, Texas Regional Airport Revenue, Series 1995, (FGIC Insured), 4.900% 11/01/03............................................. 1,505 8,185 El Paso, Texas Housing Finance Corporation Multi-Family Housing Revenue, (Viva Apartments Project - Oakland Executive Center LP) Series 1993, AMT, (GE Capital Corporation Guarantee), 1.250% 09/01/23**#.......................................... 8,185 24,100 Gulf Coast Waste Disposal Authority, Texas Environmental Facilities Revenue, (Exxon Mobile Project) Series 2003, AMT, 1.150% 09/01/25**........................................... 24,100 22,000 Harris County, Texas GO, TAN, Series 2003, 1.750% 02/27/04............................................. 22,069 2,750 Harris County, Texas Health Facility Development Corporation Revenue, Blood Center Gulf Coast Regional, Series 1992, (JP Morgan Chase and Company LOC) 1.130% 04/01/17**........................................... 2,750 11,000 Harris County, Texas Industrial Development Corporation PCR, (Exxon Project) Series 1987, AMT, 1.150% 08/15/27**........................................... 11,000
SEE NOTES TO FINANCIAL STATEMENTS. 40 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 18,900 Harris County, Texas, Industrial Development Corporation, PCR, (Exxon Corporation Project) Series 1984A, 1.110% 03/01/24**........................................... $ 18,900 1,555 Hillsboro, Texas Industrial Development Corporation Revenue, (Lamcraft LP Project) Series 1997, AMT, (First Commercial Bank LOC), 1.350% 07/01/13**........................................... 1,555 17,500 Houston, Texas TRAN, Series 2003, 2.000% 06/30/04............................................. 17,649 12,000 Houston, Texas Water and Sewer Systems Revenue Refunding, Series 1991C, (AMBAC Insured), 1.434%*** 12/01/03.......................................... 11,971 5,635 Klein, Texas Independent School District GO, Series 2003, (PSF-GTD, Merrill Lynch Capital Services SBPA), 1.130% 08/15/23**#.......................................... 5,635 50,440 Lower Neches Valley Authority, Texas Industrial Development Corporation Exempt Facilities Revenue, (Exxon Mobile Project) Series 2001B, AMT, 1.150% 11/01/29**........................................... 50,440 1,000 Mansfield, Texas Industrial Development Corporation Revenue, (Texas Inc. Project) Series 1986, AMT, (Bank One Texas N.A. LOC), 1.190% 11/01/26**........................................... 1,000 2,170 McKinney, Texas Independent School District GO, Series 2001, (PSF-GTD), 5.000% 02/15/04............................................. 2,201 11,200 Midlothian, Texas Industrial Development Corporation Environmental Facilities Revenue, (Holnam Texas Loop Project) Series 1999, AMT, (Bank One, Michigan LOC), 1.160% 09/01/31**........................................... 11,200 5,250 Northside, Texas Independent School District GO, Series 2003A, (PSF-GTD), 1.000% 08/01/31............................................. 5,250 1,200 Nueces County, Texas Health Facilities Development Corporation Revenue, (Driscoll Foundation Childrens Hospital Project) Series 1985, (Bank One of Texas, N.A. LOC), 1.220% 07/01/15**........................................... 1,200
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 6,060 Panhandle, Texas Regional Housing Financing, Series 2002, AMT, (Merrill Lynch Capital Services SBPA), 1.270% 09/01/14**........................................... $ 6,060 40,000 Panhandle-Plains, Texas Higher Education Inc., Student Loan Revenue, Series 1993A, AMT, (MBIA Insured, Lloyds TSB Bank plc SBPA), 1.100% 06/01/23**........................................... 40,000 8,680 San Antonio, Texas Education Facility Corporation Revenue, (University of the Incarnate World Project) Series 2001, (Bank One Texas, N.A. LOC), 1.170% 12/01/21**........................................... 8,680 38,260 San Antonio, Texas Water Revenue, Series 2003A, (MBIA Insured, JP Morgan Chase Bank SBPA), 1.050% 05/15/33**........................................... 38,260 177,250 Texas State TRAN, Series 2003, 2.000% 08/31/04............................................. 178,597 10,065 Texas State Turnpike Authority, Dallas North Tollway Revenue, Series 2003, (FGIC Insured), 1.130% 01/01/07**........................................... 10,065 4,400 Texas State, Department of Housing & Community Affairs, Multi-Family Revenue, Series 2002, AMT, (Merrill Lynch Capital Services SBPA), 1.270% 12/01/40**........................................... 4,400 22,055 Texas Water Development Board Revenue Refunding, State Revolving Fund, Series 2003, (JP Morgan Chase Bank SBPA), 1.150% 07/15/22**........................................... 22,055 12,000 University of Texas System, Board of Regents, 0.850% 10/10/03............................................. 12,000 15,600 West Side Calhoun County, Texas Development Corporation PCR, (Sohio Chemical Corporation Project) Series 1985, (BP Amoco plc Guarantee), 1.220% 12/01/15**........................................... 15,600 ---------- 707,462 ---------- UTAH -- 3.5% 4,000 Cedar City, Utah IDR, (North America Packaging Project) Series 2002, AMT, (JP Morgan Chase & Company LOC), 1.150% 10/01/22**........................................... 4,000 1,400 Murray City, Utah IDR, (Zevex, Inc. Project) Series 1996, AMT, (Bank One Arizona, N.A. LOC), 1.350% 10/01/16**#.......................................... 1,400
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- UTAH -- (CONTINUED) $ 3,200 Murray City, Utah IDR Authority, (Hunter Douglas Real Property Project) Series 1994, AMT, (ABN-AMRO Bank N.V. LOC), 1.200% 09/01/14**##......................................... $ 3,200 7,770 Provo City, Utah Housing Authority, (Multi-Family Branbury Park Project) Series 1987A, (Bank One of Arizona LOC), 1.100% 12/01/10**........................................... 7,770 2,840 Salt Lake City, Utah IDR, (Spring Air Project) Series 2003, AMT, (US Bank N.A.), 1.140% 07/01/23**........................................... 2,840 9,265 Utah Housing Corporation, Single Family Mortgage Revenue, Series 2002A-1, AMT, (Westdeutsche Landesbank Girozentrale LOC), 1.120% 07/01/33**........................................... 9,265 9,095 Utah Housing Corporation, Single Family Mortgage Revenue, Series 2002C-2, AMT, (Westdeutsche Landesbank Girozentrale SBPA), 1.120% 07/01/33**........................................... 9,095 35,000 Utah State Board Regents Student Loan Revenue, Series 1995, AMT, (AMBAC Insured, GTD STD LNS, Lloyds TSB Bank plc SBPA), 1.100% 11/01/25**........................................... 35,000 38,500 Utah State Board Regents Students Loan Revenue, Series 1996Q, AMT, (AMBAC Insured, GTD STD LNS, Credit Communl Belgiquee SBPA), 1.100% 11/01/31**........................................... 38,500 26,355 Utah State Board Regents Students Loan Revenue, Series 1996R, AMT, (AMBAC Insured, GTD STD LNS, Credit Communl Belgiquee SBPA), 1.100% 11/01/31**........................................... 26,355 9,995 Utah State, Housing Finance Agency, Single Family Mortgage Revenue, Series 2000C-1, AMT, (Bayerische Landesbank SBPA), 1.120% 07/01/31**........................................... 9,995 ---------- 147,420 ---------- VERMONT -- 0.4% 14,900 Vermont Industrial Development Authority Revenue, (Ryegate Wood Energy Company Project) Series 1990, AMT, (ABN AMRO Bank, N.V. LOC), 1.180% 12/01/15**........................................... 14,900 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- VIRGINIA -- 1.1% $ 4,500 Fredericksburg, Virginia Industrial Development Authority Multi-Family Housing Revenue, (Forest Village Apartments Project) Series 2001A-1, AMT, (SunTrust Bank LOC), 1.200% 01/01/33**........................................... $ 4,500 3,900 Greensville County, Virginia Industrial Development Authority Revenue, (Perdue Farms, Inc. Project) Series 1996, AMT, (SunTrust Bank LOC), 1.200% 10/01/06**#.......................................... 3,900 7,900 King George County, Virginia Industrial Development Authority, Exempt Facilities Revenue, (Birchwood Power Partners Project) Series 1996A, 1.230% 04/01/26**........................................... 7,900 8,415 Loudoun County, Virginia Industrial Development Authority Revenue, (Howard Hughes Medical Project) Series 2003C, 1.190% 02/15/38**........................................... 8,415 4,725 Madison County, Virginia Industrial Development Authority Revenue, (Madison Wood Preservers Project) Series 1998, AMT, (Wachovia Bank of North Carolina N.A. LOC), 1.150% 06/01/13**#.......................................... 4,725 10,550 Prince William County, Virginia IDR, (Dale Scott Corporation Project) Series 2001, AMT, (First Union National Bank LOC), 1.150% 12/01/21**........................................... 10,550 3,400 Sussex County, Virginia Industrial Development Authority, Solid Waste Disposal Revenue, (Atlantic Waste Disposal Project) Series 2003A, AMT, (Wachovia Bank N.A. LOC), 1.120% 06/01/28**........................................... 3,400 4,000 Westmoreland County, Virginia Industrial Development Authority, Economic Development Revenue, (Second Development LLC Project) Series 2003, AMT, (Wells Fargo Bank N.A. LOC), 1.200% 08/01/19**........................................... 4,000 ---------- 47,390 ---------- WASHINGTON -- 1.5% 11,585 King County, Washington Directors Association, 0.986%*** 11/20/03#......................................... 11,569
SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 3,100 King County, Washington Housing Authority Revenue, (Auburn Court Apartments Project) Series 1997, AMT, (US Bank N.A. LOC), 1.150% 12/01/27**........................................... $ 3,100 5,000 Port Bellingham, Washington Industrial Development Corporation, Environmental Facilities Industrial Revenue, Series 2003, AMT, 1.250% 03/01/38**........................................... 5,000 700 Port Seattle, Washington Revenue, Series 2000B, AMT, (MBIA Insured), 5.500% 02/01/04............................................. 710 4,320 Port Seattle, Washington Revenue, Series 2003, AMT, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.150% 07/01/11**........................................... 4,320 4,040 Washington State Housing Finance Community Multi-Family Housing Revenue, (Pacific Crest Apartments Project) Series 1995, AMT, (Bank of America LOC), 1.270% 04/01/34**........................................... 4,040 6,285 Washington State Housing Financing Commission Multi-Family Revenue, (Monticello Park Project) Series 2001A, AMT, (US Bank, N.A. LOC), 1.200% 08/01/26**........................................... 6,285 13,000 Washington State, Housing Finance Commission, Multi-Family Housing Revenue, (Mallard Lakes Apartments Project) Series 2002A, AMT, (PNC Bank N.A.), 1.270% 05/15/35**........................................... 13,000 8,300 Washington State, Housing Finance Commission, Multi-Family Mortgage Revenue, (Inglenook Court Project) Series 1995, AMT, 1.150% 07/01/25**........................................... 8,300 6,535 Washington State, Housing Finance Commission, Non-Profit Housing Revenue, (Franke Tobey Jones Project) Series 2003, (Wells Fargo Bank N.A. LOC), 1.200% 09/01/33**........................................... 6,535 ---------- 62,859 ---------- WEST VIRGINIA -- 0.8% 8,130 Beckley, West Virginia Revenue Refunding, (Beckley Water Company Project) Series 2003, AMT, (Bank One West Virginia LOC), 1.350% 10/01/16**........................................... 8,130
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- WEST VIRGINIA -- (CONTINUED) $ 1,200 Marion County, West Virginia County Commission Solid Waste Disposal Facility Revenue, (Grantown Project) Series 1990C, AMT, (National Westminster LOC), 1.150% 10/01/17**........................................... $ 1,200 9,000 Marshall County, West Virginia PCR, (Mountaineer Carbon Company Project) Series 1985, (BP Amoco plc Guarantee), 1.220% 12/01/20**........................................... 9,000 1,000 Mercer County, West Virginia IDR Refunding, (Noland Company Project) Series 1989, (First Union National Bank LOC), 1.330% 05/01/06**........................................... 1,000 10,000 Pleasants County, West Virginia County Commission IDR, (Simex, Inc. Building Project) Series 1999, AMT, (PNC Bank, N.A. LOC), 1.220% 12/01/19**........................................... 10,000 3,095 West Virginia Public Energy Authority Revenue, (Morgantown Energy Project) Series 1998, (FSA Insured, BNP Paribas SBPA), 1.220% 01/01/05**##......................................... 3,095 ---------- 32,425 ---------- WISCONSIN -- 2.7% 22,200 Madison, Wisconsin Metropolitan School District TRAN, Series 2003, 1.500% 09/10/04............................................. 22,310 3,170 Menomonee Falls, Wisconsin Industrial Development Authority IDR, (Jema, LLC Project) Series 1994, AMT, (Bank One Milwaukee, N.A. LOC), 1.350% 09/01/14**........................................... 3,170 26,500 Milwaukee, Wisconsin RAN, Series 2003, 1.500% 12/15/03............................................. 26,525 900 Park Falls, Wisconsin IDR, (Weather Shield Project) Series 2000, AMT, (Bank One Wisconsin LOC), 1.350% 08/01/20**........................................... 900 900 Pewaukee, Wisconsin IDR, (Gunner Press & Finishing Project) Series 2000, AMT, (Bank One Wisconsin LOC), 1.350% 09/01/20**........................................... 900 3,250 Pleasant Prairie, Wisconsin IDR, (Nucon Corporation Project) Series 1995, AMT, (American National Bank & Trust Company LOC), 1.200% 02/01/22**........................................... 3,250
SEE NOTES TO FINANCIAL STATEMENTS. 43 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- WISCONSIN -- (CONTINUED) $ 2,500 Racine, Wisconsin Solid Waste Disposal Revenue, (Republic Services Inc. Project) Series 2002, (Bank One N.A. LOC), 1.200% 08/01/37**........................................... $ 2,500 6,250 Racine, Wisconsin Solid Waste Disposal Revenue, (Republic Services Inc. Project) Series 2002B, AMT, (Bank One N.A.), 1.200% 12/01/37**........................................... 6,250 3,700 Sheboygan, Wisconsin IDR, (Subco Foods of Wisconsin) Series 2002, (American National Bank and Trust LOC), 1.380% 08/01/12**........................................... 3,700 9,700 West Allis, Wisconsin Revenue (State Fair Park Exposition Center Project) Series 2001, (First Star Bank, N.A. LOC), 1.140% 08/01/28**........................................... 9,700 3,000 Whitewater, Wisconsin IDR, (Husco International Incorporate Project) Series 1997, AMT, (Lasalle Bank N.A.) 1.180% 12/01/12**........................................... 3,000 6,000 Wisconsin Health and Education Facilities Authority Revenue, 1.020% 02/03/04............................................. 6,000 3,900 Wisconsin Housing and Economic Development Authority, Housing Revenue, Series 2000A, AMT, (MBIA Insured, FHLB LOC), 1.130% 05/01/32**........................................... 3,900 5,000 Wisconsin State Health & Educational Facilities Authority Revenue, Series 2003, (MBIA Insured), 1.130% 08/15/23**#.......................................... 5,000 17,160 Wisconsin State, Health & Educational Facilities Authority Revenue, Series 2003, (MBIA Insured), 1.130% 08/15/19**#.......................................... 17,160 ---------- 114,265 ---------- WYOMING -- 0.7% 9,900 Lincoln County, Wyoming PCR, (Exxon Project) Series 1987A, AMT, (GTY AGMT), 1.150% 07/01/17**........................................... 9,900
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- WYOMING -- (CONTINUED) $ 6,900 Lincoln County, Wyoming PCR, (Exxon Project) Series 1987C, AMT, (GTY-AGMT), 1.150% 07/01/17**........................................... $ 6,900 11,000 Sublette County, Wyoming PCR, (Exxon Capital Ventures Project) Series 1987B, AMT, (Exxon Corporation Guarantee), 1.150% 07/01/17**........................................... 11,000 ---------- 27,800 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $4,167,260)........................................... 4,167,260 ---------- TOTAL INVESTMENTS (Cost $4,167,260*)................................ 98.9% 4,167,260 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. 1.1% Cash.......................................................... $ 55 Receivable for investment securities sold..................... 37,100 Interest receivable........................................... 10,638 Investment advisory fee payable............................... (410) Administration fee payable.................................... (193) Shareholder servicing and distribution fees payable........... (610) Distributions payable......................................... (616) Payable for investment securities purchased................... (195) Accrued Trustees' fees and expenses........................... (58) Accrued expenses and other liabilities........................ (167) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 45,544 ---------- NET ASSETS.......................................... 100.0% $4,212,804 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 126 Accumulated net realized gain on investments sold............. 82 Paid-in capital............................................... 4,212,596 ---------- NET ASSETS.................................................... $4,212,804 ==========
SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ---------------------------------------------------------------------------------------- NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($1,362,081,075 / 1,362,093,301 shares outstanding)........... $1.00 ========== TRUST CLASS SHARES: ($469,685,038 / 469,641,626 shares outstanding)............... $1.00 ========== LIQUIDITY CLASS SHARES: ($170,546,357 / 170,515,230 shares outstanding)............... $1.00 ========== ADVISER CLASS SHARES: ($680,318,852 / 680,368,828 shares outstanding)............... $1.00 ========== INVESTOR CLASS SHARES: ($199,278,526 / 199,316,943 shares outstanding)............... $1.00 ========== DAILY CLASS SHARES: ($608,054,777 / 607,999,946 shares outstanding)............... $1.00 ========== INVESTOR B SHARES: ($59,951 / 59,946 shares outstanding)......................... $1.00 ========== INVESTOR C SHARES: ($2,502,302 / 2,502,295 shares outstanding)................... $1.00 ========== INSTITUTIONAL SHARES: ($720,276,721 / 720,271,173 shares outstanding)............... $1.00 ==========
- --------------- * Federal income tax information (see Note 7). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. These securities are subject to demand features of either one, seven or thirty days. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. # Security not registered under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional buyers. ##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 to qualified institutional buyers. + Amount represents less than 0.1%. @@Restricted security (see Note 5). Nations Municipal Reserves had the following industry concentrations greater than 10% at September 30, 2003 (as a percentage of net assets): Industrial Development Revenue/Pollution Control Revenue 24.53%
SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 100.0% ALABAMA -- 1.8% $ 8,715 ASMS Mobile, Alabama Public Educational Building Authority Revenue, (Alabama High School Math and Science Foundation Project) Series 1997, (AmSouth Bank of Alabama N.A. LOC), 1.200% 07/01/22**........................................... $ 8,715 19,995 Birmingham, Alabama Medical Clinic Board Revenue, (Medical Advancement Foundation Project) Series 2000A, (Columbus Bank & Trust LOC), 1.390% 09/01/30**........................................... 19,995 7,600 Birmingham, Alabama Medical Clinic Board Revenue, (University of Alabama Health Services Foundation Project) Series 2001A, (Columbus Bank and Trust LOC), 1.230% 03/01/31**........................................... 7,600 3,577 Gardendale, Alabama Multi-Family Housing Revenue Refunding, (Ascot Place Apartments Project) Series 2002A, (FHLMC Liquidity Facility), 1.180% 10/01/32**........................................... 3,577 1,584 Gardendale, Alabama Multi-Family Housing Revenue Refunding, (Meadow Wood Apartments Project) Series 2002C, (FHLMC Liquidity Facility), 1.180% 10/01/32**........................................... 1,584 560 Homewood, Alabama Industrial Development Board Revenue Refunding, (Keebler Company Project) Series 1993, (Bank of New York LOC), 1.150% 11/01/04**........................................... 560 6,450 Scottsboro, Alaska Solid Waste Disposal Authority Revenue, Series 2003, (Regions Bank LOC), 1.110% 11/01/18**........................................... 6,450 6,000 Tuscaloosa County, Alabama Education Board, Special Tax Anticipation Warrants, Series 2003, (Regions Bank LOC), 1.110% 02/01/16**........................................... 6,000 ---------- 54,481 ---------- ALASKA -- 0.3% 9,995 Alaska State Housing Finance Corporation Housing Revenue, Series 1998 PA-332, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.130% 12/01/19**#.......................................... 9,995 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ARIZONA -- 1.1% $ 5,995 Arizona Health Facilities Authority Revenue, (Blood Systems Project) Series 1995, (Bank One, N.A. LOC), 1.300% 09/01/15**##......................................... $ 5,995 3,000 Arizona Health Facility Authority Hospital System Revenue Refunding, (St. Lukes Health System Project) Series 1993, 7.250% 11/01/14............................................. 3,075 2,500 Pima County, Arizona Street and Highway Revenue, Series 2002, (FGIC Insured), 4.000% 07/01/04............................................. 2,555 19,875 Scottsdale, Arizona Industrial Development Authority Revenue, (Notre Dame Preparatory School Project) Series 2001A, (Bank One Arizona LOC), 1.150% 05/01/21**........................................... 19,875 2,550 Scottsdale, Arizona Industrial Development Authority Revenue, (Notre Dame Preparatory School Project) Series 2001B, (Bank One Arizona, N.A. LOC), 1.150% 05/01/21**........................................... 2,550 ---------- 34,050 ---------- ARKANSAS -- 0.2% 5,790 University of Arkansas University Revenue, Series 2003, 1.130% 12/01/19**........................................... 5,790 ---------- CALIFORNIA -- 6.1% 37,390 California State Department of Water Resources, Power Supply Revenue, Series 2002B-1, (Bank of New York LOC, California State Teachers Retirement LOC), 1.200% 05/01/22**........................................... 37,390 6,280 California State Department of Water Resources, Power Supply Revenue, Series 2002B-4, (Bayerische Landesbank LOC), 1.150% 05/01/22**........................................... 6,280 41,200 California State, Department of Water Resources, Power Supply Revenue, Series 2002B-2, (BNP Paribas LOC), 1.230% 05/01/22**........................................... 41,200 7,700 California State, Department of Water Resources, Power Supply Revenue, Series 2002B-3, (Bank of New York LOC), 1.200% 05/01/22**........................................... 7,700
SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 31,250 California Statewide Communities Development Authority Revenue, TRAN, Series 2003A-1, (FSA Insured), 2.000% 06/30/04............................................. $ 31,509 37,500 Los Angeles County, California TRAN, Series 2003A, 2.000% 06/30/04............................................. 37,805 20,200 Orange County, California Sanitation Districts Certificates of Participation, Series 2000A, (Dexia Public Finance Bank SBPA), 1.200% 08/01/29**........................................... 20,200 ---------- 182,084 ---------- COLORADO -- 2.6% 5,830 Arapahoe County, Colorado GO School District Number 006, Series 2003, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.130% 12/01/10**........................................... 5,830 3,250 Colorado Department Transit Revenue, Series 2003, (AMBAC Insured, CitiGroup Global Market Liquidity Facility), 1.150% 12/15/16**........................................... 3,250 9,000 Colorado Educational and Cultural Facilities Authority Revenue, (Denver Museum Project) Series 2001, (Bank One Colorado N.A. LOC), 1.150% 11/01/21**........................................... 9,000 10,320 Colorado Housing Financing Authority Multi-Family Revenue, Series 2002C, (FNMA SBPA), 1.700% 10/01/32**........................................... 10,320 5,655 Douglas County, Colorado School District Number 1, Series 2001, Putable Receipts - 163, (MBIA Insured, Morgan Guaranty SBPA), 1.160% 06/15/09**##......................................... 5,655 6,305 El Paso County, Colorado Multi-Family Housing Revenue Refunding, (Briarglen Apartments Project) Series 1995, (FHLMC Guarantee), 1.100% 12/01/24**........................................... 6,305 36,310 Moffat County, Colorado PCR, (Tri-State Colorado - Utah Electric Cooperative Project) Series 1984, (AMBAC Insured, Societe Generale SBPA), 1.200% 07/01/10**........................................... 36,310 ---------- 76,670 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CONNECTICUT -- 0.2% $ 5,775 Connecticut State Health and Educational Facilities Authority Revenue, (Yale University Project) Series 1997T-1, 1.130% 07/01/29**........................................... $ 5,775 ---------- DELAWARE -- 0.1% 4,385 Kent County, Delaware Revenue, (Charter School Incorporated Project) Series 2002, (Wachovia Bank N.A. LOC), 1.100% 11/01/22**........................................... 4,385 ---------- DISTRICT OF COLUMBIA -- 0.3% 8,815 District Columbia Revenue Refunding, Series 2003, (Suntrust Bank LOC), 1.100% 10/01/30**........................................... 8,815 ---------- FLORIDA -- 4.3% 4,100 Alachua County, Florida Health Facilities Authority, (Meridian Behavioral Income Project) Series 2003, (Wachovia Bank N.A.), 1.100% 07/01/18**........................................... 4,100 10,200 Collier County, Florida Industrial Development Authority Health Care Facilities Revenue, (Community Health Care Project) Series 1999A, (First Union National Bank LOC), 1.100% 11/01/19**........................................... 10,200 9,005 Dade County, Florida Special Revenue, (Youth Fair and Exposition Project) Series 1995, (SunTrust Bank of Central Florida LOC), 1.100% 08/01/15**........................................... 9,005 23,940 Florida Housing Finance Agency Multi-Family Housing Revenue, (Kings Colony Associates Ltd. Project) Series 1988D, (Credit Suisse First Boston LOC), 1.200% 08/01/06**........................................... 23,940 17,715 Florida State Board Education Lottery Revenue, Series 2000, Putable Receipts-222, (FGIC Insured, Morgan Guaranty Trust SBPA), 1.160% 07/01/17**#.......................................... 17,715 9,800 Miami, Florida Health Facilities Authority Health Facilities Revenue, (Miami Jewish Home and Hospital Project) Series 1996, (SunTrust Bank Miami LOC), 1.100% 12/01/16**........................................... 9,800
SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 5,900 Miami-Dade County, Florida Industrial Development Authority Revenue, (Dave and Mary Alper Community Project) Series 2002, (Northern Trust Company LOC), 1.050% 04/01/32**........................................... $ 5,900 10,000 Orange County, Florida Industrial Development Authority IDR, (Bishop Moore High School Project) Series 2000, (SunTrust Bank LOC), 1.100% 10/01/25**........................................... 10,000 3,000 Palm Beach County, Florida Economic Development Revenue, (YMCA Boynton Beach Project) Series 1999, (SunTrust Bank of South Florida LOC), 1.100% 01/01/24**........................................... 3,000 700 Titusville, Florida Multi-Purpose Revenue, Series 1998 (Suntrust Bank LOC), 1.150% 01/01/25**........................................... 700 1,200 Titusville, Florida Multi-Purpose Revenue, Series 1999 (Suntrust Bank LOC), 1.150% 01/01/25**........................................... 1,200 4,700 Titusville, Florida Revenue, Series 1999A (Suntrust Bank LOC), 1.150% 01/01/25**........................................... 4,700 6,000 University of North Florida Foundation Income Revenue, Series 1997, (First Union National Bank LOC), 1.120% 11/01/27**........................................... 6,000 12,400 University of North Florida Foundation Income Revenue, Series 2000, (First Union National Bank LOC), 1.120% 11/01/30**........................................... 12,400 10,100 University of North Florida Foundation Income Revenue, Series 2003, (First Union National Bank LOC), 1.120% 11/01/24**........................................... 10,100 ---------- 128,760 ---------- GEORGIA -- 6.6% 27,925 Albany-Dougherty County, Georgia Hospital Authority Revenue Anticipation Certificates, (Phoebe Hospital Project) Series 2002, (AMBAC Insured, Regions Bank SBPA), 1.230% 09/01/32**........................................... 27,925
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 2,215 Clayton County, Georgia Authority Multi-Family Housing Revenue Refunding, (Kings Arms Apartments Project) Series 1990D, (FSA Insured, Societe Generale SBPA), 1.010% 01/01/21**........................................... $ 2,215 12,900 Clayton County, Georgia Hospital Authority Revenue Anticipation Certificates, (Southern Regional Medical Center Project) Series 1998B, (SunTrust Bank LOC), 1.100% 08/01/19**........................................... 12,900 3,435 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding (Huntington Woods Apartments Project) Series 1990A, (FSA Insured, Societe Generale SBPA), 1.010% 01/01/21**........................................... 3,435 3,690 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Kimberly Forest Project) Series 1990B, (FSA Insured, Societe Generale SBPA), 1.010% 01/01/21**........................................... 3,690 3,945 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Ten Oaks Apartments Project) Series 1990F, (FSA Insured, Societe Generale SBPA), 1.010% 01/01/21**........................................... 3,945 5,550 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Village Rouge Apartments Project) Series 1990C, (FSA Insured, Societe Generale SBPA), 1.010% 01/01/21**........................................... 5,550 4,825 Cobb County, Georgia Development Authority Revenue, (North Cobb Christian School Project) Series 1998A, (Branch Banking and Trust LOC), 1.100% 03/01/22**........................................... 4,825 14,000 Cobb-Marietta, Georgia Coliseum and Exhibit Hall Authority Revenue, Jr. Lien, Series 1996A, (MBIA Insured, SunTrust Bank SBPA), 1.050% 10/01/26**#.......................................... 14,000 20,500 Columbus, Georgia Hospital Authority Revenue, (St. Francis Hospital Inc., Project) Series 2000A, (Columbus Bank & Trust LOC), 1.230% 01/01/31**........................................... 20,500
SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 2,250 Columbus, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Quail Ridge Project) Series 1988, (Columbus Bank & Trust LOC), 1.100% 02/01/05**........................................... $ 2,250 1,835 Columbus, Georgia Industrial and Port Development Commission Revenue Refunding, (Parisian, Inc. Project) Series 1995, (Columbus Bank & Trust LOC), 1.450% 04/01/07**##......................................... 1,835 7,500 DeKalb County, Georgia Development Authority IDR, (The Paideia School Inc. Project) Series 2000, (SunTrust Bank LOC), 1.100% 02/01/20**........................................... 7,500 4,280 DeKalb County, Georgia Development Authority Industrial Educational Revenue, (Catholic School Properties, Inc. Project) Series 1999, (Wachovia Bank, N.A. LOC), 1.050% 04/01/24**#.......................................... 4,280 5,740 DeKalb County, Georgia Development Authority Revenue, (American Cancer Society, Inc. Project) Series 1988, (SunTrust Bank LOC), 1.100% 05/01/13**#.......................................... 5,740 3,000 DeKalb County, Georgia Development Authority Revenue, (Marist School, Inc. Project) Series 1999, (SunTrust Bank LOC), 1.100% 03/01/24**........................................... 3,000 2,160 DeKalb County, Georgia Hospital Authority Revenue Anticipation Certificates, (DeKalb Medical Center, Inc. Project) Series 1994, (SunTrust Bank LOC), 1.100% 09/01/09**#.......................................... 2,160 12,700 DeKalb County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Camden Brook Project) Series 1995, (FNMA Collateral Agreement), 1.100% 06/15/25**#.......................................... 12,700 4,900 DeKalb County, Georgia Industrial Development Authority IDR, (A.G. Rhodes Home Inc. Project) Series 1996, (SunTrust Bank LOC), 1.100% 03/01/21**#.......................................... 4,900 5,000 Floyd County, Georgia Development Authority University and College Improvement Revenue, (Berry College, Inc. Project) Series 1999, (SunTrust Bank LOC), 1.100% 03/01/24**........................................... 5,000
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 3,000 Fulton County, Georgia Development Authority Revenue, (Lovett School Project) Series 1997, (SunTrust Bank LOC), 1.100% 04/01/17**#.......................................... $ 3,000 2,700 Fulton County, Georgia Development Authority Revenue, (Spelman College Project) Series 1996, (SunTrust Bank LOC), 1.100% 06/01/16**........................................... 2,700 6,000 Gwinnett County, Georgia School District Construction Sales Tax Notes, Series 2003, 2.000% 12/29/03............................................. 6,014 9,225 Marietta, Georgia Housing Authority Multi-Family Revenue, (Winterset Apartments Project) Series 1996P, (FNMA Collateral Agreement), 1.100% 02/01/26**........................................... 9,225 17,400 Richmond County, Georgia Hospital Authority Revenue Anticipation Certificates, (University Health Services, Inc. Project) Series 1999, (SunTrust Bank LOC), 1.100% 01/01/19**........................................... 17,400 5,100 Roswell, Georgia Housing Authority Multi-Family Housing Revenue, (Azalea Park Apartments Project) Series 1996, (FNMA Collateral Agreement), 1.100% 06/15/25**........................................... 5,100 5,050 Worth County, Georgia Industrial Development Authority Revenue Refunding, (Seabrook Enterprises, Inc. Project) Series 1996A, (Harris Trust and Savings Bank LOC), 1.100% 08/01/23**#.......................................... 5,050 ---------- 196,839 ---------- HAWAII -- 0.5% 5,000 Honolulu City and County GO, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility), 1.150% 03/01/22**#.......................................... 5,000 5,000 Honolulu City and County, Hawaii GO, Series 2001C, (FGIC Insured, FGIC-SPI SBPA), 1.300% 12/01/07**........................................... 5,000 5,000 Honolulu City and County, Hawaii GO, Series 2001C, (FGIC Insured, FGIC SBPA), 1.300% 12/01/08**........................................... 5,000 ---------- 15,000 ---------- IDAHO -- 0.7% 20,900 Idaho State TAN, Series 2003, 2.000% 06/30/04............................................. 21,057 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 49 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ILLINOIS -- 10.5% $ 20,000 Chicago, Illinois GO, Limited Notes, Series 2002, (Landesbank Hessen-Thueringen LOC), Mandatory Put 12/04/03 @ 100, 1.280% 01/08/04............................................. $ 20,000 8,000 Chicago, Illinois GO, Series 2003, (Landesbank Hessen Thueringen LOC), Mandatory Put 01/07/04 @ 100, 1.220% 01/07/05............................................. 8,000 4,350 Dekalb, Illinois Tax Increment Revenue, Series 2003, (Northern Trust Company LOC), 1.070% 01/01/13**........................................... 4,350 22,345 Illinois ABN AMRO, GO, Series 2002, (MBIA-IBC Insured, ABN AMRO Bank SBPA), 1.180% 12/01/10**##......................................... 22,345 6,200 Illinois Development Finance Authority Revenue, (American Academy of Dermatology Project) Series 2001, (American National Bank & Trust LOC), 1.250% 04/01/21**........................................... 6,200 4,180 Illinois Development Finance Authority Revenue, (Little City Foundation Project) Series 1994, (LaSalle National Bank LOC), 1.100% 02/01/19**........................................... 4,180 13,100 Illinois Development Finance Authority Revenue, (Museum Contemporary Art Project) Series 1944, (Bank One N.A. LOC, Northern Trust Company LOC), 1.150% 02/01/29**........................................... 13,100 6,950 Illinois Development Finance Authority, Series 2003, (Westdeutsche Landesbank SBPA), 1.230% 01/15/19**........................................... 6,950 11,800 Illinois Development Financing Authority Revenue, (YMCA Metropolitan Chicago Project) Series 2001, (Harris Trust and Savings Bank LOC), 1.220% 06/01/29**........................................... 11,800 3,000 Illinois Educational Facilities Authority Revenue, (Elmhurst College Project), Series 2003, (Bank One N.A. LOC), 1.150% 03/01/33**........................................... 3,000 8,800 Illinois Educational Facilities Authority Revenue, (Museum of Science and Industry Project) Series 1992, (First National Bank of Chicago LOC), 1.150% 10/01/26**........................................... 8,800
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 16,819 Illinois Educational Facilities Authority Revenue, (Northwestern University Project) Series 1988, (Northern Trust Company SBPA), 1.100% 03/01/28**........................................... $ 16,819 1,750 Illinois Health Facilities Authority Revenue, (Glenkirk Project) Series 1997, (Harris Trust and Savings Bank LOC), 1.100% 02/15/21**##......................................... 1,750 8,000 Illinois Health Facilities Authority Revenue, (Revolving Fund Pooled Project) Series 1985C, (First National Bank of Chicago LOC), 1.150% 08/01/15**........................................... 8,000 3,760 Illinois Health Facilities Authority Revenue, (University Chicago Hospital) Series 1998, (MBIA Insured, Bank One Illinois N.A. SPBA), 1.250% 08/01/26**........................................... 3,760 27,000 Illinois Health Facilities Authority, Series 1988, 1.040% 11/13/03............................................. 27,000 23,500 Illinois Health Facilities Authority, Series 2003, 0.870% 12/04/03............................................. 23,500 15,500 Illinois State Development Finance Authority Economic Development Revenue, (Roosevelt University Project) Series 1995, (American National Bank & Trust Company LOC), 1.100% 04/01/25**........................................... 15,500 2,520 Illinois State Development Finance Authority Revenue, (Chicago Academy of Sciences Project) Series 1997, (American National Bank & Trust Company LOC), 1.100% 01/01/31**........................................... 2,520 4,000 Illinois State GO, Series 2003, 2.000% 01/15/04............................................. 4,011 40,000 Illinois State GO, Series 2003, 1.500% 03/15/04............................................. 40,099 13,700 Kane County, Illinois Educational Facilities Revenue, (Glenwood School for Boys Project) Series 1993, (Harris Trust & Savings Bank LOC), 1.100% 02/01/28**........................................... 13,700 7,200 Mundelein, Illinois IDR Refunding, (1200 Town Line Road Project) Series 1992, (Northern Trust Company LOC), 1.100% 01/01/06**........................................... 7,200
SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 7,000 Oak Forest, Illinois Revenue, (Homewood Pool - South Suburban Mayors Project) Series 1989, (Bank One, N.A. LOC), 1.080% 07/01/24**........................................... $ 7,000 15,550 St. Clair County, Illinois Industrial Building Revenue Refunding, (Winchester Apartments Project) Series 1994, (FNMA Collateral Agreement), 1.080% 08/20/32**........................................... 15,550 5,500 Will and Kendall Countys, Illinois GO, Community Construction School District Number 202, Series 2003, (FGIC Insured, Citigroup Global Market Liquidity Facility), 1.150% 01/01/23**#.......................................... 5,500 7,400 Will County, Illinois Community United School District No. 365, Series 2002, (FSA Insured, JP Morgan Chase Liquidity Facility), 1.190% 11/01/15**##......................................... 7,400 ---------- 308,034 ---------- INDIANA -- 6.3% 505 Evansville, Indiana IDR Refunding, (Keebler Company Project) Series 1993, (Bank of New York LOC), 1.150% 06/01/04**........................................... 505 45,500 Indiana Board Bank Revenue, (Advance Funding Project) Series 2003A, (AMBAC Insured), 2.000% 01/27/04............................................. 45,631 15,000 Indiana Health Facilities Financing Authority Revenue, (Ascension Health Credit Group Project) Series 2001A-1, 0.980% 11/15/36**........................................... 15,000 2,800 Indiana Health Facilities Financing Authority Revenue, (Southern Indiana Rehab Hospital Project) Series 2001, (Bank One Kentucky N.A. LOC), 1.250% 04/01/20**........................................... 2,800 26,000 Indiana Health Facilities Financing Authority Revenue, Series 2001GP-A-3, 1.150% 11/15/36**........................................... 26,000 14,900 Indiana State Development Finance Authority Economic Development Educational Facilities Revenue, (Indiana Historical Society Project) Series 1997, (Bank One Michigan, N.A. LOC), 1.150% 08/01/31**#.......................................... 14,900
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 8,520 Indiana State Development Finance Authority IDR, (Indiana University Foundation Project) Series 1998, (National City Bank LOC), 1.250% 08/01/18**#.......................................... $ 8,520 13,000 Indiana State Development Finance Authority Revenue, (Indianapolis Museum of Art Project) Series 2002, (Bank One N.A. LOC), 1.150% 02/01/37**........................................... 13,000 17,000 Indiana State Development Finance Authority Revenue, Educational Facilities Children's Museum, Series 2003, (Fifth Third Bank Liquidity Facility), 1.150% 07/01/33**........................................... 17,000 5,000 Indiana State Educational Facility Authority Revenue, (Wabash College Project) Series 2003, (Bank One N.A. LOC), 1.150% 12/01/23**........................................... 5,000 20,000 Indiana Transportation Finance Authority Highway Revenue, BAN, Series 2003, (Bank One N.A. LOC), 1.500% 10/03/03............................................. 20,001 6,715 Indianapolis, Indiana Economic Development Revenue, (Edgecomb Metals Company Project) Series 1983, (Wells Fargo Bank LOC), 1.100% 12/01/08**........................................... 6,715 4,680 St. Joseph County, Indiana Economic Development Revenue, (Brothers of the Holy Cross Project) Series 1997, (Key Bank, N.A. LOC), 1.150% 09/01/17**#.......................................... 4,680 6,600 Terre Haute, Indiana Economic Development Revenue, (First Financial Corporation Project) Series 1985, (First National Bank of Chicago LOC), 1.150% 12/01/15**........................................... 6,600 ---------- 186,352 ---------- IOWA -- 0.9% 6,400 Iowa Higher Education Loan Authority Revenue, (Educational Loan Private College Facilities Project) Series 1985, (MBIA Insured, Chase Manhattan SBPA), 1.120% 12/01/15**........................................... 6,400 21,015 Iowa State School Cash Anticipation Notes Program, Series 2003B, (FSA Insured), 2.250% 01/30/04............................................. 21,096 ---------- 27,496 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- KENTUCKY -- 1.1% $ 9,100 Jefferson County, Kentucky Multi-Family Housing Revenue Refunding, (Canter Chase Apartments Project) Series 2002, (FHLMC Liquidity Facility), 1.130% 06/01/32**........................................... $ 9,100 4,765 Mayfield, Kentucky Multi-City Lease Revenue, Kentucky League of Cities Funding Trust, Series 1996, (PNC Bank LOC), 1.170% 07/01/26**........................................... 4,765 5,400 Middletown, Kentucky Revenue, (Christian Academy Louisville Project) Series 1997, (Bank One of Kentucky, N.A. LOC), 1.250% 07/01/22**#.......................................... 5,400 8,000 Warren County, Kentucky Hospital Facility Revenue, (Bowling Green-Warren County Project) Series 2001, (Bank One Kentucky, N.A. LOC), 1.150% 08/01/31**........................................... 8,000 4,250 Wickliffe, Kentucky PCR & Solid Waste Disposal Revenue, (Westvaco Corporation Project) Series 2001, (SunTrust Bank LOC), 1.100% 01/01/09**........................................... 4,250 ---------- 31,515 ---------- LOUISIANA -- 1.5% 11,100 Lake Charles, Louisiana Harbor and Terminal District Revenue, (Citgo Petroleum Corporation Project) Series 1984, (Westdeutsche Landesbank Girozentrale LOC), 1.100% 08/01/07**........................................... 11,100 11,305 Louisiana Public Facilities Authority Revenue, (Inter-Community Health Care Project) Series 1999, (Bank of New York LOC), 1.050% 04/01/21**#.......................................... 11,305 7,700 Louisiana Public Facilities Authority Revenue, (Kingston Village Apartments Project) Series 1988, (FNMA Collateral Agreement), 1.090% 06/15/31**........................................... 7,700 10,000 Louisiana Public Facility Authority Lease Revenue, Series 2003, (SBPA Societe Generale), 1.130% 06/01/08**........................................... 10,000 4,515 Upper Pontalba, Louisiana Building Restoration Corporation Revenue Refunding, (Upper Pontalba Building Project) Series 1996, (Bank One Louisiana, N.A. LOC), 1.250% 12/01/16**........................................... 4,515 ---------- 44,620 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- MAINE -- 0.1% $ 2,745 Maine Health and Higher Educational Facility Authority Revenue, Series 2003, (FSA Insured, Merrill Lynch Capital Services SBPA), 1.130% 07/01/21**#.......................................... $ 2,745 ---------- MARYLAND -- 1.3% 9,100 Baltimore County, Maryland Economic Development Revenue, (Blue Circle, Inc. Project) Series 1992, (Den Danske Bank LOC), 1.200% 12/01/17**........................................... 9,100 12,160 Maryland State Department Transportation Refunding Revenue, Series 2003, 1.500% 12/15/03............................................. 12,172 18,535 Westminster, Maryland Educational Facilities Revenue, (Western Maryland College Project) Series 2000, (Wachovia Bank, N.A. LOC), 1.050% 04/01/30**........................................... 18,535 ---------- 39,807 ---------- MASSACHUSETTS -- 0.1% 2,725 Massachusetts State Industrial Finance Agency Revenue, Bay Cove Human Services Income, Series 1994, 8.375% 04/01/19............................................. 2,824 ---------- MICHIGAN -- 3.0% 13,000 Detroit, Michigan Sewage Disposal Revenue, Second Lien, Series 2001E, (FGIC Insured), 1.500% 07/01/31**........................................... 13,000 7,500 Grand Rapids, Michigan Economic Development Corporation IDR Refunding, (Baker, Knapp and Tubbs, Inc. Project) Series 1992, (Wachovia Bank, N.A. LOC), 1.050% 06/01/12**#.......................................... 7,500 2,480 Jackson County, Michigan Economic Development Corporation IDR Refunding, (Jackson Associates, LLC Project) Series 1994, (Bank One of Dayton, N.A. LOC), 1.250% 10/01/14**#.......................................... 2,480 2,500 Michigan Higher Education Facility Authority Revenue, (Hope College Project) Series 2002B, (Fifth Third Bank LOC), 1.140% 04/01/32**........................................... 2,500 50,800 Michigan Municipal Bond Authority Revenue, Series 2003B-2, (JP Morgan Chase & Company LOC), 2.000% 08/23/04............................................. 51,236
SEE NOTES TO FINANCIAL STATEMENTS. 52 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- MICHIGAN -- (CONTINUED) $ 3,000 University of Michigan Board of Regents Revenue, Series 2003, 0.900% 11/07/03............................................. $ 3,000 8,760 University of Michigan, Series 2003D, 0.870% 11/07/03............................................. 8,760 ---------- 88,476 ---------- MINNESOTA -- 0.3% 5,200 Minneapolis, Minnesota Community Development Agency Revenue, (Arena Acquisition Project) Series 1995A, (US Bank, N.A. LOC), 1.130% 10/01/24**........................................... 5,200 4,000 Minneapolis, Minnesota Special School District No. 001, GO, Series 2003, 1.750% 08/06/04............................................. 4,027 ---------- 9,227 ---------- MISSOURI -- 3.1% 1,920 Desloge, Missouri Industrial Development Authority IDR Refunding, (National Healthcorp Project) Series 1989, (Regions Bank LOC), 1.000% 12/01/10**........................................... 1,920 1,905 Dunklin County, Missouri Industrial Development Authority IDR Refunding, (National Healthcorp Project) Series 1989, (Regions Bank LOC), 1.000% 12/01/10**........................................... 1,905 7,795 Kansas City, Missouri Industrial Development Authority Multi- Family Housing Revenue Refunding, (Willow Creek IV Apartments Project) Series 1995, (FNMA Collateral Agreement), 1.100% 09/01/25**........................................... 7,795 18,400 Kansas City, Missouri Industrial Development Authority Multi- Family Housing Revenue, (Timberlane Village Associates Project) Series 1986, (UBS AG LOC), 1.180% 06/01/27**........................................... 18,400 5,900 Missouri Development Financial Board Cultural Facilities Revenue, (Nelson Gallery Foundation Project) Series 2001B, (MBIA Insured, JP Morgan Chase Bank SBPA), 1.220% 12/01/31**........................................... 5,900 13,535 Missouri State Development Finance Board Lease Revenue, (Missouri Association of Utilities Lease Pool Project) Series 1999, (TransAmerica Life and Annuity Guarantee), 1.150% 12/01/22**........................................... 13,535
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- MISSOURI -- (CONTINUED) $ 3,700 Missouri State Health Educational Facilities Authority Revenue, (Christian Brothers Project) Series 2002A, (U.S. Bank N.A. LOC), 1.250% 10/01/32**........................................... $ 3,700 8,560 Platte County, Missouri Industrial Development Authority Multi-Family Housing Revenue Refunding, (Wexford Place Project) Series 1996, (Bank One Texas, N.A. LOC), 1.100% 04/01/28**#.......................................... 8,560 25,000 St. Charles County, Missouri Industrial Development Authority, Industrial Revenue Refunding, (Country Club Apartments Project) Series 1994, (Fannie Mae LOC), 1.080% 07/15/32**........................................... 25,000 5,000 St. Louis, Missouri IDR Authority, (Wetterau, Inc. Project) Series 1989, (PNC Bank, N.A. LOC), 1.120% 05/01/09**#.......................................... 5,000 ---------- 91,715 ---------- NEW HAMPSHIRE -- 0.7% 19,915 Manchester, New Hampshire General Airport Revenue, Series 2002C, (FSA Insured, Dexia Credit Local SPA), 1.100% 01/01/32**........................................... 19,915 ---------- NEW MEXICO -- 2.4% 70,000 New Mexico State, TRAN, Series 2003, 2.000% 06/30/04............................................. 70,576 ---------- NEW YORK -- 8.3% 1,610 Metropolitan Transitional Authority New York Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.110% 11/15/10**#.......................................... 1,610 12,295 Metropolitan Transitional Authority New York Service Contract, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.050% 07/01/11**........................................... 12,295 28,250 New York and New Jersey Port Authority, Construction Notes, Series 2003UU, 2.000% 10/15/03............................................. 28,260 14,850 New York City, New York GO, Series 2001A, (FSA Insured, Dexia Credit Local SBPA), 1.200% 11/01/26**........................................... 14,850
SEE NOTES TO FINANCIAL STATEMENTS. 53 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 14,800 New York City, New York Municipal Water Finance Authority, Water and Sewer Systems Revenue, Series 1995A, (FGIC Insured, FGIC-SPI-SPA), 1.200% 06/15/25**........................................... $ 14,800 9,500 New York City, New York Transitional Finance Authority Revenue, Series 2002A, (Dexia Credit Local Liquidity Facility) 1.200% 11/01/22**........................................... 9,500 9,045 New York Metropolitan Transitional Authority Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.110% 11/15/10**#.......................................... 9,045 9,300 New York State GO, (Environmental Quality Project) Series 1998G, (Westdeutsche Landesbank LOC), 1.480% 11/30/18**........................................... 9,300 14,780 New York State Power Authority, Series 2003, 0.880% 11/06/03............................................. 14,780 92,500 New York, New York City Transitional Finance Authority Revenue, Series 2003-2, 2.000% 02/19/04............................................. 92,836 7,235 New York, Metropolitan Transit Authority Revenue, Series 2003, (MBIA Insured, CitiBank N.A. SBPA), 1.110% 11/15/28**#.......................................... 7,235 32,700 New York, New York City Transitional Finance Authority Revenue, (New York City Recovery Project) Series 2002, (Landesbank Hessen-Thueringen Liquidity Facility), 1.200% 11/01/22**........................................... 32,700 ---------- 247,211 ---------- NORTH CAROLINA -- 3.4% 13,935 Henderson County, North Carolina Hospital Revenue, (Margaret R. Pardee Memorial Hospital Project) Series 2001, (Branch Banking & Trust LOC), 1.100% 10/01/21**........................................... 13,935 7,500 Lenoir County, North Carolina Hospital Revenue, (Lenoir Memorial Hospital Project) Series 1998, (Wachovia Bank of North Carolina, N.A. LOC), 1.050% 10/01/12**........................................... 7,500
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- NORTH CAROLINA -- (CONTINUED) $ 7,700 New Hanover County, North Carolina Industrial Facilities and PCR Financing Authority, (Corning, Inc. Project) Series 1997, (Wachovia Bank of Georgia, N.A. LOC), 1.050% 05/01/10**........................................... $ 7,700 4,290 North Carolina Capital Facilities Financing Agency, Educational Facilities Revenue, (Barton College Project) Series 2001, (Branch Banking & Trust LOC), 1.100% 02/01/13**........................................... 4,290 11,700 North Carolina Educational Facilities Financing Agency Revenue, (Ravenscroft School Project) Series 2000, (Wachovia Bank, N.A. LOC), 1.050% 08/01/20**........................................... 11,700 9,620 North Carolina Educational Facilities Financing Agency Revenue, (Roman Catholic Diocese of Charlotte Project) Series 2000, (Wachovia Bank, N.A. LOC), 1.050% 06/01/17**........................................... 9,620 10,615 North Carolina Medical Care Commission Retirement Facilities Revenue, (Aldersgate Project) Series 2001, (Branch Banking & Trust LOC), 1.150% 01/01/31**........................................... 10,615 4,320 North Carolina Medical Care Community Health Care Facilities Revenue, (Rutherford Hospital Inc. Project) Series 2001, (Branch Banking & Trust LOC), 1.100% 09/01/21**........................................... 4,320 10,000 North Carolina Medical Care Community Hospital Revenue, (Westcare Health System Project) Series 2002A, (Branch Banking & Trust LOC), 1.100% 09/01/22**........................................... 10,000 10,000 North Carolina Medical Care Community Retirement Facilities Revenue, Series 2003, (Bank of Scotland LOC), 1.100% 07/01/07**........................................... 10,000 5,510 North Carolina State GO, Series 2003, (Merrill Lynch Capital Services SBPA), 1.130% 02/01/11**#.......................................... 5,510
SEE NOTES TO FINANCIAL STATEMENTS. 54 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- NORTH CAROLINA -- (CONTINUED) $ 7,200 North Carolina State Medical Care Commission Community Health Care Facilities Revenue, (Carolina Village Inc. Project) Series 1998, (Wachovia Bank of North Carolina, N.A. LOC), 1.050% 10/01/18**#.......................................... $ 7,200 ---------- 102,390 ---------- OHIO -- 1.1% 6,300 Lucas County, Ohio Facilities Improvement Revenue, (Toledo Zoological Society Project) Series 1997, (Key Bank, N.A. LOC), 1.100% 10/01/05**#.......................................... 6,300 8,000 Montgomery County, Ohio Economic Development Revenue, (The Dayton Art Institute Project) Series 1996, (National City Bank LOC), 1.150% 05/01/26**........................................... 8,000 15,605 Muskingum County, Ohio Hospital Facilities Revenue Refunding, (Genesis Healthcare System Project) Series 2000, (National City Bank LOC), 1.140% 12/01/20**........................................... 15,605 1,845 Ohio State Higher Educational Facility, Common Revenue, Higher Educational Pooled Financing, Series 2003A, (Fifth Third Bank LOC), 1.150% 09/01/24**........................................... 1,845 995 Summit County, Ohio IDR Refunding, (Keebler Company Project) Series 1993, (Bank of New York LOC), 1.150% 03/01/05**........................................... 995 ---------- 32,745 ---------- OKLAHOMA -- 1.8% 11,000 Oklahoma State Industrial Authority Revenue Refunding, (Integris Health Obligated Group Project) Series 1999B, (MBIA Insured, Morgan Guaranty SBPA), 1.250% 08/15/29**........................................... 11,000 1,490 Oklahoma State Industrial Authority Revenue, (Amateur Softball Association Project) Series 2002, (Bank One Oklahoma N.A. LOC), 1.250% 06/01/14**........................................... 1,490 41,185 Payne County, Oklahoma Economic Development Authority Student Housing Revenue, (OSUF Phase III Project) Series 2002, (AMBAC Insured, Dexia Credit Local SPA) 1.110% 06/01/32**........................................... 41,185 ---------- 53,675 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- PENNSYLVANIA -- 1.7% $ 7,070 Allegheny County, Pennsylvania IDR, (United Jewish Federation Project) Series 1995B, (PNC Bank, N.A. LOC), 1.120% 10/01/25**........................................... $ 7,070 3,000 Allegheny County, Pennsylvania IDR Authority, (Sacred Heart High School Project) Series 2002, (PNC Bank N.A. LOC), 1.150% 06/01/22............................................. 3,000 11,400 Harrisburg, Pennsylvania Authority Revenue, (Cumblerland Valley School Project) Series 2002B, (FSA Insured, Dexia Credit Local SBPA), 1.130% 03/01/34**........................................... 11,400 2,065 Harrisburg, Pennsylvania Authority Revenue, (West Brandywine Project) Series 2002D, (FSA Insured, Dexia Credit Local SPA), 1.130% 03/01/34**........................................... 2,065 5,000 Montgomery County, Pennsylvania Industrial Development Authority Revenue, (Plymouth Woods Project) Series 1987, (PNC Bank, N.A. LOC), 1.120% 09/01/06**#.......................................... 5,000 3,100 Pennsylvania State Higher Educational Facilities Authority Revenue, Series 2002J-4, (PNC Bank N.A.), 1.200% 05/01/32............................................. 3,100 5,570 Philadelphia, Pennsylvania Redevelopment Authority, (The Presbyterian Home Project) Series 1998, (PNC Bank, N.A. LOC), 1.120% 07/01/28**#.......................................... 5,570 13,300 Schuylkill County, Pennsylvania Industrial Development Authority Resource Recovery Revenue, (Northeastern Power Company Project) Series 1997A, (Credit Local De France LOC), 1.150% 12/01/22**........................................... 13,300 ---------- 50,505 ---------- SOUTH CAROLINA -- 2.3% 15,000 Florence County, South Carolina Hospital Revenue, (McLeod Regional Medical Center) Series 1985A, (FGIC Insured, First Union National Bank SBPA), 1.100% 11/01/15**........................................... 15,000 6,200 Greenville County, South Carolina Industrial Revenue, (Edgcomb Metals Company Project) Series 1984, (Wells Fargo Bank N.A. LOC), 1.150% 07/01/14**#.......................................... 6,200
SEE NOTES TO FINANCIAL STATEMENTS. 55 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 25,000 South Carolina Jobs Economic Development Authority Economic Development Revenue, (St. Francis Bon Secours Hospital Project) Series 2000PT-503, (Merrill Lynch Guarantee SBPA), 1.280% 11/15/30**#.......................................... $ 25,000 7,650 South Carolina Jobs Economic Development Authority Health Facilities Revenue, (Carolina Village Project) Series 2000, (Branch Banking & Trust LOC), 1.100% 02/01/22**........................................... 7,650 10,600 South Carolina, Housing Finance and Development Authority Revenue Refunding, (Paces Watch Apartment Project) Series 2000, (FNMA Collateral Agreement), 1.100% 08/15/30**........................................... 10,600 2,675 Spartanburg County, South Carolina School District Number 001 GO, BAN, Series 2003A, (SCSDE Insured), 1.500% 05/13/04............................................. 2,681 ---------- 67,131 ---------- TENNESSEE -- 2.4% 7,780 Clarksville, Tennessee Public Building Authority Revenue, Series 1996, (SunTrust Bank LOC), 1.100% 07/01/11**........................................... 7,780 3,350 Cleveland, Tennessee Health and Educational Facilities Board Revenue, (Lee University Project) Series 2002, (First Tennessee Bank LOC), 1.250% 12/01/19**........................................... 3,350 8,900 Dickson County, Tennessee IDR Board, (The Jackson Foundation - Renaissance Learning Center Project) Series 1997, (SunTrust Bank of Nashville LOC), 1.100% 11/01/12**#.......................................... 8,900 8,000 Franklin, Tennessee Health and Educational Facilities Board Revenue, (Battle Ground Academy Project) Series 2002, (SunTrust Bank LOC), 1.100% 01/01/22**........................................... 8,000 14,200 Knox County, Tennessee Health and Educational Facilities Board Educational Facilities Revenue, (Webb School - Knoxville Project) Series 1999, (SunTrust Bank Nashville LOC), 1.100% 03/01/19**........................................... 14,200
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 1,075 Loudon, Tennessee Water and Sewer Revenue Refunding, Series 1996, (Wachovia Bank, N.A. LOC), 1.100% 09/01/06**#.......................................... $ 1,075 3,600 Metropolitan Government, Nashville and Davidson County, Tennessee Housing and Educational Facilities Board Revenue Refunding, (Multi-Family Timberlake Project) Series 2002, (FNMA Collateral Agreement), 1.100% 08/15/32**........................................... 3,600 7,630 Metropolitan Government, Nashville and Davidson County, Tennessee Housing and Educational Facilities Board Revenue, (Mary Queen of Angels Project) Series 2000, (SunTrust Bank N.A. LOC), 1.100% 07/01/32**........................................... 7,630 3,855 Metropolitan Government, Nashville and Davidson County, Tennessee Industrial Development Board Revenue Refunding, (Nashville Apartment Properties Project) Series 1995-2, (AmSouth Bank, N.A. LOC), 1.200% 09/01/15**#.......................................... 3,855 3,100 Sevier County, Tennessee Public Building Authority, (LOC Government Public Improvement Project) Series 2001B, (AMBAC Insured, Morgan Guaranty Trust SBPA), 1.250% 06/01/22**........................................... 3,100 5,320 Shelby County, Tennessee Health Educational and Housing Facilities Board Revenue, (Memphis University School Project) Series 2002, (SunTrust Bank LOC), 1.120% 10/01/22**........................................... 5,320 5,170 Shelby County, Tennessee Health Educational and Housing Facilities Board Revenue, (St. Benedict Auburndale School) Series 2003, (AMSouth LOC), 1.130% 05/01/33**........................................... 5,170 ---------- 71,980 ---------- TEXAS -- 15.0% 10,000 Bell County, Texas Health Facilities Development Corporation Revenue, (Scott and White Memorial Hospital Project) Series 2000B-1, (MBIA Insured, Morgan Guaranty Trust SBPA), 1.250% 08/15/29**........................................... 10,000
SEE NOTES TO FINANCIAL STATEMENTS. 56 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 1,885 Bell County, Texas Health Facilities Development Corporation Revenue, (Scott and White Memorial Hospital Project) Series 2000B-2, (MBIA Insured, Chase Bank of Texas, N.A. SBPA), 1.250% 08/15/29**........................................... $ 1,885 20,900 Bell County, Texas Health Facilities Development Corporation Revenue, (Scott and White Memorial Hospital Project) Series 2001-2, 1.250% 08/15/31**........................................... 20,900 4,995 Brazosport, Texas Independent School District, Series 2003, (PSF-GTD, Merrill Lynch Capital Services SBPA), 1.130% 08/15/10**........................................... 4,995 4,860 Canutillo, Texas Independent School District, GO, Series 2003, (PSF-GTD Insured, Merrill Lynch Capital Services SBPA), 1.130% 08/15/22**#.......................................... 4,860 14,400 Coastal Bend, Texas Health Facilities Development Corporation Revenue, (Incarnate Word Health Services Project) Series 1998B, (AMBAC Insured, Bank One SBPA), 1.140% 08/15/28**........................................... 14,400 5,000 Dallas-Fort Worth, Texas, Regional Airport Revenue Refunding, (Dallas-Fort Worth Airport Project) Series 1994A, (MBIA Insured), 5.400% 11/01/03............................................. 5,018 9,600 Grand Prairie, Texas Housing Finance Corporation Multi-Family Housing Revenue, (Lincoln Property), Series 1993, (GE Credit Corporation Guarantee), 1.100% 06/01/10**##......................................... 9,600 9,000 Grand Prairie, Texas Housing Finance Corporation Multi-Family Housing Revenue, (Windbridge Grand Prairie Project) Series 1993, (GE Credit Corporation Guarantee), 1.100% 06/01/10**##......................................... 9,000 3,200 Gulf Coast, Texas Waste Disposal Authority PCR, (Exxon Project) Series 1995, 1.110% 10/01/24**........................................... 3,200 22,000 Harris County, Texas GO, TAN, Series 2003, 1.750% 02/27/04............................................. 22,069 8,200 Harris County, Texas Health Facilities Development Corporation Special Facilities Revenue, (Texas Medical Center Project) Series 1999B, (FSA Insured, Chase Bank of Texas N.A. SBPA), 1.250% 05/15/29**........................................... 8,200
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 7,500 Houston, Texas TRAN, Series 2003, 2.000% 06/30/04............................................. $ 7,564 12,495 Houston, Texas Water and Sewer Systems Revenue, Series 2002, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.190% 12/01/23**@@......................................... 12,495 5,110 Humble, Texas Independent School District GO, Series 2002B, (PSF-GTD Insured), 3.500% 02/15/04............................................. 5,156 12,090 Hunt, Texas Memorial Hospital District Revenue, Series 1998, (FSA Insured, Chase Bank of Texas N.A. SPA), 1.110% 08/15/17**........................................... 12,090 5,715 Irving, Texas Independent School District, Series 2003, 1.130% 02/15/18**#.......................................... 5,715 18,340 North East Texas Independent School District GO, Series 2000 PT-1249, (Texas Permanent School Fund Guarantee, Merrill Lynch SBPA), 1.130% 02/01/21**#.......................................... 18,340 4,750 Northside, Texas Independent School District GO, Series 2003A, (PSF-GTD), 1.000% 08/01/31............................................. 4,750 10,250 Port Development Corporation of Texas Marine Terminal Revenue, (Pasadena Terminal Company, Inc. Project) Series 1984, (Deutsche Bank A.G. LOC), 1.320% 12/01/04**#.......................................... 10,250 7,000 Richmond, Texas Higher Educational Finance, (Bayou University Houston Project) Series 2003A, (AMBAC Insured, JP Morgan Chase Bank SBPA), 1.150% 08/01/33**........................................... 7,000 22,190 San Antonio, Texas Water Revenue, Series 2003A, (MBIA Insured, JP Morgan Chase Bank SBPA), 1.050% 05/15/33**........................................... 22,190 2,200 Tarrant County, Texas Housing Finance Corporation Revenue Refunding, (Multi-Family Sierra Springs Apartments Project) Series 1999, (FNMA Collateral Agreement), 1.100% 02/15/27**........................................... 2,200 42,170 Texas Small Business Industrial Development Corporation IDR, Texas Public Facilities Capital Access, Series 1986, (KBC Bank N.V. LOC), 1.120% 07/01/26**........................................... 42,170
SEE NOTES TO FINANCIAL STATEMENTS. 57 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 6,800 Texas State Department Housing and Community Affairs Multi-Family Revenue, (High Point III Project) Series 1993, (FNMA Collateral Agreement), 1.100% 02/01/23**........................................... $ 6,800 128,250 Texas State TRAN, Series 2003, 2.000% 08/31/04............................................. 129,230 17,970 Texas Water Development Board Revenue Refunding, State Revolving Fund, Series 2003, (JP Morgan Chase Bank SBPA), 1.150% 07/15/22**........................................... 17,970 18,700 Texas, Lower Colorado River Authority, Revenue, (MBIA Insured, Citibank SBPA), 1.150% 05/15/26**##......................................... 18,700 8,135 Williamson County, Texas Putable Receipts, Series 1988, (FSA Insured, Morgan Guaranty Trust SBPA), 1.160% 02/15/21**##......................................... 8,135 ---------- 444,882 ---------- UTAH -- 1.5% 29,350 Emery County, Utah PCR, (PacifiCorp Project) Series 1991, (Bank One, N.A. LOC), 1.150% 07/01/15**........................................... 29,350 15,300 Salt Lake County, Utah PCR Refunding, (British Petroleum Company - Service Station Holdings, Inc. Project) Series 1994B, (BP Amoco plc Guarantee), 1.220% 08/01/07**........................................... 15,300 ---------- 44,650 ---------- VIRGINIA -- 1.3% 3,830 Alexandria, Virginia Industrial Development Authority Revenue, (American Red Cross Project) Series 1989, (First Union National Bank LOC), 1.100% 01/01/09**........................................... 3,830 4,000 Front Royal & Warren County Virginia IDR, Hospital Facility, (Warren Memorial Hospital Project) Series 2003, (Branch Banking and Trust LOC), 1.100% 05/01/23**........................................... 4,000 12,340 Rockingham County, Virginia Industrial Development Authority, Residential Care Facility Revenue, (Sunnyside Presbyterian Project) Series 2003, (Branch Banking & Trust LOC), 1.100% 12/01/33**........................................... 12,340
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- VIRGINIA -- (CONTINUED) $ 2,000 Spotsylvania County, Virginia Industrial Development Authority IDR, (Carlisle Corporation Project) Series 1993, (SunTrust Bank LOC), 1.100% 06/01/08**#.......................................... $ 2,000 9,455 Virginia College Building Authority, Virginia Educational Facilities Revenue, Series 1999-Putters 134, (FSA Insured, JP Morgan Chase SBPA), 1.160% 09/01/07**#.......................................... 9,455 8,500 Virginia State College Building Authority, Educational Facilities Revenue, (University of Richmond Project) Series 1996, (Crestar Bank SBPA), 1.050% 11/01/26**........................................... 8,500 ---------- 40,125 ---------- WASHINGTON -- 1.2% 3,180 Spokane Washington Public Facility District Hotel Motel and Sales Use Tax, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility), 1.150% 12/01/23**........................................... 3,180 10,000 Washington State Health Care Facility Authority Lease Revenue, (National Healthcare Research and Education Project) Series 2000, (BNP Paribas LOC), 1.100% 01/01/32**........................................... 10,000 20,100 Washington State Health Care Facility Authority Revenue, (Providence Services Project) Series 2002A, (MBIA Insured, JP Morgan Chase Bank SBPA), 1.250% 12/01/30**........................................... 20,100 3,850 Washington State Motor Vehicle Fuel, GO, Series 2001D, 5.000% 01/01/04............................................. 3,888 ---------- 37,168 ---------- WEST VIRGINIA -- 0.6% 18,000 West Virginia State Hospital Finance Authority Revenue, (St. Mary's Hospital Project) Series 1987, (Bank One of West Virginia LOC), 1.030% 10/01/12**........................................... 18,000 ---------- WISCONSIN -- 3.3% 22,200 Madison, Wisconsin Metropolitan School District TRAN, Series 2003, 1.500% 09/10/04............................................. 22,310 4,275 Milwaukee, Wisconsin GO, Series 2003N2, 3.000% 03/15/04............................................. 4,311
SEE NOTES TO FINANCIAL STATEMENTS. 58 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- WISCONSIN -- (CONTINUED) $ 26,500 Milwaukee, Wisconsin RAN, Series 2003, 1.500% 12/15/03............................................. $ 26,525 3,835 Wind Point, Wisconsin Revenue, (The Johnson Foundation Project) Series 2000, (Harris Trust & Savings Bank LOC), 1.100% 09/01/35**........................................... 3,835 3,580 Wisconsin State GO, Series 2002, 5.000% 05/01/04............................................. 3,660 31,200 Wisconsin State Health and Educational Facilities Authority Revenue, (St. Luke's Medical Center Project) Series 1987, (First National Bank of Chicago LOC), 1.100% 12/01/17**#.......................................... 31,200 3,400 Wisconsin State Health and Educational Facility Authority Revenue, (Mequon Jewish Project) Series 2003, (Bank One N.A. LOC), 1.120% 07/01/28**........................................... 3,400 2,000 Wisconsin State, Series 2001C, 5.000% 05/01/04............................................. 2,045 ---------- 97,286 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $2,974,751)........................................... 2,974,751 ---------- TOTAL INVESTMENTS (Cost $2,974,751*)................................ 100.0% 2,974,751 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. 0.0%+ Interest receivable........................................... $ 8,534 Payable for Fund shares redeemed.............................. (640) Investment advisory fee payable............................... (292) Administration fee payable.................................... (124) Shareholder servicing and distribution fees payable........... (256) Due to custodian.............................................. (2) Distributions payable......................................... (1,369) Payable for investment securities purchased................... (4,100) Accrued Trustees' fees and expenses........................... (119) Accrued expenses and other liabilities........................ (256) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 1,376 ---------- NET ASSETS.......................................... 100.0% $2,976,127 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 47 Accumulated net realized gain on investments sold............. 61 Paid-in capital............................................... 2,976,019 ---------- NET ASSETS.................................................... $2,976,127 ==========
VALUE - ---------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------- NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($558,255,135 / 558,250,888 shares outstanding)............. $1.00 ========== TRUST CLASS SHARES: ($2,134,392,782 / 2,134,910,543 shares outstanding)......... $1.00 ========== LIQUIDITY CLASS SHARES: ($6,578,656 / 6,578,597 shares outstanding)................. $1.00 ========== ADVISER CLASS SHARES: ($6,749,046 / 6,748,970 shares outstanding)................. $1.00 ========== INVESTOR CLASS SHARES: ($67,474,826 / 67,330,653 shares outstanding)............... $1.00 ========== DAILY CLASS SHARES: ($51,661,051 / 51,492,039 shares outstanding)............... $0.09 ========== INVESTOR A SHARES: ($53,001,799 / 52,965,557 shares outstanding)............... $1.00 ========== INSTITUTIONAL SHARES: ($98,013,706 / 98,013,332 shares outstanding)............... $1.00 ==========
- --------------- * Federal income tax information (see Note 7). ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. These securities are subject to demand features of either one, seven or thirty days. ***Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. # Security not registered under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional buyers. ## 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 to qualified institutional buyers. + Amount represents less than 0.1%. @@ Restricted security (see Note 5). Nations Tax-Exempt Reserves had the following industry concentrations greater than 10% at September 30, 2003 (as a percentage of net assets): Healthcare Revenue 16.53% Industrial Development Revenue / Pollution Control Revenue 15.63%
SEE NOTES TO FINANCIAL STATEMENTS. 59 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 98.9% CALIFORNIA -- 94.6% $ 7,400 ABAG Finance Authority for Non-Profit Corporations, 1.030% 10/01/32**........................................... $ 7,400 12,175 ABAG Finance Authority for Non-Profit Corporations, California Certificates of Participation, (Lucile Salter Packard Project) Series 1993, (AMBAC Insured, Bayerische Landesbank SBPA), 1.070% 08/01/23**........................................... 12,175 12,000 ABAG Finance Authority for Non-Profit Corporations, California Revenue, Series 2003A, (Societe Generale SBPA), 1.100% 07/01/08**........................................... 12,000 14,200 ABAG Finance Authority for Nonprofit Corporations, California Multi-Family Revenue, (Fine Arts Building Project) Series 2002A, (FNMA Liquidity Facility), 1.050% 07/15/35**........................................... 14,200 10,000 ABC California Unified School District TRAN, Series 2002, 2.500% 10/08/03............................................. 10,002 14,000 ABC California Unified School District TRAN, Series 2003, 1.500% 08/05/04............................................. 14,064 8,895 ABN AMRO Munitops Certificates Trust, California, Series 2003, (FGIC Insured, ABN AMRO Bank N.V. SBPA), 1.120% 08/01/11@@........................................... 8,895 3,205 Alameda -- Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 1997B, (Scotiabank LOC), 1.080% 07/01/23**........................................... 3,205 900 Alameda -- Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 1997D, (Bank of Nova Scotia LOC), 1.080% 07/01/18**........................................... 900 2,500 Alameda -- Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 1997E, (Bank of Nova Scotia LOC), 1.080% 06/01/22**........................................... 2,500
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 1,355 Alameda -- Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 2000F, (KBC Bank N.V. LOC), 1.130% 08/01/23**........................................... $ 1,355 620 Alameda -- Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 2000I, (AMBAC Insured, KBC Bank N.V. SBPA), 1.080% 08/01/29**........................................... 620 6,480 Alameda County, California Corridor Transportation Authority Revenue, Series 1999CMC-1, (MBIA Insured, JP Morgan SBPA), 1.070% 10/01/13**##......................................... 6,480 3,100 Alameda County, California IDR, (Segale Brothers Wood Production Project) Series 2002, (Bank of the West LOC), 1.200% 10/01/32**........................................... 3,100 6,400 Anaheim, California Unified High School District Certificates of Participation, (School Faculty Bridging Funding Project) Series 1999, (FSA Insured, First Union National Bank SBPA), 1.100% 09/01/13**........................................... 6,400 1,500 Anaheim, California Unified High School District Certificates of Participation, (School Faculty Bridging Funding Project) Series 1999, (FSA Insured, First Union National Bank SBPA), 1.100% 09/01/29**........................................... 1,500 13,000 California Community College Financing Authority TRAN, Series 2003A, 2.000% 06/30/04............................................. 13,116 14,275 California Educational Facilities Authority Revenue, Series 2000A, (Societe Generale LOC), 1.110% 10/01/27**##......................................... 14,275 10,000 California Educational Facilities Authority, 0.900% 02/06/04............................................. 10,000 15,100 California GO, (AMBAC Insured, Citibank LOC), 1.110% 04/01/04**##......................................... 15,100 18,000 California GO, (MBIA Insured, Citibank LOC), 1.110% 02/01/06**##......................................... 18,000
SEE NOTES TO FINANCIAL STATEMENTS. 60 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 13,085 California GO, Series 1999, (MBIA Insured, Merrill Lynch & Company SBPA), 1.140% 12/01/18**##......................................... $ 13,085 1,900 California Health Facilities Financing Authority Revenue, (Adventist Health Systems Project) Series 1998B, (MBIA Insured, California State Teachers Retirement SPA), 1.200% 09/01/28**........................................... 1,900 13,100 California Health Facilities Financing Authority Revenue, (Catholic Healthcare Project) Series 1988B, (MBIA Insured, Morgan Guaranty Trust SBPA), 1.100% 07/01/16**........................................... 13,100 10,995 California Health Facilities Financing Authority Revenue, Series 1998CMC-6, (FSA Insured), 1.070% 06/01/12**##......................................... 10,995 1,660 California Housing Finance Agency Revenue, Series 1995, (MBIA Insured, Credit Suisse First Boston SBPA), 1.150% 08/01/26**##......................................... 1,660 2,965 California Housing Finance Agency Revenue, Series 2000, (State Street Bank & Trust Company LOC), 1.230% 08/01/29**........................................... 2,965 41,600 California Housing Finance Agency Revenue, Series 2002Q, AMT, (Bank of Nova Scotia Liquidity Facility), 1.080% 08/01/33**........................................... 41,600 4,900 California Housing Finance Agency Revenue, Series 2003D, AMT, (FSA Insured, Dexia Credit Local SBPA), 1.100% 08/01/22**........................................... 4,900 22,000 California Infrasructure & Economic Development Bank Revenue, Series 2003A, 1.000% 04/01/33............................................. 22,000 2,000 California Infrastructure & Economic Development Bank Revenue, Series 2003C, 1.000% 04/01/33............................................. 2,000 16,000 California Infrastructure & Economic Development Bank Revenue, Series 2003D, 1.000% 04/01/33............................................. 16,000 5,400 California Infrastructure & Economic Development Bank, IDR, (Kruger & Sons Inc. Project) Series 2002, AMT, (Bank of the West LOC), 1.150% 11/01/28**........................................... 5,400
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 22,070 California Infrastructure and Economic Development Bank Revenue, Series 2003A, (AMBAC Insured, Citibank N.A. SBPA), 1.110% 07/01/37**........................................... $ 22,070 2,500 California Infrastructure and Economic Development Bank IDR, Series 2003, AMT, (Mellon 1st Business Bank LOC, Mellon Bank N.A. LOC), 1.300% 08/01/28**........................................... 2,500 7,000 California Infrastructure and Economic Development Bank Revenue, Series 2003A, (FGIC Insured), 1.110% 07/01/29**........................................... 7,000 4,000 California Infrastructure and Economic Development Bank Revenue, Series 2003A, (Wells Fargo Bank N.A. LOC), 1.090% 09/01/28**........................................... 4,000 2,500 California Pollution Control Financing Authority Solid Waste Disposal, (Blue Line Transfer Project) Series 2002A, (Wells Fargo Bank LOC), 1.150% 08/01/14**........................................... 2,500 10,000 California Pollution Control Financing Authority Solid Waste Disposal, (Browing Ferris Industries) Series 1997A, (Chase Manhattan Bank LOC), 1.050% 09/01/19**........................................... 10,000 1,400 California Pollution Control Financing Authority Solid Waste Disposal, (Santa Clara Valley Industries Project) Series 1998A, AMT, (Comerica Bank LOC), 1.200% 03/01/18**##......................................... 1,400 5,000 California Pollution Control Financing Authority, Solid Waste Disposal, (Norcal Waste Systems Inc. Project) Series 2003A, AMT, (Fleet National Bank LOC), 1.200% 07/01/26**........................................... 5,000 1,000 California School Cash Reserve Program Authority, Revenue, Series 2003A, 2.000% 07/06/04............................................. 1,007 7,125 California School Facilities Financing Corporation Certificates of Participation, Series 1998A, (Bayerische Hypotheken und Vereinsbank LOC), 1.050% 07/01/22**........................................... 7,125
SEE NOTES TO FINANCIAL STATEMENTS. 61 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 12,075 California State Department of Water Resource and Power Supply Revenue, Series 2003, (MBIA-IBC Insured, Merrill Lynch Capital Services SBPA), 1.110% 05/01/11**........................................... $ 12,075 19,000 California State Department of Water Resources and Power Supply Revenue, Series 2002C, (Bank of New York LOC), 1.090% 05/01/22**........................................... 19,000 10,650 California State Department of Water Resources and Power Supply Revenue, Series 2002C-9, (Citibank N.A.), 1.100% 05/01/22**........................................... 10,650 10,120 California State Floating Rate Receipts, Series 1997SG-91, (FGIC Insured, Societe Generale LOC), 1.140% 10/01/21**##......................................... 10,120 15,950 California State GO, Municipal Trust Receipts, Series 1997SGA-54, (AMBAC Insured, Societe Generale SBPA), 1.100% 06/01/21**##......................................... 15,950 2,495 California State, Series 1999-132, (FGIC Insured, JP Morgan Chase Insured), 1.100% 04/01/08**##......................................... 2,495 9,000 California Statewide Communities Development Authority Multi-Family Housing Revenue, (Oakmont Senior Living Project) Series 2001Y, AMT, (East West Bank LOC, FHLB SBPA), 1.150% 08/01/31**........................................... 9,000 5,000 California Statewide Communities Development Authority Revenue, (Hanna Boys Center Project) Series 2002, (Northern Trust Company LOC), 1.050% 12/31/29**........................................... 5,000 4,350 California Statewide Communities Development Authority Revenue, IDR, (Multiple Peptide Systems Project) Series 2002A, AMT, (Bank of the West LOC), 1.150% 12/01/17**........................................... 4,350 16,000 California Statewide Communities Development Authority Revenue, Series 2001A, (BNP Paribas LOC), 1.070% 03/01/31**........................................... 16,000 10,000 California Statewide Communities Development Authority Revenue, TRAN, Series 2003A-1, (FSA Insured), 2.000% 06/30/04............................................. 10,074
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 2,700 California Watereuse Finance Authority Revenue, Series 1998, (FSA Insured), 1.030% 05/01/28**........................................... $ 2,700 2,500 Carlsbad, California Unified School District Certificates of Participation, (School Facilities Bridge Funding Program) Series 2001, (FSA Insured, First Union National Bank SBPA), 1.100% 09/01/24**........................................... 2,500 5,000 Compton, California Community College, BAN, Series 2003, 2.000% 02/03/04............................................. 5,016 10,700 Contra Costa County, California Board of Education TRAN, Series 2003, 1.500% 06/30/04............................................. 10,748 6,475 Corona, California Multi-Family Revenue Refunding, (Country Hills Project) Series 1995A, (FHLMC Insured), 1.060% 02/01/25**........................................... 6,475 5,000 Duarte, California Redevelopment Agency Revenue, Certificates of Participation, (Johnson Duarte Partners Project) Series 1984B, (General Electric Capital Corporation LOC), 1.000% 12/01/14**........................................... 5,000 7,000 Duarte, California Redevelopment Agency, Certificates of Participation, (Piken Duarte Partners Project) Series 1984A, (General Electric Capital Corporation LOC), 1.000% 12/01/14**##......................................... 7,000 10,000 East Bay, California Municipal Utility District, Water System Revenue, Series 2002B, 1.020% 06/01/25**........................................... 10,000 33,900 East Bay, California Municipal Utility District, Wastewater System Revenue, 0.900% 12/11/03............................................. 33,900 10,000 Evergreen, California School District TRAN, Series 2003, 2.000% 06/30/04............................................. 10,079 5,000 Fairfield-Suisin, California Unified School District TRAN, Series 2003, 1.500% 06/30/04............................................. 5,021 2,970 Fremont, California Multi-Family Housing Revenue, (Mission Wells Project) Series 1985E, (Credit Lyonnais LOC, Bayerische Landesbank LOC), 1.150% 09/01/14**##......................................... 2,970 2,000 Fullerton, California School District GO, Series 2002, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.110% 08/01/21**........................................... 2,000
SEE NOTES TO FINANCIAL STATEMENTS. 62 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 43,100 Glendale, California Certificates of Participation, (Police Building Project) Series 2000, (Morgan Guaranty Trust SBPA), 1.050% 06/01/30**........................................... $ 43,100 30,500 Golden Gate Bridge, California Highway and Transportation District, 0.850% 10/10/03............................................. 30,500 19,700 Golden Gate Bridge, California Highway and Transportation District, 0.950% 02/12/04##........................................... 19,700 4,500 Hayward, California Multi-Family Housing Revenue, (Timbers Apartments Project) Series 1998A, AMT, (FNMA Liquidity Facility), 1.120% 03/15/33**........................................... 4,500 3,960 Indio, California Multi-Family Housing Revenue, (Western Federal Savings Project) Series 1985, (Wells Fargo and Company LOC), 1.200% 06/01/05**........................................... 3,960 4,350 Indio, California Multi-Family Housing Revenue, Series 1996A, (FNMA Collateral Agreement), 1.060% 08/01/26**........................................... 4,350 5,100 Irvine, California Public Facilities and Infrastructure Authority, Lease Revenue, (Capital Improvement Project) Series 1985, 1.150% 11/01/10**........................................... 5,100 30,730 Irvine, California, (Assessment District No. 89 Project) Series 1990-10, (Bayerische Hypotheken und Vereinsbank LOC), 1.250% 09/02/15**........................................... 30,730 15,035 Lake Elsinore, California Recreation Authority Revenue, (Public Facilities Project) Series 2000A, (Union Bank of California LOC, California State Teachers Retirement LOC), 1.030% 02/01/32**........................................... 15,035 5,900 Lassen, California Municipal Utility District Revenue, Series 1996A, AMT, 1.210% 05/01/08**........................................... 5,900 8,500 Livermore Valley, California GO Unified School District, TRAN, Series 2002, 2.100% 10/17/03............................................. 8,503 400 Livermore, California Certificates of Participation, Series 2000, (AMBAC Insured, Dexia Public Finance SBPA), 1.030% 10/01/30**........................................... 400 13,000 Long Beach, California GO, (FGIC Insured, Citibank SBPA), 1.180% 05/15/15**##......................................... 13,000
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 10,000 Long Beach, California Harbor Revenue, Series 1994A, AMT, .850% 10/06/03**##.......................................... $ 10,000 9,995 Long Beach, California Municipal Securities Trust Receipts Revenue, Series 1998CMC-1, (FGIC Insured, JP Morgan Chase SBPA), 1.100% 05/15/07**##......................................... 9,995 24,200 Long Beach, California TRAN, Series 2002, 2.500% 10/02/03............................................. 24,201 63,785 Los Angeles County, California Housing Authority Multi-Family Housing Revenue, 1.220% 10/01/31**##......................................... 63,785 11,700 Los Angeles County, California Metropolitan Transportation Authority Sales Tax Revenue, Series 2002, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.110% 01/01/07**##......................................... 11,700 57,800 Los Angeles County, California TRAN, Series 2003A, 2.000% 06/30/04............................................. 58,253 15,000 Los Angeles, California Convention & Exhibit Center Authority, Lease Revenue, Series 2003B-2, (AMBAC Insured), 0.970% 08/15/21............................................. 15,000 6,000 Los Angeles, California Department of Water and Power, Electric Plant Revenue, Series 1999, (FSA Insured), 5.500% 06/15/25............................................. 6,252 9,564 Los Angeles, California Multi-Family Housing Revenue, (Fountain Park Housing Project) Series 2002A, (FNMA Liquidity Facility), 1.050% 03/15/34**........................................... 9,564 27,500 Los Angeles, California TRAN, Series 2003, 2.000% 06/30/04............................................. 27,688 37,000 Los Angeles, California Unified School District TRAN, Series 2003B, 1.500% 07/01/04............................................. 37,156 20,000 Los Angeles, California Wastewater System Revenue, 0.800% 10/08/03............................................. 20,000 17,875 Los Angeles, California Wastewater System Revenue, 0.850% 12/11/03............................................. 17,875 10,000 Los Angeles, California Wastewater Systems Revenue Refunding, Series 2001A, (FGIC Insured, FGIC SBPA), 1.250% 12/01/31**........................................... 10,000
SEE NOTES TO FINANCIAL STATEMENTS. 63 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 7,000 Los Angeles, California Wastewater Systems Revenue Refunding, Series 2001B, (FGIC Insured, FGIC SBPA), 1.250% 12/01/31**........................................... $ 7,000 9,170 Los Angeles, California Wastewater Systems Revenue, Series 2003, (Merrill Lynch Capital Services SBPA), 1.110% 06/01/10**........................................... 9,170 12,995 Los Angeles, California Water & Power Revenue, (MBIA Insured, JP Morgan Chase Liquidity Facility), 1.070% 01/01/09**##......................................... 12,995 39,000 Los Angeles, California Water & Power Revenue, Series 2002A-5, (Bayerische Landesbank SBPA, BNP Paribas SBPA, Dexia Credit Local SBPA, JP Morgan Chase Bank SBPA, and Westdeutsche Landesbank Girozentrale SBPA), 1.050% 07/01/35**........................................... 39,000 22,000 Los Rios, California GO Community College District TRAN, Series 2002, 2.100% 10/17/03............................................. 22,007 13,500 Metropolitan Water District of Southern California Waterworks Revenue, Series 1998C, (Landesbank Hessen Thueringen SBPA), 1.000% 07/01/28**........................................... 13,500 19,000 Metropolitan Water District of Southern California Waterworks Revenue, Series 1999C, (Morgan Guaranty Trust SBPA), 1.000% 07/01/27**........................................... 19,000 27,900 Metropolitan Water District of Southern California Waterworks Revenue, Series 2001B-1, (Dexia Credit Local SBPA), 1.030% 07/01/20**........................................... 27,900 4,290 Morgan Hill, California United School District Receipts GO, Series 2000S, (FGIC Insured, Societe Generale), 1.110% 08/01/25**........................................... 4,290 20,000 Oakland-Alameda County, California Coliseum Authority Lease Revenue, (Coliseum Project) Series 2000C-2, (Canadian Imperial Bank LOC, California State Teachers Retirement LOC), 1.050% 02/01/25**........................................... 20,000 20,000 Orange County, California Apartment Development Revenue Refunding, (Bluffs Apartments Project) Series 1999C, (FHLMC Insured), 1.100% 12/01/29**........................................... 20,000
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 12,700 Orange County, California Housing Authority Apartment Development Revenue Refunding, (Oasis Martinique Project) Series 1998I, (FNMA Collateral Agreement), 1.100% 06/15/28**........................................... $ 12,700 1,200 Orange County, California Industrial Development Authority, IDR, (Control Air Conditioning Project) Series 1997A, AMT, (California State Teachers Retirement Fund LOC), 1.100% 05/01/22**........................................... 1,200 4,800 Orange County, California Sanitation Districts Certificates of Participation, Series 2000A, (Dexia Public Finance Bank SBPA), 1.200% 08/01/29**........................................... 4,800 11,150 Orange County, California Special Financing Authority Revenue, Series 1995B, (AMBAC Insured, First Union National Bank SBPA), 1.050% 11/01/14**##......................................... 11,150 24,775 Orange County, California Special Financing Authority Revenue, Series 1995C, (AMBAC Insured, First Union National Bank SBPA), 1.050% 11/01/14**........................................... 24,775 9,000 Orange County, California Special Financing Authority Revenue, Series 1995D, (AMBAC Insured, First Union National Bank SBPA), 1.050% 11/01/14**........................................... 9,000 22,800 Orange County, California Special Financing Authority Teeter Plan Revenue, Series 1995E, (AMBAC Insured, First Union National Bank SBPA), 1.050% 11/01/14**........................................... 22,800 4,725 Orange County, California Water District Revenue, Certificates of Participation, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.110% 02/15/11**##......................................... 4,725 115 Pajaro Valley, California Unified School District Certificates of Participation, (School Facilities Bridge Funding Project) Series 2000, (FSA Insured, First Union National Bank SBPA) 1.100% 09/01/23**........................................... 115 5,350 Paramount, California Unified School District Certificates of Participation, (School Facilities Bridge Funding Program Project), Series 2001, (FSA Insured, First Union National Bank LOC), 1.100% 09/01/30**........................................... 5,350
SEE NOTES TO FINANCIAL STATEMENTS. 64 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 5,285 Pasadena, California Water Revenue, Series 2003, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.110% 06/01/27**........................................... $ 5,285 11,450 Penninsula Corridor Joint Powers Board, California GAN, Series 2003A, (AIG GIC), 1.430% 02/04/04............................................. 11,463 11,925 Pleasanton, California Multi-Family Housing Revenue, (Bernal Apartment Project) Series 2001A, AMT, (FNMA Liquidity Facility), 1.150% 09/15/34**........................................... 11,925 14,000 Regents of the University of California, 0.900% 10/28/03##........................................... 14,000 2,300 Riverside County, California Community Facilities District Special Tax Revenue Refunding, Series 1997, (KBC Bank N.V. LOC), 1.100% 09/01/14**........................................... 2,300 29,921 Riverside County, California Teeter Financing Program, 0.850% 10/22/03............................................. 29,921 1,600 Riverside, California Electric Revenue, Series 1998, (AMBAC Insured, JP Morgan Chase Liquidity Facility), 1.070% 10/01/11**##......................................... 1,600 6,000 Rowland, California Unified School District GO, Series 2003, (FSA Insured, Citigroup Global Markets Liquidity Facility), 1.110% 08/01/22**##......................................... 6,000 3,750 Sacramento County, California Housing Authority Multi-Family Housing Revenue Refunding, (Sun Valley Apartments Project) Series 2001F, AMT, (FNMA Liquidity Facility), 1.120% 02/15/31**........................................... 3,750 4,500 Sacramento County, California Housing Authority Multi-Family Housing Revenue, (California Place Apartments Project) Series 2001B, (FNMA Collateral Agreement), 1.120% 02/15/31**........................................... 4,500 5,100 Sacramento County, California Multi-Family Housing Revenue, Series 1985B, (Bank One Arizona, N.A. LOC), 1.060% 04/15/07**##......................................... 5,100 51,550 Sacramento County, California Sanitation District Financing Authority Revenue, Series 2000C, (Credit Agricole LOC), 1.050% 12/01/30**........................................... 51,550 48,000 Sacramento, California Municipal Utility Revenue, 0.800% 10/09/03............................................. 48,000
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 7,300 San Bernardino County, California Certificates of Participation, (Medical Center Financing Project) Series 1998, (MBIA Insured, Landesbank Hessen Thueringen SBPA), 1.110% 08/01/26**........................................... $ 7,300 3,130 San Bernardino County, California Housing Authority Multi-Family Housing Revenue Refunding, (Arrowview Park Apartments Project) Series 1992A, (Redlands Federal Bank LOC, FHLB LOC), 1.060% 09/01/22**........................................... 3,130 41,875 San Bernardino County, California TRAN, Series 2003, 1.500% 07/01/04............................................. 42,036 10,600 San Bernardino, California City Unified School District Certificates of Participation, (School Facility Bridge Funding Project) Series 2001, (FSA Insured, First Union National Bank SBPA), 1.100% 09/01/19**........................................... 10,600 3,700 San Bernardino, California City United School District Certificates of Participation, (School FCA Bridge Funding Project) Series 2001, (FSA Insured, First Union National Bank SBPA), 1.100% 09/01/09**........................................... 3,700 12,000 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue Refunding, (Fillmore Center Project) Series 1992A-1, (Credit Suisse First Boston LOC), 1.040% 12/01/17**........................................... 12,000 15,553 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue Refunding, (Fillmore Center Project) Series 1992B-1, (Credit Suisse First Boston LOC), 1.040% 12/01/17**........................................... 15,553 78,200 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue, (3rd and Mission Street Project) Series 1999C, (Bayerische Hypotheken und Vereinsbank LOC), 1.200% 07/01/34**........................................... 78,200 16,640 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue, (Notre Dame Apartments Project) Series 2000G, (Citibank, N.A. LOC), 1.100% 12/01/33**........................................... 16,640
SEE NOTES TO FINANCIAL STATEMENTS. 65 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 7,900 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue, (South Harbor Project) Series 1986, (Credit Local De France LOC), 1.070% 12/01/16**........................................... $ 7,900 33,500 San Francisco City and County, California Unified School District TRAN, Series 2002, 1.750% 12/17/03............................................. 33,543 6,600 San Francisco, California City and County Multi-Family Housing Revenue, (8th and Howard Family Apartments) Series 2000B, AMT, (Citibank, N.A. LOC), 1.200% 12/01/34**........................................... 6,600 3,000 San Francisco, California City and County Redevelopment Multi-Family Housing Revenue Refunding, (Fillmore Center Project) Series 1992, AMT, (Credit Suisse LOC, 1st Boston Bank LOC), 1.060% 12/01/17**........................................... 3,000 5,000 San Joaquin County, California Transportation Authority Sales Tax Revenue, 0.850% 10/08/03............................................. 5,000 9,100 San Joaquin County, California Transportation Authority, Sales Tax Revenue, 0.850% 10/09/03............................................. 9,100 10,100 San Jose, California Multi-Family Housing Revenue, (Pollard Plaza Apartments Project) Series 2002D, AMT, (FHLMC Liquidity Facility), 1.100% 08/01/35**........................................... 10,100 10,904 San Jose, California Multi-Family Housing Revenue, (Sunset Square Apartments Project) Series 2002E, 1.100% 06/01/34**........................................... 10,904 15,290 San Jose, California Multi-Family Housing Revenue, (Turnleaf Apartments Project) Series 2003A, AMT, (FHLMC Liquidity Facility), 1.100% 06/01/36**........................................... 15,290 35,000 San Juan, California GO, Unified School District TRAN, Series 2002, 2.250% 10/17/03............................................. 35,013 25,000 Santa Clara County, California East Side Unified High School BAN, Series 2003, 1.200% 04/23/04............................................. 25,008 9,065 Santa Clara County, California East Side Unified High School District GO, Series 2003, (MBIA Insured), 1.110% 02/01/24**##......................................... 9,065
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 500 Saratoga, California Unified School District Certificates of Participation, (School Facility Bridge Funding) Series 2001, (FSA Insured, First Union National Bank SBPA), 1.100% 09/01/26**........................................... $ 500 5,315 Southern California Public Power Authority, Power Project Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.110% 07/01/11**##......................................... 5,315 4,030 Southern Kern, California Unified School District Certificates of Participation, (Building Program) Series 1998A, (FSA Insured, First Union National Bank SBPA), 1.100% 09/01/26**........................................... 4,030 5,050 Sweetwater, California Unified High School District Certificates of Participation, Series 2001, (FSA Insured, First Union National Bank SBPA), 1.100% 06/01/13**........................................... 5,050 2,600 Vallecitos, California Water District Water Revenue Certificates of Participation, (Oaks Reservoir Project) Series 1998, (Credit Local de France LOC), 1.050% 07/01/30**........................................... 2,600 12,415 Vallejo, California Certificates of Participation, (Capital Improvement Project) Series 2002, (Union Bank of California, N.A. LOC, California State Teachers Retirement LOC), 1.030% 12/01/23**........................................... 12,415 4,450 Vallejo, California Certificates of Participation, (Golf Course Facilities Financing Project) Series 2001, (Union Bank of California N.A. LOC, California State Teachers Retirement LOC), 1.030% 06/01/40**........................................... 4,450 8,060 Vallejo, California Water Revenue, Series 2001A, (KBC Bank NV LOC), 1.080% 06/01/31**........................................... 8,060 1,800 West Basin, California Municipal Water District Revenue, Certificates of Participation, Series 1999A, (Bayerische Hypo-und Vereinsbank LOC), 1.150% 08/01/29**........................................... 1,800 ---------- 1,988,637 ---------- GUAM -- 1.0% 20,000 Guam Power Authority, (KBC Bank NV LOC) 0.900% 10/15/03............................................. 20,000 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 66 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- PUERTO RICO -- 3.3% $ 16,355 Puerto Rico Commonwealth Highway and Transportation Authority Revenue, (AMBAC Insured, Merrill Lynch Liquidity Facility), 1.000% 01/01/19**@@......................................... $ 16,355 7,370 Puerto Rico Commonwealth Infrastructure Financing Authority, Series 2000-1, 1.000% 10/01/34**@@......................................... 7,370 21,330 Puerto Rico Commonwealth Infrastructure Financing Authority, Series 2000-2, (Toronto-Dominion Bank Liquidity Facility), 1.000% 10/01/32**@@......................................... 21,330 5,495 Puerto Rico Electric Power Authority, Power Revenue, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.060% 07/01/14**........................................... 5,495 9,725 Puerto Rico Infrastructure Financing Authority, 1.110% 10/01/34**##......................................... 9,725 9,000 Puerto Rico Infrastructure Financing Authority, 1.110% 10/01/34**##......................................... 9,000 ---------- 69,275 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $2,077,912)........................................... 2,077,912 ---------- TOTAL INVESTMENTS (Cost $2,077,912*)................................ 98.9% 2,077,912 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. 1.1% Receivable for investment securities sold..................... $ 60,300 Interest receivable........................................... 6,430 Investment advisory fee payable............................... (214) Administration fee payable.................................... (103) Shareholder servicing and distribution fees payable........... (598) Due to custodian.............................................. (63) Distributions payable......................................... (209) Payable for investment securities purchased................... (42,036) Accrued Trustees' fees and expenses........................... (47) Accrued expenses and other liabilities........................ (350) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... 23,110 ---------- NET ASSETS.......................................... 100.0% $2,101,022 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 59 Accumulated net realized gain on investments sold............. 9 Paid-in capital............................................... 2,100,954 ---------- NET ASSETS.................................................... $2,101,022 ==========
VALUE - ---------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------- NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE CAPITAL CLASS SHARES: ($92,533,778 / 92,537,305 shares outstanding)................. $1.00 ========== TRUST CLASS SHARES: ($381,567,212 / 381,577,484 shares outstanding)............... $1.00 ========== LIQUIDITY CLASS SHARES: ($2,072,657 / 2,072,670 shares outstanding)................... $1.00 ========== ADVISER CLASS SHARES: ($460,113,568 / 460,079,742 shares outstanding)............... $1.00 ========== INVESTOR CLASS SHARES: ($357,697,260 / 357,716,235 shares outstanding)............... $1.00 ========== DAILY CLASS SHARES: ($759,850,906 / 759,857,188 shares outstanding)............... $1.00 ========== INVESTOR B SHARES: ($6,578 / 6,578 shares outstanding)........................... $1.00 ========== INVESTOR C SHARES: ($217,257 / 217,262 shares outstanding)....................... $1.00 ========== INSTITUTIONAL SHARES: ($46,962,487 / 46,963,089 shares outstanding)................. $1.00 ==========
- --------------- * Federal income tax information (see Note 7). **Variable rate notes. The interest rate shown reflects the rate in effect at September 30, 2003. These securities are subject to demand features of either one, seven or thirty days. # Security not registered under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional buyers. ## 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 to qualified institutional buyers. @@Restricted security (see Note 5). Nations California Tax-Exempt Reserves had the following industry concentrations greater than 10% at September 30, 2003 (as a percentage of net assets): Housing Revenue 18.95% Education Revenue 13.32%
SEE NOTES TO FINANCIAL STATEMENTS. 67 NATIONS MONEY MARKET FUNDS Nations New York Tax-Exempt Reserves STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 99.9% NEW YORK -- 98.5% $ 550 Batavia, New York GO, City School District, Series 2003, (FSA Insured, State Aid Withholding), 2.500% 05/15/04............................................. $ 555 550 Broome County, New York Industrial Development Agency, IDR Refunding, (Bing Realty Project) Series 1988, (First Union National Bank LOC), 1.100% 12/15/03**........................................... 550 500 Buffalo, New York GO, Series 2002, (FSA Insured), 2.500% 11/15/03............................................. 501 3,500 Buffalo, New York RAN, Series 2003A, (Bank of New York LOC), 2.750% 07/29/04............................................. 3,548 400 Camillus, New York GO, West Genesee Central School, Series 2003, (FSA Insured, State Aid Withholding), 2.750% 04/15/04............................................. 404 930 Erie County, New York Civic Facilities Agency IDR, (DePaul Community Facilities, Inc. Project) Series 1996, (Key Bank of New York, N.A. LOC), 1.150% 11/01/16** #......................................... 930 1,500 Hempstead Town, New York GO, Series 2001A, (MBIA Insured), 3.250% 01/15/04............................................. 1,510 800 Hempstead, New York Industrial Development Agency, IDR Refunding, (Trigen-Nassau Energy Corporation Project) Series 1998, AMT, (Societe Generale LOC), 1.080% 09/15/15**........................................... 800 550 Islip, New York GO, Series 1995, (FGIC Insured), 5.000% 07/15/04............................................. 567 50 Jamestown, New York GO, City School District, Series 2001, (FGIC Insured, State Aid Withholding), 4.000% 06/15/04............................................. 51 3,200 Long Island, New York Power Authority, Electric Systems Revenue, Series 1998-2A, (Westdeutsche Landesbank Girozentrale LOC, State Street Bank & Trust Company LOC), 1.050% 05/01/33**........................................... 3,200 2,700 Metropolitan Transitional Authority New York Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.110% 11/15/10**#.......................................... 2,700 200 Metropolitan Transitional Authority New York Service Contract, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.050% 07/01/11**........................................... 200
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 100 Middletown, New York GO, City School District, Series 1996, (FGIC Insured, State Aid Withholding), 4.750% 11/01/03............................................. $ 100 875 Monroe County, New York GO Unrefunded Balance, Series 1995, (FGIC Insured), 7.000% 06/01/04**........................................... 909 1,075 Monroe County, New York Industrial Development Agency, Civic Facilities Revenue, (Hillside Childrens Center Project) Series 1998, (Key Bank, N.A. LOC), 1.150% 08/01/18**#.......................................... 1,075 2,020 Monroe County, New York Civic Facilities Agency, IDR, (St. Anns Home Company Project) Series 2000, (HSBC Bank USA LOC), 1.070% 07/01/30**........................................... 2,020 200 Monroe County, New York Civic Facilities Agency, IDR, (St. Ann's Home For Aged Project) Series 2000, (HSBC Bank USA LOC), 1.070% 07/01/30............................................. 200 50 Municipal Assistance Corporate For City of New York, Series 1995D, (AMBAC Insured), 4.900% 07/01/04............................................. 51 400 New York and New Jersey Port Authority, Series 2001, GO (FSA Insured), 5.250% 07/15/04............................................. 413 925 New York City, New York Industrial Development Agency, Civic Facility Revenue, (Penninsula Hospital Center Project) Series 1998, (Chase Manhattan Bank LOC), 1.080% 12/01/13**........................................... 925 800 New York City, New York Municipal Water Finance Authority, Water and Sewer Systems Revenue, Series 1995A, (FGIC Insured, FGIC-SPI-SPA), 1.200% 06/15/25**........................................... 800 1,535 New York City, New York Transitional Financing Authority Reveue, Series 2002-1B, (Societe Generale Liquidity Facility), 1.070% 11/01/22**........................................... 1,535 100 New York State Authority Highway and Bridge Fund, Series 2001B, (MBIA Insured), 3.500% 04/01/04............................................. 101 770 New York State Dormitory Authority Revenue Unrefunded, Series 1991, (AMBAC Insured), 6.700% 07/01/04............................................. 773 650 New York State Dormitory Authority Revenue, (Oxford University Press Inc. Project) Series 1996, (GO of Institution, Landesbank Hessen Thueringen LOC), 1.050% 07/01/25**........................................... 650
SEE NOTES TO FINANCIAL STATEMENTS. 68 NATIONS MONEY MARKET FUNDS Nations New York Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 100 New York State Dormitory Authority Revenue, (St. Mary's Hospital Amterdam Project) Series 1997, (MBIA Insured, GO of Institution), 5.250% 05/01/04............................................. $ 102 4,020 New York State Environmental Facilities Corporation Clean Water and Drinking, Series 2003, (Citigroup Global Market Liquidity Facility), 1.110% 06/15/19**#.......................................... 4,021 3,500 New York State Environmental, (General Electric Project) Series 2003, 0.830% 12/16/03............................................. 3,500 1,100 New York State GO, (Environmental Quality Project) Series 1998G, (Westdeutsche Landesbank LOC), 1.480% 11/30/18**........................................... 1,100 900 New York State GO, Power Authority Revenue and General Purpose, Series 1985, (First Union National Bank LOC, Bank of Nova Scotia LOC, Toronto Dominion Bank LOC), 0.900% 03/01/20**........................................... 900 350 New York State GO, Series 1997, (AMBAC Insured), 5.000% 03/01/04............................................. 356 3,500 New York State GO, Series 2003H 0.900% 10/28/03............................................. 3,500 5,350 New York State Housing Finance Agency Revenue, (East 84th Street Project) Series 1995A, AMT, (Bayerische Hypotheken und Vereinsbank LOC), 1.250% 11/01/28**........................................... 5,351 450 New York State Housing Finance Agency Revenue, (South Cove Plaza Project), Series 1999A, (FHLMC LOC), 1.120% 11/01/30**........................................... 450 170 New York State Housing Finance Agency Revenue, (Theater Row Tower Project) Series 2000A, AMT, (Bayerische Hypotheken und Vereinsbank LOC), 1.300% 11/01/32**........................................... 170 200 New York State Housing Finance Agency Revenue, 66 West 38th Street, Series 2001A, (Bayerische Hypotheken und Vereinsbank LOC), 1.150% 11/01/33**........................................... 200 3,300 New York State Housing Finance Agency Revenue, Series 2002A, (Fleet National Bank LOC), 1.030% 11/01/35............................................. 3,300 1,000 New York State Housing Financial Agency Special Obligation, New York City Health Facilities, Series 1990A, 6.900% 11/01/03............................................. 1,005
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 425 New York State Local Assistance Corporation Revenue, Series 1993, (Bayerische Landesbank Girozentrale LOC, Westdeutsche Landesbank Girozentrale LOC), 1.030% 04/01/22**........................................... $ 425 200 New York State Local Government Assistance Corporation Refunding, Series 1997B, (MBIA Insured, GO of Corporation), 5.250% 04/01/04............................................. 204 710 New York State Local Government Assistance Corporation Revenue, Series 1995B, (Societe Generale LOC), 1.020% 04/01/25**........................................... 710 615 New York State Local Government Assistance Corporation, Series 1995, (Societe Generale LOC, Landesbank Hessen-Thueringen LOC), 1.020% 04/01/25**........................................... 615 1,030 New York State Local Government Assistance Corporation, Series 1995C, (Landesbank Hessin-Thueringen LOC), 1.020% 04/01/25............................................. 1,030 3,000 New York State Power Authority, Series 2003, 0.880% 11/06/03............................................. 3,000 250 New York State Tollway Authority Highway and Bridge Funding, Series 1994, (FGIC Insured), 6.400% 04/01/04............................................. 257 150 New York State Tollway Authority Highway and Bridge Funding, Series 1999B, (FGIC Insured), 4.000% 04/01/04............................................. 152 3,000 New York, New York City Housing Development Corporate Mortgage Revenue, Series 2003A, (Keybank N.A. LOC), 1.070% 07/01/35**........................................... 3,000 600 New York, New York City Housing Development Corporation Multi-Family Housing Revenue, (Mortgage Fountains Project) Series 2001A, (Fleet Bank LOC), 1.070% 11/01/33**........................................... 600 250 New York, New York City Housing Development Corporation Multi-Family Housing Revenue, (Nelson Ave Apartments Project) Series 2002A, AMT, (Key Bank N.A. LOC), 1.070% 10/01/35**........................................... 250 150 New York, New York City Housing Development Corporation, Multi-Family Rent Housing Revenue, Series 2001A, 1.070% 11/15/31**........................................... 150
SEE NOTES TO FINANCIAL STATEMENTS. 69 NATIONS MONEY MARKET FUNDS Nations New York Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $2,500 New York, New York City Industrial Development Agency Civic Facility Revenue, (CASA Project), Series 2000, (Chase Manhattan Bank LOC), 1.080% 03/01/20**........................................... $ 2,500 300 New York, New York City Municipal Water Financing Authority, Water and Sewer System Revenue, Series 2002C-2, (Toronto Dominion Bank SBPA, Bank of Nova Scotia Liquidity Facility), 1.050% 06/15/18**........................................... 300 700 New York, New York City Transitional Financing Authority, Series 2002-1A, (Landesbank Hessen Thueringen Liquidity Facility), 1.050% 11/01/22**........................................... 700 3,200 New York, New York GO, Series 2002C-2, (Bayerische Landesbank LOC), 1.050% 08/01/20............................................. 3,200 645 Oceanside, New York State GO, United Free School District Series 2003B, (FGIC Insured, State Aid Withholding), 2.000% 11/01/03............................................. 646 905 Oneida County, New York Industrial Development Agency Revenue, (Hamilton College Civic Facility Project) Series 2002, (MBIA Insured, Bank of New York SBPA), 1.070% 09/15/32**........................................... 905 2,465 Port Authority New York and New Jersey, Series 2003, (AMBAC GO of Authority, Citigroup Global Market Liquidity Facility), 1.160% 12/15/32**#.......................................... 2,465 340 Schodack, New York GO Central School District, Series 2002B, (FSA Insured, State Aid Withholding), 2.500% 12/15/03............................................. 341 250 Suffolk County, New York GO Public Improvement, Series 2002A, (MBIA Insured), 4.000% 05/01/04............................................. 254 310 Suffolk County, New York Industrial Development Agency Revenue Refunding, (Target Rock Corporation Project), Series 1987, (Swiss Bank Corporation LOC), 1.050% 02/01/07**........................................... 310 290 Syracuse, New York GO Public Improvement, Series 2002C, AMT, (FGIC Insured), 4.000% 01/01/04............................................. 292 1,400 Tompkins County, New York Industrial Development Agency Revenue, (Kendal Care Community Project) Series 2003, (Wachovia Bank N.A. LOC), 0.990% 07/01/24**........................................... 1,400
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 1,000 Westchester County, New York Industrial Development Agency, IDR, (Levister Redevelopment Company Project) Series 2001, (Bank of New York SBPA), 1.050% 08/01/33**........................................... $ 1,000 500 Yonkers, New York Industrial Development Agency Civic Facility Revenue, Consumers Union Facilities, Series 1989, (Bank of New York LOC), 1.030% 07/01/19**........................................... 500 ------- 74,229 ------- GUAM -- 0.5% 360 Guam Government Revenue, Series 2001A, (FSA Insured), 3.500% 12/01/03............................................. 361 ------- PUERTO RICO -- 0.9% 650 Puerto Rico Commonwealth Highway and Transportation Authority Revenue, (AMBAC Insured, Merrill Lynch Liquidity Facility), 1.000% 01/01/19**@@......................................... 650 ------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $75,240).............................................. 75,240 ------- TOTAL INVESTMENTS (Cost $75,240*)................................... 99.9% 75,240 ------- OTHER ASSETS AND LIABILITIES (NET)................................. 0.1% Cash.......................................................... $ 11 Interest receivable........................................... 219 Receivable from administrator................................. 1 Investment advisory fee payable............................... (11) Shareholder servicing and distribution fees payable........... (10) Distributions payable......................................... (6) Accrued Trustees' fees and expenses........................... (9) Accrued expenses and other liabilities........................ (126) ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... 69 ------- NET ASSETS.......................................... 100.0% $75,309 ======= NET ASSETS CONSIST OF: Accumulated net realized gain on investments sold............. $ 3 Paid-in capital............................................... 75,306 ------- NET ASSETS.................................................... $75,309 =======
SEE NOTES TO FINANCIAL STATEMENTS. 70 NATIONS MONEY MARKET FUNDS Nations New York Tax-Exempt Reserves STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ------------------------------------------------------------------------------------- CAPITAL CLASS SHARES: ($1,422,806 / 1,422,152 shares outstanding)................... $1.00 ======= TRUST CLASS SHARES: ($9,077,921 / 9,075,019 shares outstanding)................... $1.00 ======= MARKET CLASS SHARES: ($19,650,595 / 19,650,595 shares outstanding)................. $1.00 ======= INSTITUTIONAL SHARES: ($45,157,460 / 45,157,460 shares outstanding)................. $1.00 =======
- --------------- * Federal income tax information (see Note 7). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. These securities are subject to demand features of either one, seven or thirty days. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. # Security not registered under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional buyers. @@Restricted security (see Note 5). Nations New York Tax-Exempt Reserves had the following industry concentrations greater than 10% at September 30, 2003 (as a percentage of net assets): Housing Revenue 17.79% Industrial Development Revenue / Pollution Control Revenue 12.54%
SEE NOTES TO FINANCIAL STATEMENTS. 71 NATIONS MONEY MARKET FUNDS STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED) ABBREVIATIONS: AMBAC American Municipal Bond Assurance Corporation AMT Alternative Minimum Tax BAN Bond Anticipation Note EDR Economic Development Revenue FGIC Financial Guaranty Insurance Corporation FFCB Federal Farm Credit Bank FHLB Federal Home Loan Bank FHLMC Federal Home Loan Mortgage Corporation FNMA Federal National Mortgage Association FSA Financial Security Assurance GIC Guaranteed Investment Contract GNMA Government National Mortgage Association GO General Obligation GTD STD LNS Guaranteed Student Loans GTY-AGMT Guarantee Agreement IDR Industrial Development Revenue LOC Letter of Credit MBIA Municipal Bond Insurance Association MBIA-IBC Municipal Bond Insurance Association -- Insured Bond Certificate MTN Medium Term Notes PCR Pollution Control Revenue PSF-GTD Permanent School Fund Guarantee RAN Revenue Anticipation Note SCSDE South Carolina School District Enhancement SLMA Student Loan Marketing Association SBPA Standby Bond Purchase Agreement SPA Standby Purchase Agreement TAN Tax Anticipation Note TRAN Tax and Revenue Anticipation Note
SEE NOTES TO FINANCIAL STATEMENTS. 72 [This page intentionally left blank] 73 NATIONS MONEY MARKET FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2003
CASH MONEY MARKET RESERVES RESERVES --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 427,380 $ 86,087 -------------- -------------- EXPENSES: Investment advisory fee..................................... 50,755+ 10,470 Administration fee.......................................... 33,837+ 6,980 Transfer agent fees......................................... 1,253 227 Custodian fees.............................................. 2,109 416 Trustees' fees and expenses................................. 9 9 Registration and filing fees................................ 876 349 Legal and audit fees........................................ 62 43 Printing expense............................................ 615 55 Other....................................................... 474 99 -------------- -------------- Subtotal................................................ 89,990 18,648 Shareholder servicing and distribution fees: Trust Class Shares........................................ 2,357 175 Institutional Class Shares**.............................. 907 145 Liquidity Class Shares.................................... 6,485 1,900 Adviser Class Shares**.................................... 9,127 862 Investor Class Shares..................................... 5,946 123 Market Class Shares**..................................... 8,282 2,581 Daily Class Shares........................................ 31,416 14 Service Class Shares...................................... 3,682 556 Investor A Shares......................................... 834 -- Investor B Shares......................................... 259 76 Investor C Shares***...................................... 19 5 Marsico Shares............................................ 35 -- -------------- -------------- Total expenses.......................................... 159,339 25,085 Fees waived by investment advisor, administrator and/or distributor............................................... (28,397) (6,394) Fees reduced by credits allowed by the custodian............ (23) (2) Reimbursement from investment advisor....................... (106) -- -------------- -------------- Net expenses............................................ 130,813 18,689 -------------- -------------- NET INVESTMENT INCOME/(LOSS)................................ 296,567 67,398 -------------- -------------- Net realized gain/(loss) on investments..................... (826) 25 -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 295,741 $ 67,423 ============== ==============
- --------------- * Amount represents less than $500. ** New York Tax-Exempt Reserves' Adviser Class, Institutional Class and Market Class Shares re-commenced operations on April 14, 2003, August 25, 2003 and August 25, 2003, respectively. ***California Tax-Exempt Reserves' Investor C Shares commenced operations on August 1, 2003. + These fees include revenue earned by Banc of America Capital Management, LLC and BACAP Distributors, LLC from investments by affiliated funds. SEE NOTES TO FINANCIAL STATEMENTS. 74 NATIONS MONEY MARKET FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
CALIFORNIA NEW YORK TREASURY GOVERNMENT MUNICIPAL TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT RESERVES RESERVES RESERVES RESERVES RESERVES RESERVES - ------------------------------------------------------------------------------------------------------- $ 65,924 $ 26,842 $ 19,802 $ 16,530 $ 11,747 $ 216 -------------- -------------- -------------- -------------- -------------- -------------- 8,210 3,326 2,667 2,277+ 1,662 31 5,473 2,217 1,778 1,518+ 1,108 20 178 81 68 94 44 1 310 153 86 85 65 4 9 9 9 9 9 9 169 157 86 102 11 -- 48 42 44 36 47 29 60 39 99 80 74 40 99 39 31 27 23 4 -------------- -------------- -------------- -------------- -------------- -------------- 14,556 6,063 4,868 4,228 3,043 138 463 179 242 1,145 216 7 130 32 66 8 7 2 1,767 1,072 557 16 11 -- 3,346 890 361 11 610 3 1,167 1,056 201 208 601 -- 2,724 1,036 388 -- -- 9 2,288 890 1,647 167 2,336 -- 1,354 132 57 -- -- -- 2,012 60 -- 237 -- -- 3 9 --* -- --* -- --* -- 14 -- --* -- -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 29,810 11,419 8,401 6,020 6,824 159 (5,417) (2,528) (1,882) (1,217) (1,067) (97) (1) (16) -- -- -- -- -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 24,392 8,875 6,519 4,803 5,757 62 -------------- -------------- -------------- -------------- -------------- -------------- 41,532 17,967 13,283 11,727 5,990 154 -------------- -------------- -------------- -------------- -------------- -------------- 43 (77) 1 5 (1) -- -------------- -------------- -------------- -------------- -------------- -------------- $ 41,575 $ 17,890 $ 13,284 $ 11,732 $ 5,989 $ 154 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 75 NATIONS MONEY MARKET FUNDS STATEMENTS OF CHANGES IN NET ASSETS
CASH RESERVES --------------------------------- SIX MONTHS ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 --------------------------------- (IN THOUSANDS) Net investment income....................................... $ 296,567 $ 1,091,775 Net realized gain/(loss) on investments..................... (826) (74) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 295,741 1,091,701 Distributions to shareholders from net investment income: Capital Class Shares...................................... (164,258) (582,896) Institutional Class Shares................................ (23,100) (63,773) Trust Class Shares........................................ (22,731) (77,059) Liquidity Class Shares.................................... (6,974) (24,736) Adviser Class Shares...................................... (29,461) (102,081) Investor Class Shares..................................... (12,144) (57,004) Market Class Shares....................................... (11,304) (44,488) Daily Class Shares........................................ (24,407) (129,264) Service Class Shares...................................... (923) (6,027) Investor A Shares**....................................... (1,136) (4,108) Investor B Shares......................................... (59) (246) Investor C Shares......................................... (4) (18) Marsico Shares**.......................................... (72) (238) Net increase/(decrease) in net assets from shares of beneficial interest transactions.......................... (9,241,938) (7,407,218) -------------- -------------- Net increase/(decrease) in net assets....................... (9,242,770) (7,407,455) NET ASSETS: Beginning of period......................................... 71,289,843 78,697,298 -------------- -------------- End of period............................................... $ 62,047,073 $ 71,289,843 ============== ============== Undistributed net investment income/(distributions in excess of net investment income) at end of period................ $ (6) $ -- ============== ==============
