-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, SDokx3howcwiU3E90WgMB/Docs/GAbkDU0/ooKnEuenItHzq9lYB6aaDlIdKHgGx BV7BSQCxYvEDY4s9NPpNXQ== 0000950144-05-001931.txt : 20050301 0000950144-05-001931.hdr.sgml : 20050301 20050301153217 ACCESSION NUMBER: 0000950144-05-001931 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20041231 FILED AS OF DATE: 20050301 DATE AS OF CHANGE: 20050301 EFFECTIVENESS DATE: 20050301 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NATIONS FUNDS TRUST CENTRAL INDEX KEY: 0001097519 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-09645 FILM NUMBER: 05650036 BUSINESS ADDRESS: STREET 1: ONE BANK OF AMERICA PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 8003217854 MAIL ADDRESS: STREET 1: ONE BANKOF AMERICA PLAZA CITY: CHARLOTTE STATE: NC ZIP: 28255 N-Q 1 g93493nvq.txt NATIONS FUNDS TRUST OMB APPROVAL OMB Number: 3235-0578 Expires: February 28, 2006 Estimated average burden hours per response.....20.0 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-09645 ---------------------------- Nations Funds Trust -------------------------------------------------- (Exact name of registrant as specified in charter) One Bank of America Plaza, NC1-002-12-01, 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: 617-585-4225 --------------------- Date of fiscal year end: 3/31/05 ------------------------- Date of reporting period: 12/31/04 ------------------------ Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. ss. 3507. ITEM 1. SCHEDULE OF INVESTMENTS. NATIONS FUNDS NATIONS MIDCAP INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - ---------- ------- COMMON STOCKS - 98.3% AEROSPACE AND DEFENSE - 0.4% 57,475 Alliant Techsystems Inc.= $ 3,757 15,975 Sequa Corporation, Class A= 977 129,125 The Titan Corporation= 2,092 ------- 6,826 ------- AIRLINES - 0.4% 130,650 AirTran Holdings, Inc.= 1,398 40,950 Alaska Air Group, Inc.= 1,371 157,987 JetBlue Airways Corporation= (a) 3,669 ------- 6,438 ------- APPAREL AND TEXTILES - 0.2% 52,425 Timberland Company, Class A= 3,285 ------- AUTOMOBILES - 0.2% 139,775 Adesa, Inc. 2,966 ------- AUTOMOTIVE - 1.9% 112,700 Advance Auto Parts= 4,923 105,750 ArvinMeritor, Inc. 2,366 85,650 Borg Warner Inc. 4,640 158,675 Carmax Inc.= 4,927 137,175 Copart, Inc.= 3,610 118,375 Gentex Corporation 4,382 102,675 Lear Corporation 6,264 ------- 31,112 ------- BEVERAGES - 0.7% 164,500 Constellation Brands, Inc.= 7,651 211,100 PepsiAmericas, Inc. 4,484 ------- 12,135 ------- BROADCASTING AND CABLE - 0.6% 85,700 Emmis Communications Corporation= 1,645 75,975 Entercom Communications Corporation= 2,727 36,150 Media General Inc., Class A 2,343 146,350 Westwood One, Inc.= 3,940 ------- 10,655 ------- BUILDING MATERIALS - 0.2% 73,175 Martin Marietta Materials, Inc. 3,927 ------- BUSINESS SERVICES AND SUPPLIES - 0.1% 168,925 Gartner Group, Inc.= 2,105 ------- CHEMICALS - BASIC - 1.1% 56,250 FMC Corporation= 2,717 104,225 FMC Technologies, Inc.= 3,356 368,375 Lyondell Chemical Company 10,653 107,025 Olin Corporation 2,357 ------- 19,083 ------- CHEMICALS - SPECIALTY - 1.6% 114,375 Airgas, Inc. 3,032 63,525 Albemarle Corporation 2,459 94,125 Cabot Corporation 3,641
37,775 Cabot Microelectronics Corporation= 1,513 175,000 Crompton Corporation 2,065 60,475 Cytec Industries Inc. 3,110 63,925 Ferro Corporation 1,482 101,700 Lubrizol Corporation 3,749 31,200 Minerals Technologies Inc. (a) 2,081 50,125 Scotts Company, Class A= 3,685 ------- 26,817 ------- COMMERCIAL BANKING - 6.4% 197,362 Associated Banc-Corp 6,554 113,500 Astoria Financial Corporation 4,537 80,775 Bank of Hawaii Corporation 4,099 268,075 Banknorth Group, Inc. 9,811 74,950 City National Corporation 5,295 203,900 Colonial BancGroup, Inc. 4,329 120,925 Commerce Bancorp, Inc. (a) 7,788 79,450 Cullen Frost Bankers, Inc. 3,861 128,525 Firstmerit Corporation 3,662 77,700 Greater Bay Bancorp 2,166 236,350 Hibernia Corporation, Class A 6,975 129,025 Independence Community Bank Corporation 5,494 101,375 Investors Financial Services Corporation 5,067 120,700 Mercantile Bankshares Corporation 6,301 404,203 New York Community Bancorp, Inc. 8,313 54,900 Silicon Valley Bancshares= (a) 2,461 211,525 TCF Financial Corporation 6,798 120,025 Washington Federal, Inc. 3,185 80,875 Webster Financial Corporation 4,096 48,550 Westamerica Bancorporation 2,831 102,725 Wilmington Trust Corporation 3,714 ------- 107,337 ------- COMMERCIAL SERVICES - 3.8% 124,525 Alliance Data Systems Corporation= 5,912 29,550 Bandag, Inc. 1,472 79,700 Catalina Marketing Corporation 2,362 126,725 CDW Corporation 8,408 95,325 Certegy Inc. 3,387 135,202 ChoicePoint Inc.= 6,218 74,050 Dycom Industries, Inc.= 2,260 115,650 Fastenal Company 7,119 53,700 Kelly Services, Inc. 1,621 59,425 Korn/Ferry International= 1,233 137,575 Manpower Inc. 6,645 156,325 MPS Group, Inc.= 1,917 69,612 Rollins, Inc. 1,832 156,250 SEI Investment Company 6,552 96,825 Sotheby's Holdings, Class A= 1,758 118,650 United Rentals, Inc.= 2,242 78,150 Valassis Communications Inc.= 2,736 ------- 63,674 ------- COMPUTER SERVICES - 2.0% 131,575 Acxiom Corporation 3,460 226,525 Ceridian Corporation= 4,141 202,725 Cognizant Technology Solutions Corporation= 8,582 77,925 CSG Systems International, Inc.= 1,457 107,200 Fair, Issac and Company Inc. 3,932 176,650 GTECH Holdings Corporation 4,584 137,925 Jack Henry & Associates, Inc. 2,746 231,925 Synopsys, Inc.= 4,550 ------- 33,452 ------- COMPUTERS AND OFFICE EQUIPMENT - 1.3% 75,950 Avocent Corporation= 3,077 107,725 Herman Miller, Inc. 2,976 65,775 Plexus Corporation= 856 162,450 Storage Technology Corporation= 5,135 88,650 Tech Data Corporation= 4,025 109,375 Zebra Technologies Corporation, Class A= 6,156 -------
22,225 ------- CONGLOMERATES - 1.2% 63,475 Granite Construction 1,688 153,575 Pentair, Inc. 6,690 171,275 Scana Corporation 6,748 114,525 SPX Corporation 4,588 ------ 19,714 ------ CONSTRUCTION - 0.6% 93,150 Hovnanian Enterprises Inc.= 4,613 85,850 Jacobs Engineering Group Inc.= 4,103 178,675 Quanta Services, Inc.= 1,429 ------ 10,145 ------ CONSUMER CREDIT AND MORTGAGES - 0.3% 236,750 AmeriCredit Corporation= 5,789 ------ CONSUMER SERVICES - 0.6% 112,050 Education Management Corporation= 3,699 115,525 Rent-A-Center, Inc.= 3,061 78,325 Valspar Corporation (a) 3,917 ------ 10,677 ------ DEPARTMENT AND DISCOUNT STORES - 0.5% 74,400 Neiman Marcus Group Inc., Class A 5,323 212,575 Saks, Inc. 3,084 ------ 8,407 ------ DIVERSIFIED ELECTRONICS - 3.4% 134,900 Amphenol Corporation, Class A= 4,956 49,500 Black Hills Corporation 1,519 108,925 Diebold, Inc. 6,070 102,100 Harman International Industries, Inc. 12,967 101,925 Harris Corporation 6,298 122,900 Hawaiian Electric Industries, Inc. 3,583 92,825 Hubbell Inc. 4,855 107,175 Integrated Circuit Systems, Inc.= 2,242 120,662 National Instruments Corporation 3,288 92,150 PNM Resources Inc. 2,330 285,600 RF Micro Devices, Inc.= 1,954 52,950 Varian Inc.= 2,171 253,275 Vishay Intertechnology, Inc.= 3,804 ------ 56,037 ------ DIVERSIFIED MANUFACTURING - 2.8% 47,400 Carlisle Companies Inc. 3,077 83,600 Crane Company 2,411 126,800 Donaldson Company, Inc. 4,131 110,375 Energizer Holdings Inc.= 5,485 73,325 Federal Signal Corporation 1,295 62,950 Harsco Corporation 3,509 57,950 Kennametal Inc. 2,884 53,525 Lancaster Colony Corporation 2,295 52,725 Modine Manufacturing Company 1,781 55,325 Nordson Corporation 2,217 100,200 Precision Castparts Corporation 6,581 71,500 Sensient Technologies Corporation 1,715 61,450 Teleflex Inc. 3,192 86,475 The Brink's Company 3,417 63,300 York International Corporation 2,186 ------ 46,176 ------ EDUCATION - 1.0% 156,250 Career Education Corporation= 6,250 137,900 Corinthian Colleges, Inc.= 2,599 107,225 DeVry, Inc.= 1,861 70,025 ITT Educational Services, Inc.= 3,330 73,625 Laureate Education Inc.= 3,246 ------ 17,286 ------
ELECTRIC POWER - NON NUCLEAR - 2.5% 192,825 DPL Inc. 4,843 117,250 Duquesne Light Holdings, Inc. 2,210 113,275 Great Plains Energy Inc. (a) 3,430 63,600 IDACORP, Inc. 1,944 195,775 Northeast Utilities Company 3,690 81,100 NSTAR 4,402 135,650 OGE Energy Corporation 3,596 286,450 Pepco Holdings, Inc. 6,108 179,000 Sierra Pacific Resources= (a) 1,880 115,800 Vectren Corporation 3,103 130,925 Westar Energy, Inc. 2,994 56,975 WPS Resources Corporation 2,846 ------ 41,046 ------ ELECTRIC POWER - NUCLEAR - 0.7% 176,175 Alliant Energy Corporation 5,039 223,925 Energy East Corporation 5,974 ------ 11,013 ------ ELECTRICAL EQUIPMENT - 0.6% 104,450 AMETEK, Inc. 3,725 51,875 Imation Corporation 1,651 28,150 Tecumseh Products Company 1,346 90,000 Thomas & Betts Corporation 2,768 ------ 9,490 ------ ENERGY - MISCELLANEOUS - 0.6% 151,925 Puget Energy Inc. 3,753 178,425 Wisconsin Energy Corporation 6,014 ------ 9,767 ------ EXPLORATION AND PRODUCTION - 1.1% 90,350 Forest Oil Corporation= 2,866 94,950 Newfield Exploration Company= 5,607 89,675 Noble Energy, Inc. 5,529 98,225 Pogo Producing Company 4,763 ------ 18,765 ------ FINANCE - MISCELLANEOUS - 0.4% 94,425 IndyMac Bancorp, Inc. 3,253 134,975 MoneyGram International, Inc. 2,853 ------ 6,106 ------ FOOD AND DRUG STORES - 0.6% 71,250 Ruddick Corporation 1,545 94,875 Whole Foods Market, Inc. 9,047 ------ 10,592 ------ FOOD PRODUCTS - 2.2% 227,162 Dean Foods Company= 7,485 211,525 Hormel Foods Corporation 6,631 169,225 Smithfield Foods, Inc.= 5,007 88,975 The J. M. Smucker Company 4,188 79,701 Tootsie Roll Industries, Inc. 2,760 538,100 Tyson Foods Inc., Class A 9,902 ------ 35,973 ------ HEALTH SERVICES - 4.1% 73,850 Apria Healthcare Group Inc.= 2,433 98,750 Charles River Laboratories International, Inc.= 4,543 133,050 Community Health Systems= 3,709 95,150 Covance Inc.= 3,687 136,825 Coventry Health Care, Inc.= 7,263 140,075 First Health Group Corporation= 2,621 169,225 Health Net Inc.= 4,886 59,000 Lifepoint Hospitals, Inc.= 2,054 153,000 Lincare Holdings Inc.= 6,525 158,825 Omnicare, Inc. 5,499 128,475 Pacificare Health Systems Inc.= 7,261 102,700 Renal Care Group, Inc.= 3,696 68,675 Stericycle, Inc.= 3,156 117,375 Triad Hospitals, Inc.= 4,368
88,900 Universal Health Services, Inc., Class B 3,956 125,100 VCA Antech, Inc.= 2,452 ------ 68,109 ------ HEAVY MACHINERY - 0.6% 137,675 Agco Corporation= 3,014 84,225 Flowserve Corporation= 2,320 105,387 Graco Inc. 3,935 ------ 9,269 ------ HOUSEHOLD PRODUCTS - 0.6% 104,450 American Greetings Corporation, Class A= 2,648 62,400 Blyth Industries, Inc. 1,845 95,100 Church & Dwight Company, Inc. 3,196 89,275 Tupperware Corporation 1,850 ------ 9,539 ------ HOUSING AND FURNISHING - 3.5% 355,562 D.R. Horton, Inc. 14,332 80,875 Furniture Brands International, Inc. 2,026 85,625 HNI Corporation 3,686 238,025 Lennar Corporation, Class A 13,491 101,650 Mohawk Industries Inc.= 9,276 177,400 RPM Inc. 3,488 72,550 The Ryland Group, Inc. 4,175 113,875 Toll Brothers, Inc.= 7,813 ------ 58,287 ------ INSURANCE - 5.8% 81,175 Allmerica Financial Corporation= 2,665 112,500 American Financial Group, Inc. 3,522 59,725 AmerUs Group Company 2,706 140,900 Arthur J. Gallagher & Company 4,579 105,425 Brown and Brown Inc. 4,591 85,525 Everest Re Group, Ltd. 7,661 265,940 Fidelity National Financial, Inc. 12,146 136,625 First American Financial Corporation 4,801 103,350 HCC Insurance Holdings Inc. 3,423 65,250 Horace Mann Educators Corporation 1,245 109,300 Leucadia National Corporation 7,594 94,325 Ohio Casualty Corporation= 2,189 277,987 Old Republic International Corporation 7,033 105,900 Protective Life Corporation 4,521 140,050 Radian Group Inc. 7,456 43,325 Stancorp Financial Group Inc. 3,574 145,250 The PMI Group, Inc. 6,064 104,575 Unitrin, Inc. 4,753 128,287 W.R. Berkley Corporation 6,051 ------ 96,574 ------ INTEGRATED OIL - 1.5% 140,300 Murphy Oil Corporation 11,287 222,250 Pioneer Natural Resources Company 7,801 128,550 Questar Corporation 6,551 ------ 25,639 ------ INVESTMENT SERVICES - 1.9% 116,425 A.G. Edwards, Inc. 5,031 102,300 Eaton Vance Corporation 5,335 87,125 Jefferies Group, Inc. 3,509 91,525 LaBranche & Company Inc. 820 153,637 Legg Mason, Inc. 11,256 112,487 Raymond James Financial, Inc. 3,485 126,050 Waddell & Reed Financial, Inc., Class A 3,011 ------ 32,447 ------ LODGING AND RECREATION - 1.9% 132,900 Boyd Gaming Corporation 5,535 477,225 Caesars Entertainment, Inc.= 9,612 116,250 Callaway Golf Company 1,569 81,225 International Speedway Corporation 4,289 102,950 Mandalay Resort Group 7,251
86,625 Thor Industries Inc. 3,209 ------ 31,465 ------ MEDICAL DEVICES AND SUPPLIES - 3.9% 92,700 Beckman Coulter, Inc. 6,210 170,350 Cytyc Corporation= 4,697 122,975 DENTSPLY International Inc. 6,911 90,650 Edwards Lifesciences Corporation= 3,740 65,925 Henry Schein, Inc.= (a) 4,591 94,300 Hillenbrand Industries, Inc. 5,237 54,600 INAMED Corporation= 3,453 78,150 Invitrogen Corporation= 5,246 209,150 Patterson Companies Inc.= 9,076 105,325 STERIS Corporation= 2,498 63,000 Techne Corporation= 2,451 207,100 Varian Medical Systems, Inc.= 8,955 75,600 VISX Inc.= 1,956 ------ 65,021 ------ METALS AND MINING - 1.0% 95,075 Arch Coal, Inc. 3,379 98,500 Peabody Energy Corporation 7,970 68,800 Steel Dynamics, Inc. 2,606 121,100 Worthington Industries, Inc. 2,371 ------ 16,326 ------ NATURAL GAS DISTRIBUTION - 1.6% 114,225 AGL Resources Inc. 3,797 93,650 Equitable Resources, Inc. 5,681 119,100 Hanover Compressor Company= 1,683 180,037 MDU Resources Group, Inc. 4,803 125,875 National Fuel Gas Company 3,567 157,700 ONEOK, Inc. 4,482 74,125 WGL Holdings Inc. 2,286 ------ 26,299 ------ NATURAL GAS PIPELINES - 0.3% 368,475 Aquila, Inc.= (a) 1,360 112,700 Western Gas Resources, Inc. 3,296 ------ 4,656 ------ NETWORKING AND TELECOMMUNICATIONS EQUIPMENT - 1.0% 578,500 3Com Corporation= 2,412 116,475 ADTRAN, Inc. 2,229 82,875 CommScope, Inc.= 1,566 180,075 McDATA Corporation, Class A= 1,073 65,425 Newport Corporation= 922 73,725 Plantronics, Inc. 3,058 149,400 Polycom, Inc.= 3,485 159,225 Powerwave Technologies, Inc.= (a) 1,350 ------ 16,095 ------ OILFIELD SERVICES - 3.7% 83,700 Cooper Cameron Corporation= 4,504 230,375 ENSCO International Inc. 7,312 188,400 Grant Prideco, Inc.= 3,777 76,850 Helmerich & Payne, Inc. 2,616 131,075 National-Oilwell, Inc.= 4,626 255,225 Patterson-UTI Energy, Inc. 4,964 117,525 Plains Exploration & Production Company= 3,056 207,725 Pride International, Inc.= 4,267 159,875 Smith International, Inc.= 8,699 92,475 Tidewater Inc. 3,293 149,175 Varco International, Inc.= 4,348 207,175 Weatherford International Inc.= 10,628 ------ 62,090 ------ PACKAGING AND CONTAINERS - 0.6% 77,850 Longview Fibre Company 1,412 163,075 Packaging Corporation of America 3,840 149,800 Sonoco Products Company 4,442 ------ 9,694 ------
PAPER AND FOREST PRODUCTS - 0.6% 84,800 Bowater Inc. 3,729 66,900 P.H. Glatfelter Company 1,022 45,350 Potlatch Corporation 2,294 75,957 Rayonier Inc. 3,715 ------ 10,760 ------ PHARMACEUTICALS - 2.7% 156,230 Barr Laboratories, Inc.= 7,115 87,975 Cephalon, Inc.= (a) 4,476 382,231 IVAX Corporation= 6,047 466,475 Millennium Pharmaceuticals, Inc.= 5,654 51,675 Par Pharmaceutical Cos Inc.= 2,138 110,125 Perrigo Company 1,902 145,600 Protein Design Labs, Inc.= 3,008 160,225 Sepracor Inc.= 9,512 128,275 Valeant Pharmaceuticals International 3,380 122,475 Vertex Pharmaceuticals Inc.= 1,295 ------ 44,527 ------ PUBLISHING AND ADVERTISING - 2.4% 37,975 Banta Corporation 1,700 175,225 Belo Corporation 4,598 76,300 Deluxe Corporation 2,848 105,925 Dun & Bradstreet Corporation= 6,318 130,025 Harte-Hanks, Inc. 3,378 68,850 Lee Enterprises, Inc. 3,173 151,725 Readers Digest Association, Inc., Class A 2,110 60,500 Scholastic Corporation= 2,236 14,625 The Washington Post Company, Class B 14,377 ------ 40,738 ------ RAILROADS, TRUCKING AND SHIPPING - 2.3% 130,025 C.H. Robinson Worldwide, Inc. 7,219 78,750 CNF Inc. 3,945 162,450 Expeditors International of Washington, Inc. 9,078 75,375 GATX Corporation 2,228 123,875 J.B. Hunt Transport Services, Inc. 5,556 60,025 Overseas Shipholding Group, Inc. 3,313 111,825 Swift Transportation Company, Inc.= 2,402 72,500 Trinity Industries, Inc. 2,471 120,243 Werner Enterprises, Inc. 2,722 ------ 38,934 ------ REAL ESTATE INVESTMENT TRUSTS (REITS) - 2.6% 126,425 AMB Property Corporation 5,106 164,300 Developers Diversified Realty Corporation 7,290 81,800 Highwoods Properties, Inc. 2,266 102,475 Hospitality Properties Trust 4,714 130,525 Liberty Property Trust (a) 5,639 92,775 Mack-Cali Realty Corporation 4,270 156,475 New Plan Excel Realty Trust 4,237 202,075 United Dominion Realty Trust 5,011 135,600 Weingarten Realty Investors 5,438 ------ 43,971 ------ RESTAURANTS - 1.5% 123,612 Applebee's International Inc. 3,270 53,825 Bob Evans Farms, Inc. 1,407 131,775 Brinker International, Inc.= 4,621 73,425 CBRL Group Inc. 3,073 94,100 Krispy Kreme Doughnuts, Inc.= (a)## 1,186 112,475 Outback Steakhouse, Inc. 5,149 98,975 Ruby Tuesday, Inc. 2,581 118,600 The Cheesecake Factory, Inc.= 3,851 ------ 25,138 ------ SEMICONDUCTORS - 3.8% 176,675 Arrow Electronics, Inc.= 4,293 727,750 Atmel Corporation= 2,853 183,750 Avnet, Inc.= 3,352 145,325 Credence Systems Corporation= 1,330
112,575 Cree, Inc.= (a) 4,512 191,675 Cypress Semiconductor Corporation= 2,248 182,250 Fairchild Semiconductor Corporation, Class A= 2,963 162,725 Intergrated Device Technology, Inc.= 1,881 101,775 International Rectifier Corporation= 4,536 229,500 Intersil Corporation, Class A 3,842 131,925 KEMET Corporation=## 1,181 207,775 Lam Research Corporation= 6,007 172,875 Lattice Semiconductor Corporation= 985 93,250 LTX Corporation= 717 137,350 Micrel, Inc.= 1,514 314,550 Microchip Technology Inc. 8,385 248,400 SanDisk Corporation= 6,203 112,800 Semtech Corporation= 2,467 79,175 Silicon Laboratories Inc.= 2,796 209,650 TriQuint Semiconductor, Inc.= 933 ------ 62,998 ------ SOFTWARE - 3.2% 212,137 Activision, Inc.= 4,281 49,725 Advent Software, Inc.= 1,018 89,562 Ascential Software Corporation= 1,461 412,175 Cadence Design Systems, Inc.= 5,692 132,250 Checkfree Corporation= 5,036 127,700 DST Systems, Inc.= 6,656 94,550 Keane Inc.= 1,390 108,275 Macromedia Inc.= 3,370 75,800 Macrovision Corporation= 1,950 244,175 McAfee Inc.= 7,064 116,375 Mentor Graphics Corporation= 1,779 85,350 Retek Inc.= 525 98,500 Reynolds & Reynolds Company, Class A 2,611 106,025 RSA Security Inc.= 2,127 144,975 Sybase, Inc.= 2,892 183,250 The BISYS Group, Inc.= 3,014 57,100 Transaction Systems Architects, Inc.=## 1,133 125,425 Wind River Systems= 1,700 ------ 53,699 ------ SPECIALTY STORES - 5.6% 105,951 99 Cents Only Stores= 1,712 132,925 Abercrombie & Fitch Company 6,241 84,850 Aeropostale, Inc.= 2,497 112,350 American Eagle Outfitters, Inc. 5,292 107,625 AnnTaylor Stores Corporation= 2,317 106,850 Barnes & Noble, Inc.= 3,448 105,950 BJ's Wholesale Club, Inc.= 3,086 114,475 Borders Group Inc. 2,908 136,100 Chico's FAS, Inc.= 6,197 150,825 Claire's Stores, Inc. 3,205 172,350 Dollar Tree Stores, Inc.= 4,943 237,325 Foot Locker, Inc. 6,391 206,800 Michaels Stores, Inc. 6,198 84,175 O'Reilly Automotive Inc.= 3,792 113,075 Pacific Sunwear of California, Inc.= 2,517 103,900 Payless ShoeSource, Inc.= 1,278 221,400 PETsMart, Inc. 7,867 130,925 Pier 1 Imports, Inc. (a) 2,579 67,575 Regis Corporation 3,119 224,850 Ross Stores, Inc. 6,491 123,425 Urban Outfitters, Inc.= 5,480 177,725 Williams-Sonoma, Inc.= 6,227 ------ 93,785 ------ TELECOMMUNICATIONS SERVICES - 0.7% 373,875 Cincinnati Bell Inc.= 1,552 87,525 Telephone and Data Systems, Inc. 6,735 174,225 UTStarcom, Inc.= (a) 3,859 ------ 12,146 ------
TOBACCO - 0.1% 38,925 Universal Corporation 1,862 --------- UTILITIES - MISCELLANEOUS - 0.8% 65,000 Alexander & Baldwin, Inc. 2,757 142,131 Aqua America, Inc. 3,495 229,925 Republic Services, Inc. 7,712 --------- 13,964 --------- TOTAL COMMON STOCKS (Cost $1,268,980) 1,643,052 ---------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 3.3% 55,659 Nations Cash Reserves, Capital Class Shares# 55,659 ---------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $55,659) 55,659 ---------- TOTAL INVESTMENTS (Cost $1,324,639*) 101.6% 1,698,711 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (1.6)% (27,262) ---------- NET ASSETS 100.0% $1,671,449 ==========
- ---------- 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. * Cost for federal income tax purposes is $1,324,639. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 438,621 64,549 374,072
= 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. The portion that represents cash collateral is $30,117. ## All or a portion of security segregated as collateral for futures contracts. (a) All or portion of security was on loan on December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004 is $32,477 and $29,122, respectively. At December 31, 2004, the Fund held the following open futures contracts:
AGGREGATE UNREALIZED VALUE FACE VALUE EXPIRATION APPRECIATION TYPE CONTRACTS (000) (000) DATE (000) - ------------- --------- ------ ---------- ---------- ------------ MidCap 400 Futures (long position) 1 330 333 March-2005 $ 3 MidCap 400 Futures (long position) 3 987 998 March-2005 11 MidCap 400 Futures (long position) 80 25,525 26,614 March-2005 1,089 ------ $1,103 ------
ABBREVIATION: LTD Limited NATIONS FUNDS NATIONS SMALLCAP INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - --------- ------- COMMON STOCKS - 99.3% AEROSPACE AND DEFENSE - 1.8% 67,100 AAR Corporation= $ 914 69,100 Armor Holdings, Inc.= 3,250 44,600 Curtiss-Wright Corporation 2,560 56,600 DRS Technologies, Inc.= 2,417 51,000 Esterline Technologies Corporation= 1,665 110,200 GenCorp Inc. (a) 2,046 53,450 Moog Inc.= 2,424 68,000 Teledyne Technologies Inc.= 2,001 33,000 Triumph Group, Inc.= 1,304 23,500 Woodward Governor Company 1,683 ------- 20,264 ------- AIRLINES - 0.5% 44,700 Forward Air Corporation= 1,998 74,100 Frontier Airlines, Inc.= 845 65,700 Mesa Air Group, Inc.= (a) 522 119,600 SkyWest, Inc. 2,399 ------- 5,764 ------- APPAREL AND TEXTILES - 2.3% 28,000 Ashworth Inc.= 305 37,900 Brown Shoe Company, Inc. 1,131 74,400 Christopher & Banks Corporation 1,373 43,700 G & K Services, Inc., Class A 1,897 45,900 Genesco, Inc.= 1,429 15,000 Haggar Corporation 352 39,400 Hancock Fabrics Inc. 409 71,300 K-Swiss Inc., Class A 2,076 57,600 Kellwood Company 1,987 24,500 Oshkosh B'Gosh Inc., Class A 524 34,900 Oxford Industries Inc. 1,441 64,500 Phillips-Van Heusen Corporation 1,742 118,400 Quiksilver, Inc.= 3,526 68,000 Russell Corporation 1,325 76,500 Stride Rite Corporation 855 56,000 The Children's Place Retail Stores, Inc.= 2,074 79,600 Wolverine World Wide, Inc. 2,501 ------- 24,947 ------- AUTOMOTIVE - 1.5% 103,550 Aaron Rents, Inc., Class A 2,589 48,100 Group 1 Automotive, Inc.= 1,515 32,800 Midas, Inc.= 656 71,700 Myers Industries Inc. 918 74,500 Oshkosh Truck Corporation 5,094 86,100 Sonic Automotive Inc. 2,135 41,200 Standard Motor Products, Inc. 651 51,000 Superior Industries International, Inc. (a) 1,482 46,300 TBC Corporation = 1,287 ------- 16,327 ------- BROADCASTING AND CABLE - 0.1% 27,800 4Kids Entertainment Inc.= 584 ------- CHEMICALS - BASIC - 0.7% 80,200 Delta and Pine Land Company 2,188 69,700 Georgia Gulf Corporation 3,471 59,600 H.B. Fuller Company 1,699 -------
7,358 ------ CHEMICALS - SPECIALTY - 1.4% 48,800 Arch Chemicals, Inc. 1,404 54,300 Cambrex Corporation 1,472 63,100 MacDermid, Inc. 2,278 59,000 OM Group, Inc.= 1,913 83,900 Omnova Solutions Inc.= 472 18,400 Penford Corporation 289 190,700 PolyOne Corporation= 1,728 20,100 Quaker Chemical Corporation 499 34,900 Rogers Corporation= 1,504 63,600 Schulman (A.) Inc. 1,362 46,650 TETRA Technologies Inc.= 1,320 66,600 Wellman Inc. 712 ------ 14,953 ------ COMMERCIAL BANKING - 7.7% 124,600 BankAtlantic Bancorp, Inc. 2,480 62,500 BankUnited Financial Corporation, Class A= 1,997 123,100 Brookline Bancorp, Inc. 2,009 96,325 Chittenden Corporation 2,767 81,900 Commercial Federal Corporation 2,433 63,700 Community Bank Systems, Inc. 1,800 58,000 Downey Financial Corporation 3,306 109,000 East West Bancorp, Inc. 4,574 36,000 Financial Federal Corporation= 1,411 96,500 First Midwest Bancorp, Inc. 3,502 34,100 First Republic Bank 1,807 83,950 Firstbank Corporation 5,333 34,200 FirstFed Financial Corporation= 1,774 127,700 Flagstar Bancorp, Inc. 2,886 83,600 Gold Banc Corporation, Inc. 1,222 93,600 Hudson United Bancorp 3,686 59,000 Irwin Financial Corporation 1,675 69,800 MAF Bancorp Inc. 3,128 48,500 Nara Bancorp, Inc. 1,032 42,300 PrivateBancorp, Inc. 1,363 68,900 Provident Bankshares Corporation 2,506 146,616 Republic Bancorp Inc. 2,240 65,800 Riggs National Corporation 1,399 147,900 South Financial Group, Inc. 4,811 145,800 Southwest Bancorporation of Texas, Inc. 3,396 93,500 Sterling Bancshares, Inc. 1,334 47,450 Sterling Financial Corporation= 1,863 96,800 Susquehanna Bancshares Inc. 2,415 154,700 TrustCo Bank Corporation NY 2,133 92,900 Umpqua Holdings Corporation 2,342 89,800 United Bankshares Inc. 3,426 69,730 Waypoint Financial Corporation 1,977 87,400 Whitney Holding Corporation 3,932 44,800 Wintrust Financial Corporation 2,552 ------ 86,511 ------ COMMERCIAL SERVICES - 4.4% 101,000 ABM Industries Inc. 1,992 53,000 Administaff, Inc.= 668 63,550 ADVO Inc. 2,266 64,500 Arbitron Inc.= 2,527 41,000 CDI Corporation 877 76,100 Central Parking Corporation 1,153 51,100 Coinstar, Inc.= 1,371 31,500 Emcor Group Inc.= 1,423 64,900 Factset Research Systems Inc. 3,792 90,200 Florida Rock Industries, Inc. 5,369 80,000 Global Payments Inc. 4,682 39,900 Heidrick & Struggles International, Inc.= 1,367 24,000 Insurance Auto Auctions Inc.= 538 87,400 Labor Ready, Inc.= 1,479 45,200 MAXIMUS, Inc.= 1,407
72,400 Napster, Inc.= (a) 681 66,700 NCO Group, Inc.= 1,724 52,600 On Assignment, Inc.= 273 32,300 Prepaid Legal Services Inc.= (a) 1,213 128,800 PRG-Schultz International, Inc.= 648 51,600 Rewards Network Inc.= 361 30,700 SFBC International, Inc. 1,213 30,200 Startek, Inc. 859 117,000 Tetra Tech, Inc.= 1,959 90,500 URS Corporation= 2,905 20,800 Vertrue Inc.= (a) 786 46,100 Viad Corporation 1,313 31,700 Volt Information Sciences Inc.= 932 55,500 Watsco Inc. 1,955 67,500 Watson Wyatt & Company Holdings 1,819 ------ 49,552 ------ COMPUTER SERVICES - 1.9% 60,800 CACI International, Inc., Class A= 4,141 74,300 Digital Insight Corporation= 1,367 101,600 Efunds Corporation= 2,439 63,000 FindWhat.com= (a) 1,117 95,400 Internet Security Systems, Inc.= 2,218 67,400 ManTech International Corporation= 1,600 45,300 Pegasus Solutions, Inc.= 571 55,100 Radiant Systems, Inc.= 359 53,200 Synaptics Inc.= 1,627 28,600 TALX Corporation 738 93,000 WebEx Communications, Inc.= (a) 2,212 48,600 Websense, Inc.= 2,465 67,000 Zixit Corporation= (a) 345 ------ 21,199 ------ COMPUTERS AND OFFICE EQUIPMENT - 2.0% 231,400 Adaptec, Inc.= 1,756 67,100 Agilysys, Inc. 1,150 50,300 Brady Corporation, Class A 3,148 105,600 Gamestop Corporation 2,366 48,200 Global Imaging Systems, Inc.= 1,904 54,300 Hutchinson Technology, Inc.= 1,877 34,000 Imagistics International Inc.= 1,144 43,800 Mercury Computer Systems, Inc.= 1,300 38,500 Micros Systems, Inc.= 3,006 144,300 Pinnacle Systems, Inc.= 880 39,800 Radisys Corporation= 778 26,300 ScanSource, Inc.= 1,635 38,400 Standard Microsystems Corporation= 685 ------ 21,629 ------ CONGLOMERATES - 1.0% 68,000 Advanced Energy Industries, Inc.= 621 56,800 Apogee Enterprises, Inc. 762 137,400 Hughes Supply Inc. 4,444 55,700 Insituform Technologies Inc., Class A= 1,263 99,850 Waste Connections, Inc.= 3,420 ------ 10,510 ------ CONSTRUCTION - 0.8% 26,000 Chemed Corporation 1,745 41,300 ElkCorp 1,413 26,800 Meritage Corporation= 3,021 133,300 The Shaw Group Inc.= (a) 2,379 ------ 8,558 ------ CONSUMER SERVICES - 0.7% 18,700 Angelica Corporation 506 28,600 Building Materials Holding Corporation 1,095 63,000 Fedders Corporation 228 47,300 Kaman Corporation, Class A 598 108,400 La-Z-Boy Inc. 1,666 43,300 Russ Berrie & Company Inc. 989
127,000 Spherion Corporation= 1,067 36,700 Thomas Industries Inc. 1,465 ------ 7,614 ------ DEPARTMENT AND DISCOUNT STORES - 0.1% 61,300 ShopKo Stores, Inc.= 1,145 ------ DIVERSIFIED ELECTRONICS - 3.7% 155,000 Aeroflex, Inc.= 1,879 28,400 Analogic Corporation 1,272 77,600 Anixter International Inc. 2,793 81,700 Artesyn Technologies, Inc.= 923 48,000 Audiovox Corporation, Class A= 757 30,800 BEI Technologies, Inc. 951 23,200 Bel Fuse Inc., Class B 784 97,550 Belden CDT Inc. 2,263 86,050 Benchmark Electronics, Inc.= 2,934 78,300 Checkpoint Systems Inc.= 1,413 74,800 CTS Corporation 994 55,600 Cubic Corporation 1,399 39,400 Daktronics, Inc.= 981 43,400 Dionex Corporation= 2,459 41,600 EDO Corporation 1,321 55,375 Engineered Support Systems, Inc. 3,279 71,200 FLIR Systems, Inc.= 4,543 46,300 Gerber Scientific Inc.= 352 54,300 Helix Technology Corporation 944 44,000 Itron Inc.= 1,052 33,700 Keithley Instruments, Inc. 664 74,500 Methode Electronics Inc., Class A 957 72,000 Rayovac Corporation= 2,200 107,900 Trimble Navigation Ltd.= 3,566 44,500 Wilson Greatbatch Technologies Inc.= 998 ------ 41,678 ------ DIVERSIFIED MANUFACTURING - 4.4% 61,400 A.O. Smith Corporation 1,838 88,300 Acuity Brands, Inc. 2,808 66,000 Albany International Corporation, Class A 2,321 60,065 Aleris International Inc. (a) 1,016 48,200 Barnes Group Inc. 1,278 33,800 Ceradyne, Inc.= (a) 1,934 53,200 CLARCOR Inc. 2,914 35,300 CUNO, Inc.= 2,097 61,100 Griffon Corporation= 1,650 48,200 Hydril Company= 2,194 47,400 Ionics Inc.= (a) 2,054 58,700 Kaydon Corporation 1,938 19,500 Lawson Products, Inc. 983 125,400 Lennox International Inc. 2,552 33,600 Lydall Inc.= 398 41,600 Meade Instruments Corporation=## 143 42,500 MTS Systems Corporation 1,437 75,600 Mueller Industries, Inc. 2,434 87,700 Roper Industries, Inc. 5,329 99,200 Simpson Manufacturing Company, Inc. 3,462 25,700 Standex International Corporation 732 59,900 Stewart & Stevenson Services, Inc. 1,212 56,000 Sturm, Ruger & Company Inc. 506 68,400 The Nautilus Group, Inc. 1,653 80,300 Tredegar Industries, Inc. 1,623 87,600 Vicor Corporation 1,148 67,300 Watts Industries, Inc., Class A 2,170 ------ 49,824 ------ ELECTRIC POWER - NON NUCLEAR - 1.1% 61,500 ALLETE, Inc. 2,261 25,300 Central Vermont Public Service Corporation 588 32,800 CH Energy Group, Inc. 1,576
101,800 Cleco Corporation (a) 2,063 98,700 El Paso Electric Company= 1,869 10,700 Green Mountain Power Corporation 308 30,300 UIL Holdings Corporation 1,554 71,300 UniSource Energy Corporation 1,719 ------ 11,938 ------ ELECTRICAL EQUIPMENT - 0.4% 44,900 Cohu, Inc. 833 53,050 Intermagnetics General Corporation= 1,348 46,300 Littelfuse, Inc.= 1,582 59,400 Magnetek, Inc.= 410 30,400 Planar Systems Inc.= 341 ------ 4,514 ------ ENERGY - MISCELLANEOUS - 0.2% 100,800 Avista Corporation 1,781 ------ EXPLORATION AND PRODUCTION - 2.4% 86,600 Cimarex Energy Company= 3,282 69,900 Headwaters Inc.= 1,992 147,000 Patina Oil and Gas Corporation 5,513 75,400 Southwestern Energy Company= (a) 3,822 70,600 Spinnaker Exploration Company= 2,476 55,500 Stone Energy Corporation= 2,502 95,200 Unit Corporation= 3,638 136,800 Vintage Petroleum, Inc. 3,104 ------ 26,329 ------ FINANCE - MISCELLANEOUS - 1.3% 47,700 Anchor Bancorp Wisconsin Inc. 1,390 57,400 Boston Private Financial Holdings, Inc. 1,617 59,600 Cash America Investments Inc. 1,772 77,600 Dime Community Bancshares 1,390 87,300 Investment Technology Group, Inc.= 1,746 32,800 Sourcecorp, Inc.= 627 35,900 SWS Group, Inc. 787 94,700 UCBH Holdings Inc. 4,339 39,000 World Acceptance Corporation= 1,073 ------ 14,741 ------ FOOD AND DRUG STORES - 0.9% 104,200 Casey's General Stores, Inc. 1,891 81,750 Fred's, Inc. 1,422 78,500 Longs Drug Stores Corporation 2,164 26,000 Nash-Finch Company 982 80,200 The Great Atlantic & Pacific Tea Company, Inc.= 822 83,200 United Natural Foods, Inc.= 2,588 ------ 9,869 ------ FOOD PRODUCTS - 1.7% 37,600 American Italian Pasta Company (a) 874 75,600 Corn Products International, Inc. 4,049 90,000 Flowers Foods, Inc. 2,842 76,000 Hain Celestial Group, Inc.= 1,571 18,800 J & J Snack Foods Corporation= 922 61,600 Lance, Inc. 1,172 97,300 Performance Food Group Company= 2,618 60,900 Ralcorp Holdings, Inc.= 2,554 41,500 Sanderson Farms, Inc. 1,796 ------ 18,398 ------ HEALTH SERVICES - 3.4% 101,750 Accredo Health, Inc.= 2,821 31,700 Amedisys, Inc. = 1,027 68,600 American Healthways, Inc.= (a) 2,267 52,075 AMERIGROUP Corporation= 3,941 60,900 AmSurg Corporation= 1,799 85,400 Centene Corporation= 2,421 66,700 Cross Country Healthcare, Inc.= 1,206 26,900 Curative Health Services, Inc.=## 184
50,000 Gentiva Health Services, Inc. 836 65,000 Invacare Corporation 3,007 35,700 LabOne, Inc.= 1,144 42,000 LCA-VISION Inc. 982 74,900 NDCHealth Corporation 1,392 104,300 OCA Inc.= (a) 662 76,350 Odyssey Healthcare, Inc.= 1,044 54,100 PAREXEL International Corporation= 1,098 46,500 Pediatrix Medical Group, Inc.= 2,978 103,600 Province Healthcare Company= 2,315 34,200 RehabCare Group, Inc.= 957 42,300 Sunrise Senior Living, Inc.= (a) 1,961 59,300 United Surgical Partners International, Inc.= 2,473 64,500 Viasys Healthcare Inc.= 1,226 ------ 37,741 ------ HEAVY MACHINERY - 3.0% 61,550 Applied Industrial Technologies, Inc. 1,686 41,600 Astec Industries Inc.= 716 68,700 Baldor Electric Company 1,891 107,300 Briggs & Stratton Corporation 4,461 16,100 CPI Corporation 219 41,300 Gardner Denver Machinery Inc.= 1,499 105,350 IDEX Corporation 4,267 92,700 JLG Industries, Inc. 1,820 24,500 Lindsay Manufacturing Company 634 61,400 Manitowoc Company, Inc. 2,312 101,120 Milacron Inc.= 343 82,500 Paxar Corporation= 1,829 50,900 Regal Beloit Corporation 1,456 30,200 Robbins & Myers, Inc. 720 187,900 Timken Company (a) 4,888 47,500 Toro Company 3,864 43,400 X-Rite, Inc. 695 ------ 33,300 ------ HOUSEHOLD PRODUCTS - 0.1% 14,200 National Presto Industries, Inc. 646 32,000 Natures Sunshine Products Inc. 652 ------ 1,298 ------ HOUSING AND FURNISHING - 2.8% 50,100 Applica Inc.= 303 24,300 Bassett Furniture Industries, Inc. 477 149,100 Champion Enterprises Inc.= (a) 1,762 32,700 Coachmen Industries Inc. 568 74,800 Ethan Allen Interiors, Inc. 2,993 47,100 Haverty Furniture Companies, Inc. 871 108,300 Interface Inc., Class A= 1,080 67,102 M.D.C. Holdings, Inc. 5,800 61,200 Monaco Coach Corporation 1,259 13,200 NVR, Inc.= 10,157 17,500 Skyline Corporation 714 69,600 Standard Pacific Corporation 4,464 ------ 30,448 ------ INSURANCE - 3.1% 65,900 Delphi Financial Group, Inc., Class A 3,041 160,400 Fremont General Corporation 4,040 74,900 Hilb, Rogal and Hamilton Company 2,714 37,000 Landamerica Financial Group, Inc. 1,995 46,300 Philadelphia Consolidated Holding Corporation= 3,062 61,100 Presidential Life Corporation 1,036 60,700 ProAssurance Corporation= 2,374 52,600 RLI Corporation 2,187 52,100 Ryerson Tull Inc. 821 20,600 SCPIE Holdings Inc. 204 57,800 Selective Insurance Group, Inc. 2,557 55,000 Sierra Health Services, Inc.= 3,031 37,700 Stewart Information Services Corporation 1,570 95,200 UICI 3,227
40,100 Zenith National Insurance Corporation 1,999 ------ 33,858 ------ INTEGRATED OIL - 1.1% 68,900 Cabot Oil & Gas Corporation 3,049 161,300 Input/Output, Inc.= 1,426 53,400 Oceaneering International Inc.= 1,993 57,800 Remington Oil & Gas Corporation= 1,575 59,600 St. Mary Land & Exploration Company 2,488 58,300 Swift Energy Company= 1,687 ------ 12,218 ------ INVESTMENT SERVICES - 0.2% 41,300 Piper Jaffray Companies, Inc.= 1,980 ------ LODGING AND RECREATION - 2.6% 38,200 Action Performance Companies, Inc. (a) 420 42,400 Arctic Cat Inc. 1,124 61,400 Argosy Gaming Company= 2,867 72,100 Aztar Corporation= 2,518 70,900 Bally Total Fitness Holding Corporation= (a) 301 115,500 Fleetwood Enterprises Inc.= 1,555 54,600 JAKKS Pacific, Inc.= (a) 1,207 97,200 K2 Inc.= 1,544 62,700 Marcus Corporation 1,576 58,500 Multimedia Games, Inc.= (a) 922 82,800 Pinnacle Entertainment, Inc.= 1,638 89,100 Polaris Industries Inc. 6,060 48,300 Shuffle Master, Inc.= (a) 2,275 70,000 Winnebago Industries, Inc. 2,734 63,600 WMS Industries, Inc.= (a) 2,133 ------ 28,874 ------ MEDICAL DEVICES AND SUPPLIES - 5.6% 76,400 Advanced Medical Optics, Inc.= (a) 3,143 70,200 American Medical Systems Holdings, Inc.= 2,935 49,100 Arthrocare Corporation= (a) 1,574 50,800 BioLase Technology Inc. (a) 552 33,700 Biosite Inc.= (a) 2,074 62,100 CONMED Corporation= 1,765 68,100 Cooper Companies, Inc. 4,808 48,600 Cryolife, Inc.= (a) 344 49,700 Cyberonics, Inc.= (a) 1,030 30,800 Datascope Corporation 1,222 60,700 Diagnostic Products Corporation 3,342 44,700 DJ Orthopedics Inc.= 957 52,900 Haemonetics Corporation= 1,916 42,700 Hologic, Inc.= 1,173 135,400 Hooper Holmes, Inc. 802 28,200 ICU Medical, Inc.= (a) 771 70,000 IDEXX Laboratories, Inc.= 3,821 93,425 Immucor, Inc.= 2,196 60,000 Integra LifeSciences Holdings Corporation= 2,216 23,600 Kensey Nash Corporation= (a) 815 89,100 Mentor Corporation (a) 3,006 55,000 Merit Medical Systems, Inc.= 840 35,700 Osteotech, Inc.=## 196 82,100 Owens & Minor, Inc. 2,313 57,100 PolyMedica Corporation 2,129 37,800 Possis Medical, Inc.= 510 90,600 Priority Healthcare Corporation, Class B= 1,972 70,600 ResMed Inc.= 3,608 73,200 Respironics, Inc.= 3,979 67,100 Sola International Inc.= 1,848 36,500 SurModics, Inc.= (a) 1,187 81,000 Sybron Dental Specialties, Inc.= 2,866 62,400 Theragenics Corporation= 253 26,500 Vital Signs Inc. 1,031 ------ 63,194 ------
METALS AND MINING - 2.6% 32,900 A. M. Castle & Company= 393 61,100 AMCOL International Corporation 1,227 40,000 Brush Engineered Materials Inc.= 740 49,900 Carpenter Technology Corporation 2,917 66,600 Century Aluminum Company= 1,749 22,500 Cleveland-Cliffs Inc.= (a) 2,337 61,200 Commercial Metals Company 3,094 158,300 Massey Energy Company 5,534 30,000 Material Sciences Corporation= 540 34,400 Quanex Corporation 2,359 67,900 Reliance Steel & Aluminum Company 2,645 45,100 RTI International Metals, Inc.= 926 26,600 Steel Technologies Inc. 732 45,100 Texas Industries, Inc. 2,813 31,000 Wolverine Tube Inc.= 400 ------ 28,406 ------ NATURAL GAS DISTRIBUTION - 2.8% 159,300 Atmos Energy Corporation 4,357 23,400 Cascade Natural Gas Corporation 496 75,800 Energen Corporation 4,468 57,900 New Jersey Resources Corporation 2,509 57,100 Northwest Natural Gas Company 1,927 159,500 Piedmont Natural Gas Company, Inc. 3,707 171,431 Southern Union Company= 4,111 75,100 Southwest Gas Corporation 1,908 43,700 The Laclede Group Inc. 1,361 106,100 UGI Corporation 4,341 49,800 Valmont Industries Inc. 1,250 ------ 30,435 ------ NETWORKING AND TELECOMMUNICATIONS EQUIPMENT - 0.9% 36,000 Black Box Corporation 1,730 26,500 Brooktrout Inc.= 318 89,700 C-COR.net Corporation= 834 63,200 Captaris Inc.= 326 38,100 Concord Communications, Inc.= 422 150,400 Harmonic Inc.= 1,254 48,900 j2 Global Communications, Inc.= (a) 1,687 67,400 NYFIX, Inc.= 417 32,300 SBS Technologies, Inc.= 451 48,800 Sonic Solutions (a) 1,095 27,400 Tollgrade Communications, Inc.= 335 55,700 ViaSat, Inc.= 1,352 ------ 10,221 ------ OIL REFINING AND MARKETING - 0.6% 33,300 CARBO Ceramics Inc. 2,297 56,100 Frontier Oil Corporation 1,496 34,500 Petroleum Development Corporation 1,331 34,500 WD-40 Company 980 ------ 6,104 ------ OILFIELD SERVICES - 1.3% 31,300 Atwood Oceanics, Inc.= 1,631 79,900 Cal Dive International, Inc.= 3,255 36,000 Dril-Quip, Inc.= 873 60,400 Lone Star Technologies, Inc.= 2,021 48,400 Offshore Logistics, Inc.= 1,572 38,100 SEACOR SMIT Inc.= (a) 2,035 69,600 Veritas DGC Inc.= 1,560 57,700 W-H Energy Services, Inc.= 1,290 ------ 14,237 ------ PACKAGING AND CONTAINERS - 0.5% 74,400 AptarGroup, Inc. 3,928 28,700 Libbey Inc. 637 30,400 Mobile Mini Inc.= 1,004 ------ 5,569 ------ PAPER AND FOREST PRODUCTS - 1.3%
77,700 Buckeye Technologies Inc.= 1,011 59,300 Caraustar Industries, Inc.= 997 40,600 Chesapeake Corporation 1,103 25,400 Deltic Lumber Corporation 1,078 31,200 Neenah Paper Inc. (a) 1,017 33,800 Pope & Talbot Inc. 578 74,200 Rock-Tenn Company - Class A 1,125 30,900 Schweitzer-Mauduit International, Inc. 1,049 68,800 United Stationers Inc.= (a) 3,179 37,300 Universal Forest Products, Inc. 1,619 107,600 Wausau-Mosinee Paper Corporation 1,922 ------ 14,678 ------ PHARMACEUTICALS - 2.1% 109,700 Alpharma Inc., Class A 1,859 60,100 ArQule Inc.= 348 33,000 Bradley Pharmaceuticals Inc.= (a) 640 67,420 Enzo Biochem, Inc.= 1,313 113,900 Medicis Pharmaceutical Corporation, Class A 3,999 147,600 MGI Pharma, Inc.= 4,134 139,200 NBTY, Inc.= 3,342 48,800 Noven Pharmaceuticals, Inc.= 833 117,700 Pharmaceutical Product Development, Inc.= 4,860 116,000 Regeneron Pharmaceuticals, Inc.= 1,068 125,800 Savient Pharmaceuticals Inc.= 341 ------ 22,737 ------ PUBLISHING AND ADVERTISING - 0.6% 39,700 Advanced Marketing Services Inc. 399 74,600 Bowne & Company Inc. 1,213 28,400 Consolidated Graphics Inc.= 1,304 57,900 John H. Harland Company 2,090 59,400 The Standard Register Company 839 30,700 Thomas Nelson, Inc. 694 ------ 6,539 ------ RAILROADS, TRUCKING AND SHIPPING - 2.8% 52,300 Arkansas Best Corporation 2,348 106,800 EGL, Inc.= 3,192 156,051 Heartland Express, Inc. 3,506 130,500 Kansas City Southern Industries, Inc.= 2,314 51,600 Kirby Corporation= 2,290 117,600 Knight Transportation, Inc.= 2,916 63,100 Landstar System, Inc.= 4,647 58,200 USF Corporation 2,209 63,200 Wabash National Corporation= 1,702 101,100 Yellow Roadway Corporation= 5,632 ------ 30,756 ------ REAL ESTATE INVESTMENT TRUSTS (REITS) - 3.4% 89,500 Capital Automotive REIT 3,179 57,000 Colonial Properties Trust (a) 2,238 108,200 Commercial Net Lease Realty 2,229 65,000 CRT Properties Inc. 1,551 52,900 Entertainment Property Trust 2,357 47,800 Essex Property Trust, Inc. 4,006 61,000 Gables Residential Trust 2,183 66,500 Glenborough Realty Trust Inc. 1,415 59,400 Kilroy Realty Corporation 2,539 100,900 Lexington Corporate Properties Trust 2,278 113,650 New Century Financial Corporation 7,264 23,800 Parkway Properties, Inc. 1,208 96,800 Shurgard Storage Centers, Inc. 4,261 32,800 Sovran Self Storage, Inc. 1,382 ------ 38,090 ------ RESTAURANTS - 2.6% 75,650 CEC Entertainment Inc.= 3,024 41,500 IHOP Corporation 1,738 76,600 Jack in the Box Inc.= (a) 2,824 55,100 Landry's Seafood Restaurants Inc. 1,601
