N-CSRS 1 g91829nvcsrs.txt NATIONS FUNDS TRUST N-CSRS ------------------------- OMB APPROVAL ------------------------- OMB Number: 3235-0570 Expires: October 31, 2006 Estimated average burden hours per response: 5.0 ------------------------- 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: 704-388-9174 ----------------------- Date of fiscal year end: 03-31-05 --------------------------- Date of reporting period: 09-30-04 -------------------------- 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, 2004 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] Guidelines and information about how Nations Funds voted proxies for securities they held during the 12-month period ended June 30, 2004 are available without charge at www.nationsfunds.com and at http://www.sec.gov or by calling 1.800.321.7854. Beginning with the Funds' fiscal quarter ending December 31, 2004, the Funds will file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds' Forms N-Q will also be available on our website at www.nationsfunds.com. 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 US economy grew at a healthy pace during the six-month period that ended September 30, 2004. Despite uncertainty about job growth, consumer spending and rising energy prices, gross domestic product growth was comfortably above the long-term historical average of 3.0%. In general, corporate profits continued to rise, which provided companies with the resources to increase spending. Industrial production rose; factories used more of their capacity; and spending on technology, capital equipment and construction all increased. STOCKS FALTER WHILE BONDS EKE OUT A POSITIVE RETURN Although this environment provided a solid foundation for the financial markets, the stock market was unsettled by external events such as the fall presidential election, renewed terror threats and continued fighting in Iraq. As a result, many investors remained on the sidelines. The S&P 500 Index(1) and the Russell 3000 Index(2), two broad measures of US stock market performance, returned negative 0.18% and negative 0.60% respectively, over this six-month reporting period. The broad markets for small- and mid-cap stocks and value stocks did somewhat better. The Russell MidCap Value Index returned 3.50%(3) and the Russell 2000 Value Index returned 1.00%.(4) Energy stocks were the period's strongest performers. They gained more than 19% during the period, as measured by Standard & Poor's. The bond market encountered considerable volatility when job growth picked up in the spring and investors began to anticipate higher short-term interest rates. However, a shaky stock market and some weak economic data gave the bond market a boost in the final months of the period. The Lehman Brothers Aggregate Bond Index eked out a positive return of 0.68% over this six-month reporting period.(5) High-yield bonds, which can be less sensitive to changing interest rates, led the fixed-income markets. The Merrill Lynch US High Yield, Cash Pay Index returned 3.72% over the same period.(6) LOOKING AHEAD Although the soft patch encountered by the economy during the summer months appears to be behind us, a meaningful acceleration of economic activity does not appear to be in the works. In fact, leading economic indicators suggest that growth remains in line with the economy's long-term average. Job growth has become increasingly important to the outlook for consumer income and spending, and there the trend is encouraging. Although monthly data has been volatile over the past year, year-over-year data shows that payroll growth has swung from a decline of 1% to 2% in 2002 to an increase of 1% in 2004. (1)The S&P 500 Index is an unmanaged index of 500 widely held common socks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (2)The Russell 3000 Index is an unmanaged index that tracks the performance of the 3,000 largest US companies based on total market capitalization. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (3)The Russell MidCap Value Index is an unmanaged index that measures the performance of those Russell MidCap Index companies with lower price-to-book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (4)The Russell 2000 Value Index is an unmanaged index that tracks the performance of those Russell 2000 companies with lower price-to book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (5)The Lehman Brothers Aggregate Bond Index is a market value-weighted index that tracks fixed-rate, publicly placed, dollar-denominated, and non-convertible investment grade debt issues. (6)The Merrill Lynch US High Yield, Cash Pay Index is an unmanaged index that tracks the performance of non-investment-grade corporate bonds. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... In this environment, we believe that the outlook is slightly better for stocks than for bonds. Although long-term Treasury yields have declined in recent months, we expect them to move higher once the Federal Reserve Board completes its cycle of short-term rate increases. We expect to see short-term rates rise to 3% to 4% and long-term rates go to 5% or higher. Higher long-term rates would be a challenge for the bond market because yields and bond prices move in opposite directions. We expect the outlook for the stock market to improve if and when some of the current uncertainties are resolved. Certainly if the price of oil retreats from its current high level, it would take some pressure off consumers and the market would be one of the likely beneficiaries. STRATEGIC THINKING ABOUT YOUR INVESTMENTS Regardless of the short-term outlook for stocks and bonds, we believe that there are certain basic principles that can help you achieve your long-term financial goals. Think long term. Have a plan for investing, and stick to it. Own a diversified mix of investments. Add to your investments regularly. If you can incorporate these four principles into your investment plan, you will find it easier to ignore the short-term gyrations of the market. If you work with an investment professional, be sure to consult him or her if you have questions or concerns about your investments. An investment professional can be an important ally in helping you keep your financial goals on track. As always, we thank you for investing in Nations Funds and we look forward to serving your financial needs in the years to come. Sincerely, -s- WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS -s- KEITH T. BANKS KEITH T. BANKS PRESIDENT OF NATIONS FUNDS PRESIDENT OF BANC OF AMERICA CAPITAL MANAGEMENT, LLC September 30, 2004 The information and data provided in this analysis are derived from sources that we deem to be reliable and accurate. The opinions expressed here are strictly those of the contributors and are subject to change without notice. TABLE OF CONTENTS DISCLOSURE OF FUND EXPENSES AND PORTFOLIO HOLDINGS Nations Short-Term Municipal Income Fund 3 Nations Intermediate Municipal Bond Fund 5 Nations Municipal Income Fund 7 Nations CA Intermediate Municipal Bond Fund 9 Nations CA Municipal Bond Fund 11 Nations FL Intermediate Municipal Bond Fund 13 Nations FL Municipal Bond Fund 15 Nations GA Intermediate Municipal Bond Fund 17 Nations KS Municipal Income Fund 19 Nations MD Intermediate Municipal Bond Fund 21 Nations NC Intermediate Municipal Bond Fund 23 Nations SC Intermediate Municipal Bond Fund 25 Nations TN Intermediate Municipal Bond Fund 27 Nations TX Intermediate Municipal Bond Fund 29 Nations VA Intermediate Municipal Bond Fund 31 FINANCIAL STATEMENTS Schedule of investments 33 Statements of assets and liabilities 162 Statements of operations 166 Statements of changes in net assets 170 Schedules of capital stock activity 176 Financial highlights 192 Notes to financial statements 222
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 2003.
[This page intentionally left blank] NATIONS SHORT-TERM MUNICIPAL INCOME FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,002.60 $2.01 Hypothetical**.............................................. $1,000.00 $1,023.06 $2.03 INVESTOR A Actual...................................................... $1,000.00 $1,001.40 $3.26 Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29 INVESTOR B Actual...................................................... $1,000.00 $ 997.60 $7.01 Hypothetical**.............................................. $1,000.00 $1,018.05 $7.08 INVESTOR C Actual...................................................... $1,000.00 $ 997.60 $7.01 Hypothetical**.............................................. $1,000.00 $1,018.05 $7.08
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.40%, Investor A 0.65%, Investor B 1.40% and Investor C 1.40%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 3 NATIONS SHORT-TERM MUNICIPAL INCOME FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 23.9% General obligation 18.0% Industrial development revenue/Pollution control revenue 12.6% Transportation 8.5% Education 6.7% Electric 5.9% Water 5.7% Special tax 4.8% Hospital 4.6% Lease 9.3% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Colorado, Public Highway Authority, Highway Revenue, Series 1997B, (MBIA Insured), 2.483% 09/01/07 1.3% ------------------------------------------------- 2 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Series 2002A, 5.000% 10/01/06 1.3% ------------------------------------------------- 3 Memphis, Tennessee, Electric System Revenue, Series 2003A, 5.000% 12/01/09 1.1% ------------------------------------------------- 4 Ohio State, Higher Educational Capital Facilities Revenue, Series 2002A-II, 5.000% 12/01/07 1.0% ------------------------------------------------- 5 Hawaii State, Airports System Revenue, AMT, (FGIC Insured), 5.000% 07/01/08 1.0% ------------------------------------------------- 6 Idaho, Housing and Finance Association, (Single Family Mortgage Project) Series 2002B-I, (Bayerische Landesbank Girozentrale Liquidity Facility), 1.750% 07/01/33 1.0% ------------------------------------------------- 7 Connecticut State, Special Tax Obligation Revenue Refunding, (Transportation Infrastructure Project), Series 2003A, 4.000% 09/01/05 1.0% ------------------------------------------------- 8 North Slope Borough, Alaska, GO, Series 1996, (MBIA Insured), 2.455% 06/30/07 1.0% ------------------------------------------------- 9 Burke County, Georgia, Development Authority, PCR, (Oglethorpe Power Corporation) Series 1993A, (FGIC Insured, Bayerische Landesbank SBA), 1.700% 01/01/16 1.0% ------------------------------------------------- 10 Farmington, New Mexico, PCR, Public Service Refunding, (San Juan Project), Series 2003B, 2.100% 04/01/33 1.0% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
4 NATIONS INTERMEDIATE MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,009.40 $2.52 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR A Actual...................................................... $1,000.00 $1,008.10 $3.78 Hypothetical**.............................................. $1,000.00 $1,021.31 $3.80 INVESTOR B Actual...................................................... $1,000.00 $1,004.40 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59 INVESTOR C Actual...................................................... $1,000.00 $1,004.40 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.50%, Investor A 0.75%, Investor B 1.50% and Investor C 1.50%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 5 NATIONS INTERMEDIATE MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 29.6% General obligation 12.0% Transportation 8.7% Hospital 8.3% Prerefunded 6.1% Education 5.8% Electric 5.7% Industrial development revenue/Pollution control revenue 5.5% Housing 4.8% Water 13.5% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Atlanta, Georgia, Water & Wastewater Revenue, Series 1999A, 5.500% 11/01/18 1.0% ------------------------------------------------- 2 Delaware Valley, Pennsylvania, Regional Financing Authority, Local Government Revenue, Series 2002, 5.500% 07/01/12 1.0% ------------------------------------------------- 3 San Francisco, California, GO Refunding, Series 2002, 5.000% 06/15/11 0.9% ------------------------------------------------- 4 Lordburg, New Mexico, PCR Refunding, (Phelps Dodge Corporation Project) Series 1993, 6.500% 04/01/13 0.9% ------------------------------------------------- 5 Hawaii State, GO, Series 2001CV (FGIC Insured), 5.500% 08/01/09 0.9% ------------------------------------------------- 6 Arkansas State, Federal Highway Grant Anticipation GO, Series 2001A, 5.250% 08/01/09 0.9% ------------------------------------------------- 7 Maryland State, Transportation Department Revenue, Series 2002, 5.500% 02/01/10 0.7% ------------------------------------------------- 8 Denver, Colorado, City and County Airport Revenue, Series 1995C, (MBIA Insured), 6.500% 11/15/12 0.7% ------------------------------------------------- 9 Harris County, Texas, GO, Series 2001, 5.000% 10/01/12 0.7% ------------------------------------------------- 10 Alaska State, Housing Finance Corporation Revenue, Series 1997A, (MBIA Insured), 6.000% 06/01/27 0.7% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
6 NATIONS MUNICIPAL INCOME FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,010.40 $3.02 Hypothetical**.............................................. $1,000.00 $1,022.06 $3.04 INVESTOR A Actual...................................................... $1,000.00 $1,009.20 $4.28 Hypothetical**.............................................. $1,000.00 $1,020.81 $4.31 INVESTOR B Actual...................................................... $1,000.00 $1,005.40 $8.04 Hypothetical**.............................................. $1,000.00 $1,017.05 $8.09 INVESTOR C Actual...................................................... $1,000.00 $1,006.30 $8.05 Hypothetical**.............................................. $1,000.00 $1,017.05 $8.09
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.60%, Investor A 0.85%, Investor B 1.60% and Investor C 1.60%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 7 NATIONS MUNICIPAL INCOME FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 24.6% General obligation 13.0% Hospital 10.9% Prerefunded 9.4% Transportation 8.2% Industrial development revenue/Pollution control revenue 7.6% Education 7.3% Electric 5.8% Water 4.9% Special tax 8.3% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Washington State, GO, Series 1990A, 6.750% 02/01/15 2.5% ------------------------------------------------- 2 North Slope Borough, Alaska, Capital Appreciation GO, Series 2000B, (MBIA Insured), 3.700% 06/30/11 1.9% ------------------------------------------------- 3 Washington State, GO, Series 2000A, 5.625% 07/01/21 1.8% ------------------------------------------------- 4 Wyoming, Student Loan Corporation, Revenue Refunding, Series 1999A, 6.250% 06/01/29 1.7% ------------------------------------------------- 5 District of Columbia, Hospital Revenue Refunding, (Medlantic Healthcare Group Project) Series 1997A, (MBIA Insured), Prerefunded 08/15/07 @ 102, 5.375% 08/15/15 1.6% ------------------------------------------------- 6 Illinois, Metropolitan Pier & Exposition Authority, Dedicated State Tax Revenue, Unrefunded Balance, Series 1993A, (FGIC Insured), 4.047% 06/15/13 1.3% ------------------------------------------------- 7 Georgia State, Housing and Finance Authority, Single-Family Mortgage Revenue, Series 1999B-2, AMT, 6.100% 06/01/31 1.3% ------------------------------------------------- 8 Chelan County, Washington, Development Corporation, PCR Refunding, (Alcoa, Inc. Project) Series 1995, 5.850% 12/01/31 1.2% ------------------------------------------------- 9 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Second Lien, Series 1999, AMT, (AMBAC Insured), 5.500% 01/01/10 1.2% ------------------------------------------------- 10 Anchorage, Alaska, Electric Utilities Revenue, Senior Lien, Series 1996B, (MBIA Insured), 5.500% 02/01/26 1.2% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
8 NATIONS CALIFORNIA INTERMEDIATE MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,007.10 $2.52 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR A Actual...................................................... $1,000.00 $1,005.90 $3.77 Hypothetical**.............................................. $1,000.00 $1,021.31 $3.80 INVESTOR B Actual...................................................... $1,000.00 $1,002.10 $7.53 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59 INVESTOR C Actual...................................................... $1,000.00 $1,002.10 $7.53 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.50%, Investor A 0.75%, Investor B 1.50% and Investor C 1.50%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 9 NATIONS CALIFORNIA INTERMEDIATE MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 18.1% Special tax 13.5% General obligation 13.2% Lease 12.7% Electric 11.5% Prerefunded 8.7% Water 5.4% Education 4.2% Resource recovery 4.1% Transportation 8.6% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Inland Empire, California, Solid Waste Authority, Revenue, (Landfill Improvement Financing Project) Series 1996B, AMT, (FSA Insured), 6.250% 08/01/11 4.5% ------------------------------------------------- 2 Oakland, California, Redevelopment Agency Tax Allocation Refunding, (Center District Redevelopment Project) Series 1992, (AMBAC Insured), 5.500% 02/01/14 3.4% ------------------------------------------------- 3 Los Angeles, California, Unified School District, GO, Series 2000D, 5.500% 07/01/09 3.1% ------------------------------------------------- 4 San Francisco, California, Bay Area Rapid Transportation District, Sales Tax Revenue, Series 1998, 5.500% 07/01/09 3.0% ------------------------------------------------- 5 Southern California Public Power Authority, Power Project Revenue, Series 1989, 6.750% 07/01/13 2.9% ------------------------------------------------- 6 California, Santa Margarita/Dana Point Authority, Revenue, Series 1997A, (AMBAC Insured), 5.500% 08/01/11 2.9% ------------------------------------------------- 7 Oakland, California, J.T. Powers Financing Authority, Lease Revenue Refunding, (Oakland Convention Centers) Series 2001, (AMBAC Insured), 5.500% 10/01/11 2.7% ------------------------------------------------- 8 California, Kings River Conservation District Revenue, Certificates of Participation, (Peaking Project) Series 2004, 5.000% 05/01/14 2.7% ------------------------------------------------- 9 Metropolitan Water District of Southern California, Waterworks Revenue Refunding, Series 2004B, 5.000% 07/01/14 2.6% ------------------------------------------------- 10 San Jose, California, Airport Revenue Refunding, Series 2003B, (FSA Insured), 5.000% 03/01/10 2.1% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
10 NATIONS CALIFORNIA MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,011.80 $3.03 Hypothetical**.............................................. $1,000.00 $1,022.06 $3.04 INVESTOR A Actual...................................................... $1,000.00 $1,011.90 $4.29 Hypothetical**.............................................. $1,000.00 $1,020.81 $4.31 INVESTOR B Actual...................................................... $1,000.00 $1,006.80 $8.05 Hypothetical**.............................................. $1,000.00 $1,017.05 $8.09 INVESTOR C Actual...................................................... $1,000.00 $1,008.20 $8.05 Hypothetical**.............................................. $1,000.00 $1,017.05 $8.09
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.60%, Investor A 0.85%, Investor B 1.60% and Investor C 1.60%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 11 NATIONS CALIFORNIA MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 16.1% Water 15.3% General obligation 12.3% Transportation 11.3% Prerefunded 9.2% Electric 8.4% Housing 8.3% Hospital 7.3% Lease 6.5% Special tax 5.3% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 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 2.4% ------------------------------------------------- 2 Fresno, California, Sewer Revenue, Series 1993A-1, (AMBAC Insured), 6.250% 09/01/14 2.3% ------------------------------------------------- 3 West Covina, California, Redevelopment Agency, Community Facilities District Special Tax Refunding, (Fashion Plaza Project) Series 1996, 6.000% 09/01/17 2.2% ------------------------------------------------- 4 California, Health Facilities Financing Authority, Revenue Refunding, Insured Health Facilities, (Mark Twain Project) Series 1996, (MBIA Insured), 6.000% 07/01/16 2.0% ------------------------------------------------- 5 Puerto Rico, Electric Power Authority, Power Revenue, Series 2000HH, (FSA Insured), 5.250% 07/01/29 2.0% ------------------------------------------------- 6 Southern California Public Power Authority, Power Project Revenue, Series 1989, 6.750% 07/01/13 1.8% ------------------------------------------------- 7 Metropolitan Water District of Southern California, Waterworks Revenue Refunding, Series 1993A, 5.750% 07/01/21 1.6% ------------------------------------------------- 8 Rancho, California, Water District Financing Authority, Revenue Refunding, Series 1995, (FGIC Insured), 5.900% 11/01/15 1.6% ------------------------------------------------- 9 Lompoc, California, Unified School District, GO, (Election of 2002 Project) Series 2003A, (FGIC Insured), 5.000% 08/01/27 1.6% ------------------------------------------------- 10 Foothill/Eastern Corridor Agency, California, Toll Road, Revenue Refunding, Series 1999, 5.750% 01/15/40 1.5% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
12 NATIONS FLORIDA INTERMEDIATE MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,004.40 $2.51 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR A Actual...................................................... $1,000.00 $1,003.10 $3.77 Hypothetical**.............................................. $1,000.00 $1,021.31 $3.80 INVESTOR B Actual...................................................... $1,000.00 $ 999.40 $7.52 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59 INVESTOR C Actual...................................................... $1,000.00 $ 999.40 $7.52 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.50%, Investor A 0.75%, Investor B 1.50% and Investor C 1.50%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 13 NATIONS FLORIDA INTERMEDIATE MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 22.8% Special tax 18.4% Hospital 10.2% Electric 8.5% Transportation 8.2% Prerefunded 7.9% Water 5.4% Housing 4.9% General obligation 4.3% Lease 9.4% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Orlando, Florida, Utilities Commission, Water and Electric, Revenue Refunding, Series 2001, 5.000% 10/01/09 3.1% ------------------------------------------------- 2 Florida State, Department of Environmental Protection & Preservation, Revenue, (Florida Forever Project), Series 2001B, (MBIA Insured), 5.000% 07/01/09 2.7% ------------------------------------------------- 3 Orange County, Florida, Health Facilities Authority, Revenue, (Orlando Regional Healthcare Project) Series 1996A, (MBIA Insured), 6.250% 10/01/08 2.6% ------------------------------------------------- 4 Manatee County, Florida, School District Sales Tax, Revenue, Series 2003, (AMBAC Insured), 5.000% 10/01/12 2.3% ------------------------------------------------- 5 Arlington County, Virginia, Industrial Development Authority, Hospital Facility, Revenue, (Virginia Hospital Arlington Health Systems Project), Series 2001, 5.500% 07/01/14 2.2% ------------------------------------------------- 6 South Broward, Florida, Hospital District, Revenue, Series 2003A, (MBIA Insured), 5.250% 05/01/12 2.1% ------------------------------------------------- 7 Orange County, Florida, Tourist Development Tax Authority, Revenue Refunding, Series 1998A, (AMBAC Insured), 5.000% 10/01/15 2.1% ------------------------------------------------- 8 Tallahassee, Florida, Blue Print 2000 Intern Government, Revenue, Series 2003, (FSA Insured), 5.000% 10/01/13 2.0% ------------------------------------------------- 9 Collier County, Florida, Gas Tax Revenue, Series 2003, (AMBAC Insured), 5.250% 06/01/13 2.0% ------------------------------------------------- 10 Palm Beach County, Florida, Criminal Justice Facilities, Revenue, Series 1997, (FGIC Insured), 5.750% 06/01/13 2.0% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
14 NATIONS FLORIDA MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,008.60 $3.02 Hypothetical**.............................................. $1,000.00 $1,022.06 $3.04 INVESTOR A Actual...................................................... $1,000.00 $1,007.30 $4.28 Hypothetical**.............................................. $1,000.00 $1,020.81 $4.31 INVESTOR B Actual...................................................... $1,000.00 $1,003.60 $8.04 Hypothetical**.............................................. $1,000.00 $1,017.50 $8.09 INVESTOR C Actual...................................................... $1,000.00 $1,003.60 $8.04 Hypothetical**.............................................. $1,000.00 $1,017.50 $8.09
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.60%, Investor A 0.85%, Investor B 1.60% and Investor C 1.60%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 15 NATIONS FLORIDA MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 13.5% Transportation 12.3% Prerefunded 11.4% General obligation 11.3% Special tax 10.7% Water 8.7% Electric 7.8% Hospital 6.4% Housing 6.0% Resource recovery 11.9% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 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 5.9% ------------------------------------------------- 2 Puerto Rico, Commonwealth GO, Series 1997, (MBIA Insured), 6.500% 07/01/15 5.4% ------------------------------------------------- 3 Jacksonville, Florida, GTD, Entitlement Revenue Refunding and Improvement, Series 2002, (FGIC Insured), 5.375% 10/01/19 4.2% ------------------------------------------------- 4 Orange County, Florida, Health Facilities Authority, Revenue, Series 1996A, (MBIA Insured), Escrowed to Maturity, 6.250% 10/01/16 4.2% ------------------------------------------------- 5 Miami-Dade County, Florida, Aviation Revenue, Series 1998C, AMT, (MBIA Insured), 5.250% 10/01/15 3.8% ------------------------------------------------- 6 Gainesville, Florida, Utility Systems Revenue, Series 1992B, 6.500% 10/01/11 3.7% ------------------------------------------------- 7 Orlando, Florida, Greater Orlando Aviation Authority, Airport Facilities Revenue, Series 1999A, AMT, (FGIC Insured), 5.250% 10/01/10 3.3% ------------------------------------------------- 8 Florida State, Board of Education, Capital Outlay GO, Series 1997A, 5.000% 01/01/17 3.3% ------------------------------------------------- 9 Tampa, Florida, Sports Authority, Sales Tax Revenue, (Tampa Bay Arena Project) Series 1995, (MBIA Insured), 5.750% 10/01/15 3.0% ------------------------------------------------- 10 Brevard County, Florida, Health Facilities Authority, Revenue, (Holmes Regional Medical Center, Inc. Project) Series 1996, (MBIA Insured), 5.625% 10/01/14 2.8% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
16 NATIONS GEORGIA INTERMEDIATE MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,011.20 $2.52 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR A Actual...................................................... $1,000.00 $1,010.00 $3.78 Hypothetical**.............................................. $1,000.00 $1,021.31 $3.80 INVESTOR B Actual...................................................... $1,000.00 $1,005.30 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59 INVESTOR C Actual...................................................... $1,000.00 $1,006.20 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.50%, Investor A 0.75%, Investor B 1.50% and Investor C 1.50%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 17 NATIONS GEORGIA INTERMEDIATE MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 26.2% General obligation 13.7% Prerefunded 12.1% Hospital 10.0% Industrial development revenue/ Pollution control revenue 9.9% Water 6.1% Housing 5.6% Transportation 5.2% Lease 3.9% Education 7.3% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Atlanta, Georgia, Airport Facilities Revenue Refunding, Series 2000A, (FGIC Insured), Prerefunded 01/01/10 @ 101, 5.600% 01/01/30 3.8% ------------------------------------------------- 2 Cobb County and Marietta, Georgia, Water Authority, Revenue, Series 2002, 5.125% 11/01/20 3.7% ------------------------------------------------- 3 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 3.5% ------------------------------------------------- 4 Fulton County, Georgia, Building Authority, Revenue, (Judicial Center Facilities Project) Series 2002B, 4.000% 01/01/08 3.5% ------------------------------------------------- 5 Detroit, Michigan, GO Refunding, Series 2001B, (MBIA Insured), 5.375% 04/01/14 2.7% ------------------------------------------------- 6 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 2.7% ------------------------------------------------- 7 DeKalb County, Georgia, Development Authority, Revenue, (Emory University Project) Series 1994A, Prerefunded 10/01/04 @ 102, 6.000% 10/01/14 2.5% ------------------------------------------------- 8 Clayton County, Georgia, Hospital Authority, Revenue Anticipation Certificates, (Southern Regional Medical Center Project) Series 1998A, (MBIA Insured), 5.250% 08/01/09 2.3% ------------------------------------------------- 9 Georgia State, GO, Series 1999D, 5.800% 11/01/13 2.3% ------------------------------------------------- 10 Henry County, Georgia, Hospital Authority, Revenue, (Henry Medical Center Project) Series 1997, (AMBAC Insured), 6.000% 07/01/29 2.2% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
18 NATIONS KANSAS MUNICIPAL INCOME FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,008.40 $3.02 Hypothetical**.............................................. $1,000.00 $1,022.06 $3.04 INVESTOR A Actual...................................................... $1,000.00 $1,008.10 $4.28 Hypothetical**.............................................. $1,000.00 $1,020.81 $4.31 INVESTOR B Actual...................................................... $1,000.00 $1,004.30 $8.04 Hypothetical**.............................................. $1,000.00 $1,017.05 $8.09 INVESTOR C Actual...................................................... $1,000.00 $1,004.30 $8.04 Hypothetical**.............................................. $1,000.00 $1,017.05 $8.09
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.60%, Investor A 0.85%, Investor B 1.60% and Investor C 1.60%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 19 NATIONS KANSAS MUNICIPAL INCOME FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 33.9% General obligation 15.6% Hospital 12.4% Prerefunded 9.3% Education 8.6% Transportation 4.7% Water 3.0% Housing 2.2% Industrial development revenue/Pollution control revenue 1.6% Electric 8.7% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Calhoun County, South Carolina, Solid Waste Disposal Facility Revenue, (Carolina Eastman Company Project) Series 1992, AMT, 6.750% 05/01/17 3.5% ------------------------------------------------- 2 Kansas State, Development Financing Authority, Revenue, (Regents-Wichita University Project) Series 2000B, (AMBAC Insured), 5.900% 04/01/15 3.2% ------------------------------------------------- 3 Kansas State, Development Financing Authority, Revenue, (Board of Regents Scientific Research) Series 2003, (AMBAC Insured), 5.000% 10/01/19 3.0% ------------------------------------------------- 4 Kansas State, Turnpike Authority, Revenue, Series 2002, (FSA Insured), 5.250% 09/01/15 3.0% ------------------------------------------------- 5 Wyandotte County, Kansas, School District Number 500, GO, Series 2002, (FSA Insured), 5.000% 09/01/20 2.8% ------------------------------------------------- 6 Shawnee County, Kansas, GO Refunding & Improvement, Series 2002, (FSA Insured), 5.250% 09/01/17 2.6% ------------------------------------------------- 7 Dodge, Kansas, Unified School District Number 443, GO Refunding, Series 2002, (FGIC Insured), 5.000% 03/01/13 2.5% ------------------------------------------------- 8 North Slope Borough, Alaska, Capital Appreciation GO, Series 2000B, (MBIA Insured), 3.118% 06/30/09 2.4% ------------------------------------------------- 9 Kansas, University Hospital Authority, Revenue, (Kansas University Health System Project) Series 1999A, (AMBAC Insured), 5.400% 09/01/13 2.4% ------------------------------------------------- 10 Butler & Sedgwick Counties, Andover, Kansas, Unified School District Number 385, GO Refunding, Series 2000, (FSA Insured), 6.000% 09/01/13 2.3% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
20 NATIONS MARYLAND INTERMEDIATE MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,000.30 $2.51 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR A Actual...................................................... $1,000.00 $ 999.90 $3.76 Hypothetical**.............................................. $1,000.00 $1,021.31 $3.80 INVESTOR B Actual...................................................... $1,000.00 $ 996.20 $7.51 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59 INVESTOR C Actual...................................................... $1,000.00 $ 995.30 $7.50 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.50%, Investor A 0.75%, Investor B 1.50% and Investor C 1.50%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 21 NATIONS MARYLAND INTERMEDIATE MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 36.8% General obligation 15.9% Prerefunded 12.0% Transportation 8.4% Housing 6.1% Resource recovery 4.1% Electric 4.0% Lease 3.5% Education 2.6% Industrial development revenue/Pollution control revenue 6.6% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Maryland State, Department of Transportation, Revenue, Series 2002, 5.500% 02/01/14 3.2% ------------------------------------------------- 2 Maryland State, State and Local Facilities Loan GO, Series 2000, 5.500% 08/01/09 2.9% ------------------------------------------------- 3 Puerto Rico, Public Buildings Authority, Revenue GTD Refunding, Government Facilities, Series 2003H, (AMBAC Insured), 5.500% 07/01/18 2.7% ------------------------------------------------- 4 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 2.7% ------------------------------------------------- 5 Prince Georges County, Maryland, Consolidated Public Improvement GO, Series 2001, (FGIC Insured), 5.250% 12/01/11 2.5% ------------------------------------------------- 6 Prince Georges County, Maryland, Construction Public Improvements GO, Series 2001, (FGIC Insured), 5.250% 12/01/12 2.4% ------------------------------------------------- 7 Austin, Texas, Utilities System Revenue, Refunding, Series 1997, (FSA Insured), 5.125% 11/15/13 2.1% ------------------------------------------------- 8 Prince Georges County, Maryland, Solid Waste Management System Revenue, (MBIA Insured), 5.000% 06/15/08 2.1% ------------------------------------------------- 9 Anne Arundel County, Maryland, GO, Series 2003, 5.000% 03/01/13 2.1% ------------------------------------------------- 10 Howard County, Maryland, Consolidated Public Improvement GO, Series 2002A, 5.000% 08/15/09 2.0% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
22 NATIONS NORTH CAROLINA INTERMEDIATE MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,011.20 $2.52 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR A Actual...................................................... $1,000.00 $1,010.00 $3.78 Hypothetical**.............................................. $1,000.00 $1,021.31 $3.80 INVESTOR B Actual...................................................... $1,000.00 $1,006.20 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59 INVESTOR C Actual...................................................... $1,000.00 $1,006.10 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.50%, Investor A 0.75%, Investor B 1.50% and Investor C 1.50%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 23 NATIONS NORTH CAROLINA INTERMEDIATE MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 29.0% General obligation 15.4% Prerefunded 15.0% Hospital 12.2% Lease 6.2% Housing 4.4% Education 4.3% Water 4.0% Transportation 4.0% Electric 5.5% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 North Carolina State, GO, Series 2001A, 4.750% 03/01/14 2.7% ------------------------------------------------- 2 Orange County, North Carolina, GO, Series 2000, 5.300% 04/01/18 2.6% ------------------------------------------------- 3 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 2.1% ------------------------------------------------- 4 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Novant Health Obligation Group Project) Series 2003A, 5.000% 11/01/17 1.9% ------------------------------------------------- 5 North Carolina, Housing Finance Agency, Single-Family Housing Revenue, (Home Ownership Project) Series 1998A-1, AMT, 5.350% 01/01/17 1.7% ------------------------------------------------- 6 Wake County, North Carolina, Hospital Revenue, Series 1993, (MBIA Insured), 5.125% 10/01/26 1.7% ------------------------------------------------- 7 University of North Carolina, Revenue Refunding, Series 2002B, 5.000% 12/01/06 1.6% ------------------------------------------------- 8 North Carolina State, GO, Series 1997A, 5.100% 03/01/06 1.6% ------------------------------------------------- 9 Charlotte-Mecklenburg Hospital Authority, Revenue, (Carolinas Healthcare System Project) Series 1997A, 5.125% 01/15/22 1.6% ------------------------------------------------- 10 Johnston County, North Carolina, GO, Series 2000, (FGIC Insured), 5.500% 03/01/16 1.5% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
24 NATIONS SOUTH CAROLINA INTERMEDIATE MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,011.10 $2.52 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR A Actual...................................................... $1,000.00 $1,009.90 $3.78 Hypothetical**.............................................. $1,000.00 $1,021.31 $3.80 INVESTOR B Actual...................................................... $1,000.00 $1,006.10 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59 INVESTOR C Actual...................................................... $1,000.00 $1,005.10 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.50%, Investor A 0.75%, Investor B 1.50% and Investor C 1.50%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 25 NATIONS SOUTH CAROLINA INTERMEDIATE MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 18.3% Water 17.3% General obligation 12.8% Hospital 10.4% Prerefunded 9.8% Electric 8.8% Industrial development revenue/Pollution control revenue 8.4% Transportation 4.1% Education 3.3% Resource Recovery 6.8% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Illinois, Educational Facilities Authority Revenue, Series 2003C, (AMBAC Insured), 5.000% 09/01/18 4.0% ------------------------------------------------- 2 Columbia, South Carolina, Waterworks and Sewer Systems Revenue Refunding, Series 1993, 5.500% 02/01/09 3.4% ------------------------------------------------- 3 Charleston County, South Carolina, Hospital Facilities Revenue, (Care Alliance Health Services Project) Series 1999A, (FSA Insured), 5.125% 08/15/15 3.1% ------------------------------------------------- 4 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 3.0% ------------------------------------------------- 5 South Carolina State, Capital Improvement GO, Series 1996A, 3.500% 07/01/06 2.8% ------------------------------------------------- 6 Charleston, South Carolina, Waterworks and Sewer Capital Improvement Revenue Refunding, Series 1998, 5.250% 01/01/08 2.4% ------------------------------------------------- 7 Piedmont Municipal Power Agency, South Carolina, Electric Revenue Refunding, Series 1996B, (MBIA Insured), 5.250% 01/01/09 2.3% ------------------------------------------------- 8 Georgetown County, South Carolina, PCR Refunding, (International Paper Company Project) Series 1999A, 5.125% 02/01/12 2.3% ------------------------------------------------- 9 Greenville County, South Carolina, School District, Installment Purchase Revenue Refunding, (Building Equity Sooner Tomorrow Project) Series 2003, 5.250% 12/01/16 2.2% ------------------------------------------------- 10 South Carolina State, Port Authority, Revenue, Series 1998, AMT, (FSA Insured), 5.250% 07/01/13 2.1% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
26 NATIONS TENNESSEE INTERMEDIATE MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,010.60 $2.52 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR A Actual...................................................... $1,000.00 $1,009.30 $3.78 Hypothetical**.............................................. $1,000.00 $1,021.31 $3.80 INVESTOR B Actual...................................................... $1,000.00 $1,005.50 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59 INVESTOR C Actual...................................................... $1,000.00 $1,005.60 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.50%, Investor A 0.75%, Investor B 1.50% and Investor C 1.50%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 27 NATIONS TENNESSEE INTERMEDIATE MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 48.8% General obligation 11.5% Hospital 9.9% Housing 5.1% Resource recovery 4.9% Industrial development revenue/Pollution control revenue 4.1% Prerefunded 4.1% Electric 3.3% Education 1.9% Transportation 6.4% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Memphis, Tennessee, GO, Series 2000, 5.000% 04/01/17 4.7% ------------------------------------------------- 2 Metropolitan Government, Nashville and Davidson County, Tennessee, Electric Revenue, Series 1998B, 5.500% 05/15/13 4.0% ------------------------------------------------- 3 Tennessee, Housing Development Agency, Revenue, (Home Ownership Program) Series 1997-3A, AMT, 3.627% 01/01/08 3.9% ------------------------------------------------- 4 Tennessee State, GO, Series 1999B, (FSA Insured), 5.250% 05/01/17 3.9% ------------------------------------------------- 5 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 3.8% ------------------------------------------------- 6 Rutherford County, Tennessee, Public Improvement GO, Series 1996, 6.000% 04/01/06 3.0% ------------------------------------------------- 7 Madison County, Tennessee, GO, Series 2002, 5.000% 04/01/13 3.0% ------------------------------------------------- 8 Anderson County, Tennessee, GO Refunding, Series 2001, (FSA Insured), 5.000% 04/01/13 2.9% ------------------------------------------------- 9 Tennessee, Tennergy Corporation, Gas Revenue, Series 1999, (MBIA Insured), 5.000% 06/01/07 2.8% ------------------------------------------------- 10 Knox County, Tennessee, Health Educational and Housing Facilities Board Revenue, (University Health Systems Inc. Project) Series 1999, 5.750% 04/01/19 2.7% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
28 NATIONS TEXAS INTERMEDIATE MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,010.70 $2.52 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR A Actual...................................................... $1,000.00 $1,010.40 $3.78 Hypothetical**.............................................. $1,000.00 $1,021.31 $3.80 INVESTOR B Actual...................................................... $1,000.00 $1,005.70 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59 INVESTOR C Actual...................................................... $1,000.00 $1,006.60 $7.55 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.50%, Investor A 0.75%, Investor B 1.50% and Investor C 1.50%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 29 NATIONS TEXAS INTERMEDIATE MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 32.6% General obligation 14.9% Prerefunded 12.1% Education 11.1% Hospital 9.3% Electric 5.5% Water 4.5% Industrial development revenue/Pollution control revenue 3.5% Special tax 2.7% Transportation 3.8% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Round Rock, Texas, Independent School District, GO, Series 2000, (PSF-GTD), 5.000% 08/01/18 2.5% ------------------------------------------------- 2 North Central, Texas, Health Facilities Development Corporation, Health Facilities Revenue, (Presbyterian Healthcare Residential Project) Series 1996B, (MBIA Insured), 5.500% 06/01/16 2.4% ------------------------------------------------- 3 Houston, Texas, Water and Sewer Systems Revenue Refunding, Junior Lien, Series 1997A, (FGIC Insured), 5.375% 12/01/27 2.3% ------------------------------------------------- 4 Harlandale, Texas, Independent School District, GO Refunding, Series 2004, (PSF-GTD), 5.250% 08/15/16 2.2% ------------------------------------------------- 5 University of Texas, Permanent University Funds Revenue Refunding, Series 2002A, 5.000% 07/01/07 2.2% ------------------------------------------------- 6 Texas State, Water Development GO, Series 1997, 5.250% 08/01/28 2.2% ------------------------------------------------- 7 Travis County, Texas, Health Facilities Development Corporation, Revenue, (Ascension Health Credit Project) Series 1999A, (MBIA Insured), 5.750% 11/15/09 1.9% ------------------------------------------------- 8 Austin, Texas, Independent School District, GO, Series 2004, (PSF-GTD Insured), 5.000% 08/01/12 1.8% ------------------------------------------------- 9 Texas A&M University, Permanent University Funds Revenue Refunding, Series 2003, 5.250% 07/01/14 1.8% ------------------------------------------------- 10 Houston, Texas, Water and Sewer Systems Revenue Refunding, Junior Lien, Series 1996A, (FGIC Insured), 5.250% 12/01/25 1.8% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
30 NATIONS VIRGINIA INTERMEDIATE MUNICIPAL BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,011.20 $2.52 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR A Actual...................................................... $1,000.00 $1,009.90 $3.78 Hypothetical**.............................................. $1,000.00 $1,021.31 $3.80 INVESTOR B Actual...................................................... $1,000.00 $1,005.20 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59 INVESTOR C Actual...................................................... $1,000.00 $1,006.10 $7.54 Hypothetical**.............................................. $1,000.00 $1,017.55 $7.59
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.50%, Investor A 0.75%, Investor B 1.50% and Investor C 1.50%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 31 NATIONS VIRGINIA INTERMEDIATE MUNICIPAL BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 31.4% General obligation 12.1% Resource recovery 11.9% Water 9.6% Transportation 8.4% Education 5.7% Prerefunded 5.7% Hospital 3.7% Housing 3.0% Industrial development revenue/Pollution control revenue 8.5% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Fairfax County, Virginia, Economic Development Authority, Resource Recovery, Revenue Refunding, Series 1998A, AMT, (AMBAC Insured), 5.950% 02/01/07 3.7% ------------------------------------------------- 2 Virginia State GO, Series 2002, 4.000% 06/01/09 3.2% ------------------------------------------------- 3 Chesapeake, Virginia, GO Refunding, Series 1993, 5.125% 12/01/05 1.9% ------------------------------------------------- 4 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 1.9% ------------------------------------------------- 5 Norfolk, Virginia, Capital Improvement GO Refunding, Series 2002B, 5.250% 07/01/11 1.7% ------------------------------------------------- 6 Fairfax County, Virginia, GO, Series 2002A, (State Aid Withholding), 5.000% 06/01/10 1.6% ------------------------------------------------- 7 Virginia, Southeastern Public Service Authority, Revenue Refunding, Series 1993A, (MBIA Insured), 5.100% 07/01/08 1.6% ------------------------------------------------- 8 Virginia, Virginia College Building Authority, Educational Facilities Revenue, (University Richmond Project) Series 2002A, Mandatory Put 03/01/09 @ 100, 5.000% 03/01/32 1.6% ------------------------------------------------- 9 Washington State, Motor Vehicle Fuel Tax, GO, Series 1997F, 5.375% 07/01/22 1.6% ------------------------------------------------- 10 Illinois, Metropolitan Pier and Exposition Authority, Dedicated State Tax Revenue Refunding, (McCormick Plant Expansion) Series 2002B, (MBIA Insured), 5.250% 06/15/11 1.5% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
32 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 98.0% ALABAMA -- 2.1% $ 1,000 Alabama State, Public School and College Authority, Revenue, Series 1996, (MBIA Insured), 5.250% 11/01/05........................... Aaa AAA $ 1,038 2,000 Alabama, 21st Century Authority Settlement Revenue, 5.250% 12/01/07........................... A1 A- 2,085 1,110 Birmingham, Alabama Waterworks & Sewer Board Water & Sewer Revenue, Series 2004B, (FGIC Insured), 2.880% 01/01/07........................... Aaa AAA 1,101 1,145 Birmingham, Alabama Waterworks & Sewer Board Water & Sewer Revenue, Series 2004B, (FGIC Insured), 3.420% 01/01/08........................... Aaa AAA 1,140 1,185 Birmingham, Alabama Waterworks & Sewer Board Water & Sewer Revenue, Series 2004B, (FGIC Insured), 3.890% 01/01/09........................... Aaa AAA 1,185 2,000 Birmingham, Alabama, GO, Series 2002B, (AMBAC Insured), 5.000% 12/01/04........................... Aaa AAA 2,011 2,000 Butler, Alabama, Industrial Development Board, PCR Refunding, (James River Project) Series 1993, 5.500% 12/01/05........................... Ba2 BB 2,039 2,100 Hoover, Alabama, GO, Series 2003, (MBIA Insured), 5.000% 03/01/08........................... Aaa AAA 2,281 1,000 Huntsville, Alabama, GO Refunding, Series 2002F, 4.000% 08/01/05........................... Aa2 AA 1,019
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ ALABAMA -- (CONTINUED) $ 5,000 Jefferson County, Alabama, Sewer Revenue, Series 2003C-4, 1.400% 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 3,333 ---------- 22,232 ---------- ALASKA -- 2.7% 1,395 Alaska, Municipal Board Bank Authority, Revenue, AMT, Series 2003A, (MBIA Insured), 3.500% 12/01/04........................... Aaa AAA 1,399 845 Alaska, Municipal Board Bank Authority, Revenue, AMT, Series 2003A, (MBIA Insured), 3.500% 12/01/05........................... Aaa AAA 862 2,500 Alaska, Student Loan Corporation, Student Loan Revenue, Series 1999A, AMT, (AMBAC Insured), 4.900% 07/01/08........................... Aaa AAA 2,683 4,600 Anchorage, Alaska, Electric Utility Revenue Refunding, Senior Lien, Series 1999, (MBIA Insured), 5.000% 06/01/06........................... Aaa AAA 4,833 4,890 Anchorage, Alaska, GO, Series 2002A, (MBIA Insured), 4.000% 06/01/06........................... Aaa AAA 5,062 1,000 North Slope Borough, Alaska, Capital Appreciation GO, Series 1995A, (MBIA Insured), 2.079%& 06/30/06.......................... Aaa AAA 964 10,700 North Slope Borough, Alaska, GO, Series 1996, (MBIA Insured), 2.455%& 06/30/07.......................... Aaa AAA 10,003
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ ALASKA -- (CONTINUED) $ 1,500 North Slope Borough, Alaska, GO, Series 2000B, (MBIA Insured), 2.109%& 06/30/06.......................... Aaa AAA $ 1,446 1,500 North Slope Borough, Alaska, GO, Series 2001A, (MBIA Insured), 2.485%& 06/30/07.......................... Aaa AAA 1,401 ---------- 28,653 ---------- ARIZONA -- 1.8% 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 6,493 1,370 Arizona State, Transportation Board Highway Revenue Refunding, Series 1993A, 5.000% 07/01/09........................... Aa2 AA 1,510 2,400 Arizona, Electric Systems Revenue Refunding, (Salt River Project) Series 2002D, 5.000% 01/01/08........................... Aa2 AA 2,604 700 Arizona, University Medical Center, Corporation Hospital Revenue, Revenue Refunding, (GO of University Insured), 5.000% 07/01/06........................... A3 BBB+ 731 300 Arizona, University Medical Center, Corporation Hospital Revenue, Revenue Refunding, (GO of University Insured), 5.000% 07/01/07........................... A3 BBB+ 318 2,010 Maricopa County, Arizona, Unified High School District Number 210 Phoenix, GO, Unrefunded Balance, Series 2009, 5.000% 07/01/09........................... Aa3 AA 2,138 5,225 Phoenix, Arizona, GO Refunding, Series 1993A, 5.300% 07/01/06........................... Aa1 AA+ 5,534 ---------- 19,328 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ ARKANSAS -- 1.7% $ 3,500 Arkansas State, Development Finance Authority, Facilities Revenue, (Waste Management Inc. Project) Series 2001, AMT, 2.850% 08/01/21........................... Baa2 BBB $ 3,504 2,100 Arkansas State, GO, Series 2001A 4.500% 08/01/06........................... Aa2 AA 2,201 8,550 Arkansas State, GO, Series 2001A, 4.000% 08/01/05........................... Aa2 AA 8,718 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- 3,053 ---------- 17,476 ---------- CALIFORNIA -- 0.1% 1,150 California State, Department of Water Resources Power Supply Revenue, Series 2002A, 5.500% 05/01/05........................... A3 BBB+ 1,174 ---------- COLORADO -- 2.9% 1,500 Colorado Health Facilities Authority Revenue, (Evangelical Lutheran) Series 2004B, 3.750% 06/01/34........................... A3 A- 1,509 5,000 Colorado, Platte River Power Authority, Power Revenue, Series 2003FF, 5.000% 06/01/06........................... Aa3 AA- 5,252 14,895 Colorado, Public Highway Authority, Highway Revenue, Series 1997B, (MBIA Insured), 2.483%& 09/01/07.......................... Aaa AAA 13,856 2,370 Colorado, Regional Transportation District, Sales Tax Revenue Refunding, Series 2003A, (FSA Insured), 5.000% 11/01/07........................... Aaa AAA 2,568
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (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 $ 2,353 1,000 Denver City and County, Colorado, Board Water Commission Refunding Revenue, Series 2001B, 5.000% 09/01/06........................... Aa1 AA+ 1,058 1,000 Denver, Colorado, City and County Special Facilities Airport Revenue, (Rental Car Project), Series 1999A, (MBIA Insured), 5.500% 01/01/08........................... Aaa AAA 1,084 2,695 Thornton, Colorado, GO Refunding, Series 2002, (FSA Insured) 4.000% 12/01/04........................... Aaa AAA 2,706 ---------- 30,386 ---------- CONNECTICUT -- 1.4% 2,525 Connecticut State, GO, Series 1999A, 5.000% 06/15/05........................... Aa3 AA 2,585 10,000 Connecticut State, Special Tax Obligation Revenue Refunding, (Transportation Infrastructure Project), Series 2003A, 4.000% 09/01/05........................... Aaa AAA 10,209 2,000 Connecticut State, Special Tax Obligation, Revenue Refunding, (Transportation Infrastructure Project) Series 1993A, 5.375% 09/01/08........................... A1 AA- 2,215 ---------- 15,009 ---------- DELAWARE -- 0.1% 1,000 Delaware, Transportation Authority, Transportation System Revenue, Series 1998, (MBIA Insured), 4.500% 07/01/09........................... Aaa AAA 1,073 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ DISTRICT OF COLUMBIA -- 0.7% $ 2,920 District of Columbia, Private Schools Revenue, (Field School Project) Series 2001A, (First Union National Bank LOC), 1.690%&& 07/01/31......................... A1 A+ $ 2,920 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 4,300 ---------- 7,220 ---------- FLORIDA -- 6.1% 4,000 Broward County, Florida, Airport System Revenue Refunding, Series 2003K, (FGIC Insured), 5.000% 10/01/07........................... Aaa AAA 4,316 1,450 Broward County, Florida, Solid Waste System Revenue Refunding, Series 2003B, 4.000% 07/01/06........................... A1 A+ 1,504 1,700 Escambia County, Florida, Health Facilities Authority, Revenue, (Ascension Health Credit Project) Series 2003A, 5.000% 11/15/07........................... Aa2 AA 1,827 2,195 Florida State, Board of Education, GO, Series 2003D, 5.000% 06/01/07........................... Aa2 AA+ 2,360 2,000 Florida State, Board of Education, GO, Series 2003I, 5.000% 06/01/08........................... Aa2 AA+ 2,181 5,000 Gainesville, Florida, Utilities System Revenue, Series 2003C, 5.000% 10/01/08........................... Aa2 AA 5,473 1,240 Greater Orlando Aviation Authority, Orlando, Florida, Airport Facilities Revenue Refunding, Series 2002C, (MBIA Insured), 5.250% 10/01/07........................... Aaa AAA 1,347
SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $ 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 $ 1,833 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 1,977 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- 7,115 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 2,095 5,000 Jea, Florida, St. Johns River Power Park Systems Revenue Refunding, Series 2002, 5.000% 10/01/06........................... Aa2 AA 5,298 3,775 Jea, Florida, Water and Sewer Revenue, Series 2002B, (FSA Insured), 5.250% 10/01/07........................... Aaa AAA 4,107 1,380 Kissimmee, Florida, Utilities Authority Electric System Revenue Refunding, Series 2001, (AMBAC Insured), 5.000% 10/01/06........................... Aaa AAA 1,464 7,305 Miami-Dade County, Florida, Aviation Revenue Refunding, Series 1998A, AMT, 5.250% 10/01/07........................... Aaa AAA 7,887
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 $ 1,375 2,870 Miami-Dade County, Florida, Aviation Revenue, Series 2000-SG141, (FGIC Insured, Societe Generale SPA), 1.720%&& 10/01/29......................... Aaa AAA 2,870 4,250 Pinellas County, Florida, Capital Improvement Revenue, Series 2000, 4.500% 01/01/06........................... Aa3 AA- 4,394 3,000 Tampa, Florida, Utility Tax and Special Revenue Refunding, Series 2001, (AMBAC Insured), 6.000% 10/01/05........................... Aaa AAA 3,127 ---------- 62,550 ---------- GEORGIA -- 8.3% 4,950 Atlanta, Georgia, Airport Facilities Revenue, Capital Appreciation, Series 1991, (AMBAC - TCRS Insured), 5.398%& 01/01/10.......................... Aaa AAA 3,790 10,000 Burke County, Georgia, Development Authority, PCR, (Oglethorpe Power Corporation) Series 1993A, (FGIC Insured, Bayerische Landesbank SBA), 1.700%&& 01/01/16......................... Aaa AAA 9,999 3,100 Burke County, Georgia, Development Authority, PCR, (Oglethorpe Power Corporation), Series 1999A, 1.760% 01/01/20........................... Aaa AAA 3,100 2,000 Burke County, Georgia, Development Authority, PCR, (Vogtle Project) Series 1995, 1.300% 10/01/32........................... A2 A 2,000
SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $ 5,000 Burke County, Georgia, Development Authority, PCR, Series 1994, 1.495%&& 10/01/32......................... Aaa AAA $ 5,000 3,335 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 3,513 1,200 Coweta County, Georgia, School District Sales Tax, GO, Series 2002, (State Aid Withholding), 4.000% 08/01/07........................... Aa2 AA 1,262 2,000 Coweta County, Georgia, School District, GO, Series 2002, (State Aid Withholding), 5.000% 08/01/07........................... Aa2 AA 2,158 2,000 Dalton, Georgia, Building Authority, Revenue, Series 2001, 5.000% 07/01/05........................... Aa3 A+ 2,050 2,300 DeKalb County, Georgia, Development Authority, Industrial Development Revenue, (Rock-Tenn Converting Company Project) Series 1995, (SunTrust Bank, Atlanta LOC), 1.770%&& 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+ 6,592 2,600 Fayette County, Georgia, School District, GO, Series 2001, (State Aid Withholding), 5.250% 03/01/09........................... Aa3 AA 2,882 6,500 Forsyth County, Georgia, Development Authority, Revenue, (Pinecrest Academy Inc. Project) Series 2000, (SunTrust Bank LOC), 1.690%&& 09/01/25......................... Aa3 AA- 6,500
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $ 950 Gainesville and Hall County, Georgia, Hospital Authority, Revenue Refunding, (Northeast Georgia Health System, Inc. Project), 4.000% 05/15/07........................... A3 A- $ 978 5,750 Georgia State, GO, Series 2002, 3.000% 11/01/04........................... Aaa AAA 5,757 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 2,579 2,855 Georgia, Private Colleges and Universities Authority, Revenue, (Emory University Project) Series 2002A, 5.000% 09/01/06........................... Aa2 AA 3,022 2,200 Gwinnett County, Georgia, Development Authority, IDR, (Maltese Signs Inc. Project) Series 2000, AMT, (Suntrust Banks Inc. LOC), 1.820%&& 02/01/15......................... Aa3 AA- 2,200 3,000 Houston County, Georgia, School District, GO, Series 2002, (State Aid Withholding), 4.000% 09/01/06........................... Aa2 AA 3,119 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 3,958
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $ 7,000 Richmond County, Georgia, Development Authority, IDR Refunding, (Archer Daniels Midland Project) Series 1993, 5.300% 05/01/05........................... A1 A+ $ 7,144 6,000 Richmond County, Georgia, GO, Board of Education, Series 2002, (State Aid Withholding) 5.000% 11/01/05........................... Aa2 AA 6,209 ---------- 86,112 ---------- HAWAII -- 1.3% 9,815 Hawaii State, Airports System Revenue, AMT, (FGIC Insured), 5.000% 07/01/08........................... Aaa AAA 10,556 2,500 Hawaii State, GO Refunding, Series 2002CY, (FSA Insured), 5.250% 02/01/07........................... Aaa AAA 2,683 ---------- 13,239 ---------- IDAHO -- 1.0% 10,495 Idaho, Housing and Finance Association, (Single Family Mortgage Project) Series 2002B-I, (Bayerische Landesbank Girozentrale Liquidity Facility), 1.750%&& 07/01/33......................... Aaa AAA 10,494 ---------- ILLINOIS -- 7.3% 1,260 Broadview, Illinois, Tax Increment Revenue, Series 1999, 4.750% 07/01/05........................... Baa2 BBB 1,275 5,000 Chicago, Illinois, (Capital Appreciation - Central Loop Project) Refunding GO, Series 2003A, (XLCA Insured), 2.937%& 12/01/08.......................... Aaa AAA 4,428 2,000 Chicago, Illinois, Metropolitan Water Reclamation District, Greater Chicago Capital Improvement Bonds, Series 2002D, 5.000% 12/01/07........................... Aaa AA+ 2,167
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ ILLINOIS -- (CONTINUED) $ 2,000 Chicago, Illinois, Public Building Commission Building Revenue, Series 1999A, (FGIC Insured), 5.500% 02/01/06........................... Aaa AAA $ 2,096 1,365 Chicago, Illinois, Single Family Mortgage Revenue, Series 2001, AMT, (FNMA/GNMA/ FHLMC COLL, Merrill Lynch Capital Services SBA), 1.780%&& 04/01/07......................... Aaa AAA 1,365 4,545 Cook County, Illinois, GO Refunding, Series 2003B, (MBIA Insured), 5.000% 11/15/07........................... Aaa AAA 4,920 1,885 Cook County, Illinois, High School District 209 Proviso Township, GO, Series 2004, (FSA Insured), 3.370%& 12/01/09.......................... Aaa AAA 1,716 5,580 Cook County, Illinois, Township High School District 211 Palatine and Schaumburg, GO, Series 2001, 5.000% 12/01/05........................... Aa2 AA 5,788 1,400 Evanston, Illinois, GO Refunding, Series 2002C, 5.000% 01/01/06........................... Aaa AAA 1,455 3,000 Illinois State GO, Series 2001, (FGIC Insured), 4.000% 11/01/04........................... Aaa AAA 3,006 5,205 Illinois State, GO Refunding, Series 2001, (FSA Insured), 5.250% 10/01/06........................... Aaa AAA 5,544 1,500 Illinois State, GO, Series 2001, 5.000% 04/01/05........................... Aa3 AA 1,525 4,500 Illinois State, GO, Series 2001, 5.000% 11/01/05........................... Aa3 AA 4,657 1,680 Illinois State, GO, Series 2001, 5.000% 05/01/07........................... Aa3 AA 1,802
SEE NOTES TO FINANCIAL STATEMENTS. 38 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ ILLINOIS -- (CONTINUED) $ 7,350 Illinois, Development Finance Authority, PCR, Revenue Refunding, (Commonwealth Edison Company), Series 1996, (AMBAC Insured), 4.400% 12/01/06........................... Aaa AAA $ 7,686 5,000 Illinois, Educational Facilities Authority Revenue, (University of Chicago) Series 2001B-2, 4.000% 07/01/36........................... Aa1 AA+ 5,205 6,955 Illinois, Educational Facilities Authority, Revenue, (National Louis University) Series 1999A, (American National B&T LOC), 1.710%&& 06/01/29......................... A1 A+ 6,955 3,115 Illinois, Regional Transportation Authority, Revenue Refunding, Series 2003C, (FGIC Insured, GO of Authority), 4.000% 07/01/06........................... Aaa AAA 3,229 1,000 Northern Illinois University Revenue, Auxiliary Facilities System, Series 1992, (FGIC Insured), 2.177%& 10/01/06.......................... Aaa AAA 958 1,000 Schaumburg, Illinois, GO, Series 2002A 5.000% 01/01/07........................... Aa1 AA+ 1,066 5,000 University of Illinois, Certificates of Partnerships, (University of Illinois- Integrate Project), (AMBAC Insured), 5.250% 10/01/06........................... Aaa AAA 5,317 2,975 Will County, Illinois, Community Unified School District 365, Capital Appreciation Bond, GO, Series 2002, (FSA Insured), 1.593%& 11/01/04.......................... Aaa AAA 2,971 ---------- 75,131 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ INDIANA -- 1.6% $ 1,585 Fort Wayne, Indiana, Sewage Works Improvements, Revenue Refunding, Series 2002B, (AMBAC Insured), 5.000% 08/01/06........................... Aaa AAA $ 1,672 2,500 Franklin, Indiana, Economic Development Revenue Refunding, (Hoover Universal, Inc. Project) Series 1994, (GTY-AGMT), 6.100% 12/01/04........................... A2 A- 2,518 1,550 Indiana State, Office Building Commission Facilities Revenue, Indiana State Museum Facility, Series 2003, (MBIA Insured), 5.000% 07/01/07........................... Aaa AAA 1,669 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 1,553 6,000 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 6,212 3,000 Rockport, Indiana, PCR Refunding, (Indiana Michigan Power Company Project), Series 2003C, 2.625% 04/01/25........................... Baa2 BBB 2,999 ---------- 16,623 ---------- IOWA -- 0.1% 1,000 Des Moines, Iowa, GO Refunding, Series 1996F, 5.000% 06/01/06........................... Aa2 AA+ 1,021 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 39 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ KANSAS -- 1.0% $ 9,000 Burlington, Kansas, Environmental Improvement Revenue Refunding, (Power and Light Project) Series 1998C, Mandatory Put 10/01/07 @ 100, 4.750% 09/01/15........................... A3 BBB $ 9,464 1,100 Johnson County, Kansas, Water District No. 001, Water Revenue, Series 1996A, 5.250% 12/01/06........................... Aaa AAA 1,177 ---------- 10,641 ---------- KENTUCKY -- 0.4% 1,945 Kentucky State, Property and Buildings Community, Revenue Refunding, (Number 74 Project) Series 2002, 5.000% 08/01/05........................... Aaa AAA 1,999 2,250 Kentucky, Asset/Liability Commission General Fund, Revenue Refunding, Series 2003A, (AMBAC Insured), 5.000% 07/15/10........................... Aaa AAA 2,490 ---------- 4,489 ---------- LOUISIANA -- 2.4% 5,000 Calcasieu Parish, Louisiana, Industrial Development Board, PCR Refunding, (Occidental Petroleum Project) Series 2001, 4.800% 12/01/06........................... Baa1 BBB+ 5,221 3,000 Louisiana State, Energy and Power Authority, Revenue Refunding, (Power Project) Series 2000, (FSA Insured), 5.250% 01/01/06........................... Aaa AAA 3,127 2,000 Louisiana State, Gas and Fuels Tax Revenue Refunding, Series 1999A, (FSA Insured), 5.000% 11/15/04........................... Aaa AAA 2,008
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 $ 1,033 4,850 Louisiana, Public Facilities Authority, Hospital Revenue Refunding, Series 1998B, (MBIA Insured), 1.420%&& 07/18/16......................... Aaa AAA 4,850 1,850 Louisiana, Regional Transportation Authority, Revenue, Series 1998, (MBIA Insured), Prerefunded 05/01/05 @ 100.093, 6.125% 05/01/10........................... Aaa AAA 1,900 7,110 New Orleans, Louisiana, Public Improvement, GO, Series 1997A, (FGIC Insured), Prerefunded 12/01/06 @ 100, 2.423%& 09/01/07.......................... Aaa AAA 6,626 ---------- 24,765 ---------- MAINE -- 0.2% 1,900 Baileyville, Maine, PCR, (Georgia-Pacific Corporation Project) Series 1998, 4.750% 06/01/05........................... Ba3 BB- 1,913 ---------- MARYLAND -- 1.4% 3,700 Baltimore, Maryland, Refunding and Conservative Public Improvement GO, Series 2003A, (FSA Insured), 1.380% 10/15/20........................... Aaa AAA 3,700 6,975 Maryland State, Community Development Administration Department Housing and Community Development People's Resource Center, revenue Refunding AMT, Series 2003E, 1.250% 03/01/32........................... Aa2 AA 6,969
SEE NOTES TO FINANCIAL STATEMENTS. 40 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $ 3,680 Maryland State, Economic Development Corporation Lease Revenue, Maryland Aviation Administration Facilities, Series 2003, (FSA Insured), 5.000% 06/01/07........................... Aaa AAA $ 3,931 ---------- 14,600 ---------- MASSACHUSETTS -- 0.5% 5,160 Boston, Massachusetts, GO Refunding, Series 2002C, 5.000% 02/01/08........................... Aa2 AA 5,604 ---------- MICHIGAN -- 1.9% 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 1,031 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 1,036 1,800 Michigan State, Hospital Finance Authority, Revenue, Mandatory Put 11/15/06 @ 100, 5.300% 11/15/33........................... Aa2 AA 1,916 4,900 Michigan State, Housing Development Authority, Rental Housing Revenue, Series 2000B, (MBIA Insured, Morgan Guaranty Trust), 1.700%&& 04/01/24......................... Aaa AAA 4,900 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 2,032
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ MICHIGAN -- (CONTINUED) $ 2,000 Michigan State, Trunk Line Capital Appreciation Revenue, Series 1992A, (AMBAC Insured), 1.780%& 10/01/05.......................... Aaa AAA $ 1,965 1,900 Michigan, Municipal Bond Authority, Revenue, Clean Water Revolving Fund, Series 2001, 5.000% 10/01/08........................... Aaa AAA 2,083 5,330 Oakland, Michigan, University of Michigan, Revenue, Series 2001, (FGIC Insured), 1.700%&& 03/01/31......................... Aaa AAA 5,330 ---------- 20,293 ---------- MINNESOTA -- 0.5% 1,520 Lake Superior, Minnesota, Independent School District No. 381, GO, Series 2002A, (FSA SD Credit Program), 5.000% 04/01/09........................... Aaa AAA 1,673 1,500 Minneapolis & St. Paul Housing & Redevelopment Authority Health Care, (HealthPartners Obligation Group project), 4.500% 12/01/07........................... Baa1 BBB+ 1,560 2,200 Minneapolis, Minnesota, GO, Convention Center, Series 2002, 4.000% 12/01/07........................... Aa1 AAA 2,324 ---------- 5,557 ---------- MISSISSIPPI -- 1.2% 6,750 Mississippi State, Gaming County Highway Improvements GO, Series 2001B, 5.000% 10/01/06........................... Aa3 AA 7,158 2,265 Mississippi State, GO, Series 2002, 5.500% 11/01/05........................... Aa3 AA 2,357
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ MISSISSIPPI -- (CONTINUED) $ 3,000 Mississippi, Business Finance Corporation, Mississippi Solid Waste Disposal Revenue, (Waste Management, Inc.), (GTY AGMT-WMI Insured), 3.350% 03/01/29........................... Baa2 BBB $ 2,932 ---------- 12,447 ---------- MISSOURI -- 1.5% 5,765 Missouri State, Board of Public State Office Buildings, Special Obligation Revenue Refunding, Series 2001B, 4.000% 12/01/05........................... Aa1 AA+ 5,916 2,250 Missouri State, Health and Educational Facilities Authority, Revenue, (Saint Luke's Episcopal - Presbyterian Hospital Project) Series 2001, (FSA Insured), 3.850% 12/01/05........................... Aaa AAA 2,303 2,470 Missouri State, Health and Educational Facilities Authority, Revenue, (Saint Luke's Episcopal - Presbyterian Hospital Project) Series 2001, (FSA Insured), 4.000% 12/01/06........................... Aaa AAA 2,571 4,000 Missouri State, Health and Educational Facilities Revenue, (SSM Health Care Project) Series 2002A, 5.000% 06/01/07........................... Aa3 AA- 4,267 1,000 Sikeston, Missouri, Electrical Revenue Refunding, Series 1992, (MBIA Insured), 6.100% 06/01/07........................... Aaa AAA 1,103 ---------- 16,160 ---------- NEBRASKA -- 0.2% 2,000 Nebraska, Public Water District Revenue, Series 2005B, (MBIA Insured), 5.250% 01/01/05........................... Aaa AAA 2,018 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ NEVADA -- 2.1% $ 3,300 Clark County, Nevada, School District, GO Refunding, Series 1996, (FGIC Insured), 4.750% 06/15/09........................... Aaa AAA $ 3,475 1,035 Henderson, Nevada, GO Refunding, Series 2001, 4.000% 06/01/05........................... Aa3 AA- 1,051 2,000 Las Vegas, Nevada, GO Refunding, Series 2002B, 4.000% 01/01/08........................... Aa3 AA- 2,101 4,325 Nevada State, Highway Improvement Revenue, Motor Vehicle Fuel Tax, Series 2003, (MBIA Insured), 5.000% 12/01/07........................... Aaa AAA 4,685 3,250 Nevada State, Highway Improvement Revenue, Series 2000A, 5.000% 12/01/06........................... Aa3 AA 3,456 7,000 Nevada State, Highway Improvement Revenue, Series 2000A, 5.000% 12/01/08........................... Aa3 AA 7,661 ---------- 22,429 ---------- NEW HAMPSHIRE -- 0.3% 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 3,059 ---------- NEW JERSEY -- 0.8% 3,000 Essex County, New Jersey, GO Refunding, Series 1996A-1, (FGIC Insured), 6.000% 11/15/07........................... Aaa AAA 3,339 1,175 New Jersey Economic Development Authority Revenue, (New Jersey Port District Project), (AMBAC Insured), 7.050% 02/15/06........................... Aaa AAA 1,244
SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ NEW JERSEY -- (CONTINUED) $ 1,260 New Jersey Economic Development Authority Revenue, North Jersey Port District Project Revenue, (AMBAC Insured), 7.100% 02/15/07........................... Aaa AAA $ 1,376 1,445 New Jersey Economic Development Authority Revenue, North Jersey Port District Revenue, (AMBAC Insured), 7.150% 02/15/09........................... Aaa AAA 1,644 1,100 New Jersey Economic Development Authority, (Geriatric and Medical Services, Inc. Project) Revenue Refunding, Series 1992, 7.000% 02/15/05........................... Aaa AAA 1,120 ---------- 8,723 ---------- NEW MEXICO -- 2.7% 10,000 Farmington, New Mexico, PCR, Public Service Refunding, (San Juan Project), Series 2003B, 2.100% 04/01/33........................... Baa2 BBB 9,952 5,915 New Mexico State, GO Refunding, Series 2001B, 5.000% 09/01/06........................... Aa1 AA+ 6,260 2,900 New Mexico State, Hospital Equipment Loan Council Hospital Revenue, (Presbyterian Healthcare Project) Series 2001A, 4.600% 08/01/08........................... Aa3 A+ 3,078 3,500 New Mexico State, Severance Tax Revenue, Series 2002, 4.500% 07/01/05........................... Aa2 AA 3,573 5,000 New Mexico State, Severance Tax Revenue, Series 2002, 5.000% 07/01/07........................... Aa2 AA 5,383 ---------- 28,246 ---------- NEW YORK -- 0.7% 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+ 2,070
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ NEW YORK -- (CONTINUED) $ 3,650 New York State, Environmental Facilities Corporation, Solid Waste Disposal Revenue, (Waste Management Project), Series 2002A, 2.900% 05/01/12........................... Baa2 BBB $ 3,650 1,000 New York State, Urban Development Corporation Revenue, Personal Income Tax, Series 2002D, (FSA-CR Insured), 5.000% 12/15/07........................... Aaa AAA 1,087 ---------- 6,807 ---------- NORTH CAROLINA -- 2.5% 1,000 Charlotte, North Carolina, Certificates of Participation, (Equipment Acquisition Project) Series 2003C, 5.000% 03/01/07........................... Aa1 AA+ 1,068 1,340 Charlotte-Mecklenburg, North Carolina, Hospital Authority Health Care System, Revenue Refunding, 1.891%& 01/01/06.......................... Aa3 AA 1,309 1,300 Guilford County, North Carolina, GO, Series 2004C, (Municipal Government GTD Insured), 4.000% 10/01/20........................... Aa1 AAA 1,368 1,285 Lincoln County, North Carolina, Lease Revenue, Series 2003, (FSA Insured), 4.500% 06/01/07........................... Aaa AAA 1,363 2,070 North Carolina Infrastructure Finance Corporation Lease Purchase Revenue, (Correctional Facilities Project), Series 2003, 5.000% 10/01/06........................... Aa2 AA+ 2,194 2,000 North Carolina State, School improvements GO, Series 1998A, 4.750% 04/01/11........................... Aa1 AAA 2,164
SEE NOTES TO FINANCIAL STATEMENTS. 43 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $ 1,005 North Carolina, Medical Care Commission, Gaston Health Care Hospital Revenue, Series 1998, 4.500% 02/15/05........................... A1 A+ $ 1,015 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 1,013 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- 4,152 1,675 North Carolina, Medical Care Commission, Health System Revenue, (Mission St. Joseph's Health System) Series 2001, 5.000% 10/01/08........................... Aa3 AA 1,828 2,000 Orange County, North Carolina, GO Refunding, Series 2003, 5.000% 06/01/05........................... Aa1 AA+ 2,045 1,125 Rutherford County, North Carolina, Certificates of Participation, Series 2002, 4.500% 09/01/06........................... Aaa AAA 1,179 2,800 University of North Carolina, Revenue Refunding, Series 2002B, 5.000% 12/01/06........................... Aa1 AA+ 2,982 1,000 Wake County, North Carolina, Public Improvement GO, Series 2003A, 5.000% 04/01/06........................... Aaa AAA 1,048
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $ 1,920 Winston-Salem, North Carolina, Risk Acceptance Management Corporation, Certificates of Participation, Series 1988, (Wachovia Bank, N.A. SBPA), 1.700%&& 07/01/09......................... Aaa AAA $ 1,920 ---------- 26,648 ---------- OHIO -- 3.8% 3,000 Dayton, Ohio, Special Facilities Revenue Refunding, (Air Freight Corporation Project) Series 1993F, 6.050% 10/01/09........................... Ba1 BB+ 2,989 2,000 Dayton, Ohio, Special Facilities Revenue Refunding, Series 1993, 6.050% 10/01/09........................... Ba1 BB+ 1,993 2,000 Dayton, Ohio, Special Facilities Revenue, (Air Freight Corporation Project) Series 1988D, AMT, 6.200% 10/01/09........................... Ba1 BB+ 1,993 5,000 Hamilton County, Ohio, Local District Cooling Facilities Revenue, (Trigen Cinergy), 4.600% 06/01/23........................... Baa2 BBB 5,124 2,100 Lucas County, Ohio, GO, Series 1997, 5.300% 12/01/05........................... A1 A+ 2,186 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 AA- 3,000 10,000 Ohio State, Higher Educational Capital Facilities Revenue, Series 2002A-II, 5.000% 12/01/07........................... Aa2 AA 10,848 2,190 Ohio State, Highway Revenue, (Major New State Infrastructure) Series 2002, 4.500% 06/15/06........................... Aa3 AA 2,287
SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ OHIO -- (CONTINUED) $ 5,000 Ohio State, Public Facilities Commission Revenue, (Higher Education Capital Facilities Project) Series 1996 II-A, 4.375% 11/01/05........................... Aaa AAA $ 5,142 4,000 Ohio State, State Building Authority, Revenue, (Arts Facility Building Project) Series 1996, 5.000% 10/01/06........................... Aa2 AA 4,240 ---------- 39,802 ---------- OKLAHOMA -- 1.2% 6,000 Oklahoma State, Capital Improvement Authority, State Highway Capital Improvement Revenue, (MBIA Insured), 5.000% 12/01/09........................... Aaa AAA 6,636 2,000 Oklahoma, Housing Development Authority, Revenue, Series 2000A, (FHLMC COLL), 5.100% 11/01/05........................... Aa3 AA- 2,067 1,165 Tulsa, Oklahoma, Airports Improvement Trust, General Revenue, (Tulsa International Airport), AMT, Series 2004A, (FGIC Insured), 5.000% 06/01/09........................... Aaa AAA 1,256 1,220 Tulsa, Oklahoma, Airports Improvement Trust, General Revenue, (Tulsa International Airport), AMT, Series 2004A, (FGIC Insured), 5.000% 06/01/10........................... Aaa AAA 1,314 1,500 Tulsa, Oklahoma, GO, Series 2001, 4.250% 03/01/09........................... Aa2 AA 1,599 ---------- 12,872 ---------- OREGON -- 0.4% 2,055 Oregon State, Pension GO, 3.312% 06/01/07........................... Aa3 AA- 2,057 2,000 Oregon State, Pension GO, 3.742% 06/01/08........................... Aa3 AA- 2,015 ---------- 4,072 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ PENNSYLVANIA -- 3.1% $ 6,600 Berks County, Pennsylvania, Revenue Bond, Series 2002, (MBIA Insured, Wachovia Bank N.A. SBPA), 1.660%&& 11/01/23......................... Aaa AAA $ 6,600 5,075 Chester County, Pennsylvania, GO Refunding, Series 1995B, Prerefunded 11/15/05 @ 100, 5.625% 11/15/16........................... Aa1 AA 5,300 8,450 Chester County, Pennsylvania, Industrial Development Authority, Revenue, (Malvern Prep School Project) Series 2001, (First Union National Bank LOC), 1.740%&& 04/01/31......................... Aa1 AA 8,450 3,800 Philadelphia, Pennsylvania, Industrial Development Authority, IDR Refunding, (Ashland Oil Inc. Project) Series 1993, 5.700% 06/01/05........................... Baa2 BBB 3,869 3,000 Philadelphia, Pennsylvania, School District, GO Refunding, Series 1998B, (MBIA Insured State Aid Withholding), 5.000% 10/01/06........................... Aaa AAA 3,180 5,000 Philadelphia, Pennsylvania, Water and Wastewater Revenue, (MBIA-IBC Insured), 5.500% 06/15/06........................... Aaa AAA 5,304 ---------- 32,703 ---------- PUERTO RICO -- 1.5% 5,000 Puerto Rico Commonwealth, Public Improvement Refunding GO, Series 2003C, 5.000% 07/01/18........................... Baa1 A- 5,382
SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ PUERTO RICO -- (CONTINUED) $ 6,470 Puerto Rico, Public Buildings Authority Revenue Guaranteed, (Government Facilities) Series 2002C, (Commonwealth GTD), 5.250% 07/01/08........................... Baa1 A- $ 7,084 3,000 Puerto Rico, Public Buildings Authority Revenue Guaranteed, (Government Facilities) Series 2004K, 4.500% 07/01/22........................... Baa1 A- 3,159 ---------- 15,625 ---------- SOUTH CAROLINA -- 3.2% 1,155 Florence County, South Carolina Hospital Revenue, (McLeod Regional Medical Center Project) Series 2004A, (FSA Insured), 5.000% 11/01/09........................... Aaa AAA 1,270 7,750 Richland County, South Carolina, Environmental Improvement Revenue Refunding, (International Paper Company Project) Series 2002A, 4.250% 10/01/07........................... Baa2 BBB 7,992 2,000 South Carolina Jobs Economic Development Authority Economic Development Revenue Refunding, (Republic Services Inc. Project), Series 2004, AMT, 3.250% 04/01/34........................... Bbb BBB+ 2,010 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 2,400 1,000 South Carolina State, Public Service Authority, Revenue, Series 1999A, (MBIA Insured), 5.000% 01/01/05........................... Aaa AAA 1,009
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $ 1,920 South Carolina, Jobs Economic Development Authority, Economic Development Revenue, (Bennettsville Printing Project) Series 1995, (First Union National Bank LOC), 1.760%&& 09/01/10......................... A1 A+ $ 1,920 2,830 South Carolina, Jobs Economic Development Authority, Economic Development Revenue, (Shannon Forest Project) Series 2003, 1.720% 04/01/23........................... NR NR 2,830 510 South Carolina, Jobs Economic Development Authority, Economic Development Revenue, (Valley Proteins Inc. Project) Series 1995, (Harris Bank LOC), 1.760%&& 04/01/10......................... Aa3 AA- 510 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 5,006 1,030 South Carolina, Jobs Economic Development Authority, IDR, Series 1998, (First Union National Bank LOC), 1.860%&& 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 4,773 3,000 York County, South Carolina, PCR, Series 2000B1, 1.530% 09/15/24........................... Aa3 A 3,000 ---------- 33,750 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ 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 $ 1,128 ---------- TENNESSEE -- 2.5% 1,335 Franklin, Tennessee, Special School District, GO Refunding, Series 2002, 4.500% 06/01/06........................... Aa2 AA 1,393 1,125 Maury County, Tennessee, Go, Series 2004A, (MBIA Insured), 4.000% 04/01/08........................... Aaa AAA 1,187 10,000 Memphis, Tennessee, Electric System Revenue, Series 2003A, 5.000% 12/01/09........................... Aaa AAA 11,003 1,405 Memphis-Shelby County, Tennessee, Airport Authority, Airport Revenue Refunding, AMT, Series 2002, (MBIA Insured), 4.000% 11/15/05........................... Aaa AAA 1,438 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 8,261 2,700 Metropolitan Government Nashville & Davidson County, Tennessee, GO, Series 2004, 5.000% 11/15/07........................... Aa2 AA 2,929 ---------- 26,211 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ TEXAS -- 13.7% $ 2,000 Arlington, Texas, Independent School District, GO Refunding, Series 2003, (PSF-GTD), 1.653%& 02/15/05.......................... Aaa AAA $ 1,988 355 Austin, Texas, Airport System Revenue, Series 1995, Prerefunded 11/15/05 @ 102, (MBIA Insured), 5.500% 11/15/06........................... Aaa AAA 375 1,645 Austin, Texas, Airport System Revenue, Series 1995A, (MBIA Insured), 5.500% 11/15/06........................... Aaa AAA 1,738 3,000 Austin, Texas, GO Refunding, 5.250% 09/01/08........................... Aa2 AA+ 3,308 2,830 Austin, Texas, GO, Series 1995, Prerefunded 09/01/05 @ 100, 5.500% 09/01/12........................... Aa2 AA+ 2,930 4,110 Austin, Texas, GO, Series 2001, 5.250% 09/01/08........................... Aa2 AA+ 4,532 4,000 Austin, Texas, Utilities System Revenue Refunding, Series 1992A, (MBIA Insured), 6.000% 11/15/06........................... Aaa AAA 4,329 1,720 Austin, Texas, Utilities System Revenue Refunding, Series 1993A, (FGIC-TCRS Insured), 5.375% 05/15/05........................... Aaa AAA 1,742 3,000 Austin, Texas, Water and Waste Water System Revenue Refunding, Series 2001A&B, (FSA Insured), 6.500% 05/15/05........................... Aaa AAA 3,089 6,160 Brazos River Authority, Texas, PCR Refunding, (TXU Electric Company Project) Series 2001B, Mandatory Put 11/01/06 @ 100, 4.750% 05/01/29........................... Baa2 BBB- 6,388
SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $ 1,555 Carrollton, Texas, Farmers Branch Independent School District, GO Refunding, Series 1993, 2.465%& 02/15/07.......................... Aa2 AA $ 1,467 1,245 Carrollton, Texas, Farmers Branch Independent School District, GO, Series 2000, (PSF-GTD), 5.000% 02/15/07........................... Aaa AAA 1,329 1,000 Central Texas, Higher Education Authority, Revenue Refunding, Series 1993, AMT, (GTD STD LNS), 5.200% 12/01/04........................... Aaa AAA 1,006 1,000 Corpus Christi, Texas, Utilities System Revenue Refunding, Series 2002, (Financial Security Assurance), 4.000% 07/15/07........................... Aaa AAA 1,050 1,000 Corpus Christi, Texas, Utilities Systems Revenue, Series 1999, (FSA Insured), 5.000% 07/15/07........................... Aaa AAA 1,077 4,920 Dallas, Texas, Independent School District, GO, Series 1995, (PSF-GTD), Prerefunded 08/15/05 @ 100, 5.750% 08/15/13........................... Aaa AAA 5,096 2,450 Dallas, Texas, Revenue Refunding, Series 2003C, (FSA Insured), Mandatory Put 07/01/08 @ 100, 5.000% 01/01/18........................... Aaa AAA 2,664 1,000 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Series 2001, 5.000% 10/01/06........................... Aa2 AA+ 1,060 12,615 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Series 2002A, 5.000% 10/01/06........................... Aa2 AA+ 13,371
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $ 5,265 Dallas-Fort Worth, Texas, International Airport Revenue, Series 2002A, (MBIA Insured), 5.500% 11/01/08........................... Aaa AAA $ 5,773 1,330 Fort Bend, Texas, Independent School District, GO, Series 2002, (PSF-GTD), 5.000% 08/15/07........................... Aaa AAA 1,434 5,000 Harris County, Texas (Toll Road) Series 2004B-2, (FGIC Insured), 5.000% 08/15/21........................... Aaa AAA 5,469 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 4,083 2,000 Harris County, Texas, Health Facilities Development Corporation Revenue, (St. Luke's Episcopal Hospital Project) Series 2001A, 5.250% 02/15/06........................... Aa3 AA- 2,078 1,845 Houston, Texas, GO Refunding, Series 1998A, 5.000% 03/01/05........................... Aa3 AA- 1,871 2,400 Houston, Texas, Water & Sewer System, Revenue Refunding, Junior Lien, Series 1991C, (AMBAC Insured), 2.857%& 12/01/08.......................... Aaa AAA 2,132 6,485 Houston, Texas, Water and Sewer Systems Revenue Refunding, Series 1991C, (AMBAC Insured), 2.254%& 12/01/06.......................... Aaa AAA 6,177 6,445 Keller, Texas, Independent School District, GO, Series 1993, (PSF-GTD), Prerefunded 02/15/06 @ 100, 5.500% 08/15/13........................... Aaa AAA 6,767
SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $ 1,225 Lubbock, Texas, GO Refunding, Series 2002, (MBIA Insured), 4.750% 02/15/05........................... Aaa AAA $ 1,239 1,750 Matagorda County, Texas, Navigation District No. 1, PCR, Refunding, Series 1999, 2.150% 05/01/30........................... Baa2 BBB 1,750 2,000 Matagorda County, Texas, Navigation District No. 1, PCR, Refunding, Series 1999, 2.350% 05/01/30........................... Baa2 BBB 1,999 7,400 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........................... Aa3 AA- 7,421 4,940 Red River Authority, Texas, PCR Refunding, (Hoechst Celanese Corporation Project) Series 1994, 5.200% 05/01/07........................... Baa2 BBB 4,817 3,265 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 5.000% 10/01/07........................... Baa2 BBB- 3,475 3,990 Sam Rayburn, Texas, Municipal Power Agency, Taxable Revenue Refunding, Series 2002, 5.600% 10/01/05........................... Baa2 BBB- 4,061 1,000 San Antonio, Texas, Water System Revenue, Series 2002A, (FSA Insured), 5.000% 05/15/06........................... Aaa AAA 1,050
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $ 1,725 Socorro, Texas, Independent School District, GO Refunding, Series 2002, (PSF-GTD), 5.000% 08/15/06........................... Aaa AAA $ 1,822 3,030 Texas A&M University, Revenue, Series 1996, 5.750% 05/15/05........................... Aa1 AA+ 3,106 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+ 4,139 1,000 Texas State, Public Finance Authority, GO Refunding, Series 1997, 5.250% 10/01/09........................... Aa1 AA 1,091 1,100 Texas Tech University, Revenue Financing System Seventh Series, (MBIA Insured), 5.250% 08/15/09........................... Aaa AAA 1,222 4,000 University of Texas, Permanent University Fund, Revenue Refunding, Series 2002A, 5.000% 07/01/06........................... Aaa AAA 4,215 3,500 University of Texas, Permanent University Fund, Revenue Refunding, Series 2002A, 5.000% 07/01/08........................... Aaa AAA 3,821 2,555 University of Texas, University Financing Systems Revenue, Series 2001C, 4.000% 08/15/05........................... Aaa AAA 2,606 ---------- 142,157 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 49 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ UTAH -- 0.8% $ 2,000 Utah County, Utah, Hospital Revenue, (IHC Health Services Inc. Project) Series 2002, 5.000% 05/15/05........................... Aa2 AA+ $ 2,040 5,000 Utah, Intermountain Power Agency, Power Supply Revenue Refunding, Series 1998A, (MBIA Insured), 5.000% 07/01/07........................... Aaa AAA 5,380 1,000 Utah, Intermountain Power Agency, Power Supply Revenue Refunding, Series 2002, (AMBAC Insured), 4.000% 07/01/06........................... Aaa AAA 1,036 ---------- 8,456 ---------- VIRGINIA -- 2.6% 2,000 Arlington County, Virginia, Industrial Development Authority, Hospital Facilities Revenue, (Virginia Hospital Center Project) Series 2001, 5.500% 07/01/05........................... A2 A 2,055 4,000 Fairfax County, Virginia, Economic Development Authority, Resource Recovery, Revenue Refunding, Series 1998A, AMT, (AMBAC Insured), 5.950% 02/01/07........................... Aaa AAA 4,328 4,345 Loudon County, Virginia, Industrial Development Authority Public Safety Facility Lease Revenue, Series 2003B, 5.000% 12/15/08........................... Aa2 AA 4,614 5,000 Louisa, Virginia, Industrial Development Authority, Solid Waste & Sewer Disposal Revenue, (Virginia Electric & Power Company Project), Series 2000A, 2.350% 09/01/30........................... A3 BBB+ 4,946
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 5,635 Virginia, Commonwealth Transportation Board, Federal Highway Reimbursement Notes Revenue, Series 2002, 4.000% 10/01/05........................... Aa2 AA $ 5,764 1,730 Virginia, Port Authority, Commonwealth Revenue, Series 1996, AMT, 5.750% 07/01/05........................... Aa1 AA+ 1,783 1,120 Virginia, Port Authority, Port Facility Revenue, Series 2003, (MBIA Insured), 4.000% 07/01/09........................... Aaa AAA 1,171 1,015 Virginia, Port Authority, Port Facility Revenue, Series 2003, (MBIA Insured), 5.000% 07/01/07........................... Aaa AAA 1,087 1,065 Virginia, Port Authority, Port Facility Revenue, Series 2003, (MBIA Insured), 5.000% 07/01/08........................... Aaa AAA 1,155 ---------- 26,903 ---------- WASHINGTON -- 2.2% 2,190 King County, Washington, School District 405 Bellevue, GO, Series 2002 4.000% 12/01/04........................... Aa1 AA+ 2,199 2,000 Lewis County, Washington, Public Utilities District 001, Revenue Refunding, Series 2003, 5.000% 10/01/06........................... Aaa AA- 2,118 2,605 Seattle, Washington, GO, Series 2001, 4.000% 08/01/05........................... Aa1 AAA 2,655 1,000 Seattle, Washington, Municipal Light and Power Revenue, Series 2001, (FSA Insured), 5.250% 03/01/06........................... Aaa AAA 1,047 2,750 Seattle, Washington, Port of Seattle Revenue, AMT, Series 2001B, (FGIC Insured), 5.500% 04/01/08........................... Aaa AAA 3,000
SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------------ WASHINGTON -- (CONTINUED) $ 1,765 Spokane County, Washington, School District Number 354 Mead, GO Refunding, Series 1993, (MBIA Insured), 5.100% 12/01/05........................... Aaa AAA $ 1,793 3,655 Washington State, GO Refunding, Series 2002R-A, 5.000% 09/01/06........................... Aa1 AA 3,864 1,500 Washington State, GO, Series 2001B, 5.000% 09/01/06........................... Aa1 AA 1,586 5,000 Washington State, GO, Series 2001R-A, 5.250% 09/01/05........................... Aa1 AA 5,160 ---------- 23,422 ---------- WEST VIRGINIA -- 0.1% 1,000 Putnam County, West Virginia, PCR Refunding, (Appalachian Power Company Project) Series, 2003E, 2.800% 05/01/19........................... Baa2 BBB 999 ---------- WISCONSIN -- 2.3% 1,375 Appleton, Wisconsin, Waterworks Revenue Refunding, Series 2001, (FGIC Insured), 4.000% 01/01/07........................... Aaa AAA 1,435 1,000 Appleton, Wisconsin, Waterworks Revenue Refunding, Series 2001, (FGIC Insured), 4.000% 01/01/08........................... Aaa AAA 1,052 5,000 Kaukauna, Wisconsin, PCR Refunding, (International Paper Project) Series 1997A, 5.150% 07/01/06........................... Baa2 BBB 5,220 2,070 Milwaukee, Wisconsin, GO Refunding, Series 2002, (FSA Insured), 5.000% 09/01/07........................... Aaa AAA 2,234 2,080 Milwaukee, Wisconsin, GO Refunding, Series 2002W, (FSA Insured), 4.500% 03/15/09........................... Aaa AAA 2,239
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 $ 1,768 1,615 Wisconsin State, Clean Water Revenue, Series 1, 4.500% 06/01/06........................... Aa2 AA+ 1,684 2,250 Wisconsin State, GO Refunding, Series 1993, 4.900% 11/01/06........................... Aa3 AA- 2,384 4,000 Wisconsin State, GO Refunding, Series 1998, 5.000% 05/01/05........................... Aa3 AA- 4,077 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 1,068 1,030 Wisconsin State, Health and Educational Facilities Authority, Revenue, (Gundersen Lutheran Project) Series 2003A, (FSA Insured), 4.000% 02/15/05........................... Aaa AAA 1,038 ---------- 24,199 ---------- WYOMING -- 1.0% 2,300 Campbell County, Wyoming, School District Number 001-Gillette, GO, Series 1996, (SCH BD GTY), 5.550% 06/01/06........................... Aaa AAA 2,436 8,350 Uinta County, Wyoming PCR, (Amoco Project 2.250% 07/01/26........................... Aa1 AA+ 8,344 ---------- 10,780 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $1,015,246)............................................. 1,025,199 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS FUNDS Nations Short-Term Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
SHARES VALUE (000) (000) -------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 1.1% (Cost $11,876) 11,876 Nations Tax-Exempt Reserves, Capital Class#................. $ 11,876 ---------- TOTAL INVESTMENTS (Cost $1,027,122*).............................. 99.1% 1,037,075 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 0.9% 9,299 ---------- NET ASSETS........................................ 100.0% $1,046,374 ==========
--------------- *Federal income tax information (see Note 8). &Zero coupon security. The rate shown reflects the yield to maturity. && Floating rate note. The interest rate shown reflects the yield to maturity. #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, 2004 (as a percentage of net assets): MBIA 12.15% AMBAC 11.04% FGIC 10.53% FSA 10.03%
Nations Short Term Municipal Income Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Industrial Development Revenue/Pollution Control Revenue 17.99% Transportation Revenue 12.56%
SEE NOTES TO FINANCIAL STATEMENTS. 52 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 100.1% ALABAMA -- 1.0% $ 2,000 Alabama State, Public School and College Authority, GO Refunding, Series 1993, 5.000% 12/01/05........................... Aa3 AA- $ 2,045 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 3,493 2,500 Birmingham, Alabama, Baptist Medical Centers Special Care Facilities Financing Authority, Revenue Refunding, (Baptist Medical Centres Project) Series 1993A, (MBIA Insured), 5.500% 08/15/05........................... Aaa AAA 2,533 2,500 Birmingham, Alabama, Industrial Water Board, Industrial Water Supply Revenue, Series 1978, (MBIA Insured), 6.000% 07/01/07........................... Aaa AAA 2,726 685 Birmingham, Alabama, Medical Clinic Board Revenue, (Baptist Medical Centers Project) Series 1979, 8.300% 07/01/08........................... Aaa AAA 759 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 5,761 820 Prichard, Alabama, Waterworks and Sewer Board, Water and Sewer Revenue Refunding, Series 1994, (AMBAC Insured), 5.650% 11/15/04........................... Aaa AAA 824 ---------- 18,141 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- ALASKA -- 2.6% $ 3,000 Alaska State, Housing Finance Corporation Revenue, Series 1992A, 6.000% 12/01/05........................... Aa2 AA $ 3,136 1,965 Alaska State, Housing Finance Corporation Revenue, Series 1995A, (MBIA, FHA/VA/FNMA Mortgages), 5.800% 12/01/12........................... Aaa AAA 2,036 11,500 Alaska State, Housing Finance Corporation Revenue, Series 1997A, (MBIA Insured), 6.000% 06/01/27........................... Aaa AAA 12,008 1,505 Alaska State, Housing Finance Corporation, Revenue, Series 1995A, (MBIA Insured), 5.400% 06/01/08........................... Aaa AAA 1,569 3,345 Alaska, Industrial Development and Export Authority, Revenue Refunding, Series 1998A, AMT, (MBIA Insured), 5.250% 04/01/12........................... Aaa AAA 3,616 895 Alaska, Industrial Development and Export Authority, Revenue, Series 1995A, 6.000% 04/01/05........................... A2 A- 911 1,250 Alaska, Student Loan Corporation, Revenue, Series 1997A, AMT, (AMBAC Insured), 5.200% 07/01/06........................... Aaa AAA 1,317 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 2,171 5,000 Anchorage, Alaska, GO Refunding, Schools, Series 2004B, (AMBAC Insured), 5.250% 12/01/15........................... Aaa AAA 5,674
SEE NOTES TO FINANCIAL STATEMENTS. 53 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- ALASKA -- (CONTINUED) $10,600 Anchorage, Alaska, GO Refunding, Series 2002, (MBIA Insured), 5.250% 07/01/10........................... Aaa AAA $ 11,857 1,000 Fairbanks, Alaska, North Star Borough GO Refunding, Series 1993S, (MBIA Insured), 5.500% 03/01/08........................... Aaa AAA 1,101 ---------- 45,396 ---------- ARIZONA -- 2.9% 500 Arizona State, Power Authority, Power Reserves Revenue, Series 2001, 5.000% 10/01/10........................... Aa2 AA 553 1,500 Arizona, Educational Loan Marketing Corporation, Educational Loan Revenue, Series 1993, 6.300% 12/01/08........................... NR NR 1,532 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 1,564 10,000 Arizona, School Facility Board, Certificate of Participation, Series 2003A, (MBIA Insured), 5.250% 09/01/14........................... Aaa AAA 11,161 3,715 Maricopa County, Arizona, Industrial Development Authority, Health Facilities Revenue, Series 1999A, (GNMA COLL, FHA), 6.300% 09/20/38........................... Aa2 AA 3,991 70 Maricopa County, Arizona, Industrial Development Authority, Single Family Mortgage Revenue, Series 2001-1B, (GNMA/FHLMC COLL), 6.100% 09/01/28........................... Aaa AAA 71 6,300 Maricopa County, Arizona, Unified High School District Number 210, GO, Series 2003, (MBIA Insured), 5.000% 07/01/15........................... Aaa AAA 7,027
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- ARIZONA -- (CONTINUED) $ 910 Mohave County, Arizona, Elementary School District Number 016 Mohave Valley, GO, Series 1997, (MBIA Insured), 6.900% 07/01/07........................... Aaa AAA $ 1,025 4,710 Phoenix, Arizona, Civic Improvement Corporation, Airport Revenue Refunding, Senior Lien, Series 1999A, AMT, (FGIC Insured), 5.500% 07/01/11........................... Aaa AAA 5,221 1,000 Phoenix, Arizona, Civic Improvement Corporation, Excise Tax Revenue, Senior Lien, (Municipal Courthouse Project) Series 1999A, 5.500% 07/01/12........................... Aa2 AAA 1,122 2,125 Pima County, Arizona, Unified School District, GO, Series 1995G, (MBIA Insured), 7.300% 07/01/05........................... Aaa AAA 2,213 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 5,140 705 Tucson & Pima County, Arizona, Industrial Development Authority, Single Family Mortgage Revenue, Series 2001A-1, AMT, (GNMA/FNMA/FHLMC COLL), 6.350% 01/01/34........................... Aaa AAA 754 960 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 971 500 Tucson, Arizona, Airport Authority, Revenue, Series 2001, AMT, (AMBAC Insured), 5.500% 06/01/12........................... Aaa AAA 548
SEE NOTES TO FINANCIAL STATEMENTS. 54 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- ARIZONA -- (CONTINUED) $ 1,000 Tucson, Arizona, GO Refunding, Series 1995, (FGIC Insured), 5.600% 07/01/07........................... Aaa AAA $ 1,038 4,760 Tucson, Arizona, GO Refunding, Series 1998, 5.500% 07/01/18........................... Aa3 AA 5,520 1,235 Yuma County, Arizona, Jail District Revenue, Series 1996, (AMBAC Insured), 5.300% 07/01/09........................... Aaa AAA 1,279 ---------- 50,730 ---------- ARKANSAS -- 1.5% 13,725 Arkansas State, Federal Highway Grant Anticipation GO, Series 2001A, 5.250% 08/01/09........................... Aa2 AA 15,316 10,000 Arkansas State, GO, Series 2000A, 5.500% 08/01/11........................... Aa2 AA 11,146 ---------- 26,462 ---------- CALIFORNIA -- 8.1% 1,000 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- 1,092 8,000 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- 8,754 10,000 California State, Department of Water Resources Supply Revenue, Series 2002A, 5.500% 05/01/11........................... A2 BBB+ 11,253 2,000 California State, Department of Water Resources, Power Supply Revenue, Series 2002A, 6.000% 05/01/13........................... A3 BBB+ 2,332
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 1,000 California State, Economic Recovery, GO, Series 2004A, 4.500% 01/01/07........................... Aa3 AA- $ 1,056 5,000 California State, Economic Recovery, GO, Series 2004A, (MBIA Insured), 5.000% 07/01/15........................... Aaa AAA 5,532 3,265 California State, GO, Series 2000, 5.000% 12/01/16........................... Baa1 BBB 3,490 2,000 California State, Public Works Board Lease Revenue, (Department of Health - Colinga) Series 2004A, 5.500% 06/01/19........................... Baa1 BBB 2,211 1,750 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 1,822 5,500 California, Statewide Communities Development Authority, Revenue Certificates of Participation, Series 1993, 5.400% 11/01/15........................... A3 A- 5,578 1,800 Citrus Heights, California, Water District Revenue, Series 2000, (FGIC Insured), 5.250% 10/01/20........................... Aaa AAA 1,966 3,500 Golden State Tobacco Securitization Corporations, Tobacco Settlement Revenue, Series 2003A, 6.250% 06/01/33........................... Baa2 BBB 3,309 7,700 Los Angeles County, California, Metropolitan Transportation Authority Sales Tax Revenue, (Property A First Tier Senior) Series 2003A, (FSA Insured), 5.000% 07/01/18........................... Aaa AAA 8,305
SEE NOTES TO FINANCIAL STATEMENTS. 55 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 6,280 Los Angeles County, California, Metropolitan Transportation Authority Sales Tax Revenue, (Property A First Tier Senior) Series 2003A, (FSA Insured), 5.000% 07/01/17........................... Aaa AAA $ 6,812 9,035 Los Angeles, California, Public Improvement, GO, Series 2003A, (MBIA Insured), 5.000% 09/01/12........................... Aaa AAA 10,086 10,000 Los Angeles, California, Unified School District, Series 1998B, 5.000% 07/01/18........................... Aaa AAA 10,713 6,425 Milpitas, California, Redevelopment Agency, Tax Allocation, Series 2003, (MBIA Insured), 5.000% 09/01/15........................... Aaa AAA 7,019 6,745 Milpitas, California, Redevelopment Agency, Tax Allocation, Series 2003, (MBIA Insured), 5.000% 09/01/16........................... Aaa AAA 7,326 3,000 Pico Rivera, California, Water Authority Revenue, (Water System Project) Series 1999A, (MBIA Insured), 5.500% 05/01/29........................... Aaa AAA 3,352 6,000 Port Oakland, California, Port Revenue Refunding, Series 1997H, AMT, (MBIA Insured), 5.500% 11/01/15........................... Aaa AAA 6,480 10,000 Sacramento, California, Municipal Utility District Electric Revenue Refunding, Series 2003S, (FSA Insured), 5.000% 11/15/09........................... Aaa AAA 11,099 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 2,256
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 $ 16,383 4,195 Santa Clara, California, Redevelopment Agency Tax Allocation, (Bayshore North Project) Series 2002, (AMBAC Insured), 5.500% 06/01/13........................... Aaa AAA 4,760 ---------- 142,986 ---------- COLORADO -- 2.8% 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 1,104 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- 3,837 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 2,657 10,000 Colorado, E-470 Public Highway Authority, Refunding Revenue, Series 1997B, (MBIA Insured), 3.886%& 09/01/12.......................... Aaa AAA 7,370 4,000 Colorado, Northwest Parkway Public Highway Authority, Revenue, Series 2001C, 4.739%& 06/15/21.......................... Aaa AAA 3,135 3,075 Denver, Colorado, City and County Airport Revenue Refunding, Series 2000A, AMT, (AMBAC Insured), 6.000% 11/15/15........................... Aaa AAA 3,434
SEE NOTES TO FINANCIAL STATEMENTS. 56 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- COLORADO -- (CONTINUED) $10,300 Denver, Colorado, City and County Airport Revenue, Series 1995C, (MBIA Insured), 6.500% 11/15/12........................... Aaa AAA $ 12,128 5,570 Denver, Colorado, City and County Excise Tax Revenue Refunding, Series 1999A, (FSA Insured), 5.375% 09/01/11........................... Aaa AAA 6,181 1,630 Denver, Colorado, Health and Hospital Authority, Healthcare Revenue, Series 2001A, 6.000% 12/01/23........................... Baa3 BBB 1,692 7,385 Douglas County, Colorado, School District Number RE-1, Douglas and Elbert Counties, GO, Series 2001, (MBIA Insured, State Aid Withholding), Prerefunded 12/15/11 @ 100, 5.250% 12/15/13........................... Aaa AAA 8,348 ---------- 49,886 ---------- CONNECTICUT -- 1.1% 10,470 Connecticut State, GO, Series 2002D, 5.250% 11/15/08........................... Aa3 AA 11,589 7,800 Stamford, Connecticut, Housing Authority, Multi-Family Revenue Refunding, (Housing- Fairfield Apartments Project) Series 1998, AMT, Mandatory Put 12/01/08 @ 100, 4.750% 12/01/28........................... Baa1 BBB+ 8,010 ---------- 19,599 ---------- DISTRICT OF COLUMBIA -- 0.8% 1,375 District Columbia, Revenue, (Georgetown University Project) Series 1988C, (MBIA Insured), 4.850% 04/01/09........................... Aaa AAA 1,480 2,000 District Columbia, Water and Sewer Authority, Public Utility Revenue, Series 1998, (FSA Insured), 5.500% 10/01/11........................... Aaa AAA 2,271
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- DISTRICT OF COLUMBIA -- (CONTINUED) $ 1,000 District of Columbia, Hospital Revenue Refunding, (Medlantic Healthcare Group Project) Series 1997A, (MBIA Insured), 6.000% 08/15/06........................... Aaa AAA $ 1,074 1,350 District of Columbia, Hospital Revenue Refunding, (Medlantic Healthcare Group Project) Series 1997A, (MBIA Insured), 6.000% 08/15/07........................... Aaa AAA 1,492 3,050 District of Columbia, Revenue, (Georgetown University Project) Series 1988C, (MBIA Insured), 5.050% 04/01/11........................... Aaa AAA 3,321 2,000 District of Columbia, Revenue, (The Smithsonian Institute Project) Series 1997, 5.000% 02/01/17........................... Aaa AAA 2,156 1,500 Metropolitan Washington, District of Columbia, Airport Revenue, Series 1994A, AMT, (MBIA Insured), 5.600% 10/01/06........................... Aaa AAA 1,530 ---------- 13,324 ---------- FLORIDA -- 3.6% 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........................... Baa2 BBB 2,772 3,265 Escambia County, Florida, Housing Finance Authority, Single-Family Mortgage Revenue, Series 1999, AMT, (FNMA/GNMA COLL), 4.500% 10/01/09........................... Aaa AAA 3,431 2,500 Florida State, Board of Education, Capital Outlay Refunding GO, Series 1995D, 4.750% 06/01/07........................... Aa2 AA+ 2,571
SEE NOTES TO FINANCIAL STATEMENTS. 57 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 3,990 Florida State, Board of Education, Capital Outlay Refunding GO, Series 1998B, 5.250% 06/01/11........................... Aa2 AA+ $ 4,478 7,290 Florida State, Department of Transportation, GO Refunding, Series 2002, 5.250% 07/01/13........................... Aa2 AA+ 8,197 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........................... Baa2 BBB 2,059 4,695 Florida, Ports Financing Commission Revenue, State Transportation Trust Fund, Series 1996, (MBIA Insured), 6.000% 06/01/06........................... Aaa AAA 5,004 1,750 Jacksonville, Florida, Excise Taxes Revenue, Series 2003C, (MBIA Insured), 5.250% 10/01/19........................... Aaa AAA 1,902 5,000 Miami-Dade County, Florida, Aviation Revenue Refunding, Series 1998A, AMT, 5.250% 10/01/07........................... Aaa AAA 5,398 4,075 North Broward, Florida, Hospital District Revenue Refunding, Series 1997, 5.250% 01/15/11........................... Aaa AAA 4,367 7,000 Pinellas County, Florida, Housing Authority, Housing Revenue, (Affordable Housing Project), Series 2001, (FSA Insured), 4.600% 12/01/10........................... Aaa AAA 7,473 6,080 Tampa, Florida, Health Systems Revenue, (Catholic Health East Project) Series 1998A-1, (MBIA Insured), 5.500% 11/15/13........................... Aaa AAA 6,956
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 6,000 Tampa, Florida, Health Systems Revenue, (Catholic Health East Project) Series 1998A-1, (MBIA Insured), 5.500% 11/15/14........................... Aaa AAA $ 6,878 1,645 Tampa, Florida, Water and Sewer Revenue, Series 1987, 6.800% 10/01/07........................... Aaa AAA 1,755 ---------- 63,241 ---------- GEORGIA -- 1.9% 15,305 Atlanta, Georgia, Water & Wastewater Revenue, Series 1999A, 5.500% 11/01/18........................... Aaa AAA 17,886 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+ 3,859 5,635 DeKalb County, Georgia, Special Recreation Tax District, GO, Series 2001, 5.000% 12/01/13........................... Aaa AA+ 6,329 4,400 Georgia State, GO, Series 1997C, 6.250% 08/01/09........................... Aaa AAA 5,093 ---------- 33,167 ---------- HAWAII -- 1.0% 13,745 Hawaii State, GO, Series 2001CV (FGIC Insured), 5.500% 08/01/09........................... Aaa AAA 15,441 2,500 Honolulu City and County, Hawaii, GO Refunding, Series 1990A, 7.350% 07/01/07........................... Aa2 AA- 2,837 ---------- 18,278 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 58 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- ILLINOIS -- 7.5% $ 5,195 Chicago, Illinois, City Colleges Chicago Capital Improvement, GO, Series 1999, (FGIC Insured), 6.000% 01/01/11........................... Aaa AAA $ 5,953 1,000 Chicago, Illinois, Emergency Telephone Systems, GO, Series 1998, (FGIC Insured), 5.550% 01/01/08........................... Aaa AAA 1,102 2,000 Chicago, Illinois, Equipment Notes, GO, Series 1998, (FGIC Insured), 5.000% 01/01/08........................... Aaa AAA 2,163 605 Chicago, Illinois, GO Refunding, (Escrowed to Maturity - Project & Refunding) Series 199A, (FGIC Insured), 5.000% 01/01/08........................... Aaa AAA 656 5,650 Chicago, Illinois, GO Refunding, Series 1999, (FGIC Insured), 5.000% 01/01/15........................... Aaa AAA 6,054 7,540 Chicago, Illinois, GO Refunding, Series 1999, (FGIC Insured), 5.250% 01/01/18........................... Aaa AAA 8,527 5,975 Chicago, Illinois, Housing Authority, Capital Program Revenue, Series 2001, 5.250% 07/01/12........................... Aa3 AA 6,590 5,000 Chicago, Illinois, Housing Authority, Capital Program Revenue, Series 2001, 5.375% 07/01/13........................... Aa3 AA 5,503 5,640 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Series 1993C, (MBIA Insured), 5.000% 01/01/11........................... Aaa AAA 6,201 10,000 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Series 1999, (AMBAC Insured), 5.500% 01/01/12........................... Aaa AAA 10,864 1,135 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), 5.250% 01/01/09........................... Aaa AAA 1,231
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 1,195 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), 5.250% 01/01/10........................... Aaa AAA $ 1,296 1,260 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), 5.250% 01/01/11........................... Aaa AAA 1,364 1,325 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), 5.250% 01/01/12........................... Aaa AAA 1,435 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 1,013 2,000 Chicago, Illinois, Water Revenue Refunding, Series 1992, (AMBAC Insured), 5.600% 11/01/04........................... Aaa AAA 2,007 1,490 Chicago, Illinois, Water Revenue Refunding, Series 1993, (FGIC Insured), 5.100% 11/01/08........................... Aaa AAA 1,634 1,000 Cook County, Illinois, Capital Improvement GO, Series 1996, (FGIC Insured), 5.400% 11/15/07........................... Aaa AAA 1,075 2,265 Cook County, Illinois, School District Number 135, GO Refunding, Series 1995, (FGIC Insured), 5.450% 12/01/08........................... Aaa AAA 2,402 2,350 Cook County, Illinois, School District Number 135, GO Refunding, Series 1995, (FGIC Insured), 5.550% 12/01/09........................... Aaa AAA 2,489 1,145 Du Page County, Illinois, School District, GO, Series 1997, (FGIC Insured), 6.750% 02/01/11........................... Aaa AAA 1,373 6,850 Illinois State, GO, Series 2000, Prerefunded 06/01/10 @ 100, 5.750% 06/01/15........................... Aaa AAA 7,845
SEE NOTES TO FINANCIAL STATEMENTS. 59 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $10,000 Illinois State, GO, Series 2002, (FSA Insured), 5.375% 12/01/13........................... Aaa AAA $ 11,393 5,525 Illinois, Development Financial Authority, Solid Waste Disposal Revenue, (Waste Management Inc. Project) Series 1997, AMT, 5.050% 01/01/10........................... Baa2 BBB 5,784 1,030 Illinois, Educational Facilities Authority, Revenue, (Shedd Aquarium Society Project) Series 1997, (AMBAC Insured), 5.150% 07/01/09........................... Aaa AAA 1,126 1,025 Illinois, Educational Facilities Authority, Revenue, (Shedd Aquarium Society Project) Series 1997, (AMBAC Insured), 5.250% 07/01/10........................... Aaa AAA 1,123 1,145 Illinois, Educational Facilities Authority, Revenue, (Shedd Aquarium Society Project) Series 1997, (AMBAC Insured), 5.300% 07/01/11........................... Aaa AAA 1,256 1,000 Illinois, Finance Authority, Revenue Refunding, (DePaul University), Series 2004A, 5.375% 10/01/17........................... Baa1 BBB+ 1,110 2,000 Illinois, Finance Authority, Revenue Refunding, (DePaul University), Series 2004A, 5.375% 10/01/18........................... Baa1 BBB+ 2,220 635 Illinois, Health Facilities Authority, Revenue, (Franciscan Sisters Health Care Hospital) Series 1994A, (MBIA Insured), 6.500% 09/01/05........................... Aaa AAA 663 1,500 Illinois, Health Facilities Authority, Revenue, (Galesburg Cottage Hospital Project), Series 2000, (RADIAN Insured), 6.000% 05/01/15........................... Aa2 AA 1,729
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 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 $ 7,120 2,400 Illinois, Metropolitan Pier and Exposition Authority, Revenue, Series 1992, (MBIA-IBC Insured), 6.500% 06/01/05........................... Aaa AAA 2,476 1,580 Illinois, Metropolitan Pier and Exposition Authority, Revenue, Series 1996A, (AMBAC Insured), 6.000% 12/15/06........................... Aaa AAA 1,715 6,985 Illinois, Northwest Municipal Junction Action, Water Agency and Supply Systems Revenue, Series 1997, (MBIA Insured), 5.125% 05/01/11........................... Aaa AAA 7,605 1,670 Illinois, University Housing and Auxiliary Facilities Systems Revenue, Series 1996, (MBIA Insured), 5.000% 10/01/07........................... Aaa AAA 1,791 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 1,028 1,750 Regional Transportation of Illinois Authority, Series 1994C, (FGIC Insured), 7.750% 06/01/11........................... Aaa AAA 2,218 2,250 Springfield, Illinois, Electric Revenue, Senior Lien, Series 1991, 6.500% 03/01/07........................... Aa3 A+ 2,478 ---------- 131,612 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 60 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- INDIANA -- 2.4% $ 2,500 Columbus, Indiana, Four Star School Building Revenue, Series 1995, (MBIA Insured, State Aid Withholding), 5.700% 01/15/08........................... Aaa AAA $ 2,625 1,575 Hamilton County, Indiana, County Option Income Tax Revenue, Series 1998, (FSA Insured), 5.250% 07/10/12........................... Aaa AAA 1,724 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 1,457 3,170 Hamilton, Southeastern Indiana, Consolidated School Building Corporation, Revenue, Series 1996, (AMBAC Insured, State Aid Withholding), 5.500% 01/15/12........................... Aaa AAA 3,382 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 1,239 9,100 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+ 9,388 1,100 Indiana, Bond Bank Revenue, (State Revolving Fund Project) Series 1995A, 6.875% 02/01/12........................... Aaa AAA 1,141 1,035 Indiana, Ivy Tech State College Revenue, Series 1997E, (AMBAC Insured), 5.000% 07/01/07........................... Aaa AAA 1,109
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 1,000 Indiana, Ivy Tech State College Revenue, Series 1997E, (AMBAC Insured), 5.050% 07/01/09........................... Aaa AAA $ 1,074 1,000 Indiana, Transportation Financing Authority, Highway Revenue, Series 1998A, (MBIA Insured), 5.250% 12/01/13........................... Aaa AAA 1,119 1,500 Indiana, Transportation Financing Authority, Highway Revenue, Series 1998A, (MBIA Insured), 5.250% 12/01/14........................... Aaa AAA 1,679 1,000 Indiana, University of Indiana Revenue, Series 1998K, Prerefunded 08/01/05 @ 102, 5.800% 08/01/11........................... Aa2 AA 1,054 1,000 Indiana, University of Indiana Revenue, Series 1998K, Prerefunded 08/01/05 @ 102, 5.900% 08/01/12........................... Aa2 AA 1,055 1,520 Indiana, University of Indiana Revenue, Series 1998L, 5.000% 08/01/09........................... Aa2 AA 1,654 2,510 Indiana, University of Indiana Revenue, Series 1998L, 5.000% 08/01/10........................... Aa2 AA 2,735 1,140 Pike Township, Indiana, School Building Corporation, Refunding Revenue, (First Mortgage) Series 1993, (State Aid Withholding), 4.800% 08/01/05........................... A1 AA 1,143 1,000 Plymouth, Indiana, Multi School Building Refunding Revenue, Series 1995, (MBIA Insured, State Aid Withholding), 5.550% 07/01/09........................... Aaa AAA 1,037 1,005 Shelby County, Indiana, Jail Building Corporation, Refunding Revenue, Series 1996, (MBIA Insured), 5.300% 07/15/07........................... Aaa AAA 1,067
SEE NOTES TO FINANCIAL STATEMENTS. 61 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 1,045 Shelby County, Indiana, Jail Building Corporation, Refunding Revenue, Series 1996, (MBIA Insured), 5.400% 07/15/08........................... Aaa AAA $ 1,111 205 St. Joseph County, Indiana, Hospital Authority, Hospital Facilities Revenue, (St. Joseph Hospital South Bend) Series 1979, 8.500% 12/01/04........................... Aaa AAA 207 1,085 Westfield, Indiana, Housing Building Corporation, Refunding Revenue, Series 1998, (AMBAC Insured, State Aid Withholding), 5.100% 01/05/12........................... Aaa AAA 1,182 1,185 Westfield, Indiana, Housing Building Corporation, Refunding Revenue, Series 1998, (AMBAC Insured, State Aid Withholding), 5.100% 07/05/12........................... Aaa AAA 1,291 1,745 Westfield, Indiana, Housing Building Corporation, Refunding Revenue, Series 1998, (AMBAC Insured, State Aid Withholding), 5.250% 01/05/14........................... Aaa AAA 1,910 ---------- 41,383 ---------- 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 10,224 ---------- KANSAS -- 2.0% 5,000 Kansas State, Department of Transportation, Highway Revenue, Series 1992, 7.250% 03/01/05........................... Aa2 AA+ 5,118 4,500 Kansas State, Development Finance Authority, Revenue, Series 1998A, 4.800% 06/01/13........................... A3 A- 4,702
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $ 2,175 Labette County, Kansas, Single-Family Mortgage Revenue, Zero Coupon Capital Accumulator Bonds, Series 1982, (Escrowed to Maturity), 4.060%& 12/01/14.......................... Aaa A- $ 1,445 5,000 Wichita, Kansas, Hospital Revenue Refunding, Series 2001-III, 6.250% 11/15/18........................... A1 A+ 5,610 7,555 Wyandotte County-Kansas City, Kansas, Unified Government Utility System, Revenue Refunding, Series 2004, (AMBAC Insured), 5.650% 09/01/16........................... Aaa AAA 8,823 8,635 Wyandotte County-Kansas City, Kansas, Unified Government Utility System, Revenue Refunding, Series 2004, (AMBAC Insured), 5.650% 09/01/17........................... Aaa AAA 10,147 ---------- 35,845 ---------- KENTUCKY -- 0.0%+ 180 Kentucky State, Turnpike Authority, Toll Road Revenue, Series 1986A, Prerefunded 07/01/06 @ 100, 5.500% 07/01/07........................... Aa3 A+ 188 ---------- MARYLAND -- 0.7% 10,925 Maryland State, Transportation Department Revenue, Series 2002, 5.500% 02/01/10........................... Aa2 AA 12,349 ---------- MASSACHUSETTS -- 2.5% 3,000 Massachusetts Bay, Transportation Authority, Revenue Refunding, Series 1993A, (MBIA-IBC Insured), 5.500% 03/01/09........................... Aaa AAA 3,349 10,000 Massachusetts State, GO Refunding, Series 2004B, 5.250% 08/01/16........................... Aa2 AA- 11,259 3,900 Massachusetts State, GO, Series 2003D, (AMBAC Insured), 5.500% 10/01/19........................... Aaa AAA 4,546
SEE NOTES TO FINANCIAL STATEMENTS. 62 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
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 $ 6,914 1,000 Massachusetts State, Industrial Financing Agency, Revenue, (Babson College Issue Project) Series 1998A, (MBIA Insured), 5.000% 10/01/18........................... Aaa AAA 1,071 2,920 Massachusetts State, Water Pollution Abatement Trust, Revenue Refunding, Series 2004A, 5.250% 08/01/17........................... Aaa AAA 3,318 2,255 Massachusetts, Educational Financing Authority, Education Loan Revenue Refunding, Series 1999A, (AMBAC Insured), 4.100% 07/01/05........................... Aaa AAA 2,265 2,430 Massachusetts, Educational Financing Authority, Educational Loan Revenue Refunding, Series 1999A, AMT, (AMBAC Insured), 4.750% 07/01/11........................... Aaa AAA 2,479 2,210 Massachusetts, Educational Financing Authority, Educational Revenue, Series 1998C, AMT, (MBIA Insured), 4.600% 12/01/08........................... Aaa AAA 2,252 1,970 Massachusetts, Educational Financing Authority, Educational Revenue, Series 1998C, AMT, (MBIA Insured), 4.700% 12/01/09........................... Aaa AAA 2,009 2,000 New England Education Loan Marketing Company of Massachusetts, Student Loan Revenue Refunding, Series 1993A, AMT, 5.700% 07/01/05........................... Aa2 AA 2,058
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- MASSACHUSETTS -- (CONTINUED) $ 295 University of Lowell Building Authority Massachusetts Guaranteed, Series 1995A, Prerefunded 11/01/05 @ 102, (AMBAC Commonwealth GTD), 5.700% 11/01/09........................... Aaa AAA $ 314 1,705 University of Lowell Building Authority, Massachusetts Guaranteed, Series 1995A, Unrefunded Balance, (AMBAC Commonwealth GTD), 5.700% 11/01/09........................... Aaa AAA 1,808 ---------- 43,642 ---------- MICHIGAN -- 1.5% 2,000 Detroit, Michigan, City School District, GO, (School Building and Site Improvements) Series 2002A, (FGIC Q-SBLF Insured), 6.000% 05/01/19........................... Aaa AAA 2,434 1,000 Detroit, Michigan, Water Supply Systems Refunding Revenue, Series 1995B, (MBIA Insured), 5.300% 07/01/09........................... Aaa AAA 1,111 1,205 Grand Rapids, Michigan, Building Authority, Revenue, Series 1998, 5.000% 04/01/12........................... Aa2 AA 1,336 1,000 Grand Rapids, Michigan, Building Authority, Revenue, Series 1998, 5.000% 04/01/13........................... Aa2 AA 1,109 1,415 Grand Rapids, Michigan, Building Authority, Revenue, Series 1998, 5.000% 04/01/14........................... Aa2 AA 1,568 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 5,734
SEE NOTES TO FINANCIAL STATEMENTS. 63 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- MICHIGAN -- (CONTINUED) $ 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 $ 7,028 2,000 Michigan, Higher Education Student Loan Revenue Refunding, Series 1993-XII, (AMBAC Insured, GTD STD LNS), 5.000% 10/01/04........................... Aaa AAA 2,000 1,850 South Lake, Michigan, Schools GO, Series 1997, (FGIC Q-SBLF Insured), 5.250% 05/01/12........................... Aaa AAA 2,018 1,000 Van Dyke, Michigan, Public Schools Refunding GO, Series 1996, (FGIC Q-SBLF Insured), 5.100% 05/01/09........................... Aaa AAA 1,057 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 1,084 ---------- 26,479 ---------- MINNESOTA -- 0.8% 4,600 Minneapolis and St. Paul, Minnesota, MetroAirport Commission Airport Revenue, AMT, Series 1999B, (FGIC Insured), 5.000% 01/01/07........................... Aaa AAA 4,866 6,285 Minneapolis and St. Paul, Minnesota, MetroAirport Commission Airport Revenue, Series 2001D, AMT, (FGIC Insured), 5.750% 01/01/13........................... Aaa AAA 6,991 2,150 Southern Minnesota Municipal Power Agency, Power Supply Systems Revenue, Refunded Balance, Series 1992B, 5.800% 01/01/07........................... Aaa AAA 2,169 ---------- 14,026 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- MISSISSIPPI -- 0.6% $ 7,000 Mississippi State, GO Refunding, Series 2000, 5.000% 12/01/08........................... Aa3 AA $ 7,685 1,000 Mississippi State, University Educational Building Corporation, Revenue, Series 1998, (AMBAC Insured), 5.250% 08/01/12........................... Aaa AAA 1,109 1,000 Mississippi State, University Educational Building Corporation, Revenue, Series 1998, (MBIA Insured), 5.250% 08/01/13........................... Aaa AAA 1,109 ---------- 9,903 ---------- MISSOURI -- 0.8% 1,590 Kansas City, Missouri, Water Revenue, Series 1994, 5.900% 12/01/05........................... Aa3 AA 1,601 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 3,103 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 10,165 ---------- 14,869 ---------- MONTANA -- 0.3% 4,000 Montana State, Board Inventory Payroll Tax Revenue, (Workers Compensation Project) Series 1991, (MBIA Insured), 6.750% 06/01/07........................... Aaa AAA 4,438 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 64 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- NEVADA -- 2.1% $ 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 $ 1,428 8,895 Clark County, Nevada, School District, GO Refunding, Series 2001C, (FGIC Insured), 5.375% 06/15/13........................... Aaa AAA 10,059 10,760 Clark County, Nevada, School District, GO, Series 2003, 5.000% 06/15/16........................... Aaa AAA 11,737 1,180 Henderson, Nevada, Series 1997A, (MBIA Insured), 5.100% 06/01/08........................... Aaa AAA 1,284 3,685 Las Vegas, Nevada, Redevelopment Agency Tax Increment Revenue, (Sub Lien - Fremont Street Project) Series 2003A, 5.000% 06/15/13........................... Bbb BBB+ 3,858 6,570 Nevada State, GO, Series 1998A, 5.250% 05/15/16........................... Aa2 AA 7,074 1,350 Washoe County, Nevada, GO Refunding, (Reno/ Sparks Convention Project) Series 1995, (MBIA Insured), 5.375% 07/01/08........................... Aaa AAA 1,399 ---------- 36,839 ---------- NEW HAMPSHIRE -- 0.6% 4,450 Manchester, New Hampshire, School Facilities Revenue Refunding, Series 2004, (MBIA Insured), 5.500% 06/01/19........................... Aaa AAA 5,185 4,215 Manchester, New Hampshire, School Facilities Revenue Refunding, Series 2004, (MBIA Insured), 5.500% 06/01/18........................... Aaa AAA 4,914 ---------- 10,099 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- NEW JERSEY -- 2.2% $ 5,000 New Jersey State, GO Refunding, Series 2001H, 5.250% 07/01/14........................... Aa2 AA $ 5,647 6,725 New Jersey State, Transit Corporation, Certificates of Participation, (Federal Transit Administration Grants) Series 2002A, (AMBAC Insured), 5.500% 09/15/15........................... Aaa AAA 7,722 4,000 New Jersey State, Transportation Trust Fund Authority Revenue, (Transportation System) Series 2004B, (MBIA Insured), 5.500% 12/15/15........................... Aaa AAA 4,620 3,840 New Jersey State, Transportation Trust Fund Authority, Transportation System Revenue, Unrefunded Balance, Series 1995A, (MBIA Insured), 5.500% 06/15/11........................... Aaa AAA 4,014 10,000 New Jersey State, Transportation Trust Fund Authority, Transportation Systems Revenue, Series 1997A, 5.000% 06/15/14........................... Aa3 AA- 10,787 2,035 New Jersey State, Turnpike Authority, Revenue Refunding, Series 1972G, 5.750% 01/01/09........................... Aaa AAA 2,212 4,000 New Jersey, Tobacco Settlement Financing Corporation, Revenue, Series 2003, 6.750% 06/01/39........................... Baa2 BBB 3,840 ---------- 38,842 ---------- NEW MEXICO -- 2.1% 3,000 Bernalillo County, New Mexico, Gross Receipts Tax Revenue Refunding, Series 1998, 5.250% 04/01/27........................... Aa3 AA 3,293 15,500 Lordburg, New Mexico, PCR Refunding, (Phelps Dodge Corporation Project) Series 1993, 6.500% 04/01/13........................... Baa3 BBB- 15,657 6,000 New Mexico State, Highway Community Tax Revenue, Series 2000A, 6.000% 06/15/10........................... Aa2 AA+ 6,939
SEE NOTES TO FINANCIAL STATEMENTS. 65 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- NEW MEXICO -- (CONTINUED) $ 465 New Mexico, Mortgage Finance Authority, Single Family Mortgage Revenue, Series 1997C-2, AMT, (GNMA/FNMA/ FHLMC COLL), 5.950% 07/01/17........................... Aaa AAA $ 486 925 New Mexico, Mortgage Finance Authority, Single Family Mortgage Revenue, Series 1997E-2, AMT, (GNMA/FNMA/ FHLMC COLL), 5.600% 07/01/17........................... Aaa AAA 966 2,545 New Mexico, Mortgage Finance Authority, Single Family Mortgage Revenue, Series 2001B-2, AMT, (GNMA/FNMA/ FHLMC COLL), 6.200% 09/01/32........................... Aaa AAA 2,677 2,025 New Mexico, Mortgage Finance Authority, Single Family Mortgage Revenue, Series 2002B-2, AMT, (GNMA/FNMA/ FHLMC COLL), 6.350% 03/01/33........................... Aaa AAA 2,203 1,695 New Mexico, Mortgage Finance Authority, Single Family Mortgage Revenue, Series 2002PG-A-2, (GNMA/FNMA/ FHLMC COLL), 6.450% 03/01/33........................... Aaa AAA 1,792 2,000 Santa Fe, New Mexico, Gross Receipts Tax Revenue, Series 1997A, (AMBAC Insured), 5.000% 06/01/08........................... Aaa AAA 2,180 ---------- 36,193 ---------- NEW YORK -- 4.7% 8,500 Dutchess County, New York, Industrial Development Agency, IDR, (IBM Project) Series 1999, AMT, Mandatory Put 12/01/09 @ 100, 5.450% 12/01/29........................... A1 A+ 9,344 7,000 New York City, New York, Municipal Water Finance Authority, Water and Sewer System Revenue, Series 2000B, 5.125% 06/15/31........................... Aa2 AA 7,157
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 3,500 New York City, New York, Transitional Finance Authority Revenue, Future Tax Secured, Series 2004C, 5.250% 02/01/18........................... Aa2 AA+ $ 3,855 10,000 New York City, New York, Transitional Finance Authority, Revenue Refunding, Future Tax Secured, Series 2002A, 5.500% 11/01/26........................... Aa2 AA+ 11,272 5,000 New York State, Dormitory Authority, Revenue, (City University Project) Series 1993B, 5.250% 07/01/06........................... A3 AA- 5,272 5,850 New York State, Dormitory Authority, Revenue, (State Educational Facilities Project) Series 1993A, 5.250% 05/15/15........................... A3 AA- 6,534 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 1,040 4,510 New York State, Tollway Authority, Service Contract Revenue, (Local Highway and Bridge Project) Series 2002, 5.500% 04/01/13........................... A3 AA- 5,085 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........................... A3 AA- 4,351 8,435 New York, New York, GO, Series 1995D, Prerefunded 02/15/05 @ 101, 5.750% 02/15/07........................... Aaa A 8,650 3,500 New York, New York, GO, Series 1997, (MBIA Insured), 6.250% 04/15/07........................... Aaa AAA 3,859
SEE NOTES TO FINANCIAL STATEMENTS. 66 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 1,700 New York, New York, GO, Series 1997L, (MBIA Insured), 8.000% 08/01/06........................... Aaa AAA $ 1,883 5,000 New York, Triborough Bridge and Tunnel Authority, New York Revenue, Refunding, Series 2002, (MBIA Insured), 5.500% 11/15/18........................... Aaa AAA 5,862 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 8,560 ---------- 82,724 ---------- NORTH CAROLINA -- 1.9% 4,300 Cary, North Carolina, Water and Public Improvement, GO, Series 2001, 5.000% 03/01/13........................... Aaa AAA 4,729 3,000 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, (MBIA Insured), 6.000% 07/01/24........................... Aaa AAA 3,340 2,000 Cumberland County, North Carolina, GO, Series 1998, (FGIC Insured), 5.000% 03/01/17........................... Aaa AAA 2,176 1,525 North Carolina, Housing Finance Agency, (Single-Family Program) Series 1997RR, AMT, (FHA Insured), 5.850% 09/01/28........................... Aa2 AA 1,574 4,000 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Carolina Medicorp, Inc. Project) Series 1996, 5.125% 05/01/16........................... Aa3 AA- 4,212 3,505 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Novant Health, Inc. Project), Series 2003A, 5.000% 11/01/11........................... Aa3 AA- 3,843
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- NORTH CAROLINA -- (CONTINUED) $ 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- $ 3,353 3,000 North Carolina, Medical Care Commission, Hospital Revenue, (Pitt County Memorial Hospital Project) Series 1998B, 5.000% 12/01/18........................... Aa3 AA- 3,156 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 5,047 1,200 Winston-Salem, North Carolina, Water and Sewer Systems Revenue Refunding, Series 1997, 4.600% 06/01/11........................... Aa2 AAA 1,277 ---------- 32,707 ---------- OHIO -- 2.9% 6,135 Lorain County, Ohio, Hospital Revenue Refunding, (Catholic Healthcare Project) Series 2001A, 5.625% 10/01/14........................... A1 AA- 6,750 3,000 Lorain County, Ohio, Hospital Revenue, (Catholic Healthcare Partnerships Project) Series 2001A, 5.625% 10/01/15........................... A1 AA- 3,283 3,000 Lorain County, Ohio, Hospital Revenue, (Catholic Healthcare Partnerships Project) Series 2001A, 5.625% 10/01/16........................... A1 AA- 3,272 6,060 Montgomery County, Ohio, Hospital Revenue, (Kettering Medical Center Project) Series 1999, 6.500% 04/01/13........................... A3 BBB+ 6,720
SEE NOTES TO FINANCIAL STATEMENTS. 67 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- OHIO -- (CONTINUED) $ 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 $ 1,020 5,000 Ohio State, Common Schools, GO, Series 2001A, 5.000% 06/15/12........................... Aa1 AA+ 5,459 8,150 Ohio State, Common Schools, GO, Series 2002B, 4.000% 09/15/08........................... Aa1 AA+ 8,617 10,695 Ohio State, Highway Revenue, (Major New State Infrastructure) Series 2002, 5.000% 06/15/10........................... Aa3 AA 11,817 1,055 Ohio, Housing Finance Agency, Mortgage Revenue, (Residential Project) Series 1998B-2, AMT, (GNMA COLL), 4.800% 09/01/07........................... Aaa AAA 1,087 2,500 Scioto County, Ohio, Marine Terminal Revenue Refunding, (Norfolk Southern Corporation Project) Series 1998, 5.300% 08/15/13........................... Baa1 BBB 2,601 ---------- 50,626 ---------- OKLAHOMA -- 0.3% 4,670 Oklahoma City, Oklahoma, Airport Trust Revenue, Series 2000B, AMT, (FSA Insured), 5.375% 07/01/11........................... Aaa AAA 5,067 ---------- OREGON -- 0.7% 10,000 Oregon State, Department Administrative Services, Certificates of Participation, Series 2002C, (MBIA Insured), 5.250% 11/01/10........................... Aaa AAA 11,211 295 Oregon State, GO, (Elderly and Disabled Housing Project) Series 1996B, 5.700% 08/01/16........................... Aa3 AA- 307
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- OREGON -- (CONTINUED) $ 100 Oregon State, GO, (Elderly and Disabled Housing Project) Series 1997A, 5.050% 08/01/11........................... Aa3 AA- $ 105 10 Oregon State, Housing and Community Services, Department Mortgage Revenue, (Single Family Mortgage Project) Series 1996A, 5.500% 07/01/08........................... Aa2 AA 11 110 Oregon State, Housing and Community Services, Department Mortgage Revenue, (Single Family Mortgage Project) Series 1997H, 5.150% 07/01/09........................... Aa2 AA 116 25 Oregon State, Housing and Community Services, Department Mortgage Revenue, (Single Family Mortgage Project) Series 1998D, 4.600% 07/01/07........................... Aa2 AA 26 235 Oregon State, Housing and Community Services, Department Mortgage Revenue, (Single Family Mortgage Project) Series 2000H, (FHA/VA), 5.550% 07/01/21........................... Aa2 AA 248 ---------- 12,024 ---------- PENNSYLVANIA -- 4.0% 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 5,426 1,055 Central Dauphin, Pennsylvania, School District, GO, Series 1998, (FGIC Insured, State Aid Withholding), 5.000% 06/01/12........................... Aaa AAA 1,136
SEE NOTES TO FINANCIAL STATEMENTS. 68 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- PENNSYLVANIA -- (CONTINUED) $ 205 Central Duaphin, Pennsylvania, School District, GO, Prerefunded, Series 1998AA, Escrowed to Maturity, (MBIA Insured), 5.000% 12/01/13........................... Aaa AAA $ 230 1,295 Central Duaphin, Pennsylvania, School District, GO, Unrefunded Balance, Series 1998AA, (MBIA Insured), 5.000% 12/01/13........................... Aaa AAA 1,409 15,000 Delaware Valley, Pennsylvania, Regional Financing Authority, Local Government Revenue, Series 2002, 5.500% 07/01/12........................... Aa3 AA- 16,989 1,350 Ligonier Valley, Pennsylvania, School District, GO Refunding, Series 1998, (FSA Insured), 5.000% 03/01/13........................... Aaa AAA 1,456 1,000 Pennsylvania State, GO, Series 1995, (AMBAC Insured), 5.000% 11/15/09........................... Aaa AAA 1,052 10,000 Pennsylvania State, GO, Series 2001, 5.125% 01/15/16........................... Aa2 AA 11,205 9,180 Pennsylvania, Housing Finance Agency, Single-Family Mortgage Revenue, Series 1997A-61, AMT, 5.450% 10/01/21........................... Aa2 AA+ 9,482 905 Pennsylvania, Saucon Valley School District, GO, Series 1998, (AMBAC Insured), 5.150% 10/15/13........................... Aaa AAA 983 835 Pennsylvania, Saucon Valley School District, GO, Series 1998, (AMBAC Insured), Prerefunded 04/15/08 @ 100, 5.150% 10/15/13........................... Aaa AAA 915 880 Pennsylvania, Saucon Valley School District, GO, Series 1998, (AMBAC Insured), Prerefunded 4/15/08 @ 100, 5.200% 10/15/14........................... Aaa AAA 966
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- PENNSYLVANIA -- (CONTINUED) $ 950 Pennsylvania, Saucon Valley School District, Unrefunded Balance, Series 1998, (AMBAC Insured), 5.200% 10/15/14........................... Aaa AAA $ 1,034 2,500 Philadelphia, Pennsylvania, Industrial Development Authority, IDR Refunding, (Ashland Oil Inc. Project) Series 1993, 5.700% 06/01/05........................... Baa2 BBB 2,545 780 Scranton, Pennsylvania, School District, GO, Series 1998, (AMBAC Insured), 4.750% 04/01/08........................... Aaa AAA 844 235 Scranton, Pennsylvania, School District, GO, Unrefunded Balance, Series 1998, (AMBAC Insured), 4.750% 04/01/08........................... Aaa AAA 254 595 Scranton, Pennsylvania, School District, GO, Unrefunded Balance, Series 1998, (AMBAC Insured), 5.200% 04/01/11........................... Aaa AAA 647 1,895 Scranton, Pennsylvania, School District, GO, Unrefunded Balance, Series 1998, (AMBAC Insured), Prerefunded 04/01/08 @ 100, 5.200% 04/01/11........................... Aaa AAA 2,079 1,175 Tunkhannock, Pennsylvania, Area School District, GO, Series 1998, (AMBAC Insured), 5.100% 07/15/12........................... Aaa AAA 1,270 1,245 Tunkhannock, Pennsylvania, Area School District, GO, Series 1998, (AMBAC Insured), 5.150% 07/15/14........................... Aaa AAA 1,348
SEE NOTES TO FINANCIAL STATEMENTS. 69 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- PENNSYLVANIA -- (CONTINUED) $ 1,845 Tyrone, Pennsylvania, Area School District, GO, Series 1998, (MBIA Insured), 5.000% 09/15/13........................... Aaa AAA $ 2,003 5,900 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 6,190 ---------- 69,463 ---------- PUERTO RICO -- 0.2% 1,000 Puerto Rico, Electric Power Authority, Power Revenue Refunding, Series 1995Z, 5.250% 07/01/07........................... A3 A- 1,045 2,500 Puerto Rico, Public Finance Corporation, (Commonwealth Appropriation) Revenue Refunding, Series 2004A, (LOC-Government Development Bank for Puerto Rico), 5.750% 08/01/27........................... Baa2 BBB 2,799 ---------- 3,844 ---------- SOUTH CAROLINA -- 0.9% 3,600 Cherokee County, South Carolina, School District Number 001, GO, Series 1997, (SCSDE), 5.000% 03/01/16........................... Aa1 AA+ 3,806 3,210 Greenville Hospital Systems of South Carolina, Hospital Facilities Revenue, Series 1996B, (GTY-AGMT), 5.500% 05/01/08........................... Aa3 AA 3,409
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 5,160 South Carolina, Piedmont Municipal Power Agency, Electric Revenue, Series 1996B, (FGIC Insured), 6.000% 01/01/07........................... Aaa AAA $ 5,590 3,890 York County, South Carolina, Exempt Facilities IDR, (Hoechst Celanese Corporation Project) Series 1994, AMT, 5.700% 01/01/24........................... Baa2 BBB 3,474 ---------- 16,279 ---------- SOUTH DAKOTA -- 0.9% 2,000 South Dakota State, Building Authority, Lease Revenue, Series 1996A, (AMBAC Insured), 5.750% 12/01/05........................... Aaa AAA 2,091 1,050 South Dakota State, Health and Educational Facilities Authority, Revenue, (Rapid City Regional Hospital Project) Series 1976, 7.750% 09/01/07........................... Aaa AAA 1,154 11,000 South Dakota, Education Loans Inc., Student Loan Revenue, Series 1998, AMT, (GTD STD LNS), 4.950% 06/01/10........................... Aaa AAA 11,705 ---------- 14,950 ---------- TENNESSEE -- 3.0% 5,000 Knox County, Tennessee, GO Refunding, Series 2001, 5.000% 04/01/09........................... Aa2 AA 5,493 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+ 5,066 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 6,746
SEE NOTES TO FINANCIAL STATEMENTS. 70 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 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 $ 5,357 7,470 Metropolitan Government, Nashville and Davidson County, Tennessee, GO Refunding, Series 2003A&B, 5.250% 10/15/07........................... Aa2 AA 8,144 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 1,133 6,450 Shelby County, Tennessee, GO Refunding, Series 1997B, 5.500% 08/01/08........................... Aa2 AA+ 7,169 8,000 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 8,318 1,190 Tennessee State, Housing Development Agency, Revenue, Series 1998, AMT, 4.950% 07/01/10........................... Aa2 AA 1,265 4,000 Tennessee, Gas Revenue, (Tennergy Corporation Project) Series 1999, (MBIA Insured), 5.000% 06/01/05........................... Aaa AAA 4,089 ---------- 52,780 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- TEXAS -- 14.7% $ 2,175 Aldine, Texas, Independent School District, GO Refunding, Series 1997, (PSF-GTD Insured), 2.395%& 02/15/07.......................... Aaa AAA $ 2,055 8,150 Austin, Texas, Independent School District, GO Refunding, Series 2004, (PSF-GTD Insured), 5.250% 08/01/15........................... Aaa AAA 9,214 1,500 Birdville, Texas, Independent School District, GO Refunding, Series 1997B, (PSF-GTD Insured), 5.000% 02/15/07........................... Aaa AAA 1,601 5,195 Brazos, Texas, PCR, Revenue Refunding, (Texas University Electric Company Project) Series 2001, 5.750% 05/01/36........................... Baa2 BBB 5,474 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 2,710 4,030 Colorado River, Texas, Municipal Water Revenue Refunding, Series 2003, (AMBAC Insured), 5.000% 01/01/12........................... Aaa AAA 4,455 1,455 Coppell, Texas, Waterworks and Sewer System Revenue, Series 2001, 5.000% 09/01/09........................... Aaa AAA 1,558 7,300 Dallas, Texas, Waterworks & Sewer Systems, Revenue Refunding, Series 2001, 5.000% 10/01/16........................... Aa2 AA+ 7,862 1,565 Dallas-Fort Worth, Texas, International Airport Revenue, (Improvement JT) Series 2004B, (FSA Insured), 5.000% 11/01/14........................... Aaa AAA 1,686 5,000 Dallas-Fort Worth, Texas, International Airport Revenue, Series 2003A, (FSA Insured) 5.500% 11/01/17........................... Aaa AAA 5,491
SEE NOTES TO FINANCIAL STATEMENTS. 71 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 1,485 Duncanville, Texas, Independent School District, GO Refunding, Series 1993, (PSF-GTD Insured), 5.200% 02/15/09........................... Aaa AAA $ 1,635 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- 2,313 1,050 Galena Park, Texas, Independent School District, GO, Series 1997, (PSF-GTD), 5.000% 08/15/21........................... Aaa AAA 1,098 3,120 Garland, Texas, Certificates of Obligation, GO, Series 2000, 5.500% 02/15/12........................... Aa2 AA 3,453 1,000 Harris County, Texas, Certificates of Obligation GO, Series 1992, 6.000% 12/15/10........................... Aa1 AA+ 1,166 1,055 Harris County, Texas, Criminal Justice Center GO, Series 1996, 5.400% 10/01/10........................... Aa1 AA+ 1,126 2,730 Harris County, Texas, GO, Series 1996, 5.150% 10/01/07........................... Aa1 AA+ 2,901 1,000 Harris County, Texas, GO, Series 1996, 5.375% 10/01/09........................... Aa1 AA+ 1,067 10,990 Harris County, Texas, GO, Series 2001, 5.000% 10/01/12........................... Aa1 AA+ 12,045 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 2,450 5,000 Harris County, Texas, Health Facilities Development Authority, Revenue, Series 1999A, (MBIA Insured), 5.375% 07/01/19........................... Aaa AAA 5,434
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 5,790 Harris County, Texas, Health Facility Development Corporation, Revenue, Series 1999A, (MBIA Insured), 5.625% 07/01/11........................... Aaa AAA $ 6,408 5,000 Houston, Texas, Utility System Revenue Refunding, (Combination-First Lien) Series 2004A, (FGIC Insured), 5.250% 05/15/24........................... Aaa AAA 5,338 7,000 Houston, Texas, Airport System Revenue, Sub-Lien, Series 1998B, AMT, (FGIC Insured), 5.250% 07/01/12........................... Aaa AAA 7,566 6,755 Houston, Texas, Airport System Revenue, Sub-Lien, Series 2000A, AMT, (FSA Insured), 6.000% 07/01/09........................... Aaa AAA 7,582 5,000 Houston, Texas, Airport Systems Revenue, Sub-Lien, Series 2002, (FSA Insured), 5.000% 07/01/27........................... Aaa AAA 5,083 7,320 Houston, Texas, GO, Series 2001A, (FSA Insured), 5.500% 03/01/10........................... Aaa AAA 8,230 5,800 Houston, Texas, Water Systems Revenue, Series 1979, 6.400% 12/01/14........................... Aaa AAA 6,705 3,495 Jefferson County, Texas, Health Facilities Development Corporation, Revenue, (Baptist Hospitals Project) Series 2001, (AMBAC Insured), 5.200% 08/15/21........................... Aaa AAA 3,671 1,680 Keller, Texas, Independent School District, GO, Series 1993, (PSF-GTD Insured) Prerefunded 2/15/06 @ 100, 5.600% 08/15/07........................... Aaa AAA 1,766 1,000 Lewisville, Texas, Independent School District, GO, Series 1997, (PSF-GTD), 6.750% 08/15/08........................... Aaa AAA 1,152
SEE NOTES TO FINANCIAL STATEMENTS. 72 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 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 $ 6,807 1,700 Midlothian, Texas, Independent School District, GO Refunding, Series 1995, (PSF-GTD Insured), 5.200% 02/15/13........................... Aaa AAA 1,772 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 5,831 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 5,578 1,245 Pasadena, Texas, Independent School District, GO, Series 1998, (PSF-GTD), 5.000% 02/15/11........................... Aaa AAA 1,294 4,000 Plano, Texas, Independent School District, GO Refunding, Series 2001, (PSF-GTD Insured), 5.000% 02/15/09........................... Aaa AAA 4,376 2,110 Richardson, Texas, GO Refunding, Series 1998, 5.250% 02/15/07........................... Aa1 AA+ 2,265 8,355 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 5.500% 10/01/11........................... Baa2 BBB- 9,275 5,000 San Antonio, Texas, Electric and Gas Revenue Refunding, Series 2002, 5.000% 02/01/10........................... Aa1 AA+ 5,492
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 145 San Antonio, Texas, GO Refunding, (Prerefunded Forward-General Improvement) Series 2001, Escrowed to Maturity, 5.000% 08/01/10........................... Aa2 AA+ $ 160 7,855 San Antonio, Texas, GO Refunding, Series 2001, Unrefunded Balance 5.000% 08/01/10........................... Aaa2 AA+ 8,664 1,060 San Benito, Texas, Consolidated Independent School, GO Refunding, Series 1996, (PSF-GTD Insured), 5.000% 08/01/07........................... Aaa AAA 1,114 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 4,239 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 5,407 3,200 Texas A&M University, Financing Systems Revenue, Series 1995, 5.950% 05/15/05........................... Aa1 AA+ 3,284 10,910 Texas State, Water Development GO, Series 1997D, 5.000% 08/01/19........................... Aa1 AA 11,535 5,000 Texas, Alliance Airport Authority Inc., Facilities Revenue, (Federal Express Corporation Project) Series 1996, 6.375% 04/01/21........................... Baa2 BBB 5,245 10,650 Texas, Guadalupe Blanco River Authority, 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- 10,963
SEE NOTES TO FINANCIAL STATEMENTS. 73 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 5,750 Texas, Gulf Coast Waste Disposal Authority, Revenue Refunding, Series 2002A, 6.100% 08/01/24........................... Baa2 BBB $ 6,001 6,000 Texas, Red River Authority, PCR Refunding, Series 1991, (AMBAC Insured), 5.200% 07/01/11........................... Aaa AAA 6,170 2,995 Texas, Sabine River Authority, PCR, (TXU Electric Company Project), Series 2001B, 5.750% 05/01/30........................... Baa2 BBB 3,179 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 2,115 500 Texas, United Independent School District, GO, Series 1995, (PSF-GTD Insured), 5.500% 08/15/08........................... Aaa AAA 533 7,600 Texas, University of Texas Revenue Refunding, Series 2003B, 5.250% 08/15/12........................... Aaa AAA 8,568 2,000 Texas, University of Texas Revenue, Series 2004B, 5.250% 08/15/16........................... Aaa AAA 2,271 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 5,185 1,900 West University Place, Texas, GO Refunding, Series 1998, (MBIA Insured), 5.100% 02/01/12........................... Aaa AAA 2,050 ---------- 259,668 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- UTAH -- 2.0% $ 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 $ 2,337 1,000 Iron County, Utah, School District, GO, Series 1994, (MBIA Insured), Prerefunded 01/15/05 @ 100, 6.000% 01/15/06........................... Aaa AAA 1,013 11,100 Tooele County, Utah, Hazardous Waste Treatment Revenue, (Union Pacific Project) Series 1992, AMT, 5.700% 11/01/26........................... Baa2 BBB 11,215 5,000 Utah State, Building Ownership Authority, Lease Revenue Refunding, Series 1998, (FSA Insured), 5.500% 05/15/14........................... Aaa AAA 5,721 10,000 Utah State, GO Refunding, Series 2002B, 5.375% 07/01/11........................... Aaa AAA 11,350 2,500 Utah State, Student Loan Revenue, Series 1995N, AMT, (AMBAC Insured, GTD STD LNS), 5.900% 11/01/07........................... Aaa AAA 2,628 ---------- 34,264 ---------- 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 1,094 ---------- VIRGINIA -- 0.1% 975 Chesterfield County, Virginia, Improvement GO Refunding, Series 1991, 6.250% 07/15/05........................... Aaa AAA 1,012 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 74 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- WASHINGTON -- 5.8% $ 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 $ 2,798 1,805 Clark County, Washington, School District Number 117 Camas, GO Refunding, Series 1998, (AMBAC Insured), 5.000% 12/01/12........................... Aaa AAA 2,005 1,140 Jefferson County, Washington, School District No. 49, GO, Series 1998, (FSA Insured), 5.000% 12/01/07........................... Aaa AAA 1,231 6,150 King and Snohomish Counties, Washington, GO Refunding, Series 1993, (FGIC Insured), 5.600% 12/01/10........................... Aaa AAA 7,014 970 King County, Washington, GO Prerefunded Revenue, Series 2002 5.500% 12/01/13........................... Aa1 AA+ 1,125 1,000 King County, Washington, GO Refunding, Series 1998B, 4.750% 01/01/17........................... Aa1 AA+ 1,031 3,000 King County, Washington, GO, Series 1997D, 5.550% 12/01/08........................... Aa1 AA+ 3,332 1,000 King County, Washington, GO, Series 1997D, 5.750% 12/01/11........................... Aa1 AA+ 1,119 9,030 King County, Washington, Unrefunded Revenue, Series 2002, 5.500% 12/01/13........................... Aa1 AA+ 10,365 1,000 Kitsap County, Washington, Sewer Revenue, Series 1996, (MBIA Insured), Crossover Refunded 07/01/06 @ 100, 5.600% 07/01/08........................... Aaa AAA 1,059 2,500 Northwest Washington, Energy Northwest Washington Wind Project Revenue, Series 2001B, 6.000% 07/01/23........................... A3 A- 2,628
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 5,000 Port Seattle, Washington, Passenger Facility Charge Revenue, Series 1998, AMT, (AMBAC Insured), 5.250% 12/01/09........................... Aaa AAA $ 5,423 170 Port Seattle, Washington, Prerefunded Revenue, Escrowed to Maturity, Series 1996B, AMT, (FGIC Insured), 5.100% 09/01/05........................... Aaa AAA 175 200 Port Seattle, Washington, Prerefunded Revenue, Escrowed to Maturity, Series 1996B, AMT, (FGIC Insured), 6.000% 09/01/08........................... Aaa AAA 223 3,580 Port Seattle, Washington, Revenue Unrefunded Balance, Series 1996B, AMT, (FGIC Insured), 6.000% 09/01/08........................... Aaa AAA 3,984 10,365 Seattle, Washington, Municipal Light and Power Revenue Refunding, Series 2001 5.250% 03/01/11........................... Aaa AAA 11,587 1,500 Skagit County, Washington, Conservative School District Number 320, GO, Series 1994, Prerefunded 12/01/04 @ 100, 6.850% 12/01/10........................... Aaa AAA 1,513 8,000 Snohomish County, Washington, School District Number 002 Everett, GO, Series 1998A, (MBIA Insured), 5.500% 12/01/11........................... Aaa AAA 9,130 1,975 Spokane County, Washington, School District Number 354 Mead, GO, Series 1998, (FGIC Insured), 5.000% 12/01/09........................... Aaa AAA 2,177 7,800 Spokane County, Washington, School District Number 354 Mead, GO, Series 1998, (FGIC Insured), 5.500% 12/01/10........................... Aaa AAA 8,861
SEE NOTES TO FINANCIAL STATEMENTS. 75 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 1,600 Spokane County, Washington, School District Number 354 Mead, GO, Series 1998, (FGIC Insured), 5.250% 12/01/11........................... Aaa AAA $ 1,801 2,195 Tacoma, Washington, Electric Systems Revenue, Series 1992, (AMBAC Insured), 5.900% 01/01/05........................... Aaa AAA 2,203 1,000 Vancouver, Washington, Water and Sewer Revenue, Series 1995, (FGIC Insured), Prerefunded 06/01/05 @ 100, 5.850% 06/01/11........................... Aaa AAA 1,028 6,645 Washington State, GO Refunding, Series 1997R-98A, 5.000% 07/01/15........................... Aa1 AA 7,004 3,330 Washington State, GO, Series 1998C, 5.500% 07/01/09........................... Aa1 AA 3,729 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 5,315 1,150 Washington State, Public Power Supply Systems Revenue Refunding, Series 1993A, 5.800% 07/01/07........................... Aa1 AA- 1,261 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- 2,209 ---------- 101,330 ----------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- WEST VIRGINIA -- 0.8% $ 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 $ 4,950 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 1,053 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 1,402 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 6,317 ---------- 13,722 ---------- WISCONSIN -- 2.7% 2,500 Milwaukee County, Wisconsin, GO, Series 2001A, 5.000% 10/01/12........................... Aa3 AA 2,745 2,500 Milwaukee County, Wisconsin, GO, Series 2001A, 5.000% 10/01/13........................... Aa3 AA 2,740 10,385 Milwaukee, Wisconsin, GO Refunding, Series 2002A, (FSA Insured), 5.250% 09/01/15........................... Aaa AAA 11,810 5,790 Milwaukee, Wisconsin, Metropolitan Sewer District, GO Refunding, Series 1997A, 5.125% 10/01/16........................... Aa1 AA+ 6,179
SEE NOTES TO FINANCIAL STATEMENTS. 76 NATIONS FUNDS Nations Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------- WISCONSIN -- (CONTINUED) $ 1,000 Winneconne, Wisconsin, Community School District, GO Refunding, Series 1998, (FSA Insured), 4.900% 04/01/10........................... Aaa AAA $ 1,064 1,050 Winneconne, Wisconsin, Community School District, GO Refunding, Series 1998, (FSA Insured), 5.000% 04/01/11........................... Aaa AAA 1,133 1,100 Winneconne, Wisconsin, Community School District, GO Refunding, Series 1998, (FSA Insured), 5.000% 04/01/12........................... Aaa AAA 1,187 4,745 Wisconsin State, GO, Series 1996A, 5.000% 05/01/16........................... Aa3 AA- 4,913 7,615 Wisconsin State, Health and Educational Facilities Authority, Revenue, (Aurora Health Care Inc. Project) Series 1999A, 5.600% 02/15/29........................... Baa1 BBB+ 7,621 5,000 Wisconsin, Badger TOB Asset Securitization Corporation, Asset Backed Revenue, Series 2002, 6.000% 06/01/17........................... Baa2 BBB 4,740 2,735 Wisconsin, Housing and Economic Development Authority, Revenue, Series 1997G, 5.350% 03/01/12........................... Aa2 AA 2,893 ---------- 47,025 ----------
PRINCIPAL VALUE AMOUNT (000) ----------------------------------------------------------------------------------------- WYOMING -- 0.4% $ 2,535 Natrona County, Wyoming, Hospital Revenue Refunding, (Wyoming Medical Center Project) Series 1998, (AMBAC Insured), 5.250% 09/15/06........................... Aaa AAA $ 2,650 3,805 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+ 3,848 ---------- 6,498 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $1,668,286)............................................ 1,753,218 ----------
SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 0.6% (Cost $10,022) 10,022 Nations Tax-Exempt Reserves, Capital Class#................. 10,022 ---------- TOTAL INVESTMENTS (Cost $1,678,308*).............................. 100.7% 1,763,240 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET).......... (0.7)% (12,579) ---------- NET ASSETS........................................ 100.0% $1,750,661 ==========
--------------- *Federal income tax information (see Note 8). &Zero coupon security. The rate shown reflects the yield to maturity. +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, 2004 (as a percentage of net assets): MBIA 17.35% AMBAC 10.19%
Nations Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Transportation Revenue 12.03%
SEE NOTES TO FINANCIAL STATEMENTS. 77 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 99.0% ALABAMA -- 2.7% $ 2,130 Birmingham, Alabama, GO Refunding, Series 2003, (AMBAC Insured), 5.250% 06/01/17........................... Aaa AAA $ 2,372 5,000 Huntsville, Alabama, Health Care Authority, Revenue, Series 2001A, 5.750% 06/01/31........................... A2 A 5,181 570 Jefferson County, Alabama, Sewer Revenue Refunding, Series 1997A, Unrefunded Balance, (FGIC Insured), 5.625% 02/01/22........................... Aaa AAA 613 1,020 Jefferson County, Alabama, Sewer Revenue, Series 1997A, (FGIC Insured), 5.625% 02/01/18........................... Aaa AAA 1,102 1,000 McIntosh, Alabama, Industrial Development Board, Environmental Improvement Revenue, Series 1998C, 5.375% 06/01/28........................... A2 A 1,015 6,750 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 6,607 -------- 16,890 -------- ALASKA -- 3.5% 1,250 Alaska State, International Airport Revenue, Series 2002B, (AMBAC Insured), 5.500% 10/01/11........................... Aaa AAA 1,419 1,000 Anchorage, Alaska, Electric Utilities Revenue Refunding, Senior Lien, Series 1993, (MBIA Insured), 8.000% 12/01/09........................... Aaa AAA 1,242
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ ALASKA -- (CONTINUED) $ 7,000 Anchorage, Alaska, Electric Utilities Revenue, Senior Lien, Series 1996B, (MBIA Insured), 5.500% 02/01/26........................... Aaa AAA $ 7,371 15,000 North Slope Borough, Alaska, Capital Appreciation GO, Series 2000B, (MBIA Insured), 3.700%& 06/30/11.......................... Aaa AAA 11,710 -------- 21,742 -------- ARIZONA -- 0.7% 1,000 Arizona, University Medical Center Corporation, Hospital Revenue Refunding, Series 2004, (GO of University), 5.250% 07/01/13........................... A3 BBB+ 1,080 5,000 Tucson and Pima County, Arizona, Industrial Development Authority, Single-Family Mortgage Revenue, Series 1983A, 4.120%& 12/01/14.......................... Aaa AAA 3,303 -------- 4,383 -------- 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 1,395 -------- CALIFORNIA -- 3.0% 5,000 ABAG Finance Authority for Non-Profit Corporations, California, Multi-Family Revenue Refunding, Series 2000A, AMT, (GTY-AGMT), Mandatory Put 08/15/08 @ 100, 6.400% 08/15/30........................... Baa3 BBB- 5,460
SEE NOTES TO FINANCIAL STATEMENTS. 78 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $ 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- $ 2,188 2,500 California State, Department of Water Resources, Power Supply Revenue, Series 2002A, 5.125% 05/01/18........................... A3 BBB+ 2,674 1,000 California State, Department of Water Resources, Power Supply Revenue, Series 2002A, (AMBAC Insured), 5.375% 05/01/18........................... Aaa AAA 1,106 1,000 California State, GO, Series 1983, 9.000% 04/01/05........................... A2 A 1,036 3,300 California State, GO, Series 1990, 7.000% 08/01/05........................... Baa1 BBB 3,440 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 3,042 -------- 18,946 -------- COLORADO -- 0.7% 1,350 Colorado, Health Facilities Authority, Revenue, Catholic Health Initiatives, Series 2002A, 5.000% 03/01/11........................... Aa2 AA 1,464 2,500 Douglas County, Colorado, Sales and Use Tax Revenue, Series 1996, (MBIA Insured), 5.500% 10/15/11........................... Aaa AAA 2,668 -------- 4,132 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CONNECTICUT -- 0.9% $ 5,000 Connecticut State, Health and Educational Facilities Authority, Revenue, (Eastern Connecticut Health Network Project) Series 2000A, 6.000% 07/01/25........................... Aa2 AA $ 5,578 -------- DISTRICT OF COLUMBIA -- 4.0% 3,985 District of Columbia, College & University Revenue Refunding, (Howard University Project) Series 1996, (MBIA, GO of University Insured), 5.750% 10/01/17........................... Aaa AAA 4,328 4,200 District of Columbia, Health and Hospital Revenue Refunding, (Association of American Medical Colleges Project) Series 1997A, (AMBAC Insured), 5.375% 02/15/17........................... Aaa AAA 4,591 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 9,912 5,900 District of Columbia, Revenue, (Carnegie Endowment Project) Series 1996, (GO of Corp) 5.750% 11/15/26........................... Aa3 AA- 6,296 -------- 25,127 -------- FLORIDA -- 3.2% 1,735 Florida State, Board of Education, Capital Outlay GO, Unrefunded Balance, Series 1985, 9.125% 06/01/14........................... Aa2 AA+ 2,348 4,425 Florida State, Transportation Department, GO, Series 2002, 5.000% 07/01/23........................... Aa2 AA+ 4,639
SEE NOTES TO FINANCIAL STATEMENTS. 79 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $ 3,450 Highlands County, Florida, Health Facilities Authority Revenue, (Hospital Adventist Health System), Series 2003D, 5.375% 11/15/35........................... A3 A $ 3,533 2,000 Orange County, Florida, Tourist Development Tax Revenue Refunding, Series 1998A, (AMBAC Insured), 4.750% 10/01/24........................... Aaa AAA 2,024 5,000 Orange County, Florida, Tourist Development Tax Revenue, Series 2000, (AMBAC Insured), 5.250% 10/01/17........................... Aaa AAA 5,454 2,000 Reedy Creek, Florida, Improvement District Utilities Revenue Refunding, Series 2004-2, (MBIA Insured), 5.250% 10/01/14........................... Aaa AAA 2,276 -------- 20,274 -------- GEORGIA -- 7.7% 5,000 Atlanta, Georgia, Airport Facilities Revenue Refunding, Series 2000A, (FGIC Insured), Prerefunded 01/01/10 @ 101, 5.600% 01/01/30 (a)....................... Aaa AAA 5,704 2,500 Chatham County, Georgia Hospital Authority, (Hospital Improvement-Memorial Health University) Series 2004A, 5.500% 01/01/34........................... A3 A- 2,558 3,000 Chatham County, Georgia, Hospital Medical Authority, Revenue, (Memorial Health Medical Center Project) Series 2001A, 6.125% 01/01/24........................... A3 A- 3,243 1,000 DeKalb County, Georgia, School District, GO, Series 1993A, 6.250% 07/01/09........................... Aa2 AA 1,160
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $ 2,500 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 $ 2,639 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- 1,539 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- 1,705 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- 1,637 3,000 Georgia State, GO, Series 1992B, 6.250% 03/01/11........................... Aaa AAA 3,543 6,445 Georgia State, GO, Series 1998B, 5.500% 07/01/10........................... Aaa AAA 7,327 7,835 Georgia State, Housing and Finance Authority, Single-Family Mortgage Revenue, Series 1999B-2, AMT, 6.100% 06/01/31........................... Aa2 AAA 8,164 3,750 Georgia State, Municipal Electric Authority, Power Revenue, Series 2002A, (FSA Insured), 5.000% 01/01/18........................... Aaa AAA 4,008
SEE NOTES TO FINANCIAL STATEMENTS. 80 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $ 2,000 Metropolitan Atlanta, Rapid Transit Authority of Georgia, Revenue Refunding, Series 1992P, (AMBAC Insured), 6.250% 07/01/20........................... Aaa AAA $ 2,446 2,000 Monroe County, Georgia, Development Authority, PCR, (Oglethorpe Power Corporation Project) Series 1992A, 6.800% 01/01/11........................... A3 A 2,361 -------- 48,034 -------- HAWAII -- 0.2% 1,180 Honolulu City and County, Hawaii, GO Refunding, Series 1993B, 8.000% 10/01/10........................... Aa2 AA- 1,490 -------- ILLINOIS -- 11.6% 3,000 Chicago, Illinois, Metropolitan Water Reclamation District GO, Series 1993, 5.500% 12/01/12........................... Aaa AA+ 3,425 3,385 Chicago, Illinois, Metropolitan Water Reclamation District, Capital Improvement GO, Series 1991, 6.900% 01/01/07........................... Aaa AA+ 3,663 3,000 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Second Lien, Series 1993C, (MBIA Insured), 5.000% 01/01/18........................... Aaa AAA 3,066 7,000 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Second Lien, Series 1999, AMT, (AMBAC Insured), 5.500% 01/01/10........................... Aaa AAA 7,679 2,640 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Senior Lien, Series 1993A, 5.000% 01/01/16........................... A1 A+ 2,658 4,800 Chicago, Illinois, Water Revenue, Senior Lien, Series 2000, (AMBAC Insured), 5.750% 11/01/10........................... Aaa AAA 5,508
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ ILLINOIS -- (CONTINUED) $ 5,000 Cook County, Illinois, GO, Series 1997A, (MBIA Insured), 5.625% 11/15/22........................... Aaa AAA $ 5,464 1,750 Cook County, Illinois, High School District No. 209 Provisional Township, GO, Series 2004, (FSA Insured), 4.220%& 12/01/15.......................... Aaa AAA 1,614 2,565 Du Page County, Illinois, GO, Series 1993, 5.600% 01/01/21........................... Aaa AAA 2,988 1,750 Du Page County, Illinois, School District No. 41 Glen Ellyn, GO, Series 2004, (FSA Insured), 5.000% 02/01/17........................... Aaa AAA 1,928 1,600 Glendale Heights, Illinois, Hospital Revenue Refunding, (Glendale Heights Project) Series 1985B, 7.100% 12/01/15........................... Aaa AAA 1,947 3,000 Illinois State, GO, Series 2004A, 5.000% 03/01/34........................... Aa3 AA 3,056 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 3,158 1,000 Illinois, Development Finance Authority, PCR Refunding, (Commonwealth Edison Company Project) Series 1994D, (AMBAC Insured), 6.750% 03/01/15........................... Aaa AAA 1,039 4,500 Illinois, Educational Facilities Authority, Student Housing Advancement Funding Revenue, (University Center Project) Series 2002, 6.625% 05/01/17........................... Baa2 BBB 4,948
SEE NOTES TO FINANCIAL STATEMENTS. 81 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (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), 4.017%& 06/15/13.......................... Aaa AAA $ 6,187 11,640 Illinois, Metropolitan Pier & Exposition Authority, Dedicated State Tax Revenue, Unrefunded Balance, Series 1993A, (FGIC Insured), 4.047%& 06/15/13.......................... Aaa AAA 8,208 3,165 Kane & De Kalb Counties, Illinois Community Unit School District Number 302, GO, (FGIC Insured), 4.890%& 02/01/21.......................... Aaa AAA 1,438 1,535 McHenry County, Illinois, Community Unit School District Number 200, GO, Series 1996A, (FSA Insured), 5.750% 01/01/13........................... Aaa AAA 1,688 5,000 Will County, Illinois, Student Housing Revenue, (Joliet Junior College Project) Series 2002A, 6.750% 09/01/33(a)........................ Aaa AAA 2,500 -------- 72,162 -------- INDIANA -- 2.9% 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 1,076 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 1,082
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ INDIANA -- (CONTINUED) $ 6,080 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 $ 6,469 2,000 Indiana, Health Facilities Financing Authority, Hospital Revenue, (Clarian Health Partners, Inc. Project) Series 1996A, 5.500% 02/15/16........................... A1 AA- 2,096 2,000 Indiana, Ivy Tech State College, Revenue, Series 1997E, (AMBAC Insured), 5.125% 07/01/12........................... Aaa AAA 2,177 1,000 Indianapolis, Indiana, Airport Authority Revenue, (Special Facilities - Federal Express Corporation Project) Refunding, (GTY AGMT-Federal Express Corp), 5.100% 01/15/17........................... Baa2 BBB 1,039 2,260 Indianapolis, Indiana, Marion County Public Library, GO, 2002A, 4.700% 07/01/19........................... Aa2 AA 2,338 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 2,110 -------- 18,387 -------- IOWA -- 0.5% 2,750 Iowa, Student Loan Liquidity Corporation, Student Loan Revenue Refunding, Series 1998J, AMT, (AMBAC Insured), 4.800% 06/01/09........................... Aaa AAA 2,913 --------
SEE NOTES TO FINANCIAL STATEMENTS. 82 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ 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 $ 1,109 -------- MARYLAND -- 0.5% 3,000 Maryland State, Economic Development Corporation, Student Housing Revenue, (Salisbury Collegiate Housing Project) 1999A, 6.000% 06/01/30........................... Baa3 BBB- 3,084 -------- MASSACHUSETTS -- 1.6% 2,000 Massachusetts State, GO Refunding, Series 2004A, 5.250% 08/01/22........................... Aa2 AA- 2,230 3,650 Massachusetts State, House Room 227, GO, Series 2004A, 5.250% 08/01/20........................... Aa2 AA- 4,103 3,000 Massachusetts State, Water Resources Authority, General Revenue, Series 1993C, (AMBAC Insured), 5.250% 12/01/15........................... Aaa AAA 3,398 -------- 9,731 -------- MICHIGAN -- 3.1% 1,000 Cornell Township, Michigan, Economic Development Corporation, Revenue Refunding, (Meadwestavco-Escanaba Project) Series 2002, 5.875% 05/01/18........................... Baa2 BBB 1,069 1,000 Detroit, Michigan, GO Refunding, Series 1995B, 6.375% 04/01/07........................... Baa1 A- 1,029 3,000 Michigan State, Comprehensive Transportation Revenue Refunding, Series 1996A, (MBIA Insured), 5.250% 08/01/13........................... Aaa AAA 3,199
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MICHIGAN -- (CONTINUED) $ 5,435 Michigan State, Environmental Protection Program, GO, 1992, 6.250% 11/01/12........................... Aa1 AA+ $ 6,382 1,000 Michigan, Municipal Board Authority Revenue, Series 2001, 5.250% 10/01/19........................... Aaa AAA 1,102 6,310 University of Michigan, Hospital Revenue Refunding, 2002, 5.250% 12/01/20........................... Aa2 AA 6,706 -------- 19,487 -------- MINNESOTA -- 0.8% 1,950 Elk River, Minnesota, Independent School District Number 728, GO, Series 2004A, (FGIC SD Cred Prog), 5.000% 02/01/19........................... Aaa AAA 2,106 1,250 Minneapolis and St. Paul, Minnesota, Housing and Redevelopment Authority Health Care Systems, (Health Partners Obligation Group Project), 5.250% 12/01/16........................... Baa1 BBB+ 1,282 1,650 Minneapolis and St. Paul, Minnesota, Housing and Redevelopment Authority Health Care Systems, (Health Partners Obligation Group Project), 6.000% 12/01/17........................... Baa1 BBB+ 1,774 -------- 5,162 -------- MISSISSIPPI -- 0.5% 2,470 Lowndes County, Mississippi, Solid Waste Disposal PCR Refunding, (Weyerhaeuser Company Project) Series 1992A, 6.800% 04/01/22........................... Baa2 BBB 2,959 -------- MISSOURI -- 2.9% 1,000 Independence, Missouri, School District, GO, Series 1991, 6.250% 03/01/11........................... A3 A- 1,169 1,450 Jefferson City, Missouri, School District, GO, Series 1991A, 6.700% 03/01/11........................... Aa2 AA 1,697
SEE NOTES TO FINANCIAL STATEMENTS. 83 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MISSOURI -- (CONTINUED) $ 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 $ 3,700 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 2,161 2,000 Missouri State, Health and Educational Facilities Authority, Revenue, (SSM Health Care Corporation Project) Series 2002A, 5.000% 06/01/11........................... Aa3 AA- 2,174 2,500 Missouri State, Health and Educational Facilities Authority, Revenue, (SSM Health Care Project) Series 2002A, 5.250% 06/01/12........................... Aa3 AA- 2,760 35 Missouri State, Housing Development Commission, Mortgage Revenue, (Single Family Homeowner Loan Project) Series 1995A, AMT, (GNMA/FHA/VA COLL), 6.100% 09/01/14........................... Aaa AAA 36 2,500 Sikeston, Missouri, Electrical Revenue Refunding, Series 1992, (MBIA Insured), 6.100% 06/01/07........................... Aaa AAA 2,757 1,400 St. Louis, Missouri, Industrial Development Authority, PCR Refunding, (Anheuser Busch Company Project) Series 1991, 6.650% 05/01/16........................... A1 A+ 1,746 -------- 18,200 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ NEBRASKA -- 0.3% $ 1,600 Omaha, Nebraska, Public Power District, Electric Revenue, 1992B, 6.200% 02/01/17........................... Aa2 AA $ 1,931 -------- NEVADA -- 1.1% 1,960 Clark County, Nevada, Passenger Facility Revenue Refunding, Series 2002, (MBIA Insured), 5.250% 07/01/11........................... Aaa AAA 2,137 2,625 Nevada State, GO, Series 1995A, 5.500% 11/01/17........................... Aa2 AA 2,746 2,000 Nevada State, Municipal Board, GO, (Bank Project Number 40-41) Series 1993A, 6.375% 12/01/17........................... Aaa AAA 2,047 -------- 6,930 -------- NEW JERSEY -- 0.1% 765 New Jersey State, Highway Authority, Garden State Parkway Generated Revenue, Series 1971, 6.500% 01/01/11........................... Aaa AAA 855 -------- NEW MEXICO -- 0.1% 715 New Mexico, Mortgage Finance Authority, Single-Family Mortgage Revenue, Series 1997C-2, AMT, (GNMA/FNMA/FHLMC COLL), 6.050% 07/01/28........................... Aaa AAA 738 -------- NEW YORK -- 2.8% 3,520 New York City, New York, Municipal Water Finance Authority, Water and Sewer Revenue, Series 2001D, 5.250% 06/15/25........................... Aa2 AA 3,707 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 1,346
SEE NOTES TO FINANCIAL STATEMENTS. 84 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ NEW YORK -- (CONTINUED) $ 5,000 New York City, New York, Transitional Finance Authority, Revenue Refunding, Future Tax Secured, Series 2002A, 5.500% 11/01/26........................... Aa2 AA+ $ 5,636 1,000 New York State, Dormitory Authority, Revenue, Series 2002B, Mandatory Put 05/15/12 @ 100, 5.250% 11/15/23........................... A3 AA- 1,108 5,000 New York State, Urban Development Corporation, Correctional and Youth Facility Services Revenue, Series 2002A, Mandatory Put 01/01/11 @ 100, 5.000% 01/01/17........................... A3 AA- 5,438 -------- 17,235 -------- NORTH CAROLINA -- 0.8% 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 2,565 2,500 New Hanover County, North Carolina, GO, Series 2001, 5.000% 06/01/20........................... Aa2 AA 2,679 -------- 5,244 -------- OHIO -- 1.0% 5,250 Dayton, Ohio, Special Facilities Revenue, (Air Freight Corporation Project) Series 1988D, AMT, 6.200% 10/01/09........................... Ba1 BB+ 5,231 1,000 Lucas County, Ohio, Hospital Revenue, (Flower Hospital Project) Series 1993, Prerefunded 12/01/04 @ 101, 6.125% 12/01/13........................... Baa2 BBB 1,017 -------- 6,248 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ PENNSYLVANIA -- 0.8% $ 1,570 Philadelphia, Pennsylvania, Hospital and Higher Education Facilities Authority, Hospital Revenue, (Frankford Hospital Project) Series 1993A, 6.000% 06/01/14........................... A3 A- $ 1,601 3,125 Philadelphia, Pennsylvania, Hospital and Higher Education Facilities Authority, Hospital Revenue, (Frankford Hospital Project) Series 1993A, 6.000% 06/01/23........................... A3 A- 3,200 -------- 4,801 -------- PUERTO RICO -- 0.7% 1,700 Puerto Rico, Electric Power Authority Power Revenue, Series 2002, (MBIA Insured), 5.000% 07/01/20........................... Aaa AAA 1,895 2,000 Puerto Rico, Public Buildings Authority Revenue Guaranteed (Government Facilities) Series 2002F, (Commonwealth GTD), 5.250% 07/01/20........................... Baa1 A- 2,213 -------- 4,108 -------- SOUTH CAROLINA -- 4.2% 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 4,485 2,000 Greenville, South Carolina, Hospital Facilities Revenue Refunding, Series 1996B, (GTY-AGMT), 5.250% 05/01/17........................... Aa3 AA 2,066 5,000 Greenville, South Carolina, Hospital Facilities Revenue, Series 2001, 5.500% 05/01/26........................... Aaa AAA 5,404
SEE NOTES TO FINANCIAL STATEMENTS. 85 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ SOUTH CAROLINA -- (CONTINUED) $ 5,000 Piedmont, South Carolina, Municipal Power Agency, Electric Revenue Refunding, (Capital Appreciation) Sub Series 2004A-2, (FGIC Insured), 5.189%& 01/01/24.......................... Aaa AAA $ 1,864 1,000 Richland County, South Carolina, Environmental Improvement Revenue, (International Paper) Series 2003, 6.100% 04/01/23........................... Baa2 BBB 1,060 690 South Carolina State, Housing Finance and Development Authority, Revenue, (Homeownership Mortgage Purchase Project) Series 1994A, 6.375% 07/01/16........................... Aaa AA 705 3,095 South Carolina State, Public Service Authority, Revenue Refunding, Series 2002D, (FSA Insured), 5.000% 01/01/18........................... Aaa AAA 3,322 1,000 South Carolina State, State School Facilities, GO, Series 2001A, 3.500% 01/01/16........................... Aaa AAA 972 2,900 South Carolina, Tobacco Settlement Management Revenue, 2001B, 6.375% 05/15/28........................... Baa2 BBB 2,692 1,000 South Carolina, Transportation Infrastructure Bank, Revenue Refunding, Series 2004B, (AMBAC Insured), 5.250% 10/01/15........................... Aaa AAA 1,138 3,000 York County, South Carolina, Exempt Facilities IDR, (Hoechst Celanese Corporation Project) Series 1994, AMT, 5.700% 01/01/24........................... Baa2 BBB 2,679 -------- 26,387 -------- SOUTH DAKOTA -- 0.8% 4,735 South Dakota, Housing Development Authority, Revenue, Series 2002E, 5.550% 05/01/31........................... Aa1 AAA 4,824 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TENNESSEE -- 4.0% $ 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+ $ 5,736 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 4,602 4,000 Maury County, Tennessee, Industrial Development Board, Solid Waste Disposal Revenue, (Occidental Petroleum Corporation) Series 2001A, AMT, (GTY-AGMT), 6.250% 08/01/18........................... Baa1 BBB+ 4,249 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 5,357 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 2,156 -------- 24,912 --------
SEE NOTES TO FINANCIAL STATEMENTS. 86 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- 10.8% $ 2,470 Beaumont, Texas, Independent School District, GO, Series 1996, (PSF-GTD), 5.000% 02/15/17........................... Aaa AAA $ 2,577 2,070 Bexar, Texas, Metropolitan Water District, Waterworks Revenue, Unrefunded Balance, Series 1995, (MBIA Insured), 6.000% 05/01/15........................... Aaa AAA 2,159 1,900 Brazos River Authority, Texas, PCR, Revenue Refunding, (TXU Energy Company LLC Project), Series 2003A, 6.750% 04/01/38........................... Baa2 BBB 2,141 1,150 Brazosport, Texas, Independent School District, Series 2003C, 5.000% 02/15/16........................... Aaa AAA 1,238 1,750 Dallas County, Texas, GO, Series 1996, 5.250% 08/15/16........................... Aaa AAA 1,876 3,210 Dallas-Fort Worth, Texas, International Airport Revenue, Series 2003A, (AMBAC Insured), 5.500% 11/01/15........................... Aaa AAA 3,550 2,220 Grand Prairie, Texas, Independent School District, GO Refunding, Series 2002, (PSF-GTD), 5.000% 02/15/22........................... Aaa AAA 2,306 8,000 Harris County, Texas, GO, Refunding, Series 2002, (MBIA Insured), 4.740%& 08/15/19.......................... Aaa AAA 3,985 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 3,759 1,000 Harris County, Texas, Health Facilities Development Corporation, Hospital Revenue, (St. Luke's Episcopal Project) Series 2001A, 5.500% 02/15/11........................... Aa3 AA- 1,103
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $ 5,000 Houston, Texas, Airport Systems Revenue, Series 1998B, AMT, (FGIC Insured), 5.000% 07/01/16........................... Aaa AAA $ 5,175 1,900 Leander, Texas, Independent School District, GO Refunding, Series 2002, (PSF-GTD Insured), 5.375% 08/15/17........................... Aaa AAA 2,122 4,155 McKinney, Texas, Independent School District, GO, Series 2001, (PSF-GTD), 5.125% 02/15/17........................... Aaa AAA 4,522 2,000 North Central Texas, Health Facilities Development Corporation, Hospital Revenue, (Presbyterian Healthcare Project) Series 1991A, 6.625% 06/01/11........................... Aaa AAA 2,314 5,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16........................... Baa2 BBB- 5,461 2,000 San Antonio, Texas, Electric and Gas Systems, GO Refunding, Series 1998A, 5.250% 02/01/16........................... Aa1 AA+ 2,169 1,000 San Marcos, Texas, Electric Utility System Revenue Refunding, Series 2002, (FSA Insured), 5.250% 11/01/16........................... Aaa AAA 1,111 2,000 Texas City, Texas, IDR Refunding, (Atlantic Richfield Company Project) Series 1990, 7.375% 10/01/20........................... Aa1 AA+ 2,631 1,000 Texas State, GO, Series 1996, 5.500% 08/01/15........................... Aa1 AA 1,060 7,000 Texas State, Turnpike Authority Central Texas Turnpike System Revenue, (Capital Appreciation-First Tier) Series 2002A, (AMBAC Insured), 4.460% 08/15/16........................... Aaa AAA 4,146
SEE NOTES TO FINANCIAL STATEMENTS. 87 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $ 1,500 Texas State, University System Financing Refunding Revenue, Series 2002, (FSA Insured), 5.000% 03/15/17........................... Aaa AAA $ 1,599 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 3,891 2,500 University of Texas, Permanent University Fund Finance Department, Revenue Refunding, Series 2004B, 5.000% 07/01/26........................... Aaa AAA 2,576 3,490 Williamson County, Texas, GO Refunding, Series 2004, (MBIA Insured), 5.000% 02/15/16........................... Aaa AAA 3,792 -------- 67,263 -------- UTAH -- 1.8% 2,000 Emery County, Utah, PCR Refunding, (Pacificorp Project) 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 4,109 1,650 Provo, Utah, Electric Revenue, Series 1980, 10.125% 04/01/15.......................... Aaa AAA 2,241 2,500 Utah, County Hospital Revenue, Series 1997, (MBIA Insured), 5.250% 08/15/26........................... Aaa AAA 2,553 -------- 10,949 -------- VERMONT -- 0.3% 1,985 Vermont, Municipal Bond Bank, Revenue, Series 1996-1, (AMBAC Insured), 5.750% 12/01/15........................... Aaa AAA 2,173 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- 0.9% $ 1,000 Danville, Virginia, Industrial Development Authority, Hospital Revenue, (Danville Regional Medical Center), Series 1998, 5.200% 10/01/18........................... Aaa AAA $ 1,114 2,830 Fairfax County, Virginia, Water and Sewer Authority, Water Revenue, Unrefunded Balance, Series 1992, 6.000% 04/01/22........................... Aaa AAA 3,120 1,505 Virginia State, Port Authority, Port Facility Revenue, Series 2003, (MBIA Insured), 5.250% 07/01/16........................... Aaa AAA 1,651 -------- 5,885 -------- WASHINGTON -- 11.5% 7,500 Chelan County, Washington, Development Corporation, PCR Refunding, (Alcoa, Inc. Project) Series 1995, 5.850% 12/01/31........................... A2 A- 7,753 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 2,402 1,035 King County, Washington, Library Systems, GO, Series 1992, Prerefunded 12/01/06 @ 100, 6.150% 12/01/10........................... Aa3 AA- 1,128 1,000 King County, Washington, School District No. 403 Renton, GO, Series 1998, 5.250% 06/01/15........................... Aa3 AA- 1,076 3,000 King County, Washington, Sewer GO Refunding, Series 1996C, 5.250% 01/01/17........................... Aa1 AA+ 3,204 2,405 Port Seattle, Washington, GO, Series 2000, AMT, 6.000% 12/01/11........................... Aa1 AA+ 2,713 3,885 Port Seattle, Washington, Revenue, Series 1999B, (FGIC Insured), 5.500% 09/01/13........................... Aaa AAA 4,269
SEE NOTES TO FINANCIAL STATEMENTS. 88 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ WASHINGTON -- (CONTINUED) $ 4,365 Seattle, Washington, GO, Series 1996A, 5.625% 01/15/10........................... Aa1 AAA $ 4,579 1,795 Seattle, Washington, GO, Series 1997, 5.300% 08/01/17........................... Aa1 AAA 1,924 1,525 Skagit County, Washington, School District Number 320, GO Refunding, Series 1996, (FGIC Insured), 5.500% 12/01/12........................... Aaa AAA 1,633 2,000 Tacoma, Washington, Electric System Revenue, Series 1997, (AMBAC Insured), 5.250% 01/01/15........................... Aaa AAA 2,150 12,700 Washington State, GO, Series 1990A, 6.750% 02/01/15........................... Aa1 AA 15,589 10,000 Washington State, GO, Series 2000A, 5.625% 07/01/21........................... Aa1 AA 11,108 2,955 Washington State, GO, Unrefunded Balance, Series 1992-93A, 5.750% 10/01/12........................... Aa1 AA 3,377 5,000 Washington State, Public Power Supply Systems Revenue Refunding, Series 1996A, (MBIA Insured), 5.750% 07/01/11........................... Aaa AAA 5,409 1,120 Washington State, Public Power Supply Systems Revenue, (Nuclear Project Number 1) Series 1990B, Prerefunded 07/01/04 @ 100, 7.250% 07/01/09........................... Aaa AA- 1,278 1,505 Washington State, Public Power Supply Systems Revenue, (Nuclear Project Number 2) Series 1990A, 7.250% 07/01/06........................... Aaa AA- 1,644 -------- 71,236 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ WEST VIRGINIA -- 0.7% $ 1,450 Jefferson County, West Virginia, Board of Education, GO, Series 1989, (FGIC Insured), 6.850% 07/01/07........................... Aaa AAA $ 1,634 1,560 Jefferson County, West Virginia, Board of Education, GO, Series 1989, (FGIC Insured), 6.850% 07/01/08........................... Aaa AAA 1,809 1,000 West Virginia University, State University Systems Revenue, (Marshall University Library Project) Series 1996, (AMBAC Insured), 5.750% 04/01/16........................... Aaa AAA 1,068 -------- 4,511 -------- WISCONSIN -- 3.2% 3,000 Menomonee Falls, Wisconsin, Sewer Systems Revenue, Series 1996A, (AMBAC Insured), 5.650% 05/01/16........................... Aaa AAA 3,241 1,000 Wisconsin State, GO Refunding, Series 1993-1, 5.800% 11/01/08........................... Aa3 AA- 1,125 4,000 Wisconsin State, Health and Educational Facilities Authority, Revenue, (Aurora Health Care Project) Series 1999A, 5.600% 02/15/29........................... Baa1 BBB+ 4,003 3,500 Wisconsin State, Health and Educational Facilities Authority, Revenue, (Aurora Health Care Project) Series 1999B, 5.500% 02/15/15........................... Baa1 BBB+ 3,603
SEE NOTES TO FINANCIAL STATEMENTS. 89 NATIONS FUNDS Nations Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (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+ $ 5,618 2,450 Wisconsin, Badger TOB Asset Securitization Corporation, Asset Backed Revenue, Series 2002, 5.750% 06/01/12........................... Baa2 BBB 2,471 -------- 20,061 -------- WYOMING -- 1.7% 10,000 Wyoming, Student Loan Corporation, Revenue Refunding, Series 1999A, 6.250% 06/01/29........................... Aa2 AA 10,672 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $570,939)........................................... 618,148 --------
SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 0.3% (Cost $2,098) 2,098 Nations Tax-Exempt Reserves, Capital Class#................. 2,098 -------- TOTAL INVESTMENTS (Cost $573,037*)................................ 99.3% 620,246 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 0.7% 4,652 -------- NET ASSETS........................................ 100.0% $624,898 ========
--------------- *Federal income tax information (see Note 8). &Zero coupon security. The rate shown reflects the yield to maturity. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. (a) Illiquid security. Nations Municipal Income Fund had the following insurance concentration greater than 10% at September 30, 2004 (as a percentage of net assets): MBIA 13.58% AMBAC 10.87%
Nations Municipal Income Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Hospital Revenue 13.03% Prerefunded 10.87%
SEE NOTES TO FINANCIAL STATEMENTS. 90 NATIONS FUNDS Nations California Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 101.7% CALIFORNIA -- 98.1% $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+ $ 1,300 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- 2,188 500 ABAG Finance Authority for Non-Profit Corporations, Certificates of Participation Refunding, (American Baptist Homes Project) Series 1998A, 5.500% 10/01/07........................... Ba1 BB+ 519 1,000 Alameda County, California, Certificates of Participation Refunding, (Santa Rita Jail Project) Series 1993, (MBIA Insured), 5.375% 06/01/09........................... Aaa AAA 1,078 1,000 Alameda County, California, Certificates of Participation Refunding, Series 2001A, (MBIA Insured), 5.375% 12/01/10........................... Aaa AAA 1,127 1,000 Alameda County, California, Certificates of Participation Refunding, Series 2001A, (MBIA Insured), 4.250% 12/01/11........................... Aaa AAA 1,063 1,000 Anaheim, California, Public Financing Authority, Lease Revenue, (Public Improvements Project) Series 1997C, (FSA Insured), 6.000% 09/01/11........................... Aaa AAA 1,168
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,900 Burbank, California, Public Financing Authority, Revenue, (Golden State Redevelopment Project) Series 2003A, (AMBAC Insured), 4.500% 12/01/09........................... Aaa AAA $ 2,058 1,325 California State University, Revenue, (Systemwide Project) Series 2003A, (FGIC Insured), 5.000% 11/01/12........................... Aaa AAA 1,481 2,000 California State, Department of Water Resources, Power Supply Revenue, Series 2002A, 6.000% 05/01/13........................... A3 BBB+ 2,332 1,000 California State, Department of Water Resources, Water Systems Revenue, (Center Valley Project Revenue) Series 1997S, 5.000% 12/01/06........................... Aa2 AA 1,067 1,000 California State, Department of Water Resources, Water Systems Revenue, (Center Valley Project) Series 1992J-2, 6.000% 12/01/06........................... Aa2 AA 1,087 20 California State, Department of Water Resources, Water Systems Revenue, (Center Valley Project) Series 1998T, 5.500% 12/01/08........................... Aa2 AA 23 1,870 California State, Economic Recovery, GO, Series 2004A, 5.250% 07/01/14........................... 2,126 2,000 California State, University Revenue, Systemwide, Series 2004A, (FSA Insured), 5.000% 11/01/13........................... Aaa AAA 2,238 1,000 California, Health Facilities Finance Authority, Revenue, (Cedars-Sinai Medical Center Project) Series 1999A, 6.125% 12/01/19........................... A3 A- 1,098 2,000 California, Health Facilities Finance Authority, Revenue, (Kaiser Permanente Project) Series 1998A, (FSA Insured), 5.250% 06/01/12........................... Aaa AAA 2,202
SEE NOTES TO FINANCIAL STATEMENTS. 91 NATIONS FUNDS Nations California Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,000 California, Health Facilities Finance Authority, Revenue, (Sisters Providence Project) Series 1996, 5.500% 10/01/05........................... Aa3 AA- $ 1,036 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 1,117 3,135 California, Kings River Conservation District Revenue, Certificates of Participation, (Peaking Project) Series 2004, 5.000% 05/01/14........................... Aaa AAA 3,393 3,285 California, Santa Margarita/Dana Point Authority, Revenue, Series 1997A, (AMBAC Insured), 5.500% 08/01/11........................... Aaa AAA 3,622 1,465 California, Statewide Communities Development Authority, Certificates of Participation, (Catholic Healthcare West Project) Series 1999, 6.000% 07/01/09........................... Baa1 BBB+ 1,630 1,000 Chaffey, California, High School District, GO, Series 2000B, (FGIC Insured), 5.500% 08/01/14........................... Aaa AAA 1,129 1,330 Compton, California, Community College District, GO, Series 2004A, (MBIA Insured), 5.250% 07/01/17........................... Aaa AAA 1,488 2,025 Culver City, California, Redevelopment Finance Authority, Revenue Refunding, Series 1993, (AMBAC Insured), 5.500% 11/01/14........................... Aaa AAA 2,312 1,000 East Bay Municipal Utilities District, California, Wastewater Systems Revenue Refunding, Series 2003F, (AMBAC Insured), 5.000% 04/01/15........................... Aaa AAA 1,089
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,000 East Bay-Delta, California, Housing & Finance Authority, Revenue, Series 2001A, (MBIA Insured), 4.250% 06/01/05........................... Aaa AAA $ 1,019 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 2,174 1,280 Fontana, California, Redevelopment Agency Tax Allocation Refunding, (Jurupa Hills Redevelopment Project) Series 1999A, 4.625% 10/01/05........................... Baa1 BBB+ 1,315 1,750 Foothill/Eastern Corridor Agency, California, Toll Road Revenue, Series 1995A, Prerefunded 01/01/10 @ 102, 2.986% due 01/01/13, 7.150% beginning 01/01/05.................................. Aaa AAA 2,101 1,000 Golden State Tobacco Securitization Corporations, Tobacco Settlement Revenue, Series 2003A-1, 3.400% 06/01/08........................... Baa1 BBB 960 1,455 Indian Wells, California, Redevelopment Agency, Tax Allocation, (Consolidated Whitewater Project), Series 2003A, (AMBAC Insured), 5.000% 09/01/14........................... Aaa AAA 1,604 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 5,665 1,290 Los Altos, California, School District, GO, Series 2001B, 5.000% 08/01/14........................... Aa2 AA 1,413
SEE NOTES TO FINANCIAL STATEMENTS. 92 NATIONS FUNDS Nations California Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (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 1,183 1,000 Los Angeles County, California, Sanitation District Financing Authority, Revenue, (Capital Project) Series 2003A, (FSA Insured), 5.000% 10/01/10........................... Aaa AAA 1,111 1,400 Los Angeles County, California, Transition Commission Sales Tax, Revenue, Series 1992A, 6.400% 07/01/06........................... Aa3 A+ 1,505 1,500 Los Angeles, California, GO, Series 1999B, Prerefunded 09/01/09 @ 101, 5.250% 09/01/14........................... Aa2 AA 1,702 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 1,696 1,935 Los Angeles, California, Sanitation Equipment Charge, Revenue, Series A, (FSA Insured), 5.250% 02/01/13........................... Aaa AAA 2,154 3,500 Los Angeles, California, Unified School District, GO, Series 2000D, 5.500% 07/01/09........................... Aa3 AA- 3,943 1,300 Los Angeles, California, Water & Power Revenue, Series 2001A, (MBIA-IBC Insured), 5.250% 07/01/15........................... Aaa AAA 1,437 1,105 Los Gatos, California, JT High School District, GO, Series 2002C, (FSA Insured), 5.375% 06/01/13........................... Aaa AAA 1,251
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,230 Lucia Mar Unified School District, California, GO, (Election 2004) Series A, (FGIC Insured), 5.250% 08/01/20........................... Aaa AAA $ 1,356 3,000 Metropolitan Water District of Southern California, Waterworks Revenue Refunding, Series 2004B, 5.000% 07/01/14........................... Aa2 AA 3,339 1,185 Modesto, California, Certificates of Participation, Series 2001A, (FSA Insured), 5.250% 07/01/18........................... Aaa AAA 1,284 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 3,423 3,700 Oakland, California, Redevelopment Agency Tax Allocation Refunding, (Center District Redevelopment Project) Series 1992, (AMBAC Insured), 5.500% 02/01/14........................... Aaa AAA 4,263 1,500 Oakland, California, Redevelopment Agency Tax Allocation, (Center District Redevelopment Project) Series 2003 (FGIC Insured), 5.500% 09/01/12........................... Aaa AAA 1,717 1,000 Orange County, California, Public Financing Authority, Waste Management Systems, Revenue Refunding, Series 1997, (AMBAC Insured), 5.500% 12/01/06........................... Aaa AAA 1,071 1,000 Orange County, California, Public Financing Authority, Waste Management Systems, Revenue Refunding, Series 1997, (AMBAC Insured), 5.750% 12/01/10........................... Aaa AAA 1,129
SEE NOTES TO FINANCIAL STATEMENTS. 93 NATIONS FUNDS Nations California Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $2,000 Orange County, California, Redevelopment Agency, (Tax Allocation Central District Redevelopment) Series 2003, (FGIC Insured), 5.000% 02/15/09........................... Aaa AAA $ 2,202 650 Orange County, California, Water District Revenue, Certificates of Participation, Series 2003B, (MBIA Insured), 5.375% 08/15/17........................... Aaa AAA 724 1,000 Pasadena, California, Certificates of Participation, (Capital Improvement Refunding Project) Series 2001, 4.000% 01/01/08........................... Aa3 AA- 1,055 1,000 Port Oakland, California, Revenue, Series 2000K, AMT, (FGIC Insured), 5.500% 11/01/08........................... Aaa AAA 1,104 1,000 Redwood City, California, Redevelopment Agency Tax Allocation Revenue, (Redevelopment Project Area No. 2) Series 2003A, (AMBAC Insured), 5.250% 07/15/13........................... Aaa AAA 1,130 1,000 Sacramento County, California, Sanitation District Financing Authority, Revenue, Series 2000A, 5.000% 12/01/08........................... Aa3 AA 1,102 2,000 Sacramento, California, Cogeneration Authority, Revenue Refunding, (Cogeneration Project) Series 1998, (MBIA Insured), 5.250% 07/01/09........................... Aaa AAA 2,205 1,615 Sacramento, California, Municipal Utility District Electric, Revenue, Series 2003R, (MBIA Insured), 5.000% 08/15/12........................... Aaa AAA 1,802 2,500 Sacramento, California, Power Authority Revenue, (Cogeneration Project) Series 1995, (MBIA-IBC Insured), 5.875% 07/01/15........................... Aaa AAA 2,704
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $3,440 San Francisco, California, Bay Area Rapid Transportation District, Sales Tax Revenue, Series 1998, 5.500% 07/01/09........................... Aa3 AA- $ 3,827 1,000 San Jose, California Financing Authority, Lease Revenue, (Convention Center Project) Series 2001F, 5.000% 09/01/15........................... Aaa AAA 1,082 2,515 San Jose, California, Airport Revenue Refunding, Series 2003B, (FSA Insured), 5.000% 03/01/10........................... Aaa AAA 2,708 1,000 San Juan, California, Unified School District, GO, Series 2000, (FGIC Insured), 5.000% 08/01/09........................... Aaa AAA 1,107 1,180 San Mateo County, California, Transit District, Series 1997A, 5.000% 06/01/13........................... Aaa AAA 1,316 1,000 Santa Clara County, California, East Side Union High School District, GO Refunding, Series 2003B, (MBIA Insured), 4.200% 02/01/11........................... Aaa AAA 1,062 3,000 Southern California Public Power Authority, Power Project Revenue, Series 1989, 6.750% 07/01/13........................... A2 A 3,646 965 State Center California Community College District, GO, (Election 2002) Series A, (MBIA Insured), 5.250% 08/01/22........................... Aaa AAA 1,051 2,000 University of California, University & College Improvements, Revenue, Series 2003A, 5.000% 05/15/10........................... Aaa AAA 2,215 1,000 Ventura County, California, Certificates of Participation, (Public Financing Authority) Series 2001, (FSA Insured), 5.250% 08/15/15........................... Aaa AAA 1,085 -------- 124,471 --------
SEE NOTES TO FINANCIAL STATEMENTS. 94 NATIONS FUNDS Nations California Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ PUERTO RICO -- 3.6% $1,000 Puerto Rico Commonwealth, GO, Series 2004A, 5.250% 07/01/19........................... Aaa AAA $ 1,082 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 1,087 2,000 Puerto Rico, Electric Power Authority, Power Revenue, Series 1997AA, (MBIA Insured), 6.250% 07/01/10........................... Aaa AAA 2,351 -------- 4,520 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $124,235)........................................... 128,991 --------
SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 0.6% (Cost $772) 772 Nations Tax-Exempt Reserves, Capital Class#................. 772 -------- TOTAL INVESTMENTS (Cost $125,007*)................................ 102.3% 129,763 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... (2.3)% (2,925) -------- NET ASSETS........................................ 100.0% $126,838 ========
--------------- *Federal income tax information (see Note 8). #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, 2004 (as a percentage of net assets): AMBAC 18.04% FSA 16.45% MBIA 13.91%
Nations California Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Special Tax Revenue 18.06% Lease Revenue 13.18% Electric Revenue 12.70% Prerefunded 11.52%
SEE NOTES TO FINANCIAL STATEMENTS. 95 NATIONS FUNDS Nations California Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 99.7% CALIFORNIA -- 93.1% $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- $ 2,184 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- 2,188 2,000 Anaheim, California, Unified School District, GO, Series 2002, (FSA Insured), 5.000% 08/01/25........................... Aaa AAA 2,068 1,185 Bodega Bay, California, Fire Protection District, Certificates of Participation, (Fire Station Project) Series 1996, 6.450% 10/01/31........................... Ba2 BB 1,239 3,000 California State, Department of Water Resources, Water Systems Revenue, (Center Valley Project) Series 1997S, 5.000% 12/01/17........................... Aa2 AA 3,199 3,000 California State, GO Refunding, Series 2000, 5.625% 05/01/26........................... A3 A 3,242 1,675 California State, GO, Series 1991, 6.600% 02/01/10........................... A3 A 1,960 1,000 California State, GO, Series 1993, 5.500% 04/01/13........................... A3 A 1,138 20 California State, GO, Series 1995, Prerefunded 03/01/05 @ 101, 5.750% 03/01/09........................... A3 A 21 10 California State, GO, Series 1995, Prerefunded 03/01/05 @ 101, 5.750% 03/01/09........................... A A 10 65 California State, GO, Series 1995, Unrefunded Balance, 5.750% 03/01/09........................... A3 A 67
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $2,600 California State, GO, Series 2000, (FGIC Insured), 5.250% 09/01/30........................... Aaa AAA $ 2,701 1,500 California State, Public Works Board Lease Revenue, (Department of Health - Colinga) Series 2004A, 5.500% 06/01/19........................... Baa1 BBB 1,659 1,000 California, Educational Facilities Authority, Revenue, (Pooled College and University Project) Series 1999B, 5.250% 04/01/24........................... Baa3 BBB- 1,006 2,500 California, Educational Facilities Authority, Revenue, Series 2003A, 5.000% 10/01/33........................... Aa1 AA+ 2,552 3,500 California, Health Facilities Finance Authority, Revenue, (Cedars-Sinai Medical Center Project) Series 1999A, 6.125% 12/01/19........................... A3 A- 3,842 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 5,413 3,000 California, Health Facilities Financing Authority, Revenue, (Kaiser Permanente Project) Series 1998A, (FSA Insured), 5.000% 06/01/24........................... Aaa AAA 3,178 1,000 California, Health Facilities Financing Authority, Revenue, (Kaiser Permanente Project) Series 1998B, 5.250% 10/01/13........................... A3 A 1,107 1,510 California, Housing Finance Agency, Multi-Unit Rental Housing Revenue, Series 1992B-II, 6.700% 08/01/15........................... Aa3 A+ 1,512 1,620 California, Housing Finance Agency, Home Mortgage Revenue, Series 1994F-3, AMT, (MBIA/FHA/VA Insured), 6.100% 08/01/15........................... Aaa AAA 1,666
SEE NOTES TO FINANCIAL STATEMENTS. 96 NATIONS FUNDS Nations California Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,210 California, Housing Finance Agency, Home Mortgage Revenue, Series 1997I, AMT, (MBIA Insured), 5.650% 08/01/17........................... Aaa AAA $ 1,268 1,005 California, Housing Finance Agency, Single-Family Mortgage Revenue, Series 1997B-3, Class I, AMT, (FHA Insured), 5.400% 08/01/28........................... Aaa AAA 1,025 2,500 California, Infrastructure & Economic Development Bank, Revenue, (Kaiser Hospital Assistant I-LLC Project) Series 2001A, 5.550% 08/01/31........................... A2 A 2,588 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 2,077 1,000 California, Pollution Control Financing Authority, PCR, (Southern California Edison Company Project) Series 1992B, AMT, 6.400% 12/01/24........................... Baa2 BBB 1,005 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 6,248 1,835 California, Statewide Communities Development Authority, Certificates of Participation, Series 1999, (FSA Insured), 5.500% 08/15/19........................... Aaa AAA 2,039
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $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+ $ 2,126 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 1,996 2,500 California, Statewide Communities Development Authority, Revenue, Certificates of Participation, Series 1993, 5.400% 11/01/15........................... A3 A- 2,535 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 3,546 1,500 Capistrano, California, Unified School District, Community Facilities District, Special Tax, Number 98-2-Ladera, 5.750% 09/01/29........................... NR NR 1,526 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 1,776 1,710 Central Valley, California, Financing Authority, Cogeneration Project, Revenue, (Carson Ice Project) Series 1993, 6.000% 07/01/09........................... Baa2 BBB 1,761 2,000 Chula Vista, California, IDR, (San Diego G&E-B RMK 06/02/04) Series 1996, AMT, 5.500% 12/01/21........................... A2 A- 2,117
SEE NOTES TO FINANCIAL STATEMENTS. 97 NATIONS FUNDS Nations California Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,920 Contra Costa, California, Water District, Water Revenue, Series 2002L, (FSA Insured), 5.000% 10/01/24........................... Aaa AAA $ 1,992 2,000 Daly City, California, Housing Development Finance Agency, Mobile Home Park Revenue, (Franciscan Acquisition Project) Series 2002A, 5.850% 12/15/32........................... A3 A- 2,062 300 Del Mar, California, Race Track Authority, Revenue Refunding, Series 1996, 6.000% 08/15/06........................... NR NR 310 1,400 Del Mar, California, Race Track Authority, Revenue Refunding, Series 1996, 6.000% 08/15/08........................... NR NR 1,495 1,000 Del Mar, California, Race Track Authority, Revenue Refunding, Series 1996, 6.200% 08/15/11........................... NR NR 1,068 2,750 East Bay MUD, California, Water Systems Revenue, Series 2001, (MBIA Insured), 5.000% 06/01/26........................... Aaa AAA 2,819 1,000 Eastern MUD, California, Water and Sewer Certificates of Participation, Series 1991, (FGIC Insured), 6.750% 07/01/12........................... Aaa AAA 1,211 2,500 Elsinore Valley MUD, California, Certificates of Participation Refunding, Series 1992A, (FGIC Insured), 6.000% 07/01/12........................... Aaa AAA 2,936 3,000 Escondido, California, JT Powers Financing Authority, Lease Revenue, (California Center for the Arts Project) Series 1995, (AMBAC Insured), 6.000% 09/01/18........................... Aaa AAA 3,168 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 1,186
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $4,000 Foothill/Eastern Corridor Agency, California, Toll Road, Revenue Refunding, Series 1999, 5.750% 01/15/40........................... Baa3 BBB- $ 4,028 2,000 Foothill/Eastern Corridor Agency, California, Toll Road, Revenue Refunding, Series 1999, (MBIA Insured), 5.125% 01/15/15........................... Aaa AAA 2,179 2,000 Foothill/Eastern Corridor Agency, California, Toll Road, Revenue, Sr. Lien, Series 1995, (MBIA-IBC Insured), 5.000% 01/01/35........................... Aaa AAA 2,017 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 2,321 5,000 Fresno, California, Sewer Revenue, Series 1993A-1, (AMBAC Insured), 6.250% 09/01/14........................... Aaa AAA 6,103 1,000 Golden State Tobacco Securitization Corporations, Tobacco Settlement Revenue, Series 2003A, 6.250% 06/01/33........................... Baa2 BBB 945 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 2,266 1,995 Lafayette, California, GO, Series 2002, 5.125% 07/15/25........................... Aa2 AA 2,094 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 1,417 3,050 Larkspur, California, School District GO, Series 2000A, 5.250% 08/01/25........................... Aa3 AA 3,212
SEE NOTES TO FINANCIAL STATEMENTS. 98 NATIONS FUNDS Nations California Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $4,065 Lompoc, California, Unified School District, GO, (Election of 2002 Project) Series 2003A, (FGIC Insured), 5.000% 08/01/27........................... Aaa AAA $ 4,176 3,000 Long Beach, California, Harbor Revenue, Series 2000A, AMT, 5.375% 05/15/24........................... Aa3 AA- 3,134 3,000 Los Angeles County, California, Metropolitan Transportation Authority, Sales Tax Revenue, Series 2000A, (FGIC Insured), 5.250% 07/01/30........................... Aaa AAA 3,117 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 2,726 650 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 713 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 3,473 3,000 Los Angeles, California, Department of Water and Power, Waterworks Revenue, Series 2001A, 5.125% 07/01/41........................... Aa3 AA 3,041 3,000 Los Angeles, California, Department of Water and Power, Waterworks Revenue, Series 2001A, (FGIC-TCRS Insured), 5.125% 07/01/41........................... Aaa AAA 3,041 1,500 Los Angeles, California, GO, Series 1999B, Prerefunded 09/01/09 @ 101, 5.250% 09/01/14........................... Aa2 AA 1,702
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 $ 1,176 985 Manteca, California, Financing Authority Sewer Revenue, Series 2003B, (MBIA Insured), 5.000% 12/01/33........................... Aaa AAA 1,027 3,635 Metropolitan Water District of Southern California, Waterworks Revenue Refunding, Series 1993A, 5.750% 07/01/21........................... Aa2 AA 4,293 2,865 Metropolitan Water District of Southern California, Waterworks Revenue, Series 1993A, 5.750% 07/01/21........................... Aa2 AA 3,317 490 Metropolitan Water District of Southern California, Waterworks Revenue, Series 1997A, 5.000% 07/01/26........................... Aa2 AA 499 815 Metropolitan Water District of Southern California, Waterworks Revenue, Series 1997A, Prerefunded 01/01/08 @ 101, 5.000% 07/01/26........................... Aa2 AA 897 695 Metropolitan Water District of Southern California, Waterworks Revenue, Series 1997A, Prerefunded 01/01/08 @ 101, 5.000% 07/01/26........................... Aa2 AA 765 2,000 Monterey County, California, Certificates of Participation, Series 2001, (MBIA Insured), 5.000% 08/01/32........................... Aaa AAA 2,022 2,500 Northridge Water District, Revenue, Certificates of Participation, Series 1996, (AMBAC Insured), 5.250% 02/01/18........................... Aaa AAA 2,643 2,095 Oak Park, California, Unified School District, GO, Series 2000, (FSA Insured), 4.143%+ 05/01/14.......................... Aaa AAA 1,414
SEE NOTES TO FINANCIAL STATEMENTS. 99 NATIONS FUNDS Nations California Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $3,000 Orange County, California, Airport Revenue Refunding, Series 1997, AMT, (MBIA Insured), 5.500% 07/01/10........................... Aaa AAA $ 3,273 2,000 Pico Rivera, California, Water Authority, Revenue, (Water System Project) Series 1999A, (MBIA Insured), 5.500% 05/01/29........................... Aaa AAA 2,235 5,270 Pleasanton-Suisun City, California, Home Financing Authority, Home Mortgage Revenue, Municipal Multiplier, Series 1984A, (MBIA Insured), 4.628%& 10/01/16.......................... Aaa AAA 3,148 1,500 Port Oakland, California, Port Revenue Refunding, Series 1997H, AMT, (MBIA Insured), 5.500% 11/01/15........................... Aaa AAA 1,620 4,000 Rancho, California, Water District Financing Authority, Revenue Refunding, Series 1995, (FGIC Insured), 5.900% 11/01/15........................... Aaa AAA 4,247 1,500 Sacramento, California, City Financing Authority, Revenue, (City Hall and Redevelopment Projects) Series 2002A, (FSA Insured), 5.000% 12/01/32........................... Aaa AAA 1,519 1,000 Sacramento, California, MUD, Electric Revenue Refunding, Series 2001P, (FSA Insured), 5.250% 08/15/20........................... Aaa AAA 1,092 2,220 Sacramento, California, MUD, Electric Revenue, Series 1997K, (AMBAC Insured), 5.250% 07/01/24........................... Aaa AAA 2,464 2,000 Sacramento, California, MUD, Electric Revenue, Series 2001N, (MBIA Insured), 5.000% 08/15/28........................... Aaa AAA 2,043 2,900 Sacramento, California, Power Authority Revenue, (Cogeneration Project) Series 1995, 5.875% 07/01/15........................... Baa3 BBB- 3,034
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $2,000 San Diego County, California, Water Authority, Water Revenue, Certificates of Participation, Series 1998A, 5.125% 05/01/16........................... Aa3 AA $ 2,144 1,000 San Diego, California, Community College District, GO, Series 2003A, (FSA Insured), 5.000% 05/01/22........................... Aaa AAA 1,052 1,885 San Diego, California, Community Facilities District No. 1, Special Tax, Series 1995B, Prerefunded 09/01/05 @ 102, 7.000% 09/01/15........................... NR NR 2,016 1,400 San Diego, California, Public Facilities Financing Authority, Sewer Revenue, Series 1999B, (FGIC Insured), 5.000% 05/15/29........................... Aaa AAA 1,426 2,000 San Francisco Bay Area, California, Rapid Transportation District, Sales Tax Revenue, Series 2001, (AMBAC Insured), 5.000% 07/01/26........................... Aaa AAA 2,051 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 2,343 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 3,173 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 2,546
SEE NOTES TO FINANCIAL STATEMENTS. 100 NATIONS FUNDS Nations California Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $2,000 San Francisco, California, City and County Airports Commission, International Airport Revenue, Refunding, Series Issue 30, (XCLA Insured), 5.000% 05/01/17........................... Aaa AAA $ 2,155 1,750 San Joaquin County, California, Certificates of Participation, (Capital Facilities Project) Series 1993, (MBIA Insured), 5.500% 11/15/13........................... Aaa AAA 2,013 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 1,632 1,405 San Jose, California, Redevelopment Agency Tax Allocation, (Merged Area Redeveloped) Escrowed to Maturity, (MBIA Insured), 6.000% 08/01/15........................... Aaa AAA 1,708 2,790 San Jose, California, Redevelopment Agency Tax Allocation, (Merged Area Redeveloped) Unrefunded Balance, (MBIA Insured), 6.000% 08/01/15........................... Aaa AAA 3,334 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 1,097 2,000 San Mateo County, California, JT Powers Authority, Lease Revenue, (Capital Project) Series 1997A, (FSA Insured), 5.125% 07/15/32........................... Aaa AAA 2,035 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 2,218
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $2,000 Saratoga, California, GO, (Saratoga Community Library Project), Series 2001, (MBIA Insured), 5.250% 08/01/31........................... Aaa AAA $ 2,076 4,000 Southern California Public Power Authority, Power Project Revenue, Series 1989, 6.750% 07/01/13........................... A2 A 4,861 1,000 Southern California, Public Power Authority, Power Project Revenue, (Magnolia Power Project), Series A-2003-1, FGIC Insured), 5.000% 07/01/25........................... Aaa AAA 1,035 1,500 Sulphur Springs, California, Unified School District, Special Tax, Series 2002-1-A, 6.000% 09/01/33........................... NR NR 1,503 2,965 Tahoe Truckee, California, Unified School District Number 2, GO, Series 1999A, (FGIC Insured), 5.164%& 08/01/24.......................... Aaa AAA 1,078 3,780 Tahoe Truckee, California, Unified School District, GO, Series 1999A, (FGIC Insured), 5.095%& 08/01/23.......................... Aaa AAA 1,465 1,000 Torrance, California, Hospital Revenue, (Torrance Memorial Medical Center Project) Series 2001A, 5.500% 06/01/31........................... A1 A+ 1,032 1,000 Tri City, California, Hospital District Revenue, Series 1991, (FSA Insured), 6.000% 02/01/22........................... Aaa AAA 1,010 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 3,247
SEE NOTES TO FINANCIAL STATEMENTS. 101 NATIONS FUNDS Nations California Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $1,610 West Contra Costa, California, Unified School District, GO Refunding, Series 2001A, (MBIA Insured), 5.600% 02/01/20........................... Aaa AAA $ 1,891 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 5,834 1,025 Westwood, California, Unified School District, GO, Series 1996, 6.500% 08/01/21........................... Baa2 BBB 1,073 -------- 247,313 -------- PUERTO RICO -- 6.6% 1,940 Puerto Rico Commonwealth, GO, (Public Improvement) Series 2001A, Unrefunded Balance, 5.375% 07/01/28........................... Baa1 A- 2,027 2,000 Puerto Rico Commonwealth, GO, Series 2004A, 5.250% 07/01/21........................... Baa1 A- 2,130 2,000 Puerto Rico Commonwealth, GO, Series 2004A, 5.250% 07/01/22........................... Baa1 A 2,130 1,520 Puerto Rico Public Finance Corporation, Miscellaneous Revenue, (Commonwealth Appropriation) Series 2002E, Prerefunded 02/01/12 @ 100, 5.500% 08/01/29........................... Baa2 BBB+ 1,722 480 Puerto Rico Public Finance Corporation, Miscellaneous Revenue, (Commonwealth Appropriation) Series 2002E, Unrefunded Balance, 5.500% 08/01/29........................... Baa2 BBB+ 506 2,250 Puerto Rico, Commonwealth Highway and Transportation Authority, Transportation Revenue, Series 1998A, (MBIA-IBC Insured), 4.750% 07/01/38........................... Aaa AAA 2,261
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ PUERTO RICO -- (CONTINUED) $1,500 Puerto Rico, Commonwealth Infrastructure Financing Authority, Special Obligation, Series 2000A, 5.500% 10/01/32........................... Aaa AAA $ 1,626 5,000 Puerto Rico, Electric Power Authority, Power Revenue, Series 2000HH, (FSA Insured), 5.250% 07/01/29........................... Aaa AAA 5,250 -------- 17,652 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $246,655)........................................... 264,965 --------
SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 0.7% (Cost $1,844) 1,844 Nations Tax-Exempt Reserves, Capital Class#................. 1,844 -------- TOTAL INVESTMENTS (Cost $248,499*)................................ 100.4% 266,809 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... (0.4)% (1,023) -------- NET ASSETS........................................ $265,786 100.0% ========
--------------- *Federal income tax information (see Note 8). &Zero coupon security. The rate shown reflects the yield to maturity. #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, 2004 (as a percentage of net assets): MBIA 22.22% FSA 10.33% FGIC 10.20%
Nations California Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Water Revenue 16.06% Transportation Revenue 12.31% Prerefunded 11.33%
SEE NOTES TO FINANCIAL STATEMENTS. 102 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 96.7% FLORIDA -- 93.2% $1,000 Bay County, Florida, PCR Refunding, (International Paper Company Project) Series 1998A, 5.100% 09/01/12........................... Baa2 BBB $ 1,070 1,000 Bay Medical Center, Florida, Hospital Revenue Refunding, (Bay Medical Center Project) Series 1996, (AMBAC Insured), 5.000% 10/01/05........................... Aaa AAA 1,031 2,000 Bay Medical Center, Florida, Hospital Revenue Refunding, (Bay Medical Center Project) Series 1996, (AMBAC Insured), 5.450% 10/01/12........................... Aaa AAA 2,160 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 1,063 2,000 Brevard County, Florida, Utilities Revenue Refunding, Series 2002, (FGIC Insured), 5.250% 03/01/14........................... Aaa AAA 2,236 3,660 Collier County, Florida, Gas Tax Revenue, Series 2003, (AMBAC Insured), 5.250% 06/01/13........................... Aaa AAA 4,152 3,285 Collier County, Florida, Gas Tax Revenue, Series 2003, (AMBAC Insured), 5.250% 06/01/15........................... Aaa AAA 3,670 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 2,347
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,000 Dade County, Florida, Aviation Revenue Refunding, Series 1994B, AMT, (AMBAC Insured), 6.300% 10/01/05........................... Aaa AAA $ 1,024 3,650 Dade County, Florida, Aviation Revenue, (Miami International Airport Project) Series 1997B, AMT, (FSA Insured), 5.000% 10/01/06........................... Aaa AAA 3,857 1,900 Dunes, Florida, Community Development District Revenue Refunding, (Intracoastal Waterway Bridge Project) Series 1993, 5.400% 10/01/04........................... Baa2 BBB 1,900 2,125 Escambia County, Florida, Health Facilities Authority, Revenue, (Ascension Health Credit Project) Series 2003A, 5.250% 11/15/11........................... Aa2 AA 2,347 625 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 635 1,450 Florida State, Board of Education, Lottery Revenue, Series 2002 A, (FGIC Insured), 5.375% 07/01/17........................... Aaa AAA 1,616 1,000 Florida State, Board of Education, Public Education Capital Outlay GO Refunding, Series 1993A, 5.000% 06/01/08........................... Aa2 AA+ 1,091 3,525 Florida State, Board of Education, Public Education Capital Outlay GO, Series 1997A, 5.500% 01/01/08........................... Aa2 AA+ 3,816 5,000 Florida State, Department of Environmental Protection & Preservation, Revenue, (Florida Forever Project), Series 2001B, (MBIA Insured), 5.000% 07/01/09........................... Aaa AAA 5,512
SEE NOTES TO FINANCIAL STATEMENTS. 103 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $3,000 Florida State, Division of Bond Finance Department, General Services Revenue, (Environmental Protection and Preservation 2000), Series 1998B, (FSA Insured), 5.500% 07/01/08........................... Aaa AAA $ 3,333 3,420 Florida State, Municipal Agency, Revenue Refunding, Series 2003A, (FSA Insured), 5.000% 10/01/13........................... Aaa AAA 3,822 1,125 Florida State, Municipal Loan Council, Revenue, Series 2003B, (MBIA Insured), 5.250% 12/01/13........................... Aaa AAA 1,272 1,850 Florida State, Municipal Power Agency, Revenue Refunding, (Stanton II Project) Series 2002, (AMBAC Insured), 5.500% 10/01/21........................... Aaa AAA 2,066 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 3,563 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........................... Baa2 BBB 1,030 380 Florida, Housing Finance Agency, Revenue Refunding, (The Vineyards Project) Series 1995H, 5.875% 11/01/05........................... Baa2 BBB 383 1,000 Florida, Housing Finance Agency, Revenue Refunding, (The Vineyards Project) Series 1995H, 6.400% 11/01/15........................... Baa2 BBB 1,028
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,700 Florida, Housing Finance Corporation Revenue, (Homeowner Mortgage Project) Series 1998-1, (MBIA Insured), 4.950% 07/01/11........................... Aaa AAA $ 1,790 1,000 Florida, Ports Financing Commission, Revenue, (State Transportation Trust Fund Project) Series 1996, AMT, (MBIA Insured), 5.375% 06/01/16........................... Aaa AAA 1,066 315 Gainesville, Florida, Utilities System, Revenue, Escrowed to Maturity, Series 1996A, 5.750% 10/01/07........................... Aa2 AA 348 685 Gainesville, Florida, Utilities System, Revenue, Unrefunded Balance, Series 1996A, 5.750% 10/01/07........................... Aa2 AA 755 1,375 Hialeah, Florida, Capital Improvement, Revenue, Series 1993, 5.500% 10/01/18........................... Baa1 BBB+ 1,388 2,410 Hillsborough County, Florida, Aviation Authority, Revenue Refunding, (Tampa International Airport Project) AMT, Series 2003D, 5.500% 10/01/11........................... Aaa AAA 2,684 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 3,400 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 1,110
SEE NOTES TO FINANCIAL STATEMENTS. 104 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,000 Hillsborough County, Florida, Capital Improvement Revenue Refunding, (County Center Project) Series 1996B, (MBIA Insured), 5.000% 07/01/11........................... Aaa AAA $ 1,069 2,335 Hillsborough County, Florida, Individual Development Authority, Cigarette Tax Allocation, (H. Lee Moffitt Cancer Project) Series 2002B, (AMBAC Insured), 5.500% 09/01/15........................... Aaa AAA 2,628 1,070 Hollywood, Florida, Water and Sewer Revenue Refunding and Improvement, Series 2003, (FSA Insured), 5.000% 10/01/17........................... Aaa AAA 1,164 1,000 Indian River County, Florida, Water and Sewer Revenue Refunding, Series 1993A, (FGIC Insured), 5.200% 09/01/05........................... Aaa AAA 1,032 2,000 Jacksonville, Florida, Electric Systems Authority, Revenue Refunding, Series 1995-11, 5.375% 10/01/15........................... Aa2 AA 2,025 1,000 Jacksonville, Florida, Excise Tax, Revenue Refunding, Series 1995A, (FGIC Insured), 5.000% 10/01/09........................... Aaa AAA 1,104 3,450 Jacksonville, Florida, GTD, Entitlement Improvement, Revenue Refunding, Series 2002, (FGIC Insured), 5.375% 10/01/18........................... Aaa AAA 3,812 1,000 Jacksonville, Florida, Sales Tax Revenue Refunding, Series 2002, (FGIC Insured), 5.375% 10/01/18........................... Aaa AAA 1,105 1,000 Jacksonville, Florida, Sales Tax, Revenue Refunding, Series 2001, (FGIC Insured), 5.500% 10/01/12........................... Aaa AAA 1,150
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,080 Jacksonville, Florida, Sales Tax, Revenue, Series 2003, (MBIA Insured), 5.250% 10/01/19........................... Aaa AAA $ 1,186 2,500 Jea, Florida, St. John's River Power Parkway Systems, Revenue Refunding, Series 2002, 5.250% 10/01/13........................... Aa2 AA 2,779 2,235 Kissimmee, Florida, Utility Authority Electrical System, Revenue Refunding and Improvement, Series 2003, (FSA Insured), 5.250% 10/01/15........................... Aaa AAA 2,505 1,000 Lakeland, Florida, Electricity and Water, Revenue Refunding, Series 1990, (AMBAC Insured), 3.000%& 10/01/09.......................... Aaa AAA 862 2,000 Manatee County, Florida, Public Utilities and Improvement, Revenue Refunding, Series 2003A, (MBIA Insured), 5.000% 10/01/12........................... Aaa AAA 2,231 4,285 Manatee County, Florida, School District Sales Tax, Revenue, Series 2003, (AMBAC Insured), 5.000% 10/01/12........................... Aaa AAA 4,795 2,025 Marion County, Florida, Hospital District, Revenue Refunding, Series 1999, 5.250% 10/01/11........................... A2 A 2,159 1,810 Miami Beach, Florida, Water and Sewer, Revenue, Series 1995, (FSA Insured), 5.375% 09/01/15........................... Aaa AAA 1,900 1,500 Miami-Dade County, Florida, Aviation, Revenue Refunding, Series 1998A, AMT, 5.250% 10/01/07........................... Aaa AAA 1,620 1,000 Miami-Dade County, Florida, Special Obligation Bonds, Series 2002A-1, (AMBAC Insured), 5.000% 04/01/11........................... Aaa AAA 1,107
SEE NOTES TO FINANCIAL STATEMENTS. 105 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $3,500 Miami-Dade County, Florida, Water and Sewer, Revenue Refunding, Series 2003, (MBIA Insured), 5.000% 10/01/07........................... Aaa AAA $ 3,785 1,530 Ocala, Florida, Imports Revenue Refunding, Series 2003, (AMBAC Insured), 5.375% 10/01/16........................... Aaa AAA 1,725 1,750 Okeechobee County, Florida, Solid Waste, Revenue, (Various Disposal-Waste Management/Landfill) Series 2004A, 4.200% 07/01/39........................... Baa1 BBB 1,780 375 Orange County, Florida, Health Facilities Authority, Revenue Refunding, (Lakeside Alternatives, Inc. Project) Series 1995, 6.250% 07/01/05........................... Baa2 BBB 379 4,640 Orange County, Florida, Health Facilities Authority, Revenue, (Orlando Regional Healthcare Project) Series 1996A, (MBIA Insured), 6.250% 10/01/08........................... Aaa AAA 5,316 1,445 Orange County, Florida, Health Facilities Authority, Revenue, Series 1996A, (MBIA Insured), Escrowed to Maturity, 6.250% 10/01/16........................... Aaa AAA 1,796 555 Orange County, Florida, Health Facilities Authority, Revenue, Series 1996A, (MBIA Insured), Unrefunded Balance, 6.250% 10/01/16........................... Aaa AAA 682 4,000 Orange County, Florida, Tourist Development Tax Authority, Revenue Refunding, Series 1998A, (AMBAC Insured), 5.000% 10/01/15........................... Aaa AAA 4,302
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $2,000 Orlando and Orange County, Florida, Expressway Authority, Revenue, Junior Lien, Series 1990, (FGIC Insured), 6.500% 07/01/10........................... Aaa AAA $ 2,370 1,000 Orlando, Florida, Greater Orlando Aviation Authority, Airport Facilities, Revenue Refunding, Series 1997, AMT, (FGIC Insured), 5.125% 10/01/12........................... Aaa AAA 1,073 5,865 Orlando, Florida, Utilities Commission, Water and Electric, Revenue Refunding, Series 2001, 5.000% 10/01/09........................... Aa1 AA 6,469 3,500 Palm Beach County, Florida, Criminal Justice Facilities, Revenue, Series 1997, (FGIC Insured), 5.750% 06/01/13........................... Aaa AAA 4,098 2,000 Palm Beach County, Florida, GO Refunding, Series 1998, 5.500% 12/01/11........................... Aaa AAA 2,296 3,000 Palm Beach County, Florida, School Board Certificates of Participation, Series 2002A, (FSA Insured), 5.375% 08/01/14........................... Aaa AAA 3,395 2,000 Palm Beach County, Florida, Stadium Facilities, Revenue, Series 1996, (MBIA Insured), 5.250% 12/01/16........................... Aaa AAA 2,187 2,070 Pembroke Pines, Florida, Consolidated Utilities Systems, Revenue, Series 1992, (FGIC Insured), 6.250% 09/01/07........................... Aaa AAA 2,225 1,000 Port St. Lucie, Florida, Sales Tax, Revenue, Series 2003, (MBIA Insured), 5.000% 09/01/19........................... Aaa AAA 1,074 1,000 Port St. Lucie, Florida, Utilities, Revenue, Series 2003, MBIA Insured), 5.000% 09/01/16........................... Aaa AAA 1,093
SEE NOTES TO FINANCIAL STATEMENTS. 106 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $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 $ 1,778 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 1,947 1,000 South Broward, Florida, Hospital District, Revenue, Series 2002, 5.500% 05/01/22........................... Aa3 A+ 1,068 3,000 South Broward, Florida, Hospital District, Revenue, Series 2002, 5.600% 05/01/27........................... Aa3 A+ 3,161 3,955 South Broward, Florida, Hospital District, Revenue, Series 2003A, (MBIA Insured), 5.250% 05/01/12........................... Aaa AAA 4,426 1,000 St. Lucie County, Florida, School District, GO, Series 1997, (FGIC Insured), 5.875% 02/01/07........................... Aaa AAA 1,087 1,980 St. Petersburg, Florida, Health Facilities Authority, Revenue, (All Children's Hospital Project) Series 2002, (AMBAC Insured), 5.500% 11/15/16........................... Aaa AAA 2,203 1,995 St. Petersburg, Florida, Health Facilities Authority, Revenue, (All Children's Hospital) Series 2002, (AMBAC Insured), 5.500% 11/15/15........................... Aaa AAA 2,224 3,775 Tallahassee, Florida, Blue Print 2000 Intern Government, Revenue, Series 2003, (FSA Insured), 5.000% 10/01/13........................... Aaa AAA 4,170
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $1,000 Tallahassee, Florida, Conservative Utilities System, Revenue Refunding, Series 2001, (FGIC Insured), 5.500% 10/01/18........................... Aaa AAA $ 1,169 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 1,007 2,000 Tampa, Florida, Health Systems, Revenue, (Catholic Health Project) Series 1998A-1, (MBIA Insured), 4.875% 11/15/15........................... Aaa AAA 2,111 3,170 Tampa, Florida, Sports Authority, Local Optional Sales Tax, Revenue, (Stadium Project) Series 1997, (MBIA Insured), 6.000% 01/01/07........................... Aaa AAA 3,446 1,000 Tampa, Florida, Sports Authority, Revenue, (Tampa Bay Arena Project) Series 1995, (MBIA Insured), 5.750% 10/01/20........................... Aaa AAA 1,194 3,000 Tampa, Florida, Tax Allocation, (Cigarette-H. Lee Moffitt Cancer Project) Series 1999, (AMBAC Insured), 5.000% 03/01/07........................... Aaa AAA 3,212 1,110 Tohopekaliga, Florida, Water Authority, Utility Revenue, Series 2003B, (FSA Insured), 5.250% 10/01/17........................... Aaa AAA 1,233 3,000 University Athletic Association Inc., Florida Athletic Program, Revenue, Series 2001, Mandatory Put 10/01/05 @ 100, 2.200% 10/01/31........................... Aa3 AA- 3,013
SEE NOTES TO FINANCIAL STATEMENTS. 107 NATIONS FUNDS Nations Florida Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- (CONTINUED) $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- $ 1,030 -------- 191,928 -------- ILLINOIS -- 0.7% 1,620 Champaign County, Illinois, Community Unit School District Number 116 Urbana, GO, Series 1999C, (FGIC Insured), Prerefunded 01/01/09 @ 94.829, 3.405%& 01/01/10.......................... Aaa AAA 1,356 -------- SOUTH CAROLINA -- 0.6% 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- 1,257 -------- VIRGINIA -- 2.2% 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 4,583 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $191,568)........................................... 199,124 --------
SHARES VALUE (000) (000) -------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 0.7% (Cost $1,396) 1,396 Nations Tax-Exempt Reserves, Capital Class#................. $ 1,396 ---------- TOTAL INVESTMENTS (Cost $192,964*)................................ 97.4% 200,520 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 2.6% 5,452 ---------- NET ASSETS........................................ 100.0% $ 205,972 ==========
--------------- *Federal income tax information (see Note 8). &Zero coupon security. The rate shown reflects the yield to maturity. #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, 2004 (as a percentage of net assets): AMBAC 19.69% MBIA 18.04% FGIC 12.37% FSA 12.32%
Nations Florida Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Special Tax Revenue 22.79% Hospital Revenue 18.43% Electric Revenue 10.18%
SEE NOTES TO FINANCIAL STATEMENTS. 108 NATIONS FUNDS Nations Florida Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 97.5% FLORIDA -- 91.0% $ 585 Alachua County, Florida, Health Facilities Authority, Revenue Refunding, (Santa Fe Healthcare Facilities, Inc. Project) Series 1993, 6.000% 11/15/09........................... Baa1 AAA $ 636 1,375 Bay County, Florida, PCR Refunding, (International Paper Company Project) Series 1998A, 5.100% 09/01/12........................... Baa2 BBB 1,471 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 2,739 1,000 Canaveral, Florida, Port Authority, Port Improvement Revenue Refunding, Series 1996B, (FGIC Insured), 5.700% 06/01/13........................... Aaa AAA 1,079 2,250 Charlotte County, Florida, Utility Revenue Refunding, Series 1996A, (FGIC Insured), 5.625% 10/01/16........................... Aaa AAA 2,444 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 1,043 2,500 Dade County, Florida, Aviation Revenue, Series 1996A, AMT, (MBIA Insured), 5.750% 10/01/12........................... Aaa AAA 2,702 595 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 604 3,000 Florida State, Board of Education, Capital Outlay GO, Series 1997A, 5.000% 01/01/17........................... Aa2 AA+ 3,164
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 $ 1,099 1,250 Florida State, Board of Education, Public Education Capital Outlay GO, Series 1996A, 5.250% 06/01/16........................... Aa2 AA+ 1,321 1,000 Florida State, Florida Department of Transportation Revenue, Series 2002, (MBIA Insured), 5.375% 07/01/15........................... Aaa AAA 1,122 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 1,080 1,945 Florida, Housing Finance Agency, Revenue, (Homeowner Mortgage Project) Series 1997-2, AMT, (MBIA Insured), 5.750% 07/01/14........................... Aaa AAA 2,051 1,240 Florida, Housing Finance Agency, Revenue, (Homeowner Mortgage Project) Series 1998-1, (MBIA Insured), 4.950% 01/01/11........................... Aaa AAA 1,307 1,485 Florida, Municipal Loan Council Revenue, (North Miami Beach Water Project), Series 2002B, (MBIA Insured), 5.375% 08/01/16........................... Aaa AAA 1,664 3,000 Gainesville, Florida, Utility Systems Revenue, Series 1992B, 6.500% 10/01/11........................... Aa2 AA 3,610 3,720 Jacksonville, Florida, GTD, Entitlement Revenue Refunding and Improvement, Series 2002, (FGIC Insured), 5.375% 10/01/19........................... Aaa AAA 4,097 2,000 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 2,100
SEE NOTES TO FINANCIAL STATEMENTS. 109 NATIONS FUNDS Nations Florida Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $2,000 Jea, Florida, St. John's River Power Parkway Systems Revenue Refunding, Series 2002, 5.250% 10/01/13........................... Aa2 AA $ 2,223 2,430 Leon County, Florida, Capital Improvement Revenue, Series 1997, (AMBAC Insured), 5.250% 10/01/17........................... Aaa AAA 2,639 2,370 Miami Beach, Florida, Water and Sewer Revenue, Series 1995, (FSA Insured), 5.375% 09/01/15........................... Aaa AAA 2,487 3,500 Miami-Dade County, Florida, Aviation Revenue, Series 1998C, AMT, (MBIA Insured), 5.250% 10/01/15........................... Aaa AAA 3,718 1,465 Miami-Dade County, Florida, Educational Facilities Authority, (Miami University) Series 2004A, 5.000% 04/01/14........................... Aaa AAA 1,625 2,000 North Broward, Florida, Hospital District Revenue Refunding, Series 1997, (MBIA Insured), 5.250% 01/15/17........................... Aaa AAA 2,129 3,260 Orange County, Florida, Health Facilities Authority, Revenue, Series 1996A, (MBIA Insured), Escrowed to Maturity, 6.250% 10/01/16........................... Aaa AAA 4,053 1,260 Orange County, Florida, Health Facilities Authority, Revenue, Series 1996A, (MBIA Insured), Unrefunded Balance, 6.250% 10/01/16........................... Aaa AAA 1,548 2,950 Orlando, Florida, Greater Orlando Aviation Authority, Airport Facilities Revenue, Series 1999A, AMT, (FGIC Insured), 5.250% 10/01/10........................... Aaa AAA 3,206 1,800 Orlando, Florida, Utilities Commission, Water and Electric Utilities Revenue Refunding, Series 1989D, 6.750% 10/01/17........................... Aa1 AA 2,272
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $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 $ 5,734 2,000 Pensacola, Florida, Airport Revenue, Series 1997B, AMT, (MBIA Insured), 5.625% 10/01/14........................... Aaa AAA 2,194 2,115 Port St. Lucie, Florida, Utilities Revenue, Series 2003, (MBIA Insured), 5.000% 09/01/19........................... Aaa AAA 2,271 1,000 Sarasota County, Florida, Utility Systems Revenue Refunding, Series 2002C, (FGIC Insured), 5.250% 10/01/16........................... Aaa AAA 1,105 1,030 Sebring, Florida, Water and Wastewater Revenue Refunding, Series 2002, (FGIC Insured), 5.250% 01/01/14........................... Aaa AAA 1,151 1,000 South Broward, Florida, Hospital District Revenue, Series 2002, 5.600% 05/01/27........................... Aa3 A+ 1,054 2,500 Sunrise Lakes, Florida, Phase 4 Recreational District, GO, Series 1995A, Prerefunded 08/01/05 @ 102, 6.750% 08/01/24........................... Baa2 BBB- 2,652 1,000 Tallahassee, Florida, Blue Print 2000 Intern Government Revenue, Series 2003, (FSA Insured), 5.000% 10/01/13........................... Aaa AAA 1,105 1,330 Tallahassee, Florida, Conservative Utility System Revenue Refunding, Series 2001, (FGIC Insured), 5.500% 10/01/14........................... Aaa AAA 1,541