- --------------- * Amount represents less than $500. **Cash Reserves' Investor A Shares and Marsico Shares, Treasury Reserves' Investor A Shares and Government Reserves' Investor A Shares commenced operations on May 13, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 76 NATIONS MONEY MARKET FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MONEY MARKET RESERVES TREASURY RESERVES GOVERNMENT RESERVES ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 - ------------------------------------------------------------------------------------------------------- $ 67,398 $ 212,259 $ 41,532 $ 131,607 $ 17,967 $ 65,972 25 365 43 155 (77) 151 -------------- -------------- -------------- -------------- -------------- -------------- 67,423 212,624 41,575 131,762 17,890 66,123 (53,728) (165,332) (12,560) (36,253) (7,850) (25,925) (3,574) (7,884) (3,060) (7,542) (735) (1,903) (1,687) (4,670) (4,210) (11,355) (1,645) (5,879) (1,970) (7,463) (1,678) (5,445) (1,058) (2,774) (2,685) (10,253) (10,038) (28,779) (2,664) (11,531) (237) (581) (2,199) (8,511) (1,995) (9,442) (3,356) (14,807) (3,376) (14,616) (1,305) (5,330) (10) (46) (1,587) (10,237) (615) (2,953) (140) (1,021) (339) (1,527) (33) (195) -- -- (2,481) (7,367) (65) (64) (17) (60) (1) (3) (2) (6) (1) (4) --* --* -- (4) -- -- -- -- -- -- (1,515,227) (2,637,371) (1,269,910) 287,122 386,009 (639,386) -------------- -------------- -------------- -------------- -------------- -------------- (1,515,209) (2,636,868) (1,269,864) 287,249 385,932 (639,269) 13,448,271 16,085,139 11,427,265 11,140,016 4,433,752 5,073,021 -------------- -------------- -------------- -------------- -------------- -------------- $ 11,933,062 $ 13,448,271 $ 10,157,401 $ 11,427,265 $ 4,819,684 $ 4,433,752 ============== ============== ============== ============== ============== ============== 131 $ $ 138 $ 46 $ 43 $ 45 $ 45 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 77 NATIONS MONEY MARKET FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MUNICIPAL RESERVES --------------------------------- SIX MONTHS ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 --------------------------------- (IN THOUSANDS) Net investment income....................................... $ 13,283 $ 29,208 Net realized gain/(loss) on investments..................... 1 113 -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 13,284 29,321 Distributions to shareholders from net investment income: Capital Class Shares***................................... (6,713) (12,244) Institutional Class Shares***+............................ (1,423) (1,488) Trust Class Shares........................................ (1,998) (6,225) Liquidity Class Shares***................................. (496) (746) Adviser Class Shares***+.................................. (957) (2,131) Investor Class Shares..................................... (314) (946) Market Class Shares+...................................... (397) (1,480) Daily Class Shares........................................ (969) (3,830) Service Class Shares...................................... (14) (91) Investor A Shares......................................... -- -- Investor B Shares......................................... --* -- Investor C Shares++....................................... (3) -- Net increase/(decrease) in net assets from shares of beneficial interest transactions.......................... 934,962 1,116,378 -------------- -------------- Net increase/(decrease) in net assets....................... 934,962 1,116,518 NET ASSETS: Beginning of period......................................... 3,277,842 2,161,324 -------------- -------------- End of period............................................... $ 4,212,804 $ 3,277,842 ============== ============== Undistributed net investment income/(distributions in excess of net investment income) at end of period................ $ 126 $ 127 ============== ==============
- --------------- * Amount represents less than $500. ***Tax-Exempt Reserves' Capital Class, Institutional Class, Liquidity Class and Adviser Class commenced operations on June 13, 2002, June 18, 2002, September 3, 2002 and August 9, 2002, respectively. + New York Tax-Exempt Reserves' Adviser Class, Institutional Class and Market Class Shares re-commenced operations on April 14, 2003, August 25, 2003 and August 25, 2003, respectively. ++ California Tax-Exempt Reserves' Investor C Shares commenced operations on August 1, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 78 NATIONS MONEY MARKET FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
TAX-EXEMPT RESERVES CALIFORNIA TAX-EXEMPT RESERVES NEW YORK TAX-EXEMPT RESERVES ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 - ------------------------------------------------------------------------------------------------------- $ 11,727 $ 31,848 $ 5,990 $ 18,694 $ 154 $ 481 5 56 (1) 32 -- 3 -------------- -------------- -------------- -------------- -------------- -------------- 11,732 31,904 5,989 18,726 154 484 (1,779) (1,801) (608) (2,900) (36) (265) (172) (187) (132) (202) (44) --* (9,068) (27,195) (1,641) (4,355) (58) (216) (14) (9) (9) (26) -- --* (28) (48) (1,487) (3,756) (9) --* (326) (1,171) (873) (2,981) -- --* -- -- -- -- (7) --* (94) (504) (1,248) (4,476) -- --* -- -- -- -- -- --* (246) (731) -- -- -- -- -- (227) --* -- -- --* -- --* --* -- -- --* (35,350) 16,450 (165,571) 449,421 48,805 5,651 -------------- -------------- -------------- -------------- -------------- -------------- (35,345) 16,481 (165,580) 449,451 48,805 5,654 3,011,472 2,994,991 2,266,602 1,817,151 26,504 20,850 -------------- -------------- -------------- -------------- -------------- -------------- $ 2,976,127 $ 3,011,472 $ 2,101,022 $ 2,266,602 $ 75,309 $ 26,504 ============== ============== ============== ============== ============== ============== 47 $ $ 47 $ 59 $ 67 $ -- $ -- ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 79 NATIONS MONEY MARKET FUNDS Nations Money Market Funds SCHEDULES OF CAPITAL STOCK ACTIVITY*
CASH RESERVES SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 2003 MARCH 31, (UNAUDITED) 2003 ----------------------------------- (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 104,568,318 $ 257,786,306 Issued as reinvestment of dividends........................ 90,289 198,554 Redeemed................................................... (111,294,600) (264,131,818) ------------- ------------- Net increase/(decrease).................................... $ (6,635,993) $ (6,146,958) ============= ============= INSTITUTIONAL CLASS SHARES: Sold....................................................... $ 8,236,836 $ 18,137,968 Issued as reinvestment of dividends........................ 20,311 43,949 Redeemed................................................... (7,811,499) (16,898,426) ------------- ------------- Net increase/(decrease).................................... $ 445,648 $ 1,283,491 ============= ============= TRUST CLASS SHARES: Sold....................................................... $ 7,814,398 $ 11,058,140 Issued in exchange for Primary A Shares of Nations Prime Fund (Note 8)**.......................................... -- 3,238,730 Issued as reinvestment of dividends........................ 500 2,060 Redeemed................................................... (8,529,389) (11,979,340) ------------- ------------- Net increase/(decrease).................................... $ (714,491) $ 2,319,590 ============= ============= LIQUIDITY CLASS SHARES: Sold....................................................... $ 2,128,395 $ 4,990,263 Issued as reinvestment of dividends........................ 6,495 23,487 Redeemed................................................... (2,250,529) (5,184,285) ------------- ------------- Net increase/(decrease).................................... $ (115,639) $ (170,535) ============= ============= ADVISER CLASS SHARES: Sold....................................................... $ 22,014,607 $ 35,974,110 Issued as reinvestment of dividends........................ 12,497 47,854 Redeemed................................................... (16,962,492) (37,060,684) ------------- ------------- Net increase/(decrease).................................... $ 5,064,612 $ (1,038,720) ============= ============= INVESTOR CLASS SHARES: Sold....................................................... $ 2,112,843 $ 5,429,745 Issued in exchange for Investor B Shares of Nations Prime Fund (Note 8)**.......................................... -- 563,131 Issued in exchange for Investor C Shares of Nations Prime Fund (Note 8)**.......................................... -- 2,945 Issued as reinvestment of dividends........................ 11,009 57,338 Redeemed................................................... (2,651,328) (7,397,915) ------------- ------------- Net increase/(decrease).................................... $ (527,476) $ (1,344,756) ============= ============= MARKET CLASS SHARES: Sold....................................................... $ 2,787,698 $ 6,679,123 Issued as reinvestment of dividends........................ 21 1,069 Redeemed................................................... (6,561,433) (6,750,791) ------------- ------------- Net increase/(decrease).................................... $ (3,773,714) $ (70,599) ============= ============= DAILY CLASS SHARES: Sold....................................................... $ 8,606,197 $ 22,747,242 Issued in exchange for Daily Shares of Nations Prime Fund (Note 8)**............................................... -- 822,570 Issued as reinvestment of dividends........................ 22,600 126,103 Redeemed................................................... (10,884,689) (26,078,843) ------------- ------------- Net increase/(decrease).................................... $ (2,255,892) $ (2,382,928) ============= ============= SERVICE CLASS SHARES: Sold....................................................... $ 1,487,763 $ 3,653,914 Issued as reinvestment of dividends........................ 98 602 Redeemed................................................... (2,166,405) (3,929,996) ------------- ------------- Net increase/(decrease).................................... $ (678,544) $ (275,480) ============= ============= INVESTOR A SHARES:+ Sold....................................................... $ 136,033 $ 311,276 Issued in exchange for Investor A Shares of Nations Prime Fund (Note 8)**.......................................... -- 457,965 Issued as reinvestment of dividends........................ 1,103 4,008 Redeemed................................................... (169,368) (394,866) ------------- ------------- Net increase/(decrease).................................... $ (32,232) $ 378,383 ============= ============= INVESTOR B SHARES: Sold....................................................... $ 4,708 $ 52,786 Issued as reinvestment of dividends........................ 53 223 Redeemed................................................... (17,388) (35,924) ------------- ------------- Net increase/(decrease).................................... $ (12,627) $ 17,085 ============= ============= INVESTOR C SHARES: Sold....................................................... $ 2,452 $ 11,106 Issued as reinvestment of dividends........................ 4 16 Redeemed................................................... (3,876) (7,668) ------------- ------------- Net increase/(decrease).................................... $ (1,420) $ 3,454 ============= ============= MARSICO SHARES:+ Sold....................................................... $ 19,506 $ 75,401 Issued in exchange for Marsico Shares of Nations Prime Fund (Note 8)**............................................... -- 22,533 Issued as reinvestment of dividends........................ 72 237 Redeemed................................................... (23,748) (77,416) ------------- ------------- Net increase/(decrease).................................... $ (4,170) $ 20,755 ============= ============= Total net increase/(decrease).............................. $ (9,241,938) $ (7,407,218) ============= =============
- --------------- *Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. ** Shares issued in connection with the Reorganization on May 10, 2002 for the Trust Class, Investor Class, Daily Class, Investor A Shares and Marsico Shares were 3,239,042, 566,150, 822,914, 458,038 and 22,531, respectively. +Cash Reserves' Investor A Shares and Marsico Shares commenced operations on May 13, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 80 NATIONS FUNDS Nations Money Market Funds SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
MONEY MARKET RESERVES SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 2003 MARCH 31, (UNAUDITED) 2003 ---------------------------------- (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 27,860,486 $ 67,975,062 Issued as reinvestment of dividends........................ 24,866 84,238 Redeemed................................................... (29,376,796) (69,051,206) ------------ ------------ Net increase/(decrease).................................... $ (1,491,444) $ (991,906) ============ ============ INSTITUTIONAL CLASS SHARES: Sold....................................................... $ 1,985,694 $ 3,241,573 Issued as reinvestment of dividends........................ 3,270 7,307 Redeemed................................................... (1,849,976) (3,063,523) ------------ ------------ Net increase/(decrease).................................... $ 138,988 $ 185,357 ============ ============ TRUST CLASS SHARES: Sold....................................................... $ 792,962 $ 1,416,381 Issued as reinvestment of dividends........................ 8 478 Redeemed................................................... (810,614) (2,668,284) ------------ ------------ Net increase/(decrease).................................... $ (17,644) $ (1,251,425) ============ ============ LIQUIDITY CLASS SHARES: Sold....................................................... $ 1,061,310 $ 1,976,110 Issued as reinvestment of dividends........................ 1,889 7,121 Redeemed................................................... (1,062,022) (2,051,915) ------------ ------------ Net increase/(decrease).................................... $ 1,177 $ (68,684) ============ ============ ADVISER CLASS SHARES: Sold....................................................... $ 3,090,108 $ 3,772,161 Issued as reinvestment of dividends........................ 1,143 6,449 Redeemed................................................... (1,884,804) (4,106,018) ------------ ------------ Net increase/(decrease).................................... $ 1,206,447 $ (327,408) ============ ============ INVESTOR CLASS SHARES: Sold....................................................... $ 39,423 $ 29,506 Issued as reinvestment of dividends........................ 2 7 Redeemed................................................... (38,254) (12,531) ------------ ------------ Net increase/(decrease).................................... $ 1,171 $ 16,982 ============ ============ MARKET CLASS SHARES: Sold....................................................... $ 742,000 $ 1,850,400 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (1,977,000) (2,037,400) ------------ ------------ Net increase/(decrease).................................... $ (1,235,000) $ (187,000) ============ ============ DAILY CLASS SHARES: Sold....................................................... $ 3,642 $ 7,101 Issued as reinvestment of dividends........................ 10 45 Redeemed................................................... (4,017) (6,891) ------------ ------------ Net increase/(decrease).................................... $ (365) $ 255 ============ ============ SERVICE CLASS SHARES: Sold....................................................... $ 162,527 $ 5,581,515 Issued as reinvestment of dividends........................ 14 16 Redeemed................................................... (277,884) (5,601,841) ------------ ------------ Net increase/(decrease).................................... $ (115,343) $ (20,310) ============ ============ INVESTOR B SHARES: Sold....................................................... $ 1,288 $ 15,607 Issued as reinvestment of dividends........................ 16 55 Redeemed................................................... (4,309) (9,558) ------------ ------------ Net increase/(decrease).................................... $ (3,005) $ 6,104 ============ ============ INVESTOR C SHARES: Sold....................................................... $ 489 $ 1,864 Issued as reinvestment of dividends........................ 1 5 Redeemed................................................... (699) (1,205) ------------ ------------ Net increase/(decrease).................................... $ (209) $ 664 ============ ============ Total net increase/(decrease).............................. $ (1,515,227) $ (2,637,371) ============ ============
- --------------- * Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. SEE NOTES TO FINANCIAL STATEMENTS. 81 NATIONS FUNDS Nations Money Market Funds SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
TREASURY RESERVES SIX MONTHS ENDED YEAR ENDED SEPTEMBER 30, 2003 MARCH 31, (UNAUDITED) 2003 ---------------------------------- (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 18,866,870 $ 31,537,623 Issued as reinvestment of dividends........................ 9,489 26,421 Redeemed................................................... (19,592,398) (32,718,545) ------------ ------------ Net increase/(decrease).................................... $ (716,039) $ (1,154,501) ============ ============ INSTITUTIONAL CLASS SHARES: Sold....................................................... $ 2,065,391 $ 1,709,731 Issued as reinvestment of dividends........................ 2,806 6,454 Redeemed................................................... (1,670,517) (1,560,738) ------------ ------------ Net increase/(decrease).................................... $ 397,680 $ 155,447 ============ ============ TRUST CLASS SHARES: Sold....................................................... $ 407,691 $ 1,462,563 Issued in exchange for Primary A Shares of Nations Treasury Fund (Note 8)***......................................... -- 506,390 Issued as reinvestment of dividends........................ 33 82 Redeemed................................................... (516,590) (1,459,774) ------------ ------------ Net increase/(decrease).................................... $ (108,866) $ 509,261 ============ ============ LIQUIDITY CLASS SHARES: Sold....................................................... $ 773,260 $ 1,500,282 Issued as reinvestment of dividends........................ 1,460 4,864 Redeemed................................................... (740,741) (1,490,341) ------------ ------------ Net increase/(decrease).................................... $ 33,979 $ 14,805 ============ ============ ADVISER CLASS SHARES: Sold....................................................... $ 10,840,612 $ 16,456,806 Issued as reinvestment of dividends........................ 2,268 9,681 Redeemed................................................... (9,253,173) (16,311,937) ------------ ------------ Net increase/(decrease).................................... $ 1,589,707 $ 154,550 ============ ============ INVESTOR CLASS SHARES: Sold....................................................... $ 508,917 $ 1,454,424 Issued in exchange for Investor B Shares of Nations Treasury Fund (Note 8)***................................ -- 75,202 Issued in exchange for Investor C Shares of Nations Treasury Fund (Note 8)***................................ -- 118 Issued as reinvestment of dividends........................ 1,598 6,591 Redeemed................................................... (572,122) (1,552,003) ------------ ------------ Net increase/(decrease).................................... $ (61,607) $ (15,668) ============ ============ MARKET CLASS SHARES: Sold....................................................... $ 1,332,000 $ 2,384,500 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (2,667,000) (2,431,500) ------------ ------------ Net increase/(decrease).................................... $ (1,335,000) $ (47,000) ============ ============ DAILY CLASS SHARES: Sold....................................................... $ 2,940,188 $ 8,224,368 Issued in exchange for Daily Shares of Nations Treasury Fund (Note 8)***......................................... -- 39,993 Issued as reinvestment of dividends........................ 892 4,617 Redeemed................................................... (3,663,867) (8,411,624) ------------ ------------ Net increase/(decrease).................................... $ (722,787) $ (142,646) ============ ============ SERVICE CLASS SHARES: Sold....................................................... $ 932,133 $ 2,180,565 Issued as reinvestment of dividends........................ 23 120 Redeemed................................................... (1,192,117) (2,218,894) ------------ ------------ Net increase/(decrease).................................... $ (259,961) $ (38,209) ============ ============ INVESTOR A SHARES:+ Sold....................................................... $ 2,540,779 $ 5,225,108 Issued in exchange for Investor A Shares of Nations Treasury Fund (Note 8)***................................ -- 845,904 Issued as reinvestment of dividends........................ 115 820 Redeemed................................................... (2,627,778) (5,221,109) ------------ ------------ Net increase/(decrease).................................... $ (86,884) $ 850,723 ============ ============ INVESTOR B SHARES: Sold....................................................... $ -- $ 604 Issued as reinvestment of dividends........................ 1 3 Redeemed................................................... (128) (251) ------------ ------------ Net increase/(decrease).................................... $ (127) $ 356 ============ ============ INVESTOR C SHARES: Sold....................................................... $ -- $ 103 Issued as reinvestment of dividends........................ --** --** Redeemed................................................... (5) (99) ------------ ------------ Net increase/(decrease).................................... $ (5) $ 4 ============ ============ Total net increase/(decrease).............................. $ (1,269,910) $ 287,122 ============ ============
- --------------- * Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. **Amount represents less than $500. *** Shares issued in connection with the Reorganization on May 10, 2002 for the Trust Class, Investor Class, Daily Class and Investor A Shares were 506,801, 75,430, 40,085 and 846,480, respectively. + Treasury Reserves' Investor A Shares commenced operations on May 13, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 82 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
GOVERNMENT RESERVES SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 7,304,128 $ 13,322,516 Issued as reinvestment of dividends........................ 6,891 22,903 Redeemed................................................... (7,785,661) (13,391,908) ----------- ------------ Net increase/(decrease).................................... $ (474,642) $ (46,489) =========== ============ INSTITUTIONAL CLASS SHARES: Sold....................................................... $ 846,184 $ 1,597,554 Issued as reinvestment of dividends........................ 675 1,552 Redeemed................................................... (546,034) (1,603,845) ----------- ------------ Net increase/(decrease).................................... $ 300,825 $ (4,739) =========== ============ TRUST CLASS SHARES: Sold....................................................... $ 231,670 $ 1,329,718 Issued in exchange for Primary A Shares of Nations Government Money Market Fund (Note 8)**.................. -- 292,051 Issued as reinvestment of dividends........................ 8 20 Redeemed................................................... (239,694) (1,530,551) ----------- ------------ Net increase/(decrease).................................... $ (8,016) $ 91,238 =========== ============ LIQUIDITY CLASS SHARES: Sold....................................................... $ 496,150 $ 1,235,710 Issued as reinvestment of dividends........................ 854 2,035 Redeemed................................................... (352,469) (1,226,484) ----------- ------------ Net increase/(decrease).................................... $ 144,535 $ 11,261 =========== ============ ADVISER CLASS SHARES: Sold....................................................... $ 2,060,881 $ 2,072,426 Issued as reinvestment of dividends........................ 2,439 11,326 Redeemed................................................... (1,175,430) (2,292,220) ----------- ------------ Net increase/(decrease).................................... $ 887,890 $ (208,468) =========== ============ INVESTOR CLASS SHARES: Sold....................................................... $ 1,232,690 $ 1,742,920 Issued in exchange for Investor B Shares of Nations Government Money Market Fund (Note 8)**.................. -- 26,979 Issued in exchange for Investor C Shares of Nations Government Money Market Fund (Note 8)**.................. -- 495 Issued as reinvestment of dividends........................ 1,926 10,431 Redeemed................................................... (1,129,227) (2,203,843) ----------- ------------ Net increase/(decrease).................................... $ 105,389 $ (423,018) =========== ============ MARKET CLASS SHARES: Sold....................................................... $ 603,000 $ 1,432,000 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (1,105,000) (1,491,000) ----------- ------------ Net increase/(decrease).................................... $ (502,000) $ (59,000) =========== ============ DAILY CLASS SHARES: Sold....................................................... $ 282,653 $ 899,509 Issued in exchange for Daily Shares of Nations Government Money Market Fund (Note 8)**............................. -- 22,560 Issued as reinvestment of dividends........................ 615 3,267 Redeemed................................................... (313,725) (929,793) ----------- ------------ Net increase/(decrease).................................... $ (30,457) $ (4,457) =========== ============ SERVICE CLASS SHARES: Sold....................................................... $ 45,000 $ 163,500 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (81,000) (164,000) ----------- ------------ Net increase/(decrease).................................... $ (36,000) $ (500) =========== ============ INVESTOR A SHARES:+ Sold....................................................... $ 91,620 $ 20,481 Issued in exchange for Investor A Shares of Nations Government Money Market Fund (Note 8)**.................. -- 12,737 Issued as reinvestment of dividends........................ 40 64 Redeemed................................................... (92,541) (27,213) ----------- ------------ Net increase/(decrease).................................... $ (881) $ 6,069 =========== ============ INVESTOR B SHARES: Sold....................................................... $ 50 $ 325 Issued as reinvestment of dividends........................ 2 8 Redeemed................................................... (686) (634) ----------- ------------ Net increase/(decrease).................................... $ (634) $ (301) =========== ============ INVESTOR C SHARES: Sold....................................................... $ -- $ 535 Issued as reinvestment of dividends........................ -- 3 Redeemed................................................... -- (1,520) ----------- ------------ Net increase/(decrease).................................... $ -- $ (982) =========== ============ Total net increase/(decrease).............................. $ 386,009 $ (639,386) =========== ============
- --------------- *Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. ** Shares issued in connection with the Reorganization on May 10, 2002 for the Trust Class, Investor Class, Daily Class and Investor A Shares were 292,033, 27,469, 22,559 and 12,732, respectively. +Government Reserves' Investor A Shares commenced operations on May 13, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 83 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
MUNICIPAL RESERVES SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 2,249,795 $ 4,420,622 Issued as reinvestment of dividends........................ 3,994 6,540 Redeemed................................................... (2,271,408) (3,504,057) ----------- ----------- Net increase/(decrease).................................... $ (17,619) $ 923,105 =========== =========== INSTITUTIONAL CLASS SHARES: Sold....................................................... $ 1,324,674 $ 773,067 Issued as reinvestment of dividends........................ 1,378 935 Redeemed................................................... (809,980) (655,234) ----------- ----------- Net increase/(decrease).................................... $ 516,072 $ 118,768 =========== =========== TRUST CLASS SHARES: Sold....................................................... $ 456,585 $ 1,045,373 Issued as reinvestment of dividends........................ 132 315 Redeemed................................................... (492,936) (1,031,512) ----------- ----------- Net increase/(decrease).................................... $ (36,219) $ 14,176 =========== =========== LIQUIDITY CLASS SHARES: Sold....................................................... $ 431,578 $ 470,967 Issued as reinvestment of dividends........................ 470 741 Redeemed................................................... (382,138) (396,828) ----------- ----------- Net increase/(decrease).................................... $ 49,910 $ 74,880 =========== =========== ADVISER CLASS SHARES: Sold....................................................... $ 971,004 $ 665,358 Issued as reinvestment of dividends........................ 875 2,083 Redeemed................................................... (576,426) (541,131) ----------- ----------- Net increase/(decrease).................................... $ 395,453 $ 126,310 =========== =========== INVESTOR CLASS SHARES: Sold....................................................... $ 234,686 $ 259,700 Issued as reinvestment of dividends........................ 305 931 Redeemed................................................... (125,000) (219,368) ----------- ----------- Net increase/(decrease).................................... $ 109,991 $ 41,263 =========== =========== MARKET CLASS SHARES: Sold....................................................... $ 568,000 $ 825,500 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (718,000) (898,500) ----------- ----------- Net increase/(decrease).................................... $ (150,000) $ (73,000) =========== =========== DAILY CLASS SHARES: Sold....................................................... $ 337,695 $ 622,157 Issued as reinvestment of dividends........................ 969 3,827 Redeemed................................................... (257,268) (736,526) ----------- ----------- Net increase/(decrease).................................... $ 81,396 $ (110,542) =========== =========== SERVICE CLASS SHARES: Sold....................................................... $ 17,000 $ 140,500 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (31,000) (141,500) ----------- ----------- Net increase/(decrease).................................... $ (14,000) $ (1,000) =========== =========== INVESTOR B SHARES: Sold....................................................... $ 1 $ 49 Issued as reinvestment of dividends........................ --** -- Redeemed................................................... -- (61) ----------- ----------- Net increase/(decrease).................................... $ 1 $ (12) =========== =========== INVESTOR C SHARES:+ Sold....................................................... $ -- $ 2,548 Issued as reinvestment of dividends........................ --** -- Redeemed................................................... (23) (118) ----------- ----------- Net increase/(decrease).................................... $ (23) $ 2,430 =========== =========== Total net increase/(decrease).............................. $ 934,962 $ 1,116,378 =========== ===========
- --------------- *Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. ** Amount represents less than 500 shares and/or $500, as applicable. +Municipal Reserves' Investor C Shares commenced operations on March 28, 2002, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 84 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
TAX-EXEMPT RESERVES SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES:+ Sold....................................................... $ 1,790,877 $ 2,076,101 Issued as reinvestment of dividends........................ 693 403 Redeemed................................................... (1,508,410) (1,801,413) ----------- ----------- Net increase/(decrease).................................... $ 283,160 $ 275,091 =========== =========== INSTITUTIONAL CLASS SHARES:+ Sold....................................................... $ 181,921 $ 82,120 Issued as reinvestment of dividends........................ 145 187 Redeemed................................................... (107,400) (58,960) ----------- ----------- Net increase/(decrease).................................... $ 74,666 $ 23,347 =========== =========== PRIMARY A SHARES (NATIONS TAX EXEMPT FUND):## Sold....................................................... $ -- $ 370,249 Issued as reinvestment of dividends........................ -- 67 Redeemed................................................... -- (2,976,349) ----------- ----------- Net increase/(decrease).................................... $ -- $(2,606,033) =========== =========== PRIMARY B SHARES (NATIONS TAX EXEMPT FUND):# Sold....................................................... $ -- $ --** Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- (2,003) ----------- ----------- Net increase/(decrease).................................... $ -- $ (2,003) =========== =========== TRUST CLASS SHARES: Sold....................................................... $ 753,583 $ 2,177,356 Issued in exchange for Primary A Shares of Nations Tax Exempt Fund (Note 8)..................................... -- 2,447,895 Issued as reinvestment of dividends........................ 129 336 Redeemed................................................... (1,030,831) (2,214,128) ----------- ----------- Net increase/(decrease).................................... $ (277,119) $ 2,411,459 =========== =========== LIQUIDITY CLASS SHARES:+ Sold....................................................... $ 7,529 $ 10,198 Issued as reinvestment of dividends........................ 13 6 Redeemed................................................... (2,882) (8,286) ----------- ----------- Net increase/(decrease).................................... $ 4,660 $ 1,918 =========== =========== ADVISER CLASS SHARES:+ Sold....................................................... $ 9,234 $ 28,394 Issued as reinvestment of dividends........................ 26 48 Redeemed................................................... (12,172) (18,781) ----------- ----------- Net increase/(decrease).................................... $ (2,912) $ 9,661 =========== =========== INVESTOR CLASS SHARES: Sold....................................................... $ 57,253 $ 194,049 Issued in exchange for Primary B Shares of Nations Tax Exempt Fund (Note 8)..................................... -- --** Issued in exchange for Investor B Shares of Nations Tax Exempt Fund (Note 8)..................................... -- 167,580 Issued in exchange for Investor C Shares of Nations Tax Exempt Fund (Note 8)..................................... -- 257 Issued as reinvestment of dividends........................ 279 970 Redeemed................................................... (128,342) (224,582) ----------- ----------- Net increase/(decrease).................................... $ (70,810) $ 138,274 =========== =========== DAILY CLASS SHARES: Sold....................................................... $ 38,034 $ 144,428 Issued as reinvestment of dividends........................ 94 513 Redeemed................................................... (50,983) (176,600) ----------- ----------- Net increase/(decrease).................................... $ (12,855) $ (31,659) =========== =========== INVESTOR A SHARES: Sold....................................................... $ 246,392 $ 309,872 Issued as reinvestment of dividends........................ 232 713 Redeemed................................................... (280,764) (303,552) ----------- ----------- Net increase/(decrease).................................... $ (34,140) $ 7,033 =========== =========== INVESTOR B SHARES (NATIONS TAX EXEMPT FUND):# Sold....................................................... $ -- $ 26,712 Issued as reinvestment of dividends........................ -- 202 Redeemed................................................... -- (237,295) ----------- ----------- Net increase/(decrease).................................... $ -- $ (210,381) =========== =========== INVESTOR C SHARES (NATIONS TAX EXEMPT FUND):# Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- --** Redeemed................................................... -- (257) ----------- ----------- Net increase/(decrease).................................... $ -- $ (257) =========== =========== Total net increase/(decrease).............................. $ (35,350) $ 16,450 =========== ===========
- --------------- *Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. ** Amount represents less than 500 shares and/or $500, as applicable. +Tax-Exempt Reserves' Capital Class, Institutional Class, Adviser Class and Liquidity Class commenced operations on June 13, 2002, June 18, 2002, August 9, 2002 and September 3, 2002, respectively. #Primary B, Investor B and Investor C Shares converted to Investor Class Shares on May 10, 2002. ##Primary A Shares converted to Trust Class Shares on May 10, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 85 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
CALIFORNIA TAX-EXEMPT RESERVES SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold...................................................... $ 223,917 $ 665,516 Issued as reinvestment of dividends....................... 553 2,018 Redeemed.................................................. (304,196) (597,314) --------- --------- Net increase/(decrease)................................... $ (79,726) $ 70,220 ========= ========= INSTITUTIONAL CLASS SHARES: Sold...................................................... $ 94,468 $ 70,198 Issued as reinvestment of dividends....................... 131 40 Redeemed.................................................. (49,173) (68,701) --------- --------- Net increase/(decrease)................................... $ 45,426 $ 1,537 ========= ========= TRUST CLASS SHARES: Sold...................................................... $ 327,012 $ 750,600 Issued as reinvestment of dividends....................... 163 397 Redeemed.................................................. (380,859) (676,642) --------- --------- Net increase/(decrease)................................... $ (53,684) $ 74,355 ========= ========= LIQUIDITY CLASS SHARES: Sold...................................................... $ 7,777 $ 12,801 Issued as reinvestment of dividends....................... 9 25 Redeemed.................................................. (8,712) (10,977) --------- --------- Net increase/(decrease)................................... $ (926) $ 1,849 ========= ========= ADVISER CLASS SHARES: Sold...................................................... $ 389,515 $ 873,100 Issued as reinvestment of dividends....................... 1,473 3,742 Redeemed.................................................. (433,008) (672,981) --------- --------- Net increase/(decrease)................................... $ (42,020) $ 203,861 ========= ========= INVESTOR CLASS SHARES: Sold...................................................... $ 552,771 $ 904,283 Issued as reinvestment of dividends....................... 849 2,945 Redeemed.................................................. (556,125) (787,752) --------- --------- Net increase/(decrease)................................... $ (2,505) $ 119,476 ========= ========= DAILY CLASS SHARES: Sold...................................................... $ 398,179 $ 612,748 Issued as reinvestment of dividends....................... 1,246 4,478 Redeemed.................................................. (431,778) (639,110) --------- --------- Net increase/(decrease)................................... $ (32,353) $ (21,884) ========= ========= INVESTOR B SHARES: Sold...................................................... $ -- $ 7 Issued as reinvestment of dividends....................... --** --** Redeemed.................................................. -- --** --------- --------- Net increase/(decrease)................................... $ --** $ 7 ========= ========= INVESTOR C SHARES:+ Sold...................................................... $ 225 $ -- Issued as reinvestment of dividends....................... --** -- Redeemed.................................................. (8) -- --------- --------- Net increase/(decrease)................................... $ 217 $ -- ========= ========= Total net increase/(decrease)............................. $(165,571) $ 449,421 ========= =========
- --------------- *Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. ** Amount represents less than 500 shares and/or $500, as applicable. +California Tax-Exempt Reserves' Investor C Shares commenced operations on August 1, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 86 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
NEW YORK TAX-EXEMPT RESERVES SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 5,045 $ 23,193 Issued as reinvestment of dividends........................ 31 247 Redeemed................................................... (13,137) (33,972) --------- --------- Net increase/(decrease).................................... $ (8,061) $ (10,532) ========= ========= INSTITUTIONAL CLASS SHARES:+ Sold....................................................... $ 72,108 $ -- Issued as reinvestment of dividends........................ 44 --** Redeemed................................................... (26,994) (1) --------- --------- Net increase/(decrease).................................... $ 45,158 $ (1) ========= ========= TRUST CLASS SHARES: Sold....................................................... $ 18,536 $ 91,549 Issued as reinvestment of dividends........................ -- (1) Redeemed................................................... (26,479) (75,356) --------- --------- Net increase/(decrease).................................... $ (7,943) $ 16,192 ========= ========= LIQUIDITY CLASS SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- --** Redeemed................................................... -- (1) --------- --------- Net increase/(decrease).................................... $ -- $ (1) ========= ========= ADVISER CLASS SHARES:+ Sold....................................................... $ 6,271 $ -- Issued as reinvestment of dividends........................ 8 --** Redeemed................................................... (6,279) (1) --------- --------- Net increase/(decrease).................................... $ -- $ (1) ========= ========= INVESTOR CLASS SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- (1) --------- --------- Net increase/(decrease).................................... $ -- $ (1) ========= ========= MARKET CLASS SHARES:+ Sold....................................................... $ 23,977 $ -- Issued as reinvestment of dividends........................ 7 --** Redeemed................................................... (4,333) (1) --------- --------- Net increase/(decrease).................................... $ 19,651 $ (1) ========= ========= DAILY CLASS SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- --** Redeemed................................................... -- (1) --------- --------- Net increase/(decrease).................................... $ -- $ (1) ========= ========= SERVICE CLASS SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- --** Redeemed................................................... -- (1) --------- --------- Net increase/(decrease).................................... $ -- $ (1) ========= ========= INVESTOR B SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- --** Redeemed................................................... -- (1) --------- --------- Net increase/(decrease).................................... $ -- $ (1) ========= ========= INVESTOR C SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- --** Redeemed................................................... -- (1) --------- --------- Net increase/(decrease).................................... $ -- $ (1) ========= ========= Total net increase/(decrease).............................. $ 48,805 $ 5,651 ========= =========
- --------------- *Since the Funds have sold, issued as reinvestment of dividends and redeemed shares only at a constant net asset value of $1.00 per share, the number of shares represented by such sales, reinvestments and redemptions is the same as the amounts shown above for such transactions. ** Amount represents less than 500 shares and/or $500, as applicable. +New York Tax-Exempt Reserves' Adviser Class, Institutional Class and Market Class Shares re-commenced operations on April 14, 2003, August 25, 2003 and August 25, 2003, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 87 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INCOME -------------------------------------- CASH RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0053 $(0.0053) Year ended 3/31/2003........................................ 1.00 0.0161 (0.0161) Year ended 3/31/2002........................................ 1.00 0.0320 (0.0320) Year ended 3/31/2001........................................ 1.00 0.0628 (0.0628) Year ended 3/31/2000........................................ 1.00 0.0532 (0.0532) Period ended 3/31/1999*..................................... 1.00 0.0484 (0.0484) Year ended 4/30/1998........................................ 1.00 0.0554 (0.0554) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0051 $(0.0051) Year ended 3/31/2003........................................ 1.00 0.0158 (0.0158) Year ended 3/31/2002........................................ 1.00 0.0316 (0.0316) Period ended 3/31/2001**.................................... 1.00 0.0192 (0.0192) TRUST CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0048 $(0.0048) Year ended 3/31/2003........................................ 1.00 0.0151 (0.0151) Year ended 3/31/2002........................................ 1.00 0.0310 (0.0310) Year ended 3/31/2001........................................ 1.00 0.0618 (0.0618) Period ended 3/31/2000**.................................... 1.00 0.0463 (0.0463) LIQUIDITY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0046 $(0.0046) Year ended 3/31/2003........................................ 1.00 0.0146 (0.0146) Year ended 3/31/2002........................................ 1.00 0.0305 (0.0305) Year ended 3/31/2001........................................ 1.00 0.0613 (0.0613) Year ended 3/31/2000........................................ 1.00 0.0517 (0.0517) Period ended 3/31/1999*..................................... 1.00 0.0470 (0.0470) Year ended 4/30/1998........................................ 1.00 0.0539 (0.0539) ADVISER CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0041 $(0.0041) Year ended 3/31/2003........................................ 1.00 0.0136 (0.0136) Year ended 3/31/2002........................................ 1.00 0.0295 (0.0295) Year ended 3/31/2001........................................ 1.00 0.0603 (0.0603) Year ended 3/31/2000........................................ 1.00 0.0507 (0.0507) Period ended 3/31/1999*..................................... 1.00 0.0461 (0.0461) Year ended 4/30/1998........................................ 1.00 0.0529 (0.0529) INVESTOR CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0036 $(0.0036) Year ended 3/31/2003........................................ 1.00 0.0126 (0.0126) Year ended 3/31/2002........................................ 1.00 0.0285 (0.0285) Year ended 3/31/2001........................................ 1.00 0.0593 (0.0593) Period ended 3/31/2000**.................................... 1.00 0.0484 (0.0484) MARKET CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0031 $(0.0031) Year ended 3/31/2003........................................ 1.00 0.0116 (0.0116) Year ended 3/31/2002........................................ 1.00 0.0275 (0.0275) Year ended 3/31/2001........................................ 1.00 0.0583 (0.0583) Year ended 3/31/2000........................................ 1.00 0.0487 (0.0487) Period ended 3/31/1999*..................................... 1.00 0.0447 (0.0447) Year ended 4/30/1998........................................ 1.00 0.0519 (0.0519) DAILY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0023 $(0.0023) Year ended 3/31/2003........................................ 1.00 0.0102 (0.0102) Year ended 3/31/2002........................................ 1.00 0.0260 (0.0260) Year ended 3/31/2001........................................ 1.00 0.0568 (0.0568) Period ended 3/31/2000**.................................... 1.00 0.0459 (0.0459) SERVICE CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2003........................................ 1.00 0.0061 (0.0061) Year ended 3/31/2002........................................ 1.00 0.0220 (0.0220) Year ended 3/31/2001........................................ 1.00 0.0528 (0.0528) Period ended 3/31/2000**.................................... 1.00 0.0404 (0.0404) INVESTOR A SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0031 $(0.0031) Period ended 3/31/2003**+++................................. 1.00 0.0117 (0.0117) INVESTOR B SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2003........................................ 1.00 0.0053 (0.0053) Year ended 3/31/2002........................................ 1.00 0.0210 (0.0210) Year ended 3/31/2001........................................ 1.00 0.0518 (0.0518) Period ended 3/31/2000**.................................... 1.00 0.0225 (0.0225) INVESTOR C SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2003........................................ 1.00 0.0053 (0.0053) Year ended 3/31/2002........................................ 1.00 0.0210 (0.0210) Year ended 3/31/2001........................................ 1.00 0.0518 (0.0518) Period ended 3/31/2000**.................................... 1.00 0.0223 (0.0223) MARSICO SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0031 $(0.0031) Period ended 3/31/2003**+++................................. 1.00 0.0127 (0.0127)
- --------------- + Annualized. ++Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. +++The total returns for the period ended March 31, 2003 reflects the historical return information for the Nations Prime Fund Investor A Shares and Marsico Shares, which were reorganized into Nations Cash Reserves Investor A Shares and Marsico Shares on May 10, 2002. * Fiscal year end changed to March 31. Prior to this, the fiscal year end was April 30. **Cash Reserves Institutional Class, Trust Class, Investor Class, Daily Class, Service Class, Investor A, Investor B, Investor C Shares and Marsico Shares commenced operations on November 30, 2000, May 17, 1999, April 12, 1999, April 12, 1999, April 28, 1999, May 13, 2002, October 4, 1999, October 5, 1999 and May 13, 2002, respectively. (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%. (c) The Reimbursement from Investment Adviser (see note 9) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 88 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------- RATIO OF RATIO OF RATIO OF NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING VALUE END OF EXPENSES TO INCOME/(LOSS) TO EXPENSES TO END OF TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE NET PERIOD RETURN++ (000) ASSETS ASSETS ASSETS - ------------------------------------------------------------------------------------------------ $1.00 0.53% $26,447,787 0.20%+(a)(c) 1.06%+ 0.27%+(a) 1.00 1.63 33,084,072 0.20(a)(b) 1.62% 0.26(a) 1.00 3.25 39,231,604 0.20(a)(b) 2.92 0.27(a) 1.00 6.46 20,037,526 0.20(a) 6.22 0.27(a) 1.00 5.46 8,642,609 0.20(a)(b) 5.37 0.29(a) 1.00 4.95 4,379,430 0.20+(a) 5.24+ 0.43+(a) 1.00 5.70 3,051,559 0.20(b) 5.54 0.44 $1.00 0.51% $ 4,986,943 0.24%+(a)(c) 1.02%+ 0.31%+(a) 1.00 1.59 4,541,350 0.24(a)(b) 1.58 0.30(a) 1.00 3.21 3,257,737 0.24(a)(b) 2.88 0.31(a) 1.00 1.90 651,116 0.24+(a) 6.18+ 0.31+(a) $1.00 0.48% $ 4,291,294 0.30%+(a)(c) 0.96%+ 0.37%+(a) 1.00 1.53 5,005,841 0.30(a)(b) 1.52 0.36(a) 1.00 3.14 2,686,258 0.30(a)(b) 2.82 0.37(a) 1.00 6.36 2,676,204 0.30(a) 6.12 0.37(a) 1.00 4.72 1,719,142 0.30+(a)(b) 5.27+ 0.39+(a) $1.00 0.46% $ 1,456,483 0.35%+(a)(c) 0.91%+ 1.12%+(a) 1.00 1.47 1,572,140 0.35(a)(b) 1.47 1.11(a) 1.00 3.09 1,742,687 0.35(a)(b) 2.77 1.12(a) 1.00 6.30 1,476,883 0.35(a) 6.07 1.12(a) 1.00 5.30 1,396,969 0.35(a)(b) 5.22 1.14(a) 1.00 4.80 1,423,382 0.35+(a) 5.09+ 1.28+(a) 1.00 5.53 1,107,869 0.35(b) 5.39 1.29 $1.00 0.41% $11,899,324 0.45%+(a)(c) 0.81%+ 0.52%+(a) 1.00 1.37 6,834,801 0.45(a)(b) 1.37 0.51(a) 1.00 2.99 7,873,470 0.45(a)(b) 2.67 0.52(a) 1.00 6.20 5,939,163 0.45(a) 5.97 0.52(a) 1.00 5.19 4,780,346 0.45(a)(b) 5.12 0.54(a) 1.00 4.71 870,170 0.45+(a) 4.99+ 0.68+(a) 1.00 5.43 672,417 0.45(b) 5.29 0.69 $1.00 0.36% $ 3,093,899 0.55%+(a)(c) 0.71%+ 0.62%+(a) 1.00 1.27 3,621,418 0.55(a)(b) 1.27 0.61(a) 1.00 2.89 4,966,158 0.55(a)(b) 2.57 0.62(a) 1.00 6.09 7,585,825 0.55(a) 5.87 0.62(a) 1.00 4.94 7,068,117 0.55+(a)(b) 5.02+ 0.64+(a) $1.00 0.31% $ 186 0.65%+(a)(c) 0.61%+ 0.72%+(a) 1.00 1.17 3,774,034 0.65(a)(b) 1.17 0.71(a) 1.00 2.78 3,844,641 0.65(a)(b) 2.47 0.72(a) 1.00 5.99 3,342,882 0.65(a) 5.77 0.72(a) 1.00 4.98 2,779,002 0.65(a)(b) 4.92 0.74(a) 1.00 4.56 1,486,502 0.61+(a) 4.83+ 0.88+(a) 1.00 5.33 649,503 0.55(b) 5.19 0.89 $1.00 0.23% $ 9,379,922 0.80%+(a)(c) 0.46%+ 0.87%+(a) 1.00 1.02 11,635,944 0.80(a)(b) 1.02 0.86(a) 1.00 2.63 14,018,697 0.80(a)(b) 2.32 0.87(a) 1.00 5.83 14,589,888 0.80(a) 5.62 0.87(a) 1.00 4.69 9,753,000 0.80+(a)(b) 4.77+ 0.89+(a) $1.00 0.13% $ 83,249 1.01%+(a)(c) 0.25%+ 1.27%+(a) 1.00 0.62 761,802 1.20(a)(b) 0.62 1.26(a) 1.00 2.22 1,037,281 1.20(a)(b) 1.92 1.27(a) 1.00 5.41 913,512 1.20(a) 5.22 1.27(a) 1.00 4.11 512,318 1.20+(a)(b) 4.37+ 1.29+(a) $1.00 0.31% $ 346,145 0.65%+(a)(c) 0.61%+ 0.72%+(a) 1.00 1.18 378,382 0.65+(a)(b) 1.17+ 0.71+(a) $1.00 0.13% $ 41,865 1.02%+(a)(c) 0.24%+ 1.37%+(a) 1.00 0.54 54,493 1.28(a)(b) 0.54 1.36(a) 1.00 2.12 37,408 1.30(a)(b) 1.82 1.37(a) 1.00 5.30 27,360 1.30(a) 5.12 1.37(a) 1.00 2.28 8,828 1.30+(a)(b) 4.27+ 1.39+(a) $1.00 0.13% $ 3,392 1.03%+(a)(c) 0.23%+ 1.37%+(a) 1.00 0.54 4,811 1.28(a)(b) 0.54 1.36(a) 1.00 2.12 1,357 1.30(a)(b) 1.82 1.37(a) 1.00 5.30 1,717 1.30(a) 5.12 1.37(a) 1.00 2.25 345 1.30+(a)(b) 4.27+ 1.39+(a) $1.00 0.36% $ 16,584 0.55%+(a)(c) 0.71%+ 0.62%+(a) 1.00 1.28 20,755 0.55+(a)(b) 1.27+ 0.61+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 89 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INCOME -------------------------------------- MONEY MARKET RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0052 $(0.0052) Year ended 3/31/2003........................................ 1.00 0.0155 (0.0155) Year ended 3/31/2002........................................ 1.00 0.0311 (0.0311) Year ended 3/31/2001........................................ 1.00 0.0625 (0.0625) Year ended 3/31/2000........................................ 1.00 0.0535 (0.0535) Period ended 3/31/1999*,**.................................. 1.00 0.0438 (0.0438) Period ended 5/15/1998...................................... 1.00 0.0252 (0.0252) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0050 $(0.0050) Year ended 3/31/2003........................................ 1.00 0.0151 (0.0151) Year ended 3/31/2002........................................ 1.00 0.0307 (0.0307) Period ended 3/31/2001***................................... 1.00 0.0221 (0.0221) TRUST CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0047 $(0.0047) Year ended 3/31/2003........................................ 1.00 0.0145 (0.0145) Year ended 3/31/2002........................................ 1.00 0.0301 (0.0301) Year ended 3/31/2001........................................ 1.00 0.0615 (0.0615) Period ended 3/31/2000***................................... 1.00 0.0016 (0.0016) LIQUIDITY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0044 $(0.0044) Year ended 3/31/2003........................................ 1.00 0.0139 (0.0139) Year ended 3/31/2002........................................ 1.00 0.0296 (0.0296) Year ended 3/31/2001........................................ 1.00 0.0610 (0.0610) Year ended 3/31/2000........................................ 1.00 0.0520 (0.0520) Period ended 3/31/1999*,***................................. 1.00 0.0281 (0.0281) ADVISER CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0039 $(0.0039) Year ended 3/31/2003........................................ 1.00 0.0129 (0.0129) Year ended 3/31/2002........................................ 1.00 0.0286 (0.0286) Year ended 3/31/2001........................................ 1.00 0.0600 (0.0600) Year ended 3/31/2000........................................ 1.00 0.0548 (0.0548) Period ended 3/31/1999*,***................................. 1.00 0.0344 (0.0344) INVESTOR CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0034 $(0.0034) Year ended 3/31/2003........................................ 1.00 0.0119 (0.0119) Year ended 3/31/2002........................................ 1.00 0.0276 (0.0276) Year ended 3/31/2001........................................ 1.00 0.0501 (0.0501) Period ended 3/31/2000***................................... 1.00 0.0043 (0.0043) MARKET CLASS SHARES Period ended 9/25/2003 (unaudited)****...................... $1.00 $0.0028 $(0.0028) Year ended 3/31/2003........................................ 1.00 0.0109 (0.0109) Year ended 3/31/2002........................................ 1.00 0.0266 (0.0266) Year ended 3/31/2001........................................ 1.00 0.0580 (0.0580) Year ended 3/31/2000........................................ 1.00 0.0490 (0.0490) Period ended 3/31/1999*,***................................. 1.00 0.0214 (0.0214) DAILY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0022 $(0.0022) Year ended 3/31/2003........................................ 1.00 0.0095 (0.0095) Year ended 3/31/2002........................................ 1.00 0.0251 (0.0251) Year ended 3/31/2001........................................ 1.00 0.0565 (0.0565) Period ended 3/31/2000***................................... 1.00 0.0346 (0.0346) SERVICE CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2003........................................ 1.00 0.0056 (0.0056) Year ended 3/31/2002........................................ 1.00 0.0211 (0.0211) Year ended 3/31/2001........................................ 1.00 0.0525 (0.0525) Period ended 3/31/2000***................................... 1.00 0.0386 (0.0386) INVESTOR B SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2003........................................ 1.00 0.0049 (0.0049) Year ended 3/31/2002........................................ 1.00 0.0201 (0.0201) Year ended 3/31/2001........................................ 1.00 0.0515 (0.0515) Period ended 3/31/2000***................................... 1.00 0.0227 (0.0227) INVESTOR C SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2003........................................ 1.00 0.0049 (0.0049) Year ended 3/31/2002........................................ 1.00 0.0201 (0.0201) Year ended 3/31/2001........................................ 1.00 0.0208 (0.0208) Period ended 3/31/2000***................................... 1.00 0.0112 (0.0112)
- --------------- + 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. * Fiscal year end changed to March 31. Prior to this, the fiscal year end was April 30. ** The financial information for the fiscal periods through May 15, 1998 reflect the financial information for the Emerald Prime Advantage Institutional Fund, which was reorganized into Capital Class Shares as of May 22, 1998. ***Money Market Reserves Institutional Class, Trust Class, Liquidity Class, Adviser Class, Investor Class, Market Class, Daily Class, Service Class, Investor B and Investor C Shares commenced operations on November 17, 2000, March 22, 2000, August 7, 1998, July 2, 1998, March 3, 2000, October 9, 1998, July 21, 1999, May 18, 1999, October 5, 1999 and January 6, 2000, respectively. **** Money Market Reserves Market Class Shares were fully redeemed on September 25, 2003. # Amount represents less than $500. (a)The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and / or expense reimbursements, was less than 0.01%. (b)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 90 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------- RATIO OF RATIO OF RATIO OF NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING VALUE END OF EXPENSES TO INCOME/(LOSS) TO EXPENSES TO END OF TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE NET PERIOD RETURN++ (000) ASSETS ASSETS ASSETS - ------------------------------------------------------------------------------------------------ $1.00 0.52% $ 8,601,593 0.20%+(a) 1.03%+ 0.27%+(a) 1.00 1.56 10,092,837 0.20(a)(b) 1.54 0.26(a) 1.00 3.16 11,084,336 0.20(a) 2.85 0.28(a) 1.00 6.43 6,103,253 0.20(a)(b) 6.19 0.27(a) 1.00 5.48 4,064,349 0.20(a)(b) 5.64 0.33(a) 1.00 4.47 595,482 0.20+(a) 4.87+ 0.46+(a) 1.00 2.55 118,880 0.20+ 5.54+ 0.27+ $1.00 0.50% $ 860,012 0.24%+(a) 0.99%+ 0.31%+(a) 1.00 1.52 721,023 0.24(a)(b) 1.50 0.30(a) 1.00 3.12 535,650 0.24(a) 2.81 0.32(a) 1.00 2.23 574,968 0.24+(a)(b) 6.15+ 0.31+(a) $1.00 0.47% $ 42,699 0.30%+(a) 0.93%+ 0.37%+(a) 1.00 1.46 60,342 0.30(a)(b) 1.44 0.36(a) 1.00 3.05 1,311,771 0.30(a) 2.75 0.38(a) 1.00 6.33 67,422 0.30(a)(b) 6.09 0.37(a) 1.00 0.16 38 0.30+(a)(b) 5.54+ 0.43+(a) $1.00 0.44% $ 498,517 0.35%+(a) 0.88%+ 1.12%+(a) 1.00 1.41 497,339 0.35(a)(b) 1.39 1.11(a) 1.00 3.00 566,000 0.35(a) 2.70 1.13(a) 1.00 6.27 1,085,231 0.35(a)(b) 6.04 1.12(a) 1.00 5.32 946,156 0.35(a)(b) 5.49 1.18(a) 1.00 2.87 1,078 0.35+(a) 4.72+ 1.31+(a) $1.00 0.39% $ 1,846,811 0.45%+(a) 0.78%+ 0.52%+(a) 1.00 1.31 640,364 0.45(a)(b) 1.29 0.51(a) 1.00 2.90 967,747 0.45(a) 2.60 0.53(a) 1.00 6.17 622,177 0.45(a)(b) 5.94 0.52(a) 1.00 5.62 553,728 0.45(a)(b) 5.39 0.58(a) 1.00 3.46 6,377 0.45+(a) 4.62+ 0.71+(a) $1.00 0.34% $ 62,324 0.55%+(a) 0.68%+ 0.62%+(a) 1.00 1.21 61,153 0.55(a)(b) 1.19 0.61(a) 1.00 2.80 44,170 0.55(a) 2.50 0.63(a) 1.00 5.12 90,380 0.55(a)(b) 5.84 0.62(a) 1.00 0.43 1 0.55+(a)(b) 5.29+ 0.68+(a) $1.00 0.28% $ --# 0.65%+(a) 0.58%+ 0.72%+(a) 1.00 1.11 1,235,160 0.65(a)(b) 1.09 0.71(a) 1.00 2.69 1,422,125 0.65(a) 2.40 0.73(a) 1.00 5.96 1,292,998 0.65(a)(b) 5.74 0.72(a) 1.00 5.01 1,021,002 0.65(a)(b) 5.19 0.78(a) 1.00 2.14 873,993 0.65+(a) 4.42+ 0.91+(a) $1.00 0.22% $ 4,391 0.80%+(a) 0.43%+ 0.87%+(a) 1.00 0.95 4,756 0.80(a)(b) 0.94 0.86(a) 1.00 2.54 4,501 0.80(a) 2.25 0.88(a) 1.00 5.80 7,561 0.80(a)(b) 5.59 0.87(a) 1.00 3.51 4,525 0.80+(a)(b) 5.04+ 0.93+(a) $1.00 0.13% $ 3,346 0.98%+(a) 0.25%+ 1.27%+(a) 1.00 0.56 118,713 1.19(a)(b) 0.55 1.26(a) 1.00 2.13 139,024 1.20(a) 1.85 1.28(a) 1.00 5.38 203,160 1.20(a)(b) 5.19 1.27(a) 1.00 3.93 80,500 1.20+(a)(b) 4.64+ 1.33+(a) $1.00 0.13% $ 12,506 0.99%+(a) 0.24%+ 1.37%+(a) 1.00 0.49 15,512 1.26(a)(b) 0.48 1.36(a) 1.00 2.03 9,407 1.30(a) 1.75 1.38(a) 1.00 5.27 6,907 1.30(a)(b) 5.09 1.37(a) 1.00 2.29 1,940 1.30+(a)(b) 4.54+ 1.43+(a) $1.00 0.13% $ 863 0.99%+(a) 0.24%+ 1.37%+(a) 1.00 0.49 1,072 1.27(a)(b) 0.47 1.36(a) 1.00 2.03 408 1.30(a) 1.75 1.38(a) 1.00 2.08 340 1.30(a)(b) 5.09 1.37(a) 1.00 1.12 19 1.30+(a)(b) 4.54+ 1.43+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 91 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INCOME -------------------------------------- TREASURY RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0050 $(0.0050) Year ended 3/31/2003........................................ 1.00 0.0150 (0.0150) Year ended 3/31/2002........................................ 1.00 0.0302 (0.0302) Year ended 3/31/2001........................................ 1.00 0.0603 (0.0603) Year ended 3/31/2000........................................ 1.00 0.0504 (0.0504) Period ended 3/31/1999*..................................... 1.00 0.0462 (0.0462) Year ended 4/30/1998........................................ 1.00 0.0541 (0.0541) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0048 $(0.0048) Year ended 3/31/2003........................................ 1.00 0.0146 (0.0146) Year ended 3/31/2002........................................ 1.00 0.0298 (0.0298) Period ended 3/31/2001**.................................... 1.00 0.0206 (0.0206) TRUST CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0045 $(0.0045) Year ended 3/31/2003........................................ 1.00 0.0140 (0.0140) Year ended 3/31/2002........................................ 1.00 0.0292 (0.0292) Year ended 3/31/2001........................................ 1.00 0.0593 (0.0593) Period ended 3/31/2000**.................................... 1.00 0.0436 (0.0436) LIQUIDITY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0043 $(0.0043) Year ended 3/31/2003........................................ 1.00 0.0136 (0.0136) Year ended 3/31/2002........................................ 1.00 0.0287 (0.0287) Year ended 3/31/2001........................................ 1.00 0.0588 (0.0588) Year ended 3/31/2000........................................ 1.00 0.0489 (0.0489) Period ended 3/31/1999*..................................... 1.00 0.0448 (0.0448) Year ended 4/30/1998........................................ 1.00 0.0526 (0.0526) ADVISER CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0038 $(0.0038) Year ended 3/31/2003........................................ 1.00 0.0126 (0.0126) Year ended 3/31/2002........................................ 1.00 0.0277 (0.0277) Year ended 3/31/2001........................................ 1.00 0.0578 (0.0578) Year ended 3/31/2000........................................ 1.00 0.0479 (0.0479) Period ended 3/31/1999*..................................... 1.00 0.0439 (0.0439) Year ended 4/30/1998........................................ 1.00 0.0516 (0.0516) INVESTOR CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0033 $(0.0033) Year ended 3/31/2003........................................ 1.00 0.0116 (0.0116) Year ended 3/31/2002........................................ 1.00 0.0267 (0.0267) Year ended 3/31/2001........................................ 1.00 0.0568 (0.0568) Period ended 3/31/2000**.................................... 1.00 0.0455 (0.0455) MARKET CLASS SHARES Period ended 9/25/2003 (unaudited)***....................... $1.00 $0.0027 $(0.0027) Year ended 3/31/2003........................................ 1.00 0.0106 (0.0106) Year ended 3/31/2002........................................ 1.00 0.0257 (0.0257) Year ended 3/31/2001........................................ 1.00 0.0557 (0.0557) Year ended 3/31/2000........................................ 1.00 0.0459 (0.0459) Period ended 3/31/1999*..................................... 1.00 0.0423 (0.0423) Year ended 4/30/1998........................................ 1.00 0.0505 (0.0505) DAILY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0020 $(0.0020) Year ended 3/31/2003........................................ 1.00 0.0090 (0.0090) Year ended 3/31/2002........................................ 1.00 0.0242 (0.0242) Year ended 3/31/2001........................................ 1.00 0.0543 (0.0543) Period ended 3/31/2000**.................................... 1.00 0.0431 (0.0431) SERVICE CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2003........................................ 1.00 0.0051 (0.0051) Year ended 3/31/2002........................................ 1.00 0.0202 (0.0202) Year ended 3/31/2001........................................ 1.00 0.0503 (0.0503) Period ended 3/31/2000**.................................... 1.00 0.0358 (0.0358) INVESTOR A SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0028 $(0.0028) Period ended 3/31/2003**+++................................. 1.00 0.0107 (0.0107) INVESTOR B SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2003........................................ 1.00 0.0047 (0.0047) Year ended 3/31/2002........................................ 1.00 0.0192 (0.0192) Year ended 3/31/2001........................................ 1.00 0.0493 (0.0493) Period ended 3/31/2000**.................................... 1.00 0.0192 (0.0192) INVESTOR C SHARES Period ended 7/23/2003 (unaudited)***....................... $1.00 $0.0008 $(0.0008) Period ended 3/31/2003**.................................... 1.00 0.0017 (0.0017)
- --------------- + Annualized. ++Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. +++The total return for the period ended March 31, 2003 reflects the historical return information for the Nations Treasury Fund Investor A Shares, which were reorganized into Nations Treasury Reserves Investor A Shares on May 10, 2002. * Fiscal year end changed to March 31. Prior to this, the fiscal year end was April 30. **Treasury Reserves Institutional Class, Trust Class, Investor Class, Daily Class, Service Class, Investor A Shares, Investor B Shares and Investor C Shares commenced operations on November 21, 2000, May 17, 1999, April 12, 1999, April 12, 1999, May 17, 1999, May 13, 2002, October 15, 1999 and July 16, 2002, respectively. *** Treasury Reserves Market Class Shares and Investor C Shares were fully redeemed on September 25, 2003 and July 23, 2003, respectively. # Amount represents less than $500. (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. 92 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------- RATIO OF RATIO OF RATIO OF NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING VALUE END OF EXPENSES TO INCOME/(LOSS) TO EXPENSES TO END OF TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE NET PERIOD RETURN++ (000) ASSETS ASSETS ASSETS - ------------------------------------------------------------------------------------------------ $1.00 0.50% $1,844,566 0.20%+(a) 1.00%+ 0.27%+(a) 1.00 1.51% 2,560,626 0.20(a) 1.52 0.26%(a) 1.00 3.06 3,715,126 0.20(a) 2.81 0.27(a) 1.00 6.20 1,900,312 0.20(a)(b) 5.99 0.27(a) 1.00 5.15 1,026,684 0.20(a)(b) 5.06 0.28(a) 1.00 4.72 1,382,688 0.20+(a) 4.99+ 0.45+(a) 1.00 5.55 246,058 0.20 5.41 0.45 $1.00 0.48% $ 936,405 0.24%+(a) 0.96%+ 0.31%+(a) 1.00 1.47 538,719 0.24(a) 1.48 0.30%(a) 1.00 3.02 383,265 0.24(a) 2.77 0.31(a) 1.00 2.08 29,572 0.24+(a)(b) 5.95+ 0.31+(a) $1.00 0.45% $ 799,964 0.30%+(a) 0.90%+ 0.37%+(a) 1.00 1.41 908,826 0.30(a) 1.42 0.36%(a) 1.00 2.96 399,582 0.30(a) 2.71 0.37(a) 1.00 6.09 315,854 0.30(a)(b) 5.89 0.37(a) 1.00 4.45 506,339 0.30+(a)(b) 4.96+ 0.38+(a) $1.00 0.43% $ 418,965 0.35%+(a) 0.85%+ 1.17%+(a) 1.00 1.36 384,984 0.35(a) 1.37 1.16%(a) 1.00 2.90 370,139 0.35(a) 2.66 1.17(a) 1.00 6.04 348,850 0.35(a)(b) 5.84 1.17(a) 1.00 5.00 364,761 0.35(a)(b) 4.91 1.18(a) 1.00 4.58 304,387 0.35+(a) 4.84+ 1.35+(a) 1.00 5.38 743,410 0.35 5.26 1.35 $1.00 0.38% $4,312,997 0.45%+(a) 0.75%+ 0.52%+(a) 1.00 1.26 2,723,279 0.45(a) 1.27 0.51%(a) 1.00 2.80 2,568,691 0.45(a) 2.56 0.52(a) 1.00 5.93 1,918,597 0.45(a)(b) 5.74 0.52(a) 1.00 4.89 1,460,966 0.45(a)(b) 4.81 0.53(a) 1.00 4.48 344,906 0.45+(a) 4.74+ 0.70+(a) 1.00 5.28 222,760 0.45 5.16 0.70 $1.00 0.33% $ 611,728 0.55%+(a) 0.65%+ 0.62%+(a) 1.00 1.16 673,332 0.55(a) 1.17 0.61%(a) 1.00 2.70 688,990 0.55(a) 2.46 0.62(a) 1.00 5.83 700,202 0.55(a)(b) 5.64 0.62(a) 1.00 4.65 573,261 0.55+(a)(b) 4.71+ 0.63+(a) $1.00 0.27% $ --# 0.65%+(a) 0.55%+ 0.72%+(a) 1.00 1.06 1,334,965 0.65(a) 1.07 0.71%(a) 1.00 2.60 1,381,945 0.65(a) 2.36 0.72(a) 1.00 5.72 1,369,949 0.65(a)(b) 5.54 0.72(a) 1.00 4.68 1,511,932 0.65(a)(b) 4.61 0.73(a) 1.00 4.31 1,169,932 0.62+(a) 4.57+ 0.90+(a) 1.00 5.18 265,495 0.55 5.06 0.90 $1.00 0.20% $ 436,262 0.80%+(a) 0.40%+ 0.87%+(a) 1.00 0.91 1,159,050 0.80(a) 0.92 0.86%(a) 1.00 2.44 1,301,678 0.80(a) 2.21 0.87(a) 1.00 5.56 981,837 0.80(a)(b) 5.39 0.87(a) 1.00 4.40 847,775 0.80+(a)(b) 4.46+ 0.88+(a) $1.00 0.13% $ 32,254 0.95%+(a) 0.25%+ 1.27%+(a) 1.00 0.52 292,215 1.19(a) 0.53 1.26%(a) 1.00 2.04 330,420 1.20(a) 1.81 1.27(a) 1.00 5.14 343,240 1.20(a)(b) 4.99 1.27(a) 1.00 3.63 244,035 1.20+(a)(b) 4.06+ 1.28+(a) $1.00 0.28% $ 763,852 0.65%+(a) 0.55%+ 0.72%+(a) 1.00 1.07 850,729 0.65+(a) 1.07+ 0.71%+(a) $1.00 0.13% $ 408 0.97%+(a) 0.23%+ 1.37%+(a) 1.00 0.47 535 1.22(a) 0.50 1.36%(a) 1.00 1.93 180 1.30(a) 1.71 1.37(a) 1.00 5.04 237 1.30(a)(b) 4.89 1.37(a) 1.00 1.94 80 1.30+(a)(b) 3.96+ 1.38+(a) $1.00 0.08% $ --# 1.06%+(a) 0.14%+ 1.37%+(a) 1.00 0.15 5 1.26+(a) 0.46+ 1.36%+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 93 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INCOME -------------------------------------- GOVERNMENT RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0051 $(0.0051) Year ended 3/31/2003........................................ 1.00 0.0151 (0.0151) Year ended 3/31/2002........................................ 1.00 0.0303 (0.0303) Year ended 3/31/2001........................................ 1.00 0.0615 (0.0615) Year ended 3/31/2000........................................ 1.00 0.0516 (0.0516) Period ended 3/31/1999*..................................... 1.00 0.0468 (0.0468) Year ended 4/30/1998........................................ 1.00 0.0543 (0.0543) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0049 $(0.0049) Year ended 3/31/2003........................................ 1.00 0.0147 (0.0147) Year ended 3/31/2002........................................ 1.00 0.0299 (0.0299) Period ended 3/31/2001**.................................... 1.00 0.0210 (0.0210) TRUST CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0046 $(0.0046) Year ended 3/31/2003........................................ 1.00 0.0141 (0.0141) Year ended 3/31/2002........................................ 1.00 0.0293 (0.0293) Year ended 3/31/2001........................................ 1.00 0.0605 (0.0605) Period ended 3/31/2000**.................................... 1.00 0.0448 (0.0448) LIQUIDITY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0043 $(0.0043) Year ended 3/31/2003........................................ 1.00 0.0136 (0.0136) Year ended 3/31/2002........................................ 1.00 0.0286 (0.0286) Year ended 3/31/2001........................................ 1.00 0.0600 (0.0600) Year ended 3/31/2000........................................ 1.00 0.0501 (0.0501) Period ended 3/31/1999*..................................... 1.00 0.0454 (0.0454) Year ended 4/30/1998........................................ 1.00 0.0528 (0.0528) ADVISER CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0038 $(0.0038) Year ended 3/31/2003........................................ 1.00 0.0126 (0.0126) Year ended 3/31/2002........................................ 1.00 0.0278 (0.0278) Year ended 3/31/2001........................................ 1.00 0.0590 (0.0590) Year ended 3/31/2000........................................ 1.00 0.0491 (0.0491) Period ended 3/31/1999*..................................... 1.00 0.0445 (0.0445) Year ended 4/30/1998........................................ 1.00 0.0518 (0.0518) INVESTOR CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0033 $(0.0033) Year ended 3/31/2003........................................ 1.00 0.0116 (0.0116) Year ended 3/31/2002........................................ 1.00 0.0268 (0.0268) Year ended 3/31/2001........................................ 1.00 0.0580 (0.0580) Period ended 3/31/2000**.................................... 1.00 0.0467 (0.0467) MARKET CLASS SHARES Period ended 9/25/2003 (unaudited)***....................... $1.00 $0.0028 $(0.0028) Year ended 3/31/2003........................................ 1.00 0.0106 (0.0106) Year ended 3/31/2002........................................ 1.00 0.0258 (0.0258) Year ended 3/31/2001........................................ 1.00 0.0570 (0.0570) Year ended 3/31/2000........................................ 1.00 0.0471 (0.0471) Period ended 3/31/1999*..................................... 1.00 0.0431 (0.0431) Year ended 4/30/1998........................................ 1.00 0.0508 (0.0508) DAILY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0021 $(0.0021) Year ended 3/31/2003........................................ 1.00 0.0091 (0.0091) Year ended 3/31/2002........................................ 1.00 0.0243 (0.0243) Year ended 3/31/2001........................................ 1.00 0.0554 (0.0554) Period ended 3/31/2000**.................................... 1.00 0.0443 (0.0443) SERVICE CLASS SHARES Period ended 9/25/2003 (unaudited)***....................... $1.00 $0.0012 $(0.0012) Year ended 3/31/2003........................................ 1.00 0.0052 (0.0052) Year ended 3/31/2002........................................ 1.00 0.0203 (0.0203) Year ended 3/31/2001........................................ 1.00 0.0515 (0.0515) Period ended 3/31/2000**.................................... 1.00 0.0348 (0.0348) INVESTOR A SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0028 $(0.0028) Period ended 3/31/2003** +++................................ 1.00 0.0108 (0.0108) INVESTOR B SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2003........................................ 1.00 0.0045 (0.0045) Year ended 3/31/2002........................................ 1.00 0.0193 (0.0193) Year ended 3/31/2001........................................ 1.00 0.0505 (0.0505) Period ended 3/31/2000**.................................... 1.00 0.0185 (0.0185) INVESTOR C SHARES Period ended 1/06/2003***................................... $1.00 $0.0037 $(0.0037) Year ended 3/31/2002........................................ 1.00 0.0193 (0.0193) Year ended 3/31/2001........................................ 1.00 0.0505 (0.0505) Period ended 3/31/2000**.................................... 1.00 0.0126 (0.0126)
- --------------- +Annualized. ++Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. +++ The total return for the period ended March 31, 2003 reflects the historical return information for the Nations Government Money Market Fund Investor A Shares, which were reorganized into Nations Government Reserves Investor A Shares on May 10, 2002. *Fiscal year end changed to March 31. Prior to this, the fiscal year end was April 30. **Government Reserves Institutional Class, Trust Class, Investor Class, Daily Class, Service Class, Investor A, and Investor B Shares commenced operations on November 21, 2000, May 17, 1999, April 12, 1999, April 12, 1999, June 8, 1999, May 13, 2002, and November 2, 1999, respectively. *** Government Reserves Market Class Shares, Service Class Shares and Investor C Shares were fully redeemed on September 25, 2003, September 25, 2003 and January 6, 2003, respectively. #Amount represents less than $500. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and / or expense reimbursements, was less than 0.01%. (b) The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 94 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS RATIO OF --------------- RATIO OF NET RATIO OF NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING VALUE END OF EXPENSES TO INCOME/(LOSS) TO EXPENSES TO END OF TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS - ----------------------------------------------------------------------------------------- $1.00 0.51% $1,297,549 0.20%+(a) 1.02%+ 0.27%+(a) 1.00 1.52 1,772,133 0.20(a) 1.48 0.27(a) 1.00 3.07 1,818,554 0.20(a) 2.70 0.28(a) 1.00 6.32 852,138 0.20(a)(b) 6.06 0.29(a) 1.00 5.28 381,336 0.20(a)(b) 5.26 0.29(a) 1.00 4.78 229,561 0.20+(a) 5.05+ 0.44+(a) 1.00 5.57 190,607 0.20 5.43 0.45 $1.00 0.49% $ 382,638 0.24%+(a) 0.98%+ 0.31%+(a) 1.00 1.48 81,814 0.24(a) 1.44 0.31(a) 1.00 3.03 86,551 0.24(a) 2.66 0.32(a) 1.00 2.12 260,087 0.24+(a) 6.02+ 0.33+(a) $1.00 0.46% $ 372,455 0.30%+(a) 0.92%+ 0.37%+(a) 1.00 1.42 380,478 0.30(a) 1.38 0.37(a) 1.00 2.97 289,252 0.30(a) 2.60 0.38(a) 1.00 6.22 222,765 0.30(a)(b) 5.96 0.39(a) 1.00 4.57 125,504 0.30+(a)(b) 5.16+ 0.39+(a) $1.00 0.43% $ 320,093 0.35%+(a) 0.87%+ 1.12%+(a) 1.00 1.37 175,562 0.35(a) 1.33 1.12(a) 1.00 2.91 164,296 0.35(a) 2.55 1.13(a) 1.00 6.16 468,083 0.35(a)(b) 5.91 1.14(a) 1.00 5.12 140,328 0.35(a)(b) 5.11 1.14(a) 1.00 4.63 59,551 0.35+(a) 4.90+ 1.29+(a) 1.00 5.40 32,773 0.35 5.28 1.30 $1.00 0.38% $1,474,291 0.45%+(a) 0.77%+ 0.52%+(a) 1.00 1.27 586,412 0.45(a) 1.23 0.52(a) 1.00 2.81 794,855 0.45(a) 2.45 0.53(a) 1.00 6.06 1,190,853 0.45(a)(b) 5.81 0.54(a) 1.00 5.02 477,205 0.45(a)(b) 5.01 0.54(a) 1.00 4.54 88,836 0.45+(a) 4.80+ 0.69+(a) 1.00 5.30 70,164 0.45 5.18 0.70 $1.00 0.33% $ 683,926 0.55%+(a) 0.67%+ 0.62%+(a) 1.00 1.17 578,548 0.55(a) 1.13 0.62(a) 1.00 2.71 1,001,552 0.55(a) 2.35 0.63(a) 1.00 5.95 331,555 0.55(a)(b) 5.71 0.64(a) 1.00 4.77 111,741 0.55+(a)(b) 4.91+ 0.64+(a) $1.00 0.28% $ --# 0.65%+(a) 0.57%+ 0.72%+(a) 1.00 1.07 502,090 0.65(a) 1.08 0.72(a) 1.00 2.61 561,082 0.65(a) 2.25 0.73(a) 1.00 5.85 488,016 0.65(a)(b) 5.61 0.74(a) 1.00 4.81 370,000 0.65(a)(b) 4.81 0.74(a) 1.00 4.39 334,000 0.61+(a) 4.64+ 0.89+(a) 1.00 5.20 274,499 0.55 5.08 0.90 $1.00 0.21% $ 282,374 0.80%+(a) 0.42%+ 0.87%+(a) 1.00 0.92 312,836 0.80(a) 0.88 0.87(a) 1.00 2.45 317,287 0.80(a) 2.10 0.88(a) 1.00 5.69 259,937 0.80(a)(b) 5.46 0.89(a) 1.00 4.52 171,521 0.80+(a)(b) 4.66+ 0.89+(a) $1.00 0.12% $ --# 0.97%+(a) 0.25%+ 1.27%+(a) 1.00 0.52 36,006 1.19(a) 0.49 1.27(a) 1.00 2.05 36,505 1.20(a) 1.70 1.28(a) 1.00 5.27 26,001 1.20(a)(b) 5.06 1.29(a) 1.00 3.53 10,000 1.20+(a)(b) 4.26+ 1.29+(a) $1.00 0.28% $ 5,187 0.65%+(a) 0.57%+ 0.72%+(a) 1.00 1.08 6,069 0.65+(a) 1.03+ 0.72+(a) $1.00 0.13% $ 1,171 0.98%+(a) 0.24%+ 1.37%+(a) 1.00 0.45 1,804 1.26(a) 0.42 1.37(a) 1.00 1.94 2,105 1.30(a) 1.60 1.38(a) 1.00 5.17 990 1.30(a) 4.96 1.39(a) 1.00 1.86 108 1.30+(a)(b) 4.16+ 1.39+(a) $1.00 0.37% $ --# 1.30%+(a) 0.57%+ 1.37%+(a) 1.00 1.95 982 1.30(a) 1.60 1.38(a) 1.00 5.17 160 1.30(a)(b) 4.96 1.39(a) 1.00 1.26 746 1.30+(a)(b) 4.16+ 1.39+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 95 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INCOME -------------------------------------- MUNICIPAL RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0046 $(0.0046) Year ended 3/31/2003........................................ 1.00 0.0127 (0.0127) Year ended 3/31/2002........................................ 1.00 0.0215 (0.0215) Year ended 3/31/2001........................................ 1.00 0.0392 (0.0392) Year ended 3/31/2000........................................ 1.00 0.0329 (0.0329) Period ended 3/31/1999*..................................... 1.00 0.0292 (0.0292) Year ended 4/30/1998........................................ 1.00 0.0353 (0.0353) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0044 $(0.0044) Year ended 3/31/2003........................................ 1.00 0.0123 (0.0123) Year ended 3/31/2002........................................ 1.00 0.0163 (0.0163) Period ended 3/31/2001**.................................... 1.00 0.0110 (0.0110) TRUST CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0041 $(0.0041) Year ended 3/31/2003........................................ 1.00 0.0117 (0.0117) Year ended 3/31/2002........................................ 1.00 0.0205 (0.0205) Year ended 3/31/2001........................................ 1.00 0.0382 (0.0382) Period ended 3/31/2000**.................................... 1.00 0.0280 (0.0280) LIQUIDITY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0039 $(0.0039) Year ended 3/31/2003........................................ 1.00 0.0113 (0.0113) Year ended 3/31/2002........................................ 1.00 0.0200 (0.0200) Year ended 3/31/2001........................................ 1.00 0.0377 (0.0377) Year ended 3/31/2000........................................ 1.00 0.0314 (0.0314) Period ended 3/31/1999*..................................... 1.00 0.0278 (0.0278) Year ended 4/30/1998........................................ 1.00 0.0341 (0.0341) ADVISER CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0034 $(0.0034) Year ended 3/31/2003........................................ 1.00 0.0103 (0.0103) Year ended 3/31/2002........................................ 1.00 0.0190 (0.0190) Year ended 3/31/2001........................................ 1.00 0.0367 (0.0367) Year ended 3/31/2000........................................ 1.00 0.0304 (0.0304) Period ended 3/31/1999*..................................... 1.00 0.0270 (0.0270) Year ended 4/30/1998........................................ 1.00 0.0332 (0.0332) INVESTOR CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0029 $(0.0029) Year ended 3/31/2003........................................ 1.00 0.0093 (0.0093) Year ended 3/31/2002........................................ 1.00 0.0180 (0.0180) Year ended 3/31/2001........................................ 1.00 0.0357 (0.0357) Period ended 3/31/2000**.................................... 1.00 0.0287 (0.0287) MARKET CLASS SHARES Period ended 9/25/2003 (unaudited)****...................... $1.00 $0.0023 $(0.0023) Year ended 3/31/2003........................................ 1.00 0.0083 (0.0083) Year ended 3/31/2002........................................ 1.00 0.0170 (0.0170) Year ended 3/31/2001........................................ 1.00 0.0347 (0.0347) Year ended 3/31/2000........................................ 1.00 0.0284 (0.0284) Period ended 3/31/1999*..................................... 1.00 0.0254 (0.0254) Year ended 4/30/1998........................................ 1.00 0.0318 (0.0318) DAILY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0018 $(0.0018) Year ended 3/31/2003........................................ 1.00 0.0067 (0.0067) Year ended 3/31/2002........................................ 1.00 0.0155 (0.0155) Year ended 3/31/2001........................................ 1.00 0.0332 (0.0332) Period ended 3/31/2000**.................................... 1.00 0.0262 (0.0262) SERVICE CLASS SHARES Period ended 9/25/2003 (unaudited)****...................... $1.00 $0.0012 $(0.0012) Year ended 3/31/2003........................................ 1.00 0.0052 (0.0052) Year ended 3/31/2002........................................ 1.00 0.0123 (0.0123) Year ended 3/31/2001........................................ 1.00 0.0292 (0.0292) Period ended 3/31/2000**.................................... 1.00 0.0048 (0.0048) INVESTOR B SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0012 $(0.0012) Year ended 3/31/2003........................................ 1.00 0.0045 (0.0045) Year ended 3/31/2002........................................ 1.00 0.0113 (0.0113) Year ended 3/31/2001........................................ 1.00 0.0282 (0.0282) Period ended 3/31/2000**.................................... 1.00 0.0062 (0.0062) INVESTOR C SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0012 $(0.0012) Year ended 3/31/2003........................................ 1.00 0.0044 (0.0044) Period ended 3/31/2002**.................................... 1.00 0.0000# (0.0000)#
- --------------- + 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. * Fiscal year end changed to March 31. Prior to this, the fiscal year end was April 30. ** Municipal Reserves Institutional Class, Trust Class, Investor Class, Daily Class, Service Class, Investor B Shares and Investor C Shares commenced operations on November 21, 2000, May 17, 1999, April 12, 1999, April 12, 1999, January 21, 2000, December 27, 1999 and March 28, 2002, respectively. **** Municipal Reserves Market Class Shares and Service Class Shares were fully redeemed on September 25, 2003. # Amount represents less than $0.0001 or 0.01%, as applicable. ## Amount represents less than $500. (b)The effect of interest expense on the operating expense ratio was 0.01% SEE NOTES TO FINANCIAL STATEMENTS. 96 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS RATIO OF --------------- RATIO OF NET RATIO OF NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING VALUE END OF EXPENSES TO INCOME/(LOSS) TO EXPENSES TO END OF TOTAL PERIOD AVERAGE NET AVERAGE NET AVERAGE PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS - ----------------------------------------------------------------------------------- $1.00 0.46% $1,362,081 0.20%+ 0.91%+ 0.27%+ 1.00 1.28 1,379,684 0.20 1.23 0.28 1.00 2.18 456,528 0.20 2.03 0.30 1.00 3.99 145,248 0.20 3.93 0.29 1.00 3.34 172,693 0.20 3.29 0.30 1.00 2.96 134,268 0.20+ 3.10+ 0.48+ 1.00 3.61 74,251 0.20(b) 3.53 0.48 $1.00 0.44% $ 720,277 0.24%+ 0.87%+ 0.31%+ 1.00 1.24 204,206 0.24 1.19 0.32 1.00 1.64 85,432 0.24 1.99 0.34 1.00 1.10 16,116 0.24+ 3.89+ 0.33+ $1.00 0.41% $ 469,685 0.30%+ 0.81%+ 0.37%+ 1.00 1.18 505,903 0.30 1.13 0.38 1.00 2.07 491,711 0.30 1.93 0.40 1.00 3.88 488,191 0.30 3.83 0.39 1.00 2.83 526,831 0.30+ 3.19+ 0.40+ $1.00 0.39% $ 170,546 0.35%+ 0.76%+ 1.12%+ 1.00 1.13 120,637 0.35 1.08 1.13 1.00 2.02 45,728 0.35 1.88 1.15 1.00 3.83 35,569 0.35 3.78 1.14 1.00 3.18 89,050 0.35 3.14 1.15 1.00 2.81 68,393 0.35+ 2.95+ 1.33+ 1.00 3.43 53,074 0.35(b) 3.38 1.33 $1.00 0.34% $ 680,319 0.45%+ 0.66%+ 0.52%+ 1.00 1.03 284,866 0.45 0.98 0.53 1.00 1.92 158,556 0.45 1.78 0.55 1.00 3.73 129,807 0.45 3.68 0.54 1.00 3.08 77,511 0.45 3.04 0.55 1.00 2.73 55,434 0.45+ 2.85+ 0.73+ 1.00 3.34 29,936 0.45(b) 3.28 0.73 $1.00 0.29% $ 199,279 0.55%+ 0.56%+ 0.62%+ 1.00 0.93 89,289 0.55 0.88 0.63 1.00 1.82 48,022 0.55 1.68 0.65 1.00 3.63 57,017 0.55 3.58 0.64 1.00 2.90 64,782 0.55+ 2.94+ 0.65+ $1.00 0.23% $ --## 0.65%+ 0.46%+ 0.72%+ 1.00 0.83 150,014 0.65 0.78 0.73 1.00 1.72 223,008 0.65 1.58 0.75 1.00 3.52 169,001 0.65 3.48 0.74 1.00 2.87 149,000 0.65 2.84 0.75 1.00 2.57 146,999 0.61+ 2.69+ 0.93+ 1.00 3.24 92,000 0.55(b) 3.18 0.93 $1.00 0.18% $ 608,055 0.77%+ 0.34%+ 0.87%+ 1.00 0.68 526,658 0.80 0.63 0.88 1.00 1.56 637,172 0.80 1.43 0.90 1.00 3.37 554,876 0.80 3.33 0.89 1.00 2.65 429,644 0.80+ 2.69+ 0.90+ $1.00 0.12% $ --## 0.91%+ 0.20%+ 1.27%+ 1.00 0.52 14,001 0.96 0.47 1.28 1.00 1.24 15,001 1.16 1.03 1.30 1.00 2.96 10,000 1.20 2.93 1.29 1.00 0.48 1,000 1.20+ 2.29+ 1.30+ $1.00 0.12% $ 60 0.89%+ 0.22%+ 1.37%+ 1.00 0.45 59 1.03 0.40 1.38 1.00 1.14 71 1.22 0.93 1.40 1.00 2.86 64 1.30 2.83 1.39 1.00 0.62 91 1.30+ 2.19+ 1.40+ $1.00 0.12% $ 2,502 0.89%+ 0.22%+ 1.37%+ 1.00 0.45 2,525 1.01 0.42 1.38 1.00 0.00# 95 1.30+ 0.93+ 1.40+
SEE NOTES TO FINANCIAL STATEMENTS. 97 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INCOME -------------------------------------- TAX-EXEMPT RESERVES CAPITAL CLASS SHARES* Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0045 $(0.0045) Period ended 3/31/2003...................................... 1.00 0.0095 (0.0095) INSTITUTIONAL CLASS SHARES* Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0043 $(0.0043) Period ended 3/31/2003...................................... 1.00 0.0090 (0.0090) TRUST CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0040 $(0.0040) Year ended 3/31/2003........................................ 1.00 0.0113 (0.0113) Year ended 3/31/2002........................................ 1.00 0.0204 (0.0204) Year ended 3/31/2001........................................ 1.00 0.0383 (0.0383) Year ended 3/31/2000........................................ 1.00 0.0321 (0.0321) Year ended 3/31/1999........................................ 1.00 0.0312 (0.0312) LIQUIDITY CLASS SHARES* Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0037 $(0.0037) Period ended 3/31/2003...................................... 1.00 0.0059 (0.0059) ADVISER CLASS SHARES* Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0032 $(0.0032) Period ended 3/31/2003...................................... 1.00 0.0060 (0.0060) INVESTOR CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0027 $(0.0027) Year ended 3/31/2003........................................ 1.00 0.0089 (0.0089) Year ended 3/31/2002........................................ 1.00 0.0179 (0.0179) Year ended 3/31/2001........................................ 1.00 0.0358 (0.0358) Year ended 3/31/2000........................................ 1.00 0.0298 (0.0298) Year ended 3/31/1999........................................ 1.00 0.0293 (0.0293) DAILY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0017 $(0.0017) Year ended 3/31/2003........................................ 1.00 0.0063 (0.0063) Year ended 3/31/2002........................................ 1.00 0.0154 (0.0154) Year ended 3/31/2001........................................ 1.00 0.0333 (0.0333) Year ended 3/31/2000........................................ 1.00 0.0271 (0.0271) Year ended 3/31/1999........................................ 1.00 0.0263 (0.0263) INVESTOR A SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0022 $(0.0022) Year ended 3/31/2003........................................ 1.00 0.0079 (0.0079) Year ended 3/31/2002........................................ 1.00 0.0169 (0.0169) Year ended 3/31/2001........................................ 1.00 0.0348 (0.0348) Year ended 3/31/2000........................................ 1.00 0.0286 (0.0286) Year ended 3/31/1999........................................ 1.00 0.0278 (0.0278)
- --------------- + 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. * Tax-Exempt Reserves Capital Class, Institutional Class, Liquidity Class and Adviser Class commenced operations on June 13, 2002, June 18, 2002, September 3, 2002 and August 9, 2002, respectively. (b)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 98 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING VALUE END OF EXPENSES TO INCOME/(LOSS) EXPENSES TO END OF TOTAL PERIOD AVERAGE NET TO AVERAGE NET AVERAGE PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS - --------------------------------------------------------------------------------------- $1.00 0.45% $ 558,255 0.20%+ 0.86%+ 0.28%+ 1.00 0.96 275,095 0.20+ 1.13+ 0.28+ $1.00 0.43% $ 98,014 0.24%+ 0.82%+ 0.32%+ 1.00 0.91 23,348 0.24+ 1.09 0.32+ $1.00 0.40% $2,134,393 0.30%+ 0.76%+ 0.38%+ 1.00 1.14 2,411,508 0.30 1.03 0.38 1.00 2.06 2,606,052 0.30 2.00 0.33 1.00 3.89 2,383,067 0.30 3.80 0.33 1.00 3.26 2,037,742 0.30 3.20 0.42 1.00 3.17 2,132,148 0.30(b) 3.11 0.55(b) $1.00 0.37% $ 6,578 0.35%+ 0.71%+ 1.13%+ 1.00 0.59 1,918 0.35+ 0.98+ 1.13+ $1.00 0.32% $ 6,749 0.45%+ 0.61%+ 0.53%+ 1.00 0.60 9,661 0.45+ 0.88+ 0.53+ $1.00 0.27% $ 67,475 0.55%+ 0.51%+ 0.63%+ 1.00 0.89 138,285 0.55 0.78 0.63 1.00 1.81 210,389 0.55 1.75 0.68 1.00 3.63 239,923 0.55 3.55 0.68 1.00 3.02 204,150 0.53 2.97 0.75 1.00 2.97 259,469 0.50(b) 2.91 0.90(b) $1.00 0.17% $ 51,661 0.80%+ 0.26%+ 0.88%+ 1.00 0.64 64,516 0.80 0.53 0.88 1.00 1.55 96,175 0.80 1.50 1.03 1.00 3.38 93,290 0.80 3.30 1.03 1.00 2.74 128,386 0.80 2.70 1.12 1.00 2.66 333,210 0.80(b) 2.61 1.25(b) $1.00 0.22% $ 53,002 0.65%+ 0.41%+ 0.73%+ 1.00 0.79 87,141 0.65 0.68 0.73 1.00 1.70 80,108 0.65 1.65 0.68 1.00 3.53 51,705 0.65 3.45 0.68 1.00 2.90 43,934 0.65 2.85 0.77 1.00 2.81 53,693 0.65(b) 2.76 0.90(b)
SEE NOTES TO FINANCIAL STATEMENTS. 99 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INCOME -------------------------------------- CALIFORNIA TAX-EXEMPT RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0043 $(0.0043) Year ended 3/31/2003........................................ 1.00 0.0115 (0.0115) Year ended 3/31/2002........................................ 1.00 0.0199 (0.0199) Period ended 3/31/2001**.................................... 1.00 0.0153 (0.0153) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0041 $(0.0041) Year ended 3/31/2003........................................ 1.00 0.0106 (0.0106) Year ended 3/31/2002........................................ 1.00 0.0061 (0.0061) Period ended 3/31/2001**.................................... 1.00 0.0003 (0.0003) TRUST CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0038 $(0.0038) Year ended 3/31/2003........................................ 1.00 0.0105 (0.0105) Year ended 3/31/2002........................................ 1.00 0.0189 (0.0189) Year ended 3/31/2001........................................ 1.00 0.0323 (0.0323) Period ended 3/31/2000**.................................... 1.00 0.0239 (0.0239) LIQUIDITY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0036 $(0.0036) Year ended 3/31/2003........................................ 1.00 0.0101 (0.0101) Year ended 3/31/2002**...................................... 1.00 0.0095 (0.0095) ADVISER CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0031 $(0.0031) Year ended 3/31/2003........................................ 1.00 0.0091 (0.0091) Year ended 3/31/2002........................................ 1.00 0.0174 (0.0174) Year ended 3/31/2001........................................ 1.00 0.0308 (0.0308) Period ended 3/31/2000...................................... 1.00 0.0232 (0.0232) Period ended 5/14/1999*..................................... 1.00 0.0052 (0.0052) Year ended 2/28/1999........................................ 1.00 0.0268 (0.0268) INVESTOR CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0026 $(0.0026) Year ended 3/31/2003........................................ 1.00 0.0081 (0.0081) Year ended 3/31/2002........................................ 1.00 0.0164 (0.0164) Year ended 3/31/2001........................................ 1.00 0.0298 (0.0298) Period ended 3/31/2000...................................... 1.00 0.0223 (0.0223) Period ended 5/14/1999*..................................... 1.00 0.0051 (0.0051) Year ended 2/28/1999........................................ 1.00 0.0261 (0.0261) DAILY CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0016 $(0.0016) Year ended 3/31/2003........................................ 1.00 0.0056 (0.0056) Year ended 3/31/2002........................................ 1.00 0.0139 (0.0139) Year ended 3/31/2001........................................ 1.00 0.0273 (0.0273) Period ended 3/31/2000...................................... 1.00 0.0201 (0.0201) Period ended 5/14/1999*..................................... 1.00 0.0045 (0.0045) Year ended 2/28/1999........................................ 1.00 0.0238 (0.0238) INVESTOR B SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0012 $(0.0012) Year ended 3/31/2003........................................ 1.00 0.0022 (0.0022) Year ended 3/31/2002........................................ 1.00 0.0037 (0.0037) Period ended 3/31/2001**.................................... 1.00 0.0038 (0.0038) INVESTOR C SHARES Period ended 9/30/2003 (unaudited)**........................ $1.00 $0.0003 $(0.0003)
- --------------- +Annualized. ++Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. *The financial information for the fiscal periods through May 14, 1999 reflect the financial information for the Pacific Horizon California Tax-Exempt Money Market Fund Horizon Service, S, X and Pacific Horizon Shares, which were reorganized into the California Tax-Exempt Reserves Adviser Class, Daily Class and Investor Class Shares, respectively, as of May 21, 1999. Prior to May 21, 1999, the Fund's investment adviser was Bank of America National Trust and Savings Association. Effective May 21, 1999, its investment adviser became Banc of America Advisors, LLC. and its investment sub-adviser became Banc of America Capital Management, LLC. ** California Tax-Exempt Reserves Capital Class, Institutional Class, Trust Class, Liquidity Class Investor B Shares and Investor C Shares commenced operations on October 3, 2000, March 28, 2001, May 24, 1999, August 10, 2001, December 29, 2000 and August 1, 2003, respectively. #Amount represents less than $500. (a) The effect of the custodial expense offset (Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 100 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) EXPENSES TO VALUE TOTAL PERIOD AVERAGE TO AVERAGE NET AVERAGE END OF PERIOD RETURN++ (000) NET ASSETS ASSETS NET ASSETS - ------------------------------------------------------------------------------------ $1.00 0.43% $ 92,534 0.20%+ 0.88%+ 0.28%+ 1.00 1.17 172,261 0.20 1.15 0.27 1.00 2.01 102,040 0.20 1.38 0.28 1.00 1.54 30 0.20+ 3.33+ 0.28+ $1.00 0.41% $ 46,962 0.24%+ 0.84%+ 0.32%+ 1.00 1.08 1,537 0.24 1.11 0.31 1.00 0.63 --# 0.24 1.34 0.32 1.00 0.03 1,000 0.24+ 3.29+ 0.32+ $1.00 0.38% $381,567 0.30%+ 0.78%+ 0.38%+ 1.00 1.07 435,253 0.30 1.05 0.37 1.00 1.91 360,892 0.30 1.27 0.38 1.00 3.27 338,801 0.30 3.23+ 0.38 1.00 2.41 394,837 0.30+ 2.70+ 0.38+ $1.00 0.36% $ 2,073 0.35%+ 0.73%+ 1.13%+ 1.00 1.01 2,998 0.35 1.00 1.12 1.00 0.95 1,150 0.35+ 1.23+ 1.13+ $1.00 0.31% $460,114 0.45%+ 0.63%+ 0.53%+ 1.00 0.91 502,135 0.45 0.90 0.52 1.00 1.75 298,268 0.45 1.13 0.53 1.00 3.12 318,737 0.45 3.08 0.53 1.00 2.32 360,319 0.45+ 2.55+ 0.53+ 1.00 0.52 636,000 0.50+ 2.49+ 0.52+ 1.00 2.71 709,000 0.49(a) 2.65 0.49(a) $1.00 0.26% $357,697 0.55%+ 0.53%+ 0.63%+ 1.00 0.81 360,205 0.55 0.80 0.62 1.00 1.65 240,724 0.55 1.03 0.63 1.00 3.02 226,491 0.55 2.98 0.63 1.00 2.23 284,041 0.55+ 2.45+ 0.63+ 1.00 0.50 503,000 0.58+ 2.43+ 0.62+ 1.00 2.64 539,000 0.56(a) 2.61 0.59(a) $1.00 0.16% $759,851 0.74%+ 0.34%+ 0.88%+ 1.00 0.56 792,206 0.80 0.55 0.87 1.00 1.40 814,077 0.80 0.78 0.88 1.00 2.76 755,635 0.80 2.73 0.88 1.00 2.01 699,689 0.80+ 2.20+ 0.88+ 1.00 0.45 334,000 0.80+ 2.21+ 0.82+ 1.00 2.41 336,000 0.79(a) 2.35 0.79(a) $1.00 0.12% $ 7 0.84%+ 0.24%+ 1.38%+ 1.00 0.22 7 0.97 0.40 1.37 1.00 0.37 --# 1.30 0.28 1.38 1.00 0.38 64 1.30+ 2.23+ 1.38+ $1.00 0.03% $ 217 0.76%+ 0.32%+ 1.38%+
SEE NOTES TO FINANCIAL STATEMENTS. 101 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET DIVIDENDS VALUE NET FROM NET BEGINNING INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INCOME -------------------------------------- NEW YORK TAX-EXEMPT RESERVES CAPITAL CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0046 $(0.0046) Year ended 3/31/2003........................................ 1.00 0.0122 (0.0122) Period ended 3/31/2002*..................................... 1.00 0.0013 (0.0013) INSTITUTIONAL CLASS SHARES Period ended 9/30/2003 (unaudited)****...................... $1.00 $0.0008 $(0.0008) Period ended 12/22/2002***.................................. 1.00 0.0091 (0.0091) Period ended 3/31/2002*..................................... 1.00 0.0013 (0.0013) TRUST CLASS SHARES Six months ended 9/30/2003 (unaudited)...................... $1.00 $0.0041 $(0.0041) Year ended 3/31/2003........................................ 1.00 0.0112 (0.0112) Period ended 3/31/2002*..................................... 1.00 0.0012 (0.0012) LIQUIDITY CLASS SHARES Period ended 12/22/2002***.................................. $1.00 $0.0094 $(0.0094) Period ended 3/31/2002*..................................... 1.00 0.0013 (0.0013) ADVISER CLASS SHARES Period ended 8/24/2003 (unaudited)+++....................... $1.00 $0.0025 $(0.0025) Period ended 12/22/2002***.................................. 1.00 0.0070 (0.0070) Period ended 3/31/2002*..................................... 1.00 0.0008 (0.0008) INVESTOR CLASS SHARES Period ended 12/22/2002***.................................. $1.00 $0.0069 $(0.0069) Period ended 3/31/2002*..................................... 1.00 0.0008 (0.0008) MARKET CLASS SHARES Period ended 9/30/2003 (unaudited)****...................... $1.00 $0.0003 $(0.0003) Period ended 12/22/2002***.................................. 1.00 0.0068 (0.0068) Period ended 3/31/2002*..................................... 1.00 0.0008 (0.0008) SERVICE CLASS SHARES Period ended 12/22/2002***.................................. $1.00 $0.0018 $(0.0018) Period ended 3/31/2002*..................................... 1.00 0.0000# (0.0000)# INVESTOR B SHARES Period ended 12/22/2002***.................................. $1.00 $0.0018 $(0.0018) Period ended 3/31/2002*..................................... 1.00 0.0000# (0.0000)# INVESTOR C SHARES Period ended 12/22/2002***.................................. $1.00 $0.0018 $(0.0018) Period ended 3/31/2002*..................................... 1.00 0.0000# (0.0000)#
- --------------- + 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. +++New York Tax-Exempt Reserves' Adviser Class Shares re-commenced operations on April 14, 2003 and was fully redeemed on August 24, 2003. * New York Tax-Exempt Reserves Capital Class, Institutional Class, Liquidity Class, Adviser Class, Investor Class, Market Class, Service Class, Investor B and Investor C Shares commenced operations on February 15, 2002. ** Amount represents less than $500. ***New York Tax-Exempt Reserves Institutional Class, Liquidity Class, Adviser Class, Investor Class, Market Class, Service Class, Investor B and Investor C Shares were fully redeemed on December 22, 2002. ****New York Tax-Exempt Reserves Institutional Class and Market Class recommenced operations on August 25, 2003. # Amount represents less than $0.0001 or 0.01%, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 102 NATIONS MONEY MARKET FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) EXPENSES TO VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE AVERAGE END OF PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS - ------------------------------------------------------------------------------------ $1.00 0.46% $ 1,423 0.20%+ 0.94%+ 0.68%+ 1.00 1.23 9,483 0.13 1.27 0.78 1.00 0.13 20,015 0.20+ 1.03+ 4.51+ $1.00 0.07% $45,157 0.24%+ 0.90%+ 0.72%+ 1.00 0.91 --** 0.17+ 1.23+ 0.82+ 1.00 0.13 1 0.24+ 0.99+ 4.55+ $1.00 0.41% $ 9,078 0.30%+ 0.84%+ 0.78%+ 1.00 1.13 17,021 0.23 1.17 0.88 1.00 0.12 826 0.30+ 0.93+ 4.61+ $1.00 0.94% $ --** 0.35%+ 1.12%+ 1.53%+ 1.00 0.13 1 0.35+ 0.88+ 5.36+ $1.00 0.25% $ --** 0.45%+ 0.69%+ 0.93%+ 1.00 0.70 --** 0.38+ 1.02+ 1.03+ 1.00 0.08 1 0.45+ 0.78+ 4.76+ $1.00 0.69% --** 0.55%+ 0.92%+ 1.03%+ 1.00 0.08 1 0.55+ 0.68+ 4.86+ $1.00 0.03% $19,651 0.65%+ 0.49%+ 1.13%+ 1.00 0.68 --** 0.58+ 0.82+ 1.23+ 1.00 0.08 1 0.65+ 0.58+ 4.96+ $1.00 0.18% $ --** 1.20%+ 0.27%+ 1.68%+ 1.00 0.00# 1 1.20+ 0.03+ 5.51+ $1.00 0.18% $ --** 1.30%+ 0.17%+ 1.78%+ 1.00 0.00# 1 1.30+ (0.07)+ 5.6+ $1.00 0.18% $ --** 1.30%+ 0.17%+ 1.78%+ 1.00 0.00# 1 1.30+ (0.07)+ 5.61+
SEE NOTES TO FINANCIAL STATEMENTS. 103 NATIONS MONEY MARKET 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, 2003, Funds Trust offered fifty-seven separate portfolios. These financial statements pertain only to the money market portfolios of Funds Trust: Nations Cash Reserves, Nations Money Market Reserves, Nations Treasury Reserves, Nations Government Reserves, Nations Municipal Reserves, Nations Tax-Exempt Reserves, Nations California Tax-Exempt Reserves and Nations New York Tax-Exempt Reserves (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 eleven classes of shares: Capital Class Shares, Institutional Class Shares, Trust Class Shares, Liquidity Class Shares, Adviser Class Shares, Investor Class Shares, Market Class Shares, Daily Class Shares, Service Class Shares, Investor B Shares and Investor C Shares. Cash Reserves, Treasury Reserves, Government Reserves and Tax-Exempt Reserves offer Investor A Shares. Cash Reserves also offers Marsico 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 are valued on the basis of amortized cost, which approximates current market value. Amortized cost valuation involves initially valuing an instrument at its cost and thereafter assuming a constant accretion to maturity of any discount or amortization of any premium, as long as the effect of fluctuating interest rates on the market value of the instrument is not significant. Restricted securities and certain other assets may be valued under procedures adopted by the Board of Trustees. Repurchase agreements: Each Fund may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, a Fund takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the obligation of the Fund to resell, the underlying debt obligation at an agreed-upon price and date, thereby determining the yield during the Fund's holding period. This arrangement results in a fixed rate of return that is not subject to market fluctuations during the Fund's holding period. The value of the collateral must be at least equal at all times to the total amount of the repurchase obligation, including interest. 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 securities, including the risk of a possible decline in the value of the underlying securities during the period the Fund seeks to assert its right. The Funds' investment adviser, under the oversight of the Board of Trustees, monitors the value of collateral received as well as the creditworthiness of those banks and dealers with which the Funds enter into repurchase agreements to evaluate potential risks. Reverse repurchase agreements: Each Fund may enter into reverse repurchase agreements with institutions that the Funds' investment adviser has determined are creditworthy. Under the terms of a typical reverse repurchase agreement, a Fund sells securities and agrees to repurchase them at a mutually agreed upon date and price. At the time the Fund enters into a reverse repurchase agreement, it is required to have segregated assets with a current value at least equal to the Fund's obligations arising under the reverse repurchase agreement. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of securities received by the Fund may decline below the price of the securities that the Fund is obligated to repurchase. In the event the buyer of securities under a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund's use of proceeds of the agreement may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund's obligation to repurchase the securities. 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 104 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. 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: It is the policy of each Fund to declare dividends from net investment income daily and to pay such dividends monthly. Each Fund will distribute net realized short-term capital gains annually after the fiscal year in which the capital gains were earned or more frequently to seek to maintain a net asset value of $1.00 per share, unless offset by any available capital loss carryforward. Dividends and distributions to shareholders are recorded on the ex-dividend date. 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 Capital Management, LLC ("BACAP"), 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 BACAP provides investment advisory services to the Funds. Under the terms of the Investment Advisory Agreement, BACAP is entitled to receive an advisory fee, calculated daily and payable monthly, at the maximum annual rate of 0.15% of each Fund's average daily net assets. BACAP Distributors, LLC ("BACAP Distributors"), a wholly-owned subsidiary of Bank of America, serves as sole administrator of Funds Trust. Under the administration agreement, BACAP Distributors is currently entitled to receive a fee, computed daily and paid monthly, at the maximum annual rate of 0.10% of each Fund's average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of Funds Trust pursuant to an agreement with BACAP Distributors. For the six months ended September 30, 2003, BACAP Distributors earned 0.06% (annualized) of the Funds' average daily net assets (net of waivers and sub-administrator fees) for its administration services. BACAP and/or its affiliates may, from time to time, reduce their fees payable by each Fund. During the six months ended September 30, 2003 and until July 31, 2004, BACAP has agreed to reimburse expenses and/or waive fees to the extent that total expenses (excluding interest expense, shareholder servicing, shareholder administration and distribution fees) exceed an annual rate of 0.20% of each Fund's average daily net assets. BACAP is entitled to recover from Cash Reserves, Money Market Reserves, Treasury Reserves, Government Reserves, Municipal Reserves, Tax-Exempt Reserves, California Tax-Exempt Reserves and New York Tax-Exempt Reserves any fees waived or expenses reimbursed by BACAP during the three year period following the date of 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. 105 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) At September 30, 2003, the amounts potentially recoverable by BACAP pursuant to this arrangement are as follows:
POTENTIAL POTENTIAL POTENTIAL AMOUNT TO AMOUNT AMOUNT TO AMOUNT TO RECOVER WITHIN RECOVERED RECOVER WITHIN RECOVER WITHIN 3 YEARS DURING THE PERIOD 3 YEARS 3 YEARS AS OF ENDED FUND AS OF 9/30/03 AS OF 3/31/03 3/31/02 9/30/03 - ------------------------------------------------------------------------------------------------------------------------------- Cash Reserves......................................... $22,292,769 $41,801,556 $ -- $ -- Money Market Reserves................................. 4,936,733 7,650,773 -- -- Treasury Reserves..................................... 3,609,408 6,180,619 -- -- Government Reserves................................... 1,635,022 3,023,654 -- -- Municipal Reserves.................................... 1,311,750 1,982,384 -- -- Tax-Exempt Reserves................................... 1,192,392 1,996,391 -- -- California Tax-Exempt Reserves........................ 827,255 1,496,692 -- -- New York Tax-Exempt Reserves.......................... 97,287 371,623 -- --
BNY serves as the custodian of Funds Trust's assets. For the six months ended September 30, 2003, expenses of certain Funds were reduced by $42,640 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. Municipal Reserves, Tax-Exempt Reserves, California Tax-Exempt Reserves and New York Tax-Exempt Reserves do not participate in the expense offset arrangements. PFPC Inc. serves as the transfer agent for the Funds' shares. Bank of America serves as the sub-transfer agent for the Capital and Trust Class Shares of the Funds. Bank of America is entitled to receive from the transfer agent a fee equal to the costs incurred by Bank of America in providing services pursuant to its obligations as sub-transfer agent at the annual rate of up to 0.01% attributable to the net assets of the Capital Class shares and Trust Class shares of the Funds. For the six months ended September 30, 2003, Bank of America earned approximately $195,586 for providing such services and is included in "Transfer agent fees" on the Statements of operations. BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2003, the Funds were informed that the distributors received the following:
CONTINGENT DEFERRED SALES CHARGE (000) -------------------------------------------------- FUND INVESTOR INVESTOR A INVESTOR B INVESTOR C - ---------------------------------------------------------------------------------------------------------------- Cash Reserves............................................... $ --* $115 $162 $9 Money Market Reserves....................................... -- -- 34 -- Treasury Reserves........................................... -- -- -- -- Government Reserves......................................... -- -- --* -- Municipal Reserves.......................................... -- -- -- -- Tax-Exempt Reserves......................................... --* -- -- -- California Tax-Exempt Reserves.............................. -- -- -- --* New York Tax-Exempt Reserves................................ -- -- -- --
- --------------- *Amount represents less than $500. No officer, director or employee of Bank of America, BACAP Distributors 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 the Nations Treasury Reserves. 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 Statements of net assets. A significant portion of certain share classes represents investments by fiduciary accounts over which Bank of America has either sole or joint discretion. 106 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) Certain other affiliated Nations Funds have made daily investments of cash balances in Cash Reserves pursuant to an exemptive order received from the Securities and Exchange Commission. At September 30, 2003, approximately 4.58% of the net assets of the Cash Reserves was held by other affiliated Nations Funds. The fees earned by BACAP and BACAP Distributors from such investments are included in its Statement of operations as "Investment advisory fee" and "Administration fee". Certain other affiliated Nations Funds have made daily investments of cash balances in Tax-Exempt Reserves pursuant to an exemptive order received from the Securities and Exchange Commission. At September 30, 2003, approximately 1.70% of the net assets of the Tax-Exempt Reserves was held by other affiliated Nations Funds. The fees earned by BACAP and BACAP Distributors from such investments are included in its Statement of operations as "Investment advisory fee" and "Administration fee". 3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS Funds Trust has adopted distribution plans pursuant to Rule 12b-1 under the 1940 Act for Liquidity Class Shares ("Liquidity Class Shares Plan"), Market Class Shares ("Market Class Shares Plan"), Daily Class Shares ("Daily Class Shares Plan"), Investor Class Shares ("Investor Class Shares Plan"), Investor A Shares ("Investor A Shares Plan"), Investor B Shares ("Investor B Shares Plan"), Investor C Shares ("Investor C Shares Plan") and Service Class Shares ("Service Class Shares Plan") of the Funds. Under the Liquidity Class Shares Plan, Funds Trust may reimburse BACAP Distributors for actual expenses incurred by BACAP Distributors in connection with its distribution efforts up to 0.30% of the average daily net assets of the Liquidity Class Shares of the Funds. Under the Market Class Shares Plan, Funds Trust may compensate or reimburse BACAP Distributors for distribution activities or expenses up to 0.20% of the average daily net assets of the Market Class Shares of the Funds. Under the Daily Class Shares Plan, Funds Trust may reimburse BACAP Distributors for actual expenses incurred by BACAP Distributors in connection with its distribution efforts up to 0.35% of the average daily net assets of the Daily Class Shares of the Funds. Under the Investor Class Shares Plan and Investor A Shares Plan, Funds Trust may reimburse BACAP Distributors for actual expenses incurred by BACAP Distributors in connection with its distribution efforts up to 0.10% of the average daily net assets of the Investor Class Shares and Investor A Shares of the Funds. Under the Investor B Shares Plan, Investor C Shares Plan and Service Class Shares Plan, Funds Trust may reimburse BACAP Distributors for actual expenses incurred by BACAP Distributors in connection with its distribution efforts up to 0.75% of the average daily net assets of the Investor B Shares, Investor C Shares and Service Class Shares of the Funds. Currently, Funds Trust is not reimbursing BACAP Distributors for distribution expenses for Liquidity Class Shares. Unreimbursed expenses incurred by BACAP Distributors in a given year may not be recovered by BACAP Distributors in subsequent years. In addition, the Liquidity Class Shares Plan permits Funds Trust to pay BACAP Distributors an annual fee of up to 0.30% of the average daily net assets of the Liquidity Class Shares of the Cash Reserves, Money Market Reserves, Government Reserves, Municipal Reserves and California Tax-Exempt Reserves and 0.35% of the average daily net assets of Treasury Reserves. BACAP Distributors may use this fee to compensate certain financial institutions, with which it has entered into servicing and/or distribution agreements, that provide administrative and/or distribution services to Liquidity Class shareholders. Currently, Funds Trust is not compensating BACAP Distributors for providing such services. Funds Trust also has adopted shareholder servicing plans ("Servicing Plans") for the Liquidity, Adviser, Market, Daily, Investor, Investor A, Investor B, Investor C, Service Class and Marsico Shares of the Funds. Under the Servicing Plans, a Fund may pay servicing agents that have entered into a shareholder servicing agreement with Funds Trust for certain shareholder support services that are provided by the servicing agents to holders of the classes' shares. Payments under the Servicing Plans will not exceed 0.25%, on an annualized basis, of the average daily net assets of the classes' shares and are charged as expenses of each Fund directly to the applicable share class. Funds Trust also has adopted shareholder administration plans ("Administration Plans") for the Investor A, Investor B, Investor C, Trust Class, Marsico Shares and Institutional Class Shares of the Funds. Under the Administration Plans, a Fund may pay servicing agents that have entered into a shareholder administration agreement with Funds Trust for certain shareholder support services that are 107 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) provided by the servicing agents to holders of the classes' shares. Payments under the Administration Plans will not exceed 0.10% on an annualized basis of the average daily net assets of the Investor A, Investor B, Investor C, Trust Class, Marsico Shares and 0.04% on an annualized basis of the average daily net assets of Institutional Class Shares. These payments are charged as expenses of each Fund directly to the applicable share class. For the six months ended September 30, 2003 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 --------------------- DISTRIBUTION PLAN: Liquidity Class: Treasury Reserves......................................... 0.00%* 0.65% Other Funds............................................... 0.00%* 0.60% Investor Class, Investor A Shares........................... 0.10% 0.10% Market Class................................................ 0.20% 0.20% Daily Class................................................. 0.35% 0.35% Service Class, Investor B and Investor C Shares............. 0.75% 0.75% SHAREHOLDER SERVICING PLAN: Liquidity Class............................................. 0.15%** 0.25% Adviser, Investor, Market, Daily, Service Class, Investor A, Investor B, Investor C Shares and Marsico Shares.......... 0.25% 0.25% SHAREHOLDER ADMINISTRATION PLAN: Trust Class, Investor A, Investor B, Investor C Shares and Marsico Shares............................................ 0.10% 0.10% Institutional Class......................................... 0.04% 0.04%
- --------------- * During the six months ended September 30, 2003 and until July 31, 2004, BACAP Distributors has agreed to waive Distribution Plan fees for the Liquidity Class of Treasury Reserves as a percentage of the Fund's average daily net assets at an annual rate of 0.65% and for all other Funds as a percentage of their respective average daily net assets at an annual rate of 0.60%. **During the six months ended September 30, 2003 and until July 31, 2004, BACAP Distributors has agreed to waive Shareholder Servicing Plan fees for the Liquidity Class as a percentage of each Fund's average daily net assets at an annual rate of 0.10%. During the six months ended September 30, 2003, BACAP Distributors voluntarily waived distribution fees, expressed as an average annualized percentage of each Fund's daily net assets of its respective share class:
FUND CLASS RATE - --------------------------------------------------------------------------------------------------- California Tax-Exempt Reserves.............. Daily Class................................. 0.06% California Tax-Exempt Reserves.............. Investor B.................................. 0.47% California Tax-Exempt Reserves.............. Investor C.................................. 0.54% Cash Reserves............................... Service Class............................... 0.19% Cash Reserves............................... Investor B.................................. 0.28% Cash Reserves............................... Investor C.................................. 0.27% Government Reserves......................... Service Class............................... 0.23% Government Reserves......................... Investor B.................................. 0.32% Money Market Reserves....................... Service Class............................... 0.22% Money Market Reserves....................... Investor B.................................. 0.32% Money Market Reserves....................... Investor C.................................. 0.32% Municipal Reserves.......................... Daily Class................................. 0.03% Municipal Reserves.......................... Service Class............................... 0.29% Municipal Reserves.......................... Investor B.................................. 0.41% Municipal Reserves.......................... Investor C.................................. 0.41% Treasury Reserves........................... Service Class............................... 0.25% Treasury Reserves........................... Investor B.................................. 0.26% Treasury Reserves........................... Investor C.................................. 0.18%
A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BACAP Distributors. 108 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) 4. SHARES OF BENEFICIAL INTEREST At September 30, 2003, an unlimited number of shares of beneficial interest without par value was 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. 5. RESTRICTED SECURITIES A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933. The Funds do not have the right to demand that such securities be registered. Disposal of these securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult. No Fund will invest more than 10% of the value of its net assets in securities that are considered illiquid. The following securities are considered both illiquid and restricted as to resale. Accordingly, they are valued at their fair value under procedures adopted by the Board of Trustees. CASH RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/03 PER UNIT 9/30/03 ASSETS 9/30/03 SECURITY DATE (000) 9/30/03 (000) 9/30/03 (000) - ------------------------------------------------------------------------------------------------------------------------ CCN Bluegrass I LLC: 1.190%+ 10/20/03...................... 07/25/03 $ 25,000 $1.00 25,000 0.0%* $ 25,000 1.190%+ 10/20/03...................... 07/25/03 25,000 1.00 25,000 0.0* 25,000 Deutsche Bank AG, (New York): 1.310%+ 10/30/03++.................... 04/11/03 1,000,000 1.00 1,000,000 1.6 1,000,000 1.340%+ 12/10/03++.................... 03/03/03 200,000 1.00 200,000 0.3 200,000 GE Life Annuity, 1.230%+ 11/25/03++.................... 05/23/02 100,000 1.00 100,000 0.2 100,000 Goldman Sachs Group Inc., 1.160%+ 10/12/03++.................... 08/20/03 300,000 1.00 300,000 0.5 300,000 Jackson National Life Insurance Company, 1.230%+ 12/15/03++.................... 06/14/96 50,000 1.00 50,000 0.1 50,000 Monumental Life, 1.270%+ 10/01/03++.................... 03/25/02 300,000 1.00 300,000 0.5 300,000 Strips III LLC, 1.170%+ 10/24/03++.................... 07/24/03 48,623 1.00 48,623 0.1 48,623 SunAmerica Life Insurance Company of America, 1.200%+ 10/01/03++.................... 07/01/02 125,000 1.00 125,000 0.2 125,000 Transamerica Occidental Life Insurance Company: 1.330%+ 10/01/03++.................... 07/31/00 125,000 1.00 125,000 0.2 125,000 1.360%+ 10/01/03++.................... 07/31/00 117,000 1.00 117,000 0.2 117,000 1.250%+ 11/03/03++.................... 07/31/00 20,000 1.00 20,000 --* 20,000 Travelers Property Casualty Corporation, 1.223%+ 11/03/03++.................... 07/10/02 132,000 1.00 132,000 0.2 132,000
- --------------- + Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2003. ++ Reset date. Interest rates reset either daily, weekly, monthly or quarterly. * Amount represents less than 0.1%. 109 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) MONEY MARKET RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/03 PER UNIT 9/30/03 ASSETS 9/30/03 SECURITY DATE (000) 9/30/03 (000) 9/30/03 (000) - -------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group Inc., 1.160%+ 10/12/03++........................ 08/20/03 $100,000 $1.00 $100,000 0.8% $100,000
- --------------- + Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2003. ++ Reset date. Interest rates reset either daily, weekly, monthly or quarterly. TREASURY RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/03 PER UNIT 9/30/03 ASSETS 9/30/03 SECURITY DATE (000) 9/30/03 (000) 9/30/03 (000) - -------------------------------------------------------------------------------------------------------------------------- Deutsche Bank Securities Inc., 1.290% 09/16/04........................... 08/21/03 $200,000 $1.00 $200,000 1.9% $200,000
MUNICIPAL RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/03 PER UNIT 9/30/03 ASSETS 9/30/03 SECURITY DATE (000) 9/30/03 (000) 9/30/03 (000) - ---------------------------------------------------------------------------------------------------------------------------- Atlanta, Georgia Airport Revenue, Series 2001, AMT, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.260%** 01/01/25.......................... 04/03/03 $12,960 $1.00 $12,960 0.3% $12,960 Dallas-Fort Worth, Texas International Airport Revenue, Series 2003, AMT, (Merrill Lynch Capital Services SBPA), 1.150%** 05/01/11................. 05/16/03 9,840 1.00 9,840 0.2 9,840 Huntsville, Alabama Solid Waste Disposal Authority and Resources Recovery Revenue, Series 2003, AMT, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.100%** 10/01/12.......................... 07/25/03 3,450 1.00 3,450 0.1 3,450 Oklahoma Housing Finance Agency Single Family Revenue, (Home Ownership Loan Program) Series 2001PT-1288, AMT, (GNMA Collateral Agreement, Merrill Lynch SBPA), 1.180%** 09/01/29................................. 12/14/01 4,210 1.00 4,210 0.1 4,210 Sedgwick & Shawnee Counties, Kansas Single Family Revenue, Series 2002, 1.180%** 12/01/27................................. 07/18/02 5,110 1.00 5,110 0.1 5,110 University of Illinois, University Revenue, Series 2003, (AMBAC Insured, Wachovia Bank N.A. SBPA), 1.150%** 04/01/34................................. 08/12/03 7,665 1.00 7,665 0.2 7,665
- --------------- **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. These securities are subject to demand features of either one, seven or thirty days. 110 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) TAX-EXEMPT RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/03 PER UNIT 9/30/03 ASSETS 9/30/03 SECURITY DATE (000) 9/30/03 (000) 9/30/03 (000) - ---------------------------------------------------------------------------------------------------------------------------- Houston, Texas Water and Sewer Systems Revenue, Series 2002, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.190%** 12/01/23............................ 05/01/03 $12,495 $1.00 $12,495 0.4% $12,495
- --------------- **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. These securities are subject to demand features of either one, seven or thirty days. CALIFORNIA TAX-EXEMPT RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/03 PER UNIT 9/30/03 ASSETS 9/30/03 SECURITY DATE (000) 9/30/03 (000) 9/30/03 (000) - ---------------------------------------------------------------------------------------------------------------------------- ABN AMRO Munitops Certificates Trust, California, Series 2003, (FGIC Insured, ABN AMRO Bank N.V. SBPA), 1.120% 08/01/11.............................. 05/15/03 $ 8,895 $1.00 $ 8,895 0.4% $ 8,895 Puerto Rico Commonwealth Highway and Transportation Authority Revenue, (AMBAC Insured, Merrill Lynch Liquidity Facility), 1.000%** 01/01/19............................ 07/11/02 16,355 1.00 16,355 0.8 16,355 Puerto Rico Commonwealth Infrastructure Financing Authority, Series 2000-2, (Toronto-Dominion Bank Liquidity Facility), 1.000%** 10/01/32............................ 10/12/00 21,330 1.00 21,330 1.0 21,330 Puerto Rico Commonwealth Infrastructure Financing Authority, Series 2000-1, 1.000%** 10/01/34............................ 07/24/03 7,370 1.00 7,370 0.4 7,370
- --------------- **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. These securities are subject to demand features of either one, seven or thirty days. NEW YORK TAX-EXEMPT RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/03 PER UNIT 9/30/03 ASSETS 9/30/03 SECURITY DATE (000) 9/30/03 (000) 9/30/03 (000) - -------------------------------------------------------------------------------------------------------------------------------- Puerto Rico Commonwealth Highway and Transportation Authority Revenue, (AMBAC Insured, Merrill Lynch Liquidity Facility), 1.000%** 01/01/19................................ 07/10/03 $650 $1.00 $650 0.9% $650
- --------------- **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. These securities are subject to demand features of either one, seven or thirty days. 6. LINE 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"). The Agreement is renewable on an annual basis. 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 111 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) amounts borrowed pursuant to the Agreement) to aggregate amount of indebtedness pursuant to the Agreement of no less than 4 to 1. The Funds had no borrowings outstanding at September 30, 2003. During the six months ended September 30, 2003, there were no borrowings by the Funds under the Agreement. 7. INCOME TAXES Information on the tax components of capital at September 30, 2003 is as follows:
NET TAX UNREALIZED COST OF APPRECIATION/ INVESTMENTS GROSS TAX GROSS TAX (DEPRECIATION) FOR TAX UNREALIZED UNREALIZED ON PURPOSES APPRECIATION DEPRECIATION INVESTMENTS FUND (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------- Cash Reserves............................................... $62,720,005 $ -- $ -- $ -- Money Market Reserves....................................... 12,135,204 -- -- -- Treasury Reserves........................................... 10,144,237 -- -- -- Government Reserves......................................... 4,862,024 -- -- -- Municipal Reserves.......................................... 4,167,260 -- -- -- Tax-Exempt Reserves......................................... 2,974,751 -- -- -- California Tax-Exempt Reserves.............................. 2,077,912 -- -- -- New York Tax-Exempt Reserves................................ 75,240 -- -- --
At March 31, 2003, the Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING IN 2004 IN 2005 IN 2006 IN 2007 IN 2010 IN 2011 FUND (000) (000) (000) (000) (000) (000) - -------------------------------------------------------------------------------------------------------------------------------- Cash Reserves............................................. $256 $23 -- $41 $-- $67 Treasury Reserves......................................... 31 14 $9 -- $17 21
During the year ended March 31, 2003, the following Funds utilized capital losses as follows:
CAPITAL LOSSES UTILIZED FUND (000) - ----------------------------------------------------------------------------- Municipal Reserves.......................................... $32
Under 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, 2003, the following Funds have elected to defer losses occurring between November 1, 2002 and March 31, 2003 under these rules, as follows:
CAPITAL LOSSES DEFERRED FUND (000) - ----------------------------------------------------------------------------- Cash Reserves............................................... $586 Treasury Reserves........................................... 19 Government Reserves......................................... 8
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2004. 8. REORGANIZATIONS FUND REORGANIZATION On May 10, 2002, certain Funds, as listed below (each an "Acquiring Fund"), acquired the assets and assumed the liabilities of certain Nations Money Market Funds, also listed below (each an "Acquired Fund"), in a tax-free 112 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) reorganization in exchange for shares of the Acquiring Fund, pursuant to a plan of reorganization approved by the Acquired Fund's shareholders. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets as of the reorganization date were as follows:
TOTAL NET ASSETS TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION ACQUIRING FUND ACQUIRED FUND (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------ Cash Reserves Prime $5,107,874 $82,547,070 $87,654,944 Treasury Reserves Treasury Government Money 1,467,607 10,209,589 11,677,196 Government Reserves Market 354,822 4,928,622 5,283,444
CHANGE OF REGISTERED INVESTMENT COMPANY On May 10, 2002, each Fund of Nations Reserves listed in the left column below (each a "Fund") reorganized into a newly created successor fund of Nations Funds Trust listed in the right column below, that is substantially identical to the existing Fund. The acquisition was accomplished by a tax-free exchange of shares of each Fund for shares of equal value of the newly created successor fund. The financial statements of each successor fund reflects the historical financial results of each Fund prior to the reorganization.