42,400 Lone Star Steakhouse & Saloon, Inc. 1,187 44,500 O'Charley's Inc.= 870 53,800 P.F. Changs China Bistro Inc.= 3,032 63,000 Panera Bread Company, Class A= (a) 2,540 34,800 Papa John's International Inc.= 1,199 70,800 RARE Hospitality International, Inc.= 2,256 86,800 Ryan's Restaurant Group Inc.= 1,338 125,200 Sonic Corporation= 3,819 57,500 The Steak n Shake Company= 1,155 134,200 Triarc Companies, Inc. 1,645 ------ 28,228 ------ RETAIL - SPECIALTY - 0.1% 37,100 Stage Stores, Inc.= 1,540 ------ SEMICONDUCTORS - 3.6% 52,800 Actel Corporation= 926 73,800 Alliance Semiconductor Corporation= 273 65,400 ATMI, Inc.= 1,473 208,000 Axcelis Technologies, Inc.= 1,691 92,700 Brooks Automation, Inc.= 1,596 52,800 C&D Technologies, Inc. 900 95,900 Cognex Corporation 2,676 63,100 Coherent, Inc.= 1,921 76,800 Cymer, Inc.= 2,269 58,300 DSP Group, Inc.= 1,302 38,600 Dupont Photomasks, Inc.= 1,019 59,200 Electro Scientific Industries, Inc.= 1,170 82,400 ESS Technology, Inc.= 586 86,600 Exar Corporation= 1,229 69,300 FEI Company= 1,455 145,700 Kopin Corporation= 564 106,300 Kulicke & Soffa Industries Inc.= 916 124,100 Microsemi Corporation= 2,154 41,400 Park Electrochemical Corporation 898 55,300 Pericom Semiconductor Corporation= 521 35,000 Photon Dynamics, Inc.= 850 68,000 Photronics, Inc.= 1,122 64,600 Power Integrations, Inc.= 1,278 35,000 Rudolph Technologies, Inc.= 601 323,800 Skyworks Solutions, Inc.= 3,054 27,100 Supertex, Inc.= 588 84,200 Technitrol, Inc.= 1,532 49,500 Ultratech Stepper, Inc.= 933 75,700 Varian Semiconductor Equipment Associates, Inc.= 2,790 61,900 Veeco Instruments Inc.= 1,304 ------ 39,591 ------ SOFTWARE - 3.7% 56,100 Altiris, Inc.= 1,988 65,000 Ansys, Inc.= 2,084 70,700 Avid Technology, Inc.= 4,365 59,100 Bell Microproducts Inc.= 569 51,600 Carreker Corporation= 444 75,600 Cerner Corporation= 4,019 129,900 Ciber Inc.= 1,252 86,900 Dendrite International, Inc.= 1,686 37,200 EPIQ Systems, Inc.= 545 82,200 FileNET Corporation= 2,117 81,100 Hyperion Solutions Corporation= 3,781 60,600 JDA Software Group, Inc.= 825 64,800 Kronos Inc.= 3,313 62,600 Manhattan Associates, Inc.= 1,495 42,400 MapInfo Corporation= 508 52,000 MRO Software, Inc.= 677 43,200 PC-Tel, Inc.= 343 51,100 Phoenix Technologies Ltd.= 422 75,100 Progress Software Corporation= 1,754
90,700 SERENA Software, Inc.= 1,963 36,600 SPSS, Inc.= 572 93,900 Take-Two Interactive Software, Inc.= 3,267 81,000 THQ Inc.= 1,858 77,800 Verity, Inc.= 1,021 --------- 40,868 --------- SPECIALTY STORES - 4.2% 92,900 Burlington Coat Factory Warehouse Corporation 2,109 43,100 Cato Corporation, Class A 1,242 45,500 Cost Plus, Inc.= 1,462 28,100 Department 56, Inc.= 468 62,000 Dress Barn, Inc.= 1,091 50,500 Electronics Boutique Holdings Corporation= 2,168 30,000 Enesco Group, Inc.= 242 148,050 Fossil, Inc.= 3,797 68,200 Goody's Family Clothing Inc. 623 52,700 Guitar Center, Inc.= 2,777 64,000 Gymboree Corporation= 820 48,800 Hibbet Sporting Goods, Inc.= 1,299 96,700 Hot Topic, Inc.= 1,662 101,400 Insight Enterprises, Inc.= 2,081 41,800 J. Jill Group Inc.= 622 47,050 Jo-Ann Stores, Inc.= 1,296 94,000 Linens 'N Things, Inc.= 2,331 64,700 Movie Gallery, Inc. 1,234 119,000 PEP Boys - Manny, Moe & Jack 2,031 47,300 School Specialty, Inc.= 1,824 108,550 SCP Pool Corporation 3,463 76,900 Select Comfort Corporation= 1,380 88,400 Stein Mart Inc.= 1,508 74,500 The Men's Wearhouse, Inc.= 2,381 71,800 Too Inc.= 1,756 79,700 Tractor Supply Company= 2,966 107,900 Zale Corporation= 3,223 --------- 47,856 --------- STEEL - 0.2% 88,800 Maverick Tube Corporation= 2,691 --------- TELECOMMUNICATIONS SERVICES - 0.9% 23,300 Applied Signal Technology, Inc. 821 36,500 Boston Communications Group, Inc.= 337 30,300 Catapult Communications Corporation= 732 43,600 Commonwealth Telephone Enterprises, Inc.= 2,165 45,100 Digi International Inc.= 775 120,900 General Communication, Inc., Class A= 1,335 53,800 Inter-Tel Inc. 1,473 36,200 Intrado Inc.= 438 51,000 Network Equipment Technologies Inc.= 501 94,300 SymmetriCom Inc.= 916 --------- 9,493 --------- TOBACCO - 0.1% 94,000 DiMon Inc. 632 --------- UTILITIES - MISCELLANEOUS - 0.1% 34,700 American States Water Company 902 --------- TOTAL COMMON STOCKS (Cost $750,346) 1,098,471 ---------
PRINCIPAL AMOUNT (000) - --------- CORPORATE BONDS AND NOTES - 0.0%+ AEROSPACE AND DEFENSE - 0.0%+ (Cost $0) $2 TIMCO Aviation Services, Inc., 1 ---------- 8.000% 01/02/07
SHARES (000) - --------- WARRANTS - 0.0%+ AEROSPACE AND DEFENSE - 0.0%+ (Cost $0) 2,188 TIMCO Aviation Services, Inc.= 0++ ---------- AFFILIATED INVESTMENT COMPANIES - 3.9% 43,394 Nations Cash Reserves, Capital Class Shares# 43,394 ---------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $43,394) 43,394 ---------- TOTAL INVESTMENTS (Cost $793,741*) 103.2% 1,141,866 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (3.2)% (35,792) ---------- NET ASSETS 100.0% $1,106,074 ==========
- ---------- 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. * Cost for federal income tax purposes is $793,741. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 376,510 28,385 348,125
= 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. The portion that represents cash collateral is $42,941. ## All or a portion of security segregated as collateral for futures contracts. (a) All or a portion of security was on loan on December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004 is $32,767 and $41,468, respectively. At December 31, 2004, the Fund held the following open futures contracts:
UNREALIZED AGGREGATE APPRECIATION/ VALUE FACE VALUE EXPIRATION DEPRECIATION TYPE CONTRACTS (000) (000) DATE (000) - ------------- --------- ----- ---------- ---------- ------------- Russell 2000 Futures (long position) 5 1,636 1,635 March-2005 $ (1) Russell 2000 Futures (long position) 9 2,833 2,943 March-2005 110 Russell 2000 Futures (long position) 2 651 654 March-2005 3 Russell 2000 Futures (long position) 3 977 981 March-2005 4 Russell 2000 Futures (long position) 1 323 327 March-2005 4 ---- $120 ----
ABBREVIATION: LTD- Limited NATIONS FUNDS NATIONS LARGECAP ENHANCED CORE FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - --------- ------ COMMON STOCKS - 95.6% AEROSPACE AND DEFENSE - 1.2% 14,100 Boeing Company $ 730 12,200 General Dynamics Corporation 1,277 6,200 Lockheed Martin Corporation 344 11,100 Northrop Grumman Corporation 603 1,800 Raytheon Company 70 100 Rockwell Automation, Inc. 5 9,800 United Technologies Corporation 1,013 ------ 4,042 ------ APPAREL AND TEXTILES - 0.8% 31,800 Jones Apparel Group, Inc. 1,163 5,700 Nike, Inc., Class B 517 15,100 V.F. Corporation 836 ------ 2,516 ------ AUTOMOTIVE - 0.5% 24,800 AutoNation, Inc.= 476 9,300 AutoZone, Inc.= 850 15,500 Ford Motor Company 227 ------ 1,553 ------ BEVERAGES - 1.9% 100 Anheuser-Busch Companies, Inc. 5 48,600 Coca-Cola Company 2,023 22,700 Pepsi Bottling Group, Inc. 614 72,000 PepsiCo, Inc. 3,758 ------ 6,400 ------ BROADCASTING AND CABLE - 1.8% 7,400 Clear Channel Communications, Inc. 248 33,400 The Walt Disney Company 929 115,800 Time Warner Inc.= 2,251 71,400 Viacom Inc., Class B 2,598 ------ 6,026 ------ CHEMICALS - BASIC - 1.0% 2,300 Ecolab, Inc. 81 9,900 PPG Industries, Inc. 675 12,000 Praxair, Inc. 530 16,100 Rohm & Haas Company 712 26,600 The Dow Chemical Company 1,316 ------ 3,314 ------ CHEMICALS - SPECIALTY - 0.7% 13,000 Eastman Chemical Company 750 8,100 Engelhard Corporation 248 22,100 Monsanto Company 1,229 ------ 2,227 ------ COMMERCIAL BANKING - 7.7% 4,300 AmSouth Bancorporation 111 26,800 BB&T Corporation 1,127 161,800 Citigroup Inc. 7,796 18,300 Comerica Inc. 1,117 3,600 Fifth Third Bancorp 170 1,800 First Horizon National Corporation 78 12,600 KeyCorp## 427 1,300 M&T Bank Corporation 140 18,000 Marshall and Ilsley Corporation 796 20,100 Mellon Financial Corporation 625
34,600 National City Corporation 1,299 1,600 PNC Financial Services Group 92 13,500 SunTrust Banks, Inc. 997 25,200 The Bank of New York Company, Inc. 842 76,200 US Bancorp 2,387 58,800 Wachovia Corporation 3,093 41,600 Washington Mutual, Inc. 1,759 44,700 Wells Fargo & Company 2,778 ------ 25,634 ------ COMMERCIAL SERVICES - 1.1% 1,500 Apollo Group Inc., Class A= 121 101,700 Cendant Corporation 2,378 7,800 eBay Inc.= 907 17,700 Sabre Holdings Corporation 392 ------ 3,798 ------ COMPUTER SERVICES - 0.5% 20,900 Affiliated Computer Services, Inc., Class A= 1,258 7,300 Computer Sciences Corporation=## 412 1,900 Convergys Corporation= 28 1 First Data Corporation 0+ ------ 1,698 ------ COMPUTERS AND OFFICE EQUIPMENT - 4.0% 121,400 Dell Inc.= 5,116 123,100 Hewlett-Packard Company 2,581 45,600 International Business Machines Corporation 4,495 7,900 Lexmark International, Inc.= 672 33,400 Xerox Corporation= 568 ------ 13,432 ------ CONGLOMERATES - 0.8% 74,100 Tyco International Ltd. 2,648 ------ CONSUMER CREDIT AND MORTGAGES - 2.3% 37,300 American Express Company 2,103 20,100 Countrywide Financial Corporation 744 14,000 Fannie Mae 997 25,400 Freddie Mac 1,872 54,500 MBNA Corporation 1,536 30,300 Providian Financial Corporation= 499 ------ 7,751 ------ DEPARTMENT AND DISCOUNT STORES - 2.8% 8,000 Costco Wholesale Corporation 387 10,600 Dollar General Corporation 220 3,000 Federated Department Stores, Inc. 173 31,600 J.C. Penney Company, Inc. 1,308 6,000 Sears, Roebuck and Company 306 19,700 Target Corporation 1,023 114,900 Wal-Mart Stores, Inc. 6,070 ------ 9,487 ------ DIVERSIFIED ELECTRONICS - 0.4% 15,500 Cooper Industries, Ltd. 1,052 8,500 Eastman Kodak Company 274 ------ 1,326 ------ DIVERSIFIED MANUFACTURING - 4.1% 42,300 3M Company 3,472 12,100 Crane Company 349 220,200 General Electric Company 8,037 34,300 Gillette Company 1,536 8,700 Honeywell International Inc. 308 900 W.W. Grainger, Inc. 60 ------ 13,762 ------ ELECTRIC POWER - NON NUCLEAR - 0.8% 28,500 Edison International 913 27,800 TXU Corporation 1,795 ------ 2,708 ------ ELECTRIC POWER - NUCLEAR - 0.6%
6,900 American Electric Power Company, Inc. 237 26,200 FirstEnergy Corporation 1,035 23,400 PG & E Corporation= 779 ----- 2,051 ----- ELECTRICAL EQUIPMENT - 0.5% 24,500 Emerson Electric Company 1,717 ----- ENERGY - MISCELLANEOUS - 0.1% 3,700 Progress Energy, Inc. 167 ----- EXPLORATION AND PRODUCTION - 0.3% 17,400 Anadarko Petroleum Corporation 1,128 ----- FINANCE - MISCELLANEOUS - 0.3% 1,200 Capital One Financial Corporation 101 20,300 H & R Block, Inc. 995 ----- 1,096 ----- FOOD AND DRUG STORES - 0.5% 29,800 Albertson's, Inc. 711 16,000 Safeway, Inc.= 316 20,300 SUPERVALU Inc. 701 ----- 1,728 ----- FOOD PRODUCTS - 1.2% 11,500 Archer-Daniels-Midland Company 257 38,900 ConAgra Foods, Inc. 1,145 7,700 General Mills, Inc. 383 500 Hershey Foods Corporation 28 30,800 Kellogg Company 1,375 39,300 Sara Lee Corporation 949 300 SYSCO Corporation 11 ----- 4,148 ----- HEALTH SERVICES - 1.1% 5,600 HCA Inc. 224 1,600 Laboratory Corporation of America Holdings= 80 3,300 McKesson Corporation 104 13,800 Quest Diagnostics Inc. 1,318 9,800 UnitedHealth Group Inc. 863 8,400 WellPoint Inc.= 966 ----- 3,555 ----- HEAVY MACHINERY - 0.9% 100 Cummins, Inc. 8 23,700 Illinois Tool Works Inc. 2,197 100 Ingersoll-Rand Company, Class A 8 20,600 Thermo Electron Corporation= 622 ----- 2,835 ----- HOUSEHOLD PRODUCTS - 2.7% 41,000 Avon Products, Inc. 1,587 4,600 Fortune Brands, Inc. 355 32,200 Kimberly-Clark Corporation 2,119 61,600 Procter & Gamble Company 3,393 23,900 The Clorox Company 1,408 ----- 8,862 ----- HOUSING AND FURNISHING - 1.1% 45,000 Masco Corporation 1,644 1,900 Newell Rubbermaid Inc. 46 28,300 Pulte Homes, Inc. 1,805 4,200 The Stanley Works 206 600 Whirlpool Corporation 42 ----- 3,743 ----- INSURANCE - 4.3% 20,900 ACE Ltd. 893 2,100 Aetna Inc. 262 30,600 Allstate Corporation 1,583 74,200 American International Group, Inc. 4,873 2,000 Hartford Financial Services Group, Inc. 139 32,900 Lincoln National Corporation 1,536 6,600 Loews Corporation 464
700 MBIA, Inc. 44 30,400 MetLife, Inc. 1,232 13,100 MGIC Investment Corporation 903 25,300 Principal Financial Group, Inc. 1,036 200 Progressive Corporation 17 700 Prudential Financial, Inc. 38 7,200 SAFECO Corporation 376 5,200 The St. Paul Travelers Companies, Inc. 193 5,200 Torchmark Corporation 297 15,800 UnumProvident Corporation 283 2,000 XL Capital Ltd., Class A 155 ------ 14,324 ------ INTEGRATED OIL - 7.4% 18,200 Amerada Hess Corporation 1,499 16,500 Apache Corporation 834 94,000 ChevronTexaco Corporation 4,936 37,300 ConocoPhillips 3,239 191,000 Exxon Mobil Corporation 9,791 43,400 Marathon Oil Corporation 1,632 21,600 Occidental Petroleum Corporation 1,261 30,800 Valero Energy Corporation 1,398 ------ 24,590 ------ INVESTMENT SERVICES - 3.5% 6,400 Bear Stearns Companies Inc. 655 4,200 Goldman Sachs Group, Inc.## 437 95,700 JPMorgan Chase & Company 3,733 11,900 Lehman Brothers Holdings Inc. 1,041 21,500 Merrill Lynch & Company, Inc. 1,285 61,900 Morgan Stanley 3,437 19,200 State Street Corporation 943 ------ 11,531 ------ LODGING AND RECREATION - 1.1% 15,700 Harley-Davidson, Inc. 954 500 Hasbro, Inc. 10 35,300 Hilton Hotels Corporation 803 41,900 International Game Technology 1,440 7,500 Mandalay Resort Group 528 ------ 3,735 ------ MEDICAL DEVICES AND SUPPLIES - 5.7% 76,400 Abbott Laboratories 3,564 21,400 Applera Corporation - Applied Biosystems Group 447 14,800 Bausch & Lomb Inc. 954 23,800 Baxter International Inc. 822 25,900 Becton Dickinson & Company 1,471 5,000 Biomet, Inc. 217 41,800 Boston Scientific Corporation= 1,486 4,400 Cardinal Health, Inc. 256 11,600 Guidant Corporation 836 105,392 Johnson & Johnson 6,685 49,100 Medtronic, Inc. 2,439 ------ 19,177 ------ METALS AND MINING - 0.4% 17,400 Alcoa Inc. 547 6,800 Phelps Dodge Corporation 672 ------ 1,219 ------ NETWORKING AND TELECOMMUNICATIONS EQUIPMENT - 3.1% 4,700 Avaya Inc.= 81 291,200 Cisco Systems, Inc.= 5,620 15,400 Corning Inc.= 181 118,400 Motorola, Inc. 2,036 55,300 QUALCOMM Inc. 2,345 ------ 10,263 ------ OILFIELD SERVICES - 1.7% 41,700 Baker Hughes Inc. 1,779 24,700 Halliburton Company 969
44,300 Schlumberger Ltd. 2,966 -------- 5,714 -------- PAPER AND FOREST PRODUCTS - 0.6% 17,900 Georgia-Pacific Corporation 671 33,100 Louisiana-Pacific Corporation 885 13,000 Plum Creek Timber Company, Inc. 500 -------- 2,056 -------- PHARMACEUTICALS - 5.9% 4,800 AmerisourceBergen Corporation 282 42,000 Amgen Inc.= 2,694 65,900 Bristol-Myers Squibb Company 1,688 22,300 Caremark Rx, Inc.= 879 11,200 Eli Lilly and Company 636 400 Express Scripts, Inc.= 31 34,400 Forest Laboratories, Inc.= 1,543 1,800 Genzyme Corporation= 105 24,800 Gilead Sciences, Inc.= 868 69,900 Merck & Company, Inc. 2,247 292,300 Pfizer Inc. 7,859 22,100 Wyeth 941 -------- 19,773 -------- PUBLISHING AND ADVERTISING - 0.6% 12,400 Gannett Company, Inc. 1,013 5,900 Knight-Ridder, Inc. 395 5,000 McGraw-Hill Companies, Inc. 458 -------- 1,866 -------- RAILROADS, TRUCKING AND SHIPPING - 0.6% 4,800 FedEx Corporation 473 14,600 Ryder System, Inc. 697 11,100 United Parcel Service, Inc., Class B 949 -------- 2,119 -------- REAL ESTATE INVESTMENT TRUSTS (REITS) - 0.1% 6,300 Apartment Investment and Management Company 243 -------- RESTAURANTS - 1.2% 31,900 Darden Restaurants, Inc. 885 58,600 McDonald's Corporation 1,878 23,500 Wendy's International, Inc. 923 8,800 Yum! Brands, Inc.## 415 -------- 4,101 -------- SEMICONDUCTORS - 3.8% 18,500 Altera Corporation= 383 22,900 Analog Devices, Inc. 845 13,100 Freescale Semiconductor Inc.= 241 275,100 Intel Corporation 6,434 18,600 Linear Technology Corporation 721 12,400 Maxim Integrated Products, Inc. 526 65,900 Micron Technology, Inc.= 814 43,600 National Semiconductor Corporation= 783 26,700 PerkinElmer, Inc. 600 2,500 Tektronix, Inc. 76 53,000 Texas Instruments Inc. 1,304 -------- 12,727 -------- SOFTWARE - 6.0% 12,500 Adobe Systems Inc. 784 43,200 Autodesk, Inc. 1,639 7,900 BMC Software, Inc.= 147 10,600 Citrix Systems, Inc.= 260 17,300 Computer Associates International, Inc. 537 26,700 Intuit Inc.= 1,175 355,800 Microsoft Corporation 9,504 290,100 Oracle Corporation= 3,981 10,900 Symantec Corporation= 281 48,500 Yahoo! Inc.= 1,827 -------- 20,135 -------- SPECIALTY STORES - 2.1%
12,100 Best Buy Company, Inc. 719 9,600 Circuit City Stores, Inc. 150 13,700 Family Dollar Stores, Inc.## 428 36,000 Gap, Inc. 760 56,900 Home Depot, Inc. 2,433 8,600 Limited Brands 198 2,900 Lowe's Companies, Inc. 167 4,700 Nordstrom, Inc. 220 12,500 Office Depot, Inc.= 217 19,100 Sherwin-Williams Company 852 6,000 Staples, Inc. 202 20,300 TJX Companies, Inc. 510 -------- 6,856 -------- STEEL - 0.5% 21,600 Nucor Corporation 1,130 7,100 United States Steel Corporation 364 -------- 1,494 -------- TELECOMMUNICATIONS SERVICES - 3.8% 8,200 ALLTEL Corporation 482 177,900 AT&T Corporation 3,390 45,800 BellSouth Corporation 1,273 37,600 Nextel Communications, Inc., Class A= 1,128 126,300 SBC Communications, Inc. 3,255 75,900 Verizon Communications, Inc. 3,075 -------- 12,603 -------- TOBACCO - 1.5% 50,100 Altria Group, Inc. 3,061 26,700 Reynolds American Inc. 2,099 -------- 5,160 -------- TOTAL COMMON STOCKS (Cost $262,008) 319,038 -------- PURCHASED OPTIONS - 0.0%++ 1,000 Call option 100 Symantec Corp. Strike price 30.00 Expires 4/16/05 (2,000) Call option (105) Symantec Corp. Strike price 32.50 Expires 4/16/05 200 Put option 200 S&P 500 Index Strike price 1,075.00 Expires 06/18/05 (100) Put option (100) S&P 500 Index -------- Strike price 1,150.00 Expires 03/18/05 TOTAL PURCHASED OPTIONS (Cost $(28)) 95 --------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 4.2% 14,160 Nations Cash Reserves, Capital Class Shares# 14,160 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $14,160) 14,160 -------- TOTAL INVESTMENTS (Cost $276,140*) 99.8% 333,293 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.2% 535 -------- NET ASSETS 100.0% $333,828 ========
- ---------- 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. Options: The Fund 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 its portfolio securities against an anticipated market-wide decline or against declines in the values of portfolio securities, and may purchase call options on such futures contracts as a hedge against a market advance when they are not fully invested. The Fund may write options on such futures contracts primarily for the purpose of terminating existing positions. The Fund may also engage these techniques for non-hedging purposes such as seeking yield enhancement. The Fund may write covered call options and put options on securities in which its is permitted to invest from time to time in seeking to attain the Fund's objective. Call options written by the 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 to the Fund at a stated price. In the case of put options, the 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 Fund 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 Fund typically receive a premium from writing a put or call option, which would increase the Fund'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, the 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, the 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. The 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 the Fund. * Cost for federal income tax purposes is $276,140. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 58,548 1,395 57,153
= 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. ## All or a portion of security segregated as collateral for futures contracts. + Amount represents less than $500. ++ Amount represents less than 0.1%. At December 31, 2004, the Fund held the following open futures contracts:
AGGREGATE UNREALIZED VALUE FACE VALUE EXPIRATION APPRECIATION TYPE CONTRACTS (000) (000) DATE (000) - ---- --------- ------ ---------- ---------- ------------ S&P 500 Futures (long position) 51 15,047 15,474 March-2005 $427
ABBREVIATION: LTD Limited NATIONS FUNDS NATIONS LARGECAP INDEX FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - ---------- ------- COMMON STOCKS - 99.3% AEROSPACE AND DEFENSE - 1.8% 102,625 Boeing Company $ 5,313 24,500 General Dynamics Corporation 2,563 14,500 Goodrich Corporation 473 14,100 L-3 Communications Holdings, Inc. 1,033 54,075 Lockheed Martin Corporation 3,004 45,053 Northrop Grumman Corporation 2,449 55,300 Raytheon Company 2,147 22,525 Rockwell Automation, Inc. 1,116 21,550 Rockwell Collins, Inc. 850 62,450 United Technologies Corporation 6,454 ------- 25,402 ------- AIRLINES - 0.1% 15,800 Delta Air Lines, Inc.= (a) 118 95,250 Southwest Airlines Company 1,551 ------- 1,669 ------- APPAREL AND TEXTILES - 0.5% 23,100 Coach, Inc.= 1,303 14,900 Jones Apparel Group, Inc. 545 13,275 Liz Claiborne, Inc. 560 32,075 Nike, Inc., Class B 2,909 7,075 Reebok International, Ltd. 311 13,575 V.F. Corporation 752 ------- 6,380 ------- AUTOMOTIVE - 0.9% 32,375 AutoNation, Inc.= 622 9,725 AutoZone, Inc.= 888 9,150 Cooper Tire & Rubber Company## 197 18,350 Dana Corporation 318 68,575 Delphi Corporation 619 18,600 Eaton Corporation 1,346 223,675 Ford Motor Company 3,274 69,000 General Motors Corporation 2,764 21,325 Genuine Parts Company 940 21,450 Goodyear Tire & Rubber Company= (a) 314 23,250 Johnson Controls, Inc. 1,475 7,000 Snap-On Inc. 241 15,875 Visteon Corporation 155 ------- 13,153 ------- BEVERAGES - 2.2% 4,575 Adolph Coors Company, Class B 346 96,625 Anheuser-Busch Companies, Inc. 4,902 14,925 Brown-Forman Corporation, Class B 727 295,775 Coca-Cola Company 12,312 57,350 Coca-Cola Enterprises Inc. 1,196 30,600 Pepsi Bottling Group, Inc. 827 205,950 PepsiCo, Inc. 10,751 ------- 31,061 ------- BROADCASTING AND CABLE - 2.7% 70,125 Clear Channel Communications, Inc. 2,348 271,406 Comcast Corporation, Class A= 9,032 249,750 The Walt Disney Company 6,943 559,875 Time Warner Inc.= 10,885 39,550 Univision Communications, Inc., Class A= 1,158 208,450 Viacom Inc., Class B 7,585 -------
37,951 ------- BUILDING MATERIALS - 0.1% 26,175 American Standard Companies Inc.= 1,082 ------- CHEMICALS - BASIC - 1.4% 27,775 Air Products and Chemicals, Inc. 1,610 13,500 Avery Dennison Corporation 810 121,375 E.I. duPont de Nemours and Company 5,953 31,475 Ecolab, Inc. 1,106 13,650 Hercules, Inc.=## 203 21,025 PPG Industries, Inc. 1,433 39,725 Praxair, Inc. 1,754 27,525 Rohm & Haas Company 1,217 115,275 The Dow Chemical Company 5,707 ------- 19,793 ------- CHEMICALS - SPECIALTY - 0.3% 8,700 Ashland Inc. 508 9,500 Eastman Chemical Company 548 14,975 Engelhard Corporation 459 6,275 Great Lakes Chemical Corporation## 179 11,550 International Flavors & Fragrances, Inc. 495 6,125 Millipore Corporation= 305 32,302 Monsanto Company 1,795 8,450 Sigma-Aldrich Corporation 511 ------- 4,800 ------- COMMERCIAL BANKING - 9.0% 43,375 AmSouth Bancorporation 1,123 493,750 Bank of America Corporation> 23,201 67,475 BB&T Corporation 2,837 634,425 Citigroup Inc. 30,566 20,875 Comerica Inc. 1,274 15,000 Compass Bancshares, Inc. 730 68,625 Fifth Third Bancorp 3,245 15,050 First Horizon National Corporation 649 37,400 Golden West Financial Corporation 2,297 28,250 Huntington Bancshares Inc. 700 49,725 KeyCorp 1,686 14,200 M&T Bank Corporation 1,531 27,325 Marshall and Ilsley Corporation 1,208 51,775 Mellon Financial Corporation 1,611 82,800 National City Corporation 3,109 57,537 North Fork Bancorporation, Inc. 1,660 34,550 PNC Financial Services Group 1,985 56,815 Regions Financial Corporation 2,022 42,225 Sovereign Bancorp, Inc. 952 45,300 SunTrust Banks, Inc. 3,347 94,975 The Bank of New York Company, Inc. 3,174 228,200 US Bancorp 7,147 195,999 Wachovia Corporation 10,310 106,775 Washington Mutual, Inc. 4,514 206,825 Wells Fargo & Company 12,854 11,000 Zions Bancorporation 748 ------- 124,480 ------- COMMERCIAL SERVICES - 1.6% 38,925 Allied Waste Industries, Inc.= 361 22,650 Apollo Group Inc., Class A= 1,828 128,675 Cendant Corporation 3,008 20,950 Cintas Corporation 919 81,000 eBay Inc.= 9,419 23,950 Fiserv, Inc.= 963 22,775 Omnicom Group Inc. 1,920 21,200 Robert Half International Inc. 624 16,600 Sabre Holdings Corporation 368 118,725 Solectron Corporation= 633 69,900 Waste Management, Inc. 2,093 ------- 22,136 ------- COMPUTER SERVICES - 1.1%
15,700 Affiliated Computer Services, Inc., Class A= 945 71,225 Automatic Data Processing, Inc. 3,159 23,150 Computer Sciences Corporation= 1,305 17,325 Convergys Corporation= 260 62,825 Electronic Data Systems Corporation 1,451 16,475 Equifax Inc. 463 101,475 First Data Corporation 4,317 46,200 Paychex, Inc. 1,574 35,275 Sungard Data Systems, Inc.= 999 41,025 Unisys Corporation= 418 ------ 14,891 ------ COMPUTERS AND OFFICE EQUIPMENT - 4.2% 49,175 Apple Computer, Inc.= 3,167 303,675 Dell Inc.= 12,797 292,900 EMC Corporation= 4,355 45,650 Gateway, Inc.= 274 369,126 Hewlett-Packard Company 7,741 203,500 International Business Machines Corporation 20,060 24,625 Jabil Circuit, Inc.= 630 15,775 Lexmark International, Inc.= 1,341 11,350 NCR Corporation= 786 43,850 Network Appliance, Inc.= 1,457 11,425 OfficeMax Inc. 359 28,225 Pitney Bowes Inc. 1,306 411,125 Sun Microsystems, Inc.= 2,212 116,575 Xerox Corporation= 1,983 ------ 58,468 ------ CONGLOMERATES - 0.9% 24,900 Dover Corporation 1,044 10,275 Fluor Corporation 560 16,775 Textron, Inc. 1,238 245,875 Tyco International Ltd. 8,788 12,525 Vulcan Materials Company 684 ------ 12,314 ------ CONSTRUCTION - 0.0%+ 5,625 KB HOME 587 ------ CONSUMER CREDIT AND MORTGAGES - 2.2% 153,425 American Express Company 8,648 70,998 Countrywide Financial Corporation 2,628 118,275 Fannie Mae 8,422 84,300 Freddie Mac 6,213 156,212 MBNA Corporation 4,404 35,875 Providian Financial Corporation= 591 ------ 30,906 ------ DEPARTMENT AND DISCOUNT STORES - 3.2% 57,325 Costco Wholesale Corporation 2,775 10,075 Dillard's, Inc., Class A 271 40,050 Dollar General Corporation 832 20,700 Federated Department Stores, Inc. 1,196 34,950 J.C. Penney Company, Inc. 1,447 41,925 Kohl's Corporation= 2,061 25,250 Sears, Roebuck and Company 1,289 109,450 Target Corporation 5,684 35,725 The May Department Stores Company 1,050 517,650 Wal-Mart Stores, Inc. 27,342 ------ 43,947 ------ DIVERSIFIED ELECTRONICS - 0.2% 11,225 Cooper Industries, Ltd. 762 35,050 Eastman Kodak Company 1,130 47,100 LSI Logic Corporation= 258 29,400 Symbol Technologies, Inc. 509 ------ 2,659 ------ DIVERSIFIED MANUFACTURING - 5.1% 95,150 3M Company 7,809 11,700 Allegheny Technologies Inc. 254
9,875 Black & Decker Corporation 872 37,750 Danaher Corporation 2,167 1,292,350 General Electric Company 47,172 121,325 Gillette Company 5,433 105,125 Honeywell International Inc. 3,722 11,325 ITT Industries, Inc. 956 15,150 Pall Corporation 439 63,675 Sanmina - SCI Corporation= 539 10,975 W.W. Grainger, Inc. 731 ------ 70,094 ------ ELECTRIC POWER - NON NUCLEAR - 1.1% 79,350 AES Corporation= 1,085 16,800 Allegheny Energy, Inc.= (a) 331 65,350 Calpine Corporation= (a) 257 22,175 Cinergy Corporation 923 23,775 CMS Energy Corporation= 248 29,550 Consolidated Edison, Inc. 1,293 21,475 Constellation Energy Group, Inc. 939 46,450 Dynegy Inc., Class A= 215 39,850 Edison International 1,276 33,100 NiSource Inc. 754 11,225 Pinnacle West Capital Corporation 499 10,225 Power-One, Inc.= 91 29,050 Public Service Enterprise Group Inc. 1,504 90,425 Southern Company 3,032 24,450 TECO Energy, Inc. 375 29,375 TXU Corporation 1,896 48,975 Xcel Energy, Inc. 891 ------ 15,609 ------ ELECTRIC POWER - NUCLEAR - 1.5% 23,825 Ameren Corporation 1,195 48,375 American Electric Power Company, Inc. 1,661 40,475 Dominion Resources, Inc. 2,742 21,275 DTE Energy Company 918 116,975 Duke Energy Corporation 2,963 27,325 Entergy Corporation 1,847 81,000 Exelon Corporation 3,569 40,325 FirstEnergy Corporation 1,593 22,650 FPL Group, Inc. 1,693 49,325 PG & E Corporation= 1,642 23,075 PPL Corporation 1,229 ------ 21,052 ------ ELECTRICAL EQUIPMENT - 0.3% 51,325 Emerson Electric Company 3,598 23,075 Molex Inc. 692 ------ 4,290 ------ ENERGY - MISCELLANEOUS - 0.1% 37,650 CenterPoint Energy Inc. 425 30,200 Progress Energy, Inc. 1,367 19,600 Progress Energy, Inc., CVO 2 ------ (purchased 12/27/00, cost $10)(b)(c) 1,794 ------ EXPLORATION AND PRODUCTION - 0.5% 30,200 Anadarko Petroleum Corporation 1,957 59,400 Devon Energy Corporation 2,312 14,475 EOG Resources, Inc. 1,033 31,800 XTO Energy, Inc. 1,125 ------ 6,427 ------ FINANCE - MISCELLANEOUS - 0.6% 29,675 Capital One Financial Corporation 2,499 20,100 H & R Block, Inc. 985 18,100 Moody's Corporation 1,572 52,500 SLM Corporation 2,803 37,875 Synovus Financial Corporation 1,082 ------ 8,941 ------ FINANCIAL SERVICES - 0.1%
25,700 CIT Group Inc. 1,178 ------ FOOD AND DRUG STORES - 0.8% 44,950 Albertson's, Inc. 1,073 48,925 CVS Corporation 2,205 54,700 Safeway Inc.= 1,080 16,450 SUPERVALU Inc. 568 90,325 The Kroger Company= 1,584 124,950 Walgreen Company 4,795 ------ 11,305 ------ FOOD PRODUCTS - 1.5% 80,000 Archer-Daniels-Midland Company 1,785 50,250 Campbell Soup Company 1,502 62,850 ConAgra Foods, Inc. 1,851 44,550 General Mills, Inc. 2,215 42,675 H.J. Heinz Company 1,664 30,125 Hershey Foods Corporation 1,673 50,500 Kellogg Company 2,255 16,675 McCormick and Company, Inc. 644 95,900 Sara Lee Corporation 2,315 78,225 SYSCO Corporation 2,985 27,450 Wm. Wrigley Jr. Company 1,899 ------ 20,788 ------ HEALTH SERVICES - 1.6% 40,752 Biogen Idec Inc.= 2,714 51,475 HCA Inc. 2,057 29,800 Health Management Associates, Inc., Class A 677 19,450 Humana Inc.= 577 16,900 Laboratory Corporation of America Holdings= 842 10,550 Manor Care, Inc. 374 35,900 McKesson Corporation 1,129 33,311 Medco Health Solutions, Inc.= 1,386 12,375 Quest Diagnostics Inc. 1,182 57,012 Tenet Healthcare Corporation= 626 79,950 UnitedHealth Group Inc. 7,039 36,050 WellPoint Inc.= 4,146 ------ 22,749 ------ HEAVY MACHINERY - 1.1% 41,750 Caterpillar Inc. 4,072 5,600 Cummins, Inc. 469 30,350 Deere & Company 2,258 36,125 Illinois Tool Works Inc. 3,348 21,025 Ingersoll-Rand Company, Class A 1,688 8,550 Navistar International Corporation= 376 21,250 PACCAR, Inc. 1,710 14,575 Parker-Hannifin Corporation 1,104 19,525 Thermo Electron Corporation= 589 ------ 15,614 ------ HOUSEHOLD PRODUCTS - 2.1% 11,137 Alberto-Culver Company, Class B 541 57,825 Avon Products, Inc. 2,238 64,775 Colgate-Palmolive Company 3,314 17,625 Fortune Brands, Inc. 1,360 59,600 Kimberly-Clark Corporation 3,922 310,125 Procter & Gamble Company 17,082 18,550 The Clorox Company 1,093 ------ 29,550 ------ HOUSING AND FURNISHING - 0.5% 15,175 Centex Corporation 904 23,300 Leggett & Platt, Inc. 662 54,775 Masco Corporation 2,001 9,725 Maytag Corporation 205 33,550 Newell Rubbermaid Inc. 812 15,575 Pulte Homes, Inc. 994 10,100 The Stanley Works 495 8,125 Whirlpool Corporation 562 ------ 6,635 ------
INSURANCE - 4.7% 34,750 ACE Ltd. 1,486 18,050 Aetna Inc. 2,252 61,900 AFLAC, Inc. 2,466 83,925 Allstate Corporation 4,341 13,250 Ambac Financial Group, Inc. 1,088 318,375 American International Group, Inc. 20,909 38,650 Aon Corporation 922 23,425 Chubb Corporation 1,801 16,425 CIGNA Corporation 1,340 20,507 Cincinnati Financial Corporation 908 35,950 Hartford Financial Services Group, Inc. 2,492 16,700 Jefferson-Pilot Corporation 868 21,325 Lincoln National Corporation 995 22,675 Loews Corporation 1,594 64,425 Marsh & McLennan Companies, Inc. 2,120 17,225 MBIA, Inc. 1,090 90,950 MetLife, Inc. 3,684 11,875 MGIC Investment Corporation 818 37,550 Principal Financial Group, Inc. 1,537 24,450 Progressive Corporation 2,074 62,725 Prudential Financial, Inc. 3,447 15,550 SAFECO Corporation 812 81,816 The St. Paul Travelers Companies, Inc. 3,033 13,200 Torchmark Corporation 754 36,225 UnumProvident Corporation 650 16,950 XL Capital Ltd., Class A 1,316 ------ 64,797 ------ INTEGRATED OIL - 5.5% 11,200 Amerada Hess Corporation 923 39,861 Apache Corporation 2,016 47,875 Burlington Resources Inc. 2,083 258,975 ChevronTexaco Corporation 13,599 84,327 ConocoPhillips 7,322 788,600 Exxon Mobil Corporation 40,423 18,550 Kerr-McGee Corporation 1,072 42,350 Marathon Oil Corporation 1,593 48,225 Occidental Petroleum Corporation 2,814 8,900 Sunoco, Inc. 727 68,025 The Williams Companies, Inc. 1,108 32,150 Unocal Corporation 1,390 31,350 Valero Energy Corporation 1,423 ------ 76,493 ------ INVESTMENT SERVICES - 3.7% 12,625 Bear Stearns Companies Inc. 1,292 164,625 Charles Schwab Corporation 1,969 45,500 E*TRADE Financial Corp.= 680 13,150 Federated Investors Inc. 400 30,500 Franklin Resources, Inc. 2,124 59,175 Goldman Sachs Group, Inc. 6,157 435,507 JPMorgan Chase & Company 16,989 28,900 Janus Capital Group Inc. 486 32,925 Lehman Brothers Holdings Inc. 2,880 113,875 Merrill Lynch & Company, Inc. 6,806 133,775 Morgan Stanley 7,427 26,775 Northern Trust Corporation 1,301 40,800 State Street Corporation 2,004 15,700 T Rowe Price Group Inc. 977 ------ 51,492 ------ LODGING AND RECREATION - 1.1% 11,725 Brunswick Corporation 580 77,450 Carnival Corporation 4,464 35,875 Harley-Davidson, Inc. 2,179 13,675 Harrah's Entertainment, Inc. 915 21,625 Hasbro, Inc. 419 47,200 Hilton Hotels Corporation 1,073 42,100 International Game Technology 1,447
27,350 Marriott International, Inc., Class A 1,723 50,700 Mattel, Inc. 988 25,375 Starwood Hotels & Resorts Worldwide, Inc. 1,482 ------ 15,270 ------ MEDICAL DEVICES AND SUPPLIES - 4.7% 190,375 Abbott Laboratories 8,881 23,925 Applera Corporation - Applied Biosystems Group 500 6,550 Bausch & Lomb Inc. 422 75,375 Baxter International Inc. 2,603 30,950 Becton Dickinson & Company 1,758 30,950 Biomet, Inc. 1,343 103,250 Boston Scientific Corporation= 3,671 12,825 C.R. Bard, Inc. 821 52,850 Cardinal Health, Inc. 3,073 14,325 Fisher Scientific International Inc.= 894 38,900 Guidant Corporation 2,805 19,042 Hospira, Inc.= 638 362,825 Johnson & Johnson 23,010 147,750 Medtronic, Inc. 7,339 43,700 St. Jude Medical, Inc.= 1,832 49,150 Stryker Corporation 2,371 14,725 Waters Corporation= 689 29,975 Zimmer Holdings, Inc.= 2,402 ------ 65,052 ------ METALS AND MINING - 0.6% 106,450 Alcoa Inc. 3,345 21,850 Freeport-McMoran Copper & Gold, Inc., Class B 835 54,300 Newmont Mining Corporation 2,411 11,625 Phelps Dodge Corporation 1,150 ------ 7,741 ------ NATURAL GAS DISTRIBUTION - 0.2% 78,600 El Paso Corporation 817 19,650 KeySpan Corporation 775 5,375 NICOR Inc.## 199 4,600 Peoples Energy Corporation (a)## 202 28,500 Sempra Energy 1,046 ------ 3,039 ------ NATURAL GAS PIPELINES - 0.1% 15,175 Kinder Morgan, Inc. 1,110 ------ NETWORKING AND TELECOMMUNICATIONS EQUIPMENT - 2.7% 98,875 ADC Telecommunications, Inc.= 265 23,350 American Power Conversion Corporation 500 19,625 Andrew Corporation= 267 56,000 Avaya Inc.= 963 69,925 CIENA Corporation= 234 804,900 Cisco Systems, Inc.= 15,534 24,175 Comverse Technology, Inc.= 591 171,450 Corning Inc.= 2,018 176,525 JDS Uniphase Corporation= 560 540,350 Lucent Technologies Inc.= 2,032 297,550 Motorola, Inc. 5,118 200,350 QUALCOMM Inc. 8,495 18,700 Scientific-Atlanta, Inc. 617 56,450 Tellabs, Inc.= 485 ------ 37,679 ------ OIL REFINING AND MARKETING - 0.1% 16,500 Noble Corporation= 821 ------ OILFIELD SERVICES - 0.9% 41,000 Baker Hughes Inc. 1,749 19,700 BJ Services Company 917 54,075 Halliburton Company 2,122 18,275 Nabors Industries, Ltd.= 937 13,075 Rowan Companies, Inc.= 339 71,975 Schlumberger Ltd. 4,819 39,350 Transocean Inc.= 1,668 ------
12,551 ------ PACKAGING AND CONTAINERS - 0.1% 13,725 Ball Corporation 604 13,075 Bemis Company, Inc. 380 18,150 Pactiv Corporation= 459 10,225 Sealed Air Corporation= 545 ------ 1,988 ------ PAPER AND FOREST PRODUCTS - 0.6% 31,550 Georgia-Pacific Corporation 1,182 59,525 International Paper Company 2,500 13,450 Louisiana-Pacific Corporation 360 24,725 MeadWestvaco Corporation 838 22,400 Plum Creek Timber Company 861 6,850 Temple-Inland Inc. 469 29,325 Weyerhaeuser Company 1,971 ------ 8,181 ------ PHARMACEUTICALS - 5.9% 16,050 Allergan, Inc. 1,301 12,850 AmerisourceBergen Corporation 754 155,217 Amgen Inc.= 9,957 237,875 Bristol-Myers Squibb Company 6,094 55,600 Caremark Rx, Inc.= 2,192 22,825 Chiron Corporation= 761 138,325 Eli Lilly and Company 7,850 9,275 Express Scripts, Inc.= 709 45,050 Forest Laboratories, Inc.= 2,021 30,250 Genzyme Corporation= 1,757 52,950 Gilead Sciences, Inc.= 1,853 28,350 IMS Health Inc. 658 29,575 King Pharmaceuticals, Inc.= 367 30,400 MedImmune, Inc.= 824 271,075 Merck & Company, Inc. 8,712 32,925 Mylan Laboratories, Inc. (a) 582 920,635 Pfizer Inc. 24,755 180,075 Schering-Plough Corporation 3,760 13,375 Watson Pharmaceuticals, Inc.= 439 163,100 Wyeth 6,946 ------ 82,292 ------ PUBLISHING AND ADVERTISING - 1.2% 9,975 Dow Jones & Company, Inc. 430 31,200 Gannett Company, Inc. 2,549 51,650 Interpublic Group of Companies, Inc.= 692 9,450 Knight-Ridder, Inc. 633 23,200 McGraw-Hill Companies, Inc. 2,124 6,100 Meredith Corporation 331 14,575 Monster Worldwide Inc.= 490 17,750 New York Times Company, Class A 724 319,400 News Corporation Inc. 5,960 26,875 R.R. Donnelley & Sons Company 948 38,850 Tribune Company 1,637 ------ 16,518 ------ RAILROADS, TRUCKING AND SHIPPING - 1.6% 46,000 Burlington Northern Santa Fe Corporation 2,176 26,275 CSX Corporation 1,053 36,700 FedEx Corporation 3,615 48,450 Norfolk Southern Corporation 1,753 7,900 Ryder System, Inc. 377 31,775 Union Pacific Corporation 2,137 136,975 United Parcel Service, Inc., Class B 11,706 ------ 22,817 ------ REAL ESTATE INVESTMENT TRUSTS (REITS) - 0.5% 11,600 Apartment Investment and Management Company 447 23,900 Archstone-Smith Trust 915 49,250 Equity Office Properties Trust 1,434 34,550 Equity Residential Properties Trust 1,250 22,525 ProLogis 976
27,075 Simon Property Group, Inc. 1,752 ------ 6,774 ------ RESTAURANTS - 0.8% 19,250 Darden Restaurants, Inc. 534 153,650 McDonald's Corporation 4,926 48,900 Starbucks Corporation= 3,049 13,975 Wendy's International, Inc. 549 35,825 Yum! Brands, Inc. 1,690 ------ 10,748 ------ SEMICONDUCTORS - 3.2% 47,125 Advanced Micro Devices, Inc.= 1,038 59,325 Agilent Technologies, Inc.= 1,430 45,525 Altera Corporation= 942 45,925 Analog Devices, Inc. 1,696 207,575 Applied Materials, Inc.= 3,550 37,625 Applied Micro Circuits Corporation= 158 40,200 Broadcom Corporation, Class A= 1,298 47,675 Freescale Semiconductor Inc.= 875 772,975 Intel Corporation 18,079 23,875 KLA-Tencor Corporation= 1,112 37,550 Linear Technology Corporation 1,455 39,800 Maxim Integrated Products, Inc. 1,687 74,875 Micron Technology, Inc.= 925 43,800 National Semiconductor Corporation= 786 17,075 Novellus Systems, Inc.= 476 20,300 NVIDIA Corporation= 478 15,625 PerkinElmer, Inc. 351 21,750 PMC - Sierra, Inc.= 245 11,350 QLogic Corporation= 417 10,975 Tektronix, Inc. 332 23,700 Teradyne, Inc.= 405 211,200 Texas Instruments Inc. 5,200 42,575 Xilinx, Inc. 1,262 ------ 44,197 ------ SOFTWARE - 4.7% 29,150 Adobe Systems Inc. 1,829 28,150 Autodesk, Inc. 1,068 27,150 BMC Software, Inc.= 505 20,725 Citrix Systems, Inc.= 508 71,550 Computer Associates International, Inc. 2,222 47,350 Compuware Corporation= 306 37,300 Electronic Arts Inc.= 2,301 22,900 Intuit Inc.= 1,008 10,325 Mercury Interactive Corporation= 470 1,328,950 Microsoft Corporation 35,497 45,925 Novell, Inc.= 310 626,875 Oracle Corporation= 8,601 32,875 Parametric Technology Corporation=## 194 62,125 Siebel Systems, Inc.= 652 77,550 Symantec Corporation= 1,998 51,625 VERITAS Software Corporation= 1,474 168,100 Yahoo! Inc.= 6,334 ------ 65,277 ------ SPECIALTY STORES - 2.4% 36,825 Bed Bath & Beyond Inc.= 1,467 39,650 Best Buy Company, Inc. 2,356 13,775 Big Lots Inc.= (a) 167 23,850 Circuit City Stores, Inc. 373 20,500 Family Dollar Stores, Inc. 640 107,200 Gap, Inc. 2,264 268,475 Home Depot, Inc. 11,475 49,675 Limited Brands 1,144 94,475 Lowe's Companies, Inc. 5,441 17,075 Nordstrom, Inc. 798 38,150 Office Depot, Inc.= 662 19,375 RadioShack Corporation 637 17,325 Sherwin-Williams Company 773
60,875 Staples, Inc. 2,052 17,775 Tiffany & Company 568 58,925 TJX Companies, Inc. 1,481 26,275 Toys R Us, Inc.= 538 --------- 32,836 --------- STEEL - 0.1% 19,450 Nucor Corporation 1,018 13,850 United States Steel Corporation 710 --------- 1,728 --------- TELECOMMUNICATIONS SERVICES - 3.3% 37,150 ALLTEL Corporation 2,183 97,275 AT&T Corporation 1,854 223,900 BellSouth Corporation 6,222 16,425 CenturyTel, Inc. 583 41,025 Citizens Communications Company 566 135,875 Nextel Communications, Inc., Class A= 4,076 222,025 Qwest Communications International Inc.= 986 405,325 SBC Communications Inc. 10,445 179,812 Sprint Corporation (FON Group) 4,468 338,475 Verizon Communications Inc. 13,712 --------- 45,095 --------- TOBACCO - 1.3% 250,925 Altria Group, Inc. 15,332 18,000 Reynolds American Inc. 1,415 20,150 UST Inc. 969 --------- 17,716 --------- TOTAL COMMON STOCKS (Cost $1,131,602) 1,379,917 ---------
SHARES (000) - ---------- AFFILIATED INVESTMENT COMPANIES - 0.5% 6,876 Nations Cash Reserves, Capital Class Shares# 6,876 ---------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $6,876) 6,876 ---------- TOTAL INVESTMENTS (Cost $1,138,478*) 99.8% 1,386,793 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.2% 2,154 ---------- NET ASSETS 100.0% $1,388,947 ==========
- ---------- 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. * Cost for federal income tax purposes is $1,138,478. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ --------------
417,053 168,738 248,315
= 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. The portion that represents cash collateral is $1,882. ## All or a portion of security segregated as collateral for futures contracts. (a) All or a portion of security was on loan on December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004 is $3,953 and $1,811, respectively. (b) Fair valued security. (c) Restricted security. > Affiliated security. ++ Amount represents less than $500. At December 31, 2004, the Fund held the following open futures contracts:
AGGREGATE UNREALIZED VALUE FACE VALUE EXPIRATION APPRECIATION TYPE CONTRACTS (000) (000) DATE (000) - ------------- --------- ----- ---------- ---------- ------------ S&P 500 Futures (long position) 1 303 303 March-2005 $ 0++ S&P 500 Futures (long position) 23 6,786 6,979 March-2005 193 ---- $193 ----
ABBREVIATIONS: CVO Contingent Value Obligation LTD Limited NATIONS FUNDS NATIONS LIFEGOAL BALANCED GROWTH PORTFOLIO SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - ---------- -------- AFFILIATED INVESTMENT COMPANIES** - 99.7% 9,206,171 Nations Bond Fund, Primary A Class $ 91,693 1,135,654 Nations Convertible Securities Fund, Primary Class A Shares 20,499 3,584,359 Nations High Yield Bond Fund, Primary A Class 34,732 1,768,348 Nations International Value Fund, Primary A Class 40,389 3,750,883 Nations Marsico Focused Equities Fund, Primary A Class 70,179 2,626,245 Nations Marsico International Opportunities Fund, Primary A Class 31,068 2,678,123 Nations Marsico MidCap Growth Fund, Primary A Class 35,298 2,685,943 Nations MidCap Value Fund, Primary A Class 36,609 12,930,372 Nations Short-Term Income Fund, Primary A Class 127,882 1,229,847 Nations Small Company Fund, Primary A Class 20,022 1,740,730 Nations SmallCap Value Fund, Primary A Class 22,525 2,190,921 Nations Strategic Growth Fund, Primary A Class 26,707 9,564,455 Nations Value Fund, Primary A Class 124,434 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $601,177) 682,037 -------- TOTAL INVESTMENTS (Cost $601,177*) 99.7% 682,037 -------- OTHER ASSETS AND LIABILITIES (NET) 0.3% 2,129 -------- NET ASSETS 100.0% $684,166 ========
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $601,177. Unrealized appreciation and depreciation at December 31, 2004 based on cost of investments for federal income tax purposes was:
UNREALIZED APPRECIATION UNREALIZED DEPRECIATION NET UNREALIZED APPRECIATION (000) (000) (000) - ----------------------- ----------------------- --------------------------- $82,869 $(2,009) $80,860
** 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. NATIONS FUNDS NATIONS LIFEGOAL GROWTH PORTFOLIO SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - ---------- -------- AFFILIATED INVESTMENT COMPANIES** - 99.9% 1,231,906 Nations International Value Fund, Primary A Class $ 28,137 3,920,623 Nations Marsico Focused Equities Fund, Primary A Class 73,355 3,261,511 Nations Marsico International Opportunities Fund, Primary A Class 38,584 1,960,275 Nations Marsico MidCap Growth Fund, Primary A Class 25,836 1,962,584 Nations MidCap Value Fund, Primary A Class 26,750 858,235 Nations Small Company Fund, Primary A Class 13,972 1,210,486 Nations SmallCap Value Fund, Primary A Class 15,664 2,004,105 Nations Strategic Growth Fund, Primary A Class 24,430 9,164,865 Nations Value Fund, Primary A Class 119,234 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $308,315) 365,962 -------- TOTAL INVESTMENTS (Cost $308,315*) 99.9% 365,962 -------- OTHER ASSETS AND LIABILITIES (NET) 0.1% 432 -------- NET ASSETS 100.0% $366,394 ========
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $308,315. Unrealized appreciation and depreciation at December 31, 2004 based on cost of investments for federal income tax purposes was:
UNREALIZED APPRECIATION UNREALIZED DEPRECIATION NET UNREALIZED APPRECIATION (000) (000) (000) - ----------------------- ----------------------- --------------------------- $57,647 $ -- $57,647
** 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. NATIONS FUNDS NATIONS LIFEGOAL INCOME AND GROWTH PORTFOLIO SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - ---------- -------- AFFILIATED INVESTMENT COMPANIES** - 100.0% 3,003,389 Nations Bond Fund, Primary A Class $ 29,914 460,996 Nations Convertible Securities Fund, Primary Class A Shares 8,321 1,530,722 Nations High Yield Bond Fund, Primary A Class 14,833 183,296 Nations International Value Fund, Primary A Class 4,186 733,404 Nations Marsico International Opportunities Fund, Primary A Class 8,676 8,269,079 Nations Short-Term Income Fund, Primary A Class 81,781 248,260 Nations Small Company Fund, Primary A Class 4,042 354,245 Nations SmallCap Value Fund, Primary A Class 4,584 1,498,063 Nations Strategic Growth Fund, Primary A Class 18,261 2,101,003 Nations Value Fund, Primary A Class 27,334 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $186,680) 201,932 -------- TOTAL INVESTMENTS (Cost $186,680*) 100.0% 201,932 -------- OTHER ASSETS AND LIABILITIES (NET) 0.0% 79 -------- NET ASSETS 100.0% $202,011 ========
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $186,680. Unrealized appreciation and depreciation at December 31, 2004 based on cost of investments for federal income tax purposes was:
UNREALIZED APPRECIATION UNREALIZED DEPRECIATION NET UNREALIZED APPRECIATION - ----------------------- ----------------------- --------------------------- $16,380 $(1,128) $15,252
** 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. NATIONS FUNDS NATIONS LIFEGOAL INCOME PORTFOLIO SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - ---------- ------- AFFILIATED INVESTMENT COMPANIES** - 99.6% 1,107,616 Nations Cash Reserves, Capital Class $ 1,108 158,922 Nations Convertible Securities Fund, Primary Class A Shares 2,868 1,765,525 Nations High Yield Bond Fund, Primary A Class 17,108 840,052 Nations Mortgage- and Asset-Backed Portfolio 8,485 2,747,945 Nations Short-Term Income Fund, Primary A Class 27,177 ------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $56,385) 56,746 ------- TOTAL INVESTMENTS (Cost $56,385*) 99.6% 56,746 ------- OTHER ASSETS AND LIABILITIES (NET) 0.4% 197 ------- NET ASSETS 100.0% $56,943 =======
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $56,385. Unrealized appreciation and depreciation at December 31, 2004 based on cost of investments for federal income tax purposes was:
UNREALIZED APPRECIATION UNREALIZED DEPRECIATION NET UNREALIZED APPRECIATION (000) (000) (000) - ----------------------- ----------------------- --------------------------- $569 $(208) $361
** 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. NATIONS MONEY MARKET FUNDS NATIONS CALIFORNIA TAX-EXEMPT RESERVES SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------- ------- MUNICIPAL BONDS AND NOTES - 103.9% CALIFORNIA - 99.9% $14,200 ABAG Finance Authority for Non-Profit Corporations, California Multi-Family Revenue, (Fine Arts Building Project) Series 2002A,AMT, (FNMA Liquidity Facility), 2.020% 07/15/35** $14,200 12,000 ABAG Finance Authority for Non-Profit Corporations, California Revenue, Series 2003A, (Societe Generale SBPA), 2.050% 07/01/08** 12,000 8,895 ABN AMRO Munitops Certificates Trust, California, Series 2003, (FGIC Insured, ABN AMRO Bank N.V. SBPA), 2.020% 08/01/11**# 8,895 7,590 ABN AMRO Munitops Certificates Trust, California, Series 2004, (FGIC Insured, ABN AMRO Bank NV SBPA), 2.020% 07/01/11**# 7,590 7,825 ABN AMRO Munitops Certificates Trust, California, Series 2004, (FSA Insured, ABN AMRO Bank NV SBPA), 2.020% 06/01/12**# 7,825 8,575 ABN AMRO Munitops Certificates Trust, California, Series 2004, (MBIA Insured, ABN AMRO Bank N.V. SBPA), 2.020% 08/01/12**# 8,575 3,025 Alameda - Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 1997B, (Scotiabank LOC), 2.030% 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), 2.030% 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), 2.030% 06/01/22** 2,400 1,290 Alameda - Contra Costa County, California Schools Financing Authority Certificates of Participation, (Capital Improvements Financing Project) Series 2000F, (KBC Bank N.V. LOC), 2.080% 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), 2.030% 08/01/29** 620 8,100 Alameda - Contra Costa County, California Schools Financing Authority, Certificate of Participation, Series 1999G, (AMBAC Insured), 2.130% 08/01/24** 8,100 6,480 Alameda County, California Corridor Transportation Authority Revenue, Series 1999CMC-1, (MBIA Insured, JP Morgan SBPA), 2.010% 10/01/13**# 6,480 2,860 Alameda County, California IDR, (Segale Brothers Wood Production Project) Series 2002, AMT, (Bank of the West LOC), 2.090% 10/01/32** 2,860 5,400 Alameda County, California Industrial Development Authority Revenue, (Edward L Shimmon Inc. Project) Series 1996A, AMT, (Bank of the West LOC, BNP Paribas LOC), 2.020% 11/01/26** 5,400 2,000 Bay Area Toll Authority Toll Bridge Revenue, Series 2004A, (AMBAC insured, Dexia Credit Local, SBPA), 1.950% 04/01/39** 2,000
30,000 Bay Area Toll Authority Toll Bridge Revenue, Series 2004B, (AMBAC Insured, Bayerische Landesbank SBPA) 1.940% 04/01/39** 30,000 35,390 California Community College Financing Authority Revenue, Series 2004D, (Lehman Liquidity Company Liquidity Facility), 2.050% 07/29/05**@@ 35,390 6,400 California Educational Facilities Authority Revenue, Series 1999, (Bank of the West LOC), 2.010% 01/01/25** 6,400 14,275 California Educational Facilities Authority Revenue, Series 2000A, (Societe Generale LOC), 2.020% 10/01/27**# 14,275 11,745 California Health Facilities Financing Authority Revenue, (Catholic Healthcare Project) Series 1988B, (MBIA Insured, Morgan Guaranty Trust SBPA), 1.980% 07/01/16** 11,745 26,100 California Health Facilities Financing Authority Revenue, Catholic Healthcare Facility, Series 2004K, (Bank One N.A. LOC) 1.980% 07/01/33** 26,100 10,995 California Health Facilities Financing Authority Revenue, Series 1998CMC-6, (FSA Insured), 2.010% 06/01/12**# 10,995 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 6,993 1,600 California Housing Finance Agency Revenue, Multi-Family Housing, Series 2002III-A, AMT (GO Of Agency, Fannie Mae SBPA) 2.040% 02/01/37** 1,600 1,310 California Housing Finance Agency Revenue, Series 1995, AMT, (MBIA Insured, Credit Suisse First Boston SBPA), 2.040% 08/01/26**# 1,310 8,045 California Housing Finance Agency Revenue, Series 2000, AMT, (State Street Bank & Trust Company LOC), 2.110% 08/01/29** 8,045 5,000 California Housing Finance Agency Revenue, Series 2001E, AMT, (Go of Agency Insured, Fannie Mae SBPA), 2.040% 02/01/36** 5,000 2,100 California Housing Finance Agency Revenue, Series 2002M, AMT, (Bank of Nova Scotia SBPA), 2.140% 02/01/25** 2,100 27,600 California Housing Finance Agency Revenue, Series 2002Q, AMT, (Bank of Nova Scotia Liquidity Facility), 2.050% 08/01/33** 27,600 2,435 California Housing Finance Agency Revenue, Series 2003U, (FSA Insured, Dexia Credit Local Liquid Facility) 2.250% 02/01/31** 2,435 8,040 California Housing Finance Agency Revenue, Series 2004E-2, AMT, (JP Morgan Chase Liquidity Facility), 1.650% 02/01/35** 8,040 4,000 California Housing Finance Agency, Series 2004, (Merrilly Lynch Captial Services, SBPA), 2.070% 11/01/07**# 4,000 2,380 California Infrastructure & Economic Development Bank IDR, Series 2003, AMT, (Mellon 1st Business Bank LOC, Mellon Bank N.A. LOC), 2.100% 08/01/28** 2,380 22,070 California Infrastructure & Economic Development Bank Revenue, Series 2003A, (AMBAC Insured, Citibank N.A. SBPA), 2.020% 07/01/37**# 22,070 7,000 California Infrastructure & Economic Development Bank Revenue, Series 2003A, (FGIC Insured), 2.020% 07/01/29**# 7,000 4,000 California Infrastructure & Economic Development Bank Revenue, Series 2003A, (Wells Fargo Bank N.A. LOC), 2.000% 09/01/28** 4,000 4,855 California Infrastructure & Economic Development Bank Revenue, Series 2003B, AMT, 1.170% 04/01/33** 4,851
5,100 California Infrastructure & Economic Development Bank, IDR, (Kruger & Sons Inc. Project) Series 2002, AMT, (Bank of the West LOC), 2.050% 11/01/28** 5,100 29,450 California Infrastructure and Economic Development Bank Revenue, Series 2001, (Bank of New York LOC, Bank of California State Teacher LOC) 1.960% 11/15/37** 29,450 5,100 California M-S-R Public Power Agency Revenue, (San Juan Project) Series 1997E, (MBIA Insured, JP Morgan Chase Bank SBPA), 1.950% 07/01/22** 5,100 2,500 California Pollution Control Financing Authority Solid Waste Disposal, (Blue Line Transfer Project) Series 2002A, AMT, (Wells Fargo Bank LOC), 2.070% 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), 2.120% 03/01/18**# 1,300 13,400 California Pollution Control Financing Authority, PCR, (Sierra Pacific Industries Project) Series 1993, (Wells Fargo Bank N.A. LOC), 2.020% 02/01/13** 13,400 37,830 California Schools Cash Reserve Program Authority, Series 2004A, 3.000% 07/06/05 38,085 5,900 California State Economic Recovery, Series 2004 C-3, (State Guaranteed, Landesbank Hessen-Thrgn LOC), 2.100% 07/01/23** 5,900 12,075 California State Department of Water Resources and Power Supply Revenue, Series 2003, (MBIA-IBC Insured, Merrill Lynch Capital Services SBPA), 2.010% 05/01/11**# 12,075 5,175 California State Department of Water Resources Revenue, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.010% 12/01/10**# 5,175 11,205 California State Department of Water Resources, Power Supply Revenue, Series 2002B-1, (Bank of New York LOC, California State Teachers Retirement LOC), 2.200% 05/01/22** 11,205 5,200 California State Department of Water Resources, Power Supply Revenue, Series 2002C-11, (KBC Bank N.V. LOC, Bank of Nova Scotia LOC), 1.950% 05/01/22** 5,200 61,060 California State Department of Water Resources, Power Supply Revenue, Series 2002C-8, (Bayerische Landesbank LOC), 1.960% 05/01/22** 61,060 19,400 California State Department Of Water Resources, Supple Revenue, Series 2002 C-7, (FSA Insured, Dexia Credit Local SBPA), 2.000% 05/01/22** 19,400 5,700 California State Economic Recovery Revenue, Series 2004C-16, (FSA Insured, State Guaranteed, Dexia Credit Local SBPA), 2.000% 07/01/23** 5,700 15,000 California State, Economic Recovery Revenue, Series 2004C-1, (State Guaranteed, Landesbank Baden-Wurttemberg SBPA), 2.250% 07/01/23** 15,000 12,000 California State, Economic Recovery Revenue, Series 2004C-10, (State Guaranteed, Banque Nationale de Paris LOC), 2.000% 07/01/23** 12,000 19,200 California State, Economic Recovery Revenue, Series 2004C-4, (State Guaranteed, JP Morgan Chase Bank SPA), 2.200% 07/01/23** 19,200 9,375 California State, Economic Recovery, GO, Series 2004, (Citibank N.A. Liquidity Facility), 1.700% 07/01/23**@@ 9,375 18,650 California State, Kindergarten University Series 2004 A-3, (Citibank N.A. LOC, California State Teacher Retirement Fund LOC), 2.250% 05/01/34** 18,650 9,000 California State, Kindergarten University, (Citibank N.A. LOC, California State Teacher Retirement Fund LOC), 1.970% 05/01/34** 9,000
4,935 California Statewide Communities Development Authority Revenue, (Fairfax Senior Citizens Housing Project) Series 2000A, 1.970% 09/15/30** 4,935 5,000 California Statewide Communities Development Authority Revenue, (Hanna Boys Center Project) Series 2002, (Northern Trust Company LOC), 2.000% 12/31/29** 5,000 3,900 California Statewide Communities Development Authority Revenue, IDR, (Multiple Peptide Systems Project) Series 2002A, AMT, (Bank of the West LOC), 2.050% 12/01/17** 3,900 3,000 California Statewide Communities Development Authority TRAN, Series 2004B-1, (FSA Insured), 3.500% 07/29/05 3,033 10,900 California Statewide Communities Development Authority, Multi-Family Revenue, (Canion Country Apartments) Series 2002M, AMT, (FHLMC Liquidity), 2.020% 12/01/34** 10,900 7,350 California Statewide Communities Development Authority, Multi-Family Revenue, (Greentree Senior Apartments Project) Series 2000P, AMT, (FNMA Liquidity Facility), 2.000% 11/15/30** 7,350 6,000 California Statewide Communities Development Authority, Multi-Family Revenue, (Maple Square Apartments Project) Series 2004, AMT, (Citibank N.A. LOC), 2.050% 08/01/39** 6,000 5,970 California Transit Finance Authority Revenue, Series 1997, (FSA Insured, Credit Suisse First Boston LOC), 2.000% 10/01/27** 5,970 1,700 Carlsbad, California Unified School District Certificates of Participation, (School Facilities Bridge Funding Program) Series 2001, (FSA Insured, First Union National Bank SBPA), 1.950% 09/01/24** 1,700 3,185 Carson, California Redevelopment Agency, Series 2003, (MBIA Insured), 2.020% 10/01/19**# 3,185 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 1,000 Contra Costa Transportation Authority Sales Tax Revenue, Series 1993, (FGIC insured), 6.000% 03/01/05 1,007 5,000 Duarte, California Redevelopment Agency Revenue, Certificates of Participation, (Johnson Duarte Partners Project) Series 1984B, (General Electric Capital Corporation LOC), 1.940% 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), 1.940% 12/01/14**# 7,000 4,080 East Bay Municipal Utility District, California Water System Revenue, Series 2003, (MBIA Insured, Citigroup Global Markets Liquidity Facility), 2.020% 06/01/19**# 4,080 35,710 Eastern Municipal Water District, California Water & Sewer Revenue, Certificates of Participation, Series 2003B, (MBIA Insured, Lloyds TSB Bank plc SBPA), 1.950% 07/01/33** 35,710 14,000 Fontana, California Unified School District TRAN, Series 2004, 2.500% 07/06/05 14,063 31,695 Fremont, California Certificates of Participation Revenue, (Capital Improvement Funding Project) Series 2001, (ScotiaBank LOC), 2.000% 08/01/30** 31,695 50,000 Fresno County, California TRAN, Series 2004-5, 3.000% 06/30/05 50,345 335 Fresno, California Airport Revenue, Series 2000B, AMT, (FSA Insured), 5.000% 07/01/05 340
5,500 Fullerton, California School District GO, Series 2002, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.010% 08/01/21**# 5,500 1,745 Goleta, California Water District Revenue Certificates Partnership, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility), 2.020% 12/01/22**# 1,745 3,630 Indio, California Multi-Family Housing Revenue, (Western Federal Savings Project) Series 1985, (Wells Fargo and Company LOC), 2.100% 06/01/05** 3,630 5,650 Indio, California Multi-Family Housing Revenue, Series 1996A, (FNMA Collateral Agreement), 1.960% 08/01/26** 5,650 4,900 Lassen, California Municipal Utility District Revenue, Series 1996A, AMT, 2.070% 05/01/08** 4,900 13,000 Long Beach, California GO, AMT, (FGIC Insured, Citibank SBPA), 2.060% 05/15/15**# 13,000 3,515 Long Beach, California Harbor Revenue, Series 2002B, AMT, (MBIA Insured), 3.000% 05/15/05 3,530 4,998 Long Beach, California Municipal Securities Trust Receipts Revenue, Series 1998CMC-1, AMT, (FGIC Insured, JP Morgan Chase SBPA), 2.030% 05/15/07**# 4,998 18,700 Los Angeles California Department Of Airports, (Sub Los Angeles International Airport), Series 2002C-1, (Bayerische Landesbank LOC, JP Morgan Chase Bank LOC, Landesbank Baden-Wurttm LOC) 1.950% 05/15/20** 18,700 20,000 Los Angeles California Metropolitan Transportation, Series 2005, 1.850% 02/08/05 20,000 10,900 Los Angeles California Water and Power Revenue, (Power System) Series 2002A-2 (Bayerische Landesbank, BNP Paribas, Dexia Credit Local, JP Morgan Chase Bank, Westdeutsche Landesbank Girozentrale SBPA) 1.950% 07/01/35** 10,900 9,800 Los Angeles California Water and Power Revenue, (Power System), Series 2002A-4, (Bayerische Landesbank, BNP Paribas, Dexia Credit Local, JP Morgan Chase Bank, Westdeutsche Landesbank Girozendtrale SBPA) 1.960% 07/01/35** 9,800 20,000 Los Angeles California, Series 2004, 6.000% 06/30/05 20,392 63,785 Los Angeles County, California Housing Authority Multi-Family Housing Revenue, AMT, 2.070% 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), 2.010% 01/01/07**# 11,660 9,700 Los Angeles County, California Metropolitan Transportation Authority, Sales Tax Revenue, Series 2004A, (MBIA Insured, Citibank N.A. Liquidity Facility), 2.020% 07/01/34**# 9,700 14,905 Los Angeles County, California Taxes and Revenue Antic, Series 2004A, 3.000% 06/30/05 14,982 32,200 Los Angeles Department of Water & Power Revenue, Series 2002A-3, (Bayerische Landesbank, BNP Paribas, Dexia Credit Local, JP Morgan Chase Bank, and Westdeutsche Landesbank Girozentrale 20% each, SBPA), 1.960% 07/01/35** 32,200 10,000 Los Angeles Metropolitan Transportation, Series 2004, AMT, (BLB/LBBW/WESTLB SBPA, Dir-Pay LOC), 1.800% 02/10/05 10,000 11,800 Los Angeles, California Community Redevelopment Agency, Multi-Family Housing Revenue Refunding, (Grand Promenade Project) Series 2002, (FHLMC Liquidity Facility), 1.960% 04/01/32** 11,800
17,965 Los Angeles, California Community Redevelopment Agency, Multi-Family Housing Revenue, (Second and Central Apartments Project) Series 2003A, AMT, (HSBC Bank USA LOC), 1.980% 12/01/38** 17,965 37,000 Los Angeles, California TRAN, Series 2004, 3.000% 06/30/05 37,267 30,000 Los Angeles, California TRAN, Series 2004, 3.500% 06/30/05 30,291 23,125 Los Angeles, California Unified School District Certificates of Participation, (Belmont Learning Complex Project) Series 1997A, (Commerzbank A.G. LOC), 1.950% 12/01/17** 23,125 14,705 Los Angeles, California Unified School District TRAN, Series 2004A, 3.000% 09/01/05 14,850 12,995 Los Angeles, California Water & Power Revenue, Series 2001, (MBIA Insured, JP Morgan Chase Liquidity Facility), 2.010% 01/01/09**# 12,995 5,225 Manteca, California Financing Authority Sewer Revenue, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.010% 12/01/08** 5,225 15,900 Metropolitan Water District of Southern California Waterworks Revenue Refunding, Series 2002B, (Lloyds TSB Bank plc SBPA), 1.960% 07/01/20** 15,900 4,700 Metropolitan Water District of Southern California Waterworks Revenue, Series 2001B-1, (Dexia Credit Local SBPA), 1.950% 07/01/20** 4,700 21,100 Metropolitan Water District of Southern California Waterworks Revenue, Series 2003C-2, (Dexia Credit Local SPA), 1.950% 07/01/30** 21,100 13,800 Metropolitan Water District of Southern California Waterworks Revenue, Series 2003C-3, (Dexia Credit Local SBPA), 1.660% 07/01/30** 13,800 8,450 Metropolitan Water District of Southern California Waterworks Revenue, Series 2004A-1, (JP Morgan Chase SPA), 1.950% 07/01/23** 8,450 54,000 Metropolitan Water District Southern California Waterworks Revenue Refunding, Series 20002A, (Landesbank Baden-Wuerttemberg SBPA), 1.970% 07/01/25** 54,000 9,000 Metropolitan Water District Southern California Waterworks Revenue, Series 2004A-2, (JP Morgan Chase Bank SBPA), 1.970% 07/01/23** 9,000 20,460 Modesto, California District Certification Partnership, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch & Company GTY-AGMT), 2.010% 07/01/25**# 20,460 4,290 Morgan Hill, California United School District Receipts GO, Series 2000S, (FGIC Insured, Societe Generale SBPA), 2.010% 08/01/25** 4,290 5,935 Newport Mesa, California Unified School District GO, Series 2003, (FGIC Insured, Citigroup Global Markets Liquidity Facility), 2.020% 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 7,000 North California Transportation Agency, Series 2004, (Westdeutsche Landesbank, LOC), 1.820% 02/07/05 7,000 11,845 Oakland, California Redevelopment Agency Revenue, Series 2003, (FGIC Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY AGMT), 2.010% 03/01/11**# 11,845 12,700 Orange County, California Housing Authority Apartment Development Revenue Refunding, (Oasis Martinique Project) Series 1998I, (FNMA Collateral Agreement), 1.970% 06/15/28** 12,700 8,425 Orange County, California Special Financing Authority Revenue, Series 1995B, (AMBAC Insured, First Union National Bank SBPA), 1.970% 11/01/14**# 8,425
23,775 Orange County, California Special Financing Authority Revenue, Series 1995C, (AMBAC Insured, First Union National Bank SBPA), 1.970% 11/01/14** 23,775 11,085 Orange County, California Special Financing Authority Revenue, Series 1995D, (AMBAC Insured, First Union National Bank SBPA), 1.970% 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), 1.970% 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), 2.010% 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), 1.950% 09/01/23** 115 5,285 Pasadena, California Water Revenue, Series 2003, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.010% 06/01/27**# 5,285 5,900 Peralta, California Community College District, GO, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.010% 08/01/08**# 5,900 2,900 Pleasanton, California Multi-Family Housing Revenue, (Bernal Apartment Project) Series 2001A, AMT, (FNMA Liquidity Facility), 2.020% 09/15/34** 2,900 25,045 Pomona California Certificates Of Participation, (HSH Nordbank Agency LOC) 1.960% 01/01/34** 25,045 4,290 Poway, California Redevelopment Agency Tax Allocation, Series 2003R, (MBIA Insured, Citigroup Global Market Liquidity Facility), 2.020% 06/15/20**# 4,290 7,520 Poway, California Unified School District GO, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.010% 08/01/08**# 7,520 10,000 Regents of the University of California, 1.800% 02/04/05 10,000 12,600 Riverside County, California Housing Authority Multi-Family Housing Revenue, Series 1998A, AMT, (FHLMC Insured), 2.020% 01/15/29** 12,600 1,600 Riverside, California Electric Revenue, Series 1998, (AMBAC Insured, JP Morgan Chase Liquidity Facility), 2.010% 10/01/11**# 1,600 5,970 Rowland, California Unified School District GO, Series 2003, (FSA Insured, Citigroup Global Markets Liquidity Facility), 2.020% 08/01/22**# 5,970 8,300 Sacramento California Congeneration Authority Congeneration Project Revenue, (Procter & Gamble Project), Series 2003, 6.500% 07/01/21** 8,651 3,750 Sacramento County, California Housing Authority Multi-Family Housing Revenue Refunding, (Sun Valley Apartments Project) Series 2001F, AMT, (FNMA Liquidity Facility), 2.000% 02/15/31** 3,750 12,000 Sacramento County, California Housing Authority, Multi-Family Housing Revenue Refunding, (Pointe Natomas Apartments Project) Series 2001E, 1.960% 02/15/31** 12,000 10,200 Sacramento County, California Multi-Family Housing Revenue Refunding, (Woodbridge Apartments Project) Series 2004B, (FNMA Liquidity Facility), 1.960% 06/15/34** 10,200 3,300 San Bernardino County, California Certificates of Participation, (County Center Refinancing Project) Series 1996, (BNP Paribas LOC), 1.960% 07/01/15** 3,300 15,550 San Bernardino County, California Certificates of Participation, (Medical Center Financing Project) Series 1998, (MBIA Insured, Landesbank Hessen Thueringen SBPA), 1.950% 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), 1.960% 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), 2.030% 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), 2.010% 06/01/05** 3,500 4,500 San Diego County, Series 2004, (HELABA Insured, Dir-Pay LOC), 1.800% 02/07/05 4,500 30,650 San Francisco Bay Area, California Toll Bridge Revenue, (San Francisco Bay Area Project) Series 2001A, (AMBAC Insured, Bayerische Landesbank SBPA), 1.950% 04/01/36** 30,650 14,000 San Francisco California City & County Housing Authority Multfamily Revenue, Series 2004, (Citibank N.A. LOC), 2.030% 09/01/49** 14,000 8,405 San Francisco City and County, California Multi-Family Housing Revenue, (8th and Howard Family Apartments) Series 2000B, AMT, (Citibank, N.A. LOC), 2.010% 12/01/34** 8,405 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), 2.010% 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), 2.010% 12/01/17** 15,925 16,240 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue, (Notre Dame Apartments Project) Series 2000G, AMT, (Citibank, N.A. LOC), 2.000% 12/01/33** 16,240 7,200 San Francisco City and County, California Redevelopment Agency Multi-Family Housing Revenue, (South Harbor Project) Series 1986, (Credit Local De France LOC), 2.000% 12/01/16** 7,200 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), 2.020% 12/01/17** 3,000 7,500 San Francisco County, California Transportation Authority, Series A, (Landesbank Baden-Wurttemberg Liquidity Facility), 1.720% 02/11/05 7,500 12,500 San Francisco Transportation Authority, Series 2004A, (Landsebank Baden-Wurttemberg Liquidity) 1.850% 02/11/05 12,500 9,100 San Joaquin County, California Transportation Authority, Sales Tax Revenue, 1.780% 03/04/05 9,100 15,700 San Joaquin Transportation Authority, Series 2004, (Westdeutsche Landesbank, LOC), 1.800% 03/04/05 15,700 450 San Jose Financing Authority, Series 2004, ( State ST/Calstrs, LOC), 2.020% 07/01/05 450 6,520 San Jose, California Financing Authority Lease Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.010% 06/01/10**# 6,520 10,496 San Jose, California Financing Authority, (State Street Bank & Trust LOC, California State Teachers Retirement System LOC), 1.850% 07/01/05 10,496 11,500 San Jose, California Multi-Family Housing Revenue, (Pollard Plaza Apartments Project) Series 2002D, AMT, (FHLMC Liquidity Facility), 2.000% 08/01/35** 11,500
6,594 San Jose, California Multi-Family Housing Revenue, (Sunset Square Apartments Project) Series 2002E, AMT, 2.050% 06/01/34** 6,594 15,290 San Jose, California Multi-Family Housing Revenue, (Turnleaf Apartments Project) Series 2003A, AMT, (FHLMC Liquidity Facility), 2.000% 06/01/36** 15,290 3,700 San Jose, California Multi-Family Housing Revenue, Series 1990, (Wells Fargo and Company LOC), 2.030% 02/01/20** 3,700 5,195 San Ramon Valley Califorina Unified School District, Series 2004, (Merrill Lynch Cap Services, SBPA), 2.010% 08/01/23**# 5,195 14,840 Santa Rosa County California Housing Authority, Multi_Family Housing Revenue, ( Apple Creek Apartment) Series 1985 E, (Freddie Mac Insured, Freddie Mac Liquidity Facility) 1.980% 03/01/12** 14,840 4,375 Santa Rosa, California High School District, GO, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.010% 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), 1.950% 09/01/26** 500 15,500 Simi Valley, California Community Development Agency Multi-Family Housing Revenue, Series 1985A, (FHLMC Collateral Agreement), 2.040% 05/01/10** 15,500 18,975 South Coast, California Local Education Angencies TRAN, Series 2004, 3.000% 06/30/05 19,090 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), 2.040% 02/01/35** 15,980 5,900 Southern California Metropolitan Water District Waterworks Revenue, Series 2000B-3, (Westdeutsche Landesbank SBPA), 2.100% 07/01/35** 5,900 4,930 Southern California Public Power Authority, Power Project Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.010% 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), 1.950% 06/01/13** 9,100 9,000 Tahoe Forest, California Hospital District Revenue, Series 2002, (US Bank N.A. LOC), 2.220% 07/01/33** 9,000 2,200 Turlock, California IRR District Certificates of Participation Revenue Refunding, Series 2001, (Societe Generale LOC), 2.200% 01/01/31** 2,200 3,000 University of California Revenue, 1.700% 02/15/05 3,000 7,655 University of California Revenue, Series 2003, (FSA Insured, Merrill Lynch Capital Services SPA), 2.010% 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), 1.950% 07/01/30** 2,600 7,755 Vallejo, California Certificates of Participation, (Capital Improvement Project) Series 2003, (Union Bank of CA, N.A. LOC, California State Teachers Retirement LOC), 2.060% 12/01/23** 7,755 7,845 Vallejo, California Water Revenue, Series 2001A, (KBC Bank NV LOC), 2.130% 06/01/31** 7,845 5,990 West Contra Costa, California Unified School District GO, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.010% 08/01/24**# 5,990 --------- 2,042,673 ---------
PUERTO RICO - 4.0% 7,000 Puerto Rico Commonwealth GO, Series 2001, (FSA Insured, Bank of New York Liquidity Facility), 2.000% 07/01/27**# 7,000 16,135 Puerto Rico Commonwealth Highway and Transportation Authority Revenue, Series 1999, (AMBAC Insured, Merrill Lynch Liquidity Facility), 1.990% 01/01/19**# 16,135 19,295 Puerto Rico Commonwealth Highway and Transportation Authority Revenue, Series 2003, (FGIC Insured, Merrill Lynch Capital Services SBPA), 1.990% 01/01/11**@@ 19,295 9,000 Puerto Rico Infrastructure Financing Authority, 2.000% 10/01/34**# 9,000 9,725 Puerto Rico Infrastructure Financing Authority, 2.000% 10/01/34**# 9,725 14,275 Puerto Rico Public Buildings Authority Revenue, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA) 1.990% 01/01/13**# 14,275 5,085 Puerto Rico Public Financing Corporation, Series 2004, (Citibank N.A. Liquidity Facility), 2.000% 08/01/30**# 5,085 ---------- 80,515 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $2,123,188) 2,123,188 ---------- TOTAL INVESTMENTS (Cost $2,123,188*) 103.9% 2,123,188 ---------- OTHER ASSETS AND LIABILITIES (NET) (3.9)% (79,227) ---------- NET ASSETS 100.0% $2,043,961 ==========
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $2,123,188. ** Variable rate demand notes. The interest rate shown reflects the rate in effect at December 31, 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 NOTES TO FINANCIAL STATEMENTS. NATIONS MONEY MARKET FUNDS NATIONS CASH RESERVES SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------- --------- ASSET-BACKED SECURITIES - 3.3% ASSET-BACKED - AUTO LOANS - 0.6% $20,402 Americredit Automobile Receivables Trust, Series 2004-CA, Class A1, 1.765% 09/06/05 $ 20,402 38,788 Nissan Auto Lease Trust, Series 2004-A, Class A1, 2.106% 10/17/05 38,788 109,269 Nissan Auto Receivables Owner Trust, Series 2004-C, Class A1, 1.930% 09/15/05 109,268 72,302 Volkswagen Auto Lease Trust, Series 2004-A, Class A1, 1.999% 09/20/05 72,302 72,218 Wachovia Auto Owner Trust, Series 2004-B, Class A1, 1.813% 09/20/05 72,218 --------- 312,978 --------- ASSET-BACKED - OTHER - 2.7% 300,000 Cheyne High Grad ABS CDO, Ltd., Series 2004-1A, Class A1, 2.280%! 02/10/05!!# 300,001 54,944 CIT Equipment Collateral, Series 2004-DFS, Class A, 2.095% 10/20/05# 54,944 150,000 Davis Square Funding, Ltd., Series 2003-1A, Class A1E, 2.477%! 02/16/05!!# 150,000 37,083 G-Star Ltd., Series 2002-2A, Class A1MB, 2.498%! 02/25/05!!# 37,083 21,587 Great America Leasing Receivables, Series 2004-1, Class A1, 2.130% 07/20/05# 21,587 6,348 John Deere Owner Trust, Series 2004-A, Class A1, 1.140% 05/13/05 6,348 175,000 Newcastle CDO, Ltd., Series 3A, Class 1MM, 2.447%! 02/24/05!!# 175,000 245,000 Phoenix-Mistic CBO, Ltd., Series 2002-1A, Class A1A, 2.130%! 03/15/05!!# 245,018 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, 2.481%! 02/25/05!!# 50,000 127,213 TIAA Commercial Real Estate Securitization, Series 2003-1A, Class A, 2.450%! 01/28/05!!# 127,213 90,000 Whitehawk CDO Funding, Ltd., Series 2004-1A, Class AMMB, 2.520%! 03/15/05!!# 90,000 121,400 Winston Funding Ltd., Series 2003-1, Class A1MB, 2.140%! 04/25/05!!# 121,400 --------- 1,418,594 --------- TOTAL ASSET-BACKED SECURITIES (Cost $1,731,572) 1,731,572 --------- BANK OBLIGATIONS - 23.1% BANK NOTES - 2.7% American Express Centurion Bank 100,000 2.378%! 01/31/05!! 99,992 250,000 2.367%! 02/16/05!! 249,982 100,000 Amsouth Bank N.A. 2.295%! 01/01/05!! 99,994 200,000 Fifth Third Bank 2.300%! 01/01/05!! 199,994 770,000 Wells Fargo Bank N.A., (San Francisco) 2.290%! 01/01/05!! 769,999 --------- 1,419,961 ---------
CERTIFICATES OF DEPOSIT - DOMESTIC - 1.3% 160,000 Chase Manhattan Bank USA N.A. 2.340%! 02/11/05!! 160,000 200,000 J.P. Morgan Securities Inc., 2.180% 01/12/05 200,000 50,000 National Bank of Commerce, (Tennessee) 2.310%! 01/01/05!! 49,992 283,000 Wells Fargo Bank N.A. 2.290%! 01/01/05!! 282,996 --------- 692,988 --------- CERTIFICATES OF DEPOSIT - YANKEE - 13.3% 300,000 Banque National De Paris (New York) 2.293%! 01/01/05!! 299,981 Barclays Bank plc, (New York) 300,000 2.280%! 01/01/05!! 299,995 80,000 2.449%! 03/29/05!! 79,966 350,000 Calyon, (New York) 1.800% 01/19/05 350,000 Canadian Imperial Commercial Bank, (New York) 395,000 2.800% 12/16/05 395,000 415,000 2.955% 12/30/05 415,000 Credit Agricole Indosuez, (New York) 250,000 2.295%! 01/01/05!! 249,983 40,000 2.295%! 01/01/05!! 39,998 100,000 2.308%! 01/01/05!! 100,000 500,000 2.335%! 02/17/05!! 499,969 Credit Suisse First Boston, (New York) 100,000 2.190% 01/12/05 100,000 268,000 2.390%! 02/22/05!! 267,994 75,000 2.570%! 03/29/05!! 75,008 385,000 1.978%! 04/05/05!! 384,980 250,000 2.445% 10/07/05 250,000 420,000 2.750% 11/14/05 420,000 700,000 Deutsche Bank AG, (New York) 2.179%! 04/20/05!!@@ 699,999 HBOS Treasury Services, (New York) 500,000 2.900% 12/23/05 500,000 200,000 2.950% 12/30/05 200,000 50,000 Nordea Bank Finland plc, (New York) 2.340%! 01/13/05!! 50,000 165,000 Swedbank (New York) 2.358%! 01/21/05!! 164,999 Toronto Dominion Bank, (New York) 340,000 2.350% 09/08/05 339,942 299,250 2.660% 11/09/05 299,199 200,000 Unicredito Italiano, (New York) 2.365% 09/12/05 199,966 Westpac Banking Corporation, (New York) 100,000 2.150% 01/10/05 100,000 100,000 2.150% 01/13/05 100,000 --------- 6,881,979 --------- PROMISSORY NOTES - 1.2% 510,000 Goldman Sachs Group Inc. 2.450%! 02/14/05!!@@ 510,000 100,000 Saturn Ventures II LLC 2.410%! 02/07/05!! 100,000 --------- 610,000 --------- TIME DEPOSITS - EURO - 4.6% 609,209 Dresdner Kleinworth Benson North America LLC, 2.000% 01/03/05 609,209 450,000 Fifth Third Bank 2.180% 01/03/05 450,000
500,000 National City Bank 2.125% 01/03/05 500,000 800,000 Societe Generale 2.313% 01/03/05 800,000 ---------- 2,359,209 ---------- TOTAL BANK OBLIGATIONS (Cost $11,764,137) 11,764,137 ---------- CORPORATE OBLIGATIONS - 30.1% COMMERCIAL PAPER - 16.75% Amstel Funding Corporation 68,645 Discount note 02/22/05# 68,417 200,000 Discount note 02/28/05# 199,249 482,866 Discount note 03/15/05 480,496 78,634 Discount note 05/24/05# 77,845 127,190 Discount note 06/02/05 125,815 375,000 Discount note 06/15/05# 370,497 100,000 Aspen Funding Corporation Discount note 02/10/05# 99,806 Atlantis One Funding 162,184 Discount note 01/10/05# 162,111 59,564 Discount note 01/13/05# 59,528 75,171 Discount note 01/18/05# 75,107 107,000 Discount note 01/20/05# 106,899 119,605 Discount note 02/15/05# 119,342 Bavaria TRR Corporation 200,000 Discount note 01/05/05 199,948 1,500 Discount note 01/21/05 1,498 80,000 Bear Stearns Companies Inc. 2.563%! 01/01/05!! 80,053 Concord Minutemen Capital Corporation 61,000 2.380%! 01/12/05!! 61,000 52,750 2.380%! 02/11/05!! 52,750 76,364 Crown Point Capital Corporation Discount note 06/13/05 75,458 250,000 Depfa Bank, plc Discount note 08/26/05 245,564 280,000 Descartes Funding Trust 2.403%! 02/15/05!! 280,000 76,600 Dorada Corporation Discount note 02/22/05 76,346 50,000 Edison Asset Securitization LLC Discount note 02/07/05# 49,909 50,000 Fairway Finance Corporation 2.360%! 02/22/05!! 50,000 50,000 Gemini Securitization Corporation LLC Discount note 02/10/05# 49,903 200,000 General Electric Capital Services Discount note 02/09/05 199,621 Giro Balanced Funding Corporation 57,233 Discount note 01/18/05# 57,184 47,401 Discount note 02/22/05# 47,241 133,929 Discount note 06/09/05 132,409 Goldman Sachs Group Inc. 170,000 2.040%! 01/18/05!! 170,000 200,000 2.390%! 01/18/05!! 200,000 385,000 Discount note 08/10/05 379,432 151,000 Discount note 10/31/05 147,524 Grampian Funding LLC 157,000 Discount note 02/18/05# 156,527 249,000 Discount note 02/28/05# 248,069 408,000 Discount note 03/14/05 406,017 71,000 Greenwich Capital Holdings 2.338%! 01/28/05!! 71,000 HBOS Treasury Services plc 195,000 Discount note 02/10/05 194,623
75,000 Discount note 02/11/05 74,847 7,000 Discount note 03/14/05 6,966 40,000 K2 (USA) LLC Discount note 02/11/05 39,919 150,000 Leafs LLC 2.420%! 02/22/05!!@@ 150,000 50,000 Mane Funding Corporation Discount note 01/19/05# 49,955 88,000 Millstone Funding Corporation Discount note 02/02/05 87,816 MOAT Funding LLC 200,000 Discount note 01/07/05# 199,940 100,000 Discount note 01/11/05# 99,951 100,000 Discount note 02/07/05# 99,818 Morgan Stanley 230,000 2.330%! 01/01/05!! 230,000 150,000 2.330%! 01/01/05!! 150,000 150,000 2.330%! 01/01/05!! 150,000 75,000 National City Bank 2.320%! 01/01/05!! 74,997 100,000 Newport Funding Corporation Discount note 02/10/05# 99,807 Northern Rock Plc 70,000 Discount note 05/24/05# 69,299 100,000 Discount note 05/25/05# 98,992 150,000 Discount note 08/19/05# 147,422 40,000 Rathgar Capital U.S. Corporation 2.008%! 01/14/05!!# 40,000 Sigma Finance Inc. 100,000 Discount note 02/23/05 99,658 250,000 1.985%! 04/11/05!!# 249,942 Silver Tower US Funding 300,000 Discount note 03/11/05 298,603 45,000 Discount note 08/18/05# 44,227 114,661 Solitaire Funding LLC Discount note 02/22/05# 114,277 Strips III LLC 49,820 2.467%! 02/24/05!!# 49,820 38,508 2.467%! 02/24/05!! 38,508 122,910 Thames Asset Global Securization Discount note 04/07/05 122,091 148,448 Tulip Funding Corporation Discount note 01/18/05 148,280 50,000 White Pine Finance LLC 2.310%! 01/01/05!!# 49,999 --------- 8,662,322 --------- CORPORATE BONDS AND NOTES - 13.4% 1,515 2320 Properties LLC 2.420%! 01/06/05!!# 1,515 2,670 2440 LLC 2.420%! 01/06/05!!# 2,670 330 4-L Co of Carmel 2.480%! 01/06/05!! 330 3,370 Acme Paper & Supply Company 2.540%! 01/06/05!!# 3,370 300,000 American Express Credit Corporation 2.381%! 02/07/05!! 300,000 8,960 Arogas Inc. 2.470%! 01/06/05!!# 8,960 3,930 Atlanta Bread Company 2.440%! 01/06/05!! 3,930 1,750 Avatar Corporation 2.420%! 01/06/05!!# 1,750 125,000 Bank of New York Company, Inc. 2.438%! 01/27/05!!# 125,000
15,000 Bear Stearns Companies Inc. 2.885%! 03/18/05!! 15,013 4,745 Berkeley Realty Company LLC 2.520%! 01/06/05!! 4,745 4,380 Berks Medical Realty LP 2.470%! 01/06/05!!# 4,380 207,000 Beta Finance Inc 2.485% 11/07/05# 206,956 1,060 Bracalente Manufacturing 2.570%! 01/06/05!! 1,060 5,595 Brewster Dairy Inc. 2.480%! 01/06/05!! 5,595 1,450 Brookville Enterprises 2.420%! 01/06/05!! 1,450 4,650 Brookwood Baptist Church 2.490%! 01/06/05!! 4,650 1,400 Canal Pointe LLC 2.420%! 01/06/05!! 1,400 90,000 Caterpillar Finance Service Corporation 2.550%! 03/01/05!! 90,000 7,450 Caterpillar Real Estate Holding LLC 2.590%! 01/07/05!! 7,450 204,000 CC (USA) Inc. 2.485% 11/04/05# 203,957 6,800 Chatham Capital Corporation 2.370%! 01/06/05!! 6,800 10,000 Citigroup Global Markets 2.710%! 03/18/05!! 10,005 5,150 Clinic Building LLC Project 2.480%! 01/06/05!! 5,150 1,525 Cole Investments LLC 2.420%! 01/06/05!! 1,525 2,300 Colortech Inc. 2.480%! 01/06/05!! 2,300 50,000 Columbus Bank and Trust 2.465%! 02/23/05!! 50,000 1,475 Commodore Medical Services 2.420%! 01/06/05!! 1,475 14,070 Conestoga Wood Specialty 2.450%! 01/06/05!!# 14,070 5,895 Cornell Iron Works Inc. 2.470%! 01/06/05!! 5,895 Countrywide Home Loan 63,000 2.425%! 02/23/05!! 63,002 20,000 2.875%! 02/23/05!! 20,014 Credit Suisse First Boston USA Inc. 21,900 2.508%! 01/14/05!! 21,904 50,000 2.200%! 02/04/05!! 50,017 5,000 Crosspoint Community Church 2.490%! 01/06/05!! 5,000 2,700 Cumberland College 2.420%! 01/06/05!! 2,700 2,140 DAPSCO Inc. 2.420%! 01/06/05!!# 2,140 3,420 Defiance Metal Company 2.530%! 01/06/05!! 3,420 800 Derby Fabricating LLC 2.420%! 01/06/05!! 800 8,155 DJD Investments LLC 2.490%! 01/06/05!! 8,155 16,210 Driftwood Landing Corporation 2.480%! 01/06/05!! 16,210 7,800 Eastridge Christian Assement 2.470%! 01/06/05!! 7,800 3,000 Eau Claire Cooperative Health 2.490%! 01/06/05!! 3,000
4,315 EB & B Properties LLC 2.560%! 01/07/05!! 4,315 5,798 Edgewater Partners LP 2.490%! 01/06/05!! 5,798 1,000 Executive Management 2.420%! 01/06/05!! 1,000 3,000 First United Pentecostal 2.490%! 01/06/05!! 3,000 3,360 Florida Orthopedic Institute 2.520%! 01/06/05!!# 3,360 4,775 Galday Inn Inc. 2.520%! 01/06/05!!# 4,775 13,750 Garlands of Barrington 2.450%! 01/06/05!! 13,750 20,000 General Electric Capital Corporation 2.540%! 01/01/05!!# 20,011 3,965 Greenbrier Partners LLC 2.440%! 01/06/05!!# 3,965 3,130 Han Sung Industries 2.520%! 01/06/05!!# 3,130 100,000 Harrier Finance Funding LLC 2.383%! 02/15/05!!# 99,993 155 Horizon Development Company LLC 2.480%! 01/05/05!!# 155 7,395 Hospital Laundry Services 2.490%! 01/06/05!!# 7,395 2,470 Imaging Business Machines LLC 2.510%! 01/17/05!! 2,470 3,390 Jackson Tube Service Inc. 2.520%! 01/16/05!!# 3,390 7,160 James A. Martin and Donna F. Martin 2.470%! 01/06/05!! 7,160 2,000 Johnson Bible College 2.490%! 01/06/05!! 2,000 5,220 Johnson Research and Development 2.470%! 01/06/05!!# 5,220 50,000 JP Morgan Chase & Company, Series C 2.610%! 02/24/05!! 50,023 155 JX Enterprises Group 2.480%! 01/06/05!!# 155 K2 (USA) LLC 100,000 2.370%! 01/31/05# 99,993 200,000 2.373%! 02/25/05!!# 199,959 80,000 2.385% 09/13/05# 79,997 8,500 Kinder Care Learning Center 2.700%! 01/15/05!!# 8,500 11,925 King & Prince Seafood 2.410%! 01/07/05!! 11,925 2,770 L & H Holdings LLC 2.610%! 01/07/05!! 2,770 13,300 L.E. Pope Building Company 2.470%! 01/06/05!!# 13,300 12,240 Lincoln Park Association, Ltd 2.550%! 01/06/05!! 12,240 Links Finance LLC 110,000 2.300%! 01/01/05!!# 109,975 75,000 2.361%! 02/25/05!!# 75,006 275,000 Links Finance LLC, MTN 2.180% 07/15/05# 274,985 7,940 Loft Quest LLC 2.490%! 01/06/05!! 7,940 3,185 Long Term Capital LLC 2.510%! 01/07/05!! 3,185 50,700 LP Pinewood SPV 2.420%! 01/06/05!! 50,700 2,235 M & P Richfield LLC 2.480%! 01/06/05!! 2,235