SEE NOTES TO FINANCIAL STATEMENTS. 110 NATIONS FUNDS Nations Florida Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 500 Tampa, Florida, Sports Authority, Local Optional Sales Tax Revenue, (Stadium Project) Series 1997, (MBIA Insured), 5.125% 01/01/12........................... Aaa AAA $ 536 2,000 Tampa, Florida, Sports Authority, Local Optional Sales Tax Revenue, (Stadium Project) Series 1997, (MBIA Insured), 5.250% 01/01/17........................... Aaa AAA 2,135 2,500 Tampa, Florida, Sports Authority, Sales Tax Revenue, (Tampa Bay Arena Project) Series 1995, (MBIA Insured), 5.750% 10/01/15........................... Aaa AAA 2,911 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- 2,384 ------- 88,006 ------- LOUISIANA -- 1.1% 1,000 Calcasieu Parish, Louisiana, Industrial Development Board, PCR Refunding, (Occidental Petroleum Project) Series 2001, 4.800% 12/01/06........................... Baa1 BBB+ 1,044 ------- PUERTO RICO -- 5.4% 4,190 Puerto Rico, Commonwealth GO, Series 1997, (MBIA Insured), 6.500% 07/01/15........................... Aaa AAA 5,252 ------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $86,325)............................................ 94,302 -------
SHARES VALUE (000) (000) ----------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 1.0% (Cost $948) 948 Nations Tax-Exempt Reserves, Capital Class#................. $ 948 ------- TOTAL INVESTMENTS (Cost $87,273*)................................. 98.5% 95,250 ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 1.5% 1,467 ------- NET ASSETS........................................ 100.0% $96,717 =======
--------------- *Federal income tax information (see Note 8). #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, 2004 (as a percentage of net assets): MBIA 38.91% FGIC 18.43%
Nations Florida Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Transportation Revenue 13.54% Prerefunded 12.30% Special Tax Revenue 11.32% Water Revenue 10.73%
SEE NOTES TO FINANCIAL STATEMENTS. 111 NATIONS FUNDS Nations Georgia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 98.3% GEORGIA -- 89.2% $1,150 Athens, Georgia, University of Georgia Student Housing Authority, Revenue Refunding, Series 2002, (AMBAC Insured), 5.250% 12/01/19........................... Aaa AAA $ 1,265 5,000 Atlanta, Georgia, Airport Facilities Revenue Refunding, Series 2000A, (FGIC Insured), Prerefunded 01/01/10 @ 101, 5.600% 01/01/30 (a)....................... Aaa AAA 5,705 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 2,099 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 1,178 1,055 Bulloch County, Georgia, Development Authority, Student Housing Lease Revenue, (Georgia Southern University Project) Series 2002, 3.750% 08/01/10........................... Aaa AAA 1,098 1,090 Bulloch County, Georgia, Development Authority, Student Housing Lease Revenue, (Georgia Southern University Project) Series 2002, 4.000% 08/01/11........................... Aaa AAA 1,143 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+ 2,205
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $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+ $ 1,041 1,000 Chatham County, Georgia, Hospital Authority Revenue, (Memorial Health University) Series 2004A, 5.375% 01/01/26........................... A3 A- 1,019 3,000 Chatham County, Georgia, Hospital Medical Authority, Revenue, (Memorial Health Medical Center Project) Series 2001A, 6.125% 01/01/24........................... A3 A- 3,243 1,500 Cherokee County, Georgia, School System, GO, (State Aid Withholding), 5.000% 02/01/13........................... Aa2 AA 1,667 1,000 Cherokee County, Georgia, School System, GO, Series 1993, (AMBAC Insured), 5.875% 02/01/09........................... Aaa AAA 1,088 1,000 Cherokee County, Georgia, School System, GO, Series 2001, (State Aid Withholding), 5.250% 08/01/15........................... Aa2 AA 1,101 1,000 Cherokee County, Georgia, School System, GO, Series 2001, (State Aid Withholding), 5.250% 08/01/17........................... Aa2 AA 1,094 430 Cherokee County, Georgia, Water and Sewer Authority, Revenue Refunding, Series 1993, (MBIA Insured), 5.300% 08/01/09........................... Aaa AAA 465 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 3,532
SEE NOTES TO FINANCIAL STATEMENTS. 112 NATIONS FUNDS Nations Georgia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $3,860 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 $ 4,066 2,000 Clayton County, Georgia, Water and Sewer Authority, Revenue, Series 2000, 6.250% 05/01/17........................... Aa3 AA 2,328 1,000 Clayton County, Georgia, Water and Sewer Authority, Revenue, Series 2000, 5.600% 05/01/18........................... Aa3 AA 1,125 5,195 Cobb County and Marietta, Georgia, Water Authority, Revenue, Series 2002, 5.125% 11/01/20........................... Aaa AAA 5,669 2,220 Columbus County, Georgia, Water and Sewer Revenue Refunding, Series 2003, (FSA Insured), 5.250% 05/01/13........................... Aaa AAA 2,515 1,300 DeKalb County, Georgia, Development Authority, Revenue, (Emory University Project) Series 1994A, (GO of University), 6.000% 10/01/14........................... Aa2 AA 1,330 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 3,774 1,000 Downtown Savannah Authority, Georgia, Revenue Refunding, (Chatham County Project) Series 1993A, 5.000% 01/01/11........................... A1 AA 1,008 2,490 East Point, Georgia, Building Authority, Revenue, Series 2000, (FSA Insured), 5.023%& 02/01/18.......................... Aaa AAA 1,285 2,000 Forsyth County, Georgia, School District, GO, Series 1999, 6.000% 02/01/15........................... Aa2 AA- 2,340
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $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 $ 2,157 5,000 Fulton County, Georgia, Building Authority, Revenue, (Judicial Center Facilities Project) Series 2002B, 4.000% 01/01/08........................... Aaa AAA 5,258 500 Fulton County, Georgia, Development Authority, Revenue, (Clark Atlanta University Project) Series 1995, (CONNIE LEE Insured), 5.125% 01/01/10........................... Aaa AAA 529 1,735 Fulton County, Georgia, Development Authority, Revenue, (Georgia Tech Foundation Facilities Project) Series 1997A, 5.000% 09/01/17........................... Aa1 AA+ 1,847 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 3,286 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- 1,034 1,500 Georgia State, GO Refunding, Series 1992A, 6.250% 03/01/06........................... Aaa AAA 1,593 2,750 Georgia State, GO, Series 1993C, 6.500% 07/01/05........................... Aaa AAA 2,848 3,000 Georgia State, GO, Series 1999D, 5.800% 11/01/13........................... Aaa AAA 3,494 1,000 Georgia State, GO, Series 2002B, 5.000% 05/01/20........................... Aaa AAA 1,074
SEE NOTES TO FINANCIAL STATEMENTS. 113 NATIONS FUNDS Nations Georgia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 435 Georgia State, Housing and Finance Authority, Single-Family Mortgage Revenue, Series 1998B-3, 4.400% 06/01/17........................... Aa2 AAA $ 436 780 Georgia State, Housing and Finance Authority, Single-Family Mortgage Revenue, Series 1999B-2, AMT, 6.100% 06/01/31........................... Aa2 AAA 813 1,000 Georgia State, Municipal Electric Authority, Revenue, Series 1998A, 5.250% 01/01/13........................... Aaa AAA 1,128 1,000 Georgia State, Tollway Authority, Revenue Refunding, (Georgia 400 Project) Series 1998, 5.000% 07/01/07........................... Aaa AAA 1,079 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 2,455 1,250 Georgia, Municipal Association Inc., Certificate of Participation, (City Court Atlanta Project), Series 2002, (AMBAC Insured), 5.250% 12/01/26........................... Aaa AAA 1,320 2,585 Griffin, Georgia, Combined Public Utility Improvement Revenue Refunding, Series 2002, 5.125% 01/01/19........................... Aaa AAA 2,825 2,000 Gwinnett County, Georgia, GO, Series 2002, 4.000% 01/01/11........................... Aaa AAA 2,111 1,785 Gwinnett County, Georgia, School District, GO Refunding, Series 2002, 5.000% 02/01/08........................... Aaa AA+ 1,940 1,000 Hall County, Georgia, School District, GO Refunding, Series 1992B, 6.300% 12/01/05........................... A1 A+ 1,052 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 1,709
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $3,000 Henry County, Georgia, Hospital Authority, Revenue, (Henry Medical Center Project) Series 1997, (AMBAC Insured), 6.000% 07/01/29........................... Aaa AAA $ 3,368 2,000 Houston County, Georgia, School District, GO, Series 2002, (State Aid Withholding), 4.000% 09/01/06........................... Aa2 AA 2,079 500 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 551 1,000 Macon-Bibb County, Georgia, Industrial Authority, Industrial Revenue, (Weyerhaeuser Company Project) Series 1982, 9.000% 10/01/07........................... Baa2 BBB 1,196 1,000 Meriwether County, Georgia, School District, GO, Series 1996, (State Aid Withholding, FSA Insured), 5.500% 02/01/16........................... Aaa AAA 1,087 2,000 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue Refunding, Series 1992, (MBIA Insured), 6.250% 07/01/18........................... Aaa AAA 2,426 540 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue, Series 1983D, 7.000% 07/01/11........................... Aaa AAA 664 2,500 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue, Series 1998B, (MBIA Insured), 5.100% 07/01/13........................... Aaa AAA 2,742 3,000 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue, Series 1998B, (MBIA Insured), 5.100% 07/01/15........................... Aaa AAA 3,228
SEE NOTES TO FINANCIAL STATEMENTS. 114 NATIONS FUNDS Nations Georgia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $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 $ 5,278 1,000 Monroe County, Georgia, Development Authority, PCR, (Oglethorpe Power Corporation Project) Series 1992A, 6.800% 01/01/12........................... A3 A 1,196 500 Peach County, Georgia, School District, GO, Series 1994, (State Aid Withholding, MBIA Insured), 6.500% 02/01/08........................... Aaa AAA 566 1,000 Richmond County, Georgia, Board of Education, GO Refunding, Series 1993, (FGIC Insured), 4.700% 11/01/06........................... Aaa AAA 1,022 3,000 Richmond County, Georgia, Development Authority, Environmental Improvement Revenue, (International Paper Company Project) Series 2001A, 5.150% 03/01/15........................... Baa2 BBB 3,194 3,000 Roswell, Georgia, GO, Series 1995, Prerefunded 02/01/05 @ 102, 5.600% 02/01/10........................... Aaa AAA 3,100 2,000 Roswell, Georgia, GO, Series 2000, 5.500% 02/01/12........................... Aaa AAA 2,240 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 1,329 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 1,436
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $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 $ 1,093 1,000 Smyrna, Georgia, Downtown Development Authority, Revenue Refunding, Series 2002, (AMBAC Insured), 5.250% 02/01/16........................... Aaa AAA 1,134 2,225 Tift County, Georgia, Hospital Authority, Revenue, Series 2002, 5.250% 12/01/18........................... Aaa AAA 2,422 -------- 135,722 -------- ALABAMA -- 1.7% 2,320 Birmingham, Alabama, GO Refunding, Series 2003A, (AMBAC Insured), 5.250% 06/01/18........................... Aaa AAA 2,571 -------- ALASKA -- 1.0% 1,315 Alaska, Municipal Bond Bank Authority, Revenue, Series 2003, (MBIA Insured), 5.250% 12/01/17........................... Aaa AAA 1,451 -------- LOUISIANA -- 1.4% 2,000 Calcasieu Parish, Louisiana, Industrial Development Board, PCR Refunding, (Occidental Petroleum Project) Series 2001, 4.800% 12/01/06........................... Baa1 BBB+ 2,088 -------- MICHIGAN -- 2.7% 3,650 Detroit, Michigan, GO Refunding, Series 2001B, (MBIA Insured), 5.375% 04/01/14........................... Aaa AAA 4,088 -------- SOUTH CAROLINA -- 0.9% 1,500 South Carolina, Tobacco Settlement Management Revenue, Series 2001B, 6.375% 05/15/28........................... Baa2 BBB 1,392 --------
SEE NOTES TO FINANCIAL STATEMENTS. 115 NATIONS FUNDS Nations Georgia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- TEXAS -- 1.4% $2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16........................... Baa2 BBB- $ 2,184 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $140,902)............................................... 149,496 --------
SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 0.8% (Cost $1,261) 1,261 Nations Tax-Exempt Reserves, Capital Class#................. 1,261 -------- TOTAL INVESTMENTS (Cost $142,163*)................................ 99.1% 150,757 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 0.9% 1,345 -------- NET ASSETS........................................ 100.0% $152,102 ========
--------------- *Federal income tax information (see Note 8). &Zero coupon security. The rate shown reflects the yield to maturity. #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, 2004 (as a percentage of net assets): MBIA 13.58% AMBAC 11.66%
Nations Georgia Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Prerefunded 13.67% Hospital Revenue 12.08%
SEE NOTES TO FINANCIAL STATEMENTS. 116 NATIONS FUNDS Nations Kansas Municipal Income Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 96.1% KANSAS -- 84.2% $1,500 Burlington, Kansas, Environmental Improvement Revenue Refunding, (Power and Light Project) Series 1998C, Mandatory Put 10/01/07 @ 100, 4.750% 09/01/15................................... A3 BBB $ 1,577 1,380 Butler & Sedgwick Counties, Andover, Kansas, Unified School District Number 385, GO Refunding, Series 2000, (FSA Insured), 6.000% 09/01/13................................... Aaa AAA 1,640 1,600 Dodge, Kansas, Unified School District Number 443, GO Refunding, Series 2002, (FGIC Insured), 5.000% 03/01/13................................... Aaa AAA 1,778 1,025 Douglas County, Kansas, Revenue Refunding, Sales Tax, Series 2004A, (AMBAC Insured), 5.000% 02/01/13................................... Aaa AAA 1,139 1,045 Douglas County, Kansas, GO, Series 1999, 4.550% 08/01/05................................... Aa3 AA- 1,070 100 Johnson County, Kansas, Park and Recreation District Certificates of Partnership, Series 2003A, (MBIA Insured), 4.000% 09/01/15................................... Aaa AAA 101 50 Johnson County, Kansas, Unified School District Number 21, GO, Refunding, Series 2001A, (FSA Insured), 5.500% 10/01/15................................... Aaa AAA 58 150 Johnson County, Kansas, Unified School District Number 232, (School Building), GO, (MBIA Insured), 5.000% 09/01/15................................... Aaa A3 166 1,000 Johnson County, Kansas, Water District Number 001, Water Revenue, Series 2001, 5.000% 12/01/12................................... Aaa AAA 1,107
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $ 595 Junction City, Kansas, Water and Sewer Revenue, Series 1996A, (MBIA Insured), Prerefunded 09/01/05 @ 101, 4.900% 09/01/07................................... Aaa AAA $ 619 1,000 Kansas State, Department of Transportation Highway Revenue Refunding, Series 1998, (AMBAC-TCRS-BNY Insured), 5.500% 09/01/10................................... Aaa AAA 1,135 735 Kansas State, Development Financing Authority, Health Facilities Revenue, (Hays Medical Center Inc. Project) Series 1997B, (MBIA Insured), 4.800% 11/15/04................................... Aaa AAA 738 670 Kansas State, Development Financing Authority, Health Facilities Revenue, (Hays Medical Center Inc. Project) Series 1997B, (MBIA Insured), 4.900% 11/15/05................................... Aaa AAA 694 510 Kansas State, Development Financing Authority, Health Facilities Revenue, (Hays Medical Center Inc. Project) Series 1997B, (MBIA Insured), 5.000% 11/15/06................................... Aaa AAA 542 620 Kansas State, Development Financing Authority, Health Facilities Revenue, (St. Luke's/Shawnee Mission Project) Series 1996N, (MBIA Insured), 4.700% 11/15/05................................... Aaa AAA 641 675 Kansas State, Development Financing Authority, Health Facilities Revenue, (St. Luke's/Shawnee Mission Project) Series 1996N, (MBIA Insured), 4.750% 11/15/06................................... Aaa AAA 715 605 Kansas State, Development Financing Authority, Health Facilities Revenue, (St. Luke's/Shawnee Mission Project) Series 1996P, (MBIA Insured), 4.700% 11/15/05................................... Aaa AAA 625
SEE NOTES TO FINANCIAL STATEMENTS. 117 NATIONS FUNDS Nations Kansas Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $ 630 Kansas State, Development Financing Authority, Health Facilities Revenue, (St. Luke's/Shawnee Mission Project) Series 1996P, (MBIA Insured), 4.750% 11/15/06................................... Aaa AAA $ 665 740 Kansas State, Development Financing Authority, Health Facilities Revenue, (Stormont-Vail Healthcare Inc. Project) Series 1996F, (MBIA Insured), 5.600% 11/15/07................................... Aaa AAA 790 500 Kansas State, Development Financing Authority, Health Facilities Revenue, (Stormont-Vail Healthcare Inc. Project) Series 1996F, (MBIA Insured), 5.750% 11/15/09................................... Aaa AAA 535 890 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 959 730 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 788 1,000 Kansas State, Development Financing Authority, Revenue, (Board of Regents Rehabilitation Project) Series 1997G-2, 5.000% 10/01/10................................... Aaa AAA 1,083 2,000 Kansas State, Development Financing Authority, Revenue, (Board of Regents Scientific Research) Series 2003, (AMBAC Insured), 5.000% 10/01/19................................... Aaa AAA 2,153 1,020 Kansas State, Development Financing Authority, Revenue, (Kansas State Projects) Series 2001, (AMBAC Insured), 5.500% 03/01/16................................... Aaa AAA 1,140
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $2,000 Kansas State, Development Financing Authority, Revenue, (Regents-Wichita University Project) Series 2000B, (AMBAC Insured), 5.900% 04/01/15................................... Aaa AAA $ 2,277 955 Kansas State, Development Financing Authority, Revenue, (Sisters of Charity Leavenworth Project) Series 1998, 5.000% 12/01/14................................... Aaa AAA 1,035 1,000 Kansas State, Development Financing Authority, Revenue, Series 2002, 5.500% 11/01/13................................... Aa1 AA+ 1,142 1,000 Kansas State, Development Financing Authority, Revenue, Series 2002, 5.500% 11/01/15................................... Aa1 AA+ 1,144 1,855 Kansas State, Turnpike Authority, Revenue, Series 2002, (FSA Insured), 5.250% 09/01/15................................... Aaa AAA 2,120 1,230 Kansas State, Turnpike Authority, Revenue, Series 2002, (FSA Insured), 5.250% 09/01/16................................... Aaa AAA 1,409 1,265 Kansas, University Hospital Authority, Revenue, (Kansas University Health System Project) Series 1999A, (AMBAC Insured), 5.350% 09/01/12................................... Aaa AAA 1,390 1,525 Kansas, University Hospital Authority, Revenue, (Kansas University Health System Project) Series 1999A, (AMBAC Insured), 5.400% 09/01/13................................... Aaa AAA 1,679 1,000 Lenexa, Kansas, GO Refunding, Series 2003A, 5.000% 09/01/11................................... Aa2 AA 1,114 1,000 Lenexa, Kansas, Public Improvement, Revenue Refunding, Series 2003A, 5.000% 09/01/12................................... Aa2 AA 1,113 1,005 Manhattan, Kansas, Hospital Revenue, (Mercy Health Care Center) Series 2001, (FSA Insured), 5.250% 08/15/10................................... Aaa AAA 1,116
SEE NOTES TO FINANCIAL STATEMENTS. 118 NATIONS FUNDS Nations Kansas Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $1,065 Montgomery County, Kansas, Unified School District Number 445, GO, Series 2002, (FGIC Insured), 6.250% 04/01/12................................... Aaa AAA $ 1,268 860 Reno County, Kansas, Unified School District Number 313, GO, Series 1996B, (FSA Insured), 5.900% 09/01/08................................... Aaa AAA 969 925 Reno County, Kansas, Unified School District Number 313, GO, Series 1996B, (FSA Insured), 5.900% 09/01/09................................... Aaa AAA 1,057 995 Reno County, Kansas, Unified School District Number 313, GO, Series 1996B, (FSA Insured), 5.900% 09/01/10................................... Aaa AAA 1,150 1,010 Saline County, Kansas, Unified School District Number 305, GO Refunding, Series 1999, (FSA Insured), Prerefunded 09/01/08 @ 100, 5.250% 09/01/13................................... Aaa AAA 1,107 980 Sedgwick & Shawnee Counties, Kansas, Single Family Revenue, (Mortgage Backed Securities Program) Series 2003A, (GNMA/ FNMA Insured), 6.050% 06/01/27................................... Aaa AAA 1,082 985 Sedgwick & Shawnee Counties, Kansas, Single Family Revenue, AMT, Mortgage Backed Securities Program) Series 2003A-1, (GNMA/ FNMA Insured), 6.300% 06/01/27................................... Aaa AAA 1,082 500 Sedgwick County, Kansas, Unified School District Number 262, GO, Series 2003, (FSA Insured), 5.000% 11/01/09................................... Aaa AAA 552
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $ 495 Sedgwick County, Kansas, Unified School District Number 264, GO, Series 2003, (FGIC Insured), 5.125% 09/01/09................................... Aaa AAA $ 549 550 Sedgwick County, Kansas, Unified School District Number 264, GO, Series 2003, (FGIC Insured), 5.125% 09/01/10................................... Aaa AAA 613 1,000 Sedgwick County, Kansas, Unified School District Number 265, GO, Series 1994, (FSA Insured), Prerefunded 10/01/04 @ 100, 5.400% 10/01/05................................... Aaa AAA 1,000 1,250 Sedgwick County, Kansas, Unified School District Number 265, GO, Series 1994, (FSA Insured), Prerefunded 10/01/04 @ 100, 5.500% 10/01/06................................... Aaa AAA 1,250 1,000 Sedgwick County, Kansas, Unified School District Number 267, GO, Series 1999, (AMBAC Insured), 5.250% 11/01/11................................... Aaa AAA 1,129 1,320 Shawnee County, Kansas, GO Refunding & Improvement, Series 1998A, 5.125% 09/01/10................................... A1 A+ 1,463 1,660 Shawnee County, Kansas, GO Refunding & Improvement, Series 2002, (FSA Insured), 5.250% 09/01/17................................... Aaa AAA 1,845 500 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 515 1,000 Shawnee County, Kansas, Unified School District Number 501, GO, Series 2002, 5.000% 02/01/14................................... Aa3 AA- 1,094
SEE NOTES TO FINANCIAL STATEMENTS. 119 NATIONS FUNDS Nations Kansas Municipal Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------------- KANSAS -- (CONTINUED) $ 900 Topeka, Kansas, Washburn University Building Revenue, (Living Learning Center Project) Series 2004, (AMBAC Insured), 5.000% 07/01/18................................... Aaa AAA $ 974 1,260 Wichita, Kansas, GO, Series 2003-772, (FGIC Insured), 4.250% 09/01/16................................... Aaa AAA 1,296 1,890 Wyandotte County, Kansas, School District Number 500, GO, Series 2002, (FSA Insured), 5.000% 09/01/20................................... Aaa AAA 2,003 ------- 59,995 ------- ALASKA -- 2.4% 2,000 North Slope Borough, Alaska, Capital Appreciation GO, Series 2000B, (MBIA Insured), 3.118%& 06/30/09.................................. Aaa AAA 1,727 ------- MINNESOTA -- 1.5% 1,000 Minneapolis & St. Paul, Minnesota, Metropolitan Airport Commission, GO Refunding, Series 1998-13, 5.000% 01/01/10................................... Aaa AAA 1,081 ------- NORTH CAROLINA -- 2.2% 1,575 North Carolina, Medical Care Commission Revenue, (Healthcare Housing Project) Series 2004A, 5.500% 10/01/24................................... Baa1 BBB 1,570 ------- OHIO -- 0.7% 500 Dayton, Ohio, Special Facilities Revenue, (Air Freight Corporation Project) Series 1988D, AMT, 6.200% 10/01/09................................... Ba1 BB+ 498 -------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ----------------------------------------------------------------------------------------------- SOUTH CAROLINA -- 3.5% $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- $ 2,516 ------- WASHINGTON -- 1.6% 1,000 Northwest Washington, Energy Northwest Electric Revenue Refunding, (Columbia Generating) Series 2002A, (MBIA Insured), 5.750% 07/01/18................................... Aaa AAA 1,144 ------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $65,564)........................................................ 68,531 -------
SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 5.9% (Cost $4,216) 4,216 Nations Tax-Exempt Reserves, Capital Class#............................................ 4,216 ------- TOTAL INVESTMENTS (Cost $69,780*)................................. 102.0% 72,747 ------- TOTAL OTHER ASSETS AND LIABILITIES..................................... (2.0)% (1,404) ------- NET ASSETS........................................ 100.0% $71,343 =======
--------------- *Federal income tax information (see Note 8). &Zero coupon security. The rate shown reflects the yield to maturity. #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, 2004 (as a percentage of net assets): FSA 24.08% AMBAC 18.24% MBIA 16.05%
Nations Kansas Municipal Income Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Hospital Revenue 15.64% Prerefunded 12.37%
SEE NOTES TO FINANCIAL STATEMENTS. 120 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 98.6% MARYLAND -- 81.6% $4,045 Anne Arundel County, Maryland, GO, Series 2003, 5.000% 03/01/13........................... Aa1 AA+ $ 4,522 500 Anne Arundel County, Maryland, Consolidated General Improvement GO Refunding, Series 1995, 5.300% 04/01/10........................... Aa1 AA+ 514 2,855 Anne Arundel County, Maryland, GO, Series 1995, 5.200% 04/01/08........................... Aa1 AA+ 2,932 1,375 Baltimore, Maryland, Board of School Commissioners School System Revenue, Series 2003A, 5.000% 05/01/12........................... Aa1 AA+ 1,537 2,075 Baltimore, Maryland, Consolidated Public Improvement GO, Series 1991C, (FGIC Insured), 6.375% 10/15/07........................... Aaa AAA 2,330 1,740 Baltimore, Maryland, Consolidated Public Improvement GO, Series 1997A, (FGIC Insured), Prefunded 10/15/07 @ 102, 5.300% 10/15/16........................... Aaa AAA 1,935 1,000 Baltimore, Maryland, Consolidated Public Improvement GO, Series 1998B, (FGIC Insured), 6.500% 10/15/08........................... Aaa AAA 1,109 1,000 Baltimore, Maryland, Convention Center Revenue Refunding, Series 1998, (MBIA Insured), 5.000% 09/01/06........................... Aaa AAA 1,058 1,725 Baltimore, Maryland, Exchanged Revenue, Series 1996A, (FGIC Insured), 5.900% 07/01/10........................... Aaa AAA 1,990 1,000 Baltimore, Maryland, GO, Series 1989B, (MBIA Insured), 7.050% 10/15/07........................... Aaa AAA 1,141
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $ 800 Calvert County, Maryland, PCR Refunding, (Baltimore Gas and Electric Company Project) Series 1993, 5.550% 07/15/14........................... A2 BBB $ 817 250 Cumberland, Maryland, GO Refunding, Series 1994A, (FGIC Insured), 5.250% 05/01/21........................... Aaa AAA 256 1,000 Harford County, Maryland, GO, Series 1997, 5.500% 12/01/07........................... Aa1 AA+ 1,103 20 Howard County, Maryland, Consolidated Public Improvement GO, Series 1993A, Prerefunded 08/15/05 @ 100, 5.250% 08/15/06........................... Aaa AAA 21 1,900 Howard County, Maryland, Consolidated Public Improvement GO, Series 2000A, 5.250% 02/15/17........................... Aaa AAA 2,101 1,220 Howard County, Maryland, Consolidated Public Improvement GO, Series 2000A, Prerefunded 02/15/08 @ 101, 5.250% 02/15/16........................... Aaa AAA 1,349 210 Howard County, Maryland, Consolidated Public Improvement GO, Series 2000A, Prerefunded 2/15/08 @ 101, 5.250% 02/15/18........................... Aaa AAA 232 3,900 Howard County, Maryland, Consolidated Public Improvement GO, Series 2002A, 5.000% 08/15/09........................... Aaa AAA 4,314 280 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 1,979
SEE NOTES TO FINANCIAL STATEMENTS. 121 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $1,800 Howard County, Maryland, Consumer Public Improvement, Prerefunded GO, Series 2002A, 5.250% 08/15/15........................... Aaa AAA $ 2,031 795 Howard County, Maryland, Consumer Public Improvement, Unrefunded Balance GO, Series 2002A, 5.250% 08/15/15........................... Aaa AAA 891 1,530 Laurel, Maryland, Public Improvement GO Refunding, 1996A, (FGIC Insured), 5.000% 10/01/11........................... Aaa AAA 1,631 1,125 Maryland State, Certificates of Participation Revenue, (Aviation Administration Facilities Project) Series 1999, AMT, 4.750% 05/01/07........................... Aa3 AA+ 1,193 500 Maryland State, Community Development Administration, Department of Housing and Community Development, Revenue, (Residential Project) Series 1998B, AMT, 4.950% 09/01/11........................... Aa2 AA 525 640 Maryland State, Community Development Administration, Department of Housing and Community Development, Revenue, (Residential Project) Series 2000A, 5.500% 09/01/12........................... Aa2 AA 654 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 1,060
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $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 $ 4,204 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 1,783 2,410 Maryland State, Community Development Administration, Department of Housing and Community Development, Revenue, Series 1999D, AMT, 5.375% 09/01/24........................... Aa2 AA 2,489 1,265 Maryland State, Department of Transportation, Revenue, Series 2002, 5.500% 02/01/11........................... Aa2 AA 1,443 6,115 Maryland State, Department of Transportation, Revenue, Series 2002, 5.500% 02/01/14........................... Aa2 AA 7,066 495 Maryland State, Economic Development Corporation, Student Housing Revenue, (Collegiate Housing Project) Series 1999A, 5.300% 06/01/08........................... Baa2 BBB 512 575 Maryland State, Economic Development Corporation, Student Housing Revenue, (Collegiate Housing Project) Series 1999A, 5.600% 06/01/11........................... Baa2 BBB 589
SEE NOTES TO FINANCIAL STATEMENTS. 122 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $1,850 Maryland State, Economic Development Corporation, Student Housing Revenue, (Salisbury Collegiate Housing Project) Series 1999A, 6.000% 06/01/30........................... Baa3 BBB- $ 1,902 675 Maryland State, Economic Development Corporation, Student Housing Revenue, Series 1999A, 5.600% 06/01/10........................... Baa3 BBB- 701 1,000 Maryland State, Economic Development Corporation, Student Housing Revenue, Series 1999A, 5.700% 06/01/12........................... Baa3 BBB- 1,014 815 Maryland State, Economic Development Corporation, Student Housing Revenue, Series 1999A, 6.000% 06/01/19........................... Baa3 BBB- 846 1,000 Maryland State, GO, Series 1998, 5.000% 07/15/11........................... Aaa AAA 1,094 510 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 554 925 Maryland State, Health and Higher Education Facilities Authority, Revenue, (Howard County General Hospital Project) Series 1993, 5.500% 07/01/13........................... Aaa AAA 956 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 1,034 2,000 Maryland State, Health and Higher Education Facilities Authority, Revenue, (Johns Hopkins Hospital Redevelopment Project) Series 1979, 5.750% 07/01/09........................... Aaa AAA 2,275
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $1,000 Maryland State, Health and Higher Education Facilities Authority, Revenue, (Johns Hopkins Medical Project) Series 1998, 5.000% 07/01/29........................... Aaa AAA $ 1,016 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 5,782 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- 1,125 1,000 Maryland State, Industrial Development Financing Authority, Revenue Refunding, (American Center for Physics Project) Series 2001, (GTY AGMT), 5.250% 12/15/15........................... Aa3 AA- 1,115 500 Maryland State, Stadium Authority, Lease Revenue, (Ocean City Convention Center Project) Series 1995, 5.375% 12/15/13........................... Aa2 AA+ 526 1,550 Maryland State, State and Local Facilities Loan GO, Series 1996-2, 5.250% 06/15/11........................... Aaa AAA 1,665 5,500 Maryland State, State and Local Facilities Loan GO, Series 2000, 5.500% 08/01/09........................... Aaa AAA 6,208 2,970 Maryland State, State and Local Facilities Loan GO, Series 2000, 5.750% 08/01/11........................... Aaa AAA 3,419 2,245 Maryland State, State and Local Facilities Loan GO, Series 2002, 5.500% 03/01/13........................... Aaa AAA 2,597
SEE NOTES TO FINANCIAL STATEMENTS. 123 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $3,000 Maryland State, Transportation Authority, (Baltimore/Washington International Airport Project) Series 2002A, (AMBAC Insured), 4.500% 03/01/15........................... Aaa AAA $ 3,165 710 Maryland State, Transportation Authority, Transportation Revenue, (Transportation Facilities Project) Series 1978, 6.800% 07/01/16........................... Aaa AAA 844 4,000 Maryland State, Transportation Authority, Transportation Revenue, Series 1992, 5.700% 07/01/05........................... A1 A+ 4,122 2,800 Maryland State, Transportation Authority, Transportation Revenue, Series 1992, 5.800% 07/01/06........................... A1 A+ 2,991 1,000 Maryland, Washington Suburban Sanitation District Authority, General Construction GO, Series 2000, 5.250% 06/01/22........................... Aaa AAA 1,082 2,700 Maryland, Washington Suburban Sanitation District Authority, GO Refunding, Series 2001, 5.000% 06/01/08........................... Aaa AAA 2,953 2,050 Maryland, Washington Suburban Sanitation District Authority, Water Supply GO, Series 2001, 4.125% 06/01/05........................... Aaa AAA 2,085 1,000 Montgomery County, Maryland, Consolidated Public Improvement GO Refunding, Series 1992A, 5.750% 07/01/06........................... Aaa AAA 1,068 1,500 Montgomery County, Maryland, Consolidated Public Improvement GO, Series 1992A, 5.800% 07/01/07........................... Aaa AAA 1,652 1,000 Montgomery County, Maryland, Consolidated Public Improvement GO, Series 1997A, 5.375% 05/01/08........................... Aaa AAA 1,100
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $1,000 Montgomery County, Maryland, Consolidated Public Improvement GO, Series 1997A, Prerefunded 05/01/07 @ 102, 5.375% 05/01/13........................... Aaa AAA $ 1,104 3,800 Montgomery County, Maryland, GO Refunding, Series 2001, 5.250% 10/01/10........................... Aaa AAA 4,288 1,000 Montgomery County, Maryland, GO Refunding, Series 2001, 5.250% 10/01/14........................... Aaa AAA 1,129 1,500 Montgomery County, Maryland, Housing Opportunities Commission, Multi-Family Mortgage Revenue, Series 2000A, 6.100% 07/01/30........................... Aaa AAA 1,573 1,500 Northeast Maryland, Solid Waste Disposal Authority, Revenue, (Montgomery County Resource Recreation Project) Series 1993A, AMT, 6.000% 07/01/07........................... A2 A 1,614 3,500 Northeast Maryland, Waste Disposal Authority, Revenue Refunding, Series 2003, (AMBAC Insured), 5.500% 04/01/10........................... Aaa AAA 3,867 2,000 Prince Georges County, Maryland, Consolidated Public Improvement GO, Series 1999, 5.000% 10/01/12........................... Aaa AAA 2,192 3,300 Prince Georges County, Maryland, Consolidated Public Improvement GO, Series 1999, (FSA Insured), 5.125% 10/01/16........................... Aaa AAA 3,655 1,000 Prince Georges County, Maryland, Consolidated Public Improvement GO, Series 2000, 5.125% 10/01/08........................... Aa3 AA 1,102 1,000 Prince Georges County, Maryland, Consolidated Public Improvement GO, Series 2000, 5.125% 10/01/10........................... Aa3 AA 1,119
SEE NOTES TO FINANCIAL STATEMENTS. 124 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
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 $ 5,463 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 4,088 4,650 Prince Georges County, Maryland, Construction Public Improvements GO, Series 2001, (FGIC Insured), 5.250% 12/01/12........................... Aaa AAA 5,241 50 Prince Georges County, Maryland, Housing Authority, Single-Family Mortgage Revenue, Series 2000A, AMT, 6.150% 08/01/19........................... Aaa AAA 53 1,500 Prince Georges County, Maryland, PCR Refunding, (Potomac Electric Power Project) Series 1995, 5.750% 03/15/10........................... A3 A- 1,707 4,135 Prince Georges County, Maryland, Solid Waste Management System Revenue, (MBIA Insured), 5.000% 06/15/08........................... Aaa AAA 4,524 1,200 Queen Anne's County, Maryland, School and Public Facilities GO, Series 2000, 5.250% 01/15/14........................... Aaa AAA 1,335 2,620 St. Mary's County, Maryland, GO Refunding, Series 2003, 2.750% 11/01/06........................... Aa3 AA- 2,669 2,565 St. Mary's County, Maryland, GO Refunding, Series 2003, 3.000% 11/01/07........................... Aa3 AA- 2,634 1,000 St. Mary's County, Maryland, GO, Series 1995, (MBIA Insured), Prerefunded 03/01/05 @ 102, 5.700% 03/01/08........................... Aaa AAA 1,037
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MARYLAND -- (CONTINUED) $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+ $ 3,753 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+ 3,321 1,000 University of Maryland, Systems Auxiliary Facilities and Tuition Revenue, Series 1997A, 5.125% 04/01/13........................... Aa3 AA+ 1,079 1,975 University of Maryland, Systems Auxiliary Facilities and Tuition Revenue, Series 2000A, 5.000% 10/01/08........................... Aa3 AA+ 2,170 1,290 Wicomico County, Maryland, Public Improvement GO, Series 1997, (MBIA Insured), 4.800% 12/01/10........................... Aaa AAA 1,395 1,355 Wicomico County, Maryland, Public Improvement GO, Series 1997, (MBIA Insured), 4.900% 12/01/11........................... Aaa AAA 1,466 1,425 Wicomico County, Maryland, Public Improvement GO, Series 1997, (MBIA Insured), 5.000% 12/01/12........................... Aaa AAA 1,548 -------- 177,638 -------- 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 406 --------
SEE NOTES TO FINANCIAL STATEMENTS. 125 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ FLORIDA -- 1.5% $2,915 Orange County, Florida, Solid Waste Facilities Revenue Refunding, Series 2003, (MBIA Insured), 5.000% 10/01/15........................... Aaa AAA $ 3,156 -------- GUAM -- 0.3% 600 Guam, Government GO, Series 1993A, 5.200% 11/15/08........................... B2 B 597 -------- ILLINOIS -- 0.5% 1,990 Will County, Illinois, Student Housing Revenue, (Joliet Junior College Project) Series 2002A, 6.625% 09/01/23(a)........................ NR NR 995 -------- KANSAS -- 0.5% 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........................... A3 BBB 1,052 -------- MINNESOTA -- 0.9% 1,715 Minneapolis & St. Paul, Minnesota, Metropolitan Airport Commission, GO Refunding, Series 1998-13, 5.000% 01/01/10........................... Aaa AAA 1,853 -------- MISSISSIPPI -- 2.3% 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 1,089 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 3,313
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MISSISSIPPI -- (CONTINUED) $ 500 Warren County, Mississippi, Environmental Improvement Revenue Refunding, (International Paper Company Project) Series 2000A, AMT, 6.700% 08/01/18........................... Baa2 BBB $ 546 -------- 4,948 -------- MISSOURI -- 0.1% 185 St. Louis County, Missouri, Mortgage Revenue, Series 1989A,(GNMA Collateral FHA/VA Mortgages), 7.950% 08/01/09........................... Aaa AAA 211 -------- PUERTO RICO -- 2.8% 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 319 5,000 Puerto Rico, Public Buildings Authority, Revenue GTD Refunding, Government Facilities, Series 2003H, (AMBAC Insured), 5.500% 07/01/18........................... Aaa AAA 5,868 -------- 6,187 -------- TENNESSEE -- 1.6% 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 1,386 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 2,143 -------- 3,529 --------
SEE NOTES TO FINANCIAL STATEMENTS. 126 NATIONS FUNDS Nations Maryland Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- 6.3% $4,250 Austin, Texas, Utilities System Revenue, Refunding, Series 1997, (FSA Insured), 5.125% 11/15/13........................... Aaa AAA $ 4,585 2,500 Dallas-Fort Worth, Texas, International Airport Revenue, Series 2003A, (AMBAC Insured), 5.500% 11/01/14........................... Aaa AAA 2,771 2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16........................... Baa2 BBB- 2,184 2,000 San Antonio, Texas, Electric and Gas Systems, GO Refunding, Series 1998A, 5.250% 02/01/16........................... Aa1 AA+ 2,169 2,000 Texas State, Water Development Board, Revenue, Series 1997, 5.000% 07/15/12........................... Aaa AAA 2,157 -------- 13,866 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $203,715)........................................... 214,438 --------
SHARES VALUE (000) (000) ------------------------------------------------------------------------------------ AFFILIATED INVESTMENT COMPANIES -- 0.6% (Cost $1,407) 1,407 Nations Tax-Exempt Reserves, Capital Class#................. $ 1,407 -------- TOTAL INVESTMENTS (Cost $205,122*)................................ 99.2% 215,845 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 0.8% 1,670 -------- NET ASSETS........................................ 100.0% $217,515 ========
--------------- *Federal income tax information (see Note 8). #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. (a) Illiquid security. Nations Maryland Intermediate Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2004 (as a percentage of net assets): FGIC 10.50% MBIA 10.03%
Nations Maryland Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Prerefunded 15.92% Transportation Revenue 12.03%
SEE NOTES TO FINANCIAL STATEMENTS. 127 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 99.0% NORTH CAROLINA -- 92.9% $1,000 Brunswick County, North Carolina, Certificates of Participation, Series 2000, 5.500% 06/01/20........................... Aaa AAA $ 1,108 2,000 Cabarrus County, North Carolina, Certificates of Participation, Installment Financing Contract, Series 2001, 5.500% 04/01/13........................... Aa3 AA- 2,245 1,500 Cabarrus County, North Carolina, GO, Series 1997, (MBIA Insured), 5.300% 02/01/13........................... Aaa AAA 1,641 1,500 Catawba County, North Carolina, Certificates of Participation, (Public School & Community College Project) Series 2004, (MBIA Insured), 5.250% 06/01/14........................... Aaa AA3 1,688 1,200 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, (MBIA Insured), 4.750% 07/01/05........................... Aaa AAA 1,226 1,275 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, (MBIA Insured), 4.850% 07/01/06........................... Aaa AAA 1,336 1,260 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, (MBIA Insured), 5.000% 07/01/07........................... Aaa AAA 1,344 1,000 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, (MBIA Insured), 6.000% 07/01/24........................... Aaa AAA 1,113 1,000 Charlotte, North Carolina, GO, Series 2000, 5.500% 06/01/12........................... Aaa AAA 1,135 1,570 Charlotte, North Carolina, GO, Series 2002C, 5.000% 07/01/20........................... Aaa AAA 1,687 1,265 Charlotte, North Carolina, GO, Series 2002C, 5.000% 07/01/22........................... Aaa AAA 1,333 2,000 Charlotte, North Carolina, GO, Series 2003, 4.250% 07/01/11........................... Aaa AAA 2,139
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,315 Charlotte, North Carolina, Storm Water Fee Revenue, Refunding, Series 2002, 5.250% 06/01/15........................... Aa2 AA+ $ 1,462 1,670 Charlotte, North Carolina, Water and Sewer GO, Series 1996, 5.500% 05/01/06........................... Aaa AAA 1,766 1,855 Charlotte, North Carolina, Water and Sewer GO, Series 1998, 4.750% 02/01/12........................... Aaa AAA 2,008 2,545 Charlotte, North Carolina, Water and Sewer Systems Revenue, Series 1999, Prerefunded 06/01/09 @ 101, 5.375% 06/01/19........................... Aa1 AAA 2,869 2,000 Charlotte-Mecklenburg Hospital Authority, Revenue, (Carolinas Healthcare System Project) Series 1997A, 5.000% 01/15/17........................... Aa3 AA 2,112 3,000 Charlotte-Mecklenburg Hospital Authority, Revenue, (Carolinas Healthcare System Project) Series 1997A, 5.125% 01/15/22........................... Aa3 AA 3,103 1,490 Concord, North Carolina, Certificate of Participation, Series 2001, (MBIA Insured), 5.000% 06/01/17........................... Aaa AAA 1,591 500 Concord, North Carolina, GO Refunding, Series 1992, 6.200% 06/01/05........................... Aa2 AA- 504 1,000 Craven County, North Carolina, GO, (AMBAC Insured), 5.000% 05/01/19........................... Aaa AAA 1,075 1,370 Cumberland County, North Carolina, GO Refunding, Series 1998, (FGIC Insured), 4.750% 02/01/10........................... Aaa AAA 1,464 1,000 Cumberland County, North Carolina, GO, Series 1998, (FGIC Insured), 5.000% 03/01/17........................... Aaa AAA 1,088 1,000 Durham, North Carolina, Water and Sewer Utility System Revenue, Series 2001, 5.250% 06/01/16........................... Aa3 AA 1,095
SEE NOTES TO FINANCIAL STATEMENTS. 128 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,150 Fayetteville, North Carolina, Public Works Commission Revenue Refunding, Series 1997, (FSA Insured), 5.250% 03/01/07........................... Aaa AAA $ 1,237 1,945 Forsyth County, North Carolina, GO, Series 2003B, 4.750% 03/01/22........................... Aaa AAA 2,013 1,500 Gaston County, North Carolina, GO, Series 2002, (AMBAC Insured), 5.250% 06/01/20........................... Aaa AAA 1,637 1,000 Greensboro, North Carolina, Combined Enterprise Systems Revenue, Series 1998A, 5.000% 06/01/18........................... Aa3 AA+ 1,067 1,305 Greensboro, North Carolina, Enterprise Systems Revenue, Series 1998A, 5.500% 06/01/08........................... Aa3 AA+ 1,445 1,000 Greensboro, North Carolina, Public Improvement GO, Series 1998, 4.700% 04/01/10........................... Aa1 AAA 1,069 2,180 Greenville, North Carolina, Certificates of Participation, (Public Facilities & Equipment Project) Series 2004, (AMBAC Insured), 5.250% 06/01/22........................... Aaa AAA 2,349 1,000 Greenville, North Carolina, Utilities Commission Revenue, Series 2000A, (MBIA Insured), 5.500% 09/01/19........................... Aaa AAA 1,107 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 4,230
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $ 500 Haywood County, North Carolina, Industrial Facilities and Pollution Control Financing Authority, Solid Waste Disposal Revenue, (Champion International Corporation Project) Series 1993, AMT, 5.500% 10/01/18........................... Baa2 BBB $ 508 1,275 High Point, North Carolina, Water and Sewer GO, Series 2002, (MBIA Insured), 4.500% 06/01/14........................... Aaa AAA 1,371 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 2,193 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 2,445 1,305 Johnston County, North Carolina, GO, Series 2000, (FGIC Insured), 5.500% 03/01/12........................... Aaa AAA 1,475 1,925 Johnston County, North Carolina, GO, Series 2000, (FGIC Insured), 5.500% 03/01/15........................... Aaa AAA 2,188 2,700 Johnston County, North Carolina, GO, Series 2000, (FGIC Insured), 5.500% 03/01/16........................... Aaa AAA 3,071 1,235 Lincoln County, North Carolina, Lease Revenue, Series 2003, (FSA Insured), 4.500% 06/01/09........................... Aaa AAA 1,327
SEE NOTES TO FINANCIAL STATEMENTS. 129 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (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 $ 1,304 1,000 Mecklenburg County, North Carolina, GO Refunding, Series 1993, 6.000% 04/01/11........................... Aaa AAA 1,172 1,800 Mecklenburg County, North Carolina, GO, Series 2000D, 5.000% 04/01/11........................... Aaa AAA 1,983 1,170 Mecklenburg County, North Carolina, GO, Series 2001A, 5.000% 04/01/16........................... Aaa AAA 1,278 2,000 Mecklenburg County, North Carolina, GO, Series 2001A, 5.000% 04/01/17........................... Aaa AAA 2,175 2,000 Mecklenburg County, North Carolina, Industrial Facilities and Pollution Control Financing Authority, Revenue Refunding, (Flour Corporation Project) Series 1993, 5.250% 12/01/09........................... Baa1 BBB+ 2,005 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 1,251 1,220 New Hanover County, North Carolina, GO, Series 1995, Prerefunded 03/01/05 @ 102, 5.500% 03/01/10........................... Aa2 AA 1,264 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 2,174
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,000 North Carolina Capital Facilities Finance Agency Educational Facilities Revenue, (Johnson & Wales University Project) Series 2003A, (XLCA Insured), 5.250% 04/01/21........................... Aaa AAA $ 1,074 1,000 North Carolina Capital Facilities Finance Agency Exempt Facilities Revenue, (Waste Management of Carolinas Project), Series 2001, 3.750% 08/01/14........................... Bbb BBB 1,013 3,000 North Carolina State, GO, Series 1997A, 5.100% 03/01/06........................... Aa1 AAA 3,140 5,000 North Carolina State, GO, Series 2001A, 4.750% 03/01/14........................... Aa1 AAA 5,421 1,000 North Carolina, Appalachian State University Revenue Refunding, (Utility Systems Project) Series 1998, (MBIA Insured), 5.000% 05/15/12........................... Aaa AAA 1,112 1,000 North Carolina, Appalachian State University Revenue Refunding, Series 1998, (MBIA Insured), 5.000% 05/15/18........................... Aaa AAA 1,072 1,000 North Carolina, Appalachian State University Revenue, Series 2003A, (FGIC Insured), 5.125% 05/01/18........................... Aaa AAA 1,088 2,165 North Carolina, Eastern Municipal Power Authority, Revenue, Series 1986A, 5.000% 01/01/17........................... Aaa BBB 2,400 1,175 North Carolina, Housing Finance Agency, Revenue, (Home Ownership Project) Series 1998A-2, AMT, 5.200% 01/01/20........................... Aa2 AA 1,209 775 North Carolina, Housing Finance Agency, Revenue, (Home Ownership Project) Series 1999A-6, AMT, 6.000% 01/01/16........................... Aa2 AA 821
SEE NOTES TO FINANCIAL STATEMENTS. 130 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $ 670 North Carolina, Housing Finance Agency, Revenue, (Home Ownership Project) Series 2000A-8, AMT, 5.950% 07/01/10........................... Aa2 AA $ 713 495 North Carolina, Housing Finance Agency, Revenue, (Home Ownership Project) Series 2000A-8, AMT, 6.050% 07/01/12........................... Aa2 AA 523 970 North Carolina, Housing Finance Agency, Revenue, (Home Ownership Project) Series 2002A-14, AMT (AMBAC Insured), 4.400% 07/01/10........................... Aaa AAA 1,019 1,380 North Carolina, Housing Finance Agency, Revenue, Series 1999A-3, AMT, 5.150% 01/01/19........................... Aa2 AA 1,426 3,315 North Carolina, Housing Finance Agency, Single-Family Housing Revenue, (Home Ownership Project) Series 1998A-1, AMT, 5.350% 01/01/17........................... Aa2 AA 3,453 385 North Carolina, Housing Finance Agency, Single-Family Housing Revenue, Series 1994Y, 6.300% 09/01/15........................... Aa2 AA 393 2,650 North Carolina, Housing Financing Agency, Series 1999A-5, AMT, 5.550% 01/01/19........................... Aa2 AA 2,768 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 2,854 2,000 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Carolina Medicorp Inc. Project) Series 1996, 5.100% 05/01/07........................... Aa3 AA- 2,142
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- $ 1,828 2,000 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Duke University Hospital Project) Series 1996C, 5.250% 06/01/17........................... Aa3 AA- 2,087 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 1,199 660 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Halifax Regional Medical Center, Inc. Project) Series 1998, 4.600% 08/15/06........................... Baa2 BBB 680 3,500 North Carolina, Medical Care Commission, Health Care Facilities Revenue, (Novant Health Obligation Group Project) Series 2003A, 5.000% 11/01/17........................... Aa3 AA- 3,726 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- 976 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 1,064 2,750 North Carolina, Medical Care Commission, Hospital Revenue, (Gaston Memorial Hospital Project) Series 1995, 5.400% 02/15/11........................... A1 A+ 2,914
SEE NOTES TO FINANCIAL STATEMENTS. 131 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,000 North Carolina, Medical Care Commission, Hospital Revenue, (Northeast Medical Center Project) Series 2002A, (AMBAC Insured), 5.000% 11/01/10........................... Aaa AAA $ 1,105 1,000 North Carolina, Medical Care Commission, Hospital Revenue, (Pitt County Memorial Hospital Project) Series 1998B, 5.000% 12/01/18........................... Aa3 AA- 1,052 2,000 North Carolina, Municipal Power Agency Number 1, Revenue, Series 1992, (MBIA-IBC Insured), 7.250% 01/01/07........................... Aaa AAA 2,224 1,000 Orange County, North Carolina, GO, Series 2000, 5.300% 04/01/17........................... Aa1 AA+ 1,118 4,645 Orange County, North Carolina, GO, Series 2000, 5.300% 04/01/18........................... Aa1 AA+ 5,179 1,390 Pitt County, North Carolina, Certificates of Participation, (School Facilities Project) Series 2000B, 5.750% 04/01/16........................... Aaa AAA 1,579 1,000 Pitt County, North Carolina, Certificates of Participation, (School Facilities Project) Series 2000B, 5.500% 04/01/25........................... Aaa AAA 1,085 1,240 Pitt County, North Carolina, Hospital Revenue, (Pitt County Memorial Hospital Project) Series 1995, 5.375% 12/01/10........................... Aaa AAA 1,312 1,000 Pitt County, North Carolina, Hospital Revenue, (Pitt County Memorial Hospital Project) Series 1995, 5.250% 12/01/21........................... Aaa AAA 1,051 1,000 Raleigh, North Carolina, Combined Enterprise System Revenue, Series 1996, 5.250% 03/01/07........................... Aa1 AAA 1,077
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,910 Raleigh, North Carolina, GO, Series 1996, 5.300% 06/01/16........................... Aaa AAA $ 2,055 1,000 Raleigh, North Carolina, North Carolina State University Revenue, Series 2003A, 5.000% 10/01/17........................... Aa3 AA 1,091 1,000 Randolph County, North Carolina, Certificate of Participation, Refunding, Series 2004, 5.000% 06/01/18........................... Aaa AAA 1,089 2,395 Randolph County, North Carolina, Certificates of Participation, Refunding, Series 2003, (FSA Insured), 5.000% 06/01/14........................... Aaa AAA 2,647 2,000 Randolph County, North Carolina, Certificates of Participation, Refunding, Series 2004, (FSA Insured), 5.000% 06/01/15........................... Aaa AAA 2,220 1,000 Randolph County, North Carolina, Certificates of Participation, Series 2000, (FSA Insured), 5.200% 06/01/12........................... Aaa AAA 1,119 1,000 Randolph County, North Carolina, Certificates of Participation, Series 2000, (FSA Insured), 5.300% 06/01/13........................... Aaa AAA 1,123 2,115 Randolph County, North Carolina, Certificates of Participation, Series 2000, (FSA Insured), 5.500% 06/01/14........................... Aaa AAA 2,394 1,000 Randolph County, North Carolina, Certificates of Participation, Series 2000, (FSA Insured), 5.500% 06/01/15........................... Aaa AAA 1,132 1,350 Randolph County, North Carolina, Certificates of Participation, Series 2000, (FSA Insured), 5.750% 06/01/22 (a)....................... Aaa AAA 1,543 1,000 Robeson County, North Carolina, Industrial Facilities PCR Refunding, (Campbell Soup Company Project) Series 1991, 6.400% 12/01/06........................... A2 A 1,089
SEE NOTES TO FINANCIAL STATEMENTS. 132 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ NORTH CAROLINA -- (CONTINUED) $1,045 Union County, North Carolina, Enterprise System Revenue, Series 2003A, (FSA Insured), 5.000% 06/01/16........................... Aaa AAA $ 1,130 1,690 University of North Carolina, Chapel Hill Hospital Revenue Refunding, Series 1999, (AMBAC Insured), 5.250% 02/15/12........................... Aaa AAA 1,869 3,000 University of North Carolina, Revenue Refunding, Series 2002B, 5.000% 12/01/06........................... Aa1 AA+ 3,195 1,815 Wake County, North Carolina, GO, Series 1996, 4.600% 03/01/11........................... Aaa AAA 1,915 3,065 Wake County, North Carolina, Hospital Revenue, Series 1993, (MBIA Insured), 5.125% 10/01/26........................... Aaa AAA 3,315 1,550 Wilmington, North Carolina, Certificates of Participation, Series 1999A, (MBIA Insured), 5.350% 06/01/24........................... Aaa AAA 1,661 1,240 Wilmington, North Carolina, Certificates of Participation, Series 2003A, (AMBAC Insured), 5.000% 06/01/14........................... Aaa AAA 1,359 1,000 Wilmington, North Carolina, Public Improvement GO, Series 1997A, (FGIC Insured), 5.000% 04/01/11........................... Aaa AAA 1,087 1,000 Wilmington, North Carolina, Public Improvement GO, Series 1997A, (FGIC Insured), 5.000% 04/01/13........................... Aaa AAA 1,087 1,000 Wilson, North Carolina, GO, Series 2000, (AMBAC Insured), 5.100% 06/01/14........................... Aaa AAA 1,116 -------- 185,486 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ ARIZONA -- 0.5% $1,000 Arizona, University Medical Center Corporation, Hospital Revenue Refunding, Series 2004, (GO of University), 5.250% 07/01/13........................... A3 BBB+ $ 1,080 -------- FLORIDA -- 1.4% 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 2,814 -------- PUERTO RICO -- 0.6% 1,000 Puerto Rico, Electric Power Authority, Power Revenue Refunding, Series 1995Y, (MBIA Insured), 7.000% 07/01/07........................... Aaa AAA 1,132 -------- SOUTH CAROLINA -- 0.9% 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- 1,886 -------- TENNESSEE -- 1.0% 500 Metropolitan Government, Nashville & Davidson County, Tennessee, Industrial Development Board Revenue, (Waste Management, Inc. Tennessee Project), Series 2001, (GTY AGMT - Waste Mgmt, Inc), 3.750% 08/01/31........................... Bbb BBB 506 1,325 Tennessee State, GO, Series 1999B, (FSA Insured), 5.250% 05/01/17........................... Aaa AAA 1,472 -------- 1,978 --------
SEE NOTES TO FINANCIAL STATEMENTS. 133 NATIONS FUNDS Nations North Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- 1.1% $2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 5.000% 10/01/07........................... Baa2 BBB- $ 2,129 -------- WASHINGTON -- 0.6% 1,150 Washington State, Public Power Supply Systems Revenue Refunding, Series 1993A, (MBIA-IBC Insured), 5.800% 07/01/07........................... Aaa AAA 1,261 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $185,130)........................................... 197,766 --------
SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 0.3% (Cost $549) 549 Nations Tax-Exempt Reserves, Capital Class#................. 549 -------- TOTAL INVESTMENTS (Cost $185,679*)................................ 99.3% 198,315 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET).......... 0.7% 1,355 -------- NET ASSETS........................................ 100.0% $199,670 ========
--------------- * Federal income tax information (see Note 8). # 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, 2004 (as a percentage of net assets): MBIA 14.16% AMBAC 10.04%
Nations North Carolina Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Prerefunded 15.41% Hospital Revenue 15.02% Lease Revenue 12.17%
SEE NOTES TO FINANCIAL STATEMENTS. 134 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 98.0% SOUTH CAROLINA -- 88.9% $1,725 Beaufort County, South Carolina, School District, GO, Series 2000B, (SCSDE), 5.500% 03/01/16........................... Aa1 AA+ $ 1,898 1,200 Beaufort County, South Carolina, School District, GO, Series 2000C, (SCSDE), 5.125% 03/01/12........................... Aa1 AA+ 1,311 1,135 Beaufort County, South Carolina, School District, GO, Series 2001A, (SCSDE), 5.000% 03/01/18........................... Aa1 AA+ 1,221 2,500 Berkeley County, South Carolina, School District, GO, Series 2000, (SCSDE), 5.000% 04/01/21........................... Aa1 AA+ 2,618 1,000 Berkeley County, South Carolina, Water & Sewer Revenue, Series 2003, (MBIA Insured), 5.250% 06/01/19........................... Aaa AAA 1,095 2,790 Berkeley County, South Carolina, Water & Sewer Systems Revenue, Series 2003, (MBIA Insured), 5.250% 06/01/17........................... Aaa AAA 3,086 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- 2,515 1,000 Camden, South Carolina, Combined Public Utilities Revenue Refunding and Improvement, Series 1997, (MBIA Insured), 5.500% 03/01/17........................... Aaa AAA 1,088 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 3,068
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 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 $ 511 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 1,000 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 7,061 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+ 1,060 4,000 Charleston County, South Carolina, Resource Recovery Revenue, (Foster Wheeler Charleston) Series 1997, (AMBAC Insured), 5.250% 01/01/10........................... Aaa AAA 4,377 1,000 Charleston County, South Carolina, Revenue, (Care Alliance Health Services Project) Series 1999A, (FSA Insured), 5.000% 08/15/12........................... Aaa AAA 1,088 1,040 Charleston County, South Carolina, Solid Waste User Fee Revenue, Series 1994, (MBIA Insured), 5.800% 01/01/06........................... Aaa AAA 1,072 5,105 Charleston, South Carolina, Waterworks and Sewer Capital Improvement Revenue Refunding, Series 1998, 5.250% 01/01/08........................... Aa3 AA- 5,576
SEE NOTES TO FINANCIAL STATEMENTS. 135 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $1,000 Columbia, South Carolina, Parking Facilities Revenue Refunding, Series 1994, (AMBAC Insured), 5.750% 12/01/09........................... Aaa AAA $ 1,027 7,000 Columbia, South Carolina, Waterworks and Sewer Systems Revenue Refunding, Series 1993, 5.500% 02/01/09........................... Aa2 AA 7,812 1,500 Darlington County, South Carolina, IDR, (Sonoco Products Company Project) Series 1995, AMT, 6.125% 06/01/25........................... A2 A- 1,560 1,250 Florence, South Carolina, Water and Sewer Revenue Refunding, Series 1993, (AMBAC Insured), 5.150% 03/01/06........................... Aaa AAA 1,266 500 Georgetown County, South Carolina, Environmental Revenue, (International Paper Company Project) Series 1997A, AMT, 5.700% 10/01/21........................... Baa2 BBB 509 5,000 Georgetown County, South Carolina, PCR Refunding, (International Paper Company Project) Series 1999A, 5.125% 02/01/12........................... Baa2 BBB 5,299 2,480 Georgetown County, South Carolina, School District, GO, Series 2000, (SCSDE), 5.500% 03/01/09........................... Aa1 AA+ 2,776 1,000 Georgetown County, South Carolina, School District, GO, Series 2000, (SCSDE), 5.250% 03/01/19........................... Aa1 AA+ 1,097 4,625 Greenville County, South Carolina, School District, Installment Purchase Revenue Refunding, (Building Equity Sooner Tomorrow Project) Series 2003, 5.250% 12/01/16........................... A1 AA- 5,028
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $1,000 Greenville, South Carolina, Hospital Facilities Revenue Refunding, Series 1996A, (GTY-AGMT), 5.400% 05/01/07........................... Aa3 AA $ 1,065 2,000 Greenville, South Carolina, Hospital Facilities Revenue Refunding, Series 1996B, (GTY-AGMT), 5.250% 05/01/17........................... Aa3 AA 2,066 2,000 Greenville, South Carolina, Water Utility Improvement, Waterworks Revenue, Series 1997, 6.000% 02/01/06........................... Aa1 AAA 2,111 1,000 Greenville, South Carolina, Water Utility Improvement, Waterworks Revenue, Series 1997, 6.000% 02/01/08........................... Aa1 AAA 1,104 1,500 Greenville, South Carolina, Water Utility Improvement, Waterworks Revenue, Series 1997, 5.500% 02/01/22........................... Aa1 AAA 1,617 1,555 Greenville, South Carolina, Water Utility Improvement, Waterworks Revenue, Series 2002, 5.250% 02/01/14........................... Aa1 AAA 1,737 1,000 Hilton Head Island, South Carolina, GO, Series 2001, 5.000% 03/01/13........................... Aa3 AA 1,086 1,440 Hilton Head Island, South Carolina, Revenue, Series 2002, (MBIA Insured), 5.250% 12/01/16........................... Aaa AAA 1,607 1,100 Horry County, South Carolina, Hospital Facilities Revenue, (Conway Hospital, Inc. Project) Series 1998, (AMBAC Insured), 4.750% 07/01/10........................... Aaa AAA 1,175 1,200 Horry County, South Carolina, Hospital Facilities Revenue, (Conway Hospital, Inc. Project) Series 1998, (AMBAC Insured), 4.875% 07/01/11........................... Aaa AAA 1,278
SEE NOTES TO FINANCIAL STATEMENTS. 136 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $2,000 Lexington County, South Carolina, Health Services District Hospital Revenue, Series 2003, 5.500% 11/01/23........................... A2 A $ 2,077 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 1,264 3,000 Lexington County, South Carolina, Health Services District Revenue Refunding, Series 1997, (FSA Insured), 5.125% 11/01/21........................... Aaa AAA 3,152 2,000 Lexington, South Carolina, Water and Sewer Authority, Revenue, Series 1997, Prerefunded 10/01/14 @ 100, 5.450% 04/01/19........................... Aa2 AA 2,186 1,575 Medical University, South Carolina, Hospital Facilities Revenue, Series 1999, 5.500% 07/01/09........................... Baa2 BBB+ 1,765 1,980 Mount Pleasant, South Carolina, Water and Sewer Revenue Refunding and Improvement, Series 2002, (FGIC Insured), 5.250% 12/01/16........................... Aaa AAA 2,209 1,270 Mount Pleasant, South Carolina, Water and Sewer Revenue Refunding, Series 2002, (FGIC Insured), 5.250% 12/01/18........................... Aaa AAA 1,404 3,040 North Charleston, South Carolina, Sewer District Revenue Refunding, Series 2002, (FSA Insured), 5.500% 07/01/17........................... Aaa AAA 3,411 1,600 Piedmont Municipal Power Agency, South Carolina, Electric Revenue Refunding, Series 1992, (MBIA Insured), 6.000% 01/01/05........................... Aaa AAA 1,618
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 $ 5,337 3,570 Richland County, South Carolina, School District Number 001, GO Refunding, Series 2001A, (SCSDE), 5.250% 03/01/19........................... Aa1 AA+ 3,915 2,350 Rock Hill, South Carolina, Water Utility System Revenue, Series 2003A, (FSA Insured), 5.250% 01/01/13........................... Aaa AAA 2,651 1,500 Rock Hill, South Carolina, Water Utility System Revenue, Series 2003A, (FSA Insured), 5.375% 01/01/19........................... Aaa AAA 1,654 2,000 South Carolina Jobs Economic Development Authority Economic Development Revenue Refunding, (Republic Services Inc. Project), Series 2004, AMT, 3.250% 04/01/34........................... Bbb BBB+ 2,010 6,135 South Carolina State, Capital Improvement GO, Series 1996A, 3.500% 07/01/06........................... Aaa AAA 6,314 1,245 South Carolina State, GO, Series 2000A, 4.800% 03/01/09........................... Aaa AAA 1,360 1,885 South Carolina State, Highway Improvement GO, Series 1999A, 4.600% 05/01/11........................... Aaa AAA 2,040 1,780 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 1,784 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 1,299
SEE NOTES TO FINANCIAL STATEMENTS. 137 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $4,565 South Carolina State, Port Authority, Revenue, Series 1998, AMT, (FSA Insured), 5.250% 07/01/13........................... Aaa AAA $ 4,901 1,615 South Carolina State, Public Service Authority, Revenue Refunding, Series 2001A, (FSA Insured), 5.250% 01/01/18........................... Aaa AAA 1,766 1,480 South Carolina State, Public Service Authority, Revenue Refunding, Series 2002A, (FSA Insured), 5.500% 01/01/17........................... Aaa AAA 1,661 2,000 South Carolina State, Public Service Authority, Revenue Refunding, Series 2002D, (FSA Insured), 5.000% 01/01/18........................... Aaa AAA 2,147 2,000 South Carolina State, Public Service Authority, Revenue, Series 1999A, (MBIA Insured), 5.625% 01/01/13........................... Aaa AAA 2,257 2,730 South Carolina Transportation Infrastructure Bank Revenue, Series 2004A, (AMBAC Insured), 5.250% 10/01/09........................... Aaa AAA 3,044 2,000 South Carolina, Grand Strand Water and Sewer Authority, Revenue Refunding, Series 2002, (FSA Insured), 5.375% 06/01/14........................... Aaa AAA 2,261 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 1,555
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $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 $ 6,747 4,375 South Carolina, Jobs Economic Development Authority, Hospital Facilities Revenue, Series 1999, (FSA Insured), 5.300% 02/01/14........................... Aaa AAA 4,809 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 3,732 3,500 South Carolina, Tobacco Settlement Management Revenue, Series 2001B, 6.375% 05/15/28........................... Baa2 BBB 3,249 3,340 South Carolina, Transportation Infrastructure Book Revenue, Junior Lien, Series 2001B, (AMBAC Insured), 5.250% 10/01/13........................... Aaa AAA 3,724 1,985 South Carolina, Transportation Infrastructure Bank Revenue, Series 2004A, (AMBAC Insured), 5.000% 10/01/16........................... Aaa AAA 2,165 3,670 South Carolina, Transportation Infrastructure Book Revenue, Junior Lien, Series 2001B, (AMBAC Insured), 5.250% 10/01/17........................... Aaa AAA 4,061 1,000 South Carolina, Transportation Infrastructure Revenue, Series 1998A, (MBIA Insured), 5.000% 10/01/12........................... Aaa AAA 1,091
SEE NOTES TO FINANCIAL STATEMENTS. 138 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $1,000 Spartanburg County, South Carolina, Health Services District, Hospital Revenue Refunding, Series 1997B, (MBIA Insured), 5.125% 04/15/17........................... Aaa AAA $ 1,059 1,275 Spartanburg County, South Carolina, School District Number 007, GO, Series 2001, (SCSDE), 4.000% 03/01/12........................... Aa1 AA+ 1,335 3,240 Spartanburg County, South Carolina, School District Number 007, GO, Series 2001, (SCSDE), 4.125% 03/01/13........................... Aa1 AA+ 3,400 2,000 Spartanburg County, South Carolina, School District Number 007, GO, Series 2001, (SCSDE), 5.000% 03/01/18........................... Aa1 AA+ 2,209 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+ 2,102 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 3,130 855 Western Carolina, Regional Sewer Systems Authority, Revenue Refunding, Series 1993, (FGIC Insured), 5.500% 03/01/10........................... Aaa AAA 866 1,020 Winnsboro, South Carolina, Utility Revenue Refunding, Series 1999, (MBIA Insured), 5.250% 08/15/13........................... Aaa AAA 1,155 3,000 York County, South Carolina, Exempt Facilities IDR, (Hoechst Celanese Corporation Project) Series 1994, AMT, 5.700% 01/01/24........................... Baa2 BBB 2,679
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $4,000 York County, South Carolina, PCR, Series 2000B1, 1.530% 09/15/24........................... Aa3 A $ 4,000 3,410 York County, South Carolina, School District Number 003 Rock Hill, GO, Series 2001, (SCSDE), 5.000% 03/01/12........................... Aa1 AA+ 3,796 -------- 203,216 -------- ILLINOIS -- 6.2% 2,500 Chicago, Illinois, GO Refunding, Series 2001A, (MBIA Insured), 5.500% 01/01/14........................... Aaa AAA 2,824 8,650 Illinois, Educational Facilities Authority Revenue, Series 2003C, (AMBAC Insured), 5.000% 09/01/18........................... Aaa AAA 9,198 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 2,262 -------- 14,284 -------- TEXAS -- 1.4% 3,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16........................... Baa2 BBB- 3,276 -------- WASHINGTON -- 1.5% 3,000 Northwest Washington, Energy Electric Revenue, (Columbia Generating Project) Series 2002A, (MBIA Insured), 5.500% 07/01/17........................... Aaa AAA 3,369 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $211,517)............................................... 224,145 --------
SEE NOTES TO FINANCIAL STATEMENTS. 139 NATIONS FUNDS Nations South Carolina Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
SHARES VALUE (000) (000) ------------------------------------------------------------------------------------ AFFILIATED INVESTMENT COMPANIES -- 0.9% (Cost $1,976) 1,976 Nations Tax-Exempt Reserves, Capital Class#................. $ 1,976 -------- TOTAL INVESTMENTS (Cost $213,493*)................................ 98.9% 226,121 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 1.1% 2,429 -------- NET ASSETS........................................ 100.0% $228,550 ========
--------------- *Federal income tax information (see Note 8). #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, 2004 (as a percentage of net assets): MBIA 13.08% AMBAC 11.50% FGIC 10.83% FSA 10.32%
Nations South Carolina Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Water Revenue 18.34% Hospital Revenue 12.80% Prerefunded 10.44%
SEE NOTES TO FINANCIAL STATEMENTS. 140 NATIONS FUNDS Nations Tennessee Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) --------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 98.3% TENNESSEE -- 91.9% $1,535 Anderson County, Tennessee, GO Refunding, Series 2001, (FSA Insured), 5.000% 04/01/13........................... Aaa AAA $1,677 1,075 Blount County, Tennessee, Public Building Authority, GO, (Local Government Public Improvement) Series 2004B-5-A, (FGIC Insured), 5.000% 06/01/16........................... Aaa AAA 1,177 500 Blount County, Tennessee, Public Building Authority, Public Facility Revenue, Series 1998, (FGIC Insured), 5.000% 04/01/19........................... Aaa AAA 532 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 1,365 1,000 Dickson County, Tennessee, GO Refunding, Series 2002, (FGIC Insured), 5.000% 03/01/14........................... Aaa AAA 1,112 1,000 Dickson County, Tennessee, GO Refunding, Series 2003, (FGIC Insured), 5.000% 06/01/14........................... Aaa AAA 1,102 1,000 Franklin, Tennessee, Special School District, GO Refunding, Series 2002, 5.000% 06/01/12........................... Aa2 AA 1,110 2,000 Franklin, Tennessee, Special School District, GO, (FSA Insured), 4.622%& 06/01/20.......................... Aaa AAA 977 500 Hamilton County, Tennessee, GO Refunding, Series 1998B, 5.100% 08/01/24........................... Aa1 AA+ 547 575 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- 588
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) --------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $1,000 Kingsport, Tennessee, GO, (AMBAC Insured), 5.000% 03/01/14........................... Aaa AAA $1,109 300 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 353 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+ 1,564 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 2,164 1,250 Knox County, Tennessee, Public Improvement GO, Series 1998, 4.750% 04/01/19........................... Aa2 AA 1,274 1,330 Lawrenceburg, Tennessee, Public Building Authority, Water and Sewer GO, Series 2001B, (FSA Insured), 5.500% 07/01/16........................... Aaa AAA 1,492 1,550 Madison County, Tennessee, GO, Series 2002, 5.000% 04/01/13........................... Aa3 AA- 1,702
SEE NOTES TO FINANCIAL STATEMENTS. 141 NATIONS FUNDS Nations Tennessee Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) --------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 750 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 $ 767 1,000 Maury County, Tennessee, Industrial Development Board, Solid Waste Disposal Revenue, (Occidental Petroleum Corporation) Series 2001A, AMT, (GTY-AGMT), 6.250% 08/01/18........................... Baa1 BBB+ 1,062 1,250 McMinn County, Tennessee, Industrial Development Board, Recycling Facilities Revenue, (Bowater Inc. Project) Series 1992, AMT, 7.400% 12/01/22........................... Ba2 BB 1,250 2,500 Memphis, Tennessee, GO, Series 2000, 5.000% 04/01/17........................... Aa2 AA 2,668 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 1,065 500 Metropolitan Government, Nashville & Davidson County, Tennessee, Industrial Development Board Revenue, (Waste Management, Inc. Tennessee Project), Series 2001, (GTY AGMT-Waste Management, Inc.), 3.750% 08/01/31........................... Bbb BBB 506 350 Metropolitan Government, Nashville and Davidson County, Tennessee, Electric Revenue, Series 1996A, Prerefunded 05/15/06 @ 102, 5.625% 05/15/14........................... Aa3 AA 378
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) --------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $2,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Electric Revenue, Series 1998B, 5.500% 05/15/13........................... Aa3 AA $2,296 1,000 Metropolitan Government, Nashville and Davidson County, Tennessee, GO Refunding, Series 1993, 5.250% 05/15/07........................... Aa2 AA 1,081 595 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 683 500 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 572 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 1,051
SEE NOTES TO FINANCIAL STATEMENTS. 142 NATIONS FUNDS Nations Tennessee Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) --------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $1,250 Montgomery County, Tennessee, GO Refunding, Series 2004, (FGIC Insured), 5.000% 05/01/14........................... Aaa AAA $1,394 1,000 Overton County, Tennessee, GO, (MBIA Insured), 5.000% 04/01/16........................... Aaa AAA 1,103 1,645 Rutherford County, Tennessee, Public Improvement GO, Series 1996, 6.000% 04/01/06........................... Aa2 AA 1,746 1,030 Shelby County, Tennessee, GO Refunding, Series 1996B, 5.200% 12/01/09........................... Aa2 AA+ 1,106 1,000 Shelby County, Tennessee, GO Refunding, Series 1999B, 5.250% 04/01/11........................... Aa2 AA+ 1,124 490 Shelby County, Tennessee, Health Educational and Housing Facilities Board, Revenue, (Methodist Health Systems) Series 1995, (MBIA Insured), 6.250% 08/01/09........................... Aaa AAA 566 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 1,040 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 11 400 Shelby County, Tennessee, Public Improvement GO Refunding, Series 1999A, 4.750% 05/01/21........................... Aa2 AA+ 408 500 Shelby County, Tennessee, Public Improvement GO, Series 1996A, 5.625% 06/01/06........................... Aa2 AA+ 531
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) --------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $2,000 Tennessee State, GO, Series 1999B, (FSA Insured), 5.250% 05/01/17........................... Aaa AAA $2,222 2,500 Tennessee, Housing Development Agency, Revenue, (Home Ownership Program) Series 1997-3A, AMT, 3.627%& 01/01/08.......................... Aa2 AA 2,224 1,085 Tennessee, Housing Development Agency, Revenue, (Home Ownership Program) Series 1998, AMT, 4.750% 07/01/08........................... Aa2 AA 1,149 1,135 Tennessee, Housing Development Agency, Revenue, (Home Ownership Program) Series 1998, AMT, 4.850% 07/01/09........................... Aa2 AA 1,204 1,500 Tennessee, Tennergy Corporation, Gas Revenue, Series 1999, (MBIA Insured), 5.000% 06/01/07........................... Aaa AAA 1,613 1,200 Williamson County, Tennessee, GO, Series 2000, Prerefunded 03/01/10 @ 100, 5.350% 03/01/17........................... Aa1 AA+ 1,346 ------ 52,606 ------ FLORIDA -- 1.8% 1,000 Okeechobee County, Florida, Solid Waste Revenue, (Various Disposal-Waste Management/Landfill) Series 2004A, 4.200% 07/01/39........................... Baa1 BBB 1,017 ------ ILLINOIS -- 1.9% 1,000 Chicago, Illinois, GO Refunding, Series 2004A, (FSA Insured), 5.250% 01/01/17........................... Aaa AAA 1,106 ------
SEE NOTES TO FINANCIAL STATEMENTS. 143 NATIONS FUNDS Nations Tennessee Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) --------------------------------------------------------------------------------------- NORTH CAROLINA -- 0.9% $ 500 Haywood County, North Carolina, Industrial Facilities and Pollution Control Financing Authority, Solid Waste Disposal Revenue, (Champion International Corporation Project) Series 1993, AMT, 5.500% 10/01/18........................... Baa2 BBB $ 508 ------ TEXAS -- 1.8% 1,000 Texas State, Public Finance Authority, GO Refunding, Series 1997, 5.000% 10/01/15........................... Aa1 AA 1,059 ------ TOTAL MUNICIPAL BONDS AND NOTES (Cost $53,006)................................................ 56,296 ------
SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 0.6% (Cost $318) 318 Nations Tax-Exempt Reserves, Capital Class#............................................ 318 ------- TOTAL INVESTMENTS (Cost $53,324*)................................. 98.9% 56,614 ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 1.1% 654 ------- NET ASSETS........................................ 100.0% $57,268 =======
--------------- * Federal income tax information (see Note 8). & Zero coupon security. The rate shown reflects the yield to maturity. # 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, 2004 (as a percentage of net assets): FSA 15.43% AMBAC 10.32% MBIA 10.08%
Nations Tennessee Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Hospital Revenue 11.48%
SEE NOTES TO FINANCIAL STATEMENTS. 144 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 101.0% TEXAS -- 94.0% $1,000 Allen, Texas, Independent School District, GO, Series 2004, (PSF-GTD Insured), 5.000% 02/15/17........................... Aaa AAA $ 1,080 2,025 Arlington, Texas, Independent School District, GO Refunding, Series 2004, (PSF-GTD), 5.000% 02/15/16........................... Aaa AAA 2,200 3,410 Austin, Texas, Electric Utility System Revenue Refunding, Series 2002, (FSA Insured), 5.500% 11/15/12........................... Aaa AAA 3,902 2,000 Austin, Texas, Electric Utility System Revenue Refunding, Series 2002A, (AMBAC Insured), 5.500% 11/15/13........................... Aaa AAA 2,295 4,000 Austin, Texas, Independent School District, GO, Series 2004, (PSF-GTD Insured), 5.000% 08/01/12........................... Aaa AAA 4,432 3,905 Austin, Texas, Public Improvement GO, Series 2001 5.000% 09/01/13........................... Aa2 AA+ 4,288 500 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), 3.163%& 11/15/09.......................... Aaa AAA 2,128 1,030 Barbers Hill, Texas, Independent School District, GO Refunding, Series 2003, (PSF-GTD), 5.000% 02/15/22........................... Aaa AAA 1,074 2,585 Belton, Texas, Independent School District, GO Refunding, Series 1998, (PSF-GTD), 5.250% 08/15/08........................... Aaa AAA 2,841 4,115 Cedar Hill, Texas, Independent School District, GO, Series 2000, (PSF-GTD), 5.234%& 08/15/16.......................... Aaa AAA 2,228
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $2,840 Cedar Hill, Texas, Independent School District, GO, Series 2000, (PSF-GTD), 5.367%& 08/15/17.......................... Aaa AAA $ 1,436 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 2,347 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 1,395 1,655 Corpus Christi, Texas, GO, Series 2002, (FSA Insured), 5.500% 09/01/15........................... Aaa AAA 1,877 1,000 Corpus Christi, Texas, Utility System Revenue Refunding, Series 2002, (FSA Insured), 5.000% 07/15/14........................... Aaa AAA 1,092 1,045 Dallas County, Texas, GO, Series 2000, 5.000% 08/15/09........................... Aaa AAA 1,152 1,000 Dallas, Texas, GO Refunding, Series 2003A, 5.000% 02/15/09........................... Aa1 AA+ 1,097 1,300 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Series 2001, 5.000% 10/01/12........................... Aa2 AA+ 1,420 1,000 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Series 2002, 5.500% 10/01/12........................... Aa2 AA+ 1,132 500 Dallas-Fort Worth, Texas, Regional Airport Revenue Refunding, Series 1994A, (MBIA Insured), 6.000% 11/01/09........................... Aaa AAA 502 2,500 El Paso, Texas, Water and Sewer Revenue Refunding, Series 2003, (AMBAC Insured), 5.000% 03/01/11........................... Aaa AAA 2,759
SEE NOTES TO FINANCIAL STATEMENTS. 145 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $1,000 Fort Bend, Texas, Independent School District, GO, Series 2000, (PSF-GTD), 5.250% 08/15/19........................... Aaa AAA $ 1,093 400 Fort Worth, Texas, Higher Education Financial Corporation, Higher Education Revenue, (Texas Christian University Project) Series 1997, 5.000% 03/15/17........................... Aa3 AA- 422 1,905 Garland, Texas, GO, Series 1998, 5.000% 02/15/12........................... Aa2 AA 2,051 2,665 Goose Creek, Texas, Conservative Independent School District, GO Refunding, Series 2003, (PSF-GTD), 4.500% 02/15/14........................... Aaa AAA 2,837 1,000 Grapevine, Texas, GO, Series 2000, (FGIC Insured), 5.800% 08/15/19........................... Aaa AAA 1,136 4,870 Harlandale, Texas, Independent School District, GO Refunding, Series 2004, (PSF-GTD), 5.250% 08/15/16........................... Aaa AAA 5,422 1,120 Harris County, Texas, GO Refunding, Series 2002, 5.000% 10/01/08........................... Aa1 AA+ 1,225 1,400 Harris County, Texas, GO, Series 1995 5.000% 10/01/17........................... Aa1 AA+ 1,447 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 3,611 2,000 Harris County, Texas, Health Facilities Development Corporation, Revenue, (Christus Health Project) Series 1999A, (MBIA Insured), 5.500% 07/01/10........................... Aaa AAA 2,221 2,780 Harris County, Texas, Health Facilities Development Corporation, Revenue, (St. Luke's Episcopal Hospital Project) Series 2001A, 5.625% 02/15/16........................... Aa3 AA- 3,016
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $1,000 Harris County, Texas, Health Facilities Development Corporation, Revenue, Series 1999A, (MBIA Insured), 5.250% 07/01/07........................... Aaa AAA $ 1,080 750 Harris County, Texas, Port Houston Authority, Revenue Refunding, Series 2000B, AMT, 5.500% 10/01/07........................... Aa1 AA+ 815 2,000 Harris County, Texas, Revenue Refunding, (Tax & Sub Lien) Series 2004B, (FSA Insured), Mandatory Put 08/15/12 @ 100, 5.000% 08/15/32........................... Aaa AAA 2,188 1,000 Harris County, Texas, Toll Road Revenue Refunding, Senior Lien, Series 2002, (FSA Insured), 5.375% 08/15/10........................... Aaa AAA 1,126 735 Harris County, Texas, Toll Road Revenue Refunding, Series 2002, (FSA Insured), 5.375% 08/15/11........................... Aaa AAA 832 3,000 Houston, Texas, Area Water Corporation Contract Revenue, (Northeast Water Purification Project) Series 2002, (FGIC Insured), 5.500% 03/01/18........................... Aaa AAA 3,367 1,000 Houston, Texas, Community College System Revenue Refunding, Junior Lien, (Student Fee Project) Series 2001A, 5.375% 04/15/15........................... Aaa AAA 1,111 1,195 Houston, Texas, Hotel Occupancy Tax and Special Revenue, Series 2001B, (AMBAC Insured), 5.250% 09/01/19........................... Aaa AAA 1,305 1,265 Houston, Texas, Hotel Occupancy Tax and Special Revenue, Series 2001B, (AMBAC Insured), 5.250% 09/01/20........................... Aaa AAA 1,372 2,265 Houston, Texas, Utilities System Revenue Refunding, (Combined First Lien) Series 2004A, (MBIA Insured), 5.250% 05/15/14........................... Aaa AAA 2,554
SEE NOTES TO FINANCIAL STATEMENTS. 146 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $4,000 Houston, Texas, Water and Sewer Systems Revenue Refunding, Junior Lien, Series 1996A, (FGIC Insured), 5.250% 12/01/25........................... Aaa AAA $ 4,317 5,000 Houston, Texas, Water and Sewer Systems Revenue Refunding, Junior Lien, Series 1997A, (FGIC Insured), 5.375% 12/01/27........................... Aaa AAA 5,534 1,000 Jefferson County, Texas, GO Refunding, Series 2002, (FGIC Insured), 5.750% 08/01/14........................... Aaa AAA 1,151 50 Johnson City, Texas, Independent School District, GO Refunding, Series 2003, (PSF-GTD), 3.000% 02/15/09........................... Aaa AAA 51 2,000 Klein, Texas, Independent School District, GO, Series 1999A, (PSF-GTD), 5.125% 08/01/15........................... Aaa AAA 2,156 1,740 La Marque, Texas, Independent School District, GO Refunding, Series 2003, (PSF-GTD), 5.000% 02/15/21........................... Aaa AAA 1,826 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 5,832 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- 3,130 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 3,262
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $3,285 Northside, Texas, Independent School District, GO Refunding, Series 2002A, (PSF-GTD), 5.250% 02/15/20........................... Aaa AAA $ 3,521 1,500 Pearland, Texas, Independent School District, GO, Series 2000, (PSF-GTD), 5.500% 02/15/20........................... Aaa AAA 1,629 1,835 Plano, Texas, Independent School District, GO, Series 1995, (PSF-GTD), 7.000% 02/15/05........................... Aaa AAA 1,872 3,000 Plano, Texas, Independent School District, GO, Series 2004, (PSF-GTD), 5.000% 02/15/14........................... Aaa AAA 3,316 1,190 Rio Grande City, Texas, Conservative Independent School District, GO, Series 2002, (PSF-GTD), 5.000% 08/15/19........................... Aaa AAA 1,260 5,600 Round Rock, Texas, Independent School District, GO, Series 2000, (PSF-GTD), 5.000% 08/01/18........................... Aaa AAA 5,994 3,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16........................... Baa2 BBB- 3,276 2,250 San Antonio, Texas, Electric and Gas Systems Revenue Refunding, Series 2002, 5.250% 02/01/12........................... Aa1 AA+ 2,524 1,500 San Antonio, Texas, Electric and Gas Systems, GO Refunding, Series 1998A, 5.250% 02/01/16........................... Aa1 AA+ 1,627 2,000 San Antonio, Texas, GO, (CTFS Obligation) Series 2001, 5.000% 02/01/09........................... Aa2 AA+ 2,188 30 San Antonio, Texas, GO, (CTFS Obligation) Series 2002, Prerefunded, (Escrowed to Maturity), 5.000% 02/01/11........................... Aa2 AA+ 33 1,970 San Antonio, Texas, GO, (CTFS Obligation) Series 2002, Unrefunded Balance, 5.000% 02/01/11........................... Aa2 AA+ 2,172
SEE NOTES TO FINANCIAL STATEMENTS. 147 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $1,480 San Antonio, Texas, GO, (Forward) Series 2001, Unrefunded Balance, 5.250% 08/01/13........................... Aa2 AA+ $ 1,666 20 San Antonio, Texas, GO, (Forward-General Improvements) Series 2001, Prerefunded, (Escrowed to Maturity), 5.250% 08/01/13........................... Aa2 AA+ 23 1,380 San Antonio, Texas, GO, (General Improvements) Series 2003, Unrefunded Balance, 5.000% 08/01/09........................... Aa2 AA+ 1,517 120 San Antonio, Texas, GO, (General Improvements-Forward) Series 2003, Prerefunded, (Escrowed to Maturity), 5.000% 08/01/09........................... Aa2 AA+ 132 1,000 San Antonio, Texas, Independent School District, GO, (PSF-GTD), 5.500% 08/15/24........................... Aaa AAA 1,089 1,260 South Texas, Community College District, GO, Series 2002, (AMBAC Insured), 5.250% 08/15/10........................... Aaa AAA 1,408 1,170 Sugar Land, Texas, GO Refunding, Series 2003, (FGIC Insured), 5.000% 02/15/11........................... Aaa AAA 1,291 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 1,144 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 3,642 1,355 Tarrant County, Texas, Hospital District Revenue, Series 2002, (MBIA Insured), 5.500% 08/15/13........................... Aaa AAA 1,518
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $3,860 Texas A&M University, Permanent University Funds Revenue Refunding, Series 2003, 5.250% 07/01/14........................... Aaa AAA $ 4,320 1,000 Texas State, College Student Loan Authority, GO, Series 1994, AMT, 5.750% 08/01/11........................... Aa1 AA 1,002 1,000 Texas State, College Student Loan Authority, GO, Series 1996, AMT, 5.000% 08/01/12........................... Aa1 AA 1,023 1,425 Texas State, College Student Loan Authority, GO, Series 1997, AMT, (GTD STD LNS), 5.000% 08/01/05........................... Aa1 AA 1,463 2,015 Texas State, College Student Loan Authority, GO, Series 1999, AMT, 5.000% 08/01/07........................... Aa1 AA 2,154 455 Texas State, GO, Series 1999, 5.250% 08/01/21........................... Aa1 AA 491 1,200 Texas State, Public Finance Authority, GO Refunding, Series 1996C, 6.000% 10/01/06........................... Aa2 AA 1,294 3,500 Texas State, Texas A&M University Revenue, Series 1999, 5.500% 05/15/20........................... Aa1 AA+ 3,816 1,000 Texas State, Texas A&M University, Financing System Revenue, Series 1996, 5.750% 05/15/06........................... Aa1 AA+ 1,062 3,250 Texas State, Turnpike Authority of Dallas, North Tollway Revenue, (President George Bush Turnpike Project) Series 1996, (AMBAC Insured), 3.008%& 01/01/09.......................... Aaa AAA 2,862 375 Texas State, Veterans Housing Assistance, GO Refunding, Series 1994C, 6.400% 12/01/09........................... Aa1 AA 384 3,000 Texas State, Water Development Board, Revenue, Series 1997, 5.000% 07/15/12........................... Aaa AAA 3,235 1,500 Texas State, Water Development Board, Revenue, Series 1999B, 5.625% 07/15/21........................... Aaa AAA 1,653
SEE NOTES TO FINANCIAL STATEMENTS. 148 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $5,000 Texas State, Water Development GO, Series 1997, 5.250% 08/01/28........................... Aa1 AA $ 5,231 1,000 Texas Tech University, Revenue Refunding, Series 2003, (AMBAC Insured), 5.000% 02/15/11........................... Aaa AAA 1,103 1,000 Texas, Alamo Community College District, Revenue Refunding, (Combined Fee) Series 2001, (FSA Insured), 5.375% 11/01/16........................... Aaa AAA 1,116 1,875 Texas, Gulf Coast Waste Disposal Authority, Bayport Area System Revenue, Series 2002, (AMBAC Insured), 5.000% 10/01/12........................... Aaa AAA 2,061 3,000 Texas, Lower Colorado River Authority, Revenue Refunding, Series 1999B, (FSA Insured), 6.000% 05/15/08........................... Aaa AAA 3,363 2,085 Texas, Lower Colorado River Authority, Revenue, Series 2003, (FSA Insured), 5.250% 05/15/11........................... Aaa AAA 2,334 1,000 Texas, North Harris Montgomery Community College District, GO Refunding, Series 2002, (FGIC Insured), 5.375% 02/15/16........................... Aaa AAA 1,115 1,500 Texas, North Harris Montgomery Community College District, GO, Series 2001, (MBIA Insured), 5.375% 02/15/16........................... Aaa AAA 1,646 4,000 Texas, Red River Authority, PCR Refunding, Series 1991, (AMBAC Insured), 5.200% 07/01/11........................... Aaa AAA 4,113 1,000 Texas, Sabine River Authority, PCR, (TXU Electric Company Project), Series 2001B, 5.750% 05/01/30........................... Baa2 BBB 1,061 1,000 Texas, Trinity River Authority, PCR, (Texas Instruments Inc. Project) Series 1996, AMT, 6.200% 03/01/20........................... A2 A 1,042
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $ 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 $ 576 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 4,612 5,000 University of Texas, Permanent University Funds Revenue Refunding, Series 2002A, 5.000% 07/01/07........................... Aaa AAA 5,388 2,500 University of Texas, University Financing Systems Revenue, Series 2001B, 5.375% 08/15/15........................... Aaa AAA 2,820 1,000 University of Texas, University Financing Systems Revenue, Series 2003A, 5.375% 08/15/15........................... Aaa AAA 1,122 5,365 Waxahachie, Texas, Independent School District, Capital Appreciation GO, Series 2000, (PSF-GTD), Prerefunded 08/15/10 @ 63.473, 5.134%& 08/15/17.......................... Aaa AAA 2,793 4,545 Waxahachie, Texas, Independent School District, Capital Appreciation GO, Series 2000, (PSF-GTD), Prerefunded 08/15/10 @ 72.803, 4.794%& 08/15/15.......................... Aaa AAA 2,714 210 Waxahachie, Texas, Independent School District, Capital Appreciation GO, Unrefunded Balance, Series 2000, (PSF-GTD), 5.093%& 08/15/15.......................... Aaa AAA 121
SEE NOTES TO FINANCIAL STATEMENTS. 149 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ TEXAS -- (CONTINUED) $ 245 Waxahachie, Texas, Independent School District, Capital Appreciation GO, Unrefunded Balance, Series 2000, (PSF-GTD), 5.387%& 08/15/17.......................... Aaa AAA $ 124 1,440 West University Place, Texas, Permanent Improvement GO Refunding, Series 2002 5.500% 02/01/15........................... Aa2 AA 1,621 1,910 White Settlement, Texas, Independent School District, GO Refunding, Series 2003, (PSF-GTD), 5.375% 08/15/19........................... Aaa AAA 2,104 -------- 226,497 -------- 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........................... Baa2 BBB 1,030 -------- ILLINOIS -- 0.7% 1,500 Kane County, Illinois, Forest Preservation District, GO, Series 1999, 5.375% 12/30/14........................... Aa3 AA 1,689 -------- KANSAS -- 0.5% 1,150 Kansas, University Hospital Authority, Revenue, (Kansas University Health System Project) Series 1999A, (AMBAC Insured), 5.250% 09/01/11........................... Aaa AAA 1,267 -------- MISSISSIPPI -- 1.2% 2,600 Warren County, Mississippi, Environmental Improvement Revenue Refunding, (International Paper Company Project) Series 2000A, AMT, 6.700% 08/01/18........................... Baa2 BBB 2,838 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ 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........................... Baa2 BBB $ 1,017 -------- OKLAHOMA -- 0.6% 1,400 Oklahoma, Housing Development Authority, Revenue, Series 2000A, (FHLMC COLL), 5.100% 11/01/05........................... Aa3 AA- 1,447 -------- 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- 1,886 -------- TENNESSEE -- 1.9% 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 3,423 1,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Electric Revenue, Series 1998B, 5.500% 05/15/13........................... Aa3 AA 1,148 -------- 4,571 -------- WASHINGTON -- 0.5% 1,000 Washington State, Motor Vehicle Fuel Tax, GO Refunding, Series 2001R-B, 5.000% 09/01/09........................... Aa1 AA 1,099 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $229,081)........................................... 243,341 --------
SEE NOTES TO FINANCIAL STATEMENTS. 150 NATIONS FUNDS Nations Texas Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
SHARES VALUE (000) (000) ------------------------------------------------------------------------------------ AFFILIATED INVESTMENT COMPANIES -- 1.5% (Cost $3,718) 3,718 Nations Tax-Exempt Reserves, Capital Class#................. $ 3,718 -------- TOTAL INVESTMENTS (Cost $232,799*)................................ 102.5% 247,059 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... (2.5)% (6,089) -------- NET ASSETS........................................ 100.0% $240,970 ========
--------------- *Federal income tax information (see Note 8). &Zero coupon security. The rate shown reflects the yield to maturity. #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, 2004 (as a percentage of net assets): PSF-GTD 22.91% MBIA 11.77% AMBAC 11.39%
Nations Texas Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Prerefunded 14.85% Education Revenue 12.12% Hospital Revenue 11.14%
SEE NOTES TO FINANCIAL STATEMENTS. 151 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ MUNICIPAL BONDS AND NOTES -- 97.3% VIRGINIA -- 82.0% $ 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- $ 2,070 3,285 Arlington County, Virginia, GO Refunding, Series 1993, 6.000% 06/01/12........................... Aaa AAA 3,904 3,865 Arlington County, Virginia, GO, Series 1999, (State Aid Withholding), 5.250% 06/01/16........................... Aaa AAA 4,304 1,000 Arlington County, Virginia, Hospital Revenue, Series 2001, 5.500% 07/01/13........................... A2 A 1,105 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+ 1,109 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 3,572 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 1,998 1,000 Charlottesville-Albemarle, Virginia, Airport Authority, Revenue Refunding, Series 1995, AMT, 6.125% 12/01/09........................... Baa2 BBB 1,049 6,195 Chesapeake, Virginia, GO Refunding, Series 1993, 5.125% 12/01/05........................... Aa2 AA 6,439
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 1,000 Chesapeake, Virginia, GO, Series 1998, (State Aid Withholding), 4.650% 08/01/11........................... Aa2 AA $ 1,071 1,000 Chesapeake, Virginia, Water and Sewer GO, Series 1995A, 5.375% 12/01/20........................... Aa2 AA 1,063 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 2,163 265 Chesterfield County, Virginia, Water and Sewer Authority, Revenue Refunding, Series 1992, 6.200% 11/01/05........................... Aaa AAA 266 1,320 Covington-Allegheny County, Virginia, Industrial Development Authority, PCR Refunding, (Westvaco Corporation Project) Series 1994, 5.900% 03/01/05........................... Baa2 BBB 1,336 2,865 Fairfax County, Virginia, Economic Development Authority Transportation Contract Revenue, (Route 28 Project) Series 2004, (MBIA Insured), 5.000% 04/01/24........................... Aaa AAA 3,113 11,585 Fairfax County, Virginia, Economic Development Authority, Resource Recovery, Revenue Refunding, Series 1998A, AMT, (AMBAC Insured), 5.950% 02/01/07........................... Aaa AAA 12,535 3,385 Fairfax County, Virginia, Economic Development Authority, Resource Recovery, Revenue Refunding, Series 1998A, AMT, (AMBAC Insured), 6.050% 02/01/09........................... Aaa AAA 3,796 1,000 Fairfax County, Virginia, GO, Series 1998, (State Aid Withholding), 4.800% 04/01/10........................... Aa1 AA+ 1,081
SEE NOTES TO FINANCIAL STATEMENTS. 152 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 5,000 Fairfax County, Virginia, GO, Series 2002A, (State Aid Withholding), 5.000% 06/01/10........................... Aaa AAA $ 5,547 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 1,125 500 Fairfax County, Virginia, Industrial Development Authority, Health Care Revenue Refunding, (Inova Health Systems Project) Series 1996, 5.500% 08/15/10........................... Aa2 AA 530 3,000 Fairfax County, Virginia, Public Improvement GO, Series 1997, (State Aid Withholding), 5.250% 06/01/17........................... Aaa AAA 3,133 1,450 Fairfax County, Virginia, Public Improvement GO, Series 1997A, 5.125% 06/01/11........................... Aaa AAA 1,513 1,000 Fairfax County, Virginia, Public Improvement GO, Series 1999B, 5.500% 12/01/16........................... Aaa AAA 1,108 3,000 Fairfax County, Virginia, Water and Sewer Authority, Water Revenue, Series 2000, 5.625% 04/01/25........................... Aaa AAA 3,308 3,000 Fairfax County, Virginia, Water and Sewer Authority, Water Revenue, Unrefunded Balance, Series 1992, 6.000% 04/01/22........................... Aaa AAA 3,308 550 Giles County, Virginia, Industrial Development Authority, Exempt Facilities Revenue, (Hoechst Celanese Corporation Project) Series 1995, AMT, 5.950% 12/01/25........................... Baa2 BBB 501
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 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 $ 2,964 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 1,042 500 Hanover County, Virginia, Industrial Development Authority, Revenue, (Bon Secours Health Systems Project) Series 1995, (MBIA Insured), 5.500% 08/15/25........................... Aaa AAA 521 1,300 Henrico County, Virginia, GO, Series 2002, 5.000% 04/01/15........................... Aaa AAA 1,430 500 Henrico County, Virginia, Industrial Development Authority, Public Facilities Lease Revenue, Series 1994, Prerefunded 08/01/05 @ 102 7.000% 08/01/13........................... Aa2 AA 532 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- 3,480 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 2,029
SEE NOTES TO FINANCIAL STATEMENTS. 153 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 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 $ 744 2,335 James City and County, Virginia, Public Improvement GO Refunding, Series 2003, 5.000% 12/15/12........................... Aa3 AA 2,615 2,175 James City and County, Virginia, Public Improvement GO Refunding, Series 2003, 5.000% 12/15/13........................... Aa3 AA 2,438 1,000 Loudoun County, Virginia, GO Refunding, Series 1998B, (State Aid Withholding), 5.250% 12/01/15........................... Aa1 AA+ 1,149 2,600 Loudoun County, Virginia, GO, Series 2000B, (State Aid Withholding), 5.250% 01/01/17........................... Aa1 AA+ 2,886 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 1,559 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 1,832 500 Loudoun County, Virginia, Industrial Development Authority, Hospital Revenue, (Loudoun Hospital Center Project) Series 1995, (FSA Insured), 5.800% 06/01/20........................... Aaa AAA 522 510 Loudoun County, Virginia, Public Improvement GO, Series 2001C, (State Aid Withholding), 5.000% 11/01/14........................... Aa1 AA+ 564
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 1,140 Lynchburg, Virginia, Public Improvement GO, Series 1997, 5.400% 05/01/17........................... Aa3 AA $ 1,216 1,000 Medical College of Virginia, Hospital Authority, General Revenue, Series 1998, (MBIA Insured), 4.800% 07/01/11........................... Aaa AAA 1,069 2,000 Montgomery County, Virginia, Industrial Development Lease Authority, Revenue, Series 2000B, (AMBAC Insured), 5.500% 01/15/22........................... Aaa AAA 2,221 1,000 Newport News, Virginia, GO, Series 1998, 5.000% 03/01/18........................... Aa2 AA 1,071 3,500 Norfolk, Virginia, Capital Improvement GO Refunding, Series 1998, (FGIC Insured, State Aid Withholding), 5.000% 07/01/11........................... Aaa AAA 3,821 1,000 Norfolk, Virginia, Capital Improvement GO Refunding, Series 1998, (FGIC Insured, State Aid Withholding), 5.000% 07/01/13........................... Aaa AAA 1,092 4,960 Norfolk, Virginia, Capital Improvement GO Refunding, Series 2002B, 5.250% 07/01/11........................... Aaa AAA 5,592 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+ 2,397 2,000 Norfolk, Virginia, Water Revenue, Series 1995, (MBIA Insured), 5.700% 11/01/10........................... Aaa AAA 2,121 2,680 Portsmouth, Virginia, GO Refunding, Series 2001A, Prerefunded 6/1/08 @ 100, (FGIC Insured), 5.500% 06/01/17........................... Aaa AAA 2,976
SEE NOTES TO FINANCIAL STATEMENTS. 154 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 2,060 Portsmouth, Virginia, GO Refunding, Series 2003, 5.000% 07/01/19........................... Aaa AAA $ 2,234 4,385 Portsmouth, Virginia, GO Refunding, Series 2003, (FSA Insured), 5.000% 07/01/17........................... Aaa AAA 4,814 1,030 Portsmouth, Virginia, GO, Unrefunded Balance, Series 2001A, (FGIC Insured), 5.500% 06/01/17........................... Aaa AAA 1,124 670 Prince William County, Virginia, Industrial Development Authority, Hospital Revenue Refunding, (Potomac Hospital Corporation Project) Series 1995, 6.550% 10/01/05........................... Aaa AAA 685 1,000 Prince William County, Virginia, Industrial Development Authority, Lease Revenue, (ATCC Project) Series 1996, 6.000% 02/01/14........................... Aa3 AA- 1,041 500 Prince William County, Virginia, Park Authority, Revenue, Series 1994, Prerefunded 10/15/04 @ 102, 6.875% 10/15/16........................... Baa2 BBB 511 3,350 Prince William County, Virginia, Service Authority, Water and Sewer System Revenue Refunding, Series 2003, 5.000% 07/01/13........................... Aa2 AA 3,737 1,000 Richmond, Virginia, GO Refunding, Series 1995B, (FGIC Insured, State Aid Withholding), 5.000% 01/15/21........................... Aaa AAA 1,045 1,000 Richmond, Virginia, Metropolitan Authority Expressway Revenue, Series 1998, (FGIC Insured), 5.250% 07/15/17........................... Aaa AAA 1,131 2,855 Richmond, Virginia, Public Improvement GO Refunding, Series 1999A, (FSA Insured), 5.000% 01/15/19........................... Aaa AAA 3,054
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 1,430 Richmond, Virginia, Public Improvement GO, Series 1993B, (State Aid Withholding), 5.500% 07/15/09........................... Aa3 AA $ 1,608 2,150 Richmond, Virginia, Public Improvement GO, Series 2002A, 5.250% 07/15/11........................... Aaa AAA 2,426 1,115 Roanoke County, Virginia, IDR, (Hollins College Project) Series 1998, 5.200% 03/15/17........................... A2 A 1,171 4,000 Roanoke, Virginia, Industrial Development Authority, Hospital Revenue, (Carilion Health System Project) Series 2002A, 5.250% 07/01/12........................... Aaa AAA 4,471 1,100 Spotsylvania County, Virginia, GO Refunding, Series 1998, (FSA Insured), 4.375% 07/15/05........................... Aaa AAA 1,123 1,900 Spotsylvania County, Virginia, GO Refunding, Series 1998, (FSA Insured), 4.400% 07/15/06........................... Aaa AAA 1,985 2,000 Spotsylvania County, Virginia, GO Refunding, Series 1998, (FSA Insured), 4.400% 07/15/07........................... Aaa AAA 2,126 3,535 Staunton, Virginia, Industrial Development Authority, Educational Facilities Revenue, (Mary Baldwin College Project) Series 1996, 6.600% 11/01/14........................... Baa2 BBB 3,721 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 6,296 2,300 Virginia Beach, Virginia, GO Refunding, Series 1993, 5.400% 07/15/08........................... Aa1 AA+ 2,547
SEE NOTES TO FINANCIAL STATEMENTS. 155 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 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+ $ 512 3,060 Virginia Beach, Virginia, Public Improvement GO, Series 2000, 5.500% 03/01/17........................... Aa1 AA+ 3,453 3,805 Virginia Beach, Virginia, Public Improvement GO, Series 2000, 5.500% 03/01/18........................... Aa1 AA+ 4,294 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 2,125 2,035 Virginia Beach, Virginia, Water and Sewer Revenue, Series 2000, 5.250% 08/01/19........................... Aa3 AA 2,224 2,145 Virginia Beach, Virginia, Water and Sewer Revenue, Series 2000, 5.250% 08/01/20........................... Aa3 AA 2,333 1,500 Virginia Commonwealth Transportation Board Authority, Transportation Revenue, (U.S. Route 58 Corridor Development Project), Series 2002B, 5.000% 05/15/08........................... Aa1 AA+ 1,636 10,230 Virginia State GO, Series 2002, 4.000% 06/01/09........................... Aaa AAA 10,849 2,345 Virginia State, Commonwealth Transportation Board Authority, Transportation Revenue, (Northern Virginia Transportation District Project) Series 1996A, 5.125% 05/15/21........................... Aa1 AA+ 2,451 1,035 Virginia State, Housing Development Authority, Commonwealth Mortgage Revenue, Series 2001D-D-1, 4.750% 07/01/12........................... Aaa AA+ 1,117
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 2,655 Virginia State, Housing Development Authority, Revenue, (Rental Housing Project) Series 2000B, AMT, 5.875% 08/01/15(a)........................ Aa1 AA+ $ 2,853 2,790 Virginia State, Public Building Authority, Public Facilities Revenue, Series 2002A, 5.000% 08/01/14........................... Aa1 AA+ 3,065 2,540 Virginia State, Public School Authority, Revenue Refunding, (School Financing Project) Series 1998A, 4.875% 08/01/14........................... Aa1 AA+ 2,738 1,070 Virginia State, Residential Authority, Infrastructure Revenue, Series 2000A, (MBIA Insured), 5.500% 05/01/21........................... Aaa AAA 1,189 1,125 Virginia State, Resource Authority, Infrastructure Revenue, (Virginia Pooled Financing Program), Series 2003, 5.000% 11/01/19........................... Aa2 AA 1,207 1,205 Virginia State, Resource Authority, Airport Revenue, Series 2001A, 5.250% 08/01/18........................... Aa2 AA 1,318 1,075 Virginia State, Resource Authority, Infrastructure Revenue, (Virginia Pooled Financing Program), Series 2003, 5.000% 11/01/18........................... Aa2 AA 1,160 1,185 Virginia State, Resource Authority, Infrastructure Revenue, (Virginia Pooled Financing Program), Series 2003, 5.000% 11/01/21........................... Aa2 AA 1,256 1,100 Virginia State, Resource Authority, Infrastructure Revenue, (Virginia Pooled Financing Program), Series 2003, 5.000% 11/01/22........................... Aa2 AA 1,158 1,120 Virginia State, Resource Authority, Infrastructure Revenue, Series 2000A, (MBIA Insured), 5.500% 05/01/22........................... Aaa AAA 1,239 1,175 Virginia State, Resource Authority, Infrastructure Revenue, Series 2002, 5.000% 11/01/13........................... Aa2 AA 1,309
SEE NOTES TO FINANCIAL STATEMENTS. 156 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 1,000 Virginia State, Resource Authority, Infrastructure Revenue, Series 2002B, 5.000% 11/01/09........................... Aa2 AA $ 1,104 2,970 Virginia State, Resource Authority, Sewer Systems Revenue Refunding, (Harrisonburg- Rockingham Project) Series 1998, 5.000% 05/01/18........................... Aa2 AA 3,172 1,750 Virginia State, Resource Authority, Sewer Systems Revenue, (Hopewell Regional Wastewater Facilities Project) Series 1995A, AMT, 6.000% 10/01/15........................... Aa2 AA 1,817 2,000 Virginia State, Resource Authority, Systems Revenue Refunding, Series 1998, 5.000% 05/01/22........................... Aa2 AA 2,078 1,020 Virginia State, Resource Authority, Water and Sewer Systems Revenue, (Suffolk Project) Series 1996A, 5.500% 04/01/17........................... Aa2 AA 1,111 1,210 Virginia, Biotechnology Research Park Authority, Lease Revenue, (Biotech Two Project) Series 1996, 5.750% 09/01/05........................... Aa1 AA+ 1,254 1,000 Virginia, Biotechnology Research Park Authority, Lease Revenue, (Biotech Two Project) Series 1996, 5.300% 09/01/13........................... Aa1 AA+ 1,070 1,100 Virginia, Biotechnology Research Park Authority, Lease Revenue, (Consolidated Laboratories Project) Series 2001, 5.125% 09/01/16........................... Aa1 AA+ 1,200 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 2,604
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 1,000 Virginia, Commonwealth Transportation Board, Transportation Program Revenue, (Oak Grove Connector Project) Series 1997A, 5.250% 05/15/22........................... Aa1 AA+ $ 1,066 1,245 Virginia, Commonwealth Transportation Board, Transportation Revenue Refunding, (U.S. Route 58 Corridor Project) Series 1997C, 5.125% 05/15/19........................... Aa1 AA+ 1,329 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 3,635 2,465 Virginia, Port Authority, Commonwealth Port Fund Revenue, Series 1996, AMT, 5.550% 07/01/12........................... Aa1 AA+ 2,601 1,000 Virginia, Port Authority, Commonwealth Port Fund Revenue, Series 1997, AMT, (MBIA Insured), 5.650% 07/01/17........................... Aaa AAA 1,069 1,210 Virginia, Port Authority, Port Facilities Revenue, Series 1997, AMT, (MBIA Insured), 6.000% 07/01/07........................... Aaa AAA 1,328 1,360 Virginia, Port Authority, Port Facilities Revenue, Series 2003, (MBIA Insured), 5.125% 07/01/14........................... Aaa AAA 1,491 1,430 Virginia, Port Authority, Port Facilities Revenue, Series 2003, (MBIA Insured), 5.125% 07/01/15........................... Aaa AAA 1,560 1,585 Virginia, Port Authority, Port Facilities Revenue, Series 2003, (MBIA Insured), 5.250% 07/01/17........................... Aaa AAA 1,731 5,000 Virginia, Southeastern Public Service Authority, Revenue Refunding, Series 1993A, (MBIA Insured), 5.100% 07/01/08........................... Aaa AAA 5,470
SEE NOTES TO FINANCIAL STATEMENTS. 157 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ VIRGINIA -- (CONTINUED) $ 1,270 Virginia, Virginia College Building Authority, Educational Facilities Revenue, (21st Century Catalogue and Equipment Program Project) Series 2002A, 5.000% 02/01/15........................... Aa1 AA+ $ 1,377 2,300 Virginia, Virginia College Building Authority, Educational Facilities Revenue, (Public Higher Education Financing Program) Series 1999A, 5.375% 09/01/12........................... Aa1 AA+ 2,552 3,555 Virginia, Virginia College Building Authority, Educational Facilities Revenue, (Public Higher Education Financing Program), Series 2003A, 5.000% 09/01/07........................... Aa1 AA 3,838 1,800 Virginia, Virginia College Building Authority, Educational Facilities Revenue, (Public Higher Education Financing Program), Series 2003A, 5.000% 09/01/11........................... Aa1 AA 1,995 5,000 Virginia, Virginia College Building Authority, Educational Facilities Revenue, (University Richmond Project) Series 2002A, Mandatory Put 03/01/09 @ 100, 5.000% 03/01/32........................... Aa1 AA 5,458 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 1,052 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 3,995 -------- 277,189 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ ALABAMA -- 0.7% $ 2,250 Mobile, Alabama, Industrial Development Board, PCR Refunding, (International Paper Company Project) Series 1998B, 4.750% 04/01/10........................... Baa2 BBB $ 2,359 -------- ALASKA -- 0.4% 1,385 Alaska, Municipal Bond Bank Authority, Revenue, Series 2003, (MBIA Insured), 5.250% 12/01/18........................... Aaa AAA 1,520 -------- ARIZONA -- 1.0% 2,030 Arizona, School Facilities Board Revenue, State School Improvement, Series 2002, 5.250% 07/01/14........................... Aaa AAA 2,286 1,000 University Medical Center Corporation, Arizona, Hospital Revenue, Series 2004, (GO of University), 5.250% 07/01/14........................... A3 BBB+ 1,074 -------- 3,360 -------- CONNECTICUT -- 0.6% 1,900 Connecticut State, GO, Series 2001G, 5.000% 12/15/11........................... Aa3 AA 2,114 -------- 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 1,071 --------
SEE NOTES TO FINANCIAL STATEMENTS. 158 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ 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 $ 2,517 1,195 Miami-Dade County, Florida, Health Authority, Hospital Revenue Refunding, (Miami Children's Hospital Project) Series 2001, (AMBAC Insured), 4.375% 08/15/10........................... Aaa AAA 1,274 2,100 Volusia County, Florida, Educational Facilities Authority, Revenue, Series 1996A, 6.125% 10/15/16........................... Baa3 BBB- 2,197 -------- 5,988 -------- GEORGIA -- 0.5% 1,450 Richmond County, Georgia, Development Authority, Environmental Improvement Revenue, (International Paper Company Project) Series 2001A, 5.150% 03/01/15........................... Baa2 BBB 1,544 -------- ILLINOIS -- 1.8% 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 5,040 1,990 Will County, Illinois, Student Housing Revenue, (Joliet Junior College Project) Series 2002A, 6.625% 09/01/23(a)........................ NR NR 995 -------- 6,035 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ 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........................... A3 BBB $ 2,103 -------- MAINE -- 0.4% 1,500 Baileyville, Maine, PCR, (Georgia-Pacific Corporation Project) Series 1998, 4.750% 06/01/05........................... Ba3 BB- 1,510 -------- MARYLAND -- 0.8% 2,555 Northeast Maryland, Waste Disposal Authority, Revenue Refunding, Series 2003, (AMBAC Insured), 5.500% 04/01/10........................... Aaa AAA 2,823 -------- MICHIGAN -- 0.6% 2,000 Southfield, Michigan, Library Building Authority, GO, Series 2000, (MBIA Insured), 5.500% 05/01/24........................... Aaa AAA 2,187 -------- 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 1,399 500 Warren County, Mississippi, Environmental Improvement Revenue Refunding, (International Paper Company Project) Series 2000A, AMT, 6.700% 08/01/18........................... Baa2 BBB 546 -------- 1,945 --------
SEE NOTES TO FINANCIAL STATEMENTS. 159 NATIONS FUNDS Nations Virginia Intermediate Municipal Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ 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- $ 2,515 -------- 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 2,143 -------- TEXAS -- 1.6% 2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Series 2002, 6.000% 10/01/16........................... Baa2 BBB- 2,184 2,795 Trinity River Authority, Texas, Water Revenue Refunding, (Tarrant County Water Project) Series 2003, (MBIA Insured), 5.500% 02/01/14........................... Aaa AAA 3,157 -------- 5,341 -------- WASHINGTON -- 2.0% 1,000 Northwest Washington, Energy Northwest Electric Revenue Refunding, (Columbia Generating) Series 2002A, (MBIA Insured), 5.750% 07/01/18........................... Aaa AAA 1,144 5,035 Washington State, Motor Vehicle Fuel Tax, GO, Series 1997F, 5.375% 07/01/22........................... Aa1 AA 5,351 -------- 6,495 --------
PRINCIPAL MOODY'S S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) ------------------------------------------------------------------------------------ WISCONSIN -- 0.3% $ 1,000 Wisconsin State, Health and Educational Facilities Revenue, (Agnesian Healthcare Project) Series 2001, 6.000% 07/01/21........................... A3 A- $ 1,061 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $312,871)........................................... 329,303 --------
SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 1.8% (Cost $6,155) 6,155 Nations Tax-Exempt Reserves, Capital Class#................. 6,155 -------- TOTAL INVESTMENTS (Cost $319,026*)................................ 99.1% 335,458 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 0.9% 3,002 -------- NET ASSETS........................................ 100.0% $338,460 ========
--------------- *Federal income tax information (see Note 8). #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. (a) Illiquid security. Nations Virginia Intermediate Municipal Bond Fund had the following insurance concentration greater than 10% at September 30, 2004 (as a percentage of net assets): MBIA 12.04%
Nations Virginia Intermediate Municipal Bond Fund had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): Resource Recovery Revenue 12.11% Water Revenue 11.90%
SEE NOTES TO FINANCIAL STATEMENTS. 160 NATIONS FUNDS SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED) ABBREVIATIONS: ACA American Capital Access AMBAC American Municipal Bond Assurance Corporation AMBAC-TCRS American Municipal Bond Assurance Corporation -- Transferable Custodial Receipts AMT Alternative Minimum Tax CONNIE LEE College Construction Loan Insurance Association CTFS Common Trust Funds FGIC Financial Guaranty Insurance Company FGIC SDCP Financial Guaranty Insurance Company School District Credit Program FGIC Q-SBLF Financial Guaranty Insurance Company Qualified School Board Loan Fund FGIC-TCRS Financial Guaranty Insurance Company -- Transferable Custodial Receipts FHLMC Federal Home Loan Mortgage Corporation 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 GTD Guarantee GTY-AGMT Guarantee Agreement 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 MG GTD Municipal Government Guaranteed MUD Municipal Utility District NR Not Rated PCR Pollution Control Revenue PSF-GTD Permanent School Fund Guarantee RADIAN Radian Asset Assurance Inc. SBA Small Business Administration SCSDE South Carolina School District Enhancement SCH BD GTY School Bond Guarantee VA COLL Veterans Administration collateral VA Veterans Administration WMI Waste Management Inc. XLCA XL Capital Assurance
SEE NOTES TO FINANCIAL STATEMENTS. 161 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2004
SHORT-TERM INTERMEDIATE MUNICIPAL MUNICIPAL INCOME BOND --------------------------------------- (IN THOUSANDS) ASSETS: Non-affiliated investments, at cost......................... $ 1,015,246 $ 1,668,286 Affiliated investments, at cost............................. 11,876 10,022 ----------------- ----------------- Non-affiliated investments, at value........................ 1,025,199 1,753,218 Affiliated investments, at value............................ 11,876 10,022 Cash........................................................ -- 15 Receivable for investment securities sold................... 1,439 -- Receivable for Fund shares sold............................. -- 2,166 Dividends receivable........................................ 5 3 Interest receivable......................................... 12,151 24,276 Receivable from investment advisor.......................... -- -- ----------------- ----------------- Total assets............................................ 1,050,670 1,789,700 ----------------- ----------------- LIABILITIES: Payable for Fund shares redeemed............................ (1,945) (2,283) Investment advisory fee payable............................. (98) (329) Administration fee payable.................................. (190) (318) Shareholder servicing and distribution fees payable......... (61) (15) Distributions payable....................................... (1,720) (5,614) Payable for investment securities purchased................. -- (29,906) Accrued Trustees' fees and expenses......................... (60) (62) Accrued expenses and other liabilities...................... (222) (512) ----------------- ----------------- Total liabilities....................................... (4,296) (39,039) ----------------- ----------------- NET ASSETS.................................................. $ 1,046,374 $ 1,750,661 ================= ================= NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 129 $ 2,178 Accumulated net realized gain/(loss) on investments......... (2,473) (1,580) Net unrealized appreciation/(depreciation) on investments... 9,953 84,932 Paid-in capital............................................. 1,038,765 1,665,131 ----------------- ----------------- NET ASSETS.................................................. $ 1,046,374 $ 1,750,661 ================= ================= PRIMARY A SHARES: Net assets.................................................. $ 883,694,373 $ 1,707,351,384 Number of shares outstanding................................ 85,532,471 166,104,930 Net asset value and redemption price per share.............. $ 10.33 $ 10.28 INVESTOR A SHARES: Net assets.................................................. $ 119,805,587 $ 33,990,053 Number of shares outstanding................................ 11,594,269 3,307,095 Net asset value and redemption price per share.............. $ 10.33 $ 10.28 Maximum sales charge........................................ 1.00% 3.25% Maximum offering price per share............................ $ 10.43 $ 10.63 INVESTOR B SHARES: Net assets.................................................. $ 1,216,787 $ 4,646,859 Number of shares outstanding................................ 117,763 452,217 Net asset value and redemption price per share&............. $ 10.33 $ 10.28 INVESTOR C SHARES: Net assets.................................................. $ 41,656,941 $ 4,672,368 Number of shares outstanding................................ 4,031,772 454,595 Net asset value and redemption price per share+............. $ 10.33 $ 10.28
--------------- & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. + Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 162 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) (UNAUDITED)
CALIFORNIA FLORIDA GEORGIA INTERMEDIATE CALIFORNIA INTERMEDIATE FLORIDA INTERMEDIATE MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL INCOME BOND BOND BOND BOND BOND ------------------------------------------------------------------------------------------------------------------------- $ 570,939 $ 124,235 $ 246,655 $ 191,568 $ 86,325 $ 140,902 2,098 772 1,844 1,396 948 1,261 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- 618,148 128,991 264,965 199,124 94,302 149,496 2,098 772 1,844 1,396 948 1,261 64 2,039 1,233 3 -- -- 224 572 -- 2,508 1 -- 157 60 23 56 --+ 40 1 1 3 2 1 2 8,937 1,550 3,270 3,702 1,864 2,115 -- -- -- -- -- -- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- 629,629 133,985 271,338 206,791 97,116 152,914 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (69) (51) (318) (30) (8) (164) (161) (12) (63) (29) (14) (17) (114) (23) (48) (38) (18) (27) (13) (4) (35) (17) (16) (14) (2,231) (325) (665) (565) (235) (429) (1,887) (6,612) (4,280) -- -- -- (62) (20) (51) (59) (58) (95) (194) (100) (92) (81) (50) (66) ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (4,731) (7,147) (5,552) (819) (399) (812) ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- $ 624,898 $ 126,838 $ 265,786 $ 205,972 $ 96,717 $ 152,102 ================= ================= ================= ================= ================= ================= $ 1,889 $ -- $ 493 $ 150 $ 351 $ 222 (6,901) 818 1,166 (579) 227 (2,171) 47,209 4,756 18,310 7,556 7,977 8,594 582,701 121,264 245,817 198,845 88,162 145,457 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- $ 624,898 $ 126,838 $ 265,786 $ 205,972 $ 96,717 $ 152,102 ================= ================= ================= ================= ================= ================= $ 585,222,916 $ 116,709,568 $ 131,428,222 $ 173,933,227 $ 49,679,679 $ 118,146,415 53,084,715 11,824,730 17,606,895 16,271,299 5,070,869 10,862,642 $ 11.02 $ 9.87 $ 7.46 $ 10.69 $ 9.80 $ 10.88 $ 31,451,954 $ 5,890,924 $ 122,474,063 $ 15,841,193 $ 37,110,461 $ 22,881,166 2,853,634 595,738 16,376,068 1,482,996 3,788,039 2,103,877 $ 11.02 $ 9.89 $ 7.48 $ 10.68 $ 9.80 $ 10.88 4.75% 3.25% 4.75% 3.25% 4.75% 3.25% $ 11.57 $ 10.22 $ 7.85 $ 11.04 $ 10.29 $ 11.25 $ 7,439,453 $ 1,110,737 $ 8,292,794 $ 7,405,869 $ 9,278,960 $ 6,931,786 674,947 112,436 1,108,345 692,726 947,417 637,116 $ 11.02 $ 9.88 $ 7.48 $ 10.69 $ 9.79 $ 10.88 $ 783,384 $ 3,126,295 $ 3,591,366 $ 8,791,980 $ 648,040 $ 4,142,223 71,053 316,108 481,705 821,396 66,239 380,821 $ 11.03 $ 9.89 $ 7.46 $ 10.70 $ 9.78 $ 10.88
SEE NOTES TO FINANCIAL STATEMENTS. 163 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) (UNAUDITED) September 30, 2004
MARYLAND KANSAS INTERMEDIATE MUNICIPAL MUNICIPAL INCOME BOND --------------------------------- (IN THOUSANDS) ASSETS: Non-affiliated investments, at cost......................... $ 65,564 $ 203,715 Affiliated investments, at cost............................. 4,216 1,407 -------------- -------------- Non-affiliated investments, at value........................ 68,531 214,438 Affiliated investments, at value............................ 4,216 1,407 Cash........................................................ -- -- Receivable for investment securities sold................... 682 -- Receivable for Fund shares sold............................. -- 30 Dividends receivable........................................ 5 2 Interest receivable......................................... 771 3,117 Receivable from investment advisor.......................... -- -- -------------- -------------- Total assets............................................ 74,205 218,994 -------------- -------------- LIABILITIES: Payable for Fund shares redeemed............................ (993) (661) Investment advisory fee payable............................. (7) (30) Administration fee payable.................................. (13) (40) Shareholder servicing and distribution fees payable......... (1) (22) Distributions payable....................................... (194) (555) Payable for investment securities purchased................. (1,575) -- Accrued Trustees' fees and expenses......................... (37) (98) Accrued expenses and other liabilities...................... (42) (73) -------------- -------------- Total liabilities....................................... (2,862) (1,479) -------------- -------------- NET ASSETS.................................................. $ 71,343 $ 217,515 ============== ============== NET ASSETS CONSIST OF: Undistributed net investment income......................... $ 88 $ 217 Accumulated net realized gain/(loss) on investments......... 364 (1,658) Net unrealized appreciation/(depreciation) on investments... 2,967 10,723 Paid-in capital............................................. 67,924 208,233 -------------- -------------- NET ASSETS.................................................. $ 71,343 $ 217,515 ============== ============== PRIMARY A SHARES: Net assets.................................................. $ 66,688,486 $ 167,991,334 Number of shares outstanding................................ 6,541,969 15,238,829 Net asset value and redemption price per share.............. $ 10.19 $ 11.02 INVESTOR A SHARES: Net assets.................................................. $ 4,233,314 $ 31,602,815 Number of shares outstanding................................ 415,337 2,867,195 Net asset value and redemption price per share.............. $ 10.19 $ 11.02 Maximum sales charge........................................ 3.25% 3.25% Maximum offering price per share............................ $ 10.53 $ 11.39 INVESTOR B SHARES: Net assets.................................................. $ 282,362 $ 14,930,696 Number of shares outstanding................................ 27,732 1,354,110 Net asset value and redemption price per share&............. $ 10.18 $ 11.03 INVESTOR C SHARES: Net assets.................................................. $ 139,237 $ 2,990,240 Number of shares outstanding................................ 13,694 271,263 Net asset value and redemption price per share&............. $ 10.17 $ 11.02
--------------- & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. + Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 164 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) (UNAUDITED)
NORTH CAROLINA SOUTH CAROLINA TENNESSEE TEXAS VIRGINIA INTERMEDIATE INTERMEDIATE INTERMEDIATE INTERMEDIATE INTERMEDIATE MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL MUNICIPAL BOND BOND BOND BOND BOND -------------------------------------------------------------------------------------------------------------------- $ 185,130 $ 211,517 $ 53,006 $ 229,081 $ 312,871 549 1,976 318 3,718 6,155 -------------- -------------- -------------- -------------- -------------- 197,766 224,145 56,296 243,341 329,303 549 1,976 318 3,718 6,155 1 -- 1 1 1 2,100 627 -- -- -- 150 102 26 41 99 1 4 -- 6 6 2,956 2,812 928 2,570 4,397 -- -- 2 -- -- -------------- -------------- -------------- -------------- -------------- 203,523 229,666 57,571 249,677 339,961 -------------- -------------- -------------- -------------- -------------- (709) (190) (18) (9) (231) (27) (34) -- (36) (54) (36) (42) (10) (44) (61) (20) (20) (8) (5) (25) (560) (652) (140) (721) (928) (2,335) -- -- (7,690) -- (94) (95) (92) (93) (103) (72) (83) (35) (109) (99) -------------- -------------- -------------- -------------- -------------- (3,853) (1,116) (303) (8,707) (1,501) -------------- -------------- -------------- -------------- -------------- $ 199,670 $ 228,550 $ 57,268 $ 240,970 $ 338,460 ============== ============== ============== ============== ============== $ 877 $ 1,105 $ 42 $ 398 $ 917 (843) 737 (86) 825 198 12,636 12,628 3,290 14,260 16,432 187,000 214,080 54,022 225,487 320,913 -------------- -------------- -------------- -------------- -------------- $ 199,670 $ 228,550 $ 57,268 $ 240,970 $ 338,460 ============== ============== ============== ============== ============== $ 157,980,940 $ 185,391,176 $ 36,298,766 $ 229,828,608 $ 267,282,379 14,668,652 17,355,888 3,429,992 21,840,692 24,086,565 $ 10.77 $ 10.68 $ 10.58 $ 10.52 $ 11.10 $ 23,604,103 $ 25,616,518 $ 15,507,146 $ 6,714,322 $ 54,342,135 2,190,849 2,398,741 1,465,453 638,202 4,896,600 $ 10.77 $ 10.68 $ 10.58 $ 10.52 $ 11.10 3.25% 3.25% 3.25% 3.25% 3.25% $ 11.13 $ 11.04 $ 10.94 $ 10.87 $ 11.47 $ 14,885,815 $ 9,224,590 $ 3,717,693 $ 3,961,440 $ 14,682,350 1,382,315 863,631 351,289 376,392 1,322,810 $ 10.77 $ 10.68 $ 10.58 $ 10.52 $ 11.10 $ 3,199,510 $ 8,318,011 $ 1,743,928 $ 465,364 $ 2,152,952 296,978 778,497 165,625 44,212 194,022 $ 10.77 $ 10.68 $ 10.53 $ 10.53 $ 11.10
SEE NOTES TO FINANCIAL STATEMENTS. 165 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2004
SHORT-TERM INTERMEDIATE MUNICIPAL MUNICIPAL INCOME BOND --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 14,945 $ 40,448 Dividend income from affiliated funds....................... 39 42 -------------- -------------- 14,984 40,490 -------------- -------------- EXPENSES: Investment advisory fee..................................... 1,694 3,579 Administration fee.......................................... 1,242 1,968 Transfer agent fees......................................... 179 285 Custodian fees.............................................. 38 56 Legal and audit fees........................................ 44 46 Trustees' fees and expenses................................. 12 12 Interest expense............................................ 1 2 Registration and filing fees................................ 26 26 Printing expense............................................ 25 28 Other....................................................... 37 55 Non-recurring costs (see Note 9)............................ -- 331 Cost assumed by Bank of America Corporation (see Note 9).... -- (331) -------------- -------------- Subtotal................................................ 3,298 6,057 Shareholder servicing and distribution fees: Investor A Shares......................................... 179 44 Investor B Shares......................................... 6 24 Investor C Shares......................................... 240 26 -------------- -------------- Total expenses.......................................... 3,723 6,151 Fees waived and/or expenses reimbursed by investment advisor (see Note 3).............................................. (1,038) (1,582) -------------- -------------- Net expenses............................................ 2,685 4,569 -------------- -------------- NET INVESTMENT INCOME/(LOSS)................................ 12,299 35,921 -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) on investments..................... (1,651) (1,580) Net change in unrealized appreciation/(depreciation) of investments............................................... (9,446) (21,298) -------------- -------------- Net realized and unrealized gain/(loss) on investments...... (11,097) (22,878) -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 1,202 $ 13,043 ============== ==============
--------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 166 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 ------------------------------------------------------------------------------------------------------- $ 16,789 $ 2,524 $ 6,959 $ 4,595 $ 2,422 $ 3,553 8 3 10 14 3 10 -------------- -------------- -------------- -------------- -------------- -------------- 16,797 2,527 6,969 4,609 2,425 3,563 -------------- -------------- -------------- -------------- -------------- -------------- 1,616 261 684 439 247 312 711 144 301 242 109 172 109 21 41 37 16 26 21 6 10 8 5 7 43 45 42 42 43 44 12 12 12 12 12 12 2 1 1 1* --* --* 25 --* 1 -- --* --* 16 7 11 9 8 8 24 7 13 10 5 8 120 -- 51 -- -- -- (120) -- (51) -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 2,579 504 1,116 800 445 589 39 8 156 21 47 27 38 6 43 40 48 35 5 17 21 47 4 22 -------------- -------------- -------------- -------------- -------------- -------------- 2,661 535 1,336 908 544 673 (637) (176) (295) (251) (148) (198) -------------- -------------- -------------- -------------- -------------- -------------- 2,024 359 1,041 657 396 475 -------------- -------------- -------------- -------------- -------------- -------------- 14,773 2,168 5,928 3,952 2,029 3,088 -------------- -------------- -------------- -------------- -------------- -------------- 4,127 818 1,167 (579) 226 293 (13,597) (2,537) (4,776) (3,183) (1,790) (2,147) -------------- -------------- -------------- -------------- -------------- -------------- (9,470) (1,719) (3,609) (3,762) (1,564) (1,854) -------------- -------------- -------------- -------------- -------------- -------------- $ 5,303 $ 449 $ 2,319 $ 190 $ 465 $ 1,234 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 167 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED) For the six months ended September 30, 2004
MARYLAND KANSAS INTERMEDIATE MUNICIPAL MUNICIPAL INCOME BOND --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 1,568 $ 4,817 Dividend income from affiliated funds....................... 7 10 -------------- -------------- 1,575 4,827 -------------- -------------- EXPENSES: Investment advisory fee..................................... 185 447 Administration fee.......................................... 82 246 Transfer agent fees......................................... 13 36 Custodian fees.............................................. 4 8 Legal and audit fees........................................ 44 43 Trustees' fees and expenses................................. 12 12 Interest expense............................................ 1 1 Registration and filing fees................................ --* 3 Printing expense............................................ 7 10 Other....................................................... 6 11 Non-recurring costs (see Note 9)............................ -- -- Cost assumed by Bank of America Corporation (see Note 9).... -- -- -------------- -------------- Subtotal................................................ 354 817 Shareholder servicing and distribution fees: Investor A Shares......................................... 5 40 Investor B Shares......................................... 1 80 Investor C Shares......................................... 1 15 -------------- -------------- Total expenses.......................................... 361 952 Fees waived and/or expenses reimbursed by investment advisor (see Note 3).............................................. (131) (258) -------------- -------------- Net expenses............................................ 230 694 -------------- -------------- NET INVESTMENT INCOME/(LOSS)................................ 1,345 4,133 -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) on investments..................... 365 (974) Net change in unrealized appreciation/(depreciation) of investments............................................... (1,252) (3,579) -------------- -------------- Net realized and unrealized gain/(loss) on investments...... (887) (4,553) -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 458 $ (420) ============== ==============
--------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 168 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 -------------------------------------------------------------------------------------------------------------------- $ 4,855 $ 5,296 $ 1,318 $ 5,307 $ 7,672 5 30 6 16 17 -------------- -------------- -------------- -------------- -------------- 4,860 5,326 1,324 5,323 7,689 -------------- -------------- -------------- -------------- -------------- 425 469 115 492 682 234 258 63 270 375 34 39 10 39 52 8 8 3 9 11 44 42 44 43 42 12 12 12 12 12 2 -- -- --* --* --* -- 1 1 --* 10 10 7 8 12 12 10 5 12 16 -- -- -- -- -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- 781 848 260 886 1,202 31 32 19 9 69 76 48 19 20 74 13 43 10 2 11 -------------- -------------- -------------- -------------- -------------- 901 971 308 917 1,356 (248) (262) (116) (270) (349) -------------- -------------- -------------- -------------- -------------- 653 709 192 647 1,007 -------------- -------------- -------------- -------------- -------------- 4,207 4,617 1,132 4,676 6,682 -------------- -------------- -------------- -------------- -------------- 35 737 (85) 824 197 (2,747) (3,281) (460) (3,130) (3,915) -------------- -------------- -------------- -------------- -------------- (2,712) (2,544) (545) (2,306) (3,718) -------------- -------------- -------------- -------------- -------------- $ 1,495 $ 2,073 $ 587 $ 2,370 $ 2,964 ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 169 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
SHORT-TERM INTERMEDIATE MUNICIPAL INCOME MUNICIPAL BOND --------------------------------- -------------------------------- SIX MONTHS SIX MONTHS ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ---------------------------------------------------------------------- (IN THOUSANDS) Net investment income/(loss)........................ $ 12,299 $ 23,442 $ 35,921 $ 76,864 Net realized gain/(loss) on investments............. (1,651) (125) (1,580) 7,106 Net change in unrealized appreciation/(depreciation) of investments.................................... (9,446) 2,035 (21,298) 933 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations........................................ 1,202 25,352 13,043 84,903 Distributions to shareholders from net investment income: Primary A Shares.................................. (10,543) (18,844) (35,102) (74,963) Investor A Shares................................. (1,447) (3,780) (669) (1,514) Investor B Shares................................. (8) (17) (72) (175) Investor C Shares................................. (301) (801) (78) (198) Distributions to shareholders from net realized gains on investments: Primary A Shares.................................. -- -- (1,406) (1,844) Investor A Shares................................. -- -- (29) (35) Investor B Shares................................. -- -- (4) (5) Investor C Shares................................. -- -- (4) (6) Net increase/(decrease) in net assets from Fund share transactions................................ (191,274) 178,797 (113,969) (142,143) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets............... (202,371) 180,707 (138,290) (135,980) NET ASSETS: Beginning of period................................. 1,248,745 1,068,038 1,888,951 2,024,931 -------------- -------------- -------------- -------------- End of period....................................... $ 1,046,374 $ 1,248,745 $ 1,750,661 $ 1,888,951 ============== ============== ============== ============== Undistributed net investment income at end of period............................................ $ 129 $ 129 $ 2,178 $ 2,178 ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 170 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 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ------------------------------------------------------------------------------------------------------- $ 14,773 $ 33,590 $ 2,168 $ 4,796 $ 5,928 $ 13,443 4,127 5,003 818 628 1,167 2,385 (13,597) 1,605 (2,537) 232 (4,776) (481) -------------- -------------- -------------- -------------- -------------- -------------- 5,303 40,198 449 5,656 2,319 15,347 (13,929) (31,568) (2,008) (4,293) (3,066) (7,104) (687) (1,597) (105) (380) (2,640) (5,823) (139) (307) (14) (30) (149) (327) (18) (54) (41) (93) (73) (181) -- -- (274) (759) (732) (1,546) -- -- (14) (73) (647) (1,337) -- -- (3) (7) (44) (89) -- -- (8) (23) (24) (50) (70,981) (106,047) (15,608) 8,611 (28,768) (27,584) -------------- -------------- -------------- -------------- -------------- -------------- (80,451) (99,375) (17,626) 8,609 (33,824) (28,694) 705,349 804,724 144,464 135,855 299,610 328,304 -------------- -------------- -------------- -------------- -------------- -------------- $ 624,898 $ 705,349 $ 126,838 $ 144,464 $ 265,786 $ 299,610 ============== ============== ============== ============== ============== ============== $ 1,889 $ 1,889 $ -- $ -- $ 493 $ 493 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 171 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FLORIDA INTERMEDIATE FLORIDA MUNICIPAL BOND MUNICIPAL BOND --------------------------------- -------------------------------- SIX MONTHS SIX MONTHS ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ---------------------------------------------------------------------- (IN THOUSANDS) Net investment income/(loss)........................ $ 3,952 $ 9,194 $ 2,029 $ 4,772 Net realized gain/(loss) on investments............. (579) 1,801 226 1,794 Net change in unrealized appreciation/(depreciation) of investments.................................... (3,183) (847) (1,790) (1,955) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations........................................ 190 10,148 465 4,611 Distributions to shareholders from net investment income: Primary A Shares.................................. (3,433) (8,006) (1,095) (2,625) Investor A Shares................................. (284) (639) (764) (1,743) Investor B Shares................................. (109) (262) (158) (378) Investor C Shares................................. (126) (287) (12) (26) Distributions to shareholders from net realized gains on investments: Primary A Shares.................................. (481) -- (466) (560) Investor A Shares................................. (42) -- (337) (405) Investor B Shares................................. (21) -- (88) (106) Investor C Shares................................. (24) -- (7) (7) Net increase/(decrease) in net assets from Fund share transactions................................ (33,620) (10,874) (9,494) (15,129) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets............... (37,950) (9,920) (11,956) (16,368) NET ASSETS: Beginning of period................................. 243,922 253,842 108,673 125,041 -------------- -------------- -------------- -------------- End of period....................................... $ 205,972 $ 243,922 $ 96,717 $ 108,673 ============== ============== ============== ============== Undistributed net investment income at end of period............................................ $ 150 $ 150 $ 351 $ 351 ============== ============== ============== ==============
--------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 172 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 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ------------------------------------------------------------------------------------------------------- $ 3,088 $ 6,952 $ 1,345 $ 3,297 $ 4,133 $ 9,255 293 137 365 1,298 (974) 1,056 (2,147) 697 (1,252) (1,073) (3,579) (1,148) -------------- -------------- -------------- -------------- -------------- -------------- 1,234 7,786 458 3,522 (420) 9,163 (2,504) (5,760) (1,279) (3,084) (3,293) (7,413) (408) (767) (69) (178) (574) (1,191) (108) (265) (4) (7) (225) (568) (68) (160) (2) (10) (41) (82) -- -- (650) (769) -- -- -- -- (39) (47) -- -- -- -- (3) (3) -- -- -- -- (1) (4) -- -- (13,369) (17,610) (8,644) (14,756) (21,570) (4,454) -------------- -------------- -------------- -------------- -------------- -------------- (15,223) (16,776) (10,233) (15,336) (26,123) (4,545) 167,325 184,101 81,576 96,912 243,638 248,183 -------------- -------------- -------------- -------------- -------------- -------------- $ 152,102 $ 167,325 $ 71,343 $ 81,576 $ 217,515 $ 243,638 ============== ============== ============== ============== ============== ============== $ 222 $ 222 $ 88 $ 97 $ 217 $ 217 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 173 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
NORTH CAROLINA INTERMEDIATE SOUTH CAROLINA INTERMEDIATE MUNICIPAL BOND MUNICIPAL BOND --------------------------------- -------------------------------- SIX MONTHS SIX MONTHS ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ---------------------------------------------------------------------- (IN THOUSANDS) Net investment income/(loss)........................ $ 4,207 $ 9,446 $ 4,617 $ 10,557 Net realized gain/(loss) on investments............. 35 1,083 737 1,513 Net change in unrealized appreciation/(depreciation) of investments.................................... (2,747) (842) (3,281) 1,866 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations........................................ 1,495 9,687 2,073 13,936 Distributions to shareholders from net investment income: Primary A Shares.................................. (3,456) (7,948) (3,859) (8,743) Investor A Shares................................. (475) (902) (481) (1,139) Investor B Shares................................. (235) (542) (147) (364) Investor C Shares................................. (41) (55) (130) (311) Distributions to shareholders from net realized gains on investments: Primary A Shares.................................. -- -- (203) (1,621) Investor A Shares................................. -- -- (26) (217) Investor B Shares................................. -- -- (10) (90) Investor C Shares................................. -- -- (9) (72) Net increase/(decrease) in net assets from Fund share transactions................................ (33,933) (10,771) (16,490) (16,922) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets............... (36,645) (10,531) (19,282) (15,543) NET ASSETS: Beginning of period................................. 236,315 246,846 247,832 263,375 -------------- -------------- -------------- -------------- End of period....................................... $ 199,670 $ 236,315 $ 228,550 $ 247,832 ============== ============== ============== ============== Undistributed net investment income at end of period............................................ $ 877 $ 877 $ 1,105 $ 1,105 ============== ============== ============== ==============
--------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 174 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 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ------------------------------------------------------------------------------------------------------- $ 1,132 $ 2,587 $ 4,676 $ 10,579 $ 6,682 $ 14,063 (85) 299 824 2,883 197 1,717 (460) (217) (3,130) (79) (3,915) (1,072) -------------- -------------- -------------- -------------- -------------- -------------- 587 2,669 2,370 13,383 2,964 14,708 (750) (1,867) (4,485) (10,146) (5,385) (11,252) (294) (547) (127) (293) (1,040) (2,219) (58) (120) (58) (137) (224) (519) (30) (54) (6) (3) (33) (73) (46) -- (223) -- (239) (7) (20) -- (7) -- (49) (2) (5) -- (4) -- (13) --* (3) -- --* -- (2) --* (1,215) (17,183) (16,932) (19,936) (13,532) (8,076) -------------- -------------- -------------- -------------- -------------- -------------- (1,834) (17,102) (19,472) (17,132) (17,553) (7,440) 59,102 76,204 260,442 277,574 356,013 363,453 -------------- -------------- -------------- -------------- -------------- -------------- $ 57,268 $ 59,102 $ 240,970 $ 260,442 $ 338,460 $ 356,013 ============== ============== ============== ============== ============== ============== $ 42 $ 42 $ 398 $ 398 $ 917 $ 917 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 175 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
SHORT-TERM MUNICIPAL INCOME SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 17,095 $ 176,288 65,687 $ 684,117 Issued as reinvestment of dividends....................... 27 280 72 750 Redeemed.................................................. (28,447) (293,065) (43,266) (450,438) ------- --------- ------- --------- Net increase/(decrease)................................... (11,325) $(116,497) 22,493 $ 234,429 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 1,310 $ 13,511 9,641 $ 100,422 Issued as reinvestment of dividends....................... 110 1,135 280 2,917 Redeemed.................................................. (7,275) (74,924) (12,721) (132,412) ------- --------- ------- --------- Net increase/(decrease)................................... (5,855) $ (60,278) (2,800) $ (29,073) ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... -- $ -- -- $ -- Issued as reinvestment of dividends....................... 1 7 1 10 Redeemed.................................................. (13) (134) (41) (423) ------- --------- ------- --------- Net increase/(decrease)................................... (12) $ (127) (40) $ (413) ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 246 $ 2,541 1,368 $ 14,254 Issued as reinvestment of dividends....................... 15 156 41 427 Redeemed.................................................. (1,657) (17,069) (3,922) (40,827) ------- --------- ------- --------- Net increase/(decrease)................................... (1,396) $ (14,372) (2,513) $ (26,146) ======= ========= ======= ========= Total net increase/(decrease)............................. (18,588) $(191,274) 17,140 $ 178,797 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 176 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 6,396 $ 65,064 30,097 $ 312,833 Issued as reinvestment of dividends....................... 81 811 126 1,302 Redeemed.................................................. (17,118) (173,588) (43,220) (447,978) ------- --------- ------- --------- Net increase/(decrease)................................... (10,641) $(107,713) (12,997) $(133,843) ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 434 $ 4,419 4,132 $ 43,019 Shares issued upon conversion from Investor B Shares...... 16 163 41 417 Issued as reinvestment of dividends....................... 28 285 63 656 Redeemed.................................................. (939) (9,527) (4,775) (49,545) ------- --------- ------- --------- Net increase/(decrease)................................... (461) $ (4,660) (539) $ (5,453) ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 11 $ 114 83 $ 863 Issued as reinvestment of dividends....................... 4 42 10 101 Shares redeemed upon conversion into Investor A Shares.... (16) (163) (41) (417) Redeemed.................................................. (37) (373) (160) (1,656) ------- --------- ------- --------- Net increase/(decrease)................................... (38) $ (380) (108) $ (1,109) ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 15 $ 152 196 $ 2,047 Issued as reinvestment of dividends....................... 2 25 8 85 Redeemed.................................................. (136) (1,393) (374) (3,870) ------- --------- ------- --------- Net increase/(decrease)................................... (119) $ (1,216) (170) $ (1,738) ======= ========= ======= ========= Total net increase/(decrease)............................. (11,259) $(113,969) (13,814) $(142,143) ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 177 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MUNICIPAL INCOME SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 773 $ 8,460 5,841 $ 64,705 Issued as reinvestment of dividends....................... 16 171 32 359 Redeemed.................................................. (7,051) (76,799) (14,215) (158,012) ------ -------- ------- --------- Net increase/(decrease)................................... (6,262) $(68,168) (8,342) $ (92,948) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 276 $ 2,999 3,479 $ 38,488 Shares issued upon conversion from Investor B Shares...... --* 2 3 38 Shares issued upon conversion from Investor C Shares...... 20 222 13 144 Issued as reinvestment of dividends....................... 31 339 77 849 Redeemed.................................................. (481) (5,241) (4,616) (51,170) ------ -------- ------- --------- Net increase/(decrease)................................... (154) $ (1,679) (1,044) $ (11,651) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 5 $ 51 43 $ 484 Issued as reinvestment of dividends....................... 6 63 13 145 Shares redeemed upon conversion into Investor A Shares.... --* (2) (3) (38) Redeemed.................................................. (63) (682) (163) (1,805) ------ -------- ------- --------- Net increase/(decrease)................................... (52) $ (570) (110) $ (1,214) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... --* $ 2 15 $ 161 Issued as reinvestment of dividends....................... 1 12 3 33 Shares redeemed upon conversion into Investor A Shares.... (20) (222) (13) (144) Redeemed.................................................. (33) (356) (26) (284) ------ -------- ------- --------- Net increase/(decrease)................................... (52) $ (564) (21) $ (234) ====== ======== ======= ========= Total net increase/(decrease)............................. (6,520) $(70,981) (9,517) $(106,047) ====== ======== ======= =========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 178 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
CALIFORNIA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 960 $ 9,385 2,897 $ 28,793 Issued as reinvestment of dividends....................... 22 213 67 670 Redeemed.................................................. (2,063) (20,109) (2,457) (24,560) ------ -------- ------ -------- Net increase/(decrease)................................... (1,081) $(10,511) 507 $ 4,903 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 109 $ 1,064 903 $ 9,032 Shares issued upon conversion for Investor B Shares....... --* --* -- -- Shares issued upon conversion for Investor C Shares....... --* --* -- -- Issued as reinvestment of dividends....................... 7 72 31 308 Redeemed.................................................. (534) (5,199) (707) (7,071) ------ -------- ------ -------- Net increase/(decrease)................................... (418) $ (4,063) 227 $ 2,269 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 10 $ 92 36 $ 360 Issued as reinvestment of dividends....................... 1 11 2 25 Shares redeemed upon conversion into Investor A Shares.... --* --* -- -- Redeemed.................................................. (27) (255) (5) (44) ------ -------- ------ -------- Net increase/(decrease)................................... (16) $ (152) 33 $ 341 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 5 $ 51 237 $ 2,392 Issued as reinvestment of dividends....................... 3 25 7 74 Shares redeemed upon conversion into Investor A Shares.... --* --* -- -- Redeemed.................................................. (99) (958) (138) (1,368) ------ -------- ------ -------- Net increase/(decrease)................................... (91) $ (882) 106 $ 1,098 ====== ======== ====== ======== Total net increase/(decrease)............................. (1,606) $(15,608) 873 $ 8,611 ====== ======== ====== ========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 179 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
CALIFORNIA MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 771 $ 5,692 2,246 $ 16,893 Issued as reinvestment of dividends....................... 64 462 139 1,062 Redeemed.................................................. (3,393) (24,803) (4,752) (35,789) ------ -------- ------ -------- Net increase/(decrease)................................... (2,558) $(18,649) (2,367) $(17,834) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 245 $ 1,809 3,334 $ 25,430 Issued as reinvestment of dividends....................... 271 1,982 571 4,329 Redeemed.................................................. (1,666) (12,308) (5,142) (38,965) ------ -------- ------ -------- Net increase/(decrease)................................... (1,150) $ (8,517) (1,237) $ (9,206) ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 7 $ 47 141 $ 1,082 Issued as reinvestment of dividends....................... 17 131 37 278 Redeemed.................................................. (128) (945) (200) (1,506) ------ -------- ------ -------- Net increase/(decrease)................................... (104) $ (767) (22) $ (146) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 65 $ 478 174 $ 1,336 Issued as reinvestment of dividends....................... 8 57 20 153 Redeemed.................................................. (187) (1,370) (253) (1,887) ------ -------- ------ -------- Net increase/(decrease)................................... (114) $ (835) (59) $ (398) ====== ======== ====== ======== Total net increase/(decrease)............................. (3,926) $(28,768) (3,685) $(27,584) ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 180 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
FLORIDA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 728 $ 7,690 3,779 $ 40,955 Issued as reinvestment of dividends....................... 5 52 7 80 Redeemed.................................................. (3,413) (36,103) (4,880) (52,499) ------ -------- ------ -------- Net increase/(decrease)................................... (2,680) $(28,361) (1,094) $(11,464) ------ -------- ------ -------- INVESTOR A SHARES: Sold...................................................... 119 $ 1,251 990 $ 10,710 Shares issued upon conversion from Investor B Shares...... 15 160 12 130 Issued as reinvestment of dividends....................... 13 136 24 255 Redeemed.................................................. (400) (4,219) (989) (10,698) ------ -------- ------ -------- Net increase/(decrease)................................... (253) $ (2,672) 37 $ 397 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 21 $ 228 93 $ 1,010 Issued as reinvestment of dividends....................... 6 68 13 140 Shares redeemed upon conversion into Investor A Shares.... (15) (160) (12) (130) Redeemed.................................................. (137) (1,453) (174) (1,874) ------ -------- ------ -------- Net increase/(decrease)................................... (125) $ (1,317) (80) $ (854) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 20 $ 216 284 $ 3,082 Issued as reinvestment of dividends....................... 2 28 7 74 Redeemed.................................................. (143) (1,514) (196) (2,109) ------ -------- ------ -------- Net increase/(decrease)................................... (121) $ (1,270) 95 $ 1,047 ====== ======== ====== ======== Total net increase/(decrease)............................. (3,179) $(33,620) (1,042) $(10,874) ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 181 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
FLORIDA MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 365 $ 3,532 792 $ 7,998 Issued as reinvestment of dividends....................... 9 83 9 88 Redeemed.................................................. (952) (9,198) (1,945) (19,511) ---- ------- ------ -------- Net increase/(decrease)................................... (578) $(5,583) (1,144) $(11,425) ==== ======= ====== ======== INVESTOR A SHARES: Sold...................................................... 292 $ 2,799 600 $ 5,988 Shares issued upon conversion from Investor B Shares...... 1 5 22 216 Issued as reinvestment of dividends....................... 62 593 112 1,127 Redeemed.................................................. (624) (6,044) (1,035) (10,367) ---- ------- ------ -------- Net increase/(decrease)................................... (269) $(2,647) (301) $ (3,036) ==== ======= ====== ======== INVESTOR B SHARES: Sold...................................................... 10 $ 99 68 $ 697 Issued as reinvestment of dividends....................... 12 117 22 225 Shares redeemed upon conversion into Investor A Shares.... (1) (5) (22) (216) Redeemed.................................................. (137) (1,328) (167) (1,671) ---- ------- ------ -------- Net increase/(decrease)................................... (116) $(1,117) (99) $ (965) ==== ======= ====== ======== INVESTOR C SHARES: Sold...................................................... 3 $ 32 43 $ 424 Issued as reinvestment of dividends....................... --* 2 --* 4 Redeemed.................................................. (19) (181) (13) (131) ---- ------- ------ -------- Net increase/(decrease)................................... (16) $ (147) 30 $ 297 ==== ======= ====== ======== Total net increase/(decrease)............................. (979) $(9,494) (1,514) $(15,129) ==== ======= ====== ========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 182 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
GEORGIA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 351 $ 3,767 1,168 $ 12,791 Issued as reinvestment of dividends....................... 1 10 2 18 Redeemed.................................................. (1,619) (17,338) (2,848) (30,998) ------ -------- ------ -------- Net increase/(decrease)................................... (1,267) $(13,561) (1,678) $(18,189) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 358 $ 3,844 588 $ 6,393 Shares issued upon conversion from Investor B Shares...... 35 376 9 103 Issued as reinvestment of dividends....................... 20 213 42 455 Redeemed.................................................. (302) (3,216) (383) (4,212) ------ -------- ------ -------- Net increase/(decrease)................................... 111 $ 1,217 256 $ 2,739 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 9 $ 97 59 $ 645 Issued as reinvestment of dividends....................... 7 72 16 175 Shares redeemed upon conversion into Investor A Shares.... (35) (376) (9) (103) Redeemed.................................................. (23) (245) (223) (2,439) ------ -------- ------ -------- Net increase/(decrease)................................... (42) $ (452) (157) $ (1,722) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 19 $ 209 203 $ 2,221 Issued as reinvestment of dividends....................... 4 44 9 102 Redeemed.................................................. (76) (826) (253) (2,761) ------ -------- ------ -------- Net increase/(decrease)................................... (53) $ (573) (41) $ (438) ====== ======== ====== ======== Total net increase/(decrease)............................. (1,251) $(13,369) (1,620) $(17,610) ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 183 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
KANSAS MUNICIPAL INCOME SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 97 $ 978 357 $ 3,720 Issued as reinvestment of dividends....................... 9 96 18 183 Redeemed.................................................. (959) (9,694) (1,560) (16,258) ---- ------- ------ -------- Net increase/(decrease)................................... (853) $(8,620) (1,185) $(12,355) ==== ======= ====== ======== INVESTOR A SHARES: Sold...................................................... 48 $ 493 72 $ 747 Issued as reinvestment of dividends....................... 3 32 10 100 Redeemed.................................................. (57) (572) (282) (2,954) ---- ------- ------ -------- Net increase/(decrease)................................... (6) $ (47) (200) $ (2,107) ==== ======= ====== ======== INVESTOR B SHARES: Sold...................................................... -- $ -- 5 $ 50 Issued as reinvestment of dividends....................... 1 6 1 10 Redeemed.................................................. -- -- (4) (39) ---- ------- ------ -------- Net increase/(decrease)................................... 1 $ 6 2 $ 21 ==== ======= ====== ======== INVESTOR C SHARES: Sold...................................................... 2 $ 14 1 $ 7 Issued as reinvestment of dividends....................... --* 3 1 13 Redeemed.................................................. -- -- (32) (335) ---- ------- ------ -------- Net increase/(decrease)................................... 2 $ 17 (30) $ (315) ==== ======= ====== ======== Total net increase/(decrease)............................. (856) $(8,644) (1,413) $(14,756) ==== ======= ====== ========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 184 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MARYLAND INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 478 $ 5,240 2,447 $ 27,555 Issued as reinvestment of dividends....................... 8 84 14 160 Redeemed.................................................. (2,030) (22,223) (2,848) (31,940) ------ -------- ------ -------- Net increase/(decrease)................................... (1,544) $(16,899) (387) $ (4,225) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 202 $ 2,222 749 $ 8,434 Shares issued upon conversion from Investor B Shares...... 54 597 87 982 Issued as reinvestment of dividends....................... 34 370 68 763 Redeemed.................................................. (493) (5,389) (701) (7,843) ------ -------- ------ -------- Net increase/(decrease)................................... (203) $ (2,200) 203 $ 2,336 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 10 $ 111 85 $ 959 Issued as reinvestment of dividends....................... 14 149 34 377 Shares redeemed upon conversion into Investor A Shares.... (54) (597) (87) (982) Redeemed.................................................. (215) (2,345) (265) (2,970) ------ -------- ------ -------- Net increase/(decrease)................................... (245) $ (2,682) (233) $ (2,616) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 27 $ 294 35 $ 399 Issued as reinvestment of dividends....................... 3 34 5 60 Redeemed.................................................. (11) (116) (36) (408) ------ -------- ------ -------- Net increase/(decrease)................................... 19 $ 211 4 $ 51 ====== ======== ====== ======== Total net increase/(decrease)............................. (1,973) $(21,570) (413) $ (4,454) ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 185 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
NORTH CAROLINA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 560 $ 5,979 2,335 $ 25,368 Issued as reinvestment of dividends....................... 5 50 7 78 Redeemed.................................................. (3,608) (38,344) (3,355) (36,268) ------ -------- ------ -------- Net increase/(decrease)................................... (3,043) $(32,315) (1,013) $(10,822) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 407 $ 4,383 631 $ 6,862 Shares issued upon conversion from Investor B Shares...... 25 264 123 1,339 Issued as reinvestment of dividends....................... 32 341 61 666 Redeemed.................................................. (628) (6,698) (642) (6,969) ------ -------- ------ -------- Net increase/(decrease)................................... (164) $ (1,710) 173 $ 1,898 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 26 $ 276 103 $ 1,124 Issued as reinvestment of dividends....................... 16 167 35 377 Shares redeemed upon conversion into Investor A Shares.... (25) (264) (123) (1,339) Redeemed.................................................. (128) (1,348) (219) (2,373) ------ -------- ------ -------- Net increase/(decrease)................................... (111) $ (1,169) (204) $ (2,211) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 181 $ 1,932 82 $ 891 Issued as reinvestment of dividends....................... 1 11 2 22 Redeemed.................................................. (64) (682) (51) (549) ------ -------- ------ -------- Net increase/(decrease)................................... 118 $ 1,261 33 $ 364 ====== ======== ====== ======== Total net increase/(decrease)............................. (3,200) $(33,933) (1,011) $(10,771) ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 186 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SOUTH CAROLINA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 478 $ 5,045 1,561 $ 16,782 Issued as reinvestment of dividends....................... 10 101 23 244 Redeemed.................................................. (1,684) (17,784) (2,808) (30,272) ------ -------- ------ -------- Net increase/(decrease)................................... (1,196) $(12,638) (1,224) $(13,246) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 500 $ 5,289 675 $ 7,304 Shares issued upon conversion from Investor B Shares...... 36 375 70 755 Issued as reinvestment of dividends....................... 26 276 70 758 Redeemed.................................................. (754) (7,944) (944) (10,171) ------ -------- ------ -------- Net increase/(decrease)................................... (192) $ (2,004) (129) $ (1,354) ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 14 $ 146 95 $ 1,020 Issued as reinvestment of dividends....................... 10 108 29 315 Shares redeemed upon conversion into Investor A Shares.... (36) (375) (70) (755) Redeemed.................................................. (99) (1,047) (187) (2,011) ------ -------- ------ -------- Net increase/(decrease)................................... (111) $ (1,168) (133) $ (1,431) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 78 $ 817 340 $ 3,683 Issued as reinvestment of dividends....................... 5 51 14 148 Redeemed.................................................. (148) (1,548) (441) (4,722) ------ -------- ------ -------- Net increase/(decrease)................................... (65) $ (680) (87) $ (891) ====== ======== ====== ======== Total net increase/(decrease)............................. (1,564) $(16,490) (1,573) $(16,922) ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 187 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
TENNESSEE INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 393 $ 4,093 1,248 $ 13,251 Issued as reinvestment of dividends....................... 1 7 1 10 Redeemed.................................................. (475) (4,987) (2,870) (30,607) ---- ------- ------ -------- Net increase/(decrease)................................... (81) $ (887) (1,621) $(17,346) ==== ======= ====== ======== INVESTOR A SHARES: Sold...................................................... 148 $ 1,556 687 $ 7,372 Shares issued upon conversion from Investor B Shares...... 2 18 1 7 Issued as reinvestment of dividends....................... 20 211 34 362 Redeemed.................................................. (154) (1,613) (731) (7,770) ---- ------- ------ -------- Net increase/(decrease)................................... 16 $ 172 (9) $ (29) ==== ======= ====== ======== INVESTOR B SHARES: Sold...................................................... 1 $ 7 12 $ 122 Issued as reinvestment of dividends....................... 4 46 8 87 Shares redeemed upon conversion into Investor A Shares.... (2) (18) (1) (7) Redeemed.................................................. (18) (193) (68) (730) ---- ------- ------ -------- Net increase/(decrease)................................... (15) $ (158) (49) $ (528) ==== ======= ====== ======== INVESTOR C SHARES: Sold...................................................... 9 $ 92 112 $ 1,191 Issued as reinvestment of dividends....................... 3 26 4 38 Redeemed.................................................. (44) (460) (48) (509) ---- ------- ------ -------- Net increase/(decrease)................................... (32) $ (342) 68 $ 720 ==== ======= ====== ======== Total net increase/(decrease)............................. (112) $(1,215) (1,611) $(17,183) ==== ======= ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 188 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
TEXAS INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 199 $ 2,066 1,103 $ 11,604 Issued as reinvestment of dividends....................... 2 23 2 20 Redeemed.................................................. (1,749) (18,136) (2,814) (29,670) ------ -------- ------ -------- Net increase/(decrease)................................... (1,548) $(16,047) (1,709) $(18,046) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 46 $ 475 144 $ 1,529 Shares issued upon conversion from Investor B Shares...... --* 4 1 11 Issued as reinvestment of dividends....................... 4 43 10 100 Redeemed.................................................. (98) (1,023) (294) (3,094) ------ -------- ------ -------- Net increase/(decrease)................................... (48) $ (501) (139) $ (1,454) ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 5 $ 49 14 $ 148 Issued as reinvestment of dividends....................... 3 30 6 64 Shares redeemed upon conversion into Investor A Shares.... --* (4) (1) (11) Redeemed.................................................. (46) (463) (97) (1,020) ------ -------- ------ -------- Net increase/(decrease)................................... (38) $ (388) (78) $ (819) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... --* $ 5 41 $ 439 Issued as reinvestment of dividends....................... --* 2 --* 2 Redeemed.................................................. --* (3) (6) (58) ------ -------- ------ -------- Net increase/(decrease)................................... --* $ 4 35 $ 383 ====== ======== ====== ======== Total net increase/(decrease)............................. (1,634) $(16,932) (1,891) $(19,936) ====== ======== ====== ========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 189 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
VIRGINIA INTERMEDIATE MUNICIPAL BOND SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,913 $ 21,005 5,830 $ 65,342 Issued as reinvestment of dividends....................... 4 40 5 51 Redeemed.................................................. (2,846) (31,099) (6,527) (72,670) ------ -------- ------ -------- Net increase/(decrease)................................... (929) $(10,054) (692) $ (7,277) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 135 $ 1,473 716 $ 8,026 Shares issued upon conversion from Investor B Shares...... 24 269 31 349 Issued as reinvestment of dividends....................... 68 751 133 1,488 Redeemed.................................................. (438) (4,805) (879) (9,807) ------ -------- ------ -------- Net increase/(decrease)................................... (211) $ (2,312) 1 $ 56 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 6 $ 66 79 $ 890 Issued as reinvestment of dividends....................... 14 156 31 342 Shares redeemed upon conversion into Investor A Shares.... (24) (269) (31) (349) Redeemed.................................................. (91) (996) (212) (2,349) ------ -------- ------ -------- Net increase/(decrease)................................... (95) $ (1,043) (133) $ (1,466) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 3 $ 31 79 $ 885 Issued as reinvestment of dividends....................... 2 24 5 52 Redeemed.................................................. (16) (178) (29) (326) ------ -------- ------ -------- Net increase/(decrease)................................... (11) $ (123) 55 $ 611 ====== ======== ====== ======== Total net increase/(decrease)............................. (1,246) $(13,532) (769) $ (8,076) ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 190 [This page intentionally left blank] 191 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 9/30/2004# (unaudited)... $10.42 $0.12 $(0.09) $ 0.03 $(0.12) Year ended 3/31/2004...................... 10.40 0.22 0.02 0.24 (0.22) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.42 $0.10 $(0.09) $ 0.01 $(0.10) Year ended 3/31/2004...................... 10.40 0.20 0.02 0.22 (0.20) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.42 $0.06 $(0.09) $(0.03) $(0.06) Year ended 3/31/2004...................... 10.40 0.12 0.02 0.14 (0.12) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.42 $0.06 $(0.09) $(0.03) $(0.06) Year ended 3/31/2004...................... 10.40 0.12 0.02 0.14 (0.12) 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)
--------------- * 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%. (b)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 192 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 INCOME/(LOSS) PORTFOLIO EXPENSES TO VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ---------------------------------------------------------------------------------------------------------- $10.33 0.26% $ 883,694 0.40%+(a) 2.25%+ 9% 0.58%+ 10.42 2.34 1,009,036 0.40(a) 2.12 20 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 $10.33 0.14% $ 119,806 0.65%+(a) 2.00%+(b) 9% 0.83%+ 10.42 2.09 181,802 0.65(a) 1.87 20 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 $10.33 (0.24)% $ 1,217 1.40%+(a) 1.25%+ 9% 1.58%+ 10.42 1.33 1,356 1.40(a) 1.12 20 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 $10.33 (0.24)% $ 41,657 1.40%+(a) 1.25%+ 9% 1.58%+ 10.42 1.33 56,551 1.40%(a) 1.12 20 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
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 -------------------------------------------------------------------------- INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $10.40 $0.21 $(0.11) $ 0.10 $(0.21) Year ended 3/31/2004#..................... 10.36 0.41 0.05 0.46 (0.41) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.40 $0.19 $(0.11) $ 0.08 $(0.19) Year ended 3/31/2004#..................... 10.36 0.39 0.05 0.44 (0.39) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.40 $0.15 $(0.11) $ 0.04 $(0.15) Year ended 3/31/2004#..................... 10.36 0.31 0.05 0.36 (0.31) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.40 $0.15 $(0.11) $ 0.04 $(0.15) Year ended 3/31/2004#..................... 10.36 0.31 0.05 0.36 (0.31) 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)
--------------- * 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%. (b)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without the waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.67% for Primary A, 0.92% for Investor A Shares and 1.67% each for Investor B and Investor C Shares. (c)The reimbursement from investment advisor is included in the ratio of operating expenses to average net assets (with waivers). The effect of this reimbursement on the operating expenses ratio (with waivers) was less than 0.01%. (d)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 9) is included in the ratio of operating expenses to average net assets without the waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.68% for Primary A, 0.93% for Investor A Shares and 1.68% each for Investor B and Investor C Shares. (e)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 194 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ----------------- RATIO OF RATIO OF RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS -------------------------------------------------------------------------------------------------------------------------------- $(0.01) $(0.22) $10.28 0.94% $1,707,351 0.50%+(a) 4.03%+ 10% 0.71%+(d) (0.01) (0.42) 10.40 4.58 1,838,690 0.50(a)(c) 4.00 17 0.70(b) (0.02) (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 (0.02) (0.49) 9.78 (0.27) 849,966 0.50(a) 4.75 30 0.70 $(0.01) $(0.20) $10.28 0.81% $ 33,990 0.75%+(a) 3.78%+(e) 10% 0.96%+(d) (0.01) (0.40) 10.40 4.32 39,198 0.75(a)(c) 3.75 17 0.95(b) (0.02) (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 (0.02) (0.47) 9.78 (0.49) 19,782 0.73(a) 4.52 30 0.95 $(0.01) $(0.16) $10.28 0.44% $ 4,647 1.50%+(a) 3.03%+ 10% 1.71%+(d) (0.01) (0.32) 10.40 3.54 5,092 1.50(a)(c) 3.00 17 1.70(b) (0.02) (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 (0.02) (0.40) 9.78 (1.18) 2,733 1.42(a) 3.83 30 1.70 $(0.01) $(0.16) $10.28 0.44% $ 4,673 1.50%+(a) 3.03%+ 10% 1.71%+(d) (0.01) (0.32) 10.40 3.55 5,970 1.50(a)(c) 3.00 17 1.70(b) (0.02) (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 (0.02) (0.40) 9.78 (1.19) 539 1.50(a) 3.75 30 1.70
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 --------------------------------------------------------------------------- MUNICIPAL INCOME PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $11.16 $0.25 $(0.14) $ 0.11 $(0.25) Year ended 3/31/2004...................... 11.07 0.50 0.09 0.59 (0.50) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $11.16 $0.24 $(0.14) $ 0.10 $(0.24) Year ended 3/31/2004...................... 11.06 0.47 0.10 0.57 (0.47) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $11.16 $0.20 $(0.14) $ 0.06 $(0.20) Year ended 3/31/2004...................... 11.06 0.39 0.10 0.49 (0.39) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $11.16 $0.20 $(0.13) $ 0.07 $(0.20) Year ended 3/31/2004...................... 11.07 0.39 0.09 0.48 (0.39) 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)
--------------- * 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%. (b)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.78% for Primary A Shares, 1.03% for Investor A Shares and 1.78% each for Investor B and Investor C shares. (c)The reimbursement from investment advisor is included in the ratio of operating expenses to average net assets (with waivers). Absent this reimbursement, the ratios of operating expenses to average net assets would have been 0.60% for Primary A, 0.85% for Investor A, and 1.60% each for Investor B and Investor C Shares. (d)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 9) is included in the ratio of operating expenses to average net assets without the waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.80% for Primary A, 1.05% for Investor A Shares and 1.80% each for Investor B and Investor C Shares. (e)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 196 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS --------------------------------------------------------------------------------------------------------------------------------- $ -- $(0.25) $11.02 1.04% $585,223 0.60%+(a) 4.60%+ 6% 0.83%+(d) 0.00 (0.50) 11.16 5.44 662,303 0.59(a)(c) 4.50 8 0.81(b) -- (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 (0.01) (0.55) 10.69 (2.08) 552,650 0.60(a) 4.99 36 0.82 $ -- $(0.24) $11.02 0.92% $ 31,452 0.85%+(a) 4.35%+ 6% 1.08%+(d) 0.00 (0.47) 11.16 5.28 33,557 0.84(a)(c) 4.25 8 1.06(b) -- (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 (0.01) (0.53) 10.68 (2.28) 35,937 0.83(a) 4.76 36 1.07 $ -- $(0.20) $11.02 0.54% $ 7,440 1.60%+(a) 3.60%+ 6% 1.83%+(d) 0.00 (0.39) 11.16 4.49 8,117 1.59(a)(c) 3.50 8 1.81(b) -- (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 (0.01) (0.45) 10.69 (2.99) 8,795 1.53(a) 4.06 36 1.82 $ -- $(0.20) $11.03 0.63% $ 783 1.60%+(a) 3.60%+(e) 6% 1.83%+(d) 0.00 (0.39) 11.16 4.40 1,372 1.59(a)(c) 3.50 8 1.81(b) -- (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 (0.01) (0.45) 10.69 (3.03) 1,418 1.60(a) 3.99 36 1.82
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 -------------------------------------------------------------------------- CALIFORNIA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2004 (unaudited).... $ 9.99 $0.16 $(0.10) $0.06 $(0.16) Year ended 3/31/2004...................... 10.00 0.34 0.05 0.39 (0.34) Period ended 3/31/2003.................... 10.00 0.22 0.07 0.29 (0.22) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $10.01 $0.15 $(0.10) $0.05 $(0.15) Year ended 3/31/2004...................... 10.02 0.32 0.05 0.37 (0.32) Period ended 3/31/2003.................... 10.00 0.18 0.09 0.27 (0.18) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited).... $10.00 $0.12 $(0.10) $0.02 $(0.12) Year ended 3/31/2004...................... 10.01 0.24 0.05 0.29 (0.24) Period ended 3/31/2003.................... 10.00 0.15 0.08 0.23 (0.15) INVESTOR C SHARES Six months ended 9/30/2004 (unaudited).... $10.01 $0.12 $(0.10) $0.02 $(0.12) Year ended 3/31/2004...................... 10.02 0.24 0.05 0.29 (0.24) Period ended 3/31/2003.................... 10.00 0.14 0.09 0.23 (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 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)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 198 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS --------------------------------------------------------------------------------------------------------------------------- $(0.02) $(0.18) $ 9.87 0.71% $116,710 0.50%+(a) 3.37%+ 7% 0.77%+ (0.06) (0.40) 9.99 3.99 128,957 0.50(a) 3.40 12 0.74 (0.07) (0.29) 10.00 2.94 124,009 0.50(a)+ 3.61+ 19 0.77+ $(0.02) $(0.17) $ 9.89 0.59% $ 5,891 0.75%+(a) 3.12%+(b) 7% 1.02%+ (0.06) (0.38) 10.01 3.72 10,152 0.75(a) 3.15 12 0.99 (0.07) (0.25) 10.02 1.42 7,884 0.75(a)+ 3.36+ 19 1.02+ $(0.02) $(0.14) $ 9.88 0.21% $ 1,111 1.50%+(a) 2.37%+ 7% 1.77%+ (0.06) (0.30) 10.00 2.95 1,280 1.50(a) 2.40 12 1.74 (0.07) (0.22) 10.01 1.91 945 1.50(a)+ 2.61+ 19 1.77+ $(0.02) $(0.14) $ 9.89 0.21% $ 3,126 1.50%+(a) 2.37%+ 7% 1.77%+ (0.06) (0.30) 10.01 2.95 4,075 1.50(a) 2.40 12 1.74 (0.07) (0.21) 10.02 0.96 3,017 1.50(a)+ 2.61+ 19 1.77+
SEE NOTES TO FINANCIAL STATEMENTS. 199 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET INCREASE/ NET ASSET NET REALIZED (DECREASE) IN DIVIDENDS VALUE NET AND UNREALIZED NET ASSET VALUE FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON FROM INVESTMENT OF PERIOD INCOME/(LOSS)# INVESTMENTS OPERATIONS INCOME -------------------------------------------------------------------------- CALIFORNIA MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $7.58 $0.17 $(0.08) $ 0.09 $(0.17) Year ended 3/31/2004#..................... 7.60 0.34 0.05 0.39 (0.34) 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 9/30/2004# (unaudited)... $7.59 $0.16 $(0.07) $ 0.09 $(0.16) Year ended 3/31/2004#..................... 7.61 0.32 0.05 0.37 (0.32) 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) INVESTOR B SHARES** Six months ended 9/30/2004# (unaudited)... $7.60 $0.13 $(0.08) $ 0.05 $(0.13) Year ended 3/31/2004#..................... 7.61 0.26 0.06 0.32 (0.26) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $7.57 $0.13 $(0.07) $ 0.06 $(0.13) Year ended 3/31/2004#..................... 7.59 0.26 0.05 0.31 (0.26) 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)
--------------- * 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. + 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 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. **** 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. # 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 non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.80% for Primary A Shares, 1.05% for Investor A Shares and 1.80% each for Investor B and Investor C shares. (c)The reimbursement from investment advisor is included in the ratio of operating expenses to average net assets (with waivers). The effect of this reimbursement on the operating expenses ratio (with waivers) was less than 0.01%. (d)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 9) is included in the ratio of operating expenses to average net assets without the waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.82% for Primary A, 1.07% for Investor A Shares and 1.82% each for Investor B and Investor C Shares. (e)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 200 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ----------------------------------------------------------------------------------------------------------------------------- $(0.04) $(0.21) $7.46 1.18% $131,428 0.60%+(a) 4.49%+ 3% 0.85%+(d) (0.07) (0.41) 7.58 5.26 152,819 0.60(a)(c) 4.45 10 0.83(b) (0.01) (0.35) 7.60 9.37 171,155 0.60(a) 4.56 6 0.82 (0.03) (0.38) 7.28 2.85 57,803 0.60 4.71 8 0.85 (0.02) (0.38) 7.45 10.05 37,285 0.60(a) 5.04 20 0.82 (0.02) (0.32) 7.13 (0.66) 21,654 0.60+(a) 4.70+ 34 0.79+ $(0.04) $(0.20) $7.48 1.19% $122,474 0.85%+(a) 4.24%+ 3% 1.10%+(d)(e) (0.07) (0.39) 7.59 4.99 133,077 0.85(a)(c) 4.20 10 1.08(b) (0.01) (0.33) 7.61 9.09 142,798 0.85(a) 4.31 6 1.07 (0.03) (0.36) 7.29 2.45 145,567 0.85 4.46 8 1.10 (0.02) (0.36) 7.47 9.93 149,282 0.83(a) 4.81 20 1.07 (0.02) (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+ $(0.04) $(0.17) $7.48 0.68% $ 8,293 1.60%+(a) 3.49%+ 3% 1.85%+(d)(e) (0.07) (0.33) 7.60 4.34 9,203 1.60(a)(c) 3.45 10 1.83(b) (0.01) (0.28) 7.61 8.27 9,390 1.60(a) 3.56 6 1.82 (0.03) (0.31) 7.29 1.68 7,458 1.60 3.71 8 1.85 (0.02) (0.31) 7.47 9.15 5,729 1.55(a) 4.09 20 1.82 (0.02) (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+ $(0.04) $(0.17) $7.46 0.82% $ 3,591 1.60%+(a) 3.49%+ 3% 1.85%+(d)(e) (0.07) (0.33) 7.57 4.22 4,510 1.60(a)(c) 3.45 10 1.83(b) (0.01) (0.28) 7.59 8.30 4,961 1.60(a) 3.56 6 1.82 (0.03) (0.31) 7.27 1.82 3,265 1.60 3.71 8 1.85 (0.02) (0.31) 7.44 8.97 1,191 1.60(a) 4.04 20 1.82 (0.02) (0.21) 7.12 0.30 258 1.60+(a) 3.70+ 34 1.79+
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 ------------------------------------------------------------------------- FLORIDA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $10.87 $0.20 $(0.15) $ 0.05 $(0.20) Year ended 3/31/2004#..................... 10.81 0.41 0.06 0.47 (0.41) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.86 $0.18 $(0.15) $ 0.03 $(0.18) Year ended 3/31/2004#..................... 10.80 0.38 0.06 0.44 (0.38) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.87 $0.14 $(0.15) $(0.01) $(0.14) Year ended 3/31/2004#..................... 10.81 0.30 0.06 0.36 (0.30) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.88 $0.14 $(0.15) $(0.01) $(0.14) Year ended 3/31/2004#..................... 10.82 0.30 0.06 0.36 (0.30) 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)
--------------- * 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. 202 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS -------------------------------------------------------------------------------------------------------------------------------- $(0.03) $(0.23) $10.69 0.44% $173,933 0.50%+(a) 3.70%+ 1% 0.73%+ -- (0.41) 10.87 4.43 205,937 0.50(a) 3.78 25 0.71 -- (0.46) 10.81 6.94 216,624 0.50(a) 4.29 20 0.72 -- (0.50) 10.55 3.28 211,928 0.50(a) 4.65 15 0.73 -- (0.51) 10.70 8.59 240,441 0.50(a) 4.82 6 0.71 -- (0.50) 10.34 0.54 207,704 0.50(a) 4.80 12 0.74 $(0.03) $(0.21) $10.68 0.31% $ 15,841 0.75%+(a) 3.45%+ 1% 0.98%+ -- (0.38) 10.86 4.17 18,854 0.75(a) 3.53 25 0.96 -- (0.43) 10.80 6.68 18,358 0.75(a) 4.04 20 0.97 -- (0.47) 10.54 3.03 8,530 0.75(a) 4.40 15 0.98 -- (0.48) 10.69 8.33 5,319 0.75(a) 4.57 6 0.96 -- (0.48) 10.33 0.22 9,695 0.73(a) 4.57 12 0.99 $(0.03) $(0.17) $10.69 (0.06)% $ 7,406 1.50%+(a) 2.70%+ 1% 1.73%+ -- (0.30) 10.87 3.39 8,885 1.50(a) 2.78 25 1.71 -- (0.35) 10.81 5.87 9,700 1.50(a) 3.29 20 1.72 -- (0.39) 10.55 2.26 5,700 1.50(a) 3.65 15 1.73 -- (0.40) 10.70 7.52 4,429 1.50(a) 3.82 6 1.71 -- (0.41) 10.34 (0.38) 4,639 1.41(a) 3.89 12 1.74 $(0.03) $(0.17) $10.70 (0.06)% $ 8,792 1.50%+(a) 2.70%+ 1% 1.73%+ -- (0.30) 10.88 3.38 10,246 1.50(a) 2.78 25 1.71 -- (0.35) 10.82 5.85 9,160 1.50(a) 3.29 20 1.72 -- (0.39) 10.56 2.12 2,116 1.50(a) 3.65 15 1.73 -- (0.40) 10.72 7.49 172 1.50(a) 3.82 6 1.71 -- (0.40) 10.36 (0.26) 117 1.50(a) 3.80 12 1.74
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 ------------------------------------------------------------------------- FLORIDA MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $10.02 $0.21 $(0.13) $ 0.08 $(0.21) Year ended 3/31/2004#..................... 10.11 0.43 --## 0.43 (0.43) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.02 $0.20 $(0.13) $ 0.07 $(0.20) Year ended 3/31/2004#..................... 10.11 0.41 --## 0.41 (0.41) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.01 $0.16 $(0.13) $ 0.03 $(0.16) Year ended 3/31/2004#..................... 10.11 0.33 (0.01) 0.32 (0.33) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.00 $0.16 $(0.13) $ 0.03 $(0.16) Year ended 3/31/2004#..................... 10.10 0.33 (0.01) 0.32 (0.33) 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)
--------------- * 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. ## Amount represents less than $0.01 per share. (a)The effect of interest expense on the operating expense ratio was less than 0.01%. (b)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 204 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS --------------------------------------------------------------------------------------------------------------------------------- $(0.09) $(0.30) $ 9.80 0.86% $49,680 0.60%+(a) 4.30%+ 0% 0.90%+ (0.09) (0.52) 10.02 4.46 56,578 0.60(a) 4.32 8 0.86 (0.18) (0.64) 10.11 9.76 68,698 0.60(a) 4.53 21 0.85 (0.05) (0.52) 9.81 3.55 75,300 0.60(a) 4.76 5 0.87 (0.01) (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 $(0.09) $(0.29) $ 9.80 0.73% $37,110 0.85%+(a) 4.05%+ 0% 1.15%+ (0.09) (0.50) 10.02 4.20 40,630 0.85(a) 4.07 8 1.11 (0.18) (0.61) 10.11 9.49 44,073 0.85(a) 4.28 21 1.10 (0.05) (0.50) 9.81 3.29 43,619 0.85(a) 4.51 5 1.12 (0.01) (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 $(0.09) $(0.25) $ 9.79 0.36% $ 9,279 1.60%+(a) 3.30%+ 0% 1.90%+ (0.09) (0.42) 10.01 3.33 10,648 1.60(a) 3.32 8 1.86 (0.18) (0.54) 10.11 8.67 11,745 1.60(a) 3.53 21 1.85 (0.05) (0.42) 9.81 2.52 10,419 1.60(a) 3.76 5 1.87 (0.01) (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 $(0.09) $(0.25) $ 9.78 0.36% $ 648 1.60%+(a) 3.30%+(b) 0% 1.90%+ (0.09) (0.42) 10.00 3.32 817 1.60(a) 3.32 8 1.86 (0.18) (0.54) 10.10 8.68 525 1.60(a) 3.53 21 1.85 (0.05) (0.42) 9.80 2.51 278 1.60(a) 3.76 5 1.87 (0.01) (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
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 ------------------------------------------------------------------------- GEORGIA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $10.98 $0.22 $(0.10) $ 0.12 $(0.22) Year ended 3/31/2004#..................... 10.92 0.45 0.06 0.51 (0.45) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.98 $0.21 $(0.10) $ 0.11 $(0.21) Year ended 3/31/2004#..................... 10.92 0.42 0.06 0.48 (0.42) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.99 $0.17 $(0.11) $ 0.06 $(0.17) Year ended 3/31/2004#..................... 10.92 0.34 0.07 0.41 (0.34) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.98 $0.17 $(0.10) $ 0.07 $(0.17) Year ended 3/31/2004#..................... 10.92 0.34 0.06 0.40 (0.34) 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)
--------------- * 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. 206 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ----------------------------------------------------------------------------------------------------------------------------- $ -- $(0.22) $10.88 1.12% $118,146 0.50%+(a) 4.06%+ 2% 0.75%+ -- (0.45) 10.98 4.73 133,207 0.50(a) 4.08 11 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 (0.01) (0.51) 10.42 (0.02) 121,948 0.50(a) 4.69 28 0.78 $ -- $(0.21) $10.88 1.00% $ 22,881 0.75%+(a) 3.81%+ 2% 1.00%+ -- (0.42) 10.98 4.47 21,887 0.75(a) 3.83 11% 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 (0.01) (0.48) 10.42 (0.27) 13,244 0.73(a) 4.46 28 1.03 $ -- $(0.17) $10.88 0.53% $ 6,932 1.50%+(a) 3.06%+ 2% 1.75%+ -- (0.34) 10.99 3.79 7,462 1.50(a) 3.08 11 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 (0.01) (0.41) 10.42 (0.96) 6,812 1.41(a) 3.78 28 1.78 $ -- $(0.17) $10.88 0.62% $ 4,142 1.50%+(a) 3.06%+ 2% 1.75%+ -- (0.34) 10.98 3.69 4,769 1.50(a) 3.08 11 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 (0.01) (0.40) 10.42 (1.13) 764 1.50(a) 3.69 28 1.78
SEE NOTES TO FINANCIAL STATEMENTS. 207 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET INCREASE/ NET ASSET NET REALIZED (DECREASE) IN DIVIDENDS VALUE NET AND UNREALIZED NET ASSET VALUE FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON FROM INVESTMENT OF PERIOD INCOME/(LOSS)# INVESTMENTS OPERATIONS INCOME -------------------------------------------------------------------------- KANSAS MUNICIPAL INCOME PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $10.39 $0.19 $(0.11) $0.08 $(0.19) Year ended 3/31/2004...................... 10.46 0.38 0.02 0.40 (0.38) 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 9/30/2004# (unaudited)... $10.38 $0.17 $(0.10) $0.07 $(0.17) Year ended 3/31/2004...................... 10.45 0.36 0.02 0.38 (0.36) 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 9/30/2004# (unaudited)... $10.37 $0.14 $(0.10) $0.04 $(0.14) Year ended 3/31/2004...................... 10.44 0.28 0.02 0.30 (0.28) 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 9/30/2004# (unaudited)... $10.36 $0.14 $(0.10) $0.04 $(0.14) Year ended 3/31/2004...................... 10.43 0.28 0.02 0.30 (0.28) Period ended 3/31/2003**.................. 10.00 0.22 0.45 0.67 (0.22)
--------------- * 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 440%. 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. 208 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS --------------------------------------------------------------------------------------------------------------------------- $(0.09) $(0.28) $10.19 0.84% $ 66,689 0.60%+(a) 3.65%+ 7% 0.96%+ (0.09) (0.47) 10.39 3.99 76,800 0.60(a) 3.70 12 0.88 (0.02) (0.44) 10.46 7.45 89,718 0.60(a) 4.07 42 0.90 (0.01) (0.46) 10.16 2.84 98,506 0.60(a) 4.40 13 0.91 0.00 (0.31) 10.33 6.60 111,226 0.60+(a) 4.44+(a) 17 0.93+(a) $(0.09) $(0.26) $10.19 0.81% $ 4,233 0.85%+(a) 3.40%+ 7% 1.21%+ (0.09) (0.45) 10.38 3.73 4,370 0.85(a) 3.45 12 1.13 (0.02) (0.42) 10.45 7.19 6,489 0.85(a) 3.82 42 1.15 (0.01) (0.44) 10.15 2.49 3,115 0.85(a) 4.15 13 1.16 0.00 (0.27) 10.33 5.66 646 0.85+(a) 4.19+(a) 17 1.18+(a) $(0.09) $(0.23) $10.18 0.43% $ 282 1.60%+(a) 2.65%+ 7% 1.96%+ (0.09) (0.37) 10.37 2.96 281 1.60(a) 2.70 12 1.88 (0.02) (0.34) 10.44 6.39 262 1.60(a) 3.07 42 1.90 (0.01) (0.36) 10.14 1.62 25 1.60(a) 3.40 13 1.91 0.00 (0.20) 10.32 4.78 262 1.60+(a) 3.44+(a) 17 1.93+(a) $(0.09) $(0.23) $10.17 0.43% $ 139 1.60%+(a) 2.65%+ 7% 1.96%+ (0.09) (0.37) 10.36 2.99 125 1.60(a) 2.70 12 1.88 (0.02) (0.24) 10.43 3.04 443 1.60(a)+ 3.07+ 42 1.90+
SEE NOTES TO FINANCIAL STATEMENTS. 209 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 9/30/2004# (unaudited)... $11.23 $0.21 $(0.21) $ --## $(0.21) Year ended 3/31/2004#..................... 11.22 0.45 --## 0.45 (0.44) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $11.22 $0.20 $(0.20) $ --## $(0.20) Year ended 3/31/2004#..................... 11.22 0.41 --## 0.41 (0.41) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $11.23 $0.16 $(0.20) $(0.04) $(0.16) Year ended 3/31/2004#..................... 11.22 0.33 --## 0.33 (0.32) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $11.23 $0.16 $(0.21) $(0.05) $(0.16) Year ended 3/31/2004#..................... 11.22 0.33 --## 0.33 (0.32) 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)
--------------- * 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. ## 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. 210 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------------------- $ -- $(0.21) $11.02 0.03% $167,991 0.50%+(a) 3.82%+ 0% 0.73%+ -- (0.44) 11.23 4.05 188,400 0.50(a) 3.89 19 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 (0.01) (0.51) 10.58 0.17 169,218 0.50 4.65 21 0.76 $ -- $(0.20) $11.02 (0.01)% $ 31,603 0.75%+(a) 3.57%+ 0% 0.98%+ -- (0.41) 11.22 3.70 34,458 0.75(a) 3.64 19 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 (0.01) (0.48) 10.58 (0.06) 16,454 0.73 4.42 21 1.01 $ -- $(0.16) $11.03 (0.38)% $ 14,931 1.50%+(a) 2.82%+ 0% 1.73%+ -- (0.32) 11.23 3.02 17,955 1.50(a) 2.89 19 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 (0.01) (0.41) 10.58 (0.74) 5,662 1.42 3.73 21 1.76 $ -- $(0.16) $11.02 (0.47)% $ 2,990 1.50%+(a) 2.82%+ 0% 1.73%+ -- (0.32) 11.23 3.02 2,825 1.50(a) 2.89 19 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 (0.01) (0.40) 10.58 (0.82) 335 1.50 3.65 21 1.76
SEE NOTES TO FINANCIAL STATEMENTS. 211 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 9/30/2004# (unaudited)... $10.87 $0.22 $(0.10) $ 0.12 $(0.22) Year ended 3/31/2004#..................... 10.85 0.44 0.02 0.46 (0.44) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.87 $0.20 $(0.10) $ 0.10 $(0.20) Year ended 3/31/2004#..................... 10.85 0.41 0.02 0.43 (0.41) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.87 $0.16 $(0.10) $ 0.06 $(0.16) Year ended 3/31/2004#..................... 10.85 0.33 0.02 0.35 (0.33) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.87 $0.16 $(0.10) $ 0.06 $(0.16) Year ended 3/31/2004#..................... 10.85 0.33 0.02 0.35 (0.33) 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)
--------------- * 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. (a)The effect of interest expense on the operating expense ratio was less than 0.01%. (b)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 212 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE NET GAINS DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS RATE ASSETS ---------------------------------------------------------------------------------------------------------------------------- $ -- $(0.22) $10.77 1.12% $157,981 0.50%+(a) 4.07%+ 4% 0.73%+ -- (0.44) 10.87 4.29 192,537 0.50(a) 4.02 20 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 (0.02) (0.50) 10.21 0.05 175,650 0.50(a) 4.67 19 0.76 $ -- $(0.20) $10.77 1.00% $ 23,604 0.75%+(a) 3.82%+ 4% 0.98%+ -- (0.41) 10.87 4.03 25,608 0.75(a) 3.77 20 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 (0.02) (0.48) 10.21 (0.18) 9,684 0.73(a) 4.44 19 1.01 $ -- $(0.16) $10.77 0.62% $ 14,886 1.50%+(a) 3.07%+ 4% 1.73%+ -- (0.33) 10.87 3.25 16,228 1.50(a) 3.02 20 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 (0.02) (0.41) 10.21 (0.87) 5,212 1.41(a) 3.76 19 1.76 $ -- $(0.16) $10.77 0.61% $ 3,200 1.50%+(a) 3.07%+(b) 4% 1.73%+ -- (0.33) 10.87 3.25 1,942 1.50(a) 3.02 20 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 (0.02) (0.40) 10.21 (0.95) 88 1.50(a) 3.67 19 1.76
SEE NOTES TO FINANCIAL STATEMENTS. 213 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET INCREASE/ NET ASSET NET REALIZED (DECREASE) IN DIVIDENDS VALUE NET AND UNREALIZED NET ASSET VALUE FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON FROM INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS OPERATIONS INCOME ------------------------------------------------------------------------- SOUTH CAROLINA INTERMEDIATE MUNICIPAL BOND PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $10.79 $0.21 $(0.10) $ 0.11 $(0.21) Year ended 3/31/2004...................... 10.74 0.45 0.13 0.58 (0.45) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.79 $0.20 $(0.10) $ 0.10 $(0.20) Year ended 3/31/2004...................... 10.73 0.42 0.14 0.56 (0.42) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.79 $0.16 $(0.10) $ 0.06 $(0.16) Year ended 3/31/2004...................... 10.73 0.34 0.14 0.48 (0.34) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.80 $0.16 $(0.11) $ 0.05 $(0.16) Year ended 3/31/2004...................... 10.74 0.34 0.14 0.48 (0.34) 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)
--------------- * 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%. (b)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 214 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS -------------------------------------------------------------------------------------------------------------------------- $(0.01) $(0.22) $10.68 1.11% $185,391 0.50%+ 4.04%+ 2% 0.72%+ (0.08) (0.53) 10.79 5.57 220,249 0.50(a) 4.19 15 0.71 (0.00)## (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 (0.01) (0.52) 10.27 0.09 204,854 0.50(a) 4.88 14 0.74 $(0.01) $(0.21) $10.68 0.99% $ 25,616 0.75%+ 3.79%+(b) 2% 0.97%+ (0.08) (0.50) 10.79 5.41 27,956 0.75(a) 3.94 15 0.96 (0.00)## (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 (0.01) (0.50) 10.27 (0.14) 17,396 0.73(a) 4.65 14 0.99 $(0.01) $(0.17) $10.68 0.61% $ 9,225 1.50%+ 3.04%+ 2% 1.72%+ (0.08) (0.42) 10.79 4.62 10,524 1.50(a) 3.19 15 1.71 (0.00)## (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 (0.01) (0.42) 10.27 (0.82) 7,310 1.41(a) 3.97 14 1.74 $(0.01) $(0.17) $10.68 0.51% $ 8,318 1.50%+ 3.04%+ 2% 1.72%+ (0.08) (0.42) 10.80 4.62 9,103 1.50(a) 3.19 15 1.71 (0.00)## (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 (0.01) (0.41) 10.27 (0.91) 2,755 1.50(a) 3.88 14 1.74
SEE NOTES TO FINANCIAL STATEMENTS. 215 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 9/30/2004# (unaudited)... $10.70 $0.21 $(0.11) $ 0.10 $(0.21) Year ended 3/31/2004...................... 10.68 0.42 0.02 0.44 (0.42) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.70 $0.20 $(0.11) $ 0.09 $(0.20) Year ended 3/31/2004...................... 10.68 0.39 0.02 0.41 (0.39) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.70 $0.16 $(0.11) $ 0.05 $(0.16) Year ended 3/31/2004...................... 10.68 0.31 0.02 0.33 (0.31) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.65 $0.16 $(0.11) $ 0.05 $(0.16) Year ended 3/31/2004...................... 10.63 0.31 0.02 0.33 (0.31) 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)
--------------- * 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%. (b)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 216 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS -------------------------------------------------------------------------------------------------------------------------------- $(0.01) $(0.22) $10.58 1.06% $36,299 0.50%+ 4.10%+ 15% 0.90%+ -- (0.42) 10.70 4.19 37,564 0.50(a) 3.91 24 0.83 -- (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 (0.01) (0.48) 9.91 (0.67) 37,736 0.50(a) 4.62 49 0.94 $(0.01) $(0.21) $10.58 0.93% $15,507 0.75%+ 3.85%+ 15% 1.15%+ -- (0.39) 10.70 3.93 15,505 0.75(a) 3.66 24 1.08 -- (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 (0.01) (0.45) 9.91 (0.90) 7,810 0.73(a) 4.39 49 1.19 $(0.01) $(0.17) $10.58 0.55% $ 3,718 1.50%+ 3.10%+ 15% 1.90%+ -- (0.31) 10.70 3.16 3,922 1.50(a) 2.91 24 1.83 -- (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 (0.01) (0.39) 9.91 (1.58) 1,783 1.41(a) 3.71 49 1.94 $(0.01) $(0.17) $10.53 0.56% $ 1,744 1.50%+ 3.10%+(b) 15% 1.90%+ -- (0.31) 10.65 3.17 2,111 1.50(a) 2.91 24 1.83 -- (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 (0.01) (0.40) 9.87 (1.96) 3 1.50(a) 3.62 49 1.94
SEE NOTES TO FINANCIAL STATEMENTS. 217 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 9/30/2004# (unaudited)... $10.62 $0.20 $(0.09) $ 0.11 $(0.20) Year ended 3/31/2004#..................... 10.51 0.41 0.11 0.52 (0.41) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.61 $0.19 $(0.08) $ 0.11 $(0.19) Year ended 3/31/2004#..................... 10.50 0.39 0.11 0.50 (0.39) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.62 $0.15 $(0.09) $ 0.06 $(0.15) Year ended 3/31/2004#..................... 10.51 0.31 0.11 0.42 (0.31) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.62 $0.15 $(0.08) $ 0.07 $(0.15) Year ended 3/31/2004#..................... 10.50 0.31 0.12 0.43 (0.31) 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)
--------------- * 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%. (b)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 218 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ---------------------------------------------------------------------------------------------------------------------------- $(0.01) $(0.21) $10.52 1.07% $229,829 0.50%+(a) 3.83%+ 7% 0.72%+ -- (0.41) 10.62 5.09 248,306 0.50(a) 3.93 16 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 (0.00)## (0.49) 10.00 0.17 326,323 0.50(a) 4.84 33 0.72 $(0.01) $(0.20) $10.52 1.04% $ 6,714 0.75%+(a) 3.58%+ 7% 0.97%+ -- (0.39) 10.61 4.83 7,277 0.75(a) 3.68 16 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 (0.00)## (0.47) 10.00 (0.06) 6,075 0.73(a) 4.61 33 0.97 $(0.01) $(0.16) $10.52 0.57% $ 3,962 1.50%+(a) 2.83%+ 7% 1.72%+ -- (0.31) 10.62 4.05 4,393 1.50(a) 2.93 16 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 (0.00)## (0.40) 10.00 (0.74) 2,005 1.42(a) 3.92 33 1.72 $(0.01) $(0.16) $10.53 0.66% $ 465 1.50%+(a) 2.83%+ 7% 1.72%+(b) -- (0.31) 10.62 4.17 466 1.50(a) 2.93 16 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 (0.00)## (0.38) 10.00 (0.86) 3 1.50(a) 3.84 33 1.72
SEE NOTES TO FINANCIAL STATEMENTS. 219 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 9/30/2004# (unaudited)... $11.21 $0.22 $(0.10) $ 0.12 $(0.22) Year ended 3/31/2004...................... 11.18 0.46 0.03 0.49 (0.46) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $11.21 $0.21 $(0.10) $ 0.11 $(0.21) Year ended 3/31/2004...................... 11.18 0.43 0.03 0.46 (0.43) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $11.22 $0.17 $(0.11) $ 0.06 $(0.17) Year ended 3/31/2004...................... 11.18 0.35 0.04 0.39 (0.35) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $11.21 $0.17 $(0.10) $ 0.07 $(0.17) Year ended 3/31/2004...................... 11.18 0.35 0.03 0.38 (0.35) 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)
--------------- * 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. 220 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ---------------------------------------------------------------------------------------------------------------------------- $(0.01) $(0.23) $11.10 1.12% $267,283 0.50%+(a) 4.01%+ 1% 0.71%+ (0.00)## (0.46) 11.21 4.47 280,515 0.50(a) 4.10 17 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 (0.00)## (0.50) 10.51 0.29 228,698 0.50(a) 4.66 23 0.73 $(0.01) $(0.22) $11.10 0.99% $ 54,342 0.75%+(a) 3.76%+ 1% 0.96%+ (0.00)## (0.43) 11.21 4.21 57,288 0.75(a) 3.85 17 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 (0.00)## (0.47) 10.51 0.06 46,663 0.73(a) 4.43 23 0.98 $(0.01) $(0.18) $11.10 0.52% $ 14,682 1.50%+(a) 3.01%+ 1% 1.71%+ (0.00)## (0.35) 11.22 3.52 15,907 1.50(a) 3.10 17 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 (0.00)## (0.40) 10.51 (0.63) 9,073 1.41(a) 3.75 23 1.73 $(0.01) $(0.18) $11.10 0.61% $ 2,153 1.50%+(a) 3.01%+ 1% 1.71%+ (0.00)## (0.35) 11.21 3.43 2,303 1.50(a) 3.10 17 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 (0.00)## (0.39) 10.51 (0.71) 759 1.50(a) 3.66 23 1.73
SEE NOTES TO FINANCIAL STATEMENTS. 221 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, 2004, Funds Trust offered fifty-six 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. The ability of issuers of debt securities held by the Funds to meet their obligations may be affected by economic developments in a specific 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 by an independent pricing service. These valuations may be based upon a matrix pricing system and/or appraisals which considers such factors as security prices, yields, 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 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. 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 gains on the underlying securities purchased and any unrealized losses 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 gains 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. 222 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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-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 Sub-chapter M, 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 are allocated to separate classes of shares based upon their relative net asset value on the date the expenses are incurred. 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 maximum 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 the 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, 2004, BACAP Distributors earned an annual rate of 0.18% of the Funds' average daily net assets (net of waivers and sub-administration fees) for its administration services. 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, 2004, Bank of America earned the following sub-transfer agent fees from the Funds for providing such services and these amounts are included in "Transfer agent fees" in each Fund's Statement of operations. 223 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
SUB-TRANSFER AGENT FEE FUND (000) -------------------------------------------------------------------------- Short-Term Municipal Income................................. $ 16 Intermediate Municipal Bond................................. 30 Municipal Income............................................ 10 California Intermediate Municipal Bond...................... 2 California Municipal Bond................................... 2 Florida Intermediate Municipal Bond......................... 3 Florida Municipal Bond...................................... 1 Georgia Intermediate Municipal Bond......................... 2 Kansas Municipal Income..................................... 1 Maryland Intermediate Municipal Bond........................ 3 North Carolina Intermediate Municipal Bond.................. 3 South Carolina Intermediate Municipal Bond.................. 3 Tennessee Intermediate Municipal Bond....................... 1 Texas Intermediate Municipal Bond........................... 4 Virginia Intermediate Municipal Bond........................ 5
BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2004, the Funds were informed that the distributor 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.................... $ 8 $47 $-- $ 3 Intermediate Municipal Bond.................... 4 -- 2 --* Municipal Income............................... 6 -- 7 -- California Intermediate Municipal Bond......... 5 -- 4 2 California Municipal Bond...................... 15 -- 7 --* Florida Intermediate Municipal Bond............ 5 1 9 --* Florida Municipal Bond......................... 22 -- 9 -- Georgia Intermediate Municipal Bond............ 3 -- 2 --* Kansas Municipal Income........................ 8 -- -- -- Maryland Intermediate Municipal Bond........... 15 -- 6 --* North Carolina Intermediate Municipal Bond..... 11 -- 6 1 South Carolina Intermediate Municipal Bond..... 14 7 5 -- Tennessee Intermediate Municipal Bond.......... 5 -- 1 1 Texas Intermediate Municipal Bond.............. 1 -- --* -- Virginia Intermediate Municipal Bond........... 9 -- 4 --
--------------- *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 an 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 assets and liabilities. 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 earn advisory and administration fees on the investments made in the Nations Tax- Exempt Reserves in addition to the advisory and administration fees earned by BACAP and BACAP Distributors from 224 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) the Funds. For the six months ended September 30, 2004, BACAP and BACAP Distributors earned the following fees related to investments in affiliated funds:
ADMINISTRATION FEES ADVISORY FEES (EARNED BY BACAP (EARNED BY BACAP) DISTRIBUTORS) FUND (000) (000) -------------------------------------------------------------------------------------------------------------- Short-Term Municipal Income.............................. $5 $ 2 Intermediate Municipal Bond.............................. 6 2 Municipal Income......................................... 1 --* California Intermediate Municipal Bond................... --* --* California Municipal Bond................................ 1 --* Florida Intermediate Municipal Bond...................... 2 1 Florida Municipal Bond................................... --* --* Georgia Intermediate Municipal Bond...................... 1 --* Kansas Municipal Income.................................. 1 --* Maryland Intermediate Municipal Bond..................... 1 --* North Carolina Intermediate Municipal Bond............... 1 --* South Carolina Intermediate Municipal Bond............... 4 1 Tennessee Intermediate Municipal Bond.................... 1 --* Texas Intermediate Municipal Bond........................ 2 1 Virginia Intermediate Municipal Bond..................... 2 1
--------------- *Amount represents less than $500. 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. TOTAL OPERATING EXPENSE LIMITATIONS BACAP and/or its affiliates may, from time to time, reduce its fee payable by each Fund. During the six months ended September 30, 2004 and until July 31, 2005, BACAP has agreed to reimburse expenses and/or waive fees to the extent that the total expenses (excluding interest expense and 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. 225 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At September 30, 2004, the amounts potentially recoverable by BACAP pursuant to this arrangement are as follows:
POTENTIAL AMOUNT TO POTENTIAL AMOUNT TO POTENTIAL AMOUNT TO AMOUNT RECOVER WITHIN RECOVER WITHIN RECOVER WITHIN RECOVERED DURING 3 YEARS 3 YEARS 2 YEARS PERIOD ENDED FUND AS OF 9/30/04 AS OF 3/31/04 AS OF 3/31/04 9/30/04 --------------------------------------------------------------------------------------------------------------------------------- Short-Term Municipal Income............... $1,038,581 $1,941,539 $1,533,069 $-- Intermediate Municipal Bond............... 1,582,433 2,952,298 2,838,755 -- Municipal Income.......................... 637,219 1,197,407 1,468,151 -- California Intermediate Municipal Bond.... 176,275 324,547 221,927 -- California Municipal Bond................. 295,396 573,485 605,058 -- Florida Intermediate Municipal Bond....... 251,127 486,395 494,942 -- Florida Municipal Bond.................... 147,978 274,866 296,315 -- Georgia Intermediate Municipal Bond....... 198,149 369,816 389,857 -- Maryland Intermediate Municipal Bond...... 257,904 496,036 495,122 -- North Carolina Intermediate Municipal Bond.................................... 247,789 481,044 481,144 -- South Carolina Intermediate Municipal Bond.................................... 262,007 493,535 517,196 -- Tennessee Intermediate Municipal Bond..... 116,324 214,985 201,545 -- Texas Intermediate Municipal Bond......... 270,072 511,278 529,754 -- Virginia Intermediate Municipal Bond...... 349,183 630,499 653,332 --
4. 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 and paid monthly, 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, 2004, 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, at the rates shown above, under a separate shareholder servicing plan. 226 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 5. 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, 2004 were as follows:
PURCHASES SALES (000) (000) --------------------- Short-Term Municipal Income................................. $ 97,495 $291,791 Intermediate Municipal Bond................................. 168,529 248,946 Municipal Income............................................ 38,068 108,078 California Intermediate Municipal Bond...................... 8,893 19,638 California Municipal Bond................................... 7,859 36,285 Florida Intermediate Municipal Bond......................... 1,750 28,637 Florida Municipal Bond...................................... -- 10,467 Georgia Intermediate Municipal Bond......................... 3,705 16,072 Kansas Municipal Income..................................... 4,830 15,917 Maryland Intermediate Municipal Bond........................ -- 20,873 North Carolina Intermediate Municipal Bond.................. 8,644 38,956 South Carolina Intermediate Municipal Bond.................. 5,022 22,836 Tennessee Intermediate Municipal Bond....................... 8,221 8,161 Texas Intermediate Municipal Bond........................... 16,737 25,258 Virginia Intermediate Municipal Bond........................ 3,276 21,564
6. SHARES OF BENEFICIAL INTEREST As of September 30, 2004, 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, 1998 and November 15, 1998 $0 - $499,999 Six years $500,000 - $999,999 Five 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. 227 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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, 2004. During the six months ended September 30, 2004, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST FUND (000) RATE -------------------------------------------------------------------------------------- Short-Term Municipal Income................................. $ 91 1.75% Intermediate Municipal Bond................................. 258 1.75 Municipal Income............................................ 211 1.64 California Intermediate Municipal Bond...................... 105 1.56 California Municipal Bond................................... 131 1.51 Florida Intermediate Municipal Bond......................... 69 1.68 Florida Municipal Bond...................................... 49 1.60 Georgia Intermediate Municipal Bond......................... 12 1.54 Kansas Municipal Income..................................... 91 1.61 Maryland Intermediate Municipal Bond........................ 132 1.50 North Carolina Intermediate Municipal Bond.................. 206 1.60 Texas Intermediate Municipal Bond........................... 37 1.54 Virginia Intermediate Municipal Bond........................ 31 1.52
--------------- *The average amount outstanding was calculated based on daily balances in the period 8. INCOME TAXES Information on the tax components of capital as of September 30, 2004 is as follows:
NET TAX UNREALIZED COST OF GROSS TAX GROSS TAX APPRECIATION/ INVESTMENTS FOR UNREALIZED UNREALIZED (DEPRECIATION) ON TAX PURPOSES APPRECIATION DEPRECIATION INVESTMENTS FUND (000) (000) (000) (000) ------------------------------------------------------------------------------------------------------------------ Short-Term Municipal Income................ $1,027,122 $11,145 $(1,192) $ 9,953 Intermediate Municipal Bond................ 1,678,308 85,854 (922) 84,932 Municipal Income........................... 573,037 50,005 (2,796) 47,209 California Intermediate Municipal Bond..... 125,007 5,006 (250) 4,756 California Municipal Bond.................. 248,499 18,522 (212) 18,310 Florida Intermediate Municipal Bond........ 192,964 7,901 (345) 7,556 Florida Municipal Bond..................... 87,273 8,028 (51) 7,977 Georgia Intermediate Municipal Bond........ 142,163 8,737 (143) 8,594 Kansas Municipal Income.................... 69,780 3,035 (68) 2,967 Maryland Intermediate Municipal Bond....... 205,122 11,840 (1,117) 10,723 North Carolina Intermediate Municipal Bond..................................... 185,679 12,800 (164) 12,636 South Carolina Intermediate Municipal Bond..................................... 213,493 13,033 (405) 12,628 Tennessee Intermediate Municipal Bond...... 53,324 3,300 (10) 3,290 Texas Intermediate Municipal Bond.......... 232,799 14,454 (194) 14,260 Virginia Intermediate Municipal Bond....... 319,026 17,824 (1,392) 16,432
228 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At March 31, 2004, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING IN 2008 IN 2009 IN 2010 IN 2011 IN 2012 FUND (000) (000) (000) (000) (000) ------------------------------------------------------------------------------------------------------------ Short-Term Municipal Income*...................... $ -- $360 $15 $ 336 $ 110 Municipal Income.................................. 502 734 -- 8,472 1,320 Georgia Intermediate Municipal Bond............... 843 608 58 956 -- Maryland Intermediate Municipal Bond.............. -- 202 -- 480 -- North Carolina Intermediate Municipal Bond........ -- 879 -- -- --
--------------- *Short-Term Municipal Income had $24,557 in capital losses which expired during the year ended March 31, 2004. During the year ended March 31, 2004, the following Funds utilized capital losses as follows:
CAPITAL LOSSES UTILIZED FUND (000) ------------------------------------------------------------------------------- Florida Intermediate Municipal Bond......................... $1,186 Georgia Intermediate Municipal Bond......................... 138 Maryland Intermediate Municipal Bond........................ 1,060 North Carolina Intermediate Municipal Bond.................. 1,045 Tennessee Intermediate Municipal Bond....................... 215 Texas Intermediate Municipal Bond........................... 2,702 Virginia Intermediate Municipal Bond........................ 1,182
9. CONTINGENCIES AND OTHER 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 various mutual funds including certain Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and "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 Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name the Funds, among others, as defendants (see Civil Litigation below). The independent Trustees of the Funds have engaged independent legal counsel and, through them, accountants to evaluate the extent of any monetary impact to any Funds from discretionary market timing or from late trading. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds (the "Boards") 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 the Funds in connection with this matter. Assumptions and reimbursements: For the six months ended September 30, 2004, Bank of America Corporation has assumed $4.5 million of legal, shareholder communications, audit related, transfer agent, consulting and Trustee costs and fees incurred by the Funds impacted in connection with the regulatory and civil litigation matters discussed above. These non-recurring costs were allocated to 19 Funds based on their respective average nets assets for the six months ended September 30, 2004. These non-recurring costs on a per Fund basis are shown in that Fund's respective Statement of operations. Because these costs were borne by Bank of America Corporation and not any Fund, an offsetting waiver of these costs is also presented in each respective Fund's Statement of operations as, "Costs assumed by Bank of America Corporation". The impact to the expense ratio of each impacted Fund is reflected in the Fund's Financial highlights. 229 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Settlements in principle with regulators: On March 15, 2004, Bank of America Corporation and FleetBoston Financial Corporation ("Fleet") entered into agreements in principle (each an "Agreement" and together, the "Agreements") with the NYAG and the SEC over matters related to improper late trading and market timing of mutual funds. As noted below, on April 1, 2004, Bank of America Corporation acquired Fleet. Under the Agreements, Bank of America Corporation has agreed to pay $250 million in total disgorgement and restitution and a penalty of $125 million and FleetBoston Financial Corporation agreed to pay $70 million in total disgorgement and restitution and a penalty of $70 million. In addition, the Agreement with the NYAG requires an aggregate reduction in mutual fund fees of $32 million per year for five years across selected non-money market funds in the Nations Funds and Fleet mutual fund complexes. The final amount payable as restitution and whether such restitution will be effectuated through a Fund or directly to shareholders, has not yet been determined. When finalized, the Agreements will conclude the investigation by the NYAG and the SEC of Bank of America Corporation and its affiliates relating to late trading and market timing activities, provided that the NYAG and the SEC have reserved the right to continue their respective investigations of and actions against individuals. Management believes that the Agreements, and their finalization, could have a positive effect, but in no case will they have a material adverse effect, on any Fund's financial positions or results of operations. However, a review by the accountants engaged to investigate these matters for the Boards remains ongoing. Accordingly, an estimate of the financial impact on any Fund cannot currently be made. Bank of America Corporation Acquisition of Fleet: On April 1, 2004, Bank of America Corporation acquired Fleet. As a result of this acquisition, Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributor, Inc. ("CFDI") are now indirect wholly-owned subsidiaries of Bank of America Corporation. The SEC and NYAG filed proceedings against both CMA and CFDI on February 24, 2004 alleging that they had violated certain provisions of the federal securities laws in connection with trading activity in mutual funds shares and violated certain New York anti-fraud statutes. In order to settle these matters, as noted above, Fleet entered into the March 15, 2004 Agreements with the NYAG and the SEC. In addition, both Bank of America and Fleet committed to use best efforts to implement certain enhanced governance and compliance procedures with respect to advised mutual funds and agreed to the retention of independent consultants to review compliance, control and other policies and procedures relating to their respective mutual fund advisory businesses. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, or if any final settlement includes an injunction against CMA or CFDI prohibiting them from engaging in certain conduct, CMA, CFDI or any company that is an affiliated person of CMA and CFDI could be barred from serving as an investment adviser or distributor for any investment company registered under the Investment Company Act of 1940. As a result of the Fleet acquisition, BACAP and BACAP Distributors are now affiliated persons of CMA and CFDI and, therefore, under these circumstances, could be barred from serving as an investment adviser or distributor for any registered investment company, including the Funds. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, it is expected that BACAP and BACAP Distributors would seek exemptive relief from the SEC to permit them to continue serving as the investment adviser and distributor of the Funds. Civil Litigation: In connection with the events described in detail above, various parties have filed suit against certain Funds, their Boards and/or Bank of America Corporation (and affiliated entities). These cases have been consolidated in a multi-district proceeding and transferred to the Federal District Court in Maryland. These suits and certain regulatory investigations are ongoing. Accordingly, an estimate of the financial impact of this litigation on any Fund, if any, cannot currently be made. 230 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 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 (9/04) 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 STOCK FUNDS Nations Marsico -------------------------------- Focused Equities Fund Semiannual report for the period ended September 30, 2004 Nations MidCap Growth Fund Nations Marsico 21st Century Fund Nations Small Company Fund [NATIONS FUNDS LOGO] Guidelines and information about how Nations Funds voted proxies for securities they held during the 12-month period ended June 30, 2004 are available without charge at www.nationsfunds.com and at http://www.sec.gov or by calling 1.800.321.7854. Beginning with the Funds' fiscal quarter ending December 31, 2004, the Funds will file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds' Forms N-Q will also be available on our website at www.nationsfunds.com. 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 US economy grew at a healthy pace during the six-month period that ended September 30, 2004. Despite uncertainty about job growth, consumer spending and rising energy prices, gross domestic product growth was comfortably above the long-term historical average of 3.0%. In general, corporate profits continued to rise, which provided companies with the resources to increase spending. Industrial production rose; factories used more of their capacity; and spending on technology, capital equipment and construction all increased. STOCKS FALTER WHILE BONDS EKE OUT A POSITIVE RETURN Although this environment provided a solid foundation for the financial markets, the stock market was unsettled by external events such as the fall presidential election, renewed terror threats and continued fighting in Iraq. As a result, many investors remained on the sidelines. The S&P 500 Index(1) and the Russell 3000 Index(2), two broad measures of US stock market performance, returned negative 0.18% and negative 0.60% respectively, over this six-month reporting period. The broad markets for small- and mid-cap stocks and value stocks did somewhat better. The Russell MidCap Value Index returned 3.50%(3) and the Russell 2000 Value Index returned 1.00%.(4) Energy stocks were the period's strongest performers. They gained more than 19% during the period, as measured by Standard & Poor's. The bond market encountered considerable volatility when job growth picked up in the spring and investors began to anticipate higher short-term interest rates. However, a shaky stock market and some weak economic data gave the bond market a boost in the final months of the period. The Lehman Brothers Aggregate Bond Index eked out a positive return of 0.68% over this six-month reporting period.(5) High-yield bonds, which can be less sensitive to changing interest rates, led the fixed-income markets. The Merrill Lynch US High Yield, Cash Pay Index returned 3.72% over the same period.(6) LOOKING AHEAD Although the soft patch encountered by the economy during the summer months appears to be behind us, a meaningful acceleration of economic activity does not appear to be in the works. In fact, leading economic indicators suggest that growth remains in line with the economy's long-term average. Job growth has become increasingly important to the outlook for consumer income and spending, and there the trend is encouraging. Although monthly data has been volatile over the past year, year-over-year data shows that payroll growth has swung from a decline of 1% to 2% in 2002 to an increase of 1% in 2004. (1)The S&P 500 Index is an unmanaged index of 500 widely held common socks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (2)The Russell 3000 Index is an unmanaged index that tracks the performance of the 3,000 largest US companies based on total market capitalization. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (3)The Russell MidCap Value Index is an unmanaged index that measures the performance of those Russell MidCap Index companies with lower price-to-book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (4)The Russell 2000 Value Index is an unmanaged index that tracks the performance of those Russell 2000 companies with lower price-to book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (5)The Lehman Brothers Aggregate Bond Index is a market value-weighted index that tracks fixed-rate, publicly placed, dollar-denominated, and non-convertible investment grade debt issues. (6)The Merrill Lynch US High Yield, Cash Pay Index is an unmanaged index that tracks the performance of non-investment-grade corporate bonds. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... In this environment, we believe that the outlook is slightly better for stocks than for bonds. Although long-term Treasury yields have declined in recent months, we expect them to move higher once the Federal Reserve Board completes its cycle of short-term rate increases. We expect to see short-term rates rise to 3% to 4% and long-term rates go to 5% or higher. Higher long-term rates would be a challenge for the bond market because yields and bond prices move in opposite directions. We expect the outlook for the stock market to improve if and when some of the current uncertainties are resolved. Certainly if the price of oil retreats from its current high level, it would take some pressure off consumers and the market would be one of the likely beneficiaries. STRATEGIC THINKING ABOUT YOUR INVESTMENTS Regardless of the short-term outlook for stocks and bonds, we believe that there are certain basic principles that can help you achieve your long-term financial goals. Think long term. Have a plan for investing, and stick to it. Own a diversified mix of investments. Add to your investments regularly. If you can incorporate these four principles into your investment plan, you will find it easier to ignore the short-term gyrations of the market. If you work with an investment professional, be sure to consult him or her if you have questions or concerns about your investments. An investment professional can be an important ally in helping you keep your financial goals on track. As always, we thank you for investing in Nations Funds and we look forward to serving your financial needs in the years to come. Sincerely, -s- William P. Carmichael WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS -s- Keith T. Banks Keith T. Banks President of Nations Funds President of Banc of America Capital Management, LLC September 30, 2004 The information and data provided in this analysis are derived from sources that we deem to be reliable and accurate. The opinions expressed here are strictly those of the contributors and are subject to change without notice. TABLE OF CONTENTS DISCLOSURE OF FUND EXPENSES AND PORTFOLIO HOLDINGS Nations Convertible Securities Fund 3 Nations Asset Allocation Fund 5 Nations Value Fund 7 Nations MidCap Value Fund 9 Nations SmallCap Value Fund 11 Nations Marsico Growth Fund 13 Nations Strategic Growth Fund 15 Nations Marsico Focused Equities Fund 17 Nations MidCap Growth Fund 19 Nations Marsico 21st Century Fund 21 Nations Small Company Fund 23 FINANCIAL STATEMENTS Schedules of investments 25 Statements of assets and liabilities 60 Statements of operations 62 Statements of changes in net assets 64 Schedules of capital stock activity 70 Financial highlights 82 Notes to financial statements 104 Schedule of investments -- Nations Master Investment Trust 120 Nations Marsico Growth Master Portfolio 120 Nations Strategic Growth Master Portfolio 122 Nations Marsico Focused Equities Master Portfolio 124 Nations Small Company Master Portfolio 126 Statements of assets and liabilities 129 Statements of operations 130 Statements of changes in net assets 132 Financial highlights 134 Notes to financial statements 135
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 2003.