FUND REORGANIZED INTO A NEWLY CREATED SUCCESSOR FUND - ---------------------------------------------------------------------------------------------- Cash Reserves Cash Reserves Money Market Reserves Money Market Reserves Treasury Reserves Treasury Reserves Government Reserves Government Reserves Municipal Reserves Municipal Reserves California Tax-Exempt Reserves California Tax-Exempt Reserves
On May 10, 2002, the Tax Exempt Fund of Nations Fund Trust (the "Fund"), reorganized into a newly created successor fund of Nations Funds Trust, Tax-Exempt Reserves, that is substantially identical to the existing Fund. The acquisition was accomplished by a tax-free exchange of shares of the 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. 9. EVENTS On September 3, 2003, the Office of the Attorney General for the State of New York ("NYAG") simultaneously filed and settled a complaint against Canary Capital Partners, LLC, et al. (collectively, "Canary"). The complaint alleged, among other things, that Canary engaged in improper trading in certain Nations Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and also "late trading." The NYAG later announced a criminal action, and the SEC announced a civil action, against a former employee of Banc of America Securities, LLC, a selling agent affiliated with the Nations Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name Nations Funds, among others, as defendants. The independent Trustees of Funds Trust have engaged independent legal counsel and, through them, independent accountants to determine the extent of any "late trading" or improper "market timing" activity in any of the Funds and to determine the extent of any losses suffered by the Funds from such activity and/or the amount of any disgorgement that should be made. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of Funds Trust jointly announced that: (i) to the extent that the independent counsel and accountants determine that the Funds were adversely affected by any late trading or any discretionary market timing agreement, BACAP would make appropriate restitution; and (ii) BACAP and BACAP Distributors would promptly return to the Funds that were the subject of a market timing agreement all advisory and administration fees they received as a result of such an agreement, irrespective as to whether or not there is an independent determination of any negative impact to any Fund shareholders. In addition, Bank of America Corporation has also agreed to make appropriate reimbursement of costs incurred by Nations Funds in 113 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) connection with this matter. Bank of America Corporation has also announced the establishment of a restitution fund for shareholders of the Funds who were harmed by the late trading and improper market timing practices of Canary. With regard only to the commitment noted above to promptly return certain fees, the Funds recorded the following receivables to reflect the return of investment advisory fees earned by BACAP, or its predecessors, (net of waivers) and administration fees earned by BACAP Distributors, or its predecessors, (net of waivers, if any) related to a market timing agreement during the indicated periods as follows: Nations Cash Reserves (May 2001 through July 2003) -- $106,000. The receivable is expected to be paid on or about November 28, 2003 and was recorded as a reimbursement in the Statement of operations of the impacted Fund. The receivable described in the preceding paragraphs reflects only the return of fees received by BACAP and BACAP Distributors as a result of a discretionary market timing agreement, and does not reflect Bank of America Corporation's pledge of restitution to those Funds that were adversely affected by any late trading or any discretionary market timing agreement. A review of the harm to Fund shareholders as a result of any late trading or any discretionary market timing arrangement remains ongoing. 114 P.O. Box 34602 Charlotte, NC 28254-4602 Toll free 1.800.626.2275 (institutional investors) Toll free 1.800.321.7854 (individual investors) NATIONS FUNDS MONEYSAR (9/03) Nations Global Value Fund Nations International Value Fund Nations International Equity Fund INTERNATIONAL/GLOBAL STOCK FUNDS Nations Marsico ---------------------------------- International Opportunities Semiannual report for the period Fund ended September 30, 2003 [NATIONS FUNDS LOGO] For a free copy of the fund's proxy voting guidelines visit www.nationsfunds.com, call 1.800.321.7854, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov. 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. BACAP Distributors, LLC and Banc of America Capital Management, LLC are the distributor and investment adviser to Nations Funds, respectively. They and other affiliates of Bank of America provide services to Nations Funds and receive fees for such services. BACAP Distributors, LLC, member NASD, SIPC NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE CHAIRMAN'S AND PRESIDENT'S MESSAGE Dear Shareholder: The six-month period ended September 30, 2003, marked a significant turning point for investors. Since the official end of the recession in November 2001, investors have anxiously sifted through news for signs that the U.S. economy was regaining its footing. At last, the picture drawn by both improving corporate profits and the broad array of economic indicators may be inspiring renewed confidence in the U.S. economy. During the reporting period, three powerful forces -- fiscal policy, monetary policy and a weak dollar -- converged to stimulate the U.S. economic recovery. The U.S. Federal Reserve has lowered the overnight lending rate 13 times in the current cycle, pushing its target Federal Funds rate to the lowest level in 45 years. At the same time, federal spending and expected reductions in federal tax rates have prompted increased consumer and business spending. GENUINE RECOVERY UNDERWAY Although real gross domestic product (GDP) has increased in each of the last eight quarters, the pace of economic activity accelerated sharply during the reporting period. GDP growth featured robust consumer spending, a larger-than- expected pickup in business capital spending, strong homebuilding, and the fastest U.S. export growth in more than a year. The transition from an economy driven by massive stimulus -- low interest rates and tax cuts -- to one characterized by self-generating growth depends in large part on improvement in overall employment. While the economy has made visible progress in the areas of business spending and foreign demand, the outlook for the U.S. labor market has been a persistent worry for investors. Strong productivity gains, once blamed for lagging job creation, are now producing wider profit margins, stronger business spending and the faster GDP needed to support labor market improvement in coming months. In addition, the encouraging performance of the world's largest economy has rippled across global markets where the outlook for major foreign economies also is brightening. In fact, the global economy seems poised for a synchronized recovery. CAPITAL MARKETS REBOUND During the period, the capital markets reflected an increasingly optimistic view as to the vigor and sustainability of the U.S. economic recovery. Although performance has been strong across all market segments, investors have focused more narrowly on those areas with the greatest sensitivity to an improving environment. Since March, stocks outperformed most fixed-income markets, as the generally riskier components of the capital markets outpaced their higher quality counterparts. Year-to-date as of September 30, the Standard and Poor's 500 Composite Stock Price Index returned 14.72%, the NASDAQ Composite Index returned 34.27% and the Dow Jones Industrial Average returned 13.13%.* Fixed-income markets have been volatile since late 2002, responding to various factors, including geopolitical developments and changes in the economy. During the period, the yield curve remained quite steep with spreads between the 30-day Treasury bills and the 10-year Treasury note exceeding 350 basis points. Since touching the lowest level in over four decades of 3.13% in June, the yield on long-term Treasuries has backed up by nearly 150 basis points, trading in a range between around 3.90% and 4.60% in September. Treasuries, which had been a safe haven for wary investors during the extended bear market, lost some of their luster as equities began to revive. Accumulating evidence of economic growth in an environment of historically low inflation and interest rates encouraged investors to migrate to lower quality bonds, and high yield markets surged. Year-to-date, high yield bonds outperformed investment grade corporate bonds by more than four times. Through September 30, the US High-Yield BB& B Rated Market Index returned 22.76% to investors, compared with 3.78% for the Lehman *Standard and Poor's 500 Composite Stock Price Index: an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. The NASDAQ Composite Index: covers 4,500 stocks traded over the counter. It is an unmanaged value-weighted index calculated on price change only and does not include income. It is not an industry-neutral index; it is disproportionately technology-heavy. The Dow Jones Industrial Average (DJIA) is an unmanaged index of common stocks comprised of major industrial companies and assumes reinvestment of dividends and capital gains. 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. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... Aggregate Bond Index.** Note that high yield bonds offer the potential for higher income than other debt securities, but they also have higher risk. INVESTMENT OUTLOOK We are generally optimistic about the investing environment. Despite ongoing concerns about geopolitical tensions, most notably, continuing instability in the Middle East, and disappointment stemming from recent events in the mutual fund industry, we believe the outlook for investors has improved during the past six months. We believe the combination of low interest rates, tax cuts and a weaker dollar that restarted the U.S. economic engine, has generated momentum for growth in 2004. In general, we expect continued strong growth in GDP, modest increases in interest rates and continued low inflation for the U.S. economy. INQUIRY UPDATE Nations Funds shareholders have so far received two letters, dated September 19 and 23, 2003 describing actions taken by Bank of America and the Nations Funds Board of Trustees as a result of investigations into mutual fund trading activities. In addition to the steps outlined in these letters, Bank of America has announced the intention to provide restitution for shareholders of Nations Funds who were harmed by certain late trading and market timing practices. The independent members of the Nations Funds Board of Trustees have engaged the law firm of Willkie Farr & Gallagher and, through them, Deloitte & Touche's Investment Management Advisory Service Group to analyze the extent of any adverse monetary impact on shareholders and other matters. Nations Funds shareholders will not bear any costs related to these actions. Independent advisors Dale Frey, former president and chairman of the General Electric Investment Corporation, and Maureen Bateman, former general counsel of State Street Corporation and U.S. Trust, have been hired by Bank of America to conduct independent reviews. Mr. Frey is reviewing mutual fund policies and practices. Ms. Bateman is reviewing legal and regulatory compliance. Promontory Financial Group has been engaged by Bank of America to coordinate a detailed review of all technology, control, and compliance systems related to the mutual fund business. As these actions demonstrate, Bank of America is committed to making appropriate restitution to affected Nations Funds shareholders and to taking all appropriate actions. Both Bank of America and Nations Funds Board of Trustees are committed to ensuring that our mutual fund policies and practices are at the highest level of industry standards. Nothing is more important than the trust and confidence of Nations Funds shareholders. Bank of America continues to look for opportunities to reinforce its investment advisory unit's professional ranks. In this regard, we are pleased to introduce the recently named president of Banc of America Capital Management, LLC, Keith Winn, who has over 20 years of experience in the investment industry. Sincerely, /S/ WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS /S/ KEITH WINN H. KEITH WINN PRESIDENT BANC OF AMERICA CAPITAL MANAGEMENT, LLC October 14, 2003 **The US High-Yield BB& B Rated Market Index captures the performance of below-investment-grade debt issued by corporations domiciled in the United States or Canada. Securities in the index have remaining maturities of at least 1 year, at least $100 million outstanding and are rated BB or B by Standard and Poor's or Moody's. Please note that an investor cannot invest directly in an index; 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. TABLE OF CONTENTS FINANCIAL STATEMENTS Statements of net assets Nations Global Value Fund 3 Nations International Value Fund 6 Nations International Equity Fund 7 Nations Marsico International Opportunities Fund 12 Statements of operations 16 Statements of changes in net assets 18 Schedules of capital stock activity 20 Financial highlights 24 Notes to financial statements 32 Statements of net assets -- Nations Master Investment Trust Nations International Value Master Portfolio 44 Statements of operations 47 Statements of changes in net assets 48 Financial highlights 48 Notes to financial statements 49
NATIONS FUNDS [DALBAR LOGO] RECOGNIZED FOR OUTSTANDING DALBAR, Inc. is a well-respected SHAREHOLDER SERVICE research firm that measures customer service levels and IN RECOGNITION OF ITS COMMITMENT establishes benchmarks in the TO PROVIDE SHAREHOLDERS WITH THE financial services industry. HIGHEST LEVEL OF SERVICE IN THE MUTUAL FUND INDUSTRY, NATIONS FUNDS RECEIVED THE DALBAR MUTUAL FUND SERVICE AWARD IN 2002.
[This page intentionally left blank] NATIONS FUNDS Nations Global Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- COMMON STOCKS -- 95.7% BERMUDA -- 1.8% 233,900 Tyco International Ltd. ...................................... $ 4,779 -------- BRAZIL -- 3.5% 49,700 Brasil Telecom Participacoes SA, ADR(a)....................... 1,904 127,400 Petroleo Brasileiro SA-'A', ADR............................... 2,707 342,100 Tele Norte Leste Participacoes SA, ADR(a)..................... 4,768 -------- 9,379 -------- FRANCE -- 2.1% 462,200 Alcatel SA 'A'!!.............................................. 5,474 -------- GERMANY -- 7.8% 258,100 Bayerische Hypo-und Vereinsbank AG!!.......................... 4,388 123,600 DaimlerChrysler AG (REGD)..................................... 4,318 312,303 Deutsche Telekom AG!!......................................... 4,492 56,310 E.On AG....................................................... 2,748 109,200 Volkswagen AG................................................. 4,877 -------- 20,823 -------- ITALY -- 2.0% 848,775 IntesaBci SpA(a).............................................. 2,570 1,079,393 Telecom Italia SpA!!.......................................... 2,659 -------- 5,229 -------- JAPAN -- 9.8% 641,000 Hitachi, Ltd. ................................................ 3,557 350,000 Matsushita Electric Industrial Company Ltd. .................. 4,214 278 Millea Holdings, Inc. ........................................ 3,135 617 Mitsubishi Tokyo Financial Group Inc. ........................ 3,894 810 Nippon Telegraph and Telephone Corporation.................... 3,669 252,700 Sankyo Company, Ltd. ......................................... 3,685 976 Sumitomo Mitsui Financial Group, Inc.(a)...................... 3,931 -------- 26,085 -------- MEXICO -- 4.7% 233,700 America Movil SA de CV 'L', ADR............................... 5,401 171,236 Cemex SA de CV, ADR........................................... 4,272 89,200 Telefonos de Mexico SA de CV 'L', ADR......................... 2,725 -------- 12,398 -------- NETHERLANDS -- 4.6% 91,295 ABN AMRO Holding NV........................................... 1,685 187,815 ING Groep NV(a)............................................... 3,440 204,180 Koninklijke Ahold NV!!(a)..................................... 1,947 89,500 Unilever NV................................................... 5,263 -------- 12,335 -------- SOUTH AFRICA -- 0.7% 228,000 South African Breweries plc@.................................. 1,784 --------
VALUE SHARES (000) - -------------------------------------------------------------------------------------- SOUTH KOREA -- 1.4% 180,700 KT Corporation, ADR........................................... $ 3,601 -------- SPAIN -- 4.8% 315,180 Banco Bilbao Vizcaya Argentaria SA............................ 3,252 291,100 Repsol YPF SA................................................. 4,784 398,241 Telefonica SA!!............................................... 4,703 -------- 12,739 -------- SWITZERLAND -- 5.1% 28,800 Nestle SA (REGD).............................................. 6,641 55,000 Zurich Financial Services AG@................................. 6,873 -------- 13,514 -------- UNITED KINGDOM -- 7.2% 1,834,700 BAE Systems plc............................................... 5,121 587,780 BT Group plc.................................................. 1,758 259,300 GlaxoSmithKline plc........................................... 5,381 949,961 Marks & Spencer Group plc..................................... 4,830 572,200 Reuters Group plc............................................. 2,018 -------- 19,108 -------- UNITED STATES -- 40.2% 258,000 Albertson's, Inc. ............................................ 5,308 120,100 Altria Group, Inc. ........................................... 5,261 121,140 Archer-Daniels-Midland Company................................ 1,588 172,600 Avaya Inc.!!.................................................. 1,881 175,400 BellSouth Corporation......................................... 4,152 109,800 Boeing Company................................................ 3,769 197,800 Bristol-Myers Squibb Company.................................. 5,075 135,400 CIT Group Inc. ............................................... 3,894 298,700 Duke Energy Corporation....................................... 5,320 226,700 El Paso Corporation........................................... 1,655 117,029 Electronic Data Systems Corporation........................... 2,364 106,300 FleetBoston Financial Corporation............................. 3,205 370,700 Ford Motor Company............................................ 3,992 135,100 Goodyear Tire & Rubber Company(a)............................. 888 109,900 J.P. Morgan Chase & Company................................... 3,773 41,100 Loews Corporation............................................. 1,659 2,533,700 Lucent Technologies Inc.!!(a)................................. 5,473 226,424 McDonald's Corporation........................................ 5,330 293,200 Micron Technology, Inc.!!..................................... 3,935 305,080 Motorola, Inc. ............................................... 3,652 217,700 Safeway Inc.!!................................................ 4,994 131,800 SBC Communications Inc. ...................................... 2,933 144,900 Schering-Plough Corporation................................... 2,208 64,200 Sherwin-Williams Company...................................... 1,888 224,000 Sprint Corporation (FON Group)................................ 3,382 258,160 The Kroger Company!!.......................................... 4,613 127,200 Toys R Us, Inc.!!............................................. 1,530 201,500 Unisys Corporation!!.......................................... 2,726 43,900 UST Inc.(a)................................................... 1,544 107,600 Verizon Communications Inc. .................................. 3,491 73,500 Waste Management, Inc. ....................................... 1,923 376,000 Xerox Corporation!!........................................... 3,858 -------- 107,264 -------- TOTAL COMMON STOCKS (Cost $247,938)............................................. 254,512 --------
SEE NOTES TO FINANCIAL STATEMENTS. 3 NATIONS FUNDS Nations Global Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
SHARES VALUE (000) (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 8.9% (Cost $23,743) 23,743 Nations Cash Reserves, Capital Class Shares#.................. $ 23,743 -------- TOTAL INVESTMENTS (Cost $271,681*).................................. 104.6% 278,255 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (4.6)% Cash.......................................................... $ 1,671 Receivable for investment securities sold..................... 6,156 Dividends receivable.......................................... 347 Collateral on securities loaned............................... (16,827) Investment advisory fee payable............................... (196) Administration fee payable.................................... (48) Shareholder servicing and distribution fees payable........... (95) Due to custodian.............................................. (3,076) Accrued Trustees' fees and expenses........................... (16) Accrued expenses and other liabilities........................ (98) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (12,182) -------- NET ASSETS.......................................... 100.0% $266,073 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 658 Accumulated net realized gain on investments sold............. 1,494 Net unrealized appreciation of investments.................... 6,582 Paid-in capital............................................... 257,339 -------- NET ASSETS.................................................... $266,073 ========
VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($89,689,486 / 8,949,005 shares outstanding)................ $10.02 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($81,959,451 / 8,218,091 shares outstanding)................ $9.97 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $10.58 INVESTOR B SHARES: Net asset value and offering price per share+ ($25,008,681 / 2,544,446 shares outstanding)................ $9.83 ======== INVESTOR C SHARES: Net asset value and offering price per share+ ($69,415,246 / 7,062,530 shares outstanding)................ $9.83 ========
- --------------- * Federal income tax information (see Note 9) @ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. !!Non-income producing security. + The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 8). The portion that represents cash collateral is $16,827. (a)All or a portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003 is $13,459 and $15,778, respectively. ABBREVIATIONS: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 4 NATIONS FUNDS Nations Global Value Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED) At September 30, 2003, sector diversification was as follows:
% OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) - --------------------------------------------------------------------------------------------- Common stocks: Telecommunications services................................. 18.7% $ 49,638 Commercial banking.......................................... 8.6 22,925 Food and drug stores........................................ 6.3 16,862 Networking and telecommunications equipment................. 6.2 16,480 Pharmaceuticals............................................. 6.1 16,349 Automotive.................................................. 5.3 14,075 Food products............................................... 5.1 13,492 Insurance................................................... 4.4 11,667 Aerospace and defense....................................... 3.3 8,890 Oil and gas................................................. 2.8 7,491 Financial services.......................................... 2.8 7,334 Tobacco..................................................... 2.6 6,805 Restaurants................................................. 2.0 5,330 Electric power -- Nuclear................................... 2.0 5,320 Computer services........................................... 1.9 5,090 Retail -- Specialty......................................... 1.8 4,830 Conglomerates............................................... 1.8 4,779 Construction................................................ 1.6 4,272 Housing and furnishing...................................... 1.6 4,214 Semiconductors.............................................. 1.5 3,935 Other....................................................... 9.3 24,734 ----------- --------------- TOTAL COMMON STOCKS......................................... 95.7 254,512 INVESTMENT COMPANIES........................................ 8.9 23,743 ----------- --------------- TOTAL INVESTMENTS........................................... 104.6 278,255 OTHER ASSETS AND LIABILITIES (NET).......................... (4.6) (12,182) ----------- --------------- NET ASSETS.................................................. 100.0% $ 266,073 =========== ===============
SEE NOTES TO FINANCIAL STATEMENTS. 5 NATIONS FUNDS Nations International Value Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - ---------------------------------------------------------------------------------------- INVESTMENT COMPANIES................................ 100.3% Investment in Nations Master Investment Trust, International Value Master Portfolio*............. $3,022,208 ---------- TOTAL INVESTMENTS................................... 100.3% 3,022,208 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. (0.3)% Receivable for Fund shares sold............................... $ 771 Payable for Fund shares redeemed.............................. (8,071) Administration fee payable.................................... (429) Shareholder servicing and distribution fees payable........... (341) Accrued Trustees' fees and expenses........................... (47) Accrued expenses and other liabilities........................ (1,226) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (9,343) ---------- NET ASSETS.......................................... 100.0% $3,012,865 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 26,754 Accumulated net realized loss on investments.................. (143,907) Net unrealized depreciation of investments.................... (204,029) Paid-in capital............................................... 3,334,047 ---------- NET ASSETS.................................................... $3,012,865 ==========
VALUE - ---------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($2,126,541,799 / 130,210,361 shares outstanding)........... $16.33 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($647,398,281 / 39,803,550 shares outstanding).............................. $16.26 ========== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $17.25 INVESTOR B SHARES: Net asset value and offering price per share& ($95,304,130 / 5,955,821 shares outstanding)................ $16.00 ========== INVESTOR C SHARES: Net asset value and offering price per share& ($143,620,527 / 8,984,949 shares outstanding)............... $15.98 ==========
- --------------- * The financial statements of the International Value Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the International Value Fund's financial statements. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 6 NATIONS FUNDS Nations International Equity Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - --------------------------------------------------------------------------------------- COMMON STOCKS -- 96.9% AUSTRALIA -- 2.5% 496,786 Broken Hill Proprietary Company, Ltd. ........................ $ 3,551 167,700 National Australia Bank Ltd. ................................. 3,496 34,788 Rio Tinto Ltd. ............................................... 774 326,697 The News Corporation Ltd., ADR(a)............................. 10,715 46,900 Westpac Banking Corporation................................... 514 -------- 19,050 -------- AUSTRIA -- 0.7% 60,300 Bank Austria Creditanstalt!!.................................. 2,171 29,287 Erste Bank der oesterreichischen Sparkassen AG................ 2,962 -------- 5,133 -------- BERMUDA -- 1.0% 8,000 ACE Ltd. ..................................................... 265 1,495,000 Esprit Holdings Ltd. ......................................... 4,546 249,400 Golar LNG-Ltd.!!.............................................. 2,810 3,000 XL Capital Ltd., Class A...................................... 232 -------- 7,853 -------- BRAZIL -- 1.5% 7,200 Banco Bradesco SA, ADR(a)..................................... 145 4,900 Banco Itau SA, ADR............................................ 177 108,416 Companhia Vale do Rio Doce.................................... 4,425 15,300 Companhia Vale do Rio Doce, ADR............................... 565 88,875 Petroleo Brasileiro SA, ADR................................... 2,038 217,547 Unibanco Holdings GDR(a)...................................... 4,307 -------- 11,657 -------- CANADA -- 1.1% 133,000 Barrick Gold Corporation (REGD)............................... 2,504 59,500 Canadian Imperial Bank of Commerce(a)......................... 2,439 38,221 Canadian National Railway Company............................. 1,976 24,778 EnCana Corporation............................................ 898 10,800 National Bank of CanadA....................................... 292 37,432 Suncor Energy, Inc. .......................................... 692 -------- 8,801 -------- CAYMAN ISLANDS -- 0.4% 842,500 ASM Pacific Technology Ltd. .................................. 2,850 -------- CHINA -- 0.7% 1,908,000 China Telecom Corporation Ltd.(a)............................. 493 142,349 CNOOC Ltd., ADR(a)............................................ 4,893 678,000 PetroChina Company Ltd. ...................................... 230 -------- 5,616 -------- DENMARK -- 1.0% 408,014 Danske Bank A/S............................................... 7,775 -------- FINLAND -- 1.4% 240,500 Nokia Oyj(a).................................................. 3,703 366,600 Stora Enso Oyj 'R'............................................ 4,538 165,300 UPM - Kymmene Oyj............................................. 2,770 -------- 11,011 --------
VALUE SHARES (000) - --------------------------------------------------------------------------------------- FRANCE -- 7.2% 24,354 Accor SA...................................................... $ 897 72,238 BNP Paribas SA................................................ 3,542 76,202 Bouygues SA(a)................................................ 2,006 67,000 Compagnie de Saint-Gobain..................................... 2,464 143,000 Compagnie Generale des Etablissements Michelin................ 5,317 203,269 Credit Agricole SA............................................ 3,960 211,836 JC Decaux SA!!................................................ 2,977 45,146 LVMH Moet Hennessy Louis Vuitton SA........................... 2,805 13,016 Pinault-Printemps-Redoute SA.................................. 1,069 23,067 PSA Peugeot Citroen........................................... 980 2,690 Renault SA.................................................... 159 120,769 Societe Generale 'A'.......................................... 8,045 51,720 Societe Television Francaise 1................................ 1,532 114,056 TotalFinaElf SA............................................... 17,213 108,503 Veolia Environnement.......................................... 2,406 -------- 55,372 -------- GERMANY -- 4.1% 209,931 BASF AG....................................................... 9,134 354,525 Bayerische Motoren Werke (BMW) AG............................. 13,398 45,600 Deutsche Bank AG (REGD)....................................... 2,767 96,300 Deutsche Telekom AG!!......................................... 1,385 41,243 SAP AG........................................................ 5,043 -------- 31,727 -------- HONG KONG -- 1.2% 1,753,000 Cathay Pacific Airways(a)..................................... 2,966 129,100 Cheung Kong (Holdings) Ltd. .................................. 1,021 123,500 China Mobile (Hong Kong) Ltd. ................................ 325 350 Hong Kong & China Gas Company Ltd. ........................... 0++ 123,500 Hong Kong Electric Holdings Ltd. ............................. 476 554,000 Sun Hung Kai Properties....................................... 4,489 -------- 9,277 -------- HUNGARY -- 0.4% 138,673 OTP Bank Rt., ADR@............................................ 3,288 -------- IRELAND -- 2.5% 143,822 Allied Irish Banks plc........................................ 2,110 75,793 Bank of Ireland............................................... 906 95,732 CRH plc....................................................... 1,708 365,082 Ryanair Holdings plc, ADR!!(a)................................ 14,785 -------- 19,509 -------- ITALY -- 1.6% 153,300 ENI SpA(a).................................................... 2,342 61,400 ENI SpA, ADR(a)............................................... 4,699 222,100 Mediaset SpA(a)............................................... 2,033 125,000 San Paolo - IMI SpA, ADR(a)................................... 2,494 234,500 UniCredito Italiano SpA....................................... 1,109 -------- 12,677 -------- JAPAN -- 21.4% 16,360 ACOM CO., LTD.@............................................... 734 352,000 CANON Inc. ................................................... 17,204 30,500 Credit Saison Co., Ltd. ...................................... 636
SEE NOTES TO FINANCIAL STATEMENTS. 7 NATIONS FUNDS Nations International Equity Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - --------------------------------------------------------------------------------------- JAPAN -- (CONTINUED) 846,000 Daiwa Securities.............................................. $ 5,717 685 East Japan Railway Company.................................... 3,318 90,500 Eisai Company, Ltd. .......................................... 2,114 238,000 Fuji Photo Film Company, Ltd. ................................ 6,987 800 Fujitsu Ltd. ................................................. 4 676,000 Hitachi, Ltd. ................................................ 3,752 60,300 Honda Motor Company Ltd. ..................................... 2,413 80,000 Ito-Yokado Company, Ltd. ..................................... 2,664 45,900 Jusco Company, Ltd. .......................................... 1,208 230,000 Kao Corporation............................................... 4,859 425 Millea Holdings, Inc. ........................................ 4,793 304,000 Mitsui Fudosan Company, Ltd. ................................. 2,694 22,600 NEC Electronics Corporation................................... 1,544 46,000 Nintendo Company, Ltd. ....................................... 3,854 982 Nippon Telegraph and Telephone Corporation.................... 4,448 747,500 Nissan Motor Company, Ltd. ................................... 8,063 4,485 NTT DoCoMo, Inc.@............................................. 10,960 93,000 Olympus Optical Company, Ltd. ................................ 2,214 13,000 ORIX Corporation.............................................. 1,016 68,000 RICOH COMPANY, LTD. .......................................... 1,211 53,000 Secom Company Ltd. ........................................... 1,993 596,700 Sharp Corporation............................................. 8,733 5,000 Shionogi and Company, Ltd. ................................... 87 2,441 SKY Perfect Communications Inc.!!............................. 2,950 163,000 Sony Corporation.............................................. 5,690 137,800 Takeda Chemical Industries, Ltd. ............................. 5,020 37,100 Takefuji Corporation@......................................... 2,374 49,500 TDK Corporation............................................... 2,938 197,800 THK CO., LTD.(a).............................................. 3,403 35,392 Tokyo Electric Power Company, Inc. ........................... 757 621,200 Tokyo Gas Company Ltd.(a)..................................... 2,063 700 Toppan Printing Company....................................... 6 674,000 Toshiba Corporation........................................... 2,836 339,600 Toyota Motor Corporation...................................... 9,971 1,390 UFJ Holdings, Inc.(a)......................................... 5,462 258 Yahoo Japan Corporation!!(a).................................. 3,649 219,300 YAMADA DENKI CO., LTD.(a)..................................... 6,478 317,700 YAMAHA CORPORATION............................................ 6,015 63,500 Yamanouchi Pharmaceutical Company, Ltd. ...................... 1,751 -------- 164,583 -------- MEXICO -- 1.3% 19,700 Fomento Economico Mexicano SA de CV, ADR...................... 752 217,409 Telefonos de Mexico SA de CV 'L', ADR......................... 6,642 982,501 Wal-Mart de Mexico SA de CV, Series V......................... 2,835 -------- 10,229 -------- NETHERLANDS -- 3.3% 142,000 ABN AMRO Holding NV........................................... 2,621 55,030 DSM NV........................................................ 2,612 26,838 Elsevier NV................................................... 303 456,659 ING Groep NV.................................................. 8,366 441,861 Koninklijke (Royal) Philips Electronics NV.................... 10,014
VALUE SHARES (000) - --------------------------------------------------------------------------------------- NETHERLANDS -- (CONTINUED) 116,440 Koninklijke KPN NV............................................ $ 872 43,180 TPG NV........................................................ 816 -------- 25,604 -------- NEW ZEALAND -- 0.0%+ 80,284 Telecom Corporation Of New Zealand Ltd. ...................... 246 -------- NORWAY -- 0.5% 360,000 Statoil ASA................................................... 3,227 108,291 Telenor ASA................................................... 482 -------- 3,709 -------- PORTUGAL -- 0.4% 430,000 Portugal Telecommunications, SGPS, SA, ADR.................... 3,384 -------- RUSSIA -- 0.9% 80,300 Mobile Telesystems, ADR!!(a).................................. 5,906 23,185 YUKOS, ADR(a)................................................. 1,368 -------- 7,274 -------- SINGAPORE -- 0.5% 75,256 DBS Group Holdings Ltd. ...................................... 562 151,850 Overseas-Chinese Banking Corporation Ltd. .................... 984 79,000 Singapore Press Holdings, Ltd. ............................... 836 215,000 United Overseas Bank.......................................... 1,667 -------- 4,049 -------- SOUTH AFRICA -- 0.2% 168,528 South African Breweries plc@.................................. 1,319 -------- SOUTH KOREA -- 4.4% 50,130 Korea Electric Power Corporation.............................. 944 405,300 Korea Electric Power Corporation, ADR......................... 4,263 370,200 KT Corporation, ADR........................................... 7,378 10,490 LG Electronics Inc. .......................................... 506 3,390 POSCO......................................................... 389 23,700 POSCO, ADR.................................................... 678 51,550 Samsung Electronics Company, Ltd.............................. 17,569 112,853 SK Telecom Company Ltd., ADR(a)............................... 2,013 -------- 33,740 -------- SPAIN -- 2.9% 65,681 Altadis, SA................................................... 1,618 261,205 Corporacion Mapfre, SA........................................ 2,850 441,000 Endesa SA..................................................... 6,815 192,223 Iberdrola SA.................................................. 3,235 146,400 Repsol YPF SA, ADR............................................ 2,411 226,390 Sogecable, SA!!............................................... 5,444 -------- 22,373 -------- SWEDEN -- 1.4% 1,150,034 Ericsson AB (LM) 'B'!!........................................ 1,680 44,790 Investor AB 'A'............................................... 371 302,845 Investor AB 'B'............................................... 2,525
SEE NOTES TO FINANCIAL STATEMENTS. 8 NATIONS FUNDS Nations International Equity Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - --------------------------------------------------------------------------------------- SWEDEN -- (CONTINUED) 474,200 Nordea AB..................................................... $ 2,703 140,200 Volvo AB, B Shares............................................ 3,244 -------- 10,523 -------- SWITZERLAND -- 12.0% 19,050 Ciba Specialty Chemicals AG................................... 1,292 83,400 Compagnie Financiere Richemont AG............................. 1,658 89,225 Credit Suisse Group........................................... 2,855 1,694 Julius Baer Holdings Ltd., Zurich............................. 487 68,830 Nestle SA (REGD).............................................. 15,871 390,815 Novartis AG................................................... 15,122 197,053 Roche Holding AG.............................................. 16,339 42,825 Swiss Re...................................................... 2,721 250 Swisscom AG (REGD)............................................ 73 66,600 Syngenta AG................................................... 3,611 5,772 Synthes-Stratec, Inc. ........................................ 5,114 16,330 The Swatch Group AG........................................... 313 10,287 The Swatch Group AG, Class B.................................. 978 307,812 UBS AG........................................................ 17,272 73,890 Zurich Financial Services AG.................................. 9,232 -------- 92,938 -------- TAIWAN -- 0.9% 657,305 Taiwan Semiconductor Manufacturing Company Ltd., ADR!!........ 7,119 -------- UNITED KINGDOM -- 18.2% 102,012 3i Group plc.................................................. 1,009 290,500 Abbey National plc............................................ 2,384 309,700 Amersham plc.................................................. 2,665 171,732 AstraZeneca plc............................................... 7,253 1,253,000 BAE Systems plc............................................... 3,497 443,133 Billiton plc.................................................. 2,941 924,000 BP Amoco plc.................................................. 6,340 258,197 British American Tobacco plc.................................. 2,773 550,900 British Sky Broadcasting Group plc!!.......................... 5,624 831,500 Cadbury Schweppes plc......................................... 5,111 939,421 Diageo plc.................................................... 10,136 3,048,661 EMI Group plc................................................. 7,484 209,000 GlaxoSmithKline plc........................................... 4,337 144,529 GUS plc....................................................... 1,575 221,693 Hilton Group plc.............................................. 662 1,267,561 HSBC Holdings plc............................................. 16,712 506,800 HSBC Holdings plc (REGD)(a)................................... 6,806 958,525 Kingfisher plc................................................ 4,157 526,040 Marconi Corp plc!!............................................ 3,932 435,000 Marks & Spencer Group plc..................................... 2,211 106,416 Reckitt Benckiser plc......................................... 2,139 222,593 Reed Elsevier plc............................................. 1,741 70,083 Rio Tinto plc (REGD).......................................... 1,494 500,486 Royal Bank of Scotland plc@................................... 12,723 908,000 Scottish Power plc............................................ 5,299 720,000 Shell Transport and Trading Company plc....................... 4,444 56,460 Standard Chartered plc........................................ 788 651,689 Tesco plc..................................................... 2,609 16,300 United Business Media plc..................................... 113
VALUE SHARES (000) - --------------------------------------------------------------------------------------- UNITED KINGDOM -- (CONTINUED) 4,573,943 Vodafone Group plc............................................ $ 9,119 283,912 WPP Group plc................................................. 2,394 -------- 140,472 -------- UNITED STATES -- 1.3% 97,783 NTL Incorporated!!............................................ 4,608 78,869 Sohu.com Inc.!!............................................... 2,453 182,610 Wynn Resorts, Ltd.!!.......................................... 3,320 -------- 10,381 -------- TOTAL COMMON STOCKS (Cost $675,243)............................................. 749,539 -------- PRINCIPAL AMOUNT (000) - ---------- FOREIGN BONDS AND NOTES -- 0.5% UNITED KINGDOM -- 0.5% $ 3,000 Telewest Communication plc, 11.000% 10/01/07............................................ 1,463 1,925 Telewest Communication plc, 9.875% 02/01/10(a).......................................... 890 2,900 Telewest Communication plc, (0.000%) due 04/15/09 9.250% beginning 04/15/04(a)................................ 1,131 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $2,092)............................................... 3,484 -------- SHARES - ---------- PREFERRED STOCKS -- 0.7% BRAZIL - 0.7% (Cost $4,353) 266,059 Companhia de Bebidas das Americas, ADR(a)..................... 5,760 -------- PRINCIPAL AMOUNT (000) - ---------- SHORT TERM INVESTMENTS -- 0.9% (Cost $7,200) $ 7,200 Federal Home Loan Bank (FHLB) Discount note 10/01/03.......... 7,200 -------- SHARES - ---------- WARRANTS -- 0.1% INDIA -- 0.1% (Cost $1,009) 108,200 Reliance Industries Expire 09/02/04@............................................ 1,051 -------- SHARES (000) - ---------- INVESTMENT COMPANIES -- 9.2% 7 iShares MSCI EAFE Index Fund(a)............................... 772 248 iShares MSCI Taiwan Index Fund(a)............................. 2,720 68,061 Nations Cash Reserves, Capital Class Shares#.................. 68,061
SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS FUNDS Nations International Equity Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
SHARES VALUE (000) (000) - --------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- (CONTINUED) Dw1 Tracker Fund of Hong Kong..................................... $ 1 0+++ XMTCH on SMI.................................................. 4 -------- TOTAL INVESTMENT COMPANIES (Cost $71,601).............................................. 71,558 -------- TOTAL INVESTMENTS (Cost $761,498*).................................. 108.3% 838,592 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (8.3)% Foreign cash (cost $2,038).................................... $ 2,018 Unrealized appreciation on forward foreign exchange contracts................................................... 1,317 Receivable for investment securities sold..................... 10,092 Receivable for Fund shares sold............................... 2 Dividends receivable.......................................... 3,080 Interest receivable........................................... 17 Receivable from investment adviser............................ 66 Unrealized depreciation on forward foreign exchange contracts................................................... (2,118) Collateral on securities loaned............................... (65,248) Payable for Fund shares redeemed.............................. (6) Investment advisory fee payable............................... (515) Administration fee payable.................................... (142) Shareholder servicing and distribution fees payable........... (13) Due to custodian.............................................. (3,356) Payable for investment securities purchased................... (9,235) Accrued Trustees' fees and expenses........................... (129) Accrued expenses and other liabilities........................ (259) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (64,429) -------- NET ASSETS.......................................... 100.0% $774,163 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 8,057 Accumulated net realized loss on investments sold and currency contracts................................................... (203,705) Net unrealized appreciation of investments and currency contracts................................................... 76,404 Paid-in capital............................................... 893,407 -------- NET ASSETS.................................................... $774,163 ======== VALUE - --------------------------------------------------------------------------------------- wPRIMARY A SHARES: Net asset value, offering and redemption price per share ($742,004,671 / 73,958,292 shares outstanding).............. $10.03 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($22,351,830 / 2,252,170 shares outstanding)................ $9.92 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $10.53 INVESTOR B SHARES: Net asset value and offering price per share& ($8,363,853 / 895,083 shares outstanding)................... $9.34 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($1,442,799 / 155,902 shares outstanding)................... $9.25 ========
- --------------- * Federal income tax information (see Note 9). @ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. !!Non-income producing security. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. + Amount represents less than 0.1%. ++ Amount represents less than $500. +++ Amount represents less than 500 shares. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 8). The portion that represents cash collateral is $65,248. (a)All or a portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003 is $51,388 and $61,522, respectively. ABBREVIATIONS: ADR -- American Depository Receipt GDR -- Global Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS FUNDS Nations International Equity Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED) At September 30, 2003, sector diversification was as follows:
% OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) - --------------------------------------------------------------------------------------------- Common stocks: Commercial banking.......................................... 12.7% $ 99,089 Telecommunications services................................. 6.8 53,726 Pharmaceuticals............................................. 6.7 52,023 Automotive.................................................. 5.6 43,545 Integrated oil.............................................. 5.5 42,661 Electronics................................................. 5.1 39,144 Semiconductors.............................................. 3.8 29,082 Broadcasting and cable...................................... 3.5 27,462 Investment services......................................... 3.5 27,340 Computers and office equipment.............................. 2.8 21,357 Food products............................................... 2.7 20,982 Insurance................................................... 2.6 20,093 Airlines.................................................... 2.3 17,751 Diversified electronics..................................... 2.3 17,429 Metal and mining............................................ 2.2 17,321 Media....................................................... 1.7 12,928 Electric power -- Non nuclear............................... 1.6 12,590 Beverages................................................... 1.6 12,207 Financial services.......................................... 1.4 10,537 Networking and telecommunications equipment................. 1.2 9,315 Other....................................................... 21.3 162,957 ----------- --------------- TOTAL COMMON STOCKS......................................... 96.9 749,539 FOREIGN BONDS AND NOTES..................................... 0.5 3,484 PREFERRED STOCKS............................................ 0.7 5,760 WARRANTS.................................................... 0.1 1,051 SHORT TERM INVESTMENTS...................................... 0.9 7,200 INVESTMENT COMPANIES........................................ 9.2 71,558 ----------- --------------- TOTAL INVESTMENTS........................................... 108.3 838,592 OTHER ASSETS AND LIABILITIES (NET).......................... (8.3) (64,429) ----------- --------------- NET ASSETS.................................................. 100.0% $ 774,163 =========== ===============
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations Marsico International Opportunities Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - --------------------------------------------------------------------------------------- COMMON STOCKS -- 91.1% AUSTRALIA -- 2.9% 205,194 The News Corporation Ltd., ADR(a)............................. $ 6,730 -------- AUSTRIA -- 1.0% 24,131 Erste Bank der oesterreichischen Sparkassen AG................ 2,441 -------- BERMUDA -- 2.7% 1,277,000 Esprit Holdings Ltd. ......................................... 3,884 206,400 Golar LNG-Ltd.!!.............................................. 2,326 -------- 6,210 -------- BRAZIL -- 2.4% 59,598 Companhia Vale do Rio Doce.................................... 2,433 164,654 Unibanco Holdings GDR......................................... 3,260 -------- 5,693 -------- CAYMAN ISLANDS -- 1.0% 656,000 ASM Pacific Technology Ltd. .................................. 2,219 -------- CHINA -- 1.8% 120,674 CNOOC Ltd., ADR(a)............................................ 4,148 -------- FRANCE -- 2.4% 156,909 Credit Agricole SA............................................ 3,057 174,908 JC Decaux SA!!................................................ 2,459 -------- 5,516 -------- GERMANY -- 5.6% 236,795 Bayerische Motoren Werke (BMW) AG............................. 8,947 33,999 SAP AG........................................................ 4,157 -------- 13,104 -------- HONG KONG -- 2.7% 1,476,000 Cathay Pacific Airways........................................ 2,497 473,000 Sun Hung Kai Properties....................................... 3,833 -------- 6,330 -------- HUNGARY -- 1.1% 111,318 OTP Bank Rt., ADR@............................................ 2,640 -------- IRELAND -- 5.3% 303,113 Ryanair Holdings plc, ADR!!(a)................................ 12,276 -------- JAPAN -- 22.4% 73,000 CANON Inc. ................................................... 3,568 679,000 Daiwa Securities.............................................. 4,589 260,000 Mitsui Fudosan Company, Ltd. ................................. 2,304 624,000 Nissan Motor Company, Ltd. ................................... 6,731 957 NTT DoCoMo, Inc.@............................................. 2,339 509,000 Sharp Corporation............................................. 7,448 2,056 SKY Perfect Communications Inc.!!............................. 2,485 165,800 THK CO., LTD. ................................................ 2,853 548,000 Toshiba Corporation........................................... 2,306 1,171 UFJ Holdings, Inc. ........................................... 4,602 217 Yahoo Japan Corporation!!..................................... 3,069
VALUE SHARES (000) - --------------------------------------------------------------------------------------- JAPAN -- (CONTINUED) 169,600 YAMADA DENKI CO., LTD. ....................................... $ 5,010 266,700 YAMAHA CORPORATION............................................ 5,049 -------- 52,353 -------- MEXICO -- 1.0% 827,363 Wal-Mart de Mexico SA de CV, Series V......................... 2,388 -------- NETHERLANDS -- 1.4% 148,657 Koninklijke (Royal) Philips Electronics NV.................... 3,369 -------- RUSSIA -- 2.1% 67,600 Mobile Telesystems, ADR!!..................................... 4,972 -------- SOUTH KOREA -- 3.0% 20,660 Samsung Electronics Company, Ltd. ............................ 7,042 -------- SPAIN -- 3.0% 219,961 Corporacion Mapfre, SA........................................ 2,400 190,689 Sogecable, SA!!............................................... 4,586 -------- 6,986 -------- SWITZERLAND -- 11.4% 108,183 Roche Holding AG.............................................. 8,970 4,116 Synthes-Stratec, Inc. ........................................ 3,647 169,166 UBS AG........................................................ 9,492 35,106 Zurich Financial Services AG.................................. 4,386 -------- 26,495 -------- TAIWAN -- 2.6% 550,710 Taiwan Semiconductor Manufacturing Company Ltd., ADR!!........ 5,964 -------- UNITED KINGDOM -- 11.7% 462,450 British Sky Broadcasting Group plc!!.......................... 4,721 2,608,157 EMI Group plc................................................. 6,402 632,752 HSBC Holdings plc............................................. 8,341 417,303 Marconi Corp plc!!............................................ 3,120 183,946 Royal Bank of Scotland plc@................................... 4,675 -------- 27,259 -------- UNITED STATES -- 3.6% 77,302 NTL Incorporated!!............................................ 3,642 64,760 Sohu.com Inc.!!............................................... 2,014 150,348 Wynn Resorts, Ltd.!!.......................................... 2,733 -------- 8,389 -------- TOTAL COMMON STOCKS (Cost $185,304)............................................. 212,524 -------- PRINCIPAL AMOUNT (000) - ---------- FOREIGN BONDS AND NOTES -- 0.9% UNITED KINGDOM -- 0.9% $ 1,850 Telewest Communication plc, 11.000% 10/01/07(a)......................................... 902
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations Marsico International Opportunities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- UNITED KINGDOM -- (CONTINUED) $ 1,200 Telewest Communication plc, 9.875% 02/01/10(a).......................................... $ 555 1,700 Telewest Communication plc, (0.000%) due 04/15/09 9.250% beginning 04/15/04................................... 663 -------- 2,120 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $1,275)............................................... 2,120 -------- SHARES - ---------- PREFERRED STOCKS -- 1.6% BRAZIL -- 1.6% (Cost $3,108) 176,890 Companhia de Bebidas das Americas, ADR(a)..................... 3,830 -------- PRINCIPAL AMOUNT (000) - ---------- SHORT TERM INVESTMENTS -- 7.6% (Cost $17,700) $ 17,700 Federal Home Loan Bank (FHLB) Discount note 10/01/03...................................... 17,700 -------- SHARES (000) - ---------- INVESTMENT COMPANIES -- 10.7% 208 iShares MSCI Taiwan Index Fund................................ 2,285 22,594 Nations Cash Reserves, Capital Class Shares#.................. 22,594 -------- TOTAL INVESTMENT COMPANIES (Cost $24,944).............................................. 24,879 --------
VALUE (000) - --------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $232,331*).................................. 111.9% $261,053 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (11.9)% Cash.......................................................... $ 997 Foreign cash (cost $3,812).................................... 3,813 Unrealized appreciation on forward foreign exchange contracts................................................... 382 Receivable for investment securities sold..................... 1,691 Dividends receivable.......................................... 903 Unrealized depreciation on forward foreign exchange contracts................................................... (1,170) Collateral on securities loaned............................... (22,567) Investment advisory fee payable............................... (149) Administration fee payable.................................... (41) Shareholder servicing and distribution fees payable........... (6) Payable for investment securities purchased................... (11,483) Accrued Trustees' fees and expenses........................... (24) Accrued expenses and other liabilities........................ (71) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (27,725) -------- NET ASSETS.......................................... 100.0% $233,328 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 681 Accumulated net realized loss on investments sold and currency contracts................................................... (1,419) Net unrealized appreciation of investments and currency contracts................................................... 27,959 Paid-in capital............................................... 206,107 -------- NET ASSETS.................................................... $233,328 ========
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Nations Marsico International Opportunities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - --------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($221,014,386 / 24,691,496 shares outstanding).............. $8.95 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($6,215,201 / 700,180 shares outstanding)................... $8.88 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $9.42 INVESTOR B SHARES: Net asset value and offering price per share& ($4,474,699 / 516,165 shares outstanding)................... $8.67 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($1,623,592 / 187,224 shares outstanding)................... $8.67 ========
- --------------- * Federal income tax Information (see Note 9). @ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. !!Non-income producing security. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 8). The portion that represents cash collateral is $22,567. (a)All or a portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003 is $19,799 and $21,843, respectively. ABBREVIATIONS: ADR -- American Depository Receipt GDR -- Global Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS Nations Marsico International Opportunities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED) At September 30, 2003, sector diversification was as follows:
% OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) - --------------------------------------------------------------------------------------------- Common stocks: Commercial banking.......................................... 12.5% $ 29,016 Electronics................................................. 9.0 20,876 Broadcasting and cable...................................... 7.6 17,578 Automotive.................................................. 6.7 15,678 Semiconductors.............................................. 6.5 15,225 Airlines.................................................... 6.3 14,773 Investment services......................................... 6.0 14,081 Media....................................................... 4.7 10,988 Pharmaceuticals............................................. 3.8 8,970 Telecommunications services................................. 3.1 7,311 Insurance................................................... 2.9 6,786 Real Estate................................................. 2.6 6,137 Computer services........................................... 2.2 5,083 Software.................................................... 1.8 4,157 Integrated oil.............................................. 1.8 4,148 Apparel and textiles........................................ 1.7 3,884 Medical devices and supplies................................ 1.6 3,647 Computer and office equipment............................... 1.5 3,568 Networking and telecommunications equipment................. 1.3 3,120 Diversified manufacturing................................... 1.2 2,853 Other....................................................... 6.3 14,645 ----------- --------------- TOTAL COMMON STOCKS......................................... 91.1 212,524 FOREIGN BONDS AND NOTES..................................... 0.9 2,120 PREFERRED STOCKS............................................ 1.6 3,830 SHORT TERM INVESTMENTS...................................... 7.6 17,700 INVESTMENT COMPANIES........................................ 10.7 24,879 ----------- --------------- TOTAL INVESTMENTS........................................... 111.9 261,053 OTHER ASSETS AND LIABILITIES (NET).......................... (11.9) (27,725) ----------- --------------- NET ASSETS.................................................. 100.0% $ 233,328 =========== ===============
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2003
GLOBAL INTERNATIONAL INTERNATIONAL INTERNATIONAL VALUE VALUE EQUITY OPPORTUNITIES ----------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (net of foreign withholding taxes of $100, $0, $1,133 and $172, respectively)......... $ 2,395 $ -- $ 9,824 $ 1,531 Dividend income from affiliated funds.............. 34 -- 62 --* Interest........................................... -- -- 48 63 Securities lending................................. 57 -- 233 11 Allocated from Portfolio: Dividends (net of foreign withholding taxes of $0, $4,414, $0 and $0, respectively)+................ -- 38,221 -- -- Dividend income from affiliated funds+............. -- 265 -- -- Interest+.......................................... -- 6 -- -- Securities lending+................................ -- 589 -- -- Expenses (net of waiver of $0, $899, $0 and $0, respectively)+................................... -- (12,623) -- -- -------------- -------------- -------------- -------------- Total investment income........................ 2,486 26,458 10,167 1,605 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee............................ 1,006 -- 2,875 676 Administration fee................................. 316 2,382 790 187 Transfer agent fees................................ 72 792 112 23 Custodian fees..................................... 16 -- 180 47 Legal and audit fees............................... 39 43 36 35 Registration and filing fees....................... 25 5 43 27 Trustees' fees and expenses........................ 10 10 10 10 Printing expense................................... 39 178 26 30 Other.............................................. 1 -- 35 2 -------------- -------------- -------------- -------------- Subtotal....................................... 1,524 3,410 4,107 1,037 Shareholder servicing and distribution fees: Investor A Shares................................ 84 746 28 5 Investor B Shares................................ 105 446 40 19 Investor C Shares................................ 298 680 7 6 -------------- -------------- -------------- -------------- Total expenses................................. 2,011 5,282 4,182 1,067 Fees reduced by credits allowed by the custodian... -- -- --* --* Reimbursement from investment adviser.............. -- -- (66) -- -------------- -------------- -------------- -------------- Net expenses................................... 2,011 5,282 4,116 1,067 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME/(LOSS)....................... 475 21,176 6,051 538 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions............................ 1,768 -- 13,806 7,312 Security transactions allocated from Portfolio+..................................... -- (1,489) -- -- Foreign currencies and net other assets.......... 1 -- 66 63 Foreign currencies and net other assets allocated from Portfolio+................................ -- (447) -- -- -------------- -------------- -------------- -------------- Net realized gain/(loss) on investments............ 1,769 (1,936) 13,872 7,375 -------------- -------------- -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities....................................... 63,553 -- 134,075 28,985 Securities allocated from Portfolio+............. -- 878,912 -- -- Foreign currencies and net other assets.......... 5 -- (248) (526) -------------- -------------- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments....... 63,558 878,912 133,827 28,459 -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments...................................... 65,327 876,976 147,699 35,834 -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................. $ 65,802 $ 898,152 $ 153,750 $ 36,372 ============== ============== ============== ==============
- --------------- + Allocated from International Value Master Portfolio. * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 16 [This page intentionally left blank] 17 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
GLOBAL VALUE --------------------------------- SIX MONTHS ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 475 $ 702 Net realized gain/(loss) on investments..................... 1,769 1,452 Net realized gain/(loss) on investments allocated from Portfolio+................................................ -- -- Net change in unrealized appreciation/(depreciation) of investments............................................... 63,558 (60,374) Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+..................... -- -- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 65,802 (58,220) Distributions to shareholders from net investment income: Primary A Shares.......................................... -- (315) Investor A Shares......................................... -- (153) Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... -- (1,037) Investor A Shares......................................... -- (767) Investor B Shares......................................... -- (277) Investor C Shares......................................... -- (776) Net increase/(decrease) in net assets from Fund share transactions.............................................. 35,719 107,962 -------------- -------------- Net increase/(decrease) in net assets....................... 101,521 46,417 NET ASSETS: Beginning of period......................................... 164,552 118,135 -------------- -------------- End of period............................................... $ 266,073 $ 164,552 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ 658 $ 183 ============== ==============
- --------------- + Allocated from International Value Master Portfolio and International Equity Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
INTERNATIONAL VALUE INTERNATIONAL EQUITY INTERNATIONAL OPPORTUNITIES ------------------------------------ ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 - ---------------------------------------------------------------------------------------------------------- $ 21,176 $ 31,279 $ 6,051 $ 5,898 $ 538 $ 177 -- -- 13,872 -- 7,375 (6,125) (1,936) (142,717) -- (76,703) -- -- -- -- 133,827 -- 28,459 (1,658) 878,912 (956,728) -- (59,707) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 898,152 (1,068,166) 153,750 (130,512) 36,372 (7,606) -- (24,922) -- (2,879) -- -- -- (5,579) -- (97) -- -- -- (142) -- (8) -- -- -- (377) -- (1) -- -- -- (12,246) -- -- -- -- -- (5,369) -- -- -- -- -- (645) -- -- -- -- -- (896) -- -- -- -- (169,110) 277,667 36,607 196,845 95,940 101,578 -------------- -------------- -------------- -------------- -------------- -------------- 729,042 (840,675) 190,357 63,348 132,312 93,972 2,283,823 3,124,498 583,806 520,458 101,016 7,044 -------------- -------------- -------------- -------------- -------------- -------------- $ 3,012,865 $ 2,283,823 $ 774,163 $ 583,806 $ 233,328 $ 101,016 ============== ============== ============== ============== ============== ============== $ 26,754 $ 5,578 $ 8,057 $ 2,006 $ 681 $ 143 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
GLOBAL VALUE SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,778 $16,703 6,588 $ 57,869 Issued as reinvestment of dividends....................... -- -- 30 256 Redeemed**................................................ (784) (7,030) (3,354) (28,171) ----- ------- ------ -------- Net increase/(decrease)................................... 994 $ 9,673 3,264 $ 29,954 ===== ======= ====== ======== INVESTOR A SHARES: Sold...................................................... 2,380 $21,974 6,314 $ 56,683 Shares issued upon conversion from Investor B shares...... 3 32 3 22 Issued as reinvestment of dividends....................... -- -- 55 462 Redeemed**................................................ (722) (6,641) (2,315) (19,525) ----- ------- ------ -------- Net increase/(decrease)................................... 1,661 $15,365 4,057 $ 37,642 ===== ======= ====== ======== INVESTOR B SHARES: Sold...................................................... 488 $ 4,501 1,439 $ 13,050 Issued as reinvestment of dividends....................... -- -- 20 172 Shares redeemed upon conversion into Investor A shares.... (4) (32) (3) (22) Redeemed**................................................ (94) (861) (436) (3,465) ----- ------- ------ -------- Net increase/(decrease)................................... 390 $ 3,608 1,020 $ 9,735 ===== ======= ====== ======== INVESTOR C SHARES: Sold...................................................... 1,305 $11,924 4,175 $ 37,489 Issued as reinvestment of dividends....................... -- -- 56 486 Redeemed**................................................ (540) (4,851) (905) (7,344) ----- ------- ------ -------- Net increase/(decrease)................................... 765 $ 7,073 3,326 $ 30,631 ===== ======= ====== ======== Total net increase/(decrease)............................. 3,810 $35,719 11,667 $107,962 ===== ======= ====== ========
- --------------- **Net of redemption fees of $0 and $19 for Primary A, $0 and $5 for Investor A, $0 and $5 for Investor B and $1 and $2 for Investor C for the six months ended September 30, 2003 and year ended March 31, 2003, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERNATIONAL VALUE SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,074 $ 31,324 48,229 $ 785,138 Issued as reinvestment of dividends....................... -- -- 1,067 14,895 Redeemed**................................................ (10,450) (155,762) (34,261) (475,600) ------- --------- ------- --------- Net increase/(decrease)................................... (8,376) $(124,438) 15,035 $ 324,433 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 4,593 $ 67,768 46,873 $ 739,584 Shares issued upon conversion from Investor B shares...... 2 36 55 684 Issued as reinvestment of dividends....................... -- -- 551 7,900 Redeemed**................................................ (6,294) (92,877) (54,055) (806,150) ------- --------- ------- --------- Net increase/(decrease)................................... (1,699) $ (25,073) (6,576) $ (57,982) ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 13 $ 184 956 $ 15,663 Issued as reinvestment of dividends....................... -- -- 40 636 Shares redeemed upon conversion into Investor A shares.... (2) (36) (56) (684) Redeemed**................................................ (442) (6,397) (1,655) (22,649) ------- --------- ------- --------- Net increase/(decrease)................................... (431) $ (6,249) (715) $ (7,034) ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 90 $ 1,312 2,753 $ 44,942 Issued as reinvestment of dividends....................... -- -- 53 811 Redeemed**................................................ (1,016) (14,662) (2,046) (27,503) ------- --------- ------- --------- Net increase/(decrease)................................... (926) $ (13,350) 760 $ 18,250 ======= ========= ======= ========= Total net increase/(decrease)............................. (11,432) $(169,110) 8,504 $ 277,667 ======= ========= ======= =========
- --------------- **Net of redemption fees of $8 and $29 for Primary A, $0 and $1 for Investor A, $0 and $0 for Investor B, and $0 and $0 for Investor C for the six months ended September 30, 2003 and year ended March 31, 2003, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERNATIONAL EQUITY SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 27,167 $ 247,107 106,515 $ 984,896 Issued in exchange for assets of Bank of America International Equity Fund (Note 10)..................... -- -- 10,430 97,940 Issued as reinvestment of dividends....................... -- -- 197 1,825 Redeemed**................................................ (22,707) (208,553) (92,884) (877,690) ------- --------- ------- --------- Net increase/(decrease)................................... 4,460 $ 38,554 24,258 $ 206,971 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 1,354 $ 12,506 32,768 $ 317,343 Shares issued upon conversion from Investor B shares...... -- -- 282 2,416 Issued as reinvestment of dividends....................... -- -- 7 69 Redeemed**................................................ (1,481) (13,928) (33,597) (326,005) ------- --------- ------- --------- Net increase/(decrease)................................... (127) $ (1,422) (540) $ (6,177) ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 30 $ 262 107 $ 932 Issued as reinvestment of dividends....................... -- -- 1 8 Shares redeemed upon conversion into Investor A shares.... -- -- (297) (2,416) Redeemed**................................................ (78) (677) (328) (2,839) ------- --------- ------- --------- Net increase/(decrease)................................... (48) $ (415) (517) $ (4,315) ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 73 $ 637 212 $ 1,644 Issued as reinvestment of dividends....................... -- -- --* 1 Redeemed**................................................ (85) (747) (173) (1,279) ------- --------- ------- --------- Net increase/(decrease)................................... (12) $ (110) 39 $ 366 ======= ========= ======= ========= Total net increase/(decrease)............................. 4,273 $ 36,607 23,240 $ 196,845 ======= ========= ======= =========
- --------------- * Amount represents less than 500 shares and/or $500, as applicable. **Net of redemption fees of $6 and $166 for Primary A, $0 and $164 for Investor A, $0 and $1 for Investor B, and $7 and $18 for Investor C for the six months ended September 30, 2003 and year ended March 31, 2003, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERNATIONAL OPPORTUNITIES SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 12,508 $103,576 14,397 $107,238 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (1,442) (12,135) (1,094) (8,160) ------ -------- ------ -------- Net increase/(decrease)................................... 11,066 $ 91,441 13,303 $ 99,078 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 449 $ 3,808 240 $ 1,799 Shares issued upon conversion from Investor B shares...... -- -- 1 9 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (76) (647) (96) (734) ------ -------- ------ -------- Net increase/(decrease)................................... 373 $ 3,161 145 $ 1,074 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 128 $ 1,031 249 $ 1,834 Issued as reinvestment of dividends....................... -- -- -- -- Shares redeemed upon conversion into Investor A shares.... -- -- (1) (9) Redeemed.................................................. (21) (176) (76) (564) ------ -------- ------ -------- Net increase/(decrease)................................... 107 $ 855 172 $ 1,261 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 78 $ 640 75 $ 561 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (19)** (157) (53) (396) ------ -------- ------ -------- Net increase/(decrease)................................... 59 $ 483 22 $ 165 ====== ======== ====== ======== Total net increase/(decrease)............................. 11,605 $ 95,940 13,642 $101,578 ====== ======== ====== ========
- --------------- **Net of redemption fees of $2 for the six months ended September 30, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- GLOBAL VALUE: PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)............... $ 7.21 $ 0.04 $ 2.77 $ 2.81 $ -- $ -- Year ended 3/31/2003#....... 10.50 0.07 (3.16) (3.09) (0.04) (0.16) Period ended 3/31/2002*#.... 10.00 0.06 0.47 0.53 (0.01) (0.02) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)............... $ 7.18 $ 0.03 $ 2.76 $ 2.79 $ -- $ -- Year ended 3/31/2003#....... 10.47 0.05 (3.15) (3.10) (0.03) (0.16) Period ended 3/31/2002*#.... 10.00 0.04 0.45 0.49 --## (0.02) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)............... $ 7.11 $(0.01) $ 2.73 $ 2.72 $ -- $ -- Year ended 3/31/2003#....... 10.40 (0.01) (3.12) (3.13) -- (0.16) Period ended 3/31/2002*#.... 10.00 (0.03) 0.45 0.42 -- (0.02) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)............... $ 7.11 $(0.01) $ 2.73 $ 2.72 $ -- $ -- Year ended 3/31/2003#....... 10.40 (0.01) (3.12) (3.13) -- (0.16) Period ended 3/31/2002*#.... 10.00 (0.03) 0.45 0.42 -- (0.02)
- --------------- * Global Value Primary A, Investor A, Investor B and Investor C Shares commenced operation on April 16, 2001. + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (see Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS -------------- RATIO OF RATIO OF RATIO OF NET INCREASE NET ASSETS OPERATING NET INVESTMENT OPERATING TOTAL IN NET ASSET NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO DIVIDENDS AND VALUE FROM VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS REDEMPTION FEES END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - ---------------------------------------------------------------------------------------------------------------------------------- $ -- $ -- $10.02 38.97% $89,690 1.36%+ 0.87%+ 13% 1.36%+ (0.20) -- 7.21 (29.77) 57,373 1.40 0.87 15 1.40 (0.03) -- 10.50 5.24 49,246 1.40(a)+ 0.66+ 19 1.63(a)+ $ -- $ -- $ 9.97 38.86% $81,959 1.61%+ 0.62%+ 13% 1.61%+ (0.19) -- 7.18 (29.98) 47,111 1.65 0.62 15 1.65 (0.02) -- 10.47 4.92 26,172 1.65(a)+ 0.41+ 19 1.88(a)+ $ -- $ -- $ 9.83 38.26% $25,009 2.36%+ (0.13)%+ 13% 2.36%+ (0.16) -- 7.11 (30.41) 15,310 2.40 (0.13) 15 2.40 (0.02) -- 10.40 4.18 11,804 2.40(a)+ (0.34)+ 19 2.63(a)+ $ -- $ --## $ 9.83 38.26% $69,415 2.36%+ (0.13)%+ 13% 2.36%+ (0.16) -- 7.11 (30.41) 44,758 2.40 (0.13) 15 2.40 (0.02) -- 10.40 4.18 30,914 2.40(a)+ (0.34)+ 19 2.63(a)+
SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- INTERNATIONAL VALUE*** PRIMARY A SHARES* Six months ended 9/30/2003# (unaudited)............... $11.65 $0.12 $ 4.56 $ 4.68 $ -- $ -- Year ended 3/31/2003#....... 16.67 0.16 (4.92) (4.76) (0.17) (0.09) Year ended 3/31/2002#....... 17.30 0.22 (0.29) (0.07) (0.20) (0.36) Year ended 3/31/2001........ 18.78 0.32 (0.39) (0.07) (0.21) (1.20) Year ended 3/31/2000#....... 14.45 0.37 4.73 5.10 (0.28) (0.49) Period ended 3/31/1999#..... 15.53 0.16 0.28 0.44 (0.18) (1.34) Period from 11/30/1997 to 5/15/1998................. 13.17 0.09 2.56 2.65 -- (0.29) INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)............... $11.62 $0.10 $ 4.54 $ 4.64 $ -- $ -- Year ended 3/31/2003#....... 16.61 0.15 (4.92) (4.77) (0.13) (0.09) Year ended 3/31/2002#....... 17.26 0.18 (0.29) (0.11) (0.18) (0.36) Year ended 3/31/2001........ 18.77 0.27 (0.39) (0.12) (0.19) (1.20) Year ended 3/31/2000#....... 14.43 0.36 4.72 5.08 (0.25) (0.49) Period ended 3/31/1999#..... 15.44 0.14 0.36 0.50 (0.17) (1.34) Period from 11/30/1997 to 5/15/1998................. 13.13 0.08 2.52 2.60 -- (0.29) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)............... $11.47 $0.05 $ 4.48 $ 4.53 $ -- $ -- Year ended 3/31/2003#....... 16.39 0.03 (4.84) (4.81) (0.02) (0.09) Year ended 3/31/2002#....... 17.07 0.07 (0.30) (0.23) (0.09) (0.36) Year ended 3/31/2001........ 18.64 0.16 (0.40) (0.24) (0.13) (1.20) Year ended 3/31/2000#....... 14.40 0.22 4.66 4.88 (0.15) (0.49) Period ended 3/31/1999**#... 14.33 0.06 0.76 0.82 (0.13) (0.62) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)............... $11.46 $0.05 $ 4.47 $ 4.52 $ -- $ -- Year ended 3/31/2003#....... 16.39 0.02 (4.82) (4.80) (0.04) (0.09) Year ended 3/31/2002#....... 17.07 0.04 (0.27) (0.23) (0.09) (0.36) Year ended 3/31/2001........ 18.65 0.16 (0.41) (0.25) (0.13) (1.20) Year ended 3/31/2000#....... 14.41 0.21 4.69 4.90 (0.17) (0.49) Period ended 3/31/1999**#... 13.33 0.06 1.77 1.83 (0.13) (0.62)
- --------------- * The financial information for the fiscal periods through May 22, 1998 reflect the financial information for the Emerald International Equity Funds Institutional and Retail Shares, which were reorganized into the International Value Primary A and Investor A Shares, respectively, as of May 22, 1998. ** International Value Investor B and Investor C Shares commenced operations on May 22, 1998 and June 15, 1998, respectively. ***The per share amounts and percentages reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of International Value Master Portfolio. + 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. ### Amount represents results prior to conversion to a master-feeder structure. (a)The effect of the custodial expense offset (see Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF NET INCREASE NET ASSETS OPERATING INVESTMENT OPERATING TOTAL IN NET ASSET NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO DIVIDENDS AND VALUE FROM VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS REDEMPTION FEES END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------------------------- $ -- $ --## $16.33 40.17% $2,126,542 1.14%+ 1.60%+ -- 1.20%+ (0.26) -- 11.65 (28.81) 1,614,750 1.17 1.16 -- 1.23 (0.56) -- 16.67 (0.18) 2,059,558 1.19 1.36 -- 1.23 (1.41) -- 17.30 (0.50) 1,163,899 1.13 1.89 -- 1.23 (0.77) -- 18.78 36.03 600,589 1.24(a) 2.11 12%### 1.34(a) (1.52) -- 14.45 1.48 142,546 1.30+ 1.36+ 44 1.39+ (0.29) -- 15.53 20.54 119,412 1.25+ 2.06+ 88 1.26+ $ -- $ -- $16.26 39.93% $ 647,398 1.39%+ 1.35%+ -- 1.45%+ (0.22) -- 11.62 (28.97) 482,196 1.42 0.91 -- 1.48 (0.54) -- 16.61 (0.46) 798,587 1.44 1.11 -- 1.48 (1.39) -- 17.26 (0.72) 353,646 1.38 1.64 -- 1.48 (0.74) -- 18.77 35.86 186,649 1.49(a) 1.86 12%### 1.59(a) (1.51) -- 14.43 1.75 5,960 1.55+ 1.11+ 44 1.64+ (0.29) -- 15.44 20.22 5,128 1.81+ 1.21+ 88 1.82+ $ -- $ -- $16.00 39.49% $ 95,304 2.14%+ 0.60%+ -- 2.20%+ (0.11) -- 11.47 (29.54) 73,283 2.17 0.16 -- 2.23 (0.45) -- 16.39 (1.16) 116,374 2.19 0.36 -- 2.23 (1.33) -- 17.07 (1.42) 80,655 2.13 0.89 -- 2.23 (0.64) -- 18.64 34.51 50,999 2.24(a) 1.11 12%### 2.34(a) (0.75) -- 14.40 1.25 4,296 2.30+ 0.36+ 44 2.39+ $ -- $ -- $15.98 39.44% $ 143,621 2.14%+ 0.60%+ -- 2.20%+ (0.13) -- 11.46 (29.52) 113,594 2.17 0.16 -- 2.23 (0.45) -- 16.39 (1.16) 149,979 2.19 0.36 -- 2.23 (1.33) -- 17.07 (1.45) 48,784 2.13 0.89 -- 2.23 (0.66) -- 18.65 34.64 13,725 2.24(a) 1.11 12%### 2.34(a) (0.75) -- 14.41 3.98 182 2.30+ 0.36+ 44 2.39+
SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY: PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)................. $ 8.01 $ 0.08 $ 1.94 $ 2.02 $ -- $ -- Year ended 3/31/2003*#........ 10.49 0.10 (2.53) (2.43) (0.05) -- Year ended 3/31/2002*#........ 11.12 0.09 (0.72) (0.63) --## -- Year ended 3/31/2001*#........ 16.74 0.12 (4.47) (4.35) (0.11) (1.16) Year ended 3/31/2000*#........ 14.12 0.10 4.91 5.01 (0.06) (2.33) Year ended 3/31/1999#......... 14.81 0.11 0.39 0.50 (0.12) (1.07) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)................. $ 7.93 $ 0.07 $ 1.92 $ 1.99 $ -- $ -- Year ended 3/31/2003*#........ 10.30 0.08 (2.47) (2.39) (0.04) -- Year ended 3/31/2002*#........ 10.95 0.06 (0.71) (0.65) -- -- Year ended 3/31/2001*#........ 16.51 0.07 (4.38) (4.31) (0.09) (1.16) Year ended 3/31/2000*#........ 13.97 0.06 4.86 4.92 (0.05) (2.33) Year ended 3/31/1999*#........ 14.67 0.08 0.40 0.48 (0.11) (1.07) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)................. $ 7.50 $ 0.03 $ 1.81 $ 1.84 $ -- $ -- Year ended 3/31/2003*#........ 9.87 0.02 (2.38) (2.36) (0.01) -- Year ended 3/31/2002*#........ 10.56 (0.01) (0.68) (0.69) -- -- Year ended 3/31/2001*#........ 16.06 -- (4.27) (4.27) (0.07) (1.16) Year ended 3/31/2000*#........ 13.75 (0.05) 4.72 4.67 (0.03) (2.33) Year ended 3/31/1999#......... 14.56 (0.03) 0.38 0.35 (0.09) (1.07) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)................. $ 7.43 $ 0.03 $ 1.75 $ 1.78 $ -- $ -- Year ended 3/31/2003*#........ 9.63 0.01 (2.33) (2.32) (0.01) -- Year ended 3/31/2002*#........ 10.30 (0.01) (0.66) (0.67) -- -- Year ended 3/31/2001*#........ 15.72 (0.02) (4.17) (4.19) (0.07) (1.16) Year ended 3/31/2000*#........ 13.52 (0.03) 4.60 4.57 (0.04) (2.33) Year ended 3/31/1999#......... 14.34 (0.03) 0.37 0.34 (0.09) (1.07)
- --------------- * The per share amounts and percentages reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of International Equity Master Portfolio. + 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. +++ Rate represents the International Equity Master Portfolio. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. ### Amount represents results prior to conversion to a master-feeder structure. The portfolio turnover rate for the International Equity Master Portfolio was 48% for the period beginning October 8, 1999 and ending March 31, 2000. (a) The Reimbursement from Investment Adviser (see note 12) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- NET INCREASE RATIO OF RATIO OF NET RATIO OF IN NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING TOTAL VALUE FROM NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO DIVIDENDS AND REDEMPTION VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS FEES END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------------------- $ -- $ --## $10.03 25.22% $742,005 1.13%+(a) 1.71%+ 48% 1.14%+ (0.05) --## 8.01 (23.19) 556,619 1.18 1.10 100+++ 1.18 --## -- 10.49 (5.65) 474,738 1.16 0.88 85+++ 1.16 (1.27) -- 11.12 (27.40) 724,572 1.15 0.89 92+++ 1.16 (2.39) -- 16.74 39.85 866,731 1.14 0.69 129### 1.18 (1.19) -- 14.12 3.68 743,861 1.13 0.79 146 1.13 $ -- $ -- $ 9.92 25.09% $ 22,351 1.38%+(a) 1.46%+ 48% 1.39%+ (0.04) 0.06 7.93 (22.71) 18,870 1.43 0.85 100+++ 1.43 -- -- 10.30 (5.94) 30,067 1.41 0.63 85+++ 1.41 (1.25) -- 10.95 (27.54) 46,770 1.40 0.64 92+++ 1.41 (2.38) -- 16.51 39.54 43,111 1.39 0.44 129### 1.43 (1.18) -- 13.97 3.59 12,785 1.38 0.54 146 1.38 $ -- $ -- $ 9.34 24.53% $ 8,364 2.13%+(a) 0.71%+ 48% 2.14%+ (0.01) --## 7.50 (23.96) 7,068 2.18 0.10 100+++ 2.18 -- -- 9.87 (6.53) 14,408 2.16 (0.12) 85+++ 2.16 (1.23) -- 10.56 (28.11) 20,747 2.15 (0.11) 92+++ 2.16 (2.36) -- 16.06 38.14 32,073 2.14 (0.31) 129### 2.18 (1.16) -- 13.75 2.65 28,266 2.13 (0.21) 146 2.13 $ -- $0.04 $ 9.25 24.50% $ 1,443 2.13%+(a) 0.71%+ 48% 2.14%+ (0.01) 0.13 7.43 (22.78) 1,249 2.18 0.10 100+++ 2.18 -- -- 9.63 (6.50) 1,245 2.16 (0.12) 85+++ 2.16 (1.23) -- 10.30 (28.22) 1,166 2.15 (0.11) 92+++ 2.16 (2.37) -- 15.72 38.12 987 2.14 (0.31) 129### 2.18 (1.16) -- 13.52 2.63 824 2.13 (0.21) 146 2.13
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ NET INCREASE VALUE NET AND UNREALIZED (DECREASE) IN IN NET ASSET NET ASSET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE VALUE FROM VALUE OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS REDEMPTION FEES END OF PERIOD ---------------------------------------------------------------------------------------------- INTERNATIONAL OPPORTUNITIES PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)................. $ 6.98 $ 0.03 $ 1.94 $ 1.97 $ -- $8.95 Year ended 3/31/2003#......... 8.36 0.04 (1.42) (1.38) -- 6.98 Year ended 3/31/2002#......... 8.03 (0.01) 0.34 0.33 -- 8.36 Period ended 3/31/2001*#...... 10.00 --## (1.97) (1.97) -- 8.03 INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)................. $ 6.93 $ 0.02 $ 1.93 $ 1.95 $ -- $8.88 Year ended 3/31/2003#......... 8.32 0.01 (1.40) (1.39) -- 6.93 Year ended 3/31/2002#......... 8.01 (0.01) 0.32 0.31 -- 8.32 Period ended 3/31/2001*#...... 10.00 (0.01) (1.98) (1.99) -- 8.01 INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)................. $ 6.79 $(0.01) $ 1.89 $ 1.88 $ -- $8.67 Year ended 3/31/2003#......... 8.22 (0.04) (1.39) (1.43) -- 6.79 Year ended 3/31/2002#......... 7.97 (0.07) 0.32 0.25 -- 8.22 Period ended 3/31/2001*#...... 10.00 (0.08) (1.95) (2.03) -- 7.97 INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)................. $ 6.80 $(0.01) $ 1.87 $ 1.86 $0.01 $8.67 Year ended 3/31/2003#......... 8.22 (0.05) (1.37) (1.42) -- 6.80 Year ended 3/31/2002#......... 7.97 (0.07) 0.32 0.25 -- 8.22 Period ended 3/31/2001*#...... 10.00 (0.09) (1.94) (2.03) -- 7.97
- --------------- * International Opportunities Primary A, Investor A, Investor B and Investor C Shares commenced operations on August 1, 2000. + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (see 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. 30 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------- RATIO OF RATIO OF NET RATIO OF NET ASSETS OPERATING INVESTMENT OPERATING END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS - -------------------------------------------------------------------------------------- 28.22% $221,014 1.23%+(a) 0.74%+ 81% 1.23%+(a) (16.51) 95,093 1.48(a) 0.58 193 1.80(a) 4.11 2,700 1.42(a)(b) (0.08) 307 4.02(a) (19.70) 1,477 1.47+ 0.12+ 442 6.28+ 28.14% $ 6,215 1.48%+(a) 0.49%+ 81% 1.48%+(a) (16.71) 2,272 1.73(a) 0.33 193 2.05(a) 3.87 1,526 1.67(a)(b) (0.33) 307 4.27(a) (19.90) 2,797 1.72+ (0.13)+ 442 6.53+ 27.69% $ 4,475 2.23%+(a) (0.26)%+ 81% 2.23%+(a) (17.40) 2,782 2.48(a) (0.42) 193 2.80(a) 3.14 1,951 2.42(a)(b) (1.08) 307 5.02(a) (20.30) 2,031 2.47+ (0.88)+ 442 7.28+ 27.50% $ 1,624 2.23%+(a) (0.26)%+ 81% 2.23%+(a) (17.27) 869 2.48(a) (0.42) 193 2.80(a) 3.14 869 2.42(a)(b) (1.08) 307 5.02(a) (20.30) 974 2.47+ (0.88)+ 442 7.28+
SEE NOTES TO FINANCIAL STATEMENTS. 31 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, 2003, Funds Trust offered fifty-seven separate portfolios. These financial statements pertain only to the international stock portfolios of Funds Trust: Global Value Fund, International Value Fund, International Equity Fund and International Opportunities Fund (each a "Fund" and collectively, the "Funds"). Financial statements for the other portfolios of Funds Trust are presented under separate cover. The Funds currently offer four classes of shares: Primary A Shares, Investor A Shares, Investor B Shares and Investor C Shares. Subject to certain limited exceptions, International Value Fund is no longer accepting new investments from current or prospective investors. Please see the Fund's current prospectus for more information. Shareholders of a Fund have equal voting rights on matters affecting all shareholders of the Fund. In addition, each class of shares of a Fund has exclusive voting rights on matters that relate solely to that class and separate voting rights on matters in which the interests of one class differ from the interests of any other class. International Value Fund (the "Feeder Fund") seeks to achieve its investment objective by investing substantially all of its assets in International Value Master Portfolio (the "Master Portfolio"), a series of Nations Master Investment Trust (the "Master Trust"), another open-end management investment company in the Nations Funds family. The Master Portfolio has the same investment objective as that of its corresponding Feeder Fund. The values of the Feeder Fund's investments in the Master Portfolio included in the Statements of net assets reflects the Feeder Fund's proportionate beneficial interests in the net assets of the Master Portfolio (83.5% for International Value Master Portfolio at September 30, 2003). The financial statements of the Master Portfolio, including its schedule of investments, are included elsewhere within this report and should be read in conjunction with the Feeder Fund's financial statements. Other funds not registered under the 1940 Act and managed by Banc of America Capital Management, LLC ("BACAP"), whose financial statements are not presented here, also invest in the Master Portfolios. International Equity Fund and International Opportunities Fund operate in a master-feeder structure. The Funds seek to achieve their investment objective by investing substantially all of their assets in International Equity Master Portfolio and International Opportunities Master Portfolio of the Master Trust, which has the same investment objective as the Feeder Funds. Because the value of the Funds' investments in the International Equity Master Portfolio and the International Opportunities Master Portfolio as of and for the six months ended September 30, 2003 represented substantially all of the beneficial interests in the International Equity Master Portfolio and the International Opportunities Master Portfolio, the financial statements for the International Equity Fund and the International Opportunities Fund reflect the consolidation of the International Equity Master Portfolio and the International Opportunities Master Portfolio. Separate financial statements for the International Equity Master Portfolio and the International Opportunities Master Portfolio have not been prepared and references in this report to International Equity Fund and International Opportunities Fund should be read to include references to the corresponding Master Portfolios. There are certain risks involved in investing in foreign securities that are in addition to the usual risks inherent in domestic instruments. These risks include those resulting from currency fluctuations, future adverse political and economic developments and possible imposition of currency exchange blockages or other foreign government laws or restrictions. 1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. Securities valuation: Securities, including futures contracts, traded on a recognized exchange are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on NASDAQ are valued at the NASDAQ official closing price. 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. Securities which are primarily traded on foreign securities exchanges are valued at the last available closing values on their respective exchanges where primarily traded, or at the mean between the closing bid and ask prices if no sales are recorded. Debt securities are generally 32 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) valued by an independent pricing service. Prices provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as yield, type of issue, coupon rate, maturity and general market conditions. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. Investments in other Nations Funds are valued at their net asset value as determined by the applicable Nations Funds' prospectus. The valuation of the Feeder Fund's investment in its corresponding Master Portfolio is based on the reported net asset value of that Master Portfolio. The Master Portfolio uses valuation policies consistent with those described above. Trading in securities on most foreign exchanges and over the counter markets is normally completed before the close of the domestic stock market and may also take place on days when the domestic market is closed. If events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Fund's net assets are calculated, such securities will be valued at fair value in accordance with procedures adopted by the Board of Trustees. Futures contracts: All Funds may invest in futures contracts for the purposes of hedging against changes in values of the Fund's securities or changes in the prevailing levels of interest rates or currency exchange rates or to gain exposure to the equity market. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin". Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect changes in the market value of the contract. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, and the possibility that there may not be a liquid secondary market for the contracts, that a change in the value of the contract may not correlate with a change in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. Foreign currency transactions: The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received. The effects of changes in foreign currency exchange rates on securities are not separately identified in the Statements of operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on securities. Forward foreign currency transactions: Generally, each Fund may enter into forward currency exchange contracts only under two circumstances: (i) when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency, to "lock in" the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when the investment adviser or sub-adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar. Forward foreign currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed or offset with the same counterparty, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset. Forward foreign currency contracts will be used primarily to protect the Funds from adverse currency movements and will generally not be entered into for terms greater than one year. The use of forward foreign currency contracts does not 33 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) eliminate fluctuations in the underlying prices of a Fund's investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of net assets. In addition, the Funds could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. The use of derivative instruments involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statement of net assets. Securities transactions and investment income: Securities transactions are recorded on trade date. Realized gains and losses are computed based on the specific identification of securities sold. Interest income, adjusted for accretion of discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income (including dividend income from affiliated funds) is recorded on ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Funds are informed of the ex-dividend date. Each Fund's investment income and realized and unrealized gains and losses are allocated among its share classes based upon the relative net assets of each class of shares. The Feeder Fund records its share of the investment income and realized and unrealized gains and losses reported by the Master Portfolio on a daily basis. The investment income and realized and unrealized gains and losses are allocated daily to investors in the Master Portfolio based upon the relative value of their investments in the Master Portfolio. Dividends and distributions to shareholders: Distributions from net investment income, if any, are declared and paid annually. Each Fund will distribute net realized capital gains (including net short-term capital gains), at least annually after the fiscal year in which the capital gains were earned, unless offset by any available capital loss carryforward. Dividends and distributions to shareholders are recorded on ex-dividend date. Income distributions and capital gain distributions on a Fund level are determined in accordance with federal income tax regulations which may differ from accounting principles generally accepted in the United States of America. Federal income tax: Each Fund intends to continue to qualify as a regulated investment company by complying with the applicable requirements of the Internal Revenue Code of 1986, as amended, and by distributing substantially all of its earnings to its shareholders. Therefore, no provision is made for federal income or excise taxes. The Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. Expenses: General expenses of Funds Trust are allocated to the Funds based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Fund or class of shares are charged to such Fund or class. The Feeder Fund records its share of the expenses reported by the Master Portfolio on a daily basis. The expenses are allocated daily to investors in the Master Portfolio based upon the relative value of the Feeder Fund's investments in the Master Portfolio. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Funds Trust and Master Trust have entered into investment advisory agreements (the "Investment Advisory Agreements") with BACAP, 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 BACAP provides investment advisory services to the Funds. Under the terms of 34 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) the Investment Advisory Agreements, BACAP is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Fund:
ANNUAL RATE ----------- Global Value................................................ 0.90% International Equity........................................ 0.80% International Opportunities................................. 0.80%
The Feeder Fund indirectly pays for investment advisory and sub-advisory services through its investment in its corresponding Master Portfolio (See Note 2 of Notes to financial statements of the Master Portfolio). Funds Trust has, on behalf of the Global Value Fund, entered into a sub-advisory agreement with BACAP and Brandes Investment Partners, LLC ("Brandes") pursuant to which Brandes is entitled to receive a sub-advisory fee from BACAP at the maximum annual rate of 0.50% of the first $1 billion of the Fund's average daily net assets and 0.45% over $1 billion of the Fund's average daily net assets. The International Equity Fund is a "multi-manager" fund, which means that it is managed by more than one sub-adviser. INVESCO Global Asset Management (N.A.), Inc. ("INVESCO"), Putnam Investment Management, LLC ("Putnam") and Marsico Capital Management, LLC ("Marsico") each manage approximately one-third of the assets of the Fund. Pursuant to the sub-advisory agreement, INVESCO, Putnam and Marsico are entitled to receive a fee from BACAP at the maximum annual rate of 0.65% of the first $60 million, 0.55% of the next $130 million, 0.45% of the next $200 million and 0.40% over $390 million of the Funds' average daily net assets under management. Master Trust has, on behalf of the International Opportunities Fund, entered into a sub-advisory agreement with BACAP and Marsico Capital Management, LLC ("Marsico"), a wholly-owned subsidiary of Bank of America, pursuant to which Marsico is entitled to receive a sub-advisory fee from BACAP at the maximum annual rate of 0.45% of the Fund's average daily net assets. BACAP Distributors, LLC ("BACAP Distributors"), a wholly-owned subsidiary of Bank of America, serves as sole administrator of Funds Trust. Under the administration agreement, BACAP Distributors is currently entitled to receive a fee, computed daily and paid monthly, at the maximum annual rate of 0.22% of the average daily net assets of Global Value Fund, International Equity Fund and International Opportunities Fund. International Value Fund pays a monthly fee at the maximum annual rate of 0.17% of its average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of Funds Trust pursuant to an agreement with BACAP Distributors. For the six months ended September 30, 2003, BACAP Distributors earned 0.14% (annualized) of the Funds' average daily net assets (net of sub-administrator fees) for its administration services. BACAP and/or its affiliates may, from time to time, reduce its fees payable by each Fund. During the six months ended September 30, 2003 and until July 31, 2004, BACAP has agreed to reimburse expenses and/or waive fees to the extent that total expenses (excluding interest expense, shareholder servicing and distribution fees) exceed an annual rate of 1.40% of Global Value Fund's average daily net assets and 1.50% of International Opportunities Fund's average daily net assets. There is no guarantee that these expense limitations will continue after this date. BACAP is entitled to recover from Global Value Fund any fees waived or expenses reimbursed by BACAP during the three year period following the date of such waiver or reimbursement, to the extent that such recovery would not cause the Global Value Fund to exceed the expense limitation in effect at the time of recovery. At September 30, 2003, the amounts potentially recoverable by BACAP pursuant to this arrangement are as follows:
POTENTIAL AMOUNT POTENTIAL AMOUNT POTENTIAL AMOUNT AMOUNT RECOVERED TO RECOVER WITHIN TO RECOVER WITHIN TO RECOVER WITHIN DURING PERIOD 3 YEARS 3 YEARS 3 YEARS ENDED AS OF 9/30/03 AS OF 3/31/03 AS OF 3/31/02 9/30/03 ------------------------------------------------------------------------------- Global Value.................................... $ -- $ -- $ -- $69,678
BNY serves as the custodian of Funds Trust's assets. For the six months ended September 30, 2003, expenses of the Funds were reduced by $442 under expense offset arrangements with BNY. The Funds could have invested a portion of 35 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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. serves as the transfer agent for the Funds' shares. Bank of America serves as the sub-transfer agent for the Primary A Shares of the Funds. Bank of America is entitled to receive from the transfer agent a fee equal to the costs incurred by Bank of America in providing services pursuant to its obligations as sub-transfer agent at the annual rate of up to 0.01% attributable to the net assets of the Primary A shares of the Funds. For the six months ended September 30, 2003, Bank of America earned approximately $28,888 for providing such services and is included in "Transfer agent fees" in the Statements of operations. BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2003, the Funds were informed that the distributors received the following:
FRONT END CONTINGENT DEFERRED SALES CHARGE SALES CHARGE (000) (000) ------------ -------------------------------------- FUND INVESTOR A INVESTOR A INVESTOR B INVESTOR C - -------------------------------------------------------------------------------------------------------------------- Global Value................................................ $ 13 $-- $18 $6 International Value......................................... 7 25 94 3 International Equity........................................ -- 1 2 4 International Opportunities................................. 351 -- 4 1
The Funds are also entitled to a 2% redemption fee on the proceeds of Fund shares that are purchased after August 1, 2002 and are redeemed (either by selling shares or exchanging into another Fund) within 90 days of their purchase. The redemption fee is designed to offset brokerage commissions and other costs associated with short term trading in and out of Funds. The redemption fees are included as an increase to Paid in capital on the Statements of net assets and as a decrease to shares redeemed in the Schedules of capital stock activity. For the six months ended September 30, 2003, the Funds received the following in redemption fees:
REDEMPTION FEE (000) --------------------------------------------------- FUND PRIMARY A INVESTOR A INVESTOR B INVESTOR C - ----------------------------------------------------------------------------------------------------------------- Global Value................................................ $ -- $ -- $ -- $ 1 International Value......................................... 8 -- -- -- International Equity........................................ 6 -- -- 7 International Opportunities................................. -- -- -- 2
No officer, director or employee of Bank of America or BACAP Distributors, 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 Statements of net assets. A significant portion of each Fund's Primary Shares represents investments by fiduciary accounts over which Bank of America has either sole or joint investment discretion. The Funds have made daily investments of cash balances in the 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". BACAP and BACAP Distributors have earned fees related to investments in affiliated funds. 36 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS Funds Trust has adopted shareholder servicing plans and distribution plans for the Investor B and Investor C Shares of each Fund and a combined distribution and shareholder servicing plan for Investor A Shares of each Fund. The shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. The distribution plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to compensate or reimburse the distributor and/or selling agents for activities or expenses primarily intended to result in the sale of the classes' shares. Payments are made at an annual rate, as a percentage of average daily net assets, set from time to time by the Board of Trustees, and are charged as expenses of each Fund directly to the applicable share class. A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BACAP Distributors. For the six months ended September 30, 2003, the annual rates in effect and plan limits, as a percentage of average daily net assets, were as follows:
CURRENT PLAN RATE LIMIT --------------------- Investor A Combined Shareholder Servicing and Distribution Plan...................................................... 0.25% 0.25% Investor B and Investor C Shareholder Servicing Plans....... 0.25% 0.25% Investor B and Investor C Distribution Plans................ 0.75% 0.75%
4. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) --------------------------- Global Value................................................ $ 55,435 $ 27,831 International Equity........................................ 382,901 327,284 International Opportunities................................. 219,786 126,822
There were no purchases or sales of long-term U.S. government securities for the six months ended September 30, 2003. 37 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 5. FORWARD FOREIGN CURRENCY CONTRACTS At September 30, 2003, the International Equity Fund and International Opportunities Fund had the following forward foreign currency contracts outstanding:
VALUE OF VALUE OF CONTRACT UNREALIZED CONTRACT WHEN MARKET VALUE APPRECIATION/ WHEN OPENED OPENED OF CONTRACT (DEPRECIATION) LOCAL (LOCAL CURRENCY) (US DOLLARS) (US DOLLARS) (US DOLLARS) DESCRIPTION CURRENCY (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND: CONTRACTS TO BUY: Expiring December 17, 2003......... Australian Dollar 930 $ 600 $ 624 $ 24 Expiring December 17, 2003......... Australian Dollar 2,710 1,748 1,819 71 Expiring December 17, 2003......... Australian Dollar 1,394 899 936 37 Expiring December 17, 2003......... Australian Dollar 3,175 2,048 2,131 83 Expiring December 17, 2003......... Australian Dollar 465 300 312 12 Expiring December 17, 2003......... Australian Dollar 465 300 312 12 Expiring December 17, 2003......... Australian Dollar 1,349 854 906 52 Expiring December 17, 2003......... Australian Dollar 1,349 854 905 51 Expiring December 17, 2003......... Canadian Dollar 1,702 1,211 1,257 46 Expiring December 17, 2003......... Swiss Franc 11,211 8,311 8,507 196 Expiring December 17, 2003......... Euro 1,068 1,161 1,241 80 Expiring December 17, 2003......... Euro 13,805 15,815 16,041 226 Expiring December 17, 2003......... British Pound Sterling 2,251 3,515 3,719 204 Expiring December 17, 2003......... British Pound Sterling 5,361 8,798 8,857 59 Expiring December 17, 2003......... Japanese Yen 143,931 1,229 1,292 63 Expiring December 17, 2003......... Mexican Nuevo Peso 6,536 590 587 (3) Expiring December 17, 2003......... Mexican Nuevo Peso 6,536 588 587 (1) Expiring December 17, 2003......... Mexican Nuevo Peso 8,197 739 736 (3) Expiring December 17, 2003......... Mexican Nuevo Peso 2,732 246 245 (1) Expiring December 17, 2003......... Norwegian Krone 8,781 1,155 1,240 85 ------- Net unrealized appreciation...... $ 1,293 ------- CONTRACTS TO SELL: Expiring December 17, 2003......... Canadian Dollar (1,702) $ (1,240) $ (1,257) $ (17) Expiring December 17, 2003......... Swiss Franc (3,265) (2,317) (2,477) (160) Expiring December 17, 2003......... Swiss Franc (11,211) (8,076) (8,507) (431) Expiring December 17, 2003......... Euro (2,643) (2,855) (3,072) (217) Expiring December 17, 2003......... Euro (568) (613) (659) (46) Expiring December 17, 2003......... Euro (1,171) (1,304) (1,361) (57) Expiring December 17, 2003......... Euro (13,805) (15,399) (16,041) (642) Expiring December 17, 2003......... British Pound Sterling (5,361) (8,460) (8,857) (397) Expiring December 17, 2003......... Japanese Yen (143,931) (1,230) (1,292) (62) Expiring December 17, 2003......... Mexican Nuevo Peso (24,000) (2,171) (2,155) 16 Expiring December 17, 2003......... Norwegian Krone (8,781) (1,159) (1,240) (81) ------- Net unrealized depreciation...... $(2,094) ------- Total net unrealized depreciation................... $ (801) ======= INTERNATIONAL OPPORTUNITIES FUND: CONTRACTS TO BUY: Expiring December 17, 2003......... Swiss Franc 9,032 $ 6,695 $ 6,853 $ 158 Expiring December 17, 2003......... Euro 10,852 12,433 12,610 177 Expiring December 17, 2003......... British Pound Sterling 4,311 7,076 7,123 47 ------- Net unrealized appreciation...... $ 382 -------
38 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
VALUE OF VALUE OF CONTRACT UNREALIZED CONTRACT WHEN MARKET VALUE APPRECIATION/ WHEN OPENED OPENED OF CONTRACT (DEPRECIATION) LOCAL (LOCAL CURRENCY) (US DOLLARS) (US DOLLARS) (US DOLLARS) DESCRIPTION CURRENCY (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- CONTRACTS TO SELL: Expiring December 17, 2003......... Swiss Franc (9,032) $ (6,507) $ (6,853) $ (346) Expiring December 17, 2003......... Euro (10,852) (12,106) (12,610) (504) Expiring December 17, 2003......... British Pound Sterling (4,311) (6,803) (7,123) (320) ------- Net unrealized depreciation...... $(1,170) ------- Total net unrealized depreciation................... $ (788) =======
6. SHARES OF BENEFICIAL INTEREST As of September 30, 2003, an unlimited number of shares of beneficial interest without par value were authorized for Funds Trust. Fund 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. Investor B Shares generally convert to Investor A Shares based on the following conditions:
INVESTOR B SHARES PURCHASED: WILL CONVERT TO INVESTOR A SHARES AFTER: - ---------------------------------------------------------------------------------------------- - -- after November 15, 1998 Eight years - -- between August 1, 1997 and November 15, 1998 $0 - $249,999 Nine years $250,000 - $499,999 Six years $500,000 - $999,999 Five years - -- before August 1, 1997 Nine years
See Schedules of capital stock activity. 7. LINE 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"). The Agreement is renewable on an annual basis. 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. The Funds had no borrowings outstanding at September 30, 2003. During the six months ended September 30, 2003, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST (000) RATE ------------------------ International Equity Fund................................... $39 1.56%
- --------------- *The average amount outstanding was calculated based on daily balances in the period. 8. 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 39 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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, 2003, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE OF LOANED SECURITIES COLLATERAL FUND (000) (000) - -------------------------------------------------------------------------------------------------- Global Value................................................ $15,778 $16,827 International Equity........................................ 61,522 65,248 International Opportunities................................. 21,843 22,567
9. INCOME TAXES Information on the tax components of capital as of September 30, 2003 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) - --------------------------------------------------------------------------------------------------------------------------------- Global Value.................................... $271,681 $25,700 $(19,126) $ 6,574 $ 8 International Value............................. N/A* N/A* N/A* (234,065) 5 International Equity............................ 761,498 99,988 (22,894) 77,094 (690) International Opportunities..................... 232,331 29,688 (966) 28,722 (763)
- --------------- *See corresponding Master Portfolio for tax basis information. At March 31, 2003, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING IN EXPIRING IN EXPIRING IN EXPIRING IN 2007 2009 2010 2011 FUND (000) (000) (000) (000) - ---------------------------------------------------------------------------------------------------------------------- International Value......................................... $ -- $ -- $ -- $75,615 International Equity........................................ -- -- 128,015 51,782 International Opportunities................................. -- 166 2,333 1,377
Under the current tax law, capital and currency losses realized after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. For the fiscal year ended March 31, 2003, the following Funds elected to defer losses occurring between November 1, 2002 and March 31, 2003 under these rules, as follows:
CAPITAL CURRENCY LOSSES DEFERRED LOSSES DEFERRED FUND (000) (000) - ------------------------------------------------------------------------------------------------ Global Value................................................ $ 277 $ -- International Value......................................... 66,355 27 International Equity........................................ 16,709 750 International Opportunities................................. 2,358 230
10. REORGANIZATIONS CHANGE OF REGISTERED INVESTMENT COMPANY On May 10, 2002, each Fund of Nations Reserves listed in the left column below (each a "Fund") reorganized into a newly created successor fund of Funds Trust listed in the right column below, that was 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 40 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) of the newly created successor fund. The financial statements of each successor fund reflects the historical financial results of each corresponding Fund prior to the reorganization.
FUND REORGANIZED INTO A NEWLY CREATED SUCCESSOR FUND - -------------------------------------------------------------------------------------------- International Value International Value International Equity International Equity Emerging Markets Emerging Markets
CONVERSION OF COMMON TRUST FUNDS On July 19, 2002, the International Equity Fund (the "Acquiring Fund"), acquired the net assets of Bank of America International Equity Fund, a common trust fund managed by Bank of America, (the "Acquired Fund"), in a tax-free exchange for shares of the Acquiring Fund. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized depreciation as of the conversion date were as follows:
ACQUIRED TOTAL NET ASSETS FUND TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION DEPRECIATION (000) (000) (000) (000) - ----------------------------------------------------------------------- $97,940 $451,505 $549,445 $(8,636)
11. SUBSEQUENT EVENT Global Value Fund will no longer accept new investments from current or prospective investors (subject to limited exceptions) after December 31, 2003. 12. EVENTS On September 3, 2003, the Office of the Attorney General for the State of New York ("NYAG") simultaneously filed and settled a complaint against Canary Capital Partners, LLC, et al. (collectively, "Canary"). The complaint alleged, among other things, that Canary engaged in improper trading in certain Nations Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and also "late trading." The NYAG later announced a criminal action, and the SEC announced a civil action, against a former employee of Banc of America Securities, LLC, a selling agent affiliated with the Nations Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name Nations Funds, among others, as defendants. The independent Trustees of Funds Trust and Master Trust have engaged independent legal counsel and, through them, independent accountants to determine the extent of any "late trading" or improper "market timing" activity in any of the Funds and to determine the extent of any losses suffered by the Funds from such activity and/or the amount of any disgorgement that should be made. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of Funds Trust and Master Trust jointly announced that: (i) to the extent that the independent counsel and accountants determine that the Funds were adversely affected by any late trading or any discretionary market timing agreement, BACAP would make appropriate restitution; and (ii) BACAP and BACAP Distributors would promptly return to the Funds that were the subject of a market timing agreement all advisory and administration fees they received as a result of such an agreement, irrespective as to whether or not there is an independent determination of any negative impact to any Fund shareholders. In addition, Bank of America Corporation has also agreed to make appropriate reimbursement of costs incurred by Nations Funds in connection with this matter. Bank of America Corporation has also announced the establishment of a restitution fund for shareholders of the Funds who were harmed by the late trading and improper market timing practices of Canary. With regard only to the commitment noted above to promptly return certain fees, the Funds recorded the following receivables to reflect the return of investment advisory fees earned by BACAP, or its predecessors, (net of waivers) and administration fees earned by BACAP Distributors, or its predecessors, (net of waivers, if any) related to a market timing 41 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) agreement during the indicated periods as follows: Nations International Equity Fund (May 2001 through July 2003) -- $66,200. The receivable is expected to be paid on or about November 28, 2003 and was recorded as a reimbursement in the Statement of operations of the impacted Fund. The receivable described in the preceding paragraphs reflects only the return of fees received by BACAP and BACAP Distributors as a result of a discretionary market timing agreement, and does not reflect Bank of America Corporation's pledge of restitution to those Funds that were adversely affected by any late trading or any discretionary market timing agreement. A review of the harm to Fund shareholders as a result of any late trading or any discretionary market timing arrangement remains ongoing. 42 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio Semi-annual Report SEPTEMBER 30, 2003 (UNAUDITED) The following pages should be read in conjunction with Nations International Value Fund's Semi-annual Report. 43 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ----------------------------------------------------------------------------------------- COMMON STOCKS -- 97.3% BELGIUM -- 0.6% 865,400 Interbrew..................................................... $ 21,547 ---------- BERMUDA -- 2.1% 3,693,380 Tyco International Ltd. ...................................... 75,456 ---------- BRAZIL -- 3.5% 241,760 Brasil Telecom Participacoes SA, ADR(a)....................... 9,259 11,414,270 Centrais Eletricas Brasileiras SA, ADR........................ 46,398 1,984,600 Petroleo Brasileiro SA-'A', ADR............................... 42,173 2,164,000 Tele Norte Leste Participacoes SA, ADR(a)..................... 30,166 ---------- 127,996 ---------- FRANCE -- 5.4% 7,367,100 Alcatel SA, ADR!!(a).......................................... 87,153 3,710,000 European Aeronautic Defence and Space Company(a).............. 57,203 831,400 Renault SA.................................................... 49,185 ---------- 193,541 ---------- GERMANY -- 8.6% 1,094,000 BASF AG, ADR.................................................. 47,873 2,113,700 Bayerische Hypo-und Vereinsbank AG, ADR!!..................... 35,938 6,010,800 Deutsche Telekom AG, ADR!!(a)................................. 86,796 1,675,900 E.On AG, ADR(a)............................................... 81,784 1,289,000 Volkswagen AG................................................. 57,567 ---------- 309,958 ---------- HONG KONG -- 1.0% 6,316,000 Swire Pacific, Ltd. 'A', ADR(a)............................... 37,273 ---------- ITALY -- 4.2% 21,867,350 IntesaBci SpA................................................. 66,211 3,391,281 Telecom Italia SpA, ADR!!..................................... 84,273 ---------- 150,484 ---------- JAPAN -- 19.8% 1,535,000 Daiichi Pharmaceutical Company, Ltd.!!........................ 24,870 1,199,825 Hitachi, Ltd., ADR(a)......................................... 65,858 7,621 Japan Tobacco, Inc. .......................................... 49,799 1,230,000 Komatsu Ltd. ................................................. 6,408 1,904,950 Komatsu Ltd., ADR............................................. 39,697 7,136,310 Matsushita Electric Industrial Company Ltd., ADR.............. 85,350 10,262,000 Mitsubishi Heavy Industries, Ltd. ............................ 29,762 11,021,990 Mitsubishi Tokyo Financial Group Inc.(a)...................... 70,981 10,133,000 Nippon Mitsubishi Oil Corporation............................. 44,626 2,571,180 Nippon Telegraph and Telephone Corporation, ADR(a)............ 58,212 1,125,000 Ono Pharmaceutical Company, Ltd. ............................. 40,281 4,231,000 Sankyo Company, Ltd. ......................................... 61,695 2,986 Sumitomo Mitsui Financial Group, Inc.(a)...................... 12,028
VALUE SHARES (000) - ----------------------------------------------------------------------------------------- JAPAN -- (CONTINUED) 10,757,100 Sumitomo Mitsui Financial Group, Inc., ADR(a)................. $ 43,331 1,365,600 TDK Corporation, ADR.......................................... 81,117 ---------- 714,015 ---------- MEXICO -- 4.2% 3,833,300 America Movil SA de CV 'L', ADR............................... 88,587 2,023,850 Telefonos de Mexico SA de CV 'L', ADR......................... 61,829 ---------- 150,416 ---------- NETHERLANDS -- 4.7% 2,897,290 ABN AMRO Holding NV, ADR(a)................................... 53,513 970,000 Akzo Nobel NV, ADR............................................ 30,410 9,153,900 Koninklijke Ahold NV!!(a)..................................... 87,307 ---------- 171,230 ---------- NEW ZEALAND -- 1.4% 2,067,200 Telecom Corporation of New Zealand Ltd., ADR(a)............... 50,481 ---------- PORTUGAL -- 2.1% 9,556,776 Portugal Telecommunications, SGPS, SA, ADR.................... 75,212 ---------- RUSSIA -- 1.4% 636,870 LUKOIL, ADR................................................... 52,402 ---------- SINGAPORE -- 4.0% 263,453 DBS Group Holdings Ltd., ADR@................................. 7,864 8,994,000 Development Bank of Singapore................................. 67,120 3,464,100 Jardine Matheson Holdings, Ltd., ADR.......................... 24,942 7,142,000 Overseas-Chinese Banking Corporation Ltd. .................... 46,276 ---------- 146,202 ---------- SOUTH AFRICA -- 1.7% 4,967,200 SABMiller plc, ADR............................................ 39,216 2,895,450 South African Breweries plc@.................................. 22,658 ---------- 61,874 ---------- SOUTH KOREA -- 4.2% 5,181,200 Korea Electric Power Corporation, ADR......................... 54,506 2,914,300 KT Corporation, ADR(a)........................................ 58,082 1,402,400 POSCO, ADR.................................................... 40,109 ---------- 152,697 ---------- SPAIN -- 6.6% 5,992,233 Banco Bilbao Vizcaya Argentaria SA, ADR(a).................... 61,960 4,348,930 Repsol YPF SA, ADR............................................ 71,627 2,943,232 Telefonica SA, ADR(a)......................................... 104,337 ---------- 237,924 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ----------------------------------------------------------------------------------------- SWITZERLAND -- 6.7% 322,000 Nestle SA (REGD).............................................. $ 74,246 2,291,700 Swisscom AG, ADR.............................................. 67,101 8,171,359 Zurich Financial Services AG, ADR@ (a)........................ 102,093 ---------- 243,440 ---------- UNITED KINGDOM -- 14.0% 4,485,630 BAE Systems plc, ADR(a)....................................... 50,080 2,620,100 British American Tobacco plc, ADR............................. 56,752 1,152,030 BT Group plc, ADR(a).......................................... 34,907 3,804,000 Corus Group plc, ADR!!........................................ 13,200 19,500,935 Friends Provident plc......................................... 41,633 17,026,100 Granada plc................................................... 26,449 2,113,220 Imperial Chemical Industries plc, ADR......................... 23,562 18,541,415 Invensys plc, ADR............................................. 17,559 4,173,100 Marks & Spencer Group plc(a).................................. 21,216 1,658,280 Marks & Spencer Group plc, ADR................................ 50,583 3,290,151 Reuters Group plc(a).......................................... 71,330 22,958,200 Royal & Sun Alliance Insurance Group plc(a)................... 30,800 14,732,700 Safeway plc................................................... 67,924 ---------- 505,995 ---------- VENEZUELA -- 1.1% 2,878,864 Cia Anonima Nacional Telefonos de Venezuela, ADR.............. 39,786 ---------- TOTAL COMMON STOCKS (Cost $3,713,538)........................................... 3,517,929 ---------- PREFERRED STOCKS -- 0.6% BRAZIL -- 0.6% (Cost $44,569) 663,200 Telecomunicacoes Brasileiras SA -- Telebras, ADR(a)........... 21,342 ---------- RIGHTS -- 0.1% UNITED KINGDOM -- 0.1% (Cost $19,902) 22,958,200 Royal & Sun Alliance Insurance Group plc Expire 10/15/03...... 4,673 ---------- SHARES (000) - ---------- INVESTMENT COMPANIES -- 9.9% (Cost $357,629) 357,629 Nations Cash Reserves, Capital Class Shares#.................. 357,629 ----------
VALUE (000) - ----------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $4,135,638*)................................ 107.9% $3,901,573 ---------- OTHER ASSETS AND LIABILITIES (NET).................. (7.9)% Cash.......................................................... $ 28 Dividends receivable.......................................... 7,546 Interest receivable........................................... 37 Collateral on securities loaned............................... (289,348) Investment advisory fee payable............................... (2,535) Administration fee payable.................................... (151) Accrued Trustees' fees and expenses........................... (30) Accrued expenses and other liabilities........................ (93) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (284,546) ---------- NET ASSETS.......................................... 100.0% $3,617,027 ==========
- --------------- * Federal income tax information: net unrealized depreciation of $234,065 on investment securities was comprised of gross appreciation of $356,671 and depreciation of $590,736 for federal income tax purposes. At September 30, 2003, the aggregate cost for federal income tax purposes was $4,135,638. @ 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. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 5). The portion that represents cash collateral is $289,348. (a)All or a portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003 is $330,614 and $271,337, respectively. ABBREVIATIONS: ADR -- American Depository Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED) At September 30, 2003, sector diversification was as follows:
% OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) - --------------------------------------------------------------------------------------------- Common stocks: Telecommunications services................................. 23.4% $ 849,028 Commercial banking.......................................... 12.8 465,222 Oil and gas................................................. 5.8 210,828 Insurance................................................... 4.8 174,526 Food and drug stores........................................ 4.3 155,231 Electrical equipment........................................ 4.1 146,975 Electric power -- Non nuclear............................... 3.5 128,182 Pharmaceuticals............................................. 3.5 126,846 Aerospace and defense....................................... 3.0 107,283 Automotive.................................................. 3.0 106,752 Tobacco..................................................... 2.9 106,551 Media....................................................... 2.7 97,779 Heavy machinery............................................. 2.6 93,426 Networking and telecommunications equipment................. 2.4 87,153 Housing and furnishing...................................... 2.4 85,350 Beverages................................................... 2.3 83,421 Chemicals -- Specialty...................................... 2.2 78,283 Conglomerates............................................... 2.1 75,456 Food products............................................... 2.1 74,246 Retail -- Specialty......................................... 2.0 71,799 Other....................................................... 5.4 193,592 ----------- --------------- TOTAL COMMON STOCKS......................................... 97.3 3,517,929 PREFERRED STOCKS............................................ 0.6 21,342 RIGHTS...................................................... 0.1 4,673 INVESTMENT COMPANIES........................................ 9.9 357,629 ----------- --------------- TOTAL INVESTMENTS........................................... 107.9 3,901,573 OTHER ASSETS AND LIABILITIES (NET).......................... (7.9) (284,546) ----------- --------------- NET ASSETS.................................................. 100.0% $ 3,617,027 =========== ===============
SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2003
INTERNATIONAL VALUE MASTER PORTFOLIO -------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $5,277)...... $ 45,715 Dividends income from affiliated funds...................... 317 Interest.................................................... 7 Securities lending.......................................... 689 -------------- Total investment income................................. 46,728 -------------- EXPENSES: Investment advisory fee..................................... 15,087 Administration fee.......................................... 838 Custodian fees.............................................. 172 Legal and audit fees........................................ 26 Trustees' fees and expenses................................. 9 Other....................................................... 18 -------------- Total expenses.......................................... 16,150 Fees waived by investment advisor........................... (1,062) Fees reduced by credits allowed by the custodian............ (1) -------------- Net expenses............................................ 15,087 -------------- NET INVESTMENT INCOME....................................... 31,641 -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... 700 Forward foreign exchange contracts, foreign currencies and other net assets........................................ (447) -------------- Net realized gain/(loss) on investments..................... 253 -------------- Change in unrealized appreciation/(depreciation) of: Securities................................................ 1,047,378 Forward foreign exchange contracts, foreign currencies and other net assets........................................ (22) -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... 1,047,356 -------------- Net realized and unrealized gain/(loss) on investments...... 1,047,609 -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 1,079,250 ==============
SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF CHANGES IN NET ASSETS
INTERNATIONAL VALUE MASTER PORTFOLIO --------------------------------- SIX MONTHS ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 --------------------------------- (IN THOUSANDS) Net investment income....................................... $ 31,641 $ 51,272 Net realized gain/(loss) on investments..................... 253 (154,550) Net change in unrealized appreciation/(depreciation) of investments............................................... 1,047,356 (1,154,002) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 1,079,250 (1,257,280) Contributions............................................... 296,547 2,921,731 Withdrawals................................................. (492,285) (2,570,220) -------------- -------------- Net increase/(decrease) in net assets....................... 883,512 (905,769) NET ASSETS: Beginning of period......................................... 2,733,515 3,639,284 -------------- -------------- End of period............................................... $ 3,617,027 $ 2,733,515 ============== ==============
FINANCIAL HIGHLIGHTS
WITHOUT WAIVERS RATIO OF AND/OR EXPENSE OPERATING REIMBURSEMENTS EXPENSES --------------- RATIO OF INCLUDING RATIO OF NET RATIO OF OPERATING INTEREST INVESTMENT OPERATING EXPENSES EXPENSE INCOME/(LOSS) PORTFOLIO EXPENSES TO TOTAL TO AVERAGE TO AVERAGE TO AVERAGE TURNOVER AVERAGE RETURN NET ASSETS NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------ INTERNATIONAL VALUE MASTER PORTFOLIO: Six months ended 9/30/2003 (unaudited).......................... 40.41% 0.90%+ 0.90%+(c) 1.88%+ 6% 0.96%+(c) Year ended 3/31/2003................... (28.54) 0.90(c) 0.90(c)(d) 1.45 25 0.96(c) Year ended 3/31/2002................... 0.08 0.93(c) 0.93(c)(d) 1.61 19 0.96(c) Year ended 3/31/2001................... --@ 0.87(c) 0.87(c)(d) 2.16 14 0.97(c) Period ended 3/31/2000(a).............. --@ 0.88+ 0.88+ 2.31+ 22 0.98+
- --------------- + Annualized. @ Total return not required for periods indicated. (a)International Value Master Portfolio commenced operations on October 18, 1999. (c)The effect of the custodial expense offset (see Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (d)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (UNAUDITED) Nations Master Investment Trust (the "Master Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. At September 30, 2003, the Master Trust offered twelve separate portfolios. These financial statements pertain only to the International Value Master Portfolio (the "Master Portfolio"). Financial statements for the other portfolios of the Master Trust are presented under separate cover. There are certain risks involved in investing in foreign securities that are in addition to the usual risks inherent in domestic instruments. These risks include those resulting from currency fluctuations, future adverse political and economic developments and possible imposition of currency exchange blockages or other foreign government laws or restrictions. These risks are likely to be greater in emerging markets than in developed markets. The following investors were invested in the Master Portfolio at September 30, 2003: INTERNATIONAL VALUE MASTER PORTFOLIO: Nations International Value Fund............................ 83.5% Nations International Value Fund (Offshore)................. 1.3% Banc of America Capital Management Funds VII - International Value Fund................................................ 15.2%
1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Master Portfolio in the preparation of their financial statements. Securities valuation: Securities, including futures contracts, traded on a recognized exchange are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on NASDAQ are valued at the NASDAQ official closing price. 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. Securities which are primarily traded on foreign securities exchanges are valued at the last available closing values on their respective exchanges where primarily traded, or at the mean between the closing bid and ask prices if no sales are recorded. Debt securities are generally valued by an independent pricing service. Prices provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as yield, type of issue, coupon rate, maturity and general market conditions. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be fair 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. Trading in securities on most foreign exchanges and over the counter markets is normally completed before the close of the domestic stock market and may also take place on days when the domestic market is closed. If events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Master Portfolio's net assets are calculated, such securities will be valued at fair value in accordance with procedures adopted by the Board of Trustees. Futures contracts: A Master Portfolio may invest in futures contracts for the purposes of hedging against changes in values of the Master Portfolio's securities or changes in the prevailing levels of interest rates or currency exchange rates or to gain exposure to the equity market. Upon entering into a futures contract, the Master Portfolio is required to deposit with the broker and amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by the Master Portfolio each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect changes in the market value of the contract. When the contract is closed, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts, that a change in the value 49 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) of the contract may not correlate with a change in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. Foreign currency transactions: The books and records of the Master Portfolio are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of the Master Portfolio and the amounts actually received. The effects of changes in foreign currency exchange rates on securities are not separately identified in the Statements of operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on securities. Forward foreign currency transactions: Generally, the Master Portfolio may enter into forward currency exchange contracts only under two circumstances: (i) when the Master Portfolio enters into a contract for the purchase or sale of a security denominated in a foreign currency, to "lock in" the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when the investment adviser or sub-adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar. Forward foreign currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by the Master Portfolio as an unrealized gain or loss. When the contract is closed or offset with the same counterparty, the Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset. Forward foreign currency contracts will be used primarily to protect the Master Portfolio from adverse currency movements and will generally not be entered into for terms greater than one year. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of the Master Portfolio's investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency contract would limit the risk of loss due to decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of net assets. In addition, the Master Portfolio could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. The use of derivative instruments involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statement of net assets. Securities transactions and investment income: Securities transactions are recorded on trade date. Realized gains and losses are computed based on the specific identification of securities sold. Interest income, adjusted for accretion of discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income (including dividend income from affiliated funds) is recorded on ex-dividend date, except that if the ex-dividend date has passed, certain dividends from foreign securities are recorded as soon as the Master Portfolio is informed of the ex-dividend date. Each investor in the Master Portfolio is treated as an owner of its proportionate share of the net assets, income, expenses, realized and unrealized gains and losses of the Master Portfolio. Federal income taxes: The Master Portfolio is treated as a partnership for federal income tax purposes and therefore is not subject to federal income tax. Each investor in the Master Portfolio will be subject to taxation on its allocated share of the Master Portfolio's ordinary income and capital gains. The Master Portfolio may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Master Portfolio will accrue such taxes and recoveries as applicable, based upon its current interpretation of tax rules and regulations that exist in the markets in which they invest. 50 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Expenses: General expenses of the Master Trust are allocated to the Master Portfolio based upon its relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to the Master Portfolio are charged to such Master Portfolio. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Master Trust has entered into an investment advisory agreement (the "Investment Advisory Agreement") with Banc of America Capital Management, LLC ("BACAP"), 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 BACAP provides investment advisory services to the Master Portfolio. Under the terms of the Investment Advisory Agreement, BACAP is entitled to receive an advisory fee, calculated daily and payable monthly, at the maximum annual rate of 0.90% of International Value Master Portfolio's average daily net assets. The Master Trust has, on behalf on the International Value Master Portfolio, entered into a sub-advisory agreement with BACAP and Brandes Investment Partners, LLC ("Brandes"), pursuant to which Brandes is entitled to receive a sub-advisory fee from BACAP at the maximum annual rate of 0.50% of the Master Portfolio's average daily net assets. Beginning March 8, 2002, BACAP voluntarily agreed to limit total annual operating expenses to 0.90% of the International Value Master Portfolio's average daily net assets. There is no guarantee that this limitation will continue. BACAP Distributors, LLC ("BACAP Distributors"), a wholly-owned subsidiary of Bank of America, serves as sole administrator of the Master Trust. Under the administration agreement, BACAP Distributors is currently entitled to receive a fee, computed daily and paid monthly, at the maximum annual rate of 0.05% of the Master Portfolio's average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of the Master Trust pursuant to an agreement with BACAP Distributors. For the six months ended September 30, 2003, BACAP Distributors earned 0.05% (annualized) of the Master Portfolio's average daily net assets for its administration services. BNY serves as the custodian of the Master Trust's assets. For the six months ended September 30, 2003, expenses of the Master Portfolio were reduced by $852 under expense offset arrangements with BNY. The Master Portfolio could have invested a portion of the assets utilized in connection with the expense offset arrangements in an income producing asset if they had not entered into such arrangements. No officer, director or employee of Bank of America or BACAP Distributors, or any affiliate thereof, receives any compensation from the Master Trust for serving as a Trustee or officer of the Master Trust. The Master Trust's eligible Trustees may participate in a non-qualified deferred compensation plan which may be terminated at any time. All benefits provided under this plan are unfunded and any payments to plan participants are paid solely out of the Master Portfolio's assets. Income earned on the plan participant's deferral account is based on the rate of return of the eligible mutual funds selected by the participants or, if no funds are selected, on the rate of return of Nations Treasury Reserves, a portfolio of Nations Funds Trust, another registered investment company in the Nations Funds family. The expense for the deferred compensation plan is included in "Trustees' fees and expenses" in the Statements of operations. The liability for the deferred compensation plan is included in "Accrued Trustees' fees and expenses" in the Statements of net assets. The Master Portfolio has made daily investments of cash balances in the Nations Cash Reserves, a portfolio of Nations Funds Trust, pursuant to an exemptive order received from the Securities and Exchange Commission. The income earned by the Master Portfolio from such investments is included in its Statement of operations as "Dividend income from affiliated funds (or allocated from Portfolio)". BACAP and BACAP Distributors have earned fees related to investments in affiliated funds. 51 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) ---------------------- International Value Master Portfolio........................ $203,252 $385,192
There were no purchases and sales of long-term U.S. government securities for the six months ended September 30, 2003. 4. LINE OF CREDIT The Master Trust participates with other Nations Funds in a $1 billion uncommitted line of credit provided by BNY under a line of credit agreement (the "Agreement"). The Agreement is renewable on an annual basis. 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. The Master Portfolio maintains a ratio of net assets (not including funds borrowed pursuant to the Agreement) to the aggregate amount of indebtedness pursuant to the Agreement of no less than 4 to 1. The Master Portfolio had no borrowings outstanding at September 30, 2003. During the six months ended September 30, 2003, there were no borrowings by the Master Portfolio under the Agreement. 5. SECURITIES LENDING Under an agreement with BNY, the Master Portfolio can lend its securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash in an amount at least equal to the market value of the securities loaned. The cash collateral received is invested in Nations Cash Reserves. A portion of the income generated by the investment of the collateral, net of any rebates paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder is paid to the Master Portfolio. Generally, in the event of counterparty default, the Master Portfolio has the right to use the collateral to offset losses incurred. There would be a potential loss to the Master Portfolio in the event the Master Portfolio is delayed or prevented from exercising its right to dispose of the collateral. The Master Portfolio bears the risk of loss with respect to the investment of collateral. At September 30, 2003, the Master Portfolio had securities on loan as follows:
MARKET VALUE OF MARKET VALUE OF LOANED SECURITIES COLLATERAL (000) (000) ------------------------------------ International Value Master Portfolio........................ $271,337 $289,348
6. EVENTS On September 3, 2003, the Office of the Attorney General for the State of New York ("NYAG") simultaneously filed and settled a complaint against Canary Capital Partners, LLC, et al. (collectively, "Canary"). The complaint alleged, among other things, that Canary engaged in improper trading in certain Nations Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and also "late trading". On September 8, 2003, Bank of America Corporation announced that, to the extent that the independent trustees determine that Nations Funds shareholders were adversely affected by a discretionary market-timing agreement or late trading activities, the adviser will make appropriate restitution. Bank of America Corporation also announced that the adviser will promptly return to Nations Funds that were the subject of a market-timing agreement all management and investment advisory fees it received as a result of such agreement. In addition, Bank of America Corporation has also agreed to make appropriate reimbursement of costs incurred by Nations Funds in connection with this matter. On September 16, 2003, the NYAG announced a criminal action, and the SEC announced a civil action, against a former employee of Banc of America Securities, LLC, a selling agent affiliated with the Nations Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name Nations Funds, among others, as defendants. 52 [This page intentionally left blank] [This page intentionally left blank] THE NATIONS FUNDS FAMILY OF FUNDS THE MUTUAL FUND FAMILY OF BANC OF AMERICA CAPITAL MANAGEMENT Within each category, the funds are listed from aggressive to conservative. Lower risk/reward potential 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 EQUITY FUNDS GROWTH FUNDS Nations Small Company Fund Nations Marsico 21st Century Fund Nations MidCap Growth Fund Nations Marsico Focused Equities Fund Nations Marsico Growth 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 Higher reward/risk potential INTERNATIONAL/GLOBAL FUNDS Nations Marsico International Opportunities Fund Nations International Equity Fund Nations International Value Fund Nations Global Value Fund SPECIALTY FUNDS INDEX FUNDS Nations SmallCap Index Fund Nations MidCap Index Fund Nations LargeCap Index Fund Nations LargeCap Enhanced Core Fund ASSET ALLOCATION PORTFOLIOS Nations LifeGoal Growth Portfolio Nations LifeGoal Balanced Growth Portfolio Nations LifeGoal Income Portfolio Nations LifeGoal Income and Growth Portfolio OTHER SPECIALTY FUNDS Nations Convertible Securities Fund INTSTKSAR (9/03) Nations LargeCap Index Fund Nations LargeCap Enhanced Core Fund INDEX FUNDS Nations MidCap Index Fund ------------------------------------ Semiannual report for the period Nations SmallCap ended September 30, 2003 Index Fund [NATIONS FUNDS LOGO] For a free copy of the fund's proxy voting guidelines visit www.nationsfunds.com, call 1.800.321.7854, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov. 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. BACAP Distributors, LLC and Banc of America Capital Management, LLC are the distributor and investment adviser to Nations Funds, respectively. They and other affiliates of Bank of America provide services to Nations Funds and receive fees for such services. BACAP Distributors, LLC, member NASD, SIPC NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE CHAIRMAN'S AND PRESIDENT'S MESSAGE Dear Shareholder: The six-month period ended September 30, 2003, marked a significant turning point for investors. Since the official end of the recession in November 2001, investors have anxiously sifted through news for signs that the U.S. economy was regaining its footing. At last, the picture drawn by both improving corporate profits and the broad array of economic indicators may be inspiring renewed confidence in the U.S. economy. During the reporting period, three powerful forces -- fiscal policy, monetary policy and a weak dollar -- converged to stimulate the U.S. economic recovery. The U.S. Federal Reserve has lowered the overnight lending rate 13 times in the current cycle, pushing its target Federal Funds rate to the lowest level in 45 years. At the same time, federal spending and expected reductions in federal tax rates have prompted increased consumer and business spending. GENUINE RECOVERY UNDERWAY Although real gross domestic product (GDP) has increased in each of the last eight quarters, the pace of economic activity accelerated sharply during the reporting period. GDP growth featured robust consumer spending, a larger-than- expected pickup in business capital spending, strong homebuilding, and the fastest U.S. export growth in more than a year. The transition from an economy driven by massive stimulus -- low interest rates and tax cuts -- to one characterized by self-generating growth depends in large part on improvement in overall employment. While the economy has made visible progress in the areas of business spending and foreign demand, the outlook for the U.S. labor market has been a persistent worry for investors. Strong productivity gains, once blamed for lagging job creation, are now producing wider profit margins, stronger business spending and the faster GDP needed to support labor market improvement in coming months. In addition, the encouraging performance of the world's largest economy has rippled across global markets where the outlook for major foreign economies also is brightening. In fact, the global economy seems poised for a synchronized recovery. CAPITAL MARKETS REBOUND During the period, the capital markets reflected an increasingly optimistic view as to the vigor and sustainability of the U.S. economic recovery. Although performance has been strong across all market segments, investors have focused more narrowly on those areas with the greatest sensitivity to an improving environment. Since March, stocks outperformed most fixed-income markets, as the generally riskier components of the capital markets outpaced their higher quality counterparts. Year-to-date as of September 30, the Standard and Poor's 500 Composite Stock Price Index returned 14.72%, the NASDAQ Composite Index returned 34.27% and the Dow Jones Industrial Average returned 13.13%.* Fixed-income markets have been volatile since late 2002, responding to various factors, including geopolitical developments and changes in the economy. During the period, the yield curve remained quite steep with spreads between the 30-day Treasury bills and the 10-year Treasury note exceeding 350 basis points. Since touching the lowest level in over four decades of 3.13% in June, the yield on long-term Treasuries has backed up by nearly 150 basis points, trading in a range between around 3.90% and 4.60% in September. Treasuries, which had been a safe haven for wary investors during the extended bear market, lost some of their luster as equities began to revive. Accumulating evidence of economic growth in an environment of historically low inflation and interest rates encouraged investors to migrate to lower quality bonds, and high yield markets surged. Year-to-date, high yield bonds outperformed investment grade corporate bonds by more than four times. Through September 30, the US High-Yield BB& B Rated Market Index returned 22.76% to investors, compared with 3.78% for the Lehman *Standard and Poor's 500 Composite Stock Price Index: an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. The NASDAQ Composite Index: covers 4,500 stocks traded over the counter. It is an unmanaged value-weighted index calculated on price change only and does not include income. It is not an industry-neutral index; it is disproportionately technology-heavy. The Dow Jones Industrial Average (DJIA) is an unmanaged index of common stocks comprised of major industrial companies and assumes reinvestment of dividends and capital gains. 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. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... Aggregate Bond Index.** Note that high yield bonds offer the potential for higher income than other debt securities, but they also have higher risk. INVESTMENT OUTLOOK We are generally optimistic about the investing environment. Despite ongoing concerns about geopolitical tensions, most notably, continuing instability in the Middle East, and disappointment stemming from recent events in the mutual fund industry, we believe the outlook for investors has improved during the past six months. We believe the combination of low interest rates, tax cuts and a weaker dollar that restarted the U.S. economic engine, has generated momentum for growth in 2004. In general, we expect continued strong growth in GDP, modest increases in interest rates and continued low inflation for the U.S. economy. INQUIRY UPDATE Nations Funds shareholders have so far received two letters, dated September 19 and 23, 2003 describing actions taken by Bank of America and the Nations Funds Board of Trustees as a result of investigations into mutual fund trading activities. In addition to the steps outlined in these letters, Bank of America has announced the intention to provide restitution for shareholders of Nations Funds who were harmed by certain late trading and market timing practices. The independent members of the Nations Funds Board of Trustees have engaged the law firm of Willkie Farr & Gallagher and, through them, Deloitte & Touche's Investment Management Advisory Service Group to analyze the extent of any adverse monetary impact on shareholders and other matters. Nations Funds shareholders will not bear any costs related to these actions. Independent advisors Dale Frey, former president and chairman of the General Electric Investment Corporation, and Maureen Bateman, former general counsel of State Street Corporation and U.S. Trust, have been hired by Bank of America to conduct independent reviews. Mr. Frey is reviewing mutual fund policies and practices. Ms. Bateman is reviewing legal and regulatory compliance. Promontory Financial Group has been engaged by Bank of America to coordinate a detailed review of all technology, control, and compliance systems related to the mutual fund business. As these actions demonstrate, Bank of America is committed to making appropriate restitution to affected Nations Funds shareholders and to taking all appropriate actions. Both Bank of America and Nations Funds Board of Trustees are committed to ensuring that our mutual fund policies and practices are at the highest level of industry standards. Nothing is more important than the trust and confidence of Nations Funds shareholders. Bank of America continues to look for opportunities to reinforce its investment advisory unit's professional ranks. In this regard, we are pleased to introduce the recently named president of Banc of America Capital Management, LLC, Keith Winn, who has over 20 years of experience in the investment industry. Sincerely, /S/ WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS /S/ KEITH WINN H. KEITH WINN PRESIDENT BANC OF AMERICA CAPITAL MANAGEMENT, LLC October 14, 2003 **The US High-Yield BB& B Rated Market Index captures the performance of below-investment-grade debt issued by corporations domiciled in the United States or Canada. Securities in the index have remaining maturities of at least 1 year, at least $100 million outstanding and are rated BB or B by Standard and Poor's or Moody's. Please note that an investor cannot invest directly in an index; 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. TABLE OF CONTENTS FINANCIAL STATEMENTS Statements of net assets Nations LargeCap Index Fund 3 Nations LargeCap Enhanced Core Fund 10 Nations MidCap Index Fund 15 Nations SmallCap Index Fund 21 Statements of operations 29 Statements of changes in net assets 30 Schedules of capital stock activity 32 Financial highlights 36 Notes to financial statements 44
NATIONS FUNDS [DALBAR LOGO] RECOGNIZED FOR OUTSTANDING DALBAR, Inc. is a well-respected SHAREHOLDER research firm that measures SERVICE customer service levels and establishes benchmarks in the IN RECOGNITION OF ITS COMMITMENT financial services industry. TO PROVIDE SHAREHOLDERS WITH THE HIGHEST LEVEL OF SERVICE IN THE MUTUAL FUND INDUSTRY, NATIONS FUNDS RECEIVED THE DALBAR MUTUAL FUND SERVICE AWARD IN 2002.