190 Macatawa Bank Corporation 2.590%! 01/06/05!! 190 3,000 Marital Trust 2 2.490%! 01/06/05!! 3,000 4,150 Mark-Lynn Foods 2.440%! 01/06/05!! 4,150 1,480 Massachusetts Nursing 2.450%! 01/01/05!! 1,480 1,600 Max Daetwyler Corporation 2.590%! 01/06/05!!# 1,600 Merrill Lynch and Company, Inc., MTN, Series C 300,000 2.230%! 02/01/05!! 300,000 200,000 2.240%! 02/17/05!! 200,000 325,000 2.340%! 03/01/05!! 325,000 185,730 Merrill Lynch and Company, Inc., Series B 2.601%! 02/25/05!! 185,792 5,856 Michael J Barry 2.490%! 01/06/05!! 5,856 2,250 Midtown Church of Christ 2.590%! 01/07/05!! 2,250 400,000 Morgan Stanley, MTN, Series C 2.523%! 02/15/05!! 400,000 2,860 Multimetco Inc. 2.490%! 01/06/05!! 2,860 5,545 Ness Family Partners LP 2.620%! 01/05/05!! 5,545 100,000 Northern Rock plc 2.023%! 01/13/05!!# 100,000 7,500 Okolona Christ Church 2.480%! 01/06/05!! 7,500 13,500 Park State Properties I LLC 2.470%! 01/06/05!! 13,500 4,440 Pearlstine Distributors 2.440%! 01/07/05!! 4,440 Premier Asset LLC 75,000 2.313%! 01/01/05!!# 74,995 60,000 2.363%! 01/14/05!!# 60,000 4,000 Prevea Clinic Inc 2.420%! 01/13/05!! 4,000 5,098 PRL Corporation 2.480%! 01/06/05!! 5,098 50,000 Rathgar Capital U.S. Corporation 2.373%! 02/15/05!!# 50,000 1,555 RDR Investment Company 2.590%! 01/06/05!! 1,555 1,140 Red Lion Evangelical Free Church 2.590%! 01/06/05!! 1,140 1,750 Rehab of El Paso 2.290%! 01/01/05!! 1,750 32,460 RH Sheppard Company Inc. 2.420%! 01/06/05!!# 32,460 9,560 Robb and Stucky Ltd. 2.470%! 01/06/05!!# 9,560 3,000 Rogers Inc. 2.470%! 01/06/05!! 3,000 6,000 RT Anderson LLC 2.490%! 01/06/05!! 6,000 4,500 Sahtooma LLC 2.490%! 01/06/05!!# 4,500 6,800 Schlitz Park Associates II LP 2.350%! 01/01/05!! 6,800 9,500 Shephard Family 2.440%! 01/06/05!! 9,500 Sigma Finance Inc. 50,000 2.320%! 01/01/05!!# 50,000
200,000 2.340%! 01/01/05!!# 200,000 100,000 2.050%! 01/27/05!!# 99,999 450,000 2.216%! 02/14/05!!# 449,882 237,000 2.388%! 02/15/05!!# 237,002 Sigma Finance Inc., MTN 100,000 2.353%! 02/15/05!!# 99,984 250,000 2.353%! 02/15/05!!# 249,960 SLM Corporation 100,000 2.310%! 02/01/05!!# 99,990 48,045 2.670%! 03/15/05!! 48,123 188,000 2.496% 07/01/05 188,260 5,990 SMM Trust 2004-G 2.544%! 03/03/05!!# 5,990 SMM Trust 2004-H 90,615 2.530%! 03/23/05!!# 90,615 9,990 2.655%! 03/23/05!!# 9,990 66,736 SMM Trust 2004-M 2.553%! 03/15/05!! 66,736 2,155 Somar LLC 2.590%! 01/06/05!!# 2,155 4,665 South Georgia Motor Sports Park 2.440%! 01/06/05!! 4,665 20,000 Southtrust Bank N.A. 2.230%! 02/02/05!! 20,007 20,000 St. George Wellness Center 2.420%! 01/05/05!! 20,000 17,860 Suncoast Beverage Sales, Ltd. 2.450%! 01/06/05!!# 17,860 5,800 Supreme Beverage Company 2.490%! 01/06/05!! 5,800 9,735 Tack Capital Company 2.420%! 01/06/05!! 9,735 2,530 Talons Lake LLC 2.440%! 01/06/05!! 2,530 60,000 Tango Finance Corporation 2.383%! 01/27/05!!# 59,996 2,095 Temple Beth AHM 2.570%! 01/06/05!! 2,095 5,825 TIM-BAR Corporation 2.490%! 01/05/05!! 5,825 36,000 Toyota Motor Credit Corporation 2.420%! 02/09/05!! 36,029 8,227 Turf Valley Inc. 2.470%! 01/06/05!!# 8,227 7,985 United Steel Deck Inc. 2.440%! 01/06/05!!# 7,985 16,110 Valleydale Baptist Church 2.490%! 01/06/05!! 16,110 5,540 Venezia Enterprises 2.470%! 01/06/05!!# 5,540 1,160 Wallace Enterprises LP 2.480%! 01/06/05!! 1,160 10,000 Wellstone Mills LLC 2.420%! 01/06/05!! 10,000 6,930 West Ridge Enterprises 2.490%! 01/05/05!!# 6,930 Whistlejacket Capital LLC 30,000 2.310%! 01/01/05!!# 29,996 85,000 2.320%! 01/01/05!!# 84,999 White Pine Finance LLC 107,000 2.310%! 01/01/05!!# 106,984 120,000 2.358%! 01/18/05!!# 119,999 42,000 2.338%! 01/28/05!! 41,998 34,000 2.300%! 02/08/05!!# 33,994 2,925 Wilson Real Estate II 2.480%! 01/06/05!! 2,925 -------
6,882,934 ---------- TOTAL CORPORATE OBLIGATIONS (Cost $15,545,256) 15,545,256 ---------- EXTENDABLE COMMERCIAL NOTES - 4.7% 50,000 Ajax Bambino Funding Inc Discount note 01/11/05 49,967 75,000 Capital One MULTI-ASSET Discount note 03/09/05 74,657 140,000 Citibank Credit Card Master Trust Discount note 01/06/05# 139,959 23,000 CNN Bluegrass I LLC 2.490%! 02/18/05!!# 23,000 Concord Minutemen Capital Corporation 100,414 Discount note 01/12/05 100,340 200,328 Discount note 01/14/05 200,154 155,347 Discount note 01/24/05 155,109 Discover Card Master Trust 132,855 Discount note 02/22/05# 132,414 130,000 Discount note 02/23/05# 129,554 Georgetown Funding Corporation 400,000 Discount note 01/25/05 399,365 244,689 Discount note 02/04/05 244,130 MBNA Credit Card Master Trust 50,000 Discount note 02/10/05# 49,873 180,000 Discount note 03/07/05 179,220 135,000 Monument Gardens Funding LLC Discount note 02/17/05 134,595 Thornburg Mortgage Capital Resources 100,000 Discount note 01/12/05# 99,933 200,000 Discount note 01/13/05 199,841 100,000 Discount note 02/18/05 99,675 ---------- TOTAL EXTENDABLE COMMERCIAL NOTES (Cost $2,411,786) 2,411,786 ---------- FUNDING AGREEMENTS - 1.9% 100,000 GE Life Annuity 2.450%! 02/24/05!!@@ 100,000 50,000 Jackson National Life Insurance Company 2.570%! 03/14/05!!@@ 50,000 300,000 Monumental Life 2.430%! 02/01/05!!@@ 300,000 Transamerica Occidental Life Insurance Company 125,000 2.530%! 01/01/05!!@@ 125,000 20,000 2.290%! 02/01/05!!@@ 20,000 117,000 2.520%! 02/01/05!!@@ 117,000 100,000 2.170%! 04/01/05!!@@ 100,000 182,000 Travelers Insurance 2.250%! 01/29/05!!@@ 182,000 ---------- TOTAL FUNDING AGREEMENTS (Cost $994,000) 994,000 ---------- MORTGAGE-BACKED SECURITIES - 3.6% COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.6% 195,000 Aire Valley Mortgages, Series 2004-1A, Class 1A, 2.410%! 02/22/05!!# 195,000 650,000 Holmes Financing plc, Series 8, Class 1A, 2.353%! 02/15/05!! 650,000 365,000 Permanent Financing plc, Series 4, Class 1A, 2.320%! 02/10/05!! 365,000 248,000 Permanent Financing plc, Series 5, Class 1A, 2.350%! 02/10/05!! 248,000 185,000 Permanent Financing plc, Series 6, Class 1A 2.340%!! 02/10/05!! 185,000 224,082 Residential Mortgage Securities, Series 17A, Class A1, 2.400%! 02/14/05!!# 224,082 ----------
TOTAL MORTGAGE-BACKED SECURITIES (Cost $1,867,082) 1,867,082 --------- MUNICIPAL BONDS AND NOTES - 2.7% ALABAMA - 0.0%+ 8,300 Albertville, Alabama Industrial Development Board Revenue, (Mitchell Grocery Project) Series 2004, (Regions Bank LOC), 2.470%! 01/06/05!! 8,300 8,000 Montgomery, Alabama Revenue, (Riverfront Project) Series 2003, (Southtrust Bank N.A. LOC), 2.470%! 01/06/05!! 8,000 6,985 University of Alabama Revenue, Series 2004B, (MBIA Insured, Southtrust Bank N.A. SBPA), 2.420%! 01/06/05!! 6,985 --------- 23,285 --------- ALASKA - 0.1% 32,060 Alaska State Housing Finance Corporation, Series 2001C, (MBIA Insured, GO of Corporation), 2.450%! 01/06/05!! 32,060 --------- ARKANSAS - 0.0%+ 16,000 Northwest Regional Airport Authority Airport Revenue, Series 2004A, (Regions Bank LOC) 2.420%! 02/01/21!! 16,000 --------- CALIFORNIA - 0.5% 72,470 California Housing Finance Agency Revenue, Series 2000K, (FSA Insured), 2.450%! 01/05/05!! 72,470 53,200 California Housing Finance Agency Revenue, Series 2000R, (AMBAC Insured, Westdeutsche Landesbank LOC, Bayerische Landesbank LOC, KBC Bank NV LOC), 2.420%! 01/05/05!! 53,200 19,240 California Statewide Communities Development Authority TRAN, Series 2004C-1, (FSA Insured), 3.000% 06/30/05 19,282 28,435 Pasadena, California Public Financing Authority, Lease Revenue, (Paseo Colorado Package Facility Program) Series 2000, (AMBAC Insured, KBC Bank NV SBPA), 2.450%! 01/06/05!! 28,435 5,960 San Diego California Housing Authority Multifamily Housing Revenue, Series 2004, (FNMA Liquidity Facility) 2.570%! 01/06/05!! 5,960 1,000 San Jose, California Redevelopment Agency Revenue, Series 2002H, (Bank of New York LOC), 2.400%! 01/05/05!! 1,000 11,250 San Jose, California Redevelopment Agency Revenue, Series 2003A, (JP Morgan Chase Bank LOC), 2.450%! 01/05/05!! 11,250 22,000 Santa Rosa, California Rancheria Tachi Yokut Tribe Revenue, Series 2004, (Bank One N.A. LOC), 2.450%! 01/06/05!! 22,000 --------- 213,597 --------- COLORADO - 0.2% 34,295 Colorado Housing and Finance Authority, Series 2003, (JP Morgan Chase Bank SBPA), 2.420%! 01/05/05!! 34,295 54,160 Colorado Housing and Finance Authority, Single Family Mortgage Revenue, Series 2003B-2, (JP Morgan Chase Bank SBPA), 2.420%! 01/05/05!! 54,160 1,000 Denver City and County, Colorado Certificates of Participation, Series 2002B, (MBIA Insured, Bank One Colorado, N.A. SBPA), 2.380%! 01/05/05!! 1,000 6,900 Denver, Colorado City and County Certificates of Participation, (Justice Center Site Project) Series 2002C, (JP Morgan Chase Bank LOC), 2.450%! 01/05/05!! 6,900 --------- 96,355 ---------
CONNECTICUT - 0.1% 9,505 Connecticut State Development Authority Industrial Development Revenue, (Latex Foam International Project) Series 2002, (Wachovia Bank N.A. LOC), 2.470%! 01/06/05!! 9,505 37,230 Connecticut State Housing Finance Authority Revenue, (Housing Mortgage Finance Program) Series 2002C-3, (FHLB SBPA), 2.450%! 01/06/05!! 37,230 ------- 46,735 ------- DISTRICT OF COLUMBIA - 0.0%+ 7,500 District Columbia Revenue (National Realtors Project) Series 2003B, (Suntrust Bank LOC), 2.060%! 01/05/05!! 7,500 ------- FLORIDA - 0.3% 15,500 Florida Housing Finance Agency Revenue, Series 1993, (MBIA Insured, Westdeutsche Landesbank SBPA), 2.510%! 01/06/05!! 15,500 68,150 Florida Housing Finance Corporation Revenue, Series 2000A, (AMBAC Insured, Westdeutsche Landesbank SBPA), 2.510%! 01/06/05!! 68,150 34,250 Florida Housing Financing Corporation Revenue, (Taxable - Affordable Housing Project) Series 1999A, (MBIA Insured, Westdeutsche Landesbank SBPA), 2.510%! 01/06/05!! 34,250 34,500 Florida Housing Financing Corporation Revenue, Series 2002A, (AMBAC Insured, SBPA Dexia Credit Local), 2.400%! 01/06/05!! 34,500 ------- 152,400 ------- GEORGIA - 0.3% 500 Burke County, Georgia Development Authority IDR, (Fleetguard Income Project) Series 2003, (Fifth Third Bank LOC), 2.420%! 01/06/05!! 500 6,375 Columbus Georgia Development Authority Revenue, Series 2004, (Columbus Bank and Trust LOC) 2.440%! 01/06/05!! 6,375 3,500 Columbus, Georgia Development Authority Revenue, (Fairfield Inn Project) Series 2003, (Regions Bank LOC), 2.470%! 01/06/05!! 3,500 4,900 Columbus, Georgia Development Authority Revenue, (Residence Inn Project) Series 2003, (Regions Bank LOC), 2.470%! 01/06/05!! 4,900 74,796 Municipal Electric Authority of Georgia, (Bayerische Landesbank Girozentrale LOC, Wachovia Bank LOC, Westdeutsche Landesbank Girozentrale LOC) 2.250% 01/10/05 74,796 38,120 Municipal Electric Authority of Georgia, (Bayerische Landesbank Girozentrale LOC, Wachovia Bank LOC, Westdeutsche Landesbank Girozentrale LOC) 2.250% 01/10/05 38,120 12,930 Talbot County, Georgia Development Authority IDR, (Junction City Mining Company Project) Series 2000, (First Union National Bank LOC), 2.470%! 01/06/05!! 12,930 ------- 141,121 ------- ILLINOIS - 0.0%+ 11,700 Illinois Health Facilities Authority Revenue, Series 2002B, (Fifth Third Bank LOC), 2.470%! 01/05/05!! 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), 2.510%! 01/06/05!! 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), 2.560%! 01/06/05!! 7,600 -------
KENTUCKY - 0.0%+ 8,000 Webster County Kentucky Industrial Revenue, (Green River Project) Series 2004, (Regions Bank LOC) 2.420%! 01/06/05!! 8,000 ------- MARYLAND - 0.0%+ 2,940 Maryland State Industrial Development Financing Authority Economic Development Revenue, (Chesapeake Biology Lab Project) Series 1998, (First Union National Bank), 2.490%! 01/06/05!!# 2,940 ------- MASSACHUSETTS - 0.0%+ 1,750 Massachusetts State Development Financing Agency, Assisted Living Facilities Revenue, (Whalers Cove Project) Series 2001B, (First Union National Bank LOC), 2.590%! 01/06/05!! 1,750 19,865 Massachusetts State Housing Finance Agency Housing Revenue, (Avalon Flanders Project) Series 2004A, (JP Morgan Chase Bank LOC), 2.450%! 01/06/05!! 19,865 ------- 21,615 ------- MICHIGAN - 0.0%+ 950 Michigan State Housing Development Authority, Multi-Family Revenue, Series 2003, (FHLB LOC), 2.540%! 01/06/05!! 950 16,000 Michigan State Housing Development Authority, Series 2003D, (FSA Insured, Dexia Credit Local Liquidity Facility), 2.450%! 01/05/05!! 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), 2.450%! 01/01/05!! 6,995 ------- MISSISSIPPI - 0.5% 15,000 Mississippi Business Financing Corporation IDR, (Telepex Inc. Project) Series 2000, (First Union National Bank LOC), 2.420%! 01/06/05!! 15,000 9,305 Mississippi Business Financing Corporation Revenue, Series 1997B, (First Union National Bank LOC), 2.490%! 01/06/05!! 9,305 136,725 Mississippi State GO, (Taxable Nissan Project) Series 2003B, (Dexia Credit Local SBPA), 2.450%! 01/05/05!! 136,725 43,000 Pearl Mississippi Urban Renewal Revenue, Series A, (First Tennessee Bank LOC) 2.430%! 01/06/05!! 43,000 ------- 204,030 ------- NEW JERSEY - 0.0%+ 800 New Jersey Economic Development Authority Revenue, (Melrich Road Project) Series 2002B, (Wachovia Bank N.A.), 2.620%! 01/06/05!! 800 720 New Jersey Economic Development Authority Revenue, (PB Tower LLC Project) Series 2001, (First Union National Bank LOC), 2.570%! 01/06/05!! 720 6,150 New Jersey Economic Development Authority Revenue, Series 1997, (First Union National Bank LOC), 2.470%! 01/05/05!! 6,150 ------- 7,670 ------- NEW YORK - 0.2% 2,770 Clinton County, New York Industrial Development Agency IDR, (Bombardier Corporation Project) Series 1997A, (Marine Midland Bank LOC), 2.700%! 01/06/05!! 2,770 41,900 New York State Housing Finance Agency Revenue, (Taxable - 900 8th Avenue Housing Project) Series 2002B, (Key Bank, N.A. LOC), 2.470%! 01/05/05!! 41,900 22,800 New York State Housing Finance Agency Revenue, Series 2000, (FNMA Liquidity Facility), 2.400%! 01/05/05!! 22,800
8,000 New York State Housing Finance Agency Revenue, Series 2001, (FNMA Liquidity Facility), 2.400%! 01/05/05!! 8,000 4,700 New York, New York City Housing Development Corporation Mortgage Revenue, Series 2003, (Keybank N.A. LOC), 2.470%! 01/05/05!! 4,700 6,200 New York, New York City Housing Development Corporation Multi-Family Revenue, Series 2003, (HSBC Bank USA LOC), 2.420%! 01/05/05!! 6,200 12,865 New York, New York City Housing Development Corporation, Multi- Family Housing Revenue, Series 2002, (Bayerische Landesbank LOC), 2.400%! 01/05/05!! 12,865 --------- 99,235 --------- NORTH CAROLINA - 0.0%+ 10,200 Downtown Renaissance Inc., (Imperial Centre Project) (RBC Centura Bank LOC) 2.500%! 01/06/05!! 10,200 --------- 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), 2.460%! 01/06/05!! 1,000 --------- TENNESSEE - 0.0%+ 3,950 Hamilton County, Tennessee Industrial Development Board IDR, Series 1999, (First Union National Bank LOC), 2.540%! 01/06/05!! 3,950 450 Memphis, Tennessee Health Educational and Housing Facilities Board Revenue, (Springdale Creek Project) Series 2003B, (First Tennessee Bank LOC), 2.650%! 01/06/05!! 450 --------- 4,400 --------- TEXAS - 0.1% 43,790 Harris County - Houston, Texas, Sports Authority Special Revenue, Jr. Lien, Series 2001D, (MBIA Insured, Morgan Guaranty Trust SBPA), 2.540%! 01/06/05!! 43,790 23,935 Texas State GO, Taxable Veteran Housing, Series 2003, (Dexia Credit Local SBPA), 2.420%! 01/05/05!! 23,935 9,385 Texas State GO, Taxable Veterans Land, Series 2003, (State Street Bank and Trust Company SBPA), 2.450%! 01/04/05!! 9,385 --------- 77,110 --------- VIRGINIA - 0.3% 140,000 Virginia State Housing Development Authority Commonwealth Revenue, Series 1996E, 2.420%! 01/05/05!! 140,000 --------- WISCONSIN - 0.1% 9,000 Wisconsin Heart Hospital LLC Revenue, Series 2003, (Bank One N.A. LOC), 2.400%! 01/05/05!! 9,000 19,615 Wisconsin Housing and Economic Development Authority Home Ownership Revenue, Series 2003, (GO of Authority, Westdeutsche Landesbank SBPA), 2.510%! 01/04/05!! 19,615 --------- 28,615 --------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $1,381,363) 1,381,363 --------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 26.7% FEDERAL FARM CREDIT BANK (FFCB) - 0.2% 100,000 2.270%! 01/01/05!! 99,994 --------- FEDERAL HOME LOAN BANK (FHLB) - 11.3% 525,000 2.255%! 01/01/05!! 524,861
125,000 2.300%! 01/01/05!! 125,005 175,000 2.300%! 01/01/05!! 175,000 100,000 2.200%! 02/02/05!! 99,992 125,000 2.205%! 02/02/05!! 125,004 100,000 2.205%! 02/03/05!! 99,965 125,000 1.400% 02/25/05 125,000 600,000 2.315%! 03/08/05!! 599,773 150,000 1.450% 03/11/05 149,994 925,000 2.405%! 03/15/05!! 924,966 190,000 2.450%! 03/21/05!! 189,992 50,000 1.380% 03/28/05 50,000 275,000 1.910%! 04/05/05!! 274,890 350,000 1.350% 04/15/05 350,000 394,350 1.380% 04/15/05 394,334 201,000 1.380% 04/15/05 201,000 70,000 1.400% 04/15/05 69,990 670,000 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 ---------- 5,824,766 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 4.8% 850,000 2.090%! 02/01/05!! 849,979 650,000 2.220%! 02/01/05!! 649,983 680,000 1.500% 02/14/05 680,000 320,000 2.415%! 03/09/05!! 320,000 ---------- 2,499,962 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 10.4% 300,000 1.876%! 01/03/05!! 299,853 200,000 2.201%! 01/03/05!! 200,000 400,000 1.960%! 01/18/05!! 399,994 766,000 2.019%! 01/28/05!! 765,979 200,000 2.230%! 02/08/05!! 199,918 125,000 2.350%! 02/18/05!! 125,000 550,000 2.308%! 03/06/05!! 549,775 116,000 2.330%! 03/09/05!! 115,936 405,000 Discount note 03/15/05 403,522 500,445 Discount note 04/01/05 498,572 567,400 1.916%! 04/06/05!! 567,205 150,000 1.955%! 04/21/05!! 149,900 92,895 Discount note 04/29/05 92,348 1,045,000 Discount note 05/05/05 1,037,154 ---------- 5,405,156 ---------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $13,829,878) 13,829,878 ---------- U.S. TREASURY OBLIGATIONS - 0.1% U.S. TREASURY NOTES - 0.1% 50,000 1.500% 02/28/05 50,015 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $50,015) 50,015 ---------- REPURCHASE AGREEMENTS - 3.8% 12,000 Agreement with ABN AMRO 1.500% dated 12/31/04 to be repurchased at $12,002 on 01/03/05 collateralized by: U.S. Treasury Obligations; collateral valued at $12,240 12,000 500,000 Agreement with Countrywide Home Loans, Inc., 2.290% dated 12/31/04 to be repurchased at $500,095 on 01/03/05 collateralized by: U.S. Government and Agency Obligations; collateral valued at $510,000 500,000 100,000 Agreement with Credit Suisse First Boston Corporation, 2.300% dated 12/31/04 to be repurchased at $100,019 on 01/03/05 collateralized by: U.S. Treasury Obligations; collateral valued at $102,223 100,000
64,266 Agreement with Deutsche Bank Securities Inc., 2.200% dated 12/31/04 to be repurchased at $64,278 on 01/03/05 collateralized by: U.S. Government and Agency Obligations; Collateral valued at $65,552 64,266 274,454 Agreement with Goldman Sachs and Company, 1.520% dated 12/31/04 to be repurchased at $274,489 on 01/03/05 collateralized by: U.S. Treasury Obligations; collateral valued at $279,943 274,454 200,000 Agreement with Goldman Sachs and Company, 2.300% dated 12/31/04 to be repurchased at $200,038 on 01/03/05 collateralized by: Various Commercial Paper; collateral valued at $204,728 200,000 100,000 Agreement with J.P. Morgan Securities Inc., 2.300% dated 12/31/04 to be repurchased at $100,019 on 01/03/05 collateralized by: Various Commercial Paper; collateral valued at $102,549 100,000 400,000 Agreement with Morgan Stanley, 1.470% dated 12/31/04 to be repurchased at $400,049 on 01/03/05 collateralized by: U.S. Treasury Obligations; collateral valued at $409,020 400,000 332,611 Agreement with UBS Securities Inc., 1.600% dated 12/31/04 to be repurchased at $332,655 on 01/03/05 collateralized by: U.S. Treasury Obligations; collateral valued at $339,263 332,611 ----------- TOTAL REPURCHASE AGREEMENTS (Cost $1,983,331) 1,983,331 ----------- TOTAL INVESTMENTS (Cost $51,758,420*) 100.0% 51,758,420 ----------- OTHER ASSETS AND LIABILITIES (NET) 0.0% 6,529 ----------- NET ASSETS 100.0% $51,764,949 ===========
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $51,758,420. ! Floating rate security. The interest rate shown reflects the rate in effect at December 31, 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 NOTES TO FINANCIAL STATEMENTS. NATIONS MONEY MARKET FUNDS NATIONS GOVERNMENT RESERVES SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------- ---------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 95.9% FEDERAL FARM CREDIT BANK (FFCB) - 18.8% $ 275,000 2.280%! 01/21/05!! $ 274,985 75,000 2.250%! 01/25/05!! 75,000 50,000 2.358%! 01/28/05!! 49,992 350,000 2.318%! 01/29/05!! 350,000 225,000 2.290%! 02/06/05!! 225,000 150,000 2.300%! 02/15/05!! 150,000 50,000 2.270%! 03/02/05!! 49,997 40,090 2.134%! 04/14/05!! 40,089 38,298 2.500% 11/15/05 38,196 ---------- 1,253,259 ---------- FEDERAL HOME LOAN BANK (FHLB) - 77.1% 685,726 Discount note 01/03/05 685,680 80,000 2.255%! 01/03/05!! 79,979 120,000 Discount note 01/05/05 119,971 506,612 Discount note 01/07/05 506,421 181,446 Discount note 01/12/05 181,323 344,255 Discount note 01/14/05 343,975 468,504 Discount note 01/19/05 467,974 30,431 Discount note 01/19/05 30,401 429,900 Discount note 01/21/2005 429,361 200,000 Discount note 01/26/2005 199,686 30,000 2.328%! 01/26/05!! 29,996 100,000 2.170%! 02/02/05!! 99,908 50,000 2.200%! 02/02/05!! 49,996 300,000 2.205%! 02/02/05!! 300,009 50,000 2.205%! 02/03/05!! 49,982 80,000 2.105%! 02/10/05!! 79,940 134,130 Discount note 02/11/05 133,782 60,000 1.400% 02/25/05 60,000 40,000 1.500% 03/01/05 39,994 110,000 Discount note 03/04/05 109,554 10,000 1.450% 03/11/05 10,000 50,000 2.345%! 03/12/05!! 49,983 148,000 2.340%! 03/14/05!! 147,830 200,000 2.405%! 03/15/05!! 199,993 100,000 2.450%! 03/21/05!! 99,999 50,000 1.380% 03/28/05 50,000 100,000 2.434%! 03/28/05!! 99,932 7,000 1.300% 04/11/05 6,992 32,000 1.350% 04/15/05 32,000 10,000 1.400% 04/15/05 9,999 20,000 1.625% 04/15/05 20,019 60,376 Discount note 04/20/05 59,928 14,700 Discount note 04/21/05 14,590 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 81,759 3,890 1.500% 08/26/05 3,860 39,000 2.125% 09/20/05 38,881 11,235 2.250% 10/21/05 11,186 51,130 2.250% 10/27/05 51,040 10,000 3.625% 11/15/05 10,068
35,000 6.500% 11/15/05 36,095 ---------- 5,132,086 ---------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $6,385,345) 6,385,345 ---------- U.S. TREASURY OBLIGATIONS - 4.1% U.S. TREASURY BILLS - 4.1% 217,913 Discount note 01/20/2005 217,711 38,595 Discount note 03/24/2005 38,409 20,384 Discount note 04/21/2005 20,240 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $276,360) 276,360 ---------- TOTAL INVESTMENTS (Cost $6,661,705*) 100.0% 6,661,705 ---------- OTHER ASSETS AND LIABILITIES (NET) 0.0% (548) ---------- NET ASSETS 100.0% $6,661,157 ==========
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $6,661,705. ! Floating rate security. The interest rate shown reflects the rate in effect at December 31, 2004. !! Reset date. Interest rates reset either daily, weekly, monthly, or quarterly. SEE NOTES TO FINANCIAL STATEMENTS. NATIONS MONEY MARKET FUNDS NATIONS MONEY MARKET RESERVES SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------- ---------- ASSET-BACKED SECURITIES - 2.1% ASSET-BACKED - OTHER - 2.1% $42,500 Davis Square Funding, Ltd., Series 2003-1A, Class A1E, 2.477%! 02/16/05!!# $ 42,500 65,000 G-Force CDO, Ltd., Series 2002-1A, Class A1MM, 2.498%! 02/25/05!!@@ 65,000 6,959 G-Star Ltd., Series 2002-2A, Class A1MB, 2.498%! 02/25/05!!# 6,959 2,539 John Deere Owner Trust, Series 2004-A, Class A1, 1.140% 05/13/05 2,539 50,000 Phoenix-Mistic CBO, Ltd., Series 2002-1A, Class A1A, 2.130%! 03/15/05!!# 50,004 50,000 Winston Funding Ltd., Series 2003-1, Class A1MB, 2.140%! 04/25/05!!# 50,000 ---------- TOTAL ASSET-BACKED SECURITIES (Cost $217,002) 217,002 ---------- BANK OBLIGATIONS - 18.8% BANK NOTES - 1.1% 115,000 Fifth Third Bank 2.300%! 01/01/05!! 114,996 ---------- CERTIFICATES OF DEPOSIT - DOMESTIC - 1.0% 50,000 Chase Manhattan Bank USA N.A. 2.340%! 02/11/05!! 50,000 50,000 Wells Fargo Bank N.A. 2.290%! 01/01/05!! 49,999 ---------- 99,999 ---------- CERTIFICATES OF DEPOSIT - YANKEE - 12.0% 91,500 Banque National De Paris (New York) 2.293%! 01/01/05!! 91,494 Canadian Imperial Commercial Bank, (New York) 100,000 2.800% 12/16/05 100,000 75,000 2.955% 12/30/05 75,000 Credit Agricole Indosuez, (New York) 50,000 2.295%! 01/01/05!! 49,997 150,000 2.295%! 01/01/05!! 149,994 110,000 2.335%! 02/17/05!! 109,993 Credit Suisse First Boston, (New York) 102,000 2.390%! 02/22/05!! 101,996 69,500 2.570%! 03/29/05!! 69,507 50,000 2.445% 10/07/05 50,000 75,000 2.750% 11/14/05 75,000 75,000 Swedbank (New York) 2.358%! 01/21/05!! 74,999 100,000 Toronto Dominion Bank, (New York) 2.350% 09/08/05 99,983 100,000 Unicredito Italiano, (New York) 2.365% 09/12/05 99,983 Westpac Banking Corporation, (New York) 50,000 2.150% 01/10/05 50,000 50,000 2.150% 01/13/05 50,000 ---------- 1,247,946 ----------
PROMISSORY NOTES - 1.8% 140,000 Goldman Sachs Group Inc. 2.450%! 02/14/05!!@@ 140,000 44,397 Saturn Ventures II LLC 2.410%! 02/07/05!! 44,397 --------- 184,397 --------- TIME DEPOSITS - EURO - 2.9% 300,000 Societe Generale 2.313% 01/03/05 300,000 --------- TOTAL BANK OBLIGATIONS (Cost $1,947,338) 1,947,338 --------- CORPORATE OBLIGATIONS - 28.5% COMMERCIAL PAPER - 14.9% Amstel Funding Corporation 100,000 Discount note 02/28/05# 99,625 65,998 Discount note 03/03/05 65,733 75,000 Discount note 06/02/05 74,189 100,000 Discount note 06/15/05# 98,799 147,179 Atlantis One Funding Discount note 04/18/05# 146,233 20,000 Cancara Asset Securitization Ltd. Discount note 03/02/05 19,921 23,370 Chicago (City of), Discount note 01/13/05 23,352 50,394 Crown Point Capital Corporation Discount note 03/15/05 50,157 25,000 General Electric Capital Corporation Discount note 02/09/05 24,953 Goldman Sachs Group Inc. 20,000 2.040%! 01/18/05!! 20,000 30,000 2.390%! 01/18/05!! 30,000 65,000 Discount note 08/10/05 64,060 Grampian Funding LLC, 100,000 Discount note 02/18/05# 99,699 55,000 Discount note 04/19/05# 54,642 Leafs LLC 50,000 2.420%! 02/22/05!!@@ 50,000 50,000 2.420%! 02/22/05!!@@ 50,000 100,000 Morgan Stanley 2.330%! 01/01/05!! 100,000 90,000 Scaldis Capital LLC Discount note 02/18/05# 89,729 84,999 Sunbelt Funding Corporation Discount note 01/12/05# 84,942 50,000 Surrey Funding Corporation Discount note 03/04/05 49,796 45,608 Thames Asset Global Securization Discount note 03/03/05 45,425 100,000 Tulip Funding Corporation Discount note 01/18/05 99,887 100,000 Westpac Capital Corporation Discount note 03/03/05 99,598 --------- 1,540,740 --------- CORPORATE BONDS AND NOTES - 13.6% 6,265 Acton Assisted Living 2.490%! 01/07/05!! 6,265 31,000 Beta Finance Inc., MTN 2.308%! 01/01/05!!# 31,000 20,000 Citigroup Inc. 2.380%! 02/22/05!! 20,008 46,000 General Electric Capital Corporation 2.615%! 03/15/05!! 46,018 Links Finance LLC 100,000 2.291%! 02/04/05!!# 99,998 50,000 2.361%! 02/25/05!!# 50,004
60,000 Links Finance LLC, MTN 2.180% 07/15/05# 59,997 65,000 Merrill Lynch and Company, Inc., MTN, Series C 2.340%! 03/01/05!! 65,000 100,000 Morgan Stanley, MTN, Series C 2.523%! 02/15/05!! 100,000 Premier Asset LLC 25,000 2.313%! 01/01/05!!# 24,998 50,000 2.363%! 01/14/05!!# 50,000 6,750 Schlitz Park Associates II LP 2.350%! 12/01/21!! 6,750 Sigma Finance Inc. 50,000 2.320%! 01/01/05!!# 50,000 130,000 2.040%! 02/01/05!!# 129,998 30,000 2.216%! 02/14/05!!# 29,992 25,000 2.388%! 02/15/05!!# 25,000 100,000 2.040%! 04/18/05!! 99,966 50,000 Sigma Finance Inc., MTN 2.353%! 02/15/05!!# 49,992 11,990 SMM Trust 2004-M 2.593%! 03/15/05!! 11,990 Toyota Motor Credit Corporation 30,000 2.420%! 02/09/05!! 30,024 52,000 2.025%! 04/21/05!! 51,994 55,000 Toyota Motor Credit Corporation, MTN 2.470%! 03/31/05!! 54,997 12,295 Wachovia Corporation 6.800% 06/01/05 12,505 190,000 Wells Fargo and Company, Series E 2.491%! 03/17/05!! 190,021 White Pine Finance LLC 30,000 2.358%! 01/18/05!!# 30,000 24,000 2.365%! 02/23/05!!# 23,999 16,000 2.388%! 02/25/05!!# 15,996 50,000 2.030%! 04/15/05!!# 49,974 --------- 1,416,486 --------- TOTAL CORPORATE OBLIGATIONS (Cost $2,957,226) 2,957,226 --------- EXTENDABLE COMMERCIAL NOTES - 7.0% 50,000 Ajax Bambino Funding Inc. Discount note 02/07/05# 49,884 Citibank Credit Card Master Trust 50,000 Discount note 01/06/05# 49,985 100,000 Discount note 01/13/05# 99,927 Concord Minutemen Capital Corporation 130,143 Discount note 01/05/05 130,108 200,394 Discount note 01/19/05 200,156 63,755 Discover Card Master Trust Discount note 02/24/05# 63,532 MBNA Credit Card Master Trust 54,000 Discount note 02/22/05 53,811 75,500 Discount note 03/07/05 75,173 --------- TOTAL EXTENDABLE COMMERCIAL NOTES (Cost $722,576) 722,576 --------- MORTGAGE-BACKED SECURITIES - 3.5% COMMERCIAL MORTGAGE-BACKED SECURITIES - 3.5% 33,000 Aire Valley Mortgages, Series 2004-1A, Class 1A, 2.410%! 02/22/05!!# 33,000 180,000 Holmes Financing plc, Series 8, Class 1A, 2.353%! 02/15/05!! 180,000 65,000 Permanent Financing plc, Series 4, Class 1A, 2.320%! 02/10/05!! 65,000 45,000 Permanent Financing plc, Series 6, Class 1A
2.340%! 02/10/05!! 45,000 40,654 Residential Mortgage Securities, Series 17A, Class A1, 2.400%! 02/14/05!!# 40,654 --------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $363,654) 363,654 --------- MUNICIPAL BONDS AND NOTES - 3.2% CALIFORNIA - 1.4% 26,565 California Housing Finance Agency Revenue, Series 2000R, (AMBAC Insured, Westdeutsche Landesbank LOC, Bayerische Landesbank LOC, KBC Bank NV LOC), 2.420%! 01/05/05!! 26,565 25,000 California Statewide Communities Development Authority TRAN, Series 2004C-1, (FSA Insured), 3.000% 06/30/05 25,054 57,210 Los Angeles, California Department of Water & Power, Waterworks Revenue, Series 2004B-1, (Dexia Credit Local SPA), 2.520%! 01/05/05!! 57,210 25,000 Los Angeles, California Department of Water & Power, Waterworks Revenue, Series 2004B-2, (Dexia Credit Local SPA), 2.450%! 01/05/05!! 25,000 5,400 San Jose, California Financing Authority Lease Revenue, Series 2000C, (MBIA Insured, Morgan Guaranty Trust SPA), 2.400%! 01/05/05!! 5,400 --------- 139,229 --------- COLORADO - 0.3% 28,800 Colorado Housing and Finance Authority, Single Family Revenue, Series 2004-A1, (Dexia Credit Local SBPA), 2.420%! 01/05/05!! 28,800 1,300 Denver, Colorado City and County Airport Revenue Refunding, Series 2002D, (Societe Generale LOC), 2.420%! 01/05/05!! 1,300 --------- 30,100 --------- CONNECTICUT - 0.1% 14,000 Connecticut State, Housing Finance Authority Revenue, Series 2001A-4, (AMBAC Insured, FHLB SBPA), 2.420%! 01/06/05!! 14,000 --------- FLORIDA - 0.2% 11,100 Florida Housing Finance Agency Revenue, Series 1993, (MBIA Insured, Westdeutsche Landesbank SBPA), 2.510%! 01/06/05!! 11,100 8,350 Florida Housing Financing Corporation Revenue, Series 2002A, (AMBAC Insured, SBPA Dexia Credit Local), 2.400%! 01/06/05!! 8,350 --------- 19,450 --------- MASSACHUSETTS - 0.1% 5,600 Massachusetts State Housing Finance Agency, Housing Revenue, Series 2004A, (FSA Insured, Dexia Credit Local SBPA), 2.450%! 01/05/05!! 5,600 --------- OHIO - 0.1% 13,000 Ohio State, Air Quality Development Authority Revenue, Series 2004B, (ABN AMRO Bank N.V. LOC), 2.410%! 01/05/05!! 13,000 --------- TEXAS - 1.0% 46,200 Texas State, GO, Series 1994A-2, (DEPFA Bank plc SBPA), 2.400%! 01/05/05!! 46,200 15,000 Texas State, GO, Series 1997B-2, (DEPFA Bank plc SBPA), 2.400%! 01/05/05!! 15,000 26,075 Texas State, GO, Series 1999B, (Morgan Guaranty Trust SBPA), 2.420%! 01/05/05!! 26,075 18,605 Texas State, Veteran Housing Assistance, GO, Series 2004, (Dexia Credit Local SPA), 2.400%! 01/05/05!! 18,605 --------- 105,880 ---------
WISCONSIN - 0.0%+ 5,000 Wisconsin Housing & Economic Development Authority, Home Ownership Revenue, Series 2004B, (GO of Authority, Westdeutsche Landesbank AG SPA), 2.400%! 01/05/05!! 5,000 --------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $332,259) 332,259 --------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 25.0% FEDERAL FARM CREDIT BANK (FFCB) - 0.5% 50,000 2.300%! 01/05/05!! 50,000 --------- FEDERAL HOME LOAN BANK (FHLB) - 12.1% 50,000 2.255%! 01/01/05!! 49,987 75,000 2.300%! 01/01/05!! 75,000 124,567 Discount note 02/01/05 124,381 50,000 2.200%! 02/02/05!! 49,996 75,000 2.205%! 02/02/05!! 75,002 75,000 1.400% 02/25/05 75,000 65,000 2.328%! 02/26/05!! 64,991 275,000 2.315%! 03/08/05!! 274,897 100,000 1.350% 04/15/05 100,000 25,000 1.380% 04/15/05 25,000 50,000 1.400% 04/15/05 49,993 40,325 1.625% 04/15/05 40,352 175,000 1.300% 04/25/05 175,000 50,000 1.550% 05/04/05 50,000 25,000 1.550% 05/04/05 25,000 --------- 1,254,599 --------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 4.1% 75,000 2.090%! 02/01/05!! 74,998 50,000 2.220%! 02/01/05!! 49,999 150,000 1.500%! 02/14/05!! 150,000 150,000 2.415%! 03/09/05!! 150,000 --------- 424,997 --------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 8.3% 30,000 2.258%! 01/01/05!! 29,998 100,000 1.876%! 01/03/05!! 99,951 35,130 2.350%! 02/18/05!! 35,130 75,574 Discount note 03/04/05 75,374 350,000 2.308%! 03/06/05!! 349,857 75,000 Discount note 03/15/05 74,726 100,000 1.916%! 04/06/05!! 99,966 90,000 Discount note 05/05/05 89,324 --------- 854,326 --------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $2,583,922) 2,583,922 --------- REPURCHASE AGREEMENTS - 11.9% 150,000 Agreement with Banque National de Paris, 2.200% dated 12/31/04 to be repurchased at $150,028 on 01/03/05 collateralized by: U.S. Government and Agency Obligations; collateral valued at $153,001 150,000 400,000 Agreement with Countrywide Home Loans, Inc., 2.290% dated 12/31/04 to be repurchased at $400,076 on 01/03/05 collateralized by: U.S. Government and Agency Obligations; collateral valued at $408,000 400,000 150,000 Agreement with Credit Suisse First Boston Corporation, 2.300% dated 12/31/04 to be repurchased at $150,028 on 01/03/05 collateralized by: U.S. Government and Agency Obligations; collateral valued at $153,003 150,000
130,925 Agreement with Deutsche Bank Securities Inc., 2.200% dated 12/31/04 to be repurchased at $130,949 on 01/03/05 collateralized by: U.S. Government and Agency Obligations and U.S. Treasury Obligations; collateral valued at $133,544 130,925 200,000 Agreement with Goldman Sachs and Company, 2.300% dated 12/31/04 to be repurchased at $200,038 on 01/03/05 collateralized by: Various Certificates of Deposit; collateral valued at $204,000 200,000 200,000 Agreement with J.P. Morgan Securities Inc., 2.300% dated 12/31/04 to be repurchased at $200,038 on 01/03/05 collateralized by: Various Commercial Paper; collateral valued at $204,003 200,000 ----------- TOTAL REPURCHASE AGREEMENTS (Cost $1,230,925) 1,230,925 ----------- TOTAL INVESTMENTS (Cost $10,354,902*) 100.0% 10,354,902 ----------- OTHER ASSETS AND LIABILITIES (NET) 0.0% (686) ----------- NET ASSETS 100.0% $10,354,216 ===========
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $10,354,902. ! Floating rate security. The interest rate shown reflects the rate in effect at December 31,2004. !! 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 NOTES TO FINANCIAL STATEMENTS. NATIONS MONEY MARKET FUNDS NATIONS MUNICIPAL RESERVES SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------- ------- MUNICIPAL BONDS AND NOTES - 106.0% ALABAMA - 0.6% $4,000 Birmingham, Alabama Medical Clinic Board Revenue, (Medical Advancement Foundation Project) Series 2000A, (Columbus Bank & Trust LOC), 2.350% 09/01/30** $ 4,000 3,215 Birmingham, Alabama Private Educational Building Authority Revenue, (The Altamont School Project) Series 1998, (AmSouth Bank of Alabama N.A. LOC), 2.040% 04/01/13** 3,215 3,005 Daphne, Alabama YMCA Public Park and Recreation Board Revenue, (YMCA Project) Series 2002, (Legions Bank LOC), 2.040% 10/01/22** 3,005 1,160 Dothan Houston County, Alabama Airport Authority, Airport Revenue, (Pemco Aviation Group Project) Series 2002, AMT, (SouthTrust Bank N.A. LOC), 2.140% 10/01/17**# 1,160 3,255 Geneva County, Alabama Industrial Development Board Revenue, (Brooks AG Company Inc. Project) Series 2002, AMT, (Regions Bank LOC), 2.140% 03/01/14** 3,255 3,500 Huntsville Alabama Industrial Development Board Revenue, (Brown Precision Inc Project), Series 2001, AMT (First Commercial Bank LOC), 2.090% 12/01/19** 3,500 3,450 Huntsville, Alabama Solid Waste Disposal Authority and Resources Recovery Revenue, Series 2003, AMT, (MBIA Insured, Merrill Lynch Capital Services SBPA), 1.700% 10/01/12**@@ 3,450 6,910 University of Alabama General Revenue, Series 2004, (MBIA Insured, Citibank N.A. Liquidity Facility), 2.040% 07/01/34**# 6,910 ------- 28,495 ------- ALASKA - 1.2% 5,800 Alaska Municipal Board Bank Authority, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.030% 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), 2.030% 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), 2.050% 12/01/36** 7,000 43,800 North Slope Boro, Alaska GO, Series 1994, (FSA Insured), 1.855% 06/30/05*** 43,403 ------- 58,868 ------- ARIZONA - 1.9% 5,200 Apache County, Arizona IDR, (Tucson Electric Power Project) Series 1983C, (Societe Generale LOC), 2.000% 12/15/18** 5,200 35,000 Arizona School District Financing Program Certificate Partnership TAN, Series 2004, 3.000% 07/30/05 35,309 6,800 Coconino County, Arizona Pollution Control Corporation Revenue, (Arizona Public Service Company - Navajo Project) Series 1994A, AMT, (KBC Bank LOC), 2.230% 10/01/29** 6,800
1,500 Goodyear, Arizona IDR, (Walle Corporation Project) Series 1995, AMT, (Bank One Kentucky, N.A. LOC), 2.080% 05/01/15**# 1,500 1,770 Maricopa County Arizona Industrial Development Authority Solid Waste Disposal Revenue, Series 2004, Merrill Lynch Capital Services SPA), 2.100% 12/01/31**# 1,770 5,280 Maricopa County, Arizona United School District Number 41 Gilbert Capital Appreciation Refunding, Series 1994, (FGIC Insured), 1.387% 01/01/05*** 5,280 12,000 Phoenix Civic Improvement Corporation, Series 2004, (Dexia Public Finance, LOC), 1.470% 05/05/05 12,000 22,800 Phoenix, Arizona Civic Improvement Corporation Excise Tax Revenue, (Apartment Improvements Project) Series 1995, AMT, (Landesbank Hessen Thueringen LOC), 2.020% 06/01/20** 22,800 6,000 Pima County, Arizona, Industrial Development Authority, Series 2004, (Branch Banking & Trust LOC), 2.020% 04/01/38** 6,000 ------ 96,659 ------ ARKANSAS - 0.3% 6,500 Lowell, Arkansas IDR, (Little Rock Newspapers, Inc. Project) Series 1996, AMT, (Bank of New York LOC), 2.100% 06/01/31**# 6,500 2,600 Sheridan, Arkansas IDR, (Centria Project) Series 2000A, AMT, (PNC Bank N.A. LOC), 2.130% 08/01/20**# 2,600 1,000 Sheridan, Arkansas IDR, (H Robertson Company Project) Series 1998B, AMT, (PNC Bank N.A. LOC), 2.080% 08/01/16**# 1,000 ------ 10,100 ------ CALIFORNIA - 7.7% 27,000 California Housing Finance Agency Multi-Family Housing Revenue, Series 2000C, AMT, (GO of Agency), 2.300% 02/01/33** 27,000 13,000 California Housing Finance Agency Revenue, Series 2001, AMT, (Helaba Insured), 2.300% 02/01/32** 13,000 54,845 California Housing Finance Agency Revenue, Series 2001E, AMT, (Go of Agency Insured, Fannie Mae SBPA), 2.040% 02/01/36** 54,843 32,000 California Housing Finance Agency Revenue, Series 2004A, AMT, (GO OF AGY, Insured, Citibank N.A, SBPA), 1.730% 08/01/36** 32,000 34,500 California Housing Finance Agency Revenue, Series 2004E-2, AMT, (JP Morgan Chase Liquidity Facility), 1.650% 02/01/35** 34,500 11,660 California Housing Finance Agency, Multi-Family Housing Revenue, Series 2000A, AMT, 2.260% 02/01/26** 11,660 15,995 California Housing Finance Agency, Series 2004, (Merrilly Lynch Captial Services, SBPA), 2.070% 11/01/07**# 15,995 5,255 California State Department of Water Resources, Power Supply Revenue, Series 2002B-1, (Bank of New York LOC, California State Teachers Retirement LOC), 2.200% 05/01/22** 5,255 26,430 California State, Kindergarten University, Series 2004 A-4, (Citibank N.A. LOC, California State Teacher Retirement Fund LOC), 2.160% 05/01/34** 26,430 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), 2.050% 12/15/37** 7,500 30,000 Los Angeles California, Series 2004, 6.000% 06/30/05 30,589
25,000 Los Angeles County, California Taxes and Revenue Antic, Series 2004A, 3.000% 06/30/05 25,154 43,000 Los Angeles, California TRAN, Series 2004, 3.000% 06/30/05 43,270 10,000 Los Angeles, California TRAN, Series 2004, 3.500% 06/30/05 10,097 20,000 Metropolitan Water District of Southern California Waterworks Revenue, Series 2003C-3, (Dexia Credit Local SBPA), 1.660% 07/01/30** 20,000 12,795 San Diego, California Housing Authority Multifamily Housing Revenue, (Hillside Garden Apartments), Series 2004B, (Fannie Mae Insured, Fannie Mae Liquidity Facility), 2.080% 01/15/35** 12,795 23,000 San Joaquin Transportation Authority, 1.800% 03/08/05 23,000 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 5,000 University of California, 1.800% 03/08/05 5,000 ------- 412,108 ------- COLORADO - 3.1% 21,300 Arapahoe County, Colorado Capital Imporvement Trust Fund Highway Revenue, Series 1986E-470, ( US Treasury Obligation Collateral, US Treasury Strips Collateral) 2.099% 08/31/26*** 4,383 6,650 Arapahoe County, Colorado Capital Improvement Trust Highway Revenue, Series 1986 E-470, 2.139% 08/31/08*** 5,439 2,800 Colorado Health Facilities Authority Revenue, (Crossroads Projects) Series 2004A, (U.S. Bank N.A. LOC), 2.050% 11/01/28** 2,800 9,100 Colorado Housing and Finance Authority Revenue, (Multi-Family Project) Series 2002A-1, AMT, (FHLB SPA), 2.050% 10/01/22** 9,100 8,400 Colorado Housing and Finance Authority Revenue, Series 2002I-C2, AMT, (FHLB SBPA), 2.050% 10/01/32** 8,400 10,785 Colorado Housing and Finance Authority, (Multi-Family Project) Series 2004I-A2, AMT, (FHLB SBPA), 2.050% 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), 2.050% 05/01/22** 15,685 25,000 Colorado Housing and Finance Authority, (Single Family Mortgage Project) Series 2004, AMT, (Dexia Credit Local SBPA), 2.050% 11/01/26** 25,000 10,000 Colorado Housing and Finance Authority, Series 2003, AMT, (Dexia Credit Local SBPA), 2.050% 11/01/26** 10,000 4,000 Colorado Housing and Finance Authority, Single Family Mortgage Revenue, Series 2002, AMT, (FHLB SBPA), 2.050% 11/01/21** 4,000 17,000 Colorado Housing and Finance Authority, Single Family Mortgage Revenue, Series 2003B-3, AMT, (JP Morgan Chase Bank SBPA), 2.050% 11/01/26** 17,000 16,100 Colorado State Education Loan Program, Series 2004D, (Lehman Liquidity Company Liquidity Facility) 2.050% 08/09/05**# 16,100 17,200 Colorado Student Obligation Board Authority, Series 1990A, AMT, (AMBAC Insured, Credit Suisse 1st Boston SBPA), 2.030% 09/01/24** 17,200 9,585 Douglas County, Colorado Multi-Family Revenue Housing, (LincolnPointe Lofts Projects) Series 2003, AMT. (U.S. Bank N.A. LOC), 2.200% 02/01/37** 9,585 7,500 Pitkin County, Colorado IDR, (Aspen Skiing Company Project) Series