[This page intentionally left blank] NATIONS CONVERTIBLE SECURITIES FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,003.30 $4.77 Hypothetical**.............................................. $1,000.00 $1,020.31 $4.81 INVESTOR A Actual...................................................... $1,000.00 $1,002.00 $6.02 Hypothetical**.............................................. $1,000.00 $1,019.05 $6.07 INVESTOR B Actual...................................................... $1,000.00 $ 997.80 $9.77 Hypothetical**.............................................. $1,000.00 $1,015.29 $9.85 INVESTOR C Actual...................................................... $1,000.00 $ 998.30 $9.77 Hypothetical**.............................................. $1,000.00 $1,015.29 $9.85
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.95%, Investor A 1.20%, Investor B 1.95% and Investor C 1.95%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 3 NATIONS CONVERTIBLE SECURITIES FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 10.2% Pharmaceuticals 6.1% Electric power - Non nuclear 5.9% Medical devices and supplies 4.5% Insurance 3.8% Computer services 3.6% Oilfield services 5.2% Telecommunications services 3.4% Diversified manufacturing 3.3% Health services 3.2% Broadcasting and cable 50.8% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Tyco International Group, 3.125% 01/15/23 1.7% ------------------------------------------------- 2 Providian Financial Corporation, 2.750% 03/15/16 1.2% ------------------------------------------------- 3 Genzyme Corporation, 1.250% 12/01/23 1.2% ------------------------------------------------- 4 Halliburton Company, 3.125% 07/15/23 1.2% ------------------------------------------------- 5 Sealed Air Corporation, 3.000% 06/30/33 1.2% ------------------------------------------------- 6 AT&T Corporation - Liberty Media Group, 4.000% 11/15/29 1.2% ------------------------------------------------- 7 Host Marriott LP, 3.250% 04/15/24 1.2% ------------------------------------------------- 8 Teva Pharmaceutical Industries, Ltd., 0.500% 02/01/24 1.2% ------------------------------------------------- 9 General Motors Corporation 1.1% ------------------------------------------------- 10 Baxter International Inc. 1.1% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
4 NATIONS ASSET ALLOCATION FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 999.70 $4.76 Hypothetical**.............................................. $1,000.00 $1,020.31 $4.81 INVESTOR A Actual...................................................... $1,000.00 $ 999.00 $6.01 Hypothetical**.............................................. $1,000.00 $1,019.05 $6.07 INVESTOR B Actual...................................................... $1,000.00 $ 995.10 $9.75 Hypothetical**.............................................. $1,000.00 $1,015.29 $9.85 INVESTOR C Actual...................................................... $1,000.00 $ 995.40 $9.75 Hypothetical**.............................................. $1,000.00 $1,015.29 $9.85
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.95%, Investor A 1.20%, Investor B 1.95% and Investor C 1.95%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 5 NATIONS ASSET ALLOCATION FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 8.5% Federal National Mortgage Association (FNMA) Certificates 8.2% Commercial banking 5.2% Integrated oil 4.2% Insurance 4.1% Pharmaceuticals 3.3% Telecommunications services 3.6% Investment services 2.6% Semiconductors 2.6% Diversified manufacturing 2.4% Medical devices and supplies 55.3% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Federal National Mortgage Association (FNMA) Certificates, 5.000% 10/15/19 4.0% ------------------------------------------------- 2 High Yield Portfolio 2.2% ------------------------------------------------- 3 Exxon Mobil Corporation 2.1% ------------------------------------------------- 4 General Electric Company 2.0% ------------------------------------------------- 5 Federal National Mortgage Association (FNMA) Certificates, 5.000% 07/12/34 1.9% ------------------------------------------------- 6 Citigroup Inc. 1.8% ------------------------------------------------- 7 Government National Mortgage Association (GNMA) Certificates, 5.500% 07/19/33 1.7% ------------------------------------------------- 8 Pfizer Inc. 1.7% ------------------------------------------------- 9 Microsoft Corporation 1.5% ------------------------------------------------- 10 Johnson & Johnson 1.4% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
6 NATIONS VALUE FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,006.30 $3.97 Hypothetical**.............................................. $1,000.00 $1,021.11 $4.00 INVESTOR A Actual...................................................... $1,000.00 $1,005.10 $5.23 Hypothetical**.............................................. $1,000.00 $1,019.85 $5.27 INVESTOR B Actual...................................................... $1,000.00 $1,000.60 $8.98 Hypothetical**.............................................. $1,000.00 $1,016.09 $9.05 INVESTOR C Actual...................................................... $1,000.00 $1,001.10 $8.98 Hypothetical**.............................................. $1,000.00 $1,016.09 $9.05
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.79%, Investor A 1.04%, Investor B 1.79% and Investor C 1.79%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 7 NATIONS VALUE FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 14.9% Commercial banking 11.1% Integrated oil 6.5% Insurance 6.4% Aerospace and defense 4.7% Electric power - Nuclear 4.3% Diversified manufacturing 4.1% Telecommunications services 3.7% Investment services 3.0% Real Estate Investment Trusts (REITs) 2.7% Computers and office equipment 38.6% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Exxon Mobil Corporation 4.5% ------------------------------------------------- 2 Citigroup Inc. 4.1% ------------------------------------------------- 3 US Bancorp 3.0% ------------------------------------------------- 4 General Electric Company 2.8% ------------------------------------------------- 5 United Technologies Corporation 2.7% ------------------------------------------------- 6 Altria Group, Inc. 2.3% ------------------------------------------------- 7 Wells Fargo & Company 2.0% ------------------------------------------------- 8 Verizon Communications Inc. 1.9% ------------------------------------------------- 9 Limited Brands 1.7% ------------------------------------------------- 10 Honeywell International Inc. 1.6% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
8 NATIONS MIDCAP VALUE FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,036.40 $4.90 Hypothetical**.............................................. $1,000.00 $1,020.26 $4.86 INVESTOR A Actual...................................................... $1,000.00 $1,035.20 $6.17 Hypothetical**.............................................. $1,000.00 $1,019.00 $6.12 INVESTOR B Actual...................................................... $1,000.00 $1,030.30 $9.98 Hypothetical**.............................................. $1,000.00 $1,015.24 $9.90 INVESTOR C Actual...................................................... $1,000.00 $1,031.00 $9.98 Hypothetical**.............................................. $1,000.00 $1,015.24 $9.90
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.96%, Investor A 1.21%, Investor B 1.96% and Investor C 1.96%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 9 NATIONS MIDCAP VALUE FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 10.6% Commercial banking 7.5% Insurance 5.4% Real Estate Investment Trusts (REITs) 4.4% Lodging and recreation 4.1% Specialty stores 3.9% Chemicals - Specialty 3.8% Electric power - Nuclear 3.8% Diversified manufacturing 3.2% Integrated oil 3.2% Oilfield services 50.1% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Norfolk Southern Corporation 1.8% ------------------------------------------------- 2 Limited Brands 1.6% ------------------------------------------------- 3 Marshall and Ilsley Corporation 1.5% ------------------------------------------------- 4 SUPERVALU Inc. 1.5% ------------------------------------------------- 5 Zions Bancorporation 1.4% ------------------------------------------------- 6 Pitney Bowes Inc. 1.4% ------------------------------------------------- 7 Marathon Oil Corporation 1.4% ------------------------------------------------- 8 Hibernia Corporation, Class A 1.4% ------------------------------------------------- 9 Ashland Inc. 1.3% ------------------------------------------------- 10 Fluor Corporation 1.3% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
10 NATIONS SMALLCAP VALUE FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,034.00 $ 6.63 Hypothetical**.............................................. $1,000.00 $1,018.55 $ 6.58 INVESTOR A Actual...................................................... $1,000.00 $1,032.40 $ 7.90 Hypothetical**.............................................. $1,000.00 $1,017.30 $ 7.84 INVESTOR B Actual...................................................... $1,000.00 $1,028.40 $11.70 Hypothetical**.............................................. $1,000.00 $1,013.54 $11.61 INVESTOR C Actual...................................................... $1,000.00 $1,028.40 $11.70 Hypothetical**.............................................. $1,000.00 $1,013.54 $11.61
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 1.30%, Investor A 1.55%, Investor B 2.30% and Investor C 2.30%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 11 NATIONS SMALLCAP VALUE FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 12.6% Commercial banking 7.3% Real Estate Investment Trusts (REITs) 6.9% Heavy machinery 6.0% Metals and mining 4.8% Commercial services 4.6% Insurance 4.0% Railroads, trucking and shipping 3.7% Health services 3.2% Semiconductors 3.1% Diversified manufacturing 43.8% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Kennametal Inc. 1.2% ------------------------------------------------- 2 Paxar Corporation 1.2% ------------------------------------------------- 3 Century Aluminum Company 1.2% ------------------------------------------------- 4 Equity Inns Inc. 1.2% ------------------------------------------------- 5 Encore Acquisition Company 1.2% ------------------------------------------------- 6 Grey Wolf, Inc. 1.2% ------------------------------------------------- 7 Graftech International Ltd. 1.2% ------------------------------------------------- 8 URS Corporation 1.1% ------------------------------------------------- 9 Quiksilver, Inc. 1.1% ------------------------------------------------- 10 School Specialty, Inc. 1.1% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
12 NATIONS MARSICO GROWTH FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,009.40 $ 5.49 Hypothetical**.............................................. $1,000.00 $1,019.60 $ 5.52 INVESTOR A Actual...................................................... $1,000.00 $1,008.20 $ 6.75 Hypothetical**.............................................. $1,000.00 $1,018.35 $ 6.78 INVESTOR B Actual...................................................... $1,000.00 $1,004.00 $10.50 Hypothetical**.............................................. $1,000.00 $1,014.59 $10.56 INVESTOR C Actual...................................................... $1,000.00 $1,004.00 $10.50 Hypothetical**.............................................. $1,000.00 $1,014.59 $10.56
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 1.09%, Investor A 1.34%, Investor B 2.09% and Investor C 2.09%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 13 NATIONS MARSICO GROWTH FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 7.9% Lodging and recreation 7.1% Health services 7.0% Medical devices and supplies 6.1% Diversified manufacturing 6.0% Networking and telecommunications equipment 5.1% Specialty stores 5.0% Software 4.6% Pharmaceuticals 4.1% Finance - Miscellaneous 3.8% Investment services 43.3% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 UnitedHealth Group Inc. 5.7% ------------------------------------------------- 2 QUALCOMM Inc. 5.1% ------------------------------------------------- 3 General Electric Company 4.8% ------------------------------------------------- 4 Genentech, Inc. 4.6% ------------------------------------------------- 5 SLM Corporation 4.0% ------------------------------------------------- 6 Countrywide Financial Corporation 3.7% ------------------------------------------------- 7 Citigroup Inc. 3.6% ------------------------------------------------- 8 Wynn Resorts, Ltd., 6.000% 07/15/15 3.2% ------------------------------------------------- 9 Caterpillar Inc. 3.2% ------------------------------------------------- 10 FedEx Corporation 3.0% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
14 NATIONS STRATEGIC GROWTH FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 981.90 $4.67 Hypothetical**.............................................. $1,000.00 $1,020.36 $4.76 INVESTOR A Actual...................................................... $1,000.00 $ 980.10 $5.91 Hypothetical**.............................................. $1,000.00 $1,019.10 $6.02 INVESTOR B Actual...................................................... $1,000.00 $ 975.90 $9.61 Hypothetical**.............................................. $1,000.00 $1,015.34 $9.80 INVESTOR C Actual...................................................... $1,000.00 $ 976.80 $9.61 Hypothetical**.............................................. $1,000.00 $1,015.34 $9.80
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.94%, Investor A 1.19%, Investor B 1.94% and Investor C 1.94%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 15 NATIONS STRATEGIC GROWTH FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 4.0% Department and discount stores 4.2% Beverages 4.3% Investment services 4.3% Semiconductors 4.8% Medical devices and supplies 6.1% Software 6.3% Insurance 6.9% Integrated oil 7.5% Commercial banking 7.6% Pharmaceuticals 44.0% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Microsoft Corporation 4.3% ------------------------------------------------- 2 Pfizer Inc. 3.6% ------------------------------------------------- 3 Exxon Mobil Corporation 2.5% ------------------------------------------------- 4 Proctor & Gamble Company 2.3% ------------------------------------------------- 5 PepsiCo, Inc. 2.3% ------------------------------------------------- 6 United Parcel Service, Inc., Class B 2.1% ------------------------------------------------- 7 Costco Wholesale Corporation 2.1% ------------------------------------------------- 8 Coca-Cola Company 2.0% ------------------------------------------------- 9 United Technologies Corporation 2.0% ------------------------------------------------- 10 Lexmark International, Inc. 1.8% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
16 NATIONS MARSICO FOCUSED EQUITIES FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 984.10 $ 5.42 Hypothetical**.............................................. $1,000.00 $1,019.60 $ 5.52 INVESTOR A Actual...................................................... $1,000.00 $ 982.70 $ 6.66 Hypothetical**.............................................. $1,000.00 $1,018.35 $ 6.78 INVESTOR B Actual...................................................... $1,000.00 $ 979.50 $10.37 Hypothetical**.............................................. $1,000.00 $1,014.59 $10.56 INVESTOR C Actual...................................................... $1,000.00 $ 979.50 $10.37 Hypothetical**.............................................. $1,000.00 $1,014.59 $10.56
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 1.09%, Investor A 1.34%, Investor B 2.09% and Investor C 2.09%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 17 NATIONS MARSICO FOCUSED EQUITIES FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 4.3% Commercial banking 4.6% Diversified manufacturing 5.3% Consumer credit and mortgages 5.4% Finance -- Miscellaneous 5.4% Specialty stores 5.5% Pharmaceuticals 5.5% Software 7.1% Networking and telecommunications equipment 8.7% Medical devices and supplies 9.5% Health services 38.7% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 UnitedHealth Group Inc. 9.4% ------------------------------------------------- 2 QUALCOMM Inc. 6.1% ------------------------------------------------- 3 Genentech, Inc. 5.5% ------------------------------------------------- 4 SLM Corporation 5.4% ------------------------------------------------- 5 Countrywide Financial Corporation 5.3% ------------------------------------------------- 6 General Electric Company 4.6% ------------------------------------------------- 7 Citigroup Inc. 4.3% ------------------------------------------------- 8 Lowe's Companies, Inc. 4.1% ------------------------------------------------- 9 FedEx Corporation 3.4% ------------------------------------------------- 10 eBay Inc. 3.4% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
18 NATIONS MIDCAP GROWTH FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 957.40 $ 4.81 Hypothetical**.............................................. $1,000.00 $1,020.16 $ 4.96 INVESTOR A Actual...................................................... $1,000.00 $ 956.50 $ 6.03 Hypothetical**.............................................. $1,000.00 $1,018.90 $ 6.23 INVESTOR B Actual...................................................... $1,000.00 $ 953.10 $ 9.69 Hypothetical**.............................................. $1,000.00 $1,015.14 $10.00 INVESTOR C Actual...................................................... $1,000.00 $ 952.40 $ 9.69 Hypothetical**.............................................. $1,000.00 $1,015.14 $10.00
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.98%, Investor A 1.23%, Investor B 1.98% and Investor C 1.98%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 19 NATIONS MIDCAP GROWTH FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 8.2% Semiconductors 7.6% Pharmaceuticals 7.6% Health services 7.0% Medical devices and supplies 6.2% Software 5.2% Specialty stores 4.2% Oilfield services 3.9% Diversified electronics 3.8% Broadcasting and cable 3.7% Computer services 42.6% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Zimmer Holdings, Inc. 2.2% ------------------------------------------------- 2 Cognizant Technology Solutions Corporation 1.8% ------------------------------------------------- 3 Symantec Corporation 1.7% ------------------------------------------------- 4 DENTSPLY International Inc. 1.7% ------------------------------------------------- 5 Starwood Hotels & Resorts Worldwide, Inc. 1.7% ------------------------------------------------- 6 Respironics, Inc. 1.7% ------------------------------------------------- 7 Marvell Technology Group Ltd. 1.6% ------------------------------------------------- 8 Harris Corporation 1.6% ------------------------------------------------- 9 McCormick and Company, Inc. 1.5% ------------------------------------------------- 10 Expeditors International of Washington, Inc. 1.5% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
20 NATIONS MARSICO 21ST CENTURY FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 994.90 $ 5.95 Hypothetical**.............................................. $1,000.00 $1,019.10 $ 6.02 INVESTOR A Actual...................................................... $1,000.00 $ 993.80 $ 7.20 Hypothetical**.............................................. $1,000.00 $1,017.85 $ 7.28 INVESTOR B Actual...................................................... $1,000.00 $ 989.40 $10.92 Hypothetical**.............................................. $1,000.00 $1,014.09 $11.06 INVESTOR C Actual...................................................... $1,000.00 $ 989.40 $10.92 Hypothetical**.............................................. $1,000.00 $1,014.09 $11.06
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 1.19%, Investor A 1.44%, Investor B 2.19% and Investor C 2.19%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 21 NATIONS MARSICO 21ST CENTURY FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 13.1% Lodging and recreation 8.0% Specialty stores 6.1% Finance-Miscellaneous 5.8% Diversified electronics 5.2% Consumer credit and mortgages 5.0% Investment services 4.5% Networking and telecommunications equipment 4.3% Real Estate Investment Trusts (REITs) 4.3% Recreation 3.7% Health services 40.0% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Countrywide Financial Corporation 5.2% ------------------------------------------------- 2 Wynn Resorts, Ltd. 4.8% ------------------------------------------------- 3 QUALCOMM Inc. 4.5% ------------------------------------------------- 4 Royal Caribbean Cruises Ltd. 4.3% ------------------------------------------------- 5 UCBH Holdings Inc. 4.2% ------------------------------------------------- 6 UnitedHealth Group Inc. 3.7% ------------------------------------------------- 7 Harman International Industries, Inc. 3.5% ------------------------------------------------- 8 PETsMart, Inc. 3.4% ------------------------------------------------- 9 Brunswick Corporation 3.2% ------------------------------------------------- 10 South Financial Group, Inc. 3.0% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
22 NATIONS SMALL COMPANY FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 940.10 $ 5.59 Hypothetical**.............................................. $1,000.00 $1,019.30 $ 5.82 INVESTOR A Actual...................................................... $1,000.00 $ 938.80 $ 6.80 Hypothetical**.............................................. $1,000.00 $1,018.05 $ 7.08 INVESTOR B Actual...................................................... $1,000.00 $ 936.00 $10.43 Hypothetical**.............................................. $1,000.00 $1,014.29 $10.86 INVESTOR C Actual...................................................... $1,000.00 $ 935.50 $10.43 Hypothetical**.............................................. $1,000.00 $1,014.29 $10.86
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 1.15%, Investor A 1.40%, Investor B 2.15% and Investor C 2.15%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 23 NATIONS SMALL COMPANY FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 9.3% Pharmaceuticals 7.7% Software 7.6% Health services 7.2% Medical devices and supplies 6.6% Semiconductors 5.8% Diversified electronics 5.0% Computer services 3.2% Commercial banking 3.1% Lodging and recreation 2.9% Diversified manufacturing 41.6% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 VCA Antech, Inc. 2.6% ------------------------------------------------- 2 Affiliated Managers Group, Inc. 2.0% ------------------------------------------------- 3 Respironics, Inc. 2.0% ------------------------------------------------- 4 Kyphon Inc. 1.8% ------------------------------------------------- 5 Microsemi Corporation 1.6% ------------------------------------------------- 6 Province Healthcare Company 1.5% ------------------------------------------------- 7 City National Corporation 1.5% ------------------------------------------------- 8 Education Management Corporation 1.5% ------------------------------------------------- 9 Tuesday Morning Corporation 1.4% ------------------------------------------------- 10 Joseph A. Bank Clothiers, Inc. 1.3% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
24 NATIONS FUNDS Nations Convertible Securities Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- COMMON STOCKS -- 11.7% AEROSPACE AND DEFENSE -- 0.3% 107,271 Raytheon Company.............................................. $ 4,074 ---------- BROADCASTING AND CABLE -- 0.6% 394,450 The Walt Disney Company....................................... 8,895 ---------- COMMERCIAL BANKING -- 0.6% 153,300 Wells Fargo & Company......................................... 9,141 ---------- COMMERCIAL SERVICES -- 1.1% 655,470 Cendant Corporation........................................... 14,158 82,200 Startek, Inc. ................................................ 2,578 ---------- 16,736 ---------- COMPUTER SERVICES -- 0.6% 176,000 Automatic Data Processing, Inc. .............................. 7,272 30,000 InfoSpace, Inc. .............................................. 1,422 ---------- 8,694 ---------- CONGLOMERATES -- 0.5% 260,000 Tyco International Ltd. ...................................... 7,972 ---------- DIVERSIFIED MANUFACTURING -- 1.6% 76,330 3M Company.................................................... 6,104 130,000 Actuant Corporation, Class A!!................................ 5,357 208,000 Danaher Corporation........................................... 10,665 80,000 Kaydon Corporation............................................ 2,302 20,000 Roper Industries, Inc. ....................................... 1,149 ---------- 25,577 ---------- ELECTRIC POWER -- NON NUCLEAR -- 0.3% 89,000 TXU Corporation............................................... 4,265 ---------- FINANCE -- MISCELLANEOUS -- 0.7% 140,000 Moody's Corporation........................................... 10,255 ---------- FOOD PRODUCTS -- 0.4% 192,000 Volume Services America Holdings, Inc. ....................... 2,822 61,600 Wm. Wrigley Jr. Company....................................... 3,900 ---------- 6,722 ---------- HEAVY MACHINERY -- 0.7% 151,000 Cummins, Inc. ................................................ 11,157 ---------- HOUSEHOLD PRODUCTS -- 0.5% 146,000 Procter & Gamble Company...................................... 7,902 ---------- HOUSING AND FURNISHING -- 0.1% 69,800 RPM Inc. ..................................................... 1,232 ---------- INSURANCE -- 0.1% 24,800 Leucadia National Corporation................................. 1,405 ----------
VALUE SHARES (000) -------------------------------------------------------------------------------------- INTEGRATED OIL -- 0.7% 100,000 Kerr-McGee Corporation........................................ $ 5,725 401,000 The Williams Companies, Inc. ................................. 4,852 ---------- 10,577 ---------- LODGING AND RECREATION -- 0.2% 140,000 Hilton Hotels Corporation..................................... 2,638 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.3% 450,000 Corning Inc.!!................................................ 4,986 ---------- OILFIELD SERVICES -- 0.6% 250,000 Halliburton Company........................................... 8,423 ---------- PHARMACEUTICALS -- 0.7% 59,000 Axcan Pharma, Inc.!!(a)....................................... 920 200,000 Bristol-Myers Squibb Company.................................. 4,734 85,300 Celgene Corporation!!......................................... 4,966 53,000 Cubist Pharmaceuticals, Inc.!!................................ 524 ---------- 11,144 ---------- RESTAURANTS -- 0.6% 320,000 McDonald's Corporation........................................ 8,970 ---------- SEMICONDUCTORS -- 0.2% 86,000 Analog Devices, Inc. ......................................... 3,335 ---------- SOFTWARE -- 0.1% 35,600 Yahoo! Inc.!!................................................. 1,207 ---------- TELECOMMUNICATIONS SERVICES -- 0.2% 22,871 Cia Anonima Nacional Telefonos de Venezuela, ADR.............. 515 110,901 Crown Castle International Corporation!!...................... 1,651 30,000 Telefonos de Mexico SA de CV 'L', ADR......................... 968 ---------- 3,134 ---------- TOTAL COMMON STOCKS (Cost $140,337)............................................. 178,441 ---------- PRINCIPAL AMOUNT (000) --------- CONVERTIBLE BONDS AND NOTES -- 63.9% AEROSPACE AND DEFENSE -- 0.4% $ 4,180 L-3 Communications Holdings, Inc., 4.000% 09/15/11@............................................ 5,220 685 United Industrial Corporation, 3.750% 09/15/24@............................................ 762 ---------- 5,982 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS Nations Convertible Securities Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- AIRLINES -- 0.4% $ 9,950 Northwest Airlines Corporation, 7.625% 11/15/23(a).......................................... $ 6,629 ---------- APPAREL AND TEXTILES -- 0.7% 4,625 Kellwood Company, 3.500% 06/15/34@(a)......................................... 4,729 5,963 Reebok International Ltd., 2.000% 05/01/24@(a)......................................... 6,023 ---------- 10,752 ---------- AUTOMOTIVE -- 0.4% 6,210 American Axle & Manufacturing Holdings, Inc., 2.000% 02/15/24@(a)......................................... 5,573 ---------- BROADCASTING AND CABLE -- 2.6% 7,255 Liberty Media Corporation, 3.500% 01/15/31@............................................ 6,629 1,975 Liberty Media Corporation, 3.500% 01/15/31............................................. 1,805 10,330 Liberty Media Corporation, 3.250% 03/15/31(a).......................................... 9,362 7,980 Lions Gate Entertainment Corp., 2.938% 10/15/24@............................................ 7,980 12,835 The Walt Disney Company, 2.125% 04/15/23(a).......................................... 13,171 ---------- 38,947 ---------- COMMERCIAL SERVICES -- 1.2% 10,314 Allied Waste Industries, Inc., 4.250% 04/15/34(a).......................................... 9,038 9,920 CSG Systems International, Inc., 2.500% 06/15/24@............................................ 9,349 ---------- 18,387 ---------- COMPUTER SERVICES -- 3.2% 8,282 Ciber, Inc., 2.875% 12/15/23@(a)......................................... 7,775 5,975 CNET Networks, Inc., 0.750% 04/15/24@(a)......................................... 5,512 11,910 DST Systems Inc., 4.125% 08/15/23............................................. 14,307 12,940 Electronic Data Systems Corporation, 3.875% 07/15/23@(a)......................................... 12,891 3,850 The BISYS Group, Inc., 4.000% 03/15/06@............................................ 3,773 3,925 The BISYS Group, Inc., 4.000% 03/15/06............................................. 3,847 ---------- 48,105 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 0.4% 5,030 Eastman Kodak Company, 3.375% 10/15/33@(a)......................................... 6,338 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CONGLOMERATES -- 2.1% $ 4,270 Tyco International Group, 2.750% 01/15/18............................................. $ 5,983 17,350 Tyco International Group, 3.125% 01/15/23............................................. 25,982 ---------- 31,965 ---------- CONSTRUCTION -- 0.7% 10,395 Fluor Corporation, 1.500% 02/15/24(a).......................................... 10,850 ---------- CONSUMER CREDIT AND MORTGAGES -- 1.0% 14,385 American Express Company, 1.850% 12/01/33@(a)......................................... 15,176 ---------- DIVERSIFIED MANUFACTURING -- 1.8% 6,205 Actuant Corporation, 2.000% 11/15/23@............................................ 7,477 5,715 Kaydon Corporation, 4.000% 05/23/23............................................. 6,637 7,897 Lennox International Inc., 6.250% 06/01/09............................................. 8,913 9,860 Roper Industries, Inc., 1.481% 01/15/34(a).......................................... 4,536 ---------- 27,563 ---------- EDUCATION -- 0.4% 4,900 School Specialty, Inc., 3.750% 08/01/23............................................. 5,923 ---------- ELECTRIC POWER -- NON NUCLEAR -- 4.5% 8,925 CenterPoint Energy, Inc., 3.750% 05/15/23@(a)......................................... 9,795 1,080 CenterPoint Energy, Inc., 3.750% 05/15/23............................................. 1,185 2,979 CenterPoint Energy, Inc., 2.875% 01/15/24@............................................ 3,098 12,832 Dominion Resources, Inc., 2.125% 12/15/23............................................. 13,105 13,755 Duke Energy Corporation, 1.750% 05/15/23............................................. 14,650 5,205 PPL Energy Supply LLC, 2.625% 05/15/23............................................. 5,517 12,890 PPL Energy Supply LLC, 2.625% 05/15/23@(a)......................................... 13,663 5,950 Reliant Resources, Inc., 5.000% 08/15/10(a).......................................... 7,653 ---------- 68,666 ---------- ENERGY -- MISCELLANEOUS -- 1.0% 4,500 Massey Energy Company, 4.750% 05/15/23............................................. 7,869 1,000 Massey Energy Company, 4.750% 05/15/23@............................................ 1,749 5,415 Massey Energy Company, 2.250% 04/01/24@............................................ 6,180 ---------- 15,798 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS Nations Convertible Securities Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- EXPLORATION AND PRODUCTION -- 0.9% $ 4,225 Devon Energy Corporation, 4.950% 08/15/08(a).......................................... $ 4,579 8,925 Kerr-McGee Corporation, 5.250% 02/15/10............................................. 9,538 ---------- 14,117 ---------- FINANCE -- MISCELLANEOUS -- 1.9% 10,945 CapitalSource Inc., 3.500% 07/15/34@............................................ 10,972 15,780 Providian Financial Corporation, 2.750% 03/15/16............................................. 18,483 ---------- 29,455 ---------- FOOD PRODUCTS -- 0.4% 4,000 Bunge Ltd., 3.750% 11/15/22(a).......................................... 5,390 ---------- HEALTH SERVICES -- 2.0% 15,880 Health Management Associates, Inc., 1.500% 08/01/23............................................. 16,357 12,890 Lincare Holdings Inc., 3.000% 06/15/33@............................................ 12,616 1,494 SFBC International, Inc., 2.250% 08/15/24@............................................ 1,449 ---------- 30,422 ---------- HOUSEHOLD PRODUCTS -- 0.4% 4,915 Church & Dwight Co., Inc., 5.250% 08/15/33............................................. 5,763 ---------- HOUSING AND FURNISHING -- 0.3% 3,945 Beazer Homes USA, Inc., 4.625% 06/15/24@............................................ 4,246 ---------- INSURANCE -- 2.0% 10,740 Leucadia National Corporation, 3.750% 04/15/14@............................................ 11,545 8,680 Ohio Casualty Corporation, 5.000% 03/19/22............................................. 9,212 5,850 PMI Group Inc., 2.500% 07/15/21@............................................ 6,494 3,000 PMI Group, Inc., 2.500% 07/15/21(a).......................................... 3,330 ---------- 30,581 ---------- INVESTMENT SERVICES -- 0.3% 4,900 E*TRADE Group, Inc., 6.000% 02/01/07............................................. 5,010 ---------- LODGING AND RECREATION -- 2.8% 5,803 Fairmont Hotels & Resorts Inc., 3.750% 12/01/23(a).......................................... 6,042 6,952 Fairmont Hotels & Resorts, Inc., 3.750% 12/01/23@............................................ 7,239
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- LODGING AND RECREATION -- (CONTINUED) $11,320 Four Seasons Hotels Inc., 1.875% 07/30/24(a).......................................... $ 12,509 14,803 Hilton Hotels Corporation, 3.375% 04/15/23(a).......................................... 16,265 ---------- 42,055 ---------- MEDICAL DEVICES AND SUPPLIES -- 4.8% 14,920 Advanced Medical Optics, Inc., 2.500% 07/15/24@............................................ 16,337 7,890 Bausch & Lomb Inc., 2.486% 08/01/23(a).......................................... 10,605 4,950 Charles River Labs Inc., 3.500% 02/01/22(a).......................................... 5,940 3,480 Charles River Labs Inc., 3.500% 02/01/22@............................................ 4,176 14,832 Fisher Scientific International, Inc., 3.250% 03/01/24(a).......................................... 15,926 3,980 Henry Schein, Inc., 3.000% 08/15/34@............................................ 4,080 14,890 Invitrogen Corporation, 2.000% 08/01/23............................................. 16,378 ---------- 73,442 ---------- METALS AND MINING -- 1.3% 10,710 Freeport-McMoran Copper & Gold, Inc., 7.000% 02/11/11............................................. 16,881 1,875 Inco Ltd., 3.500% 03/14/52............................................. 3,012 ---------- 19,893 ---------- NATURAL GAS PIPELINES -- 0.7% 6,950 Dynegy Inc., 4.750% 08/15/23@............................................ 10,390 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.4% 3,035 American Tower Corporation, 3.250% 08/01/10............................................. 4,424 2,985 American Tower Corporation, 3.000% 08/15/12@(a)......................................... 3,067 12,800 Lucent Technologies Inc., 8.000% 08/01/31(a).......................................... 13,856 ---------- 21,347 ---------- OILFIELD SERVICES -- 3.0% 5,467 Cooper Cameron Corporation, 1.500% 05/15/24@............................................ 5,884 15,925 Halliburton Company, 3.125% 07/15/23............................................. 18,134 3,451 Hanover Compressor Company, 4.750% 01/15/14............................................. 4,253 1,880 Pride International, Inc., 3.250% 05/01/33(a).......................................... 2,047 13,900 Pride International, Inc., 3.250% 05/01/33@............................................ 15,134 ---------- 45,452 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS Nations Convertible Securities Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- PACKAGING AND CONTAINERS -- 1.2% $17,910 Sealed Air Corporation, 3.000% 06/30/33(a).......................................... $ 17,888 ---------- PHARMACEUTICALS -- 8.8% 9,140 AmerisourceBergen Corporation, 5.000% 12/01/07............................................. 9,700 6,965 Amylin Pharmaceuticals, Inc., 2.500% 04/15/11@(a)......................................... 6,652 4,950 Cell Therapeutic, Inc., 4.000% 07/01/10@............................................ 4,071 3,950 Cephalon Inc., 2.500% 12/15/06(a).......................................... 3,841 7,820 Cubist Pharmaceuticals, 5.500% 11/01/08............................................. 7,155 6,745 Enzon Pharmaceuticals Inc., 4.500% 07/01/08(a).......................................... 6,298 17,413 Genzyme Corporation, 1.250% 12/01/23@............................................ 18,240 995 Human Genome Sciences, Inc., 2.250% 10/15/11@............................................ 997 2,880 ICOS Corporation, 2.000% 07/01/23@(a)......................................... 2,394 9,880 ICOS Corporation, 2.000% 07/01/23............................................. 8,213 5,700 IVAX Corporation, 4.500% 05/15/08@............................................ 5,643 9,840 IVAX Corporation, 4.500% 05/15/08(a).......................................... 9,742 3,346 Millennium Pharmaceuticals, Inc., 5.500% 01/15/07............................................. 3,396 6,950 Sepracor Inc., 5.000% 02/15/07............................................. 7,124 18,200 Teva Pharmaceutical Industries, Ltd., 0.500% 02/01/24............................................. 17,495 7,340 Vertex Pharmaceuticals, Inc., 5.000% 09/19/07(a).......................................... 7,046 4,660 Watson Pharmaceuticals, Inc. 1.750% 03/15/23............................................. 4,625 9,925 Wyeth, 1.360% 01/15/24@............................................ 9,747 ---------- 132,379 ---------- PUBLISHING AND ADVERTISING -- 1.1% 14,795 Lamar Advertising Company, 2.875% 12/31/10(a).......................................... 16,053 ---------- RAILROADS, TRUCKING AND SHIPPING -- 2.0% 5,875 GATX Corporation, 7.500% 02/01/07@............................................ 6,668 1,805 GATX Corporation, 7.500% 02/01/07............................................. 2,049 3,952 GATX Corporation, 5.000% 08/15/23............................................. 5,187
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- (CONTINUED) $ 5,935 Yellow Corporation, 5.000% 08/08/23............................................. $ 9,044 5,760 Yellow Corporation, 3.375% 11/25/23@(a)......................................... 7,646 ---------- 30,594 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 1.2% 17,040 Host Marriott LP, 3.250% 04/15/24@............................................ 17,615 ---------- RETAIL -- SPECIALTY -- 0.6% 9,920 Saks Inc., 2.000% 03/15/24@............................................ 8,754 ---------- SEMICONDUCTORS -- 0.9% 3,920 LSI Logic Corporation, 4.000% 05/15/10@(a)......................................... 3,504 9,880 Vishay Intertechnology Inc., 3.625% 08/01/23(a).......................................... 10,559 ---------- 14,063 ---------- SOFTWARE -- 1.6% 4,290 Acxiom Corporation, 3.750% 02/15/09@............................................ 5,706 10,232 BEA Systems, Inc., 4.000% 12/15/06............................................. 10,194 3,955 Fair Issac Corporation, 1.500% 08/15/23@............................................ 3,915 4,900 Fair Issac Corporation, 1.500% 08/15/23............................................. 4,851 ---------- 24,666 ---------- TELECOMMUNICATIONS SERVICES -- 3.5% 7,410 Andrew Corporation, 3.250% 08/15/13............................................. 9,235 25,175 AT&T Corporation -- Liberty Media Group, 4.000% 11/15/29(a).......................................... 17,780 7,425 Commonwealth Telephone Enterprises, Inc., 3.250% 07/15/23(a).......................................... 7,471 5,805 Harris Corporation, 3.500% 08/15/22............................................. 7,815 11,560 Nextel Communications, Inc., Class A, 5.250% 01/15/10(a).......................................... 11,517 ---------- 53,818 ---------- TOTAL CONVERTIBLE BONDS AND NOTES (Cost $910,592)............................................. 970,047 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS Nations Convertible Securities Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS -- 23.1% AEROSPACE AND DEFENSE -- 0.9% 40,000 Northrop Grumman Corporation, 7.000%.......................... $ 5,240 80,350 Northrop Grumman Corporation, 7.250%.......................... 8,312 ---------- 13,552 ---------- AUTOMOTIVE -- 1.8% 94,000 Ford Motor Company Capital Trust II........................... 4,914 611,050 General Motors Corporation.................................... 17,202 233,300 General Motors Corporation, Series B.......................... 5,578 ---------- 27,694 ---------- BEVERAGES -- 0.5% 210,350 Constellation Brands, Inc.(a)................................. 6,889 ---------- COMMERCIAL BANKING -- 1.9% 336,200 Sovereign Capital Trust IV.................................... 16,347 121,000 Washington Mutual Capital Trust I............................. 6,650 116,600 Washington Mutual Inc. ....................................... 6,361 ---------- 29,358 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 0.7% 80,090 Xerox Corporation............................................. 10,191 ---------- CONSUMER CREDIT AND MORTGAGES -- 0.9% 44,700 Doral Financial Corporation................................... 13,340 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.3% 288,200 Ameren Corporation............................................ 7,914 194,510 Cinergy Corporation........................................... 11,877 ---------- 19,791 ---------- ENERGY -- MISCELLANEOUS -- 1.0% 119,100 Williams Companies, Inc.@(a).................................. 8,456 97,800 Williams Companies, Inc.(a)................................... 6,944 ---------- 15,400 ---------- FOOD AND DRUG STORES -- 0.4% 224,000 Albertson's, Inc. ............................................ 5,802 ---------- HEALTH SERVICES -- 1.3% 70,200 Anthem, Inc. ................................................. 7,027 255,850 Omnicare, Inc. ............................................... 12,153 ---------- 19,180 ---------- HEAVY MACHINERY -- 1.2% 42,000 Cummins Capital Trust I@...................................... 3,428 179,200 Cummins Capital Trust I....................................... 14,627 ---------- 18,055 ----------
VALUE SHARES (000) -------------------------------------------------------------------------------------- INSURANCE -- 2.4% 17,700 Hartford Financial Services Group, Inc. ...................... $ 1,078 228,625 Prudential Financial Inc. .................................... 15,964 66,000 Reinsurance Group of America Inc. ............................ 3,828 632,950 XL Capital Ltd. .............................................. 15,640 ---------- 36,510 ---------- INVESTMENT SERVICES -- 0.8% 294,000 Citigroup Global Markets Holdings Inc. ....................... 11,770 ---------- MEDICAL DEVICES AND SUPPLIES -- 1.1% 315,560 Baxter International Inc.(a).................................. 16,961 ---------- METALS AND MINING -- 0.4% 62,700 Freeport-McMoran Copper & Gold Inc.@.......................... 6,395 ---------- OIL AND GAS -- 2.5% 187,120 Amerada Hess Corporation...................................... 14,937 100,000 Chesapeake Energy Corporation, 4.125%@........................ 11,300 130,950 Chesapeake Energy Corporation, 6.000%@........................ 10,525 46,200 Southern Union Company........................................ 2,958 ---------- 39,720 ---------- PAPER AND FOREST PRODUCTS -- 0.8% 215,700 Temple-Inland Inc. ........................................... 12,204 ---------- PHARMACEUTICALS -- 0.7% 199,300 Schering-Plough Corporation................................... 10,553 ---------- PUBLISHING AND ADVERTISING -- 0.7% 266,500 Interpublic Group of Companies, Inc. ......................... 11,068 ---------- SEMICONDUCTORS -- 0.3% 86,390 Motorola, Inc. ............................................... 4,326 ---------- TELECOMMUNICATIONS SERVICES -- 1.5% 140,800 Alltel Corporation............................................ 7,288 336,185 Crown Castle International Corporation(a)..................... 15,422 ---------- 22,710 ---------- TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $309,685)............................................. 351,469 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS Nations Convertible Securities Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
SHARES VALUE (000) (000) -------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 17.5% (Cost $266,942) 266,942 Nations Cash Reserves, Capital Class Shares#.................. $ 266,942 ---------- TOTAL INVESTMENTS (Cost $1,627,556*)................................ 116.2% 1,766,899 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (16.2)% (245,843) ---------- NET ASSETS.......................................... 100.0% $1,521,056 ==========
--------------- *Federal income tax information (see Note 12). !! 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. #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 $246,132. (a) All or portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $230,605 and $239,311, respectively. ABBREVIATIONS: ADR -- American Depository Receipt LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS Nations Asset Allocation Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 3.5% ASSET-BACKED -- AUTO LOANS -- 2.3% $ 509 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08............................................. $ 517 460 AmeriCredit Automobile Receivables Trust, Series 2004-BM, Class A3, 2.070% 08/06/08............................................. 454 337 Bank One Auto Securitization Trust, Series 2003-1, Class A3, 1.820% 09/20/07............................................. 334 189 Capital Auto Receivables Asset Trust, Series 2002-3, Class A2A, 3.050% 09/15/05............................................. 189 450 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 5.180% 10/16/06............................................. 460 267 Ford Credit Auto Owner Trust, Series 2003-A, Class A4A, 2.700% 06/15/07............................................. 267 676 Honda Auto Receivables Owner Trust, Series 2004-1, Class A4, 3.060% 10/21/09............................................. 674 318 Nissan Auto Receivables Owner Trust, Series 2003-C, Class A4, 2.700% 12/17/07............................................. 317 1,048 Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A3, 2.270% 10/22/07............................................. 1,045 -------- 4,257 -------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 0.7% 125 American Express Credit Account Master, Series 2003-4, Class A, 1.690% 01/15/09............................................. 123 621 Citibank Credit Card Issuance Trust, Series 2003-A5, Class A5, 2.500% 04/07/08............................................. 619 500 Citibank Credit Card Master Trust I, Series 1999-5, Class A, 6.100% 05/15/08............................................. 526 -------- 1,268 -------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.0%+ 41 First Plus Home Loan Trust, Series 1998-2, Class M1, 7.720% 05/10/24............................................. 41 -------- ASSET-BACKED -- OTHER -- 0.5% 900 CIT Equipment Collateral, Series 2002-VT1, Class A4, 4.670% 12/21/09............................................. 913 -------- TOTAL ASSET-BACKED SECURITIES (Cost $6,449)............................................... 6,479 -------- VALUE SHARES (000) -------------------------------------------------------------------------------------- COMMON STOCKS -- 64.4% AEROSPACE AND DEFENSE -- 1.6% 17,219 Boeing Company................................................ $ 889 17,951 Goodrich (BF) Corporation..................................... 563 8,806 Northrop Grumman Corporation.................................. 470 11,511 United Technologies Corporation............................... 1,074 -------- 2,996 -------- AUTOMOTIVE -- 0.8% 50,243 Ford Motor Company............................................ 706 15,786 Lear Corporation.............................................. 859 -------- 1,565 -------- BEVERAGES -- 2.0% 11,457 Anheuser-Busch Companies, Inc. ............................... 572 17,824 Coca-Cola Company............................................. 714 10,900 Diageo plc, ADR............................................... 550 41,378 Pepsi Bottling Group, Inc. ................................... 1,123 13,792 PepsiCo, Inc. ................................................ 671 -------- 3,630 -------- BROADCASTING AND CABLE -- 1.5% 36,445 Clear Channel Communications, Inc. ........................... 1,137 12,837 Comcast Corporation, Class A!!................................ 358 49,519 Time Warner Inc.!!............................................ 799 15,061 Viacom Inc., Class B.......................................... 505 -------- 2,799 -------- BUILDING MATERIALS -- 0.5% 12,564 American Standard Companies Inc.!!............................ 489 11,545 Martin Marietta Materials, Inc. .............................. 523 -------- 1,012 -------- CHEMICALS -- BASIC -- 0.6% 8,831 PPG Industries, Inc. ......................................... 541 11,375 Rohm & Haas Company........................................... 489 -------- 1,030 -------- COMMERCIAL BANKING -- 6.1% 76,519 Citigroup Inc.##.............................................. 3,376 13,593 City National Corporation..................................... 883 18,250 Comerica Inc. ................................................ 1,083 23,389 Hibernia Corporation, Class A................................. 618 15,356 Marshall and Ilsley Corporation............................... 619 13,880 PNC Financial Services Group.................................. 751 45,816 US Bancorp.................................................... 1,324 26,937 Wachovia Corporation.......................................... 1,265 15,547 Washington Mutual, Inc. ...................................... 608 13,973 Zions Bancorporation.......................................... 853 -------- 11,380 -------- COMMERCIAL SERVICES -- 0.3% 28,290 Allied Waste Industries, Inc.!!............................... 250 13,828 Waste Management, Inc. ....................................... 378 -------- 628 -------- COMPUTER SERVICES -- 1.2% 12,921 Accenture Ltd.!!.............................................. 350 9,233 Affiliated Computer Services, Inc., Class A!!................. 514 14,231 Computer Sciences Corporation!!............................... 669
SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS FUNDS Nations Asset Allocation Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- COMPUTER SERVICES -- (CONTINUED) 11,331 First Data Corporation........................................ $ 493 12,937 Synopsys, Inc.!!.............................................. 205 -------- 2,231 -------- COMPUTERS AND OFFICE EQUIPMENT -- 1.6% 8,953 Dell Inc.!!................................................... 319 15,846 Hewlett-Packard Company....................................... 297 19,144 International Business Machines Corporation##................. 1,641 6,069 NCR Corporation!!............................................. 301 10,952 Pitney Bowes Inc. ............................................ 483 -------- 3,041 -------- CONGLOMERATES -- 0.3% 14,631 Pentair, Inc. ................................................ 511 -------- CONSUMER CREDIT AND MORTGAGES -- 1.3% 11,294 Fannie Mae.................................................... 716 12,187 Freddie Mac................................................... 795 36,320 MBNA Corporation.............................................. 915 -------- 2,426 -------- DEPARTMENT AND DISCOUNT STORES -- 1.8% 39,315 Dollar General Corporation.................................... 792 9,612 Target Corporation............................................ 435 39,485 Wal-Mart Stores, Inc.##....................................... 2,101 -------- 3,328 -------- DIVERSIFIED ELECTRONICS -- 1.3% 11,708 Amphenol Corporation, Class A!!............................... 401 14,253 Cooper Industries, Ltd. ...................................... 841 50,035 Flextronics International Ltd.!!.............................. 663 8,148 Harris Corporation............................................ 448 -------- 2,353 -------- DIVERSIFIED MANUFACTURING -- 2.5% 6,038 3M Company.................................................... 483 107,449 General Electric Company##.................................... 3,608 10,047 Harsco Corporation............................................ 451 -------- 4,542 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.5% 94,089 AES Corporation!!............................................. 940 -------- ELECTRIC POWER -- NUCLEAR -- 0.7% 23,453 American Electric Power Company, Inc. ........................ 749 15,068 DTE Energy Company............................................ 636 -------- 1,385 -------- EXPLORATION AND PRODUCTION -- 0.7% 11,857 Anadarko Petroleum Corporation................................ 786 9,660 Newfield Exploration Company!!................................ 592 -------- 1,378 --------
VALUE SHARES (000) -------------------------------------------------------------------------------------- FINANCE -- MISCELLANEOUS -- 0.9% 10,383 Capital One Financial Corporation............................. $ 767 17,307 H & R Block, Inc. ............................................ 856 -------- 1,623 -------- FOOD AND DRUG STORES -- 0.2% 14,128 SUPERVALU Inc. ............................................... 389 -------- FOOD PRODUCTS -- 0.9% 25,286 Kellogg Company............................................... 1,079 33,151 Tyson Foods Inc., Class A..................................... 531 -------- 1,610 -------- HEALTH SERVICES -- 1.8% 22,257 Health Net Inc.!!............................................. 550 14,658 Lincare Holdings Inc.!!....................................... 435 6,343 Quest Diagnostics Inc. ....................................... 560 21,321 Triad Hospitals, Inc.!!....................................... 734 14,080 UnitedHealth Group Inc. ...................................... 1,039 -------- 3,318 -------- HOUSEHOLD PRODUCTS -- 1.0% 25,622 Procter & Gamble Company...................................... 1,386 10,020 The Estee Lauder Companies Inc., Class A...................... 419 -------- 1,805 -------- HOUSING AND FURNISHING -- 0.6% 8,844 Lennar Corporation, Class A................................... 421 16,956 The Stanley Works............................................. 721 -------- 1,142 -------- INSURANCE -- 3.8% 18,688 ACE Ltd. ..................................................... 749 5,692 Aetna Inc. ................................................... 569 6,831 AMBAC Financial Group, Inc. .................................. 546 24,407 American International Group, Inc. ........................... 1,658 11,191 Endurance Specialty Holdings Ltd. ............................ 360 10,140 Hartford Financial Services Group, Inc. ...................... 628 12,874 Lincoln National Corporation.................................. 605 13,064 Prudential Financial, Inc. ................................... 615 15,887 The PMI Group, Inc. .......................................... 645 17,926 The St. Paul Companies, Inc. ................................. 593 -------- 6,968 -------- INTEGRATED OIL -- 4.7% 8,808 Apache Corporation............................................ 441 25,146 ChevronTexaco Corporation..................................... 1,349 13,412 ConocoPhillips................................................ 1,111 78,730 Exxon Mobil Corporation##..................................... 3,806 27,861 Marathon Oil Corporation...................................... 1,150 10,472 Valero Energy Corporation..................................... 840 -------- 8,697 -------- INVESTMENT SERVICES -- 2.6% 8,647 Goldman Sachs Group, Inc. .................................... 806 26,082 J.P. Morgan Chase & Company................................... 1,036 25,779 Janus Capital Group Inc. ..................................... 351 8,863 Legg Mason, Inc. ............................................. 472 9,253 Lehman Brothers Holdings Inc. ................................ 738
SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS Nations Asset Allocation Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- INVESTMENT SERVICES -- (CONTINUED) 20,754 Merrill Lynch & Company, Inc. ................................ $ 1,032 10,491 State Street Corporation...................................... 448 -------- 4,883 -------- LODGING AND RECREATION -- 0.8% 15,933 Brunswick Corporation......................................... 729 12,651 Harrah's Entertainment, Inc. ................................. 670 -------- 1,399 -------- MEDICAL DEVICES AND SUPPLIES -- 2.4% 14,556 Abbott Laboratories........................................... 617 10,890 Cardinal Health, Inc. ........................................ 477 45,461 Johnson & Johnson##........................................... 2,560 13,415 Medtronic, Inc. .............................................. 696 -------- 4,350 -------- METALS AND MINING -- 0.7% 17,287 Alcoa Inc. ................................................... 581 7,204 Phelps Dodge Corporation...................................... 663 -------- 1,244 -------- NATURAL GAS DISTRIBUTION -- 0.4% 21,099 Sempra Energy................................................. 764 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.6% 77,982 Cisco Systems, Inc.!!......................................... 1,412 53,061 Motorola, Inc. ............................................... 957 65,886 Tellabs, Inc.!!............................................... 605 -------- 2,974 -------- PACKAGING AND CONTAINERS -- 0.6% 30,442 Ball Corporation.............................................. 1,139 -------- PAPER AND FOREST PRODUCTS -- 0.2% 6,526 Temple-Inland Inc. ........................................... 438 -------- PHARMACEUTICALS -- 4.1% 5,548 Allergan, Inc. ............................................... 403 30,066 Amgen Inc.!!.................................................. 1,704 18,207 Bristol-Myers Squibb Company.................................. 431 9,985 Eli Lilly and Company......................................... 600 13,962 Express Scripts, Inc.!!....................................... 912 11,179 Merck & Company, Inc. ........................................ 369 101,022 Pfizer Inc. .................................................. 3,092 -------- 7,511 -------- PUBLISHING AND ADVERTISING -- 0.7% 9,156 Dow Jones & Company, Inc. .................................... 372 11,325 McGraw-Hill Companies, Inc. .................................. 902 -------- 1,274 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.6% 13,775 United Parcel Service, Inc., Class B.......................... 1,046 --------
VALUE SHARES (000) -------------------------------------------------------------------------------------- RESTAURANTS -- 0.5% 8,472 Brinker International, Inc.!!................................. $ 264 27,231 Darden Restaurants, Inc. ..................................... 635 -------- 899 -------- SEMICONDUCTORS -- 2.6% 83,700 Agere Systems Inc., Class A!!................................. 88 36,735 ASML Holding N.V.!!........................................... 473 86,937 Intel Corporation............................................. 1,743 13,104 Integrated Device Technology, Inc.!!.......................... 125 15,822 Lam Research Corporation!!.................................... 346 19,895 PerkinElmer, Inc. ............................................ 343 46,836 Texas Instruments Inc. ....................................... 997 22,478 Xilinx, Inc. ................................................. 607 -------- 4,722 -------- SOFTWARE -- 2.3% 18,624 Citrix Systems, Inc.!!........................................ 326 97,481 Microsoft Corporation......................................... 2,695 24,023 Quest Software, Inc.!!........................................ 267 16,738 Symantec Corporation!!........................................ 919 -------- 4,207 -------- SPECIALTY STORES -- 2.3% 15,737 Barnes & Noble, Inc.!!........................................ 582 22,090 Home Depot, Inc. ............................................. 866 35,353 Limited Brands................................................ 788 6,993 Nordstrom, Inc. .............................................. 267 24,645 Sherwin-Williams Company...................................... 1,084 11,807 Staples, Inc. ................................................ 352 13,395 TJX Companies, Inc. .......................................... 295 -------- 4,234 -------- TELECOMMUNICATIONS SERVICES -- 2.2% 29,099 BellSouth Corporation......................................... 789 13,256 Nextel Communications, Inc., Class A!!........................ 316 47,174 SBC Communications Inc. ...................................... 1,224 44,920 Verizon Communications Inc. .................................. 1,769 -------- 4,098 -------- TOBACCO -- 0.6% 24,022 Altria Group, Inc. ........................................... 1,130 -------- TOTAL COMMON STOCKS (Cost $93,101).............................................. 119,039 -------- PRINCIPAL AMOUNT (000) --------- CORPORATE BONDS AND NOTES -- 11.1% AEROSPACE AND DEFENSE -- 0.2% $ 79 Boeing Company, 5.125% 02/15/13............................................. 82 10 General Dynamics Corporation, 4.500% 08/15/10............................................. 10 51 Goodrich (BF) Corporation, 7.625% 12/15/12............................................. 60
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS Nations Asset Allocation Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- AEROSPACE AND DEFENSE -- (CONTINUED) $ 101 Northrop Grumman Corporation, 7.125% 02/15/11............................................. $ 116 73 Raytheon Company, 5.375% 04/01/13............................................. 76 -------- 344 -------- AUTOMOTIVE -- 0.4% 199 DaimlerChrysler NA Holdings Corporation, 4.050% 06/04/08............................................. 201 252 Ford Motor Company, 7.450% 07/16/31............................................. 246 115 General Motors Acceptance Corporation, 6.150% 04/05/07............................................. 121 77 General Motors Acceptance Corporation, 6.875% 09/15/11............................................. 81 143 General Motors Acceptance Corporation, 8.000% 11/01/31............................................. 148 16 General Motors Corporation, 8.250% 07/15/23............................................. 17 -------- 814 -------- BEVERAGES -- 0.1% 91 Anheuser-Busch Companies, Inc., 5.950% 01/15/33............................................. 96 171 Cadbury Schweppes plc, 5.125% 10/01/13@............................................ 174 -------- 270 -------- BROADCASTING AND CABLE -- 0.5% 59 Clear Channel Communications, Inc., 6.000% 11/01/06............................................. 62 78 Comcast Cable Communications, Inc., 7.125% 06/15/13............................................. 88 218 Liberty Media Corporation, 3.500% 09/25/06............................................. 218 51 Tele-Communications, Inc., Class A, 9.875% 06/15/22............................................. 69 72 The Walt Disney Company, MTN, 5.500% 12/29/06............................................. 75 54 Time Warner Entertainment Company LP, 7.250% 09/01/08............................................. 60 88 Time Warner Inc., 9.125% 01/15/13............................................. 110 142 Time Warner Inc., 7.625% 04/15/31............................................. 163 61 Viacom Inc., Class B, 5.625% 05/01/07(a).......................................... 65 -------- 910 -------- CHEMICALS -- BASIC -- 0.1% 44 The Dow Chemical Company, 6.125% 02/01/11............................................. 48 50 The Dow Chemical Company, 7.375% 11/01/29............................................. 58 -------- 106 -------- CHEMICALS -- SPECIALTY -- 0.1% 63 E.I. du Pont de Nemours and Company, 3.375% 11/15/07............................................. 63
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- (CONTINUED) $ 38 Eastman Chemical Company, 3.250% 06/15/08............................................. $ 37 18 Monsanto Company, 4.000% 05/15/08............................................. 18 49 Praxair, Inc., 4.750% 07/15/07............................................. 51 68 Praxair, Inc., 6.500% 03/01/08............................................. 75 -------- 244 -------- COMMERCIAL BANKING -- 2.0% 122 AmSouth Bank N.A., 4.850% 04/01/13............................................. 123 310 Bank One Corporation, 6.000% 08/01/08............................................. 336 79 Capital One Bank, 5.000% 06/15/09............................................. 82 78 Citigroup Inc., 6.000% 02/21/12............................................. 86 337 Citigroup Inc., 5.000% 09/15/14............................................. 338 69 City National Corporation, 5.125% 02/15/13............................................. 69 240 First Union National Bank, 5.800% 12/01/08............................................. 259 133 Golden West Financial Corporation, 4.750% 10/01/12............................................. 134 210 J.P. Morgan Chase & Company, 7.250% 06/01/07............................................. 232 67 Key Bank N.A., 7.000% 02/01/11............................................. 75 101 Mellon Funding Corporation, 6.700% 03/01/08............................................. 113 186 National City Bank, 4.625% 05/01/13............................................. 183 153 PNC Funding Corporation, 5.750% 08/01/06............................................. 160 161 Popular North America Inc., MTN, Series E, 6.125% 10/15/06............................................. 170 71 Regions Financial Corporation, 7.750% 09/15/24............................................. 87 53 SouthTrust Bank N.A., 4.750% 03/01/13............................................. 53 69 The Bank of New York, Inc., MTN, Series E, 3.900% 09/01/07............................................. 70 203 Union Planters Corporation, 4.375% 12/01/10............................................. 204 189 US Bank N.A., Minnesota, 6.375% 08/01/11............................................. 211 64 Washington Mutual, Inc., 2.400% 11/03/05............................................. 64 180 Washington Mutual, Inc., 5.625% 01/15/07............................................. 189 195 Washington Mutual, Inc., 4.625% 04/01/14............................................. 186 -------- 3,424 --------
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS Nations Asset Allocation Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- COMMERCIAL SERVICES -- 0.1% $ 118 Waste Management, Inc., 7.375% 08/01/10............................................. $ 136 -------- COMPUTER SERVICES -- 0.0%+ 52 Sungard Data Systems Inc., 4.875% 01/15/14............................................. 51 -------- COMPUTERS AND OFFICE EQUIPMENT -- 0.2% 212 Hewlett-Packard Company, 5.750% 12/15/06............................................. 223 104 International Business Machines Corporation, 4.875% 10/01/06............................................. 108 59 International Business Machines Corporation, 6.500% 01/15/28............................................. 66 33 International Business Machines Corporation, 5.875% 11/29/32............................................. 34 -------- 431 -------- CONGLOMERATES -- 0.0%+ 66 General Electric Company, 5.000% 02/01/13............................................. 68 -------- CONSTRUCTION -- 0.3% 156 D. R. Horton, Inc., 7.875% 08/15/11............................................. 180 56 K. Hovnanian Enterprises Inc., 6.500% 01/15/14............................................. 57 183 KB HOME, 5.750% 02/01/14............................................. 182 97 Toll Brothers Inc., 4.950% 03/15/14(a).......................................... 95 -------- 514 -------- CONSUMER CREDIT AND MORTGAGES -- 0.3% 48 American Express Company, 5.500% 09/12/06............................................. 50 56 American Express Company, 3.750% 11/20/07............................................. 57 153 American Express Company, 4.750% 06/17/09............................................. 159 65 American General Finance Corporation, MTN, Series H, 2.750% 06/15/08............................................. 63 302 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06............................................. 314 -------- 643 -------- DEPARTMENT AND DISCOUNT STORES -- 0.2% 100 Target Corporation, 5.400% 10/01/08............................................. 106 22 Target Corporation, 5.375% 06/15/09............................................. 23
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- DEPARTMENT AND DISCOUNT STORES -- (CONTINUED) $ 66 Target Corporation, 5.875% 03/01/12............................................. $ 72 175 Wal-Mart Stores, Inc., 5.450% 08/01/06............................................. 184 50 Wal-Mart Stores, Inc., 4.550% 05/01/13............................................. 50 -------- 435 -------- DIVERSIFIED MANUFACTURING -- 0.0%+ 65 Fortune Brands, Inc., 2.875% 12/01/06............................................. 65 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.6% 46 Appalachian Power Company, Series G, 3.600% 05/15/08............................................. 46 108 Consolidated Edison Company of New York, 4.700% 06/15/09............................................. 112 108 Consolidated Edison Company of New York, Series 2000-C, 6.625% 12/15/05............................................. 113 35 Dominion Resources, Inc., 5.000% 03/15/13............................................. 35 18 New York State Electric & Gas, 5.750% 05/01/23............................................. 18 22 Ohio Edison Company, 4.000% 05/01/08............................................. 22 30 Pacific Gas and Electric Company, 4.200% 03/01/11............................................. 30 43 Pacific Gas and Electric Company, 6.050% 03/01/34............................................. 44 45 Pepco Holdings, Inc., 5.500% 08/15/07............................................. 47 221 Progress Energy, Inc., 6.050% 04/15/07............................................. 234 41 PSEG Power LLC, 5.500% 12/01/15............................................. 41 57 Public Service Electric & Gas Company, MTN, Series C, 4.000% 11/01/08............................................. 57 181 TXU Energy Company, 7.000% 03/15/13............................................. 204 100 Westar Energy Inc., 9.750% 05/01/07............................................. 114 73 Westar Energy, Inc., 7.875% 05/01/07............................................. 81 -------- 1,198 -------- ELECTRIC POWER -- NUCLEAR -- 0.4% 96 CenterPoint Energy Resources Corporation, Series B, 7.875% 04/01/13............................................. 113 35 Duquesne Light Company, Series O, 6.700% 04/15/12............................................. 39 89 FirstEnergy Corporation, Series B, 6.450% 11/15/11............................................. 97
SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS Nations Asset Allocation Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ELECTRIC POWER -- NUCLEAR -- (CONTINUED) $ 39 FirstEnergy Corporation, Series C, 7.375% 11/15/31............................................. $ 44 134 MidAmerican Energy Holdings, Series D, 5.000% 02/15/14............................................. 133 51 Southern California Edison Company, 5.000% 01/15/14............................................. 52 34 Southern California Edison Company, 6.000% 01/15/34............................................. 35 96 Southern Company Capital Funding, Series A, 5.300% 02/01/07............................................. 101 52 Southern Power Company, Series B, 6.250% 07/15/12............................................. 57 93 Virginia Electric and Power Company, Series A, 5.375% 02/01/07............................................. 97 -------- 768 -------- EXPLORATION AND PRODUCTION -- 0.3% 31 Devon Energy Corporation, 7.950% 04/15/32............................................. 38 206 Pioneer Natural Resources Company, 6.500% 01/15/08............................................. 223 175 XTO Energy, Inc., 7.500% 04/15/12............................................. 206 -------- 467 -------- FINANCE -- MISCELLANEOUS -- 0.8% 120 Associates Corporation of North America, 6.950% 11/01/18............................................. 140 87 CIT Group Inc., 7.375% 04/02/07............................................. 95 25 General Electric Capital Corporation, MTN, Series A, 5.875% 02/15/12............................................. 27 307 General Electric Capital Corporation, MTN, Series A, 6.750% 03/15/32##........................................... 354 117 Household Finance Corporation, 7.200% 07/15/06............................................. 125 106 Household Finance Corporation, 5.875% 02/01/09............................................. 114 53 Household Finance Corporation, 6.375% 11/27/12............................................. 59 42 Household Finance Corporation, 7.350% 11/27/32............................................. 50 52 International Lease Finance Corporation, 4.500% 05/01/08............................................. 54 213 International Lease Finance Corporation, 3.500% 04/01/09............................................. 209 70 National Rural Utilities Cooperative Finance Corporation, 3.250% 10/01/07............................................. 69
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- FINANCE -- MISCELLANEOUS -- (CONTINUED) $ 80 National Rural Utilities Cooperative Finance Corporation, 5.750% 08/28/09............................................. $ 86 60 National Rural Utilities Cooperative Finance Corporation, MTN, Series C, 8.000% 03/01/32............................................. 77 -------- 1,459 -------- FOOD AND DRUG STORES -- 0.1% 202 Fred Meyer, Inc., 7.450% 03/01/08............................................. 226 19 The Kroger Company, 6.800% 04/01/11............................................. 21 23 The Kroger Company, 6.750% 04/15/12............................................. 26 -------- 273 -------- HEALTH SERVICES -- 0.1% 193 Wellpoint Health Networks Inc., 6.375% 06/15/06............................................. 203 45 Wellpoint Health Networks Inc., 6.375% 01/15/12............................................. 50 -------- 253 -------- HEAVY MACHINERY -- 0.3% 154 Caterpillar Financial Services Corporation, 5.950% 05/01/06............................................. 160 135 Caterpillar Financial Services Corporation, 4.500% 06/15/09............................................. 139 103 Caterpillar Financial Services Corporation, MTN, Series F, 2.350% 09/15/06............................................. 102 138 John Deere Capital Corporation, MTN, Series D, 3.125% 12/15/05............................................. 139 -------- 540 -------- HOUSEHOLD PRODUCTS -- 0.0%+ 51 Procter & Gamble Company, 4.750% 06/15/07............................................. 53 -------- HOUSING AND FURNISHING -- 0.1% 114 Beazer Homes USA, Inc., 6.500% 11/15/13............................................. 116 -------- INSURANCE -- 0.4% 37 Hartford Life, Inc., 7.375% 03/01/31............................................. 44 31 Marsh & McLennan Companies, Inc., 5.875% 08/01/33............................................. 31 70 Mass Mutual Global Funding II, 2.550% 07/15/08@............................................ 68 30 MetLife, Inc., 5.375% 12/15/12............................................. 31 53 MetLife, Inc., 6.500% 12/15/32............................................. 57
SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS FUNDS Nations Asset Allocation Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- INSURANCE -- (CONTINUED) $ 30 Nationwide Financial Services, Inc., Class A, 5.900% 07/01/12............................................. $ 32 144 Principal Life Global, 6.250% 02/15/12@............................................ 159 47 Progressive Corporation, 6.250% 12/01/32............................................. 50 212 Prudential Funding LLC, MTN, 6.600% 05/15/08@##.......................................... 236 46 The Hartford Financial Services Group, Inc., 2.375% 06/01/06............................................. 45 35 The Hartford Financial Services Group, Inc., 4.625% 07/15/13............................................. 34 40 Unitrin Inc., 4.875% 11/01/10............................................. 40 -------- 827 -------- INTEGRATED OIL -- 0.3% 117 Conoco Funding Company, 5.450% 10/15/06............................................. 123 142 Conoco Funding Company, 6.350% 10/15/11............................................. 158 194 USX Corporation, 6.650% 02/01/06............................................. 203 -------- 484 -------- INVESTMENT SERVICES -- 1.0% 64 Bear Stearns Companies Inc., 5.700% 01/15/07............................................. 68 185 Bear Stearns Companies Inc., 4.500% 10/28/10............................................. 187 70 Citigroup Global Markets Holdings Inc., 6.500% 02/15/08............................................. 77 25 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. 26 104 Credit Suisse First Boston USA, Inc., 6.125% 11/15/11............................................. 113 40 Goldman Sachs Group, Inc., 4.125% 01/15/08............................................. 41 169 Goldman Sachs Group, Inc., 6.600% 01/15/12............................................. 189 112 Goldman Sachs Group, Inc., 4.750% 07/15/13............................................. 110 129 Lehman Brothers Holdings Inc., 4.000% 01/22/08............................................. 131 152 Lehman Brothers Holdings Inc., 7.000% 02/01/08............................................. 168 38 Lehman Brothers Holdings Inc., 7.875% 08/15/10............................................. 45 149 Merrill Lynch & Company, Inc., 6.000% 02/17/09............................................. 161 63 Merrill Lynch & Company, Inc., MTN, Series B, 3.700% 04/21/08............................................. 63 343 Morgan Stanley, 5.300% 03/01/13##........................................... 351 -------- 1,730 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- 0.0%+ $ 62 Bristol-Myers Squibb Company, 4.750% 10/01/06............................................. $ 64 -------- METALS AND MINING -- 0.1% 100 Alcoa Inc., 7.375% 08/01/10............................................. 117 -------- NATURAL GAS DISTRIBUTION -- 0.1% 113 NiSource Finance Corporation, 5.400% 07/15/14............................................. 116 3 Southern California Gas Company, Series HH, 5.450% 04/15/18............................................. 3 -------- 119 -------- NATURAL GAS PIPELINES -- 0.4% 111 Consolidated Natural Gas Company, Series B, 5.375% 11/01/06............................................. 115 140 Duke Capital LLC, 4.370% 03/01/09(a).......................................... 141 241 Kinder Morgan, Inc., 6.650% 03/01/05............................................. 246 125 Teppco Partners, LP, 7.625% 02/15/12............................................. 145 -------- 647 -------- OIL REFINING AND MARKETING -- 0.1% 94 Valero Energy Corporation, 6.875% 04/15/12............................................. 106 -------- PAPER AND FOREST PRODUCTS -- 0.2% 70 Champion International Corporation, 7.350% 11/01/25............................................. 78 61 International Paper Company, 4.250% 01/15/09............................................. 61 62 International Paper Company, 5.850%** 10/30/12........................................... 66 52 MeadWestvaco Corporation, 6.850% 04/01/12............................................. 58 81 MeadWestvaco Corporation, 8.200% 01/15/30............................................. 97 -------- 360 -------- PUBLISHING AND ADVERTISING -- 0.1% 58 Knight-Ridder, Inc., 7.125% 06/01/11............................................. 67 20 News America Holdings Inc., 9.250% 02/01/13............................................. 26 5 News America Holdings Inc., 6.550% 03/15/33............................................. 5 116 News America Holdings Inc., 8.150% 10/17/36............................................. 144 14 R. R. Donnelley & Sons Company, 4.950% 04/01/14............................................. 14 -------- 256 --------
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS FUNDS Nations Asset Allocation Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- 0.1% $ 107 Burlington Northern Santa Fe Corporation, 6.750% 07/15/11............................................. $ 120 -------- REAL ESTATE -- 0.1% 94 EOP Operating LP, 7.000% 07/15/11............................................. 106 128 EOP Operating LP, 4.750% 03/15/14............................................. 123 16 ERP Operating LP, 5.200% 04/01/13............................................. 16 -------- 245 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.3% 183 Camden Property Trust, 5.375% 12/15/13............................................. 185 58 Health Care Property Investors, Inc., 6.450% 06/25/12............................................. 63 165 iStar Financial Inc., Series B, 4.875% 01/15/09............................................. 165 161 Simon Property Group, LP 3.750% 01/30/09............................................. 158 -------- 571 -------- TELECOMMUNICATIONS SERVICES -- 0.7% 41 AT&T Wireless Services Inc., 8.125% 05/01/12............................................. 50 37 AT&T Wireless Services Inc., 8.750% 03/01/31............................................. 49 125 BellSouth Corporation, 5.000% 10/15/06............................................. 130 36 BellSouth Telecommunications Inc., 6.375% 06/01/28............................................. 37 255 SBC Communications Inc., 5.750% 05/02/06##........................................... 265 24 Sprint Capital Corporation, 6.125% 11/15/08............................................. 26 134 Sprint Capital Corporation, 8.375% 03/15/12............................................. 162 116 Sprint Capital Corporation, 8.750% 03/15/32............................................. 147 28 Verizon Global Funding Corporation, 7.750% 12/01/30............................................. 34 224 Verizon New England Inc., 6.500% 09/15/11............................................. 247 140 Verizon Pennsylvania Inc., Series A, 5.650% 11/15/11............................................. 148 -------- 1,295 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $19,730).............................................. 20,523 -------- FOREIGN BONDS AND NOTES -- 1.2% BROADCASTING AND CABLE -- 0.0%+ 17 Rogers Cable Inc., 6.250% 06/15/13............................................. 17 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- BUILDING MATERIALS -- 0.0%+ $ 68 Hanson Overseas BV, 6.750% 09/15/05............................................. $ 71 -------- 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@............................................ 109 -------- DIVERSIFIED MANUFACTURING -- 0.1% 113 Tyco International Group SA, 6.375% 10/15/11............................................. 125 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.0%+ 59 Transalta Corporation, 5.750% 12/15/13............................................. 61 -------- FOOD PRODUCTS -- 0.0%+ 50 Unilever Capital Corporation, 6.875% 11/01/05............................................. 52 -------- INTEGRATED OIL -- 0.2% 137 BP Capital Markets, 2.750% 12/29/06............................................. 137 60 Pemex Project Funding Master Trust, 7.375% 12/15/14............................................. 65 167 Pemex Project Funding Master Trust, 8.625%** 02/01/22........................................... 190 37 Suncor Energy, Inc., 5.950% 12/01/34............................................. 38 -------- 430 -------- METALS AND MINING -- 0.2% 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 72 Codelco Inc., 5.500% 10/15/13@............................................ 75 37 Placer Dome Inc., 6.450% 10/15/35............................................. 39 48 Rio Tinto Finance (USA) Ltd., 2.625% 09/30/08............................................. 46 -------- 314 --------
SEE NOTES TO FINANCIAL STATEMENTS. 38 NATIONS FUNDS Nations Asset Allocation Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- PUBLISHING AND ADVERTISING -- 0.1% $ 105 Thomson Corporation, 5.250% 08/15/13............................................. $ 108 -------- 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............................................. 64 25 British Telecommunications, plc, 8.875% 12/15/30............................................. 33 183 Deutsche Telekom International Finance BV, 5.250% 07/22/13............................................. 187 110 Deutsche Telekom International Finance BV, 8.750% 06/15/30............................................. 142 104 France Telecom SA, 9.250%** 03/01/31........................................... 138 253 Telus Corporation, 7.500% 06/01/07............................................. 277 -------- 841 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $2,213)............................................... 2,258 -------- MORTGAGE-BACKED SECURITIES -- 11.5% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.6% 260 Fannie Mae, Series 2002-16, Class PG, 6.000% 04/25/17............................................. 275 279 Fannie Mae, Series 2002-47, Class QE, 5.500% 08/25/17............................................. 288 44 FNMA, Series 1991-1, Class G, 7.000% 01/25/21............................................. 46 315 Freddie Mac, Series 2664, Class IO, 5.500% 05/15/27............................................. 36 331 Freddie Mac, Series 2692, Class IA, 5.500% 01/15/23............................................. 27 5,706 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.074%** 12/15/30........................................... 191 12,413 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest only, 0.449%** 09/15/27(e) (purchased 02/26/98, cost $338)............................. 125 16,142 Vendee Mortgage Trust, Series 1998-3, Class 1, Interest only, 0.305%** 03/15/29(e) (purchased 09/24/98, cost $229)............................. 121 -------- 1,109 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 0.6% $ 7 8.000% 07/01/10............................................. $ 7 120 8.000% 09/01/25............................................. 132 238 6.500% 07/01/29............................................. 250 729 6.500% 11/01/32............................................. 766 -------- 1,155 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 8.5% 147 8.500% 08/01/11............................................. 160 58 7.500% 10/01/11............................................. 62 98 10.000% 09/01/18............................................ 110 1,028 6.500% 10/01/24##........................................... 1,085 63 6.500% 07/01/32............................................. 67 36 6.500% 05/01/33............................................. 38 759 5.500% 07/01/33............................................. 771 750 5.500% 05/10/34(b).......................................... 760 3,540 5.000% 07/12/34(b).......................................... 3,501 57 3.199%** 08/01/36........................................... 58 7,218 5.000% 10/15/19(b).......................................... 7,330 1,710 6.500% 12/01/31(b).......................................... 1,793 -------- 15,735 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 1.8% 4 10.000% 02/15/16............................................ 5 3,177 5.500% 07/19/33(b).......................................... 3,231 59 7.500% 12/15/23-07/20/28.................................... 64 -------- 3,300 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $21,528).............................................. 21,299 -------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- 1.0% 162 Hellenic Republic, 6.950% 03/04/08............................................. 181 169 Quebec (Province of), 7.500% 09/15/29............................................. 219 106 Region of Lombardy, 5.804% 10/25/32............................................. 112 45 Republic of Chile, 5.500% 01/15/13............................................. 47 123 Republic of Italy, 2.750% 12/15/06............................................. 123 302 Republic of Italy, 3.750% 12/14/07............................................. 305 190 Republic of Poland, 5.250% 01/15/14............................................. 196 91 Republic of South Africa, 6.500% 06/02/14............................................. 97 196 United Mexican States, 8.375% 01/14/11............................................. 230
SEE NOTES TO FINANCIAL STATEMENTS. 39 NATIONS FUNDS Nations Asset Allocation Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- (CONTINUED) $ 90 United Mexican States, 6.375% 01/16/13............................................. $ 95 191 United Mexican States, 7.500% 04/08/33............................................. 201 -------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $1,726)............................................... 1,806 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 1.8% FEDERAL FARM CREDIT BANK (FFCB) -- 0.1% 150 2.500% 11/15/05-03/15/06.................................... 150 -------- FEDERAL HOME LOAN BANK (FHLB) -- 0.2% 300 3.625% 11/14/08............................................. 301 100 3.875% 06/14/13............................................. 96 -------- 397 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.3% 180 5.125% 10/15/08............................................. 192 172 4.500% 01/15/13............................................. 173 98 4.875% 11/15/13............................................. 100 100 6.750% 03/15/31............................................. 119 -------- 584 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 1.2% 221 5.250% 01/15/09............................................. 235 250 4.375% 03/15/13............................................. 249 1,342 4.375% 07/17/13##........................................... 1,300 500 4.125% 04/15/14............................................. 482 -------- 2,266 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $3,362)............................................... 3,397 -------- U.S. TREASURY OBLIGATIONS -- 2.9% U.S. TREASURY BONDS -- 0.6% 945 6.250% 08/15/23............................................. 1,104 -------- U.S. TREASURY NOTES -- 2.3% 100 1.250% 05/31/05............................................. 99 1,000 2.000% 05/15/06............................................. 993 600 3.125% 05/15/07............................................. 605 1,050 3.250% 01/15/09##........................................... 1,050 150 3.000% 02/15/09............................................. 148 300 3.125% 04/15/09............................................. 298 670 3.875% 05/15/09............................................. 686 100 4.000% 06/15/09............................................. 103 70 3.625% 07/15/09............................................. 71
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- U.S. TREASURY NOTES -- (CONTINUED) $ 100 3.500% 08/15/09............................................. $ 101 50 4.250% 08/15/14............................................. 51 -------- 4,205 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,253)............................................... 5,309 -------- WARRANTS -- 0.0%+ (Cost $0) 195 Solutia Inc., Expire 07/15/09!!(f)........................................ 0++ -------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 11.7% 419 High Yield Portfolio@@........................................ 4,141 17,422 Nations Cash Reserves, Capital Class Shares#.................. 17,422 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $21,274).............................................. 21,563 -------- TOTAL INVESTMENTS (Cost $174,636*).................................. 109.1% 201,673 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (9.1)% (16,840) -------- NET ASSETS.......................................... 100.0% $184,833 ========
--------------- *Federal income tax information (see Note 12). ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. !! 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. +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 $311. ##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, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $301 and $300, respectively. (b) TBA -- Securities purchased on a forward commitment basis. (e) Restricted and illiquid security. (f) Fair valued security (see Note 1). ABBREVIATIONS: MTN -- Medium Term Note ADR -- American Depository Receipt LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 40 NATIONS FUNDS Nations Value Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMON STOCKS -- 97.4% AEROSPACE AND DEFENSE -- 6.4% 261,100 Boeing Company................................................ $ 13,478 452,100 Goodrich (BF) Corporation..................................... 14,178 272,800 Lockheed Martin Corporation................................... 15,217 205,300 Northrop Grumman Corporation.................................. 10,949 434,091 United Technologies Corporation............................... 40,535 ---------- 94,357 ---------- AUTOMOTIVE -- 0.5% 157,700 General Motors Corporation.................................... 6,699 ---------- BEVERAGES -- 2.0% 304,351 Diageo plc, ADR............................................... 15,349 305,189 PepsiCo, Inc. ................................................ 14,847 ---------- 30,196 ---------- BROADCASTING AND CABLE -- 1.0% 630,000 The Walt Disney Company....................................... 14,207 ---------- CHEMICALS -- BASIC -- 2.4% 242,600 PPG Industries, Inc. ......................................... 14,867 461,100 The Dow Chemical Company...................................... 20,832 ---------- 35,699 ---------- CHEMICALS -- SPECIALTY -- 1.0% 305,400 Eastman Chemical Company...................................... 14,522 ---------- COMMERCIAL BANKING -- 14.9% 1,385,124 Citigroup Inc. ............................................... 61,112 259,800 Comerica Inc. ................................................ 15,419 586,000 Mellon Financial Corporation.................................. 16,226 339,800 SouthTrust Corporation........................................ 14,156 594,281 The Bank of New York Company, Inc. ........................... 17,335 1,542,993 US Bancorp.................................................... 44,592 481,900 Wachovia Corporation.......................................... 22,625 486,600 Wells Fargo & Company......................................... 29,016 ---------- 220,481 ---------- COMMERCIAL SERVICES -- 1.7% 641,600 Ingram Micro, Inc.!!.......................................... 10,330 522,900 Waste Management, Inc. ....................................... 14,296 ---------- 24,626 ---------- COMPUTER SERVICES -- 1.4% 788,700 Accenture Ltd.!!.............................................. 21,334 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 2.7% 972,380 Hewlett-Packard Company....................................... 18,232 256,985 International Business Machines Corporation................... 22,034 ---------- 40,266 ---------- DEPARTMENT AND DISCOUNT STORES -- 1.1% 457,400 J.C. Penney Company, Inc. .................................... 16,137 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- DIVERSIFIED ELECTRONICS -- 0.8% 865,800 Flextronics International Ltd.!!.............................. $ 11,472 ---------- DIVERSIFIED MANUFACTURING -- 4.3% 1,220,200 General Electric Company...................................... 40,974 639,406 Honeywell International Inc. ................................. 22,929 ---------- 63,903 ---------- ELECTRIC POWER -- NON NUCLEAR -- 0.7% 1,002,200 AES Corporation!!............................................. 10,012 ---------- ELECTRIC POWER -- NUCLEAR -- 4.7% 393,200 American Electric Power Company, Inc. ........................ 12,567 331,500 DTE Energy Company............................................ 13,986 677,310 Duke Energy Corporation....................................... 15,503 347,169 Exelon Corporation............................................ 12,738 459,650 PG & E Corporation!!.......................................... 13,973 ---------- 68,767 ---------- FINANCIAL SERVICES -- 1.0% 403,000 CIT Group Inc. ............................................... 15,068 ---------- HOUSEHOLD PRODUCTS -- 1.2% 275,720 Kimberly-Clark Corporation.................................... 17,809 ---------- INSURANCE -- 6.2% 431,100 ACE Ltd. ..................................................... 17,270 171,400 Aetna Inc. ................................................... 17,128 213,413 American International Group, Inc. ........................... 14,510 501,300 Genworth Financial Inc., Class A.............................. 11,680 264,300 Hartford Financial Services Group, Inc. ...................... 16,368 432,171 The St. Paul Companies, Inc. ................................. 14,288 ---------- 91,244 ---------- INTEGRATED OIL -- 11.1% 203,401 BP Amoco plc, ADR............................................. 11,702 300,276 ChevronTexaco Corporation..................................... 16,106 189,694 ConocoPhillips................................................ 15,715 1,374,900 Exxon Mobil Corporation....................................... 66,448 322,400 Marathon Oil Corporation...................................... 13,309 176,771 Occidental Petroleum Corporation.............................. 9,887 289,200 Royal Dutch Petroleum Company................................. 14,923 1,228,400 The Williams Companies, Inc. ................................. 14,864 ---------- 162,954 ---------- INVESTMENT SERVICES -- 3.7% 185,000 Goldman Sachs Group, Inc. .................................... 17,249 491,700 J.P. Morgan Chase & Company................................... 19,536 356,643 Merrill Lynch & Company, Inc. ................................ 17,732 ---------- 54,517 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS FUNDS Nations Value Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- LODGING AND RECREATION -- 2.6% 288,049 Carnival Corporation.......................................... $ 13,622 226,100 Harrah's Entertainment, Inc. ................................. 11,979 273,700 Starwood Hotels & Resorts Worldwide, Inc. .................... 12,705 ---------- 38,306 ---------- MEDICAL DEVICES AND SUPPLIES -- 1.4% 311,700 Abbott Laboratories........................................... 13,204 255,870 Hospira, Inc.!!............................................... 7,830 ---------- 21,034 ---------- METALS AND MINING -- 2.2% 507,500 Alcoa Inc. ................................................... 17,047 390,100 Freeport-McMoran Copper & Gold, Inc., Class B................. 15,799 ---------- 32,846 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.6% 498,500 Motorola, Inc. ............................................... 8,993 ---------- OILFIELD SERVICES -- 2.5% 367,700 ENSCO International Inc. ..................................... 12,013 229,800 Halliburton Company........................................... 7,742 345,419 Nabors Industries, Ltd.!!..................................... 16,355 ---------- 36,110 ---------- PAPER AND FOREST PRODUCTS -- 1.1% 416,123 International Paper Company................................... 16,816 ---------- PHARMACEUTICALS -- 1.5% 150,850 Merck & Company, Inc. ........................................ 4,978 573,140 Pfizer Inc. .................................................. 17,538 ---------- 22,516 ---------- PUBLISHING AND ADVERTISING -- 0.9% 334,200 Dow Jones & Company, Inc. .................................... 13,572 ---------- RAILROADS, TRUCKING AND SHIPPING -- 1.0% 241,500 Union Pacific Corporation..................................... 14,152 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 3.0% 470,200 Archstone-Smith Trust......................................... 14,877 798,395 Equity Office Properties Trust(a)............................. 21,757 573,000 Host Marriott Corporation!!................................... 8,039 ---------- 44,673 ---------- RESTAURANTS -- 1.3% 662,100 McDonald's Corporation........................................ 18,559 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- SEMICONDUCTORS -- 1.6% 546,500 Agilent Technologies, Inc.!!.................................. $ 11,788 370,600 ASML Holding N.V.!!........................................... 4,770 448,500 Fairchild Semiconductor Corporation, Class A!!................ 6,355 ---------- 22,913 ---------- SPECIALTY STORES -- 2.5% 1,098,000 Limited Brands................................................ 24,474 434,000 Staples, Inc. ................................................ 12,942 ---------- 37,416 ---------- TELECOMMUNICATIONS SERVICES -- 4.1% 516,660 BellSouth Corporation......................................... 14,012 714,915 SBC Communications Inc. ...................................... 18,552 707,348 Verizon Communications Inc. .................................. 27,855 ---------- 60,419 ---------- TOBACCO -- 2.3% 718,148 Altria Group, Inc. ........................................... 33,782 ---------- TOTAL COMMON STOCKS (Cost $1,239,027)........................................... 1,436,377 ---------- CONVERTIBLE PREFERRED STOCKS -- 0.3% INSURANCE -- 0.3% (Cost $3,554) 136,100 Genworth Financial, Inc. ..................................... 3,974 ---------- PREFERRED STOCKS -- 1.1% MEDIA -- 1.1% (Cost $17,832) 516,700 The News Corporation Ltd., ADR................................ 16,188 ---------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 1.6% (Cost $23,709) 23,709 Nations Cash Reserves, Capital Class Shares#....................................... 23,709 ---------- TOTAL INVESTMENTS (Cost $1,284,122*)................................ 100.4% 1,480,248 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (0.4)% (6,143) ---------- NET ASSETS.......................................... 100.0% $1,474,105 ==========
SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS FUNDS Nations Value Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED) --------------- *Federal income tax information (see Note 12). !! 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 11). The portion that represents cash collateral is $28. (a) All or portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $28 and $27, respectively. ABBREVIATIONS: ADR -- American Depository Receipt LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 43 NATIONS FUNDS Nations MidCap Value Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) --------------------------------------------------------------------------------------- COMMON STOCKS -- 97.2% AEROSPACE AND DEFENSE -- 2.8% 158,400 Goodrich (BF) Corporation..................................... $ 4,967 71,925 Northrop Grumman Corporation.................................. 3,836 159,300 Rockwell Collins, Inc. ....................................... 5,917 --------- 14,720 --------- BEVERAGES -- 0.7% 126,300 Pepsi Bottling Group, Inc. ................................... 3,429 --------- BUILDING MATERIALS -- 1.0% 113,300 Martin Marietta Materials, Inc. .............................. 5,129 --------- CHEMICALS -- BASIC -- 3.0% 322,400 Agrium, Inc. ................................................. 5,726 191,300 Lyondell Chemical Company..................................... 4,297 127,100 Rohm & Haas Company........................................... 5,461 --------- 15,484 --------- CHEMICALS -- SPECIALTY -- 3.9% 123,300 Ashland Inc. ................................................. 6,915 106,800 Eastman Chemical Company...................................... 5,078 129,100 International Flavors & Fragrances, Inc. ..................... 4,932 100,000 Lubrizol Corporation.......................................... 3,460 --------- 20,385 --------- COMMERCIAL BANKING -- 10.6% 86,900 City National Corporation..................................... 5,644 101,200 Comerica Inc. ................................................ 6,006 149,300 Compass Bancshares, Inc. ..................................... 6,542 268,900 Hibernia Corporation, Class A................................. 7,102 192,400 Marshall and Ilsley Corporation............................... 7,753 77,400 Mercantile Bankshares Corporation............................. 3,712 119,000 SouthTrust Corporation........................................ 4,958 232,800 Sovereign Bancorp, Inc. ...................................... 5,080 23,430 UnionBanCal Corporation....................................... 1,387 123,650 Zions Bancorporation.......................................... 7,547 --------- 55,731 --------- COMMERCIAL SERVICES -- 3.2% 383,500 Allied Waste Industries, Inc.!!............................... 3,394 287,000 Ingram Micro, Inc.!!.......................................... 4,621 237,000 United Rentals, Inc.!!........................................ 3,766 180,500 Waste Management, Inc. ....................................... 4,934 --------- 16,715 --------- COMPUTER SERVICES -- 1.0% 115,000 Computer Sciences Corporation!!............................... 5,417 --------- COMPUTERS AND OFFICE EQUIPMENT -- 1.4% 170,300 Pitney Bowes Inc. ............................................ 7,510 --------- CONGLOMERATES -- 1.3% 150,900 Fluor Corporation............................................. 6,718 ---------
VALUE SHARES (000) --------------------------------------------------------------------------------------- DEPARTMENT AND DISCOUNT STORES -- 2.5% 196,100 Dollar General Corporation.................................... $ 3,951 151,100 J.C. Penney Company, Inc. .................................... 5,331 148,500 The May Department Stores Company............................. 3,806 --------- 13,088 --------- DIVERSIFIED ELECTRONICS -- 3.0% 93,500 Cooper Industries, Ltd. ...................................... 5,517 318,200 Flextronics International Ltd.!!.............................. 4,216 111,925 Harris Corporation............................................ 6,149 --------- 15,882 --------- DIVERSIFIED MANUFACTURING -- 3.8% 58,400 Harsco Corporation............................................ 2,622 140,600 Kennametal Inc. .............................................. 6,349 118,050 Mueller Industries, Inc. ..................................... 5,070 243,800 Pall Corporation.............................................. 5,968 --------- 20,009 --------- ELECTRIC POWER -- NON NUCLEAR -- 3.0% 348,300 AES Corporation!!............................................. 3,480 85,300 Consolidated Edison, Inc. .................................... 3,586 133,800 Constellation Energy Group, Inc. ............................. 5,331 63,900 NSTAR......................................................... 3,137 --------- 15,534 --------- ELECTRIC POWER -- NUCLEAR -- 3.8% 144,800 American Electric Power Company, Inc. ........................ 4,628 148,200 DTE Energy Company............................................ 6,253 79,500 Entergy Corporation........................................... 4,818 83,000 PPL Corporation............................................... 3,916 --------- 19,615 --------- FINANCIAL SERVICES -- 1.3% 177,500 CIT Group Inc. ............................................... 6,637 --------- FOOD AND DRUG STORES -- 1.5% 275,500 SUPERVALU Inc. ............................................... 7,590 --------- FOOD PRODUCTS -- 1.0% 485,100 Del Monte Foods Company!!..................................... 5,089 --------- HEALTH SERVICES -- 1.2% 184,800 Triad Hospitals, Inc.!!....................................... 6,365 --------- HEAVY MACHINERY -- 2.0% 140,400 Navistar International Corporation!!.......................... 5,221 91,300 Parker-Hannifin Corporation................................... 5,374 --------- 10,595 --------- INSURANCE -- 7.0% 130,700 ACE Ltd. ..................................................... 5,236 60,700 Aetna Inc. ................................................... 6,066 181,300 Endurance Specialty Holdings Ltd. ............................ 5,829 226,200 Genworth Financial Inc., Class A.............................. 5,270 77,700 Hartford Financial Services Group, Inc. ...................... 4,812
SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS FUNDS Nations MidCap Value Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) --------------------------------------------------------------------------------------- INSURANCE -- (CONTINUED) 142,900 Lincoln National Corporation.................................. $ 6,716 107,400 Old Republic International Corporation........................ 2,688 --------- 36,617 --------- INTEGRATED OIL -- 3.2% 180,600 Marathon Oil Corporation...................................... 7,455 75,500 Occidental Petroleum Corporation.............................. 4,223 420,400 The Williams Companies, Inc. ................................. 5,087 --------- 16,765 --------- INVESTMENT SERVICES -- 0.8% 75,300 Legg Mason, Inc. ............................................. 4,011 --------- LODGING AND RECREATION -- 4.4% 83,700 Carnival Corporation.......................................... 3,958 76,900 Harrah's Entertainment, Inc. ................................. 4,074 335,200 Hilton Hotels Corporation..................................... 6,316 182,650 Mattel, Inc. ................................................. 3,311 113,300 Starwood Hotels & Resorts Worldwide, Inc. .................... 5,259 --------- 22,918 --------- METALS AND MINING -- 2.3% 131,125 Arch Coal, Inc. .............................................. 4,654 107,475 Newmont Mining Corporation.................................... 4,893 28,900 Phelps Dodge Corporation...................................... 2,660 --------- 12,207 --------- NATURAL GAS DISTRIBUTION -- 1.2% 176,200 Sempra Energy................................................. 6,377 --------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.5% 224,600 Andrew Corporation!!.......................................... 2,749 --------- OILFIELD SERVICES -- 3.2% 126,900 Baker Hughes Inc. ............................................ 5,548 179,100 ENSCO International Inc. ..................................... 5,852 205,200 Varco International, Inc.!!................................... 5,503 --------- 16,903 --------- PACKAGING AND CONTAINERS -- 1.0% 496,600 Crown Holdings, Inc.!!........................................ 5,120 --------- PAPER AND FOREST PRODUCTS -- 2.1% 296,100 Smurfit-Stone Container Corporation!!......................... 5,736 74,675 Temple-Inland Inc. ........................................... 5,014 --------- 10,750 --------- PHARMACEUTICALS -- 1.0% 189,600 Shire Pharmaceuticals Group plc, ADR.......................... 5,432 --------- PUBLISHING AND ADVERTISING -- 1.0% 135,000 Dow Jones & Company, Inc. .................................... 5,482 ---------
VALUE SHARES (000) --------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- 2.7% 187,000 GATX Corporation.............................................. $ 4,985 315,400 Norfolk Southern Corporation.................................. 9,380 --------- 14,365 --------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 5.4% 164,100 Archstone-Smith Trust......................................... 5,192 64,175 Avalonbay Communities, Inc. .................................. 3,865 110,800 Boston Properties, Inc. ...................................... 6,137 80,800 Camden Property Trust......................................... 3,733 184,400 Equity Office Properties Trust................................ 5,025 296,200 Host Marriott Corporation!!................................... 4,156 --------- 28,108 --------- RESTAURANTS -- 1.0% 161,800 Brinker International, Inc.!!................................. 5,040 --------- SEMICONDUCTORS -- 2.5% 189,600 ASML Holding N.V.!!........................................... 2,440 292,300 Fairchild Semiconductor Corporation, Class A!!................ 4,142 253,500 Intergrated Device Technology, Inc.!!......................... 2,416 121,650 Tektronix, Inc. .............................................. 4,045 --------- 13,043 --------- SOFTWARE -- 0.5% 138,500 McAfee Inc.!!................................................. 2,784 --------- SPECIALTY STORES -- 4.1% 162,900 Abercrombie & Fitch Company................................... 5,131 381,500 Limited Brands................................................ 8,504 103,800 Linens 'N Things, Inc.!!...................................... 2,405 126,100 Sherwin-Williams Company...................................... 5,543 --------- 21,583 --------- STEEL -- 0.5% 31,000 Nucor Corporation............................................. 2,832 --------- TOBACCO -- 0.8% 103,200 UST Inc. ..................................................... 4,155 --------- TOTAL COMMON STOCKS (Cost $416,927)............................................. 508,883 --------- PRINCIPAL AMOUNT (000) --------- CONVERTIBLE BONDS AND NOTES -- 0.4% HEAVY MACHINERY -- 0.4% (Cost $1,742) $ 2,000 Navistar Financial Corporation 4.750% 04/01/09............................................. 1,970 ---------
SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS FUNDS Nations MidCap Value Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) --------------------------------------------------------------------------------------- CONVERTIBLE PREFERRED STOCKS -- 0.8% CONSUMER SERVICES -- 0.3% 31,758 Allied Waste Industries, Inc. ................................ $ 1,620 --------- INSURANCE -- 0.5% 41,600 Hartford Financial Services Group, Inc. ...................... 2,533 --------- TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $3,748)............................................... 4,153 --------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 1.8% (Cost $9,166) 9,166 Nations Cash Reserves, Capital Class Shares#.................. 9,166 --------- TOTAL INVESTMENTS (Cost $431,583*).................................. 100.2% 524,172 --------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (0.2)% (1,251) --------- NET ASSETS.......................................... 100.0% $ 522,921 =========
--------------- *Federal income tax information (see Note 12). !! 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. ABBREVIATIONS: ADR -- American Depository Receipt LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS FUNDS Nations SmallCap Value Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMON STOCKS -- 95.9% AEROSPACE AND DEFENSE -- 1.3% 127,000 AAR Corporation!!............................................. $ 1,582 26,400 MTC Technologies, Inc.!!...................................... 729 ---------- 2,311 AIRLINES -- 0.4% 82,550 Northwest Airlines Corporation!!(a)........................... 678 ---------- APPAREL AND TEXTILES -- 3.0% 50,800 Carter's Inc.!!............................................... 1,407 82,300 Phillips-Van Heusen Corporation............................... 1,834 75,200 Quiksilver, Inc.!!............................................ 1,911 ---------- 5,152 ---------- AUTOMOTIVE -- 1.4% 19,000 Borg Warner Inc. ............................................. 823 78,300 Cooper Tire & Rubber Company.................................. 1,579 ---------- 2,402 ---------- BROADCASTING AND CABLE -- 0.9% 86,600 Emmis Communications Corporation!!............................ 1,564 ---------- CHEMICALS -- BASIC -- 1.9% 126,200 Hercules, Inc.!!.............................................. 1,798 72,600 Olin Corporation.............................................. 1,452 ---------- 3,250 ---------- CHEMICALS -- SPECIALTY -- 2.6% 155,000 Crompton Corporation.......................................... 1,471 79,700 Millennium Chemicals Inc.!!................................... 1,690 34,700 OM Group, Inc.!!.............................................. 1,269 ---------- 4,430 ---------- COMMERCIAL BANKING -- 12.6% 89,100 BankAtlantic Bancorp, Inc. ................................... 1,632 85,900 Brookline Bancorp, Inc. ...................................... 1,346 142,000 Cardinal Financial Corporation!!.............................. 1,336 80,400 Colonial BancGroup, Inc. ..................................... 1,644 56,300 Community Bank Systems, Inc. ................................. 1,415 134,636 First Niagara Financial Group, Inc. .......................... 1,801 39,200 First Republic Bank........................................... 1,804 50,100 First State Bancorporation.................................... 1,580 55,090 Fulton Financial Corporation.................................. 1,179 55,400 Independent Bank Corporation.................................. 1,712 53,300 Oriental Financial Group Inc. ................................ 1,442 59,400 Prosperity Bancshares, Inc. .................................. 1,587 56,000 Sterling Bancorp.............................................. 1,515 52,160 Summit Bancshares, Inc.(a).................................... 1,734 ---------- 21,727 ---------- COMMERCIAL SERVICES -- 4.8% 52,300 Dycom Industries, Inc.!!...................................... 1,485 210,500 MPS Group, Inc.!!............................................. 1,770 88,300 United Rentals, Inc.!!........................................ 1,403 72,000 URS Corporation!!............................................. 1,921 63,900 Watson Wyatt & Company Holdings............................... 1,681 ---------- 8,260 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMPUTER SERVICES -- 1.2% 98,800 ActivCard Corporation!!....................................... $ 607 88,900 Internet Security Systems, Inc.!!............................. 1,511 ---------- 2,118 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 0.3% 14,400 palmOne, Inc.!!(a)............................................ 438 ---------- CONSTRUCTION -- 0.8% 136,600 Infrasource Services Inc.!!................................... 1,434 ---------- DIVERSIFIED ELECTRONICS -- 1.6% 137,100 Aeroflex, Inc.!!.............................................. 1,449 75,900 EMS Technologies, Inc.!!...................................... 1,309 ---------- 2,758 ---------- DIVERSIFIED MANUFACTURING -- 3.1% 47,200 Kennametal Inc. .............................................. 2,131 64,741 Watts Industries, Inc., Class A............................... 1,738 43,075 York International Corporation................................ 1,361 ---------- 5,230 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.0% 36,200 WPS Resources Corporation..................................... 1,629 ---------- FINANCIAL SERVICES -- 2.7% 24,500 Affiliated Managers Group, Inc.!!............................. 1,312 53,300 American Capital Strategies, Ltd.(a).......................... 1,670 114,400 Apollo Investment Corporation................................. 1,619 ---------- 4,601 ---------- FOOD AND DRUG STORES -- 1.0% 68,700 Longs Drug Stores Corporation................................. 1,663 ---------- FOOD PRODUCTS -- 0.8% 128,100 Del Monte Foods Company!!..................................... 1,344 ---------- HEALTH SERVICES -- 3.7% 15,000 Molina Healthcare Inc.!!...................................... 533 76,000 Province Healthcare Company!!................................. 1,589 221,800 Stewart Enterprises, Inc.!!................................... 1,542 76,900 Symbion Inc.!!................................................ 1,238 42,500 Triad Hospitals, Inc.!!....................................... 1,464 ---------- 6,366 ---------- HEAVY MACHINERY -- 6.9% 82,000 Agco Corporation!!............................................ 1,855 42,900 Bucyrus International, Inc.!!................................. 1,441 76,500 Flowserve Corporation!!....................................... 1,850 65,500 Gardner Denver Machinery Inc.!!............................... 1,806 32,700 Joy Global Inc. .............................................. 1,124 50,000 Manitowoc Company, Inc. ...................................... 1,773 92,500 Paxar Corporation!!........................................... 2,098 ---------- 11,947 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS FUNDS Nations SmallCap Value Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- HOUSING AND FURNISHING -- 1.7% 64,300 Levitt Corporation............................................ $ 1,508 75,800 RPM Inc. ..................................................... 1,338 ---------- 2,846 ---------- INSURANCE -- 4.6% 55,400 Bristol West Holdings, Inc. .................................. 950 18,000 Delphi Financial Group, Inc., Class A......................... 723 58,400 Nymagic Inc. ................................................. 1,278 48,260 Platinum Underwriters Holdings, Ltd. ......................... 1,413 11,000 Stancorp Financial Group Inc. ................................ 783 28,400 Triad Guaranty, Inc.!!........................................ 1,576 25,400 Zenith National Insurance Corporation......................... 1,075 ---------- 7,798 ---------- LEISURE -- 0.8% 37,175 Carmike Cinemas Inc. ......................................... 1,309 ---------- LODGING AND RECREATION -- 1.8% 218,000 La Quinta Corporation!!....................................... 1,701 67,300 Marcus Corporation............................................ 1,310 ---------- 3,011 ---------- METALS AND MINING -- 6.0% 48,300 Arch Coal, Inc. .............................................. 1,714 35,641 Carpenter Technology Corporation.............................. 1,702 73,600 Century Aluminum Company!!.................................... 2,041 142,700 Graftech International Ltd.!!................................. 1,991 46,500 Massey Energy Company......................................... 1,345 40,300 Steel Dynamics, Inc. ......................................... 1,556 ---------- 10,349 ---------- NATURAL GAS DISTRIBUTION -- 1.8% 57,300 Atmos Energy Corporation...................................... 1,443 39,800 New Jersey Resources Corporation.............................. 1,648 ---------- 3,091 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.4% 134,025 Powerwave Technologies, Inc.!!................................ 826 195,300 SonicWALL, Inc.!!............................................. 1,319 59,300 Watchguard Technologies Inc.!!................................ 278 ---------- 2,423 ---------- OIL AND GAS -- 1.2% 58,500 Encore Acquisition Company!!.................................. 2,018 ---------- OILFIELD SERVICES -- 2.2% 407,800 Grey Wolf, Inc.!!............................................. 1,994 50,100 Universal Compression Holdings, Inc.!!........................ 1,707 ---------- 3,701 ---------- PACKAGING AND CONTAINERS -- 1.1% 177,000 Crown Holdings, Inc.!!........................................ 1,825 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- 4.0% 63,300 GATX Corporation.............................................. $ 1,688 111,700 Laidlaw International Inc.!!.................................. 1,837 51,900 Overnite Corporation.......................................... 1,631 35,900 Ryder System, Inc. ........................................... 1,689 ---------- 6,845 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 7.3% 76,500 BioMed Realty Trust, Inc. .................................... 1,346 43,800 Brandywine Realty Trust....................................... 1,247 204,300 Equity Inns Inc. ............................................. 2,018 88,700 LTC Properties, Inc.(a)....................................... 1,587 135,500 Omega Healthcare Investors, Inc. ............................. 1,458 42,100 Prentiss Properties Trust..................................... 1,516 33,400 SL Green Realty Corporation................................... 1,730 40,400 Tanger Factory Outlet Centers, Inc. .......................... 1,809 ---------- 12,711 ---------- RESTAURANTS -- 1.0% 60,500 Ruby Tuesday, Inc. ........................................... 1,686 ---------- RETAIL -- SPECIALTY -- 2.0% 46,400 Stage Stores, Inc.!!.......................................... 1,588 57,600 The Finish Line Inc. ......................................... 1,781 ---------- 3,369 ---------- SEMICONDUCTORS -- 3.2% 46,200 Coherent, Inc.!!.............................................. 1,198 152,800 Cypress Semiconductor Corporation!!........................... 1,351 9,161 Electro Scientific Industries, Inc.!!......................... 159 104,400 Fairchild Semiconductor Corporation, Class A!!................ 1,480 96,000 OmniVision Technologies, Inc.!!(a)............................ 1,358 ---------- 5,546 ---------- SPECIALTY STORES -- 2.8% 52,500 BJ's Wholesale Club, Inc.!!................................... 1,435 34,600 Regis Corporation............................................. 1,392 48,500 School Specialty, Inc.!!...................................... 1,911 ---------- 4,738 ---------- TELECOMMUNICATIONS SERVICES -- 1.0% 219,700 Alamosa Holdings, Inc.!!...................................... 1,679 ---------- TOTAL COMMON STOCKS (Cost $133,225)............................................. 164,247 ---------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 7.6% (Cost $13,069) 13,069 Nations Cash Reserves, Capital Class Shares#.................. 13,069 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS FUNDS Nations SmallCap Value Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
SHARES VALUE (000) (000) ---------------------------------------------------------------------------------------- NON-AFFILIATED INVESTMENT COMPANIES -- 1.1% (Cost $1,385) 13 Biotech HOLDRs Trust(a)....................................... $ 1,842 ---------- TOTAL INVESTMENTS (Cost $147,679*).................................. 104.6% 179,158 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (4.6)% (7,929) ---------- NET ASSETS.......................................... 100.0% $ 171,229 ==========
--------------- *Federal income tax information (see Note 12). !! 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 11). The portion that represents cash collateral is $5,146. (a) All or portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $4,084 and $4,969, respectively. ABBREVIATIONS: LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 49 NATIONS FUNDS Nations Marsico Growth Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE (000) -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 99.9% Investment in Nations Master Investment Trust, Marsico Growth Master Portfolio*.................................. $1,440,669 ---------- TOTAL INVESTMENTS................................. 99.9% 1,440,669 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... 0.1% 876 ---------- NET ASSETS........................................ 100.0% $1,441,545 ==========
--------------- * 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. SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS FUNDS Nations Strategic Growth Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE (000) -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 100.1% Investment in Nations Master Investment Trust, Strategic Growth Master Portfolio*.................................. $1,629,644 ---------- TOTAL INVESTMENTS................................. 100.1% 1,629,644 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... (0.1)% (1,427) ---------- NET ASSETS........................................ 100.0% $1,628,217 ==========
--------------- * 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. SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS FUNDS Nations Marsico Focused Equities Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE (000) -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 100.0% Investment in Nations Master Investment Trust, Marsico Focused Equities Master Portfolio*........................ $2,583,659 ---------- TOTAL INVESTMENTS................................. 100.0% 2,583,659 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............................... (0.0)% (484) ---------- NET ASSETS........................................ 100.0% $2,583,175 ==========
--------------- * 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. SEE NOTES TO FINANCIAL STATEMENTS. 52 NATIONS FUNDS Nations MidCap Growth Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------ COMMON STOCKS -- 97.9% AEROSPACE AND DEFENSE -- 1.3% 147,850 Rockwell Collins, Inc. ....................................... $ 5,491 -------- AIRLINES -- 0.8% 118,900 Ryanair Holdings plc, ADR!!(a)................................ 3,472 -------- APPAREL AND TEXTILES -- 1.9% 132,850 Coach, Inc.!!................................................. 5,635 49,150 Columbia Sportswear Company!!................................. 2,679 -------- 8,314 -------- AUTOMOTIVE -- 0.7% 70,625 Autoliv, Inc. ................................................ 2,853 -------- BROADCASTING AND CABLE -- 3.8% 99,700 Entercom Communications Corporation!!......................... 3,256 112,040 The E.W. Scripps Company, Class A............................. 5,353 146,309 Univision Communications, Inc., Class A!!..................... 4,625 110,051 XM Satellite Radio Holdings Inc., Class A!!(a)................ 3,414 -------- 16,648 -------- BUILDING MATERIALS -- 0.8% 89,325 American Standard Companies Inc.!!............................ 3,476 -------- CHEMICALS -- BASIC -- 0.8% 117,224 Ecolab, Inc. ................................................. 3,686 -------- CHEMICALS -- SPECIALTY -- 0.8% 147,850 Airgas, Inc. ................................................. 3,559 -------- COMMERCIAL BANKING -- 1.6% 40,900 City National Corporation..................................... 2,656 55,625 Marshall and Ilsley Corporation............................... 2,242 36,290 Zions Bancorporation.......................................... 2,215 -------- 7,113 -------- COMMERCIAL SERVICES -- 2.8% 107,675 CDW Corporation............................................... 6,248 46,850 Fiserv, Inc.!!................................................ 1,633 177,100 Robert Half International Inc. ............................... 4,564 -------- 12,445 -------- COMPUTER SERVICES -- 3.7% 145,425 Accenture Ltd.!!.............................................. 3,934 83,525 Affiliated Computer Services, Inc., Class A!!................. 4,650 257,306 Cognizant Technology Solutions Corporation!!.................. 7,850 -------- 16,434 -------- COMPUTERS AND OFFICE EQUIPMENT -- 2.2% 48,050 Lexmark International, Inc.!!................................. 4,037 238,300 Network Appliance, Inc.!!..................................... 5,481 -------- 9,518 --------
VALUE SHARES (000) ------------------------------------------------------------------------------------ CONSTRUCTION -- 0.9% 100,575 Jacobs Engineering Group Inc.!!............................... $ 3,851 -------- CONSUMER SERVICES -- 0.3% 74,925 Netflix Inc.!!(a)............................................. 1,155 -------- DEPARTMENT AND DISCOUNT STORES -- 1.2% 251,950 Dollar General Corporation.................................... 5,077 -------- DIVERSIFIED ELECTRONICS -- 3.9% 186,812 Amphenol Corporation, Class A!!............................... 6,400 124,969 Harris Corporation............................................ 6,866 314,480 Symbol Technologies, Inc. .................................... 3,975 -------- 17,241 -------- EDUCATION -- 0.8% 127,400 Career Education Corporation!!................................ 3,622 -------- EXPLORATION AND PRODUCTION -- 0.7% 49,079 EOG Resources, Inc. .......................................... 3,232 -------- FINANCE -- MISCELLANEOUS -- 0.5% 43,025 H & R Block, Inc. ............................................ 2,126 -------- FINANCIAL SERVICES -- 1.3% 102,449 Affiliated Managers Group, Inc.!!(a).......................... 5,485 -------- FOOD PRODUCTS -- 2.3% 75,200 Corn Products International, Inc. ............................ 3,467 192,300 McCormick and Company, Inc. .................................. 6,603 -------- 10,070 -------- HEALTH SERVICES -- 7.6% 104,025 Biogen Idec Inc.!!............................................ 6,364 265,844 Health Management Associates, Inc., Class A................... 5,431 110,325 Health Net Inc.!!............................................. 2,727 120,950 Lincare Holdings Inc.!!....................................... 3,593 71,500 Quest Diagnostics Inc. ....................................... 6,308 91,156 Stericycle, Inc.!!............................................ 4,184 232,450 VCA Antech, Inc.!!............................................ 4,795 -------- 33,402 -------- HEAVY MACHINERY -- 0.7% 85,400 Navistar International Corporation!!.......................... 3,176 -------- HOUSING AND FURNISHING -- 2.5% 70,275 Mohawk Industries Inc.!!...................................... 5,579 57,325 The Ryland Group, Inc. ....................................... 5,312 -------- 10,891 -------- INSURANCE -- 1.8% 115,789 Endurance Specialty Holdings Ltd. ............................ 3,723 98,300 The PMI Group, Inc. .......................................... 3,989 -------- 7,712 --------
SEE NOTES TO FINANCIAL STATEMENTS. 53 NATIONS FUNDS Nations MidCap Growth Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------ INTEGRATED OIL -- 0.8% 66,117 Apache Corporation............................................ $ 3,313 -------- INVESTMENT SERVICES -- 1.3% 107,949 Legg Mason, Inc. ............................................. 5,750 -------- LODGING AND RECREATION -- 3.0% 63,350 Harrah's Entertainment, Inc. ................................. 3,356 73,900 International Game Technology................................. 2,657 157,956 Starwood Hotels & Resorts Worldwide, Inc. .................... 7,332 -------- 13,345 -------- MEDICAL DEVICES AND SUPPLIES -- 7.0% 144,850 DENTSPLY International Inc. .................................. 7,524 42,900 Invitrogen Corporation!!...................................... 2,359 73,533 Kinetic Concepts, Inc.!!...................................... 3,864 136,000 Respironics, Inc.!!........................................... 7,268 119,725 Zimmer Holdings, Inc.!!....................................... 9,463 -------- 30,478 -------- METALS AND MINING -- 0.7% 72,500 Freeport-McMoran Copper & Gold, Inc., Class B................. 2,936 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.2% 120,050 ADTRAN, Inc. ................................................. 2,723 142,725 Juniper Networks, Inc.!!...................................... 3,368 224,200 Tekelec!!..................................................... 3,740 -------- 9,831 -------- OILFIELD SERVICES -- 4.2% 81,875 BJ Services Company........................................... 4,291 84,750 ENSCO International Inc. ..................................... 2,769 142,350 Grant Prideco, Inc.!!......................................... 2,917 96,971 Nabors Industries, Ltd.!!..................................... 4,591 66,017 Smith International, Inc.!!................................... 4,009 -------- 18,577 -------- PHARMACEUTICALS -- 7.6% 51,775 Allergan, Inc. ............................................... 3,756 45,875 AmerisourceBergen Corporation................................. 2,464 114,711 Barr Laboratories, Inc.!!..................................... 4,753 221,625 Endo Pharmaceuticals Holdings Inc.!!.......................... 4,069 91,351 Express Scripts, Inc.!!....................................... 5,970 49,925 Genzyme Corporation!!......................................... 2,716 72,450 Gilead Sciences, Inc.!!....................................... 2,708 21,600 Martek Biosciences Corporation!!.............................. 1,051 48,525 OSI Pharmaceuticals, Inc.!!................................... 2,982 145,425 Protein Design Labs, Inc.!!................................... 2,847 -------- 33,316 -------- RAILROADS, TRUCKING AND SHIPPING -- 1.5% 127,620 Expeditors International of Washington, Inc. ................. 6,598 --------
VALUE SHARES (000) ------------------------------------------------------------------------------------ RESTAURANTS -- 3.3% 115,550 Starbucks Corporation!!....................................... $ 5,253 132,747 The Cheesecake Factory, Inc.!!................................ 5,761 89,350 Yum! Brands, Inc. ............................................ 3,633 -------- 14,647 -------- SEMICONDUCTORS -- 8.2% 85,550 Cymer, Inc.!!................................................. 2,452 91,925 KLA-Tencor Corporation!!...................................... 3,813 151,975 Lam Research Corporation!!.................................... 3,325 108,788 Linear Technology Corporation................................. 3,942 264,300 Marvell Technology Group Ltd.!!............................... 6,906 91,373 Maxim Integrated Products, Inc. .............................. 3,864 182,775 Microchip Technology Inc. .................................... 4,906 197,450 National Semiconductor Corporation!!.......................... 3,059 201,200 PerkinElmer, Inc. ............................................ 3,465 -------- 35,732 -------- SOFTWARE -- 6.2% 78,875 Adobe Systems Inc. ........................................... 3,902 208,671 Citrix Systems, Inc.!!........................................ 3,656 72,800 Electronic Arts Inc.!!........................................ 3,348 75,250 Hyperion Solutions Corporation!!.............................. 2,558 355,378 Quest Software, Inc.!!........................................ 3,952 55,700 Red Hat, Inc.!!............................................... 682 137,325 Symantec Corporation!!........................................ 7,536 84,225 VERITAS Software Corporation!!................................ 1,499 -------- 27,133 -------- SPECIALTY STORES -- 5.2% 128,658 Bed Bath & Beyond Inc.!!...................................... 4,774 209,925 Limited Brands................................................ 4,679 197,075 Staples, Inc. ................................................ 5,877 109,786 Tiffany & Company............................................. 3,375 188,150 TJX Companies, Inc. .......................................... 4,147 -------- 22,852 -------- TELECOMMUNICATIONS SERVICES -- 1.0% 285,875 Crown Castle International Corporation!!...................... 4,254 -------- TOTAL COMMON STOCKS (Cost $337,748)............................................. 428,811 -------- SHARES (000) ------- AFFILIATED INVESTMENT COMPANIES -- 4.2% (Cost $18,468) 18,468 Nations Cash Reserves, Capital Class Shares#.................. 18,468 -------- TOTAL INVESTMENTS (Cost $356,216*).................................. 102.1% 447,279 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (2.1)% (9,016) -------- NET ASSETS.......................................... 100.0% $438,263 ========
SEE NOTES TO FINANCIAL STATEMENTS. 54 NATIONS FUNDS Nations MidCap Growth Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED) --------------- *Federal income tax information (see Note 12). !! 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 11). The portion that represents cash collateral is $7,829. (a) All or portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $9,323 and $7,482, respectively. ABBREVIATIONS: ADR -- American Depository Receipt LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 55 NATIONS FUNDS Nations Marsico 21st Century Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- COMMON STOCKS -- 97.7% APPAREL AND TEXTILES -- 0.9% 48,029 Polo Ralph Lauren Corporation................................. $ 1,747 -------- BROADCASTING AND CABLE -- 0.7% 87,995 Cumulus Media Inc., Class A!!................................. 1,266 -------- CHEMICALS -- SPECIALTY -- 1.8% 95,736 Monsanto Company.............................................. 3,487 -------- COMMERCIAL BANKING -- 3.0% 202,611 South Financial Group, Inc. .................................. 5,714 -------- COMMERCIAL SERVICES -- 2.8% 58,633 eBay Inc.!!................................................... 5,391 -------- COMPUTERS AND OFFICE EQUIPMENT -- 2.9% 152,954 Dell Inc.!!................................................... 5,445 -------- CONSUMER CREDIT AND MORTGAGES -- 5.2% 249,910 Countrywide Financial Corporation............................. 9,844 -------- DIVERSIFIED ELECTRONICS -- 5.8% 62,255 Harman International Industries, Inc. ........................ 6,708 10,990 Samsung Electronics Company, Ltd. ............................ 4,371 -------- 11,079 -------- FINANCE -- MISCELLANEOUS -- 6.1% 25,632 Moody's Corporation........................................... 1,878 10,886 The Chicago Mercantile Exchange............................... 1,756 207,083 UCBH Holdings Inc. ........................................... 8,090 -------- 11,724 -------- FOOD AND DRUG STORES -- 2.2% 49,731 Whole Foods Market, Inc. ..................................... 4,266 -------- HEALTH SERVICES -- 3.7% 95,847 UnitedHealth Group Inc. ...................................... 7,068 -------- HEAVY MACHINERY -- 3.0% 48,641 Caterpillar Inc. ............................................. 3,913 54,786 Joy Global Inc. .............................................. 1,884 -------- 5,797 -------- HOUSEHOLD PRODUCTS -- 1.4% 48,643 Procter & Gamble Company...................................... 2,633 --------
VALUE SHARES (000) -------------------------------------------------------------------------------------- HOUSING AND FURNISHING -- 2.0% 162,205 WCI Communities, Inc.!!....................................... $ 3,779 -------- INVESTMENT SERVICES -- 5.0% 95,598 J.P. Morgan Chase & Company................................... 3,798 165,459 Jefferies Group, Inc. ........................................ 5,703 -------- 9,501 -------- LODGING AND RECREATION -- 13.1% 134,720 Brunswick Corporation......................................... 6,164 44,412 Four Seasons Hotels Inc. ..................................... 2,847 4,368,512 Shangri-La Asia Ltd.@......................................... 4,706 80,714 WMS Industries, Inc.!!(a)..................................... 2,074 176,558 Wynn Resorts, Ltd.!!.......................................... 9,125 -------- 24,916 -------- MEDIA -- 0.9% 452,049 EMI Group plc................................................. 1,806 -------- MEDICAL DEVICES AND SUPPLIES -- 2.7% 205,924 Wright Medical Group, Inc.!!.................................. 5,173 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 4.5% 220,276 QUALCOMM Inc. ................................................ 8,600 -------- PHARMACEUTICALS -- 2.9% 106,780 Genentech, Inc.!!............................................. 5,597 -------- PUBLISHING AND ADVERTISING -- 2.5% 85,781 Getty Images, Inc.!!.......................................... 4,744 -------- RAILROADS, TRUCKING AND SHIPPING -- 2.6% 58,326 FedEx Corporation............................................. 4,998 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 4.3% 545,530 Government Properties Trust, Inc. ............................ 5,182 48,187 Redwood Trust, Inc.(a)........................................ 3,008 -------- 8,190 -------- RECREATION -- 4.3% 190,241 Royal Caribbean Cruises Ltd. ................................. 8,295 -------- SOFTWARE -- 2.4% 99,330 Electronic Arts Inc.!!........................................ 4,568 --------
SEE NOTES TO FINANCIAL STATEMENTS. 56 NATIONS FUNDS Nations Marsico 21st Century Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- SPECIALTY STORES -- 8.0% 96,907 Amazon.com, Inc.!!............................................ $ 3,960 87,017 Best Buy Company, Inc. ....................................... 4,720 229,326 PETsMart, Inc. ............................................... 6,510 -------- 15,190 -------- TELECOMMUNICATIONS SERVICES -- 3.0% 319,854 Crown Castle International Corporation!!...................... 4,760 40,803 JAMDAT Mobile Inc. ........................................... 941 -------- 5,701 -------- TOTAL COMMON STOCKS (Cost $165,541)............................................. 186,519 -------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 6.3% (Cost $12,079) 12,079 Nations Cash Reserves, Capital Class Shares#.................. 12,079 -------- TOTAL INVESTMENTS (Cost $177,620*).................................. 104.0% 198,598 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (4.0)% (7,575) -------- NET ASSETS.......................................... $191,023 100.0% ========
--------------- *Federal income tax information (see Note 12). !! 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. #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 $4,550. (a) All or portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $3,750 and $4,530, respectively. ABBREVIATIONS: LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 57 NATIONS FUNDS Nations Small Company Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE (000) ------------------------------------------------------------- INVESTMENT COMPANIES -- 100.2% Investment in Nations Master Investment Trust, Small Company Master Portfolio*........................... $575,959 -------- TOTAL INVESTMENTS........... 100.2% 575,959 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)......... (0.2)% (1,016) -------- NET ASSETS.................. 100.0% $574,943 ========
--------------- * The financial statements of the Small Company Master Portfolio, including its portfolio of investments, are included elsewhere within this report and should be read in conjunction with the Small Company Fund's financial statements. SEE NOTES TO FINANCIAL STATEMENTS. 58 [This page intentionally left blank] 59 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2004
CONVERTIBLE ASSET MIDCAP SECURITIES ALLOCATION VALUE VALUE --------------------------------------------------------------------------------------------------------------------------------- (IN THOUSANDS) ASSETS: Non-affiliated investments, at cost.......... $ 1,360,614 $ 153,362 $ 1,260,413 $ 422,417 Affiliated investments, at cost.............. 266,942 21,274 23,709 9,166 ----------------- ----------------- ----------------- ----------------- Non-affiliated investments, at value......... 1,499,957 180,110 1,456,539 515,006 Affiliated investments, at value............. 266,942 21,563 23,709 9,166 Cash......................................... -- 1 -- -- Unrealized appreciation on forward foreign exchange contracts......................... -- -- -- -- Receivable for investment securities sold.... 6,687 -- 13,556 -- Receivable for Fund shares sold.............. 971 26 2,335 -- Dividends receivable......................... 468 184 3,371 896 Interest receivable.......................... 7,434 538 -- 48 Receivable for variation margin.............. -- 3 -- -- ----------------- ----------------- ----------------- ----------------- Total assets............................. 1,782,459 202,425 1,499,510 525,116 ----------------- ----------------- ----------------- ----------------- LIABILITIES: Unrealized depreciation on forward foreign exchange contracts......................... -- -- -- -- Collateral on securities loaned.............. (246,132) (311) (28) -- Investment advisory fee payable.............. (811) (76) (727) (275) Administration fee payable................... (287) (34) (157) (97) Shareholder servicing and distribution fees payable.................................... (259) (69) (130) (5) Due to custodian............................. (679) -- -- (696) Payable for variation margin................. -- (9) -- -- Payable for investment securities purchased.................................. (10,925) (16,631) (22,198) (1,006) Payable for Fund shares redeemed............. (1,987) (218) (1,843) -- Accrued Trustees' fees and expenses.......... (85) (82) (144) (22) Accrued expenses and other liabilities....... (238) (162) (178) (94) ----------------- ----------------- ----------------- ----------------- Total liabilities........................ (261,403) (17,592) (25,405) (2,195) ----------------- ----------------- ----------------- ----------------- NET ASSETS................................... $ 1,521,056 $ 184,833 $ 1,474,105 $ 522,921 ================= ================= ================= ================= NET ASSETS CONSIST OF: Undistributed net investment income/(distributions in excess of net investment income)......................... $ 1,659 $ 72 $ 1,031 $ 86 Accumulated net realized gain/(loss) on investments................................ 11,990 (41,498) (52,811) 14,436 Unrealized appreciation/(depreciation) on: Investments................................ 139,343 27,037 196,126 92,589 Futures contracts.......................... -- 42 -- -- Foreign currency translations.............. -- -- -- -- Paid-in capital.............................. 1,368,064 199,180 1,329,759 415,810 ----------------- ----------------- ----------------- ----------------- NET ASSETS................................... $ 1,521,056 $ 184,833 $ 1,474,105 $ 522,921 ================= ================= ================= ================= PRIMARY A SHARES: Net assets................................... $ 928,696,237 $ 24,117,897 $ 1,147,409,154 $ 509,918,986 Number of shares outstanding................. 54,171,355 1,205,980 96,975,365 40,261,006 Net asset value and redemption price per share...................................... $ 17.14 $ 20.00 $ 11.83 $ 12.67 INVESTOR A SHARES: Net assets................................... $ 378,938,733 $ 107,262,986 $ 226,736,124 $ 8,501,176 Number of shares outstanding................. 22,099,947 5,356,071 19,188,208 672,056 Net asset value and redemption price per share...................................... $ 17.15 $ 20.03 $ 11.82 $ 12.65 Maximum sales charge......................... 5.75% 5.75% 5.75% 5.75% Maximum offering price per share............. $ 18.20 $ 21.25 $ 12.54 $ 13.42 INVESTOR B SHARES: Net assets................................... $ 147,235,230 $ 51,033,673 $ 81,109,767 $ 3,714,613 Number of shares outstanding................. 8,678,822 2,568,450 7,050,496 295,696 Net asset value and redemption price per share&..................................... $ 16.96 $ 19.87 $ 11.50 $ 12.56 INVESTOR C SHARES: Net assets................................... $ 66,185,719 $ 2,418,086 $ 18,850,138 $ 785,893 Number of shares outstanding................. 3,862,742 121,797 1,639,327 62,380 Net asset value and redemption price per share&..................................... $ 17.13 $ 19.85 $ 11.50 $ 12.60
--------------- & The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. SEE NOTES TO FINANCIAL STATEMENTS. 60 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) (UNAUDITED)
SMALLCAP STRATEGIC FOCUSED MIDCAP 21ST VALUE GROWTH GROWTH EQUITIES GROWTH CENTURY ------------------------------------------------------------------------------------------------------------------------- $ 134,610 $ 1,152,402 $ 1,671,920 $ 2,059,278 $ 337,748 $ 165,541 13,069 -- -- -- 18,468 12,079 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- 166,089 1,440,669 1,629,644 2,583,659 428,811 186,519 13,069 -- -- -- 18,468 12,079 -- -- -- -- -- 1,002 -- -- -- -- -- 44 354 -- -- -- -- 8,147 -- 4,389 399 5,116 329 -- 215 -- -- -- 80 248 -- -- -- -- 3 -- -- -- -- -- -- -- ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- 179,727 1,445,058 1,630,043 2,588,775 447,691 208,039 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- -- -- -- -- -- (111) (5,146) -- -- -- (7,829) (4,550) (123) -- -- -- (234) (113) (28) (149) (242) (272) (83) (35) (2) (463) (110) (940) (24) (64) (207) -- -- -- -- -- -- -- -- -- -- -- (2,892) -- -- -- -- (12,009) -- (2,465) (1,112) (3,994) (1,052) -- (24) (168) (76) (48) (72) (39) (76) (268) (286) (346) (134) (95) ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- (8,498) (3,513) (1,826) (5,600) (9,428) (17,016) ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- $ 171,229 $ 1,441,545 $ 1,628,217 $ 2,583,175 $ 438,263 $ 191,023 ================= ================= ================= ================= ================= ================= $ (6) $ (3,074) $ 6,144 $ (8,576) $ (1,488) $ (466) 5,082 (233,665) (337,495) (624,409) (223,628) (21,706) 31,479 288,267 (42,276) 524,381 91,063 20,978 -- -- -- -- -- -- -- -- -- -- -- (67) 134,674 1,390,017 2,001,844 2,691,779 572,316 192,284 ----------------- ----------------- ----------------- ----------------- ----------------- ----------------- $ 171,229 $ 1,441,545 $ 1,628,217 $ 2,583,175 $ 438,263 $ 191,023 ================= ================= ================= ================= ================= ================= $ 165,159,694 $ 405,561,852 $ 1,354,298,444 $ 668,544,560 $ 393,061,406 $ 62,651,215 14,070,750 25,179,412 119,147,013 40,002,340 34,963,088 6,423,253 $ 11.74 $ 16.11 $ 11.37 $ 16.71 $ 11.24 $ 9.75 $ 4,286,194 $ 627,437,773 $ 218,520,989 $ 1,036,251,839 $ 20,406,754 $ 62,671,816 366,955 39,397,192 19,300,369 62,785,897 1,893,931 6,500,743 $ 11.68 $ 15.93 $ 11.32 $ 16.50 $ 10.77 $ 9.64 5.75% 5.75% 5.75% 5.75% 5.75% 5.75% $ 12.39 $ 16.90 $ 12.01 $ 17.51 $ 11.43 $ 10.23 $ 1,446,990 $ 187,564,610 $ 39,724,684 $ 525,350,317 $ 23,273,596 $ 47,710,997 125,800 12,359,374 3,630,163 33,359,119 2,437,312 5,119,051 $ 11.50 $ 15.18 $ 10.94 $ 15.75 $ 9.55 $ 9.32 $ 336,045 $ 220,980,816 $ 15,672,758 $ 353,027,998 $ 1,521,260 $ 17,988,630 29,239 14,541,325 1,431,548 22,350,375 158,385 1,930,272 $ 11.49 $ 15.20 $ 10.95 $ 15.80 $ 9.60 $ 9.32 SMALL COMPANY ----------------- $ 453,539 -- ----------------- 575,959 -- -- -- -- 302 -- -- -- ----------------- 576,261 ----------------- -- -- (51) -- (44) -- -- -- (963) (48) (212) ----------------- (1,318) ----------------- $ 574,943 ================= $ (2,833) (63,901) 122,420 -- -- 519,257 ----------------- $ 574,943 ================= $ 422,367,957 29,264,413 $ 14.43 $ 131,751,051 9,328,489 $ 14.12 5.75% $ 14.98 $ 16,750,260 1,258,788 $ 13.31 $ 4,073,911 301,945 $ 13.49
SEE NOTES TO FINANCIAL STATEMENTS. 61 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2004
CONVERTIBLE ASSET MIDCAP SECURITIES ALLOCATION VALUE VALUE --------------------------------------------------------------------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest......................................... $ 16,079 $ 1,196 $ -- $ 157 Dividends (Net of foreign withholding taxes of $0, $0, $4, $3, $0, $0, $0, $0, $0, $14 and $0, respectively)................................... 11,764 1,216 17,089 4,634 Dividend income from affiliated funds............ 65 96 135 53 Securities lending............................... 230 1 10 -- Allocated from Portfolio: Interest+........................................ -- -- -- -- Dividends (Net of foreign withholding taxes of $0, $0, $0, $0, $0, $69, $17, $171, $0, $0 and $3, respectively)+.............................. -- -- -- -- Dividend income from affiliated funds+........... -- -- -- -- Securities lending+.............................. -- -- -- -- Expenses+........................................ -- -- -- -- -------------- -------------- -------------- -------------- Total investment income....................... 28,138 2,509 17,234 4,844 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee.......................... 4,948 570 4,687 1,633 Administration fee............................... 1,751 209 1,658 577 Transfer agent fees.............................. 249 32 202 71 Custodian fees................................... 53 12 45 20 Legal and audit fees............................. 49 44 48 46 Registration and filing fees..................... 30 20 31 18 Trustees' fees and expenses...................... 12 12 12 12 Interest expense................................. 2 --* -- 1 Printing expense................................. 88 92 53 36 Other............................................ 23 4 16 6 Non-recurring costs (see Note 15)................ 282 -- 267 -- Cost assumed by Bank of America Corporation (see Note 15)........................................ (282) -- (267) -- -------------- -------------- -------------- -------------- Subtotal...................................... 7,205 995 6,752 2,420 Shareholder servicing and distribution fees: Investor A Shares............................... 475 133 273 10 Investor B Shares............................... 746 284 417 18 Investor C Shares............................... 349 12 117 4 -------------- -------------- -------------- -------------- Total expenses................................ 8,775 1,424 7,559 2,452 Fees waived by investment adviser and/or administrator (see Note 3)...................... -- (95) (1,082) -- Fees reduced by credits allowed by the custodian (see Note 3).................................... (1) --* --* --* -------------- -------------- -------------- -------------- Net expenses.................................. 8,774 1,329 6,477 2,452 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME/(LOSS)..................... 19,364 1,180 10,757 2,392 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions........................... 23,083 5,284 8,162 16,126 Written options................................. -- (8) -- -- Futures contracts............................... -- 17 -- -- Swap contracts.................................. -- 13 -- -- Net increase from payments by affiliates and net realized gain/(loss) on the disposal of investments in violation of restrictions (see Note 3)....................................... -- 118 -- 495 Foreign currency and other net assets........... -- -- -- -- Allocated from Portfolio: Security transactions+.......................... -- -- -- -- Foreign currency and other net assets+.......... -- -- -- -- Net increase from payments by affiliates and net realized gain/(loss) on the disposal of investments in violation of restrictions (see Note 3)+...................................... -- -- -- -- -------------- -------------- -------------- -------------- Net realized gain/(loss) on investments.......... 23,083 5,424 8,162 16,621 -------------- -------------- -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities (see Note 13)........................ (40,268) (7,206) (10,030) (1,997) Written options................................. -- -- -- -- Futures contracts............................... -- (18) -- -- Swap contracts.................................. -- 2 -- -- Foreign currency and other net assets........... -- -- -- -- Securities allocated from Portfolio (see Note 13)+.......................................... -- -- -- -- -------------- -------------- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments...... (40,268) (7,222) (10,030) (1,997) -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments..................................... (17,185) (1,798) (1,868) 14,624 -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................. $ 2,179 $ (618) $ 8,889 $ 17,016 ============== ============== ============== ==============
--------------- *Amount represents less than $500. + Allocated from Growth Master Portfolio, Strategic Growth Master Portfolio, Focused Equities Master Portfolio and Small Company Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 62 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
SMALLCAP STRATEGIC FOCUSED MIDCAP 21ST VALUE GROWTH GROWTH EQUITIES GROWTH CENTURY ------------------------------------------------------------------------------------------------------------------- $ -- $ -- $ -- $ -- $ -- $ -- 979 -- -- -- 921 853 26 -- -- -- 35 34 16 -- -- -- 18 29 -- 586 -- -- -- -- -- 6,197 11,927 11,875 -- -- -- 205 132 379 -- -- -- 5 54 -- -- -- -- (5,758) (6,128) (11,071) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 1,021 1,235 5,985 1,183 974 916 -------------- -------------- -------------- -------------- -------------- -------------- 705 -- -- -- 1,536 619 180 864 1,546 1,664 543 190 30 428 273 914 80 36 9 -- -- -- 18 13 46 40 43 44 45 46 17 30 47 41 24 22 12 5 5 5 12 12 --* -- -- -- --* -- 31 98 52 213 39 36 2 6 12 10 7 5 -- 246 318 473 -- -- -- (246) (318) (473) -- -- -------------- -------------- -------------- -------------- -------------- -------------- 1,032 1,471 1,978 2,891 2,304 979 5 718 289 1,269 27 66 7 947 210 2,678 123 233 2 960 81 1,704 8 79 -------------- -------------- -------------- -------------- -------------- -------------- 1,046 4,096 2,558 8,542 2,462 1,357 (19) -- -- -- -- -- --* -- -- -- --* --* -------------- -------------- -------------- -------------- -------------- -------------- 1,027 4,096 2,558 8,542 2,462 1,357 -------------- -------------- -------------- -------------- -------------- -------------- (6) (2,861) 3,427 (7,359) (1,488) (441) -------------- -------------- -------------- -------------- -------------- -------------- 5,563 -- -- -- 7,861 2,471 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 1,039 -- -- -- -- -- -- (199) -- (26,399) 224,183 (83,729) -- -- -- (324) -- (601) -- -- -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- 5,563 (26,723) 224,183 (84,330) 8,900 2,272 -------------- -------------- -------------- -------------- -------------- -------------- (634) -- -- -- (29,230) (1,808) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 232 -- 43,215 (261,916) 42,898 -- -- -------------- -------------- -------------- -------------- -------------- -------------- (634) 43,215 (261,916) 42,898 (29,230) (1,576) -------------- -------------- -------------- -------------- -------------- -------------- 4,929 16,492 (37,733) (41,432) (20,330) 696 -------------- -------------- -------------- -------------- -------------- -------------- $ 4,923 $ 13,631 $ (34,306) $ (48,791) $ (21,818) $ 255 ============== ============== ============== ============== ============== ============== SMALL COMPANY ---------------- $ -- -- -- -- -- 1,063 88 67 (3,145) -------------- (1,927) -------------- -- 584 140 -- 38 31 5 -- 50 7 120 (120) -------------- 855 209 88 23 -------------- 1,175 (269) -- -------------- 906 -------------- (2,833) -------------- -- -- -- -- -- -- 30,152 -- -- -------------- 30,152 -------------- (72,058) -- -- -- -- -- -------------- (72,058) -------------- (41,906) -------------- $ (44,739) ==============
SEE NOTES TO FINANCIAL STATEMENTS. 63 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
CONVERTIBLE SECURITIES --------------------------------- SIX MONTHS ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 19,364 $ 40,534 Net realized gain/(loss) on investments..................... 23,083 93,895 Net realized gain/(loss) on investments allocated from Portfolio................................................. -- -- Net change in unrealized appreciation/(depreciation) of investments............................................... (40,268) 200,762 Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio...................... -- -- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 2,179 335,191 Distributions to shareholders from net investment income: Primary A Shares.......................................... (12,682) (24,825) Investor A Shares......................................... (4,706) (10,005) Investor B Shares......................................... (1,323) (2,894) Investor C Shares......................................... (596) (1,173) 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.............................................. (48,112) 332,348 -------------- -------------- Net increase/(decrease) in net assets....................... (65,240) 628,642 NET ASSETS: Beginning of period......................................... 1,586,296 957,654 -------------- -------------- End of period............................................... $ 1,521,056 $ 1,586,296 ============== ============== Undistributed net investment income/(loss) at end of period.................................................... $ 1,659 $ 1,602 ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 64 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
ASSET ALLOCATION VALUE MIDCAP VALUE ----------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ------------------------------------------------------------------------------------------------------- $ 1,180 $ 2,320 $ 10,757 $ 14,740 $ 2,392 $ 4,320 5,424 9,959 8,162 7,823 16,621 37,814 -- -- -- -- -- -- (7,222) 33,520 (10,030) 302,733 (1,997) 113,620 -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- (618) 45,799 8,889 325,296 17,016 155,754 (214) (555) (9,048) (11,573) (2,278) (4,378) (795) (1,503) (1,518) (1,558) (29) (48) (194) (549) (267) (265) -- (3) (9) (19) (59) (67) -- (1) -- -- -- -- (18,813) -- -- -- -- -- (314) -- -- -- -- -- (136) -- -- -- -- -- (26) -- (12,223) (42,148) 46,863 580,140 22,719 53,778 -------------- -------------- -------------- -------------- -------------- -------------- (14,053) 1,025 44,860 891,973 18,139 205,102 198,886 197,861 1,429,245 537,272 504,782 299,680 -------------- -------------- -------------- -------------- -------------- -------------- $184,833 $ 198,886 $ 1,474,105 $ 1,429,245 $ 522,921 $ 504,782 ============== ============== ============== ============== ============== ============== $72 $ 104 $ 1,031 $ 1,166 $ 86 $ 1 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 65 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
SMALLCAP VALUE --------------------------------- SIX MONTHS ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ (6) $ 162 Net realized gain/(loss) on investments..................... 5,563 18,236 Net realized gain/(loss) on investments allocated from Portfolio+................................................ -- -- Net change in unrealized appreciation/(depreciation) of investments............................................... (634) 35,360 Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+..................... -- -- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 4,923 53,758 Distributions to shareholders from net investment income: Primary A Shares.......................................... -- (401) Investor A Shares......................................... -- (5) Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... (11,071) (1,115) Investor A Shares......................................... (289) (21) Investor B Shares......................................... (98) (9) Investor C Shares......................................... (21) (2) Net increase/(decrease) in net assets from Fund share transactions.............................................. 20,716 33,177 -------------- -------------- Net increase/(decrease) in net assets....................... 14,160 85,382 NET ASSETS: Beginning of period......................................... 157,069 71,687 -------------- -------------- End of period............................................... $ 171,229 $ 157,069 ============== ============== Undistributed net investment income/(loss) at end of period.................................................... $ (6) $ -- ============== ==============
--------------- + Allocated from Growth Master Portfolio, Strategic Growth Master Portfolio and Focused Equities Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 66 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
GROWTH STRATEGIC GROWTH FOCUSED EQUITIES ----------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ------------------------------------------------------------------------------------------------------- $ (2,861) $ (5,599) $ 3,427 $ 8,296 $ (7,359) $ (15,498) -- -- -- -- -- -- (26,723) 50,430 224,183 38,296 (84,330) 123,090 -- -- -- -- -- -- 43,215 185,287 (261,916) 462,907 42,898 432,350 -------------- -------------- -------------- -------------- -------------- -------------- 13,631 230,118 (34,306) 509,499 (48,791) 539,942 -- -- -- (8,243) -- -- -- -- -- (685) -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 131,566 486,609 (162,010) (334,818) (20,094) 552,340 -------------- -------------- -------------- -------------- -------------- -------------- 145,197 716,727 (196,316) 165,753 (68,885) 1,092,282 1,296,348 579,621 1,824,533 1,658,780 2,652,060 1,559,778 -------------- -------------- -------------- -------------- -------------- -------------- $ 1,441,545 $ 1,296,348 $ 1,628,217 $ 1,824,533 $ 2,583,175 $ 2,652,060 ============== ============== ============== ============== ============== ============== $ (3,074) $ (213) $ 6,144 $ 2,717 $ (8,576) $ (1,217) ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 67 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MIDCAP GROWTH --------------------------------- SIX MONTHS ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................................................ $ (1,488) $ (2,692) Net realized gain/(loss) on investments..................................................... 8,900 (252) Net realized gain/(loss) on investments allocated from Portfolio+........................... -- -- Net change in unrealized appreciation/(depreciation) of investments......................... (29,230) 153,370 Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+................................................................................ -- -- -------------- -------------- Net increase/(decrease) in net assets resulting from operations............................. (21,818) 150,426 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.......................... (52,374) (82,777) -------------- -------------- Net increase/(decrease) in net assets....................................................... (74,192) 67,649 NET ASSETS: Beginning of period......................................................................... 512,455 444,806 -------------- -------------- End of period............................................................................... $ 438,263 $ 512,455 ============== ============== Undistributed net investment income/(loss) at end of period................................. $ (1,488) $ -- ============== ==============
--------------- # Amount represents results from operations prior to conversion to master-feeder structure. (a)As of November 1, 2003, Small Company Fund converted to a master-feeder structure. + Allocated from Small Company Master Portfolio. SEE NOTES TO FINANCIAL STATEMENTS. 68 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
21ST CENTURY SMALL COMPANY -------------------------------------- -------------------------------------- SIX MONTHS SIX MONTHS ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04(A) ------------------------------------------------------------------------------------------ $ (441) $ (985) $ (2,833) $ (5,942) 2,272 15,408 -- 13,611# -- -- 30,152 32,447 (1,576) 20,525 -- 208,510# -- -- (72,058) 29,382 -------------- -------------- -------------- -------------- 255 34,948 (44,739) 278,008 -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- -- 42,134 66,211 (127,412) (85,943) -------------- -------------- -------------- -------------- 42,389 101,159 (172,151) 192,065 148,634 47,475 747,094 555,029 -------------- -------------- -------------- -------------- $ 191,023 $ 148,634 $ 574,943 $ 747,094 ============== ============== ============== ============== $ (466) $ (25) $ (2,833) $ -- ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 69 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
CONVERTIBLE SECURITIES SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------- -------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 5,803 $ 98,611 33,051 $ 507,755 Issued as reinvestment of dividends....................... 34 590 124 2,001 Redeemed.................................................. (7,218) (122,503) (15,632) (244,442) ------ --------- ------- --------- Net increase/(decrease)................................... (1,381) $ (23,302) 17,543 $ 265,314 ====== ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 1,919 $ 32,724 8,805 $ 136,443 Shares issued upon conversion from Investor B shares...... 5 79 2 28 Shares issued upon conversion from Investor C shares...... 14 243 20 317 Issued as reinvestment of dividends....................... 233 3,984 536 8,590 Redeemed.................................................. (3,070) (52,203) (7,611) (119,750) ------ --------- ------- --------- Net increase/(decrease)................................... (899) $ (15,173) 1,752 $ 25,628 ====== ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 397 $ 6,669 2,101 $ 31,998 Issued as reinvestment of dividends....................... 64 1,090 150 2,385 Shares redeemed upon conversion to Investor A shares...... (5) (79) (2) (28) Redeemed.................................................. (778) (13,038) (1,422) (22,493) ------ --------- ------- --------- Net increase/(decrease)................................... (322) $ (5,358) 827 $ 11,862 ====== ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 485 $ 8,258 2,622 $ 40,889 Issued as reinvestment of dividends....................... 17 283 39 631 Shares redeemed upon conversion to Investor A shares...... (14) (243) (20) (317) Redeemed.................................................. (738) (12,577) (728) (11,659) ------ --------- ------- --------- Net increase/(decrease)................................... (250) $ (4,279) 1,913 $ 29,544 ====== ========= ======= ========= Total net increase/(decrease)............................. (2,852) $ (48,112) 22,035 $ 332,348 ====== ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 70 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
ASSET ALLOCATION SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 22 $ 426 127 $ 2,523 Issued as reinvestment of dividends....................... 5 108 18 330 Redeemed.................................................. (97) (1,933) (1,031) (20,314) ---- -------- ------ -------- Net increase/(decrease)................................... (70) $ (1,399) (886) $(17,461) ==== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 68 $ 1,358 1,204 $ 22,795 Shares issued upon conversion from Investor B shares...... 411 8,184 --* 5 Issued as reinvestment of dividends....................... 37 744 75 1,429 Redeemed.................................................. (438) (8,735) (1,353) (25,228) ---- -------- ------ -------- Net increase/(decrease)................................... 78 $ 1,551 (74) $ (999) ==== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 26 $ 517 99 $ 1,840 Issued as reinvestment of dividends....................... 9 175 26 491 Shares redeemed upon conversion to Investor A shares...... (415) (8,184) --* (5) Redeemed.................................................. (251) (4,950) (1,361) (25,934) ---- -------- ------ -------- Net increase/(decrease)................................... (631) $(12,442) (1,236) $(23,608) ==== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 14 $ 248 47 $ 875 Issued as reinvestment of dividends....................... --* 7 1 16 Redeemed.................................................. (10) (188) (52) (971) ---- -------- ------ -------- Net increase/(decrease)................................... 4 $ 67 (4) $ (80) ==== ======== ====== ======== Total net increase/(decrease)............................. (619) $(12,223) (2,200) $(42,148) ==== ======== ====== ========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 71 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
VALUE SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 11,458 $133,816 30,844 $ 329,688 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 as reinvestment of dividends....................... 292 3,443 416 4,531 Redeemed.................................................. (7,735) (90,439) (22,243) (235,036) ------ -------- ------- --------- Net increase/(decrease)................................... 4,015 $ 46,820 39,667 $ 404,150 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 3,443 $ 40,093 7,157 $ 77,892 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...... 11 124 21 233 Shares issued upon conversion from Investor C shares...... 20 241 28 305 Issued as reinvestment of dividends....................... 121 1,426 129 1,442 Redeemed.................................................. (2,249) (26,169) (3,320) (35,761) ------ -------- ------- --------- Net increase/(decrease)................................... 1,346 $ 15,715 12,719 $ 130,625 ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 205 $ 2,332 568 $ 5,919 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....................... 21 235 22 237 Shares redeemed upon conversion to Investor A shares...... (11) (124) (22) (233) Redeemed.................................................. (739) (8,343) (1,282) (13,404) ------ -------- ------- --------- Net increase/(decrease)................................... (524) $ (5,900) 3,041 $ 28,863 ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 63 $ 709 352 $ 3,553 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....................... 2 27 3 30 Shares redeemed upon conversion to Investor A shares...... (21) (241) (29) (305) Redeemed.................................................. (908) (10,267) (3,502) (36,196) ------ -------- ------- --------- Net increase/(decrease)................................... (864) $ (9,772) 1,934 $ 16,502 ====== ======== ======= ========= Total net increase/(decrease)............................. 3,973 $ 46,863 57,361 $ 580,140 ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 72 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MIDCAP VALUE SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 3,929 $ 48,659 12,446 $136,835 Capital contribution from investment advisor (see Note 3)...................................................... -- 392 -- -- Issued as reinvestment of dividends....................... 321 3,763 45 518 Redeemed.................................................. (2,488) (30,761) (7,713) (87,326) ------ -------- ------ -------- Net increase/(decrease)................................... 1,762 $ 22,053 4,778 $ 50,027 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 158 $ 1,965 442 $ 5,002 Capital contribution from investment advisor (see Note 3)...................................................... -- 7 -- -- Shares issued upon conversion from Investor B shares...... 6 74 1 8 Issued as reinvestment of dividends....................... 25 294 4 42 Redeemed.................................................. (153) (1,879) (186) (2,093) ------ -------- ------ -------- Net increase/(decrease)................................... 36 $ 461 261 $ 2,959 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 27 $ 335 101 $ 1,109 Capital contribution from investment advisor (see Note 3)...................................................... -- 3 -- -- Issued as reinvestment of dividends....................... 11 125 --* 4 Shares redeemed upon conversion to Investor A shares...... (6) (74) (1) (8) Redeemed.................................................. (24) (288) (39) (455) ------ -------- ------ -------- Net increase/(decrease)................................... 8 $ 101 61 $ 650 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 9 $ 110 23 $ 265 Capital contribution from investment advisor (see Note 3)...................................................... -- 1 -- -- Issued as reinvestment of dividends....................... 1 16 --* --* Redeemed.................................................. (2) (23) (11) (123) ------ -------- ------ -------- Net increase/(decrease)................................... 8 $ 104 12 $ 142 ====== ======== ====== ======== Total net increase/(decrease)............................. 1,814 $ 22,719 5,112 $ 53,778 ====== ======== ====== ========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 73 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SMALLCAP VALUE SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,324 $ 26,730 5,994 $ 60,657 Issued as reinvestment of dividends....................... 325 3,407 43 468 Redeemed.................................................. (895) (10,207) (2,799) (30,561) ----- -------- ------ -------- Net increase/(decrease)................................... 1,754 $ 19,930 3,238 $ 30,564 ===== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 66 $ 768 230 $ 2,459 Shares issued upon conversion from Investor B shares...... 3 30 --* --* Issued as reinvestment of dividends....................... 26 271 2 24 Redeemed.................................................. (41) (467) (64) (719) ----- -------- ------ -------- Net increase/(decrease)................................... 54 $ 602 168 $ 1,764 ===== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 17 $ 191 85 $ 862 Issued as reinvestment of dividends....................... 9 93 1 9 Shares redeemed upon conversion to Investor A shares...... (3) (30) --* --* Redeemed.................................................. (12) (139) (16) (181) ----- -------- ------ -------- Net increase/(decrease)................................... 11 $ 115 70 $ 690 ===== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 9 $ 101 24 $ 240 Issued as reinvestment of dividends....................... 1 15 --* 2 Redeemed.................................................. (4) (47) (8) (83) ----- -------- ------ -------- Net increase/(decrease)................................... 6 $ 69 16 $ 159 ===== ======== ====== ======== Total net increase/(decrease)............................. 1,825 $ 20,716 3,492 $ 33,177 ===== ======== ====== ========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 74 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
GROWTH SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 4,590 $ 71,141 12,491 $ 178,639 Issued in exchange for Primary A Shares of Nations Capital Growth Fund (see Note 13)............................... -- -- 6,378 101,343 Redeemed.................................................. (2,711) (42,459) (4,478) (65,705) ------ -------- ------- --------- Net increase/(decrease)................................... 1,879 $ 28,682 14,391 $ 214,277 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 8,460 $130,412 19,553 $ 281,705 Issued in exchange for Investor A Shares of Nations Capital Growth Fund (see Note 13)....................... -- -- 2,087 32,847 Shares issued upon conversion from Investor B shares...... 93 1,403 6 84 Shares issued upon conversion from Investor C shares...... 4 55 -- -- Redeemed.................................................. (3,744) (57,300) (10,657) (155,779) ------ -------- ------- --------- Net increase/(decrease)................................... 4,813 $ 74,570 10,989 $ 158,857 ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 330 $ 4,883 1,580 $ 21,455 Issued in exchange for Investor B Shares of Nations Capital Growth Fund (see Note 13)....................... -- -- 1,570 23,676 Shares redeemed upon conversion to Investor A shares...... (98) (1,403) (6) (84) Redeemed.................................................. (1,121) (16,419) (1,919) (26,674) ------ -------- ------- --------- Net increase/(decrease)................................... (889) $(12,939) 1,225 $ 18,373 ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 3,564 $ 52,342 7,528 $ 104,466 Issued in exchange for Investor C Shares of Nations Capital Growth Fund (see Note 13)....................... -- -- 194 2,924 Shares redeemed upon conversion to Investor A shares...... (4) (55) -- -- Redeemed.................................................. (753) (11,034) (874) (12,288) ------ -------- ------- --------- Net increase/(decrease)................................... 2,807 $ 41,253 6,848 $ 95,102 ====== ======== ======= ========= Total net increase/(decrease)............................. 8,610 $131,566 33,453 $ 486,609 ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 75 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
STRATEGIC GROWTH SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 3,801 $ 43,268 26,117 $ 268,207 Issued as reinvestment of dividends....................... -- -- 43 486 Redeemed.................................................. (15,658) (178,664) (53,868) (563,726) ------- --------- ------- --------- Net increase/(decrease)................................... (11,857) $(135,396) (27,708) $(295,033) ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 743 $ 8,452 4,359 $ 44,244 Shares issued upon conversion from Investor B shares...... 7 79 8 97 Shares issued upon conversion from Investor C shares...... --* 2 -- -- Issued as reinvestment of dividends....................... -- -- 57 646 Redeemed.................................................. (2,708) (30,712) (7,572) (78,387) ------- --------- ------- --------- Net increase/(decrease)................................... (1,958) $ (22,179) (3,148) $ (33,400) ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 13 $ 144 158 $ 1,607 Issued as reinvestment of dividends....................... -- -- -- -- Shares redeemed upon conversion to Investor A shares...... (7) (79) (9) (97) Redeemed.................................................. (352) (3,862) (739) (7,656) ------- --------- ------- --------- Net increase/(decrease)................................... (346) $ (3,797) (590) $ (6,146) ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 124 $ 1,355 426 $ 4,382 Issued as reinvestment of dividends....................... -- -- -- -- Shares redeemed upon conversion to Investor A shares...... --* (2) -- -- Redeemed.................................................. (181) (1,991) (442) (4,621) ------- --------- ------- --------- Net increase/(decrease)................................... (57) $ (638) (16) $ (239) ======= ========= ======= ========= Total net increase/(decrease)............................. (14,218) $(162,010) (31,462) $(334,818) ======= ========= ======= =========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 76 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
FOCUSED EQUITIES SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,954 $ 48,395 17,863 $ 276,214 Redeemed.................................................. (4,262) (69,017) (6,589) (103,473) ------- --------- ------- --------- Net increase/(decrease)................................... (1,308) $ (20,622) 11,274 $ 172,741 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 12,311 $ 198,736 40,446 $ 634,367 Shares issued upon conversion from Investor B shares...... 69 1,103 169 2,721 Shares issued upon conversion from Investor C shares...... 2 32 4 69 Redeemed.................................................. (11,013) (177,752) (21,574) (334,541) ------- --------- ------- --------- Net increase/(decrease)................................... 1,369 $ 22,119 19,045 $ 302,616 ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 564 $ 8,757 3,662 $ 53,854 Shares redeemed upon conversion to Investor A shares...... (72) (1,103) (176) (2,721) Redeemed.................................................. (3,014) (46,275) (5,322) (79,664) ------- --------- ------- --------- Net increase/(decrease)................................... (2,522) $ (38,621) (1,836) $ (28,531) ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 2,983 $ 46,201 9,433 $ 142,065 Shares redeemed upon conversion to Investor A shares...... (2) (32) (4) (69) Redeemed.................................................. (1,894) (29,139) (2,409) (36,482) ------- --------- ------- --------- Net increase/(decrease)................................... 1,087 $ 17,030 7,020 $ 105,514 ======= ========= ======= ========= Total net increase/(decrease)............................. (1,374) $ (20,094) 35,503 $ 552,340 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 77 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MIDCAP GROWTH SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,904 $ 21,591 7,761 $ 82,443 Redeemed.................................................. (6,240) (70,309) (15,009) (160,517) ------ -------- ------- --------- Net increase/(decrease)................................... (4,336) $(48,718) (7,248) $ (78,074) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 185 $ 1,997 1,094 $ 11,057 Shares issued upon conversion from Investor B shares...... 2 26 3 35 Shares issued upon conversion from Investor C shares...... --* 2 --* 5 Redeemed.................................................. (306) (3,326) (1,260) (12,709) ------ -------- ------- --------- Net increase/(decrease)................................... (119) $ (1,301) (163) $ (1,612) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 45 $ 450 255 $ 2,330 Shares redeemed upon conversion to Investor A shares...... (3) (26) (4) (35) Redeemed.................................................. (266) (2,567) (536) (4,970) ------ -------- ------- --------- Net increase/(decrease)................................... (224) $ (2,143) (285) $ (2,675) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 4 $ 37 38 $ 359 Shares redeemed upon conversion to Investor A shares...... --* (2) (1) (5) Redeemed.................................................. (26) (247) (84) (770) ------ -------- ------- --------- Net increase/(decrease)................................... (22) $ (212) (47) $ (416) ====== ======== ======= ========= Total net increase/(decrease)............................. (4,701) $(52,374) (7,743) $ (82,777) ====== ======== ======= =========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 78 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
21ST CENTURY SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,858 $27,029 3,470 $ 30,659 Redeemed.................................................. (211) (2,028) (261) (2,362) ----- ------- ------ -------- Net increase/(decrease)................................... 2,647 $25,001 3,209 $ 28,297 ===== ======= ====== ======== INVESTOR A SHARES: Sold...................................................... 2,222 $20,582 5,343 $ 46,037 Shares issued upon conversion from Investor B shares...... 3 29 --* 4 Shares issued upon conversion from Investor C shares...... --* 4 1 7 Redeemed.................................................. (736) (6,821) (2,085) (18,747) ----- ------- ------ -------- Net increase/(decrease)................................... 1,489 $13,794 3,259 $ 27,301 ===== ======= ====== ======== INVESTOR B SHARES: Sold...................................................... 440 $ 3,996 975 $ 8,226 Shares redeemed upon conversion to Investor A shares...... (3) (29) --* (4) Redeemed.................................................. (445) (4,003) (732) (6,065) ----- ------- ------ -------- Net increase/(decrease)................................... (8) $ (36) 243 $ 2,157 ===== ======= ====== ======== INVESTOR C SHARES: Sold...................................................... 511 $ 4,649 1,111 $ 9,589 Shares redeemed upon conversion to Investor A shares...... --* (4) (1) (7) Redeemed.................................................. (142) (1,270) (130) (1,126) ----- ------- ------ -------- Net increase/(decrease)................................... 369 $ 3,375 980 $ 8,456 ===== ======= ====== ======== Total net increase/(decrease)............................. 4,497 $42,134 7,691 $ 66,211 ===== ======= ====== ========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 79 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SMALL COMPANY SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------- -------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,413 $ 20,516 11,003 $ 134,903 Redeemed.................................................. (5,344) (76,652) (18,256) (237,496) ------ --------- ------- --------- Net increase/(decrease)................................... (3,931) $ (56,136) (7,253) $(102,593) ====== ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 943 $ 13,625 5,040 $ 65,622 Shares issued upon conversion from Investor B shares...... 3 44 5 79 Shares issued upon conversion from Investor C shares...... 48 677 14 214 Redeemed.................................................. (5,823) (83,210) (3,814) (49,521) ------ --------- ------- --------- Net increase/(decrease)................................... (4,829) $ (68,864) 1,245 $ 16,394 ====== ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 52 $ 707 302 $ 3,693 Shares redeemed upon conversion to Investor A shares...... (3) (44) (6) (79) Redeemed.................................................. (152) (2,021) (258) (3,325) ------ --------- ------- --------- Net increase/(decrease)................................... (103) $ (1,358) 38 $ 289 ====== ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 28 $ 380 132 $ 1,681 Shares redeemed upon conversion to Investor A shares...... (50) (677) (15) (214) Redeemed.................................................. (54) (757) (117) (1,500) ------ --------- ------- --------- Net increase/(decrease)................................... (76) $ (1,054) --* $ (33) ====== ========= ======= ========= Total net increase/(decrease)............................. (8,939) $(127,412) (5,970) $ (85,943) ====== ========= ======= =========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 80 [This page intentionally left blank] 81 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 9/30/2004 (unaudited)#... $17.32 $0.23 $(0.17) $ 0.06 $(0.24) Year ended 3/31/2004#..................... 13.77 0.51 3.52 4.03 (0.48) 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 9/30/2004 (unaudited)#... $17.33 $0.21 $(0.18) $ 0.03 $(0.21) Year ended 3/31/2004#..................... 13.77 0.47 3.53 4.00 (0.44) 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) INVESTOR B SHARES* Six months ended 9/30/2004 (unaudited)#... $17.15 $0.15 $(0.19) $(0.04) $(0.15) Year ended 3/31/2004#..................... 13.64 0.35 3.48 3.83 (0.32) 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) INVESTOR C SHARES* Six months ended 9/30/2004 (unaudited)#... $17.31 $0.15 $(0.18) $(0.03) $(0.15) Year ended 3/31/2004#..................... 13.77 0.35 3.52 3.87 (0.33) 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)
--------------- + 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 Shares commenced operations on May 21, 1999. # 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 3) 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 is included in the ratio of operating expenses to average net assets (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. (d)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.95% for Primary A Shares, 1.20% for Investor A Shares and 1.95% each for Investor B and Investor C Shares. (e)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 15) is included in the ratio of operating expenses to average net assets without the waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.95% for Primary A Shares, 1.20% for Investor A Shares and 1.95% each for Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 82 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ---------------------------------------------------------------------------------------------------------------------------------- $ -- $(0.24) $17.14 0.33% $928,696 0.95%+(a)(b) 2.75%+ 21% 0.98%+(a)(e) -- (0.48) 17.32 29.54 962,284 0.94(a)(b)(c) 3.19 91 0.97(a)(d) -- (0.50) 13.77 (11.01) 523,271 0.97(a)(b) 3.59 57 0.97(a) (0.05) (0.61) 16.03 3.74 236,202 1.00(a)(b) 3.78 50 1.00(a) (4.04) (4.64) 16.05 (7.59) 75,627 0.99(a)(b) 3.08 73 1.00(a) (1.41) (1.91) 22.18 35.21 13,688 0.97+(b) 2.21+ 65 0.98+ $ -- $(0.21) $17.15 0.20% $378,939 1.20%+(a)(b) 2.50%+ 21% 1.23%+(a)(e) -- (0.44) 17.33 29.32 398,485 1.19(a)(b)(c) 2.94 91 1.22(a)(d) -- (0.47) 13.77 (11.18) 292,622 1.22(a)(b) 3.34 57 1.22(a) (0.05) (0.57) 16.02 3.48 321,858 1.25(a)(b) 3.53 50 1.25(a) (4.04) (4.59) 16.04 (7.88) 315,857 1.24(a)(b) 2.86 73 1.25(a) (1.41) (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+ $ -- $(0.15) $16.96 (0.22)% $147,235 1.95%+(a)(b) 1.75%+ 21% 1.98%+(a)(e) -- (0.32) 17.15 28.30 154,322 1.94(a)(b)(c) 2.19 91 1.97(a)(d) -- (0.36) 13.64 (11.83) 111,468 1.97(a)(b) 2.59 57 1.97(a) (0.05) (0.46) 15.88 2.68 90,408 2.00(a)(b) 2.78 50 2.00(a) (4.04) (4.49) 15.92 (8.49) 49,763 1.99(a)(b) 2.08 73 2.00(a) (1.41) (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+ $ -- $(0.15) $17.13 (0.17)% $ 66,186 1.95%+(a)(b) 1.75%+ 21% 1.98%+(a)(e) -- (0.33) 17.31 28.31 71,205 1.94(a)(b)(c) 2.19 91 1.97(a)(d) -- (0.37) 13.77 (11.89) 30,293 1.97(a)(b) 2.59 57 1.97(a) (0.05) (0.46) 16.04 2.66 20,370 2.00(a)(b) 2.78 50 2.00(a) (4.04) (4.48) 16.08 (8.50) 9,827 1.99(a)(b) 2.08 73 2.00(a) (1.41) (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+
SEE NOTES TO FINANCIAL STATEMENTS. 83 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS)# INVESTMENTS FROM OPERATIONS INCOME -------------------------------------------------------------------------- ASSET ALLOCATION PRIMARY A SHARES Six months ended 9/30/2004 (unaudited).... $20.18 $0.17 $(0.18)(e) $(0.01) $(0.17) Year ended 3/31/2004...................... 16.42 0.29 3.81 4.10 (0.34) 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 9/30/2004 (unaudited).... $20.20 $0.14 $(0.16)(e) $(0.02) $(0.15) Year ended 3/31/2004...................... 16.44 0.25 3.80 4.05 (0.29) 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) INVESTOR B SHARES* Six months ended 9/30/2004 (unaudited).... $20.04 $0.07 $(0.17)(e) $(0.10) $(0.07) Year ended 3/31/2004...................... 16.31 0.11 3.76 3.87 (0.14) 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) INVESTOR C SHARES* Six months ended 9/30/2004 (unaudited).... $20.02 $0.07 $(0.16)(e) $(0.09) $(0.08) Year ended 3/31/2004...................... 16.31 0.11 3.75 3.86 (0.15) Year ended 3/31/2003...................... 19.84 0.15 (3.48) (3.33) (0.20) Year ended 3/31/2002...................... 20.24 0.24 (0.40) (0.16) (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)
--------------- + 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 Shares commenced operations on May 21, 1999. # 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 3) 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%. (e)The effect of the Adviser's reimbursement for the Fund exceeding certain investment restrictions is included in the net realized and unrealized gain/(loss) on investments (per share). The effect of this reimbursement for the period ended September 30, 2004 was to increase net realized and unrealized gain/(loss) on investments by $0.01 for Primary A, Investor A, Investor B and Investor C Shares. (f)Without the effect of the Adviser's reimbursement for the Fund exceeding certain investment restrictions total return would have been 0.03%, (0.04)%, (0.43)% and (0.40)% for Primary A, Investor A, Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 84 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------------------------------ $ -- $(0.17) $20.00 (0.03)%(f) $ 24,118 0.95%+(a)(b) 1.69%+ 62% 1.05%+(a) -- (0.34) 20.18 25.07 25,750 1.04(a)(b) 1.58 189 1.07(a) -- (0.34) 16.42 (15.96) 35,514 1.04(a)(b) 1.83 315 1.04(a) (0.03) (0.44) 19.93 0.26 40,287 1.03(a) 2.10 226 1.03(a) (1.21) (1.76) 20.32 (9.83) 12,847 0.98(a)(b) 2.45 88 1.00(a) (0.72) (1.13) 24.35 10.88 15,532 0.95+(a)(b) 1.85+ 84 1.02+(a) $ -- $(0.15) $20.03 (0.10)%(f) $107,263 1.20%+(a)(b) 1.44%+ 62% 1.30%+(a) -- (0.29) 20.20 24.73 106,642 1.29(a)(b) 1.33 189 1.32(a) -- (0.29) 16.44 (16.05) 88,011 1.29(a)(b) 1.58 315 1.29(a) (0.03) (0.39) 19.92 (0.05) 223,579 1.28(a) 1.85 226 1.28(a) (1.21) (1.71) 20.32 (10.05) 231,520 1.23(a)(b) 2.20 88 1.25(a) (0.72) (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+ $ -- $(0.07) $19.87 (0.49)%(f) $ 51,034 1.95%+(a)(b) 0.69%+ 62% 2.05%+(a) -- (0.14) 20.04 23.79 64,122 2.04(a)(b) 0.58 189 2.07(a) -- (0.18) 16.31 (16.80) 72,344 2.04(a)(b) 0.83 315 2.04(a) (0.03) (0.25) 19.81 (0.77) 124,983 2.03(a) 1.10 226 2.03(a) (1.21) (1.54) 20.22 (10.73) 104,745 1.98(a)(b) 1.45 88 2.00(a) (0.72) (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+ $ -- $(0.08) $19.85 (0.46)%(f) $ 2,418 1.95%+(a)(b) 0.69%+ 62% 2.05%+(a) -- (0.15) 20.02 23.73 2,372 2.04(a)(b) 0.58 189 2.07(a) -- (0.20) 16.31 (16.80) 1,992 2.04(a)(b) 0.83 315 2.04(a) (0.03) (0.24) 19.84 (0.78) 3,220 2.03(a) 1.10 226 2.03(a) (1.21) (1.54) 20.24 (10.74) 2,532 1.98(a)(b) 1.45 88 2.00(a) (0.72) (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+
SEE NOTES TO FINANCIAL STATEMENTS. 85 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 9/30/2004 (unaudited)#... $11.85 $ 0.09 $(0.02) $ 0.07 $(0.09) Year ended 3/31/2004#..................... 8.48 0.16 3.36 3.52 (0.15) 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) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited)#... $11.84 $ 0.08 $(0.02) $ 0.06 $(0.08) Year ended 3/31/2004#..................... 8.46 0.14 3.36 3.50 (0.12) 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) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited)#... $11.53 $ 0.04 $(0.03) $ 0.01 $(0.04) Year ended 3/31/2004#..................... 8.25 0.05 3.27 3.32 (0.04) 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)## INVESTOR C SHARES Six months ended 9/30/2004 (unaudited)#... $11.52 $ 0.03 $(0.02) $ 0.01 $(0.03) Year ended 3/31/2004#..................... 8.24 0.05 3.27 3.32 (0.04) 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)##
--------------- + 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 3) 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 is included in the ratio of operating expenses to average net assets (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. (d)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.93% for Primary A Shares, 1.18% for Investor A Shares and 1.93% each for Investor B and Investor C Shares. (e)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 15) is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.94% for Primary A Shares, 1.19% for Investor A Shares and 1.94% each for Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 86 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ---------------------------------------------------------------------------------------------------------------------------------- $ -- $(0.09) $11.83 0.63% $1,147,409 0.79%+(a) 1.60%+ 25% 0.97%+(a)(e) -- (0.15) 11.85 41.63 1,101,872 0.89(a)(b)(c) 1.49 69 0.96(a)(d) (0.18) (0.31) 8.48 (26.95) 451,815 0.97(a) 1.43 75 0.97(a) (1.03) (1.13) 11.96 5.64 513,206 0.95(a)(b) 1.02 135 0.95(a) (3.42) (3.60) 12.39 (1.97) 844,432 0.94(a)(b) 1.28 181 0.94(a) (1.86) (1.97) 16.24 (0.16) 1,290,572 0.93(a)(b) 0.65 95 0.93(a) $ -- $(0.08) $11.82 0.51% $ 226,736 1.04%+(a) 1.35%+ 25% 1.22%+(a)(e) -- (0.12) 11.84 41.51 211,227 1.14(a)(b)(c) 1.24 69 1.21(a)(d) (0.18) (0.28) 8.46 (27.17) 43,364 1.22(a) 1.18 75 1.22(a) (1.03) (1.11) 11.94 5.33 58,144 1.20(a)(b) 0.77 135 1.20(a) (3.42) (3.57) 12.38 (2.29) 65,975 1.19(a)(b) 1.03 181 1.19(a) (1.86) (1.92) 16.24 (0.47) 94,256 1.18(a)(b) 0.40 95 1.18(a) $ -- $(0.04) $11.50 0.06% $ 81,110 1.79%+(a) 0.60%+ 25% 1.97%+(a)(e) -- (0.04) 11.53 40.30 87,314 1.89(a)(b)(c) 0.49 69 1.96(a)(d) (0.18) (0.22) 8.25 (27.72) 37,399 1.97(a) 0.43 75 1.97(a) (1.03) (1.06) 11.66 4.66 80,162 1.95(a)(b) 0.02 135 1.95(a) (3.42) (3.48) 12.13 (3.05) 93,064 1.94(a)(b) 0.28 181 1.94(a) (1.86) (1.86) 16.00 (1.24) 124,000 1.93(a)(b) (0.35) 95 1.93(a) $ -- $(0.03) $11.50 0.11% $ 18,850 1.79%+(a) 0.60%+ 25% 1.97%+(a)(e) -- (0.04) 11.52 40.29 28,832 1.89(a)(b)(c) 0.49 69 1.96(a)(d) (0.18) (0.23) 8.24 (27.72) 4,694 1.97(a) 0.43 75 1.97(a) (1.03) (1.06) 11.65 4.58 7,496 1.95(a)(b) 0.02 135 1.95(a) (3.42) (3.48) 12.13 (2.98) 8,479 1.94(a)(b) 0.28 181 1.94(a) (1.86) (1.86) 15.99 (1.18) 10,042 1.93(a)(b) (0.32) 95 1.93(a)
SEE NOTES TO FINANCIAL STATEMENTS. 87 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- MIDCAP VALUE PRIMARY A SHARES Six months ended 9/30/2004 (unaudited).... $12.79 $ 0.06 $ 0.35(c) $ 0.41 $(0.06) Year ended 3/31/2004...................... 8.72 0.12 4.07 4.19 (0.12) 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 9/30/2004 (unaudited).... $12.77 $ 0.04 $ 0.35(c) $ 0.39 $(0.04) Year ended 3/31/2004...................... 8.71 0.09 4.06 4.15 (0.09) 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 9/30/2004 (unaudited).... $12.70 $(0.00)## $ 0.33(c) $ 0.33 $ -- Year ended 3/31/2004...................... 8.67 0.00## 4.05 4.05 (0.02) 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 9/30/2004 (unaudited).... $12.73 $(0.00)## $ 0.34(c) $ 0.34 $ -- Year ended 3/31/2004...................... 8.69 0.00## 4.05 4.05 (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)##
--------------- * 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 3) 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 effect of the Adviser's reimbursement for the Fund exceeding certain investment restrictions is included in the net realized and unrealized gain/(loss) on investments (per share). The effect of this reimbursement for the period ended September 30, 2004 was to increase net realized and unrealized gain/(loss) on investments by $0.01 for Primary A, Investor A, Investor B and Investor C Shares. (d)Without the effect of the Adviser's reimbursement for the Fund exceeding certain investment restrictions total return would have been 3.74%, 3.61%, 3.13% and 3.21% for Primary A, Investor A, Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 88 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO OF RATIO OF NET DISTRIBUTIONS TOTAL INCREASE DUE NET ASSET NET ASSETS OPERATING INVESTMENT FROM NET DIVIDENDS TO CAPITAL VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO REALIZED AND CONTRIBUTIONS END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER GAINS DISTRIBUTIONS (SEE NOTE 3) PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE ------------------------------------------------------------------------------------------------------------------------ $(0.48) $(0.54) $0.01 $12.67 3.64%(d) $509,919 0.96%+(a)(b) 0.97%+ 27% -- (0.12) -- 12.79 48.18 492,327 1.03(a) 1.04 79 (0.02) (0.09) -- 8.72 (22.27) 294,087 1.16(a) 1.11 98 -- (0.04) -- 11.32 13.63 98,888 1.25+(a) 0.64+ 19 $(0.48) $(0.52) $0.01 $12.65 3.52%(d) $ 8,501 1.21%+(a)(b) 0.72%+ 27% -- (0.09) -- 12.77 47.80 8,121 1.28(a) 0.79 79 (0.02) (0.07) -- 8.71 (22.36) 3,270 1.41(a) 0.86 98 -- (0.04) -- 11.30 13.37 573 1.50+(a) 0.39+ 19 $(0.48) $(0.48) $0.01 $12.56 3.03%(d) $ 3,715 1.96%+(a)(b) (0.03)%+ 27% -- (0.02) -- 12.70 46.56 3,650 2.03(a) 0.04 79 (0.02) (0.04) -- 8.67 (22.93) 1,961 2.16(a) 0.11 98 -- (0.02) -- 11.29 13.14 524 2.25+(a) (0.36)+ 19 $(0.48) $(0.48) $0.01 $12.60 3.10%(d) $ 786 1.96%+(a)(b) (0.03)%+ 27% -- (0.01) -- 12.73 46.66 684 2.03(a) 0.04 79 (0.02) (0.04) -- 8.69 (22.89) 362 2.16(a) 0.11 98 -- (0.00)## -- 11.31 13.10 93 2.25+(a) (0.36)+ 19 WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF OPERATING EXPENSES TO AVERAGE NET ASSETS --------------- 0.96%+(a) 1.03(a) 1.16(a) 2.03+(a) 1.21%+(a) 1.28(a) 1.41(a) 2.28+(a) 1.96%+(a) 2.03(a) 2.16(a) 3.03+(a) 1.96%+(a) 2.03(a) 2.16(a) 3.03+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 89 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS)# INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- SMALLCAP VALUE PRIMARY A SHARES Six months ended 9/30/2004 (unaudited).... $12.30 $ 0.00## $ 0.31 $ 0.31 $ -- Year ended 3/31/2004...................... 7.73 0.02 4.67 4.69 (0.03) Period ended 3/31/2003*................... 10.00 0.03 (2.28) (2.25) (0.02) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $12.26 $(0.01) $ 0.30 $ 0.29 $ -- Year ended 3/31/2004...................... 7.71 (0.01) 4.67 4.66 (0.02) Period ended 3/31/2003*................... 10.00 0.01 (2.28) (2.27) (0.02) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited).... $12.13 $(0.06) $ 0.30 $ 0.24 $ -- Year ended 3/31/2004...................... 7.68 (0.09) 4.63 4.54 -- Period ended 3/31/2003*................... 10.00 (0.04) (2.28) (2.32) (0.00)## INVESTOR C SHARES Six months ended 9/30/2004 (unaudited).... $12.13 $(0.06) $ 0.29 $ 0.23 $ -- Year ended 3/31/2004...................... 7.67 (0.09) 4.64 4.55 -- 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 3) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The effect of interest expense on the operating expense ratio was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 90 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ----------------------------------------------------------------------------------------------------------------------------------- $(0.87) $(0.87) $11.74 3.40% $165,160 1.30%+(a)(b) 0.01%+ 34% 1.32%+(a) (0.09) (0.12) 12.30 60.96 151,556 1.30(a) 0.15 111 1.35(a) -- (0.02) 7.73 (22.50) 70,168 1.30+(a) 0.45+ 89 1.57+(a) $(0.87) $(0.87) $11.68 3.24% $ 4,286 1.55%+(a)(b) (0.24)%+ 34% 1.57%+(a) (0.09) (0.11) 12.26 60.64 3,840 1.55(a) (0.10) 111 1.60(a) -- (0.02) 7.71 (22.75) 1,122 1.55+(a) 0.20+ 89 1.82+(a) $(0.87) $(0.87) $11.50 2.84% $ 1,447 2.30%+(a)(b) (0.99)%+ 34% 2.32%+(a) (0.09) (0.09) 12.13 59.34 1,395 2.30(a) (0.85) 111 2.35(a) -- (0.00)## 7.68 (23.20) 341 2.30+(a) (0.55)+ 89 2.57+(a) $(0.87) $(0.87) $11.49 2.84% $ 336 2.30%+(a)(b) (0.99)%+ 34% 2.32%+(a) (0.09) (0.09) 12.13 59.54 278 2.30(a) (0.85) 111 2.35(a) -- (0.00)## 7.67 (23.29) 56 2.30+(a) (0.55)+ 89 2.57+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 91 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE REALIZED OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS GAINS ---------------------------------------------------------------------------- GROWTH* PRIMARY A SHARES Six months ended 9/30/2004 (unaudited)#... $15.96 $(0.00)## $ 0.15 $ 0.15 $ -- Year ended 3/31/2004#..................... 11.95 (0.02) 4.03 4.01 -- 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) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited)#... $15.80 $(0.02) $ 0.15 $ 0.13 $ -- Year ended 3/31/2004#..................... 11.86 (0.06) 4.00 3.94 -- 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) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited)#... $15.12 $(0.08) $ 0.14 $ 0.06 $ -- Year ended 3/31/2004#..................... 11.43 (0.16) 3.85 3.69 -- 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) INVESTOR C SHARES Six months ended 9/30/2004 (unaudited)#... $15.14 $(0.08) $ 0.14 $ 0.06 $ -- Year ended 3/31/2004#..................... 11.44 (0.17) 3.87 3.70 -- 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)
--------------- * 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 3) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 1.12% for Primary A Shares, 1.37% for Investor A Shares and 2.12% each for Investor B and Investor C Shares. (c)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 15) is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 1.09% for Primary A Shares, 1.34% for Investor A Shares and 2.09% each for Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 92 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------- $16.11 0.94% $405,562 1.09%+ (0.04)%+ -- 1.12%+(c) 15.96 33.56 371,942 1.12 (0.17) -- 1.14(b) 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) $15.93 0.82% $627,438 1.34%+ (0.29)%+ -- 1.37%+(c) 15.80 33.22 546,537 1.37 (0.42) -- 1.39(b) 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) $15.18 0.40% $187,564 2.09%+ (1.04)%+ -- 2.12%+(c) 15.12 32.28 200,270 2.12 (1.17) -- 2.14(b) 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) $15.20 0.40% $220,981 2.09%+ (1.04)%+ -- 2.12%+(c) 15.14 32.34 177,599 2.12 (1.17) -- 2.14(b) 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)
SEE NOTES TO FINANCIAL STATEMENTS. 93 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 9/30/2004 (unaudited)#... $11.58 $ 0.03 $(0.24)(f) $(0.21) $ -- Year ended 3/31/2004#..................... 8.78 0.05 2.81 2.86 (0.06) 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 -- INVESTOR A SHARES Six months ended 9/30/2004 (unaudited)#... $11.55 $ 0.01 $(0.24)(f) $(0.23) $ -- Year ended 3/31/2004#..................... 8.76 0.03 2.79 2.82 (0.03) 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 9/30/2004 (unaudited)#... $11.21 $(0.03) $(0.24)(f) $(0.27) $ -- Year ended 3/31/2004#..................... 8.54 (0.05) 2.72 2.67 -- 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 9/30/2004 (unaudited)#... $11.21 $(0.03) $(0.23)(f) $(0.26) $ -- Year ended 3/31/2004#..................... 8.54 (0.05) 2.72 2.67 -- 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 --
--------------- * 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. + 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 Investor A, Investor B and Investor C Shares commenced operations on August 2, 1999. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ##Amount represents less than $0.01 per share. ###Amount represents results prior to conversion to a master-feeder structure on May 13, 2002. (a) The effect of the custodial expense offset (see Note 3) 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 is included in the ratio of operating expenses to average net assets (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. (d) The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.93% for Primary A Shares, 1.18% for Investor A Shares and 1.93% each for Investor B and Investor C Shares. (e) The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 15) is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.94% for Primary A Shares, 1.19% for Investor A Shares and 1.94% each for Investor B and Investor C Shares. (f) The effect of the Adviser's reimbursement for the Fund exceeding certain investment restrictions is included in the net realized and unrealized gain/(loss) on investments (per share). The effect of this reimbursement for the period ended September 30, 2004 was less than $0.01 for Primary A, Investor A, Investor B and Investor C Shares. (g) Without the effect of the Adviser's reimbursement for the Fund exceeding certain investment restrictions total return would have been (1.80)%, (1.98)%, (2.40)% and (2.31)% for Primary A, Investor A, Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 94 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO OF RATIO OF NET DISTRIBUTIONS TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT FROM NET DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO REALIZED AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE ---------------------------------------------------------------------------------------------------------------------- $ -- $ -- $11.37 (1.81)%(g) $1,354,298 0.94%+ 0.47%+ -- -- (0.06) 11.58 32.58 1,517,644 0.93(c) 0.52 -- -- (0.05) 8.78 (28.55) 1,393,260 0.94 0.69 15%### -- (0.02) 12.35 (0.83) 1,230,030 0.94(a) 0.20 71 (0.03) (0.04) 12.47 (26.62) 1,182,028 0.94(a)(b) (0.09) 56 (0.20) (0.20) 17.03 24.63 860,124 0.97 (0.10) 23 $ -- $ -- $11.32 (1.99)%(g) $ 218,521 1.19%+ 0.22%+ -- -- (0.03) 11.55 32.21 245,616 1.18(c) 0.27 -- -- (0.03) 8.76 (28.61) 213,691 1.19 0.44 15%### -- (0.01) 12.31 (0.97) 26,742 1.19(a) (0.05) 71 (0.03) (0.03) 12.44 (26.62) 11,895 1.19(a)(b) (0.34) 56 (0.06) (0.06) 16.98 22.86 5,503 1.22+ (0.35)+ 23 $ -- $ -- $10.94 (2.41)%(g) $ 39,725 1.94%+ (0.53)%+ -- -- -- 11.21 31.26 44,571 1.93(c) (0.48) -- -- (0.00)## 8.54 (29.23) 38,972 1.94 (0.31) 15%### -- (0.00)## 12.07 (1.78) 8,358 1.94(a) (0.80) 71 (0.03) (0.03) 12.29 (27.16) 6,758 1.94(a)(b) (1.09) 56 (0.06) (0.06) 16.90 22.29 4,934 1.97+ (1.10)+ 23 $ -- $ -- $10.95 (2.32)%(g) $ 15,673 1.94%+ (0.53)%+ -- -- -- 11.21 31.26 16,702 1.93(c) (0.48) -- -- -- 8.54 (29.30) 12,857 1.94 (0.31) 15%### -- (0.00)## 12.08 (1.78) 2,645 1.94(a) (0.80) 71 (0.03) (0.03) 12.30 (27.14) 2,137 1.94(a)(b) (1.09) 56 (0.06) (0.06) 16.92 22.36 1,706 1.97+ (1.10)+ 23 WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF DISTRIBUTIONS OPERATING FROM NET EXPENSES TO REALIZED AVERAGE GAINS NET ASSETS ------------- --------------- $ -- 0.98%+(e) -- 0.96(d) -- 0.94 -- 0.94(a) (0.03) 0.94(a) (0.20) 0.97 $ -- 1.23%+(e) -- 1.21(d) -- 1.19 -- 1.19(a) (0.03) 1.19(a) (0.06) 1.22+ $ -- 1.98%+(e) -- 1.96(d) -- 1.94 -- 1.94(a) (0.03) 1.94(a) (0.06) 1.97+ $ -- 1.98%+(e) -- 1.96(d) -- 1.94 -- 1.94(a) (0.03) 1.94(a) (0.06) 1.97+
SEE NOTES TO FINANCIAL STATEMENTS. 95 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ VALUE NET AND UNREALIZED (DECREASE) IN BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS ------------------------------------------------------------ FOCUSED EQUITIES* PRIMARY A SHARES Six months ended 9/30/2004 (unaudited)#... $16.98 $(0.01) $(0.26) $(0.27) Year ended 3/31/2004#..................... 12.81 (0.04) 4.21 4.17 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) Year ended 3/31/2000#..................... 16.69 (0.01) 6.14 6.13 INVESTOR A SHARES Six months ended 9/30/2004 (unaudited)#... $16.79 $(0.03) $(0.26) $(0.29) Year ended 3/31/2004#..................... 12.70 (0.08) 4.17 4.09 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) Year ended 3/31/2000#..................... 16.73 (0.03) 6.09 6.06 INVESTOR B SHARES Six months ended 9/30/2004 (unaudited)#... $16.08 $(0.09) $(0.24) $(0.33) Year ended 3/31/2004#..................... 12.25 (0.19) 4.02 3.83 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) Year ended 3/31/2000#..................... 16.62 (0.09) 5.96 5.87 INVESTOR C SHARES Six months ended 9/30/2004 (unaudited)#... $16.13 $(0.09) $(0.24) $(0.33) Year ended 3/31/2004#..................... 12.29 (0.19) 4.03 3.84 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) Year ended 3/31/2000#..................... 16.67 (0.08) 5.97 5.89
--------------- * 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 3) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 1.09% for Primary A Shares, 1.34% for Investor A Shares and 2.09% each for Investor B and Investor C Shares. (c)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 15) is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 1.09% for Primary A Shares, 1.34% for Investor A Shares and 2.09% each for Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 96 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------------- $ -- $16.71 (1.59)% $ 668,545 1.09%+ (0.13)%+ -- 1.12%+(c) -- 16.98 32.55 701,306 1.09 (0.24) -- 1.12(b) -- 12.81 (19.28) 384,706 1.12 (0.35) -- 1.12 -- 15.87 3.25 346,435 1.11 (0.33) -- 1.11 (0.08) 15.37 (31.67) 354,798 1.09 (0.05) -- 1.09 (0.23) 22.59 37.13 326,745 1.16(a) (0.35) 53%### 1.16(a) $ -- $16.50 (1.73)% $1,036,252 1.34%+ (0.38)%+ -- 1.37%+(c) -- 16.79 32.20 1,030,985 1.34 (0.49) -- 1.37(b) -- 12.70 (19.47) 537,958 1.37 (0.60) -- 1.37 -- 15.77 3.00 507,590 1.36 (0.58) -- 1.36 (0.08) 15.31 (31.80) 491,437 1.34 (0.30) -- 1.34 (0.23) 22.56 36.62 690,166 1.41(a) (0.60) 53%### 1.41(a) $ -- $15.75 (2.05)% $ 525,350 2.09%+ (1.13)%+ -- 2.12%+(c) -- 16.08 31.27 576,884 2.09 (1.24) -- 2.12(b) -- 12.25 (20.09) 462,082 2.12 (1.35) -- 2.12 -- 15.33 2.20 679,688 2.11 (1.33) -- 2.11 (0.08) 15.00 (32.32) 741,285 2.09 (1.05) -- 2.09 (0.23) 22.26 35.71 1,003,840 2.16(a) (1.35) 53%### 2.16(a) $ -- $15.80 (2.05)% $ 353,028 2.09%+ (1.13)%+ -- 2.12%+(c) -- 16.13 31.24 342,885 2.09 (1.24) -- 2.12(b) -- 12.29 (20.09) 175,032 2.12 (1.35) -- 2.12 -- 15.38 2.19 188,842 2.11 (1.33) -- 2.11 (0.08) 15.05 (32.31) 203,642 2.09 (1.05) -- 2.09 (0.23) 22.33 35.72 247,509 2.16(a) (1.35) 53%### 2.16(a)
SEE NOTES TO FINANCIAL STATEMENTS. 97 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ VALUE NET AND UNREALIZED (DECREASE) IN BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS ------------------------------------------------------------ MIDCAP GROWTH PRIMARY A SHARES Six months ended 9/30/2004 (unaudited)#... $11.74 $(0.03) $(0.47)(c) $(0.50) Year ended 3/31/2004#..................... 8.66 (0.05) 3.13 3.08 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) Year ended 3/31/2000#..................... 13.31 (0.07) 9.81 9.74 INVESTOR A SHARES Six months ended 9/30/2004 (unaudited)#... $11.26 $(0.04) $(0.45)(c) $(0.49) Year ended 3/31/2004#..................... 8.33 (0.07) 3.00 2.93 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) Year ended 3/31/2000#..................... 13.04 (0.12) 9.59 9.47 INVESTOR B SHARES Six months ended 9/30/2004 (unaudited)#... $10.02 $(0.08) $(0.39)(c) $(0.47) Year ended 3/31/2004#..................... 7.46 (0.13) 2.69 2.56 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) Year ended 3/31/2000#..................... 12.28 (0.22) 8.96 8.74 INVESTOR C SHARES Six months ended 9/30/2004 (unaudited)#... $10.08 $(0.08) $(0.40)(c) $(0.48) Year ended 3/31/2004#..................... 7.51 (0.13) 2.70 2.57 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) Year ended 3/31/2000#..................... 12.33 (0.22) 9.00 8.78
--------------- ++ 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 3) 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 effect of the Adviser's reimbursement for the Fund exceeding certain investment restrictions is included in the net realized and unrealized gain/(loss) on investments (per share). The effect of this reimbursement for the period ended September 30, 2004 was to increase net realized and unrealized gain/(loss) on investments by $0.02 for Primary A, Investor A, Investor B and Investor C Shares. (d)Without the effect of the Adviser's reimbursement for the Fund exceeding certain investment restrictions total return would have been (4.05)%, (4.13)%, (4.48)% and (4.55)% for Primary A, Investor A, Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 98 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ---------------------------------------------------------------------------------------------------------------------- $ -- $11.24 (4.26)%(d) $393,061 0.98%+(a)(b) (0.56)%+ 16% 0.98%+(a) -- 11.74 35.57 461,304 0.96(a)(b) (0.46) 65 0.96(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) (3.73) 14.63 (20.67) 388,152 0.98(a) (0.27) 39 0.98(a) (0.64) 22.41 75.34 281,951 1.00(a)(b) (0.45) 46 1.00(a) $ -- $10.77 (4.35)%(d) $ 20,407 1.23%+(a)(b) (0.81)%+ 16% 1.23%+(a) -- 11.26 35.17 22,673 1.21(a)(b) (0.71) 65 1.21(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) (3.73) 14.14 (20.98) 16,536 1.23(a) (0.52) 39 1.23(a) (0.64) 21.87 74.82 22,741 1.25(a)(b) (0.70) 46 1.25(a) $ -- $ 9.55 (4.69)%(d) $ 23,274 1.98%+(a)(b) (1.56)%+ 16% 1.98%+(a) -- 10.02 34.32 26,662 1.96(a)(b) (1.46) 65 1.96(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) (3.73) 12.87 (21.51) 44,261 1.98(a) (1.27) 39 1.98(a) (0.64) 20.38 73.47 49,606 2.00(a)(b) (1.45) 46 2.00(a) $ -- $ 9.60 (4.76)%(d) $ 1,521 1.98%+(a)(b) (1.56)%+ 16% 1.98%+(a) -- 10.08 34.22 1,816 1.96(a)(b) (1.46) 65 1.96(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) (3.73) 12.95 (21.46) 3,248 1.98(a) (1.27) 39 1.98(a) (0.64) 20.47 73.50 2,628 2.00(a)(b) (1.45) 46 2.00(a)
SEE NOTES TO FINANCIAL STATEMENTS. 99 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ VALUE NET AND UNREALIZED (DECREASE) IN BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS ------------------------------------------------------------ 21ST CENTURY PRIMARY A SHARES Six months ended 9/30/2004 (unaudited)#... $ 9.80 $ --## $(0.05) $(0.05) Year ended 3/31/2004#..................... 6.24 (0.03) 3.59 3.56 Year ended 3/31/2003#..................... 7.10 (0.05) (0.81) (0.86) Year ended 3/31/2002#..................... 6.99 (0.05) 0.16 0.11 Period ended 3/31/2001*................... 10.00 (0.03) (2.98) (3.01) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited)#... $ 9.70 $(0.02) $(0.04) $(0.06) Year ended 3/31/2004#..................... 6.19 (0.05) 3.56 3.51 Year ended 3/31/2003#..................... 7.06 (0.07) (0.80) (0.87) Year ended 3/31/2002#..................... 6.97 (0.07) 0.16 0.09 Period ended 3/31/2001*................... 10.00 (0.06) (2.97) (3.03) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited)#... $ 9.42 $(0.05) $(0.05) $(0.10) Year ended 3/31/2004#..................... 6.05 (0.13) 3.50 3.37 Year ended 3/31/2003#..................... 6.96 (0.12) (0.79) (0.91) Year ended 3/31/2002#..................... 6.92 (0.12) 0.16 0.04 Period ended 3/31/2001*................... 10.00 (0.11) (2.97) (3.08) INVESTOR C SHARES Six months ended 9/30/2004 (unaudited)#... $ 9.42 $(0.05) $(0.05) $(0.10) Year ended 3/31/2004#..................... 6.05 (0.13) 3.50 3.37 Year ended 3/31/2003#..................... 6.96 (0.12) (0.79) (0.91) Year ended 3/31/2002#..................... 6.92 (0.12) 0.16 0.04 Period ended 3/31/2001*................... 10.00 (0.11) (2.97) (3.08)
--------------- + 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. **Reflects overall Fund ratios for investment income. # 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 3) 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. 100 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------- RATIO OF RATIO OF NET RATIO OF NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------ $9.75 (0.51)% $62,651 1.19%+(a) (0.07)%+ 74% 1.19%+(a) 9.80 57.05 37,027 1.24(a)(b) (0.34) 204 1.24(a) 6.24 (12.11) 3,543 1.45(a)(b) (0.81) 308 1.46(a) 7.10 1.57 3,356 1.37(a) (0.72) 419 1.37(a) 6.99 (30.10) 5,686 1.35+ (0.41)+ 426 1.35+ $9.64 (0.62)% $62,672 1.44%+(a) (0.32)%+ 74% 1.44%+(a) 9.70 56.70 48,630 1.49(a)(b) (0.59)** 204 1.49(a) 6.19 (12.32) 10,853 1.70(a)(b) (1.06) 308 1.71(a) 7.06 1.29 14,741 1.62(a) (0.97) 419 1.62(a) 6.97 (30.30) 19,644 1.60+ (0.66)+ 426 1.60+ $9.32 (1.06)% $47,711 2.19%+(a) (1.07)%+ 74% 2.19%+(a) 9.42 55.70 48,277 2.24(a)(b) (1.34)** 204 2.24(a) 6.05 (13.07) 29,562 2.45(a)(b) (1.81) 308 2.46(a) 6.96 0.58 43,187 2.37(a) (1.72) 419 2.37(a) 6.92 (30.80) 50,404 2.35+ (1.41)+ 426 2.35+ $9.32 (1.06)% $17,989 2.19%+(a) (1.07)%+ 74% 2.19%+(a) 9.42 55.70 14,700 2.24(a)(b) (1.34)** 204 2.24(a) 6.05 (13.07) 3,517 2.45(a)(b) (1.81) 308 2.46(a) 6.96 0.58 4,660 2.37(a) (1.72) 419 2.37(a) 6.92 (30.80) 6,557 2.35+ (1.41)+ 426 2.35+
SEE NOTES TO FINANCIAL STATEMENTS. 101 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ VALUE NET AND UNREALIZED (DECREASE) IN BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS ------------------------------------------------------------ SMALL COMPANY* PRIMARY A SHARES Six months ended 9/30/2004 (unaudited)#... $15.35 $(0.06) $(0.86) $(0.92) Year ended 3/31/2004#..................... 10.14 (0.10) 5.31 5.21 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) Year ended 3/31/2000#..................... 11.50 (0.10) 11.29 11.19 INVESTOR A SHARES Six months ended 9/30/2004 (unaudited)#... $15.04 $(0.07) $(0.85) $(0.92) Year ended 3/31/2004#..................... 9.96 (0.13) 5.21 5.08 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) Year ended 3/31/2000#..................... 11.43 (0.15) 11.19 11.04 INVESTOR B SHARES Six months ended 9/30/2004 (unaudited)#... $14.22 $(0.12) $(0.79) $(0.91) Year ended 3/31/2004#..................... 9.49 (0.22) 4.95 4.73 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) Year ended 3/31/2000#..................... 11.23 (0.25) 10.99 10.74 INVESTOR C SHARES Six months ended 9/30/2004 (unaudited)#... $14.42 $(0.12) $(0.81) $(0.93) Year ended 3/31/2004#..................... 9.62 (0.22) 5.02 4.80 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) Year ended 3/31/2000#..................... 11.38 (0.23) 11.09 10.86
--------------- * The per share amounts and percentages reflect income and expenses assuming inclusion of the Fund's proportionate share of the income and expenses of Small Company 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 on November 1, 2003. (a)The effect of the custodial expense offset (see Note 3) 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 is included in the ratio of operating expenses to average net assets (with waivers). 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 Investor C Shares. (d)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 1.22% for Primary A Shares, 1.47% for Investor A Shares and 2.22% each for Investor B and Investor C Shares. (e)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 15) is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 1.23% for Primary A Shares, 1.48% for Investor A Shares and 2.23% each for Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 102 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF DISTRIBUTIONS NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING FROM NET VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO REALIZED END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE GAINS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------------------- $ -- $14.43 (5.99)% $422,368 1.15%+ (0.78)%+ -- 1.27%+(e) -- 15.35 51.38 509,419 1.13(b)(c) (0.75) 40### 1.25(d) -- 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) (2.20) 13.69 (31.86) 477,246 1.15(a)(b) (0.52) 48 1.20(a) (0.03) 22.66 97.46 647,825 1.13(a)(b) (0.65) 63 1.22(a) $ -- $14.12 (6.12)% $131,751 1.40%+ (1.03)%+ -- 1.52%+(e) -- 15.04 51.00 212,854 1.38(b)(c) (1.00) 40### 1.50(d) -- 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) (2.20) 13.52 (31.96) 146,457 1.40(a)(b) (0.77) 48 1.45(a) (0.03) 22.44 96.91 245,425 1.38(a)(b) (0.90) 63 1.47(a) $ -- $13.31 (6.40)% $ 16,750 2.15%+ (1.78)%+ -- 2.27%+(e) -- 14.22 49.84 19,367 2.13(b)(c) (1.75) 40### 2.25(d) -- 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) (2.20) 13.08 (32.45) 11,744 2.15(a)(b) (1.52) 48 2.20(a) (0.03) 21.94 95.79 13,839 2.13(a)(b) (1.65) 63 2.22(a) $ -- $13.49 (6.45)% $ 4,074 2.15%+ (1.78)%+ -- 2.27%+(e) -- 14.42 49.90 5,454 2.13(b)(c) (1.75) 40### 2.25(d) -- 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) (2.20) 13.26 (32.46) 2,813 2.15(a)(b) (1.52) 48 2.20(a) (0.03) 22.21 95.76 3,588 2.13(a)(b) (1.65) 63 2.22(a)
SEE NOTES TO FINANCIAL STATEMENTS. 103 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, 2004, Funds Trust offered fifty-six 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, 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, Focused Equities Fund and Small Company 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, Focused Equities Master Portfolio and Small Company 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 (95.5% for Growth Master Portfolio, 98.6% for Strategic Growth Master Portfolio, 99.0% for Focused Equities Master Portfolio and 96.9% for Small Company Master Portfolio at September 30, 2004). 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. SmallCap Value Fund and 21st Century Fund operate in a master-feeder structure. The Funds seek to achieve their investment objectives by investing substantially all of their assets in SmallCap Value Master Portfolio and 21st Century Master Portfolio 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 and 21st Century Master Portfolio as of and for the six months ended September 30, 2004 represented substantially all of the beneficial interests in the SmallCap Value Master Portfolio and 21st Century Master Portfolio, the financial statements for the SmallCap Value Fund and 21st Century Fund reflect the consolidation of the SmallCap Value Master Portfolio and 21st Century Master Portfolio. Separate financial statements for the SmallCap Value Master Portfolio and 21st Century Master Portfolio have not been prepared and references in this report to SmallCap Value Fund and 21st Century Fund should be read to include references to the corresponding Master Portfolios. 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 and restrictions. These risks are likely to be greater in emerging markets than in developed markets. 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 generally valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on Nasdaq are generally valued at the Nasdaq official closing price. Securities traded only over-the-counter are generally 104 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) valued at the mean of the latest bid and asked prices. Debt securities will generally be valued using prices provided by a pricing service which may employ various indications of value including but not limited to broker-dealer quotations. 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. 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 105 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 4:00 p.m. London time by a pricing service. 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 foreign currency 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 assets and liabilities. 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 net realized gains/(loss) on investments. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of assets and liabilities. 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. At September 30, 2004, the Funds had no swap contracts outstanding. 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. 106 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 amount recognized in the Statements of assets and liabilities. 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 gains on the underlying securities purchased and any unrealized losses 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 gains 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, 2004, which are included in Payable for investment securities purchased on its Statement of assets and liabilities. 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 dollar roll purchase commitments. Securities transactions and investment income: Securities transactions are recorded on trade date. Realized gains and losses are computed based on the specific identification of securities sold. Interest income, adjusted for accretion of discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income (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 are declared and paid each calendar quarter by the Convertible Securities, Asset Allocation, Value and MidCap Value Funds. SmallCap Value, Growth, Strategic 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 Sub-chapter M, as amended, and by distributing substantially all of its earnings to its shareholders. Therefore, no provision is made for federal income or excise taxes. 107 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 are allocated to separate classes of shares based upon their relative net asset value on the date the expenses are incurred. 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 maximum annual rates multiplied by the average daily net assets of each Fund and Master Portfolio:
ANNUAL RATE ----------- Asset Allocation............................................ 0.60% Convertible Securities, Value, MidCap Value, MidCap Growth.................................................... 0.65% 21st Century................................................ 0.75% SmallCap Value.............................................. 0.90%
The Growth, Strategic Growth, Focused Equities and Small Company 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 Asset Allocation Fund which pays a monthly fee at the maximum annual rate of 0.22% of its average daily net assets and Strategic Growth and Small Company Funds, which pay a monthly fee at the maximum annual rate of 0.18% of their 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, 2004, BACAP Distributors earned 0.12% (annualized) of the Funds' average daily net assets (net of waivers and sub-administration fees) for its administration services. 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, 108 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2004, Bank of America earned the following sub-transfer agent fees from the Funds for providing such services and these amounts are included in "Transfer agent fees" in each Fund's Statements of operations.