"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, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- COMMON STOCKS -- 98.3% AEROSPACE AND DEFENSE -- 1.5% 14,025 B.F. Goodrich Company......................................... $ 340 100,400 Boeing Company................................................ 3,447 23,550 General Dynamics Corporation.................................. 1,838 53,825 Lockheed Martin Corporation&&................................. 2,484 21,839 Northrop Grumman Corporation.................................. 1,883 49,425 Raytheon Company.............................................. 1,384 21,400 Rockwell Collins, Inc. ....................................... 540 22,050 Rockwell International Corporation............................ 579 55,975 United Technologies Corporation............................... 4,326 ---------- 16,821 ---------- AIRLINES -- 0.2% 14,725 Delta Air Lines, Inc. ........................................ 196 93,475 Southwest Airlines Company.................................... 1,654 ---------- 1,850 ---------- APPAREL AND TEXTILES -- 0.3% 15,100 Jones Apparel Group, Inc. .................................... 452 13,000 Liz Claiborne, Inc. .......................................... 443 31,475 Nike, Inc., Class B........................................... 1,914 7,050 Reebok International, Ltd. ................................... 236 12,825 V.F. Corporation.............................................. 499 ---------- 3,544 ---------- AUTOMOTIVE -- 1.0% 32,825 AutoNation, Inc.!!............................................ 576 10,675 AutoZone, Inc.!!.............................................. 956 8,800 Cooper Tire & Rubber Company.................................. 140 17,750 Dana Corporation.............................................. 274 66,875 Delphi Corporation............................................ 605 8,975 Eaton Corporation............................................. 795 218,700 Ford Motor Company(a)......................................... 2,355 66,950 General Motors Corporation&&.................................. 2,741 20,775 Genuine Parts Company......................................... 664 20,925 Goodyear Tire & Rubber Company(a)............................. 137 10,700 Johnson Controls, Inc. ....................................... 1,012 8,150 Navistar International Corporation!!.......................... 304 6,975 Snap-On Inc. ................................................. 193 15,600 Visteon Corporation........................................... 103 ---------- 10,855 ---------- BEVERAGES -- 2.6% 4,350 Adolph Coors Company, Class B................................. 234 98,700 Anheuser-Busch Companies, Inc. ............................... 4,870 7,250 Brown-Forman Corporation, Class B............................. 574 293,400 Coca-Cola Company............................................. 12,604 54,025 Coca-Cola Enterprises Inc. ................................... 1,030 31,975 Pepsi Bottling Group, Inc. ................................... 658 206,000 PepsiCo, Inc. ................................................ 9,441 ---------- 29,411 ---------- BROADCASTING AND CABLE -- 3.0% 538,725 AOL Time Warner Inc.!!........................................ 8,140 73,400 Clear Channel Communications, Inc. ........................... 2,811 268,656 Comcast Corporation, Class A!!................................ 8,296 244,025 The Walt Disney Company&&..................................... 4,922
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- BROADCASTING AND CABLE -- (CONTINUED) 38,425 Univision Communications, Inc., Class A!!..................... $ 1,227 209,525 Viacom Inc., Class B.......................................... 8,025 ---------- 33,421 ---------- BUILDING MATERIALS -- 0.1% 8,625 American Standard Companies Inc.!!............................ 727 ---------- CHEMICALS -- BASIC -- 1.2% 27,125 Air Products and Chemicals, Inc. ............................. 1,223 13,200 Avery Dennison Corporation.................................... 667 118,950 E.I. duPont de Nemours and Company............................ 4,760 31,000 Ecolab, Inc. ................................................. 783 13,225 Hercules, Inc.!!.............................................. 150 20,250 PPG Industries, Inc. ......................................... 1,057 19,450 Praxair, Inc. ................................................ 1,205 109,625 The Dow Chemical Company...................................... 3,567 ---------- 13,412 ---------- CHEMICALS -- SPECIALTY -- 0.4% 8,150 Ashland Inc. ................................................. 268 9,250 Eastman Chemical Company...................................... 310 14,950 Engelhard Corporation......................................... 414 6,025 Great Lakes Chemical Corporation.............................. 121 11,250 International Flavors & Fragrances, Inc. ..................... 372 5,800 Millipore Corporation!!....................................... 267 31,252 Monsanto Company.............................................. 748 14,825 Pall Corporation.............................................. 333 26,550 Rohm & Haas Company........................................... 888 8,450 Sigma-Aldrich Corporation..................................... 439 ---------- 4,160 ---------- COMMERCIAL BANKING -- 9.5% 41,875 AmSouth Bancorporation........................................ 889 178,425 Bank of America Corporation>.................................. 13,924 134,950 Bank One Corporation.......................................... 5,216 64,475 BB&T Corporation.............................................. 2,315 26,940 Charter One Financial, Inc. .................................. 824 614,900 Citigroup Inc. ............................................... 27,984 20,925 Comerica Inc. ................................................ 975 68,025 Fifth Third Bancorp........................................... 3,773 15,025 First Tennessee National Corporation.......................... 638 125,625 FleetBoston Financial Corporation............................. 3,788 18,175 Golden West Financial Corporation............................. 1,627 27,300 Huntington Bancshares Inc. ................................... 540 50,250 KeyCorp....................................................... 1,285 27,125 Marshall and Ilsley Corporation............................... 855 51,400 Mellon Financial Corporation.................................. 1,549 73,325 National City Corporation&&................................... 2,160 18,175 North Fork Bancorporation, Inc. .............................. 632 33,450 PNC Financial Services Group.................................. 1,592 26,575 Regions Financial Corporation................................. 910 40,300 SouthTrust Corporation........................................ 1,184 33,600 SunTrust Banks, Inc. ......................................... 2,028 91,950 The Bank of New York Company, Inc. ........................... 2,677
SEE NOTES TO FINANCIAL STATEMENTS. 3 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) 23,400 Union Planters Corporation.................................... $ 740 229,975 US Bancorp.................................................... 5,517 159,025 Wachovia Corporation.......................................... 6,550 110,225 Washington Mutual, Inc. ...................................... 4,340 200,500 Wells Fargo & Company......................................... 10,326 10,700 Zions Bancorporation.......................................... 598 ---------- 105,436 ---------- COMMERCIAL SERVICES -- 1.3% 25,000 Allied Waste Industries, Inc.!!............................... 270 20,975 Apollo Group Inc., Class A!!.................................. 1,385 121,025 Cendant Corporation!!......................................... 2,262 20,350 Cintas Corporation(a)......................................... 750 76,650 eBay Inc.!!................................................... 4,101 23,100 Fiserv, Inc.!!................................................ 837 22,675 Omnicom Group Inc.&&.......................................... 1,629 20,350 Robert Half International Inc.!!.............................. 397 17,150 Sabre Holdings Corporation.................................... 369 99,050 Solectron Corporation!!....................................... 579 70,700 Waste Management, Inc. ....................................... 1,850 ---------- 14,429 ---------- COMPUTER SERVICES -- 1.1% 71,400 Automatic Data Processing, Inc. .............................. 2,560 22,350 Computer Sciences Corporation!!............................... 840 58,100 Concord EFS, Inc.!!........................................... 794 17,050 Convergys Corporation!!....................................... 313 57,250 Electronic Data Systems Corporation........................... 1,156 16,750 Equifax Inc. ................................................. 373 88,375 First Data Corporation........................................ 3,530 44,975 Paychex, Inc.&&............................................... 1,526 34,075 Sungard Data Systems, Inc.!!.................................. 897 39,300 Unisys Corporation!!.......................................... 532 ---------- 12,521 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 4.1% 43,275 Apple Computer, Inc.!!........................................ 893 306,650 Dell Inc.!!................................................... 10,239 261,900 EMC Corporation!!............................................. 3,308 38,675 Gateway, Inc.!!............................................... 219 364,476 Hewlett-Packard Company&&..................................... 7,056 206,550 International Business Machines Corporation................... 18,244 23,750 Jabil Circuit, Inc.!!......................................... 619 15,300 Lexmark International, Inc.!!................................. 964 11,325 NCR Corporation!!............................................. 359 40,825 Network Appliance, Inc.!!..................................... 838 27,925 Pitney Bowes Inc. ............................................ 1,070 385,550 Sun Microsystems, Inc.!!...................................... 1,276 94,400 Xerox Corporation!!........................................... 969 ---------- 46,054 ---------- CONGLOMERATES -- 0.6% 24,175 Dover Corporation............................................. 855 9,750 Fluor Corporation............................................. 364 16,175 Textron, Inc. ................................................ 638 238,450 Tyco International Ltd. ...................................... 4,872 12,125 Vulcan Materials Company...................................... 484 ---------- 7,213 ----------
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- CONSTRUCTION -- 0.0%+ 5,625 KB HOME....................................................... $ 336 ---------- CONSUMER CREDIT AND MORTGAGES -- 2.2% 153,650 American Express Company...................................... 6,923 16,225 Countrywide Financial Corporation............................. 1,270 116,250 Fannie Mae.................................................... 8,160 83,050 Freddie Mac................................................... 4,348 152,537 MBNA Corporation.............................................. 3,478 34,650 Providian Financial Corporation!!............................. 409 ---------- 24,588 ---------- DEPARTMENT AND DISCOUNT STORES -- 3.8% 54,575 Costco Wholesale Corporation!!................................ 1,696 9,975 Dillard's, Inc., Class A...................................... 139 39,825 Dollar General Corporation.................................... 797 22,125 Federated Department Stores, Inc. ............................ 927 32,425 J.C. Penney Company, Inc. .................................... 693 40,525 Kohl's Corporation!!.......................................... 2,168 33,775 Sears, Roebuck and Company.................................... 1,477 108,725 Target Corporation............................................ 4,091 34,425 The May Department Stores Company............................. 848 521,600 Wal-Mart Stores, Inc. ........................................ 29,132 ---------- 41,968 ---------- DIVERSIFIED ELECTRONICS -- 0.2% 11,000 Cooper Industries, Ltd. ...................................... 528 34,200 Eastman Kodak Company......................................... 716 45,225 LSI Logic Corporation!!....................................... 407 27,525 Symbol Technologies, Inc. .................................... 329 ---------- 1,980 ---------- DIVERSIFIED MANUFACTURING -- 4.7% 93,450 3M Company.................................................... 6,455 9,700 Allegheny Technologies Inc. .................................. 64 9,275 Black & Decker Corporation.................................... 376 7,075 Crane Company................................................. 166 18,275 Danaher Corporation........................................... 1,350 1,196,025 General Electric Company...................................... 35,653 121,800 Gillette Company.............................................. 3,895 102,675 Honeywell International Inc. ................................. 2,705 11,025 ITT Industries, Inc. ......................................... 660 60,900 Sanmina - SCI Corporation!!................................... 591 10,900 W.W. Grainger, Inc. .......................................... 518 ---------- 52,433 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.3% 73,975 AES Corporation!!............................................. 549 15,000 Allegheny Energy, Inc.(a)..................................... 137 45,725 Calpine Corporation!!......................................... 224 21,200 Cinergy Corporation........................................... 778 17,200 CMS Energy Corporation........................................ 127 26,850 Consolidated Edison, Inc. .................................... 1,094 19,925 Constellation Energy Group, Inc. ............................. 713 44,725 Dynegy Inc., Class A(a)....................................... 161 38,900 Edison International!!........................................ 743 27,225 Entergy Corporation........................................... 1,474
SEE NOTES TO FINANCIAL STATEMENTS. 4 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- ELECTRIC POWER -- NON NUCLEAR -- (CONTINUED) Fw31,375 NiSource Inc. ................................................ $ 627 49,200 PG & E Corporation!!.......................................... 1,176 10,900 Pinnacle West Capital Corporation............................. 387 9,925 Power-One, Inc.!!............................................. 102 21,100 PPL Corporation............................................... 864 27,025 Public Service Enterprise Group Inc. ......................... 1,135 86,975 Southern Company.............................................. 2,550 22,400 TECO Energy, Inc.(a).......................................... 310 38,450 TXU Corporation............................................... 906 47,600 Xcel Energy, Inc. ............................................ 736 ---------- 14,793 ---------- ELECTRIC POWER -- NUCLEAR -- 1.1% 19,325 Ameren Corporation............................................ 829 47,150 American Electric Power Company, Inc. ........................ 1,415 38,600 Dominion Resources, Inc. ..................................... 2,389 20,075 DTE Energy Company............................................ 741 107,975 Duke Energy Corporation(a).................................... 1,923 38,900 Exelon Corporation............................................ 2,470 38,875 FirstEnergy Corporation....................................... 1,240 21,925 FPL Group, Inc. .............................................. 1,386 ---------- 12,393 ---------- ELECTRICAL EQUIPMENT -- 0.3% 50,275 Emerson Electric Company...................................... 2,646 22,825 Molex Inc. ................................................... 653 6,975 Thomas & Betts Corporation!!.................................. 111 ---------- 3,410 ---------- ENERGY -- MISCELLANEOUS -- 0.1% 36,500 CenterPoint Energy Inc. ...................................... 335 29,050 Progress Energy, Inc. ........................................ 1,291 19,600 Progress Energy, Inc., CVO!!@ (b)(c).......................... 9 ---------- 1,635 ---------- EXPLORATION AND PRODUCTION -- 0.3% 29,800 Anadarko Petroleum Corporation................................ 1,244 27,675 Devon Energy Corporation...................................... 1,334 13,725 EOG Resources, Inc. .......................................... 573 ---------- 3,151 ---------- FINANCE -- MISCELLANEOUS -- 0.6% 27,125 Capital One Financial Corporation............................. 1,547 21,450 H & R Block, Inc. ............................................ 926 17,800 Moody's Corporation........................................... 978 53,825 SLM Corporation............................................... 2,097 35,975 Synovus Financial Corporation................................. 899 ---------- 6,447 ---------- FINANCIAL SERVICES -- 0.7% 243,125 J.P. Morgan Chase & Company................................... 8,346 ---------- FOOD AND DRUG STORES -- 0.8% 43,800 Albertson's, Inc. ............................................ 901 47,125 CVS Corporation............................................... 1,464 52,700 Safeway Inc.!!................................................ 1,209 15,975 SUPERVALU Inc. ............................................... 381 89,700 The Kroger Company!!.......................................... 1,603
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- FOOD AND DRUG STORES -- (CONTINUED) 122,350 Walgreen Company.............................................. $ 3,749 16,800 Winn-Dixie Stores, Inc.(a).................................... 162 ---------- 9,469 ---------- FOOD PRODUCTS -- 1.4% 76,975 Archer-Daniels-Midland Company................................ 1,009 49,000 Campbell Soup Company(a)...................................... 1,299 64,100 ConAgra Foods, Inc. .......................................... 1,361 44,475 General Mills, Inc. .......................................... 2,093 41,975 H.J. Heinz Company............................................ 1,439 15,600 Hershey Foods Corporation..................................... 1,134 48,725 Kellogg Company............................................... 1,625 16,650 McCormick and Company, Inc. .................................. 457 92,775 Sara Lee Corporation.......................................... 1,703 77,550 SYSCO Corporation............................................. 2,537 26,875 Wm. Wrigley Jr. Company....................................... 1,486 ---------- 16,143 ---------- HEALTH SERVICES -- 1.1% 16,550 Anthem, Inc.!!................................................ 1,181 59,625 HCA Inc. ..................................................... 2,198 28,625 Health Management Associates, Inc., Class A................... 624 19,300 Humana Inc.!!................................................. 348 10,625 Manor Care, Inc. ............................................. 319 34,675 McKesson Corporation.......................................... 1,154 12,550 Quest Diagnostics Inc.!!...................................... 761 55,362 Tenet Healthcare Corporation!!................................ 802 71,175 UnitedHealth Group Inc. ...................................... 3,581 17,525 Wellpoint Health Networks Inc.!!.............................. 1,351 ---------- 12,319 ---------- HEAVY MACHINERY -- 0.9% 41,200 Caterpillar Inc. ............................................. 2,837 4,950 Cummins, Inc. ................................................ 220 28,575 Deere & Company............................................... 1,523 36,750 Illinois Tool Works Inc. ..................................... 2,435 20,450 Ingersoll-Rand Company, Class A............................... 1,093 13,925 PACCAR, Inc. ................................................. 1,040 14,100 Parker-Hannifin Corporation................................... 630 19,375 Thermo Electron Corporation!!................................. 420 ---------- 10,198 ---------- HOUSEHOLD PRODUCTS -- 2.3% 7,025 Alberto-Culver Company, Class B............................... 413 7,875 American Greetings Corporation, Class A!!..................... 153 28,200 Avon Products, Inc. .......................................... 1,821 64,225 Colgate-Palmolive Company..................................... 3,590 17,350 Fortune Brands, Inc. ......................................... 985 60,475 Kimberly-Clark Corporation.................................... 3,104 154,775 Procter & Gamble Company...................................... 14,365 25,875 The Clorox Company............................................ 1,187 6,975 Tupperware Corporation........................................ 93 ---------- 25,711 ---------- HOUSING AND FURNISHING -- 0.4% 7,375 Centex Corporation............................................ 574 22,975 Leggett & Platt, Inc. ........................................ 497 56,100 Masco Corporation............................................. 1,373 9,375 Maytag Corporation............................................ 234
SEE NOTES TO FINANCIAL STATEMENTS. 5 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- HOUSING AND FURNISHING -- (CONTINUED) 32,750 Newell Rubbermaid Inc. ....................................... $ 710 7,350 Pulte Corporation............................................. 500 10,150 The Stanley Works............................................. 300 8,225 Whirlpool Corporation......................................... 557 ---------- 4,745 ---------- INSURANCE -- 4.8% 33,225 ACE Ltd. ..................................................... 1,099 18,375 Aetna Inc. ................................................... 1,121 61,375 AFLAC, Inc. .................................................. 1,982 84,000 Allstate Corporation.......................................... 3,068 12,750 Ambac Financial Group, Inc. .................................. 816 311,450 American International Group, Inc. ........................... 17,970 37,350 Aon Corporation(a)............................................ 779 22,375 Chubb Corporation............................................. 1,452 16,750 CIGNA Corporation............................................. 748 19,150 Cincinnati Financial Corporation.............................. 765 33,725 Hartford Financial Services Group, Inc. ...................... 1,775 16,925 Jefferson-Pilot Corporation................................... 751 34,525 John Hancock Financial Services, Inc. ........................ 1,167 21,225 Lincoln National Corporation.................................. 751 22,150 Loews Corporation............................................. 894 63,575 Marsh & McLennan Companies, Inc. ............................. 3,027 17,300 MBIA, Inc. ................................................... 951 90,750 MetLife, Inc. ................................................ 2,546 11,750 MGIC Investment Corporation................................... 612 38,650 Principal Financial Group, Inc. .............................. 1,198 25,925 Progressive Corporation....................................... 1,792 65,150 Prudential Financial, Inc. ................................... 2,434 16,525 SAFECO Corporation............................................ 583 27,200 The St. Paul Companies, Inc.(a)............................... 1,007 13,625 Torchmark Corporation......................................... 554 120,212 Travelers Property Casualty Corporation, Class B.............. 1,909 35,325 UnumProvident Corporation..................................... 522 16,300 XL Capital Ltd., Class A...................................... 1,262 ---------- 53,535 ---------- INTEGRATED OIL -- 4.1% 10,725 Amerada Hess Corporation...................................... 537 19,318 Apache Corporation............................................ 1,340 23,950 Burlington Resources Inc. .................................... 1,154 127,600 ChevronTexaco Corporation..................................... 9,117 792,300 Exxon Mobil Corporation....................................... 28,999 12,050 Kerr-McGee Corporation........................................ 538 37,025 Marathon Oil Corporation...................................... 1,055 45,700 Occidental Petroleum Corporation.............................. 1,610 9,175 Sunoco, Inc. ................................................. 369 30,850 Unocal Corporation(a)......................................... 972 ---------- 45,691 ---------- INVESTMENT SERVICES -- 2.5% 11,900 Bear Stearns Companies Inc. .................................. 890 161,675 Charles Schwab Corporation.................................... 1,926 12,975 Federated Investors Inc. ..................................... 359 29,950 Franklin Resources, Inc. ..................................... 1,324
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- INVESTMENT SERVICES -- (CONTINUED) 56,600 Goldman Sachs Group, Inc. .................................... $ 4,749 28,575 Janus Capital Group Inc. ..................................... 399 28,875 Lehman Brothers Holdings Inc. ................................ 1,995 111,625 Merrill Lynch & Company, Inc. ................................ 5,975 129,850 Morgan Stanley................................................ 6,552 26,350 Northern Trust Corporation.................................... 1,118 39,725 State Street Corporation...................................... 1,788 14,750 T Rowe Price Group Inc. ...................................... 609 ---------- 27,684 ---------- LODGING AND RECREATION -- 0.9% 10,800 Brunswick Corporation......................................... 277 75,150 Carnival Corporation.......................................... 2,471 36,125 Harley-Davidson, Inc. ........................................ 1,741 13,150 Harrah's Entertainment, Inc. ................................. 554 20,750 Hasbro, Inc. ................................................. 388 45,075 Hilton Hotels Corporation..................................... 731 41,200 International Game Technology................................. 1,160 27,800 Marriott International, Inc., Class A......................... 1,196 52,400 Mattel, Inc. ................................................. 994 24,025 Starwood Hotels & Resorts Worldwide, Inc. .................... 836 ---------- 10,348 ---------- MEDICAL DEVICES AND SUPPLIES -- 4.5% 186,525 Abbott Laboratories........................................... 7,937 24,950 Applera Corporation - Applied Biosystems Group................ 557 6,350 Bausch & Lomb Inc. ........................................... 280 72,700 Baxter International Inc. .................................... 2,113 30,325 Becton Dickinson & Company.................................... 1,095 30,600 Biomet, Inc. ................................................. 1,028 49,150 Boston Scientific Corporation!!............................... 3,136 6,175 C.R. Bard, Inc. .............................................. 438 53,300 Cardinal Health, Inc. ........................................ 3,112 36,750 Guidant Corporation........................................... 1,722 354,325 Johnson & Johnson............................................. 17,547 145,250 Medtronic, Inc. .............................................. 6,815 20,500 St. Jude Medical, Inc.!!...................................... 1,102 23,775 Stryker Corporation........................................... 1,790 14,675 Waters Corporation!!.......................................... 403 27,100 Zimmer Holdings, Inc.!!....................................... 1,493 ---------- 50,568 ---------- METALS AND MINING -- 0.5% 101,000 Alcoa Inc. ................................................... 2,642 20,100 Freeport-McMoran Copper & Gold, Inc., Class B................. 665 48,725 Newmont Mining Corporation.................................... 1,905 10,625 Phelps Dodge Corporation!!.................................... 497 10,250 Worthington Industries, Inc. ................................. 129 ---------- 5,838 ---------- NATURAL GAS DISTRIBUTION -- 0.3% 71,700 El Paso Corporation........................................... 523 18,925 KeySpan Corporation........................................... 664 5,250 NICOR Inc. ................................................... 184 4,375 Peoples Energy Corporation.................................... 181
SEE NOTES TO FINANCIAL STATEMENTS. 6 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- NATURAL GAS DISTRIBUTION -- (CONTINUED) 24,925 Sempra Energy................................................. $ 733 61,825 Williams Companies, Inc. ..................................... 582 ---------- 2,867 ---------- NATURAL GAS PIPELINES -- 0.1% 14,725 Kinder Morgan, Inc. .......................................... 795 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.7% 96,000 ADC Telecommunications, Inc.!!................................ 224 23,550 American Power Conversion Corporation......................... 404 18,325 Andrew Corporation!!.......................................... 225 49,750 Avaya Inc.!!.................................................. 542 56,225 CIENA Corporation!!........................................... 332 837,875 Cisco Systems, Inc.!!......................................... 16,371 22,475 Comverse Technology, Inc.!!................................... 336 158,925 Corning Inc.!!................................................ 1,497 170,725 JDS Uniphase Corporation!!.................................... 615 496,675 Lucent Technologies Inc.!!(a)................................. 1,073 277,825 Motorola, Inc. ............................................... 3,326 94,750 QUALCOMM Inc. ................................................ 3,945 17,775 Scientific-Atlanta, Inc. ..................................... 554 49,300 Tellabs, Inc.!!............................................... 335 ---------- 29,779 ---------- OIL REFINING AND MARKETING -- 0.4% 81,177 ConocoPhillips................................................ 4,445 15,950 Noble Corporation!!........................................... 542 ---------- 4,987 ---------- OILFIELD SERVICES -- 0.7% 39,950 Baker Hughes Inc. ............................................ 1,182 18,900 BJ Services Company!!......................................... 646 52,275 Halliburton Company........................................... 1,268 17,475 Nabors Industries, Ltd.!!..................................... 651 11,200 Rowan Companies, Inc.!!....................................... 275 69,550 Schlumberger Ltd. ............................................ 3,366 38,200 Transocean Inc.!!............................................. 764 ---------- 8,152 ---------- PACKAGING AND CONTAINERS -- 0.1% 6,750 Ball Corporation.............................................. 365 6,350 Bemis Company, Inc. .......................................... 281 18,800 Pactiv Corporation!!.......................................... 381 10,125 Sealed Air Corporation!!...................................... 478 ---------- 1,505 ---------- PAPER AND FOREST PRODUCTS -- 0.6% 6,975 Boise Cascade Corporation(a).................................. 193 30,275 Georgia-Pacific Corporation................................... 734 57,250 International Paper Company................................... 2,234 12,500 Louisiana-Pacific Corporation!!............................... 172 23,925 Meadwestvaco Corporation...................................... 610 21,850 Plum Creek Timber Company, Inc. .............................. 556 6,475 Temple-Inland Inc. ........................................... 314 26,175 Weyerhaeuser Company.......................................... 1,530 ---------- 6,343 ----------
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- PHARMACEUTICALS -- 7.8% 15,600 Allergan, Inc. ............................................... $ 1,228 13,350 AmerisourceBergen Corporation................................. 722 154,092 Amgen Inc.!!.................................................. 9,950 17,850 Biogen, Inc.!!................................................ 682 231,425 Bristol-Myers Squibb Company.................................. 5,938 22,275 Chiron Corporation!!.......................................... 1,151 134,000 Eli Lilly and Company......................................... 7,960 9,375 Express Scripts, Inc.!!....................................... 573 43,575 Forest Laboratories, Inc.!!................................... 2,242 26,500 Genzyme Corporation!!......................................... 1,226 28,550 IMS Health Inc. .............................................. 602 28,775 King Pharmaceuticals, Inc.!!.................................. 436 32,286 Medco Health Solutions, Inc.!!................................ 837 29,825 MedImmune, Inc.!!............................................. 985 267,275 Merck & Company, Inc. ........................................ 13,529 929,510 Pfizer Inc. .................................................. 28,239 175,400 Schering-Plough Corporation................................... 2,673 12,850 Watson Pharmaceuticals, Inc.!!................................ 536 158,925 Wyeth......................................................... 7,326 ---------- 86,835 ---------- PUBLISHING AND ADVERTISING -- 0.8% 6,350 Deluxe Corporation............................................ 255 9,725 Dow Jones & Company, Inc. .................................... 460 32,200 Gannett Company, Inc. ........................................ 2,498 46,725 Interpublic Group of Companies, Inc. ......................... 660 9,600 Knight-Ridder, Inc. .......................................... 640 22,825 McGraw-Hill Companies, Inc. .................................. 1,418 5,925 Meredith Corporation.......................................... 274 13,400 Monster Worldwide Inc.!!...................................... 337 17,850 New York Times Company, Class A............................... 776 13,550 R.R. Donnelley & Sons Company................................. 337 37,450 Tribune Company............................................... 1,719 ---------- 9,374 ---------- RAILROADS, TRUCKING AND SHIPPING -- 1.4% 44,450 Burlington Northern Santa Fe Corporation...................... 1,283 25,550 CSX Corporation............................................... 747 35,625 FedEx Corporation............................................. 2,295 46,575 Norfolk Southern Corporation.................................. 862 7,575 Ryder System, Inc. ........................................... 222 30,400 Union Pacific Corporation..................................... 1,768 134,350 United Parcel Service, Inc., Class B.......................... 8,573 ---------- 15,750 ---------- REAL ESTATE -- 0.0%+ 11,225 Apartment Investment and Management Company................... 442 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.4% 47,625 Equity Office Properties Trust................................ 1,311 32,675 Equity Residential Properties Trust........................... 957 21,425 ProLogis Trust................................................ 648 22,950 Simon Property Group, Inc. ................................... 1,000 ---------- 3,916 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 7 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- RESTAURANTS -- 0.6% 19,625 Darden Restaurants, Inc. ..................................... $ 373 151,900 McDonald's Corporation........................................ 3,576 46,675 Starbucks Corporation!!....................................... 1,344 13,550 Wendy's International, Inc. .................................. 438 35,050 Yum! Brands, Inc.!!........................................... 1,038 ---------- 6,769 ---------- SEMICONDUCTORS -- 4.0% 41,425 Advanced Micro Devices, Inc.!!(a)............................. 460 56,275 Agilent Technologies, Inc.!!.................................. 1,244 45,650 Altera Corporation!!.......................................... 863 43,600 Analog Devices, Inc.!!........................................ 1,658 197,850 Applied Materials, Inc.!!..................................... 3,589 36,375 Applied Micro Circuits Corporation!!.......................... 177 35,400 Broadcom Corporation, Class A!!............................... 942 777,150 Intel Corporation............................................. 21,380 22,725 KLA-Tencor Corporation!!...................................... 1,168 37,375 Linear Technology Corporation................................. 1,338 38,750 Maxim Integrated Products, Inc. .............................. 1,531 72,800 Micron Technology, Inc.!!..................................... 977 21,950 National Semiconductor Corporation!!.......................... 709 18,075 Novellus Systems, Inc.!!...................................... 610 19,000 NVIDIA Corporation!!.......................................... 302 15,125 PerkinElmer, Inc. ............................................ 232 20,350 PMC -- Sierra, Inc.!!......................................... 268 11,250 QLogic Corporation!!.......................................... 529 10,125 Tektronix, Inc.!!............................................. 251 22,525 Teradyne, Inc.!!.............................................. 419 206,675 Texas Instruments Inc. ....................................... 4,712 40,700 Xilinx, Inc.!!................................................ 1,160 ---------- 44,519 ---------- SOFTWARE -- 5.1% 27,850 Adobe Systems Inc. ........................................... 1,093 13,350 Autodesk, Inc. ............................................... 227 27,175 BMC Software, Inc.!!.......................................... 379 19,650 Citrix Systems, Inc.!!........................................ 434 69,100 Computer Associates International, Inc. ...................... 1,804 45,675 Compuware Corporation!!....................................... 245 17,575 Electronic Arts Inc.!!........................................ 1,621 24,500 Intuit Inc.!!................................................. 1,182 10,300 Mercury Interactive Corporation!!............................. 468 1,290,950 Microsoft Corporation......................................... 35,876 44,325 Novell, Inc.!!................................................ 236 624,800 Oracle Corporation!!.......................................... 7,010 31,775 Parametric Technology Corporation!!........................... 99 43,450 PeopleSoft, Inc.!!............................................ 790 58,975 Siebel Systems, Inc.!!........................................ 573 18,125 Symantec Corporation!!........................................ 1,142 50,825 VERITAS Software Corporation!!................................ 1,596 72,825 Yahoo! Inc.!!................................................. 2,577 ---------- 57,352 ---------- SPECIALTY STORES -- 2.4% 35,300 Bed Bath & Beyond Inc.!!...................................... 1,348
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- SPECIALTY STORES -- (CONTINUED) 38,475 Best Buy Company, Inc.!!...................................... $ 1,828 13,925 Big Lots Inc.!!............................................... 220 24,925 Circuit City Stores - Circuit City Group...................... 238 20,525 Family Dollar Stores, Inc. ................................... 819 106,650 Gap, Inc. .................................................... 1,826 274,375 Home Depot, Inc. ............................................. 8,738 62,250 Limited Brands................................................ 939 93,525 Lowe's Companies, Inc. ....................................... 4,853 16,225 Nordstrom, Inc. .............................................. 403 37,000 Office Depot, Inc.!!.......................................... 520 19,775 RadioShack Corporation........................................ 562 17,425 Sherwin-Williams Company...................................... 512 58,525 Staples, Inc.!!............................................... 1,390 17,325 Tiffany & Company............................................. 647 60,950 TJX Companies, Inc. .......................................... 1,184 25,475 Toys R Us, Inc.!!............................................. 306 ---------- 26,333 ---------- STEEL -- 0.1% 9,325 Nucor Corporation............................................. 427 12,325 United States Steel Corporation............................... 227 ---------- 654 ---------- TELECOMMUNICATIONS SERVICES -- 3.4% 94,075 AT&T Corporation.............................................. 2,027 37,225 ALLTEL Corporation............................................ 1,725 323,900 AT&T Wireless Services Inc.!!................................. 2,650 220,525 BellSouth Corporation......................................... 5,222 17,175 CenturyTel, Inc. ............................................. 582 33,950 Citizens Communications Company!!............................. 381 123,625 Nextel Communications, Inc., Class A!!........................ 2,434 202,400 Qwest Communications International Inc.!!..................... 688 396,775 SBC Communications Inc. ...................................... 8,828 107,825 Sprint Corporation (FON Group)................................ 1,628 123,500 Sprint Corporation (PCS Group)!!(a)........................... 708 329,050 Verizon Communications Inc. .................................. 10,674 ---------- 37,547 ---------- TOBACCO -- 1.0% 242,275 Altria Group, Inc. ........................................... 10,612 10,075 R.J. Reynolds Tobacco Holdings, Inc. ......................... 398 19,875 UST Inc.(a)................................................... 699 ---------- 11,709 ---------- TOTAL COMMON STOCKS (Cost $1,092,927)........................................... 1,099,211 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 8 NATIONS FUNDS Nations LargeCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
SHARES VALUE (000) (000) - ---------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 2.2% (Cost $24,118) 24,118 Nations Cash Reserves, Capital Class Shares#.................. $ 24,118 ---------- TOTAL INVESTMENTS (Cost $1,117,045*)................................ 100.5% 1,123,329 ---------- OTHER ASSETS AND LIABILITIES (NET).................. (0.5)% Receivable for Fund shares sold............................... $ 2,294 Dividends receivable.......................................... 1,315 Interest receivable........................................... 1 Receivable from investment adviser............................ 1 Variation margin/due to broker................................ (177) Collateral on securities loaned............................... (7,539) Payable for Fund shares redeemed.............................. (335) Investment advisory fee payable............................... (77) Administration fee payable.................................... (215) Shareholder servicing and distribution fees payable........... (6) Accrued Trustees' fees and expenses........................... (70) Accrued expenses and other liabilities........................ (323) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (5,131) ---------- NET ASSETS.......................................... 100.0% $1,118,198 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 10,855 Accumulated net realized loss on investments sold and futures contracts................................................... (206,385) Net unrealized appreciation of investments and futures contracts................................................... 5,755 Paid-in capital............................................... 1,307,973 ---------- NET ASSETS.................................................... $1,118,198 ==========
VALUE - ---------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($1,089,889,050 / 56,298,378 shares outstanding)............ $19.36 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($28,309,194 / 1,472,746 shares outstanding)................ $19.22 ==========
- --------------- * Federal income tax information (see Note 11). !!Non-income producing security. @ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. + Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 10). The portion that represents cash collateral is $7,539. (a)All or a portion of security was on loan on September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003 is $18,765 and $7,129, respectively. && All or a portion of security segregated as collateral for futures contracts. > Affiliated security. (b)Fair valued security. (c)Restricted security. SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS FUNDS Nations LargeCap Enhanced Core Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- COMMON STOCKS -- 94.8% AEROSPACE AND DEFENSE -- 1.0% 32,400 United Technologies Corporation............................... $ 2,504 -------- APPAREL AND TEXTILES -- 0.0%+ 1,400 Liz Claiborne, Inc. .......................................... 48 -------- AUTOMOTIVE -- 0.5% 121,100 Ford Motor Company............................................ 1,304 -------- BEVERAGES -- 1.5% 8,700 Anheuser-Busch Companies, Inc. ............................... 429 32,700 Coca-Cola Company............................................. 1,405 40,400 PepsiCo, Inc. ................................................ 1,852 -------- 3,686 -------- BROADCASTING AND CABLE -- 1.6% 88,600 AOL Time Warner Inc.!!........................................ 1,339 6,100 Comcast Corporation, Class A!!................................ 188 93,000 The Walt Disney Company....................................... 1,876 14,900 Viacom Inc., Class B.......................................... 571 -------- 3,974 -------- CHEMICALS -- BASIC -- 0.8% 24,100 PPG Industries, Inc. ......................................... 1,258 12,700 Praxair, Inc. ................................................ 787 -------- 2,045 -------- CHEMICALS -- SPECIALTY -- 0.3% 33,700 Monsanto Company.............................................. 807 500 Sigma-Aldrich Corporation..................................... 26 -------- 833 -------- COMMERCIAL BANKING -- 9.8% 7,500 Bank One Corporation.......................................... 290 144,800 Citigroup Inc. ............................................... 6,589 38,626 First Tennessee National Corporation.......................... 1,640 81,300 FleetBoston Financial Corporation............................. 2,451 30,200 KeyCorp....................................................... 772 34,900 National City Corporation..................................... 1,028 13,100 PNC Financial Services Group.................................. 623 600 Regions Financial Corporation................................. 21 42,000 SouthTrust Corporation........................................ 1,234 28,400 The Bank of New York Company, Inc. ........................... 827 85,900 US Bancorp.................................................... 2,061 72,600 Wachovia Corporation.......................................... 2,990 66,700 Washington Mutual, Inc. ...................................... 2,626 11,900 Wells Fargo & Company......................................... 613 -------- 23,765 -------- COMMERCIAL SERVICES -- 0.5% 14,200 Allied Waste Industries, Inc.!!............................... 153 4,500 Apollo Group Inc., Class A!!.................................. 297 7,600 Cendant Corporation!!......................................... 142 13,400 eBay Inc.!!................................................... 718 -------- 1,310 --------
VALUE SHARES (000) - ------------------------------------------------------------------------------------- COMPUTER SERVICES -- 1.9% 19,900 Computer Sciences Corporation!!............................... $ 748 103,200 Concord EFS, Inc.!!........................................... 1,410 74,600 Convergys Corporation!!....................................... 1,368 24,500 Equifax Inc. ................................................. 546 24,400 Sungard Data Systems, Inc.!!.................................. 642 -------- 4,714 -------- COMPUTERS AND OFFICE EQUIPMENT -- 3.8% 75,800 Dell Inc.!!................................................... 2,531 125,700 Hewlett-Packard Company....................................... 2,434 29,700 International Business Machines Corporation................... 2,623 18,000 Lexmark International, Inc.!!................................. 1,134 33,500 Network Appliance, Inc.!!..................................... 688 1,900 Xerox Corporation!!........................................... 19 -------- 9,429 -------- CONGLOMERATES -- 0.3% 30,100 Tyco International Ltd. ...................................... 615 -------- CONSUMER CREDIT AND MORTGAGES -- 2.5% 68,700 American Express Company&&.................................... 3,096 26,700 Countrywide Financial Corporation............................. 2,090 32,800 MBNA Corporation.............................................. 748 22,000 Providian Financial Corporation!!............................. 259 -------- 6,193 -------- DEPARTMENT AND DISCOUNT STORES -- 2.3% 41,100 The May Department Stores Company............................. 1,012 83,000 Wal-Mart Stores, Inc. ........................................ 4,636 -------- 5,648 -------- DIVERSIFIED ELECTRONICS -- 0.4% 8,400 Cooper Industries, Ltd. ...................................... 403 23,500 Eastman Kodak Company......................................... 493 11,000 Symbol Technologies, Inc. .................................... 131 -------- 1,027 -------- DIVERSIFIED MANUFACTURING -- 4.6% 42,400 3M Company.................................................... 2,929 197,900 General Electric Company&&.................................... 5,899 56,100 Gillette Company.............................................. 1,794 20,000 Honeywell International Inc. ................................. 527 8,300 Sanmina - SCI Corporation!!................................... 81 -------- 11,230 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.8% 11,700 Entergy Corporation........................................... 634 9,500 Pinnacle West Capital Corporation............................. 337 17,300 PPL Corporation............................................... 708 7,300 Public Service Enterprise Group Inc. ......................... 307 -------- 1,986 --------
SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS FUNDS Nations LargeCap Enhanced Core Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- ELECTRIC POWER -- NUCLEAR -- 0.8% 3,100 Dominion Resources, Inc. ..................................... $ 192 13,000 Exelon Corporation............................................ 826 15,045 FPL Group, Inc. .............................................. 950 -------- 1,968 -------- ELECTRICAL EQUIPMENT -- 0.2% 11,300 Emerson Electric Company...................................... 595 -------- FINANCE -- MISCELLANEOUS -- 0.6% 33,200 H & R Block, Inc. ............................................ 1,433 -------- FINANCIAL SERVICES -- 1.4% 98,300 J.P. Morgan Chase & Company................................... 3,375 -------- FOOD AND DRUG STORES -- 0.3% 17,800 Albertson's, Inc. ............................................ 366 6,300 CVS Corporation............................................... 196 22,600 Winn-Dixie Stores, Inc. ...................................... 218 -------- 780 -------- FOOD PRODUCTS -- 0.2% 14,800 Archer-Daniels-Midland Company................................ 194 2,000 Kellogg Company............................................... 67 4,000 Wm. Wrigley Jr. Company....................................... 221 -------- 482 -------- HEALTH SERVICES -- 0.7% 10,500 Manor Care, Inc. ............................................. 315 1,300 Quest Diagnostics Inc.!!...................................... 79 21,800 UnitedHealth Group Inc. ...................................... 1,097 4,500 Wellpoint Health Networks Inc.!!.............................. 347 -------- 1,838 -------- HEAVY MACHINERY -- 1.2% 7,600 Caterpillar Inc. ............................................. 523 14,100 Illinois Tool Works Inc. ..................................... 934 21,000 PACCAR, Inc. ................................................. 1,569 -------- 3,026 -------- HOUSEHOLD PRODUCTS -- 2.8% 22,300 Colgate-Palmolive Company&&................................... 1,246 26,646 Kimberly-Clark Corporation.................................... 1,367 34,100 Procter & Gamble Company...................................... 3,166 22,700 The Clorox Company............................................ 1,041 -------- 6,820 -------- HOUSING AND FURNISHING -- 0.7% 25,300 Whirlpool Corporation......................................... 1,715 -------- INSURANCE -- 6.0% 19,100 ACE Ltd. ..................................................... 632 32,000 AFLAC, Inc. .................................................. 1,034 47,300 Allstate Corporation.......................................... 1,728 92,400 American International Group, Inc.&&.......................... 5,330 35,200 Aon Corporation............................................... 734 27,900 Chubb Corporation............................................. 1,809 3,200 Hartford Financial Services Group, Inc. ...................... 168 20,000 John Hancock Financial Services, Inc. ........................ 676
VALUE SHARES (000) - ------------------------------------------------------------------------------------- INSURANCE -- (CONTINUED) 28,900 Principal Financial Group, Inc. .............................. $ 896 6,400 Prudential Financial, Inc. ................................... 239 500 The St. Paul Companies, Inc. ................................. 19 43,300 Travelers Property Casualty Corporation, Class B.............. 688 11,600 XL Capital Ltd., Class A...................................... 898 -------- 14,851 -------- INTEGRATED OIL -- 4.6% 2,700 Amerada Hess Corporation...................................... 135 11,000 Apache Corporation............................................ 763 39,900 Burlington Resources Inc. .................................... 1,923 48,900 ChevronTexaco Corporation..................................... 3,494 128,100 Exxon Mobil Corporation....................................... 4,688 5,500 Kerr-McGee Corporation........................................ 246 -------- 11,249 -------- INVESTMENT SERVICES -- 2.1% 2,100 Franklin Resources, Inc. ..................................... 93 21,600 Goldman Sachs Group, Inc. .................................... 1,812 7,700 Janus Capital Group Inc. ..................................... 108 53,200 Merrill Lynch & Company, Inc. ................................ 2,848 4,900 Morgan Stanley................................................ 247 -------- 5,108 -------- LODGING AND RECREATION -- 1.1% 26,300 Harrah's Entertainment, Inc. ................................. 1,107 19,100 International Game Technology................................. 538 56,800 Mattel, Inc. ................................................. 1,077 -------- 2,722 -------- MEDICAL DEVICES AND SUPPLIES -- 5.8% 3,000 Bausch & Lomb Inc. ........................................... 132 48,800 Becton Dickinson & Company.................................... 1,763 15,400 C.R. Bard, Inc. .............................................. 1,093 40,400 Guidant Corporation........................................... 1,893 105,700 Johnson & Johnson............................................. 5,234 51,087 Medtronic, Inc. .............................................. 2,397 4,300 St. Jude Medical, Inc.!!...................................... 231 1,100 Waters Corporation!!.......................................... 30 25,000 Zimmer Holdings, Inc.!!....................................... 1,378 -------- 14,151 -------- METALS AND MINING -- 0.3% 29,000 Alcoa Inc. ................................................... 759 -------- NATURAL GAS DISTRIBUTION -- 0.0%+ 11,300 Williams Companies, Inc. ..................................... 106 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.5% 95,500 Avaya Inc.!!.................................................. 1,041 208,000 Cisco Systems, Inc.!!......................................... 4,065 56,300 Corning Inc.!!................................................ 530 20,000 Scientific-Atlanta, Inc. ..................................... 623 -------- 6,259 --------
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations LargeCap Enhanced Core Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- OILFIELD SERVICES -- 0.8% 46,100 Baker Hughes Inc. ............................................ $ 1,364 12,400 Schlumberger Ltd. ............................................ 600 -------- 1,964 -------- PACKAGING AND CONTAINERS -- 0.7% 35,200 Sealed Air Corporation!!...................................... 1,662 -------- PAPER AND FOREST PRODUCTS -- 0.1% 8,100 Georgia-Pacific Corporation................................... 196 100 Plum Creek Timber Company, Inc. .............................. 3 -------- 199 -------- PHARMACEUTICALS -- 7.9% 26,600 Amgen Inc.!!.................................................. 1,718 1,000 Biogen, Inc.!!................................................ 38 107,600 Bristol-Myers Squibb Company.................................. 2,761 52,600 Eli Lilly and Company......................................... 3,124 10,100 Forest Laboratories, Inc.!!................................... 520 100 Genzyme Corporation!!......................................... 5 9,500 Medco Health Solutions, Inc.!!................................ 246 85,600 Merck & Company, Inc. ........................................ 4,333 197,500 Pfizer Inc. .................................................. 5,999 9,600 Schering-Plough Corporation................................... 146 5,200 Watson Pharmaceuticals, Inc.!!................................ 217 -------- 19,107 -------- PUBLISHING AND ADVERTISING -- 1.5% 5,600 Gannett Company, Inc. ........................................ 434 1,500 Knight-Ridder, Inc. .......................................... 100 8,200 McGraw-Hill Companies, Inc. .................................. 509 9,200 New York Times Company, Class A............................... 400 11,200 R.R. Donnelley & Sons Company................................. 279 42,500 Tribune Company............................................... 1,951 -------- 3,673 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.0% 28,000 FedEx Corporation............................................. 1,804 10,600 United Parcel Service, Inc., Class B.......................... 676 -------- 2,480 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.2% 19,500 Equity Office Properties Trust................................ 537 -------- RESTAURANTS -- 1.4% 7,300 Darden Restaurants, Inc. ..................................... 139 98,500 McDonald's Corporation........................................ 2,319 4,000 Starbucks Corporation!!....................................... 115 30,500 Yum! Brands, Inc.!!........................................... 903 -------- 3,476 -------- SEMICONDUCTORS -- 4.0% 7,600 Altera Corporation!!.......................................... 144 6,600 Analog Devices, Inc.!!........................................ 251 219,400 Intel Corporation............................................. 6,036 14,100 Linear Technology Corporation................................. 505 40,400 Maxim Integrated Products, Inc. .............................. 1,596 20,700 NVIDIA Corporation!!.......................................... 329 1,500 QLogic Corporation!!.......................................... 71
VALUE SHARES (000) - ------------------------------------------------------------------------------------- SEMICONDUCTORS -- (CONTINUED) 4,400 Texas Instruments Inc. ....................................... $ 100 26,600 Xilinx, Inc.!!................................................ 758 -------- 9,790 -------- SOFTWARE -- 5.9% 14,500 Adobe Systems Inc. ........................................... 569 2,600 Citrix Systems, Inc.!!........................................ 57 15,400 Electronic Arts Inc.!!........................................ 1,420 323,600 Microsoft Corporation......................................... 8,994 260,900 Oracle Corporation!!.......................................... 2,928 3,100 PeopleSoft, Inc.!!............................................ 56 800 Symantec Corporation!!........................................ 50 11,300 VERITAS Software Corporation!!................................ 355 -------- 14,429 -------- SPECIALTY STORES -- 2.5% 6,400 Best Buy Company, Inc.!!...................................... 304 1,200 Family Dollar Stores, Inc. ................................... 48 112,300 Gap, Inc. .................................................... 1,923 71,400 Home Depot, Inc. ............................................. 2,273 2,000 Lowe's Companies, Inc. ....................................... 104 800 RadioShack Corporation........................................ 23 49,600 Sherwin-Williams Company...................................... 1,459 -------- 6,134 -------- TELECOMMUNICATIONS SERVICES -- 4.3% 20,900 AT &T Corporation............................................. 450 16,900 AT&T Wireless Services Inc.!!................................. 138 72,900 BellSouth Corporation......................................... 1,726 13,900 Nextel Communications, Inc., Class A!!........................ 274 133,000 SBC Communications Inc. ...................................... 2,959 92,900 Sprint Corporation (FON Group)................................ 1,403 112,000 Verizon Communications Inc. .................................. 3,634 -------- 10,584 -------- TOBACCO -- 0.6% 31,000 Altria Group, Inc. ........................................... 1,358 2,800 R.J. Reynolds Tobacco Holdings, Inc. ......................... 111 -------- 1,469 -------- TOTAL COMMON STOCKS (Cost $193,990)............................................. 233,052 -------- CONTRACTS - --------- PURCHASED OPTIONS -- 1.5% 1,000 Call option Altria Group Strike price 40.00 Expires 01/22/05............................................ 680 1,000 Put option Altria Group Strike price 20.00 Expires 01/22/05............................................ 80 63(c) Call option on interest rate swap, expiring on 11/08/03. If exercised, Commerzbank pays fixed (2.75%) and receives 6 month EURIBOR, Swap expires 05/23/06....................................... 17
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations LargeCap Enhanced Core Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE CONTRACTS (000) - -------------------------------------------------------------------------------------- PURCHASED OPTIONS -- (CONTINUED) 20(c) Call option on interest rate swap, expiring on 12/29/03. If exercised, Commerzbank pays fixed (2.70%) and receives 6 month EURIBOR, Swap expires 12/31/08....................................... $ 3 10(c) Call option on interest rate swap, expiring on 07/10/06. If exercised, Morgan Stanley pays fixed (3.75%) and receives 6 month EURIBOR, Swap expires 07/13/07.............................. 49 500,000(d) Collar option 6 Month EURIBOR Strike 3.00% Expires 07/04/05............................................ 106 500,000(d) Collar option 6 Month EURIBOR Strike 3.00% Expires 01/04/06............................................ 86 500,000(d) Collar option 6 Month EURIBOR Strike 3.00% Expires 07/04/06............................................ 79 500,000(d) Collar option 6 Month EURIBOR Strike 3.00% Expires 01/04/07............................................ 73 45(c) Call option on interest rate swap, expiring on 11/08/03. If exercised, Commerzbank pays 6 month EURIBOR and receives fixed (2.75%), Swap expires 11/12/04....................................... 297 53(c) Call option on interest rate swap, expiring on 06/14/04. If exercised, Morgan Stanley pays 6 month EURIBOR and receives fixed (3.78%), Swap expires 07/04/12.............................. 2,102 -------- TOTAL PURCHASED OPTIONS (Cost $852)................................................. 3,572 -------- SHARES (000) - --------- INVESTMENT COMPANIES -- 4.8% (Cost $11,710) 11,710 Nations Cash Reserves, Capital Class Shares#.................. 11,710 -------- TOTAL INVESTMENTS (Cost $206,552*).................................. 101.1% 248,334 -------- CONTRACTS - --------- WRITTEN OPTIONS (1,000) Call option, Altria Group Strike price 40.00 Expires 01/22/05.................................. (680)
VALUE CONTRACTS (000) - -------------------------------------------------------------------------------------- WRITTEN OPTIONS -- (CONTINUED) (1,000) Put option, Altria Group Strike price 20.00 Expires 01/22/05.................................. $ (80) (500,000)(d) Put option, Deutschland Republic Bond, 5.000% due 07/04/12 Strike price 108.946 Expires 06/14/04.................................. (2,042) (18)(c) Call option on interest rate swap, expiring on 12/26/03. If exercised, Commerzbank pays 3 month LIBOR and receives fixed (2.25%), Swap expires 12/30/08............................. (3) (45)(c) Call option on interest rate swap, expiring on 11/08/03. If exercised, Commerzbank pays 3 month EURIBOR and receives fixed (2.25%), Swap expires 11/12/04............................. (62) (63)(c) Call option on interest rate swap, expiring on 11/20/03. If exercised, Commerzbank pays 6 month EURIBOR and receives fixed (2.635%), Swap expires 05/23/06............................. (3) (500,000)(d) Collar option 6 Month EURIBOR Strike 5.50% Expires 07/04/05.................................. (3) (500,000)(d) Collar option 6 Month EURIBOR Strike 5.50% Expires 01/04/06.................................. (15) (500,000)(d) Collar option 6 Month EURIBOR Strike 5.50% Expires 07/04/06.................................. (34) (500,000)(d) Collar option 6 Month EURIBOR Strike 5.50% Expires 01/04/07.................................. (58) -------- TOTAL WRITTEN OPTIONS (Premium ($777)).................................. (2,980) --------
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Nations LargeCap Enhanced Core Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - ------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (NET)................................. (1.1)% Receivable for Fund shares sold............................... $ 852 Dividends receivable.......................................... 273 Interest receivable........................................... 28 Unrealized appreciation on swap contracts..................... 3,143 Unrealized depreciation on swap contracts..................... (2,971) Variation margin/due to broker................................ (438) Written options, at value (premium $777)...................... (2,980) Payable for Fund shares redeemed.............................. (265) Investment advisory fee payable............................... (34) Administration fee payable.................................... (47) Shareholder servicing and distribution fees payable........... (4) Due to custodian.............................................. (7) Accrued Trustees' fees and expenses........................... (63) Accrued expenses and other liabilities........................ (137) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (2,650) -------- NET ASSETS.......................................... 100.0% $245,684 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 1,560 Accumulated net realized loss on investments sold, swaps, options and futures contracts...... (15,865) Net unrealized appreciation of investments, swaps, options and futures contracts........... 39,327 Paid-in capital............................................... 220,662 -------- NET ASSETS.................................................... $245,684 ======== VALUE - ------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($227,502,169 / 19,104,161 shares outstanding).............. $11.91 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($18,181,427 / 1,531,993 shares outstanding)................ $11.87 ========
- --------------- * Federal income tax information (see Note 11). !!Non-income producing security. + Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. &&All or a portion of security segregated as collateral for futures contracts. (c)1 contract = $1,000,000 notional amount. (d)1 contract = 100 shares. SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- COMMON STOCKS -- 98.8% AEROSPACE AND DEFENSE -- 0.7% 132,675 L-3 Communications Holdings, Inc.!!........................... $ 5,738 14,375 Sequa Corporation, Class A!!.................................. 615 110,550 The Titan Corporation!!....................................... 2,304 ---------- 8,657 ---------- AIRLINES -- 0.5% 36,675 Alaska Air Group, Inc.!!...................................... 1,020 88,850 JetBlue Airways Corporation!!................................. 5,417 ---------- 6,437 ---------- APPAREL AND TEXTILES -- 0.8% 125,000 Coach, Inc.!!&&............................................... 6,825 48,975 Timberland Company, Class A!!................................. 2,089 74,100 Unifi, Inc.!!................................................. 356 ---------- 9,270 ---------- AUTOMOTIVE -- 1.7% 94,275 ArvinMeritor, Inc. ........................................... 1,679 37,175 Borg Warner Inc. ............................................. 2,522 142,425 Carmax Inc.!!................................................. 4,652 123,575 Copart, Inc.!!................................................ 1,335 105,150 Gentex Corporation............................................ 3,663 92,450 Lear Corporation!!............................................ 4,867 36,700 Superior Industries International, Inc. ...................... 1,488 ---------- 20,206 ---------- BEVERAGES -- 0.6% 143,750 Constellation Brands, Inc.!!(a)............................... 4,383 198,300 PepsiAmericas, Inc.&&......................................... 2,873 ---------- 7,256 ---------- BROADCASTING AND CABLE -- 0.9% 74,825 Emmis Communications Corporation!!............................ 1,510 70,675 Entercom Communications Corporation!!(a)...................... 3,168 32,200 Media General Inc., Class A................................... 1,967 139,250 Westwood One, Inc.!!.......................................... 4,204 ---------- 10,849 ---------- BUILDING MATERIALS -- 0.2% 67,325 Martin Marietta Materials, Inc. .............................. 2,454 ---------- CHEMICALS -- BASIC -- 0.7% 48,575 FMC Corporation!!............................................. 1,224 90,775 FMC Technologies, Inc.!!...................................... 1,944 158,475 IMC Global, Inc. ............................................. 1,016 222,800 Lyondell Chemical Company..................................... 2,848 80,350 Olin Corporation.............................................. 1,271 ---------- 8,303 ---------- CHEMICALS -- SPECIALTY -- 1.3% 101,000 Airgas, Inc. ................................................. 1,798 56,750 Albemarle Corporation......................................... 1,558 84,950 Cabot Corporation............................................. 2,421 33,850 Cabot Microelectronics Corporation!!(a)....................... 1,887 153,075 Crompton Corporation.......................................... 889 53,750 Cytec Industries Inc.!!....................................... 1,962 56,125 Ferro Corporation............................................. 1,199
VALUE SHARES (000) - -------------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- (CONTINUED) 70,900 Lubrizol Corporation&&........................................ $ 2,301 27,700 Minerals Technologies Inc. ................................... 1,410 ---------- 15,425 ---------- COMMERCIAL BANKING -- 9.0% 101,225 Associated Banc-Corp.......................................... 3,826 110,700 Astoria Financial Corporation................................. 3,421 80,750 Bank of Hawaii Corporation.................................... 2,712 221,850 Banknorth Group, Inc. ........................................ 6,261 66,725 City National Corporation..................................... 3,400 171,100 Colonial BancGroup, Inc. ..................................... 2,471 103,100 Commerce Bancorp, Inc.(a)..................................... 4,940 172,975 Compass Bancshares, Inc. ..................................... 5,981 70,850 Cullen Frost Bankers, Inc. ................................... 2,638 116,300 Firstmerit Corporation&&...................................... 2,877 71,625 Greater Bay Bancorp(a)........................................ 1,490 214,825 Hibernia Corporation, Class A................................. 4,352 75,250 Independence Community Bank Corporation....................... 2,628 89,675 Investors Financial Services Corporation...................... 2,816 164,650 M&T Bank Corporation.......................................... 14,375 109,375 Mercantile Bankshares Corporation............................. 4,375 281,575 National Commerce Financial Corporation....................... 7,006 190,466 New York Community Bancorp, Inc. ............................. 6,002 67,175 Provident Financial Group, Inc. .............................. 1,878 47,500 Silicon Valley Bancshares!!(a)................................ 1,312 402,050 Sovereign Bancorp, Inc. ...................................... 7,458 98,400 TCF Financial Corporation..................................... 4,718 95,950 Washington Federal, Inc. ..................................... 2,419 62,850 Webster Financial Corporation................................. 2,506 45,025 Westamerica Bancorporation.................................... 2,001 90,700 Wilmington Trust Corporation.................................. 2,790 ---------- 106,653 ---------- COMMERCIAL SERVICES -- 3.6% 26,675 Bandag, Inc. ................................................. 900 73,525 Catalina Marketing Corporation!!.............................. 1,117 113,875 CDW Corporation............................................... 6,576 91,150 Certegy Inc. ................................................. 2,927 118,327 ChoicePoint Inc.!!............................................ 3,964 104,450 Fastenal Company(a)........................................... 3,948 106,950 Gartner Group, Inc.!!......................................... 1,165 49,000 Kelly Services, Inc. ......................................... 1,222 51,775 Korn/Ferry International!!.................................... 427 106,975 Manpower Inc.(a).............................................. 3,969 140,350 MPS Group, Inc.!!............................................. 1,263 62,112 Rollins, Inc. ................................................ 1,108 144,425 SEI Investment Company........................................ 4,694 84,750 Sotheby's Holdings, Class A!!................................. 917 59,325 Sylvan Learning Systems, Inc.!!............................... 1,618 105,925 United Rentals, Inc.!!........................................ 1,704 71,600 Valassis Communications Inc.!!................................ 1,890 121,625 Viad Corporation.............................................. 2,904 ---------- 42,313 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- COMPUTER SERVICES -- 2.6% 117,475 Acxiom Corporation!!.......................................... $ 1,851 182,875 Affiliated Computer Services, Inc., Class A!!................. 8,905 203,900 Ceridian Corporation!!........................................ 3,797 72,000 CSG Systems International, Inc.!!............................. 1,063 66,350 Fair, Issac and Company Inc.(a)............................... 3,912 68,475 Internet Security Systems, Inc.!!............................. 856 120,950 Jack Henry & Associates, Inc. ................................ 2,103 88,200 Overture Services, Inc.!!..................................... 2,336 213,800 Synopsys, Inc.!!.............................................. 6,579 ---------- 31,402 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 1.0% 63,800 Avocent Corporation!!......................................... 1,933 100,275 Miller (Herman) Inc. ......................................... 2,283 58,500 Plexus Corporation!!.......................................... 909 243,625 Quantum Corporation!!......................................... 750 150,775 Storage Technology Corporation!!.............................. 3,639 77,975 Tech Data Corporation!!....................................... 2,406 ---------- 11,920 ---------- CONGLOMERATES -- 1.3% 65,900 Dycom Industries, Inc.!!...................................... 1,344 57,175 Granite Construction.......................................... 1,068 67,950 Pentair, Inc. ................................................ 2,709 152,675 Scana Corporation............................................. 5,229 105,425 SPX Corporation!!............................................. 4,774 ---------- 15,124 ---------- CONSTRUCTION -- 0.6% 41,225 Hovnanian Enterprises Inc.!!.................................. 2,654 76,325 Jacobs Engineering Group Inc.!!............................... 3,441 160,525 Quanta Services, Inc.!!....................................... 1,328 ---------- 7,423 ---------- CONSUMER CREDIT AND MORTGAGES -- 0.7% 215,100 AmeriCredit Corporation!!(a).................................. 2,216 189,012 Greenpoint Financial Corporation.............................. 5,643 ---------- 7,859 ---------- CONSUMER SERVICES -- 0.6% 113,250 Rent-A-Center, Inc.!!......................................... 3,658 69,475 Valspar Corporation(a)........................................ 3,241 ---------- 6,899 ---------- DEPARTMENT AND DISCOUNT STORES -- 0.4% 65,500 Neiman Marcus Group Inc., Class A!!........................... 2,731 196,575 Saks, Inc.!!.................................................. 2,267 ---------- 4,998 ---------- DIVERSIFIED ELECTRONICS -- 2.5% 44,200 Black Hills Corporation....................................... 1,364 99,800 Diebold, Inc. ................................................ 5,054 91,250 Harris Corporation............................................ 3,266 51,575 Hawaiian Electric Industries, Inc.(a)......................... 2,245 81,800 Hubbell Inc. ................................................. 2,985 95,800 Integrated Circuit Systems, Inc.!!............................ 2,878 71,050 National Instruments Corporation.............................. 2,860 55,375 PNM Resources Inc. ........................................... 1,553
VALUE SHARES (000) - -------------------------------------------------------------------------------------- DIVERSIFIED ELECTRONICS -- (CONTINUED) 253,700 RF Micro Devices, Inc.!!(a)................................... $ 2,357 46,825 Varian Inc.!!................................................. 1,467 219,750 Vishay Intertechnology, Inc.!!................................ 3,849 ---------- 29,878 ---------- DIVERSIFIED MANUFACTURING -- 2.1% 42,225 Carlisle Companies Inc. ...................................... 1,842 59,700 Donaldson Company, Inc. ...................................... 3,218 116,350 Energizer Holdings Inc.!!..................................... 4,278 66,025 Federal Signal Corporation.................................... 984 56,025 Harsco Corporation............................................ 2,155 48,700 Kennametal Inc. .............................................. 1,821 49,325 Lancaster Colony Corporation.................................. 1,962 47,025 Modine Manufacturing Company.................................. 1,119 46,425 Nordson Corporation........................................... 1,202 64,550 Sensient Technologies Corporation............................. 1,356 54,450 Teleflex Inc. ................................................ 2,365 74,675 The Brink's Company........................................... 1,296 54,700 York International Corporation................................ 1,892 ---------- 25,490 ---------- EDUCATION -- 1.2% 136,475 Career Education Corporation!!................................ 6,183 60,275 Corinthian Colleges, Inc.!!................................... 3,445 96,300 DeVry, Inc.!!................................................. 2,278 49,100 Education Management Corporation!!............................ 2,832 ---------- 14,738 ---------- ELECTRIC POWER -- NON NUCLEAR -- 2.4% 118,975 Allete, Inc. ................................................. 3,258 174,125 DPL Inc. ..................................................... 2,986 103,300 Duquesne Light Holdings, Inc. ................................ 1,595 95,250 Great Plains Energy Inc.(a)................................... 2,888 52,575 IDACORP, Inc.(a).............................................. 1,341 183,850 Northeast Utilities Company................................... 3,295 117,350 OGE Energy Corporation........................................ 2,651 235,250 Pepco Holdings, Inc. ......................................... 4,064 161,275 Sierra Pacific Resources!!(a)................................. 782 102,700 Vectren Corporation........................................... 2,426 99,425 Westar Energy, Inc. .......................................... 1,834 44,725 WPS Resources Corporation(a).................................. 1,843 ---------- 28,963 ---------- ELECTRIC POWER -- NUCLEAR -- 0.9% 151,950 Alliant Energy Corporation(a)................................. 3,343 200,675 Energy East Corporation....................................... 4,501 73,000 NSTAR......................................................... 3,468 ---------- 11,312 ---------- ELECTRICAL EQUIPMENT -- 0.4% 45,550 AMETEK, Inc. ................................................. 1,951 48,900 Imation Corporation........................................... 1,597 25,425 Tecumseh Products Company..................................... 949 ---------- 4,497 ---------- ENERGY -- MISCELLANEOUS -- 0.7% 129,425 Puget Energy Inc. ............................................ 2,903 161,250 Wisconsin Energy Corporation.................................. 4,929 ---------- 7,832 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- EXPLORATION AND PRODUCTION -- 1.2% 73,250 Forest Oil Corporation!!...................................... $ 1,754 77,725 Noble Energy, Inc. ........................................... 2,977 87,450 Pogo Producing Company........................................ 3,960 252,908 XTO Energy, Inc. ............................................. 5,308 ---------- 13,999 ---------- FINANCE -- MISCELLANEOUS -- 0.3% 76,400 IndyMac Bancorp, Inc. ........................................ 1,770 65,075 Investment Technology Group, Inc.!!........................... 1,248 ---------- 3,018 ---------- FOOD AND DRUG STORES -- 0.5% 63,575 Ruddick Corporation........................................... 988 81,825 Whole Foods Market, Inc.!!.................................... 4,515 ---------- 5,503 ---------- FOOD PRODUCTS -- 2.2% 213,062 Dean Foods Company!!.......................................... 6,611 190,425 Hormel Foods Corporation...................................... 4,376 61,675 Interstate Bakeries Corporation............................... 925 150,175 Smithfield Foods, Inc.!!...................................... 2,883 68,750 The J. M. Smucker Company..................................... 2,899 71,305 Tootsie Roll Industries, Inc. ................................ 2,210 482,350 Tyson Foods Inc., Class A..................................... 6,816 ---------- 26,720 ---------- HEALTH SERVICES -- 4.7% 126,675 AdvancePCS!!.................................................. 5,773 75,300 Apria Healthcare Group Inc.!!................................. 2,062 62,775 Charles River Laboratories International, Inc.!!.............. 1,927 135,575 Community Health Systems!!.................................... 2,942 84,750 Covance Inc.!!................................................ 1,897 82,425 Coventry Health Care, Inc.!!.................................. 4,347 130,575 First Health Group Corporation!!.............................. 3,415 159,925 Health Net Inc.!!............................................. 5,065 53,400 Lifepoint Hospitals, Inc.!!................................... 1,284 135,525 Lincare Holdings Inc.!!....................................... 4,967 139,475 Omnicare, Inc. ............................................... 5,029 114,200 Oxford Health Plans, Inc.!!................................... 4,718 51,700 Pacificare Health Systems Inc.!!.............................. 2,523 57,750 Stericycle, Inc.!!............................................ 2,724 103,575 Triad Hospitals, Inc.!!....................................... 3,136 79,725 Universal Health Services, Inc., Class B!!.................... 3,942 ---------- 55,751 ---------- HEAVY MACHINERY -- 0.5% 103,550 Agco Corporation!!............................................ 1,775 76,050 Flowserve Corporation!!....................................... 1,544 63,050 Graco Inc. ................................................... 2,367 ---------- 5,686 ---------- HOUSEHOLD PRODUCTS -- 0.5% 63,250 Blyth Industries, Inc. ....................................... 1,706 55,450 Church & Dwight Company, Inc. ................................ 1,940 132,025 The Dial Corporation.......................................... 2,844 ---------- 6,490 ----------
VALUE SHARES (000) - -------------------------------------------------------------------------------------- HOUSING AND FURNISHING -- 2.6% 213,975 D.R. Horton, Inc. ............................................ $ 6,997 76,750 Furniture Brands International, Inc.!!........................ 1,850 79,675 Hon Industries Inc. .......................................... 2,945 101,375 Lennar Corporation, Class A................................... 7,885 91,300 Mohawk Industries Inc.!!...................................... 6,512 159,100 RPM Inc. ..................................................... 2,078 100,575 Toll Brothers, Inc.!!......................................... 3,059 ---------- 31,326 ---------- INSURANCE -- 5.3% 73,000 Allmerica Financial Corporation!!............................. 1,738 95,875 American Financial Group, Inc. ............................... 2,085 53,800 AmerUs Group Company.......................................... 1,829 124,675 Arthur J. Gallagher & Company................................. 3,526 94,100 Brown and Brown Inc. ......................................... 2,896 76,325 Everest Re Group, Ltd. ....................................... 5,738 185,362 Fidelity National Financial, Inc. ............................ 5,572 106,800 First American Financial Corporation.......................... 2,659 87,675 HCC Insurance Holdings Inc. .................................. 2,550 58,800 Horace Mann Educators Corporation............................. 853 82,075 Leucadia National Corporation................................. 3,107 64,650 MONY Group Inc.(a)............................................ 2,104 83,800 Ohio Casualty Corporation!!................................... 1,215 166,275 Old Republic International Corporation........................ 5,502 94,850 Protective Life Corporation................................... 2,831 128,800 Radian Group Inc. ............................................ 5,719 40,100 Stancorp Financial Group Inc. ................................ 2,304 122,300 The PMI Group, Inc. .......................................... 4,128 92,950 Unitrin, Inc. ................................................ 2,831 114,437 W.R. Berkley Corporation...................................... 3,921 ---------- 63,108 ---------- INTEGRATED OIL -- 1.8% 126,400 Murphy Oil Corporation........................................ 7,425 162,200 Pioneer Natural Resources Company!!........................... 4,130 114,050 Questar Corporation........................................... 3,514 157,450 Valero Energy Corporation..................................... 6,026 ---------- 21,095 ---------- INVESTMENT SERVICES -- 2.4% 109,450 A.G. Edwards, Inc. ........................................... 4,204 498,700 E*TRADE Group, Inc.!!......................................... 4,618 95,175 Eaton Vance Corporation....................................... 3,186 81,975 LaBranche & Company Inc. ..................................... 1,197 90,475 Legg Mason, Inc. ............................................. 6,533 96,400 Neuberger Berman Inc. ........................................ 4,036 104,375 Roslyn Bancorp, Inc. ......................................... 2,451 113,925 Waddell & Reed Financial, Inc., Class A....................... 2,685 ---------- 28,910 ---------- LODGING AND RECREATION -- 1.5% 103,975 Callaway Golf Company......................................... 1,484 130,625 Extended Stay America, Inc.!!................................. 1,950 79,850 GTECH Holdings Corporation.................................... 3,422 73,250 International Speedway Corporation(a)......................... 3,215 81,675 Mandalay Resort Group......................................... 3,235 415,650 Park Place Entertainment Corporation!!........................ 3,744 127,475 Six Flags, Inc.!!............................................. 671 ---------- 17,721 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- 3.2% 126,575 Apogent Technologies Inc.!!................................... $ 2,640 83,900 Beckman Coulter, Inc. ........................................ 3,821 150,950 Cytyc Corporation!!........................................... 2,270 108,725 DENTSPLY International Inc. .................................. 4,875 85,225 Edwards Lifesciences Corporation!!............................ 2,308 59,825 Henry Schein, Inc.!!.......................................... 3,392 85,050 Hillenbrand Industries, Inc. ................................. 4,799 93,825 Patterson Dental Company!!.................................... 5,402 95,400 STERIS Corporation!!.......................................... 2,196 93,975 Varian Medical Systems, Inc.!!................................ 5,402 66,075 VISX Inc.!!................................................... 1,259 ---------- 38,364 ---------- METALS AND MINING -- 0.5% 72,325 Arch Coal, Inc. .............................................. 1,606 74,575 Peabody Energy Corporation.................................... 2,339 72,825 Precision Castparts Corporation............................... 2,557 ---------- 6,502 ---------- NATURAL GAS DISTRIBUTION -- 1.4% 87,725 AGL Resources Inc. ........................................... 2,471 85,675 Equitable Resources, Inc. .................................... 3,521 100,250 Hanover Compressor Company!!.................................. 992 103,900 MDU Resources Group, Inc. .................................... 3,510 111,950 National Fuel Gas Company..................................... 2,558 103,400 ONEOK, Inc. .................................................. 2,086 66,900 WGL Holdings Inc. ............................................ 1,845 ---------- 16,983 ---------- NATURAL GAS PIPELINES -- 0.2% 268,575 Aquila, Inc.!!(a)............................................. 908 45,675 Western Gas Resources, Inc. .................................. 1,735 ---------- 2,643 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.4% 506,900 3Com Corporation!!............................................ 2,991 53,150 ADTRAN, Inc. ................................................. 3,251 117,925 Advanced Fibre Communications, Inc.!!......................... 2,473 81,500 CommScope, Inc.!!............................................. 983 157,575 McDATA Corporation, Class A!!................................. 1,886 53,325 Newport Corporation!!......................................... 752 60,350 Plantronics, Inc.!!........................................... 1,441 136,075 Polycom, Inc.!!............................................... 2,260 86,800 Powerwave Technologies, Inc.!!................................ 575 ---------- 16,612 ---------- OILFIELD SERVICES -- 3.1% 75,375 Cooper Cameron Corporation!!.................................. 3,483 206,225 ENSCO International Inc. ..................................... 5,531 167,100 Grant Prideco Inc.!!.......................................... 1,703 68,950 Helmerich & Payne, Inc. ...................................... 1,802 116,925 National-Oilwell, Inc.!!...................................... 2,121 111,350 Patterson-UTI Energy, Inc.!!.................................. 3,014 185,975 Pride International, Inc.!!................................... 3,152 137,750 Smith International, Inc.!!................................... 4,956 83,375 Tidewater Inc. ............................................... 2,360 134,125 Varco International, Inc.!!................................... 2,268 180,725 Weatherford International Inc.!!.............................. 6,828 ---------- 37,218 ----------
VALUE SHARES (000) - -------------------------------------------------------------------------------------- PACKAGING AND CONTAINERS -- 0.5% 70,300 Longview Fibre Company........................................ $ 687 143,525 Packaging Corporation of America!!............................ 2,787 133,300 Sonoco Products Company....................................... 2,926 ---------- 6,400 ---------- PAPER AND FOREST PRODUCTS -- 0.7% 76,225 Bowater Inc. ................................................. 3,206 60,225 P.H. Glatfelter Company....................................... 709 39,500 Potlatch Corporation.......................................... 1,174 57,700 Rayonier Inc. ................................................ 2,343 70,950 Wausau-Mosinee Paper Corporation.............................. 866 ---------- 8,298 ---------- PHARMACEUTICALS -- 5.5% 91,937 Barr Laboratories, Inc.!!..................................... 6,271 277,150 Gilead Sciences, Inc.!!....................................... 15,502 114,350 ICN Pharmaceuticals Inc. ..................................... 1,962 213,975 IDEC Pharmaceuticals Corporation!!............................ 7,093 269,325 IVAX Corporation!!............................................ 5,279 411,150 Millennium Pharmaceuticals, Inc.!!............................ 6,328 246,237 Mylan Laboratories, Inc. ..................................... 9,517 96,375 Perrigo Company............................................... 1,227 46,525 Pharmaceutical Resources, Inc.!!.............................. 3,174 128,925 Protein Design Labs, Inc.!!................................... 1,787 116,600 Sepracor Inc.!!............................................... 3,211 163,750 SICOR Inc.!!.................................................. 3,157 105,975 Vertex Pharmaceuticals Inc.!!................................. 1,303 ---------- 65,811 ---------- PUBLISHING AND ADVERTISING -- 2.2% 35,025 Banta Corporation............................................. 1,261 156,350 Belo Corporation.............................................. 3,791 101,600 Dun & Bradstreet Corporation!!................................ 4,220 122,175 Harte-Hanks, Inc. ............................................ 2,253 61,375 Lee Enterprises, Inc. ........................................ 2,373 136,175 Readers Digest Association, Inc., Class A..................... 1,905 54,050 Scholastic Corporation!!...................................... 1,556 13,125 The Washington Post Company, Class B.......................... 8,729 ---------- 26,088 ---------- RAILROADS, TRUCKING AND SHIPPING -- 2.0% 116,450 C.H. Robinson Worldwide, Inc. ................................ 4,333 68,300 CNF Inc. ..................................................... 2,189 64,975 EGL, Inc.!!................................................... 1,181 144,075 Expeditors International of Washington, Inc. ................. 4,958 67,550 GATX Corporation.............................................. 1,429 108,925 J.B. Hunt Transport Services, Inc.!!.......................... 2,834 47,825 Overseas Shipholding Group, Inc. ............................. 1,236 114,825 Swift Transportation Company, Inc.!!.......................... 2,605 63,650 Trinity Industries, Inc. ..................................... 1,645 87,975 Werner Enterprises, Inc. ..................................... 2,016 ---------- 24,426 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 1.7% 112,400 AMB Property Corporation...................................... 3,463 86,150 Hospitality Properties Trust.................................. 3,022
SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- (CONTINUED) 109,100 Liberty Property Trust........................................ $ 4,035 79,975 Mack-Cali Realty Corporation.................................. 3,135 134,125 New Plan Excel Realty Trust................................... 3,125 165,250 United Dominion Realty Trust.................................. 3,026 ---------- 19,806 ---------- RESTAURANTS -- 1.9% 76,350 Applebees International Inc. ................................. 2,403 47,700 Bob Evans Farms, Inc. ........................................ 1,274 133,650 Brinker International, Inc.!!................................. 4,459 67,000 CBRL Group Inc. .............................................. 2,377 80,150 Krispy Kreme Doughnuts, Inc.!!(a)............................. 3,086 103,125 Outback Steakhouse, Inc. ..................................... 3,905 88,100 Ruby Tuesday, Inc. ........................................... 2,124 70,825 The Cheesecake Factory, Inc.!!................................ 2,562 ---------- 22,190 ---------- SEMICONDUCTORS -- 4.6% 138,775 Arrow Electronics, Inc.!!..................................... 2,552 645,275 Atmel Corporation!!........................................... 2,588 164,475 Avnet, Inc.!!................................................. 2,717 86,850 Credence Systems Corporation!!................................ 999 100,875 Cree, Inc.!!(a)............................................... 1,868 162,850 Cypress Semiconductor Corporation!!(a)........................ 2,879 161,475 Fairchild Semiconductor Corporation, Class A!!................ 2,677 143,300 Intergrated Device Technology, Inc.!!......................... 1,780 88,325 International Rectifier Corporation!!......................... 3,307 190,250 Intersil Corporation, Class A!!............................... 4,528 118,900 KEMET Corporation!!........................................... 1,515 174,550 Lam Research Corporation!!.................................... 3,866 154,850 Lattice Semiconductor Corporation!!........................... 1,101 68,200 LTX Corporation!!............................................. 768 127,125 Micrel, Inc.!!................................................ 1,550 282,025 Microchip Technology Inc. .................................... 6,752 107,275 SanDisk Corporation!!......................................... 6,838 101,000 Semtech Corporation!!......................................... 1,864 67,800 Silicon Laboratories Inc.!!................................... 3,048 184,675 TriQuint Semiconductor, Inc.!!................................ 1,034 ---------- 54,231 ---------- SOFTWARE -- 3.2% 121,275 Activision, Inc.!!............................................ 1,449 44,700 Advent Software, Inc.!!....................................... 719 80,012 Ascential Software Corporation!!.............................. 1,483 373,675 Cadence Design Systems, Inc.!!(a)............................. 5,007 109,050 Checkfree Corporation!!....................................... 2,181 159,225 DST Systems, Inc.!!........................................... 5,987 87,775 Keane Inc.!!.................................................. 1,122 162,125 Legato Systems Inc.!!......................................... 1,817 86,175 Macromedia Inc.!!............................................. 2,132 67,100 Macrovision Corporation!!..................................... 1,239 94,750 Mentor Graphics Corporation!!................................. 1,661 220,775 Network Associates, Inc.!!.................................... 3,038 74,250 Retek Inc.!!.................................................. 501 93,675 Reynolds & Reynolds Company, Class A.......................... 2,581 80,825 RSA Security Inc.!!........................................... 1,154
VALUE SHARES (000) - -------------------------------------------------------------------------------------- SOFTWARE -- (CONTINUED) 130,450 Sybase, Inc.!!................................................ $ 2,219 164,925 The BISYS Group, Inc.!!....................................... 2,169 49,050 Transaction Systems Architects, Inc.!!........................ 815 109,875 Wind River Systems!!.......................................... 625 ---------- 37,899 ---------- SPECIALTY STORES -- 4.2% 98,151 99 Cents Only Stores!!........................................ 3,174 134,400 Abercrombie & Fitch Company!!................................. 3,724 97,825 American Eagle Outfitters, Inc.!!............................. 1,454 89,050 Barnes & Noble, Inc.!!........................................ 2,263 95,425 BJ's Wholesale Club, Inc.!!................................... 1,848 106,425 Borders Group Inc.!!.......................................... 2,014 118,925 Chico's FAS, Inc.!!(a)........................................ 3,644 67,275 Claire's Stores, Inc. ........................................ 2,251 157,400 Dollar Tree Stores, Inc.!!.................................... 5,274 51,425 Longs Drug Stores Corporation................................. 1,035 91,675 Michaels Stores, Inc. ........................................ 3,737 74,225 O'Reilly Automotive Inc.!!.................................... 2,729 93,675 Payless ShoeSource, Inc.!!.................................... 1,212 194,775 PETsMart, Inc. ............................................... 4,421 123,375 Pier 1 Imports, Inc. ......................................... 2,374 105,400 Ross Stores, Inc. ............................................ 4,886 160,050 Williams-Sonoma, Inc.!!....................................... 4,318 ---------- 50,358 ---------- STEEL -- 0.1% 30,775 Carpenter Technology Corporation.............................. 660 ---------- TELECOMMUNICATIONS SERVICES -- 0.6% 336,100 Cincinnati Bell Inc.!!........................................ 1,711 74,625 Price Communications Corporation!!............................ 925 78,950 Telephone and Data Systems, Inc. ............................. 4,464 ---------- 7,100 ---------- TOBACCO -- 0.1% 34,175 Universal Corporation......................................... 1,440 ---------- UTILITIES -- MISCELLANEOUS -- 0.8% 57,050 Alexander & Baldwin, Inc. .................................... 1,602 96,075 Philadelphia Suburban Corporation............................. 2,313 221,125 Republic Services, Inc. ...................................... 5,007 ---------- 8,922 ---------- TOTAL COMMON STOCKS (Cost $1,120,480)........................................... 1,177,436 ---------- SHARES (000) - ------- INVESTMENT COMPANIES -- 4.0% (Cost $47,276) 47,276 Nations Cash Reserves, Capital Class Shares#.................. 47,276 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS Nations MidCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - -------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $1,167,756*)................................ 102.8% $1,224,712 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. (2.8)% Cash.......................................................... $ 2,544 Dividends receivable.......................................... 681 Interest receivable........................................... 4 Receivable from investment adviser............................ 3 Variation margin/due to broker................................ (110) Collateral on securities loaned............................... (34,637) Investment advisory fee payable............................... (99) Administration fee payable.................................... (199) Shareholder servicing and distribution fees payable................................................ (1) Payable for investment securities purchased................... (889) Accrued Trustees' fees and expenses........................... (27) Accrued expenses and other liabilities........................ (208) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (32,938) ---------- NET ASSETS.......................................... 100.0% $1,191,774 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 6,368 Accumulated net realized loss on investments sold and futures contracts................................................... (18,316) Net unrealized appreciation of investments and futures contracts................................................... 56,765 Paid-in capital............................................... 1,146,957 ---------- NET ASSETS.................................................... $1,191,774 ========== VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($1,187,502,076 / 136,327,928 shares outstanding)........... $8.71 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($4,271,723 / 490,890 shares outstanding)................... $8.70 ==========
- --------------- *Federal income tax information (see Note 11). !! Non-income producing security. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 10). The portion that represents cash collateral is $34,637. (a) All or a portion of security was on loan on September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003 is $37,398 and $32,997, respectively. && All or a portion of security segregated as collateral for futures contracts. SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- COMMON STOCKS -- 99.1% AEROSPACE AND DEFENSE -- 1.6% 61,400 AAR Corporation!!............................................. $ 492 74,400 Alliant Techsystems Inc.!!.................................... 3,576 53,300 Armor Holdings, Inc.!!........................................ 893 19,900 Curtiss-Wright Corporation.................................... 1,405 43,300 DRS Technologies, Inc.!!...................................... 1,045 40,400 Esterline Technologies Corporation!!.......................... 779 84,300 GenCorp Inc. ................................................. 754 62,000 Teledyne Technologies Inc.!!.................................. 902 30,500 Triumph Group, Inc.!!......................................... 909 21,500 Woodward Governor Company..................................... 940 --------- 11,695 --------- AIRLINES -- 0.7% 87,400 Atlantic Coast Airlines Holdings, Inc.!!...................... 744 41,100 Forward Air Corporation!!..................................... 1,136 67,000 Frontier Airlines, Inc.!!..................................... 1,103 60,700 Mesa Air Group, Inc.!!(a)..................................... 674 111,500 SkyWest, Inc. ................................................ 1,931 --------- 5,588 --------- APPAREL AND TEXTILES -- 2.3% 25,000 Ashworth Inc.!!............................................... 173 34,400 Brown Shoe Company, Inc. ..................................... 1,090 72,000 Christopher & Banks Corporation............................... 1,717 40,000 G & K Services, Inc., Class A................................. 1,400 41,900 Genesco Inc.!!................................................ 673 12,400 Haggar Corporation............................................ 192 35,500 Hancock Fabrics Inc. ......................................... 560 34,000 K-Swiss Inc., Class A......................................... 1,224 51,100 Kellwood Company.............................................. 1,709 22,900 Oshkosh B'Gosh Inc. .......................................... 589 15,600 Oxford Industries Inc. ....................................... 1,002 58,500 Phillips-Van Heusen Corporation............................... 878 106,000 Quiksilver, Inc.!!............................................ 1,691 62,600 Russell Corporation........................................... 1,020 76,100 Stride Rite Corporation....................................... 822 51,300 The Children's Place Retail Stores, Inc.!!(a)................. 880 77,300 Wolverine World Wide, Inc. ................................... 1,500 --------- 17,120 --------- AUTOMOTIVE -- 1.1% 63,100 Aaron Rents, Inc. ............................................ 1,322 43,600 Group 1 Automotive, Inc.!!.................................... 1,506 49,400 Intermet Corporation.......................................... 212 29,100 Midas, Inc.!!................................................. 383 58,100 Myers Industries Inc. ........................................ 582 66,000 Oshkosh Truck Corporation&&................................... 2,613 38,000 Standard Motor Products, Inc. ................................ 384 41,900 TBC Corporation!!............................................. 1,050 108,600 Tower Automotive, Inc.!!...................................... 489 --------- 8,541 --------- BROADCASTING AND CABLE -- 0.1% 25,400 4Kids Entertainment Inc.!!.................................... 536 ---------
VALUE SHARES (000) - ------------------------------------------------------------------------------------- CHEMICALS -- BASIC -- 0.6% 73,500 Delta and Pine Land Company................................... $ 1,691 62,600 Georgia Gulf Corporation...................................... 1,462 54,700 H.B. Fuller Company........................................... 1,328 --------- 4,481 --------- CHEMICALS -- SPECIALTY -- 1.7% 43,300 Arch Chemicals, Inc. ......................................... 901 49,600 Cambrex Corporation........................................... 1,126 59,700 MacDermid, Inc. .............................................. 1,579 54,700 OM Group, Inc.!!.............................................. 801 77,000 Omnova Solutions Inc.!!....................................... 270 16,500 Penford Corporation........................................... 215 176,800 PolyOne Corporation........................................... 695 18,200 Quaker Chemical Corporation................................... 423 31,100 Rogers Corporation!!.......................................... 965 56,900 Schulman (A.) Inc. ........................................... 902 61,000 Scotts Company, Class A!!..................................... 3,336 41,750 TETRA Technologies Inc.!!..................................... 861 61,500 Wellman Inc. ................................................. 462 --------- 12,536 --------- COMMERCIAL BANKING -- 7.3% 57,100 BankUnited Financial Corporation, Class A!!................... 1,204 70,400 Chittenden Corporation........................................ 2,094 84,900 Commercial Federal Corporation................................ 2,067 73,100 Community First Bankshares, Inc. ............................. 1,932 53,800 Downey Financial Corporation.................................. 2,514 46,400 East West Bancorp, Inc. ...................................... 1,984 35,700 Financial Federal Corporation!!............................... 1,089 89,700 First Midwest Bancorp, Inc. .................................. 2,665 28,000 First Republic Bank........................................... 863 77,150 Firstbank Corporation......................................... 2,372 32,800 FirstFed Financial Corporation!!.............................. 1,296 115,900 Flagstar Bancorp, Inc. ....................................... 2,660 22,400 GBC Bancorp................................................... 859 86,300 Hudson United Bancorp......................................... 3,035 53,900 Irwin Financial Corporation(a)................................ 1,310 50,400 MAF Bancorp Inc. ............................................. 1,925 47,400 Provident Bankshares Corporation&&............................ 1,339 110,700 Republic Bancorp Inc. ........................................ 1,475 55,100 Riggs National Corporation.................................... 868 50,600 Seacoast Financial Services Corporation....................... 1,048 90,600 South Financial Group, Inc. .................................. 2,255 65,800 Southwest Bancorporation of Texas, Inc. ................................................ 2,402 112,900 Staten Island Bancorp, Inc. .................................. 2,196 85,200 Sterling Bancshares, Inc. .................................... 1,016 76,700 Susquehanna Bancshares Inc. .................................. 1,971 143,200 TrustCo Bank Corporation NY................................... 1,770 79,700 United Bankshares Inc. ....................................... 2,387 65,030 Waypoint Financial Corporation................................ 1,301 77,800 Whitney Holding Corporation................................... 2,645 36,000 Wintrust Financial Corporation................................ 1,356 --------- 53,898 --------- COMMERCIAL SERVICES -- 4.6% 94,900 ABM Industries Inc. .......................................... 1,343 51,300 Administaff, Inc.!!(a)........................................ 456 38,500 ADVO Inc.!!................................................... 1,603 58,100 Arbitron Inc.!!............................................... 2,051
SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- COMMERCIAL SERVICES -- (CONTINUED) 12,200 Butler Manufacturing Company.................................. $ 185 37,500 CDI Corporation............................................... 1,014 69,600 Central Parking Corporation(a)................................ 853 41,400 Coinstar, Inc.!!(a)........................................... 557 28,900 Emcor Group Inc.!!............................................ 1,230 64,600 Factset Research Systems Inc.(a).............................. 2,865 55,300 Florida Rock Industries, Inc. ................................ 2,743 71,700 Global Payments Inc. ......................................... 2,581 35,200 Heidrick & Struggles International, Inc.!!.................... 596 43,800 iDine Rewards Network Inc.!!.................................. 712 29,700 IMCO Recycling Inc.!!......................................... 183 22,200 Insurance Auto Auctions Inc.!!................................ 250 80,400 Kroll Inc.!!.................................................. 1,495 77,500 Labor Ready, Inc.!!........................................... 779 40,300 MAXIMUS, Inc.!!............................................... 1,388 23,200 Memberworks Inc.!!(a)......................................... 738 49,900 NCO Group, Inc.!!............................................. 1,171 48,500 On Assignment, Inc.!!......................................... 256 33,500 Prepaid Legal Services Inc.!!(a).............................. 785 118,700 PRG-Schultz International, Inc.!!(a).......................... 674 19,000 Roto-Rooter, Inc. ............................................ 675 27,400 Startek, Inc. ................................................ 877 103,800 Tetra Tech, Inc.!!............................................ 2,067 62,800 URS Corporation!!............................................. 1,218 29,300 Volt Information Sciences Inc.!!.............................. 483 50,200 Watsco Inc. .................................................. 959 63,500 Watson Wyatt & Company Holdings!!............................. 1,429 --------- 34,216 --------- COMPUTER SERVICES -- 1.1% 55,400 CACI International, Inc., Class A!!........................... 2,374 90,200 Efunds Corporation!!.......................................... 1,114 48,200 Pegasus Solutions Inc.!!...................................... 667 30,500 QRS Corporation!!............................................. 259 53,400 Radiant Systems, Inc.!!....................................... 334 29,200 SCM Microsystems, Inc.!!...................................... 213 26,100 TALX Corporation.............................................. 643 80,500 WebEx Communications, Inc.!!(a)............................... 1,529 42,400 Websense, Inc.!!.............................................. 902 43,900 Zixit Corporation!!(a)........................................ 356 --------- 8,391 --------- COMPUTERS AND OFFICE EQUIPMENT -- 2.2% 208,500 Adaptec, Inc.!!............................................... 1,576 61,900 Agilysys, Inc. ............................................... 543 44,700 Brady Corporation, Class A.................................... 1,422 41,400 Global Imaging Systems, Inc.!!................................ 1,018 49,900 Hutchinson Technology, Inc.!!................................. 1,652 32,700 Imagistics International Inc.!!............................... 948 40,800 Mercury Computer Systems, Inc.!!.............................. 870 33,400 Micros Systems, Inc.!!........................................ 1,141 121,700 Pinnacle Systems, Inc.!!...................................... 1,026 34,400 Radisys Corporation!!......................................... 621 32,400 Standard Microsystems Corporation!!........................... 874 91,050 Zebra Technologies Corporation, Class A!!..................... 4,695 --------- 16,386 ---------
VALUE SHARES (000) - ------------------------------------------------------------------------------------- CONGLOMERATES -- 0.8% 62,200 Advanced Energy Industries, Inc.!!............................ $ 1,174 52,900 Apogee Enterprises, Inc. ..................................... 546 45,200 Hughes Supply Inc. ........................................... 1,467 51,000 Insituform Technologies Inc., Class A!!....................... 906 54,800 Waste Connections, Inc.!!..................................... 1,922 --------- 6,015 --------- CONSTRUCTION -- 0.2% 37,700 ElkCorp....................................................... 888 72,800 The Shaw Group Inc.!!(a)...................................... 765 --------- 1,653 --------- CONSUMER SERVICES -- 1.0% 17,000 Angelica Corporation.......................................... 323 25,700 Building Materials Holding Corporation........................ 337 21,500 Concerto Software Inc.!!...................................... 183 57,100 Fedders Corporation........................................... 331 43,500 Kaman Corporation, Class A.................................... 564 105,400 La-Z-Boy Inc.(a).............................................. 2,339 25,000 New England Business Service, Inc. ........................... 666 39,800 Russ Berrie & Company Inc. ................................... 1,340 114,900 Spherion Corporation!!........................................ 800 33,200 Thomas Industries Inc. ....................................... 947 --------- 7,830 --------- DEPARTMENT AND DISCOUNT STORES -- 0.2% 49,800 Cash America Investments Inc. ................................ 817 56,100 ShopKo Stores, Inc.!!......................................... 841 --------- 1,658 --------- DIVERSIFIED ELECTRONICS -- 4.1% 127,100 Aeroflex, Inc.!!.............................................. 1,125 25,900 Analogic Corporation.......................................... 1,243 69,800 Anixter International Inc.!!.................................. 1,589 74,600 Artesyn Technologies, Inc.!!.................................. 565 44,200 Audiovox Corporation!!........................................ 558 28,000 BEI Technologies, Inc. ....................................... 437 21,200 Bel Fuse Inc., Class B........................................ 560 47,800 Benchmark Electronics, Inc.!!................................. 2,020 63,200 Checkpoint Systems Inc.!!..................................... 999 53,900 Concord Camera Corporation!!(a)............................... 574 66,600 CTS Corporation............................................... 820 51,500 Cubic Corporation............................................. 1,294 40,300 Dionex Corporation!!.......................................... 1,586 38,000 EDO Corporation............................................... 770 31,050 Engineered Support Systems, Inc. ............................. 1,879 63,800 FLIR Systems, Inc.!!.......................................... 1,635 42,800 Gerber Scientific Inc.!!...................................... 304 62,100 Harman International Industries, Inc.&&....................... 6,107 50,300 Helix Technology Corporation.................................. 823 33,300 Invision Technologies, Inc.!!(a).............................. 811 39,500 Itron Inc.!!.................................................. 793 29,900 Keithley Instruments, Inc. ................................... 423 68,700 Methode Electronics Inc., Class A............................. 811 62,900 Trimble Navigation Ltd.!!..................................... 1,456 28,300 Ultimate Electronics, Inc.!!.................................. 269 40,800 Wilson Greatbatch Technologies Inc.!!......................... 1,471 --------- 30,922 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- DIVERSIFIED MANUFACTURING -- 4.0% 56,200 A.O. Smith Corporation........................................ $ 1,574 29,000 A.T. Cross Company, Class A!!................................. 174 80,100 Acuity Brands, Inc. .......................................... 1,447 63,000 Albany International Corporation, Class A..................... 1,942 43,400 Barnes Group Inc. ............................................ 1,127 49,000 Belden Inc. .................................................. 856 48,300 CLARCOR Inc. ................................................. 1,884 32,200 CUNO Inc.!!................................................... 1,262 57,000 Griffon Corporation!!......................................... 1,024 43,900 Hydril Company!!.............................................. 889 34,000 Ionics Inc.!!(a).............................................. 832 54,100 Kaydon Corporation............................................ 1,284 18,300 Lawson Products, Inc. ........................................ 491 113,000 Lennox International Inc. .................................... 1,651 31,200 Lydall Inc.!!................................................. 375 38,200 Meade Instruments Corporation!!............................... 127 66,100 Mueller Industries, Inc.!!.................................... 1,682 60,700 Roper Industries, Inc. ....................................... 2,642 47,500 Simpson Manufacturing Company, Inc.!!......................... 1,942 24,900 SPS Technologies Inc.!!....................................... 1,121 23,100 Standex International Corporation............................. 561 55,100 Stewart & Stevenson Services, Inc. ........................... 828 51,900 Sturm, Ruger & Company Inc. .................................. 536 62,800 The Nautilus Group, Inc.(a)................................... 793 73,400 Tredegar Industries, Inc. .................................... 1,105 80,600 Vicor Corporation!!........................................... 768 52,500 Watts Industries, Inc., Class A............................... 925 --------- 29,842 --------- EDUCATION -- 0.6% 86,500 ITT Educational Services, Inc.!!.............................. 4,145 --------- ELECTRIC POWER -- NON NUCLEAR -- 0.9% 23,000 Central Vermont Public Service Corporation.................... 510 30,400 CH Energy Group, Inc. ........................................ 1,338 91,100 Cleco Corporation............................................. 1,489 92,900 EL Paso Electric Company!!.................................... 1,073 9,600 Green Mountain Power Corporation.............................. 216 27,900 UIL Holdings Corporation...................................... 976 64,900 UniSource Energy Corporation.................................. 1,234 --------- 6,836 --------- ELECTRICAL EQUIPMENT -- 0.3% 40,900 Cohu, Inc. ................................................... 800 31,900 Intermagnetics General Corporation!!.......................... 713 45,400 Magnetek, Inc.!!.............................................. 225 27,600 Planar Systems Inc.!!......................................... 592 --------- 2,330 --------- ENERGY -- MISCELLANEOUS -- 0.3% 93,100 Avista Corporation............................................ 1,451 65,200 Systems & Computer Technology Corporation!!................... 680 --------- 2,131 --------- EXPLORATION AND PRODUCTION -- 2.6% 80,200 Cimarex Energy Company!!...................................... 1,572 75,300 Evergreen Resources, Inc.!!(a)................................ 2,033 107,600 Newfield Exploration Company!!................................ 4,150 37,300 Nuevo Energy Company!!........................................ 678
VALUE SHARES (000) - ------------------------------------------------------------------------------------- EXPLORATION AND PRODUCTION -- (CONTINUED) 65,150 Patina Oil and Gas Corporation................................ $ 2,361 45,500 Plains Resources Inc.!!....................................... 566 24,500 Prima Energy Corporation!!.................................... 619 68,600 Southwestern Energy Company!!................................. 1,242 64,100 Spinnaker Exploration Company!!............................... 1,538 50,900 Stone Energy Corporation!!.................................... 1,796 83,900 Unit Corporation!!............................................ 1,581 123,900 Vintage Petroleum, Inc. ...................................... 1,348 --------- 19,484 --------- FINANCE -- MISCELLANEOUS -- 1.4% 45,200 Anchor Bancorp Wisconsin Inc. ................................ 1,061 43,800 Boston Private Financial Holdings, Inc. ...................... 1,032 111,100 Brookline Bancorp, Inc.(a).................................... 1,635 49,000 Dime Community Bancshares..................................... 1,127 66,650 New Century Financial Corporation(a).......................... 1,888 31,200 Sourcecorp, Inc.!!............................................ 725 32,700 SWS Group, Inc. .............................................. 645 86,600 UCBH Holdings Inc. ........................................... 2,618 --------- 10,731 --------- FOOD AND DRUG STORES -- 0.9% 96,000 Casey's General Stores, Inc. ................................. 1,347 46,300 Duane Reade Inc.!!............................................ 738 75,050 Fred's, Inc. ................................................. 2,473 23,000 Nash-Finch Company............................................ 357 74,300 The Great Atlantic & Pacific Tea Company, Inc.!!.............. 603 37,500 United Natural Foods, Inc.!!.................................. 1,245 --------- 6,763 --------- FOOD PRODUCTS -- 1.9% 34,500 American Italian Pasta Company!!(a)........................... 1,335 69,400 Corn Products International, Inc. ............................ 2,210 87,100 Flowers Foods, Inc. .......................................... 1,986 65,700 Hain Celestial Group, Inc.!!.................................. 1,191 37,100 International Multifoods Corporation!!........................ 866 16,800 J & J Snack Foods Corporation!!............................... 585 56,200 Lance, Inc. .................................................. 559 87,900 Performance Food Group Company!!.............................. 3,578 55,700 Ralcorp Holdings, Inc.!!...................................... 1,543 --------- 13,853 --------- HEALTH SERVICES -- 4.3% 92,050 Accredo Health, Inc.!!........................................ 2,576 30,200 American Healthways, Inc.!!(a)................................ 1,268 40,275 AMERIGROUP Corporation!!...................................... 1,797 38,400 AmSurg Corporation!!.......................................... 1,267 37,800 Centene Corporation!!......................................... 1,149 62,000 Cross Country Healthcare, Inc.!!(a)........................... 874 24,500 Curative Health Services, Inc.!!.............................. 438 59,600 Invacare Corporation.......................................... 2,240 93,100 Mid Atlantic Medical Services, Inc.!!......................... 4,787 67,400 NDCHealth Corporation......................................... 1,412 69,150 Odyssey Healthcare, Inc.!!(a)................................. 2,062 96,900 Orthodontic Centers of America, Inc.!!(a)..................... 764 49,400 PAREXEL International Corporation!!........................... 757 44,400 Pediatrix Medical Group, Inc.!!............................... 2,045
SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- HEALTH SERVICES -- (CONTINUED) 93,900 Province Healthcare Company!!................................. $ 1,216 31,000 RehabCare Group, Inc.!!....................................... 529 94,900 Renal Care Group, Inc.!!...................................... 3,240 40,900 Sunrise Assisted Living, Inc.!!(a)............................ 1,073 165,800 US Oncology, Inc.!!........................................... 1,212 57,900 Viasys Healthcare Inc.!!...................................... 1,170 --------- 31,876 --------- HEAVY MACHINERY -- 2.5% 36,600 Applied Industrial Technologies, Inc. ........................ 727 38,000 Astec Industries Inc.!!....................................... 391 63,200 Baldor Electric Company....................................... 1,334 41,700 Briggs & Stratton Corporation................................. 2,451 15,600 CPI Corporation............................................... 287 31,000 Gardner Denver Machinery Inc.!!............................... 651 63,100 IDEX Corporation.............................................. 2,299 82,900 JLG Industries, Inc. ......................................... 955 22,600 Lindsay Manufacturing Company................................. 454 50,900 Manitowoc Company, Inc. ...................................... 1,104 65,300 Milacron Inc.(a).............................................. 150 75,300 Paxar Corporation!!........................................... 964 48,300 Regal Beloit Corporation...................................... 985 27,700 Robbins & Myers, Inc. ........................................ 616 165,000 Timken Company(a)............................................. 2,516 47,400 Toro Company.................................................. 2,133 39,600 X-Rite, Inc. ................................................. 448 --------- 18,465 --------- HOUSEHOLD PRODUCTS -- 0.1% 13,100 National Presto Industries, Inc. ............................. 450 26,800 Natures Sunshine Products Inc. ............................... 222 --------- 672 --------- HOUSING AND FURNISHING -- 3.0% 45,600 Applica Inc.!!................................................ 276 22,400 Bassett Furniture Industries, Inc. ........................... 304 110,500 Champion Enterprises Inc.!!................................... 702 29,900 Coachmen Industries Inc. ..................................... 350 71,500 Ethan Allen Interiors Inc. ................................... 2,574 42,300 Haverty Furniture Companies, Inc. ............................ 773 98,900 Interface Inc., Class A!!..................................... 536 55,920 M.D.C. Holdings, Inc. ........................................ 3,020 56,000 Monaco Coach Corporation!!.................................... 927 13,800 NVR, Inc.!!................................................... 6,437 21,600 Salton, Inc.!!(a)............................................. 215 16,200 Skyline Corporation........................................... 519 62,800 Standard Pacific Corporation.................................. 2,380 48,000 The Ryland Group, Inc.(a)..................................... 3,509 --------- 22,522 --------- INSURANCE -- 2.4% 39,600 Delphi Financial Group, Inc., Class A......................... 1,842 146,100 Fremont General Corporation(a)................................ 1,857 65,600 Hilb, Rogal and Hamilton Company.............................. 2,037 35,900 Landamerica Financial Group, Inc. ............................ 1,646 42,200 Philadelphia Consolidated Holding Corporation!!............... 1,951 56,600 Presidential Life Corporation................................. 856 48,400 RLI Corporation............................................... 1,593 47,900 Ryerson Tull Inc. ............................................ 374 19,000 SCPIE Holdings Inc. .......................................... 190
VALUE SHARES (000) - ------------------------------------------------------------------------------------- INSURANCE -- (CONTINUED) 52,100 Selective Insurance Group, Inc. .............................. $ 1,550 55,300 Sierra Health Services, Inc.!!................................ 1,136 34,500 Stewart Information Services Corporation!!.................... 974 89,500 UICI!!........................................................ 1,122 36,200 Zenith National Insurance(a).................................. 1,007 --------- 18,135 --------- INTEGRATED OIL -- 1.1% 62,000 Cabot Oil & Gas Corporation................................... 1,612 98,800 Input/Output, Inc.!!.......................................... 386 46,700 Oceaneering International Inc.!!.............................. 1,098 51,600 Remington Oil & Gas Corporation!!............................. 937 54,300 St. Mary Land & Exploration Company........................... 1,375 52,900 Swift Energy Company!!........................................ 746 87,800 Tom Brown, Inc.!!............................................. 2,257 --------- 8,411 --------- INVESTMENT SERVICES -- 0.9% 105,800 Jefferies Group, Inc. ........................................ 3,042 93,800 Raymond James Financial, Inc. ................................ 3,409 --------- 6,451 --------- LODGING AND RECREATION -- 2.5% 34,500 Action Performance Companies, Inc.(a)......................... 843 42,100 Arctic Cat Inc. .............................................. 814 56,300 Argosy Gaming Company!!....................................... 1,374 66,800 Aztar Corporation!!........................................... 1,183 65,500 Bally Total Fitness Holding!!(a).............................. 567 69,300 Fleetwood Enterprises Inc.!!(a)............................... 642 30,074 Huffy Corporation!!........................................... 183 47,400 JAKKS Pacific, Inc.!!(a)...................................... 578 52,300 K2 Inc.!!..................................................... 777 56,900 Marcus Corporation............................................ 868 50,000 Pinnacle Entertainment, Inc.!!................................ 350 41,900 Polaris Industries Inc.(a).................................... 3,108 86,200 Prime Hospitality Corporation!!............................... 749 32,100 Shuffle Master, Inc.!!(a)..................................... 872 55,100 Thor Industries Inc. ......................................... 2,977 35,000 Winnebago Industries(a)....................................... 1,560 57,700 WMS Industries, Inc.!!........................................ 1,307 --------- 18,752 --------- MEDICAL DEVICES AND SUPPLIES -- 5.7% 56,100 Advanced Medical Optics, Inc.!!............................... 1,008 63,500 American Medical Systems Holdings, Inc.!!..................... 1,378 39,800 Arthrocare Corporation!!...................................... 709 29,800 Biosite Inc.!!(a)............................................. 846 57,400 Coherent, Inc.!!.............................................. 1,414 55,900 CONMED Corporation!!.......................................... 1,154 60,600 Cooper Companies, Inc. ....................................... 2,469 38,000 Cryolife, Inc.!!(a)........................................... 234 28,500 Datascope Corporation......................................... 876 55,400 Diagnostic Products Corporation............................... 2,013 46,400 Haemonetics Corporation!!..................................... 1,096 38,100 Hologic, Inc.!!............................................... 519 124,900 Hooper Holmes, Inc. .......................................... 831 26,100 ICU Medical, Inc.!!(a)........................................ 710 66,300 IDEXX Laboratories, Inc.!!.................................... 2,817 44,400 INAMED Corporation!!.......................................... 3,260
SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- (CONTINUED) 51,500 Integra LifeSciences Holdings!!............................... $ 1,457 89,500 Mentor Corporation............................................ 2,041 33,000 Osteotech, Inc.!!............................................. 270 65,100 Owens & Minor, Inc. .......................................... 1,569 47,800 PolyMedica Corporation(a)..................................... 1,267 34,300 Possis Medical, Inc.!!........................................ 535 83,800 Priority Healthcare Corporation, Class B!!.................... 1,721 64,100 ResMed Inc.!!................................................. 2,818 65,900 Respironics, Inc.!!........................................... 2,753 47,900 Sola International Inc.!!..................................... 766 33,600 SurModics, Inc.!!(a).......................................... 902 73,600 Sybron Dental Specialties, Inc.!!............................. 1,845 78,600 Techne Corporation!!.......................................... 2,499 57,700 Theragenics Corporation!!..................................... 329 24,900 Vital Signs Inc. ............................................. 730 --------- 42,836 --------- METALS AND MINING -- 1.4% 30,500 A. M. Castle & Company!!...................................... 135 31,900 Brush Engineered Materials Inc.!!............................. 327 40,600 Century Aluminum Company...................................... 441 19,900 Cleveland-Cliffs Inc.!!....................................... 509 53,900 Commercial Metals Company..................................... 990 30,900 Commonwealth Industries, Inc. ................................ 147 145,200 Massey Energy Company......................................... 1,932 27,300 Material Sciences Corporation!!............................... 279 31,000 Quanex Corporation............................................ 1,042 61,300 Reliance Steel & Aluminum Company............................. 1,360 40,100 RTI International Metals, Inc.!!.............................. 422 92,100 Steel Dynamics, Inc.!!........................................ 1,394 18,800 Steel Technologies Inc. ...................................... 234 40,600 Texas Industries, Inc. ....................................... 999 23,700 Wolverine Tube Inc.!!......................................... 100 --------- 10,311 --------- NATURAL GAS DISTRIBUTION -- 2.6% 96,600 Atmos Energy Corporation...................................... 2,313 21,400 Cascade Natural Gas Corporation............................... 419 69,400 Energen Corporation........................................... 2,511 52,400 New Jersey Resources Corporation.............................. 1,888 49,600 Northwest Natural Gas Company................................. 1,438 30,900 NUI Holding Company........................................... 462 64,500 Piedmont Natural Gas Company, Inc.(a)......................... 2,517 140,430 Southern Union Company!!(a)................................... 2,387 65,200 Southwest Gas Corporation..................................... 1,480 36,800 The Laclede Group Inc. ....................................... 994 82,300 UGI Corporation............................................... 2,381 45,800 Valmont Industries Inc. ...................................... 906 --------- 19,696 --------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.1% 35,100 Black Box Corporation......................................... 1,398 23,800 Brooktrout Inc.!!............................................. 183 70,200 C-COR.Net Corporation!!....................................... 463 86,300 Cable Design Technologies Corporation!!....................... 690 58,900 Captaris Inc.!!............................................... 312
VALUE SHARES (000) - ------------------------------------------------------------------------------------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- (CONTINUED) 34,300 Concord Communications, Inc.!!................................ $ 449 116,600 Harmonic Inc.!!............................................... 731 44,100 j2 Global Communications, Inc.!!(a)........................... 1,669 60,200 NYFIX, Inc.!!(a).............................................. 337 51,400 Rainbow Technologies, Inc.!!.................................. 470 28,200 SBS Technologies, Inc.!!...................................... 306 41,100 Three-Five Systems, Inc.!!.................................... 226 26,200 Tollgrade Communications, Inc.!!.............................. 421 50,600 ViaSat, Inc.!!(a)............................................. 901 --------- 8,556 --------- OIL REFINING AND MARKETING -- 0.4% 30,000 CARBO Ceramics Inc. .......................................... 1,085 50,400 Frontier Oil Corporation...................................... 741 32,100 WD-40 Company................................................. 1,017 --------- 2,843 --------- OILFIELD SERVICES -- 0.9% 26,700 Atwood Oceanics, Inc.!!....................................... 641 72,600 Cal Dive International, Inc.!!................................ 1,410 33,300 Dril-Quip, Inc.!!............................................. 563 54,900 Lone Star Technologies, Inc.!!................................ 741 43,400 Offshore Logistics, Inc.!!.................................... 881 36,200 SEACOR SMIT Inc.!!............................................ 1,309 64,600 Veritas DGC Inc.!!............................................ 516 52,600 W-H Energy Services, Inc.!!................................... 936 --------- 6,997 --------- PACKAGING AND CONTAINERS -- 0.5% 69,800 AptarGroup, Inc. ............................................. 2,561 26,200 Libbey Inc. .................................................. 729 27,600 Mobile Mini Inc.!!(a)......................................... 532 --------- 3,822 --------- PAPER AND FOREST PRODUCTS -- 1.0% 71,300 Buckeye Technologies Inc.!!................................... 648 53,800 Caraustar Industries, Inc.!!.................................. 470 29,600 Chesapeake Corporation........................................ 667 22,900 Deltic Lumber Corporation..................................... 662 30,200 Pope & Talbot Inc. ........................................... 457 67,200 Rock-Tenn Company - Class A................................... 980 28,400 Schweitzer-Mauduit International, Inc. ....................... 717 63,900 United Stationers Inc.!!...................................... 2,408 34,200 Universal Forest Products, Inc. .............................. 830 --------- 7,839 --------- PHARMACEUTICALS -- 3.0% 99,700 Alpharma Inc., Class A........................................ 1,854 54,100 ArQule Inc.!!................................................. 249 107,100 Cephalon, Inc.!!(a)........................................... 4,917 27,900 CIMA Labs Inc.!!.............................................. 780 57,605 Enzo Biochem, Inc.!!.......................................... 1,124 52,400 Medicis Pharmaceutical Corporation, Class A................... 3,071 57,900 MGI Pharma, Inc.!!............................................ 2,273 128,100 NBTY, Inc.!!.................................................. 2,991 43,400 Noven Pharmaceuticals, Inc.!!................................. 495 107,800 Pharmaceutical Product Development, Inc.!!.................... 2,586
SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- PHARMACEUTICALS -- (CONTINUED) 100,500 Regeneron Pharmaceuticals, Inc.!!............................. $ 1,776 114,600 Savient Pharmaceuticals Inc.!!................................ 579 --------- 22,695 --------- PUBLISHING AND ADVERTISING -- 0.7% 36,700 Advanced Marketing Services Inc. ............................. 375 65,000 Bowne & Company Inc. ......................................... 972 25,800 Consolidated Graphics Inc.!!.................................. 656 40,200 Information Holdings Inc.!!................................... 805 54,000 John H. Harland Company....................................... 1,429 54,500 The Standard Register Company................................. 905 27,700 Thomas Nelson, Inc. .......................................... 383 --------- 5,525 --------- RAILROADS, TRUCKING AND SHIPPING -- 2.1% 47,700 Arkansas Best Corporation..................................... 1,312 96,401 Heartland Express, Inc. ...................................... 2,315 119,000 Kansas City Southern Industries, Inc.!!....................... 1,317 46,500 Kirby Corporation!!........................................... 1,335 72,100 Knight Transportation, Inc.!!................................. 1,808 29,200 Landstar System, Inc.!!....................................... 1,782 38,400 Roadway Express, Inc. ........................................ 1,872 52,500 USF Corporation............................................... 1,652 49,700 Wabash National Corporation!!................................. 793 57,000 Yellow Corporation(a)......................................... 1,703 --------- 15,889 --------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 2.0% 61,600 Capital Automotive REIT....................................... 1,879 50,000 Colonial Properties Trust..................................... 1,802 40,600 Essex Property Trust, Inc. ................................... 2,546 53,100 Gables Residential Trust...................................... 1,716 53,600 Glenborough Realty Trust Inc. ................................ 1,011 53,300 Kilroy Realty Corporation..................................... 1,522 67,700 Lexington Corporate Properties Trust.......................... 1,297 86,700 Shurgard Storage Centers, Inc. ............................... 3,060 --------- 14,833 --------- RESTAURANTS -- 2.5% 49,600 CEC Entertainment Inc.!!...................................... 1,944 41,600 IHOP Corporation.............................................. 1,367 69,400 Jack in the Box Inc.!!........................................ 1,235 53,200 Landry's Seafood Restaurants Inc. ............................ 1,096 40,000 Lone Star Steakhouse & Saloon, Inc. .......................... 836 40,100 O'Charley's Inc.!!............................................ 595 48,900 P.F. Changs China Bistro Inc.!!(a)............................ 2,218 57,600 Panera Bread Company, Class A!!............................... 2,360 34,600 Papa John's International Inc.!!(a)........................... 858 64,600 RARE Hospitality International, Inc.!!........................ 1,609 81,200 Ryan's Family Steak Houses Inc.!!............................. 1,039 75,200 Sonic Corporation!!........................................... 1,901 52,100 The Steak n Shake Company!!................................... 776 113,300 Triarc Companies, Inc.(a)..................................... 1,178 --------- 19,012 --------- SEMICONDUCTORS -- 4.9% 48,100 Actel Corporation!!........................................... 1,153 67,500 Alliance Semiconductor Corporation!!.......................... 367 59,500 ATMI, Inc.!!.................................................. 1,504 190,700 Axcelis Technologies, Inc.!!.................................. 1,575
VALUE SHARES (000) - ------------------------------------------------------------------------------------- SEMICONDUCTORS -- (CONTINUED) 71,500 Brooks Automation, Inc.!!..................................... $ 1,494 49,300 C&D Technologies, Inc. ....................................... 933 83,300 Cognex Corporation............................................ 2,190 67,800 Cymer, Inc.!!................................................. 2,792 54,600 DSP Group, Inc.!!............................................. 1,360 34,800 Dupont Photomasks, Inc.!!..................................... 790 53,700 Electro Scientific Industries, Inc.!!......................... 1,131 74,600 ESS Technology, Inc.!!........................................ 804 78,100 Exar Corporation!!............................................ 1,104 63,400 FEI Company!!................................................. 1,480 134,000 Kopin Corporation!!........................................... 929 96,400 Kulicke & Soffa Industries Inc.!!............................. 1,045 55,900 Microsemi Corporation!!....................................... 852 38,100 Park Electrochemical Corporation.............................. 867 49,500 Pericom Semiconductor Corporation!!........................... 495 31,200 Photon Dynamics, Inc.!!....................................... 909 61,900 Photronics, Inc.!!............................................ 1,316 57,000 Power Integrations, Inc.!!.................................... 1,895 31,600 Rudolph Technologies, Inc.!!(a)............................... 610 285,500 Skyworks Solutions, Inc.!!(a)................................. 2,598 24,500 Supertex, Inc.!!.............................................. 440 77,500 Technitrol, Inc. ............................................. 1,427 44,100 Ultratech Stepper, Inc.!!..................................... 1,245 66,400 Varian Semiconductor Equipment Associates, Inc.!!............. 2,487 56,400 Veeco Instruments Inc.!!...................................... 1,126 216 Zilog, Inc.!!(b)(c)........................................... 0++ --------- 36,918 --------- SOFTWARE -- 4.2% 81,600 American Management Systems!!................................. 1,040 29,000 Ansys, Inc.!!................................................. 1,031 57,500 Avid Technology, Inc.!!....................................... 3,039 37,100 BARRA, Inc.!!................................................. 1,393 49,000 Bell Microproducts Inc.!!..................................... 319 45,400 Carreker Corporation!!........................................ 365 68,100 Cerner Corporation!!(a)....................................... 2,102 122,100 Ciber Inc.!!.................................................. 928 77,900 Dendrite International, Inc.!!................................ 1,183 34,200 EPIQ Systems, Inc.!!.......................................... 580 70,400 FileNET Corporation!!......................................... 1,413 68,200 Hyperion Solutions Corporation!!.............................. 1,969 55,000 JDA Software Group, Inc.!!.................................... 818 38,900 Kronos Inc.!!................................................. 2,058 57,300 Manhattan Associates, Inc.!!.................................. 1,483 29,700 MapInfo Corporation!!......................................... 285 89,700 Midway Games Inc.!!(a)........................................ 266 47,300 MRO Software, Inc.!!.......................................... 646 66,600 Netegrity, Inc.!!............................................. 667 39,100 PC-Tel, Inc.!!................................................ 417 46,800 Phoenix Technologies Ltd.!!................................... 293 66,700 Progress Software Corporation!!............................... 1,434 53,000 Roxio, Inc.!!(a).............................................. 460 77,900 SERENA Software, Inc.!!....................................... 1,449 33,400 SPSS, Inc.!!.................................................. 563 80,300 Take-Two Interactive Software, Inc.!!(a)...................... 2,744 74,300 THQ Inc.!!.................................................... 1,220 72,000 Verity, Inc.!!................................................ 941 --------- 31,106 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ------------------------------------------------------------------------------------- SPECIALTY STORES -- 5.6% 85,400 AnnTaylor Stores Corporation!!................................ $ 2,744 85,900 Burlington Coat Factory Warehouse Corporation................. 1,606 39,100 Cato Corporation.............................................. 789 41,300 Cost Plus, Inc.!!............................................. 1,525 25,300 Department 56, Inc.!!......................................... 321 56,200 Dress Barn, Inc.!!............................................ 770 47,900 Electronics Boutique Holdings Corporation!!................... 1,369 27,100 Enesco Group, Inc.!!.......................................... 217 38,900 Footstar, Inc.!!.............................................. 263 89,800 Fossil, Inc.!!................................................ 2,176 62,800 Goody's Family Clothing Inc. ................................. 619 56,800 Gymboree Corporation!!........................................ 800 91,100 Hot Topic, Inc.!!............................................. 2,053 89,100 Insight Enterprises, Inc.!!................................... 1,356 37,700 J. Jill Group Inc.!!.......................................... 434 38,700 Jo-Ann Stores Inc., Class A!!(a).............................. 1,080 85,200 Linens 'N Things, Inc.!!...................................... 2,026 62,700 Movie Gallery, Inc.!!......................................... 1,232 149,675 Pacific Sunwear of California, Inc.!!......................... 3,091 103,900 PEP Boys - Manny, Moe & Jack.................................. 1,590 83,600 Regis Corporation............................................. 2,684 36,100 School Specialty, Inc.!!(a)................................... 1,018 68,100 SCP Pool Corporation!!........................................ 1,895 80,300 Stein Mart Inc.!!............................................. 439 76,000 The Men's Wearhouse, Inc.!!................................... 1,949 66,200 Too Inc.!!.................................................... 975 71,800 Tractor Supply Company!!...................................... 2,356 75,000 Urban Outfitters, Inc.!!...................................... 1,955 57,000 Wet Seal, Inc., Class A!!..................................... 573 52,700 Zale Corporation!!............................................ 2,340 --------- 42,245 --------- STEEL -- 0.2% 80,800 Maverick Tube Corporation!!(a)................................ 1,254 --------- TELECOMMUNICATIONS SERVICES -- 0.8% 35,100 Boston Communications Group, Inc.!!(a)........................ 350 24,800 Catapult Communications Corporation!!......................... 312 45,800 Commonwealth Telephone Enterprises, Inc.!!(a)................. 1,838 39,000 Digi International Inc.!!..................................... 258 108,000 General Communication, Inc., Class A!!........................ 899 48,200 Inter-Tel Inc. ............................................... 1,183 47,600 Metro One Telecommunications, Inc.!!(a)....................... 166 44,300 Network Equipment Technologies Inc.!!......................... 405 81,300 SymmetriCom Inc.!!............................................ 515 --------- 5,926 ---------
VALUE SHARES (000) - ------------------------------------------------------------------------------------- TOBACCO -- 0.1% 86,300 DiMon Inc. ................................................... $ 595 --------- UTILITIES -- MISCELLANEOUS -- 0.1% 29,300 American States Water Company................................. 691 --------- TOTAL COMMON STOCKS (Cost $650,275)............................................. 742,454 --------- SHARES (000) - ------- INVESTMENT COMPANIES -- 8.2% (Cost $61,358) 61,358 Nations Cash Reserves, Capital Class Shares#.................. 61,358 --------- TOTAL INVESTMENTS (Cost $711,633*).................................. 107.3% 803,812 --------- OTHER ASSETS AND LIABILITIES (NET)................................. (7.3)% Cash.......................................................... $ 16 Receivable for Fund shares sold............................... 1,425 Dividends receivable.......................................... 479 Interest receivable........................................... 10 Receivable from investment adviser............................ 1 Variation margin/due to broker................................ (62) Collateral on securities loaned............................... (56,103) Payable for Fund shares redeemed.............................. (220) Investment advisory fee payable............................... (74) Administration fee payable.................................... (146) Shareholder servicing and distribution fees payable........... (2) Payable for investment securities purchased................... (24) Accrued Trustees' fees and expenses........................... (64) Accrued expenses and other liabilities........................ (235) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (54,999) --------- NET ASSETS.......................................... 100.0% $ 748,813 ========= NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 2,605 Accumulated net realized loss on investments sold and futures contracts................................................... (45,645) Net unrealized appreciation of investments and futures contracts................................................... 91,994 Paid-in capital............................................... 699,859 --------- NET ASSETS.................................................... $ 748,813 =========
SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS Nations SmallCap Index Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($738,048,722 / 49,680,012 shares outstanding).............. $14.86 ========= INVESTOR A SHARES: Net asset value and redemption price per share ($10,764,274 / 726,578 shares outstanding).................. $14.82 =========
- --------------- * Federal income tax information (see Note 11). !!Non-income producing security. ++ Amount represents less than $500. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 10). The portion that represents cash collateral is $56,103. (a)All or a portion of security was on loan on September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003 is $55,310 and $54,054, respectively. &&All or a portion of security segregated as collateral for futures contracts. (b)Fair valued security. (c)Restricted security. SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2003
LARGECAP LARGECAP MIDCAP SMALLCAP INDEX ENHANCED CORE INDEX INDEX ----------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $0, $0, $0 and $1, respectively)..................... $ 9,195 $ 1,383 $ 6,113 $ 3,070 Dividend income from affiliated funds.............. 107 70 125 32 Securities lending................................. 8 --* 33 81 -------------- -------------- -------------- -------------- Total investment income........................ 9,310 1,453 6,271 3,183 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee............................ 2,157 470 2,120 1,329 Administration fee................................. 1,240 271 1,219 764 Transfer agent fees................................ 151 30 154 93 Custodian fees..................................... 28 34 49 113 Legal and audit fees............................... 42 39 44 41 Registration and filing fees....................... 23 26 14 15 Trustees fees and expenses......................... 10 10 10 10 Interest expense................................... -- -- -- --* Printing expense................................... 14 13 15 15 Other.............................................. 1 2 1 2 -------------- -------------- -------------- -------------- Subtotal....................................... 3,666 895 3,626 2,382 Shareholder servicing and distribution fees: Investor A Shares................................ 34 22 4 12 -------------- -------------- -------------- -------------- Total expenses................................. 3,700 917 3,630 2,394 Fees waived by investment advisor and/or distributor...................................... (1,779) (307) (1,771) (1,052) Fees reduced by credits allowed by the custodian... --* --* --* --* Reimbursement from investment adviser.............. (1) --* (3) (1) -------------- -------------- -------------- -------------- Net expenses................................... 1,920 610 1,856 1,341 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME/(LOSS)....................... 7,390 843 4,415 1,842 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions............................ (1,867) 30,579 791 (4,281) Written options.................................. -- (13,745) -- -- Futures contracts................................ 5,697 3,685 4,697 1,905 Swap contracts................................... -- 639 -- -- Foreign currency and net other assets............ -- 150 -- -- -------------- -------------- -------------- -------------- Net realized gain/(loss) on investments............ 3,830 21,308 5,488 (2,376) -------------- -------------- -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities....................................... 162,108 21,282 213,510 153,249 Written options.................................. -- (4,597) -- -- Futures contracts................................ (785) (587) 156 (176) Swap contracts................................... -- 1,083 -- -- Foreign currency and net other assets............ -- --* -- -- -------------- -------------- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments....... 161,323 17,181 213,666 153,073 -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments...................................... 165,153 38,489 219,154 150,697 -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................. $ 172,543 $ 39,332 $ 223,569 $ 152,539 ============== ============== ============== ==============
- --------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
LARGECAP INDEX --------------------------------- SIX MONTHS ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 7,390 $ 14,322 Net realized gain/(loss) on investments..................... 3,830 (93,488) Net change in unrealized appreciation/(depreciation) of investments............................................... 161,323 (244,564) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 172,543 (323,730) Distributions to shareholders from net investment income: Primary A Shares.......................................... -- (11,143) Primary B Shares.......................................... -- -- Investor A Shares......................................... -- (235) 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.............................................. 3,811 (39,736) -------------- -------------- Net increase/(decrease) in net assets....................... 176,354 (374,844) -------------- -------------- NET ASSETS: Beginning of period......................................... 941,844 1,316,688 -------------- -------------- End of period............................................... $ 1,118,198 $ 941,844 ============== ============== Undistributed net investment income at end of period........ $ 10,855 $ 3,465 ============== ==============
- --------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
LARGECAP ENHANCED CORE MIDCAP INDEX SMALLCAP INDEX ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED 9/30/03 YEAR ENDED ENDED 9/30/03 YEAR ENDED ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 - ------------------------------------------------------------------------------------------------------- $ 843 $ 1,567 $ 4,415 $ 6,820 $ 1,842 $ 2,747 21,308 (33,703) 5,488 (12,129) (2,376) (36,842) 17,181 (20,987) 213,666 (213,260) 153,073 (129,402) -------------- -------------- -------------- -------------- -------------- -------------- 39,332 (53,123) 223,569 (218,569) 152,539 (163,497) -- (1,108) -- (4,852) -- (2,076) -- --* -- -- -- -- -- (93) -- (11) -- (8) -- (7,725) (3) (11,387) -- (2,412) -- --* -- -- -- -- -- (983) --* (28) -- (39) (845) 54,679 105,022 417,705 70,780 185,718 -------------- -------------- -------------- -------------- -------------- -------------- 38,487 (8,353) 328,588 182,858 223,319 17,686 -------------- -------------- -------------- -------------- -------------- -------------- 207,197 215,550 863,186 680,328 525,494 507,808 -------------- -------------- -------------- -------------- -------------- -------------- $ 245,684 $ 207,197 $ 1,191,774 $ 863,186 $ 748,813 $ 525,494 ============== ============== ============== ============== ============== ============== $ 1,560 $ 717 $ 6,368 $ 1,953 $ 2,605 $ 763 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
LARGECAP INDEX SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------- -------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 5,754 $ 107,651 13,612 $ 236,155 Issued as reinvestment of dividends....................... -- -- 427 7,446 Redeemed.................................................. (5,554) (104,137) (16,032) (282,650) ------ --------- ------- --------- Net increase/(decrease)................................... 200 $ 3,514 (1,993) $ (39,049) ====== ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 263 $ 4,862 689 $ 12,452 Issued as reinvestment of dividends....................... -- -- 12 203 Redeemed.................................................. (244) (4,565) (759) (13,342) ------ --------- ------- --------- Net increase/(decrease)................................... 19 $ 297 (58) $ (687) ====== ========= ======= ========= Total net increase/(decrease)............................. 219 $ 3,811 (2,051) $ (39,736) ====== ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
LARGECAP ENHANCED CORE SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------- ------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,129 $ 23,988 11,716 $123,224 Issued as reinvestment of dividends....................... -- -- 152 1,911 Redeemed.................................................. (2,178) (24,406) (6,298) (68,039) ------ -------- ------ -------- Net increase/(decrease)................................... (49) $ (418) 5,570 $ 57,096 ====== ======== ====== ======== PRIMARY B SHARES: Sold...................................................... -- $ -- --* $ --* Issued as reinvestment of dividends....................... -- -- --* --* Redeemed.................................................. -- -- --* --* ------ -------- ------ -------- Net increase/(decrease)................................... -- $ -- --* $ --* ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 137 $ 1,550 462 $ 5,087 Issued as reinvestment of dividends....................... -- -- 72 900 Redeemed.................................................. (174) (1,977) (781) (8,404) ------ -------- ------ -------- Net increase/(decrease)................................... (37) $ (427) (247) $ (2,417) ====== ======== ====== ======== Total net increase/(decrease)............................. (86) $ (845) 5,323 $ 54,679 ====== ======== ====== ========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MIDCAP INDEX SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 29,195 $ 232,230 80,995 $ 635,362 Issued as reinvestment of dividends....................... --* 1 670 5,521 Redeemed.................................................. (16,558) (128,685) (30,922) (224,802) ------- --------- ------- --------- Net increase/(decrease)................................... 12,637 $ 103,546 50,743 $ 416,081 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 316 $ 2,648 504 $ 3,890 Issued as reinvestment of dividends....................... --* --* 4 33 Redeemed.................................................. (139) (1,172) (314) (2,299) ------- --------- ------- --------- Net increase/(decrease)................................... 177 $ 1,476 194 $ 1,624 ======= ========= ======= ========= Total net increase/(decrease)............................. 12,814 $ 105,022 50,937 $ 417,705 ======= ========= ======= =========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SMALLCAP INDEX SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 9,379 $129,498 29,323 $ 392,917 Issued as reinvestment of dividends....................... -- -- 86 1,250 Redeemed.................................................. (4,366) (59,402) (16,681) (210,092) ------ -------- ------- --------- Net increase/(decrease)................................... 5,013 $ 70,096 12,728 $ 184,075 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 707 $ 9,557 1,755 $ 22,226 Issued as reinvestment of dividends....................... -- -- 3 41 Redeemed.................................................. (656) (8,873) (1,642) (20,624) ------ -------- ------- --------- Net increase/(decrease)................................... 51 $ 684 116 $ 1,643 ====== ======== ======= ========= Total net increase/(decrease)............................. 5,064 $ 70,780 12,844 $ 185,718 ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- LARGECAP INDEX PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)................. $16.37 $0.13 $ 2.86 $ 2.99 $ -- $ -- Year ended 3/31/2003#......... 22.09 0.25 (5.77) (5.52) (0.20) -- 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) (0.00)## Year ended 3/31/2000#......... 25.06 0.26 4.09 4.35 (0.25) (0.26) Year ended 3/31/1999.......... 22.41 0.26 3.63 3.89 (0.25) (0.99) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)................. $16.27 $0.11 $ 2.84 $ 2.95 $ -- $ -- Year ended 3/31/2003#......... 21.98 0.20 (5.75) (5.55) (0.16) -- 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) (0.00)## Year ended 3/31/2000#......... 24.94 0.19 4.08 4.27 (0.19) (0.26) Year ended 3/31/1999.......... 22.31 0.19 3.63 3.82 (0.20) (0.99)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (see 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%. (c)Amount represents less than 1%. (d)The Reimbursement from Investment Adviser (see note 14) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 36 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 - ----------------------------------------------------------------------------------------------------------------- -- $ $19.36 18.27% $1,089,889 0.35%+(a)(d) 1.37%+ --%(c) 0.68%+(a) (0.20) 16.37 (25.05) 918,184 0.35(a)(b) 1.39 6 0.69(a) (0.23) 22.09 (0.09) 1,283,450 0.35(a)(b) 1.05 7 0.68(a) (0.24) 22.35 (21.94) 2,021,690 0.35(a)(b) 0.88 8 0.68(a) (0.51) 28.90 17.58 2,826,486 0.35(a)(b) 0.96 7 0.71(a) (1.24) 25.06 18.26 933,313 0.35(a) 1.17 4 0.71(a) -- $ $19.22 18.13% $ 28,309 0.60%+(a)(d) 1.12%+ --%(c) 0.93%+(a) (0.16) 16.27 (25.28) 23,660 0.60(a)(b) 1.14 6 0.94(a) (0.18) 21.98 (0.30) 33,238 0.60(a)(b) 0.80 7 0.93(a) (0.17) 22.24 (22.18) 27,417 0.60(a)(b) 0.63 8 0.93(a) (0.45) 28.76 17.32 28,943 0.60(a)(b) 0.71 7 0.96(a) (1.19) 24.94 18.00 13,827 0.60(a) 0.92 4 0.96(a)
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- LARGECAP ENHANCED CORE PRIMARY A SHARES Six months ended 9/30/2003# (unaudited).................. $10.00 $0.04 $ 1.87 $ 1.91 $ -- $ -- Year ended 3/31/2003#.......... 14.00 0.10 (3.49) (3.39) (0.07) (0.54) Year ended 3/31/2002#.......... 14.90 0.12 0.39 0.51 (0.12) (1.29) Year ended 3/31/2001#.......... 22.04 0.13 (4.46) (4.33) (0.12) (2.69) Year ended 3/31/2000#.......... 19.39 0.16 2.78 2.94 (0.16) (0.13) Year ended 3/31/1999#.......... 17.14 0.18 2.40 2.58 (0.18) (0.15) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited).................. $ 9.98 $0.03 $ 1.86 $ 1.89 $ -- $ -- Year ended 3/31/2003#.......... 13.99 0.07 (3.48) (3.41) (0.06) (0.54) Year ended 3/31/2002#.......... 14.89 0.08 0.40 0.48 (0.09) (1.29) Year ended 3/31/2001#.......... 22.04 0.08 (4.47) (4.39) (0.07) (2.69) Year ended 3/31/2000#.......... 19.39 0.11 2.78 2.89 (0.11) (0.13) Year ended 3/31/1999#.......... 17.14 0.14 2.39 2.53 (0.13) (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. # Per share net investment income/(loss) has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (see 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%. (c)The Reimbursement from Investment Adviser (see note 14) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 38 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 - ------------------------------------------------------------------------------------------------------------------ -- $ $11.91 19.10% $227,502 0.50%+(a)(c) 0.73%+ 163% 0.76%+(a) (0.61) 10.00 (25.03) 191,535 0.50(a)(b) 0.90 366 0.80(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) -- $ $11.87 18.94% $ 18,182 0.75%+(a)(c) 0.48%+ 163% 1.01%+(a) (0.60) 9.98 (25.24) 15,663 0.75(a)(b) 0.65 366 1.05(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)
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 ------------------------------------------------------------------------- MIDCAP INDEX PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ 6.96 $0.03 $ 1.72 $ 1.75 $ -- Year ended 3/31/2003#..................... 9.31 0.06 (2.25) (2.19) (0.04) 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 9/30/2003# (unaudited)... $ 6.96 $0.02 $ 1.72 $ 1.74 $ -- Year ended 3/31/2003#..................... 9.33 0.05 (2.26) (2.21) (0.04) 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 9/30/2003# (unaudited)... $(0.00)** Year ended 3/31/2003#..................... (0.12) Year ended 3/31/2002#..................... (0.55) Period ended 3/31/2001*................... (0.89) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $(0.00)** Year ended 3/31/2003#..................... (0.12) 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/(loss) has been calculated using the monthly average shares method. **Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (see Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The Reimbursement from Investment Adviser (see note 14) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 40 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO OF OPERATING RATIO OF EXPENSES RATIO OF TOTAL NET ASSETS OPERATING INCLUDING NET INVESTMENT DIVIDENDS NET ASSET END OF EXPENSES TO INTEREST EXPENSE INCOME/(LOSS) PORTFOLIO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TO AVERAGE TURNOVER DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS RATE - ------------------------------------------------------------------------------------------------------------------- $(0.00)** $8.71 25.14% $1,187,502 0.35%+(a) 0.35%+(a)(b) 0.83%+ 3% (0.16) 6.96 (23.77) 860,997 0.35(a) 0.35(a) 0.84 15 (0.61) 9.31 18.29 679,205 0.35(a) 0.35(a) 0.82 16 (0.97) 8.39 (7.27) 342,503 0.35(a) 0.36(a) 0.82 69 $(0.00)** $8.70 25.00% $ 4,272 0.60%+(a) 0.60%+(a)(b) 0.58%+ 3% (0.16) 6.96 (23.98) 2,189 0.60(a) 0.60(a) 0.59 15 (0.59) 9.33 17.99 1,123 0.60(a) 0.60(a) 0.57 16 (0.95) 8.41 (2.84) 215 0.60+(a) 0.60+(a) 0.57+ 69 WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF TOTAL OPERATING DIVIDENDS EXPENSES TO AND AVERAGE DISTRIBUTIONS NET ASSETS - ------------- --------------- $(0.00)** 0.68%+(a) (0.16) 0.70(a) (0.61) 0.72(a) (0.97) 0.75(a) $(0.00)** 0.93%+(a) (0.16) 0.95(a) (0.59) 0.97(a) (0.95) 1.00+(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 ------------------------------------------------------------------------- SMALLCAP INDEX PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $11.59 $0.04 $ 3.23 $ 3.27 $ -- Year ended 3/31/2003#..................... 15.63 0.07 (4.00) (3.93) (0.05) 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) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $11.57 $0.02 $ 3.23 $ 3.25 $ -- Year ended 3/31/2003#..................... 15.60 0.03 (3.99) (3.96) (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) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- SMALLCAP INDEX PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.06) Year ended 3/31/2002#..................... (0.33) Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... -- Year ended 3/31/1999#..................... (0.14) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ -- Year ended 3/31/2003#..................... (0.06) Year ended 3/31/2002#..................... (0.33) Year ended 3/31/2001#..................... -- Year ended 3/31/2000#..................... -- Year ended 3/31/1999#..................... (0.14)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. (a)The effect of the custodial expense offset (see 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%. (c)The Reimbursement from Investment Adviser (see note 14) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO OF NET OPERATING RATIO OF EXPENSES RATIO OF TOTAL NET ASSETS OPERATING INCLUDING NET INVESTMENT DIVIDENDS NET ASSET END OF EXPENSES TO INTEREST EXPENSE INCOME/(LOSS) PORTFOLIO AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TO AVERAGE TURNOVER DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS RATE - --------------------------------------------------------------------------------------------------------------------------------- $ -- $14.86 28.21% $738,049 0.40%+(a)(b) 0.40%+(a)(b)(c) 0.55%+ 5% (0.11) 11.59 (25.26) 517,680 0.40(a) 0.40(a) 0.51 26 (0.40) 15.63 21.30 499,084 0.40(a) 0.40(a) 0.46 18 (0.06) 13.24 (1.74) 256,465 0.41(a) 0.41(a) 0.56 65 (0.04) 13.53 22.97 196,593 0.51(a) 0.51(a) 0.35 53 (0.20) 11.04 (20.50) 189,379 0.50(a) 0.50(a) 0.52 65 $ -- $14.82 28.09% $ 10,764 0.65%+(a)(b) 0.65%+(a)(b)(c) 0.30%+ 5% (0.07) 11.57 (25.46) 7,814 0.65(a) 0.65(a) 0.26 26 (0.37) 15.60 20.97 8,724 0.65(a) 0.65(a) 0.21 18 (0.02) 13.22 (2.06) 6,517 0.66(a) 0.66(a) 0.31 65 (0.01) 13.52 22.67 7,610 0.75(a) 0.76(a) 0.10 53 (0.17) 11.03 (20.67) 9,782 0.75(a) 0.75(a) 0.27 65 WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF TOTAL OPERATING DIVIDENDS EXPENSES TO AND AVERAGE DISTRIBUTIONS NET ASSETS - ------------- --------------- $ -- 0.72%+(a) (0.11) 0.76(a) (0.40) 0.76(a) (0.06) 0.79(a) (0.04) 0.77(a) (0.20) 0.82(a) $ -- 0.97%+(a) (0.07) 1.01(a) (0.37) 1.01(a) (0.02) 1.04(a) (0.01) 1.02(a) (0.17) 1.07(a)
SEE NOTES TO FINANCIAL STATEMENTS. 43 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, 2003, Funds Trust offered fifty-seven separate portfolios. These financial statements pertain only to the four index portfolios of Funds Trust: LargeCap Index Fund, LargeCap Enhanced Core Fund (formerly 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. 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 are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on NASDAQ are valued at the NASDAQ official closing price. 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, swap contracts ("swaptions") 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 44 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) liquid assets with a value equal to or greater than the exercise price of the underlying securities. The Funds may also write combinations of covered puts and calls on the same underlying security. When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. The Funds typically receive a premium from writing a put or call option, which would increase the Funds' return in the event the option expires unexercised or is closed out at a profit. The amount of the premium would reflect, among other things, the relationship of the market price of the underlying security to the exercise price of the option, the term of the option and the volatility of the market price of the underlying security. By writing a call option, a Fund limits its opportunity to profit from any increase in the market value of the underlying security above the exercise price of the option. By writing a put option, a Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss if the purchase price exceeds the market value plus the amount of the premium received. A Fund may terminate an option that it has written prior to its expiration by entering into a closing purchase transaction in which it purchases an option having the same terms as the option written. The Fund will realize a profit or loss from such transaction if the cost of such transaction is less or more than the premium received from the writing of the option. In the case of a put option, any loss so incurred may be partially or entirely offset by the premium received. 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 their investment objective and policies to obtain a desired return at a lower cost than if the Funds had invested directly in the asset that yielded the desired return. Swaps involve the exchange by a 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 related amounts recognized in the Statements of net assets. When-issued/delayed delivery securities: Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Fund enters into such transactions, it is required to have segregated assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments. Credit risks exist on these commitments to the extent of any unrealized losses on the underlying securities purchased and any unrealized gains on the underlying securities sold. Market risk exists on these commitments to the same extent as if the securities were owned on a settled basis and losses are recorded and reported in the same manner. 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 45 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income (including dividend income from affiliated funds) is recorded on ex-dividend date. Each Fund's investment income and realized and unrealized gains and losses are allocated among its share classes based upon the relative net assets of each class of shares. Dividends and distributions to shareholders: Distributions from net investment income are declared and paid at least annually for each of the Funds. Each Fund will distribute net realized capital gains (including net short-term capital gains) at least annually after the fiscal year in which the capital gains were earned, unless offset by any available capital loss carryforward. Dividends and distributions to shareholders are recorded on the ex-dividend date. 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 Capital Management, LLC ("BACAP"), 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 BACAP provides investment advisory services to the Funds. Under the terms of the Investment Advisory Agreement, BACAP 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. BACAP Distributors, LLC ("BACAP Distributors"), a wholly-owned subsidiary of Bank of America, serves as sole administrator of Funds Trust. Under the administration agreement, BACAP Distributors is currently entitled to receive a 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 an agreement with BACAP Distributors. For the six months ended September 30, 2003, BACAP Distributors earned 0.17% (annualized) of the Funds' average daily net assets (net of waivers and sub-administrator fees) for its administration services. BACAP and/or its affiliates may, from time to time, reduce its fee payable by each Fund. During the six months ended September 30, 2003 and until July 31, 2004, BACAP has agreed to reimburse expenses and/or waive fees to the extent that total expenses (excluding interest expense, 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% LargeCap Enhanced Core Fund................................. 0.50%
BACAP is entitled to recover from LargeCap Index Fund, LargeCap Enhanced Core Fund and SmallCap Index Fund any fees waived or expenses reimbursed by BACAP during the three year period following the date of 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. There is no guarantee that these expense limitations will continue. 46 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At September 30, 2003, the amounts potentially recoverable by BACAP pursuant to this arrangement are as follows:
POTENTIAL AMOUNT TO POTENTIAL AMOUNT TO RECOVER WITHIN 3 YEARS RECOVER WITHIN 3 YEARS FUND AS OF 9/30/03 AS OF 3/31/03 - -------------------------------------------------------------------------------------------------------------- LargeCap Index.............................................. $1,779,257 $3,142,504 LargeCap Enhanced Core...................................... 307,306 495,650 SmallCap Index.............................................. 1,052,624 1,815,116
BNY serves as the custodian of Funds Trust's assets. For the six months ended September 30, 2003, expenses of the Funds were reduced by $749 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. serves as the transfer agent for the Funds' shares. Bank of America serves as the sub-transfer agent for the Primary A Shares of the Funds. Bank of America is entitled to receive from the transfer agent a fee equal to the costs incurred by Bank of America in providing services pursuant to its obligations as sub-transfer agent at the annual rate of up to 0.01% of the net assets attributable to the Primary A shares of the Funds. For the six months ended September 30, 2003, Bank of America earned approximately $32,344 for providing such services and is included in "Transfer agent fees" on the Statement of operations. BACAP Distributors serves as distributor of the Funds' shares. No officer, director or employee of Bank of America, BACAP Distributors 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 Statements 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". BACAP and BACAP Distributors have earned fees related to investments in 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 combined shareholder servicing and distribution plan for the Investor A Shares of each Fund. The shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. The distribution plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to compensate or reimburse the distributor and/or selling agents for activities or expenses primarily intended to result in the sale of the classes' shares. Payments are made at an annual rate, as a percentage of average daily net assets, set from time to time by the Board of Trustees, and are charged as expenses of each Fund directly to the applicable class. A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BACAP Distributors. 47 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) For the six months ended September 30, 2003, 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 ------------------- Investor A Combined Shareholder Servicing and Distribution Plan...................................................... 0.25% 0.25%
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, 2003 were as follows:
PURCHASES SALES (000) (000) --------------------- LargeCap Index.............................................. $ 25,440 $ 3,475 LargeCap Enhanced Core...................................... 382,055 357,738 MidCap Index................................................ 158,875 32,753 SmallCap Index.............................................. 103,305 32,405
5. FUTURES CONTRACTS At September 30, 2003, 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 2003(a)... 70 $17,925 $17,396 $(529) LARGECAP ENHANCED CORE: S&P 500 Futures (long position) expiring December 2003(a)... 53 13,596 13,172 (424) MIDCAP INDEX: MidCap 400 Futures (long position) expiring December 2003(a)................................................... 50 12,950 12,759 (191) SMALLCAP INDEX: Russell 2000 Futures (long position) expiring December 2003(a)................................................... 23 5,795 5,610 (185)
- --------------- (a)Securities have been segregated as collateral for each Fund's open futures contracts. 6. WRITTEN OPTIONS Written options for the LargeCap Enhanced Core Fund for the six months ended September 30, 2003 aggregated the following:
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS CONTRACTS (000) - ------------------------------------------------------------------------------------ Options outstanding at March 31, 2003....................... 46,236 $ 7,134 Options written............................................. 50,020,360 9,842 Options terminated in closing purchase transactions......... (31,038) (11,463) Options expired............................................. (33,233) (4,731) ---------- -------- Options outstanding at September 30, 2003................... 50,002,325 $ 777 ========== ========
48 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 7. SWAP CONTRACTS At September 30, 2003, the LargeCap Enhanced Core Fund had the following swap contracts outstanding:
UNREALIZED NOTIONAL PAYMENTS APPRECIATION/ AMOUNT PAYMENTS MADE RECEIVED BY (DEPRECIATION) DESCRIPTION (000) BY THE FUND THE FUND (000) - -------------------------------------------------------------------------------------------------------------------------- Contract with Bear Stearns, Effective April 9, 2003, expiring First Data Corp. Equity 1-month LIBOR April 9, 2004(a).................... $ 478 Total Return -0.50% $ (80) Contract with Bear Stearns, Effective June 23, 2003, expiring First Data Corp. Equity 1-month LIBOR April 7, 2004(a).................... 696 Total Return -0.50% 56 Contract with Citigroup, Notional Amount x Notional Amount x Effective July 24, 2003, expiring (SPX Corp. Index) (SPX Corp. Index) July 22, 2005(a).................... 16,827 Max (0, Vol@2-Strike@2) Max (0, Strike@2-Vol@2) (107) Contract with Citigroup, Notional Amount x Notional Amount x Effective August 12, 2003, expiring (SPX Corp. Index) (SPX Corp. Index) August 20, 2004(a).................. 9,813 Max (0, Vol@2-Strike@2) Max (0, Strike@2-Vol@2) (47) Contract with Commerzbank, Notional Amount x Notional Amount x Effective July 23, 2003, expiring (American Express Index) (American Express Index) January 16, 2004(a)................. 8,929 Max (0, Strike@2-Vol@2) Max (0, Vol@2-Strike@2) (120) Contract with Deutsche Bank, Notional Amount x Notional Amount x Effective June 26, 2003, expiring (SPX Corp. Index) (SPX Corp. Index) June 23, 2005(a).................... 17,157 Max (0, Vol@2-Strike@2) Max (0, Strike@2-Vol@2) (91) Contract with Deutsche Bank, Notional Amount x Notional Amount x Effective June 26, 2003, expiring (NDX Index) (NDX Index) June 23, 2005(a).................... 8,803 Max (0, Strike@2-Vol@2) Max (0, Vol@2-Strike@2) 79 Contract with Deutsche Bank, Notional Amount x Notional Amount x effective July 24, 2003, expiring (SPX Corp. Index) (SPX Corp. Index) January 16, 2004(a)................. 17,500 Max (0, Vol@2-Strike@2) Max (0, Strike@2-Vol@2) 76 Contract with Deutsche Bank, Notional Amount x Notional Amount x effective July 24, 2003, expiring (NDX Index) (NDX Index) July 22, 2005(a).................... 8,666 Max (0, Strike@2-Vol@2) Max (0, Vol@2-Strike@2) 65 Contract with Deutsche Bank, Notional Amount x Notional Amount x effective August 12, 2003, expiring (Deere & Co. Index) (Deere & Co. Index) August 4, 2004(a)................... 4,983 Max (0, Strike@2-Vol@2) Max (0, Vol@2-Strike@2) (50) Contract with Citigroup, effective August 19, 2003, expiring August 23, 2014(a).................. 13,000 4.600% 6-month EURIBOR (194) Contract with Citigroup, Effective August 19, 2003, expiring August 23, 2006(a).................. 54,600 6-month EURIBOR 3.515% 585 ----- Total unrealized appreciation......... $ 172 =====
- --------------- (a)Fair value. 8. SHARES OF BENEFICIAL INTEREST As of September 30, 2003, 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. 49 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 9. LINE 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"). The Agreement is renewable on an annual basis. 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. The Funds had no borrowings outstanding at September 30, 2003. During the six months ended September 30, 2003, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING INTEREST FUND (000) RATE - -------------------------------------------------------------------------------------- SmallCap Index.............................................. $22 1.76%
- --------------- *The average amount outstanding was calculated based on daily balances in the period. 10. SECURITIES LENDING Under an agreement with BNY, the Funds can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned. The cash collateral received is invested in Nations Cash Reserves. A portion of the income generated by the investment of the collateral, net of any rebates paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder is paid to the Fund. Generally, in the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. There would be a potential loss to the Fund in the event the Fund is delayed or prevented from exercising its right to dispose of the collateral. The Fund bears the risk of loss with respect to the investment of collateral. At September 30, 2003, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) - ------------------------------------------------------------------------------------------------ LargeCap Index.............................................. $ 7,129 $ 7,539 MidCap Index................................................ 32,997 34,637 SmallCap Index.............................................. 54,054 56,103
11. INCOME TAXES Information on the tax components of capital as of September 30, 2003 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................................. $1,117,045 $227,424 $(221,140) $ 6,284 $ (529) LargeCap Enhanced Core......................... 206,552 44,283 (2,501) 41,782 (2,455) MidCap Index................................... 1,167,756 153,214 (96,258) 56,956 (191) SmallCap Index................................. 711,633 142,031 (49,852) 92,179 (185)
50 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At March 31, 2003, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING IN EXPIRING IN EXPIRING IN 2009 2010 2011 FUND (000) (000) (000) - ------------------------------------------------------------------------------------------------------- LargeCap Index.............................................. $31,209 $39,881 $114,143 LargeCap Enhanced Core...................................... -- -- 21,897 SmallCap Index.............................................. -- -- 1,155
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, 2003, the following Funds elected to defer losses occurring between November 1, 2002 and March 31, 2003 under these rules, as follows:
CAPITAL LOSSES DEFERRED FUND (000) - ----------------------------------------------------------------------------- LargeCap Index.............................................. $4,720 LargeCap Enhanced Core...................................... 10,504 MidCap Index................................................ 11,311
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2004. 12. REORGANIZATIONS CHANGE OF REGISTERED INVESTMENT COMPANY On May 10, 2002, each Fund of Nations Fund Trust listed in the left column below (each a "Fund") reorganized into a newly created successor fund of Nations Funds Trust listed in the right column below, that was substantially identical to the existing Fund. The acquisition was accomplished by a tax-free exchange of shares of each Fund for shares of equal value of the newly created successor fund. The financial statements of each successor fund reflects the historical financial results of each 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
13. SUBSEQUENT EVENT On October 8, 2003, the Board of Trustees approved the following changes in contractual fees for the LargeCap Index, MidCap Index and SmallCap Index Funds. - LargeCap Index Fund and MidCap Index Fund advisory fees decreased to 0.10% from 0.40% - SmallCap Index Fund advisory fee decreased to 0.15% from 0.40% - The administration fee for each Fund decreased to 0.10% from 0.23% These changes are effective November 1, 2003. For further details concerning these changes, please refer to the prospectus supplement dated October 31, 2003. 14. EVENTS On September 3, 2003, the Office of the Attorney General for the State of New York ("NYAG") simultaneously filed and settled a complaint against Canary Capital Partners, LLC, et al. (collectively, "Canary"). The complaint alleged, among other things, that Canary engaged in improper trading in certain Nations Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and also "late trading." The NYAG later announced a criminal action, and the SEC announced a civil action, against a former employee of Banc of America 51 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Securities, LLC, a selling agent affiliated with the Nations Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name Nations Funds, among others, as defendants. The independent Trustees of Funds Trust have engaged independent legal counsel and, through them, independent accountants to determine the extent of any "late trading" or improper "market timing" activity in any of the Funds and to determine the extent of any losses suffered by the Funds from such activity and/or the amount of any disgorgement that should be made. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of Funds Trust jointly announced that: (i) to the extent that the independent counsel and accountants determine that the Funds were adversely affected by any late trading or any discretionary market timing agreement, BACAP would make appropriate restitution; and (ii) BACAP and BACAP Distributors would promptly return to the Funds that were the subject of a market timing agreement all advisory and administration fees they received as a result of such an agreement, irrespective as to whether or not there is an independent determination of any negative impact to any Fund shareholders. In addition, Bank of America Corporation has also agreed to make appropriate reimbursement of costs incurred by Nations Funds in connection with this matter. Bank of America Corporation has also announced the establishment of a restitution fund for shareholders of the Funds who were harmed by the late trading and improper market timing practices of Canary. With regard only to the commitment noted above to promptly return certain fees, the Funds recorded the following receivables to reflect the return of investment advisory fees earned by BACAP, or its predecessors, (net of waivers) and administration fees earned by BACAP Distributors, or its predecessors, (net of waivers, if any) related to a market timing agreement during the indicated periods as follows: Nations LargeCap Index Fund (February 2003 through April 2003) -- $1,100; Nations LargeCap Enhanced Core Fund (February 2003 through April 2003) -- $200; Nations MidCap Index Fund (February 2003 through May 2003) -- $3,300; and Nations SmallCap Index Fund (February 2003 through July 2003) -- $800. Each receivable is expected to be paid on or about November 28, 2003 and was recorded as a reimbursement in the Statement of operations of each impacted Fund. The receivables described in the preceding paragraphs reflect only the return of fees received by BACAP and BACAP Distributors as a result of a discretionary market timing agreement, and do not reflect Bank of America Corporation's pledge of restitution to those Funds that were adversely affected by any late trading or any discretionary market timing agreement. A review of the harm to Fund shareholders as a result of any late trading or any discretionary market timing arrangement remains ongoing. 52 [This page intentionally left blank] THE NATIONS FUNDS FAMILY OF FUNDS THE MUTUAL FUND FAMILY OF BANC OF AMERICA CAPITAL MANAGEMENT Within each category, the funds are listed from aggressive to conservative. Lower risk/reward potential 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 EQUITY FUNDS GROWTH FUNDS Nations Small Company Fund Nations Marsico 21st Century Fund Nations MidCap Growth Fund Nations Marsico Focused Equities Fund Nations Marsico Growth 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 Higher reward/risk potential INTERNATIONAL/GLOBAL FUNDS Nations Marsico International Opportunities Fund Nations International Equity Fund Nations International Value Fund Nations Global Value Fund SPECIALTY FUNDS INDEX FUNDS Nations SmallCap Index Fund Nations MidCap Index Fund Nations LargeCap Index Fund Nations LargeCap Enhanced Core Fund ASSET ALLOCATION PORTFOLIOS Nations LifeGoal Growth Portfolio Nations LifeGoal Balanced Growth Portfolio Nations LifeGoal Income Portfolio Nations LifeGoal Income and Growth Portfolio OTHER SPECIALTY FUNDS Nations Convertible Securities Fund INDEXSAR (9/03) Nations Short-Term Income Fund Nations Short-Intermediate Government Fund Nations Government Securities Fund Nations Intermediate Bond Fund GOVERNMENT & CORPORATE Nations Bond Fund -------------------------------- Semiannual report for the period Nations Strategic ended September 30, 2003 Income Fund Nations High Yield Bond Fund [NATIONS FUNDS LOGO] For a free copy of the fund's proxy voting guidelines visit www.nationsfunds.com, call 1.800.321.7854, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov. 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. BACAP Distributors, LLC and Banc of America Capital Management, LLC are the distributor and investment adviser to Nations Funds, respectively. They and other affiliates of Bank of America provide services to Nations Funds and receive fees for such services. BACAP Distributors, LLC, member NASD, SIPC NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE CHAIRMAN'S AND PRESIDENT'S MESSAGE Dear Shareholder: The six-month period ended September 30, 2003, marked a significant turning point for investors. Since the official end of the recession in November 2001, investors have anxiously sifted through news for signs that the U.S. economy was regaining its footing. At last, the picture drawn by both improving corporate profits and the broad array of economic indicators may be inspiring renewed confidence in the U.S. economy. During the reporting period, three powerful forces -- fiscal policy, monetary policy and a weak dollar -- converged to stimulate the U.S. economic recovery. The U.S. Federal Reserve has lowered the overnight lending rate 13 times in the current cycle, pushing its target Federal Funds rate to the lowest level in 45 years. At the same time, federal spending and expected reductions in federal tax rates have prompted increased consumer and business spending. GENUINE RECOVERY UNDERWAY Although real gross domestic product (GDP) has increased in each of the last eight quarters, the pace of economic activity accelerated sharply during the reporting period. GDP growth featured robust consumer spending, a larger-than- expected pickup in business capital spending, strong homebuilding, and the fastest U.S. export growth in more than a year. The transition from an economy driven by massive stimulus -- low interest rates and tax cuts -- to one characterized by self-generating growth depends in large part on improvement in overall employment. While the economy has made visible progress in the areas of business spending and foreign demand, the outlook for the U.S. labor market has been a persistent worry for investors. Strong productivity gains, once blamed for lagging job creation, are now producing wider profit margins, stronger business spending and the faster GDP needed to support labor market improvement in coming months. In addition, the encouraging performance of the world's largest economy has rippled across global markets where the outlook for major foreign economies also is brightening. In fact, the global economy seems poised for a synchronized recovery. CAPITAL MARKETS REBOUND During the period, the capital markets reflected an increasingly optimistic view as to the vigor and sustainability of the U.S. economic recovery. Although performance has been strong across all market segments, investors have focused more narrowly on those areas with the greatest sensitivity to an improving environment. Since March, stocks outperformed most fixed-income markets, as the generally riskier components of the capital markets outpaced their higher quality counterparts. Year-to-date as of September 30, the Standard and Poor's 500 Composite Stock Price Index returned 14.72%, the NASDAQ Composite Index returned 34.27% and the Dow Jones Industrial Average returned 13.13%.* Fixed-income markets have been volatile since late 2002, responding to various factors, including geopolitical developments and changes in the economy. During the period, the yield curve remained quite steep with spreads between the 30-day Treasury bills and the 10-year Treasury note exceeding 350 basis points. Since touching the lowest level in over four decades of 3.13% in June, the yield on long-term Treasuries has backed up by nearly 150 basis points, trading in a range between around 3.90% and 4.60% in September. Treasuries, which had been a safe haven for wary investors during the extended bear market, lost some of their luster as equities began to revive. Accumulating evidence of economic growth in an environment of historically low inflation and interest rates encouraged investors to migrate to lower quality bonds, and high yield markets surged. Year-to-date, high yield bonds outperformed investment grade corporate bonds by more than four times. Through September 30, the US High-Yield BB& B Rated Market Index returned 22.76% to investors, compared with 3.78% for the Lehman *Standard and Poor's 500 Composite Stock Price Index: an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. The NASDAQ Composite Index: covers 4,500 stocks traded over the counter. It is an unmanaged value-weighted index calculated on price change only and does not include income. It is not an industry-neutral index; it is disproportionately technology-heavy. The Dow Jones Industrial Average (DJIA) is an unmanaged index of common stocks comprised of major industrial companies and assumes reinvestment of dividends and capital gains. 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. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... Aggregate Bond Index.** Note that high yield bonds offer the potential for higher income than other debt securities, but they also have higher risk. INVESTMENT OUTLOOK We are generally optimistic about the investing environment. Despite ongoing concerns about geopolitical tensions, most notably, continuing instability in the Middle East, and disappointment stemming from recent events in the mutual fund industry, we believe the outlook for investors has improved during the past six months. We believe the combination of low interest rates, tax cuts and a weaker dollar that restarted the U.S. economic engine, has generated momentum for growth in 2004. In general, we expect continued strong growth in GDP, modest increases in interest rates and continued low inflation for the U.S. economy. INQUIRY UPDATE Nations Funds shareholders have so far received two letters, dated September 19 and 23, 2003 describing actions taken by Bank of America and the Nations Funds Board of Trustees as a result of investigations into mutual fund trading activities. In addition to the steps outlined in these letters, Bank of America has announced the intention to provide restitution for shareholders of Nations Funds who were harmed by certain late trading and market timing practices. The independent members of the Nations Funds Board of Trustees have engaged the law firm of Willkie Farr & Gallagher and, through them, Deloitte & Touche's Investment Management Advisory Service Group to analyze the extent of any adverse monetary impact on shareholders and other matters. Nations Funds shareholders will not bear any costs related to these actions. Independent advisors Dale Frey, former president and chairman of the General Electric Investment Corporation, and Maureen Bateman, former general counsel of State Street Corporation and U.S. Trust, have been hired by Bank of America to conduct independent reviews. Mr. Frey is reviewing mutual fund policies and practices. Ms. Bateman is reviewing legal and regulatory compliance. Promontory Financial Group has been engaged by Bank of America to coordinate a detailed review of all technology, control, and compliance systems related to the mutual fund business. As these actions demonstrate, Bank of America is committed to making appropriate restitution to affected Nations Funds shareholders and to taking all appropriate actions. Both Bank of America and Nations Funds Board of Trustees are committed to ensuring that our mutual fund policies and practices are at the highest level of industry standards. Nothing is more important than the trust and confidence of Nations Funds shareholders. Bank of America continues to look for opportunities to reinforce its investment advisory unit's professional ranks. In this regard, we are pleased to introduce the recently named president of Banc of America Capital Management, LLC, Keith Winn, who has over 20 years of experience in the investment industry. Sincerely, /S/ WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS /S/ KEITH WINN H. KEITH WINN PRESIDENT BANC OF AMERICA CAPITAL MANAGEMENT, LLC October 14, 2003 **The US High-Yield BB& B Rated Market Index captures the performance of below-investment-grade debt issued by corporations domiciled in the United States or Canada. Securities in the index have remaining maturities of at least 1 year, at least $100 million outstanding and are rated BB or B by Standard and Poor's or Moody's. Please note that an investor cannot invest directly in an index; 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. TABLE OF CONTENTS FINANCIAL STATEMENTS Statements of net assets Nations Short-Term Income Fund 3 Nations Short-Intermediate Government Fund 11 Nations Government Securities Fund 14 Nations Intermediate Bond Fund 17 Nations Bond Fund 18 Nations Strategic Income Fund 29 Nations High Yield Bond Fund 38 Statements of operations 40 Statements of changes in net assets 42 Schedules of capital stock activity 46 Financial highlights 54 Notes to financial statements 68 Statement of net assets -- Nations Master Investment Trust Nations Intermediate Bond Master Portfolio 91 Nations High Yield Bond Master Portfolio 98 Statement of operations 109 Statement of changes in net assets 110 Financial highlights 110 Notes to financial statements 111
NATIONS FUNDS [DALBAR LOGO] RECOGNIZED FOR OUTSTANDING DALBAR, Inc. is a well-respected SHAREHOLDER research firm that measures SERVICE customer service levels and establishes benchmarks in the IN RECOGNITION OF ITS COMMITMENT financial services industry. TO PROVIDE SHAREHOLDERS WITH THE HIGHEST LEVEL OF SERVICE IN THE MUTUAL FUND INDUSTRY, NATIONS FUNDS RECEIVED THE DALBAR MUTUAL FUND SERVICE AWARD IN 2002.
[This page intentionally left blank] NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 13.5% ASSET-BACKED -- AUTO LOANS -- 7.9% $ 2,500 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08............................................. $ 2,593 1,000 Americredit Automobile Receivables Trust, Series 2003-AM, Class A2A, 1.670% 10/06/06............................................. 1,000 2,475 BankBoston RV Asset Backed Trust, Series 1997-1, Class A9, 6.630% 08/15/10............................................. 2,497 2,000 BMW Vehicle Owner Trust, Series 2003-A, Class A4, 2.530% 02/25/08............................................. 2,017 847 Capital Auto Receivables Asset Trust, Series 2002-2, Class CTFS, 4.180% 10/15/07............................................. 867 3,000 Capital Auto Receivables Asset Trust, Series 2003-1, Class A2A, 2.270% 01/17/06............................................. 3,032 4,000 Capital Auto Receivables Asset Trust, Series 2003-3, Class A3A, 2.960% 01/15/08............................................. 4,079 3,000 Capital One Auto Finance Trust, Series 2002-A, Class A3, 4.030% 08/15/06............................................. 3,061 1,070 Chase Manhattan Auto Owner Trust, Series 2002-A, Class A4, 4.240% 09/15/08............................................. 1,117 3,953 Chase Manhattan Auto Owner Trust, Series 2003-B, Class A4, 2.570% 02/16/10............................................. 3,954 2,000 Daimler Chrysler Auto Trust, Series 2001-C, Class A4, 4.630% 12/06/06............................................. 2,075 4,700 Daimler Chrysler Auto Trust, Series 2002-A, Class A4, 4.490% 10/06/08............................................. 4,916 5,000 Daimler Chrysler Auto Trust, Series 2003-A, Class A4, 2.880% 10/08/09............................................. 5,080 1,650 First Security Auto Owner Trust, Series 2000-1, Class B, 7.700% 12/17/07............................................. 1,671 1,725 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 5.180% 10/16/06............................................. 1,827 4,000 Ford Credit Auto Owner Trust, Series 2002-C, Class A4, 3.790% 09/15/06............................................. 4,148 2,000 Ford Credit Auto Owner Trust, Series 2003-B, Class A3B, 1.170%** 01/15/07........................................... 2,000 1,500 Harley-Davidson Motorcycle Trust, Series 2002-2, Class A2, 3.090% 06/15/10............................................. 1,537 2,008 Honda Auto Receivables Owner Trust, Series 2000-1, Class A4, 6.670% 01/16/06............................................. 2,021
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ASSET-BACKED -- AUTO LOANS -- (CONTINUED) $ 4,000 Honda Auto Receivables Owner Trust, Series 2002-2, Class A3, 3.830% 02/15/06............................................. $ 4,057 3,000 Honda Auto Receivables Owner Trust, Series 2003-1, Class A3, 1.920% 11/20/06............................................. 3,019 4,000 Household Automotive Trust, Series 2002-2, Class A3, 2.850% 03/19/07............................................. 4,048 1,431 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-1, Class A4, 5.340% 12/15/05............................................. 1,461 767 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-2, Class B, 5.750% 06/15/07............................................. 781 3,300 Nissan Auto Receivables Owner Trust, Series 2002-A, Class A4, 4.280% 10/16/06............................................. 3,423 3,000 Nissan Auto Receivables Owner Trust, Series 2002-C, Class A4, 3.330% 01/15/08............................................. 3,090 1,500 Nissan Auto Receivables Owner Trust, Series 2003-A, Class A4, 2.610% 07/15/08............................................. 1,515 3,000 Nissan Auto Receivables Owner Trust, Series 2003-B, Class A3, 1.510% 08/15/07............................................. 2,997 1,908 Onyx Acceptance Auto Trust, Series 2002-A, Class A3, 3.750% 04/15/06............................................. 1,930 4,000 Toyota Auto Receivables Owner Trust, Series 2003-A, Class A4, 2.200% 03/15/10............................................. 4,012 1,134 Union Acceptance Corporation, Series 1999-A, Class A5, 5.870% 09/08/06............................................. 1,135 2,000 USAA Auto Owner Trust, Series 2001-2, Class A4, 3.910% 04/16/07............................................. 2,049 3,422 World Omni Auto Receivables Trust, Series 2001-B, Class A3, 3.790% 11/20/05............................................. 3,456 ---------- 86,465 ---------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 4.3% 2,500 American Express Credit Account Master Trust, Series 1999-1, Class A, 5.600% 11/15/06............................................. 2,559 1,000 American Express Credit Account Master Trust, Series 1999-1, Class B, 5.850% 11/15/06............................................. 1,024
SEE NOTES TO FINANCIAL STATEMENTS. 3 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- (CONTINUED) $ 4,000 American Express Credit Account Master Trust, Series 1999-2, Class A, 5.950% 12/15/06............................................. $ 4,118 4,052 American Express Credit Account Master, Series 2003-4, Class A, 1.690% 01/15/09............................................. 3,996 2,000 Capital One Master Trust, Series 2001-7A, Class A, 3.850% 08/15/07............................................. 2,049 1,500 Chase Credit Card Master Trust, Series 1996-4, Class B, 1.470%** 07/15/06........................................... 1,500 2,357 Chase Credit Card Master Trust, Series 2000-1, Class C, 1.850%** 06/15/07........................................... 2,365 1,250 Citibank Credit Card Issuance Trust, Series 2000-A1, Class A1, 6.900% 10/15/07............................................. 1,373 5,000 Citibank Credit Card Issuance Trust, Series 2001-A8, Class A8, 4.100% 12/07/06............................................. 5,160 5,000 Citibank Credit Card Issuance Trust, Series 2003-A5, Class A5, 2.500% 04/07/08............................................. 5,045 4,500 First USA Credit Card Master Trust, Series 1998-9, Class A, 5.280% 09/18/06............................................. 4,555 5,000 MBNA Credit Card Master Note Trust, Series 2001-C3, Class C3, 6.550% 12/15/08............................................. 5,404 3,000 MBNA Master Credit Card Trust, Series 1995-C, Class A, 6.450% 02/15/08............................................. 3,240 5,000 MBNA Master Credit Card Trust, Series 1999-G, Class A, 6.350% 12/15/06............................................. 5,203 ---------- 47,591 ---------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.3% 315 First Plus Home Loan Trust, Series 1998-2, Class M1, 7.220% 05/10/24............................................. 324 2,014 Residential Asset Mortgage Products, Inc., Series 2001-RZ3, Class A4, 6.130% 03/25/30............................................. 2,027 17 Residential Asset Securities Corporation, Series 2002-KS2, Class AI1, 1.260%** 11/25/17........................................... 17
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ASSET-BACKED -- HOME EQUITY LOANS -- (CONTINUED) $ 423 Saxon Asset Securities Trust, Series 1998-1, Class MF1, 7.050% 12/25/27............................................. $ 432 945 Saxon Asset Securities Trust, Series 2001-3, Class AF3, 4.490% 08/25/20............................................. 951 ---------- 3,751 ---------- ASSET-BACKED -- OTHER -- 1.0% 2,000 CIT Equipment Collateral, Series 2002-VT1, Class A4, 4.670% 12/21/09............................................. 2,078 781 CIT Equipment Collateral, Series 2002-VT1, Class B, 3.970% 12/21/09............................................. 792 5,227 Connecticut RRB Special Purpose Trust CL&P-1, Series 2001-1, Class A2, 5.360% 03/30/07............................................. 5,406 2,252 PSE&G Transition Funding LLC, Series 2001-1, Class A2, 5.740% 03/15/07............................................. 2,336 ---------- 10,612 ---------- TOTAL ASSET-BACKED SECURITIES (Cost $147,619)............................................. 148,419 ---------- CORPORATE BONDS AND NOTES -- 43.4% AEROSPACE AND DEFENSE -- 0.4% 4,060 Northrop Grumman Corporation, 7.000% 03/01/06............................................. 4,531 ---------- AUTOMOTIVE -- 1.2% 1,500 American Axle & Manufacturing, 9.750% 03/01/09............................................. 1,614 849 Delphi Corporation, 6.125% 05/01/04............................................. 865 4,000 Ford Motor Credit Company, 6.700% 07/16/04............................................. 4,137 3,900 General Motors Acceptance Corporation, MTN, 6.380% 01/30/04............................................. 3,961 1,500 Lear Corporation, Series B, 7.960% 05/15/05............................................. 1,613 1,030 Toyota Motor Credit Corporation, 5.625% 11/13/03............................................. 1,035 ---------- 13,225 ---------- BEVERAGES -- 0.0%+ 300 PepsiCo, Inc., 4.500% 09/15/04............................................. 309 ---------- BROADCASTING AND CABLE -- 1.9% 2,510 Comcast Cable Communications, Inc., 6.375% 01/30/06............................................. 2,727
SEE NOTES TO FINANCIAL STATEMENTS. 4 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- BROADCASTING AND CABLE -- (CONTINUED) $ 1,500 EchoStar DBS Corporation, 9.375% 02/01/09............................................. $ 1,599 2,750 Lenfest Communications, Inc., 8.375% 11/01/05............................................. 3,071 2,141 Time Warner Inc., 8.110% 08/15/06............................................. 2,442 3,000 Turner Broadcasting System, Inc., 7.400% 02/01/04............................................. 3,056 7,785 Viacom Inc., Class B, 6.400% 01/30/06............................................. 8,550 ---------- 21,445 ---------- BUILDING MATERIALS -- 0.2% 750 American Standard Inc., 7.375% 04/15/05............................................. 793 1,500 Nortek Holdings, Inc., Series B, 8.875% 08/01/08............................................. 1,553 ---------- 2,346 ---------- CHEMICALS -- BASIC -- 0.2% 2,500 Dow Chemical Company, 5.250% 05/14/04............................................. 2,545 ---------- CHEMICALS -- SPECIALTY -- 0.1% 1,500 Georgia Gulf Corporation, 10.375% 11/01/07(a)......................................... 1,584 ---------- COMMERCIAL BANKING -- 9.3% 8,700 Bank Of New York Company, Inc., MTN, Series E, 2.200% 05/12/06............................................. 8,752 9,920 Bank One Corporation, 6.500% 02/01/06............................................. 10,921 4,245 Citigroup Inc., 4.125% 06/30/05............................................. 4,423 8,000 Citigroup Inc., 6.750% 12/01/05............................................. 8,804 4,000 Citigroup Inc., 5.500% 08/09/06............................................. 4,344 1,100 FleetBoston Financial Corporation, 7.250% 09/15/05............................................. 1,214 6,086 J.P. Morgan Chase & Company, 6.500% 08/01/05............................................. 6,590 5,000 J.P. Morgan Chase & Company, 5.625% 08/15/06............................................. 5,445 1,980 Key Bank N.A., 4.100% 06/30/05............................................. 2,062 169 Mellon Funding Corporation, 6.000% 03/01/04............................................. 172 3,000 Regions Bank, 2.900% 12/15/06............................................. 3,047
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 1,520 SunTrust Banks, Inc., 6.125% 02/15/04............................................. $ 1,547 3,870 U.S. Bancorp, MTN, Series N, 2.625% 03/15/06............................................. 3,922 5,000 U.S. Bancorp, MTN, Series N, 2.750% 03/30/06............................................. 5,082 3,125 U.S. Bank, N.A., 5.625% 11/30/05............................................. 3,385 2,865 Wachovia Corporation, 6.625% 06/15/04............................................. 2,973 3,413 Wachovia Corporation, 6.800% 06/01/05(a).......................................... 3,699 5,245 Wachovia Corporation, 6.625% 07/15/05............................................. 5,688 5,000 Washington Mutual, Inc., 7.500% 08/15/06............................................. 5,677 4,070 Wells Fargo & Company, MTN, Series F, 6.500% 06/01/05............................................. 4,398 3,000 Wells Fargo and Company, 5.900% 05/21/06............................................. 3,290 305 Wells Fargo Financial, Inc., 7.200% 04/01/04............................................. 314 5,450 Wells Fargo Financial, Inc., 7.000% 11/01/05............................................. 6,021 ---------- 101,770 ---------- COMMERCIAL SERVICES -- 0.3% 1,500 Allied Waste North America, Inc., Series B, 7.375% 01/01/04(a).......................................... 1,511 2,000 World Color Press, Inc., 8.375% 11/15/08............................................. 2,115 ---------- 3,626 ---------- COMPUTER SERVICES -- 0.1% 1,500 Unisys Corporation, 7.875% 04/01/08............................................. 1,560 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 1.0% 10,000 International Business Machines Corporation (IBM), 4.875% 10/01/06(a).......................................... 10,762 ---------- CONSTRUCTION -- 0.2% 2,000 Standard Pacific Corporation, 8.500% 06/15/07............................................. 2,055 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 5 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CONSUMER CREDIT AND MORTGAGES -- 0.9% $ 2,144 Countrywide Home Loans, Inc., MTN, Series J, 5.250% 06/15/04............................................. $ 2,201 5,100 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06............................................. 5,495 2,000 Household Finance Corporation, MTN, 3.375% 02/21/06............................................. 2,054 ---------- 9,750 ---------- DEPARTMENT AND DISCOUNT STORES -- 1.4% 5,000 Wal-Mart Stores, Inc., 5.450% 08/01/06............................................. 5,450 10,000 Wal-Mart Stores, Inc., 4.375% 07/12/07............................................. 10,526 ---------- 15,976 ---------- DIVERSIFIED MANUFACTURING -- 0.1% 1,500 The Scotts Company, Class A, 8.625% 01/15/09............................................. 1,583 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.7% 5,000 Cinergy Corporation, 6.250% 09/01/04............................................. 5,195 233 Cms Energy Corporation, Series B, 6.750% 01/15/04............................................. 233 5,410 Fpl Group, Inc., 7.625% 09/15/06............................................. 6,172 3,000 Pepco Holdings, Inc., 3.750% 02/15/06............................................. 3,053 3,562 Virginia Electric and Power Company, Series A, 5.750% 03/31/06............................................. 3,862 ---------- 18,515 ---------- ELECTRIC POWER -- NUCLEAR -- 0.7% 2,300 Carolina Power & Light, 5.875% 01/15/04............................................. 2,330 2,000 Energy East Corporation, 7.750% 11/15/34............................................. 2,013 3,100 Pennsylvania Power Company, 6.375% 09/01/04............................................. 3,228 ---------- 7,571 ---------- EXPLORATION AND PRODUCTION -- 0.2% 1,000 Magnum Hunter Resources, Inc., 10.000% 06/01/07(a)......................................... 1,036 1,500 Nuevo Energy Company, Series B, 9.500% 06/01/08............................................. 1,577 ---------- 2,613 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- FINANCE -- MISCELLANEOUS -- 3.3% $ 4,000 American General Finance Corporation, MTN, Series F, 5.910% 06/12/06............................................. $ 4,361 7,125 American General Finance Corporation, MTN, Series F, 5.875% 07/14/06............................................. 7,785 1,700 Aristar, Inc., 7.375% 09/01/04............................................. 1,792 5,000 General Electric Capital Corporation, MTN, Series A, 5.350% 03/30/06............................................. 5,390 11,000 General Electric Capital Corporation, MTN, Series A, 6.500% 12/10/07............................................. 12,477 4,000 National Rural Utilities Cooperative Finance Corporation, 6.000% 05/15/06............................................. 4,376 ---------- 36,181 ---------- FOOD AND DRUG STORES -- 0.6% 3,000 Fred Meyer, Inc., 7.375% 03/01/05............................................. 3,216 3,000 Safeway Inc., 6.850% 09/15/04............................................. 3,140 ---------- 6,356 ---------- FOOD PRODUCTS -- 1.5% 5,410 ConAgra Foods, Inc., 6.000% 09/15/06............................................. 5,947 1,870 Dean Foods Company, 6.750% 06/15/05............................................. 1,935 5,710 General Mills, Inc., 5.125% 02/15/07............................................. 6,144 1,900 Kellogg Company, Series B, 6.000% 04/01/06............................................. 2,083 ---------- 16,109 ---------- HEALTH SERVICES -- 0.6% 5,904 Cardinal Health, Inc., 6.000% 01/15/06............................................. 6,424 ---------- HEAVY MACHINERY -- 0.4% 1,000 Case Corporation, Series B, 6.250% 12/01/03............................................. 1,000 3,000 Caterpillar Financial Services Corporation, 6.875% 08/01/04............................................. 3,136 ---------- 4,136 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 6 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- --HOUSEHOLD PRODUCTS -- 0.6% $ 3,000 Colgate-Palmolive Company, MTN, Series C, 5.270% 12/01/03............................................. $ 3,020 3,300 The Gillette Company, 3.750% 12/01/04@............................................ 3,390 ---------- 6,410 ---------- HOUSING AND FURNISHING -- 0.3% 1,500 D.R. Horton, Inc., 10.500% 04/01/05............................................ 1,639 1,500 Ryland Group, Inc., 8.000% 08/15/06............................................. 1,607 ---------- 3,246 ---------- INSURANCE -- 1.1% 1,500 Allstate Financial Global Funding, 6.150% 02/01/06+().......................................... 1,641 3,000 American International Group, Inc., MTN, Series F, 2.850% 12/01/05............................................. 3,067 245 Marsh & McLennan Companies, Inc., 6.625% 06/15/04............................................. 254 4,000 Monumental Global Funding II, 6.950% 10/01/03@............................................ 4,000 2,000 New York Life Insurance Company, 6.400% 12/15/03@............................................ 2,021 699 The Hartford Financial Services Group, Inc., 2.375% 06/01/06............................................. 697 ---------- 11,680 ---------- INTEGRATED OIL -- 0.9% 4,000 Union Oil Company of California, 6.375% 02/01/04............................................. 4,050 5,550 USX Corporation, 6.850% 03/01/08............................................. 6,309 ---------- 10,359 ---------- INVESTMENT SERVICES -- 6.1% 8,500 Bear Sterns Companies Inc., 3.000% 03/30/06............................................. 8,696 4,000 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. 4,371 12,000 Goldman Sachs Group, Inc., 4.125% 01/15/08............................................. 12,413 3,000 Lehman Brothers Holdings Inc., 6.625% 04/01/04............................................. 3,080 7,000 Lehman Brothers Holdings Inc., 6.625% 02/05/06............................................. 7,692 5,000 Lehman Brothers Holdings Inc., 6.250% 05/15/06............................................. 5,514 295 Merrill Lynch & Company, Inc., MTN, Series B, 6.180% 04/20/04............................................. 303 5,000 Merrill Lynch & Company, Inc., MTN, Series B, 2.940% 01/30/06............................................. 5,080 5,000 Merrill Lynch & Company, Inc., MTN, Series B, 2.470% 03/10/06............................................. 5,032
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- INVESTMENT SERVICES -- (CONTINUED) $ 5,000 Merrill Lynch & Company, Inc., MTN, Series B, 2.070% 06/12/06............................................. $ 4,969 9,000 Morgan Stanley, 6.100% 04/15/06............................................. 9,830 ---------- 66,980 ---------- LODGING AND RECREATION -- 0.5% 1,000 Boyd Gaming Corporation, 9.250% 10/01/03............................................. 1,000 1,500 ITT Corporation, 6.750% 11/15/05............................................. 1,581 1,500 Mirage Resorts, Inc., 7.250% 10/15/06............................................. 1,601 1,000 Station Casinos Inc., 8.875% 12/01/08............................................. 1,045 ---------- 5,227 ---------- MEDICAL DEVICES AND SUPPLIES -- 0.7% 2,120 Abbott Laboratories, 5.125% 07/01/04............................................. 2,180 5,000 Abbott Laboratories, 5.625% 07/01/06............................................. 5,467 ---------- 7,647 ---------- METALS AND MINING -- 0.6% 1,700 Alcoa Inc., 7.250% 08/01/05............................................. 1,869 4,485 Alcoa Inc., Series B, 6.125% 06/15/05............................................. 4,821 ---------- 6,690 ---------- NATURAL GAS DISTRIBUTION -- 0.5% 3,000 Centerpoint Energy Bank Loan, 3.485%*** 11/11/05.......................................... 3,450 2,000 KeySpan Corporation, 7.250% 11/15/05............................................. 2,215 ---------- 5,665 ---------- NATURAL GAS PIPELINES -- 0.7% 1,500 EL Paso CGP Company, 6.200% 05/15/04............................................. 1,493 1,500 EL Paso Corporation, 6.750% 11/15/03(a).......................................... 1,500 1,820 Kinder Morgan, Inc., 6.650% 03/01/05............................................. 1,940 1,500 The Williams Companies, Inc., 9.250% 03/15/04............................................. 1,530 1,500 Utilicorp United Inc., 7.000% 07/15/04............................................. 1,493 ---------- 7,956 ---------- PACKAGING AND CONTAINERS -- 0.1% 1,500 Owens-Illinois, Inc., 7.150% 05/15/05............................................. 1,534 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 7 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- PAPER AND FOREST PRODUCTS -- 0.2% $ 1,500 Fort James Corporation, 6.625% 09/15/04............................................. $ 1,537 750 Louisiana-Pacific Corporation, 8.500% 08/15/05............................................. 814 ---------- 2,351 ---------- PUBLISHING AND ADVERTISING -- 0.5% 4,000 Gannett Company, Inc., 4.950% 04/01/05............................................. 4,197 1,000 Reed Elsevier Capital Inc., MTN, 7.000% 05/15/05............................................. 1,079 ---------- 5,276 ---------- RAILROADS, TRUCKING AND SHIPPING -- 0.4% 4,603 FedEx Corporation, 6.625% 02/12/04............................................. 4,687 ---------- REAL ESTATE -- 0.3% 3,500 EOP Operating LP, 6.625% 02/15/05............................................. 3,716 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.2% 2,156 Health Care Property Investors, Inc., MTN, Series D, 7.480% 04/05/04............................................. 2,203 ---------- SEMICONDUCTORS -- 0.2% 1,500 Fairchild Semiconductor Corporation, Class A, 10.500% 02/01/09............................................ 1,669 ---------- SPECIALTY STORES -- 1.0% 250 Home Depot Inc., 6.500% 09/15/04............................................. 262 9,600 Home Depot, Inc., 5.375% 04/01/06............................................. 10,377 ---------- 10,639 ---------- TELECOMMUNICATIONS SERVICES -- 2.2% 4,000 New York Telephone Company, 6.500% 03/01/05............................................. 4,277 1,500 Nextel Communications, Inc., Class A, 9.750% 10/31/07............................................. 1,545 3,000 Pacific Bell, 6.250% 03/01/05............................................. 3,192 3,000 SBC Communications Inc., 5.750% 05/02/06............................................. 3,269
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 5,000 Sprint Capital Corporation, 7.900% 03/15/05............................................. $ 5,400 6,250 Verizon Global Funding Corporation, 6.750% 12/01/05(a).......................................... 6,886 ---------- 24,569 ---------- TOTAL CORPORATE BONDS AND NOTES (Cost $475,536)............................................. 479,476 ---------- FOREIGN BONDS AND NOTES -- 2.9% BEVERAGES -- 0.5% 5,000 Diageo Capital plc, 3.500% 11/19/07............................................. 5,090 ---------- BUILDING MATERIALS -- 0.1% 1,313 Hanson Overseas BV, 6.750% 09/15/05............................................. 1,421 ---------- CHEMICALS -- SPECIALTY -- 0.1% 1,500 Methanex Corporation, 7.750% 08/15/05............................................. 1,560 ---------- COMMERCIAL BANKING -- 0.2% 1,840 Korea Development Bank, 7.125% 04/22/04............................................. 1,898 ---------- FINANCE -- MISCELLANEOUS -- 0.3% 3,000 BP Capital Markets plc, 4.000% 04/29/05............................................. 3,123 650 Pemex Finance Ltd., 6.550% 02/15/08............................................. 703 ---------- 3,826 ---------- FOOD PRODUCTS -- 1.1% 10,050 Unilever Capital Corporation, 6.875% 11/01/05............................................. 11,057 ---------- INSURANCE -- 0.1% 1,000 Fairfax Financial Holdings Limited, 7.750% 12/15/03(a).......................................... 1,005 ---------- PAPER AND FOREST PRODUCTS -- 0.1% 1,500 Stone Container Corporation, 11.500% 08/15/06@........................................... 1,592 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 8 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- 0.4% $ 2,000 Deutsche Telekom International Finance BV, 8.250%** 06/15/05........................................... $ 2,203 2,000 Telus Corporation, 7.500% 06/01/07............................................. 2,249 ---------- 4,452 ---------- TOTAL FOREIGN BONDS AND NOTES (Cost $31,372).............................................. 31,901 ---------- MORTGAGE-BACKED SECURITIES -- 2.5% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.4% 4,000 Chase Manhattan Auto Owner Trust, Series 2003-A, Class A3, 1.520% 05/15/07............................................. 3,995 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 1.4% 15,000 2.875% 09/15/05(a).......................................... 15,359 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 0.5% 73 6.000% 11/01/03-11/01/04.................................... 74 23 6.500% 08/01/04............................................. 23 4,850 2.250% 05/15/06(a).......................................... 4,883 179 7.500% 11/01/09............................................. 188 ---------- 5,168 ---------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 0.2% 2,435 4.375%** 04/20/22........................................... 2,495 ---------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $26,907).............................................. 27,017 ---------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- 1.0% 3,000 Province of New Brunswick, 7.625% 06/29/04............................................. 3,141 3,368 Quebec (Province of), 5.500% 04/11/06(a).......................................... 3,647 4,000 Republic of Italy, 7.250% 02/07/05............................................. 4,298 ---------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $10,712).............................................. 11,086 ---------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 22.6% FEDERAL FARM CREDIT BANK (FFCB) -- 4.3% 100 5.125% 01/29/04............................................. 101 350 3.875% 02/01/05............................................. 361
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- FEDERAL FARM CREDIT BANK (FFCB) -- (CONTINUED) $ 10,000 2.625% 12/15/05............................................. $ 10,195 11,000 2.500% 03/15/06(a).......................................... 11,167 25,000 2.375% 10/02/06............................................. 25,133 ---------- 46,957 ---------- FEDERAL HOME LOAN BANK (FHLB) -- 10.6% 5,000 3.750% 02/13/04............................................. 5,048 75,000 3.375% 06/15/04##........................................... 76,168 15,000 1.500% 05/13/05(a).......................................... 14,997 4,655 4.125% 05/13/05............................................. 4,848 4,000 1.750% 08/15/05............................................. 4,012 6,000 2.500% 03/15/06(a).......................................... 6,080 6,000 2.875% 09/15/06(a).......................................... 6,113 ---------- 117,266 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 3.9% 171 6.775% 11/01/03............................................. 171 1,000 5.000% 05/15/04............................................. 1,024 10,000 1.875% 01/15/05(a).......................................... 10,069 5,000 6.875% 01/15/05............................................. 5,353 7,000 3.875% 02/15/05............................................. 7,241 10,000 1.500% 08/15/05(a).......................................... 9,996 3,000 2.750% 08/15/06............................................. 3,048 6,000 4.875% 03/15/07............................................. 6,474 ---------- 43,376 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 2.7% 10,000 5.625% 05/14/04............................................. 10,274 10,000 2.875% 10/15/05(a).......................................... 10,247 8,000 6.000% 12/15/05(a).......................................... 8,741 ---------- 29,262 ---------- STUDENT LOAN MARKETING ASSOCIATION (SLMA) -- 1.1% 9,750 2.000% 03/15/05............................................. 9,828 2,075 5.250% 03/15/06(a).......................................... 2,243 ---------- 12,071 ---------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $247,120)............................................. 248,932 ---------- U.S. TREASURY OBLIGATIONS -- 10.8% U.S. TREASURY NOTES -- 10.1% 110,000 2.000% 08/31/05(a).......................................... 111,186 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS FUNDS Nations Short-Term Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- --U.S. TREASURY STRIPS -- 0.7% $ 8,000 Principal only, 1.037%*** 08/15/04(a)....................................... $ 7,928 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $117,837)............................................. 119,114 ---------- SHARES (000) - -------- --INVESTMENT COMPANIES -- 22.8% (Cost $251,000) 251,000 Nations Cash Reserves, Capital Class Shares#.................. 251,000 ---------- TOTAL INVESTMENTS (Cost $1,308,103*)................................ 119.5% 1,316,945 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. (19.5)% Cash.......................................................... $ 4,406 Unrealized appreciation on forward foreign exchange contracts................................................... 215 Receivable for Fund shares sold............................... 2,338 Dividends receivable.......................................... 21 Interest receivable........................................... 9,927 Receivable from investment advisor............................ 55 Unrealized appreciation on swap contracts..................... 228 Unrealized depreciation on forward foreign exchange contracts................................................... (223) Unrealized depreciation on swap contracts..................... (204) Variation margin/due to broker................................ (240) Collateral on securities loaned............................... (193,704) Payable for Fund shares redeemed.............................. (5,099) Investment advisory fee payable............................... (179) Administration fee payable.................................... (197) Shareholder servicing and distribution fees payable........... (67) Distributions payable......................................... (1,566) Payable for investment securities purchased................... (29,866) Accrued Trustees' fees and expenses........................... (55) Accrued expenses and other liabilities........................ (282) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (214,492) ---------- NET ASSETS.......................................... 100.0% $1,102,453 ========== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 55 Accumulated net realized gain on investments sold, swaps, currency contracts and futures contracts.................... 918 Net unrealized appreciation of investments, swaps, currency contracts and futures contracts............................. 7,800 Paid-in capital............................................... 1,093,680 ---------- NET ASSETS.................................................... $1,102,453 ==========
VALUE - ---------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($922,177,292 / 91,912,630 shares outstanding).............. $10.03 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($134,619,904 / 13,397,265 shares outstanding).............................. $10.05 ========== Maximum sales charge.......................................... 1.00% Maximum offering price per share.............................. $10.15 INVESTOR B SHARES: Net asset value and offering price per share& ($1,916,081 / 190,843 shares outstanding)................... $10.04 ========== INVESTOR C SHARES: Net asset value and offering price per share& ($43,740,169 / 4,355,691 shares outstanding)................ $10.04 ==========
- --------------- * Federal income tax information (see Note 12). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. ***Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. @ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. + Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $193,704. ##All or a portion of security segregated as collateral for swaps and futures contracts. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $187,932 and $189,550, respectively. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS FUNDS Nations Short-Intermediate Government Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 2.8% ASSET-BACKED -- AUTO LOANS -- 1.9% $ 5,470 Capital Auto Receivables Asset Trust, Series 2001-2, Class A4, 5.000% 12/15/06............................................. $ 5,612 3,179 Onyx Acceptance Auto Trust, Series 2002-A, Class A3, 3.750% 04/15/06............................................. 3,216 --------- 8,828 --------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 0.3% 1,150 Chase Credit Card Master Trust, Series 1996-4, Class B, 1.470%** 07/15/06........................................... 1,150 --------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.6% 1,948 First Alliance Mortgage Loan Trust, Series 1996-2, Class A3, 8.225% 09/20/27............................................. 1,947 982 Oakwood Mortgage Investors Inc., Series 2002-B, Class A1, 1.350%** 05/15/13........................................... 974 7 Residential Asset Securities Corporation, Series 2002-KS2, Class AI1, 1.260%** 11/25/17........................................... 7 --------- 2,928 --------- TOTAL ASSET-BACKED SECURITIES (Cost $12,874).............................................. 12,906 --------- MORTGAGE-BACKED SECURITIES -- 7.0% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 2.4% 1,693 Freddie Mac, Series 2420, Class EC, 6.500% 03/15/30............................................. 1,716 2,420 Freddie Mac, Series 2434, Class PN, 6.500% 05/15/29............................................. 2,457 940 Freddie Mac, Series 2458, Class PC, 6.500% 02/15/26............................................. 941 17,157 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.113%** 12/15/30........................................... 667 4,150 PNC Mortgage Acceptance Corporation, Series 2001-C1, Class A1, 5.910% 03/12/34............................................. 4,509 814 Salomon Brothers Mortgage Securities VII, Series 2002-CDCA, Class A1, 1.400%** 11/15/13+()........................................ 814 --------- 11,104 ---------
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 3.2% $ 10,900 5.000% 01/15/07(a).......................................... $ 11,801 500 4.625% 10/15/13(a).......................................... 505 1,638 9.000% 04/01/16............................................. 1,796 --------- 14,102 --------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 1.4% 3,727 4.375%** 04/20/22........................................... 3,819 2,630 3.500%** 06/20/29........................................... 2,663 --------- 6,482 --------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $30,399).............................................. 31,688 --------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 29.7% FEDERAL FARM CREDIT BANK (FFCB) -- 3.3% 3,000 2.500% 11/15/05............................................. 3,051 3,500 2.500% 03/15/06(a).......................................... 3,553 8,000 4.900% 03/21/06............................................. 8,583 --------- 15,187 --------- FEDERAL HOME LOAN BANK (FHLB) -- 5.8% 4,100 3.375% 06/15/04............................................. 4,164 2,000 2.125% 12/15/04............................................. 2,019 1,500 1.500% 05/13/05(a).......................................... 1,500 2,250 4.875% 05/15/07............................................. 2,423 3,000 5.800% 09/02/08............................................. 3,364 7,500 4.500% 11/15/12(a).......................................... 7,569 5,500 3.875% 06/14/13(a).......................................... 5,267 --------- 26,306 --------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 3.5% 115 6.775% 11/01/03............................................. 115 4,000 3.875% 02/15/05............................................. 4,138 1,250 4.875% 03/15/07............................................. 1,349 6,100 5.750% 03/15/09(a).......................................... 6,819 2,750 6.750% 03/15/31............................................. 3,264 --------- 15,685 --------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 16.9% 16,100 7.000% 07/15/05(a).......................................... 17,658 11,500 2.875% 10/15/05(a).......................................... 11,784 20,200 5.250% 06/15/06-01/15/09(a)................................. 22,089 10,000 6.625% 11/15/10(a).......................................... 11,696 2,000 5.375% 11/15/11(a).......................................... 2,172 4,000 6.125% 03/15/12............................................. 4,544 4,500 7.250% 05/15/30(a).......................................... 5,628 800 6.625% 11/15/30............................................. 937 --------- 76,508 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations Short-Intermediate Government Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- TENNESSEE VALLEY AUTHORITY -- 0.2% $ 1,000 4.700% 07/15/33............................................. $ 901 --------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $131,780)............................................. 134,587 --------- U.S. TREASURY OBLIGATIONS -- 56.9% U.S. TREASURY NOTES -- 25.3% 5,000 3.375% 04/30/04(a).......................................... 5,068 16,000 2.875% 06/30/04##........................................... 16,220 5,000 2.250% 07/31/04(a).......................................... 5,049 28,000 2.125% 10/31/04##........................................... 28,313 4,000 1.750% 12/31/04##........................................... 4,031 5,000 1.250% 05/31/05(a).......................................... 4,997 15,000 2.000% 08/31/05(a).......................................... 15,162 29,450 4.625% 05/15/06(a).......................................... 31,607 3,900 7.000% 07/15/06(a).......................................... 4,443 --------- 114,890 --------- U.S. TREASURY STRIPS -- 31.6% 19,500 Interest only, 4.389%*** 11/15/13##........................................ 12,564 4,000 Principal only, 1.168%*** 05/15/05(a)....................................... 3,925 23,000 Principal only, 1.438%*** 08/15/05(a)....................................... 22,390 63,000 Principal only, 2.047%*** 11/15/06(a)....................................... 59,115 44,000 Principal only, 2.938%*** 11/15/08##........................................ 37,890 14,000 TIGR Receipts, 4.939%*** 05/15/17.......................................... 7,202 --------- 143,086 --------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $254,761)............................................. 257,976 --------- SHARES VALUE (000) (000) - --------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 41.9% (Cost $190,356) 190,356 Nations Cash Reserves, Capital Class Shares#.................. $ 190,356 --------- TOTAL INVESTMENTS (Cost $620,170*).................................. 138.3% 627,513 --------- OTHER ASSETS AND LIABILITIES (NET)................................. (38.3)% Cash.......................................................... $ 28 Receivable for investment securities sold..................... 3,864 Receivable for Fund shares sold............................... 1,585 Dividends receivable.......................................... 15 Interest receivable........................................... 3,489 Receivable from investment advisor............................ 78 Unrealized appreciation on swap contracts..................... 1,603 Unrealized depreciation on swap contracts..................... (62) Variation margin/due to broker................................ (304) Collateral on securities loaned............................... (160,286) Payable for Fund shares redeemed.............................. (1,442) Investment advisory fee payable............................... (111) Administration fee payable.................................... (81) Shareholder servicing and distribution fees payable........... (44) Distributions payable......................................... (810) Payable for investment securities purchased................... (20,840) Accrued Trustees' fees and expenses........................... (73) Accrued expenses and other liabilities........................ (300) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (173,691) --------- NET ASSETS.......................................... 100.0% $ 453,822 ========= NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 87 Accumulated net realized gain on investments sold, swaps, futures contracts and options....................................... 1,159 Net unrealized appreciation of investments, swaps and futures contracts................................................... 9,389 Paid-in capital............................................... 443,187 --------- NET ASSETS.................................................... $ 453,822 =========
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations Short-Intermediate Government Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - --------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($368,795,352 / 85,835,457 shares outstanding).............. $4.30 ========= INVESTOR A SHARES: Net asset value and redemption price per share ($43,244,681 / 10,072,907 shares outstanding)............................ $4.29 ========= Maximum sales charge.......................................... 3.25% Maximum offering price per share.............................. $4.43 INVESTOR B SHARES: Net asset value and offering price per share& ($32,532,185 / 7,571,356 shares outstanding)............................. $4.30 ========= INVESTOR C SHARES: Net asset value and offering price per share& ($9,250,189 / 2,156,523 shares outstanding)............................. $4.29 =========
- --------------- * Federal income tax information (see Note 12). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. @Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $160,286. ##All or a portion of security segregated as collateral for swaps and futures contracts. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $152,774 and $156,155, respectively. ABBREVIATIONS: TIGR -- Treasury Investor Growth Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Nations Government Securities Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 3.3% ASSET-BACKED -- AUTO LOANS -- 1.8% $ 2,700 Capital Auto Receivables Asset Trust, Series 2001-2, Class A4, 5.000% 12/15/06............................................. $ 2,770 1,272 Onyx Acceptance Auto Trust, Series 2002-A, Class A3, 3.750% 04/15/06............................................. 1,286 -------- 4,056 -------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 0.3% 700 Chase Credit Card Master Trust, Series 1996-4, Class B, 1.470%** 07/15/06........................................... 700 -------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.8% 1,246 First Alliance Mortgage Loan Trust, Series 1996-2, Class A3, 8.225% 09/20/27............................................. 1,246 575 Oakwood Mortgage Investors Inc., Series 2002-B, Class A1, 1.350%** 05/15/13........................................... 570 11 Residential Asset Securities Corporation, Series 2002-KS2, Class AI1, 1.260%** 11/25/17........................................... 11 -------- 1,827 -------- ASSET-BACKED -- OTHER -- 0.4% 788 Export Funding Trust, Series 1995-A, Class A, 8.210% 12/29/06............................................. 864 -------- TOTAL ASSET-BACKED SECURITIES (Cost $7,363)............................................... 7,447 -------- MORTGAGE-BACKED SECURITIES -- 8.9% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 3.3% 848 Freddie Mac, Series 2420, Class EC, 6.500% 03/15/30............................................. 859 1,210 Freddie Mac, Series 2434, Class PN, 6.500% 05/15/29............................................. 1,229 471 Freddie Mac, Series 2458, Class PC, 6.500% 02/15/26............................................. 472 10,289 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.113%** 12/15/30........................................... 400 3,412 PNC Mortgage Acceptance Corporation, Series 2001-C1, Class A1, 5.910% 03/12/34............................................. 3,707 486 Salomon Brothers Mortgage Securities VII, Series 2002-CDCA, Class A1, 1.400%** 11/15/13+()........................................ 486
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- (CONTINUED) $ 20,353 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest only, 0.448%** 09/15/27(f)........................................ $ 218 20,804 Vendee Mortgage Trust, Series 1998-3, Class 1, Interest only, 0.307%** 03/15/29(f)........................................ 180 -------- 7,551 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 0.6% 104 10.000% 05/01/05-09/01/18................................... 109 466 8.500% 01/01/06-09/01/20.................................... 506 97 8.000% 08/01/07-09/01/09.................................... 104 13 7.500% 08/01/08............................................. 14 112 9.000% 05/01/09-12/01/16.................................... 122 521 9.500% 04/01/18-01/01/29.................................... 580 0++ 7.000% 08/01/29............................................. 0++ -------- 1,435 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 3.7% 259 10.000% 10/01/06-04/01/20................................... 277 16 8.250% 04/01/09............................................. 17 44 7.500% 06/01/09............................................. 46 33 8.000% 06/01/09............................................. 35 75 8.500% 12/01/11-02/01/17.................................... 80 5,019 6.565% 07/01/16............................................. 5,734 193 9.000% 12/01/16-09/01/24.................................... 212 1,595 9.500% 04/01/20-08/01/21.................................... 1,771 68 3.214%** 08/01/36........................................... 70 -------- 8,242 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 1.3% 17 9.500% 01/15/04-02/15/06.................................... 18 72 10.000% 03/15/04-11/15/20................................... 79 9 9.000% 06/15/07............................................. 10 64 7.000% 02/15/09-06/15/23.................................... 69 598 8.500% 10/15/09-02/20/29.................................... 654 131 6.000% 12/15/10............................................. 138 18 13.000% 02/15/11-04/15/11................................... 23 973 8.000% 11/15/14-07/15/29.................................... 1,059 38 11.000% 11/15/15-10/20/20................................... 42 110 10.500% 01/15/18-04/15/21................................... 125 783 7.500% 04/15/22-12/15/25.................................... 843 -------- 3,060 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $19,457).............................................. 20,288 --------
SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS Nations Government Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 28.8% FEDERAL FARM CREDIT BANK (FFCB) -- 2.0% $ 500 2.500% 11/15/05............................................. $ 509 4,000 2.500% 03/15/06(a).......................................... 4,060 -------- 4,569 -------- FEDERAL HOME LOAN BANK (FHLB) -- 4.6% 1,750 2.125% 12/15/04............................................. 1,767 1,500 5.125% 03/06/06............................................. 1,613 1,000 3.750% 08/15/07............................................. 1,036 2,500 5.800% 09/02/08............................................. 2,803 750 4.500% 11/15/12(a).......................................... 757 2,750 3.875% 06/14/13(a).......................................... 2,634 -------- 10,610 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 5.3% 71 6.775% 11/01/03............................................. 71 2,500 3.875% 02/15/05............................................. 2,586 1,250 5.750% 03/15/09............................................. 1,397 6,450 5.750% 01/15/12##........................................... 7,163 750 6.750% 03/15/31............................................. 890 -------- 12,107 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 15.3% 6,600 7.000% 07/15/05(a).......................................... 7,239 6,000 2.875% 10/15/05(a).......................................... 6,148 500 5.250% 06/15/06(a).......................................... 542 7,000 5.250% 01/15/09##........................................... 7,663 3,000 6.625% 11/15/10(a).......................................... 3,509 600 4.375% 09/15/12(a).......................................... 604 1,500 7.250% 05/15/30(a).......................................... 1,876 6,300 6.625% 11/15/30##........................................... 7,382 -------- 34,963 -------- STUDENT LOAN MARKETING ASSOCIATION (SLMA) -- 1.3% 2,750 5.250% 03/15/06(a).......................................... 2,972 -------- TENNESSEE VALLEY AUTHORITY -- 0.3% 650 4.700% 07/15/33............................................. 586 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $63,501).............................................. 65,807 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 54.2% U.S. TREASURY NOTES -- 21.2% $ 13,000 2.125% 10/31/04##........................................... $ 13,145 8,000 1.750% 12/31/04##........................................... 8,061 25,300 4.625% 05/15/06(a).......................................... 27,154 -------- 48,360 -------- U.S. TREASURY STRIPS -- 33.0% 21,000 Interest only, 4.389%*** 11/15/13##........................................ 13,531 1,500 Interest only, 5.419%*** 05/15/23.......................................... 525 500 Principal only, 1.168%*** 05/15/05.......................................... 491 9,450 Principal only, 1.438%*** 08/15/05##........................................ 9,200 22,000 Principal only, 2.047%*** 11/15/06(a)....................................... 20,642 21,000 Principal only, 2.938%*** 11/15/08##........................................ 18,084 5,000 Principal only, 5.369%*** 08/15/29.......................................... 1,269 6,000 TIGR Receipts, 2.668%*** 02/15/08(a)....................................... 5,343 12,000 TIGR Receipts, 4.939%*** 05/15/17.......................................... 6,173 -------- 75,258 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $121,662)............................................. 123,618 -------- SHORT TERM INVESTMENTS -- 1.7% (Cost $3,991) FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.7% 4,000 Discount note 11/26/03...................................... 3,994 --------
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS Nations Government Securities Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
SHARES VALUE (000) (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 34.0% (Cost $77,725) 77,725 Nations Cash Reserves, Capital Class Shares#.................. $ 77,725 -------- TOTAL INVESTMENTS (Cost $293,699*).................................. 130.9% 298,879 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (30.9)% Cash.......................................................... $ 28 Receivable for investment securities sold..................... 5,426 Receivable for Fund shares sold............................... 271 Dividends receivable.......................................... 9 Interest receivable........................................... 1,896 Receivable from investment advisor............................ 1 Receivable for variation margin............................... 165 Unrealized appreciation on swap contracts..................... 854 Unrealized depreciation on swap contracts..................... (32) Collateral on securities loaned............................... (61,559) Payable for Fund shares redeemed.............................. (364) Investment advisory fee payable............................... (74) Administration fee payable.................................... (31) Shareholder servicing and distribution fees payable........... (56) Distributions payable......................................... (345) Payable for investment securities purchased................... (16,497) Accrued Trustees' fees and expenses........................... (68) Accrued expenses and other liabilities........................ (229) TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (70,605) -------- NET ASSETS.......................................... 100.0% $228,274 ======== NET ASSETS CONSIST OF: Distributions in excess of net investment income.............. $ (333) Accumulated net realized loss on investments sold, swaps, futures contracts and options............................... (3,824) Net unrealized appreciation of investments, swaps and futures contracts................................................... 7,569 Paid-in capital............................................... 224,862 -------- NET ASSETS.................................................... $228,274 ========
VALUE - -------------------------------------------------------------------------------------- - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($118,407,220 / 11,056,768 shares outstanding).............. $10.71 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($55,560,587 / 5,195,417 shares outstanding)................ $10.69 ======== Maximum sales charge.......................................... 4.75% Maximum offering price per share.............................. $11.22 INVESTOR B SHARES: Net asset value and offering price per share& ($52,057,965 / 4,860,897 shares outstanding)................ $10.71 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($2,248,013 / 210,519 shares outstanding)................... $10.68 ========
- --------------- * Federal income tax information (see Note 12). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. @ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. ++Amount represents less than $500 principal amount and/or $500. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $61,559. ##All or a portion of security segregated as collateral for swaps and futures contracts. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $59,143 and $59,886, respectively. (f) Restricted security. ABBREVIATIONS: TIGR -- Treasury Investor Growth Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS Nations Intermediate Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 100.1% Investment in Nations Master Investment Trust, Intermediate Bond Master Portfolio*...................................... $736,462 -------- TOTAL INVESTMENTS................................... 100.1% 736,462 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (0.1)% Receivable for Fund shares sold............................... $ 1,243 Payable for Fund shares redeemed.............................. (1,397) Administration fee payable.................................... (102) Shareholder servicing and distribution fees payable........... (23) Accrued Trustees' fees and expenses........................... (48) Accrued expenses and other liabilities........................ (117) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (444) -------- NET ASSETS.......................................... 100.0% $736,018 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 376 Accumulated net realized gain on investments sold............. 8,637 Net unrealized appreciation of investments.................... 21,519 Paid-in capital............................................... 705,486 -------- NET ASSETS.................................................... $736,018 ======== PRIMARY A SHARES: Net asset value, offering and redemption price per share ($684,454,819 / 68,521,759 shares outstanding).............. $9.99 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($31,720,394 / 3,165,991 shares outstanding)................ $10.02 ======== Maximum sales charge.......................................... 3.25% Maximum offering price per share.............................. $10.36 INVESTOR B SHARES: Net asset value and offering price per share& ($13,590,190 / 1,363,064 shares outstanding)................ $9.97 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($6,252,583 / 563,444 shares outstanding)................... $11.10 ========
- --------------- *The financial statements of the Intermediate Bond Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the Intermediate Bond Fund's financial statements. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 10.8% ASSET-BACKED -- AUTO LOANS -- 3.2% $ 2,505 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08............................................. $ 2,598 3,000 Americredit Automobile Receivables Trust, Series 2003-AM, Class A2A, 1.670% 10/06/06............................................. 3,001 5,631 ANRC Auto Owner Trust, Series 2001-A, Class A3, 3.760% 10/17/05............................................. 5,664 4,000 BMW Vehicle Owner Trust, Series 2003-A, Class A3, 1.940% 02/25/07............................................. 4,025 3,056 Capital Auto Receivables Asset Trust, Series 2002-2, Class CTFS, 4.180% 10/15/07............................................. 3,128 2,500 Capital Auto Receivables Asset Trust, Series 2003-2, Class A2B, 1.140%** 05/16/05........................................... 2,499 2,500 Capital Auto Receivables Asset Trust, Series 2003-2, Class B, 1.400%** 01/15/09........................................... 2,499 5,000 Capital Auto Receivables Asset Trust, Series 2003-3, Class A1B, 1.170% 01/16/06............................................. 4,999 3,000 Daimler Chrysler Auto Trust, Series 2003-A, Class A2, 1.520% 12/08/05............................................. 3,006 3,350 First Security Auto Owner Trust, Series 2000-1, Class B, 7.700% 12/17/07............................................. 3,393 6,610 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 5.180% 10/16/06............................................. 7,000 8,000 Ford Credit Auto Owner Trust, Series 2003-B, Class A3B, 1.170%** 01/15/07........................................... 8,000 892 Harley-Davidson Motorcycle Trust, Series 2003-2, Class B, 1.890% 02/15/11............................................. 893 2,478 Harley-Davidson Motorcycle Trust, Series 2003-s, Class A1, 1.340% 01/15/08............................................. 2,478 3,425 Honda Auto Receivables Owner Trust, Series 2002-3, Class A3, 3.000% 05/18/06............................................. 3,475 3,000 Honda Auto Receivables Owner Trust, Series 2003-1, Class A3, 1.920% 11/20/06............................................. 3,019 4,000 Honda Auto Receivables Owner Trust, Series 2003-2, Class A3, 1.690% 02/21/07............................................. 4,006 668 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-1, Class A4, 5.340% 12/15/05............................................. 682
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ASSET-BACKED -- AUTO LOANS -- (CONTINUED) $ 530 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-2, Class B, 5.750% 06/15/07............................................. $ 540 1,400 Nissan Auto Receivables Owner Trust, Series 2003-A, Class A2, 1.450% 05/16/05............................................. 1,401 5,000 Nissan Auto Receivables Owner Trust, Series 2003-B, Class A2, 1.200% 11/15/05............................................. 4,995 5,000 Toyota Auto Receivables Owner Trust, Series 2003-A, Class A2, 1.280% 08/15/05............................................. 4,997 ---------- 76,298 ---------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 3.8% 2,089 Bank One Issuance Trust, Series 2002-A4, Class A4, 2.940% 06/16/08............................................. 2,135 4,250 Bank One Issuance Trust, Series 2003-B2, Class B2, 1.350%** 02/17/09........................................... 4,248 4,450 Capital One Master Trust, Series 2002-3A, Class B, 4.550% 02/15/08............................................. 4,597 5,750 Chase Credit Card Master Trust, Series 1996-4, Class B, 1.470%** 07/15/06........................................... 5,752 13,000 Chase Credit Card Master Trust, Series 2000-1, Class C, 1.850%** 06/15/07........................................... 13,043 5,000 Chase Credit Card Master Trust, Series 2001-3, Class B, 1.460%** 09/15/06........................................... 5,003 4,100 Citibank Credit Card Issuance Trust, Series 2002-A3, Class A3, 4.400% 05/15/07............................................. 4,287 2,500 Discover Card Master Trust I, Series 2001-4, Class A, 1.210%** 10/16/06........................................... 2,500 25,000 First USA Credit Card Master Trust, Series 1999-1, Class B, 1.520%** 10/19/06##......................................... 25,020 4,675 MBNA Credit Card Master Note Trust, Series 2001-C3, Class C3, 6.550% 12/15/08............................................. 5,051 7,000 MBNA Master Credit Card Trust, Series 1998-F, Class A, 1.240%** 02/15/08........................................... 7,009 1,530 MBNA Master Credit Card Trust, Series 1999-M, Class C, 7.450% 04/16/07............................................. 1,615 8,250 MBNA Master Credit Card Trust, Series 2000-K, Class C, 1.920%** 03/17/08........................................... 8,247
SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- (CONTINUED) $ 4,000 Standard Credit Card Master Trust, Series 1993-2, Class B, 6.150% 10/07/04............................................. $ 4,000 ---------- 92,507 ---------- ASSET-BACKED -- HOME EQUITY LOANS -- 2.5% 4,859 Ameriquest Finance NIM Trust, Series 2003-N10A, 1.380%** 08/25/08........................................... 4,859 1,454 Block Mortgage Finance Inc., Series 1997-2, Class A6, 1.330%** 05/25/27........................................... 1,454 246 Bombardier Capital Mortgage Securitization, Series 1998-A, Class A3, 6.230% 04/15/28............................................. 249 1,061 Contimortgage Home Equity Loan Trust, Series 1996-4, Class A9, 6.880% 01/15/28............................................. 1,061 4,658 Countrywide Asset-Backed Certificates, Series 2003-3, Class 2A1, 1.240%** 05/25/18........................................... 4,657 4,334 First Alliance Mortgage Loan Trust, Series 1994-2, Class A1, 7.625% 07/25/25............................................. 4,332 1,108 First Plus Home Loan Trust, Series 1998-2, Class M1, 7.220% 05/10/24............................................. 1,138 4,323 Indyman Nim Trust SPMD, Series 2002, Class B, 1.500%** 11/25/32........................................... 4,326 2,744 Long Beach Mortgage Loan Trust, Series 2003-4, Class AV2, 1.190%** 08/25/33........................................... 2,744 2,459 Merrill Lynch Mortgage Investors, Inc., Series 2002-HE1N, Class N1, 1.720%** 11/25/09........................................... 2,459 5,048 Oakwood Mortgage Investors Inc., Series 2002-B, Class A1, 1.350%** 05/15/13........................................... 5,009 1,046 Residential Asset Securities Corporation, Series 2001-KS2, Class AI3, 5.751% 03/25/27............................................. 1,052 12,875 Residential Asset Securities Corporation, Series 2002-KS1, Class AI3, 4.988% 02/25/27............................................. 13,044 96 Residential Asset Securities Corporation, Series 2002-KS2, Class AI1, 1.260%** 11/25/17........................................... 96 2,508 Residential Asset Securities Corporation, Series 2002-KS4, Class AI1, 1.240%** 04/25/17........................................... 2,508
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ASSET-BACKED -- HOME EQUITY LOANS -- (CONTINUED) $ 4,926 Residential Asset Securities Corporation, Series 2003-KS7, Class AI1, 1.240%** 04/25/19........................................... $ 4,945 1,297 Saxon Asset Securities Trust, Series 1998-1, Class MF1, 7.050% 12/25/27............................................. 1,326 4,817 Structured Asset Investment Loan Trust, Series 2003-BC7, Class 1A1, 1.250%** 07/25/33........................................... 4,813 ---------- 60,072 ---------- ASSET-BACKED -- OTHER -- 1.3% 3,000 Caterpillar Financial Asset Trust, Series 2003-A, Class A2, 1.250% 10/25/05............................................. 3,000 14,880 CIT Equipment Collateral, Series 2002-VT1, Class A4, 4.670% 12/21/09............................................. 15,462 3,351 Connecticut RRB Special Purpose Trust CL&P-1, Series 2001-1, Class A2, 5.360% 03/30/07............................................. 3,465 10,000 Oncor Electric Delivery Transition Bond Company, Series 2003-1, Class A1, 2.260% 02/15/09............................................. 10,009 ---------- 31,936 ---------- TOTAL ASSET-BACKED SECURITIES (Cost $259,894)............................................. 260,813 ---------- CORPORATE BONDS AND NOTES -- 25.5% AEROSPACE AND DEFENSE -- 0.3% 487 Boeing Company, 5.125% 02/15/13(a).......................................... 495 290 General Dynamics Corporation, 4.500% 08/15/10............................................. 300 3,782 Northrop Grumman Corporation, 7.125% 02/15/11............................................. 4,422 2,200 Raytheon Company, 5.375% 04/01/13............................................. 2,267 ---------- 7,484 ---------- AUTOMOTIVE -- 1.9% 7,908 Daimler Chrysler, 4.050% 06/04/08............................................. 7,828 4,898 Delphi Corporation, 6.125% 05/01/04............................................. 4,992 8,769 Ford Motor Company, 7.450% 07/16/31............................................. 8,087 1,491 Ford Motor Credit Company, 5.800% 01/12/09............................................. 1,503 2,817 Ford Motor Credit Company, 7.375% 10/28/09............................................. 3,003 646 Ford Motor Credit Company, 7.375% 02/01/11............................................. 679
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- AUTOMOTIVE -- (CONTINUED) $ 4,263 General Motors Acceptance Corporation, 6.150% 04/05/07............................................. $ 4,514 2,782 General Motors Acceptance Corporation, 6.875% 09/15/11............................................. 2,888 3,628 General Motors Acceptance Corporation, 8.000% 11/01/31............................................. 3,727 1,659 General Motors Corporation, 8.250% 07/15/23............................................. 1,735 6,966 Toyota Motor Credit Corporation, 5.625% 11/13/03............................................. 7,001 ---------- 45,957 ---------- BEVERAGES -- 0.4% 2,856 Anheuser-Busch Companies, Inc., 5.950% 01/15/33............................................. 3,003 6,046 Cadbury Schweppes, 5.125% 10/01/13(+).......................................... 6,133 ---------- 9,136 ---------- BROADCASTING AND CABLE -- 1.1% 1,400 AOL Time Warner Inc., 6.150% 05/01/07............................................. 1,538 2,742 AOL Time Warner Inc., 6.875% 05/01/12............................................. 3,077 5,525 AOL Time Warner Inc., 7.625% 04/15/31............................................. 6,280 128 Comcast Cable Communications, Inc., 6.375% 01/30/06............................................. 139 3,633 Comcast Cable Communications, Inc., 7.125% 06/15/13............................................. 4,181 1,682 Cox Communications, Inc., Class A, 5.500% 10/01/15............................................. 1,719 1,261 Cox Enterprises, Inc., 4.375% 05/01/08(+).......................................... 1,294 665 Liberty Media Corporation, 5.700% 05/15/13(a).......................................... 664 2,159 Tele-Communications, Inc., Class A, 9.875% 06/15/22............................................. 3,009 1,740 Time Warner Inc., 8.110% 08/15/06............................................. 1,985 1,220 Viacom Inc., Class B, 6.625% 05/15/11(a).......................................... 1,395 741 Viacom Inc., Class B, 7.875% 07/30/30............................................. 926 ---------- 26,207 ---------- CHEMICALS -- BASIC -- 0.2% 1,994 Dow Chemical Company, 6.125% 02/01/11............................................. 2,130 1,375 Dow Chemical Company, 7.375% 11/01/29............................................. 1,529 1,218 Eastman Chemical Company, 3.250% 06/15/08............................................. 1,188 ---------- 4,847 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- 0.3% $ 2,108 E.I. du Pont de Nemours and Company, 3.375% 11/15/07............................................. $ 2,153 1,989 Praxair, Inc., 4.750% 07/15/07............................................. 2,106 2,325 Praxair, Inc., 6.500% 03/01/08............................................. 2,638 ---------- 6,897 ---------- COMMERCIAL BANKING -- 4.9% 4,193 AmSouth Bank N.A., 4.850% 04/01/13............................................. 4,250 10,812 Bank One Corporation, 6.000% 08/01/08............................................. 12,055 10,394 Citigroup Inc., 7.250% 10/01/10............................................. 12,312 2,760 Citigroup Inc., 6.000% 02/21/12............................................. 3,053 1,988 City National Bank, 5.125% 02/15/13............................................. 2,005 2,999 FleetBoston Financial Corporation, 7.250% 09/15/05............................................. 3,311 4,151 Golden West Financial Corporation, 4.750% 10/01/12............................................. 4,239 7,008 J.P. Morgan Chase & Company, 7.250% 06/01/07............................................. 8,028 2,805 Key Bank N.A., 7.000% 02/01/11............................................. 3,270 2,861 Mellon Funding Corporation, 4.875% 06/15/07............................................. 3,072 2,167 Mellon Funding Corporation, 6.700% 03/01/08............................................. 2,477 7,096 National City Bank, 4.625% 05/01/13............................................. 7,150 2,246 PNC Funding Corporation, 7.000% 09/01/04............................................. 2,366 5,628 PNC Funding Corporation, 5.750% 08/01/06............................................. 6,124 5,292 Popular North America Inc., MTN, Series E, 6.125% 10/15/06............................................. 5,876 193 Regions Financial Corporation, 6.375% 05/15/12............................................. 217 2,158 Regions Financial Corporation, 7.750% 09/15/24............................................. 2,668 1,561 SouthTrust Bank N.A., 4.750% 03/01/13............................................. 1,567 4 State Street Corporation, 7.650% 06/15/10............................................. 5 18 SunTrust Banks, Inc., 5.050% 07/01/07............................................. 20 6,752 US Bank N.A., Minnesota, 6.375% 08/01/11............................................. 7,666 9,277 Wachovia Corporation, 4.950% 11/01/06............................................. 10,004 6,302 Washington Mutual, Inc., 5.625% 01/15/07............................................. 6,856
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 175 Wells Fargo and Company, 3.500% 04/04/08(a).......................................... $ 178 6,312 Wells Fargo Financial, Inc., 4.875% 06/12/07............................................. 6,824 ---------- 115,593 ---------- COMPUTER SERVICES -- 0.0%+ 758 Electronic Data Systems Corporation, 6.000% 08/01/13(+).......................................... 729 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 0.3% 7 International Business Machines Corporation, 4.750% 11/29/12............................................. 7 2,037 International Business Machines Corporation, 6.500% 01/15/28(a).......................................... 2,247 756 International Business Machines Corporation, 5.875% 11/29/32............................................. 772 3,679 Pitney Bowes Inc., 4.625% 10/01/12............................................. 3,729 ---------- 6,755 ---------- CONGLOMERATES -- 0.2% 5,056 Waste Management, Inc., 7.375% 08/01/10............................................. 5,910 ---------- CONSUMER CREDIT AND MORTGAGES -- 0.7% 1,887 American Express Company, 3.750% 11/20/07............................................. 1,944 1,470 American Express Credit Corporation, 3.000% 05/16/08............................................. 1,453 2,090 American General Finance, MTN, Series H, 2.750% 06/15/08............................................. 2,025 10,093 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06............................................. 10,875 ---------- 16,297 ---------- CONSUMER SERVICES -- 0.0%+ 569 Monsanto Company, 4.000% 05/15/08............................................. 577 ---------- DEPARTMENT AND DISCOUNT STORES -- 0.5% 535 Kohl's Corporation, 6.000% 01/15/33............................................. 552 1,320 Target Corporation, 5.375% 06/15/09............................................. 1,440 3,112 Target Corporation, 5.875% 03/01/12............................................. 3,434 4,057 Wal-Mart Stores, Inc., 5.450% 08/01/06............................................. 4,422
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- DEPARTMENT AND DISCOUNT STORES -- (CONTINUED) $ 80 Wal-Mart Stores, Inc., 4.375% 07/12/07............................................. $ 84 2,600 Wal-Mart Stores, Inc., 4.550% 05/01/13............................................. 2,626 ---------- 12,558 ---------- DIVERSIFIED ELECTRONICS -- 0.2% 5,951 First Data Corporation, 4.700% 08/01/13............................................. 5,981 ---------- DIVERSIFIED MANUFACTURING -- 0.1% 2,108 General Electric Company, 5.000% 02/01/13............................................. 2,161 831 The Scotts Company, Class A, 8.625% 01/15/09............................................. 877 ---------- 3,038 ---------- ELECTRIC POWER -- NON NUCLEAR -- 0.4% 1,804 Appalachian Power Company, Series G, 3.600% 05/15/08............................................. 1,797 4,308 Cinergy Corporation, 6.250% 09/01/04............................................. 4,476 912 Dominion Resources, Inc., 5.000% 03/15/13............................................. 914 727 Ohio Edison Company, 4.000% 05/01/08(+).......................................... 719 1,416 Pepco Holdings, Inc., 5.500% 08/15/07............................................. 1,483 ---------- 9,389 ---------- ELECTRIC POWER -- NUCLEAR -- 0.7% 1,118 Duquesne Light Company, 6.700% 04/15/12............................................. 1,262 365 Energy East Corporation, 6.750% 06/15/12............................................. 407 2,626 FirstEnergy Corporation, Series B, 6.450% 11/15/11............................................. 2,740 1,740 FirstEnergy Corporation, Series C, 7.375% 11/15/31............................................. 1,781 150 Kansas Gas & Electric Company, 7.600% 12/15/03............................................. 150 4,322 Southern Company Capital Funding, Series A, 5.300% 02/01/07............................................. 4,678 2,327 Southern Power Company, Series B, 6.250% 07/15/12............................................. 2,554 3,516 Virginia Electric and Power Company, Series A, 5.375% 02/01/07............................................. 3,799 ---------- 17,371 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ENERGY -- MISCELLANEOUS -- 0.5% $ 553 New York State Electric & Gas, 5.750% 05/01/23............................................. $ 526 3,631 Nisource Finance Corporation, 5.400% 07/15/14............................................. 3,685 7,344 Progress Energy, Inc., 6.050% 04/15/07............................................. 7,988 ---------- 12,199 ---------- EXPLORATION AND PRODUCTION -- 0.5% 6,484 Pioneer Natural Resources Company, 6.500% 01/15/08............................................. 7,019 5,487 XTO Energy, Inc., 7.500% 04/15/12............................................. 6,104 ---------- 13,123 ---------- FINANCE -- MISCELLANEOUS -- 1.7% 3,808 Associates Corporation of North America, 6.950% 11/01/18............................................. 4,489 2,752 CIT Group Inc., 7.375% 04/02/07............................................. 3,154 255 General Electric Capital Corporation, MTN, Series A, 5.375% 03/15/07............................................. 277 800 General Electric Capital Corporation, MTN, Series A, 4.250% 01/15/08 (a)......................................... 837 11,014 General Electric Capital Corporation, MTN, Series A, 6.750% 03/15/32............................................. 12,429 4,336 Household Finance Corporation, 5.875% 02/01/09(a).......................................... 4,755 1,907 Household Finance Corporation, 6.375% 11/27/12............................................. 2,116 2,133 Household Finance Corporation, 7.350% 11/27/32............................................. 2,514 1,743 International Lease Finance Corporation, 4.500% 05/01/08............................................. 1,814 2,226 National Rural Utilities Cooperative Finance Corporation, 3.250% 10/01/07............................................. 2,241 2,700 National Rural Utilities Cooperative Finance Corporation, 5.750% 08/28/09............................................. 2,972 2,306 National Rural Utilities Cooperative Finance Corporation, MTN, Series C, 8.000% 03/01/32............................................. 2,861 ---------- 40,459 ---------- FOOD AND DRUG STORES -- 0.4% 6,630 Fred Meyer, Inc., 7.450% 03/01/08............................................. 7,686 663 The Kroger Company, 6.800% 04/01/11............................................. 758 804 The Kroger Company, 6.750% 04/15/12............................................. 908 ---------- 9,352 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- HEALTH SERVICES -- 0.5% $ 2,777 Cardinal Health, Inc., 6.750% 02/15/11............................................. $ 3,224 6,769 Wellpoint Health Networks Inc., 6.375% 06/15/06............................................. 7,475 1,213 Wellpoint Health Networks Inc., 6.375% 01/15/12............................................. 1,357 ---------- 12,056 ---------- HEAVY MACHINERY -- 0.2% 4,968 Caterpillar Finance Services Corporation, 5.950% 05/01/06............................................. 5,425 ---------- HOUSEHOLD PRODUCTS -- 0.1% 2,292 Proctor & Gamble Company, 4.750% 06/15/07............................................. 2,457 ---------- INSURANCE -- 1.1% 162 Allstate Financial Global Funding, 7.125% 09/26/05@(a)......................................... 179 1,168 Hartford Life, Inc., 7.375% 03/01/31............................................. 1,370 990 Marsh & McLennan Companies, Inc., 5.875% 08/01/33............................................. 987 2,213 Mass Mutual Global Funding II, 2.550% 07/15/08@............................................ 2,138 938 Metlife, Inc., 5.375% 12/15/12............................................. 976 2,114 Metlife, Inc., 6.500% 12/15/32............................................. 2,269 934 Nationwide Financial Services, Inc., Class A, 5.900% 07/01/12............................................. 995 4,754 Principal Life Global, 6.250% 02/15/12@............................................ 5,281 1,557 Progressive Corporation, 6.250% 12/01/32............................................. 1,657 6,773 Prudential Funding LLC, MTN, 6.600% 05/15/08@............................................ 7,684 1,605 The Hartford Financial Services Group, Inc., 2.375% 06/01/06............................................. 1,601 1,095 The Hartford Financial Services Group, Inc., 4.625% 07/15/13@............................................ 1,071 ---------- 26,208 ---------- INTEGRATED OIL -- 0.3% 7,032 USX Corporation, 6.650% 02/01/06............................................. 7,750 ---------- INVESTMENT SERVICES -- 2.8% 6,076 Bear Stearns Companies Inc., 4.000% 01/31/08............................................. 6,261 704 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. 769 3,452 Credit Suisse First Boston USA, Inc., 6.125% 11/15/11............................................. 3,781
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- INVESTMENT SERVICES -- (CONTINUED) $ 1,200 Goldman Sachs Group, Inc., 4.125% 01/15/08............................................. $ 1,241 4,619 Goldman Sachs Group, Inc., 6.875% 01/15/11............................................. 5,311 5,858 Goldman Sachs Group, Inc., 6.600% 01/15/12............................................. 6,631 808 Goldman Sachs Group, Inc., 5.700% 09/01/12............................................. 864 5,732 Lehman Brothers Holdings Inc., 4.000% 01/22/08............................................. 5,901 4,530 Lehman Brothers Holdings Inc., 7.000% 02/01/08............................................. 5,178 1,351 Lehman Brothers Holdings Inc., 7.875% 08/15/10............................................. 1,628 5,640 Merrill Lynch & Company, Inc., 6.000% 02/17/09............................................. 6,239 2,538 Merrill Lynch & Company, Inc., MTN, Series B, 2.070% 06/12/06............................................. 2,522 2,717 Merrill Lynch & Company, Inc., MTN, Series B, 3.700% 04/21/08............................................. 2,757 9,009 Morgan Stanley, 6.750% 04/15/11............................................. 10,294 4,203 Morgan Stanley, 6.600% 04/01/12............................................. 4,744 51 Morgan Stanley, 5.300% 03/01/13............................................. 53 2,557 Salomon Smith Barney Holdings Inc., 6.500% 02/15/08............................................. 2,895 ---------- 67,069 ---------- MEDICAL DEVICES AND SUPPLIES -- 0.1% 1,763 Bristol-Myers Squibb Company, 5.250% 08/15/13@(a)......................................... 1,840 ---------- METALS AND MINING -- 0.2% 3,385 Alcoa Inc., 7.375% 08/01/10(a).......................................... 4,020 ---------- NATURAL GAS DISTRIBUTION -- 0.4% 7,799 CenterPoint Energy Resources Corporation, 7.875% 04/01/13@............................................ 8,762 ---------- NATURAL GAS PIPELINES -- 0.6% 8,333 Kinder Morgan, Inc., 6.650% 03/01/05............................................. 8,889 3,991 Teppco Partners, LP, 7.625% 02/15/12............................................. 4,703 ---------- 13,592 ---------- OIL REFINING AND MARKETING -- 0.1% 1,210 Valero Energy Corporation, 6.875% 04/15/12............................................. 1,350 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- PAPER AND FOREST PRODUCTS -- 0.4% $ 2,246 Champion International Corporation, 7.350% 11/01/25............................................. $ 2,488 1,993 International Paper Company, 5.850%** 10/30/12........................................... 2,121 1,705 MeadWestvaco Corporation, 6.850% 04/01/12............................................. 1,921 2,950 MeadWestvaco Corporation, 8.200% 01/15/30............................................. 3,516 ---------- 10,046 ---------- PHARMACEUTICALS -- 0.0%+ 1,040 Pharmacia Corporation, 6.600% 12/01/28............................................. 1,196 ---------- PUBLISHING AND ADVERTISING -- 0.5% 2,386 Gannett Company, Inc., 6.375% 04/01/12............................................. 2,706 2,485 Knight-Ridder, Inc., 7.125% 06/01/11............................................. 2,926 647 News America Holdings, 9.250% 02/01/13............................................. 846 3,650 News America Holdings, 8.150% 10/17/36............................................. 4,489 166 News America Inc., 6.625% 01/09/08(a).......................................... 186 840 News America Inc., 6.550% 03/15/33............................................. 879 ---------- 12,032 ---------- RAILROADS, TRUCKING AND SHIPPING -- 0.5% 4,184 Burlington Northern Santa Fe Corporation, 6.750% 07/15/11............................................. 4,841 7,836 FedEx Corporation, 6.625% 02/12/04............................................. 7,978 ---------- 12,819 ---------- REAL ESTATE -- 0.2% 3,525 EOP Operating LP, 7.000% 07/15/11............................................. 4,014 567 ERP Operating LP, 5.200% 04/01/13............................................. 579 ---------- 4,593 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.2% 2,311 Health Care Property Investors, Inc., 6.450% 06/25/12............................................. 2,497 2,464 Health Care Property Investors, Inc., MTN, Series D, 7.480% 04/05/04............................................. 2,518 ---------- 5,015 ---------- TELECOMMUNICATIONS SERVICES -- 2.0% 757 AT&T Corporation, 7.800% 11/15/11............................................. 875 526 AT&T Corporation, 8.500%** 11/15/31........................................... 623
SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 1,330 AT&T Wireless Services Inc., 8.125% 05/01/12(a).......................................... $ 1,579 1,232 AT&T Wireless Services Inc., 8.750% 03/01/31............................................. 1,524 38 BellSouth Corporation, 5.000% 10/15/06............................................. 41 4,726 BellSouth Telecommunications Inc., 6.375% 06/01/28............................................. 5,056 1,082 Citizens Communications Company, 9.250% 05/15/11............................................. 1,379 548 Citizens Communications Company, 9.000% 08/15/31............................................. 722 3,656 Cox Communications, Inc., Class A, 7.750% 11/01/10............................................. 4,367 1,003 Pacific Bell, 7.125% 03/15/26............................................. 1,164 2,283 SBC Communications Inc., 6.250% 03/15/11............................................. 2,550 1,009 Sprint Capital Corporation, 6.125% 11/15/08............................................. 1,089 5,223 Sprint Capital Corporation, 8.375% 03/15/12(a).......................................... 6,161 3,977 Sprint Capital Corporation, 8.750% 03/15/32............................................. 4,726 238 Verizon Florida Inc., Series F, 6.125% 01/15/13............................................. 260 159 Verizon Global Funding Corporation, 7.750% 12/01/30............................................. 191 5,537 Verizon New England Inc., 6.500% 09/15/11............................................. 6,234 9,157 Verizon Pennsylvania Inc., Series A, 5.650% 11/15/11............................................. 9,807 ---------- 48,348 ---------- TOTAL CORPORATE BONDS AND NOTES (Cost $578,379)............................................. 614,437 ---------- FOREIGN BONDS AND NOTES -- 3.4% BROADCASTING AND CABLE -- 0.0%+ 529 Rogers Cable Inc., 6.250% 06/15/13............................................. 528 ---------- BUILDING MATERIALS -- 0.2% 3,687 Hanson Overseas BV, 6.750% 09/15/05............................................. 3,989 ---------- CHEMICALS -- SPECIALTY -- 0.0%+ 754 Potash Corporation of Saskatchewan Inc., 4.875% 03/01/13............................................. 750 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- COMMERCIAL BANKING -- 0.2% $ 479 Korea Development Bank, 7.250% 05/15/06............................................. $ 533 3,657 Scotland International Finance, 4.250% 05/23/13@(a)......................................... 3,533 ---------- 4,066 ---------- DIVERSIFIED MANUFACTURING -- 0.1% 1,451 Rio Tinto Financial Ltd., 2.625% 09/30/08............................................. 1,405 ---------- FOOD PRODUCTS -- 0.4% 2,435 Unilever Capital Corporation, 6.875% 11/01/05............................................. 2,679 5,906 Unilever Capital Corporation, 7.125% 11/01/10............................................. 6,998 ---------- 9,677 ---------- INTEGRATED OIL -- 0.7% 4,830 Conoco Funding Company, 6.350% 10/15/11............................................. 5,458 147 PEMEX Finance Ltd., 5.720% 11/15/03............................................. 148 473 PEMEX Project Funding Master Trust, 7.875%** 02/01/09........................................... 537 1,020 PEMEX Project Funding Master Trust, 7.375% 12/15/14(a).......................................... 1,097 6,193 PEMEX Project Funding Master Trust, 8.625%** 02/01/22(a)........................................ 6,905 1,751 Petro-Canada, 4.000% 07/15/13............................................. 1,646 ---------- 15,791 ---------- METALS AND MINING -- 0.2% 1,144 Alcan Inc., 6.450% 03/15/11............................................. 1,294 1,394 Alcan Inc., 7.250% 03/15/31............................................. 1,650 1,593 BHP Finance USA Ltd., 4.800% 04/15/13............................................. 1,623 ---------- 4,567 ---------- PUBLISHING AND ADVERTISING -- 0.1% 3,371 Thomson Corporation, 5.250% 08/15/13............................................. 3,502 ---------- RAILROADS, TRUCKING AND SHIPPING -- 0.2% 3,339 Canadian National Railway Company, 6.900% 07/15/28............................................. 3,777 ---------- TELECOMMUNICATIONS SERVICES -- 1.3% 1,726 British Telecommunications, plc, 8.375%** 12/15/10........................................... 2,124 774 British Telecommunications, plc, 8.875%** 12/15/30........................................... 1,015
SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 7,508 Deutsche Telecom International Finance BV, 5.250% 07/22/13............................................. $ 7,588 3,285 Deutsche Telekom International Finance BV, 8.750% 06/15/30............................................. 4,167 4,756 France Telecom SA, 9.000%** 03/01/11........................................... 5,810 3,522 France Telecom SA, 9.750% 03/01/31............................................. 4,702 7,873 Telus Corporation, 7.500% 06/01/07............................................. 8,852 ---------- 34,258 ---------- TOTAL FOREIGN BONDS AND NOTES (Cost $79,545).............................................. 82,310 ---------- MORTGAGE-BACKED SECURITIES -- 35.9% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 2.9% 4,000 Chase Manhattan Auto Owner Trust, Series 2003-A, Class A3, 1.520% 05/15/07............................................. 3,995 2,000 Chase Manhattan Auto Owner Trust, Series 2003-A, Class CTFS, 2.040% 12/15/09............................................. 1,986 5,305 Freddie Mac, Series 2360, Class CH, 6.500% 08/15/30............................................. 5,391 5,469 Freddie Mac, Series 2399, Class XQ, 6.500% 12/15/27............................................. 5,492 8,573 Freddie Mac, Series 2420, Class EC, 6.500% 03/15/30............................................. 8,687 12,365 Freddie Mac, Series 2434, Class PN, 6.500% 05/15/29............................................. 12,555 14,506 Freddie Mac, Series 2457, Class PB, 6.500% 01/15/26............................................. 14,535 4,807 Freddie Mac, Series 2458, Class PC, 6.500% 02/15/26............................................. 4,814 65,070 GMAC Commercial Mortgage Securities Inc., Series 1997-C1, Class X, Interest only, 1.643%** 07/15/27........................................... 3,797 67,736 JP Morgan Commercial Mortgage Finance Corporation, Series 1997-C4, Class X, Interest only, 1.283%** 12/26/28........................................... 2,255
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- (CONTINUED) $ 87,203 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.113%** 12/15/30........................................... $ 3,391 4,170 Salomon Brothers Mortgage Securities VII, Series 2002-CDCA, Class A1, 1.400%** 11/15/13@.......................................... 4,168 ---------- 71,066 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 2.2% 4 9.000% 01/01/05............................................. 5 4,000 5.500% 07/15/06(a).......................................... 4,363 108 8.000% 11/01/09-04/01/10.................................... 116 619 8.500% 11/01/26............................................. 672 45,997 6.500% 11/01/32##........................................... 48,029 ---------- 53,185 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 24.0% 122 8.250% 03/25/06............................................. 127 4,339 4.625% 10/15/13(a).......................................... 4,386 506 6.000% 09/01/16............................................. 528 151,134 5.000% 03/01/18(d).......................................... 154,819 199 10.000% 09/01/18............................................ 224 258,816 6.500% 08/25/29-09/01/33##.................................. 268,974 8,590 6.500% 07/01/32............................................. 8,954 137,920 5.000% 05/01/33(d).......................................... 137,920 161 3.214%** 08/01/36........................................... 167 ---------- 576,099 ---------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 6.8% 400 8.500% 12/15/05-02/15/25.................................... 439 1,614 8.000% 11/15/07-05/15/17.................................... 1,706 17 9.500% 06/15/09-09/15/09.................................... 18 18 13.000% 01/15/11-02/15/11................................... 23 6,688 7.000% 10/01/11-01/15/30.................................... 7,120 7,070 7.500% 12/15/23-07/20/28.................................... 7,580 140,775 5.500% 12/01/32(d).......................................... 144,295 ---------- 161,181 ---------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $859,780)............................................. 861,531 ---------- CONTRACTS - --------- PURCHASED OPTIONS -- 0.0%+ 15(x) Call option on interest rate swap, Expiring on 10/10/2003. If exercised, Citibank pays fixed (4.078%) and receives 3 month EURIBOR, Swap expires on 10/14/2013.................................................. 30
SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE CONTRACTS (000) - ---------------------------------------------------------------------------------------- PURCHASED OPTIONS -- (CONTINUED) 15(x) Call option on interest rate swap, Expiring on 10/10/2003. If exercised, Citibank receives fixed (4.131%) and pays 3 month LIBOR, Swap expires on 10/15/2013........................... 13 ---------- TOTAL PURCHASED OPTIONS (Cost $266)................................................. 43 ---------- PRINCIPAL AMOUNT (000) - -------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- 2.5% $ 4,904 Government of Canada, 5.250% 11/05/08............................................. 5,423 5,494 Hellenic Republic, 6.950% 03/04/08............................................. 6,343 66 Ontario (Province of), 7.000% 08/04/05............................................. 72 353 Quebec (Province of), 6.125% 01/22/11............................................. 400 5,926 Quebec (Province of), 7.500% 09/15/29............................................. 7,518 3,908 Region of Lombardy, 5.804% 10/25/32............................................. 4,110 5,300 Republic of Argentina, Series 2031, 12.000%** 06/19/31(a)(b).................................... 1,367 1,649 Republic of Chile, 5.500% 01/15/13............................................. 1,715 9,162 Republic of Italy, 6.000% 02/22/11............................................. 10,374 2,599 Republic of Italy, 6.875% 09/27/23............................................. 3,104 1,168 Republic of Korea, 8.875% 04/15/08............................................. 1,433 6,985 United Mexican States, 8.375% 01/14/11............................................. 8,313 3,678 United Mexican States, 6.375% 01/16/13............................................. 3,880 6,995 United Mexican States, 7.500% 04/08/33............................................. 7,310 ---------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $57,305).............................................. 61,362 ---------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 11.6% FEDERAL FARM CREDIT BANK (FFCB) -- 0.6% 10,000 2.375% 10/01/04............................................. 10,109 4,655 2.500% 03/15/06............................................. 4,726 ---------- 14,835 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK (FHLB) -- 2.2% $ 22,000 3.250% 08/15/05(a).......................................... $ 22,673 12,890 5.125% 03/06/06(a).......................................... 13,860 8,145 5.800% 09/02/08............................................. 9,133 6,500 3.875% 06/14/13(a).......................................... 6,225 ---------- 51,891 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 3.7% 5,000 3.875% 02/15/05............................................. 5,172 11,000 2.375% 04/15/06(a).......................................... 11,101 4,500 4.875% 03/15/07............................................. 4,856 23,200 5.125% 10/15/08(a).......................................... 25,270 11,634 5.750% 03/15/09(a).......................................... 13,006 23,000 4.500% 01/15/13(a).......................................... 23,268 5,000 6.750% 03/15/31(a).......................................... 5,935 ---------- 88,608 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 4.7% 34,000 2.875% 10/15/05(a).......................................... 34,840 22,285 5.250% 06/15/06(a).......................................... 24,171 30,249 5.250% 01/15/09##........................................... 33,112 16,612 4.375% 09/15/12(a).......................................... 16,735 5,817 7.250% 05/15/30(a).......................................... 7,275 ---------- 116,133 ---------- TENNESSEE VALLEY AUTHORITY -- 0.4% 10,000 4.700% 07/15/33............................................. 9,014 ---------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $274,582)............................................. 280,481 ---------- U.S. TREASURY OBLIGATIONS -- 8.1% U.S. TREASURY NOTES -- 2.3% 40,000 2.125% 10/31/04##............................................. 40,447 14,100 2.000% 08/31/05(a)............................................ 14,252 ---------- 54,699 ---------- U.S. TREASURY STRIPS -- 5.8% 40,000 Interest only, 4.389%*** 11/15/13##........................................ 25,773 79,000 Principal only, 2.047%*** 11/15/06(a)....................................... 74,129 76,500 TIGR Receipts, 4.939%*** 05/15/17(a)....................................... 39,351 ---------- 139,253 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $191,319)............................................. 193,952 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ---------------------------------------------------------------------------------------- WARRANTS -- 0.0%+ (Cost $0) 2,898 Solutia Inc., Expire 07/15/09!!(h)........................................ $ 21 ---------- SHARES (000) - -------- INVESTMENT COMPANIES -- 29.9% 1,677 Nations Convertible Securities Fund, Primary A Class Shares@@.................................................... 25,712 12,598 High Yield Portfolio@@........................................ 119,943 574,854 Nations Cash Reserves, Capital Class Shares#,##............... 574,854 ---------- TOTAL INVESTMENT COMPANIES (Cost $716,462)............................................. 720,509 ---------- TOTAL INVESTMENTS (Cost $3,017,532*)................................ 127.7% 3,075,459 ---------- CONTRACTS - -------- WRITTEN OPTIONS -- (0.0)%+ (Premium $(287)) (15)(x) Call option on interest rate swap, Expiring on 10/10/2003. If exercised, Deutsche Bank pays fixed (4.131%) and receives 3 month LIBOR, Swap expires on 10/15/2013..................................... $ (13) VALUE (000) - ---------------------------------------------------------------------------------------- OTHER ASSETS AND LIABILITIES (NET)................................. (27.7)% Cash.......................................................... $ 601 Foreign cash (cost $58)....................................... 59 Unrealized appreciation on forward foreign exchange contracts................................................... 6,668 Receivable for investment securities sold..................... 55 Receivable for Fund shares sold............................... 5,302 Dividends receivable.......................................... 1,282 Interest receivable........................................... 19,154 Unrealized appreciation on swap contracts..................... 6,137 Unrealized depreciation on forward foreign exchange contracts................................................... (8,681) Unrealized depreciation on swap contracts..................... (4,098) Variation margin/due to broker................................ (1,118) Written options, at value (premium $287)...................... (13) Collateral on securities loaned............................... (244,405) Payable for Fund shares redeemed.............................. (3,608) Investment advisory fee payable............................... (779) Administration fee payable.................................... (433) Shareholder servicing and distribution fees payable........... (24) Distributions payable......................................... (6,735) Payable for investment securities purchased................... (435,119) Accrued Trustees' fees and expenses........................... (92) Accrued expenses and other liabilities........................ (467) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (666,314) ---------- NET ASSETS.......................................... $2,409,145 100.0% ========== NET ASSETS CONSIST OF: $ 6,469 Undistributed net investment income........................... Accumulated net realized loss on investments sold, swaps, (11,400) currency contracts, futures contracts and options........... Net unrealized appreciation of investments, swaps, currency 62,413 contracts, futures contracts and options.................... 2,351,663 Paid-in capital............................................... ---------- NET ASSETS.................................................... $2,409,145 ==========
SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS Nations Bond Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - ---------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($2,350,264,559 / 234,096,411 shares outstanding)........... $10.04 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($40,415,065) / 4,028,448 shares outstanding)............... $10.03 ========== Maximum sales charge.......................................... 3.25% Maximum offering price per share.............................. $10.37 INVESTOR B SHARES: Net asset value and offering price per share& ($15,949,447 / 1,589,214 shares outstanding)................ $10.04 ========== INVESTOR C SHARES: Net asset value and offering price per share& ($2,516,259 / 250,807 shares outstanding)................... $10.03 ==========
- --------------- * Federal income tax information (see Note 12). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. !!Non-income producing security. @Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. @@Mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. + Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $244,405. ##All or a portion of security segregated as collateral for swaps, swaptions, TBA and futures contracts. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $233,549 and $238,669, respectively. (b) Issue in default. (d) TBA-Securities purchased on a forward commitment basis. (h) Fair valued security. (x) 1 contract = $1,000,000 notional amount. ABBREVIATIONS: MTN -- Medium Term Note TIGR -- Treasury Investor Growth Receipt
SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 1.1% ASSET-BACKED -- AUTO LOANS -- 0.8% $ 750 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08............................................. $ 778 94 Capital Auto Receivables Asset Trust, Series 2002-2, Class CTFS, 4.180% 10/15/07............................................. 96 200 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 5.180% 10/16/06............................................. 212 485 Ford Credit Auto Owner Trust, Series 2003-A, Class A4A, 2.700% 06/15/07............................................. 492 382 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-1, Class A4, 5.340% 12/15/05............................................. 390 -------- 1,968 -------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 0.1% 226 American Express Credit Account Master, Series 2003-4, Class A, 1.690% 01/15/09............................................. 223 -------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.0%+ 34 First Plus Home Loan Trust, Series 1998-2, Class M1, 7.220% 05/10/24............................................. 35 -------- ASSET-BACKED -- OTHER -- 0.2% 420 CIT Equipment Collateral, Series 2002-VT1, Class A4, 4.670% 12/21/09............................................. 436 -------- TOTAL ASSET-BACKED SECURITIES (Cost $2,597)............................................... 2,662 -------- CORPORATE BONDS AND NOTES -- 14.0% AEROSPACE AND DEFENSE -- 0.2% 108 Boeing Company, 5.125% 02/15/13............................................. 110 19 General Dynamics Corporation, 4.500% 08/15/10............................................. 20 204 Northrop Grumman Corporation, 7.125% 02/15/11............................................. 238 125 Raytheon Company, 5.375% 04/01/13............................................. 129 -------- 497 -------- AUTOMOTIVE -- 1.2% 443 Daimler Chrysler, 4.050% 06/04/08............................................. 438 124 Delphi Corporation, 6.125% 05/01/04............................................. 126
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- AUTOMOTIVE -- (CONTINUED) $ 399 Ford Motor Company, 7.450% 07/16/31............................................. $ 368 106 Ford Motor Credit Company, 5.800% 01/12/09............................................. 107 222 Ford Motor Credit Company, 7.375% 10/28/09............................................. 237 250 Ford Motor Credit Company, 7.375% 02/01/11............................................. 263 256 General Motors Acceptance Corporation, 6.150% 04/05/07............................................. 271 166 General Motors Acceptance Corporation, 6.875% 09/15/11............................................. 172 219 General Motors Acceptance Corporation, 8.000% 11/01/31............................................. 225 79 General Motors Corporation, 8.250% 07/15/23............................................. 83 400 Toyota Motor Credit Corporation, 5.625% 11/13/03............................................. 402 -------- 2,692 -------- BEVERAGES -- 0.2% 176 Anheuser-Busch Companies, Inc., 5.950% 01/15/33............................................. 185 370 Cadbury Schweppes, 5.125% 10/01/13@............................................ 375 -------- 560 -------- BROADCASTING AND CABLE -- 0.7% 211 AOL Time Warner Inc., 6.150% 05/01/07............................................. 232 50 AOL Time Warner Inc., 6.875% 05/01/12............................................. 56 366 AOL Time Warner Inc., 7.625% 04/15/31............................................. 415 18 Comcast Cable Communications, Inc., 6.375% 01/30/06............................................. 20 226 Comcast Cable Communications, Inc., 7.125% 06/15/13............................................. 260 130 Cox Communications, Inc., Class A, 5.500% 10/01/15............................................. 133 67 Cox Enterprises, Inc., 4.375% 05/01/08@............................................ 69 40 Liberty Media Corporation, 5.700% 05/15/13(a).......................................... 40 135 Tele-Communications, Inc., Class A, 9.875% 06/15/22............................................. 188 11 Time Warner Inc., 8.110% 08/15/06............................................. 13 22 Viacom Inc., Class B, 6.625% 05/15/11............................................. 25 59 Viacom Inc., Class B, 7.875% 07/30/30............................................. 74 -------- 1,525 -------- CHEMICALS -- BASIC -- 0.1% 92 Dow Chemical Company, 6.125% 02/01/11............................................. 98
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- CHEMICALS -- BASIC -- (CONTINUED) $ 68 Dow Chemical Company, 7.375% 11/01/29............................................. $ 76 69 Eastman Chemical Company, 3.250% 06/15/08............................................. 67 -------- 241 -------- CHEMICALS -- SPECIALTY -- 0.1% 115 E.I. du Pont de Nemours and Company, 3.375% 11/15/07............................................. 118 101 Praxair, Inc., 4.750% 07/15/07............................................. 107 32 Praxair, Inc., 6.500% 03/01/08............................................. 36 -------- 261 -------- COMMERCIAL BANKING -- 2.7% 223 AmSouth Bank N.A., 4.850% 04/01/13............................................. 226 623 Bank One Corporation, 6.000% 08/01/08............................................. 694 621 Citigroup Inc., 7.250% 10/01/10............................................. 735 167 Citigroup Inc., 6.000% 02/21/12............................................. 185 41 City National Bank, 5.125% 02/15/13............................................. 41 157 FleetBoston Financial Corporation, 7.250% 09/15/05............................................. 173 223 Golden West Financial Corporation, 4.750% 10/01/12............................................. 228 345 J.P. Morgan Chase & Company, 7.250% 06/01/07............................................. 395 122 Key Bank N.A., 7.000% 02/01/11............................................. 142 70 Mellon Funding Corporation, 4.875% 06/15/07............................................. 75 40 Mellon Funding Corporation, 6.700% 03/01/08............................................. 46 418 National City Bank, 4.625% 05/01/13............................................. 421 94 PNC Funding Corporation, 7.000% 09/01/04............................................. 99 156 PNC Funding Corporation, 5.750% 08/01/06............................................. 170 125 Popular North America Inc., 4.250% 04/01/08............................................. 129 114 Popular North America Inc., MTN, Series E, 6.125% 10/15/06............................................. 127 70 Regions Financial Corporation, 7.750% 09/15/24............................................. 87 32 SouthTrust Bank N.A., 4.750% 03/01/13............................................. 32 187 U.S. Bancorp, 5.100% 07/15/07............................................. 202 358 US Bank N.A., Minnesota, 6.375% 08/01/11............................................. 406 473 Wachovia Corporation, 4.950% 11/01/06............................................. 510
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 210 Washington Mutual, Inc., 5.625% 01/15/07............................................. $ 228 600 Wells Fargo and Company, 3.500% 04/04/08(a).......................................... 609 334 Wells Fargo Financial, Inc., 4.875% 06/12/07............................................. 361 -------- 6,321 -------- COMPUTER SERVICES -- 0.0%+ 46 Electronic Data Systems Corporation, 6.000% 08/01/13@............................................ 44 -------- COMPUTERS AND OFFICE EQUIPMENT -- 0.2% 39 International Business Machines Corporation, 4.750% 11/29/12............................................. 40 122 International Business Machines Corporation, 6.500% 01/15/28............................................. 135 17 International Business Machines Corporation, 5.875% 11/29/32............................................. 17 194 Pitney Bowes Inc., 4.625% 10/01/12............................................. 197 -------- 389 -------- CONGLOMERATES -- 0.1% 139 Waste Management, Inc., 7.375% 08/01/10............................................. 162 -------- CONSUMER CREDIT AND MORTGAGES -- 0.4% 102 American Express Company, 3.750% 11/20/07............................................. 105 78 American Express Credit Corporation, 3.000% 05/16/08............................................. 77 118 American General Finance, MTN, Series H, 2.750% 06/15/08............................................. 114 541 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06............................................. 583 -------- 879 -------- CONSUMER SERVICES -- 0.0%+ 30 Monsanto Company, 4.000% 05/15/08............................................. 30 -------- DEPARTMENT AND DISCOUNT STORES -- 0.2% 11 Kohl's Corporation, 6.000% 01/15/33............................................. 11 40 Target Corporation, 5.375% 06/15/09............................................. 44 135 Target Corporation, 5.875% 03/01/12............................................. 149
SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- DEPARTMENT AND DISCOUNT STORES -- (CONTINUED) $ 166 Wal-Mart Stores, Inc., 5.450% 08/01/06............................................. $ 181 142 Wal-Mart Stores, Inc., 4.550% 05/01/13............................................. 143 -------- 528 -------- DIVERSIFIED ELECTRONICS -- 0.2% 352 First Data Corporation, 4.700% 08/01/13............................................. 354 -------- DIVERSIFIED MANUFACTURING -- 0.0%+ 37 General Electric Company, 5.000% 02/01/13............................................. 38 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.2% 95 Appalachian Power Company, Series G, 3.600% 05/15/08............................................. 95 242 Cinergy Corporation, 6.250% 09/01/04............................................. 251 55 Dominion Resources, Inc., 5.000% 03/15/13............................................. 55 38 Ohio Edison Company, 4.000% 05/01/08+().......................................... 38 106 Pepco Holdings, Inc., 3.750% 02/15/06............................................. 108 9 Pepco Holdings, Inc., 5.500% 08/15/07............................................. 9 -------- 556 -------- ELECTRIC POWER -- NUCLEAR -- 0.3% 68 Duquesne Light Company, 6.700% 04/15/12............................................. 77 23 Energy East Corporation, 6.750% 06/15/12............................................. 26 147 FirstEnergy Corporation, Series B, 6.450% 11/15/11............................................. 153 118 FirstEnergy Corporation, Series C, 7.375% 11/15/31............................................. 121 190 Southern Company Capital Funding, Series A, 5.300% 02/01/07............................................. 205 58 Southern Power Company, Series B, 6.250% 07/15/12............................................. 64 90 Virginia Electric and Power Company, Series A, 5.375% 02/01/07............................................. 97 -------- 743 -------- ENERGY -- MISCELLANEOUS -- 0.3% 29 New York State Electric & Gas, 5.750% 05/01/23............................................. 28 223 Nisource Finance Corporation, 5.400% 07/15/14............................................. 226
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- ENERGY -- MISCELLANEOUS -- (CONTINUED) $ 374 Progress Energy, Inc., 6.050% 04/15/07............................................. $ 407 -------- 661 -------- FINANCE -- MISCELLANEOUS -- 1.0% 228 Associates Corporation of North America, 6.950% 11/01/18............................................. 269 155 CIT Group Inc., 7.375% 04/02/07............................................. 178 614 General Electric Capital Corporation, MTN, Series A, 6.750% 03/15/32............................................. 692 193 Household Finance Corporation, 5.875% 02/01/09............................................. 212 120 Household Finance Corporation, 6.375% 11/27/12............................................. 133 150 Household Finance Corporation, 7.350% 11/27/32............................................. 177 89 International Lease Finance Corporation, 4.500% 05/01/08............................................. 93 136 National Rural Utilities Cooperative Finance Corporation, 3.250% 10/01/07............................................. 137 140 National Rural Utilities Cooperative Finance Corporation, 5.750% 08/28/09............................................. 154 142 National Rural Utilities Cooperative Finance Corporation, MTN, Series C, 8.000% 03/01/32............................................. 176 -------- 2,221 -------- FOOD AND DRUG STORES -- 0.2% 335 Fred Meyer, Inc., 7.450% 03/01/08............................................. 388 33 The Kroger Company, 6.800% 04/01/11............................................. 38 40 The Kroger Company, 6.750% 04/15/12............................................. 45 -------- 471 -------- HEALTH SERVICES -- 0.2% 143 Cardinal Health, Inc., 6.750% 02/15/11............................................. 166 330 Wellpoint Health Networks Inc., 6.375% 06/15/06............................................. 364 42 Wellpoint Health Networks Inc., 6.375% 01/15/12............................................. 47 -------- 577 -------- HEAVY MACHINERY -- 0.1% 239 Caterpillar Finance Services Corporation, 5.950% 05/01/06............................................. 261 --------
SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 0.0%+ $ 63 Proctor & Gamble Company, 4.750% 06/15/07............................................. $ 68 -------- INSURANCE -- 0.6% 73 Hartford Life, Inc., 7.375% 03/01/31............................................. 86 59 Marsh & McLennan Companies, Inc., 5.875% 08/01/33............................................. 59 127 Mass Mutual Global Funding II, 2.550% 07/15/08@............................................ 123 99 Metlife, Inc., 5.375% 12/15/12............................................. 103 101 Metlife, Inc., 6.500% 12/15/32............................................. 108 44 Nationwide Financial Services, Inc., Class A, 5.900% 07/01/12............................................. 47 244 Principal Life Global, 6.250% 02/15/12@............................................ 270 32 Progressive Corporation, 6.250% 12/01/32............................................. 34 198 Prudential Financial, Inc., Series B, MTN, 4.500% 07/15/13............................................. 193 199 Prudential Funding LLC, MTN, 6.600% 05/15/08@............................................ 226 78 The Hartford Financial Services Group, Inc., 2.375% 06/01/06............................................. 78 68 The Hartford Financial Services Group, Inc., 4.625% 07/15/13@............................................ 67 -------- 1,394 -------- INTEGRATED OIL -- 0.1% 246 USX Corporation, 6.650% 02/01/06............................................. 271 -------- INVESTMENT SERVICES -- 1.7% 305 Bear Stearns Companies Inc., 4.000% 01/31/08............................................. 314 168 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. 184 121 Credit Suisse First Boston USA, Inc., 6.125% 11/15/11............................................. 133 86 Goldman Sachs Group, Inc., 4.125% 01/15/08............................................. 89 302 Goldman Sachs Group, Inc., 6.875% 01/15/11............................................. 347 301 Goldman Sachs Group, Inc., 6.600% 01/15/12............................................. 341 87 Goldman Sachs Group, Inc., 5.700% 09/01/12............................................. 93 327 Lehman Brothers Holdings Inc., 4.000% 01/22/08............................................. 337 248 Lehman Brothers Holdings Inc., 7.000% 02/01/08............................................. 283 144 Lehman Brothers Holdings Inc., 7.875% 08/15/10............................................. 174
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- INVESTMENT SERVICES -- (CONTINUED) $ 245 Merrill Lynch & Company, Inc., 6.000% 02/17/09............................................. $ 271 223 Merrill Lynch & Company, Inc., MTN, Series B, 2.070% 06/12/06............................................. 222 154 Merrill Lynch & Company, Inc., MTN, Series B, 3.700% 04/21/08............................................. 156 451 Morgan Stanley, 6.750% 04/15/11............................................. 515 229 Morgan Stanley, 6.600% 04/01/12............................................. 258 148 Morgan Stanley, 5.300% 03/01/13............................................. 153 159 Salomon Smith Barney Holdings Inc., 6.500% 02/15/08............................................. 180 -------- 4,050 -------- MEDICAL DEVICES AND SUPPLIES -- 0.1% 200 Becton, Dickinson and Company, 4.550% 04/15/13............................................. 201 105 Bristol-Myers Squibb Company, 5.250% 08/15/13@(a)......................................... 110 -------- 311 -------- METALS AND MINING -- 0.1% 181 Alcoa Inc., 7.375% 08/01/10............................................. 215 -------- NATURAL GAS DISTRIBUTION -- 0.2% 469 CenterPoint Energy Resources Corporation, 7.875% 04/01/13@............................................ 527 -------- NATURAL GAS PIPELINES -- 0.2% 169 Kinder Morgan, Inc., 6.650% 03/01/05............................................. 180 244 Teppco Partners, LP, 7.625% 02/15/12............................................. 288 -------- 468 -------- OIL REFINING AND MARKETING -- 0.0%+ 66 Valero Energy Corporation, 6.875% 04/15/12............................................. 74 -------- PAPER AND FOREST PRODUCTS -- 0.3% 132 Champion International Corporation, 7.350% 11/01/25............................................. 146 118 International Paper Company, 5.850%** 10/30/12........................................... 126 100 MeadWestvaco Corporation, 6.850% 04/01/12............................................. 113 174 MeadWestvaco Corporation, 8.200% 01/15/30............................................. 207 -------- 592 --------
SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- PHARMACEUTICALS -- 0.1% $ 150 Pharmacia Corporation, 6.600% 12/01/28............................................. $ 173 -------- PUBLISHING AND ADVERTISING -- 0.3% 127 Gannett Company, Inc., 6.375% 04/01/12............................................. 144 80 Knight-Ridder, Inc., 7.125% 06/01/11............................................. 94 49 News America Holdings, 9.250% 02/01/13............................................. 64 204 News America Holdings, 8.150% 10/17/36............................................. 251 64 News America Inc., 6.550% 03/15/33............................................. 67 -------- 620 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.3% 212 Burlington Northern Santa Fe Corporation, 6.750% 07/15/11............................................. 245 372 FedEx Corporation, 6.625% 02/12/04............................................. 379 -------- 624 -------- REAL ESTATE -- 0.1% 180 EOP Operating LP, 7.000% 07/15/11............................................. 205 27 ERP Operating LP, 5.200% 04/01/13............................................. 28 -------- 233 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.1% 120 Health Care Property Investors, Inc., 6.450% 06/25/12............................................. 130 98 Health Care Property Investors, Inc., MTN, Series D, 7.480% 04/05/04............................................. 100 -------- 230 -------- TELECOMMUNICATIONS SERVICES -- 1.2% 46 AT&T Corporation, 7.800% 11/15/11............................................. 53 32 AT&T Corporation, 8.500%** 11/15/31........................................... 38 69 AT&T Wireless Services Inc., 8.125% 05/01/12............................................. 82 80 AT&T Wireless Services Inc., 8.750% 03/01/31............................................. 99 312 BellSouth Telecommunications Inc., 6.375% 06/01/28............................................. 334 52 Citizens Communications Company, 9.250% 05/15/11............................................. 66
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 26 Citizens Communications Company, 9.000% 08/15/31............................................. $ 34 187 Cox Communications, Inc., Class A, 7.750% 11/01/10............................................. 223 61 Pacific Bell, 7.125% 03/15/26............................................. 71 132 SBC Communications Inc., 6.250% 03/15/11............................................. 147 27 Sprint Capital Corporation, 6.125% 11/15/08............................................. 29 307 Sprint Capital Corporation, 8.375% 03/15/12............................................. 362 249 Sprint Capital Corporation, 8.750% 03/15/32............................................. 296 172 Verizon Global Funding Corporation, 7.750% 12/01/30............................................. 207 478 Verizon New England Inc., 6.500% 09/15/11............................................. 539 116 Verizon Pennsylvania Inc., Series A, 5.650% 11/15/11............................................. 124 -------- 2,704 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $31,491).............................................. 32,565 -------- FOREIGN BONDS AND NOTES -- 1.9% BROADCASTING AND CABLE -- 0.0%+ 30 Rogers Cable Inc., 6.250% 06/15/13............................................. 30 -------- BUILDING MATERIALS -- 0.1% 137 Hanson Overseas BV, 6.750% 09/15/05............................................. 148 -------- CHEMICALS -- SPECIALTY -- 0.0%+ 15 Potash Corporation of Saskatchewan Inc., 4.875% 03/01/13............................................. 15 -------- COMMERCIAL BANKING -- 0.1% 224 Scotland International Finance, 4.250% 05/23/13+().......................................... 216 -------- DIVERSIFIED MANUFACTURING -- 0.0%+ 87 Rio Tinto Financial Ltd., 2.625% 09/30/08............................................. 84 --------
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- FOOD PRODUCTS -- 0.2% $ 66 Unilever Capital Corporation, 6.875% 11/01/05............................................. $ 73 383 Unilever Capital Corporation, 7.125% 11/01/10............................................. 453 -------- 526 -------- INTEGRATED OIL -- 0.3% 259 Conoco Funding Company, 6.350% 10/15/11............................................. 293 337 PEMEX Project Funding Master Trust, 8.625%** 02/01/22........................................... 376 101 Petro-Canada, 4.000% 07/15/13............................................. 95 -------- 764 -------- METALS AND MINING -- 0.1% 87 Alcan Inc., 6.450% 03/15/11............................................. 98 82 Alcan Inc., 7.250% 03/15/31............................................. 97 84 BHP Finance USA Ltd., 4.800% 04/15/13............................................. 86 -------- 281 -------- PUBLISHING AND ADVERTISING -- 0.1% 204 Thomson Corporation, 5.250% 08/15/13............................................. 212 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.1% 175 Canadian National Railway Company, 6.900% 07/15/28............................................. 198 -------- TELECOMMUNICATIONS SERVICES -- 0.9% 91 British Telecommunications, plc, 8.375%** 12/15/10........................................... 112 43 British Telecommunications, plc, 8.875%** 12/15/30........................................... 56 373 Deutsche Telecom International Finance BV, 5.250% 07/22/13............................................. 377 249 Deutsche Telekom International Finance BV, 8.750% 06/15/30............................................. 316 311 France Telecom SA, 9.000%** 03/01/11........................................... 380 190 France Telecom SA, 9.750% 03/01/31............................................. 254 486 Telus Corporation, 7.500% 06/01/07............................................. 547 -------- 2,042 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $4,462)............................................... 4,516 --------
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 20.9% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.6% $ 452 Freddie Mac, Series 2420, Class EC, 6.500% 03/15/30............................................. $ 458 648 Freddie Mac, Series 2434, Class PN, 6.500% 05/15/29............................................. 659 248 Freddie Mac, Series 2458, Class PC, 6.500% 02/15/26............................................. 248 2,654 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.113%** 12/15/30........................................... 103 -------- 1,468 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 17.7% 150 4.625% 10/15/13(a).......................................... 152 10,070 5.000% 03/01/18(d).......................................... 10,315 381 6.500% 08/25/29............................................. 387 3,034 6.500% 12/01/31##........................................... 3,162 4,220 6.500% 05/01/32............................................. 4,399 2,613 6.500% 01/01/33##........................................... 2,724 9,545 5.000% 05/01/33(d).......................................... 9,545 10,030 6.500% 09/01/33##........................................... 10,431 -------- 41,115 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 2.6% 4,483 5.500% 12/01/32(d).......................................... 4,595 1,325 5.500% 12/01/32(d).......................................... 1,358 -------- 5,953 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $48,168).............................................. 48,536 -------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- 12.0% 5,000 Federal Republic of Brazil, 2.188%** 04/15/12........................................... 4,015 1,250 Federal Republic of Brazil, 12.750% 01/15/20............................................ 1,338 250 Federal Republic of Brazil, 10.125% 05/15/27............................................ 224 99 Government of Canada, 5.250% 11/05/08............................................. 109 154 Hellenic Republic, 6.950% 03/04/08............................................. 178 250,000(i) Hungary Government Bond, Series 08/O, 6.250% 06/12/08............................................. 1,093 400 Malaysia, 7.500% 07/15/11............................................. 479 356 Quebec (Province of), 7.500% 09/15/29............................................. 452
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- (CONTINUED) $ 101 Region of Lombardy, 5.804% 10/25/32............................................. $ 106 2,279 Republic of Argentina, Series 2031, 12.000%** 06/19/31(b)....................................... 588 1,847 Republic of Brazil, 8.000% 04/15/14............................................. 1,686 300 Republic of Bulgaria, 8.250% 01/15/15@............................................ 343 46 Republic of Chile, 5.500% 01/15/13............................................. 48 868 Republic of Colombia, 9.750% 04/09/11............................................. 966 300 Republic of Colombia, 10.750% 01/15/13............................................ 336 100 Republic of Ecuador, 12.000% 11/15/12@........................................... 83 800 Republic of Ecuador, (7.000%) due 08/15/30 8.000% beginning 08/15/04................................... 500 269 Republic of Italy, 6.000% 02/22/11............................................. 305 149 Republic of Italy, 6.875% 09/27/23............................................. 178 29 Republic of Korea, 8.875% 04/15/08............................................. 36 500 Republic of Panama, 9.625% 02/08/11............................................. 571 752 Republic of Peru, 5.000%** 03/07/17........................................... 686 1,200 Republic of Philippines, 8.875% 04/15/08............................................. 1,319 200 Republic of Philippines, 10.625% 03/16/25............................................ 231 5,000(j) Republic of South Africa, 10.000% 02/28/08............................................ 751 500 Republic of South Africa, 7.375% 04/25/12............................................. 568 500 Republic of Turkey, 12.375% 06/15/09............................................ 586 750 Republic of Turkey, 11.500% 01/23/12............................................ 849 4,800 Russian Federation, (5.000%) due 03/31/30 7.500% beginning 03/31/07................................... 4,535 182 United Mexican States, 8.375% 01/14/11............................................. 217 206 United Mexican States, 6.375% 01/16/13............................................. 217 2,050 United Mexican States, 11.500% 05/15/26............................................ 3,005 555 United Mexican States, 7.500% 04/08/33............................................. 580
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- (CONTINUED) $ 550 United Mexican States, Series A, 9.875% 02/01/10............................................. $ 701 -------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $25,911).............................................. 27,879 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 7.7% FEDERAL FARM CREDIT BANK (FFCB) -- 0.1% 280 2.500% 03/15/06............................................. 284 -------- FEDERAL HOME LOAN BANK (FHLB) -- 0.7% 775 5.125% 03/06/06............................................. 834 490 5.800% 09/02/08............................................. 549 140 3.875% 06/14/13(a).......................................... 134 -------- 1,517 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 2.9% 1,500 3.875% 02/15/05............................................. 1,552 700 2.375% 04/15/06............................................. 706 500 4.875% 03/15/07............................................. 540 1,400 5.125% 10/15/08(a).......................................... 1,525 700 5.750% 03/15/09(a).......................................... 783 1,400 4.500% 01/15/13(a).......................................... 1,416 280 6.750% 03/15/31............................................. 332 -------- 6,854 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 3.1% 2,100 2.875% 10/15/05(a).......................................... 2,152 1,400 5.250% 06/15/06(a).......................................... 1,519 1,725 5.250% 01/15/09............................................. 1,888 990 4.375% 09/15/12(a).......................................... 997 380 7.250% 05/15/30(a).......................................... 475 -------- 7,031 -------- STUDENT LOAN MARKETING ASSOCIATION (SLMA) -- 0.7% 1,500 5.250% 03/15/06............................................. 1,621 -------- TENNESSEE VALLEY AUTHORITY -- 0.2% 600 4.700% 07/15/33............................................. 541 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $17,459).............................................. 17,848 --------
SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - -------------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 12.8% U.S. TREASURY NOTES -- 0.5% $ 1,000 3.875% 02/15/13(a)............................................ $ 999 200 6.250% 08/15/23(a)............................................ 234 -------- 1,233 -------- U.S. TREASURY STRIPS -- 12.3% 1,600 Interest only, 4.389%*** 11/15/13.......................................... 1,031 800 Interest only, 5.419%*** 05/15/23.......................................... 280 300 Principal only, 1.858%*** 08/15/06(a)....................................... 284 15,200 Principal only, 2.047%*** 11/15/06##........................................ 14,263 14,000 Principal only, 2.938%*** 11/15/08##........................................ 12,056 750 Principal only, 5.319%*** 11/15/21.......................................... 290 1,250 Principal only, 5.369%*** 08/15/29.......................................... 317 -------- 28,521 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $29,315).............................................. 29,754 -------- SHORT TERM INVESTMENTS -- 0.0% (Cost $50) U.S. TREASURY BILLS -- 0.0% 50 Discount note 12/18/03...................................... 50 -------- SHARES (000) - -------- INVESTMENT COMPANIES -- 45.3% 6,622 High Yield Portfolio@@........................................ 63,053 41,972 Nations Cash Reserves, Capital Class Shares#,##............... 41,972 -------- TOTAL INVESTMENT COMPANIES (Cost $106,996)............................................. 105,025 --------
VALUE (000) - -------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $266,449*).................................. 115.7% $268,835 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (15.7)% Cash.......................................................... $ 122 Foreign cash (cost $4)........................................ 4 Unrealized appreciation on forward foreign exchange contracts................................................... 417 Receivable for Fund shares sold............................... 170 Dividends receivable.......................................... 504 Interest receivable........................................... 1,434 Unrealized appreciation on swap contracts..................... 126 Unrealized depreciation on forward foreign exchange contracts................................................... (574) Variation margin/due to broker................................ (49) Collateral on securities loaned............................... (11,191) Payable for Fund shares redeemed.............................. (236) Investment advisory fee payable............................... (76) Administration fee payable.................................... (42) Shareholder servicing and distribution fees payable........... (41) Distributions payable......................................... (715) Payable for investment securities purchased................... (25,959) Accrued Trustees' fees and expenses........................... (56) Accrued expenses and other liabilities........................ (238) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... (36,400) -------- NET ASSETS.......................................... 100.0% $232,435 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 1,254 Accumulated net realized loss on investments sold, swaps, currency contracts, futures contracts and options.................... (15,062) Net unrealized appreciation of investments, swaps, currency contracts and futures contracts............................. 2,164 Paid-in capital............................................... 244,079 -------- NET ASSETS.................................................... $232,435 ========
SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS FUNDS Nations Strategic Income Fund STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($156,301,303 / 15,520,352 shares outstanding).............. $10.07 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($34,426,975 / 3,421,911 shares outstanding)................ $10.06 ======== Maximum sales charge.......................................... 4.75% Maximum offering price per share.............................. $10.56 INVESTOR B SHARES: Net asset value and offering price per share& ($37,960,867 / 3,770,765 shares outstanding)................ $10.07 ======== INVESTOR C SHARES: Net asset value and offering price per share& ($3,745,880 / 372,320 shares outstanding)................... $10.06 ========
- --------------- * Federal income tax information (see Note 12). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. @ 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. @@Mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. + Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and 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 $11,191. ##All or a portion of security segregated as collateral for swaps, TBA and futures contracts. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $10,758 and $10,921, respectively. (b) Issue in default. (d) TBA -- Securities purchased on a forward commitment basis. (i) Principal amount denominated in Hungarian Forint. (j) Principal amount denominated in South African Rand. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS FUNDS Nations High Yield Bond Fund STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - ---------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 100.4% Investment in Nations Master Investment Trust, High Yield Bond Master Portfolio*........................................... $1,087,573 ---------- TOTAL INVESTMENTS................................... 100.4% 1,087,573 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. (0.4)% Receivable for Fund shares sold............................... $ 6,263 Payable for Fund shares redeemed.............................. (10,305) Administration fee payable.................................... (160) Shareholder servicing and distribution fees payable........... (194) Accrued Trustees' fees and expenses........................... (33) Accrued expenses and other liabilities........................ (192) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (4,621) ---------- NET ASSETS.......................................... 100.0% $1,082,952 ========== NET ASSETS CONSIST OF: Distributions in excess of net investment income.............. $ (291) Accumulated net realized gain on investments sold............. 6,057 Net unrealized appreciation of investments.................... 63,913 Paid-in capital............................................... 1,013,273 ---------- NET ASSETS.................................................... $1,082,952 ==========
VALUE - ---------------------------------------------------------------------------------------- - ---------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($726,163,241 / 77,086,701 shares outstanding).............. $9.42 ========== INVESTOR A SHARES: Net asset value and redemption price per share ($163,023,022 / 17,425,173 shares outstanding).............................. $9.36 ========== 4.75% Maximum sales charge.......................................... $9.83 Maximum offering price per share.............................. INVESTOR B SHARES: Net asset value and offering price per share& ($136,032,777 / 14,561,814 shares outstanding).............. $9.34 ========== INVESTOR C SHARES: Net asset value and offering price per share& ($57,733,004 / 6,203,718 shares outstanding)................ $9.31 ==========
- --------------- *The financial statements of the High Yield Bond Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the High Yield Bond Fund's financial statements. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 38 [This page intentionally left blank] 39 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2003
SHORT- SHORT-TERM INTERMEDIATE INCOME GOVERNMENT --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 13,766 $ 6,674 Dividends (Net of foreign withholding taxes of $0, $0, $0, $0, $0, $0 and $0, respectively).......................... -- -- Dividend income from affiliated funds....................... 338 374 Securities lending.......................................... 42 34 Allocated from portfolio: Interest+................................................... -- -- Dividends (Net of foreign withholding taxes of $0, $0, $0, $0, $0, $0 and $2, respectively)+......................... -- -- Dividend income from affiliated funds+...................... -- -- Securities lending+......................................... -- -- Expenses+................................................... -- -- -------------- -------------- Total investment income................................. 14,146 7,082 -------------- -------------- EXPENSES: Investment advisory fee..................................... 1,560 724 Administration fee.......................................... 1,144 530 Transfer agent fees......................................... 161 83 Custodian fees.............................................. 33 15 Legal and audit fees........................................ 44 40 Registration and filing fees................................ 42 45 Trustees' fees and expenses................................. 10 10 Printing expense............................................ 25 17 Other....................................................... 9 --* -------------- -------------- Subtotal................................................ 3,028 1,464 Shareholder servicing and distribution fees: Primary B Shares.......................................... -- --* Investor A Shares......................................... 169 59 Investor B Shares......................................... 10 181 Investor C Shares......................................... 252 59 -------------- -------------- Total expenses.......................................... 3,459 1,763 Fees waived by investment advisor, administrator and/or distributor............................................... (520) -- Fees reduced by credits allowed by the custodian............ (4) --* Reimbursement from investment advisor....................... (55) (78) -------------- -------------- Net expenses............................................ 2,880 1,685 -------------- -------------- NET INVESTMENT INCOME/(LOSS)................................ 11,266 5,397 -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... (52) 3,254 Swap contracts............................................ 104 936 Written options........................................... -- (1,049) Futures contracts......................................... 1,057 (1,306) Foreign currency and net other assets..................... 37 -- Allocated from Portfolio: Security transactions+.................................... -- -- Foreign currency and net other assets+.................... -- -- -------------- -------------- Net realized gain/(loss) on investments..................... 1,146 1,835 -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities (Note 13)...................................... (639) (2,455) Swap contracts............................................ 24 (321) Written options........................................... -- (9) Futures contracts......................................... (1,259) 416 Foreign currency and net other assets..................... (8) -- Securities allocated from Portfolio (Note 13)+............ -- -- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... (1,882) (2,369) -------------- -------------- Net realized and unrealized gain/(loss) on investments...... (736) (534) -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 10,530 $ 4,863 ============== ==============
- --------------- * Amount represents less than $500. **Banc of America Capital Management, LLC has agreed to waive advisory fees related to Bond Fund's investment in Nations Convertible Securities Fund. + Allocated from Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 40 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
GOVERNMENT INTERMEDIATE STRATEGIC HIGH YIELD SECURITIES BOND BOND INCOME BOND - -------------------------------------------------------------------------------------- $ 3,956 $ -- $ 42,302 $ 2,862 $ -- -- -- 8,207 2,747 -- 190 -- 3,357 244 -- 18 -- 78 14 -- -- 12,731 -- -- 40,504 -- -- -- -- 231 -- 429 -- -- 521 -- 59 -- -- 91 -- (1,748) -- -- (2,918) -------------- -------------- -------------- -------------- -------------- 4,164 11,471 53,944 5,867 38,429 -------------- -------------- -------------- -------------- -------------- 598 -- 4,979 566 -- 268 632 2,738 249 856 42 128 436 35 128 15 -- 76 10 -- 41 36 48 37 31 27 37 30 26 38 10 10 10 10 10 16 13 33 20 20 9 -- 11 2 9 -------------- -------------- -------------- -------------- -------------- 1,026 856 8,361 955 1,092 -- -- -- -- -- 73 41 55 42 186 288 70 89 190 608 14 31 14 19 256 -------------- -------------- -------------- -------------- -------------- 1,401 998 8,519 1,206 2,142 (171) -- (50)** (113) -- (1) -- (2) (1) -- (1) -- -- -- -- -------------- -------------- -------------- -------------- -------------- 1,228 998 8,467 1,092 2,142 -------------- -------------- -------------- -------------- -------------- 2,936 10,473 45,477 4,775 36,287 -------------- -------------- -------------- -------------- -------------- 23 -- 7,239 (849) -- 482 -- 6,515 357 -- (1,050) -- (5,403) (311) -- (1,311) -- (5,501) 756 -- -- -- 2,995 202 -- -- 9,103 -- -- 9,441 -- -- -- -- 175 -------------- -------------- -------------- -------------- -------------- (1,856) 9,103 5,845 155 9,616 -------------- -------------- -------------- -------------- -------------- (302) -- 12,157 4,706 -- (230) -- 3,481 134 -- (4) -- (58) (1) -- 1,593 -- 5,030 (30) -- -- -- (1,861) (121) -- -- (4,696) -- -- 70,697 -------------- -------------- -------------- -------------- -------------- 1,057 (4,696) 18,749 4,688 70,697 -------------- -------------- -------------- -------------- -------------- (799) 4,407 24,594 4,843 80,313 -------------- -------------- -------------- -------------- -------------- $ 2,137 $ 14,880 $ 70,071 $ 9,618 $ 116,600 ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
SHORT-TERM INCOME --------------------------------- SIX MONTHS ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 11,266 $ 23,427 Net realized gain/(loss) on investments..................... 1,146 12,459 Net change in unrealized appreciation/(depreciation) of investments............................................... (1,882) 9,425 -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 10,530 45,311 Distributions to shareholders from net investment income: Primary A Shares.......................................... (9,547) (19,160) Primary B Shares.......................................... -- -- Investor A Shares......................................... (1,339) (3,177) Investor B Shares......................................... (12) (50) Investor C Shares......................................... (313) (1,040) Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... (3,604) (2,256) Primary B Shares.......................................... -- -- Investor A Shares......................................... (609) (388) Investor B Shares......................................... (9) (8) Investor C Shares......................................... (239) (188) Net increase/(decrease) in net assets from Fund share transactions.............................................. 129,058 324,557 -------------- -------------- Net increase/(decrease) in net assets....................... 123,916 343,601 NET ASSETS: Beginning of period......................................... 978,537 634,936 -------------- -------------- End of period............................................... $ 1,102,453 $ 978,537 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ 55 $ -- ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
SHORT-INTERMEDIATE GOVERNMENT GOVERNMENT SECURITIES --------------------------------- -------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 - -------------------------------------------------------------------------- $ 5,397 $ 14,410 $ 2,936 $ 7,477 1,835 22,763 (1,856) 14,599 (2,369) 12,775 1,057 10,869 -------------- -------------- -------------- -------------- 4,863 49,948 2,137 32,945 (4,511) (12,496) (1,696) (4,669) (1) (4) -- -- (490) (1,197) (719) (1,603) (240) (529) (495) (1,143) (78) (174) (25) (57) (5,781) (11,344) -- -- (2) (4) -- -- (682) (1,151) -- -- (537) (841) -- -- (183) (257) -- -- (49,996) 32,600 (27,770) (43,230) -------------- -------------- -------------- -------------- (57,638) 54,551 (28,568) (17,757) 511,460 456,909 256,842 274,599 -------------- -------------- -------------- -------------- $ 453,822 $ 511,460 $ 228,274 $ 256,842 ============== ============== ============== ============== $ 87 $ 10 $ (333) $ (334) ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 43 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
INTERMEDIATE BOND --------------------------------- SIX MONTHS ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 10,473 $ 21,309 Net realized gain/(loss) on investments..................... -- -- Net realized gain/(loss) on investments allocated from Portfolio+................................................ 9,103 10,750 Net change in unrealized appreciation/(depreciation) of investments............................................... -- -- Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+..................... (4,696) 28,591 -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 14,880 60,650 Distributions to shareholders from net investment income: Primary A Shares.......................................... (9,823) (19,190) Primary B Shares.......................................... -- -- Investor A Shares......................................... (423) (1,521) Investor B Shares......................................... (132) (275) Investor C Shares......................................... (53) (89) Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... -- (8,293) Primary B Shares.......................................... -- -- Investor A Shares......................................... -- (536) Investor B Shares......................................... -- (150) Investor C Shares......................................... -- (45) Net increase/(decrease) in net assets from Fund share transactions.............................................. (15,584) 387,828 -------------- -------------- Net increase/(decrease) in net assets....................... (11,135) 418,379 NET ASSETS: Beginning of period......................................... 747,153 328,774 -------------- -------------- End of period............................................... $ 736,018 $ 747,153 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ 376 $ 334 ============== ==============
- --------------- + Allocated from Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
BOND STRATEGIC INCOME HIGH YIELD BOND ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 - ------------------------------------------------------------------------------------------------------- $ 45,477 $ 94,229 $ 4,775 $ 9,570 $ 36,287 $ 38,089 5,845 44,496 155 2,907 -- -- -- -- -- -- 9,616 (3,486) 18,749 85,938 4,688 1,785 -- -- -- -- -- -- 70,697 2,223 -------------- -------------- -------------- -------------- -------------- -------------- 70,071 224,663 9,618 14,262 116,600 36,826 (43,229) (92,106) (3,346) (6,602) (24,423) (25,624) -- -- -- -- -- -- (733) (1,515) (711) (1,326) (5,580) (4,626) (229) (510) (654) (1,536) (4,118) (6,402) (35) (67) (64) (105) (1,766) (1,681) (15,339) (43,274) -- -- (169) -- -- -- -- -- -- -- (268) (734) -- -- (39) -- (113) (308) -- -- (33) -- (18) (40) -- -- (14) -- (148,625) 144,741 18,327 (13,211) 317,138 381,141 -------------- -------------- -------------- -------------- -------------- -------------- (138,518) 230,850 23,170 (8,518) 397,596 379,634 2,547,663 2,316,813 209,265 217,783 685,356 305,722 -------------- -------------- -------------- -------------- -------------- -------------- $ 2,409,145 $ 2,547,663 $ 232,435 $ 209,265 $ 1,082,952 $ 685,356 ============== ============== ============== ============== ============== ============== $ 6,469 $ 5,218 $ 1,254 $ 1,254 $ (291) $ (691) ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
SHORT-TERM INCOME SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 31,936 $ 320,664 50,863 $ 509,463 Issued in exchange for assets of Bank of America Short-Term Bond Fund (Note 13).......................... -- -- 1,246 12,475 Issued as reinvestment of dividends....................... 182 1,820 201 2,014 Redeemed.................................................. (18,753) (188,159) (23,996) (240,337) ------- --------- ------- --------- Net increase/(decrease)................................... 13,365 $ 134,325 28,314 $ 283,615 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 4,713 $ 47,419 13,148 $ 131,511 Issued as reinvestment of dividends....................... 141 1,423 240 2,412 Redeemed.................................................. (4,335) (43,536) (10,624) (106,159) ------- --------- ------- --------- Net increase/(decrease)................................... 519 $ 5,306 2,764 $ 27,764 ======= ========= ======= ========= INVESTOR B SHARES: Issued as reinvestment of dividends....................... 2 $ 18 5 $ 49 Redeemed.................................................. (26) (262) (45) (455) ------- --------- ------- --------- Net increase/(decrease)................................... (24) $ (244) (40) $ (406) ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 580 $ 5,833 3,478 $ 34,763 Issued as reinvestment of dividends....................... 38 381 85 849 Redeemed.................................................. (1,648) (16,543) (2,198) (22,028) ------- --------- ------- --------- Net increase/(decrease)................................... (1,030) $ (10,329) 1,365 $ 13,584 ======= ========= ======= ========= Total net increase/(decrease)............................. 12,830 $ 129,058 32,403 $ 324,557 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SHORT-INTERMEDIATE GOVERNMENT SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------- -------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 6,204 $ 26,660 23,490 $ 101,678 Issued in exchange for net assets of Bank of America Short-Term Government Fund (Note 13).................... -- -- 13,459 58,682 Issued as reinvestment of dividends....................... 300 1,307 688 2,970 Redeemed.................................................. (15,349) (66,215) (36,824) (159,579) ------- -------- ------- --------- Net increase/(decrease)................................... (8,845) $(38,248) 813 $ 3,751 ======= ======== ======= ========= PRIMARY B SHARES: Issued as reinvestment of dividends....................... 1 $ 3 2 $ 8 Redeemed.................................................. (38) (161) --* --* ------- -------- ------- --------- Net increase/(decrease)................................... (37) $ (158) 2 $ 8 ======= ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 2,515 $ 10,826 8,919 $ 38,517 Shares issued upon conversion from Investor B shares...... 11 48 223 979 Issued as reinvestment of dividends....................... 214 925 405 1,746 Redeemed.................................................. (3,559) (15,227) (8,738) (37,670) ------- -------- ------- --------- Net increase/(decrease)................................... (819) $ (3,428) 809 $ 3,572 ======= ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 979 $ 4,236 6,459 $ 28,111 Issued as reinvestment of dividends....................... 143 621 244 1,057 Shares redeemed upon conversion from Investor A shares.... (11) (48) (223) (979) Redeemed.................................................. (2,205) (9,467) (2,015) (8,743) ------- -------- ------- --------- Net increase/(decrease)................................... (1,094) $ (4,658) 4,465 $ 19,446 ======= ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 364 $ 1,578 2,065 $ 8,978 Issued as reinvestment of dividends....................... 46 198 76 328 Redeemed.................................................. (1,232) (5,280) (804) (3,483) ------- -------- ------- --------- Net increase/(decrease)................................... (822) $ (3,504) 1,337 $ 5,823 ======= ======== ======= ========= Total net increase/(decrease)............................. (11,617) $(49,996) 7,426 $ 32,600 ======= ======== ======= =========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
GOVERNMENT SECURITIES SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 533 $ 5,631 3,250 $ 33,226 Issued as reinvestment of dividends....................... 3 27 6 66 Redeemed.................................................. (1,773) (18,939) (8,185) (84,686) ------ -------- ------ -------- Net increase/(decrease)................................... (1,237) $(13,281) (4,929) $(51,394) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 1,005 $ 10,743 9,167 $ 92,540 Shares issued upon conversion from Investor B shares...... 42 461 197 2,065 Shares issued upon conversion from Investor C shares...... 10 100 -- -- Issued as reinvestment of dividends....................... 49 527 109 1,140 Redeemed.................................................. (1,429) (15,210) (9,495) (96,151) ------ -------- ------ -------- Net increase/(decrease)................................... (323) $ (3,379) (22) $ (406) ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 287 $ 3,087 2,276 $ 23,712 Issued as reinvestment of dividends....................... 37 397 88 918 Shares redeemed upon conversion into Investor A shares.... (42) (461) (197) (2,065) Redeemed.................................................. (1,216) (12,955) (1,439) (15,004) ------ -------- ------ -------- Net increase/(decrease)................................... (934) $ (9,932) 728 $ 7,561 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 45 $ 483 319 $ 3,301 Issued as reinvestment of dividends....................... 2 17 4 41 Shares redeemed upon conversion into Investor A shares.... (10) (100) -- -- Redeemed.................................................. (147) (1,578) (227) (2,333) ------ -------- ------ -------- Net increase/(decrease)................................... (110) $ (1,178) 96 $ 1,009 ====== ======== ====== ======== Total net increase/(decrease)............................. (2,604) $(27,770) (4,127) $(43,230) ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERMEDIATE BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 6,997 $ 69,724 23,468 $ 227,978 Issued in exchange for assets of Bank of America Intermediate Bond Fund (Note 13)........................ -- -- 45,092 439,200 Issued as reinvestment of dividends....................... 6 62 416 4,072 Redeemed.................................................. (8,562) (85,428) (26,642) (263,346) ------ -------- ------- --------- Net increase/(decrease)................................... (1,559) $(15,642) 42,334 $ 407,904 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 687 $ 6,874 3,738 $ 36,665 Shares issued upon conversion from Investor B shares...... --* 1 2 22 Issued as reinvestment of dividends....................... 36 360 180 1,762 Redeemed.................................................. (761) (7,577) (6,883) (67,591) ------ -------- ------- --------- Net increase/(decrease)................................... (38) $ (342) (2,963) $ (29,142) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 152 $ 1,517 983 $ 9,592 Issued as reinvestment of dividends....................... 10 102 34 336 Shares redeemed upon conversion into Investor A shares.... --* (1) (2) (22) Redeemed.................................................. (185) (1,837) (375) (3,653) ------ -------- ------- --------- Net increase/(decrease)................................... (23) $ (219) 640 $ 6,253 ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 161 $ 1,794 410 $ 4,436 Issued as reinvestment of dividends....................... 2 17 6 68 Redeemed.................................................. (108) (1,192) (157) (1,691) ------ -------- ------- --------- Net increase/(decrease)................................... 55 $ 619 259 $ 2,813 ====== ======== ======= ========= Total net increase/(decrease)............................. (1,565) $(15,584) 40,270 $ 387,828 ====== ======== ======= =========
- --------------- *Amount represents less than 500 shares, and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 49 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 17,590 $ 175,958 50,469 $ 499,916 Issued in exchange for assets of: Bank of America Charitable Bond Fund (Note 13).......... -- -- 22,207 217,846 Bank of America Bond Fund (Note 13)..................... -- -- 10,952 107,442 Issued as reinvestment of dividends....................... 988 9,958 2,185 21,537 Redeemed.................................................. (32,749) (327,879) (71,269) (705,069) ------- --------- ------- --------- Net increase/(decrease)................................... (14,171) $(141,963) 14,544 $ 141,672 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 2,435 $ 24,296 4,869 $ 47,958 Shares issued upon conversion from Investor B shares...... 5 45 41 400 Shares issued upon conversion from Investor C shares...... 3 33 -- -- Issued as reinvestment of dividends....................... 57 570 123 1,211 Redeemed.................................................. (2,858) (28,438) (4,883) (48,146) ------- --------- ------- --------- Net increase/(decrease)................................... (358) $ (3,494) 150 $ 1,423 ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 160 $ 1,612 720 $ 7,109 Issued as reinvestment of dividends....................... 28 277 69 679 Shares redeemed upon conversion into Investor A shares.... (5) (45) (40) (400) Redeemed.................................................. (473) (4,698) (618) (6,093) ------- --------- ------- --------- Net increase/(decrease)................................... (290) $ (2,854) 131 $ 1,295 ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 26 $ 265 138 $ 1,364 Issued as reinvestment of dividends....................... 3 33 7 72 Shares redeemed upon conversion into Investor A shares.... (3) (33) -- -- Redeemed.................................................. (58) (579) (110) (1,085) ------- --------- ------- --------- Net increase/(decrease)................................... (32) $ (314) 35 $ 351 ======= ========= ======= ========= Total net increase/(decrease)............................. (14,851) $(148,625) 14,860 $ 144,741 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
STRATEGIC INCOME SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 3,848 $ 38,693 4,181 $ 40,225 Issued as reinvestment of dividends....................... 11 110 23 223 Redeemed.................................................. (2,232) (22,334) (5,224) (50,094) ------ -------- ------ -------- Net increase/(decrease)................................... 1,627 $ 16,469 (1,020) $ (9,646) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 586 $ 5,872 906 $ 8,679 Shares issued upon conversion from Investor B shares...... 1 11 606 5,699 Issued as reinvestment of dividends....................... 42 416 79 758 Redeemed.................................................. (493) (4,927) (1,070) (10,234) ------ -------- ------ -------- Net increase/(decrease)................................... 136 $ 1,372 521 $ 4,902 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 347 $ 3,473 740 $ 7,131 Issued as reinvestment of dividends....................... 43 431 104 995 Shares redeemed upon conversion into Investor A shares.... (1) (11) (606) (5,699) Redeemed.................................................. (354) (3,525) (1,287) (12,360) ------ -------- ------ -------- Net increase/(decrease)................................... 35 $ 368 (1,049) $ (9,933) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 101 $ 1,015 283 $ 2,733 Issued as reinvestment of dividends....................... 4 35 8 74 Redeemed.................................................. (93) (932) (139) (1,341) ------ -------- ------ -------- Net increase/(decrease)................................... 12 $ 118 152 $ 1,466 ====== ======== ====== ======== Total net increase/(decrease)............................. 1,810 $ 18,327 (1,396) $(13,211) ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
HIGH YIELD BOND SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 -------------------- ------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 41,960 $ 383,657 42,767 $354,599 Issued as reinvestment of dividends....................... 413 3,793 348 2,862 Redeemed.................................................. (19,023) (175,018) (11,359) (93,019) ------- --------- ------- -------- Net increase/(decrease)................................... 23,350 $ 212,432 31,756 $264,442 ======= ========= ======= ======== INVESTOR A SHARES: Sold...................................................... 27,238 $ 247,514 16,131 $134,589 Shares issued upon conversion from Investor B shares...... 1 5 56 422 Issued as reinvestment of dividends....................... 323 2,943 342 2,772 Redeemed.................................................. (21,543) (197,505) (8,707) (72,247) ------- --------- ------- -------- Net increase/(decrease)................................... 6,019 $ 52,957 7,822 $ 65,536 ======= ========= ======= ======== INVESTOR B SHARES: Sold...................................................... 3,928 $ 35,472 5,572 $ 46,814 Issued as reinvestment of dividends....................... 262 2,388 474 3,856 Shares redeemed upon conversion into Investor A shares.... (1) (5) (56) (422) Redeemed.................................................. (809) (7,360) (2,088) (16,838) ------- --------- ------- -------- Net increase/(decrease)................................... 3,380 $ 30,495 3,902 $ 33,410 ======= ========= ======= ======== INVESTOR C SHARES: Sold...................................................... 3,549 $ 31,906 3,017 $ 25,212 Issued as reinvestment of dividends....................... 106 953 108 881 Redeemed.................................................. (1,281) (11,605) (1,030) (8,340) ------- --------- ------- -------- Net increase/(decrease)................................... 2,374 $ 21,254 2,095 $ 17,753 ======= ========= ======= ======== Total net increase/(decrease)............................. 35,123 $ 317,138 45,575 $381,141 ======= ========= ======= ========
SEE NOTES TO FINANCIAL STATEMENTS. 52 [This page intentionally left blank] 53 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- SHORT-TERM INCOME PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)................. $10.08 $0.11 $ --## $0.11 $(0.11) $(0.05) Year ended 3/31/2003#......... 9.82 0.31 0.29 0.60 (0.31) (0.03) Year ended 3/31/2002#......... 9.80 0.48 0.02 0.50 (0.48) -- Year ended 3/31/2001.......... 9.51 0.58 0.29 0.87 (0.58) -- Year ended 3/31/2000.......... 9.79 0.56 (0.28) 0.28 (0.56) -- Year ended 3/31/1999.......... 9.77 0.56 0.02 0.58 (0.56) -- INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)................. $10.10 $0.10 $ --## $0.10 $(0.10) $(0.05) Year ended 3/31/2003#......... 9.83 0.28 0.30 0.58 (0.28) (0.03) Year ended 3/31/2002#......... 9.81 0.45 0.02 0.47 (0.45) -- Year ended 3/31/2001.......... 9.51 0.56 0.30 0.86 (0.56) -- Year ended 3/31/2000.......... 9.79 0.54 (0.28) 0.26 (0.54) -- Year ended 3/31/1999.......... 9.77 0.54 0.02 0.56 (0.54) -- INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)................. $10.09 $0.06 $ --## $0.06 $(0.06) $(0.05) Year ended 3/31/2003#......... 9.83 0.21 0.29 0.50 (0.21) (0.03) Year ended 3/31/2002#......... 9.80 0.38 0.03 0.41 (0.38) -- Year ended 3/31/2001.......... 9.51 0.48 0.29 0.77 (0.48) -- Year ended 3/31/2000.......... 9.79 0.51 (0.28) 0.23 (0.51) -- Year ended 3/31/1999.......... 9.77 0.52 0.02 0.54 (0.52) -- INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)................. $10.09 $0.06 $ --## $0.06 $(0.06) $(0.05) Year ended 3/31/2003#......... 9.83 0.21 0.29 0.50 (0.21) (0.03) Year ended 3/31/2002#......... 9.80 0.38 0.03 0.41 (0.38) -- Year ended 3/31/2001.......... 9.51 0.48 0.29 0.77 (0.48) -- Year ended 3/31/2000.......... 9.79 0.47 (0.28) 0.19 (0.47) -- Year ended 3/31/1999.......... 9.77 0.52 0.02 0.54 (0.52) --
- --------------- + 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 (see Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The Reimbursement from Investment Adviser (see note 14) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 54 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------------------- $(0.16) $10.03 1.08% $922,177 0.48%+(a)(b) 2.24%+ 123% 0.58%+(a) (0.34) 10.08 6.18 791,981 0.50(a) 3.00 54 0.60(a) (0.48) 9.82 5.19 493,457 0.52(a) 4.79 80 0.62(a) (0.58) 9.80 9.44 358,812 0.51(a) 6.04 42 0.61(a) (0.56) 9.51 3.00 398,620 0.50(a) 5.86 62 0.63(a) (0.56) 9.79 6.07 397,467 0.50(a) 5.70 64 0.80(a) $(0.15) $10.05 0.96% $134,620 0.73%+(a)(b) 1.99%+ 123% 0.83%+(a) (0.31) 10.10 6.01 130,036 0.75(a) 2.75 54 0.85(a) (0.45) 9.83 4.91 99,453 0.77(a) 4.54 80 0.87(a) (0.56) 9.81 9.28 7,658 0.76(a) 5.79 42 0.86(a) (0.54) 9.51 2.76 11,831 0.73(a) 5.63 62 0.88(a) (0.54) 9.79 5.85 14,652 0.70(a) 5.50 64 1.05(a) $(0.11) $10.04 0.58% $ 1,916 1.48%+(a)(b) 1.24%+ 123% 1.58%+(a) (0.24) 10.09 5.12 2,170 1.50(a) 2.00 54 1.60(a) (0.38) 9.83 4.25 2,511 1.52(a) 3.79 80 1.62(a) (0.48) 9.80 8.36 2,515 1.51(a) 5.04 42 1.61(a) (0.51) 9.51 2.40 2,914 1.05(a) 5.31 62 1.63(a) (0.52) 9.79 5.70 5,825 0.85(a) 5.35 64 1.80(a) $(0.11) $10.04 0.58% $ 43,740 1.48%+(a)(b) 1.24%+ 123% 1.58%+(a) (0.24) 10.09 5.12 54,350 1.50(a) 2.00 54 1.60(a) (0.38) 9.83 4.23 39,515 1.52(a) 3.79 80 1.62(a) (0.48) 9.80 8.37 833 1.51(a) 5.04 42 1.61(a) (0.47) 9.51 1.97 987 1.50(a) 4.86 62 1.63(a) (0.52) 9.79 5.64 1,744 1.01(a) 5.19 64 1.80(a)
SEE NOTES TO FINANCIAL STATEMENTS. 55 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- SHORT-INTERMEDIATE GOVERNMENT PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)................. $4.36 $0.05 $ --## $0.05 $(0.05) $(0.06) Year ended 3/31/2003#......... 4.16 0.13 0.31 0.44 (0.13) (0.11) Year ended 3/31/2002#......... 4.15 0.18 0.01 0.19 (0.18) -- Year ended 3/31/2001.......... 3.94 0.23 0.21 0.44 (0.23) -- Year ended 3/31/2000.......... 4.10 0.22 (0.16) 0.06 (0.22) -- Year ended 3/31/1999.......... 4.12 0.22 (0.02) 0.20 (0.22) -- INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)................. $4.36 $0.04 $(0.01) $0.03 $(0.04) $(0.06) Year ended 3/31/2003#......... 4.16 0.12 0.31 0.43 (0.12) (0.11) Year ended 3/31/2002#......... 4.15 0.17 0.01 0.18 (0.17) -- Year ended 3/31/2001.......... 3.94 0.22 0.21 0.43 (0.22) -- Year ended 3/31/2000.......... 4.10 0.22 (0.16) 0.06 (0.22) -- Year ended 3/31/1999.......... 4.12 0.21 (0.02) 0.19 (0.21) -- INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)................. $4.36 $0.03 $ --## $0.03 $(0.03) $(0.06) Year ended 3/31/2003#......... 4.16 0.08 0.31 0.39 (0.08) (0.11) Year ended 3/31/2002#......... 4.15 0.13 0.01 0.14 (0.13) -- Year ended 3/31/2001.......... 3.94 0.19 0.21 0.40 (0.19) -- Year ended 3/31/2000.......... 4.10 0.19 (0.16) 0.03 (0.19) -- Year ended 3/31/1999.......... 4.12 0.19 (0.02) 0.17 (0.19) -- INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)................. $4.36 $0.03 $(0.01) $0.02 $(0.03) $(0.06) Year ended 3/31/2003#......... 4.15 0.08 0.32 0.40 (0.08) (0.11) Year ended 3/31/2002#......... 4.14 0.12 0.01 0.13 (0.12) -- Year ended 3/31/2001.......... 3.93 0.19 0.21 0.40 (0.19) -- Year ended 3/31/2000.......... 4.09 0.19 (0.16) 0.03 (0.19) -- Year ended 3/31/1999.......... 4.12 0.19 (0.03) 0.16 (0.19) --
- --------------- + 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 (see Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The Reimbursement from Investment Adviser (see note 14) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was 0.02%. Absent this reimbursement, the ratios of operating expenses to average net assets would have been 0.61% for Primary A Shares, 0.86% for Investor A Shares, and 1.61% each for Investor B and C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 56 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------------------- $(0.11) $4.30 1.21% $368,795 0.59%+(a)(b) 2.35%+ 171% 0.61%+(a) (0.24) 4.36 10.74 413,039 0.62(a) 2.95 180 0.62(a) (0.18) 4.16 4.68 390,543 0.62(a) 4.35 486 0.62(a) (0.23) 4.15 11.56 496,821 0.59(a) 5.77 108 0.59(a) (0.22) 3.94 1.63 497,392 0.60(a) 5.59 177 0.65(a) (0.22) 4.10 4.97 589,092 0.58(a) 5.36 242 0.78(a) $(0.10) $4.29 0.85% $ 43,245 0.84%+(a)(b) 2.10%+ 171% 0.86%+(a) (0.23) 4.36 10.46 47,480 0.87(a) 2.70 180 0.87(a) (0.17) 4.16 4.42 41,926 0.87(a) 4.10 486 0.87(a) (0.22) 4.15 11.31 44,244 0.82(a) 5.54 108 0.84(a) (0.22) 3.94 1.43 45,341 0.80(a) 5.39 177 0.90(a) (0.21) 4.10 4.76 44,793 0.78(a) 5.16 242 1.03(a) $(0.09) $4.30 0.70% $ 32,532 1.59%+(a)(b) 1.35%+ 171% 1.61%+(a) (0.19) 4.36 9.64 37,804 1.62(a) 1.95 180 1.62(a) (0.13) 4.16 3.64 17,474 1.62(a) 3.35 486 1.62(a) (0.19) 4.15 10.46 8,199 1.59(a) 4.77 108 1.59(a) (0.19) 3.94 0.70 8,400 1.51(a) 4.68 177 1.65(a) (0.19) 4.10 4.14 9,591 1.38(a) 4.56 242 1.78(a) $(0.09) $4.29 0.48% $ 9,250 1.59%+(a)(b) 1.35%+ 171% 1.61%+(a) (0.19) 4.36 9.91 12,975 1.62(a) 1.95 180 1.62(a) (0.12) 4.15 3.63 6,820 1.62(a) 3.35 486 1.62(a) (0.19) 4.14 10.49 1,079 1.59(a) 4.77 108 1.59(a) (0.19) 3.93 0.74 661 1.54(a) 4.65 177 1.65(a) (0.19) 4.09 4.05 1,190 1.34(a) 4.60 242 1.78(a)
SEE NOTES TO FINANCIAL STATEMENTS. 57 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 ------------------------------------------------------------------------- GOVERNMENT SECURITIES PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $10.74 $0.15 $(0.03) $ 0.12 $(0.15) Year ended 3/31/2003#..................... 9.79 0.31 0.95 1.26 (0.31) Year ended 3/31/2002#..................... 9.87 0.44 (0.08) 0.36 (0.44) Year ended 3/31/2001...................... 9.38 0.60 0.48 1.08 (0.59) Year ended 3/31/2000...................... 9.86 0.58 (0.48) 0.10 (0.58) Year ended 3/31/1999#..................... 9.90 0.58 (0.05) 0.53 (0.57) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $10.72 $0.13 $(0.03) $ 0.10 $(0.13) Year ended 3/31/2003#..................... 9.78 0.29 0.94 1.23 (0.29) Year ended 3/31/2002#..................... 9.86 0.42 (0.08) 0.34 (0.42) Year ended 3/31/2001...................... 9.37 0.57 0.49 1.06 (0.57) Year ended 3/31/2000...................... 9.86 0.57 (0.50) 0.07 (0.56) Year ended 3/31/1999#..................... 9.90 0.56 (0.05) 0.51 (0.55) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $10.74 $0.09 $(0.03) $ 0.06 $(0.09) Year ended 3/31/2003#..................... 9.79 0.21 0.95 1.16 (0.21) Year ended 3/31/2002#..................... 9.87 0.34 (0.08) 0.26 (0.34) Year ended 3/31/2001...................... 9.38 0.50 0.49 0.99 (0.50) Year ended 3/31/2000...................... 9.86 0.49 (0.48) 0.01 (0.49) Year ended 3/31/1999#..................... 9.90 0.49 (0.04) 0.45 (0.49) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $10.71 $0.09 $(0.03) $ 0.06 $(0.09) Year ended 3/31/2003#..................... 9.76 0.21 0.95 1.16 (0.21) Year ended 3/31/2002#..................... 9.84 0.34 (0.08) 0.26 (0.34) Year ended 3/31/2001...................... 9.34 0.52 0.48 1.00 (0.50) Year ended 3/31/2000...................... 9.86 0.49 (0.52) (0.03) (0.49) Year ended 3/31/1999#..................... 9.90 0.49 (0.04) 0.45 (0.49)
- --------------- + 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 (see 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%. (c)The Reimbursement from Investment Adviser (see note 14) included in the ratio of operating expenses to average net assets (with waivers) is not annualized. The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 58 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF NET ASSETS OPERATING NET INVESTMENT OPERATING NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ----------------------------------------------------------------------------------------------------- $10.71 1.09% $118,407 0.70%+(a)(c) 2.71%+ 187% 0.84%+(a) 10.74 13.02 132,009 0.71(a) 3.02 196 0.84(a) 9.79 3.70 168,621 0.73(a) 4.44 522 0.86(a) 9.87 11.97 153,799 0.75(a) 6.21 183 0.86(a) 9.38 1.12 108,798 0.78(b) 6.17 348 0.90 9.86 5.41 119,659 0.73(a) 5.70 600 0.84(a) $10.69 0.96% $ 55,561 0.95%+(a)(c) 2.46%+ 187% 1.09%+(a) 10.72 12.65 59,171 0.96(a) 2.77 196 1.09(a) 9.78 3.45 54,167 0.98(a) 4.19 522 1.11(a) 9.86 11.70 57,641 1.00(a) 5.96 183 1.11(a) 9.37 0.80 57,485 1.03(b) 5.92 348 1.15 9.86 5.16 19,167 0.98(a) 5.45 600 1.09(a) $10.71 0.58% $ 52,058 1.70%+(a)(c) 1.71%+ 187% 1.84%+(a) 10.74 11.91 62,227 1.71(a) 2.02 196 1.84(a) 9.79 2.67 49,611 1.73(a) 3.44 522 1.86(a) 9.87 10.86 27,544 1.75(a) 5.21 183 1.86(a) 9.38 0.22 26,988 1.72(b) 5.23 348 1.90 9.86 4.53 30,109 1.58(a) 4.85 600 1.84(a) $10.68 0.59% $ 2,248 1.70%+(a)(c) 1.71%+ 187% 1.84%+(a) 10.71 11.95 3,435 1.71(a) 2.02 196 1.84(a) 9.76 2.68 2,200 1.73(a) 3.44 522 1.86(a) 9.84 11.03 1,213 1.75(a) 5.21 183 1.86(a) 9.34 (0.22) 238 1.78(b) 5.17 348 1.90 9.86 4.52 213 1.59(a) 4.84 600 1.84(a)
SEE NOTES TO FINANCIAL STATEMENTS. 59 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 ------------------------------------------------------------------------- INTERMEDIATE BOND+++ PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ 9.93 $0.15 $ 0.05 $ 0.20 $(0.14) Year ended 3/31/2003#..................... 9.41 0.34 0.64 0.98 (0.34) Year ended 3/31/2002#..................... 9.52 0.49 (0.11) 0.38 (0.49) Year ended 3/31/2001#..................... 9.13 0.58 0.39 0.97 (0.58) Period ended 3/31/2000**.................. 9.52 0.49 (0.37) 0.12 (0.51) INVESTOR A SHARES* Six months ended 9/30/2003# (unaudited)... $ 9.96 $0.13 $ 0.06 $ 0.19 $(0.13) Year ended 3/31/2003#..................... 9.43 0.32 0.65 0.97 (0.32) Year ended 3/31/2002#..................... 9.55 0.47 (0.12) 0.35 (0.47) Year ended 3/31/2001#..................... 9.15 0.56 0.40 0.96 (0.56) Period ended 3/31/2000.................... 9.50 0.46 (0.34) 0.12 (0.47) Period ended 5/14/1999.................... 9.52 0.10 (0.04) 0.06 (0.08) Year ended 2/28/1999...................... 9.69 0.50 (0.03) 0.47 (0.53) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ 9.91 $0.09 $ 0.06 $ 0.15 $(0.09) Year ended 3/31/2003#..................... 9.39 0.25 0.64 0.89 (0.25) Year ended 3/31/2002#..................... 9.51 0.40 (0.12) 0.28 (0.40) Year ended 3/31/2001#..................... 9.13 0.47 0.42 0.89 (0.51) Period ended 3/31/2000**.................. 9.52 0.22 (0.36) (0.14) (0.25) INVESTOR C SHARES* Six months ended 9/30/2003# (unaudited)... $11.02 $0.09 $ 0.08 $ 0.17 $(0.09) Year ended 3/31/2003#..................... 10.39 0.23 0.75 0.98 (0.23) Year ended 3/31/2002#..................... 10.47 0.39 (0.08) 0.31 (0.39) Year ended 3/31/2001#..................... 9.32 0.47 1.09 1.56 (0.41) Period ended 3/31/2000.................... 9.56 0.34 (0.23) 0.11 (0.35) Period ended 5/14/1999.................... 9.59 0.09 (0.04) 0.05 (0.08) Year ended 2/28/1999...................... 9.72 0.46 -- 0.46 (0.48)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. +++ The per share amounts and percentages reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of the Intermediate Bond Master Portfolio. * The financial information for the fiscal periods through May 14, 1999 reflect the financial information for the Pacific Horizon Intermediate Bond Fund A, and K Shares, which were reorganized into the Intermediate Bond Investor A and Investor C Shares, respectively, as of May 21, 1999. Prior to May 21, 1999, the Fund's investment adviser was Bank of America National Trust and Savings Association. Effective May 21, 1999, its investment adviser became Banc of America Advisors, LLC and its investment sub-adviser became Banc of America Capital Management, LLC. ** Intermediate Bond Primary A and Investor B Shares commenced operations on May 21, 1999 and October 20, 1999. # Per share net investment income has been calculated using the monthly average shares method. SEE NOTES TO FINANCIAL STATEMENTS. 60 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF DISTRIBUTIONS TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING FROM NET DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) EXPENSES TO REALIZED AND VALUE TOTAL PERIOD AVERAGE TO AVERAGE AVERAGE GAINS DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS - ---------------------------------------------------------------------------------------------------------------------- $ -- $(0.14) $ 9.99 2.05% $684,455 0.70%+ 2.96%+ 0.70%+ (0.12) (0.46) 9.93 10.62 695,894 0.70 3.50 0.70 -- (0.49) 9.41 4.04 261,018 0.78 4.80 0.86 -- (0.58) 9.52 11.04 51,178 0.78 6.31 0.81 -- (0.51) 9.13 1.29 18,365 0.81+ 6.08+ 1.05+ $ -- $(0.13) $10.02 1.92% $ 31,720 0.95%+ 2.71%+ 0.95%+ (0.12) (0.44) 9.96 10.43 31,915 0.95 3.25 0.95 -- (0.47) 9.43 3.66 58,167 1.03 4.55 1.11 -- (0.56) 9.55 10.88 62,617 1.03 6.06 1.06 -- (0.47) 9.15 1.34 45,207 1.06+ 5.83+ 1.30+ -- (0.08) 9.50 0.66 61,412 1.09+ 4.90+ 1.12+ (0.11) (0.64) 9.52 4.89 63,404 0.90 5.14 0.90 $ -- $(0.09) $ 9.97 1.56% $ 13,590 1.70%+ 1.96%+ 1.70%+ (0.12) (0.37) 9.91 9.59 13,739 1.70 2.50 1.70 -- (0.40) 9.39 2.94 7,003 1.78 3.80 1.86 -- (0.51) 9.51 9.99 1,290 1.78 5.31 1.81 -- (0.25) 9.13 1.33 256 1.81+ 5.08+ 2.05+ $ -- $(0.09) $11.10 1.58% $ 6,253 1.70%+ 1.96%+ 1.70%+ (0.12) (0.35) 11.02 9.59 5,605 1.70 2.50 1.70 -- (0.39) 10.39 2.94 2,586 1.78 3.80 1.86 -- (0.41) 10.47 17.06 797 1.78 5.31 1.81 -- (0.35) 9.32 1.18 15 1.81+ 5.08+ 2.05+ -- (0.08) 9.56 0.47 469 1.57+ 4.42+ 1.84+ (0.11) (0.59) 9.59 4.76 495 1.39 4.67 1.65
SEE NOTES TO FINANCIAL STATEMENTS. 61 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- BOND PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)................. $10.00 $0.18 $ 0.10 $ 0.28 $(0.18) $(0.06) Year ended 3/31/2003#......... 9.66 0.37 0.51 0.88 (0.37) (0.17) Year ended 3/31/2002#......... 9.78 0.54 (0.12) 0.42 (0.54) -- Year ended 3/31/2001.......... 9.37 0.62 0.41 1.03 (0.62) -- Year ended 3/31/2000.......... 9.93 0.59 (0.52) 0.07 (0.59) (0.04) Year ended 3/31/1999.......... 10.03 0.59 (0.04) 0.55 (0.59) (0.06) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)................. $ 9.99 $0.17 $ 0.10 $ 0.27 $(0.17) $(0.06) Year ended 3/31/2003#......... 9.65 0.35 0.51 0.86 (0.35) (0.17) Year ended 3/31/2002#......... 9.78 0.51 (0.13) 0.38 (0.51) -- Year ended 3/31/2001.......... 9.37 0.60 0.41 1.01 (0.60) -- Year ended 3/31/2000.......... 9.93 0.57 (0.52) 0.05 (0.57) (0.04) Year ended 3/31/1999.......... 10.03 0.57 (0.04) 0.53 (0.57) (0.06) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)................. $ 9.99 $0.13 $ 0.11 $ 0.24 $(0.13) $(0.06) Year ended 3/31/2003#......... 9.66 0.27 0.50 0.77 (0.27) (0.17) Year ended 3/31/2002#......... 9.78 0.44 (0.12) 0.32 (0.44) -- Year ended 3/31/2001.......... 9.37 0.52 0.41 0.93 (0.52) -- Year ended 3/31/2000.......... 9.93 0.50 (0.52) (0.02) (0.50) (0.04) Year ended 3/31/1999.......... 10.03 0.51 (0.04) 0.47 (0.51) (0.06) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)................. $ 9.99 $0.13 $ 0.10 $ 0.23 $(0.13) $(0.06) Year ended 3/31/2003#......... 9.65 0.27 0.51 0.78 (0.27) (0.17) Year ended 3/31/2002#......... 9.78 0.44 (0.13) 0.31 (0.44) -- Year ended 3/31/2001.......... 9.37 0.52 0.41 0.93 (0.52) -- Year ended 3/31/2000.......... 9.93 0.48 (0.52) (0.04) (0.48) (0.04) Year ended 3/31/1999.......... 10.03 0.51 (0.04) 0.47 (0.51) (0.06)
- --------------- + 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 (see 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. 62 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - ------------------------------------------------------------------------------------------------------------------------- $ (0.24) $10.04 2.83% $2,350,265 0.67%+(a) 3.66%+ 204% 0.67%+(a) (0.54) 10.00 9.32 2,482,229 0.67(a) 3.75 488 0.67(a) (0.54) 9.66 4.33 2,256,647 0.68(a)(b) 5.41 314 0.68(a) (0.62) 9.78 11.39 2,333,703 0.67(a) 6.53 120 0.67(a) (0.63) 9.37 0.97 1,793,913 0.67 6.20 63 0.69 (0.65) 9.93 5.61 1,798,155 0.68(a) 5.86 107 0.78(a) $ (0.23) $10.03 2.71% $ 40,415 0.92%+(a) 3.41%+ 204% 0.92%+(a) (0.52) 9.99 9.05 43,828 0.92(a) 3.50 488 0.92(a) (0.51) 9.65 3.96 40,902 0.93(a)(b) 5.16 314 0.93(a) (0.60) 9.78 11.11 27,220 0.92(a) 6.28 120 0.92(a) (0.61) 9.37 0.74 23,420 0.90 5.97 63 0.94 (0.63) 9.93 5.40 32,119 0.88(a) 5.66 107 1.03(a) $ (0.19) $10.04 2.42% $ 15,949 1.67%+(a) 2.66%+ 204% 1.67%+(a) (0.44) 9.99 8.13 18,783 1.67(a) 2.75 488 1.67(a) (0.44) 9.66 3.29 16,877 1.68(a)(b) 4.41 314 1.68(a) (0.52) 9.78 10.29 6,994 1.67(a) 5.53 120 1.67(a) (0.54) 9.37 0.05 5,637 1.59 5.28 63 1.69 (0.57) 9.93 4.76 5,440 1.48(a) 5.06 107 1.78(a) $ (0.19) $10.03 2.32% $ 2,516 1.67%+(a) 2.66%+ 204% 1.67%+(a) (0.44) 9.99 8.24 2,823 1.67(a) 2.75 488 1.67(a) (0.44) 9.65 3.18 2,387 1.68(a)(b) 4.41 314 1.68(a) (0.52) 9.78 10.28 1,321 1.67(a) 5.53 120 1.67(a) (0.52) 9.37 (0.24) 934 1.67 5.20 63 1.69 (0.57) 9.93 4.90 1,137 1.40(a) 5.14 107 1.78(a)
SEE NOTES TO FINANCIAL STATEMENTS. 63 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS ---------------------------------------------------------------------------------------------- STRATEGIC INCOME PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)................. $ 9.84 $0.22 $ 0.23 $ 0.45 $(0.22) $ -- Year ended 3/31/2003#......... 9.61 0.46 0.23 0.69 (0.46) -- Year ended 3/31/2002#......... 9.89 0.60 (0.28) 0.32 (0.60) -- Year ended 3/31/2001#......... 9.53 0.66 0.35 1.01 (0.65) -- Year ended 3/31/2000.......... 10.31 0.68 (0.78) (0.10) (0.68) (0.00)## Year ended 3/31/1999#......... 10.55 0.66 (0.14) 0.52 (0.66) (0.10) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)................. $ 9.83 $0.21 $ 0.23 $ 0.44 $(0.21) $ -- Year ended 3/31/2003#......... 9.60 0.45 0.23 0.68 (0.45) -- Year ended 3/31/2002#......... 9.88 0.57 (0.28) 0.29 (0.57) -- Year ended 3/31/2001#......... 9.52 0.63 0.36 0.99 (0.63) -- Year ended 3/31/2000.......... 10.31 0.65 (0.79) (0.14) (0.65) (0.00)## Year ended 3/31/1999#......... 10.55 0.63 (0.14) 0.49 (0.63) (0.10) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)................. $ 9.84 $0.17 $ 0.23 $ 0.40 $(0.17) $ -- Year ended 3/31/2003#......... 9.61 0.37 0.23 0.60 (0.37) -- Year ended 3/31/2002#......... 9.89 0.50 (0.28) 0.22 (0.50) -- Year ended 3/31/2001#......... 9.52 0.56 0.37 0.93 (0.56) -- Year ended 3/31/2000.......... 10.31 0.59 (0.79) (0.20) (0.59) (0.00)## Year ended 3/31/1999#......... 10.55 0.57 (0.14) 0.43 (0.57) (0.10) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)................. $ 9.83 $0.17 $ 0.23 $ 0.40 $(0.17) $ -- Year ended 3/31/2003#......... 9.60 0.37 0.23 0.60 (0.37) -- Year ended 3/31/2002#......... 9.88 0.50 (0.28) 0.22 (0.50) -- Year ended 3/31/2001#......... 9.52 0.56 0.36 0.92 (0.56) -- Year ended 3/31/2000.......... 10.31 0.58 (0.79) (0.21) (0.58) (0.00)## Year ended 3/31/1999#......... 10.55 0.57 (0.14) 0.43 (0.57) (0.10)
- --------------- + 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 (see Note 2) on the operating expenses ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 64 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS - --------------------------------------------------------------------------------------------------------------------- $(0.22) $10.07 4.63% $156,301 0.74%+(a) 4.43%+ 226% 0.84%+(a) (0.46) 9.84 7.39 136,688 0.78(a) 4.79 255 0.88(a) (0.60) 9.61 3.30 143,283 0.81(a) 5.76 199 0.91(a) (0.65) 9.89 11.06 177,877 0.72 6.76 238 0.84 (0.68) 9.53 (0.95) 118,458 0.71(a) 6.80 107 0.90(a) (0.76) 10.31 5.00 317,937 0.70(a) 6.27 94 0.80(a) $(0.21) $10.06 4.50% $ 34,427 0.99%+(a) 4.18%+ 226% 1.09%+(a) (0.45) 9.83 7.14 32,300 1.03(a) 4.54 255 1.13(a) (0.57) 9.60 3.05 26,543 1.06(a) 5.51 199 1.16(a) (0.63) 9.88 10.80 29,102 0.97 6.51 238 1.09 (0.65) 9.52 (1.30) 30,870 0.96(a) 6.55 107 1.15(a) (0.73) 10.31 4.74 12,954 0.95(a) 6.02 94 1.05(a) $(0.17) $10.07 4.11% $ 37,961 1.74%+(a) 3.43%+ 226% 1.84%+(a) (0.37) 9.84 6.33 36,736 1.78(a) 3.79 255 1.88(a) (0.50) 9.61 2.28 45,960 1.81(a) 4.76 199 1.91(a) (0.56) 9.89 10.08 50,251 1.72 5.76 238 1.84 (0.59) 9.52 (1.98) 55,946 1.65(a) 5.86 107 1.90(a) (0.67) 10.31 4.11 67,651 1.55(a) 5.42 94 1.80(a) $(0.17) $10.06 4.11% $ 3,746 1.74%+(a) 3.43%+ 226% 1.84%+(a) (0.37) 9.83 6.33 3,541 1.78(a) 3.79 255 1.88(a) (0.50) 9.60 2.28 1,997 1.81(a) 4.76 199 1.91(a) (0.56) 9.88 9.98 1,527 1.72 5.76 238 1.84 (0.58) 9.52 (2.04) 1,202 1.71(a) 5.80 107 1.90(a) (0.67) 10.31 4.09 1,474 1.56(a) 5.41 94 1.80(a)
SEE NOTES TO FINANCIAL STATEMENTS. 65 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- HIGH YIELD BOND+++ PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)... $ 8.57 $0.36 $ 0.84 $ 1.20 $(0.35) Year ended 3/31/2003#..................... 8.86 0.77 (0.29) 0.48 (0.77) Year ended 3/31/2002#..................... 9.27 0.86 (0.34) 0.52 (0.88) Year ended 3/31/2001#..................... 9.90 0.96 (0.54) 0.42 (1.05) Period ended 3/31/2000*#.................. 10.00 0.09 (0.11) (0.02) (0.08) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)... $ 8.52 $0.36 $ 0.81 $ 1.17 $(0.33) Year ended 3/31/2003#..................... 8.80 0.75 (0.28) 0.47 (0.75) Year ended 3/31/2002#..................... 9.22 0.80 (0.32) 0.48 (0.85) Year ended 3/31/2001#..................... 9.88 0.96 (0.58) 0.38 (1.04) Period ended 3/31/2000*#.................. 10.00 0.08 (0.12) (0.04) (0.08) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)... $ 8.51 $0.32 $ 0.81 $ 1.13 $(0.30) Year ended 3/31/2003#..................... 8.80 0.69 (0.29) 0.40 (0.69) Year ended 3/31/2002#..................... 9.21 0.76 (0.33) 0.43 (0.79) Year ended 3/31/2001#..................... 9.88 0.92 (0.62) 0.30 (0.97) Period ended 3/31/2000**#................. 10.00 0.07 (0.12) (0.05) (0.07) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)... $ 8.47 $0.32 $ 0.82 $ 1.14 $(0.30) Year ended 3/31/2003#..................... 8.77 0.69 (0.30) 0.39 (0.69) Year ended 3/31/2002#..................... 9.19 0.76 (0.34) 0.42 (0.79) Year ended 3/31/2001#..................... 9.87 0.90 (0.61) 0.29 (0.97) Period ended 3/31/2000***#................ 10.02 0.04 (0.12) (0.08) (0.07)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. +++ The per share amounts and percentages reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of the High Yield Bond Master Portfolio. * High Yield Bond Primary A and Investor A Shares commenced operations on February 14, 2000. ** High Yield Bond Investor B Shares commenced operations on February 17, 2000. ***High Yield Bond Investor C Shares commenced operations on March 8, 2000. # Per share net investment income has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. SEE NOTES TO FINANCIAL STATEMENTS. 66 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF DISTRIBUTIONS TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING FROM NET DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) EXPENSES TO REALIZED AND VALUE TOTAL PERIOD AVERAGE TO AVERAGE AVERAGE GAINS DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS - ---------------------------------------------------------------------------------------------------------------------- $(0.00)## $(0.35) $9.42 14.15% $726,163 0.84%+ 7.83%+ 0.84%+ -- (0.77) 8.57 6.19 460,639 0.90 9.47 0.90 (0.05) (0.93) 8.86 6.05 194,867 0.93 9.75 1.00 -- (1.05) 9.27 4.51 61,181 0.93 10.97 1.45 -- (0.08) 9.90 (0.12) 9,394 0.93+ 7.03+ 12.66+ $(0.00)## $(0.33) $9.36 13.97% $163,023 1.09%+ 7.58%+ 1.09%+ -- (0.75) 8.52 6.07 97,154 1.15 9.22 1.15 (0.05) (0.90) 8.80 5.69 31,551 1.18 9.50 1.25 -- (1.04) 9.22 3.99 8,344 1.18 10.72 1.70 -- (0.08) 9.88 (0.33) 371 1.18+ 6.78+ 12.91+ $(0.00)## $(0.30) $9.34 13.48% $136,033 1.84%+ 6.83%+ 1.84%+ -- (0.69) 8.51 5.20 95,110 1.90 8.47 1.90 (0.05) (0.84) 8.80 5.06 64,091 1.93 8.75 2.00 -- (0.97) 9.21 3.29 22,106 1.93 9.97 2.45 -- (0.07) 9.88 (0.47) 3,426 1.93+ 6.03+ 13.66+ $(0.00)## $(0.30) $9.31 13.67% $ 57,733 1.84%+ 6.83%+ 1.84%+ -- (0.69) 8.47 5.09 32,453 1.90 8.47 1.90 (0.05) (0.84) 8.77 4.96 15,213 1.93 8.75 2.00 -- (0.97) 9.19 3.20 1,891 1.93 9.97 2.45 -- (0.07) 9.87 (0.76) 59 1.93 + 6.03+ 13.66+
SEE NOTES TO FINANCIAL STATEMENTS. 67 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, 2003, Funds Trust offered fifty-seven separate portfolios. These financial statements pertain only to the following U.S. government and corporate bond portfolios of Funds Trust: Short-Term Income Fund, Short-Intermediate Government Fund, Government Securities Fund, Intermediate Bond Fund, Bond Fund, Strategic Income Fund and High Yield Bond Fund (each a "Fund" and collectively, the "Funds"). Financial statements for the other portfolios of Funds Trust are presented under separate cover. The Funds currently offer four classes of shares: Primary A Shares, Investor A Shares, Investor B Shares and Investor C Shares. Shareholders of a Fund have equal voting rights on matters affecting all shareholders of the Fund. In addition, each class of shares of a Fund has exclusive voting rights on matters that relate solely to that class and separate voting rights on matters in which the interests of one class differ from the interests of any other class. Intermediate Bond Fund and High Yield Bond Fund (the "Feeder Funds") seek to achieve their investment objectives by investing substantially all of their assets in Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio, respectively (the "Master Portfolios"), each a series of Nations Master Investment Trust (the "Master Trust"), another open-end management investment company in the Nations Funds family. The Master Portfolios each have the same investment objective as that of its corresponding Feeder Fund. The values of the Feeder Funds' investments in the respective Master Portfolios included in the Statements of net assets reflect the Feeder Funds' proportionate beneficial interests in the net assets of the respective Master Portfolios (96.2% for Intermediate Bond Master Portfolio and 94.4% for High Yield Bond Master Portfolio at September 30, 2003). The financial statements of the Master Portfolios, including their schedules of investments, are included elsewhere within this report and should be read in conjunction with the Feeder Funds' financial statements. Other funds not registered under the 1940 Act and managed by Banc of America Capital Management, LLC ("BACAP"), whose financial statements are not presented here, also invest in the Master Portfolios. Certain Funds invest in securities of foreign issuers. There are certain risks involved in investing in foreign securities that are in addition to the usual risks inherent in domestic instruments. These risks include those resulting from currency fluctuations, future adverse political and economic developments and possible imposition of currency exchange blockages or other foreign government laws or restrictions. The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments in a specific country, industry or region. 1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. Securities valuation: Securities are generally valued using prices provided by a pricing service or based upon broker-dealer quotations. Certain prices provided by broker-dealers or the pricing service may be based on a matrix pricing system, which considers such factors as security prices, yields and maturities on comparable securities. Certain securities may be valued based upon quotes provided by one or more principal market makers. Securities, including options and futures contracts, traded on a recognized exchange are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on NASDAQ are valued at the NASDAQ official closing price. Securities which are primarily traded on foreign securities exchanges are valued at the last available closing values on their respective exchanges where primarily traded, or at the mean between the closing bid and ask prices if no sales are recorded. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. Investments in other Nations Funds are valued at their net asset value as determined by the applicable Nations Funds' prospectus. The valuation of each Feeder Fund's investment in its corresponding Master Portfolio is based on the reported net asset value of that Master Portfolio. The Master Portfolios use valuation policies consistent with those described above. 68 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Futures contracts: The Short-Term Income, Short-Intermediate Government, Government Securities, Bond and Strategic Income 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 enhance the portfolio's return. Upon entering into a futures contract, a Fund is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Fund each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect the changes in 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 and write call and put options on securities, futures and swap contracts ("swaptions"). A Fund may use such options on futures contracts in connection with its hedging strategies in lieu of purchasing and writing options directly on the underlying securities or stock indices or purchasing and selling the underlying futures, and to seek to enhance return. The Funds may write covered call options and put options on securities in which they are permitted to invest from time to time in seeking to attain each Fund's objective. Call options written by a Fund give the holder the right to buy the underlying securities from the Fund at a stated exercise price; put options give the holder the right to sell the underlying security to the Fund at a stated price. In the case of put options, a Fund is required to maintain in a separate account liquid assets with a value equal to or greater than the exercise price of the underlying securities. The Funds may also write combinations of covered puts and calls on the same underlying security. 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. Because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from the repurchase of a call option is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by a Fund. Foreign currency transactions: The books and records of the Funds are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of securities transactions, foreign currency transactions and the difference 69 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) between the amounts of interest and dividends recorded on the books of a Fund and the amounts actually received. The effects of changes in foreign currency exchange rates on securities are not separately identified in the Statements of operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on securities. Forward foreign currency transactions: Generally, each Fund may enter into forward currency exchange contracts only under two circumstances: (i) when a Fund enters into a contract for the purchase or sale of a security denominated in a foreign currency, to "lock in" the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when the investment adviser or sub-adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar. Forward foreign currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed or offset with the same counterparty, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset. Forward foreign currency contracts will be used primarily to protect the Funds from adverse currency movements and will generally not be entered into for terms greater than one year. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Fund's investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of net assets. In addition, the Funds could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. Swaps: The Funds may engage in swap transactions such as interest rate, total return, index or currency swaps, consistent with their investment objective and policies to obtain a desired return at a lower cost than if the Funds had invested directly in the asset that yielded the desired return. Swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest or total return throughout the lives of the agreements. The interest to be paid or received on interest rate swaps is included in interest income. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of net assets. A realized gain or loss is recorded upon termination of swap agreements and is equal to the difference between the Fund's basis in the swap and the proceeds from (or cost of) the closing transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that the swap contract counterparties will be able to meet their obligations pursuant to the swap contracts or that, in the event of default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to the swap contracts. The creditworthiness of the swap contract counterparties is closely monitored in order to minimize this risk. The use of derivative instruments involves, to varying degrees, elements of market risk in excess of the related amounts recognized in the Statements of net assets. When-issued/delayed delivery securities: Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Fund enters into such transactions, it is required to have segregated assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments. Credit risks exist on these commitments to the extent of any unrealized losses on the underlying securities purchased and any unrealized gains on the underlying securities sold. Market risk exists on these commitments to the same extent as if the securities were owned on a settled basis and losses are recorded and reported in the same manner. 70 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Stripped securities: Stripped mortgage-backed securities are derivative multi-class mortgage securities structured so that one class receives most, if not all, of the principal from the underlying mortgage assets, while the other class receives most, if not all, of the interest and the remainder of the principal. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may fail to fully recoup its initial investment in an interest-only security. The market value of these securities consisting entirely of principal payments can be extremely volatile in response to changes in interest rates. Credit risk reflects the risk that a Fund may not receive all or part of its principal because the issuer or credit enhancer has defaulted on its obligation. Dollar Rolls: The Funds may enter into dollar rolls in which the Fund sells mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon, and maturity) securities on a specified future date. During the roll period, the Fund forgoes principal and interest paid on the securities. The Fund's policy is to record the component of dollar rolls using "to be announced" mortgage-backed securities ("TBA Dollar Rolls") as purchase and sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the trade date of the sale transaction. Short-Intermediate Government, Government Securities, Bond and Strategic Income Funds had dollar rolls outstanding as of September 30, 2003, which are included in Payable for investment securities purchased on each Statement of net assets. Each Fund maintains a segregated account of U.S. Government securities or other liquid assets, the dollar value of which is equal to its obligation with respect to dollar rolls. 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 (including dividend income from affiliated funds) is recorded on ex-dividend date. Each Fund's investment income and realized and unrealized gains and losses are allocated among its share classes based upon the relative net assets of each class of shares. The Feeder Funds record their share of the investment income and realized and unrealized gains and losses reported by the Master Portfolios on a daily basis. The investment income and realized and unrealized gains and losses are allocated daily to investors in the Master Portfolios based upon the relative value of their investments in the Master Portfolios. Dividends and distributions to shareholders: It is the policy of each Fund (except Intermediate Bond and High Yield Bond) to declare dividends from net investment income daily and to pay such dividends monthly. Intermediate Bond and High Yield Bond Funds declare and pay dividends monthly. The Funds may declare and pay distributions of net investment income more frequently. Each Fund will distribute net realized capital gains (including net short-term capital gains) at least annually after the fiscal year in which the capital gains were earned, unless offset by any available capital loss carryforward. Dividend and distributions to shareholders are recorded on ex-dividend date. Income distributions and capital gain distributions on a Fund level are determined in accordance with federal income tax regulations which may differ from accounting principles generally accepted in the United States of America. Federal income tax: Each Fund intends to continue to qualify as a regulated investment company by complying with the applicable requirements of the Internal Revenue Code of 1986, as amended, and by distributing substantially all of its earnings to its shareholders. Therefore, no provision is made for federal income or excise taxes. Expenses: General expenses of Funds Trust are allocated to the Funds based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Fund or class of shares are charged to such Fund or class. The Feeder Funds record their share of the expenses reported by the Master Portfolios on a daily basis. The expenses are allocated daily to investors in the Master Portfolios based upon the relative value of the Feeder Funds' investments in the Master Portfolios. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Funds Trust has entered into an investment advisory agreement (the "Investment Advisory Agreement") with BACAP, 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 BACAP provides investment advisory services to the Funds. Under the terms of the Investment Advisory 71 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Agreement, BACAP is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Fund:
ANNUAL RATE ----------- Short-Term Income, Short-Intermediate Government............ 0.30% Bond........................................................ 0.40% Strategic Income............................................ 0.50%
FEES ON AVERAGE FEES ON AVERAGE DAILY NET ASSETS FEES ON AVERAGE DAILY NET ASSETS BETWEEN DAILY NET ASSETS UP TO $200 AND EXCEEDING $200 MILLION $250 MILLION $250 MILLION -------------------------------------------------------- Government Securities................................. 0.50% 0.45% 0.40%
The Feeder Funds indirectly pay for investment advisory services through their investments in their corresponding Master Portfolios (see Note 2 of Notes to financial statements of the Master Portfolios). The High Yield Bond Feeder Fund indirectly pays for sub-advisory services through its investments in its corresponding Master Portfolio (See Note 2 of Notes to financial statements of the Master Portfolios). BACAP Distributors, LLC ("BACAP Distributors"), a wholly-owned subsidiary of Bank of America, serves as sole administrator of Funds Trust. Under the administration agreement, BACAP Distributors is currently entitled to receive a fee, computed daily and paid monthly, at the maximum annual rate of 0.22% of the average daily net assets of all Funds except for Intermediate Bond Fund, which pays a monthly fee at the maximum annual rate of 0.17% of its average daily net assets and High Yield Bond Fund, which pays a monthly fee at the maximum annual rate of 0.18% of its average daily net assets. For the period beginning August 1, 2003 and until July 31, 2004, BACAP Distributors has agreed to waive 0.05% of its administration fees for Government Securities Fund. The Bank of New York ("BNY") serves as sub-administrator of Funds Trust pursuant to an agreement with BACAP Distributors. For the six months ended September 30, 2003, BACAP Distributors earned 0.17% (annualized) of the Funds' average daily net assets (net of waivers and sub-administrator fees) for its administration services. BACAP and/or its affiliates, from time to time, reduce its fees payable by each Fund. During the six months ended September 30, 2003 and until July 31, 2004, BACAP has agreed to waive its advisory fees for the Funds set forth below (as a percentage of the Funds' average daily net assets): Short-Term Income........................................... 0.10% Government Securities....................................... 0.10%* Strategic Income............................................ 0.10%
- --------------- *Contractual advisory fees are based on asset breakpoints causing this percentage to fluctuate, as the advisory waiver is subject to change in order to maintain a net advisory fee of 0.40% of Government Securities' average daily net assets. The advisory fee waiver presented reflects the maximum advisory fee waiver. In addition, during the six months ended September 30, 2003 and until July 31, 2004, BACAP has agreed to reimburse expenses and/or waive their fees to the extent that the total expenses (excluding interest expense, 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 - ------------------------------------------------------------------------- Intermediate Bond Fund...................................... 0.81% High Yield Bond Fund........................................ 0.93%
BACAP is entitled to recover from Intermediate Bond Fund any fees waived or expenses reimbursed by BACAP during the three year period following the date of 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, 2003, for Intermediate Bond Fund no fees were recoverable by BACAP pursuant to this arrangement. BNY serves as the custodian of Funds Trust's assets. For the six months ended September 30, 2003, expenses of the Funds were reduced by $7,880 under expense offset arrangements with BNY. The Funds could have invested a portion of 72 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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. serves as the transfer agent for the Funds' shares. Bank of America serves as the sub-transfer agent for the Primary A Shares of the Funds. Bank of America is entitled to receive from the transfer agent a fee equal to the costs incurred by Bank of America in providing services pursuant to its obligations as sub-transfer agent at the annual rate of up to 0.01% attributable to the net assets of the Primary A shares of the Funds. For the six months ended September 30, 2003, Bank of America earned approximately $77,759 for providing such services and is included in "Transfer agent fees" in the Statements of operations. BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2003, the Funds were informed that the distributors received the following:
FRONT END CONTINGENT DEFERRED SALES CHARGE SALES CHARGE (000) (000) ------------ -------------------------------------- FUND INVESTOR A INVESTOR A INVESTOR B INVESTOR C - -------------------------------------------------------------------------------------------------------------------- Short-Term Income........................................... $ 28 $ 15 $-- $10 Short-Intermediate Government............................... 69 5 45 6 Government Securities....................................... 58 -- 88 3 Intermediate Bond........................................... 17 1 14 1 Bond........................................................ 25 12 14 1 Strategic Income............................................ 81 1 17 1 High Yield Bond............................................. 615 189 91 68
No officer, director or employee of Bank of America, BACAP Distributors 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. Certain Funds have made daily investments of cash balances in the 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". BACAP and BACAP Distributors have earned fees related to investments in affiliated funds. Certain Funds have invested in portfolios contained within the various Nations Trusts, pursuant to an exemptive order received from the Securities and Exchange Commission. Bond Fund has invested in Convertible Securities Fund, a portfolio of Funds Trust. Strategic Income Fund and Bond Fund have invested in High Yield Portfolio, a portfolio of Master Trust. The income earned from such investments is included in their Statements of operations as "Dividend income from affiliated funds". BACAP has agreed to waive advisory fees on Bond Fund's investment in Convertible Securities Fund and this waiver is included in Bond Fund's Statement of operations as "Fees waived by investment advisor, administrator and/or distributor". A significant portion of each Fund's Primary A Shares represents investments by fiduciary accounts over which Bank of America has either sole or joint investment discretion. 3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS Funds Trust has adopted shareholder servicing plans and distribution plans for the Investor B and Investor C Shares of each Fund and a combined distribution and shareholder servicing plan for the Investor A Shares of each Fund. The shareholder servicing plans permit the Funds to compensate or reimburse servicing agents for shareholder services provided by the servicing agents. The distribution plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit the 73 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Funds to compensate or reimburse the distributor and/or selling agents for activities or expenses primarily intended to result in the sale of the applicable classes' shares. Payments are made at an annual rate, as a percentage of average daily net assets, set from time to time by the Board of Trustees, and are charged as expenses of each Fund directly to the applicable share class. A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BACAP Distributors. For the six months ended September 30, 2003, 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 ------------------- Investor A Combined Distribution and Shareholder Servicing Plan...................................................... 0.25%* 0.25% Investor B and Investor C Shareholder Servicing Plans....... 0.25% 0.25% Investor B and Investor C Distribution Plans................ 0.75% 0.75%
- --------------- *Short-Term Income Fund pays its shareholder servicing fees under a separate servicing plan. 4. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) --------------------- Short-Term Income........................................... $349,930 $ 91,736 Bond........................................................ 481,252 307,508 Strategic Income............................................ 35,933 12,324
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) ------------------------ Short-Term Income........................................... $1,050,223 $1,088,770 Short-Intermediate Government............................... 739,029 749,514 Government Securities....................................... 416,331 393,880 Bond........................................................ 4,432,891 4,303,242 Strategic Income............................................ 350,139 321,740
5. FUTURES CONTRACTS At September 30, 2003, the following Funds had futures contracts open:
UNREALIZED VALUE OF CONTRACT MARKET VALUE APPRECIATION/ NUMBER OF WHEN OPENED OF CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INCOME FUND: U.S. 5 year Treasury Note Futures (short position) expiring December 2003(a).......................................... (245) $ (26,742) $(27,800) $(1,058) ======= SHORT-INTERMEDIATE GOVERNMENT FUND: U.S. 10 year Treasury Note Futures (long position) expiring December 2003(a).......................................... 296 32,116 33,929 $ 1,813 U.S. 5 year Treasury Note Futures (short position) expiring December 2003(a).......................................... (367) (40,148) (41,643) (1,496) U.S. 20 year Treasury Note Futures (long position) expiring December 2003(a).......................................... 25 2,616 2,804 188 ------- Total net unrealized appreciation......................... $ 505 =======
74 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
UNREALIZED VALUE OF CONTRACT MARKET VALUE APPRECIATION/ NUMBER OF WHEN OPENED OF CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) - ------------------------------------------------------------------------------------------------------------------------------ GOVERNMENT SECURITIES FUND: U.S. 10 year Treasury Note Futures (long position) expiring December 2003(a).......................................... 103 $ 11,236 $ 11,806 $ 570 U.S. 20 year Treasury Bond Futures (long position) expiring December 2003(a).......................................... 235 24,565 26,357 1,792 U.S. 2 year Treasury Note Futures (short position) expiring December 2003(a).......................................... (15) (3,190) (3,234) (44) U.S. 5 year Treasury Note Futures (short position) expiring December 2003(a).......................................... (201) (22,057) (22,808) (751) ------- Total net unrealized depreciation......................... $ 1,567 ======= BOND FUND: U.S. 2 year Treasury Note Futures (long position) expiring September 2003(a)......................................... 250 53,160 53,899 $ 739 U.S. 5 year Treasury Note Futures (short position) expiring December 2003(a).......................................... (337) (37,294) (38,239) (945) U.S. 10 year Treasury Note Futures (short position) expiring December 2003(a).......................................... (699) (76,036) (80,123) (4,087) U.S. 20 year Treasury Bond Futures (long position) expiring December 2003(a).......................................... 1,140 119,372 127,858 8,486 ------- Total net unrealized depreciation......................... $ 4,193 ======= STRATEGIC INCOME FUND: 90 Day Euro Futures (long position) expiring March 2004(a)................................................... 80 19,690 19,767 $ 77 U.S. 2 year Treasury Note Futures (long position) expiring December 2003(a).......................................... 20 4,254 4,312 58 U.S. 5 year Treasury Note Futures (long position) expiring December 2003(a).......................................... 25 2,731 2,837 106 U.S. 10 year Treasury Bond Futures (short position) expiring December 2003(a).......................................... (2) (217) (229) (12) U.S. 20 year Treasury Bond Futures (long position) expiring December 2003(a).......................................... 64 6,743 7,178 435 U.S. 5 year Treasury Note Futures (short position) expiring December 2003(a).......................................... (239) (26,263) (27,119) (856) ------- Total net unrealized depreciation......................... $ (192) =======
- --------------- (a)Securities have been segregated as collateral for the Fund's open futures contracts. 6. WRITTEN OPTIONS Written options for the six months ended September 30, 2003 aggregated the following:
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS (FUND) CONTRACTS (000) - ----------------------------------------------------------------------------------- SHORT INTERMEDIATE GOVERNMENT: Outstanding at March 31, 2003............................... 24 $ 153 Contracts opened............................................ 241 1,354 Contracts closed............................................ (89) (481) Contracts expired........................................... (176) (1,025) ------- ------- Outstanding at September 30, 2003........................... -- $ -- ======= ======= GOVERNMENT SECURITIES: Outstanding at March 31, 2003............................... 12 $ 77 Contracts opened............................................ 122 686 Contracts closed............................................ (45) (243) Contracts expired........................................... (89) (520) ------- ------- Outstanding at September 30, 2003........................... -- $ -- ======= =======
75 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS (FUND) CONTRACTS (000) - ----------------------------------------------------------------------------------- BOND: Outstanding at March 31, 2003............................... 12,135 $ 1,143 Contracts opened............................................ 1,287 8,079 Contracts closed............................................ (512) (3,626) Contracts expired........................................... (12,895) (5,309) ------- ------- Outstanding at September 30, 2003........................... 15 $ 287 ======= ======= STRATEGIC INCOME: Outstanding at March 31, 2003............................... 2 $ 16 Contracts opened............................................ 62 354 Contracts closed............................................ (21) (119) Contracts expired........................................... (43) (251) ------- ------- Outstanding at September 30, 2003........................... -- $ -- ======= =======
7. FORWARD FOREIGN CURRENCY CONTRACTS At September 30, 2003, the following Funds had forward foreign currency contracts outstanding:
VALUE OF VALUE OF UNREALIZED CONTRACT CONTRACT WHEN MARKET VALUE APPRECIATION/ WHEN OPENED OPENED OF CONTRACT (DEPRECIATION) LOCAL (LOCAL CURRENCY) (US DOLLARS) (US DOLLARS) (US DOLLARS) DESCRIPTION CURRENCY (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INCOME FUND: CONTRACTS TO BUY Expiring November 18, 2003............ Australian Dollar 1,158 $ 753 $ 779 $ 26 Expiring November 18, 2003............ Australian Dollar 1,500 982 1,010 28 Expiring October 16, 2003............. Australian Dollar 1,534 1,000 1,036 36 Expiring October 17, 2003............. Euro 1,000 1,117 1,164 47 Expiring October 17, 2003............. Euro 1,000 1,164 1,164 --* Expiring November 13, 2003............ Japanese Yen 287,155 2,500 2,574 74 Expiring December 16, 2003............ Thailand Baht 40,078 1,000 1,004 4 Expiring December 16, 2003............ Taiwan Dollar 33,300 1,000 995 (5) -------- Net unrealized appreciation........... $ 210 -------- CONTRACTS TO SELL: Expiring November 18, 2003............ Canadian Dollar (1,043) (753) (771) $ (18) Expiring November 18, 2003............ Canadian Dollar (1,382) (982) (1,021) (39) Expiring October 17, 2003............. Swiss Franc (1,549) (1,117) (1,173) (56) Expiring October 17, 2003............. Swiss Franc (1,539) (1,164) (1,166) (2) Expiring November 13, 2003............ Japanese Yen (290,493) (2,500) (2,603) (103) -------- Net unrealized depreciation........... $ (218) -------- Total net unrealized depreciation..... $ (8) ======== BOND: CONTRACTS TO BUY Expiring November 18, 2003............ Australian Dollar 3,091 2,011 2,081 $ 70 Expiring November 18, 2003............ Australian Dollar 9,168 6,005 6,173 168 Expiring November 18, 2003............ Australian Dollar 3,000 1,912 2,019 107 Expiring October 16, 2003............. Australian Dollar 12,959 8,500 8,757 257 Expiring October 16, 2003............. Australian Dollar 1,523 1,000 1,029 29 Expiring October 16, 2003............. Australian Dollar 3,068 2,000 2,073 73 Expiring November 18, 2003............ Canadian Dollar 2,789 1,969 2,062 93 Expiring October 7, 2003.............. Euro 2,633 3,000 3,066 66 Expiring October 7, 2003.............. Euro 2,633 3,000 3,066 66 Expiring October 7, 2003.............. Euro 1,757 2,000 2,045 45 Expiring October 8, 2003.............. Euro 1,738 2,000 2,024 24 Expiring November 6, 2003............. Euro 7,015 8,000 8,161 161 Expiring October 8, 2003.............. Euro 3,546 4,000 4,129 129 Expiring October 7, 2003.............. Euro 5,323 6,000 6,198 198
76 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
VALUE OF VALUE OF UNREALIZED CONTRACT CONTRACT WHEN MARKET VALUE APPRECIATION/ WHEN OPENED OPENED OF CONTRACT (DEPRECIATION) LOCAL (LOCAL CURRENCY) (US DOLLARS) (US DOLLARS) (US DOLLARS) DESCRIPTION CURRENCY (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- Expiring October 7, 2003.............. Euro 3,544 $ 4,000 $ 4,126 $ 126 Expiring October 6, 2003.............. Euro 2,670 3,000 3,109 109 Expiring October 7, 2003.............. Euro 3,567 4,000 4,153 153 Expiring October 6, 2003.............. Euro 2,696 3,000 3,140 140 Expiring October 6, 2003.............. Euro 2,675 3,000 3,115 115 Expiring October 7, 2003.............. Euro 2,688 3,000 3,130 130 Expiring October 6, 2003.............. Euro 1,807 2,000 2,104 104 Expiring October 7, 2003.............. Euro 1,830 2,000 2,130 130 Expiring October 9, 2003.............. Euro 2,000 2,191 2,329 138 Expiring October 9, 2003.............. Euro 1,833 2,000 2,134 134 Expiring October 9, 2003.............. Euro 3,629 4,000 4,225 225 Expiring October 7, 2003.............. Euro 2,761 3,000 3,214 214 Expiring October 7, 2003.............. Euro 4,624 5,000 5,384 384 Expiring October 17, 2003............. Euro 2,780 3,000 3,237 237 Expiring October 17, 2003............. Euro 16,000 17,879 18,624 745 Expiring October 7, 2003.............. Euro 1,000 1,164 1,164 --* British Pound Expiring October 15, 2003............. Sterling 2,500 3,962 4,149 187 British Pound Expiring October 15, 2003............. Sterling 1,000 1,586 1,660 74 Expiring October 23, 2003............. Hungarian Forint 1,904,000 7,871 8,669 798 Expiring October 23, 2003............. Hungarian Forint 817,260 3,445 3,721 276 Expiring October 23, 2003............. Hungarian Forint 264,400 1,116 1,204 88 Expiring October 6, 2003.............. Iceland Krona 766,800 9,903 10,021 118 Expiring October 7, 2003.............. Iceland Krona 423,500 5,469 5,534 65 Expiring October 7, 2003.............. Iceland Krona 212,200 2,741 2,773 32 Expiring October 7, 2003.............. Iceland Krona 211,575 2,732 2,765 33 Expiring October 7, 2003.............. Iceland Krona 211,637 2,733 2,765 32 Expiring October 9, 2003.............. Iceland Krona 85,270 1,069 1,114 45 Expiring October 9, 2003.............. Iceland Krona 84,910 1,073 1,109 36 Expiring October 8, 2003.............. Iceland Krona 84,260 1,062 1,101 39 Expiring October 7, 2003.............. Iceland Krona 84,177 1,091 1,100 9 Expiring October 9, 2003.............. Iceland Krona 210,500 2,718 2,750 32 Expiring October 8, 2003.............. Iceland Krona 84,180 1,087 1,100 13 Expiring October 7, 2003.............. Iceland Krona 84,190 1,088 1,100 12 Expiring October 9, 2003.............. Iceland Krona 84,073 1,096 1,098 2 Expiring October 7, 2003.............. Iceland Krona 168,080 2,192 2,196 4 Expiring October 7, 2003.............. Iceland Krona 84,220 1,098 1,100 2 Expiring October 7, 2003.............. Iceland Krona 127,035 1,663 1,660 (3) Expiring November 6, 2003............. Iceland Krona 84,710 1,105 1,104 (1) Expiring November 6, 2003............. Iceland Krona 84,550 1,103 1,102 (1) Expiring November 6, 2003............. Iceland Krona 85,020 1,109 1,108 (1) Expiring November 6, 2003............. Iceland Krona 84,710 1,117 1,105 (12) Expiring November 6, 2003............. Iceland Krona 84,850 1,119 1,106 (13) Expiring November 6, 2003............. Iceland Krona 84,790 1,118 1,106 (12) Expiring November 6, 2003............. Iceland Krona 169,880 2,240 2,215 (25) Expiring November 6, 2003............. Iceland Krona 169,840 2,265 2,215 (50) Expiring November 6, 2003............. Iceland Krona 85,180 1,133 1,111 (22) Expiring November 6, 2003............. Iceland Krona 85,580 1,138 1,116 (22) Expiring November 6, 2003............. Iceland Krona 85,430 1,136 1,114 (22) Expiring November 6, 2003............. Iceland Krona 170,340 2,266 2,221 (45) Expiring November 6, 2003............. Iceland Krona 85,660 1,139 1,117 (22) Expiring November 6, 2003............. Iceland Krona 84,970 1,130 1,108 (22) Expiring October 9, 2003.............. Iceland Krona 170,060 2,270 2,222 (48) Expiring November 6, 2003............. Iceland Krona 86,410 1,160 1,127 (33) Expiring October 7, 2003.............. Iceland Krona 87,716 1,152 1,146 (6) Expiring November 6, 2003............. Iceland Krona 88,430 1,141 1,153 12 Expiring October 7, 2003.............. Iceland Krona 155,440 2,000 2,031 31
77 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
VALUE OF VALUE OF UNREALIZED CONTRACT CONTRACT WHEN MARKET VALUE APPRECIATION/ WHEN OPENED OPENED OF CONTRACT (DEPRECIATION) LOCAL (LOCAL CURRENCY) (US DOLLARS) (US DOLLARS) (US DOLLARS) DESCRIPTION CURRENCY (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- Expiring November 13, 2003............ Japanese Yen 345,183 $ 3,000 $ 3,094 $ 94 Expiring November 13, 2003............ Japanese Yen 345,184 2,000 2,059 59 Expiring October 30, 2003............. Polish Zloty 34,789 9,031 8,813 (218) Expiring December 16, 2003............ Thailand Baht 80,038 2,000 2,005 5 Expiring December 16, 2003............ Taiwan Dollar 66,600 2,000 1,991 (9) -------- Net unrealized appreciation........... $ 6,081 -------- CONTRACTS TO SELL: Expiring November 18, 2003............ Australian Dollar (3,048) (1,969) (2,053) $ (84) Expiring November 18, 2003............ Canadian Dollar (2,784) (2,011) (2,058) (47) Expiring November 18, 2003............ Canadian Dollar (8,445) (6,005) (6,244) (239) Expiring November 18, 2003............ Canadian Dollar (2,659) (1,912) (1,966) (54) Expiring October 17, 2003............. Swiss Franc (24,776) (17,879) (18,769) (890) Expiring October 17, 2003............. Swiss Franc (1,539) (1,164) (1,166) (2) Expiring October 6, 2003.............. Euro (9,000) (9,903) (10,480) (577) Expiring October 7, 2003.............. Euro (5,000) (5,469) (5,822) (353) Expiring October 7, 2003.............. Euro (2,500) (2,741) (2,911) (170) Expiring October 7, 2003.............. Euro (2,500) (2,732) (2,911) (179) Expiring October 7, 2003.............. Euro (2,500) (2,733) (2,911) (178) Expiring October 9, 2003.............. Euro (1,000) (1,069) (1,164) (95) Expiring October 9, 2003.............. Euro (1,000) (1,073) (1,164) (91) Expiring October 8, 2003.............. Euro (1,000) (1,062) (1,164) (102) Expiring October 7, 2003.............. Euro (1,000) (1,091) (1,164) (73) Expiring October 9, 2003.............. Euro (2,500) (2,718) (2,911) (193) Expiring October 8, 2003.............. Euro (1,000) (1,087) (1,164) (77) Expiring October 7, 2003.............. Euro (1,000) (1,088) (1,164) (76) Expiring October 9, 2003.............. Euro (1,000) (1,095) (1,164) (69) Expiring October 7, 2003.............. Euro (2,000) (2,192) (2,329) (137) Expiring October 7, 2003.............. Euro (1,000) (1,098) (1,164) (66) Expiring October 7, 2003.............. Euro (1,500) (1,663) (1,746) (83) Expiring November 6, 2003............. Euro (1,000) (1,105) (1,163) (58) Expiring November 6, 2003............. Euro (1,000) (1,103) (1,163) (60) Expiring November 6, 2003............. Euro (1,000) (1,109) (1,163) (54) Expiring November 6, 2003............. Euro (1,000) (1,117) (1,163) (46) Expiring November 6, 2003............. Euro (1,000) (1,119) (1,163) (44) Expiring November 6, 2003............. Euro (1,000) (1,118) (1,163) (45) Expiring November 6, 2003............. Euro (2,000) (2,240) (2,327) (87) Expiring November 6, 2003............. Euro (2,000) (2,265) (2,327) (62) Expiring November 6, 2003............. Euro (1,000) (1,133) (1,163) (30) Expiring November 6, 2003............. Euro (1,000) (1,138) (1,163) (25) Expiring November 6, 2003............. Euro (1,000) (1,136) (1,163) (27) Expiring November 6, 2003............. Euro (2,000) (2,266) (2,327) (61) Expiring November 6, 2003............. Euro (1,000) (1,139) (1,163) (24) Expiring November 6, 2003............. Euro (1,000) (1,130) (1,163) (33) Expiring October 9, 2003.............. Euro (2,000) (2,270) (2,329) (59) Expiring November 6, 2003............. Euro (1,000) (1,160) (1,163) (3) Expiring October 7, 2003.............. Euro (1,000) (1,152) (1,164) (12) Expiring November 6, 2003............. Euro (1,000) (1,141) (1,163) (22) Expiring October 23, 2003............. Euro (7,000) (7,871) (8,146) (275) Expiring October 23, 2003............. Euro (3,000) (3,445) (3,491) (46) Expiring October 23, 2003............. Euro (1,000) (1,116) (1,164) (48) Expiring October 9, 2003.............. Euro (920) (1,000) (1,071) (71) Expiring October 15, 2003............. Euro (3,544) (3,962) (4,125) (163) Expiring October 15, 2003............. Euro (1,418) (1,586) (1,650) (64) Expiring October 7, 2003.............. Iceland Krona (233,430) (3,000) (3,050) (50) Expiring October 7, 2003.............. Iceland Krona (155,820) (2,000) (2,036) (36) Expiring October 7, 2003.............. Iceland Krona (77,710) (1,000) (1,015) (15) Expiring November 6, 2003............. Iceland Krona (154,570) (2,000) (2,016) (16)
78 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
VALUE OF VALUE OF UNREALIZED CONTRACT CONTRACT WHEN MARKET VALUE APPRECIATION/ WHEN OPENED OPENED OF CONTRACT (DEPRECIATION) LOCAL (LOCAL CURRENCY) (US DOLLARS) (US DOLLARS) (US DOLLARS) DESCRIPTION CURRENCY (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- Expiring November 6, 2003............. Iceland Krona (154,830) $ (2,000) $ (2,019) $ (19) Expiring November 6, 2003............. Iceland Krona (155,210) (2,000) (2,024) (24) Expiring November 6, 2003............. Iceland Krona (155,210) (2,000) (2,028) (28) Expiring October 7, 2003.............. Iceland Krona (313,380) (4,000) (4,095) (95) Expiring October 8, 2003.............. Iceland Krona (313,240) (4,000) (4,093) (93) Expiring October 7, 2003.............. Iceland Krona (156,320) (2,000) (2,043) (43) Expiring October 8, 2003.............. Iceland Krona (236,055) (3,000) (3,084) (84) Expiring October 7, 2003.............. Iceland Krona (240,960) (3,000) (3,148) (148) Expiring October 7, 2003.............. Iceland Krona (159,960) (2,000) (2,090) (90) Expiring November 6, 2003............. Iceland Krona (241,380) (3,000) (3,147) (147) Expiring October 7, 2003.............. Iceland Krona (160,400) (2,000) (2,096) (96) Expiring October 7, 2003.............. Iceland Krona (155,440) (2,000) (2,031) (31) Expiring October 7, 2003.............. Iceland Krona (155,440) (2,000) (2,031) (31) Expiring November 6, 2003............. Iceland Krona (240,699) (3,000) (3,139) (139) Expiring October 7, 2003.............. Iceland Krona (159,800) (2,000) (2,088) (88) Expiring October 7, 2003.............. Iceland Krona (160,540) (2,000) (2,098) (98) Expiring October 7, 2003.............. Iceland Krona (80,130) (1,000) (1,047) (47) Expiring October 9, 2003.............. Iceland Krona (160,720) (2,000) (2,100) (100) Expiring November 6, 2003............. Iceland Krona (162,130) (2,000) (2,114) (114) Expiring November 6, 2003............. Iceland Krona (162,180) (2,000) (2,115) (115) Expiring October 7, 2003.............. Iceland Krona (81,460) (1,000) (1,064) (64) Expiring November 6, 2003............. Iceland Krona (81,750) (1,000) (1,066) (66) Expiring November 6, 2003............. Iceland Krona (163,480) (2,000) (2,132) (132) Expiring November 6, 2003............. Iceland Krona (165,900) (2,000) (2,163) (163) Expiring October 7, 2003.............. Iceland Krona (82,750) (1,000) (1,081) (81) Expiring November 6, 2003............. Iceland Krona (164,860) (2,000) (2,150) (150) Expiring October 7, 2003.............. Iceland Krona (82,880) (1,000) (1,083) (83) Expiring October 7, 2003.............. Iceland Krona (82,640) (1,000) (1,080) (80) Expiring November 13, 2003............ Japanese Yen (347,760) (3,000) (3,118) (118) Expiring November 13, 2003............ Japanese Yen (232,394) (2,000) (2,083) (83) Expiring October 30, 2003............. Polish Zloty (34,789) (8,740) (8,813) (73) -------- Net unrealized depreciation........... $ (8,094) -------- Total net unrealized depreciation..... $ (2,013) ======== STRATEGIC INCOME FUND: CONTRACTS TO BUY Expiring November 18, 2003............ Australian Dollar 382 248 257 $ 9 Expiring October 16, 2003............. Australian Dollar 762 500 515 15 Expiring November 18, 2003............ Australian Dollar 800 524 539 15 Expiring October 16, 2003............. Australian Dollar 767 500 518 18 Expiring October 7, 2003.............. Euro 892 1,000 1,038 38 Expiring October 9, 2003.............. Euro 920 1,000 1,071 71 Expiring October 17, 2003............. Euro 1,500 1,676 1,746 70 Expiring October 17, 2003............. Euro 500 582 582 --* Expiring October 23, 2003............. Hungarian Forint 132,200 558 602 44 Expiring December 30, 2003............ Hungarian Forint 238,977 1,037 1,071 34 Expiring October 3, 2003.............. Iceland Krona 85,200 1,100 1,113 13 Expiring October 7, 2003.............. Iceland Krona 42,089 546 550 4 Expiring November 6, 2003............. Iceland Krona 21,253 277 277 --* Expiring October 7, 2003.............. Iceland Krona 21,929 288 287 (1) Expiring November 13, 2003............ Japanese Yen 57,431 500 515 15 Expiring December 26, 2003............ Polish Zloty 5,176 1,297 1,303 6
79 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
VALUE OF VALUE OF UNREALIZED CONTRACT CONTRACT WHEN MARKET VALUE APPRECIATION/ WHEN OPENED OPENED OF CONTRACT (DEPRECIATION) LOCAL (LOCAL CURRENCY) (US DOLLARS) (US DOLLARS) (US DOLLARS) DESCRIPTION CURRENCY (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- Expiring December 26, 2003............ Polish Zloty 5,194 $ 1,315 $ 1,308 $ (7) Expiring December 16, 2003............ Thailand Baht 40,019 1,000 1,002 2 -------- Net unrealized appreciation........... $ 346 -------- CONTRACTS TO SELL: Expiring November 18, 2003............ Canadian Dollar (344) (248) (254) $ (6) Expiring November 18, 2003............ Canadian Dollar (737) (524) (545) (21) Expiring October 17, 2003............. Swiss Franc (2,323) (16,76) (1,760) (84) Expiring October 17, 2003............. Swiss Franc (769) (582) (583) (1) Expiring October 3, 2003.............. Euro (1,000) (1,100) (1,164) (64) Expiring October 7, 2003.............. Euro (500) (546) (582) (36) Expiring November 6, 2003............. Euro (250) (277) (291) (14) Expiring October 7, 2003.............. Euro (250) (288) (291) (3) Expiring October 23, 2003............. Euro (500) (558) (582) (24) Expiring December 30, 2003............ Hungarian Forint (245,409) (1,049) (1,100) (51) Expiring December 30, 2003............ Hungarian Forint (238,977) (983) (1,071) (88) Expiring October 7, 2003.............. Iceland Krona (79,910) (1,000) (1,044) (44) Expiring October 7, 2003.............. Iceland Krona (82,750) (1,000) (1,081) (81) Expiring November 13, 2003............ Japanese Yen (58,099) (500) (521) (21) Expiring December 26, 2003............ Polish Zloty (10,370) (2,673) (2,610) 63 Expiring December 16, 2003............ South African Rand (5,102) (691) (719) (28) -------- Net unrealized depreciation........... $ 503) -------- Total net unrealized depreciation..... $ (157) ========
- --------------- *Amount represents less than $500. 80 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 8. SWAP CONTRACTS At September 30, 2003, the following Funds had swap contracts outstanding:
UNREALIZED NOTIONAL PAYMENTS APPRECIATION/ AMOUNT PAYMENTS MADE BY RECEIVED BY (DEPRECIATION) DESCRIPTION (000) THE FUND THE FUND (000) - ----------------------------------------------------------------------------------------------------------------------- SHORT-TERM INCOME FUND: Contract with JP Morgan, effective September 11, 2003, expiring 3-month SOUTH September 11, 2008(a).................... $ 40,000 AFRICAN JIBAR 9.685% $ 82 Contract with JP Morgan, effective September 11, 2003, expiring 3-month SOUTH September 11, 2008(a).................... 40,000 AFRICAN JIBAR 9.780% 104 Contract with Citigroup, effective September 30, 2003, expiring 3-month SOUTH September 30, 2008(a).................... 15,000 AFRICAN JIBAR 9.300% (2) Contract with Morgan Stanley, effective August 4, 2003, expiring 3-month NZD August 4, 2008(a)........................ 20,000 BBR 5.863% (107) Contract with Morgan Stanley, effective August 8, 2003, expiring 3-month NZD August 8, 2008(a)........................ 20,000 BBR 6.010% (34) Contract with Morgan Stanley, effective August 1, 2003, expiring 3-month AUD August 1, 2008(a)........................ 17,000 5.300% BBR 42 Contract with Morgan Stanley, effective August 7, 2003, expiring 3-month AUD August 7, 2008(a)........................ 17,000 5.430% BBR (61) Lehman CMBS Aaa Index (Prior floating rate Contract with Morgan Stanley, minus current Lehman CMBS effective September 30, 2003, expiring floating rate) x Aaa Index Spread December 31, 2003(a)..................... 43,000 factor +0.44% -- ------ Total net unrealized appreciation.......... $ 24 ======
81 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
UNREALIZED NOTIONAL PAYMENTS APPRECIATION/ AMOUNT PAYMENTS MADE BY RECEIVED BY (DEPRECIATION) DESCRIPTION (000) THE FUND THE FUND (000) - ----------------------------------------------------------------------------------------------------------------------- SHORT-INTERMEDIATE GOVERNMENT FUND: Contract with Lehman Brothers, effective May 1, 2001, expiring May 1, 2006(a)........................... $ 14,000 3-month LIBOR 5.474% $1,195 Contract with Lehman Brothers, effective May 1, 2001, expiring May 1, 2004(a)........................... 18,000 3-month LIBOR 5.074% 408 Contract with Salomon Smith Barney, U.S. Treasury Strip effective November 12, 2002, expiring Compounding 3-month LIBOR May 15, 2017(a).......................... 7,466 Interest -0.08% (62) Lehman CMBS Aaa Index (Prior floating rate Contract with Morgan Stanley, minus current Lehman CMBS effective September 30, 2003, expiring floating rate) x Aaa Index Spread December 31, 2003(a)..................... 6,500 factor +0.44% -- ------ Total net unrealized appreciation.......... $1,541 ====== GOVERNMENT SECURITIES FUND: Contract with Lehman Brothers, effective May 1, 2001, expiring May 1, 2004(a)........................... 13,200 3-month LIBOR 5.074% 300 Contract with Lehman Brothers, effective May 1, 2001, expiring May 1, 2006(a)........................... 6,500 3-month LIBOR 6.000% 554 Lehman CMBS Aaa Index (Prior floating rate Contract with Morgan Stanley, minus current Lehman CMBS effective September 30, 2003, expiring floating rate) x Aaa Index Spread December 31, 2003(a)..................... 5,600 factor +0.44% -- Contract with Salomon Smith Barney, U.S. Treasury Strip effective November 12, 2002, expiring Compounding 3-month LIBOR May 15, 2017(a).......................... 3,781 Interest -0.08% (32) ------ Total net unrealized appreciation.......... $ 822 ====== BOND FUND: Contract with Citigroup, effective April 18, 2003 expiring June 20, 2008(a)......................... 7,000 (b) (b) 81 Contract with Citigroup, effective April 23, 2003 expiring June 20, 2008(a)......................... 7,000 3-month LIBOR 3.380% 10 Contract with Citigroup, effective July 10, 2003 expiring 3-month SOUTH July 10, 2013(a)......................... 50,000 AFRICAN JIBAR 9.680% 13 Contract with Citigroup, effective July 17, 2003 expiring 3-month SOUTH July 17, 2013(a)......................... 50,000 AFRICAN JIBAR 9.760% 48
82 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
UNREALIZED NOTIONAL PAYMENTS APPRECIATION/ AMOUNT PAYMENTS MADE BY RECEIVED BY (DEPRECIATION) DESCRIPTION (000) THE FUND THE FUND (000) - ----------------------------------------------------------------------------------------------------------------------- Contract with Citigroup, effective July 29, 2003 expiring 3-month SOUTH July 29, 2013(a)......................... $ 50,000 AFRICAN JIBAR 9.610% $ (24) Contract with Citigroup, effective August 23, 2003 expiring 3-month SOUTH August 23, 2004(a)....................... 50,000 9.330% AFRICAN JIBAR (51) Contract with Citigroup, effective September 30, 2003, expiring 3-month SOUTH September 30, 2008(a).................... 50,000 AFRICAN JIBAR 9.300% (5) Contract with JP Morgan Chase, effective April 3, 2003, expiring 28 day Mexican March 27, 2008(a)........................ 320,000 TIIE 9.900% 2,499 Contract with JP Morgan Chase, effective May 15, 2003, expiring 28 day Mexican May 8, 2008(a)........................... 170,000 TIIE 8.800% 652 Contract with JP Morgan Chase, effective June 5, 2003, expiring 3-month SOUTH June 5, 2013(a).......................... 100,000 AFRICAN JIBAR 9.340% (302) Contract with JP Morgan Chase, effective June 12, 2003, expiring 6-month Hungarian June 12, 2008(a)......................... 7,000,000 BUBOR 6.320% (945) Contract with JP Morgan Chase, effective June 23, 2003, expiring 3-month SOUTH June 23, 2013(a)......................... 50,000 AFRICAN JIBAR 9.310% (154) Contract with JP Morgan Chase, effective June 30, 2003, expiring 3-month SOUTH June 30, 2013(a)......................... 50,000 AFRICAN JIBAR 9.380% (119) Contract with JP Morgan Chase, effective July 4, 2003, expiring 28 day Mexican June 27, 2008(a)......................... 75,000 TIIE 8.350% 158 Contract with JP Morgan Chase, effective July 7, 2003, expiring 6-month Hungarian July 7, 2008(a).......................... 2,000,000 BUBOR 7.080% (37) Contract with JP Morgan Chase, effective July 30, 2003, expiring 3-month SOUTH July 30, 2004(a)......................... 200,000 9.100% AFRICAN JIBAR (132) Contract with Lehman Brothers, effective November 1, 2002, expiring 1-month LIBOR Lehman Baa Index November 1, 2003(a)...................... 39,500 +0.90% Total return 951 Contract with Morgan Stanley, effective January 8, 2003, expiring 3-month AUD January 8, 2008(a)....................... 25,000 5.280% BBR 25 Contract with Morgan Stanley, effective January 8, 2003, expiring 3-month AUD January 8, 2008(a)....................... 25,000 5.210% BBR 76 Contract with Morgan Stanley, effective January 8, 2003, expiring 3-month NZD January 8, 2008(a)....................... 28,000 BBR 6.450% 263
83 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
UNREALIZED NOTIONAL PAYMENTS APPRECIATION/ AMOUNT PAYMENTS MADE BY RECEIVED BY (DEPRECIATION) DESCRIPTION (000) THE FUND THE FUND (000) - ----------------------------------------------------------------------------------------------------------------------- Contract with Morgan Stanley, effective January 9, 2003, expiring 3-month NZD January 9, 2008(a)....................... $ 28,000 BBR 6.400% $ 231 Contract with Morgan Stanley, effective April 23, 2003, expiring 3-month NZD April 23, 2013(a)........................ 66,000 BBR 6.285% (165) Contract with Morgan Stanley, effective April 23, 2003, expiring 3-month AUD April 23, 2013(a)........................ 55,000 5.485% BBR 108 Contract with Morgan Stanley, effective April 29, 2003, expiring 3-month AUD April 29, 2013(a)........................ 55,000 5.380% BBR 402 Contract with Morgan Stanley, effective April 29, 2003, expiring 3-month NZD April 29, 2013(a)........................ 66,000 BBR 6.130% (604) Contract with Morgan Stanley, effective June 2, 2003, expiring 6-month SOUTH June 2, 2013(a).......................... 200,000 AFRICAN JIBAR 9.780% 195 Contract with Morgan Stanley, effective June 2, 2003, expiring 3-month SOUTH June 2, 2008(a).......................... 200,000 9.880% AFRICAN JIBAR (626) Contract with Morgan Stanley, effective July 21, 2003, expiring 6-month AUD July 21, 2008(a)......................... 25,000 5.150% BBR 132 Contract with Morgan Stanley, effective July 22, 2003, expiring 3-month NZD July 22, 2008(a)......................... 28,000 BBR 5.660% (286) Contract with Morgan Stanley, effective August 1, 2003, expiring 3-month AUD August 1, 2008(a)........................ 25,000 5.300% BBR 27 Contract with Morgan Stanley, effective August 4, 2003, expiring 3-month NZD August 4, 2008(a)........................ 28,000 BBR 5.863% (150) Lehman CMBS Aaa Index (Prior floating rate Contract with Morgan Stanley, minus current Lehman CMBS effective September 30, 2003, expiring floating rate) x Aaa Index Spread December 31, 2003(a)..................... 47,000 factor +0.44% -- Contract with Salomon Smith Barney, U.S. Treasury Strip effective November 12, 2002, expiring Compounding 3-month LIBOR May 15, 2017(a).......................... 36,614 Interest -0.08% (306) Contract with Salomon Smith Barney, effective January 27, 2003, expiring 6-month GBP January 28, 2013(a)...................... 10,000 LIBOR 4.565% (192) Contract with Salomon Smith Barney, effective January 27, 2003, expiring 6-month GBP January 27, 2033(a)...................... 5,000 4.560% LIBOR 266 ------ Total net unrealized appreciation.......... $2,039 ======
84 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
UNREALIZED NOTIONAL PAYMENTS APPRECIATION/ AMOUNT PAYMENTS MADE BY RECEIVED BY (DEPRECIATION) DESCRIPTION (000) THE FUND THE FUND (000) - ----------------------------------------------------------------------------------------------------------------------- STRATEGIC INCOME: Contract with Lehman Brothers, effective November 1, 2002, expiring 1-month LIBOR Lehman Baa Total November 1, 2003(a)...................... $ 900 +0.90% Return Index $ 22 Lehman CMBS Aaa Index (Prior floating rate Contract with Morgan Stanley, minus current Lehman CMBS effective September 30, 2003, expiring floating rate) x Aaa Index Spread December 31, 2003(a)..................... 3,200 factor +0.44% -- Contract with JP Morgan, effective September 11, 2003, expiring 3-month SOUTH September 11, 2008(a).................... 10,000 AFRICAN JIBAR 9.780% 26 Contract with JP Morgan, effective September 11, 2003, expiring 3-month SOUTH September 11, 2008(a).................... 10,000 AFRICAN JIBAR 9.685% 20 Contract with JP Morgan, effective June 19, 2003, expiring 28 day Mexican June 12, 2008(a)......................... 15,000 TIIE 8.350% 26 Contract with JP Morgan, effective July 4, 2003, expiring 28 day Mexican June 27, 2008(a)......................... 15,000 TIIE 8.350% 32 ------ Total net unrealized appreciation.......... $ 126 ======
- --------------- (a)Fair value. (b)Wells Fargo Credit Default Swap -- The Fund assumes risk on Wells Fargo Credit rating. The Fund receives 0.30% of the notional amount of the contract. 9. SHARES OF BENEFICIAL INTEREST As of September 30, 2003, 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. Investor B Shares generally convert to Investor A Shares based on the following conditions: SHORT-INTERMEDIATE GOVERNMENT/INTERMEDIATE BOND/BOND
INVESTOR B SHARES PURCHASED: WILL CONVERT TO INVESTOR A SHARES AFTER: - ----------------------------------------------------------------------------------------------- - -- after November 15, 1998 Eight years - -- between August 1, 1997 and November 15, 1998 $0 - $249,999 Six years $250,000 - $499,999 Six years $500,000 - $999,999 Five years - -- before August 1, 1997 Six Years
85 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) GOVERNMENT SECURITIES/STRATEGIC INCOME/HIGH YIELD BOND
INVESTOR B SHARES PURCHASED: WILL CONVERT TO INVESTOR A SHARES AFTER: - ----------------------------------------------------------------------------------------------- - -- after November 15, 1998 Eight years - -- between August 1, 1997 and November 15, 1998 $0 - $249,999 Nine years $250,000 - $499,999 Six years $500,000 - $999,999 Five years - -- before August 1, 1997 Eight Years
See Schedules of capital stock activity. 10. LINE 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"). The Agreement is renewable on an annual basis. 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. The Funds had no borrowings outstanding at September 30, 2003. During the six months ended September 30, 2003, there were no borrowings by the Funds under the Agreement. 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, 2003, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) - ------------------------------------------------------------------------------------------------ Short-Term Income........................................... $189,550 $193,704 Short-Intermediate Government............................... 156,155 160,286 Government Securities....................................... 59,886 61,559 Bond........................................................ 238,669 244,405 Strategic Income............................................ 10,921 11,191
86 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 12. INCOME TAXES Information on the tax components of capital as of September 30, 2003 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) - --------------------------------------------------------------------------------------------------------------------------------- Short-Term Income................................... $1,308,103 $10,478 $(1,636) $ 8,842 $(1,042) Short-Intermediate Government....................... 620,170 7,933 (590) 7,343 2,046 Government Securities............................... 293,699 5,805 (625) 5,180 2,389 Intermediate Bond................................... N/A* N/A* N/A* 22,102 289 Bond................................................ 3,017,532 66,562 (8,635) 57,927 4,486 Strategic Income.................................... 266,449 4,628 (2,242) 2,386 (222) High Yield.......................................... N/A* N/A* N/A* 66,793 3
- --------------- *See corresponding Master Portfolio for tax basis information. At March 31, 2003, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING IN 2003 IN 2005 IN 2007 IN 2008 IN 2009 IN 2010 IN 2011 FUND (000) (000) (000) (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- Short-Term Income.................................... $ -- $ -- $ -- $ -- $ -- $ -- $ -- Short-Intermediate Government........................ -- -- -- -- -- -- -- Government Securities................................ -- -- -- 1,817 -- -- -- Intermediate Bond.................................... -- -- -- -- -- -- -- Bond................................................. -- -- -- -- -- -- -- Strategic Income..................................... -- -- -- 11,355 3,544 1,929 3,185 High Yield........................................... -- -- -- -- -- -- --
The capital loss carryforward for the Government Securities Fund is subject to certain limitations. During the year ended March 31, 2003, the following Funds utilized capital losses as follows:
CAPITAL LOSSES UTILIZED FUND (000) - ----------------------------------------------------------------------------- Short-Term Income........................................... $ 6,284 Short-Intermediate Government............................... 13,389 Government Securities....................................... 16,249 Intermediate Bond........................................... 1,683
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, 2003, the following Funds elected to defer losses occurring between November 1, 2002 and March 31, 2003 under these rules, as follows:
CAPITAL LOSSES CURRENCY LOSSES DEFERRED DEFERRED FUND (000) (000) - ----------------------------------------------------------------------------------------------- Short-Term Income........................................... $ -- -- Short-Intermediate Government............................... -- -- Government Securities....................................... -- -- Intermediate Bond........................................... 372 -- Bond........................................................ 17,030 -- Strategic Income............................................ -- -- High Yield Bond............................................. 1,360 44
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2004. 87 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 13. REORGANIZATIONS CHANGE OF REGISTERED INVESTMENT COMPANY On May 10, 2002, each Fund of Nations Fund Trust, except Intermediate Bond of Nations Reserves listed in the left column below (each a "Fund") reorganized into a newly created successor fund of Nations Fund Trust listed in the right column below, that was substantially identical to the existing Fund. The acquisition was accomplished by a tax-free exchange of shares of each Fund for shares of equal value of the newly created successor fund. The financial statements of each successor fund reflects the historical financial results of each corresponding Fund prior to the reorganization.