1984B, AMT, (First National Bank of Chicago LOC), 2.230% 04/01/14** 7,500 ------- 162,977 ------- CONNECTICUT - 0.5% 21,750 Connecticut State Housing Fiance Authority, (Housing Mortgage Finance Project), Series 2004D-5, AMT, (AMBAC GO of Authority Insured, DEPFA Bank PLC LOC), 1.710% 11/15/27** 21,750 ------- DELAWARE - 0.2% 1,600 Delaware State Economic Development Authority IDR, Series 1998, AMT, (PNC Bank Delaware LOC), 2.130% 09/01/18**# 1,600 5,185 New Castle County, Delaware Airport Facilities Revenue, (Flightsafety International Inc. Project) Series 2002, AMT, (Berkshire Hathaway GTY AGMT), 2.020% 12/01/32** 5,185 ------- 6,785 ------- DISTRICT OF COLUMBIA - 2.4% 5,000 District of Columbia Enterprise Zone Revenue, Series 2004, AMT, (Bank of Scotland LOC), 2.090% 12/01/29** 5,000 7,500 District of Columbia Enterprise Zone Revenue, (House on F Street Project) Series 2001, AMT, (Bank of New York LOC), 2.100% 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), 2.130% 08/01/25** 5,000 7,500 District of Columbia Revenue, (National Association of Realtors Project), Series 2003, AMT, (Suntrust Bank LOC), 2.060% 12/01/23** 7,500 100,100 Metropolitan Washington D.C. Airport Authority System, Series 2002C, AMT, (FSA Insured, Dexia Credit Local SPBA) 2.000% 10/01/21** 100,100 2,750 Metropolitan Washington District of Columbia Airport Authority System, Series 2004, AMT, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.080% 10/01/12**# 2,750 ------- 127,850 ------- FLORIDA - 4.7% 29,300 Broward County, Florida Port Facilities Revenue Refunding, (Port Everglades Project) Series 1998, AMT, (AMBAC Insured, Bank of Nova Scotia SBPA), 2.030% 09/01/27** 29,300 4,635 Collier County, Florida Industrial Development Authority Revenue, (YMCA Collier County Inc. Project) Series 2004, (Suntrust Bank LOC), 2.050% 09/01/29** 4,635 3,885 Escambia County, Florida Housing Finance Authority, Single Family Mortgage Revenue, Series 2001, 2.070% 10/01/31** 3,885 7,545 Florida Housing Finance Agency Multi-Family Housing Revenue, (Lakes of Northdale Project) Series 1984D, (SouthTrust Bank of Alabama LOC), 2.010% 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), 1.790% 06/01/39** 7,130 3,500 Florida Housing Finance Corporation Revenue, (Tuscany Lakes Housing Project) Series 2002, AMT, (FNMA Insured), 2.090% 11/15/35** 3,500 7,665 Florida State Board Education Lottery Revenue, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch & Company GTY-AGMT), 2.020% 01/01/12**# 7,665 130 Florida State Board of Education Lottery Revenue, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY-AGMT),
2.020% 07/01/11**# 130 1,215 Fort Walton Beach, Florida IDR, (Burton Golf, Inc. Project) Series 1996, AMT, (Columbus Bank and Trust LOC), 2.300% 10/01/11**# 1,215 23,170 Greater Orlando Aviation, Series 2004 - B, (BayerLandesbank LOC, State Street Bank LOC, Westlandesbank LOC), 1.850% 02/03/05 23,170 30,000 Highlands County, Florida Health Facilities Authority Revenue, Series 1996A, (FGIC Insured, Bank One N.A. LOC), 2.000% 10/01/26** 30,000 2,760 Hollywood, Florida Water and Sewer Revenue, Series 2003, (FSA Insured, Citigroup Global Market Liquidity Facility), 2.020% 10/01/18**# 2,760 5,500 Lake County, Florida Industrial Development Authority IDR, (Senninger Irrigation Project) Series 2003, AMT, (Suntrust Bank LOC), 2.060% 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), 2.060% 06/01/22** 5,000 4,595 Miami-Dade County, Florida School Board Certificates of Participation, Series 2004, (FGIC Insured, Citigroup Global Market Liquidity Facility), 2.020% 10/01/20**# 4,595 8,400 Pinellas County, Florida Housing Finance Authority Multi-Family Revenue Housing, (Alta Largo Apartments Project) Series 2004, AMT, (Amsouth Bank LOC), 2.070% 06/01/42** 8,400 35,500 Pinellas County, Florida School District TAN, Series 2004, 3.000% 06/30/05 35,734 7,000 St Johns County, Florida Industrial Development Authority Industrial Development Revenue, Series 2004, AMT, (Coastal Bank of Georgia, LOC), 2.140% 11/01/34** 7,000 34,690 Sunshine State Government Finance Commission, Series 2004-G, (DEPFA Guarantee), 1.870% 02/10/05 34,690 11,355 Sunshine State Government Finance Commission, Series 2004 -G, (DEPFA Guarantee), 1.870% 02/07/05 11,355 25,580 Sunshine State Government Financing Commission, Series 2004-H, (JP Morgan Chase Bank Guarantee), 1.850% 02/07/05 25,580 ------- 258,789 ------- GEORGIA - 4.7% 9,600 Atlanta Georgia Urban Residential Financing Authority, Multi-Family Revenue, (Housing Market District Project), Series 2004A, AMT, (Wachovia Bank N.A. LOC), 2.040% 11/01/34** 9,600 5,000 Atlanta Georgia Urban Residential Finance Authority Multifamily Revenue, Series 2004, (Regions Bank LOC), 2.060% 11/01/44** 5,000 2,500 Atlanta, Georgia Airport Revenue Refunding, Series 2003A, (MBIA Insured), 4.500% 01/01/05 2,500 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), 2.080% 12/30/11**# 10,000 5,390 Atlanta, Georgia Airport Revenue, Series 2003, AMT, (FGIC Insured, BNP Paribas SBPA), 2.080% 01/01/14**# 5,390 4,470 Atlanta, Georgia Airport Revenue, Series 2004, AMT, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.080% 01/01/14**# 4,470
5,650 Atlanta, Georgia Urban Residential Finance Authority Multi-Family Revenue, (Collegetown Harris Project) Series 2003I, AMT, (Fannie Mae Liquidity Facility), 2.030% 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), 2.060% 12/01/37** 25,100 7,000 Atlanta, Georgia Urban Residential Finance Authority Multi-Family Revenue, AMT, (Regions Bank LOC), 2.080% 03/01/43** 7,000 5,000 Bartow County, Georgia Development Authority Multi-Family Housing Revenue, (Somerset Cove Apartments Project) Series 2002, AMT, (PNC Bank N.A.), 2.060% 02/01/35** 5,000 6,750 Carroll County, Georgia Development Authority Industrial Revenue, (Royal Metal Products Project) Series 2004, AMT, (Suntrust Bank LOC), 2.060% 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), 2.010% 01/01/21** 5,725 3,900 Cobb County, Georgia Housing Authority Multi-Family Housing Revenue, (Woodchase Village Apartments Project) Series 2003, AMT, (Regions Bank LOC), 2.060% 03/15/36** 3,900 390 Cobb County, Georgia IDR, (Datagraphic Inc. Project) Series 1990, AMT, (SouthTrust Bank of Alabama LOC), 2.090% 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), 2.060% 11/15/35** 9,215 9,700 Columbus, Georgia Hospital Authority Revenue, (St. Francis Hospital Inc., Project) Series 2000A, (Columbus Bank & Trust LOC), 2.030% 01/01/31**# 9,700 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), 2.050% 08/01/27**# 7,475 3,500 Dooly County, Georgia Industrial Development Authority Revenue, (Hamburg Enterprises Project) Series 2003, AMT, (Fifth Third Bank LOC), 2.080% 12/01/17**# 3,500 3,000 Douglas County, Georgia Development Authority, (Colonial Hills School Property Project) Series 2004, (Branch Bankinf & Trust, LOC), 2.020% 06/01/24**# 3,000 8,000 East Point, Georgia Housing Authority Multi-Family Revenue, (Villiage Highlands Apartments Project) Series 2004, AMT, (Suntrust LOC, FHLMC Liquidity Facility), 2.060% 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), 2.070% 08/01/10** 4,620 34,270 Fulton County, Georgia Development Authority Airport Facilities Revenue, (Flightsafety International Inc. Project) Series 1999B, AMT, 2.020% 12/01/18** 34,270 9,350 Fulton County, Georgia Development Authority Airport Facilities Revenue, (Flightsafety International Inc. Project) Series 1999B, AMT, 2.020% 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), 2.210% 06/01/27**# 3,900 4,035 Georgia Municipal Electric Authority Power Revenue, Series 2003, (MBIA Insured, Westdeutsche Landesbank AG SBPA), 2.030% 01/01/13**# 4,035 5,495 Georgia Municipal Electric Authority Revenue, Series 2004, (AMBAC
Insured, Citigroup Global Markets Liquidity Facility), 2.040% 01/01/26**# 5,495 6,695 Gwinnett County, Georgia Development Authority, Certificate of Participation, Series 2004, (MBIA Insured, Citibank N.A. Liquidity Facility), 2.040% 01/01/21**# 6,695 5,000 Kennesaw, Georgia Development Authority Housing, (Walton Ridenour Apartments Project) Series 2004, AMT, (Suntrust Bank LOC), 2.060% 04/01/37** 5,000 7,260 Private Colleges & Universities Authority Georgia Revenue, (Mercer University Project), Series 2003, (Branch Banking & Trust LOC), 2.070% 10/01/32** 7,260 9,215 Richmond County, Georgia Development Authority, (Stonegate Club Apartments Project) Series 2002, AMT, (J.P. Morgan Chase Bank LOC), 2.060% 11/15/35** 9,215 875 Thomasville, Georgia Payroll Development Authority Industrial Revenue, (Scruggs Company Project) Series 2000, AMT, (First Union National Bank LOC), 2.140% 08/01/10**# 875 15,800 Winder-Barrow County Georgia Joint Development Authority Solid Waste Disp Revenue, (Republic Service Incorporation Project), Series 2004, AMT, (Suntrust Bank LOC) 2.030% 11/01/34** 15,800 ------- 256,840 ------- HAWAII - 0.7% 1,350 Hawaii State Airports System Revenue, Series 2004, AMT, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.080% 01/01/10**# 1,350 1,690 Hawaii State Apartments System Revenue, Series 2004, AMT, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.080% 01/01/10**# 1,690 4,000 Hawaii State, ROCS RR II R 6035, Series 2004, (MBIA Insured, Citibank N.A. Liquidity Facility), 2.040% 10/01/24** 4,000 16,700 Honolulu City and County, Hawaii GO, Series 2001C, (FGIC Insured, FGIC-SPI SBPA), 2.280% 12/01/08** 16,700 16,700 Honolulu Hawaii City & County,Series 2004-C, AMT, (FGIC Insured), 2.280% 12/01/10** 16,700 ------- 40,440 ------- IDAHO - 1.0% 6,000 Idaho Falls, Idaho GO, Series 1991, (FGIC Insured), 1.354% 04/01/05*** 5,980 18,900 Idaho Housing & Finance Association Single Family Mortgage Revenue, Series 2004D, (Lloyds TSB Bank Plc Liquidity Facility), 2.000% 01/01/36** 18,900 4,835 Idaho Housing and Finance Association Revenue, Series 2002A-38, AMT, (Wachovia Bank N.A. LOC), 2.110% 07/01/32**# 4,835 13,485 Idaho Housing and Finance Association, Single Family Mortgage Revenue, Series 2002D, AMT, (Bayerische Landesbank SBPA), 2.050% 07/01/33** 13,485 10,910 Idaho Housing and Finance Association, Single Family Mortgage Revenue, Series 2003C, AMT, (Bayerische Landesbank SBPA), 2.050% 07/01/34** 10,910 2,000 Power County, Idaho IDR, (FMC Corporation Project) Series 2001, AMT, (Wachovia Bank N.A. LOC), 2.040% 04/01/14** 2,000 ------- 56,110 ------- ILLINOIS - 6.6% 1,795 Addison, Illinois IDR, (Stand Fast Packaging Products) Series 1996, AMT, (LaSalle Bank N.A. LOC), 2.180% 07/01/21**# 1,795 15,530 Chicago Illinois Board of Education, Series 2004E, (FSA Insured, DEPFA Bank PLC SBPA), 2.050% 03/01/15** 15,530 1,185 Chicago, Illinois IDR, (Bullen Midwest Inc. Project) Series 1997, AMT,
(LaSalle Bank N.A. LOC), 2.160% 11/01/17** 1,185 8,000 Chicago, Illinois Midway Airport Revenue, Second Lien, Series 1998B, AMT, (MBIA Insured, Commerzbank Liquidity Facility), 2.230% 01/01/29** 8,000 14,000 Chicago, Illinois Multi-Family Housing Revenue, (Concordia Place Apartments Project) Series 2003, AMT, (Harris Trust & Services Bank LOC), 2.060% 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), 2.060% 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), 2.060% 01/01/39** 3,800 2,200 Chicago, Illinois Multi-Family Housing Revenue, Series 2001B, AMT, (Harris Trust & Savings Bank LOC), 2.060% 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 5,590 1,415 Chicago, Illinois O'Hare International Airport Revenue, (2nd Lien Passenger Facilities Project) Series 2001C, AMT, (AMBAC Insured), 5.000% 01/01/05 1,415 5,200 Chicago, Illinois O'Hare International Airport Revenue, Series 2003, AMT, (FSA Insured, Citigroup Global Markets Liquidity Facility), 2.080% 01/01/22**# 5,200 5,500 Chicago, Illinois O'Hare International Airport Revenue, Series 2003, AMT, (FSA Insured, Merrill Lynch Capital Services SBPA), 2.080% 07/01/11**# 5,500 2,110 Chicago, Illinois O'Hare International Airport Revenue, Series 2003, AMT, (MBIA Insured, Merrill Lynch Capital Services SPBA), 2.080% 07/01/08**# 2,110 3,025 Chicago, Illinois O'Hare International Airport Revenue, Series 2004, AMT, (AMBAC Insured, Merrill Lynch Capital Services SBPA) 1.250% 11/08/08**# 3,025 2,170 Chicago, Illinois Wastewater Transmission Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.110% 01/01/22**# 2,170 2,000 Chicago, Illionis O'Hare International Airport Revenue, Series 2004, (MBIA Insured, Landesbank Hessen Liquidity Facility), 2.080% 01/01/17**# 2,000 2,825 Cook County, Illinois GO, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility), 2.040% 11/15/21**# 2,825 6,000 East Peoria Illinois, Series 2004 D, (AMBAC Insured, DEPFA Bank Plc Liquidity Facility), 1.810% 01/01/24** 6,000 2,000 Elmhurst Illinois Industrial Development Revenue, (John Sakash Co Inc Project), Series 2000, (Lasalle Bank N.A. LOC), 2.080% 02/01/25** 2,000 1,210 Gurnee, Illinois IDR, (Kenall Manufacturing Company Project) Series 1998, AMT, (Harris Trust and Saving Bank LOC), 2.060% 03/01/18** 1,210 5,930 Gurnee, Illinois IDR, (Little Lady Foods Inc. Project) Series 2002, AMT, (LaSalle Bank N.A. LOC), 2.080% 12/01/22** 5,930 8,960 Illinois ABN, AMRO, GO, Series 2004, (PSF-GTD, ABN AMRO Bank N.V. SBPA), 2.050% 02/01/11**# 8,960 2,530 Illinois Development Finance Authority Affordable Housing Revenue, (Cinnamon Lake Towers Project) Series 1997, AMT, (Bank One N.A. LOC), 2.030% 04/15/37** 2,530 1,840 Illinois Development Finance Authority IDR, (Flinn Scientific Incorporated Project) Series 1995, AMT, (Harris Trust and Savings Bank LOC), 2.060% 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), 2.200% 05/01/19** 2,800 710 Illinois Development Finance Authority IDR, (West Hubbard Street Project) Series 1986, AMT, (Lasalle National Bank LOC), 2.000% 12/01/16** 710 4,500 Illinois Development Finance Authority IDR, (WM Plastics Project) Series 2001, AMT, (LaSalle Bank, N.A. LOC), 2.080% 08/01/26** 4,500 5,415 Illinois Development Finance Authority Revenue, (Groot Industries Incorporated Project) Series 2003, (Bank One N.A. LOC), 2.150% 12/01/23**# 5,415 1,100 Illinois Development Finance Authority Revenue, (Jewish Council Youth Service Project) Series 2003, (Harris Trust & Savings Bank LOC), 2.030% 09/01/28** 1,100 6,100 Illinois Development Finance Authority Revenue, (Lifesource Project), Series 2000, (PNC Bank N.A. LOC), 2.010% 06/01/20** 6,100 1,500 Illinois Development Finance Authority Revenue, (Park Ridge Youth Campus Project) Series 1998, (Northern Trust Company LOC), 2.100% 09/01/18**# 1,500 8,710 Illinois Development Finance Authority Revenue, (Residential Rental Project) Series 1994, AMT, (FNMA Collateral), 1.980% 04/01/24**# 8,710 7,500 Illinois Development Finance Authority Revenue, (Sexton Energy Project) Series 2003, AMT, (Fifth Third Bank LOC), 2.050% 10/01/23** 7,500 1,600 Illinois Development Finance Authority, IDR, (Campagna-Turano Bakery Project) Series 2000, AMT, (American National Bank & Trust LOC), 2.150% 08/01/25**# 1,600 3,950 Illinois Development Finance Authority, IDR, (Clingan Steel Incorporated Project) Series 2003, AMT, (Bank One N.A. LOC), 2.230% 12/01/23**# 3,950 3,900 Illinois Development Finance Authority, IDR, (Feltes Sand and Gravel Company Project) Series 2003, AMT, (LaSalle Bank N.A. LOC), 2.080% 12/01/18** 3,900 2,470 Illinois Development Finance Authority, IDR, (Rainbow Graphics Inc. Project) Series 2003, AMT, (Bank One N.A. LOC), 2.320% 08/01/23**# 2,470 1,850 Illinois Development Finance Authority, IDR, (Royal Continental Box Project) Series 1995B, AMT, (LaSalle National Bank LOC), 2.080% 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), 2.080% 02/01/38** 6,700 5,405 Illinois Development Finance Authority, Multi-Family Revenue, Series 2001, 2.080% 12/01/13**# 5,405 7,100 Illinois Educational Facilities Authority Revenue, Series 1991, (MBIA Insured), 2.087% 07/01/05*** 7,027 3,145 Illinois Educational Facilities Authority Revenues, (Chaplin Hall Center Chilrdren Project) Series 2003, (Fifth Third Bank), 2.010% 07/01/24**# 3,145 21,090 Illinois Finance Authority Revenue, Series 2004, (Bank One N.A. LOC), 2.010% 04/01/35** 21,090 26,580 Illinois Health Facilities Authority Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.150% 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), 2.050% 01/01/34** 3,400 6,300 Illinois Housing Development Authority, Multi-Family Revenue, (Spring Creek Project) Series 2004, AMT, (LaSalle Bank N.A. LOC),
2.060% 04/01/34** 6,300 2,550 Illinois State Development Finance Authority Economic Development Revenue, (Addison 450 LP Project) Series 1989, AMT, (American National Bank & Trust Company LOC), 2.040% 12/01/09** 2,550 8,500 Illinois State Finance Authority, Multi-Family Revenue, (New Vistas II Apartments Project) Series 2004, AMT, (FNMA Liquidity Facility), 2.060% 10/15/34** 8,500 3,000 Illinois State GO, Series 2002, (FSA Insured), 5.000% 04/01/05 3,028 20,115 Illinois State Housing Development Authority Housing Revenue, (Illinois Center Apartments Project) Series 1985, (Freddie Mac Insured, Metropolitan Life GTY AGMT), 1.990% 01/01/08** 20,115 1,500 Lombard Village, Illinois Industrial Projects Revenue Refunding, (B&H Partnership Project) Series 1995, (LaSalle Bank, N.A. LOC), 2.390% 10/01/13** 1,500 9,880 McLean & Woodford Counties, Illinois GO Community Unified School District Number 005, Series 2003, (FSA Insured, Merrill Lynch Capital Services SBPA), 2.030% 12/01/09**# 9,880 4,025 Metropolitan Pier and Exposition Authority Illinois Dedicated State Tax Revenue, Series 2004, (MBIA Insured, Citibank N.A. Liquidity Facility), 2.120% 12/15/33**# 4,025 7,695 Metropolitan Pier and Exposition Authority Illinois Dedicated State Tax, Series 2004, (FGIC Insured, Merrill Lynch Capital SBPA), 2.110% 05/22/24**# 7,695 8,015 Metropolitan Pier and Exposition Authority Illinois Dedicated State Tax, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.110% 12/15/27**# 8,015 7,035 Metropolitan Pier and Exposition Authority Illinois Dedicated State Tax, Series 2004, (MBIA Insured, Merrill Lynch Capital Services), 2.110% 12/15/25**# 7,035 2,530 New Lenox, Illinois IDR, (Panduit Corporation Project) Series 1990, AMT, (LOC Fifth Third Bank), 2.130% 07/01/15** 2,530 7,160 Northern Illinois University Revenue, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.030% 10/01/09**# 7,160 3,670 Palos Hills, Illinois Multi-Family Housing Revenue, (Green Oaks Project) Series 1998, AMT, (FNMA Collateral Agreement), 2.080% 08/01/29**# 3,670 1,700 Savanna, Illinois IDR, (Metform Corporation Project) Series 1994B, AMT, (Bank One N.A. LOC), 2.030% 06/01/09** 1,700 2,065 Tinley Park, Illinois IDR, (Beverly Manufacturing Company Project) Series 1997A, AMT, (American National Bank & Trust LOC), 2.290% 09/01/17** 2,065 5,295 University Illinois Certificate of Participation, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.030% 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), 2.080% 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), 2.080% 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 1,810 22,905 Will County, Illinois Multi-Family Housing Redevelopment Revenue Refunding, (Woodlands Crest Hill Project), Series 1999, AMT, 2.060% 02/15/31** 22,905 ------- 361,375 ------- INDIANA - 2.5% 2,900 Allen County, Indiana Economic Development Revenue, (Debrand Inc. roject) Series 2002, AMT, (Bank One N.A. LOC),
2.270% 08/01/17**# 2,900 2,885 Bloomington, Indiana Multi-Family Revenue, (Willow Manor Apartments Project) Series 2002, AMT, (Fifth Third Bank LOC), 2.080% 11/01/32** 2,885 1,765 Burns Harbor Industrial Economic Development Revenue, (Dennen Steel Corporation Project) Series 2003, AMT, (Standard Federal Bank LOC), 2.080% 12/01/23** 1,765 1,600 Elkhart, Indiana Economic Development Revenue, (Vahala Foam Enterprises Project) Series 2002, AMT, (Bank One N.A.), 2.280% 09/01/17**# 1,600 5,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 1997, AMT, 2.020% 10/01/27** 5,000 7,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 1999, AMT, 2.020% 01/01/29** 7,000 10,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 2000A, AMT, 2.020% 01/01/28** 10,000 5,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 2001B, AMT, 2.020% 09/01/31** 5,000 6,000 Gibson County, Indiana PCR, (Toyota Motor Manufacturing Project) Series 200A, AMT, 2.020% 01/01/30** 6,000 3,182 Greencastle, Indiana Economic Development Revenue Refunding, (Round Barn Manor Project) Series 2003A, AMT, (Federal Home Loan Bank), 2.080% 01/01/28** 3,182 2,000 Greencastle, Indiana IDR, (Crown Equipment Corporation Project) Series 1996, AMT, (KeyBank N.A. LOC), 2.080% 02/01/11**# 2,000 16,000 Indiana Board Book Revenue Notes, (Midyear Funding Project) Series 2004A, 2.500% 01/26/05 16,012 4,300 Indiana Educational Facilities Authority, Series 2003, (Bank One N.A. LOC), 2.270% 10/01/33** 4,300 730 Indiana Health Facilities Financing Authority Revenue Refunding, (Cardinal Center, Inc. Project) Series 1996A, (Key Bank, N.A. LOC), 2.070% 12/01/16**# 730 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), 2.000% 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), 2.150% 01/01/10**# 800 8,398 Indiana State Housing Finance Authority Multi-Family Revenue, Series 1997M-A, AMT, (FHLB LOC), 2.050% 01/01/29** 8,398 6,155 Indiana Transportation Finance Authority Highway Revenue, Series 2004, (FGIC Insured, Citibank N.A. Liquidity Facility), 2.040% 12/01/14**# 6,155 6,000 Indiana Transportation Finance Authority Highway Revenue, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.030% 06/01/21**# 6,000 4,585 Indianapolis Local Public Improvement Bond Bank, Series 2004, AMT, (MBIA Insured, Svenska Handelsbanken SBPA), 2.080% 01/01/17**# 4,585 5,400 Jeffersonville, Indiana Economic Development Revenue, (Amatrol Project) Series 2003, AMT, (National City Bank of Kentucky LOC), 2.120% 04/01/23**# 5,400
2,850 Jeffersonville, Indiana Industrial Economic Development Revenue, (Eagle Steel Products Incorporated Project) Series 2001, AMT, (Fifth Third Bank LOC), 2.080% 08/01/21**# 2,850 9,045 Vincennes University, Indiana University Revenue, (Student Fee Project) Series 2002F, (Bank One Indiana N.A. LOC), 2.150% 10/01/22** 9,045 5,115 Washington County, Indiana Industrial Economic Development Revenue, (Frank Miller Lumber Company Project) Series 2001, AMT, (National City Bank of Indiana LOC), 2.120% 08/01/16**# 5,115 ------- 137,722 ------- IOWA - 0.5% 4,500 Clinton Iowa Industrial Development Revenue, (Sethness Products Co Project), Series 2004, (Northern Trust Company LOC), 2.100% 12/01/22** 4,500 4,500 Iowa Finance Authority Family Revenue, (Mortgage Backed Securities Proram G), AMT, Series 2004, (GNMA/FNMA Go Of Authority Insured, State Stree B&T Co SPA), 4,500 2.060% 07/01/34** 4,580 Iowa Finance Authority Single Family Revenue, Series 2002A-46, AMT, (GNMA/FNMA COLL, GO of Authority, Wachovia Bank N.A. Liquidity Facility), 2.110% 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), 2.000% 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), 2.040% 12/01/37** 6,500 1,000 West Burlington, Iowa IDR, (Borhi Oilhydraulic Project) Series 2001B, AMT, (American National Bank & Trust LOC) 2.150% 01/01/11**# 1,000 ------- 28,580 ------- KANSAS - 0.8% 5,400 Fredonia, Kansas Revenue, (Systech Environmental Corporation Project) Series 1989, AMT, (Banque Nationale de Paris LOC), 2.040% 02/01/07** 5,400 4,000 Junction City, Kansas IDR, (Genmar Manufacturing Project) Series 1999, AMT, (Bank of New York LOC), 2.100% 04/01/19**# 4,000 24,675 Kansas State Department of Transportation Highway Revenue, Series 2004C-3 (DEPFA Bank PLC SBPA), 1.690% 09/01/23** 24,675 9,200 Kansas State Development Finance Authority Exempt Facilities Revenue, (Seaboard Project) Series 1995A, AMT, (Bank of New York LOC), 2.100% 12/01/25**# 9,200 2,665 Sedgwick & Shawnee Counties, Kansas Single Family Revenue, Series 2002, 2.080% 12/01/27**@@ 2,665 ------- 45,940 ------- KENTUCKY - 3.1% 8,000 Campbellsville-Taylor County, Kentucky IDR, (Airguards Industrial Inc. Project) Series 2001, AMT, (Northern Trust Company LOC), 2.100% 05/01/31** 8,000 5,000 Carroll County, Kentucky IDR, (Kentucky Ladder Company Project) Series 1990, AMT, (Bankers Trust Company LOC), 2.230% 09/01/10** 5,000 470 Danville City, Kentucky, Series 2004 - 89, (PNC Bank Guarantee), 1.950% 03/11/05 470 15,000 Danville Kentucky, Series 2004, (PNC Bank, LOC), 1.840% 03/11/05 15,000 4,250 Daviess County, Kentucky Health Care Revenue, (Wendell Fosters Campus for Development Project) Series 2001, AMT, (National City Bank, Kentucky LOC),
2.060% 05/01/21**# 4,250 4,380 Daviess County, Kentucky Industrial Building Revenue, (Packaging Project) Series 2003, AMT,(National City Bank Kentucky 2.120% 05/01/18**# 4,380 2,450 Glasgow Kentukey Industrial Building Revenue, (Poly-Tech Corporation Project), Series 1994, (Fifth Third Bank LOC), 2.080% 05/01/14** 2,450 2,100 Greenup County, Kentucky Industrial Building Revenue, (Pathways Inc. Project) Series 2004, (Fifth Third Bank LOC), 2.010% 12/01/18**# 2,100 10,000 Henderson County, Kentukey Hospital Facilities Revenue, Series 2003B, (Fifth Third Bank LOC), 1.990% 12/01/25** 10,000 3,790 Jefferson County, Kentucky Industrial Building Revenue, (Dant Growth LLC Project) Series 2002, AMT, (Bank One Kentucky N.A. LOC), 2.340% 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), 2.010% 06/01/11**# 875 1,000 Jefferson County, Kentucky Retirement Home Revenue, (Nazareth Library Project) Series 1999, (Fifth Third Bank LOC), 2.010% 10/01/19**# 1,000 300 Jeffersontown, Kentucky Industrial Building Revenue, (Rague Food Systems, Inc. Project) Series 1995, AMT, (PNC Bank, N.A. LOC), 2.130% 04/01/20**# 300 31,000 Kentucky Asset / Liability Mommission General Fund Revenue, Series 2004A, 3.000% 06/29/05 31,160 10,000 Kentucky Economic Development Finance Authority, Industrial Building Revenue, (Goodwill Industries Project) Series 2003, 2.020% 08/01/23**# 10,000 10,000 Kentucky Higher Education Student Loan Corporation, Insured Student Loan Revenue, Series 1991E, AMT, (AMBAC Insured, GTD STD LNS), 1.980% 12/01/11** 10,000 1,000 Kentucky Rural Economic Development Authority Revenue, (Heaven Hill Project) Series 1991, AMT, (PNC Bank N.A. LOC), 2.080% 10/01/16** 1,000 1,920 Kentucky State Property and Building Community Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.030% 04/01/17**# 1,920 3,000 Kentucky State Property and Building Community Revenue, Series 2004, (FSA Insured, Citibank N.A. SBPA), 2.040% 10/01/18** 3,000 2,475 Lexington-Fayette Urban County, Kentucky Educational Facilities Revenue, (Lexington School Project) Series 2003, 2.010% 05/01/25**# 2,475 3,040 Louisville and Jefferson County, Kentucky Convention Center GO, Series 1996PT-69, (FSA Insured, Merrill Lynch SBPA), 2.030% 07/01/24**# 3,040 6,000 Minor Lane Heights, Kentucky Solid Waste Disposal Revenue, (Waste Management Kentucky LLC Project) Series 2003, AMT, (Wachovia Bank N.A. LOC), 2.080% 03/01/21** 6,000 41,200 Shelby County, Kentucky Lease Revenue, Series 2004A, (U.S. Bank N.A. LOC), 2.200% 09/01/34** 41,200 2,230 Shelby, Kentucky Industrial Building Revenue, (Truss Company Incorporated Kingbrook Project) Series 1998, AMT, (Fifth Third Bank LOC), 2.080% 06/01/18**# 2,230 2,100 West Buechel, Kentucky Industrial Building Revenue, (Berby Fabricating LLC Project) Series 2004, AMT, Series 2004, (Fifth Third Bank LOC), 2.080% 06/01/24** 2,100 ------- 171,740 -------
LOUISIANA - 0.9% 5,100 Calcasieu Parish Inc., Louisiana Industrial Development Board Revenue, (Hydroserve Westlake Project) Series 1999, AMT, (Bank One Chicago, N.A. LOC), 2.050% 12/01/24** 5,100 4,000 Denham Springs-Livingston Housing & Mortgage Finance Authority, Series 2004A, (Bayerische Landesbank GIC), 2.420% 12/01/07** 4,000 8,030 East Baton Rouge Parish, Louisiana Sales and Used Tax, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.030% 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), 2.040% 07/15/23**# 8,145 2,050 Louisiana Housing Finance Agency, Multi-Family Housing Revenue, (Restoration Project) Series 2002A, AMT, (Regions Bank LOC), 2.140% 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), 2.050% 01/01/24** 4,000 6,650 Louisiana State GO, Series 1998A, (AMBAC Insured), 5.500% 04/15/05 6,725 6,000 Plaquemines, Louisiana, Port Harbor And Terminal District, Port Facilities Revenue, (Chevron Pipe Line Company Project) Series 1984, 1.750% 09/01/08 6,008 7,500 Port New Orleans, Louisiana Revenue, (New Orleans Cold Storage Project) Series 2002, AMT, (Whitney National Bank LOC, SunTrust Bank LOC), 2.110% 11/01/22** 7,500 ------ 51,558 ------ 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), 2.100% 04/01/21** 11,600 5,000 Maine State Housing Authority Mortgage Purchase, Series 2004B-3, AMT, (State Street Bank & Trust Company), 2.000% 11/15/35** 5,000 5,000 Maine State Housing Authority Mortgage Purchase, Series 2004B-3, AMT, (State Street Bank & Trust Company), 2.000% 11/15/38** 5,000 ------ 21,600 ------ MARYLAND - 1.2% 6,000 Baltimore County, Maryland, Series 2004 - 95, (Westdeutsche Landesbank Girozentrale Guarantee), 1.820% 02/09/05 6,000 5,350 Carroll County, Maryland County Commissioners Economic Development Revenue, Shelter System Limited Facility, Series 2004, AMT, (Branch Banking & Trust LOC), 2.120% 07/01/24**# 5,350 49,300 Maryland State Community Development Administration Department Housing & Community Development, Series 2004K, AMT, 2.100% 03/01/32 49,300 6,840 Maryland State Industrial Development Finance Authority Economic Development Revenue, (General Binding Corporation Project) Series 1996, AMT, (Harris Trust & Savings Bank LOC), 2.060% 03/01/26** 6,840 ------ 67,490 ------ MASSACHUSETTS - 0.3% 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 8,000 Massachusetts State Development Finance Agency Multifamily Revenue, Series 2004 A, (PNC Bank N.A. LOC), 2.060% 12/01/37** 8,000 ------ 15,995 ------
MICHIGAN - 5.3% 4,475 Detroit, Michigan GO, City School District, Series 2004, (FGIC Insured, SBLF Insured, Merrill Lynch Capital Services SBPA), 2.020% 11/01/20**# 4,475 2,150 Livonia Economic Development Corporation, (Foodland Distributions Project), Series1986A, (Comerica Bank LOC), 2.000% 12/01/11** 2,150 22,005 Michigan (State of), 1.900% 10/05/05 22,005 42,150 Michigan (State Of), Series 2004 -04-A, (DEPFA Bank Plc Guarantee), 2.200% 10/05/05 42,150 20,000 Michigan Municipal Bond Authority Revenue, Series 2004B-1, 3.000% 08/19/05 20,180 50,000 Michigan State Building Authority, Series 2004 - 4, (The Bank of New York LOC, State Street Bank & Trust Co LOC), 1.750% 01/20/05 50,000 4,670 Michigan State Housing Development Authority, Rental Housing Revenue, Series 2001 PA 849, (MBIA Go of Authority Insured, Merill Lynch Capital Services SBPA), 2.020% 12/01/05**# 4,670 3,250 Michigan State Strategic Fund Limited Obligation Revenue, (B & C Leasing LLC Project) Series 1999, AMT, (LaSalle Bank N.A. LOC), 2.100% 07/01/24** 3,250 16,911 Michigan State Strategic Fund Solid Waste Disposal Revenue, (Grayling Generating Project) Series 1990, AMT, (Barclays Bank of New York LOC), 2.020% 01/01/14** 16,911 9,500 Michigan State, Housing Development Authority, Multi-Family Revenue, (Canterbury Project) Series 2003A, AMT, (LaSalle Bank N.A. LOC), 2.070% 06/01/38** 9,500 97,000 Wayne Charter County Michigan Airport Revenue, Series 2002, (FGIC Insured), 2.010% 12/01/32** 97,000 19,220 Wayne Charter County, Michigan Airport Revenue Refunding, (Detroit Metropolitan County Project) Series 1996, AMT, (Bayerische Landesbank LOC), 2.020% 12/01/16** 19,220 ------- 291,511 ------- MINNESOTA - 1.6% 11,670 Minneapolis - St. Paul, Minnesota Metropolitan Airports Commission Airport Revenue, Series 2004, AMT, (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% 01/01/05 100 3,000 Minneapolis, Minnesota Multi-Family Revenue Housing, (Gateway Real Estate Project), Series 2002, AMT, (LaSalle Bank N.A. LOC), 2.050% 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), 2.100% 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 50,483 10,000 Minnesota State Higher Education Facilities Authority Revenue, (University St. Thomas Project) Series 2004, (LaSalle Bank N.A. LOC), 2.020% 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 9,712 ------- 86,965 ------- MISSISSIPPI - 0.3% 300 Mississippi Business Finance Corporation, (Trilogy Communications Project) Series 1995, AMT, (First Union National Bank LOC), 2.200% 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 - 1.7% 6,110 Clay County, Missouri GO, Public School District Number 53 Liberty, Series 2004, (FSA Insured, State Aid Direction, Merrill Lynch Capital Services SBPA), 2.030% 03/01/12**# 6,110 2,000 Jefferson County, Missouri Industrial Development Authority, Multi-Family Housing Revenue, (Sunset Pointe Project) Series 2000, AMT, (LaSalle Bank N.A. LOC), 2.060% 10/01/30** 2,000 750 Kansas City, Missouri Industrial Development Authority, Multi-Family Housing Revenue, (Crooked Creek Apartments II Project) Series 2004B, AMT, (FHLB LOC), 2.090% 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), 2.070% 09/01/39**# 5,600 4,590 Kirkwood, Missouri Tax Increment Revenue, (Kirkwood Commons Projects), Series 2004, (U.S. Bank N.A.LOC), 2.270% 10/01/17** 4,590 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), 2.050% 03/01/20** 17,000 20,390 Missouri State Development Finance Board Lease Revenue, (Missouri Association of Utilities Lease Pool Project) Series 1999, (TransAmerica Life and Annuity Guarantee), 2.030% 12/01/22** 20,390 1,500 Missouri State Development Finance Board, Air Cargo Facilities Revenue, (St. Louis Air Project) Series 2000, AMT, (American National Bank & Trust LOC), 2.050% 03/01/30** 1,500 3,575 Missouri State Health & Educational Facilities Authority Health Facilities Revenue, Series 2001B, (U.S. Bank N.A. LOC), 2.270% 08/01/31** 3,575 3,295 Missouri State Health & Educational Facilities Authority Health Facilities Revenue, Series 2004, (U.S. Bank N.A. LOC), 2.270% 08/01/34** 3,295 1,965 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), 2.050% 11/01/13** 1,965 4,175 Nodaway County, Missouri Industrial Development Authority Educational Facilities Revenue, (Northwest Foundation Incorporation Project) Series 2002, (U.S. Bank N.A. LOC), 2.050% 11/01/32** 4,175 2,150 St. Charles County, Missouri Industrial Development Authority, Multi-Family Revenue, (Peine Lakes Apartments Project) Series 2004, AMT, (Wachovia Bank N.A. LOC), 2.040% 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), 2.100% 03/01/38** 20,000 ------ 93,100 ------ NEBRASKA - 0.6% 5,055 Lancaster County, Nebraska IDR, (Garner Industries, Inc. Project) Series 2000A, AMT, (Wells Fargo Bank, N.A. LOC), 2.140% 11/01/20** 5,055 6,275 Nebraska Help Inc. Student Loan Revenue, Series 1986A, AMT, (MBIA Insured),
2.050% 12/01/16**# 6,275 9,695 Nebraska Help Inc. Student Loan Revenue, Series 1986B, AMT, (MBIA Insured), 2.050% 12/01/16**# 9,695 8,100 Nebraska Help Inc. Student Loan Revenue, Series 1986C, AMT, (MBIA Insured), 2.050% 12/01/16**# 8,100 6,375 Nebraska Public Power District Revenue, Series 1995A, (MBIA Insured), 5.500% 01/01/13 6,439 ------ 35,564 ------ NEVADA - 0.8% 5,020 Clark County, Nevada Airport Revenue, Series 2004, AMT, (FGIC Insured, Citibank N.A. Liquidity Facility), 2.080% 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), 2.250% 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), 2.030% 06/01/29** 11,500 3,450 Las Vegas, Nevada GO, Sewer and Flood Control, Series 2001, (FGIC Insured), 5.000% 04/01/05 3,480 4,430 Nevada Housing Division, Multi-Unit Housing Revenue, (Studio 3 LP Project), Series 1999A, AMT, (US Bank, N.A. LOC), 2.000% 10/01/30** 4,430 ------ 45,855 ------ 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), 2.040% 09/01/12** 3,500 ------ NEW JERSEY - 1.0% 18,545 Camden County, New Jersy Municipal Utilities Authority Swr Revenue, Series 1990B, (FGIC Insured), 2.201% 09/01/05*** 18,277 34,700 New Jersey Economic Development Authority Economic Development Revenue, (Encap Golf Holdings LLC Project) Series 2004, AMT, (Wachovia Bank N.A. LOC), 2.000% 02/01/16** 34,700 2,000 New Jersey State Transit Corporation Capital Grant Anticipation Note, Series 2000B, (AMBAC Insured), 5.500% 02/01/05 2,007 ------ 54,984 ------ NEW MEXICO - 1.4% 5,220 New Mexico Finance Authority State Transition Revenue, Series 2004, (MBIA Insured, Citigroup Global Market Liquidity Facility), 2.040% 06/15/23**# 5,220 5,275 New Mexico Mortgage Finance Authority, Series 2004, AMT, (GNMA FNMA FHLMC Insured, Merrill Lynch Capital Services SBPA), 2.080% 07/01/08**# 5,275 65,000 New Mexico State, Series 2004, (Lehman Liquidity Company Liquidity Facility), 2.050% 06/30/05**# 65,000 ------ 75,495 ------ NEW YORK - 5.7% 27,700 Erie County, New York, Series 2004, (Citigroup Global Markets LOC), 3.000% 07/13/05 27,846 10,810 Forest City, New Rochelle, New York, Revenue Certificate, Series 2003, (JP Morgan Chase Bank LOC), 2.030% 06/01/11**# 10,810
14,030 Liberty NY Development Corp, (Greenwich LLC),Series 2004, (Wells Fargo Bank N.A. LOC) 1.980% 12/01/39** 14,030 4,495 Metropolitan Transitional Authority New York Revenue, Series 2002, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.150% 05/15/10**@@ 4,489 4,175 Metropolitan Transitional Authority New York Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.020% 11/15/10**# 4,175 930 Monroe County, New York Industrial Development Agency, Civic Facilities Revenue, (Hillside Childrens Center Project) Series 1998, (Key Bank, N.A. LOC), 2.070% 08/01/18**# 930 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 20,600 New York State Housing Finance Agency Revenue, Series 1998, (Fannie Mae Insured, Fannie Mae Liquidity Facility), 1.990% 05/15/31** 20,600 25,000 New York State Housing Finance Agency Revenue, Series 2001, AMT, (FNMA Insured, FNMA Liquidity Facility) 1.990% 05/15/33** 25,000 33,000 New York State Housing Finance Agency Revenue, Series 2003A, (Fannie Mae Insured, Fannie Mae Liquidity Facility), 1.980% 05/15/36** 33,000 44,000 New York State Housing Finance Agency Revenue, Series 2004 - 2001-A, (FREDDIC MAC Liquidity Facility), 2.000% 11/01/33** 44,000 24,029 New York State Power Authority, 1.820% 03/04/05 24,029 1,600 New York, New York City Housing Development Corporate Multi-Family Revenue, (Manhattan Court Development Project), Series 2004A, AMT, (CitiBank N.A. LOC), 2.020% 06/01/36** 1,600 30,200 New York, New York City Housing Development Corporation, Series 1998 A, (FNMA Collateral Agreement & Liquidity Facility), 1.990% 11/15/28** 30,200 7,700 New York, New York City Housing Development Corporation, Series 2004 A, (Citibank N.A. LOC), 2.020% 06/01/36** 7,700 7,925 New York, New York City Industrial Development Agency Civic Facility Revenue, (Jamaica First Parking LLC Project) Series 2004, (JP Morgan Chase Bank LOC), 2.010% 03/01/34** 7,925 11,600 New York, New York City Municipal Water Finance Authority, Water and Sewer Revenue, Series 2003F-2, (Bayerische Landesbank SBPA), 2.180% 06/15/35** 11,600 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**@@ 8,095 335 New York, New York GO, Series 2003A, (Bank of Nova Scotia LOC), 1.950% 08/01/31** 335 6,590 New York, New York GO, Series 2004C-3, ( CIFG Insured, Depfa Bank PLC SBPA), 1.970% 08/15/29** 6,590 3,465 Port Authority New York and New Jersey, Series 2003, AMT, (AMBAC GO of Authority, Citigroup Global Market Liquidity Facility), 2.070% 12/15/32**# 3,465 13,955 Port Authority New York and New Jersey, Series 2004, AMT, (FGIC Insured, GO of Authority, Merrill Lynch Capital Services SBPA), 2.010% 05/15/10**# 13,955 1,430 Port Authority New York and New Jersey, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.040% 11/01/16**# 1,430 5,250 Sales Tax Asset Receivable Corporation, New York, Series 2004 PT-2414, (MBIA Insured), 2.010% 10/15/29** 5,250
3,500 Triborough Bridge & Tunnel New York Authority Revenues, Series 2003, (MBIA Insured, Merrill Lynch Capital Services, SBPA), 2.010% 05/15/17**# 3,500 600 Westchester County, New York Industrial Development Agency Civic Facility Revenue, (Westchester Jewish Project) Series 1998, (Chase Manhattan Bank LOC), 2.040% 10/01/28**# 600 ------- 313,154 ------- NORTH CAROLINA - 1.4% 21,441 Board of Governors University of North Carolina, Series 2004 1.820% 02/01/05 21,441 15,000 Board Of Governors University Of North Caroolina, Series 2004 1.850% 03/10/05 15,000 2,915 Catawba County, North Carolina Industrial Facilities and Pollution Control Financing Authority Revenue, (Von Drehle Properties Project) Series 2001, AMT, (BB&T LOC), 2.120% 12/01/21**# 2,915 4,625 Davidson County, North Carolina Industrial Facility and Pollution Control Financing Authority Industrial, (Childress Winery Project) Series 2004, AMT, 2.120% 04/01/26**# 4,625 5,190 Guilford County, North Carolina Multi-Family Housing Revenue, (Brentwood Crossings Apartments) Series 2003, AMT, (Suntrust Bank LOC), 2.060% 12/01/35** 5,190 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), 2.150% 01/01/11**# 1,700 4,640 Mecklenburg County, North Carolina Multi-Family Housing Revenue, (Barrington Oaks Apartments Project) Series 2003, AMT, (SunTrust Bank LOC), 2.110% 09/01/35** 4,640 1,900 North Carolina Agriculture Finance Authority Agriculture Development Revenue, (McGill Environment System Project) Series 2003, AMT, (Branch Bank & Trust LOC), 2.120% 12/01/15**# 1,900 10,000 North Carolina Capital Facility Finance Agency Exempt Facility Revenue, (Services Incorporated Project) Series 2004, AMT, (Suntrust Bank LOC), 2.230% 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), 2.120% 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), 2.120% 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), 2.120% 03/01/14**# 4,315 ------- 78,916 ------- OHIO - 2.3% 3,850 Akron, Ohio Metropolitan Housing Authority Facility Improvement, (Administration Building Project) Series 1998, (Fifth Third Bank LOC), 2.010% 04/01/18**# 3,850 5,000 Bellevue, Ohio Hospital Facilities Revenue, (Bellevue Hospital Project) Series 2003, (Fifth Third Bank LOC), 2.010% 08/01/33**# 5,000 850 Centerville, Ohio Health Care Revenue, (Bethany Lutheran Village Hospital Project) Series 1994, (PNC Bank of Ohio, N.A. LOC), 2.030% 11/01/13**# 850 15,800 Cleveland, Ohio Waterworks Revenue, Series 2002L, (FGIC Insured, Westdeutsche Landesbank SBPA), 1.990% 01/01/33** 15,800 55,725 Columbus, Ohio Regional Airport Authority Revenue, Series 2004, (U.S.