SUB-TRANSFER AGENT FEE FUND (000) ---------------------------------------------------------------------------- Convertible Securities...................................... $15 Asset Allocation............................................ --* Value....................................................... 12 MidCap Value................................................ 7 SmallCap Value.............................................. 2 Growth...................................................... 6 Strategic Growth............................................ 23 Focused Equities............................................ 6 MidCap Growth............................................... 6 21st Century................................................ 1 Small Company............................................... 7
--------------- *Amount represents less than $500. BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2004, the Funds were informed that the distributor received the following:
FRONT END CONTINGENT DEFERRED SALES CHARGE SALES CHARGE (000) (000) ------------ -------------------------------------- FUND INVESTOR A INVESTOR A INVESTOR B INVESTOR C -------------------------------------------------------------------------------------------------------------------- Convertible Securities...................................... $206 $12 $153 $ 5 Asset Allocation............................................ 14 -- 22 --* Value....................................................... 57 -- 61 5 MidCap Value................................................ 10 -- 4 --* SmallCap Value.............................................. 6 -- 2 --* Growth...................................................... 248 1 133 7 Strategic Growth............................................ 38 -- 38 --* Focused Equities............................................ 353 2 463 23 MidCap Growth............................................... 10 -- 19 --* 21st Century................................................ 173 --* 50 2 Small Company............................................... 21 -- 19 1
--------------- *Amount represents less than $500. For the six months ended September 30, 2004, the following Funds paid brokerage commissions to certain affiliates of BACAP in connection with the execution of various portfolio transactions:
FUND COMMISSIONS --------------------------------------------------------------------------- Value....................................................... $7,915 MidCap Value................................................ 4,670
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 an 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 assets and liabilities. 109 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 earn advisory and administration fees on the investments made in the Nations Cash Reserves in addition to the advisory and administration fees earned by BACAP and BACAP Distributors from the Funds. For the six months ended September 30, 2004, BACAP and BACAP Distributors earned the following fees related to investments in affiliated funds:
ADMINISTRATION FEES ADVISORY FEES (EARNED BY BACAP (EARNED BY BACAP) DISTRIBUTORS) FUND (000) (000) ------------------------------------------------------------------------------------------------------ Convertible Securities...................................... $ 7 $3 Asset Allocation............................................ 10 5 Value....................................................... 15 8 MidCap Value................................................ 5 3 SmallCap Value.............................................. 3 1 MidCap Growth............................................... 4 2 21st Century................................................ 5 2
Asset Allocation Fund has invested in the High Yield Portfolio, a portfolio of the Master Investment Trust. The income earned by the Fund from such investment 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. TOTAL OPERATING EXPENSE LIMITATIONS BACAP and/or its affiliates may, from time to time, reduce its fees payable by each Fund. For the six months ended September 30, 2004 and until July 31, 2005, BACAP has agreed to waive its advisory fees for the Funds set forth below (as a percentage of the Funds' average daily net assets):
ANNUAL FUND RATE -------------------------------------------------------------------- Asset Allocation............................................ 0.10% Value....................................................... 0.05%
BACAP Distributors may, from time to time, reduce its fees payable by each Fund. For the six months ended September 30, 2004 and until July 31, 2005, BACAP Distributors has agreed to waive 0.10% of its administration fee for the Value Fund as a percentage of the Funds' average daily net assets. In addition, during the six months ended September 30, 2004 and until July 31, 2005, BACAP and/or BACAP Distributors has agreed to reimburse expenses and/or waive fees to the extent that total expenses (excluding interest expense and 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 and/or BACAP Distributors is entitled to recover from MidCap Value Fund, SmallCap Value Fund and Small Company Fund any fees waived or expenses reimbursed by BACAP and/or BACAP Distributors 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. 110 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At September 30, 2004, the amounts potentially recoverable by BACAP and/or BACAP Distributors pursuant to this arrangement are as follows:
POTENTIAL POTENTIAL POTENTIAL AMOUNT AMOUNT TO AMOUNT TO AMOUNT RECOVERED RECOVER RECOVER TO RECOVER WITHIN DURING PERIOD WITHIN 3 YEARS WITHIN 3 YEARS 2 YEARS ENDED FUND AS OF 9/30/04 AS OF 3/31/04 AS OF 3/31/04 9/30/04 --------------------------------------------------------------------------------------------------------------------------------- MidCap Value............................................. $ -- $ -- $ -- $-- SmallCap Value........................................... 19,314 60,263 117,740 -- Small Company............................................ 268,940 531,292 405,127 --
For the six months ended September 30, 2004, expenses of the Funds were reduced by $2,261 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. During the six months ended September 30, 2004, BACAP ascertained that it had caused several Funds to exceed certain investment restrictions imposed by the 1940 Act and conditions contained in exemptive orders granted to the Funds. During the six months ended September 30, 2004, BACAP reimbursed each Fund for all losses incurred resulting from the sale of securities required to bring the Funds within their investment limits. The amount of the reimbursements are as follows: Asset Allocation............................................ $ 118,420 MidCap Value................................................ $ 897,931* Strategic Growth............................................ $ 181,227
--------------- *Includes capital contribution from investment advisor of $402,826. See schedules of capital stock activity. 4. 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 and paid monthly, 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, 2004, 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%
111 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 5. 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, 2004 were as follows:
PURCHASES SALES (000) (000) --------------------- Convertible Securities...................................... $309,376 $353,094 Asset Allocation............................................ 21,245 27,624 Value....................................................... 402,315 358,911 MidCap Value................................................ 135,853 134,552 SmallCap Value.............................................. 59,082 52,810 MidCap Growth............................................... 73,462 130,550 21st Century................................................ 161,985 122,374
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2004 were as follows:
PURCHASES SALES (000) (000) -------------------- Asset Allocation............................................ $95,896 $97,636
6. FUTURES CONTRACTS At September 30, 2004, 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. 20 year Treasury Bond Futures (long position) expiring December 2004(a)............................... 23 $ 2,527 $ 2,581 $ 54 U.S. 5 year Treasury Note Futures (long position) expiring December 2004(a)........................................ 10 1,102 1,108 6 U.S. 10 year Treasury Note Futures (short position) expiring December 2004(a)............................... (16) (1,784) (1,802) (18) ---- Total net unrealized appreciation....................... $ 42 ====
--------------- (a)Securities have been segregated as collateral for open futures contracts. 7. WRITTEN OPTIONS Written options for the Asset Allocation Fund for the six months ended September 30, 2004 aggregated the following:
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS CONTRACTS* (000) ------------------------------------------------------------------------------------ Outstanding at March 31, 2004............................... -- $ -- Contracts opened............................................ 0.10 1 Options expired............................................. (0.10) (1) ----- ---- Outstanding at September 30, 2004........................... -- -- ===== ====
--------------- *1 contract = $1,000,000 notional amount. 112 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 8. FORWARD FOREIGN CURRENCY CONTRACTS At September 30, 2004, the 21st Century Fund had the following forward foreign currency contracts outstanding:
UNREALIZED VALUE OF CONTRACT VALUE OF CONTRACT MARKET VALUE OF APPRECIATION/ WHEN OPENED WHEN 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 15, 2004.................... British Pound Sterling 1,005 $ 1,799 $ 1,808 $ 9 Expiring December 15, 2004.................... Euro 1,464 1,783 1,818 35 ----- Net unrealized appreciation............ 44 ----- CONTRACTS TO SELL: Expiring December 15, 2004.................... British Pound Sterling (1,379) (2,432) (2,495) (63) Expiring December 15, 2004.................... British Pound Sterling (95) (169) (172) (3) Expiring December 15, 2004.................... British Pound Sterling (471) (844) (847) (3) Expiring December 15, 2004.................... Euro (1,464) (1,776) (1,818) (42) ----- Net unrealized depreciation............ (111) ----- Total net unrealized depreciation............ $ (67) =====
9. SHARES OF BENEFICIAL INTEREST As of September 30, 2004, 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. 113 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The Funds had no borrowings outstanding at September 30, 2004. During the six months ended September 30, 2004, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST FUND (000) RATE -------------------------------------------------------------------------------------- Convertible Securities...................................... $201 1.52% Asset Allocation............................................ 1 1.50 MidCap Value................................................ 72 1.50 SmallCap Value.............................................. 64 1.49 MidCap Growth............................................... 28 1.85
--------------- *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 plus accrued income from investment of the collateral. 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. The income earned by each Fund from securities lending is included in its Statement of operations. At September 30, 2004, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) ------------------------------------------------------------------------------------------------ Convertible Securities...................................... $239,311 $246,132 Asset Allocation............................................ 300 311 Value....................................................... 27 28 SmallCap Value.............................................. 4,969 5,146 MidCap Growth............................................... 7,482 7,829 21st Century................................................ 4,530 4,550
114 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 12. INCOME TAXES Information on the tax components of capital as of September 30, 2004 is as follows:
NET TAX UNREALIZED NET TAX APPRECIATION/ COST OF UNREALIZED (DEPRECIATION) ON INVESTMENTS GROSS TAX GROSS TAX APPRECIATION/ DERIVATIVES AND FOR TAX UNREALIZED UNREALIZED (DEPRECIATION) ON FOREIGN CURRENCY AND PURPOSES APPRECIATION DEPRECIATION INVESTMENTS NET OTHER ASSETS FUND (000) (000) (000) (000) (000) --------------------------------------------------------------------------------------------------------------------------------- Convertible Securities................. $1,627,556 $161,240 $(21,897) $139,343 $ -- Asset Allocation....................... 174,636 29,618 (2,581) 27,037 42 Value.................................. 1,284,122 215,733 (19,607) 196,126 -- MidCap Value........................... 431,583 100,522 (7,933) 92,589 -- SmallCap Value......................... 147,679 34,118 (2,639) 31,479 -- Growth................................. N/A* N/A* N/A* 288,267 -- Strategic Growth....................... N/A* N/A* N/A* (42,276) -- Focused Equities....................... N/A* N/A* N/A* 524,381 -- MidCap Growth.......................... 356,216 111,676 (20,613) 91,063 -- 21st Century........................... 177,620 25,332 (4,354) 20,978 (67) Small Company.......................... N/A* N/A* N/A* 122,420 --
--------------- *See corresponding Master Portfolio for tax basis information. At March 31, 2004, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING IN EXPIRING IN EXPIRING IN EXPIRING IN EXPIRING IN 2008 2009 2010 2011 2012 FUND (000) (000) (000) (000) (000) ------------------------------------------------------------------------------------------------------------------------------- Convertible Securities................................ $ -- $ -- $ -- $ 10,028 $ -- Asset Allocation...................................... -- -- 16,103 18,585 11,287 Value................................................. -- -- 2,492* 51,361* 4,929 Growth................................................ 5,918* 13,630* 122,629* 61,904 -- Strategic Growth...................................... -- 110,199* 117,796 227,643 95,640 Focused Equities...................................... -- 11,303 375,725 145,695 -- MidCap Growth......................................... -- -- 24,893 142,174 65,015 21st Century.......................................... -- -- 22,083 1,800 -- Small Company......................................... -- -- 38,429 48,702 5,321
--------------- *Utilization of these losses in future years may be limited under Federal tax laws. During the year ended March 31, 2004, the following Funds utilized capital losses as follows:
CAPITAL LOSSES UTILIZED FUND (000) ---------------------------------------------------------------------------- Convertible Securities...................................... $ 94,182 MidCap Value................................................ 13,202 SmallCap Value.............................................. 3,034 Growth...................................................... 40,374 Focused Equities............................................ 101,306 21st Century................................................ 14,911
115 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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, 2004, the following Funds elected to defer losses occurring between November 1, 2003 and March 31, 2004 under these rules, as follows:
CAPITAL LOSSES CURRENCY LOSSES DEFERRED DEFERRED FUND (000) (000) ----------------------------------------------------------------------------------------------- Growth...................................................... $ -- $ 213 Focused Equities............................................ -- 1,217 21st Century................................................ -- 339 Strategic Growth............................................ 2,119 --
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2005. 13. REORGANIZATIONS 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:
TOTAL NET ASSETS ACQUIRED FUND TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED 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
FUND REORGANIZATION On January 23, 2004, Growth Fund ("Acquiring Fund"), acquired the assets and assumed the liabilities of Capital Growth Fund ("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:
TOTAL NET ASSETS ACQUIRED FUND TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED APPRECIATION/ OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION (DEPRECIATION) ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) -------------------------------------------------------------------------------------------------------------------- Growth Capital Growth $160,790 $1,083,815 $1,244,605 $41,595
14. SUBSEQUENT EVENT During the six months ended September 30, 2004, BACAP ascertained that it had caused several Funds to exceed certain investment restrictions imposed by the 1940 Act and conditions contained in exemptive orders granted to the Funds. Subsequent to September 30, 2004, BACAP reimbursed advisory fees on assets invested in securities in excess of their investment limitations. The amount of the reimbursements are as follows: Asset Allocation............................................ $ 1,335 MidCap Value................................................ $ 1,511 Strategic Growth............................................ $92,939 MidCap Growth............................................... $60,671
116 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) On August 26, 2004, the Board of Trustees of Nations Funds Trust approved the addition of an investment sub-adviser to the MidCap Growth Fund. Effective November 2, 2004, Marsico will become the sub-adviser to the MidCap Growth Fund and the Fund will change its name to Marsico MidCap Growth Fund. 15. CONTINGENCIES AND OTHER 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 various mutual funds including certain Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and "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 Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name the Funds, among others, as defendants (see Civil Litigation below). The independent Trustees of the Funds have engaged independent legal counsel and, through them, accountants to evaluate the extent of any monetary impact to any Funds from discretionary market timing or from late trading. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds (the "Boards") 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 the Funds in connection with this matter. Assumptions and Reimbursements For the six months ended September 30, 2004, Bank of America Corporation has assumed $4.5 million of legal, shareholder communications, audit related, transfer agent, consulting and Trustee costs and fees incurred by the Funds impacted in connection with the regulatory and civil litigation matters discussed above. These non-recurring costs were allocated to 19 Funds based on their respective average nets assets for the six months ended September 30, 2004. These non-recurring costs on a per Fund basis are shown in that Fund's respective Statement of operations. Because these costs were borne by Bank of America Corporation and not any Fund, an offsetting waiver of these costs is also presented in each respective Fund's Statement of operations as, "Costs assumed by Bank of America Corporation". The impact to the expense ratio of each impacted Fund is reflected in the Fund's Financial highlights. Settlements in Principle with Regulators On March 15, 2004, Bank of America Corporation and FleetBoston Financial Corporation ("Fleet") entered into agreements in principle (each an "Agreement" and together, the "Agreements") with the NYAG and the SEC over matters related to improper late trading and market timing of mutual funds. As noted below, on April 1, 2004, Bank of America Corporation acquired Fleet. Under the Agreements, Bank of America Corporation has agreed to pay $250 million in total disgorgement and restitution and a penalty of $125 million and FleetBoston Financial Corporation agreed to pay $70 million in total disgorgement and restitution and a penalty of $70 million. In addition, the Agreement with the NYAG requires an aggregate reduction in mutual fund fees of $32 million per year for five years across selected non-money market funds in the Nations Funds and Fleet mutual fund complexes. The final amount payable as restitution and whether such restitution will be effectuated through a Fund or directly to shareholders, has not yet been determined. 117 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) When finalized, the Agreements will conclude the investigation by the NYAG and the SEC of Bank of America Corporation and its affiliates relating to late trading and market timing activities, provided that the NYAG and the SEC have reserved the right to continue their respective investigations of and actions against individuals. Management believes that the Agreements, and their finalization, could have a positive effect, but in no case will they have a material adverse effect, on any Fund's financial positions or results of operations. However, a review by the accountants engaged to investigate these matters for the Boards remains ongoing. Accordingly, an estimate of the financial impact on any Fund cannot currently be made. Bank of America Corporation Acquisition of Fleet On April 1, 2004, Bank of America Corporation acquired Fleet. As a result of this acquisition, Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributor, Inc. ("CFDI") are now indirect wholly-owned subsidiaries of Bank of America Corporation. The SEC and NYAG filed proceedings against both CMA and CFDI on February 24, 2004 alleging that they had violated certain provisions of the federal securities laws in connection with trading activity in mutual funds shares and violated certain New York anti-fraud statutes. In order to settle these matters, as noted above, Fleet entered into the March 15, 2004 Agreements with the NYAG and the SEC. In addition, both Bank of America and Fleet committed to use best efforts to implement certain enhanced governance and compliance procedures with respect to advised mutual funds and agreed to the retention of independent consultants to review compliance, control and other policies and procedures relating to their respective mutual fund advisory businesses. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, or if any final settlement includes an injunction against CMA or CFDI prohibiting them from engaging in certain conduct, CMA, CFDI or any company that is an affiliated person of CMA and CFDI could be barred from serving as an investment adviser or distributor for any investment company registered under the Investment Company Act of 1940. As a result of the Fleet acquisition, BACAP and BACAP Distributors are now affiliated persons of CMA and CFDI and, therefore, under these circumstances, could be barred from serving as an investment adviser or distributor for any registered investment company, including the Funds. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, it is expected that BACAP and BACAP Distributors would seek exemptive relief from the SEC to permit them to continue serving as the investment adviser and distributor of the Funds. Civil Litigation In connection with the events described in detail above, various parties have filed suit against certain Funds, their Boards and/or Bank of America Corporation (and affiliated entities). These cases have been consolidated in a multi-district proceeding and transferred to the Federal District Court in Maryland. These suits and certain regulatory investigations are ongoing. Accordingly, an estimate of the financial impact of this litigation on any Fund, if any, cannot currently be made. 118 NATIONS MASTER INVESTMENT TRUST Nations Marsico Growth Master Portfolio, Nations Strategic Growth Master Portfolio, Nations Marsico Focused Equities Master Portfolio and Nations Small Company Master Portfolio Semi-Annual Report SEPTEMBER 30, 2004 (UNAUDITED) The following pages should be read in conjunction with Nations Marsico Growth, Nations Strategic Growth, Nations Marsico Equities and Nations Small Company Funds' Semi-Annual Report. 119 NATIONS MASTER INVESTMENT TRUST Nations Marsico Growth Master Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMON STOCKS -- 93.6% AEROSPACE AND DEFENSE -- 1.4% 210,244 General Dynamics Corporation.................................. $ 21,466 ---------- APPAREL AND TEXTILES -- 2.1% 405,305 Nike, Inc., Class B........................................... 31,938 ---------- BEVERAGES -- 0.8% 256,973 PepsiCo, Inc. ................................................ 12,502 ---------- CHEMICALS -- SPECIALTY -- 0.4% 163,475 Monsanto Company.............................................. 5,954 ---------- COMMERCIAL BANKING -- 3.6% 1,237,765 Citigroup Inc. ............................................... 54,610 ---------- COMMERCIAL SERVICES -- 3.0% 490,805 eBay Inc.!!................................................... 45,125 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 2.8% 1,167,812 Dell Inc.!!................................................... 41,574 ---------- CONGLOMERATES -- 1.7% 848,200 Tyco International Ltd. ...................................... 26,006 ---------- CONSUMER CREDIT AND MORTGAGES -- 3.7% 1,427,908 Countrywide Financial Corporation............................. 56,245 ---------- DEPARTMENT AND DISCOUNT STORES -- 2.8% 798,564 Wal-Mart Stores, Inc. ........................................ 42,484 ---------- DIVERSIFIED ELECTRONICS -- 2.2% 81,550 Samsung Electronics Company, Ltd. ............................ 32,436 ---------- DIVERSIFIED MANUFACTURING -- 6.1% 2,138,673 General Electric Company...................................... 71,816 559,918 Honeywell International Inc. ................................. 20,079 ---------- 91,895 ---------- FINANCE -- MISCELLANEOUS -- 4.1% 1,346,121 SLM Corporation............................................... 60,037 62,642 UCBH Holdings Inc. ........................................... 2,447 ---------- 62,484 ---------- FOOD AND DRUG STORES -- 0.9% 327,391 CVS Corporation............................................... 13,793 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- HEALTH SERVICES -- 7.1% 221,172 Quest Diagnostics Inc. ....................................... $ 19,512 1,174,307 UnitedHealth Group Inc. ...................................... 86,594 ---------- 106,106 ---------- HEAVY MACHINERY -- 3.2% 593,268 Caterpillar Inc. ............................................. 47,728 ---------- HOUSEHOLD PRODUCTS -- 2.7% 744,918 Procter & Gamble Company...................................... 40,315 ---------- HOUSING AND FURNISHING -- 2.6% 500,940 Lennar Corporation, Class A................................... 23,845 34,616 Lennar Corporation, Class B................................... 1,516 198,819 M.D.C. Holdings, Inc. ........................................ 14,534 ---------- 39,895 ---------- INVESTMENT SERVICES -- 3.8% 265,292 Goldman Sachs Group, Inc. .................................... 24,736 662,038 Merrill Lynch & Company, Inc. ................................ 32,916 ---------- 57,652 ---------- LODGING AND RECREATION -- 4.7% 87,026 Brunswick Corporation......................................... 3,982 208,909 Four Seasons Hotels Inc. ..................................... 13,391 223,742 Mandalay Resort Group......................................... 15,360 37,713 MGM Mirage Inc. .............................................. 1,872 691,480 Wynn Resorts, Ltd.!!.......................................... 35,743 ---------- 70,348 ---------- MEDICAL DEVICES AND SUPPLIES -- 7.0% 1,041,788 Boston Scientific Corporation!!............................... 41,390 534,922 Medtronic, Inc. .............................................. 27,762 125,950 St. Jude Medical, Inc.!!...................................... 9,480 74,346 Wright Medical Group, Inc.!!.................................. 1,868 312,469 Zimmer Holdings, Inc.!!....................................... 24,698 ---------- 105,198 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 6.0% 773,535 Motorola, Inc. ............................................... 13,955 1,961,778 QUALCOMM Inc. ................................................ 76,587 ---------- 90,542 ---------- PHARMACEUTICALS -- 4.6% 1,328,552 Genentech, Inc.!!............................................. 69,643 ---------- RAILROADS, TRUCKING AND SHIPPING -- 3.0% 532,104 FedEx Corporation............................................. 45,596 ---------- RECREATION -- 1.6% 536,954 Royal Caribbean Cruises Ltd. ................................. 23,411 ---------- RESTAURANTS -- 0.4% 117,565 Starbucks Corporation!!....................................... 5,345 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 120 NATIONS MASTER INVESTMENT TRUST Nations Marsico Growth Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- SOFTWARE -- 5.0% 757,178 Electronic Arts Inc.!!........................................ $ 34,823 1,485,369 Microsoft Corporation......................................... 41,070 ---------- 75,893 ---------- SPECIALTY STORES -- 5.1% 365,701 Bed Bath & Beyond Inc.!!...................................... 13,571 761,111 Lowe's Companies, Inc. ....................................... 41,366 737,506 Tiffany & Company............................................. 22,671 ---------- 77,608 ---------- TELECOMMUNICATIONS SERVICES -- 1.2% 465,575 Verizon Communications Inc. .................................. 18,334 ---------- TOTAL COMMON STOCKS (Cost $1,142,619)........................................... 1,412,126 ---------- PRINCIPAL AMOUNT (000) --------- CONVERTIBLE BONDS AND NOTES -- 3.2% LODGING AND RECREATION -- 3.2% (Cost $19,629) $ 20,000 Wynn Resorts, Ltd. 6.000% 07/15/15@............................................ 48,150 ---------- AFFILIATED INVESTMENT COMPANIES -- 2.2% (Cost $32,460) 32,460 Nations Cash Reserves, Capital Class Shares#.................. $ 32,460 ---------- TOTAL INVESTMENTS (Cost $1,194,708*)................................ 99.0% 1,492,736 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................................. 1.0% 15,220 ---------- NET ASSETS.......................................... 100.0% $1,507,956 ==========
--------------- *Federal income tax information: Net unrealized appreciation of $298,028 on investment securities was comprised of gross appreciation of $318,898 and depreciation of $20,870 for federal income tax purposes. At September 30, 2004, the aggregate cost for federal income tax purposes was $1,194,708. !! 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. #Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. ABBREVIATIONS: LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 121 NATIONS MASTER INVESTMENT TRUST Nations Strategic Growth Master Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMON STOCKS -- 97.8% AEROSPACE AND DEFENSE -- 2.5% 162,400 Northrop Grumman Corporation.................................. $ 8,661 352,500 United Technologies Corporation............................... 32,916 ---------- 41,577 ---------- AUTOMOTIVE -- 1.3% 216,400 Eaton Corporation............................................. 13,722 147,125 Johnson Controls, Inc. ....................................... 8,358 ---------- 22,080 ---------- BEVERAGES -- 4.2% 822,327 Coca-Cola Company............................................. 32,934 765,220 PepsiCo, Inc. ................................................ 37,228 ---------- 70,162 ---------- BROADCASTING AND CABLE -- 1.2% 594,375 Viacom Inc., Class B.......................................... 19,947 ---------- COMMERCIAL BANKING -- 7.5% 636,700 Citigroup Inc. ............................................... 28,091 85,000 M&T Bank Corporation(a)....................................... 8,135 328,625 National City Corporation..................................... 12,691 122,700 SunTrust Banks, Inc. ......................................... 8,639 591,125 Wachovia Corporation.......................................... 27,753 492,600 Wells Fargo & Company......................................... 29,375 135,850 Zions Bancorporation.......................................... 8,292 ---------- 122,976 ---------- COMMERCIAL SERVICES -- 2.0% 936,000 Cendant Corporation........................................... 20,218 290,000 Manpower Inc. ................................................ 12,902 ---------- 33,120 ---------- COMPUTER SERVICES -- 1.5% 941,825 Accenture Ltd.!!.............................................. 25,476 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 1.8% 351,350 Lexmark International, Inc.!!................................. 29,517 ---------- CONGLOMERATES -- 0.5% 130,100 Textron, Inc. ................................................ 8,362 ---------- CONSUMER CREDIT AND MORTGAGES -- 1.5% 1,011,499 MBNA Corporation.............................................. 25,490 ---------- DEPARTMENT AND DISCOUNT STORES -- 4.0% 815,100 Costco Wholesale Corporation.................................. 33,875 425,900 J.C. Penney Company, Inc. .................................... 15,026 334,150 Wal-Mart Stores, Inc. ........................................ 17,777 ---------- 66,678 ---------- DIVERSIFIED MANUFACTURING -- 1.7% 823,973 General Electric Company...................................... 27,669 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- ELECTRIC POWER -- NUCLEAR -- 1.8% 373,750 American Electric Power Company, Inc. ........................ $ 11,945 572,400 PG & E Corporation!!.......................................... 17,401 ---------- 29,346 ---------- EXPLORATION AND PRODUCTION -- 0.7% 177,900 EOG Resources, Inc. .......................................... 11,715 ---------- HEALTH SERVICES -- 1.2% 273,825 UnitedHealth Group Inc. ...................................... 20,192 ---------- HEAVY MACHINERY -- 1.0% 236,525 PACCAR, Inc. ................................................. 16,349 ---------- HOUSEHOLD PRODUCTS -- 2.9% 242,850 Colgate-Palmolive Company..................................... 10,972 690,025 Procter & Gamble Company...................................... 37,344 ---------- 48,316 ---------- HOUSING AND FURNISHING -- 1.5% 174,975 Lennar Corporation, Class A................................... 8,329 469,600 Masco Corporation............................................. 16,215 ---------- 24,544 ---------- INSURANCE -- 6.3% 416,619 ACE Ltd. ..................................................... 16,690 205,700 AFLAC, Inc. .................................................. 8,065 229,775 American International Group, Inc. ........................... 15,622 823,675 Genworth Financial Inc., Class A.............................. 19,192 397,975 Hartford Financial Services Group, Inc. ...................... 24,647 453,200 MetLife, Inc. ................................................ 17,516 ---------- 101,732 ---------- INTEGRATED OIL -- 6.9% 478,650 Apache Corporation............................................ 23,985 376,300 BP Amoco plc, ADR............................................. 21,649 482,618 ChevronTexaco Corporation..................................... 25,888 843,140 Exxon Mobil Corporation....................................... 40,748 ---------- 112,270 ---------- INVESTMENT SERVICES -- 4.3% 1,402,075 E*TRADE Group, Inc.!!......................................... 16,012 176,750 Goldman Sachs Group, Inc. .................................... 16,480 586,238 J.P. Morgan Chase & Company................................... 23,291 314,236 Merrill Lynch & Company, Inc. ................................ 15,624 ---------- 71,407 ---------- MEDICAL DEVICES AND SUPPLIES -- 4.8% 429,725 Abbott Laboratories........................................... 18,204 124,175 Bausch & Lomb Inc. ........................................... 8,251 223,900 Boston Scientific Corporation!!............................... 8,896 126,650 Invitrogen Corporation!!...................................... 6,964 302,675 Johnson & Johnson............................................. 17,050 229,410 Medtronic, Inc. .............................................. 11,906 236,100 Varian Medical Systems, Inc.!!................................ 8,162 ---------- 79,433 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 122 NATIONS MASTER INVESTMENT TRUST Nations Strategic Growth Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- METALS AND MINING -- 1.9% 252,200 Arch Coal, Inc. .............................................. $ 8,951 585,372 Companhia Vale do Rio Doce, ADR............................... 13,153 162,200 Peabody Energy Corporation.................................... 9,651 ---------- 31,755 ---------- NATURAL GAS DISTRIBUTION -- 1.0% 475,700 Sempra Energy................................................. 17,216 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.9% 614,550 Avaya Inc.!!.................................................. 8,567 1,236,625 Cisco Systems, Inc.!!......................................... 22,383 ---------- 30,950 ---------- PAPER AND FOREST PRODUCTS -- 1.6% 253,400 Boise Cascade Corporation..................................... 8,433 546,675 Meadwestvaco Corporation...................................... 17,439 ---------- 25,872 ---------- PHARMACEUTICALS -- 7.6% 189,975 Allergan, Inc. ............................................... 13,783 415,525 Caremark Rx, Inc.!!........................................... 13,326 181,600 Genentech, Inc.!!............................................. 9,519 465,000 Merck & Company, Inc. ........................................ 15,345 1,953,495 Pfizer Inc. .................................................. 59,777 480,201 Teva Pharmaceutical Industries Ltd., ADR...................... 12,461 ---------- 124,211 ---------- PUBLISHING AND ADVERTISING -- 0.8% 174,800 McGraw-Hill Companies, Inc. .................................. 13,930 ---------- RAILROADS, TRUCKING AND SHIPPING -- 2.1% 453,425 United Parcel Service, Inc., Class B.......................... 34,424 ---------- RESTAURANTS -- 1.6% 304,875 McDonald's Corporation........................................ 8,546 427,825 Yum! Brands, Inc. ............................................ 17,395 ---------- 25,941 ---------- SEMICONDUCTORS -- 4.3% 601,100 Agilent Technologies, Inc.!!.................................. 12,965 288,625 Analog Devices, Inc. ......................................... 11,193 595,775 ASML Holding N.V.!!........................................... 7,668 225,700 KLA-Tencor Corporation!!...................................... 9,362 404,400 Marvell Technology Group Ltd.!!............................... 10,567 188,300 Maxim Integrated Products, Inc. .............................. 7,963 1,700,000 Taiwan Semiconductor Manufacturing Company Ltd., ADR.......... 12,138 ---------- 71,856 ---------- SOFTWARE -- 6.1% 2,552,005 Microsoft Corporation......................................... 70,563 386,200 Symantec Corporation!!........................................ 21,195 473,225 VERITAS Software Corporation!!................................ 8,423 ---------- 100,181 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- SPECIALTY STORES -- 3.9% 259,575 Best Buy Company, Inc. ....................................... $ 14,079 570,854 Home Depot, Inc. ............................................. 22,378 668,750 Limited Brands................................................ 14,906 456,275 Staples, Inc. ................................................ 13,606 ---------- 64,969 ---------- TELECOMMUNICATIONS SERVICES -- 3.9% 226,300 ALLTEL Corporation............................................ 12,426 462,500 BellSouth Corporation......................................... 12,543 447,225 CenturyTel, Inc. ............................................. 15,313 960,400 Liberty Media Corporation!!................................... 8,375 630,250 SBC Communications Inc. ...................................... 16,355 ---------- 65,012 ---------- TOTAL COMMON STOCKS (Cost $1,456,829)........................................... 1,614,675 ---------- PREFERRED STOCKS -- 1.0% MEDIA -- 1.0% (Cost $18,080) 550,600 The News Corporation Ltd., ADR................................ 17,250 ---------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 0.4% (Cost $6,923) 6,923 Nations Cash Reserves, Capital Class Shares#.................. 6,923 ---------- TOTAL INVESTMENTS (Cost $1,481,832*)................................ 99.2% 1,638,848 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................................. 0.8% 13,482 ---------- NET ASSETS.......................................... 100.0% $1,652,330 ==========
--------------- *Federal Income Tax Information: Net unrealized appreciation of $157,016 on investment securities was comprised of gross appreciation of $201,983 and gross depreciation of $44,967 for federal income tax purposes. At September 30, 2004, the aggregate cost of securities for federal income tax purposes was $1,481,832. !! 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 $252. (a) All or portion of security was on loan September 30, 2004. The aggregate cost and market value of securities on loan September 30, 2004 is $250 and $249, respectively. ABBREVIATIONS: ADR -- American Depository Receipt LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 123 NATIONS MASTER INVESTMENT TRUST Nations Marsico Focused Equities Master Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMON STOCKS -- 98.2% APPAREL AND TEXTILES -- 2.3% 773,999 Nike, Inc., Class B........................................... $ 60,991 ---------- BEVERAGES -- 0.8% 444,339 PepsiCo, Inc. ................................................ 21,617 ---------- COMMERCIAL BANKING -- 4.3% 2,520,335 Citigroup Inc. ............................................... 111,197 ---------- COMMERCIAL SERVICES -- 3.4% 976,592 eBay Inc.!!................................................... 89,788 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 3.0% 2,225,263 Dell Inc.!!................................................... 79,219 ---------- CONSUMER CREDIT AND MORTGAGES -- 5.3% 3,536,944 Countrywide Financial Corporation............................. 139,320 ---------- DEPARTMENT AND DISCOUNT STORES -- 1.8% 900,232 Wal-Mart Stores, Inc. ........................................ 47,892 ---------- DIVERSIFIED ELECTRONICS -- 2.3% 148,140 Samsung Electronics Company, Ltd. ............................ 58,922 ---------- DIVERSIFIED MANUFACTURING -- 4.6% 3,551,066 General Electric Company...................................... 119,245 ---------- FINANCE -- MISCELLANEOUS -- 5.4% 3,167,888 SLM Corporation............................................... 141,288 ---------- FOOD AND DRUG STORES -- 1.0% 304,712 Whole Foods Market, Inc. ..................................... 26,141 ---------- HEALTH SERVICES -- 9.5% 3,317,995 UnitedHealth Group Inc. ...................................... 244,670 ---------- HEAVY MACHINERY -- 3.4% 1,095,840 Caterpillar Inc. ............................................. 88,160 ---------- HOUSEHOLD PRODUCTS -- 3.4% 1,620,300 Procter & Gamble Company...................................... 87,691 ---------- HOUSING AND FURNISHING -- 1.7% 953,996 Lennar Corporation, Class A................................... 45,410 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- INVESTMENT SERVICES -- 4.0% 487,946 Goldman Sachs Group, Inc. .................................... $ 45,496 1,171,943 Merrill Lynch & Company, Inc. ................................ 58,269 ---------- 103,765 ---------- LODGING AND RECREATION -- 4.1% 740,564 Four Seasons Hotels Inc. ..................................... 47,470 673,437 Mandalay Resort Group......................................... 46,231 65,152 MGM Mirage Inc. .............................................. 3,235 183,266 Wynn Resorts, Ltd.!!.......................................... 9,473 ---------- 106,409 ---------- MEDICAL DEVICES AND SUPPLIES -- 8.7% 1,924,415 Boston Scientific Corporation!!............................... 76,457 1,390,306 Medtronic, Inc. .............................................. 72,157 991,347 Zimmer Holdings, Inc.!!....................................... 78,357 ---------- 226,971 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 7.1% 1,432,357 Motorola, Inc. ............................................... 25,840 4,088,728 QUALCOMM Inc. ................................................ 159,624 ---------- 185,464 ---------- PHARMACEUTICALS -- 5.5% 2,754,702 Genentech, Inc.!!............................................. 144,401 ---------- RAILROADS, TRUCKING AND SHIPPING -- 3.4% 1,049,337 FedEx Corporation............................................. 89,918 ---------- RESTAURANTS -- 1.1% 603,662 Starbucks Corporation!!....................................... 27,442 ---------- SOFTWARE -- 5.5% 1,451,896 Electronic Arts Inc.!!........................................ 66,773 2,792,573 Microsoft Corporation......................................... 77,214 ---------- 143,987 ---------- SPECIALTY STORES -- 5.4% 1,949,795 Lowe's Companies, Inc. ....................................... 105,971 1,150,929 Tiffany & Company............................................. 35,380 ---------- 141,351 ---------- TELECOMMUNICATIONS SERVICES -- 1.2% 804,313 Verizon Communications Inc. .................................. 31,674 ---------- TOTAL COMMON STOCKS (Cost $2,029,800)........................................... 2,562,933 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 124 NATIONS MASTER INVESTMENT TRUST Nations Marsico Focused Equities Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
SHARES VALUE (000) (000) ---------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 0.7% (Cost $18,012) 18,012 Nations Cash Reserves, Capital Class Shares#.................. $ 18,012 ---------- TOTAL INVESTMENTS (Cost $2,047,812*)................................ 98.9% 2,580,945 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ 1.1% 28,367 ---------- NET ASSETS.......................................... 100.0% $2,609,312 ==========
--------------- *Federal income tax information: Net unrealized appreciation of $533,133 on investment securities was comprised of gross appreciation of $574,903 and depreciation of $41,770 for federal income tax purposes. At September 30, 2004, the aggregate cost for federal income tax purposes was $2,047,812. !! 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. ABBREVIATIONS: LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 125 NATIONS MASTER INVESTMENT TRUST Nations Small Company Master Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- COMMON STOCKS -- 97.3% AEROSPACE AND DEFENSE -- 0.5% 116,107 MTC Technologies, Inc.!!...................................... $ 3,208 ---------- AIRLINES -- 0.9% 560,950 AirTran Holdings, Inc.!!...................................... 5,587 ---------- APPAREL AND TEXTILES -- 2.3% 283,175 Joseph A. Bank Clothiers, Inc.!!(a)........................... 7,838 224,925 Wolverine World Wide, Inc. ................................... 5,668 ---------- 13,506 ---------- BROADCASTING AND CABLE -- 1.3% 538,000 Radio One, Inc., Class D!!(a)................................. 7,656 ---------- CHEMICALS -- BASIC -- 1.0% 342,000 IMC Global, Inc. ............................................. 5,947 ---------- CHEMICALS -- SPECIALTY -- 1.2% 241,672 Aceto Corporation............................................. 3,480 152,819 Symyx Technologies Inc.!!..................................... 3,599 ---------- 7,079 ---------- COMMERCIAL BANKING -- 3.2% 139,867 City National Corporation..................................... 9,084 103,414 F.N.B. Corporation(a)......................................... 2,289 147,232 First National Bankshares of Florida, Inc. ................... 3,615 136,954 South Financial Group, Inc. .................................. 3,862 ---------- 18,850 ---------- COMMERCIAL SERVICES -- 1.3% 137,575 Heidrick & Struggles International, Inc.!!.................... 3,965 102,875 Resources Connection, Inc.!!.................................. 3,887 ---------- 7,852 ---------- COMPUTER SERVICES -- 5.0% 166,108 Anteon International Corporation!!............................ 6,088 211,918 Cognizant Technology Solutions Corporation!!.................. 6,466 457,625 Digitas Inc.!!................................................ 3,537 784,250 Harris Interactive, Inc.!!.................................... 5,168 424,223 Secure Computing Corporation!!................................ 3,220 407,694 Virage Logic Corporation!!.................................... 5,027 ---------- 29,506 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 2.3% 201,311 Avocent Corporation!!......................................... 5,239 150,725 Global Imaging Systems, Inc.!!................................ 4,685 358,039 Plexus Corporation!!.......................................... 3,953 ---------- 13,877 ---------- CONSTRUCTION -- 1.1% 216,053 Chicago Bridge & Iron Company N.V. ........................... 6,479 ----------
VALUE SHARES (000) -------------------------------------------------------------------------------------- CONSUMER SERVICES -- 0.3% 105,575 Netflix Inc.!!(a)............................................. $ 1,628 ---------- DIVERSIFIED ELECTRONICS -- 5.8% 414,427 Aeroflex, Inc.!!.............................................. 4,380 286,745 Anaren Microwave, Inc.!!...................................... 3,860 144,351 Applied Films Corporation!!................................... 2,600 218,372 Daktronics, Inc.!!............................................ 5,339 131,588 Dionex Corporation!!.......................................... 7,198 98,278 FLIR Systems, Inc.!!.......................................... 5,749 257,450 Integrated Circuit Systems, Inc.!!............................ 5,535 ---------- 34,661 ---------- DIVERSIFIED MANUFACTURING -- 2.9% 177,792 Actuant Corporation, Class A!!................................ 7,327 89,011 CUNO, Inc.!!.................................................. 5,140 221,367 Griffon Corporation!!......................................... 4,671 ---------- 17,138 ---------- EDUCATION -- 1.5% 326,096 Education Management Corporation!!............................ 8,687 ---------- EXPLORATION AND PRODUCTION -- 0.8% 477,039 Brigham Exploration Company!!................................. 4,484 ---------- FINANCE -- MISCELLANEOUS -- 1.8% 298,438 Boston Private Financial Holdings, Inc. ...................... 7,449 142,600 World Acceptance Corporation!!................................ 3,315 ---------- 10,764 ---------- FINANCIAL SERVICES -- 2.0% 220,549 Affiliated Managers Group, Inc.!!(a).......................... 11,808 ---------- FOOD PRODUCTS -- 1.0% 133,049 Corn Products International, Inc. ............................ 6,134 ---------- HEALTH SERVICES -- 7.6% 155,287 Centene Corporation!!......................................... 6,612 196,150 Digene Corporation!!.......................................... 5,092 439,013 Province Healthcare Company!!................................. 9,184 123,219 Stericycle, Inc.!!............................................ 5,656 90,633 Triad Hospitals, Inc.!!....................................... 3,121 745,446 VCA Antech, Inc.!!............................................ 15,379 ---------- 45,044 ---------- HOUSING AND FURNISHING -- 2.8% 60,150 Beazer Homes USA, Inc.(a)..................................... 6,429 57,256 Ethan Allen Interiors, Inc. .................................. 1,990 270,615 Tuesday Morning Corporation!!................................. 8,367 ---------- 16,786 ---------- INSURANCE -- 1.6% 191,141 Bristol West Holdings, Inc. .................................. 3,276 109,600 Triad Guaranty, Inc.!!........................................ 6,081 ---------- 9,357 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 126 NATIONS MASTER INVESTMENT TRUST Nations Small Company Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- INTEGRATED OIL -- 2.0% 199,850 Oceaneering International Inc.!!.............................. $ 7,363 168,284 Remington Oil & Gas Corporation!!............................. 4,417 ---------- 11,780 ---------- LODGING AND RECREATION -- 3.1% 222,825 Boyd Gaming Corporation....................................... 6,272 188,325 Gaylord Entertainment Company!!............................... 5,838 167,342 Shuffle Master, Inc.!!........................................ 6,269 ---------- 18,379 ---------- MEDICAL DEVICES AND SUPPLIES -- 7.2% 246,950 Align Technology, Inc.!!...................................... 3,773 87,304 Cooper Companies, Inc. ....................................... 5,985 422,250 Kyphon Inc.!!................................................. 10,463 267,894 Merit Medical Systems, Inc.!!................................. 4,048 220,556 Respironics, Inc.!!........................................... 11,787 273,329 Wright Medical Group, Inc.!!.................................. 6,866 ---------- 42,922 ---------- METALS AND MINING -- 0.8% 104,120 AMCOL International Corporation............................... 1,991 78,200 Steel Dynamics, Inc. ......................................... 3,020 ---------- 5,011 ---------- NATURAL GAS DISTRIBUTION -- 1.1% 124,310 Energen Corporation(a)........................................ 6,408 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.7% 377,190 AudioCodes Ltd.!!............................................. 4,749 308,856 C-COR.net Corporation!!....................................... 2,610 179,325 Tekelec!!..................................................... 2,991 ---------- 10,350 ---------- OILFIELD SERVICES -- 1.3% 285,900 Varco International, Inc.!!................................... 7,668 ---------- PHARMACEUTICALS -- 9.3% 230,891 Affymetrix, Inc.!!(a)......................................... 7,091 326,600 Angiotech Pharmaceuticals, Inc.!!............................. 6,620 180,025 AtheroGenics, Inc.!!(a)....................................... 5,932 207,836 Axcan Pharma, Inc.!!(a)....................................... 3,240 272,905 Connetics Corporation!!....................................... 7,374 137,415 Martek Biosciences Corporation!!.............................. 6,684 93,850 OSI Pharmaceuticals, Inc.!!................................... 5,768 312,005 Penwest Pharmaceuticals Company!!............................. 3,523 189,060 Protein Design Labs, Inc.!!................................... 3,702 98,000 Salix Pharmaceuticals, Inc.!!................................. 2,109 160,825 Telik, Inc.!!................................................. 3,586 ---------- 55,629 ---------- PUBLISHING AND ADVERTISING -- 0.5% 54,350 R.R. Donnelley Corporation!!.................................. 2,683 ----------
VALUE SHARES (000) -------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- 2.1% 127,416 UTI Worldwide, Inc. .......................................... $ 7,494 189,600 Wabash National Corporation!!................................. 5,208 ---------- 12,702 ---------- RESTAURANTS -- 2.7% 144,575 Panera Bread Company, Class A!!(a)............................ 5,427 234,690 RARE Hospitality International, Inc.!!........................ 6,255 96,736 Red Robin Gourmet Burgers, Inc.!!............................. 4,224 ---------- 15,906 ---------- SEMICONDUCTORS -- 6.6% 180,535 Cymer, Inc.!!................................................. 5,174 666,675 Microsemi Corporation!!....................................... 9,401 309,450 OmniVision Technologies, Inc.!!(a)............................ 4,379 332,875 Semtech Corporation!!......................................... 6,381 141,925 Silicon Laboratories Inc.!!................................... 4,696 159,300 Varian Semiconductor Equipment Associates, Inc.!!............. 4,922 264,525 Zoran Corporation!!........................................... 4,158 ---------- 39,111 ---------- SOFTWARE -- 7.7% 75,421 Ansys, Inc.!!................................................. 3,751 223,925 Blackboard, Inc.!!(a)......................................... 3,843 496,875 Borland Software Corporation!!................................ 4,149 285,027 EPIQ Systems, Inc.!!(a)....................................... 4,440 209,286 Hyperion Solutions Corporation!!.............................. 7,113 599,800 Lawson Software, Inc.!!....................................... 3,359 116,950 Manhattan Associates, Inc.!!.................................. 2,856 357,300 Neoware Systems, Inc.!!(a).................................... 2,966 329,246 OPNET Technologies, Inc.!!.................................... 3,378 280,225 Packeteer, Inc.!!............................................. 3,029 300,485 Progress Software Corporation!!............................... 5,979 86,506 RSA Security Inc.!!........................................... 1,670 ---------- 46,533 ---------- SPECIALTY STORES -- 1.4% 286,337 Hibbet Sporting Goods, Inc.!!................................. 5,867 128,950 Select Comfort Corporation!!.................................. 2,347 ---------- 8,214 ---------- TELECOMMUNICATIONS SERVICES -- 1.6% 599,765 Centennial Cellular Corporation!!............................. 3,527 263,186 SpectraLink Corporation....................................... 2,500 137,025 Western Wireless Corporation, Class A!!....................... 3,523 ---------- 9,550 ---------- TOTAL COMMON STOCKS (Cost $451,892)............................................. 578,884 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 127 NATIONS MASTER INVESTMENT TRUST Nations Small Company Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
SHARES VALUE (000) (000) -------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 9.8% (Cost $58,028) 58,028 Nations Cash Reserves, Capital Class Shares#.................. $ 58,028 ---------- TOTAL INVESTMENTS (Cost $509,920*).................................. 107.1% 636,912 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (7.1)% (42,312) ---------- NET ASSETS.......................................... 100.0% $ 594,600 ==========
--------------- *Federal income tax information: Net unrealized appreciation of $126,992 on investment securities was comprised of gross appreciation of $159,561 and gross depreciation of $32,569 for federal income tax purposes. At September 30, 2004, the aggregate cost for federal income tax purposes was $509,920. !! 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 $44,222. (a) All or portion of security was on loan September 30, 2004. The aggregate cost and market value of securities on loan September 30, 2004 is $40,548 and $41,994, respectively. ABBREVIATIONS: LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 128 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2004
STRATEGIC FOCUSED SMALL GROWTH GROWTH EQUITIES COMPANY MASTER MASTER MASTER MASTER PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------------------------------------------------------------------- (IN THOUSANDS) ASSETS: Non-affiliated investments, at cost................ $ 1,162,248 $ 1,474,909 $ 2,029,800 $ 451,892 Affiliated investments, at cost.................... 32,460 6,923 18,012 58,028 -------------- -------------- -------------- -------------- Non-affiliated investments, at value............... 1,460,276 1,631,925 2,562,933 578,884 Affiliated investments, at value................... 32,460 6,923 18,012 58,028 Receivable for investment securities sold.......... 18,292 22,941 32,172 4,548 Dividends receivable............................... 728 1,065 1,207 60 Interest receivable................................ 254 -- -- 15 -------------- -------------- -------------- -------------- Total assets................................... 1,512,010 1,662,854 2,614,324 641,535 -------------- -------------- -------------- -------------- LIABILITIES: Collateral on securities loaned.................... -- (252) -- (44,222) Investment advisory fee payable.................... (899) (888) (1,597) (439) Administration fee payable......................... (120) (68) (213) (24) Due to custodian................................... (3) (875) (19) (38) Payable for investment securities purchased........ (2,970) (8,372) (3,122) (2,152) Accrued Trustees' fees and expenses................ (38) (39) (38) (17) Accrued expenses and other liabilities............. (24) (30) (23) (43) -------------- -------------- -------------- -------------- Total liabilities.............................. (4,054) (10,524) (5,012) (46,935) -------------- -------------- -------------- -------------- NET ASSETS......................................... $ 1,507,956 $ 1,652,330 $ 2,609,312 $ 594,600 ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 129 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2004
STRATEGIC FOCUSED SMALL GROWTH GROWTH EQUITIES COMPANY MASTER MASTER MASTER MASTER PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $72, $17, $174 and $3, respectively).................. $ 6,477 $ 12,089 $ 12,080 $ 1,098 Dividend income from affiliated funds.............. 214 133 386 91 Interest........................................... 612 -- --* -- Securities lending................................. 5 56 -- 65 -------------- -------------- -------------- -------------- Total investment income........................ 7,308 12,278 12,466 1,254 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee............................ 5,216 5,663 9,776 3,011 Administration fee................................. 696 436 1,303 167 Custodian fees..................................... 61 62 128 28 Legal and audit fees............................... 26 26 26 21 Trustees' fees and expenses........................ 9 9 10 9 Interest expense................................... -- 1 --* 2 Other.............................................. 12 17 22 5 -------------- -------------- -------------- -------------- Total expenses................................. 6,020 6,214 11,265 3,243 Fees reduced by credits allowed by the custodian (see Note 3)..................................... --* (2) --* (2) -------------- -------------- -------------- -------------- Net expenses................................... 6,020 6,212 11,265 3,241 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME (LOSS)....................... 1,288 6,066 1,201 (1,987) -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions............................ (27,687) 226,965 (85,201) 31,559 Foreign currency and other net assets............ (350) -- (615) -- Net increase from payments by affiliates and net realized gain/(loss) on the disposal of investments in violation of restrictions (see Note 3)........................................ -- 181 -- -- -------------- -------------- -------------- -------------- Net realized gain/(loss) on investments............ (28,037) 227,146 (85,816) 31,559 Change in unrealized appreciation/(depreciation) of securities (see Note 7).......................... 45,403 (265,382) 43,168 (74,747) -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments...................................... 17,366 (38,236) (42,648) (43,188) -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................. $ 18,654 $ (32,170) $ (41,447) $ (45,175) ============== ============== ============== ==============
--------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 130 [This page intentionally left blank] 131 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF CHANGES IN NET ASSETS
GROWTH STRATEGIC GROWTH MASTER PORTFOLIO MASTER PORTFOLIO --------------------------------- --------------------------------- SIX MONTHS SIX MONTHS ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ----------------------------------------------------------------------- (IN THOUSANDS) Net investment income (loss)....................... $ 1,288 $ 641 $ 6,066 $ 13,753 Net realized gain/(loss) on investments............ (28,037) 51,459 227,146 38,802 Net change in unrealized appreciation/(depreciation) of investments....... 45,403 192,452 (265,382) 469,018 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations.................................. 18,654 244,552 (32,170) 521,573 Contributions...................................... 340,598 797,051 54,864 325,674 Withdrawals........................................ (203,573) (279,054) (229,730) (692,882) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets.............. 155,679 762,549 (207,036) 154,365 NET ASSETS: Beginning of period................................ 1,352,277 589,728 1,859,366 1,705,001 -------------- -------------- -------------- -------------- End of period...................................... $ 1,507,956 $ 1,352,277 $ 1,652,330 $ 1,859,366 ============== ============== ============== ==============
--------------- (a)Small Company Master Portfolio commenced operations on November 1, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 132 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOCUSED EQUITIES SMALL COMPANY MASTER PORTFOLIO MASTER PORTFOLIO ------------------------------------------ -------------------------------------- SIX MONTHS SIX MONTHS ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 PERIOD ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04(A) ------------------------------------------------------------------------------------------ $ 1,201 $ (295) $ (1,987) $ (2,084) (85,816) 125,132 31,559 33,844 43,168 440,064 (74,747) 30,069 -------------- -------------- -------------- -------------- (41,447) 564,901 (45,175) 61,829 323,914 1,146,568 37,492 1,016,295 (375,129) (593,210) (168,116) (307,725) -------------- -------------- -------------- -------------- (92,662) 1,118,259 (175,799) 770,399 2,701,974 1,583,715 770,399 -- -------------- -------------- -------------- -------------- $ 2,609,312 $ 2,701,974 $ 594,600 $ 770,399 ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 133 NATIONS MASTER INVESTMENT TRUST FINANCIAL HIGHLIGHTS
RATIO OF RATIO OF NET OPERATING INVESTMENT EXPENSES INCOME/(LOSS) PORTFOLIO TOTAL TO AVERAGE TO AVERAGE TURNOVER RETURN NET ASSETS NET ASSETS RATE ------------------------------------------------------------------- GROWTH MASTER PORTFOLIO: Six months ended 9/30/2004 (unaudited).... 1.16% 0.87%+(d) 0.19%+ 23% Year ended 3/31/2004...................... 33.81 0.87(d)(e) 0.07 94 Year ended 3/31/2003...................... (18.90) 0.87(d)(e) (0.05) 107 Year ended 3/31/2002...................... (0.53) 0.87(d)(e) (0.13) 114 Year ended 3/31/2001...................... --@ 0.86(d) 0.20 113 Period ended 3/31/2000(a)................. --@ 0.86+(d) (0.04)+ 60 STRATEGIC GROWTH MASTER PORTFOLIO: Six months ended 9/30/2004 (unaudited).... (1.58)% 0.71%+(d)(e) 0.70%+ 61% Year ended 3/31/2004...................... 32.80 0.71(b)(d)(e) 0.74 47 Period ended 3/31/2003(f)................. (22.08) 0.71+(d)(e) 0.96+ 77 FOCUSED EQUITIES MASTER PORTFOLIO: Six months ended 9/30/2004 (unaudited).... (1.36)% 0.86%+(d)(e) 0.09%+ 34% Year ended 3/31/2004...................... 32.78 0.86(d)(e) (0.01) 96 Year ended 3/31/2003...................... (19.02) 0.86(d)(e) (0.08) 115 Year ended 3/31/2002...................... 3.50 0.86(d)(e) (0.08) 129 Year ended 3/31/2001...................... --@ 0.86(d)(e) 0.17 134 Period ended 3/31/2000(c)................. --@ 0.84+(d) (0.07)+ 84 SMALL COMPANY MASTER PORTFOLIO: Six months ended 9/30/2004 (unaudited).... (5.81)% 0.97%+(d)(e) (0.59)%+ 22% Period ended 3/31/2004(g)................. 51.50 0.98+(d) (0.66)+ 26 WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS -------------------- RATIO OF OPERATING EXPENSES TO AVERAGE NET ASSETS -------------------- GROWTH MASTER PORTFOLIO: Six months ended 9/30/2004 (unaudited).... 0.87%+(d) Year ended 3/31/2004...................... 0.87(d)(e) Year ended 3/31/2003...................... 0.87(d)(e) Year ended 3/31/2002...................... 0.87(d)(e) Year ended 3/31/2001...................... 0.86(d) Period ended 3/31/2000(a)................. 0.86+(d) STRATEGIC GROWTH MASTER PORTFOLIO: Six months ended 9/30/2004 (unaudited).... 0.71%+(d)(e) Year ended 3/31/2004...................... 0.71(d)(e) Period ended 3/31/2003(f)................. 0.71+(d)(e) FOCUSED EQUITIES MASTER PORTFOLIO: Six months ended 9/30/2004 (unaudited).... 0.86%+(d)(e) Year ended 3/31/2004...................... 0.86(d)(e) Year ended 3/31/2003...................... 0.86(d)(e) Year ended 3/31/2002...................... 0.86(d)(e) Year ended 3/31/2001...................... 0.86(d) Period ended 3/31/2000(c)................. 0.84+(d) SMALL COMPANY MASTER PORTFOLIO: Six months ended 9/30/2004 (unaudited).... 0.97%+(d)(e) Period ended 3/31/2004(g)................. 0.98+(d)
--------------- +Annualized. @Total return not required for periods indicated. (a) Growth Master Portfolio commenced operations on October 8, 1999. (b) The reimbursement from Investment Adviser is included in the ratio of operating expenses to average net assets (with waivers). 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 3) 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. (g) Small Company Master Portfolio commenced operations on November 1, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 134 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, 2004, the Master Trust offered twelve separate portfolios. These financial statements pertain only to Nations Marsico Growth Master Portfolio, Nations Strategic Growth Master Portfolio, Nations Marsico Focused Equities Master Portfolio and Nations Small Company 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 Master Portfolios 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 and restrictions. These risks are likely to be greater in emerging markets than in developed markets. The ability of issuers of debt securities held by the Master Portfolios to meet their obligations may be affected by economic and political developments in a specific country, industry or region. The following investors were invested in the Master Portfolios at September 30, 2004: GROWTH MASTER PORTFOLIO: Nations Marsico Growth Fund................................. 95.5% Nations Marsico Growth Fund (Offshore)...................... 2.6% Banc of America Capital Management Funds I -- Growth Fund... 1.9% 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....................... 99.0% Nations Marsico Focused Equities Fund (Offshore)............ 0.9% Banc of America Capital Management Funds I -- Focused Equities Fund............................................. 0.1% SMALL COMPANY MASTER PORTFOLIO: Nations Small Company Fund.................................. 96.9% Nations Small Company Fund (Offshore)....................... 3.1%
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 generally valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on Nasdaq are generally valued at the Nasdaq official closing price. Securities traded only over-the-counter are generally valued at the mean of the latest bid and asked prices. Debt securities will generally be valued using prices provided by a pricing service which may employ various indications of value including but not limited to broker-dealer quotations. 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. 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. At September 30, 2004, the Master Portfolios had no open futures contracts. 135 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 Master Portfolios 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 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. At September 30, 2004, the Master Portfolios had no open options. The Master 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 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 Portfolios may also write combinations of covered puts and calls on the same underlying security. When the Master Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Master 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 Portfolios typically receive a premium from writing a put or call option, which would increase the Master 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 Master 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 Master 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. A 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 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 4:00 p.m. London time by a pricing service. 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. 136 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Forward foreign currency transactions: Generally, each Master Portfolio may enter into forward foreign currency 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. At September 30, 2004, the Master Portfolios had no open forward foreign currency contracts. 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 assets and liabilities. 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 Statements of assets and liabilities. 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, 137 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) calculated daily and payable monthly, based on the following maximum 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% Small Company Master Portfolio.............................. 0.90%
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 and Small Company Master Portfolios' average daily net assets and 0.10% of the Growth and Focused Equities Master Portfolios' average daily net assets. The Bank of New York ("BNY") serves as sub-administrator of the Master Trust pursuant to an agreement with BACAP Distributors. For the six months ended September 30, 2004, BACAP Distributors earned annual rates of 0.10% of the Growth and Focused Equities Master Portfolios' average daily net assets and 0.05% of the Strategic Growth and Small Company Master Portfolios' 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, 2004, Small Company Master Portfolio paid brokerage commissions of $11,325 to certain affiliates of BACAP in connection with the execution of various portfolio transactions. 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 an 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 advised by BACAP. 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 assets and liabilities. 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 earn advisory and administration fees on the investments made in the Nations Cash Reserves in addition to the advisory and administration fees earned by BACAP and BACAP Distributors from the Master Portfolios. For the six months ended September 30, 2004, BACAP and BACAP Distributors earned the following fees related to investments in affiliated funds:
ADMINISTRATION FEES ADVISORY FEES (EARNED BY BACAP (EARNED BY BACAP) DISTRIBUTORS) FUND (000) (000) ------------------------------------------------------------------------------------------------------ Growth Master Portfolio..................................... $24 $12 Strategic Growth Master Portfolio........................... 13 7 Focused Equities Master Portfolio........................... 47 24 Small Company Master Portfolio.............................. 10 5
138 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. TOTAL OPERATING EXPENSE LIMITATIONS For the six months ended September 30, 2004, expenses of the Master Portfolios were reduced by $4,494 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. During the six months ended September 30, 2004, BACAP ascertained that it had caused the Portfolio to exceed certain investment restrictions imposed by the 1940 Act and conditions contained in exemptive orders granted to the Portfolios. During the six months ended September 30, 2004, BACAP reimbursed the Portfolio for all losses incurred resulting from the sale of securities required to bring the Funds within their investment limits. The amount of the reimbursements are as follows: Strategic Growth............................................ $181,227
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, 2004 were as follows:
PURCHASES SALES (000) (000) ------------------------ Growth Master Portfolio..................................... $ 503,918 $ 312,288 Strategic Growth Master Portfolio........................... 1,044,764 1,206,553 Focused Equities Master Portfolio........................... 1,019,654 851,910 Small Company Master Portfolio.............................. 144,737 273,093
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, 2004. During the six months ended September 30, 2004, borrowings by the Master Portfolios under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST PORTFOLIO (000) RATE -------------------------------------------------------------------------------------- Strategic Growth Master Portfolio........................... $152 1.59% Focused Equities Master Portfolio........................... 46 1.93 Small Company Master Portfolio.............................. 183 1.81
--------------- *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 plus accrued income from investment of the collateral. 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 139 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) its right to dispose of the collateral. The Master Portfolio bears the risk of loss with respect to the investment of collateral. The income earned by each Master Portfolio from securities lending is included in its Statement of operations. At September 30, 2004, the following Master Portfolios had securities on loan:
MARKET VALUE OF MARKET VALUE LOANED SECURITIES OF COLLATERAL (000) (000) ---------------------------------- Strategic Growth Master Portfolio........................... $ 249 $ 252 Small Company Master Portfolio.............................. 41,994 44,222
7. REORGANIZATIONS FUND REORGANIZATION On January 23, 2004, Growth Fund ("Acquiring Fund"), acquired the assets and assumed the liabilities of Capital Growth Fund ("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 assets received, including the securities received in the transaction, were contributed to the Growth Master Portfolio. Net assets and unrealized appreciation/(depreciation) as of the reorganization date were as follows:
TOTAL NET ASSETS ACQUIRED FUND TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED APPRECIATION/ OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION (DEPRECIATION) ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000) ------------------------------------------------------------------------------------------------------------------- Growth Capital Growth $160,790 $1,083,815 $1,244,605 $41,595
8. CONTINGENCIES AND OTHER 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 various mutual funds, including other funds in the Nations Funds family. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and "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 Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name the Funds, among others, as defendants (see Civil Litigation below). The independent Trustees of the Funds have engaged independent legal counsel and, through them, accountants to evaluate the extent of any monetary impact to any Funds from discretionary market timing or from late trading. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds (the "Boards") 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 the Funds in connection with this matter. Settlements in Principle with Regulators On March 15, 2004, Bank of America Corporation and FleetBoston Financial Corporation ("Fleet") entered into agreements in principle (each an "Agreement" and together, the "Agreements") with the NYAG and the SEC over matters related to improper late trading and market timing of mutual funds. As noted below, on April 1, 2004, Bank of America Corporation acquired Fleet. 140 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Under the Agreements, Bank of America Corporation has agreed to pay $250 million in total disgorgement and restitution and a penalty of $125 million and FleetBoston Financial Corporation agreed to pay $70 million in total disgorgement and restitution and a penalty of $70 million. In addition, the Agreement with the NYAG requires an aggregate reduction in mutual fund fees of $32 million per year for five years across selected non-money market funds in the Nations Funds and Fleet mutual fund complexes. The final amount payable as restitution and whether such restitution will be effectuated through a Fund or directly to shareholders, has not yet been determined. When finalized, the Agreements will conclude the investigation by the NYAG and the SEC of Bank of America Corporation and its affiliates relating to late trading and market timing activities, provided that the NYAG and the SEC have reserved the right to continue their respective investigations of and actions against individuals. Management believes that the Agreements, and their finalization, will not have a material adverse effect, on any Fund's financial positions or results of operations. However, a review by the accountants engaged to investigate these matters for the Boards remains ongoing. Accordingly, an estimate of the financial impact on any Fund cannot currently be made. Bank of America Corporation Acquisition of Fleet On April 1, 2004, Bank of America Corporation acquired Fleet. As a result of this acquisition, Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributor, Inc. ("CFDI") are now indirect wholly-owned subsidiaries of Bank of America Corporation. The SEC and NYAG filed proceedings against both CMA and CFDI on February 24, 2004 alleging that they had violated certain provisions of the federal securities laws in connection with trading activity in mutual funds shares and violated certain New York anti-fraud statutes. In order to settle these matters, as noted above, Fleet entered into the March 15, 2004 Agreements with the NYAG and the SEC. In addition, both Bank of America and Fleet committed to use best efforts to implement certain enhanced governance and compliance procedures with respect to advised mutual funds and agreed to the retention of independent consultants to review compliance, control and other policies and procedures relating to their respective mutual fund advisory businesses. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, or if any final settlement includes an injunction against CMA or CFDI prohibiting them from engaging in certain conduct, CMA, CFDI or any company that is an affiliated person of CMA and CFDI could be barred from serving as an investment adviser or distributor for any investment company registered under the Investment Company Act of 1940. As a result of the Fleet acquisition, BACAP and BACAP Distributors are now affiliated persons of CMA and CFDI and, therefore, under these circumstances, could be barred from serving as an investment adviser or distributor for any registered investment company, including the Funds. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, it is expected that BACAP and BACAP Distributors would seek exemptive relief from the SEC to permit them to continue serving as the investment adviser and distributor of the Funds. Civil Litigation In connection with the events described in detail above, various parties have filed suit against certain Funds, their Boards and/or Bank of America Corporation (and affiliated entities). These cases have been consolidated in a multi-district proceeding and transferred to the Federal District Court in Maryland. These suits and certain regulatory investigations are ongoing. Accordingly, an estimate of the financial impact of this litigation on any Fund, if any, cannot currently be made. 141 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 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 (9/04) 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, 2004 Nations New York Tax-Exempt Reserves [NATIONS FUNDS LOGO] Beginning with the Funds' fiscal quarter ending December 31, 2004, the Funds will file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds' Forms N-Q will also be available on our website at www.nationsfunds.com. 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 semi-annual 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, 2004. We hope you will take a moment to review this information. THE ECONOMY The US economy grew at a healthy pace during the six-month period that ended September 30, 2004. Despite uncertainty about job growth, consumer spending and rising energy prices, gross domestic product growth was comfortably above the long-term historical average of 3.0%. In general, corporate profits continued to rise, which provided companies with the resources to increase spending. Industrial production rose; factories used more of their capacity; and spending on technology, capital equipment and construction all increased. Also during this time frame the Federal Reserve ("the Fed") raised rates three consecutive times. The latest increase occurred at the September 21 meeting when the Fed raised rates from 1.50% to 1.75%. During this meeting, policy makers indicated the further rate hikes will come at a "measured" or gradual pace. Although this environment provided a solid foundation for the financial markets, the stock market was unsettled by external events such as the fall presidential election, renewed terror threats and continued fighting in Iraq. As a result, many investors remained on the sidelines. The S&P 500 Index(1) and the Russell 3000 Index(2), two broad measures of US stock market performance, returned negative 0.18% and negative 0.60% respectively, over this six-month reporting period. The bond market encountered considerable volatility when job growth picked up in the spring and investors began to anticipate higher short-term interest rates. However, a shaky stock market and some weak economic data gave the bond market a boost in the final months of the period. LOOKING AHEAD Although the soft patch encountered by the economy during the summer months appears to be behind us, a meaningful acceleration of economic activity does not appear to be in the works. In fact, leading economic indicators suggest that growth remains in line with the economy's long-term average. Job growth has become increasingly important to the outlook for consumer income and spending, and there the trend is encouraging. Although monthly data has been volatile over the past year, year-over-year data shows that payroll growth has swung from a decline of 1% to 2% in 2002 to an increase of 1% in 2004. Barring significant signs of economic slowdown the Fed is expected to raise rates another quarter percent at the November 10th meeting. Although long-term Treasury yields have declined in recent months, we expect them to move higher once the Fed completes its cycle of short-term rate increases. We expect to see short-term rates rise to 3% to 4%. We expect the outlook for the stock market to improve if and when some of the current uncertainties are resolved. Certainly if the price of oil retreats from its current high level, it would take some pressure off consumers and the market would be one of the likely beneficiaries. SERVING YOUR SHORT-TERM INVESTMENT NEEDS We are committed to providing competitive products and services for your short-term investment and cash management needs. Nations Funds money market funds are managed daily by teams of investment professionals, giving you convenient access to major sectors of the money markets. Dedicated marketing efforts consistently focus on new ways to make doing business easier. Our Nations Funds' sales teams, intermediaries and client service center are available to assist you with day-to-day investment information. (1)The S&P 500 Index is an unmanaged index of 500 widely held common socks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (2)The Russell 3000 Index is an unmanaged index that tracks the performance of the 3,000 largest US companies based on total market capitalization. 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. We appreciate your business and thank you for choosing Nations Funds money market funds to help you with your short-term investment needs. [-s- WILLIAM P. CARMICHAEL] WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS [-S- KEITH T. BANKS] KEITH T. BANKS PRESIDENT OF NATIONS FUNDS PRESIDENT OF BANC OF AMERICA CAPITAL MANAGEMENT, LLC September 30, 2004 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. The information and data provided in this analysis are derived from sources that we deem to be reliable and accurate. The opinions expressed here are strictly those of the contributors and are subject to change without notice. TABLE OF CONTENTS DISCLOSURE OF FUND EXPENSES AND PORTFOLIO HOLDINGS Nations Cash Reserves 3 Nations Money Market Reserves 6 Nations Treasury Reserves 9 Nations Government Reserves 12 Nations Municipal Reserves 15 Nations Tax-Exempt Reserves 18 Nations California Tax-Exempt Reserves 21 Nations New York Tax-Exempt Reserves 24 FINANCIAL STATEMENTS Schedule of investments 27 Statements of assets and liabilities 104 Statements of operations 108 Statements of changes in net assets 110 Schedules of capital stock activity 114 Financial highlights 122 Notes to financial statements 150
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 2003.
[This page intentionally left blank] NATIONS CASH RESERVES SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. 3 NATIONS CASH RESERVES SHAREHOLDER EXPENSE EXAMPLE (CONTINUED)
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- CAPITAL CLASS Actual...................................................... $1,000.00 $1,005.60 $1.01 Hypothetical**.............................................. $1,000.00 $1,024.07 $1.01 INSTITUTIONAL CLASS Actual...................................................... $1,000.00 $1,005.40 $1.21 Hypothetical**.............................................. $1,000.00 $1,023.87 $1.22 TRUST CLASS Actual...................................................... $1,000.00 $1,005.10 $1.51 Hypothetical**.............................................. $1,000.00 $1,023.56 $1.52 LIQUIDITY CLASS Actual...................................................... $1,000.00 $1,004.90 $1.76 Hypothetical**.............................................. $1,000.00 $1,023.31 $1.78 ADVISER CLASS Actual...................................................... $1,000.00 $1,004.40 $2.26 Hypothetical**.............................................. $1,000.00 $1,022.81 $2.28 INVESTOR CLASS Actual...................................................... $1,000.00 $1,003.90 $2.76 Hypothetical**.............................................. $1,000.00 $1,022.31 $2.79 MARKET CLASS Actual...................................................... $1,000.00 $1,003.40 $3.26 Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29 DAILY CLASS Actual...................................................... $1,000.00 $1,002.60 $4.02 Hypothetical**.............................................. $1,000.00 $1,021.06 $4.05 SERVICE CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,020.05 $5.06 INVESTOR A Actual...................................................... $1,000.00 $1,003.40 $3.26 Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29 INVESTOR B Actual...................................................... $1,000.00 $1,001.30 $5.26 Hypothetical**.............................................. $1,000.00 $1,019.81 $5.31 INVESTOR C Actual...................................................... $1,000.00 $1,001.30 $5.42 Hypothetical**.............................................. $1,000.00 $1,019.65 $5.47 MARSICO Actual...................................................... $1,000.00 $1,003.90 $2.76 Hypothetical**.............................................. $1,000.00 $1,022.31 $2.79
--------------- * Expenses are equal to each class's annualized expense ratios (Capital Class 0.20%, Institutional Class 0.24%, Trust Class 0.30%, Liquidity Class 0.35%, Adviser Class 0.45%, Investor Class 0.55%, Market Class 0.65%, Daily Class 0.80%, Service Class 1.00%, Investor A 0.65%, Investor B 1.05%, Investor C 1.08% and Marsico 0.55%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. ***There were no investors in the Service Class at September 30, 2004. 4 NATIONS CASH RESERVES PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 29.2% Corporate obligations 28.0% U.S. government and agency obligations 20.0% Bank obligations 8.6% Repurchase agreements 4.4% Mortgage-backed securities 3.6% Extendable commercial notes 3.3% Asset-backed securities 2.3% Municipal bonds and notes 0.6% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 5 NATIONS MONEY MARKET RESERVES SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. 6 NATIONS MONEY MARKET RESERVES SHAREHOLDER EXPENSE EXAMPLE (CONTINUED)
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- CAPITAL CLASS Actual...................................................... $1,000.00 $1,005.60 $1.01 Hypothetical**.............................................. $1,000.00 $1,024.07 $1.01 INSTITUTIONAL CLASS Actual...................................................... $1,000.00 $1,005.40 $1.21 Hypothetical**.............................................. $1,000.00 $1,023.87 $1.22 TRUST CLASS Actual...................................................... $1,000.00 $1,005.10 $1.51 Hypothetical**.............................................. $1,000.00 $1,023.56 $1.52 LIQUIDITY CLASS Actual...................................................... $1,000.00 $1,004.80 $1.76 Hypothetical**.............................................. $1,000.00 $1,023.31 $1.78 ADVISER CLASS Actual...................................................... $1,000.00 $1,004.30 $2.26 Hypothetical**.............................................. $1,000.00 $1,022.81 $2.28 INVESTOR CLASS Actual...................................................... $1,000.00 $1,003.80 $2.76 Hypothetical**.............................................. $1,000.00 $1,022.31 $2.79 MARKET CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29 DAILY CLASS Actual...................................................... $1,000.00 $1,002.50 $4.02 Hypothetical**.............................................. $1,000.00 $1,021.06 $4.05 SERVICE CLASS Actual...................................................... $1,000.00 $1,001.80 $4.66 Hypothetical**.............................................. $1,000.00 $1,020.42 $4.70 INVESTOR B Actual...................................................... $1,000.00 $1,001.30 $5.18 Hypothetical**.............................................. $1,000.00 $1,019.89 $5.23 INVESTOR C Actual...................................................... $1,000.00 $1,001.30 $5.17 Hypothetical**.............................................. $1,000.00 $1,019.90 $5.22
--------------- * Expenses are equal to each class's annualized expense ratios (Capital Class 0.20%, Institutional Class 0.24%, Trust Class 0.30%, Liquidity Class 0.35%, Adviser Class 0.45%, Investor Class 0.55%, Market Class 0.65%, Daily Class 0.80%, Service Class 0.93%, Investor B 1.03% and Investor C 1.03%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). ** Assumed 5% return per year before expenses. ***There were no investors in the Market Class at September 30, 2004. 7 NATIONS MONEY MARKET RESERVES PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 31.1% U.S. government and agency obligations 29.4% Corporate obligations 20.8% Bank obligations 5.7% Repurchase agreements 5.1% Mortgage-backed securities 4.2% Municipal bonds and notes 3.4% Extendable commercial notes 0.3% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 8 NATIONS TREASURY RESERVES SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. 9 NATIONS TREASURY RESERVES SHAREHOLDER EXPENSE EXAMPLE (CONTINUED)
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- CAPITAL CLASS Actual...................................................... $1,000.00 $1,005.20 $1.01 Hypothetical**.............................................. $1,000.00 $1,024.07 $1.01 INSTITUTIONAL CLASS Actual...................................................... $1,000.00 $1,005.00 $1.21 Hypothetical**.............................................. $1,000.00 $1,023.87 $1.22 TRUST CLASS Actual...................................................... $1,000.00 $1,004.70 $1.51 Hypothetical**.............................................. $1,000.00 $1,023.56 $1.52 LIQUIDITY CLASS Actual...................................................... $1,000.00 $1,004.40 $1.76 Hypothetical**.............................................. $1,000.00 $1,023.31 $1.78 ADVISER CLASS Actual...................................................... $1,000.00 $1,003.90 $2.26 Hypothetical**.............................................. $1,000.00 $1,022.81 $2.28 INVESTOR CLASS Actual...................................................... $1,000.00 $1,003.40 $2.76 Hypothetical**.............................................. $1,000.00 $1,022.31 $2.79 MARKET CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29 DAILY CLASS Actual...................................................... $1,000.00 $1,002.20 $3.99 Hypothetical**.............................................. $1,000.00 $1,021.08 $4.03 SERVICE CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,020.05 $5.06 INVESTOR A Actual...................................................... $1,000.00 $1,002.90 $3.26 Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29 INVESTOR B Actual...................................................... $1,000.00 $1,001.30 $4.87 Hypothetical**.............................................. $1,000.00 $1,020.20 $4.92 INVESTOR C*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,018.55 $6.58
--------------- * Expenses are equal to each class's annualized expense ratios (Capital Class 0.20%, Institutional Class 0.24%, Trust Class 0.30%, Liquidity Class 0.35%, Adviser Class 0.45%, Investor Class 0.55%, Market Class 0.65%, Daily Class 0.80%, Service Class 1.00%, Investor A 0.65%, Investor B 0.97% and Investor C 1.30%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). ** Assumed 5% return per year before expenses. ***There were no investors in Market Class, Service Class and Investor C at September 30, 2004. 10 NATIONS TREASURY RESERVES PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 68.3% Repurchase agreements 31.6% U.S. treasury obligations 0.1% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 11 NATIONS GOVERNMENT RESERVES SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. 12 NATIONS GOVERNMENT RESERVES SHAREHOLDER EXPENSE EXAMPLE (CONTINUED)
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- CAPITAL CLASS Actual...................................................... $1,000.00 $1,005.40 $1.01 Hypothetical**.............................................. $1,000.00 $1,024.07 $1.01 INSTITUTIONAL CLASS Actual...................................................... $1,000.00 $1,005.20 $1.21 Hypothetical**.............................................. $1,000.00 $1,023.87 $1.22 TRUST CLASS Actual...................................................... $1,000.00 $1,004.90 $1.51 Hypothetical**.............................................. $1,000.00 $1,023.56 $1.52 LIQUIDITY CLASS Actual...................................................... $1,000.00 $1,004.70 $1.76 Hypothetical**.............................................. $1,000.00 $1,023.31 $1.78 ADVISER CLASS Actual...................................................... $1,000.00 $1,004.10 $2.26 Hypothetical**.............................................. $1,000.00 $1,022.81 $2.28 INVESTOR CLASS Actual...................................................... $1,000.00 $1,003.60 $2.76 Hypothetical**.............................................. $1,000.00 $1,022.31 $2.79 MARKET CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29 DAILY CLASS Actual...................................................... $1,000.00 $1,002.40 $4.02 Hypothetical**.............................................. $1,000.00 $1,021.06 $4.05 SERVICE CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,020.05 $5.06 INVESTOR A Actual...................................................... $1,000.00 $1,003.10 $3.26 Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29 INVESTOR B Actual...................................................... $1,000.00 $1,001.30 $5.06 Hypothetical**.............................................. $1,000.00 $1,020.01 $5.11 INVESTOR C*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,018.55 $6.58
--------------- * Expenses are equal to each class's annualized expense ratios (Capital Class 0.20%, Institutional Class 0.24%, Trust Class 0.30%, Liquidity Class 0.35%, Adviser Class 0.45%, Investor Class 0.55%, Market Class 0.65%, Daily Class 0.80%, Service Class 1.00%, Investor A 0.65%, Investor B 1.01% and Investor C 1.30%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). ** Assumed 5% return per year before expenses. ***There were no investors in Market Class, Service Class and Investor C at September 30, 2004. 13 NATIONS GOVERNMENT RESERVES PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 100.0% U.S. government and agency obligations
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 14 NATIONS MUNICIPAL RESERVES SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. 15 NATIONS MUNICIPAL RESERVES SHAREHOLDER EXPENSE EXAMPLE (CONTINUED)
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- CAPITAL CLASS Actual...................................................... $1,000.00 $1,004.80 $1.01 Hypothetical**.............................................. $1,000.00 $1,024.07 $1.01 INSTITUTIONAL CLASS Actual...................................................... $1,000.00 $1,004.60 $1.21 Hypothetical**.............................................. $1,000.00 $1,023.87 $1.22 TRUST CLASS Actual...................................................... $1,000.00 $1,004.30 $1.51 Hypothetical**.............................................. $1,000.00 $1,023.56 $1.52 LIQUIDITY CLASS Actual...................................................... $1,000.00 $1,004.10 $1.76 Hypothetical**.............................................. $1,000.00 $1,023.31 $1.78 ADVISER CLASS Actual...................................................... $1,000.00 $1,003.60 $2.26 Hypothetical**.............................................. $1,000.00 $1,022.81 $2.28 INVESTOR CLASS Actual...................................................... $1,000.00 $1,003.10 $2.76 Hypothetical**.............................................. $1,000.00 $1,022.31 $2.79 MARKET CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29 DAILY CLASS Actual...................................................... $1,000.00 $1,001.80 $4.01 Hypothetical**.............................................. $1,000.00 $1,021.06 $4.05 SERVICE CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,020.05 $5.06 INVESTOR B Actual...................................................... $1,000.00 $1,000.80 $4.92 Hypothetical**.............................................. $1,000.00 $1,020.16 $4.96 INVESTOR C Actual...................................................... $1,000.00 $1,000.80 $4.72 Hypothetical**.............................................. $1,000.00 $1,020.35 $4.77
--------------- * Expenses are equal to each class's annualized expense ratios (Capital Class 0.20%, Institutional Class 0.24%, Trust Class 0.30%, Liquidity Class 0.35%, Adviser Class 0.45%, Investor Class 0.55%, Market Class 0.65%, Daily Class 0.80%, Service Class 1.00%, Investor B 0.98% and Investor C 0.94%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). ** Assumed 5% return per year before expenses. ***There were no investors in Market Class and Service Class at September 30, 2004. 16 NATIONS MUNICIPAL RESERVES PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 67.1% Variable rate demand notes 23.6% Commercial paper 7.9% Tax-exempt notes and bonds 1.4% Put bonds
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 17 NATIONS TAX-EXEMPT RESERVES SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. 18 NATIONS TAX-EXEMPT RESERVES SHAREHOLDER EXPENSE EXAMPLE (CONTINUED)
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- CAPITAL CLASS Actual...................................................... $1,000.00 $1,004.70 $1.01 Hypothetical**.............................................. $1,000.00 $1,024.07 $1.01 INSTITUTIONAL CLASS Actual...................................................... $1,000.00 $1,004.50 $1.21 Hypothetical**.............................................. $1,000.00 $1,023.87 $1.22 TRUST CLASS Actual...................................................... $1,000.00 $1,004.20 $1.51 Hypothetical**.............................................. $1,000.00 $1,023.56 $1.52 LIQUIDITY CLASS Actual...................................................... $1,000.00 $1,003.90 $1.76 Hypothetical**.............................................. $1,000.00 $1,023.31 $1.78 ADVISER CLASS Actual...................................................... $1,000.00 $1,003.40 $2.26 Hypothetical**.............................................. $1,000.00 $1,022.81 $2.28 INVESTOR CLASS Actual...................................................... $1,000.00 $1,002.90 $2.76 Hypothetical**.............................................. $1,000.00 $1,022.31 $2.79 DAILY CLASS Actual...................................................... $1,000.00 $1,001.70 $4.01 Hypothetical**.............................................. $1,000.00 $1,021.06 $4.05 INVESTOR A Actual...................................................... $1,000.00 $1,002.40 $3.26 Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29
--------------- * Expenses are equal to each class's annualized expense ratios (Capital Class 0.20%, Institutional Class 0.24%, Trust Class 0.30%, Liquidity Class 0.35%, Adviser Class 0.45%, Investor Class 0.55%, Daily Class 0.80%, and Investor A 0.65%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 19 NATIONS TAX-EXEMPT RESERVES PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 70.6% Variable rate demand notes 17.4% Commercial paper 11.4% Tax-exempt notes and bonds 0.6% Put bonds
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 20 NATIONS CALIFORNIA TAX-EXEMPT RESERVES SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. 21 NATIONS CALIFORNIA TAX-EXEMPT RESERVES SHAREHOLDER EXPENSE EXAMPLE (CONTINUED)
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- CAPITAL CLASS Actual...................................................... $1,000.00 $1,004.60 $1.01 Hypothetical**.............................................. $1,000.00 $1,024.07 $1.01 INSTITUTIONAL CLASS Actual...................................................... $1,000.00 $1,004.40 $1.21 Hypothetical**.............................................. $1,000.00 $1,023.87 $1.22 TRUST CLASS Actual...................................................... $1,000.00 $1,004.10 $1.51 Hypothetical**.............................................. $1,000.00 $1,023.56 $1.52 LIQUIDITY CLASS Actual...................................................... $1,000.00 $1,003.90 $1.76 Hypothetical**.............................................. $1,000.00 $1,023.31 $1.78 ADVISER CLASS Actual...................................................... $1,000.00 $1,003.40 $2.26 Hypothetical**.............................................. $1,000.00 $1,022.81 $2.28 INVESTOR CLASS Actual...................................................... $1,000.00 $1,002.90 $2.76 Hypothetical**.............................................. $1,000.00 $1,022.31 $2.79 DAILY CLASS Actual...................................................... $1,000.00 $1,001.60 $4.01 Hypothetical**.............................................. $1,000.00 $1,021.06 $4.05 INVESTOR B Actual...................................................... $1,000.00 $1,000.80 $4.76 Hypothetical**.............................................. $1,000.00 $1,020.31 $4.81 INVESTOR C*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,020.85 $4.27
--------------- * Expenses are equal to each class's annualized expense ratios (Capital Class 0.20%, Institutional Class 0.24%, Trust Class 0.30%, Liquidity Class 0.35%, Adviser Class 0.45%, Investor Class 0.55%, Daily Class 0.80%, Investor B 0.95% and Investor C 0.84%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). ** Assumed 5% return per year before expenses. ***There were no investors in Investor C at September 30, 2004. 22 NATIONS CALIFORNIA TAX-EXEMPT RESERVES PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 68.2% Variable rate demand notes 20.5% Commercial paper 10.4% Tax-exempt notes and bonds 0.9% Put bonds
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 23 NATIONS NEW YORK TAX-EXEMPT RESERVES SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. 24 NATIONS NEW YORK TAX-EXEMPT RESERVES SHAREHOLDER EXPENSE EXAMPLE (CONTINUED)
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- CAPITAL CLASS Actual...................................................... $1,000.00 $1,004.80 $1.01 Hypothetical**.............................................. $1,000.00 $1,024.07 $1.01 INSTITUTIONAL CLASS Actual...................................................... $1,000.00 $1,004.60 $1.21 Hypothetical**.............................................. $1,000.00 $1,023.87 $1.22 TRUST CLASS Actual...................................................... $1,000.00 $1,004.30 $1.51 Hypothetical**.............................................. $1,000.00 $1,023.56 $1.52 LIQUIDITY CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,023.31 $1.78 ADVISER CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,022.81 $2.28 INVESTOR CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,022.31 $2.79 MARKET CLASS Actual...................................................... $1,000.00 $1,002.60 $3.26 Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29 DAILY CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,021.06 $4.05 SERVICE CLASS*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,020.05 $5.06 INVESTOR B*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,018.55 $6.58 INVESTOR C*** Actual...................................................... $1,000.00 n/a n/a Hypothetical**.............................................. $1,000.00 $1,018.55 $6.58
--------------- * Expenses are equal to each class's annualized expense ratios (Capital Class 0.20%, Institutional Class 0.24%, Trust Class 0.30%, Liquidity Class 0.35%, Adviser Class 0.45%, Investor Class 0.55%, Market Class 0.65%, Daily Class 0.80%, Service Class 1.00%, Investor B 1.30% and Investor C 1.30%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). ** Assumed 5% return per year before expenses. ***There were no investors in Liquidity Class, Adviser Class, Investor Class, Daily Class, Service Class, Investor B and Investor C at September 30, 2004. 25 NATIONS NEW YORK TAX-EXEMPT RESERVES PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 62.6% Variable rate demand notes 23.1% Commercial paper 14.3% Tax-exempt notes and bonds
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 26 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES -- 3.3% ASSET-BACKED -- AUTO LOANS -- 1.0% $ 14,403 Americredit Automobile Receivables Trust, Series 2004-AF, Class A1, 1.080% 02/07/05............................................. $ 14,403 12,049 Americredit Automobile Receivables Trust, Series 2004-BM, Class A1 1.060% 04/06/05............................................. 12,049 40,000 Americredit Automobile Receivables Trust, Series 2004-CA, Class A1, 1.765% 09/06/05............................................. 40,000 3,477 Capital One Prime Auto Receivables Trust, Series 2004-1, Class A1, 1.100% 02/15/05............................................. 3,477 7,131 Chase Manhattan Auto Owner Trust, Series 2004-A, Class A1, 1.080% 03/15/05............................................. 7,131 9,009 National City Auto Receivables Trust, Series 2004-A, Class A1, 1.100% 02/15/05............................................. 9,009 19,350 Nissan Auto Lease Trust, Series 2004-A, Class A1, 1.070% 03/15/05............................................. 19,350 175,000 Nissan Auto Receivables Owner Trust, Series 2004-C, Class A1, 1.930% 09/15/05............................................. 174,999 120,000 Volkswagen Auto Lease Trust, Series 2004-A, Class A1, 1.999% 09/20/05............................................. 120,000 135,000 Wachovia Auto Owner Trust, Series 2004-B, Class A1, 1.813% 09/20/05............................................. 134,999 7,271 Wells Fargo Financial Auto Owner Trust, Series 2004-A, Class A1 1.073% 03/15/05............................................. 7,271 ----------- 542,688 ----------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.1% 74,791 GSAMP Trust, Series 2004-AR2, Class A3A, 1.990%& 10/27/04&&.......................................... 74,791 ----------- ASSET-BACKED -- OTHER -- 2.2% 688 CNH Equipment Trust, Series 2003-B, Class A1, 1.230% 12/13/04............................................. 688 150,000 Davis Square Funding, Ltd., Series 2003-1A, Class A1E, 1.849%& 10/18/04&&@@........................................ 150,000 37,547 G-Star Ltd., Series 2002-2A, Class A1MB, 1.900%& 10/27/04&&@@........................................ 37,547
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ ASSET-BACKED -- OTHER -- (CONTINUED) $ 13,391 John Deere Owner Trust, Series 2004-A, Class A1, 1.140% 05/13/05............................................. $ 13,391 3,310 Navistar Financial Corporation Owner Trust, Series 2004-A, Class A1, 1.080% 04/15/05............................................. 3,310 175,000 Newcastle CDO, Ltd., Series 3A, Class 1MM, 1.870%& 10/25/04&&@@........................................ 175,000 245,000 Phoenix-Mistic CBO, Ltd., Series 2002-1A, Class A1A, 2.130%& 03/15/05@@.......................................... 245,040 40,000 Phoenix-Mistic CBO, Ltd., Series 2002-1A, Class A1B2, 2.130%& 03/15/05&&@@........................................ 40,000 50,000 Putnam Structured Product CDO, Series 2001-1A, Class A1MB, 1.840%& 11/25/04@@.......................................... 50,000 101,000 Putnam Structured Product CDO, Series 2002-1A, Class A1D, 1.840%& 10/12/04&&@@........................................ 101,000 127,213 TIAA Commercial Real Estate Securitization, Series 2003-1A, Class A, 1.870%& 10/28/04&&@@........................................ 127,213 90,000 Whitehawk CDO Funding, Ltd., Series 2004-1A, Class AMMB, 1.805%& 12/15/04&&#......................................... 90,000 121,400 Winston Funding Ltd., Series 2003-1, Class A1MB, 1.690%& 10/25/04&&@@........................................ 121,400 ----------- 1,154,589 ----------- TOTAL ASSET-BACKED SECURITIES (Cost $1,772,068)........................................... 1,772,068 ----------- BANK OBLIGATIONS -- 20.0% BANK NOTES -- 4.0% American Express Centurion Bank 100,000 1.710%& 10/12/04&&.......................................... 100,000 250,000 1.739%& 10/18/04&&.......................................... 249,969 200,000 1.788%& 10/22/04............................................ 200,000 100,000 1.800%& 10/29/04&&.......................................... 99,987 100,000 Amsouth Bank N.A. 1.795%& 10/01/04&&.......................................... 99,989 200,000 Fifth Third Bank 1.800%& 10/01/04&&.......................................... 199,989 426,257 Key Bank, N.A. 1.950% 10/01/04............................................. 426,257 770,000 Wells Fargo Bank N.A., (San Francisco) 1.790%& 10/01/04&&.......................................... 769,999 ----------- 2,146,190 -----------
SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ CERTIFICATES OF DEPOSIT -- DOMESTIC -- 1.3% $ 160,000 Chase Manhattan Bank USA N.A. 1.700%& 10/12/04&&.......................................... $ 160,000 50,000 National Bank of Commerce, (Tennessee) 1.810%& 10/01/04&&.......................................... 49,987 185,000 Wachovia Bank N.A. 1.800%& 10/01/04&&.......................................... 185,000 283,000 Wells Fargo Bank N.A. 1.790%& 10/01/04&&.......................................... 282,992 ----------- 677,979 ----------- CERTIFICATES OF DEPOSIT -- EURO -- 0.7% 350,000 Calyon, (New York) 1.800% 01/19/05............................................. 350,000 ----------- CERTIFICATES OF DEPOSIT -- YANKEE -- 10.1% 300,000 Banque National De Paris (New York) 1.793%& 10/01/04&&.......................................... 299,963 Barclays Bank plc, (New York) 300,000 1.780%& 10/01/04&&.......................................... 299,980 250,000 1.800%& 10/01/04&&.......................................... 249,983 540,000 1.800%& 10/01/04&&.......................................... 539,993 Credit Agricole Indosuez, (New York) 40,000 1.795%& 10/01/04&&.......................................... 39,997 250,000 1.795%& 10/01/04&&.......................................... 249,968 100,000 1.828%& 10/01/04&&.......................................... 100,000 500,000 1.713%& 10/17/04&&.......................................... 499,931 250,000 1.465% 11/17/04............................................. 249,997 Credit Suisse First Boston, (New York) 200,000 1.791%& 10/20/04&&.......................................... 200,000 385,000 1.550%& 01/05/05&&.......................................... 384,961 250,000 2.445% 10/07/05............................................. 250,000 75,000 Danske Bank, (New York) 1.860%& 12/23/04............................................ 74,995 700,000 Deutsche Bank AG, (New York) 1.730%& 10/20/04&&@@........................................ 700,000 50,000 Nordea Bank Finland plc, (New York) 1.700%& 10/13/04&&.......................................... 49,998 Societe Generale, (New York) 350,000 1.675%& 10/12/04&&.......................................... 349,976 200,000 1.500% 11/19/04............................................. 200,000 165,000 Swedbank (New York) 1.765%& 10/21/04&&.......................................... 164,992 340,000 Toronto Dominion Bank, (New York) 2.350% 09/08/05............................................. 339,921 200,000 Unicredito Italiano, (New York) 2.365% 09/12/05............................................. 199,953 ----------- 5,444,608 -----------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ PROMISSORY NOTES -- 1.1% $ 510,000 Goldman Sachs Group Inc. 1.810%& 10/13/04&&@@........................................ $ 510,000 100,000 Saturn Ventures II Inc. 1.766%& 10/07/04&&@@........................................ 100,000 ----------- 610,000 ----------- TIME DEPOSITS -- EURO -- 2.8% 800,000 Societe Generale 1.875% 10/01/04............................................. 800,000 700,000 SunTrust Bank 1.950% 10/01/04............................................. 700,000 ----------- 1,500,000 ----------- TOTAL BANK OBLIGATIONS (Cost $10,728,777).......................................... 10,728,777 ----------- CORPORATE OBLIGATIONS -- 29.2% COMMERCIAL PAPER -- 15.6% Amstel Funding Corporation 242,162 Discount note 10/06/04#..................................... 242,111 92,947 Discount note 10/07/04#..................................... 92,924 Aspen Funding Corporation 225,000 Discount note 11/23/04#..................................... 224,397 100,000 Discount note 02/10/05#..................................... 99,358 Atlantis One Funding 147,631 Discount note 10/06/04#..................................... 147,600 70,000 Discount note 10/14/04#..................................... 69,960 91,552 Discount note 10/18/04#..................................... 91,486 162,184 Discount note 01/10/05#..................................... 161,365 59,564 Discount note 01/13/05#..................................... 59,254 75,171 Discount note 01/18/05#..................................... 74,764 107,000 Discount note 01/20/05#..................................... 106,409 119,605 Discount note 02/15/05#..................................... 118,804 Bavaria TRR Corporation 173,500 Discount note 10/15/04#..................................... 173,381 288,378 Discount note 10/20/04#..................................... 288,103 80,000 Bear Stearns Companies Inc. 2.125%& 10/01/04&&.......................................... 80,087 Charta LLC 100,000 Discount note 10/19/04#..................................... 99,924 50,000 Discount note 11/18/04#..................................... 49,879 75,000 Discount note 11/22/04#..................................... 74,802 50,000 Citigroup Global Markets Discount note 10/21/04...................................... 49,951 28,000 CXC LLC Discount note 10/13/04#..................................... 27,986 Edison Asset Securitization LLC 60,000 Discount note 10/15/04#..................................... 59,965 50,000 Discount note 02/07/05#..................................... 49,683 Eiffel Funding LLC 50,000 Discount note 10/12/04#..................................... 49,977 25,000 Discount note 11/12/04#..................................... 24,947 25,000 Discount note 11/15/04#..................................... 24,943 Fairway Finance Corporation 55,224 Discount note 10/15/04#..................................... 55,191 77,748 Discount note 10/20/04#..................................... 77,676 75,000 1.790%& 10/27/04&&#......................................... 74,999 52,117 Discount note 11/18/04#..................................... 51,991
SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ COMMERCIAL PAPER -- (CONTINUED) $ 29,074 Discount note 11/22/04#..................................... $ 28,998 Gemini Securitization Corporation 25,000 Discount note 10/12/04#..................................... 24,988 50,000 Discount note 02/10/05#..................................... 49,679 75,000 Discount note 10/15/04#..................................... 74,956 General Electric Capital Corporation 240,000 Discount note 10/12/04...................................... 239,890 120,000 Discount note 11/17/04...................................... 119,715 200,000 Discount note 11/18/04...................................... 199,515 200,000 General Electric Capital Services Discount note 02/09/05...................................... 198,726 GIRO Balanced Funding Corporation 50,000 Discount note 10/07/04#..................................... 49,987 54,756 Discount note 10/28/04#..................................... 54,684 57,233 Discount note 01/18/05#..................................... 56,920 83,424 GIRO Funding US Corporation Discount note 10/05/04#..................................... 83,410 Goldman Sachs Group, Inc. 200,000 1.768%& 10/18/04&&.......................................... 200,000 170,000 1.590%& 10/19/04&&.......................................... 170,000 Grampian Funding LLC 96,000 Discount note 10/04/04#..................................... 95,988 300,000 Discount note 10/14/04#..................................... 299,834 225,000 Discount note 10/20/04#..................................... 224,792 200,000 Discount note 11/19/04#..................................... 199,548 71,000 Greenwich Capital Holdings 1.800%& 10/28/04&&.......................................... 71,000 Greyhawk Funding LLC 175,000 Discount note 10/14/04#..................................... 174,904 79,000 Discount note 11/18/04#..................................... 78,809 182,000 Discount note 11/19/04#..................................... 181,552 Harrier Finance Funding US LLC 50,000 Discount note 10/25/04...................................... 49,948 22,000 Discount note 12/13/04...................................... 21,916 43,000 Discount note 12/15/04...................................... 42,832 14,500 Discount note 12/23/04...................................... 14,437 HBOS Treasury Services plc 100,000 Discount note 10/14/04...................................... 99,945 195,000 Discount note 02/10/05...................................... 193,756 75,000 Discount note 02/11/05...................................... 74,504 140,000 Jupiter Securitization Corporation Discount note 10/19/04#..................................... 139,877 40,000 K2 (USA) LLC Discount note 02/11/05...................................... 39,737 Lake Constance Funding LLC 5,000 Discount note 10/27/04#..................................... 4,994 41,000 Discount note 11/08/04#..................................... 40,929 Leafs LLC 150,000 1.821%& 10/20/04&&@@........................................ 150,000 165,000 1.821%& 10/20/04&&@@........................................ 165,000 Mane Funding Corporation 40,000 Discount note 10/18/04#..................................... 39,971 50,000 Discount note 01/19/05#..................................... 49,723 MOAT Funding LLC 100,000 Discount note 10/06/04#..................................... 99,979 100,000 Discount note 10/13/04#..................................... 99,950 200,000 Discount note 01/07/05#..................................... 199,025
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ COMMERCIAL PAPER -- (CONTINUED) $ 100,000 Discount note 01/11/05#..................................... $ 99,496 100,000 Discount note 02/07/05#..................................... 99,366 50,000 Mont Blanc Capital Corporation Discount note 10/20/04#..................................... 49,954 100,000 Newport Funding Corporation Discount note 02/10/05#..................................... 99,362 25,000 Northern Rock plc Discount note 10/20/04#..................................... 24,980 40,000 Rathgar Capital U.S. Corporation 1.550%& 10/14/04&&#......................................... 40,000 Scaldis Capital LLC 40,000 Discount note 10/12/04#..................................... 39,982 180,000 Discount note 10/15/04#..................................... 179,894 18,500 Sedna Financing Inc. Discount note 10/18/04...................................... 18,485 65,040 Sheffield Receivables Discount note 10/18/04#..................................... 64,986 100,000 Sigma Finance Inc. Discount note 10/07/04...................................... 99,975 Strips III LLC 40,531 1.890%& 10/25/04&&.......................................... 40,531 52,437 1.890%& 10/25/04&&#......................................... 52,437 Sunbelt Funding Corporation 121,278 Discount note 11/09/04#..................................... 121,039 88,560 Discount note 11/16/04#..................................... 88,353 19,724 Thames Asset Global Securitization Discount note 11/16/04#..................................... 19,678 50,000 White Pine Finance LLC 1.810%& 10/18/04&&#......................................... 49,998 ----------- 8,394,851 ----------- CORPORATE BONDS AND NOTES -- 13.6% 1,605 2320 Properties LLC 1.840%& 10/07/04&&#......................................... 1,605 2,750 2440 LLC 1.840%& 10/07/04&&#......................................... 2,750 330 4-L Co of Carmel 1.870%& 10/07/04&&.......................................... 330 3,415 Acme Paper & Supply Company 1.960%& 10/07/04&&#......................................... 3,415 300,000 American Express Credit Corporation 1.746%& 11/05/04&&.......................................... 300,000 9,260 Arogas Inc. 1.890%& 10/07/04&&#......................................... 9,260 3,930 Atlanta Bread Company 1.890%& 10/07/04&&.......................................... 3,930 1,750 Avatar Corporation 1.840%& 10/07/04&&#......................................... 1,750 125,000 Bank of New York Company, Inc. 1.860%& 10/27/04&&#......................................... 125,000 Bear Stearns Companies Inc. 19,550 2.425%& 10/01/04&&.......................................... 19,556 15,000 2.285%& 12/20/04&&.......................................... 15,028 4,745 Berkeley Realty Company LLC 1.940%& 10/07/04&&.......................................... 4,745
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) $ 4,380 Berks Medical Realty LP 1.890%& 10/07/04&&#......................................... $ 4,380 1,060 Bracalente Manufacturing 1.990%& 10/07/04&&.......................................... 1,060 5,640 Brewster Dairy Inc. 1.890%& 10/07/04&&.......................................... 5,640 1,450 Brookville Enterprises 1.940%& 10/07/04&&.......................................... 1,450 4,650 Brookwood Baptist Church 1.940%& 10/07/04&&.......................................... 4,650 1,400 Canal Pointe LLC 1.840%& 10/07/04&&#......................................... 1,400 90,000 Caterpillar Finance Service Corporation 1.940%& 12/01/04&&.......................................... 90,000 7,800 Caterpillar Real Estate Holding LLC 2.150%& 10/01/04&&.......................................... 7,800 7,200 Chatham Capital Corporation 1.790%& 10/07/04&&.......................................... 7,200 10,000 Citigroup Global Markets 2.110%& 12/20/04&&.......................................... 10,011 5,190 Clinic Building LLC Project 1.890%& 10/07/04&&.......................................... 5,190 1,525 Cole Investments LLC 1.840%& 10/07/04&&.......................................... 1,525 2,300 Colortech Inc. 1.870%& 10/07/04&&.......................................... 2,300 1,475 Commodore Medical Services 1.840%& 10/07/04&&.......................................... 1,475 14,070 Conestoga Wood Specialty 1.870%& 10/07/04&&#......................................... 14,070 5,895 Cornell Iron Works Inc. 1.890%& 10/07/04&&.......................................... 5,895 Credit Suisse First Boston USA Inc. 21,900 2.050%& 10/14/04&&.......................................... 21,930 90,000 2.111%& 11/15/04............................................ 90,047 5,000 Crosspoint Community Church 1.940%& 10/07/04&&.......................................... 5,000 2,800 Cumberland College 1.840%& 10/07/04&&.......................................... 2,800 2,140 DAPSCO Inc. 1.840%& 10/07/04&&#......................................... 2,140 3,775 Defiance Metal Company 1.950%& 10/07/04&&.......................................... 3,775 3,000 Derby Fabricating LLC 1.840%& 10/07/04&&.......................................... 3,000 280,000 Descartes Funding 1.760%& 10/15/04&&@@........................................ 280,000 8,155 DJD Investments LLC 1.940%& 10/07/04&&.......................................... 8,155 14,740 Driftwood Landing Corporation 1.890%& 10/07/04&&.......................................... 14,740 7,800 Eastridge Christian Assessment 1.890%& 10/07/04&&.......................................... 7,800 4,315 EB & B Properties LLC 2.100%& 10/01/04&&.......................................... 4,315
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) $ 5,798 Edgewater Partners LP 1.940%& 10/07/04&&.......................................... $ 5,798 1,500 First United Pentecostal 1.940%& 10/07/04&&.......................................... 1,500 3,375 Florida Orthopedic Institute 1.940%& 10/07/04&&#......................................... 3,375 4,920 Galday Inn Inc. 1.940%& 10/07/04&&#......................................... 4,920 13,750 Garlands of Barrington 1.840%& 10/07/04&&.......................................... 13,750 20,000 General Electric Capital Corporation 2.060%& 10/01/04&&#......................................... 20,024 104,000 Goldman Sachs Group, Inc., Series B 1.931%& 11/16/04............................................ 104,034 3,965 Greenbrier Partners LLC 1.890%& 10/07/04&&#......................................... 3,965 3,130 Han Sung Industries 1.940%& 10/07/04&&#......................................... 3,130 100,000 Harrier Finance Funding LLC 1.740%& 10/15/04&&#......................................... 99,991 255 Horizon Development Company LLC 1.870%& 10/06/04&&#......................................... 255 8,000 Hospital Laundry Services 1.910%& 10/07/04&&#......................................... 8,000 2,470 Imaging Business Mach LLC 1.940%& 10/07/04&&.......................................... 2,470 3,495 Jackson Tube Service Inc. 1.940%& 10/07/04&&#......................................... 3,495 7,160 James A. Martin and Donna F. Martin 1.890%& 10/07/04&&.......................................... 7,160 2,000 Johnson Bible College 1.940%& 10/07/04&&.......................................... 2,000 5,280 Johnson Research and Development 1.890%& 10/07/04&&#......................................... 5,280 50,000 JP Morgan Chase & Company, Series C 1.990%& 11/24/04&&.......................................... 50,062 205 JX Enterprises Group 1.870%& 10/07/04&&#......................................... 205 K2 (USA) LLC 100,000 1.776%& 10/20/04&&#......................................... 99,999 80,000 2.385% 09/13/05#............................................ 79,996 100,000 1.790%& 09/30/05#........................................... 99,990 8,500 Kinder Care Learning Center 2.150%& 10/06/04&&#......................................... 8,500 13,250 King & Prince Seafood 1.840%& 10/01/04&&.......................................... 13,250 2,800 L & H Holdings LLC 2.150%& 10/01/04&&.......................................... 2,800 13,710 L.E. Pope Building Company 1.890%& 10/07/04&&#......................................... 13,710
SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) Links Finance LLC $ 110,000 1.800%& 10/01/04&&#......................................... $ 109,967 150,000 1.810%& 10/27/04&&#......................................... 150,000 75,000 1.730%& 11/26/04&&#......................................... 75,010 275,000 2.180% 07/15/05#............................................ 274,978 3,185 Long Term Capital LLC 2.050%& 10/01/04&&.......................................... 3,185 50,700 LP Pinewood SPV 1.840%& 10/07/04&&.......................................... 50,700 195 Macatawa Bank Corporation 2.010%& 10/07/04&&.......................................... 195 4,150 Mark-Lynn Foods 1.890%& 10/07/04&&.......................................... 4,150 400 Massachusetts Nursing 1.840%& 10/06/04&&.......................................... 400 1,600 Max Daetwyler Corporation 2.010%& 10/07/04&&#......................................... 1,600 Merrill Lynch and Company, Inc., MTN, Series C 300,000 1.600%& 10/01/04&&.......................................... 300,000 200,000 1.660%& 11/17/04&&.......................................... 200,000 325,000 1.730%& 12/01/04&&.......................................... 325,000 185,730 Merrill Lynch and Company, Inc., Series B 1.970%& 11/26/04&&.......................................... 185,896 5,856 Michael J Barry 1.940%& 10/07/04&&.......................................... 5,856 2,250 Midtown Church of Christ 2.150%& 10/01/04&&.......................................... 2,250 Morgan Stanley, MTN, Series C 400,000 1.880%& 10/15/04&&.......................................... 400,000 90,000 2.150%& 12/13/04............................................ 90,059 2,860 Multimetco Inc. 1.940%& 10/07/04&&.......................................... 2,860 4,545 Ness Family Partners LP 1.670%& 10/01/04&&.......................................... 4,545 100,000 Northern Rock plc 1.560%& 10/13/04&&#......................................... 100,000 7,500 Okolona Christ Church 1.890%& 10/07/04&&.......................................... 7,500 4,675 Pearlstine Distributors 2.000%& 10/01/04&&.......................................... 4,675 85,000 PNC Funding Corporation 2.045%& 10/29/04............................................ 85,026 Premier Asset LLC 75,000 1.813%& 10/07/04&&#......................................... 74,992 60,000 1.720%& 10/15/04&&#......................................... 60,000 50,000 1.771%& 10/20/04&&#......................................... 49,999 5,153 PRL Corporation 1.890%& 10/07/04&&.......................................... 5,153 50,000 Rathgar Capital U.S. Corporation 1.730%& 10/15/04&&#......................................... 50,000 1,605 RDR Investment Company 2.010%& 10/07/04&&.......................................... 1,605 1,140 Red Lion Evangelical Free Church 2.010%& 10/07/04&&.......................................... 1,140 1,760 Rehab of El Paso 1.720%& 10/01/04&&.......................................... 1,760
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) $ 35,000 RH Sheppard Company Inc. 1.840%& 10/07/04&&#......................................... $ 35,000 9,725 Robb and Stucky Ltd. 1.890%& 10/07/04&&#......................................... 9,725 3,000 Rogers Inc. 1.670%& 10/01/04&&.......................................... 3,000 6,000 RT Anderson LLC 1.910%& 10/07/04&&.......................................... 6,000 4,600 Sahtooma LLC 1.910%& 10/07/04&&#......................................... 4,600 7,100 Schlitz Park Associates II LP 1.930%& 10/01/04&&.......................................... 7,100 9,500 Shephard Family 1.890%& 10/07/04&&.......................................... 9,500 Sigma Finance Inc. 50,000 1.820%& 10/01/04&&#......................................... 50,000 200,000 1.840%& 10/01/04&&#......................................... 199,999 185,000 1.530%& 10/12/04#........................................... 184,999 450,000 1.710%& 10/12/04&&#......................................... 449,995 237,000 1.735%& 10/12/04&&#......................................... 237,002 100,000 1.600%& 10/27/04&&#......................................... 99,994 Sigma Finance Inc., MTN 250,000 1.710%& 10/15/04&&#......................................... 249,941 100,000 1.738%& 10/15/04&&#......................................... 99,976 SLM Corporation 100,000 1.680%& 10/01/04&&#......................................... 99,984 48,045 2.060%& 12/15/04&&.......................................... 48,151 188,000 2.496% 07/01/05............................................. 188,393 86,000 SMM Trust 2003-M 1.880%& 12/15/04#........................................... 86,000 5,990 SMM Trust 2004-G 1.925%& 12/03/04&&#......................................... 5,990 SMM Trust 2004-H 9,990 2.055%& 12/23/04&&#......................................... 9,990 114,000 1.930%& 09/23/05&&#......................................... 114,000 2,155 Somar LLC 2.010%& 10/07/04&&#......................................... 2,155 4,665 South Georgia Motor Sports Park 1.890%& 10/07/04&&.......................................... 4,665 20,000 Southtrust Bank N.A. 1.754%& 11/02/04&&.......................................... 20,012 20,000 St. George Wellness Center 1.840%& 10/06/04&&.......................................... 20,000 18,130 Suncoast Beverage Sales, Ltd. 1.870%& 10/07/04&&#......................................... 18,130 5,900 Supreme Beverage Company 1.940%& 10/07/04&&.......................................... 5,900 9,735 Tack Capital Company 1.840%& 10/07/04&&.......................................... 9,735 4,730 Talons Lake LLC 1.890%& 10/07/04&&.......................................... 4,730 Tango Finance Corporation 35,000 1.630%& 10/25/04#........................................... 35,000 60,000 1.805%& 10/27/04&&#......................................... 59,994 2,160 Temple Beth AHM 1.990%& 10/07/04&&.......................................... 2,160 5,825 TIM-BAR Corporation 1.910%& 10/06/04&&.......................................... 5,825
SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES -- (CONTINUED) $ 36,000 Toyota Motor Credit Corporation 1.798%& 10/12/04&&.......................................... $ 36,040 8,397 Turf Valley Inc. 1.890%& 10/07/04&&#......................................... 8,397 8,460 United Steel Deck Inc. 1.860%& 10/07/04&&#......................................... 8,460 15,210 Valleydale Baptist Church 1.940%& 10/07/04&&.......................................... 15,210 5,540 Venezia Enterprises 1.890%& 10/07/04&&#......................................... 5,540 440 Wallace Enterprises LP 1.870%& 10/07/04&&.......................................... 440 7,525 West Ridge Enterprises 1.910%& 10/06/04&&#......................................... 7,525 30,000 Whistlejacket Capital LLC 1.810%& 10/01/04&&#......................................... 29,994 85,000 Whistlejacket Capital Ltd. 1.820%& 10/01/04&&#......................................... 84,997 White Pine Finance LLC 107,000 1.810%& 10/01/04&&#......................................... 106,979 34,000 1.673%& 10/08/04&&#......................................... 33,991 120,000 1.715%& 10/15/04&&#......................................... 119,996 42,000 1.800%& 10/28/04&&.......................................... 41,996 2,925 Wilson Real Estate II 1.890%& 11/01/04&&.......................................... 2,925 ----------- 7,271,412 ----------- TOTAL CORPORATE OBLIGATIONS (Cost $15,666,263).......................................... 15,666,263 ----------- EXTENDABLE COMMERCIAL NOTES -- 3.6% 50,000 Ajax Bambino Funding Inc. Discount note 10/07/04#..................................... 49,987 Brahms Funding Corporation 43,850 Discount note 11/09/04#..................................... 43,762 37,350 Discount note 11/09/04#..................................... 37,275 Citibank Credit Card Issuance Trust 150,000 Discount note 10/19/04#..................................... 149,868 100,000 Discount note 10/20/04#..................................... 99,907 100,000 Discount note 11/17/04#..................................... 99,762 Citibank Credit Card Master Trust 80,000 Discount note 10/13/04#..................................... 79,959 200,000 Discount note 11/18/04#..................................... 199,517 23,000 CNN Bluegrass I LLC 1.891%& 10/20/04&&#......................................... 23,000 Discover Card Master Trust 122,000 Discount note 10/06/04#..................................... 121,971 23,700 Discount note 10/14/04...................................... 23,687 52,000 Discount note 11/10/04#..................................... 51,896 177,855 Discount note 11/22/04#..................................... 177,385 MBNA Credit Card Master Trust 50,000 Discount note 10/14/04#..................................... 49,972 26,998 Discount note 10/14/04...................................... 26,983
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ EXTENDABLE COMMERCIAL NOTES -- (CONTINUED) $ 228,600 Discount note 11/18/04#..................................... $ 228,043 100,000 Discount note 11/18/04#..................................... 99,756 Monument Gardens Funding LLC 30,000 Discount note 11/22/04...................................... 29,922 125,000 Discount note 11/22/04...................................... 124,670 60,000 Morgan Stanley Discount note 10/14/04#..................................... 59,967 Thornburg Mortgage Capital Resources 60,000 Discount note 10/06/04#..................................... 59,986 100,000 Discount note 10/14/04#..................................... 99,935 ----------- TOTAL EXTENDABLE COMMERCIAL NOTES (Cost $1,937,210)........................................... 1,937,210 ----------- FUNDING AGREEMENTS -- 1.9% 100,000 GE Life Annuity 1.830%& 11/24/04&&@@........................................ 100,000 50,000 Jackson National Life Insurance Company 1.964%& 12/14/04&&@@........................................ 50,000 300,000 Monumental Life 1.800%& 10/01/04&&@@........................................ 300,000 Transamerica Occidental Life Insurance Company 100,000 1.760%& 10/01/04&&@@........................................ 100,000 117,000 1.890%& 10/01/04&&@@........................................ 117,000 125,000 2.050%& 10/01/04&&@@........................................ 125,000 20,000 1.820%& 11/01/04&&@@........................................ 20,000 182,000 Travelers Insurance 1.780%& 10/29/04&&@@........................................ 182,000 ----------- TOTAL FUNDING AGREEMENTS (Cost $994,000)............................................. 994,000 ----------- MORTGAGE-BACKED SECURITIES -- 4.4% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 4.4% 195,000 Aire Valley Mortgages, Series 2004-1A, Class 1A, 1.840% 10/05/04&&#.......................................... 195,000 74,937 Granite Mortgages plc, Series 2004-1, Class 1A1, 1.771%& 10/20/04&&.......................................... 74,937 650,000 Holmes Financing plc, Series 8, Class 1A, 1.710%& 10/15/04&&.......................................... 650,000 575,000 Permanent Financing plc, Series 3, Class 1A, 1.700%& 10/12/04&&.......................................... 575,000 365,000 Permanent Financing plc, Series 4, Class 1A, 1.690%& 10/12/04&&.......................................... 365,000
SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ COMMERCIAL MORTGAGE-BACKED SECURITIES -- (CONTINUED) $ 248,000 Permanent Financing plc, Series 5, Class 1A, 1.720%& 10/12/04&&.......................................... $ 248,000 251,664 Residential Mortgage Securities, Series 17A, Class A1, 1.760%& 10/13/04&&#......................................... 251,664 ----------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $2,359,601)........................................... 2,359,601 ----------- MUNICIPAL BONDS AND NOTES -- 2.3% ALABAMA -- 0.0%+ 8,300 Albertville, Alabama Industrial Development Board Revenue, (Mitchell Grocery Project) Series 2004, (Regions Bank LOC), 1.890%& 10/07/04&&.......................................... 8,300 8,000 Montgomery, Alabama Revenue, (Riverfront Project) Series 2003, (Southtrust Bank N.A. LOC), 1.890%& 10/07/04&&.......................................... 8,000 6,985 University of Alabama Revenue, Series 2004B, (MBIA Insured, Southtrust Bank N.A. SBPA), 1.840%& 10/07/04&&.......................................... 6,985 ----------- 23,285 ----------- ALASKA -- 0.1% 32,255 Alaska State Housing Finance Corporation, Series 2001C, (MBIA Insured, GO of Corporation), 1.800%& 10/07/04&&.......................................... 32,255 ----------- CALIFORNIA -- 0.5% 72,470 California Housing Finance Agency Revenue, Series 2000K, (FSA Insured), 1.800%& 10/06/04&&.......................................... 72,470 53,200 California Housing Finance Agency Revenue, Series 2000R, (AMBAC Insured, Westdeutsche Landesbank LOC, Bayerische Landesbank LOC, KBC Bank NV LOC), 1.850%& 10/06/04&&.......................................... 53,200 19,240 California Statewide Communities Development Authority TRAN, Series 2004C-1, (FSA Insured), 3.000% 06/30/05............................................. 19,303
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ CALIFORNIA -- (CONTINUED) $ 28,435 Pasadena, California Public Financing Authority, Lease Revenue, (Paseo Colorado Package Facility Program) Series 2000, (AMBAC Insured, KBC Bank NV SBPA), 1.800%& 10/07/04&&.......................................... $ 28,435 1,000 San Jose, California Redevelopment Agency Revenue, Series 2002H, (Bank of New York LOC), 1.840%& 10/06/04&&.......................................... 1,000 11,250 San Jose, California Redevelopment Agency Revenue, Series 2003A, (JP Morgan Chase Bank LOC), 1.840%& 10/06/04&&.......................................... 11,250 22,000 Santa Rosa, California Rancheria Tachi Yokut Tribe Revenue, Series 2004, (Bank One N.A. LOC), 1.830%& 10/07/04&&.......................................... 22,000 ----------- 207,658 ----------- COLORADO -- 0.2% 35,000 Colorado Housing and Finance Authority, Series 2003, (JP Morgan Chase Bank SBPA), 1.840%& 10/06/04&&.......................................... 35,000 55,300 Colorado Housing and Finance Authority, Single Family Mortgage Revenue, Series 2003B-2, (JP Morgan Chase Bank SBPA), 1.840%& 10/06/04&&.......................................... 55,300 1,005 Denver City and County, Colorado Certificates of Participation, Series 2002B, (MBIA Insured, Bank One Colorado, N.A. SBPA), 1.830%& 10/06/04&&.......................................... 1,005 7,000 Denver, Colorado City and County Certificates of Participation, (Justice Center Site Project) Series 2002C, (JP Morgan Chase Bank LOC), 1.840%& 10/06/04&&.......................................... 7,000 ----------- 98,305 -----------
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ CONNECTICUT -- 0.1% $ 9,505 Connecticut State Development Authority Industrial Development Revenue, (Latex Foam International Project) Series 2002, (Wachovia Bank N.A. LOC), 1.890%& 10/07/04&&.......................................... $ 9,505 38,100 Connecticut State Housing Finance Authority Revenue, (Housing Mortgage Finance Program) Series 2002C-3, (FHLB SBPA), 1.800%& 10/07/04&&.......................................... 38,100 ----------- 47,605 ----------- DISTRICT OF COLUMBIA -- 0.0%+ 7,500 District Columbia Revenue (National Realtors Project) Series 2003B, (Suntrust Bank LOC), 1.770%& 10/06/04&&.......................................... 7,500 ----------- FLORIDA -- 0.3% 15,500 Florida Housing Finance Agency Revenue, Series 1993, (MBIA Insured, Westdeutsche Landesbank SBPA), 1.830%& 10/07/04&&.......................................... 15,500 68,150 Florida Housing Finance Corporation Revenue, Series 2000A, (AMBAC Insured, Westdeutsche Landesbank SBPA), 1.830%& 10/07/04&&.......................................... 68,150 34,250 Florida Housing Financing Corporation Revenue, (Taxable - Affordable Housing Project) Series 1999A, (MBIA Insured, Westdeutsche Landesbank SBPA), 1.830%& 10/07/04&&.......................................... 34,250 34,500 Florida Housing Financing Corporation Revenue, Series 2002A, (AMBAC Insured, SBPA Dexia Credit Local), 1.830%& 10/07/04&&.......................................... 34,500 ----------- 152,400 ----------- GEORGIA -- 0.1% 500 Burke County, Georgia Development Authority IDR, (Fleetguard Income Project) Series 2003, (Fifth Third Bank LOC), 1.840%& 10/07/04&&.......................................... 500
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ GEORGIA -- (CONTINUED) $ 3,500 Columbus, Georgia Development Authority Revenue, (Fairfield Inn Project) Series 2003, (Regions Bank LOC), 1.890%& 10/07/04&&.......................................... $ 3,500 4,900 Columbus, Georgia Development Authority Revenue, (Residence Inn Project) Series 2003, (Regions Bank LOC), 1.890%& 10/07/04&&.......................................... 4,900 15,000 Columbus. Georgia Development Authority Revenue, Limited Obligation Columbus Foundry, Series 1999, (Bank of Nova Scotia LOC), 1.840%& 10/07/04&&.......................................... 15,000 13,210 Talbot County, Georgia Development Authority IDR, (Junction City Mining Company Project) Series 2000, (First Union National Bank LOC), 1.890%& 10/07/04&&.......................................... 13,210 ----------- 37,110 ----------- ILLINOIS -- 0.0%+ 11,700 Illinois Health Facilities Authority Revenue, Series 2002B, (Fifth Third Bank LOC), 1.820%& 10/06/04&&.......................................... 11,700 4,250 Winnebago County, Illinois Industrial Revenue, (Seward Screw Production Project) Series 2001, AMT, (Alpine Bank of Illinois LOC, Federal Home Loan Bank LOC), 1.940%& 10/07/04&&.......................................... 4,250 ----------- 15,950 ----------- KANSAS -- 0.0%+ 7,600 Manhattan, Kansas IDR, (Florence Corporation of Kansas Project) Series 2003, (Harris Trust Company of California LOC), 1.880%& 10/07/04&&.......................................... 7,600 ----------- MARYLAND -- 0.0%+ 3,090 Maryland State Industrial Development Financing Authority Economic Development Revenue, (Chesapeake Biology Lab Project) Series 1998, (First Union National Bank), 1.910%& 10/07/04&&#......................................... 3,090 -----------
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ MASSACHUSETTS -- 0.0%+ $ 1,750 Massachusetts State Development Financing Agency, Assisted Living Facilities Revenue, (Whalers Cove Project) Series 2001B, (First Union National Bank LOC), 2.010%& 10/07/04&&.......................................... $ 1,750 20,000 Massachusetts State Housing Finance Agency Housing Revenue, (Avalon Flanders Project) Series 2004A, (JP Morgan Chase Bank LOC), 1.830%& 10/07/04&&.......................................... 20,000 ----------- 21,750 ----------- MICHIGAN -- 0.0%+ 950 Michigan State Housing Development Authority, Multi-Family Revenue, Series 2003, (FHLB LOC), 1.960%& 10/07/04&&.......................................... 950 16,000 Michigan State Housing Development Authority, Series 2003D, (FSA Insured, Dexia Credit Local Liquidity Facility), 1.800%& 10/06/04&&.......................................... 16,000 ----------- 16,950 ----------- MINNESOTA -- 0.0%+ 6,995 Minnesota State Higher Education Facilities Authority Revenue, (Concordia University Project) Series 2003, (U.S. Bank N.A. LOC), 1.890%& 10/01/04&&.......................................... 6,995 ----------- MISSISSIPPI -- 0.3% 15,000 Mississippi Business Financing Corporation IDR, (Telepex Inc. Project) Series 2000, (First Union National Bank LOC), 1.840%& 10/07/04&&.......................................... 15,000 9,305 Mississippi Business Financing Corporation Revenue, Series 1997B, (First Union National Bank LOC), 1.910%& 10/07/04&&.......................................... 9,305 140,000 Mississippi State GO, (Taxable Nissan Project) Series 2003B, (Dexia Credit Local SBPA), 1.810%& 10/06/04&&.......................................... 140,000 ----------- 164,305 -----------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ NEW JERSEY -- 0.0%+ $ 800 New Jersey Economic Development Authority Revenue, (Melrich Road Project) Series 2002B, (Wachovia Bank N.A.), 2.040%& 10/07/04&&.......................................... $ 800 965 New Jersey Economic Development Authority Revenue, (PB Tower LLC Project) Series 2001, (First Union National Bank LOC), 1.990%& 10/07/04&&.......................................... 965 6,670 New Jersey Economic Development Authority Revenue, Series 1997, (First Union National Bank LOC), 1.890%& 10/06/04&&.......................................... 6,670 ----------- 8,435 ----------- NEW YORK -- 0.2% 3,240 Clinton County, New York Industrial Development Agency IDR, (Bombardier Corporation Project) Series 1997A, (Marine Midland Bank LOC), 2.150%& 10/07/04&&.......................................... 3,240 41,900 New York State Housing Finance Agency Revenue, (Taxable -- 900 8th Avenue Housing Project) Series 2002B, (Key Bank, N.A. LOC), 1.820%& 10/06/04&&.......................................... 41,900 22,900 New York State Housing Finance Agency Revenue, Series 2000, (FNMA Liquidity Facility), 1.840%& 10/06/04&&.......................................... 22,900 11,130 New York State Housing Finance Agency Revenue, Series 2000B, (Key Bank N.A.), 1.840%& 10/06/04&&.......................................... 11,130 8,000 New York State Housing Finance Agency Revenue, Series 2001, (FNMA Liquidity Facility), 1.840%& 10/06/04&&.......................................... 8,000 4,700 New York, New York City Housing Development Corporation Mortgage Revenue, Series 2003, (Keybank N.A. LOC), 1.820%& 10/06/04&&.......................................... 4,700
SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ NEW YORK -- (CONTINUED) $ 6,200 New York, New York City Housing Development Corporation Multi-Family Revenue, Series 2003, (HSBC Bank USA LOC), 1.830%& 10/06/04&&.......................................... $ 6,200 12,765 New York, New York City Housing Development Corporation, Multi-Family Housing Revenue, Series 2002, (Bayerische Landesbank LOC), 1.840%& 10/06/04&&.......................................... 12,765 ----------- 110,835 ----------- SOUTH CAROLINA -- 0.0%+ 1,000 South Carolina Jobs Economic Development Authority Hospital Facility Revenue, (Taxable Cannon Memorial Hospital Project) Series 2004, (National Bank of South Carolina LOC), 1.910%& 10/07/04&&.......................................... 1,000 ----------- TENNESSEE -- 0.0%+ 4,025 Hamilton County, Tennessee Industrial Development Board IDR, Series 1999, (First Union National Bank LOC), 1.960%& 10/07/04&&.......................................... 4,025 450 Memphis, Tennessee Health Educational and Housing Facilities Board Revenue, (Springdale Creek Project) Series 2003B, (First Tennessee Bank LOC), 2.000%& 10/07/04&&.......................................... 450 ----------- 4,475 ----------- TEXAS -- 0.1% 44,440 Harris County - Houston, Texas, Sports Authority Special Revenue, Jr. Lien, Series 2001D, (MBIA Insured, Morgan Guaranty Trust SBPA), 1.860%& 10/07/04&&.......................................... 44,440 23,935 Texas State GO, Taxable Veteran Housing, Series 2003, (Dexia Credit Local SBPA), 1.840%& 10/06/04&&.......................................... 23,935 9,480 Texas State GO, Taxable Veterans Land, Series 2003, (State Street Bank and Trust Company SBPA), 1.850%& 10/05/04&&.......................................... 9,480 ----------- 77,855 -----------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ VIRGINIA -- 0.3% $ 140,000 Virginia State Housing Development Authority Commonwealth Revenue, Series 1996E, 1.840%& 10/06/04&&.......................................... $ 140,000 ----------- WISCONSIN -- 0.1% 9,000 Wisconsin Heart Hospital LLC Revenue, Series 2003, (Bank One N.A. LOC), 1.840%& 10/06/04&&.......................................... 9,000 19,615 Wisconsin Housing and Economic Development Authority Home Ownership Revenue, Series 2003, (GO of Authority, Westdeutsche Landesbank SBPA), 1.860%& 10/05/04&&.......................................... 19,615 ----------- 28,615 ----------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $1,213,973)........................................... 1,213,973 ----------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 28.0% FEDERAL FARM CREDIT BANK (FFCB) -- 0.2% 100,000 1.770%& 10/01/04&&.......................................... 99,991 ----------- FEDERAL HOME LOAN BANK (FHLB) -- 11.4% 525,000 1.755%& 10/01/04&&.......................................... 524,815 175,000 1.800%& 10/01/04&&.......................................... 175,000 100,000 1.580%& 10/02/04&&.......................................... 99,989 125,000 1.585%& 10/02/04&&.......................................... 125,005 125,000 1.800%& 10/07/04&&.......................................... 125,010 100,000 1.569%& 11/03/04&&.......................................... 99,953 50,000 1.460% 11/17/04............................................. 50,000 35,000 1.430% 12/01/04............................................. 35,000 150,000 1.500% 12/07/04............................................. 150,000 50,000 1.510% 12/08/04............................................. 50,000 600,000 1.725%& 12/08/04&&.......................................... 599,690 925,000 1.795%& 12/15/04&&.......................................... 924,923 190,000 1.840%& 12/21/04&&.......................................... 189,982 275,000 1.483%& 01/05/05&&.......................................... 274,853 125,000 1.400% 02/25/05............................................. 125,000 150,000 1.450% 03/11/05............................................. 149,987 50,000 1.380% 03/28/05............................................. 50,000 350,000 1.350% 04/15/05............................................. 350,000 201,000 1.380% 04/15/05............................................. 201,000 394,350 1.380% 04/15/05............................................. 394,320 70,000 1.400% 04/15/05............................................. 69,982 670,000 1.300% 04/25/05............................................. 670,000 275,000 1.550% 05/04/05............................................. 275,000 400,000 1.550% 05/04/05............................................. 400,000 ----------- 6,109,509 -----------
SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 5.5% $ 650,000 1.590%& 10/01/04&&.......................................... $ 649,934 10,000 Discount note 10/05/04...................................... 9,998 680,000 1.500%& 10/21/04&&.......................................... 680,000 850,000 1.624%& 11/01/04&&.......................................... 849,915 320,000 1.825%& 12/09/04&&.......................................... 320,000 454,000 1.805%& 12/20/04&&.......................................... 453,985 ----------- 2,963,832 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 10.9% 300,000 1.470%& 10/01/04&&.......................................... 299,803 200,000 1.565%& 10/03/04&&.......................................... 199,987 200,000 1.603%& 10/08/04&&.......................................... 199,888 100,000 Discount note 10/15/04...................................... 99,947 400,000 1.510%& 10/18/04&&.......................................... 399,964 125,000 1.751%& 10/18/04&&.......................................... 125,000 766,000 1.562%& 10/28/04&&.......................................... 765,909 200,000 Discount note 11/12/04...................................... 199,674 1,000,000 Discount note 11/15/04...................................... 998,426 345,000 Discount note 11/22/04...................................... 344,108 550,000 1.680%& 12/06/04&&.......................................... 549,691 116,000 1.740%& 12/09/04&&.......................................... 115,919 567,400 1.485%& 01/06/05&&.......................................... 567,112 405,000 Discount note 03/15/05...................................... 401,659 500,445 Discount note 04/01/05...................................... 496,657 92,895 Discount note 04/29/05...................................... 91,922 ----------- 5,855,666 ----------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $15,028,998).......................................... 15,028,998 ----------- U.S. TREASURY OBLIGATIONS -- 0.1% (Cost $50,040) U.S. TREASURY NOTES -- 0.1% 50,000 1.500% 02/28/05............................................. 50,040 ----------- REPURCHASE AGREEMENTS -- 8.6% 214,255 Agreement with Barclays Capital Inc., 1.770% dated 09/30/04 to be repurchased at $214,265 on 10/01/04 collateralized by: U.S. Treasury Obligations; collateral valued at $218,540.... 214,255 1,000,000 Agreement with Countrywide Home Loans, Inc., 1.900% dated 09/30/04 to be repurchased at $1,000,053 on 10/01/04 collateralized by: U.S. Government and Agency Obligations and U.S. Treasury Obligations; collateral valued at $1,020,000.................................................. 1,000,000
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ REPURCHASE AGREEMENTS -- (CONTINUED) $ 150,000 Agreement with Credit Suisse First Boston Corporation, 1.920% dated 09/30/04 to be repurchased at $150,008 on 10/01/04 collateralized by: Various Commercial Paper and Various Certificates of Deposit; collateral valued at $153,004...... $ 150,000 411,000 Agreement with Dresdner Kleinwort Benson North America LLC, 2.000% dated 09/30/04 to be repurchased at $411,023 on 10/01/04 collateralized by: U.S. Treasury Obligations; collateral valued at $419,221............................... 411,000 1,000,000 Agreement with Goldman Sachs and Company, 1.900% dated 09/30/04 to be repurchased at $1,000,053 on 10/01/04 collateralized by: U.S. Government and Agency Obligations and Various Commercial Paper; collateral valued at $1,020,000.................................................. 1,000,000 740,777 Agreement with Goldman Sachs and Company, 1.973% dated 09/30/04 to be repurchased at $740,818 on 10/01/04 collateralized by: U.S. Government and Agency Obligations; collateral valued at $755,593............................... 740,777 100,000 Agreement with J.P. Morgan Securities Inc., 1.920% dated 09/30/04 to be repurchased at $100,005 on 10/01/04 collateralized by: Various Commercial Paper; collateral valued at $102,003.......................................... 100,000 900,000 Agreement with Merrill Lynch Government Securities Inc., 1.920% dated 09/30/04 to be repurchased at $900,048 on 10/01/04 collateralized by: Various Commercial Paper; collateral valued at $918,002............................... 900,000
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS MONEY MARKET FUNDS Nations Cash Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------------ REPURCHASE AGREEMENTS -- (CONTINUED) $ 4,433 Agreement with UBS Warburg, 1.740% dated 09/30/04 to be repurchased at $4,433 on 10/01/04 collateralized by: U.S. Treasury Obligations; collateral valued at $4,523................................. $ 4,433 100,000 Agreement with UBS Warburg, 1.950% dated 09/30/04 to be repurchased at $100,005 on 10/01/04 collateralized by: U.S. Government and Agency Obligations; collateral valued at $102,003.................. 100,000 ----------- TOTAL REPURCHASE AGREEMENTS (Cost $4,620,465)........................................... 4,620,465 ----------- TOTAL INVESTMENTS (Cost $54,371,395*)............................... 101.4% 54,371,395 ----------- OTHER ASSETS AND LIABILITIES (NET)................................. (1.4)% (735,007) ----------- NET ASSETS.......................................... 100.0% $53,636,388 ===========
--------------- *Federal income tax information (see Note 8). &Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2004. && 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. +Amount represents less than 0.1%. @@ Restricted security (see Note 6). SEE NOTES TO FINANCIAL STATEMENTS. 38 NATIONS MONEY MARKET FUNDS Nations Money Market Reserves SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 1.7% ASSET-BACKED -- OTHER -- 1.7% $ 42,500 Davis Square Funding, Ltd., Series 2003-1A, Class A1E, 1.849%& 10/18/04&&@@........................................ $ 42,500 7,046 G-Star Ltd., Series 2002-2A, Class A1MB, 1.900%& 10/27/04&&@@........................................ 7,046 5,356 John Deere Owner Trust, Series 2004-A, Class A1, 1.140% 05/13/05............................................. 5,356 50,000 Phoenix-Mistic CBO, Ltd., Series 2002-1A, Class A1A, 2.130%& 03/15/05@@.......................................... 50,009 50,000 Winston Funding Ltd., Series 2003-1, Class A1MB, 1.690%& 10/25/04&&@@........................................ 50,000 ---------- TOTAL ASSET-BACKED SECURITIES (Cost $154,911)............................................. 154,911 ---------- BANK OBLIGATIONS -- 20.8% BANK NOTES -- 1.3% 115,000 Fifth Third Bank 1.800%& 10/01/04&&.......................................... 114,993 ---------- CERTIFICATES OF DEPOSIT -- DOMESTIC -- 1.7% 50,000 Chase Manhattan Bank USA N.A. 1.700%& 10/12/04&&.......................................... 50,000 50,000 Wachovia Bank N.A. 1.800%& 10/01/04&&.......................................... 50,000 50,000 Wells Fargo Bank N.A. 1.790%& 10/01/04&&.......................................... 49,999 ---------- 149,999 ---------- CERTIFICATES OF DEPOSIT -- YANKEE -- 12.5% 91,500 Banque National De Paris (New York) 1.793%& 10/01/04&&.......................................... 91,489 Barclays Bank plc, (New York) 50,000 1.800%& 10/01/04&&.......................................... 49,997 150,000 1.800%& 10/01/04&&.......................................... 149,997 Credit Agricole Indosuez, (New York) 50,000 1.795%& 10/01/04&&.......................................... 49,995 150,000 1.795%& 10/01/04&&.......................................... 149,987 110,000 1.713%& 10/17/04&&.......................................... 109,985 50,000 1.465% 11/17/04............................................. 49,999 Credit Suisse First Boston, (New York) 50,000 1.791%& 10/20/04&&.......................................... 50,000 50,000 2.445% 10/07/05............................................. 50,000 25,000 Danske Bank, (New York) 1.860%& 12/23/04............................................ 24,998 75,000 Societe Generale, (New York) 1.675%& 10/12/04&&.......................................... 74,995 75,000 Swedbank (New York) 1.765%& 10/21/04&&.......................................... 74,997
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT -- YANKEE -- (CONTINUED) $ 100,000 Toronto Dominion Bank, (New York) 2.350% 09/08/05............................................. $ 99,977 100,000 Unicredito Italiano, (New York) 2.365% 09/12/05............................................. 99,977 ---------- 1,126,393 ---------- PROMISSORY NOTES -- 2.0% 140,000 Goldman Sachs Group Inc. 1.810%& 10/13/04&&@@........................................ 140,000 44,500 Saturn Ventures II Inc. 1.766%& 10/07/04&&@@........................................ 44,500 ---------- 184,500 ---------- TIME DEPOSITS -- EURO -- 3.3% 300,000 Societe Generale 1.875% 10/01/04............................................. 300,000 ---------- TOTAL BANK OBLIGATIONS (Cost $1,875,885)........................................... 1,875,885 ---------- CORPORATE OBLIGATIONS -- 29.4% COMMERCIAL PAPER -- 13.7% 75,000 Aspen Funding Corporation Discount note 11/23/04#..................................... 74,799 27,045 Barton Capital Corporation Discount note 11/16/04#..................................... 26,982 25,000 Bavaria TRR Corporation Discount note 10/15/04#..................................... 24,983 75,000 Blue Bell Funding Corporation Discount note 11/22/04#..................................... 74,801 125,000 Citigroup Global Markets Discount note 10/21/04...................................... 124,879 40,000 CRC Funding LLC Discount note 11/17/04#..................................... 39,905 25,000 CXC LLC Discount note 10/13/04#..................................... 24,987 25,000 Edison Asset Securitization LLC Discount note 10/15/04#..................................... 24,985 25,000 Eiffel Funding LLC Discount note 10/18/04@@.................................... 24,982 10,000 Fairway Finance Corporation Discount note 11/18/04#..................................... 9,976 45,000 Galaxy Funding Inc. Discount note 11/19/04#..................................... 44,889 25,000 Gemini Securitization LLC Discount note 10/15/04#..................................... 24,985 General Electric Capital Corporation 25,000 Discount note 10/12/04...................................... 24,988 50,000 Discount note 11/17/04...................................... 49,881 25,000 Discount note 02/09/05...................................... 24,841 Goldman Sachs Group, Inc. 30,000 1.768%& 10/18/04&&.......................................... 30,000 20,000 1.590%& 10/19/04&&.......................................... 20,000 Grampian Funding LLC 40,000 Discount note 10/14/04#..................................... 39,978 25,000 Discount note 10/20/04#..................................... 24,977 Greyhawk Funding LLC 45,000 Discount note 10/14/04#..................................... 44,975
SEE NOTES TO FINANCIAL STATEMENTS. 39 NATIONS MONEY MARKET FUNDS Nations Money Market Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- COMMERCIAL PAPER -- (CONTINUED) $ 50,000 Discount note 11/18/04#..................................... $ 49,879 50,000 Discount note 11/19/04#..................................... 49,877 26,000 Harrier Finance Funding US LLC Discount note 10/25/04...................................... 25,973 50,000 HBOS Treasury Services plc Discount note 10/14/04...................................... 49,973 Leafs LLC 15,000 1.821%& 10/20/04&&@@........................................ 15,000 50,000 1.821%& 10/20/04&&@@........................................ 50,000 50,000 1.821%& 10/20/04&&@@........................................ 50,000 60,000 Mane Funding Corporation Discount note 11/23/04#..................................... 59,839 25,000 Preferred Receivables Funding Discount note 10/28/04#..................................... 24,967 Scaldis Capital LLC 22,543 Discount note 10/12/04#..................................... 22,533 16,892 Discount note 10/15/04#..................................... 16,882 36,400 Windmill Funding Corporation Discount note 10/21/04#..................................... 36,365 ---------- 1,232,081 ---------- CORPORATE BONDS AND NOTES -- 15.7% 6,265 Acton Assisted Living 2.010%& 10/01/04&&.......................................... 6,265 31,000 Beta Finance Inc., MTN 1.808%& 10/01/04&&#......................................... 31,000 20,000 Citigroup Inc. 1.780%& 11/19/04&&.......................................... 20,014 46,000 General Electric Capital Corporation 2.005%& 10/15/04&&.......................................... 46,040 40,000 K2 (USA) LLC 1.776%& 10/20/04&&#......................................... 40,000 Links Finance LLC 100,000 1.656%& 10/07/04&&#......................................... 99,993 75,000 1.810%& 10/27/04&&#......................................... 75,000 50,000 1.730%& 11/26/04&&#......................................... 50,007 60,000 2.180% 07/15/05#............................................ 59,995 65,000 Merrill Lynch and Company, Inc., MTN, Series C 1.730%& 12/01/04&&.......................................... 65,000 100,000 Morgan Stanley, MTN, Series C 1.880%& 10/15/04&&.......................................... 100,000 Premier Asset LLC 25,000 1.813%& 10/01/04&&#......................................... 24,997 50,000 1.720%& 10/15/04&&#......................................... 50,000 6,790 Schlitz Park Associates II LP 1.930%& 10/01/04&&.......................................... 6,790 Sigma Finance Inc. 50,000 1.820%& 10/01/04&&#......................................... 50,000 60,000 1.530%& 10/12/04#........................................... 60,000 30,000 1.710%& 10/12/04&&#......................................... 30,000 25,000 1.735%& 10/12/04&&#......................................... 25,000 130,000 1.600%& 10/25/04&&#......................................... 129,991 50,000 1.710%& 10/15/04&&#......................................... 49,988 15,000 SMM Trust 2003-M 2.005%& 12/15/04#........................................... 15,000 Toyota Motor Credit Corporation 30,000 1.798%& 10/12/04&&.......................................... 30,033 52,000 1.575%& 10/21/04&&.......................................... 51,991
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES -- (CONTINUED) $ 55,000 1.895%& 12/30/04&&.......................................... $ 54,995 190,000 Wells Fargo and Company, Series E 1.878%& 12/17/04&&.......................................... 190,033 White Pine Finance LLC 30,000 1.715%& 10/15/04&&#......................................... 29,999 24,000 1.783%& 10/23/04&&#......................................... 23,998 ---------- 1,416,129 ---------- TOTAL CORPORATE OBLIGATIONS (Cost $2,648,210)........................................... 2,648,210 ---------- EXTENDABLE COMMERCIAL NOTES -- 3.4% 50,000 Ajax Bambino Funding Inc. Discount note 10/07/04#..................................... 49,986 20,000 Citibank Credit Card Master Trust Discount note 10/13/04#..................................... 19,990 Discover Card Master Trust 20,000 Discount note 10/14/04...................................... 19,989 25,000 Discount note 11/10/04#..................................... 24,950 50,000 Discount note 11/23/04#..................................... 49,867 MBNA Credit Card Master Trust 50,000 Discount note 10/14/04#..................................... 49,972 25,000 Discount note 10/14/04...................................... 24,986 35,000 Discount note 11/18/04#..................................... 34,915 30,000 Morgan Stanley Discount note 10/14/04#..................................... 29,984 ---------- TOTAL EXTENDABLE COMMERCIAL NOTES (Cost $304,639)............................................. 304,639 ---------- MORTGAGE-BACKED SECURITIES -- 5.1% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 5.1% 33,000 Aire Valley Mortgages, Series 2004-1A, Class 1A, 1.840%& 10/05/04&&#......................................... 33,000 16,236 Granite Mortgages plc, Series 2004-1, Class 1A1, 1.771%& 10/20/04&&.......................................... 16,236 180,000 Holmes Financing plc, Series 8, Class 1A, 1.710%& 10/15/04&&.......................................... 180,000 115,000 Permanent Financing plc, Series 3, Class 1A, 1.700%& 10/12/04&&.......................................... 115,000 65,000 Permanent Financing plc, Series 4, Class 1A, 1.690%& 10/12/04&&.......................................... 65,000 45,658 Residential Mortgage Securities, Series 17A, Class A1, 1.760%& 10/13/04&&#......................................... 45,658 ---------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $454,894)............................................. 454,894 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 40 NATIONS MONEY MARKET FUNDS Nations Money Market Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 4.2% CALIFORNIA -- 1.5% $ 26,565 California Housing Finance Agency Revenue, Series 2000R, (AMBAC Insured, Westdeutsche Landesbank LOC, Bayerische Landesbank LOC, KBC Bank NV LOC), 1.850%& 10/06/04&&.......................................... $ 26,565 25,000 California Statewide Communities Development Authority TRAN, Series 2004C-1, (FSA Insured), 3.000% 06/30/05............................................. 25,082 57,210 Los Angeles, California Department of Water & Power, Waterworks Revenue, Series 2004B-1, (Dexia Credit Local SPA), 1.820%& 10/06/04&&.......................................... 57,209 25,000 Los Angeles, California Department of Water & Power, Waterworks Revenue, Series 2004B-2, (Dexia Credit Local SPA), 1.840%& 10/06/04&&.......................................... 25,000 5,400 San Jose, California Financing Authority Lease Revenue, Series 2000C, (MBIA Insured, Morgan Guaranty Trust SPA), 1.840%& 10/06/04&&.......................................... 5,400 ---------- 139,256 ---------- COLORADO -- 0.3% 20,000 Colorado Housing and Finance Authority, Single Family Revenue, Series 2004-A1, (Dexia Credit Local SBPA), 1.840%& 10/06/04&&.......................................... 20,000 3,000 Denver, Colorado City and County Airport Revenue Refunding, Series 2002D, (Societe Generale LOC), 1.840%& 10/06/04&&.......................................... 3,000 ---------- 23,000 ---------- CONNECTICUT -- 0.7% 46,435 Connecticut Health and Education Facility Authority Revenue, 1.700% 10/04/04............................................. 46,434 14,000 Connecticut State, Housing Finance Authority Revenue, Series 2001A-4, (AMBAC Insured, FHLB SBPA), 1.860%& 10/07/04&&.......................................... 14,000 ---------- 60,434 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- FLORIDA -- 0.2% $ 11,100 Florida Housing Finance Agency Revenue, Series 1993, (MBIA Insured, Westdeutsche Landesbank SBPA), 1.830%& 10/07/04&&.......................................... $ 11,100 8,350 Florida Housing Financing Corporation Revenue, Series 2002A, (AMBAC Insured, SBPA Dexia Credit Local), 1.830%& 10/07/04&&.......................................... 8,350 ---------- 19,450 ---------- MASSACHUSETTS -- 0.1% 5,600 Massachusetts State Housing Finance Agency, Housing Revenue, Series 2004A, (FSA Insured, Dexia Credit Local SBPA), 1.840%& 10/06/04&&.......................................... 5,600 ---------- OHIO -- 0.1% 13,000 Ohio State, Air Quality Development Authority Revenue, Series 2004B, (ABN AMRO Bank N.V. LOC), 1.830%& 10/06/04&&.......................................... 13,000 ---------- TEXAS -- 1.2% 46,200 Texas State, GO, Series 1994A-2, (DEPFA Bank plc SBPA), 1.840%& 10/06/04&&.......................................... 46,200 15,000 Texas State, GO, Series 1997B-2, (DEPFA Bank plc SBPA), 1.840%& 10/06/04&&.......................................... 15,000 30,300 Texas State, GO, Series 1999B, (Morgan Guaranty Trust SBPA), 1.840%& 10/06/04&&.......................................... 30,300 19,550 Texas State, Veteran Housing Assistance, GO, Series 2004, (Dexia Credit Local SPA), 1.840%& 10/06/04&&.......................................... 19,550 ---------- 111,050 ---------- WISCONSIN -- 0.1% 5,000 Wisconsin Housing & Economic Development Authority, Home Ownership Revenue, Series 2004B, (GO of Authority, Westdeutsche Landesbank AG SPA), 1.840%& 10/06/04&&.......................................... 5,000 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $376,790)............................................. 376,790 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS MONEY MARKET FUNDS Nations Money Market Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 31.1% FEDERAL FARM CREDIT BANK (FFCB) -- 0.6% $ 50,000 1.800%& 10/01/04&&.......................................... $ 50,000 ---------- FEDERAL HOME LOAN BANK (FHLB) -- 14.6% 50,000 1.755%& 10/01/04&&.......................................... 49,982 75,000 1.800%& 10/01/04&&.......................................... 75,000 50,000 1.580%& 10/02/04&&.......................................... 49,994 75,000 1.585%& 10/02/04&&.......................................... 75,003 65,000 1.750%& 10/26/04&&.......................................... 64,987 5,000 2.000% 11/15/04............................................. 5,003 25,000 1.500% 12/07/04............................................. 25,000 40,000 1.510% 12/08/04............................................. 40,000 275,000 1.725%& 12/08/04&&.......................................... 274,857 124,567 Discount note 02/01/05...................................... 123,831 75,000 1.400% 02/25/05............................................. 75,000 100,000 1.350% 04/15/05............................................. 100,000 25,000 1.380% 04/15/05............................................. 25,000 50,000 1.400% 04/15/05............................................. 49,987 40,325 1.625% 04/15/05............................................. 40,377 175,000 1.300% 04/25/05............................................. 175,000 25,000 1.550% 05/04/05............................................. 25,000 50,000 1.550% 05/04/05............................................. 50,000 ---------- 1,324,021 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 4.7% 50,000 1.590%& 10/01/04&&.......................................... 49,995 150,000 1.500%& 10/21/04&&.......................................... 150,000 75,000 1.624%& 11/01/04&&.......................................... 74,992 150,000 1.825%& 12/09/04&&.......................................... 150,000 ---------- 424,987 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 11.2% 100,000 1.470%& 10/01/04&&.......................................... 99,934 11,000 1.750%& 10/01/04&&.......................................... 11,000 30,000 1.778%& 10/01/04&&.......................................... 29,996 35,130 1.751%& 10/18/04&&.......................................... 35,130 100,000 Discount note 11/03/04...................................... 99,873 55,000 Discount note 11/12/04...................................... 54,910 50,000 Discount note 11/22/04...................................... 49,871 350,000 1.680%& 12/06/04&&.......................................... 349,804 26,000 1.780%& 12/11/04&&.......................................... 25,999 100,000 1.485%& 01/06/05&&.......................................... 99,949 75,574 Discount note 03/04/05...................................... 75,078 75,000 Discount note 03/15/05...................................... 74,381 ---------- 1,005,925 ---------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $2,804,933)........................................... 2,804,933 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- 5.7% $ 100,000 Agreement with Credit Suisse First Boston Corporation, 1.920% dated 09/30/04 to be repurchased at $100,005 on 10/01/04 collateralized by: Various Commercial Paper; collateral valued at $102,002............................... $ 100,000 259,223 Agreement with Goldman Sachs and Company, 1.961% dated 09/30/04 to be repurchased at $259,237 on 10/01/04 collateralized by: U.S. Government and Agency Obligations; collateral valued at $264,407.................. 259,223 150,000 Agreement with UBS Warburg, 1.950% dated 09/30/04 to be repurchased at $150,008 on 10/01/04 collateralized by: U.S. Government and Agency Obligations; collateral valued at $153,002.................. 150,000 ---------- TOTAL REPURCHASE AGREEMENTS (Cost $509,223)............................................. 509,223 ---------- TOTAL INVESTMENTS (Cost $9,129,485*)................................ 101.4% 9,129,485 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. (1.4)% (126,703) ---------- NET ASSETS.......................................... 100.0% $9,002,782 ==========
--------------- *Federal income tax information (see Note 8). &Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2004. && 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. @@ Restricted security (see Note 6). SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS MONEY MARKET FUNDS Nations Treasury Reserves SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ----------------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 31.6% U.S. TREASURY BILLS -- 4.3% $ 150,000 Discount note 10/07/04........................................ $ 149,968 100,000 Discount note 10/14/04........................................ 99,953 150,000 Discount note 12/23/04........................................ 149,450 ---------- 399,371 ---------- U.S. TREASURY NOTES -- 27.3% 545,000 2.125% 10/31/04............................................... 545,258 89,000 5.875% 11/15/04............................................... 89,492 385,000 2.000% 11/30/04............................................... 385,414 90,000 1.750% 12/31/04............................................... 90,084 625,000 1.625% 01/31/05............................................... 624,678 55,000 7.500% 02/15/05............................................... 56,281 150,000 1.500% 02/28/05............................................... 150,120 338,000 1.625% 03/31/05............................................... 338,523 195,000 1.625% 04/30/05............................................... 195,192 50,000 1.250% 05/31/05............................................... 49,872 ---------- 2,524,914 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $2,924,285)........................................... 2,924,285 ---------- REPURCHASE AGREEMENTS -- 68.3% 380,000 Agreement with ABN AMRO, 1.770% dated 09/30/04 to be repurchased at $380,019 on 10/01/04 collateralized by: U.S. Treasury Obligations; collateral valued at $387,600......... 380,000 380,000 Agreement with Banque National de Paris, 1.740% dated 09/30/04 to be repurchased at $380,018 on 10/01/04 collateralized by: U.S. Treasury Obligations; collateral valued at $387,600.... 380,000 400,000 Agreement with Bear Stearns Companies Inc., 1.860% dated 09/30/04 to be repurchased at $400,021 on 10/01/04 collateralized by: U.S. Government and Agency Obligations; collateral valued at $408,000............................... 400,000 750,000 Agreement with Bear Stearns Companies, Inc., 1.750% dated 09/30/04 to be repurchased at $750,036 on 10/01/04 collateralized by: U.S. Treasury Obligations; collateral valued at $765,001.......................................... 750,000 750,000 Agreement with Bear Stearns Companies, Inc., 1.760% dated 09/30/04 to be repurchased at $750,037 on 10/01/04 collateralized by: U.S. Treasury Obligations; collateral valued at $765,902.......................................... 750,000
PRINCIPAL AMOUNT VALUE (000) (000) ----------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- (CONTINUED) $ 200,000 Agreement with Countrywide Home Loans, Inc., 1.750% dated 09/30/04 to be repurchased at $200,010 on 10/01/04 collateralized by: U.S. Government and Agency Obligations and U.S. Treasury Obligations; collateral valued at $204,000.................................................... $ 200,000 200,000 Agreement with Deutsche Bank Securities Inc., 1.200% dated 03/26/04 to be repurchased at $202,640 on 04/26/05 collateralized by: U.S. Treasury Obligations; collateral valued at $204,001@@........................................ 200,000 380,000 Agreement with First Union National Bank, 1.890% dated 09/30/04 to be repurchased at $380,020 on 10/01/04 collateralized by: U.S. Government and Agency Obligations; collateral valued at $387,600............................... 380,000 380,000 Agreement with Greenwich Capital Markets Inc., 1.770% dated 09/30/04 to be repurchased at $380,019 on 10/01/04 collateralized by: U.S. Treasury Obligations; collateral valued at $387,602.......................................... 380,000 300,000 Agreement with J.P. Morgan Securities Inc., 1.860% dated 09/30/04 to be repurchased at $300,016 on 10/01/04 collateralized by: U.S. Government and Agency Obligations; collateral valued at $306,001............................... 300,000 1,395,567 Agreement with UBS Securities Inc., 1.740% dated 09/30/04 to be repurchased at $1,395,634 on 10/01/04 collateralized by: U.S. Treasury Obligations; collateral valued at $1,423,481.................................................. 1,395,567 420,000 Agreement with UBS Warburg, 1.850% dated 09/30/04 to be repurchased at $420,022 on 10/01/04 collateralized by: U.S. Government and Agency Obligations; collateral valued at $428,402.................................................... 420,000
SEE NOTES TO FINANCIAL STATEMENTS. 43 NATIONS MONEY MARKET FUNDS Nations Treasury Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ----------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS -- (CONTINUED) $ 380,000 Agreement with Westdeutsche Landesbank Girozentrale, 1.750% dated 09/30/04 to be repurchased at $380,018 on 10/01/04 collateralized by: U.S. Treasury Obligations; collateral valued at $387,601.......................................... $ 380,000 ---------- TOTAL REPURCHASE AGREEMENTS (Cost $6,315,567)........................................... 6,315,567 ---------- TOTAL INVESTMENTS (Cost $9,239,852*)................................ 99.9% 9,239,852 ---------- OTHER ASSETS AND LIABILITIES (NET).................. 0.1% 7,653 ---------- NET ASSETS.......................................... $9,247,505 100.0% ==========
--------------- *Federal income tax information (see Note 8). @@ Restricted security (see Note 6). SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS MONEY MARKET FUNDS Nations Government Reserves SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 100.0% FEDERAL FARM CREDIT BANK (FFCB) -- 34.2% $ 50,000 1.740%& 10/01/04&&.......................................... $ 49,998 75,000 1.750%& 10/01/04&&.......................................... 75,000 50,000 1.770%& 10/01/04&&.......................................... 49,995 275,000 1.780%& 10/01/04&&.......................................... 274,978 225,000 1.790%& 10/01/04&&.......................................... 225,000 150,000 1.800%& 10/01/04&&.......................................... 150,000 40,090 1.155%& 10/14/04&&.......................................... 40,087 50,000 1.780%& 10/27/04&&.......................................... 49,991 350,000 1.740%& 10/29/04&&.......................................... 350,001 ---------- 1,265,050 ---------- FEDERAL HOME LOAN BANK (FHLB) -- 65.8% 62,650 Discount note 10/01/04...................................... 62,650 80,000 1.755%& 10/01/04&&.......................................... 79,972 50,000 1.580%& 10/02/04&&.......................................... 49,994 300,000 1.585%& 10/02/04&&.......................................... 300,013 165,897 Discount note 10/15/04...................................... 165,787 18,500 3.625% 10/15/04............................................. 18,516 100,000 1.540%& 10/19/04&&.......................................... 99,983 50,000 Discount note 10/22/04...................................... 49,956 250,000 1.736%& 10/25/04&&.......................................... 249,992 30,000 1.750%& 10/26/04&&.......................................... 29,994 50,000 1.569%& 11/03/04&&.......................................... 49,977 2,500 6.250% 11/15/04............................................. 2,515 40,000 1.460% 11/17/04............................................. 40,000 55,000 1.430% 12/01/04............................................. 55,000 20,000 1.500% 12/07/04............................................. 20,000 10,000 1.510% 12/08/04............................................. 10,000 50,000 1.745%& 12/12/04&&.......................................... 49,976 200,000 1.795%& 12/15/04&&.......................................... 199,983 15,000 2.125% 12/15/04............................................. 15,028 100,000 1.840%& 12/21/04&&.......................................... 99,998
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK -- (CONTINUED) $ 100,000 1.835%& 12/27/04&&.......................................... $ 99,918 75,000 1.483%& 01/05/05&&.......................................... 74,960 200,000 1.530%& 01/05/05&&.......................................... 199,998 60,000 1.400% 02/25/05............................................. 60,000 40,000 1.500% 03/01/05............................................. 39,985 10,000 1.450% 03/11/05............................................. 9,999 50,000 1.380% 03/28/05............................................. 50,000 7,000 1.300% 04/11/05............................................. 6,984 32,000 1.350% 04/15/05............................................. 32,000 10,000 1.400% 04/15/05............................................. 9,997 20,000 1.625% 04/15/05............................................. 20,036 50,000 1.300% 04/25/05............................................. 50,000 50,000 1.560% 05/20/05............................................. 50,000 82,000 1.590% 08/12/05............................................. 81,659 ---------- 2,434,870 ---------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $3,699,920)......................................... 3,699,920 ---------- TOTAL INVESTMENTS (Cost $3,699,920*).............................. 100.0% 3,699,920 ---------- OTHER ASSETS AND LIABILITIES (NET)............................... 0.0%+ 1,439 ---------- NET ASSETS........................................ 100.0% $3,701,359 ==========
--------------- *Federal income tax information (see Note 8). &Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2004. && Reset date. Interest rates reset either daily, weekly, monthly, or quarterly. +Amount represents less than 0.1%. SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 100.4% ALABAMA -- 0.6% $ 4,000 Birmingham, Alabama Medical Clinic Board Revenue, (Medical Advancement Foundation Project) Series 2000A, (Columbus Bank & Trust LOC), 1.970% 09/01/30**........................................... $ 4,000 3,615 Birmingham, Alabama Private Educational Building Authority Revenue, (The Altamont School Project) Series 1998, (AmSouth Bank of Alabama N.A. LOC), 1.790% 04/01/13**........................................... 3,615 3,105 Daphne, Alabama YMCA Public Park and Recreation Board Revenue, (YMCA Project) Series 2002, (Legions Bank LOC), 1.760% 10/01/22**........................................... 3,105 5,000 Decatur, Alabama Industrial Development Board, Solid Waste Disposal Revenue, (Amoco Chemical Company Project) Series 1995, AMT, 1.790% 05/01/25**........................................... 5,000 1,250 Dothan Houston County, Alabama Airport Authority, Airport Revenue, (Pemco Aviation Group Project) Series 2002, AMT, (SouthTrust Bank N.A. LOC), 1.760% 10/01/17**#.......................................... 1,250 3,255 Geneva County, Alabama Industrial Development Board Revenue, (Brooks AG Company Inc. Project) Series 2002, AMT, (Regions Bank LOC), 1.840% 03/01/14**........................................... 3,255 3,450 Huntsville, Alabama Solid Waste Disposal Authority and Resources Recovery Revenue, Series 2003, AMT, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.700% 10/01/12**@@......................................... 3,450 6,910 University of Alabama General Revenue, Series 2004, (MBIA Insured, Citibank N.A. Liquidity Facility), 1.750% 07/01/34**#.......................................... 6,910 ---------- 30,585 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ALASKA -- 0.3% $ 5,800 Alaska Municipal Board Bank Authority, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.730% 01/01/24**#.......................................... $ 5,800 2,665 Alaska Municipal GO, Board Bank Authority, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY-AGMT), 1.730% 02/15/12**#.......................................... 2,665 7,000 Alaska State, Housing Finance Corporation Revenue, Series 2002A, AMT, (FSA GO of Corporation, Dexia Credit Local de France SBPA), 1.750% 12/01/36**........................................... 7,000 ---------- 15,465 ---------- ARIZONA -- 1.8% 5,200 Apache County, Arizona IDR, (Tucson Electric Power Project) Series 1983C, (Societe Generale LOC), 1.750% 12/15/18**........................................... 5,200 35,000 Arizona School District Financing Program Certificate Partnership TAN, Series 2004, 3.000% 07/30/05............................................. 35,444 6,800 Coconino County, Arizona Pollution Control Corporation Revenue, (Arizona Public Service Company - Navajo Project) Series 1994A, AMT, (KBC Bank LOC), 1.750% 10/01/29**........................................... 6,800 1,600 Goodyear, Arizona IDR, (Walle Corporation Project) Series 1995, AMT, (Bank One Kentucky, N.A. LOC), 1.770% 05/01/15**#.......................................... 1,600 5,280 Maricopa County, Arizona United School District Number 41 Gilbert Capital Appreciation Refunding, Series 1994, (FGIC Insured), 1.33%*** 01/01/05........................................... 5,262 12,000 Phoenix Civic Improvement Corporation, 1.470% 05/05/05............................................. 12,000
SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ARIZONA -- (CONTINUED) $ 22,800 Phoenix, Arizona Civic Improvement Corporation Excise Tax Revenue, (Apartment Improvements Project) Series 1995, AMT, (Landesbank Hessen Thueringen LOC), 1.720% 06/01/20**........................................... $ 22,800 4,600 Phoenix, Arizona Industrial Development Authority, Multi- Family Housing Revenue Refunding, Series 2003B, AMT, (Park National Bank LOC, FHLB LOC), 1.790% 04/01/08**........................................... 4,600 ---------- 93,706 ---------- ARKANSAS -- 0.2% 6,500 Lowell, Arkansas IDR, (Little Rock Newspapers, Inc. Project) Series 1996, AMT, (Bank of New York LOC), 1.750% 06/01/31**#.......................................... 6,500 2,600 Sheridan, Arkansas IDR, (Centria Project) Series 2000A, AMT, (PNC Bank N.A. LOC), 1.820% 08/01/20**#.......................................... 2,600 1,000 Sheridan, Arkansas IDR, (H Robertson Company Project) Series 1998B, AMT, (PNC Bank N.A. LOC), 1.770% 08/01/16**#.......................................... 1,000 ---------- 10,100 ---------- CALIFORNIA -- 6.4% 6,300 Anaheim, California Housing Authority Multi-Family Housing Revenue, (Sea Winds Apartments Project) Series 2000C, AMT, (FNMA Insured, FNMA Liquidity Facility), 1.730% 07/15/33**........................................... 6,300 34,300 California Housing Finance Agency Multi-Family Housing Revenue, Series 2000C, AMT, (GO of Agency), 1.850% 02/01/33**........................................... 34,300 8,710 California Housing Finance Agency Revenue, (Home Mortgage Project) Series 2001R, AMT, (AMBAC Insured, Lloyds TSB Bank plc SBPA), 1.770% 08/01/23**........................................... 8,710 15,060 California Housing Finance Agency Revenue, (Home Mortgage Project) Series 2002F, AMT, (Bank of Nova Scotia SBPA), 1.770% 02/01/33**........................................... 15,060 6,300 California Housing Finance Agency Revenue, Series 2002M, AMT, (Bank of Nova Scotia SBPA), 1.770% 02/01/25**........................................... 6,300
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 8,875 California Housing Finance Agency Revenue, Series 2002M, AMT, (Bank of Nova Scotia SBPA), 1.770% 08/01/32**........................................... $ 8,875 24,295 California Housing Finance Agency Revenue, Series 2002M, AMT, (Bank of Nova Scotia SBPA), 1.770% 08/01/33**........................................... 24,295 34,500 California Housing Finance Agency Revenue, Series 2004E-2, (JP Morgan Chase Liquidity Facility), 1.650% 02/01/35**........................................... 34,500 37,250 California Housing Finance Agency, Multi-Family Housing Revenue, Series 2000A, AMT, 1.730% 02/01/26**........................................... 37,250 4,770 California State, Economic Recovery Revenue, Series 2004C-8, (State Guaranteed, Lloyds TSB Bank plc LOC), 1.770% 07/01/23**........................................... 4,770 7,350 California Statewide Communities Development Authority, Multi- Family Revenue, (Greentree Senior Apartments Project) Series 2000P, AMT, (FNMA Liquidity Facility), 1.720% 11/15/30**........................................... 7,350 7,500 California Statewide Community Development Authority Multi- Family Revenue Housing, (Bay Vista Meadow Park Project) Series 2003, AMT, (Wells Fargo Bank N.A. LOC), 1.180% 11/15/37............................................. 7,500 15,900 East Bay Municipal Utility District, California Wastewater System Revenue, (Westdeutsche Landesbank Girozentrale SBPA, JP Morgan Chase Bank SBPA), 1.190% 12/01/04............................................. 15,900 13,000 Los Angeles County Capital Asset Leasing Corporation, (Westdeutsche Landesbank LOC, Bayerische Landesbank LOC, Morgan Guaranty Trust Company LOC), 1.720% 10/01/04............................................. 13,000 8,193 Los Angeles Harbor Department, (Westdeutsche Landesbank Liquidity Facility, Landesbank Baden-Wurttemberg Liquidity Facility), 1.380% 10/12/04............................................. 8,193
SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 30,000 Los Angeles Metropolitan Transportation Revenue, (Bayerische Landesbank LOC, Landesbank Baden-Wuerttemberg LOC, Westdeutsche Landesbank LOC), 1.340% 11/15/04............................................. $ 30,000 10,000 Los Angeles, California TRAN, Series 2004, 3.500% 06/30/05............................................. 10,146 10,850 Pleasanton, California Multi-Family Housing Revenue, (Bernal Apartment Project) Series 2001A, AMT, (FNMA Liquidity Facility), 1.730% 09/15/34**........................................... 10,850 20,000 San Francisco County Transportation Authority, Series B, (Landesbank Baden-Wurttemberg Liquidity Facility), 1.320% 10/07/04............................................. 20,000 7,800 San Francisco County, California Transportation Authority, (Landesbank Baden-Wurttemberg Liquidity Facility), 1.340% 11/15/04............................................. 7,800 14,020 Southern California Home Financing Authority, Single Family Revenue, Series 2004B, AMT, (Banque Nationale de Paris Liquidity Facility), 1.450% 02/01/34............................................. 14,020 ---------- 325,119 ---------- COLORADO -- 3.6% 1,000 Adams & Arapahoe Counties, Colorado GO, Joint School District, Series 2003A, (FSA Insured, State Aid Withholding), 4.000% 12/01/04............................................. 1,005 2,800 Colorado Health Facilities Authority Revenue, (Crossroads Projects) Series 2004A, (U.S. Bank N.A. LOC), 1.740% 11/01/28**........................................... 2,800 240 Colorado Health Facilities Authority Revenue, (Goodwill Industries, Inc. Project) Series 1994, (Bank One of Colorado, N.A. LOC), 1.860% 12/01/04**#.......................................... 240 9,100 Colorado Housing and Finance Authority Revenue, (Multi-Family Project) Series 2002A-1, AMT, (FHLB SPA), 1.750% 10/01/22**........................................... 9,100 8,400 Colorado Housing and Finance Authority Revenue, Series 2002I-C2, AMT, (FHLB SBPA), 1.750% 10/01/32**........................................... 8,400
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- COLORADO -- (CONTINUED) $ 10,785 Colorado Housing and Finance Authority, (Multi-Family Project) Series 2004I-A2, AMT, (FHLB SBPA), 1.750% 04/01/45**........................................... $ 10,785 15,685 Colorado Housing and Finance Authority, (Single Family Clinic Project) Series 2002C, AMT, (Lloyds TSB Bank plc SBPA Liquidity Facility), 1.750% 05/01/22**........................................... 15,685 25,000 Colorado Housing and Finance Authority, (Single Family Mortgage Project) Series 2004, AMT, (Dexia Credit Local SBPA), 1.750% 11/01/26**........................................... 25,000 10,000 Colorado Housing and Finance Authority, Series 2003, AMT, (Dexia Credit Local SBPA), 1.750% 11/01/26**........................................... 10,000 4,100 Colorado Housing and Finance Authority, Single Family Mortgage Revenue, Series 2002, (FHLB SBPA), 1.750% 11/01/21**........................................... 4,100 17,000 Colorado Housing and Finance Authority, Single Family Mortgage Revenue, Series 2003B-3, AMT, (JP Morgan Chase Bank SBPA), 1.750% 11/01/26**........................................... 17,000 16,100 Colorado State Education Loan Program, Series 2004D, (Lehman Liquidity Company Liquidity Facility) 1.200% 08/09/05**#.......................................... 16,100 17,200 Colorado Student Obligation Board Authority, Series 1990A, AMT, (AMBAC Insured, Credit Suisse 1st Boston SBPA), 1.760% 09/01/24**........................................... 17,200 2,060 Denver, Colorado City and County Airport Revenue, Series 1994, AMT, 7.500% 11/15/23............................................. 2,117 10,950 Denver, Colorado City and County Certificates of Participation, Series 2003, (AMBAC Insured, Dexia Credit Local SBPA), 1.700% 12/01/29**........................................... 10,950 24,015 Denver, Colorado City and County, Colorado Excise Tax Revenue, (Colorado Convention Center Project) Series 2001, (FSA Insured, Dexia Credit Local SBPA), 1.700% 09/01/25**........................................... 24,015
SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- COLORADO -- (CONTINUED) $ 695 Douglas County, Colorado GO School District Number RE 1, Series 1994A, (MBIA Insured, State Aid Withholding), 6.500% 12/15/16............................................. $ 710 5,700 Douglas County, Colorado Multi-Family Revenue Housing, (LincolnPointe Lofts Projects) Series 2003, AMT. (U.S. Bank N.A. LOC), 1.770% 02/01/37**........................................... 5,700 1,000 Municipal Subdistrict Northern Colorado Water Conservancy District Revenue, Series 1996F, (AMBAC Insured), 6.050% 12/01/04............................................. 1,008 ---------- 181,915 ---------- DELAWARE -- 0.1% 1,600 Delaware State Economic Development Authority IDR, Series 1998, AMT, (PNC Bank Delaware LOC), 1.820% 09/01/18**#.......................................... 1,600 5,185 New Castle County, Delaware Airport Facilities Revenue, (Flightsafety International Inc. Project) Series 2002, (Berkshire Hathaway GTY AGMT), 1.740% 12/01/32**........................................... 5,185 ---------- 6,785 ---------- DISTRICT OF COLUMBIA -- 0.8% 7,500 District of Columbia Enterprise Zone Revenue, (House on F Street Project) Series 2001, (Bank of New York LOC), 1.780% 05/01/15**........................................... 7,500 5,000 District of Columbia Housing Finance Agency, Multi-Family Housing Revenue, Series 1995A, AMT, (HUD Section 8, Landesbank Hessen-Thueringin LOC), 1.820% 08/01/25**........................................... 5,000 15,900 District of Columbia Revenue, 1.110% 10/04/04............................................. 15,900 7,500 District of Columbia Revenue, (National Association of Realtors Project), Series 2003, AMT, (Suntrust Bank LOC), 1.770% 12/01/23**........................................... 7,500 2,750 Metropolitan Washington District of Columbia Airport Authority System, Series 2004, AMT, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.780% 10/01/12**#.......................................... 2,750 ---------- 38,650 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- FLORIDA -- 6.5% $ 5,570 Broward County, Florida Airport System Revenue, Series 2004, AMT, (MBIA Insured, Westdeutsche Landesbank SBPA), 1.780% 10/01/07**#.......................................... $ 5,570 29,300 Broward County, Florida Port Facilities Revenue Refunding, (Port Everglades Project) Series 1998, (AMBAC Insured, Bank of Nova Scotia SBPA), 1.800% 09/01/27**........................................... 29,300 7,500 Collier County, Florida Health Facilities Authority Hospital Revenue, Cleveland Clinic Health, Series 2003C-1, (JP Morgan Chase Bank LOC), 1.720% 01/01/35**........................................... 7,500 4,635 Collier County, Florida Industrial Development Authority Revenue, (YMCA Collier County Inc. Project) Series 2004, (Suntrust Bank LOC), 1.740% 09/01/29**........................................... 4,635 4,240 Escambia County, Florida Housing Finance Authority, Single Family Mortgage Revenue, Series 2001, 1.770% 10/01/31**........................................... 4,240 7,545 Florida Housing Finance Agency Multi-Family Housing Revenue, (Lakes of Northdale Project) Series 1984D, (SouthTrust Bank of Alabama LOC), 1.750% 05/15/12**........................................... 7,545 7,130 Florida Housing Finance Corporate Multi-Family Revenue, (Magnolia Pointe Apartments Project) Series 2004J, AMT, (Wachovia Bank N.A. LOC), 1.760% 06/01/39**........................................... 7,130 3,500 Florida Housing Finance Corporation Revenue, (Tuscany Lakes Housing Project) Series 2002, AMT, (FNMA Insured), 1.790% 11/15/35**........................................... 3,500 14,014 Florida Local Government Finance Commission, Series A, 1.420% 11/15/04............................................. 14,014 14,230 Florida State Board of Education Lottery Revenue, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY-AGMT), 1.720% 07/01/11**#.......................................... 14,230 1,340 Fort Walton Beach, Florida IDR, (Burton Golf, Inc. Project) Series 1996, AMT, (Columbus Bank and Trust LOC), 2.000% 10/01/11**#.......................................... 1,340
SEE NOTES TO FINANCIAL STATEMENTS. 49 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 4,500 Greater Orlando Aviation Authority Florida, Airport Facility Revenue Refunding, (FSA Bayerische Hypotheken und Vereinsbank SBPA), 1.750% 10/01/21**........................................... $ 4,500 12,650 Greater Orlando Aviation, Series B, AMT, (Bayerische Landesbank LOC, Westdeutsche Landesbank LOC, State Street Bank & Trust LOC), 1.380% 10/12/04............................................. 12,650 12,650 Greater Orlando Aviation, Series B, AMT, (Bayerische Landesbank LOC, Westdeutsche Landesbank LOC, State Street Bank & Trust LOC), 1.220% 11/15/04............................................. 12,650 12,650 Greater Orlando Aviation, Series B, AMT, (Bayerische Landesbank LOC, Westdeutsche Landesbank LOC, State Street Bank & Trust LOC), 1.470% 11/15/04............................................. 12,650 2,770 Hollywood, Florida Water and Sewer Revenue, Series 2003, (FSA Insured, Citigroup Global Market Liquidity Facility), 1.750% 10/01/18**#.......................................... 2,770 1,000 Jacksonville, Florida Port Authority Airport Revenue Refunding, Series 2003A, AMT, (FGIC Insured), 2.000% 10/01/04............................................. 1,000 5,500 Lake County, Florida Industrial Development Authority IDR, (Senninger Irrigation Project) Series 2003, AMT, (Suntrust Bank LOC), 1.770% 11/01/24**........................................... 5,500 5,000 Lee County, Florida Industrial Development Authority Utilities Revenue, (North Fort Myers Utilities Project) Series 2003A, AMT, (SunTrust Bank LOC), 1.770% 06/01/22**........................................... 5,000 3,200 Miami-Dade County, Florida Individual Development Authority Revenue, (Airis Miami LLC Project) Series 1999A, AMT, (AMBAC Insured, Bayerische Landesbank SBPA), 1.750% 10/15/25**........................................... 3,200 4,600 Miami-Dade County, Florida School Board Certificates of Participation, Series 2004, (FGIC Insured, Citigroup Global Market Liquidity Facility), 1.750% 10/01/20**#.......................................... 4,600
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 8,400 Pinellas County, Florida Housing Finance Authority Multi-Family Revenue Housing, (Alta Largo Apartments Project) Series 2004, AMT, (Amsouth Bank LOC), 1.770% 06/01/42**........................................... $ 8,400 11,355 Sunshine State Government Financing Commission, 1.270% 12/01/04............................................. 11,355 50,000 Sunshine State Governmental Financing Commission, (Governmental Financing Program) Series A, 1.330% 10/05/04............................................. 50,000 27,995 Sunshine State Governmental Financing Commission, (Miami-Dade County Program) Series G, (DEPFA Liquidity Facility), 1.370% 10/12/04............................................. 27,995 34,020 Sunshine State Governmental Financing Commission, (Miami-Dade County Program) Series G, (DEPFA Liquidity Facility), 1.520% 10/18/04............................................. 34,020 34,690 Sunshine State Governmental Financing Commission, (Miami-Dade County Program) Series G, (DEPFA Liquidity Facility), 1.380% 11/09/04............................................. 34,690 1,500 University Athletic Association Inc., Florida Athletic Program Revenue, Series 2001, (SunTrust Bank LOC), 3.000% 10/01/31............................................. 1,500 ---------- 331,484 ---------- GEORGIA -- 5.3% 2,500 Atlanta, Georgia Airport Revenue Refunding, Series 2003A, (MBIA Insured), 4.500% 01/01/05............................................. 2,521 12,960 Atlanta, Georgia Airport Revenue, Series 2001, AMT, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.260% 01/01/25**@@......................................... 12,960 10,000 Atlanta, Georgia Airport Revenue, Series 2003, AMT, (FGIC Insured, BNP Paribas SBPA), 1.780% 12/30/11**#.......................................... 10,000 5,390 Atlanta, Georgia Airport Revenue, Series 2003, AMT, (FGIC Insured, BNP Paribas SBPA), 1.780% 01/01/14**#.......................................... 5,390 4,470 Atlanta, Georgia Airport Revenue, Series 2004, AMT, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.780% 01/01/14**#.......................................... 4,470
SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 5,650 Atlanta, Georgia Urban Residential Finance Authority Multi-Family Revenue, (Collegetown Harris Project) Series 2003I, AMT, (Fannie Mae Liquidity Facility), 1.740% 10/15/36**........................................... $ 5,650 25,100 Atlanta, Georgia Urban Residential Finance Authority Multi-Family Revenue, (Park District Atlantic Project) Series 2002A, AMT, (SouthTrust Bank N.A. LOC), 1.770% 12/01/37**........................................... 25,100 7,000 Atlanta, Georgia Urban Residential Finance Authority Multi-Family Revenue, AMT, (Regions Bank LOC), 1.790% 03/01/43**........................................... 7,000 5,000 Bartow County, Georgia Development Authority Multi-Family Housing Revenue, (Somerset Cove Apartments Project) Series 2002, (PNC Bank N.A.), 1.770% 02/01/35**........................................... 5,000 6,750 Carroll County, Georgia Development Authority Industrial Revenue, (Royal Metal Products Project) Series 2004, AMT, (Suntrust Bank LOC), 1.770% 06/01/24**........................................... 6,750 5,725 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Chateau Forest Apartments Project) Series 1990E, (FSA Insured, Societe Generale SBPA), 1.540% 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), 1.770% 03/15/36**........................................... 3,900 390 Cobb County, Georgia IDR, (Datagraphic Inc. Project) Series 1990, AMT, (SouthTrust Bank of Alabama LOC), 1.940% 05/01/05**........................................... 390 9,215 Columbia County, Georgia Development Authority Multi-Family Revenue, (Westwood Club Apartments Project) Series 2002, AMT, (Keybank, N.A. LOC), 1.700% 11/15/35**........................................... 9,215 9,700 Columbus, Georgia Hospital Authority Revenue, (St. Francis Hospital Inc., Project) Series 2000A, (Columbus Bank & Trust LOC), 1.730% 01/01/31**#.......................................... 9,700
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 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), 1.750% 08/01/27**#.......................................... $ 7,475 1,000 Dooly County, Georgia Industrial Development Authority Revenue, (Hamburg Enterprises Project) Series 2003, AMT, (Fifth Third Bank LOC), 1.600% 12/01/17**#.......................................... 1,000 2,800 Douglas County, Georgia Development Authority, (Colonial Hills School Property Project) Series 2004, (Branch Banking & Trust, LOC), 1.720% 06/01/24**#.......................................... 2,800 8,000 East Point, Georgia Housing Authority Multi-Family Revenue, (Village Highlands Apartments Project) Series 2004, (Suntrust LOC, FHLMC Liquidity Facility), 1.770% 07/01/37**........................................... 8,000 4,620 Franklin County, Georgia Industrial Building Authority, IDR, (Bosal Industries Georgia Inc. Project) Series 1995, AMT, (Standard Federal Bank LOC), 1.770% 08/01/10**........................................... 4,620 34,270 Fulton County, Georgia Development Authority Airport Facilities Revenue, (Flightsafety International Inc. Project) Series 1999B, AMT, 1.740% 12/01/18**........................................... 34,270 9,350 Fulton County, Georgia Development Authority Airport Facilities Revenue, (Flightsafety International Inc. Project) Series 1999B, AMT, 1.740% 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), 1.920% 06/01/27**#.......................................... 3,900 4,035 Georgia Municipal Electric Authority Power Revenue, Series 2003, (MBIA Insured, Westdeutsche Landesbank AG SBPA), 1.730% 01/01/13**#.......................................... 4,035 5,495 Georgia Municipal Electric Authority Revenue, Series 2004, (AMBAC Insured, Citigroup Global Markets Liquidity Facility), 1.750% 01/01/26**#.......................................... 5,495
SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 6,695 Gwinnett County, Georgia Development Authority, Certificate of Participation, Series 2004, (MBIA Insured, Citibank N.A. Liquidity Facility), 1.750% 01/01/21**#.......................................... $ 6,695 5,000 Kennesaw, Georgia Development Authority Housing, (Walton Ridenour Apartments Project) Series 2004, AMT, (Suntrust Bank LOC), 1.770% 04/01/37**........................................... 5,000 9,601 Municipal Electric Authority of Georgia, (Bayerische Landesbank Girozentrale LOC, Wachovia Bank LOC, Westdeutsche Landesbank Girozentrale LOC), 1.720% 10/01/04............................................. 9,601 43,937 Municipal Electric Authority of Georgia, (Bayerische Landesbank Girozentrale LOC, Wachovia Bank LOC, Westdeutsche Landesbank Girozentrale LOC), 1.720% 10/01/04............................................. 43,937 9,215 Richmond County, Georgia Development Authority, (Stonegate Club Apartments Project) Series 2002, (J.P. Morgan Chase Bank LOC), 1.700% 11/15/35**........................................... 9,215 875 Thomasville, Georgia Payroll Development Authority Industrial Revenue, (Scruggs Company Project) Series 2000, (First Union National Bank LOC), 1.860% 08/01/10**#.......................................... 875 ---------- 270,039 ---------- HAWAII -- 0.1% 1,350 Hawaii State Airports System Revenue, Series 2004, AMT, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.780% 01/01/10**........................................... 1,350 1,690 Hawaii State Apartments System Revenue, Series 2004, AMT, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.780% 01/01/10**#.......................................... 1,690 ---------- 3,040 ---------- IDAHO -- 0.7% 6,000 Idaho Falls, Idaho GO, Series 1991, (FGIC Insured), 1.350%*** 04/01/05.......................................... 5,960 4,835 Idaho Housing and Finance Association Revenue, Series 2002A-38, AMT, (Wachovia Bank N.A. LOC), 1.790% 07/01/32**#.......................................... 4,835
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- IDAHO -- (CONTINUED) $ 13,485 Idaho Housing and Finance Association, Single Family Mortgage Revenue, Series 2002D, (Bayerische Landesbank SBPA), 1.750% 07/01/33**........................................... $ 13,485 10,910 Idaho Housing and Finance Association, Single Family Mortgage Revenue, Series 2003C, AMT, (Bayerische Landesbank SBPA), 1.750% 07/01/34**........................................... 10,910 2,000 Power County, Idaho IDR, (FMC Corporation Project) Series 2001, AMT, (Wachovia Bank N.A. LOC), 1.760% 04/01/14**........................................... 2,000 ---------- 37,190 ---------- ILLINOIS -- 5.8% 1,795 Addison, Illinois IDR, (Stand Fast Packaging Products) Series 1996, AMT, (LaSalle Bank N.A. LOC), 1.880% 07/01/21**#.......................................... 1,795 22,575 Bolingbrook, Illinois GO, Series 2004, (Harris Trust and Savings Bank LOC), 1.560% 12/01/29**........................................... 22,575 1,330 Chicago, Illinois IDR, (Bullen Midwest Inc. Project) Series 1997, AMT, (LaSalle Bank N.A. LOC), 1.860% 11/01/17**........................................... 1,330 14,000 Chicago, Illinois Multi-Family Housing Revenue, (Concordia Place Apartments Project) Series 2003, AMT, (Harris Trust & Services Bank LOC), 1.760% 07/01/34**........................................... 14,000 1,470 Chicago, Illinois Multi-Family Housing Revenue, (North Larrabee Project) Series 2001A, AMT, (Harris Trust and Savings Bank LOC), 1.830% 04/01/36**........................................... 1,470 3,800 Chicago, Illinois Multi-Family Housing Revenue, (Renaissance Saint Luke Project) Series 2004A, AMT, (Harris Trust & Savings Bank LOC), 1.830% 01/01/39**........................................... 3,800 2,200 Chicago, Illinois Multi-Family Housing Revenue, Series 2001B, (Harris Trust & Savings Bank LOC), 1.830% 04/01/09**........................................... 2,200 5,590 Chicago, Illinois O'Hare International Airport Revenue Refunding, Series 1999, AMT, (AMBAC Insured), 5.500% 01/01/05............................................. 5,645
SEE NOTES TO FINANCIAL STATEMENTS. 52 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 1,415 Chicago, Illinois O'Hare International Airport Revenue, (2nd Lien Passenger Facilities Project) Series 2001C, AMT, (AMBAC Insured), 5.000% 01/01/05............................................. $ 1,429 5,200 Chicago, Illinois O'Hare International Airport Revenue, Series 2003, AMT, (FSA Insured, Citigroup Global Markets Liquidity Facility), 1.790% 01/01/22**#.......................................... 5,200 5,500 Chicago, Illinois O'Hare International Airport Revenue, Series 2003, AMT, (FSA Insured, Merrill Lynch Capital Services SBPA), 1.780% 07/01/11**#.......................................... 5,500 2,110 Chicago, Illinois O'Hare International Airport Revenue, Series 2003, AMT, (MBIA Insured, Merrill Lynch Capital Services SPBA), 1.780% 07/01/08**#.......................................... 2,110 3,025 Chicago, Illinois O'Hare International Airport Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA) 1.250% 11/08/08**#.......................................... 3,025 4,800 Chicago, Illinois O'Hare International Airport Revenue, Series 2004, (FSA Insured, Banque Nationale Paris SBPA), 1.500% 01/18/12**@@......................................... 4,800 2,170 Chicago, Illinois Wastewater Transmission Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.810% 01/01/22**#.......................................... 2,170 2,835 Cook County, Illinois GO, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility), 1.750% 11/15/21**#.......................................... 2,835 1,210 Gurnee, Illinois IDR, (Kenall Manufacturing Company Project) Series 1998, (Harris Trust and Saving Bank LOC), 1.830% 03/01/18**........................................... 1,210 5,930 Gurnee, Illinois IDR, (Little Lady Foods Inc. Project) Series 2002, AMT, (LaSalle Bank N.A. LOC), 1.780% 12/01/22**........................................... 5,930 8,960 Illinois ABN, AMRO, GO, Series 2004, (PSF-GTD, ABN AMRO Bank N.V. SBPA), 1.750% 02/01/11**#.......................................... 8,960
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 2,545 Illinois Development Finance Authority Affordable Housing Revenue, (Cinnamon Lake Towers Project) Series 1997, AMT, (Bank One N.A. LOC), 1.750% 04/15/37**........................................... $ 2,545 1,840 Illinois Development Finance Authority IDR, (Flinn Scientific Incorporated Project) Series 1995, (Harris Trust and Savings Bank LOC), 1.830% 10/01/15**........................................... 1,840 2,800 Illinois Development Finance Authority IDR, (Unique Building Corporation Project) Series 1989, AMT, (American National Bank & Trust Company LOC), 1.900% 05/01/19**........................................... 2,800 4,500 Illinois Development Finance Authority IDR, (WM Plastics Project) Series 2001, AMT, (LaSalle Bank, N.A. LOC), 1.780% 08/01/26**........................................... 4,500 5,700 Illinois Development Finance Authority Revenue, (Groot Industries Incorporated Project) Series 2003, (Bank One N.A. LOC), 1.900% 12/01/23**#.......................................... 5,700 1,100 Illinois Development Finance Authority Revenue, (Jewish Council Youth Service Project) Series 2003, (Harris Trust & Savings Bank LOC), 1.800% 09/01/28**........................................... 1,100 1,500 Illinois Development Finance Authority Revenue, (Park Ridge Youth Campus Project) Series 1998, (Northern Trust Company LOC), 1.800% 09/01/18**#.......................................... 1,500 7,500 Illinois Development Finance Authority Revenue, (Sexton Energy Project) Series 2003, AMT, (Fifth Third Bank LOC), 1.770% 10/01/23**........................................... 7,500 1,600 Illinois Development Finance Authority, IDR, (Campagna-Turano Bakery Project) Series 2000, AMT, (American National Bank & Trust LOC), 1.900% 08/01/25**#.......................................... 1,600 3,950 Illinois Development Finance Authority, IDR, (Clingan Steel Incorporated Project) Series 2003, AMT, (Bank One N.A. LOC), 1.930% 12/01/23**#.......................................... 3,950
SEE NOTES TO FINANCIAL STATEMENTS. 53 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 3,900 Illinois Development Finance Authority, IDR, (Feltes Sand and Gravel Company Project) Series 2003, AMT, (LaSalle Bank N.A. LOC), 1.780% 12/01/18**........................................... $ 3,900 2,470 Illinois Development Finance Authority, IDR, (Rainbow Graphics Inc. Project) Series 2003, AMT, (Bank One N.A. LOC), 2.020% 08/01/23**#.......................................... 2,470 1,850 Illinois Development Finance Authority, IDR, (Royal Continental Box Project) Series 1995B, AMT, (LaSalle National Bank LOC), 1.780% 04/01/10**........................................... 1,850 6,700 Illinois Development Finance Authority, Multi-Family Revenue, (West Chicago Senior Apartment Project) Series 2003, AMT, (Citibank N.A. LOC), 1.800% 02/01/38**........................................... 6,700 5,405 Illinois Development Finance Authority, Multi-Family Revenue, Series 2001, 1.790% 12/01/13**#.......................................... 5,405 3,145 Illinois Educational Facilities Authority Revenues, (Chaplin Hall Center Children Project) Series 2003, (Fifth Third Bank), 1.530% 07/01/24**#.......................................... 3,145 26,580 Illinois Health Facilities Authority Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.730% 12/23/05**#.......................................... 26,580 3,400 Illinois Housing Development Authority, Multi-Family Revenue, (Mattoon Towers Project) Series 2004, AMT, (First National Bank LOC, FHLB LOC), 1.750% 01/01/34**........................................... 3,400 6,300 Illinois Housing Development Authority, Multi-Family Revenue, (Spring Creek Project) Series 2004, (LaSalle Bank N.A. LOC), 1.760% 04/01/34**........................................... 6,300 2,650 Illinois State Development Finance Authority Economic Development Revenue, (Addison 450 LP Project) Series 1989, AMT, (American National Bank & Trust Company LOC), 1.780% 12/01/09**........................................... 2,650
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 8,500 Illinois State Finance Authority, Multi-Family Revenue, (New Vistas II Apartments Project) Series 2004, AMT, (FNMA Liquidity Facility), 1.780% 10/15/34**........................................... $ 8,500 3,500 Illinois State GO, Series 2001, 5.000% 10/01/04............... 3,500 500 Illinois State GO, Series 2001, (FGIC Insured), 4.000% 11/01/04............................................. 501 3,000 Illinois State GO, Series 2002, (FSA Insured), 5.000% 04/01/05............................................. 3,058 2,405 Lake County, Illinois GO, Community United School District Number 60, Series 2001B, (FSA Insured), 6.000% 11/01/04............................................. 2,415 1,500 Lombard Village, Illinois Industrial Projects Revenue Refunding, (B&H Partnership Project) Series 1995, (LaSalle Bank, N.A. LOC), 2.100% 10/01/13**........................................... 1,500 9,930 McLean & Woodford Counties, Illinois GO Community Unified School District Number 005, Series 2003, (FSA Insured, Merrill Lynch Capital Services SBPA), 1.730% 12/01/09**#.......................................... 9,930 7,520 Metropolitan Pier and Exposition Authority Illinois Dedicated State Tax, Series 2004, (FGIC Insured, Merrill Lynch Capital SBPA), 1.810% 05/22/24**#.......................................... 7,520 7,665 Metropolitan Pier and Exposition Authority Illinois Dedicated State Tax, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.810% 12/15/27**#.......................................... 7,665 6,740 Metropolitan Pier and Exposition Authority Illinois Dedicated State Tax, Series 2004, (MBIA Insured, Merrill Lynch Capital Services), 1.810% 12/15/25**#.......................................... 6,740 2,530 New Lenox, Illinois IDR, (Panduit Corporation Project) Series 1990, AMT, (LOC Fifth Third Bank), 1.740% 07/01/15**........................................... 2,530 7,170 Northern Illinois University Revenue, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.730% 10/01/09**#.......................................... 7,170 3,670 Palos Hills, Illinois Multi-Family Housing Revenue, (Green Oaks Project) Series 1998, AMT, (FNMA Collateral Agreement), 1.780% 08/01/29**#.......................................... 3,670
SEE NOTES TO FINANCIAL STATEMENTS. 54 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 1,700 Savanna, Illinois IDR, (Metform Corporation Project) Series 1994B, AMT, (Bank One N.A. LOC), 1.750% 06/01/09**........................................... $ 1,700 2,065 Tinley Park, Illinois IDR, (Beverly Manufacturing Company Project) Series 1997A, AMT, (American National Bank & Trust LOC), 1.940% 09/01/17**........................................... 2,065 5,295 University Illinois Certificate of Participation, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.730% 03/01/11**#.......................................... 5,295 2,475 Upper Illinois, River Valley Development Authority, IDR, (Clover Properties LLC Project) Series 2000, AMT, (LaSalle Bank N.A. LOC), 1.780% 07/01/20**#.......................................... 2,475 1,385 Urbana, Illinois Multi-Family Housing Revenue, (Prairie Green II Apartments Project) Series 2003, AMT, (LaSalle Bank N.A. LOC), 1.780% 06/01/29**........................................... 1,385 1,810 Will & Kendall County, Illinois GO Community Construction School District Number 202, Series 2002, (FSA Insured), 3.500% 01/01/05............................................. 1,821 22,905 Will County, Illinois Multi-Family Housing Redevelopment Revenue Refunding, (Woodlands Crest Hill Project), Series 1999, 1.780% 02/15/31**........................................... 22,905 ---------- 293,764 ---------- INDIANA -- 3.2% 2,900 Allen County, Indiana Economic Development Revenue, (Debrand Inc. Project) Series 2002, (Bank One N.A. LOC), 1.970% 08/01/17**#.......................................... 2,900 3,000 Bloomington, Indiana Multi-Family Revenue, (Willow Manor Apartments Project) Series 2002, AMT, (Fifth Third Bank LOC), 1.600% 11/22/32**........................................... 3,000 1,900 Burns Harbor Industrial Economic Development Revenue, (Dennen Steel Corporation Project) Series 2003, AMT, (Standard Federal Bank LOC), 1.780% 12/01/23**........................................... 1,900 1,600 Elkhart, Indiana Economic Development Revenue, (Vahala Foam Enterprises Project) Series 2002, (Bank One N.A.), 1.980% 09/01/17**#.......................................... 1,600
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 5,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 1997, 1.720% 10/01/27**........................................... $ 5,000 7,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 1999, AMT, 1.720% 01/01/29**........................................... 7,000 10,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 2000A, 1.720% 01/01/28**........................................... 10,000 5,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 2001B, 1.720% 09/01/31**........................................... 5,000 6,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 200A, 1.720% 01/01/30**........................................... 6,000 3,182 Greencastle, Indiana Economic Development Revenue Refunding, (Round Barn Manor Project) Series 2003A, AMT, (Federal Home Loan Bank), 1.780% 01/01/28**........................................... 3,182 2,000 Greencastle, Indiana IDR, (Crown Equipment Corporation Project) Series 1996, AMT, (Key Bank, N.A. LOC), 1.770% 02/01/11**#.......................................... 2,000 16,000 Indiana Board Book Revenue Notes, (Midyear Funding Project) Series 2004A, 2.500% 01/26/05............................................. 16,057 775 Indiana Health Facilities Financing Authority Revenue Refunding, (Cardinal Center, Inc. Project) Series 1996A, (Key Bank, N.A. LOC), 1.750% 12/01/16**#.......................................... 775 10,000 Indiana Health Facilities Financing Authority Revenue, Series 2001GP-A-3, 1.050% 11/15/36**........................................... 10,000 11,000 Indiana State Development Finance Authority Environmental Revenue, (PSI Energy Incorporated Projects) Series 2004A, AMT, (Barclays Bank plc LOC), 1.750% 08/01/39**........................................... 11,000 800 Indiana State Development Finance Authority, EDR, (Patriot Homes Inc. Project), Series 1995, AMT, (Bank One Indiana N.A. LOC), 1.900% 01/01/10**#.......................................... 800
SEE NOTES TO FINANCIAL STATEMENTS. 55 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 24,000 Indiana State Development Finance Authority, Solid Waste Disposal Revenue, (Pure Air on the Lake, LP Project) Series 90-A, 1.150% 10/06/04............................................. $ 24,000 2,100 Indiana State Employment Development Community Revenue, (Industrial Building Fischer Entertainment Project), Series 1989, AMT, (Deutsche Bank A.G. LOC), 1.770% 12/01/04**........................................... 2,100 8,398 Indiana State Housing Finance Authority Multi-Family Revenue, Series 1997M-A, AMT, (FHLB LOC), 1.780% 01/01/29**........................................... 8,398 6,175 Indiana Transportation Finance Authority Highway Revenue, Series 2004, (FGIC Insured, Citibank N.A. Liquidity Facility), 1.750% 12/01/14**#.......................................... 6,175 6,000 Indiana Transportation Finance Authority Highway Revenue, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.730% 06/01/21**#.......................................... 6,000 2,000 Indianapolis, Indiana IDR, (Altec Industries Project) Series 1989, (Wachovia Bank of Georgia LOC), 1.990% 12/01/04**#.......................................... 2,000 5,450 Jeffersonville, Indiana Economic Development Revenue, (Amatrol Project) Series 2003, AMT, (National City Bank of Kentucky LOC), 1.820% 04/01/23**#.......................................... 5,450 2,850 Jeffersonville, Indiana Industrial Economic Development Revenue, (Eagle Steel Products Incorporated Project) Series 2001, AMT, (Fifth Third Bank LOC), 1.600% 08/01/21**#.......................................... 2,850 9,045 Vincennes University, Indiana University Revenue, (Student Fee Project) Series 2002F, (Bank One Indiana N.A. LOC), 1.820% 10/01/22**........................................... 9,045
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 5,240 Washington County, Indiana Industrial Economic Development Revenue, (Frank Miller Lumber Company Project) Series 2001, (National City Bank of Indiana LOC), 1.820% 08/01/16**........................................... $ 5,240 2,750 Whiting, Indiana Environmental Facilities Revenue, (Amoco Oil Company Project) Series 2000, AMT, 1.790% 07/01/31**........................................... 2,750 ---------- 160,222 ---------- IOWA -- 0.4% 4,580 Iowa Finance Authority Single Family Revenue, Series 2002A-46, (GNMA/FNMA COLL, GO of Authority, Wachovia Bank N.A. Liquidity Facility), 1.790% 07/01/24**........................................... 4,580 7,500 Iowa Finance Authority Single Family Revenue, Series 2004, AMT, (GNMA-FNMA Insured, Go of Authority, DEPFA Bank plc SBPA), 1.135% 07/01/34**........................................... 7,500 6,500 Iowa Finance Authority, Multi-Family Revenue, (The Gables at Johnston Project) Series 2002, AMT, (Wachovia Bank N.A. LOC), 1.760% 12/01/37**........................................... 6,500 1,000 West Burlington, Iowa IDR, (Borhi Oilhydraulic Project) Series 2001B, AMT, (American National Bank & Trust LOC) 1.900% 01/01/11**#.......................................... 1,000 ---------- 19,580 ---------- KANSAS -- 0.4% 5,400 Fredonia, Kansas Revenue, (Systech Environmental Corporation Project) Series 1989, AMT, (Banque Nationale de Paris LOC), 1.760% 02/01/07**........................................... 5,400 4,000 Junction City, Kansas IDR, (Genmar Manufacturing Project) Series 1999, AMT, (Bank of New York LOC), 1.780% 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), 1.780% 12/01/25**#.......................................... 9,200 3,600 Sedgwick & Shawnee Counties, Kansas Single Family Revenue, Series 2002, 1.780% 12/01/27**@@......................................... 3,600 ---------- 22,200 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 56 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- KENTUCKY -- 3.2% $ 8,000 Campbellsville-Taylor County, Kentucky IDR, (Airguards Industrial Inc. Project) Series 2001, AMT, (Northern Trust Company LOC), 1.800% 05/01/31**........................................... $ 8,000 5,000 Carroll County, Kentucky IDR, (Kentucky Ladder Company Project) Series 1990, AMT, (Bankers Trust Company LOC), 2.000% 09/01/10**#.......................................... 5,000 72,500 Danville, Kentucky Multi-City Lease Revenue, 1.450% 11/15/04............................................. 72,500 4,375 Daviess County, Kentucky Health Care Revenue, (Wendell Fosters Campus for Development Project) Series 2001, (National City Bank, Kentucky LOC), 1.760% 05/01/21**#.......................................... 4,375 4,520 Daviess County, Kentucky Industrial Building Revenue, (Packaging Project) Series 2003, AMT, (National City Bank Kentucky LOC), 1.820% 05/01/18**#.......................................... 4,520 2,100 Greenup County, Kentucky Industrial Building Revenue, (Pathways Inc. Project) Series 2004, (Fifth Third Bank LOC), 1.530% 12/01/18**#.......................................... 2,100 3,790 Jefferson County, Kentucky Industrial Building Revenue, (Dant Growth LLC Project) Series 2002, AMT, (Bank One Kentucky N.A. LOC), 2.040% 09/01/22**#.......................................... 3,790 875 Jefferson County, Kentucky Industrial Building Revenue, (Seven Counties Services, Inc. Project) Series 1996, (Bank One of Kentucky, N.A. LOC), 1.710% 06/01/11**#.......................................... 875 1,000 Jefferson County, Kentucky Retirement Home Revenue, (Nazareth Library Project) Series 1999, (Fifth Third Bank LOC), 1.530% 10/01/19**#.......................................... 1,000 300 Jeffersontown, Kentucky Industrial Building Revenue, (Rague Food Systems, Inc. Project) Series 1995, AMT, (PNC Bank, N.A. LOC), 1.820% 04/01/20**#.......................................... 300 10,000 Kentucky Economic Development Finance Authority, Industrial Building Revenue, (Goodwill Industries Project) Series 2003, 1.720% 08/01/23**#.......................................... 10,000
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- KENTUCKY -- (CONTINUED) $ 10,000 Kentucky Higher Education Student Loan Corporation, Insured Student Loan Revenue, Series 1991E, AMT, (AMBAC Insured, GTD STD LNS), 1.750% 12/01/11**........................................... $ 10,000 1,000 Kentucky Rural Economic Development Authority Revenue, (Heaven Hill Project) Series 1991, AMT, (PNC Bank N.A. LOC), 1.770% 10/01/16**........................................... 1,000 3,840 Kentucky State Property and Building Community Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.730% 04/01/17**#.......................................... 3,840 3,000 Kentucky State Property and Building Community Revenue, Series 2004, (FSA Insured, Citibank N.A. SBPA), 1.750% 10/01/18**........................................... 3,000 2,300 Lexington-Fayette County, Kentucky Urban County Airport Corporation Revenue, (First Mortgage Project) Series 1994B, AMT, (Dexia Public Finance Bank SA LOC), 1.750% 04/01/24**........................................... 2,300 1,000 Lexington-Fayette Urban County, Kentucky Educational Facilities Revenue, (Lexington School Project) Series 2003, 1.530% 05/01/25**........................................... 1,000 9,300 Lexington-Fayette, Kentucky Urban County Airport Corporation Revenue, Series 1998A, AMT, (MBIA Insured, Credit Local de France SBPA), 1.750% 07/01/28**........................................... 9,300 4,900 Lexington-Fayette, Kentucky Urban County Airport Corporation Revenue, Series 1998C, AMT, (MBIA Insured, Credit Local de France SBPA), 1.750% 07/01/13**........................................... 4,900 3,040 Louisville and Jefferson County, Kentucky Convention Center GO, Series 1996PT-69, (FSA Insured, Merrill Lynch SBPA), 1.730% 07/01/24**#.......................................... 3,040 2,710 Louisville and Jefferson County, Kentucky Regional Airport Authority, Airport Systems Revenue, Series 2003, 1.780% 07/01/16**#.......................................... 2,710
SEE NOTES TO FINANCIAL STATEMENTS. 57 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- KENTUCKY -- (CONTINUED) $ 6,000 Minor Lane Heights, Kentucky Solid Waste Disposal Revenue, (Waste Management Kentucky LLC Project) Series 2003, (Wachovia Bank N.A. LOC), 1.770% 03/01/21**........................................... $ 6,000 2,230 Shelby, Kentucky Industrial Building Revenue, (Truss Company Incorporated Kingbrook Project) Series 1998, AMT, (Fifth Third Bank LOC), 1.780% 06/01/18**#.......................................... 2,230 ---------- 161,780 ---------- LOUISIANA -- 1.4% 5,100 Calcasieu Parish Inc., Louisiana Industrial Development Board Revenue, (Hydroserve Westlake Project) Series 1999, AMT, (Bank One Chicago, N.A. LOC), 1.750% 12/01/24**........................................... 5,100 8,030 East Baton Rouge Parish, Louisiana Sales and Used Tax, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.730% 02/01/11**#.......................................... 8,030 8,145 Ernest N. Morial - New Orleans, Louisiana Exhibit Hall Authority, Special Tax, Series 2003, (AMBAC Insured, Citigroup Global Markets Liquidity Facility), 1.750% 07/15/23**#.......................................... 8,145 11,600 Lincoln Parish, Louisiana Exemption Facility Revenue, (Willamette Industries Income Project) Series 1996, AMT, (Deutsche Bank A.G. LOC), 1.720% 04/01/26**........................................... 11,600 2,050 Louisiana Housing Finance Agency, Multi-Family Housing Revenue, (Restoration Project) Series 2002A, AMT, (Regions Bank LOC), 1.840% 12/01/32**........................................... 2,050 4,000 Louisiana Local Government Environmental Facilities Community Development Authority Revenue, (Sacred Heart - New Orleans Project) Series 2004, (Whitney National Bank LOC, SunTrust Bank LOC), 1.740% 01/01/24**........................................... 4,000 6,650 Louisiana State GO, Series 1998A, (AMBAC Insured), 5.500% 04/15/05............................................. 6,792
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- LOUISIANA -- (CONTINUED) $ 6,000 Plaquemines, Louisiana, Port Harbor And Terminal District, Port Facilities Revenue, (Chevron Pipe Line Company Project) Series 1984, 1.750% 09/01/08............................................. $ 6,011 7,500 Port New Orleans, Louisiana Revenue, (New Orleans Cold Storage Project) Series 2002, AMT, (Whitney National Bank LOC, SunTrust Bank LOC), 1.820% 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), 1.680% 01/01/27**........................................... 13,000 ---------- 72,228 ---------- MAINE -- 0.4% 11,600 Maine Public Utility Financing Bank Public Utility Revenue Refunding, (Maine Public Service Company Project) Series 1996, AMT, (Bank of New York LOC), 1.750% 04/01/21**........................................... 11,600 5,000 Maine State Housing Authority Mortgage Purchase, Series 2004B-3, AMT, (State Street Bank & Trust Company), 1.730% 11/15/35**........................................... 5,000 5,000 Maine State Housing Authority Mortgage Purchase, Series 2004B-3, AMT, (State Street Bank & Trust Company), 1.730% 11/15/38**........................................... 5,000 ---------- 21,600 ---------- MARYLAND -- 0.4% 5,000 Baltimore County, Maryland Consolidated Public Improvement BAN, (Westdeutsche Landesbank Girozentrale Liquidity Facility), 1.200% 12/02/04............................................. 5,000 1,000 Baltimore County, Maryland Consolidated Public Improvement BAN, (Westdeutsche Landesbank Girozentrale Liquidity Facility), 1.460% 12/02/04............................................. 1,000
SEE NOTES TO FINANCIAL STATEMENTS. 58 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MARYLAND -- (CONTINUED) $ 5,350 Carroll County, Maryland County Commissioners Economic Development Revenue, Shelter System Limited Facility, Series 2004, AMT, (Branch Banking & Trust LOC), 1.820% 07/01/24**#.......................................... $ 5,350 6,840 Maryland State Industrial Development Finance Authority Economic Development Revenue, (General Binding Corporation Project) Series 1996, AMT, (Harris Trust & Savings Bank LOC), 1.750% 03/01/26**........................................... 6,840 ---------- 18,190 ---------- MASSACHUSETTS -- 0.6% 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 20,000 Massachusetts Water Resources Authority, Series 94, 1.110% 10/01/04............................................. 20,000 ---------- 27,995 ---------- MICHIGAN -- 3.5% 4,475 Detroit, Michigan GO, City School District, Series 2004, (FGIC Insured, SBLF Insured, Merrill Lynch Capital Services SBPA), 1.720% 11/01/20**#.......................................... 4,475 20,000 Michigan Municipal Bond Authority Revenue, Series 2004B-1, 3.000% 08/19/05............................................. 20,252 49,025 Michigan State Building Authority, (Bank of New York LOC, State Street Bank & Trust Company LOC), 1.420% 11/04/04............................................. 49,025 20,000 Michigan State Hospital Finance Authority Revenue Refunding, Series 1997, 4.800% 11/01/17............................................. 20,064 3,250 Michigan State Strategic Fund Limited Obligation Revenue, (B & C Leasing LLC Project) Series 1999, AMT, (LaSalle Bank N.A. LOC), 1.800% 07/01/24**........................................... 3,250 16,911 Michigan State Strategic Fund Solid Waste Disposal Revenue, (Grayling Generating Project) Series 1990, (Barclays Bank of New York LOC), 1.720% 01/01/14**........................................... 16,911
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MICHIGAN -- (CONTINUED) $ 42,150 Michigan State, (Environmental Program) Series 2004A, 1.100% 12/01/04............................................. $ 42,150 9,500 Michigan State, Housing Development Authority, Multi-Family Revenue, (Canterbury Project) Series 2003A, AMT, (LaSalle Bank N.A. LOC), 1.770% 06/01/38**........................................... 9,500 14,250 Wayne Charter County, Michigan Airport Revenue Refunding, (Detroit Metropolitan County Project) Series 1996, AMT, (Bayerische Landesbank LOC), 1.720% 12/01/16**........................................... 14,250 ---------- 179,877 ---------- MINNESOTA -- 2.0% 11,600 Minneapolis - St. Paul Metropolitan Airport Commission, Series A, 1.350% 10/05/04............................................. 11,600 11,670 Minneapolis - St. Paul, Minnesota Metropolitan Airports Commission Airport Revenue, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.650% 09/03/09**#.......................................... 11,670 100 Minneapolis - St. Paul, Minnesota Metropolitan Airports Commission, Airport Revenue, Series 1999B, AMT, (FGIC Insured), 5.000% 01/01/05............................................. 101 1,605 Minneapolis - St. Paul, Minnesota Metropolitan Airports Commission, Airport Revenue, Series 2004, AMT, (FGIC Insured, Merrill Lynch Capital Services SPA), 1.780% 01/07/08**#.......................................... 1,605 3,000 Minneapolis, Minnesota Multi-Family Revenue Housing, (Gateway Real Estate Project), Series 2002, AMT, (LaSalle Bank N.A. LOC), 1.740% 10/01/32**........................................... 3,000 2,000 Minneapolis, Minnesota Multi-Family Revenue Refunding, (Driftwood Apartments Project) Series 2002, AMT, (U.S. Bank N.A. LOC), 1.790% 10/01/24**........................................... 2,000 50,000 Minnesota School Districts Tax and Aid Anticipation Borrowing Program Certificate GO, Series 2004A, 3.000% 09/02/05............................................. 50,664
SEE NOTES TO FINANCIAL STATEMENTS. 59 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MINNESOTA -- (CONTINUED) $ 10,000 Minnesota State Higher Education Facilities Authority Revenue, (University St. Thomas Project) Series 2004, (LaSalle Bank N.A. LOC), 1.720% 10/01/29**........................................... $ 10,000 9,735 Minnesota State Housing Finance Agency, (Residential Housing Finance Project) Series 2002, (GO of Authority), 1.200% 07/01/21............................................. 9,696 ---------- 100,336 ---------- MISSISSIPPI -- 0.3% 300 Mississippi Business Finance Corporation, (Trilogy Communications Project) Series 1995, AMT, (First Union National Bank LOC), 1.750% 06/01/05**#.......................................... 300 17,325 Mississippi Development Bank Special Obligation, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.650% 01/01/26**#.......................................... 17,325 ---------- 17,625 ---------- MISSOURI -- 1.3% 6,110 Clay County, Missouri GO, Public School District Number 53 Liberty, Series 2004, (FSA Insured, State Aid Direction, Merrill Lynch Capital Services SBPA), 1.730% 03/01/12**#.......................................... 6,110 2,100 Jefferson County, Missouri Industrial Development Authority, Multi-Family Housing Revenue, (Sunset Pointe Project) Series 2000, AMT, (LaSalle Bank N.A. LOC), 1.780% 10/01/30**........................................... 2,100 750 Kansas City, Missouri Industrial Development Authority, Multi- Family Housing Revenue, (Crooked Creek Apartments II Project) Series 2004B, AMT, (FHLB LOC), 1.790% 09/01/39**#.......................................... 750 5,600 Kansas City, Missouri Industrial Development Authority, Multi- Family Housing Revenue, (Crooked Creek Apartments II) Series 2004A, AMT, (LaSalle National Bank LOC), 1.780% 09/01/39**#.......................................... 5,600 17,000 Missouri Higher Education Loan Authority, Student Loan Revenue Refunding, Series 1991B, AMT, (MBIA Insured, GTD STD LNS, State Street Bank & Trust Company SBPA), 1.750% 03/01/20**........................................... 17,000
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MISSOURI -- (CONTINUED) $ 1,500 Missouri State Development Finance Board, Air Cargo Facilities Revenue, (St. Louis Air Project) Series 2000, AMT, (American National Bank & Trust LOC), 1.780% 03/01/30**........................................... $ 1,500 3,700 Missouri State Health Educational Facilities Authority Revenue, (Christian Brothers Project) Series 2002A, (U.S. Bank N.A. LOC), 1.770% 10/01/32**........................................... 3,700 2,085 Mountain Grove, Missouri Industrial Development Authority Health Care Facility Revenue Refunding, (Mountain Grove 1 Project) Series 1997, AMT, (Bank of Oklahoma N.A. LOC, Wachovia Bank N.A. LOC), 1.720% 11/01/13**........................................... 2,085 4,455 Nodaway County, Missouri Industrial Development Authority Educational Facilities Revenue, (Northwest Foundation Incorporation Project) Series 2002, (U.S. Bank N.A. LOC), 1.740% 11/01/32**........................................... 4,455 2,150 St. Charles County, Missouri Industrial Development Authority, Multi-Family Revenue, (Pine Lakes Apartments Project) Series 2004, (Wachovia Bank N.A. LOC), 1.760% 02/01/39**........................................... 2,150 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), 1.820% 03/01/38**........................................... 20,000 ---------- 65,450 ---------- NEBRASKA -- 0.7% 5,310 Lancaster County, Nebraska IDR, (Garner Industries, Inc. Project) Series 2000A, AMT, (Wells Fargo Bank, N.A. LOC), 1.840% 11/01/20**........................................... 5,310 6,275 Nebraska Help Inc. Student Loan Revenue, Series 1986A, AMT, (MBIA Insured), 1.720% 12/01/16**#.......................................... 6,275 9,695 Nebraska Help Inc. Student Loan Revenue, Series 1986B, AMT, (MBIA Insured), 1.720% 12/01/16**#.......................................... 9,695
SEE NOTES TO FINANCIAL STATEMENTS. 60 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- NEBRASKA -- (CONTINUED) $ 8,100 Nebraska Help Inc. Student Loan Revenue, Series 1986C, AMT, (MBIA Insured), 1.720% 12/01/16**#.......................................... $ 8,100 6,375 Nebraska Public Power District Revenue, Series 1995A, (MBIA Insured), 5.500% 01/01/13............................................. 6,511 ---------- 35,891 ---------- NEVADA -- 1.7% 37,900 Clark County, Nevada Airport Revenue, Series 2001A, (FGIC Insured, Landesbank Baden-Wurttemberg SBPA), 1.730% 07/01/36**........................................... 37,900 5,020 Clark County, Nevada Airport Revenue, Series 2004, AMT, (FGIC Insured, Citibank N.A. Liquidity Facility), 1.790% 07/01/22**#.......................................... 5,020 8,000 Clark County, Nevada IDR, (Nevada Cogeneration Association I Project) Series 1991, AMT, (Canadian Imperial Bank of Commerce LOC), 1.820% 11/01/21**........................................... 8,000 13,425 Clark County, Nevada School District GO, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.670% 06/15/10**@@......................................... 13,425 11,500 Director St, Nevada Department of Business & Industry, PCR, (Barrick Goldstrike Mines Project) Series 1999, AMT, (Royal Bank of Canada LOC), 1.730% 06/01/29**........................................... 11,500 3,450 Las Vegas, Nevada GO, Sewer and Flood Control, Series 2001, (FGIC Insured), 5.000% 04/01/05............................................. 3,510 4,465 Nevada Housing Division, Multi-Unit Housing Revenue, (Studio 3 LP Project), Series 1999A, AMT, (US Bank, N.A. LOC), 1.730% 10/01/30**........................................... 4,465 ---------- 83,820 ---------- NEW HAMPSHIRE -- 0.1% 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), 1.760% 09/01/12**........................................... 3,500 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- NEW JERSEY -- 0.0%+ $ 2,000 New Jersey State Transit Corporation Capital Grant Anticipation Note, Series 2000B, (AMBAC Insured), 5.500% 02/01/05............................................. $ 2,027 ---------- NEW MEXICO -- 1.5% 5,235 New Mexico Finance Authority State Transition Revenue, Series 2004, (MBIA Insured, Citigroup Global Market Liquidity Facility), 1.750% 06/15/23**#.......................................... 5,235 5,275 New Mexico Mortgage Finance Authority, Series 2004, AMT, (GNMA FNMA FHLMC Insured, Merrill Lynch Capital Services SBPA), 1.780% 07/01/08**#.......................................... 5,275 65,000 New Mexico State, Series 2004, (Lehman Liquidity Company Liquidity Facility), 1.270% 06/30/05**@@......................................... 65,000 ---------- 75,510 ---------- NEW YORK -- 5.9% 11,400 Forest City, New Rochelle, New York, Revenue Certificate, Series 2003, (JP Morgan Chase Bank LOC), 1.800% 06/01/11**#.......................................... 11,400 4,495 Metropolitan Transitional Authority New York Revenue, Series 2002, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.150% 05/15/10**@@......................................... 4,479 4,490 Metropolitan Transitional Authority New York Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.720% 11/15/10**#.......................................... 4,490 3,635 Monroe County, New York Industrial Development Agency, Civic Facilities Revenue, (Hillside Childrens Center Project) Series 1998, (Key Bank, N.A. LOC), 1.750% 08/01/18**#.......................................... 3,635 11,000 New York City Municipal Water, 1.250% 10/06/04............................................. 11,000 3,400 New York City Municipal Water, 1.180% 10/28/04............................................. 3,400 38,700 New York City Municipal Water, (Landesbank Hessen-Thuringen LOC, Bayerische Landesbank LOC, Westdeutsche Landesbank LOC), 1.720% 10/01/04............................................. 38,700 2,000 New York State GO, Series 2000B, (Dexia Credit Local de France LOC), Mandatory Put 08/07/03 @ 100, 1.580% 03/15/30**........................................... 2,000
SEE NOTES TO FINANCIAL STATEMENTS. 61 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 400 New York State Housing Finance Agency Revenue, (North End Avenue Housing Project) Series 2004A, (Landesbank Hessen- Thuringen LOC), 1.680% 11/01/37**........................................... $ 400 17,185 New York State Housing Finance Agency Revenue, (Theater Row Tower Project) Series 2000A, AMT, (Bayerische Hypotheken und Vereinsbank LOC), 1.880% 11/01/32**........................................... 17,185 31,029 New York State Power Authority, Series 1, 1.500% 10/18/04............................................. 31,029 21,300 New York State Power Authority, Series 1, 1.340% 11/15/04............................................. 21,300 8,000 New York State Power Authority, Series 1, 1.200% 12/01/04............................................. 8,000 31,800 New York State Power Authority, Series 2, 1.350% 10/19/04............................................. 31,800 27,250 New York State Thruway Authority BAN, Series CP-2, (Landesbank Hessen-Thuringen Girozentrale SBPA), 1.380% 10/06/04............................................. 27,250 14,800 New York State, Housing Finance Agency Revenue, (Theater Row Housing Project) Series 2002A, AMT, (Bayerische Hypotheken und Vereinsbank LOC), 1.880% 11/01/32**........................................... 14,800 9,525 New York, New York City Industrial Development Agency Civic Facility Revenue, (Jamaica First Parking LLC Project) Series 2004, (JP Morgan Chase Bank LOC), 1.700% 03/01/34**........................................... 9,525 200 New York, New York City Transitional Finance Authority, Series 2002-1A, (Landesbank Hessen-Thuringen Liquidity Facility), 1.690% 11/01/22**........................................... 200 8,095 New York, New York City Transitional Finance Authority, Series 2003, (MBIA-IBC Insured, Lloyds TSB Bank PLC SBPA), 1.670% 11/01/08**@@......................................... 8,095 910 New York, New York GO, Series 2002C-2, (Bayerische Landesbank LOC), 1.690% 08/01/20**........................................... 910
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 26,200 New York, New York Transitional Finance Authority, Future Tax Secondary, Series 2002C, (Landesbank Hessen-Thueringen SBPA), 1.800% 11/01/22**........................................... $ 26,200 525 Oneida County, New York Industrial Development Agency Revenue, (Hamilton College Civic Facility Project) Series 2002, (MBIA Insured, Bank of New York SBPA), 1.650% 09/15/32**........................................... 525 3,040 Port Authority New York and New Jersey, Series 1995, (FGIC Insured, Go of Authority), 7.000% 11/01/04............................................. 3,055 3,465 Port Authority New York and New Jersey, Series 2003, (AMBAC GO of Authority, Citigroup Global Market Liquidity Facility), 1.770% 12/15/32**#.......................................... 3,465 14,655 Port Authority New York and New Jersey, Series 2004, (FGIC Insured, GO of Authority, Merrill Lynch Capital Services SBPA), 1.710% 05/15/10**#.......................................... 14,655 2,665 Port Authority New York and New Jersey, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.740% 11/01/16**#.......................................... 2,665 600 Westchester County, New York Industrial Development Agency Civic Facility Revenue, (Westchester Jewish Project) Series 1998, (Chase Manhattan Bank LOC), 1.720% 10/01/28**#.......................................... 600 ---------- 300,763 ---------- NORTH CAROLINA -- 1.3% 19,000 Board of Governers, University of North Carolina, 1.430% 12/02/04............................................. 19,000 2,950 Catawba County, North Carolina Industrial Facilities and Pollution Control Financing Authority Revenue, (Von Drehle Properties Project) Series 2001, AMT, (BB&T LOC), 1.820% 12/01/21**#.......................................... 2,950 4,500 Davidson County, North Carolina Industrial Facility and Pollution Control Financing Authority Industrial, (Childress Winery Project) Series 2004, 1.820% 04/01/26**#.......................................... 4,500
SEE NOTES TO FINANCIAL STATEMENTS. 62 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- NORTH CAROLINA -- (CONTINUED) $ 5,240 Guilford County, North Carolina Multi-Family Housing Revenue, (Brentwood Crossings Apartments) Series 2003, AMT, (Suntrust Bank LOC), 1.770% 12/01/35**........................................... $ 5,240 1,700 Iredell County, North Carolina Industrial Facilities and Pollution Control Financing Authority Revenue, (Sullivan Corporation Project) Series 1996, AMT, (Bank One Milwaukee, N.A. LOC), 1.900% 01/01/11**#.......................................... 1,700 3,000 Lincoln County, North Carolina Industrial Facilities and Pollution Control Financing Authority Revenue, (HOF Textiles Inc. Project) Series 1991, AMT, 1.750% 10/01/11**........................................... 3,000 4,640 Mecklenburg County, North Carolina Multi-Family Housing Revenue, (Barrington Oaks Apartments Project) Series 2003, AMT, (SunTrust Bank LOC), 1.820% 09/01/35**........................................... 4,640 2,100 North Carolina Agriculture Finance Authority Agriculture Development Revenue, (McGill Environment System Project) Series 2003, AMT, (Branch Bank & Trust LOC), 1.820% 12/01/15**#.......................................... 2,100 10,000 North Carolina Capital Facility Finance Agency Exempt Facility Revenue, (Services Incorporated Project) Series 2004, AMT, (Suntrust Bank LOC), 1.810% 07/01/34**........................................... 10,000 2,600 North Carolina State Port Authority Exempt Facilities Revenue, (Wilmington Bulk LLC Project) Series 2001A, AMT, (Branch Banking & Trust LOC), 1.820% 09/01/22**#.......................................... 2,600 4,590 North Carolina State Port Authority Exempt Facilities Revenue, (Wilmington Bulk LLC Project) Series 2001B, AMT, (Branch Banking & Trust LOC), 1.820% 09/01/22**#.......................................... 4,590 4,315 Rowan County, North Carolina Industrial Facilities Pollution Control Financing Authority, (Fixed Industrial Development PHC LLC Project) Series 1999, AMT, (Branch Banking and Trust LOC), 1.820% 03/01/14**#.......................................... 4,315 ---------- 64,635 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- OHIO -- 1.4% $ 3,850 Akron, Ohio Metropolitan Housing Authority Facility Improvement, (Administration Building Project) Series 1998, (Fifth Third Bank LOC), 1.710% 04/01/18**#.......................................... $ 3,850 5,000 Bellevue, Ohio Hospital Facilities Revenue, (Bellevue Hospital Project) Series 2003, (Fifth Third Bank LOC), 1.530% 08/01/33**#.......................................... 5,000 855 Centerville, Ohio Health Care Revenue, (Bethany Lutheran Village Hospital Project) Series 1994, (PNC Bank of Ohio, N.A. LOC), 1.730% 11/01/13**#.......................................... 855 4,800 Cleveland, Ohio Waterworks Revenue, Series 2002L, (FGIC Insured, Westdeutsche Landesbank SBPA), 1.700% 01/01/33**........................................... 4,800 15,725 Columbus, Ohio Regional Airport Authority Revenue, Series 2004, (U.S. Bank N.A. LOC), 1.710% 03/01/34**........................................... 15,725 360 Greene County, Ohio IDR, (FC Ltd. - AFC Stamping Project) Series 1995, AMT, (Key Bank, N.A. LOC), 1.820% 09/01/16**#.......................................... 360 4,870 Hamilton County, Ohio Health Care Facilities Revenue, (Talbert Services Income Project) Series 2002, (Fifth Third Bank LOC), 1.530% 07/01/27**#.......................................... 4,870 6,225 Kettering, Ohio IDR, Series 2002, AMT, (Merrill Lynch Capital Services SPBA), 1.830% 11/01/34**#.......................................... 6,225 1,090 Lucas County, Ohio IDR, (Dynamic Dies Income Project) Series 1997, AMT, (National City Bank LOC), 1.870% 07/01/09**#.......................................... 1,090 2,000 Muskingham Watershed Conservancy District Ohio, Series 2003, (Fifth Third Bank LOC), 1.530% 05/01/23**#.......................................... 2,000 9,000 Ohio State Air Quality Development Authority Revenue, Series 2004A, AMT, (ABN AMRO Bank N.V. LOC), 1.750% 06/01/24**........................................... 9,000
SEE NOTES TO FINANCIAL STATEMENTS. 63 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (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), 1.900% 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), 1.740% 01/01/18**#.......................................... 15,800 ---------- 70,325 ---------- OKLAHOMA -- 0.7% 1,795 Claremore, Oklahoma Industrial and Redevelopment Industrial Development Authority Revenue, (Whirlwind Steel Buildings Project) Series 2001, AMT, (Chase Manhattan Bank LOC), 1.760% 09/01/16**........................................... 1,795 17,000 Oklahoma Development Finance Authority Revenue, (Conoco Project) Series 2002, AMT, (JP Morgan Chase Bank LOC), 1.730% 06/01/37**........................................... 17,000 8,800 Oklahoma Development Finance Authority Revenue, (Seabrook Farms Inc. Project) Series 1997, AMT, (Bank of New York LOC), 1.780% 03/01/27**#.......................................... 8,800 2,890 Oklahoma Housing Finance Agency, Single Family Revenue, (Homeownership Loan Program) Series 2001PT-1288, AMT, (GNMA Collateral Agreement, Merrill Lynch SBPA), 1.780% 09/01/29**@@......................................... 2,890 2,300 Oklahoma State Industrial Authority Revenue Refunding, (Integris Health Obligated Group Project) Series 1999B, (MBIA Insured, Morgan Guaranty SBPA), 1.720% 08/15/29**........................................... 2,300 5,100 Oklahoma Transportation Authority Oklahoma Turnpike Systems Revenue, Series 2002A, (AMBAC Insured), 5.000% 01/01/05............................................. 5,150 ---------- 37,935 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- OREGON -- 0.7% $ 1,000 Oregon State Economic Development Revenue, (McFarland Cascade Project) Series 1996, AMT, (U.S. Bank of Washington LOC), 1.790% 11/01/16**........................................... $ 1,000 2,000 Oregon State, Economic Development Revenue, (KRC Western Inc. Project) Series 1997-178, AMT, (Wachovia Bank LOC), 1.760% 01/01/17**#.......................................... 2,000 10,000 Oregon State, Housing and Community Services Department Management Revenue, (Single Family Management Project) Series 2003, AMT, 1.250% 07/01/24............................................. 10,000 20,000 Port Portland, Oregon Special Obligation Revenue, (Portland Bulk Terminals LLC Project) Series 1996, AMT, (Canadian Imperial Bank LOC), 1.750% 10/01/25**........................................... 20,000 4,500 Port Portland, Oregon Special Obligation Revenue, (Portland Bulk Terminals Project) Series 1999, AMT, (Canadian Imperial Bank LOC), 1.750% 10/01/25**........................................... 4,500 ---------- 37,500 ---------- PENNSYLVANIA -- 2.0% 7,800 Allegheny County, Pennsylvania Hospital Development Authority Revenue, (South Hills Healthcare Project) Series 2000A, (PNC Bank N.A. LOC), Mandatory Put 06/01/03 @ 100, 1.710% 06/01/30............................................. 7,800 1,550 Elk County, Pennsylvania Industrial Development Authority Revenue, (Clarion Sintered Metals Project) Series 1998, AMT, (PNC Bank, N.A. LOC), 1.820% 03/01/09**#.......................................... 1,550 9,000 Elk County, Pennsylvania Industrial Development Authority Solid Waste Disposal Revenue, (Willamette Industries Inc. Project) Series 1992, (Deutsche Bank A.G. LOC), 1.720% 08/01/10**........................................... 9,000 9,800 Montgomery County, Pennsylvania Industrial Pollution Control Revenue Refunding, (PECO Energy Company Project) Series 96-A, 1.370% 11/04/04............................................. 9,800
SEE NOTES TO FINANCIAL STATEMENTS. 64 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- PENNSYLVANIA -- (CONTINUED) $ 700 Pennsylvania Economic Development Financing Authority Development Revenue, (Pennsylvania Bar Institute Project) Series 1996B, AMT, (PNC Bank, N.A. LOC), 1.700% 04/01/15**#.......................................... $ 700 650 Philadelphia, Pennsylvania Authority for Industrial Development Revenue, (Institute for Cancer Research - Fox Chase Cancer Center Project) Series 1997, (Morgan Guaranty Trust LOC), 1.710% 07/01/25**#.......................................... 650 2,660 Philadelphia, Pennsylvania Authority For Industrial Development Revenues, (Goldenberg Candy Project) Series 1997, AMT, (Wachovia Bank N.A. LOC), 1.770% 01/01/13**#.......................................... 2,660 8,225 Pittsburgh, Pennsylvania GO, Series 1996A, (MBIA Insured), 6.000% 03/01/05............................................. 8,380 4,800 Venango, Pennsylvania Industrial Development Authority, 1.140% 10/04/04............................................. 4,800 8,000 Venango, Pennsylvania Industrial Development Authority, 1.140% 10/04/04............................................. 8,000 19,850 Venango, Pennsylvania Industrial Development Authority, (Scrubgrass Project) Series 90-A, 1.470% 10/13/04............................................. 19,850 5,000 Venango, Pennsylvania Industrial Development Authority, (Scrubgrass Project) Series 90-B, 1.470% 10/13/04............................................. 5,000 16,000 Venango, Pennsylvania Industrial Development Authority, (Scrubgrass Project) Series 93, 1.470% 10/13/04............................................. 16,000 3,170 Westmoreland County, Pennsylvania Industrial Development Authority Revenue, (Elizabeth Carbide Die Project) Series 1998A, AMT, (National City Bank LOC), 1.820% 10/01/13**#.......................................... 3,170 3,290 Westmoreland County, Pennsylvania Industrial Development Authority Revenue, (Rhodin Enterprises Project) Series 1997, AMT, (National City Bank, N.A. LOC), 1.770% 04/01/17**........................................... 3,290 ---------- 100,650 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- PUERTO RICO -- 0.3% $ 14,795 Puerto Rico Commonwealth GO, Series 2001, (FSA Insured, Bank of New York Liquidity Facility), 1.350% 07/01/27**@@......................................... $ 14,795 ---------- RHODE ISLAND -- 0.0%+ 2,410 Rhode Island State Industrial Facilities Corporation IDR, (Precision Turned Components Project) Series 2000, (Bank of New York LOC), 1.840% 05/01/11**........................................... 2,410 ---------- SOUTH CAROLINA -- 1.7% 1,000 Cherokee County, South Carolina Industrial Revenue Refunding, (Holmberg Electronic Corporation Project) Series 1989, (Wachovia Bank of North Carolina, N.A. LOC), 1.790% 11/01/04**#.......................................... 1,000 3,900 Kershaw County, South Carolina IDR, (DeRoyal Textiles, Inc. Project) Series 1994, AMT, (SunTrust Bank of Nashville LOC), 1.770% 12/01/07**#.......................................... 3,900 10,000 Piedmont Municipal Power Agency South Carolina Electric Revenue, Series 2004, (MBIA Insured, Dexia Credit Local SBPA), 1.700% 01/01/31**........................................... 10,000 2,880 South Carolina Jobs Economic Development Authority Development Revenue, (Spartanburg YMCA Project) Series 1996, (First Union National Bank LOC), 1.790% 06/01/18**#.......................................... 2,880 11,250 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Giant Cement Holding Inc. Project) Series 2002, AMT, (Citibank N.A. LOC), 1.730% 12/01/22**........................................... 11,250 1,500 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Mancor Industries Incorporated Project) Series 1999, AMT, (PNC Bank N.A. LOC), 1.820% 05/01/14**#.......................................... 1,500 3,500 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Pine River Plastics Inc. Project) Series 2000, AMT, (Comerica Bank LOC), 1.810% 03/01/11**........................................... 3,500