FUND REORGANIZED INTO A NEWLY CREATED SUCCESSOR FUND - --------------------------------------------------------------------------------- Short-Term Income Short-Term Income Short-Intermediate Government Short-Intermediate Government Intermediate Bond Intermediate Bond Bond Bond Strategic Income Strategic Income
CONVERSION OF COMMON TRUST FUNDS On August 16, 2002, certain Funds, as listed below (each an "Acquiring Fund"), acquired the net assets of certain common trust funds, managed by Bank of America, also listed below (each an "Acquired Fund"), in a tax-free exchange for shares of the Acquiring Fund. The number and value of shares issued by the Acquiring Fund are presented in the Schedules of capital stock activity. Net assets and unrealized appreciation/(depreciation) as of the conversion date were as follows:
TOTAL NET ASSETS ACQUIRED FUND TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED APPRECIATION/ OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION (DEPRECIATION) ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- Short-Term Income Bank of America $ 12,475 $ 772,232 $ 784,707 $ 245 Short-Term Bond Fund Short-Intermediate Bank of America 58,682 480,736 539,418 2,596 Government Short- Term Government Fund Intermediate Bond Bank of America 439,200 428,904 868,104 1,199 Intermediate Bond Fund Bond Bank of America 217,846 2,314,670 2,532,516 (1,082) Charitable Bond Fund Bond Bank of America Bond 107,442 2,314,670 2,422,112 (66) Fund
14. EVENTS On September 3, 2003, the Office of the Attorney General for the State of New York ("NYAG") simultaneously filed and settled a complaint against Canary Capital Partners, LLC, et al. (collectively, "Canary"). The complaint alleged, among other things, that Canary engaged in improper trading in certain Nations Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and also "late trading." The NYAG later announced a criminal action, and the SEC announced a civil action, against a former employee of Banc of America Securities, LLC, a selling agent affiliated with the Nations Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name Nations Funds, among others, as defendants. The independent Trustees of Funds Trust and Master Trust have engaged independent legal counsel and, through them, independent accountants to determine the extent of any "late trading" or improper "market timing" activity in any of the Funds and to determine the extent of any losses suffered by the Funds from such activity and/or the amount of any disgorgement that should be made. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of Funds Trust and Master Trust jointly announced that: (i) to the extent that the independent counsel and accountants determine that the Funds were adversely affected by any late trading or any discretionary market timing agreement, BACAP would make appropriate restitution; and (ii) BACAP and BACAP Distributors would promptly return to the Funds that were the subject of a market timing agreement all advisory and administration fees they received as a result 88 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) of such an agreement, irrespective as to whether or not there is an independent determination of any negative impact to any Fund shareholders. In addition, Bank of America Corporation has also agreed to make appropriate reimbursement of costs incurred by Nations Funds in connection with this matter. Bank of America Corporation has also announced the establishment of a restitution fund for shareholders of the Funds who were harmed by the late trading and improper market timing practices of Canary. With regard only to the commitment noted above to promptly return certain fees, the Funds recorded the following receivables to reflect the return of investment advisory fees earned by BACAP, or its predecessors, (net of waivers) and administration fees earned by BACAP Distributors, or its predecessors, (net of waivers, if any) related to a market timing agreement during the indicated periods as follows: Nations Short-Term Income Fund (May 2001 through June 2003) -- $55,000; Nations Short-Intermediate Government Fund (May 2001 through June 2003) -- $78,000; and Nations Government Securities Fund (October 2001 through October 2001) -- $1,100. Each receivable is expected to be paid on or about November 28, 2003 and was recorded as a reimbursement in the Statement of operations of each impacted Fund. The receivables described in the preceding paragraphs reflect only the return of fees received by BACAP and BACAP Distributors as a result of a discretionary market timing agreement, and do not reflect Bank of America Corporation's pledge of restitution to those Funds that were adversely affected by any late trading or any discretionary market timing agreement. A review of the harm to Fund shareholders as a result of any late trading or any discretionary market timing arrangement remains ongoing. 89 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio and Nations High Yield Bond Master Portfolio Semi-annual Report SEPTEMBER 30, 2003 (UNAUDITED) The following pages should be read in conjunction with Nations Intermediate Bond and Nations High Yield Bond Funds' Semi-annual Report. 90 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 3.4% ASSET-BACKED -- AUTO LOANS -- 1.8% $ 4,000 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08............................................. $ 4,148 475 Capital Auto Receivables Asset Trust, Series 2002-2, Class CTFS, 4.180% 10/15/07............................................. 486 1,015 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 5.180% 10/16/06............................................. 1,075 4,888 Ford Credit Auto Owner Trust, Series 2003-A, Class A4A, 2.700% 06/15/07............................................. 4,967 2,671 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-1, Class A4, 5.340% 12/15/05............................................. 2,727 --------- 13,403 --------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 1.3% 6,860 Bank One Issuance Trust, Series 2002-A4, Class A4, 2.940% 06/16/08................... 7,010 3,000 MBNA Master Credit Card Trust, Series 1998-F, Class A, 1.240%** 02/15/08................... 3,004 --------- 10,014 --------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.0%+ 6 Bombardier Capital Mortgage Securitization, Series 1998-A, Class A3, 6.230% 04/15/28............................................. 6 170 First Plus Home Loan Trust, Series 1998-2, Class M1, 7.220% 05/10/24............................................. 175 --------- 181 --------- ASSET-BACKED -- OTHER -- 0.3% 2,400 CIT Equipment Collateral, Series 2002-VT1, Class A4, 4.670% 12/21/09............................................. 2,494 --------- TOTAL ASSET-BACKED SECURITIES (Cost $25,700).............................................. 26,092 --------- CORPORATE BONDS AND NOTES -- 35.6% AEROSPACE AND DEFENSE -- 0.3% 317 Boeing Company, 5.125% 02/15/13(a).......................................... 323 252 General Dynamics Corporation, 4.500% 08/15/10............................................. 261 1,106 Northrop Grumman Corporation, 7.125% 02/15/11............................................. 1,293 700 Raytheon Company, 5.375% 04/01/13............................................. 721 --------- 2,598 ---------
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- AUTOMOTIVE -- 2.8% $ 4,282 Daimler Chrysler, 4.050% 06/04/08............................................. $ 4,239 1,347 Delphi Corporation, 6.125% 05/01/04............................................. 1,373 767 Ford Motor Credit Company, 5.800% 01/12/09............................................. 773 5,596 Ford Motor Credit Company, 7.375% 10/28/09............................................. 5,965 1,708 Ford Motor Credit Company, 7.375% 02/01/11(a).......................................... 1,797 988 General Motors Acceptance Corporation, 6.150% 04/05/07............................................. 1,046 4,954 General Motors Acceptance Corporation, 6.875% 09/15/11(a).......................................... 5,142 559 Toyota Motor Credit Corporation, 5.625% 11/13/03............................................. 562 --------- 20,897 --------- BEVERAGES -- 0.4% 1,142 Anheuser-Busch Companies, Inc., 6.000% 04/15/11............................................. 1,285 2,016 Cadbury Schweppes, 5.125% 10/01/13@............................................ 2,046 3 Coca-Cola Company, 5.750% 03/15/11............................................. 3 --------- 3,334 --------- BROADCASTING AND CABLE -- 1.3% 740 AOL Time Warner Inc., 6.150% 05/01/07............................................. 813 1,915 AOL Time Warner Inc., 6.875% 05/01/12............................................. 2,148 1,104 Comcast Cable Communications, Inc., 6.375% 01/30/06............................................. 1,200 1,126 Comcast Cable Communications, Inc., 7.125% 06/15/13............................................. 1,296 837 Cox Enterprises, Inc., 4.375% 05/01/08@............................................ 859 198 Liberty Media Corporation, 5.700% 05/15/13(a).......................................... 198 1,822 Time Warner Inc., 8.110% 08/15/06............................................. 2,078 12 Viacom Inc., Class B, 7.700% 07/30/10............................................. 15 1,068 Viacom Inc., Class B, 6.625% 05/15/11............................................. 1,221 --------- 9,828 --------- CHEMICALS -- BASIC -- 0.3% 1,622 Dow Chemical Company, 6.125% 02/01/11............................................. 1,732 409 Eastman Chemical Company, 3.250% 06/15/08............................................. 399 --------- 2,131 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 91 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- 0.4% $ 1,298 E.I. du Pont de Nemours and Company, 3.375% 11/15/07............................................. $ 1,326 705 Praxair, Inc., 4.750% 07/15/07............................................. 746 1,192 Praxair, Inc., 6.500% 03/01/08............................................. 1,353 --------- 3,425 --------- COMMERCIAL BANKING -- 7.6% 1,970 AmSouth Bank N.A., 4.850% 04/01/13............................................. 1,997 5,813 Bank One Corporation, 6.000% 08/01/08............................................. 6,481 1,204 BB&T Corporation, 4.750% 10/01/12............................................. 1,217 3,905 Citigroup Inc., 7.250% 10/01/10............................................. 4,625 3,102 Citigroup Inc., 6.000% 02/21/12............................................. 3,431 597 City National Bank, 5.125% 02/15/13............................................. 602 1,696 FleetBoston Financial Corporation, 7.250% 09/15/05............................................. 1,872 406 Golden West Financial Corporation, 4.125% 08/15/07............................................. 423 1,283 Golden West Financial Corporation, 4.750% 10/01/12............................................. 1,310 3,836 J.P. Morgan Chase & Company, 7.250% 06/01/07............................................. 4,394 1,375 Key Bank N.A., 7.000% 02/01/11............................................. 1,603 1,028 Mellon Funding Corporation, 4.875% 06/15/07............................................. 1,104 900 Mellon Funding Corporation, 6.700% 03/01/08............................................. 1,029 8 Mellon Funding Corporation, 6.400% 05/14/11............................................. 9 1,968 National City Bank, 4.625% 05/01/13(a).......................................... 1,983 1,385 PNC Funding Corporation, 7.000% 09/01/04............................................. 1,459 2,677 PNC Funding Corporation, 5.750% 08/01/06............................................. 2,913 2,253 Popular North America Inc., MTN, Series E, 6.125% 10/15/06................................... 2,502 1,223 Regions Financial Corporation, 6.375% 05/15/12............................................. 1,373 738 SouthTrust Bank N.A., 4.750% 03/01/13............................................. 741 3,308 US Bank N.A., Minnesota, 6.375% 08/01/11............................................. 3,756 19 Wachovia Corporation, 6.625% 06/15/04............................................. 20 4,800 Wachovia Corporation, 4.950% 11/01/06............................................. 5,176 2,798 Washington Mutual, Inc., 5.625% 01/15/07............................................. 3,044 3,025 Wells Fargo and Company, 3.500% 04/04/08(a).......................................... 3,071
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 850 Wells Fargo Financial, Inc., 4.875% 06/12/07............................................. $ 919 --------- 57,054 --------- COMPUTER SERVICES -- 0.0%+ 342 Electronic Data Systems Corporation, 6.000% 08/01/13@............................................ 329 --------- COMPUTERS AND OFFICE EQUIPMENT -- 0.4% 900 International Business Machines Corporation, 4.750% 11/29/12............................................. 922 1,863 Pitney Bowes Inc., 4.625% 10/01/12............................................. 1,888 --------- 2,810 --------- CONGLOMERATES -- 0.2% 1,563 Waste Management, Inc., 7.375% 08/01/10............................................. 1,827 --------- CONSUMER CREDIT AND MORTGAGES -- 1.1% 1,120 American Express Company, 3.750% 11/20/07............................................. 1,154 674 American Express Credit Corporation, 3.000% 05/16/08............................................. 666 1,143 American General Finance, MTN, Series H, 2.750% 06/15/08................................... 1,107 5,292 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06............................................. 5,702 --------- 8,629 --------- CONSUMER SERVICES -- 0.0%+ 328 Monsanto Company, 4.000% 05/15/08............................................. 333 --------- DEPARTMENT AND DISCOUNT STORES -- 0.6% 4 Costco Wholesale Corporation, 5.500% 03/15/07............................................. 4 10 Target Corporation, 3.375% 03/01/08(a).......................................... 10 802 Target Corporation, 5.375% 06/15/09(a).......................................... 875 802 Target Corporation, 5.875% 03/01/12............................................. 885 2,095 Wal-Mart Stores, Inc., 5.450% 08/01/06............................................. 2,284 40 Wal-Mart Stores, Inc., 4.375% 07/12/07............................................. 42 850 Wal-Mart Stores, Inc., 4.550% 05/01/13............................................. 858 --------- 4,958 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 92 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- DIVERSIFIED ELECTRONICS -- 0.0%+ $ 5,210 First Data Corporation, 4.700% 08/01/13............................................. $ 211 --------- DIVERSIFIED MANUFACTURING -- 0.0%+ 3 Avery Dennison Corporation, 4.875% 01/15/13............................................. 3 7 General Electric Company, 5.000% 02/01/13(a).......................................... 7 --------- 10 --------- ELECTRIC POWER -- NON NUCLEAR -- 0.6% 780 Appalachian Power Company, Series G, 3.600% 05/15/08............................................. 777 1,880 Cinergy Corporation, 6.250% 09/01/04............................................. 1,954 571 Dominion Resources, Inc., 5.000% 03/15/13(a).......................................... 572 348 Ohio Edison Company, 4.000% 05/01/08@............................................ 344 571 Pepco Holdings, Inc., 5.500% 08/15/07............................................. 598 --------- 4,245 --------- ELECTRIC POWER -- NUCLEAR -- 0.7% 525 Duquesne Light Company, 6.700% 04/15/12............................................. 593 241 Energy East Corporation, 6.750% 06/15/12............................................. 269 1,592 FirstEnergy Corporation, Series B, 6.450% 11/15/11(a).......................................... 1,660 4 Florida Power & Light Company, 4.850% 02/01/13............................................. 4 1,078 Southern Company Capital Funding, Series A, 5.300% 02/01/07............................................. 1,167 635 Southern Power Company, Series B, 6.250% 07/15/12............................................. 697 1,032 Virginia Electric and Power Company, Series A, 5.375% 02/01/07............................................. 1,115 --------- 5,505 --------- ENERGY -- MISCELLANEOUS -- 0.5% 491 Nisource Finance Corporation, 5.400% 07/15/14............................................. 498 3,330 Progress Energy, Inc., 6.050% 04/15/07............................................. 3,623 --------- 4,121 --------- FINANCE -- MISCELLANEOUS -- 3.3% 1,845 CIT Group Inc., 7.375% 04/02/07............................................. 2,114 5,863 General Electric Capital Corporation, MTN, Series A, 5.375% 03/15/07............................................. 6,371 1,694 General Electric Capital Corporation, MTN, Series A, 4.250% 01/15/08(a).......................................... 1,773
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- FINANCE -- MISCELLANEOUS -- (CONTINUED) $ 30 General Electric Capital Corporation, MTN, Series A, 6.875% 11/15/10............................................. $ 35 3,413 General Electric Capital Corporation, MTN, Series A, 5.875% 02/15/12............................................. 3,709 1,816 Household Finance Corporation, 5.875% 02/01/09............................................. 1,991 3,244 Household Finance Corporation, 6.375% 11/27/12............................................. 3,599 926 International Lease Finance Corporation, 4.500% 05/01/08............................................. 964 1,023 National Rural Utilities Cooperative Finance Corporation, 3.250% 10/01/07............................................. 1,030 2,784 National Rural Utilities Cooperative Finance Corporation, 5.750% 08/28/09............................................. 3,065 --------- 24,651 --------- FOOD AND DRUG STORES -- 0.5% 2,444 Fred Meyer, Inc., 7.450% 03/01/08............................................. 2,834 527 The Kroger Company, 6.800% 04/01/11............................................. 602 633 The Kroger Company, 6.750% 04/15/12............................................. 715 --------- 4,151 --------- HEALTH SERVICES -- 0.6% 1,319 Cardinal Health, Inc., 6.750% 02/15/11............................................. 1,531 1,728 Wellpoint Health Networks Inc., 6.375% 06/15/06............................................. 1,908 1,258 Wellpoint Health Networks Inc., 6.375% 01/15/12............................................. 1,408 --------- 4,847 --------- HEAVY MACHINERY -- 0.3% 1,898 Caterpillar Finance Services Corporation, 5.950% 05/01/06............................................. 2,073 7 Caterpillar Inc., 6.550% 05/01/11(a).......................................... 8 --------- 2,081 --------- HOUSEHOLD PRODUCTS -- 0.3% 1,847 Proctor & Gamble Company, 4.750% 06/15/07............................................. 1,980 --------- INSURANCE -- 2.4% 645 AIG Sunamerica Global Financial, 5.850% 08/01/08@............................................ 717 16 Allstate Corporation, 6.125% 02/15/12............................................. 18
SEE NOTES TO FINANCIAL STATEMENTS. 93 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- INSURANCE -- (CONTINUED) $ 998 Allstate Financial Global Funding, 7.125% 09/26/05@(a)......................................... $ 1,103 5,311 American International Group, Inc., MTN, Series F, 2.850% 12/01/05............................................. 5,429 510 Marsh & McLennan Companies, Inc., 3.625% 02/15/08(a).......................................... 519 1,020 Mass Mutual Global Funding II, 2.550% 07/15/08@............................................ 986 1,524 Metlife, Inc., 5.375% 12/15/12............................................. 1,586 256 Nationwide Financial Services, Inc., Class A, 5.900% 07/01/12............................................. 273 2,098 Principal Life Global, 6.250% 02/15/12@............................................ 2,330 3,205 Prudential Funding LLC, MTN, 6.600% 05/15/08@............................................ 3,636 590 The Hartford Financial Services Group, Inc., 2.375% 06/01/06............................................. 588 1,120 The Hartford Financial Services Group, Inc., 4.625% 07/15/13@............................................ 1,096 --------- 18,281 --------- INTEGRATED OIL -- 0.3% 2,237 USX Corporation, 6.650% 02/01/06............................................. 2,465 --------- INVESTMENT SERVICES -- 4.7% 15 Bear Stearns Companies Inc., 6.150% 03/02/04............................................. 15 850 Bear Stearns Companies Inc., 5.700% 01/15/07............................................. 929 2,155 Bear Stearns Companies Inc., 4.000% 01/31/08............................................. 2,220 1,210 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. 1,322 1,597 Credit Suisse First Boston USA, Inc., 6.125% 11/15/11............................................. 1,749 315 Goldman Sachs Group, Inc., 4.125% 01/15/08............................................. 326 2,925 Goldman Sachs Group, Inc., 6.875% 01/15/11............................................. 3,363 2,503 Goldman Sachs Group, Inc., 6.600% 01/15/12............................................. 2,833 347 Goldman Sachs Group, Inc., 5.700% 09/01/12............................................. 371 22 Lehman Brothers Holdings Inc., 6.625% 04/01/04............................................. 23 1,309 Lehman Brothers Holdings Inc., 4.000% 01/22/08............................................. 1,348 4,513 Lehman Brothers Holdings Inc., 7.000% 02/01/08............................................. 5,159 336 Lehman Brothers Holdings Inc., 7.875% 08/15/10............................................. 405
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- INVESTMENT SERVICES -- (CONTINUED) $ 2,596 Merrill Lynch & Company, Inc., 6.000% 02/17/09............................................. $ 2,872 1,591 Merrill Lynch & Company, Inc., MTN, Series B, 2.070% 06/12/06............................................. 1,581 1,360 Merrill Lynch & Company, Inc., MTN, Series B, 3.700% 04/21/08............................................. 1,380 5,070 Morgan Stanley, 6.750% 04/15/11............................................. 5,792 1,050 Morgan Stanley, 6.600% 04/01/12............................................. 1,185 295 Morgan Stanley, 5.300% 03/01/13............................................. 305 2,014 Salomon Smith Barney Holdings Inc., 6.500% 02/15/08............................................. 2,280 --------- 35,458 --------- MEDICAL DEVICES AND SUPPLIES -- 0.1% 812 Bristol-Myers Squibb Company, 5.250% 08/15/13@(a)......................................... 848 --------- METALS AND MINING -- 0.3% 1,826 Alcoa Inc., 7.375% 08/01/10............................................. 2,169 --------- NATURAL GAS DISTRIBUTION -- 0.5% 3,180 CenterPoint Energy Resources Corporation, 7.875% 04/01/13@............................................ 3,573 --------- NATURAL GAS PIPELINES -- 0.5% 1,829 Kinder Morgan, Inc., 6.650% 03/01/05............................................. 1,951 1,311 Teppco Partners, LP, 7.625% 02/15/12............................................. 1,545 --------- 3,496 --------- OIL REFINING AND MARKETING -- 0.0%+ 307 Valero Energy Corporation, 6.875% 04/15/12............................................. 342 --------- PAPER AND FOREST PRODUCTS -- 0.5% 1,973 International Paper Company, 5.850%** 10/30/12........................................... 2,100 1,501 MeadWestvaco Corporation, 6.850% 04/01/12............................................. 1,691 --------- 3,791 --------- PHARMACEUTICALS -- 0.0%+ 7 Warner Lambert Company, 6.000% 01/15/08............................................. 8 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 94 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- PUBLISHING AND ADVERTISING -- 0.5% $ 1,343 Gannett Company, Inc., 6.375% 04/01/12............................................. $ 1,523 967 News America Holdings, 9.250% 02/01/13............................................. 1,265 1,247 News America Inc., 6.625% 01/09/08(a).......................................... 1,399 --------- 4,187 --------- RAILROADS, TRUCKING AND SHIPPING -- 0.7% 1,139 Burlington Northern Santa Fe Corporation, 6.750% 07/15/11............................................. 1,318 3,758 FedEx Corporation, 6.625% 02/12/04............................................. 3,826 --------- 5,144 --------- REAL ESTATE -- 0.3% 1,615 EOP Operating LP, 7.000% 07/15/11............................................. 1,839 356 ERP Operating LP, 5.200% 04/01/13............................................. 364 --------- 2,203 --------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.2% 612 Health Care Property Investors, Inc., 6.450% 06/25/12............................................. 661 654 Health Care Property Investors, Inc., MTN, Series D, 7.480% 04/05/04............................................. 668 --------- 1,329 --------- TELECOMMUNICATIONS SERVICES -- 2.4% 720 AT&T Corporation, 7.800% 11/15/11............................................. 832 1,271 AT&T Wireless Services Inc., 8.125% 05/01/12............................................. 1,509 1,374 BellSouth Corporation, 5.000% 10/15/06(a).......................................... 1,479 5 BellSouth Corporation, 6.000% 10/15/11(a).......................................... 6 458 Citizens Communications Company, 9.250% 05/15/11............................................. 584 1,855 Cox Communications, Inc., Class A, 7.750% 11/01/10............................................. 2,216 25 GTE California, Inc., Series H, 7.650% 03/15/07............................................. 29 15 SBC Communications Inc., 5.750% 05/02/06............................................. 16 764 SBC Communications Inc., 6.250% 03/15/11(a).......................................... 853 535 SBC Communications Inc., 5.875% 08/15/12............................................. 584 697 Sprint Capital Corporation, 6.125% 11/15/08(a).......................................... 752 3,206 Sprint Capital Corporation, 8.375% 03/15/12............................................. 3,782
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 331 Verizon Florida Inc., Series F, 6.125% 01/15/13............................................. $ 362 2,577 Verizon New England Inc., 6.500% 09/15/11............................................. 2,902 2,533 Verizon Pennsylvania Inc., Series A, 5.650% 11/15/11............................................. 2,713 --------- 18,619 --------- TOTAL CORPORATE BONDS AND NOTES (Cost $256,908)............................................. 271,868 --------- FOREIGN BONDS AND NOTES -- 4.4% BROADCASTING AND CABLE -- 0.0%+ 274 Rogers Cable Inc., 6.250% 06/15/13............................................. 274 --------- BUILDING MATERIALS -- 0.2% 1,151 Hanson Overseas BV, 6.750% 09/15/05............................................. 1,245 --------- CHEMICALS -- SPECIALTY -- 0.1% 435 Potash Corporation of Saskatchewan Inc., 4.875% 03/01/13............................................. 433 --------- COMMERCIAL BANKING -- 0.4% 2 Barclays Bank plc, 7.400% 12/15/09............................................. 2 1,225 Korea Development Bank, 7.250% 05/15/06............................................. 1,363 5 Korea Development Bank, 5.250% 11/16/06............................................. 5 1,700 Scotland International Finance, 4.250% 05/23/13@............................................ 1,643 --------- 3,013 --------- DIVERSIFIED MANUFACTURING -- 0.1% 769 Rio Tinto Financial Ltd., 2.625% 09/30/08............................................. 745 --------- FINANCE -- MISCELLANEOUS -- 0.0%+ 6 Deutsche Bank Financial Inc., 6.700% 12/13/06............................................. 7 --------- FOOD PRODUCTS -- 0.6% 745 Unilever Capital Corporation, 6.875% 11/01/05............................................. 820 3,074 Unilever Capital Corporation, 7.125% 11/01/10............................................. 3,642 --------- 4,462 --------- INTEGRATED OIL -- 0.8% 1,427 Conoco Funding Company, 6.350% 10/15/11............................................. 1,613
SEE NOTES TO FINANCIAL STATEMENTS. 95 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- INTEGRATED OIL -- (CONTINUED) $ 477 PEMEX Finance Ltd., 5.720% 11/15/03............................................. $ 479 2,904 PEMEX Project Funding Master Trust, 7.875%** 02/01/09........................................... 3,295 247 PEMEX Project Funding Master Trust, 7.375% 12/15/14(a).......................................... 266 689 Petro-Canada, 4.000% 07/15/13............................................. 648 --------- 6,301 --------- METALS AND MINING -- 0.1% 45 Alcan Inc., 6.450% 03/15/11............................................. 51 641 BHP Finance USA Ltd., 4.800% 04/15/13............................................. 653 --------- 704 --------- PUBLISHING AND ADVERTISING -- 0.2% 1,159 Thomson Corporation, 5.250% 08/15/13............................................. 1,204 --------- TELECOMMUNICATIONS SERVICES -- 1.9% 943 British Telecommunications, plc, 8.375%** 12/15/10........................................... 1,160 4,155 Deutsche Telecom International Finance BV, 5.250% 07/22/13............................................. 4,199 4,057 France Telecom SA, 9.000%** 03/01/11........................................... 4,956 4,508 Telus Corporation, 7.500% 06/01/07............................................. 5,069 --------- 15,384 --------- TOTAL FOREIGN BONDS AND NOTES (Cost $32,517).............................................. 33,772 --------- MORTGAGE-BACKED SECURITIES -- 0.4% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.2% 5,409 JP Morgan Commercial Mortgage Finance Corporation, Series 1997-C4, Class X, Interest only, 1.283%** 12/26/28........................................... 180 13,333 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.113%** 12/15/30........................................... 519 23,624 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest only, 0.448%** 09/15/27(f)........................................ 253 25,840 Vendee Mortgage Trust, Series 1998-3, Class 1, Interest only, 0.307%** 03/15/29(f)........................................ 224 --------- 1,176 ---------
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 0.1% $ 1,000 4.625% 10/15/13(a).......................................... $ 1,011 538 3.214%** 08/01/36........................................... 556 --------- 1,567 --------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 0.1% 309 7.000% 05/15/12............................................. 329 115 11.500% 06/15/13-10/15/15................................... 132 129 10.000% 05/15/16-08/15/18................................... 146 37 9.500% 09/15/16-12/15/20.................................... 43 --------- 650 --------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $3,850)............................................... 3,393 --------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- 2.8% 1,693 Government of Canada, 5.250% 11/05/08............................................. 1,872 1,622 Hellenic Republic, 6.950% 03/04/08............................................. 1,873 404 Ontario (Province of), 7.000% 08/04/05............................................. 442 3,413 Quebec (Province of), 6.125% 01/22/11............................................. 3,866 872 Republic of Chile, 5.500% 01/15/13............................................. 907 4,890 Republic of Italy, 6.000% 02/22/11............................................. 5,537 3,001 United Mexican States, 8.375% 01/14/11............................................. 3,571 3,039 United Mexican States, 6.375% 01/16/13............................................. 3,206 --------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $19,845).............................................. 21,274 --------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 22.9% FEDERAL FARM CREDIT BANK (FFCB) -- 1.1% 4,391 2.375% 10/01/04(a).......................................... 4,439 3,624 2.500% 03/15/06(a).......................................... 3,679 --------- 8,118 --------- FEDERAL HOME LOAN BANK (FHLB) -- 5.2% 18,000 3.250% 08/15/05(a).......................................... 18,551 8,780 5.125% 03/06/06............................................. 9,441 5,640 5.800% 09/02/08............................................. 6,324 5,500 3.875% 06/14/13(a).......................................... 5,267 --------- 39,583 --------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 7.9% 21,749 3.875% 02/15/05............................................. 22,498 12,687 2.375% 04/15/06(a).......................................... 12,804
SEE NOTES TO FINANCIAL STATEMENTS. 96 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- (CONTINUED) $ 7,250 5.125% 10/15/08(a).......................................... $ 7,897 7,250 5.750% 03/15/09(a).......................................... 8,105 8,700 4.500% 01/15/13(a).......................................... 8,801 --------- 60,105 --------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 8.7% 15,949 2.875% 10/15/05............................................. 16,343 15,587 5.250% 06/15/06(a).......................................... 16,906 21,386 5.250% 01/15/09............................................. 23,411 10,845 4.375% 09/15/12(a).......................................... 10,925 --------- 67,585 --------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $172,450)............................................. 175,391 --------- U.S. TREASURY OBLIGATIONS -- 27.9% U.S. TREASURY NOTES -- 14.9% 15,600 3.000% 02/29/04(a).......................................... 15,728 50,000 2.125% 10/31/04##........................................... 50,559 8,000 2.000% 08/31/05(a).......................................... 8,086 37,000 4.625% 05/15/06(a).......................................... 39,710 --------- 114,083 --------- U.S. TREASURY STRIPS -- 13.0% 7,000 Interest only, 1.818%*** 05/15/06(a)....................................... 6,675 7,500 Interest only, 4.389%*** 11/15/13##........................................ 4,832 35,000 Principal only, 1.168%*** 05/15/05(a)....................................... 34,344 39,000 Principal only, 2.047%*** 11/15/06(a)....................................... 36,595 20,000 Principal only, 2.938%*** 11/15/08##........................................ 17,223 --------- 99,669 --------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $212,170)............................................. 213,752 --------- SHARES VALUE (000) (000) - --------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 28.9% (Cost $221,242) 221,242 Nations Cash Reserves, Capital Class Shares#.................. $ 221,242 --------- TOTAL INVESTMENTS (Cost $944,682*).................................. 126.3% 966,784 --------- OTHER ASSETS AND LIABILITIES (NET)................................. (26.3)% Cash.......................................................... $ 14 Receivable for investment securities sold..................... 1,913 Dividends receivable.......................................... 15 Interest receivable........................................... 7,307 Unrealized appreciation on swap contracts..................... 315 Collateral on securities loaned............................... (178,515) Investment advisory fee payable............................... (249) Administration fee payable.................................... (31) Payable for investment securities purchased................... (31,785) Accrued Trustees' fees and expenses........................... (30) Accrued expenses and other liabilities........................ (159) --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (201,205) --------- NET ASSETS.......................................... 100.0% $ 765,579 =========
- --------------- * Federal income tax information: net unrealized appreciation of $22,102 on investment securities was comprised of gross appreciation of $23,217 and depreciation of $1,115 for federal income tax purposes. At September 30, 2003, the aggregate cost for federal income tax purposes was $944,682. **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. @ Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. + Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 8). The portion that represents cash collateral is $178,515. ##All or a portion of security segregated as collateral for swaps and futures contracts. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $171,665 and $174,160, respectively. (f) Restricted security. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 97 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - --------------------------------------------------------------------------------------- COMMON STOCKS -- 1.6% HEALTH SERVICES -- 0.2% 80,010 Apria Healthcare Group Inc.!!................................. $ 2,191 234 Fountain View Inc.!!(h)....................................... 0++ ---------- 2,191 ---------- HEAVY MACHINERY -- 0.1% 2,564 Joy Global Inc.!!............................................. 40 158,250 Thermadyne Holdings Corporation!!(a)(i)....................... 1,523 ---------- 1,563 ---------- METALS AND MINING -- 0.2% 137,460 Placer Dome Inc. ............................................. 1,890 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.1% 70,201 Marconi Corporation plc!!..................................... 1,049 ---------- PACKAGING AND CONTAINERS -- 0.2% 187,915 Owens-Illinois, Inc.!!........................................ 2,146 ---------- PAPER AND FOREST PRODUCTS -- 0.1% 115,300 Abitibi-Consolidated Inc.(a).................................. 807 ---------- STEEL -- 0.0%+ 158,576 Algoma Steel Inc.!!(f)........................................ 405 ---------- TELECOMMUNICATIONS SERVICES -- 0.7% 46,794 Call-Net Enterprises, Inc., Class B!!......................... 124 88,991 Globix Corporation!!(h)(i).................................... 111 6,617 ICO Global Communications Holdings LTD.!!(i).................. 6 127,971 Minorplanet Systems USA, Inc.!!............................... 76 275,617 Neon Communications, Inc.!!(a)(h)(i).......................... 345 76,872 NII Holdings Inc., Class B!!(i)............................... 4,589 49,436 Uge Europe, Inc.!!............................................ 2,588 ---------- 7,839 ---------- TOTAL COMMON STOCKS (Cost $11,821).............................................. 17,890 ---------- PRINCIPAL AMOUNT (000) - --------- CONVERTIBLE BONDS AND NOTES -- 5.0% AIRLINES -- 0.2% $ 2,885 Delta Air Lines, Inc., 8.000% 06/03/23@............................................ 2,694 ---------- BROADCASTING AND CABLE -- 0.1% 3,720 Adelphia Communications Corporation, Class A, 6.000% 02/15/06(a)(b)....................................... 1,283 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- FINANCE -- MISCELLANEOUS -- 0.3% $ 3,510 Providian Financial Corporation, 3.250% 08/15/05(a).......................................... $ 3,282 ---------- HEALTH SERVICES -- 0.7% 8,605 Laboratory Corporation, 1.977%*** 09/11/21.......................................... 5,991 2,740 Province Healthcare Company, 4.250% 10/10/08(a).......................................... 2,504 ---------- 8,495 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.1% 2,640 Brocade Communications Systems, Inc., 2.000% 01/01/07............................................. 2,297 8,335 CIENA Corporation, 3.750% 02/01/08(a).......................................... 7,053 2,565 Riverstone Networks, Inc., 3.750% 12/01/06@(a)......................................... 2,437 ---------- 11,787 ---------- PHARMACEUTICALS -- 0.5% 3,970 ICN Pharmaceuticals, Inc., 6.500% 07/15/08............................................. 3,767 2,490 Vertex Pharmaceuticals, Inc., 5.000% 09/19/07............................................. 2,104 ---------- 5,871 ---------- PUBLISHING AND ADVERTISING -- 0.3% 4,090 CNET Networks, Inc., 5.000% 03/01/06............................................. 3,768 ---------- SEMICONDUCTORS -- 1.7% 7,655 Atmel Corporation, 5.218%*** 05/23/21(a)....................................... 3,005 3,790 Kulicke & Soffa Industries, Inc., 4.750% 12/15/06(a).......................................... 3,321 12,235 LSI Logic Corporation, 4.000% 11/01/06(a).......................................... 11,699 740 Vitesse Semiconductor Corporation, 4.000% 03/15/05(a).......................................... 708 ---------- 18,733 ---------- TELECOMMUNICATIONS SERVICES -- 0.1% 3,897 At Home Corporation, Series A, 4.750% 12/15/06(b).......................................... 526 957 PTEK Holdings, Inc., 5.750% 07/01/04(a).......................................... 959 ---------- 1,485 ---------- TOTAL CONVERTIBLE BONDS AND NOTES (Cost $54,618).............................................. 57,398 ---------- CORPORATE BONDS AND NOTES -- 67.0% AEROSPACE AND DEFENSE -- 1.7% 3,630 Aviall, Inc., 7.625% 07/01/11@............................................ 3,721
SEE NOTES TO FINANCIAL STATEMENTS. 98 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- AEROSPACE AND DEFENSE -- (CONTINUED) $ 7,360 BE Aerospace, Inc., Series B, 8.875% 05/01/11(a).......................................... $ 6,367 2,720 K & F Industries, Inc., Series B, 9.625% 12/15/10............................................. 2,992 2,635 Sequa Corporation, Class A, 9.000% 08/01/09............................................. 2,885 3,115 Sequa Corporation, Series B, 8.875% 04/01/08............................................. 3,333 ---------- 19,298 ---------- AIRLINES -- 2.3% 1,454 American Airlines, Inc., Series 2001-1, 7.377% 05/23/19............................................. 889 970 AMR Corporation, 9.000% 08/01/12(a).......................................... 740 4,220 Delta Air Lines, Inc., 7.700% 12/15/05(a).......................................... 3,756 715 Delta Air Lines, Inc., 9.250% 03/15/22............................................. 475 435 Delta Air Lines, Inc., 10.375% 12/15/22(a)......................................... 294 5,079 Delta Air Lines, Inc., 8.300% 12/15/29............................................. 3,276 3,895 Delta Air Lines, Inc., MTN, Series C, 6.650% 03/15/04(a).......................................... 3,807 4,780 Northwest Airlines Inc., 8.375% 03/15/04(a).......................................... 4,636 1,705 Northwest Airlines Inc., 8.520% 04/07/04 (a)......................................... 1,645 2,720 Northwest Airlines Inc., 7.625% 03/15/05(a).......................................... 2,387 3,535 Northwest Airlines Inc., 8.875% 06/01/06(a).......................................... 2,713 1,990 Northwest Airlines Inc., 9.875% 03/15/07(a).......................................... 1,532 301 Northwest Airlines Inc., Series 1996-1, 8.970% 01/02/15............................................. 183 635 Northwest Airlines Inc., Series 2001-1, 7.626% 04/01/10............................................. 487 ---------- 26,820 ---------- AUTOMOTIVE -- 2.1% 4,310 ArvinMeritor, Inc., 8.750% 03/01/12............................................. 4,515 1,000 Dana Corporation, 9.000% 08/15/11(a).......................................... 1,095 3,720 Dana Corporation, 7.000% 03/01/29............................................. 3,348
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- AUTOMOTIVE -- (CONTINUED) $ 5,210 General Motors Corporation, 8.375% 07/15/33............................................. $ 5,448 3,470 Goodyear Tire & Rubber Company, 7.857% 08/15/11(a).......................................... 2,915 5,035 Mark IV Industries, Inc., 7.500% 09/01/07............................................. 4,179 1,970 Tenneco Automotive Inc., 10.250% 07/15/13@(a)........................................ 2,137 ---------- 23,637 ---------- BROADCASTING AND CABLE -- 3.5% 1,755 Adelphia Communications Corporation, Class A, 10.250% 11/01/06(b)......................................... 1,211 3,595 Adelphia Communications Corporation, Class A, 9.375% 11/15/09(b).......................................... 2,570 8,685 Adelphia Communications Corporation, Class A, 10.250% 06/15/11(a)(b)...................................... 6,210 205 Adelphia Communications Corporation, Series B, 9.250% 10/01/04(b).......................................... 141 2,475 Comcast Corporation, 8.875% 04/01/07............................................. 2,654 4,900 Frontiervision Operating Partners LP, 11.000% 10/15/06(a)(b)...................................... 4,925 2,025 Frontiervision Operating Partners LP, 11.875% 09/15/07(b)......................................... 1,805 1,135 Frontiervision Operating Partners LP, Series B, 11.875% 09/15/07(b)......................................... 1,012 3,883 Hollinger Participation Trust, 12.125% 11/15/10@(d)........................................ 4,373 3,240 LodgeNet Entertainment Corporation, 9.500% 06/15/13............................................. 3,434 12,005 Paxson Communications Corporation, (0.000)% due 01/15/09 12.250% beginning 01/15/06.................................. 9,514 2,515 Radio Unica Corporation, 11.750% 08/01/06(b)......................................... 1,745 1,035 Young Broadcasting Inc., 8.500% 12/15/08............................................. 1,102 ---------- 40,696 ---------- BUILDING MATERIALS -- 0.7% 4,465 Dayton Superior Corporation, 10.750% 09/15/08@........................................... 4,576 3,580 Interline Brands Inc., 11.500% 05/15/11@........................................... 3,849 ---------- 8,425 ---------- CHEMICALS -- BASIC -- 1.5% 4,115 Lyondell Chemical Company, 9.500% 12/15/08(a).......................................... 3,806 3,295 Lyondell Chemical Company, 10.500% 06/01/13............................................ 3,147
SEE NOTES TO FINANCIAL STATEMENTS. 99 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- CHEMICALS -- BASIC -- (CONTINUED) $ 990 Lyondell Chemical Company, Series A, 9.625% 05/01/07............................................. $ 941 8,140 Terra Capital Inc., 12.875% 10/15/08............................................ 8,994 ---------- 16,888 ---------- CHEMICALS -- SPECIALTY -- 2.0% 4,540 Equistar Chemical Funding, 10.125% 09/01/08............................................ 4,495 5,310 Equistar Chemical Funding, 10.625% 05/01/11@........................................... 5,257 4,060 Equistar Chemicals, LP, 7.550% 02/15/26............................................. 2,964 1,735 FMC Corporation, 10.250% 11/01/09............................................ 1,978 340 General Chemical Industrial Products Inc., 10.625% 05/01/09(b)......................................... 111 2,335 Millennium America Inc., 7.625% 11/15/26(a).......................................... 1,891 3,965 PolyOne Corporation, 10.625% 05/15/10............................................ 3,350 2,790 Sovereign Specialty Chemicals, Inc., 11.875% 03/15/10............................................ 2,734 ---------- 22,780 ---------- COMMERCIAL SERVICES -- 0.2% 3,280 Protection One, Inc., 7.375% 08/15/05............................................. 2,694 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 0.1% 1,230 Xerox Corporation, 9.750% 01/15/09(a).......................................... 1,365 ---------- CONSTRUCTION -- 0.6% 3,690 URS Corporation, 11.500% 09/15/09............................................ 4,040 2,430 URS Corporation, Series B, 12.250% 05/01/09(a)......................................... 2,491 ---------- 6,531 ---------- CONSUMER SERVICES -- 1.4% 2,022 Jafra Cosmetics Term A, 5.188%** 05/20/08(i)(j)..................................... 1,921 4,600 Jafra Cosmetics, 10.750% 05/15/11(a)......................................... 4,991 5,195 Rent-Way, Inc., 11.875% 06/15/10@........................................... 5,415 900 Service Corporation International, 7.200% 06/01/06............................................. 900 1,670 Service Corporation International, 6.875% 10/01/07............................................. 1,662 700 Service Corporation International, 7.700% 04/15/09............................................. 716 ---------- 15,605 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- DIVERSIFIED ELECTRONICS -- 0.2% $ 2,175 Knowles Electronics Holdings, Inc., 13.125% 10/15/09............................................ $ 2,023 ---------- DIVERSIFIED MANUFACTURING -- 1.2% 3,110 Dresser, Inc., 9.375% 04/15/11(a).......................................... 3,266 4,195 Fastentech Inc., 11.500% 05/01/11@........................................... 4,383 2,750 Jacuzzi Brands, Inc., 9.625% 07/01/10@............................................ 2,853 312 Neenah Foundry Company, 11.000% 09/30/10@(h)........................................ 286 2,630 Neenah Foundry Company, Series B, 11.125% 05/01/07(b)......................................... 1,499 1,205 Neenah Foundry Company, Series D, 11.125% 05/01/07(b)......................................... 687 1,445 Neenah Foundry Company, Series F, 11.125% 05/01/07(b)......................................... 824 ---------- 13,798 ---------- ELECTRIC POWER -- NON NUCLEAR -- 7.5% 4,205 AES Corporation, 9.000% 05/15/15@(a)......................................... 4,447 1,696 AES Eastern Energy, Series 1999-A, 9.000% 01/02/17............................................. 1,747 1,175 AES Eastern Energy, Series 1999-B, 9.670% 01/02/29............................................. 1,234 1,792 Caithness Coso Funding Corporation, Series B, 9.050% 12/15/09............................................. 1,926 3,510 Calpine Construction Finance, 9.750%** 08/26/11@.......................................... 3,453 885 Calpine Corporation, 8.250% 08/15/05(a).......................................... 783 8,235 Calpine Corporation, 7.625% 04/15/06(a).......................................... 6,505 2,510 Calpine Corporation, 8.750% 07/15/07(a).......................................... 1,870 1,370 Calpine Corporation, 7.750% 04/15/09(a).......................................... 945 9,545 Calpine Corporation, 8.500% 07/15/10@(a)......................................... 8,780 2,625 Calpine Corporation, 8.500% 02/15/11(a).......................................... 1,851 2,485 Cedar Brakes I LLC, Series B, 8.500% 02/15/14............................................. 2,187 5,941 Cedar Brakes II LLC, 9.875% 09/01/13............................................. 5,704 1,090 Consumers Energy Company, 6.250% 09/15/06............................................. 1,192
SEE NOTES TO FINANCIAL STATEMENTS. 100 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ELECTRIC POWER -- NON NUCLEAR -- (CONTINUED) $ 444 ESI Tractebel Acquisition Corporation, Series B, 7.990% 12/30/11............................................. $ 441 1,670 Mirant Americas Generation LLC, 8.500% 10/01/21(a)(b)....................................... 1,319 2,390 Mirant Americas Generation LLC, 9.125% 05/01/31(a)(b)....................................... 1,888 2,185 Mirant Americas Generation LLC., 8.300% 05/01/11(b).......................................... 1,726 1,400 Mirant Revolver Credit Facility, 4.816%** 01/15/04(b)(i)(j).................................. 735 3,795 Pacific Gas and Electric Company Bank Debt A, 8.375%** 12/30/06(i)(j)..................................... 3,838 3,320 PG&E Corporation, 6.875% 07/15/08@............................................ 3,486 9,585 PG&E National Energy Group, Inc., 10.375% 05/16/11(b)......................................... 5,943 5,375 PG&E Transmission Northwest, 7.100% 06/01/05(a).......................................... 5,429 1,645 Reliant Resources, Inc., 9.250% 07/15/10@............................................ 1,489 213 Salton Sea Funding, Series B, 7.370% 05/30/05............................................. 217 4,390 Southern California Edison Company, 8.000% 02/15/07@............................................ 4,906 1,520 TECO Energy, Inc., 7.500% 06/15/10(a).......................................... 1,541 4,340 TECO Energy, Inc., 7.200% 05/01/11............................................. 4,275 2,840 TECO Energy, Inc., 7.000% 05/01/12............................................. 2,737 1,410 Tiverton/Rumford Power Association, 9.000% 07/15/18@............................................ 1,184 945 Westar Energy, Inc., 6.875% 08/01/04............................................. 969 1,770 Westar Energy, Inc., 7.875% 05/01/07............................................. 1,976 375 Westar Energy, Inc., 7.125% 08/01/09............................................. 383 440 Westar Energy, Inc., 7.650% 04/15/23............................................. 454 ---------- 87,560 ---------- ELECTRICAL EQUIPMENT -- 0.2% 1,450 Thomas & Betts Corporation, 8.250% 01/15/04............................................. 1,482 465 Thomas & Betts Corporation, MTN, 6.625% 05/07/08............................................. 470 ---------- 1,952 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- ENERGY -- MISCELLANEOUS -- 0.2% $ 900 AmeriGas Partners, LP, Series B, 8.875% 05/20/11............................................. $ 965 1,000 Ferrellgas Partners LP, 8.750% 06/15/12............................................. 1,070 ---------- 2,035 ---------- EXPLORATION AND PRODUCTION -- 1.8% 1,800 Comstock Resources, Inc., 11.250% 05/01/07............................................ 1,953 2,975 Continental Resources, Inc., 10.250% 08/01/08............................................ 2,916 2,815 Encore Acquisition Company, 8.375% 06/15/12............................................. 2,955 2,000 Energy Corporation of America, Series A, 9.500% 05/15/07............................................. 1,440 1,795 MSW Energy Holdings LLC, 8.500% 09/01/10@............................................ 1,876 1,960 Plains Exploration and Production Company, Series B, 8.750% 07/01/12............................................. 2,097 1,030 Stone Energy Corporation, 8.250% 12/15/11............................................. 1,092 1,695 Vintage Petroleum, Inc., 7.875% 05/15/11............................................. 1,759 4,435 Vintage Petroleum, Inc., 8.250% 05/01/12............................................. 4,778 ---------- 20,866 ---------- FINANCE -- MISCELLANEOUS -- 0.2% 4,430 The FINOVA Group Inc., 7.500% 11/15/09............................................. 2,193 ---------- FOOD PRODUCTS -- 2.1% 3,173 Chiquita Brands International, Inc., 10.560% 03/15/09(a)......................................... 3,498 1,010 Dole Food Company, Inc., 8.750% 07/15/13............................................. 1,081 1,425 Herbalife International, Inc., Class A, 11.750% 07/15/10............................................ 1,610 3,465 National Beef Packaging, 10.500% 08/01/11@........................................... 3,777 2,100 Seminis, Inc., Class A, 10.250% 10/01/13@........................................... 2,242 4,195 Swift & Company, 10.125% 10/01/09(a)......................................... 4,635 6,945 Swift & Company, 12.500% 01/01/10@........................................... 7,674 ---------- 24,517 ---------- HEALTH SERVICES -- 3.6% 2,870 AmeriPath, Inc., 10.500% 04/01/13............................................ 3,071 5,345 Express Scripts, Inc., 9.625% 06/15/09............................................. 5,826
SEE NOTES TO FINANCIAL STATEMENTS. 101 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- HEALTH SERVICES -- (CONTINUED) $ 210 Harborside Healthcare, (0.000)% due 08/01/07 12.000% beginning 08/01/04(i)............................... $ 84 2,355 HCA Inc., 8.360% 04/15/24............................................. 2,591 4,260 HCA Inc., 7.500% 11/15/95............................................. 4,059 90 HCA Inc., MTN, 7.750% 07/15/36............................................. 94 980 Manor Care, Inc., 7.500% 06/15/06............................................. 1,063 3,110 QuadraMed Corporation, 10.000% 04/01/08@........................................... 2,737 7,770 Quintiles Transnational Corporation, 10.000% 10/01/13@........................................... 8,023 775 Team Health Inc., Series B, 12.000% 03/15/09............................................ 814 5,205 Tenet Healthcare Corporation, 6.875% 11/15/31............................................. 4,711 7,637 Triad Hospitals, Inc., Series B, 11.000% 05/15/09............................................ 8,400 ---------- 41,473 ---------- HEAVY MACHINERY -- 0.3% 2,920 Cummins Inc., 6.450% 03/01/05............................................. 3,014 878 Thermadyne Bank Debt, 6.230%** 03/31/08(i)(j)..................................... 859 ---------- 3,873 ---------- HOUSEHOLD PRODUCTS -- 0.3% 3,400 Foamex LP, 10.750% 04/01/09(a)......................................... 3,035 ---------- INSURANCE -- 1.1% 5,365 Americo Life Inc., 7.875% 05/01/13@............................................ 5,385 5,775 Crum & Forster, 10.375% 06/15/13@........................................... 6,280 9,865 Lumbermens Mutual Casualty, 9.150% 07/01/26@(b)......................................... 740 180 Lumbermens Mutual Casualty, 8.300% 12/01/37@(b)......................................... 14 4,600 Lumbermens Mutual Casualty, 8.450% 12/01/97@(b)......................................... 345 ---------- 12,764 ---------- LODGING AND RECREATION -- 2.3% 1,060 Hilton Hotels Corporation, 7.625% 05/15/08............................................. 1,161 395 Hilton Hotels Corporation, 8.250% 02/15/11............................................. 441 210 Hilton Hotels Corporation, 7.500% 12/15/17............................................. 213 3,230 ITT Corporation, 7.375% 11/15/15............................................. 3,359
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- LODGING AND RECREATION -- (CONTINUED) $ 1,015 ITT Corporation, 7.750% 11/15/25............................................. $ 990 3,105 Jacobs Entertainment, Inc., 11.875% 02/01/09............................................ 3,322 720 Mandalay Resort Group, 9.500% 08/01/08............................................. 826 4,545 Park Place Entertainment Corporation, 8.875% 09/15/08............................................. 5,034 1,600 Park Place Entertainment Corporation, 7.875% 03/15/10............................................. 1,712 1,420 Prime Hospitality Corporation, Series B, 8.375% 05/01/12............................................. 1,399 652 United Artists Theatre Circuit Inc., Series 1995-A, 9.300% 07/01/15(h)(i)....................................... 652 590 Vail Resorts, Inc., 8.750% 05/15/09............................................. 620 2,150 Vail Resorts, Inc., 8.750% 05/15/09............................................. 2,260 3,615 Venetian Casino Resort LLC, 11.000% 06/15/10(a)......................................... 4,121 700 Wheeling Island Gaming Inc., 10.125% 12/15/09............................................ 729 ---------- 26,839 ---------- MEDICAL DEVICES AND SUPPLIES -- 0.7% 2,585 Apogent Technologies Inc., 6.500% 05/15/13@............................................ 2,650 2,939 DJ Orthopedics LLC, 12.625% 06/15/09............................................ 3,247 2,315 Fisher Scientific International Inc., 8.125% 05/01/12(a).......................................... 2,460 ---------- 8,357 ---------- METALS AND MINING -- 1.0% 2,160 Commonwealth Industries, Inc., 10.750% 10/01/06............................................ 2,168 4,365 JLG Industries, Inc., 8.250% 05/01/08............................................. 4,627 245 Ormet Corporation, 11.000% 08/15/08@........................................... 56 4,125 UCAR Finance Inc., 10.250% 02/15/12............................................ 4,507 ---------- 11,358 ---------- NATURAL GAS PIPELINES -- 6.4% 7,140 ANR Pipeline, Inc., 9.625% 11/01/21............................................. 7,765 765 ANR Pipeline, Inc., 7.000% 06/01/25............................................. 752 2,130 Colorado Interstate Gas Company, 10.000% 06/15/05............................................ 2,239 5,450 Dynegy Holdings Inc., 9.875% 07/15/10@(a)......................................... 5,695 1,000 Dynegy Holdings Inc., 10.125% 07/15/13@........................................... 1,055
SEE NOTES TO FINANCIAL STATEMENTS. 102 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- NATURAL GAS PIPELINES -- (CONTINUED) $ 4,160 El Paso Corporation, 7.625% 08/01/10@............................................ $ 4,035 2,025 El Paso Corporation, 7.000% 05/15/11(a).......................................... 1,671 590 El Paso Corporation, 7.500% 11/15/26............................................. 512 2,660 El Paso Corporation, 8.375% 06/15/32............................................. 2,387 1,280 El Paso Corporation, MTN, 6.950% 12/15/07(a).......................................... 1,120 1,600 El Paso Corporation, MTN, 7.800% 08/01/31............................................. 1,184 3,135 El Paso Energy Partners, Series B, 8.500% 06/01/11............................................. 3,378 8,935 El Paso Production Holding, 7.750% 06/01/13@(a)......................................... 8,487 1,865 Gemstone Investors Ltd., 7.710% 10/31/04@(a)......................................... 1,842 5,370 Northwest Pipelines Corporation, 7.125% 12/01/25............................................. 5,236 1,315 Southern Natural Gas Company, 7.350% 02/15/31............................................. 1,210 1,535 Tennessee Gas Pipeline Company, 7.500% 04/01/17............................................. 1,466 3,090 Tennessee Gas Pipeline Company, 7.000% 03/15/27............................................. 3,059 5,480 Tennessee Gas Pipeline Company, 7.000% 10/15/28............................................. 4,754 4,430 Tennessee Gas Pipeline Company, 8.375% 06/15/32............................................. 4,319 1,430 Tennessee Gas Pipeline Company, 7.625% 04/01/37............................................. 1,301 5,805 Transcontinental Gas Pipe Line Corporation, 7.250% 12/01/26............................................. 5,660 3,225 Transcontinental Gas Pipe Line Corporation, Series B, 8.875% 07/15/12............................................. 3,648 1,175 Transcontinental Gas Pipeline Corporation, 7.080% 07/15/26............................................. 1,146 ---------- 73,921 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.4% 6,350 Avaya Inc., 11.125% 04/01/09............................................ 7,350 6,485 IPC Acquisition Corporation, 11.500% 12/15/09............................................ 6,777 6,080 Lucent Technologies Inc., 7.250% 07/15/06(a).......................................... 5,852 3,875 Lucent Technologies Inc., 5.500% 11/15/08(a).......................................... 3,294
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- (CONTINUED) $ 805 Lucent Technologies Inc., 6.500% 01/15/28............................................. $ 555 5,180 Lucent Technologies Inc., 6.450% 03/15/29(a).......................................... 3,574 ---------- 27,402 ---------- OIL REFINING AND MARKETING -- 0.3% 2,995 Tesoro Petroleum Corporation, 8.000% 04/15/08............................................. 3,070 ---------- OILFIELD SERVICES -- 0.7% 1,640 Grant Prideco, Inc., Series B, 9.625% 12/01/07............................................. 1,796 2,620 Halliburton Company, 8.750% 02/15/21............................................. 2,907 820 Parker Drilling Company, Series B, 10.125% 11/15/09(a)......................................... 845 2,070 Parker Drilling Company, Series D, 9.750% 11/15/06(a).......................................... 2,117 ---------- 7,665 ---------- PACKAGING AND CONTAINERS -- 1.7% 1,790 Owens Corning Bank Debt, 0.000%** 01/01/04(b)(c)(i)(j)............................... 1,119 3,675 Owens-Brockway Glass Containers, Inc., 8.875% 02/15/09............................................. 3,914 2,080 Owens-Brockway Glass Containers, Inc., 7.750% 05/15/11............................................. 2,153 5,440 Owens-Brockway Glass Containers, Inc., 8.750% 11/15/12............................................. 5,834 4,160 Owens-Brockway Glass Containers, Inc., 8.250% 05/15/13@............................................ 4,243 2,605 Owens-Illinois, Inc., 7.800% 05/15/18............................................. 2,384 ---------- 19,647 ---------- PAPER AND FOREST PRODUCTS -- 3.1% 5,340 Georgia-Pacific Corporation, 8.875% 02/01/10............................................. 5,847 1,190 Georgia-Pacific Corporation, 9.375% 02/01/13............................................. 1,328 1,285 Georgia-Pacific Corporation, 7.375% 12/01/25............................................. 1,137 1,485 Georgia-Pacific Corporation, 7.250% 06/01/28............................................. 1,299 5,877 Georgia-Pacific Corporation, 7.750% 11/15/29(a).......................................... 5,326 11,020 Georgia-Pacific Corporation, 8.875% 05/15/31............................................. 11,076 5,973 Louisiana-Pacific Corporation, 10.875% 11/15/08@........................................... 6,944
SEE NOTES TO FINANCIAL STATEMENTS. 103 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- PAPER AND FOREST PRODUCTS -- (CONTINUED) $ 1,170 Pope and Talbot, Inc., 8.375% 06/01/13............................................. $ 1,112 1,395 Pope and Talbot, Inc., 8.375% 06/01/13............................................. 1,325 ---------- 35,394 ---------- PUBLISHING AND ADVERTISING -- 2.6% 3,330 American Color Graphics, 10.000% 06/15/10@........................................... 3,521 95 Garden State Newspapers, Inc., 8.625% 07/01/11............................................. 100 3,640 Garden State Newspapers, Inc., Series B, 8.750% 10/01/09............................................. 3,740 4,490 Houghton Mifflin Company, 7.200% 03/15/11............................................. 4,771 3,180 Moore North America Finance, 7.875% 01/15/11@............................................ 3,379 5,605 Morris Publishing, 7.000% 08/01/13@............................................ 5,668 4,299 Phoenix Color Corporation, 10.375% 02/01/09............................................ 3,966 4,120 Vertis Inc., 9.750% 04/01/09@(a)......................................... 4,336 1,372 Ziff Davis Media Inc., Series B, 13.000% 08/12/09............................................ 1,015 ---------- 30,496 ---------- REAL ESTATE -- 0.9% 2,730 CB Richard Ellis Services Inc., 11.250% 06/15/11............................................ 2,955 4,040 CBRE Escrow Inc., 9.750% 05/15/10@............................................ 4,373 600 DR Structured Finance Corporation, Series 1994A-2, 9.350% 08/15/19............................................. 306 293 DR Structured Finance Corporation, Series A-1, 7.600% 08/15/07............................................. 132 702 DR Structured Finance Corporation, Series A-1, 6.660% 08/15/10............................................. 358 669 DR Structured Finance Corporation, Series A-2, 8.375% 08/15/15............................................. 294 1,137 DR Structured Finance Corporation, Series A-2, 7.430% 08/15/18............................................. 580 236 DR Structured Finance Corporation, Series A-3, 8.550% 08/15/19............................................. 111 864 Kmart Corporation, Series 1995K-3, 8.540% 01/02/15(b).......................................... 346 610 LNR Property Corporation, 10.500% 01/15/09............................................ 650 ---------- 10,105 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.8% $ 4,470 Crescent Real Estate Equities LP, 9.250% 04/15/09(a).......................................... $ 4,805 930 Healthcare Realty Trust, Inc., 8.125% 05/01/11............................................. 1,050 3,295 OMEGA Healthcare Investors, Inc., 6.950% 08/01/07............................................. 2,982 ---------- 8,837 ---------- SEMICONDUCTORS -- 1.1% 8,000 Micron Technology Inc., 6.500% 09/30/05(i).......................................... 7,760 2,295 ON Semiconductor Corporation, 13.000% 05/15/08............................................ 2,616 2,255 SCG Holding and Semiconductor Company, 12.000% 08/01/09............................................ 2,351 ---------- 12,727 ---------- STEEL -- 1.8% 7,115 AK Steel Corporation, 7.750% 06/15/12(a).......................................... 4,909 7,625 Allegheny Ludlum Corporation, 6.950% 12/15/25............................................. 5,948 5,490 Allegheny Technologies, Inc., 8.375% 12/15/11............................................. 4,831 5,215 United States Steel LLC, 10.750% 08/01/08(a)......................................... 5,554 ---------- 21,242 ---------- TELECOMMUNICATIONS SERVICES -- 5.5% 5,130 Alamosa Delaware Inc., 12.500% 02/01/11............................................ 4,950 3,180 Alamosa Holdings, Inc., (0.000)% due 02/15/10 12.875% beginning 02/15/05.................................. 2,512 1,145 COLO.COM, 13.875% 03/15/10@(b)(h)(i).................................. 11 849 Globix Corporation, 11.000% 05/01/08@(d)(i)..................................... 645 583 GT Telecom Racers Notes Trust, Series A, 0.000%** 06/30/08(b)(c)(h)(i)............................... 0++ 417 GT Telecom Racers Notes Trust, Series B, 0.000%** 06/30/08(b)(c)(h)(i)............................... 0++ 1,164 Loral Cyberstar Inc., 10.000% 07/15/06(b)......................................... 710 2,415 NII Holdings Ltd., (0.000)% due 11/01/09 13.000% beginning 11/01/04(i)............................... 2,451 1,570 Qwest Capital Funding, Inc., 6.250% 07/15/05............................................. 1,539 2,920 Qwest Capital Funding, Inc., 7.750% 02/15/31(a).......................................... 2,482 4,435 Qwest Communications International Inc., Series B, 7.500% 11/01/08............................................. 4,258
SEE NOTES TO FINANCIAL STATEMENTS. 104 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 6,500 Qwest Communications Term B, 6.950%** 06/30/10(i)(j)..................................... $ 6,356 3,380 Qwest Corporation, 7.200% 11/01/04............................................. 3,473 165 Qwest Corporation, 5.625% 11/15/08............................................. 161 1,950 Qwest Corporation, 8.875% 03/15/12@............................................ 2,165 1,410 Qwest Corporation, 7.250% 09/15/25............................................. 1,283 6,055 Qwest Corporation, 8.875% 06/01/31(a).......................................... 6,327 2,950 Qwest Corporation, 7.125% 11/15/43............................................. 2,537 373 Qwest Services Corporation, 4.620%** 05/03/05(i)(j)..................................... 369 2,029 Qwest Services Corporation, 13.000% 12/15/07@(a)........................................ 2,272 6,787 Qwest Services Corporation, 13.500% 12/15/10@........................................... 7,908 6,044 Qwest Services Corporation, 14.000% 12/15/14@(a)........................................ 7,268 2,145 TSI Telecommunication Services Inc., Series B, 12.750% 02/01/09............................................ 2,150 2,705 US Unwired Inc., Series B, (0.000)% due 11/01/09 13.375% beginning 11/01/04.................................. 1,975 ---------- 63,802 ---------- TOBACCO -- 0.9% 6,135 Commonwealth Brands, Inc., 9.750% 04/15/08@(a)......................................... 6,595 3,685 Commonwealth Brands, Inc., 10.625% 09/01/08@........................................... 3,943 ---------- 10,538 ---------- TOTAL CORPORATE BONDS AND NOTES (Cost $735,581)............................................. 772,228 ---------- FOREIGN BONDS AND NOTES -- 12.2% BROADCASTING AND CABLE -- 2.4% 8,260 CanWest Media Inc., Series B, 7.625% 04/15/13............................................. 8,838 1,750 Quebecor Media Inc., 11.125% 07/15/11............................................ 1,995 2,340 Quebecor Media Inc., (0.000)% due 07/15/11 13.750% beginning 07/15/06.................................. 1,989 2,595 Rogers Cable Inc., 11.000% 12/01/15............................................ 2,939
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- BROADCASTING AND CABLE -- (CONTINUED) $ 1,540 Vivendi Universal S.A., 6.250% 07/15/08@(a)......................................... $ 1,586 8,785 Vivendi Universal S.A., 9.250% 04/15/10@(a)......................................... 10,092 ---------- 27,439 ---------- CHEMICALS -- SPECIALTY -- 0.3% 470 Acetex Corporation, 10.875% 08/01/09@........................................... 521 2,150 Acetex Corporation, 10.875% 08/01/09(a)......................................... 2,381 65 Marsulex Inc., 9.625% 07/01/08............................................. 66 ---------- 2,968 ---------- ELECTRIC POWER -- NON NUCLEAR -- 0.6% 440 AES Drax Holdings Ltd., Series B, 10.410% 12/31/20............................................ 328 9,565 Calpine Canada Energy Finance, 8.500% 05/01/08(a).......................................... 6,887 ---------- 7,215 ---------- EXPLORATION AND PRODUCTION -- 0.2% 1,098 Baytex Energy Ltd., 9.625% 07/15/10............................................. 1,149 1,520 Compton Petroleum Corporation, 9.900% 05/15/09............................................. 1,641 ---------- 2,790 ---------- FOOD PRODUCTS -- 0.6% 1,855 Burns Philp Capital Property Ltd., 9.500% 11/15/10@............................................ 1,938 4,540 Burns Philp Capital Property Ltd., 10.750% 02/15/11@........................................... 4,745 ---------- 6,683 ---------- INSURANCE -- 0.4% 1,450 Fairfax Financial Holdings Limited, 7.750% 12/15/03............................................. 1,457 3,125 Fairfax Financial Holdings Limited, 7.750% 07/15/37............................................. 2,688 ---------- 4,145 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.3% 2,545 Marconi Corporation plc, 8.000% 04/30/08............................................. 2,469 506 Marconi Corporation plc, 8.000% 04/30/08@(a)......................................... 492 217 Marconi Corporation plc, 10.000% 10/31/08@(a)........................................ 232 ---------- 3,193 ---------- OILFIELD SERVICES -- 0.4% 1,650 Petroleum Geo-Services ASA, 6.250% 11/19/03(a)(b)....................................... 1,188 425 Petroleum Geo-Services ASA, 7.500% 03/31/07(b).......................................... 306
SEE NOTES TO FINANCIAL STATEMENTS. 105 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- OILFIELD SERVICES -- (CONTINUED) $ 60 Petroleum Geo-Services ASA, 6.625% 03/30/08(b).......................................... $ 43 3,570 Petroleum Geo-Services ASA, 7.125% 03/30/28(b).......................................... 2,570 230 Petroleum Geo-Services ASA, 8.150% 07/15/29(b).......................................... 166 ---------- 4,273 ---------- PACKAGING AND CONTAINERS -- 2.3% 1,310 Crown Cork & Seal Company, Inc., 6.750% 12/15/03............................................. 1,317 11,605 Crown Cork & Seal Company, Inc., 7.000% 12/15/06............................................. 11,169 6,750 Crown Euro Holdings, 9.500% 03/01/11@(a)......................................... 7,255 5,285 Crown Euro Holdings, 10.875% 03/01/13@........................................... 5,827 1,955 Norampac Inc., 6.750% 06/01/13@............................................ 1,994 ---------- 27,562 ---------- PAPER AND FOREST PRODUCTS -- 1.1% 2,795 Abitibi-Consolidated Inc., 8.850% 08/01/30............................................. 2,916 3,265 Doman Industries Ltd., Class A, 12.000% 07/01/04(b)......................................... 3,330 6,670 Norske Skog Canada Ltd., Series D, 8.625% 06/15/11............................................. 6,946 ---------- 13,192 ---------- PUBLISHING AND ADVERTISING -- 0.9% 6,025 Hollinger Inc., 11.875% 03/01/11@........................................... 6,658 3,800 Sun Media Corporation, 7.625% 02/15/13............................................. 3,990 ---------- 10,648 ---------- RAILROADS, TRUCKING AND SHIPPING -- 0.7% 1,315 Grupo Transportacion Ferroviaria Mexicana, S.A. de C.V., 11.750% 06/15/09............................................ 1,348 2,770 Grupo Transportacion Ferroviaria Mexicana, S.A. de C.V., 12.500% 06/15/12............................................ 3,047 230 Sea Containers Ltd., Series B, 10.750% 10/15/06(a)......................................... 230 880 Sea Containers Ltd., Series B, 7.875% 02/15/08(a).......................................... 792 2,225 Stena AB, 9.625% 12/01/12............................................. 2,420 ---------- 7,837 ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- STEEL -- 0.4% $ 4,666 Algoma Steel Inc., 11.000% 12/31/09(b)(i)...................................... $ 4,013 600 IPSCO, Inc., 8.750% 06/01/13@............................................ 627 ---------- 4,640 ---------- TELECOMMUNICATIONS SERVICES -- 1.6% 250 360 networks Inc., 13.000% 05/01/08(b)......................................... 0++ 2,294 Call-Net Enterprises, Inc., 10.625% 12/31/08(a)......................................... 2,059 4,180 Millicom International Cellular S.A., 11.000% 06/01/06@........................................... 4,274 4,930 Mobifon Holdings BV, 12.500% 07/31/10@........................................... 5,373 4,500 Nortel Networks Ltd., 6.125% 02/15/06(a).......................................... 4,523 1,735 Rogers Cantel Inc., 9.750% 06/01/16............................................. 2,008 ---------- 18,237 ---------- TOTAL FOREIGN BONDS AND NOTES (Cost $129,276)............................................. 140,822 ---------- FOREIGN CONVERTIBLE BONDS AND NOTES -- 1.7% 737 Algoma Steel Inc., 1.000% 12/31/30(b)(i)....................................... 310 1,830(e) Colt Telecom Group plc, 2.000% 03/29/06@............................................ 2,067 740(e) Colt Telecom Group plc, 2.000% 12/16/06@............................................ 819 2,410(e) Colt Telecom Group plc, 2.000% 04/03/07@............................................ 2,666 1,600(e) Koninklijke Ahold N.V., 4.000% 05/19/05............................................. 1,778 133(e) KPNQwest NV, 10.000% 03/15/12(b)(d)...................................... 0++ 603 Millicom International Cellular S.A., 2.000% 06/01/06@(d)(i)...................................... 2,594 11,135 Nortel Networks Corporation, 4.250% 09/01/08............................................. 9,827 ---------- TOTAL FOREIGN CONVERTIBLE BONDS AND NOTES (Cost $13,015).............................................. 20,061 ---------- MUNICIPAL BONDS AND NOTES -- 0.4% 1,210 Iowa, Tobacco Settlement Authority, Revenue, Series 2001B, 5.600% 06/01/35............................................. 927 320 New Jersey, Tobacco Settlement Financing Corporation, Revenue, Series 2002, 6.000% 06/01/37............................................. 258
SEE NOTES TO FINANCIAL STATEMENTS. 106 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- (CONTINUED) $ 840 New Jersey, Tobacco Settlement Financing Corporation, Revenue, Series 2003, 6.375% 06/01/32............................................. $ 750 1,955 New Jersey, Tobacco Settlement Financing Corporation, Revenue, Series 2003, 6.250% 06/01/43............................................. 1,615 935 Rhode Island, Tobacco Settlement Financing Corporation, Revenue, Series 2002A, 6.250% 06/01/42............................................. 773 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $4,197)............................................... 4,323 ---------- SHARES - --------- PREFERRED STOCKS -- 0.6% BROADCASTING AND CABLE -- 0.2% 54,535 MediaOne Financing Trust...................................... 1,370 8,400 Paxon Communications Corporation!!(d)......................... 756 ---------- 2,126 ---------- PUBLISHING AND ADVERTISING -- 0.0%+ 328 Ziff Davis Holdings Inc., Series E-1!!(h)(i).................. 0++ ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.3% 23,400 Sovereign REIT, Series A@................................................... 3,464 ---------- TELECOMMUNICATIONS SERVICES -- 0.1% 30,035 NEON Communications, Inc.!!(h)(i)............................. 338 10,960 Rural Cellular Corporation, Series B(d)....................... 893 ---------- 1,231 ---------- TOTAL PREFERRED STOCKS (Cost $5,341)............................................... 6,821 ---------- RIGHTS -- 0.0%+ (Cost $0) 2,247 Neenah Right Expire 10/08/03(h).......................................... 0++ ----------
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 1.5% (Cost $16,567) U.S. TREASURY NOTES -- 1.5% $ 16,125 5.375% 02/15/31(a).......................................... $ 17,304 ---------- SHARES - --------- WARRANTS -- 0.1% 1,145 COLO.COM Expire 03/15/10!!@(i)....................................... 0++ 5,803 Harborside Healthcare Corporation Expire 08/01/09!!(i)........................................ 0++ 1,663 ICO Global Communications Expire 5/16/06!!(i)......................................... 0++ 275,617 NEON Communications, Inc. Expire 12/02/12!!(a)(h)(i).................................. 3 180,266 NEON Communications, Inc., Preferred Expire 12/02/12!!(h)(i)..................................... 2 150,231 NEON Communications, Inc., Class A Expire 12/02/12!!(h)(i)..................................... 188 1,365 Ono Finance plc Expire 03/16/11!!@(i)....................................... 0++ 474,443 Quadramed Corporation Expire 04/01/08!!........................................... 1,171 363 Thermadyne Holdings Corporation Expire 05/23/04!!(h)(i)..................................... 0++ 220 Thermadyne Holdings Corporation Expire 05/23/06!!(h)(i)..................................... 0++ 180 UbiquiTel Inc. Expire 04/15/10!!@(i)....................................... 0++ 60,280 Ziff Davis Holdings Inc. Expire 08/12/12!!(i)........................................ 1 ---------- TOTAL WARRANTS (Cost $1,003)............................................... 1,365 ---------- SHARES (000) - -------- INVESTMENT COMPANIES -- 23.1% (Cost $265,653) 265,653 Nations Cash Reserves, Capital Class Shares#.................. 265,653 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 107 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
VALUE (000) - --------------------------------------------------------------------------------------- TOTAL INVESTMENTS (Cost $1,237,072*)................................ 113.2% $1,303,865 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. (13.2)% Cash.......................................................... $ 265 Receivable for investment securities sold..................... 1,822 Dividends receivable.......................................... 93 Interest receivable........................................... 22,876 Collateral on securities loaned............................... (172,400) Investment advisory fee payable............................... (520) Administration fee payable.................................... (47) Payable for investment securities purchased................... (3,872) Accrued Trustees' fees and expenses........................... (32) Accrued expenses and other liabilities........................ (103) ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (151,918) ---------- NET ASSETS.......................................... $1,151,947 100.0% ==========
- --------------- * Federal income tax information: net unrealized appreciation of $66,793 on investment securities was comprised of gross appreciation of $82,041 and depreciation of $15,248 for federal income tax purposes. At September 30, 2003, the aggregate cost for federal income tax purposes was $1,237,072. **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. !!Non-income producing security. @Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. + Amount represents less than 0.1%. ++Amount represents less than $500. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. A portion of this amount represents cash collateral received from securities lending activity (see Note 8). The portion that represents cash collateral is $172,400. (a) All or portion of security was on loan at September 30, 2003. The aggregate cost and market value of securities on loan at September 30, 2003, is $155,052 and $164,165, respectively. (b) Issue in default. (c) Issuer in bankruptcy. (d) PIK ("Payment In Kind"). Interest or dividend payment is made with additional securities. (e) Principal amount denominated in Euro. (f) Foreign security. (h) Fair valued security. (i) Restricted security. (j) Loan participation agreement. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 108 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2003
INTERMEDIATE HIGH YIELD BOND BOND MASTER MASTER PORTFOLIO PORTFOLIO --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 13,268 $ 42,836 Dividends (Net of foreign withholding taxes of $0 and $2, respectively)............................................. -- 230 Dividend income from affiliated funds....................... 448 550 Securities lending.......................................... 63 102 -------------- -------------- Total investment income................................. 13,779 43,718 -------------- -------------- EXPENSES: Investment advisory fee..................................... 1,550 2,767 Administration fee.......................................... 194 252 Custodian fees.............................................. 28 30 Legal and audit fees........................................ 23 23 Trustees' fees and expenses................................. 10 10 Interest expense............................................ 13 -- Other....................................................... 4 7 -------------- -------------- Total expenses.......................................... 1,822 3,089 Fees reduced by credits allowed by the custodian............ (1) (3) -------------- -------------- Net expenses............................................ 1,821 3,086 -------------- -------------- NET INVESTMENT INCOME....................................... 11,958 40,632 -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... 11,144 10,021 Swap contracts............................................ 1,412 -- Futures................................................... (1,376) -- Written options........................................... (1,652) -- Forward foreign exchange contracts, foreign currencies and other net assets........................................ -- 186 -------------- -------------- Net realized gain/(loss) on investments..................... 9,528 10,207 -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities................................................ (5,199) 74,513 Swap contracts............................................ 405 -- Written options........................................... (13) -- Futures................................................... (121) -- Forward foreign exchange contracts, foreign currencies and other net assets........................................ -- (8) -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... (4,928) 74,505 -------------- -------------- Net realized and unrealized gain/(loss) on investments...... 4,600 84,712 -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 16,558 $ 125,344 ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 109 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF CHANGES IN NET ASSETS
INTERMEDIATE BOND HIGH YIELD BOND MASTER PORTFOLIO MASTER PORTFOLIO -------------------------------- --------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/03 YEAR ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 --------------------------------------------------------------------- (IN THOUSANDS) Net investment income............................ $ 11,958 $ 24,168 $ 40,632 $ 43,184 Net realized gain/(loss) on investments.......... 9,528 11,351 10,207 (3,684) Net change in unrealized appreciation/(depreciation) of investments..... (4,928) 29,924 74,505 1,825 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................ 16,558 65,443 125,344 41,325 Contributions.................................... 83,573 745,976 1,161,996 559,715 Withdrawals...................................... (119,765) (382,040) (831,043) (231,598) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets............ (19,634) 429,379 456,297 369,442 NET ASSETS: Beginning of period.............................. 785,213 355,834 695,650 326,208 -------------- -------------- -------------- -------------- End of period.................................... $ 765,579 $ 785,213 $ 1,151,947 $ 695,650 ============== ============== ============== ==============
FINANCIAL HIGHLIGHTS
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS -------------------- RATIO OF RATIO OF NET RATIO OF OPERATING INVESTMENT OPERATING EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO TOTAL TO AVERAGE TO AVERAGE TURNOVER AVERAGE RETURN NET ASSETS NET ASSETS RATE NET ASSETS ----------------------------------------------------------------------------------- INTERMEDIATE BOND MASTER PORTFOLIO: Six months ended 9/30/2003 (unaudited).... 2.28% 0.47%+(c)(d) 3.08%+ 139% 0.47%+(c)(d) Year ended 3/31/2003...................... 10.85 0.47(c)(d) 3.74 122 0.47(c) Year ended 3/31/2002...................... 4.33 0.49(c)(d) 5.24 228 0.49(c) Year ended 3/31/2001...................... --@ 0.45(c) 6.61 118 0.46 (c) Period ended 3/31/2000.................... --@ 0.54+ 6.10+ 90 0.55+ Period ended 5/14/1999(a)................. --@ 0.38+ 5.61+ 19 0.42+ Year ended 2/28/1999(a)................... --@ 0.35 5.69 137 0.45 HIGH YIELD BOND MASTER PORTFOLIO: Six months ended 9/30/2003 (unaudited).... 14.37% 0.61%+(c) 8.05%+ 27% 0.61%+(c) Year ended 3/31/2003...................... 6.47 0.62(c) 9.76 50 0.62(c) Year ended 3/31/2002...................... 6.33 0.65(c)(d) 9.93 64 0.65(c) Year ended 3/31/2001...................... --@ 0.71 11.14 63 0.72 Period ended 3/31/2000(b)................. --@ 2.82+ 5.16+ 26 2.86+
- --------------- + Annualized. (a)Represents financial information for the Pacific Horizon Intermediate Bond Portfolio, which was reorganized into Intermediate Bond Master Portfolio on May 21, 1999. (b)High Yield Bond Master Portfolio commenced operations on February 14, 2000. (c)The effect of the custodial expense offset (see Note 2) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (d)The effect of interest expense on the operating expense ratio was less than 0.01%. @Total return not required for periods indicated. SEE NOTES TO FINANCIAL STATEMENTS. 110 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (UNAUDITED) Nations Master Investment Trust (the "Master Trust") is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. At September 30, 2003, the Master Trust offered twelve separate portfolios. These financial statements pertain only to Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio (each a "Master Portfolio" and collectively, the "Master Portfolios"). Financial statements for the other portfolios of the Master Trust are presented under separate cover. Certain Funds invest in securities of foreign issuers. There are certain risks involved in investing in foreign securities that are in addition to the usual risks inherent in domestic instruments. These risks include those resulting from currency fluctuations, future adverse political and economic developments and possible imposition of currency exchange blockages or other foreign government laws or restrictions. The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic and political developments in a specific country, industry or region. The High Yield Bond Master Portfolio principally invests in high yield securities (sometimes called "junk bonds"), which are generally considered speculative because they present a greater risk of loss, including default, than higher quality debt securities. These securities pay a premium -- a high interest rate or yield -- because of the increased risk of loss. These securities can also be subject to greater price volatility. The following investors were invested in the Master Portfolios at September 30, 2003: INTERMEDIATE BOND MASTER PORTFOLIO: Nations Intermediate Bond Fund.............................. 96.2% Nations Intermediate Bond Fund (Offshore)................... 3.8% HIGH YIELD BOND MASTER PORTFOLIO: Nations High Yield Bond Fund................................ 94.4% Nations High Yield Bond Fund (Offshore)..................... 5.6%
1. SIGNIFICANT ACCOUNTING POLICIES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make certain estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Master Portfolios in the preparation of their financial statements. Securities valuation: Securities are generally valued using prices provided by a pricing service or based upon broker-dealer quotations. Certain prices provided by broker-dealers or the pricing service may be based on a matrix pricing system, which considers such factors as security prices, yields and maturities on comparable securities. Certain securities may be valued based upon quotes provided by one or more principal market makers. Securities, including options and futures contracts, traded on a recognized exchange are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on NASDAQ are valued at the NASDAQ official closing price. Securities which are primarily traded on foreign securities exchanges are valued at the last available closing values on their respective exchanges where primarily traded, or at the mean between the closing bid and ask prices if no sales are recorded. 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: The Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio may invest in futures contracts for the purposes of hedging against changes in values of the Portfolio's securities or changes in the prevailing levels of interest rates or currency exchange rates or to enhance the portfolio's return. Upon entering into a futures contract, a Master Portfolio is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Master Portfolio each day, depending on the daily fluctuation of the value of the contract. 111 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect changes in the market value of the contract. When the contract is closed, a Master Portfolio records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts, that a change in the value of the contract may not correlate with a change in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. Options: The Intermediate Bond Master Portfolio may purchase and write call and put options on securities, futures and swap contracts ("swaptions"). A Master Portfolio may use such options on futures contracts in connection with its hedging strategies and for the purpose of yield enhancement in lieu of purchasing and writing options directly on the underlying securities or stock indices or purchasing and selling the underlying futures. The Master Portfolio may write covered call options and put options on securities in which it is permitted to invest from time to time in seeking to attain the Master Portfolio's objective. Call options written by a Master Portfolio give the holder the right to buy the underlying securities from the Master Portfolio at a stated exercise price; put options give the holder the right to sell the underlying security to the Master Portfolio at a stated price. In the case of put options, a Master Portfolio is required to maintain in a separate account liquid assets with a value equal to or greater than the exercise price of the underlying securities. The Master Portfolio may also write combinations of covered puts and calls on the same underlying security. When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio 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 Master Portfolio typically receives a premium from writing a put or call option, which would increase the Master Portfolio's return in the event the option expires unexercised or is closed out at a profit. The amount of the premium would reflect, among other things, the relationship of the market price of the underlying security to the exercise price of the option, the term of the option and the volatility of the market price of the underlying security. By writing a call option, a Master Portfolio limits its opportunity to profit from any increase in the market value of the underlying security for an exercise price higher than its then current market value, resulting in potential capital loss if the purchase price exceeds the market value plus the amount of the premium received. The Master Portfolio may terminate an option that it has written prior to its expiration by entering into a closing purchase transaction in which it purchases an option having the same terms as the option written. The Master Portfolio will realize a profit or loss from such transaction in which it purchases an option having the same terms as the option written. The Master Portfolio will realize a profit or loss from such transaction if the cost of such transaction is less or more than the premium received from the writing of the option. In the case of a put option, any loss so incurred may be partially or entirely offset by the premium received. Because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from the repurchase of a call option is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by a Master Portfolio. Foreign currency transactions: The books and records of the Master Portfolios are maintained in U.S. dollars. Foreign currencies, investments and other assets and liabilities are translated into U.S. dollars at the current exchange rates. Purchases and sales of investment securities and income and expenses are translated on the respective dates of such transactions. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date of securities transactions, foreign currency transactions and the difference between the amounts of interest and dividends recorded on the books of a Master Portfolio and the amounts actually received. The effects of changes in foreign currency exchange rates on securities are not separately identified in the Statements of operations from the effects of changes in market prices of those securities, but are included with the net realized and unrealized gain or loss on securities. Forward foreign currency transactions: Generally, a Master Portfolio may enter into forward currency exchange contracts only under two circumstances: (i) when a Master Portfolio enters into a contract for the purchase or sale of a 112 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) security denominated in a foreign currency, to "lock in" the U.S. exchange rate of the transaction, with such period being a short-dated contract covering the period between transaction date and settlement date; or (ii) when the investment adviser or sub-adviser believes that the currency of a particular foreign country may experience a substantial movement against the U.S. dollar. Forward foreign currency contracts are valued at the forward rate and are marked-to-market daily. The change in market value is recorded by a Master Portfolio as an unrealized gain or loss. When the contract is closed or offset with the same counterparty, a Master Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed or offset. Forward foreign currency contracts will be used primarily to protect the Master Portfolios from adverse currency movements and will generally not be entered into for terms greater than one year. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Master Portfolio's investment securities; however, it does establish a rate of exchange that can be achieved in the future. The use of forward foreign currency contracts involves the risk that anticipated currency movements will not be accurately predicted. A forward foreign currency contract would limit the risk of loss due to a decline in the value of a particular currency; however, it also would limit any potential gain that might result should the value of the currency increase instead of decrease. These contracts may involve market risk in excess of the unrealized gain or loss reflected in the Statements of net assets. In addition, the Master Portfolios could be exposed to risks if counterparties to the contracts are unable to meet the terms of their contracts. The counterparty risk exposure is, therefore, closely monitored and contracts are only executed with high credit quality financial institutions. Swaps: The Master Portfolios may engage in swap transactions such as interest rate, total return, index or currency swaps, consistent with their investment objective and policies to obtain a desired return at a lower cost than if the Master Portfolios had invested directly in the asset that yielded the desired return. Swaps involve the exchange by the Master Portfolios with another party of their respective commitments to pay or receive interest, effective return, or total return throughout the lives of the agreements. The interest to be paid or received on swaps is included in interest income or interest expense. 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 Master Portfolio'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 Master Portfolio 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 Master Portfolio will succeed in pursuing contractual remedies. A Master Portfolio 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, the elements of market risk in excess of the related amounts recognized in the Statements of net assets. When-issued/delayed delivery securities: Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Master Portfolio enters into such transactions, it is required to have segregated assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments. Credit risks exist on these commitments to the extent of any unrealized losses on the underlying securities purchased and any unrealized gains on the underlying securities sold. Market risk exists on these commitments to the same extent as if the securities were owned on a settled basis and losses are recorded and reported in the same manner. Loan Participations: The High Yield Master Portfolio may invest in Loan Participations. When the Master Portfolio purchases a Loan Participation, the Master Portfolio typically enters into a contractual relationship with the lender or third party selling such Participations ("Selling Participant"), but not the Borrower. As a result, the Master Portfolio assumes the credit risk of the Borrower, the Selling Participant and any other persons interpositioned between the Master 113 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Portfolio and the Borrower ("Intermediate Participants"). The Master Portfolio may not directly benefit from the collateral supporting the Senior Loan in which it has purchased the Loan Participation. 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 (including dividend income from affiliated funds) is recorded on ex-dividend date. Each investor in the portfolio is treated as an owner of its proportionate share of the net assets, income, expenses, realized and unrealized gains and losses of the portfolio. Federal income taxes: The Master Portfolios are treated as partnerships for federal income tax purposes and therefore are not subject to federal income tax. Each investor in the Master Portfolios will be subject to taxation on its allocated share of the Master Portfolio's ordinary income and capital gains. Expenses: General expenses of the Master Trust are allocated to the Master Portfolios based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Master Portfolio are charged to such Master Portfolio. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS The Master Trust has entered into an investment advisory agreement (the "Investment Advisory Agreement") with Banc of Capital Management, LLC ("BACAP"), 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 BACAP provides investment advisory services to the Master Portfolios. Under the terms of the Investment Advisory Agreement, BACAP is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following annual rates multiplied by the average daily net assets of each Master Portfolio:
ANNUAL RATE ----------- Intermediate Bond Master Portfolio.......................... 0.40% High Yield Bond Master Portfolio............................ 0.55%
The Master Trust has, on behalf of the High Yield Bond Master Portfolio, entered into a sub-advisory agreement with BACAP and MacKay Shields LLC ("MacKay Shields") pursuant to which MacKay Shields is entitled to receive a sub- advisory fee from BACAP at the maximum annual rate of 0.40% of the Master Portfolio's average daily net assets up to and including $100 million; 0.375% of the Master Portfolio's average daily net assets over $100 million and up to and including $200 million and 0.35% of the Master Portfolio's average daily net assets over $200 million. BACAP Distributors, LLC ("BACAP Distributors"), a wholly-owned subsidiary of Bank of America, serves as sole administrator of the Master Trust. Under the administration agreement, BACAP Distributors is currently entitled to receive a fee, computed daily and paid monthly, at the maximum annual rate of 0.05% of each Master Portfolio's average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of the Master Trust pursuant to an agreement with BACAP Distributors. For the six months ended September 30, 2003, BACAP Distributors earned 0.05% (annualized) of each Master Portfolio's average daily net assets for its administration services. BNY serves as the custodian of the Master Trust's assets. For the six months ended September 30, 2003, expenses of the Master Portfolios were reduced by $3,399 under expense offset arrangements with BNY. The Master Portfolios could have invested a portion of the assets utilized in connection with the expense offset arrangements in an income producing asset if they had not entered into such arrangements. No officer, director or employee of Bank of America, BACAP Distributors or BACAP, or any affiliate thereof, receives any compensation from the Master Trust for serving as a Trustee or Officer of the Master Trust. The Master Trust's eligible Trustees may participate in a non-qualified deferred compensation plan which may be terminated at any time. All benefits provided under this plan are unfunded and any payments to plan participants are paid 114 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) solely out of the Master Portfolios' assets. Income earned on the plan participant's deferral account is based on the rate of return of the eligible mutual funds selected by the participants or, if no funds are selected, on the rate of return of Nations Treasury Reserves, a portfolio of Nations Funds Trust, another registered investment company in the Nations Funds family. The expense for the deferred compensation plan is included in "Trustees' fees and expenses" in the Statements of operations. The liability for the deferred compensation plan is included in "Accrued Trustees' fees and expenses" in the Statement of net assets. The Master Portfolios have made daily investments of cash balances in the Nations Cash Reserves, a portfolio of Nations Funds Trust, pursuant to an exemptive order received from the Securities and Exchange Commission. The income earned by each Master Portfolio from such investments is included in its Statement of operations as "Dividend income from affiliated funds". BACAP and BACAP Distributors have earned fees related to investments in affiliated funds. 3. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) --------------------- Intermediate Bond Master Portfolio.......................... $131,900 $ 95,759 High Yield Bond Master Portfolio............................ 573,974 240,020
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) --------------------- Intermediate Bond Master Portfolio.......................... $928,239 $929,045 High Yield Bond Master Portfolio............................ 16,568 --
4. FUTURES CONTRACTS At September 30, 2003, the Intermediate Bond Master Portfolio had the following futures contracts open:
UNREALIZED VALUE OF CONTRACT MARKET VALUE OF APPRECIATION/ NUMBER OF WHEN OPENED CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------------- U.S. 5 year Treasury Note Futures (long position) expiring December 2003(a).......................................... 36 $ 4,056 $ 4,085 $ 29 U.S. 20 year Treasury Note Futures (long position) expiring December 2003(a).......................................... 111 11,588 12,449 861 U.S. 10 year Treasury Note Futures (short position) expiring December 2003(a).......................................... (150) (16,278) (17,194) (916) ----- Total net unrealized depreciation......................... $ (26) =====
- --------------- (a)Securities have been segregated as collateral for the Master Portfolio's open futures contracts. 115 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 5. WRITTEN OPTIONS Written options for the Intermediate Bond Master Portfolio six months ended September 30, 2003 aggregated the following:
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS CONTRACTS (000) - ----------------------------------------------------------------------------------- Outstanding at March 31, 2003............................... 36 $ 230 Contracts opened............................................ 378 2,134 Contracts closed............................................ (139) (753) Contracts expired........................................... (275) (1,611) ---- ------- Outstanding at September 30, 2003........................... -- $ -- ==== =======
6. SWAP CONTRACTS At September 30, 2003, the Intermediate Bond Master Portfolio had the following swap contracts outstanding:
UNREALIZED NOTIONAL PAYMENTS APPRECIATION/ AMOUNT PAYMENTS MADE BY RECEIVED BY (DEPRECIATION) DESCRIPTION (000) THE FUND THE FUND (000) - --------------------------------------------------------------------------------------------------------------------------- Contract with Citigroup, effective April 18, 2003, expiring June 20, 2008(a)........................ $ 3,000 (b) (b) $ 4 Contract with Citigroup, effective April 23, 2003, expiring June 20, 2008(a)........................ 3,000 3-month LIBOR 3.380% 35 Lehman U.S. Contract with Lehman Brothers, effective October Credit Total 16, 2002, expiring November 1, 2003(a)........... 4,000 1-month LIBOR +0.90% Return Index 83 Contract with Lehman Brothers, effective November Lehman Baa Total 1, 2002, expiring November 1, 2003(a)............ 8,000 1-month LIBOR +0.90% Return Index 193 Lehman CMBS Aaa Index (Prior floating rate minus Lehman CMBS Aaa Contract with Morgan Stanley, effective September current floating Index Spread 30, 2003, expiring December 31, 2003(a).......... 16,300 rate) x factor +0.44% -- ---- Total unrealized appreciation...................... $315 ====
- --------------- (a)Fair value. (b)Wells Fargo Credit Default Swap -- The Fund assumes risk on Wells Fargo Credit rating. The Fund receives 0.30% of the notional amount of the contract. 7. LINE OF CREDIT The Master Trust participates with other Nations Funds in a $1 billion uncommitted line of credit provided by BNY under a line of credit agreement (the "Agreement"). The Agreement is renewable on an annual basis. Advances under the Agreement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable at a specified Federal Funds rate plus 0.50% on an annualized basis. Each participating Master Portfolio maintains a ratio of net assets (not including amounts borrowed pursuant to the Agreement) to the aggregate amount of indebtedness pursuant to the Agreement of no less than 4 to 1. 116 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The Master Portfolios had no borrowings outstanding at September 30, 2003. During the six months ended September 30, 2003, borrowings by the Master Portfolios under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST FUND (000) RATE - -------------------------------------------------------------------------------------- Intermediate Bond Master Portfolio.......................... $1,783 1.50%
- --------------- *The average amount outstanding was based on daily balances in the period. 8. SECURITIES LENDING Under an agreement with BNY, the Master Portfolios can lend their securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash, in an amount at least equal to the market value of the securities loaned. The cash collateral received is invested in Nations Cash Reserves. A portion of the income generated by the investment of the collateral, net of any rebates paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder is paid to the Master Portfolios. Generally, in the event of counterparty default, the Master Portfolio has the right to use the collateral to offset losses incurred. There would be a potential loss to the Master Portfolio in the event the Master Portfolio is delayed or prevented from exercising its right to dispose of the collateral. The Master Portfolio bears the risk of loss with respect to the investment of collateral. At September 30, 2003, the following Master Portfolios had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL (000) (000) ---------------------------------- Intermediate Bond Master Portfolio.......................... $174,160 $178,515 High Yield Bond Master Portfolio............................ 164,165 172,400
9. RESTRICTED SECURITIES A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933. The Master Portfolios do not have the right to demand that such securities be registered. Disposal of these securities may involve time-consuming negotiations and expenses, and prompt sale at an acceptable price may be difficult. The following securities are considered restricted as to resale at September 30, 2003 for the High Yield Bond Master Portfolio.