Bank N.A. LOC), 2.010% 03/01/34** 55,725 340 Greene County, Ohio IDR, (FC Ltd. - AFC Stamping Project) Series 1995, AMT, (Key Bank, N.A. LOC), 2.140% 09/01/16**# 340 4,870 Hamilton County, Ohio Health Care Facilities Revenue, (Talbert Services Income Project) Series 2002, (Fifth Third Bank LOC), 2.010% 07/01/27**# 4,870 6,225 Kettering, Ohio IDR, Series 2002, AMT, (Merrill Lynch Capital Services SPBA), 2.120% 11/01/34**# 6,225 1,045 Lucas County, Ohio IDR, (Dynamic Dies Income Project) Series 1997, AMT, (National City Bank LOC), 2.170% 07/01/09**# 1,045 2,000 Muskingham Watershed Conservancy District Ohio, Series 2003, (Fifth Third Bank LOC), 2.010% 05/01/23**# 2,000 9,000 Ohio State Air Quality Development Authority Revenue, Series 2004A, AMT, (ABN AMRO Bank N.V. LOC), 2.050% 06/01/24** 9,000 4,700 Ohio State, Air Quality Development Authority Revenue, Series 2000 PA 769R, (AMBAC Insured, Merill Lynch Capital Services Liquidity Facility), 2.020% 11/01/20**# 4,700 750 Summit County, Ohio IDR, (Oliver Printing Company, Inc. Project) Series 1997, AMT, (Bank One of Akron, N.A. LOC), 2.150% 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), 2.020% 01/01/18**# 15,800 ------- 125,955 ------- OKLAHOMA - 0.6% 1,795 Claremore, Oklahoma Industrial and Redevelopment Industrial Development Authority Revenue, (Whirlwind Steel Buildings Project) Series 2001, AMT, (Chase Manhattan Bank LOC), 2.080% 09/01/16** 1,795 17,000 Oklahoma Development Finance Authority Revenue, (Conoco Project) Series 2002, AMT, (JP Morgan Chase Bank LOC), 2.030% 06/01/37** 17,000 8,800 Oklahoma Development Finance Authority Revenue, (Seabrook Farms Inc. Project) Series 1997, AMT, (Bank of New York LOC), 2.100% 03/01/27**# 8,800 2,640 Oklahoma Housing Finance Agency Single Family Revenue, (Homeownership Loan Program) Series 2001PT-1288, AMT, (GNMA Collateral Agreement, Merrill Lynch SBPA), 2.080% 09/01/29**@@ 2,640 5,100 Oklahoma Transportation Authority Oklahoma Turnpike Systems Revenue, Series 2002A, (AMBAC Insured), 5.000% 01/01/05 5,100 ------- 35,335 ------- OREGON - 1.9% 1,000 Oregon State Economic Development Revenue, (McFarland Cascade Project) Series 1996, AMT, (U.S. Bank of Washington LOC), 2.100% 11/01/16** 1,000 5,000 Oregon State Housing & Community Services Department Mortgage Revenue, Series 2004 L, (State Street B&T CO SPA), 2.030% 07/01/35** 5,000 7,500 Oregon State Housing and Community Services Department Mortgage Revenue, Single Family Mortgage, Series 1991E, AMT, 2.000% 07/01/34** 7,500 40,000 Oregon State TAN, Series 2004A, 3.000% 06/30/05 40,241 2,000 Oregon State, Economic Development Revenue, (KRC Western Inc. Project) Series 1997-178, AMT, (Wachovia Bank LOC), 2.040% 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 15,000 Oregon State, Oregon State Treasury Department, Series 2000 L73J-Reg D, (Lehman Liquidity Facility), 2.050% 06/30/05**# 15,000 20,000 Port Portland, Oregon Special Obligation Revenue, (Portland Bulk Terminals LLC Project) Series 1996, AMT, (Canadian Imperial Bank LOC), 2.040% 10/01/25** 20,000 4,500 Port Portland, Oregon Special Obligation Revenue, (Portland Bulk Terminals Project) Series 1999, AMT, (Canadian Imperial Bank LOC), 2.040% 10/01/25** 4,500 ------- 105,241 ------- OTHER TERRITORIES - 0.3% 18,255 Charter Mac Equity Issuer Trust Various States, Series 2004, (Merrill Lynch Capital Services SPA, Standby Credit Facility with Merrill Lynch & Co., Inc. Guarantee), 2.100% 11/15/25**# 18,255 ------- PENNSYLVANIA - 3.9% 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 12,495 Delaware Valley Pennsylvania Regional Financial Authority Local Government Revenue, Series 2002, (Merrill Lynch Capital Services SPA), 2.090% 01/01/14**# 12,495 26,995 Delaware Valley Pennsylvania Regional Financial Authority Local Government Revenue, Series 2002, (Merrill Lynch Capital Services SPA), 2.090% 09/01/26**# 26,995 29,995 Delaware Valley, Pennsylvania Regional Finance Authority Local Government Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.090% 08/01/28**# 29,995 4,995 Delaware Valley, Pennsylvania Regional Financial Authority Local Government Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA) 2.090% 07/01/27**# 4,995 1,550 Elk County, Pennsylvania Industrial Development Authority Revenue, (Clarion Sintered Metals Project) Series 1998, AMT, (PNC Bank, N.A. LOC), 2.130% 03/01/09**# 1,550 700 Pennsylvania Economic Development Financing Authority Development Revenue, (Pennsylvania Bar Institute Project) Series 1996B, AMT, (PNC Bank, N.A. LOC), 2.010% 04/01/15**# 700 3,000 Pennsylvania Economic Development Financing Authority, Series 2004, (Merrill Lynch Capital Services SBPA), 2.060% 11/01/21**# 3,000 14,500 Pennsylvania State Higher Education Assistance Agency Student Loan Revenue, Series 1988B, AMT, (AMBAC Insured, GTD STD LNS Insured, Wachovia Bank SBPA), 1.930% 07/01/18** 14,500 49,400 Pennsylvania State Higher Education Assistance Agency Student Loan Revenue, Series 1994, AMT, (AMBAC Insured GTD STD LNS, Westdeutsche Landesbank Girozentrale SBPA), 1.930% 12/01/24** 49,400 43,910 Pennsylvania State, Series 2004, 6.000% 02/01/05 44,063 2,660 Philadelphia, Pennsylvania Authority For Industrial Development Revenues, (Goldenberg Candy Project) Series 1997, AMT, (Wachovia Bank N.A. LOC), 2.080% 01/01/13**# 2,660 8,225 Pittsburgh, Pennsylvania GO, Series 1996A, (MBIA Insured), 6.000% 03/01/05 8,285
3,005 Westmoreland County, Pennsylvania Industrial Development Authority Revenue, (Elizabeth Carbide Die Project) Series 1998A, AMT, (National City Bank LOC), 2.120% 10/01/13**# 3,005 3,290 Westmoreland County, Pennsylvania Industrial Development Authority Revenue, (Rhodin Enterprises Project) Series 1997, AMT, (National City Bank, N.A. LOC), 2.080% 04/01/17**# 3,290 ------- 212,733 ------- RHODE ISLAND - 0.0%+ 2,295 Rhode Island State Industrial Facilities Corporation IDR, (Precision Turned Components Project) Series 2000, AMT, (Bank of New York LOC), 2.200% 05/01/11** 2,295 ------- SOUTH CAROLINA - 1.8% 3,000 Kershaw County, South Carolina IDR, (DeRoyal Textiles, Inc. Project) Series 1994, AMT, (SunTrust Bank of Nashville LOC), 2.060% 12/01/07**# 3,000 10,000 Piedmont Municipal Power Agency Electric Revenue, Series 1997 B, (Credit Suisse First Boston SPA), 2.000% 01/01/19** 10,000 6,200 Piedmont Municipal Power Agency South Carolina Electric Revenue, Series 2004, (MBIA Insured, Dexia Credit Local SBPA), 1.980% 01/01/31** 6,200 18,700 Piedmont Municipal Power Agency, South Carolina Electric Revenue, Series 2004B-1, (MBIA Insured, JP Morgan Chase Bank), 1.980% 01/01/34** 18,700 2,820 South Carolina Jobs Economic Development Authority Development Revenue, (Spartanburg YMCA Project) Series 1996, (First Union National Bank LOC), 2.090% 06/01/18**# 2,820 11,250 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Giant Cement Holding Inc. Project) Series 2002, AMT, (Citibank N.A. LOC), 2.010% 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), 2.130% 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), 2.090% 03/01/11** 3,500 5,355 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Raynor USA Southeast Project) Series 2000, AMT, (LaSalle Bank, N.A. LOC), 2.080% 05/01/20** 5,355 1,080 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Sargent Metal Fabricators Project) Series 2002, AMT, (Branch Banking & Trust LOC), 2.120% 11/01/22**# 1,080 5,000 South Carolina Jobs Economic Development Authority Economic Development Revenue, (Waste Management South Carolina Project) Series 2003, AMT, (Wachovia Bank N.A. LOC), 2.060% 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), 2.130% 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), 2.090% 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), 2.100% 03/01/12**# 2,730 5,125 South Carolina Jobs Economic Development Authority IDR, (Quoizel, Inc. Project) Series 1996, AMT, (Branch Banking & Trust LOC), 2.120% 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), 2.080% 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), 2.140% 10/01/25** 2,844 12,845 South Carolina Transportation Infrastructure Bank Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.030% 04/01/12**# 12,845 ------- 100,449 ------- SOUTH DAKOTA - 0.1% 300 South Dakota Economic Development Financing Authority IDR Refunding, (Lomar Development Company Project) Series 1996B, AMT, (US Bank, N.A. LOC), 2.200% 08/01/08**# 300 8,185 South Dakota State Housing Development Authority, Series 1998PT-168, AMT, (Banque Nationale de Paris SBPA), 2.080% 05/01/27**# 8,185 ------- 8,485 ------- TENNESSEE - 3.6% 4,100 Blount County, Tennessee Industrial Development Board IDR, (Arrowhead Partners LP Project) Series 2003, AMT, (SunTrust Bank LOC), 2.110% 12/01/13** 4,100 1,000 Cumberland County, Tennessee Industrial Development Board Industrial Development Revenue, (Delbar Products Incorporated Project) Series 1997, AMT, (PNC Bank N.A. LOC), 2.130% 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), 2.030% 09/01/18** 5,980 7,030 Knox County, Tennessee 1st Utility District Water and Sewer Revenue Refunding, Series 2003, (Amsouth Bank LOC), 2.140% 12/01/10** 7,030 5,350 Memphis, Tennessee Health Educational and Housing Facilities Board Revenue, (Springdale Creek Apartments Project) Series 2003A, AMT, (First Tennessee Bank LOC), 2.250% 01/01/35**# 5,350 5,095 Metropolitan Government Nashville & Davidson County Tennessee Industrial Board Revenue Refunding, (Rodgers/Welch Venture Project) Series 1989, (Amsouth Bank of Alabama LOC), 2.050% 12/01/14**# 5,095 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), 2.040% 12/01/43** 9,400 3,010 Shelby County, Tennessee Health Educational and Housing Facilities Board Multi-Family Housing Revenue, (Flag Manor Project) Series 1995, AMT, (FHLB Guarantee), 2.020% 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), 2.250% 12/01/20**# 2,700 10,000 Shelby County, Tennessee, Health Development and Housing Facility Board Revenue, (Arbors of Germantown Project) Series 1994, (PNC Bank N.A. LOC), 2.080% 07/01/24** 10,000 1,000 Springfield, Tennessee Industrial Development Board Revenue, (All American Homes of Tennessee Project) Series 1994, AMT, (Bank One of Michigan, N.A. LOC), 2.150% 11/01/09**# 1,000 5,000 Sullivan County, Tennessee Industrial Development Board Revenue, (Modern Forge Company Project) Series 1990, AMT, (Northern Trust
Company LOC), 2.130% 07/01/10**# 5,000 7,500 Sumner County, Tennessee Sumner Finance Accounting Department (Capital Outlay ), Series 2004B, (Suntrust Bank LOC), 2.000% 06/01/07** 7,500 124,875 Tennessee Housing Development Agency Single Family Mortgage, Series 2004, AMT, 1.946% 12/08/05** 124,875 3,000 Union County Tennessee Industrial Development Board Industrial Development Revenue, (Cooper Container Corporation Project), Series 2004, (Suntrust Bank LOC), 2.060% 12/01/14** 3,000 ------- 195,040 ------- TEXAS - 16.4% 45,000 Austin Texas (City of), (JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank LOC), 1.870% 02/07/05 45,000 150 Austin Texas (City OF), (JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank LOC), 1.900% 02/07/05 150 900 Bell County, Texas Industrial Development Corporation IDR, (Metal Sales Manufacturing Corporation Project) Series 1998, AMT, (Firstar Bank N.A. LOC), 2.130% 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), 2.130% 06/01/28** 10,375 20,000 Bexar Metropolitan Water, Series 2004, (BayerISCHE Hypotheken, LOC), 1.850% 02/03/05 20,000 17,000 Brazos River Authority Texas Pollution Control Revenue, Series 2001,(Wachovia Bank N.A. LOC), 2.030% 10/01/30** 17,000 47,460 Brazos River Authority, Texas PCR, (TXU Energy Company Project) Series 2002A, (JP Morgan Chase Bank LOC), 2.030% 05/01/37** 47,460 6,535 Bridgeport, Texas GO Independent School District, Series 2004, (PSF-GTD, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY-AGMT), 2.030% 08/15/08**# 6,535 5,225 Corsicana Texas Independent School District, Series 2004, (PSF Guaranteed, Merrill Lynch Capital SVCS SBPA), 2.030% 02/15/24**# 5,225 15,000 Dallas Area Rapid Transit, 1.820% 01/26/05 15,000 7,500 Dallas, Texas Housing Finance Corporation Multi-Family Housing Revenue, (The Masters Apartments Project) Series 2004, AMT, (FNMA Insured, FNMA Liquidity Facility), 2.030% 07/15/37** 7,500 16,180 Dallas-Fort Worth, Texas International Airport Facility Revenue, (Flightsafety Project) Series 1999, AMT, (OBH, Inc. Guarantee), 2.020% 07/01/32** 16,180 9,840 Dallas-Fort Worth, Texas International Airport Revenue, Series 2003, AMT, (Merrill Lynch Capital Services SBPA), 2.080% 05/01/11**@@ 9,840 3,000 Dallas-Fort Worth, Texas International Airport Revenue, Series 2004, AMT, (MBIA Insured, Citigroup Global Market Liquidity Facility), 2.080% 11/01/33**# 3,000 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), 2.080% 09/01/23**# 8,185 3,682 Galveston County, Texas Housing Finance Corporation Single Family Mortgage Revenue, Series 2004A, AMT, (Bayerische Landesbank GIC), 2.390% 12/01/37** 3,682 13,600 Gulf Coast, Texas Waste Disposal Environmental Facilities Authority Revenue, (Exxonmobil Project) Series 2002, AMT
2.200% 12/01/25** 13,600 75,000 Harris County, Texas Floating Rate Trust Receipts, Series 2004, (Lehman Liquidity Company Liquidity Facility), 2.050% 02/28/05**# 75,000 14,700 Harris County, Texas Health Facilities Development Corporation Special Facilities Revenue, (Texas Medical Center Project) Series 1999B, (FSA Insured, JP Morgan Chase Bank SBPA), 2.200% 05/15/29** 14,700 2,550 Harris County, Texas Health Facility Development Corporation Revenue, Blood Center Gulf Coast Regional, Series 1992, (JP Morgan Chase and Company LOC) 2.050% 04/01/17** 2,550 9,141 Heart of Texas Housing Finance Corporation, Series 2002A, AMT, (Bayerische Landesbank GIC), 2.240% 06/01/05** 9,141 1,270 Hillsboro, Texas Industrial Development Corporation Revenue, (Lamcraft LP Project) Series 1997, AMT, (First Commercial Bank LOC), 2.300% 07/01/13**# 1,270 10,000 Houston Texas (City of), 1.820% 01/20/05 10,000 8,000 Houston Texas (City of), 1.800% 02/14/05 8,000 7,315 Houston Texas Utility System Revenue, (Spears DB -108), Series 2004, (MBIA Insured, Deutsche Bank Brokage Trading Company Liquidity Facility), 2.030% 05/15/28**# 7,315 7,900 Houston, Texas Airport System Revenue, Series 1998B, AMT, (FGIC Insured), 5.000% 07/01/05 8,027 15,090 Houston, Texas GO, Series 2004, (FSA Insured, Merrill Lynch Capital Services SBPA), 2.030% 09/01/09**# 15,090 4,850 Houston, Texas GO, Series 2004, (MBIA Insured, Citibank N.A. Liquidity Facility), 2.040% 03/01/08**# 4,850 3,500 Houston, Texas Housing Financial Corporation, (Mayfair Park Apartment), Series 2004, AMT, (FNMA Insured, FNMA Liquidity Facility), 2.030% 04/15/37** 3,500 5,215 Houston, Texas Utility System Revenue, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.030% 05/15/12**# 5,215 5,705 Houston, Texas Utility System Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.030% 05/15/14**# 5,705 15,000 Houston, Texas, Series 2004 93-A, (Westdeutsche Landesbank Insured, Bayerische Landesbank Insured), 1.800% 03/17/05 15,000 5,610 Klein, Texas Independent School District GO, Series 2003, (PSF-GTD, Merrill Lynch Capital Services SBPA), 2.030% 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), 2.030% 08/15/08**# 4,015 2,900 Mansfield, Texas Industrial Development Corporation Revenue, (Texas Inc. Project) Series 1986, AMT, (Bank One Texas N.A. LOC), 2.060% 11/01/26** 2,900 6,155 Northside, Texas Independent School District GO, Series 1993 (PSF-GTD), 1.286% 02/01/05*** 6,148 4,640 Northside, Texas Independent School District GO, Series 2004, (PSF-GTD, Merrill Lynch Capital Services SBPA), 2.030% 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), 2.030% 07/01/15** 1,200 6,060 Panhandle, Texas Regional Housing Financing, Series 2002, AMT, (Merrill
Lynch Capital Services SBPA), 2.120% 09/01/14**# 6,060 20,000 Panhandler-Plain Texas Higher Education Authority Inc., Series 1992 A, (MBIA Insured, Lloyds TSB Bank PLC SPA), 2.010% 06/01/21** 20,000 3,990 Plano, Texas Independent School District GO, Series 2004, (PSF-GTD, Citigroup Global Market Liquidity Facility), 2.040% 02/15/18**# 3,990 4,080 San Antonio, Texas Airport System Revenue, Series 2001, AMT, (FSA Insured) 5.500% 07/01/05 4,155 8,010 San Antonio, Texas Education Facility Corporation Revenue, (University of the Incarnate World Project) Series 2001, (Bank One Texas, N.A. LOC), 2.090% 12/01/21** 8,010 23,915 San Antonio, Texas Water Revenue, Series 2003A, (MBIA Insured, JP Morgan Chase Bank SBPA), 1.970% 05/15/33** 23,915 2,000 Tarrant Regal Water District Texas Water Revenue Refunding, Series 2002, (FSA Insured), 4.000% 03/01/05 2,009 1,895 Texas Lower Colorado River Authority, Series 2003, (AMBAC Insured, Citigroup Global Market Liquidity Facility), 2.040% 05/15/22**# 1,895 40,000 Texas Municipal Power Agency Revenue Floating Rate Trust Receipts, Series 2004, (FGIC Insured, Lehman Liquidity Company Liquidity Facility), 1.890% 09/01/11# 40,000 7,000 Texas Public Finance Authority, 1.820% 01/20/05 7,000 8,300 Texas State Department Housing and Community Affairs Single Family Revenue, Series 2004, AMT, (FSA Insured, GNMA Insured, FNMA Insured, FHLMC Insured, Depfa Bank PLC SBPA), 2.050% 03/01/35** 8,300 18,000 Texas State Department Housing and Community Affairs Single Family Revenue, Series 2004, AMT, (Municipal Products Income GIC-CDC) 1.950% 09/01/37 18,000 9,520 Texas State GO, College Student Loan, Series 2004, AMT, (SBPA Landesbank Hessen-Thueringen SBPA), 1.850% 02/01/11** 9,520 135,000 Texas State Tax RAN, Series 2004, 3.000% 08/31/05 136,247 7,120 Texas State Turnpike Authority Central Texas Turnpike System Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.110% 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), 2.120% 12/01/40**# 4,400 49,265 Texas State, GO, (Veterans Housing Assist Project) Series 2003, AMT, (VA Guarantee, Bayerische Landesbank Liquidity Facility) 1.980% 06/01/34** 49,265 35,000 Texas State, Series 2004D, (Lehman Liquidity Company Liquidity Facility), 1.980% 08/31/05**# 35,000 5,275 Travis County Texas Housing Finance Corporation Single Family Mortgage Revenue, Series 2001, (GNMA Collateral Insured, Merrill Lynch Capital Liquidity Facility), 2.080% 09/01/18** 5,275 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), 2.030% 08/15/37** 6,700 14,000 University Of Texas System Board of Regents Revenue Financing, Series 2004 -A 1.850% 03/09/05 14,000 10,275 University of Texas System Board of Regents Revenue Financing, Series 2004,(Universityof Texas Investment Management company (UTIMCO)
Liquidity Facility), 1.850% 02/08/05 10,275 15,000 University of Texas System Board of Regents Revenue Financing, Series 2004-A, 1.850% 03/10/05 15,000 11,158 University of Texas System, 1.820% 02/04/05 11,158 6,535 Wylie, Texas Independent School District GO, Series 2004, (PSF-GTD, Merrill Lynch Capital Services, SBPA), 2.030% 08/15/08**# 6,535 ------- 893,337 ------- UTAH - 4.0% 5,325 Central Utah Water Conservancy District, Series 2004, AMBAC Insured, (Merrill Lych Captial Services Inc, SBPA), 2.030% 04/01/22**# 5,325 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), 2.150% 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), 2.060% 09/01/14**# 3,200 3,730 Salt Lake City, Utah IDR, (Spring Air Project) Series 2003, AMT, (US Bank N.A.), 2.060% 07/01/23** 3,730 3,100 Tooele City, Utah IDR, (Encon Utah LLC Project) Series 2002A, AMT, (U.S. Bank N.A. LOC), 2.100% 10/01/22** 3,100 5,900 Utah Associated Municipal Power Systems Revenue, (Capital Apprec-Ref-Hunter Project), Series 1992, AMBAC Insured, 1.862% 07/01/05*** 5,846 10,200 Utah Housing Corporation Single Family Mortgage Revenue, Series 2005 I, (Bayerische Landesbank Liquidity Facilicity), 2.350% 07/01/36** 10,200 8,790 Utah Housing Corporation, Single Family Mortgage Revenue, Series 2002A-1, AMT, (Westdeutsche Landesbank Girozentrale LOC), 2.050% 07/01/33** 8,790 9,095 Utah Housing Corporation, Single Family Mortgage Revenue, Series 2002C-2, AMT, (Westdeutsche Landesbank Girozentrale SBPA), 2.050% 07/01/33** 9,095 20,000 Utah State Board Regents Student Loan Revenue, Series 1993A, AMT, (GTD STD LNS, Lloyds Bank LOC), 1.980% 11/01/23** 20,000 35,000 Utah State Board Regents Student Loan Revenue, Series 1995, AMT, (AMBAC Insured, GTD STD LNS, Lloyds TSB Bank plc SBPA), 1.980% 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), 1.980% 11/01/31** 38,500 26,355 Utah State Board Regents Students Loan Revenue, Series 1996R, AMT, (AMBAC Insured, GTD STD LNS, Credit Communl Belgiquee SBPA), 1.980% 11/01/31** 26,355 12,400 Utah State Building Ownership Authority Lease Revenue, Series 1998 B, (FSA Insured), 2.063% 05/15/05*** 12,307 9,995 Utah State, Housing Finance Agency, Single Family Mortgage Revenue, Series 2000C-1, AMT, (Bayerische Landesbank SBPA), 2.050% 07/01/31** 9,995 1,000 West Jordan, Utah IDR, (Vesper Corporation Project) Series 1994A, AMT, (PNC Bank LOC) 2.130% 04/01/14** 1,000 ------- 220,493 -------
VERMONT - 0.2% 13,000 Vermont Industrial Development Authority Revenue, (Ryegate Wood Energy Company Project) Series 1990, AMT, (ABN AMRO Bank, N.V. LOC), 2.070% 12/01/15** 13,000 ------- VIRGINIA - 0.7% 11,730 Fairfax County, Virginia, Series 2004 - A (St Aid Withholding Insured), 2.000% 04/01/05 11,734 4,500 Fredericksburg, Virginia Industrial Development Authority Multi-Family Housing Revenue, (Forest Village Apartments Project) Series 2001A-1, AMT, (SunTrust Bank LOC), 2.060% 01/01/33** 4,500 4,325 Madison County, Virginia Industrial Development Authority Revenue, (Madison Wood Preservers Project) Series 1998, AMT, (Wachovia Bank of North Carolina N.A. LOC), 2.040% 06/01/13**# 4,325 9,250 Prince William County, Virginia IDR, (Dale Scott Corporation Project) Series 2001, AMT, (First Union National Bank LOC), 2.040% 12/01/21** 9,250 4,790 Richmond, Virginia Industrial Development Authority Revenue ( Facilities-Church Schools) Series 2001,(Suntrust Bank LOC), 2.160% 12/01/31** 4,790 4,000 Westmoreland County, Virginia Industrial Development Authority, Economic Development Revenue, (Second Development LLC Project) Series 2003, AMT, (Wells Fargo Bank N.A. LOC), 2.090% 08/01/19** 4,000 ------- 38,599 ------- WASHINGTON - 2.1% 4,190 Central, Washington University System Revenue, Series 2004, (FGIC Insured, Citigroup Global Market Liquidity Facility), 2.040% 05/01/21**# 4,190 2,250 Clark County, Washington Public Utilities District Number 001 Generating System Revenue, Series 1995, (FGIC Insured), 6.000% 01/01/05 2,250 3,370 King County, Washington Housing Authority Revenue, (Auburn Court Apartments Project) Series 1997, AMT, (US Bank N.A. LOC), 2.030% 12/01/27** 3,370 5,610 King County, Washington Sewer Revenue, Series 2003, (FGIC Insured, Citigroup Global Market Liquidity Facility), 2.040% 01/01/20**# 5,610 6,260 King County,Washington Director Association, Series 2004-5 1.848% 02/17/05*** 6,245 1,100 Klickitat County, Washington Public Corporation, (Mercer Ranches Project) Series 1996, AMT, (U.S. Bank N.A. LOC), 2.100% 12/15/10** 1,100 2,000 Pierce County, Washington Economic Development, (McFarland Cascade Project) Series 1996, AMT, (U.S. Bank N.A. LOC), 2.100% 12/01/17** 2,000 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, Series 2004A-2, (Bayerische Landesbank NY Guarantee), 1.850% 03/09/05 3,775 11,250 Seattle, Washington Housing Authority Revenue, (Rainier Vista Project Phase I) Series 2003, AMT, (Key Bank N.A. LOC), 2.050% 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), 2.050% 05/01/19** 2,490 6,085 Tacoma, Washington Convention Center and Parking Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.030% 12/01/24**# 6,085 5,145 Washington State GO, Series 2003, (FSA Insured, Citigroup Global Market
Liquidity Facility), 2.040% 07/01/19**# 5,145 7,500 Washington State GO, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.030% 01/01/10**# 7,500 2,075 Washington State Health Care Facility Authority Revenue, (Sisters of Providence Project) Series 1995, AMT, (AMBAC Insured), 2.100% 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.), 2.200% 05/15/35** 13,600 8,300 Washington State Housing Finance Commission, Multi-Family Mortgage Revenue, (Inglenook Court Project) Series 1995, AMT, 2.030% 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), 2.100% 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), 2.120% 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), 2.100% 05/01/28** 1,350 2,885 Washington State Housing Finance Community Multi-Family Revenue, (Rosemont Apartments Project) Series 2003A, AMT, (Umpqua Bank LOC, Bank of the West LOC), 2.160% 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), 2.100% 09/01/27** 2,000 6,000 Washington State Public Power Supply System Nuclear Project Number 3 Revenue, Series 1990, (MBIA-IBC Insured), 1.644% 07/01/05*** 5,951 ------- 113,266 ------- WEST VIRGINIA - 0.5% 7,435 Beckley, West Virginia Revenue Refunding, (Beckley Water Company Project) Series 2003, AMT, (Bank One West Virginia LOC), 2.150% 10/01/16**# 7,435 1,300 Marion County, West Virginia County Commission Solid Waste Disposal Facility Revenue, (Grantown Project) Series 1990C, AMT, (National Westminster LOC), 2.000% 10/01/17** 1,300 1,000 Mercer County, West Virginia IDR Refunding, (Noland Company Project) Series 1989, (First Union National Bank LOC), 2.240% 05/01/06**# 1,000 7,055 Pleasants County, West Virginia County Commission IDR, (Simex, Inc. Building Project) Series 1999, AMT, (PNC Bank, N.A. LOC), 2.130% 12/01/19**# 7,055 5,000 Putnam County, West Virginia Solid Waste Disposal Revenue, (Toyota Motor Manufacture Project) Series 2000A, AMT, 2.020% 04/01/30** 5,000 2,555 West Virginia Public Energy Authority Revenue, (Morgantown Energy Project) Series 1998, AMT, (FSA Insured, BNP Paribas SBPA), 2.090% 01/01/05**# 2,555 2,350 West Virginia State University Revenues, Series 2004, (FGIC Insured, Citigroup Global Market Liquidity Facility), 2.040% 10/01/24**# 2,350 ------- 26,695 ------- WISCONSIN - 2.4% 3,135 Marathon City, Wisconsin Redevelopment Authority IDR, (Maratech Calvin Frost Project) Series 2003, AMT, (Fifth Third Bank LOC), 2.080% 10/01/35** 3,135
2,940 Menomonee Falls, Wisconsin Industrial Development Authority IDR, (Jema, LLC Project) Series 1994, AMT, (Bank One Milwaukee, N.A. LOC), 2.150% 09/01/14**# 2,940 1,500 Oconomowoc Wisconsin community Development Authority Multifamily Revenue, Series 2004, (Lasalle Bank N.A. LOC), 2.140% 12/01/44** 1,500 1,300 Oconto, Wisconsin, IDR, (Unlimited Services of Wisconsin Project) Series 2000, AMT, (U.S. Bank N.A. LOC), 2.200% 11/01/12**# 1,300 800 Park Falls, Wisconsin IDR, (Weather Shield Project) Series 2000, AMT, (Bank One Wisconsin LOC), 2.150% 08/01/20**# 800 800 Pewaukee, Wisconsin IDR, (Gunner Press & Finishing Project) Series 2000, AMT, (Bank One Wisconsin LOC), 2.150% 09/01/20**# 800 2,950 Pleasant Prairie, Wisconsin IDR, (Nucon Corporation Project) Series 1995, AMT, (American National Bank & Trust Company LOC), 2.030% 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), 2.190% 09/01/29** 2,000 3,400 Sheboygan, Wisconsin IDR, (Subco Foods of Wisconsin) Series 2002, AMT, (American National Bank & Trust LOC), 2.280% 08/01/12**# 3,400 9,700 West Allis, Wisconsin Revenue (State Fair Park Exposition Center Project) Series 2001, (First Star Bank, N.A. LOC), 2.030% 08/01/28** 9,700 3,500 Whitewater, Wisconsin IDR, (Husco Internatinal Incorporate Project) Series 1997, AMT, (LaSalle Bank N.A.) 2.080% 12/01/12** 3,500 18,000 Winconsin, Housing & Economic Development Authority Home Ownership Revenue, Series 2004E, AMT, (LLOYDS TSB BANK PLC, SBPA), 2.000% 09/01/35** 18,000 18,000 Wisconsin Housing & Economic Development Authority, Home Ownership Revenue, Series 2004A, AMT, (GO of Authority, Westdeutsche Landesbank AG SPA), 2.000% 03/01/35** 18,000 10,000 Wisconsin Housing and Economic Development Authority Home Ownership Revenue, Series 2004A, AMT, (GO of Authority, Westdeutsche Landesbank AG SBPA), 2.000% 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), 2.000% 09/01/22** 10,000 3,790 Wisconsin Housing and Economic Development Authority, Housing Revenue, Series 2000A, AMT, (MBIA Insured, FHLB LOC), 2.000% 05/01/32** 3,790 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 12,112 3,475 Wisconsin State GO, Series 2004, (FSA Insured, Merrill Lynch Capital Services SPA), 2.030% 05/01/10**# 3,475 5,000 Wisconsin State Health & Educational Facilities Authority Revenue, Series 2003, (MBIA Insured), 2.030% 08/15/23**# 5,000 17,160 Wisconsin State, Health & Educational Facilities Authority Revenue, Series 2003, (MBIA Insured), 2.150% 08/15/19**@@ 17,160 --------- 129,562 --------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $5,775,180) 5,775,180 --------- TOTAL INVESTMENTS
(Cost $5,775,180*) 106.0% 5,775,180 ---------- OTHER ASSETS AND LIABILITIES (NET) (6.0)% (325,011) ---------- NET ASSETS 100.0% $5,450,169 ==========
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $5,775,180. ** Variable rate demand notes. The interest rate shown reflects the rate in effect at December 31, 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 December 31, 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 NOTES TO FINANCIAL STATEMENTS. NATIONS MONEY MARKET FUNDS NATIONS NEW YORK TAX EXEMPT RESERVES SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------- ------ MUNICIPAL BONDS AND NOTES - 101.4% NEW YORK - 99.0% $4,065 Albany, New York Industrial Development Agency Civic Facility Revenue, (Daughters of Sarah Housing Project) Series 2001A, (Troy Savings Bank LOC, Keybank N.A. LOC), 2.000% 03/01/31** $4,065 100 Buffalo, Fort Erie, New York, Public Bridge Authority Toll Bridge Systems Revenue, Series 1995, (MBIA Insured), 6.000% 01/01/05 100 3,000 East Farmingdale Volunteer Fire Company Income New York Revenue, (Volunteer Fire Department Project), Series 2002, (Citibank N.A. LOC), 1.990% 11/01/22** 3,000 820 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), 2.070% 11/01/16** # 820 3,000 Erie County, New York, Series 2004, (Citigroup Global Markets LOC), 3.000% 07/13/05 3,016 200 Forest City, New Rochelle, New York, Revenue Certificate, Series 2003, (JP Morgan Chase Bank LOC), 2.030% 06/01/11**# 200 185 Great Neck North Water Authority, New York, Water System Revenue, Series 1993 - A, (FGIC Insured, State Street Bank and Trust Company SBPA), 2.200% 01/01/20** 185 1,015 Hempstead Town, New York GO, Series 2004, (MBIA Insured), 3.000% 02/01/05 1,017 1,800 Hempstead, New York Industrial Development Agency, IDR Refunding, (Trigen-Nassau Energy Corporation Project) Series 1998, AMT, (Societe Generale LOC), 2.010% 09/15/15** 1,800 900 Jay Street Development Corporation New York, Certificate Facility Lease Revenue, Series 2003, (DEPFA Bank PLC LOC), 1.980% 05/01/22** 900 1,000 Jay Street Development Corporation New York, Certificate Facility Lease Revenue, Series 2003A-3, (DEPFA Bank LOC), 1.960% 05/01/22** 1,000 700 Jay Street Development Corporation New York, Cetificate Facility Lease Revenue (Jay Street New York City Project) Series 2001 A-3, (Toronto Dominion Bank LOC), 1.960% 05/01/21** 700 500 Jay Street Development Corporation New York,Certificate Facility Lease Revenue, Series 2003, (DEPFA Bank LOC), 1.960% 05/01/22** 500 3,500 Liberty NY Development Corp, (Greenwich LLC),Series 2004, (Wells Fargo Bank N.A. LOC) 1.980% 12/01/39** 3,500 910 Long Island Power Authority New York Electric System Revenue, Series 1998, (State Street B&T Company LOC), 2.200% 05/01/33** 910 1,100 Long Island, New York Power Authority, Electric Systems Revenue, Series 1998-2A, (Westdeutsche Landesbank Girozentrale LOC, State Street Bank & Trust Company LOC), 1.950% 05/01/33** 1,100 2,700 Long Island, New York Power Authority, Electric Systems Revenue,
Series 1998-3B, (Westdeutsche Landesbank LOC), 2.170% 05/01/33** 2,700 160 Manhasset, New York Unified Free School District GO, Series 2004, (FGIC Insured, State Aid Withholding), 3.250% 09/15/05 162 1,500 Metropolitan Transitional Authority New York Revenue, Series 2002, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.150% 05/15/10**@@ 1,498 1,100 Metropolitan Transitional Authority New York Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.020% 11/15/10**# 1,100 150 Middletown N Y City School District, Series 2002, (FSA ST AID WITHHLDG Insured). 2.500% 11/01/05 150 2,670 Monroe County, New York Industrial Development Agency, Civic Facilities Revenue, (Hillside Childrens Center Project) Series 1998, (Key Bank, N.A. LOC), 2.070% 08/01/18**# 2,670 400 Monroe County, New York Industrial Development Agency, Civic Facilities Revenue, (St. Ann's Home For Aged Project) Series 2000, (HSBC Bank USA LOC), 1.990% 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), 1.990% 07/01/30** 2,400 3,500 Nassau County, New York Interim Finance Authority, (Sales Tax Secondary Project) Series 2002B, (FSA Insured, Paribas BNP-SBPA), 1.950% 11/15/22** 3,500 1,600 New York City Municipal Water, Series 2004, 1.850% 03/03/05 1,600 1,300 New York City, New York Municipal Water Finance Authority, Water and Sewer Systems Revenue, Series 1995A, (FGIC Insured, FGIC-SPI-SPA), 2.170% 06/15/25** 1,300 1,600 New York City, New York Transitional Finance Authority Revenue, Series 1998A, (Credit Local De France, Morgan Guaranty Trust Company of New York, Bank of Nova Scotia SBPA) 1.950% 11/15/27** 1,600 1,500 New York Metropolitan Transitional Authority Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.630% 11/15/10**@@ 1,500 300 New York State Dormitory Authority Revenue, Series 1998, (MSRB Insured), 4.250% 07/01/05 303 1,500 New York State Dormitory Authority Revenue, (Mental Health Services), Series 2003D-2A, (MBIA Insured, JP Morgan Chase Bank SBPA), 1.980% 02/15/31** 1,500 50 New York State Dormitory Authority Revenue Insured, (Barnard College Project) Series 1996, (AMBAC Insured), 5.000% 07/01/05 51 500 New York State Dormitory Authority, Series 2004, (MBIA Insured). 3.000% 07/01/05 502 2,400 New York State Environment Facility, Series 2004 92-A 2.030% 01/04/05 2,400 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), 1.980% 11/01/37** 1,400 450 New York State Housing Finance Agency Revenue, (South Cove Plaza Project), Series 1999A, AMT, (FHLMC LOC), 2.050% 11/01/30** 450 800 New York State Housing Finance Agency Revenue, Series 2002-A, AMT, (Keybank N.A. LOC), 2.030% 11/01/35** 800 3,000 New York State Housing Finance Agency, Housing 101 West End
(Remarketed - 5/1/02), Series 1999, AMT, (Fannie Mae Liquidity Facility), 1.990% 05/15/31** 3,000 2,000 New York State Local Assistance Corporation Revenue, Series 1993, (Bayerische Landesbank Girozentrale LOC, Westdeutsche Landesbank Girozentrale LOC), 1.930% 04/01/22** 2,000 1,700 New York State Local Assistance Corporation Revenue, Series 1994B, (Westdeutsche Landesbank LOC), 1.920% 04/01/23** 1,700 2,500 New York State Local Government Assistance Corporation Revenue, Series 1995B, (Societe Generale LOC), 1.950% 04/01/25** 2,500 2,700 New York State Local Government Assistance Corporation Revenue, Series 1995G, (Bank of Nova Scotia LOC), 1.930% 04/01/25** 2,700 500 New York State Local Government Assistance Corporation, Series 1998A, (FGIC Insured, GO of Corporation), 4.250% 04/01/05 504 1,000 New York State Power Authority Revenue GO, General Purposed, Series 1985, (Dexia Credit Local Liquidity Facility), 1.350% 03/01/07 1,000 2,000 New York State Power Authority, Series 2004-1. 1.740% 02/11/05 2,000 2,200 New York State Power Authority, Series 2004-1. (JP Morgan Chase Bank Guarantee), 1.800% 02/07/05 2,200 2,000 New York State Power Authority, Series 2004-2. (JP Morgan Chase Bank Guarantee.) 1.720% 02/10/05 2,000 2,100 New York State Thruway Authority Generating Revenue, Series 2004A, 2.250% 10/06/05 2,106 500 New York State Tollway Authority Highway and Bridge Funding, Series 2002-B, (MBIA Insured), 6.000% 04/01/05 506 160 New York State Tollway Authority Highway and Bridge Traffic Fund, Series 2000A, (FSA Insured), 4.900% 04/01/05 161 1,650 New York State Tollway Authority Second General Highway and Bridge Trust Fund, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.010% 04/01/12**# 1,650 100 New York State Urban Development Corporation Revenue Refunding, Series 1994, (AMBAC-TCRS Insured), 5.300% 01/01/05 100 500 New York State, Housing Finance Agency Revenue, (Chelsea Apartments Project) Series 2003A, AMT, (FNMA Liquidity Facility), 2.050% 11/15/36** 500 350 New York Triborough Bridge & Tunnel Authority Revenue, Series 2001B, (AMBAC Insured, State Street Bank & Trust Company SBPA), 1.950% 01/01/32** 350 1,500 New York Triborough Bridge Tunnel Authority Revenue Refunding, Series 2002C, (AMBAC Insured, Westdeutsche Landesbank Liquidity Facility), 1.950% 01/01/33** 1,500 2,700 New York, New York City Housing Development Corporate Multi-Family Revenue, (Manhattan Court Development Project), Series 2004A, AMT, (CitiBank N.A. LOC), 2.020% 06/01/36** 2,700 800 New York, New York City Housing Development Corporation Multi-Family Rent Housing Revenue, (Brittany Development Project) Series 1999, AMT, (FNMA Collateral Agreement), 2.000% 06/15/29** 800 150 New York, New York City Housing Development Corporation, Multi-Family Rent Housing Revenue, Series 2001A, AMT. 1.990% 11/15/31** 150 1,200 New York, New York City Housing Development Corporation, Multi-Family Revenue, (Atlantic Court Apartments Project) Series 2003A, AMT, (HSBC
Bank U.S.A. Loc), 1.990% 12/01/36** 1,200 1,200 New York, New York City Housing Development Corporation, Multi-Family Revenue, Series 2003, (HSBC Bank USA LOC), 1.960% 12/01/36** 1,200 1,600 New York, New York City Industrial Development Agency Civic Facility Revenue, (Jamaica First Parking LLC Project) Series 2004, (JP Morgan Chase Bank LOC), 2.010% 03/01/34** 1,600 3,600 New York, New York City Municipal Water Finance Authority, Water and Sewer Revenue, Series 2003F-2, (Bayerische Landesbank SBPA), 2.180% 06/15/35** 3,600 1,300 New York, New York City Transitional Finance Authority Revenue, Series 1998 A-1, (Commerzbank SBPA), 2.000% 11/15/28** 1,300 800 New York, New York City Transitional Finance Authority, Series 2002-1A, (Landesbank Hessen Thueringen Liquidity Facility), 1.950% 11/01/22** 800 995 New York, New York City Transitional Finance Authority, Series 2003, (Citigroup Global Market Liquidity Facility), 2.010% 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**@@ 1,900 400 New York, New York City Transitional Finance Authority, Subseries 2002C, (New York SBPA), 1.980% 11/01/22** 400 400 New York, New York City Trust Cultural Resources revenue, Pierpont Morgan Library, Series 2004, (JP Morgan Chase Bank LOC), 1.980% 02/01/34** 400 175 New York, New York GO Prerefunded, Series 1995F, 6.625% 02/15/25 178 300 New York, New York GO, Series 1994, 1.950% 08/15/24** 300 1,815 New York, New York GO, Series 2003A, (Bank of Nova Scotia LOC), 1.950% 08/01/31** 1,815 3,100 New York, New York GO, Series 2004C-3, (CIFG Insured, Depfa Bank PLC SBPA), 1.970% 08/15/29** 3,100 125 Norwich, New York City School District GO, Series 2000, (FSA Insured, State Aid Withholding), 4.625% 06/15/05 127 965 Oneida County, New York Industrial Development Agency Revenue, (Hamilton College Civic Facility Project) Series 2002, (MBIA Insured, Bank of New York SBPA), 2.000% 09/15/32** 965 985 Orange County, New York Industrial Development Agency, Life Care Community Revenue, (The Glen Arden Incorporated Project) Series 1994, 8.875% 01/01/25 1,004 700 Port Authority New York and New Jersey, Series 2004, AMT, (FGIC Insured, GO of Authority, Merrill Lynch Capital Services SBPA), 2.010% 05/15/10**# 700 1,235 Port Authority New York and New Jersey, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.040% 11/01/16**# 1,235 1,000 Sales Tax Asset Receivable Corporation, New York, Series 2004 PT-2414, (MBIA Insured), 2.010% 10/15/29** 1,000 3,900 Syracuse, New York Industrial Development Agency, IDR, (Byrne Dairy Income Facility Project) Series 1988, AMT, (Chase Manhattan Bank LOC), 2.080% 08/01/08**# 3,900 1,500 Syracuse, New York RAN, Series 2004D, (Bank of New York LOC), 2.750% 06/30/05 1,508 710 Tompkins County, New York Industrial Development agency Revenue, Series 2000, (Wachovia Bank N.A. LOC),