SEE NOTES TO FINANCIAL STATEMENTS. 65 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 5,355 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Raynor USA Southeast Project) Series 2000, AMT, (LaSalle Bank, N.A. LOC), 1.780% 05/01/20**........................................... $ 5,355 1,085 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Sargent Metal Fabricators Project) Series 2002, AMT, (Branch Banking & Trust LOC), 1.820% 11/01/22**#.......................................... 1,085 5,000 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Waste Management South Carolina Project) Series 2003, AMT, (Wachovia Bank N.A. LOC), 1.770% 07/01/24**........................................... 5,000 5,700 South Carolina Jobs Economic Development Authority IDR, (Abraham Industries LLC Project) Series 1999, AMT, (PNC Bank, N.A. LOC), 1.820% 05/01/14**#.......................................... 5,700 1,800 South Carolina Jobs Economic Development Authority IDR, (Banks Construction Company Project) Series 1999, AMT, (Wachovia Bank of North Carolina, N.A. LOC), 1.810% 05/01/09**........................................... 1,800 2,730 South Carolina Jobs Economic Development Authority IDR, (Kravet Fabrics, Inc. Project) Series 1997, AMT, (Bank of New York LOC), 1.780% 03/01/12**#.......................................... 2,730 5,125 South Carolina Jobs Economic Development Authority IDR, (Quoizel, Inc. Project) Series 1996, AMT, (Branch Banking & Trust LOC), 1.820% 05/01/16**#.......................................... 5,125 1,000 South Carolina Jobs Economic Development Authority, Economic Development Revenue, (Personal Inc. Project) Series 1998, AMT, (LaSalle National Bank LOC), 1.780% 04/01/18**#.......................................... 1,000 2,844 South Carolina State Housing Finance and Development Authority, Multi-Family Revenue Refunding, (Oakfield Housing Project) Series 2004, AMT, (National Bank of South Carolina LOC), 1.840% 10/01/25**........................................... 2,844
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 12,845 South Carolina Transportation Infrastructure Bank Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.730% 04/01/12**#.......................................... $ 12,845 6,300 South Carolina, Jobs Economic Development Authority, Economic Development Revenue, (Conco Medical Products Project), Series 1990, 1.800%&& 09/01/10**#........................................ 6,300 ---------- 83,814 ---------- SOUTH DAKOTA -- 0.2% 300 South Dakota Economic Development Financing Authority IDR Refunding, (Lomar Development Company Project) Series 1996B, AMT, (US Bank, N.A. LOC), 1.890% 08/01/08**#.......................................... 300 8,260 South Dakota State Housing Development Authority, Series 1998PT-168, AMT, (Banque Nationale de Paris SBPA), 1.780% 05/01/27**#.......................................... 8,260 ---------- 8,560 ---------- TENNESSEE -- 4.0% 4,445 Blount County, Tennessee Industrial Development Board IDR, (Arrowhead Partners LP Project) Series 2003, AMT, (SunTrust Bank LOC), 1.820% 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), 1.740% 08/01/31**........................................... 20,600 1,000 Cumberland County, Tennessee Industrial Development Board Industrial Development Revenue, (Delbar Products Incorporated Project) Series 1997, AMT, (PNC Bank N.A. LOC), 1.820% 07/01/12**#.......................................... 1,000 5,980 Franklin County, Tennessee Health and Educational Facilities Board Revenue, (University of the South Project) Series 1998B, (AmSouth Bank of Alabama, N.A. LOC), 1.730% 09/01/18**........................................... 5,980 7,630 Knox County, Tennessee 1st Utility District Water and Sewer Revenue Refunding, Series 2003, (Amsouth Bank LOC), 1.840% 12/01/10**........................................... 7,630
SEE NOTES TO FINANCIAL STATEMENTS. 66 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 5,350 Memphis, Tennessee Health Educational and Housing Facilities Board Revenue, (Springdale Creek Apartments Project) Series 2003A, AMT, (First Tennessee Bank LOC), 1.900% 01/01/35**#.......................................... $ 5,350 5,295 Metropolitan Government Nashville & Davidson County Tennessee Industrial Board Revenue Refunding, (Rodgers/Welch Venture Project) Series 1989, (Amsouth Bank of Alabama LOC), 1.700% 12/01/14**#.......................................... 5,295 9,400 Metropolitan Government Nashville & Davidson County, Tennessee Health and Education Facility Board Revenue, Multi-Family Housing, Series 2003, AMT, (Wachovia Bank N.A. LOC), 1.760% 12/01/43**........................................... 9,400 8,500 Metropolitan Government, Nashville & Davidson County, Tennessee Health and Education Facilities Board Revenue, (Meharry Medical College Project) Series 1994, (AMBAC Insured, GO of Institution), 6.875% 12/01/24............................................. 8,752 3,010 Shelby County, Tennessee Health Educational and Housing Facilities Board Multi-Family Housing Revenue, (Flag Manor Project) Series 1995, AMT, (FHLB Guarantee), 1.750% 01/01/23**#.......................................... 3,010 2,700 Shelby County, Tennessee Health Educational and Housing Facilities Board Revenue, (Spring Creek Apartments) Series 2003A, AMT, (First Tennessee Bank LOC), 1.900% 12/01/20**#.......................................... 2,700 1,100 Springfield, Tennessee Industrial Development Board Revenue, (All American Homes of Tennessee Project) Series 1994, AMT, (Bank One of Michigan, N.A. LOC), 1.900% 11/01/09**#.......................................... 1,100 5,000 Sullivan County, Tennessee Industrial Development Board Revenue, (Modern Forge Company Project) Series 1990, AMT, (Northern Trust Company LOC), 1.740% 07/01/10**#.......................................... 5,000 124,875 Tennessee Housing Development Agency Single Family Mortgage, Series 2004, AMT, 1.494% 12/08/05**........................................... 124,875 ---------- 205,137 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TEXAS -- 18.8% $ 3,215 Austin, Texas Airport System Revenue, Series 1995A, AMT, (MBIA Insured), 6.500% 11/15/04............................................. $ 3,236 900 Bell County, Texas Industrial Development Corporation IDR, (Metal Sales Manufacturing Corporation Project) Series 1998, AMT, (Firstar Bank N.A. LOC), 1.880% 08/01/08**#.......................................... 900 10,375 Bexar County, Texas Housing Finance Corporation Multi-Family Housing Revenue, (Perrin Park Apartment Project) Series 1996, (GNMA Collateral, Northern Trust Company LOC), 1.850% 06/01/28**........................................... 10,375 23,730 Brazos River Authority, Texas PCR, (TXU Energy Company Project) Series 2002A, (JP Morgan Chase Bank LOC), 1.750% 05/01/37**........................................... 23,730 6,535 Bridgeport, Texas GO Independent School District, Series 2004, (PSF-GTD, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY-AGMT), 1.730% 08/15/08**#.......................................... 6,535 20,000 Brownsville, Texas Utilities Systems Revenue Refunding, Series 2001A, (MBIA Insured), 0.950% 09/01/25**........................................... 20,000 20,000 Brownsville, Texas Utilities Systems Revenue Refunding, Series 2001B, (MBIA Insured, State Street Bank and Trust SBPA), 0.950% 09/01/25............................................. 20,000 2,400 Calhoun County, Texas Industrial Development Authority, Port Revenue, Series 2003, AMT, 1.790% 01/01/24**........................................... 2,400 10,145 City of Austin, Texas, (JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank & Trust LOC), 1.270% 10/06/04............................................. 10,145 22,071 City of Austin, Texas, (JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank & Trust LOC), 1.150% 10/20/04............................................. 22,071 20,000 City of Austin, Texas, (JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank & Trust LOC), 1.520% 10/21/04............................................. 20,000
SEE NOTES TO FINANCIAL STATEMENTS. 67 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 20,190 City of Austin, Texas, (JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank & Trust LOC), 1.180% 10/28/04............................................. $ 20,190 35,600 City of Austin, Texas, (JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank & Trust LOC), 1.340% 10/28/04............................................. 35,600 8,000 City of Houston, Texas GO, (Landesbank Hessen-Thuringen Girozentrale Liquidity Facility, Dexia Credit Local Liquidity Facility), 1.150% 10/18/04............................................. 8,000 25,000 City of Houston, Texas GO, Series D, (Landesbank Hessen-Thuringen Girozentrale Liquidity Facility, Dexia Credit Local Liquidity Facility), 1.250% 10/06/04............................................. 25,000 2,000 City of Houston, Texas Subordinate Lien Hotel Occupancy Tax and Parking Revenue, Series A, 1.720% 10/01/04............................................. 2,000 10,500 City of Houston, Texas Subordinate Lien Hotel Occupancy Tax and Parking Revenue, Series A, 1.520% 10/21/04............................................. 10,500 15,000 County of Bexar, Texas Metropolitan Water District, (Bayerische Hypotheken-und Vereinsbank AG LOC), 1.400% 11/03/04............................................. 15,000 7,500 Dallas, Texas Housing Finance Corporation Multi-Family Housing Revenue, (The Masters Apartments Project) Series 2004, (FNMA Insured, FNMA Liquidity Facility), 1.740% 07/15/37**........................................... 7,500 16,180 Dallas-Fort Worth, Texas International Airport Facility Revenue, (Flightsafety Project) Series 1999, AMT, (OBH, Inc. Guarantee), 1.740% 07/01/32**........................................... 16,180 9,840 Dallas-Fort Worth, Texas International Airport Revenue, Series 2003, AMT, (Merrill Lynch Capital Services SBPA), 1.780% 05/01/11**@@......................................... 9,840 3,000 Dallas-Fort Worth, Texas International Airport Revenue, Series 2004, AMT, (MBIA Insured, Citigroup Global Market Liquidity Facility), 1.790% 11/01/33**#.......................................... 3,000
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 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), 1.790% 09/01/23**#.......................................... $ 8,185 3,682 Galveston County, Texas Housing Finance Corporation Single Family Mortgage Revenue, Series 2004A, (Bayerische Landesbank GIC), 2.090% 12/01/37**........................................... 3,682 13,600 Gulf Coast Industrial Authority Texas Environment Facility Revenue, (CITGO Petroleum Corporation Project) Series 2004, AMT, (Westdeutsche Landesbank AG LOC), 1.810% 10/01/32**........................................... 13,600 2,000 Gulf Coast Waste Disposal Authority, Texas Environmental Facilities Revenue, (BP Amoco Chemical Project) Series 2003B, AMT, (BP plc Guaranty Agreement), 1.790% 09/01/38**........................................... 2,000 75,000 Harris County, Texas Floating Rate Trust Receipts, Series 2004, (Lehman Liquidity Company Liquidity Facility), 1.270% 02/28/05**#.......................................... 75,000 2,550 Harris County, Texas Health Facility Development Corporation Revenue, Blood Center Gulf Coast Regional, Series 1992, (JP Morgan Chase and Company LOC) 1.740% 04/01/17**........................................... 2,550 9,141 Heart of Texas Housing Finance Corporation, Series 2002A, (Bayerische Landesbank GIC), 1.790% 06/01/05**........................................... 9,141 1,270 Hillsboro, Texas Industrial Development Corporation Revenue, (Lamcraft LP Project) Series 1997, AMT, (First Commercial Bank LOC), 2.000% 07/01/13**#.......................................... 1,270 7,900 Houston, Texas Airport System Revenue, Series 1998B, AMT, (FGIC Insured), 5.000% 07/01/05............................................. 8,091 15,090 Houston, Texas GO, Series 2004, (FSA Insured, Merrill Lynch Capital Services SBPA), 1.730% 09/01/09**#.......................................... 15,090 4,850 Houston, Texas GO, Series 2004, (MBIA Insured, Citibank N.A. Liquidity Facility), 1.750% 03/01/08**#.......................................... 4,850
SEE NOTES TO FINANCIAL STATEMENTS. 68 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 3,500 Houston, Texas Housing Financial Corporation, (Mayfair Park Apartment), Series 2004, (FNMA Insured, FNMA Liquidity Facility), 1.740% 04/15/37**........................................... $ 3,500 5,225 Houston, Texas Utility System Revenue, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.730% 05/15/12**#.......................................... 5,225 5,715 Houston, Texas Utility System Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.730% 05/15/14**#.......................................... 5,715 5,610 Klein, Texas Independent School District GO, Series 2003, (PSF-GTD, Merrill Lynch Capital Services SBPA), 1.730% 08/15/23**#.......................................... 5,610 4,015 Lewisville, Texas Independent School District GO, Series 2004, (PSF-GTD, Merrill Lynch Capital Services SBPA, Merrill Lynch and Capital GTY-AGMT), 1.730% 08/15/08**#.......................................... 4,015 5,665 Mansfield, Texas Independent School District GO, Series 2004, (PSF-GTD, Merrill Lynch Capital Services SBPA), 1.730% 08/15/08**#.......................................... 5,665 2,900 Mansfield, Texas Industrial Development Corporation Revenue, (Texas Inc. Project) Series 1986, AMT, (Bank One Texas N.A. LOC), 1.700% 11/01/26**........................................... 2,900 6,155 Northside, Texas Independent School District GO, Series 1993 (PSF-GTD), 1.290%*** 02/01/05.......................................... 6,128 4,640 Northside, Texas Independent School District GO, Series 2004, (PSF-GTD, Merrill Lynch Capital Services SBPA), 1.730% 02/15/22**#.......................................... 4,640 1,200 Nueces County, Texas Health Facilities Development Corporation Revenue, (Driscoll Foundation Childrens Hospital Project) Series 1985, (Bank One of Texas, N.A. LOC), 1.730% 07/01/15**........................................... 1,200 6,060 Panhandle, Texas Regional Housing Financing, Series 2002, AMT, (Merrill Lynch Capital Services SBPA), 1.830% 09/01/14**#.......................................... 6,060
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 3,990 Plano, Texas Independent School District GO, Series 2004, (PSF-GTD, Citigroup Global Market Liquidity Facility), 1.750% 02/15/18**#.......................................... $ 3,990 28,800 San Antonio Electric and Gas Revenue, Series A, 1.370% 10/06/04............................................. 28,800 7,200 San Antonio Electric and Gas, 1.330% 10/05/04............................................. 7,200 4,080 San Antonio, Texas Airport System Revenue, Series 2001, AMT, (FSA Insured) 5.500% 07/01/05............................................. 4,193 8,350 San Antonio, Texas Education Facility Corporation Revenue, (University of the Incarnate World Project) Series 2001, (Bank One Texas, N.A. LOC), 1.790% 12/01/21**........................................... 8,350 50,690 San Antonio, Texas Water Revenue, Series 2003A, (MBIA Insured, JP Morgan Chase Bank SBPA), 1.700% 05/15/33**........................................... 50,690 2,000 Tarrant Regal Water District Texas Water Revenue Refunding, Series 2002, (FSA Insured), 4.000% 03/01/05............................................. 2,023 1,900 Texas Lower Colorado River Authority, Series 2003, (AMBAC Insured, Citigroup Global Market Liquidity Facility), 1.750% 05/15/22**#.......................................... 1,900 40,000 Texas Municipal Power Agency Revenue Floating Rate Trust Receipts, Series 2004, (FGIC Insured, Lehman Liquidity Company Liquidity Facility), 1.270% 09/01/11**#.......................................... 40,000 9,520 Texas State GO, College Student Loan, Series 2004, (Landesbank Hessen-Thueringen SBPA), 1.400% 02/01/11**........................................... 9,520 135,000 Texas State Tax RAN, Series 2004, 3.000% 08/31/05............................................. 136,720 7,120 Texas State Turnpike Authority Central Texas Turnpike System Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.810% 08/15/23**#.......................................... 7,120 4,400 Texas State, Department of Housing & Community Affairs, Multi-Family Revenue, Series 2002, AMT, (Merrill Lynch Capital Services SBPA), 1.830% 12/01/40**#.......................................... 4,400
SEE NOTES TO FINANCIAL STATEMENTS. 69 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 49,895 Texas State, GO, (Veterans Housing Assist Project) Series 2003, AMT, (VA Guarantee, Bayerische Landesbank Liquidity Facility) 1.740% 06/01/34**........................................... $ 49,895 13,475 Texas State, Series 2004D, (Lehman Liquidity Company Liquidity Facility), 1.680% 08/31/05**#.......................................... 13,475 6,700 Travis County, Texas Housing Finance Corporation, Multi-Family Housing Revenue, (Rosemont at Old Manor Apartments Project) Series 2004, AMT, (FNMA Insured, FNMA Liquidity Facility), 1.740% 08/15/37**........................................... 6,700 14,000 University of Texas, Board of Regents Revenue Financing System, 1.230% 12/02/04............................................. 14,000 15,000 University of Texas, Board of Regents Revenue Financing System, 1.200% 12/03/04............................................. 15,000 16,000 University of Texas, Board of Regents Revenue Financing System, (University of Texas Investment Management Company Liquidity Facility), 1.340% 10/20/04............................................. 16,000 15,000 University of Texas, Board of Regents Revenue Financing System, (University of Texas Investment Management Company Liquidity Facility), 1.520% 10/21/04............................................. 15,000 5,275 University of Texas, Board of Regents Revenue Financing System, (University of Texas Investment Management Company Liquidity Facility), 1.370% 11/01/04............................................. 5,275 15,067 University of Texas, Board of Regents Revenue Financing System, (University of Texas Investment Management Company Liquidity Facility), 1.370% 11/05/04............................................. 15,067 6,535 Wylie, Texas Independent School District GO, Series 2004, (PSF-GTD, Merrill Lynch Capital Services, SBPA), 1.730% 08/15/08**#.......................................... 6,535 ---------- 948,172 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- UTAH -- 3.7% $ 26,750 Intermountain Power Agency, Utah Power Supply Revenue, Series 1985E, (Landesbank Hessen-Thuringen SBPA), 1.430% 07/01/14**........................................... $ 26,750 1,300 Murray City, Utah IDR, (Zevex, Inc. Project) Series 1996, AMT, (Bank One Arizona, N.A. LOC), 1.900% 10/01/16**#.......................................... 1,300 3,200 Murray City, Utah Industrial Development Authority Revenue, (Hunter Douglas Real Property Project) Series 1994, AMT, (ABN-AMRO Bank N.V. LOC), 1.770% 09/01/14**#.......................................... 3,200 7,570 Provo City, Utah Housing Authority, (Multi-Family Branbury Park Project) Series 1987A, (Bank One of Arizona LOC), 1.720% 12/01/10**........................................... 7,570 3,730 Salt Lake City, Utah IDR, (Spring Air Project) Series 2003, AMT, (US Bank N.A.), 1.780% 07/01/23**........................................... 3,730 3,100 Tooele City, Utah IDR, (Encon Utah LLC Project) Series 2002A, AMT, (U.S. Bank N.A. LOC), 1.790% 10/01/22**........................................... 3,100 8,790 Utah Housing Corporation, Single Family Mortgage Revenue, Series 2002A-1, AMT, (Westdeutsche Landesbank Girozentrale LOC), 1.750% 07/01/33**........................................... 8,790 9,095 Utah Housing Corporation, Single Family Mortgage Revenue, Series 2002C-2, AMT, (Westdeutsche Landesbank Girozentrale SBPA), 1.750% 07/01/33**........................................... 9,095 15,000 Utah State Board Regents Student Loan Revenue, Series 1993A, AMT, (GTD STD LNS, Lloyds Bank LOC), 1.750% 11/01/23**........................................... 15,000 35,000 Utah State Board Regents Student Loan Revenue, Series 1995, AMT, (AMBAC Insured, GTD STD LNS, Lloyds TSB Bank plc SBPA), 1.750% 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), 1.750% 11/01/31**........................................... 38,500
SEE NOTES TO FINANCIAL STATEMENTS. 70 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- UTAH -- (CONTINUED) $ 26,355 Utah State Board Regents Students Loan Revenue, Series 1996R, AMT, (AMBAC Insured, GTD STD LNS, Credit Communl Belgiquee SBPA), 1.750% 11/01/31**........................................... $ 26,355 9,995 Utah State, Housing Finance Agency, Single Family Mortgage Revenue, Series 2000C-1, AMT, (Bayerische Landesbank SBPA), 1.750% 07/01/31**........................................... 9,995 1,000 West Jordan, Utah IDR, (Vesper Corporation Project) Series 1994A, AMT, (PNC Bank LOC) 1.820% 04/01/14**........................................... 1,000 ---------- 189,385 ---------- VERMONT -- 0.3% 14,000 Vermont Industrial Development Authority Revenue, (Ryegate Wood Energy Company Project) Series 1990, AMT, (ABN AMRO Bank, N.V. LOC), 1.770% 12/01/15**........................................... 14,000 ---------- VIRGINIA -- 0.6% 4,500 Fredericksburg, Virginia Industrial Development Authority Multi-Family Housing Revenue, (Forest Village Apartments Project) Series 2001A-1, AMT, (SunTrust Bank LOC), 1.770% 01/01/33**........................................... 4,500 5,200 Loudoun County, Virginia Industrial Development Authority Revenue, (Howard Hughes Medical Project) Series 2003C, 1.800% 02/15/38**........................................... 5,200 4,325 Madison County, Virginia Industrial Development Authority Revenue, (Madison Wood Preservers Project) Series 1998, AMT, (Wachovia Bank of North Carolina N.A. LOC), 1.760% 06/01/13**#.......................................... 4,325 9,900 Prince William County, Virginia IDR, (Dale Scott Corporation Project) Series 2001, AMT, (First Union National Bank LOC), 1.760% 12/01/21**........................................... 9,900 4,000 Westmoreland County, Virginia Industrial Development Authority, Economic Development Revenue, (Second Development LLC Project) Series 2003, AMT, (Wells Fargo Bank N.A. LOC), 1.810% 08/01/19**........................................... 4,000 ---------- 27,925 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- WASHINGTON -- 2.6% $ 4,200 Central, Washington University System Revenue, Series 2004, (FGIC Insured, Citigroup Global Market Liquidity Facility), 1.750% 05/01/21**#.......................................... $ 4,200 2,250 Clark County, Washington Public Utilities District Number 001 Generating System Revenue, Series 1995, (FGIC Insured), 6.000% 01/01/05............................................. 2,276 6,260 King County, Washington Directors Association Purchasing Department, 1.300%*** 10/18/04.......................................... 6,256 3,370 King County, Washington Housing Authority Revenue, (Auburn Court Apartments Project) Series 1997, AMT, (US Bank N.A. LOC), 1.740% 12/01/27**........................................... 3,370 5,610 King County, Washington Sewer Revenue, Series 2003, (FGIC Insured, Citigroup Global Market Liquidity Facility), 1.750% 01/01/20**#.......................................... 5,610 1,100 Klickitat County, Washington Public Corporation, (Mercer Ranches Project) Series 1996, (U.S. Bank N.A. LOC), 1.790% 12/15/10**........................................... 1,100 2,000 Pierce County, Washington Economic Development, (McFarland Cascade Project) Series 1996, AMT, (U.S. Bank N.A. LOC), 1.790% 12/01/17**........................................... 2,000 3,505 Port of Seattle, Washington Revenue Refunding, Series 2002D, AMT, (FGIC Insured), 5.750% 11/01/04............................................. 3,518 4,320 Port of Seattle, Washington Revenue, Series 2003, AMT, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.660% 07/01/11**@@......................................... 4,320 3,775 Port of Seattle, Washington Subordinate Lien Revenue, Series A-2, 1.200% 12/02/04............................................. 3,775 11,250 Seattle, Washington Housing Authority Revenue, (Rainier Vista Project Phase I) Series 2003, AMT, (Key Bank N.A. LOC), 1.780% 12/01/36**........................................... 11,250 2,490 Seattle, Washington Housing Authority, Lower Income Housing Assistance Revenue, (Bayview Manor Project) Series 1994B, (U.S. Bank of Washington LOC), 1.740% 05/01/19**........................................... 2,490
SEE NOTES TO FINANCIAL STATEMENTS. 71 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 6,085 Tacoma, Washington Convention Center and Parking Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.730% 12/01/24**#.......................................... $ 6,085 5,145 Washington State GO, Series 2003, (FSA Insured, Citigroup Global Market Liquidity Facility), 1.750% 07/01/19**#....... 5,145 7,500 Washington State GO, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.730% 01/01/10**#.......................................... 7,500 14,450 Washington State Health Care Facility Authority Revenue, (Empire Health Services Project) Series 2003, (U.S. Bank N.A. LOC), 1.650% 11/01/23**........................................... 14,450 2,075 Washington State Health Care Facility Authority Revenue, (Sisters of Providence Project) Series 1995, (AMBAC Insured), 1.790% 12/01/15**........................................... 2,075 13,600 Washington State Housing Finance Commission, Multi-Family Housing Revenue, (Mallard Lakes Apartments Project) Series 2002A, AMT, (PNC Bank N.A.), 1.770% 05/15/35**........................................... 13,600 8,300 Washington State Housing Finance Commission, Multi-Family Mortgage Revenue, (Inglenook Court Project) Series 1995, AMT, 1.730% 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), 1.750% 09/01/33**........................................... 6,535 5,240 Washington State Housing Finance Community Multi-Family Housing Revenue, (Pacific Crest Apartments Project) Series 1995, AMT, (Bank of America LOC), 1.830% 04/01/34**#.......................................... 5,240 1,350 Washington State Housing Finance Community Multi-Family Revenue, (Pacific Inn Apartments Project) Series 1996A, AMT, (U.S. Bank N.A. LOC), 1.790% 05/01/28**........................................... 1,350
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- WASHINGTON -- (CONTINUED) $ 2,885 Washington State Housing Finance Community Multi-Family Revenue, (Rosemont Apartments Project) Series 2003A, AMT, (Umpqua Bank LOC, Bank of the West LOC), 1.800% 10/01/36**........................................... $ 2,885 2,000 Washington State Housing Finance Community Multi-Family Revenue, (Sherwood Springs Apartments Project) Series 1997A, AMT, (U.S. Bank N.A. LOC), 1.790% 09/01/27**........................................... 2,000 6,000 Washington State Public Power Supply System Nuclear Project Number 3 Revenue, Series 1990, (MBIA-IBC Insured), 1.650%*** 07/01/05.......................................... 5,927 ---------- 131,257 ---------- WEST VIRGINIA -- 0.5% 7,735 Beckley, West Virginia Revenue Refunding, (Beckley Water Company Project) Series 2003, AMT, (Bank One West Virginia LOC), 1.900% 10/01/16**#.......................................... 7,735 1,400 Marion County, West Virginia County Commission Solid Waste Disposal Facility Revenue, (Grantown Project) Series 1990C, AMT, (National Westminster LOC), 1.770% 10/01/17**........................................... 1,400 1,000 Mercer County, West Virginia IDR Refunding, (Noland Company Project) Series 1989, (First Union National Bank LOC), 1.940% 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), 1.820% 12/01/19**#.......................................... 10,000 5,000 Putnam County, West Virginia Solid Waste Disposal Revenue, (Toyota Motor Manufacture Project) Series 2000A, AMT, 1.720% 04/01/30**........................................... 5,000 2,555 West Virginia Public Energy Authority Revenue, (Morgantown Energy Project) Series 1998, (FSA Insured, BNP Paribas SBPA), 1.790% 01/01/05**#.......................................... 2,555 ---------- 27,690 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 72 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- WISCONSIN -- 2.4% $ 2,940 Menomonee Falls, Wisconsin Industrial Development Authority IDR, (Jema, LLC Project) Series 1994, AMT, (Bank One Milwaukee, N.A. LOC), 1.900% 09/01/14**#.......................................... $ 2,940 1,300 Oconto, Wisconsin, IDR, (Unlimited Services of Wisconsin Project) Series 2000, (U.S. Bank N.A. LOC), 1.890% 11/01/12**#.......................................... 1,300 800 Park Falls, Wisconsin IDR, (Weather Shield Project) Series 2000, AMT, (Bank One Wisconsin LOC), 1.900% 08/01/20**#.......................................... 800 800 Pewaukee, Wisconsin IDR, (Gunner Press & Finishing Project) Series 2000, AMT, (Bank One Wisconsin LOC), 1.900% 09/01/20**#.......................................... 800 2,950 Pleasant Prairie, Wisconsin IDR, (Nucon Corporation Project) Series 1995, AMT, (American National Bank & Trust Company LOC), 1.750% 02/01/22**........................................... 2,950 2,000 Saukville Village, Wisconsin Community Development Authority, IDR, (Calibre Inc. Project) Series 2004, AMT, (US Bank N.A. LOC), 1.840% 09/01/29**........................................... 2,000 3,400 Sheboygan, Wisconsin IDR, (Subco Foods of Wisconsin) Series 2002, (American National Bank & Trust LOC), 1.980% 08/01/12**#.......................................... 3,400 2,650 Waunakee, Wisconsin Community School District, BAN, Series 2004, 1.550% 04/01/05............................................. 2,652 9,700 West Allis, Wisconsin Revenue (State Fair Park Exposition Center Project) Series 2001, (First Star Bank, N.A. LOC), 1.740% 08/01/28**........................................... 9,700 3,500 Whitewater, Wisconsin IDR, (Husco International Incorporate Project) Series 1997, AMT, (LaSalle Bank N.A.) 1.780% 12/01/12**........................................... 3,500 18,000 Wisconsin Housing & Economic Development Authority, Home Ownership Revenue, Series 2004A, (GO of Authority, Westdeutsche Landesbank AG SPA), 1.730% 03/01/35**........................................... 18,000
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- WISCONSIN -- (CONTINUED) $ 12,865 Wisconsin Housing and Economic Development Authority Home Ownership Revenue, Series 2003C, AMT, (Westdeutsche Landesbank AG SBPA), 1.670% 03/01/34**........................................... $ 12,865 10,000 Wisconsin Housing and Economic Development Authority Home Ownership Revenue, Series 2004A, AMT, (GO of Authority, Westdeutsche Landesbank AG SBPA), 1.730% 09/01/28**........................................... 10,000 10,000 Wisconsin Housing and Economic Development Authority Home Ownership Revenue, Series 2004A, AMT, (GO of Authority, Westdeutsche Landesbank SBPA), 1.730% 09/01/22**........................................... 10,000 3,845 Wisconsin Housing and Economic Development Authority, Housing Revenue, Series 2000A, AMT, (MBIA Insured, FHLB LOC), 1.730% 05/01/32**........................................... 3,845 12,000 Wisconsin School Districts Cash Flow Management Program, Certificates of Participation, Series 2004A-1, (US Bank N.A. LOC), 3.000% 09/20/05............................................. 12,151 3,480 Wisconsin State GO, Series 2004, (FSA Insured, Merrill Lynch Capital Services SPA), 1.730% 05/01/10**#.......................................... 3,480 5,000 Wisconsin State Health & Educational Facilities Authority Revenue, Series 2003, (MBIA Insured), 1.730% 08/15/23**#.......................................... 5,000 17,160 Wisconsin State, Health & Educational Facilities Authority Revenue, Series 2003, (MBIA Insured), 1.300% 08/15/19**@@......................................... 17,160 ---------- 122,543 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $5,093,169)........................................... 5,093,169 ---------- TOTAL INVESTMENTS (Cost $5,093,169*)................................ 100.4% 5,093,169 ---------- OTHER ASSETS AND LIABILITIES (NET).................. (0.4)% (18,259) ---------- NET ASSETS.......................................... 100.0% $5,074,910 ==========
SEE NOTES TO FINANCIAL STATEMENTS. 73 NATIONS MONEY MARKET FUNDS Nations Municipal Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED) --------------- *Federal income tax information (see Note 8). ** Variable rate demand notes. The interest rate shown reflects the rate in effect at September 30, 2004. 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, 2004. #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. +Amount represents less than 0.1%. @@ Restricted security (see Note 6). Nations Municipal Reserves had the following industry concentrations greater than 10% at September 30, 2004 (as a percentage of net assets): Housing 21.81% IDR/PCR 13.35%
SEE NOTES TO FINANCIAL STATEMENTS. 74 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 100.2% ALABAMA -- 1.7% $ 8,470 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), 1.760% 07/01/22**........................................... $ 8,470 17,510 Birmingham, Alabama Medical Clinic Board Revenue, (Medical Advancement Foundation Project) Series 2000A, (Columbus Bank & Trust LOC), 1.970% 09/01/30**........................................... 17,510 7,450 Birmingham, Alabama Medical Clinic Board Revenue, (University of Alabama Health Services Foundation Project) Series 2001A, (Columbus Bank and Trust LOC), 1.840% 03/01/31**#.......................................... 7,450 2,135 Foley, Alabama Public Park and Recreation Board Revenue, (YMCA Project) Series 2002, 1.760% 10/01/22**........................................... 2,135 3,577 Gardendale, Alabama Multi-Family Housing Revenue Refunding, (Ascot Place Apartments Project) Series 2002A, (FHLMC Liquidity Facility), 1.610% 10/01/32**........................................... 3,577 1,584 Gardendale, Alabama Multi-Family Housing Revenue Refunding, (Meadow Wood Apartments Project) Series 2002C, (FHLMC Liquidity Facility), 1.610% 10/01/32**........................................... 1,584 1,000 Montgomery, Alabama GO, Unlimited Warrants Refunding, Series 2003, (AMBAC Insured), 3.000% 11/01/04............................................. 1,002 6,000 Tuscaloosa County, Alabama Education Board, Special Tax Anticipation Warrants, Series 2003, (Regions Bank LOC), 1.720% 02/01/16**........................................... 6,000 ---------- 47,728 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ALASKA -- 0.6% $ 9,995 Alaska State Housing Finance Corporation Housing Revenue, Series 1998 PA-332, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.730% 12/01/19**#.......................................... $ 9,995 1,400 Alaska State Housing Finance Corporation, Series 1997-A, (MBIA Insured, GO of Corporation), 4.900% 12/01/04............................................. 1,409 6,285 Scottsboro, Alaska Solid Waste Disposal Authority Revenue, Series 2003, (Regions Bank LOC), 1.720% 11/01/18**........................................... 6,285 ---------- 17,689 ---------- ARIZONA -- 2.1% 5,995 Arizona Health Facilities Authority Revenue, (Blood Systems Project) Series 1995, (Bank One, N.A. LOC), 1.850% 09/01/15**#.......................................... 5,995 20,000 Arizona School District Financing Program Certificate Partnership TAN, Series 2004, 3.000% 07/30/05............................................. 20,254 3,230 Arizona Tourism and Sports Authority Tax Revenue, Series 2004, (MBIA Insured, Citigroup Global Market Liquidity Facility), 1.750% 07/01/21**#.......................................... 3,230 8,000 Phoenix Civic Improvement Corporation, 1.470% 05/05/05............................................. 8,000 18,775 Scottsdale, Arizona Industrial Development Authority Revenue, (Notre Dame Preparatory School Project) Series 2001A, (Bank One Arizona LOC), 1.700% 05/01/21**........................................... 18,775 2,550 Scottsdale, Arizona Industrial Development Authority Revenue, (Notre Dame Preparatory School Project) Series 2001B, (Bank One Arizona, N.A. LOC), 1.700% 05/01/21**........................................... 2,550 ---------- 58,804 ---------- CALIFORNIA -- 2.9% 11,190 ABN AMRO Munitops Certificates Trust, Series 2004, (FSA Insured, State Aid Withholding, ABN AMRO Bank N.V. SBPA), 1.760% 01/15/12**#.......................................... 11,190 15,000 East Bay Municipal Utility District, California Wastewater System Revenue, (Westdeutsche Landesbank Girozentrale SBPA, JP Morgan Chase Bank SBPA), 1.190% 12/01/04............................................. 15,000
SEE NOTES TO FINANCIAL STATEMENTS. 75 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CALIFORNIA -- (CONTINUED) $ 15,000 Los Angeles Metropolitan Transportation Revenue, (Bayerische Landesbank LOC, Landesbank Baden-Wuerttemberg LOC, Westdeutsche Landesbank LOC), 1.370% 11/03/04............................................. $ 15,000 10,000 Los Angeles, California TRAN, Series 2004, 3.500% 06/30/05............................................. 10,146 23,967 Riverside County, California Teeter Financing Program, Series B, 1.360% 10/04/04............................................. 23,967 3,000 San Francisco County, California Transportation Authority, (Landesbank Baden-Wurttemberg Liquidity Facility), 1.340% 11/15/04............................................. 3,000 ---------- 78,303 ---------- COLORADO -- 4.9% 2,000 Arapahoe County, Colorado Capital Improvement Trust, Federal Highway Revenue, Series 1986, 1.650%*** 08/31/07.......................................... 1,758 1,900 Arapahoe County, Colorado Capital Improvement Trust, Federal Highway Revenue, Series 1986, 1.660%*** 08/31/11.......................................... 1,239 11,725 Arapahoe County, Colorado Capital Improvement Trust, Federal Highway Revenue, Series 1986, 1.530%*** 08/31/15.......................................... 5,622 5,810 Arapahoe County, Colorado GO School District Number 006, Series 2003, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.730% 12/01/10**#.......................................... 5,810 3,240 Colorado Department Transit Revenue, Series 2003, (AMBAC Insured, CitiGroup Global Market Liquidity Facility), 1.750% 12/15/16**#.......................................... 3,240 41,125 Denver, Colorado City and County Certificates of Participation, Series 2003, (AMBAC Insured, Dexia Credit Local SBPA), 1.700% 12/01/29**........................................... 41,125 10,510 Denver, Colorado City and County, Colorado Excise Tax Revenue, (Colorado Convention Center Project) Series 2001, (FSA Insured, Dexia Credit Local SBPA), 1.700% 09/01/25**........................................... 10,510 5,655 Douglas County, Colorado School District Number 1, Series 2001, Putable Receipts - 163, (MBIA Insured, Morgan Guaranty SBPA), 1.730% 06/15/09**#.......................................... 5,655
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- COLORADO -- (CONTINUED) $ 22,600 Jefferson County, Colorado School District No. R-001 TAN, Series 2004A, 3.000% 06/30/05............................................. $ 22,838 36,410 Moffat County, Colorado PCR, (Tri-State Colorado - Utah Electric Cooperative Project) Series 1984, (AMBAC Insured, Societe Generale SBPA), 1.850% 07/01/10**........................................... 36,410 ---------- 134,207 ---------- CONNECTICUT -- 0.3% 7,890 Connecticut Health and Education, 1.110% 10/04/04............................................. 7,890 ---------- DELAWARE -- 0.2% 4,385 Kent County, Delaware Revenue, (Charter School Incorporated Project) Series 2002, (Wachovia Bank N.A. LOC), 1.740% 11/01/22**........................................... 4,385 ---------- DISTRICT OF COLUMBIA -- 0.4% 2,000 District of Columbia GO, Series 1993, (FSA Insured), 5.875% 06/01/05............................................. 2,056 8,675 District of Columbia Revenue Refunding, Series 2003, (Suntrust Bank LOC), 1.690% 10/01/30**........................................... 8,675 ---------- 10,731 ---------- FLORIDA -- 6.9% 6,500 Alachua County, Florida Health Facilities Authority Health Facilities Revenue, (Installment Shands Teach Project) Series 2003, (Suntrust Bank LOC), 1.760% 12/01/32**........................................... 6,500 3,900 Alachua County, Florida Health Facilities Authority, (Meridian Behavioral Income Project) Series 2003, (Wachovia Bank N.A. LOC), 1.740% 07/01/18**........................................... 3,900 30,200 Collier County, Florida Health Facilities Authority Hospital Revenue, Cleveland Clinic Health, Series 2003C-1, (JP Morgan Chase Bank LOC), 1.720% 01/01/35**........................................... 30,200 8,500 Dade County, Florida Special Revenue, (Youth Fair and Exposition Project) Series 1995, (SunTrust Bank of Central Florida LOC), 1.690% 08/01/15**........................................... 8,500
SEE NOTES TO FINANCIAL STATEMENTS. 76 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 5,995 Florida Housing Financial Agency Multi-Family Revenue, Series 1983, (Fannie Mae Liquidity Facility), 1.720% 12/01/05**........................................... $ 5,995 7,665 Florida State Board Education Lottery Revenue, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch & Company GTY-AGMT), 1.720% 01/01/12**#.......................................... 7,665 4,000 Hillsborough County, Florida, 1.000% 12/15/04............................................. 4,000 9,100 Miami, Florida Health Facilities Authority Health Facilities Revenue, (Miami Jewish Home and Hospital Project) Series 1996, (SunTrust Bank Miami LOC), 1.690% 12/01/16**#.......................................... 9,100 4,200 Miami-Dade County, Florida Educational Facilities Authority Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY-AGMT), 1.720% 10/01/11**#.......................................... 4,200 7,600 Miami-Dade County, Florida Industrial Development Authority Revenue, (Dave and Mary Alper Community Project) Series 2002, (Northern Trust Company LOC), 1.650% 04/01/32**........................................... 7,600 10,000 Orange County, Florida Industrial Development Authority IDR, (Bishop Moore High School Project) Series 2000, (SunTrust Bank LOC), 1.690% 10/01/25**........................................... 10,000 21,155 Sunshine State Governmental Financing Commission, (Miami-Dade County Program) Series G, (DEPFA Liquidity Facility), 1.340% 10/12/04............................................. 21,155 15,540 Sunshine State Governmental Financing Commission, (Miami-Dade County Program) Series G, (DEPFA Liquidity Facility), 1.340% 11/09/04............................................. 15,540 20,695 Sunshine State Governmental Financing Commission, (Miami-Dade County Program) Series G, (DEPFA Liquidity Facility), 1.200% 12/03/04............................................. 20,695 4,000 Tampa, Florida Revenue, Allegany Health System, Series 1994, (MBIA Insured), 6.500% 12/01/23............................................. 4,115 500 Titusville, Florida Multi-Purpose Revenue, Series 1998 (Suntrust Bank LOC), 1.750% 01/01/25**........................................... 500
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- FLORIDA -- (CONTINUED) $ 800 Titusville, Florida Multi-Purpose Revenue, Series 1999 (Suntrust Bank LOC), 1.750% 01/01/25**........................................... $ 800 4,400 Titusville, Florida Revenue, Series 1999A (Suntrust Bank LOC), 1.750% 01/01/25**........................................... 4,400 5,800 University of North Florida Foundation Income Revenue, Series 1997, (First Union National Bank LOC), 1.730% 11/01/27**........................................... 5,800 12,300 University of North Florida Foundation Income Revenue, Series 2000, (First Union National Bank LOC), 1.730% 11/01/30**........................................... 12,300 9,900 University of North Florida Foundation Income Revenue, Series 2003, (First Union National Bank LOC), 1.730% 11/01/24**........................................... 9,900 ---------- 192,865 ---------- GEORGIA -- 6.6% 2,215 Clayton County, Georgia Authority Multi-Family Housing Revenue Refunding, (Kings Arms Apartments Project) Series 1990D, (FSA Insured, Societe Generale SBPA), 1.540% 01/01/21**........................................... 2,215 12,800 Clayton County, Georgia Hospital Authority Revenue Anticipation Certificates, (Southern Regional Medical Center Project) Series 1998B, (SunTrust Bank LOC), 1.690% 08/01/19**........................................... 12,800 3,935 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding (Huntington Woods Apartments Project) Series 1990A, (FSA Insured, Societe Generale SBPA), 1.540% 01/01/21**........................................... 3,935 3,690 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Kimberly Forest Project) Series 1990B, (FSA Insured, Societe Generale SBPA), 1.540% 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), 1.540% 01/01/21**........................................... 3,945
SEE NOTES TO FINANCIAL STATEMENTS. 77 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 6,955 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Village Rouge Apartments Project) Series 1990C, (FSA Insured, Societe Generale SBPA), 1.540% 01/01/21**........................................... $ 6,955 7,200 Cobb County, Georgia Development Authority Revenue, (North Cobb Christian School Project) Series 1998A, (Branch Banking and Trust LOC), 1.720% 03/01/22**........................................... 7,200 2,740 Cobb County, Georgia Development Authority Revenue. YMCA, Series 2003, (Branch Banking and Trust LOC), 1.720% 12/01/25**........................................... 2,740 25,000 Cobb County, Georgia Hospital Authority Revenue, Anticipation of Certification, (Equip Pool Project) Series 2004, (Suntrust Bank LOC), 1.710% 04/01/34**........................................... 25,000 13,600 Cobb-Marietta, Georgia Coliseum and Exhibit Hall Authority Revenue, Jr. Lien, Series 1996A, (MBIA Insured, SunTrust Bank SBPA), 1.680% 10/01/26**#.......................................... 13,600 7,500 Columbus, Georgia Development Authority Revenue, (Foundation Properties Incorporated Project) Series 2004, (Columbus Bank and Trust LOC), 1.760% 12/01/33**........................................... 7,500 20,245 Columbus, Georgia Hospital Authority Revenue, (St. Francis Hospital Inc., Project) Series 2000A, (Columbus Bank & Trust LOC), 1.730% 01/01/31**#.......................................... 20,245 2,250 Columbus, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Quail Ridge Project) Series 1988, (Columbus Bank & Trust LOC), 1.720% 02/01/05**........................................... 2,250 7,500 DeKalb County, Georgia Development Authority IDR, (The Paideia School Inc. Project) Series 2000, (SunTrust Bank LOC), 1.690% 02/01/20**........................................... 7,500 5,240 DeKalb County, Georgia Development Authority Revenue, (American Cancer Society, Inc. Project) Series 1988, (SunTrust Bank LOC), 1.690% 05/01/13**#.......................................... 5,240
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- GEORGIA -- (CONTINUED) $ 3,000 DeKalb County, Georgia Development Authority Revenue, (Marist School, Inc. Project) Series 1999, (SunTrust Bank LOC), 1.690% 03/01/24**........................................... $ 3,000 1,860 DeKalb County, Georgia Hospital Authority Revenue Anticipation Certificates, (DeKalb Medical Center Inc. Project) Series 1994, (SunTrust Bank LOC), 1.690% 09/01/09**#.......................................... 1,860 4,700 DeKalb County, Georgia Industrial Development Authority IDR, (A.G. Rhodes Home Inc. Project) Series 1996, (SunTrust Bank LOC), 1.690% 03/01/21**#.......................................... 4,700 5,000 Floyd County, Georgia Development Authority University and College Improvement Revenue, (Berry College, Inc. Project) Series 1999, (SunTrust Bank LOC), 1.690% 03/01/24**#.......................................... 5,000 7,000 Fulton County, Georgia Development Authority Revenue, (Holy Innocents Episcopal Project) Series 2004, (Suntrust Bank LOC), 1.690% 08/01/24**........................................... 7,000 2,800 Fulton County, Georgia Development Authority Revenue, (Lovett School Project) Series 1997, (SunTrust Bank LOC), 1.690% 04/01/17**#.......................................... 2,800 2,500 Fulton County, Georgia Development Authority Revenue, (Spelman College Project) Series 1996, (SunTrust Bank LOC), 1.690% 06/01/16**........................................... 2,500 9,000 Fulton County, Georgia Development Authority Revenue, (Westminster Schools Incorporated Project) Series 2003, (SunTrust Bank LOC), 1.690% 11/01/28**........................................... 9,000 16,700 Richmond County, Georgia Hospital Authority Revenue Anticipation Certificates, (University Health Services, Inc. Project) Series 1999, (SunTrust Bank LOC), 1.690% 01/01/19**........................................... 16,700 4,850 Worth County, Georgia Industrial Development Authority Revenue Refunding, (Seabrook Enterprises, Inc. Project) Series 1996A, (Harris Trust and Savings Bank LOC), 1.690% 08/01/23**#.......................................... 4,850 ---------- 182,225 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 78 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- HAWAII -- 0.4% $ 4,980 Honolulu City and County GO, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility), 1.750% 03/01/22**#.......................................... $ 4,980 5,000 Honolulu Hawaii City and County GO, Series 2004A, (MBIA-IBC Insured, CitiBank N.A. Liquidity Facility), 1.750% 10/01/10**#.......................................... 5,000 ---------- 9,980 ---------- ILLINOIS -- 6.6% 2,785 Chicago, Illinois GO, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.810% 07/01/29**#.......................................... 2,785 715 Chicago, Illinois O'Hare International Airport Revenue, (General Airport Project) Second Lien, Series 1994C, (Societe Generale LOC), 1.720% 01/01/18**........................................... 715 1,175 Cook County, Illinois GO, High School District Number 205, Series 1998A, (FSA Insured), 5.000% 12/01/04............................................. 1,182 4,350 Dekalb, Illinois Tax Increment Revenue, Series 2003, (Northern Trust Company LOC), 1.700% 01/01/13**........................................... 4,350 22,345 Illinois ABN AMRO, GO, Series 2002, (MBIA-IBC Insured, ABN AMRO Bank SBPA), 1.750% 12/01/10**#.......................................... 22,345 5,900 Illinois Development Finance Authority Revenue, (American Academy of Dermatology Project) Series 2001, (American National Bank & Trust LOC), 1.850% 04/01/21**#.......................................... 5,900 4,080 Illinois Development Finance Authority Revenue, (Little City Foundation Project) Series 1994, (LaSalle National Bank LOC), 1.700% 02/01/19**........................................... 4,080 15,690 Illinois Development Finance Authority Revenue, (YMCA Metropolitan Chicago Project) Series 2001, (Harris Trust and Savings Bank LOC), 1.720% 06/01/29**........................................... 15,690 13,640 Illinois Educational Facilities Authority Revenue, (Benedictine University Project) Series 2000, (Lasalle Bank N.A. LOC), 1.710% 08/01/25**........................................... 13,640 2,465 Illinois Health Facilities Authority Revenue, (Glenkirk Project) Series 1997, (Harris Trust and Savings Bank LOC), 1.770% 02/15/21**#.......................................... 2,465
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ILLINOIS -- (CONTINUED) $ 60,000 Illinois State Certificates, Series 2004, 2.000% 10/22/04............................................. $ 60,030 16,500 Illinois State Development Finance Authority Economic Development Revenue, (Roosevelt University Project) Series 1995, (American National Bank & Trust Company LOC), 1.700% 04/01/25**........................................... 16,500 2,420 Illinois State Development Finance Authority Revenue, (Chicago Academy of Sciences Project) Series 1997, (American National Bank & Trust Company LOC), 1.700% 01/01/31**........................................... 2,420 2,370 Illinois State GO, Series 2003, (FSA Insured, Citigroup Global Market), 1.750% 12/01/20**#.......................................... 2,370 9,575 Metropolitan Pier and Exposition Authority Illinois, Dedicated State Tax, Series 2004, (MBIA Insured, Citibank N.A. Liquidity Facility), 1.840% 12/15/31**#.......................................... 9,575 7,000 Oak Forest, Illinois Revenue, (Homewood Pool - South Suburban Mayors Project) Series 1989, (Bank One, N.A. LOC), 1.510% 07/01/24**........................................... 7,000 5,480 Will & Kendall Counties, Illinois GO, Community Construction School District Number 202, Series 2003, (FGIC Insured, Citigroup Global Market Liquidity Facility), 1.750% 01/01/23**#.......................................... 5,480 5,145 Will & Kendall Counties, Illinois GO, Community Construction School District Number 202, Series 2003, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.730% 07/01/08**#.......................................... 5,145 ---------- 181,672 ---------- INDIANA -- 2.7% 1,000 Angola, Indiana Educational Facility Revenue, (Tri State University Incorporated Project) Series 2004, (Fifth Third Bank LOC), 1.530% 09/01/15**#.......................................... 1,000 15,000 Indiana Board Book Revenue Notes, (Midyear Funding Project) Series 2004A, 2.500% 01/26/05............................................. 15,053 2,430 Indiana Board Book Revenue, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility), 1.750% 09/01/21**#.......................................... 2,430
SEE NOTES TO FINANCIAL STATEMENTS. 79 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- INDIANA -- (CONTINUED) $ 5,475 Indiana Board Book Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.730% 02/01/12**#.......................................... $ 5,475 2,600 Indiana Health Facilities Financing Authority Revenue, (Southern Indiana Rehab Hospital Project) Series 2001, (Bank One Kentucky N.A. LOC), 1.850% 04/01/20**#.......................................... 2,600 6,000 Indiana Health Facilities Financing Authority Revenue, Series 2001GP-A-3, 1.050% 11/15/36**........................................... 6,000 8,145 Indiana State Development Finance Authority IDR, (Indiana University Foundation Project) Series 1998, (National City Bank LOC), 1.850% 08/01/18**#.......................................... 8,145 17,000 Indiana State Development Finance Authority Revenue, Educational Facilities Children's Museum, Series 2003, (Fifth Third Bank Liquidity Facility), 1.750% 07/01/33**........................................... 17,000 3,915 Indiana Transition Finance Authority Highway Revenue, Series 2004, (MBIA-IBC Insured, Merrill Lynch Capital Services SBPA), 1.730% 06/01/09**........................................... 3,915 6,990 Indianapolis, Indiana Thermal Energy Systems Revenue, Series 2004, (MBIA Insured, Merrill Lynch SPA), 1.730% 10/01/08**#.......................................... 6,990 4,490 St. Joseph County, Indiana Economic Development Revenue, (Brothers of the Holy Cross Project) Series 1997, (Key Bank, N.A. LOC), 1.750% 09/01/17**#.......................................... 4,490 ---------- 73,098 ---------- KENTUCKY -- 4.3% 41,400 Breckinridge County, Kentucky Lease Program Revenue, Kentucky Association County Leasing Trust, Series 2002A, (U.S. Bank N.A. LOC), 1.720% 02/01/32**........................................... 41,400 1,600 Christian County, Kentucky Industrial Building Revenue, (Audubon Area Community Services Project) Series 2004, (Branch Banking and Trust LOC), 1.720% 01/01/29**#.......................................... 1,600 27,315 Danville, Kentucky Multi-City Lease Revenue, 1.520% 10/18/04............................................. 27,315
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- KENTUCKY -- (CONTINUED) $ 20,000 Danville, Kentucky Multi-City Lease Revenue, 1.450% 11/15/04............................................. $ 20,000 9,100 Jefferson County, Kentucky Multi-Family Housing Revenue Refunding, (Canter Chase Apartments Project) Series 2002, (FHLMC Liquidity Facility), 1.750% 06/01/32**........................................... 9,100 5,365 Kentucky State Property and Buildings Common Revenue, Series 2004, (FSA Insured, Merrill Lynch Capital Services SBPA), 1.730% 04/01/13**........................................... 5,365 2,865 Mayfield, Kentucky Multi-City Lease Revenue, Kentucky League of Cities Funding Trust, Series 1996, (PNC Bank LOC), 1.690% 07/01/26**........................................... 2,865 5,200 Middletown, Kentucky Revenue, (Christian Academy Louisville Project) Series 1997, (Bank One of Kentucky, N.A. LOC), 1.850% 07/01/22**#.......................................... 5,200 4,250 Wickliffe, Kentucky PCR & Solid Waste Disposal Revenue, (Westvaco Corporation Project) Series 2001, (SunTrust Bank LOC), 1.690% 01/01/09**........................................... 4,250 ---------- 117,095 ---------- LOUISIANA -- 1.3% 10,925 Louisiana Public Facilities Authority Revenue, (Inter-Community Health Care Project) Series 1999, (Bank of New York LOC), 1.680% 04/01/21**#.......................................... 10,925 10,000 Louisiana Public Facility Authority Lease Revenue, Series 2003, (SBPA Societe Generale), 1.740% 06/01/08**........................................... 10,000 5,000 Louisiana State Offshore Term Authority Deepwater Port Revenue, (Loop LLC Project) Series 2003, (Suntrust Bank LOC), 1.760% 09/01/14**........................................... 5,000 4,340 Shreveport, Louisiana Home Mortgage Authority Multi-Family Housing Revenue Refunding, (Summer Pointe Project) Series 2004, (FNMA Liquidity Facility), 1.720% 02/15/23**........................................... 4,340 4,315 Upper Pontalba, Louisiana Building Restoration Corporation Revenue Refunding, (Upper Pontalba Building Project) Series 1996, (Bank One Louisiana, N.A. LOC), 1.850% 12/01/16**#.......................................... 4,315 ---------- 34,580 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 80 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MAINE -- 0.2% $ 1,945 Maine Health and Higher Education Facilities Authority Revenue, Series 2004A, (MBIA Insured), 2.500% 07/01/05............................................. $ 1,959 2,720 Maine Health and Higher Educational Facility Authority Revenue, Series 2003, (FSA Insured, Merrill Lynch Capital Services SBPA), 1.730% 07/01/21**#.......................................... 2,720 ---------- 4,679 ---------- MARYLAND -- 0.5% 9,100 Baltimore County, Maryland Economic Development Revenue, (Blue Circle, Inc. Project) Series 1992, (Den Danske Bank LOC), 1.800% 12/01/17**........................................... 9,100 4,000 Baltimore County, Maryland Economic Development Revenue, (Torah Institution Baltimore Project) Series 2004, (Branch Banking and Trust LOC), 1.720% 05/01/24**#.......................................... 4,000 ---------- 13,100 ---------- MASSACHUSETTS -- 1.6% 43,000 Massachusetts Water Resources Authority, Series 94, 1.110% 10/01/04............................................. 43,000 ---------- MICHIGAN -- 4.9% 4,000 Ann Arbor, Michigan Economic Development, (Ann Arbor YMCA Project) Series 2004, (Fifth Third Bank LOC), 1.510% 04/01/34**........................................... 4,000 1,000 Grand Rapids, Michigan Public Schools GO, Series 2004, (Fifth Third Bank LOC), 1.530% 05/01/23**........................................... 1,000 5,000 Grand Valley, Michigan State University Revenue, Series 2001B, (FGIC Insured, Liquidity Facility), 1.700% 06/01/27**........................................... 5,000 2,320 Jackson County, Michigan Economic Development Corporation IDR Refunding, (Jackson Associates, LLC Project) Series 1994, (Bank One of Dayton, N.A. LOC), 1.850% 10/01/14**#.......................................... 2,320 5,000 Michigan Higher Education Facilities Authority Revenue, Refunding Limited Obligation Hope College, Series 2004, (Bank One N.A. LOC), 1.730% 04/01/34**........................................... 5,000
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MICHIGAN -- (CONTINUED) $ 4,500 Michigan Higher Education Facility Authority Revenue, (Hope College Project) Series 2002B, (Fifth Third Bank LOC), 1.730% 04/01/32**........................................... $ 4,500 10,500 Michigan Municipal Bond Authority Revenue, Series 2004B-1, 3.000% 08/19/05............................................. 10,632 2,615 Michigan Public Educational Facility Authority Revenue, Limited Obligation, (West Michigan Academy Project) Series 2003, (Fifth Third Ward LOC), 1.530% 12/01/18**#.......................................... 2,615 4,195 Michigan State Building Authority Revenue, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility), 1.750% 10/15/18**#.......................................... 4,195 30,000 Michigan State Building Authority, (Bank of New York LOC, State Street Bank & Trust Company LOC), 1.420% 11/04/04............................................. 30,000 13,855 Michigan State Hospital Finance Authority Revenue Refunding, Series 1997, 4.800% 11/01/17............................................. 13,899 8,100 Michigan State Hospital Financial Authority Revenue, Series 2003, (Fifth Third Bank LOC), 1.560% 12/01/32**........................................... 8,100 6,500 Michigan State Strategic Fund Limited Obligation Revenue, (Partalis Property Project) Series 2003, AMT, (Fifth Third Bank LOC), 1.690% 11/01/33**........................................... 6,500 4,200 Michigan State Strategic Fund Limited Obligation Revenue, YMCA Greater Grand Rapids, Series 2004, (Fifth Third Bank LOC), 1.690% 07/01/34**........................................... 4,200 30,000 Michigan State, (Environmental Program) Series 2004A, 1.100% 12/01/04............................................. 30,000 2,000 Oakland County, Michigan Economic Development Corporation Limited Obligation Revenue Refunding, (Cranbrook Educational Community Project) Series 1994, 6.375% 11/01/14............................................. 2,009 ---------- 133,970 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 81 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MINNESOTA -- 0.9% $ 5,060 Minneapolis, Minnesota Community Development Agency Revenue, (Arena Acquisition Project) Series 1995A, (US Bank, N.A. LOC), 1.740% 10/01/24**........................................... $ 5,060 20,000 Minnesota School Districts Tax and Aid Anticipation Borrowing Program Certificate GO, Series 2004A, 3.000% 09/02/05............................................. 20,266 ---------- 25,326 ---------- MISSISSIPPI -- 0.5% 5,000 Mississippi Business Finance Corporation Mississippi Revenue, (Belhaven College Project) Series 2004, (First Tennessee Bank LOC), 1.800% 07/01/24**#.......................................... 5,000 10,000 Mississippi Development Bank Special Obligation, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.650% 01/01/26**#.......................................... 10,000 ---------- 15,000 ---------- MISSOURI -- 4.1% 1,770 Desloge, Missouri Industrial Development Authority IDR Refunding, (National Healthcorp Project) Series 1989, (Regions Bank LOC), 1.450% 12/01/10**........................................... 1,770 1,755 Dunklin County, Missouri Industrial Development Authority IDR Refunding, (National Healthcorp Project) Series 1989, (Regions Bank LOC), 1.450% 12/01/10**........................................... 1,755 18,400 Kansas City, Missouri Industrial Development Authority Multi-Family Housing Revenue, (Timberlane Village Associates Project) Series 1986, (UBS AG LOC), 1.800% 06/01/27**........................................... 18,400 29,560 Kansas City, Missouri Industrial Development Authority, Multi-Family Housing Revenue, (Ethans Apartments Project) Series 2004, (Citibank N.A. LOC), 1.730% 02/01/39**........................................... 29,560 24,400 Missouri Bi-State Development Agency, Missouri-Illinois Metropolitan District Revenue, (Metrolink Cross County Project), Series 2002A, (FSA Insured, Westdeutsche Landesbank AG SPA), 1.720% 10/01/32**........................................... 24,400
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MISSOURI -- (CONTINUED) $ 23,100 Missouri State Development Finance Board Lease Revenue, (Missouri Association of Utilities Lease Pool Project) Series 1999, (TransAmerica Life and Annuity Guarantee), 1.730% 12/01/22**........................................... $ 23,100 8,450 Platte County, Missouri Industrial Development Authority Multi-Family Housing Revenue Refunding, (Wexford Place Project) Series 1996, (Bank One Texas, N.A. LOC), 1.720% 04/01/28**#.......................................... 8,450 5,000 St. Louis, Missouri Industrial Development Authority Revenue Refunding, (Wetterau, Inc. Project) Series 1989, (PNC Bank, N.A. LOC), 1.700% 05/01/09**#.......................................... 5,000 ---------- 112,435 ---------- NEBRASKA -- 0.3% 4,060 Nebraska Elementary & Secondary School Finance Authority, Educational Facilities Revenue, (Lutheran School Project Fund) Series 2004B, (Fifth Third Bank LOC), 1.740% 09/01/29**........................................... 4,060 4,930 Nebraska Public Power District Revenue, Series 1995-A, (MBIA Insured), 5.375% 01/01/15............................................. 5,033 ---------- 9,093 ---------- NEVADA -- 0.4% 6,195 Clark County, Nevada GO, School District, Series 1991, (FGIC Insured), 1.320%*** 03/01/05.......................................... 6,161 3,990 Washoe County, Nevada School District, Series 2003, (FGIC Insured, CitiGroup Global Market Liquidity Facility), 1.750% 06/01/20**#.......................................... 3,990 ---------- 10,151 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 82 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- NEW MEXICO -- 1.7% $ 5,000 Farmington, New Mexico Hospital Revenue, (San Juan Regional Medical Center Project) Series 2004-B, (Bank of Nova Scotia LOC), 1.720% 06/01/28**........................................... $ 5,000 35,000 New Mexico State, Series 2004, (Lehman Liquidity Company Liquidity Facility), 1.270% 06/30/05**@@......................................... 35,000 7,755 San Juan City, New Mexico Gross Receipts Tax Revenue, Series 2004, (MBIA Insured, Westdeutsche Landesbank AG SBPA), 1.730% 01/01/08**#.......................................... 7,755 ---------- 47,755 ---------- NEW YORK -- 2.9% 4,385 Albany, New York Industrial Development Agency Civic Facility Revenue, (Daughters of Sarah Housing Project) Series 2001A, (Troy Savings Bank LOC, Keybank N.A. LOC), 1.740% 03/01/31**........................................... 4,385 11,000 Metropolitan Transportation Authority, Transportation Revenue BAN, Series 1A, 1.100% 10/01/04............................................. 11,000 16,000 New York City Municipal Water Finance Authority, 1.380% 10/06/04............................................. 16,000 9,010 New York Metropolitan Transitional Authority Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.630% 11/15/10**@@......................................... 9,010 10,209 New York State Power Authority, Series 1, 1.200% 12/01/04............................................. 10,209 13,000 New York State Power Authority, Series 1, 1.450% 12/06/04............................................. 13,000 7,235 New York, Metropolitan Transit Authority Revenue, Series 2003, (MBIA Insured, CitiBank N.A. SBPA), 1.710% 11/15/28**#.......................................... 7,235 1,900 New York, New York GO, Series 2003A, (Bank of Nova Scotia LOC), 1.700% 08/01/31**........................................... 1,900 3,500 Syracuse, New York RAN, Series 2004D, (Bank of New York LOC), 2.750% 06/30/05............................................. 3,528
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 2,450 Triborough Bridge and Tunnel Authority New York Revenue, Series 2002, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.710% 05/15/10**#.......................................... $ 2,450 570 Westchester County, New York Industrial Development Agency Civic Facility Revenue, (Westchester Jewish Project) Series 1998, (Chase Manhattan Bank LOC), 1.720% 10/01/28**#.......................................... 570 ---------- 79,287 ---------- NORTH CAROLINA -- 2.3% 13,995 Henderson County, North Carolina Hospital Revenue, (Margaret R Pardee Memorial Hospital Project) Series 2001, (Branch Banking & Trust LOC), 1.720% 10/01/21**........................................... 13,995 5,500 North Carolina Capital Facility Finance Agency Educational Facility Revenue, (Barton College Project) Series 2004, (Branch Banking & Trust LOC), 1.720% 07/01/19**........................................... 5,500 10,615 North Carolina Medical Care Commission Retirement Facilities Revenue, (Aldersgate Project) Series 2001, (Branch Banking & Trust LOC), 1.820% 01/01/31**........................................... 10,615 3,980 North Carolina Medical Care Community Health Care Facilities Revenue, (Rutherford Hospital Inc. Project) Series 2001, (Branch Banking & Trust LOC), 1.720% 09/01/21**........................................... 3,980 9,600 North Carolina Medical Care Community Hospital Revenue, (Westcare Health System Project) Series 2002A, (Branch Banking & Trust LOC), 1.720% 09/01/22**........................................... 9,600 10,000 North Carolina Medical Care Community Retirement Facilities Revenue, Series 2003, (Bank of Scotland LOC), 1.720% 07/01/07**........................................... 10,000 5,000 North Carolina State GO, Series 2003, 3.000% 05/01/05............................................. 5,040 5,475 North Carolina State GO, Series 2003, (Merrill Lynch Capital Services SBPA), 1.730% 02/01/11**#.......................................... 5,475 ---------- 64,205 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 83 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- NORTH DAKOTA -- 0.4% $ 9,740 Grand Forks, North Dakota Health Care Facilities Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY-AGMT) 1.730% 07/21/09**#.......................................... $ 9,740 ---------- OHIO -- 4.2% 23,695 Cleveland, Ohio Waterworks Revenue, Series 2002L, (FGIC Insured, Westdeutsche Landesbank SBPA), 1.700% 01/01/33**........................................... 23,695 40,000 Columbus, Ohio Regional Airport Authority Revenue, Series 2004, (U.S. Bank N.A. LOC), 1.710% 03/01/34**........................................... 40,000 10,000 Columbus, Ohio Regional Airport Authority Revenue, Series 2004A, (U.S. Bank N.A. LOC), 1.710% 01/01/30**........................................... 10,000 2,620 Hamilton County, Ohio Economic Development Revenue, (CAA Complex at Jordan Project) Series 2003, (Fifth Third Bank LOC), 1.530% 12/01/24**#.......................................... 2,620 2,350 Hamilton County, Ohio Economic Development Revenue, (Xavier H.S. Project) Series 2003, (Fifth Third Bank LOC), 1.510% 04/01/28**........................................... 2,350 1,805 Highland County, Ohio Joint Township Hospital District Facilities Revenue, Series 2004, (Fifth Third LOC), 1.530% 08/01/24**#.......................................... 1,805 4,000 Jackson, Ohio GO Local School District Stark and Summit Counties, 1.720% 12/01/24**#.......................................... 4,000 4,000 Lucas County, Ohio Facilities Improvement Revenue, (Toledo Zoological Society Project) Series 1997, (Key Bank, N.A. LOC), 1.700% 10/01/05**........................................... 4,000 8,000 Montgomery County, Ohio Economic Development Revenue, (The Dayton Art Institute Project) Series 1996, (National City Bank LOC), 1.750% 05/01/26**........................................... 8,000 14,985 Muskingum County, Ohio Hospital Facilities Revenue Refunding, (Genesis Healthcare System Project) Series 2000, (National City Bank LOC), 1.730% 12/01/20**........................................... 14,985
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- OHIO -- (CONTINUED) $ 1,735 Ohio State Higher Educational Facility, Common Revenue, Higher Educational Pooled Financing, Series 2003A, (Fifth Third Bank LOC), 1.700% 09/01/24**........................................... $ 1,735 1,000 Warren County, Ohio Economic Development, (Ralph J Stolle Countryside Project) Series 2000, (Fifth Third Bank LOC), 1.530% 08/01/20**#.......................................... 1,000 ---------- 114,190 ---------- OKLAHOMA -- 0.1% 1,375 Oklahoma State Industrial Authority Revenue, (Amateur Softball Association Project) Series 2002, (Bank One Oklahoma N.A. LOC), 1.850% 06/01/14**#.......................................... 1,375 ---------- OREGON -- 0.3% 4,000 Oregon State Housing and Community Services Department Management Revenue, Single-Family Management, Series 2003, 1.200% 07/01/19............................................. 4,000 5,495 Salem-Keizer, Oregon GO, School District Number 24J, Series 2004, (FSA Insured, School Board Guarantee, Merrill Lynch Capital Services SBPA), 1.730% 12/15/11**#.......................................... 5,495 ---------- 9,495 ---------- PENNSYLVANIA -- 1.5% 6,540 Allegheny County, Pennsylvania IDR, (United Jewish Federation Project) Series 1995B, (PNC Bank, N.A. LOC), 1.700% 10/01/25**........................................... 6,540 11,395 Harrisburg, Pennsylvania Authority Revenue, (Cumberland Valley School Project) Series 2002B, (FSA Insured, Dexia Credit Local SBPA), 1.740% 03/01/34**........................................... 11,395 2,025 Harrisburg, Pennsylvania Authority Revenue, (West Brandywine Project) Series 2002D, (FSA Insured, Dexia Credit Local SPA), 1.740% 03/01/34**........................................... 2,025 5,000 Montgomery County, Pennsylvania Industrial Development Authority Revenue, (Plymouth Woods Project) Series 1987, (PNC Bank, N.A. LOC), 1.700% 09/01/06**#.......................................... 5,000
SEE NOTES TO FINANCIAL STATEMENTS. 84 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- PENNSYLVANIA -- (CONTINUED) $ 9,500 Philadelphia, Pennsylvania Authority for Industrial Development Revenue, (Institute for Cancer Research - Fox Chase Cancer Center Project) Series 1997, (Morgan Guaranty Trust LOC), 1.710% 07/01/25**#.......................................... $ 9,500 5,450 Philadelphia, Pennsylvania Redevelopment Authority, (The Presbyterian Home Project) Series 1998, (PNC Bank, N.A. LOC), 1.700% 07/01/28**#.......................................... 5,450 ---------- 39,910 ---------- PUERTO RICO -- 0.4% 10,000 Puerto Rico Commonwealth GO, Series 2001, (FSA Insured, Bank of New York Liquidity Facility), 1.350% 07/01/27**@@......................................... 10,000 ---------- SOUTH CAROLINA -- 2.1% 10,000 Piedmont Municipal Power Agency South Carolina Electric Revenue, Series 2004B-3, (AMBAC Insured, JP Morgan Chase Bank SBPA), 1.700% 01/01/34**........................................... 10,000 7,500 Piedmont Municipal Power Agency, South Carolina Electric Revenue, Series 2004B-1, (MBIA Insured, JP Morgan Chase Bank), 1.700% 01/01/34**........................................... 7,500 13,145 South Carolina Jobs Economic Development Authority Health Facilities Revenue, (Carolina Village Project) Series 2000, (Branch Banking & Trust LOC), 1.720% 02/01/22**........................................... 13,145 6,250 South Carolina Jobs Economic Development Authority Hospital Facility Revenue, (Cannon Memorial Hospital Project) Series 2004A, (National Bank of South Carolina LOC), 1.790% 06/01/24**........................................... 6,250 5,490 South Carolina State Public Service Authority Revenue, Series 2002, (FSA Insured, Merrill Lynch Capital Services SBPA), 1.730% 07/01/10**#.......................................... 5,490
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- SOUTH CAROLINA -- (CONTINUED) $ 4,585 South Carolina State Public Services Authority Revenue, Series 2004 (AMBAC Insured, Citibank N.A. Liquidity Facility), 1.750% 01/01/22**#.......................................... $ 4,585 10,355 South Carolina Transportation Infrastructure Book Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Service SBPA), 1.730% 10/01/08**#.......................................... 10,355 ---------- 57,325 ---------- TENNESSEE -- 3.1% 3,900 Blount County Tennessee Public Building Authority, Local Government Public Improvement, Series 2002, (AMBAC Insured, Regions Bank SBPA), 1.720% 06/01/17**........................................... 3,900 6,855 Clarksville, Tennessee Public Building Authority Revenue, Series 1996, (SunTrust Bank LOC), 1.690% 07/01/11**........................................... 6,855 3,350 Cleveland, Tennessee Health and Educational Facilities Board Revenue, (Lee University Project) Series 2002, (First Tennessee Bank LOC), 1.900% 12/01/19**#.......................................... 3,350 8,300 Dickson County, Tennessee Industrial Development Board Revenue, (The Jackson Foundation-Renaissance Learning Center Project) Series 1997, (SunTrust Bank of Nashville LOC), 1.690% 11/01/12**#.......................................... 8,300 6,000 Franklin, Tennessee Health and Educational Facilities Board Revenue, (Battle Ground Academy Project) Series 2002, (SunTrust Bank LOC), 1.690% 01/01/22**........................................... 6,000 14,200 Knox County, Tennessee Health and Educational Facilities Board Educational Facilities Revenue, (Webb School - Knoxville Project) Series 1999, (SunTrust Bank Nashville LOC), 1.690% 03/01/19**........................................... 14,200 675 Loudon, Tennessee Water and Sewer Revenue Refunding, Series 1996, (Wachovia Bank, N.A. LOC), 1.740% 09/01/06**#.......................................... 675
SEE NOTES TO FINANCIAL STATEMENTS. 85 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TENNESSEE -- (CONTINUED) $ 5,380 Metropolitan Government, Nashville and Davidson County, Tennessee District Energy Revenue, Series 2002, (AMBAC Insured, Merrill Lynch Capital Services SPA), 1.730% 04/01/10**#.......................................... $ 5,380 7,515 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), 1.690% 07/01/32**........................................... 7,515 3,555 Metropolitan Government, Nashville and Davidson County, Tennessee Industrial Development Board Revenue Refunding, (Nashville Apartment Properties Project) Series 1995-2, (AmSouth Bank, N.A. LOC), 1.790% 09/01/15**#.......................................... 3,555 4,920 Shelby County, Tennessee Health Educational and Housing Facilities Board Revenue, (Memphis University School Project) Series 2002, (SunTrust Bank LOC), 1.720% 10/01/22**........................................... 4,920 5,170 Shelby County, Tennessee Health Educational and Housing Facilities Board Revenue, (St. Benedict Auburndale School) Series 2003, (AMSouth LOC), 1.740% 05/01/33**........................................... 5,170 11,020 Tennessee Housing Development Agency, Single Family Mortgage, Series 2004, 1.494% 12/08/05**........................................... 11,020 4,150 Williamson County, Tennessee Industrial Development Board Revenue, Educational Facility, (Saint Matthew School Project) Series 2004, (Suntrust Bank LOC), 1.740% 07/01/24**........................................... 4,150 ---------- 84,990 ---------- TEXAS -- 21.3% 1,530 Alaska Student Loan Corporation Capital Project Revenue Capital, Series 2004, (MBIA Insured), 2.000% 01/01/05............................................. 1,532 14,100 Bell County, Texas Health Facilities Development Corporation Revenue, (Scott and White Memorial Hospital Project) Series 2001-2, 1.720%! 08/15/31**.......................................... 14,100
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 4,990 Brazosport, Texas Independent School District, Series 2003, (PSF-GTD, Merrill Lynch Capital Services SBPA), 1.730% 08/15/10**#.......................................... $ 4,990 5,215 Bridgeport, Texas GO, Independent School District, Series 2004, (PSF-GTD, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY-AGMT), 1.730% 02/15/09**#.......................................... 5,215 26,200 Brownsville, Texas Utilities Systems Revenue Refunding, Series 2001A, (MBIA Insured), 0.950% 09/01/25**........................................... 26,200 4,820 Canutillo, Texas Independent School District, GO, Series 2003, (PSF-GTD Insured, Merrill Lynch Capital Services SBPA), 1.730% 08/15/22**#.......................................... 4,820 5,000 City of Austin, Texas, (JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank & Trust LOC), 1.270% 10/06/04............................................. 5,000 20,000 City of Austin, Texas, (JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank & Trust LOC), 1.150% 10/20/04............................................. 20,000 8,925 City of Austin, Texas, (JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank & Trust LOC), 1.520% 10/21/04............................................. 8,925 20,000 City of Austin, Texas, (JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank & Trust LOC), 1.340% 10/28/04............................................. 20,000 16,800 City of Houston, Texas GO, (Landesbank Hessen-Thuringen Girozentrale Liquidity Facility, Dexia Credit Local Liquidity Facility), 1.250% 10/06/04............................................. 16,800 10,000 City of Houston, Texas Subordinate Lien Hotel Occupancy Tax and Parking Revenue, Series A, 1.520% 10/21/04............................................. 10,000 9,600 Grand Prairie, Texas Housing Finance Corporation Multi-Family Housing Revenue, (Lincoln Property Project), Series 1993, (GE Credit Corporation Guarantee), 1.770% 06/01/10**........................................... 9,600
SEE NOTES TO FINANCIAL STATEMENTS. 86 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 9,000 Grand Prairie, Texas Housing Finance Corporation Multi-Family Housing Revenue, (Windbridge Grand Prairie Project) Series 1993, (GE Credit Corporation Guarantee), 1.770% 06/01/10**#.......................................... $ 9,000 2,680 Gregg County, Texas Housing Finance Corporation Multi-Family Housing Revenue Refunding, (Summer Green Project) Series 2004A, (Fannie Mae Liquidity Facility), 1.720% 02/15/23**........................................... 2,680 5,185 Gregg County, Texas Housing Finance Corporation Multi-Family Housing Revenue Refunding, (Summer Lake Project) Series 2004A, (Fannie Mae Liquidity Facility), 1.720% 02/15/23**........................................... 5,185 36,000 Harris County, Texas Floating Rate Trust Receipts, Series 2004, (Lehman Liquidity Company Liquidity Facility), 1.270% 02/28/05**#.......................................... 36,000 9,995 Houston, Texas Independent School District GO, Series 2004, (FSA Insured, Landesbank Hessen-Thueringen Liquidity Facility), 1.800% 06/14/05@@........................................... 9,995 12,600 Houston, Texas Utilities System Revenue, Series 2004, (FSA Insured, Special Situations Liquidity Facility), 1.730% 05/25/12**#.......................................... 12,600 5,190 Houston, Texas Utility System Revenue, Series 2004, (FSA Insured, Citigroup Global Market Liquidity Facility), 1.750% 05/15/20**#.......................................... 5,190 12,495 Houston, Texas Water and Sewer Systems Revenue, Series 2002, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.100% 12/01/23**@@......................................... 12,495 11,490 Hunt, Texas Memorial Hospital District Revenue, Series 1998, (FSA Insured, Chase Bank of Texas N.A. SPA), 1.750% 08/15/17**........................................... 11,490 9,990 North Central Texas Health Facility Development Corporation Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY-AGMT), 1.730% 07/11/12**#.......................................... 9,990 18,340 North East Texas Independent School District GO, Series 2000 PT-1249, (Texas Permanent School Fund Guarantee, Merrill Lynch SBPA), 1.730% 02/01/21**#.......................................... 18,340
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 10,605 Nueces County, Texas GO, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SPBA), 1.730% 02/15/12**#.......................................... $ 10,605 1,500 Pasadena, Texas GO, Independent School District, Series 2003, (PSF-GTD), 5.000% 02/15/05............................................. 1,520 10,250 Port Development Corporation of Texas Marine Terminal Revenue, (Pasadena Terminal Company, Inc. Project) Series 1984, (Deutsche Bank A.G. LOC), 1.950% 12/01/04**#.......................................... 10,250 5,000 Red River Authority Texas PCR, (Southwestern Public Service) Series 1996, (AMBAC Insured, Bank of New York Liquidity Facility), 1.700% 07/01/16**........................................... 5,000 6,000 San Antonio, Texas Water Revenue, Series 2003A, (MBIA Insured, JP Morgan Chase Bank SBPA), 1.700% 05/15/33**........................................... 6,000 24,570 Texas Municipal Power Agency Revenue Floating Rate Trust Receipts, Series 2004, (FGIC Insured, Lehman Liquidity Company Liquidity Facility), 1.270% 09/01/11**#.......................................... 24,570 42,170 Texas Small Business Industrial Development Corporation IDR, Texas Public Facilities Capital Access, Series 1986, (KBC Bank N.V. LOC), 1.730% 07/01/26**........................................... 42,170 95,000 Texas State Tax RAN, Series 2004, 3.000% 08/31/05............................................. 96,211 2,500 Texas State, GO Refunding, Series 1992A, 5.800% 10/01/04............................................. 2,500 25,000 Texas State, Series 2004D, (Lehman Liquidity Company Liquidity Facility), 1.680% 08/31/05**#.......................................... 25,000 18,700 Texas, Lower Colorado River Authority Revenue, Series 2001, (MBIA Insured, Citibank SBPA), 1.750% 05/15/26**........................................... 18,700 10,000 University of Texas, Board of Regents Revenue Financing System, (University of Texas Investment Management Company Liquidity Facility), 1.520% 10/21/04............................................. 10,000 15,000 University of Texas, Board of Regents Revenue, (University of Texas Investment Management Company Liquidity Facility), 1.150% 11/01/04............................................. 15,000
SEE NOTES TO FINANCIAL STATEMENTS. 87 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TEXAS -- (CONTINUED) $ 14,000 University of Texas, Board of Regents Revenue, (University of Texas Investment Management Company Liquidity Facility), 1.230% 12/01/04............................................. $ 14,000 17,600 West Side Calhoun County, Texas Development Corporation PCR, (Sohio Chemical Corporation Project) Series 1985, (Bp Amoco plc Guarantee), 1.720% 12/01/15**........................................... 17,600 8,135 Williamson County, Texas Putable Receipts, Series 1988, (FSA Insured, Morgan Guaranty Trust SBPA), 1.730% 02/15/21**#.......................................... 8,135 ---------- 587,408 ---------- UTAH -- 1.2% 30,400 Intermountain Power Agency, Utah Power Supply Revenue, Series 1985E, (Landesbank Hessen-Thuringen SBPA), 1.430% 07/01/14**........................................... 30,400 2,925 Intermountain Power Agency, Utah Power Supply Revenue, Series 1985F, (AMBAC Insured, Landesbank Hessen-Thuringen SBPA), 1.400% 07/01/15**........................................... 2,925 ---------- 33,325 ---------- VIRGINIA -- 1.2% 3,285 Alexandria, Virginia Industrial Development Authority Revenue, (American Red Cross Project) Series 1989, (First Union National Bank LOC), 1.740% 01/01/09**#.......................................... 3,285 3,900 Front Royal & Warren County Virginia IDR, Hospital Facility, (Warren Memorial Hospital Project) Series 2003, (Branch Banking and Trust LOC), 1.720% 05/01/23**#.......................................... 3,900 1,700 Hanover County, Virginia Industrial Development Authority Residential Care Facility Revenue, Series 1999, (Branch Banking and Trust LOC), 1.720% 07/01/29**#.......................................... 1,700 12,350 Rockingham County, Virginia Industrial Development Authority, Residential Care Facility Revenue, (Sunnyside Presbyterian Project) Series 2003, (Branch Banking & Trust LOC), 1.720% 12/01/33**........................................... 12,350
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- VIRGINIA -- (CONTINUED) $ 2,000 Spotsylvania County, Virginia Industrial Development Authority IDR, (Carlisle Corporation Project) Series 1993, (SunTrust Bank LOC), 1.690% 06/01/08**#.......................................... $ 2,000 9,435 Virginia College Building Authority, Virginia Educational Facilities Revenue, Series 1999-Putters 134, (FSA Insured, JP Morgan Chase SBPA), 1.730% 09/01/07**#.......................................... 9,435 ---------- 32,670 ---------- WASHINGTON -- 0.8% 7,360 Washington State GO, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SPBA, Merrill Lynch and Company GTY-AGMT), 1.730% 01/01/12**#.......................................... 7,360 9,800 Washington State Health Care Facility Authority Lease Revenue, (National Healthcare Research and Education Project) Series 2000, (BNP Paribas LOC), 1.700% 01/01/32**........................................... 9,800 4,000 Washington State Public Power Supply System Nuclear Project Number 3 Revenue, Series 1990, (MBIA-IBC Insured), 1.650%*** 07/01/05.......................................... 3,951 ---------- 21,111 ---------- WISCONSIN -- 1.4% 5,210 Allouez, Wisconsin GO, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.730% 04/01/24**#.......................................... 5,210 3,965 Appleton, Wisconsin IDR, Series 1994, (U.S. Bank N.A. LOC), 1.740% 12/15/09**........................................... 3,965 4,945 Milwaukee, Wisconsin GO, Series 2004, (FSA Insured, Merrill Lynch Capital Services SBPA), 1.730% 03/01/12**#.......................................... 4,945 3,700 Wind Point, Wisconsin Revenue, (The Johnson Foundation Project) Series 2000, (Harris Trust & Savings Bank LOC), 1.800% 09/01/35**........................................... 3,700 6,635 Wisconsin Center District Wisconsin Tax Revenue, Series 2004, (FSA Insured, Merrill Lynch Capital Services SBPA), 1.730% 12/15/21**#.......................................... 6,635
SEE NOTES TO FINANCIAL STATEMENTS. 88 NATIONS MONEY MARKET FUNDS Nations Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- WISCONSIN -- (CONTINUED) $10,050 Wisconsin State GO, Series 2004, (FSA Insured, Merrill Lynch Capital Services SBPA) 1.730% 05/01/08**#.......................................... $ 10,050 3,500 Wisconsin State Health and Educational Facility Authority Revenue, (Mequon Jewish Project) Series 2003, (Bank One N.A. LOC), 1.730% 07/01/28**........................................... 3,500 ---------- 38,005 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $2,748,797)........................................... 2,748,797 ---------- TOTAL INVESTMENTS (Cost $2,748,797*)................................ 100.2% 2,748,797 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. (0.2)% (6,197) ---------- NET ASSETS.......................................... $2,742,600 100.0% ==========
--------------- *Federal income tax information (see Note 8). ** Variable rate demand notes. The interest rate shown reflects the rate in effect at September 30, 2004. 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. @@ Restricted security (see Note 6). Nations Tax-Exempt Reserves had the following industry concentration greater than 10% at September 30, 2004 (as a percentage of net assets): IDR/PCR 13.51%
SEE NOTES TO FINANCIAL STATEMENTS. 89 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 99.8% CALIFORNIA -- 95.6% $ 14,200 ABAG Finance Authority for Non-Profit Corporations, California Multi-Family Revenue, (Fine Arts Building Project) Series 2002A, (FNMA Liquidity Facility), 1.720% 07/15/35**........................................... $ 14,200 12,000 ABAG Finance Authority for Non-Profit Corporations, California Revenue, Series 2003A, (Societe Generale SBPA), 1.770% 07/01/08**........................................... 12,000 8,895 ABN AMRO Munitops Certificates Trust, California, Series 2003, (FGIC Insured, ABN AMRO Bank N.V. SBPA), 1.290% 10/06/04@@........................................... 8,895 7,590 ABN AMRO Munitops Certificates Trust, California, Series 2004, (FGIC Insured, ABN AMRO Bank NV SBPA), 1.710% 07/01/11**#.......................................... 7,590 7,825 ABN AMRO Munitops Certificates Trust, California, Series 2004, (FSA Insured, ABN AMRO Bank NV SBPA), 1.710% 06/01/12**#.......................................... 7,825 8,575 ABN AMRO Munitops Certificates Trust, California, Series 2004, (MBIA Insured, ABN AMRO Bank N.V. SBPA), 1.290% 10/06/04@@........................................... 8,575 3,025 Alameda - Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 1997B, (Scotiabank LOC), 1.730% 07/01/23**........................................... 3,025 800 Alameda - Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 1997D, (Bank of Nova Scotia LOC), 1.730% 07/01/18**........................................... 800 2,400 Alameda - Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 1997E, (Bank of Nova Scotia LOC), 1.730% 06/01/22**........................................... 2,400
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 1,290 Alameda - Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 2000F, (KBC Bank N.V. LOC), 1.780% 08/01/23**........................................... $ 1,290 620 Alameda - Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 2000I, (AMBAC Insured, KBC Bank N.V. SBPA), 1.730% 08/01/29**........................................... 620 11,300 Alameda - Contra Costa County, California Schools Financing Authority, Certificate of Participation, Series 1999G, (AMBAC Insured), 1.830% 08/01/24**........................................... 11,300 6,480 Alameda County, California Corridor Transportation Authority Revenue, Series 1999CMC-1, (MBIA Insured, JP Morgan SBPA), 1.710% 10/01/13**#.......................................... 6,480 2,860 Alameda County, California IDR, (Segale Brothers Wood Production Project) Series 2002, (Bank of the West LOC), 1.790% 10/01/32**........................................... 2,860 5,500 Alameda County, California Industrial Development Authority Revenue, (Edward L Shimmon Inc. Project) Series 1996A, (Bank of the West LOC, BNP Paribas LOC), 1.720% 11/01/26**........................................... 5,500 35,390 California Community College Financing Authority Revenue, Series 2004D, (Lehman Liquidity Company Liquidity Facility), 1.270% 07/29/05**@@......................................... 35,390 6,500 California Educational Facilities Authority Revenue, Series 1999, (Bank of the West LOC), 1.710% 01/01/25**........................................... 6,500 14,275 California Educational Facilities Authority Revenue, Series 2000A, (Societe Generale LOC), 1.720% 10/01/27**#.......................................... 14,275 11,745 California Health Facilities Financing Authority Revenue, (Catholic Healthcare Project) Series 1988B, (MBIA Insured, Morgan Guaranty Trust SBPA), 1.530% 07/01/16**........................................... 11,745 10,995 California Health Facilities Financing Authority Revenue, Series 1998CMC-6, (FSA Insured), 1.710% 06/01/12**#.......................................... 10,995
SEE NOTES TO FINANCIAL STATEMENTS. 90 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 7,000 California Higher Education Loan Authority Inc. Student Loan Revenue Refunding, Sr. Lien, Series 1992A-4, AMT, (SLMA Guarantee), 1.050% 03/01/05............................................. $ 6,983 1,310 California Housing Finance Agency Revenue, Series 1995, (MBIA Insured, Credit Suisse First Boston SBPA), 1.730% 08/01/26**#.......................................... 1,310 8,045 California Housing Finance Agency Revenue, Series 2000, (State Street Bank & Trust Company LOC), 1.810% 08/01/29**........................................... 8,045 27,600 California Housing Finance Agency Revenue, Series 2002Q, AMT, (Bank of Nova Scotia Liquidity Facility), 1.750% 08/01/33**........................................... 27,600 8,040 California Housing Finance Agency Revenue, Series 2004E-2, (JP Morgan Chase Liquidity Facility), 1.650% 02/01/35**........................................... 8,040 2,380 California Infrastructure & Economic Development Bank IDR, Series 2003, AMT, (Mellon 1st Business Bank LOC, Mellon Bank N.A. LOC), 1.750% 08/01/28**........................................... 2,380 1,000 California Infrastructure & Economic Development Bank Revenue, Series 2002, 3.000% 10/01/04............................................. 1,000 22,070 California Infrastructure & Economic Development Bank Revenue, Series 2003A, (AMBAC Insured, Citibank N.A. SBPA), 1.720% 07/01/37**#.......................................... 22,070 7,000 California Infrastructure & Economic Development Bank Revenue, Series 2003A, (FGIC Insured), 1.720% 07/01/29**#.......................................... 7,000 4,000 California Infrastructure & Economic Development Bank Revenue, Series 2003A, (Wells Fargo Bank N.A. LOC), 1.690% 09/01/28**........................................... 4,000 5,100 California Infrastructure & Economic Development Bank, IDR, (Kruger & Sons Inc. Project) Series 2002, AMT, (Bank of the West LOC), 1.700% 11/01/28**........................................... 5,100 20,100 California Infrastructure and Economic Development Bank Revenue, Series 2001, (Bank of New York LOC, Bank of California State Teacher LOC) 1.700% 11/15/37**........................................... 20,100
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 10,000 California M-S-R Public Power Agency Revenue, (San Juan Project) Series 1995B, (AMBAC Insured, Bank of Nova Scotia SBPA), 1.700% 07/01/22**........................................... $ 10,000 2,500 California Pollution Control Financing Authority Solid Waste Disposal, (Blue Line Transfer Project) Series 2002A, (Wells Fargo Bank LOC), 1.750% 08/01/14**........................................... 2,500 1,300 California Pollution Control Financing Authority Solid Waste Disposal, (Santa Clara Valley Industries Project) Series 1998A, AMT, (Comerica Bank LOC), 1.800% 03/01/18**#.......................................... 1,300 7,410 California School Facilities Financing Corporation Certificates of Participation, Series 1998A, (Bayerische Hypotheken und Vereinsbank LOC), 1.680% 07/01/22**........................................... 7,410 12,330 California Schools Cash Reserve Program Authority, Series 2004A, 3.000% 07/06/05............................................. 12,469 2,380 California State Department of Water Resources and Power Supply Revenue, Series 2002B-3, (Bank of New York LOC), 1.770% 05/01/22**........................................... 2,380 12,075 California State Department of Water Resources and Power Supply Revenue, Series 2003, (MBIA-IBC Insured, Merrill Lynch Capital Services SBPA), 1.700% 05/01/11**#.......................................... 12,075 5,185 California State Department of Water Resources Revenue, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.700% 12/01/10**#.......................................... 5,185 2,300 California State Department of Water Resources, Power Supply Revenue, Series 2002B-6, (State Street Banking & Trust Company LOC), 1.730% 05/01/22**........................................... 2,300 5,200 California State Department of Water Resources, Power Supply Revenue, Series 2002C-11, (KBC Bank N.V. LOC, Bank of Nova Scotia LOC), 1.700% 05/01/22**........................................... 5,200 61,060 California State Department of Water Resources, Power Supply Revenue, Series 2002C-8, (Bayerische Landesbank LOC), 1.680% 05/01/22**........................................... 61,060
SEE NOTES TO FINANCIAL STATEMENTS. 91 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 3,000 California State Department of Water Resources, Water Systems Revenue, (Center Valley Project), Series 1995O, 8.250% 12/01/04............................................. $ 3,036 6,700 California State Economic Recovery Revenue, Series 2004C-16, (FSA Insured, State Guaranteed, Dexia Credit Local SBPA), 1.700% 07/01/23**........................................... 6,700 16,600 California State University Institute, (State Street Bank LOC, Morgan Guaranty LOC, Bayerische Landesbank Girozentrale LOC), 1.390% 11/12/04............................................. 16,600 8,675 California State, Department of Water Resources, Power Supply Revenue, Series 2002B-2, (BNP Paribas LOC), 1.800% 05/01/22**........................................... 8,675 1,300 California State, Economic Recovery Revenue, Series 2004C-1, (State Guaranteed, Landesbank Baden-Wurttemberg SBPA), 1.800% 07/01/23**........................................... 1,300 12,000 California State, Economic Recovery Revenue, Series 2004C-10, (State Guaranteed, Banque Nationale de Paris LOC), 1.700% 07/01/23**........................................... 12,000 5,555 California State, Economic Recovery Revenue, Series 2004C-8, (State Guaranteed, Lloyds TSB Bank plc LOC), 1.770% 07/01/23**........................................... 5,555 9,375 California State, Economic Recovery, GO, Series 2004, (Citibank N.A. Liquidity Facility), 1.700% 07/01/23@@........................................... 9,375 4,935 California Statewide Communities Development Authority Revenue, (Fairfax Senior Citizens Housing Project) Series 2000A, 1.690% 09/15/30**........................................... 4,935 5,000 California Statewide Communities Development Authority Revenue, (Hanna Boys Center Project) Series 2002, (Northern Trust Company LOC), 1.650% 12/31/29**........................................... 5,000 4,050 California Statewide Communities Development Authority Revenue, IDR, (Multiple Peptide Systems Project) Series 2002A, AMT, (Bank of the West LOC), 1.700% 12/01/17**........................................... 4,050 3,000 California Statewide Communities Development Authority TRAN, Series 2004B-1, (FSA Insured), 3.500% 07/29/05............................................. 3,047
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 10,900 California Statewide Communities Development Authority, Multi-Family Revenue, (Canion Country Apartments) Series 2002M, (FHLMC Liquidity), 1.730% 12/01/34**........................................... $ 10,900 6,000 California Statewide Communities Development Authority, Multi-Family Revenue, (Maple Square Apartments Project) Series 2004, (Citibank N.A. LOC), 1.760% 08/01/39**........................................... 6,000 3,195 Carson, California Redevelopment Agency, Series 2003, (MBIA Insured), 1.720% 10/01/19**#.......................................... 3,195 945 City of San Jose, California Financing Authority, (State Street Bank & Trust), 1.150% 10/04/04............................................. 945 5,460 Colton, California Joint Unified School District GO, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.600% 02/01/12**@@......................................... 5,460 1,810 Culver City, California Redevelopment Agency, (Tax Allocation- Redevelopment Project) Series 2004A, (AMBAC Insured), 2.000% 11/01/04............................................. 1,811 5,000 Duarte, California Redevelopment Agency Revenue, Certificates of Participation, (Johnson Duarte Partners Project) Series 1984B, (General Electric Capital Corporation LOC), 1.660% 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), 1.660% 12/01/14**#.......................................... 7,000 19,500 East Bay Municipal Utility District, California Wastewater System Revenue, (Westdeutsche Landesbank Girozentrale SBPA, JP Morgan Chase Bank SBPA), 1.090% 10/05/04............................................. 19,500 36,000 East Bay Municipal Utility District, California Wastewater System Revenue, (Westdeutsche Landesbank Girozentrale SBPA, JP Morgan Chase Bank SBPA), 1.190% 12/01/04............................................. 36,000
SEE NOTES TO FINANCIAL STATEMENTS. 92 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 4,090 East Bay Municipal Utility District, California Water System Revenue, Series 2003, (MBIA Insured, Citigroup Global Markets Liquidity Facility), 1.720% 06/01/19**#.......................................... $ 4,090 17,500 East Bay Municipal Utility District, Wastewater System, (Westdeutsche Landesbank Girozentrale SBPA, JP Morgan Chase Bank SBPA), 1.320% 10/12/04............................................. 17,500 19,210 Eastern Municipal Water District, California Water & Sewer Revenue, Certificates of Participation, Series 2003B, (MBIA Insured, Lloyds TSB Bank plc SBPA), 1.700% 07/01/33**........................................... 19,210 14,000 Fontana, California Unified School District TRAN, Series 2004, 2.500% 07/06/05............................................. 14,094 24,760 Fremont, California Certificates of Participation Revenue, (Capital Improvement Funding Project) Series 2001, (ScotiaBank LOC), 1.700% 08/01/30**........................................... 24,760 50,000 Fresno County, California TRAN, Series 2004-5, 3.000% 06/30/05............................................. 50,521 335 Fresno, California Airport Revenue, Series 2000B, AMT, (FSA Insured), 5.000% 07/01/05............................................. 343 5,400 Fullerton, California School District GO, Series 2002, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.700% 08/01/21**#.......................................... 5,400 30,500 Golden Gate Bridge, California Highway & Transportation District, (JP Morgan Chase Bank LOC), 1.150% 10/04/04............................................. 30,500 1,750 Goleta, California Water District Revenue Certificates Partnership, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility), 1.720% 12/01/22**#.......................................... 1,750 3,700 Indio, California Multi-Family Housing Revenue, (Western Federal Savings Project) Series 1985, (Wells Fargo and Company LOC), 1.850% 06/01/05**........................................... 3,700 5,650 Indio, California Multi-Family Housing Revenue, Series 1996A, (FNMA Collateral Agreement), 1.680% 08/01/26**........................................... 5,650 10,340 Irvine, California Public Facilities and Infrastructure Authority, Lease Revenue, (Capital Improvement Project) Series 1985, 1.720% 11/01/10**........................................... 10,340
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 2,400 Irvine, California United School District Special Tax, Community Facilities District No 01-1, Series 2003, (Bank of New York LOC, California State Teachers Retirement LOC), 1.730% 09/01/38**........................................... $ 2,400 30,910 Irvine, California, (Assessment District No. 89 Project) Series 1990-10, (Bayerische Hypotheken und Vereinsbank LOC), 1.730% 09/02/15**........................................... 30,910 4,900 Lassen, California Municipal Utility District Revenue, Series 1996A, AMT, 1.770% 05/01/08**........................................... 4,900 13,000 Long Beach, California GO, (FGIC Insured, Citibank SBPA), 1.760% 05/15/15**#.......................................... 13,000 2,500 Long Beach, California Harbor Revenue, Series 2004, (FGIC Insured, Citigroup Global Markets Liquidity Facility), 1.760% 05/15/15**#.......................................... 2,500 4,998 Long Beach, California Municipal Securities Trust Receipts Revenue, Series 1998CMC-1, (FGIC Insured, JP Morgan Chase SBPA), 1.730% 05/15/07**#.......................................... 4,998 63,785 Los Angeles County, California Housing Authority Multi-Family Housing Revenue, 1.770% 10/01/31**#.......................................... 63,785 11,660 Los Angeles County, California Metropolitan Transportation Authority Sales Tax Revenue, Series 2002, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.700% 01/01/07**#.......................................... 11,660 20,000 Los Angeles Metropolitan Transportation Revenue, (Bayerische Landesbank LOC, Landesbank Baden-Wuerttemberg LOC, Westdeutsche Landesbank LOC), 1.370% 11/03/04............................................. 20,000 10,000 Los Angeles Metropolitan Transportation Revenue, (Bayerische Landesbank LOC, Landesbank Baden-Wuerttemberg LOC, Westdeutsche Landesbank LOC), 1.330% 11/09/04............................................. 10,000 27,990 Los Angeles Metropolitan Transportation Revenue, (Bayerische Landesbank LOC, Landesbank Baden-Wuerttemberg LOC, Westdeutsche Landesbank LOC), 1.340% 11/15/04............................................. 27,990
SEE NOTES TO FINANCIAL STATEMENTS. 93 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 17,875 Los Angeles Wastewater System Revenue, (Westdeutsche Landesbank SBPA, State Street Bank and Trust SBPA, California State Teacher Retirement SBPA), 1.360% 10/05/04............................................. $ 17,875 11,800 Los Angeles, California Community Redevelopment Agency, Multi- Family Housing Revenue Refunding, (Grand Promenade Project) Series 2002, (FHLMC Liquidity Facility), 1.680% 04/01/32**........................................... 11,800 17,965 Los Angeles, California Community Redevelopment Agency, Multi- Family Housing Revenue, (Second and Central Apartments Project) Series 2003A, (HSBC Bank USA LOC), 1.750% 12/01/38**........................................... 17,965 8,200 Los Angeles, California Department of Airports, Airport Revenue, (Los Angeles International Airport Project) Series 2003A, (Bayerische Landesbank LOC, JP Morgan Chase Bank LOC, Landesbank Baden Wurttemberg LOC), 1.250% 05/15/16............................................. 8,200 6,800 Los Angeles, California Department of Airports, Series B, (Bayerische Landesbank NY LOC, JP Morgan Chase LOC, Westdeutsche NY LOC), 1.100% 10/01/04............................................. 6,800 10,100 Los Angeles, California Harbor Department, Series B, (Westdeutsche Landesbank Liquidity Facility, Landesbank Baden-Wurttemberg Liquidity Facility), 1.100% 10/01/04............................................. 10,100 50,000 Los Angeles, California TRAN, Series 2004, 3.000% 06/30/05............................................. 50,552 30,000 Los Angeles, California TRAN, Series 2004, 3.500% 06/30/05............................................. 30,439 10,700 Los Angeles, California Unified School District Certificates of Participation, (Belmont Learning Complex Project) Series 1997A, (Commerzbank A.G. LOC), 1.630% 12/01/17**........................................... 10,700 14,555 Los Angeles, California Unified School District TRAN, Series 2004A, 3.000% 09/01/05............................................. 14,754
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 25,000 Los Angeles, California Wastewater System Commercial Paper Revenue Notes, (Westdeutsche Landesbank SBPA, State Street Bank & Trust SBPA, California State Teachers Retirement SBPA), 1.080% 10/13/04............................................. $ 25,000 12,995 Los Angeles, California Water & Power Revenue, Series 2001, (MBIA Insured, JP Morgan Chase Liquidity Facility), 1.710% 01/01/09**#.......................................... 12,995 7,055 Los Angeles, California Water & Power Revenue, Series 2004, (FSA Insured, Merrill Lynch Capital Services SBPA), 1.700% 01/01/10**#.......................................... 7,055 5,235 Manteca, California Financing Authority Sewer Revenue, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.700% 12/01/08**........................................... 5,235 15,900 Metropolitan Water District of Southern California Waterworks Revenue Refunding, Series 2002B, (Lloyds TSB Bank plc SBPA), 1.670% 07/01/20**........................................... 15,900 4,700 Metropolitan Water District of Southern California Waterworks Revenue, Series 2001B-1, (Dexia Credit Local SBPA), 1.700% 07/01/20**........................................... 4,700 4,150 Metropolitan Water District of Southern California Waterworks Revenue, Series 2004A-1, (JP Morgan Chase SBPA), 1.700% 07/01/23**........................................... 4,150 20,460 Modesto, California District Certification Partnership, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch & Company GTY-AGMT), 1.700% 07/01/25**#.......................................... 20,460 4,290 Morgan Hill, California United School District Receipts GO, Series 2000S, (FGIC Insured, Societe Generale SBPA), 1.700% 08/01/25**........................................... 4,290 5,935 Newport Mesa, California Unified School District GO, Series 2003, (FGIC Insured, Citigroup Global Markets Liquidity Facility), 1.720% 08/01/20**#.......................................... 5,935 18,270 North California Transmission Agency of Northern California, California-Oregon Transmission Project, 1.570% 02/01/05............................................. 18,270
SEE NOTES TO FINANCIAL STATEMENTS. 94 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 11,845 Oakland, California Redevelopment Agency Revenue, Series 2003, (FGIC Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY AGMT), 1.700% 03/01/11**#.......................................... $ 11,845 12,700 Orange County, California Housing Authority Apartment Development Revenue Refunding, (Oasis Martinique Project) Series 1998I, (FNMA Collateral Agreement), 1.690% 06/15/28**........................................... 12,700 3,300 Orange County, California Industrial Development Authority, IDR, (Control Air Conditioning Project) Series 1997A, AMT, (California State Teachers Retirement Fund LOC), 1.740% 05/01/22**........................................... 3,300 8,425 Orange County, California Special Financing Authority Revenue, Series 1995B, (AMBAC Insured, First Union National Bank SBPA), 1.690% 11/01/14**#.......................................... 8,425 23,775 Orange County, California Special Financing Authority Revenue, Series 1995C, (AMBAC Insured, First Union National Bank SBPA), 1.690% 11/01/14**........................................... 23,775 11,085 Orange County, California Special Financing Authority Revenue, Series 1995D, (AMBAC Insured, First Union National Bank SBPA), 1.690% 11/01/14**........................................... 11,085 10,625 Orange County, California Special Financing Authority Teeter Plan Revenue, Series 1995E, (AMBAC Insured, First Union National Bank SBPA), 1.690% 11/01/14**........................................... 10,625 4,575 Orange County, California Water District Revenue, Certificates of Participation, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.700% 02/15/11**#.......................................... 4,575 115 Pajaro Valley, California Unified School District Certificates of Participation, (School Facilities Bridge Funding Project) Series 2000, (FSA Insured, First Union National Bank SBPA), 1.700% 09/01/23**........................................... 115 5,285 Pasadena, California Water Revenue, Series 2003, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.700% 06/01/27**#.......................................... 5,285
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 5,900 Peralta, California Community College District, GO, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.700% 08/01/08**#.......................................... $ 5,900 2,900 Pleasanton, California Multi-Family Housing Revenue, (Bernal Apartment Project) Series 2001A, AMT, (FNMA Liquidity Facility), 1.730% 09/15/34**........................................... 2,900 4,300 Poway, California Redevelopment Agency Tax Allocation, Series 2003R, (MBIA Insured, Citigroup Global Market Liquidity Facility), 1.720% 06/15/20**#.......................................... 4,300 7,520 Poway, California Unified School District GO, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.700% 08/01/08**#.......................................... 7,520 15,000 Regents of University of California, 1.300% 10/12/04............................................. 15,000 14,000 Regents of University of California, 1.120% 10/14/04............................................. 14,000 3,000 Regents of University of California, 1.200% 12/06/04............................................. 3,000 12,600 Riverside County, California Housing Authority Multi-Family Housing Revenue, Series 1998A, AMT, (FHLMC Insured), 1.730% 01/15/29**........................................... 12,600 1,600 Riverside, California Electric Revenue, Series 1998, (AMBAC Insured, JP Morgan Chase Liquidity Facility), 1.710% 10/01/11**#.......................................... 1,600 5,970 Rowland, California Unified School District GO, Series 2003, (FSA Insured, Citigroup Global Markets Liquidity Facility), 1.720% 08/01/22**#.......................................... 5,970 3,750 Sacramento County, California Housing Authority Multi-Family Housing Revenue Refunding, (Sun Valley Apartments Project) Series 2001F, AMT, (FNMA Liquidity Facility), 1.720% 02/15/31**........................................... 3,750 12,000 Sacramento County, California Housing Authority, Multi-Family Housing Revenue Refunding, (Pointe Natomas Apartments Project) Series 2001E, 1.680% 02/15/31**........................................... 12,000 10,200 Sacramento County, California Multi-Family Housing Revenue Refunding, (Woodbridge Apartments Project) Series 2004B, (FNMA Liquidity Facility), 1.680% 06/15/34**........................................... 10,200
SEE NOTES TO FINANCIAL STATEMENTS. 95 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 15,550 San Bernardino County, California Certificates of Participation, (Medical Center Financing Project) Series 1998, (MBIA Insured, Landesbank Hessen Thueringen SBPA), 1.630% 08/01/26**........................................... $ 15,550 3,030 San Bernardino County, California Housing Authority Multi-Family Housing Revenue Refunding, (Arrowview Park Apartments Project) Series 1992A, (Redlands Federal Bank LOC, FHLB LOC), 1.680% 09/01/22**........................................... 3,030 3,580 San Bernardino County, California Housing Authority Multi-Family Housing Revenue, (Indian Knoll Apartments Project) Series 1985A, (FNMA Insured), 1.730% 06/01/05**........................................... 3,580 3,500 San Bernardino County, California Housing Authority, Multi-Family Housing Revenue, (Reche Canyon Apartments Project) Series 1985B, (FNMA Insured), 1.710% 06/01/05**........................................... 3,500 8,840 San Diego, California Housing Authority, Multi-Family Housing Revenue, (La Cima Ltd. Project) Series 1985K, 1.700% 12/01/22**........................................... 8,840 20,160 San Diego, California Regional Airport Authority, Series B, 1.170% 10/04/04............................................. 20,160 5,200 San Francisco City and County, California Multi-Family Housing Revenue, (8th and Howard Family Apartments) Series 2000B, AMT, (Citibank, N.A. LOC), 1.600% 12/01/34**........................................... 5,200 12,700 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue Refunding, (Fillmore Center Project) Series 1992A-1, (Credit Suisse First Boston LOC), 1.710% 12/01/17**........................................... 12,700 15,925 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue Refunding, (Fillmore Center Project) Series 1992B-1, (Credit Suisse First Boston LOC), 1.710% 12/01/17**........................................... 15,925 16,340 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue, (Notre Dame Apartments Project) Series 2000G, (Citibank, N.A. LOC), 1.730% 12/01/33**........................................... 16,340
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 7,900 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue, (South Harbor Project) Series 1986, (Credit Local De France LOC), 1.700% 12/01/16**........................................... $ 7,900 3,000 San Francisco City and County, California Redevelopment Multi- Family Housing Revenue Refunding, (Fillmore Center Project) Series 1992, AMT, (Credit Suisse LOC, 1st Boston Bank LOC), 1.720% 12/01/17**........................................... 3,000 7,500 San Francisco County Transportation Authority, Series A, (Landesbank Baden-Wurttemberg Liquidity Facility), 1.340% 11/15/04............................................. 7,500 7,500 San Francisco County Transportation Authority, Series A, (Landesbank Baden-Wurttemberg NY Liquidity Facility), 1.110% 10/08/04............................................. 7,500 7,500 San Francisco County Transportation Authority, Series B, (Landesbank Baden-Wurttemberg NY Liquidity Facility), 1.150% 11/15/04............................................. 7,500 4,400 San Gabriel Valley Council of Governments Alameda Corridor - East Construction Project, GAN, 1.090% 10/05/04............................................. 4,400 9,100 San Joaquin County Transportation Authority Sales Tax Revenue, 1.350% 10/18/04............................................. 9,100 5,771 San Jose, California Financing Authority Lease Revenue, (State Street Bank & Trust LOC, California State Teachers Retirement System LOC), 1.020% 10/04/04............................................. 5,771 6,535 San Jose, California Financing Authority Lease Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.700% 06/01/10**#.......................................... 6,535 3,780 San Jose, California Financing Authority, Tax Exempt Lease Revenue Commercial Paper Notes, (State Street Bank & Trust LOC, California Teachers Retirement System LOC), 1.080% 10/04/04............................................. 3,780 11,500 San Jose, California Multi-Family Housing Revenue, (Pollard Plaza Apartments Project) Series 2002D, AMT, (FHLMC Liquidity Facility), 1.750% 08/01/35**........................................... 11,500
SEE NOTES TO FINANCIAL STATEMENTS. 96 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 6,594 San Jose, California Multi-Family Housing Revenue, (Sunset Square Apartments Project) Series 2002E, 1.760% 06/01/34**........................................... $ 6,594 15,290 San Jose, California Multi-Family Housing Revenue, (Turnleaf Apartments Project) Series 2003A, AMT, (FHLMC Liquidity Facility), 1.750% 06/01/36**........................................... 15,290 3,700 San Jose, California Multi-Family Housing Revenue, Series 1990, (Wells Fargo and Company LOC), 1.730% 02/01/20**........................................... 3,700 4,375 Santa Rosa, California High School District, GO, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.700% 08/01/11**#.......................................... 4,375 500 Saratoga, California Unified School District Certificates of Participation, (School Facility Bridge Funding) Series 2001, (FSA Insured, First Union National Bank SBPA), 1.700% 09/01/26**........................................... 500 15,500 Simi Valley, California Community Development Agency Multi-Family Housing Revenue, Series 1985A, (FHLMC Collateral Agreement), 1.650% 05/01/10**........................................... 15,500 1,650 Southeast California Resource Recovery Facility Authority Lease Revenue, Series 2003B, (AMBAC Insured), 2.000% 12/01/04............................................. 1,653 15,000 Southern California Home Financing Authority, Single Family Revenue, Series 2004B, AMT, (Banque Nationale de Paris Liquidity Facility), 1.450% 02/01/34............................................. 15,000 15,980 Southern California Home Financing Authority, Single Family Revenue, Series 2004B, AMT, (Banque Nationale de Paris Liquidity Facility), 1.690% 02/01/35**........................................... 15,980 4,930 Southern California Public Power Authority, Power Project Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.700% 07/01/11**#.......................................... 4,930 9,100 Sweetwater, California Unified High School District Certificates of Participation, Series 2001, (FSA Insured, First Union National Bank SBPA), 1.700% 06/01/13**........................................... 9,100
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $ 9,000 Tahoe Forest, California Hospital District Revenue, Series 2002, (US Bank N.A. LOC), 1.700% 07/01/33**........................................... $ 9,000 7,000 Transmission Agency of Northern California, (California-Oregon Transmission Project), 1.190% 12/01/04............................................. 7,000 7,655 University of California Revenue, Series 2003, (FSA Insured, Merrill Lynch Capital Services SPA), 1.700% 09/01/09**#.......................................... 7,655 2,600 Vallecitos, California Water District Water Revenue Certificates of Participation, (Oaks Reservoir Project) Series 1998, (Credit Local de France LOC), 1.720% 07/01/30**........................................... 2,600 8,000 Vallejo, California Certificates of Participation, (Capital Improvement Project) Series 2003, (Union Bank of CA, N.A. LOC, California State Teachers Retirement LOC), 1.760% 12/01/23**........................................... 8,000 7,845 Vallejo, California Water Revenue, Series 2001A, (KBC Bank NV LOC), 1.830% 06/01/31**........................................... 7,845 3,000 Ventura County, California Public Financing Authority, Lease Revenue, 1.340% 11/15/04............................................. 3,000 5,990 West Contra Costa, California Unified School District GO, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.700% 08/01/24**#.......................................... 5,990 ---------- 1,780,525 ---------- GUAM -- 0.9% 16,500 Guam Power Authority, 1.200% 10/15/04............................................. 16,500 ---------- PUERTO RICO -- 3.3% 7,000 Puerto Rico Commonwealth GO, Series 2001, (FSA Insured, Bank of New York Liquidity Facility), 1.350% 07/01/27**@@......................................... 7,000 16,135 Puerto Rico Commonwealth Highway and Transportation Authority Revenue, Series 1999, (AMBAC Insured, Merrill Lynch Liquidity Facility), 1.680% 01/01/19**........................................... 16,135 9,725 Puerto Rico Infrastructure Financing Authority, 1.720% 10/01/34**#.......................................... 9,725 9,000 Puerto Rico Infrastructure Financing Authority, 1.720% 10/01/34**#.......................................... 9,000
SEE NOTES TO FINANCIAL STATEMENTS. 97 NATIONS MONEY MARKET FUNDS Nations California Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- $14,275 Puerto Rico Public Buildings Authority Revenue, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA) 1.680% 01/01/13**#.......................................... $ 14,275 5,085 Puerto Rico Public Financing Corporation, Series 2004, (Citibank N.A. Liquidity Facility), 1.720% 08/01/30**........................................... 5,085 ---------- 61,220 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $1,858,245)........................................... 1,858,245 ---------- TOTAL INVESTMENTS (Cost $1,858,245*)................................ 99.8% 1,858,245 ---------- OTHER ASSETS AND LIABILITIES (NET)................................. 0.2% 3,764 ---------- NET ASSETS.......................................... 100.0% $1,862,009 ==========
--------------- *Federal income tax information (see Note 8). ** Variable rate demand notes. The interest rate shown reflects the rate in effect at September 30, 2004. 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. @@ Restricted security (see Note 6). Nations California Tax-Exempt Reserves had the following industry concentrations greater than 10% at September 30, 2004 (as a percentage of net assets): Education 11.40% Housing 21.15%
SEE NOTES TO FINANCIAL STATEMENTS. 98 NATIONS MONEY MARKET FUNDS Nations New York Tax-Exempt Reserves SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES -- 99.7% NEW YORK -- 90.0% $ 2,765 Albany, New York Industrial Development Agency Civic Facility Revenue, (Daughters of Sarah Housing Project) Series 2001A, (Troy Savings Bank LOC, Keybank N.A. LOC), 1.740% 03/01/31**........................................... $ 2,765 100 Buffalo, Fort Erie, New York, Public Bridge Authority Toll Bridge Systems Revenue, Series 1995, (MBIA Insured), 6.000% 01/01/05............................................. 101 3,100 East Farmingdale Volunteer Fire Company Income New York Revenue, (Volunteer Fire Department Project), Series 2002, (Citibank N.A. LOC), 1.690% 11/01/22**........................................... 3,100 355 Erie County, New York GO, Series 1998, (FGIC Insured), 5.000% 11/01/04.................................................... 356 850 Erie County, New York Industrial Development Agency Civic Facilities Revenue, (DePaul Community Facilities, Inc. Project) Series 1996, (Key Bank of New York, N.A. LOC), 1.750% 11/01/16**#.......................................... 850 200 Forest City, New Rochelle, New York, Revenue Certificate, Series 2003, (JP Morgan Chase Bank LOC), 1.800% 06/01/11**#.......................................... 200 1,015 Hempstead Town, New York GO, Series 2004, (MBIA Insured), 3.000% 02/01/05............................................. 1,021 1,800 Hempstead, New York Industrial Development Agency, IDR Refunding, (Trigen-Nassau Energy Corporation Project) Series 1998, AMT, (Societe Generale LOC), 1.710% 09/15/15**........................................... 1,800 500 Jay Street Development Corporation New York, Certificate Facility Lease Revenue, Series 2003, (DEPFA Bank LOC), 1.640% 05/01/22**........................................... 500 1,000 Jay Street Development Corporation New York, Certificate Facility Lease Revenue, Series 2003A-3, (DEPFA Bank LOC), 1.680% 05/01/22**........................................... 1,000 1,100 Long Island, New York Power Authority, Electric Systems Revenue, Series 1998-2A, (Westdeutsche Landesbank Girozentrale LOC, State Street Bank & Trust Company LOC), 1.720% 05/01/33**........................................... 1,100 1,400 Long Island, New York Power Authority, Electric Systems Revenue, Series 1998-2B, (Bayerische Landesbank LOC), 1.730% 05/01/33**........................................... 1,400
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 160 Manhasset, New York Unified Free School District GO, Series 2004, (FGIC Insured, State Aid Withholding), 3.250% 09/15/05............................................. $ 163 1,500 Metropolitan Transitional Authority New York Revenue, Series 2002, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.150% 05/15/10**@@......................................... 1,495 800 Metropolitan Transitional Authority New York Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.720% 11/15/10**#.......................................... 800 2,000 Metropolitan Transportation Authority BAN, Series 1B, 1.350% 11/10/04............................................. 2,000 2,000 Metropolitan Transportation Authority, Transportation Revenue BAN, Series 1A, 1.100% 10/01/04............................................. 2,000 400 Monroe County, New York Industrial Development Agency, Civic Facilities Revenue, (St. Ann's Home For Aged Project) Series 2000, (HSBC Bank USA LOC), 1.650% 07/01/30**........................................... 400 2,400 Monroe County, New York Industrial Development Agency, Civic Facilities Revenue, (St. Anns Home Company Project) Series 2000, (HSBC Bank USA LOC), 1.650% 07/01/30**........................................... 2,400 1,500 New York City Municipal Water, 1.250% 10/06/04............................................. 1,500 1,600 New York City Municipal Water, 1.180% 10/28/04............................................. 1,600 50 New York State Dormitory Authority Revenue Insured, (Barnard College Project) Series 1996, (AMBAC Insured), 5.000% 07/01/05............................................. 51 805 New York State Dormitory Authority Revenue, (School District Financing Project) Series 2002-D, (MBIA Insured, State Aid Withholding), 4.000% 10/01/04............................................. 805 1,700 New York State GO, Series 2000B, (Dexia Credit Local de France LOC), 1.580% 03/15/30**........................................... 1,700 1,400 New York State Housing Finance Agency Revenue, (North End Avenue Housing Project) Series 2004A, (Landesbank Hessen-Thuringen LOC), 1.680% 11/01/37**........................................... 1,400 450 New York State Housing Finance Agency Revenue, (South Cove Plaza Project), Series 1999A, (FHLMC LOC), 1.750% 11/01/30**........................................... 450
SEE NOTES TO FINANCIAL STATEMENTS. 99 NATIONS MONEY MARKET FUNDS Nations New York Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 800 New York State Housing Finance Agency Revenue, Series 2002-A, AMT, (Keybank N.A. LOC), 1.670% 11/01/35**........................................... $ 800 1,500 New York State Local Government Assistance Corporation Revenue, Series 1995B, (Societe Generale LOC), 1.680% 04/01/25**........................................... 1,500 500 New York State Local Government Assistance Corporation, Series 1998A, (FGIC Insured, GO of Corporation), 4.250% 04/01/05............................................. 508 1,000 New York State Power Authority Revenue GO, Series 1985, (Dexia Credit Local Liquidity Facility), 1.350% 03/01/07............................................. 1,000 2,000 New York State Power Authority, Series 1, 1.340% 11/15/04............................................. 2,000 2,000 New York State Power Authority, Series 1, 1.200% 12/01/04............................................. 2,000 200 New York State Power Authority, Series 2, 1.350% 10/19/04............................................. 200 10 New York State Project Finance Agency, Series 1993-A, (FSA Insured), 4.750% 11/01/04............................................. 10 500 New York State Tollway Authority Highway and Bridge Funding, Series 2002-B, (MBIA Insured), 6.000% 04/01/05............................................. 512 150 New York State Tollway Authority Highway and Bridge Traffic Fund, Series 2000A, (FSA Insured), 4.900% 04/01/05............................................. 153 500 New York State Tollway Authority Second General Highway and Bridge Trust Fund, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.710% 04/01/12**........................................... 500 100 New York State Urban Development Corporation Revenue Refunding, Series 1994, (AMBAC-TCRS Insured), 5.300% 01/01/05............................................. 101 500 New York State, Housing Finance Agency Revenue, (Chelsea Apartments Project) Series 2003A, AMT, (FNMA Liquidity Facility), 1.750% 11/15/36**........................................... 500 150 New York, New York City Housing Development Corporation, Multi-Family Rent Housing Revenue, Series 2001A, 1.700% 11/15/31**........................................... 150 1,200 New York, New York City Housing Development Corporation, Multi-Family Revenue, (Atlantic Court Apartments Project) Series 2003A, (HSBC Bank U.S.A. Loc), 1.700% 12/01/36**........................................... 1,200
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 1,200 New York, New York City Housing Development Corporation, Multi-Family Revenue, Series 2003, (HSBC Bank USA LOC), 1.700% 12/01/36**........................................... $ 1,200 420 New York, New York City Industrial Development Civic Facility Revenue, (USTA National Tennis Center Project) Series 1994, (FSA Insured), 6.100% 11/15/04............................................. 422 800 New York, New York City Transitional Finance Authority, Series 2002-1A, (Landesbank Hessen-Thuringen Liquidity Facility), 1.690% 11/01/22**........................................... 800 995 New York, New York City Transitional Finance Authority, Series 2003, (Citigroup Global Market Liquidity Facility), 1.710% 08/01/20**#.......................................... 995 1,900 New York, New York City Transitional Finance Authority, Series 2003, (MBIA-IBC Insured, Lloyds TSB Bank PLC SBPA), 1.670% 11/01/08**@@......................................... 1,900 175 New York, New York GO Prerefunded, Series 1995F, 6.625% 02/15/25............................................. 180 300 New York, New York GO, Series 1994, 1.690% 08/15/24**........................................... 300 1,040 New York, New York GO, Series 2002C-2, (Bayerische Landesbank LOC), 1.690% 08/01/20**........................................... 1,040 250 New York, New York GO, Series 2003A, (Bank of Nova Scotia LOC), 1.700% 08/01/31**........................................... 250 125 Norwich, New York City School District GO, Series 2000, (FSA Insured, State Aid Withholding), 4.625% 06/15/05............................................. 127 325 Oneida County, New York Industrial Development Agency Revenue, (Hamilton College Civic Facility Project) Series 2002, (MBIA Insured, Bank of New York SBPA), 1.650% 09/15/32**........................................... 325 590 Orange County, New York Industrial Development Agency, Life Care Community Revenue, (The Glen Arden Incorporated Project) Series 1994, 8.875% 01/01/25............................................. 613 2,000 Port Authority New York and New Jersey, Series 1995, (FGIC Insured, Go of Authority), 7.000% 11/01/04............................................. 2,010 100 Spencerport, New York GO, Central School District, Series 1997, (FSA Insured, State Aid Withholding), 5.000% 11/15/04............................................. 100
SEE NOTES TO FINANCIAL STATEMENTS. 100 NATIONS MONEY MARKET FUNDS Nations New York Tax-Exempt Reserves SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- NEW YORK -- (CONTINUED) $ 3,900 Syracuse, New York Industrial Development Agency, IDR, (Byrne Dairy Income Facility Project) Series 1988, AMT, (Chase Manhattan Bank LOC), 1.760% 08/01/08**........................................... $ 3,901 1,500 Syracuse, New York RAN, Series 2004D, (Bank of New York LOC), 2.750% 06/30/05............................................. 1,512 100 Triborough Bridge and Tunnel Authority New York Revenue Refunding, Series 2002, (GO of Authority), 2.000% 11/15/04............................................. 100 ------- 57,866 ------- GUAM -- 5.4% 3,500 Guam Power Authority, 1.200% 10/15/04............................................. 3,501 ------- PUERTO RICO -- 4.3% 1,500 Puerto Rico Commonwealth GO, Series 2001, (FSA Insured, Bank of New York Liquidity Facility), 1.350% 07/01/27**@@......................................... 1,500 870 Puerto Rico Commonwealth Highway and Transportation Authority Revenue, Series 1999, (AMBAC Insured, Merrill Lynch Liquidity Facility), 1.680% 01/01/19**........................................... 870
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- PUERTO RICO -- (CONTINUED) $ 400 Puerto Rico Electric Power Authority Power Revenue Refunding, Series 1995W, (MBIA Insured), 6.500% 07/01/05............................................. $ 414 ------- 2,784 ------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $64,151).................................... 64,151 ------- TOTAL INVESTMENTS (Cost $64,151*)................................... 99.7% 64,151 ------- OTHER ASSETS AND LIABILITIES (NET)................................. 0.3% 177 ------- NET ASSETS.......................................... 100.0% $64,328 =======
--------------- *Federal income tax information (see Note 8). ** Variable rate demand note. The interest rate shown reflects the rate in effect at September 30, 2004. 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. @@ Restricted security (see Note 6). Nations New York Tax-Exempt Reserves had the following industry concentrations greater than 10% at September 30, 2004 (as a percentage of net assets): Utility 17.73% Transportation 16.35%
SEE NOTES TO FINANCIAL STATEMENTS. 101 NATIONS MONEY MARKET FUNDS SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED) ABBREVIATIONS: AMBAC American Municipal Bond Assurance Corporation AMBAC-TCRS American Municipal Bond Assurance Corporation -- Transferable Custodial Receipts AMT Alternative Minimum Tax BAN Bond Anticipation Note 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 FNMA COLL Federal National Mortgage Association collateral FSA Financial Security Assurance GAN Grant Anticipation Note 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 SLMA Student Loan Marketing Association SBPA Standby Bond Purchase Agreement TAN Tax Anticipation Note TRAN Tax and Revenue Anticipation Note
SEE NOTES TO FINANCIAL STATEMENTS. 102 [This page intentionally left blank] 103 NATIONS MONEY MARKET FUNDS STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2004
MONEY CASH MARKET TREASURY RESERVES RESERVES RESERVES ------------------------------------------------------------- (IN THOUSANDS) ASSETS: Investments, at cost...................................... $ 54,371,395 $ 9,129,485 $ 9,239,852 ----------------- ----------------- ----------------- Investments, at value..................................... 54,371,395 9,129,485 2,924,285 Repurchase agreements, at value........................... -- -- 6,315,567 Cash...................................................... -- -- -- Interest receivable....................................... 73,366 12,023 15,351 Receivable from administrator............................. -- -- -- Receivable from distributor............................... -- -- -- ----------------- ----------------- ----------------- Total assets.......................................... 54,444,761 9,141,508 9,255,203 ----------------- ----------------- ----------------- LIABILITIES: Payable for Fund shares redeemed.......................... (23) (2) -- Investment advisory fee payable........................... (5,295) (905) (895) Administration fee payable................................ (2,865) (469) (452) Shareholder servicing and distribution fees payable....... (8,418) (559) (1,423) Due to custodian.......................................... (22) -- -- Distributions payable..................................... (23,394) (3,217) (4,573) Payable for investment securities purchased............... (765,037) (132,949) -- Accrued Trustees' fees and expenses....................... (408) (68) (280) Accrued expenses and other liabilities.................... (2,911) (557) (75) ----------------- ----------------- ----------------- Total liabilities..................................... (808,373) (138,726) (7,698) ----------------- ----------------- ----------------- NET ASSETS................................................ $ 53,636,388 $ 9,002,782 $ 9,247,505 ================= ================= ================= NET ASSETS CONSIST OF: Undistributed net investment income/(distributions in excess of net investment income)........................ $ (2) $ 164 $ 46 Accumulated net realized gain/(loss) on investments....... (2,639) (583) (120) Paid-in capital........................................... 53,639,029 9,003,201 9,247,579 ----------------- ----------------- ----------------- NET ASSETS................................................ $ 53,636,388 $ 9,002,782 $ 9,247,505 ================= ================= ================= CAPITAL CLASS SHARES: Net assets................................................ $ 22,475,110,890 $ 5,062,016,803 $ 1,998,809,685 Number of shares outstanding.............................. 22,476,837,693 5,062,346,744 1,999,159,878 Net asset value and redemption price per share............ $ 1.00 $ 1.00 $ 1.00 TRUST CLASS SHARES: Net assets................................................ $ 3,383,777,465 $ 4,699,576 $ 822,777,209 Number of shares outstanding.............................. 3,384,137,622 4,698,561 823,157,126 Net asset value and redemption price per share............ $ 1.00 $ 1.00 $ 1.00 LIQUIDITY CLASS SHARES: Net assets................................................ $ 1,103,075,816 $ 437,814,000 $ 372,687,349 Number of shares outstanding.............................. 1,103,057,858 437,768,653 372,663,107 Net asset value and redemption price per share............ $ 1.00 $ 1.00 $ 1.00
SEE NOTES TO FINANCIAL STATEMENTS. 104 NATIONS MONEY MARKET FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) (UNAUDITED)
CALIFORNIA NEW YORK GOVERNMENT MUNICIPAL TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT RESERVES RESERVES RESERVES RESERVES RESERVES ------------------------------------------------------------------------------------------------- $ 3,699,920 $ 5,093,169 $ 2,748,797 $ 1,858,245 $ 64,151 ----------------- ----------------- ----------------- ---------------- -------------- 3,699,920 5,093,169 2,748,797 1,858,245 64,151 -- -- -- -- -- -- 34 62 -- 25 6,706 11,320 5,901 4,485 270 -- -- -- -- 14 -- -- -- 88 -- ----------------- ----------------- ----------------- ---------------- -------------- 3,706,626 5,104,523 2,754,760 1,862,818 64,460 ----------------- ----------------- ----------------- ---------------- -------------- (3,000) -- (3,886) -- -- (368) (538) (292) (189) (9) (184) (262) (127) (88) -- (526) (495) (212) -- (7) -- -- -- (60) -- (881) (1,564) (2,233) (257) (15) -- (26,580) (5,040) -- -- (121) (68) (130) (57) (20) (187) (106) (240) (158) (81) ----------------- ----------------- ----------------- ---------------- -------------- (5,267) (29,613) (12,160) (809) (132) ----------------- ----------------- ----------------- ---------------- -------------- $ 3,701,359 $ 5,074,910 $ 2,742,600 $ 1,862,009 $ 64,328 ================= ================= ================= ================ ============== $ 262 $ 135 $ 92 $ 74 $ 2 (105) 65 (24) 28 9 3,701,202 5,074,710 2,742,532 1,861,907 64,317 ----------------- ----------------- ----------------- ---------------- -------------- $ 3,701,359 $ 5,074,910 $ 2,742,600 $ 1,862,009 $ 64,328 ================= ================= ================= ================ ============== $ 1,198,772,200 $ 2,841,892,929 $ 615,192,130 $ 100,853,490 $ 983,279 1,198,565,815 2,841,838,607 615,190,789 100,854,472 982,305 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 282,777,327 $ 418,391,890 $ 1,916,183,949 $ 294,575,763 $ 14,179,089 282,730,247 418,333,645 1,916,570,250 294,579,844 14,174,623 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 418,064,183 $ 273,087,244 $ 5,075,572 $ 155,235 $ -- 418,014,348 273,050,908 5,075,525 155,206 -- $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ --
SEE NOTES TO FINANCIAL STATEMENTS. 105 NATIONS MONEY MARKET FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) (UNAUDITED) September 30, 2004
MONEY CASH MARKET TREASURY RESERVES RESERVES RESERVES ------------------------------------------------------------- ADVISER CLASS SHARES: Net assets................................................ $ 11,552,238,767 $ 1,554,656,877 $ 4,054,934,076 Number of shares outstanding.............................. 11,552,975,842 1,554,682,902 4,055,413,892 Net asset value and redemption price per share............ $ 1.00 $ 1.00 $ 1.00 INVESTOR CLASS SHARES: Net assets................................................ $ 1,988,351,114 $ 91,577,139 $ 401,507,190 Number of shares outstanding.............................. 1,989,039,217 91,563,699 401,791,299 Net asset value and redemption price per share............ $ 1.00 $ 1.00 $ 1.00 MARKET CLASS SHARES: Net assets................................................ $ 72,895 $ -- $ -- Number of shares outstanding.............................. 72,895 -- -- Net asset value and redemption price per share............ $ 1.00 $ -- $ -- DAILY CLASS SHARES: Net assets................................................ $ 8,148,930,170 $ 3,514,638 $ 249,053,934 Number of shares outstanding.............................. 8,149,310,185 3,513,245 249,226,463 Net asset value and redemption price per share............ $ 1.00 $ 1.00 $ 1.00 SERVICE CLASS SHARES: Net assets................................................ $ -- $ 105,955,205 $ -- Number of shares outstanding.............................. -- 105,956,593 -- Net asset value and redemption price per share............ $ -- $ 1.00 $ -- INVESTOR A CLASS SHARES: Net assets................................................ $ 266,529,228 $ -- $ 806,005,538 Number of shares outstanding.............................. 266,612,884 -- 806,573,797 Net asset value and redemption price per share............ $ 1.00 $ -- $ 1.00 INVESTOR B CLASS SHARES: Net assets................................................ $ 29,438,168 $ 7,760,073 $ 347,848 Number of shares outstanding.............................. 29,438,378 7,759,464 347,844 Net asset value and redemption price per share............ $ 1.00 $ 1.00 $ 1.00 INVESTOR C CLASS SHARES: Net assets................................................ $ 3,017,950 $ 871,390 $ -- Number of shares outstanding.............................. 3,018,007 871,412 -- Net asset value and redemption price per share............ $ 1.00 $ 1.00 $ -- INSTITUTIONAL CLASS SHARES: Net assets................................................ $ 4,674,402,404 $ 1,733,916,666 $ 541,382,255 Number of shares outstanding.............................. 4,674,439,404 1,733,975,524 541,385,153 Net asset value and redemption price per share............ $ 1.00 $ 1.00 $ 1.00 MARSICO SHARES: Net assets................................................ $ 11,442,764 $ -- $ -- Number of shares outstanding.............................. 11,441,487 -- -- Net asset value and redemption price per share............ $ 1.00 $ -- $ --
SEE NOTES TO FINANCIAL STATEMENTS. 106 NATIONS MONEY MARKET FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) (UNAUDITED)
CALIFORNIA NEW YORK GOVERNMENT MUNICIPAL TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT RESERVES RESERVES RESERVES RESERVES RESERVES ------------------------------------------------------------------------------------------------------------------ $ 790,751,531 $ 431,926,709 $ 11,200,904 $ 444,602,162 $ -- 790,907,829 431,961,341 11,200,889 444,560,177 -- $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ -- $ 503,157,210 $ 93,786,948 $ 14,792,790 $ 284,083,080 $ -- 503,345,055 93,821,089 14,737,729 284,095,965 -- $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ -- $ -- $ -- $ -- $ -- $ 11,197,885 -- -- -- -- 11,195,639 $ -- $ -- $ -- $ -- $ 1.00 $ 282,462,171 $ 571,206,266 $ 37,501,596 $ 659,092,084 $ -- 282,403,413 571,134,485 37,387,879 659,085,619 -- $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ -- $ -- $ -- $ -- $ -- $ -- -- -- -- -- -- $ -- $ -- $ -- $ -- $ -- $ 15,247,176 $ -- $ 42,106,414 $ -- $ -- 15,243,615 -- 42,070,488 -- -- $ 1.00 $ -- $ 1.00 $ -- $ -- $ 752,313 $ 13,138 $ -- $ 6,538 $ -- 752,076 13,131 -- 6,538 -- $ 1.00 $ 1.00 $ -- $ 1.00 $ -- $ -- $ 144,471 $ -- $ -- $ -- -- 144,391 -- -- -- $ -- $ 1.00 $ -- $ -- $ -- $ 209,375,223 $ 444,460,444 $ 100,546,840 $ 78,640,889 $ 37,967,678 209,350,590 444,443,415 100,547,163 78,640,055 37,962,594 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ -- $ -- $ -- $ -- $ -- -- -- -- -- -- $ -- $ -- $ -- $ -- $ --
SEE NOTES TO FINANCIAL STATEMENTS. 107 NATIONS MONEY MARKET FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2004
CASH MONEY MARKET TREASURY RESERVES RESERVES RESERVES ---------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 364,936 $ 67,780 $ 57,421 -------------- -------------- -------------- EXPENSES: Investment advisory fee..................................... 41,651+ 7,963 7,025 Administration fee.......................................... 27,767+ 5,308 4,683 Transfer agent fees......................................... 1,253 245 199 Custodian fees.............................................. 1,576 356 263 Trustees' fees and expenses................................. 14 14 14 Registration and filing fees................................ 95 62 74 Legal and audit fees........................................ 87 53 57 Printing expense............................................ 544 46 43 Other....................................................... 758 163 183 -------------- -------------- -------------- Subtotal................................................ 73,745 14,210 12,541 Shareholder servicing and distribution fees: Trust Class Shares........................................ 1,798 5 446 Institutional Class Shares................................ 1,035 305 112 Liquidity Class Shares.................................... 1,610 548 450 Adviser Class Shares...................................... 14,391 1,962 4,806 Investor Class Shares..................................... 3,788 165 861 Market Class Shares....................................... --* -- -- Daily Class Shares........................................ 25,590 11 815 Service Class Shares...................................... -- 336 -- Investor A Shares......................................... 634 -- 1,744 Investor B Shares......................................... 169 47 2 Investor C Shares......................................... 14 6 -- Marsico Shares............................................ 22 -- -- -------------- -------------- -------------- Total expenses.......................................... 122,796 17,595 21,777 Fees waived by investment advisor, administrator and/or distributor (see Note 3).................................. (18,847) (3,846) (3,361) Fees reduced by credits allowed by the custodian (see Note 3)........................................................ (42) (7) (1) -------------- -------------- -------------- Net expenses............................................ 103,907 13,742 18,415 -------------- -------------- -------------- NET INVESTMENT INCOME....................................... 261,029 54,038 39,006 -------------- -------------- -------------- Net realized gain/(loss) on investments..................... (1,215) (733) (55) -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 259,814 $ 53,305 $ 38,951 ============== ============== ==============
--------------- *Amount represents less than $500. + 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. 108 NATIONS MONEY MARKET FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
CALIFORNIA NEW YORK GOVERNMENT MUNICIPAL TAX-EXEMPT TAX-EXEMPT TAX-EXEMPT RESERVES RESERVES RESERVES RESERVES RESERVES ------------------------------------------------------------------------------------------------------ $ 25,746 $ 28,710 $ 16,329 $ 11,301 $ 413 -------------- -------------- -------------- -------------- -------------- 3,061 3,676 2,156+ 1,511 53 2,041 2,450 1,437+ 1,007 35 111 103 128 50 3 163 134 93 63 4 14 14 14 14 14 66 57 55 7 -- 50 51 48 53 55 37 119 79 66 34 63 54 38 28 2 -------------- -------------- -------------- -------------- -------------- 5,606 6,658 4,048 2,799 200 131 230 1,008 150 7 57 88 18 18 9 400 304 6 1 -- 1,192 619 15 569 -- 1,090 215 35 559 -- -- -- -- -- 23 945 1,781 131 2,101 -- -- -- -- -- -- 51 -- 102 -- -- 4 --* -- --* -- --* 2 -- --* -- -- -- -- -- -- -------------- -------------- -------------- -------------- -------------- 9,476 9,897 5,363 6,197 239 (1,683) (1,879) (1,176) (785) (129) (3) -- -- -- -- -------------- -------------- -------------- -------------- -------------- 7,790 8,018 4,187 5,412 110 -------------- -------------- -------------- -------------- -------------- 17,956 20,692 12,142 5,889 303 -------------- -------------- -------------- -------------- -------------- (124) 2 (2) 32 -- -------------- -------------- -------------- -------------- -------------- $ 17,832 $ 20,694 $ 12,140 $ 5,921 $ 303 ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 109 NATIONS MONEY MARKET FUNDS STATEMENTS OF CHANGES IN NET ASSETS
CASH RESERVES --------------------------------- SIX MONTHS ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 261,029 $ 537,151 Net realized gain/(loss) on investments..................... (1,215) (621) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 259,814 536,530 Distributions to shareholders from net investment income: Capital Class Shares...................................... (127,741) (291,496) Institutional Class Shares................................ (27,677) (46,866) Trust Class Shares........................................ (18,268) (40,135) Liquidity Class Shares.................................... (6,137) (12,519) Adviser Class Shares...................................... (49,976) (72,290) Investor Class Shares..................................... (8,236) (19,690) Market Class Shares....................................... --* (11,306) Daily Class Shares........................................ (21,974) (39,807) Service Class Shares...................................... -- (940) Investor A Shares......................................... (930) (1,887) Investor B Shares......................................... (40) (104) Investor C Shares......................................... (4) (7) Marsico Shares............................................ (48) (120) Net increase/(decrease) in net assets from shares of beneficial interest transactions.......................... (5,397,751) (12,253,850) -------------- -------------- Net increase/(decrease) in net assets....................... (5,398,968) (12,254,487) NET ASSETS: Beginning of period......................................... 59,035,356 71,289,843 -------------- -------------- End of period............................................... $ 53,636,388 $ 59,035,356 ============== ============== Undistributed net investment income/(distributions in excess of net investment income) at end of period................ $ (2) $ -- ============== ==============
--------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 110 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 9/30/04 YEAR ENDED 9/30/04 YEAR ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ------------------------------------------------------------------------------------------------------- $ 54,038 $ 122,458 $ 39,006 $ 73,165 $ 17,956 $ 36,622 (733) 149 (55) 46 (124) 24 -------------- -------------- -------------- -------------- -------------- -------------- 53,305 122,607 38,951 73,211 17,832 36,646 (36,253) (96,966) (11,076) (21,502) (6,962) (14,359) (8,373) (7,796) (2,829) (5,483) (1,413) (2,770) (51) (1,791) (4,181) (7,213) (1,280) (3,253) (2,098) (3,632) (1,582) (3,057) (1,495) (2,294) (6,761) (8,225) (14,934) (22,555) (3,813) (7,121) (355) (450) (1,627) (3,662) (2,163) (4,262) -- (3,356) -- (3,376) -- (1,305) (9) (17) (573) (2,008) (733) (1,132) (151) (201) -- (346) -- (33) -- -- (2,204) (3,959) (66) (91) (11) (31) --* (1) (1) (3) (1) (2) -- --* -- -- -- -- -- -- -- -- (3,415,800) (1,029,071) 8,305 (2,188,059) (880,410) 148,088 -------------- -------------- -------------- -------------- -------------- -------------- (3,416,558) (1,028,931) 8,250 (2,188,010) (880,504) 148,111 12,419,340 13,448,271 9,239,255 11,427,265 4,581,863 4,433,752 -------------- -------------- -------------- -------------- -------------- -------------- $ 9,002,782 $ 12,419,340 $ 9,247,505 $ 9,239,255 $ 3,701,359 $ 4,581,863 ============== ============== ============== ============== ============== ============== $ 164 $ 189 $ 46 $ 46 $ 262 $ 232 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 111 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MUNICIPAL RESERVES --------------------------------- SIX MONTHS ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 --------------------------------- (IN THOUSANDS) Net investment income/(loss)............................................................ $ 20,692 $ 28,371 Net realized gain/(loss) on investments................................................. 2 130 -------------- -------------- Net increase/(decrease) in net assets resulting from operations......................... 20,694 28,501 Distributions to shareholders from net investment income: Capital Class Shares.................................................................. (12,453) (14,719) Institutional Class Shares+........................................................... (2,052) (3,346) Trust Class Shares.................................................................... (1,984) (3,887) Liquidity Class Shares................................................................ (1,000) (1,087) Adviser Class Shares+................................................................. (1,752) (2,477) Investor Class Shares................................................................. (374) (703) Market Class Shares+.................................................................. -- (397) Daily Class Shares.................................................................... (1,073) (1,737) Service Class Shares.................................................................. -- (14) Investor A Shares..................................................................... -- -- Investor B Shares..................................................................... --* --* Investor C Shares++................................................................... --* (5) Net increase/(decrease) in net assets from shares of beneficial interest transactions... 718,734 1,078,199 -------------- -------------- Net increase/(decrease) in net assets................................................... 718,740 1,078,328 NET ASSETS: Beginning of period..................................................................... 4,356,170 3,277,842 -------------- -------------- End of period........................................................................... $ 5,074,910 $ 4,356,170 ============== ============== Undistributed net investment income at end of period.................................... $ 135 $ 131 ============== ==============
--------------- * 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. SEE NOTES TO FINANCIAL STATEMENTS. 112 NATIONS 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 9/30/04 YEAR ENDED 9/30/04 YEAR ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ------------------------------------------------------------------------------------------------------------------------- $ 12,142 $ 22,084 $ 5,889 $ 10,744 $ 303 $ 380 (2) (10) 32 (3) -- 10 -------------- -------------- -------------- -------------- -------------- -------------- 12,140 22,074 5,921 10,741 303 390 (3,026) (4,048) (677) (1,258) (7) (45) (405) (566) (397) (380) (205) (191) (8,413) (16,452) (1,242) (2,790) (65) (102) (19) (57) (3) (15) -- -- (41) (55) (1,534) (2,591) -- (9) (58) (415) (908) (1,669) -- -- -- -- -- -- (26) (33) (71) (148) (1,128) (2,041) -- -- -- (342) -- -- -- -- (109) -- -- -- -- -- -- -- --* --* -- -- -- -- --* --* -- -- (35,245) (233,616) (301,524) (103,098) (14,657) 52,471 -------------- -------------- -------------- -------------- -------------- -------------- (35,247) (233,625) (301,492) (103,101) (14,657) 52,481 2,777,847 3,011,472 2,163,501 2,266,602 78,985 26,504 -------------- -------------- -------------- -------------- -------------- -------------- $ 2,742,600 $ 2,777,847 $ 1,862,009 $ 2,163,501 $ 64,328 $ 78,985 ============== ============== ============== ============== ============== ============== $ 92 $ 92 $ 74 $ 74 $ 2 $ 2 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 113 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY*
CASH RESERVES ------------------------------------ SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 62,281,564 $ 206,816,532 Issued as reinvestment of dividends........................ 67,754 156,008 Redeemed................................................... (64,641,658) (215,288,442) ------------ ------------- Net increase/(decrease).................................... $ (2,292,340) $ (8,315,902) ============ ============= INSTITUTIONAL CLASS SHARES: Sold....................................................... $ 6,836,965 $ 17,296,638 Issued as reinvestment of dividends........................ 25,299 41,505 Redeemed................................................... (7,538,552) (16,528,656) ------------ ------------- Net increase/(decrease).................................... $ (676,288) $ 809,487 ============ ============= TRUST CLASS SHARES: Sold....................................................... $ 2,503,759 $ 14,516,326 Issued as reinvestment of dividends........................ 438 981 Redeemed................................................... (3,200,893) (15,442,551) ------------ ------------- Net increase/(decrease).................................... $ (696,696) $ (925,244) ============ ============= LIQUIDITY CLASS SHARES: Sold....................................................... $ 1,720,358 $ 4,113,327 Issued as reinvestment of dividends........................ 5,837 11,638 Redeemed................................................... (1,966,510) (4,353,675) ------------ ------------- Net increase/(decrease).................................... $ (240,315) $ (228,710) ============ ============= ADVISER CLASS SHARES: Sold....................................................... $ 20,138,119 $ 42,387,776 Issued as reinvestment of dividends........................ 12,326 24,266 Redeemed................................................... (20,691,266) (37,153,479) ------------ ------------- Net increase/(decrease).................................... $ (540,821) $ 5,258,563 ============ ============= INVESTOR CLASS SHARES: Sold....................................................... $ 1,674,990 $ 3,848,282 Issued as reinvestment of dividends........................ 7,427 17,815 Redeemed................................................... (2,015,387) (5,166,110) ------------ ------------- Net increase/(decrease).................................... $ (332,970) $ (1,300,013) ============ ============= MARKET CLASS SHARES: Sold....................................................... $ 71 $ 2,794,797 Issued as reinvestment of dividends........................ -** 22 Redeemed................................................... (30) (6,568,687) ------------ ------------- Net increase/(decrease).................................... $ 41 $ (3,773,868) ============ ============= DAILY CLASS SHARES: Sold....................................................... $ 2,525,290 $ 12,299,532 Issued as reinvestment of dividends........................ 21,973 37,884 Redeemed................................................... (3,144,797) (15,226,607) ------------ ------------- Net increase/(decrease).................................... $ (597,534) $ (2,889,191) ============ ============= SERVICE CLASS SHARES:+ Sold....................................................... $ -- $ 1,602,658 Issued as reinvestment of dividends........................ -- 98 Redeemed................................................... -- (2,364,554) ------------ ------------- Net increase/(decrease).................................... $ -- $ (761,798) ============ ============= INVESTOR A SHARES: Sold....................................................... $ 32,158 $ 176,067 Issued as reinvestment of dividends........................ 911 1,848 Redeemed................................................... (51,791) (271,036) ------------ ------------- Net increase/(decrease).................................... $ (18,722) $ (93,121) ============ ============= INVESTOR B SHARES: Sold....................................................... $ 8,356 $ 9,174 Issued as reinvestment of dividends........................ 36 92 Redeemed................................................... (9,507) (33,205) ------------ ------------- Net increase/(decrease).................................... $ (1,115) $ (23,939) ============ ============= INVESTOR C SHARES: Sold....................................................... $ 3,610 $ 3,189 Issued as reinvestment of dividends........................ 3 6 Redeemed................................................... (2,103) (6,498) ------------ ------------- Net increase/(decrease).................................... $ 1,510 $ (3,303) ============ ============= MARSICO SHARES: Sold....................................................... $ 3,406 $ 34,214 Issued as reinvestment of dividends........................ 54 112 Redeemed................................................... (5,961) (41,137) ------------ ------------- Net increase/(decrease).................................... $ (2,501) $ (6,811) ============ ============= Total net increase/(decrease).............................. $ (5,397,751) $ (12,253,850) ============ =============
--------------- * 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. +Cash Reserves Service Class Shares were fully redeemed on October 30, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 114 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
MONEY MARKET RESERVES ------------------------------------ SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 21,493,736 $ 54,073,187 Issued as reinvestment of dividends........................ 17,544 41,652 Redeemed................................................... (25,512,852) (55,143,790) ------------ ------------ Net increase/(decrease).................................... $ (4,001,572) $ (1,028,951) ============ ============ INSTITUTIONAL CLASS SHARES: Sold....................................................... $ 2,964,018 $ 4,400,821 Issued as reinvestment of dividends........................ 8,321 7,288 Redeemed................................................... (2,175,787) (4,191,670) ------------ ------------ Net increase/(decrease).................................... $ 796,552 $ 216,439 ============ ============ TRUST CLASS SHARES: Sold....................................................... $ 46,117 $ 802,416 Issued as reinvestment of dividends........................ 6 9 Redeemed................................................... (50,787) (853,509) ------------ ------------ Net increase/(decrease).................................... $ (4,664) $ (51,084) ============ ============ LIQUIDITY CLASS SHARES: Sold....................................................... $ 1,332,964 $ 1,841,629 Issued as reinvestment of dividends........................ 2,035 3,479 Redeemed................................................... (1,334,522) (1,905,081) ------------ ------------ Net increase/(decrease).................................... $ 477 $ (59,973) ============ ============ ADVISER CLASS SHARES: Sold....................................................... $ 2,871,809 $ 6,461,623 Issued as reinvestment of dividends........................ 960 2,062 Redeemed................................................... (3,109,608) (5,312,452) ------------ ------------ Net increase/(decrease).................................... $ (236,839) $ 1,151,233 ============ ============ INVESTOR CLASS SHARES: Sold....................................................... $ 13,017 $ 70,336 Issued as reinvestment of dividends........................ --** 2 Redeemed................................................... (11,428) (41,497) ------------ ------------ Net increase/(decrease).................................... $ 1,589 $ 28,841 ============ ============ MARKET CLASS SHARES:+ Sold....................................................... $ -- $ 742,000 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- (1,977,000) ------------ ------------ Net increase/(decrease).................................... $ -- $ (1,235,000) ============ ============ DAILY CLASS SHARES: Sold....................................................... $ 1,855 $ 8,242 Issued as reinvestment of dividends........................ 9 17 Redeemed................................................... (2,127) (9,237) ------------ ------------ Net increase/(decrease).................................... $ (263) $ (978) ============ ============ SERVICE CLASS SHARES: Sold....................................................... $ 112,680 $ 251,386 Issued as reinvestment of dividends........................ 151 76 Redeemed................................................... (82,834) (294,185) ------------ ------------ Net increase/(decrease).................................... $ 29,997 $ (42,723) ============ ============ INVESTOR B SHARES: Sold....................................................... $ 1,507 $ 1,873 Issued as reinvestment of dividends........................ 10 28 Redeemed................................................... (2,711) (8,458) ------------ ------------ Net increase/(decrease).................................... $ (1,194) $ (6,557) ============ ============ INVESTOR C SHARES: Sold....................................................... $ 763 $ 806 Issued as reinvestment of dividends........................ 1 2 Redeemed................................................... (647) (1,126) ------------ ------------ Net increase/(decrease).................................... $ 117 $ (318) ============ ============ Total net increase/(decrease).............................. $ (3,415,800) $ (1,029,071) ============ ============
--------------- * 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. +Money Market Reserves Market Class Shares were fully redeemed on September 25, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 115 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
TREASURY RESERVES ------------------------------------ SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 17,509,236 $ 34,549,770 Issued as reinvestment of dividends........................ 8,887 16,639 Redeemed................................................... (17,639,777) (35,006,522) ------------ ------------ Net increase/(decrease).................................... $ (121,654) $ (440,113) ============ ============ INSTITUTIONAL CLASS SHARES: Sold....................................................... $ 1,046,297 $ 3,013,425 Issued as reinvestment of dividends........................ 2,664 4,904 Redeemed................................................... (1,005,764) (3,058,866) ------------ ------------ Net increase/(decrease).................................... $ 43,197 $ (40,537) ============ ============ TRUST CLASS SHARES: Sold....................................................... $ 2,006,227 $ 1,037,654 Issued as reinvestment of dividends........................ 7 44 Redeemed................................................... (1,992,020) (1,137,962) ------------ ------------ Net increase/(decrease).................................... $ 14,214 $ (100,264) ============ ============ LIQUIDITY CLASS SHARES: Sold....................................................... $ 646,610 $ 1,621,676 Issued as reinvestment of dividends........................ 1,398 2,665 Redeemed................................................... (623,042) (1,661,604) ------------ ------------ Net increase/(decrease).................................... $ 24,966 $ (37,263) ============ ============ ADVISER CLASS SHARES: Sold....................................................... $ 8,891,424 $ 18,323,739 Issued as reinvestment of dividends........................ 2,551 4,433 Redeemed................................................... (8,858,159) (17,032,325) ------------ ------------ Net increase/(decrease).................................... $ 35,816 $ 1,295,847 ============ ============ INVESTOR CLASS SHARES: Sold....................................................... $ 564,655 $ 1,151,602 Issued as reinvestment of dividends........................ 981 2,586 Redeemed................................................... (614,910) (1,376,738) ------------ ------------ Net increase/(decrease).................................... $ (49,274) $ (222,550) ============ ============ MARKET CLASS SHARES:+ Sold....................................................... $ -- $ 1,332,000 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- (2,667,000) ------------ ------------ Net increase/(decrease).................................... $ -- $ (1,335,000) ============ ============ DAILY CLASS SHARES: Sold....................................................... $ 160,564 $ 3,322,054 Issued as reinvestment of dividends........................ 572 1,280 Redeemed................................................... (203,422) (4,191,043) ------------ ------------ Net increase/(decrease).................................... $ (42,286) $ (867,709) ============ ============ SERVICE CLASS SHARES:+ Sold....................................................... $ -- $ 993,834 Issued as reinvestment of dividends........................ -- 23 Redeemed................................................... -- (1,286,086) ------------ ------------ Net increase/(decrease).................................... $ -- $ (292,229) ============ ============ INVESTOR A SHARES: Sold....................................................... $ 2,357,430 $ 5,732,471 Issued as reinvestment of dividends........................ 50 140 Redeemed................................................... (2,254,143) (5,880,672) ------------ ------------ Net increase/(decrease).................................... $ 103,337 $ (148,061) ============ ============ INVESTOR B SHARES: Sold....................................................... $ 5 $ 20 Issued as reinvestment of dividends........................ --** 1 Redeemed................................................... (16) (197) ------------ ------------ Net increase/(decrease).................................... $ (11) $ (176) ============ ============ INVESTOR C SHARES:+ Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- --** Redeemed................................................... -- (4) ------------ ------------ Net increase/(decrease).................................... $ -- $ (4) ============ ============ Total net increase/(decrease).............................. $ 8,305 $ (2,188,059) ============ ============
--------------- *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. +Treasury Reserves Market Class, Service Class and Investor C Shares were fully redeemed on September 25, 2003, October 30,2003, and July 23, 2003, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 116 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
GOVERNMENT RESERVES ------------------------------------ SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 4,067,618 $ 12,202,011 Issued as reinvestment of dividends........................ 6,184 12,624 Redeemed................................................... (4,164,054) (12,697,803) ----------- ------------ Net increase/(decrease).................................... $ (90,252) $ (483,168) =========== ============ INSTITUTIONAL CLASS SHARES: Sold....................................................... $ 784,935 $ 3,229,216 Issued as reinvestment of dividends........................ 1,363 2,581 Redeemed................................................... (1,014,974) (2,875,559) ----------- ------------ Net increase/(decrease).................................... $ (228,676) $ 356,238 =========== ============ TRUST CLASS SHARES: Sold....................................................... $ 268,562 $ 1,183,365 Issued as reinvestment of dividends........................ 8 16 Redeemed................................................... (278,060) (1,271,587) ----------- ------------ Net increase/(decrease).................................... $ (9,490) $ (88,206) =========== ============ LIQUIDITY CLASS SHARES: Sold....................................................... $ 729,308 $ 1,220,430 Issued as reinvestment of dividends........................ 1,260 1,837 Redeemed................................................... (613,382) (1,096,945) ----------- ------------ Net increase/(decrease).................................... $ 117,186 $ 125,322 =========== ============ ADVISER CLASS SHARES: Sold....................................................... $ 1,084,210 $ 3,491,015 Issued as reinvestment of dividends........................ 1,915 5,341 Redeemed................................................... (1,400,085) (2,978,047) ----------- ------------ Net increase/(decrease).................................... $ (313,960) $ 518,309 =========== ============ INVESTOR CLASS SHARES: Sold....................................................... $ 990,057 $ 2,504,548 Issued as reinvestment of dividends........................ 2,058 4,125 Redeemed................................................... (1,281,576) (2,294,594) ----------- ------------ Net increase/(decrease).................................... $ (289,461) $ 214,079 =========== ============ MARKET CLASS SHARES:+ Sold....................................................... $ -- $ 603,000 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- (1,105,000) ----------- ------------ Net increase/(decrease).................................... $ -- $ (502,000) =========== ============ DAILY CLASS SHARES: Sold....................................................... $ 124,773 $ 950,860 Issued as reinvestment of dividends........................ 733 1,131 Redeemed................................................... (195,083) (912,784) ----------- ------------ Net increase/(decrease).................................... $ (69,577) $ 39,207 =========== ============ SERVICE CLASS SHARES:+ Sold....................................................... $ -- $ 45,000 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- (81,000) ----------- ------------ Net increase/(decrease).................................... $ -- $ (36,000) =========== ============ INVESTOR A SHARES: Sold....................................................... $ 44,199 $ 128,922 Issued as reinvestment of dividends........................ 63 65 Redeemed................................................... (40,277) (123,793) ----------- ------------ Net increase/(decrease).................................... $ 3,985 $ 5,194 =========== ============ INVESTOR B SHARES: Sold....................................................... $ 254 $ 51 Issued as reinvestment of dividends........................ 1 3 Redeemed................................................... (420) (941) ----------- ------------ Net increase/(decrease).................................... $ (165) $ (887) =========== ============ INVESTOR C SHARES:+ Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- -- ----------- ------------ Net increase/(decrease).................................... $ -- $ -- =========== ============ Total net increase/(decrease).............................. $ (880,410) $ 148,088 =========== ============
--------------- * 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. +Government Reserves Market Class, Service Class and Investor C Shares were fully redeemed on September 25, 2003, September 25, 2003 and January 6, 2003, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 117 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
MUNICIPAL RESERVES ------------------------------------ SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 6,944,075 $ 6,479,111 Issued as reinvestment of dividends........................ 7,208 8,654 Redeemed................................................... (6,097,435) (5,879,486) ----------- ----------- Net increase/(decrease).................................... $ 853,848 $ 608,279 =========== =========== INSTITUTIONAL CLASS SHARES: Sold....................................................... $ 1,374,205 $ 2,162,113 Issued as reinvestment of dividends........................ 1,951 3,139 Redeemed................................................... (1,411,466) (1,889,698) ----------- ----------- Net increase/(decrease).................................... $ (35,310) $ 275,554 =========== =========== TRUST CLASS SHARES: Sold....................................................... $ 460,597 $ 1,028,790 Issued as reinvestment of dividends........................ 64 211 Redeemed................................................... (519,408) (1,057,781) ----------- ----------- Net increase/(decrease).................................... $ (58,747) $ (28,780) =========== =========== LIQUIDITY CLASS SHARES: Sold....................................................... $ 980,477 $ 1,032,916 Issued as reinvestment of dividends........................ 712 1,000 Redeemed................................................... (857,914) (1,004,745) ----------- ----------- Net increase/(decrease).................................... $ 123,275 $ 29,171 =========== =========== ADVISER CLASS SHARES: Sold....................................................... $ 864,564 $ 1,701,764 Issued as reinvestment of dividends........................ 906 1,858 Redeemed................................................... (940,095) (1,481,952) ----------- ----------- Net increase/(decrease).................................... $ (74,625) $ 221,670 =========== =========== INVESTOR CLASS SHARES: Sold....................................................... $ 94,224 $ 315,896 Issued as reinvestment of dividends........................ 373 694 Redeemed................................................... (148,000) (258,693) ----------- ----------- Net increase/(decrease).................................... $ (53,403) $ 57,897 =========== =========== MARKET CLASS SHARES:+ Sold....................................................... $ -- $ 568,000 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- (718,000) ----------- ----------- Net increase/(decrease).................................... $ -- $ (150,000) =========== =========== DAILY CLASS SHARES: Sold....................................................... $ 319,756 $ 804,886 Issued as reinvestment of dividends........................ 1,073 1,737 Redeemed................................................... (354,741) (728,181) ----------- ----------- Net increase/(decrease).................................... $ (33,912) $ 78,442 =========== =========== SERVICE CLASS SHARES:+ Sold....................................................... $ -- $ 17,000 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- (31,000) ----------- ----------- Net increase/(decrease).................................... $ -- $ (14,000) =========== =========== INVESTOR B SHARES: Sold....................................................... $ -- $ 2 Issued as reinvestment of dividends........................ --** --** Redeemed................................................... (34) (13) ----------- ----------- Net increase/(decrease).................................... $ (34) $ (11) =========== =========== INVESTOR C SHARES: Sold....................................................... $ 189 $ -- Issued as reinvestment of dividends........................ --** --** Redeemed................................................... (2,547) (23) ----------- ----------- Net increase/(decrease).................................... $ (2,358) $ (23) =========== =========== Total net increase/(decrease).............................. $ 718,734 $ 1,078,199 =========== ===========
--------------- *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 Market Class and Service Class Shares were fully redeemed on September 25, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 118 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
TAX-EXEMPT RESERVES ------------------------------------ SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold...................................................... $ 2,145,453 $ 4,204,304 Issued as reinvestment of dividends....................... 583 1,547 Redeemed.................................................. (2,072,902) (3,938,887) ----------- ----------- Net increase/(decrease)................................... $ 73,134 $ 266,964 =========== =========== INSTITUTIONAL CLASS SHARES: Sold...................................................... $ 223,572 $ 389,439 Issued as reinvestment of dividends....................... 385 535 Redeemed.................................................. (191,922) (344,809) ----------- ----------- Net increase/(decrease)................................... $ 32,035 $ 45,165 =========== =========== TRUST CLASS SHARES: Sold...................................................... $ 941,176 $ 1,857,824 Issued as reinvestment of dividends....................... 50 195 Redeemed.................................................. (1,053,604) (2,241,101) ----------- ----------- Net increase/(decrease)................................... $ (112,378) $ (383,082) =========== =========== LIQUIDITY CLASS SHARES: Sold...................................................... $ 22,388 $ 45,661 Issued as reinvestment of dividends....................... 16 55 Redeemed.................................................. (23,120) (41,842) ----------- ----------- Net increase/(decrease)................................... $ (716) $ 3,874 =========== =========== ADVISER CLASS SHARES: Sold...................................................... $ 4,800 $ 22,778 Issued as reinvestment of dividends....................... 41 53 Redeemed.................................................. (3,904) (22,228) ----------- ----------- Net increase/(decrease)................................... $ 937 $ 603 =========== =========== INVESTOR CLASS SHARES: Sold...................................................... $ 8,230 $ 65,026 Issued as reinvestment of dividends....................... 39 338 Redeemed.................................................. (15,546) (181,489) ----------- ----------- Net increase/(decrease)................................... $ (7,277) $ (116,125) =========== =========== DAILY CLASS SHARES: Sold...................................................... $ 25,757 $ 84,813 Issued as reinvestment of dividends....................... 71 150 Redeemed.................................................. (38,111) (99,640) ----------- ----------- Net increase/(decrease)................................... $ (12,283) $ (14,677) =========== =========== INVESTOR A SHARES: Sold...................................................... $ 16,156 $ 259,664 Issued as reinvestment of dividends....................... 108 329 Redeemed.................................................. (24,961) (296,331) ----------- ----------- Net increase/(decrease)................................... $ (8,697) $ (36,338) =========== =========== Total net increase/(decrease)............................. $ (35,245) $ (233,616) =========== ===========
--------------- *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. 119 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
CALIFORNIA TAX-EXEMPT RESERVES ------------------------------------ SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold...................................................... $ 203,558 $ 542,456 Issued as reinvestment of dividends....................... 659 1,181 Redeemed.................................................. (272,684) (546,580) --------- --------- Net increase/(decrease)................................... $ (68,467) $ (2,943) ========= ========= INSTITUTIONAL CLASS SHARES: Sold...................................................... $ 203,319 $ 270,301 Issued as reinvestment of dividends....................... 395 370 Redeemed.................................................. (251,605) (145,677) --------- --------- Net increase/(decrease)................................... $ (47,891) $ 124,994 ========= ========= TRUST CLASS SHARES: Sold...................................................... $ 334,064 $ 560,525 Issued as reinvestment of dividends....................... 74 240 Redeemed.................................................. (333,792) (701,793) --------- --------- Net increase/(decrease)................................... $ 346 $(141,028) ========= ========= LIQUIDITY CLASS SHARES: Sold...................................................... $ 2,586 $ 15,069 Issued as reinvestment of dividends....................... 3 15 Redeemed.................................................. (3,529) (16,987) --------- --------- Net increase/(decrease)................................... $ (940) $ (1,903) ========= ========= ADVISER CLASS SHARES: Sold...................................................... $ 290,058 $ 903,192 Issued as reinvestment of dividends....................... 1,534 2,577 Redeemed.................................................. (322,796) (932,106) --------- --------- Net increase/(decrease)................................... $ (31,204) $ (26,337) ========= ========= INVESTOR CLASS SHARES: Sold...................................................... $ 280,463 $ 886,161 Issued as reinvestment of dividends....................... 907 1,645 Redeemed.................................................. (366,732) (878,569) --------- --------- Net increase/(decrease)................................... $ (85,362) $ 9,237 ========= ========= DAILY CLASS SHARES: Sold...................................................... $ 309,811 $ 825,579 Issued as reinvestment of dividends....................... 1,128 2,039 Redeemed.................................................. (378,746) (892,935) --------- --------- Net increase/(decrease)................................... $ (67,807) $ (65,317) ========= ========= INVESTOR B SHARES: Sold...................................................... $ -- $ -- Issued as reinvestment of dividends....................... --** --** Redeemed.................................................. --** -- --------- --------- Net increase/(decrease)................................... $ -- $ -- ========= ========= INVESTOR C SHARES:+(a) Sold...................................................... $ -- $ 225 Issued as reinvestment of dividends....................... -- --** Redeemed.................................................. (199) (26) --------- --------- Net increase/(decrease)................................... $ (199) $ 199 ========= ========= Total net increase/(decrease)............................. $(301,524) $(103,098) ========= =========
--------------- * 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. (a)California Tax-Exempt Reserves' Investor C Shares were fully redeemed on April 29, 2004. SEE NOTES TO FINANCIAL STATEMENTS. 120 NATIONS MONEY MARKET FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY* (CONTINUED)
NEW YORK TAX-EXEMPT RESERVES ------------------------------------ SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------------------------ (IN THOUSANDS) CAPITAL CLASS SHARES: Sold....................................................... $ 116 $ 6,834 Issued as reinvestment of dividends........................ 2 35 Redeemed................................................... (997) (14,491) -------- -------- Net increase/(decrease).................................... $ (879) $ (7,622) ======== ======== INSTITUTIONAL CLASS SHARES:(b) Sold....................................................... $ 20,725 $113,732 Issued as reinvestment of dividends........................ 204 191 Redeemed................................................... (31,182) (65,707) -------- -------- Net increase/(decrease).................................... $(10,253) $ 48,216 ======== ======== TRUST CLASS SHARES: Sold....................................................... $ 28,106 $ 39,913 Issued as reinvestment of dividends........................ -- -- Redeemed................................................... (29,859) (41,004) -------- -------- Net increase/(decrease).................................... $ (1,753) $ (1,091) ======== ======== LIQUIDITY CLASS SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- -- -------- -------- Net increase/(decrease).................................... $ -- $ -- ======== ======== ADVISER CLASS SHARES:(b)(c) Sold....................................................... $ -- $ 6,271 Issued as reinvestment of dividends........................ -- 8 Redeemed................................................... -- (6,279) -------- -------- Net increase/(decrease).................................... $ -- $ -- ======== ======== INVESTOR CLASS SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- -- -------- -------- Net increase/(decrease).................................... $ -- $ -- ======== ======== MARKET CLASS SHARES:(b) Sold....................................................... $ 8,503 $ 39,326 Issued as reinvestment of dividends........................ 26 33 Redeemed................................................... (10,301) (26,391) -------- -------- Net increase/(decrease).................................... $ (1,772) $ 12,968 ======== ======== DAILY CLASS SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- -- -------- -------- Net increase/(decrease).................................... $ -- $ -- ======== ======== SERVICE CLASS SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- -- -------- -------- Net increase/(decrease).................................... $ -- $ -- ======== ======== INVESTOR B SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- -- -------- -------- Net increase/(decrease).................................... $ -- $ -- ======== ======== INVESTOR C SHARES: Sold....................................................... $ -- $ -- Issued as reinvestment of dividends........................ -- -- Redeemed................................................... -- -- -------- -------- Net increase/(decrease).................................... $ -- $ -- ======== ======== Total net increase/(decrease).............................. $(14,657) $ 52,471 ======== ========
--------------- *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. (b) 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. (c) New York Tax-Exempt Reserves Adviser Class Shares were fully redeemed on August 24, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 121 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 9/30/2004 (unaudited)...................... $1.00 $0.0056 $(0.0056) Year ended 3/31/2004........................................ 1.00 0.0100 (0.0100) 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) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0054 $(0.0054) Year ended 3/31/2004........................................ 1.00 0.0096 (0.0096) 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 9/30/2004 (unaudited)...................... $1.00 $0.0051 $(0.0051) Year ended 3/31/2004........................................ 1.00 0.0090 (0.0090) 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 9/30/2004 (unaudited)...................... $1.00 $0.0049 $(0.0049) Year ended 3/31/2004........................................ 1.00 0.0085 (0.0085) 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) ADVISER CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0044 $(0.0044) Year ended 3/31/2004........................................ 1.00 0.0075 (0.0075) 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) INVESTOR CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0039 $(0.0039) Year ended 3/31/2004........................................ 1.00 0.0065 (0.0065) 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)
--------------- + 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 reflect 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. ** Cash Reserves Institutional Class, Trust Class, Investor Class, Daily Class, Service Class, Investor A, Investor B, Investor C 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. ***Cash Reserves Service Class Shares were fully redeemed on October 30, 2003. # Amount represents less than $500. (a)The effect of the custodial expense offset (see Note 3) 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 is included in the ratio of operating expenses to average net assets (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. SEE NOTES TO FINANCIAL STATEMENTS. 122 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 AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS --------------------------------------------------------------------------------------------- $1.00 0.56% $22,475,111 0.20%+(a) 1.11%+ 0.27%+(a) 1.00 1.01 24,767,958 0.20(a)(c) 1.01 0.26(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 0.54% $ 4,674,403 0.24%+(a) 1.07%+ 0.31%+(a) 1.00 0.97 5,350,799 0.24(a)(c) 0.97 0.30(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 0.51% $ 3,383,777 0.30%+(a) 1.01%+ 0.37%+(a) 1.00 0.91 4,080,552 0.30(a)(c) 0.91 0.36(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 0.49% $ 1,103,076 0.35%+(a) 0.96%+ 0.52%+(a) 1.00 0.86 1,343,416 0.35(a)(c) 0.86 0.99(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 0.44% $11,552,239 0.45%+(a) 0.86%+ 0.52%+(a) 1.00 0.76 12,093,316 0.45(a)(c) 0.76 0.51(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 0.39% $ 1,988,351 0.55%+(a) 0.76%+ 0.62%+(a) 1.00 0.66 2,321,369 0.55(a)(c) 0.66 0.61(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)
SEE NOTES TO FINANCIAL STATEMENTS. 123 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 -------------------------------------- CASH RESERVES (CONTINUED) MARKET CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0034 $(0.0034) Year ended 3/31/2004........................................ 1.00 0.0055 (0.0055) 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) DAILY CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0026 $(0.0026) Year ended 3/31/2004........................................ 1.00 0.0040 (0.0040) 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 Period ended 10/30/2003***.................................. $1.00 $0.0015 $(0.0015) 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 9/30/2004 (unaudited)...................... $1.00 $0.0034 $(0.0034) Year ended 3/31/2004........................................ 1.00 0.0055 (0.0055) Period ended 3/31/2003**+++................................. 1.00 0.0117 (0.0117) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2004........................................ 1.00 0.0025 (0.0025) 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 9/30/2004 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2004........................................ 1.00 0.0025 (0.0025) 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 9/30/2004 (unaudited)...................... $1.00 $0.0039 $(0.0039) Year ended 3/31/2004........................................ 1.00 0.0065 (0.0065) 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 reflect 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. ** Cash Reserves Institutional Class, Trust Class, Investor Class, Daily Class, Service Class, Investor A, Investor B, Investor C 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. ***Cash Reserves Service Class Shares were fully redeemed on October 30, 2003. # Amount represents less than $500. (a)The effect of the custodial expense offset (see Note 3) 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 is included in the ratio of operating expenses to average net assets (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. (d)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 124 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 AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS --------------------------------------------------------------------------------------------- $1.00 0.34% $ 73 0.65%+(a) 0.66%+ 0.72%+(a) 1.00 0.55 32 0.65(a)(c) 0.56 0.71(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 0.26% $ 8,148,930 0.80%+(a) 0.51%+ 0.87%+(a) 1.00 0.40 8,746,651 0.80(a)(c) 0.41 0.86(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 0.15% $ --# 1.01%+(a)(c) 0.20%+ 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 0.34% $ 266,529 0.65%+(a) 0.66%+ 0.72%+(a) 1.00 0.56 285,257 0.65(a)(c) 0.56 0.71(a) 1.00 1.18 378,382 0.65+(a)(b) 1.17+ 0.71+(a) $1.00 0.13% $ 29,438 1.05%+(a) 0.26%+ 1.37%+(a) 1.00 0.25 30,554 0.97(a)(c) 0.24 1.36(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% $ 3,018 1.08%+(a) 0.23%+(d) 1.37%+(a) 1.00 0.25 1,508 0.98(a)(c) 0.23 1.36(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 0.39% $ 11,443 0.55%+(a) 0.76%+ 0.62%+(a) 1.00 0.66 13,944 0.55(a)(c) 0.66 0.61(a) 1.00 1.28 20,755 0.55+(a)(b) 1.27+ 0.61+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 125 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 9/30/2004 (unaudited)...................... $1.00 $0.0055 $(0.0055) Year ended 3/31/2004........................................ 1.00 0.0098 (0.0098) 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) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0053 $(0.0053) Year ended 3/31/2004........................................ 1.00 0.0094 (0.0094) 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 9/30/2004 (unaudited)...................... $1.00 $0.0050 $(0.0050) Year ended 3/31/2004........................................ 1.00 0.0088 (0.0088) 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 9/30/2004 (unaudited)...................... $1.00 $0.0048 $(0.0048) Year ended 3/31/2004........................................ 1.00 0.0083 (0.0083) 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) ADVISER CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0043 $(0.0043) Year ended 3/31/2004........................................ 1.00 0.0073 (0.0073) 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) INVESTOR CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0038 $(0.0038) Year ended 3/31/2004........................................ 1.00 0.0063 (0.0063) 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)
--------------- + 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. ***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 (see Note 3) 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. 126 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 AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS -------------------------------------------------------------------------------------------- $1.00 0.56% $ 5,062,017 0.20%+(a) 1.05%+ 0.27%+(a) 1.00 0.98 9,064,090 0.20(a) 0.98 0.26(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 0.54% $ 1,733,917 0.24%+(a) 1.01%+ 0.31%+(a) 1.00 0.94 937,474 0.24(a) 0.94 0.30(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 0.51% $ 4,699 0.30%+(a) 0.95%+ 0.37%+(a) 1.00 0.88 9,344 0.30(a) 0.88 0.36(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 0.48% $ 437,814 0.35%+(a) 0.90%+ 0.52%+(a) 1.00 0.83 437,371 0.35(a) 0.83 1.00(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 0.43% $ 1,554,657 0.45%+(a) 0.80%+ 0.52%+(a) 1.00 0.73 1,791,613 0.45(a) 0.73 0.51(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 0.38% $ 91,577 0.55%+(a) 0.70%+ 0.62%+(a) 1.00 0.63 89,996 0.55(a) 0.63 0.61(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)
SEE NOTES TO FINANCIAL STATEMENTS. 127 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 (CONTINUED) MARKET CLASS SHARES Period ended 9/25/2003****.................................. $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) DAILY CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0025 $(0.0025) Year ended 3/31/2004........................................ 1.00 0.0038 (0.0038) 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 9/30/2004 (unaudited)...................... $1.00 $0.0019 $(0.0019) Year ended 3/31/2004........................................ 1.00 0.0025 (0.0025) 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 9/30/2004 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2004........................................ 1.00 0.0025 (0.0025) 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 9/30/2004 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2004........................................ 1.00 0.0025 (0.0025) 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. ***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 (see Note 3) 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)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 128 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 AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS -------------------------------------------------------------------------------------------- $1.00 0.28% $ --# 0.65%+(a) 0.53%+ 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 0.25% $ 3,515 0.80%+(a) 0.45%+ 0.87%+(a) 1.00 0.38 3,778 0.80(a) 0.38 0.86(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 0.18% $ 105,955 0.93%+(a) 0.32%+(c) 1.07%+(a) 1.00 0.25 75,965 0.95(a) 0.23 1.22(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% $ 7,760 1.03%+(a) 0.22%+(c) 1.37%+(a) 1.00 0.25 8,955 0.94(a) 0.24 1.36(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% $ 871 1.03%+(a) 0.22%+(c) 1.37%+(a) 1.00 0.25 754 0.93(a) 0.25 1.36(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. 129 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 9/30/2004 (unaudited)...................... $1.00 $0.0051 $(0.0051) Year ended 3/31/2004........................................ 1.00 0.0093 (0.0093) 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) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0049 $(0.0049) Year ended 3/31/2004........................................ 1.00 0.0089 (0.0089) 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 9/30/2004 (unaudited)...................... $1.00 $0.0046 $(0.0046) Year ended 3/31/2004........................................ 1.00 0.0083 (0.0083) 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 9/30/2004 (unaudited)...................... $1.00 $0.0044 $(0.0044) Year ended 3/31/2004........................................ 1.00 0.0078 (0.0078) 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) ADVISER CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0039 $(0.0039) Year ended 3/31/2004........................................ 1.00 0.0068 (0.0068) 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) INVESTOR CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0034 $(0.0034) Year ended 3/31/2004........................................ 1.00 0.0058 (0.0058) 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)
--------------- + 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 reflect 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. ** Treasury Reserves Institutional Class, Trust Class, Investor Class, Daily Class, Service Class, Investor A, Investor B 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, Service Class and Investor C Shares were fully redeemed on September 25, 2003, October 30,2003, and July 23, 2003, respectively. # Amount represents less than $500. (a)The effect of the custodial expense offset (see Note 3) 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. 130 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 AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS ----------------------------------------------------------------------------------------------- $1.00 0.52% $1,998,810 0.20%+(a) 1.02%+ 0.27%+(a) 1.00 0.94 2,120,480 0.20(a) 0.94 0.26(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 0.50% $ 541,382 0.24%+(a) 0.98%+ 0.31%+(a) 1.00 0.90 498,188 0.24(a) 0.90 0.30(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 0.47% $ 822,777 0.30%+(a) 0.92%+ 0.37%+(a) 1.00 0.84 808,567 0.30(a) 0.84 0.36(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 0.44% $ 372,687 0.35%+(a) 0.87%+ 0.52%+(a) 1.00 0.79 347,723 0.35(a) 0.79 1.03(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 0.39% $4,054,934 0.45%+(a) 0.77%+ 0.52%+(a) 1.00 0.68 4,019,140 0.45(a) 0.69 0.51(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 0.34% $ 401,507 0.55%+(a) 0.67%+ 0.62%+(a) 1.00 0.58 450,784 0.55(a) 0.59 0.61(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)
SEE NOTES TO FINANCIAL STATEMENTS. 131 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 (CONTINUED) MARKET CLASS SHARES Period ended 9/25/2003***................................... $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) DAILY CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0022 $(0.0022) Year ended 3/31/2004........................................ 1.00 0.0033 (0.0033) 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 Period ended 10/30/2003***.................................. $1.00 $0.0015 $(0.0015) 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 9/30/2004 (unaudited)...................... $1.00 $0.0029 $(0.0029) Year ended 3/31/2004........................................ 1.00 0.0048 (0.0048) Period ended 3/31/2003**+++................................. 1.00 0.0107 (0.0107) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2004........................................ 1.00 0.0025 (0.0025) 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***................................... $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 reflect 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. ** Treasury Reserves Institutional Class, Trust Class, Investor Class, Daily Class, Service Class, Investor A, Investor B 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, Service Class and Investor C Shares were fully redeemed on September 25, 2003, October 30,2003, and July 23, 2003, respectively. # Amount represents less than $500. (a)The effect of the custodial expense offset (see Note 3) 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. 132 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 AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS ----------------------------------------------------------------------------------------------- $1.00 0.27% $ --# 0.65%+(a) 0.49%+ 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 0.22% $ 249,054 0.79%+(a) 0.43%+ 0.87%+(a) 1.00 0.33 291,341 0.80(a) 0.34 0.86(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 0.15% $ --# 0.95%+(a) 0.19%+ 1.26%+(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 0.29% $ 806,006 0.65%+(a) 0.57%+ 0.72%+(a) 1.00 0.48 702,673 0.65(a) 0.49 0.71(a) 1.00 1.07 850,729 0.65+(a) 1.07+ 0.71+(a) $1.00 0.13% $ 348 0.97%+(a) 0.25%+ 1.37%+(a) 1.00 0.25 359 0.90(a) 0.24 1.36(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% $ --# 1.05%+(a) 0.09%+ 1.37%+(a) 1.00 0.15 5 1.26+(a) 0.46+ 1.36+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 133 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 9/30/2004 (unaudited)...................... $1.00 $0.0054 $(0.0054) Year ended 3/31/2004........................................ 1.00 0.0095 (0.0095) 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) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0052 $(0.0052) Year ended 3/31/2004........................................ 1.00 0.0091 (0.0091) 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 9/30/2004 (unaudited)...................... $1.00 $0.0049 $(0.0049) Year ended 3/31/2004........................................ 1.00 0.0085 (0.0085) 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 9/30/2004 (unaudited)...................... $1.00 $0.0046 $(0.0046) Year ended 3/31/2004........................................ 1.00 0.0080 (0.0080) 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) ADVISER CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0041 $(0.0041) Year ended 3/31/2004........................................ 1.00 0.0070 (0.0070) 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) INVESTOR CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0036 $(0.0036) Year ended 3/31/2004........................................ 1.00 0.0060 (0.0060) 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)
--------------- + 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 reflect 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. ** Government Reserves Institutional Class, Trust Class, Investor Class, Daily Class, Service Class, Investor A, Investor B and Investor C Shares commenced operations on November 21, 2000, May 17, 1999, April 12, 1999, April 12, 1999, June 8, 1999, May 13, 2002, November 2, 1999, and December 21,1999, respectively. ***Government Reserves Market Class, Service Class 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 (see Note 3) 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. 134 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 TOTAL PERIOD AVERAGE NET TO AVERAGE AVERAGE NET OF PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS ----------------------------------------------------------------------------------------------- $1.00 0.54% $1,198,772 0.20%+(a) 1.07%+ 0.27%+(a) 1.00 0.96 1,289,052 0.20(a) 0.96 0.26(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 0.52% $ 209,375 0.24%+(a) 1.03%+ 0.31%+(a) 1.00 0.92 438,059 0.24(a) 0.92 0.30(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 0.49% $ 282,777 0.30%+(a) 0.97%+ 0.37%+(a) 1.00 0.86 292,272 0.30(a) 0.86 0.36(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 0.47% $ 418,064 0.35%+(a) 0.92%+ 0.52%+(a) 1.00 0.81 300,885 0.35(a) 0.81 0.99(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 0.41% $ 790,752 0.45%+(a) 0.82%+ 0.52%+(a) 1.00 0.70 1,104,735 0.45(a) 0.71 0.51(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 0.36% $ 503,157 0.55%+(a) 0.72%+ 0.62%+(a) 1.00 0.60 792,634 0.55(a) 0.61 0.61(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)
SEE NOTES TO FINANCIAL STATEMENTS. 135 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 MARKET CLASS SHARES Period ended 9/25/2003***................................... $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) DAILY CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0024 $(0.0024) Year ended 3/31/2004........................................ 1.00 0.0035 (0.0035) 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***................................... $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 9/30/2004 (unaudited)...................... $1.00 $0.0031 $(0.0031) Year ended 3/31/2004........................................ 1.00 0.0050 (0.0050) Period ended 3/31/2003**+++................................. 1.00 0.0108 (0.0108) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0013 $(0.0013) Year ended 3/31/2004........................................ 1.00 0.0025 (0.0025) 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 reflect 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. ** Government Reserves Institutional Class, Trust Class, Investor Class, Daily Class, Service Class, Investor A, Investor B and Investor C Shares commenced operations on November 21, 2000, May 17, 1999, April 12, 1999, April 12, 1999, June 8, 1999, May 13, 2002, November 2, 1999, and December 21,1999, respectively. ***Government Reserves Market Class, Service Class 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 (see Note 3) 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. 136 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 TOTAL PERIOD AVERAGE NET TO AVERAGE AVERAGE NET OF PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS ----------------------------------------------------------------------------------------------- $1.00 0.28% $ --# 0.65%+(a) 0.51%+ 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 0.24% $ 282,462 0.80%+(a) 0.47%+ 0.87%+(a) 1.00 0.35 352,046 0.80(a) 0.36 0.86(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) 0.19%+ 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 0.31% $ 15,247 0.65%+(a) 0.62%+ 0.72%+(a) 1.00 0.50 11,263 0.65(a) 0.51 0.71(a) 1.00 1.08 6,069 0.65+(a) 1.03+ 0.72+(a) $1.00 0.13% $ 753 1.01%+(a) 0.26%+ 1.37%+(a) 1.00 0.25 917 0.92(a) 0.24 1.36(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. 137 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 9/30/2004 (unaudited)...................... $1.00 $0.0048 $(0.0048) Year ended 3/31/2004........................................ 1.00 0.0089 (0.0089) 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) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0046 $(0.0046) Year ended 3/31/2004........................................ 1.00 0.0085 (0.0085) 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 9/30/2004 (unaudited)...................... $1.00 $0.0043 $(0.0043) Year ended 3/31/2004........................................ 1.00 0.0079 (0.0079) 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 9/30/2004 (unaudited)...................... $1.00 $0.0041 $(0.0041) Year ended 3/31/2004........................................ 1.00 0.0074 (0.0074) 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) ADVISER CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0036 $(0.0036) Year ended 3/31/2004........................................ 1.00 0.0064 (0.0064) 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) INVESTOR CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0031 $(0.0031) Year ended 3/31/2004........................................ 1.00 0.0054 (0.0054) 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)
--------------- + 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 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 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. SEE NOTES TO FINANCIAL STATEMENTS. 138 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) EXPENSES TO END OF TOTAL PERIOD AVERAGE NET TO AVERAGE AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS ---------------------------------------------------------------------------------------------- $1.00 0.48% $2,841,893 0.20%+ 0.98%+ 0.27%+ 1.00 0.90 1,988,042 0.20 0.88 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 0.46% $ 444,461 0.24%+ 0.94%+ 0.31%+ 1.00 0.86 479,770 0.24 0.84 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 0.43% $ 418,392 0.30%+ 0.88%+ 0.37%+ 1.00 0.80 477,139 0.30 0.78 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 0.41% $ 273,087 0.35%+ 0.83%+ 0.52%+ 1.00 0.74 149,812 0.35 0.73 0.96 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 0.36% $ 431,927 0.45%+ 0.73%+ 0.52%+ 1.00 0.64 506,550 0.45 0.63 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 0.31% $ 93,787 0.55%+ 0.63%+ 0.62%+ 1.00 0.54 147,189 0.55 0.53 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+
SEE NOTES TO FINANCIAL STATEMENTS. 139 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 (CONTINUED) MARKET CLASS SHARES Period ended 9/25/2003***................................... $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) DAILY CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0018 $(0.0018) Year ended 3/31/2004........................................ 1.00 0.0031 (0.0031) 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***................................... $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 9/30/2004 (unaudited)...................... $1.00 $0.0008 $(0.0008) Year ended 3/31/2004........................................ 1.00 0.0019 (0.0019) 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 9/30/2004 (unaudited)...................... $1.00 $0.0008 $(0.0008) Year ended 3/31/2004........................................ 1.00 0.0019 (0.0019) 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 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 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. (a)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 140 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) EXPENSES TO END OF TOTAL PERIOD AVERAGE NET TO AVERAGE AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS ---------------------------------------------------------------------------------------------- $1.00 0.23% $ --## 0.65%+ 0.43%+ 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 0.18% $ 571,206 0.80%+ 0.38%+ 0.87%+ 1.00 0.31 605,118 0.78 0.30 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%+ 0.17%+ 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 0.08% $ 13 0.98%+ 0.20%+(a) 1.37%+ 1.00 0.19 47 0.90 0.18 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 0.08% $ 144 0.94%+ 0.24%+(a) 1.37%+ 1.00 0.19 2,503 0.90 0.18 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. 141 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 9/30/2004 (unaudited)...................... $1.00 $0.0047 $(0.0047) Year ended 3/31/2004........................................ 1.00 0.0086 (0.0086) Period ended 3/31/2003*..................................... 1.00 0.0095 (0.0095) INSTITUTIONAL CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0045 $(0.0045) Year ended 3/31/2004........................................ 1.00 0.0082 (0.0082) Period ended 3/31/2003*..................................... 1.00 0.0090 (0.0090) TRUST CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0042 $(0.0042) Year ended 3/31/2004........................................ 1.00 0.0076 (0.0076) 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) LIQUIDITY CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0039 $(0.0039) Year ended 3/31/2004........................................ 1.00 0.0071 (0.0071) Period ended 3/31/2003*..................................... 1.00 0.0059 (0.0059) ADVISER CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0034 $(0.0034) Year ended 3/31/2004........................................ 1.00 0.0061 (0.0061) Period ended 3/31/2003*..................................... 1.00 0.0060 (0.0060) INVESTOR CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0029 $(0.0029) Year ended 3/31/2004........................................ 1.00 0.0051 (0.0051) 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) DAILY CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0017 $(0.0017) Year ended 3/31/2004........................................ 1.00 0.0028 (0.0028) 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) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0024 $(0.0024) Year ended 3/31/2004........................................ 1.00 0.0041 (0.0041) 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)
--------------- + 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 Shares commenced operations on June 13, 2002, June 18, 2002, September 3, 2002 and August 9, 2002, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 142 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) EXPENSES TO END OF TOTAL PERIOD AVERAGE NET TO AVERAGE AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS ---------------------------------------------------------------------------------------------- $1.00 0.47% $ 615,192 0.20%+ 0.94%+ 0.28%+ 1.00 0.87 542,057 0.20 0.84 0.27 1.00 0.96 275,095 0.20+ 1.13+ 0.28+ $1.00 0.45% $ 100,547 0.24%+ 0.90%+ 0.32%+ 1.00 0.82 68,512 0.24 0.80 0.31 1.00 0.91 23,348 0.24+ 1.09+ 0.32+ $1.00 0.42% $1,916,184 0.30%+ 0.84%+ 0.38%+ 1.00 0.76 2,028,564 0.30 0.74 0.37 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 0.39% $ 5,076 0.35%+ 0.79%+ 0.53%+ 1.00 0.71 5,792 0.35 0.69 0.99 1.00 0.59 1,918 0.35+ 0.98+ 1.13+ $1.00 0.34% $ 11,201 0.45%+ 0.69%+ 0.53%+ 1.00 0.61 10,264 0.45 0.59 0.52 1.00 0.60 9,661 0.45+ 0.88+ 0.53+ $1.00 0.29% $ 14,793 0.55%+ 0.59%+ 0.63%+ 1.00 0.51 22,071 0.55 0.49 0.62 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 0.17% $ 37,501 0.80%+ 0.34%+ 0.88%+ 1.00 0.28 49,784 0.78 0.26 0.87 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 0.24% $ 42,106 0.65%+ 0.49%+ 0.73%+ 1.00 0.41 50,803 0.65 0.39 0.72 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
SEE NOTES TO FINANCIAL STATEMENTS. 143 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 9/30/2004 (unaudited)...................... $1.00 $0.0046 $(0.0046) Year ended 3/31/2004........................................ 1.00 0.0083 (0.0083) 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 9/30/2004 (unaudited)...................... $1.00 $0.0044 $(0.0044) Year ended 3/31/2004........................................ 1.00 0.0079 (0.0079) 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 9/30/2004 (unaudited)...................... $1.00 $0.0041 $(0.0041) Year ended 3/31/2004........................................ 1.00 0.0073 (0.0073) 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 9/30/2004 (unaudited)...................... $1.00 $0.0039 $(0.0039) Year ended 3/31/2004........................................ 1.00 0.0068 (0.0068) 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 9/30/2004 (unaudited)...................... $1.00 $0.0034 $(0.0034) Year ended 3/31/2004........................................ 1.00 0.0058 (0.0058) 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) INVESTOR CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0029 $(0.0029) Year ended 3/31/2004........................................ 1.00 0.0048 (0.0048) 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)
--------------- + 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 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. ***California Tax-Exempt Reserves Investor C Shares were fully redeemed on April 29, 2004. # Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 144 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 AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS ------------------------------------------------------------------------------------------- $1.00 0.46% $100,853 0.20%+ 0.91%+ 0.28%+ 1.00 0.84 169,317 0.20 0.83 0.27 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 0.44% $ 78,641 0.24%+ 0.87%+ 0.32%+ 1.00 0.80 126,531 0.24 0.79 0.31 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 0.41% $294,576 0.30%+ 0.81%+ 0.38%+ 1.00 0.74 294,225 0.30 0.73 0.37 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 0.39% $ 155 0.35%+ 0.76%+ 0.53%+ 1.00 0.69 1,095 0.35 0.68 1.07 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 0.34% $444,602 0.45%+ 0.66%+ 0.53%+ 1.00 0.59 475,799 0.45 0.58 0.52 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 0.29% $284,083 0.55%+ 0.56%+ 0.63%+ 1.00 0.48 369,440 0.55 0.48 0.62 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+
SEE NOTES TO FINANCIAL STATEMENTS. 145 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 (CONTINUED) DAILY CLASS SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0016 $(0.0016) Year ended 3/31/2004........................................ 1.00 0.0026 (0.0026) 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) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0008 $(0.0008) Year ended 3/31/2004........................................ 1.00 0.0019 (0.0019) 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 4/29/2004 (unaudited)***....................... $1.00 $0.0001 $(0.0001) Year ended 3/31/2004**...................................... 1.00 0.0011 (0.0011)
--------------- + 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 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. ***California Tax-Exempt Reserves Investor C Shares were fully redeemed on April 29, 2004. # Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 146 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 AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS ------------------------------------------------------------------------------------------- $1.00 0.16% $659,092 0.80%+ 0.31%+ 0.88%+ 1.00 0.26 726,888 0.77 0.26 0.87 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 0.08% $ 7 0.95%+ 0.16%+ 1.38%+ 1.00 0.19 7 0.86 0.17 1.37 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 0.01% $ --# 0.84%+ 0.27%+ 1.38%+ 1.00 0.11 199 0.84+ 0.19+ 1.37+
SEE NOTES TO FINANCIAL STATEMENTS. 147 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 9/30/2004 (unaudited)...................... $1.00 $0.0048 $(0.0048) Year ended 3/31/2004........................................ 1.00 0.0090 (0.0090) 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 Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0046 $(0.0046) Year ended 3/31/2004****.................................... 1.00 0.0050 (0.0050) 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 9/30/2004 (unaudited)...................... $1.00 $0.0043 $(0.0043) Year ended 3/31/2004........................................ 1.00 0.0080 (0.0080) 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+++................................... $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 Six months ended 9/30/2004 (unaudited)...................... $1.00 $0.0026 $(0.0026) Year ended 3/31/2004****.................................... 1.00 0.0025 (0.0025) Period ended 12/22/2002***.................................. 1.00 0.0068 (0.0068) Period ended 3/31/2002*..................................... 1.00 0.0008 (0.0008) DAILY CLASS SHARES Period ended 12/22/2002***.................................. $1.00 $0.0043 $(0.0043) Period ended 3/31/2002*..................................... 1.00 0.0004 (0.0004) 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, Trust Class, Liquidity Class, Adviser Class, Investor Class, Market Class, Daily 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, Daily 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 Shares recommenced operations on August 25, 2003. # Amount represents less than $0.0001 or 0.01%, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 148 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 AVERAGE NET PERIOD RETURN++ (000) ASSETS NET ASSETS ASSETS ------------------------------------------------------------------------------------------------------------------------------- $1.00 0.48% $ 983 0.20%+ 0.95%+ 0.56%+ 1.00 0.91 1,862 0.20 0.93 0.47 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 0.46% $37,968 0.24%+ 0.91%+ 0.60%+ 1.00 0.50 48,222 0.24 0.89 0.53 1.00 0.91 --** 0.17+ 1.23+ 0.82+ 1.00 0.13 1 0.24+ 0.99+ 4.55+ $1.00 0.43% $14,179 0.30%+ 0.85%+ 0.66%+ 1.00 0.81 15,931 0.30 0.83 0.57 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% $ --** 0.28%+ 1.12%+ 1.63%+ 1.00 0.13 1 0.35+ 0.88+ 5.36+ $1.00 0.25% $ --** 0.45%+ 0.68%+ 1.23%+ 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% $ --** 0.48%+ 0.92%+ 1.13%+ 1.00 0.08 1 0.55+ 0.68+ 4.86+ $1.00 0.26% $11,198 0.65%+ 0.50%+ 1.01%+ 1.00 0.25 12,970 0.65 0.48+ 0.78 1.00 0.68 --** 0.58+ 0.82+ 1.23+ 1.00 0.08 1 0.65+ 0.58+ 4.96+ $1.00 0.43% $ --** 0.73%+ 0.67%+ 1.38%+ 1.00 0.04 1 0.80+ 0.43+ 5.11+ $1.00 0.18% $ --** 1.13%+ 0.27%+ 1.78%+ 1.00 0.00# 1 1.20+ 0.03+ 5.51+ $1.00 0.18% $ --** 1.23%+ 0.17%+ 1.88%+ 1.00 0.00# 1 1.30+ (0.07)+ 5.61+ $1.00 0.18% $ --** 1.23%+ 0.17%+ 1.88%+ 1.00 0.00# 1 1.30+ (0.07)+ 5.61+
SEE NOTES TO FINANCIAL STATEMENTS. 149 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, 2004, Funds Trust offered fifty-six 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 150 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 at least 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 Sub-chapter M, 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 are allocated to separate classes of shares based upon their relative net asset value on the date the expenses are incurred. 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, 2004, BACAP Distributors earned an annual rate of 0.06% of the Funds' average daily net assets (net of waivers and sub-administration fees) for its administration services. 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 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% of the net assets attributable to the Capital Class shares and Trust Class shares of the Funds. For the six months ended September 30, 2004, Bank of America earned the following sub-transfer agent fees from the Funds for providing such services and these amounts are included in "Transfer agent fees" in each Fund's Statement of operations. 151 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
SUB-TRANSFER AGENT FEE FUND (000) ------------------------------------------------------------------------------------ Cash Reserves............................................... $81 Money Market Reserves....................................... 6 Treasury Reserves........................................... 16 Government Reserves......................................... 15 Municipal Reserves.......................................... 10 Tax-Exempt Reserves......................................... 32 California Tax-Exempt Reserves.............................. 4 New York Tax-Exempt Reserves................................ 1
BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2004, 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............................................... $--* $-- $68 $ 4 Money Market Reserves....................................... -- -- 30 -- Treasury Reserves........................................... -- -- -- -- Government Reserves......................................... -- -- 5 -- 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 an 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 assets and liabilities. A significant portion of certain share classes represents investments by fiduciary accounts over which Bank of America has either sole or joint discretion. 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, 2004, approximately 1.3% 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, 2004, approximately 1.8% 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". 152 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. TOTAL OPERATING EXPENSE LIMITATIONS BACAP and/or its affiliates may, from time to time, reduce their fees payable by each Fund. During the six months ended September 30, 2004 and until July 31, 2005, BACAP has agreed to reimburse expenses and/or waive fees to the extent that total expenses (excluding interest expense and shareholder servicing, shareholder administration and distribution fees) exceed an annual rate of 0.20% of each Fund's average daily net assets. BACAP and/or BACAP Distributors is entitled to recover from the Funds any fees waived or expenses reimbursed by BACAP and/or BACAP Distributors 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. At September 30, 2004, the amounts potentially recoverable by BACAP and/or BACAP Distributors pursuant to this arrangement are as follows:
POTENTIAL POTENTIAL POTENTIAL AMOUNT AMOUNT TO AMOUNT TO AMOUNT TO RECOVERED RECOVER WITHIN RECOVER WITHIN RECOVER WITHIN DURING THE 3 YEARS 3 YEARS 2 YEARS PERIOD ENDED FUND AS OF 9/30/04 AS OF 3/31/04 AS OF 3/31/04 9/30/04 ---------------------------------------------------------------------------------------------------------------------------- Cash Reserves........................................... $18,161,549 $40,691,765 $41,801,556 $-- Money Market Reserves................................... 3,584,140 8,258,167 7,650,773 -- Treasury Reserves....................................... 3,173,637 6,498,721 6,180,619 -- Government Reserves..................................... 1,521,609 3,129,314 3,023,654 -- Municipal Reserves...................................... 1,757,096 2,700,355 1,982,384 -- Tax-Exempt Reserves..................................... 1,174,122 2,014,609 1,996,391 -- California Tax-Exempt Reserves.......................... 784,156 1,512,909 1,496,692 -- New York Tax-Exempt Reserves............................ 128,987 135,951 371,623 --
For the six months ended September 30, 2004, expenses of certain Funds were reduced by $53,841 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. 4. 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 Distribution Plan, the Funds may reimburse distribution-related expenses of BACAP Distributors for Liquidity Class Shares at an annual rate of 0.25% of the Funds' Liquidity Class Shares average daily net assets. 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 and Investor C 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 and Investor C Shares of the Funds. Under the 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 0.55% of the average daily net assets of the Service Class Shares of the Funds. 153 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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. The Funds may pay BACAP Distributors a fee of up to 0.25% of the average daily net assets of the Liquidity Class Shares of the Funds. 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 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 and 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. However, under the Liquidity Class Plans, to the extent that any Liquidity Class Shares of the Funds reimburse expenses or make payments pursuant to the Distribution Plan and/or their separate Shareholder Servicing Plan, the total of such reimbursements and payments may not exceed, on an annual basis, 0.25% of the average daily net assets of any such Fund's Liquidity Class Shares. For the six months ended September 30, 2004 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............................................. 0.15%* 0.25%** Investor Class, Investor A Shares........................... 0.10% 0.10% Market Class................................................ 0.20% 0.20% Daily Class................................................. 0.35% 0.35% Service Class............................................... 0.55% 0.55% 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%
--------------- * For the six month period ended September 30, 2004 and until July 31, 2005, BACAP Distributors has agreed to waive Distribution Plan fees and/or Shareholder Servicing Plan fees as a percentage of each Fund's Liquidity Class Shares average daily net assets at an annual rate of 0.10%, not to exceed an annual combined waiver of 0.10%. **To the extent that any Liquidity Class Shares of the Funds reimburse expenses or make payments pursuant to the Distribution Plan and/or the Shareholder Servicing Plan, the total of such reimbursements and payments may not exceed, on an annual basis, 0.25% of the average daily net assets of any such Fund's Liquidity Class Shares. 154 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) During the six months ended September 30, 2004, 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.............. Investor B.................................. 0.35% California Tax-Exempt Reserves.............. Investor C.................................. 0.46% Cash Reserves............................... Investor B.................................. 0.25% Cash Reserves............................... Investor C.................................. 0.22% Government Reserves......................... Investor B.................................. 0.29% Money Market Reserves....................... Service Class............................... 0.07% Money Market Reserves....................... Investor B.................................. 0.27% Money Market Reserves....................... Investor C.................................. 0.27% Municipal Reserves.......................... Investor B.................................. 0.32% Municipal Reserves.......................... Investor C.................................. 0.36% Treasury Reserves........................... Investor B.................................. 0.33% Treasury Reserves........................... Daily....................................... 0.01%
A substantial portion of the expenses incurred pursuant to these plans is paid to affiliates of Bank of America and BACAP Distributors. 5. SHARES OF BENEFICIAL INTEREST At September 30, 2004, 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. 6. 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. CASH RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/04 PER UNIT 9/30/04 ASSETS 9/30/04 SECURITY DATE (000) 9/30/04 (000) 9/30/04 (000) ------------------------------------------------------------------------------------------------------------------------------- Descartes Funding 1.760%+ 10/15/04++.................................. 12/18/03 $280,000 $1.00 $280,000 0.5% $280,000 Deutsche Bank AG, (New York): 1.730%+ 10/20/04++.................................. 04/10/03 700,000 1.00 700,000 1.3 700,000 Davis Square Funding, Ltd., Series 2003-1A, Class A1E, 1.849%+ 10/18/04++.................................. 10/15/03 150,000 1.00 150,000 0.3 150,000 GE Life Annuity, 1.830%+ 11/24/04++(a)............................... 05/27/03 100,000 1.00 100,000 0.2 100,000 Goldman Sachs Group Inc., 1.810%+ 10/13/04++.................................. 02/18/04 510,000 1.00 510,000 1.0 510,000 G-Star Ltd., Series 2002-2A, Class A1MB, 1.900%+ 10/27/04++.................................. 11/12/02 37,547 1.00 37,547 0.1 37,547 Jackson National Life Insurance Company, 1.964%+ 12/14/04++(a)............................... 06/14/96 50,000 1.00 50,000 0.1 50,000 Leafs LLC 1.821%+ 10/20/04++.................................. 12/22/03 165,000 1.00 165,000 0.3 165,000 1.821%+ 10/20/04++.................................. 03/22/04 150,000 1.00 150,000 0.3 150,000
155 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/04 PER UNIT 9/30/04 ASSETS 9/30/04 SECURITY DATE (000) 9/30/04 (000) 9/30/04 (000) ------------------------------------------------------------------------------------------------------------------------------- Monumental Life 1.800%+ 10/01/04++(a)............................... 03/25/02 $300,000 $1.00 $300,000 0.6% $300,000 NewCastle CDO, Ltd., Series 3A, Class 1MM 1.870%+ 10/25/04++.................................. 09/10/03 175,000 1.00 175,000 0.3 175,000 Phoenix-Mistic CBO, Ltd., Series 2002-1A, Class A1A, 2.130%+ 03/15/05.................................... 08/14/02 245,000 1.00 245,000 0.5 245,000 Phoenix-Mistic CBO, Ltd., Series 2002-1A, Class A1B2, 2.130%+ 03/15/05++.................................. 09/11/03 40,000 1.00 40,000 0.1 40,000 Putnam Structured Product CDO, Series 2001-1A, Class A1MB, 1.840%+ 11/25/04.................................... 11/22/02 50,000 1.00 50,000 0.1 50,000 Putnam Structured Product CDO, Series 2002-1A, Class A1D, 1.840%+ 10/12/04++.................................. 12/18/02 101,000 1.00 101,000 0.2 101,000 Saturn Ventures II Inc. 1.766%+ 10/07/04++.................................. 04/22/04 100,000 1.00 100,000 0.2 100,000 TIAA Commercial Real Estate Securitization, Series 2003-1A, Class A, 1.870%+ 10/28/04++.................................. 10/20/03 127,213 1.00 127,213 0.2 127,213 Transamerica Occidental Life Insurance Company: 2.050%+ 10/01/04++(a)............................... 07/31/00 125,000 1.00 125,000 0.2 125,000 1.890%+ 10/01/04++(a)............................... 07/31/00 117,000 1.00 117,000 0.2 117,000 1.820%+ 11/01/04++(a)............................... 07/31/00 20,000 1.00 20,000 0.0* 20,000 1.760%+ 10/01/04++(a)............................... 10/01/03 100,000 1.00 100,000 0.2 100,000 Travelers Insurance 1.78%+ 10/29/04++................................... 07/30/04 182,000 1.00 182,000 0.3 182,000 Winston Funding Ltd., Series 2003-1, Class A1MB, 1.690%+ 10/25/04++.................................. 05/28/03 121,400 1.00 121,400 0.2 121,400
--------------- + Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2004. ++ Reset date. Interest rates reset either daily, weekly, monthly or quarterly. * Amount represents less than 0.1%. (a)Fair valued security (see Note 1). 156 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) MONEY MARKET RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/04 PER UNIT 9/30/04 ASSETS 9/30/04 SECURITY DATE (000) 9/30/04 (000) 9/30/04 (000) ------------------------------------------------------------------------------------------------------------------------------- Davis Square Funding, Ltd., Series 2003-1A, Class A1E, 1.849%+ 10/18/04++.................................. 10/15/03 $ 42,500 $1.00 $ 42,500 0.5% $ 42,500 Eiffel Funding LLC Discount note 10/18/04.............................. 07/14/04 25,000 1.00 25,000 0.3 25,000 Goldman Sachs Group Inc., 1.810%+ 10/13/04++.................................. 02/18/04 140,000 1.00 140,000 1.6 140,000 G-Star Ltd., Series 2002-2A, Class A1MB, 1.900%+ 10/27/04++.................................. 11/12/02 7,046 1.00 7,046 0.1 7,046 Leafs LLC 1.821%+ 10/20/04++.................................. 12/22/03 15,000 1.00 15,000 0.2 15,000 1.821%+ 10/20/04++.................................. 02/20/04 50,000 1.00 50,000 0.6 50,000 1.821%+ 10/20/04++.................................. 03/22/04 50,000 1.00 50,000 0.6 50,000 Phoenix-Mistic CBO, Ltd., Series 2002-1A, Class A1A, 2.130%+ 03/15/05.................................... 08/14/02 50,000 1.00 50,000 0.6 50,000 Saturn Ventures II Inc. 1.766%+ 10/07/04++.................................. 04/22/04 44,500 1.00 44,500 0.5 44,500 Winston Funding Ltd., Series 2003-1, Class A1MB, 1.690%+ 10/25/04++.................................. 05/27/03 50,000 1.00 50,000 0.6 50,000
--------------- + Floating rate security. The interest rate shown reflects the rate in effect at September 30, 2004. ++ Reset date. Interest rates reset either daily, weekly, monthly or quarterly. TREASURY RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/04 PER UNIT 9/30/04 ASSETS 9/30/04 SECURITY DATE (000) 9/30/04 (000) 9/30/04 (000) ------------------------------------------------------------------------------------------------------------------------------- Deutsche Bank Securities Inc., 1.200% 04/26/05..................................... 03/26/03 $200,000 $1.00 $200,000 2.2% $200,000
MUNICIPAL RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/04 PER UNIT 9/30/04 ASSETS 9/30/04 SECURITY DATE (000) 9/30/04 (000) 9/30/04 (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 Chicago, Illinois O'Hare International Airport Revenue, Series 2004, (FSA Insured, Banque Nationale Paris SBPA), 1.500%** 01/18/12...................................... 04/16/04 4,800 1.00 4,800 0.1 4,800 Clark County, Nevada School District GO, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.670%** 06/15/10...................................... 08/09/04 13,425 1.00 13,425 0.3 13,425 Dallas-Fort Worth, Texas International Airport Revenue, Series 2003, AMT, (Merrill Lynch Capital Services SBPA), 1.780%** 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), 1.700%** 10/01/12...................................... 07/24/03 3,450 1.00 3,450 0.1 3,450
157 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/04 PER UNIT 9/30/04 ASSETS 9/30/04 SECURITY DATE (000) 9/30/04 (000) 9/30/04 (000) --------------------------------------------------------------------------------------------------------------------------------- Massachusetts Municipal Wholesale Electric Company, Power Supply Systems Revenue, Series 2001, (MBIA Insured, Bank of New York Liquidity Facility), 1.100%** 07/01/07...................................... 09/26/03 $ 7,995 $1.00 $ 7,995 0.2% $ 7,995 Metropolitan Transitional Authority New York Revenue, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.150%** 05/15/10...................................... 06/23/04 4,495 1.00 4,495 0.1 4,495 New Mexico State, Series 2004, (Lehman Liquidity Company Liquidity Facility), 1.270%** 06/30/05...................................... 07/01/04 65,000 1.00 65,000 1.3 65,000 New York, New York City Transitional Finance Authority, Series 2003, (MBIA-IBC Insured, Lloyds TSB Bank PLC SBPA), 1.670%** 11/01/08...................................... 08/06/04 8,095 1.00 8,095 0.2 8,095 Oklahoma Housing Finance Agency Single Family Revenue, (Home Ownership Loan Program) Series 2001PT-1288, AMT, (GNMA Collateral Agreement, Merrill Lynch SBPA), 1.780%** 09/01/29...................................... 12/14/01 2,890 1.00 2,890 0.1 2,890 Port of Seattle, Washington Revenue, Series 2003, AMT, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.660%** 07/01/11...................................... 08/22/03 4,320 1.00 4,320 0.1 4,320 Puerto Rico Commonwealth GO, Series 2001, (FSA Insured, Bank of New York Liquidity Facility), 1.350%** 07/01/27...................................... 05/27/04 14,795 1.00 14,795 0.3 14,795 Sedgwick & Shawnee Counties, Kansas Single Family Revenue, Series 2002, 1.780%** 12/01/27...................................... 07/18/02 1,780 1.00 1,780 0.0* 1,780 Wisconsin State, Health & Educational Facilities Authority Revenue, Series 2003, (MBIA Insured), 1.300%** 08/15/19...................................... 08/28/03 17,160 1.00 17,160 0.3 17,160
--------------- * Amount represents less than 0.1%. **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. These securities are subject to demand features of either one, seven or thirty days. 158 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) TAX-EXEMPT RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/04 PER UNIT 9/30/04 ASSETS 9/30/04 SECURITY DATE (000) 9/30/04 (000) 9/30/04 (000) --------------------------------------------------------------------------------------------------------------------------------- Houston, Texas Independent School District GO, Series 2004, (FSA Insured, Landesbank Hessen-Thueringen Liquidity Facility), 1.800% 06/14/05........................................ 06/18/04 $ 9,995 $1.00 $ 9,995 0.4% $ 9,995 Houston, Texas Water and Sewer Systems Revenue, Series 2002, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.100%** 12/01/23...................................... 05/01/03 12,495 1.00 12,495 0.5 12,495 New Mexico State, Series 2004, (Lehman Liquidity Company Liquidity Facility), 1.270%** 06/30/05...................................... 07/01/04 35,000 1.00 35,000 1.3 35,000 New York Metropolitan Transitional Authority Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.630%** 11/15/10...................................... 08/29/03 9,010 1.00 9,010 0.3 9,010 Puerto Rico Commonwealth GO, Series 2001, (FSA Insured, Bank of New York Liquidity Facility), 1.350%** 07/01/27...................................... 05/27/04 10,000 1.00 10,000 0.4 10,000
--------------- **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. 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 9/30/04 PER UNIT 9/30/04 ASSETS 9/30/04 SECURITY DATE (000) 9/30/04 (000) 9/30/04 (000) --------------------------------------------------------------------------------------------------------------------------------- ABN AMRO Munitops Certificates Trust, California, Series 2003, (FGIC Insured, ABN AMRO Bank N.V. SBPA), 1.290% 10/06/04........................................ 05/15/03 $ 8,895 $1.00 $ 8,895 0.5% $ 8,895 ABN AMRO Munitops Certificates Trust, California, Series 2004, (MBIA Insured, ABN AMRO Bank N.V. SBPA), 1.290% 10/06/04........................................ 06/02/04 8,575 1.00 8,575 0.5 8,575 California Community College Financing Authority Revenue, Series 2004D, (Lehman Liquidity Company Liquidity Facility), 1.270%** 07/29/05...................................... 07/01/04 35,390 1.00 35,390 1.9 35,390 California State, Economic Recovery, GO, Series 2004, (Citibank N.A. Liquidity Facility), 1.700% 07/01/23........................................ 05/20/04 9,375 1.00 9,375 0.5 9,375 Colton, California Joint United School District GO, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.600%** 02/01/12...................................... 07/16/04 5,460 1.00 5,460 0.3 5,460 Puerto Rico Commonwealth GO, Series 2001, (FSA Insured, Bank of New York Liquidity Facility), 1.350%** 07/01/27...................................... 05/27/04 7,000 1.00 7,000 0.4 7,000
--------------- **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. These securities are subject to demand features of either one, seven or thirty days. 159 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) NEW YORK TAX-EXEMPT RESERVES
FAIR PERCENTAGE HISTORICAL PAR VALUE VALUE VALUE OF NET COST ACQUISITION 9/30/04 PER UNIT 9/30/04 ASSETS 9/30/04 SECURITY DATE (000) 9/30/04 (000) 9/30/04 (000) --------------------------------------------------------------------------------------------------------------------------------- Metropolitan Transitional Authority New York Revenue, Series 2002, (AMBAC Issued, Merrill Lynch Capital Services SBPA), 1.150%** 05/15/10...................................... 06/23/04 $1,500 $1.00 $1,500 2.3% $1,500 New York, New York City Transitional Finance Authority, Series 2003, (MBIA-IBC Insured, Lloyds TSB Bank PLC SBPA), 1.670%** 11/01/08...................................... 08/06/04 1,900 1.00 1,900 3.0 1,900 Puerto Rico Commonwealth GO, Series 2001, (FSA Insured, Bank of New York Liquidity Facility), 1.350%** 07/01/27...................................... 05/27/04 1,500 1.00 1,500 2.3 1,500
--------------- **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. These securities are subject to demand features of either one, seven or thirty days. 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 aggregate amount of indebtedness pursuant to the Agreement of no less than 4 to 1. The Funds had no borrowings outstanding at September 30, 2004. 8. INCOME TAXES Information on the tax components of capital at September 30, 2004 is as follows:
NET TAX COST OF UNREALIZED INVESTMENTS GROSS TAX GROSS TAX APPRECIATION/ FOR TAX UNREALIZED UNREALIZED (DEPRECIATION) PURPOSES APPRECIATION DEPRECIATION ON INVESTMENTS FUND (000) (000) (000) (000) --------------------------------------------------------------------------------------------------------------------------- Cash Reserves............................................... $54,371,395 $-- $-- $-- Money Market Reserves....................................... 9,129,485 -- -- -- Treasury Reserves........................................... 9,239,852 -- -- -- Government Reserves......................................... 3,699,920 -- -- -- Municipal Reserves.......................................... 5,093,169 -- -- -- Tax-Exempt Reserves......................................... 2,748,797 -- -- -- California Tax-Exempt Reserves.............................. 1,858,245 -- -- -- New York Tax-Exempt Reserves................................ 64,151 -- -- --
Net tax unrealized appreciation/depreciation on investments was due to wash sale adjustments. At March 31, 2004, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING EXPIRING IN 2005 IN 2006 IN 2007 IN 2010 IN 2011 IN 2012 FUND (000) (000) (000) (000) (000) (000) ------------------------------------------------------------------------------------------------------------------------------- Cash Reserves............................................ $23 $-- $41 $-- $67 $1,292 Treasury Reserves........................................ 8 9 -- 17 21 --
160 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) During the year ended March 31, 2004, the following Funds had capital losses expired or utilized capital losses as follows:
CAPITAL CAPITAL LOSSES EXPIRED LOSSES UTILIZED FUND (000) (000) ----------------------------------------------------------------------------------------------- Cash Reserves............................................... $256 $-- Treasury Reserves........................................... -- 37
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, 2004, the following Funds have elected to defer losses occurring between November 1, 2003 and March 31, 2004 under these rules, as follows:
CAPITAL LOSSES DEFERRED FUND (000) ---------------------------------------------------------------------------- Tax-Exempt Reserves......................................... $21
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2005. 9. CONTINGENCIES AND OTHER 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 various mutual funds, including other funds in the Nations Funds family. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and "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 Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name the Funds, among others, as defendants (see Civil Litigation below). The independent Trustees of the Funds have engaged independent legal counsel and, through them, accountants to evaluate the extent of any monetary impact to any Funds from discretionary market timing or from late trading. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds (the "Boards") 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 the Funds in connection with this matter. Settlements in Principle with Regulators: On March 15, 2004, Bank of America Corporation and FleetBoston Financial Corporation ("Fleet") entered into agreements in principle (each an "Agreement" and together, the "Agreements") with the NYAG and the SEC over matters related to improper late trading and market timing of mutual funds. As noted below, on April 1, 2004, Bank of America Corporation acquired Fleet. Under the Agreements, Bank of America Corporation has agreed to pay $250 million in total disgorgement and restitution and a penalty of $125 million and FleetBoston Financial Corporation agreed to pay $70 million in total disgorgement and restitution and a penalty of $70 million. In addition, the Agreement with the NYAG requires an aggregate reduction in mutual fund fees of $32 million per year for five years across selected non-money market funds in the Nations Funds and Fleet mutual fund complexes. The final amount payable as restitution and whether such restitution will be effectuated through a Fund or directly to shareholders, has not yet been determined. 161 NATIONS MONEY MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) When finalized, the Agreements will conclude the investigation by the NYAG and the SEC of Bank of America Corporation and its affiliates relating to late trading and market timing activities, provided that the NYAG and the SEC have reserved the right to continue their respective investigations of and actions against individuals. Management believes that the Agreements, and their finalization, will not have a material adverse effect, on any Fund's financial positions or results of operations. However, a review by the accountants engaged to investigate these matters for the Boards remains ongoing. Accordingly, an estimate of the financial impact on any Fund cannot currently be made. Bank of America Corporation Acquisition of Fleet: On April 1, 2004, Bank of America Corporation acquired Fleet. As a result of this acquisition, Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributor, Inc. ("CFDI") are now indirect wholly-owned subsidiaries of Bank of America Corporation. The SEC and NYAG filed proceedings against both CMA and CFDI on February 24, 2004 alleging that they had violated certain provisions of the federal securities laws in connection with trading activity in mutual funds shares and violated certain New York anti-fraud statutes. In order to settle these matters, as noted above, Fleet entered into the March 15, 2004 Agreements with the NYAG and the SEC. In addition, both Bank of America and Fleet committed to use best efforts to implement certain enhanced governance and compliance procedures with respect to advised mutual funds and agreed to the retention of independent consultants to review compliance, control and other policies and procedures relating to their respective mutual fund advisory businesses. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, or if any final settlement includes an injunction against CMA or CFDI prohibiting them from engaging in certain conduct, CMA, CFDI or any company that is an affiliated person of CMA and CFDI could be barred from serving as an investment adviser or distributor for any investment company registered under the Investment Company Act of 1940. As a result of the Fleet acquisition, BACAP and BACAP Distributors are now affiliated persons of CMA and CFDI and, therefore, under these circumstances, could be barred from serving as an investment adviser or distributor for any registered investment company, including the Funds. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, it is expected that BACAP and BACAP Distributors would seek exemptive relief from the SEC to permit them to continue serving as the investment adviser and distributor of the Funds. Civil Litigation: In connection with the events described in detail above, various parties have filed suit against certain Funds, their Boards and/or Bank of America Corporation (and affiliated entities). These cases have been consolidated in a multi-district proceeding and transferred to the Federal District Court in Maryland. These suits and certain regulatory investigations are ongoing. Accordingly, an estimate of the financial impact of this litigation on any Fund, if any, cannot currently be made. 162 Toll free 1.800.626.2275 (institutional investors) Toll free 1.800.321.7854 (individual investors) NATIONS FUNDS MONEYSAR (9/04) 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, 2004 [NATIONS FUNDS LOGO] Guidelines and information about how Nations Funds voted proxies for securities they held during the 12-month period ended June 30, 2004 are available without charge at www.nationsfunds.com and at http://www.sec.gov or by calling 1.800.321.7854. Beginning with the Funds' fiscal quarter ending December 31, 2004, the Funds will file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds' Forms N-Q will also be available on our website at www.nationsfunds.com. 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 US economy grew at a healthy pace during the six-month period that ended September 30, 2004. Despite uncertainty about job growth, consumer spending and rising energy prices, gross domestic product growth was comfortably above the long-term historical average of 3.0%. In general, corporate profits continued to rise, which provided companies with the resources to increase spending. Industrial production rose; factories used more of their capacity; and spending on technology, capital equipment and construction all increased. STOCKS FALTER WHILE BONDS EKE OUT A POSITIVE RETURN Although this environment provided a solid foundation for the financial markets, the stock market was unsettled by external events such as the fall presidential election, renewed terror threats and continued fighting in Iraq. As a result, many investors remained on the sidelines. The S&P 500 Index(1) and the Russell 3000 Index(2), two broad measures of US stock market performance, returned negative 0.18% and negative 0.60% respectively, over this six-month reporting period. The broad markets for small- and mid-cap stocks and value stocks did somewhat better. The Russell MidCap Value Index returned 3.50%(3) and the Russell 2000 Value Index returned 1.00%.(4) Energy stocks were the period's strongest performers. They gained more than 19% during the period, as measured by Standard & Poor's. The bond market encountered considerable volatility when job growth picked up in the spring and investors began to anticipate higher short-term interest rates. However, a shaky stock market and some weak economic data gave the bond market a boost in the final months of the period. The Lehman Brothers Aggregate Bond Index eked out a positive return of 0.68% over this six-month reporting period.(5) High-yield bonds, which can be less sensitive to changing interest rates, led the fixed-income markets. The Merrill Lynch US High Yield, Cash Pay Index returned 3.72% over the same period.(6) LOOKING AHEAD Although the soft patch encountered by the economy during the summer months appears to be behind us, a meaningful acceleration of economic activity does not appear to be in the works. In fact, leading economic indicators suggest that growth remains in line with the economy's long-term average. Job growth has become increasingly important to the outlook for consumer income and spending, and there the trend is encouraging. Although monthly data has been volatile over the past year, year-over-year data shows that payroll growth has swung from a decline of 1% to 2% in 2002 to an increase of 1% in 2004. (1)The S&P 500 Index is an unmanaged index of 500 widely held common socks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (2)The Russell 3000 Index is an unmanaged index that tracks the performance of the 3,000 largest US companies based on total market capitalization. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (3)The Russell MidCap Value Index is an unmanaged index that measures the performance of those Russell MidCap Index companies with lower price-to-book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (4)The Russell 2000 Value Index is an unmanaged index that tracks the performance of those Russell 2000 companies with lower price-to book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (5)The Lehman Brothers Aggregate Bond Index is a market value-weighted index that tracks fixed-rate, publicly placed, dollar-denominated, and non-convertible investment grade debt issues. (6)The Merrill Lynch US High Yield, Cash Pay Index is an unmanaged index that tracks the performance of non-investment-grade corporate bonds. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... In this environment, we believe that the outlook is slightly better for stocks than for bonds. Although long-term Treasury yields have declined in recent months, we expect them to move higher once the Federal Reserve Board completes its cycle of short-term rate increases. We expect to see short-term rates rise to 3% to 4% and long-term rates go to 5% or higher. Higher long-term rates would be a challenge for the bond market because yields and bond prices move in opposite directions. We expect the outlook for the stock market to improve if and when some of the current uncertainties are resolved. Certainly if the price of oil retreats from its current high level, it would take some pressure off consumers and the market would be one of the likely beneficiaries. STRATEGIC THINKING ABOUT YOUR INVESTMENTS Regardless of the short-term outlook for stocks and bonds, we believe that there are certain basic principles that can help you achieve your long-term financial goals. Think long term. Have a plan for investing, and stick to it. Own a diversified mix of investments. Add to your investments regularly. If you can incorporate these four principles into your investment plan, you will find it easier to ignore the short-term gyrations of the market. If you work with an investment professional, be sure to consult him or her if you have questions or concerns about your investments. An investment professional can be an important ally in helping you keep your financial goals on track. As always, we thank you for investing in Nations Funds and we look forward to serving your financial needs in the years to come. Sincerely, -s- WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS -s- KEITH T. BANKS KEITH T. BANKS PRESIDENT OF NATIONS FUNDS PRESIDENT OF BANC OF AMERICA CAPITAL MANAGEMENT, LLC September 30, 2004 The information and data provided in this analysis are derived from sources that we deem to be reliable and accurate. The opinions expressed here are strictly those of the contributors and are subject to change without notice. TABLE OF CONTENTS DISCLOSURE OF FUND EXPENSES AND PORTFOLIO HOLDINGS Nations Global Value Fund 3 Nations International Value Fund 5 Nations International Equity Fund 7 Nations Marsico International Opportunities Fund 9 FINANCIAL STATEMENTS Schedule of investments 11 Statements of assets and liabilities 21 Statements of operations 22 Statements of changes in net assets 24 Schedules of capital stock activity 26 Financial highlights 30 Notes to financial statements 38 Nations Master Investment Trust 48 Schedule of investments -- Nations International Value Master Portfolio 49 Statement of assets and liabilities 52 Statement of operations 53 Statement of changes in net assets 54 Financial highlights 54 Notes to financial statements 55
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 2003.