PRINCIPAL MARKET AMOUNT/ VALUE PERCENTAGE ACQUISITION SHARES COST 9/30/03 OF NET SECURITY DATE (000) (000) (000) ASSETS - --------------------------------------------------------------------------------------------------------------------- Algoma Steel Inc., 11.000% due 12/31/09(a)........................ 03/12/01-06/20/01 $4,666 $ 3,223 $ 4,013 0.3% Algoma Steel Inc., 1.000% due 12/31/30(a)......................... 03/12/01-04/19/01 737 87 310 0.0* COLO.COM, 13.875% due 03/15/10(a)(b)(d).................. 03/01/01-04/03/01 1,145 188 11 0.0* COLO.COM Warrants(d)(h).......................... 04/03/01 1 24 0** 0.0* Globix Corporation, 11.000% due 05/01/08(c)(d)..................... 10/14/02-05/01/03 849 845 645 0.1* Globix Corporation(b)(h)......................... 10/14/02 89 0 111 0.0* GT Telecom Racers Notes Trust, Series B, 0.00% due 06/30/08(a)(b)(e)(g)................. 01/12/0-01/31/02 417 225 0** 0.0* GT Telecom Racers Notes Trust, Series A, 0.00% due 06/30/08(a)(b)(e)(g)................. 01/12/01-01/31/02 583 243 0** 0.0* Harborside Healthcare Corporation, 0.000% due 08/01/07 12.000% beginning 08/01/04..................... 10/25/01 210 127 84 0.0*
117 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
PRINCIPAL MARKET AMOUNT/ VALUE PERCENTAGE ACQUISITION SHARES COST 9/30/03 OF NET SECURITY DATE (000) (000) (000) ASSETS - --------------------------------------------------------------------------------------------------------------------- Harborside Healthcare Corporation Warrants(h).................................... 05/09/01 $ 6 $ 9 $ 0** 0.0%* ICO Global Communications Warrants(h)............ 11/07/00 2 0 0** 0.0* ICO Global Communications Holdings LTD.(h)....... 01/11/02 7 61 6 0.0* Jafra Cosmetics Term A, 5.188% due 05/20/08(e)(f)...................... 07/28/03 2,022 1,855 1,921 0.2 Micron Technology Inc. 6.500% due 09/30/05............................ 02/18/02-06/19/03 8,000 7,456 7,760 0.7 Millicom International Cellular S.A., 2.000% due 06/01/06(c)(d)...................... 05/16/02-07/22/02 603 490 2,594 0.2 Mirant Revolver Credit Facility, 4.816% due 01/15/04(a)(e)(f)................... 04/11/03 1,400 1,400 735 0.1 NEON Communications, Inc.(b)(h).................. 07/01/03 276 244 345 0.0* NEON Communications, Inc. Preferred(b)(h)........ 12/04/02 30 338 338 0.0* NEON Communications, Inc. Warrants, Preferred(b)(h)................................ 01/03/03 180 0 2 0.0* NEON Communications, Inc. Warrants(b)(h)......... 07/01/03 276 244 3 0.0* NEON Communications, Inc. Warrants, Class A(b)(h)........................................ 12/04/02 150 0 188 0.0* NII Holdings Ltd., (0.000)% due 11/01/09 13.000% beginning 11/01/04..................... 11/12/02 2,415 1,788 2,451 0.2 NII Holdings, Inc. Class B(h).................... 11/13/02 77 192 4,589 0.4 Ono Finance plc Warrants(d)(h)................... 07/17/01 1 181 0** 0.0* Owens Corning Bank Debt, 0.00% due 01/01/04(a)(e)(f)(g)................. 08/22/01-06/04/02 1,790 1,205 1,119 0.1 Pacific Gas and Electric Company Bank Debt A, 8.375% due 12/30/06(e)(f)...................... 01/29/02-02/08/02 3,795 3,753 3,838 0.3 Qwest Service Corporation, 4.620% due 05/03/05(e)(f)...................... 01/24/03 373 328 369 0.0* Qwest Communications Term B, 6.950% due 06/30/10(e)(f)...................... 06/05/03 6,500 6,393 6,356 0.6 Thermadyne Holding Corporation(h)................ 05/23/03 158 1,822 1,523 0.1 Thermadyne Bank Debt 6.230% due 03/31/08(e)(f)...................... 05/23/03 878 878 859 0.1 Thermadyne Holding Corporation Warrants(b)(h).... 05/23/03 0*** 0 0** 0.0* Thermadyne Holding Corporation Warrants(b)(h).... 06/18/03 0*** 0 0** 0.0* 07/03/00- UbiquiTel Inc. Warrants(d)(h).................... 07/10/00 0*** 10 0** 0.0* United Artists Theatre Circuit Inc., Series 1995-A 11/28/00- 9.300% due 07/01/15(b)......................... 07/21/03 652 523 652 0.1 Ziff Davis Holdings Inc., Series E-1(b)(h)....... 12/06/02 0*** 0 0** 0.0* Ziff Davis Holdings Inc. Warrants(h)............. 08/15/02 60 0 1 0.0* ------- ------- --- Total............................................ $34,132 $40,823 3.5% ======= ======= ===
- --------------- * Amount represents less than 0.1%. ** Amount represents less than $500. ***Amount represents less than 500 shares. (a)Issue in default. (b)Fair valued security. (c)PIK ("Payment in kind"). Interest or dividend payment is made with additional securities. (d)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. (e)Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. (f)Loan participation agreement. (g)Issuer in bankruptcy. (h)Non-income producing security. 118 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 10. COMMITMENTS AND CONTINGENCIES As of September 30, 2003, the High Yield Bond Master Portfolio had unfunded loan commitments pursuant to the following loan agreements:
BORROWER: UNFUNDED COMMITMENT - --------------------------------------------------------------------------------- Owens Corning Bank Debt..................................... $127
11. EVENTS On September 3, 2003, the Office of the Attorney General for the State of New York ("NYAG") simultaneously filed and settled a complaint against Canary Capital Partners, LLC, et al. (collectively, "Canary"). The complaint alleged, among other things, that Canary engaged in improper trading in certain Nations Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and also "late trading". On September 8, 2003, Bank of America Corporation announced that, to the extent that the independent trustees determine that Nations Funds shareholders were adversely affected by a discretionary market-timing agreement or late trading activities, the adviser will make appropriate restitution. Bank of America Corporation also announced that the adviser will promptly return to Nations Funds that were the subject of a market-timing agreement all management and investment advisory fees it received as a result of such agreement. In addition, Bank of America Corporation has also agreed to make appropriate reimbursement of costs incurred by Nations Funds in connection with this matter. On September 16, 2003, the NYAG announced a criminal action, and the SEC announced a civil action, against a former employee of Banc of America Securities, LLC, a selling agent affiliated with the Nations Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name Nations Funds, among others, as defendants. 119 [This page intentionally left blank] [This page intentionally left blank] THE NATIONS FUNDS FAMILY OF FUNDS THE MUTUAL FUND FAMILY OF BANC OF AMERICA CAPITAL MANAGEMENT Within each category, the funds are listed from aggressive to conservative. Lower risk/reward potential 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 EQUITY FUNDS GROWTH FUNDS Nations Small Company Fund Nations Marsico 21st Century Fund Nations MidCap Growth Fund Nations Marsico Focused Equities Fund Nations Marsico Growth 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 Higher reward/risk potential INTERNATIONAL/GLOBAL FUNDS Nations Marsico International Opportunities Fund Nations International Equity Fund Nations International Value Fund Nations Global Value Fund SPECIALTY FUNDS INDEX FUNDS Nations SmallCap Index Fund Nations MidCap Index Fund Nations LargeCap Index Fund Nations LargeCap Enhanced Core Fund ASSET ALLOCATION PORTFOLIOS Nations LifeGoal Growth Portfolio Nations LifeGoal Balanced Growth Portfolio Nations LifeGoal Income Portfolio Nations LifeGoal Income and Growth Portfolio OTHER SPECIALTY FUNDS Nations Convertible Securities Fund FIXEDAR (9/03) Nations LifeGoal Growth Portfolio NATIONS LIFEGOAL PORTFOLIOS Nations LifeGoal Balanced ------------------------------------ Growth Portfolio Semiannual report for the period ended September 30, 2003 Nations LifeGoal Income and Growth Portfolio Nations LifeGoal Income Portfolio [NATIONS FUNDS LOGO] For a free copy of the fund's proxy voting guidelines visit www.nationsfunds.com, call 1.800.321.7854, or visit the Securities and Exchange Commission (SEC)'s web site at www.sec.gov. 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. BACAP Distributors, LLC and Banc of America Capital Management, LLC are the distributor and investment adviser to Nations Funds, respectively. They and other affiliates of Bank of America provide services to Nations Funds and receive fees for such services. BACAP Distributors, LLC, member NASD, SIPC NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE CHAIRMAN'S AND PRESIDENT'S MESSAGE Dear Shareholder: The six-month period ended September 30, 2003, marked a significant turning point for investors. Since the official end of the recession in November 2001, investors have anxiously sifted through news for signs that the U.S. economy was regaining its footing. At last, the picture drawn by both improving corporate profits and the broad array of economic indicators may be inspiring renewed confidence in the U.S. economy. During the reporting period, three powerful forces -- fiscal policy, monetary policy and a weak dollar -- converged to stimulate the U.S. economic recovery. The U.S. Federal Reserve has lowered the overnight lending rate 13 times in the current cycle, pushing its target Federal Funds rate to the lowest level in 45 years. At the same time, federal spending and expected reductions in federal tax rates have prompted increased consumer and business spending. GENUINE RECOVERY UNDERWAY Although real gross domestic product (GDP) has increased in each of the last eight quarters, the pace of economic activity accelerated sharply during the reporting period. GDP growth featured robust consumer spending, a larger-than- expected pickup in business capital spending, strong homebuilding, and the fastest U.S. export growth in more than a year. The transition from an economy driven by massive stimulus -- low interest rates and tax cuts -- to one characterized by self-generating growth depends in large part on improvement in overall employment. While the economy has made visible progress in the areas of business spending and foreign demand, the outlook for the U.S. labor market has been a persistent worry for investors. Strong productivity gains, once blamed for lagging job creation, are now producing wider profit margins, stronger business spending and the faster GDP needed to support labor market improvement in coming months. In addition, the encouraging performance of the world's largest economy has rippled across global markets where the outlook for major foreign economies also is brightening. In fact, the global economy seems poised for a synchronized recovery. CAPITAL MARKETS REBOUND During the period, the capital markets reflected an increasingly optimistic view as to the vigor and sustainability of the U.S. economic recovery. Although performance has been strong across all market segments, investors have focused more narrowly on those areas with the greatest sensitivity to an improving environment. Since March, stocks outperformed most fixed-income markets, as the generally riskier components of the capital markets outpaced their higher quality counterparts. Year-to-date as of September 30, the Standard and Poor's 500 Composite Stock Price Index returned 14.72%, the NASDAQ Composite Index returned 34.27% and the Dow Jones Industrial Average returned 13.13%.* Fixed-income markets have been volatile since late 2002, responding to various factors, including geopolitical developments and changes in the economy. During the period, the yield curve remained quite steep with spreads between the 30-day Treasury bills and the 10-year Treasury note exceeding 350 basis points. Since touching the lowest level in over four decades of 3.13% in June, the yield on long-term Treasuries has backed up by nearly 150 basis points, trading in a range between around 3.90% and 4.60% in September. Treasuries, which had been a safe haven for wary investors during the extended bear market, lost some of their luster as equities began to revive. Accumulating evidence of economic growth in an environment of historically low inflation and interest rates encouraged investors to migrate to lower quality bonds, and high yield markets surged. Year-to-date, high yield bonds outperformed investment grade corporate bonds by more than four times. Through September 30, the US High-Yield BB& B Rated Market Index returned 22.76% to investors, compared with 3.78% for the Lehman *Standard and Poor's 500 Composite Stock Price Index: an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. The NASDAQ Composite Index: covers 4,500 stocks traded over the counter. It is an unmanaged value-weighted index calculated on price change only and does not include income. It is not an industry-neutral index; it is disproportionately technology-heavy. The Dow Jones Industrial Average (DJIA) is an unmanaged index of common stocks comprised of major industrial companies and assumes reinvestment of dividends and capital gains. 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. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... Aggregate Bond Index.** Note that high yield bonds offer the potential for higher income than other debt securities, but they also have higher risk. INVESTMENT OUTLOOK We are generally optimistic about the investing environment. Despite ongoing concerns about geopolitical tensions, most notably, continuing instability in the Middle East, and disappointment stemming from recent events in the mutual fund industry, we believe the outlook for investors has improved during the past six months. We believe the combination of low interest rates, tax cuts and a weaker dollar that restarted the U.S. economic engine, has generated momentum for growth in 2004. In general, we expect continued strong growth in GDP, modest increases in interest rates and continued low inflation for the U.S. economy. INQUIRY UPDATE Nations Funds shareholders have so far received two letters, dated September 19 and 23, 2003 describing actions taken by Bank of America and the Nations Funds Board of Trustees as a result of investigations into mutual fund trading activities. In addition to the steps outlined in these letters, Bank of America has announced the intention to provide restitution for shareholders of Nations Funds who were harmed by certain late trading and market timing practices. The independent members of the Nations Funds Board of Trustees have engaged the law firm of Willkie Farr & Gallagher and, through them, Deloitte & Touche's Investment Management Advisory Service Group to analyze the extent of any adverse monetary impact on shareholders and other matters. Nations Funds shareholders will not bear any costs related to these actions. Independent advisors Dale Frey, former president and chairman of the General Electric Investment Corporation, and Maureen Bateman, former general counsel of State Street Corporation and U.S. Trust, have been hired by Bank of America to conduct independent reviews. Mr. Frey is reviewing mutual fund policies and practices. Ms. Bateman is reviewing legal and regulatory compliance. Promontory Financial Group has been engaged by Bank of America to coordinate a detailed review of all technology, control, and compliance systems related to the mutual fund business. As these actions demonstrate, Bank of America is committed to making appropriate restitution to affected Nations Funds shareholders and to taking all appropriate actions. Both Bank of America and Nations Funds Board of Trustees are committed to ensuring that our mutual fund policies and practices are at the highest level of industry standards. Nothing is more important than the trust and confidence of Nations Funds shareholders. Bank of America continues to look for opportunities to reinforce its investment advisory unit's professional ranks. In this regard, we are pleased to introduce the recently named president of Banc of America Capital Management, LLC, Keith Winn, who has over 20 years of experience in the investment industry. Sincerely, /S/ WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS /S/ KEITH WINN H. KEITH WINN PRESIDENT BANC OF AMERICA CAPITAL MANAGEMENT, LLC October 14, 2003 **The US High-Yield BB& B Rated Market Index captures the performance of below-investment-grade debt issued by corporations domiciled in the United States or Canada. Securities in the index have remaining maturities of at least 1 year, at least $100 million outstanding and are rated BB or B by Standard and Poor's or Moody's. Please note that an investor cannot invest directly in an index; 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. TABLE OF CONTENTS FINANCIAL STATEMENTS Statements of net assets 3 Nations LifeGoal Growth Portfolio 3 Nations LifeGoal Balanced Growth Portfolio 4 Nations LifeGoal Income and Growth Portfolio 5 Nations LifeGoal Income Portfolio 6 Statements of operations 7 Statements of changes in net assets 8 Schedules of capital stock activity 10 Financial highlights 14 Notes to financial statements 22
NATIONS FUNDS [DALBAR LOGO] RECOGNIZED FOR OUTSTANDING DALBAR, Inc. is a well-respected SHAREHOLDER research firm that measures SERVICE customer service levels and establishes benchmarks in the IN RECOGNITION OF ITS COMMITMENT financial services industry. TO PROVIDE SHAREHOLDERS WITH THE HIGHEST LEVEL OF SERVICE IN THE MUTUAL FUND INDUSTRY, NATIONS FUNDS RECEIVED THE DALBAR MUTUAL FUND SERVICE AWARD IN 2002.
[This page intentionally left blank] NATIONS FUNDS Nations LifeGoal Growth Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANY SECURITIES** -- 100.3% 1,161,250 Nations International Value Fund, Primary A Class............. $ 18,963 2,544,948 Nations Marsico Focused Equities Fund, Primary A Class............................................. 38,938 1,575,829 Nations Marsico International Opportunities Fund, Primary A Class............................................. 14,104 1,295,798 Nations MidCap Growth Fund, Primary A Class................... 13,580 1,277,244 Nations MidCap Value Fund, Primary A Class.................... 13,692 779,023 Nations Small Company Fund, Primary A Class................... 10,244 1,012,977 Nations SmallCap Value Fund, Primary A Class.................. 10,079 1,285,448 Nations Strategic Growth Fund, Primary A Class................ 13,240 6,153,247 Nations Value Fund, Primary A Class........................... 62,025 -------- TOTAL INVESTMENT COMPANY SECURITIES (Cost $202,073)............................................. 194,865 -------- TOTAL INVESTMENTS (Cost $202,073*).................................. 100.3% 194,865 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (0.3)% Receivable for Fund shares sold............................... $ 895 Payable for Fund shares redeemed.............................. (1,159) Investment advisory fee payable............................... (115) Shareholder servicing and distribution fees payable........... (186) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (565) -------- NET ASSETS.......................................... 100.0% $194,300 ======== NET ASSETS CONSIST OF: Net investment loss........................................... $ (93) Accumulated net realized loss on investments sold............. (19,121) Net unrealized depreciation of investments.................... (7,208) Paid-in capital............................................... 220,722 -------- NET ASSETS.................................................... $194,300 ========
VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($84,428,462 / 8,778,637 shares outstanding)................ $9.62 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($39,761,273 / 4,139,514 shares outstanding)................ $9.61 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $10.20 INVESTOR B SHARES: Net asset value and offering price per share+ ($60,200,897 / 6,464,287 shares outstanding)................ $9.31 ======== INVESTOR C SHARES: Net asset value and offering price per share+ ($9,909,441 / 1,069,694 shares outstanding)................. $9.26 ========
- --------------- *Federal income tax information (see Note 8). ** Mutual Funds registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. +The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 3 NATIONS FUNDS Nations LifeGoal Balanced Growth Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANY SECURITIES** -- 99.8% 8,368,419 Nations Bond Fund, Primary A Class............................................. $ 84,019 848,350 Nations Convertible Securities Fund, Primary A Class.......... 13,005 2,340,242 Nations High Yield Bond Fund, Primary A Class................. 22,045 1,666,924 Nations International Value Fund, Primary A Class............. 27,221 2,867,605 Nations Marsico Focused Equities Fund, Primary A Class............................................. 43,874 1,599,225 Nations Marsico International Opportunities Fund, Primary A Class....................................................... 14,313 2,103,490 Nations MidCap Growth Fund, Primary A Class................... 22,045 2,064,276 Nations MidCap Value Fund, Primary A Class.................... 22,129 6,326,175 Nations Short-Term Income Fund, Primary A Class............... 63,452 1,049,437 Nations Small Company Fund, Primary A Class................... 13,800 1,376,435 Nations SmallCap Value Fund, Primary A Class.................. 13,696 1,680,017 Nations Strategic Growth Fund, Primary A Class................ 17,304 7,673,946 Nations Value Fund, Primary A Class........................... 77,353 -------- TOTAL INVESTMENT COMPANY SECURITIES (Cost $431,730)............................................. 434,256 -------- TOTAL INVESTMENTS (Cost $431,730*).................................. 99.8% 434,256 -------- OTHER ASSETS AND LIABILITIES (NET).................. 0.2% Receivable for Fund shares sold............................... $ 1,757 Dividends receivable.......................................... 382 Payable for Fund shares redeemed.............................. (503) Investment advisory fee payable............................... (255) Shareholder servicing and distribution fees payable........... (431) Distributions payable......................................... (33) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)...................... 917 -------- NET ASSETS.......................................... 100.0% $435,173 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 1,170 Accumulated net realized loss on investments sold............. (13,051) Net unrealized appreciation of investments.................... 2,526 Paid-in capital............................................... 444,528 -------- NET ASSETS.................................................... $435,173 ========
VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($190,664,038 / 18,866,577 shares outstanding).............. $10.11 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($73,140,942 / 7,222,542 shares outstanding)................ $10.13 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $10.75 INVESTOR B SHARES: Net asset value and offering price per share+ ($150,585,087 / 14,917,965 shares outstanding).............. $10.09 ======== INVESTOR C SHARES: Net asset value and offering price per share+ ($20,783,207 / 2,040,392 shares outstanding)................ $10.19 ========
- --------------- *Federal income tax information (see Note 8). ** Mutual Funds registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. +The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 4 NATIONS FUNDS Nations LifeGoal Income and Growth Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - -------------------------------------------------------------------------------------- INVESTMENT COMPANY SECURITIES** -- 100.0% 2,081,713 Nations Bond Fund, Primary A Class............................................. $ 20,900 469,428 Nations Convertible Securities Fund, Primary A Class.......... 7,196 1,242,571 Nations High Yield Bond Fund, Primary A Class................. 11,705 172,783 Nations International Value Fund, Primary A Class............. 2,822 534,878 Nations Marsico International Opportunities Fund, Primary A Class............................................. 4,787 5,880,456 Nations Short-Term Income Fund, Primary A Class............... 58,981 232,503 Nations Small Company Fund, Primary A Class............................................. 3,057 304,886 Nations SmallCap Value Fund, Primary A Class............................................. 3,034 1,255,195 Nations Strategic Growth Fund, Primary A Class................ 12,929 1,698,909 Nations Value Fund, Primary A Class............................................. 17,125 -------- TOTAL INVESTMENT COMPANY SECURITIES (Cost $138,257)............................................. 142,536 -------- TOTAL INVESTMENTS (Cost $138,257*).................................. 100.0% 142,536 -------- OTHER ASSETS AND LIABILITIES (NET)................................. (0.00)% Receivable for Fund shares sold............................... $ 244 Dividends receivable.......................................... 177 Payable for Fund shares redeemed.............................. (103) Investment advisory fee payable............................... (85) Shareholder servicing and distribution fees payable........... (196) Distributions payable......................................... (40) -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... (3) -------- NET ASSETS.......................................... 100.0% $142,533 ======== NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 377 Accumulated net realized loss on investments sold............. (1,162) Net unrealized appreciation of investments.................... 4,279 Paid-in capital............................................... 139,039 -------- NET ASSETS.................................................... $142,533 ========
VALUE - -------------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($41,724,921 / 4,023,941 shares outstanding)................ $10.37 ======== INVESTOR A SHARES: Net asset value and redemption price per share ($23,328,272 / 2,236,845 shares outstanding)................ $10.43 ======== Maximum sales charge.......................................... 5.75% Maximum offering price per share.............................. $11.07 INVESTOR B SHARES: Net asset value and offering price per share+ ($66,318,128 / 6,368,436 shares outstanding)................ $10.41 ======== INVESTOR C SHARES: Net asset value and offering price per share+ ($11,161,773 / 1,076,805 shares outstanding)................ $10.37 ========
- --------------- * Federal income tax information (see Note 8). **Mutual Funds registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. + The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 5 NATIONS FUNDS Nations LifeGoal Income Portfolio STATEMENT OF NET ASSETS SEPTEMBER 30, 2003 (UNAUDITED)
VALUE SHARES (000) - ----------------------------------------------------------------------------------- INVESTMENT COMPANY SECURITIES** -- 80.7% 177,993 Nations Cash Reserves, Capital Class Shares........................................ $ 178 28,892 Nations Convertible Securities Fund, Primary A Class.......... 443 285,845 Nations High Yield Bond Fund, Primary A Class................. 2,692 133,897 Nations Mortgage and Asset-Backed Portfolio, Primary A Class............................................. 1,347 427,591 Nations Short-Term Income Fund, Primary A Class............... 4,289 ------- TOTAL INVESTMENTS (Cost $8,917)............................................... 8,949 ------- TOTAL INVESTMENTS (Cost $8,917*).................................... 80.7% 8,949 ------- OTHER ASSETS AND LIABILITIES (NET)................................. 19.3% Receivable for Fund shares sold............................... $ 2,144 Dividends receivable.......................................... 4 Receivable from investment advisor............................ 11 Payable for Fund shares redeemed.............................. (1) Administration fee payable.................................... (1) Shareholder servicing and distribution fees payable........... (1) Accrued Trustees' fees and expenses........................... (2) Accrued expenses and other liabilities........................ (10) ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)........................................... 2,144 ------- NET ASSETS.......................................... 100.0% $11,093 ======= NET ASSETS CONSIST OF: Undistributed net investment income........................... $ 18 Net unrealized appreciation of investments.................... 32 Paid-in capital............................................... 11,043 ------- NET ASSETS.................................................... $11,093 =======
VALUE - ----------------------------------------------------------------------------------- PRIMARY A SHARES: Net asset value, offering and redemption price per share ($1,767,428 / 175,001 shares outstanding)................... $10.10 ======= INVESTOR A SHARES: Net asset value and redemption price per share ($6,890,133 / 682,267 shares outstanding)................... $10.10 ======= Maximum sales charge.......................................... 3.25% Maximum offering price per share.............................. $10.44 INVESTOR B SHARES: Net asset value and offering price per share+ ($1,649,124 / 163,448 shares outstanding)................... $10.09 ======= INVESTOR C SHARES: Net asset value and offering price per share+ ($786,029 / 77,987 shares outstanding)...................... $10.08 =======
- --------------- *Federal income tax information (see Note 8). ** Mutual Funds registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. +The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 6 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the period ended September 30, 2003
LIFEGOAL LIFEGOAL LIFEGOAL BALANCED INCOME AND LIFEGOAL GROWTH GROWTH GROWTH INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO(A) ----------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends.......................................... $ 438 $ 3,349 $ 1,478 $ 22 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee............................ 206 464 154 --* Administration fee................................. -- -- -- 1 Transfer agent fees................................ -- -- -- --* Legal and audit fees............................... -- -- -- 2 Registration and filing fees....................... -- -- -- 6 Trustees' fees and expenses........................ -- -- -- 2 Printing expense................................... -- -- -- 2 Other.............................................. -- -- -- 1 -------------- -------------- -------------- -------------- Subtotal....................................... 206 464 154 14 Shareholder servicing and distribution fees: Primary B Shares................................. -- 1 -- -- Investor A Shares................................ 40 69 23 1 Investor B Shares................................ 249 616 288 1 Investor C Shares................................ 36 66 41 --* -------------- -------------- -------------- -------------- Total expenses................................. 531 1,216 506 16 Fees waived by distributor......................... -- -- -- (12) -------------- -------------- -------------- -------------- Net expenses................................... 531 1,216 506 4 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME/(LOSS)....................... (93) 2,133 972 18 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) on investments............ (521) (2,314) (486) --* Capital gains distributions received............... -- 561 312 -- Net change in unrealized appreciation/(depreciation) of investments....... 30,761 48,714 8,682 32 -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments...................................... 30,240 46,961 8,508 32 -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................. $ 30,147 $ 49,094 $ 9,480 $ 50 ============== ============== ============== ==============
- --------------- * Amount represents less than $500. (a)LifeGoal Income Portfolio commenced operations on September 4, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 7 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
LIFEGOAL GROWTH PORTFOLIO --------------------------------- SIX MONTHS ENDED 9/30/03 YEAR ENDED (UNAUDITED) 3/31/03 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ (93) $ 156 Net realized gain/(loss) on investments..................... (521) (6,633) Capital gain distributions received......................... -- 779 Net change in unrealized appreciation/(depreciation) of investments............................................... 30,761 (31,534) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 30,147 (37,232) Distributions to shareholders from net investment income: Primary A Shares.......................................... -- (205) Primary B Shares.......................................... -- -- Investor A Shares......................................... -- (27) Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... -- -- Investor A Shares......................................... -- -- Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Net increase/(decrease) in net assets from Portfolio share transactions.............................................. 40,981 35,862 -------------- -------------- Net increase/(decrease) in net assets....................... 71,128 (1,602) NET ASSETS: Beginning of period......................................... 123,172 124,774 -------------- -------------- End of period............................................... $ 194,300 $ 123,172 ============== ============== Undistributed net investment income/(loss)/(distributions in excess of net investment income) at end of period......... $ (93) $ -- ============== ==============
- --------------- * Amount represents less than $500. (a)LifeGoal Income Portfolio commenced operations on September 4, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 8 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
LIFEGOAL LIFEGOAL BALANCED LIFEGOAL INCOME AND INCOME GROWTH PORTFOLIO GROWTH PORTFOLIO PORTFOLIO ------------------------------- ------------------------------- -------------- SIX MONTHS SIX MONTHS PERIOD ENDED ENDED 9/30/03 YEAR ENDED ENDED 9/30/03 YEAR ENDED 9/30/03(A) (UNAUDITED) 3/31/03 (UNAUDITED) 3/31/03 (UNAUDITED) - -------------------------------------------------------------------------------------- $ 2,133 $ 4,366 $ 972 $ 1,398 $ 18 (2,314) (3,074) (486) 31 --* 561 2,325 312 430 -- 48,714 (40,408) 8,682 (4,258) 32 -------------- -------------- -------------- -------------- -------------- 49,094 (36,791) 9,480 (2,399) 50 (1,184) (3,800) (351) (713) -- (1) (2) -- -- -- (340) (522) (163) (193) -- (278) (962) (267) (524) -- (42) (80) (44) (57) -- -- -- (136) (83) -- -- -- (59) (23) -- -- -- (196) (82) -- -- -- (25) (9) -- 95,974 89,813 40,980 51,495 11,043 -------------- -------------- -------------- -------------- -------------- 143,223 47,656 49,219 47,412 11,093 291,950 244,294 93,314 45,902 -- -------------- -------------- -------------- -------------- -------------- $ 435,173 $ 291,950 $ 142,533 $ 93,314 $ 11,093 ============== ============== ============== ============== ============== $ 1,170 $ 882 $ 377 $ 230 $ 18 ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
LIFEGOAL GROWTH PORTFOLIO SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,370 $12,581 2,551 $ 21,809 Issued as reinvestment of dividends....................... -- -- 24 194 Redeemed.................................................. (520) (4,751) (1,697) (14,642) ----- ------- ------ -------- Net increase/(decrease)................................... 850 $ 7,830 878 $ 7,361 ===== ======= ====== ======== PRIMARY B SHARES: Sold...................................................... -- $ -- -- $ -- Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. -- -- (1) (6) ----- ------- ------ -------- Net increase/(decrease)................................... -- $ -- (1) $ (6) ===== ======= ====== ======== INVESTOR A SHARES: Sold...................................................... 1,945 $17,883 1,670 $ 14,508 Shares issued upon conversion from Investor B shares...... -- -- 16 129 Issued as reinvestment of dividends....................... -- -- 3 25 Redeemed.................................................. (564) (5,264) (520) (4,408) ----- ------- ------ -------- Net increase/(decrease)................................... 1,381 $12,619 1,169 $ 10,254 ===== ======= ====== ======== INVESTOR B SHARES: Sold...................................................... 2,176 $19,215 2,672 $ 22,983 Issued as reinvestment of dividends....................... -- -- -- -- Shares redeemed upon conversion into Investor A shares.... -- -- (16) (129) Redeemed.................................................. (321) (2,844) (827) (6,839) ----- ------- ------ -------- Net increase/(decrease)................................... 1,855 $16,371 1,829 $ 16,015 ===== ======= ====== ======== INVESTOR C SHARES: Sold...................................................... 545 $ 4,841 380 $ 3,143 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (78) (680) (107) (905) ----- ------- ------ -------- Net increase/(decrease)................................... 467 $ 4,161 273 $ 2,238 ===== ======= ====== ======== Total net increase/(decrease)............................... 4,553 $40,981 4,148 $ 35,862 ===== ======= ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
LIFEGOAL BALANCED GROWTH PORTFOLIO SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,386 $13,629 2,923 $ 26,838 Issued as reinvestment of dividends....................... 117 1,170 414 3,758 Redeemed.................................................. (685) (6,627) (4,112) (37,645) ----- ------- ------ -------- Net increase/(decrease)................................... 818 $ 8,172 (775) $ (7,049) ===== ======= ====== ======== PRIMARY B SHARES: Sold...................................................... -- $ -- -- $ -- Issued as reinvestment of dividends....................... --* 1 --* 2 Redeemed.................................................. (33) (355) --* --* ----- ------- ------ -------- Net increase/(decrease)................................... (33) $ (354) --* $ 2 ===== ======= ====== ======== INVESTOR A SHARES: Sold...................................................... 3,663 $36,074 3,742 $ 34,278 Shares issued upon conversion from Investor B shares...... --* --* 36 324 Issued as reinvestment of dividends....................... 40 324 56 504 Redeemed.................................................. (773) (7,567) (631) (5,672) ----- ------- ------ -------- Net increase/(decrease)................................... 2,930 $28,831 3,203 $ 29,434 ===== ======= ====== ======== INVESTOR B SHARES: Sold...................................................... 5,599 $54,469 8,312 $ 76,388 Issued as reinvestment of dividends....................... 27 265 102 913 Shares redeemed upon conversion into Investor A shares.... --* --* (36) (324) Redeemed.................................................. (732) (7,172) (1,579) (14,306) ----- ------- ------ -------- Net increase/(decrease)................................... 4,894 $47,562 6,799 $ 62,671 ===== ======= ====== ======== INVESTOR C SHARES: Sold...................................................... 1,264 $12,597 676 $ 6,249 Issued as reinvestment of dividends....................... 3 34 8 73 Redeemed.................................................. (88) (868) (172) (1,567) ----- ------- ------ -------- Net increase/(decrease)................................... 1,179 $11,763 512 $ 4,755 ===== ======= ====== ======== Total net increase/(decrease)............................... 9,788 $95,974 9,739 $ 89,813 ===== ======= ====== ========
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
LIFEGOAL INCOME AND GROWTH PORTFOLIO SIX MONTHS ENDED SEPTEMBER 30, 2003 YEAR ENDED (UNAUDITED) MARCH 31, 2003 ------------------- ----------------- SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 753 $ 7,647 1,520 $14,786 Issued as reinvestment of dividends....................... 45 459 79 774 Redeemed.................................................. (239) (2,424) (639) (6,267) ----- ------- ----- ------- Net increase/(decrease)................................... 559 $ 5,682 960 $ 9,293 ===== ======= ===== ======= INVESTOR A SHARES: Sold...................................................... 1,326 $13,502 1,034 $10,168 Shares issued upon conversion from Investor B shares...... --* --* 18 170 Issued as reinvestment of dividends....................... 19 198 20 193 Redeemed.................................................. (248) (2,557) (339) (3,318) ----- ------- ----- ------- Net increase/(decrease)................................... 1,097 $11,143 733 $ 7,213 ===== ======= ===== ======= INVESTOR B SHARES: Sold...................................................... 2,274 $23,168 3,875 $38,094 Issued as reinvestment of dividends....................... 41 422 56 544 Shares redeemed upon conversion into Investor A shares.... --* --* (18) (170) Redeemed.................................................. (491) (5,050) (706) (6,916) ----- ------- ----- ------- Net increase/(decrease)................................... 1,824 $18,540 3,207 $31,552 ===== ======= ===== ======= INVESTOR C SHARES: Sold...................................................... 634 $ 6,475 441 $ 4,331 Issued as reinvestment of dividends....................... 5 56 6 57 Redeemed.................................................. (89) (916) (97) (951) ----- ------- ----- ------- Net increase/(decrease)................................... 550 $ 5,615 350 $ 3,437 ===== ======= ===== ======= Total net increase/(decrease)............................... 4,030 $40,980 5,250 $51,495 ===== ======= ===== =======
- --------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
LIFEGOAL INCOME PORTFOLIO PERIOD ENDED SEPTEMBER 30, 2003 (UNAUDITED) ------------------- SHARES DOLLARS ------------------- (IN THOUSANDS) PRIMARY A SHARES:+ Sold...................................................... 175 $ 1,750 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. -- -- ----- ------- Net increase/(decrease)................................... 175 $ 1,750 ===== ======= INVESTOR A SHARES:+ Sold...................................................... 686 $ 6,914 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. (4) (46) ----- ------- Net increase/(decrease)................................... 682 $ 6,868 ===== ======= INVESTOR B SHARES:+ Sold...................................................... 163 $ 1,642 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. --* --* ----- ------- Net increase/(decrease)................................... 163 $ 1,642 ===== ======= INVESTOR C SHARES:++ Sold...................................................... 78 $ 783 Issued as reinvestment of dividends....................... -- -- Redeemed.................................................. -- -- ----- ------- Net increase/(decrease)................................... 78 $ 783 ===== ======= Total net increase/(decrease)............................... 1,098 $11,043 ===== =======
- --------------- + LifeGoal Income Portfolio Primary A, Investor A and Investor B Shares commenced operations on September 4, 2003. ++ LifeGoal Income Portfolio Investor C Shares commenced operations on September 5, 2003. * Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET INCREASE/ (DECREASE) NET ASSET NET REALIZED IN NET ASSETS DISTRIBUTIONS VALUE NET AND UNREALIZED RESULTING FROM FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS OPERATIONS INCOME ------------------------------------------------------------------------------- LIFEGOAL GROWTH PORTFOLIO PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)..... $ 7.82 $ 0.01 $ 1.79 $ 1.80 $ -- Year ended 3/31/2003#....................... 10.68 0.04 (2.87) (2.83) (0.03) Year ended 3/31/2002#....................... 10.38 0.03 0.31 0.34 (0.04) Year ended 3/31/2001........................ 15.50 0.09 (2.29) (2.20) (0.07) Year ended 3/31/2000#....................... 12.15 0.04 3.88 3.92 (0.18) Year ended 3/31/1999........................ 12.49 0.04 0.31 0.35 (0.09) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)..... $ 7.82 $ --## $ 1.79 $ 1.79 $ -- Year ended 3/31/2003#....................... 10.68 0.02 (2.87) (2.85) (0.01) Year ended 3/31/2002#....................... 10.39 --## 0.32 0.32 (0.03) Year ended 3/31/2001........................ 15.48 0.07 (2.26) (2.19) (0.05) Year ended 3/31/2000#....................... 12.16 0.01 3.87 3.88 (0.17) Year ended 3/31/1999........................ 12.50 0.04 0.30 0.34 (0.08) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)..... $ 7.61 $(0.03) $ 1.73 $ 1.70 $ -- Year ended 3/31/2003#....................... 10.46 (0.04) (2.81) (2.85) -- Year ended 3/31/2002#....................... 10.23 (0.07) 0.30 0.23 --## Year ended 3/31/2001........................ 15.35 0.02 (2.28) (2.26) (0.01) Year ended 3/31/2000#....................... 12.13 (0.08) 3.84 3.76 (0.15) Year ended 3/31/1999........................ 12.49 (0.06) 0.31 0.25 (0.01) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)..... $ 7.57 $(0.03) $ 1.72 $ 1.69 $ -- Year ended 3/31/2003#....................... 10.40 (0.04) (2.79) (2.83) -- Year ended 3/31/2002#....................... 10.18 (0.07) 0.29 0.22 --## Year ended 3/31/2001........................ 15.30 0.03 (2.29) (2.26) (0.01) Year ended 3/31/2000#....................... 12.09 (0.08) 3.83 3.75 (0.15) Year ended 3/31/1999........................ 12.46 (0.05) 0.30 0.25 (0.02)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated and does not reflect the deduction of any applicable sales charges. +++ The Portfolio's expenses do not include the expenses of the underlying funds. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF DISTRIBUTIONS NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING FROM NET VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED TOTAL END OF TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS+++ NET ASSETS RATE NET ASSETS+++ - ------------------------------------------------------------------------------------------------------------------------------- $ -- $ -- $ 9.62 23.02% $84,429 0.25%+ 0.28%+ 2% 0.25%+ -- (0.03) 7.82 (26.53) 61,985 0.25 0.45 13 0.25 -- (0.04) 10.68 3.30 75,284 0.25 0.25 33 0.25 (2.85) (2.92) 10.38 (16.52) 66,504 0.25 0.81 58 0.25 (0.39) (0.57) 15.50 32.94 15,265 0.25 0.34 161 0.25 (0.60) (0.69) 12.15 3.04 4,291 0.25 0.46 159 0.25 $ -- $ -- $ 9.61 22.89% $39,761 0.50%+ 0.03%+ 2% 0.50%+ -- (0.01) 7.82 (26.68) 21,559 0.50 0.20 13 0.50 -- (0.03) 10.68 3.04 16,967 0.50 0.00 33 0.50 (2.85) (2.90) 10.39 (16.50) 9,728 0.50 0.56 58 0.50 (0.39) (0.56) 15.48 32.67 4,528 0.50 0.09 161 0.50 (0.60) (0.68) 12.16 2.87 3,404 0.50 0.21 159 0.50 $ -- $ -- $ 9.31 22.34% $60,201 1.25%+ (0.72)%+ 2% 1.25%+ -- -- 7.61 (27.25) 35,069 1.25 (0.55) 13 1.25 -- --## 10.46 2.25 29,079 1.25 (0.75) 33 1.25 (2.85) (2.86) 10.23 (17.18) 14,753 1.25 (0.19) 58 1.25 (0.39) (0.54) 15.35 31.68 8,972 1.25 (0.66) 161 1.25 (0.60) (0.61) 12.13 2.14 8,531 1.25 (0.54) 159 1.25 $ -- $ -- $ 9.26 22.32% $ 9,909 1.25%+ (0.72)%+ 2% 1.25%+ -- -- 7.57 (27.21) 4,559 1.25 (0.55) 13 1.25 -- --## 10.40 2.16 3,436 1.25 (0.75) 33 1.25 (2.85) (2.86) 10.18 (17.18) 2,198 1.25 (0.19) 58 1.25 (0.39) (0.54) 15.30 31.65 1,485 1.25 (0.66) 161 1.25 (0.60) (0.62) 12.09 2.07 473 1.25 (0.54) 159 1.25
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET INCREASE/ (DECREASE) NET ASSET NET REALIZED IN NET ASSETS DISTRIBUTIONS VALUE NET AND UNREALIZED RESULTING FROM FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS OPERATIONS INCOME ------------------------------------------------------------------------------- LIFEGOAL BALANCED GROWTH PORTFOLIO PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)...... $ 8.77 $0.07 $ 1.33 $ 1.40 $(0.06) Year ended 3/31/2003#........................ 10.38 0.18 (1.58) (1.40) (0.21) Year ended 3/31/2002#........................ 10.33 0.31 0.16 0.47 (0.31) Year ended 3/31/2001......................... 11.97 0.44 (0.71) (0.27) (0.42) Year ended 3/31/2000#........................ 10.80 0.36 1.54 1.90 (0.44) Year ended 3/31/1999......................... 10.92 0.26 0.23 0.49 (0.28) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)...... $ 8.79 $0.07 $ 1.32 $ 1.39 $(0.05) Year ended 3/31/2003#........................ 10.41 0.16 (1.59) (1.43) (0.19) Year ended 3/31/2002#........................ 10.35 0.27 0.19 0.46 (0.29) Year ended 3/31/2001......................... 11.99 0.40 (0.69) (0.29) (0.40) Year ended 3/31/2000#........................ 10.82 0.34 1.53 1.87 (0.41) Year ended 3/31/1999......................... 10.94 0.25 0.21 0.46 (0.25) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)...... $ 8.77 $0.03 $ 1.31 $ 1.34 $(0.02) Year ended 3/31/2003#........................ 10.39 0.09 (1.57) (1.48) (0.14) Year ended 3/31/2002#........................ 10.35 0.20 0.17 0.37 (0.22) Year ended 3/31/2001......................... 12.00 0.32 (0.70) (0.38) (0.32) Year ended 3/31/2000#........................ 10.82 0.26 1.54 1.80 (0.33) Year ended 3/31/1999......................... 10.92 0.17 0.22 0.39 (0.16) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)...... $ 8.85 $0.03 $ 1.34 $ 1.37 $(0.03) Year ended 3/31/2003#........................ 10.49 0.09 (1.60) (1.51) (0.13) Year ended 3/31/2002#........................ 10.44 0.20 0.18 0.38 (0.22) Year ended 3/31/2001......................... 12.09 0.34 (0.73) (0.39) (0.31) Year ended 3/31/2000#........................ 10.92 0.26 1.55 1.81 (0.35) Year ended 3/31/1999......................... 10.92 0.20 0.26 0.46 (0.13)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated and does not reflect the deduction of any applicable sales charges. +++ The Portfolio's expenses do not include the expenses of the underlying funds. # Per share net investment income/(loss) has been calculated using the monthly average shares method. SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF DISTRIBUTIONS NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING FROM NET VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED TOTAL END OF TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS+++ NET ASSETS RATE NET ASSETS+++ - -------------------------------------------------------------------------------------------------------------------------------- $ -- $(0.06) $10.11 16.02% $190,664 0.25%+ 1.53%+ 15% 0.25%+ -- (0.21) 8.77 (13.51) 158,377 0.25 1.97 26 0.25 (0.11) (0.42) 10.38 4.65 195,436 0.25 3.02 117 0.25 (0.95) (1.37) 10.33 (2.39) 194,842 0.25 3.69 106 0.25 (0.29) (0.73) 11.97 18.34 13,325 0.25 3.37 124 0.25 (0.33) (0.61) 10.80 4.77 14,844 0.25 2.77 121 0.25 $ -- $(0.05) $10.13 15.86% $ 73,141 0.50%+ 1.28%+ 15% 0.50%+ -- (0.19) 8.79 (13.77) 37,750 0.50 1.72 26 0.50 (0.11) (0.40) 10.41 4.52 11,343 0.50 2.77 117 0.50 (0.95) (1.35) 10.35 (2.61) 4,308 0.50 3.44 106 0.50 (0.29) (0.70) 11.99 18.03 2,298 0.50 3.12 124 0.50 (0.33) (0.58) 10.82 4.44 1,308 0.50 2.52 121 0.50 $ -- $(0.02) $10.09 15.28% $150,585 1.25%+ 0.53%+ 15% 1.25%+ -- (0.14) 8.77 (14.33) 87,911 1.25 0.97 26 1.25 (0.11) (0.33) 10.39 3.62 33,519 1.25 2.02 117 1.25 (0.95) (1.27) 10.35 (3.37) 13,676 1.25 2.69 106 1.25 (0.29) (0.62) 12.00 17.26 9,789 1.25 2.37 124 1.25 (0.33) (0.49) 10.82 3.78 8,925 1.25 1.77 121 1.25 $ -- $(0.03) $10.19 15.43% $ 20,783 1.25%+ 0.53%+ 15% 1.25%+ -- (0.13) 8.85 (14.41) 7,620 1.25 0.97 26 1.25 (0.11) (0.33) 10.49 3.66 3,655 1.25 2.02 117 1.25 (0.95) (1.26) 10.44 (3.43) 1,613 1.25 2.69 106 1.25 (0.29) (0.64) 12.09 17.22 2,092 1.25 2.37 124 1.25 (0.33) (0.46) 10.92 4.43 266 1.25 1.77 121 1.25
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET INCREASE/ (DECREASE) NET ASSET NET REALIZED IN NET ASSETS DISTRIBUTIONS VALUE NET AND UNREALIZED RESULTING FROM FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS OPERATIONS INCOME ------------------------------------------------------------------------------- LIFEGOAL INCOME AND GROWTH PORTFOLIO PRIMARY A SHARES Six months ended 9/30/2003# (unaudited)...... $ 9.62 $0.11 $ 0.77 $ 0.88 $(0.09) Year ended 3/31/2003#........................ 10.35 0.27 (0.71) (0.44) (0.26) Year ended 3/31/2002#........................ 10.37 0.40 (0.01) 0.39 (0.36) Year ended 3/31/2001#........................ 10.63 0.52 (0.04) 0.48 (0.50) Year ended 3/31/2000#........................ 10.86 0.49 0.02 0.51 (0.51) Year ended 3/31/1999......................... 10.70 0.35 0.37 0.72 (0.36) INVESTOR A SHARES Six months ended 9/30/2003# (unaudited)...... $ 9.67 $0.10 $ 0.78 $ 0.88 $(0.08) Year ended 3/31/2003#........................ 10.41 0.24 (0.71) (0.47) (0.24) Year ended 3/31/2002#........................ 10.43 0.36 0.01 0.37 (0.34) Year ended 3/31/2001#........................ 10.69 0.51 (0.06) 0.45 (0.47) Year ended 3/31/2000#........................ 10.89 0.48 0.03 0.51 (0.48) Year ended 3/31/1999......................... 10.71 0.36 0.35 0.71 (0.33) INVESTOR B SHARES Six months ended 9/30/2003# (unaudited)...... $ 9.66 $0.06 $ 0.77 $ 0.83 $(0.04) Year ended 3/31/2003#........................ 10.41 0.17 (0.71) (0.54) (0.18) Year ended 3/31/2002#........................ 10.44 0.29 -- 0.29 (0.27) Year ended 3/31/2001#........................ 10.70 0.43 (0.06) 0.37 (0.39) Year ended 3/31/2000#........................ 10.89 0.41 0.03 0.44 (0.40) Year ended 3/31/1999......................... 10.70 0.28 0.35 0.63 (0.24) INVESTOR C SHARES Six months ended 9/30/2003# (unaudited)...... $ 9.62 $0.06 $ 0.78 $ 0.84 $(0.05) Year ended 3/31/2003#........................ 10.37 0.17 (0.71) (0.54) (0.18) Year ended 3/31/2002#........................ 10.40 0.29 -- 0.29 (0.27) Year ended 3/31/2001#........................ 10.67 0.43 (0.07) 0.36 (0.39) Year ended 3/31/2000#........................ 10.90 0.40 0.03 0.43 (0.43) Year ended 3/31/1999......................... 10.70 0.31 0.31 0.62 (0.22)
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated and does not reflect the deduction of any applicable sales charges. +++ The Portfolio's expenses do not include the expenses of the underlying funds. # Per share net investment income/(loss) has been calculated using the monthly average shares method. SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF DISTRIBUTIONS NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING FROM NET VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED TOTAL END OF TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS+++ NET ASSETS RATE NET ASSETS+++ - -------------------------------------------------------------------------------------------------------------------------------- $(0.04) $(0.13) $10.37 9.16% $41,725 0.25%+ 2.15%+ 7% 0.25%+ (0.03) (0.29) 9.62 (4.22) 33,316 0.25 2.72 34 0.25 (0.05) (0.41) 10.35 3.83 25,906 0.25 3.81 37 0.25 (0.24) (0.74) 10.37 4.60 15,297 0.25 5.05 35 0.25 (0.23) (0.74) 10.63 4.91 4,736 0.25 4.78 96 0.25 (0.20) (0.56) 10.86 6.98 8,489 0.25 3.99 107 0.25 $(0.04) $(0.12) $10.43 9.10% $23,328 0.50%+ 1.90%+ 7% 0.50%+ (0.03) (0.27) 9.67 (4.49) 11,027 0.50 2.47 34 0.50 (0.05) (0.39) 10.41 3.56 4,241 0.50 3.56 37 0.50 (0.24) (0.71) 10.43 4.33 1,487 0.50 4.80 35 0.50 (0.23) (0.71) 10.69 4.93 789 0.50 4.53 96 0.50 (0.20) (0.53) 10.89 6.92 1,347 0.50 3.74 107 0.50 $(0.04) $(0.08) $10.41 8.63% $66,318 1.25%+ 1.15%+ 7% 1.25%+ (0.03) (0.21) 9.66 (5.20) 43,905 1.25 1.72 34 1.25 (0.05) (0.32) 10.41 2.77 13,926 1.25 2.81 37 1.25 (0.24) (0.63) 10.44 3.55 5,391 1.25 4.05 35 1.25 (0.23) (0.63) 10.70 4.25 4,645 1.25 3.78 96 1.25 (0.20) (0.44) 10.89 6.16 4,806 1.25 2.99 107 1.25 $(0.04) $(0.09) $10.37 8.69% $11,162 1.25%+ 1.15%+ 7% 1.25%+ (0.03) (0.21) 9.62 (5.23) 5,066 1.25 1.72 34 1.25 (0.05) (0.32) 10.37 2.77 1,829 1.25 2.81 37 1.25 (0.24) (0.63) 10.40 3.50 1,051 1.25 4.05 35 1.25 (0.23) (0.66) 10.67 4.11 848 1.25 3.78 96 1.25 (0.20) (0.42) 10.90 6.02 100 1.25 2.99 107 1.25
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET INCREASE/ (DECREASE) NET ASSET NET REALIZED IN NET ASSETS DISTRIBUTIONS VALUE NET AND UNREALIZED RESULTING FROM FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS OPERATIONS INCOME ------------------------------------------------------------------------------- LIFEGOAL INCOME PORTFOLIO PRIMARY A SHARES* Period ended 9/30/2003# (unaudited).......... $10.00 $0.02 $0.08 $0.10 $-- INVESTOR A SHARES* Period ended 9/30/2003# (unaudited).......... $10.00 $0.02 $0.08 $0.10 $-- INVESTOR B SHARES* Period ended 9/30/2003# (unaudited).......... $10.00 $0.02 $0.07 $0.09 $-- INVESTOR C SHARES** Period ended 9/30/2003# (unaudited).......... $10.00 $0.01 $0.07 $0.08 $--
- --------------- + Annualized. ++ Total return represents aggregate total return for the period indicated and does not reflect the deduction of any applicable sales charges. +++ The Portfolio's expenses do not include the expenses of the underlying funds. * LifeGoal Income Portfolio Primary A, Investor A and Investor B Shares commenced investment operations on September 4, 2003. ** LifeGoal Income Portfolio Primary C Shares commenced operations on September 5, 2003. # Per share net investment income/(loss) has been calculated using the monthly average shares method. SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF DISTRIBUTIONS NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING FROM NET VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED TOTAL END OF TOTAL PERIOD AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS+++ NET ASSETS RATE NET ASSETS+++ - -------------------------------------------------------------------------------------------------------------------------------- $-- $-- $10.10 1.00% $1,768 0.42%+ 3.25%+ 0% 3.07%+ $-- $-- $10.10 1.00% $6,890 0.67%+ 3.00%+ 0% 3.32%+ $-- $-- $10.09 0.90% $1,649 1.42%+ 2.25%+ 0% 4.07%+ $-- $-- $10.08 0.80% $ 786 1.42%+ 2.25%+ 0% 4.07%+
SEE NOTES TO FINANCIAL STATEMENTS. 21 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, 2003, Funds Trust offered fifty-seven separate Portfolios. These financial statements pertain only to the LifeGoal Portfolios of Funds Trust: LifeGoal Growth Portfolio, LifeGoal Balanced Growth Portfolio, LifeGoal Income and Growth Portfolio and LifeGoal Income Portfolio (each a "Portfolio" and collectively, the "Portfolios"). The Portfolios invest in Primary A Shares of other Nations Funds (the "Underlying Funds") distributed by BACAP Distributors, LLC ("BACAP Distributors") and advised by Banc of America Capital Management, LLC ("BACAP"). The Portfolios currently offer four classes of shares: Primary A Shares, Investor A Shares, Investor B Shares and Investor C Shares. Shareholders of a Portfolio have equal voting rights on matters affecting all shareholders of the Portfolio. In addition, each class of shares of a Portfolio 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 Portfolios in the preparation of their financial statements. Securities valuation: Investments in the Underlying Funds are valued at the net asset value of each Primary A Share of the respective Underlying Fund determined as of the close of the New York Stock Exchange on the valuation date. 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. Distributions from the Underlying Funds are recorded on the ex-dividend date. Each Portfolio'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. Distributions to shareholders: Distributions from net investment income are declared and paid each calendar quarter. The Portfolios may declare and pay distributions from net investment income more frequently. Each Portfolio will distribute net realized capital gains (including net short-term capital gains) at least annually after the fiscal year in which the capital gains were earned, unless offset by any available capital loss carryforward. Distributions are recorded on ex-dividend date. Income distributions and capital gain distributions on a Portfolio 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 Portfolio 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 Portfolios based upon their relative net assets or other expense allocation methodologies determined by the nature of the expense. Expenses directly attributable to a Portfolio or class of shares are charged to such Portfolio or class. In addition, the Portfolios indirectly bear their pro rata share of expenses of the Underlying Funds. 2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, CO-ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Funds Trust has entered into an investment advisory agreement (the "Investment Advisory Agreement") with BACAP, 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 BACAP provides investment advisory services to the Portfolios. Under the terms of the Investment Advisory Agreement, BACAP is entitled to receive an advisory fee, calculated daily and paid monthly, at the maximum annual rate of 0.25% of each Portfolio's average daily net assets (excluding LifeGoal Income Portfolio) and has agreed to bear any and all fees and expenses of the Portfolios (excluding LifeGoal Income Portfolio) (other than the investment advisory fee payable under the Investment Advisory Agreement, taxes, brokerage fees and commissions, extraordinary expenses, and 22 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) any applicable Rule 12b-1 fees, shareholder servicing fees and/or shareholder administration fees). Under the terms of the Investment Advisory Agreement for LifeGoal Income Portfolio, BACAP is entitled to receive an advisory fee, calculated daily and paid monthly based on the assets invested in direct securities or the Fixed Income Sector Portfolios, at the maximum annual rate of 0.50% of the Portfolio's average daily net assets. There is no advisory fee on investments in the Nations Funds. BACAP Distributors, a wholly-owned subsidiary of Bank of America, serves as sole administrator of Funds Trust. The Bank of New York ("BNY") serves as sub-administrator of Funds Trust pursuant to an agreement with BACAP Distributors. BACAP Distributors received no compensation for its services as administrator from the Portfolios (excluding LifeGoal Income Portfolio). Under the administration agreement, BACAP Distributors is entitled to receive an administration fee, calculated daily and paid monthly, at a maximum annual rate of 0.23% of the average daily net assets for the LifeGoal Income Portfolio. For the period ended September 30, 2003, BACAP Distributors agreed to waive 0.10% of its administration fees for LifeGoal Income Portfolio as a percentage of the Portfolio's average daily net assets based on the assets invested in the Nations Funds. For the period ended September 30, 2003, BACAP Distributors earned 0.23% on assets invested in the Fixed Income Sector Portfolios and 0.13% on the assets invested in the Nations Funds. Bank of America serves as custodian of Funds Trust (excluding LifeGoal Income Portfolio) on behalf of the Portfolios' assets. The Bank of New York serves as custodian of Funds Trust on behalf of LifeGoal Income Portfolio's assets. BACAP and/or its affiliates may, from time to time, reduce its fee payable by each Portfolio. For the period ended September 30, 2003, BACAP has agreed to waive 0.10% of its advisory fees for LifeGoal Income Portfolio as a percentage of the Portfolio's average daily net assets based on the assets invested in direct securities or the Fixed Income Sector Portfolios. PFPC Inc. serves as the transfer agent for the Portfolios' shares. Bank of America serves as sub-transfer agent for the Portfolios' Primary A Shares. BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2003, the Funds were informed that the distributors received the following:
FRONT END CONTINGENT DEFERRED SALES CHARGE SALES CHARGE (000) (000) ------------ -------------------------------------- FUND INVESTOR A INVESTOR A INVESTOR B INVESTOR C - -------------------------------------------------------------------------------------------------------------------- Growth...................................................... $821 $1 $ 70 $ --* Balanced Growth............................................. 397 1 148 2 Income and Growth........................................... 52 1 62 3 Income...................................................... 24 -- -- --
- --------------- *Amount represents less than $500. No officer, director or employee of Bank of America, BACAP Distributors or BACAP, or any affiliate thereof, receives any compensation from Funds Trust for serving as a Director or Officer of Funds Trust. A significant portion of each Portfolio's Primary A Shares represents investments by fiduciary accounts over which Bank of America has either sole or joint investment discretion. 3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS Funds Trust has adopted shareholder servicing plans and distribution plans for the Investor B and Investor C Shares of each Portfolio, and a combined distribution and shareholder servicing plan for the Investor A shares of each Portfolio. The shareholder servicing plans permit the Portfolios 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 Portfolios 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 Portfolio directly to the 23 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) applicable class. A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BACAP. For the six months ended September 30, 2003, the annual rates in effect and plan limits, as a percentage of average daily net assets, were as follows:
CURRENT RATE (AFTER FEE PLAN WAIVER) LIMIT ------------------------ Investor A Combined Shareholder Servicing and Distribution Plan...................................................... 0.25% 0.25% Investor B and Investor C Shareholder Servicing Plans....... 0.25% 0.25% Investor B and Investor C Distribution Plans................ 0.75% 0.75%
4. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of the Underlying Funds for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) --------------------- Growth...................................................... $ 45,169 $ 3,493 Balanced Growth............................................. 152,263 55,784 Income and Growth........................................... 50,574 8,881 Income...................................................... 8,739 --
5. SHARES OF BENEFICIAL INTEREST As of September 30, 2003, 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. Investor B Shares generally convert to Investor A Shares based on the following conditions:
INVESTOR B SHARES PURCHASED: WILL CONVERT TO INVESTOR A SHARES AFTER: - ---------------------------------------------------------------------------------------------- - -- after November 15, 1998 Eight years - -- between August 1, 1997 and November 15, 1998 $0 - $249,999 Nine years $250,000 - $499,999 Six years $500,000 - $999,999 Five years - -- before August 1, 1997 Nine years
See Schedules of capital stock activity. 6. LINE 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"). The Agreement is renewable on an annual basis. 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. The Funds had no borrowings outstanding at September 30, 2003. 7. RISK FACTORS OF THE PORTFOLIOS AND THE UNDERLYING FUNDS Investing in the Underlying Funds through the Portfolios involves certain additional expenses and possible risks that would not be present in a direct investment in the Underlying Funds. Under certain circumstances, an Underlying Fund may pay a redemption request by a Portfolio wholly or partly by a distribution in kind of securities from its portfolio, 24 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) instead of cash, in accordance with the rules of the Securities and Exchange Commission. In such cases, the Portfolios may hold securities distributed by an Underlying Fund and incur custody and other costs until BACAP determines that it is appropriate to dispose of such securities. The Officers and Trustees of Funds Trust also serve as Officers and Trustees of the Underlying Funds. In addition, BACAP Distributors and BACAP are wholly-owned subsidiaries of Bank of America. Conflicts may arise as these companies seek to fulfill their fiduciary responsibilities to both the Portfolios and the Underlying Funds. From time to time, one or more of the Underlying Funds a Portfolio invests in may experience relatively large investments or redemptions due to reallocations or rebalancings by the Portfolios as recommended by BACAP. In such event, the Underlying Funds that experience redemptions as a result of the reallocations or rebalancings may have to sell portfolio securities, and the Underlying Funds that receive additional cash will have to invest such cash. While it is impossible to predict the overall impact of these transactions over time, there could be adverse effects on portfolio management to the extent that the Underlying Funds may be required to sell securities or invest cash at times when they would not otherwise have to do so. These transactions could also have tax consequences if sales of securities resulted in gains and could also increase transaction costs. BACAP, representing the interests of the Underlying Funds, is committed to minimizing the impact of Portfolio transactions on the Underlying Funds to the extent it is consistent with pursuing the investment objectives of the Portfolios. BACAP may, nevertheless, face conflicts of interest in fulfilling its responsibilities to both the Portfolios and the Underlying Funds. Investing in the Underlying Funds also presents certain risks. Each of the Underlying Funds may invest in certain specified derivative securities, including but not limited to: interest rate and equity swaps, caps and floors for hedging purposes; exchange-traded options; over-the-counter options executed with primary dealers, including long calls and puts and covered calls and financial futures and options. Certain of the Underlying Funds may invest in restricted securities; instruments issued by trusts, partnerships or other issuers, including pass-through certificates representing participations in, or debt instruments backed by, the securities owned by such issuers. These Underlying Funds also may engage in securities lending, reverse repurchase agreements and dollar roll transactions. In addition, certain of the Underlying Funds may invest in below-investment grade debt, debt obligations of foreign issuers and stocks of foreign corporations, securities in foreign investment funds or trusts and various other investment vehicles, each with inherent risks. 8. INCOME TAXES Information on the tax components of capital as of September 30, 2003 is as follows:
NET TAX COST OF UNREALIZED INVESTMENTS GROSS TAX GROSS TAX APPRECIATION/ FOR TAX UNREALIZED UNREALIZED (DEPRECIATION) PURPOSES APPRECIATION DEPRECIATION ON INVESTMENTS PORTFOLIO (000) (000) (000) (000) - --------------------------------------------------------------------------------------------------------------------------- Growth...................................................... $202,073 $4,019 $(11,227) $(7,208) Balanced Growth............................................. 431,730 9,753 (7,227) 2,526 Income and Growth........................................... 138,257 4,359 (80) 4,279 Income...................................................... 8,917 37 (5) 32
At March 31, 2003, the following Portfolios had available for federal income tax purposes unused capital losses as follows:
EXPIRING EXPIRING IN 2010 IN 2011 (000) (000) -------------------- Growth...................................................... $5,674 $2,064 Balanced Growth............................................. 1,336 --
25 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) For the fiscal year ended March 31, 2003, the following Portfolios elected to defer losses occurring between November 1, 2002 and March 31, 2003 under these rules, as follows:
CAPITAL LOSSES DEFERRED PORTFOLIO (000) - ---------------------------------------------------------------------------- Growth...................................................... $37 Balanced Growth............................................. -- Income and Growth........................................... --
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2004. 9. EVENTS On September 3, 2003, the Office of the Attorney General for the State of New York ("NYAG") simultaneously filed and settled a complaint against Canary Capital Partners, LLC, et al. (collectively, "Canary"). The complaint alleged, among other things, that Canary engaged in improper trading in certain Nations Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and also "late trading". On September 8, 2003, Bank of America Corporation announced that, to the extent that the independent trustees determine that Nations Funds shareholders were adversely affected by a discretionary market-timing agreement or late trading activities, the adviser will make appropriate restitution. Bank of America Corporation also announced that the adviser will promptly return to Nations Funds that were the subject of a market-timing agreement all management and investment advisory fees it received as a result of such agreement. In addition, Bank of America Corporation has also agreed to make appropriate reimbursement of costs incurred by Nations Funds in connection with this matter. On September 16, 2003, the NYAG announced a criminal action, and the SEC announced a civil action, against a former employee of Banc of America Securities, LLC, a selling agent affiliated with the Nations Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name Nations Funds, among others, as defendants. 26 THE NATIONS FUNDS FAMILY OF FUNDS THE MUTUAL FUND FAMILY OF BANC OF AMERICA CAPITAL MANAGEMENT Within each category, the funds are listed from aggressive to conservative. Lower risk/reward potential 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 EQUITY FUNDS GROWTH FUNDS Nations Small Company Fund Nations Marsico 21st Century Fund Nations MidCap Growth Fund Nations Marsico Focused Equities Fund Nations Marsico Growth 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 Higher reward/risk potential INTERNATIONAL/GLOBAL FUNDS Nations Marsico International Opportunities Fund Nations International Equity Fund Nations International Value Fund Nations Global Value Fund SPECIALTY FUNDS INDEX FUNDS Nations SmallCap Index Fund Nations MidCap Index Fund Nations LargeCap Index Fund Nations LargeCap Enhanced Core Fund ASSET ALLOCATION PORTFOLIOS Nations LifeGoal Growth Portfolio Nations LifeGoal Balanced Growth Portfolio Nations LifeGoal Income Portfolio Nations LifeGoal Income and Growth Portfolio OTHER SPECIALTY FUNDS Nations Convertible Securities Fund LIFEGLSAR (9/03) FIXED INCOME SECTOR PORTFOLIOS Corporate Bond Portfolio High Income Portfolio Mortgage- and Asset-Backed Portfolio Semiannual report for the six months ended September 30, 2003 (unaudited) CHAIRMAN'S AND PRESIDENT'S MESSAGE Dear Shareholder: The six-month period ended September 30, 2003, marked a significant turning point for investors. Since the official end of the recession in November 2001, investors have anxiously sifted through news for signs that the U.S. economy was regaining its footing. At last, the picture drawn by both improving corporate profits and the broad array of economic indicators may be inspiring renewed confidence in the U.S. economy. During the reporting period, three powerful forces--fiscal policy, monetary policy and a weak dollar--converged to stimulate the U.S. economic recovery. The U.S. Federal Reserve has lowered the overnight lending rate 13 times in the current cycle, pushing its target Federal Funds rate to the lowest level in 45 years. At the same time, federal spending and expected reductions in federal tax rates have prompted increased consumer and business spending. GENUINE RECOVERY UNDERWAY Although real gross domestic product (GDP) has increased in each of the last eight quarters, the pace of economic activity accelerated sharply during the reporting period. GDP growth featured robust consumer spending, a larger-than-expected pickup in business capital spending, strong homebuilding, and the fastest U.S. export growth in more than a year. The transition from an economy driven by massive stimulus -- low interest rates and tax cuts -- to one characterized by self-generating growth depends in large part on improvement in overall employment. While the economy has made visible progress in the areas of business spending and foreign demand, the outlook for the U.S. labor market has been a persistent worry for investors. Strong productivity gains, once blamed for lagging job creation, are now producing wider profit margins, stronger business spending and the faster GDP needed to support labor market improvement in coming months. In addition, the encouraging performance of the world's largest economy has rippled across global markets where the outlook for major foreign economies also is brightening. In fact, the global economy seems poised for a synchronized recovery. CAPITAL MARKETS REBOUND During the period, the capital markets reflected an increasingly optimistic view as to the vigor and sustainability of the U.S. economic recovery. Although performance has been strong across all market segments, investors have focused more narrowly on those areas with the greatest sensitivity to an improving environment. Since March, stocks outperformed most fixed-income markets, as the generally riskier components of the capital markets outpaced their higher quality counterparts. Year-to-date as of September 30, the Standard and Poor's 500 Composite Stock PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. Price Index returned 14.72%, the NASDAQ Composite Index returned 34.27% and the Dow Jones Industrial Average returned 13.13%.* Fixed-income markets have been volatile since late 2002, responding to various factors, including geopolitical developments and changes in the economy. During the period, the yield curve remained quite steep with spreads between the 30-day Treasury bills and the 10-year Treasury note exceeding 350 basis points. Since touching the lowest level in over four decades of 3.13% in June, the yield on long-term Treasuries has backed up by nearly 150 basis points, trading in a range between around 3.90% and 4.60% in September. Treasuries, which had been a safe haven for wary investors during the extended bear market, lost some of their luster as equities began to revive. Accumulating evidence of economic growth in an environment of historically low inflation and interest rates encouraged investors to migrate to lower quality bonds, and high yield markets surged. Year-to-date, high yield bonds outperformed investment grade corporate bonds by more than four times. Through September 30, the US High-Yield BB& B Rated Market Index returned 22.76% to investors, compared with 3.78% for the Lehman Aggregate Bond Index.** Note that high yield bonds offer the potential for higher income than other debt securities, but they also have higher risk. INVESTMENT OUTLOOK We are generally optimistic about the investing environment. Despite ongoing concerns about geopolitical tensions, most notably, continuing instability in the Middle East, and disappointment stemming from recent events in the mutual fund industry, we believe the outlook for investors has improved during the past six months. We believe the combination of low interest rates, tax cuts and a weaker dollar that restarted the U.S. economic engine, has generated momentum for growth in 2004. In general, we expect continued strong growth in GDP, modest increases in interest rates and continued low inflation for the U.S. economy. * Standard and Poor's 500 Composite Stock Price Index: an unmanaged index of 500 widely held common stocks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. The NASDAQ Composite Index: covers 4,500 stocks traded over the counter. It is an unmanaged value-weighted index calculated on price change only and does not include income. It is not an industry-neutral index; it is disproportionately technology-heavy. The Dow Jones Industrial Average (DJIA) is an unmanaged index of common stocks comprised of major industrial companies and assumes reinvestment of dividends and capital gains. All dividends are reinvested. The indices are unavailable for investment and do not reflect fees, brokerage commissions or other expenses of investing. ** The US High-Yield BB& B Rated Market Index captures the performance of below-investment-grade debt issued by corporations domiciled in the United States or Canada. Securities in the index have remaining maturities of at least 1 year, at least $100 million outstanding and are rated BB or B by Standard and Poor's or Moody's. Please note that an investor cannot invest directly in an index; 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. INQUIRY UPDATE Nations Funds shareholders have so far received two letters, dated September 19 and 23, 2003 describing actions taken by Bank of America and the Nations Funds Board of Trustees as a result of investigations into mutual fund trading activities. In addition to the steps outlined in these letters, Bank of America has announced the intention to provide restitution for shareholders of Nations Funds who were harmed by certain late trading and market timing practices. The independent members of the Nations Funds Board of Trustees have engaged the law firm of Willkie Farr & Gallagher and, through them, Deloitte & Touche's Investment Management Advisory Service Group to analyze the extent of any adverse monetary impact on shareholders and other matters. Nations Funds shareholders will not bear any costs related to these actions. Independent advisors Dale Frey, former president and chairman of the General Electric Investment Corporation, and Maureen Bateman, former general counsel of State Street Corporation and U.S. Trust, have been hired by Bank of America to conduct independent reviews. Mr. Frey is reviewing mutual fund policies and practices. Ms. Bateman is reviewing legal and regulatory compliance. Promontory Financial Group has been engaged by Bank of America to coordinate a detailed review of all technology, control, and compliance systems related to the mutual fund business. As these actions demonstrate, Bank of America is committed to making appropriate restitution to affected Nations Funds shareholders and to taking all appropriate actions. Both Bank of America and Nations Funds Board of Trustees are committed to ensuring that our mutual fund policies and practices are at the highest level of industry standards. Nothing is more important than the trust and confidence of Nations Funds shareholders. Bank of America continues to look for opportunities to reinforce its investment advisory unit's professional ranks. In this regard, we are pleased to introduce the recently named president of Banc of America Capital Management, LLC, Keith Winn, who has over 20 years of experience in the investment industry. Sincerely, William P. Carmichael Keith Winn Chairman of the Board of Trustees President Nations Funds Banc of America Capital Management, LLC October 14, 2003 NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES - 75.5% AEROSPACE AND DEFENSE - 1.0% $ 83 Boeing Company, 5.125% 02/15/13 $ 84 8 General Dynamics Corporation, 4.500% 08/15/10 8 202 Northrop Grumman Corporation, 7.125% 02/15/11 237 120 Raytheon Company, 5.375% 04/01/13 124 ---------- 453 ---------- AUTOMOTIVE - 7.2% 443 Daimler Chrysler, 4.050% 06/04/08## 440 188 Delphi Corporation, 6.125% 05/01/04 192 317 Ford Motor Company, 7.450% 07/16/31 292 254 Ford Motor Credit Company, 5.800% 01/12/09 256 411 Ford Motor Credit Company, 7.375% 02/01/11## 432 178 General Motors Acceptance Corporation, 6.150% 04/05/07 188 399 General Motors Acceptance Corporation, 6.875% 09/15/11## 414 190 General Motors Acceptance Corporation, 8.000% 11/01/31 195 69 General Motors Corporation, 8.250% 07/15/23 72 841 Toyota Motor Credit Corporation, 5.625% 11/13/03 845 ---------- 3,326 ---------- BEVERAGES - 0.7% 167 Anheuser-Busch Companies, Inc., 5.950% 01/15/33 175 129 Cadbury Schweppes, 5.125% 10/01/13(caret) 131 ---------- 306 ---------- BROADCASTING AND CABLE - 2.7% 78 AOL Time Warner Inc., 6.150% 05/01/07 86 73 AOL Time Warner Inc., 6.875% 05/01/12 82
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- BROADCASTING AND CABLE - (CONTINUED) $ 362 AOL Time Warner Inc., 7.625% 04/15/31 ## $ 410 198 Comcast Cable Communications, Inc., 7.125% 06/15/13 228 27 Cox Enterprises, Inc., 4.375% 05/01/08(caret) 28 14 Liberty Media Corporation, 5.700% 05/15/13 14 117 Tele-Communications, Inc., Class A, 9.875% 06/15/22 163 30 Time Warner Inc., 8.110% 08/15/06 34 40 Viacom Inc., Class B, 6.400% 01/30/06 44 129 Viacom Inc., Class B, 6.625% 05/15/11 148 ---------- 1,237 ---------- CHEMICALS - BASIC - 0.6% 109 Dow Chemical Company, 6.125% 02/01/11 117 93 Dow Chemical Company, 7.375% 11/01/29 103 68 Eastman Chemical Company, 3.250% 06/15/08 66 ---------- 286 ---------- CHEMICALS - SPECIALTY - 0.9% 149 E.I. du Pont de Nemours and Company, 3.375% 11/15/07 152 111 Praxair, Inc., 4.750% 07/15/07 118 134 Praxair, Inc., 6.500% 03/01/08 152 ---------- 422 ---------- COMMERCIAL BANKING - 16.3% 286 AmSouth Bank N.A., 4.850% 04/01/13 290 761 Bank One Corporation, 6.000% 08/01/08 ## 847 703 Citigroup Inc., 7.250% 10/01/10 833 237 Citigroup Inc., 6.000% 02/21/12 262 75 City National Bank, 5.125% 02/15/13 76
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- COMMERCIAL BANKING (CONTINUED) $ 202 FleetBoston Financial Corporation, 7.250% 09/15/05 $ 223 271 Golden West Financial Corporation, 4.750% 10/01/12 277 448 J.P. Morgan Chase & Company, 7.250% 06/01/07 513 242 Key Bank N.A., 7.000% 02/01/11 282 186 Mellon Funding Corporation, 4.875% 06/15/07 200 97 Mellon Funding Corporation, 6.700% 03/01/08 111 445 National City Bank, 4.625% 05/01/13 448 196 PNC Funding Corporation, 7.000% 09/01/04 206 315 PNC Funding Corporation, 5.750% 08/01/06 343 20 Popular North America Inc., 4.250% 04/01/08 21 312 Popular North America Inc., MTN, Series E, 6.125% 10/15/06 346 87 Regions Financial Corporation, 7.750% 09/15/24 108 75 SouthTrust Bank N.A., 4.750% 03/01/13 75 35 State Street Corporation, 7.650% 06/15/10 42 2 SunTrust Banks, Inc., 5.050% 07/01/07 2 441 US Bank N.A., Minnesota, 6.375% 08/01/11 501 597 Wachovia Corporation, 4.950% 11/01/06 ## 644 421 Washington Mutual, Inc., 5.625% 01/15/07 458 42 Wells Fargo and Company, 3.500% 04/04/08 43 304 Wells Fargo Financial, Inc., 4.875% 06/12/07 329 ---------- 7,480 ---------- COMPUTER SERVICES - 0.0%+ 15 Electronic Data Systems Corporation, 6.000% 08/01/13(caret) 14 ----------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- COMPUTERS AND OFFICE EQUIPMENT - 0.7% $ 30 International Business Machines Corporation, 4.750% 11/29/12 $ 31 87 International Business Machines Corporation, 6.500% 01/15/28 96 30 International Business Machines Corporation, 5.875% 11/29/32 31 173 Pitney Bowes Inc., 4.625% 10/01/12 175 ---------- 333 ---------- CONGLOMERATES - 0.6% 244 Waste Management, Inc., 7.375% 08/01/10 285 ---------- CONSUMER CREDIT AND MORTGAGES - 2.2% 146 American Express Company, 3.750% 11/20/07 150 26 American Express Credit Corporation, 3.000% 05/16/08 26 143 American General Finance, MTN, Series H, 2.750% 06/15/08 139 660 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06 ## 711 ---------- 1,026 ---------- CONSUMER SERVICES - 0.0%+ 12 Monsanto Company, 4.000% 05/15/08 12 ---------- DEPARTMENT AND DISCOUNT STORES - 1.1% 2 Kohl's Corporation, 6.000% 01/15/33 2 57 Target Corporation, 3.375% 03/01/08 58 157 Target Corporation, 5.875% 03/01/12 173 121 Wal-Mart Stores, Inc., 5.450% 08/01/06 132 64 Wal-Mart Stores, Inc., 4.375% 07/12/07 67 52 Wal-Mart Stores, Inc., 4.550% 05/01/13 53 ---------- 485 ----------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- DIVERSIFIED ELECTRONICS - 0.6% $ 270 First Data Corporation, 4.700% 08/01/13 $ 271 ---------- DIVERSIFIED MANUFACTURING - 0.2% 83 General Electric Company, 5.000% 02/01/13 85 ---------- ELECTRIC POWER - NON NUCLEAR - 1.2% 97 Appalachian Power Company, Series G, 3.600% 05/15/08 97 226 Cinergy Corporation, 6.250% 09/01/04 235 31 Dominion Resources, Inc., 5.000% 03/15/13 31 16 Ohio Edison Company, 4.000% 05/01/08(caret) 16 122 Pepco Holdings, Inc., 3.750% 02/15/06 124 45 Pepco Holdings, Inc., 5.500% 08/15/07 47 ---------- 550 ---------- ELECTRIC POWER - NUCLEAR - 1.9% 60 Duquesne Light Company, 6.700% 04/15/12 68 35 Energy East Corporation, 6.750% 06/15/12 39 88 FirstEnergy Corporation, Series B, 6.450% 11/15/11 92 69 FirstEnergy Corporation, Series C, 7.375% 11/15/31 71 255 Southern Company Capital Funding, Series A, 5.300% 02/01/07 276 126 Southern Power Company, Series B, 6.250% 07/15/12 138 180 Virginia Electric and Power Company, Series A, 5.375% 02/01/07 194 ---------- 878 ---------- ENERGY - MISCELLANEOUS - 1.2% 12 New York State Electric & Gas, 5.750% 05/01/23 11 140 Nisource Finance Corporation, 5.400% 07/15/14 142 370 Progress Energy, Inc., 6.050% 04/15/07 403 ---------- 556 ----------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- FINANCE - MISCELLANEOUS - 4.3% $ 214 Associates Corporation of North America, 6.950% 11/01/18 $ 252 193 CIT Group Inc., 7.375% 04/02/07 221 370 General Electric Capital Corporation, MTN, Series A, 6.750% 03/15/32 418 202 Household Finance Corporation, 5.875% 02/01/09 222 216 Household Finance Corporation, 6.375% 11/27/12 240 123 Household Finance Corporation, 7.350% 11/27/32 145 110 International Lease Finance Corporation, 4.500% 05/01/08 114 221 National Rural Utilities Cooperative Finance Corporation, 5.750% 08/28/09 243 93 National Rural Utilities Cooperative Finance Corporation, MTN, Series C, 8.000% 03/01/32 115 ---------- 1,970 ---------- FOOD AND DRUG STORES - 1.0% 384 Fred Meyer, Inc., 7.450% 03/01/08 445 10 The Kroger Company, 6.800% 04/01/11 11 12 The Kroger Company, 6.750% 04/15/12 14 ---------- 470 ---------- HEALTH SERVICES - 1.5% 178 Cardinal Health, Inc., 6.750% 02/15/11 207 377 Wellpoint Health Networks Inc., 6.375% 06/15/06 416 50 Wellpoint Health Networks Inc., 6.375% 01/15/12 56 ---------- 679 ---------- HEAVY MACHINERY - 0.8% 323 Caterpillar Finance Services Corporation, 5.950% 05/01/06 353 ---------- HOUSEHOLD PRODUCTS - 0.3% 136 Proctor & Gamble Company, 4.750% 06/15/07 146 ----------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- INSURANCE - 3.6% $ 32 Hartford Life, Inc., 7.375% 03/01/31 $ 38 8 Marsh & McLennan Companies, Inc., 5.875% 08/01/33 8 152 Mass Mutual Global Funding II, 2.550% 07/15/08(caret) 147 110 Metlife, Inc., 5.375% 12/15/12 115 110 Metlife, Inc., 6.500% 12/15/32 118 3 Nationwide Financial Services, Inc., Class A, 5.900% 07/01/12 3 50 Principal Life Global Funding, 6.125% 03/01/06(caret) 55 409 Principal Life Global, 6.250% 02/15/12(caret) 453 78 Progressive Corporation, 6.250% 12/01/32 83 52 Prudential Financial, Inc., Series B, MTN, 4.500% 07/15/13 51 399 Prudential Funding LLC, MTN, 6.600% 05/15/08(caret) 453 78 The Hartford Financial Services Group, Inc., 2.375% 06/01/06 78 72 The Hartford Financial Services Group, Inc., 4.625% 07/15/13(caret) 70 ---------- 1,672 ---------- INTEGRATED OIL - 0.8% 351 USX Corporation, 6.650% 02/01/06 387 ---------- INVESTMENT SERVICES - 10.3% 326 Bear Stearns Companies Inc., 4.000% 01/31/08 336 30 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06 33 229 Credit Suisse First Boston USA, Inc., 6.125% 11/15/11 251 52 Goldman Sachs Group, Inc., 4.125% 01/15/08 54 426 Goldman Sachs Group, Inc., 6.875% 01/15/11 490 311 Goldman Sachs Group, Inc., 6.600% 01/15/12 352 66 Goldman Sachs Group, Inc., 5.700% 09/01/12 71
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- INVESTMENT SERVICES - (CONTINUED) $ 333 Lehman Brothers Holdings Inc., 4.000% 01/22/08 $ 343 352 Lehman Brothers Holdings Inc., 7.000% 02/01/08 402 117 Lehman Brothers Holdings Inc., 7.875% 08/15/10 141 539 Merrill Lynch & Company, Inc., 6.000% 02/17/09 596 125 Merrill Lynch & Company, Inc., MTN, Series B, 2.070% 06/12/06 124 76 Merrill Lynch & Company, Inc., MTN, Series B, 3.700% 04/21/08 77 733 Morgan Stanley, 6.750% 04/15/11 ## 837 294 Morgan Stanley, 6.600% 04/01/12 332 58 Morgan Stanley, 5.300% 03/01/13 60 210 Salomon Smith Barney Holdings Inc., 6.500% 02/15/08 238 ---------- 4,737 ---------- MEDICAL DEVICES AND SUPPLIES - 0.3% 146 Bristol-Myers Squibb Company, 152 5.250% 08/15/13(caret) ---------- METALS AND MINING - 0.6% 223 Alcoa Inc., 265 7.375% 08/01/10 ---------- NATURAL GAS DISTRIBUTION - 1.0% 425 CenterPoint Energy Resources Corporation, 7.875% 04/01/13(caret) 477 ---------- NATURAL GAS PIPELINES - 1.2% 340 Kinder Morgan, Inc., 6.650% 03/01/05 363 174 Teppco Partners, LP, 7.625% 02/15/12 205 ---------- 568 ---------- OIL REFINING AND MARKETING - 0.1% 23 Valero Energy Corporation, 6.875% 04/15/12 26 13 Velero Energy Corporation, 7.500% 04/15/32 14 ---------- 40 ----------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- PAPER AND FOREST PRODUCTS - 1.0% $ 116 Champion International Corporation, 7.350% 11/01/25 $ 128 72 International Paper Company, 5.850%** 10/30/12 77 61 MeadWestvaco Corporation, 6.850% 04/01/12 69 145 MeadWestvaco Corporation, 8.200% 01/15/30 173 ---------- 447 ---------- PHARMACEUTICALS - 0.2% 73 Pharmacia Corporation, 6.600% 12/01/28 84 20 Warner Lambert Company, 6.000% 01/15/08 22 ---------- 106 ---------- PUBLISHING AND ADVERTISING - 1.4% 171 Gannett Company, Inc., 6.375% 04/01/12 194 135 Knight-Ridder, Inc., 7.125% 06/01/11 159 209 News America Holdings, 8.150% 10/17/36 257 22 News America Inc., 6.550% 03/15/33 23 ---------- 633 ---------- RAILROADS, TRUCKING AND SHIPPING - 1.5% 222 Burlington Northern Santa Fe Corporation, 6.750% 07/15/11 257 402 FedEx Corporation, 6.625% 02/12/04 409 21 Union Pacific Corporation, 4.698% 01/02/24 21 ---------- 687 ---------- REAL ESTATE - 0.5% 208 EOP Operating LP, 7.000% 07/15/11 237 11 ERP Operating LP, 5.200% 04/01/13 11 ---------- 248 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) - 0.6% 149 Health Care Property Investors, Inc., 6.450% 06/25/12 161 95 Health Care Property Investors, Inc., MTN, Series D, 7.480% 04/05/04 97 ---------- 258 ----------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES - 5.4% $ 14 AT&T Corporation, 7.800% 11/15/11 $ 16 11 AT&T Corporation, 8.500%** 11/15/31 13 50 AT&T Wireless Services Inc., 8.125% 05/01/12 59 69 AT&T Wireless Services Inc., 8.750% 03/01/31 85 83 BellSouth Corporation, 6.000% 10/15/11 92 151 BellSouth Telecommunications Inc., 6.375% 06/01/28 162 14 Citizens Communications Company, 9.250% 05/15/11 18 7 Citizens Communications Company, 9.000% 08/15/31 9 204 Cox Communications, Inc., Class A, 7.750% 11/01/10 244 40 Pacific Bell, 7.125% 03/15/26 46 196 SBC Communications Inc., 6.250% 03/15/11 219 24 Sprint Capital Corporation, 6.125% 11/15/08 26 229 Sprint Capital Corporation, 8.375% 03/15/12 270 200 Sprint Capital Corporation, 8.750% 03/15/32 238 7 Verizon Florida Inc., Series F, 6.125% 01/15/13 8 95 Verizon Global Funding Corporation, 7.750% 12/01/30 114 426 Verizon New England Inc., 6.500% 09/15/11 ## 479 348 Verizon Pennsylvania Inc., Series A, 5.650% 11/15/11 373 ---------- 2,471 ---------- TOTAL CORPORATE BONDS AND NOTES (Cost $33,874) 34,771 ---------- FOREIGN BONDS AND NOTES - 9.3% BROADCASTING AND CABLE - 0.0% + 11 Rogers Cable Inc., 6.250% 06/15/13 11 ----------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- BUILDING MATERIALS - 0.4% $ 184 Hanson Overseas BV, 6.750% 09/15/05 $ 199 ---------- CHEMICALS - SPECIALTY - 0.0%+ 14 Potash Corporation of Saskatchewan Inc., 4.875% 03/01/13 14 ---------- COMMERCIAL BANKING - 0.7% 6 Barclays Bank plc, 7.400% 12/15/09 7 322 Scotland International Finance, 4.250% 05/23/13(caret) 311 ---------- 318 ---------- DIVERSIFIED MANUFACTURING - 0.2% 81 Rio Tinto Financial Ltd., 78 2.625% 09/30/08 FOOD PRODUCTS - 1.1% 36 Unilever Capital Corporation, 6.875% 11/01/05 40 383 Unilever Capital Corporation, 7.125% 11/01/10 453 ---------- 493 ---------- INTEGRATED OIL - 1.9% 271 Conoco Funding Company, 6.350% 10/15/11 306 25 PEMEX Project Funding Master Trust, 7.875%** 02/01/09 28 392 PEMEX Project Funding Master Trust, 8.625%** 02/01/22 438 101 Petro-Canada, 4.000% 07/15/13 95 ---------- 867 ---------- METALS AND MINING - 0.7% 168 Alcan Inc., 6.450% 03/15/11 190 50 Alcan Inc., 7.250% 03/15/31 59 87 BHP Finance USA Ltd., 4.800% 04/15/13 89 ---------- 338 ---------- PUBLISHING AND ADVERTISING - 0.4% 174 Thomson Corporation, 181 ---------- 5.250% 08/15/13
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING - 0.5% $ 188 Canadian National Railway Company, 6.900% 07/15/28 $ 213 ---------- TELECOMMUNICATIONS SERVICES - 3.4% 112 British Telecommunications, plc, 8.375%** 12/15/10 138 16 British Telecommunications, plc, 8.875%** 12/15/30 21 30 Deutsche Telecom International Finance BV, 5.250% 07/22/13 30 229 Deutsche Telekom International Finance BV, 8.750% 06/15/30 290 322 France Telecom SA, 9.000%** 03/01/11 393 143 France Telecom SA, 9.750% 03/01/31 191 452 Telus Corporation, 7.500% 06/01/07 509 ---------- 1,572 ---------- TOTAL FOREIGN BONDS (Cost $4,190) 4,284 ---------- SOVEREIGN GOVERNMENT BONDS AND NOTES - 6.6% 295 Government of Canada, 5.250% 11/05/08 326 224 Hellenic Republic, 6.950% 03/04/08 259 253 Quebec (Province of), 7.500% 09/15/29 321 157 Region of Lombardy, 5.804% 10/25/32 165 101 Republic of Chile, 5.500% 01/15/13 105 448 Republic of Italy, 6.000% 02/22/11 508 237 Republic of Italy, 6.875% 09/27/23 283 84 Republic of Korea, 8.875% 04/15/08 103 343 United Mexican States, 8.375% 01/14/11 408 188 United Mexican States, 6.375% 01/16/13 198
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- SOVEREIGN GOVERNMENT BONDS AND NOTES - (CONTINUED) $ 354 United Mexican States, 7.500% 04/08/33 $ 370 ---------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $2,953) 3,046 ---------- U.S. TREASURY OBLIGATIONS - 3.3% U.S. TREASURY NOTES - 1.1% 500 2.000% 08/31/05 505 ---------- U.S. TREASURY STRIPS - 2.2% 300 Interest only, 4.389%*** 11/15/13 193 750 Interest only, 5.419%*** 05/15/23 263 500 Principal only, 2.938%*** 11/15/08 431 500 Principal only, 5.369%*** 08/15/29 127 ---------- 1,014 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,500) 1,519 ---------- SHARES (000) ------ INVESTMENT COMPANIES - 5.2% (Cost $2,417) 2,417 Nations Cash Reserves, Capital Class Shares# 2,417 ---------- TOTAL INVESTMENTS (Cost $44,934*) 99.9% 46,037 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.1% 28 ---------- NET ASSETS 100.0% $ 46,065 ==========
- -------------- * Federal income tax information (see Note 9). ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2003. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. (caret) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. + Amount represents less than 0.1%. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. ## All or a portion of security segregated as collateral for futures contracts and swaps. ABBREVIATIONS: MTN - Medium Term Note SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS HIGH INCOME PORTFOLIO SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES - 72.9% APPAREL AND TEXTILES - 0.6% $ 78 Dan River Inc., 12.750% 04/15/09(caret) $ 61 --------- AUTOMOTIVE - 1.3% 131 American Axle & Manufacturing, 9.750% 03/01/09 141 --------- BROADCASTING AND CABLE - 5.2% 133 Charter Communications Holdings LLC, 10.000% 05/15/11 101 423 EchoStar DBS Corporation, 9.375% 02/01/09## 451 --------- 552 --------- BUILDING MATERIALS - 1.4% 148 Nortek Holdings, Inc., Series B, 8.875% 08/01/08 153 --------- CHEMICALS - BASIC - 1.8% 200 Lyondell Chemical Company, Series B, 9.875% 05/01/07 191 --------- CHEMICALS - SPECIALTY - 2.4% 92 Equistar Chemical Funding, 10.625% 05/01/11(caret) 91 89 Georgia Gulf Corporation, 10.375% 11/01/07 94 80 PolyOne Corporation, 10.625% 05/15/10 68 --------- 253 --------- COMMERCIAL SERVICES - 2.6% 131 Allied Waste North America, Inc., Series B, 7.375% 01/01/04 132 135 Browning-Ferris Industries, Inc., 7.875% 03/15/05 141 --------- 273 --------- COMPUTER SERVICES - 0.7% 10 Unisys Corporation, 8.125% 06/01/06 11 56 Unisys Corporation, 7.875% 04/01/08 58 --------- 69 --------- CONSTRUCTION - 3.1% 114 Standard Pacific Corporation, 6.500% 10/01/08 114 200 Technical Olympic USA, Inc., 10.375% 07/01/12## 215 --------- 329 ---------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS HIGH INCOME PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------------- DEPARTMENT AND DISCOUNT STORES - 0.4% $ 47 Dillard's, Inc., Class A, 6.125% 11/01/03 $ 47 --------- DIVERSIFIED MANUFACTURING - 0.7% 36 Avondale Mills Inc., 10.250% 07/01/13(caret) 32 39 Fastentech Inc., 11.500% 05/01/11(caret) 41 --------- 73 --------- ELECTRIC POWER - NON NUCLEAR - 5.0% 99 AES Corporation, 9.375% 09/15/10 101 182 Calpine Corporation, 8.750% 07/15/13(caret) 167 60 Cms Energy Corporation, Series B, 6.750% 01/15/04 60 75 Edison Mission Energy, 9.875% 04/15/11 64 141 West Penn Power Company, Series A, MTN, 6.375% 06/01/04 139 --------- 531 --------- ELECTRIC POWER - NUCLEAR - 1.9% 202 Kansas Gas & Electric Company, 7.600% 12/15/03## 202 --------- ELECTRICAL EQUIPMENT - 1.1% 74 Salt Holdings Corporation Inc., (0.000%) due 06/01/13 12.000% beginning 06/01/08 44 77 Salton Inc., 12.250% 04/15/08 76 S --------- 120 --------- EXPLORATION AND PRODUCTION - 1.5% 84 Magnum Hunter Resources, Inc., 10.000% 06/01/07 87 70 Nuevo Energy Company, Series B, 9.500% 06/01/08 74 --------- 161 --------- HEAVY MACHINERY - 2.3% 241 Case Corporation, Series B, 6.250% 12/01/03 241 --------- HOUSEHOLD PRODUCTS - 0.4% 33 Elizabeth Arden, Inc., Series B, 11.750% 02/01/11 38 ---------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS HIGH INCOME PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------------- HOUSING AND FURNISHING - 2.6% $ 130 D.R. Horton, Inc., 10.500% 04/01/05 $ 142 126 Standard Pacific Corporation, 9.250% 04/15/12 138 --------- 280 --------- INTEGRATED OIL - 0.9% 119 Coastal Corporation, 7.750% 06/15/10 99 --------- LODGING AND RECREATION - 3.8% 67 Boyd Gaming Corporation, 9.250% 10/01/03 67 250 Station Casinos Inc., 8.375% 02/15/08## 269 61 Station Casinos Inc., 8.875% 12/01/08 64 --------- 400 --------- METALS AND MINING - 4.1% 100 Compass Minerals Group, Inc., 10.000% 08/15/11 111 120 Earle M. Jorgensen Company, 9.750% 06/01/12 128 194 Ryerson Tull, Inc., Class A, 9.125% 07/15/06 191 --------- 430 --------- NATURAL GAS PIPELINES - 8.9% 165 EL Paso CGP Company, 6.200% 05/15/04 164 173 EL Paso Corporation, 6.750% 11/15/03 173 75 Southern Natural Gas Company, 8.875% 03/15/10 80 152 The Williams Companies, Inc., 9.250% 03/15/04 155 63 The Williams Companies, Inc., 8.625% 06/01/10 67 303 Utilicorp United Inc., 7.000% 07/15/04## 301 --------- 940 --------- OILFIELD SERVICES - 2.0% 96 Parker Drilling Company, Series D, 9.750% 11/15/06 98 108 Pride International, Inc., 9.375% 05/01/07 111 --------- 209 ---------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS HIGH INCOME PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------------- PACKAGING AND CONTAINERS - 4.1% $ 75 Owens-Brockway Glass Containers, Inc., 8.875% 02/15/09 $ 80 150 Owens-Brockway Glass Containers, Inc., 7.750% 05/15/11 155 200 Owens-Illinois, Inc., 7.150% 05/15/05## 205 --------- 440 --------- PAPER AND FOREST PRODUCTS - 5.8% 100 Fibermark Inc., 10.750% 04/15/11 67 207 Georgia-Pacific Corporation, 7.375% 07/15/08(caret) 213 200 Louisiana-Pacific Corporation, 8.500% 08/15/05## 217 100 Louisiana-Pacific Corporation, 10.875% 11/15/08(caret) 116 --------- 613 --------- SEMICONDUCTORS - 0.4% 39 Fairchild Semiconductor Corporation, Class A, 10.500% 02/01/09 43 --------- STEEL - 1.0% 126 Oregon Steel Mills Inc., 10.000% 07/15/09 103 --------- TELECOMMUNICATIONS SERVICES - 6.9% 500 Nextel Communications, 9.950% 02/15/08## 525 182 Qwest Services Corporation, 13.500% 12/15/10(caret) 212 --------- 737 --------- TOTAL CORPORATE BONDS AND NOTES (Cost $7,663) 7,729 --------- FOREIGN BONDS AND NOTES - 9.8% CHEMICALS - SPECIALTY - 2.0% 200 Methanex Corporation, 7.750% 08/15/05 209 --------- HEAVY MACHINERY - 1.1% 113 Case New Holland Inc., 9.250% 08/01/11(caret) 121 --------- INSURANCE - 0.8% 89 Fairfax Financial Holdings Limited, 7.750% 12/15/03 89 --------- PAPER AND FOREST PRODUCTS - 5.4% 200 Ainsworth Lumber Company Ltd., 12.500% 07/15/07 229
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS HIGH INCOME PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ------------------------------------------------------------------------------------------------- PAPER AND FOREST PRODUCTS - (CONTINUED) $ 316 Stone Container Corporation, 11.500% 08/15/06(caret) $ 336 --------- 565 --------- STEEL - 0.5% 53 Russel Metals Inc., 10.000% 06/01/09 56 --------- TOTAL FOREIGN BONDS AND NOTES (Cost $999) 1,040 --------- MORTGAGE-BACKED SECURITIES - 7.3% FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES - 4.7% 500 FNMA, 2.125% 04/15/06 503 --------- FINANCE - MISCELLANEOUS - 2.6% 180 Qwest Bank Loan Tranche, 6.000% 06/30/07 184 90 Qwest Bank Loan Tranche, 6.950% 06/30/10 88 --------- 272 --------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $760) 775 --------- SHARES ------ WARRANTS - 0.0%+ (Cost $0) ++ CHEMICALS - SPECIALTY - 0.0%+ 225 Solutia Inc., Expire 07/15/09 (a) = 2 ---------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS HIGH INCOME PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
SHARES VALUE (000) (000) - ------------------------------------------------------------------------------------------------- INVESTMENT COMPANIES - 9.1% (Cost $965) 965 Nations Cash Reserves, Capital Class Shares # $ 965 --------- TOTAL INVESTMENTS (Cost $10,387*) 99.1% 10,511 --------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.9% 98 --------- NET ASSETS 100.0% $ 10,609 =========
- --------------- * Federal income tax information (see Note 9). = Non-income producing security. (caret) Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. + Amount represents less than 0.1%. ++ Amount represents less than $500. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. ## All or a portion of security segregated as collateral for swaps. (a)Fair valued security. ABBREVIATIONS: MTN - Medium Term Note SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS MORTGAGE AND ASSET BACKED PORTFOLIO SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES - 0.2% ASSET-BACKED - AUTO LOANS - 0.2% $ 46 Ford Credit Auto Owner Trust, Series 2000-E, Class A5, 6.770% 10/15/04 $ 46 64 Harley-Davidson Motorcycle Trust, Series 2002-1, Class A1, 3.020% 09/15/06 65 39 Honda Auto Receivables Owner Trust, Series 2001-2, Class A3, 4.670% 03/18/05 39 --------- TOTAL ASSET-BACKED SECURITIES (Cost $150) 150 --------- MORTGAGE-BACKED SECURITIES - 78.6% COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.4% 82 Freddie Mac, Series 2420, Class EC, 6.500% 03/15/30 83 112 Freddie Mac, Series 2434, Class PN, 6.500% 05/15/29 114 43 Freddie Mac, Series 2458, Class PC, 6.500% 02/15/26 43 --------- 240 --------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES - 0.2% 141 6.500% 11/01/32 147 --------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES - 68.2% 12,713 5.000% 03/01/18 13,023 95 6.500% 08/25/29 96 4,100 6.500% 02/01/32 4,273 250 7.000% 02/01/32 265 22 7.000% 06/01/32 24 1,413 6.500% 07/01/32 1,473 8,400 6.500% 01/01/33 8,756 11,120 5.000% 05/01/33 11,120 4,045 6.500% 09/01/33 4,207 --------- 43,237 --------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES - 9.8% 70 7.000% 03/15/31 75 5,958 5.500% 12/01/32 6,106 --------- 6,181 --------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $49,297) 49,805 --------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 38.3% FEDERAL HOME LOAN BANK (FHLB) - 15.0% 8,500 Discount note 10/15/03 ## 8,497 1,000 Discount note 10/24/03 ## 999 --------- 9,496 ---------
SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS MORTGAGE AND ASSET BACKED PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2003 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------------------------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 2.0% $ 1,250 Discount note 10/20/03 ## $ 1,249 --------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 16.6% 10,500 Discount note 10/15/03 ## 10,496 --------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES - 4.7% 1,500 Discount note 10/01/03 ## 1,500 1,500 Discount note 10/02/03 ## 1,500 --------- 3,000 --------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $24,241) 24,241 --------- U.S. TREASURY OBLIGATIONS - 4.0% U.S. TREASURY STRIPS - 4.0% 250 Interest only, 88 0.000%*** 05/15/23 1,500 Principal only, 1,291 0.000%*** 11/15/08 1,315 TIGR Receipts, 0.000%*** 02/15/08 1,171 --------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,524) 2,550 --------- Shares (000) ------ INVESTMENT COMPANIES - 32.5% (Cost $20,601) 20,601 Nations Cash Reserves, Capital Class Shares # 20,601 --------- TOTAL INVESTMENTS (Cost $96,813*) 153.6% 97,347 --------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (53.6)% (33,968) --------- NET ASSETS 100.0% $ 63,379 =========
- ---------------- * Federal income tax information (see Note 9). *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2003. # Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. ## All or a portion of security segregated as collateral for futures contracts and swaps. ABBREVIATIONS: TIGR - Treasury Investor Growth Receipt SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) SEPTEMBER 30, 2003
CORPORATE HIGH MORTGAGE-AND BOND INCOME ASSET-BACKED (IN THOUSANDS) PORTFOLIO PORTFOLIO PORTFOLIO ---------- ---------- ------------- ASSETS: Investments, at value (cost $44,934, $10,387 and $96,813, respectively) $ 46,037 $ 10,511 $ 97,347 Cash 22 7 59 Unrealized appreciation on swap contracts 21 40 - Receivable for investment securities sold - - 6,282 Receivable for Fund units sold -* -* 48 Dividends receivable 1 1 11 Interest receivable 622 219 181 --------- --------- --------- Total assets 46,703 10,778 103,928 ========= ========= ========= LIABILITIES: Payable for investment securities purchased (627) (164) (40,408) Payable for variation margin (10) - (41) Payable for Fund shares redeemed -* - - Accrued other liabilities (1) (5) (100) --------- --------- --------- Total liabilities (638) (169) (40,549) ========= ========= ========= NET ASSETS $ 46,065 $ 10,609 $ 63,379 ========= ========= ========= NET ASSETS CONSIST OF: Undistributed net investment income / (distributions in excess of net investment income) $ (1) $ 12 $ 1 Accumulated net realized gain/(loss) on investments sold, swaps, options and futures contracts 122 320 (182) Net unrealized appreciation of investments, swaps, options and futures contracts 1,058 164 499 Paid-in capital 44,886 10,113 63,061 --------- --------- --------- NET ASSETS $ 46,065 $ 10,609 $ 63,379 ========= ========= ========= Net asset value per unit of beneficial interest ($46,065,311 / 4,400,730 shares outstanding, $10,609,348 / 1,014,115 shares outstanding and $63,378,879 / 6,297,381, respectively) $ 10.47 $ 10.46 $ 10.06 ========= ========= =========
- ---------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2003
CORPORATE HIGH MORTGAGE- AND BOND INCOME ASSET-BACKED (IN THOUSANDS) PORTFOLIO PORTFOLIO PORTFOLIO --------- --------- ------------- INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $0, $0 and $0, respectively) $ - $ 4 $ - Interest 401 468 153 Dividend income from affiliated funds 2 6 30 ------- ------- ------- Total investment income 403 478 183 ------- ------- ------- NET INVESTMENT INCOME 403 478 183 ------- ------- ------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions 134 174 (58) Futures contracts 45 - (66) Written options - - (20) Swap contracts (21) 146 (20) ------- ------- ------- Net realized gain/(loss) on investments 158 320 (164) ------- ------- ------- Change in unrealized appreciation/(depreciation) of: Securities 799 (13) 541 Futures contracts (65) - (34) Written options - - -* Swap contracts 31 8 - ------- ------- ------- Net change in unrealized appreciation/(depreciation) of investments 765 (5) 507 ------- ------- ------- Net realized and unrealized gain/(loss) on investments 923 315 343 ------- ------- ------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,326 $ 793 $ 526 ======= ======= =======
- ---------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
CORPORATE BOND PORTFOLIO ---------------------------- SIX MONTHS ENDED 9/30/03 PERIOD ENDED (IN THOUSANDS) (UNAUDITED) 3/31/03 (a) ---------------------------- Net investment income $ 403 $ 298 Net realized gain/(loss) on investments 158 125 Net change in unrealized appreciation/(depreciation) of investments 765 293 -------------------------- Net increase/(decrease) in net assets resulting from operations 1,326 716 Distributions to shareholders from net investment income (413) (289) Distributions to shareholders from net realized gain on investments (66) (95) Net increase/(decrease) in net assets from Portfolio share transactions 30,446 14,440 -------------------------- Net increase/(decrease) in net assets 31,293 14,772 NET ASSETS: Beginning of period 14,772 -* -------------------------- End of period $ 46,065 $ 14,772 ========================== Undistributed net investment income/(distributions in excess of net investment income) at end of period $ (1) $ 9 ==========================
HIGH INCOME PORTFOLIO ---------------------------- SIX MONTHS ENDED 9/30/03 PERIOD ENDED (IN THOUSANDS) (UNAUDITED) 3/31/03 (a) ---------------------------- Net investment income $ 478 $ 366 Net realized gain/(loss) on investments 320 69 Net change in unrealized appreciation/(depreciation) of investments (5) 169 -------------------------- Net increase/(decrease) in net assets resulting from operations 793 604 Distributions to shareholders from net investment income (480) (352) Distributions to shareholders from net realized gain on investments (60) (9) Net increase/(decrease) in net assets from Portfolio share transactions (2,287) 12,400 -------------------------- Net increase/(decrease) in net assets (2,034) 12,643 NET ASSETS: Beginning of period 12,643 -* -------------------------- End of period $ 10,609 $ 12,643 ========================== Undistributed net investment income/(distributions in excess of net investment income) at end of period $ 12 $ 14 ==========================
MORTGAGE- AND ASSET-BACKED PORTFOLIO ---------------------------- SIX MONTHS ENDED 9/30/03 PERIOD ENDED (IN THOUSANDS) (UNAUDITED) 3/31/03 (a) ---------------------------- Net investment income $ 183 $ 61 Net realized gain/(loss) on investments (164) 103 Net change in unrealized appreciation/(depreciation) of investments 507 (8) ------------------------- Net increase/(decrease) in net assets resulting from operations 526 156 Distributions to shareholders from net investment income (184) (59) Distributions to shareholders from net realized gain on investments (94) (27) Net increase/(decrease) in net assets from Portfolio share transactions 53,926 9,135 ------------------------- Net increase/(decrease) in net assets 54,174 9,205 NET ASSETS: Beginning of period 9,205 -* ------------------------- End of period $ 63,379 $ 9,205 ========================= Undistributed net investment income/(distributions in excess of net investment income) at end of period $ 1 $ 2 =========================
- ---------- (a) Portfolio commenced operations on August 30, 2002. * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
CORPORATE BOND PORTFOLIO ------------------------------------------------------- SIX MONTHS ENDED PERIOD ENDED SEPTEMBER 30, 2003 (UNAUDITED) MARCH 31, 2003 (a) ------------------------------ --------------------- (IN THOUSANDS) SHARES DOLLARS SHARES DOLLARS ------------------------------ --------------------- Sold 4,433 $ 45,707 1,395 $ 14,077 Issued as reinvestment of dividends 17 176 36 363 Redeemed (1,480) (15,437) -* -* ------------------------- -------------------- Net increase 2,970 $ 30,446 1,431 $ 14,440 ========================= ====================
- ---------- (a) Portfolio commenced operations on August 30, 2002. * Amount represents less than 500 shares and / or $500, as applicable.
HIGH INCOME PORTFOLIO ------------------------------------------------------- SIX MONTHS ENDED PERIOD ENDED SEPTEMBER 30, 2003 (UNAUDITED) MARCH 31, 2003 (a) ------------------------------ --------------------- (IN THOUSANDS) SHARES DOLLARS SHARES DOLLARS ------------------------------ --------------------- Sold 1,172 $ 12,224 1,200 $ 12,043 Issued as reinvestment of dividends 39 412 35 359 Redeemed (1,432) (14,923) -* (2) ------------------------- -------------------- Net increase/(decrease) (221) $ (2,287) 1,235 $ 12,400 ========================= ====================
- ---------- (a) Portfolio commenced operations on August 30, 2002. * Amount represents less than 500 shares and / or $500, as applicable.
MORTGAGE- AND ASSET-BACKED PORTFOLIO ------------------------------------------------------- SIX MONTHS ENDED PERIOD ENDED SEPTEMBER 30, 2003 (UNAUDITED) MARCH 31, 2003 (a) ------------------------------ --------------------- (IN THOUSANDS) SHARES DOLLARS SHARES DOLLARS ------------------------------ --------------------- Sold 6,595 $ 66,041 899 $ 9,056 Issued as reinvestment of dividends 4 45 8 79 Redeemed (1,208) (12,160) -* -* ------------------------ -------------------- Net increase 5,391 $ 53,926 907 $ 9,135 ======================== ====================
- ---------- (a) Portfolio commenced operations on August 30, 2002. * Amount represents less than 500 shares and / or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS CORPORATE BOND PORTFOLIO FINANCIAL HIGHLIGHTS FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
SIX MONTHS ENDED 9/30/03 PERIOD ENDED (UNAUDITED) 3/31/03 * ------------- ------------ Net asset value, beginning of period $ 10.33 $ 10.00 ---------- ---------- Investment income from operations: Net investment income # 0.25 0.44 Net realized and unrealized gain on investments 0.19 0.24 ---------- ---------- Net increase in net assets resulting from investment operations 0.44 0.68 Distributions to shareholders: Dividends from net investment income (0.25) (0.26) Distributions from net realized gains (0.05) (0.09) ---------- ---------- Total dividends and distributions (0.30) (0.35) Net asset value, end of period $ 10.47 $ 10.33 ========== ========== Total return ++ 4.25% 6.99% RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (000) $ 46,065 $ 14,772 Ratio of net investment income to average net assets 4.58%+ 4.66%+ Portfolio turnover rate 51% 183%
- ---------- * Portfolio commenced operations on August 30, 2002. + Annualized. ++ Total return represents aggregate total return for the period indicated and assumes reinvestment of all distributions. # Per share net investment income has been calculated using the monthly average shares method. SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS HIGH INCOME PORTFOLIO FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
SIX MONTHS ENDED 9/30/03 PERIOD ENDED (UNAUDITED) 3/31/03 * ------------- ------------ Net asset value, beginning of period $ 10.24 $ 10.00 ---------- ---------- Investment income from operations Net investment income # 0.45 0.35 Net realized and unrealized gain on investments 0.28 0.24 ---------- ---------- Net increase in net assets resulting from investment operations 0.73 0.59 Distributions to shareholders: Dividends from net investment income (0.45) (0.34) Distributions from net realized gains (0.06) (0.01) ---------- ---------- Total dividends and distributions (0.51) (0.35) Net asset value, end of period $ 10.46 $ 10.24 ========== ========== Total return ++ 7.26% 6.02% RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (000) $ 10,609 $ 12,643 Ratio of net investment income to average net assets 8.40%+ 6.12%+ Portfolio turnover rate 143% 84%
- ---------- * Portfolio commenced operations on August 30, 2002. + Annualized. ++ Total return represents aggregate total return for the period indicated and assumes reinvestment of all distributions. # Per share net investment income has been calculated using the monthly average shares method. SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS MORTGAGE- AND ASSET-BACKED PORTFOLIO FINANCIAL HIGHLIGHTS (CONTINUED) FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD.
SIX MONTHS ENDED 9/30/03 PERIOD ENDED (UNAUDITED) 3/31/03 * ------------- ------------ Net asset value, beginning of period $ 10.15 $ 10.00 ---------- ---------- Investment income from operations Net investment income # 0.10 0.17 Net realized and unrealized gain on investments -** 0.14 ---------- ---------- Net increase in net assets resulting from investment operations 0.10 0.31 Distributions to shareholders: Dividends from net investment income (0.10) (0.10) Distributions from net realized gains (0.09) (0.06) ---------- ---------- Total dividends and distributions (0.19) (0.16) Net asset value, end of period $ 10.06 $ 10.15 ========== ========== Total return ++ 1.04% 3.08% RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (000) $ 63,379 $ 9,205 Ratio of net investment income to average net assets 2.09%+ 1.82%+ Portfolio turnover rate 405% 688%
- ---------- * Portfolio commenced operations on August 30, 2002. ** Amount represents less than $0.01. + Annualized. ++ Total return represents aggregate total return for the period indicated and assumes reinvestment of all distributions. # Per share net investment income has been calculated using the monthly average shares method. SEE NOTES TO FINANCIAL STATEMENTS. 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, 2003, Funds Trust offered fifty-seven separate portfolios. These financial statements pertain to the following portfolios of Funds Trust: Corporate Bond Portfolio, Mortgage- and Asset-Backed Portfolio and High Income Portfolio (each a "Portfolio" and collectively, the "Portfolios"). The Portfolios are only available through certain wrap fee programs and certain other managed accounts, including those sponsored or managed by Bank of America and its affiliates. There are certain risks involved in investing in foreign securities that are in addition to the usual risks inherent in domestic instruments. These risks include those resulting from currency fluctuations, future adverse political and economic developments and possible imposition of currency exchange blockages or other foreign government laws or restrictions. The ability of issuers of debt securities held by the Portfolios to meet their obligations may be affected by economic and political developments in a specific country, industry or region. The High Income Portfolio principally invests in high yield securities (sometimes called "junk bonds"), which are generally considered speculative because they present a greater risk of loss, including default, than higher quality debt securities. These securities pay a premium - a high interest rate or yield - because of the increased risk of loss. These securities can also be subject to greater price volatility. 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 Portfolios in the preparation of their financial statements. Securities valuation: Securities, including options and futures contracts, traded on a recognized exchange are valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on NASDAQ are valued at the NASDAQ official closing price. Securities which are primarily traded on foreign securities exchanges are valued at the last available closing values on their respective exchanges where primarily traded, or at the mean between the closing bid and ask prices if no sales are recorded. Securities are generally valued using prices provided by a pricing service or based upon broker-dealer quotations. Certain prices provided by broker-dealers NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) or the pricing service may be based on a matrix pricing system, which considers such factors as security prices, yields and maturities on comparable securities. Certain securities may be valued based upon quotes provided by one or more principal market makers. Restricted securities, securities for which market quotations are not readily available, and certain other assets may be valued under procedures adopted by the Board of Trustees. Short-term investments that mature in 60 days or less are valued at amortized cost, which approximates current market value. Investments in other Nations Funds are valued at their net asset value as determined by the applicable Nations Funds' prospectus. Futures contracts: The Portfolios may invest in futures contracts for the purposes of hedging against changes in values of the Portfolios' securities or changes in the prevailing levels of interest rates or currency exchange rates or to enhance the Portfolios' return. Upon entering into a futures contract, a Portfolio is required to deposit with the broker an amount of cash or liquid securities equal to a specified percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by a Portfolio each day, depending on the daily fluctuation of the value of the contract. During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by "marking-to-market" on a daily basis to reflect the changes in market value of the contract. When the contract is closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into. Risks of investments in futures contracts include the possible adverse movement of the securities or indices underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts, that a change in the value of the contract may not correlate with a change in the value of the underlying securities, or that the counterparty to a contract may default on its obligation to perform. Options: The Portfolios may purchase and write call and put options on securities, futures and swap contracts ("swaptions"). A Portfolio may use such options on futures contracts in connection with its hedging strategies in lieu of purchasing and writing options directly on the underlying securities or stock indices or purchasing and selling the underlying futures, and to seek to enhance return. The Portfolios 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 Portfolio's objective. Call options written by a Portfolio give the holder the right to buy the underlying securities from the Portfolio at a stated exercise price; put options give the holder the right to sell the underlying security to the Portfolio at a stated price. In the case of put NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) options, a Portfolio is required to maintain in a separate account liquid assets with a value equal to or greater than the exercise price of the underlying securities. The Portfolios may also write combinations of covered puts and calls on the same underlying security. When a Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When a Portfolio 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 Portfolios typically receive a premium from writing a put or call option, which would increase the Portfolios' 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 Portfolio 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 Portfolio assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss if the purchase price exceeds the market value plus the amount of the premium received, unless the security subsequently appreciates in value. A Portfolio may terminate an option that it has written prior to its expiration by entering into a closing purchase transaction in which it purchases an option having the same terms as the option written. The Portfolio will realize a profit or loss from such transaction if the cost of such transaction is less or more than the premium received from the writing of the option. In the case of a put option, any loss so incurred may be partially or entirely offset by the premium received. 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 Portfolio. Swaps: The Portfolios may engage in swap transactions such as interest rate, total return, index or currency swaps, consistent with their investment objective and policies to obtain a desired return at a lower cost than if the Portfolio had invested directly in the asset that yielded the desired return. Swaps involve the exchange by the Portfolio with another party of their respective commitments to pay or receive interest or total return throughout the lives of the agreements. The interest to be paid or received on interest rate swaps is included in interest income. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of net assets. A realized gain or loss is recorded upon termination of swap agreements and is equal to the difference between the Portfolio's basis in the swap and the proceeds from (or cost of) the closing transaction. NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 Portfolio 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 Portfolio will succeed in pursuing contractual remedies. A Portfolio 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 related amounts recognized in the Statements of net assets. When-issued/delayed delivery securities: Securities purchased or sold on a when-issued or delayed-delivery basis may be settled a month or more after trade date; interest income is not accrued until settlement date. At the time a Portfolio enters into such transactions, it is required to have segregated assets with a current value at least equal to the amount of its when-issued or delayed-delivery purchase commitments. Credit risks exist on these commitments to the extent of any unrealized losses on the underlying securities purchased and any unrealized gains on the underlying securities sold. Market risk exists on these commitments to the same extent as if the securities were owned on a settled basis and losses are recorded and reported in the same manner. Stripped securities: Stripped mortgage-backed securities are derivative multi-class mortgage securities structured so that one class receives most, if not all, of the principal from the underlying mortgage assets, while the other class receives most, if not all, of the interest and the remainder of the principal. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Portfolio may fail to fully recoup its initial investment in an interest-only security. The market value of these securities consisting entirely of principal payments can be extremely volatile in response to changes in interest rates. Credit risk reflects the risk that a Portfolio may not receive all or part of its principal because the issuer or credit enhancer has defaulted on its obligation. Dollar Rolls: The Portfolios may enter into dollar rolls in which the Portfolio sells mortgage-backed securities for delivery in the current month and simultaneously contracts to repurchase substantially similar (same type, coupon, and maturity) securities on a specified future date. During the roll period, the Portfolio forgoes principal and interest paid on the securities. The Portfolio's policy is to record the component of dollar NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) rolls using "to be announced" mortgage-backed securities ("TBA Dollar Rolls") as purchase and sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the trade date of the sale transaction. Mortgage- & Asset-Backed Portfolio had dollar rolls outstanding as of September 30, 2003, which are included in Payable for investment securities purchased on its Statement of assets and liabilities. Each Portfolio maintains a segregated account of U.S. Government securities or other liquid assets, the dollar value of which is equal to its obligation with respect to dollar rolls. 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 (including dividend income from affiliated funds) is recorded on ex-dividend date. Dividends and distributions to shareholders: It is the policy of each Portfolio to declare and pay dividends from net investment income monthly. Each Portfolio will distribute net realized capital gains (including net short-term capital gains) at least annually after the fiscal year in which the capital gains were earned, unless offset by any available capital loss carryforward. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income distributions and capital gain distributions 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 Portfolio 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. 2. INVESTMENT ADVISORY FEE, ADMINISTRATION FEE AND RELATED PARTY TRANSACTIONS Funds Trust has entered into an investment advisory agreement (the "Investment Advisory Agreements") with Banc of America Capital Management, LLC ("BACAP"), 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 BACAP provides investment advisory services to the Portfolios. BACAP does not receive any fee for its investment advisory services and has agreed to bear all fees and expenses of the Portfolios, except taxes, brokerage fees and commissions costs, including interest NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) expenses of borrowing money, extraordinary expenses, and any applicable rule 12b-1 fees, shareholder servicing fees and/or shareholder administration fees. BACAP Distributors, LLC ("BACAP Distributors"), a wholly-owned subsidiary of Bank of America, serves as sole administrator of Funds Trust. Under the administration agreement, BACAP Distributors does not receive any fee for its services. The Bank of New York ("BNY") serves as sub-administrator of Funds Trust pursuant to agreements with BACAP Distributors. The Portfolios do not incur any fees or expenses. Participants in the wrap fee programs eligible to invest in the Portfolios are required to pay fees to the program sponsor pursuant to separate agreements and should review the wrap program disclosure document for fees and expenses charged. BNY serves as the custodian of the Funds Trust's assets. PFPC Inc. serves as the transfer agent for the Portfolios' shares. BACAP Distributors serves as distributor of the Portfolios' shares. BACAP Distributors does not receive a fee for its services. No officer, director or employee of Bank of America, BACAP Distributors or BACAP, or any affiliate thereof, receives any compensation from Funds Trust for serving as Trustee or Officer of Funds Trust. A significant portion of the Portfolios represent investments by fiduciary accounts over which Bank of America has either sole or joint discretion. The Portfolios have made daily investments of cash balances in the 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 Portfolio from such investments is included in its Statement of operations as "Dividend income from affiliated funds". BACAP and BACAP Distributors have earned fees related to investments in affiliated funds. NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. PURCHASES AND SALES OF SECURITIES The aggregate cost of purchases and proceeds from sales of securities, excluding long-term U.S. government securities and short-term investments, for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) --------- ------- Corporate Bond............. $32,669 $ 4,937 High Income................ 11,236 10,829 Mortgage-and Asset-Backed.. 147 -
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2003 were as follows:
PURCHASES SALES (000) (000) --------- ------- Corporate Bond............. $ 3,967 $ 4,150 High Income................ 493 702 Mortgage-and Asset-Backed.. 111,114 66,202
4. FUTURES CONTRACTS At September 30, 2003, the following Portfolios had futures contracts open:
UNREALIZED VALUE OF APPRECIATION / NUMBER OF CONTRACT WHEN MARKET VALUE OF (DEPRECIATION) DESCRIPTION CONTRACTS OPENED (000) CONTRACTS (000) (000) - ------------------------------------------------------------------------------------------------------------ CORPORATE BOND PORTFOLIO: U.S. 2 year Treasury Note Futures (long position) expiring December 2003 (a) 5 $ 1,064 $ 1,078 $ 14 U.S. 5 year Treasury Note Futures (long position) expiring December 2003 (a) 15 1,677 1,702 25 U.S. 10 year Treasury Note Futures (long position) expiring December 2003 (a) 7 741 785 44 U.S. 10 year Treasury Note Futures (short position) expiring December 2003 (a) (33) (3,634) (3,783) (149) ----- Total net unrealized depreciation $ (66) =====
NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
UNREALIZED VALUE OF APPRECIATION / NUMBER OF CONTRACT WHEN MARKET VALUE OF (DEPRECIATION) DESCRIPTION CONTRACTS OPENED (000) CONTRACTS (000) (000) - ------------------------------------------------------------------------------------------------------------ MORTGAGE- AND ASSET-BACKED PORTFOLIO: U.S. 5 year Treasury Note Futures (long position) expiring December 2003 (a) 7 $ 785 $ 794 $ 9 U.S. 10 year Treasury Note Futures (short position) expiring December 2003 (a) (14) (1,573) (1,604) (31) U.S. 20 year Treasury Bond Futures (short position) expiring December 2003 (a) (4) (436) (449) (13) ---- Total net unrealized depreciation $(35) ====
- ---------- (a) Securities have been segregated as collateral for the Portfolios' open futures contracts. 5. WRITTEN OPTIONS Written options for the Mortgage- and Asset-Backed Portfolio six months ended September 30, 2003 aggregated the following:
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS CONTRACTS (000) - ------------------------------------------------------------ Outstanding at March 31, 2003........ 0.24 $ 2 Contracts opened..................... 4.58 27 Contracts closed..................... (1.56) (9) Contracts expired.................... (3.26) (20) ----- ----- Outstanding at September 30, 2003.... --- $ --- ===== =====
6. SWAP CONTRACTS NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At September 30, 2003, the following Portfolios had swap contracts outstanding:
UNREALIZED NOTIONAL PAYMENTS PAYMENTS APPRECIATION / AMOUNT MADE BY RECEIVED BY (DEPRECIATION) DESCRIPTION (000) THE PORTFOLIO THE PORTFOLIO (000) - --------------------------------------------------------------------------------------------------------------------- CORPORATE BOND PORTFOLIO: Contract with Lehman Brothers Inc., effective October 16, Monthly Lehman 2002, expiring November 1-month LIBOR Brother U.S. Credit 1, 2003 (a)...................... $ 1,000 + 0.90% Index $ 21 ======== HIGH INCOME PORTFOLIO: Contract with Merrill Lynch Corporate and Institutional Client Group, effective Monthly Merrill January 31, 2003, expiring 1-month LIBOR Lynch U.S. High February 1, 2004 (a)............. $ 2,000 + 0.65% Yield Index $ 40 ======== MORTGAGE- AND ASSET-BACKED PORTFOLIO: Contract with Morgan Stanley, Lehman CMBS Aaa effective Index September 30, 2003, (Prior floating rate Lehman CMBS expiring December 31, minus current floating Aaa Index Spread 2003 (a)......................... $ 1,200 rate) x factor + 0.44% $ - ========
- ---------- (a) Fair value. 7. SHARES OF BENEFICIAL INTEREST As of September 30, 2003, an unlimited number of shares of beneficial interest without par value were authorized for Funds Trust. See Schedules of capital stock activity. 8. LINE 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"). The Agreement is renewable on an annual basis in June of each year. 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 Portfolio maintains a ratio of net assets (not NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) including amounts borrowed pursuant to the Agreement) to the aggregate amount of indebtedness pursuant to the Agreement of no less than 4 to 1. The Portfolios had no borrowings outstanding at September 30, 2003. 9. INCOME TAXES At September 30, 2003, the cost of investments for federal income tax purposes, gross unrealized appreciation, gross unrealized depreciation and net unrealized appreciation/(depreciation) of investments for each Portfolio were as follows:
NET TAX NET TAX UNREALIZED COST OF UNREALIZED APPRECIATION/ INVESTMENTS GROSS TAX GROSS TAX APPRECIATION/ (DEPRECIATION) FOR TAX UNREALIZED UNREALIZED (DEPRECIATION) ON ON DERIVATIVE PURPOSES APPRECIATION DEPRECIATION INVESTMENTS SECURITIES PORTFOLIO (000) (000) (000) (000) (000) - ------------------------------------------------------------------------------------------------------------- Corporate Bond $45,782 $1,107 $ (4) $1,103 $ (45) High Income 12,387 232 (108) 124 40 Mortgage- and Asset-Backed 96,813 539 (5) 534 (35)
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, 2003, the following Portfolios elected to defer losses occurring between November 1, 2002 and March 31, 2003 under these rules, as follows:
CAPITAL LOSSES DEFERRED PORTFOLIO (000) - ---------------------------------------------------------------- Corporate Bond $ 26 Mortgage- and Asset-Backed 16
10. EVENTS On September 3, 2003, the Office of the Attorney General for the State of New York ("NYAG") simultaneously filed and settled a complaint against Canary Capital Partners, LLC, et al. (collectively, "Canary"). The complaint alleged, among other things, that Canary engaged in improper trading in certain Nations Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and also "late trading". On September 8, 2003, Bank of America Corporation announced that, to the extent that the independent trustees determine that Nations Funds shareholders were adversely affected by a discretionary market-timing agreement or late trading activities, the adviser will make appropriate restitution. Bank of America Corporation also announced that the adviser will promptly return to Nations Funds that were the subject of a market-timing agreement all management and investment advisory fees it received as a NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) result of such agreement. In addition, Bank of America Corporation has also agreed to make appropriate reimbursement of costs incurred by Nations Funds in connection with this matter. On September 16, 2003, the NYAG announced a criminal action, and the SEC announced a civil action, against a former employee of Banc of America Securities, LLC, a selling agent affiliated with the Nations Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name Nations Funds, among others, as defendants. ITEM 2. CODE OF ETHICS. Not Applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not Applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not Applicable. ITEM 5.-6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not Applicable. ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 10. EXHIBITS. (a)(1) Not applicable. (a)(2) EX-99.CERT A separate certification for each principal executive and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act are attached hereto. (b) EX-99.906CERT Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Nations Funds Trust ------------------------------------------------ By: /s/ Edward D. Bedard Edward D. Bedard President and Chief Executive Officer Date: December 9, 2003 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ Edward D. Bedard Edward D. Bedard President and Chief Executive Officer Date: December 9, 2003 By: /s/ Gerald Murphy Gerald Murphy Chief Financial Officer and Treasurer Date: December 9, 2003 * Print the name and title of each signing officer under his or her signature. EX-99.CERT 3 g86185exv99wcert.txt SECTION 302 CERTIFICATIONS CERTIFICATIONS I, Edward D. Bedard, certify that: 1. I have reviewed this report on Form N-CSR of Nations Funds Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: December 9, 2003 /s/ Edward D. Bedard Edward D. Bedard President and Chief Executive Officer CERTIFICATIONS I, Gerald Murphy, certify that: 1. I have reviewed this report on Form N-CSR of Nations Funds Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: December 9, 2003 /s/ Gerald Murphy Gerald Murphy Chief Financial Officer and Treasurer EX-99.906CERT 4 g86185exv99w906cert.txt SECTION 906 CERTIFICATIONS EX-99.906CERT SECTION 906 CERTIFICATION Pursuant to 18 U.S.C. ss. 1350, the undersigned officer of Nations Funds Trust (the "Registrant"), hereby certifies, to the best of his knowledge, that the Registrant's report on Form N-CSR for the period ended September 30, 2003 (the "Report") fully complies with the requirements of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: December 9, 2003 /s/ Edward D. Bedard ------------------------ Edward D. Bedard President and Chief Executive Officer Nations Funds Trust EX-99.906CERT SECTION 906 CERTIFICATION Pursuant to 18 U.S.C. ss. 1350, the undersigned officer of Nations Funds Trust (the "Registrant"), hereby certifies, to the best of his knowledge, that the Registrant's report on Form N-CSR for the period ended September 30, 2003 (the "Report") fully complies with the requirements of the Securities Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: December 9, 2003 /s/ Gerald Murphy ------------------------ Gerald Murphy Chief Financial Officer and Treasurer Nations Funds Trust -----END PRIVACY-ENHANCED MESSAGE-----