1.970% 06/01/25** 710 1,000 Triborough Bridge and Tunnel Authority, New York Revenue Refunding, Series 2001C, (AMBAC Insured), 1.950% 01/01/32** 1,000 1,650 Triborough Bridge and Tunnel Authority, New York Special Obligation, Series 2000A, (FSA Insured), 1.950% 01/01/31** 1,650 70 Westchester County, New York Industrial Development Agency Civic Facility Revenue, (Westchester Jewish Project) Series 1998, (Chase Manhattan Bank LOC), 2.040% 10/01/28**# 70 -------- 115,283 -------- PUERTO RICO - 2.4% 1,500 Puerto Rico Commonwealth GO, Series 2001, (FSA Insured, Bank of New York Liquidity Facility), 2.000% 07/01/27**# 1,500 870 Puerto Rico Commonwealth Highway and Transportation Authority Revenue, Series 1999, (AMBAC Insured, Merrill Lynch Liquidity Facility), 1.990% 01/01/19**# 870 400 Puerto Rico Electric Power Authority Power Revenue Refunding, Series 1995W, (MBIA Insured), 6.500% 07/01/05 410 -------- 2,780 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $118,063) 118,063 -------- TOTAL INVESTMENTS (Cost $118,063*) 101.4% 118,063 -------- OTHER ASSETS AND LIABILITIES (NET) (1.4)% (1,660) -------- NET ASSETS 100.0% $116,403 ========
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $118,063. ** Variable rate demand notes. The interest rate shown reflects the rate in effect at December 31, 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 NOTES TO FINANCIAL STATEMENTS. NATIONS MONEY MARKET FUNDS NATIONS TAX EXEMPT RESERVES SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL VALUE AMOUNT (000) (000) - --------- -------- MUNICIPAL BONDS AND NOTES - 106.9% ALABAMA - 2.0% $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), 2.060% 07/01/22** $ 8,470 17,510 Birmingham, Alabama Medical Clinic Board Revenue, (Medical Advancement Foundation Project) Series 2000A, (Columbus Bank & Trust LOC), 2.350% 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), 2.140% 03/01/31**# 7,450 2,065 Foley, Alabama Public Park and Recreation Board Revenue, (YMCA Project) Series 2002, 2.040% 10/01/22** 2,065 3,577 Gardendale, Alabama Multi-Family Housing Revenue Refunding, (Ascot Place Apartments Project) Series 2002A, (FHLMC Liquidity Facility), 1.990% 10/01/32** 3,577 1,584 Gardendale, Alabama Multi-Family Housing Revenue Refunding, (Meadow Wood Apartments Project) Series 2002C, (FHLMC Liquidity Facility), 1.990% 10/01/32** 1,584 6,000 Tuscaloosa County, Alabama Education Board, Special Tax Anticipation Warrants, Series 2003, (Regions Bank LOC), 2.020% 02/01/16** 6,000 4,900 University, South Alabama, University Revenue, Series 2004, (FGIC Insured, JP Morgan Chase Bank Liquidity Facility), 2.030% 03/15/12**# 4,900 1,800 Vestavia Hills, Alabama, Series 2004B, (Southtrust Bank N.A. SBPA), 2.050% 02/01/24** 1,800 ------ 53,356 ------ ALASKA - 0.6% 9,995 Alaska State Housing Finance Corporation Housing Revenue, Series 1998 PA-332, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.030% 12/01/19**# 9,995 1,530 Alaska Student Loan Corporation Capital Project Revenue Capital, Series 2004, (MBIA Insured), 2.000% 01/01/05 1,530 5,880 Scottsboro, Alaska Solid Waste Disposal Authority Revenue, Series 2003, (Regions Bank LOC), 2.020% 11/01/18** 5,880 ------ 17,405 ------ ARIZONA - 1.4% 5,995 Arizona Health Facilities Authority Revenue, (Blood Systems Project) Series 1995, (Bank One, N.A. LOC), 2.150% 09/01/15**# 5,995 20,000 Arizona School District Financing Program Certificate Partnership TAN, Series 2004, 3.000% 07/30/05 20,176 3,230 Arizona Tourism and Sports Authority Tax Revenue, Series 2004, (MBIA Insured, Citigroup Global Market Liquidity Facility), 2.040% 07/01/21**# 3,230 8,000 Phoenix Civic Improvement Corporation, Series 2004, (Dexia Public
Finance, LOC), 1.470% 05/05/05 8,000 ------- 37,401 ------- CALIFORNIA - 5.8% 11,190 ABN AMRO Munitops Certificates Trust, Series 2004, (FSA Insured, State Aid Withholding, ABN AMRO Bank N.V. SBPA), 2.050% 01/15/12**# 11,190 4,020 Alvord, California United School District GO, Series 2004, (MBIA Insured, BNP Paribas SBPA), 2.010% 02/01/24**# 4,020 13,740 California State Department of Water Resources, Power Supply Revenue, Series 2002B-1, (Bank of New York LOC, California State Teachers Retirement LOC), 2.200% 05/01/22** 13,740 14,024 Los Angeles California Metropolitan Transportation, Series 2005, 1.850% 02/08/05 14,024 30,000 Los Angeles California, Series 2004, 6.000% 06/30/05 30,589 25,000 Los Angeles County, California Taxes and Revenue Antic, Series 2004A, 3.000% 06/30/05 25,155 25,000 Los Angeles, California TRAN, Series 2004, 3.000% 06/30/05 25,157 10,000 Los Angeles, California TRAN, Series 2004, 3.500% 06/30/05 10,097 3,100 Metropolitan Water District of Southern California Waterworks Revenue, Series 2000B-1, (Westdeutsche Landesbank SBPA) 2.150% 07/01/35** 3,100 20,000 Metropolitan Water District of Southern California Waterworks Revenue, Series 2003C-3, (Dexia Credit Local SBPA), 1.660% 07/01/30** 20,000 ------- 157,072 ------- COLORADO - 6.3% 40,000 Arapahoe County Colorado Capital Improvement Trust Highway Revenue, Series 1986 E-470, (Collateralized by U.S. Treasury Obligation, Collateralized by U.S. Treasury Strips) 7.000% 08/31/26 42,495 2,900 Arapahoe County, Colorado Capital Improvement Trust Fund Highway Revenue, Series 1986, 1.863% 08/31/10*** 2,047 2,000 Arapahoe County, Colorado Capital Improvement Trust, Federal Highway Revenue, Series 1986, 1.639% 08/31/07*** 1,766 1,900 Arapahoe County, Colorado Capital Improvement Trust, Federal Highway Revenue, Series 1986, 1.658% 08/31/11*** 1,244 11,725 Arapahoe County, Colorado Capital Improvement Trust, Federal Highway Revenue, Series 1986, 1.523% 08/31/15*** 5,643 5,795 Arapahoe County, Colorado GO School District Number 006, Series 2003, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.030% 12/01/10**# 5,795 3,230 Colorado Department Transit Revenue, Series 2003, (AMBAC Insured, CitiGroup Global Market Liquidity Facility), 2.040% 12/15/16**# 3,230 42,075 Denver, Colorado City and County Certificates of Participation, Series 2003, (AMBAC Insured, Dexia Credit Local SBPA), 2.000% 12/01/29** 42,075 5,655 Douglas County, Colorado School District Number 1, Series 2001, Putable Receipts - 163, (MBIA Insured, Morgan Guaranty SBPA), 2.030% 06/15/09**# 5,655 22,600 Jefferson County, Colorado School District No. R-001 TAN, Series 2004A, 3.000% 06/30/05 22,758 36,410 Moffat County, Colorado PCR, (Tri-State Colorado - Utah Electric Cooperative Project) Series 1984, (AMBAC Insured, Societe Generale
SBPA), 1.950% 07/01/10** 36,410 3,800 Pitkin County, Colorado Industrial Development Authority Revenue Refunding, (Aspen Skiing Project) Series 1994A, (First National Bank of Chicago LOC), 2.200% 04/01/16** 3,800 ------- 172,918 ------- CONNECTICUT - 0.4% 10,900 Connecticut Health and Education, Series 2004, 1.720% 02/11/05 10,900 ------- DELAWARE - 0.2% 4,385 Kent County, Delaware Revenue, (Charter School Incorporated Project) Series 2002, (Wachovia Bank N.A. LOC), 2.040% 11/01/22** 4,385 ------- DISTRICT OF COLUMBIA - 0.4% 2,000 District of Columbia GO, Series 1993, (FSA-CR Insured), 5.875% 06/01/05 2,035 8,495 District of Columbia Revenue Refunding, Series 2003, (Suntrust Bank LOC), 2.000% 10/01/30** 8,495 ------- 10,530 ------- FLORIDA - 5.4% 3,900 Alachua County, Florida Health Facilities Authority, (Meridian Behavioral Income Project) Series 2003, (Wachovia Bank N.A. LOC), 1.790% 07/01/18** 3,900 8,500 Dade County, Florida Special Revenue, (Youth Fair and Exposition Project) Series 1995, (SunTrust Bank of Central Florida LOC), 2.000% 08/01/15** 8,500 14,475 Florida Housing Finance Corporation Revenue, Series 2000 - PT 471, (Collateralized by FHLMC, Merrill Lynch Capital Services SBPA), 2.020% 10/01/32**# 14,475 14,100 Florida State Board of Education Lottery Revenue, Series 2003, (MBIA Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY-AGMT), 2.020% 07/01/11**# 14,100 8,400 Miami, Florida Health Facilities Authority Health Facilities Revenue, (Miami Jewish Home and Hospital Project) Series 1996, (SunTrust Bank Miami LOC), 2.000% 12/01/16**# 8,400 2,160 Miami-Dade County, Florida Educational Facilities Authority Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY-AGMT), 2.020% 10/01/11**# 2,160 7,600 Miami-Dade County, Florida Industrial Development Authority Revenue, (Dave and Mary Alper Community Project) Series 2002, (Northern Trust Company LOC), 2.000% 04/01/32** 7,600 10,000 Orange County, Florida Industrial Development Authority IDR, (Bishop Moore High School Project) Series 2000, (SunTrust Bank LOC), 2.000% 10/01/25** 10,000 21,500 Pinellas County, Florida School District TAN, Series 2004, 3.000% 06/30/05 21,642 7,250 Sunshine State Government Finance Commission, Series 2004-A, (Bank of Nova Scotia Guarantee), 1.740% 02/09/05 7,250 15,540 Sunshine State Government Finance Commission, Series 2004-G, (DEPFA Guarantee), 1.830% 02/10/05 15,540 500 Titusville, Florida Multi-Purpose Revenue, Series 1998 (Suntrust Bank LOC), 2.050% 01/01/25** 500 400 Titusville, Florida Multi-Purpose Revenue, Series 1999 (Suntrust Bank LOC), 2.050% 01/01/25** 400 4,400 Titusville, Florida Revenue, Series 1999A (Suntrust Bank LOC), 2.050% 01/01/25** 4,400
5,600 University of North Florida Foundation Income Revenue, Series 1997, (First Union National Bank LOC), 2.030% 11/01/27** 5,600 12,000 University of North Florida Foundation Income Revenue, Series 2000, (First Union National Bank LOC), 2.030% 11/01/30** 12,000 9,600 University of North Florida Foundation Income Revenue, Series 2003, (First Union National Bank LOC), 2.030% 11/01/24** 9,600 ------- 146,067 ------- GEORGIA - 7.7% 2,215 Clayton County, Georgia Authority Multi-Family Housing Revenue Refunding, (Kings Arms Apartments Project) Series 1990D, (FSA Insured, Societe Generale SBPA), 2.010% 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), 2.000% 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), 2.010% 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), 2.010% 01/01/21** 3,690 3,945 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Ten Oaks Apartments Project) Series 1990F, (FSA Insured, Societe Generale SBPA), 2.010% 01/01/21** 3,945 6,955 Clayton County, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Village Rouge Apartments Project) Series 1990C, (FSA Insured, Societe Generale SBPA), 2.010% 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), 2.020% 03/01/22** 7,200 2,740 Cobb County, Georgia Development Authority Revenue. YMCA, Series 2003, (Branch Banking and Trust LOC), 2.020% 12/01/25** 2,740 25,000 Cobb County, Georgia Hospital Authority Revenue, Anticipation of Certification, (Equip Pool Project) Series 2004, (Suntrust Bank LOC), 2.010% 04/01/34** 25,000 13,300 Cobb-Marietta, Georgia Coliseum and Exhibit Hall Authority Revenue, Jr. Lien, Series 1996A, (MBIA Insured, SunTrust Bank SBPA), 2.000% 10/01/26**# 13,300 7,500 Columbus, Georgia Development Authority Revenue, (Foundation Properties Incorporated Project) Series 2004, (Columbus Bank and Trust LOC), 2.060% 12/01/33** 7,500 20,100 Columbus, Georgia Hospital Authority Revenue, (St. Francis Hospital Inc., Project) Series 2000A, (Columbus Bank & Trust LOC), 2.030% 01/01/31**# 20,100 2,250 Columbus, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Quail Ridge Project) Series 1988, (Columbus Bank & Trust LOC), 2.070% 02/01/05** 2,250 7,500 DeKalb County, Georgia Development Authority IDR, (The Paideia School Inc. Project) Series 2000, (SunTrust Bank LOC), 2.000% 02/01/20** 7,500 5,240 DeKalb County, Georgia Development Authority Revenue, (American Cancer Society, Inc. Project) Series 1988, (SunTrust Bank LOC), 2.000% 05/01/13**# 5,240 3,000 DeKalb County, Georgia Development Authority Revenue, (Marist School, Inc. Project) Series 1999, (SunTrust Bank LOC), 2.000% 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), 2.000% 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), 2.000% 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), 2.000% 03/01/24**# 5,000 7,000 Fulton County, Georgia Development Authority Revenue, (Holy Innocents Episcopal Project) Series 2004, (Suntrust Bank LOC), 2.000% 08/01/24** 7,000 2,800 Fulton County, Georgia Development Authority Revenue, (Lovett School Project) Series 1997, (SunTrust Bank LOC), 2.000% 04/01/17**# 2,800 2,500 Fulton County, Georgia Development Authority Revenue, (Spelman College Project) Series 1996, (SunTrust Bank LOC), 2.000% 06/01/16** 2,500 11,000 Fulton County, Georgia Development Authority Revenue, (Westminster Schools Incorporated Project) Series 2003, (SunTrust Bank LOC), 2.000% 11/01/28** 11,000 11,900 Marietta, Georgia Housing Authority Multi-Family Housing Revenue Refunding, (Wood Knoll Project) Series 1994, (PNC Bank N.A. LOC), 2.080% 07/01/24** 11,900 14,665 Marietta, Georgia, Housing Authority, Multi-Family Revenue Refunding, (Wood Glen-RMKT Housing Project) Series 1994, Mandatory Put 07/01/04 @ 100, 2.080% 07/01/24** 14,665 16,700 Richmond County, Georgia Hospital Authority Revenue Anticipation Certificates, (University Health Services, Inc. Project) Series 1999, (SunTrust Bank LOC), 2.000% 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), 2.000% 08/01/23**# 4,850 ------- 210,345 ------- HAWAII - 0.8% 4,980 Honolulu City and County GO, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility), 2.040% 03/01/22**# 4,980 5,000 Honolulu Hawaii City and County GO, Series 2004A, (MBIA-IBC Insured, CitiBank N.A. Liquidity Facility), 2.040% 10/01/10**# 5,000 11,100 Honolulu, Hawaii City & County, Series 2001-C, (FGIC Insured, FGIC - SPI SBPA), 2.280% 12/01/17 11,100 ------- 21,080 ------- ILLINOIS - 6.7% 2,400 Aurora, Illinois Economic Development revenue, Series 2004, (Harris Trust and Savings Bank LOC), 2.000% 03/01/35** 2,400 22,575 Bolingbrook, Illinois GO, Series 2004, (Harris Trust and Savings Bank LOC), 1.980% 12/01/29** 22,575 7,200 Chicago Illinois Board of Education, Series 2004E, (FSA Insured, DEPFA Bank PLC SBPA), 2.050% 03/01/15** 7,200 10,575 Chicago Illinois, Series 2004, (FSA Insured, Deutsche Bank Trust Company Americas Liquidity Facility), 2.030% 01/01/29**# 10,575 2,785 Chicago, Illinois GO, Series 2004, (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.110% 07/01/29**# 2,785
4,350 Dekalb, Illinois Tax Increment Revenue, Series 2003, (Northern Trust Company LOC), 2.050% 01/01/13** 4,350 22,345 Illinois ABN AMRO, GO, Series 2002, (MBIA-IBC Insured, ABN AMRO Bank SBPA), 2.050% 12/01/10**# 22,345 4,500 Illinois Development Finance Authority Pollution Control Revenue, (Diamond Star Motors Project), Series 1985, 2.210% 12/01/08** 4,500 5,900 Illinois Development Finance Authority Revenue, (American Academy of Dermatology Project) Series 2001, (American National Bank & Trust LOC), 2.100% 04/01/21**# 5,900 4,080 Illinois Development Finance Authority Revenue, (Little City Foundation Project) Series 1994, (LaSalle National Bank LOC), 2.000% 02/01/19** 4,080 13,640 Illinois Educational Facilities Authority Revenue, (Benedictine University Project) Series 2000, (Lasalle Bank N.A. LOC), 2.010% 08/01/25** 13,640 15,110 Illinois Finance Authority Revenue, Series 2004, (Bank One N.A. LOC), 2.010% 04/01/35** 15,110 2,465 Illinois Health Facilities Authority Revenue, (Glenkirk Project) Series 1997, (Glenview State Bank, LaSalle National Bank, LOC), 2.000% 02/15/21**# 2,465 16,500 Illinois State Development Finance Authority Economic Development Revenue, (Roosevelt University Project) Series 1995, (American National Bank & Trust Company LOC), 2.000% 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), 2.000% 01/01/31** 2,420 2,360 Illinois State GO, Series 2003, (FSA Insured, Citigroup Global Market), 2.040% 12/01/20**# 2,360 5,995 Illinois State GO, Series 2004, (FGIC Insured, BNP Paribas SBPA), 2.030% 11/01/26# 5,995 9,575 Metropolitan Pier and Exposition Authority Illinois, Dedicated State Tax, Series 2004, (MBIA Insured, Citibank N.A. Liquidity Facility), 2.120% 12/15/31**# 9,575 7,000 Oak Forest, Illinois Revenue, (Homewood Pool - South Suburban Mayors Project) Series 1989, (Bank One, N.A. LOC), 1.990% 07/01/24** 7,000 5,000 Schaumburg, Illinois GO, Series 2004, (FGIC Insured, Citigroup N.A. Liquidity Facility), 2.040% 12/01/41# 5,000 6,290 Southern Illinois University Revenue, Series 2004, (AMBAC Insured), 2.030% 04/01/35**# 6,290 5,480 Will & Kendall Counties, Illinois GO, Community Construction School District Number 202, Series 2003, (FGIC Insured, Citigroup Global Market Liquidity Facility), 2.040% 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), 2.030% 07/01/08**# 5,145 ------- 183,690 ------- INDIANA - 2.7% 1,000 Angola, Indiana Educational Facility Revenue, (Tri State University Incorporated Project) Series 2004, (Fifth Third Bank LOC), 2.010% 09/01/15**# 1,000 15,000 Indiana Board Book Revenue Notes, (Midyear Funding Project) Series 2004A, 2.500% 01/26/05 15,011 2,430 Indiana Board Book Revenue, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility),
2.040% 09/01/21**# 2,430 5,475 Indiana Board Book Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.030% 02/01/12**# 5,475 2,500 Indiana Health Facilities Financing Authority Revenue, (Southern Indiana Rehab Hospital Project) Series 2001, (Bank One Kentucky N.A. LOC), 2.100% 04/01/20**# 2,500 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), 2.100% 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), 2.050% 07/01/33** 17,000 3,885 Indiana Transition Finance Authority Highway Revenue, Series 2004, (MBIA-IBC Insured, Merrill Lynch Capital Services SBPA), 2.030% 06/01/09**# 3,885 6,960 Indianapolis, Indiana Thermal Energy Systems Revenue, Series 2004, (MBIA Insured, Merrill Lynch SPA), 2.030% 10/01/08**# 6,960 4,440 St. Joseph County, Indiana Economic Development Revenue, (Brothers of the Holy Cross Project) Series 1997, (Key Bank, N.A. LOC), 2.070% 09/01/17**# 4,440 ------ 72,846 ------ KANSAS - 0.3% 9,500 Kansas Industrial Development Finance Authority Revenue, (PQ Corporation Project) Series 1988, (Bank of New York LOC), 2.170% 08/01/15** 9,500 ------ KENTUCKY - 2.2% 1,750 Christian County, Kentucky Industrial Building Revenue, ( Audubon Area Community Services Project) Series 2004, (Branch Banking and Trust LOC), 2.020% 01/01/29**# 1,750 12,315 Danville Kentucky, Series 2004, (PNC Bank, LOC), 1.840% 03/11/05 12,315 9,100 Jefferson County, Kentucky Multi-Family Housing Revenue Refunding, (Canter Chase Apartments Project) Series 2002, (FHLMC Liquidity Facility), 2.030% 06/01/32** 9,100 19,000 Kentucky Asset/Liability Mommission General Fund Revenue, Series 2004A, 3.000% 06/29/05 19,098 5,345 Kentucky State Property and Buildings Common Revenue, Series 2004, (FSA Insured, Merrill Lynch Capital Services SBPA), 2.030% 04/01/13**# 5,345 2,760 Mayfield, Kentucky Multi-City Lease Revenue, Kentucky League of Cities Funding Trust, Series 1996, (PNC Bank LOC), 2.080% 07/01/26** 2,760 5,200 Middletown, Kentucky Revenue, (Christian Academy Louisville Project) Series 1997, (Bank One of Kentucky, N.A. LOC), 2.100% 07/01/22**# 5,200 4,250 Wickliffe, Kentucky PCR & Solid Waste Disposal Revenue, (Westvaco Corporation Project) Series 2001, (SunTrust Bank LOC), 2.000% 01/01/09** 4,250 ------ 59,818 ------ LOUISIANA - 0.9% 10,000 Louisiana Public Facility Authority Lease Revenue, Series 2003, (SBPA Societe Generale), 2.040% 06/01/08** 10,000 5,000 Louisiana State Offshore Term Authority Deepwater Port Revenue, (Loop LLC Project) Series 2003, (Suntrust Bank LOC), 2.220% 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), 2.020% 02/15/23** 4,340 4,100 Upper Pontalba, Louisiana Building Restoration Corporation Revenue Refunding, (Upper Pontalba Building Project) Series 1996, (Bank One Louisiana, N.A. LOC), 2.100% 12/01/16** # 4,100 ------ 23,440 ------ MAINE - 0.2% 1,945 Maine Health and Higher Education Facilities Authority Revenue, Series 2004A, (MBIA Insured), 2.500% 07/01/05 1,954 2,720 Maine Health and Higher Educational Facility Authority Revenue, Series 2003, (FSA Insured, Merrill Lynch Capital Services SBPA), 2.030% 07/01/21**# 2,720 ------ 4,674 ------ MARYLAND - 2.1% 9,100 Baltimore County, Maryland Economic Development Revenue, (Blue Circle, Inc. Project) Series 1992, (Den Danske Bank LOC), 2.100% 12/01/17** 9,100 4,000 Baltimore County, Maryland Economic Development Revenue, (Torah Institution Baltimore Project) Series 2004, (Branch Banking and Trust LOC), 2.020% 05/01/24**# 4,000 3,800 Baltimore County, Maryland, Series 2004, (Westdeutsche Landesbank, LOC), 1.750% 02/11/05 3,800 40,000 Maryland State Community Development, Series 2004 J, 2.050% 03/01/20 40,000 ------ 56,900 ------ MICHIGAN - 7.1% 4,000 Ann Arbor, Michigan Economic Development, (Ann Arbor YMCA Project) Series 2004, (Fifth Third Bank LOC), 1.990% 04/01/34** 4,000 1,000 Grand Rapids, Michigan Public Schools GO, Series 2004, (Fifth Third Bank LOC), 2.010% 05/01/23** 1,000 5,000 Grand Valley, Michigan State University Revenue, Series 2001B, (FGIC Insured, Liquidity Facility), 1.990% 06/01/27** 5,000 30,000 Michigan (State of), Series 2004 -04-A, (DEPFA Bank Plc Guarantee), 2.200% 10/05/05 30,000 5,000 Michigan Higher Education Facilities Authority Revenue, Refunding Limited Obligation Hope College, Series 2004, (Bank One N.A. LOC), 2.030% 04/01/34** 5,000 4,500 Michigan Higher Education Facility Authority Revenue, (Hope College Project) Series 2002B, (Fifth Third Bank LOC), 2.030% 04/01/32** 4,500 10,500 Michigan Municipal Bond Authority Revenue, Series 2004B-1, 3.000% 08/19/05 10,594 2,395 Michigan Public Educational Facility Authority Revenue, Limited Obligation, (West Michigan Academy Project) Series 2003, (Fifth Third Ward LOC), 2.010% 12/01/18**# 2,395 4,185 Michigan State Building Authority Revenue, Series 2003, (MBIA Insured, Citigroup Global Market Liquidity Facility), 2.040% 10/15/18**# 4,185 29,025 Michigan State Building Authority, Series 2004 - 4, (The Bank of New York LOC, State Street Bank & Trust Co LOC), 1.750% 01/20/05 29,025 75,000 Michigan State Department of Treasury, Series 2004 A, 3.500% 09/30/05 75,825 8,100 Michigan State Hospital Financial Authority Revenue, Series 2003, (Fifth Third Bank LOC), 1.960% 12/01/32** 8,100 5,000 Michigan State South Central Power Agency, Power Supply System Revenue Refunding, Series 2004, (AMBAC Insured, Bank One N.A. SBPA), 2.040% 11/01/11** 5,000
6,500 Michigan State Strategic Fund Limited Obligation Revenue, (Partalis Property Project) Series 2003, AMT, (Fifth Third Bank LOC), 2.040% 11/01/33** 6,500 3,500 Michigan State, Underground Storage Tank Financial Assurance Authority, Series 1996 I, (AMBAC insured), 6.000% 05/01/05 3,548 ------- 194,672 ------- MINNESOTA - 0.9% 4,990 Minneapolis, Minnesota Community Development Agency Revenue, (Arena Acquisition Project) Series 1995A, (US Bank, N.A. LOC), 2.040% 10/01/24** 4,990 20,000 Minnesota School Districts Tax and Aid Anticipation Borrowing Program Certificate GO, Series 2004A, 3.000% 09/02/05 20,193 ------- 25,183 ------- MISSISSIPPI - 0.7% 5,000 Mississippi Business Finance Corporation Mississippi Revenue, (Belhaven College Project) Series 2004, (First Tennessee Bank LOC), 2.100% 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 5,000 Mississippi Development Bank Special Obligation, Series 2004, (FSA Insured, Merrill Lynch Capital Services SBPA), 2.030% 09/01/25# 5,000 ------- 20,000 ------- MISSOURI - 3.1% 1,570 Desloge, Missouri Industrial Development Authority IDR Refunding, (National Healthcorp Project) Series 1989, (Regions Bank LOC), 1.750% 12/01/10** 1,570 1,555 Dunklin County, Missouri Industrial Development Authority IDR Refunding, (National Healthcorp Project) Series 1989, (Regions Bank LOC), 1.750% 12/01/10** 1,555 18,400 Kansas City, Missouri Industrial Development Authority Multi-Family Housing Revenue, (Timberlane Village Associates Project) Series 1986, (UBS AG LOC), 2.060% 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), 2.010% 02/01/39** 29,560 20,425 Missouri State Development Finance Board Educational Facility Revenue, (Southeast Missouri State University Project) Series 2003, (U.S. Bank N.A. LOC), 1.970% 10/01/23** 20,425 8,390 Platte County, Missouri Industrial Development Authority Multi-Family Housing Revenue Refunding, (Wexford Place Project) Series 1996, (Bank One Texas, N.A. LOC), 2.020% 04/01/28**# 8,390 5,000 St. Louis, Missouri Industrial Development Authority Revenue Refunding, (Wetterau, Inc. Project) Series 1989, (PNC Bank, N.A. LOC), 2.010% 05/01/09**# 5,000 ------- 84,900 ------- NEBRASKA - 0.3% 4,060 Nebraska Elementary & Secondary School Finance Authority, Educational Facilities Revenue, (Lutheran School Project Fund) Series 2004B, (Fifth Third Bank LOC), 2.180% 09/01/29** 4,060 4,930 Nebraska Public Power District Revenue, Series 1995-A, (MBIA Insured), 5.375% 01/01/15 4,979 ------- 9,039 ------- NEVADA - 0.9% 6,195 Clark County, Nevada GO, School District, Series 1991, (FGIC Insured), 1.318% 03/01/05*** 6,182
5,915 Clark County, Nevada School District, Series 2004, (MBIA Insured), 2.030% 06/15/23** 5,915 8,635 Henderson, Nevada, Series 2004 PT - 2431 (FGIC Insured, Merrill Lynch Capital Services SBPA), 2.030% 06/01/24**# 8,635 3,980 Washoe County, Nevada School District, Series 2003, (FGIC Insured, CitiGroup Global Market Liquidity Facility), 2.040% 06/01/20**# 3,980 ------ 24,712 ------ NEW MEXICO - 2.2% 5,000 Farmington, New Mexico Hospital Revenue, (San Juan Regional Medical Center Project) Series 2004-B, (Bank of Nova Scotia LOC), 2.020% 06/01/28** 5,000 35,000 New Mexico State, Series 2004, (Lehman Liquidity Company Liquidity Facility), 2.050% 06/30/05**# 35,000 12,775 New Mexico State, Series 2004A, 3.000% 06/30/05 12,837 7,755 San Juan City, New Mexico Gross Receipts Tax Revenue, Series 2004, (MBIA Insured, Westdeutsche Landesbank AG SBPA), 2.030% 01/01/08**# 7,755 ------ 60,592 ------ NEW YORK - 6.6% 3,085 Albany, New York Industrial Development Agency Civic Facility Revenue, (Daughters of Sarah Housing Project) Series 2001A, (Troy Savings Bank LOC, Keybank N.A. LOC), 2.000% 03/01/31** 3,085 27,700 Erie County, New York, Series 2004, (Citigroup Global Markets LOC), 3.000% 07/13/05 27,846 3,250 New York, New York, Series 1993 - E5, (JP Morgan Chase Bank LOC), 2.250% 08/01/10** 3,250 20,425 New York City Transitional Finance Authority Revenue, Series 2001, (Landesbank Baden-Wurttemberg, Liquidity Facility), .920% 02/01/32** 20,425 3,385 New York City Transitional Financial Authority, New York City Recovery, Series 2002, (Bank of New York SBPA), 2.150% 11/01/22** 3,385 7,485 New York Metropolitan Transitional Authority Revenue, Series 2003, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 1.630% 11/15/10**@@ 7,485 12,800 New York State Housing Finance Agency Revenue, (North End Avenue Housing Project) Series 2004A, (Landesbank Hessen-Thuringen LOC), 1.980% 11/01/37** 12,800 74,300 New York State Housing Finance Agency Tribeca Green Housing, Series 2003A, (Landesbank Hessen-Thuringen Girozentrale, LOC), 1.650% 11/01/36** 74,300 1,000 New York State Tollway Authority Second General Highway and Bridge Trust Fund, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.010% 04/01/12**# 1,000 7,235 New York, Metropolitan Transit Authority Revenue, Series 2003, (MBIA Insured, CitiBank N.A. SBPA), 2.010% 11/15/28**# 7,235 8,710 New York, New York GO, Series 2004C-3, ( CIFG Insured, Depfa Bank PLC SBPA), 1.970% 08/15/29** 8,710 5,000 Sales Tax Asset Receivable Corporation, New York, Series 2004 PT-2414, (MBIA Insured), 2.010% 10/15/29** 5,000 3,500 Syracuse, New York RAN, Series 2004D, (Bank of New York LOC), 2.750% 06/30/05 3,519 2,450 Triborough Bridge and Tunnel Authority New York Revenue, Series 2002, (MBIA Insured, Merrill Lynch Capital Services SBPA), 2.010% 05/15/10**# 2,450 500 Westchester County, New York Industrial Development Agency Civic Facility Revenue, (Westchester Jewish Project) Series 1998, (Chase
Manhattan Bank LOC), 2.040% 10/01/28**# 500 ------- 180,990 ------- NORTH CAROLINA - 2.7% 2,465 Guilford County, North Carolina Industrial Facilities and Pollution control Fing Authority Revenue, (Recreational Faculties - YMCA Project) Series 2002, (Branch Banking and Trust LOC), 2.020% 02/01/23** 2,465 13,485 Henderson County, North Carolina Hospital Revenue, (Margaret R Pardee Memorial Hospital Project) Series 2001, (Branch Banking & Trust LOC), 2.020% 10/01/21** 13,485 5,800 North Carolina Capital Facilities Finance Agency Educational Facilities Revenue, (Campbell University Project) Series 2004, (Branch Banking and Trust LOC), 2.020% 10/01/24** 5,800 5,500 North Carolina Capital Facility Finance Agency Educational Facility Revenue, (Barton College Project) Series 2004, (Branch Banking & Trust LOC), 2.020% 07/01/19** 5,500 2,250 North Carolina Medical Care Commission Hospital Revenue, (Pooled Equipment Financing Project) Series1985, (MBIA Insured, KBC Bank N.V. SBPA), 1.980% 12/01/25** 2,250 10,615 North Carolina Medical Care Commission Retirement Facilities Revenue, (Aldersgate Project) Series 2001, (Branch Banking & Trust LOC), 2.050% 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), 2.020% 09/01/21** 3,980 9,600 North Carolina Medical Care Community Hospital Revenue, (Westcare Health System Project) Series 2002A, (Branch Banking & Trust LOC), 2.020% 09/01/22** 9,600 10,000 North Carolina Medical Care Community Retirement Facilities Revenue, Series 2003, (Bank of Scotland LOC), 2.020% 07/01/07** 10,000 5,000 North Carolina State GO, Series 2003, 3.000% 05/01/05 5,023 5,475 North Carolina State GO, Series 2003, (Merrill Lynch Capital Services SBPA), 2.030% 02/01/11**# 5,475 ------- 74,193 ------- NORTH DAKOTA - 0.3% 8,635 Grand Forks, North Dakota Health Care Facilities Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital Services SBPA, Merrill Lynch and Company GTY- AGMT) 2.030% 07/21/09**# 8,635 ------- OHIO - 2.2% 12,695 Cleveland, Ohio Waterworks Revenue, Series 2002L, (FGIC Insured, Westdeutsche Landesbank SBPA), 1.990% 01/01/33** 12,695 10,000 Columbus, Ohio Regional Airport Authority Revenue, Series 2004A, (U.S. Bank N.A. LOC), 2.010% 01/01/30** 10,000 2,620 Hamilton County, Ohio Economic Development Revenue, (CAA Complex at Jordan Project) Series 2003, (Fifth Third Bank LOC), 2.010% 12/01/24**# 2,620 2,350 Hamilton County, Ohio Economic Development Revenue, (Xavier H.S. Project) Series 2003, (Fifth Third Bank LOC), 1.990% 04/01/28** 2,350 1,805 Highland County, Ohio Joint Township Hospital District Facilities Revenue, Series 2004, (Fifth Third LOC), 2.010% 08/01/24**# 1,805 3,990 Jackson, Ohio GO Local School District Stark and Summit Counties,
2.020% 12/01/24**# 3,990 2,700 Lucas County, Ohio Facilities Improvement Revenue, (Toledo Zoological Society Project) Series 1997, (Key Bank, N.A. LOC), 2.020% 10/01/05** 2,700 8,000 Montgomery County, Ohio Economic Development Revenue, (The Dayton Art Institute Project) Series 1996, (National City Bank LOC), 2.050% 05/01/26** 8,000 14,340 Muskingum County, Ohio Hospital Facilities Revenue Refunding, (Genesis Healthcare System Project) Series 2000, (National City Bank LOC), 2.030% 12/01/20** 14,340 1,735 Ohio State Higher Educational Facility, Common Revenue, Higher Educational Pooled Financing, Series 2003A, (Fifth Third Bank LOC), 2.000% 09/01/24** 1,735 1,000 Warren County, Ohio Economic Development, (Ralph J Stolle Countryside Project) Series 2000, (Fifth Third Bank LOC), 2.010% 08/01/20**# 1,000 ------ 61,235 ------ OKLAHOMA - 0.1% 1,375 Oklahoma State Industrial Authority Revenue, (Amateur Softball Association Project) Series 2002, (Bank One Oklahoma N.A. LOC), 2.150% 06/01/14**# 1,375 ------ OREGON - 1.5% 4,000 Oregon State Housing and Community Services Department Management Revenue, Single-Family Management, Series 2003, 1.200% 07/01/19 4,000 20,000 Oregon State TAN, Series 2004A, 3.000% 06/30/05 20,120 10,000 Oregon State, Oregon State Treasury Department, Series 2000 L73J-Reg D, (Lehman Liquidity Facility), 2.050% 06/30/05**# 10,000 5,475 Salem-Keizer, Oregon GO, School District Number 24J, Series 2004, (FSA Insured, School Board Guarantee, Merrill Lynch Capital Services SBPA), 2.030% 12/15/11**# 5,475 ------ 39,595 ------ PENNSYLVANIA - 1.4% 6,505 Allegheny County, Pennsylvania IDR, (United Jewish Federation Project) Series 1995B, (PNC Bank, N.A. LOC), 2.010% 10/01/25** 6,505 11,340 Harrisburg, Pennsylvania Authority Revenue, (Cumberland Valley School Project) Series 2002B, (FSA Insured, Dexia Credit Local SBPA), 2.040% 03/01/34** 11,340 2,025 Harrisburg, Pennsylvania Authority Revenue, (West Brandywine Project) Series 2002D, (FSA Insured, Dexia Credit Local SPA), 2.040% 03/01/34** 2,025 5,000 Montgomery County, Pennsylvania Industrial Development Authority Revenue, (Plymouth Woods Project) Series 1987, (PNC Bank, N.A. LOC), 2.010% 09/01/06**# 5,000 7,000 Philadelphia, Pennsylvania Authority for IDR, (Newcourtland Elder Services Project) Series 2003, (PNC Bank N.A. LOC), 2.100% 03/01/27** 7,000 5,450 Philadelphia, Pennsylvania Redevelopment Authority, (The Presbyterian Home Project) Series 1998, (PNC Bank, N.A. LOC), 2.010% 07/01/28**# 5,450 ------ 37,320 ------ SOUTH CAROLINA - 2.3% 12,375 Piedmont Municipal Power Agency South Carolina Electric Revenue, Series 2004B-3, (AMBAC Insured, JP Morgan Chase bank SBPA), 1.980% 01/01/34** 12,375 3,150 Piedmont Municipal Power Agency, South Carolina Electric Revenue, Series 2004B-1, (MBIA Insured, JP Morgan Chase Bank), 1.980% 01/01/34** 3,150 13,145 South Carolina Jobs Economic Development Authority Health Facilities Revenue, (Carolina Village Project) Series 2000, (Branch Banking & Trust LOC),
2.020% 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), 2.020% 06/01/24** 6,250 5,490 South Carolina State Public Service Authority Revenue, Series 2002, (FSA Insured, Merrill Lynch Capital Services SBPA), 2.030% 07/01/10**# 5,490 4,585 South Carolina State Public Services Authority Revenue, Series 2004 (AMBAC Insured, Citibank N.A. Liquidity Facility), 2.040% 01/01/22**# 4,585 10,345 South Carolina Transportation Infrastructure Book Revenue, Series 2004, (AMBAC Insured, Merrill Lynch Capital Service SBPA), 2.030% 10/01/08**# 10,345 6,400 South Carolina Jobs Economic Development Authority Health Care Failities Revenue, Series 2000, (National Bank of South Carolina LOC), 1.990% 07/01/20** 6,400 ------ 61,740 ------ TENNESSEE - 4.4% 3,900 Blount County Tennessee Public Building Authority, Local Government Public Improvement, Series 2002, (AMBAC Insured, Regions Bank SBPA), 2.000% 06/01/17** 3,900 6,855 Clarksville, Tennessee Public Building Authority Revenue, Series 1996, (SunTrust Bank LOC), 2.000% 07/01/11** 6,855 3,250 Cleveland, Tennessee Health and Educational Facilities Board Revenue, (Lee University Project) Series 2002, (First Tennessee Bank LOC), 2.250% 12/01/19**# 3,250 20,600 Collierville, Tennessee Industrial Development Board Revenue, (St. Georges High School Project) Series 2001, (AmSouth Bank of Alabama, N.A. LOC), 2.030% 08/01/31** 20,600 7,700 Dickson County, Tennessee Industrial Development Board Revenue, (The Jackson Foundation-Renaissance Learning Center Project) Series 1997, (SunTrust Bank of Nashville LOC), 2.000% 11/01/12**# 7,700 6,000 Franklin, Tennessee Health and Educational Facilities Board Revenue, (Battle Ground Academy Project) Series 2002, (SunTrust Bank LOC), 2.000% 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), 2.000% 03/01/19** 14,200 675 Loudon, Tennessee Water and Sewer Revenue Refunding, Series 1996, (Wachovia Bank, N.A. LOC), 2.040% 09/01/06**# 675 5,360 Metropolitan Government, Nashville and Davidson County, Tennessee District Energy Revenue, Series 2002, (AMBAC Insured, Merrill Lynch Capital Services SPA), 2.030% 04/01/10**# 5,360 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), 2.000% 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), 2.100% 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), 2.020% 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),