[This page intentionally left blank] NATIONS GLOBAL VALUE FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 981.00 $ 6.31 Hypothetical**.............................................. $1,000.00 $1,018.70 $ 6.43 INVESTOR A Actual...................................................... $1,000.00 $ 980.00 $ 7.54 Hypothetical**.............................................. $1,000.00 $1,017.45 $ 7.69 INVESTOR B Actual...................................................... $1,000.00 $ 976.20 $11.25 Hypothetical**.............................................. $1,000.00 $1,013.69 $11.46 INVESTOR C Actual...................................................... $1,000.00 $ 976.20 $11.25 Hypothetical**.............................................. $1,000.00 $1,013.69 $11.46
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 1.27%, Investor A 1.52%, Investor B 2.27% and Investor C 2.27%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 3 NATIONS GLOBAL VALUE FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 33.1% United States 12.0% Japan 11.7% United Kingdom 10.5% Netherlands 8.3% Germany 5.0% Switzerland 4.6% Spain 3.2% Mexico 2.7% Brazil 2.5% Italy 6.4% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Nestle SA (REGD) 2.9% ------------------------------------------------- 2 GlaxoSmithKline plc 2.8% ------------------------------------------------- 3 Schering-Plough Corporation 2.8% ------------------------------------------------- 4 BAE Systems plc 2.7% ------------------------------------------------- 5 Unilever NV 2.5% ------------------------------------------------- 6 Safeway Inc. 2.4% ------------------------------------------------- 7 ING Groep NV 2.3% ------------------------------------------------- 8 BellSouth Corporation 2.2% ------------------------------------------------- 9 Marks & Spencer Group plc 2.2% ------------------------------------------------- 10 Albertson's, Inc. 2.2% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
4 NATIONS INTERNATIONAL VALUE FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 998.60 $ 5.66 Hypothetical**.............................................. $1,000.00 $1,019.40 $ 5.72 INVESTOR A Actual...................................................... $1,000.00 $ 997.60 $ 6.91 Hypothetical**.............................................. $1,000.00 $1,018.15 $ 6.98 INVESTOR B Actual...................................................... $1,000.00 $ 993.60 $10.65 Hypothetical**.............................................. $1,000.00 $1,014.39 $10.76 INVESTOR C Actual...................................................... $1,000.00 $ 993.60 $10.65 Hypothetical**.............................................. $1,000.00 $1,014.39 $10.76
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 1.13%, Investor A 1.38%, Investor B 2.13% and Investor C 2.13%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 5 NATIONS INTERNATIONAL VALUE FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 17.9% United Kingdom 17.1% Japan 10.1% Germany 8.1% Netherlands 6.4% Spain 6.2% Brazil 6.1% Switzerland 5.2% Singapore 4.9% Italy 3.0% South Korea 15.0% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 GlaxoSmithKline plc 3.1% ------------------------------------------------- 2 Deutsche Telekom AG, ADR 2.8% ------------------------------------------------- 3 Telefonica SA, ADR 2.8% ------------------------------------------------- 4 Telecom Italia SpA, ADR 2.6% ------------------------------------------------- 5 Petroleo Brasileiro SA, ADR 2.4% ------------------------------------------------- 6 Centrais Electricas Brasileiras SA, ADR 2.3% ------------------------------------------------- 7 Portugal Telecommunications, SGPS, SA, ADR 2.3% ------------------------------------------------- 8 Nestle SA (REGD) 2.3% ------------------------------------------------- 9 Banca Intesa SpA 2.2% ------------------------------------------------- 10 Unilever NV 2.2% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
6 NATIONS INTERNATIONAL EQUITY FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 981.90 $ 5.27 Hypothetical**.............................................. $1,000.00 $1,019.75 $ 5.37 INVESTOR A Actual...................................................... $1,000.00 $ 981.70 $ 6.51 Hypothetical**.............................................. $1,000.00 $1,018.50 $ 6.63 INVESTOR B Actual...................................................... $1,000.00 $ 977.90 $10.21 Hypothetical**.............................................. $1,000.00 $1,014.74 $10.40 INVESTOR C Actual...................................................... $1,000.00 $ 977.70 $10.21 Hypothetical**.............................................. $1,000.00 $1,014.74 $10.40
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 1.06%, Investor A 1.31%, Investor B 2.06% and Investor C 2.06%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 7 NATIONS INTERNATIONAL EQUITY FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 24.3% United Kingdom 12.8% Japan 9.7% France 8.9% Switzerland 4.8% Netherlands 4.6% Spain 3.7% South Korea 3.1% United States 3.0% Canada 2.9% Germany 22.2% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Samsung Electronics Company, Ltd. 2.7% ------------------------------------------------- 2 Reed Elsevier plc 2.2% ------------------------------------------------- 3 HSBC Holdings plc 2.0% ------------------------------------------------- 4 Royal Bank of Scotland plc 1.9% ------------------------------------------------- 5 UBS AG (REGD) 1.9% ------------------------------------------------- 6 Roche Holding AG 1.9% ------------------------------------------------- 7 Vodafone Group plc 1.9% ------------------------------------------------- 8 Renault SA 1.9% ------------------------------------------------- 9 Total SA 1.9% ------------------------------------------------- 10 Tyco International Ltd. 1.5% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
8 NATIONS MARSICO INTERNATIONAL OPPORTUNITIES FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 956.80 $ 5.49 Hypothetical**.............................................. $1,000.00 $1,019.45 $ 5.67 INVESTOR A Actual...................................................... $1,000.00 $ 955.50 $ 6.72 Hypothetical**.............................................. $1,000.00 $1,018.20 $ 6.93 INVESTOR B Actual...................................................... $1,000.00 $ 951.50 $10.37 Hypothetical**.............................................. $1,000.00 $1,014.44 $10.71 INVESTOR C Actual...................................................... $1,000.00 $ 952.40 $10.38 Hypothetical**.............................................. $1,000.00 $1,014.44 $10.71
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 1.12%, Investor A 1.37%, Investor B 2.12% and Investor C 2.12%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 9 NATIONS MARSICO INTERNATIONAL OPPORTUNITIES FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 18.7% United Kingdom 13.9% Japan 11.2% Switzerland 7.3% France 6.2% United States 4.3% Bermuda 3.9% Germany 3.1% Australia 2.9% South Korea 2.8% Canada 25.7% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 HSBC Holdings plc 4.0% ------------------------------------------------- 2 UBS AG (REGD) 3.9% ------------------------------------------------- 3 Renault SA 3.8% ------------------------------------------------- 4 Roche Holding AG 3.8% ------------------------------------------------- 5 Reed Elsevier plc 3.1% ------------------------------------------------- 6 Tyco International Ltd. 3.0% ------------------------------------------------- 7 Samsung Electronics Company, Ltd. 2.9% ------------------------------------------------- 8 InterContinental Hotels Group plc 2.7% ------------------------------------------------- 9 EMI Group plc 2.7% ------------------------------------------------- 10 NTL Incorporated 2.6% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
10 NATIONS FUNDS Nations Global Value Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMON STOCKS -- 98.7% BELGIUM -- 0.5% 58,346 Interbrew..................................................... $ 1,945 ---------- BRAZIL -- 2.7% 49,700 Brasil Telecom Participacoes SA, ADR.......................... 1,610 127,400 Petroleo Brasileiro SA, ADR................................... 4,067 342,100 Tele Norte Leste Participacoes SA, ADR........................ 4,526 ---------- 10,203 ---------- FRANCE -- 1.8% 587,600 Alcatel SA!!.................................................. 6,867 ---------- GERMANY -- 8.3% 258,100 Bayerische Hypo-und Vereinsbank AG!!@......................... 4,930 156,800 DaimlerChrysler AG (REGD)..................................... 6,456 426,603 Deutsche Telekom AG!!......................................... 7,895 53,510 E.On AG....................................................... 3,938 64,525 Hypo Real Estate Holdings AG!!................................ 2,204 154,700 Volkswagen AG................................................. 5,943 ---------- 31,366 ---------- ITALY -- 2.5% 890,178 Banca Intesa SpA.............................................. 3,383 1,911,493 Telecom Italia SpA............................................ 5,900 ---------- 9,283 ---------- JAPAN -- 12.0% 121,000 Fuji Photo Film Company, Ltd. ................................ 3,974 1,298,000 Hitachi, Ltd. ................................................ 7,843 350,000 Matsushita Electric Industrial Company Ltd. .................. 4,671 596 Millea Holdings, Inc. ........................................ 7,679 755 Mitsubishi Tokyo Financial Group Inc. ........................ 6,295 1,363 Nippon Telegraph and Telephone Corporation.................... 5,429 133,500 Sankyo Company, Ltd. ......................................... 2,822 1,144 Sumitomo Mitsui Financial Group, Inc. ........................ 6,539 ---------- 45,252 ---------- MEXICO -- 3.2% 178,809 Cemex SA de CV, ADR........................................... 5,032 222,000 Telefonos de Mexico SA de CV 'L', ADR......................... 7,164 ---------- 12,196 ---------- NETHERLANDS -- 10.5% 344,479 ABN AMRO Holding NV(a)........................................ 7,826 711,600 Aegon NV...................................................... 7,671
VALUE SHARES (000) ---------------------------------------------------------------------------------------- NETHERLANDS -- (CONTINUED) 80,800 Akzo Nobel NV................................................. $ 2,853 347,283 ING Groep NV(a)............................................... 8,765 374,580 Koninklijke Ahold NV!!........................................ 2,391 136,120 Koninklijke Ahold NV!!@....................................... 869 162,400 Unilever NV................................................... 9,343 ---------- 39,718 ---------- RUSSIA -- 1.3% 40,600 LUKOIL, ADR................................................... 5,034 ---------- SOUTH KOREA -- 1.5% 317,400 KT Corporation, ADR........................................... 5,735 ---------- SPAIN -- 4.6% 567,680 Banco Bilbao Vizcaya Argentaria SA............................ 7,813 92,000 Repsol YPF SA................................................. 2,020 498,341 Telefonica SA................................................. 7,458 ---------- 17,291 ---------- SWITZERLAND -- 5.0% 48,300 Nestle SA (REGD).............................................. 11,062 39,600 Zurich Financial Services AG!!................................ 5,645 15,400 Zurich Financial Services AG!!@............................... 2,195 ---------- 18,902 ---------- UNITED KINGDOM -- 11.7% 463,600 Abbey National plc............................................ 4,698 2,519,100 BAE Systems plc............................................... 10,245 1,664,893 BT Group plc.................................................. 5,415 491,200 GlaxoSmithKline plc........................................... 10,587 1,079,400 J Sainsbury plc............................................... 4,976 1,359,961 Marks & Spencer Group plc(a).................................. 8,441 ---------- 44,362 ---------- UNITED STATES -- 33.1% 345,900 Albertson's, Inc. ............................................ 8,277 120,100 Altria Group, Inc. ........................................... 5,650 312,800 BellSouth Corporation......................................... 8,484 274,000 Bristol-Myers Squibb Company.................................. 6,486 78,400 CIT Group Inc. ............................................... 2,931 479,800 El Paso Corporation........................................... 4,409 370,700 Ford Motor Company............................................ 5,208 135,100 Goodyear Tire & Rubber Company!!(a)........................... 1,451 72,700 J.P. Morgan Chase & Company................................... 2,888 130,200 Loews Corporation............................................. 7,617 217,900 Merck & Company, Inc. ........................................ 7,191 462,900 Safeway Inc.!!................................................ 8,939 285,500 SBC Communications Inc. ...................................... 7,409 554,900 Schering-Plough Corporation................................... 10,576 356,400 Sprint Corporation (FON Group)................................ 7,174 509,400 Tenet Healthcare Corporation!!................................ 5,496 443,619 The Kroger Company!!.......................................... 6,885 127,200 Toys R Us, Inc.!!............................................. 2,257
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations Global Value Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- UNITED STATES -- (CONTINUED) 201,500 Unisys Corporation............................................ $ 2,079 43,900 UST Inc. ..................................................... 1,767 156,700 Verizon Communications Inc. .................................. 6,171 376,000 Xerox Corporation!!........................................... 5,294 ---------- 124,639 ---------- TOTAL COMMON STOCKS (Cost $339,791)............................................. 372,793 ---------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 3.1% (Cost $11,888) 11,888 Nations Cash Reserves, Capital Class Shares#.................. 11,888 ---------- TOTAL INVESTMENTS (Cost $351,679*).................................. 101.8% 384,681 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (1.8)% (6,676) ---------- NET ASSETS.......................................... $ 378,005 100.0% ==========
--------------- *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. #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 $6,747. (a) All or a portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004 is $5,191 and $6,377, respectively. ABBREVIATIONS: ADR -- American Depository Receipt LTD -- Limited REGD -- Registered
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations Global Value Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED) At September 30, 2004, sector diversification was as follows:
% OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) --------------------------------------------------------------------------------------------- Common stocks: Telecommunications services................................. 21.2% $ 80,370 Commercial banking.......................................... 11.6 43,688 Pharmaceuticals............................................. 10.0 37,662 Food and drug stores........................................ 8.6 32,337 Insurance................................................... 8.1 30,807 Food products............................................... 5.4 20,405 Automotive.................................................. 5.0 19,058 Financial services.......................................... 3.1 11,696 Oil and gas................................................. 2.9 11,121 Aerospace and defense....................................... 2.7 10,245 Retail -- Specialty......................................... 2.2 8,441 Diversified electronics..................................... 2.1 7,843 Tobacco..................................................... 2.0 7,417 Networking and telecommunications equipment................. 1.8 6,867 Health services............................................. 1.5 5,496 Computers and office equipment.............................. 1.4 5,294 Construction................................................ 1.3 5,032 Household products.......................................... 1.2 4,671 Natural gas distribution.................................... 1.2 4,409 Leisure and recreation products............................. 1.1 3,974 Other....................................................... 4.3 15,960 ----------- --------------- TOTAL COMMON STOCKS......................................... 98.7 372,793 AFFILIATED INVESTMENT COMPANIES............................. 3.1 11,888 ----------- --------------- TOTAL INVESTMENTS........................................... 101.8 384,681 OTHER ASSETS AND LIABILITIES (NET).......................... (1.8) (6,676) ----------- --------------- NET ASSETS.................................................. 100.0% $ 378,005 =========== ===============
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Nations International Value Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE (000) ---------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 99.4% Investment in Nations Master Investment Trust, International Value Master Portfolio*....................... $3,427,359 ---------- TOTAL INVESTMENTS................................... 99.4% 3,427,359 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ 0.6% 20,107 ---------- NET ASSETS.......................................... 100.0% $3,447,466 ==========
--------------- * 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. SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS Nations International Equity Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMON STOCKS -- 93.8% AUSTRALIA -- 0.7% 218,193 The News Corporation Ltd., ADR(a)............................. $ 7,172 ---------- AUSTRIA -- 0.5% 121,734 Erste Bank der osterreichischen Sparkassen AG................. 5,065 ---------- BERMUDA -- 2.2% 206,500 Esprit Holdings Ltd. ......................................... 1,049 343,400 Golar LNG Ltd.!!.............................................. 5,407 477,438 Tyco International Ltd. ...................................... 14,638 ---------- 21,094 ---------- BRAZIL -- 0.9% 155,886 Natura Cosmeticos SA@......................................... 3,152 220,521 Unibanco Holdings, GDR(a)..................................... 5,343 ---------- 8,495 ---------- CANADA -- 3.0% 481,090 Celestica Inc.!!.............................................. 6,101 211,150 Manulife Financial Corporation................................ 9,243 271,017 Shoppers Drug Mart Corporation................................ 7,325 248,161 Talisman Energy Inc. ......................................... 6,430 ---------- 29,099 ---------- CAYMAN ISLANDS -- 0.5% 1,474,500 ASM Pacific Technology Ltd.(a)................................ 4,831 ---------- CHINA -- 1.0% 149,413 China Telecom Corporation, Ltd., ADR.......................... 4,826 99,625 CNOOC Ltd., ADR(a)............................................ 5,240 ---------- 10,066 ---------- FRANCE -- 9.7% 441,380 Axa........................................................... 8,930 127,797 BNP Paribas SA................................................ 8,254 100,420 Carrefour SA.................................................. 4,723 290,760 France Telecom SA@............................................ 7,244 228,782 JC Decaux SA!!................................................ 5,200 222,925 Renault SA.................................................... 18,232 186,876 Sanofi-Synthelabo SA.......................................... 13,555 89,501 Total SA(a)................................................... 18,231 90,730 Vinci SA...................................................... 10,440 ---------- 94,809 ---------- GERMANY -- 2.9% 406,520 Depfa Bank plc................................................ 5,529 114,358 Heidelberger Druckmaschinen AG!!@............................. 3,402 62,459 SAP AG........................................................ 9,736 129,305 Siemens AG (REGD)............................................. 9,476 ---------- 28,143 ---------- HONG KONG -- 0.9% 1,754,000 Henderson Land Development Company, Ltd. ..................... 8,390 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- HUNGARY -- 0.5% 111,383 OTP Bank Rt., ADR@............................................ $ 4,984 ---------- INDIA -- 0.6% 454,982 ICICI Bank Ltd., ADR.......................................... 6,279 ---------- IRELAND -- 1.5% 514,419 Allied Irish Banks plc........................................ 8,568 276,323 CRH plc....................................................... 6,555 ---------- 15,123 ---------- JAPAN -- 12.8% 76,180 ACOM COMPANY, LTD. ........................................... 4,714 308,442 CANON Inc. ................................................... 14,496 269,900 Honda Motor Company Ltd. ..................................... 13,077 1,960 KDDI Corporation.............................................. 9,514 35,700 KEYENCE CORPORATION........................................... 7,508 527,500 KONICA MINOLTA HOLDINGS, INC. ................................ 7,213 521 Millea Holdings, Inc. ........................................ 6,713 1,140 Mitsubishi Tokyo Financial Group Inc.......................... 9,506 876,500 Nissan Motor Company, Ltd. ................................... 9,543 139,950 Promise Company, Ltd. ........................................ 9,155 264,000 Sony Corporation.............................................. 9,006 148,340 TAKEFUJI CORPORATION.......................................... 9,489 220,500 YAMADA DENKI CO., LTD.(a)..................................... 7,602 116,300 Yamanouchi Pharmaceutical Company, Ltd. ...................... 3,757 322,000 YAMATO TRANSPORT CO., LTD. ................................... 4,432 ---------- 125,725 ---------- MEXICO -- 1.1% 199,391 Grupo Televisa SA, ADR........................................ 10,514 ---------- NETHERLANDS -- 4.8% 276,000 ABN AMRO Holding NV........................................... 6,270 384,797 ING Groep NV.................................................. 9,711 411,959 Koninklijke (Royal) Philips Electronics NV.................... 9,436 73,840 Royal Dutch Petroleum Company................................. 3,803 360,198 TPG NV........................................................ 8,800 38,260 Unilever NV................................................... 2,201 459,870 Vedior NV..................................................... 7,111 ---------- 47,332 ---------- NEW ZEALAND -- 1.0% 2,487,705 Telecom Corporation of New Zealand Ltd. ...................... 9,903 ---------- NORWAY -- 1.0% 1,268,000 Telenor ASA................................................... 9,654 ---------- PORTUGAL -- 0.7% 641,490 Portugal Telecom, SGPS, SA (REGD)............................. 7,067 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS Nations International Equity Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- RUSSIA -- 0.6% 40,018 Mobile Telesystems, ADR....................................... $ 5,802 ---------- SINGAPORE -- 1.8% 4,625,000 Capitaland Ltd. .............................................. 4,917 7,289,518 Shangri-La Asia Ltd.@(a)...................................... 7,852 574,000 United Overseas Bank.......................................... 4,671 ---------- 17,440 ---------- SOUTH KOREA -- 3.7% 138,860 KT Corporation................................................ 4,492 65,255 Samsung Electronics Company, Ltd. ............................ 25,955 38,811 SK Telecom Company, Ltd. ..................................... 5,915 ---------- 36,362 ---------- SPAIN -- 4.6% 220,783 Altadis, SA................................................... 7,513 1,385,933 Amadeus Global Travel Distribution SA......................... 10,965 587,700 Enagas........................................................ 7,029 245,419 Sogecable, SA!!(a)............................................ 9,876 620,390 Telefonica SA................................................. 9,285 ---------- 44,668 ---------- SWITZERLAND -- 8.9% 194,079 Credit Suisse Group........................................... 6,194 7,488 Geberit AG.................................................... 5,817 41,553 Nestle SA (REGD).............................................. 9,517 161,970 Novartis AG................................................... 7,549 179,446 Roche Holding AG.............................................. 18,537 141,788 Syngenta AG................................................... 13,512 267,624 UBS AG (REGD)................................................. 18,839 47,720 Zurich Financial Services AG.................................. 6,802 ---------- 86,767 ---------- TAIWAN -- 0.5% 623,649 Taiwan Semiconductor Manufacturing Company Ltd., ADR.......... 4,453 ---------- UNITED KINGDOM -- 24.3% 842,400 Aviva plc..................................................... 8,346 722,500 BAA plc....................................................... 7,236 1,702,900 BAE Systems plc............................................... 6,926 398,653 BOC Group plc................................................. 6,377 387,049 Boots Group plc............................................... 4,496 964,900 British Airways plc!!......................................... 3,623 563,107 British American Tobacco plc.................................. 8,162 2,159,300 BT Group plc.................................................. 7,023 601,368 Cadbury Schweppes plc......................................... 4,625 143,912 Carnival plc.................................................. 7,075 714,288 Diageo plc.................................................... 8,919 3,214,188 EMI Group plc................................................. 12,839 1,026,295 FirstGroup plc................................................ 5,451 418,010 GlaxoSmithKline plc........................................... 9,009 1,208,374 HSBC Holdings plc............................................. 19,176 1,137,035 InterContinental Hotels Group plc............................. 12,932 1,663,525 Kingfisher plc................................................ 9,279 971,400 Lloyds TSB Group plc.......................................... 7,585 2,463,049 Reed Elsevier plc............................................. 21,616 1,075,000 Reuters Group plc............................................. 6,060
VALUE SHARES (000) ---------------------------------------------------------------------------------------- UNITED KINGDOM -- (CONTINUED) 654,122 Royal Bank of Scotland plc.................................... $ 18,890 1,037,000 Shell Transport and Trading Company plc....................... 7,609 1,062,400 Unilever plc.................................................. 8,646 7,636,434 Vodafone Group plc............................................ 18,275 499,100 Wolseley plc.................................................. 8,521 ---------- 238,696 ---------- UNITED STATES -- 3.1% 199,674 NTL Incorporated!!............................................ 12,394 107,400 Synthes, Inc. ................................................ 11,697 122,075 Wynn Resorts, Ltd.!!.......................................... 6,310 ---------- 30,401 ---------- TOTAL COMMON STOCKS (Cost $797,231)............................................. 918,334 ---------- PREFERRED STOCKS -- 0.8% AUSTRALIA -- 0.8% (Cost $8,358) 261,100 The News Corporation Ltd., ADR................................ 8,180 ---------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 7.4% (Cost $72,090) 72,090 Nations Cash Reserves, Capital Class Shares#.................. 72,090 ---------- TOTAL INVESTMENTS (Cost $877,679*).................................. 102.0% 998,604 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (2.0)% (19,537) ---------- NET ASSETS.......................................... 100.0% $ 979,067 ==========
--------------- *Federal income tax information (see Note 9). @Portions of these securities are 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 on foreign exchanges or 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 8). The portion that represents cash collateral is $34,226. (a) All or a portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004 is $25,486 and $33,136, respectively. ABBREVIATIONS: ADR -- American Depository Receipt GDR -- Global Depository Receipt LTD -- Limited REGD -- Registered
SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS Nations International Equity Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED) At September 30, 2004, sector diversification was as follows:
% OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) --------------------------------------------------------------------------------------------- Common stocks: Commercial banking.......................................... 10.6% $ 104,591 Telecommunications services................................. 10.0 99,000 Pharmaceuticals............................................. 5.4 52,407 Automotive.................................................. 4.2 40,852 Insurance................................................... 4.1 40,034 Integrated oil.............................................. 3.6 34,883 Lodging and recreation...................................... 3.5 34,169 Diversified electronics..................................... 3.3 32,056 Broadcasting and cable...................................... 3.1 30,080 Media....................................................... 2.9 28,775 Publishing and advertising.................................. 2.7 26,816 Electronics................................................. 2.7 26,044 Investment services......................................... 2.6 25,033 Food products............................................... 2.6 24,989 Railroads, trucking and shipping............................ 2.5 24,090 Construction................................................ 2.3 22,812 Computers and office equipment.............................. 2.2 21,709 Financial services.......................................... 1.9 18,866 Commercial services......................................... 1.8 18,076 Diversified manufacturing................................... 1.7 16,984 Other....................................................... 20.1 196,068 ----------- --------------- TOTAL COMMON STOCKS......................................... 93.8 918,334 PREFERRED STOCKS............................................ 0.8 8,180 AFFILIATED INVESTMENT COMPANIES............................. 7.4 72,090 ----------- --------------- TOTAL INVESTMENTS........................................... 102.0 998,604 OTHER ASSETS AND LIABILITIES (NET).......................... (2.0) (19,537) ----------- --------------- NET ASSETS.................................................. 100.0% $ 979,067 =========== ===============
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS Nations Marsico International Opportunities Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ----------------------------------------------------------------------------------------- COMMON STOCKS -- 89.7% AUSTRALIA -- 1.5% 318,751 The News Corporation Ltd., ADR(a)............................. $ 10,477 ---------- AUSTRIA -- 1.0% 177,821 Erste Bank der osterreichischen Sparkassen AG................. 7,399 ---------- BERMUDA -- 4.3% 305,000 Esprit Holdings Ltd. ......................................... 1,549 460,483 Golar LNG Ltd.!!.............................................. 7,251 703,754 Tyco International Ltd. ...................................... 21,577 ---------- 30,377 ---------- BRAZIL -- 1.7% 214,111 Natura Cosmeticos SA@......................................... 4,329 316,651 Unibanco Holdings, GDR........................................ 7,672 ---------- 12,001 ---------- CANADA -- 2.8% 398,481 Shoppers Drug Mart Corporation................................ 10,769 362,233 Talisman Energy Inc. ......................................... 9,385 ---------- 20,154 ---------- CAYMAN ISLANDS -- 1.0% 2,115,500 ASM Pacific Technology Ltd.(a)................................ 6,931 ---------- CHINA -- 2.1% 218,124 China Telecom Corporation, Ltd., ADR(a)....................... 7,045 145,072 CNOOC Ltd., ADR............................................... 7,631 ---------- 14,676 ---------- FRANCE -- 7.3% 337,957 JC Decaux SA!!................................................ 7,681 330,588 Renault SA.................................................... 27,038 86,385 Total SA...................................................... 17,595 ---------- 52,314 ---------- GERMANY -- 3.9% 90,919 SAP AG........................................................ 14,172 188,509 Siemens AG (REGD)............................................. 13,813 ---------- 27,985 ---------- HUNGARY -- 1.0% 163,784 OTP Bank Rt., ADR@............................................ 7,329 ---------- INDIA -- 1.3% 662,274 ICICI Bank Ltd., ADR.......................................... 9,139 ----------
VALUE SHARES (000) ----------------------------------------------------------------------------------------- JAPAN -- 13.9% 145,000 CANON Inc. ................................................... $ 6,815 2,890 KDDI Corporation.............................................. 14,028 52,800 KEYENCE CORPORATION........................................... 11,105 761 Millea Holdings, Inc. ........................................ 9,805 1,681 Mitsubishi Tokyo Financial Group Inc. ........................ 14,017 1,245,000 Nissan Motor Company, Ltd. ................................... 13,555 385,400 Sony Corporation.............................................. 13,148 325,200 YAMADA DENKI CO., LTD. ....................................... 11,212 459,000 YAMATO TRANSPORT CO., LTD. 6,318 ---------- 100,003 ---------- MEXICO -- 2.2% 291,045 Grupo Televisa SA, ADR........................................ 15,347 ---------- RUSSIA -- 1.2% 58,130 Mobile Telesystems, ADR....................................... 8,428 ---------- SINGAPORE -- 2.6% 6,818,000 Capitaland Ltd. .............................................. 7,249 10,483,665 Shangri-La Asia Ltd.@(a)...................................... 11,293 ---------- 18,542 ---------- SOUTH KOREA -- 2.9% 51,190 Samsung Electronics Company, Ltd. ............................ 20,360 ---------- SPAIN -- 2.0% 360,172 Sogecable, SA!!(a)............................................ 14,494 ---------- SWITZERLAND -- 11.2% 60,982 Nestle SA (REGD).............................................. 13,967 261,207 Roche Holding AG.............................................. 26,985 118,206 Syngenta AG................................................... 11,265 390,643 UBS AG (REGD)................................................. 27,499 ---------- 79,716 ---------- TAIWAN -- 0.9% 912,176 Taiwan Semiconductor Manufacturing Company Ltd., ADR.......... 6,513 ---------- UNITED KINGDOM -- 18.7% 564,965 Boots Group plc............................................... 6,563 212,130 Carnival plc.................................................. 10,429 4,737,780 EMI Group plc................................................. 18,925 1,776,871 HSBC Holdings plc............................................. 28,198 1,676,013 InterContinental Hotels Group plc............................. 19,062 2,486,776 Reed Elsevier plc............................................. 21,825
SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS Nations Marsico International Opportunities Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ----------------------------------------------------------------------------------------- UNITED KINGDOM -- (CONTINUED) 493,792 Royal Bank of Scotland plc@................................... $ 14,261 6,139,227 Vodafone Group plc............................................ 14,693 ---------- 133,956 ---------- UNITED STATES -- 6.2% 293,332 NTL Incorporated!!............................................ 18,207 158,904 Synthes, Inc. ................................................ 17,307 167,621 Wynn Resorts, Ltd.!!.......................................... 8,664 ---------- 44,178 ---------- TOTAL COMMON STOCKS (Cost $566,446)............................................. 640,319 ---------- PREFERRED STOCKS -- 1.6% AUSTRALIA -- 1.6% (Cost $12,007) 375,000 The News Corporation Ltd., ADR................................ 11,749 ---------- SHARES (000) ---------- AFFILIATED INVESTMENT COMPANIES -- 11.1% (Cost $79,023) 79,023 Nations Cash Reserves, Capital Class Shares#.................. 79,023 ---------- TOTAL INVESTMENTS (Cost $657,476*).................................. 102.4% 731,091 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (2.4)% (17,271) ---------- NET ASSETS.......................................... 100.0% $ 713,820 ==========
--------------- *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. #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 $37,642. (a) All or a portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004 is $31,053 and $36,714, respectively. ABBREVIATIONS: ADR -- American Depository Receipt GDR -- Global Depository Receipt LTD -- Limited REGD -- Registered
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS Nations Marsico International Opportunities Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED) At September 30, 2004, sector diversification was as follows:
% OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) --------------------------------------------------------------------------------------------- Common stocks: Commercial banking.......................................... 12.2% $ 88,015 Lodging and recreation...................................... 6.9 49,448 Telecommunications services................................. 6.2 44,194 Broadcasting and cable...................................... 6.2 44,031 Automotive.................................................. 5.7 40,593 Media....................................................... 4.7 33,419 Publishing and advertising.................................. 4.1 29,506 Investment services......................................... 3.9 27,499 Pharmaceuticals............................................. 3.8 26,985 Integrated oil.............................................. 3.5 25,226 Diversified manufacturing................................... 3.5 24,918 Electronics................................................. 3.4 24,360 Conglomerates............................................... 3.0 21,577 Diversified electronics..................................... 2.9 20,360 Food and drug stores........................................ 2.4 17,332 Medical devices and supplies................................ 2.4 17,307 Software.................................................... 2.0 14,172 Food products............................................... 2.0 13,967 Railroads, trucking and shipping............................ 1.9 13,569 Semiconductors.............................................. 1.9 13,444 Other....................................................... 7.1 50,397 ----------- --------------- TOTAL COMMON STOCKS......................................... 89.7 640,319 PREFERRED STOCKS............................................ 1.6 11,749 AFFILIATED INVESTMENT COMPANIES............................. 11.1 79,023 ----------- --------------- TOTAL INVESTMENTS........................................... 102.4 731,091 OTHER ASSETS AND LIABILITIES (NET).......................... (2.4) (17,271) ----------- --------------- NET ASSETS.................................................. 100.0% $ 713,820 =========== ===============
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2004
GLOBAL INTERNATIONAL INTERNATIONAL INTERNATIONAL VALUE VALUE EQUITY OPPORTUNITIES ----------------------------------------------------------------------------------- (IN THOUSANDS) ASSETS: Non-affiliated investments, at cost........ $ 339,791 $ 3,120,262 $ 805,589 $ 578,453 Affiliated investments, at cost............ 11,888 -- 72,090 79,023 ----------------- ----------------- ----------------- ----------------- Non-affiliated investments, at value....... 372,793 3,427,359 926,514 652,068 Affiliated investments, at value........... 11,888 -- 72,090 79,023 Cash....................................... -- -- 859 2,001 Foreign currency (cost $89, $--, $277 and $--, respectively)....................... 89 -- 277 -- Receivable for investment securities sold..................................... -- -- 14,925 20,547 Receivable for Fund shares sold............ -- 25,194 2 -- Dividends receivable....................... 775 -- 2,578 1,859 ----------------- ----------------- ----------------- ----------------- Total assets........................... 385,545 3,452,553 1,017,245 755,498 ----------------- ----------------- ----------------- ----------------- LIABILITIES: Collateral on securities loaned............ (6,747) -- (34,226) (37,642) Investment advisory fee payable............ (283) -- (562) (455) Administration fee payable................. (69) (473) (174) (125) Due to custodian........................... (162) -- -- -- Shareholder servicing and distribution fees payable.................................. (131) (398) (14) (24) Payable for investment securities purchased................................ -- -- (2,725) (3,191) Payable for Fund shares redeemed........... -- (3,571) (6) -- Accrued Trustees' fees and expenses........ (28) (45) (141) (36) Accrued expenses and other liabilities..... (120) (600) (330) (205) ----------------- ----------------- ----------------- ----------------- Total liabilities...................... (7,540) (5,087) (38,178) (41,678) ----------------- ----------------- ----------------- ----------------- NET ASSETS................................. $ 378,005 $ 3,447,466 $ 979,067 $ 713,820 ================= ================= ================= ================= NET ASSETS CONSIST OF: Undistributed net investment income........ $ 2,906 $ 39,522 $ 9,635 $ 2,494 Accumulated net realized gain/(loss) on investments.............................. 11,825 102,161 (101,961) (4,261) Unrealized appreciation/(depreciation) on: Investments.............................. 33,002 307,097 120,925 73,615 Foreign currency translations............ 2 -- 8 51 Paid-in capital............................ 330,270 2,998,686 950,460 641,921 ----------------- ----------------- ----------------- ----------------- NET ASSETS................................. $ 378,005 $ 3,447,466 $ 979,067 $ 713,820 ================= ================= ================= ================= PRIMARY A SHARES: Net assets................................. $ 128,931,215 $ 2,390,812,155 $ 942,468,341 $ 661,578,393 Number of shares outstanding............... 11,341,228 115,600,601 79,102,037 62,708,813 Net asset value and redemption price per share.................................... $ 11.37 $ 20.68 $ 11.91 $ 10.55 INVESTOR A SHARES: Net assets................................. $ 122,064,593 $ 792,614,658 $ 25,712,543 $ 29,042,991 Number of shares outstanding............... 10,804,748 38,496,628 2,183,660 2,782,101 Net asset value and redemption price per share.................................... $ 11.30 $ 20.59 $ 11.77 $ 10.44 Maximum sales charge....................... 5.75% 5.75% 5.75% 5.75% Maximum offering price per share........... $ 11.99 $ 21.85 $ 12.49 $ 11.08 INVESTOR B SHARES: Net assets................................. $ 32,794,350 $ 105,596,716 $ 8,800,824 $ 11,268,008 Number of shares outstanding............... 2,960,158 5,221,662 796,376 1,114,036 Net asset value and redemption price per share+................................... $ 11.08 $ 20.22 $ 11.05 $ 10.11 INVESTOR C SHARES: Net assets................................. $ 94,215,020 $ 158,442,507 $ 2,085,162 $ 11,930,400 Number of shares outstanding............... 8,504,333 7,842,504 190,468 1,179,200 Net asset value and redemption price per share+................................... $ 11.08 $ 20.20 $ 10.95 $ 10.12
--------------- &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2004
GLOBAL INTERNATIONAL INTERNATIONAL INTERNATIONAL VALUE VALUE EQUITY OPPORTUNITIES ----------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $526, $0, $1,610 and $615, respectively)................ $ 6,133 $ -- $ 12,108 $ 5,819 Dividend income from affiliated funds............... 44 -- 213 258 Interest............................................ -- -- 2 -- Securities lending.................................. 91 -- 308 321 Allocated from Portfolio: Dividends (Net of foreign withholding taxes of $6,268)+.......................................... -- 56,361 -- -- Dividend income from affiliated funds+.............. -- 358 -- -- Securities lending+................................. -- 689 -- -- Expenses (Net of waiver of $0, $1,158, $0 and $0, respectively)+.................................... -- (15,344) -- -- -------------- -------------- -------------- -------------- Total investment income......................... 6,268 42,064 12,631 6,398 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee............................. 1,766 -- 3,768 2,518 Administration fee.................................. 431 2,898 1,037 692 Transfer agent fees................................. 114 773 127 76 Custodian fees...................................... 45 -- 230 104 Legal and audit fees................................ 54 48 56 55 Registration and filing fees........................ 20 33 27 26 Trustees' fees and expenses......................... 12 5 12 12 Interest expense.................................... -- -- --* -- Printing expense.................................... 37 104 35 29 Other............................................... 8 15 50 13 Non-recurring costs (see Note 10)................... -- 631 175 -- Cost assumed by Bank of America Corporation (see Note 10).......................................... -- (631) (175) -- -------------- -------------- -------------- -------------- Subtotal........................................ 2,487 3,876 5,342 3,525 Shareholder servicing and distribution fees: Investor A Shares................................. 156 952 32 30 Investor B Shares................................. 170 533 46 50 Investor C Shares................................. 490 807 10 50 -------------- -------------- -------------- -------------- Total expenses.................................. 3,303 6,168 5,430 3,655 Fees reduced by credits allowed by the custodian (see Note 3)...................................... --* -- (3) (1) Reimbursement from investment adviser (see Note 2)................................................ -- -- (328) -- -------------- -------------- -------------- -------------- Net expenses.................................... 3,303 6,168 5,099 3,654 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME/(LOSS)........................ 2,965 35,896 7,532 2,744 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions............................. 11,908 -- 74,373 (1,319) Security transactions allocated from Portfolio+... -- 141,676 -- -- Foreign currencies and net other assets........... (85) -- (15,153) (368) Foreign currencies and net other assets allocated from Portfolio+................................. -- (599) -- -- -------------- -------------- -------------- -------------- Net realized gain/(loss) on investments............. 11,823 141,077 59,220 (1,687) -------------- -------------- -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities........................................ (23,568) -- (82,529) (25,053) Securities allocated from Portfolio+.............. -- (187,835) -- -- Foreign currencies and net other assets........... 7 -- 103 35 -------------- -------------- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments.................................... (23,561) (187,835) (82,426) (25,018) -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments....................................... (11,738) (46,758) (23,206) (26,705) -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS........................................ $ (8,773) $ (10,862) $ (15,674) $ (23,961) ============== ============== ============== ==============
--------------- + Allocated from Nations International Value Master Portfolio. *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 22 [This page intentionally left blank] 23 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
GLOBAL VALUE --------------------------------- SIX MONTHS ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 2,965 $ 788 Net realized gain/(loss) on investments..................... 11,823 19,822 Net realized gain/(loss) on investments allocated from Portfolio+................................................ -- -- Net change in unrealized appreciation/(depreciation) of investments............................................... (23,561) 113,541 Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+..................... -- -- -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ (8,773) 134,151 Distributions to shareholders from net investment income: Primary A Shares.......................................... -- (669) Investor A Shares......................................... -- (401) Investor B Shares......................................... -- -- Investor C Shares......................................... -- -- Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... (5,638) (1,081) Investor A Shares......................................... (5,116) (998) Investor B Shares......................................... (1,421) (306) Investor C Shares......................................... (4,097) (848) Net increase/(decrease) in net assets from Fund share transactions.............................................. (5,169) 113,819 -------------- -------------- Net increase/(decrease) in net assets....................... (30,214) 243,667 NET ASSETS: Beginning of period......................................... 408,219 164,552 -------------- -------------- End of period............................................... $ 378,005 $ 408,219 ============== ============== Undistributed net investment income/(loss) or (distributions in excess of net investment income) at end of period...... $ 2,906 $ (59) ============== ==============
--------------- + Allocated from Nations International Value Master Portfolio. SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
INTERNATIONAL VALUE INTERNATIONAL EQUITY INTERNATIONAL OPPORTUNITIES ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ------------------------------------------------------------------------------------------------------- $ 35,896 $ 30,977 $ 7,532 $ 7,830 $ 2,744 $ 484 -- -- 59,220 58,090 (1,687) 14,489 141,077 103,776 -- -- -- -- -- -- (82,426) 260,782 (25,018) 99,184 (187,835) 1,577,873 -- -- -- -- -------------- -------------- -------------- -------------- -------------- -------------- (10,862) 1,712,626 (15,674) 326,702 (23,961) 114,157 -- (24,973) -- (9,144) -- (202) -- (6,417) -- (231) -- -- -- (289) -- (45) -- -- -- (417) -- (7) -- -- -- -- -- -- (5,943) (2,407) -- -- -- -- (243) (70) -- -- -- -- (106) (48) -- -- -- -- (103) (24) (106,730) (399,295) 38,131 55,529 197,893 333,861 -------------- -------------- -------------- -------------- -------------- -------------- (117,592) 1,281,235 22,457 372,804 167,537 445,267 3,565,058 2,283,823 956,610 583,806 546,283 101,016 -------------- -------------- -------------- -------------- -------------- -------------- $ 3,447,466 $ 3,565,058 $ 979,067 $ 956,610 $ 713,820 $ 546,283 ============== ============== ============== ============== ============== ============== $ 39,522 $ 3,626 $ 9,635 $ 2,103 $ 2,494 $ (250) ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
GLOBAL VALUE SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------- ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 12 $ 158 5,511 $ 57,989 Issued as reinvestment of dividends....................... 98 1,082 25 277 Redeemed**................................................ (689) (7,984) (1,572) (16,294) ---- ------- ------ -------- Net increase/(decrease)................................... (579) $(6,744) 3,964 $ 41,972 ==== ======= ====== ======== INVESTOR A SHARES: Sold...................................................... 522 $ 5,922 5,783 $ 59,599 Shares issued upon conversion from Investor B shares...... 8 94 3 32 Issued as reinvestment of dividends....................... 282 3,098 82 883 Redeemed**................................................ (603) (6,947) (1,829) (19,308) ---- ------- ------ -------- Net increase/(decrease)................................... 209 $ 2,167 4,039 $ 41,206 ==== ======= ====== ======== INVESTOR B SHARES: Sold...................................................... 34 $ 368 1,051 $ 10,524 Issued as reinvestment of dividends....................... 95 1,028 21 215 Shares redeemed upon conversion into Investor A shares.... (9) (94) (3) (32) Redeemed**................................................ (139) (1,585) (244) (2,538) ---- ------- ------ -------- Net increase/(decrease)................................... (19) $ (283) 825 $ 8,169 ==== ======= ====== ======== INVESTOR C SHARES: Sold...................................................... 132 $ 1,431 3,226 $ 32,565 Issued as reinvestment of dividends....................... 248 2,679 53 548 Redeemed**................................................ (392) (4,419) (1,061) (10,641) ---- ------- ------ -------- Net increase/(decrease)................................... (12) $ (309) 2,218 $ 22,472 ==== ======= ====== ======== Total net increase/(decrease)............................. (401) $(5,169) 11,046 $113,819 ==== ======= ====== ========
--------------- * Amount represents less than 500 shares and/or $500, as applicable. **Net of redemption fees of $--* and $1 for Primary A, $3 and $1 for Investor A, $-- and $--* for Investor B and $-- and $--* for Investor C for the six months ended September 30, 2004 and the year ended March 31, 2004, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERNATIONAL VALUE SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------- -------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 1,601 $ 31,897 3,534 $ 59,636 Issued as reinvestment of dividends....................... -- -- 526 10,033 Redeemed**................................................ (6,168) (124,066) (22,478) (380,125) ------ --------- ------- --------- Net increase/(decrease)................................... (4,567) $ (92,169) (18,418) $(310,456) ====== ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 3,781 $ 76,698 9,233 $ 156,413 Shares issued upon conversion from Investor B shares...... 16 317 10 191 Shares issued upon conversion from Investor C shares...... --* 9 -- -- Issued as reinvestment of dividends....................... -- -- 266 5,055 Redeemed**................................................ (3,713) (74,300) (12,598) (212,015) ------ --------- ------- --------- Net increase/(decrease)................................... 84 $ 2,724 (3,089) $ (50,356) ====== ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 8 $ 168 32 $ 545 Issued as reinvestment of dividends....................... -- -- 12 230 Shares redeemed upon conversion into Investor A shares.... (16) (317) (10) (191) Redeemed**................................................ (312) (6,188) (879) (14,689) ------ --------- ------- --------- Net increase/(decrease)................................... (320) $ (6,337) (845) $ (14,105) ====== ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 70 $ 1,382 194 $ 3,250 Issued as reinvestment of dividends....................... -- -- 14 262 Shares redeemed upon conversion into Investor A shares.... --* (9) Redeemed**................................................ (622) (12,321) (1,724) (27,890) ------ --------- ------- --------- Net increase/(decrease)................................... (552) $ (10,948) (1,516) $ (24,378) ====== ========= ======= ========= Total net increase/(decrease)............................. (5,355) $(106,730) (23,868) $(399,295) ====== ========= ======= =========
--------------- * Amount represents less than 500 shares and/or $500, as applicable. **Net of redemption fees of $2 and $7 for Primary A, $17 and $2 for Investor A, $-- and $--* for Investor B, and $--* and $--* for Investor C for the six months ended September 30, 2004 and the year ended March 31, 2004, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERNATIONAL EQUITY SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 8,557 $100,121 36,951 $ 357,412 Issued as reinvestment of dividends....................... -- -- 369 4,201 Redeemed**................................................ (5,111) (60,174) (31,162) (304,519) ------ -------- ------- --------- Net increase/(decrease)................................... 3,446 $ 39,947 6,158 $ 57,094 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 223 $ 2,608 1,713 $ 16,621 Shares issued upon conversion from Investor B shares...... --* 1 --* 2 Shares issued upon conversion from Investor C shares...... 3 35 -- -- Issued as reinvestment of dividends....................... -- -- 16 183 Redeemed**................................................ (325) (3,801) (1,825) (17,839) ------ -------- ------- --------- Net increase/(decrease)................................... (99) $ (1,157) (96) $ (1,033) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 26 $ 290 78 $ 774 Issued as reinvestment of dividends....................... -- -- 4 41 Shares redeemed upon conversion into Investor A shares.... --* (1) --* (2) Redeemed**................................................ (111) (1,203) (144) (1,369) ------ -------- ------- --------- Net increase/(decrease)................................... (85) $ (914) (62) $ (556) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 30 $ 328 117 $ 1,119 Issued as reinvestment of dividends....................... -- -- --* 4 Shares redeemed upon conversion into Investor A shares.... (3) (35) -- -- Redeemed**................................................ (4) (38) (119) (1,099) ------ -------- ------- --------- Net increase/(decrease)................................... 23 $ 255 (2) $ 24 ====== ======== ======= ========= Total net increase/(decrease)............................. 3,285 $ 38,131 5,998 $ 55,529 ====== ======== ======= =========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. **Net of redemption fees of $1 and $12 for Primary A, $--* and $--* for Investor A, $--* and $--* for Investor B, and $-- and $--* for Investor C for the six months ended September 30, 2004 and the year ended March 31, 2004, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERNATIONAL OPPORTUNITIES SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 19,423 $205,622 35,348 $340,526 Issued as reinvestment of dividends....................... 113 1,155 56 529 Redeemed**................................................ (2,500) (26,328) (3,357) (32,239) ------ -------- ------ -------- Net increase/(decrease)................................... 17,036 $180,449 32,047 $308,816 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 1,151 $ 12,099 1,686 $ 16,791 Shares issued upon conversion from Investor B shares...... 25 256 --* 3 Issued as reinvestment of dividends....................... 16 159 5 44 Redeemed**................................................ (201) (2,102) (228) (2,240) ------ -------- ------ -------- Net increase/(decrease)................................... 991 $ 10,412 1,463 $ 14,598 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 331 $ 3,389 508 $ 4,880 Issued as reinvestment of dividends....................... 8 77 3 31 Shares redeemed upon conversion into Investor A shares.... (26) (256) --* (3) Redeemed**................................................ (27) (280) (92) (892) ------ -------- ------ -------- Net increase/(decrease)................................... 286 $ 2,930 419 $ 4,016 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 450 $ 4,562 680 $ 6,730 Issued as reinvestment of dividends....................... 5 46 1 11 Redeemed**................................................ (51) (506) (34) (310) ------ -------- ------ -------- Net increase/(decrease)................................... 404 $ 4,102 647 $ 6,431 ====== ======== ====== ======== Total net increase/(decrease)............................. 18,717 $197,893 34,576 $333,861 ====== ======== ====== ========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. **Net of redemption fees of $--* and $2 for Primary A, $3 and $--* for Investor A, $1 and $--* for Investor B, and $1 and $--* for Investor C for the six months ended September 30, 2004 and the year ended March 31, 2004, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 29 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 9/30/2004 (unaudited).... $12.10 $ 0.11 $(0.35) $(0.24) $ -- $(0.49) Year ended 3/31/2004...................... 7.21 0.07 4.99 5.06 (0.06) (0.11) 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 9/30/2004 (unaudited).... $12.04 $ 0.10 $(0.35) $(0.25) $ -- $(0.49) Year ended 3/31/2004...................... 7.18 0.05 4.96 5.01 (0.04) (0.11) 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 9/30/2004 (unaudited).... $11.86 $ 0.05 $(0.34) $(0.29) $ -- $(0.49) Year ended 3/31/2004...................... 7.11 (0.03) 4.89 4.86 -- (0.11) 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 9/30/2004 (unaudited).... $11.86 $ 0.05 $(0.34) $(0.29) $ -- $(0.49) Year ended 3/31/2004...................... 7.11 (0.03) 4.89 4.86 -- (0.11) 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 3) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- NET INCREASE RATIO OF RATIO OF NET RATIO OF TOTAL IN NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE FROM NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND REDEMPTION VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE NET DISTRIBUTIONS FEES END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE ASSETS ----------------------------------------------------------------------------------------------------------------------------- $(0.49) $ --## $11.37 (1.90)% $128,931 1.27%+(a) 1.95%+ 8% 1.27%+(a) (0.17) --## 12.10 70.38 144,242 1.30(a) 0.69 28 1.30(a) (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)+ $(0.49) $ --## $11.30 (2.00)% $122,065 1.52%+(a) 1.70%+(b) 8% 1.52%+(a) (0.15) --## 12.04 70.00 127,609 1.55(a) 0.44 28 1.55(a) (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)+ $(0.49) $ -- $11.08 (2.38)% $ 32,794 2.27%+(a) 0.95%+(b) 8% 2.27%+(a) (0.11) --## 11.86 68.56 35,343 2.30(a) (0.31) 28 2.30(a) (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)+ $(0.49) $ -- $11.08 (2.38)% $ 94,215 2.27%+(a) 0.95%+(b) 8% 2.27%+(a) (0.11) --## 11.86 68.56 101,025 2.30(a) (0.31) 28 2.30(a) (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. 31 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET 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 9/30/2004 (unaudited).... $20.71 $0.23 $(0.26) $(0.03) $ -- $ -- Year ended 3/31/2004...................... 11.65 0.19 9.07 9.26 (0.20) -- 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) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $20.64 $0.20 $(0.25) $(0.05) $ -- $ -- Year ended 3/31/2004...................... 11.62 0.15 9.04 9.19 (0.17) -- 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) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited).... $20.35 $0.12 $(0.25) $(0.13) $ -- $ -- Year ended 3/31/2004...................... 11.47 0.02 8.91 8.93 (0.05) -- 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) INVESTOR C SHARES Six months ended 9/30/2004 (unaudited).... $20.33 $0.12 $(0.25) $(0.13) $ -- $ -- Year ended 3/31/2004...................... 11.46 0.02 8.90 8.92 (0.05) -- 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)
--------------- * 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/(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 3) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 1.17% for Primary A Shares, 1.42% for Investor A Shares and 2.17% each for Investor B and Investor C Shares. (c)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 10) is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 1.20% for Primary A Shares, 1.45% for Investor A Shares and 2.20% each for Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------- NET INCREASE RATIO OF RATIO OF NET RATIO OF TOTAL IN NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE FROM NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO 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 ----------------------------------------------------------------------------------------------------------------------------------- $ -- $ --## $20.68 (0.14)% $2,390,812 1.13%+ 2.24%+ -- 1.23%+(c) (0.20) --## 20.71 79.67 2,488,701 1.11 1.14 -- 1.20(b) (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) $ -- $ --## $20.59 (0.24)% $ 792,615 1.38%+ 1.99%+ -- 1.48%+(c) (0.17) --## 20.64 79.17 792,857 1.36 0.89 -- 1.45(b) (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) $ -- $ -- $20.22 (0.64)% $ 105,597 2.13%+ 1.24%+ -- 2.23%+(c) (0.05) --## 20.35 77.89 112,798 2.11 0.14 -- 2.20(b) (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) $ -- $ --## $20.20 (0.64)% $ 158,442 2.13%+ 1.24%+ -- 2.23%+(c) (0.05) --## 20.33 77.85 170,702 2.11 0.14 -- 2.20(b) (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)
SEE NOTES TO FINANCIAL STATEMENTS. 33 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 9/30/2004 (unaudited).... $12.13 $ 0.10 $(0.32) $(0.22) $ -- $ -- Year ended 3/31/2004...................... 8.01 0.13 4.11 4.24 (0.12) -- 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) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $12.00 $ 0.08 $(0.31) $(0.23) $ -- $ -- Year ended 3/31/2004...................... 7.93 0.08 4.09 4.17 (0.10) -- 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) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited).... $11.30 $ 0.03 $(0.28) $(0.25) $ -- $ -- Year ended 3/31/2004...................... 7.50 --## 3.85 3.85 (0.05) -- 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) INVESTOR C SHARES Six months ended 9/30/2004 (unaudited).... $11.20 $ 0.04 $(0.29) $(0.25) $ -- $ -- Year ended 3/31/2004...................... 7.43 --## 3.82 3.82 (0.05) -- 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)
--------------- * 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 ended March 31, 2000. (a)The effect of the custodial expense offset (see Note 3) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The reimbursement from Investment Adviser is included in the ratio of operating expenses to average net assets (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. (c)The effect of interest expense on the operating expense ratio was less than 0.01%. (d)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 1.13% for Primary A Shares, 1.38% for Investor A Shares and 2.13% each for Investor B and Investor C Shares. (e)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 10) is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 1.13% for Primary A Shares, 1.38% for Investor A Shares and 2.13% each for Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- NET INCREASE RATIO OF RATIO OF NET RATIO OF TOTAL IN NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE FROM NET ASSET END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO 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 -------------------------------------------------------------------------------------------------------------------------------- $ -- $ --## $11.91 (1.81)% $942,468 1.06%+(a)(c) 1.62%+ 99% 1.17%+(a)(e) (0.12) --## 12.13 53.06 917,391 1.12(a)(b)(c) 0.99 86 1.15(a)(d) (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 $ -- $ --## $11.77 (1.83)% $ 25,713 1.31%+(a)(c) 1.37%+ 99% 1.42%+(a)(e) (0.10) --## 12.00 52.71 27,396 1.37(a)(b)(c) 0.74 86 1.40(a)(d) (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 $ -- $ --## $11.05 (2.21)% $ 8,801 2.06%+(a)(c) 0.62%+ 99% 2.17%+(a)(e) (0.05) --## 11.30 51.39 9,956 2.12(a)(b)(c) (0.01) 86 2.15(a)(d) (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 $ -- $ -- $10.95 (2.23)% $ 2,085 2.06%+(a)(c) 0.62%+ 99% 2.17%+(a)(e) (0.05) --## 11.20 51.43 1,867 2.12(a)(b)(c) (0.01) 86 2.15(a)(d) (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
SEE NOTES TO FINANCIAL STATEMENTS. 35 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 OPPORTUNITIES PRIMARY A SHARES Six months ended 9/30/2004 (unaudited).... $11.15 $ 0.05 $(0.53) $(0.48) $ -- $(0.12) Year ended 3/31/2004...................... 6.98 0.02 4.24 4.26 (0.01) (0.08) Year ended 3/31/2003...................... 8.36 0.04 (1.42) (1.38) -- -- Year ended 3/31/2002...................... 8.03 (0.01) 0.34 0.33 -- -- Period ended 3/31/2001*................... 10.00 --## (1.97) (1.97) -- -- INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $11.05 $ 0.03 $(0.52) $(0.49) $ -- $(0.12) Year ended 3/31/2004...................... 6.93 --## 4.20 4.20 -- (0.08) Year ended 3/31/2003...................... 8.32 0.01 (1.40) (1.39) -- -- Year ended 3/31/2002...................... 8.01 (0.01) 0.32 0.31 -- -- Period ended 3/31/2001*................... 10.00 (0.01) (1.98) (1.99) -- -- INVESTOR B SHARES Six months ended 9/30/2004 (unaudited).... $10.75 $ --## $(0.52) $(0.52) $ -- $(0.12) Year ended 3/31/2004...................... 6.79 (0.07) 4.11 4.04 -- (0.08) Year ended 3/31/2003...................... 8.22 (0.04) (1.39) (1.43) -- -- Year ended 3/31/2002...................... 7.97 (0.07) 0.32 0.25 -- -- Period ended 3/31/2001*................... 10.00 (0.08) (1.95) (2.03) -- -- INVESTOR C SHARES Six months ended 9/30/2004 (unaudited).... $10.75 $ --## $(0.51) $(0.51) $ -- $(0.12) Year ended 3/31/2004...................... 6.80 (0.07) 4.10 4.03 -- (0.08) Year ended 3/31/2003...................... 8.22 (0.05) (1.37) (1.42) -- -- Year ended 3/31/2002...................... 7.97 (0.07) 0.32 0.25 -- -- Period ended 3/31/2001*................... 10.00 (0.09) (1.94) (2.03) -- --
--------------- * 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 3) 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. 36 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS NET --------------- INCREASE IN RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE FROM NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO AND REDEMPTION VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE NET DISTRIBUTIONS FEES END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE ASSETS ----------------------------------------------------------------------------------------------------------------------------- $(0.12) $ --## $10.55 (4.32)% $661,578 1.12%+(a) 0.91%+ 54% 1.12%+(a) (0.09) --## 11.15 61.25 509,262 1.17(a) 0.21 121 1.17(a) -- -- 6.98 (16.51) 95,093 1.48(a) 0.58 193 1.80(a) -- -- 8.36 4.11 2,700 1.42(a)(b) (0.08) 307 4.02(a) -- -- 8.03 (19.70) 1,477 1.47+ 0.12+ 442 6.28+ $(0.12) $ --## $10.44 (4.45)% $ 29,043 1.37%+(a) 0.66%+ 54% 1.37%+(a) (0.08) --## 11.05 60.87 19,785 1.42(a) (0.04) 121 1.42(a) -- -- 6.93 (16.71) 2,272 1.73(a) 0.33 193 2.05(a) -- -- 8.32 3.87 1,526 1.67(a)(b) (0.33) 307 4.27(a) -- -- 8.01 (19.90) 2,797 1.72+ (0.13)+ 442 6.53+ $(0.12) $ --## $10.11 (4.85)% $ 11,268 2.12%+(a) (0.09)%+ 54% 2.12%+(a) (0.08) --## 10.75 59.77 8,905 2.17(a) (0.79) 121 2.17(a) -- -- 6.79 (17.40) 2,782 2.48(a) (0.42) 193 2.80(a) -- -- 8.22 3.14 1,951 2.42(a)(b) (1.08) 307 5.02(a) -- -- 7.97 (20.30) 2,031 2.47+ (0.88)+ 442 7.28+ $(0.12) $ --## $10.12 (4.76)% $ 11,931 2.12%+(a) (0.09)%+ 54% 2.12%+(a) (0.08) --## 10.75 59.53 8,331 2.17(a) (0.79) 121 2.17(a) -- -- 6.80 (17.27) 869 2.48(a) (0.42) 193 2.80(a) -- -- 8.22 3.14 869 2.42(a)(b) (1.08) 307 5.02(a) -- -- 7.97 (20.30) 974 2.47+ (0.88)+ 442 7.28+
SEE NOTES TO FINANCIAL STATEMENTS. 37 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, 2004, Funds Trust offered fifty-six 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, Global Value Fund and International Value Fund are 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 Statement of net assets reflects the Feeder Fund's proportionate beneficial interests in the net assets of the Master Portfolio (87.0% for International Value Master Portfolio at September 30, 2004). 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. Another fund not registered under the 1940 Act and managed by Banc of America Capital Management, LLC ("BACAP"), whose financial statements are not presented here, also invests in the Master Portfolio. 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 their corresponding Feeder Fund. Because the value of each Funds' investment in the International Equity Master Portfolio and the International Opportunities Master Portfolio as of and for the six months ended September 30, 2004 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 their 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 and restrictions. These risks are likely to be greater in emerging markets than in developed markets. 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 futures contracts, traded on a recognized exchange are generally valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on Nasdaq are generally valued at the Nasdaq official closing price. Securities traded only over-the-counter are generally valued at the mean of the latest bid and asked prices. Securities which are primarily traded on foreign securities exchanges are generally valued at the last available sale price on their respective exchanges where primarily traded. Debt securities will 38 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) generally be valued using prices provided by a pricing service which may employ various indications of value including but not limited to broker-dealer quotations. Certain debt security prices provided by the pricing service may be based on a matrix pricing system, which considers such factors as security prices, yields and maturities on comparable securities. 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. 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 may be valued at fair value in accordance with procedures adopted by the Board of Trustees. Nations Funds has retained an independent fair value pricing service to assist in the fair valuation process for Funds that primarily invest in international securities. 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. At September 30, 2004, the Funds had no open futures contracts. 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 4:00 p.m. London time by a pricing service. 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 foreign currency 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. 39 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 assets and liabilities. 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 Statements of assets and liabilities. 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 are declared and paid 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 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 Sub-chapter M, 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 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 are allocated to separate classes of shares based upon their relative net asset value on the date the expenses are incurred. 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 40 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 maximum 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. Effective May 11, 2004, Causeway Capital Management LLC ("Causeway") became co-investment sub-adviser with Marsico Capital Management, LLC ("Marsico"). Pursuant to the sub-advisory agreement, Causeway and Marsico are each entitled to receive a fee from BACAP at the maximum annual rate of 0.43% and 0.45%, respectively, of the Funds' average daily net assets that they manage. Prior to May 11, 2004, INVESCO Global Asset Management (N.A.), Inc. ("INVESCO"), Putnam Investment Management, LLC ("Putnam") and Marsico Capital Management, LLC ("Marsico") each managed approximately one-third of the assets of the Fund. Pursuant to the sub-advisory agreement, INVESCO, Putnam and Marsico were each 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 that they managed. 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, 2004, BACAP Distributors earned an annual rate of 0.15% of the Funds' average daily net assets (net of sub-administration fees) for its administration services. BACAP and/or its affiliates may, from time to time, reduce its fees payable by each Fund. For the period May 11, 2004 through September 30, 2004, BACAP has voluntarily agreed to waive 0.09% of its advisory fee for the International Equity Fund as a percentage of the Fund's average daily net assets. There is no guarantee that this waiver will continue. 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, 2004, Bank of America earned the following sub-transfer agent fees from the Funds for providing such services and these amounts are included in "Transfer agent fees" in each Fund's Statements of operations. 41 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
SUB-TRANSFER AGENT FEE FUND (000) -------------------------------------------------------------------------------------- Global Value................................................ $ 2 International Value......................................... 24 International Equity........................................ 8 International Opportunities................................. 9
BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2004, the Funds were informed that the Distributor received the following:
FRONT END SALES CONTINGENT DEFERRED CHARGE SALES CHARGE (000) (000) --------------- -------------------------------------- FUND INVESTOR A INVESTOR A INVESTOR B INVESTOR C ----------------------------------------------------------------------------------------------------------------------- Global Value................................................ $ 4 $-- $22 $8 International Value......................................... 9 -- 70 1 International Equity........................................ 9 -- 5 --* International Opportunities................................. 115 --* 5 2
--------------- *Amount represents less than $500. 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, 2004, the Funds received the following in redemption fees:
REDEMPTION FEE (000) --------------------------------------------------- FUND PRIMARY A INVESTOR A INVESTOR B INVESTOR C ----------------------------------------------------------------------------------------------------------------- Global Value................................................ $--* $ 3 $-- $-- International Value......................................... 2 17 -- --* International Equity........................................ 1 --* --* -- International Opportunities................................. --* 3 1 1
--------------- *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 an 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 assets and liabilities. 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 earn advisory and administration fees on the investments made in the Nations Cash Reserves in addition to the advisory and administration fees earned by BACAP and BACAP Distributors from the Funds. 42 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) For the six months ended September 30, 2004, BACAP and BACAP Distributors earned the following fees related to investments in affiliated funds:
ADMINISTRATION FEES ADVISORY FEES (EARNED BY BACAP (EARNED BY BACAP) DISTRIBUTORS) FUND (000) (000) ------------------------------------------------------------------------------------------------------ Global Value................................................ $ 5 $ 2 International Equity........................................ 23 12 International Opportunities................................. 27 14
3. TOTAL OPERATING EXPENSE LIMITATIONS BACAP and/or its affiliates may, from time to time, reduce its fees payable by each Fund. During the six months ended September 30, 2004 and until July 31, 2005, BACAP has agreed to reimburse expenses and/or waive fees to the extent that total expenses (excluding interest expense and 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 and/or BACAP Distributors is entitled to recover from Global Value Fund any fees waived or expenses reimbursed by BACAP and/or BACAP Distributors 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. There is no guarantee that these expense limitations will continue. At September 30, 2004, the amounts potentially recoverable by BACAP and/or BACAP Distributors pursuant to this arrangement are as follows:
POTENTIAL AMOUNT TO POTENTIAL AMOUNT TO POTENTIAL AMOUNT TO POTENTIAL AMOUNT TO RECOVER WITHIN RECOVER WITHIN RECOVER WITHIN RECOVER WITHIN 3 YEARS 3 YEARS 2 YEARS 1 YEAR AS OF 9/30/04 AS OF 3/31/04 AS OF 3/31/04 AS OF 3/31/04 ---------------------------------------------------------------------------------------- Global Value............... $-- $-- $-- $-- AMOUNT RECOVERED DURING PERIOD ENDED 9/30/04 ------------------- Global Value............... $--
For the six months ended September 30, 2004, expenses of the Funds were reduced by $3,947 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. 4. 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 and paid monthly, 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, 2004, 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%
43 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 5. 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, 2004 were as follows:
PURCHASES SALES (000) (000) --------------------- Global Value................................................ $ 31,253 $ 49,902 International Equity........................................ 906,108 900,727 International Opportunities................................. 480,744 313,966
There were no purchases or sales of long-term U.S. government securities for the six months ended September 30, 2004. 6. SHARES OF BENEFICIAL INTEREST As of September 30, 2004, 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, 2004. During the six months ended September 30, 2004, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST (000) RATE ------------------------ International Equity Fund................................... $61 1.51%
--------------- *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 plus accrued income from investment of the collateral. 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, 44 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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. The income earned by each Fund from securities lending is included in its Statement of operations. At September 30, 2004, the following Funds had securities on loan:
MARKET VALUE OF MARKET VALUE OF LOANED SECURITIES COLLATERAL FUND (000) (000) -------------------------------------------------------------------------------------------------- Global Value................................................ $ 6,377 $ 6,747 International Equity........................................ 33,136 34,226 International Opportunities................................. 36,714 37,642
9. INCOME TAXES Information on the tax components of capital as of September 30, 2004 is as follows:
NET TAX UNREALIZED APPRECIATION/ (DEPRECIATION) ON NET TAX UNREALIZED DERIVATIVES AND GROSS TAX GROSS TAX APPRECIATION/ FOREIGN CURRENCY COST OF INVESTMENTS UNREALIZED UNREALIZED (DEPRECIATION) ON AND NET OTHER FOR TAX PURPOSES APPRECIATION DEPRECIATION INVESTMENTS ASSETS FUND (000) (000) (000) (000) (000) --------------------------------------------------------------------------------------------------------------------------------- Global Value.................... $351,679 $ 49,677 $(16,675) $ 33,002 $ 2 International Value............. N/A* N/A* N/A* 307,097 -- International Equity............ 877,679 138,516 (17,591) 120,925 8 International Opportunities..... 657,476 82,922 (9,307) 73,615 51
--------------- *See corresponding Master Portfolio for tax basis information. At March 31, 2004, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING IN EXPIRING IN 2010 2011 FUND (000) (000) ---------------------------------------------------------------------------------------- International Value......................................... $ -- $38,916 International Equity........................................ 93,644 51,782
During the year ended March 31, 2004, the following Funds utilized capital losses as follows:
CAPITAL LOSSES UTILIZED FUND (000) ------------------------------------------------------------------------------ International Value......................................... $36,700 International Equity........................................ 34,374 International Opportunities................................. 3,876
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, 2004, the following Funds elected to defer losses occurring between November 1, 2003 and March 31, 2004 under these rules, as follows:
CURRENCY LOSSES DEFERRED FUND (000) ------------------------------------------------------------------------------- Global Value................................................ $ 5 International Value......................................... 170 International Equity........................................ -- International Opportunities................................. 142
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2005. 45 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 10. CONTINGENCIES AND OTHER 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 various mutual funds including certain Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and "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 Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name the Funds, among others, as defendants (see Civil Litigation below). The independent Trustees of the Funds have engaged independent legal counsel and, through them, accountants to evaluate the extent of any monetary impact to any Funds from discretionary market timing or from late trading. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds (the "Boards") 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 the Funds in connection with this matter. Assumptions and Reimbursements For the six months ended September 30, 2004, Bank of America Corporation has assumed $4.5 million of legal, shareholder communications, audit related, transfer agent, consulting and Trustee costs and fees incurred by the Funds impacted in connection with the regulatory and civil litigation matters discussed above. These non-recurring costs were allocated to 19 Funds based on their respective average nets assets for the six months ended September 30, 2004. These non-recurring costs on a per Fund basis are shown in that Fund's respective Statement of operations. Because these costs were borne by Bank of America Corporation and not any Fund, an offsetting waiver of these costs is also presented in each respective Fund's Statement of operations as, "Costs assumed by Bank of America Corporation". The impact to the expense ratio of each impacted Fund is reflected in the Fund's Financial highlights. Settlements in Principle with Regulators On March 15, 2004, Bank of America Corporation and FleetBoston Financial Corporation ("Fleet") entered into agreements in principle (each an "Agreement" and together, the "Agreements") with the NYAG and the SEC over matters related to improper late trading and market timing of mutual funds. As noted below, on April 1, 2004, Bank of America Corporation acquired Fleet. Under the Agreements, Bank of America Corporation has agreed to pay $250 million in total disgorgement and restitution and a penalty of $125 million and FleetBoston Financial Corporation agreed to pay $70 million in total disgorgement and restitution and a penalty of $70 million. In addition, the Agreement with the NYAG requires an aggregate reduction in mutual fund fees of $32 million per year for five years across selected non-money market funds in the Nations Funds and Fleet mutual fund complexes. The final amount payable as restitution and whether such restitution will be effectuated through a Fund or directly to shareholders, has not yet been determined. When finalized, the Agreements will conclude the investigation by the NYAG and the SEC of Bank of America Corporation and its affiliates relating to late trading and market timing activities, provided that the NYAG and the SEC have reserved the right to continue their respective investigations of and actions against individuals. Management believes that the Agreements, and their finalization, could have a positive effect, but in no case will they have a material adverse effect, on any Fund's financial positions or results of operations. However, a review by the 46 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) accountants engaged to investigate these matters for the Boards remains ongoing. Accordingly, an estimate of the financial impact on any Fund cannot currently be made. Bank of America Corporation Acquisition of Fleet On April 1, 2004, Bank of America Corporation acquired Fleet. As a result of this acquisition, Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributor, Inc. ("CFDI") are now indirect wholly-owned subsidiaries of Bank of America Corporation. The SEC and NYAG filed proceedings against both CMA and CFDI on February 24, 2004 alleging that they had violated certain provisions of the federal securities laws in connection with trading activity in mutual funds shares and violated certain New York anti-fraud statutes. In order to settle these matters, as noted above, Fleet entered into the March 15, 2004 Agreements with the NYAG and the SEC. In addition, both Bank of America and Fleet committed to use best efforts to implement certain enhanced governance and compliance procedures with respect to advised mutual funds and agreed to the retention of independent consultants to review compliance, control and other policies and procedures relating to their respective mutual fund advisory businesses. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, or if any final settlement includes an injunction against CMA or CFDI prohibiting them from engaging in certain conduct, CMA, CFDI or any company that is an affiliated person of CMA and CFDI could be barred from serving as an investment adviser or distributor for any investment company registered under the Investment Company Act of 1940. As a result of the Fleet acquisition, BACAP and BACAP Distributors are now affiliated persons of CMA and CFDI and, therefore, under these circumstances, could be barred from serving as an investment adviser or distributor for any registered investment company, including the Funds. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, it is expected that BACAP and BACAP Distributors would seek exemptive relief from the SEC to permit them to continue serving as the investment adviser and distributor of the Funds. Civil Litigation In connection with the events described in detail above, various parties have filed suit against certain Funds, their Boards and/or Bank of America Corporation (and affiliated entities). These cases have been consolidated in a multi-district proceeding and transferred to the Federal District Court in Maryland. These suits and certain regulatory investigations are ongoing. Accordingly, an estimate of the financial impact of this litigation on any Fund, if any, cannot currently be made. 47 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio Semi-Annual Report SEPTEMBER 30, 2004 (UNAUDITED) The following pages should be read in conjunction with Nations International Value Fund's Semi-Annual Report. 48 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ----------------------------------------------------------------------------------------- COMMON STOCKS -- 98.1% BELGIUM -- 1.0% 1,176,600 Interbrew..................................................... $ 39,222 ---------- BRAZIL -- 5.7% 241,760 Brasil Telecom Participacoes SA, ADR.......................... 7,833 11,414,270 Centrais Electricas Brasileiras SA, ADR (a)................... 91,226 2,976,529 Petroleo Brasileiro SA, ADR................................... 95,010 61,418 Tele Celular Sul Participacoes SA, ADR........................ 876 221,067 Tele Centro Oeste Celular Participacoes SA, ADR(a)............ 2,255 13,264 Tele Leste Celular Participacoes SA, ADR!!(a)................. 203 2,164,000 Tele Norte Leste Participacoes SA, ADR(a)..................... 28,630 ---------- 226,033 ---------- CANADA -- 0.8% 13,599,000 Bombardier Inc., Class B...................................... 31,269 ---------- FRANCE -- 2.2% 3,835,200 Alcatel SA, ADR!!(a).......................................... 44,987 524,962 Renault SA.................................................... 42,934 ---------- 87,921 ---------- GERMANY -- 10.1% 2,113,700 Bayerische Hypo-und Vereinsbank AG, ADR....................... 40,376 845,480 Bayerische Hypo-und Vereinsbank AG!!@......................... 16,150 2,307,756 Commerzbank AG!!.............................................. 42,707 6,010,800 Deutsche Telekom AG, ADR!!(a)................................. 112,162 538,460 E.On AG, ADR(a)............................................... 39,685 1,226,400 Heidelberger Druckmaschinen AG!!@............................. 36,480 253,261 Hypo Real Estate Holdings AG, ADR!!........................... 8,650 556,100 Schering AG................................................... 35,017 1,781,900 Volkswagen AG................................................. 68,452 ---------- 399,679 ---------- ITALY -- 4.9% 22,934,050 Banca Intesa SpA.............................................. 87,162 3,391,281 Telecom Italia SpA, ADR(a).................................... 104,316 ---------- 191,478 ---------- JAPAN -- 17.1% 1,767,600 Daiichi Pharmaceutical Company, Ltd. ......................... 30,424 1,199,825 Hitachi, Ltd., ADR............................................ 72,409 9,040 Japan Tobacco, Inc. .......................................... 75,623 1,022 Japan, Tobacco, Inc.@......................................... 8,550 4,008,310 Matsushita Electric Industrial Company Ltd., ADR.............. 53,792 22,180,000 Mitsubishi Heavy Industries, Ltd.!!........................... 62,587 7,971,641 Mitsubishi Tokyo Financial Group Inc. ........................ 66,483
VALUE SHARES (000) ----------------------------------------------------------------------------------------- JAPAN -- (CONTINUED) 3,200,000 Mitsui Sumitomo Insurance Company, Ltd. ...................... $ 26,392 3,594,400 Nippon Mitsubishi Oil Corporation............................. 22,666 2,571,180 Nippon Telegraph and Telephone Corporation, ADR(a)............ 51,372 1,125,000 Ono Pharmaceutical Company, Ltd. ............................. 49,914 1,844,200 Sankyo Company, Ltd. ......................................... 38,987 2,986 Sumitomo Mitsui Financial Group, Inc.(a)...................... 17,068 10,757,100 Sumitomo Mitsui Financial Group, Inc., ADR.................... 61,489 546,300 TDK Corporation, ADR(a)....................................... 36,635 ---------- 674,391 ---------- MEXICO -- 2.0% 422,679 Cemex SA de CV, ADR........................................... 11,894 2,023,850 Telefonos de Mexico SA de CV 'L', ADR......................... 65,310 ---------- 77,204 ---------- NETHERLANDS -- 8.1% 3,072,880 ABN AMRO Holding N.V., ADR.................................... 69,939 970,000 Akzo Nobel N.V., ADR.......................................... 34,435 1,884,878 ING Groep NV(a)............................................... 47,569 7,383,700 Koninklijke Ahold NV!!........................................ 47,137 4,922,466 Koninklijke Ahold NV!!@....................................... 31,424 1,514,768 Unilever NV................................................... 87,144 ---------- 317,648 ---------- NEW ZEALAND -- 1.7% 2,067,200 Telecom Corporation of New Zealand Ltd., ADR(a)............... 65,758 ---------- PORTUGAL -- 2.3% 8,194,176 Portugal Telecommunications, SGPS, SA, ADR.................... 90,136 ---------- RUSSIA -- 2.0% 636,870 LUKOIL, ADR................................................... 78,972 ---------- SINGAPORE -- 5.2% 263,453 DBS Group Holdings Ltd., ADR@(a).............................. 10,015 8,994,000 Development Bank of Singapore................................. 85,474 3,464,100 Jardine Matheson Holdings Ltd.(a)............................. 48,844 7,142,000 Overseas-Chinese Banking Corporation Ltd. .................... 59,389 ---------- 203,722 ---------- SOUTH KOREA -- 3.0% 6,114,300 Korea Electric Power Corporation, ADR(a)...................... 64,506 2,914,300 KT Corporation, ADR(a)........................................ 52,661 ---------- 117,167 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 49 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ----------------------------------------------------------------------------------------- SPAIN -- 6.4% 1,294,000 Banco Bilbao Vizcaya Argentaria SA@........................... $ 17,807 5,992,233 Banco Bilbao Vizcaya Argentaria SA, ADR(a).................... 82,693 1,833,930 Repsol YPF SA, ADR............................................ 40,200 2,446,232 Telefonica SA, ADR............................................ 110,056 ---------- 250,756 ---------- SWITZERLAND -- 6.1% 392,600 Nestle SA (REGD).............................................. 89,920 2,291,700 Swisscom AG, ADR(a)........................................... 79,568 3,479,619 Zurich Financial Services AG, ADR............................. 49,602 1,400,740 Zurich Financial Services AG, ADR@............................ 19,967 ---------- 239,057 ---------- UNITED KINGDOM -- 17.9% 3,759,000 Abbey National plc............................................ 38,092 4,485,630 BAE Systems plc, ADR.......................................... 72,973 2,196,100 British American Tobacco plc, ADR(a).......................... 64,104 1,152,030 BT Group plc, ADR(a).......................................... 37,959 3,804,000 Corus Group plc, ADR!!(a)..................................... 35,453 19,500,935 Friends Provident plc......................................... 49,138 5,733,600 GlaxoSmithKline plc........................................... 123,569 1,159,620 Imperial Chemical Industries plc, ADR......................... 17,858 18,541,415 Invensys plc, ADR!!(a)........................................ 7,550 23,160,268 Invensys plc!!@............................................... 4,715 17,026,100 ITV plc....................................................... 33,197 366,400 Marks & Spencer Group plc..................................... 2,274 2,009,480 Marks & Spencer Group plc, ADR................................ 74,835 22,958,200 Royal & Sun Alliance Insurance Group plc@..................... 29,704 22,958,200 Royal & Sun Alliance Insurance Group plc...................... 29,704 1,189,400 Unilever plc.................................................. 9,680 22,784,965 WM Morrison Supermarkets plc.................................. 79,369 ---------- 710,174 ---------- VENEZUELA -- 1.6% 2,878,864 Cia Anonima Nacional Telefonos de Venezuela, ADR.............. 64,861 ---------- TOTAL COMMON STOCKS (Cost $3,490,315)........................................... 3,865,448 ----------
VALUE SHARES (000) ----------------------------------------------------------------------------------------- PREFERRED STOCKS -- 0.5% BRAZIL -- 0.5% (Cost $38,155) 663,200 Telecomunicacoes Brasileiras SA-Telebras, ADR(a).............. $ 18,238 ---------- SHARES (000) ---------- AFFILIATED INVESTMENT COMPANIES -- 7.6% (Cost $299,834) 299,834 Nations Cash Reserves, Capital Class Shares#.................. 299,834 ---------- TOTAL INVESTMENTS (Cost $3,828,304*)................................ 106.2% 4,183,520 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (6.2)% (242,817) ---------- NET ASSETS.......................................... $3,940,703 100.0% ==========
--------------- *Federal income tax information: Net unrealized depreciation of $355,216 on investment securities was comprised of gross appreciation of $687,198 and depreciation of $331,982 for federal income tax purposes. At September 30, 2004, the aggregate cost for federal income tax purposes was $3,828,304. @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 6). The portion that represents cash collateral is $245,439. (a) All or a portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004 is $208,043 and $236,730, respectively. ABBREVIATIONS: ADR -- American Depository Receipt LTD -- Limited REGD -- Registered
SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS MASTER INVESTMENT TRUST Nations International Value Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
% OF NET VALUE SECTOR DIVERSIFICATION ASSETS (000) --------------------------------------------------------------------------------------------- Common stocks: Telecommunications services................................. 22.2% $ 873,956 Commercial banking.......................................... 17.9 703,494 Pharmaceuticals............................................. 7.1 277,911 Oil and gas................................................. 6.0 236,848 Insurance................................................... 5.2 204,507 Food products............................................... 4.7 186,744 Food and drug stores........................................ 4.0 157,930 Tobacco..................................................... 3.8 148,277 Electric power -- Non nuclear............................... 3.3 130,911 Automotive.................................................. 2.8 111,386 Heavy machinery............................................. 2.8 111,332 Electronics................................................. 2.8 109,044 Aerospace and defense....................................... 2.6 104,242 Financial services.......................................... 2.4 96,413 Retail -- Specialty......................................... 2.0 77,109 Electric power -- Nuclear................................... 1.6 64,506 Household products.......................................... 1.4 53,792 Networking and telecommunications equipment................. 1.1 44,987 Beverages................................................... 1.0 39,222 Metals and mining........................................... 0.9 35,453 Other....................................................... 2.5 97,384 ----------- --------------- TOTAL COMMON STOCKS......................................... 98.1 3,865,448 PREFERRED STOCKS............................................ 0.5 18,238 AFFILIATED INVESTMENT COMPANIES............................. 7.6 299,834 ----------- --------------- TOTAL INVESTMENTS........................................... 106.2 4,183,520 OTHER ASSETS AND LIABILITIES (NET).......................... (6.2) (242,817) ----------- --------------- NET ASSETS.................................................. 100.0% $ 3,940,703 =========== ===============
SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS MASTER INVESTMENT TRUST STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2004
NATIONS INTERNATIONAL VALUE MASTER PORTFOLIO -------------- (IN THOUSANDS) ASSETS: Non-affiliated investments, at cost......................... $ 3,528,470 Affiliated investments, at cost............................. 299,834 -------------- Non-affiliated investments, at value........................ 3,883,686 Affiliated investments, at value............................ 299,834 Foreign currency (cost $928)................................ 928 Receivable for investment securities sold................... 12,009 Dividends receivable........................................ 10,804 Interest receivable......................................... 31 -------------- Total assets............................................ 4,207,292 -------------- LIABILITIES: Collateral on securities loaned............................. (245,439) Investment advisory fee payable............................. (2,654) Administration fee payable.................................. (160) Due to custodian............................................ (14) Payable for investment securities purchased................. (18,210) Accrued Trustees' fees and expenses......................... (37) Accrued expenses and other liabilities...................... (75) -------------- Total liabilities....................................... (266,589) -------------- NET ASSETS.................................................. $ 3,940,703 ==============
SEE NOTES TO FINANCIAL STATEMENTS. 52 NATIONS MASTER INVESTMENT TRUST STATEMENT OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2004
NATIONS INTERNATIONAL VALUE MASTER PORTFOLIO -------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $7,203)...... $ 64,872 Dividends income from affiliated funds...................... 411 Securities lending.......................................... 701 -------------- Total investment income................................. 65,984 -------------- EXPENSES: Investment advisory fee..................................... 17,636 Administration fee.......................................... 980 Custodian fees.............................................. 272 Legal and audit fees........................................ 31 Trustees' fees and expenses................................. 9 Other....................................................... 40 -------------- Total expenses.......................................... 18,968 Fees waived by investment adviser (see Note 3).............. (1,331) Fees reduced by credits allowed by the custodian (see Note 3)........................................................ (1) -------------- Net expenses............................................ 17,636 -------------- NET INVESTMENT INCOME....................................... 48,348 -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS Net realized gain/(loss) from: Security transactions..................................... 164,188 Foreign currencies and net other assets................... (624) -------------- Net realized gain/(loss) on investments..................... 163,564 -------------- Change in unrealized appreciation/(depreciation) of: Securities................................................ (217,270) Foreign currencies and net other assets................... 34 -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... (217,236) -------------- Net realized and unrealized gain/(loss) on investments...... (53,672) -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ (5,324) ==============
SEE NOTES TO FINANCIAL STATEMENTS. 53 NATIONS MASTER INVESTMENT TRUST STATEMENT OF CHANGES IN NET ASSETS
NATIONS INTERNATIONAL VALUE MASTER PORTFOLIO --------------------------------- SIX MONTHS ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 --------------------------------- (IN THOUSANDS) Net investment income....................................... $ 48,348 $ 49,096 Net realized gain/(loss) on investments..................... 163,564 133,706 Net change in unrealized appreciation/(depreciation) of investments............................................... (217,236) 1,853,832 -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ (5,324) 2,036,634 Contributions............................................... 86,181 220,561 Withdrawals................................................. (243,648) (887,216) -------------- -------------- Net increase/(decrease) in net assets....................... (162,791) 1,369,979 NET ASSETS: Beginning of period......................................... 4,103,494 2,733,515 -------------- -------------- End of period............................................... $ 3,940,703 $ 4,103,494 ============== ==============
FINANCIAL HIGHLIGHTS
WITHOUT WAIVERS RATIO OF AND/OR EXPENSE OPERATING REIMBURSEMENTS EXPENSES --------------- RATIO OF INCLUDING RATIO OF RATIO OF OPERATING INTEREST NET INVESTMENT OPERATING EXPENSES TO EXPENSE TO INCOME/(LOSS) PORTFOLIO EXPENSES TO TOTAL AVERAGE NET AVERAGE NET TO AVERAGE NET TURNOVER AVERAGE RETURN ASSETS ASSETS ASSETS RATE NET ASSETS ----------------------------------------------------------------------------------------------------------------------------- Six months ended 9/30/2004 (unaudited).... 0.09% 0.90%+(c) 0.90%+(c) 2.47%+ 12% 0.97%+(c) Year ended 3/31/2004...................... 79.88 0.90(c) 0.90(c)(d) 1.34 15 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 period indicated. (a)International Value Master Portfolio commenced operations on October 18, 1999. (c)The effect of the custodial expense offset (see Note 3) 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. 54 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, 2004, 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 and restrictions. These risks are likely to be greater in emerging markets than in developed markets. 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 following investors were invested in the Master Portfolio at September 30, 2004: INTERNATIONAL VALUE MASTER PORTFOLIO: Nations International Value Fund............................ 87.0% Nations International Value Fund (Offshore)................. 1.3% Banc of America Capital Management Funds VII -- International Value Fund........................... 11.7%
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 its financial statements. Securities valuation: Securities, including futures contracts, traded on a recognized exchange are generally valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on Nasdaq are generally valued at the Nasdaq official closing price. Securities traded only over-the-counter are generally valued at the mean of the latest bid and asked prices. Securities which are primarily traded on foreign securities exchanges are generally valued at the last available sale price on their respective exchanges where primarily traded. Debt securities will generally be valued using prices provided by a pricing service which may employ various indications of value including but not limited to broker-dealer quotations. Certain debt security prices provided by the pricing service may be based on a matrix pricing system, which considers such factors as security prices, yields and maturities on comparable securities. 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 may be valued at fair value in accordance with procedures adopted by the Board of Trustees. Nations Funds has retained an independent fair value pricing service to assist in the fair valuation process for Funds that primarily invest in international securities. Repurchase agreements: The Master Portfolio may engage in repurchase agreement transactions. Under the terms of a typical repurchase agreement, a Master Portfolio takes possession of an underlying debt obligation subject to an obligation of the seller to repurchase, and the obligation of the Master Portfolio to resell, the underlying debt obligation at an agreed-upon price and date, thereby determining the yield during the Master Portfolio's holding period. This arrangement results in a fixed rate of return that is not subject to market fluctuations during the Master Portfolio'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 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 55 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Portfolio 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 Master Portfolio seeks to assert its right. The Master Portfolio's 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 Master Portfolio enters into repurchase agreements to evaluate potential risks. 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 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 the Master Portfolio each day, depending on the daily fluctuation of the value of the contract. At September 30, 2004, the Master Portfolio had no open futures contracts. 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 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 4:00 p.m. London time by a pricing service. 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 foreign currency 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. At September 30, 2004, the Master Portfolio had no open forward foreign currency contracts. 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 assets and liabilities. In addition, the Master Portfolio could be exposed to risks if counterparties to the contracts are unable to meet the terms of their 56 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 Statements of assets and liabilities. 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. 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. 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, 2004, BACAP Distributors earned an annual rate of 0.05% of the Master Portfolio's average daily net assets for its administration services. BNY serves as the custodian of the Master Trust's assets. 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 an 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 57 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 advised by BACAP. The expense for the deferred compensation plan is included in "Trustees' fees and expenses" in the Statement of operations. The liability for the deferred compensation plan is included in "Accrued Trustees' fees and expenses" in the Statements of assets and liabilities. 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". BACAP and BACAP Distributors earn advisory and administration fees on the investments made in the Nations Cash Reserves in addition to the advisory and administration fees earned by BACAP and BACAP Distributors from the Master Portfolio. For the six months ended September 30, 2004, BACAP and BACAP Distributors earned the following fees related to investments in affiliated funds:
ADVISORY FEES ADMINISTRATION FEES (EARNED BY BACAP) (EARNED BY BACAP DISTRIBUTORS) FUND (000) (000) ----------------------------------------------------------------------------------------------------------------- International Value Master Portfolio........................ $45 $23
3. TOTAL OPERATING EXPENSE LIMITATIONS For the six months ended September 30, 2004, 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. For the six months ended September 30, 2004, expenses of the Master Portfolio were reduced by $1,189 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. 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, 2004 were as follows:
PURCHASES SALES (000) (000) --------------------- International Value Master Portfolio........................ $472,233 $527,180
There were no purchases and sales of long-term U.S. government securities for the six months ended September 30, 2004. 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. The 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 Portfolio had no borrowings outstanding at September 30, 2004. 6. 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 58 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) loaned plus accrued income from investment of the collateral. 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. The income earned by the Master Portfolio from securities lending is included in its Statement of operations. At September 30, 2004, the Master Portfolio had securities on loan as follows:
MARKET VALUE OF MARKET VALUE OF LOANED SECURITIES COLLATERAL (000) (000) ------------------------------------ International Value Master Portfolio........................ $236,730 $245,439
7. CONTINGENCIES AND OTHER 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 various mutual funds including other funds in the Nations Funds family. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and "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 Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name the Funds, among others, as defendants (see Civil Litigation below). The independent Trustees of the Funds have engaged independent legal counsel and, through them, accountants to evaluate the extent of any monetary impact to any Funds from discretionary market timing or from late trading. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds (the "Boards") 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 the Funds in connection with this matter. Settlements in Principle with Regulators On March 15, 2004, Bank of America Corporation and FleetBoston Financial Corporation ("Fleet") entered into agreements in principle (each an "Agreement" and together, the "Agreements") with the NYAG and the SEC over matters related to improper late trading and market timing of mutual funds. As noted below, on April 1, 2004, Bank of America Corporation acquired Fleet. Under the Agreements, Bank of America Corporation has agreed to pay $250 million in total disgorgement and restitution and a penalty of $125 million and FleetBoston Financial Corporation agreed to pay $70 million in total disgorgement and restitution and a penalty of $70 million. In addition, the Agreement with the NYAG requires an aggregate reduction in mutual fund fees of $32 million per year for five years across selected non-money market funds in the Nations Funds and Fleet mutual fund complexes. The final amount payable as restitution and whether such restitution will be effectuated through a Fund or directly to shareholders, has not yet been determined. When finalized, the Agreements will conclude the investigation by the NYAG and the SEC of Bank of America Corporation and its affiliates relating to late trading and market timing activities, provided that the NYAG and the SEC have reserved the right to continue their respective investigations of and actions against individuals. 59 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Management believes that the Agreements, and their finalization, will not have a material adverse effect, on any Fund's financial positions or results of operations. However, a review by the accountants engaged to investigate these matters for the Boards remains ongoing. Accordingly, an estimate of the financial impact on any Fund cannot currently be made. Bank of America Corporation Acquisition of Fleet On April 1, 2004, Bank of America Corporation acquired Fleet. As a result of this acquisition, Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributor, Inc. ("CFDI") are now indirect wholly-owned subsidiaries of Bank of America Corporation. The SEC and NYAG filed proceedings against both CMA and CFDI on February 24, 2004 alleging that they had violated certain provisions of the federal securities laws in connection with trading activity in mutual funds shares and violated certain New York anti-fraud statutes. In order to settle these matters, as noted above, Fleet entered into the March 15, 2004 Agreements with the NYAG and the SEC. In addition, both Bank of America and Fleet committed to use best efforts to implement certain enhanced governance and compliance procedures with respect to advised mutual funds and agreed to the retention of independent consultants to review compliance, control and other policies and procedures relating to their respective mutual fund advisory businesses. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, or if any final settlement includes an injunction against CMA or CFDI prohibiting them from engaging in certain conduct, CMA, CFDI or any company that is an affiliated person of CMA and CFDI could be barred from serving as an investment adviser or distributor for any investment company registered under the Investment Company Act of 1940. As a result of the Fleet acquisition, BACAP and BACAP Distributors are now affiliated persons of CMA and CFDI and, therefore, under these circumstances, could be barred from serving as an investment adviser or distributor for any registered investment company, including the Funds. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, it is expected that BACAP and BACAP Distributors would seek exemptive relief from the SEC to permit them to continue serving as the investment adviser and distributor of the Funds. Civil Litigation In connection with the events described in detail above, various parties have filed suit against certain Funds, their Boards and/or Bank of America Corporation (and affiliated entities). These cases have been consolidated in a multi-district proceeding and transferred to the Federal District Court in Maryland. These suits and certain regulatory investigations are ongoing. Accordingly, an estimate of the financial impact of this litigation on any Fund, if any, cannot currently be made. 60 [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 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 (9/04) 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, 2004 Index Fund [NATIONS FUNDS LOGO] Guidelines and information about how Nations Funds voted proxies for securities they held during the 12-month period ended June 30, 2004 are available without charge at www.nationsfunds.com and at http://www.sec.gov or by calling 1.800.321.7854. Beginning with the Funds' fiscal quarter ending December 31, 2004, the Funds will file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds' Forms N-Q will also be available on our website at www.nationsfunds.com. 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 US economy grew at a healthy pace during the six-month period that ended September 30, 2004. Despite uncertainty about job growth, consumer spending and rising energy prices, gross domestic product growth was comfortably above the long-term historical average of 3.0%. In general, corporate profits continued to rise, which provided companies with the resources to increase spending. Industrial production rose; factories used more of their capacity; and spending on technology, capital equipment and construction all increased. STOCKS FALTER WHILE BONDS EKE OUT A POSITIVE RETURN Although this environment provided a solid foundation for the financial markets, the stock market was unsettled by external events such as the fall presidential election, renewed terror threats and continued fighting in Iraq. As a result, many investors remained on the sidelines. The S&P 500 Index(1) and the Russell 3000 Index(2), two broad measures of US stock market performance, returned negative 0.18% and negative 0.60% respectively, over this six-month reporting period. The broad markets for small- and mid-cap stocks and value stocks did somewhat better. The Russell MidCap Value Index returned 3.50%(3) and the Russell 2000 Value Index returned 1.00%.(4) Energy stocks were the period's strongest performers. They gained more than 19% during the period, as measured by Standard & Poor's. The bond market encountered considerable volatility when job growth picked up in the spring and investors began to anticipate higher short-term interest rates. However, a shaky stock market and some weak economic data gave the bond market a boost in the final months of the period. The Lehman Brothers Aggregate Bond Index eked out a positive return of 0.68% over this six-month reporting period.(5) High-yield bonds, which can be less sensitive to changing interest rates, led the fixed-income markets. The Merrill Lynch US High Yield, Cash Pay Index returned 3.72% over the same period.(6) LOOKING AHEAD Although the soft patch encountered by the economy during the summer months appears to be behind us, a meaningful acceleration of economic activity does not appear to be in the works. In fact, leading economic indicators suggest that growth remains in line with the economy's long-term average. Job growth has become increasingly important to the outlook for consumer income and spending, and there the trend is encouraging. Although monthly data has been volatile over the past year, year-over-year data shows that payroll growth has swung from a decline of 1% to 2% in 2002 to an increase of 1% in 2004. (1)The S&P 500 Index is an unmanaged index of 500 widely held common socks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (2)The Russell 3000 Index is an unmanaged index that tracks the performance of the 3,000 largest US companies based on total market capitalization. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (3)The Russell MidCap Value Index is an unmanaged index that measures the performance of those Russell MidCap Index companies with lower price-to-book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (4)The Russell 2000 Value Index is an unmanaged index that tracks the performance of those Russell 2000 companies with lower price-to book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (5)The Lehman Brothers Aggregate Bond Index is a market value-weighted index that tracks fixed-rate, publicly placed, dollar-denominated, and non-convertible investment grade debt issues. (6)The Merrill Lynch US High Yield, Cash Pay Index is an unmanaged index that tracks the performance of non-investment-grade corporate bonds. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... In this environment, we believe that the outlook is slightly better for stocks than for bonds. Although long-term Treasury yields have declined in recent months, we expect them to move higher once the Federal Reserve Board completes its cycle of short-term rate increases. We expect to see short-term rates rise to 3% to 4% and long-term rates go to 5% or higher. Higher long-term rates would be a challenge for the bond market because yields and bond prices move in opposite directions. We expect the outlook for the stock market to improve if and when some of the current uncertainties are resolved. Certainly if the price of oil retreats from its current high level, it would take some pressure off consumers and the market would be one of the likely beneficiaries. STRATEGIC THINKING ABOUT YOUR INVESTMENTS Regardless of the short-term outlook for stocks and bonds, we believe that there are certain basic principles that can help you achieve your long-term financial goals. Think long term. Have a plan for investing, and stick to it. Own a diversified mix of investments. Add to your investments regularly. If you can incorporate these four principles into your investment plan, you will find it easier to ignore the short-term gyrations of the market. If you work with an investment professional, be sure to consult him or her if you have questions or concerns about your investments. An investment professional can be an important ally in helping you keep your financial goals on track. As always, we thank you for investing in Nations Funds and we look forward to serving your financial needs in the years to come. Sincerely, -s- WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS -s- KEITH T. BANKS KEITH T. BANKS PRESIDENT OF NATIONS FUNDS PRESIDENT OF BANC OF AMERICA CAPITAL MANAGEMENT, LLC September 30, 2004 The information and data provided in this analysis are derived from sources that we deem to be reliable and accurate. The opinions expressed here are strictly those of the contributors and are subject to change without notice. TABLE OF CONTENTS DISCLOSURE OF FUND EXPENSES AND PORTFOLIO HOLDINGS Nations LargeCap Index Fund 3 Nations LargeCap Enhanced Core Fund 5 Nations MidCap Index Fund 7 Nations SmallCap Index Fund 9 FINANCIAL STATEMENTS Schedule of investments 11 Statements of assets and liabilities 35 Statements of operations 36 Statements of changes in net assets 38 Schedules of capital stock activity 40 Financial highlights 44 Notes to financial statements 52
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 2003.
[This page intentionally left blank] NATIONS LARGECAP INDEX FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 997.20 $0.70 Hypothetical**.............................................. $1,000.00 $1,024.37 $0.71 INVESTOR A Actual...................................................... $1,000.00 $ 996.30 $1.95 Hypothetical**.............................................. $1,000.00 $1,023.11 $1.98
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.14% and Investor A 0.39%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 3 NATIONS LARGECAP INDEX FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 8.8% Commercial banking 6.5% Pharmaceuticals 5.6% Integrated oil 5.0% Diversified manufacturing 4.8% Insurance 4.8% Software 4.6% Medical devices and supplies 3.7% Computers and office equipment 3.6% Telecommunications services 3.6% Investment services 49.0% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 General Electric Company 3.3% ------------------------------------------------- 2 Exxon Mobil Corporation 2.9% ------------------------------------------------- 3 Microsoft Corporation 2.8% ------------------------------------------------- 4 Pfizer Inc. 2.2% ------------------------------------------------- 5 Citigroup Inc. 2.1% ------------------------------------------------- 6 Wal-Mart Stores, Inc. 2.1% ------------------------------------------------- 7 American International Group, Inc. 1.7% ------------------------------------------------- 8 Bank of America Corporation 1.6% ------------------------------------------------- 9 Johnson & Johnson 1.6% ------------------------------------------------- 10 International Business Machines Corporation 1.3% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
4 NATIONS LARGECAP ENHANCED CORE FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 994.00 $2.50 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR A Actual...................................................... $1,000.00 $ 992.50 $3.75 Hypothetical**.............................................. $1,000.00 $1,021.31 $3.80
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.50% and Investor A 0.75%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 5 NATIONS LARGECAP ENHANCED CORE FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 7.0% Insurance 6.3% Integrated oil 6.1% Commercial banking 5.2% Software 5.1% Pharmaceuticals 4.5% Diversified manufacturing 4.3% Medical devices and supplies 4.1% Computers and office equipment 4.1% Investment services 4.0% Telecommunications services 49.3% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Microsoft Corporation 2.6% ------------------------------------------------- 2 Pfizer Inc. 2.6% ------------------------------------------------- 3 Exxon Mobil Corporation 2.6% ------------------------------------------------- 4 Citigroup Inc. 2.6% ------------------------------------------------- 5 General Electric Company 2.5% ------------------------------------------------- 6 American International Group, Inc. 2.2% ------------------------------------------------- 7 Johnson & Johnson 2.1% ------------------------------------------------- 8 International Business Machines Corporation 1.9% ------------------------------------------------- 9 Wal-Mart Stores, Inc. 1.9% ------------------------------------------------- 10 Intel Corporation 1.8% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
6 NATIONS MIDCAP INDEX FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 988.30 $0.70 Hypothetical**.............................................. $1,000.00 $1,024.37 $0.71 INVESTOR A Actual...................................................... $1,000.00 $ 986.40 $1.94 Hypothetical**.............................................. $1,000.00 $1,023.11 $1.98
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.14% and Investor A 0.39%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 7 NATIONS MIDCAP INDEX FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 7.1% Commercial banking 5.7% Insurance 5.5% Specialty stores 4.1% Oilfield services 3.8% Semiconductors 3.8% Health services 3.8% Commercial services 3.6% Medical devices and supplies 3.3% Diversified electronics 3.2% Housing and furnishing 56.1% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 The Washington Post Company, Class B 0.9% ------------------------------------------------- 2 XTO Energy, Inc. 0.9% ------------------------------------------------- 3 Murphy Oil Corporation 0.8% ------------------------------------------------- 4 D.R. Horton, Inc. 0.8% ------------------------------------------------- 5 Lennar Corporation, Class A 0.8% ------------------------------------------------- 6 L-3 Communications Holdings, Inc. 0.7% ------------------------------------------------- 7 Harman International Industries, Inc. 0.7% ------------------------------------------------- 8 Weatherford International Inc. 0.7% ------------------------------------------------- 9 Fidelity National Financial, Inc. 0.7% ------------------------------------------------- 10 Smith International, Inc. 0.6% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
8 NATIONS SMALLCAP INDEX FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,020.50 $1.06 Hypothetical**.............................................. $1,000.00 $1,024.02 $1.07 INVESTOR A Actual...................................................... $1,000.00 $1,019.50 $2.33 Hypothetical**.............................................. $1,000.00 $1,022.76 $2.33
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.21% and Investor A 0.46%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 9 NATIONS SMALLCAP INDEX FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 8.1% Commercial banking 6.0% Medical devices and supplies 4.6% Specialty stores 4.4% Commercial services 4.1% Diversified manufacturing 4.0% Diversified electronics 3.8% Semiconductors 3.4% Software 3.2% Health services 3.2% Insurance 55.2% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 NVR, Inc. 0.8% ------------------------------------------------- 2 New Century Financial Corporation 0.6% ------------------------------------------------- 3 M.D.C. Holdings, Inc. 0.5% ------------------------------------------------- 4 Polaris Industries Inc. 0.5% ------------------------------------------------- 5 Yellow Roadway Corporation 0.5% ------------------------------------------------- 6 Cooper Companies, Inc. 0.5% ------------------------------------------------- 7 Timken Company 0.5% ------------------------------------------------- 8 Medicis Pharmaceutical Corporation, Class A 0.5% ------------------------------------------------- 9 Massey Energy Company 0.5% ------------------------------------------------- 10 Fossil, Inc. 0.5% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
10 NATIONS FUNDS Nations LargeCap Index Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMON STOCKS -- 97.1% AEROSPACE AND DEFENSE -- 1.8% 100,325 Boeing Company................................................ $ 5,179 23,900 General Dynamics Corporation.................................. 2,440 14,200 Goodrich (BF) Corporation..................................... 445 53,175 Lockheed Martin Corporation................................... 2,966 42,853 Northrop Grumman Corporation.................................. 2,285 53,900 Raytheon Company.............................................. 2,047 22,025 Rockwell Automation, Inc. .................................... 852 21,150 Rockwell Collins, Inc. ....................................... 786 61,150 United Technologies Corporation............................... 5,711 ---------- 22,711 ---------- AIRLINES -- 0.1% 15,000 Delta Air Lines, Inc.!!(a).................................... 49 94,450 Southwest Airlines Company.................................... 1,287 ---------- 1,336 ---------- APPAREL AND TEXTILES -- 0.4% 22,500 Coach, Inc.!!................................................. 954 14,900 Jones Apparel Group, Inc. .................................... 533 12,875 Liz Claiborne, Inc. .......................................... 486 31,475 Nike, Inc., Class B........................................... 2,480 7,075 Reebok International, Ltd. ................................... 260 13,175 V.F. Corporation.............................................. 652 ---------- 5,365 ---------- AUTOMOTIVE -- 0.9% 31,875 AutoNation, Inc.!!............................................ 544 9,925 AutoZone, Inc.!!.............................................. 767 8,950 Cooper Tire & Rubber Company.................................. 181 17,850 Dana Corporation.............................................. 316 67,075 Delphi Corporation............................................ 623 18,100 Eaton Corporation............................................. 1,148 218,675 Ford Motor Company............................................ 3,072 67,500 General Motors Corporation.................................... 2,867 20,925 Genuine Parts Company......................................... 803 20,950 Goodyear Tire & Rubber Company!!(a)........................... 225 22,750 Johnson Controls, Inc. ....................................... 1,292 6,900 Snap-On Inc. ................................................. 190 15,475 Visteon Corporation........................................... 124 ---------- 12,152 ---------- BEVERAGES -- 2.3% 4,475 Adolph Coors Company, Class B................................. 304 95,725 Anheuser-Busch Companies, Inc. ............................... 4,781 14,525 Brown-Forman Corporation, Class B............................. 665 289,975 Coca-Cola Company&&........................................... 11,614 56,050 Coca-Cola Enterprises Inc. ................................... 1,059 30,400 Pepsi Bottling Group, Inc. ................................... 825 202,450 PepsiCo, Inc. ................................................ 9,850 ---------- 29,098 ---------- BROADCASTING AND CABLE -- 2.5% 70,525 Clear Channel Communications, Inc. ........................... 2,198 267,106 Comcast Corporation, Class A!!................................ 7,543 245,550 The Walt Disney Company....................................... 5,537 546,475 Time Warner Inc.!!............................................ 8,820
VALUE SHARES (000) ---------------------------------------------------------------------------------------- BROADCASTING AND CABLE -- (CONTINUED) 38,550 Univision Communications, Inc., Class A!!..................... $ 1,219 207,350 Viacom Inc., Class B.......................................... 6,959 ---------- 32,276 ---------- BUILDING MATERIALS -- 0.1% 25,575 American Standard Companies Inc.!!............................ 995 ---------- CHEMICALS -- BASIC -- 1.4% 27,175 Air Products and Chemicals, Inc. ............................. 1,478 13,200 Avery Dennison Corporation.................................... 868 119,275 E.I. duPont de Nemours and Company............................ 5,104 30,775 Ecolab, Inc. ................................................. 968 13,350 Hercules, Inc.!!.............................................. 190 20,525 PPG Industries, Inc. ......................................... 1,258 38,825 Praxair, Inc. ................................................ 1,659 26,825 Rohm & Haas Company........................................... 1,153 112,275 The Dow Chemical Company...................................... 5,073 ---------- 17,751 ---------- CHEMICALS -- SPECIALTY -- 0.3% 8,500 Ashland Inc. ................................................. 477 9,300 Eastman Chemical Company...................................... 442 14,875 Engelhard Corporation......................................... 422 6,075 Great Lakes Chemical Corporation.............................. 156 11,250 International Flavors & Fragrances, Inc. ..................... 430 5,925 Millipore Corporation!!....................................... 284 31,902 Monsanto Company.............................................. 1,161 8,250 Sigma-Aldrich Corporation..................................... 478 ---------- 3,850 ---------- COMMERCIAL BANKING -- 8.8% 42,275 AmSouth Bancorporation........................................ 1,032 486,150 Bank of America Corporation>.................................. 21,065 66,275 BB&T Corporation.............................................. 2,630 619,125 Citigroup Inc. ............................................... 27,315 20,475 Comerica Inc. ................................................ 1,215 68,125 Fifth Third Bancorp........................................... 3,353 14,750 First Horizon National Corporation............................ 640 18,250 Golden West Financial Corporation............................. 2,025 27,450 Huntington Bancshares Inc. ................................... 684 48,625 KeyCorp....................................................... 1,537 14,000 M&T Bank Corporation.......................................... 1,340 26,625 Marshall and Ilsley Corporation............................... 1,073 50,675 Mellon Financial Corporation.................................. 1,403 79,200 National City Corporation..................................... 3,059 37,225 North Fork Bancorporation, Inc.(a)............................ 1,655 33,750 PNC Financial Services Group.................................. 1,826 55,215 Regions Financial Corporation................................. 1,825 39,775 SouthTrust Corporation........................................ 1,657 41,025 Sovereign Bancorp, Inc. ...................................... 895 42,800 SunTrust Banks, Inc. ......................................... 3,014 92,975 The Bank of New York Company, Inc. ........................... 2,712 224,600 US Bancorp.................................................... 6,491 156,500 Wachovia Corporation.......................................... 7,348
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations LargeCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) 104,275 Washington Mutual, Inc. ...................................... $ 4,075 201,825 Wells Fargo & Company......................................... 12,035 10,700 Zions Bancorporation.......................................... 653 ---------- 112,557 ---------- COMMERCIAL SERVICES -- 1.5% 38,025 Allied Waste Industries, Inc.!!............................... 337 23,050 Apollo Group Inc., Class A!!.................................. 1,691 126,175 Cendant Corporation........................................... 2,725 20,450 Cintas Corporation............................................ 860 79,000 eBay Inc.!!................................................... 7,262 23,350 Fiserv, Inc.!!................................................ 814 22,375 Omnicom Group Inc. ........................................... 1,635 20,600 Robert Half International Inc. ............................... 531 16,400 Sabre Holdings Corporation.................................... 402 114,925 Solectron Corporation!!....................................... 569 69,300 Waste Management, Inc. ....................................... 1,895 ---------- 18,721 ---------- COMPUTER SERVICES -- 1.1% 15,300 Affiliated Computer Services, Inc., Class A!!................. 852 69,825 Automatic Data Processing, Inc. .............................. 2,885 22,550 Computer Sciences Corporation!!............................... 1,062 17,025 Convergys Corporation!!....................................... 229 61,225 Electronic Data Systems Corporation........................... 1,187 16,275 Equifax Inc. ................................................. 429 102,475 First Data Corporation........................................ 4,458 45,200 Paychex, Inc. ................................................ 1,363 34,475 Sungard Data Systems, Inc.!!.................................. 819 40,025 Unisys Corporation!!.......................................... 413 ---------- 13,697 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 3.7% 46,375 Apple Computer, Inc.!!........................................ 1,797 298,375 Dell Inc.!!................................................... 10,622 287,400 EMC Corporation!!............................................. 3,317 44,550 Gateway, Inc.!!............................................... 221 360,926 Hewlett-Packard Company....................................... 6,767 200,200 International Business Machines Corporation................... 17,165 24,025 Jabil Circuit, Inc.!!......................................... 553 15,475 Lexmark International, Inc.!!................................. 1,300 11,250 NCR Corporation!!............................................. 558 42,750 Network Appliance, Inc.!!..................................... 983 27,625 Pitney Bowes Inc. ............................................ 1,218 397,525 Sun Microsystems, Inc.!!...................................... 1,606 100,275 Xerox Corporation!!........................................... 1,412 ---------- 47,519 ---------- CONGLOMERATES -- 0.8% 24,300 Dover Corporation............................................. 945 9,975 Fluor Corporation............................................. 444 16,575 Textron, Inc. ................................................ 1,065 240,075 Tyco International Ltd. ...................................... 7,360 12,225 Vulcan Materials Company...................................... 623 ---------- 10,437 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- CONSTRUCTION -- 0.0%+ 5,525 KB HOME....................................................... $ 467 ---------- CONSUMER CREDIT AND MORTGAGES -- 2.1% 151,525 American Express Company...................................... 7,797 67,298 Countrywide Financial Corporation............................. 2,651 115,675 Fannie Mae.................................................... 7,334 82,100 Freddie Mac................................................... 5,356 152,712 MBNA Corporation.............................................. 3,848 34,975 Providian Financial Corporation!!............................. 544 ---------- 27,530 ---------- DEPARTMENT AND DISCOUNT STORES -- 3.2% 55,125 Costco Wholesale Corporation.................................. 2,291 9,975 Dillard's, Inc., Class A...................................... 197 39,250 Dollar General Corporation.................................... 791 21,500 Federated Department Stores, Inc. ............................ 977 34,450 J.C. Penney Company, Inc. .................................... 1,215 40,825 Kohl's Corporation!!.......................................... 1,967 25,350 Sears, Roebuck and Company.................................... 1,010 107,950 Target Corporation............................................ 4,885 34,825 The May Department Stores Company............................. 893 507,050 Wal-Mart Stores, Inc. ........................................ 26,975 ---------- 41,201 ---------- DIVERSIFIED ELECTRONICS -- 0.2% 11,325 Cooper Industries, Ltd. ...................................... 668 34,250 Eastman Kodak Company......................................... 1,103 46,000 LSI Logic Corporation!!(a).................................... 198 28,600 Symbol Technologies, Inc. .................................... 362 ---------- 2,331 ---------- DIVERSIFIED MANUFACTURING -- 5.0% 93,550 3M Company.................................................... 7,481 11,400 Allegheny Technologies Inc. .................................. 208 9,575 Black & Decker Corporation.................................... 741 7,050 Crane Company................................................. 204 36,850 Danaher Corporation........................................... 1,890 1,261,850 General Electric Company...................................... 42,373 119,725 Gillette Company.............................................. 4,997 102,725 Honeywell International Inc. ................................. 3,684 11,025 ITT Industries, Inc. ......................................... 882 14,950 Pall Corporation.............................................. 366 62,275 Sanmina-SCI Corporation!!..................................... 439 10,875 W.W. Grainger, Inc. .......................................... 627 ---------- 63,892 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.0% 77,250 AES Corporation!!............................................. 772 15,200 Allegheny Energy, Inc.!!(a)................................... 243 53,050 Calpine Corporation!!(a)...................................... 154 21,575 Cinergy Corporation........................................... 854 19,275 CMS Energy Corporation!!...................................... 183 28,850 Consolidated Edison, Inc. .................................... 1,213 20,975 Constellation Energy Group, Inc. ............................. 836 45,350 Dynegy Inc., Class A!!........................................ 226
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations LargeCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- ELECTRIC POWER -- NON NUCLEAR -- (CONTINUED) 38,950 Edison International.......................................... $ 1,033 31,500 NiSource Inc. ................................................ 662 10,925 Pinnacle West Capital Corporation............................. 453 10,025 Power-One, Inc.!!............................................. 65 28,350 Public Service Enterprise Group Inc. ......................... 1,208 88,225 Southern Company.............................................. 2,645 23,750 TECO Energy, Inc.(a).......................................... 321 35,475 TXU Corporation............................................... 1,700 47,775 Xcel Energy, Inc. ............................................ 827 ---------- 13,395 ---------- ELECTRIC POWER -- NUCLEAR -- 1.5% 23,225 Ameren Corporation............................................ 1,072 47,275 American Electric Power Company, Inc. ........................ 1,511 39,475 Dominion Resources, Inc. ..................................... 2,576 20,775 DTE Energy Company............................................ 876 112,075 Duke Energy Corporation....................................... 2,565 27,125 Entergy Corporation........................................... 1,644 78,900 Exelon Corporation............................................ 2,895 39,425 FirstEnergy Corporation....................................... 1,620 22,150 FPL Group, Inc. .............................................. 1,513 47,925 PG & E Corporation!!.......................................... 1,457 22,575 PPL Corporation............................................... 1,065 ---------- 18,794 ---------- ELECTRICAL EQUIPMENT -- 0.3% 50,225 Emerson Electric Company...................................... 3,109 22,675 Molex Inc. ................................................... 676 ---------- 3,785 ---------- ENERGY -- MISCELLANEOUS -- 0.1% 36,750 CenterPoint Energy Inc. ...................................... 381 29,500 Progress Energy, Inc. ........................................ 1,249 20 Progress Energy, Inc., CVO (purchased 12/27/00, cost $10)(b)(c)........................ 3 ---------- 1,633 ---------- EXPLORATION AND PRODUCTION -- 0.4% 29,900 Anadarko Petroleum Corporation................................ 1,984 28,900 Devon Energy Corporation...................................... 2,052 14,075 EOG Resources, Inc. .......................................... 927 ---------- 4,963 ---------- FINANCE -- MISCELLANEOUS -- 0.6% 28,875 Capital One Financial Corporation............................. 2,134 19,700 H & R Block, Inc. ............................................ 974 17,700 Moody's Corporation........................................... 1,297 52,100 SLM Corporation............................................... 2,323 36,975 Synovus Financial Corporation................................. 967 ---------- 7,695 ---------- FOOD AND DRUG STORES -- 0.8% 43,950 Albertson's, Inc. ............................................ 1,052 47,725 CVS Corporation............................................... 2,011 53,400 Safeway Inc.!!................................................ 1,031 16,250 SUPERVALU Inc. ............................................... 448 88,325 The Kroger Company!!.......................................... 1,371
VALUE SHARES (000) ---------------------------------------------------------------------------------------- FOOD AND DRUG STORES -- (CONTINUED) 122,450 Walgreen Company.............................................. $ 4,387 16,975 Winn-Dixie Stores, Inc.(a).................................... 52 ---------- 10,352 ---------- FOOD PRODUCTS -- 1.4% 77,800 Archer-Daniels-Midland Company................................ 1,321 49,050 Campbell Soup Company......................................... 1,290 63,150 ConAgra Foods, Inc. .......................................... 1,624 45,450 General Mills, Inc. .......................................... 2,041 41,775 H.J. Heinz Company............................................ 1,505 29,425 Hershey Foods Corporation..................................... 1,374 49,400 Kellogg Company............................................... 2,107 16,375 McCormick and Company, Inc. .................................. 562 94,800 Sara Lee Corporation.......................................... 2,167 76,425 SYSCO Corporation............................................. 2,286 26,850 Wm. Wrigley Jr. Company....................................... 1,700 ---------- 17,977 ---------- HEALTH SERVICES -- 1.4% 16,675 Anthem, Inc.!!................................................ 1,455 40,452 Biogen Idec Inc.!!............................................ 2,474 57,675 HCA Inc. ..................................................... 2,200 29,100 Health Management Associates, Inc., Class A................... 595 19,050 Humana Inc.!!................................................. 381 10,450 Manor Care, Inc. ............................................. 313 35,100 McKesson Corporation.......................................... 900 12,175 Quest Diagnostics Inc. ....................................... 1,074 55,712 Tenet Healthcare Corporation!!................................ 601 79,450 UnitedHealth Group Inc. ...................................... 5,859 18,775 Wellpoint Health Networks Inc.!!.............................. 1,973 ---------- 17,825 ---------- HEAVY MACHINERY -- 1.1% 40,950 Caterpillar Inc. ............................................. 3,294 5,300 Cummins, Inc. ................................................ 392 29,650 Deere & Company............................................... 1,914 36,125 Illinois Tool Works Inc. ..................................... 3,365 20,725 Ingersoll-Rand Company, Class A............................... 1,409 8,350 Navistar International Corporation!!.......................... 311 20,750 PACCAR, Inc. ................................................. 1,434 14,275 Parker-Hannifin Corporation................................... 840 19,525 Thermo Electron Corporation!!................................. 528 ---------- 13,487 ---------- HOUSEHOLD PRODUCTS -- 2.2% 10,837 Alberto-Culver Company, Class B............................... 471 56,525 Avon Products, Inc. .......................................... 2,469 63,475 Colgate-Palmolive Company..................................... 2,868 17,225 Fortune Brands, Inc. ......................................... 1,276 59,100 Kimberly-Clark Corporation.................................... 3,817 303,825 Procter & Gamble Company&&.................................... 16,444 25,450 The Clorox Company............................................ 1,356 ---------- 28,701 ---------- HOUSING AND FURNISHING -- 0.5% 14,775 Centex Corporation............................................ 746 22,900 Leggett & Platt, Inc. ........................................ 643 51,775 Masco Corporation............................................. 1,789 9,425 Maytag Corporation............................................ 173 32,850 Newell Rubbermaid Inc. ....................................... 658
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Nations LargeCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- HOUSING AND FURNISHING -- (CONTINUED) 15,175 Pulte Homes, Inc. ............................................ $ 931 9,800 The Stanley Works............................................. 417 7,925 Whirlpool Corporation......................................... 476 ---------- 5,833 ---------- INSURANCE -- 4.8% 33,950 ACE Ltd. ..................................................... 1,360 18,350 Aetna Inc. ................................................... 1,834 60,600 AFLAC, Inc. .................................................. 2,376 82,825 Allstate Corporation.......................................... 3,975 12,950 AMBAC Financial Group, Inc. .................................. 1,035 311,375 American International Group, Inc. ........................... 21,169 37,750 Aon Corporation............................................... 1,085 22,825 Chubb Corporation............................................. 1,604 16,425 CIGNA Corporation............................................. 1,144 20,107 Cincinnati Financial Corporation.............................. 829 35,050 Hartford Financial Services Group, Inc. ...................... 2,171 16,300 Jefferson-Pilot Corporation................................... 809 21,025 Lincoln National Corporation.................................. 988 22,175 Loews Corporation............................................. 1,297 62,225 Marsh & McLennan Companies, Inc. ............................. 2,847 17,125 MBIA, Inc. ................................................... 997 89,650 MetLife, Inc. ................................................ 3,465 11,775 MGIC Investment Corporation................................... 784 37,450 Principal Financial Group, Inc. .............................. 1,347 25,950 Progressive Corporation....................................... 2,199 62,025 Prudential Financial, Inc. ................................... 2,918 15,050 SAFECO Corporation............................................ 687 79,916 The St. Paul Companies, Inc. ................................. 2,642 13,100 Torchmark Corporation......................................... 697 35,425 UnumProvident Corporation..................................... 556 16,550 XL Capital Ltd., Class A...................................... 1,225 ---------- 62,040 ---------- INTEGRATED OIL -- 5.6% 10,900 Amerada Hess Corporation...................................... 970 38,961 Apache Corporation............................................ 1,952 47,175 Burlington Resources Inc. .................................... 1,925 254,575 ChevronTexaco Corporation..................................... 13,655 82,327 ConocoPhillips................................................ 6,821 777,500 Exxon Mobil Corporation....................................... 37,577 18,050 Kerr-McGee Corporation........................................ 1,033 41,350 Marathon Oil Corporation...................................... 1,707 46,825 Occidental Petroleum Corporation.............................. 2,619 9,000 Sunoco, Inc. ................................................. 666 62,425 The Williams Companies, Inc. ................................. 755 31,650 Unocal Corporation............................................ 1,361 15,275 Valero Energy Corporation..................................... 1,225 ---------- 72,266 ---------- INVESTMENT SERVICES -- 3.6% 12,325 Bear Stearns Companies Inc. .................................. 1,185 163,325 Charles Schwab Corporation.................................... 1,501 44,600 E*TRADE Group, Inc.!!......................................... 509 12,950 Federated Investors Inc. ..................................... 368 29,800 Franklin Resources, Inc. ..................................... 1,662 58,075 Goldman Sachs Group, Inc. .................................... 5,415
VALUE SHARES (000) ---------------------------------------------------------------------------------------- INVESTMENT SERVICES -- (CONTINUED) 425,707 J.P. Morgan Chase & Company................................... $ 16,914 28,600 Janus Capital Group Inc. ..................................... 389 32,425 Lehman Brothers Holdings Inc. ................................ 2,585 112,275 Merrill Lynch & Company, Inc. ................................ 5,582 131,275 Morgan Stanley................................................ 6,472 26,275 Northern Trust Corporation.................................... 1,072 40,200 State Street Corporation...................................... 1,717 15,200 T Rowe Price Group Inc. ...................................... 774 ---------- 46,145 ---------- LODGING AND RECREATION -- 1.0% 11,425 Brunswick Corporation......................................... 523 75,650 Carnival Corporation.......................................... 3,577 35,275 Harley-Davidson, Inc. ........................................ 2,097 13,375 Harrah's Entertainment, Inc. ................................. 709 21,125 Hasbro, Inc. ................................................. 397 46,000 Hilton Hotels Corporation..................................... 867 41,200 International Game Technology................................. 1,481 27,350 Marriott International, Inc., Class A......................... 1,421 49,500 Mattel, Inc. ................................................. 897 24,875 Starwood Hotels & Resorts Worldwide, Inc. .................... 1,155 ---------- 13,124 ---------- MEDICAL DEVICES AND SUPPLIES -- 4.6% 186,575 Abbott Laboratories........................................... 7,903 24,125 Applera Corporation - Applied Biosystems Group................ 455 6,350 Bausch & Lomb Inc. ........................................... 422 73,475 Baxter International Inc. .................................... 2,363 29,950 Becton Dickinson & Company.................................... 1,548 30,350 Biomet, Inc. ................................................. 1,423 100,650 Boston Scientific Corporation!!............................... 3,999 12,525 C.R. Bard, Inc. .............................................. 709 51,450 Cardinal Health, Inc. ........................................ 2,252 13,725 Fisher Scientific International Inc.!!........................ 801 37,600 Guidant Corporation........................................... 2,483 354,725 Johnson & Johnson&&........................................... 19,982 144,550 Medtronic, Inc. .............................................. 7,502 21,150 St. Jude Medical, Inc.!!...................................... 1,592 47,950 Stryker Corporation........................................... 2,305 14,125 Waters Corporation!!.......................................... 623 29,275 Zimmer Holdings, Inc.!!....................................... 2,314 ---------- 58,676 ---------- METALS AND MINING -- 0.6% 103,950 Alcoa Inc. ................................................... 3,491 21,150 Freeport-McMoran Copper & Gold, Inc., Class B(a).............. 857 53,000 Newmont Mining Corporation.................................... 2,413 11,225 Phelps Dodge Corporation...................................... 1,033 10,425 Worthington Industries, Inc. ................................. 223 ---------- 8,017 ---------- NATURAL GAS DISTRIBUTION -- 0.2% 76,600 El Paso Corporation........................................... 704 19,150 KeySpan Corporation........................................... 751 5,275 NICOR Inc.(a)................................................. 194
SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS Nations LargeCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- NATURAL GAS DISTRIBUTION -- (CONTINUED) 4,500 Peoples Energy Corporation.................................... $ 188 27,700 Sempra Energy................................................. 1,001 ---------- 2,838 ---------- NATURAL GAS PIPELINES -- 0.1% 14,775 Kinder Morgan, Inc. .......................................... 928 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 2.7% 96,675 ADC Telecommunications, Inc.!!................................ 175 23,950 American Power Conversion Corporation......................... 416 19,225 Andrew Corporation!!.......................................... 235 54,100 Avaya Inc.!!.................................................. 754 68,025 CIENA Corporation!!........................................... 135 808,100 Cisco Systems, Inc.!!......................................... 14,628 23,375 Comverse Technology, Inc.!!................................... 440 166,550 Corning Inc.!!................................................ 1,845 172,125 JDS Uniphase Corporation!!.................................... 580 515,050 Lucent Technologies Inc.!!.................................... 1,633 282,350 Motorola, Inc. ............................................... 5,094 194,550 QUALCOMM Inc. ................................................ 7,595 18,300 Scientific-Atlanta, Inc. ..................................... 474 49,750 Tellabs, Inc.!!............................................... 457 ---------- 34,461 ---------- OIL REFINING AND MARKETING -- 0.1% 16,000 Noble Corporation!!........................................... 719 ---------- OILFIELD SERVICES -- 0.9% 39,900 Baker Hughes Inc. ............................................ 1,744 19,300 BJ Services Company........................................... 1,012 52,775 Halliburton Company........................................... 1,778 17,775 Nabors Industries, Ltd.!!..................................... 842 12,775 Rowan Companies, Inc.!!....................................... 337 70,575 Schlumberger Ltd. ............................................ 4,750 38,350 Transocean Inc.!!............................................. 1,372 ---------- 11,835 ---------- PACKAGING AND CONTAINERS -- 0.1% 13,425 Ball Corporation.............................................. 502 12,775 Bemis Company, Inc. .......................................... 340 17,950 Pactiv Corporation!!.......................................... 417 10,025 Sealed Air Corporation!!...................................... 465 ---------- 1,724 ---------- PAPER AND FOREST PRODUCTS -- 0.6% 10,525 Boise Cascade Corporation..................................... 350 30,850 Georgia-Pacific Corporation................................... 1,109 58,125 International Paper Company................................... 2,348 13,050 Louisiana-Pacific Corporation................................. 339 24,125 Meadwestvaco Corporation...................................... 770 21,900 Plum Creek Timber Company, Inc. .............................. 767 6,650 Temple-Inland Inc. ........................................... 447 28,625 Weyerhaeuser Company.......................................... 1,903 ---------- 8,033 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- PHARMACEUTICALS -- 6.5% 15,750 Allergan, Inc. ............................................... $ 1,143 13,450 AmerisourceBergen Corporation................................. 722 151,317 Amgen Inc.!!.................................................. 8,577 232,475 Bristol-Myers Squibb Company.................................. 5,503 55,700 Caremark Rx, Inc.!!........................................... 1,786 22,425 Chiron Corporation!!.......................................... 991 135,125 Eli Lilly and Company......................................... 8,114 9,275 Express Scripts, Inc.!!....................................... 606 44,250 Forest Laboratories, Inc.!!................................... 1,990 27,250 Genzyme Corporation!!......................................... 1,483 51,450 Gilead Sciences, Inc.!!....................................... 1,923 18,642 Hospira, Inc.!!............................................... 570 27,950 IMS Health Inc. .............................................. 669 28,875 King Pharmaceuticals, Inc.!!(a)............................... 345 32,511 Medco Health Solutions, Inc.!!................................ 1,005 29,800 MedImmune, Inc.!!............................................. 706 265,175 Merck & Company, Inc. ........................................ 8,751 32,125 Mylan Laboratories, Inc.(a)................................... 578 902,435 Pfizer Inc. .................................................. 27,614 175,975 Schering-Plough Corporation................................... 3,354 13,075 Watson Pharmaceuticals, Inc.!!................................ 385 159,400 Wyeth......................................................... 5,962 ---------- 82,777 ---------- PUBLISHING AND ADVERTISING -- 0.8% 5,975 Deluxe Corporation............................................ 245 9,775 Dow Jones & Company, Inc. .................................... 397 31,800 Gannett Company, Inc. ........................................ 2,665 50,450 Interpublic Group of Companies, Inc.!!........................ 534 9,250 Knight-Ridder, Inc. .......................................... 605 22,700 McGraw-Hill Companies, Inc. .................................. 1,809 6,000 Meredith Corporation.......................................... 308 14,175 Monster Worldwide Inc.!!...................................... 349 17,550 New York Times Company, Class A............................... 686 26,175 R.R. Donnelley & Sons Company................................. 820 38,050 Tribune Company............................................... 1,566 ---------- 9,984 ---------- RAILROADS, TRUCKING AND SHIPPING -- 1.5% 44,500 Burlington Northern Santa Fe Corporation...................... 1,705 25,675 CSX Corporation............................................... 852 35,900 FedEx Corporation............................................. 3,076 47,050 Norfolk Southern Corporation.................................. 1,399 7,700 Ryder System, Inc. ........................................... 362 30,975 Union Pacific Corporation..................................... 1,815 134,375 United Parcel Service, Inc., Class B.......................... 10,203 ---------- 19,412 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.4% 11,300 Apartment Investment and Management Company................... 393 48,150 Equity Office Properties Trust(a)............................. 1,312 33,550 Equity Residential Properties Trust........................... 1,040
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS Nations LargeCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- (CONTINUED) 21,725 ProLogis...................................................... $ 766 24,875 Simon Property Group, Inc. ................................... 1,334 ---------- 4,845 ---------- RESTAURANTS -- 0.7% 18,850 Darden Restaurants, Inc. ..................................... 440 150,150 McDonald's Corporation........................................ 4,209 47,500 Starbucks Corporation!!....................................... 2,159 13,575 Wendy's International, Inc. .................................. 456 34,725 Yum! Brands, Inc. ............................................ 1,412 ---------- 8,676 ---------- SEMICONDUCTORS -- 2.9% 42,425 Advanced Micro Devices, Inc.!!................................ 552 58,025 Agilent Technologies, Inc.!!.................................. 1,252 44,425 Altera Corporation!!.......................................... 869 45,225 Analog Devices, Inc. ......................................... 1,754 202,975 Applied Materials, Inc.!!..................................... 3,347 37,425 Applied Micro Circuits Corporation!!.......................... 117 38,500 Broadcom Corporation, Class A!!............................... 1,051 766,675 Intel Corporation............................................. 15,379 23,475 KLA-Tencor Corporation!!...................................... 974 36,750 Linear Technology Corporation................................. 1,332 38,800 Maxim Integrated Products, Inc. .............................. 1,641 73,075 Micron Technology, Inc.!!(a).................................. 879 42,800 National Semiconductor Corporation!!.......................... 663 17,075 Novellus Systems, Inc.!!...................................... 454 19,900 NVIDIA Corporation!!.......................................... 289 15,325 PerkinElmer, Inc. ............................................ 264 21,150 PMC-Sierra, Inc.!!............................................ 186 11,050 QLogic Corporation!!.......................................... 327 10,975 Tektronix, Inc. .............................................. 365 23,200 Teradyne, Inc.!!.............................................. 311 206,900 Texas Instruments Inc. ....................................... 4,402 41,475 Xilinx, Inc. ................................................. 1,120 ---------- 37,528 ---------- SOFTWARE -- 4.8% 28,650 Adobe Systems Inc. ........................................... 1,417 13,575 Autodesk, Inc. ............................................... 660 26,650 BMC Software, Inc.!!.......................................... 421 20,225 Citrix Systems, Inc.!!........................................ 354 69,950 Computer Associates International, Inc. ...................... 1,840 46,150 Compuware Corporation!!....................................... 238 36,300 Electronic Arts Inc.!!........................................ 1,669 22,900 Intuit Inc.!!................................................. 1,040 11,125 Mercury Interactive Corporation!!............................. 388 1,299,450 Microsoft Corporation......................................... 35,929 46,225 Novell, Inc.!!................................................ 292 617,975 Oracle Corporation!!.......................................... 6,971 32,175 Parametric Technology Corporation!!........................... 170 43,850 PeopleSoft, Inc.!!............................................ 870 60,425 Siebel Systems, Inc.!!........................................ 456 37,675 Symantec Corporation!!........................................ 2,068
VALUE SHARES (000) ---------------------------------------------------------------------------------------- SOFTWARE -- (CONTINUED) 51,725 VERITAS Software Corporation!!................................ $ 921 162,600 Yahoo! Inc.!!................................................. 5,514 ---------- 61,218 ---------- SPECIALTY STORES -- 2.3% 35,925 Bed Bath & Beyond Inc.!!...................................... 1,333 38,850 Best Buy Company, Inc. ....................................... 2,107 13,775 Big Lots Inc.!!............................................... 168 23,750 Circuit City Stores -- Circuit City Group..................... 364 20,100 Family Dollar Stores, Inc. ................................... 545 108,000 Gap, Inc. .................................................... 2,020 262,375 Home Depot, Inc. ............................................. 10,286 56,475 Limited Brands................................................ 1,259 93,175 Lowe's Companies, Inc. ....................................... 5,064 16,775 Nordstrom, Inc. .............................................. 641 37,450 Office Depot, Inc.!!.......................................... 563 19,075 RadioShack Corporation........................................ 546 17,025 Sherwin-Williams Company...................................... 748 59,475 Staples, Inc. ................................................ 1,774 17,475 Tiffany & Company............................................. 537 58,425 TJX Companies, Inc. .......................................... 1,288 25,575 Toys R Us, Inc.!!............................................. 454 ---------- 29,697 ---------- STEEL -- 0.1% 9,475 Nucor Corporation............................................. 865 13,550 United States Steel Corporation(a)............................ 510 ---------- 1,375 ---------- TELECOMMUNICATIONS SERVICES -- 3.6% 36,850 ALLTEL Corporation............................................ 2,023 94,975 AT&T Corporation.............................................. 1,360 326,225 AT&T Wireless Services Inc.!!................................. 4,822 218,800 BellSouth Corporation......................................... 5,934 16,125 CenturyTel, Inc. ............................................. 552 39,625 Citizens Communications Company............................... 531 133,075 Nextel Communications, Inc., Class A!!........................ 3,173 216,925 Qwest Communications International Inc.!!..................... 722 396,025 SBC Communications Inc. ...................................... 10,277 173,612 Sprint Corporation (FON Group)................................ 3,495 330,875 Verizon Communications Inc. .................................. 13,029 ---------- 45,918 ---------- TOBACCO -- 1.1% 245,225 Altria Group, Inc. ........................................... 11,536 17,700 Reynolds American Inc. ....................................... 1,204 19,750 UST Inc. ..................................................... 795 ---------- 13,535 ---------- TOTAL COMMON STOCKS (Cost $1,104,061)........................................... 1,244,097 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS Nations LargeCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
SHARES VALUE (000) (000) ---------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 3.1% (Cost $40,319) 40,319 Nations Cash Reserves, Capital Class Shares#.................. $ 40,319 ---------- TOTAL INVESTMENTS (Cost $1,144,380*)................................ 100.2% 1,284,416 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (0.2)% (1,962) ---------- NET ASSETS.......................................... 100.0% $1,282,454 ==========
--------------- *Federal income tax information (see Note 12). !! 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. A portion of this amount represents cash collateral received from securities lending activity (see note 11). The portion that represents cash collateral is $3,201. && All or a portion of security segregated as collateral for futures contracts. > Affiliated security. (a) All or a portion of security was on loan on September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004 is $6,878 and $3,076, respectively. (b) Fair valued security (see Note 1). (c) Restricted security. ABBREVIATIONS: CVO -- Contingent Value Obligation LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS Nations LargeCap Enhanced Core Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMON STOCKS -- 92.7% AEROSPACE AND DEFENSE -- 1.4% 17,500 Boeing Company................................................ $ 903 9,400 General Dynamics Corporation.................................. 960 300 Rockwell Automation, Inc. .................................... 12 9,700 Rockwell Collins, Inc. ....................................... 360 16,800 United Technologies Corporation............................... 1,569 -------- 3,804 -------- APPAREL AND TEXTILES -- 0.2% 14,900 Jones Apparel Group, Inc. .................................... 533 -------- AUTOMOTIVE -- 0.6% 7,500 AutoZone, Inc.!!.............................................. 579 800 Cooper Tire & Rubber Company.................................. 16 9,600 Eaton Corporation............................................. 609 36,000 Ford Motor Company............................................ 506 -------- 1,710 -------- BEVERAGES -- 2.6% 4,000 Adolph Coors Company, Class B................................. 272 2,900 Anheuser-Busch Companies, Inc. ............................... 145 100,800 Coca-Cola Company&&........................................... 4,037 2,300 Pepsi Bottling Group, Inc. ................................... 62 52,700 PepsiCo, Inc. ................................................ 2,564 -------- 7,080 -------- BROADCASTING AND CABLE -- 1.4% 9,500 Clear Channel Communications, Inc. ........................... 296 24,100 Comcast Corporation, Class A!!................................ 681 42,000 The Walt Disney Company....................................... 947 115,300 Time Warner Inc.!!............................................ 1,861 600 Viacom Inc., Class B.......................................... 20 -------- 3,805 -------- CHEMICALS -- BASIC -- 0.0%+ 1,000 PPG Industries, Inc. ......................................... 61 -------- CHEMICALS -- SPECIALTY -- 0.7% 10,500 Millipore Corporation!!....................................... 502 36,900 Monsanto Company.............................................. 1,344 -------- 1,846 -------- COMMERCIAL BANKING -- 6.1% 31,900 AmSouth Bancorporation........................................ 778 158,400 Citigroup Inc.&&.............................................. 6,988 1,400 Comerica Inc. ................................................ 83 7,600 Fifth Third Bancorp........................................... 374 8,200 M&T Bank Corporation.......................................... 785 500 Marshall and Ilsley Corporation............................... 20 9,400 North Fork Bancorporation, Inc. .............................. 418 3,200 PNC Financial Services Group.................................. 173 40,200 The Bank of New York Company, Inc. ........................... 1,173 74,600 US Bancorp.................................................... 2,156 25,700 Wachovia Corporation.......................................... 1,207 34,900 Washington Mutual, Inc. ...................................... 1,364 18,400 Wells Fargo & Company......................................... 1,097 -------- 16,616 -------- COMMERCIAL SERVICES -- 0.9% 11,900 Allied Waste Industries, Inc.!!............................... 105
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMERCIAL SERVICES -- (CONTINUED) 24,300 Apollo Group Inc., Class A!!&&................................ $ 1,784 8,400 Cendant Corporation........................................... 181 23,100 Solectron Corporation!!....................................... 114 9,100 Waste Management, Inc. ....................................... 249 -------- 2,433 -------- COMPUTER SERVICES -- 0.2% 3,300 Affiliated Computer Services, Inc., Class A!!................. 184 1,600 Computer Sciences Corporation!!............................... 75 1,800 Convergys Corporation!!....................................... 24 8,600 Electronic Data Systems Corporation........................... 167 1 First Data Corporation........................................ 0++ -------- 450 -------- COMPUTERS AND OFFICE EQUIPMENT -- 4.1% 60,400 Dell Inc.!!................................................... 2,150 103,300 Hewlett-Packard Company....................................... 1,937 60,100 International Business Machines Corporation&&................. 5,154 14,300 Lexmark International, Inc.!!................................. 1,201 2,300 NCR Corporation!!............................................. 114 38,800 Xerox Corporation!!........................................... 546 -------- 11,102 -------- CONGLOMERATES -- 0.6% 55,000 Tyco International Ltd. ...................................... 1,686 -------- CONSUMER CREDIT AND MORTGAGES -- 3.2% 42,200 American Express Company...................................... 2,172 46,800 Countrywide Financial Corporation............................. 1,843 48,800 Fannie Mae&&.................................................. 3,094 4,600 Freddie Mac................................................... 300 53,400 MBNA Corporation.............................................. 1,346 -------- 8,755 -------- DEPARTMENT AND DISCOUNT STORES -- 2.5% 2,500 Costco Wholesale Corporation.................................. 104 13,300 Federated Department Stores, Inc. ............................ 604 15,500 J.C. Penney Company, Inc. .................................... 547 13,200 Target Corporation............................................ 597 95,400 Wal-Mart Stores, Inc.&&....................................... 5,076 -------- 6,928 -------- DIVERSIFIED MANUFACTURING -- 4.5% 40,400 3M Company.................................................... 3,231 199,100 General Electric Company...................................... 6,686 36,900 Gillette Company.............................................. 1,540 8,500 Honeywell International Inc. ................................. 305 5,900 ITT Industries, Inc. ......................................... 472 -------- 12,234 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.6% 37,600 Edison International.......................................... 997 9,200 NiSource Inc. ................................................ 193 11,600 Pinnacle West Capital Corporation............................. 481 -------- 1,671 --------
SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS Nations LargeCap Enhanced Core Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- ELECTRIC POWER -- NUCLEAR -- 0.6% 16,500 FirstEnergy Corporation....................................... $ 678 29,700 PG & E Corporation!!.......................................... 903 -------- 1,581 -------- ELECTRICAL EQUIPMENT -- 0.4% 18,800 Emerson Electric Company...................................... 1,164 -------- ENERGY -- MISCELLANEOUS -- 0.4% 8,500 CenterPoint Energy Inc. ...................................... 88 22,500 Progress Energy, Inc. ........................................ 953 -------- 1,041 -------- EXPLORATION AND PRODUCTION -- 0.9% 29,600 Devon Energy Corporation...................................... 2,102 6,500 EOG Resources, Inc. .......................................... 428 -------- 2,530 -------- FINANCE -- MISCELLANEOUS -- 1.0% 11,500 Capital One Financial Corporation............................. 850 38,900 H & R Block, Inc. ............................................ 1,922 -------- 2,772 -------- FOOD AND DRUG STORES -- 0.5% 16,200 CVS Corporation............................................... 683 19,900 SUPERVALU Inc. ............................................... 548 -------- 1,231 -------- FOOD PRODUCTS -- 1.1% 7,000 General Mills, Inc. .......................................... 314 43,100 Hershey Foods Corporation..................................... 2,014 10,500 Kellogg Company............................................... 448 11,500 SYSCO Corporation............................................. 344 -------- 3,120 -------- HEALTH SERVICES -- 1.2% 13,400 Biogen Idec Inc.!!............................................ 820 5,500 HCA Inc. ..................................................... 210 4,200 Manor Care, Inc. ............................................. 126 13,500 Quest Diagnostics Inc. ....................................... 1,190 8,200 Wellpoint Health Networks Inc.!!.............................. 862 -------- 3,208 -------- HEAVY MACHINERY -- 1.5% 22,100 Illinois Tool Works Inc. ..................................... 2,059 23,200 Ingersoll-Rand Company, Class A............................... 1,577 7,900 Parker-Hannifin Corporation................................... 465 -------- 4,101 -------- HOUSEHOLD PRODUCTS -- 3.2% 49,000 Avon Products, Inc. .......................................... 2,140 5,000 Colgate-Palmolive Company..................................... 226 37,200 Kimberly-Clark Corporation.................................... 2,404 35,000 Procter & Gamble Company...................................... 1,894 36,200 The Clorox Company............................................ 1,929 -------- 8,593 -------- HOUSING AND FURNISHING -- 0.3% 8,200 Masco Corporation............................................. 283 1,800 Pulte Homes, Inc. ............................................ 110 7,400 Whirlpool Corporation......................................... 445 -------- 838 --------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- INSURANCE -- 7.0% 18,800 ACE Ltd. ..................................................... $ 753 2,100 Aetna Inc. ................................................... 210 10,200 AFLAC, Inc. .................................................. 400 4,000 Allstate Corporation.......................................... 192 86,900 American International Group, Inc.&&.......................... 5,907 17,800 Aon Corporation............................................... 512 9,100 Hartford Financial Services Group, Inc. ...................... 564 13,400 Jefferson-Pilot Corporation................................... 665 9,200 Loews Corporation............................................. 538 13,100 MBIA, Inc. ................................................... 763 16,800 MGIC Investment Corporation................................... 1,118 6,200 Principal Financial Group, Inc. .............................. 223 2,500 Progressive Corporation....................................... 212 49,300 Prudential Financial, Inc. ................................... 2,319 38,300 SAFECO Corporation............................................ 1,748 55,500 The St. Paul Companies, Inc. ................................. 1,835 14,100 Torchmark Corporation......................................... 750 -------- 18,709 -------- INTEGRATED OIL -- 6.3% 2,200 Amerada Hess Corporation...................................... 196 41,600 Apache Corporation............................................ 2,085 40,200 ChevronTexaco Corporation..................................... 2,156 36,600 ConocoPhillips................................................ 3,032 146,600 Exxon Mobil Corporation&&..................................... 7,086 15,100 Kerr-McGee Corporation........................................ 864 40,200 The Williams Companies, Inc. ................................. 486 15,100 Valero Energy Corporation..................................... 1,211 -------- 17,116 -------- INVESTMENT SERVICES -- 4.1% 13,400 E*TRADE Group, Inc.!!......................................... 153 118,800 J.P. Morgan Chase & Company................................... 4,720 14,100 Lehman Brothers Holdings Inc. ................................ 1,124 12,500 Merrill Lynch & Company, Inc. ................................ 622 61,200 Morgan Stanley................................................ 3,017 100 Northern Trust Corporation.................................... 4 34,400 State Street Corporation...................................... 1,469 300 T Rowe Price Group Inc. ...................................... 15 -------- 11,124 -------- LODGING AND RECREATION -- 1.4% 18,300 Harley-Davidson, Inc. ........................................ 1,088 23,600 Hasbro, Inc. ................................................. 444 41,900 International Game Technology................................. 1,505 7,500 Mandalay Resort Group......................................... 515 8,200 Starwood Hotels & Resorts Worldwide, Inc. .................... 381 -------- 3,933 -------- MEDICAL DEVICES AND SUPPLIES -- 4.3% 14,900 Abbott Laboratories........................................... 631 8,700 Baxter International Inc. .................................... 280 39,300 Becton Dickinson & Company.................................... 2,032 23,000 Biomet, Inc. ................................................. 1,078 100 Boston Scientific Corporation!!............................... 4 4,800 Cardinal Health, Inc. ........................................ 210 99,800 Johnson & Johnson............................................. 5,622 23,000 Medtronic, Inc. .............................................. 1,194
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS Nations LargeCap Enhanced Core Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- (CONTINUED) 12,800 Stryker Corporation........................................... $ 615 100 Zimmer Holdings, Inc.!!....................................... 8 -------- 11,674 -------- METALS AND MINING -- 0.2% 6,900 Phelps Dodge Corporation...................................... 635 -------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 3.5% 241,500 Cisco Systems, Inc.!!......................................... 4,371 29,800 Corning Inc.!!................................................ 330 113,900 Motorola, Inc. ............................................... 2,055 69,400 QUALCOMM Inc. ................................................ 2,709 -------- 9,465 -------- OILFIELD SERVICES -- 0.6% 23,300 Schlumberger Ltd. ............................................ 1,568 -------- PACKAGING AND CONTAINERS -- 0.1% 10,000 Bemis Company, Inc. .......................................... 266 600 Sealed Air Corporation!!...................................... 28 -------- 294 -------- PAPER AND FOREST PRODUCTS -- 1.1% 8,000 Georgia-Pacific Corporation................................... 288 38,700 International Paper Company................................... 1,563 39,800 Louisiana-Pacific Corporation................................. 1,033 -------- 2,884 -------- PHARMACEUTICALS -- 5.1% 25,600 Amgen Inc.!!.................................................. 1,451 67,200 Bristol-Myers Squibb Company.................................. 1,591 18,600 Caremark Rx, Inc.!!........................................... 597 11,000 Eli Lilly and Company......................................... 661 5,500 Express Scripts, Inc.!!....................................... 359 10,700 Forest Laboratories, Inc.!!................................... 481 5,700 King Pharmaceuticals, Inc.!!.................................. 68 19,700 Medco Health Solutions, Inc.!!................................ 609 24,800 Merck & Company, Inc. ........................................ 818 232,700 Pfizer Inc.&&................................................. 7,120 800 Wyeth......................................................... 30 -------- 13,785 -------- PUBLISHING AND ADVERTISING -- 1.3% 15,700 Interpublic Group of Companies, Inc.!!........................ 166 21,300 Knight-Ridder, Inc. .......................................... 1,394 9,200 McGraw-Hill Companies, Inc. .................................. 733 15,000 New York Times Company, Class A............................... 587 16,200 Tribune Company............................................... 667 -------- 3,547 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.3% 8,300 Burlington Northern Santa Fe Corporation...................... 318 900 Norfolk Southern Corporation.................................. 27 5,300 United Parcel Service, Inc., Class B.......................... 402 -------- 747 --------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- RESTAURANTS -- 0.4% 35,600 McDonald's Corporation........................................ $ 998 4,900 Starbucks Corporation!!....................................... 223 -------- 1,221 -------- SEMICONDUCTORS -- 2.4% 1,100 Altera Corporation!!.......................................... 22 238,300 Intel Corporation............................................. 4,779 30,300 Maxim Integrated Products, Inc. .............................. 1,281 900 National Semiconductor Corporation!!.......................... 14 11,300 PerkinElmer, Inc. ............................................ 195 17,000 Texas Instruments Inc. ....................................... 362 -------- 6,653 -------- SOFTWARE -- 5.2% 21,500 Autodesk, Inc. ............................................... 1,046 32,500 Citrix Systems, Inc.!!........................................ 569 26,800 Electronic Arts Inc.!!........................................ 1,233 257,600 Microsoft Corporation......................................... 7,122 273,500 Oracle Corporation!!.......................................... 3,085 32,200 Yahoo! Inc.!!................................................. 1,092 -------- 14,147 -------- SPECIALTY STORES -- 2.2% 97,200 Gap, Inc. .................................................... 1,818 32,000 Home Depot, Inc. ............................................. 1,254 3,200 Lowe's Companies, Inc. ....................................... 174 9,700 Nordstrom, Inc. .............................................. 371 21,400 Office Depot, Inc.!!.......................................... 322 90,300 TJX Companies, Inc. .......................................... 1,990 -------- 5,929 -------- STEEL -- 0.7% 11,400 Nucor Corporation............................................. 1,042 23,100 United States Steel Corporation............................... 869 -------- 1,911 -------- TELECOMMUNICATIONS SERVICES -- 4.0% 1,100 ALLTEL Corporation............................................ 60 104,200 AT&T Corporation.............................................. 1,492 50,000 AT&T Wireless Services Inc.!!................................. 739 63,300 BellSouth Corporation......................................... 1,717 47,000 Nextel Communications, Inc., Class A!!........................ 1,120 110,400 SBC Communications Inc. ...................................... 2,865 14,800 Sprint Corporation (FON Group)................................ 298 68,100 Verizon Communications Inc. .................................. 2,682 -------- 10,973 -------- TOBACCO -- 1.8% 61,700 Altria Group, Inc. ........................................... 2,903 29,400 Reynolds American Inc. ....................................... 2,000 -------- 4,903 -------- TOTAL COMMON STOCKS (Cost $211,788)............................................. 252,111 --------
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS Nations LargeCap Enhanced Core Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE CONTRACTS (000) ---------------------------------------------------------------------------------------- PURCHASED OPTIONS -- 0.4% 1,000 Call option Altria Group Strike price 40.00 Expires 01/22/05............................................ $ 775 10(c)(d) Call option on interest rate swap, expiring on 07/14/06. If exercised, Morgan Stanley pays fixed (3.75%) and receives 6 month EURIBOR, Swap expires 07/13/07.................................................... 70 1,000 Put option Altria Group Strike price 20.00 Expires 01/22/05............................................ 5 400 Put option S&P 500 Index Strike price 900.00 Expires 03/19/05............................................ 188 -------- TOTAL PURCHASED OPTIONS (Cost $958)................................................. 1,038 -------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 4.3% (Cost $11,697) 11,697 Nations Cash Reserves, Capital Class Shares#.................. 11,697 -------- TOTAL INVESTMENTS (Cost $224,443*).................................. 97.4% 264,846 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ 2.6% 7,189 -------- NET ASSETS.......................................... 100.0% $272,035 ======== VALUE CONTRACTS (000) ---------------------------------------------------------------------------------------- WRITTEN OPTIONS (1,000) Call option Altria Group Strike price 40.00 Expires 01/22/05.................................. $ (775) (1,000) Put option Altria Group Strike price 20.00 Expires 01/22/05.................................. (5) (400) Put option S&P 500 Index Strike price 1,005.00 Expires 03/19/05.................................. (296) -------- TOTAL WRITTEN OPTIONS (Premium $1,010).................................. $ (1,076) ========
--------------- *Federal income tax information (see Note 12). !! Non-income producing security. +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 futures contracts and written options. (c) 1 contract = $1,000,000. (d) Fair valued security (see Note 1). ABBREVIATIONS: LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS Nations MidCap Index Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- COMMON STOCKS -- 98.6% AEROSPACE AND DEFENSE -- 1.1% 57,875 Alliant Techsystems Inc.!!.................................... $ 3,501 164,650 L-3 Communications Holdings, Inc. ............................ 11,032 16,075 Sequa Corporation, Class A!!.................................. 839 129,925 The Titan Corporation!!....................................... 1,815 ---------- 17,187 ---------- AIRLINES -- 0.4% 131,750 AirTran Holdings, Inc.!!...................................... 1,312 41,350 Alaska Air Group, Inc.!!...................................... 1,025 159,187 JetBlue Airways Corporation!!(a).............................. 3,330 ---------- 5,667 ---------- APPAREL AND TEXTILES -- 0.2% 54,325 Timberland Company, Class A!!................................. 3,086 ---------- AUTOMOBILES -- 0.2% 145,775 Adesa, Inc. .................................................. 2,395 ---------- AUTOMOTIVE -- 1.5% 106,850 ArvinMeritor, Inc. ........................................... 2,003 85,950 Borg Warner Inc. ............................................. 3,721 160,175 Carmax Inc.!!................................................. 3,452 138,575 Copart, Inc.!!................................................ 2,623 119,275 Gentex Corporation............................................ 4,190 105,675 Lear Corporation.............................................. 5,754 41,025 Superior Industries International, Inc.(a).................... 1,229 ---------- 22,972 ---------- BEVERAGES -- 0.7% 165,200 Constellation Brands, Inc.!!.................................. 6,288 212,900 PepsiAmericas, Inc. .......................................... 4,066 ---------- 10,354 ---------- BROADCASTING AND CABLE -- 0.6% 86,300 Emmis Communications Corporation!!............................ 1,559 76,775 Entercom Communications Corporation!!......................... 2,507 36,550 Media General Inc., Class A................................... 2,045 149,750 Westwood One, Inc.!!.......................................... 2,961 ---------- 9,072 ---------- BUILDING MATERIALS -- 0.2% 74,275 Martin Marietta Materials, Inc. .............................. 3,362 ---------- BUSINESS SERVICES AND SUPPLIES -- 0.1% 166,425 Gartner Group, Inc.!!(a)...................................... 1,946 ---------- CHEMICALS -- BASIC -- 1.2% 56,150 FMC Corporation!!............................................. 2,727 103,925 FMC Technologies, Inc.!!...................................... 3,471 178,400 IMC Global, Inc. ............................................. 3,102 274,875 Lyondell Chemical Company..................................... 6,174 107,525 Olin Corporation.............................................. 2,151 ---------- 17,625 ---------- CHEMICALS -- SPECIALTY -- 1.6% 114,875 Airgas, Inc. ................................................. 2,765
VALUE SHARES (000) -------------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- (CONTINUED) 64,025 Albemarle Corporation......................................... $ 2,247 95,025 Cabot Corporation............................................. 3,665 38,175 Cabot Microelectronics Corporation!!(a)....................... 1,384 176,500 Crompton Corporation.......................................... 1,675 60,275 Cytec Industries Inc. ........................................ 2,950 64,525 Ferro Corporation............................................. 1,407 100,300 Lubrizol Corporation.......................................... 3,470 31,700 Minerals Technologies Inc. ................................... 1,866 50,425 Scotts Company, Class A!!..................................... 3,235 ---------- 24,664 ---------- COMMERCIAL BANKING -- 7.1% 169,562 Associated Banc-Corp.......................................... 5,438 117,800 Astoria Financial Corporation................................. 4,181 80,975 Bank of Hawaii Corporation.................................... 3,826 266,275 Banknorth Group, Inc.&&....................................... 9,319 75,550 City National Corporation..................................... 4,907 205,700 Colonial BancGroup, Inc. ..................................... 4,207 121,025 Commerce Bancorp, Inc.(a)..................................... 6,681 188,875 Compass Bancshares, Inc. ..................................... 8,276 79,350 Cullen Frost Bankers, Inc. ................................... 3,687 130,625 Firstmerit Corporation........................................ 3,436 78,900 Greater Bay Bancorp........................................... 2,268 239,250 Hibernia Corporation, Class A................................. 6,319 129,325 Independence Community Bank Corporation....................... 5,050 102,075 Investors Financial Services Corporation...................... 4,607 121,800 Mercantile Bankshares Corporation............................. 5,842 407,703 New York Community Bancorp, Inc. ............................. 8,373 54,900 Silicon Valley Bancshares!!................................... 2,041 214,925 TCF Financial Corporation..................................... 6,510 120,825 Washington Federal, Inc. ..................................... 3,039 81,675 Webster Financial Corporation................................. 4,034 48,850 Westamerica Bancorporation.................................... 2,681 102,225 Wilmington Trust Corporation.................................. 3,702 ---------- 108,424 ---------- COMMERCIAL SERVICES -- 3.8% 124,525 Alliance Data Systems Corporation!!........................... 5,051 29,850 Bandag, Inc. ................................................. 1,307 80,300 Catalina Marketing Corporation................................ 1,853 128,025 CDW Corporation............................................... 7,429 97,625 Certegy Inc. ................................................. 3,633 136,502 ChoicePoint Inc.!!............................................ 5,822 74,750 Dycom Industries, Inc.!!...................................... 2,122 116,850 Fastenal Company.............................................. 6,731 54,200 Kelly Services, Inc. ......................................... 1,448 59,625 Korn/Ferry International!!.................................... 1,087 138,775 Manpower Inc. ................................................ 6,174 162,125 MPS Group, Inc.!!............................................. 1,363 70,312 Rollins, Inc. ................................................ 1,708 158,750 SEI Investment Company........................................ 5,347 97,325 Sotheby's Holdings, Class A!!................................. 1,530 119,750 United Rentals, Inc.!!(a)..................................... 1,903 79,750 Valassis Communications Inc.!!................................ 2,359 ---------- 56,867 ---------- COMPUTER SERVICES -- 1.9% 132,475 Acxiom Corporation............................................ 3,145
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS Nations MidCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- COMPUTER SERVICES -- (CONTINUED) 228,825 Ceridian Corporation!!........................................ $ 4,213 202,325 Cognizant Technology Solutions Corporation!!.................. 6,173 80,125 CSG Systems International, Inc.!!............................. 1,235 108,300 Fair, Issac and Company Inc. ................................. 3,162 181,750 GTECH Holdings Corporation.................................... 4,602 139,025 Jack Henry & Associates, Inc. ................................ 2,609 240,225 Synopsys, Inc.!!.............................................. 3,803 ---------- 28,942 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 1.4% 75,850 Avocent Corporation!!......................................... 1,974 109,725 Herman Miller, Inc. .......................................... 2,705 66,475 Plexus Corporation!!.......................................... 734 280,125 Quantum Corporation!!......................................... 647 171,150 Storage Technology Corporation!!.............................. 4,323 89,350 Tech Data Corporation!!....................................... 3,444 110,375 Zebra Technologies Corporation, Class A!!..................... 6,735 ---------- 20,562 ---------- CONGLOMERATES -- 1.2% 64,075 Granite Construction.......................................... 1,531 154,575 Pentair, Inc. ................................................ 5,396 171,875 Scana Corporation............................................. 6,418 117,225 SPX Corporation............................................... 4,150 ---------- 17,495 ---------- CONSTRUCTION -- 0.5% 94,150 Hovnanian Enterprises Inc.!!.................................. 3,775 86,750 Jacobs Engineering Group Inc.!!............................... 3,322 180,675 Quanta Services, Inc.!!....................................... 1,093 ---------- 8,190 ---------- CONSUMER CREDIT AND MORTGAGES -- 0.3% 242,650 AmeriCredit Corporation!!..................................... 5,067 ---------- CONSUMER SERVICES -- 0.5% 121,825 Rent-A-Center, Inc.!!......................................... 3,150 79,025 Valspar Corporation........................................... 3,689 ---------- 6,839 ---------- DEPARTMENT AND DISCOUNT STORES -- 0.5% 75,900 Neiman Marcus Group Inc., Class A............................. 4,364 218,475 Saks, Inc. ................................................... 2,633 ---------- 6,997 ---------- DIVERSIFIED ELECTRONICS -- 3.3% 136,300 Amphenol Corporation, Class A!!............................... 4,670 50,000 Black Hills Corporation....................................... 1,389 110,425 Diebold, Inc. ................................................ 5,157 101,700 Harman International Industries, Inc. ........................ 10,957 102,125 Harris Corporation............................................ 5,611 124,000 Hawaiian Electric Industries, Inc.(a)......................... 3,291 93,725 Hubbell Inc. ................................................. 4,202 111,775 Integrated Circuit Systems, Inc.!!............................ 2,403 121,362 National Instruments Corporation.............................. 3,674
VALUE SHARES (000) -------------------------------------------------------------------------------------- DIVERSIFIED ELECTRONICS -- (CONTINUED) 93,050 PNM Resources Inc. ........................................... $ 2,095 287,400 RF Micro Devices, Inc.!!...................................... 1,822 53,450 Varian Inc.!!................................................. 2,024 255,775 Vishay Intertechnology, Inc.!!................................ 3,299 ---------- 50,594 ---------- DIVERSIFIED MANUFACTURING -- 2.6% 48,000 Carlisle Companies Inc. ...................................... 3,069 133,000 Donaldson Company, Inc. ...................................... 3,776 120,075 Energizer Holdings Inc.!!..................................... 5,535 74,125 Federal Signal Corporation.................................... 1,377 63,350 Harsco Corporation............................................ 2,844 56,150 Kennametal Inc. .............................................. 2,535 54,925 Lancaster Colony Corporation.................................. 2,316 53,125 Modine Manufacturing Company.................................. 1,600 54,925 Nordson Corporation........................................... 1,886 100,000 Precision Castparts Corporation............................... 6,006 72,200 Sensient Technologies Corporation............................. 1,562 61,950 Teleflex Inc. ................................................ 2,633 87,375 The Brink's Company........................................... 2,636 63,800 York International Corporation................................ 2,015 ---------- 39,790 ---------- EDUCATION -- 1.1% 157,650 Career Education Corporation!!................................ 4,483 138,900 Corinthian Colleges, Inc.!!................................... 1,872 108,225 DeVry, Inc.!!................................................. 2,241 112,650 Education Management Corporation!!............................ 3,001 70,425 ITT Educational Services, Inc.!!.............................. 2,539 70,325 Laureate Education Inc.!!..................................... 2,617 ---------- 16,753 ---------- ELECTRIC POWER -- NON NUCLEAR -- 2.5% 194,825 DPL Inc. ..................................................... 4,009 117,950 Duquesne Light Holdings, Inc. ................................ 2,118 114,375 Great Plains Energy Inc. ..................................... 3,334 58,800 IDACORP, Inc. ................................................ 1,709 197,475 Northeast Utilities Company................................... 3,829 81,800 NSTAR......................................................... 4,017 134,950 OGE Energy Corporation........................................ 3,405 285,850 Pepco Holdings, Inc. ......................................... 5,689 180,700 Sierra Pacific Resources!!(a)................................. 1,617 117,000 Vectren Corporation........................................... 2,946 132,125 Westar Energy, Inc. .......................................... 2,669 57,375 WPS Resources Corporation..................................... 2,581 ---------- 37,923 ---------- ELECTRIC POWER -- NUCLEAR -- 0.7% 174,375 Alliant Energy Corporation.................................... 4,338 225,925 Energy East Corporation....................................... 5,689 ---------- 10,027 ---------- ELECTRICAL EQUIPMENT -- 0.6% 105,050 AMETEK, Inc. ................................................. 3,186 54,775 Imation Corporation........................................... 1,949 28,450 Tecumseh Products Company..................................... 1,191 90,800 Thomas & Betts Corporation.................................... 2,435 ---------- 8,761 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS Nations MidCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- ENERGY -- MISCELLANEOUS -- 0.6% 153,225 Puget Energy Inc. ............................................ $ 3,478 181,125 Wisconsin Energy Corporation.................................. 5,778 ---------- 9,256 ---------- EXPLORATION AND PRODUCTION -- 2.1% 90,750 Forest Oil Corporation!!...................................... 2,733 95,950 Newfield Exploration Company!!................................ 5,876 89,975 Noble Energy, Inc. ........................................... 5,240 98,425 Pogo Producing Company........................................ 4,670 398,753 XTO Energy, Inc. ............................................. 12,952 ---------- 31,471 ---------- FINANCE -- MISCELLANEOUS -- 0.4% 94,325 IndyMac Bancorp, Inc. ........................................ 3,415 136,375 MoneyGram International, Inc. ................................ 2,329 ---------- 5,744 ---------- FOOD AND DRUG STORES -- 0.6% 71,950 Ruddick Corporation........................................... 1,413 95,875 Whole Foods Market, Inc. ..................................... 8,225 ---------- 9,638 ---------- FOOD PRODUCTS -- 2.1% 243,062 Dean Foods Company!!.......................................... 7,297 213,725 Hormel Foods Corporation...................................... 5,724 170,225 Smithfield Foods, Inc.!!...................................... 4,256 89,875 The J. M. Smucker Company..................................... 3,991 80,501 Tootsie Roll Industries, Inc. ................................ 2,352 543,600 Tyson Foods Inc., Class A..................................... 8,708 ---------- 32,328 ---------- HEALTH SERVICES -- 3.8% 76,950 Apria Healthcare Group Inc.!!................................. 2,097 71,150 Charles River Laboratories International, Inc.!!(a)........... 3,259 134,150 Community Health Systems!!.................................... 3,579 96,450 Covance Inc.!!................................................ 3,855 137,925 Coventry Health Care, Inc.!!.................................. 7,361 141,175 First Health Group Corporation!!.............................. 2,272 172,425 Health Net Inc.!!............................................. 4,262 59,600 Lifepoint Hospitals, Inc.!!................................... 1,789 153,900 Lincare Holdings Inc.!!....................................... 4,572 160,325 Omnicare, Inc. ............................................... 4,547 132,475 Pacificare Health Systems Inc.!!.............................. 4,862 103,300 Renal Care Group, Inc.!!...................................... 3,329 69,575 Stericycle, Inc.!!............................................ 3,193 118,275 Triad Hospitals, Inc.!!....................................... 4,073 89,600 Universal Health Services, Inc., Class B...................... 3,898 ---------- 56,948 ---------- HEAVY MACHINERY -- 0.6% 138,975 Agco Corporation!!............................................ 3,144 85,125 Flowserve Corporation!!....................................... 2,058 106,687 Graco Inc. ................................................... 3,574 ---------- 8,776 ----------
VALUE SHARES (000) -------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS -- 0.6% 105,050 American Greetings Corporation, Class A!!..................... $ 2,639 62,900 Blyth Industries, Inc. ....................................... 1,944 95,200 Church & Dwight Company, Inc. ................................ 2,671 90,175 Tupperware Corporation........................................ 1,531 ---------- 8,785 ---------- HOUSING AND FURNISHING -- 3.2% 359,162 D.R. Horton, Inc. ............................................ 11,893 84,275 Furniture Brands International, Inc. ......................... 2,114 88,525 HNI Corporation............................................... 3,504 240,325 Lennar Corporation, Class A................................... 11,439 102,750 Mohawk Industries Inc.!!...................................... 8,157 179,000 RPM Inc. ..................................................... 3,159 36,525 The Ryland Group, Inc. ....................................... 3,384 115,075 Toll Brothers, Inc.!!......................................... 5,331 ---------- 48,981 ---------- INSURANCE -- 5.7% 81,975 Allmerica Financial Corporation!!............................. 2,203 113,400 American Financial Group, Inc. ............................... 3,390 60,225 AmerUs Group Company.......................................... 2,469 141,500 Arthur J. Gallagher & Company................................. 4,688 106,125 Brown and Brown Inc. ......................................... 4,850 86,125 Everest Re Group, Ltd. ....................................... 6,402 267,440 Fidelity National Financial, Inc.&&........................... 10,189 136,425 First American Financial Corporation.......................... 4,206 99,650 HCC Insurance Holdings Inc.(a)................................ 3,004 65,850 Horace Mann Educators Corporation............................. 1,158 109,200 Leucadia National Corporation................................. 6,186 94,625 Ohio Casualty Corporation!!................................... 1,981 280,487 Old Republic International Corporation........................ 7,021 106,900 Protective Life Corporation................................... 4,202 142,850 Radian Group Inc. ............................................ 6,604 43,725 Stancorp Financial Group Inc. ................................ 3,113 147,950 The PMI Group, Inc. .......................................... 6,004 105,375 Unitrin, Inc. ................................................ 4,380 129,487 W.R. Berkley Corporation...................................... 5,459 ---------- 87,509 ---------- INTEGRATED OIL -- 1.7% 141,700 Murphy Oil Corporation........................................ 12,295 223,850 Pioneer Natural Resources Company(a).......................... 7,718 129,350 Questar Corporation........................................... 5,927 ---------- 25,940 ---------- INVESTMENT SERVICES -- 1.7% 122,025 A.G. Edwards, Inc. ........................................... 4,225 104,200 Eaton Vance Corporation....................................... 4,209 87,225 Jefferies Group, Inc.&&....................................... 3,007 92,125 LaBranche & Company Inc.(a)................................... 778 155,137 Legg Mason, Inc. ............................................. 8,263 113,587 Raymond James Financial, Inc. ................................ 2,740 127,050 Waddell & Reed Financial, Inc., Class A....................... 2,795 ---------- 26,017 ---------- LODGING AND RECREATION -- 1.8% 133,500 Boyd Gaming Corporation....................................... 3,758 477,025 Caesars Entertainment, Inc.!!................................. 7,967 115,850 Callaway Golf Company......................................... 1,225
SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS Nations MidCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- LODGING AND RECREATION -- (CONTINUED) 82,025 International Speedway Corporation............................ $ 4,093 103,950 Mandalay Resort Group......................................... 7,136 143,275 Six Flags, Inc.!!............................................. 779 87,925 Thor Industries Inc. ......................................... 2,327 ---------- 27,285 ---------- MEDICAL DEVICES AND SUPPLIES -- 3.6% 94,400 Beckman Coulter, Inc. ........................................ 5,298 171,050 Cytyc Corporation!!........................................... 4,131 123,975 DENTSPLY International Inc. .................................. 6,439 91,950 Edwards Lifesciences Corporation!!............................ 3,080 67,125 Henry Schein, Inc.!!(a)....................................... 4,183 95,300 Hillenbrand Industries, Inc. ................................. 4,816 54,800 INAMED Corporation!!.......................................... 2,612 80,950 Invitrogen Corporation!!...................................... 4,451 105,325 Patterson Companies Inc.!!.................................... 8,063 106,325 STERIS Corporation!!.......................................... 2,333 209,200 Varian Medical Systems, Inc.!!................................ 7,232 76,200 VISX Inc.!!................................................... 1,570 ---------- 54,208 ---------- METALS AND MINING -- 0.6% 84,475 Arch Coal, Inc. .............................................. 2,998 98,900 Peabody Energy Corporation.................................... 5,885 ---------- 8,883 ---------- NATURAL GAS DISTRIBUTION -- 1.6% 100,025 AGL Resources Inc. ........................................... 3,078 95,250 Equitable Resources, Inc. .................................... 5,174 120,100 Hanover Compressor Company!!.................................. 1,615 180,937 MDU Resources Group, Inc. .................................... 4,764 127,175 National Fuel Gas Company..................................... 3,603 158,700 ONEOK, Inc. .................................................. 4,129 74,925 WGL Holdings Inc. ............................................ 2,117 ---------- 24,480 ---------- NATURAL GAS PIPELINES -- 0.3% 362,975 Aquila, Inc.!!(a)............................................. 1,132 113,600 Western Gas Resources, Inc. .................................. 3,248 ---------- 4,380 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.2% 606,100 3Com Corporation!!............................................ 2,558 122,675 ADTRAN, Inc. ................................................. 2,782 136,225 Advanced Fibre Communications, Inc.!!......................... 2,166 83,275 CommScope, Inc.!!............................................. 1,799 182,875 McDATA Corporation, Class A!!(a).............................. 920 65,725 Newport Corporation!!......................................... 754 73,825 Plantronics, Inc. ............................................ 3,192 153,100 Polycom, Inc.!!............................................... 3,034 160,725 Powerwave Technologies, Inc.!!................................ 990 ---------- 18,195 ---------- OILFIELD SERVICES -- 4.1% 84,600 Cooper Cameron Corporation!!.................................. 4,639 232,575 ENSCO International Inc. ..................................... 7,598 189,000 Grant Prideco, Inc.!!......................................... 3,873 77,650 Helmerich & Payne, Inc. ...................................... 2,228 132,275 National-Oilwell, Inc.!!...................................... 4,347
VALUE SHARES (000) -------------------------------------------------------------------------------------- OILFIELD SERVICES -- (CONTINUED) 257,025 Patterson-UTI Energy, Inc. ................................... $ 4,901 118,725 Plains Exploration & Production Company!!..................... 2,833 209,425 Pride International, Inc.!!................................... 4,145 161,375 Smith International, Inc.!!................................... 9,800 93,375 Tidewater Inc. ............................................... 3,039 150,275 Varco International, Inc.!!................................... 4,030 205,575 Weatherford International Inc.!!.............................. 10,489 ---------- 61,922 ---------- PACKAGING AND CONTAINERS -- 0.6% 78,650 Longview Fibre Company........................................ 1,199 164,475 Packaging Corporation of America.............................. 4,025 150,900 Sonoco Products Company....................................... 3,990 ---------- 9,214 ---------- PAPER AND FOREST PRODUCTS -- 0.6% 85,700 Bowater Inc.(a)............................................... 3,273 67,500 P.H. Glatfelter Company....................................... 836 45,450 Potlatch Corporation.......................................... 2,128 76,457 Rayonier Inc. ................................................ 3,459 ---------- 9,696 ---------- PHARMACEUTICALS -- 2.8% 160,930 Barr Laboratories, Inc.!!..................................... 6,668 87,275 Cephalon, Inc.!!.............................................. 4,180 385,231 IVAX Corporation!!............................................ 7,378 469,875 Millennium Pharmaceuticals, Inc.!!............................ 6,442 52,275 Par Pharmaceutical Cos Inc.!!................................. 1,878 108,825 Perrigo Company............................................... 2,236 146,500 Protein Design Labs, Inc.!!................................... 2,868 134,925 Sepracor Inc.!!............................................... 6,582 129,375 Valeant Pharmaceuticals International......................... 3,121 123,175 Vertex Pharmaceuticals Inc.!!................................. 1,293 ---------- 42,646 ---------- PUBLISHING AND ADVERTISING -- 2.4% 38,375 Banta Corporation............................................. 1,525 177,025 Belo Corporation.............................................. 3,990 108,325 Dun & Bradstreet Corporation!!................................ 6,359 132,325 Harte-Hanks, Inc. ............................................ 3,309 69,550 Lee Enterprises, Inc. ........................................ 3,223 153,325 Readers Digest Association, Inc., Class A..................... 2,237 61,000 Scholastic Corporation!!...................................... 1,884 14,725 The Washington Post Company, Class B.......................... 13,548 ---------- 36,075 ---------- RAILROADS, TRUCKING AND SHIPPING -- 2.3% 131,525 C.H. Robinson Worldwide, Inc. ................................ 6,101 78,450 CNF Inc. ..................................................... 3,216 163,150 Expeditors International of Washington, Inc. ................. 8,436 75,975 GATX Corporation(a)........................................... 2,025 124,375 J.B. Hunt Transport Services, Inc. ........................... 4,619 60,625 Overseas Shipholding Group, Inc. ............................. 3,009 123,125 Swift Transportation Company, Inc.!!.......................... 2,071
SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS Nations MidCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- (CONTINUED) 72,600 Trinity Industries, Inc.(a)................................... $ 2,263 122,043 Werner Enterprises, Inc. ..................................... 2,357 ---------- 34,097 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 2.3% 127,325 AMB Property Corporation...................................... 4,714 158,500 Developers Diversified Realty Corporation..................... 6,200 82,600 Highwoods Properties, Inc. ................................... 2,033 103,475 Hospitality Properties Trust.................................. 4,397 131,125 Liberty Property Trust........................................ 5,223 93,375 Mack-Cali Realty Corporation.................................. 4,137 157,475 New Plan Excel Realty Trust................................... 3,937 196,975 United Dominion Realty Trust.................................. 3,906 ---------- 34,547 ---------- RESTAURANTS -- 1.6% 126,412 Applebee's International Inc. ................................ 3,196 54,325 Bob Evans Farms, Inc. ........................................ 1,475 138,375 Brinker International, Inc.!!................................. 4,310 75,025 CBRL Group Inc. .............................................. 2,707 95,100 Krispy Kreme Doughnuts, Inc.!!(a)............................. 1,204 113,475 Outback Steakhouse, Inc. ..................................... 4,713 101,075 Ruby Tuesday, Inc.(a)......................................... 2,817 79,800 The Cheesecake Factory, Inc.!!................................ 3,463 ---------- 23,885 ---------- SEMICONDUCTORS -- 3.8% 177,975 Arrow Electronics, Inc.!!..................................... 4,019 732,450 Atmel Corporation!!........................................... 2,651 185,550 Avnet, Inc.!!................................................. 3,177 146,825 Credence Systems Corporation!!................................ 1,057 112,875 Cree, Inc.!!(a)............................................... 3,446 192,975 Cypress Semiconductor Corporation!!........................... 1,706 183,850 Fairchild Semiconductor Corporation, Class A!!................ 2,605 163,425 Intergrated Device Technology, Inc.!!......................... 1,557 101,775 International Rectifier Corporation!!......................... 3,491 231,800 Intersil Corporation, Class A................................. 3,693 133,225 KEMET Corporation!!........................................... 1,078 206,375 Lam Research Corporation!!.................................... 4,515 174,675 Lattice Semiconductor Corporation!!........................... 858 93,950 LTX Corporation!!............................................. 508 140,950 Micrel, Inc.!!................................................ 1,467 317,050 Microchip Technology Inc. .................................... 8,509 249,400 SanDisk Corporation!!......................................... 7,263 114,500 Semtech Corporation!!......................................... 2,195 79,775 Silicon Laboratories Inc.!!................................... 2,640 211,450 TriQuint Semiconductor, Inc.!!................................ 825 ---------- 57,260 ---------- SOFTWARE -- 2.9% 213,137 Activision, Inc.!!............................................ 2,956 51,125 Advent Software, Inc.!!....................................... 860 90,362 Ascential Software Corporation!!.............................. 1,217 414,675 Cadence Design Systems, Inc.!!................................ 5,407 133,550 Checkfree Corporation!!....................................... 3,695 129,400 DST Systems, Inc.!!........................................... 5,755
VALUE SHARES (000) -------------------------------------------------------------------------------------- SOFTWARE -- (CONTINUED) 95,150 Keane Inc.!!.................................................. $ 1,462 106,875 Macromedia Inc.!!............................................. 2,146 76,100 Macrovision Corporation!!..................................... 1,832 240,575 McAfee Inc.!!................................................. 4,836 110,475 Mentor Graphics Corporation!!................................. 1,211 86,150 Retek Inc.!!.................................................. 393 99,500 Reynolds & Reynolds Company, Class A.......................... 2,455 98,025 RSA Security Inc.!!........................................... 1,892 146,375 Sybase, Inc.!!................................................ 2,019 185,850 The BISYS Group, Inc.!!....................................... 2,715 57,700 Transaction Systems Architects, Inc.!!........................ 1,072 126,125 Wind River Systems!!.......................................... 1,539 ---------- 43,462 ---------- SPECIALTY STORES -- 5.5% 107,051 99 Cents Only Stores!!(a)..................................... 1,523 145,625 Abercrombie & Fitch Company................................... 4,587 86,450 Aeropostale, Inc.!!........................................... 2,265 110,450 American Eagle Outfitters, Inc. .............................. 4,070 109,925 AnnTaylor Stores Corporation!!................................ 2,572 107,950 Barnes & Noble, Inc.!!........................................ 3,994 107,250 BJ's Wholesale Club, Inc.!!................................... 2,932 117,575 Borders Group Inc. ........................................... 2,916 137,700 Chico's FAS, Inc.!!........................................... 4,709 152,325 Claire's Stores, Inc. ........................................ 3,814 174,850 Dollar Tree Stores, Inc.!!.................................... 4,712 239,725 Foot Locker, Inc. ............................................ 5,681 105,100 Michaels Stores, Inc. ........................................ 6,224 84,875 O'Reilly Automotive Inc.!!.................................... 3,250 114,175 Pacific Sunwear of California, Inc.!!......................... 2,403 104,900 Payless ShoeSource, Inc.!!.................................... 1,063 223,600 PETsMart, Inc. ............................................... 6,349 134,625 Pier 1 Imports, Inc. ......................................... 2,434 68,175 Regis Corporation............................................. 2,742 227,150 Ross Stores, Inc. ............................................ 5,324 123,925 Urban Outfitters, Inc.!!...................................... 4,263 179,025 Williams-Sonoma, Inc.!!....................................... 6,723 ---------- 84,550 ---------- TELECOMMUNICATIONS SERVICES -- 0.8% 377,675 Cincinnati Bell Inc.!!........................................ 1,318 88,125 Telephone and Data Systems, Inc. ............................. 7,418 175,425 UTStarcom, Inc.!!(a).......................................... 2,826 ---------- 11,562 ---------- TOBACCO -- 0.1% 39,325 Universal Corporation......................................... 1,755 ---------- UTILITIES -- MISCELLANEOUS -- 0.8% 65,600 Alexander & Baldwin, Inc. .................................... 2,226 143,231 Aqua America, Inc. ........................................... 3,167 233,825 Republic Services, Inc. ...................................... 6,958 ---------- 12,351 ---------- TOTAL COMMON STOCKS (Cost $1,287,388)........................................... 1,493,407 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS Nations MidCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
SHARES VALUE (000) (000) -------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 2.6% (Cost $39,136) 39,136 Nations Cash Reserves, Capital Class Shares#.................. $ 39,136 ---------- TOTAL INVESTMENTS (Cost $1,326,524*)................................ 101.2% 1,532,543 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (1.2)% (18,221) ---------- NET ASSETS.......................................... 100.0% $1,514,322 ==========
--------------- *Federal income tax information (see Note 12). !! 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 11). The portion that represents cash collateral is $27,625. && All or a portion of security segregated as collateral for futures contracts. (a) All or a portion of security was on loan on September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004 is $39,191 and $26,816, respectively. ABBREVIATIONS: LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS Nations SmallCap Index Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMON STOCKS -- 99.6% AEROSPACE AND DEFENSE -- 1.8% 67,300 AAR Corporation!!............................................. $ 838 68,300 Armor Holdings, Inc.!!........................................ 2,842 44,600 Curtiss-Wright Corporation.................................... 2,552 56,700 DRS Technologies, Inc.!!...................................... 2,123 44,200 Esterline Technologies Corporation!!.......................... 1,352 93,500 GenCorp Inc.(a)............................................... 1,267 53,550 Moog Inc.!!................................................... 1,944 67,700 Teledyne Technologies Inc.!!.................................. 1,695 33,100 Triumph Group, Inc.!!......................................... 1,120 23,600 Woodward Governor Company..................................... 1,593 ---------- 17,326 ---------- AIRLINES -- 0.5% 94,600 FLYi Inc.!!(a)................................................ 370 44,900 Forward Air Corporation!!..................................... 1,797 74,300 Frontier Airlines, Inc.!!..................................... 571 65,900 Mesa Air Group, Inc.!!(a)..................................... 336 121,700 SkyWest, Inc. ................................................ 1,831 ---------- 4,905 ---------- APPAREL AND TEXTILES -- 2.2% 28,100 Ashworth Inc.!!............................................... 230 37,900 Brown Shoe Company, Inc. ..................................... 950 76,100 Christopher & Banks Corporation............................... 1,218 43,500 G & K Services, Inc., Class A................................. 1,729 45,500 Genesco, Inc.!!............................................... 1,072 15,000 Haggar Corporation............................................ 257 39,400 Hancock Fabrics Inc. ......................................... 472 72,700 K-Swiss Inc., Class A......................................... 1,399 57,300 Kellwood Company.............................................. 2,089 24,500 Oshkosh B'Gosh Inc., Class A.................................. 495 33,800 Oxford Industries Inc. ....................................... 1,259 64,200 Phillips-Van Heusen Corporation............................... 1,430 118,400 Quiksilver, Inc.!!............................................ 3,010 68,100 Russell Corporation........................................... 1,147 78,700 Stride Rite Corporation....................................... 807 56,200 The Children's Place Retail Stores, Inc.!!.................... 1,344 81,600 Wolverine World Wide, Inc. ................................... 2,056 ---------- 20,964 ---------- AUTOMOTIVE -- 1.1% 103,750 Aaron Rents, Inc., Class A.................................... 2,257 47,700 Group 1 Automotive, Inc.!!.................................... 1,301 32,700 Midas, Inc.!!................................................. 530 69,500 Myers Industries Inc. ........................................ 761 73,500 Oshkosh Truck Corporation..................................... 4,193 41,200 Standard Motor Products, Inc. ................................ 623 46,400 TBC Corporation!!............................................. 1,037 121,300 Tower Automotive, Inc.!!(a)................................... 254 ---------- 10,956 ---------- BROADCASTING AND CABLE -- 0.1% 28,300 4Kids Entertainment Inc.!!.................................... 572 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- CHEMICALS -- BASIC -- 0.7% 80,200 Delta and Pine Land Company................................... $ 2,145 69,100 Georgia Gulf Corporation...................................... 3,081 59,700 H.B. Fuller Company........................................... 1,636 ---------- 6,862 ---------- CHEMICALS -- SPECIALTY -- 1.5% 48,800 Arch Chemicals, Inc. ......................................... 1,391 54,500 Cambrex Corporation........................................... 1,196 63,200 MacDermid, Inc. .............................................. 1,831 59,200 OM Group, Inc.!!.............................................. 2,165 84,100 Omnova Solutions Inc.!!....................................... 507 18,300 Penford Corporation........................................... 319 191,200 PolyOne Corporation!!......................................... 1,438 20,100 Quaker Chemical Corporation................................... 485 34,900 Rogers Corporation!!.......................................... 1,483 63,300 Schulman (A.) Inc. ........................................... 1,395 46,550 TETRA Technologies Inc.!!..................................... 1,445 66,800 Wellman Inc. ................................................. 566 ---------- 14,221 ---------- COMMERCIAL BANKING -- 8.1% 124,800 BankAtlantic Bancorp, Inc. ................................... 2,286 62,600 BankUnited Financial Corporation, Class A!!................... 1,825 123,400 Brookline Bancorp, Inc. ...................................... 1,934 96,325 Chittenden Corporation........................................ 2,625 82,900 Commercial Federal Corporation................................ 2,237 63,800 Community Bank Systems, Inc. ................................. 1,603 77,000 Community First Bankshares, Inc. ............................. 2,469 58,300 Downey Financial Corporation.................................. 3,204 105,000 East West Bancorp, Inc. ...................................... 3,527 36,000 Financial Federal Corporation!!............................... 1,349 97,000 First Midwest Bancorp, Inc. .................................. 3,352 33,000 First Republic Bank........................................... 1,518 83,950 Firstbank Corporation&&....................................... 4,054 34,200 FirstFed Financial Corporation!!.............................. 1,672 127,700 Flagstar Bancorp, Inc. ....................................... 2,717 83,700 Gold Banc Corporation, Inc. .................................. 1,129 93,800 Hudson United Bancorp......................................... 3,457 59,100 Irwin Financial Corporation................................... 1,526 68,000 MAF Bancorp Inc. ............................................. 2,933 42,400 PrivateBancorp, Inc. ......................................... 1,143 68,900 Provident Bankshares Corporation.............................. 2,312 133,560 Republic Bancorp Inc. ........................................ 2,057 61,000 Riggs National Corporation.................................... 1,354 147,400 South Financial Group, Inc. .................................. 4,156 144,300 Southwest Bancorporation of Texas, Inc. ...................... 2,906 93,600 Sterling Bancshares, Inc. .................................... 1,259 47,250 Sterling Financial Corporation!!.............................. 1,665 96,900 Susquehanna Bancshares Inc. .................................. 2,384 155,000 TrustCo Bank Corporation NY................................... 1,987 91,300 Umpqua Holdings Corporation................................... 2,060 90,500 United Bankshares Inc. ....................................... 3,136 69,730 Waypoint Financial Corporation................................ 1,922 85,200 Whitney Holding Corporation................................... 3,578 42,800 Wintrust Financial Corporation................................ 2,452 ---------- 79,788 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS Nations SmallCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMMERCIAL SERVICES -- 4.4% 101,200 ABM Industries Inc. .......................................... $ 2,039 54,900 Administaff, Inc.!!........................................... 642 63,750 ADVO Inc. .................................................... 1,972 65,000 Arbitron Inc.!!............................................... 2,380 41,100 CDI Corporation............................................... 843 76,300 Central Parking Corporation................................... 1,009 44,700 Coinstar, Inc.!!(a)........................................... 1,042 31,600 Emcor Group Inc.!!............................................ 1,189 64,800 Factset Research Systems Inc.(a).............................. 3,123 90,300 Florida Rock Industries, Inc. ................................ 4,425 79,800 Global Payments Inc. ......................................... 4,273 39,900 Heidrick & Struggles International, Inc.!!.................... 1,150 32,400 IMCO Recycling Inc.!!(a)...................................... 369 24,300 Insurance Auto Auctions Inc.!!................................ 417 87,400 Labor Ready, Inc.!!........................................... 1,225 45,300 MAXIMUS, Inc.!!............................................... 1,305 22,000 Memberworks Inc.!!(a)......................................... 577 66,400 NCO Group, Inc.!!............................................. 1,789 52,600 On Assignment, Inc.!!......................................... 234 34,400 Prepaid Legal Services Inc.!!(a).............................. 883 129,100 PRG-Schultz International, Inc.!!............................. 741 51,700 Rewards Network Inc.!!........................................ 345 30,200 Startek, Inc. ................................................ 947 117,300 Tetra Tech, Inc.!!............................................ 1,486 89,600 URS Corporation!!............................................. 2,391 46,200 Viad Corporation.............................................. 1,096 31,800 Volt Information Sciences Inc.!!.............................. 915 55,700 Watsco Inc. .................................................. 1,673 67,200 Watson Wyatt & Company Holdings............................... 1,767 ---------- 42,247 ---------- COMPUTER SERVICES -- 1.8% 60,800 CACI International, Inc., Class A!!........................... 3,210 73,900 Digital Insight Corporation!!(a).............................. 1,007 100,500 Efunds Corporation!!.......................................... 1,868 62,800 FindWhat.com!!(a)............................................. 1,176 98,500 Internet Security Systems, Inc.!!............................. 1,675 67,500 ManTech International Corporation!!........................... 1,264 46,400 Pegasus Solutions, Inc.!!..................................... 553 33,300 QRS Corporation!!............................................. 230 55,100 Radiant Systems, Inc.!!....................................... 222 32,200 SCM Microsystems, Inc.!!...................................... 88 51,800 Synaptics Inc.!!.............................................. 1,044 28,700 TALX Corporation.............................................. 663 92,500 WebEx Communications, Inc.!!(a)............................... 2,018 48,600 Websense, Inc.!!.............................................. 2,025 66,600 Zixit Corporation!!(a)........................................ 305 ---------- 17,348 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 1.7% 229,400 Adaptec, Inc.!!............................................... 1,743 67,200 Agilysys, Inc.(a)............................................. 1,162 49,700 Brady Corporation, Class A.................................... 2,423 48,100 Global Imaging Systems, Inc.!!................................ 1,495 54,400 Hutchinson Technology, Inc.!!(a).............................. 1,454 34,600 Imagistics International Inc.!!............................... 1,163 44,300 Mercury Computer Systems, Inc.!!.............................. 1,193 38,600 Micros Systems, Inc.!!........................................ 1,933 143,500 Pinnacle Systems, Inc.!!...................................... 598
VALUE SHARES (000) ---------------------------------------------------------------------------------------- COMPUTERS AND OFFICE EQUIPMENT -- (CONTINUED) 39,500 Radisys Corporation!!......................................... $ 551 26,200 ScanSource, Inc.!!(a)......................................... 1,672 38,400 Standard Microsystems Corporation!!........................... 672 ---------- 16,059 ---------- CONGLOMERATES -- 1.0% 68,200 Advanced Energy Industries, Inc.!!............................ 634 57,100 Apogee Enterprises, Inc. ..................................... 738 128,200 Hughes Supply Inc. ........................................... 3,854 55,800 Insituform Technologies Inc., Class A!!....................... 1,042 100,150 Waste Connections, Inc.!!..................................... 3,173 ---------- 9,441 ---------- CONSTRUCTION -- 0.6% 25,900 Chemed Corporation............................................ 1,444 41,100 ElkCorp....................................................... 1,141 27,000 Meritage Corporation!!........................................ 2,122 133,100 The Shaw Group Inc.!!......................................... 1,597 ---------- 6,304 ---------- CONSUMER SERVICES -- 0.7% 18,700 Angelica Corporation.......................................... 465 28,100 Building Materials Holding Corporation........................ 773 63,600 Fedders Corporation........................................... 260 47,400 Kaman Corporation, Class A.................................... 566 108,500 La-Z-Boy Inc. ................................................ 1,647 43,500 Russ Berrie & Company Inc. ................................... 877 127,100 Spherion Corporation!!........................................ 994 36,400 Thomas Industries Inc. ....................................... 1,143 ---------- 6,725 ---------- DEPARTMENT AND DISCOUNT STORES -- 0.1% 61,300 ShopKo Stores, Inc.!!......................................... 1,067 ---------- DIVERSIFIED ELECTRONICS -- 4.0% 154,800 Aeroflex, Inc.!!.............................................. 1,636 28,500 Analogic Corporation.......................................... 1,188 77,200 Anixter International Inc. ................................... 2,709 81,800 Artesyn Technologies, Inc.!!.................................. 816 48,100 Audiovox Corporation, Class A!!............................... 810 30,800 BEI Technologies, Inc. ....................................... 844 23,600 Bel Fuse Inc., Class B........................................ 781 97,750 Belden CDT Inc. .............................................. 2,131 85,750 Benchmark Electronics, Inc.!!................................. 2,555 78,400 Checkpoint Systems Inc.!!..................................... 1,221 75,300 CTS Corporation............................................... 949 55,700 Cubic Corporation............................................. 1,276 39,500 Daktronics, Inc.!!............................................ 966 43,800 Dionex Corporation!!.......................................... 2,396 41,600 EDO Corporation............................................... 1,154 54,375 Engineered Support Systems, Inc. ............................. 2,482 70,400 FLIR Systems, Inc.!!.......................................... 4,117 46,400 Gerber Scientific Inc.!!...................................... 306 54,500 Helix Technology Corporation.................................. 741 36,800 Invision Technologies, Inc.!!................................. 1,656 43,800 Itron Inc.!!.................................................. 764 33,800 Keithley Instruments, Inc. ................................... 590
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS Nations SmallCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- DIVERSIFIED ELECTRONICS -- (CONTINUED) 74,000 Methode Electronics Inc., Class A............................. $ 946 72,100 Rayovac Corporation!!......................................... 1,900 106,700 Trimble Navigation Ltd.!!..................................... 3,372 44,600 Wilson Greatbatch Technologies Inc.!!......................... 798 ---------- 39,104 ---------- DIVERSIFIED MANUFACTURING -- 4.1% 61,400 A.O. Smith Corporation........................................ 1,495 88,800 Acuity Brands, Inc. .......................................... 2,111 69,100 Albany International Corporation, Class A..................... 2,060 48,300 Barnes Group Inc. ............................................ 1,327 53,000 CLARCOR Inc. ................................................. 2,527 35,400 CUNO, Inc.!!.................................................. 2,044 61,200 Griffon Corporation!!......................................... 1,291 48,000 Hydril Company!!.............................................. 2,062 47,200 Ionics Inc.!!(a).............................................. 1,274 58,900 Kaydon Corporation............................................ 1,695 19,700 Lawson Products, Inc. ........................................ 807 122,700 Lennox International Inc. .................................... 1,833 33,700 Lydall Inc.!!................................................. 313 41,700 Meade Instruments Corporation!!............................... 130 73,000 Mueller Industries, Inc. ..................................... 3,135 77,200 Roper Industries, Inc. ....................................... 4,436 49,700 Simpson Manufacturing Company, Inc. .......................... 3,141 25,400 Standex International Corporation............................. 622 60,000 Stewart & Stevenson Services, Inc. ........................... 1,060 56,100 Sturm, Ruger & Company Inc. .................................. 505 68,300 The Nautilus Group, Inc.(a)................................... 1,543 80,200 Tredegar Industries, Inc. .................................... 1,460 87,900 Vicor Corporation............................................. 889 67,400 Watts Industries, Inc., Class A............................... 1,810 ---------- 39,570 ---------- ELECTRIC POWER -- NON NUCLEAR -- 1.1% 61,600 ALLETE, Inc. ................................................. 2,002 25,300 Central Vermont Public Service Corporation.................... 509 32,900 CH Energy Group, Inc. ........................................ 1,507 98,300 Cleco Corporation............................................. 1,695 99,300 El Paso Electric Company!!.................................... 1,596 10,600 Green Mountain Power Corporation.............................. 276 30,300 UIL Holdings Corporation...................................... 1,490 71,500 UniSource Energy Corporation.................................. 1,741 ---------- 10,816 ---------- ELECTRICAL EQUIPMENT -- 0.4% 44,900 Cohu, Inc. ................................................... 664 53,950 Intermagnetics General Corporation!!.......................... 1,249 46,500 Littelfuse, Inc.!!............................................ 1,605 59,400 Magnetek, Inc.!!.............................................. 444 30,500 Planar Systems Inc.!!......................................... 342 ---------- 4,304 ---------- ENERGY -- MISCELLANEOUS -- 0.2% 101,000 Avista Corporation............................................ 1,828 ---------- EXPLORATION AND PRODUCTION -- 2.4% 86,400 Cimarex Energy Company!!...................................... 3,019 70,100 Headwaters Inc.!!............................................. 2,163
VALUE SHARES (000) ---------------------------------------------------------------------------------------- EXPLORATION AND PRODUCTION -- (CONTINUED) 147,300 Patina Oil and Gas Corporation................................ $ 4,356 75,500 Southwestern Energy Company!!................................. 3,170 70,700 Spinnaker Exploration Company!!............................... 2,477 55,600 Stone Energy Corporation!!.................................... 2,433 95,400 Unit Corporation!!............................................ 3,347 136,000 Vintage Petroleum, Inc. ...................................... 2,730 ---------- 23,695 ---------- FINANCE -- MISCELLANEOUS -- 1.9% 48,100 Anchor Bancorp Wisconsin Inc. ................................ 1,246 57,100 Boston Private Financial Holdings, Inc. ...................... 1,425 59,100 Cash America Investments Inc. ................................ 1,446 77,700 Dime Community Bancshares..................................... 1,305 87,300 Investment Technology Group, Inc.!!........................... 1,336 99,050 New Century Financial Corporation(a).......................... 5,965 32,900 Sourcecorp, Inc.!!............................................ 728 35,800 SWS Group, Inc. .............................................. 576 94,400 UCBH Holdings Inc. ........................................... 3,688 38,500 World Acceptance Corporation!!................................ 895 ---------- 18,610 ---------- FOOD AND DRUG STORES -- 0.9% 104,400 Casey's General Stores, Inc. ................................. 1,941 81,750 Fred's, Inc.(a)............................................... 1,468 77,800 Longs Drug Stores Corporation................................. 1,883 25,700 Nash-Finch Company............................................ 808 80,400 The Great Atlantic & Pacific Tea Company, Inc.!!.............. 490 83,400 United Natural Foods, Inc.!!.................................. 2,219 ---------- 8,809 ---------- FOOD PRODUCTS -- 1.6% 37,700 American Italian Pasta Company(a)............................. 986 76,900 Corn Products International, Inc. ............................ 3,545 91,400 Flowers Foods, Inc. .......................................... 2,363 76,000 Hain Celestial Group, Inc.!!.................................. 1,344 18,800 J & J Snack Foods Corporation!!............................... 806 61,700 Lance, Inc. .................................................. 996 96,800 Performance Food Group Company!!.............................. 2,294 61,000 Ralcorp Holdings, Inc.!!...................................... 2,202 41,600 Sanderson Farms, Inc. ........................................ 1,392 ---------- 15,928 ---------- HEALTH SERVICES -- 3.2% 101,150 Accredo Health, Inc.!!........................................ 2,384 68,400 American Healthways, Inc.!!(a)................................ 1,991 51,875 AMERIGROUP Corporation!!...................................... 2,918 63,300 AmSurg Corporation!!.......................................... 1,341 42,600 Centene Corporation!!......................................... 1,814 66,800 Cross Country Healthcare, Inc.!!.............................. 1,035 27,000 Curative Health Services, Inc.!!.............................. 185 51,100 Gentiva Health Services, Inc. ................................ 837 65,000 Invacare Corporation.......................................... 2,991 35,700 LabOne, Inc.!!(a)............................................. 1,044 75,100 NDCHealth Corporation......................................... 1,205 104,500 OCA Inc.!!(a)................................................. 495 76,450 Odyssey Healthcare, Inc.!!.................................... 1,357 54,500 PAREXEL International Corporation!!........................... 1,068 50,000 Pediatrix Medical Group, Inc.!!............................... 2,743
SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS Nations SmallCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- HEALTH SERVICES -- (CONTINUED) 103,700 Province Healthcare Company!!................................. $ 2,169 34,000 RehabCare Group, Inc.!!....................................... 783 42,900 Sunrise Senior Living, Inc.!!(a).............................. 1,507 59,100 United Surgical Partners International, Inc.!!................ 2,030 64,400 Viasys Healthcare Inc.!!...................................... 1,077 ---------- 30,974 ---------- HEAVY MACHINERY -- 3.1% 40,900 Applied Industrial Technologies, Inc. ........................ 1,462 41,400 Astec Industries Inc.!!....................................... 792 68,700 Baldor Electric Company....................................... 1,625 53,400 Briggs & Stratton Corporation................................. 4,335 16,200 CPI Corporation............................................... 215 41,300 Gardner Denver Machinery Inc.!!............................... 1,139 105,150 IDEX Corporation.............................................. 3,571 91,100 JLG Industries, Inc. ......................................... 1,530 24,500 Lindsay Manufacturing Company................................. 657 55,800 Manitowoc Company, Inc. ...................................... 1,979 74,600 Milacron Inc.!!............................................... 233 82,700 Paxar Corporation!!........................................... 1,876 51,000 Regal Beloit Corporation...................................... 1,234 30,300 Robbins & Myers, Inc. ........................................ 667 187,900 Timken Company................................................ 4,625 47,700 Toro Company.................................................. 3,258 43,300 X-Rite, Inc. ................................................. 631 ---------- 29,829 ---------- HOUSEHOLD PRODUCTS -- 0.1% 14,200 National Presto Industries, Inc. ............................. 594 31,500 Natures Sunshine Products Inc. ............................... 478 ---------- 1,072 ---------- HOUSING AND FURNISHING -- 2.6% 50,200 Applica Inc.!!................................................ 203 24,400 Bassett Furniture Industries, Inc. ........................... 461 148,700 Champion Enterprises Inc.!!................................... 1,530 32,700 Coachmen Industries Inc. ..................................... 516 77,800 Ethan Allen Interiors, Inc. .................................. 2,704 47,100 Haverty Furniture Companies, Inc. ............................ 826 108,100 Interface Inc., Class A!!..................................... 867 68,002 M.D.C. Holdings, Inc. ........................................ 4,971 61,300 Monaco Coach Corporation...................................... 1,327 13,300 NVR, Inc.!!................................................... 7,327 17,500 Skyline Corporation........................................... 701 70,100 Standard Pacific Corporation.................................. 3,952 ---------- 25,385 ---------- INSURANCE -- 3.2% 65,900 Delphi Financial Group, Inc., Class A......................... 2,647 160,800 Fremont General Corporation................................... 3,722 74,700 Hilb, Rogal and Hamilton Company.............................. 2,706 37,900 Landamerica Financial Group, Inc. ............................ 1,724 46,400 Philadelphia Consolidated Holding Corporation!!............... 2,558 61,200 Presidential Life Corporation................................. 1,051 60,900 ProAssurance Corporation!!.................................... 2,133 52,600 RLI Corporation............................................... 1,975 52,000 Ryerson Tull Inc. ............................................ 893 20,700 SCPIE Holdings Inc. .......................................... 186
VALUE SHARES (000) ---------------------------------------------------------------------------------------- INSURANCE -- (CONTINUED) 58,000 Selective Insurance Group, Inc. .............................. $ 2,158 55,900 Sierra Health Services, Inc.!!................................ 2,679 37,800 Stewart Information Services Corporation...................... 1,489 96,800 UICI.......................................................... 3,169 40,200 Zenith National Insurance Corporation......................... 1,701 ---------- 30,791 ---------- INTEGRATED OIL -- 1.2% 68,900 Cabot Oil & Gas Corporation................................... 3,093 158,800 Input/Output, Inc.!!.......................................... 1,637 52,600 Oceaneering International Inc.!!.............................. 1,938 57,400 Remington Oil & Gas Corporation!!............................. 1,507 59,800 St. Mary Land & Exploration Company........................... 2,381 58,300 Swift Energy Company!!........................................ 1,397 ---------- 11,953 ---------- INVESTMENT SERVICES -- 0.2% 41,400 Piper Jaffray Companies, Inc.!!............................... 1,639 ---------- LODGING AND RECREATION -- 2.6% 38,300 Action Performance Companies, Inc.(a)......................... 388 43,300 Arctic Cat Inc. .............................................. 1,124 61,500 Argosy Gaming Company!!....................................... 2,411 72,200 Aztar Corporation!!........................................... 1,913 71,100 Bally Total Fitness Holding Corporation!!(a).................. 259 115,600 Fleetwood Enterprises Inc.!!.................................. 1,755 54,500 JAKKS Pacific, Inc.!!......................................... 1,254 97,300 K2 Inc.!!..................................................... 1,392 62,200 Marcus Corporation............................................ 1,211 58,600 Multimedia Games, Inc.!!(a)................................... 908 74,300 Pinnacle Entertainment, Inc.!!................................ 1,025 89,000 Polaris Industries Inc.(a).................................... 4,968 93,100 Prime Hospitality Corporation!!............................... 1,133 48,400 Shuffle Master, Inc.!!(a)..................................... 1,813 70,200 Winnebago Industries, Inc. ................................... 2,432 62,800 WMS Industries, Inc.!!(a)..................................... 1,613 ---------- 25,599 ---------- MEDICAL DEVICES AND SUPPLIES -- 6.0% 74,400 Advanced Medical Optics, Inc.!!............................... 2,944 70,200 American Medical Systems Holdings, Inc.!!..................... 2,546 45,100 Arthrocare Corporation!!(a)................................... 1,321 50,700 BioLase Technology Inc.(a).................................... 414 33,200 Biosite Inc.!!(a)............................................. 1,625 62,200 CONMED Corporation!!.......................................... 1,636 68,200 Cooper Companies, Inc. ....................................... 4,674 48,600 Cryolife, Inc.!!(a)........................................... 353 49,700 Cyberonics, Inc.!!(a)......................................... 1,017 30,900 Datascope Corporation......................................... 1,153 60,700 Diagnostic Products Corporation............................... 2,481 45,700 DJ Orthopedics Inc.!!......................................... 807 52,600 Haemonetics Corporation!!..................................... 1,727 42,800 Hologic, Inc.!!............................................... 825 135,700 Hooper Holmes, Inc. .......................................... 608 28,600 ICU Medical, Inc.!!(a)........................................ 745 71,500 IDEXX Laboratories, Inc.!!.................................... 3,628
SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS FUNDS Nations SmallCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- (CONTINUED) 62,150 Immucor, Inc.!!............................................... $ 1,538 60,000 Integra LifeSciences Holdings Corporation!!................... 1,927 23,900 Kensey Nash Corporation!!(a).................................. 626 88,300 Mentor Corporation............................................ 2,974 55,000 Merit Medical Systems, Inc.!!................................. 831 35,800 Osteotech, Inc.!!............................................. 141 82,100 Owens & Minor, Inc. .......................................... 2,085 56,900 PolyMedica Corporation........................................ 1,753 37,900 Possis Medical, Inc.!!........................................ 594 91,000 Priority Healthcare Corporation, Class B!!.................... 1,834 70,600 ResMed Inc.!!................................................. 3,361 72,700 Respironics, Inc.!!........................................... 3,884 67,200 Sola International Inc.!!..................................... 1,280 36,600 SurModics, Inc.!!(a).......................................... 869 81,200 Sybron Dental Specialties, Inc.!!............................. 2,411 85,700 Techne Corporation!!.......................................... 3,272 62,500 Theragenics Corporation!!..................................... 228 26,500 Vital Signs Inc. ............................................. 847 ---------- 58,959 ---------- METALS AND MINING -- 3.0% 32,900 A. M. Castle & Company!!...................................... 334 61,100 AMCOL International Corporation............................... 1,168 39,500 Brush Engineered Materials Inc.!!............................. 818 49,600 Carpenter Technology Corporation.............................. 2,368 66,100 Century Aluminum Company!!.................................... 1,833 22,300 Cleveland-Cliffs Inc.!!(a).................................... 1,803 61,000 Commercial Metals Company..................................... 2,423 33,900 Commonwealth Industries, Inc.!!............................... 317 158,300 Massey Energy Company......................................... 4,580 29,800 Material Sciences Corporation!!............................... 402 34,300 Quanex Corporation............................................ 1,759 67,900 Reliance Steel & Aluminum Company............................. 2,696 44,300 RTI International Metals, Inc.!!.............................. 858 103,500 Steel Dynamics, Inc. ......................................... 3,997 26,600 Steel Technologies Inc. ...................................... 681 44,500 Texas Industries, Inc. ....................................... 2,289 30,900 Wolverine Tube Inc.!!......................................... 357 ---------- 28,683 ---------- NATURAL GAS DISTRIBUTION -- 2.8% 130,600 Atmos Energy Corporation...................................... 3,290 23,500 Cascade Natural Gas Corporation............................... 499 75,900 Energen Corporation........................................... 3,913 57,700 New Jersey Resources Corporation.............................. 2,389 57,000 Northwest Natural Gas Company................................. 1,809 33,300 NUI Holding Company........................................... 444 80,000 Piedmont Natural Gas Company, Inc.(a)......................... 3,515 170,831 Southern Union Company!!(a)................................... 3,502 73,600 Southwest Gas Corporation..................................... 1,763 43,800 The Laclede Group Inc. ....................................... 1,280 106,300 UGI Corporation............................................... 3,960 49,800 Valmont Industries Inc. ...................................... 1,039 ---------- 27,403 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.9% 36,600 Black Box Corporation......................................... $ 1,352 27,100 Brooktrout Inc.!!............................................. 246 89,700 C-COR.net Corporation!!....................................... 758 65,800 Captaris Inc.!!............................................... 280 38,200 Concord Communications, Inc.!!................................ 341 150,700 Harmonic Inc.!!............................................... 1,002 48,500 j2 Global Communications, Inc.!!(a)........................... 1,533 67,500 NYFIX, Inc.!!(a).............................................. 410 31,800 SBS Technologies, Inc.!!...................................... 388 48,900 Sonic Solutions............................................... 798 45,400 Three-Five Systems, Inc.!!.................................... 124 27,400 Tollgrade Communications, Inc.!!.............................. 241 55,800 ViaSat, Inc.!!................................................ 1,122 ---------- 8,595 ---------- OIL REFINING AND MARKETING -- 0.6% 33,300 CARBO Ceramics Inc. .......................................... 2,402 56,200 Frontier Oil Corporation...................................... 1,327 34,000 Petroleum Development Corporation............................. 1,490 35,200 WD-40 Company................................................. 1,007 ---------- 6,226 ---------- OILFIELD SERVICES -- 1.4% 28,900 Atwood Oceanics, Inc.!!....................................... 1,374 79,900 Cal Dive International, Inc.!!................................ 2,846 36,100 Dril-Quip, Inc.!!............................................. 805 60,400 Lone Star Technologies, Inc.!!(a)............................. 2,283 47,700 Offshore Logistics, Inc.!!.................................... 1,642 38,200 SEACOR SMIT Inc.!!............................................ 1,786 69,700 Veritas DGC Inc.!!............................................ 1,588 57,400 W-H Energy Services, Inc.!!................................... 1,191 ---------- 13,515 ---------- PACKAGING AND CONTAINERS -- 0.5% 75,900 AptarGroup, Inc. ............................................. 3,337 28,700 Libbey Inc. .................................................. 537 30,400 Mobile Mini Inc.!!(a)......................................... 754 ---------- 4,628 ---------- PAPER AND FOREST PRODUCTS -- 1.3% 77,100 Buckeye Technologies Inc.!!................................... 860 59,400 Caraustar Industries, Inc.!!.................................. 996 40,700 Chesapeake Corporation........................................ 978 25,300 Deltic Lumber Corporation..................................... 1,007 33,000 Pope & Talbot Inc. ........................................... 581 74,400 Rock-Tenn Company - Class A................................... 1,171 31,000 Schweitzer-Mauduit International, Inc. ....................... 1,004 69,300 United Stationers Inc.!!...................................... 3,007 37,300 Universal Forest Products, Inc. .............................. 1,276 107,800 Wausau-Mosinee Paper Corporation(a)........................... 1,795 ---------- 12,675 ---------- PHARMACEUTICALS -- 2.3% 109,500 Alpharma Inc., Class A........................................ 2,003 60,100 ArQule Inc.!!................................................. 278 32,700 Bradley Pharmaceuticals Inc.!!(a)............................. 665 64,305 Enzo Biochem, Inc.!!.......................................... 965 118,400 Medicis Pharmaceutical Corporation, Class A................... 4,621 147,400 MGI Pharma, Inc.!!............................................ 3,934
SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS Nations SmallCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- PHARMACEUTICALS -- (CONTINUED) 139,500 NBTY, Inc.!!.................................................. $ 3,008 48,800 Noven Pharmaceuticals, Inc.!!................................. 1,017 117,800 Pharmaceutical Product Development, Inc.!!.................... 4,241 116,200 Regeneron Pharmaceuticals, Inc.!!............................. 1,009 125,700 Savient Pharmaceuticals Inc.!!................................ 289 ---------- 22,030 ---------- PUBLISHING AND ADVERTISING -- 0.7% 39,700 Advanced Marketing Services Inc. ............................. 428 73,600 Bowne & Company Inc. ......................................... 956 28,400 Consolidated Graphics Inc.!!.................................. 1,190 43,600 Information Holdings Inc.!!(a)................................ 1,187 57,900 John H. Harland Company....................................... 1,816 59,600 The Standard Register Company................................. 626 30,500 Thomas Nelson, Inc. .......................................... 596 ---------- 6,799 ---------- RAILROADS, TRUCKING AND SHIPPING -- 2.7% 52,000 Arkansas Best Corporation..................................... 1,904 93,200 EGL, Inc.!!................................................... 2,820 156,451 Heartland Express, Inc. ...................................... 2,887 130,700 Kansas City Southern Industries, Inc.!!....................... 1,983 51,300 Kirby Corporation!!........................................... 2,060 117,600 Knight Transportation, Inc.!!................................. 2,519 63,200 Landstar System, Inc.!!....................................... 3,708 58,000 USF Corporation............................................... 2,082 70,400 Wabash National Corporation!!................................. 1,934 100,400 Yellow Roadway Corporation!!(a)............................... 4,707 ---------- 26,604 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 2.6% 79,700 Capital Automotive REIT....................................... 2,492 56,800 Colonial Properties Trust..................................... 2,284 108,200 Commercial Net Lease Realty................................... 1,971 51,200 Entertainment Property Trust.................................. 1,935 47,900 Essex Property Trust, Inc. ................................... 3,442 61,100 Gables Residential Trust(a)................................... 2,087 66,600 Glenborough Realty Trust Inc. ................................ 1,383 59,300 Kilroy Realty Corporation..................................... 2,255 100,800 Lexington Corporate Properties Trust(a)....................... 2,188 95,900 Shurgard Storage Centers, Inc.(a)............................. 3,722 31,600 Sovran Self Storage, Inc. .................................... 1,238 ---------- 24,997 ---------- RESTAURANTS -- 2.6% 76,450 CEC Entertainment Inc.!!...................................... 2,810 42,200 IHOP Corporation.............................................. 1,612 76,800 Jack in the Box Inc.!!........................................ 2,437 57,600 Landry's Seafood Restaurants Inc. ............................ 1,572 45,800 Lone Star Steakhouse & Saloon, Inc. .......................... 1,183 44,500 O'Charley's Inc.!!............................................ 725 53,400 P.F. Changs China Bistro Inc.!!(a)............................ 2,589 63,000 Panera Bread Company, Class A!!(a)............................ 2,365 35,000 Papa John's International Inc.!!(a)........................... 1,074 70,700 RARE Hospitality International, Inc.!!........................ 1,884 86,900 Ryan's Restaurant Group Inc.!!................................ 1,290 124,300 Sonic Corporation!!........................................... 3,186
VALUE SHARES (000) ---------------------------------------------------------------------------------------- RESTAURANTS -- (CONTINUED) 57,100 The Steak n Shake Company!!................................... $ 975 133,900 Triarc Companies, Inc. ....................................... 1,536 ---------- 25,238 ---------- SEMICONDUCTORS -- 3.8% 54,200 Actel Corporation!!........................................... 824 73,600 Alliance Semiconductor Corporation!!.......................... 255 65,400 ATMI, Inc.!!(a)............................................... 1,339 208,500 Axcelis Technologies, Inc.!!.................................. 1,726 93,000 Brooks Automation, Inc.!!..................................... 1,316 52,800 C&D Technologies, Inc. ....................................... 1,004 96,000 Cognex Corporation............................................ 2,515 63,300 Coherent, Inc.!!.............................................. 1,642 76,700 Cymer, Inc.!!................................................. 2,198 59,400 DSP Group, Inc.!!............................................. 1,250 38,300 Dupont Photomasks, Inc.!!..................................... 653 58,900 Electro Scientific Industries, Inc.!!......................... 1,022 82,400 ESS Technology, Inc.!!........................................ 564 85,700 Exar Corporation!!............................................ 1,214 69,400 FEI Company!!................................................. 1,371 146,300 Kopin Corporation!!........................................... 595 106,500 Kulicke & Soffa Industries Inc.!!(a).......................... 602 124,400 Microsemi Corporation!!....................................... 1,754 41,500 Park Electrochemical Corporation.............................. 880 55,100 Pericom Semiconductor Corporation!!........................... 532 35,100 Photon Dynamics, Inc.!!....................................... 713 68,000 Photronics, Inc.!!............................................ 1,130 64,500 Power Integrations, Inc.!!.................................... 1,318 35,000 Rudolph Technologies, Inc.!!.................................. 586 324,600 Skyworks Solutions, Inc.!!.................................... 3,084 27,000 Supertex, Inc.!!.............................................. 525 84,300 Technitrol, Inc.!!............................................ 1,644 49,600 Ultratech Stepper, Inc.!!..................................... 777 75,900 Varian Semiconductor Equipment Associates, Inc.!!............. 2,345 61,900 Veeco Instruments Inc.!!...................................... 1,298 ---------- 36,676 ---------- SOFTWARE -- 3.4% 32,300 Ansys, Inc.!!................................................. 1,606 70,000 Avid Technology, Inc.!!....................................... 3,282 58,400 Bell Microproducts Inc.!!..................................... 453 51,200 Carreker Corporation!!........................................ 390 75,300 Cerner Corporation!!(a)....................................... 3,257 125,800 Ciber Inc.!!.................................................. 946 86,800 Dendrite International, Inc.!!................................ 1,399 37,300 EPIQ Systems, Inc.!!(a)....................................... 581 82,200 FileNET Corporation!!......................................... 1,435 81,400 Hyperion Solutions Corporation!!.............................. 2,767 60,600 JDA Software Group, Inc.!!.................................... 656 65,000 Kronos Inc.!!................................................. 2,879 62,800 Manhattan Associates, Inc.!!.................................. 1,534 42,100 MapInfo Corporation!!......................................... 455 52,100 MRO Software, Inc.!!.......................................... 521 79,900 Netegrity, Inc.!!............................................. 600 43,500 PC-Tel, Inc.!!................................................ 359 51,200 Phoenix Technologies Ltd.!!................................... 255 75,700 Progress Software Corporation!!............................... 1,506 72,300 Roxio, Inc.!!(a).............................................. 372 92,700 SERENA Software, Inc.!!....................................... 1,551
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS Nations SmallCap Index Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- SOFTWARE -- (CONTINUED) 36,700 SPSS, Inc.!!.................................................. $ 489 93,700 Take-Two Interactive Software, Inc.!!(a)...................... 3,078 81,700 THQ Inc.!!.................................................... 1,590 76,900 Verity, Inc.!!................................................ 990 ---------- 32,951 ---------- SPECIALTY STORES -- 4.6% 93,100 Burlington Coat Factory Warehouse Corporation................. 1,977 43,000 Cato Corporation, Class A..................................... 957 45,600 Cost Plus, Inc.!!............................................. 1,613 28,000 Department 56, Inc.!!......................................... 456 61,800 Dress Barn, Inc.!!............................................ 1,078 49,600 Electronics Boutique Holdings Corporation!!................... 1,691 29,800 Enesco Group, Inc.!!.......................................... 204 147,650 Fossil, Inc.!!................................................ 4,569 68,800 Goody's Family Clothing Inc. ................................. 579 52,500 Guitar Center, Inc.!!......................................... 2,273 63,800 Gymboree Corporation!!........................................ 919 48,900 Hibbet Sporting Goods, Inc.!!................................. 1,002 97,400 Hot Topic, Inc.!!............................................. 1,660 101,200 Insight Enterprises, Inc.!!................................... 1,704 41,900 J. Jill Group Inc.!!.......................................... 832 46,950 Jo-Ann Stores, Inc.!!......................................... 1,316 94,200 Linens 'N Things, Inc.!!...................................... 2,183 67,400 Movie Gallery, Inc. .......................................... 1,182 125,600 PEP Boys - Manny, Moe & Jack.................................. 1,758 47,300 School Specialty, Inc.!!...................................... 1,864 110,150 SCP Pool Corporation.......................................... 2,945 76,500 Select Comfort Corporation!!.................................. 1,392 88,000 Stein Mart Inc.!!............................................. 1,339 75,400 The Men's Wearhouse, Inc.!!(a)................................ 2,190 71,800 Too Inc.!!.................................................... 1,297 79,800 Tractor Supply Company!!...................................... 2,509 108,400 Zale Corporation!!............................................ 3,047 ---------- 44,536 ---------- STEEL -- 0.3% 88,700 Maverick Tube Corporation!!................................... 2,733 ---------- TELECOMMUNICATIONS SERVICES -- 0.8% 23,300 Applied Signal Technology, Inc. .............................. 745 36,500 Boston Communications Group, Inc.!!........................... 320 30,100 Catapult Communications Corporation!!......................... 567 43,900 Commonwealth Telephone Enterprises, Inc.!!.................... 1,913 45,200 Digi International Inc.!!..................................... 517 119,600 General Communication, Inc., Class A!!........................ 1,082 53,700 Inter-Tel Inc. ............................................... 1,161 36,200 Intrado Inc.!!................................................ 366 50,700 Network Equipment Technologies Inc.!!......................... 335 93,600 SymmetriCom Inc.!!............................................ 885 ---------- 7,891 ---------- TOBACCO -- 0.1% 94,200 DiMon Inc. ................................................... 555 ----------
VALUE SHARES (000) ---------------------------------------------------------------------------------------- UTILITIES -- MISCELLANEOUS -- 0.1% 34,700 American States Water Company................................. $ 864 ---------- TOTAL COMMON STOCKS (Cost $742,957)............................................. 967,249 ---------- PRINCIPAL AMOUNT (000) --------- CORPORATE BONDS AND NOTES -- 0.0%+ AEROSPACE AND DEFENSE -- 0.0%+ (Cost $0)++ $ 2 TIMCO Aviation Services, Inc., 8.000% 01/02/07(b) (c)...................................... 1 ---------- SHARES (000) --------- WARRANTS -- 0.0%+ AEROSPACE AND DEFENSE -- 0.0%+ (Cost $0)++ 2 TIMCO Aviation Services, Inc.!!............................... 0++ ---------- AFFILIATED INVESTMENT COMPANIES -- 5.6% (Cost $54,212) 54,212 Nations Cash Reserves, Capital Class Shares#.................. 54,212 ---------- TOTAL INVESTMENTS (Cost $797,169*).................................. 105.2% 1,021,462 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (5.2)% (50,697) ---------- NET ASSETS.......................................... 100.0% $ 970,765 ==========
--------------- *Federal income tax information (see Note 12). !! Non-income producing security. +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 $50,756. (a) All or a portion of security was on loan on September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004 is $47,228 and $48,988, respectively. && All or a portion of security segregated as collateral for futures contracts. (b) PIK ("Payment in Kind"). Interest or dividend payment is made with additional securities. (c) Fair valued security (see Note 1). ABBREVIATIONS: LTD -- Limited
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2004
LARGECAP LARGECAP MIDCAP SMALLCAP INDEX ENHANCED CORE INDEX INDEX ----------------------------------------------------------------------------------- (IN THOUSANDS) ASSETS: Non-affiliated investments, at cost........ $ 1,092,837 $ 212,751 $ 1,287,388 $ 742,957 Affiliated investments, at cost............ 51,543 11,697 39,136 54,212 ----------------- ----------------- ----------------- ----------------- Non-affiliated investments, at value....... 1,223,032 253,149 1,493,407 967,250 Affiliated investments, at value........... 61,384 11,697 39,136 54,212 Cash....................................... -- 1 708 1 Receivable for investment securities sold..................................... -- 27,985 20,246 3,724 Receivable for Fund shares sold............ 1,920 11,715 -- 985 Dividends receivable....................... 1,461 313 949 844 Interest receivable........................ 1 -- -- 18 Unrealized appreciation on swap contracts................................ -- 1,382 -- -- Receivable from administrator.............. -- -- 13 -- Receivable for variation margin............ -- -- 64 15 ----------------- ----------------- ----------------- ----------------- Total assets........................... 1,287,798 306,242 1,554,523 1,027,049 ----------------- ----------------- ----------------- ----------------- LIABILITIES: Collateral on securities loaned............ (3,201) -- (27,625) (50,756) Investment advisory fee payable............ (36) (28) (123) (79) Administration fee payable................. (52) (49) -- (39) Shareholder servicing and distribution fees payable.................................. (7) (4) (2) (3) Unrealized depreciation on swap contracts................................ -- (822) -- -- Variation margin due to broker............. (11) (4) -- -- Written options, at value (premium $0, $1,010, $0, and $0, respectively)........ -- (1,076) -- -- Payable for investment securities purchased................................ (1,402) (32,024) (12,216) (4,861) Payable for Fund shares redeemed........... (425) (75) -- (299) Accrued Trustees' fees and expenses........ (82) (75) (39) (76) Accrued expenses and other liabilities..... (128) (50) (196) (171) ----------------- ----------------- ----------------- ----------------- Total liabilities...................... (5,344) (34,207) (40,201) (56,284) ----------------- ----------------- ----------------- ----------------- NET ASSETS................................. $ 1,282,454 $ 272,035 $ 1,514,322 $ 970,765 ================= ================= ================= ================= NET ASSETS CONSIST OF: Undistributed net investment income/(loss)............................ $ 14,476 $ 2,440 $ 10,707 $ 5,015 Accumulated net realized gain/(loss) on investments.............................. (206,482) 2,856 24,874 (27,449) Unrealized appreciation/(depreciation) on: Investments.............................. 140,036 40,403 206,019 224,293 Swap contracts........................... -- 559 -- -- Futures.................................. (105) (32) 127 59 Written options and swaptions............ -- (66) -- -- Paid-in capital............................ 1,334,529 225,875 1,272,595 768,847 ----------------- ----------------- ----------------- ----------------- NET ASSETS................................. $ 1,282,454 $ 272,035 $ 1,514,322 $ 970,765 ================= ================= ================= ================= PRIMARY A SHARES: Net assets................................. $ 1,248,603,355 $ 254,201,549 $ 1,505,968,296 $ 957,145,726 Number of shares outstanding............... 57,453,787 19,668,877 148,880,571 53,686,798 Net asset value and redemption price per share.................................... $ 21.73 $ 12.92 $ 10.12 $ 17.83 INVESTOR A SHARES: Net assets................................. $ 33,850,610 $ 17,833,022 $ 8,353,580 $ 13,618,810 Number of shares outstanding............... 1,569,475 1,385,112 827,622 767,839 Net asset value and redemption price per share.................................... $ 21.57 $ 12.87 $ 10.09 $ 17.74
SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2004
LARGECAP LARGECAP MIDCAP SMALLCAP INDEX ENHANCED CORE INDEX INDEX ----------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends (Net of foreign withholding taxes of $0, $0, $0 and $0, respectively)..................... $ 10,281 $ 2,082 $ 8,662 $ 4,812 Dividend income from affiliated funds and securities....................................... 569 57 122 40 Securities lending................................. 4 -- 39 119 -------------- -------------- -------------- -------------- Total investment income........................ 10,854 2,139 8,823 4,971 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee............................ 635 518 730 688 Administration fee................................. 635 298 730 459 Transfer agent fees................................ 171 41 206 126 Custodian fees..................................... 43 20 55 64 Legal and audit fees............................... 58 45 48 46 Registration and filing fees....................... 17 14 12 14 Trustees fees and expenses......................... 12 12 12 12 Interest expense................................... -- -- -- 2 Printing expense................................... 17 11 16 16 Other.............................................. 16 26 16 11 Non-recurring costs (see Note 13).................. 235 48 270 170 Cost assumed by Bank of America Corporation (see Note 13)......................................... (235) (48) (270) (170) -------------- -------------- -------------- -------------- Subtotal....................................... 1,604 985 1,825 1,438 Shareholder servicing and distribution fees: Investor A Shares................................ 42 22 10 17 -------------- -------------- -------------- -------------- Total expenses................................. 1,646 1,007 1,835 1,455 Fees waived by investment adviser, administrator and/or distributor (see Note 3).................. (715) (337) (801) (472) Fees reduced by credits allowed by the custodian (see Note 3)..................................... --* --* (2) (1) -------------- -------------- -------------- -------------- Net expenses................................... 931 670 1,032 982 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME/(LOSS)....................... 9,923 1,469 7,791 3,989 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions............................ (1,348) 6,789 40,328 18,613 Written options.................................. -- (2,142) -- -- Futures contracts................................ 536 (117) (1,829) (792) Swap contracts................................... -- 556 -- -- Foreign currency and net other assets............ -- 12 -- -- -------------- -------------- -------------- -------------- Net realized gain/(loss) on investments............ (812) 5,098 38,499 17,821 -------------- -------------- -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities....................................... (11,591) (10,234) (63,412) (3,073) Written options.................................. -- 1,532 -- -- Futures contracts................................ (487) (136) (129) (11) Swap contracts................................... -- 487 -- -- -------------- -------------- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments....... (12,078) (8,351) (63,541) (3,084) -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments...................................... (12,890) (3,253) (25,042) 14,737 -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS.................................. $ (2,967) $ (1,784) $ (17,251) $ 18,726 ============== ============== ============== ==============
--------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 36 [This page intentionally left blank] 37 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
LARGECAP INDEX LARGECAP ENHANCED CORE --------------------------------------- --------------------------------------- SIX MONTHS SIX MONTHS ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ----------------------------------------------------------------------------------- (IN THOUSANDS) Net investment income/(loss)............... $ 9,923 $ 17,007 $ 1,469 $ 3,006 Net realized gain/(loss) on investments.... (812) 4,439 5,098 46,325 Net change in unrealized appreciation/(depreciation) of investments.............................. (12,078) 307,577 (8,351) 27,069 ----------------- ----------------- ----------------- ----------------- Net increase/(decrease) in net assets resulting from operations................ (2,967) 329,023 (1,784) 76,400 Distributions to shareholders from net investment income: Primary A Shares......................... -- (15,474) -- (2,749) Investor A Shares........................ -- (339) -- (172) Distributions to shareholders from net realized gain on investments: Primary A Shares......................... -- -- (10,444) -- Investor A Shares........................ -- -- (781) -- Net increase/(decrease) in net assets from Fund share transactions.................. 6,855 23,512 20,129 (15,761) ----------------- ----------------- ----------------- ----------------- Net increase/(decrease) in net assets...... 3,888 336,722 7,120 57,718 ----------------- ----------------- ----------------- ----------------- NET ASSETS: Beginning of period........................ 1,278,566 941,844 264,915 207,197 ----------------- ----------------- ----------------- ----------------- End of period.............................. $ 1,282,454 $ 1,278,566 $ 272,035 $ 264,915 ================= ================= ================= ================= Undistributed net investment income/(loss) at end of period......................... $ 14,476 $ 4,553 $ 2,440 $ 971 ================= ================= ================= =================
--------------- *Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 38 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MIDCAP INDEX SMALLCAP INDEX --------------------------------------- -------------------------------------- SIX MONTHS SIX MONTHS ENDED 9/30/04 YEAR ENDED ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ---------------------------------------------------------------------------------- $ 7,791 $ 11,527 $ 3,989 $ 4,344 38,499 14,150 17,821 23,882 (63,541) 426,588 (3,084) 288,515 ----------------- ----------------- ----------------- ----------------- (17,251) 452,265 18,726 316,741 -- (10,400) -- (3,994) -- (34) -- (55) (4,079) (3) (22,849) (2,685) (22) --* (343) (38) 66,446 164,214 48,430 91,338 ----------------- ----------------- ----------------- ----------------- 45,094 606,042 43,964 401,307 ----------------- ----------------- ----------------- ----------------- 1,469,228 863,186 926,801 525,494 ----------------- ----------------- ----------------- ----------------- $ 1,514,322 $ 1,469,228 $ 970,765 $ 926,801 ================= ================= ================= ================= $ 10,707 $ 2,916 $ 5,015 $ 1,026 ================= ================= ================= =================
SEE NOTES TO FINANCIAL STATEMENTS. 39 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
LARGECAP INDEX --------------------------------------------- SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------- -------------------- SHARES DOLLARS SHARES DOLLARS --------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 4,942 $ 107,020 11,905 $ 238,760 Issued as reinvestment of dividends....................... -- -- 484 10,358 Redeemed.................................................. (4,655) (100,926) (11,321) (227,179) ------ --------- ------- --------- Net increase/(decrease)................................... 287 $ 6,094 1,068 $ 21,939 ====== ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 237 $ 5,069 563 $ 11,259 Issued as reinvestment of dividends....................... -- -- 14 297 Redeemed.................................................. (201) (4,308) (498) (9,983) ------ --------- ------- --------- Net increase/(decrease)................................... 36 $ 761 79 $ 1,573 ====== ========= ======= ========= Total net increase/(decrease)............................. 323 $ 6,855 1,147 $ 23,512 ====== ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 40 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
LARGECAP ENHANCED CORE ------------------------------------------ SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,463 $ 31,880 4,127 $ 50,326 Issued as reinvestment of dividends....................... 88 1,101 13 173 Redeemed.................................................. (999) (12,844) (5,176) (63,846) ----- -------- ------ -------- Net increase/(decrease)................................... 1,552 $ 20,137 (1,036) $(13,347) ===== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 87 $ 1,111 238 $ 2,880 Issued as reinvestment of dividends....................... 50 631 10 136 Redeemed.................................................. (134) (1,750) (436) (5,430) ----- -------- ------ -------- Net increase/(decrease)................................... 3 $ (8) (188) $ (2,414) ===== ======== ====== ======== Total net increase/(decrease)............................. 1,555 $ 20,129 (1,224) $(15,761) ===== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
MIDCAP INDEX -------------------------------------------- SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 16,189 $161,572 47,839 $ 412,961 Issued as reinvestment of dividends....................... 116 1,112 232 2,280 Redeemed.................................................. (9,747) (97,339) (29,438) (254,761) ------ -------- ------- --------- Net increase/(decrease)................................... 6,558 $ 65,345 18,633 $ 160,480 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 392 $ 3,925 772 $ 7,146 Issued as reinvestment of dividends....................... 2 19 3 32 Redeemed.................................................. (286) (2,843) (370) (3,444) ------ -------- ------- --------- Net increase/(decrease)................................... 108 $ 1,101 405 $ 3,734 ====== ======== ======= ========= Total net increase/(decrease)............................. 6,666 $ 66,446 19,038 $ 164,214 ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SMALLCAP INDEX -------------------------------------------- SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 6,153 $106,690 16,332 $ 246,720 Issued as reinvestment of dividends....................... 357 5,835 89 1,481 Redeemed.................................................. (3,762) (65,316) (10,149) (157,131) ------ -------- ------- --------- Net increase/(decrease)................................... 2,748 $ 47,209 6,272 $ 91,070 ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 266 $ 4,655 927 $ 13,277 Issued as reinvestment of dividends....................... 18 296 5 76 Redeemed.................................................. (217) (3,730) (906) (13,085) ------ -------- ------- --------- Net increase/(decrease)................................... 67 $ 1,221 26 $ 268 ====== ======== ======= ========= Total net increase/(decrease)............................. 2,815 $ 48,430 6,298 $ 91,338 ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 43 NATIONS FUNDS FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS)# INVESTMENTS FROM OPERATIONS INCOME -------------------------------------------------------------------------- LARGECAP INDEX PRIMARY A SHARES Six months ended 9/30/2004 (unaudited).... $21.79 $0.17 $(0.23) $(0.06) $ -- Year ended 3/31/2004...................... 16.37 0.30 5.39 5.69 (0.27) 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) Year ended 3/31/2000...................... 25.06 0.26 4.09 4.35 (0.25) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $21.65 $0.14 $(0.22) $(0.08) $ -- Year ended 3/31/2004...................... 16.27 0.24 5.37 5.61 (0.23) 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) Year ended 3/31/2000...................... 24.94 0.19 4.08 4.27 (0.19) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- LARGECAP INDEX PRIMARY A SHARES Six months ended 9/30/2004 (unaudited).... $ -- Year ended 3/31/2004...................... -- Year ended 3/31/2003...................... -- Year ended 3/31/2002...................... -- Year ended 3/31/2001...................... --## Year ended 3/31/2000...................... (0.26) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $ -- Year ended 3/31/2004...................... -- Year ended 3/31/2003...................... -- Year ended 3/31/2002...................... -- Year ended 3/31/2001...................... --## Year ended 3/31/2000...................... (0.26)
--------------- + 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 3) 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 is included in the ratio of operating expenses to average net asset (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. (d)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.47% for Primary A Shares and 0.72% for Investor A Shares. (e)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 13) is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.25% for Primary A Shares and 0.50% for Investor A Shares. SEE NOTES TO FINANCIAL STATEMENTS. 44 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 ---------------------------------------------------------------------------------------------------------------------------------- $ -- $21.73 (0.28)% $1,248,603 0.14%+(a) 1.57%+ 1% 0.29%+(a)(e) (0.27) 21.79 34.82 1,245,378 0.26(a)(c) 1.48 1 0.50(a)(d) (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) $ -- $21.57 (0.37)% $ 33,851 0.39%+(a) 1.32%+ 1% 0.54%+(a)(e) (0.23) 21.65 34.50 33,188 0.51(a)(c) 1.23 1 0.75(a)(d) (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)
SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS)# INVESTMENTS FROM OPERATIONS INCOME -------------------------------------------------------------------------- LARGECAP ENHANCED CORE PRIMARY A SHARES Six months ended 9/30/2004 (unaudited).... $13.59 $0.07 $(0.17) $(0.10) $ -- Year ended 3/31/2004...................... 10.00 0.15 3.59 3.74 (0.15) Year ended 3/31/2003...................... 14.00 0.14 (3.53) (3.39) (0.07) Year ended 3/31/2002...................... 14.90 0.13 0.38 0.51 (0.12) Year ended 3/31/2001...................... 22.04 0.13 (4.46) (4.33) (0.12) Year ended 3/31/2000...................... 19.39 0.16 2.78 2.94 (0.16) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $13.56 $0.06 $(0.18) $(0.12) $ -- Year ended 3/31/2004...................... 9.98 0.11 3.59 3.70 (0.12) Year ended 3/31/2003...................... 13.99 0.10 (3.51) (3.41) (0.06) Year ended 3/31/2002...................... 14.89 0.09 0.39 0.48 (0.09) Year ended 3/31/2001...................... 22.04 0.08 (4.47) (4.39) (0.07) Year ended 3/31/2000...................... 19.39 0.11 2.78 2.89 (0.11) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- LARGECAP ENHANCED CORE PRIMARY A SHARES Six months ended 9/30/2004 (unaudited).... $(0.57) Year ended 3/31/2004...................... -- Year ended 3/31/2003...................... (0.54) Year ended 3/31/2002...................... (1.29) Year ended 3/31/2001...................... (2.69) Year ended 3/31/2000...................... (0.13) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $(0.57) Year ended 3/31/2004...................... -- Year ended 3/31/2003...................... (0.54) Year ended 3/31/2002...................... (1.29) Year ended 3/31/2001...................... (2.69) Year ended 3/31/2000...................... (0.13)
--------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # 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 3) 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 is included in the ratio of operating expenses to average net asset (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. (e)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.73% for Primary A Shares and 0.98% for Investor A Shares. (f) The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 13) is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.76% for Primary A Shares and 1.01% for Investor A Shares. SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO OF RATIO OF TOTAL NET ASSET NET ASSETS OPERATING NET INVESTMENT DIVIDENDS VALUE END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO AND END OF TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS NET ASSETS RATE ------------------------------------------------------------------------------------------------------ $(0.57) $12.92 (0.60)% $254,202 0.50%+(a) 1.15%+ 92% (0.15) 13.59 37.41 246,181 0.50(a)(b)(c) 1.23 307 (0.61) 10.00 (25.03) 191,535 0.50(a)(b) 1.26 366 (1.41) 14.00 2.80 190,130 0.50(a)(b) 0.89 345 (2.81) 14.90 (21.49) 345,795 0.50(a)(b) 0.67 97 (0.29) 22.04 15.33 593,317 0.50(a)(b) 0.80 64 $(0.57) $12.87 (0.75)% $ 17,833 0.75%+(a) 0.90%+ 92% (0.12) 13.56 37.08 18,734 0.75(a)(b)(c) 0.98 307 (0.60) 9.98 (25.24) 15,663 0.75(a)(b) 1.01 366 (1.38) 13.99 2.55 25,420 0.75(a)(b) 0.64 345 (2.76) 14.89 (21.75) 32,402 0.75(a)(b) 0.42 97 (0.24) 22.04 15.04 51,433 0.75(a)(b) 0.55 64 WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------------------- RATIO OF TOTAL OPERATING DIVIDENDS EXPENSES TO AND AVERAGE DISTRIBUTIONS NET ASSETS ------------- ---------------------------- $(0.57) 0.80%+(a)(f) (0.15) 0.76(a)(e) (0.61) 0.80(a) (1.41) 0.75(a) (2.81) 0.70(a) (0.29) 0.72(a) $(0.57) 1.05%+(a)(f) (0.12) 1.01(a)(e) (0.60) 1.05(a) (1.38) 1.00(a) (2.76) 0.95(a) (0.24) 0.97(a)
SEE NOTES TO FINANCIAL STATEMENTS. 47 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 9/30/2004 (unaudited)#... $10.27 $0.05 $(0.17) $(0.12) $ -- Year ended 3/31/2004#..................... 6.96 0.09 3.29 3.38 (0.07) 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 9/30/2004 (unaudited)#... $10.26 $0.04 $(0.18) $(0.14) $ -- Year ended 3/31/2004#..................... 6.96 0.06 3.30 3.36 (0.06) 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 9/30/2004 (unaudited)#... $(0.03) Year ended 3/31/2004#..................... --** 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 9/30/2004 (unaudited)#... $(0.03) Year ended 3/31/2004#..................... --** 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 3) 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 is included in the ratio of operating expenses to average net asset (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. (d)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.47% for Primary A Shares and 0.72% for Investor A Shares. (e)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 13) is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.25% for Primary A Shares and 0.50% for Investor A Shares. SEE NOTES TO FINANCIAL STATEMENTS. 48 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO OF OPERATING EXPENSES RATIO OF INCLUDING RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INTEREST NET INVESTMENT DIVIDENDS VALUE END OF EXPENSES TO EXPENSE TO INCOME/(LOSS) PORTFOLIO AND END OF TOTAL PERIOD AVERAGE NET AVERAGE NET TO AVERAGE TURNOVER DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS RATE ------------------------------------------------------------------------------------------------------------------------ $(0.03) $10.12 (1.17)% $1,505,968 0.14%+(a) 0.14%+(a) 1.07%+ 9% (0.07) 10.27 48.67 1,461,843 0.25(a)(b)(c) 0.25(a)(c) 0.95 9 (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 $(0.03) $10.09 (1.36)% $ 8,354 0.39%+(a) 0.39%+(a) 0.82%+ 9% (0.06) 10.26 48.31 7,385 0.50(a)(b)(c) 0.50(a)(c) 0.70 9 (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 ------------- ---------------------------- $(0.03) 0.29%+(a)(e) (0.07) 0.50(a)(d) (0.16) 0.70(a) (0.61) 0.72(a) (0.97) 0.75(a) $(0.03) 0.54%+(a)(e) (0.06) 0.75(a)(d) (0.16) 0.95(a) (0.59) 0.97(a) (0.95) 1.00+(a)
SEE NOTES TO FINANCIAL STATEMENTS. 49 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 9/30/2004 (unaudited).... $17.95 $0.08 $ 0.25 $ 0.33 $ -- Year ended 3/31/2004...................... 11.59 0.09 6.40 6.49 (0.08) 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) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $17.88 $0.05 $ 0.26 $ 0.31 $ -- Year ended 3/31/2004...................... 11.57 0.05 6.39 6.44 (0.08) 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) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- SMALLCAP INDEX PRIMARY A SHARES Six months ended 9/30/2004 (unaudited).... $(0.45) Year ended 3/31/2004...................... (0.05) Year ended 3/31/2003...................... (0.06) Year ended 3/31/2002...................... (0.33) Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... -- INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $(0.45) Year ended 3/31/2004...................... (0.05) Year ended 3/31/2003...................... (0.06) Year ended 3/31/2002...................... (0.33) Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... --
--------------- + 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. (a)The effect of the custodial expense offset (see Note 3) 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 is included in the ratio of operating expenses to average net asset (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. (d)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.51% for Primary A Shares and 0.76% for Investor A Shares. (e)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 13) is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.31% for Primary A Shares and 0.56% for Investor A Shares. SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
RATIO OF NET OPERATING EXPENSES RATIO OF INCLUDING RATIO OF TOTAL NET ASSETS OPERATING INTEREST NET INVESTMENT DIVIDENDS NET ASSET END OF EXPENSES TO EXPENSE INCOME/(LOSS) PORTFOLIO AND VALUE TOTAL PERIOD AVERAGE TO AVERAGE TO AVERAGE TURNOVER DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS RATE -------------------------------------------------------------------------------------------------------------------- $(0.45) $17.83 2.05% $957,146 0.21%+(a) 0.21%+(a)(b) 0.87%+ 8% (0.13) 17.95 56.11 914,267 0.31(a)(c) 0.31(a)(b)(c) 0.57 16 (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 $(0.45) $17.74 1.95% $ 13,619 0.46%+(a) 0.46%+(a)(b) 0.62%+ 8% (0.13) 17.88 55.73 12,534 0.56(a)(c) 0.56(a)(b)(c) 0.32 16 (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 WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------------------- RATIO OF TOTAL OPERATING DIVIDENDS EXPENSES TO AND AVERAGE DISTRIBUTIONS NET ASSETS ------------- ---------------------------- $(0.45) 0.35%+(a)(e) (0.13) 0.53(a)(d) (0.11) 0.76(a) (0.40) 0.76(a) (0.06) 0.79(a) (0.04) 0.77(a) $(0.45) 0.60%+(a)(e) (0.13) 0.78(a)(d) (0.07) 1.01(a) (0.37) 1.01(a) (0.02) 1.04(a) (0.01) 1.02(a)
SEE NOTES TO FINANCIAL STATEMENTS. 51 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, 2004, Funds Trust offered fifty-six 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 generally valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on Nasdaq are generally valued at the Nasdaq official closing price. Securities traded only over-the-counter are generally valued at the mean of the latest bid and asked prices. Debt securities will generally be valued using prices provided by a pricing service which may employ various indications of value including but not limited to broker-dealer quotations. 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. 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 52 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 4:00 p.m. London time by a pricing service. 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. 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 net realized gain/(loss) on investments. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of assets and liabilities. A realized gain or loss is recorded upon termination of swap agreements and is equal to the difference between the Fund's basis in the swap and the proceeds from (or cost of) the closing transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that the swap contract counterparties will be able to meet their obligations pursuant to the swap contracts or that, in the event of default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to the swap contracts. The creditworthiness of the swap contract counterparties is closely monitored in order to minimize this risk. The use of derivative instruments involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of assets and liabilities. 53 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 gains on the underlying securities purchased and any unrealized losses 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 gains 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: Distributions from net investment income are declared and paid at least annually for each of the Funds. 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 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 Sub-chapter M, 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 are allocated to separate classes of shares based upon their relative net asset value on the date the expenses are incurred. 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 maximum annual rates multiplied by the average daily net assets of each Fund:
ANNUAL RATE ----------- LargeCap Index Fund and MidCap Index Fund................... 0.10% SmallCap Index Fund......................................... 0.15% LargeCap Enhanced Core Fund................................. 0.40%
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 the LargeCap Index, MidCap Index and SmallCap Index Funds' and 0.23% of the LargeCap Enhanced Core 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, 2004, BACAP Distributors earned an annual rate of 0.00% of the Funds' average daily net assets (net of waivers and sub-administration fees) for its administration services. 54 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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, 2004, Bank of America earned the following sub-transfer agent fees from the Funds for providing such services and these amounts are included in "Transfer agent fees" in each Fund's Statements of operations.
SUB-TRANSFER AGENT FEE FUND (000) ------------------------------------------------------------------------------------ LargeCap Index.............................................. $ 8 LargeCap Enhanced Core...................................... 4 MidCap Index................................................ 20 SmallCap Index.............................................. 13
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 an 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 assets and liabilities. 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 earn advisory and administration fees on the investments made in the Nations Cash Reserves in addition to the advisory and administration fees earned by BACAP and BACAP Distributors from the Funds. For the six months ended September 30, 2004, BACAP and BACAP Distributors earned the following fees related to investments in affiliated funds:
ADVISORY FEES ADMINISTRATION FEES (EARNED BY BACAP) (EARNED BY BACAP DISTRIBUTORS) FUND (000) (000) -------------------------------------------------------------------------------------------------------------- LargeCap Index Fund...................................... $16 $8 LargeCap Enhanced Core Fund.............................. 6 3 MidCap Index Fund........................................ 12 6 SmallCap Index Fund...................................... 4 2
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. TOTAL OPERATING EXPENSE LIMITATIONS BACAP and/or its affiliates may, from time to time, reduce its fees payable by each Fund. For the six months ended September 30, 2004 until July 31, 2005, BACAP and/or BACAP Distributors has agreed to reimburse expenses and/or 55 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) waive fees to the extent that total expenses (excluding interest expense and 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................... 0.14% SmallCap Index Fund......................................... 0.21% LargeCap Enhanced Core Fund................................. 0.50%
BACAP and/or BACAP Distributors is entitled to recover from LargeCap Index Fund, LargeCap Enhanced Core Fund and SmallCap Index Fund any fees waived or expenses reimbursed by BACAP and/or BACAP Distributors 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. At September 30, 2004, the amounts potentially recoverable by BACAP and/or BACAP Distributors pursuant to this arrangement are as follows:
POTENTIAL AMOUNT TO POTENTIAL AMOUNT TO POTENTIAL AMOUNT TO AMOUNT RECOVER WITHIN RECOVER WITHIN RECOVER WITHIN RECOVERED DURING 3 YEARS 3 YEARS 2 YEARS PERIOD ENDED FUND AS OF 9/30/04 AS OF 3/31/04 AS OF 3/31/04 9/30/04 --------------------------------------------------------------------------------------------------------------------------------- LargeCap Index............................ $714,829 $2,493,786 $3,142,504 $ -- LargeCap Enhanced Core.................... 337,322 581,572 495,650 -- SmallCap Index............................ 471,564 1,510,455 1,815,116 --
For the six months ended September 30, 2004, expenses of the Funds were reduced by $2,661 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. 4. 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 and paid monthly, 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, 2004, 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%
5. 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, 2004 were as follows:
PURCHASES SALES (000) (000) --------------------- LargeCap Index.............................................. $ 18,809 $ 11,149 LargeCap Enhanced Core...................................... 231,986 230,625 MidCap Index................................................ 196,835 130,349 SmallCap Index.............................................. 101,231 73,264
56 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 6. FUTURES CONTRACTS At September 30, 2004, 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 2004(a)... 133 $37,175 $37,070 $(105) ===== LARGECAP ENHANCED CORE: S&P 500 Futures (long position) Expiring December 2004(a)... 34 9,509 9,477 $ (32) ===== MIDCAP INDEX: MidCap 400 Futures (long position) Expiring December 2004(a)................................................... 66 19,478 19,605 $ 127 ===== SMALLCAP INDEX Russell 2000 Futures (long position) Expiring December 2004(a)................................................... 10 2,811 2,870 $ 59 =====
--------------- (a)Securities have been segregated as collateral for each Fund's open futures contracts. 7. WRITTEN OPTIONS Written options for the LargeCap Enhanced Core Fund for the six months ended September 30, 2004 aggregated the following:
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS CONTRACTS (000) ----------------------------------------------------------------------------------- Options outstanding at March 31, 2004....................... 502,105 $ 1,446 Options written............................................. 3,201 2,897 Options terminated in closing purchase transactions......... (2,785) (3,000) Options expired............................................. (500,321) (333) -------- ------- Options outstanding at September 30, 2004................... 2,200 $ 1,010 ======== =======
57 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 8. SWAP CONTRACTS At September 30, 2004, the LargeCap Enhanced Core Fund had the following swap contracts outstanding:
UNREALIZED NOTIONAL PAYMENTS APPRECIATION/ AMOUNT PAYMENTS MADE BY RECEIVED BY (DEPRECIATION) DESCRIPTION (000) THE FUND THE FUND (000) ---------------------------------------------------------------------------------------------------------------------------- Notional Amount x Notional Amount x Contract with Citigroup, effective July (SPX Corp. Index) (SPX Corp. Index) 24, 2003, expiring July 22, 2005(a)..... $16,827 Max (0, Vol@2-Strike@2) Max (0, Strike@2-Vol@2) $ 374 Contract with Deutsche Bank, Notional Amount x Notional Amount x effective June 26, 2003, expiring June (SPX Corp. Index) (SPX Corp. Index) 23, 2005(a)............................. 17,157 Max (0, Vol@2-Strike@2) Max (0, Strike@2-Vol@2) 382 Contract with Deutsche Bank, effective Notional Amount x Notional Amount x June 26, 2003, expiring June 23, (NDX Index) (NDX Index) 2005(a)................................. 8,803 Max (0, Strike@2-Vol@2) Max (0, Vol@2-Strike@2) (274) Contract with Deutsche Bank, effective Notional Amount x Notional Amount x July 24, 2003, expiring July 22, (NDX Index) (NDX Index) 2005(a)................................. 8,666 Max (0, Strike@2-Vol@2) Max (0, Vol@2-Strike@2) (289) Contract with Merrill Lynch, effective Notional Amount x Notional Amount x February 5, 2004, expiring January 28, (SPX Corp. Index) (SPX Corp. Index) 2005(a)................................. 21,127 Max (0, Vol@2-Strike@2) Max (0, Strike@2-Vol@2) 306 Notional Amount x Notional Amount x Contract with Citigroup, effective May 24, (Intel Corp. Index) (Intel Corp. Index) 2004, expiring October 15, 2004(a)...... 3,676 Max (0, Strike@2-Vol@2) Max (0, Vol@2-Strike@2) 37 Notional Amount x Notional Amount x Contract with Citigroup, effective May 24, (SPX Corp. Index) (SPX Corp. Index) 2004, expiring October 15, 2004(a)...... 12,000 Max (0, Vol@2-Strike@2) Max (0, Strike@2-Vol@2) 283 Contract with Deutsche Bank, effective Notional Amount x Notional Amount x February 3, 2004, expiring January 28, (NDX Index) (NDX Index) 2005(a)................................. 9,398 Max (0, Strike@2-Vol@2) Max (0, Vol@2-Strike@2) (260) ----- Total unrealized appreciation............. $ 559 =====
--------------- (a)Fair value. 9. SHARES OF BENEFICIAL INTEREST As of September 30, 2004, an unlimited number of shares of beneficial interest without par value were authorized for Funds Trust. Funds Trust's Declaration of Trust authorizes the Board of Trustees to classify or reclassify any authorized but unissued shares into one or more additional classes or series of shares. See Schedules of capital stock activity. 10. 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. 58 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The Funds had no borrowings outstanding at September 30, 2004. During the six months ended September 30, 2004, borrowings by the Funds under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST FUND (000) RATE -------------------------------------------------------------------------------------- SmallCap Index.............................................. $257 1.50%
--------------- * 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 plus accrued income from investment of the collateral. 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. The income earned by each Fund from securities lending is included in its Statement of operations. At September 30, 2004, the following Funds had securities on loan:
MARKET MARKET VALUE OF VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) ------------------------------------------------------------------------------------------------ LargeCap Index.............................................. $ 3,076 $ 3,201 MidCap Index................................................ 26,816 27,625 SmallCap Index.............................................. 48,988 50,756
12. INCOME TAXES Information on the tax components of capital as of September 30, 2004 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.................................... $1,144,380 $340,374 $(200,338) $140,036 $(105) LargeCap Enhanced Core............................ 224,443 43,371 (2,968) 40,403 461 MidCap Index...................................... 1,326,524 306,018 (99,999) 206,019 127 SmallCap Index.................................... 797,169 272,370 (48,077) 224,293 59
At March 31, 2004, 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.............................................. $30,989 $39,881 $114,144
59 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) During the year ended March 31, 2004, the following Funds utilized capital losses as follows:
CAPITAL LOSSES UTILIZED FUND (000) ------------------------------------------------------------------------------- LargeCap Index.............................................. $ 220 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, 2004, the following Funds elected to defer losses occurring between November 1, 2003 and March 31, 2004 under these rules, as follows:
CAPITAL LOSSES DEFERRED FUND (000) ------------------------------------------------------------------------------- LargeCap Index.............................................. $321
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2005. 13. CONTINGENCIES AND OTHER 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 various mutual funds including certain Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and "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 Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name the Funds, among others, as defendants (see Civil Litigation below). The independent Trustees of the Funds have engaged independent legal counsel and, through them, accountants to evaluate the extent of any monetary impact to any Funds from discretionary market timing or from late trading. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds (the "Boards") 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 the Funds in connection with this matter. Assumptions and Reimbursements For the six months ended September 30, 2004, Bank of America Corporation has assumed $4.5 million of legal, shareholder communications, audit related, transfer agent, consulting and Trustee costs and fees incurred by the Funds impacted in connection with the regulatory and civil litigation matters discussed above. These non-recurring costs were allocated to 19 Funds based on their respective average nets assets for the six months ended September 30, 2004. These non-recurring costs on a per Fund basis are shown in that Fund's respective Statement of operations. Because these costs were borne by Bank of America Corporation and not any Fund, an offsetting waiver of these costs is also presented in each respective Fund's Statement of operations as, "Costs assumed by Bank of America Corporation". The impact to the expense ratio of each impacted Fund is reflected in the Fund's Financial highlights. 60 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Settlements in Principle with Regulators On March 15, 2004, Bank of America Corporation and FleetBoston Financial Corporation ("Fleet") entered into agreements in principle (each an "Agreement" and together, the "Agreements") with the NYAG and the SEC over matters related to improper late trading and market timing of mutual funds. As noted below, on April 1, 2004, Bank of America Corporation acquired Fleet. Under the Agreements, Bank of America Corporation has agreed to pay $250 million in total disgorgement and restitution and a penalty of $125 million and FleetBoston Financial Corporation agreed to pay $70 million in total disgorgement and restitution and a penalty of $70 million. In addition, the Agreement with the NYAG requires an aggregate reduction in mutual fund fees of $32 million per year for five years across selected non-money market funds in the Nations Funds and Fleet mutual fund complexes. The final amount payable as restitution and whether such restitution will be effectuated through a Fund or directly to shareholders, has not yet been determined. When finalized, the Agreements will conclude the investigation by the NYAG and the SEC of Bank of America Corporation and its affiliates relating to late trading and market timing activities, provided that the NYAG and the SEC have reserved the right to continue their respective investigations of and actions against individuals. Management believes that the Agreements, and their finalization, could have a positive effect, but in no case will they have a material adverse effect, on any Fund's financial positions or results of operations. However, a review by the accountants engaged to investigate these matters for the Boards remains ongoing. Accordingly, an estimate of the financial impact on any Fund cannot currently be made. Bank of America Corporation Acquisition of Fleet On April 1, 2004, Bank of America Corporation acquired Fleet. As a result of this acquisition, Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributor, Inc. ("CFDI") are now indirect wholly-owned subsidiaries of Bank of America Corporation. The SEC and NYAG filed proceedings against both CMA and CFDI on February 24, 2004 alleging that they had violated certain provisions of the federal securities laws in connection with trading activity in mutual funds shares and violated certain New York anti-fraud statutes. In order to settle these matters, as noted above, Fleet entered into the March 15, 2004 Agreements with the NYAG and the SEC. In addition, both Bank of America and Fleet committed to use best efforts to implement certain enhanced governance and compliance procedures with respect to advised mutual funds and agreed to the retention of independent consultants to review compliance, control and other policies and procedures relating to their respective mutual fund advisory businesses. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, or if any final settlement includes an injunction against CMA or CFDI prohibiting them from engaging in certain conduct, CMA, CFDI or any company that is an affiliated person of CMA and CFDI could be barred from serving as an investment adviser or distributor for any investment company registered under the Investment Company Act of 1940. As a result of the Fleet acquisition, BACAP and BACAP Distributors are now affiliated persons of CMA and CFDI and, therefore, under these circumstances, could be barred from serving as an investment adviser or distributor for any registered investment company, including the Funds. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, it is expected that BACAP and BACAP Distributors would seek exemptive relief from the SEC to permit them to continue serving as the investment adviser and distributor of the Funds. Civil Litigation In connection with the events described in detail above, various parties have filed suit against certain Funds, their Boards and/or Bank of America Corporation (and affiliated entities). These cases have been consolidated in a multi-district proceeding and transferred to the Federal District Court in Maryland. These suits and certain regulatory investigations are ongoing. Accordingly, an estimate of the financial impact of this litigation on any Fund, if any, cannot currently be made. 61 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 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 (9/04) 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, 2004 Income Fund Nations High Yield Bond Fund [NATIONS FUNDS LOGO] Guidelines and information about how Nations Funds voted proxies for securities they held during the 12-month period ended June 30, 2004 are available without charge at www.nationsfunds.com and at http://www.sec.gov or by calling 1.800.321.7854. Beginning with the Funds' fiscal quarter ending December 31, 2004, the Funds will file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds' Forms N-Q will also be available on our website at www.nationsfunds.com. 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 US economy grew at a healthy pace during the six-month period that ended September 30, 2004. Despite uncertainty about job growth, consumer spending and rising energy prices, gross domestic product growth was comfortably above the long-term historical average of 3.0%. In general, corporate profits continued to rise, which provided companies with the resources to increase spending. Industrial production rose; factories used more of their capacity; and spending on technology, capital equipment and construction all increased. STOCKS FALTER WHILE BONDS EKE OUT A POSITIVE RETURN Although this environment provided a solid foundation for the financial markets, the stock market was unsettled by external events such as the fall presidential election, renewed terror threats and continued fighting in Iraq. As a result, many investors remained on the sidelines. The S&P 500 Index(1) and the Russell 3000 Index(2), two broad measures of US stock market performance, returned negative 0.18% and negative 0.60% respectively, over this six-month reporting period. The broad markets for small- and mid-cap stocks and value stocks did somewhat better. The Russell MidCap Value Index returned 3.50%(3) and the Russell 2000 Value Index returned 1.00%.(4) Energy stocks were the period's strongest performers. They gained more than 19% during the period, as measured by Standard & Poor's. The bond market encountered considerable volatility when job growth picked up in the spring and investors began to anticipate higher short-term interest rates. However, a shaky stock market and some weak economic data gave the bond market a boost in the final months of the period. The Lehman Brothers Aggregate Bond Index eked out a positive return of 0.68% over this six-month reporting period.(5) High-yield bonds, which can be less sensitive to changing interest rates, led the fixed-income markets. The Merrill Lynch US High Yield, Cash Pay Index returned 3.72% over the same period.(6) LOOKING AHEAD Although the soft patch encountered by the economy during the summer months appears to be behind us, a meaningful acceleration of economic activity does not appear to be in the works. In fact, leading economic indicators suggest that growth remains in line with the economy's long-term average. Job growth has become increasingly important to the outlook for consumer income and spending, and there the trend is encouraging. Although monthly data has been volatile over the past year, year-over-year data shows that payroll growth has swung from a decline of 1% to 2% in 2002 to an increase of 1% in 2004. (1)The S&P 500 Index is an unmanaged index of 500 widely held common socks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (2)The Russell 3000 Index is an unmanaged index that tracks the performance of the 3,000 largest US companies based on total market capitalization. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (3)The Russell MidCap Value Index is an unmanaged index that measures the performance of those Russell MidCap Index companies with lower price-to-book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (4)The Russell 2000 Value Index is an unmanaged index that tracks the performance of those Russell 2000 companies with lower price-to book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (5)The Lehman Brothers Aggregate Bond Index is a market value-weighted index that tracks fixed-rate, publicly placed, dollar-denominated, and non-convertible investment grade debt issues. (6)The Merrill Lynch US High Yield, Cash Pay Index is an unmanaged index that tracks the performance of non-investment-grade corporate bonds. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... In this environment, we believe that the outlook is slightly better for stocks than for bonds. Although long-term Treasury yields have declined in recent months, we expect them to move higher once the Federal Reserve Board completes its cycle of short-term rate increases. We expect to see short-term rates rise to 3% to 4% and long-term rates go to 5% or higher. Higher long-term rates would be a challenge for the bond market because yields and bond prices move in opposite directions. We expect the outlook for the stock market to improve if and when some of the current uncertainties are resolved. Certainly if the price of oil retreats from its current high level, it would take some pressure off consumers and the market would be one of the likely beneficiaries. STRATEGIC THINKING ABOUT YOUR INVESTMENTS Regardless of the short-term outlook for stocks and bonds, we believe that there are certain basic principles that can help you achieve your long-term financial goals. Think long term. Have a plan for investing, and stick to it. Own a diversified mix of investments. Add to your investments regularly. If you can incorporate these four principles into your investment plan, you will find it easier to ignore the short-term gyrations of the market. If you work with an investment professional, be sure to consult him or her if you have questions or concerns about your investments. An investment professional can be an important ally in helping you keep your financial goals on track. As always, we thank you for investing in Nations Funds and we look forward to serving your financial needs in the years to come. Sincerely, -s- William P. Carmichael WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS -s- Keith T. Banks Keith T. Banks President of Nations Funds President of Banc of America Capital Management, LLC September 30, 2004 The information and data provided in this analysis are derived from sources that we deem to be reliable and accurate. The opinions expressed here are strictly those of the contributors and are subject to change without notice. TABLE OF CONTENTS DISCLOSURE OF FUND EXPENSES AND PORTFOLIO HOLDINGS Nations Short-Term Income Fund 3 Nations Short-Intermediate Government Fund 5 Nations Government Securities Fund 7 Nations Intermediate Bond Fund 9 Nations Bond Fund 11 Nations Strategic Income Fund 13 Nations High Yield Bond Fund 15 FINANCIAL STATEMENTS Schedule of investments 17 Statements of assets and liabilities 50 Statements of operations 52 Statements of changes in net assets 54 Schedules of capital stock activity 58 Financial highlights 66 Notes to financial statements 80 Schedules of investments -- Nations Master Investment Trust 95 Nations Intermediate Bond Master Portfolio 95 Nations High Yield Bond Master Portfolio 103 Statements of assets and liabilities 112 Statements of operations 113 Statements of changes in net assets 114 Financial highlights 114 Notes to financial statements 115
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 2003.
[This page intentionally left blank] NATIONS SHORT-TERM INCOME FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 999.20 $2.41 Hypothetical**.............................................. $1,000.00 $1,022.66 $2.43 INVESTOR A Actual...................................................... $1,000.00 $ 999.00 $3.66 Hypothetical**.............................................. $1,000.00 $1,021.41 $3.70 INVESTOR B Actual...................................................... $1,000.00 $ 994.20 $7.40 Hypothetical**.............................................. $1,000.00 $1,017.65 $7.49 INVESTOR C Actual...................................................... $1,000.00 $ 994.30 $7.40 Hypothetical**.............................................. $1,000.00 $1,017.65 $7.49
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.48%, Investor A 0.73%, Investor B 1.48% and Investor C 1.48%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 3 NATIONS SHORT-TERM INCOME FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 45.3% Corporate bonds and notes 26.0% U.S. government and agency obligations 14.6% Asset-backed securities 6.6% U.S. Treasury obligations 3.9% Foreign bonds and notes 0.6% Sovereign government bonds and notes 0.2% Mortgage-backed securities 2.8% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Federal Home Loan Mortgage Corporation (FHLMC), 2.875% 09/15/05 3.0% ------------------------------------------------- 2 Federal National Mortgage Association (FNMA), 3.000% 08/15/07 2.5% ------------------------------------------------- 3 Federal Home Loan Bank (FHLB), 2.875% 09/15/06 2.0% ------------------------------------------------- 4 U.S. Treasury Note, 2.000% 05/15/06 1.9% ------------------------------------------------- 5 Federal Home Loan Bank (FHLB), 3.500% 05/15/07 1.7% ------------------------------------------------- 6 Federal Home Loan Mortgage Corporation (FHLMC), 3.500% 09/15/07 1.5% ------------------------------------------------- 7 U.S. Treasury Note, 2.750% 08/15/07 1.5% ------------------------------------------------- 8 Federal Farm Credit Bank (FFCB), 2.375% 10/02/06 1.5% ------------------------------------------------- 9 Wachovia Corporation, 4.950% 11/01/06 1.4% ------------------------------------------------- 10 Federal Home Loan Bank (FHLB), 3.375% 09/14/07 1.3% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
4 NATIONS SHORT-INTERMEDIATE GOVERNMENT FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 996.40 $3.10 Hypothetical**.............................................. $1,000.00 $1,021.96 $3.14 INVESTOR A Actual...................................................... $1,000.00 $ 995.10 $4.35 Hypothetical**.............................................. $1,000.00 $1,020.71 $4.41 INVESTOR B Actual...................................................... $1,000.00 $ 991.40 $8.09 Hypothetical**.............................................. $1,000.00 $1,016.95 $8.19 INVESTOR C Actual...................................................... $1,000.00 $ 993.70 $8.10 Hypothetical**.............................................. $1,000.00 $1,016.95 $8.19
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.62%, Investor A 0.87%, Investor B 1.62% and Investor C 1.62%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 5 NATIONS SHORT-INTERMEDIATE GOVERNMENT FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 59.9% U.S. Treasury obligations 33.9% U.S. government and agency obligations 3.6% Mortgage-backed securities 0.3% Asset-backed securities 2.3% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 U.S. Treasury Strip, 2.667% 11/15/06 16.1% ------------------------------------------------- 2 U.S. Treasury Strip, 3.263% 11/15/08 9.5% ------------------------------------------------- 3 Federal National Mortgage Association (FNMA), 7.000% 07/15/05 4.4% ------------------------------------------------- 4 U.S. Treasury Strip, 2.103% 08/15/05 4.0% ------------------------------------------------- 5 U.S. Treasury Note, 3.250% 01/15/09 3.2% ------------------------------------------------- 6 Federal National Mortgage Association (FNMA), 5.000% 01/15/07 3.0% ------------------------------------------------- 7 U.S. Treasury Note, 3.250% 08/15/07 2.9% ------------------------------------------------- 8 Federal National Mortgage Association (FNMA), 5.250% 01/15/09 2.8% ------------------------------------------------- 9 U.S. Treasury Note, 4.750% 05/15/14 2.8% ------------------------------------------------- 10 U.S. Treasury Note, 4.250% 08/15/14 2.7% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
6 NATIONS GOVERNMENT SECURITIES FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 998.50 $3.66 Hypothetical**.............................................. $1,000.00 $1,021.41 $3.70 INVESTOR A Actual...................................................... $1,000.00 $ 996.40 $4.90 Hypothetical**.............................................. $1,000.00 $1,020.16 $4.96 INVESTOR B Actual...................................................... $1,000.00 $ 993.60 $8.65 Hypothetical**.............................................. $1,000.00 $1,016.39 $8.74 INVESTOR C Actual...................................................... $1,000.00 $ 993.60 $8.65 Hypothetical**.............................................. $1,000.00 $1,016.39 $8.74
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.73%, Investor A 0.98%, Investor B 1.73% and Investor C 1.73%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 7 NATIONS GOVERNMENT SECURITIES FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 60.2% U.S. Treasury obligations 28.2% U.S. government and agency obligations 8.7% Mortgage-backed securities 0.8% Asset-backed securities 2.1% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 U.S. Treasury Strip, 2.667% 11/15/06 11.7% ------------------------------------------------- 2 U.S. Treasury Strip, 3.263% 11/15/08 10.5% ------------------------------------------------- 3 U.S. Treasury Note, 2.625% 11/15/06 8.9% ------------------------------------------------- 4 U.S. Treasury Note, 4.750% 05/15/14 4.7% ------------------------------------------------- 5 U.S. Treasury Note, 1.500% 02/28/05 3.4% ------------------------------------------------- 6 Federal National Mortgage Association (FNMA), 7.000% 07/15/05 3.3% ------------------------------------------------- 7 DUS pool, Pool number 380521, 6.565% 07/01/16 3.2% ------------------------------------------------- 8 Federal National Mortgage Association (FNMA), 5.250% 01/15/09 3.1% ------------------------------------------------- 9 U.S. Treasury Strip, 3.354% 02/15/09 2.7% ------------------------------------------------- 10 Federal Home Loan Bank (FHLB), 1.875% 06/15/06 2.5% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
8 NATIONS INTERMEDIATE BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 998.40 $3.26 Hypothetical**.............................................. $1,000.00 $1,021.81 $3.29 INVESTOR A Actual...................................................... $1,000.00 $ 997.00 $4.51 Hypothetical**.............................................. $1,000.00 $1,020.56 $4.56 INVESTOR B Actual...................................................... $1,000.00 $ 993.30 $8.24 Hypothetical**.............................................. $1,000.00 $1,016.80 $8.34 INVESTOR C Actual...................................................... $1,000.00 $ 993.00 $8.24 Hypothetical**.............................................. $1,000.00 $1,016.80 $8.34
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.65%, Investor A 0.90%, Investor B 1.65% and Investor C 1.65%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 9 NATIONS INTERMEDIATE BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 41.1% Corporate bonds and notes 26.9% U.S. Treasury obligations 10.9% Asset-backed securities 8.6% U.S. government and agency obligations 4.4% Foreign bonds and notes 2.8% Mortgage-backed securities 2.5% Sovereign government bonds and notes 2.8% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 U.S. Treasury Note, 1.625% 04/30/05 4.8% ------------------------------------------------- 2 U.S. Treasury Strip, 3.263% 11/15/08 2.5% ------------------------------------------------- 3 Federal National Mortgage Association (FNMA), 5.250% 01/15/09 2.4% ------------------------------------------------- 4 U.S. Treasury Note, 2.000% 05/15/06 2.3% ------------------------------------------------- 5 U.S. Treasury Note, 1.875% 11/30/05 2.2% ------------------------------------------------- 6 U.S. Treasury Note, 3.500% 08/15/09 1.7% ------------------------------------------------- 7 U.S. Treasury Note, 1.500% 02/28/05 1.4% ------------------------------------------------- 8 U.S. Treasury Note, 3.125% 04/15/09 1.4% ------------------------------------------------- 9 Morgan Stanley Capital, Series 2003-IQ6, Class A4, 4.970% 12/15/41 1.2% ------------------------------------------------- 10 Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A3, 2.270% 10/22/07 1.1% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
10 NATIONS BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,009.30 $3.02 Hypothetical**.............................................. $1,000.00 $1,022.06 $3.04 INVESTOR A Actual...................................................... $1,000.00 $1,007.10 $4.28 Hypothetical**.............................................. $1,000.00 $1,020.81 $4.31 INVESTOR B Actual...................................................... $1,000.00 $1,004.30 $8.04 Hypothetical**.............................................. $1,000.00 $1,017.05 $8.09 INVESTOR C Actual...................................................... $1,000.00 $1,003.30 $8.04 Hypothetical**.............................................. $1,000.00 $1,017.05 $8.09
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.60%, Investor A 0.85%, Investor B 1.60% and Investor C 1.60%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 11 NATIONS BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 33.8% Corporate bonds and notes 31.2% Mortgage-backed securities 29.1% U.S. government and agency obligations 13.0% U.S. Treasury obligations 9.6% Asset-backed securities 3.8% Foreign bonds and notes 3.0% Sovereign government bonds and notes -23.5% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. * DUE TO THE TIMING AND NATURE OF THE FUND'S LIABILITIES, TOTAL INVESTMENTS MAY EXCEED THE FUND'S TOTAL NET ASSETS AT PERIOD END. TOP 10 HOLDINGS ------------------------------------------------- 1 Federal National Mortgage Association (FNMA) Certificates, 5.000% 10/15/19 9.5% ------------------------------------------------- 2 Federal National Mortgage Association (FNMA) Certificates, 6.500% 07/12/34 5.8% ------------------------------------------------- 3 Federal National Mortgage Association (FNMA) Certificates, 5.000% 07/12/34 5.3% ------------------------------------------------- 4 Government National Mortgage Association (GNMA) Certificates, 5.500% 07/19/33 4.6% ------------------------------------------------- 5 U.S. Treasury Note, 3.250% 01/15/09 2.0% ------------------------------------------------- 6 Federal National Mortgage Association (FNMA) Certificates, 5.500% 05/10/34 1.9% ------------------------------------------------- 7 Federal National Mortgage Association (FNMA), 4.375% 07/17/13 1.8% ------------------------------------------------- 8 Federal Home Loan Mortgage Corporation (FHLMC) Certificates, 6.500% 11/01/32 1.3% ------------------------------------------------- 9 U.S. Treasury Note, 1.625% 03/31/05 1.2% ------------------------------------------------- 10 U.S. Treasury Note, 2.000% 05/15/06 0.9% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
12 NATIONS STRATEGIC INCOME FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,018.60 $3.85 Hypothetical**.............................................. $1,000.00 $1,021.26 $3.85 INVESTOR A Actual...................................................... $1,000.00 $1,017.40 $5.11 Hypothetical**.............................................. $1,000.00 $1,020.00 $5.11 INVESTOR B Actual...................................................... $1,000.00 $1,013.50 $8.88 Hypothetical**.............................................. $1,000.00 $1,016.24 $8.90 INVESTOR C Actual...................................................... $1,000.00 $1,013.60 $8.88 Hypothetical**.............................................. $1,000.00 $1,016.24 $8.90
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.76%, Investor A 1.01%, Investor B 1.76% and Investor C 1.76%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 13 NATIONS STRATEGIC INCOME FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 18.2% Mortgage-backed securities 15.2% Corporate bonds and notes 12.1% Sovereign government bonds and notes 9.3% U.S. Treasury obligations 5.4% Asset-backed securities 3.6% U.S. government and agency obligations 2.6% Foreign bonds and notes 33.6% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 High Yield Portfolio 29.9% ------------------------------------------------- 2 Federal National Mortgage Association (FNMA) Certificates, 6.500% 07/12/34 4.8% ------------------------------------------------- 3 Federal National Mortgage Association (FNMA) Certificates, 5.000% 10/15/19 6.1% ------------------------------------------------- 4 Federal National Mortgage Association (FNMA) Certificates, 5.000% 07/12/34 3.0% ------------------------------------------------- 5 Federal Republic of Brazil, 2.125% 04/15/12 2.7% ------------------------------------------------- 6 U.S. Treasury Strip, 3.263% 11/15/08 2.6% ------------------------------------------------- 7 Russian Federation, 5.000% 03/31/30 7.500% beginning 03/31/07 1.9% ------------------------------------------------- 8 Government National Mortgage Association (GNMA) Certificates, 5.500% 07/19/33 1.9% ------------------------------------------------- 9 United Mexican States, 11.500% 05/15/26 1.3% ------------------------------------------------- 10 Federal National Mortgage Association (FNMA) Certificates, 5.500% 05/10/34 1.1% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
14 NATIONS HIGH YIELD BOND FUND SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,034.50 $4.34 Hypothetical**.............................................. $1,000.00 $1,020.81 $4.31 INVESTOR A Actual...................................................... $1,000.00 $1,033.40 $5.61 Hypothetical**.............................................. $1,000.00 $1,019.55 $5.57 INVESTOR B Actual...................................................... $1,000.00 $1,030.80 $9.42 Hypothetical**.............................................. $1,000.00 $1,015.79 $9.35 INVESTOR C Actual...................................................... $1,000.00 $1,029.80 $9.41 Hypothetical**.............................................. $1,000.00 $1,015.79 $9.35
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.85%, Investor A 1.10%, Investor B 1.85% and Investor C 1.85%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 15 NATIONS HIGH YIELD BOND FUND PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 65.2% Corporate bonds and notes 12.7% Foreign bonds and notes 2.5% Convertible bonds and notes 1.9% Preferred stocks 1.9% Common stocks 0.8% Foreign convertible bonds and notes 0.6% Asset-backed securities 14.4% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Ono Finance plc, 10.500% 05/15/14 1.2% ------------------------------------------------- 2 Georgia-Pacific Corporation, 8.875% 05/15/31 1.2% ------------------------------------------------- 3 Goodyear Tire & Rubber Company, 11.000% 03/01/11 1.0% ------------------------------------------------- 4 El Paso Production Holding Company, 7.750% 06/01/13 1.0% ------------------------------------------------- 5 Sovereign REIT, Series A 0.9% ------------------------------------------------- 6 Calpine Corporation, 8.500% 07/15/10 0.9% ------------------------------------------------- 7 Terra Capital Inc., 12.875% 10/15/08 0.9% ------------------------------------------------- 8 Calpine Canada Energy Finance, 8.500% 05/01/08 0.9% ------------------------------------------------- 9 Nortel Networks Corporation, 4.250% 09/01/08 0.8% ------------------------------------------------- 10 Quintiles Transnational Corporation, 10.000% 10/01/13 0.8% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE FUND INVESTS.
16 NATIONS FUNDS Nations Short-Term Income Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 14.6% ASSET-BACKED -- AUTO LOANS -- 9.8% $ 1,590 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08............................................. $ 1,616 178 Americredit Automobile Receivables Trust, Series 2003-AM, Class A2A, 1.670% 10/06/06............................................. 178 8,345 BMW Vehicle Owner Trust, Series 2003-A, Class A3, 1.940% 02/25/07............................................. 8,328 2,000 BMW Vehicle Owner Trust, Series 2003-A, Class A4, 2.530% 02/25/08............................................. 1,991 373 Capital Auto Receivables Asset Trust, Series 2002-2, Class CTFS, 4.180% 10/15/07............................................. 376 3,000 Capital Auto Receivables Asset Trust, Series 2003-1, Class A2A, 2.270% 01/17/06............................................. 3,003 4,000 Capital Auto Receivables Asset Trust, Series 2003-3, Class A3A, 2.960% 01/15/08............................................. 3,998 737 Capital One Auto Finance Trust, Series 2002-A, Class A3, 4.030% 08/15/06............................................. 740 1,070 Chase Manhattan Auto Owner Trust, Series 2002-A, Class A4, 4.240% 09/15/08............................................. 1,082 4,000 Chase Manhattan Auto Owner Trust, Series 2003-A, Class A3, 1.520% 05/15/07............................................. 3,976 3,953 Chase Manhattan Auto Owner Trust, Series 2003-B, Class A4, 2.570% 02/16/10............................................. 3,908 1,500 Chase Manhattan Auto Owner Trust, Series 2003-C, Class A3, 2.260% 11/15/07............................................. 1,493 10,000 Chase Manhattan Auto Owner Trust, Series 2004-A, Class A3, 2.080% 05/15/08............................................. 9,912 1,393 Daimler Chrysler Auto Trust, Series 2001-C, Class A4, 4.630% 12/06/06............................................. 1,407 4,700 Daimler Chrysler Auto Trust, Series 2002-A, Class A4, 4.490% 10/06/08............................................. 4,766 10,000 Daimler Chrysler Auto Trust, Series 2003-A, Class A4, 2.880% 10/08/09............................................. 9,992 5,000 Daimler Chrysler Auto Trust, Series 2004-A, Class A4, 2.580% 04/08/09............................................. 4,935 1,725 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 5.180% 10/16/06............................................. 1,765 4,000 Ford Credit Auto Owner Trust, Series 2002-C, Class A4, 3.790% 09/15/06(a).......................................... 4,037
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ASSET-BACKED -- AUTO LOANS -- (CONTINUED) $ 2,000 Ford Credit Auto Owner Trust, Series 2003-B, Class A3B, 1.810%** 01/15/07........................................... $ 2,001 1,500 Harley-Davidson Motorcycle Trust, Series 2002-2, Class A2, 3.090% 06/15/10............................................. 1,508 690 Honda Auto Receivables Owner Trust, Series 2002-2, Class A3, 3.830% 02/15/06............................................. 692 3,000 Honda Auto Receivables Owner Trust, Series 2003-1, Class A3, 1.920% 11/20/06............................................. 2,995 4,000 Honda Auto Receivables Owner Trust, Series 2003-4, Class A4, 2.790% 03/16/09............................................. 3,977 2,137 Household Automotive Trust, Series 2002-2, Class A3, 2.850% 03/19/07............................................. 2,142 155 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-1, Class A4, 5.340% 12/15/05............................................. 155 346 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-2, Class B, 5.750% 06/15/07............................................. 348 3,022 Nissan Auto Receivables Owner Trust, Series 2002-A, Class A4, 4.280% 10/16/06............................................. 3,048 3,000 Nissan Auto Receivables Owner Trust, Series 2002-C, Class A4, 3.330% 01/15/08............................................. 3,026 1,500 Nissan Auto Receivables Owner Trust, Series 2003-A, Class A4, 2.610% 07/15/08............................................. 1,494 3,000 Nissan Auto Receivables Owner Trust, Series 2003-B, Class A3, 1.510% 08/15/07............................................. 2,982 10,350 Toyota Auto Receivables Owner Trust, Series 2002-A, Class A4, 4.000% 07/15/08............................................. 10,424 4,000 Toyota Auto Receivables Owner Trust, Series 2003-A, Class A4, 2.200% 03/15/10............................................. 3,966 1,492 USAA Auto Owner Trust, Series 2001-2, Class A4, 3.910% 04/16/07............................................. 1,498 8,200 USAA Auto Owner Trust, Series 2004-1, Class A4, 2.670% 10/15/10............................................. 8,104 ---------- 115,863 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS Nations Short-Term Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 3.9% $ 4,052 American Express Credit Account Master, Series 2003-4, Class A, 1.690% 01/15/09............................................. $ 3,977 2,000 Capital One Master Trust, Series 2001-7A, Class A, 3.850% 08/15/07............................................. 2,002 2,357 Chase Credit Card Master Trust, Series 2000-1, Class C, 2.490%** 06/15/07........................................... 2,360 3,216 Chase Credit Card Master Trust, Series 2002-2, Class C, 2.660%** 07/16/07........................................... 3,225 1,250 Citibank Credit Card Issuance Trust, Series 2000-A1, Class A1, 6.900% 10/15/07............................................. 1,306 5,575 Citibank Credit Card Issuance Trust, Series 2001-A6, Class A6 5.650% 06/16/08............................................. 5,835 5,000 Citibank Credit Card Issuance Trust, Series 2001-A8, Class A8, 4.100% 12/07/06............................................. 5,020 5,000 Citibank Credit Card Issuance Trust, Series 2003-A5, Class A5, 2.500% 04/07/08............................................. 4,982 8,500 Discover Card Master Trust I, Series 2001-6, Class A, 5.750% 12/15/08............................................. 8,915 5,000 MBNA Credit Card Master Note Trust, Series 2001-C3, Class C3, 6.550% 12/15/08............................................. 5,268 3,000 MBNA Master Credit Card Trust, Series 1995-C, Class A, 6.450% 02/15/08............................................. 3,086 ---------- 45,976 ---------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.0%+ 169 First Plus Home Loan Trust, Series 1998-2, Class M1, 7.720% 05/10/24............................................. 169 ---------- ASSET-BACKED -- OTHER -- 0.9% 2,000 CIT Equipment Collateral, Series 2002-VT1, Class A4, 4.670% 12/21/09............................................. 2,029 407 CIT Equipment Collateral, Series 2002-VT1, Class B, 3.970% 12/21/09............................................. 408 1,817 Connecticut RRB Special Purpose Trust CL&P-1, Series 2001-1, Class A2, 5.360% 03/30/07............................................. 1,840
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ASSET-BACKED -- OTHER -- (CONTINUED) $ 5,000 John Deere Owner Trust, Series 2004-A, Class A3, 2.320% 12/17/07............................................. $ 4,987 789 PSE&G Transition Funding LLC, Series 2001-1, Class A2, 5.740% 03/15/07............................................. 798 ---------- 10,062 ---------- TOTAL ASSET-BACKED SECURITIES (Cost $173,527)............................................. 172,070 ---------- CORPORATE BONDS AND NOTES -- 45.3% AEROSPACE AND DEFENSE -- 0.4% 4,060 Northrop Grumman Corporation, 7.000% 03/01/06............................................. 4,288 ---------- AUTOMOTIVE -- 0.7% 1,500 Lear Corporation, Series B, 7.960% 05/15/05............................................. 1,547 2,000 Tenneco Automotive Inc., Series B, 11.625% 10/15/09(a)......................................... 2,110 4,000 Toyota Motor Credit Corporation, MTN, 2.800% 01/18/06............................................. 4,011 ---------- 7,668 ---------- BROADCASTING AND CABLE -- 1.8% 2,510 Comcast Cable Communications, Inc., 6.375% 01/30/06............................................. 2,614 2,760 Echostar DBS Corporation, 10.375% 10/01/07............................................ 2,903 2,750 Lenfest Communications, Inc., 8.375% 11/01/05............................................. 2,906 2,000 Liberty Media Corporation, 3.500% 09/25/06............................................. 1,992 2,141 Time Warner Inc., 8.110% 08/15/06............................................. 2,329 7,500 Viacom Inc., Class B, 5.625% 05/01/07(a).......................................... 7,934 ---------- 20,678 ---------- BUILDING MATERIALS -- 0.5% 750 American Standard Inc., 7.375% 04/15/05............................................. 765 2,234 Atrium Companies, Inc., Series B, 10.500% 05/01/09............................................ 2,346 2,750 Louisiana-Pacific Corporation, 8.500% 08/15/05............................................. 2,867 ---------- 5,978 ---------- CHEMICALS -- BASIC -- 0.2% 1,772 Lyondell Chemical Company, Series B, 9.875% 05/01/07............................................. 1,872 ---------- CHEMICALS -- SPECIALTY -- 0.5% 2,500 Equistar Chemicals, LP, 6.500% 02/15/06............................................. 2,563 1,605 FMC Corporation, MTN, Series A, 6.750% 05/05/05............................................. 1,629
SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS Nations Short-Term Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- (CONTINUED) $ 2,000 Geon Company, 6.875% 12/15/05............................................. $ 2,080 ---------- 6,272 ---------- COMMERCIAL BANKING -- 8.1% 8,700 Bank Of New York Company, Inc., MTN, Series E, 2.200% 05/12/06............................................. 8,614 9,500 Bank One National Association, 5.500% 03/26/07............................................. 10,017 4,000 Citigroup Inc., 6.750% 12/01/05............................................. 4,189 4,000 Citigroup Inc., 5.500% 08/09/06............................................. 4,183 5,191 Fifth Third Bancorp, 2.700% 01/30/07............................................. 5,148 1,980 Key Bank N.A., 4.100% 06/30/05............................................. 2,007 5,000 Marshall & Ilsley Corporation, MTN, Series E, 5.750% 09/01/06............................................. 5,270 6,000 PNC Funding Corporation, 6.875% 07/15/07............................................. 6,548 3,000 Regions Bank, 2.900% 12/15/06............................................. 2,989 3,870 U.S. Bancorp, MTN, Series N, 2.625% 03/15/06............................................. 3,867 11,000 U.S. Bancorp, MTN, Series N, 2.750% 03/30/06............................................. 11,004 3,125 U.S. Bank, N.A. 5.625% 11/30/05............................................. 3,239 15,600 Wachovia Corporation, 4.950% 11/01/06............................................. 16,201 5,000 Washington Mutual, Inc., 7.500% 08/15/06............................................. 5,397 3,000 Wells Fargo and Company, 5.900% 05/21/06............................................. 3,151 4,000 Wells Fargo Financial, Inc., 4.875% 06/12/07............................................. 4,169 ---------- 95,993 ---------- COMMERCIAL SERVICES -- 0.2% 1,775 Allied Waste North America, Inc., Series B, 10.000% 08/01/09............................................ 1,868 ---------- COMPUTER SERVICES -- 0.4% 4,775 First Data Corporation, 4.700% 11/01/06............................................. 4,945 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 1.9% 10,000 Hewlett-Packard Company, 5.500% 07/01/07............................................. 10,571 10,000 International Business Machines Corporation, 4.875% 10/01/06............................................. 10,381
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- COMPUTERS AND OFFICE EQUIPMENT -- (CONTINUED) $ 1,500 Unisys Corporation, 7.875% 04/01/08............................................. $ 1,541 ---------- 22,493 ---------- CONSTRUCTION -- 0.2% 2,000 Toll Corporation, 8.000% 05/01/09............................................. 2,080 ---------- CONSUMER CREDIT AND MORTGAGES -- 2.2% 4,000 American General Finance Corporation, MTN, Series F, 5.910% 06/12/06............................................. 4,197 10,125 American General Finance Corporation, MTN, Series F, 5.875% 07/14/06............................................. 10,633 3,000 American General Finance Corporation, MTN, Series H, 4.500% 11/15/07............................................. 3,087 7,100 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06............................................. 7,405 ---------- 25,322 ---------- DEPARTMENT AND DISCOUNT STORES -- 2.2% 10,000 Target Corporation, 5.950% 05/15/06............................................. 10,515 5,000 Wal-Mart Stores, Inc., 5.450% 08/01/06............................................. 5,226 10,000 Wal-Mart Stores, Inc., 4.375% 07/12/07............................................. 10,311 ---------- 26,052 ---------- ELECTRIC POWER -- NON NUCLEAR -- 2.0% 2,000 AES Corporation, 8.500% 11/01/07(a).......................................... 2,050 2,000 CMS Energy Corporation, 7.000% 01/15/05............................................. 2,011 2,000 CMS Energy Corporation, 9.875% 10/15/07............................................. 2,223 5,410 FPL Group Capital Inc., 7.625% 09/15/06............................................. 5,865 2,425 Kansas Gas & Electric Company, 6.500% 08/01/05............................................. 2,500 3,000 Pepco Holdings, Inc., 3.750% 02/15/06............................................. 3,027 3,562 Virginia Electric and Power Company, Series A, 5.750% 03/31/06............................................. 3,706 2,000 Westar Energy, Inc., 7.875% 05/01/07............................................. 2,217 ---------- 23,599 ---------- EXPLORATION AND PRODUCTION -- 0.6% 2,000 Chesapeake Energy Corporation, 8.375% 11/01/08............................................. 2,180 2,000 Evergreen Resources, Inc., 5.875% 03/15/12............................................. 2,060
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS Nations Short-Term Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- EXPLORATION AND PRODUCTION -- (CONTINUED) $ 2,472 Parker & Parsley Petroleum Company, 8.875% 04/15/05............................................. $ 2,550 ---------- 6,790 ---------- FINANCE -- MISCELLANEOUS -- 3.3% 8,000 CIT Group Inc., 5.500% 11/30/07............................................. 8,487 5,000 General Electric Capital Corporation, MTN, Series A, 5.000% 02/15/07............................................. 5,212 11,000 General Electric Capital Corporation, MTN, Series A, 6.500% 12/10/07............................................. 12,001 6,000 Household Finance Corporation, 6.500% 01/24/06............................................. 6,290 2,000 Household Finance Corporation, MTN, 3.375% 02/21/06............................................. 2,017 635 Midland Funding II, Series A, 11.750% 07/23/05............................................ 672 4,000 National Rural Utilities Cooperative Finance Corporation, 6.000% 05/15/06............................................. 4,195 ---------- 38,874 ---------- FOOD PRODUCTS -- 1.5% 5,410 ConAgra Foods, Inc., 6.000% 09/15/06............................................. 5,691 1,870 Dean Foods Company, 6.750% 06/15/05(a).......................................... 1,917 5,710 General Mills, Inc., 5.125% 02/15/07............................................. 5,946 1,900 Kellogg Company, Series B, 6.000% 04/01/06............................................. 1,987 2,000 United Agri Products, 8.250% 12/15/11(@).......................................... 2,160 ---------- 17,701 ---------- HEAVY MACHINERY -- 0.9% 2,000 AGCO Corporation, 9.500% 05/01/08............................................. 2,160 8,000 Caterpillar Financial Services Corporation, 5.950% 05/01/06............................................. 8,381 ---------- 10,541 ---------- HOUSEHOLD PRODUCTS -- 1.3% 2,306 Hasbro, Inc., 5.600% 11/01/05............................................. 2,375 11,950 Procter & Gamble Company, 4.750% 06/15/07............................................. 12,449 ---------- 14,824 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- HOUSING AND FURNISHING -- 0.4% $ 1,675 D.R. Horton, Inc., 10.500% 04/01/05............................................ $ 1,744 1,500 KB Home, 7.750% 10/15/04............................................. 1,500 1,500 Ryland Group, Inc., 8.000% 08/15/06(a).......................................... 1,626 ---------- 4,870 ---------- INSURANCE -- 0.6% 1,500 Allstate Financial Global Funding, 6.150% 02/01/06(@).......................................... 1,562 5,000 Prudential Insurance Company of America, 6.375% 07/23/06(@).......................................... 5,314 699 The Hartford Financial Services Group, Inc., 2.375% 06/01/06............................................. 691 ---------- 7,567 ---------- INTEGRATED OIL -- 0.5% 5,550 USX Corporation, 6.850% 03/01/08............................................. 6,105 ---------- INVESTMENT SERVICES -- 7.9% 9,500 Bear Stearns Companies Inc., 3.000% 03/30/06............................................. 9,525 5,000 Bear Stearns Companies Inc., 4.000% 01/31/08............................................. 5,069 8,245 Citigroup Global Markets Holdings Inc., 7.125% 10/01/06............................................. 8,913 4,000 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. 4,205 4,000 Credit Suisse First Boston USA, Inc., 5.750% 04/15/07............................................. 4,242 12,000 Goldman Sachs Group, Inc., 4.125% 01/15/08............................................. 12,232 5,000 J.P. Morgan Chase & Company, 5.625% 08/15/06............................................. 5,240 12,000 Lehman Brothers Holdings Inc., 4.000% 01/22/08............................................. 12,189 5,000 Merrill Lynch & Company, Inc., MTN, Series B, 2.940% 01/30/06............................................. 5,021 5,000 Merrill Lynch & Company, Inc., MTN, Series B, 2.470% 03/10/06............................................. 5,001 5,000 Merrill Lynch & Company, Inc., MTN, Series B, 2.070% 06/12/06............................................. 4,980 8,000 Morgan Stanley, 6.100% 04/15/06............................................. 8,379 9,000 Morgan Stanley, 5.800% 04/01/07............................................. 9,551 ---------- 94,547 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS Nations Short-Term Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- LODGING AND RECREATION -- 1.2% $ 4,000 Ameristar Casinos, Inc., 10.750% 02/15/09............................................ $ 4,539 3,800 Choctaw Resort Development Enterprise, 9.250% 04/01/09............................................. 4,057 702 Host Marriott Corporation, Series B, 7.875% 08/01/08............................................. 722 1,500 ITT Corporation, 6.750% 11/15/05............................................. 1,553 1,500 Mirage Resorts, Inc., 7.250% 10/15/06............................................. 1,594 1,395 Park Place Entertainment Corporation, 7.875% 12/15/05............................................. 1,468 ---------- 13,933 ---------- MEDICAL DEVICES AND SUPPLIES -- 0.4% 5,000 Abbott Laboratories, 5.625% 07/01/06............................................. 5,234 ---------- NATURAL GAS DISTRIBUTION -- 0.3% 3,000 Centerpoint Energy Bank Loan, (purchased 09/25/03, cost $3,458) 12.750%** 11/11/05(b)(c).................................... 3,315 ---------- NATURAL GAS PIPELINES -- 0.3% 1,820 Kinder Morgan, Inc., 6.650% 03/01/05............................................. 1,850 1,500 Transcontinental Gas Pipe Line Corporation, 6.125% 01/15/05............................................. 1,509 ---------- 3,359 ---------- OILFIELD SERVICES -- 0.2% 2,000 BRL Universal Equipment 2001 A., L.P., Series B, 8.875% 02/15/08............................................. 2,130 ---------- PACKAGING AND CONTAINERS -- 0.2% 2,000 Owens-Illinois, Inc., 7.150% 05/15/05............................................. 2,030 ---------- PUBLISHING AND ADVERTISING -- 0.9% 9,000 Gannett Company, Inc., 5.500% 04/01/07............................................. 9,498 1,000 Reed Elsevier Capital Inc., MTN, 7.000% 05/15/05............................................. 1,028 ---------- 10,526 ---------- REAL ESTATE -- 0.3% 3,500 EOP Operating LP, 6.625% 02/15/05............................................. 3,552 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.1% 900 Host Marriott LP, Series E, 8.375% 02/15/06............................................. 950 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- SEMICONDUCTORS -- 0.3% $ 3,000 Fairchild Semiconductor International, Inc., 10.500% 02/01/09............................................ $ 3,210 ---------- SPECIALTY STORES -- 0.8% 9,600 Home Depot, Inc., 5.375% 04/01/06............................................. 9,974 ---------- TELECOMMUNICATIONS SERVICES -- 2.0% 4,000 New York Telephone Company, 6.500% 03/01/05............................................. 4,061 2,000 Nextel Communications, Inc., Class A, 9.375% 11/15/09(a).......................................... 2,118 3,000 Pacific Bell, 6.250% 03/01/05............................................. 3,047 3,000 SBC Communications Inc., 5.750% 05/02/06............................................. 3,132 5,000 Sprint Capital Corporation, 7.900% 03/15/05............................................. 5,122 6,250 Verizon Global Funding Corporation, 6.750% 12/01/05............................................. 6,544 ---------- 24,024 ---------- UTILITIES -- MISCELLANEOUS -- 0.0%+ 214 AES Corporation, Bank Loan, (purchased 08/02/04, cost $216) 4.000% 07/25/08(b)(c)....................................... 217 214 AES Corporation, Bank Loan, (purchased 08/02/04, cost $216) 4.250% 07/25/08(b)(c)....................................... 217 ---------- 434 ---------- TOTAL CORPORATE BONDS AND NOTES (Cost $535,427)............................................. 533,598 ---------- FOREIGN BONDS AND NOTES -- 3.9% BEVERAGES -- 0.7% 5,000 Diageo Capital Plc, 3.500% 11/19/07............................................. 5,012 3,000 Diageo Finance BV, 3.000% 12/15/06............................................. 2,996 ---------- 8,008 ---------- BROADCASTING AND CABLE -- 0.1% 1,000 Alliance Atlantis Communications Inc., 13.000% 12/15/09............................................ 1,081 ---------- BUILDING MATERIALS -- 0.1% 1,313 Hanson Overseas BV, 6.750% 09/15/05............................................. 1,362 ---------- CHEMICALS -- SPECIALTY -- 0.2% 2,000 Methanex Corporation, 7.750% 08/15/05............................................. 2,080 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS Nations Short-Term Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- COMMERCIAL BANKING -- 0.4% $ 5,000 Swedish Export Credit, 2.875% 01/26/07............................................. $ 4,979 ---------- FOOD PRODUCTS -- 0.8% 10,050 Unilever Capital Corporation, 6.875% 11/01/05............................................. 10,505 ---------- INTEGRATED OIL -- 0.3% 3,000 BP Capital Markets plc, 4.000% 04/29/05............................................. 3,030 535 Pemex Finance Ltd., 6.550% 02/15/08(a).......................................... 560 ---------- 3,590 ---------- LODGING AND RECREATION -- 0.1% 1,000 Intrawest Corporation, 10.500% 02/01/10............................................ 1,080 ---------- NATURAL GAS PIPELINES -- 0.1% 1,566 Gemstone Investors Ltd., 7.710% 10/31/04(@).......................................... 1,568 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.2% 2,000 Nortel Networks Ltd., 6.125% 02/15/06............................................. 2,040 ---------- PAPER AND FOREST PRODUCTS -- 0.2% 2,000 Smurfit Capital Funding Plc, 6.750% 11/20/05............................................. 2,060 ---------- PHARMACEUTICALS -- 0.3% 3,000 Glaxosmithkline Capital, plc, 2.375% 04/16/07............................................. 2,949 ---------- TELECOMMUNICATIONS SERVICES -- 0.4% 2,000 Deutsche Telekom International Finance BV, 8.250%** 06/15/05........................................... 2,077 2,000 Telus Corporation, 7.500% 06/01/07............................................. 2,193 ---------- 4,270 ---------- TOTAL FOREIGN BONDS AND NOTES (Cost $45,459).............................................. 45,572 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MORTGAGE-BACKED SECURITIES -- 0.2% FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 0.0%+ $ 80 7.500% 11/01/09............................................. $ 82 ---------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 0.2% 1,747 3.375%** 04/20/22........................................... 1,762 ---------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $1,845)............................................... 1,844 ---------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- 0.6% 3,368 Quebec (Province of), 5.500% 04/11/06............................................. 3,508 4,000 Republic of Italy, 7.250% 02/07/05(a).......................................... 4,072 ---------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $7,472)............................................... 7,580 ---------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 26.0% FEDERAL FARM CREDIT BANK (FFCB) -- 3.3% 350 3.875% 02/01/05............................................. 352 10,000 2.625% 12/15/05............................................. 10,017 11,000 2.500% 03/15/06............................................. 10,983 17,300 2.375% 10/02/06............................................. 17,132 ---------- 38,484 ---------- FEDERAL HOME LOAN BANK (FHLB) -- 8.6% 4,655 4.125% 05/13/05............................................. 4,709 4,000 1.750% 08/15/05............................................. 3,981 21,000 1.500% 05/13/05-08/26/05.................................... 20,893 7,000 2.000% 02/13/06............................................. 6,948 5,000 1.900% 03/08/06............................................. 4,952 2,500 1.875% 06/15/06............................................. 2,467 23,000 2.875% 09/15/06............................................. 23,041 20,000 3.500% 05/15/07............................................. 20,209 15,000 3.375% 09/14/07............................................. 15,084 ---------- 102,284 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 8.0% 7,000 3.875% 02/15/05............................................. 7,051 7,000 1.500% 08/15/05............................................. 6,952 35,000 2.875% 09/15/05............................................. 35,177 10,000 2.125% 11/15/05............................................. 9,967 6,000 1.750% 01/09/06............................................. 5,944 11,000 1.875% 01/15/05-02/15/06.................................... 10,963 18,000 3.500% 09/15/07(a).......................................... 18,188 ---------- 94,242 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS Nations Short-Term Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 6.1% $ 15,000 2.000% 01/15/06##........................................... $ 14,907 8,959 5.875% 02/02/06............................................. 9,340 7,600 2.250% 05/15/06............................................. 7,558 10,000 2.750% 08/11/06............................................. 10,002 30,000 3.000% 08/15/07##........................................... 29,872 ---------- 71,679 ---------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $307,637)............................................. 306,689 ---------- U.S. TREASURY OBLIGATIONS -- 6.6% U.S. TREASURY NOTES -- 6.6% 2,000 1.625% 02/28/06............................................. 1,980 23,000 2.000% 05/15/06##........................................... 22,842 3,000 2.500% 05/31/06............................................. 3,001 12,000 2.750% 06/30/06##........................................... 12,050 15,000 2.375% 08/15/06##........................................... 14,952 5,000 3.125% 05/15/07............................................. 5,042 18,000 2.750% 08/15/07(a).......................................... 17,951 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $78,008).............................................. 77,818 ---------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 5.5% (Cost $64,343) 64,343 Nations Cash Reserves, Capital Class Shares#.................. 64,343 ---------- TOTAL INVESTMENTS (Cost $1,213,718*)................................ 102.7% 1,209,514 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (2.7)% (32,089) ---------- NET ASSETS.......................................... 100.0% $1,177,425 ==========
--------------- *Federal income tax information (see Note 12). ** Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. (@) 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 11). The portion that represents cash collateral is $42,189. ##All or a portion of security segregated as collateral for futures contracts. (a) All or portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $41,041 and $40,997, respectively. (b) Loan participation agreement. (c) Restricted and illiquid security. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS Nations Short-Intermediate Government Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 0.3% ASSET-BACKED -- HOME EQUITY LOANS -- 0.3% $ 902 First Alliance Mortgage Loan Trust, Series 1996-2, Class A3, 8.225% 09/20/27............................................. $ 902 368 Oakwood Mortgage Investors Inc., Series 2002-B, Class A1, 1.990%** 05/15/13........................................... 341 -------- TOTAL ASSET-BACKED SECURITIES (Cost $1,281)............................................... 1,243 -------- MORTGAGE-BACKED SECURITIES -- 3.6% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 2.1% 1,483 Fannie Mae, Series 2002-16, Class PG, 6.000% 04/25/17............................................. 1,567 1,590 Fannie Mae, Series 2002-47, Class QE, 5.500% 08/25/17............................................. 1,645 1,833 Freddie Mac, Series 2664, Class IO, 5.500% 05/15/27............................................. 212 1,829 Freddie Mac, Series 2692, Class IA, 5.500% 01/15/23............................................. 147 15,893 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.074%** 12/15/30........................................... 533 3,394 PNC Mortgage Acceptance Corporation, Series 2001-C1, Class A1, 5.910% 03/12/34............................................. 3,602 -------- 7,706 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 0.3% 1,102 9.000% 04/01/16............................................. 1,204 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 1.2% 4,415 3.375%** 04/20/22-06/20/29.................................. 4,459 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $13,357).............................................. 13,369 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 33.9% FEDERAL FARM CREDIT BANK (FFCB) -- 3.8% 5,500 2.500% 11/15/05-03/15/06.................................... 5,499 8,000 4.900% 03/21/06............................................. 8,262 700 2.625% 09/17/07............................................. 690 -------- 14,451 -------- FEDERAL HOME LOAN BANK (FHLB) -- 7.6% 2,000 2.125% 12/15/04............................................. 2,001 1,500 1.500% 05/13/05............................................. 1,494 6,000 2.000% 02/13/06............................................. 5,955 3,000 1.875% 06/15/06............................................. 2,961 2,250 4.875% 05/15/07............................................. 2,351
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK (FHLB) -- (CONTINUED) $ 1,000 2.625% 07/15/08............................................. $ 973 2,500 3.625% 11/14/08(a).......................................... 2,511 5,500 4.500% 11/15/12............................................. 5,530 5,050 3.875% 06/14/13............................................. 4,837 -------- 28,613 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 4.4% 2,000 3.875% 02/15/05............................................. 2,015 5,000 2.125% 11/15/05............................................. 4,984 1,060 7.100% 04/10/07............................................. 1,165 1,000 2.875% 05/15/07............................................. 996 6,100 5.750% 03/15/09............................................. 6,628 750 6.750% 03/15/31............................................. 895 -------- 16,683 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 18.1% 16,100 7.000% 07/15/05............................................. 16,691 4,000 2.875% 10/15/05............................................. 4,023 10,900 5.000% 01/15/07............................................. 11,399 10,000 5.250% 01/15/09##........................................... 10,651 6,450 3.250% 02/15/09............................................. 6,353 4,000 6.625% 11/15/10............................................. 4,550 2,000 5.375% 11/15/11............................................. 2,135 3,000 6.125% 03/15/12............................................. 3,342 4,000 4.625% 10/15/13............................................. 4,023 3,000 4.125% 04/15/14(a).......................................... 2,890 1,400 7.250% 05/15/30............................................. 1,756 -------- 67,813 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $126,584)............................................. 127,560 -------- U.S. TREASURY OBLIGATIONS -- 59.9% U.S. TREASURY BONDS -- 1.8% 4,850 6.250% 08/15/23............................................. 5,663 1,025 6.875% 08/15/25............................................. 1,287 -------- 6,950 -------- U.S. TREASURY NOTES -- 28.4% 8,000 2.125% 10/31/04##........................................... 8,003 4,000 1.625% 03/31/05............................................. 3,993 5,000 1.625% 04/30/05............................................. 4,989 5,000 1.250% 05/31/05(a).......................................... 4,974 4,500 2.000% 05/15/06............................................. 4,469 3,000 4.625% 05/15/06(a).......................................... 3,104 3,900 7.000% 07/15/06............................................. 4,203 10,000 2.625% 11/15/06(a).......................................... 9,996 4,000 4.375% 05/15/07............................................. 4,160 1,000 2.750% 08/15/07(a).......................................... 997 10,750 3.250% 08/15/07##........................................... 10,869 1,000 3.375% 11/15/08(a).......................................... 1,007 12,000 3.250% 01/15/09............................................. 12,006 3,000 3.125% 04/15/09(a).......................................... 2,980 9,000 3.875% 05/15/09............................................. 9,219 1,000 3.500% 08/15/09............................................. 1,006
SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS Nations Short-Intermediate Government Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- U.S. TREASURY NOTES -- (CONTINUED) $ 10,000 4.750% 05/15/14##........................................... $ 10,497 10,075 4.250% 08/15/14(a).......................................... 10,180 -------- 106,652 -------- U.S. TREASURY STRIPS -- 29.7% 15,500 Principal only, 2.103%*** 08/15/05##........................................ 15,219 64,000 Principal only, 2.667%*** 11/15/06.......................................... 60,497 41,000 Principal only, 3.263%*** 11/15/08.......................................... 35,869 -------- 111,585 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $224,261)............................................. 225,187 -------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 10.2% (Cost $38,269) 38,269 Nations Cash Reserves, Capital Class Shares#.................. 38,269 -------- TOTAL INVESTMENTS (Cost $403,752*).................................. 107.9% 405,628 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (7.9)% (29,596) -------- NET ASSETS.......................................... 100.0% $376,032 ========
--------------- * Federal income tax information (see Note 12). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2004. # 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 $30,745. ##All or a portion of security segregated as collateral for futures contracts. (a) All or portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $29,807 and $29,745, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS Nations Government Securities Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 0.8% ASSET-BACKED -- HOME EQUITY LOANS -- 0.4% $ 577 First Alliance Mortgage Loan Trust, Series 1996-2, Class A3, 8.225% 09/20/27............................................. $ 577 216 Oakwood Mortgage Investors Inc., Series 2002-B, Class A1, 1.990%** 05/15/13........................................... 200 -------- 777 -------- ASSET-BACKED -- OTHER -- 0.4% 585 Export Funding Trust, Series 1995-A, Class A, 8.210% 12/29/06............................................. 618 -------- TOTAL ASSET-BACKED SECURITIES (Cost $1,385)............................................... 1,395 -------- MORTGAGE-BACKED SECURITIES -- 8.7% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 6.3% 4,945 DUS pool, Pool number 380521, 6.565% 07/01/16............................................. 5,605 720 Fannie Mae, Series 2002-16, Class PG, 6.000% 04/25/17............................................. 761 773 Fannie Mae, Series 2002-47, Class QE, 5.500% 08/25/17............................................. 800 905 Freddie Mac, Series 2664, Class IO, 5.500% 05/15/27............................................. 104 908 Freddie Mac, Series 2692, Class IA, 5.500% 01/15/23............................................. 73 9,531 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.074%** 12/15/30........................................... 320 2,791 PNC Mortgage Acceptance Corporation, Series 2001-C1, Class A1, 5.910% 03/12/34............................................. 2,962 13,045 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest only, (purchased 05/18/98-08/29/03, cost $346) 0.449%** 09/15/27(b)........................................ 131 14,433 Vendee Mortgage Trust, Series 1998-3, Class 1, Interest only, (purchased 09/16/98-08/29/03, cost $221) 0.305%** 03/15/29(b)........................................ 108 -------- 10,864 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 0.3% 37 7.500% 08/01/08-06/01/09.................................... 38 92 8.000% 08/01/07-09/01/09.................................... 98 62 9.000% 05/01/09-12/01/16.................................... 67 25 10.000% 05/01/05-09/01/18................................... 26 263 8.500% 01/01/06-09/01/20.................................... 290
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- (CONTINUED) $ 72 9.500% 04/01/18-01/01/29.................................... $ 81 0++ 7.000% 08/01/29............................................. 0++ -------- 600 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 1.1% 6 8.250% 04/01/09............................................. 7 46 8.500% 12/01/11-02/01/17.................................... 49 112 10.000% 10/01/06-04/01/20................................... 124 1,321 9.500% 01/01/19-08/01/21.................................... 1,493 113 9.000% 12/01/16-09/01/24.................................... 125 33 3.199%** 08/01/36........................................... 33 -------- 1,831 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 1.0% 6 9.500% 06/15/05-02/15/06.................................... 6 6 9.000% 06/15/07............................................. 7 91 6.000% 12/15/10............................................. 95 11 13.000% 02/15/11-04/15/11................................... 15 34 11.000% 11/15/15-10/20/20................................... 39 44 10.000% 08/15/05-11/15/20................................... 48 37 10.500% 01/15/18-04/15/21................................... 42 33 7.000% 02/15/09-06/15/23.................................... 36 484 7.500% 04/15/22-12/15/25.................................... 524 305 8.500% 10/15/09-02/20/29.................................... 339 603 8.000% 11/15/14-07/15/29.................................... 659 -------- 1,810 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $14,499).............................................. 15,105 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 28.2% FEDERAL FARM CREDIT BANK (FFCB) -- 2.0% 3,500 2.500% 11/15/05-03/15/06.................................... 3,496 -------- FEDERAL HOME LOAN BANK (FHLB) -- 5.4% 1,750 2.125% 12/15/04............................................. 1,751 1,000 2.000% 02/13/06............................................. 993 4,500 1.875% 06/15/06##........................................... 4,441 500 3.625% 11/14/08............................................. 502 1,750 3.875% 06/14/13............................................. 1,676 -------- 9,363 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 7.6% 1,300 3.875% 02/15/05............................................. 1,309 3,000 2.125% 11/15/05............................................. 2,990 1,000 2.875% 05/15/07............................................. 996 5,700 5.750% 03/15/09-01/15/12.................................... 6,208 1,400 6.750% 03/15/31............................................. 1,671 -------- 13,174 --------
SEE NOTES TO FINANCIAL STATEMENTS. 26 NATIONS FUNDS Nations Government Securities Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 13.2% $ 5,600 7.000% 07/15/05##........................................... $ 5,806 1,000 2.875% 10/15/05............................................. 1,006 5,000 5.250% 01/15/09............................................. 5,325 4,000 4.125% 04/15/14(a).......................................... 3,853 1,000 7.250% 05/15/30............................................. 1,254 5,000 6.625% 11/15/10-11/15/30.................................... 5,786 -------- 23,030 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $48,147).............................................. 49,063 -------- U.S. TREASURY OBLIGATIONS -- 60.2% U.S. TREASURY BONDS -- 1.3% 200 6.250% 08/15/23............................................. 234 300 6.875% 08/15/25............................................. 377 1,600 5.375% 02/15/31(a).......................................... 1,713 -------- 2,324 -------- U.S. TREASURY NOTES -- 30.1% 3,500 1.750% 12/31/04............................................. 3,500 6,000 1.500% 02/28/05##........................................... 5,990 3,000 1.625% 04/30/05............................................. 2,993 15,550 2.625% 11/15/06(a).......................................... 15,545 500 2.750% 08/15/07(a).......................................... 499 4,000 3.250% 08/15/07............................................. 4,044 1,000 3.250% 01/15/09(a).......................................... 1,000 3,500 3.000% 02/15/09(a).......................................... 3,465 510 3.875% 05/15/09............................................. 522 500 3.625% 07/15/09(a).......................................... 506 1,600 3.500% 08/15/09............................................. 1,610 3,255 4.000% 02/15/14............................................. 3,230 7,735 4.750% 05/15/14(a).......................................... 8,119 1,350 4.250% 08/15/14(a).......................................... 1,364 -------- 52,387 -------- U.S. TREASURY STRIPS -- 28.8% 4,500 Interest only, 5.239%*** 05/15/23.......................................... 1,717 3,450 Principal only, 2.103%*** 08/15/05.......................................... 3,387 21,500 Principal only, 2.667%*** 11/15/06.......................................... 20,324 21,000 Principal only, 3.263%*** 11/15/08##........................................ 18,372
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- U.S. TREASURY STRIPS -- (CONTINUED) $ 5,500 Principal only, 3.354%*** 02/15/09.......................................... $ 4,754 3,100 TIGR Receipts, 4.799%*** 05/15/17.......................................... 1,704 -------- 50,258 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $104,467)............................................. 104,969 -------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 22.9% (Cost $39,885) 39,885 Nations Cash Reserves, Capital Class Shares#.................. 39,885 -------- TOTAL INVESTMENTS (Cost $208,383*).................................. 120.8% 210,417 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (20.8)% (36,206) -------- NET ASSETS.......................................... 100.0% $174,211 ========
--------------- * Federal income tax information (see Note 12). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2004. ++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 $36,582. ##All or a portion of security segregated as collateral for futures contracts. (a) All or portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $35,182 and $35,382, respectively. (b) Restricted and illiquid security. SEE NOTES TO FINANCIAL STATEMENTS. 27 NATIONS FUNDS Nations Intermediate Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE (000) -------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 100.1% Investment in Nations Master Investment Trust, Intermediate Bond Master Portfolio*...................................... $670,541 -------- TOTAL INVESTMENTS................................... 100.1% 670,541 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)................................. (0.1)% (690) -------- NET ASSETS.......................................... 100.0% $669,851 ========
--------------- * 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. SEE NOTES TO FINANCIAL STATEMENTS. 28 NATIONS FUNDS Nations Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 9.6% ASSET-BACKED -- AUTO LOANS -- 3.8% $ 1,593 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08............................................. $ 1,619 533 Americredit Automobile Receivables Trust, Series 2003-AM, Class A2A, 1.670% 10/06/06............................................. 533 4,000 Americredit Automobile Receivables Trust, Series 2004-AF, Class A2, 1.490% 05/07/07##........................................... 3,988 3,709 BMW Vehicle Owner Trust, Series 2003-A, Class A3, 1.940% 02/25/07............................................. 3,701 1,345 Capital Auto Receivables Asset Trust, Series 2002-2, Class CTFS, 4.180% 10/15/07............................................. 1,356 1,722 Capital Auto Receivables Asset Trust, Series 2003-2, Class B, 2.040%** 01/15/09........................................... 1,725 3,913 Capital Auto Receivables Asset Trust, Series 2003-3, Class A1B, 1.810%** 01/16/06........................................... 3,914 2,000 Capital One Prime Auto Receivables Trust, Series 2004-1, Class A2, 1.470% 06/15/06............................................. 1,996 4,000 Chase Manhattan Auto Owner Trust, Series 2003-A, Class A3, 1.520% 05/15/07............................................. 3,976 2,000 Chase Manhattan Auto Owner Trust, Series 2003-A, Class CTFS, 2.040% 12/15/09............................................. 1,977 2,000 Chase Manhattan Auto Owner Trust, Series 2003-C, Class A3, 2.260% 11/15/07............................................. 1,991 1,500 Chase Manhattan Auto Owner Trust, Series 2003-C, Class CTFS, 2.780% 06/15/10............................................. 1,493 1,387 Daimler Chrysler Auto Trust, Series 2003-A, Class A2, 1.520% 12/08/05............................................. 1,386 6,610 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 5.180% 10/16/06##........................................... 6,763 5,000 Ford Credit Auto Owner Trust, Series 2003-A, Class B1, 3.160% 08/15/07............................................. 5,007 8,000 Ford Credit Auto Owner Trust, Series 2003-B, Class A3B, 1.810%** 01/15/07##......................................... 8,003 1,054 Harley-Davidson Motorcycle Trust, Series 2003-2, Class A1, 1.340% 01/15/08............................................. 1,052 597 Harley-Davidson Motorcycle Trust, Series 2003-2, Class B, 1.890% 02/15/11............................................. 591 4,284 Harley-Davidson Motorcycle Trust, Series 2004-2, Class A1, 2.180% 01/15/09............................................. 4,275
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ASSET-BACKED -- AUTO LOANS -- (CONTINUED) $ 3,171 Harley-Davidson Motorcycle Trust, Series 2004-2, Class B, 2.960% 02/15/12............................................. $ 3,173 1,331 Honda Auto Receivables Owner Trust, Series 2002-3, Class A3, 3.000% 05/18/06............................................. 1,335 3,000 Honda Auto Receivables Owner Trust, Series 2003-1, Class A3, 1.920% 11/20/06............................................. 2,995 4,000 Honda Auto Receivables Owner Trust, Series 2003-2, Class A3, 1.690% 02/21/07............................................. 3,980 2,944 Household Automotive Trust, Series 2003-2, Class A3, 2.310% 04/17/08............................................. 2,935 72 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-1, Class A4, 5.340% 12/15/05............................................. 72 239 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-2, Class B, 5.750% 06/15/07............................................. 240 457 Nissan Auto Receivables Owner Trust, Series 2003-B, Class A2, 1.200% 11/15/05............................................. 457 3,960 WFS Financial Owner Trust, Series 2004-1, Class A2, 1.510% 07/20/07............................................. 3,943 4,652 WFS Financial Owner Trust, Series 2004-1, Class B, 2.340% 08/22/11............................................. 4,618 ---------- 79,094 ---------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 2.9% 15,000 American Express Credit Account Master Trust, Series 2000-3, Class B, 2.110%** 11/15/07##......................................... 15,010 2,089 Bank One Issuance Trust, Series 2002-A4, Class A4, 2.940% 06/16/08............................................. 2,098 4,250 Bank One Issuance Trust, Series 2003-B2, Class B2, 1.990%** 02/17/09........................................... 4,255 3,500 Capital One Master Trust, Series 2002-3A, Class B, 4.550% 02/15/08............................................. 3,526 10,000 Capital One Multi-Asset Execution Trust, Series 2002-B1, Class B1, 2.440% 07/15/08##........................................... 10,041 2,630 Chase Credit Card Master Trust, Series 2002-2, Class C, 2.660%** 07/16/07........................................... 2,637 4,100 Citibank Credit Card Issuance Trust, Series 2002-A3, Class A3, 4.400% 05/15/07............................................. 4,153
SEE NOTES TO FINANCIAL STATEMENTS. 29 NATIONS FUNDS Nations Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- (CONTINUED) $ 12,920 MBNA Credit Card Master Note Trust, Series 2002-A4, Class A4, 1.870% 08/17/09##........................................... $ 12,948 7,000 MBNA Master Credit Card Trust, Series 1998-F, Class A, 1.980%** 02/15/08........................................... 7,007 ---------- 61,675 ---------- ASSET-BACKED -- HOME EQUITY LOANS -- 1.6% 1,602 Ameriquest Finance NIM Trust, Series 2003-N10A, 2.100%** 08/25/08(@)........................................ 1,603 969 ARGENT NIM Trust, Series 2004-WN2, Class A, 4.550% 04/25/34(@).......................................... 968 201 Bombardier Capital Mortgage Securitization, Series 1998-A, Class A3, 6.230% 04/15/28............................................. 201 2,699 CDC Mortgage Capital trust, Series 2003-HE4, Class A2, 2.070%** 03/25/34........................................... 2,701 4,001 Chase Funding Mortgage Loan Asset-Backed, Series 2003-6, Class 2A1, 2.010%** 05/25/21........................................... 4,002 3,813 Chase Funding Mortgage Loan Asset-Backed, Series 2004-1, Class 1A1, 1.950%** 11/25/18........................................... 3,813 560 Chase Funding Net Interest Margin, Series 2003-6A, Class Note, 5.000% 01/27/35(@).......................................... 563 618 Contimortgage Home Equity Loan Trust, Series 1996-4, Class A9, 6.880% 01/15/28............................................. 620 2,101 Countrywide Asset-Backed Certificates, Series 2003-5, Class AF1B, 2.020%** 08/25/22........................................... 2,101 2,509 First Alliance Mortgage Loan Trust, Series 1994-2, Class A1, 7.625% 07/25/25............................................. 2,506 594 First Plus Home Loan Trust, Series 1998-2, Class M1, 7.720% 05/10/24............................................. 594 5,000 GMAC Mortgage Corporation Loan Trust, Series 2004-HE1, Class A1, 1.920%** 06/25/34........................................... 5,000 193 Indymac NIM Trust SPMD, Series 2002-B, Class Note, 2.220%** 11/25/32(@)........................................ 193 349 Merrill Lynch Mortgage Investors, Inc., Series 2002-HE1N, Class N1, 2.440%** 11/25/09(@)........................................ 348 1,894 Oakwood Mortgage Investors Inc., Series 2002-B, Class A1, 1.990%** 05/15/13........................................... 1,755
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ASSET-BACKED -- HOME EQUITY LOANS -- (CONTINUED) $ 1,202 Residential Asset Securities Corporation, Series 2003-KS7, Class AI1, 1.960%** 03/25/19........................................... $ 1,202 4,128 Securitized Asset Backed Receivables, Series 2004-OP1, Class A2, 2.090%** 02/25/34........................................... 4,128 1,026 Structured Asset Investment Loan Trust, Series 2003-BC7, Class 1A1, 1.970%** 07/25/33........................................... 1,026 ---------- 33,324 ---------- ASSET-BACKED -- OTHER -- 1.3% 14,880 CIT Equipment Collateral, Series 2002-VT1, Class A4, 4.670% 12/21/09##........................................... 15,094 1,165 Connecticut RRB Special Purpose Trust CL&P-1, Series 2001-1, Class A2, 5.360% 03/30/07............................................. 1,179 3,500 Gracechurch Card Funding Plc, Series 6, Class B, 1.950%** 02/17/09........................................... 3,495 7,811 Oncor Electric Delivery Transition Bond Company, Series 2003-1, Class A1, 2.260% 02/15/09............................................. 7,775 ---------- 27,543 ---------- TOTAL ASSET-BACKED SECURITIES (Cost $201,859)............................................. 201,636 ---------- CORPORATE BONDS AND NOTES -- 33.8% AEROSPACE AND DEFENSE -- 0.4% 487 Boeing Company, 5.125% 02/15/13............................................. 503 290 General Dynamics Corporation, 4.500% 08/15/10............................................. 296 1,524 Goodrich (BF) Corporation, 7.625% 12/15/12............................................. 1,790 3,782 Northrop Grumman Corporation, 7.125% 02/15/11............................................. 4,348 2,200 Raytheon Company, 5.375% 04/01/13............................................. 2,287 ---------- 9,224 ---------- AUTOMOTIVE -- 1.3% 6,697 DaimlerChrysler NA Holdings Corporation, 4.050% 06/04/08............................................. 6,757 7,734 Ford Motor Company, 7.450% 07/16/31............................................. 7,584 4,263 General Motors Acceptance Corporation, 6.150% 04/05/07............................................. 4,480 2,782 General Motors Acceptance Corporation, 6.875% 09/15/11............................................. 2,918
SEE NOTES TO FINANCIAL STATEMENTS. 30 NATIONS FUNDS Nations Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- AUTOMOTIVE -- (CONTINUED) $ 3,628 General Motors Acceptance Corporation, 8.000% 11/01/31............................................. $ 3,755 875 General Motors Corporation, 8.250% 07/15/23............................................. 920 ---------- 26,414 ---------- BEVERAGES -- 0.4% 2,856 Anheuser-Busch Companies, Inc., 5.950% 01/15/33............................................. 3,014 5,772 Cadbury Schweppes plc, 5.125% 10/01/13(@).......................................... 5,861 ---------- 8,875 ---------- BROADCASTING AND CABLE -- 1.4% 1,829 Clear Channel Communications, Inc., 6.000% 11/01/06............................................. 1,921 128 Comcast Cable Communications, Inc., 6.375% 01/30/06............................................. 133 1,550 Comcast Cable Communications, Inc., 7.125% 06/15/13............................................. 1,753 6,456 Liberty Media Corporation, 3.500% 09/25/06............................................. 6,430 2,159 Tele-Communications, Inc., Class A, 9.875% 06/15/22............................................. 2,938 2,179 The Walt Disney Company, MTN, 5.500% 12/29/06............................................. 2,277 1,200 Time Warner Entertainment Company LP, 7.250% 09/01/08............................................. 1,332 1,740 Time Warner Inc., 8.110% 08/15/06............................................. 1,893 2,472 Time Warner Inc., 9.125% 01/15/13............................................. 3,095 5,525 Time Warner Inc., 7.625% 04/15/31............................................. 6,359 1,852 Viacom Inc., Class B, 5.625% 05/01/07(a).......................................... 1,959 ---------- 30,090 ---------- CHEMICALS -- BASIC -- 0.2% 1,994 The Dow Chemical Company, 6.125% 02/01/11(a).......................................... 2,176 1,375 The Dow Chemical Company, 7.375% 11/01/29............................................. 1,597 ---------- 3,773 ---------- CHEMICALS -- SPECIALTY -- 0.5% 2,108 E.I. du Pont de Nemours and Company, 3.375% 11/15/07............................................. 2,119 1,218 Eastman Chemical Company, 3.250% 06/15/08............................................. 1,191 2,428 Eastman Chemical Company, 6.300% 11/15/18............................................. 2,600 569 Monsanto Company, 4.000% 05/15/08............................................. 573
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- (CONTINUED) $ 1,989 Praxair, Inc., 4.750% 07/15/07(a).......................................... $ 2,060 2,325 Praxair, Inc., 6.500% 03/01/08............................................. 2,545 ---------- 11,088 ---------- COMMERCIAL BANKING -- 5.7% 3,823 AmSouth Bank N.A., 4.850% 04/01/13............................................. 3,844 10,455 Bank One Corporation, 6.000% 08/01/08##........................................... 11,313 2,415 Capital One Bank, 5.000% 06/15/09............................................. 2,501 2,760 Citigroup Inc., 6.000% 02/21/12............................................. 3,036 12,269 Citigroup Inc., 5.000% 09/15/14(@).......................................... 12,284 1,988 City National Corporation, 5.125% 02/15/13............................................. 2,001 7,489 First Union National Bank, 5.800% 12/01/08............................................. 8,049 4,151 Golden West Financial Corporation, 4.750% 10/01/12............................................. 4,187 7,008 J.P. Morgan Chase & Company, 7.250% 06/01/07............................................. 7,738 2,805 Key Bank N.A., 7.000% 02/01/11............................................. 3,143 2,861 Mellon Funding Corporation, 4.875% 06/15/07............................................. 2,980 2,167 Mellon Funding Corporation, 6.700% 03/01/08............................................. 2,419 7,096 National City Bank, 4.625% 05/01/13............................................. 6,998 5,628 PNC Funding Corporation, 5.750% 08/01/06............................................. 5,896 5,292 Popular North America Inc., MTN, Series E, 6.125% 10/15/06............................................. 5,589 193 Regions Financial Corporation, 6.375% 05/15/12............................................. 214 2,174 Regions Financial Corporation, 7.750% 09/15/24............................................. 2,674 1,561 SouthTrust Bank N.A., 4.750% 03/01/13............................................. 1,558 4 State Street Corporation, 7.650% 06/15/10............................................. 5 18 SunTrust Banks, Inc., 5.050% 07/01/07............................................. 19 2,100 The Bank of New York, Inc., MTN, Series E, 3.900% 09/01/07............................................. 2,131 6,846 Union Planters Corporation, 4.375% 12/01/10............................................. 6,873 3,654 US Bank N.A., Minnesota, 2.850% 11/15/06............................................. 3,647 6,752 US Bank N.A., Minnesota, 6.375% 08/01/11............................................. 7,544 1,855 Washington Mutual, Inc., 2.400% 11/03/05............................................. 1,851
SEE NOTES TO FINANCIAL STATEMENTS. 31 NATIONS FUNDS Nations Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 6,302 Washington Mutual, Inc., 5.625% 01/15/07............................................. $ 6,624 6,200 Washington Mutual, Inc., 4.625% 04/01/14............................................. 5,927 175 Wells Fargo and Company, 3.500% 04/04/08(a).......................................... 175 ---------- 121,220 ---------- COMMERCIAL SERVICES -- 0.3% 5,056 Waste Management, Inc., 7.375% 08/01/10............................................. 5,836 ---------- COMPUTER SERVICES -- 0.1% 1,726 Sungard Data Systems Inc., 4.875% 01/15/14............................................. 1,695 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 0.6% 6,394 Hewlett-Packard Company, 5.750% 12/15/06............................................. 6,745 3,173 International Business Machines Corporation, 4.875% 10/01/06............................................. 3,294 7 International Business Machines Corporation, 4.750% 11/29/12............................................. 7 2,037 International Business Machines Corporation, 6.500% 01/15/28............................................. 2,262 756 International Business Machines Corporation, 5.875% 11/29/32............................................. 783 ---------- 13,091 ---------- CONGLOMERATES -- 0.1% 2,108 General Electric Company, 5.000% 02/01/13............................................. 2,168 ---------- CONSTRUCTION -- 0.8% 5,018 D. R. Horton, Inc., 7.875% 08/15/11............................................. 5,802 1,820 K. Hovnanian Enterprises Inc., 6.500% 01/15/14............................................. 1,861 5,455 KB HOME, 5.750% 02/01/14............................................. 5,428 3,102 Toll Brothers Inc., 4.950% 03/15/14(a).......................................... 3,029 ---------- 16,120 ---------- CONSUMER CREDIT AND MORTGAGES -- 1.0% 4,535 American Express Company, 5.500% 09/12/06............................................. 4,750 1,887 American Express Company, 3.750% 11/20/07............................................. 1,906 2,746 American Express Company, 4.750% 06/17/09............................................. 2,850
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CONSUMER CREDIT AND MORTGAGES -- (CONTINUED) $ 2,090 American General Finance Corporation, MTN, Series H, 2.750% 06/15/08............................................. $ 2,019 10,093 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06............................................. 10,527 ---------- 22,052 ---------- DEPARTMENT AND DISCOUNT STORES -- 0.7% 2,876 Target Corporation, 5.400% 10/01/08............................................. 3,058 1,320 Target Corporation, 5.375% 06/15/09............................................. 1,406 3,112 Target Corporation, 5.875% 03/01/12............................................. 3,388 4,057 Wal-Mart Stores, Inc., 5.450% 08/01/06............................................. 4,241 80 Wal-Mart Stores, Inc., 4.375% 07/12/07............................................. 82 2,600 Wal-Mart Stores, Inc., 4.550% 05/01/13............................................. 2,618 ---------- 14,793 ---------- DIVERSIFIED MANUFACTURING -- 0.1% 1,926 Fortune Brands, Inc., 2.875% 12/01/06............................................. 1,919 ---------- ELECTRIC POWER -- NON NUCLEAR -- 2.2% 1,804 Appalachian Power Company, Series G, 3.600% 05/15/08............................................. 1,792 2,980 Consolidated Edison Company of New York, 4.700% 06/15/09............................................. 3,090 3,280 Consolidated Edison Company of New York, Series 2000-C, 6.625% 12/15/05............................................. 3,433 912 Dominion Resources, Inc., 5.000% 03/15/13............................................. 911 2,125 Exelon Generation Company, LLC, 5.350% 01/15/14............................................. 2,170 553 New York State Electric & Gas, 5.750% 05/01/23............................................. 551 727 Ohio Edison Company, 4.000% 05/01/08............................................. 728 976 Pacific Gas and Electric Company, 4.200% 03/01/11............................................. 965 1,377 Pacific Gas and Electric Company, 6.050% 03/01/34............................................. 1,402 1,416 Pepco Holdings, Inc., 5.500% 08/15/07............................................. 1,483 5,000 PG&E Corporation, 6.875% 07/15/08............................................. 5,413 7,344 Progress Energy, Inc., 6.050% 04/15/07##........................................... 7,769
SEE NOTES TO FINANCIAL STATEMENTS. 32 NATIONS FUNDS Nations Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ELECTRIC POWER -- NON NUCLEAR -- (CONTINUED) $ 1,205 PSEG Power LLC, 5.500% 12/01/15............................................. $ 1,205 1,701 Public Service Electric & Gas Company, MTN, Series C, 4.000% 11/01/08............................................. 1,713 6,330 TXU Energy Company, 7.000% 03/15/13............................................. 7,147 3,021 Westar Energy Inc., 9.750% 05/01/07............................................. 3,442 2,703 Westar Energy, Inc., 7.875% 05/01/07............................................. 2,996 ---------- 46,210 ---------- ELECTRIC POWER -- NUCLEAR -- 1.4% 4,400 American Electric Power Company, Inc., 5.250% 06/01/15............................................. 4,418 2,999 CenterPoint Energy Resources Corporation, Series B, 7.875% 04/01/13............................................. 3,535 1,118 Duquesne Light Company, Series O, 6.700% 04/15/12............................................. 1,261 365 Energy East Corporation, 6.750% 06/15/12............................................. 405 2,626 FirstEnergy Corporation, Series B, 6.450% 11/15/11............................................. 2,865 1,341 FirstEnergy Corporation, Series C, 7.375% 11/15/31............................................. 1,506 4,302 MidAmerican Energy Holdings, Series D, 5.000% 02/15/14............................................. 4,251 1,710 Southern California Edison Company, 5.000% 01/15/14............................................. 1,739 1,140 Southern California Edison Company, 6.000% 01/15/34............................................. 1,185 3,248 Southern Company Capital Funding, Series A, 5.300% 02/01/07............................................. 3,432 1,753 Southern Power Company, Series B, 6.250% 07/15/12............................................. 1,908 3,516 Virginia Electric and Power Company, Series A, 5.375% 02/01/07............................................. 3,678 ---------- 30,183 ---------- EXPLORATION AND PRODUCTION -- 0.7% 962 Devon Energy Corporation, 7.950% 04/15/32............................................. 1,193 6,526 Pioneer Natural Resources Company, 6.500% 01/15/08............................................. 7,074 5,520 XTO Energy, Inc., 7.500% 04/15/12............................................. 6,485 ---------- 14,752 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- FINANCE -- MISCELLANEOUS -- 2.3% $ 3,808 Associates Corporation of North America, 6.950% 11/01/18............................................. $ 4,444 2,752 CIT Group Inc., 7.375% 04/02/07............................................. 3,018 840 General Electric Capital Corporation, MTN, Series A, 5.875% 02/15/12............................................. 912 10,539 General Electric Capital Corporation, MTN, Series A, 6.750% 03/15/32##........................................... 12,130 3,546 Household Finance Corporation, 7.200% 07/15/06............................................. 3,801 4,336 Household Finance Corporation, 5.875% 02/01/09............................................. 4,674 1,907 Household Finance Corporation, 6.375% 11/27/12............................................. 2,113 2,133 Household Finance Corporation, 7.350% 11/27/32............................................. 2,542 1,743 International Lease Finance Corporation, 4.500% 05/01/08............................................. 1,800 6,760 International Lease Finance Corporation, 3.500% 04/01/09............................................. 6,617 2,226 National Rural Utilities Cooperative Finance Corporation, 3.250% 10/01/07##........................................... 2,205 2,700 National Rural Utilities Cooperative Finance Corporation, 5.750% 08/28/09............................................. 2,892 2,025 National Rural Utilities Cooperative Finance Corporation, MTN, Series C, 8.000% 03/01/32##........................................... 2,615 ---------- 49,763 ---------- FOOD AND DRUG STORES -- 0.4% 6,630 Fred Meyer, Inc., 7.450% 03/01/08##........................................... 7,405 663 The Kroger Company, 6.800% 04/01/11............................................. 743 804 The Kroger Company, 6.750% 04/15/12............................................. 899 ---------- 9,047 ---------- HEALTH SERVICES -- 0.4% 6,769 Wellpoint Health Networks Inc., 6.375% 06/15/06##........................................... 7,139 1,213 Wellpoint Health Networks Inc., 6.375% 01/15/12............................................. 1,339 ---------- 8,478 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 33 NATIONS FUNDS Nations Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- HEAVY MACHINERY -- 0.8% $ 4,968 Caterpillar Financial Services Corporation, 5.950% 05/01/06##........................................... $ 5,205 4,105 Caterpillar Financial Services Corporation, 4.500% 06/15/09............................................. 4,216 3,142 Caterpillar Financial Services Corporation, MTN, Series F, 2.350% 09/15/06............................................. 3,102 4,098 John Deere Capital Corporation, MTN, Series D, 3.125% 12/15/05##........................................... 4,115 ---------- 16,638 ---------- HOUSEHOLD PRODUCTS -- 0.1% 1,926 Procter & Gamble Company, 4.750% 06/15/07............................................. 2,006 ---------- HOUSING AND FURNISHING -- 0.2% 3,662 Beazer Homes USA, Inc., 6.500% 11/15/13............................................. 3,735 ---------- INSURANCE -- 1.3% 162 Allstate Financial Global Funding, 7.125% 09/26/05(@).......................................... 169 1,168 Hartford Life, Inc., 7.375% 03/01/31............................................. 1,402 990 Marsh & McLennan Companies, Inc., 5.875% 08/01/33............................................. 985 2,213 Mass Mutual Global Funding II, 2.550% 07/15/08(@).......................................... 2,145 938 MetLife, Inc., 5.375% 12/15/12............................................. 973 1,796 MetLife, Inc., 6.500% 12/15/32............................................. 1,931 934 Nationwide Financial Services, Inc., Class A, 5.900% 07/01/12............................................. 1,001 4,754 Principal Life Global, 6.250% 02/15/12(@).......................................... 5,248 1,557 Progressive Corporation, 6.250% 12/01/32(a).......................................... 1,642 6,773 Prudential Funding LLC, MTN, 6.600% 05/15/08(@).......................................... 7,528 1,605 The Hartford Financial Services Group, Inc., 2.375% 06/01/06............................................. 1,587 1,095 The Hartford Financial Services Group, Inc., 4.625% 07/15/13............................................. 1,075 1,219 Unitrin Inc., 4.875% 11/01/10............................................. 1,210 ---------- 26,896 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- INTEGRATED OIL -- 0.8% $ 3,495 Conoco Funding Company, 5.450% 10/15/06##........................................... $ 3,664 4,830 Conoco Funding Company, 6.350% 10/15/11............................................. 5,387 7,032 USX Corporation, 6.650% 02/01/06##........................................... 7,375 ---------- 16,426 ---------- INVESTMENT SERVICES -- 3.1% 1,944 Bear Stearns Companies Inc., 5.700% 01/15/07............................................. 2,051 6,256 Bear Stearns Companies Inc., 4.500% 10/28/10(a).......................................... 6,307 2,557 Citigroup Global Markets Holdings Inc., 6.500% 02/15/08............................................. 2,797 704 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. 740 3,452 Credit Suisse First Boston USA, Inc., 6.125% 11/15/11##........................................... 3,761 1,200 Goldman Sachs Group, Inc., 4.125% 01/15/08............................................. 1,223 5,858 Goldman Sachs Group, Inc., 6.600% 01/15/12##........................................... 6,543 808 Goldman Sachs Group, Inc., 5.700% 09/01/12............................................. 854 4,971 Goldman Sachs Group, Inc., 4.750% 07/15/13##........................................... 4,877 4,997 Lehman Brothers Holdings Inc., 4.000% 01/22/08##........................................... 5,076 4,530 Lehman Brothers Holdings Inc., 7.000% 02/01/08##........................................... 4,999 1,351 Lehman Brothers Holdings Inc., 7.875% 08/15/10............................................. 1,599 5,640 Merrill Lynch & Company, Inc., 6.000% 02/17/09##........................................... 6,106 2,538 Merrill Lynch & Company, Inc., MTN, Series B, 2.070% 06/12/06............................................. 2,528 2,717 Merrill Lynch & Company, Inc., MTN, Series B, 3.700% 04/21/08............................................. 2,723 9,009 Morgan Stanley, 6.750% 04/15/11##........................................... 10,096 4,203 Morgan Stanley, 6.600% 04/01/12##........................................... 4,687 51 Morgan Stanley, 5.300% 03/01/13............................................. 52 ---------- 67,019 ---------- MEDICAL DEVICES AND SUPPLIES -- 0.1% 1,819 Bristol-Myers Squibb Company, 4.750% 10/01/06............................................. 1,879 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 34 NATIONS FUNDS Nations Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- METALS AND MINING -- 0.2% $ 3,385 Alcoa Inc., 7.375% 08/01/10............................................. $ 3,947 ---------- NATURAL GAS DISTRIBUTION -- 0.3% 3,631 NiSource Finance Corporation, 5.400% 07/15/14##........................................... 3,719 1,594 Southern California Gas Company, Series HH, 5.450% 04/15/18............................................. 1,645 ---------- 5,364 ---------- NATURAL GAS PIPELINES -- 1.0% 3,144 Consolidated Natural Gas Company, Series B, 5.375% 11/01/06##........................................... 3,271 4,046 Duke Capital LLC, 4.370% 03/01/09(a).......................................... 4,079 8,333 Kinder Morgan, Inc., 6.650% 03/01/05##........................................... 8,468 3,991 Teppco Partners, LP, 7.625% 02/15/12##........................................... 4,630 ---------- 20,448 ---------- OIL REFINING AND MARKETING -- 0.2% 2,846 Valero Energy Corporation, 6.875% 04/15/12............................................. 3,204 ---------- PAPER AND FOREST PRODUCTS -- 0.6% 2,246 Champion International Corporation, 7.350% 11/01/25##........................................... 2,516 2,317 International Paper Company, 4.250% 01/15/09............................................. 2,325 1,993 International Paper Company, 5.850%** 10/30/12##......................................... 2,106 1,705 MeadWestvaco Corporation, 6.850% 04/01/12............................................. 1,899 2,710 MeadWestvaco Corporation, 8.200% 01/15/30##........................................... 3,247 ---------- 12,093 ---------- PUBLISHING AND ADVERTISING -- 0.5% 2,485 Knight-Ridder, Inc., 7.125% 06/01/11##........................................... 2,855 166 News America Holdings Inc., 6.625% 01/09/08............................................. 181 647 News America Holdings Inc., 9.250% 02/01/13............................................. 831 840 News America Holdings Inc., 6.550% 03/15/33............................................. 890 3,650 News America Holdings Inc., 8.150% 10/17/36##........................................... 4,538 464 R. R. Donnelley & Sons Company, 4.950% 04/01/14............................................. 460 ---------- 9,755 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- RAILROADS, TRUCKING AND SHIPPING -- 0.2% $ 4,184 Burlington Northern Santa Fe Corporation, 6.750% 07/15/11............................................. $ 4,699 ---------- REAL ESTATE -- 0.4% 3,136 EOP Operating LP, 7.000% 07/15/11##........................................... 3,523 3,822 EOP Operating LP, 4.750% 03/15/14##........................................... 3,688 567 ERP Operating LP, 5.200% 04/01/13............................................. 577 ---------- 7,788 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.9% 5,483 Camden Property Trust, 5.375% 12/15/13##........................................... 5,531 2,311 Health Care Property Investors, Inc., 6.450% 06/25/12##........................................... 2,509 5,439 iStar Financial Inc., Series B, 4.875% 01/15/09##........................................... 5,450 5,283 Simon Property Group, LP 3.750% 01/30/09##........................................... 5,196 ---------- 18,686 ---------- TELECOMMUNICATIONS SERVICES -- 2.1% 1,330 AT&T Wireless Services Inc., 8.125% 05/01/12............................................. 1,607 1,232 AT&T Wireless Services Inc., 8.750% 03/01/31............................................. 1,618 3,803 BellSouth Corporation, 5.000% 10/15/06##........................................... 3,947 1,137 BellSouth Telecommunications Inc., 6.375% 06/01/28............................................. 1,163 7,197 SBC Communications Inc., 5.750% 05/02/06##........................................... 7,514 1,009 Sprint Capital Corporation, 6.125% 11/15/08............................................. 1,089 5,223 Sprint Capital Corporation, 8.375% 03/15/12##........................................... 6,326 3,977 Sprint Capital Corporation, 8.750% 03/15/32##........................................... 5,048 238 Verizon Florida Inc., Series F, 6.125% 01/15/13............................................. 254 159 Verizon Global Funding Corporation, 7.750% 12/01/30............................................. 190 5,537 Verizon New England Inc., 6.500% 09/15/11##........................................... 6,108 9,157 Verizon Pennsylvania Inc., Series A, 5.650% 11/15/11##........................................... 9,666 ---------- 44,530 ---------- TOTAL CORPORATE BONDS AND NOTES (Cost $683,867)............................................. 711,904 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 35 NATIONS FUNDS Nations Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- FOREIGN BONDS AND NOTES -- 3.8% BROADCASTING AND CABLE -- 0.0%+ $ 532 Rogers Cable Inc., 6.250% 06/15/13............................................. $ 521 ---------- BUILDING MATERIALS -- 0.1% 2,287 Hanson Overseas BV, 6.750% 09/15/05............................................. 2,372 ---------- CHEMICALS -- SPECIALTY -- 0.0%+ 754 Potash Corporation of Saskatchewan Inc., 4.875% 03/01/13............................................. 756 ---------- COMMERCIAL BANKING -- 0.2% 4,170(d) African Development Bank, 14.000% 11/04/04............................................ 647 3,657 Scotland International Finance, 4.250% 05/23/13(@).......................................... 3,506 ---------- 4,153 ---------- DIVERSIFIED MANUFACTURING -- 0.2% 3,471 Tyco International Group SA, 6.375% 10/15/11............................................. 3,839 ---------- ELECTRIC POWER -- NON NUCLEAR -- 0.1% 1,769 Transalta Corporation, 5.750% 12/15/13............................................. 1,817 ---------- FINANCE -- MISCELLANEOUS -- 0.1% 13,670(d) KFW International Finance, Inc., 14.000% 11/04/04............................................ 2,121 ---------- FOOD PRODUCTS -- 0.1% 2,435 Unilever Capital Corporation, 6.875% 11/01/05............................................. 2,545 ---------- INTEGRATED OIL -- 0.7% 4,089 BP Capital Markets, 2.750% 12/29/06##........................................... 4,075 2,075 Pemex Project Funding Master Trust, 7.375% 12/15/14##........................................... 2,262 5,747 Pemex Project Funding Master Trust, 8.625%** 02/01/22##......................................... 6,534 1,087 Suncor Energy, Inc., 5.950% 12/01/34............................................. 1,118 ---------- 13,989 ---------- METALS AND MINING -- 0.5% 1,144 Alcan Inc., 6.450% 03/15/11............................................. 1,281 1,448 Alcan Inc., 7.250% 03/15/31............................................. 1,723 1,593 BHP Finance USA Ltd., 4.800% 04/15/13............................................. 1,613 2,183 Codelco Inc., 5.500% 10/15/13(@).......................................... 2,274
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- METALS AND MINING -- (CONTINUED) $ 1,145 Placer Dome Inc., 6.450% 10/15/35............................................. $ 1,205 1,451 Rio Tinto Finance (USA) Ltd., 2.625% 09/30/08............................................. 1,394 ---------- 9,490 ---------- PUBLISHING AND ADVERTISING -- 0.2% 3,371 Thomson Corporation, 5.250% 08/15/13............................................. 3,482 ---------- RAILROADS, TRUCKING AND SHIPPING -- 0.2% 3,339 Canadian National Railway Company, 6.900% 07/15/28##........................................... 3,776 ---------- TELECOMMUNICATIONS SERVICES -- 1.4% 1,726 British Telecommunications, plc, 8.375% 12/15/10............................................. 2,081 774 British Telecommunications, plc, 8.875% 12/15/30............................................. 1,017 7,508 Deutsche Telekom International Finance BV, 5.250% 07/22/13##........................................... 7,683 3,285 Deutsche Telekom International Finance BV, 8.750% 06/15/30##........................................... 4,246 3,522 France Telecom SA, 9.250%** 03/01/31##......................................... 4,670 3,735 Telefonos de Mexico, SA, 4.500% 11/19/08##........................................... 3,746 7,873 Telus Corporation, 7.500% 06/01/07##........................................... 8,634 ---------- 32,077 ---------- TOTAL FOREIGN BONDS AND NOTES (Cost $78,741).............................................. 80,938 ---------- MORTGAGE-BACKED SECURITIES -- 31.2% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 1.6% 8,178 Fannie Mae, Series 2002-16, Class PG, 6.000% 04/25/17##........................................... 8,642 8,781 Fannie Mae, Series 2002-47, Class QE, 5.500% 08/25/17##........................................... 9,084 38 FNR, Series 1991-20, Class G, 8.250% 03/25/06............................................. 39 151 Freddie Mac, Series 2360, Class CH, 6.500% 08/15/30............................................. 151 10,044 Freddie Mac, Series 2664, Class IO, 5.500% 05/15/27............................................. 1,159 10,143 Freddie Mac, Series 2692, Class IA, 5.500% 01/15/23............................................. 818
SEE NOTES TO FINANCIAL STATEMENTS. 36 NATIONS FUNDS Nations Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- COMMERCIAL MORTGAGE-BACKED SECURITIES -- (CONTINUED) $ 54,631 GMAC Commercial Mortgage Securities Inc., Series 1997-C1, Class X, Interest Only, 1.637%** 07/15/29##......................................... $ 2,516 80,779 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.074%** 12/15/30##......................................... 2,709 9,437 Residential Asset Mortgage Products, Inc., Series 2004-RS7, Class Al1, 2.010% 08/25/22##........................................... 9,438 ---------- 34,556 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 1.3% 1 9.000% 01/01/05............................................. 1 66 8.000% 11/01/09-04/01/10.................................... 71 325 8.500% 11/01/26............................................. 357 25,376 6.500% 11/01/32##........................................... 26,642 ---------- 27,071 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 23.4% 893 8.000% 12/01/09............................................. 927 15 13.000% 01/15/11-02/15/11................................... 17 418 7.000% 10/01/11............................................. 444 251 6.000% 09/01/16............................................. 263 124 10.000% 09/01/18............................................ 139 196,376 5.000% 10/15/19(b).......................................... 199,444 15,215 6.500% 05/01/32-05/01/33.................................... 15,971 39,000 5.500% 05/10/34(b).......................................... 39,512 112,610 5.000% 07/12/34(b).......................................... 111,414 117,000 6.500% 07/12/34(b).......................................... 122,704 78 3.199%** 08/01/36........................................... 79 ---------- 490,914 ---------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 4.9% 13 9.500% 06/15/09-09/15/09.................................... 14 47 8.000% 11/15/07-05/15/17.................................... 50 243 8.500% 12/15/05-02/15/25.................................... 268 3,509 7.500% 12/15/23-07/20/28.................................... 3,788 2,978 7.000% 01/15/30##........................................... 3,180 94,559 5.500% 07/19/33(b).......................................... 96,155 ---------- 103,455 ---------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $658,954)............................................. 655,996 ---------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- 3.0% 2,353 Federal Republic of Brazil, 2.125%** 04/15/12........................................... 2,180 5,494 Hellenic Republic, 6.950% 03/04/08##........................................... 6,140 479 Korea Development Bank, 7.250% 05/15/06............................................. 512
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- (CONTINUED) $ 66 Ontario (Province of), 7.000% 08/04/05............................................. $ 69 5,926 Quebec (Province of), 7.500% 09/15/29##........................................... 7,678 3,649 Region of Lombardy, 5.804% 10/25/32##........................................... 3,849 1,649 Republic of Chile, 5.500% 01/15/13............................................. 1,718 3,662 Republic of Italy, 2.750% 12/15/06............................................. 3,659 9,453 Republic of Italy, 3.750% 12/14/07##........................................... 9,565 5,780 Republic of Poland, 5.250% 01/15/14##........................................... 5,977 2,768 Republic of South Africa, 6.500% 06/02/14............................................. 2,955 6,750 United Mexican States, 8.375% 01/14/11##........................................... 7,914 3,056 United Mexican States, 6.375% 01/16/13##........................................... 3,218 6,591 United Mexican States, 7.500% 04/08/33##........................................... 6,927 ---------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $59,328).............................................. 62,361 ---------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 29.1% FEDERAL FARM CREDIT BANK (FFCB) -- 0.6% 10,000 2.375% 10/01/04##........................................... 10,000 2,655 2.500% 03/15/06............................................. 2,651 ---------- 12,651 ---------- FEDERAL HOME LOAN BANK (FHLB) -- 9.7% 2,300 3.625% 11/14/08............................................. 2,310 2,500 3.875% 06/14/13............................................. 2,395 100,000 Discount note 10/12/04...................................... 99,947 100,000 Discount note 10/13/04...................................... 99,942 ---------- 204,594 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.8% 5,000 2.125% 11/15/05##........................................... 4,984 4,000 5.500% 07/15/06##........................................... 4,191 4,000 2.875% 05/15/07##........................................... 3,985 3,634 5.750% 03/15/09##........................................... 3,949 5,250 6.000% 06/15/11##........................................... 5,810 4,078 4.500% 01/15/13##........................................... 4,097 7,510 4.875% 11/15/13##........................................... 7,693 2,000 6.750% 03/15/31##........................................... 2,387 ---------- 37,096 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 17.0% 100,000 Discount note 10/08/04...................................... 99,965 100,000 Discount note 10/12/04...................................... 99,947
SEE NOTES TO FINANCIAL STATEMENTS. 37 NATIONS FUNDS Nations Bond Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION -- (CONTINUED) $ 100,000 Discount note 10/14/04...................................... $ 99,937 5,249 5.250% 01/15/09##........................................... 5,591 4,000 3.250% 02/15/09##........................................... 3,940 40,000 4.375% 07/17/13##........................................... 38,772 7,000 4.125% 04/15/14(a).......................................... 6,743 2,567 7.250% 05/15/30............................................. 3,220 ---------- 358,115 ---------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $611,123)............................................. 612,456 ---------- U.S. TREASURY OBLIGATIONS -- 13.0% U.S. TREASURY BONDS -- 0.5% 9,100 6.250% 08/15/23............................................. 10,626 ---------- U.S. TREASURY NOTES -- 10.7% 9,000 1.625% 01/31/05(a).......................................... 8,994 9,750 1.500% 02/28/05##........................................... 9,734 26,000 1.625% 03/31/05##........................................... 25,953 15,000 1.625% 04/30/05##........................................... 14,966 5,000 1.875% 11/30/05............................................. 4,978 15,000 1.875% 12/31/05(a).......................................... 14,923 14,000 1.875% 01/31/06##........................................... 13,917 5,000 1.625% 02/28/06(a).......................................... 4,949 19,525 2.000% 05/15/06##........................................... 19,392 4,000 3.125% 05/15/07............................................. 4,034 2,000 2.750% 08/15/07(a).......................................... 1,995 13,500 3.250% 08/15/07##........................................... 13,649 3,000 3.000% 11/15/07(a).......................................... 3,009 41,000 3.250% 01/15/09(a).......................................... 41,018 9,000 3.000% 02/15/09(a).......................................... 8,910 5,550 3.875% 05/15/09............................................. 5,685 5,000 4.000% 06/15/09(a).......................................... 5,146 6,800 3.625% 07/15/09(a).......................................... 6,882 6,000 3.500% 08/15/09............................................. 6,036 3,330 4.250% 08/15/13............................................. 3,380 2,000 4.000% 02/15/14............................................. 1,985 600 4.750% 05/15/14(a).......................................... 630 3,800 4.250% 08/15/14(a).......................................... 3,840 ---------- 224,005 ---------- U.S. TREASURY STRIPS -- 1.8% 20,650 Interest only, 4.319%*** 11/15/13##........................................ 13,983 50,000 Interest only, 5.239%*** 05/15/23##........................................ 19,083 5,000 Principal only, 2.737%*** 02/15/07.......................................... 4,687 ---------- 37,753 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $270,877)............................................. 272,384 ---------- VALUE SHARES (000) ---------------------------------------------------------------------------------------- WARRANTS -- 0.0%+ (Cost $0) 2,898 Solutia Inc., Expire 07/15/09!!(c)........................................ 0++ ---------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 7.3% 795 High Yield Portfolio(@)(@)##.................................. 7,846 145,471 Nations Cash Reserves, Capital Class Shares#.................. 145,471 ---------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $152,735)............................................. 153,317 ---------- TOTAL INVESTMENTS (Cost $2,717,484*)................................ 130.8% 2,750,992 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (30.8)% (648,441) ---------- NET ASSETS.......................................... 100.0% $2,102,551 ==========
--------------- * Federal income tax information (see Note 12). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2004. !!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. + 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 $88,176. ##All or a portion of security segregated as collateral for futures contracts and To Be Announced (TBA). (a) All or portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $85,978 and $85,546, respectively. (b) TBA -- Securities purchased on a forward commitment basis. (c) Fair valued security. (d) Principal amount denominated in South African Rand. ABBREVIATIONS: MTN -- Medium Term Note SEE NOTES TO FINANCIAL STATEMENTS. 38 NATIONS FUNDS Nations Strategic Income Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 5.4% ASSET-BACKED -- AUTO LOANS -- 4.5% $ 477 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08............................................. $ 485 940 AmeriCredit Automobile Receivables Trust, Series 2004-BM, Class A3, 2.070% 08/06/08............................................. 928 623 Bank One Auto Securitization Trust, Series 2003-1, Class A3, 1.820% 09/20/07............................................. 618 1,126 BMW Vehicle Owner Trust, Series 2004-A, Class A4, 3.320% 02/25/09............................................. 1,130 41 Capital Auto Receivables Asset Trust, Series 2002-2, Class CTFS, 4.180% 10/15/07............................................. 42 338 Capital Auto Receivables Asset Trust, Series 2002-3, Class A2A, 3.050% 09/15/05............................................. 338 200 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 5.180% 10/16/06............................................. 205 485 Ford Credit Auto Owner Trust, Series 2003-A, Class A4A, 2.700% 06/15/07............................................. 485 2,503 Ford Credit Auto Owner Trust, Series 2004-A, Class A4, 3.540% 11/15/08............................................. 2,520 1,403 Honda Auto Receivables Owner Trust, Series 2004-1, Class A4, 3.060% 10/21/09............................................. 1,398 1,391 Household Automotive Trust, Series 2003-2, Class A3, 2.310% 04/17/08............................................. 1,386 41 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-1, Class A4, 5.340% 12/15/05............................................. 41 563 Nissan Auto Receivables Owner Trust, Series 2003-C, Class A4, 2.700% 12/17/07............................................. 562 800 Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A3, 2.270% 10/22/07............................................. 797 -------- 10,935 -------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 0.7% 226 American Express Credit Account Master, Series 2003-4, Class A, 1.690% 01/15/09............................................. 222 1,130 Citibank Credit Card Issuance Trust, Series 2003-A5, Class A5, 2.500% 04/07/08............................................. 1,126
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- (CONTINUED) $ 212 Discover Card Master Trust I, Series 2001-6, Class A, 5.750% 12/15/08............................................. $ 222 -------- 1,570 -------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.0%+ 18 First Plus Home Loan Trust, Series 1998-2, Class M1, 7.720% 05/10/24............................................. 18 -------- ASSET-BACKED -- OTHER -- 0.2% 420 CIT Equipment Collateral, Series 2002-VT1, Class A4, 4.670% 12/21/09............................................. 426 -------- TOTAL ASSET-BACKED SECURITIES (Cost $12,962).............................................. 12,949 -------- CORPORATE BONDS AND NOTES -- 15.2% AEROSPACE AND DEFENSE -- 0.3% 108 Boeing Company, 5.125% 02/15/13............................................. 112 19 General Dynamics Corporation, 4.500% 08/15/10............................................. 19 91 Goodrich (BF) Corporation, 7.625% 12/15/12............................................. 107 204 Northrop Grumman Corporation, 7.125% 02/15/11............................................. 234 125 Raytheon Company, 5.375% 04/01/13............................................. 130 -------- 602 -------- AUTOMOTIVE -- 0.7% 443 DaimlerChrysler NA Holdings Corporation, 4.050% 06/04/08............................................. 447 485 Ford Motor Company, 7.450% 07/16/31............................................. 475 256 General Motors Acceptance Corporation, 6.150% 04/05/07............................................. 269 166 General Motors Acceptance Corporation, 6.875% 09/15/11............................................. 174 304 General Motors Acceptance Corporation, 8.000% 11/01/31............................................. 315 -------- 1,680 -------- BEVERAGES -- 0.2% 176 Anheuser-Busch Companies, Inc., 5.950% 01/15/33............................................. 186 349 Cadbury Schweppes plc, 5.125% 10/01/13(@).......................................... 354 -------- 540 -------- BROADCASTING AND CABLE -- 0.7% 110 Clear Channel Communications, Inc., 6.000% 11/01/06............................................. 116 18 Comcast Cable Communications, Inc., 6.375% 01/30/06............................................. 19
SEE NOTES TO FINANCIAL STATEMENTS. 39 NATIONS FUNDS Nations Strategic Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- BROADCASTING AND CABLE -- (CONTINUED) $ 94 Comcast Cable Communications, Inc., 7.125% 06/15/13............................................. $ 106 385 Liberty Media Corporation, 3.500% 09/25/06............................................. 383 135 Tele-Communications, Inc., Class A, 9.875% 06/15/22............................................. 184 129 The Walt Disney Company, MTN, 5.500% 12/29/06............................................. 135 181 Time Warner Entertainment Company LP, 7.250% 09/01/08............................................. 201 11 Time Warner Inc., 8.110% 08/15/06............................................. 12 45 Time Warner Inc., 9.125% 01/15/13............................................. 56 366 Time Warner Inc., 7.625% 04/15/31............................................. 421 110 Viacom Inc., Class B, 5.625% 05/01/07(a).......................................... 116 -------- 1,749 -------- CHEMICALS -- BASIC -- 0.1% 92 The Dow Chemical Company, 6.125% 02/01/11............................................. 100 68 The Dow Chemical Company, 7.375% 11/01/29............................................. 79 -------- 179 -------- CHEMICALS -- SPECIALTY -- 0.3% 115 E.I. du Pont de Nemours and Company, 3.375% 11/15/07............................................. 116 69 Eastman Chemical Company, 3.250% 06/15/08............................................. 67 145 Eastman Chemical Company, 6.300% 11/15/18............................................. 155 30 Monsanto Company, 4.000% 05/15/08............................................. 30 283 Praxair, Inc., 6.900% 11/01/06............................................. 306 101 Praxair, Inc., 4.750% 07/15/07............................................. 105 32 Praxair, Inc., 6.500% 03/01/08............................................. 35 -------- 814 -------- COMMERCIAL BANKING -- 2.7% 223 AmSouth Bank N.A., 4.850% 04/01/13............................................. 224 623 Bank One Corporation, 6.000% 08/01/08............................................. 673 151 Capital One Bank, 5.000% 06/15/09............................................. 156 151 Citigroup Inc., 6.000% 02/21/12............................................. 166 655 Citigroup Inc., 5.000% 09/15/14(@).......................................... 656
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 106 City National Corporation, 5.125% 02/15/13............................................. $ 107 382 First Union National Bank, 5.800% 12/01/08............................................. 411 223 Golden West Financial Corporation, 4.750% 10/01/12............................................. 225 345 J.P. Morgan Chase & Company, 7.250% 06/01/07............................................. 381 122 Key Bank N.A., 7.000% 02/01/11............................................. 137 70 Mellon Funding Corporation, 4.875% 06/15/07............................................. 73 40 Mellon Funding Corporation, 6.700% 03/01/08............................................. 45 418 National City Bank, 4.625% 05/01/13............................................. 412 156 PNC Funding Corporation, 5.750% 08/01/06............................................. 163 125 Popular North America Inc., 4.250% 04/01/08............................................. 127 114 Popular North America Inc., MTN, Series E, 6.125% 10/15/06............................................. 120 70 Regions Financial Corporation, 7.750% 09/15/24............................................. 86 86 SouthTrust Bank N.A., 4.750% 03/01/13............................................. 86 125 The Bank of New York, Inc., MTN, Series E, 3.900% 09/01/07............................................. 127 187 U.S. Bancorp, MTN, Series N, 5.100% 07/15/07............................................. 196 418 Union Planters Corporation, 4.375% 12/01/10............................................. 420 181 US Bank N.A., Minnesota, 2.850% 11/15/06............................................. 181 358 US Bank N.A., Minnesota, 6.375% 08/01/11............................................. 400 116 Washington Mutual, Inc., 2.400% 11/03/05............................................. 116 210 Washington Mutual, Inc., 5.625% 01/15/07............................................. 221 402 Washington Mutual, Inc., 4.625% 04/01/14............................................. 384 -------- 6,293 -------- COMMERCIAL SERVICES -- 0.1% 139 Waste Management, Inc., 7.375% 08/01/10............................................. 160 -------- COMPUTER SERVICES -- 0.0%+ 105 Sungard Data Systems Inc., 4.875% 01/15/14............................................. 103 --------
SEE NOTES TO FINANCIAL STATEMENTS. 40 NATIONS FUNDS Nations Strategic Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- COMPUTERS AND OFFICE EQUIPMENT -- 0.3% $ 383 Hewlett-Packard Company, 5.750% 12/15/06............................................. $ 404 188 International Business Machines Corporation, 4.875% 10/01/06............................................. 195 167 International Business Machines Corporation, 5.875% 11/29/32............................................. 173 -------- 772 -------- CONGLOMERATES -- 0.1% 129 General Electric Company, 5.000% 02/01/13............................................. 133 -------- CONSUMER CREDIT AND MORTGAGES -- 0.5% 325 American Express Company, 5.500% 09/12/06............................................. 340 102 American Express Company, 3.750% 11/20/07............................................. 103 162 American Express Company, 4.750% 06/17/09............................................. 168 118 American General Finance Corporation, MTN, Series H, 2.750% 06/15/08............................................. 114 541 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06............................................. 565 -------- 1,290 -------- DEPARTMENT AND DISCOUNT STORES -- 0.3% 145 Target Corporation, 5.400% 10/01/08............................................. 154 40 Target Corporation, 5.375% 06/15/09............................................. 43 135 Target Corporation, 5.875% 03/01/12............................................. 147 166 Wal-Mart Stores, Inc., 5.450% 08/01/06............................................. 173 142 Wal-Mart Stores, Inc., 4.550% 05/01/13............................................. 143 -------- 660 -------- DIVERSIFIED MANUFACTURING -- 0.0%+ 114 Fortune Brands, Inc., 2.875% 12/01/06............................................. 114 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.8% 95 Appalachian Power Company, Series G, 3.600% 05/15/08............................................. 94 210 Consolidated Edison Company of New York, 4.700% 06/15/09............................................. 218 195 Consolidated Edison Company of New York, Series 2000-C, 6.625% 12/15/05............................................. 204
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ELECTRIC POWER -- NON NUCLEAR --(CONTINUED) $ 55 Dominion Resources, Inc., 5.000% 03/15/13............................................. $ 55 29 New York State Electric & Gas, 5.750% 05/01/23............................................. 29 38 Ohio Edison Company, 4.000% 05/01/08............................................. 38 63 Pacific Gas and Electric Company, 4.200% 03/01/11............................................. 62 89 Pacific Gas and Electric Company, 6.050% 03/01/34............................................. 91 106 Pepco Holdings, Inc., 3.750% 02/15/06............................................. 107 9 Pepco Holdings, Inc., 5.500% 08/15/07............................................. 9 374 Progress Energy, Inc., 6.050% 04/15/07............................................. 396 72 PSEG Power LLC, 5.500% 12/01/15............................................. 72 101 Public Service Electric & Gas Company, MTN, Series C, 4.000% 11/01/08............................................. 102 373 TXU Energy Company, 7.000% 03/15/13............................................. 421 -------- 1,898 -------- ELECTRIC POWER -- NUCLEAR -- 0.7% 260 American Electric Power Company, Inc., 5.250% 06/01/15............................................. 261 189 CenterPoint Energy Resources Corporation, Series B, 7.875% 04/01/13............................................. 223 68 Duquesne Light Company, Series O, 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............................................. 160 92 FirstEnergy Corporation, Series C, 7.375% 11/15/31............................................. 103 305 MidAmerican Energy Holdings, Series D, 5.000% 02/15/14............................................. 301 102 Southern California Edison Company, 5.000% 01/15/14............................................. 104 68 Southern California Edison Company, 6.000% 01/15/34............................................. 71 190 Southern Company Capital Funding, Series A, 5.300% 02/01/07............................................. 201 58 Southern Power Company, Series B, 6.250% 07/15/12............................................. 63 90 Virginia Electric and Power Company, Series A, 5.375% 02/01/07............................................. 94 -------- 1,684 --------
SEE NOTES TO FINANCIAL STATEMENTS. 41 NATIONS FUNDS Nations Strategic Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- EXPLORATION AND PRODUCTION -- 0.2% $ 63 Devon Energy Corporation, 7.950% 04/15/32............................................. $ 78 340 XTO Energy, Inc., 7.500% 04/15/12............................................. 400 -------- 478 -------- FINANCE -- MISCELLANEOUS -- 1.3% 228 Associates Corporation of North America, 6.950% 11/01/18............................................. 266 155 CIT Group Inc., 7.375% 04/02/07............................................. 170 49 General Electric Capital Corporation, MTN, Series A, 5.875% 02/15/12............................................. 53 589 General Electric Capital Corporation, MTN, Series A, 6.750% 03/15/32............................................. 678 211 Household Finance Corporation, 7.200% 07/15/06............................................. 226 193 Household Finance Corporation, 5.875% 02/01/09............................................. 208 95 Household Finance Corporation, 6.375% 11/27/12............................................. 105 90 Household Finance Corporation, 7.350% 11/27/32............................................. 107 89 International Lease Finance Corporation, 4.500% 05/01/08............................................. 92 438 International Lease Finance Corporation, 3.500% 04/01/09............................................. 429 136 National Rural Utilities Cooperative Finance Corporation, 3.250% 10/01/07............................................. 135 140 National Rural Utilities Cooperative Finance Corporation, 5.750% 08/28/09............................................. 150 122 National Rural Utilities Cooperative Finance Corporation, MTN, Series C, 8.000% 03/01/32............................................. 158 -------- 2,777 -------- FOOD AND DRUG STORES -- 0.2% 335 Fred Meyer, Inc., 7.450% 03/01/08............................................. 374 33 The Kroger Company, 6.800% 04/01/11............................................. 37 40 The Kroger Company, 6.750% 04/15/12............................................. 45 -------- 456 -------- HEALTH SERVICES -- 0.2% 330 Wellpoint Health Networks Inc., 6.375% 06/15/06............................................. 348 42 Wellpoint Health Networks Inc., 6.375% 01/15/12............................................. 46 -------- 394 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- HEAVY MACHINERY -- 0.4% $ 239 Caterpillar Financial Services Corporation, 5.950% 05/01/06............................................. $ 250 289 Caterpillar Financial Services Corporation, 4.500% 06/15/09............................................. 297 186 Caterpillar Financial Services Corporation, MTN, Series F, 2.350% 09/15/06............................................. 184 244 John Deere Capital Corporation, MTN, Series D, 3.125% 12/15/05............................................. 245 -------- 976 -------- HOUSEHOLD PRODUCTS -- 0.0%+ 63 Procter & Gamble Company, 4.750% 06/15/07............................................. 66 -------- INSURANCE -- 0.6% 73 Hartford Life, Inc., 7.375% 03/01/31............................................. 88 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............................................. 109 44 Nationwide Financial Services, Inc., Class A, 5.900% 07/01/12............................................. 47 244 Principal Life Global, 6.250% 02/15/12(@).......................................... 269 81 Progressive Corporation, 6.250% 12/01/32............................................. 85 388 Prudential Funding LLC, MTN, 6.600% 05/15/08(@).......................................... 431 78 The Hartford Financial Services Group, Inc., 2.375% 06/01/06............................................. 77 68 The Hartford Financial Services Group, Inc., 4.625% 07/15/13............................................. 67 72 Unitrin Inc., 4.875% 11/01/10............................................. 71 -------- 1,529 -------- INTEGRATED OIL -- 0.3% 209 Conoco Funding Company, 5.450% 10/15/06............................................. 219 259 Conoco Funding Company, 6.350% 10/15/11............................................. 289 246 USX Corporation, 6.650% 02/01/06............................................. 258 -------- 766 --------
SEE NOTES TO FINANCIAL STATEMENTS. 42 NATIONS FUNDS Nations Strategic Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- INVESTMENT SERVICES -- 1.5% $ 115 Bear Stearns Companies Inc., 5.700% 01/15/07............................................. $ 121 388 Bear Stearns Companies Inc., 4.500% 10/28/10............................................. 391 138 Citigroup Global Markets Holdings Inc., 6.500% 02/15/08............................................. 151 42 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. 44 201 Credit Suisse First Boston USA, Inc., 6.125% 11/15/11............................................. 219 86 Goldman Sachs Group, Inc., 4.125% 01/15/08............................................. 88 568 Goldman Sachs Group, Inc., 5.700% 09/01/12............................................. 600 323 Lehman Brothers Holdings Inc., 4.000% 01/22/08............................................. 328 248 Lehman Brothers Holdings Inc., 7.000% 02/01/08............................................. 274 77 Lehman Brothers Holdings Inc., 7.875% 08/15/10............................................. 91 245 Merrill Lynch & Company, Inc., 6.000% 02/17/09............................................. 265 154 Merrill Lynch & Company, Inc., MTN, Series B, 3.700% 04/21/08............................................. 154 701 Morgan Stanley, 5.300% 03/01/13............................................. 719 -------- 3,445 -------- MEDICAL DEVICES AND SUPPLIES -- 0.0%+ 113 Bristol-Myers Squibb Company, 4.750% 10/01/06............................................. 117 -------- METALS AND MINING -- 0.1% 181 Alcoa Inc., 7.375% 08/01/10............................................. 211 -------- NATURAL GAS DISTRIBUTION -- 0.1% 223 NiSource Finance Corporation, 5.400% 07/15/14............................................. 229 96 Southern California Gas Company, Series HH, 5.450% 04/15/18............................................. 99 -------- 328 -------- NATURAL GAS PIPELINES -- 0.4% 201 Consolidated Natural Gas Company, Series B, 5.375% 11/01/06............................................. 209 276 Duke Capital LLC, 4.370% 03/01/09(a).......................................... 278 169 Kinder Morgan, Inc., 6.650% 03/01/05............................................. 172 244 Teppco Partners, LP, 7.625% 02/15/12............................................. 283 -------- 942 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- OIL REFINING AND MARKETING -- 0.1% $ 164 Valero Energy Corporation, 6.875% 04/15/12............................................. $ 185 -------- PAPER AND FOREST PRODUCTS -- 0.3% 132 Champion International Corporation, 7.350% 11/01/25............................................. 148 132 International Paper Company, 4.250% 01/15/09............................................. 132 118 International Paper Company, 5.850%** 10/30/12........................................... 125 100 MeadWestvaco Corporation, 6.850% 04/01/12............................................. 111 174 MeadWestvaco Corporation, 8.200% 01/15/30............................................. 209 -------- 725 -------- PUBLISHING AND ADVERTISING -- 0.2% 80 Knight-Ridder, Inc., 7.125% 06/01/11............................................. 92 49 News America Holdings Inc., 9.250% 02/01/13............................................. 63 64 News America Holdings Inc., 6.550% 03/15/33............................................. 68 204 News America Holdings Inc., 8.150% 10/17/36............................................. 253 30 R. R. Donnelley & Sons Company, 4.950% 04/01/14............................................. 30 -------- 506 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.1% 212 Burlington Northern Santa Fe Corporation, 6.750% 07/15/11............................................. 238 -------- REAL ESTATE -- 0.2% 180 EOP Operating LP, 7.000% 07/15/11............................................. 202 268 EOP Operating LP, 4.750% 03/15/14............................................. 259 27 ERP Operating LP, 5.200% 04/01/13............................................. 27 -------- 488 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.2% 326 Camden Property Trust, 5.375% 12/15/13............................................. 329 120 Health Care Property Investors, Inc., 6.450% 06/25/12............................................. 130 -------- 459 -------- TELECOMMUNICATIONS SERVICES -- 1.0% 69 AT&T Wireless Services Inc., 8.125% 05/01/12............................................. 83 80 AT&T Wireless Services Inc., 8.750% 03/01/31............................................. 105 223 BellSouth Corporation, 5.000% 10/15/06............................................. 231
SEE NOTES TO FINANCIAL STATEMENTS. 43 NATIONS FUNDS Nations Strategic Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 76 BellSouth Telecommunications Inc., 6.375% 06/01/28............................................. $ 78 430 SBC Communications Inc., 5.750% 05/02/06............................................. 449 51 Sprint Capital Corporation, 6.125% 11/15/08............................................. 55 268 Sprint Capital Corporation, 8.375% 03/15/12............................................. 325 237 Sprint Capital Corporation, 8.750% 03/15/32............................................. 301 55 Verizon Global Funding Corporation, 7.750% 12/01/30............................................. 66 478 Verizon New England Inc., 6.500% 09/15/11............................................. 528 241 Verizon Pennsylvania Inc., Series A, 5.650% 11/15/11............................................. 254 -------- 2,475 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $35,327).............................................. 36,232 -------- FOREIGN BONDS AND NOTES -- 2.6% BROADCASTING AND CABLE -- 0.0%+ 30 Rogers Cable Inc., 6.250% 06/15/13............................................. 29 -------- BUILDING MATERIALS -- 0.1% 137 Hanson Overseas BV, 6.750% 09/15/05............................................. 142 -------- CHEMICALS -- SPECIALTY -- 0.0%+ 15 Potash Corporation of Saskatchewan Inc., 4.875% 03/01/13............................................. 15 -------- COMMERCIAL BANKING -- 0.7% 10,150(d) African Development Bank, 14.000% 11/04/04............................................ 1,575 203 Scotland International Finance, 4.250% 05/23/13(@).......................................... 195 -------- 1,770 -------- DIVERSIFIED MANUFACTURING -- 0.1% 225 Tyco International Group SA, 6.375% 10/15/11............................................. 249 -------- ELECTRIC POWER -- NON NUCLEAR -- 0.0%+ 104 Transalta Corporation, 5.750% 12/15/13............................................. 107 -------- FINANCE -- MISCELLANEOUS -- 0.1% 845(d) KFW International Finance Inc., 14.000% 11/04/04............................................ 131 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- FOOD PRODUCTS -- 0.0%+ $ 66 Unilever Capital Corporation, 6.875% 11/01/05............................................. $ 69 -------- INTEGRATED OIL -- 0.4% 243 BP Capital Markets, 2.750% 12/29/06............................................. 242 123 Pemex Project Funding Master Trust, 7.375% 12/15/14............................................. 134 359 Pemex Project Funding Master Trust, 8.625%** 02/01/22........................................... 408 64 Suncor Energy, Inc., 5.950% 12/01/34............................................. 66 -------- 850 -------- METALS AND MINING -- 0.2% 87 Alcan Inc., 6.450% 03/15/11............................................. 97 82 Alcan Inc., 7.250% 03/15/31............................................. 98 84 BHP Finance USA Ltd., 4.800% 04/15/13............................................. 85 132 Codelco Inc., 5.500% 10/15/13(@).......................................... 137 68 Placer Dome Inc., 6.450% 10/15/35............................................. 72 87 Rio Tinto Finance (USA) Ltd., 2.625% 09/30/08............................................. 84 -------- 573 -------- PUBLISHING AND ADVERTISING -- 0.1% 204 Thomson Corporation, 5.250% 08/15/13............................................. 211 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.1% 192 Canadian National Railway Company, 6.900% 07/15/28............................................. 217 -------- TELECOMMUNICATIONS SERVICES -- 0.8% 91 British Telecommunications, plc, 8.375% 12/15/10............................................. 110 43 British Telecommunications, plc, 8.875% 12/15/30............................................. 56 397 Deutsche Telekom International Finance BV, 5.250% 07/22/13............................................. 406 249 Deutsche Telekom International Finance BV, 8.750% 06/15/30............................................. 322 190 France Telecom SA, 9.250%** 03/01/31........................................... 252
SEE NOTES TO FINANCIAL STATEMENTS. 44 NATIONS FUNDS Nations Strategic Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 200 Telefonos de Mexico, SA, 4.500% 11/19/08............................................. $ 201 486 Telus Corporation, 7.500% 06/01/07............................................. 533 -------- 1,880 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $6,163)............................................... 6,243 -------- MORTGAGE-BACKED SECURITIES -- 18.2% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.6% 521 Fannie Mae, Series 2002-16, Class PG, 6.000% 04/25/17............................................. 551 558 Fannie Mae, Series 2002-47, Class QE, 5.500% 08/25/17............................................. 577 613 Freddie Mac, Series 2664, Class IO, 5.500% 05/15/27............................................. 71 599 Freddie Mac, Series 2692, Class IA, 5.500% 01/15/23............................................. 48 2,458 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.074%** 12/15/30........................................... 82 -------- 1,329 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 15.1% 10,070 5.000% 10/15/19(c).......................................... 10,227 4,117 5.000% 10/15/19(c).......................................... 4,181 398 6.500% 12/01/31-05/01/33.................................... 419 2,529 5.500% 05/10/34(c).......................................... 2,562 7,180 5.000% 07/12/34(c).......................................... 7,104 10,982 6.500% 07/12/34(c).......................................... 11,516 -------- 36,009 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 2.5% 1,325 5.500% 07/19/33(c).......................................... 1,347 4,483 5.500% 07/19/33(c).......................................... 4,559 -------- 5,906 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $43,330).............................................. 43,244 -------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- 12.1% 6,847 Federal Republic of Brazil, 2.125%** 04/15/12........................................... 6,341 1,250 Federal Republic of Brazil, 12.750% 01/15/20............................................ 1,584 314 Hellenic Republic, 6.950% 03/04/08............................................. 351 400 Malaysia, 7.500% 07/15/11............................................. 469 342 Quebec (Province of), 7.500% 09/15/29............................................. 443
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- (CONTINUED) $ 216 Region of Lombardy, 5.804% 10/25/32............................................. $ 228 1,749 Republic of Argentina, Series 2031, .000%** 06/19/31(b)......................................... 513 300 Republic of Bulgaria, 8.250% 01/15/15(@).......................................... 370 46 Republic of Chile, 5.500% 01/15/13............................................. 48 792 Republic of Colombia, 9.750% 04/09/11............................................. 895 300 Republic of Colombia, 10.750% 01/15/13............................................ 344 300 Republic of Columbia, 11.750% 02/25/20............................................ 367 100 Republic of Ecuador, 12.000% 11/15/12(@)......................................... 99 550 Republic of Ecuador, (7.000%) due 08/15/30 8.000% beginning 08/15/04(@)................................ 446 218 Republic of Italy, 2.750% 12/15/06............................................. 218 602 Republic of Italy, 3.750% 12/14/07............................................. 609 200 Republic of Panama, 9.375% 07/23/12............................................. 227 704 Republic of Peru, 5.000%** 03/07/17........................................... 648 1,200 Republic of Philippines, 8.875% 04/15/08............................................. 1,317 200 Republic of Philippines, 10.625% 03/16/25............................................ 214 342 Republic of Poland, 5.250% 01/15/14............................................. 354 500 Republic of South Africa, 7.375% 04/25/12............................................. 564 176 Republic of South Africa, 6.500% 06/02/14............................................. 188 500 Republic of Turkey, 12.375% 06/15/09............................................ 623 750 Republic of Turkey, 11.500% 01/23/12............................................ 934 667 Republic of Venezuela, 2.750%** 12/18/07........................................... 663 250 Republic of Venezuela, 9.250% 09/15/27............................................. 246 4,800 Russian Federation, (5.000%) due 03/31/30 7.500% beginning 03/31/07(@)................................ 4,616 400 United Mexican States, 8.375% 01/14/11............................................. 469 181 United Mexican States, 6.375% 01/16/13............................................. 191 2,050 United Mexican States, 11.500% 05/15/26##.......................................... 3,085
SEE NOTES TO FINANCIAL STATEMENTS. 45 NATIONS FUNDS Nations Strategic Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- (CONTINUED) $ 391 United Mexican States, 7.500% 04/08/33............................................. $ 411 550 United Mexican States, Series A, 9.875% 02/01/10............................................. 678 -------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $25,918).............................................. 28,753 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 3.6% FEDERAL FARM CREDIT BANK (FFCB) -- 0.1% 280 2.500% 03/15/06............................................. 280 -------- FEDERAL HOME LOAN BANK (FHLB) -- 0.3% 300 2.000% 02/13/06............................................. 298 300 3.625% 11/14/08............................................. 301 -------- 599 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.7% 750 4.250% 06/15/05............................................. 761 1,000 1.875% 02/15/06............................................. 991 680 5.125% 10/15/08............................................. 721 550 5.750% 03/15/09............................................. 598 546 4.875% 03/15/07-11/15/13.................................... 565 406 6.750% 03/15/31............................................. 485 -------- 4,121 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 1.5% 394 2.625% 11/15/06............................................. 392 490 4.375% 09/15/12(a).......................................... 489 2,728 4.375% 03/15/13-07/17/13.................................... 2,653 -------- 3,534 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $8,431)............................................... 8,534 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- U.S. TREASURY OBLIGATIONS -- 9.3% U.S. TREASURY BONDS -- 0.9% $ 1,810 6.250% 08/15/23............................................. $ 2,113 50 6.875% 08/15/25............................................. 63 -------- 2,176 -------- U.S. TREASURY NOTES -- 4.5% 300 2.500% 05/31/06............................................. 300 2,000 2.750% 06/30/06............................................. 2,009 250 2.375% 08/15/06............................................. 249 500 2.625% 03/15/09............................................. 487 1,800 3.125% 04/15/09............................................. 1,789 900 3.875% 05/15/09............................................. 922 450 4.000% 06/15/09............................................. 463 190 3.625% 07/15/09(a).......................................... 192 900 3.500% 08/15/09............................................. 905 1,290 4.250% 08/15/13............................................. 1,309 96 4.000% 02/15/14............................................. 95 715 4.750% 05/15/14(a).......................................... 751 1,070 4.250% 08/15/14(a).......................................... 1,081 -------- 10,552 -------- U.S. TREASURY STRIPS -- 3.9% 2,250 Interest only, 4.319%*** 11/15/13.......................................... 1,524 4,550 Interest only, 5.239%*** 05/15/23.......................................... 1,737 7,000 Principal only, 3.263%*** 11/15/08##........................................ 6,123 -------- 9,384 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $21,643).............................................. 22,112 -------- SHORT TERM INVESTMENTS -- 0.0%+ U.S. TREASURY BILLS -- 0.0%+ (Cost $50) 50 1.883%*** 02/10/05.......................................... 50 --------
SEE NOTES TO FINANCIAL STATEMENTS. 46 NATIONS FUNDS Nations Strategic Income Fund SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
SHARES VALUE (000) (000) -------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 51.7% 7,199 High Yield Portfolio(@)(@)##.................................. $ 71,073 51,829 Nations Cash Reserves, Capital Class Shares#.................. 51,829 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $122,467)............................................. 122,902 -------- TOTAL INVESTMENTS (Cost $276,291*).................................. 118.1% 281,019 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (18.1)% (43,065) -------- NET ASSETS.......................................... 100.0% $237,954 ========
--------------- * Federal income tax information (see Note 12). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2004. (@) 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%. # 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 $2,706. ##All or a portion of security segregated as collateral for futures contracts and To Be Announced (TBA). (a) All or portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $2,570 and $2,615, respectively. (c) TBA -- Securities purchased on a forward commitment basis. (d) Principal amount denominated in South African Rand. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 47 NATIONS FUNDS Nations High Yield Bond Fund SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE (000) ---------------------------------------------------------------------------------------- INVESTMENT COMPANIES -- 100.1% Investment in Nations Master Investment Trust, High Yield Bond Master Portfolio*........................................... $1,079,045 ---------- TOTAL INVESTMENTS................................... 100.1% 1,079,045 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (0.1)% (1,229) ---------- NET ASSETS.......................................... 100.0% $1,077,816 ==========
--------------- *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. SEE NOTES TO FINANCIAL STATEMENTS. 48 [This page intentionally left blank] 49 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 2004 (UNAUDITED)
SHORT- SHORT-TERM INTERMEDIATE INCOME GOVERNMENT ----------------------------------- (IN THOUSANDS) ASSETS: Non-affiliated investments, at cost......................... $ 1,149,375 $ 365,483 Affiliated investments, at cost............................. 64,343 38,269 -------------- -------------- Non-affiliated investments, at value........................ 1,145,171 367,359 Affiliated investments, at value............................ 64,343 38,269 Cash........................................................ 958 -- Unrealized appreciation on forward foreign exchange contracts................................................. -- -- Receivable for investment securities sold................... 6,957 -- Receivable for Fund shares sold............................. 485 168 Dividends receivable........................................ 26 6 Interest receivable......................................... 12,094 2,462 Receivable for variation margin............................. 23 38 -------------- -------------- Total assets............................................ 1,230,057 408,302 -------------- -------------- LIABILITIES: Collateral on securities loaned............................. (42,189) (30,745) Shareholder servicing and distribution fees payable......... (45) (30) Investment advisory fee payable............................. (194) (93) Administration fee payable.................................. (214) (68) Variation margin/due to broker.............................. -- (29) Unrealized depreciation on forward foreign exchange contracts................................................. -- -- Payable for investment securities purchased................. (6,549) -- Income distribution payable................................. (1,568) (697) Payable for Fund shares redeemed............................ (1,535) (400) Accrued Trustees' fees and expenses......................... (66) (85) Accrued expenses and other liabilities...................... (272) (123) -------------- -------------- Total liabilities....................................... (52,632) (32,270) -------------- -------------- NET ASSETS.................................................. $ 1,177,425 $ 376,032 ============== ============== NET ASSETS CONSIST OF: Undistributed net investment income/(distributions in excess of net investment income)................................. $ 1,148 $ (13) Accumulated net realized gain/(loss) on investments sold, future contracts, swaps, options and currency contracts... (2,264) (1,058) Net unrealized appreciation/(depreciation) on: Investments............................................... (4,204) 1,876 Future contracts.......................................... (6) 29 Currency contracts........................................ -- -- Paid-in capital............................................. 1,182,751 375,198 -------------- -------------- NET ASSETS.................................................. $ 1,177,425 $ 376,032 ============== ============== PRIMARY A SHARES: Net assets.................................................. $1,037,439,545 $ 313,288,970 Number of shares outstanding................................ 104,552,618 74,542,983 Net asset value and redemption price per share.............. $ 9.92 $ 4.20 INVESTOR A SHARES: Net assets.................................................. $ 114,486,391 $ 34,943,839 Number of shares outstanding................................ 11,520,581 8,320,642 Net asset value and redemption price per share.............. $ 9.94 $ 4.20 Maximum sales charge........................................ 1.00% 3.25% Maximum offering price per share............................ $ 10.04 $ 4.34 INVESTOR B SHARES: Net assets.................................................. $ 1,567,494 $ 22,631,668 Number of shares outstanding................................ 157,865 5,384,541 Net asset value and redemption price per share+............. $ 9.93 $ 4.20 INVESTOR C SHARES: Net assets.................................................. $ 23,931,899 $ 5,167,242 Number of shares outstanding................................ 2,409,650 1,231,421 Net asset value and redemption price per share+............. $ 9.93 $ 4.20
--------------- +The redemption price per share is equal to net asset value less any applicable contingent deferred sales charges. SEE NOTES TO FINANCIAL STATEMENTS. 50 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED) SEPTEMBER 30, 2004(UNAUDITED)
GOVERNMENT INTERMEDIATE STRATEGIC HIGH YIELD SECURITIES BOND BOND INCOME BOND ------------------------------------------------------------------------------------------- $ 168,498 $ 660,536 $ 2,564,749 $ 153,824 $ 1,017,446 39,885 -- 152,735 122,467 -- -------------- -------------- -------------- -------------- -------------- 170,532 670,541 2,597,675 158,117 1,079,045 39,885 -- 153,317 122,902 -- -- -- 867 120 -- -- -- -- 12 -- 18 -- -- -- -- 86 377 1,439 202 1,443 5 -- 614 575 -- 1,109 -- 17,411 1,548 -- -- -- 29 1 -- -------------- -------------- -------------- -------------- -------------- 211,635 670,918 2,771,352 283,477 1,080,488 -------------- -------------- -------------- -------------- -------------- (36,582) -- (88,176) (2,706) -- (41) (17) (18) (34) (190) (57) -- (577) (78) -- (24) (94) (383) (43) (158) (56) -- (160) (4) -- -- -- (228) (30) -- -- -- (569,580) (41,522) -- (249) -- (4,507) (721) -- (244) (768) (3,367) (141) (2,101) (80) (46) (103) (67) (31) (91) (142) (1,702) (177) (192) -------------- -------------- -------------- -------------- -------------- (37,424) (1,067) (668,801) (45,523) (2,672) -------------- -------------- -------------- -------------- -------------- $ 174,211 $ 669,851 $ 2,102,551 $ 237,954 $ 1,077,816 ============== ============== ============== ============== ============== $ (407) $ 3 $ 11,509 $ 728 $ 92 (1,443) (2,251) 3,033 (14,089) 25,359 2,034 10,005 33,508 4,728 61,599 314 -- 869 43 -- -- -- (219) (19) -- 173,713 662,094 2,053,851 246,563 990,766 -------------- -------------- -------------- -------------- -------------- $ 174,211 $ 669,851 $ 2,102,551 $ 237,954 $ 1,077,816 ============== ============== ============== ============== ============== $ 92,186,738 $ 631,881,900 $2,056,061,191 $ 173,677,523 $ 724,986,824 8,706,814 65,279,576 205,390,009 17,010,176 75,976,608 $ 10.59 $ 9.68 $ 10.01 $ 10.21 $ 9.54 $ 42,822,212 $ 24,037,966 $ 33,671,552 $ 29,939,273 $ 162,288,446 4,050,109 2,475,263 3,366,081 2,935,239 17,126,246 $ 10.57 $ 9.71 $ 10.00 $ 10.20 $ 9.48 4.75% 3.25% 3.25% 4.75% 4.75% $ 11.10 $ 10.04 $ 10.34 $ 10.71 $ 9.95 $ 37,973,076 $ 10,072,028 $ 11,230,881 $ 31,331,521 $ 136,160,438 3,586,355 1,042,323 1,122,296 3,069,812 14,393,923 $ 10.59 $ 9.66 $ 10.01 $ 10.21 $ 9.46 $ 1,229,356 $ 3,859,560 $ 1,587,389 $ 3,005,495 $ 54,380,508 116,446 357,223 158,696 294,649 5,770,867 $ 10.56 $ 10.80 $ 10.00 $ 10.20 $ 9.42
SEE NOTES TO FINANCIAL STATEMENTS. 51 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2004
SHORT- SHORT-TERM INTERMEDIATE INCOME GOVERNMENT --------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 16,189 $ 6,078 Dividends (Net of foreign withholding taxes of $0, $0, $0, $0, $0, $0 and $0, respectively).......................... -- -- Dividend income from affiliated funds....................... 175 33 Securities lending.......................................... 21 23 Allocated from portfolio: Interest+................................................... -- -- Dividends (Net of foreign withholding taxes of $0, $0, $0, $0, $0, $0 and $1, respectively)+......................... -- -- Dividend income from affiliated funds+...................... -- -- Securities lending+......................................... -- -- Expenses+................................................... -- -- -------------- -------------- Total investment income................................. 16,385 6,134 -------------- -------------- EXPENSES: Investment advisory fee..................................... 1,807 581 Administration fee.......................................... 1,326 426 Transfer agent fees......................................... 174 66 Custodian fees.............................................. 45 18 Legal and audit fees........................................ 45 43 Registration and filing fees................................ 27 24 Trustees' fees and expenses................................. 12 12 Printing expense............................................ 27 15 Other....................................................... 27 9 Non-recurring costs (see Note 13)........................... 223 72 Costs assumed by Bank of America Corporation (see Note 13)....................................................... (223) (72) -------------- -------------- Subtotal................................................ 3,490 1,194 Shareholder servicing and distribution fees: Investor A Shares......................................... 148 45 Investor B Shares......................................... 8 121 Investor C Shares......................................... 138 29 -------------- -------------- Total expenses.......................................... 3,784 1,389 Fees waived by investment advisor, administrator and/or distributor (see Note 3).................................. (602) -- Fees reduced by credits allowed by the custodian (see Note 3)........................................................ (9) --* -------------- -------------- Net expenses............................................ 3,173 1,389 -------------- -------------- NET INVESTMENT INCOME/(LOSS)................................ 13,212 4,745 -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... 4,445 (620) Swap contracts............................................ (5,802) 94 Written options........................................... -- (43) Futures contracts......................................... 213 65 Foreign currency and net other assets..................... (920) -- Allocated from Portfolio: Security transactions+.................................... -- -- Foreign currency and net other assets+.................... -- -- -------------- -------------- Net realized gain/(loss) on investments..................... (2,064) (504) -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities................................................ (13,141) (6,448) Swap contracts............................................ 250 835 Written options........................................... -- -- Futures contracts......................................... (206) (180) Foreign currency and net other assets..................... 421 (661) Securities allocated from Portfolio+...................... -- -- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... (12,676) (6,454) -------------- -------------- Net realized and unrealized gain/(loss) on investments...... (14,740) (6,958) -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ (1,528) $ (2,213) ============== ==============
--------------- *Amount represents less than $500. + Allocated from Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 52 NATIONS FUNDS STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
GOVERNMENT INTERMEDIATE STRATEGIC HIGH YIELD SECURITIES BOND BOND INCOME BOND -------------------------------------------------------------------------------------------------------------------- $ 3,201 $ -- $ 34,623 $ 2,932 $ -- -- -- 2,553 3,085 -- 22 -- 2,836 266 -- 14 -- 36 4 -- -- 12,441 -- -- 43,207 -- -- -- -- 142 -- 86 -- -- 403 -- 27 -- -- 155 -- (1,604) -- -- (3,297) -------------- -------------- -------------- -------------- -------------- 3,237 10,950 40,048 6,287 40,610 -------------- -------------- -------------- -------------- -------------- 456 -- 4,306 586 -- 201 580 2,376 258 961 32 112 339 35 180 13 -- 82 13 -- 43 38 49 44 39 22 21 24 22 36 12 5 12 12 5 15 12 34 23 27 12 5 66 13 7 34 -- 400 -- -- (34) -- (400) -- -- -------------- -------------- -------------- -------------- -------------- 806 773 7,288 1,006 1,255 56 32 43 38 203 196 53 60 160 684 7 22 8 16 277 -------------- -------------- -------------- -------------- -------------- 1,065 880 7,399 1,220 2,419 (137) (171) (817) (117) -- --* -- (6) --* -- -------------- -------------- -------------- -------------- -------------- 928 709 6,576 1,103 2,419 -------------- -------------- -------------- -------------- -------------- 2,309 10,241 33,472 5,184 38,191 -------------- -------------- -------------- -------------- -------------- (597) -- 31,827 2,481 -- 76 -- (19,390) (2,216) -- (21) -- (240) (15) -- 98 -- 437 7 -- -- -- (2,217) (613) -- -- (1,646) -- -- 27,701 -- 56 -- -- 93 -------------- -------------- -------------- -------------- -------------- (444) (1,590) 10,417 (356) 27,794 -------------- -------------- -------------- -------------- -------------- (3,330) -- (32,111) (1,338) -- 409 -- 6,031 73 -- -- -- -- -- -- 132 -- (932) (24) -- (336) -- (2,494) 372 -- -- (10,749) -- -- (32,775) -------------- -------------- -------------- -------------- -------------- (3,125) (10,749) (29,506) (917) (32,775) -------------- -------------- -------------- -------------- -------------- (3,569) (12,339) (19,089) (1,273) (4,981) -------------- -------------- -------------- -------------- -------------- $ (1,260) $ (2,098) $ 14,383 $ 3,911 $ 33,210 ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 53 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
SHORT-TERM INCOME --------------------------------- SIX MONTHS ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 13,212 $ 23,506 Net realized gain/(loss) on investments..................... (2,064) 4,336 Net change in unrealized appreciation/(depreciation) of investments............................................... (12,676) (1,216) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ (1,528) 26,626 Distributions to shareholders from net investment income: Primary A Shares.......................................... (12,025) (20,742) Primary B Shares.......................................... -- -- Investor A Shares......................................... (1,195) (2,668) Investor B Shares......................................... (10) (24) Investor C Shares......................................... (178) (561) Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... (1,918) (3,843) Primary B Shares.......................................... -- -- Investor A Shares......................................... (215) (643) Investor B Shares......................................... (3) (10) Investor C Shares......................................... (54) (250) Net increase/(decrease) in net assets from Fund share transactions.............................................. (60,824) 278,953 -------------- -------------- Net increase/(decrease) in net assets....................... (77,950) 276,838 NET ASSETS: Beginning of period......................................... 1,255,375 978,537 -------------- -------------- End of period............................................... $ 1,177,425 $ 1,255,375 ============== ============== Undistributed net investment income/(distributions in excess of net investment income) at end of period................ $ 1,148 $ 1,344 ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 54 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
SHORT-INTERMEDIATE GOVERNMENT GOVERNMENT SECURITIES ----------------------------------------------- --------------------------------------------------------------- SIX MONTHS SIX MONTHS ENDED ENDED 9/30/04 YEAR ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 --------------------------------------------------------------------------------------------------------------------- $ 4,745 $ 10,357 $ 2,309 $ 5,482 (504) 4,469 (444) 1,516 (6,454) (3,399) (3,125) (1,039) -------------- -------------- -------------- -------------- (2,213) 11,427 (1,260) 5,959 (4,169) (9,343) (1,403) (3,495) -- (1) -- -- (428) (997) (592) (1,477) (194) (495) (372) (1,013) (47) (150) (14) (45) (1,477) (7,311) -- -- -- (2) -- -- (166) (854) -- -- (111) (664) -- -- (28) (220) -- -- (31,957) (86,028) (23,003) (55,916) -------------- -------------- -------------- -------------- (40,790) (94,638) (26,644) (55,987) 416,822 511,460 200,855 256,842 -------------- -------------- -------------- -------------- $ 376,032 $ 416,822 $ 174,211 $ 200,855 ============== ============== ============== ============== $ (13) $ 80 $ (407) $ (335) ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 55 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
INTERMEDIATE BOND --------------------------------- SIX MONTHS ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ 10,241 $ 20,882 Net realized gain/(loss) on investments..................... -- -- Net realized gain/(loss) on investments allocated from Portfolio+................................................ (1,590) 15,588 Net change in unrealized appreciation/(depreciation) of investments............................................... -- -- Net change in unrealized appreciation/(depreciation) of investments allocated from Portfolio+..................... (10,749) (5,461) -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ (2,098) 31,009 Distributions to shareholders from net investment income: Primary A Shares.......................................... (9,809) (20,528) Investor A Shares......................................... (350) (854) Investor B Shares......................................... (108) (268) Investor C Shares......................................... (39) (108) Distributions to shareholders from net realized gain on investments: Primary A Shares.......................................... (6,029) (8,162) Investor A Shares......................................... (244) (374) Investor B Shares......................................... (103) (158) Investor C Shares......................................... (37) (66) Net increase/(decrease) in net assets from Fund share transactions.............................................. (36,903) (22,073) -------------- -------------- Net increase/(decrease) in net assets....................... (55,720) (21,582) NET ASSETS: Beginning of period......................................... 725,571 747,153 -------------- -------------- End of period............................................... $ 669,851 $ 725,571 ============== ============== Undistributed net investment income/(distributions in excess of net investment income) at end of period................ $ 3 $ 68 ============== ==============
--------------- + Allocated from Intermediate Bond Master Portfolio and High Yield Bond Master Portfolio, respectively. SEE NOTES TO FINANCIAL STATEMENTS. 56 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
BOND STRATEGIC INCOME HIGH YIELD BOND ------------------------------- ------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/04 YEAR ENDED 9/30/04 YEAR ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ------------------------------------------------------------------------------------------------------- $ 33,472 $ 87,084 $ 5,184 $ 9,669 $ 38,191 $ 79,407 10,417 36,442 (356) 2,582 -- -- -- -- -- -- 27,794 42,845 (29,506) 20,000 (917) 8,193 -- -- -- -- -- -- (32,775) 101,158 -------------- -------------- -------------- -------------- -------------- -------------- 14,383 143,526 3,911 20,444 33,210 223,410 (33,856) (84,977) (3,924) (7,952) (26,302) (55,841) (514) (1,386) (678) (1,619) (5,783) (12,118) (132) (420) (588) (1,506) (4,402) (9,050) (19) (65) (61) (149) (1,778) (3,894) (19,136) (15,339) -- -- (20,392) (7,019) (304) (268) -- -- (3,852) (1,557) (109) (113) -- -- (4,043) (1,281) (15) (18) -- -- (1,624) (543) (171,721) (274,629) (4,337) 25,148 (57,299) 352,618 -------------- -------------- -------------- -------------- -------------- -------------- (211,423) (233,689) (5,677) 34,366 (92,265) 484,725 2,313,974 2,547,663 243,631 209,265 1,170,081 685,356 -------------- -------------- -------------- -------------- -------------- -------------- $ 2,102,551 $ 2,313,974 $ 237,954 $ 243,631 $ 1,077,816 $ 1,170,081 ============== ============== ============== ============== ============== ============== $ 11,509 $ 12,558 $ 728 $ 795 $ 92 $ 166 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 57 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
SHORT-TERM INCOME ---------------------------------------------- SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 17,247 $ 171,144 65,685 $ 659,056 Issued as reinvestment of dividends....................... 357 3,536 401 4,014 Redeemed.................................................. (22,323) (221,384) (35,361) (354,471) ------- --------- ------- --------- Net increase/(decrease)................................... (4,719) $ (46,704) 30,725 $ 308,599 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 1,235 $ 12,282 6,738 $ 67,710 Issued as reinvestment of dividends....................... 103 1,022 234 2,349 Redeemed.................................................. (1,948) (19,353) (7,719) (77,467) ------- --------- ------- --------- Net increase/(decrease)................................... (610) $ (6,049) (747) $ (7,408) ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... -- $ -- -- $ -- Issued as reinvestment of dividends....................... 1 12 3 30 Redeemed.................................................. (19) (196) (42) (418) ------- --------- ------- --------- Net increase/(decrease)................................... (18) $ (184) (39) $ (388) ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 139 $ 1,378 749 $ 7,518 Issued as reinvestment of dividends....................... 16 155 55 553 Redeemed.................................................. (950) (9,420) (2,984) (29,921) ------- --------- ------- --------- Net increase/(decrease)................................... (795) $ (7,887) (2,180) $ (21,850) ======= ========= ======= ========= Total net increase/(decrease)............................. (6,142) $ (60,824) 27,759 $ 278,953 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 58 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
SHORT-INTERMEDIATE GOVERNMENT -------------------------------------------- SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 4,200 $ 17,547 11,185 $ 47,894 Issued as reinvestment of dividends....................... 74 307 376 1,628 Redeemed.................................................. (9,871) (41,158) (26,101) (111,957) ------ -------- ------- --------- Net increase/(decrease)................................... (5,597) $(23,304) (14,540) $ (62,435) ====== ======== ======= ========= PRIMARY B SHARES: Issued as reinvestment of dividends....................... -- $ -- 1 $ 3 Redeemed.................................................. -- -- (38) (161) ------ -------- ------- --------- Net increase/(decrease)................................... -- $ -- (37) $ (158) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 568 $ 2,373 3,139 $ 13,477 Shares issued upon conversion from Investor B shares...... 26 108 61 261 Issued as reinvestment of dividends....................... 109 455 334 1,437 Redeemed.................................................. (1,509) (6,292) (5,300) (22,624) ------ -------- ------- --------- Net increase/(decrease)................................... (806) $ (3,356) (1,766) $ (7,449) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 321 $ 1,341 1,207 $ 5,207 Issued as reinvestment of dividends....................... 57 235 213 919 Shares redeemed upon conversion into Investor A shares.... (26) (108) (61) (261) Redeemed.................................................. (1,273) (5,315) (3,718) (15,901) ------ -------- ------- --------- Net increase/(decrease)................................... (921) $ (3,847) (2,359) $ (10,036) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 42 $ 175 451 $ 1,947 Issued as reinvestment of dividends 12 49 64 273 Redeemed.................................................. (403) (1,674) (1,913) (8,170) ------ -------- ------- --------- Net increase/(decrease)................................... (349) $ (1,450) (1,398) $ (5,950) ====== ======== ======= ========= Total net increase/(decrease)............................. (7,673) $(31,957) (20,100) $ (86,028) ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 59 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
GOVERNMENT SECURITIES ------------------------------------------ SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 164 $ 1,723 777 $ 8,212 Issued as reinvestment of dividends....................... 2 17 5 50 Redeemed.................................................. (1,359) (14,149) (3,174) (33,843) ------ -------- ------ -------- Net increase/(decrease)................................... (1,193) $(12,409) (2,392) $(25,581) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 86 $ 901 1,107 $ 11,828 Shares issued upon conversion from Investor B shares...... 10 102 49 532 Shares issued upon conversion from Investor C shares...... --* 2 32 338 Issued as reinvestment of dividends....................... 42 441 102 1,090 Redeemed.................................................. (683) (7,125) (2,213) (23,499) ------ -------- ------ -------- Net increase/(decrease)................................... (545) $ (5,679) (923) $ (9,711) ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 93 $ 964 359 $ 3,850 Issued as reinvestment of dividends....................... 29 303 76 814 Shares redeemed upon conversion into Investor A shares.... (10) (102) (49) (532) Redeemed.................................................. (563) (5,861) (2,144) (22,804) ------ -------- ------ -------- Net increase/(decrease)................................... (451) $ (4,696) (1,758) $(18,672) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 19 $ 192 50 $ 535 Shares redeemed upon conversion into Investor A shares.... --* (2) (32) (338) Issued as reinvestment of dividends....................... 1 8 3 29 Redeemed.................................................. (41) (417) (205) (2,178) ------ -------- ------ -------- Net increase/(decrease)................................... (21) $ (219) (184) $ (1,952) ====== ======== ====== ======== Total net increase/(decrease)............................. (2,210) $(23,003) (5,257) $(55,916) ====== ======== ====== ========
--------------- *Amount represents less than 500 shares and/or $500, as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 60 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
INTERMEDIATE BOND -------------------------------------------- SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ -------------------- SHARES DOLLARS SHARES DOLLARS -------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 4,554 $ 43,865 14,503 $ 143,638 Issued as reinvestment of dividends....................... 242 2,296 342 3,356 Redeemed.................................................. (7,963) (76,724) (16,479) (163,401) ------ -------- ------- --------- Net increase/(decrease)................................... (3,167) $(30,563) (1,634) $ (16,407) ====== ======== ======= ========= INVESTOR A SHARES: Sold...................................................... 290 $ 2,794 1,140 $ 11,368 Shares issued upon conversion from Investor B shares...... 5 51 6 63 Issued as reinvestment of dividends....................... 53 511 105 1,035 Redeemed.................................................. (723) (6,979) (1,605) (15,909) ------ -------- ------- --------- Net increase/(decrease)................................... (375) $ (3,623) (354) $ (3,443) ====== ======== ======= ========= INVESTOR B SHARES: Sold...................................................... 33 $ 322 211 $ 2,098 Issued as reinvestment of dividends....................... 18 167 34 331 Shares redeemed upon conversion into Investor A shares.... (5) (51) (6) (63) Redeemed.................................................. (202) (1,929) (427) (4,208) ------ -------- ------- --------- Net increase/(decrease)................................... (156) $ (1,491) (188) $ (1,842) ====== ======== ======= ========= INVESTOR C SHARES: Sold...................................................... 23 $ 242 193 $ 2,140 Issued as reinvestment of dividends....................... 2 21 5 54 Redeemed.................................................. (140) (1,489) (234) (2,575) ------ -------- ------- --------- Net increase/(decrease)................................... (115) $ (1,226) (36) $ (381) ====== ======== ======= ========= (3,813) $(36,903) (2,212) $ (22,073) ====== ======== ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 61 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
BOND ---------------------------------------------- SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 6,623 $ 65,332 31,886 $ 319,377 Issued as reinvestment of dividends....................... 997 9,726 1,520 15,288 Redeemed.................................................. (24,413) (240,760) (59,490) (596,534) ------- --------- ------- --------- Net increase/(decrease)................................... (16,793) $(165,702) (26,084) $(261,869) ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 781 $ 7,665 3,272 $ 32,682 Shares issued upon conversion from Investor B Shares...... 11 106 53 529 Shares issued upon conversion from Investor C Shares...... -- -- 3 34 Issued as reinvestment of dividends....................... 56 546 96 963 Redeemed.................................................. (1,231) (12,095) (4,062) (40,483) ------- --------- ------- --------- Net increase/(decrease)................................... (383) $ (3,778) (638) $ (6,275) ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 27 $ 270 223 $ 2,240 Issued as reinvestment of dividends....................... 20 195 43 428 Shares redeemed upon conversion into Investor A Shares.... (11) (106) (53) (529) Redeemed.................................................. (243) (2,397) (763) (7,593) ------- --------- ------- --------- Net increase/(decrease)................................... (207) $ (2,038) (550) $ (5,454) ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 9 $ 84 31 $ 313 Shares redeemed upon conversion into Investor A Shares.... -- -- (3) (34) Issued as reinvestment of dividends....................... 2 20 5 49 Redeemed.................................................. (31) (307) (136) (1,359) ------- --------- ------- --------- Net increase/(decrease)................................... (20) $ (203) (103) $ (1,031) ======= ========= ======= ========= Total net increase/(decrease)............................. (17,403) $(171,721) (27,375) $(274,629) ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 62 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
STRATEGIC INCOME ------------------------------------------ SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 2,143 $ 21,481 7,114 $ 71,908 Issued as reinvestment of dividends....................... 10 99 24 237 Redeemed.................................................. (1,996) (19,972) (4,177) (42,064) ------ -------- ------ -------- Net increase/(decrease)................................... 157 $ 1,608 2,961 $ 30,081 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 176 $ 1,759 773 $ 7,769 Shares issued upon conversion from Investor B Shares...... 27 274 5 55 Issued as reinvestment of dividends....................... 41 415 94 944 Redeemed.................................................. (478) (4,790) (989) (9,957) ------ -------- ------ -------- Net increase/(decrease)................................... (234) $ (2,342) (117) $ (1,189) ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 69 $ 696 444 $ 4,458 Issued as reinvestment of dividends....................... 39 394 99 996 Shares redeemed upon conversion into Investor A Shares.... (27) (274) (5) (55) Redeemed.................................................. (378) (3,777) (907) (9,127) ------ -------- ------ -------- Net increase/(decrease)................................... (297) $ (2,961) (369) $ (3,728) ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 10 $ 98 163 $ 1,638 Issued as reinvestment of dividends....................... 3 33 8 82 Redeemed.................................................. (77) (773) (172) (1,736) ------ -------- ------ -------- Net increase/(decrease)................................... (64) $ (642) (1) $ (16) ====== ======== ====== ======== Total net increase/(decrease)............................. (438) $ (4,337) 2,474 $ 25,148 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 63 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
HIGH YIELD BOND ---------------------------------------------- SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 -------------------- -------------------- SHARES DOLLARS SHARES DOLLARS ---------------------------------------------- (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 12,312 $ 117,094 64,383 $ 603,900 Issued as reinvestment of dividends....................... 673 6,293 1,006 9,559 Redeemed.................................................. (18,020) (172,511) (38,114) (363,681) ------- --------- ------- --------- Net increase/(decrease)................................... (5,035) $ (49,124) 27,275 $ 249,778 ======= ========= ======= ========= INVESTOR A SHARES: Sold...................................................... 7,694 $ 71,506 33,590 $ 309,598 Shares issued upon conversion from Investor B Shares...... 19 184 6 60 Issued as reinvestment of dividends....................... 699 6,497 808 7,636 Redeemed.................................................. (8,030) (75,716) (29,066) (271,166) ------- --------- ------- --------- Net increase/(decrease)................................... 382 $ 2,471 5,338 $ 46,128 ======= ========= ======= ========= INVESTOR B SHARES: Sold...................................................... 712 $ 6,710 5,309 $ 48,924 Issued as reinvestment of dividends....................... 543 5,029 631 5,950 Shares redeemed upon conversion into Investor A Shares.... (19) (184) (6) (60) Redeemed.................................................. (1,654) (15,551) (2,304) (21,948) ------- --------- ------- --------- Net increase/(decrease)................................... (418) $ (3,996) 3,630 $ 32,866 ======= ========= ======= ========= INVESTOR C SHARES: Sold...................................................... 717 $ 6,699 4,655 $ 42,641 Issued as reinvestment of dividends....................... 199 1,835 252 2,352 Redeemed.................................................. (1,616) (15,184) (2,265) (21,147) ------- --------- ------- --------- Net increase/(decrease)................................... (700) $ (6,650) 2,642 $ 23,846 ======= ========= ======= ========= Total net increase/(decrease)............................. (5,771) $ (57,299) 38,885 $ 352,618 ======= ========= ======= =========
SEE NOTES TO FINANCIAL STATEMENTS. 64 [This page intentionally left blank] 65 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 INCOME PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $10.06 $0.11 $(0.12) $(0.01) $(0.11) Year ended 3/31/2004#..................... 10.08 0.22 0.04 0.26 (0.23) Year ended 3/31/2003#..................... 9.82 0.31 0.29 0.60 (0.31) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.07 $0.10 $(0.11) $(0.01) $(0.10) Year ended 3/31/2004#..................... 10.10 0.20 0.02 0.22 (0.20) Year ended 3/31/2003#..................... 9.83 0.28 0.30 0.58 (0.28) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.07 $0.06 $(0.12) $(0.06) $(0.06) Year ended 3/31/2004#..................... 10.09 0.13 0.03 0.16 (0.13) Year ended 3/31/2003#..................... 9.83 0.21 0.29 0.50 (0.21) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.07 $0.06 $(0.12) $(0.06) $(0.06) Year ended 3/31/2004#..................... 10.09 0.13 0.03 0.16 (0.13) Year ended 3/31/2003#..................... 9.83 0.21 0.29 0.50 (0.21) 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) DISTRIBUTIONS FROM NET REALIZED GAINS -------------- SHORT-TERM INCOME PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $(0.02) Year ended 3/31/2004#..................... (0.05) Year ended 3/31/2003#..................... (0.03) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... -- INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $(0.02) Year ended 3/31/2004#..................... (0.05) Year ended 3/31/2003#..................... (0.03) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... -- INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $(0.02) Year ended 3/31/2004#..................... (0.05) Year ended 3/31/2003#..................... (0.03) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... -- INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $(0.02) Year ended 3/31/2004#..................... (0.05) Year ended 3/31/2003#..................... (0.03) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... --
--------------- + 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. (a)The effect of the custodial expense offset (see Note 3) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The Reimbursement from Investment Adviser is included in the ratio of operating expenses to average net assets (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. (d)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.57% for Primary A Shares, 0.82% for Investor A Shares and 1.57% each for Investor B and Investor C Shares. (e)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 13) is included in the ratio of operating expenses to average net assets without the waivers and/or expense reimbursements. Absent these non-recurring cost, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.58% for Primary A, 0.83% for Investor A Shares and 1.58% each for Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 66 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ---------------------------------------------------------------------------------------------------------------- $(0.13) $ 9.92 (0.08)% $1,037,440 0.48%(a)+ 2.24%+ 36% 0.62%(a)(e)+ (0.28) 10.06 2.60 1,099,131 0.47(a)(b) 2.24 164 0.60(a)(d) (0.34) 10.08 6.18 791,981 0.50(a) 2.99 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) $(0.12) $ 9.94 (0.10)% $ 114,486 0.73%(a)+ 1.99%+ 36% 0.87%(a)(e)+ (0.25) 10.07 2.23 122,202 0.72(a)(b) 1.99 164 0.85(a)(d) (0.31) 10.10 6.01 130,036 0.75(a) 2.74 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) $(0.08) $ 9.93 (0.58)% $ 1,567 1.48%(a)+ 1.24%+ 36% 1.62%(a)(e)+ (0.18) 10.07 1.58 1,775 1.47(a)(b) 1.24 164 1.60(a)(d) (0.24) 10.09 5.12 2,170 1.50(a) 1.99 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) $(0.08) $ 9.93 (0.57)% $ 23,932 1.48%(a)+ 1.24%+ 36% 1.62%(a)(e)+ (0.18) 10.07 1.58 32,267 1.47(a)(b) 1.24 164 1.60(a)(d) (0.24) 10.09 5.12 54,350 1.50(a) 1.99 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)
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 ------------------------------------------------------------------------- SHORT-INTERMEDIATE GOVERNMENT PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $4.29 $0.05 $(0.07) $(0.02) $(0.05) Year ended 3/31/2004#..................... 4.36 0.10 0.02 0.12 (0.11) Year ended 3/31/2003#..................... 4.16 0.12 0.32 0.44 (0.13) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $4.29 $0.05 $(0.07) $(0.02) $(0.05) Year ended 3/31/2004#..................... 4.36 0.09 0.02 0.11 (0.10) Year ended 3/31/2003#..................... 4.16 0.11 0.32 0.43 (0.12) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $4.29 $0.03 $(0.07) $(0.04) $(0.03) Year ended 3/31/2004#..................... 4.36 0.06 0.02 0.08 (0.07) Year ended 3/31/2003#..................... 4.16 0.07 0.32 0.39 (0.08) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $4.28 $0.03 $(0.06) $(0.03) $(0.03) Year ended 3/31/2004#..................... 4.36 0.06 0.01 0.07 (0.07) Year ended 3/31/2003#..................... 4.15 0.07 0.33 0.40 (0.08) 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) DISTRIBUTIONS FROM NET REALIZED GAINS ------------- SHORT-INTERMEDIATE GOVERNMENT PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $(0.02) Year ended 3/31/2004#..................... (0.08) Year ended 3/31/2003#..................... (0.11) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... -- INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $(0.02) Year ended 3/31/2004#..................... (0.08) Year ended 3/31/2003#..................... (0.11) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... -- INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $(0.02) Year ended 3/31/2004#..................... (0.08) Year ended 3/31/2003#..................... (0.11) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... -- INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $(0.02) Year ended 3/31/2004#..................... (0.08) Year ended 3/31/2003#..................... (0.11) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... --
--------------- + 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. (a)The effect of the custodial expense offset (see Note 3) on the operating expense ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (b)The Reimbursement from Investment Adviser is included in the ratio of operating expenses to average net assets (with waivers). Absent this reimbursement, the ratios of operating expenses to average net assets would have been 0.57% for Primary A Shares, 0.82% for Investor A Shares, 1.57% each for Investor B and Investor C Shares. (d)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.57% for Primary A Shares, 0.82% for Investor A Shares and 1.57% each for Investor B and Investor C Shares. (e)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 13) is included in the ratio of operating expenses to average net assets without the waivers and/or expense reimbursements. Absent these non-recurring cost, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.62% for Primary A, 0.87% for Investor A Shares and 1.62% each for Investor B and Investor C Shares. (f) Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 68 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS ------------------------------------------------------------------------------------------------------------ $(0.07) $4.20 (0.36)% $313,289 0.62%(a)+ 2.55%+ 14% 0.65%(a)(e)+ (0.19) 4.29 2.80 343,859 0.56(a)(b) 2.38 206 0.60(a)(d) (0.24) 4.36 10.74 413,039 0.62(a) 2.71 180 0.62(a) (0.18) 4.16 4.68 390,543 0.62(a) 4.24 486 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) $(0.07) $4.20 (0.49)% $ 34,944 0.87%(a)+ 2.30%+ 14% 0.90%(a)(e)+ (0.18) 4.29 2.55 39,133 0.81(a)(b) 2.13 206 0.85(a)(d) (0.23) 4.36 10.46 47,480 0.87(a) 2.46 180 0.87(a) (0.17) 4.16 4.42 41,926 0.87(a) 3.99 486 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) $(0.05) $4.20 (0.86)% $ 22,632 1.62%(a)+ 1.55%+ 14% 1.65%(a)(e)+ (0.15) 4.29 1.78 27,060 1.56(a)(b) 1.38 206 1.60(a)(d) (0.19) 4.36 9.64 37,804 1.62(a) 1.71 180 1.62(a) (0.13) 4.16 3.64 17,474 1.62(a) 3.24 486 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) $(0.05) $4.20 (0.63)% $ 5,167 1.62%(a)+ 1.55%(f)+ 14% 1.65%(a)(e)+ (0.15) 4.28 1.56 6,770 1.56(a)(b) 1.38 206 1.60(a)(d) (0.19) 4.36 9.91 12,975 1.62(a) 1.71 180 1.62(a) (0.12) 4.15 3.63 6,820 1.62(a) 3.24 486 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)
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 ----------------------------------------------------------------------------- GOVERNMENT SECURITIES PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)...... $10.76 $0.15 $(0.17) $(0.02) $(0.15) Year ended 3/31/2004#........................ 10.74 0.29 0.05 0.34 (0.32) Year ended 3/31/2003#........................ 9.79 0.28 0.98 1.26 (0.31) Year ended 3/31/2002#........................ 9.87 0.43 (0.07) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)...... $10.75 $0.14 $(0.18) $(0.04) $(0.14) Year ended 3/31/2004#........................ 10.72 0.26 0.06 0.32 (0.29) Year ended 3/31/2003#........................ 9.78 0.26 0.97 1.23 (0.29) Year ended 3/31/2002#........................ 9.86 0.41 (0.07) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)...... $10.76 $0.10 $(0.17) $(0.07) $(0.10) Year ended 3/31/2004#........................ 10.74 0.19 0.04 0.23 (0.21) Year ended 3/31/2003#........................ 9.79 0.19 0.97 1.16 (0.21) Year ended 3/31/2002#........................ 9.87 0.33 (0.07) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)...... $10.73 $0.10 $(0.17) $(0.07) $(0.10) Year ended 3/31/2004#........................ 10.71 0.18 0.05 0.23 (0.21) Year ended 3/31/2003#........................ 9.76 0.19 0.97 1.16 (0.21) Year ended 3/31/2002#........................ 9.84 0.33 (0.07) 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)
--------------- + 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 3) 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 is included in the ratio of operating expenses to average net assets (with waivers). The effect of this reimbursement on the operating expense ratio (with waivers) was less than 0.01%. (e)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.80% for Primary A Shares, 1.05% for Investor A Shares and 1.80% each for Investor B and Investor C Shares. (f) The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 13) is included in the ratio of operating expenses to average net assets without the waivers and/or expense reimbursements. Absent these non-recurring cost, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.88% for Primary A, 1.13% for Investor A Shares and 1.88% each for Investor B and Investor C Shares. SEE NOTES TO FINANCIAL STATEMENTS. 70 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS ---------------- RATIO OF RATIO OF NET RATIO OF NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING VALUE END OF EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO END OF TOTAL PERIOD TO AVERAGE TO AVERAGE TURNOVER AVERAGE PERIOD RETURN++ (000) NET ASSETS NET ASSETS RATE NET ASSETS --------------------------------------------------------------------------------------------------- $10.59 (0.15)% $ 92,187 0.73%(a)+ 2.81%+ 15% 0.92%(a)(f)+ 10.76 3.20 106,547 0.66(a)(c) 2.68 244 0.83(a)(e) 10.74 13.02 132,009 0.71(a) 2.72 196 0.84(a) 9.79 3.70 168,621 0.73(a) 4.31 522 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 $10.57 (0.36)% $ 42,822 0.98%(a)+ 2.56%+ 15% 1.17%(a)(f)+ 10.75 3.04 49,385 0.91(a)(c) 2.43 244 1.08(a)(e) 10.72 12.65 59,171 0.96(a) 2.47 196 1.09(a) 9.78 3.45 54,167 0.98(a) 4.06 522 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 $10.59 (0.64)% $ 37,973 1.73%(a)+ 1.81%+ 15% 1.92%(a)(f)+ 10.76 2.18 43,451 1.66(a)(c) 1.68 244 1.83(a)(e) 10.74 11.91 62,227 1.71(a) 1.72 196 1.84(a) 9.79 2.67 49,611 1.73(a) 3.31 522 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 $10.56 (0.64)% $ 1,229 1.73%(a)+ 1.81%+ 15% 1.92%(a)(f)+ 10.73 2.19 1,472 1.66(a)(c) 1.68 244 1.83(a)(e) 10.71 11.95 3,435 1.71(a) 1.72 196 1.84(a) 9.76 2.68 2,200 1.73(a) 3.31 522 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
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 ----------------------------------------------------------------------------- INTERMEDIATE BOND+++ PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)...... $ 9.94 $0.15 $(0.17) $(0.02) $(0.15) Year ended 3/31/2004#........................ 9.93 0.29 0.14 0.43 (0.30) 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 9/30/2004# (unaudited)...... $ 9.97 $0.14 $(0.17) $(0.03) $(0.14) Year ended 3/31/2004#........................ 9.96 0.26 0.15 0.41 (0.28) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)...... $ 9.92 $0.10 $(0.17) $(0.07) $(0.10) Year ended 3/31/2004#........................ 9.91 0.19 0.14 0.33 (0.20) 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 9/30/2004# (unaudited)...... $11.07 $0.10 $(0.18) $(0.08) $(0.10) Year ended 3/31/2004#........................ 11.02 0.20 0.17 0.37 (0.20) 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)
--------------- + 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/(loss) has been calculated using the monthly average shares method. SEE NOTES TO FINANCIAL STATEMENTS. 72 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF NET RATIO OF TOTAL NET ASSET NET ASSETS OPERATING INVESTMENT OPERATING DISTRIBUTIONS DIVIDENDS VALUE END OF EXPENSES INCOME/(LOSS) EXPENSES TO FROM NET AND END OF TOTAL PERIOD TO AVERAGE TO AVERAGE AVERAGE REALIZED GAINS DISTRIBUTIONS PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS ------------------------------------------------------------------------------------------------------------------ $(0.09) $(0.24) $ 9.68 (0.16)% $631,882 0.65%+ 3.04%+ 0.70%+ (0.12) (0.42) 9.94 4.44 680,063 0.68 2.94 0.69 (0.12) (0.46) 9.93 10.62 695,894 0.70 3.46 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+ $(0.09) $(0.23) $ 9.71 (0.30)% $ 24,038 0.90%+ 2.79%+ 0.95%+ (0.12) (0.40) 9.97 4.17 28,403 0.93 2.69 0.94 (0.12) (0.44) 9.96 10.43 31,915 0.95 3.21 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+ $(0.09) $(0.19) $ 9.66 (0.67)% $ 10,072 1.65%+ 2.04%+ 1.70%+ (0.12) (0.32) 9.92 3.41 11,883 1.68 1.94 1.69 (0.12) (0.37) 9.91 9.59 13,739 1.70 2.46 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) $(0.19) $10.80 (0.70)% $ 3,859 1.65%+ 2.04%+ 1.70%+ (0.12) (0.32) 11.07 3.42 5,222 1.68 1.94 1.69 (0.12) (0.35) 11.02 9.59 5,605 1.70 2.46 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+
SEE NOTES TO FINANCIAL STATEMENTS. 73 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME ------------------------------------------------------------------------- BOND PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $10.17 $0.16 $(0.07) $ 0.09 $(0.16) Year ended 3/31/2004#..................... 10.00 0.36 0.23 0.59 (0.36) Year ended 3/31/2003#..................... 9.66 0.35 0.53 0.88 (0.37) Year ended 3/31/2002#..................... 9.78 0.53 (0.11) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.17 $0.15 $(0.08) $ 0.07 $(0.15) Year ended 3/31/2004#..................... 9.99 0.34 0.24 0.58 (0.34) Year ended 3/31/2003#..................... 9.65 0.33 0.53 0.86 (0.35) Year ended 3/31/2002#..................... 9.78 0.50 (0.12) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.17 $0.11 $(0.07) $ 0.04 $(0.11) Year ended 3/31/2004#..................... 9.99 0.26 0.24 0.50 (0.26) Year ended 3/31/2003#..................... 9.66 0.25 0.52 0.77 (0.27) Year ended 3/31/2002#..................... 9.78 0.43 (0.11) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.17 $0.11 $(0.08) $ 0.03 $(0.11) Year ended 3/31/2004#..................... 9.99 0.26 0.24 0.50 (0.26) Year ended 3/31/2003#..................... 9.65 0.25 0.53 0.78 (0.27) Year ended 3/31/2002#..................... 9.78 0.43 (0.12) 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) DISTRIBUTIONS FROM NET REALIZED GAINS -------------- BOND PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $(0.09) Year ended 3/31/2004#..................... (0.06) Year ended 3/31/2003#..................... (0.17) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.04) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $(0.09) Year ended 3/31/2004#..................... (0.06) Year ended 3/31/2003#..................... (0.17) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.04) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $(0.09) Year ended 3/31/2004#..................... (0.06) Year ended 3/31/2003#..................... (0.17) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.04) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $(0.09) Year ended 3/31/2004#..................... (0.06) Year ended 3/31/2003#..................... (0.17) Year ended 3/31/2002#..................... -- Year ended 3/31/2001...................... -- Year ended 3/31/2000...................... (0.04)
--------------- + 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 3) 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%. (d)The effect of the non-recurring costs assumed by Bank of America Corporation is included in the ratio of operating expenses to average net assets without waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.66% for Primary A Shares, 0.91% for Investor A Shares and 1.66% each for Investor B and Investor C Shares. (e)The effect of the non-recurring costs assumed by Bank of America Corporation (see Note 13) is included in the ratio of operating expenses to average net assets without the waivers and/or expense reimbursements. Absent these non-recurring costs, the ratio of operating expenses to average net assets without waivers and/or expense reimbursements would have been 0.68% for Primary A, 0.93% for Investor A Shares and 1.68% each for Investor B and Investor C Shares. (f) Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 74 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 ---------------------------------------------------------------------------------------------------------------------------- $(0.25) $10.01 0.93% $2,056,061 0.60%(a)+ 3.11%+ 162% 0.71%(a)(e)+ (0.42) 10.17 6.07 2,260,519 0.65(a) 3.61 398 0.68(a)(d) (0.54) 10.00 9.32 2,482,229 0.67(a) 3.50 488 0.67(a) (0.54) 9.66 4.33 2,256,647 0.68(a)(b) 5.28 314 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 $(0.24) $10.00 0.71% $ 33,672 0.85%(a)+ 2.86%(f)+ 162% 0.96%(a)(e)+ (0.40) 10.17 5.92 38,114 0.90(a) 3.36 398 0.93(a)(d) (0.52) 9.99 9.05 43,828 0.92(a) 3.25 488 0.92(a) (0.51) 9.65 3.96 40,902 0.93(a)(b) 5.03 314 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 $(0.20) $10.01 0.43% $ 11,231 1.60%(a)+ 2.11%+ 162% 1.71%(a)(e)+ (0.32) 10.17 5.13 13,518 1.65(a) 2.61 398 1.68(a)(d) (0.44) 9.99 8.13 18,783 1.67(a) 2.50 488 1.67(a) (0.44) 9.66 3.29 16,877 1.68(a)(b) 4.28 314 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 $(0.20) $10.00 0.33% $ 1,587 1.60%(a)+ 2.11%+ 162% 1.71%(a)(e)+ (0.32) 10.17 5.13 1,823 1.65(a) 2.61 398 1.68(a)(d) (0.44) 9.99 8.24 2,823 1.67(a) 2.50 488 1.67(a) (0.44) 9.65 3.18 2,387 1.68(a)(b) 4.28 314 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
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 INCOME PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $10.26 $0.23 $(0.05) $ 0.18 $(0.23) Year ended 3/31/2004#..................... 9.84 0.44 0.49 0.93 (0.51) Year ended 3/31/2003#..................... 9.61 0.46 0.23 0.69 (0.46) Year ended 3/31/2002#..................... 9.89 0.58 (0.26) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $10.25 $0.22 $(0.05) $ 0.17 $(0.22) Year ended 3/31/2004#..................... 9.83 0.42 0.49 0.91 (0.49) Year ended 3/31/2003#..................... 9.60 0.45 0.23 0.68 (0.45) Year ended 3/31/2002#..................... 9.88 0.55 (0.26) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.26 $0.18 $(0.05) $ 0.13 $(0.18) Year ended 3/31/2004#..................... 9.84 0.34 0.49 0.83 (0.41) Year ended 3/31/2003#..................... 9.61 0.37 0.23 0.60 (0.37) Year ended 3/31/2002#..................... 9.89 0.48 (0.26) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.25 $0.18 $(0.05) $ 0.13 $(0.18) Year ended 3/31/2004#..................... 9.83 0.34 0.49 0.83 (0.41) Year ended 3/31/2003#..................... 9.60 0.37 0.23 0.60 (0.37) Year ended 3/31/2002#..................... 9.88 0.48 (0.26) 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) DISTRIBUTIONS FROM NET REALIZED GAINS -------------- STRATEGIC INCOME PRIMARY A SHARES Six months ended 9/30/2004# (unaudited)... $ -- Year ended 3/31/2004#..................... -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.00)## INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $ -- Year ended 3/31/2004#..................... -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.00)## INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $ -- Year ended 3/31/2004#..................... -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.00)## INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $ -- Year ended 3/31/2004#..................... -- Year ended 3/31/2003#..................... -- Year ended 3/31/2002#..................... -- Year ended 3/31/2001#..................... -- Year ended 3/31/2000...................... (0.00)##
--------------- + Annualized. ++ Total return represents aggregate total return for the period indicated, assumes reinvestment of all distributions, and does not reflect the deduction of any applicable sales charges. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01 per share. (a)The effect of the custodial expense offset (see Note 3) on the operating expenses ratio, with and without waivers and/or expense reimbursements, was less than 0.01%. (c)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 76 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO RATIO 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) $10.21 1.86% $173,678 0.76%(a)+ 4.61%+ 174% 0.86%(a)+ (0.51) 10.26 9.68 172,932 0.71(a) 4.40 411 0.81(a) (0.46) 9.84 7.39 136,688 0.78(a) 4.78 255 0.88(a) (0.60) 9.61 3.30 143,283 0.81(a) 5.52 199 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) $(0.22) $10.20 1.74% $ 29,939 1.01%(a)+ 4.36%+ 174% 1.11%(a)+ (0.49) 10.25 9.42 32,481 0.96(a) 4.15 411 1.06(a) (0.45) 9.83 7.14 32,300 1.03(a) 4.53 255 1.13(a) (0.57) 9.60 3.05 26,543 1.06(a) 5.27 199 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) $(0.18) $10.21 1.35% $ 31,332 1.76%(a)+ 3.61%+ 174% 1.86%(a)+ (0.41) 10.26 8.60 34,537 1.71(a) 3.40 411 1.81(a) (0.37) 9.84 6.33 36,736 1.78(a) 3.78 255 1.88(a) (0.50) 9.61 2.28 45,960 1.81(a) 4.52 199 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) $(0.18) $10.20 1.36% $ 3,005 1.76%(a)+ 3.61%(c)+ 174% 1.86%(a)+ (0.41) 10.25 8.61 3,681 1.71(a) 3.40 411 1.81(a) (0.37) 9.83 6.33 3,541 1.78(a) 3.78 255 1.88(a) (0.50) 9.60 2.28 1,997 1.81(a) 4.52 199 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)
SEE NOTES TO FINANCIAL STATEMENTS. 77 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS VALUE NET AND UNREALIZED (DECREASE) IN FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT OF PERIOD INCOME/(LOSS)# INVESTMENTS FROM OPERATIONS INCOME -------------------------------------------------------------------------- HIGH YIELD BOND+++ PRIMARY A SHARES Six months ended 9/30/2004 (unaudited).... $ 9.86 $0.35 $(0.04) $ 0.31 $(0.35) Year ended 3/31/2004...................... 8.57 0.73 1.38 2.11 (0.73) 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 9/30/2004 (unaudited).... $ 9.79 $0.34 $(0.03) $ 0.31 $(0.34) Year ended 3/31/2004...................... 8.52 0.70 1.36 2.06 (0.70) 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 9/30/2004 (unaudited).... $ 9.77 $0.30 $(0.03) $ 0.27 $(0.30) Year ended 3/31/2004...................... 8.51 0.64 1.35 1.99 (0.64) 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 9/30/2004 (unaudited).... $ 9.74 $0.30 $(0.04) $ 0.26 $(0.30) Year ended 3/31/2004...................... 8.47 0.64 1.36 2.00 (0.64) 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. (a)Reflects overall Fund ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 78 NATIONS FUNDS FINANCIAL HIGHLIGHTS (CONTINUED)
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING DISTRIBUTIONS DIVIDENDS NET ASSET END OF EXPENSES INCOME/(LOSS) EXPENSES TO FROM NET AND VALUE TOTAL PERIOD TO AVERAGE TO AVERAGE AVERAGE REALIZED GAINS DISTRIBUTIONS END OF PERIOD RETURN++ (000) NET ASSETS NET ASSETS NET ASSETS ----------------------------------------------------------------------------------------------------------------------------- $(0.28) $(0.63) $9.54 3.45% $724,987 0.85%+ 7.35%+ 0.85%+ (0.09) (0.82) 9.86 25.30 798,398 0.84 7.62 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+ $(0.28) $(0.62) $9.48 3.34% $162,288 1.10%+ 7.10%(a)+ 1.10%+ (0.09) (0.79) 9.79 24.88 163,916 1.09 7.37 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+ $(0.28) $(0.58) $9.46 3.08% $136,160 1.85%+ 6.35%(a)+ 1.85%+ (0.09) (0.73) 9.77 23.91 144,762 1.84 6.62 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+ $(0.28) $(0.58) $9.42 2.98% $ 54,381 1.85%+ 6.35%(a)+ 1.85%+ (0.09) (0.73) 9.74 24.15 63,005 1.84 6.62 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. 79 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, 2004, Funds Trust offered fifty-six 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 (96.8% for Intermediate Bond Master Portfolio and 94.2% for High Yield Bond Master Portfolio at September 30, 2004). 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 and restrictions. These risks are likely to be greater in emerging markets than in developed markets. 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: Debt securities will generally be valued using prices provided by a pricing service which may employ various indications of value including but not limited to broker-dealer quotations. Certain debt security prices provided by 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 generally valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on Nasdaq are generally valued at the Nasdaq official closing price. Securities which are primarily traded on foreign securities exchanges are generally valued at the last available sale price on their respective exchanges where primarily traded. 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. 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. 80 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 4:00 p.m. London time by a pricing service. 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 81 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 assets and liabilities. 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 net realized gain/(loss) on investments. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of assets and liabilities. A realized gain or loss is recorded upon termination of swap agreements and is equal to the difference between the Fund's basis in the swap and the proceeds from (or cost of) the closing transaction. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. If there is a default by the counterparty to a swap contract, a Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. There is no assurance that the swap contract counterparties will be able to meet their obligations pursuant to the swap contracts or that, in the event of default, a Fund will succeed in pursuing contractual remedies. A Fund thus assumes the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to the swap contracts. The creditworthiness of the swap contract counterparties is closely monitored in order to minimize this risk. The use of derivative instruments involves, to varying degrees, elements of market risk in excess of the amount recognized in the Statements of assets and liabilities. 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 gains on the underlying securities purchased and any unrealized losses on the underlying securities sold. 82 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Market risk exists on these commitments to the same extent as if the securities were owned on a settled basis and gains 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. Bond and Strategic Income Funds had dollar rolls outstanding as of September 30, 2004, which are included in Payable for investment securities purchased on each Statements of assets and liabilities. 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 dollar roll commitments. Securities transactions and investment income: Securities transactions are recorded on trade date. Realized gains and losses are computed based on the specific identification of securities sold. Interest income, adjusted for accretion of discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income (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. 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 Sub-chapter M, 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 are allocated to separate classes of shares based upon their relative net asset value on the date the expenses are incurred. 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. 83 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 Agreement, BACAP is entitled to receive an advisory fee, calculated daily and payable monthly, based on the following maximum 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 DAILY FEES ON AVERAGE NET ASSETS FEES ON AVERAGE DAILY DAILY NET ASSETS BETWEEN $200 AND NET ASSETS UP TO $200 MILLION $250 MILLION EXCEEDING $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. 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, 2004, BACAP Distributors earned an annual rate of 0.17% of the Funds' average daily net assets (net of waivers and sub-administration fees) for its administration services. 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, 2004, Bank of America earned the following sub-transfer agent fees from the Funds for providing such services and these amounts are included in "Transfer agent fees" in each Fund's Statements of operations.
SUB-TRANSFER AGENT FEE FUND (000) ------------------------------------------------------------------------------------ Short-Term Income........................................... $13 Short-Intermediate Government............................... 5 Government Securities....................................... 2 Intermediate Bond........................................... 11 Bond........................................................ 31 Strategic Income............................................ 3 High Yield Bond............................................. 10
84 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2004, the Funds were informed that the distributor 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........................................... $ 4 $2 $ -- $ 2 Short-Intermediate Government............................... 6 1 40 --* Government Securities....................................... 14 -- 30 -- Intermediate Bond........................................... 7 -- 11 --* Bond........................................................ 5 -- 15 --* Strategic Income............................................ 14 -- 16 --* High Yield Bond............................................. 135 8 129 19
--------------- *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 an 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 assets and liabilities. 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 earn advisory and administration fees on the investments made in the Nations Cash Reserves in addition to the advisory and administration fees earned by BACAP and BACAP Distributors from the Funds. For the six months ended September 30, 2004, BACAP and BACAP Distributors earned the following fees related to investments in affiliated funds:
ADVISORY FEES ADMINISTRATION FEES (EARNED BY BACAP) (EARNED BY BACAP DISTRIBUTORS) FUND (000) (000) -------------------------------------------------------------------------------------------------------------- Short-Term Income........................................ $ 18 $ 9 Short-Intermediate Government............................ 3 2 Government Securities.................................... 2 1 Bond..................................................... 306 157 Strategic Income......................................... 29 15
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. 85 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. TOTAL OPERATING EXPENSE LIMITATIONS During the six months ended September 30, 2004 and until July 31, 2005, BACAP Distributors has agreed to waive 0.05% of its administration fees for Government Securities Fund. BACAP and/or its affiliates may, from time to time, reduce its fees payable by each Fund. During the six months ended September 30, 2004 and until July 31, 2005, 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, 2004 and until July 31, 2005, BACAP and/or BACAP Distributors has agreed to reimburse expenses and/or waive their fees to the extent that the total expenses (excluding interest expense and 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% Bond........................................................ 0.60% High Yield Bond Fund........................................ 0.93%
BACAP and/or BACAP Distributors is entitled to recover from Intermediate Bond Fund and Bond Fund any fees waived or expenses reimbursed by BACAP and/or BACAP Distributors 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. At September 30, 2004, for Intermediate Bond Fund no fees were recoverable by BACAP and/or BACAP Distributors pursuant to this arrangement. At September 30, 2004, for Bond Fund, $816,540 was recoverable. For the six months ended September 30, 2004, expenses of the Funds were reduced by $16,221 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. 4. 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 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 and paid monthly, 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. 86 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
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, at the rates shown above, under a separate servicing plan. 5. 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, 2004 were as follows:
PURCHASES SALES (000) (000) --------------------- Short-Term Income........................................... $169,894 $177,066 Short-Intermediate Government............................... 20 305 Government Securities....................................... 10 153 Bond........................................................ 100,986 104,699 Strategic Income............................................ 11,600 8,936
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2004 were as follows:
PURCHASES SALES (000) (000) ------------------------ Short-Term Income........................................... $ 243,696 $ 263,141 Short-Intermediate Government............................... 54,679 76,443 Government Securities....................................... 26,578 43,650 Bond........................................................ 3,355,004 3,369,087 Strategic Income............................................ 262,104 274,538
87 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 6. FUTURES CONTRACTS At September 30, 2004, 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) ------------------------------------------------------------------------------------------------------------------------------ SHORT-TERM INCOME FUND: U.S. 2 year Treasury Note Futures (long position) expiring December 2004(a).......................................... 250 $ 52,832 $ 52,808 $ (24) U.S. 5 year Treasury Note Futures (short position) expiring December 2004(a).......................................... 90 9,949 9,967 18 ----- Total net unrealized appreciation......................... $ (6) ===== SHORT-INTERMEDIATE GOVERNMENT FUND: U.S. 5 year Treasury Note Futures (long position) expiring December 2004(a).......................................... 55 6,061 6,091 $ 30 U.S. 10 year Treasury Note Futures (long position) expiring December 2004(a).......................................... 183 20,404 20,610 206 U.S. 20 year Treasury Bond Futures (short position) expiring December 2004(a).......................................... (94) (10,342) (10,549) (207) ----- Total net unrealized appreciation......................... $ 29 ===== GOVERNMENT SECURITIES FUND: U.S. 20 year Treasury Bond Futures (long position) expiring December 2004(a).......................................... 122 13,404 13,691 $ 287 U.S. 10 year Treasury Note Futures (long position) expiring December 2004(a).......................................... 30 3,345 3,379 34 U.S. 5 year Treasury Note Futures (short position) expiring December 2004(a).......................................... (10) (1,101) (1,108) (7) U.S. 2 year Treasury Note Futures (short position) expiring December 2004(a).......................................... (15) (3,168) (3,168) -- ----- Total net unrealized appreciation......................... $ 314 ===== BOND FUND: U.S. 5 year Treasury Note Futures (long position) expiring December 2004(a).......................................... 132 $ 14,547 $ 14,619 $ 72 U.S. 2 year Treasury Note Futures (long position) expiring December 2004(a).......................................... 95 20,076 20,067 (9) U.S. 20 year Treasury Bond Futures (long position) expiring December 2004(a).......................................... 395 43,397 44,326 929 U.S. 10 year Treasury Note Futures (short position) expiring December 2004(a).......................................... (124) (13,842) (13,965) (123) ----- Total net unrealized appreciation......................... $ 869 ===== STRATEGIC INCOME FUND: U.S. 20 year Treasury Bond Futures (long position) expiring December 2004(a).......................................... 11 1,208 1,234 $ 26 U.S. 5 year Treasury Note Futures (long position) expiring December 2004(a).......................................... 43 4,741 4,762 21 U.S. 10 year Treasury Note Futures (short position) expiring December 2004(a).......................................... (7) (784) (788) (4) ----- Total net unrealized appreciation......................... $ 43 =====
--------------- (a)Securities have been segregated as collateral for the Fund's open futures contracts. 88 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 7. WRITTEN OPTIONS Written options for the six months ended September 30, 2004 aggregated the following:
NUMBER PREMIUM OF RECEIVED SUMMARY OF WRITTEN OPTIONS (FUND) CONTRACTS* (000) ------------------------------------------------------------------------------------ SHORT-INTERMEDIATE GOVERNMENT: Outstanding at March 31, 2004............................... -- $ -- Contracts opened............................................ 0.64 4 Contracts closed............................................ -- -- Contracts expired........................................... (0.64) (4) ----- ---- Outstanding at September 30, 2004........................... -- $ -- ===== ==== GOVERNMENT SECURITIES: Outstanding at March 31, 2004............................... -- $ -- Contracts opened............................................ 0.30 2 Contracts closed............................................ -- -- Contracts expired........................................... (0.30) (2) ----- ---- Outstanding at September 30, 2004........................... -- $ -- ===== ==== BOND: Outstanding at March 31, 2004............................... -- $ -- Contracts opened............................................ 3.48 23 Contracts closed............................................ -- -- Contracts expired........................................... (3.48) (23) ----- ---- Outstanding at September 30, 2004........................... -- $ -- ===== ==== STRATEGIC INCOME: Outstanding at March 31, 2004............................... -- $ -- Contracts opened............................................ 0.22 1 Contracts closed............................................ -- -- Contracts expired........................................... (0.22) (1) ----- ---- Outstanding at September 30, 2004........................... -- $ -- ===== ====
--------------- *1 contract = $1,000,000 notional amount. 89 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 8. FORWARD FOREIGN CURRENCY CONTRACTS At September 30, 2004, 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) --------------------------------------------------------------------------------------------------------------------------------- BOND: CONTRACTS TO SELL South African Expiring November 5, 2004.................. Rand (7,643) $(1,062) $(1,174) $(112) South African Expiring November 5, 2004.................. Rand (7,205) (1029) (1,107) (78) South African Expiring November 5, 2004.................. Rand (2,193) (318) (336) (18) South African Expiring November 5, 2004.................. Rand (2,192) (318) (336) (18) South African Expiring November 5, 2004.................. Rand (285) (42) (44) (2) ----- Total net unrealized depreciation........ $(228) ===== STRATEGIC INCOME FUND: CONTRACTS TO SELL: South African Expiring November 5, 2004.................. Rand (10,762) (1,623) (1,653) (30) South African Expiring November 5, 2004.................. Rand (1,383) (224) (212) 12 ----- Total net unrealized depreciation........ $ (18) =====
--------------- *Amount represents less than $500. 9. SHARES OF BENEFICIAL INTEREST As of September 30, 2004, 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, 1998 and November 15, 1998 $0 - $249,999 Six years $250,000 - $499,999 Six years $500,000 - $999,999 Five years
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. 90 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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, 2004. During the six months ended September 30, 2004, 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 plus accrued income from investment of the collateral. 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. The income earned by each Fund from securities lending is included in its Statement of operations. At September 30, 2004, the following Funds had securities on loan:
MARKET MARKET VALUE OF VALUE LOANED SECURITIES OF COLLATERAL FUND (000) (000) ------------------------------------------------------------------------------------------------ Short-Term Income........................................... $40,997 $42,189 Short-Intermediate Government............................... 29,745 30,745 Government Securities....................................... 35,382 36,582 Bond........................................................ 85,546 88,176 Strategic Income............................................ 2,615 2,706
12. INCOME TAXES Information on the tax components of capital as of September 30, 2004 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............................... $1,213,718 $ 2,289 $(6,493) $(4,204) $ (6) Short-Intermediate Government................... 403,752 3,224 (1,348) 1,876 29 Government Securities........................... 208,383 2,962 (928) 2,034 314 Intermediate Bond............................... N/A* N/A* N/A* 10,005 -- Bond............................................ 2,717,484 41,214 (7,706) 33,508 650 Strategic Income................................ 276,291 5,056 (328) 4,728 24 High Yield...................................... N/A* N/A* N/A* 61,599 --
--------------- *See corresponding Master Portfolio for tax basis information. 91 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At March 31, 2004, the following Funds had available for federal income tax purposes unused capital losses as follows:
EXPIRING EXPIRING EXPIRING EXPIRING IN 2008 IN 2009 IN 2010 IN 2011 FUND (000) (000) (000) (000) -------------------------------------------------------------------------------------------------------- Government Securities..................................... $ 571 $ -- $ -- $ -- Strategic Income.......................................... 5,691 3,544 1,929 3,212
The future years utilization of the capital loss carryforward for the Government Securities Fund is subject to certain limitations. During the year ended March 31, 2004, the following Funds utilized capital losses as follows:
CAPITAL LOSSES UTILIZED FUND (000) ----------------------------------------------------------------------------- Government Securities....................................... $1,246 Strategic Income............................................ 5,664
13. CONTINGENCIES AND OTHER 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 various mutual funds including certain Funds. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and "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 Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name the Funds, among others, as defendants (see Civil Litigation below). The independent Trustees of the Funds have engaged independent legal counsel and, through them, accountants to evaluate the extent of any monetary impact to any Funds from discretionary market timing or from late trading. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds (the "Boards") 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 the Funds in connection with this matter. Assumptions and Reimbursements For the six months ended September 30, 2004, Bank of America Corporation has assumed $4.5 million of legal, shareholder communications, audit related, transfer agent, consulting and Trustee costs and fees incurred by the Funds impacted in connection with the regulatory and civil litigation matters discussed above. These non-recurring costs were allocated to 19 Funds based on their respective average nets assets for the six months ended September 30, 2004. These non-recurring costs on a per Fund basis are shown in that Fund's respective Statement of operations. Because these costs were borne by Bank of America Corporation and not any Fund, an offsetting waiver of these costs is also presented in each respective Fund's Statement of operations as, "Costs assumed by Bank of America Corporation". The impact to the expense ratio of each impacted Fund is reflected in the Fund's Financial highlights. Settlements in Principle with Regulators On March 15, 2004, Bank of America Corporation and FleetBoston Financial Corporation ("Fleet") entered into agreements in principle (each an "Agreement" and together, the "Agreements") with the NYAG and the SEC over 92 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) matters related to improper late trading and market timing of mutual funds. As noted below, on April 1, 2004, Bank of America Corporation acquired Fleet. Under the Agreements, Bank of America Corporation has agreed to pay $250 million in total disgorgement and restitution and a penalty of $125 million and FleetBoston Financial Corporation agreed to pay $70 million in total disgorgement and restitution and a penalty of $70 million. In addition, the Agreement with the NYAG requires an aggregate reduction in mutual fund fees of $32 million per year for five years across selected non-money market funds in the Nations Funds and Fleet mutual fund complexes. The final amount payable as restitution and whether such restitution will be effectuated through a Fund or directly to shareholders, has not yet been determined. When finalized, the Agreements will conclude the investigation by the NYAG and the SEC of Bank of America Corporation and its affiliates relating to late trading and market timing activities, provided that the NYAG and the SEC have reserved the right to continue their respective investigations of and actions against individuals. Management believes that the Agreements, and their finalization, could have a positive effect, but in no case will they have a material adverse effect, on any Fund's financial positions or results of operations. However, a review by the accountants engaged to investigate these matters for the Boards remains ongoing. Accordingly, an estimate of the financial impact on any Fund cannot currently be made. Bank of America Corporation Acquisition of Fleet On April 1, 2004, Bank of America Corporation acquired Fleet. As a result of this acquisition, Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributor, Inc. ("CFDI") are now indirect wholly-owned subsidiaries of Bank of America Corporation. The SEC and NYAG filed proceedings against both CMA and CFDI on February 24, 2004 alleging that they had violated certain provisions of the federal securities laws in connection with trading activity in mutual funds shares and violated certain New York anti-fraud statutes. In order to settle these matters, as noted above, Fleet entered into the March 15, 2004 Agreements with the NYAG and the SEC. In addition, both Bank of America and Fleet committed to use best efforts to implement certain enhanced governance and compliance procedures with respect to advised mutual funds and agreed to the retention of independent consultants to review compliance, control and other policies and procedures relating to their respective mutual fund advisory businesses. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, or if any final settlement includes an injunction against CMA or CFDI prohibiting them from engaging in certain conduct, CMA, CFDI or any company that is an affiliated person of CMA and CFDI could be barred from serving as an investment adviser or distributor for any investment company registered under the Investment Company Act of 1940. As a result of the Fleet acquisition, BACAP and BACAP Distributors are now affiliated persons of CMA and CFDI and, therefore, under these circumstances, could be barred from serving as an investment adviser or distributor for any registered investment company, including the Funds. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, it is expected that BACAP and BACAP Distributors would seek exemptive relief from the SEC to permit them to continue serving as the investment adviser and distributor of the Funds. Civil Litigation In connection with the events described in detail above, various parties have filed suit against certain Funds, their Boards and/or Bank of America Corporation (and affiliated entities). These cases have been consolidated in a multi-district proceeding and transferred to the Federal District Court in Maryland. These suits and certain regulatory investigations are ongoing. Accordingly, an estimate of the financial impact of this litigation on any Fund, if any, cannot currently be made. 93 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio and Nations High Yield Bond Master Portfolio Semi-Annual Report SEPTEMBER 30, 2004 (UNAUDITED) The following pages should be read in conjunction with Nations Intermediate Bond and Nations High Yield Bond Funds' Semi-Annual Report. 94 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 10.9% ASSET-BACKED -- AUTO LOANS -- 6.2% $ 2,544 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, 5.370% 06/12/08............................................. $ 2,585 3,068 Bank One Auto Securitization Trust, Series 2003-1, Class A3, 1.820% 09/20/07............................................. 3,043 5,811 BMW Vehicle Owner Trust, Series 2004-A, Class A4, 3.320% 02/25/09............................................. 5,830 209 Capital Auto Receivables Asset Trust, Series 2002-2, Class CTFS, 4.180% 10/15/07............................................. 211 1,698 Capital Auto Receivables Asset Trust, Series 2002-3, Class A2A, 3.050% 09/15/05............................................. 1,700 2,000 Chase Manhattan Auto Owner Trust, Series 2003-C, Class A3, 2.260% 11/15/07............................................. 1,991 1,015 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 5.180% 10/16/06............................................. 1,038 5,116 Ford Credit Auto Owner Trust, Series 2003-A, Class A4A, 2.700% 06/15/07............................................. 5,121 6,444 Honda Auto Receivables Owner Trust, Series 2004-1, Class A4, 3.060% 10/21/09............................................. 6,421 4,016 Household Automotive Trust, Series 2003-2, Class A3, 2.310% 04/17/08............................................. 4,003 289 Mitsubishi Motor Credit America, Inc. Automobile Trust, Series 2001-1, Class A4, 5.340% 12/15/05............................................. 290 3,220 Nissan Auto Receivables Owner Trust, Series 2003-C, Class A4, 2.700% 12/17/07............................................. 3,213 7,512 Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A3, 2.270% 10/22/07............................................. 7,485 -------- 42,931 -------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- 4.3% 6,860 Bank One Issuance Trust, Series 2002-A4, Class A4, 2.940% 06/16/08............................................. 6,888 3,552 Chase Credit Card Master Trust, Series 2002-2, Class C, 2.660%** 07/16/07........................................... 3,562 4,500 Citibank Credit Card Issuance Trust, Series 2001-A6, Class A6 5.650% 06/16/08............................................. 4,710 6,401 Citibank Credit Card Issuance Trust, Series 2003-A5, Class A5, 2.500% 04/07/08............................................. 6,377
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ASSET-BACKED -- CREDIT CARD RECEIVABLES -- (CONTINUED) $ 5,000 Discover Card Master Trust I, Series 2001-6, Class A, 5.750% 12/15/08............................................. $ 5,245 3,000 MBNA Master Credit Card Trust, Series 1998-F, Class A, 1.980%** 02/15/08........................................... 3,003 -------- 29,785 -------- ASSET-BACKED -- HOME EQUITY LOANS -- 0.0%+ 5 Bombardier Capital Mortgage Securitization, Series 1998-A, Class A3, 6.230% 04/15/28............................................. 5 91 First Plus Home Loan Trust, Series 1998-2, Class M1, 7.720% 05/10/24............................................. 91 -------- 96 -------- ASSET-BACKED -- OTHER -- 0.4% 2,400 CIT Equipment Collateral, Series 2002-VT1, Class A4, 4.670% 12/21/09............................................. 2,435 -------- TOTAL ASSET-BACKED SECURITIES (Cost $75,528).............................................. 75,247 -------- CORPORATE BONDS AND NOTES -- 41.1% AEROSPACE AND DEFENSE -- 0.5% 317 Boeing Company, 5.125% 02/15/13............................................. 327 252 General Dynamics Corporation, 4.500% 08/15/10............................................. 257 483 Goodrich (BF) Corporation, 7.625% 12/15/12............................................. 567 1,106 Northrop Grumman Corporation, 7.125% 02/15/11............................................. 1,272 700 Raytheon Company, 5.375% 04/01/13............................................. 728 -------- 3,151 -------- AUTOMOTIVE -- 2.7% 3,842 DaimlerChrysler NA Holdings Corporation, 4.050% 06/04/08............................................. 3,876 6,242 Ford Motor Credit Company, 7.375% 10/28/09............................................. 6,838 988 General Motors Acceptance Corporation, 6.150% 04/05/07............................................. 1,038 4,081 General Motors Acceptance Corporation, 6.875% 09/15/11............................................. 4,281 2,674 Toyota Motor Credit Corporation, MTN, 2.700% 01/30/07............................................. 2,651 -------- 18,684 --------
SEE NOTES TO FINANCIAL STATEMENTS. 95 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- BEVERAGES -- 0.5% $ 1,142 Anheuser-Busch Companies, Inc., 6.000% 04/15/11............................................. $ 1,255 2,016 Cadbury Schweppes plc, 5.125% 10/01/13(@).......................................... 2,048 3 Coca-Cola Company, 5.750% 03/15/11............................................. 3 -------- 3,306 -------- BROADCASTING AND CABLE -- 1.9% 1,607 Clear Channel Communications, Inc., 6.000% 11/01/06............................................. 1,687 1,104 Comcast Cable Communications, Inc., 6.375% 01/30/06............................................. 1,150 1,620 Comcast Cable Communications, Inc., 7.125% 06/15/13............................................. 1,832 2,269 Liberty Media Corporation, 3.500% 09/25/06............................................. 2,260 336 The Walt Disney Company, MTN, 5.500% 12/29/06............................................. 351 1,073 The Walt Disney Company, Series B, 6.750% 03/30/06............................................. 1,131 1,785 Time Warner Entertainment Company LP, 7.250% 09/01/08............................................. 1,981 10 Time Warner Inc., 8.110% 08/15/06............................................. 11 1,727 Time Warner Inc., 9.125% 01/15/13............................................. 2,162 584 Viacom Inc., Class B, 5.625% 05/01/07(a).......................................... 618 12 Viacom Inc., Class B, 7.700% 07/30/10............................................. 14 -------- 13,197 -------- CHEMICALS -- BASIC -- 0.3% 1,622 The Dow Chemical Company, 6.125% 02/01/11(a).......................................... 1,770 -------- CHEMICALS -- SPECIALTY -- 0.9% 1,298 E.I. du Pont de Nemours and Company, 3.375% 11/15/07(a).......................................... 1,305 409 Eastman Chemical Company, 3.250% 06/15/08............................................. 400 328 Monsanto Company, 4.000% 05/15/08............................................. 331 489 Praxair, Inc., 6.900% 11/01/06............................................. 528 705 Praxair, Inc., 4.750% 07/15/07............................................. 730 1,394 Praxair, Inc., 6.625% 10/15/07............................................. 1,522 1,192 Praxair, Inc., 6.500% 03/01/08............................................. 1,305 -------- 6,121 -------- COMMERCIAL BANKING -- 8.9% 1,712 AmSouth Bank N.A., 4.850% 04/01/13............................................. 1,721 5,471 Bank One Corporation, 6.000% 08/01/08............................................. 5,919
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 1,031 Capital One Bank, 5.000% 06/15/09............................................. $ 1,068 3,073 Citigroup Inc., 6.000% 02/21/12............................................. 3,380 4,320 Citigroup Inc., 5.000% 09/15/14(@).......................................... 4,325 597 City National Corporation, 5.125% 02/15/13............................................. 601 6 Deutsche Bank Financial Inc., 6.700% 12/13/06............................................. 6 2,194 Fifth Third Bancorp, 2.700% 01/30/07............................................. 2,176 406 Golden West Financial Corporation, 4.125% 08/15/07............................................. 415 1,283 Golden West Financial Corporation, 4.750% 10/01/12............................................. 1,294 923 Huntington National Bank, 2.750% 10/16/06............................................. 923 3,382 J.P. Morgan Chase & Company, 5.250% 05/30/07............................................. 3,554 3,836 J.P. Morgan Chase & Company, 7.250% 06/01/07............................................. 4,236 964 Key Bank N.A., 7.000% 02/01/11............................................. 1,080 1,028 Mellon Funding Corporation, 4.875% 06/15/07............................................. 1,071 900 Mellon Funding Corporation, 6.700% 03/01/08............................................. 1,005 8 Mellon Funding Corporation, 6.400% 05/14/11(a).......................................... 9 1,159 National City Bank of Indiana, 4.875% 07/20/07............................................. 1,204 1,968 National City Bank, 4.625% 05/01/13............................................. 1,941 1,892 PNC Funding Corporation, 5.750% 08/01/06............................................. 1,982 3,286 Popular North America Inc., MTN, Series E, 6.125% 10/15/06............................................. 3,471 1,223 Regions Financial Corporation, 6.375% 05/15/12............................................. 1,355 738 SouthTrust Bank N.A., 4.750% 03/01/13(a).......................................... 736 660 The Bank of New York, Inc., MTN, Series E, 3.900% 09/01/07............................................. 670 2,366 Union Planters Corporation, 4.375% 12/01/10............................................. 2,375 502 US Bank N.A., Minnesota, 2.850% 11/15/06............................................. 501 3,308 US Bank N.A., Minnesota, 6.375% 08/01/11............................................. 3,696 2,116 Wachovia Corporation, 4.850% 07/30/07............................................. 2,205
SEE NOTES TO FINANCIAL STATEMENTS. 96 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 3,609 Wachovia Corporation, 3.500% 08/15/08(a).......................................... $ 3,598 611 Washington Mutual, Inc., 2.400% 11/03/05............................................. 610 2,348 Washington Mutual, Inc., 5.625% 01/15/07............................................. 2,468 2,008 Washington Mutual, Inc., 4.625% 04/01/14(a).......................................... 1,919 -------- 61,514 -------- COMMERCIAL SERVICES -- 0.2% 1,195 Waste Management, Inc., 7.375% 08/01/10............................................. 1,379 -------- COMPUTERS AND OFFICE EQUIPMENT -- 0.6% 1,942 Hewlett-Packard Company, 5.750% 12/15/06............................................. 2,049 1,010 International Business Machines Corporation, 4.875% 10/01/06............................................. 1,048 900 International Business Machines Corporation, 4.750% 11/29/12............................................. 913 -------- 4,010 -------- CONGLOMERATES -- 0.0%+ 7 General Electric Company, 5.000% 02/01/13............................................. 7 -------- CONSUMER CREDIT AND MORTGAGES -- 1.3% 1,286 American Express Company, 5.500% 09/12/06............................................. 1,347 1,120 American Express Company, 3.750% 11/20/07............................................. 1,132 907 American Express Company, 4.750% 06/17/09............................................. 941 1,022 American General Finance Corporation, MTN, Series H, 2.750% 06/15/08............................................. 987 4,692 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06............................................. 4,894 -------- 9,301 -------- DEPARTMENT AND DISCOUNT STORES -- 0.8% 4 Costco Wholesale Corporation, 5.500% 03/15/07............................................. 4 10 Target Corporation, 3.375% 03/01/08(a).......................................... 10 957 Target Corporation, 5.400% 10/01/08............................................. 1,018 802 Target Corporation, 5.375% 06/15/09............................................. 854 802 Target Corporation, 5.875% 03/01/12............................................. 873
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- DEPARTMENT AND DISCOUNT STORES -- (CONTINUED) $ 2,095 Wal-Mart Stores, Inc., 5.450% 08/01/06............................................. $ 2,190 40 Wal-Mart Stores, Inc., 4.375% 07/12/07............................................. 41 850 Wal-Mart Stores, Inc., 4.550% 05/01/13............................................. 856 -------- 5,846 -------- DIVERSIFIED MANUFACTURING -- 0.1% 3 Avery Dennison Corporation, 4.875% 01/15/13............................................. 3 621 Fortune Brands, Inc., 2.875% 12/01/06............................................. 619 -------- 622 -------- ELECTRIC POWER -- NON NUCLEAR -- 2.1% 780 Appalachian Power Company, Series G, 3.600% 05/15/08............................................. 775 1,223 Consolidated Edison Company of New York, 4.700% 06/15/09............................................. 1,268 1,034 Consolidated Edison Company of New York, Series 2000-C, 6.625% 12/15/05............................................. 1,082 571 Dominion Resources, Inc., 5.000% 03/15/13............................................. 570 348 Ohio Edison Company, 4.000% 05/01/08............................................. 349 908 Pacific Gas and Electric Company, 4.200% 03/01/11............................................. 898 571 Pepco Holdings, Inc., 5.500% 08/15/07............................................. 598 3,330 Progress Energy, Inc., 6.050% 04/15/07............................................. 3,523 629 Public Service Electric & Gas Company, MTN, Series C, 4.000% 11/01/08............................................. 633 2,620 Southern California Edison Company, 8.000% 02/15/07............................................. 2,900 1,973 TXU Energy Company, 7.000% 03/15/13............................................. 2,228 -------- 14,824 -------- ELECTRIC POWER -- NUCLEAR -- 1.6% 1,219 CenterPoint Energy Resources Corporation, Series B, 7.875% 04/01/13............................................. 1,437 525 Duquesne Light Company, Series O, 6.700% 04/15/12............................................. 592 241 Energy East Corporation, 6.750% 06/15/12............................................. 268 3,782 FirstEnergy Corporation, Series B, 6.450% 11/15/11............................................. 4,125 4 Florida Power & Light Company, 4.850% 02/01/13............................................. 4 1,483 MidAmerican Energy Holdings, Series D, 5.000% 02/15/14............................................. 1,466
SEE NOTES TO FINANCIAL STATEMENTS. 97 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ELECTRIC POWER -- NUCLEAR -- (CONTINUED) $ 1,078 Southern Company Capital Funding, Series A, 5.300% 02/01/07............................................. $ 1,139 635 Southern Power Company, Series B, 6.250% 07/15/12............................................. 691 1,032 Virginia Electric and Power Company, Series A, 5.375% 02/01/07............................................. 1,080 -------- 10,802 -------- EXPLORATION AND PRODUCTION -- 0.1% 530 Devon Financing Corporation ULC, 6.875% 09/30/11............................................. 598 -------- FINANCE -- MISCELLANEOUS -- 2.9% 1,845 CIT Group Inc., 7.375% 04/02/07............................................. 2,023 1,076 General Electric Capital Corporation, MTN, Series A, 4.250% 01/15/08............................................. 1,104 30 General Electric Capital Corporation, MTN, Series A, 6.875% 11/15/10............................................. 34 3,343 General Electric Capital Corporation, MTN, Series A, 5.875% 02/15/12............................................. 3,630 1,118 Household Finance Corporation, 7.200% 07/15/06............................................. 1,198 2,176 Household Finance Corporation, 5.750% 01/30/07............................................. 2,300 1,548 Household Finance Corporation, 5.875% 02/01/09............................................. 1,669 3,072 Household Finance Corporation, 6.375% 11/27/12............................................. 3,404 847 International Lease Finance Corporation, 4.500% 05/01/08............................................. 875 1,023 National Rural Utilities Cooperative Finance Corporation, 3.250% 10/01/07............................................. 1,013 2,784 National Rural Utilities Cooperative Finance Corporation, 5.750% 08/28/09............................................. 2,982 -------- 20,232 -------- FOOD AND DRUG STORES -- 0.5% 2,444 Fred Meyer, Inc., 7.450% 03/01/08............................................. 2,730 633 The Kroger Company, 6.750% 04/15/12............................................. 708 -------- 3,438 -------- FOOD PRODUCTS -- 0.6% 2,357 Campbell Soup Company, 5.500% 03/15/07............................................. 2,477 1,919 General Mills, Inc., 2.625% 10/24/06............................................. 1,891 -------- 4,368 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- HEALTH SERVICES -- 0.5% $ 1,728 Wellpoint Health Networks Inc., 6.375% 06/15/06............................................. $ 1,822 1,258 Wellpoint Health Networks Inc., 6.375% 01/15/12............................................. 1,389 -------- 3,211 -------- HEAVY MACHINERY -- 1.1% 1,898 Caterpillar Financial Services Corporation, 5.950% 05/01/06............................................. 1,988 582 Caterpillar Financial Services Corporation, 4.500% 06/15/09............................................. 598 1,001 Caterpillar Financial Services Corporation, MTN, Series F, 2.350% 09/15/06............................................. 988 806 Caterpillar Financial Services Corporation, MTN, Series F, 2.625% 01/30/07............................................. 796 7 Caterpillar Inc., 6.550% 05/01/11(a).......................................... 8 1,403 John Deere Capital Corporation, MTN, Series D, 3.125% 12/15/05............................................. 1,409 2,074 John Deere Capital Corporation, MTN, Series D, 3.625% 05/25/07............................................. 2,088 -------- 7,875 -------- HOUSEHOLD PRODUCTS -- 0.3% 1,847 Procter & Gamble Company, 4.750% 06/15/07............................................. 1,924 -------- INSURANCE -- 1.9% 645 AIG Sunamerica Global Financial, 5.850% 08/01/08(@).......................................... 695 16 Allstate Corporation, 6.125% 02/15/12............................................. 18 2,086 American International Group, Inc., MTN, Series F, 2.850% 12/01/05............................................. 2,097 510 Marsh & McLennan Companies, Inc., 3.625% 02/15/08............................................. 511 1,020 Mass Mutual Global Funding II, 2.550% 07/15/08(@).......................................... 989 1,524 MetLife, Inc., 5.375% 12/15/12............................................. 1,580 256 Nationwide Financial Services, Inc., Class A, 5.900% 07/01/12............................................. 274 1,853 Principal Life Global, 6.250% 02/15/12(@).......................................... 2,046 2,860 Prudential Funding LLC, MTN, 6.600% 05/15/08(@).......................................... 3,178 590 The Hartford Financial Services Group, Inc., 2.375% 06/01/06............................................. 584
SEE NOTES TO FINANCIAL STATEMENTS. 98 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- INSURANCE -- (CONTINUED) $ 1,120 The Hartford Financial Services Group, Inc., 4.625% 07/15/13............................................. $ 1,100 398 Unitrin Inc., 4.875% 11/01/10............................................. 395 -------- 13,467 -------- INTEGRATED OIL -- 0.7% 1,062 Conoco Funding Company, 5.450% 10/15/06............................................. 1,113 1,427 Conoco Funding Company, 6.350% 10/15/11............................................. 1,591 2,237 USX Corporation, 6.650% 02/01/06............................................. 2,347 -------- 5,051 -------- INVESTMENT SERVICES -- 3.6% 910 Bear Stearns Companies Inc., 5.700% 01/15/07............................................. 960 1,829 Bear Stearns Companies Inc., 4.500% 10/28/10(a).......................................... 1,844 1,889 Citigroup Global Markets Holdings Inc., 6.500% 02/15/08............................................. 2,066 1,210 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. 1,272 1,597 Credit Suisse First Boston USA, Inc., 6.125% 11/15/11............................................. 1,740 315 Goldman Sachs Group, Inc., 4.125% 01/15/08............................................. 321 2,503 Goldman Sachs Group, Inc., 6.600% 01/15/12............................................. 2,795 347 Goldman Sachs Group, Inc., 5.700% 09/01/12............................................. 367 742 Lehman Brothers Holdings Inc., 4.000% 01/22/08............................................. 754 4,513 Lehman Brothers Holdings Inc., 7.000% 02/01/08##........................................... 4,979 336 Lehman Brothers Holdings Inc., 7.875% 08/15/10............................................. 398 2,596 Merrill Lynch & Company, Inc., 6.000% 02/17/09............................................. 2,811 1,591 Merrill Lynch & Company, Inc., MTN, Series B, 2.070% 06/12/06............................................. 1,585 1,360 Merrill Lynch & Company, Inc., MTN, Series B, 3.700% 04/21/08............................................. 1,363 1,050 Morgan Stanley, 6.600% 04/01/12............................................. 1,171 295 Morgan Stanley, 5.300% 03/01/13............................................. 302 -------- 24,728 -------- MEDICAL DEVICES AND SUPPLIES -- 0.2% 12 Abbott Laboratories, 5.625% 07/01/06............................................. 13 1,445 Bristol-Myers Squibb Company, 4.750% 10/01/06............................................. 1,493 -------- 1,506 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- METALS AND MINING -- 0.3% $ 1,570 Alcoa Inc., 7.375% 08/01/10............................................. $ 1,831 -------- NATURAL GAS DISTRIBUTION -- 0.1% 491 NiSource Finance Corporation, 5.400% 07/15/14............................................. 503 -------- NATURAL GAS PIPELINES -- 0.9% 1,065 Consolidated Natural Gas Company, Series B, 5.375% 11/01/06............................................. 1,108 1,415 Duke Capital LLC, 4.370% 03/01/09(a).......................................... 1,427 1,829 Kinder Morgan, Inc., 6.650% 03/01/05............................................. 1,858 1,311 Teppco Partners, LP, 7.625% 02/15/12............................................. 1,521 -------- 5,914 -------- OIL REFINING AND MARKETING -- 0.1% 827 Valero Energy Corporation, 6.875% 04/15/12............................................. 931 -------- PAPER AND FOREST PRODUCTS -- 0.6% 577 International Paper Company, 4.250% 01/15/09............................................. 579 1,973 International Paper Company, 5.850%** 10/30/12........................................... 2,085 1,501 MeadWestvaco Corporation, 6.850% 04/01/12............................................. 1,672 -------- 4,336 -------- PUBLISHING AND ADVERTISING -- 0.9% 3,094 Gannett Company, Inc., 5.500% 04/01/07##........................................... 3,265 1,247 News America Holdings Inc., 6.625% 01/09/08(a).......................................... 1,360 967 News America Holdings Inc., 9.250% 02/01/13............................................. 1,242 147 R. R. Donnelley & Sons Company, 4.950% 04/01/14............................................. 146 -------- 6,013 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.2% 1,139 Burlington Northern Santa Fe Corporation, 6.750% 07/15/11............................................. 1,279 -------- REAL ESTATE -- 0.4% 1,550 EOP Operating LP, 7.000% 07/15/11##........................................... 1,741 978 EOP Operating LP, 4.750% 03/15/14............................................. 944 356 ERP Operating LP, 5.200% 04/01/13............................................. 362 -------- 3,047 --------
SEE NOTES TO FINANCIAL STATEMENTS. 99 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.3% $ 1,744 Camden Property Trust, 5.375% 12/15/13............................................. $ 1,760 612 Health Care Property Investors, Inc., 6.450% 06/25/12............................................. 664 -------- 2,424 -------- TELECOMMUNICATIONS SERVICES -- 2.5% 2,016 360 Communications Company, 7.500% 03/01/06............................................. 2,146 636 AT&T Wireless Services Inc., 8.125% 05/01/12............................................. 768 1,398 BellSouth Corporation, 5.000% 10/15/06............................................. 1,451 25 GTE California, Inc., Series H, 7.650% 03/15/07............................................. 27 2,587 SBC Communications Inc., 5.750% 05/02/06............................................. 2,701 697 Sprint Capital Corporation, 6.125% 11/15/08............................................. 752 3,121 Sprint Capital Corporation, 8.375% 03/15/12##........................................... 3,781 331 Verizon Florida Inc., Series F, 6.125% 01/15/13............................................. 353 2,577 Verizon New England Inc., 6.500% 09/15/11............................................. 2,843 2,533 Verizon Pennsylvania Inc., Series A, 5.650% 11/15/11............................................. 2,674 -------- 17,496 -------- TOTAL CORPORATE BONDS AND NOTES (Cost $275,844)............................................. 284,706 -------- FOREIGN BONDS AND NOTES -- 4.4% BEVERAGES -- 0.4% 2,439 Diageo Finance BV, 3.000% 12/15/06............................................. 2,436 -------- BROADCASTING AND CABLE -- 0.0%+ 274 Rogers Cable Inc., 6.250% 06/15/13(a).......................................... 269 -------- BUILDING MATERIALS -- 0.2% 1,151 Hanson Overseas BV, 6.750% 09/15/05............................................. 1,194 -------- CHEMICALS -- SPECIALTY -- 0.1% 435 Potash Corporation of Saskatchewan Inc., 4.875% 03/01/13............................................. 436 -------- COMMERCIAL BANKING -- 0.2% 2 Barclays Bank plc, 7.400% 12/15/09............................................. 2 1,700 Scotland International Finance, 4.250% 05/23/13(@).......................................... 1,630 -------- 1,632 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ELECTRIC POWER -- NON NUCLEAR -- 0.1% $ 589 Transalta Corporation, 5.750% 12/15/13............................................. $ 605 -------- FOOD PRODUCTS -- 0.1% 745 Unilever Capital Corporation, 6.875% 11/01/05............................................. 779 -------- INTEGRATED OIL -- 0.4% 1,293 BP Capital Markets, 2.750% 12/29/06............................................. 1,289 1,939 Pemex Project Funding Master Trust, 7.875%** 02/01/09........................................... 2,162 -------- 3,451 -------- METALS AND MINING -- 0.3% 29 Alcan Inc., 6.450% 03/15/11............................................. 32 641 BHP Finance USA Ltd., 4.800% 04/15/13............................................. 649 701 Codelco Inc., 5.500% 10/15/13(@).......................................... 730 769 Rio Tinto Finance (USA) Ltd., 2.625% 09/30/08............................................. 739 -------- 2,150 -------- OIL REFINING AND MARKETING -- 0.4% 2,421 Burlington Resources Finance, 5.600% 12/01/06............................................. 2,539 -------- PHARMACEUTICALS -- 0.3% 2,112 Glaxosmithkline Capital, plc, 2.375% 04/16/07............................................. 2,076 -------- PUBLISHING AND ADVERTISING -- 0.2% 1,159 Thomson Corporation, 5.250% 08/15/13............................................. 1,197 -------- RAILROADS, TRUCKING AND SHIPPING -- 0.1% 397 Canadian National Railway Company, 6.375% 10/15/11............................................. 441 -------- TELECOMMUNICATIONS SERVICES -- 1.6% 943 British Telecommunications, plc, 8.375% 12/15/10............................................. 1,137 3,980 Deutsche Telekom International Finance BV, 5.250% 07/22/13............................................. 4,073 1,941 France Telecom SA, 8.500%** 03/01/11........................................... 2,324
SEE NOTES TO FINANCIAL STATEMENTS. 100 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 11 Telefonos de Mexico, SA, 4.500% 11/19/08............................................. $ 11 3,625 Telus Corporation, 7.500% 06/01/07............................................. 3,975 -------- 11,520 -------- TOTAL FOREIGN BONDS AND NOTES (Cost $30,292).............................................. 30,725 -------- MORTGAGE-BACKED SECURITIES -- 2.8% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 2.7% 3,730 Bear Stearns Commercial Mortgage Securities, Series 2003-T12, Class A4,(a) 4.680% 08/13/39............................................. 3,739 2,624 Fannie Mae, Series 2002-16, Class PG, 6.000% 04/25/17............................................. 2,773 2,818 Fannie Mae, Series 2002-47, Class QE, 5.500% 08/25/17............................................. 2,916 3,218 Freddie Mac, Series 2664, Class IO, 5.500% 05/15/27............................................. 371 3,131 Freddie Mac, Series 2692, Class IA, 5.500% 01/15/23............................................. 252 12,351 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 1.074%** 12/15/30........................................... 414 7,949 Morgan Stanley Capital, Series 2003-IQ6, Class A4, 4.970% 12/15/41##........................................... 8,079 15,141 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest only, (purchased 02/26/98, cost $412) 0.449%** 09/15/27(f)........................................ 152 17,927 Vendee Mortgage Trust, Series 1998-3, Class 1, Interest only, (purchased 09/17/98, cost $225) 0.305%** 03/15/29(f)........................................ 134 -------- 18,830 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 0.0%+ 260 3.199% 08/01/36............................................. 265 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 0.1% 181 7.000% 05/15/12............................................. 193 74 11.500% 06/15/13............................................ 85 50 10.000% 05/15/16-08/15/18................................... 56 29 9.500% 09/15/16-12/15/20.................................... 33 -------- 367 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $19,946).............................................. 19,462 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- 2.5% $ 2,023 Hellenic Republic, 6.950% 03/04/08............................................. $ 2,261 1,225 Korea Development Bank, 7.250% 05/15/06............................................. 1,309 5 Korea Development Bank, 5.250% 11/16/06............................................. 5 404 Ontario (Province of), 7.000% 08/04/05............................................. 420 3,188 Quebec (Province of), 6.125% 01/22/11............................................. 3,535 872 Republic of Chile, 5.500% 01/15/13............................................. 909 1,163 Republic of Italy, 2.750% 12/15/06............................................. 1,162 969 Republic of South Africa, 6.500% 06/02/14............................................. 1,034 3,001 United Mexican States, 8.375% 01/14/11............................................. 3,519 2,926 United Mexican States, 6.375% 01/16/13............................................. 3,081 -------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $16,494).............................................. 17,235 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 8.6% FEDERAL FARM CREDIT BANK (FFCB) -- 1.1% 3,791 2.375% 10/01/04##........................................... 3,791 3,624 2.500% 03/15/06##........................................... 3,619 -------- 7,410 -------- FEDERAL HOME LOAN BANK (FHLB) -- 1.5% 5,500 3.250% 08/15/05##........................................... 5,545 1,800 3.625% 11/14/08............................................. 1,808 3,500 3.875% 06/14/13............................................. 3,352 -------- 10,705 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.5% 3,749 3.875% 02/15/05............................................. 3,776 1,437 2.375% 04/15/06............................................. 1,432 1,750 5.750% 03/15/09............................................. 1,902 2,136 6.625% 09/15/09............................................. 2,409 700 4.500% 01/15/13............................................. 703 -------- 10,222 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 4.5% 3,949 2.875% 10/15/05............................................. 3,972 2,082 2.625% 11/15/06............................................. 2,072 20,775 5.250% 06/15/06-01/15/09.................................... 22,006
SEE NOTES TO FINANCIAL STATEMENTS. 101 NATIONS MASTER INVESTMENT TRUST Nations Intermediate Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- FEDERAL NATIONAL MORTGAGE ASSOCIATION -- (CONTINUED) $ 2,095 4.375% 09/15/12(a).......................................... $ 2,091 1,500 4.125% 04/15/14(a).......................................... 1,445 -------- 31,586 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $59,577).............................................. 59,923 -------- U.S. TREASURY OBLIGATIONS -- 26.9% U.S. TREASURY NOTES -- 22.5% 2,500 1.625% 01/31/05............................................. 2,498 10,000 1.500% 02/28/05............................................. 9,984 33,000 1.625% 04/30/05............................................. 32,926 6,000 1.250% 05/31/05............................................. 5,969 15,000 1.875% 11/30/05##........................................... 14,934 16,000 2.000% 05/15/06##........................................... 15,891 7,000 4.625% 05/15/06............................................. 7,242 2,000 2.750% 06/30/06............................................. 2,008 2,500 2.375% 08/15/06(a).......................................... 2,492 1,000 3.125% 05/15/07............................................. 1,008 600 2.750% 08/15/07(a).......................................... 598 5,100 3.250% 01/15/09(a).......................................... 5,102 5,500 3.000% 02/15/09(a).......................................... 5,445 10,000 3.125% 04/15/09............................................. 9,932 5,200 3.875% 05/15/09............................................. 5,326 11,500 3.500% 08/15/09............................................. 11,570 7,000 4.250% 08/15/13............................................. 7,105 5,200 4.000% 02/15/14............................................. 5,160 4,000 4.750% 05/15/14(a).......................................... 4,199 5,895 4.250% 08/15/14(a).......................................... 5,957 -------- 155,346 -------- U.S. TREASURY STRIPS -- 4.4% 4,000 Interest only, 2.426%*** 05/15/06.......................................... 3,846 7,000 Principal only, 1.943%*** 05/15/05.......................................... 6,916 20,000 Principal only, 3.263%*** 11/15/08.......................................... 17,497 3,500 TIGR Receipts, 4.209%*** 02/15/13.......................................... 2,469 -------- 30,728 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $185,573)............................................. 186,074 -------- SHARES VALUE (000) (000) -------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 7.1% (Cost $49,032) 49,032 Nations Cash Reserves, Capital Class Shares#.................. $ 49,032 -------- TOTAL INVESTMENTS (Cost $712,286*).................................. 104.3% 722,404 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (4.3)% (29,476) -------- NET ASSETS.......................................... 100.0% $692,928 ========
--------------- * Federal income tax information: Net unrealized appreciation of $10,118 on investment securities was comprised of gross appreciation of $12,669 and depreciation of $2,551 for federal income tax purposes. At September 30, 2004, the aggregate cost for federal income tax purposes was $712,286. **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2004. (+) 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 9). The portion that represents cash collateral is $35,781. ##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, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $34,488 and $34,676 respectively. (f) Restricted and illiquid security. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 102 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 0.6% ASSET-BACKED -- OTHER -- 0.6% (Cost $6,982) $ 6,964 Gilroy Asset Receivable Loan, 10.000% 09/30/14@........................................... $ 6,964 ---------- SHARES --------- COMMON STOCKS -- 1.9% AUTOMOTIVE -- 0.4% 397,400 Goodyear Tire & Rubber Company!!(a)........................... 4,268 ---------- BROADCASTING AND CABLE -- 0.6% 129,900 Comcast Corporation, Class A!!................................ 3,668 631,273 UnitedGlobalCom, Inc., Class A!!.............................. 4,716 ---------- 8,384 ---------- CHEMICALS -- BASIC -- 0.0%+ 122 General Chemical Industrial Products Inc.!!(a)(e)(f).......... 17 ---------- HEALTH SERVICES -- 0.1% 139 Fountain View Inc.!!(e)(f).................................... 2 474,443 QuadraMed Corporation!!(f).................................... 1,300 ---------- 1,302 ---------- METALS AND MINING -- 0.2% 711,489 ACP Holding Company!!@........................................ 1,049 158,250 Thermadyne Holdings Corporation!!(f).......................... 1,741 ---------- 2,790 ---------- PACKAGING AND CONTAINERS -- 0.3% 187,915 Owens-Illinois, Inc.!!........................................ 3,007 ---------- PAPER AND FOREST PRODUCTS -- 0.1% 115,300 Abitibi-Consolidated Inc. .................................... 728 ---------- TELECOMMUNICATIONS SERVICES -- 0.2% 88,991 Globix Corporation!!@......................................... 289 6,617 ICO Global Communications Holdings LTD.!!(f).................. 1 275,617 Neon Communications, Inc.!!(a)(e)(f).......................... 345 7,934 Remote Dynamics Inc.!!........................................ 8 427,622 US Unwired Inc.!!............................................. 1,146 ---------- 1,789 ---------- TOTAL COMMON STOCKS (Cost $19,394).............................................. 22,285 ---------- PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CONVERTIBLE BONDS AND NOTES -- 2.5% AIRLINES -- 0.1% $ 2,885 Delta Air Lines, Inc., 8.000% 06/03/23@(a)......................................... $ 847 ---------- BROADCASTING AND CABLE -- 0.0%+ 1,125 Adelphia Communications Corporation, Class A, 6.000% 02/15/06(a)(b)....................................... 304 ---------- COMPUTER SERVICES -- 0.1% 1,480 Electronic Data Systems Corporation, 3.875% 07/15/23............................................. 1,474 ---------- FINANCE -- MISCELLANEOUS -- 0.3% 3,510 Providian Financial Corporation, 3.250% 08/15/05............................................. 3,457 ---------- HEALTH SERVICES -- 1.0% 8,605 Laboratory Corporation of America Holdings, 1.760%*** 09/11/21.......................................... 6,346 3,500 Lincare Holdings Inc., 3.000% 06/15/33(a).......................................... 3,426 1,420 Lincare Holdings Inc., 3.000% 06/15/33............................................. 1,390 ---------- 11,162 ---------- INSURANCE -- 0.1% 900 Loews Corporation, 3.125% 09/15/07............................................. 881 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 0.8% 8,335 CIENA Corporation, 3.750% 02/01/08(a).......................................... 7,105 2,565 Riverstone Networks, Inc., 3.750% 12/01/06@(b)......................................... 2,309 ---------- 9,414 ---------- SEMICONDUCTORS -- 0.1% 790 LSI Logic Corporation, 4.000% 11/01/06............................................. 776 ---------- TELECOMMUNICATIONS SERVICES -- 0.0%+ 3,897 At Home Corporation, Series A, 4.750% 12/15/06(b).......................................... 507 ---------- TOTAL CONVERTIBLE BONDS AND NOTES (Cost $30,506).............................................. 28,822 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 103 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES -- 65.2% AEROSPACE AND DEFENSE -- 1.4% $ 520 BE Aerospace, Inc., 8.500% 10/01/10............................................. $ 567 980 BE Aerospace, Inc., Series B, 8.000% 03/01/08............................................. 968 7,360 BE Aerospace, Inc., Series B, 8.875% 05/01/11(a).......................................... 7,451 760 K & F Industries, Inc., Series B, 9.625% 12/15/10............................................. 846 2,635 Sequa Corporation, Class A, 9.000% 08/01/09............................................. 2,899 3,115 Sequa Corporation, Series B, 8.875% 04/01/08............................................. 3,379 ---------- 16,110 ---------- AIRLINES -- 2.0% 846 American Airlines, Inc., Series 2001-1, 7.377% 05/23/19............................................. 508 7,032 Continental Airlines, Inc., Class B, 7.875% 07/02/18(a).......................................... 6,622 2,200 Delta Air Lines, Inc., 10.000% 08/15/08............................................ 660 4,295 Delta Air Lines, Inc., 10.375% 02/01/11(a)......................................... 1,203 2,165 Delta Air Lines, Inc., 9.750% 05/15/21(a).......................................... 530 715 Delta Air Lines, Inc., 9.250% 03/15/22(a).......................................... 172 2,635 Delta Air Lines, Inc., 10.375% 12/15/22(a)......................................... 646 10,549 Delta Air Lines, Inc., 8.300% 12/15/29(a).......................................... 2,479 3,535 Northwest Airlines Inc., 8.875% 06/01/06(a).......................................... 2,969 2,800 Northwest Airlines Inc., 9.875% 03/15/07(a).......................................... 2,114 7,010 Northwest Airlines Inc., 10.000% 02/01/09(a)......................................... 4,837 277 Northwest Airlines Inc., Series 1996-1, 8.970% 01/02/15............................................. 175 ---------- 22,915 ---------- AUTOMOTIVE -- 3.6% 4,310 ArvinMeritor, Inc., 8.750% 03/01/12............................................. 4,773 5,425 Collins & Aikman Corporation, 12.875% 08/24/12@(a)........................................ 5,005 3,720 Dana Corporation, 7.000% 03/01/29............................................. 3,739 4,300 Goodyear Tire & Rubber Company Credit Revolver, 6.430%** 03/31/06(f)(g)..................................... 4,344
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- AUTOMOTIVE -- (CONTINUED) $ 1,905 Goodyear Tire & Rubber Company, 6.625% 12/01/06(a).......................................... $ 1,981 982 Goodyear Tire & Rubber Company, 6.375% 03/15/08(a).......................................... 948 10,570 Goodyear Tire & Rubber Company, 11.000% 03/01/11@(a)........................................ 11,943 7,165 Mark IV Industries, Inc., 7.500% 09/01/07............................................. 6,771 1,970 Tenneco Automotive Inc., Series B, 10.250% 07/15/13............................................ 2,246 ---------- 41,750 ---------- BROADCASTING AND CABLE -- 3.2% 1,755 Adelphia Communications Corporation, Class A, 10.250% 11/01/06(b)......................................... 1,580 3,595 Adelphia Communications Corporation, Class A, 9.375% 11/15/09(a)(b)....................................... 3,307 8,685 Adelphia Communications Corporation, Class A, 10.250% 06/15/11(a)(b)...................................... 8,185 205 Adelphia Communications Corporation, Series B, 9.250% 10/01/05(b).......................................... 180 4,900 Frontiervision Operating Partners LP, 11.000% 10/15/06(b)......................................... 6,101 3,460 Frontiervision Operating Partners LP, 11.875% 09/15/07(b)......................................... 4,334 1,135 Frontiervision Operating Partners LP, Series B, 11.875% 09/15/07(b)......................................... 1,422 8,905 Paxson Communications Corporation, (0.000)% due 01/15/09 12.250% beginning 01/15/06.................................. 7,635 2,410 Spanish Broadcasting System, Inc., Class A, 9.625% 11/01/09............................................. 2,531 1,355 Young Broadcasting Inc., Class A, 8.500% 12/15/08............................................. 1,440 ---------- 36,715 ---------- BUILDING MATERIALS -- 0.2% 1,960 MMI Products, Inc., Series B, 11.250% 04/15/07(a)......................................... 1,980 ---------- CHEMICALS -- BASIC -- 2.9% 4,060 Equistar Chemicals, LP, 7.550% 02/15/26............................................. 3,735 4,115 Lyondell Chemical Company, 9.500% 12/15/08............................................. 4,490 1,830 Lyondell Chemical Company, 10.500% 06/01/13(a)......................................... 2,114 1,980 Millennium America Inc., 7.000% 11/15/06............................................. 2,054 3,525 Millennium America Inc., 7.625% 11/15/26............................................. 3,243
SEE NOTES TO FINANCIAL STATEMENTS. 104 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CHEMICALS -- BASIC -- (CONTINUED) $ 4,000(h) Rockwood Specialties Group, Inc., Bank Loan, 9.095%** 02/11/11(f)(g)..................................... $ 4,968 2,305 Rockwood Specialties Group, Inc., Bank Loan, 9.710%** 02/11/11(f)(g)..................................... 2,305 8,140 Terra Capital Inc., 12.875% 10/15/08............................................ 10,094 ---------- 33,003 ---------- CHEMICALS -- SPECIALTY -- 1.1% 4,530 Equistar Chemicals, LP, 10.625% 05/01/11............................................ 5,164 1,735 FMC Corporation, 10.250% 11/01/09............................................ 2,026 2,330 Foamex LP, 10.750% 04/01/09(a)......................................... 2,190 2,790 Sovereign Specialty Chemicals, Inc., 11.875% 03/15/10............................................ 2,943 ---------- 12,323 ---------- COMMERCIAL SERVICES -- 2.5% 2,633 CB Richard Ellis Services Inc., 9.750% 05/15/10............................................. 2,982 2,730 CB Richard Ellis Services Inc., 11.250% 06/15/11............................................ 3,187 4,630 Chemed Corporation, 8.750% 02/24/11............................................. 4,769 2,140 Dollar Financial Group Inc., 9.750% 11/15/11............................................. 2,268 3,675 Geo Sub Corporation, 11.000% 05/15/12@........................................... 3,473 860 Great Lakes Dredge & Dock Company, 7.750% 12/15/13............................................. 744 3,580 Interline Brands Inc., 11.500% 05/15/11............................................ 3,974 4,745 Language Line Inc., 11.125% 06/15/12@........................................... 4,864 2,380 MemberWorks Inc., 9.250% 04/01/14@............................................ 2,338 ---------- 28,599 ---------- COMPUTER SERVICES -- 0.3% 1,210 Electronic Data Systems Corporation, 7.125% 10/15/09(a).......................................... 1,299 1,065 Electronic Data Systems Corporation, 7.450% 10/15/29............................................. 1,066 525 Electronic Data Systems Corporation, Series B, 6.500% 08/01/13............................................. 530 ---------- 2,895 ---------- COMPUTERS AND OFFICE EQUIPMENT -- 0.1% 1,785 Stratus Technologies Inc., 10.375% 12/01/08(a)......................................... 1,615 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CONGLOMERATES -- 0.1% $ 1,485 Warner Music Group, 7.375% 04/15/14@............................................ $ 1,537 ---------- CONSTRUCTION -- 1.3% 4,465 Dayton Superior Corporation, 10.750% 09/15/08............................................ 4,778 5,850 The Shaw Group Inc., 10.750% 03/15/10(a)......................................... 6,142 2,398 URS Corporation, 11.500% 09/15/09............................................ 2,758 1,219 URS Corporation, Series B, 12.250% 05/01/09(a)......................................... 1,298 ---------- 14,976 ---------- CONSUMER SERVICES -- 1.4% 4,600 Jafra Cosmetics, 10.750% 05/15/11............................................ 5,210 7,010 Protection One, Inc., 7.375% 08/15/05............................................. 6,948 3,760 Protection One, Inc., Series B, 8.125% 01/15/09............................................. 3,328 ---------- 15,486 ---------- DEPARTMENT AND DISCOUNT STORES -- 0.0%+ 585 Kmart Corporation, Series 1995K-3, 8.540% 01/02/15(b).......................................... 190 ---------- DIVERSIFIED ELECTRONICS -- 0.4% 2,175 Knowles Electronics Holdings, Inc., 13.125%** 10/15/09.......................................... 2,289 2,705 Viasystems Term Loan B, 7.150%** 09/30/08(f)(g)..................................... 2,723 ---------- 5,012 ---------- DIVERSIFIED MANUFACTURING -- 0.6% 3,340 Invista, 9.250% 05/01/12@............................................ 3,565 3,305 Mueller Group Inc., 10.000% 05/01/12@........................................... 3,570 ---------- 7,135 ---------- ELECTRIC POWER -- NON NUCLEAR -- 7.1% 4,975 AES Corporation, 7.750% 03/01/14............................................. 5,137 6,930 AES Corporation, 9.000% 05/15/15@(a)......................................... 7,814 4,763 AES Eastern Energy LP, Series 1999-A, 9.000% 01/02/17............................................. 5,358 1,175 AES Eastern Energy LP, Series 1999-B, 9.670% 01/02/29............................................. 1,375 1,599 Caithness Coso Funding Corporation, Series B, 9.050% 12/15/09............................................. 1,759
SEE NOTES TO FINANCIAL STATEMENTS. 105 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- ELECTRIC POWER -- NON NUCLEAR -- (CONTINUED) $ 760 Calpine Corporation, 7.625% 04/15/06(a).......................................... $ 703 1,890 Calpine Corporation, 8.750% 07/15/07(a).......................................... 1,498 1,370 Calpine Corporation, 7.750% 04/15/09(a).......................................... 877 13,717 Calpine Corporation, 8.500% 07/15/10@(a)......................................... 10,494 2,393 Cedar Brakes I LLC, Series B, 8.500% 02/15/14............................................. 2,453 5,594 Cedar Brakes II LLC, 9.875% 09/01/13............................................. 6,181 1,090 Consumers Energy Company, 6.250% 09/15/06............................................. 1,149 422 ESI Tractebel Acquisition Corporation, Series B, 7.990% 12/30/11............................................. 436 2,185 Mirant Americas Generation LLC, 8.300% 05/01/11(b).......................................... 1,923 1,670 Mirant Americas Generation LLC, 8.500% 10/01/21(b).......................................... 1,461 2,390 Mirant Americas Generation LLC, 9.125% 05/01/31(a)(b)....................................... 2,091 1,400 Mirant Revolving Credit Facility (Citigroup), 0.000% 01/15/05(b)(c)(f)(g)................................. 855 2,162 Mirant Revolving Credit Facility (J.P. Morgan Chase & Company), 0.000% 07/17/05(b)(c)(f)(g)................................. 1,421 833 NRG Energy, Inc., (Credit Suisse First Boston) 5.559%** 06/23/10(f)(g)..................................... 855 1,471 NRG Energy, Inc., 5.930%** 06/23/10(f)(g) (Credit Suisse First Boston)........ 1,510 7,870 NRG Energy, Inc., 8.000% 12/15/13@............................................ 8,431 5,375 PG&E Transmission Northwest, 7.100% 06/01/05............................................. 5,496 1,645 Reliant Energy Inc., 9.250% 07/15/10............................................. 1,766 137 Salton Sea Funding, Series B, 7.370% 05/30/05(f).......................................... 141 4,390 Southern California Edison Company, 8.000% 02/15/07............................................. 4,859 3,224 Tiverton/Rumford Power Association, 9.000% 07/15/18@............................................ 2,353 1,770 Westar Energy, Inc., 7.875% 05/01/07............................................. 1,962 375 Westar Energy, Inc., 7.125% 08/01/09............................................. 414 ---------- 80,772 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- EXPLORATION AND PRODUCTION -- 2.4% $ 11,830 El Paso Production Holding Company, 7.750% 06/01/13............................................. $ 11,859 1,381 Energy Corporation of America, Series A, 9.500% 05/15/07............................................. 1,326 3,350 Forest Oil Corporation, 8.000% 12/15/11(a).......................................... 3,760 390 Newfield Exploration Company, 7.625% 03/01/11............................................. 437 390 Newfield Exploration Company, 8.375% 08/15/12(a).......................................... 439 1,960 Plains Exploration and Production Company, Series B, 8.750% 07/01/12............................................. 2,200 1,030 Stone Energy Corporation, 8.250% 12/15/11............................................. 1,110 1,695 Vintage Petroleum, Inc., 7.875% 05/15/11............................................. 1,814 4,435 Vintage Petroleum, Inc., 8.250% 05/01/12............................................. 4,934 ---------- 27,879 ---------- FINANCE -- MISCELLANEOUS -- 1.6% 6,475 American Real Estate Partners LP, 8.125% 06/01/12@............................................ 6,815 3,965 Fremont General Corporation, Series B, 7.875% 03/17/09............................................. 3,886 2,290 LaBranche & Company Inc., 9.500% 05/15/09@(a)......................................... 2,290 4,670 LaBranche & Company Inc., 11.000% 05/15/12@........................................... 4,798 ---------- 17,789 ---------- FOOD PRODUCTS -- 1.5% 1,425 Herbalife International, Inc., Class A, 11.750% 07/15/10............................................ 1,632 3,465 National Beef Packing Company LLC, 10.500% 08/01/11............................................ 3,552 1,290 Seminis, Inc., 10.250% 10/01/13............................................ 1,438 3,340 Swift & Company, 10.125% 10/01/09............................................ 3,666 6,610 Swift & Company, 12.500% 01/01/10............................................ 7,303 ---------- 17,591 ---------- HEALTH SERVICES -- 2.4% 6,000 AmeriPath, Inc., 10.500% 04/01/13............................................ 6,120 4,075 HCA Inc., 8.360% 04/15/24............................................. 4,543 4,260 HCA Inc., 7.500% 11/15/95............................................. 4,117 90 HCA Inc., MTN, 7.750% 07/15/36............................................. 94
SEE NOTES TO FINANCIAL STATEMENTS. 106 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- HEALTH SERVICES -- (CONTINUED) $ 8,560 Quintiles Transnational Corporation, 10.000% 10/01/13............................................ $ 9,074 3,965 Vanguard Health Systems, 9.000% 10/01/14@............................................ 3,975 ---------- 27,923 ---------- HEAVY MACHINERY -- 0.4% 4,365 JLG Industries, Inc., 8.250% 05/01/08............................................. 4,649 ---------- HOUSEHOLD PRODUCTS -- 0.2% 2,400 Fedders North America Inc., 9.875% 03/01/14............................................. 1,998 ---------- INSURANCE -- 0.6% 5,775 Crum & Forster Holdings Corporation, 10.375% 06/15/13............................................ 6,164 9,865 Lumbermens Mutual Casualty, 9.150% 07/01/26@(b)......................................... 247 180 Lumbermens Mutual Casualty, 8.300% 12/01/37@(b)......................................... 5 4,600 Lumbermens Mutual Casualty, 8.450% 12/01/97@(b)......................................... 115 ---------- 6,531 ---------- LODGING AND RECREATION -- 2.3% 1,460 Gaylord Entertainment Company, 8.000% 11/15/13............................................. 1,537 3,230 ITT Corporation, 7.375% 11/15/15............................................. 3,521 1,015 ITT Corporation, 7.750% 11/15/25............................................. 1,040 2,627 Jacobs Entertainment, Inc., 11.875% 02/01/09............................................ 2,969 2,080 LCE Acquisition Corporation, 9.000% 08/01/14@............................................ 2,148 720 Mandalay Resort Group, 9.500% 08/01/08............................................. 828 1,420 Prime Hospitality Corporation, Series B, 8.375% 05/01/12............................................. 1,608 1,210 Six Flags, Inc., 9.750% 04/15/13(a).......................................... 1,143 2,655 Six Flags, Inc., 9.625% 06/01/14(a).......................................... 2,482 7,910 Trump Atlantic City Associates, 11.250% 05/01/06(a)......................................... 6,823 435 United Artists Theatre Circuit Inc., Series 1995-A, 9.300% 07/01/15(f).......................................... 444 1,438 Venetian Casino Resort, LLC, 11.000% 06/15/10............................................ 1,664 ---------- 26,207 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- MEDICAL DEVICES AND SUPPLIES -- 0.4% $ 2,275 Fisher Scientific International Inc., 8.125% 05/01/12............................................. $ 2,536 1,905 National Nephrology Associates, Inc., 9.000% 11/01/11@............................................ 2,203 ---------- 4,739 ---------- METALS AND MINING -- 1.6% 7,625 Allegheny Ludlum Corporation, 6.950% 12/15/25............................................. 7,244 5,490 Allegheny Technologies, Inc., 8.375% 12/15/11............................................. 5,847 2,160 Commonwealth Industries, Inc., 10.750% 10/01/06............................................ 2,165 2,725 Thermadyne Holdings Corporation, 9.250% 02/01/14............................................. 2,650 ---------- 17,906 ---------- NATURAL GAS PIPELINES -- 4.2% 7,140 ANR Pipeline, Inc., 9.625% 11/01/21............................................. 8,497 765 ANR Pipeline, Inc., 7.000% 06/01/25............................................. 782 5,450 Dynegy Holdings Inc., 9.875% 07/15/10@............................................ 6,159 2,025 El Paso Corporation, 7.000% 05/15/11(a).......................................... 1,954 590 El Paso Corporation, 7.500% 11/15/26............................................. 583 2,660 El Paso Corporation, 8.375%** 06/15/32........................................... 2,806 1,280 El Paso Corporation, MTN, 6.950% 12/15/07(a).......................................... 1,286 1,600 El Paso Corporation, MTN, 7.800% 08/01/31............................................. 1,404 4,160 El Paso Corporation, Series A, 7.625% 08/01/10............................................. 4,451 4,089 El Paso Energy Partners, Series B, 8.500% 06/01/11............................................. 4,595 211 GulfTerra Energy Partners, L.P., Series B, 8.500% 06/01/10............................................. 246 1,020 GulfTerra Energy Partners, LP, 10.625% 12/01/12............................................ 1,280 5,370 Northwest Pipelines Corporation, 7.125% 12/01/25............................................. 5,477 1,315 Southern Natural Gas Company, 7.350% 02/15/31............................................. 1,299 3,410 Tennessee Gas Pipeline Company, 7.000% 10/15/28............................................. 3,240 1,105 Tennessee Gas Pipeline Company, 8.375% 06/15/32............................................. 1,182
SEE NOTES TO FINANCIAL STATEMENTS. 107 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- NATURAL GAS PIPELINES -- (CONTINUED) $ 230 Tennessee Gas Pipeline Company, 7.625% 04/01/37............................................. $ 229 2,740 Transcontinental Gas Pipe Line Corporation, 7.250% 12/01/26............................................. 2,856 ---------- 48,326 ---------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT -- 1.5% 6,995 IPC Acquisition Corporation, 11.500% 12/15/09............................................ 7,695 4,390 Lucent Technologies Inc., 5.500% 11/15/08(a).......................................... 4,390 805 Lucent Technologies Inc., 6.500% 01/15/28............................................. 652 5,945 Lucent Technologies Inc., 6.450% 03/15/29............................................. 4,815 ---------- 17,552 ---------- OILFIELD SERVICES -- 0.9% 1,640 Grant Prideco, Inc., Series B, 9.625% 12/01/07(a).......................................... 1,849 5,155 Parker Drilling Company, 9.625% 10/01/13(a).......................................... 5,748 343 Parker Drilling Company, Series B, 10.125% 11/15/09............................................ 364 2,485 Pride International, Inc., 7.375% 07/15/14@............................................ 2,758 55 Trico Marine Services, Inc., 8.875% 05/15/12(a)(b)....................................... 24 ---------- 10,743 ---------- PACKAGING AND CONTAINERS -- 2.4% 3,675 Owens-Brockway Glass Containers, Inc., 8.875% 02/15/09............................................. 3,997 2,080 Owens-Brockway Glass Containers, Inc., 7.750% 05/15/11............................................. 2,215 5,440 Owens-Brockway Glass Containers, Inc., 8.750% 11/15/12............................................. 6,038 4,160 Owens-Brockway Glass Containers, Inc., 8.250% 05/15/13............................................. 4,430 6,480 Owens-Illinois, Inc., 8.100% 05/15/07(a).......................................... 6,804 2,605 Owens-Illinois, Inc., 7.800% 05/15/18............................................. 2,527 2,020 Tekni-Plex, Inc., 8.750% 11/15/13@(a)......................................... 1,919 ---------- 27,930 ---------- PAPER AND FOREST PRODUCTS -- 2.8% 1,515 Bowater Inc., 9.000% 08/01/09............................................. 1,669 3,245 Georgia-Pacific Corporation, 8.875% 02/01/10............................................. 3,797
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- PAPER AND FOREST PRODUCTS -- (CONTINUED) $ 1,190 Georgia-Pacific Corporation, 9.375% 02/01/13............................................. $ 1,401 4,060 Georgia-Pacific Corporation, 8.000% 01/15/24............................................. 4,618 740 Georgia-Pacific Corporation, 7.250% 06/01/28............................................. 766 3,184 Georgia-Pacific Corporation, 7.750% 11/15/29............................................. 3,423 11,020 Georgia-Pacific Corporation, 8.875% 05/15/31............................................. 13,361 1,170 Pope and Talbot, Inc., 8.375% 06/01/13............................................. 1,223 1,395 Pope and Talbot, Inc., 8.375% 06/01/13............................................. 1,458 ---------- 31,716 ---------- PHARMACEUTICALS -- 0.4% 7,340 Pharma Intermediate, (0.000)% due 04/01/14 11.500% beginning 04/01/09@................................. 4,624 ---------- PUBLISHING AND ADVERTISING -- 2.6% 2,570 American Color Graphics, 10.000% 06/15/10............................................ 1,979 516 Dex Media East LLC, 12.125% 11/15/12(a)......................................... 642 4,369 Hollinger Participation Trust, 12.125% 11/15/10@(d)........................................ 4,991 4,490 Houghton Mifflin Company, 7.200% 03/15/11............................................. 4,675 1,780 Medianews Group Inc., 6.875% 10/01/13............................................. 1,838 5,605 Morris Publishing Group LLC, 7.000% 08/01/13............................................. 5,641 4,299 Phoenix Color Corporation, 10.375% 02/01/09............................................ 4,127 4,120 Vertis Inc., 9.750% 04/01/09............................................. 4,429 1,461 Ziff Davis Media Inc., Series B, 13.000% 08/12/09............................................ 1,417 ---------- 29,739 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.8% 4,470 Crescent Real Estate Equities LP, 9.250% 04/15/09............................................. 4,817 4,475 Omega Healthcare Investors, Inc., 7.000% 04/01/14@............................................ 4,542 ---------- 9,359 ---------- SEMICONDUCTORS -- 0.1% 390 Amkor Technology, Inc., 7.125% 03/15/11............................................. 320 485 Amkor Technology, Inc., 7.750% 05/15/13(a).......................................... 398 390 ON Semiconductor Corporation, 12.000% 03/15/10............................................ 448 ---------- 1,166 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 108 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- SOFTWARE -- 0.2% $ 2,155 UGS Corporation, 10.000% 06/01/12@........................................... $ 2,349 ---------- STEEL -- 0.9% 1,930 AK Steel Corporation, 7.750% 06/15/12(a).......................................... 1,887 4,005 UCAR Finance Inc., 10.250% 02/15/12............................................ 4,585 3,200 United States Steel LLC, 10.750% 08/01/08............................................ 3,776 ---------- 10,248 ---------- TELECOMMUNICATIONS SERVICES -- 5.8% 3,334 Alamosa Delaware Inc., 11.000% 07/31/10(a)......................................... 3,776 2,150 Alamosa Delaware Inc., (0.000)% due 07/31/09 12.000% beginning 07/31/05(a)............................... 2,215 1,060 American Tower Escrow, 7.980%*** 08/01/08.......................................... 790 1,145 COLO.COM, 13.875% 03/15/10@(b)(e)..................................... 0++ 525 Dobson Communications Corporation, Class A, 10.875% 07/01/10............................................ 378 2,985 Dobson Communications Corporation, Class A, 8.875% 10/01/13(a).......................................... 1,925 555 Globix Corporation, 11.000% 05/01/08@(d)........................................ 510 583 GT Telecom Racers Notes Trust, Series A, 0.000%** 06/30/08(b)(c)(e).................................. 0++ 417 GT Telecom Racers Notes Trust, Series B, 0.000%** 06/30/08(b)(c)(e).................................. 0++ 1,164 Loral Cyberstar Inc., 10.000% 07/15/06(b)......................................... 920 3,510 PanAmSat Corporation, 9.000% 08/15/14@............................................ 3,650 665 Qwest Capital Funding, Inc., 7.750% 08/15/06............................................. 667 2,050 Qwest Communications International Inc., 7.250% 02/15/11@(a)......................................... 1,942 4,435 Qwest Communications International Inc., Series B, 7.500% 11/01/08............................................. 3,969 6,500 Qwest Communications Term B (Credit Suisse First Boston), 6.950%** 06/30/10(f)(g)..................................... 6,407 165 Qwest Corporation, 5.625% 11/15/08............................................. 162 1,130 Qwest Corporation, 9.125% 03/15/12@............................................ 1,243 1,410 Qwest Corporation, 7.250% 09/15/25............................................. 1,269
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 6,055 Qwest Corporation, 8.875% 06/01/31............................................. $ 5,979 2,950 Qwest Corporation, 7.125% 11/15/43............................................. 2,449 3,379 Qwest Services Corporation, 13.500%** 12/15/07@(a)...................................... 3,844 6,787 Qwest Services Corporation, 14.000%** 12/15/10@......................................... 7,923 6,279 Qwest Services Corporation, 14.500%** 12/15/14@......................................... 7,598 1,495 Syniverse Technologies Inc., Series B, 12.750% 02/01/09............................................ 1,674 3,535 Triton PCS Holdings Inc., 8.500% 06/01/13............................................. 3,208 2,600 US Unwired Inc., Series B, 10.000% 06/15/12............................................ 2,698 ---------- 65,196 ---------- TOBACCO -- 0.9% 6,135 Commonwealth Brands, Inc., 9.750% 04/15/08@............................................ 6,381 3,685 Commonwealth Brands, Inc., 10.625% 09/01/08@(a)........................................ 3,832 ---------- 10,213 ---------- UTILITIES -- MISCELLANEOUS -- 0.1% 880 Sensus Metering Systems, 8.625% 12/15/13............................................. 898 ---------- TOTAL CORPORATE BONDS AND NOTES (Cost $700,430)............................................. 746,284 ---------- FOREIGN BONDS AND NOTES -- 12.7% BROADCASTING AND CABLE -- 3.5% 8,260 CanWest Media Inc., Series B, 7.625% 04/15/13............................................. 8,880 11,205(h) Ono Finance plc, 10.500% 05/15/14@........................................... 13,918 1,750 Quebecor Media Inc., 11.125% 07/15/11............................................ 2,021 2,620 Quebecor Media Inc., (0.000)% due 07/15/11 13.750% beginning 07/15/06.................................. 2,528 2,595 Rogers Cable Inc., 11.000% 12/01/15............................................ 2,906 6,060(i) Shaw Communications Inc., Class B, 7.500% 11/20/13............................................. 4,929 2,310(h) Telenet Communication NV, 9.000% 12/15/13@............................................ 3,020 4,310 Telenet Group Holdings, NV, (0.000)% due 06/15/14 11.50% beginning 12/15/08@(a)............................... 3,168 ---------- 41,370 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 109 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- 0.3% $ 2,620 Acetex Corporation, 10.875% 08/01/09............................................ $ 2,882 65 Marsulex Inc., 9.625% 07/01/08............................................. 64 ---------- 2,946 ---------- ELECTRIC POWER -- NON NUCLEAR -- 0.9% 14,565 Calpine Canada Energy Finance, 8.500% 05/01/08(a).......................................... 10,050 ---------- FOOD PRODUCTS -- 0.6% 3,430 Burns Philp Capital Property Ltd., 10.750% 02/15/11............................................ 3,790 1,855 Burns Philp Capital Property Ltd., 9.500% 11/15/10............................................. 2,013 7,895(h) Parmalat Finance Corporation, BV, 6.250% 02/07/05(b).......................................... 1,471 ---------- 7,274 ---------- INSURANCE -- 0.2% 3,125 Fairfax Financial Holdings Limited, 7.750% 07/15/37............................................. 2,422 ---------- NATURAL GAS PIPELINES -- 0.2% 1,865 Gemstone Investors Ltd., 7.710% 10/31/04@............................................ 1,867 ---------- OILFIELD SERVICES -- 1.3% 4,525 J. Ray McDermott, S.A., 11.000% 12/15/13@(a)........................................ 4,921 3,546 Petroleum Geo-Services ASA, 8.000% 11/05/06............................................. 3,625 5,370 Petroleum Geo-Services ASA, 10.000% 11/05/10............................................ 6,082 ---------- 14,628 ---------- PACKAGING AND CONTAINERS -- 1.2% 6,750 Crown Euro Holdings S.A., 9.500% 03/01/11............................................. 7,526 5,285 Crown Euro Holdings S.A., 10.875% 03/01/13(a)......................................... 6,144 ---------- 13,670 ---------- PAPER AND FOREST PRODUCTS -- 1.5% 995 Abitibi-Consolidated Inc., 8.850% 08/01/30............................................. 985 6,670 Norske Skog Canada Ltd., Series D, 8.625% 06/15/11............................................. 7,236 6,390 Tembec Industries, Inc., 8.625% 06/30/09............................................. 6,550 1,145 Tembec Industries, Inc., 8.500% 02/01/11............................................. 1,197 1,620 Tembec Industries, Inc., 7.750% 03/15/12............................................. 1,628 ---------- 17,596 ----------
PRINCIPAL AMOUNT VALUE (000) (000) ---------------------------------------------------------------------------------------- PUBLISHING AND ADVERTISING -- 0.8% $ 930 Hollinger Inc., 11.875% 03/01/11@........................................... $ 930 3,945 Hollinger Inc., 12.875%** 03/01/11@......................................... 4,497 3,800 Sun Media Corporation, 7.625% 02/15/13............................................. 4,066 ---------- 9,493 ---------- RAILROADS, TRUCKING AND SHIPPING -- 0.6% 1,315 Grupo Transportacion Ferroviaria Mexicana, S.A. de C.V., 11.750% 06/15/09............................................ 1,328 2,770 Grupo Transportacion Ferroviaria Mexicana, S.A. de C.V., 12.500% 06/15/12............................................ 3,075 230 Sea Containers Ltd., Series B, 10.750% 10/15/06(a)......................................... 236 505 Sea Containers Ltd., Series B, 7.875% 02/15/08(a).......................................... 495 1,225 Stena AB, 9.625% 12/01/12............................................. 1,367 ---------- 6,501 ---------- STEEL -- 0.5% 4,666 Algoma Steel Inc., 11.000%** 12/31/09(f)....................................... 5,179 ---------- TELECOMMUNICATIONS SERVICES -- 1.1% 4,340 Millicom International Cellular S.A., 10.000% 12/01/13@........................................... 4,362 4,930 Mobifon Holdings BV 12.500% 07/31/10............................................ 5,767 1,735 Rogers Cantel Inc., 9.750% 06/01/16............................................. 1,937 ---------- 12,066 ---------- TOTAL FOREIGN BONDS AND NOTES (Cost $132,314)............................................. 145,062 ---------- FOREIGN CONVERTIBLE BONDS AND NOTES -- 0.8% TELECOMMUNICATIONS SERVICES -- 0.8% (Cost $7,343) 9,840 Nortel Networks Corporation, 4.250% 09/01/08(a).......................................... 9,496 ---------- SHARES --------- PREFERRED STOCKS -- 1.9% BROADCASTING AND CABLE -- 0.1% 9,700 Paxson Communications Corporation(d).......................... 730 ----------
SEE NOTES TO FINANCIAL STATEMENTS. 110 NATIONS MASTER INVESTMENT TRUST Nations High Yield Bond Master Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ---------------------------------------------------------------------------------------- HEALTH SERVICES -- 0.5% 216,900 QuadraMed Corporation@........................................ $ 5,206 ---------- PUBLISHING AND ADVERTISING -- 0.4% 98,000 Haights Cross Communications Inc.!!(f)........................ 4,925 328 Ziff Davis Holdings Inc., Series E-1!!........................ 171 ---------- 5,096 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 0.9% 73,060 Sovereign REIT, Series A@..................................... 10,757 ---------- TELECOMMUNICATIONS SERVICES -- 0.0%+ 30,035 NEON Communications, Inc.!!(e)(f)............................. 338 ---------- TOTAL PREFERRED STOCKS (Cost $20,691).............................................. 22,127 ---------- WARRANTS -- 0.1% 730,353 ACP Holding Company Expire 10/07/13!!@.......................................... 1,076 1,145 COLO.COM Expire 03/15/10!!@.......................................... 0++ 52 General Chemical Industrial Products Inc., Class A Expire 03/31/11!!(a)(e)(f).................................. 1 71 General Chemical Industrial Products Inc., Class B Expire 03/31/11!!(a)(e)(f).................................. 3 98 Haights Cross Communications Inc. Expire 12/10/11!!(e)(f)..................................... 0++ 93,550 Haights Cross Communications Inc. Expire 12/10/11!!(e)(f)..................................... 1 1,663 ICO Global Communications Expire 5/16/06!!............................................ 0++ 275,617 NEON Communications, Inc. Expire 12/02/12!!(a)(e)(f).................................. 3 180,266 NEON Communications, Inc., Preferred Expire 12/02/12!!(e)(f)..................................... 2 150,231 NEON Communications, Inc., Class A Expire 12/02/12!!(e)(f)..................................... 188 1,365 Ono Finance plc Expire 03/16/11!!@(e)....................................... 0++ 220 Thermadyne Holdings Corporation Expire 05/23/06!!(e)(f)..................................... 0++ 180 UbiquiTel Inc. Expire 04/15/10!!@.......................................... 0++ 60,280 Ziff Davis Holdings Inc. Expire 08/12/12!!@.......................................... 30 ---------- TOTAL WARRANTS (Cost $500)................................................. 1,304 ---------- SHARES VALUE (000) (000) ---------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 25.0% (Cost $285,642) 285,642 Nations Cash Reserves, Capital Class Shares#.................. $ 285,642 ---------- TOTAL INVESTMENTS (Cost $1,203,802*)................................ 110.7% 1,267,986 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (10.7)% (122,253) ---------- NET ASSETS.......................................... 100.0% $1,145,733 ==========
--------------- * Federal income tax information: Net unrealized appreciation of $64,184 on investment securities was comprised of gross appreciation of $90,544 and depreciation of $26,360 for federal income tax purposes. At September 30, 2004, the aggregate cost for federal income tax purposes was $1,203,802. **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. *** Zero coupon security. The rate shown reflects the yield to maturity at September 30, 2004. !!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 9). The portion that represents cash collateral is $168,225. (a) All or portion of security was on loan at September 30, 2004. The aggregate cost and market value of securities on loan at September 30, 2004, is $159,578 and $158,931, respectively. (b) Issuer in default. (c) Issuer in bankruptcy. (d) Payment in Kind ("PIK"). Interest or dividend payment is made with additional securities. (e) Fair valued security. (f) Restricted and illiquid security. (g) Loan participation agreement (h) Principal amount denominated in Euro. (i) Principal amount denominated in Canadian dollar. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 111 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2004
INTERMEDIATE HIGH YIELD BOND MASTER BOND MASTER PORTFOLIO PORTFOLIO ------------------------------------------------------------------------------------------------ (IN THOUSANDS) ASSETS: Non-affiliated investments, at cost......................... $ 663,254 $ 918,160 Affiliated investments, at cost............................. 49,032 285,642 -------------- --------------- Non-affiliated investments, at value........................ 673,372 982,344 Affiliated investments, at value............................ 49,032 285,642 Receivable for investment securities sold................... -- 25,051 Dividends receivable........................................ 15 120 Interest receivable......................................... 6,614 22,592 -------------- --------------- Total assets................................................ 729,033 1,315,749 -------------- --------------- LIABILITIES: Collateral on securities loaned............................. (35,781) (168,225) Variation margin/due to broker.............................. (4) -- Investment advisory fee payable............................. (229) (513) Administration fee payable.................................. -- (47) Due to custodian............................................ (18) (516) Payable for investment securities purchased................. -- (618) Accrued Trustees' fees and expenses......................... (37) (39) Accrued expenses and other liabilities...................... (36) (58) -------------- --------------- Total liabilities........................................... (36,105) (170,016) -------------- --------------- NET ASSETS.................................................. $ 692,928 $ 1,145,733 ============== ===============
SEE NOTES TO FINANCIAL STATEMENTS. 112 NATIONS MASTER INVESTMENT TRUST STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2004
INTERMEDIATE HIGH YIELD BOND BOND MASTER MASTER PORTFOLIO PORTFOLIO ----------------------------------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 12,844 $ 45,833 Dividends (Net of foreign withholding taxes of $0 and $1, respectively)............................................. -- 151 Dividend income from affiliated funds....................... 89 427 Securities lending.......................................... 28 166 -------------- -------------- Total investment income................................. 12,961 46,577 -------------- -------------- EXPENSES: Investment advisory fee..................................... 1,410 3,120 Administration fee.......................................... 176 284 Custodian fees.............................................. 29 49 Legal and audit fees........................................ 24 24 Trustees' fees and expenses................................. 9 9 Interest expense............................................ -- 1 Other....................................................... 9 13 -------------- -------------- Total expenses.......................................... 1,657 3,500 Fees reduced by credits allowed by the custodian (see Note 3)........................................................ --* (3) Fees waived by administrator (see Note 3)................... (176) -- -------------- -------------- Net expenses............................................ 1,481 3,497 -------------- -------------- NET INVESTMENT INCOME....................................... 11,480 43,080 -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... (1,223) 29,414 Swap contracts............................................ 69 -- Futures................................................... (320) -- Written options........................................... (78) -- Foreign currency and other net assets..................... -- 99 -------------- -------------- Net realized gain/(loss) on investments..................... (1,552) 29,513 -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities................................................ (10,754) (34,886) Swap contracts............................................ (67) -- Futures................................................... (354) -- Foreign currency and other net assets..................... 8 17 -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... (11,167) (34,869) -------------- -------------- Net realized and unrealized gain/(loss) on investments...... (12,719) (5,356) -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ (1,239) $ 37,724 ============== ==============
--------------- * Amount represents less than $500. SEE NOTES TO FINANCIAL STATEMENTS. 113 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 9/30/04 YEAR ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 ----------------------------------------------------------------- (IN THOUSANDS) Net investment income.................................. $ 11,480 $ 23,684 $ 43,080 $ 89,077 Net realized gain/(loss) on investments................ (1,552) 16,276 29,513 45,456 Net change in unrealized appreciation/(depreciation) of investments.......................................... (11,167) (5,781) (34,869) 106,780 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets resulting from operations........................................... (1,239) 34,179 37,724 241,313 Contributions.......................................... 47,974 162,098 251,029 1,083,816 Withdrawals............................................ (103,039) (232,258) (391,383) (772,416) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets.................. (56,304) (35,981) (102,630) 552,713 NET ASSETS: Beginning of period.................................... 749,232 785,213 1,248,363 695,650 -------------- -------------- -------------- -------------- End of period.......................................... $ 692,928 $ 749,232 $ 1,145,733 $ 1,248,363 ============== ============== ============== ==============
FINANCIAL HIGHLIGHTS
WITHOUT WAIVERS AND/OR EXPENSE REIMBURSEMENTS --------------- RATIO OF RATIO OF RATIO OF OPERATING NET INVESTMENT OPERATING EXPENSES INCOME/(LOSS) TO PORTFOLIO EXPENSES TO TOTAL TO AVERAGE AVERAGE NET TURNOVER AVERAGE RETURN NET ASSETS ASSETS RATE NET ASSETS ----------------------------------------------------------------------------- INTERMEDIATE BOND MASTER PORTFOLIO: Six months ended 9/30/2004# (unaudited)..... 0.07% 0.42%(c)+ 3.26%+ 19% 0.47%(c)+ Year ended 3/31/2004........................ 4.66 0.46(c)(d) 3.10 200 0.47(c) Year ended 3/31/2003........................ 10.85 0.47(c)(d) 3.70 122 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+ HIGH YIELD BOND MASTER PORTFOLIO: Six months ended 9/30/2004# (unaudited)..... 3.68% 0.62%(c)+ 7.60%+ 16% 0.62%(c)+ Year ended 3/31/2004........................ 25.53 0.61(c) 7.85 51 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 3) 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. 114 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, 2004, 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 and restrictions. These risks are likely to be greater in emerging markets than in developed markets. 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, 2004: INTERMEDIATE BOND MASTER PORTFOLIO: Nations Intermediate Bond Fund.............................. 96.8% Nations Intermediate Bond Fund (Offshore)................... 3.2% HIGH YIELD BOND MASTER PORTFOLIO: Nations High Yield Bond Fund................................ 94.2% Nations High Yield Bond Fund (Offshore)..................... 5.8%
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: Debt securities will generally be valued using prices provided by a pricing service which may employ various indications of value including but not limited to broker-dealer quotations. Certain debt security prices provided by 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 generally valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on Nasdaq are generally valued at the Nasdaq official closing price. Securities which are primarily traded on foreign securities exchanges are generally valued at the last available sale price on their respective exchanges where primarily traded. 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. 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. 115 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 above the exercise price of the option. By writing a put option, a Master Portfolio assumes the risk that it may be required to purchase the underlying security. 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 4:00 p.m. London time by a pricing service. 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 116 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. At September 30, 2004, the Master Portfolios had no open forward foreign currency contracts. 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 assets and liabilities. 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 net realized gain/(loss) on investments. 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, elements of market risk in excess of the amount recognized in the Statements of assets and liabilities. 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 gains on the underlying securities purchased and any unrealized losses 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 gains and losses are recorded and reported in the same manner. Loan Participations and Commitments: The High Yield Bond 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 117 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) between the Master 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 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 maximum 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, 2004, BACAP Distributors earned annual rates of 0.00% of Intermediate Bond and 0.05% of High Yield Bond Master Portfolios' average daily net assets (net of waivers) for its administration services. BNY serves as the custodian of the Master Trust's assets. 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 an 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 advised by 118 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) BACAP. 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 assets and liabilities. 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 earn advisory and administration fees on the investments made in the Nations Cash Reserves in addition to the advisory and administration fees earned by BACAP and BACAP Distributors from the Master Portfolios. For the six months ended September 30, 2004, BACAP and BACAP Distributors earned the following fees related to investments in affiliated funds:
ADMINISTRATION FEES ADVISORY FEES (EARNED BY BACAP (EARNED BY BACAP) DISTRIBUTORS) (000) (000) -------------------------------------------------- Intermediate Bond Master Portfolio......................... $10 $ 5 High Yield Bond Master Portfolio........................... 44 23
3. TOTAL OPERATING EXPENSE LIMITATIONS For the six months ended September 30, 2004 and until July 31, 2005, BACAP Distributors has agreed to waive 0.05% of it administration fees for the Intermediate Bond Master Portfolio. For the six months ended September 30, 2004, expenses of the Master Portfolios were reduced by $3,034 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. 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, 2004 were as follows:
PURCHASES SALES (000) (000) --------------------- Intermediate Bond Master Portfolio.......................... $ 43,736 $ 45,805 High Yield Bond Master Portfolio............................ 166,540 324,466
The aggregate cost of purchases and proceeds from sales of long-term U.S. government securities for the six months ended September 30, 2004 were as follows:
PURCHASES SALES (000) (000) -------------------- Intermediate Bond Master Portfolio.......................... $86,892 $95,651 High Yield Master Portfolio................................. -- --
119 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 5. FUTURES CONTRACTS At September 30, 2004, 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 2004(a).......................................... 457 $50,363 $50,613 $250 U.S. 10 year Treasury Note Futures (short position) expiring December 2004(a).......................................... 27 3,046 3,041 (5) ---- Total net unrealized appreciation......................... $245 ====
--------------- (a)Securities have been segregated as collateral for the Master Portfolio's open futures contracts. 6. WRITTEN OPTIONS Written options for the Intermediate Bond Master Portfolio for the six months ended September 30, 2004 aggregated the following:
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS CONTRACTS* (000) ------------------------------------------------------------------------------------ Outstanding at March 31, 2004............................... -- $ -- Contracts opened............................................ 1.12 7 Contracts closed............................................ -- -- Contracts expired........................................... (1.12) (7) ----- ----- Outstanding at September 30, 2004........................... -- $ -- ===== =====
--------------- *1 contract = $1,000,000 notional amount. 7. SWAP CONTRACTS At September 30, 2004, the Intermediate Bond Master Portfolio had the following swap contracts outstanding:
UNREALIZED NOTIONAL PAYMENTS PAYMENTS APPRECIATION/ AMOUNT MADE RECEIVED BY (DEPRECIATION) DESCRIPTION (000) BY THE FUND THE FUND (000) ------------------------------------------------------------------------------------------------------------------------ Contract with Citigroup, effective April 18, 2003, expiring June 20, 2008(a)................................................. $3,000 (b) (b) $10 Contract with Citigroup, effective April 23, 2003, expiring June 20, 2008(a)................................................. 3,000 3-month LIBOR 3.380% 57 --- Total unrealized appreciation............................... $67 ===
--------------- (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. 8. 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 120 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) (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, 2004. During the six months ended September 30, 2004, borrowings by the Master Portfolios under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST PORTFOLIO (000) RATE -------------------------------------------------------------------------------------- High Yield Bond Master Portfolio............................ $144 1.49%
--------------- *The average amount outstanding was based on daily balances in the period. 9. 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 plus accrued income from investment of the collateral. 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. The income earned by each Master Portfolio from securities lending is included in its Statement of operations. At September 30, 2004, the following Master Portfolios had securities on loan:
MARKET MARKET VALUE OF VALUE LOANED SECURITIES OF COLLATERAL (000) (000) ---------------------------------- Intermediate Bond Master Portfolio.......................... $ 34,676 $ 35,781 High Yield Bond Master Portfolio............................ 158,931 168,225
10. 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, 2004 for the High Yield Bond Master Portfolio.
MARKET ACQUISITION VALUE PERCENTAGE ACQUISITION COST 9/30/04 OF NET SECURITY DATE (000) (000) ASSETS ---------------------------------------------------------------------------------------------------------------------- Algoma Steel Inc., 11.000% due 12/31/09..................................... 03/12/01-06/20/01 $ 3,223 $ 5,179 0.1% Fountain View, Inc. ....................................... 09/03/03 --** 2 0.0* General Chemical Industrial Products Inc.: Common Stock............................................. 05/24/04 210 17 0.0* Warrants, Class A, expires 03/31/11...................... 05/24/04 9 1 0.0* Warrants, Class B, expires 03/31/11...................... 05/24/04 33 3 0.0* Goodyear Tire & Rubber Company Credit Revolver, 5.610% due 03/31/2006.................................... 02/18/04 4,300 3,739 0.3
121 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
MARKET ACQUISITION VALUE PERCENTAGE ACQUISITION COST 9/30/04 OF NET SECURITY DATE (000) (000) ASSETS ---------------------------------------------------------------------------------------------------------------------- Haights Cross Communications Inc.: Preferred Stock.......................................... 01/15/04 $ 4,561 $ 4,925 0.4% Warrants, expires 12/10/11............................... 01/15/04 --** --** 0.0* Warrants, expires 12/10/11............................... 01/15/04 -- 1 0.0* ICO Global Communications Holdings LTD., Common Stock...... 01/11/02 61 1 0.0* Mirant Revolver Credit Facility: 0.000% due 01/15/05...................................... 04/11/03 1,400 855 0.1 0.000% due 07/17/05...................................... 12/19/03-09/24/04 1,736 1,421 0.1 NEON Communications, Inc.: Common Stock............................................. 07/01/03 244 345 0.0* Preferred Stock.......................................... 12/04/02 338 338 0.0* Preferred Warrants, expires 12/02/12..................... 01/03/03 -- 2 0.0* Warrants, expires 12/02/12............................... 07/01/03 244 3 0.0* Warrants, Class A, expires 12/02/12...................... 12/04/02 -- 188 0.0* NRG Energy, Inc., Credit Agreement: 5.559% due 06/23/10...................................... 12/19/03 829 855 0.1 7.000% due 06/23/10...................................... 12/19/03 1,464 1,510 0.1 QuadraMed Corporation, Common Stock........................ 04/26/04 541 1,300 0.1 Qwest Communications Term B, 6.950% due 06/30/10...................................... 05/23/03-06/12/03 6,393 6,407 0.6 Rockwood Specialities Group, Inc., Bank Loan: 9.095% due 02/11/11...................................... 07/28/04 4,900 4,968 0.4 9.710% due 02/11/11...................................... 07/28/04 2,293 2,305 0.2 Salton Sea Funding, Series B, 7.370% due 05/30/05...................................... 01/22/01 135 141 0.0* Thermadyne Holding Corporation: Common Stock............................................. 09/25/03 1,822 1,741 0.2 Warrants, expires 5/23/06................................ 06/18/03 -- --** 0.0* United Artists Theatre Circuit Inc., Series 1995-A 9.300% due 07/01/15...................................... 11/28/00-07/21/03 321 444 0.0* Viasystems Term Loan B, 7.150% due 09/30/08...................................... 01/12/04-01/14/04 2,734 2,723 0.2 ------- ------- --- TOTALS..................................................... $37,791 $39,414 2.9% ======= ======= ===
--------------- * Amount represents less than 0.1%. **Amount represents less than $500. 11. COMMITMENTS AND CONTINGENCIES As of September 30, 2004, the High Yield Bond Master Portfolio had unfunded loan commitments pursuant to the following loan agreements:
UNFUNDED COMMITMENT BORROWER: (000) --------------------------------------------------------------------------------- Mirant Revolving Credit Facility............................ $1,276 NRG Energy, Inc. ........................................... 1,300
12. CONTINGENCIES AND OTHER 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 various mutual funds, including other funds in the 122 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Nations Funds family. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and "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 Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name the Funds, among others, as defendants (see Civil Litigation below). The independent Trustees of the Funds have engaged independent legal counsel and, through them, accountants to evaluate the extent of any monetary impact to any Funds from discretionary market timing or from late trading. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds (the "Boards") 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 the Funds in connection with this matter. Settlements in Principle with Regulators On March 15, 2004, Bank of America Corporation and FleetBoston Financial Corporation ("Fleet") entered into agreements in principle (each an "Agreement" and together, the "Agreements") with the NYAG and the SEC over matters related to improper late trading and market timing of mutual funds. As noted below, on April 1, 2004, Bank of America Corporation acquired Fleet. Under the Agreements, Bank of America Corporation has agreed to pay $250 million in total disgorgement and restitution and a penalty of $125 million and FleetBoston Financial Corporation agreed to pay $70 million in total disgorgement and restitution and a penalty of $70 million. In addition, the Agreement with the NYAG requires an aggregate reduction in mutual fund fees of $32 million per year for five years across selected non-money market funds in the Nations Funds and Fleet mutual fund complexes. The final amount payable as restitution and whether such restitution will be effectuated through a Fund or directly to shareholders, has not yet been determined. When finalized, the Agreements will conclude the investigation by the NYAG and the SEC of Bank of America Corporation and its affiliates relating to late trading and market timing activities, provided that the NYAG and the SEC have reserved the right to continue their respective investigations of and actions against individuals. Management believes that the Agreements, and their finalization, will not have a material adverse effect, on any Fund's financial positions or results of operations. However, a review by the accountants engaged to investigate these matters for the Boards remains ongoing. Accordingly, an estimate of the financial impact on any Fund cannot currently be made. Bank of America Corporation Acquisition of Fleet On April 1, 2004, Bank of America Corporation acquired Fleet. As a result of this acquisition, Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributor, Inc. ("CFDI") are now indirect wholly-owned subsidiaries of Bank of America Corporation. The SEC and NYAG filed proceedings against both CMA and CFDI on February 24, 2004 alleging that they had violated certain provisions of the federal securities laws in connection with trading activity in mutual funds shares and violated certain New York anti-fraud statutes. In order to settle these matters, as noted above, Fleet entered into the March 15, 2004 Agreements with the NYAG and the SEC. In addition, both Bank of America and Fleet committed to use best efforts to implement certain enhanced governance and compliance procedures with respect to advised mutual funds and agreed to the retention of independent consultants to review compliance, control and other policies and procedures relating to their respective mutual fund advisory businesses. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, or if any final settlement includes an injunction against CMA or CFDI prohibiting them 123 NATIONS MASTER INVESTMENT TRUST NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) from engaging in certain conduct, CMA, CFDI or any company that is an affiliated person of CMA and CFDI could be barred from serving as an investment adviser or distributor for any investment company registered under the Investment Company Act of 1940. As a result of the Fleet acquisition, BACAP and BACAP Distributors are now affiliated persons of CMA and CFDI and, therefore, under these circumstances, could be barred from serving as an investment adviser or distributor for any registered investment company, including the Funds. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, it is expected that BACAP and BACAP Distributors would seek exemptive relief from the SEC to permit them to continue serving as the investment adviser and distributor of the Funds. Civil Litigation In connection with the events described in detail above, various parties have filed suit against certain Funds, their Boards and/or Bank of America Corporation (and affiliated entities). These cases have been consolidated in a multi-district proceeding and transferred to the Federal District Court in Maryland. These suits and certain regulatory investigations are ongoing. Accordingly, an estimate of the financial impact of this litigation on any Fund, if any, cannot currently be made. 124 [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 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 FIXEDSAR (9/04) Nations LifeGoal(R) Growth Portfolio NATIONS LIFEGOAL(R) PORTFOLIOS Nations LifeGoal(R) Balanced ------------------------------------ Growth Portfolio Semiannual report for the period ended September 30, 2004 Nations LifeGoal(R) Income and Growth Portfolio Nations LifeGoal(R) Income Portfolio [NATIONS FUNDS LOGO] Guidelines and information about how Nations Funds voted proxies for securities they held during the 12-month period ended June 30, 2004 are available without charge at www.nationsfunds.com and at http://www.sec.gov or by calling 1.800.321.7854. Beginning with the Funds' fiscal quarter ending December 31, 2004, the Funds will file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds' Forms N-Q will also be available on our website at www.nationsfunds.com. 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 US economy grew at a healthy pace during the six-month period that ended September 30, 2004. Despite uncertainty about job growth, consumer spending and rising energy prices, gross domestic product growth was comfortably above the long-term historical average of 3.0%. In general, corporate profits continued to rise, which provided companies with the resources to increase spending. Industrial production rose; factories used more of their capacity; and spending on technology, capital equipment and construction all increased. STOCKS FALTER WHILE BONDS EKE OUT A POSITIVE RETURN Although this environment provided a solid foundation for the financial markets, the stock market was unsettled by external events such as the fall presidential election, renewed terror threats and continued fighting in Iraq. As a result, many investors remained on the sidelines. The S&P 500 Index(1) and the Russell 3000 Index(2), two broad measures of US stock market performance, returned negative 0.18% and negative 0.60% respectively, over this six-month reporting period. The broad markets for small- and mid-cap stocks and value stocks did somewhat better. The Russell MidCap Value Index returned 3.50%(3) and the Russell 2000 Value Index returned 1.00%.(4) Energy stocks were the period's strongest performers. They gained more than 19% during the period, as measured by Standard & Poor's. The bond market encountered considerable volatility when job growth picked up in the spring and investors began to anticipate higher short-term interest rates. However, a shaky stock market and some weak economic data gave the bond market a boost in the final months of the period. The Lehman Brothers Aggregate Bond Index eked out a positive return of 0.68% over this six-month reporting period.(5) High-yield bonds, which can be less sensitive to changing interest rates, led the fixed-income markets. The Merrill Lynch US High Yield, Cash Pay Index returned 3.72% over the same period.(6) LOOKING AHEAD Although the soft patch encountered by the economy during the summer months appears to be behind us, a meaningful acceleration of economic activity does not appear to be in the works. In fact, leading economic indicators suggest that growth remains in line with the economy's long-term average. Job growth has become increasingly important to the outlook for consumer income and spending, and there the trend is encouraging. Although monthly data has been volatile over the past year, year-over-year data shows that payroll growth has swung from a decline of 1% to 2% in 2002 to an increase of 1% in 2004. (1)The S&P 500 Index is an unmanaged index of 500 widely held common socks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (2)The Russell 3000 Index is an unmanaged index that tracks the performance of the 3,000 largest US companies based on total market capitalization. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (3)The Russell MidCap Value Index is an unmanaged index that measures the performance of those Russell MidCap Index companies with lower price-to-book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (4)The Russell 2000 Value Index is an unmanaged index that tracks the performance of those Russell 2000 companies with lower price-to book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (5)The Lehman Brothers Aggregate Bond Index is a market value-weighted index that tracks fixed-rate, publicly placed, dollar-denominated, and non-convertible investment grade debt issues. (6)The Merrill Lynch US High Yield, Cash Pay Index is an unmanaged index that tracks the performance of non-investment-grade corporate bonds. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... In this environment, we believe that the outlook is slightly better for stocks than for bonds. Although long-term Treasury yields have declined in recent months, we expect them to move higher once the Federal Reserve Board completes its cycle of short-term rate increases. We expect to see short-term rates rise to 3% to 4% and long-term rates go to 5% or higher. Higher long-term rates would be a challenge for the bond market because yields and bond prices move in opposite directions. We expect the outlook for the stock market to improve if and when some of the current uncertainties are resolved. Certainly if the price of oil retreats from its current high level, it would take some pressure off consumers and the market would be one of the likely beneficiaries. STRATEGIC THINKING ABOUT YOUR INVESTMENTS Regardless of the short-term outlook for stocks and bonds, we believe that there are certain basic principles that can help you achieve your long-term financial goals. Think long term. Have a plan for investing, and stick to it. Own a diversified mix of investments. Add to your investments regularly. If you can incorporate these four principles into your investment plan, you will find it easier to ignore the short-term gyrations of the market. If you work with an investment professional, be sure to consult him or her if you have questions or concerns about your investments. An investment professional can be an important ally in helping you keep your financial goals on track. As always, we thank you for investing in Nations Funds and we look forward to serving your financial needs in the years to come. Sincerely, -s- WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS -s- KEITH T. BANKS KEITH T. BANKS PRESIDENT OF NATIONS FUNDS PRESIDENT OF BANC OF AMERICA CAPITAL MANAGEMENT, LLC September 30, 2004 The information and data provided in this analysis are derived from sources that we deem to be reliable and accurate. The opinions expressed here are strictly those of the contributors and are subject to change without notice. TABLE OF CONTENTS DISCLOSURE OF FUND EXPENSES AND PORTFOLIO HOLDINGS Nations LifeGoal Growth Portfolio 3 Nations LifeGoal Balanced Growth Portfolio 5 Nations LifeGoal Income and Growth Portfolio 7 Nations LifeGoal Income Portfolio 9 FINANCIAL STATEMENTS Schedule of investments 11 Statements of assets and liabilities 15 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
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 2003.
[This page intentionally left blank] NATIONS LIFEGOAL GROWTH PORTFOLIO SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 990.30 $1.25 Hypothetical**.............................................. $1,000.00 $1,023.82 $1.27 INVESTOR A Actual...................................................... $1,000.00 $ 988.50 $2.49 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR B Actual...................................................... $1,000.00 $ 985.30 $6.22 Hypothetical**.............................................. $1,000.00 $1,018.80 $6.33 INVESTOR C Actual...................................................... $1,000.00 $ 985.30 $6.22 Hypothetical**.............................................. $1,000.00 $1,018.80 $6.33
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.25%, Investor A 0.50%, Investor B 1.25% and Investor C 1.25%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 3 NATIONS LIFEGOAL GROWTH PORTFOLIO PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 82.1% Domestic equity funds 17.9% International equity funds
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 4 NATIONS LIFEGOAL BALANCED GROWTH PORTFOLIO SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 977.00 $1.24 Hypothetical**.............................................. $1,000.00 $1,023.82 $1.27 INVESTOR A Actual...................................................... $1,000.00 $ 996.60 $2.50 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR B Actual...................................................... $1,000.00 $ 992.20 $6.24 Hypothetical**.............................................. $1,000.00 $1,018.80 $6.33 INVESTOR C Actual...................................................... $1,000.00 $ 992.30 $6.24 Hypothetical**.............................................. $1,000.00 $1,018.80 $6.33
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.25%, Investor A 0.50%, Investor B 1.25% and Investor C 1.25%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 5 NATIONS LIFEGOAL BALANCED GROWTH PORTFOLIO PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 50.5% Domestic equity funds 39.6% Fixed income funds 9.9% International equity funds
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 6 NATIONS LIFEGOAL INCOME AND GROWTH PORTFOLIO SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $ 999.90 $1.25 Hypothetical**.............................................. $1,000.00 $1,023.82 $1.27 INVESTOR A Actual...................................................... $1,000.00 $ 997.80 $2.50 Hypothetical**.............................................. $1,000.00 $1,022.56 $2.54 INVESTOR B Actual...................................................... $1,000.00 $ 995.00 $6.25 Hypothetical**.............................................. $1,000.00 $1,018.80 $6.33 INVESTOR C Actual...................................................... $1,000.00 $ 994.10 $6.25 Hypothetical**.............................................. $1,000.00 $1,018.80 $6.33
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.25%, Investor A 0.50%, Investor B 1.25% and Investor C 1.25%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 7 NATIONS LIFEGOAL INCOME AND GROWTH PORTFOLIO PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 64.5% Fixed income funds 29.5% Domestic equity funds 6.0% International equity funds
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 8 NATIONS LIFEGOAL INCOME PORTFOLIO SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a class's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the class's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- PRIMARY A Actual...................................................... $1,000.00 $1,010.20 $2.12 Hypothetical**.............................................. $1,000.00 $1,022.96 $2.13 INVESTOR A Actual...................................................... $1,000.00 $1,009.00 $3.37 Hypothetical**.............................................. $1,000.00 $1,021.71 $3.40 INVESTOR B Actual...................................................... $1,000.00 $1,005.10 $7.14 Hypothetical**.............................................. $1,000.00 $1,017.95 $7.18 INVESTOR C Actual...................................................... $1,000.00 $1,005.20 $7.14 Hypothetical**.............................................. $1,000.00 $1,017.95 $7.18
--------------- * Expenses are equal to each class's annualized expense ratios (Primary A 0.42%, Investor A 0.67%, Investor B 1.42% and Investor C 1.42%), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 9 NATIONS LIFEGOAL INCOME PORTFOLIO PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 91.1% Fixed income funds 5.1% Domestic equity fund 3.8% Money market fund
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. 10 NATIONS FUNDS Nations LifeGoal Growth Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES** -- 100.0% 1,173,659 Nations International Value Fund, Primary A Class............. $ 24,271 3,694,161 Nations Marsico Focused Equities Fund, Primary A Class........ 61,729 2,915,471 Nations Marsico International Opportunities Fund, Primary A Class....................................................... 30,758 1,846,001 Nations MidCap Growth Fund, Primary A Class................... 20,749 1,774,635 Nations MidCap Value Fund, Primary A Class.................... 22,485 807,010 Nations Small Company Fund, Primary A Class................... 11,645 1,117,783 Nations SmallCap Value Fund, Primary A Class.................. 13,123 1,866,291 Nations Strategic Growth Fund, Primary A Class................ 21,220 8,603,450 Nations Value Fund, Primary A Class........................... 101,779 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $284,674)................................... 307,759 -------- TOTAL INVESTMENTS (Cost $284,674*).................................. 100.0% 307,759 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ 0.0% 79 -------- NET ASSETS.......................................... 100.0% $307,838 ========
--------------- *Federal income tax information (see Note 9). ** Mutual Funds registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Nations LifeGoal Balanced Growth Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) --------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES** -- 99.9% 8,665,359 Nations Bond Fund, Primary A Class............................ $ 86,740 1,070,746 Nations Convertible Securities Fund, Primary A Class.......... 18,353 3,305,629 Nations High Yield Bond Fund, Primary A Class................. 31,536 1,684,737 Nations International Value Fund, Primary A Class............. 34,840 3,602,760 Nations Marsico Focused Equities Fund, Primary A Class........ 60,202 2,372,528 Nations Marsico International Opportunities Fund, Primary A Class....................................................... 25,030 2,571,597 Nations MidCap Growth Fund, Primary A Class................... 28,905 2,473,144 Nations MidCap Value Fund, Primary A Class.................... 31,335 12,307,478 Nations Short-Term Income Fund, Primary A Class............... 122,090 1,179,522 Nations Small Company Fund, Primary A Class................... 17,021 1,636,466 Nations SmallCap Value Fund, Primary A Class.................. 19,212 2,080,766 Nations Strategic Growth Fund, Primary A Class................ 23,658 9,151,489 Nations Value Fund, Primary A Class........................... 108,262 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $565,731)................................... 607,184 -------- TOTAL INVESTMENTS (Cost $565,731*).................................. 99.9% 607,184 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ 0.1% 411 -------- NET ASSETS.......................................... 100.0% $607,595 ========
--------------- *Federal income tax information (see Note 9). ** Mutual Funds registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Nations LifeGoal Income and Growth Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) -------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES** -- 99.9% 2,890,364 Nations Bond Fund, Primary A Class............................ $ 28,933 444,331 Nations Convertible Securities Fund, Primary A Class.......... 7,616 1,442,246 Nations High Yield Bond Fund, Primary A Class................. 13,759 174,630 Nations International Value Fund, Primary A Class............. 3,611 707,529 Nations Marsico International Opportunities Fund, Primary A Class....................................................... 7,464 8,051,265 Nations Short-Term Income Fund, Primary A Class............... 79,868 243,643 Nations Small Company Fund, Primary A Class................... 3,516 339,945 Nations SmallCap Value Fund, Primary A Class.................. 3,991 1,455,204 Nations Strategic Growth Fund, Primary A Class................ 16,546 2,054,864 Nations Value Fund, Primary A Class........................... 24,309 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $180,196)............................................. 189,613 -------- TOTAL INVESTMENTS (Cost $180,196*).................................. 99.9% 189,613 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ 0.1% 256 -------- NET ASSETS.......................................... 100.0% $189,869 ========
--------------- *Federal income tax information (see Note 9). ** Mutual Funds registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Nations LifeGoal Income Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
VALUE SHARES (000) ------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES** -- 100.0% 2,098,339 Nations Cash Reserves, Capital Class.......................... $ 2,098 163,741 Nations Convertible Securities Fund, Primary A Class.......... 2,806 1,723,331 Nations High Yield Bond Fund, Primary A Class................. 16,441 815,722 Nations Mortgage and Asset-Backed Portfolio................... 8,214 2,589,871 Nations Short-Term Income Fund, Primary A Class............... 25,692 ------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $55,286).................................... 100.0% 55,251 ------- TOTAL INVESTMENTS (Cost $55,286*)................................... 100.0% 55,251 ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (0.0)% (3) ------- NET ASSETS.......................................... 100.0% $55,248 =======
--------------- * Federal income tax information (see Note 9). **Mutual Funds registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2004
LIFEGOAL LIFEGOAL LIFEGOAL BALANCED INCOME AND LIFEGOAL GROWTH GROWTH GROWTH INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------------------------------------------------------------------- (IN THOUSANDS) ASSETS: Affiliated investments, at cost................... $ 284,674 $ 565,731 $ 180,196 $ 55,286 -------------- -------------- -------------- -------------- Affiliated investments, at value.................. 307,759 607,184 189,613 55,251 Receivable for Fund shares sold................... 454 1,108 315 196 Dividends receivable.............................. -- 445 224 51 Receivable from investment advisor................ -- -- -- 12 Other assets...................................... -- -- -- 3 -------------- -------------- -------------- -------------- Total assets.................................. 308,213 608,737 190,152 55,513 -------------- -------------- -------------- -------------- LIABILITIES: Investment advisory fee payable................... $ (63) $ (123) $ (39) $ -- Administration fee payable........................ -- -- -- (7) Payable for Fund shares redeemed.................. (194) (710) (94) (220) Accrued Trustees' fees and expenses............... -- -- -- (13) Shareholder servicing and distribution fees payable......................................... (118) (254) (92) (25) Distributions payable............................. -- (55) (58) --* -------------- -------------- -------------- -------------- Total liabilities............................. (375) (1,142) (283) (265) -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 307,838 $ 607,595 $ 189,869 $ 55,248 ============== ============== ============== ============== NET ASSETS CONSIST OF: Undistributed net investment income/(loss)........ $ (143) $ 1,323 $ 428 $ (3) Accumulated net realized gain/(loss) on investments..................................... (16,618) (11,964) 422 270 Unrealized appreciation/(depreciation) on investments..................................... 23,085 41,453 9,417 (35) Paid-in capital................................... 301,514 576,783 179,602 55,016 -------------- -------------- -------------- -------------- NET ASSETS........................................ $ 307,838 $ 607,595 $ 189,869 $ 55,248 ============== ============== ============== ============== PRIMARY A SHARES: Net assets........................................ $ 108,625,882 $ 205,140,022 $ 52,389,401 $ 726,781 Number of shares outstanding...................... 9,706,313 18,633,953 4,821,655 70,963 Net asset value and redemption price per share.... $ 11.19 $ 11.01 $ 10.87 $ 10.24 INVESTOR A SHARES: Net assets........................................ $ 73,793,993 $ 122,902,639 $ 37,249,342 $ 31,399,199 Number of shares outstanding...................... 6,615,742 11,145,767 3,408,848 3,067,377 Net asset value and redemption price per share.... $ 11.15 $ 11.03 $ 10.93 $ 10.24 Maximum sales charge.............................. 5.75% 5.75% 5.75% 3.25% Maximum offering price per share.................. $ 11.83 $ 11.70 $ 11.60 $ 10.58 INVESTOR B SHARES: Net assets........................................ $ 100,202,976 $ 230,803,002 $ 82,585,379 $ 12,741,430 Number of shares outstanding...................... 9,319,458 21,015,255 7,572,425 1,245,929 Net asset value and redemption price per share&... $ 10.75 $ 10.98 $ 10.91 $ 10.23 INVESTOR C SHARES: Net assets........................................ $ 25,215,521 $ 48,749,655 $ 17,644,873 $ 10,380,234 Number of shares outstanding...................... 2,358,220 4,399,067 1,625,662 1,016,307 Net asset value and redemption price per share&... $ 10.69 $ 11.08 $ 10.85 $ 10.21
--------------- *Amount represents less than $500. &The redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED)
LIFEGOAL LIFEGOAL LIFEGOAL BALANCED INCOME AND LIFEGOAL GROWTH GROWTH GROWTH INCOME PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ----------------------------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Dividends......................................... $ 896 $ 5,048 $ 2,188 $ 1,069 -------------- -------------- -------------- -------------- Total investment income....................... 896 5,048 2,188 1,069 -------------- -------------- -------------- -------------- EXPENSES: Investment advisory fee........................... 369 735 239 26 Administration fee................................ -- -- -- 65 Transfer agent fees............................... -- -- -- 9 Legal and audit fees.............................. -- -- -- 40 Registration and filing fees...................... -- -- -- 12 Trustees' fees and expenses....................... -- -- -- 12 Printing expense.................................. -- -- -- 9 Other............................................. -- -- -- 11 -------------- -------------- -------------- -------------- Subtotal...................................... 369 735 239 184 Shareholder servicing and distribution fees: Investor A Shares............................... 86 145 44 43 Investor B Shares............................... 471 1,092 409 57 Investor C Shares............................... 113 221 89 48 -------------- -------------- -------------- -------------- Total expenses................................ 1,039 2,193 781 332 Fees waived by advisor, administrator, and/or distributor (see Note 3)........................ -- -- -- (65) -------------- -------------- -------------- -------------- Net expenses.................................. 1,039 2,193 781 267 -------------- -------------- -------------- -------------- NET INVESTMENT INCOME/(LOSS)...................... (143) 2,855 1,407 802 -------------- -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) on investments........... (660) (390) 807 (390) Capital gains distributions received.............. 1,959 4,444 1,158 662 Net change in unrealized appreciation/(depreciation) of investments...... (4,184) (9,348) (4,031) (665) -------------- -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments..................................... (2,885) (5,294) (2,066) (393) -------------- -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................. $ (3,028) $ (2,439) $ (659) $ 409 ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 16 [This page intentionally left blank] 17 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
LIFEGOAL GROWTH PORTFOLIO --------------------------------- SIX MONTHS ENDED 9/30/04 YEAR ENDED (UNAUDITED) 3/31/04 --------------------------------- (IN THOUSANDS) Net investment income/(loss)................................ $ (143) $ 115 Net realized gain/(loss) on investments..................... (660) 570 Capital gain distributions received......................... 1,959 245 Net change in unrealized appreciation/(depreciation) of investments............................................... (4,184) 65,237 -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ (3,028) 66,167 Distributions to shareholders from net investment income: Primary A Shares.......................................... -- (240) Primary B Shares.......................................... -- -- Investor A Shares......................................... -- (94) Investor B Shares......................................... -- (15) Investor C Shares......................................... -- (6) 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.............................................. 27,890 93,992 -------------- -------------- Net increase/(decrease) in net assets....................... 24,862 159,804 NET ASSETS: Beginning of period......................................... 282,976 123,172 -------------- -------------- End of period............................................... $ 307,838 $ 282,976 ============== ============== Undistributed net investment income/(distributions in excess of net investment income) at end of period................ $ (143) $ -- ============== ==============
--------------- * Amount represents less than $500. (a)LifeGoal Income Portfolio commenced operations on September 4, 2003. SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
LIFEGOAL BALANCED GROWTH PORTFOLIO LIFEGOAL INCOME AND GROWTH PORTFOLIO LIFEGOAL INCOME PORTFOLIO ----------------------------------- ------------------------------------- ------------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED ENDED ENDED 9/30/04 YEAR ENDED 9/30/04 YEAR ENDED 9/30/04 PERIOD ENDED (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/04 (UNAUDITED) 3/31/2004(A) ------------------------------------------------------------------------------------------------------------- $ 2,855 $ 5,393 $ 1,407 $ 2,396 $ 802 $ 563 (390) (19) 807 671 (390) (3) 4,444 1,069 1,158 513 662 67 (9,348) 96,989 (4,031) 17,851 (665) 630 -------------- -------------- -------------- -------------- -------------- -------------- (2,439) 103,432 (659) 21,431 409 1,257 (1,151) (3,610) (535) (1,006) (25) (45) -- (1) -- -- -- -- (523) (1,308) (306) (526) (526) (438) (210) (1,624) (400) (953) (138) (94) (44) (256) (87) (177) (117) (66) (1,541) (264) (320) (223) --* -- (819) (108) (183) (110) (1) -- (1,562) (218) (449) (335) (1) -- (306) (32) (99) (51) --* -- 40,292 187,937 2,772 78,771 14 55,019 -------------- -------------- -------------- -------------- -------------- -------------- 31,697 283,948 (266) 96,821 (385) 55,633 575,898 291,950 190,135 93,314 55,633 -- -------------- -------------- -------------- -------------- -------------- -------------- $ 607,595 $ 575,898 $ 189,869 $ 190,135 $ 55,248 $ 55,633 ============== ============== ============== ============== ============== ============== $ 1,323 $ 396 $ 428 $ 349 $ (3) $ 1 ============== ============== ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
LIFEGOAL GROWTH PORTFOLIO SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 933 $ 10,240 2,917 $ 29,355 Issued as reinvestment of dividends....................... -- -- 21 228 Redeemed.................................................. (998) (10,942) (1,095) (10,965) ----- -------- ------ -------- Net increase/(decrease)................................... (65) $ (702) 1,843 $ 18,618 ===== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 1,570 $ 17,224 3,899 $ 39,216 Shares issued upon conversion from Investor B shares...... 4 44 8 82 Shares issued upon conversion from Investor C shares...... -- -- 1 5 Issued as reinvestment of dividends....................... -- -- 8 90 Redeemed.................................................. (657) (7,184) (975) (9,731) ----- -------- ------ -------- Net increase/(decrease)................................... 917 $ 10,084 2,941 $ 29,662 ===== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 1,632 $ 17,326 4,280 $ 41,308 Issued as reinvestment of dividends....................... -- -- 1 14 Shares redeemed upon conversion into Investor A shares.... (4) (44) (8) (82) Redeemed.................................................. (464) (4,889) (728) (7,139) ----- -------- ------ -------- Net increase/(decrease)................................... 1,164 $ 12,393 3,545 $ 34,101 ===== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 743 $ 7,862 1,353 $ 13,292 Issued as reinvestment of dividends....................... -- -- --* 5 Shares redeemed upon conversion into Investor A shares.... -- -- (1) (5) Redeemed.................................................. (167) (1,747) (172) (1,681) ----- -------- ------ -------- Net increase/(decrease)................................... 576 $ 6,115 1,180 $ 11,611 ===== ======== ====== ======== Total net increase/(decrease)............................. 2,592 $ 27,890 9,509 $ 93,992 ===== ======== ====== ========
--------------- *Amount represents less than 500 shares and/or $500 as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
LIFEGOAL BALANCED GROWTH PORTFOLIO SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 860 $ 9,347 2,764 $ 28,591 Issued as reinvestment of dividends....................... 247 2,653 327 3,446 Redeemed.................................................. (1,883) (20,481) (1,730) (18,106) ------ -------- ------ -------- Net increase/(decrease)................................... (776) $ (8,481) 1,361 $ 13,931 ====== ======== ====== ======== PRIMARY B SHARES: Sold...................................................... -- $ -- -- $ -- Issued as reinvestment of dividends....................... -- -- --* 1 Redeemed.................................................. -- -- (33) (355) ------ -------- ------ -------- Net increase/(decrease)................................... -- $ -- (33) $ (354) ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 2,370 $ 25,898 7,950 $ 82,884 Shares issued upon conversion from Investor B shares...... 25 270 55 607 Shares issued upon conversion from Investor C shares...... --* --* 1 16 Issued as reinvestment of dividends....................... 117 1,259 121 1,209 Redeemed.................................................. (1,306) (14,222) (2,480) (26,314) ------ -------- ------ -------- Net increase/(decrease)................................... 1,206 $ 13,205 5,647 $ 58,402 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 3,521 $ 38,304 10,300 $105,507 Issued as reinvestment of dividends....................... 159 1,682 164 1,766 Shares redeemed upon conversion into Investor A shares.... (25) (270) (55) (607) Redeemed.................................................. (1,317) (14,232) (1,756) (18,323) ------ -------- ------ -------- Net increase/(decrease)................................... 2,338 $ 25,484 8,653 $ 88,343 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 1,315 $ 14,433 2,917 $ 30,767 Issued as reinvestment of dividends....................... 25 263 21 230 Shares redeemed upon conversion into Investor A shares.... --* --* (1) (16) Redeemed.................................................. (423) (4,612) (316) (3,366) ------ -------- ------ -------- Net increase/(decrease)................................... 917 $ 10,084 2,621 $ 27,615 ====== ======== ====== ======== Total net increase/(decrease)............................. 3,685 $ 40,292 18,249 $187,937 ====== ======== ====== ========
--------------- *Amount represents less than 500 shares or $500 as applicable. SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
LIFEGOAL INCOME AND GROWTH PORTFOLIO SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) PRIMARY A SHARES: Sold...................................................... 708 $ 7,664 2,495 $ 26,625 Issued as reinvestment of dividends....................... 77 829 111 1,171 Redeemed.................................................. (1,310) (14,206) (724) (7,698) ------ -------- ------ -------- Net increase/(decrease)................................... (525) $ (5,713) 1,882 $ 20,098 ====== ======== ====== ======== INVESTOR A SHARES: Sold...................................................... 798 $ 8,677 2,314 $ 24,278 Shares issued upon conversion from Investor B shares...... 44 472 18 196 Shares issued upon conversion from Investor C shares...... -- -- 1 6 Issued as reinvestment of dividends....................... 39 423 52 560 Redeemed.................................................. (456) (4,976) (541) (5,752) ------ -------- ------ -------- Net increase/(decrease)................................... 425 $ 4,596 1,844 $ 19,288 ====== ======== ====== ======== INVESTOR B SHARES: Sold...................................................... 1,071 $ 11,669 3,747 $ 39,241 Issued as reinvestment of dividends....................... 72 771 128 1,363 Shares redeemed upon conversion into Investor A shares.... (44) (472) (18) (196) Redeemed.................................................. (789) (8,539) (1,140) (12,129) ------ -------- ------ -------- Net increase/(decrease)................................... 310 $ 3,429 2,717 $ 28,279 ====== ======== ====== ======== INVESTOR C SHARES: Sold...................................................... 355 $ 3,837 1,289 $ 13,579 Issued as reinvestment of dividends....................... 14 145 17 188 Shares redeemed upon conversion into Investor A shares.... -- -- (1) (6) Redeemed.................................................. (327) (3,522) (248) (2,655) ------ -------- ------ -------- Net increase/(decrease)................................... 42 $ 460 1,057 $ 11,106 ====== ======== ====== ======== Total net increase/(decrease)............................. 252 $ 2,772 7,500 $ 78,771 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
LIFEGOAL INCOME PORTFOLIO SIX MONTHS ENDED SEPTEMBER 30, 2004 PERIOD ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ----------------- SHARES DOLLARS SHARES DOLLARS ----------------------------------------- (IN THOUSANDS) PRIMARY A SHARES:+ Sold...................................................... 21 $ 214 242 $ 2,434 Issued as reinvestment of dividends....................... -- -- -- -- Redeemed.................................................. (150) (1,524) (42) (435) ------ -------- ----- ------- Net increase/(decrease)................................... (129) $ (1,310) 200 $ 1,999 ====== ======== ===== ======= INVESTOR A SHARES:+ Sold...................................................... 889 $ 9,037 3,857 $39,340 Shares issued upon conversion from Investor B shares...... 7 70 --* 3 Issued as reinvestment of dividends....................... 44 449 36 371 Redeemed.................................................. (1,362) (13,833) (404) (4,147) ------ -------- ----- ------- Net increase/(decrease)................................... (422) $ (4,277) 3,489 $35,567 ====== ======== ===== ======= INVESTOR B SHARES:+ Sold...................................................... 436 $ 4,430 925 $ 9,421 Issued as reinvestment of dividends....................... 11 111 7 74 Shares redeemed upon conversion into Investor A shares.... (7) (70) --* (3) Redeemed.................................................. (94) (959) (32) (325) ------ -------- ----- ------- Net increase/(decrease)................................... 346 $ 3,512 900 $ 9,167 ====== ======== ===== ======= INVESTOR C SHARES:++ Sold...................................................... 311 $ 3,158 821 $ 8,391 Issued as reinvestment of dividends....................... 9 92 5 52 Redeemed.................................................. (115) (1,161) (15) (157) ------ -------- ----- ------- Net increase/(decrease)................................... 205 $ 2,089 811 $ 8,286 ====== ======== ===== ======= Total net increase/(decrease)............................. --* $ 14 5,400 $55,019 ====== ======== ===== =======
--------------- + 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. 23 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 9/30/2004# (unaudited)... $11.30 $ 0.02 $(0.13) $(0.11) $ -- Year ended 3/31/2004#..................... 7.82 0.05 3.46 3.51 (0.03) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $11.28 $ 0.01 $(0.14) $(0.13) $ -- Year ended 3/31/2004#..................... 7.82 0.02 3.46 3.48 (0.02) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $10.91 $(0.03) $(0.13) $(0.16) $ -- Year ended 3/31/2004#..................... 7.61 (0.05) 3.35 3.30 --## 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $10.85 $(0.03) $(0.13) $(0.16) $ -- Year ended 3/31/2004#..................... 7.57 (0.04) 3.32 3.28 --## 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)
--------------- + 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. (a)Reflects overall Portfolio ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 24 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 NET TO AVERAGE TURNOVER AVERAGE NET GAINS DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS+++ NET ASSETS RATE ASSETS+++ ------------------------------------------------------------------------------------------------------------------------------ $ -- $ -- $11.19 (0.97)% $108,626 0.25%+ 0.34%+ 2% 0.25%+ -- (0.03) 11.30 44.84 110,400 0.25 0.45 6 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 $ -- $ -- $11.15 (1.15)% $ 73,794 0.50%+ 0.11%+ 2% 0.50%+ -- (0.02) 11.28 44.51 64,267 0.50 0.20 6 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 $ -- $ -- $10.75 (1.47)% $100,203 1.25%+ (0.66)%+(a) 2% 1.25%+ -- --## 10.91 43.39 88,969 1.25 (0.55) 6 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 $ -- $ -- $10.69 (1.47)% $ 25,216 1.25%+ (0.66)%+(a) 2% 1.25%+ -- --## 10.85 43.38 19,340 1.25 (0.55) 6 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
SEE NOTES TO FINANCIAL STATEMENTS. 25 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 9/30/2004# (unaudited)... $11.18 $0.08 $(0.11) $(0.03) $(0.06) Year ended 3/31/2004#..................... 8.77 0.17 2.44 2.61 (0.19) 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) INVESTOR A SHARES Six months ended 9/30/2004# (unaudited)... $11.20 $0.07 $(0.11) $(0.04) $(0.05) Year ended 3/31/2004#..................... 8.79 0.15 2.44 2.59 (0.17) 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) INVESTOR B SHARES Six months ended 9/30/2004# (unaudited)... $11.16 $0.03 $(0.12) $(0.09) $(0.01) Year ended 3/31/2004#..................... 8.77 0.07 2.43 2.50 (0.10) 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) INVESTOR C SHARES Six months ended 9/30/2004# (unaudited)... $11.26 $0.03 $(0.12) $(0.09) $(0.01) Year ended 3/31/2004#..................... 8.85 0.08 2.45 2.53 (0.11) 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)
--------------- + 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. (a)Reflects overall Portfolio ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 26 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 NET TO AVERAGE TURNOVER AVERAGE NET GAINS DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS+++ NET ASSETS RATE ASSETS+++ ------------------------------------------------------------------------------------------------------------------------------ $(0.08) $(0.14) $11.01 (0.23)% $205,140 0.25%+ 1.45%+ 2% 0.25%+ (0.01) (0.20) 11.18 29.95 216,997 0.25 1.63 24 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 $(0.08) $(0.13) $11.03 (0.34)% $122,903 0.50%+ 1.20%+(a) 2% 0.50%+ (0.01) (0.18) 11.20 29.6 111,325 0.50 1.38 24 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 $(0.08) $(0.09) $10.98 (0.78)% $230,803 1.25%+ 0.45%+(a) 2% 1.25%+ (0.01) (0.11) 11.16 28.63 208,372 1.25 0.63 24 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 $(0.08) $(0.09) $11.08 (0.77)% $ 48,750 1.25%+ 0.45%+(a) 2% 1.25%+ (0.01) (0.12) 11.26 28.67 39,204 1.25 0.63 24 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
SEE NOTES TO FINANCIAL STATEMENTS. 27 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 9/30/2004 (unaudited).... $11.04 $0.11 $(0.11) $ --## $(0.11) Year ended 3/31/2004...................... 9.62 0.23 1.49 1.72 (0.24) 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) INVESTOR A SHARES Six months ended 9/30/2004 (unaudited).... $11.11 $0.10 $(0.13) $(0.03) $(0.09) Year ended 3/31/2004...................... 9.67 0.22 1.50 1.72 (0.22) 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) INVESTOR B SHARES Six months ended 9/30/2004 (unaudited).... $11.08 $0.06 $(0.12) $(0.06) $(0.05) Year ended 3/31/2004...................... 9.66 0.13 1.50 1.63 (0.15) 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) INVESTOR C SHARES Six months ended 9/30/2004 (unaudited).... $11.03 $0.06 $(0.13) $(0.07) $(0.05) Year ended 3/31/2004...................... 9.62 0.13 1.49 1.62 (0.15) 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)
--------------- + 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. (a)Reflects overall Portfolio ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 28 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 NET TO AVERAGE TURNOVER AVERAGE NET GAINS DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS+++ NET ASSETS RATE ASSETS+++ ------------------------------------------------------------------------------------------------------------------------------- $(0.06) $(0.17) $10.87 (0.01)% $52,389 0.25%+ 2.02%+ 8% 0.25%+ (0.06) (0.30) 11.04 18.08 59,040 0.25 2.20 14 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 $(0.06) $(0.15) $10.93 (0.22)% $37,249 0.50%+ 1.77%+(a) 8% 0.50%+ (0.06) (0.28) 11.11 17.93 33,141 0.50 1.95 14 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 $(0.06) $(0.11) $10.91 (0.50)% $82,585 1.25%+ 1.02%+(a) 8% 1.25%+ (0.06) (0.21) 11.08 16.94 80,486 1.25 1.20 14 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 $(0.06) $(0.11) $10.85 (0.59)% $17,645 1.25%+ 1.02%+(a) 8% 1.25%+ (0.06) (0.21) 11.03 16.95 17,469 1.25 1.20 14 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
SEE NOTES TO FINANCIAL STATEMENTS. 29 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* Six months ended 9/30/2004 (unaudited).... $10.31 $0.17 $(0.07) $0.10 $(0.17) Period ended 3/31/2004.................... 10.00 0.23 0.30 0.53 (0.22) INVESTOR A SHARES* Six months ended 9/30/2004 (unaudited).... $10.31 $0.16 $(0.07) $0.09 $(0.16) Period ended 3/31/2004.................... 10.00 0.21 0.30 0.51 (0.20) INVESTOR B SHARES* Six months ended 9/30/2004 (unaudited).... $10.30 $0.12 $(0.07) $0.05 $(0.12) Period ended 3/31/2004.................... 10.00 0.16 0.31 0.47 (0.17) INVESTOR C SHARES** Six months ended 9/30/2004 (unaudited).... $10.28 $0.12 $(0.07) $0.05 $(0.12) Period ended 3/31/2004.................... 10.00 0.16 0.29 0.45 (0.17)
--------------- + 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 Investor C Shares commenced operations on September 5, 2003. # Per share net investment income/(loss) has been calculated using the monthly average shares method. ## Amount represents less than $0.01. (a)Reflects overall Portfolio ratios of investment income and non-class specific expense. SEE NOTES TO FINANCIAL STATEMENTS. 30 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 NET TO AVERAGE TURNOVER AVERAGE NET GAINS DISTRIBUTIONS PERIOD RETURN++ (000) ASSETS+++ NET ASSETS RATE ASSETS+++ ------------------------------------------------------------------------------------------------------------------------------ $ --## $(0.17) $10.24 1.02% $ 727 0.42%+ 3.25%+ 24% 0.65%+ 0.00 (0.22) 10.31 5.31 2,060 0.42+ 3.39+ 5 0.92+ $ --## $(0.16) $10.24 0.90% $31,399 0.67%+ 3.00%+(a) 24% 0.90%+ 0.00 (0.20) 10.31 5.18 35,964 0.67+ 3.14+ 5 1.17+ $ --## $(0.12) $10.23 0.51% $12,741 1.42%+ 2.25%+(a) 24% 1.65%+ 0.00 (0.17) 10.30 4.70 9,269 1.42+ 2.39+ 5 1.92+ $ --## $(0.12) $10.21 0.52% $10,380 1.42%+ 2.25%+(a) 24% 1.65%+ 0.00 (0.17) 10.28 4.49 8,340 1.42+ 2.39+ 5 1.92+
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, 2004, Funds Trust offered fifty-six 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, however, 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 exdividend 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 Sub-chapter M, 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 are allocated to separate classes of shares based upon their relative net asset value on the date the expenses are incurred. 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, 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 32 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) payable under the Investment Advisory Agreement, taxes, brokerage fees and commissions, extraordinary expenses, and 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 LifeGoal Income Portfolio's average daily net assets that are invested in direct securities or the Corporate Bond Portfolio, Mortgage- and Asset-Backed Portfolio and/or High Income Portfolio (collectively referred to as the "Fixed Income Sector Portfolios") at the maximum annual rate of 0.50%. LifeGoal Income Portfolio is not charged an advisory fee on its assets that are invested in the Nations Funds (Nations Funds do not include the Fixed Income Sector Portfolios.) 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, 2004, BACAP Distributors earned 0.23% on LifeGoal Income Portfolio's assets that were invested in the Fixed Income Sector Portfolios and 0.13% on LifeGoal Income Portfolio's 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 BNY serves as custodian of Funds Trust on behalf of LifeGoal Income Portfolio's assets. 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. 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 Portfolios. For the six months ended September 30, 2004, Bank of America earned the following sub-transfer agent fees from the Portfolios for providing such services and these amounts are included in "Transfer agent fees" in each Fund's Statements of operations.
SUB-TRANSFER AGENT FEE PORTFOLIO (000) -------------------------------------------------------------------------- Growth...................................................... $ -- Balanced Growth............................................. -- Income and Growth........................................... -- Income...................................................... 2
BACAP Distributors serves as distributor of the Funds' shares. For the six months ended September 30, 2004, the Funds were informed that the distributors received the following:
FRONT END CONTINGENT DEFERRED SALES CHARGE SALES CHARGE (000) (000) ------------ -------------------------------------- PORTFOLIO INVESTOR A INVESTOR A INVESTOR B INVESTOR C -------------------------------------------------------------------------------------------------------------------- Growth...................................................... $476 $ --* $108 $ 5 Balanced Growth............................................. 724 -- 253 10 Income and Growth........................................... 197 -- 113 7 Income...................................................... 49 2 6 6
--------------- *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 an 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 Portfolios' assets (excluding LifeGoal Growth, LifeGoal Balanced Growth, and LifeGoal Income and Growth). Income earned on the plan participant's deferral account is based on the rate of return of the eligible mutual funds 33 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 Statement of operations for LifeGoal Income Portfolio. The liability for the deferred compensation plan is included in "Accrued Trustees' fees and expenses" in the Statement of assets and liabilities for LifeGoal Income Portfolio. 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. TOTAL OPERATING EXPENSE LIMITATIONS For the period ended September 30, 2004, BACAP Distributors agreed to waive 0.10% of its administration fees for LifeGoal Income Portfolio as a percentage of the LifeGoal Income Portfolio's average daily net assets that are invested in the Nations Funds. BACAP and/or its affiliates may, from time to time, reduce its fee payable by each Portfolio. For the period ended September 30, 2004, BACAP agreed to waive 0.10% of its advisory fees for LifeGoal Income Portfolio as a percentage of the Portfolio's average daily net assets that were invested in direct securities or the Fixed Income Sector Portfolios. For the period ended September 30, 2004, BACAP voluntarily agreed to limit total annual operating expenses to 0.42% of LifeGoal Income Portfolio's average daily net assets. There is no guarantee that this limitation will continue. 4. 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 and paid monthly, 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 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, 2004, the annual rates in effect and plan limits, as a percentage of average daily net assets, were as follows:
CURRENT RATE PLAN (AFTER FEE 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%
5. 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, 2004 were as follows:
PURCHASES SALES (000) (000) -------------------- Growth...................................................... $36,888 $ 6,867 Balanced Growth............................................. 54,565 12,478 Income and Growth........................................... 17,865 14,608 Income...................................................... 13,276 12,804
34 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 6. SHARES OF BENEFICIAL INTEREST As of September 30, 2004, 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. 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 during the fiscal year or outstanding as of September 30, 2004. 8. 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, 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 35 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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. 9. INCOME TAXES Information on the tax components of capital as of September 30, 2004 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...................................................... $284,674 $23,431 $ (346) $23,085 Balanced Growth............................................. 565,731 42,932 (1,479) 41,453 Income and Growth........................................... 180,196 10,214 (797) 9,417 Income...................................................... 55,286 181 (216) (35)
At March 31, 2004, the following Portfolios had available for federal income tax purposes unused capital losses as follows:
EXPIRING EXPIRING IN 2010 IN 2011 (000) (000) -------------------- Growth...................................................... $5,242 $2,064
During the year ended March 31, 2004, the following Portfolios utilized capital losses as follows:
CAPITAL LOSSES UTILIZED FUND (000) ------------------------------------------------------------------------------- Growth...................................................... $ 431 Balanced Growth............................................. 1,337
10. CONTINGENCIES AND OTHER 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 various mutual funds, including other funds in the Nations Funds family. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and "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 Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name the Funds, among others, as defendants (see Civil Litigation below). The independent Trustees of the Funds have engaged independent legal counsel and, through them, accountants to evaluate the extent of any monetary impact to any Funds from discretionary market timing or from late trading. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds (the "Boards") 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 36 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) America Corporation has also agreed to make appropriate reimbursement of costs incurred by the Funds in connection with this matter. Settlements in Principle with Regulators On March 15, 2004, Bank of America Corporation and FleetBoston Financial Corporation ("Fleet") entered into agreements in principle (each an "Agreement" and together, the "Agreements") with the NYAG and the SEC over matters related to improper late trading and market timing of mutual funds. As noted below, on April 1, 2004, Bank of America Corporation acquired Fleet. Under the Agreements, Bank of America Corporation has agreed to pay $250 million in total disgorgement and restitution and a penalty of $125 million and FleetBoston Financial Corporation agreed to pay $70 million in total disgorgement and restitution and a penalty of $70 million. In addition, the Agreement with the NYAG requires an aggregate reduction in mutual fund fees of $32 million per year for five years across selected non-money market funds in the Nations Funds and Fleet mutual fund complexes. The final amount payable as restitution and whether such restitution will be effectuated through a Fund or directly to shareholders, has not yet been determined. When finalized, the Agreements will conclude the investigation by the NYAG and the SEC of Bank of America Corporation and its affiliates relating to late trading and market timing activities, provided that the NYAG and the SEC have reserved the right to continue their respective investigations of and actions against individuals. Management believes that the Agreements, and their finalization, will not have a material adverse effect, on any Fund's financial positions or results of operations. However, a review by the accountants engaged to investigate these matters for the Boards remains ongoing. Accordingly, an estimate of the financial impact on any Fund cannot currently be made. Bank of America Corporation Acquisition of Fleet On April 1, 2004, Bank of America Corporation acquired Fleet. As a result of this acquisition, Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributor, Inc. ("CFDI") are now indirect wholly-owned subsidiaries of Bank of America Corporation. The SEC and NYAG filed proceedings against both CMA and CFDI on February 24, 2004 alleging that they had violated certain provisions of the federal securities laws in connection with trading activity in mutual funds shares and violated certain New York anti-fraud statutes. In order to settle these matters, as noted above, Fleet entered into the March 15, 2004 Agreements with the NYAG and the SEC. In addition, both Bank of America and Fleet committed to use best efforts to implement certain enhanced governance and compliance procedures with respect to advised mutual funds and agreed to the retention of independent consultants to review compliance, control and other policies and procedures relating to their respective mutual fund advisory businesses. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, or if any final settlement includes an injunction against CMA or CFDI prohibiting them from engaging in certain conduct, CMA, CFDI or any company that is an affiliated person of CMA and CFDI could be barred from serving as an investment adviser or distributor for any investment company registered under the Investment Company Act of 1940. As a result of the Fleet acquisition, BACAP and BACAP Distributors are now affiliated persons of CMA and CFDI and, therefore, under these circumstances, could be barred from serving as an investment adviser or distributor for any registered investment company, including the Funds. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, it is expected that BACAP and BACAP Distributors would seek exemptive relief from the SEC to permit them to continue serving as the investment adviser and distributor of the Funds. Civil Litigation In connection with the events described in detail above, various parties have filed suit against certain Funds, their Boards and/or Bank of America Corporation (and affiliated entities). These cases have been consolidated in a multi-district proceeding and transferred to the Federal District Court in Maryland. These suits and certain regulatory investigations are ongoing. Accordingly, an estimate of the financial impact of this litigation on any Fund, if any, cannot currently be made. 37 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 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 (9/04) Nations Fixed Income Sector Portfolios ---------------------------------------------------------------- Semiannual report for the period ended September 30, 2004 (NATIONS FUNDS LOGO) CORPORATE BOND PORTFOLIO HIGH INCOME PORTFOLIO MORTGAGE- AND ASSET-BACKED PORTFOLIO Guidelines and information about how Nations Funds voted proxies for securities they held during the 12-month period ended June 30, 2004 are available without charge at www.nationsfunds.com and at http://www.sec.gov or by calling 1.800.321.7854. Beginning with the Funds' fiscal quarter ending December 31, 2004, the Funds will file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds' Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The Funds' Forms N-Q will also be available on our website at www.nationsfunds.com. 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 US economy grew at a healthy pace during the six-month period that ended September 30, 2004. Despite uncertainty about job growth, consumer spending and rising energy prices, gross domestic product growth was comfortably above the long-term historical average of 3.0%. In general, corporate profits continued to rise, which provided companies with the resources to increase spending. Industrial production rose; factories used more of their capacity; and spending on technology, capital equipment and construction all increased. STOCKS FALTER WHILE BONDS EKE OUT A POSITIVE RETURN Although this environment provided a solid foundation for the financial markets, the stock market was unsettled by external events such as the fall presidential election, renewed terror threats and continued fighting in Iraq. As a result, many investors remained on the sidelines. The S&P 500 Index(1) and the Russell 3000 Index(2), two broad measures of US stock market performance, returned negative 0.18% and negative 0.60% respectively, over this six-month reporting period. The broad markets for small- and mid-cap stocks and value stocks did somewhat better. The Russell MidCap Value Index returned 3.50%(3) and the Russell 2000 Value Index returned 1.00%.(4) Energy stocks were the period's strongest performers. They gained more than 19% during the period, as measured by Standard & Poor's. The bond market encountered considerable volatility when job growth picked up in the spring and investors began to anticipate higher short-term interest rates. However, a shaky stock market and some weak economic data gave the bond market a boost in the final months of the period. The Lehman Brothers Aggregate Bond Index eked out a positive return of 0.68% over this six-month reporting period.(5) High-yield bonds, which can be less sensitive to changing interest rates, led the fixed-income markets. The Merrill Lynch US High Yield, Cash Pay Index returned 3.72% over the same period.(6) LOOKING AHEAD Although the soft patch encountered by the economy during the summer months appears to be behind us, a meaningful acceleration of economic activity does not appear to be in the works. In fact, leading economic indicators suggest that growth remains in line with the economy's long-term average. Job growth has become increasingly important to the outlook for consumer income and spending, and there the trend is encouraging. Although monthly data has been volatile over the past year, year-over-year data shows that payroll growth has swung from a decline of 1% to 2% in 2002 to an increase of 1% in 2004. (1)The S&P 500 Index is an unmanaged index of 500 widely held common socks. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (2)The Russell 3000 Index is an unmanaged index that tracks the performance of the 3,000 largest US companies based on total market capitalization. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (3)The Russell MidCap Value Index is an unmanaged index that measures the performance of those Russell MidCap Index companies with lower price-to-book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (4)The Russell 2000 Value Index is an unmanaged index that tracks the performance of those Russell 2000 companies with lower price-to book ratios and lower forecasted growth values. It is not available for investment and does not reflect fees, brokerage commissions or other expenses of investing. (5)The Lehman Brothers Aggregate Bond Index is a market value-weighted index that tracks fixed-rate, publicly placed, dollar-denominated, and non-convertible investment grade debt issues. (6)The Merrill Lynch US High Yield, Cash Pay Index is an unmanaged index that tracks the performance of non-investment-grade corporate bonds. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. CHAIRMAN'S AND PRESIDENT'S MESSAGE CONTINUED... In this environment, we believe that the outlook is slightly better for stocks than for bonds. Although long-term Treasury yields have declined in recent months, we expect them to move higher once the Federal Reserve Board completes its cycle of short-term rate increases. We expect to see short-term rates rise to 3% to 4% and long-term rates go to 5% or higher. Higher long-term rates would be a challenge for the bond market because yields and bond prices move in opposite directions. We expect the outlook for the stock market to improve if and when some of the current uncertainties are resolved. Certainly if the price of oil retreats from its current high level, it would take some pressure off consumers and the market would be one of the likely beneficiaries. STRATEGIC THINKING ABOUT YOUR INVESTMENTS Regardless of the short-term outlook for stocks and bonds, we believe that there are certain basic principles that can help you achieve your long-term financial goals. Think long term. Have a plan for investing, and stick to it. Own a diversified mix of investments. Add to your investments regularly. If you can incorporate these four principles into your investment plan, you will find it easier to ignore the short-term gyrations of the market. If you work with an investment professional, be sure to consult him or her if you have questions or concerns about your investments. An investment professional can be an important ally in helping you keep your financial goals on track. As always, we thank you for investing in Nations Funds and we look forward to serving your financial needs in the years to come. Sincerely, -s- WILLIAM P. CARMICHAEL WILLIAM P. CARMICHAEL CHAIRMAN OF THE BOARD OF TRUSTEES NATIONS FUNDS -s- KEITH T. BANKS KEITH T. BANKS PRESIDENT OF NATIONS FUNDS PRESIDENT OF BANC OF AMERICA CAPITAL MANAGEMENT, LLC September 30, 2004 The information and data provided in this analysis are derived from sources that we deem to be reliable and accurate. The opinions expressed here are strictly those of the contributors and are subject to change without notice. TABLE OF CONTENTS DISCLOSURE OF FUND EXPENSES AND PORTFOLIO HOLDINGS Corporate Bond Portfolio 3 High Income Portfolio 5 Mortgage- and Asset-Backed Portfolio 7 FINANCIAL STATEMENTS Schedule of investments 9 Statements of assets and liabilities 19 Statements of operations 20 Statements of changes in net assets 21 Schedules of capital stock activity 23 Financial highlights 24 Notes to financial statements 27
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 2003.
[This page intentionally left blank] NATIONS CORPORATE BOND PORTFOLIO SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- Actual...................................................... $1,000.00 $1,005.80 $ -- Hypothetical**.............................................. $1,000.00 $1,025.07 $ --
--------------- * Expenses are equal to the Portfolio's annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 3 NATIONS CORPORATE BOND PORTFOLIO PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 81.8% Corporate bonds and notes 10.2% Foreign bonds and notes 5.1% Sovereign government bonds and notes 2.9% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 General Electric Capital Corporation, MTN, Series A, 6.750% 03/15/32 2.1% ------------------------------------------------- 2 Bank One Corporation, 6.000% 08/01/08 1.9% ------------------------------------------------- 3 Deutsche Telekom International Finance BV, 8.500% 06/15/10 1.8% ------------------------------------------------- 4 DaimlerChrysler NA Holdings Corporation, 4.050% 06/04/08 1.5% ------------------------------------------------- 5 Citigroup Inc., 5.000% 09/15/14 1.5% ------------------------------------------------- 6 Ford Motor Credit Company, 7.375% 02/01/11 1.5% ------------------------------------------------- 7 US Bank N.A., Minnesota, 6.375% 08/01/11 1.5% ------------------------------------------------- 8 Goldman Sachs Group, Inc., 6.600% 01/15/12 1.4% ------------------------------------------------- 9 International Lease Finance Corporation, 3.500% 04/01/09 1.3% ------------------------------------------------- 10 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06 1.2% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE INDUSTRIES IN WHICH THE PORTFOLIO INVESTS.
4 NATIONS HIGH INCOME PORTFOLIO SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- Actual...................................................... $1,000.00 $1,043.00 $ -- Hypothetical**.............................................. $1,000.00 $1,025.07 $ --
--------------- * Expenses are equal to the Portfolio's annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 5 NATIONS HIGH INCOME PORTFOLIO PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 80.1% Corporate bonds and notes 7.4% Foreign bonds and notes 3.0% Mortgage-backed securities 9.5% Other
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. TOP 10 HOLDINGS ------------------------------------------------- 1 Dow Jones CDX3 HY-B, 8.000% 12/29/09 22.8% ------------------------------------------------- 2 Atrium Companies, Inc., Series B, 10.500% 05/01/09 4.4% ------------------------------------------------- 3 Building Materials Corporation of America, Series B, 7.750% 07/15/05 3.7% ------------------------------------------------- 4 Choctaw Resort Development Enterprise, 9.250% 04/01/09 3.5% ------------------------------------------------- 5 Park Place Entertainment Corporation, 7.875% 12/15/05 3.4% ------------------------------------------------- 6 Toll Corporation, 8.000% 05/01/09 3.4% ------------------------------------------------- 7 Methanex Corporation, 7.750% 08/15/05 3.4% ------------------------------------------------- 8 Ryerson Tull, Inc., Class A, 9.125% 07/15/06 3.3% ------------------------------------------------- 9 Beazer Homes USA, Inc., 6.500% 11/15/13 3.3% ------------------------------------------------- 10 KB HOME, 5.750% 02/01/14 3.2% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF THE SECURITIES IN WHICH THE PORTFOLIO INVESTS.
6 NATIONS MORTGAGE- AND ASSET-BACKED PORTFOLIO SHAREHOLDER EXPENSE EXAMPLE As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) and redemption fees, where applicable, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004). ACTUAL EXPENSES The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses paid during period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, including sales charges (loads) or redemption fees, where applicable. Therefore, the second line for each class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
EXPENSES PAID BEGINNING ENDING DURING PERIOD* ACCOUNT VALUE ACCOUNT VALUE APRIL 1, 2004 TO APRIL 1, 2004 SEPTEMBER 30, 2004 SEPTEMBER 30, 2004 ------------------------------------------------------- Actual...................................................... $1,000.00 $1,014.60 $ -- Hypothetical**.............................................. $1,000.00 $1,025.07 $ --
--------------- * Expenses are equal to the Portfolio's annualized expense ratio of 0.00%, multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). **Assumed 5% return per year before expenses. 7 NATIONS MORTGAGE- AND ASSET-BACKED PORTFOLIO PORTFOLIO BREAKDOWN (AS A % OF NET ASSETS AS OF 9/30/04) [PIE CHART] 99.1% Mortgage-backed securities 44.5% U.S. government and agency obligations 6.3% U.S. Treasury obligations 0.8% Asset-backed securities -50.7% Other*
PORTFOLIO HOLDINGS ARE CURRENT AS OF SEPTEMBER 30, 2004, ARE SUBJECT TO CHANGE AND MAY NOT BE REPRESENTATIVE OF CURRENT HOLDINGS. * DUE TO THE TIMING AND NATURE OF THE PORTFOLIO'S LIABILITIES, TOTAL INVESTMENTS MAY EXCEED THE PORTFOLIO'S TOTAL NET ASSETS AT PERIOD END. TOP 10 LONG-TERM HOLDINGS ------------------------------------------------- 1 Federal National Mortgage Association (FNMA) Certificates, 5.000% 10/15/19 30.3% ------------------------------------------------- 2 Federal National Mortgage Association (FNMA) Certificates, 6.500% 07/12/34 25.2% ------------------------------------------------- 3 Federal National Mortgage Association (FNMA) Certificates, 5.000% 07/12/34 18.3% ------------------------------------------------- 4 Government National Mortgage Association (GNMA) Certificates, 5.500% 06/15/33 8.8% ------------------------------------------------- 5 Federal National Mortgage Association (FNMA) Certificates, 5.500% 12/01/33 6.8% ------------------------------------------------- 6 Federal National Mortgage Association (FNMA) Certificates, 5.500% 5/10/34 5.8% ------------------------------------------------- 7 Federal National Mortgage Association (FNMA), 4.375% 07/17/13 4.0% ------------------------------------------------- 8 Federal National Mortgage Association (FNMA) Certificates, 5.500% 11/01/33 1.7% ------------------------------------------------- 9 U.S. Treasury Note, 1.625% 04/30/05 1.2% ------------------------------------------------- 10 U.S. Treasury Note, 4.000% 06/15/09 1.1% ------------------------------------------------- THE TOP 10 HOLDINGS ARE PRESENTED TO ILLUSTRATE EXAMPLES OF SECURITIES IN WHICH THE PORTFOLIO INVESTS.
8 NATIONS FUNDS Corporate Bond Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES -- 81.8% AEROSPACE AND DEFENSE -- 1.6% $ 233 Boeing Company, 5.125% 02/15/13............................................. $ 241 8 General Dynamics Corporation, 4.500% 08/15/10............................................. 8 145 Goodrich (BF) Corporation, 7.625% 12/15/12............................................. 170 322 Northrop Grumman Corporation, 7.125% 02/15/11............................................. 370 120 Raytheon Company, 5.375% 04/01/13............................................. 125 ------- 914 ------- AUTOMOTIVE -- 5.7% 839 DaimlerChrysler NA Holdings Corporation, 4.050% 06/04/08............................................. 846 231 Ford Motor Company, 7.450% 07/16/31............................................. 227 254 Ford Motor Credit Company, 5.800% 01/12/09............................................. 263 758 Ford Motor Credit Company, 7.375% 02/01/11##........................................... 824 178 General Motors Acceptance Corporation, 6.150% 04/05/07............................................. 187 399 General Motors Acceptance Corporation, 6.875% 09/15/11............................................. 419 190 General Motors Acceptance Corporation, 8.000% 11/01/31............................................. 197 251 General Motors Corporation, 8.250% 07/15/23............................................. 264 ------- 3,227 ------- BEVERAGES -- 1.3% 245 Anheuser-Busch Companies, Inc., 5.950% 01/15/33............................................. 259 449 Cadbury Schweppes plc, 5.125% 10/01/13@............................................ 455 ------- 714 ------- BROADCASTING AND CABLE -- 2.9% 172 Comcast Cable Communications, Inc., 7.125% 06/15/13............................................. 195 535 Liberty Media Corporation, 3.500% 09/25/06............................................. 533 192 Tele-Communications, Inc., Class A, 9.875% 06/15/22............................................. 261 440 Time Warner Inc., 9.125% 01/15/13##........................................... 551 100 Time Warner Inc., 7.625% 04/15/31............................................. 115 ------- 1,655 ------- CHEMICALS -- BASIC -- 0.7% 248 The Dow Chemical Company, 6.125% 02/01/11............................................. 271 93 The Dow Chemical Company, 7.375% 11/01/29............................................. 108 ------- 379 -------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- 1.7% $ 149 E.I. du Pont de Nemours and Company, 3.375% 11/15/07............................................. $ 150 68 Eastman Chemical Company, 3.250% 06/15/08............................................. 67 240 Eastman Chemical Company, 6.300% 11/15/18............................................. 257 12 Monsanto Company, 4.000% 05/15/08............................................. 12 111 Praxair, Inc., 4.750% 07/15/07............................................. 115 310 Praxair, Inc., 6.500% 03/01/08............................................. 339 ------- 940 ------- COMMERCIAL BANKING -- 12.7% 286 AmSouth Bank N.A., 4.850% 04/01/13............................................. 288 987 Bank One Corporation, 6.000% 08/01/08##........................................... 1,067 119 Capital One Bank, 5.000% 06/15/09............................................. 123 237 Citigroup Inc., 6.000% 02/21/12............................................. 261 829 Citigroup Inc., 5.000% 09/15/14@............................................ 830 75 City National Corporation, 5.125% 02/15/13............................................. 75 482 First Union National Bank, 5.800% 12/01/08............................................. 518 271 Golden West Financial Corporation, 4.750% 10/01/12............................................. 273 242 Key Bank N.A., 7.000% 02/01/11............................................. 271 186 Mellon Funding Corporation, 4.875% 06/15/07............................................. 194 97 Mellon Funding Corporation, 6.700% 03/01/08............................................. 108 445 National City Bank, 4.625% 05/01/13............................................. 439 315 PNC Funding Corporation, 5.750% 08/01/06............................................. 330 20 Popular North America Inc., 4.250% 04/01/08............................................. 20 312 Popular North America Inc., MTN, Series E, 6.125% 10/15/06............................................. 330 87 Regions Financial Corporation, 7.750% 09/15/24............................................. 107 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............................................. 2 733 US Bank N.A., Minnesota, 6.375% 08/01/11##........................................... 819 421 Washington Mutual, Inc., 5.625% 01/15/07............................................. 443
SEE NOTES TO FINANCIAL STATEMENTS. 9 NATIONS FUNDS Corporate Bond Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- COMMERCIAL BANKING -- (CONTINUED) $ 587 Washington Mutual, Inc., 4.625% 04/01/14............................................. $ 561 42 Wells Fargo and Company, 3.500% 04/04/08............................................. 42 ------- 7,218 ------- COMMERCIAL SERVICES -- 0.5% 244 Waste Management, Inc., 7.375% 08/01/10............................................. 282 ------- COMPUTERS AND OFFICE EQUIPMENT -- 0.6% 30 International Business Machines Corporation, 4.750% 11/29/12............................................. 30 172 International Business Machines Corporation, 6.500% 01/15/28............................................. 191 140 International Business Machines Corporation, 5.875% 11/29/32............................................. 145 ------- 366 ------- CONGLOMERATES -- 0.2% 83 General Electric Company, 5.000% 02/01/13............................................. 85 ------- CONSUMER CREDIT AND MORTGAGES -- 1.7% 146 American Express Company, 3.750% 11/20/07............................................. 147 143 American General Finance Corporation, MTN, Series H, 2.750% 06/15/08............................................. 138 660 Countrywide Home Loans, Inc., MTN, Series J, 5.500% 08/01/06............................................. 689 ------- 974 ------- DEPARTMENT AND DISCOUNT STORES -- 2.0% 169 Target Corporation, 5.400% 10/01/08............................................. 180 314 Target Corporation, 5.875% 03/01/12............................................. 342 491 Wal-Mart Stores, Inc., 5.450% 08/01/06............................................. 513 64 Wal-Mart Stores, Inc., 4.375% 07/12/07............................................. 66 52 Wal-Mart Stores, Inc., 4.550% 05/01/13............................................. 52 ------- 1,153 ------- ELECTRIC POWER -- NON NUCLEAR -- 3.5% 97 Appalachian Power Company, Series G, 3.600% 05/15/08............................................. 96 111 Columbus Southern Power Company, Series D, 6.600% 03/01/33............................................. 121
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- ELECTRIC POWER -- NON NUCLEAR -- (CONTINUED) $ 31 Dominion Resources, Inc., 5.000% 03/15/13............................................. $ 31 140 Exelon Generation Company, LLC, 5.350% 01/15/14............................................. 143 12 New York State Electric & Gas, 5.750% 05/01/23............................................. 12 16 Ohio Edison Company, 4.000% 05/01/08............................................. 16 130 Pacific Gas and Electric Company, 6.050% 03/01/34............................................. 132 122 Pepco Holdings, Inc., 3.750% 02/15/06............................................. 123 45 Pepco Holdings, Inc., 5.500% 08/15/07............................................. 47 433 Progress Energy, Inc., 6.050% 04/15/07............................................. 458 26 PSEG Power LLC, 5.500% 12/01/15............................................. 26 94 Public Service Electric & Gas Company, MTN, Series C, 4.000% 11/01/08............................................. 95 582 TXU Energy Company, 7.000% 03/15/13##........................................... 658 ------- 1,958 ------- ELECTRIC POWER -- NUCLEAR -- 4.0% 93 American Electric Power Company, Inc., 5.250% 06/01/15............................................. 93 293 CenterPoint Energy Resources Corporation, Series B, 7.875% 04/01/13............................................. 345 60 Duquesne Light Company, Series O, 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............................................. 96 201 FirstEnergy Corporation, Series C, 7.375% 11/15/31............................................. 226 507 MidAmerican Energy Holdings, Series D, 5.000% 02/15/14............................................. 502 156 Southern California Edison Company, 5.000% 01/15/14............................................. 159 104 Southern California Edison Company, 6.000% 01/15/34............................................. 108 255 Southern Company Capital Funding, Series A, 5.300% 02/01/07............................................. 269 126 Southern Power Company, Series B, 6.250% 07/15/12............................................. 137 180 Virginia Electric and Power Company, Series A, 5.375% 02/01/07............................................. 188 ------- 2,230 -------
SEE NOTES TO FINANCIAL STATEMENTS. 10 NATIONS FUNDS Corporate Bond Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- EXPLORATION AND PRODUCTION -- 1.4% $ 100 Devon Energy Corporation, 7.950% 04/15/32............................................. $ 124 545 XTO Energy, Inc., 7.500% 04/15/12............................................. 640 ------- 764 ------- FINANCE -- MISCELLANEOUS -- 7.9% 500 Associates Corporation of North America, 6.950% 11/01/18............................................. 583 193 CIT Group Inc., 7.375% 04/02/07............................................. 212 1,032 General Electric Capital Corporation, MTN, Series A, 6.750% 03/15/32##........................................... 1,187 202 Household Finance Corporation, 5.875% 02/01/09............................................. 218 402 Household Finance Corporation, 6.375% 11/27/12............................................. 445 123 Household Finance Corporation, 7.350% 11/27/32............................................. 147 110 International Lease Finance Corporation, 4.500% 05/01/08............................................. 114 765 International Lease Finance Corporation, 3.500% 04/01/09............................................. 748 355 National Rural Utilities Cooperative Finance Corporation, 3.250% 10/01/07............................................. 352 221 National Rural Utilities Cooperative Finance Corporation, 5.750% 08/28/09............................................. 237 163 National Rural Utilities Cooperative Finance Corporation, MTN, Series C, 8.000% 03/01/32............................................. 211 ------- 4,454 ------- FOOD AND DRUG STORES -- 1.2% 384 Fred Meyer, Inc., 7.450% 03/01/08............................................. 430 202 The Kroger Company, 6.800% 04/01/11............................................. 226 12 The Kroger Company, 6.750% 04/15/12............................................. 13 ------- 669 ------- HEALTH SERVICES -- 1.1% 377 Wellpoint Health Networks Inc., 6.375% 06/15/06............................................. 398 185 Wellpoint Health Networks Inc., 6.375% 01/15/12............................................. 204 ------- 602 ------- HEAVY MACHINERY -- 0.3% 165 John Deere Capital Corporation, 7.000% 03/15/12............................................. 191 ------- HOUSEHOLD PRODUCTS -- 0.3% 136 Procter & Gamble Company, 4.750% 06/15/07............................................. 142 -------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- INSURANCE -- 3.2% $ 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@............................................ 147 110 MetLife, Inc., 5.375% 12/15/12............................................. 114 235 MetLife, Inc., 6.500% 12/15/32............................................. 253 3 Nationwide Financial Services, Inc., Class A, 5.900% 07/01/12............................................. 3 50 Principal Life Global, 6.125% 03/01/06@............................................ 52 409 Principal Life Global, 6.250% 02/15/12@............................................ 453 78 Progressive Corporation, 6.250% 12/01/32............................................. 82 52 Prudential Financial, Inc., MTN, Series B, 4.500% 07/15/13............................................. 50 399 Prudential Funding LLC, MTN, 6.600% 05/15/08@............................................ 443 78 The Hartford Financial Services Group, Inc., 2.375% 06/01/06............................................. 77 72 The Hartford Financial Services Group, Inc., 4.625% 07/15/13............................................. 71 30 Unitrin Inc., 4.875% 11/01/10............................................. 30 ------- 1,821 ------- INTEGRATED OIL -- 1.2% 271 Conoco Funding Company, 6.350% 10/15/11............................................. 302 351 USX Corporation, 6.650% 02/01/06............................................. 368 ------- 670 ------- INVESTMENT SERVICES -- 9.3% 652 Bear Stearns Companies Inc., 4.500% 10/28/10............................................. 657 210 Citigroup Global Markets Holdings Inc., 6.500% 02/15/08............................................. 230 30 Credit Suisse First Boston USA, Inc., 5.875% 08/01/06............................................. 32 229 Credit Suisse First Boston USA, Inc., 6.125% 11/15/11............................................. 249 711 Goldman Sachs Group, Inc., 6.600% 01/15/12............................................. 794 66 Goldman Sachs Group, Inc., 5.700% 09/01/12............................................. 70 254 Goldman Sachs Group, Inc., 4.750% 07/15/13............................................. 249 333 Lehman Brothers Holdings Inc., 4.000% 01/22/08............................................. 338 352 Lehman Brothers Holdings Inc., 7.000% 02/01/08............................................. 388
SEE NOTES TO FINANCIAL STATEMENTS. 11 NATIONS FUNDS Corporate Bond Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- INVESTMENT SERVICES -- (CONTINUED) $ 262 Lehman Brothers Holdings Inc., 7.875% 08/15/10............................................. $ 310 539 Merrill Lynch & Company, Inc., 6.000% 02/17/09............................................. 584 125 Merrill Lynch & Company, Inc., MTN, Series B, 2.070% 06/12/06............................................. 125 76 Merrill Lynch & Company, Inc., MTN, Series B, 3.700% 04/21/08............................................. 76 247 Morgan Stanley, 6.750% 04/15/11............................................. 277 294 Morgan Stanley, 6.600% 04/01/12............................................. 328 518 Morgan Stanley, 5.300% 03/01/13............................................. 531 ------- 5,238 ------- METALS AND MINING -- 0.5% 223 Alcoa Inc., 7.375% 08/01/10............................................. 260 ------- NATURAL GAS DISTRIBUTION -- 0.6% 310 NiSource Finance Corporation, 5.400% 07/15/14............................................. 317 47 Southern California Gas Company, Series HH, 5.450% 04/15/18............................................. 49 ------- 366 ------- NATURAL GAS PIPELINES -- 2.1% 418 Duke Capital LLC, 4.370% 03/01/09............................................. 422 340 Kinder Morgan, Inc., 6.650% 03/01/05............................................. 345 346 Teppco Partners, LP, 7.625% 02/15/12............................................. 401 ------- 1,168 ------- OIL REFINING AND MARKETING -- 0.5% 243 Valero Energy Corporation, 6.875% 04/15/12............................................. 274 13 Velero Energy Corporation, 7.500% 04/15/32............................................. 15 ------- 289 ------- PAPER AND FOREST PRODUCTS -- 2.0% 116 Champion International Corporation, 7.350% 11/01/25............................................. 130 402 International Paper Company, 5.850%** 10/30/12........................................... 424 368 MeadWestvaco Corporation, 6.850% 04/01/12##........................................... 410 145 MeadWestvaco Corporation, 8.200% 01/15/30............................................. 174 ------- 1,138 -------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- PUBLISHING AND ADVERTISING -- 1.1% $ 135 Knight-Ridder, Inc., 7.125% 06/01/11............................................. $ 155 125 News America Holdings Inc., 9.250% 02/01/13##........................................... 161 22 News America Holdings Inc., 6.550% 03/15/33............................................. 23 209 News America Holdings Inc., 8.150% 10/17/36##........................................... 260 ------- 599 ------- RAILROADS, TRUCKING AND SHIPPING -- 0.5% 222 Burlington Northern Santa Fe Corporation, 6.750% 07/15/11##........................................... 250 21 Union Pacific Corporation, 4.698% 01/02/24............................................. 20 ------- 270 ------- REAL ESTATE -- 1.2% 208 EOP Operating LP, 7.000% 07/15/11##........................................... 234 443 EOP Operating LP, 4.750% 03/15/14##........................................... 427 11 ERP Operating LP, 5.200% 04/01/13............................................. 11 ------- 672 ------- REAL ESTATE INVESTMENT TRUSTS (REITS) -- 2.0% 509 Camden Property Trust, 5.375% 12/15/13##........................................... 513 149 Health Care Property Investors, Inc., 6.450% 06/25/12............................................. 162 487 Simon Property Group, LP 3.750% 01/30/09##........................................... 479 ------- 1,154 ------- TELECOMMUNICATIONS SERVICES -- 6.3% 152 AT&T Wireless Services Inc., 8.125% 05/01/12##........................................... 184 69 AT&T Wireless Services Inc., 8.750% 03/01/31............................................. 91 83 BellSouth Corporation, 6.000% 10/15/11............................................. 90 140 BellSouth Telecommunications Inc., 6.375% 06/01/28............................................. 143 490 SBC Communications Inc., 5.750% 05/02/06##........................................... 512 43 Sprint Capital Corporation, 6.125% 11/15/08............................................. 46 562 Sprint Capital Corporation, 8.375% 03/15/12##........................................... 681 310 Sprint Capital Corporation, 8.750% 03/15/32............................................. 393 7 Verizon Florida Inc., Series F, 6.125% 01/15/13............................................. 7 221 Verizon Global Funding Corporation, 7.750% 12/01/30............................................. 265
SEE NOTES TO FINANCIAL STATEMENTS. 12 NATIONS FUNDS Corporate Bond Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- TELECOMMUNICATIONS SERVICES -- (CONTINUED) $ 426 Verizon New England Inc., 6.500% 09/15/11............................................. $ 470 644 Verizon Pennsylvania Inc., Series A, 5.650% 11/15/11##........................................... 680 ------- 3,562 ------- TOTAL CORPORATE BONDS AND NOTES (Cost $45,270).............................................. 46,124 ------- FOREIGN BONDS AND NOTES -- 10.2% BROADCASTING AND CABLE -- 0.0%+ 11 Rogers Cable Inc., 6.250% 06/15/13............................................. 11 ------- BUILDING MATERIALS -- 0.3% 184 Hanson Overseas BV, 6.750% 09/15/05............................................. 191 ------- CHEMICALS -- SPECIALTY -- 0.0%+ 14 Potash Corporation of Saskatchewan Inc., 4.875% 03/01/13............................................. 14 ------- COMMERCIAL BANKING -- 0.6% 6 Barclays Bank plc, 7.400% 12/15/09............................................. 7 322 Scotland International Finance, 4.250% 05/23/13@............................................ 309 ------- 316 ------- ELECTRIC POWER -- NON NUCLEAR -- 0.1% 42 Transalta Corporation, 5.750% 12/15/13............................................. 43 ------- FOOD PRODUCTS -- 0.1% 36 Unilever Capital Corporation, 6.875% 11/01/05............................................. 38 ------- INTEGRATED OIL -- 1.0% 25 Pemex Project Funding Master Trust, 7.875%** 02/01/09........................................... 28 392 Pemex Project Funding Master Trust, 8.625%** 02/01/22........................................... 446 86 Suncor Energy, Inc., 5.950% 12/01/34............................................. 88 ------- 562 ------- METALS AND MINING -- 1.3% 288 Alcan Inc., 6.450% 03/15/11............................................. 321 50 Alcan Inc., 7.250% 03/15/31............................................. 60 87 BHP Finance USA Ltd., 4.800% 04/15/13............................................. 88 44 Codelco Inc., 5.500% 10/15/13@............................................ 46
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- METALS AND MINING -- (CONTINUED) $ 111 Placer Dome Inc., 6.450% 10/15/35............................................. $ 117 81 Rio Tinto Finance (USA) Ltd., 2.625% 09/30/08............................................. 78 ------- 710 ------- PUBLISHING AND ADVERTISING -- 0.5% 299 Thomson Corporation, 5.250% 08/15/13............................................. 309 ------- RAILROADS, TRUCKING AND SHIPPING -- 0.4% 188 Canadian National Railway Company, 6.900% 07/15/28............................................. 213 ------- TELECOMMUNICATIONS SERVICES -- 5.9% 265 British Telecommunications, plc, 7.875%** 12/15/05........................................... 281 112 British Telecommunications, plc, 8.375% 12/15/10............................................. 135 43 British Telecommunications, plc, 8.875% 12/15/30............................................. 56 840 Deutsche Telekom International Finance BV, 8.500%** 06/15/10##......................................... 1,006 490 Deutsche Telekom International Finance BV, 5.250% 07/22/13##........................................... 501 370 France Telecom SA, 8.500%** 03/01/11........................................... 443 263 France Telecom SA, 9.250%** 03/01/31........................................... 349 80 Telefonos de Mexico, SA, 4.500% 11/19/08............................................. 80 452 Telus Corporation, 7.500% 06/01/07##........................................... 496 ------- 3,347 ------- TOTAL FOREIGN BONDS AND NOTES (Cost $5,652)............................................... 5,754 ------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- 5.1% 224 Hellenic Republic, 6.950% 03/04/08............................................. 250 443 Quebec (Province of), 7.500% 09/15/29##........................................... 574 157 Region of Lombardy, 5.804% 10/25/32............................................. 166 101 Republic of Chile, 5.500% 01/15/13............................................. 105 174 Republic of Poland, 5.250% 01/15/14............................................. 180 233 Republic of South Africa, 6.500% 06/02/14............................................. 249 523 United Mexican States, 8.375% 01/14/11............................................. 613 188 United Mexican States, 6.375% 01/16/13............................................. 198
SEE NOTES TO FINANCIAL STATEMENTS. 13 NATIONS FUNDS Corporate Bond Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- SOVEREIGN GOVERNMENT BONDS AND NOTES -- (CONTINUED) $ 524 United Mexican States, 7.500% 04/08/33............................................. $ 551 ------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $2,778)............................................... 2,886 ------- SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 1.2% (Cost $680) 680 Nations Cash Reserves, Capital Class Shares#.................. 680 ------- TOTAL INVESTMENTS (Cost $54,380*)................................... 98.3% 55,444 ------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ 1.7% 935 ------- NET ASSETS.......................................... 100.0% $56,379 =======
--------------- * Federal income tax information (see Note 9). **Variable rate note. The interest rate shown reflects the rate in effect at September 30, 2004. @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. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 14 NATIONS FUNDS High Income Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES -- 80.1% AUTOMOTIVE -- 2.9% $ 170 Tenneco Automotive Inc., Series B, 11.625% 10/15/09##.......................................... $ 179 ------ BUILDING MATERIALS -- 8.1% 256 Atrium Companies, Inc., Series B, 10.500% 05/01/09##.......................................... 269 225 Building Materials Corporation of America, Series B, 7.750% 07/15/05##........................................... 229 ------ 498 ------ CHEMICALS -- BASIC -- 2.9% 170 Lyondell Chemical Company, Series B, 9.875% 05/01/07............................................. 180 ------ COMMERCIAL SERVICES -- 2.2% 135 Browning-Ferris Industries, Inc., 7.875% 03/15/05............................................. 135 ------ COMPUTERS AND OFFICE EQUIPMENT -- 0.9% 56 Unisys Corporation, 7.875% 04/01/08............................................. 58 ------ CONSTRUCTION -- 6.6% 200 KB HOME, 5.750% 02/01/14##........................................... 199 200 Toll Corporation, 8.000% 05/01/09##........................................... 208 ------ 407 ------ ELECTRIC POWER -- NON NUCLEAR -- 4.4% 121 AES Corporation, 8.500% 11/01/07##........................................... 124 144 CMS Energy Corporation, 7.000% 01/15/05##........................................... 145 ------ 269 ------ EXPLORATION AND PRODUCTION -- 1.6% 93 Evergreen Resources, Inc., 5.875% 03/15/12............................................. 96 ------ FINANCE -- MISCELLANEOUS -- 23.9% 1,400 Dow Jones CDX3 HY-B, 8.000% 12/29/09@............................................ 1,402 59 Midland Funding II, Series A, 11.750% 07/23/05............................................ 62 ------ 1,464 ------ FOOD PRODUCTS -- 2.6% 148 United Agri Products, 8.250% 12/15/11@............................................ 160 ------
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- HEAVY MACHINERY -- 1.8% $ 103 AGCO Corporation, 9.500% 05/01/08............................................. $ 111 ------ HOUSING AND FURNISHING -- 5.5% 200 Beazer Homes USA, Inc., 6.500% 11/15/13##........................................... 204 130 D.R. Horton, Inc., 10.500% 04/01/05............................................ 135 ------ 339 ------ LODGING AND RECREATION -- 8.1% 200 Choctaw Resort Development Enterprise, 9.250% 04/01/09##........................................... 213 71 Host Marriott Corporation, Series B, 7.875% 08/01/08............................................. 73 200 Park Place Entertainment Corporation, 7.875% 12/15/05............................................. 211 ------ 497 ------ METALS AND MINING -- 3.3% 194 Ryerson Tull, Inc., Class A, 9.125% 07/15/06##........................................... 205 ------ NATURAL GAS DISTRIBUTION -- 0.6% 34 Aquila, Inc., 6.875% 10/01/04............................................. 34 ------ PAPER AND FOREST PRODUCTS -- 0.6% 43 Scotia Pacific Company LLC, Series B, 7.110% 01/20/14............................................. 38 ------ SEMICONDUCTORS -- 2.2% 129 Fairchild Semiconductor International, Inc., 10.500% 02/01/09............................................ 138 ------ UTILITIES -- MISCELLANEOUS -- 1.9% 57 AES Corporation, Bank Loan, (purchased 08/02/04, cost $58) 4.000% 07/25/08(b)(c)....................................... 58 57 AES Corporation, Bank Loan, (purchased 08/02/04, cost $58) 4.250% 07/25/08(b)(c)....................................... 58 ------ 116 ------ TOTAL CORPORATE BONDS AND NOTES (Cost $4,858)............................................... 4,924 ------ FOREIGN BONDS AND NOTES -- 7.4% BROADCASTING AND CABLE -- 2.2% 125 Alliance Atlantis Communications Inc., 13.000% 12/15/09##.......................................... 135 ------
SEE NOTES TO FINANCIAL STATEMENTS. 15 NATIONS FUNDS High Income Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) ------------------------------------------------------------------------------------- CHEMICALS -- SPECIALTY -- 3.3% $ 200 Methanex Corporation, 7.750% 08/15/05##........................................... $ 208 ------ NATURAL GAS PIPELINES -- 1.9% 114 Gemstone Investors Ltd., 7.710% 10/31/04@............................................ 114 ------ TOTAL FOREIGN BONDS AND NOTES (Cost $450)................................................. 457 ------ MORTGAGE-BACKED SECURITIES -- 3.0% (Cost $179) FINANCE -- MISCELLANEOUS -- 3.0% 180 Qwest Bank Loan Tranche, (purchased 06/05/03, cost $178) 6.500% 06/30/07(b)(c)....................................... 187 ------ SHARES --------- WARRANTS -- 0.0%+ (Cost $0) 225 Solutia Inc., Expire 07/15/09!!(a)........................................ 0++ ------ SHARES (000) --------- AFFILIATED INVESTMENT COMPANIES -- 6.9% (Cost $423) 423 Nations Cash Reserves, Capital Class Shares#.................. 423 ------ TOTAL INVESTMENTS (Cost $5,910*).................................... 97.4% 5,991 ------ TOTAL OTHER ASSETS AND LIABILITIES (NET)................................. 2.6% 158 ------ NET ASSETS.......................................... 100.0% $6,149 ======
--------------- * Federal income tax information (see Note 9). !!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. ##All or a portion of security segregated as collateral for swap contracts. (a) Fair valued security. (b) Restricted security. (c) Loan participation agreement. ABBREVIATIONS: MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS. 16 NATIONS FUNDS Mortgage- and Asset-Backed Portfolio SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES -- 0.8% ASSET-BACKED -- AUTO LOANS -- 0.8% $ 213 Chase Manhattan Auto Owner Trust, Series 2003-A, Class A2, 1.260% 01/16/06##........................................... $ 213 462 Daimler Chrysler Auto Trust, Series 2003-A, Class A2, 1.520% 12/08/05##........................................... 462 -------- TOTAL ASSET-BACKED SECURITIES (Cost $675)................................................. 675 -------- MORTGAGE-BACKED SECURITIES -- 99.1% COMMERCIAL MORTGAGE-BACKED SECURITIES -- 0.8% 291 Fannie Mae, Series 2002-16, Class PG, 6.000% 04/25/17##........................................... 308 304 Fannie Mae, Series 2002-47, Class QE, 5.500% 08/25/17##........................................... 314 333 Freddie Mac, Series 2664, Class IO, 5.500% 05/15/27##........................................... 38 304 Freddie Mac, Series 2692, Class IA, 5.500% 01/15/23##........................................... 25 -------- 685 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES -- 0.1% 78 6.500% 11/01/32##............................................. 82 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES -- 88.9% 24,203 5.000% 10/15/19(a)............................................ 24,582 132 7.000% 02/01/32-06/01/32##.................................... 140 493 6.500% 05/01/32-05/01/33##.................................... 518 6,773 5.500% 11/01/33-12/01/33##.................................... 6,878 4,682 5.500% 05/10/34(a)............................................ 4,743 15,000 5.000% 07/12/34(a)............................................ 14,841 19,500 6.500% 07/12/34(a)............................................ 20,450 -------- 72,152 -------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES -- 9.3% 23 7.000% 03/15/31............................................... 24 7,015 5.500% 06/15/33##............................................. 7,155 373 5.500% 07/19/33(a)............................................ 379 -------- 7,558 -------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $80,616).............................................. 80,477 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 44.5% FEDERAL FARM CREDIT BANK (FFCB) -- 2.1% 200 Discount note 10/13/04........................................ 200 1,500 Discount note 10/14/04##...................................... 1,499 -------- 1,699 --------
PRINCIPAL AMOUNT VALUE (000) (000) -------------------------------------------------------------------------------------- FEDERAL HOME LOAN BANK (FHLB) -- 6.5% $ 1,500 Discount note 10/01/04##...................................... $ 1,499 800 Discount note 10/08/04##...................................... 800 1,500 Discount note 10/20/04##...................................... 1,499 1,500 Discount note 10/27/04##...................................... 1,498 -------- 5,296 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 10.1% 1,500 Discount note 10/05/04##...................................... 1,500 1,500 Discount note 10/12/04##...................................... 1,499 1,500 Discount note 10/19/04##...................................... 1,499 200 Discount note 10/25/04........................................ 200 3,500 Discount note 10/26/04##...................................... 3,495 -------- 8,193 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 25.8% 1,000 Discount note 10/01/04##...................................... 1,000 1,500 Discount note 10/04/04##...................................... 1,500 3,000 Discount note 10/08/04##...................................... 2,999 2,500 Discount note 10/12/04##...................................... 2,499 1,500 Discount note 10/13/04##...................................... 1,499 1,500 Discount note 10/15/04##...................................... 1,499 700 Discount note 10/18/04##...................................... 699 1,500 Discount note 10/21/04##...................................... 1,499 1,500 Discount note 10/26/04##...................................... 1,498 3,000 Discount note 10/27/04##...................................... 2,996 3,332 4.375% 07/17/13##............................................. 3,230 -------- 20,918 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $36,044).............................................. 36,106 -------- U.S. TREASURY OBLIGATIONS -- 6.3% U.S. TREASURY BONDS -- 1.3% 650 6.250% 08/15/23##............................................. 759 230 6.875% 08/15/25##............................................. 289 -------- 1,048 -------- U.S. TREASURY NOTES -- 5.0% 1,000 1.625% 04/30/05##............................................. 998 300 2.000% 05/15/06##............................................. 298 800 3.000% 02/15/09##............................................. 792 820 3.125% 04/15/09##............................................. 814 900 4.000% 06/15/09##............................................. 926 150 3.500% 08/15/09##............................................. 151 50 4.250% 08/15/14##............................................. 51 -------- 4,030 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,005)............................................... 5,078 --------
SEE NOTES TO FINANCIAL STATEMENTS. 17 NATIONS FUNDS Mortgage- and Asset-Backed Portfolio SCHEDULE OF INVESTMENTS (CONTINUED) SEPTEMBER 30, 2004 (UNAUDITED)
SHARES VALUE (000) (000) -------------------------------------------------------------------------------------- AFFILIATED INVESTMENT COMPANIES -- 38.2% (Cost $31,023) 31,023 Nations Cash Reserves, Capital Class Shares#, ##.............. $ 31,023 -------- TOTAL INVESTMENTS (Cost $153,363*).................................. 188.9% 153,359 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET)............ (88.9)% (72,169) -------- NET ASSETS.......................................... 100.0% $ 81,190 ========
--------------- *Federal income tax information (see Note 9). #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 TBA. (a) TBA (To Be Announced) -- Securities purchased on a forward commitment basis. SEE NOTES TO FINANCIAL STATEMENTS. 18 NATIONS FUNDS STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) September 30, 2004
CORPORATE HIGH MORTGAGE- AND BOND INCOME ASSET-BACKED PORTFOLIO PORTFOLIO PORTFOLIO ---------------------------------------------------- (IN THOUSANDS) ASSETS: Investments, at value (cost $54,380, $5,910 and $153,363, respectively)............................................. $ 55,444 $ 5,991 $ 153,359 Cash........................................................ -- 1 1 Unrealized appreciation on swap contracts................... -- 18 -- Receivable for investment securities sold................... 5,711 -- -- Dividends receivable........................................ 1 1 39 Receivable for variation margin............................. 10 -- 9 Interest receivable......................................... 829 142 290 -------------- -------------- -------------- Total assets............................................ 61,995 6,153 153,698 -------------- -------------- -------------- LIABILITIES: Unrealized depreciation on swap contracts................... -- -- -- Payable for investment securities purchased................. -- -- (65,015) Payable for variation margin................................ (5) -- -- Payable for Fund shares redeemed............................ (5,611) (4) (7,349) Accrued other liabilities................................... -- -- (144) -------------- -------------- -------------- Total liabilities....................................... (5,616) (4) (72,508) -------------- -------------- -------------- NET ASSETS.................................................. $ 56,379 $ 6,149 $ 81,190 ============== ============== ============== NET ASSETS CONSIST OF: Undistributed net investment income (distributions in excess of net investment income)................................. $ 4 $ (86) $ (7) Accumulated net realized gain/(loss) on investments sold, swaps and futures contracts............................... (219) 150 403 Net unrealized appreciation/(depreciation) on: Investments............................................... 1,064 81 (4) Swaps..................................................... -- 18 -- Futures contracts......................................... (34) -- (50) Paid-in capital............................................. 55,564 5,986 80,848 -------------- -------------- -------------- NET ASSETS.................................................. $ 56,379 $ 6,149 $ 81,190 ============== ============== ============== Net assets.................................................. $ 56,379,082 $ 6,149,313 $ 81,190,050 Units of beneficial interest outstanding.................... 5,442,546 614,394 8,062,260 Net asset value and redemption price per unit............... $ 10.36 $ 10.01 $ 10.07 ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 19 NATIONS FUNDS STATEMENTS OF OPERATIONS (UNAUDITED) For the six months ended September 30, 2004
CORPORATE HIGH MORTGAGE- AND BOND INCOME ASSET-BACKED PORTFOLIO PORTFOLIO PORTFOLIO ---------------------------------------------------- (IN THOUSANDS) INVESTMENT INCOME: Interest.................................................... $ 1,396 $ 212 $ 816 Dividends (Net of foreign withholding taxes of $0, $0 and $0, respectively)......................................... -- 1 -- Dividend from affiliated funds.............................. 9 3 180 -------------- -------------- -------------- Total investment income................................. 1,405 216 996 -------------- -------------- -------------- NET INVESTMENT INCOME....................................... 1,405 216 996 -------------- -------------- -------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS: Net realized gain/(loss) from: Security transactions..................................... (69) 93 595 Futures contracts......................................... (142) (29) (22) Written options........................................... -- -- (9) Swap contracts............................................ -- 86 11 -------------- -------------- -------------- Net realized gain/(loss) on investments..................... (211) 150 575 -------------- -------------- -------------- Change in unrealized appreciation/(depreciation) of: Securities................................................ (812) (120) (247) Futures contracts......................................... 43 -- (20) Swap contracts............................................ -- 18 2 -------------- -------------- -------------- Net change in unrealized appreciation/(depreciation) of investments............................................... (769) (102) (265) -------------- -------------- -------------- Net realized and unrealized gain/(loss) on investments...... (980) 48 310 -------------- -------------- -------------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS................................................ $ 425 $ 264 $ 1,306 ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 20 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS
CORPORATE BOND PORTFOLIO --------------------------------- SIX MONTHS ENDED 9/30/2004 YEAR ENDED (UNAUDITED) 3/31/2004 --------------------------------- (IN THOUSANDS) Net investment income....................................... $ 1,405 $ 1,630 Net realized gain/(loss) on investments..................... (211) 334 Net change in unrealized appreciation/(depreciation) of investments............................................... (769) 1,506 -------------- -------------- Net increase/(decrease) in net assets resulting from operations................................................ 425 3,470 Distributions to shareholders from net investment income.... (1,410) (1,657) Distributions to shareholders from net realized gain on investments............................................... (195) (150) Net increase/(decrease) in net assets from Portfolio share transactions.............................................. (3,634) 44,758 -------------- -------------- Net increase/(decrease) in net assets....................... (4,814) 46,421 NET ASSETS: Beginning of period......................................... 61,193 14,772 -------------- -------------- End of period............................................... $ 56,379 $ 61,193 ============== ============== Undistributed net investment income/(distributions in excess of net investment income) at end of period................ $ 4 $ 9 ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 21 NATIONS FUNDS STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
MORTGAGE- AND HIGH INCOME PORTFOLIO ASSET-BACKED PORTFOLIO ------------------------------------------------ ------------------------------------------------ SIX MONTHS SIX MONTHS ENDED ENDED 9/30/2004 YEAR ENDED 9/30/2004 YEAR ENDED (UNAUDITED) 3/31/2004 (UNAUDITED) 3/31/2004 ------------------------------------------------------------------------------------------------------------ $ 216 $ 723 $ 996 $ 1,079 150 705 575 1,102 (102) 32 (265) 219 -------------- -------------- -------------- -------------- 264 1,460 1,306 2,400 (302) (854) (1,003) (1,091) (244) (404) (1,246) (94) (1,252) (5,162) (4,278) 75,991 -------------- -------------- -------------- -------------- (1,534) (4,960) (5,221) 77,206 7,683 12,643 86,411 9,205 -------------- -------------- -------------- -------------- $ 6,149 $ 7,683 $ 81,190 $ 86,411 ============== ============== ============== ============== $ (86) $ -- $ (7) $ -- ============== ============== ============== ==============
SEE NOTES TO FINANCIAL STATEMENTS. 22 NATIONS FUNDS SCHEDULES OF CAPITAL STOCK ACTIVITY
CORPORATE BOND PORTFOLIO SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) Sold........................................................ 1,484 $ 15,101 6,309 $ 65,226 Issued as reinvestment of dividends......................... 16 164 19 196 Redeemed.................................................... (1,840) (18,899) (1,975) (20,664) ------ -------- ------ -------- Net increase................................................ (340) $ (3,634) 4,353 $ 44,758 ====== ======== ====== ========
HIGH INCOME PORTFOLIO SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) Sold........................................................ 155 $ 1,555 1,298 $ 13,540 Issued as reinvestment of dividends......................... 20 199 72 747 Redeemed.................................................... (299) (3,006) (1,867) (19,449) ------ -------- ------ -------- Net increase/(decrease)..................................... (124) $ (1,252) (497) $ (5,162) ====== ======== ====== ========
MORTGAGE- AND ASSET-BACKED PORTFOLIO SIX MONTHS ENDED SEPTEMBER 30, 2004 YEAR ENDED (UNAUDITED) MARCH 31, 2004 ------------------ ------------------ SHARES DOLLARS SHARES DOLLARS ------------------------------------------ (IN THOUSANDS) Sold........................................................ 2,524 $ 25,182 10,498 $105,472 Issued as reinvestment of dividends......................... 32 313 6 60 Redeemed.................................................... (2,977) (29,773) (2,927) (29,541) ------ -------- ------ -------- Net increase................................................ (421) $ (4,278) 7,577 $ 75,991 ====== ======== ====== ========
SEE NOTES TO FINANCIAL STATEMENTS. 23 NATIONS FUNDS Corporate Bond Portfolio FINANCIAL HIGHLIGHTS For a share outstanding throughout each period.
SIX MONTHS ENDED 9/30/2004 YEAR ENDED PERIOD ENDED (UNAUDITED) 3/31/2004 3/31/2003* ------------------------------------------------------ Net asset value, beginning of period.................... $ 10.58 $ 10.33 $ 10.00 ------- ------- ------- Investment income from operations: Net investment income#.................................. 0.24 0.46 0.41 Net realized and unrealized gain on investments......... (0.19) 0.33 0.27 ------- ------- ------- Net increase in net assets resulting from investment operations............................................ 0.05 0.79 0.68 ------- ------- ------- Distributions to shareholders: Dividends from net investment income.................... (0.24) (0.47) (0.26) Distributions from net realized gains................... (0.03) (0.07) (0.09) ------- ------- ------- Total dividends and distributions....................... (0.27) (0.54) (0.35) ------- ------- ------- Net asset value, end of period.......................... $ 10.36 $ 10.58 $ 10.33 ======= ======= ======= Total return++.......................................... 0.58% 7.83% 6.99% RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (000)......................... $56,379 $61,193 $14,772 Ratio of net investment income to average net assets.... 4.62%+ 4.40% 4.33%+ Portfolio turnover rate................................. 26% 126% 183%
--------------- + Annualized. ++ Total return represents aggregate total return for the period indicated and assumes reinvestment of all distributions. # Per share net investment income/(loss) has been calculated using the monthly average shares method. * Portfolio commenced operations on August 30, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 24 NATIONS FUNDS High Income Portfolio FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
SIX MONTHS ENDED 9/30/2004 YEAR ENDED PERIOD ENDED (UNAUDITED) 3/31/2004 3/31/2003* ------------------------------------------------------ Net asset value, beginning of period.................... $10.41 $10.24 $ 10.00 ------ ------ ------- Investment income from operations: Net investment income#.................................. 0.32 0.71 0.32 Net realized and unrealized gain on investments......... 0.09 0.73 0.27 ------ ------ ------- Net increase in net assets resulting from investment operations............................................ 0.41 1.44 0.59 ------ ------ ------- Distributions to shareholders: Dividends from net investment income.................... (0.45) (0.86) (0.34) Distributions from net realized gains................... (0.36) (0.41) (0.01) ------ ------ ------- Total dividends and distributions....................... (0.81) (1.27) (0.35) ------ ------ ------- Net asset value, end of period.......................... $10.01 $10.41 $ 10.24 ====== ====== ======= Total return++.......................................... 4.30% 14.72% 6.02% RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (000)......................... $6,149 $7,683 $12,643 Ratio of net investment income to average net assets.... 6.35%+ 6.86% 5.64%+ Portfolio turnover rate................................. 105% 211% 84%
--------------- + Annualized. ++ Total return represents aggregate total return for the period indicated and assumes reinvestment of all distributions. # Per share net investment income/(loss) has been calculated using the monthly average shares method. * Portfolio commenced operations on August 30, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 25 NATIONS FUNDS Mortgage- and Asset-Backed Portfolio FINANCIAL HIGHLIGHTS (CONTINUED) For a share outstanding throughout each period.
SIX MONTHS ENDED 9/30/2004 YEAR ENDED PERIOD ENDED (UNAUDITED) 3/31/2004 3/31/2003* ------------------------------------------------------ Net asset value, beginning of period...................... $ 10.19 $ 10.15 $10.00 ------- ------- ------ Investment income from operations: Net investment income#.................................... 0.12 0.22 0.17 Net realized and unrealized gain on investments........... 0.02 0.13 0.14 ------- ------- ------ Net increase in net assets resulting from investment operations.............................................. 0.14 0.35 0.31 ------- ------- ------ Distributions to shareholders: Dividends from net investment income...................... (0.12) (0.22) (0.10) Distributions from net realized gains..................... (0.14) (0.09) (0.06) ------- ------- ------ Total dividends and distributions......................... (0.26) (0.31) (0.16) ------- ------- ------ Net asset value, end of period............................ $ 10.07 $ 10.19 $10.15 ======= ======= ====== Total return++............................................ 1.46% 3.53% 3.08% RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net assets, end of period (000)........................... $81,190 $86,411 $9,205 Ratio of net investment income to average net assets...... 2.28%+ 2.26% 1.82%+ Portfolio turnover rate................................... 420% 941% 688%
--------------- + 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. * Portfolio commenced operations on August 30, 2002. SEE NOTES TO FINANCIAL STATEMENTS. 26 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, 2004, Funds Trust offered fifty-six 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 and restrictions. These risks are likely to be greater in emerging markets than in developed markets. 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 generally valued at the last sale price on the exchange or market on which such securities are primarily traded. Securities traded on Nasdaq are generally valued at the Nasdaq official closing price. Securities which are primarily traded on foreign securities exchanges are generally valued at the last available sale price on their respective exchanges where primarily traded. Debt securities will generally be valued using prices provided by a pricing service which may employ various indications of value including but not limited to broker-dealer quotations. Certain debt security prices provided by 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 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. 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 27 NATIONS FUNDS 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 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 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 net realized gain/(loss) on investments. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of assets and liabilities. 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. 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. 28 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 amount recognized in the Statements of assets and liabilities. 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 gains on the underlying securities purchased and any unrealized losses 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 gains 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 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- and Asset-Backed Portfolio had dollar rolls outstanding as of September 30, 2004, which are included in Payable for investment securities purchased on its Statement of assets and liabilities. 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 dollar roll purchase commitments. Securities transactions and investment income: Securities transactions are recorded on trade date. Realized gains and losses are computed based on the specific identification of securities sold. Interest income, adjusted for accretion of discounts and amortization of premiums, is earned from settlement date and recorded on an accrual basis. Dividend income (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 Sub-chapter M, 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 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 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 commission costs, including interest expenses of borrowing 29 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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 an agreement with BACAP Distributors. The Portfolios do not incur any fees or expenses except taxes, brokerage fees and commission costs, including interest expense of borrowing money, extraordinary expenses, and any applicable rule 12b-1 fees, shareholder servicing fees and/or shareholder administration fees. 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 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 as distributor. 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 an 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 earn advisory and administration fees on the investments made in Nations Cash Reserves. For the six months ended September 30, 2004, BACAP and BACAP Distributors earned the following fees related to investments in affiliated funds:
ADMINISTRATION FEES ADVISORY FEES (EARNED BY BACAP (EARNED BY BACAP) DISTRIBUTORS) FUND (000) (000) ------------------------------------------------------------------------------------------------------ Corporate Bond.............................................. $ 1 $ 1 High Income................................................. --* --* Mortgage- and Asset-Backed.................................. 19 10
--------------- *Amount represents less than $500. 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, 2004 were as follows:
PURCHASES SALES (000) (000) --------------------- Corporate Bond.............................................. $ 4,936 $ 6,468 High Income................................................. 5,703 6,633 Mortgage- and Asset-Backed.................................. -- 30
30 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, 2004 were as follows:
PURCHASES SALES (000) (000) ---------------------- Corporate Bond.............................................. $ 9,926 $ 10,588 High Income................................................. -- 247 Mortgage- and Asset-Backed.................................. 376,992 374,252
4. FUTURES CONTRACTS At September 30, 2004, the following Portfolios had futures contracts open:
UNREALIZED VALUE OF CONTRACT MARKET VALUE OF APPRECIATION/ NUMBER OF WHEN OPENED CONTRACTS (DEPRECIATION) DESCRIPTION CONTRACTS (000) (000) (000) --------------------------------------------------------------------------------------------------------------------------------- CORPORATE BOND PORTFOLIO: U.S. 2 year Treasury Note Futures (long position) expiring December 2004 (a)......................................... 15 $ 3,170 $ 3,169 $ (1) U.S. 20 year Treasury Note Futures (long position) expiring December 2004(a).......................................... 13 1,429 1,459 30 U.S. 10 year Treasury Note Futures (short position) expiring December 2004(a).......................................... (54) (6,025) (6,081) (56) U.S. 5 year Treasury Note Futures (short position) expiring December 2004(a).......................................... (10) (1,101) (1,108) (7) ---- Total net unrealized depreciation......................... $(34) ==== MORTGAGE- AND ASSET-BACKED PORTFOLIO: U.S. 5 year Treasury Note Futures (long position) expiring December 2004(a).......................................... 10 $ 1,102 $ 1,107 $ 5 U.S. 20 year Treasury Note Futures (short position) expiring December 2004(a).......................................... (7) (770) (785) (15) U.S. 10 year Treasury Note Futures (short position) expiring December 2004(a).......................................... (36) (4,015) (4,055) (40) ---- Total net unrealized depreciation......................... $(50) ====
--------------- (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 for the six months ended September 30, 2004 aggregated the following:
PREMIUM NUMBER OF RECEIVED SUMMARY OF WRITTEN OPTIONS CONTRACTS* (000) ------------------------------------------------------------------------------------ Outstanding at March 31, 2004............................... -- $-- Contracts opened............................................ 0.14 1 Contracts closed............................................ -- -- Contracts expired........................................... (0.14) (1) ----- --- Outstanding at September 30, 2004........................... -- -- ===== ===
--------------- *1 contract = $1,000,000 notional amount. 31 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 6. SWAP CONTRACTS At September 30, 2004, the following Portfolio had swap contracts outstanding:
UNREALIZED NOTIONAL PAYMENTS APPRECIATION/ AMOUNT PAYMENTS MADE BY RECEIVED BY (DEPRECIATION) DESCRIPTION (000) THE PORTFOLIO THE PORTFOLIO (000) ------------------------------------------------------------------------------------------------------------------------- HIGH INCOME PORTFOLIO: Lehman Brothers Contract with Bear Stearns, effective March 31, 2004, 1-month LIBOR U.S. High Yield expiring October 1, 2004(a)......................... $2,233 +0.40% Index $18 ========
--------------- (a)Fair value. 7. SHARES OF BENEFICIAL INTEREST As of September 30, 2004, 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. 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 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, 2004. During the six months ended September 30, 2004, borrowings by the Portfolios under the Agreement were as follows:
AVERAGE AMOUNT AVERAGE OUTSTANDING* INTEREST FUND (000) RATE -------------------------------------------------------------------------------------- High Income Portfolio....................................... $4 1.49%
--------------- *The average amount outstanding was based on daily balances in the period. 9. INCOME TAXES Information on the tax components of capital at September 30, 2004 is as follows:
NET TAX NET TAX UNREALIZED COST OF UNREALIZED APPRECIATION/ INVESTMENTS GROSS TAX GROSS TAX APPRECIATION/ (DEPRECIATION) FOR TAX UNREALIZED UNREALIZED (DEPRECIATION) ON DERIVATIVE PURPOSES APPRECIATION DEPRECIATION ON INVESTMENTS SECURITIES PORTFOLIO (000) (000) (000) (000) (000) --------------------------------------------------------------------------------------------------------------------------------- Corporate Bond.................................. $ 54,380 $1,163 $ (99) $1,064 $(34) High Income..................................... 5,910 87 (6) 81 18 Mortgage- and Asset-Backed...................... 153,363 177 (181) (4) (50)
32 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 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, 2004, the following Portfolios elected to defer losses occurring between November 1, 2003 and March 31, 2004 under these rules, as follows:
CAPITAL LOSSES DEFERRED PORTFOLIO (000) ----------------------------------------------------------------------------- Corporate Bond.............................................. $ 79 Mortgage- and Asset-Backed.................................. 202
Such deferred losses will be treated as arising on the first day of the fiscal year ending March 31, 2005. 10. CONTINGENCIES AND OTHER 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 various mutual funds, including other funds in the Nations Funds family. Specifically, the NYAG alleged that Canary engaged in activities that it characterized as "market timing" and "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 Funds' distributor and adviser. In connection with these events, various lawsuits have been filed, some of which name the Funds, among others, as defendants (see Civil Litigation below). The independent Trustees of the Funds have engaged independent legal counsel and, through them, accountants to evaluate the extent of any monetary impact to any Funds from discretionary market timing or from late trading. On September 8, 2003, Bank of America Corporation and the Boards of Trustees of the Funds (the "Boards") 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 the Funds in connection with this matter. Settlements in Principle with Regulators On March 15, 2004, Bank of America Corporation and FleetBoston Financial Corporation ("Fleet") entered into agreements in principle (each an "Agreement" and together, the "Agreements") with the NYAG and the SEC over matters related to improper late trading and market timing of mutual funds. As noted below, on April 1, 2004, Bank of America Corporation acquired Fleet. Under the Agreements, Bank of America Corporation has agreed to pay $250 million in total disgorgement and restitution and a penalty of $125 million and FleetBoston Financial Corporation agreed to pay $70 million in total disgorgement and restitution and a penalty of $70 million. In addition, the Agreement with the NYAG requires an aggregate reduction in mutual fund fees of $32 million per year for five years across selected non-money market funds in the Nations Funds and Fleet mutual fund complexes. The final amount payable as restitution and whether such restitution will be effectuated through a Fund or directly to shareholders, has not yet been determined. When finalized, the Agreements will conclude the investigation by the NYAG and the SEC of Bank of America Corporation and its affiliates relating to late trading and market timing activities, provided that the NYAG and the SEC have reserved the right to continue their respective investigations of and actions against individuals. Management believes that the Agreements, and their finalization, will not have a material adverse effect, on any Fund's financial positions or results of operations. However, a review by the accountants engaged to investigate these matters for the Boards remains ongoing. Accordingly, an estimate of the financial impact on any Fund cannot currently be made. 33 NATIONS FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) Bank of America Corporation Acquisition of Fleet On April 1, 2004, Bank of America Corporation acquired Fleet. As a result of this acquisition, Columbia Management Advisors, Inc. ("CMA") and Columbia Funds Distributor, Inc. ("CFDI") are now indirect wholly-owned subsidiaries of Bank of America Corporation. The SEC and NYAG filed proceedings against both CMA and CFDI on February 24, 2004 alleging that they had violated certain provisions of the federal securities laws in connection with trading activity in mutual funds shares and violated certain New York anti-fraud statutes. In order to settle these matters, as noted above, Fleet entered into the March 15, 2004 Agreements with the NYAG and the SEC. In addition, both Bank of America and Fleet committed to use best efforts to implement certain enhanced governance and compliance procedures with respect to advised mutual funds and agreed to the retention of independent consultants to review compliance, control and other policies and procedures relating to their respective mutual fund advisory businesses. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, or if any final settlement includes an injunction against CMA or CFDI prohibiting them from engaging in certain conduct, CMA, CFDI or any company that is an affiliated person of CMA and CFDI could be barred from serving as an investment adviser or distributor for any investment company registered under the Investment Company Act of 1940. As a result of the Fleet acquisition, BACAP and BACAP Distributors are now affiliated persons of CMA and CFDI and, therefore, under these circumstances, could be barred from serving as an investment adviser or distributor for any registered investment company, including the Funds. If either CMA or CFDI is ultimately unsuccessful in its defense of, or efforts to procure a final settlement of, the February 24, 2004 proceedings, it is expected that BACAP and BACAP Distributors would seek exemptive relief from the SEC to permit them to continue serving as the investment adviser and distributor of the Funds. Civil Litigation In connection with the events described in detail above, various parties have filed suit against certain Funds, their Boards and/or Bank of America Corporation (and affiliated entities). These cases have been consolidated in a multi-district proceeding and transferred to the Federal District Court in Maryland. These suits and certain regulatory investigations are ongoing. Accordingly, an estimate of the financial impact of this litigation on any Fund, if any, cannot currently be made. 34 ITEM 2. CODE OF ETHICS. Not Applicable for this semi-annual filing. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not Applicable for this semi-annual filing. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable for this semi-annual filing. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS Not Applicable. ITEM 6. SCHEDULE OF INVESTMENTS Not Applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not Applicable. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS Not applicable. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS The following material changes have been made to the procedures by which shareholders may recommend nominees to the registrant's Board of Trustees. The registrant does not presently hold annual meetings of shareholders for the election of Trustees and other business unless otherwise required by the Investment Company Act of 1940. However, the Board of Trustees' Governance Committee will consider Trustee candidates submitted by shareholders or from other sources as it deems appropriate. Any recommendation should be submitted to Nations Funds, c/o Secretary, at the principal address shown on its most current registration statement. Any submission should include at a minimum the following information: as to each individual proposed for election as a Trustee, the name, age, business address, residence address and principal occupation or employment of such individual, the class, series and number of shares of stock of any Nations Fund that are beneficially owned by such individual, the date such shares were acquired and the investment intent of such acquisition, whether such stockholder believes such individual would or would not qualify as an Independent Trustee, and information regarding such individual that is sufficient, in the discretion of the Governance Committee, to make such determination, and all other information relating to such individual that is required to be disclosed in solicitation of proxies for election of Trustees in an election contest (even if an election contest is not involved) or is otherwise required, in each case pursuant to Regulation 14A (or any successor provision) under the Securities Exchange Act of 1934, and the rules thereunder (including such individual's written consent to being named in the proxy statement as a nominee and to serving as a Trustee (if elected)). Shareholder submissions will be considered for inclusion in the proxy statement only if submitted by a date not earlier than the 365th calendar day before, and not later than the 60th calendar day before, the date on which the Board has set a meeting date for the shareholder meeting at which the election of Trustees is to be considered. Because the registrant does not hold regular shareholder meetings, no anticipated date of the next meeting can be provided. The submission of a proposal does not guarantee its inclusion in a proxy statement and is subject to the limitations of the federal securities laws. ITEM 10. 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 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. Nations Funds has adopted enhanced procedures for the classification in the Funds' tax returns of distributions from Reits constituting returns of capital. ITEM 11. EXHIBITS. 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. 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/ Keith T. Banks Keith T. Banks President and Chief Executive Officer Date: December 9, 2004 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/ Keith T. Banks Keith T. Banks President and Chief Executive Officer Date: December 9, 2004 By: /s/ Gerald Murphy Gerald Murphy Chief Financial Officer and Treasurer Date: December 9, 2004 * Print the name and title of each signing officer under his or her signature.