2.040% 05/01/33** 5,170 11,800 Shelby County, Tennessee, Health Development and Housing Facility Board Revenue, (Arbors of Germantown Project) Series 1994, (PNC Bank N.A. LOC), 2.080% 07/01/24** 11,800 3,500 Shelby County, Tennessee, Health Educational & Housing Facilities Board Revenue, (St.Mary's Episcopal School Project), Series 2004, (First Tennessee Bank LOC), 2.020% 12/01/34** 3,500 11,020 Tennessee Housing Development Agency, Single Family Mortgage, Series 2004, 1.946% 12/08/05** 11,020 4,150 Williamson County, Tennessee Industrial Development Board Revenue, (Suntrust Educational Facility, (Saint Matthew School Project) Series 2004, Bank LOC), 2.050% 07/01/24** 4,150 ------- 120,170 ------- TEXAS - 17.4% 5,677 Austin, Texas (City of), Series 2004A ( JP Morgan Chase Bank LOC, Bayerische Landesbank LOC, State Street Bank LOC), 1.780% 02/10/05 5,677 25,000 Austin, Texas, Series 2004, (Westdeutsche Landesbank, LOC), 1.820% 02/07/05 25,000 4,990 Brazosport, Texas Independent School District, Series 2003, (PSF-GTD, Merrill Lynch Capital Services SBPA), 2.030% 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), 2.030% 02/15/09**# 5,215 4,820 Canutillo, Texas Independent School District, GO, Series 2003, (PSF-GTD Insured, Merrill Lynch Capital Services SBPA), 2.030% 08/15/22**# 4,820 4,500 Dallas Texas Independent School District, Series 2004 (PSF-GTD Insured, Citibank N.A. Luiquidity Facility), 2.040% 08/15/24** 4,500 5,320 Denton, Texas Utilities System Revenue, Series 2004, (MBIA Insured, Merrill Lynch Capital SBPA), 2.030% 12/01/24# 5,320 9,600 Grand Prairie, Texas Housing Finance Corporation Multi-Family Housing Revenue, (Lincoln Property Project), Series 1993, (GE Credit Corporation Guarantee), 2.000% 06/01/10** 9,600 9,000 Grand Prairie, Texas Housing Finance Corporation Multi-Family Housing Revenue, (Windbridge Grand Prairie Project) Series 1993, (GE Credit Corporation Guarantee), 2.000% 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), 2.020% 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), 2.020% 02/15/23** 5,185 36,000 Harris County, Texas Floating Rate Trust Receipts, Series 2004, (Lehman Liquidity Company Liquidity Facility), 2.050% 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 3,190 Houston, Texas Public Improvement GO, Series 2004A-2, 2.000% 03/01/05 3,192 5,185 Houston, Texas Utility System Revenue, Series 2004, (FSA Insured, Citigroup Global Market Liquidity Facility), 2.040% 05/15/20**# 5,185 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 10,000 Houston, Texas, Series 2004 93-A, (Westdeutsche Landesbank Insured, Bayerische Landesbank Insured), 1.800% 03/17/05 10,000 11,490 Hunt, Texas Memorial Hospital District Revenue, Series 1998, (FSA Insured, Chase Bank of Texas N.A. SPA), 2.050% 08/15/17** 11,490 2,000 Lower Colorado River Authority Texas Transmission Contract Revenue, Series 2004 - 623, (FGIC Insured, JP Morgan Chase Bank Liquidity Facility), 2.030% 11/15/09**# 2,000 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), 2.030% 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), 2.030% 02/01/21**# 18,340 10,605 Nueces County, Texas GO, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SPBA), 2.030% 02/15/12**# 10,605 1,500 Pasadena, Texas GO, Independent School District, Series 2003, (PSF-GTD), 5.000% 02/15/05 1,507 32,775 San Antonio, Texas Water Revenue, Series 2003A, (MBIA Insured, JP Morgan Chase Bank SBPA), 1.970% 05/15/33** 32,775 24,570 Texas Municipal Power Agency Revenue Floating Rate Trust Receipts, 24,570 Series 2004, (FGIC Insured, Lehman Liquidity Company Liquidity Facility), 2.05% 09/01/11** 42,170 Texas Small Business Industrial Development Corporation IDR, Texas Public Facilities Capital Access, Series 1986, (KBC Bank N.V. LOC), 2.030% 07/01/26** 42,170 95,000 Texas State Tax RAN, Series 2004, 3.000% 08/31/05 95,877 25,000 Texas State, Series 2004D, (Lehman Liquidity Company Liquidity Facility), 1.980% 08/31/05**# 25,000 3,880 Texas Water Development Board Revenue Refunding, State Revolving Fund, Series 2003, (JP Morgan Chase Bank SBPA), 2.150%! 07/15/22** 3,880 18,700 Texas, Lower Colorado River Authority Revenue, Series 2001, (MBIA Insured, Citibank SBPA), 2.040% 05/15/26**# 18,700 10,000 University of Texas System Board of Regents Revenue Financing, Series 2004,(Universityof Texas Investment Management company (UTIMCO) Liquidity Facility), 1.850% 02/08/05 10,000 8,135 Williamson County, Texas Putable Receipts, Series 1988, (FSA Insured, Morgan Guaranty Trust SBPA), 2.030% 02/15/21**# 8,135 ------- 475,423 ------- 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-Thueingen SBPA), 1.400% 07/01/15** 2,925 ------- 33,325 ------- VIRGINIA - 0.8% 3,285 Alexandria, Virginia Industrial Development Authority Revenue, (American Red Cross Project) Series 1989, (First Union National Bank LOC), 2.040% 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), 2.020% 05/01/23**# 3,900 1,700 Hanover County, Virginia Industrial Development Authority Residential Care Facility Revenue, Series 1999, (Branch Banking and Trust LOC), 2.020% 07/01/29**# 1,700 12,050 Rockingham County, Virginia Industrial Development Authority, Series Residential Care Facility Revenue, (Sunnyside Presbyterian Project) 2003, (Branch Banking & Trust LOC), 2.020% 12/01/33** 12,050 2,000 Spotsylvania County, Virginia Industrial Development Authority IDR, (Carlisle Corporation Project) Series 1993, (SunTrust Bank LOC), 2.000% 06/01/08**# 2,000 ------- 22,935 ------- WASHINGTON - 0.4% 7,360 Washington State GO, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SPBA, Merrill Lynch and Company GTY-AGMT), 2.030% 01/01/12**# 7,360 200 Washington State Health Care Facility Authority Lease Revenue, (National Healthcare Research and Education Project) Series 2000, (BNP Paribas LOC), 2.000% 01/01/32** 200 4,000 Washington State Public Power Supply System Nuclear Project Number 3 Revenue, Series 1990, (MBIA-IBC Insured), 1.644% 07/01/05*** 3,968 ------- 11,528 ------- WEST VIRGINIA - 1.9% 2,300 Marshall County, West Virginia PCR, (Mountaineer Carbon Company Project) Series 1985, 2.190% 12/01/20** 2,300 49,700 West Virginia, State Parkways Economic Development & Tourism Authority, Series2003, (FGIC Go of Auth Insured, Dexia Credit Local LOC), 1.960% 05/01/19** 49,700 ------- 52,000 ------- WISCONSIN - 2.1% 5,210 Allouez, Wisconsin GO, Series 2004, (AMBAC Insured, Merrill Lynch Capital Services SBPA), 2.030% 04/01/24**# 5,210 3,600 Appleton, Wisconsin IDR, Series 1994, (U.S. Bank N.A. LOC), 2.050% 12/15/09** 3,600 1,250 Waukesha, Wisconsin, Housing Authority, (Steeple View INC. Project), Series 2004, (Associated Bank of Milwaukee LOC), 2.090% 12/01/34** 1,250 3,700 Wind Point, Wisconsin Revenue, (The Johnson Foundation Project) Series 2000, (Harris Trust & Savings Bank LOC), 2.030% 09/01/35** 3,700 6,635 Wisconsin Center District Wisconsin Tax Revenue, Series 2004, (FSA Insured, Merrill Lynch Capital Services SBPA), 2.030% 12/15/21**# 6,635 10,030 Wisconsin State GO, Series 2004, (FSA Insured, Merrill Lynch Capital Services SBPA) 2.030% 05/01/08**# 10,030 15,900 Wisconsin State Health and Educational Facilities Authority Revenue, (Wheaton Franciscan Services Project) Series 1997, (Toronto Dominion Bank LOC), 1.980% 08/15/16**# 15,900 3,500 Wisconsin State Health and Educational Facility Authority Revenue, (Mequon Jewish Project) Series 2003, (Bank One N.A. LOC), 2.030% 07/01/28** 3,500 8,580 Wisconsin State, Health & Educational Facilities Authority Revenue, Series 2003, (MBIA Insured), 2.150% 08/15/19**@@ 8,580 ------- 58,405 ------- WYOMING - 0.3% 8,600 Platte County, Wyoming PCR, (Tri-State Generation & Transmission Project) Series 1984-A, (National Rural Utilities Finance LOC),
2.250% 07/01/14** 8,600 ---------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $2,917,364) 2,917,364 ---------- TOTAL INVESTMENTS (Cost $2,917,364*) 106.9% 2,917,364 ---------- OTHER ASSETS AND LIABILITIES (NET) (6.9)% (187,859) ---------- NET ASSETS 100.0% $2,729,505 ==========
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $2,917,364. ** Variable rate demand notes. The interest rate shown reflects the rate in effect at December 31, 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 December 31, 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. @@ Restricted security. SEE NOTES TO FINANCIAL STATEMENTS. NATIONS MONEY MARKET FUNDS NATIONS TREASURY RESERVES SCHEDULE OF INVESTMENTS DECEMBER, 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------- ---------- U.S. TREASURY OBLIGATIONS - 35.5% U.S. TREASURY BILLS - 1.8% $1,074 Discount note 04/21/05 $ 1,066 153,000 Discount note 04/28/05 151,866 ---------- 152,932 ---------- U.S. TREASURY NOTES - 33.7% 725,000 1.625% 01/31/05 724,892 188,000 1.500% 02/28/05 187,811 713,000 1.625% 03/31/05 712,914 815,000 1.625% 04/30/05 814,285 200,000 6.750% 05/15/05 203,250 89,000 5.750% 11/15/05 91,526 205,000 1.875% 11/30/05 203,618 ---------- 2,938,296 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $3,091,228) 3,091,228 ---------- REPURCHASE AGREEMENTS - 64.5% 400,000 Agreement with ABM AMRO, 1.450% dated 12/31/04 to be repurchased at $400,048 on 01/03/05 collateralized by: U.S. Treasury Obligations; collateral valued at $408,000 400,000 553,000 Agreement with BNP Paribas Bank, (New York), 1.600% dated 12/31/04 to be repurchased at $553,074 on 01/03/05 collateralized by: U.S. Treasury Obligations; collateral valued at $564,061 553,000 2,000,000 Agreement with Bear Stearns Companies Inc., 1.500% dated 12/31/04 to be repurchased at $2,000,250 on 01/03/05 collateralized by: U.S. Treasury Obligations; collateral valued at $2,040,793 2,000,000 200,000 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@@ 200,000 400,000 Agreement with Greenwich Capital Markets Inc., 1.600% dated 12/31/04 to be repurchased at $400,053 on 01/03/05 collateralized by: U.S. Treasury Obligations; collateral valued at $408,005 400,000 1,667,389 Agreement with UBS Warburg, 1.600%dated 12/31/04 to be repurchased at $1,667,611 on 01/03/05 collateralized by: U.S. Treasury Obligations; collateral valued at $1,700,738 1,667,389 400,000 Agreement with Westdeutsche Landesbank Girozentrale, 1.550% dated 12/31/04 to be repurchased at $400,052 on 01/03/05 collateralized by: U.S. Treasury Obligations; collateral valued at $408,001 400,000 ---------- TOTAL REPURCHASE AGREEMENTS (Cost $5,620,389) 5,620,389 ----------
TOTAL INVESTMENTS (Cost $8,711,617*) 100.0% 8,711,617 ---------- OTHER ASSETS AND LIABILITIES (NET) 0.0% 22 ---------- NET ASSETS 100.0% $8,711.639 ==========
Notes to Investment Portfolio: 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. * Cost for federal income tax purposes is $8,711,617. @@ Restricted security. SEE NOTES TO FINANCIAL STATEMENTS. NATIONS FUNDS NATIONS SHORT-TERM MUNICIPAL INCOME FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 98.3% ALABAMA - 2.4% $ 1,000 Alabama State, Public School and College Authority, Revenue, Series Aaa/AAA $ 1,027 1996, (MBIA Insured), 5.250% 11/01/05 2,000 Alabama, 21st Century Authority Settlement Revenue, Baa1/A- 2,089 5.250% 12/01/07 1,110 Birmingham, Alabama Waterworks & Sewer Board Water & Sewer Aaa/AAA 1,094 Revenue, Series 2004B, (FGIC Insured), 2.880% 01/01/07 1,145 Birmingham, Alabama Waterworks & Sewer Board Water & Sewer Aaa/AAA 1,131 Revenue, Series 2004B, (FGIC Insured), 3.420% 01/01/08 1,185 Birmingham, Alabama Waterworks & Sewer Board Water & Sewer Aaa/AAA 1,175 Revenue, Series 2004B, (FGIC Insured), 3.890% 01/01/09 2,000 Butler, Alabama, Industrial Development Board, PCR Refunding, (James Ba2/A+ 2,022 River Project) Series 1993, 5.500% 12/01/05 2,100 Hoover, Alabama, GO, Series 2003, (MBIA Insured), Aaa/AAA 2,264 5.000% 03/01/08 1,000 Huntsville, Alabama, GO Refunding, Series 2002F, Aa2/AA 1,012 4.000% 08/01/05 5,000 Jefferson County, Alabama, Sewer Revenue, Series 2003C-10, (FSA Aaa/AAA 5,000 Insured), 1.850% 02/01/42 5,000 Jefferson County, Alabama, Sewer Revenue, Series 2003C-4, Aaa/AAA 5,000 1.800% 02/01/42 3,085 Montgomery, Alabama, Downtown Redevelopment Authority Lease Aaa/AAA 3,297 Revenue Refunding, (State of Alabama Project) Series 2002, ------- 5.000% 10/01/07 25,111 ------- ALASKA - 2.6% 845 Alaska, Municipal Board Bank Authority, Revenue, AMT, Series 2003A, Aaa/AAA 857 (MBIA Insured), 3.500% 12/01/05 2,500 Alaska, Student Loan Corporation, Student Loan Revenue, Series Aaa/AAA 2,672 1999A, AMT, (AMBAC Insured), 4.900% 07/01/08 4,600 Anchorage, Alaska, Electric Utility Revenue Refunding, Senior Lien, Aaa/AAA 4,773 Series 1999, (MBIA Insured), 5.000% 06/01/06 4,890 Anchorage, Alaska, GO, Series 2002A, (MBIA Insured), Aaa/AAA 5,010 4.000% 06/01/06 1,000 North Slope Borough, Alaska, Capital Appreciation GO, Series 1995A, Aaa/AAA 965 (MBIA Insured), 0.000%! 06/30/06 10,700 North Slope Borough, Alaska, GO, Series 1996, (MBIA Insured), Aaa/AAA 10,031 0.0000%! 06/30/07 1,500 North Slope Borough, Alaska, GO, Series 2000B, (MBIA Insured), Aaa/AAA 1,448 .000%! 06/30/06 1,500 North Slope Borough, Alaska, GO, Series 2001A, (MBIA Insured), Aaa/AAA 1,406 .000%! 06/30/07 ------- 27,162 -------
ARIZONA - 2.2% 6,250 Arizona State, Transportation Board Excise Tax Revenue, (Maricopa Aa2/AA 6,425 County Regional Area Road Fund Project) Series 2002, 5.000% 12/15/05 1,370 Arizona State, Transportation Board Highway Revenue Refunding, Aa2/AA 1,501 Series 1993A, 5.000% 07/01/09 2,400 Arizona, Electric Systems Revenue Refunding, (Salt River Project) Aa2/AA 2,580 Series 2002D, 5.000% 01/01/08 700 Arizona, University Medical Center, Corporation Hospital Revenue, A3/BBB+ 725 Revenue Refunding, (GO of University Insured), 5.000% 07/01/06 300 Arizona, University Medical Center, Corporation Hospital Revenue, A3/BBB+ 317 Revenue Refunding, (GO of University Insured), 5.000% 07/01/07 2,010 Maricopa County, Arizona, Unified High School District Number 210 Aa3/AA 2,113 Phoenix, GO, Unrefunded Balance, Series 2009, 5.000% 07/01/09 2,925 Maricopa County, Arizona, Unified School District Number 97, GO Aaa/NR 3,115 Refunding, Series 2003, (FGIC Insured), 5.000% 07/01/07 5,225 Phoenix, Arizona, GO Refunding, Series 1993A, Aa1/AA+ 5,465 5.300% 07/01/06 ------- 22,241 ------- ARKANSAS - 1.7% 3,500 Arkansas State, Development Finance Authority, Facilities Revenue, Aa3/BBB 3,498 (Waste Management Inc. Project) Series 2001, AMT, Mandatory Put 08/01/04 @ 100, 2.850% 08/01/21 2,100 Arkansas State, GO, Series 2001A Aa2/AA 2,176 4.500% 08/01/06 8,550 Arkansas State, GO, Series 2001A, Aa2/AA 8,652 4.000% 08/01/05 3,000 Pope County, Arkansas, Revenue Refunding, Baa3/BBB- 3,039 (Entergy Arkansas Incorporated Project) Series 2001, ------- AMT, Mandatory Put 09/01/05 @ 100, 5.050% 09/01/28 17,365 ------- CALIFORNIA - 0.1% 1,150 California State, Department of Water Resources Power Supply A3/BBB+ 1,163 Revenue, Series 2002A, ------- 5.500% 05/01/05 COLORADO - 2.7% 1,500 Colorado Health Facilities Authority Revenue, (Evangelical Lutheran) A3/A- 1,500 Series 2004B, 3.750% 06/01/34 5,000 Colorado, Platte River Power Authority, Power Revenue, Series Aa3/AA- 5,189 2003FF, 5.000% 06/01/06 14,895 Colorado, Public Highway Authority, Highway Revenue, Series 1997B, Aaa/AAA 13,898 (MBIA Insured), 0.000%! 09/01/07 2,370 Colorado, Regional Transportation District, Sales Tax Revenue Aaa/AAA 2,541 Refunding, Series 2003A, (FSA Insured), 5.000% 11/01/07 2,275 Denver City and County, Colorado, Airport Revenue Refunding, Series Aaa/AAA 2,331 2001D, AMT, (FSA Insured), 5.000% 11/15/05 1,000 Denver City and County, Colorado, Board Water Commission Refunding Aa1/AA+ 1,045 Revenue, Series 2001B, 5.000% 09/01/06 1,000 Denver, Colorado, City and County Special Facilities Airport Aaa/AAA 1,076 Revenue, (Rental Car Project), Series 1999A, (MBIA Insured), ------- 5.500% 01/01/08 27,580 -------
CONNECTICUT - 1.5% 2,525 Connecticut State, GO, Series 1999A, Aa3/AA 2,560 5.000% 06/15/05 10,000 Connecticut State, Special Tax Obligation Revenue Refunding, Aaa/AAA 10,134 (Transportation Infrastructure Project), Series 2003A, 4.000% 09/01/05 2,000 Connecticut State, Special Tax Obligation, Revenue Refunding, A1/AA- 2,199 (Transportation Infrastructure Project) Series 1993A, ------- 5.375% 09/01/08 14,893 ------- DELAWARE - 0.1% 1,000 Delaware, Transportation Authority, Transportation System Revenue, Aaa/AAA 1,070 Series 1998, (MBIA Insured), ------- 4.500% 07/01/09 DISTRICT OF COLUMBIA - 0.7% 2,840 District of Columbia, Private Schools Revenue, (Field School Aa2/A+ 2,840 Project) Series 2001A, (First Union National Bank LOC), 1.990%!! 07/01/31 4,000 Metropolitan, Washington, District of Columbia, Airports Authority, Aaa/AAA 4,244 Virginia General Airport Revenue, Series 1997B, (FGIC Insured), AMT, ------- 6.000% 10/01/06 7,084 ------- FLORIDA - 6.0% 4,000 Broward County, Florida, Airport System Revenue Refunding, Series Aaa/AAA 4,272 2003K, (FGIC Insured), 5.000% 10/01/07 1,450 Broward County, Florida, Solid Waste System Revenue Refunding, A1/A+ 1,489 Series 2003B, 4.000% 07/01/06 1,700 Escambia County, Florida, Health Facilities Authority, Revenue, Aa2/AA 1,809 (Ascension Health Credit Project) Series 2003A, 5.000% 11/15/07 2,195 Florida State, Board of Education, GO, Series 2003D, Aa2/AA+ 2,334 5.000% 06/01/07 2,000 Florida State, Board of Education, GO, Series 2003I, Aa2/AA+ 2,165 5.000% 06/01/08 5,000 Gainesville, Florida, Utilities System Revenue, Series 2003C, Aa2/AA 5,441 5.000% 10/01/08 1,240 Greater Orlando Aviation Authority, Orlando, Florida, Airport Aaa/AAA 1,332 Facilities Revenue Refunding, Series 2002C, (MBIA Insured), 5.250% 10/01/07 1,795 Hillsborough County, Florida, Aviation Authority, Revenue Refunding, Aaa/AAA 1,821 (Tampa International Airport Project) AMT, Series 2003D, (MBIA Insured), 4.000% 10/01/05 1,870 Hillsborough County, Florida, Aviation Authority, Revenue Refunding, Aaa/AAA 1,954 (Tampa International Airport Project) AMT, Series 2003D, (MBIA Insured), 5.000% 10/01/06 7,000 Hillsborough County, Florida, Industrial Development Authority, PCR Aa3/BBB- 7,126 Refunding, (Tampa Electric Company Project) Series 1993, Mandatory Put 08/01/07 @ 100, 4.250% 11/01/20 2,000 Jacksonville, Florida, Sales Tax Revenue, (River City Renaissance Aaa/AAA 2,069 Project) Series 1995, (FGIC Insured), Prerefunded 10/01/05 @ 101, 5.375% 10/01/18 5,000 Jea, Florida, St. Johns River Power Park Systems Revenue Refunding, Aa2/AA 5,232 Series 2002, 5.000% 10/01/06 3,775 Jea, Florida, Water and Sewer Revenue, Series 2002B, (FSA Insured), Aaa/AAA 4,062 5.250% 10/01/07 1,380 Kissimmee, Florida, Utilities Authority Electric System Revenue Aaa/AAA 1,445 Refunding, Series 2001, (AMBAC Insured), 5.000% 10/01/06 7,305 Miami-Dade County, Florida, Aviation Revenue Refunding, Series Aaa/AAA 7,821 1998A, AMT, 5.250% 10/01/07
1,300 Miami-Dade County, Florida, Aviation Revenue, (Miami International Aaa/AAA 1,359 Airport Project) Series 2002, (FGIC Insured), 5.000% 10/01/06 2,870 Miami-Dade County, Florida, Aviation Revenue, Series 2000-SG141, Aaa/AAA 2,870 (FGIC Insured, Societe Generale SPA), 2.020%!! 10/01/29 4,250 Pinellas County, Florida, Capital Improvement Revenue, Series 2000, Aa3/AA- 4,350 4.500% 01/01/06 3,000 Tampa, Florida, Utility Tax and Special Revenue Refunding, Series Aaa/AAA 3,089 2001, (AMBAC Insured), ------ 6.000% 10/01/05 62,040 ------ GEORGIA - 7.3% 4,950 Atlanta, Georgia, Airport Facilities Revenue, Capital Appreciation, Aaa/AAA 3,798 Series 1991, (AMBAC -TCRS Insured), 0.000%! 01/01/10 10,000 Burke County, Georgia, Development Authority, PCR, (Oglethorpe Power Aaa/AAA 10,000 Corporation) Series 1993A, (FGIC Insured, Bayerische Landesbank SBA), 3,100 Burke County, Georgia, Development Authority, PCR, (Oglethorpe Power Aaa/AAA 3,100 Corporation), Series 1999A, 2.220% 01/01/20 2,000 Burke County, Georgia, Development Authority, PCR, (Vogtle Project) A2/A 2,000 Series 1995, 1.950% 10/01/32 5,000 Burke County, Georgia, Development Authority, PCR, Series 1994, A2/A 5,000 1.890% 10/01/32 3,330 Clayton County, Georgia, Housing Authority, Multi-Family Housing Aaa/AAA 3,498 Revenue Refunding, (Tara Court II Apartments Project) Series 2001, (FNMA Liquidity Facility), Mandatory Put 12/01/11 @ 100, 4.350% 12/01/31 1,200 Coweta County, Georgia, School District Sales Tax, GO, Series 2002, Aa2/AA+ 1,250 (State Aid Withholding), 4.000% 08/01/07 2,000 Coweta County, Georgia, School District, GO, Series 2002, (State Aid Aa2/AA+ 2,134 Withholding), 5.000% 08/01/07 2,000 Dalton, Georgia, Building Authority, Revenue, Series 2001, Aa3/A+ 2,030 5.000% 07/01/05 2,300 DeKalb County, Georgia, Development Authority, Industrial Aa2/AA+ 2,300 Development Revenue, (Rock-Tenn Converting Company Project) Series 1995, (SunTrust Bank, Atlanta LOC), 2.060%!! 04/01/10 6,185 DeKalb County, Georgia, Special Recreation Tax District, GO, Series Aaa/AA+ 6,510 2001, 5.000% 12/01/06 2,600 Fayette County, Georgia, School District, GO, Series 2001, (State Aa3/AA 2,866 Aid Withholding), 5.250% 03/01/09 950 Gainesville and Hall County, Georgia, Hospital Authority, Revenue Aa2/A- 975 Refunding, (Northeast Georgia Health System, Inc. Project), 4.000% 05/15/07 2,500 Georgia, George L. Smith II World Congress Center Authority, Revenue Aaa/AAA 2,550 Refunding, (Domed Stadium Project) Series 2000, AMT, (MBIA Insured), 6.000% 07/01/05 1,130 Georgia, Municipal Electric Authority Power Revenue Unrefunded, A1/A 1,176 Series 1998-W, 6.400% 01/01/06 2,855 Georgia, Private Colleges and Universities Authority, Revenue, Aa2/AA 2,984 (Emory University Project) Series 2002A, 5.000% 09/01/06 2,200 Gwinnett County, Georgia, Development Authority, IDR, (Maltese Signs Aa3/AA+ 2,200 Inc. Project) Series 2000, AMT, (SunTrust Bank LOC), 2.110%!! 02/01/15 3,000 Houston County, Georgia, School District, GO, Series 2002, (State Aa2/AA 3,086 Aid Withholding), 4.000% 09/01/06
3,750 Monroe County, Georgia, Development Authority, PCR, (Georgia Power Aaa/AAA 3,924 Company Plant Scherer Project) Series 2001, (AMBAC Insured), Mandatory Put 12/01/08 @ 100, 4.200% 01/01/12 7,000 Richmond County, Georgia, Development Authority, IDR Refunding, Aa2/A+ 7,076 (Archer Daniels Midland Project) Series 1993, 5.300% 05/01/05 6,000 Richmond County, Georgia, GO, Board of Education, Series 2002,(State Aa2/AA 6,148 Aid Withholding) ------ 5.000% 11/01/05 74,605 ------ HAWAII - 1.3% 9,815 Hawaii State, Airports System Revenue, AMT, (FGIC Insured), Aaa/AAA 10,520 5.000% 07/01/08 2,500 Hawaii State, GO Refunding, Series 2002CY, (FSA Insured), Aaa/AAA 2,651 5.250% 02/01/07 ------ 13,171 ------ IDAHO - 1.0% 10,495 Idaho, Housing and Finance Association, (Single Family Mortgage NR/NR 10,495 Project) Series 2002B-I, (Bayerische Landesbank Girozentrale ------ Liquidity Facility), 2.050%!! 07/01/33 ILLINOIS - 6.4% 1,260 Broadview, Illinois, Tax Increment Revenue, Series 1999, NR/NR 1,269 4.750% 07/01/05 5,000 Chicago, Illinois, (Capital Appreciation-Central Loop Project) Aaa/AAA 4,470 Refunding GO, Series 2003A, (XLCA Insured), 0.000%! 12/01/08 2,000 Chicago, Illinois, Metropolitan Water Reclamation District, Greater Aaa/AA+ 2,145 Chicago Capital Improvement Bonds, Series 2002D, 5.000% 12/01/07 2,000 Chicago, Illinois, Public Building Commission Building Revenue, Aaa/AAA 2,070 Series 1999A, (FGIC Insured), 5.500% 02/01/06 1,040 Chicago, Illinois, Single Family Mortgage Revenue, Series 2001, AMT, Aaa/AAA 1,040 (FNMA/GNMA/FHLMC COLL, Merrill Lynch Capital Services SBA), 2.080%!! 04/01/07 4,545 Cook County, Illinois, GO Refunding, Series 2003B, (MBIA Insured), Aaa/AAA 4,870 5.000% 11/15/07 1,885 Cook County, Illinois, High School District No 209 Proviso Township, Aaa/AAA 1,753 GO, Series 2004, (FSA Insured), 0.000%! 12/01/09 5,580 Cook County, Illinois, Township High School District Number 211 Aa1/AA 5,729 Palatine and Schaumb, GO, Series 2001, 5.000% 12/01/05 1,400 Evanston, Illinois, GO Refunding, Series 2002C, Aaa/AAA 1,438 5.000% 01/01/06 5,205 Illinois State, GO Refunding, Series 2001, (FSA Insured), Aaa/AAA 5,471 5.250% 10/01/06 1,500 Illinois State, GO, Series 2001, Aa3/AA 1,511 5.000% 04/01/05 4,500 Illinois State, GO, Series 2001, Aa3/AA 4,609 5.000% 11/01/05 1,680 Illinois State, GO, Series 2001, Aa3/AA 1,781 5.000% 05/01/07 7,350 Illinois, Development Finance Authority, PCR, Revenue Refunding, Aaa/AAA 7,610 (Commonwealth Edison Company), Series 1996, (AMBAC Insured), 4.400% 12/01/06 5,000 Illinois, Educational Facilities Authority Revenue, (University of Aa1/AA 5,208 Chicago) Series 2001B-2, 4.000% 07/01/36 6,955 Illinois, Educational Facilities Authority, Revenue, (National Louis Aa2/A+ 6,955 University) Series 1999A, (American National B&T LOC), 2.010%!! 06/01/29 1,000 Northern Illinois University Revenue, Auxiliary Facilities System, Aaa/AAA 959 Series 1992, (FGIC Insured), 0.000%! 10/01/06
1,000 Schaumberg, Illinois, GO, Series 2002A Aa1/AA+ 1,054 5.000% 01/01/07 5,000 University of Illinois, Certificates of Partnerships, (University of Aaa/AAA 5,249 Illinois-Integrate Project), (AMBAC Insured), ------ 5.250% 10/01/06 65,191 ------ INDIANA - 1.4% 1,585 Fort Wayne, Indiana, Sewage Works Improvements, Revenue Refunding, Aaa/AAA 1,651 Series 2002B, (AMBAC Insured), 5.000% 08/01/06 1,550 Indiana State, Office Building Commission Facilities Revenue, Aaa/AAA 1,648 Indiana State Museum Facility, Series 2003, (MBIA Insured), 5.000% 07/01/07 1,500 Rockport, Indiana, PCR Refunding, (AEP Generating Company Project) Aaa/AAA 1,537 Series 1995A, Mandatory Put 07/13/06 @ 100, 4.050% 07/01/25 6,000 Rockport, Indiana, PCR Refunding, (AEP Generating Company Project) Aaa/AAA 6,149 Series 1995B, (AMBAC Insured, Bank of New York SBPA), Mandatory Put 07/13/06 @ 100, 4.050% 07/01/25 3,000 Rockport, Indiana, PCR Refunding, (Indiana Michigan Power Company Baa2/BBB 2,981 Project), Series 2003C, ------ 2.625% 04/01/25 13,966 ------ IOWA - 0.1% 1,000 Des Moines, Iowa, GO Refunding, Series 1996F, Aa2/AA+ 1,012 5.000% 06/01/06 ------ KANSAS - 1.0% 9,000 Burlington, Kansas, Environmental Improvement Revenue Refunding, A3/BBB 9,401 (Power and Light Project) Series 1998C, Mandatory Put 10/01/07 @ 100, 4.75% 09/01/15 1,100 Johnson County, Kansas, Water District No. 001, Water Revenue, Aaa/AAA 1,162 Series 1996A, ------ 5.250% 12/01/06 10,563 ------ KENTUCKY - 0.4% 1,945 Kentucky State, Property and Buildings Community, Revenue Refunding, Aaa/AAA 1,979 (Number 74 Project) Series 2002, 5.000% 08/01/05 2,250 Kentucky, Asset/Liability Commission General Fund, Revenue Aaa/AAA 2,484 Refunding, Series 2003A, (AMBAC Insured), ------ 5.000% 07/15/10 4,463 ------ LOUISIANA - 2.2% 5,000 Calcasieu Parish, Louisiana, Industrial Development Board, PCR Baa1/BBB+ 5,180 Refunding, (Occidental Petroleum Project) Series 2001, 4.800% 12/01/06 3,000 Louisiana State, Energy and Power Authority, Revenue Refunding, Aaa/AAA 3,091 (Power Project) Series 2000, (FSA Insured), 5.250% 01/01/06 1,000 Louisiana State, Offshore Term Authority, Deepwater Port Revenue A3/A 1,026 Refunding, (Loop LLC Project) Series 2003, Mandatory Put 09/01/08 @ 100, 4.000% 09/01/23 4,850 Louisiana, Public Facilities Authority, Hospital Revenue Refunding, Aaa/AAA 4,850 Series 1998B, (MBIA Insured), 1.830%!! 07/18/16 1,850 Louisiana, Regional Transportation Authority, Revenue, Series 1998, Aaa/AAA 1,877 (MBIA Insured), Prerefunded 05/01/05 @ 100.093, 6.125% 05/01/10 7,110 New Orleans, Louisiana, Public Improvement, GO, Series 1997A, (FGIC Aaa/AAA 6,640 Insured), Prerefunded 12/01/06 @ 100, ------ 0.0000%! 09/01/07 22,664 ------
MAINE - 0.2% 1,900 Baileyville, Maine, PCR, (Georgia-Pacific Corporation Project) 1,909 Series 1998, Ba3/A+ ------ 4.750% 06/01/05 MARYLAND - 0.7% 3,450 Baltimore, Maryland, Refunding and Conservative Public Improvement Aaa/AAA 3,450 GO, Series 2003A, (FSA Insured), 1.800% 10/15/20 3,680 Maryland State, Economic Development Corporation Lease Revenue, Aaa/AAA 3,898 Maryland Aviation Administration Facilities, Series 2003, ------ (FSA Insured), 5.000% 06/01/07 7,348 ------ MASSACHUSETTS - 0.5% 5,160 Boston, Massachusetts, GO Refunding, Series 2002C, Aa2/AA 5,561 5.000% 02/01/08 ------ MICHIGAN - 2.0% 1,000 Kent County, Michigan, Airport Facilities Revenue, (Kent County Aaa/AAA 1,020 International Airport Project) Series 1995, AMT, Prerefunded 01/01/05 @ 102, 6.100% 01/01/25 1,000 Michigan State, Hospital Finance Authority, Revenue, Aa2/AA 1,025 (Ascension Health Credit Project) Series 1999B, Mandatory Put 11/15/05 @ 100, 5.200% 11/15/33 1,800 Michigan State, Hospital Finance Authority, Revenue, Mandatory Put Aa2/AA 1,891 11/15/06 @100, 5.300% 11/15/33 4,800 Michigan State, Housing Development Authority, Aaa/AAA 4,800 Rental Housing Revenue, Series 2000B, (MBIA Insured, Morgan Guaranty Trust), 1.960%!! 04/01/24 2,000 Michigan State, Strategic Fund Solid Waste Disposal Revenue Aa3/BBB 2,021 Refunding, (Waste Management Inc. Project) Series 2002, Mandatory Put 12/01/05 @ 100, 4.200% 12/01/12 2,000 Michigan State, Trunk Line Capital Appreciation Revenue, Aaa/AAA 1,969 Series 1992A, (AMBAC Insured), 0.000%! 10/01/05 1,900 Michigan, Municipal Bond Authority, Revenue, Clean Water Revolving Aaa/AAA 2,070 Fund, Series 2001, 5.000% 10/01/08 5,330 Oakland, Michigan, University of Michigan, Revenue, Series 2001, Aaa/AAA 5,330 (FGIC Insured), ------ 2.000%!! 03/01/31 20,126 ------ MINNESOTA - 0.5% 1,520 Lake Superior, Minnesota, Independent School District No. 381, GO, Aaa/AAA 1,665 Series 2002A, (FSA SDCP), 5.000% 04/01/09 1,500 Minneapolis & St. Paul Housing & Redevelopment Authority Baa1/BBB+ 1,556 Health Care, (HealthPartners Obligation Group project), 4.500% 12/01/07 2,200 Minneapolis, Minnesota, GO, Convention Center, Series 2002, Aa1/AAA 2,307 4.000% 12/01/07 ------ 5,528 ------ MISSISSIPPI - 1.4% 6,750 Mississippi State, Gaming County Highway Improvements GO, Series Aa3/AA 7,068 2001B, 5.000% 10/01/06 2,000 Mississippi State, GO Refunding, Series 1996, Aa3/AA 2,099 5.100% 12/01/09 2,265 Mississippi State, GO, Series 2002, Aa3/AA 2,330 5.500% 11/01/05 3,000 Mississippi, Business Finance Corporation, Mississippi Solid Waste Aa3/BBB 2,951 Disposal Revenue, (Waste Management, Inc.), (GTY AGMT-WMI Insured), ------ 3.350% 03/01/29 14,448 ------
MISSOURI - 1.6% 5,765 Missouri State, Board of Public State Office Buildings, Aa1/AA+ 5,869 Special Obligation Revenue Refunding, Series 2001B, 4.000% 12/01/05 2,250 Missouri State, Health and Educational Facilities Authority, Aaa/AAA 2,285 Revenue, (Saint Lukes Episcopal-Presbyterian Hospital Project) Series 2001, (FSA Insured), 3.850% 12/01/05 2,470 Missouri State, Health and Educational Facilities Authority, Aaa/AAA 2,545 Revenue, (Saint Lukes Episcopal-Presbyterian Hospital Project) Series 2001, (FSA Insured), 4.000% 12/01/06 4,000 Missouri State, Health and Educational Facilities Revenue, Aa1/AA- 4,223 (SSM Health Care Project) Series 2002A, 5.000% 06/01/07 1,000 Sikeston, Missouri, Electrical Revenue Refunding, Series 1992, Aaa/AAA 1,088 (MBIA Insured), ------ 6.100% 06/01/07 16,010 ------ NEBRASKA - 0.2% 2,000 Nebraska, Public Water District Revenue, Series 2005B, Aaa/AAA 2,000 (MBIA Insured), ------ 5.250% 01/01/05 NEVADA - 2.2% 3,300 Clark County, Nevada, School District, GO Refunding, Series 1996, Aaa/AAA 3,435 (FGIC Insured), 4.750% 06/15/09 1,035 Henderson, Nevada, GO Refunding, Series 2001, Aa3/AA- 1,044 4.000% 06/01/05 2,000 Las Vegas, Nevada, GO Refunding, Series 2002B, Aa3/AA- 2,089 4.000% 01/01/08 4,325 Nevada State, Highway Improvement Revenue, Motor Vehicle Fuel Tax, Aaa/AAA 4,637 Series 2003, (MBIA Insured), 5.000% 12/01/07 3,250 Nevada State, Highway Improvement Revenue, Series 2000A, Aa3/AA 3,413 5.000% 12/01/06 7,000 Nevada State, Highway Improvement Revenue, Series 2000A, Aa3/AA 7,616 5.000% 12/01/08 ------ 22,234 ------ NEW HAMPSHIRE - 0.3% 3,000 New Hampshire State, Business Financial Authority, PCR Refunding, Aaa/AAA 3,035 (United Illumination Company Project) Series 1999A, (AMBAC Insured), ------ Mandatory Put 12/03/07 @ 100, 3.250% 12/01/29 NEW JERSEY - 0.8% 3,000 Essex County, New Jersey, GO Refunding, Series 1996A-1, (FGIC Aaa/AAA 3,301 Insured), 6.000% 11/15/07 1,175 New Jersey Economic Development Authority Revenue, (New Jersey Aaa/AAA 1,225 Port District Project), (AMBAC Insured), 7.050% 02/15/06 1,260 New Jersey Economic Development Authority Revenue, North Jersey Aaa/AAA 1,353 Port District Project Revenue, (AMBAC Insured), 7.100% 02/15/07 1,445 New Jersey Economic Development Authority Revenue, North Jersey Aaa/AAA 1,621 Port District Revenue, (AMBAC Insured), 7.150% 02/15/09 1,100 New Jersey Economic Development Authority, (Geriatic and Medical Aaa/AAA 1,106 Services, Inc. Project) Revenue Refunding, Series 1992, ------ 7.000% 02/15/05 8,606 ------
NEW MEXICO - 2.7% 10,000 Farmington, New Mexico, PCR, Public Service Refunding, (San Juan Baa2/BBB 9,912 Project), Series 2003B, 2.100% 04/01/33 5,915 New Mexico State, GO Refunding, Series 2001B, Aa1/AA+ 6,181 5.000% 09/01/06 2,900 New Mexico State, Hospital Equipment Loan Council Hospital Revenue, Aa3/A+ 3,059 (Presbyterian Healthcare Project) Series 2001A, 4.600% 08/01/08 3,500 New Mexico State, Severance Tax Revenue, Series 2002, Aa2/AA 3,544 4.500% 07/01/05 5,000 New Mexico State, Severance Tax Revenue, Series 2002, Aa2/AA 5,320 5.000% 07/01/07 ------ 28,016 ------ NEW YORK - 1.3% 2,000 New York City, New York, Transitional Finance Authority, Revenue Aa2/AA+ 2,049 Refunding, (Future Tax Secondary Project) Series 2002A, 5.000% 11/01/05 3,650 New York State, Environmental Facilities Corporation, Solid Waste Aa3/BBB 3,632 Disposal Revenue, (Waste Management Project), Series 2002A, 2.900% 05/01/12 1,000 New York State, Urban Development Corporation Revenue, Personal Aaa/AAA 1,076 Income Tax, Series 2002D, (FSA-CR Insured), 5.000% 12/15/07 1,300 New York, Port Authority New York & New Jersey Revenue, Series A1/AA- 1,322 2004, (GO of Auth Insured), 4.000% 12/01/05 1,400 New York, Port Authority New York & New Jersey Revenue, Series A1/AA- 1,441 2004, (GO of Auth Insured), 4.000% 12/01/06 1,600 New York, Port Authority New York & New Jersey Revenue, Series A1/AA- 1,660 2004, (GO of Auth Insured), 4.000% 12/01/07 1,900 New York, Port Authority New York & New Jersey Revenue, Series A1/AA- 1,980 2004, (GO of Auth Insured), ------ 4.000% 12/01/08 13,160 ------ NORTH CAROLINA - 3.4% 1,000 Charlotte, North Carolina, Certificates of Participation, (Equipment Aa1/AA+ 1,056 Acquisition Project) Series 2003C, 5.000% 03/01/07 1,340 Charlotte-Mecklenburg, North Carolina, Hospital Authority Health Aa3/AA 1,311 Care System, Revenue Refunding, 0.000%! 01/01/06 1,465 Fayetteville, North Carolina, Installment Payment Revenue, Aaa/AAA 1,532 (Municipal Building Project) Series 2005, 4.000% 02/01/08 1,240 Fayetteville, North Carolina, Installment Payment Revenue, Aaa/AAA 1,282 (Municipal Building Project) Series 2005, (MBIA Insured), 4.000% 02/01/07 1,300 Guilford County, North Carolina, GO, Series 2004C, (Municipal Aa1/AAA 1,355 Government GTD Insured), 4.000% 10/01/20 1,285 Lincoln County, North Carolina, Lease Revenue, Series 2003, (FSA Aaa/AAA 1,348 Insured), 4.500% 06/01/07 2,070 North Carolina Infrastructure Finance Corporation Lease Purchase Aa2/AA+ 2,167 Revenue, (Correctional Facilities Project), Series 2003, 5.000% 10/01/06 2,000 North Carolina State, School improvements GO, Series 1998A, Aa1/AAA 2,146 4.750% 04/01/11 5,000 North Carolina, Eastern Municipal Power Agency, Power Systems Aaa/AAA 5,643 Revenue Refunding, Series 1993-B, (MBIA-IBC Insured), 7.000% 01/01/08 1,005 North Carolina, Medical Care Commission, Gaston Health Care Hospital A1/A+ 1,008 Revenue, Series 1998, 4.500% 02/15/05
1,000 North Carolina, Medical Care Commission, Health Care Facilities Aaa/AAA 1,004 Revenue, (Gaston Memorial Hospital Project) Series 1995, (AMBAC-TCRS Insured), 5.000% 02/15/05 4,000 North Carolina, Medical Care Commission, Health Care Facilities Aa3/AA- 4,112 Revenue, (Novant Health Obligation Group Project) Series 2003A, 4.000% 11/01/06 1,675 North Carolina, Medical Care Commission, Health System Revenue, Aa3/AA 1,813 (Mission St. Hosephs Health System) Series 2001, 5.000% 10/01/08 3,000 North Carolina, Municipal Power Agency Number 1, Revenue, Series Aaa/AAA 3,284 1992, (MBIA-IBC Insured), 7.250% 01/01/07 1,125 Rutherford County, North Carolina, Certificates of Participation, Aaa/AAA 1,165 Series 2002, 4.500% 09/01/06 2,800 University of North Carolina, Revenue Refunding, Series 2002B, Aa1/AA+ 2,945 5.000% 12/01/06 1,920 Winston-Salem, North Carolina, Risk Acceptance Management Aaa/AAA 1,920 Corporation, Certificates of Participation, Series 1988, ------ (Wachovia Bank, N.A. SBPA), 2.000%!! 07/01/09 35,091 ------ OHIO - 3.5% 3,000 Dayton, Ohio, Special Facilities Revenue Refunding, (Air Freight A1/BB+ 3,389 Corporation Project) Series 1993F, 6.050% 10/01/09 2,000 Dayton, Ohio, Special Facilities Revenue Refunding, Series 1993, A1/BB+ 2,260 6.050% 10/01/09 2,575 Dayton, Ohio, Special Facilities Revenue, (Air Freight Corporation A1/BB+ 2,914 Project) Series 1988D, AMT, 6.200% 10/01/09 5,000 Hamilton County, Ohio, Local District Cooling Facilities Revenue, Baa2/BBB 5,090 (Trigen Cinergy-Remarketing 5/25/99), 4.600% 06/01/23 10,000 Ohio State, Higher Educational Capital Facilities Revenue, Series Aa2/AA 10,742 2002A-II, 5.000% 12/01/07 2,190 Ohio State, Highway Revenue, (Major New State Infrastructure) Series Aa3/AA 2,261 2002, 4.500% 06/15/06 5,000 Ohio State, Public Facilities Commission Revenue, (Higher Education Aaa/AAA 5,098 Capital Facilities Project) Series 1996 II-A, 4.375% 11/01/05 4,000 Ohio State, State Building Authority, Revenue, (Arts Facility Aa2/AA 4,187 Building Project) Series 1996, ------ 5.000% 10/01/06 35,941 ------ OKLAHOMA - 1.3% 6,000 Oklahoma State, Capital Improvement Authority, State Highway Capital Aaa/AAA 6,620 Improvement Revenue, (MBIA Insured), 5.000% 12/01/09 2,000 Oklahoma, Housing Development Authority, Revenue, Series 2000A, Aa3/AA+ 2,047 (FHLMC COLL), 5.100% 11/01/05 1,165 Tulsa, Oklahoma, Airports Improvement Trust, General Revenue, (Tulsa Aaa/AAA 1,257 International Airport), AMT, Series 2004A, (FGIC Insured), 5.000% 06/01/09 1,220 Tulsa, Oklahoma, Airports Improvement Trust, General Revenue, (Tulsa Aaa/AAA 1,319 International Airport), AMT, Series 2004A, (FGIC Insured), 5.000% 06/01/10 1,500 Tulsa, Oklahoma, GO, Series 2001, Aa2/AA 1,594 4.250% 03/01/09 ------ 12,837 ------ OREGON - 0.4% 2,055 Oregon State, Pension GO, Aa3/AA- 2,039 3.312% 06/01/07
2,000 Oregon State, Pension GO, Aa3/AA- 1,996 3.742% 06/01/08 ------ 4,035 ------ PENNSYLVANIA - 3.2% 6,600 Berks County, Pennsylvania, Revenue Bond, Series 2002, Aaa/AAA 6,600 (MBIA Insured, Wachovia Bank N.A. SBPA), 1.960%!! 11/01/23 5,075 Chester County, Pennsylvania, GO Refunding, Series 1995B, Aa1/AA 5,231 Prerefunded 11/15/05 @ 100, 5.625% 11/15/16 8,450 Chester County, Pennsylvania, Industrial Development Authority, NR/NR 8,450 Revenue, (Malvern Prep School Project) Series 2001, (First Union National Bank LOC), 2.040%!! 04/01/31 3,800 Philadelphia, Pennsylvania, Industrial Development Authority, IDR Baa2/AA- 3,845 Refunding, (Ashland Oil Inc. Project) Series 1993, 5.700% 06/01/05 3,000 Philadelphia, Pennsylvania, School District, GO Refunding, Series Aaa/AAA 3,140 1998B, (MBIA Insured State Aid Withholding), 5.000% 10/01/06 5,000 Philadelphia, Pennsylvania, Water and Wastewater Revenue, (MBIA-IBC Aaa/AAA 5,233 Insured), ------ 5.500% 06/15/06 32,499 ------ PUERTO RICO - 2.1% 7,375 Puerto Rico Commonwealth, Public Improvement Refunding GO, Series Baa1/A- 7,909 2003C, 5.000% 07/01/18 3,000 Puerto Rico, Electric Power Authority Power Revenue Refunding, A3/A- 3,118 Series 2002, 5.000% 07/01/06 6,470 Puerto Rico, Public Buildings Authority Revenue Guaranteed, Baa1/A- 7,026 (Government Facilities) Series 2002C, (Commonwealth GTD), 5.250% 07/01/08 3,000 Puerto Rico, Public Buildings Authority Revenue Guaranteed, Baa1/A- 3,134 (Government Facilities) Series 2004K, ------ 4.500% 07/01/22 21,187 ------ SOUTH CAROLINA - 3.5% 1,155 Florence County, South Carolina Hospital Revenue, (McLeod Regional Aaa/AAA 1,266 Medical Center Project) Series 2004A, (FSA Insured), 5.000% 11/01/09 1,330 Florence County, South Carolina, Hospital Revenue, (McLeod Regional Aaa/AAA 1,440 Medical Center Project) Series 1998A, (MBIA Insured), 5.500% 11/01/07 7,750 Richland County, South Carolina, Environmental Improvement Revenue Baa2/BBB 7,977 Refunding, (International Paper Company Project) Series 2002A, 4.250% 10/01/07 2,000 South Carolina Jobs Economic Development Authority Economic Aa3/BBB+ 1,997 Development Revenue Refunding, (Republic Services Inc. Project), Series 2004, AMT, 3.250% 04/01/34 2,370 South Carolina State, Education Assistance Authority, Revenue Aaa/AAA 2,400 Refunding, (Guaranteed Student Loan Senior Lien Project) Series 1993A-3, AMT, (GTD STD LNS), 5.200% 09/01/05 1,000 South Carolina State, Public Service Authority, Revenue, Series Aaa/AAA 1,000 1999A, (MBIA Insured), 5.000% 01/01/05 1,790 South Carolina, Jobs Economic Development Authority, Economic Aa2/A+ 1,790 Development Revenue, (Bennettsville Printing Project) Series 1995, (First Union National Bank LOC), 2.040%!! 09/01/10 2,830 South Carolina, Jobs Economic Development Authority, Economic NR/NR 2,830 Development Revenue, (Shannon Forest Project) Series 2003, 2.020% 04/01/23
510 South Carolina, Jobs Economic Development Authority, Economic Aa1/AA- 510 Development Revenue, (Valley Proteins Inc. Project) Series 1995, (Harris Bank LOC), 2.040%!! 04/01/10 5,500 South Carolina, Jobs Economic Development Authority, Economic Aa3/BBB 5,470 Development Revenue, (Waste Management South Carolina Inc. Project) Series 2001, AMT, Mandatory Put 11/01/04 @ 100, 3.300% 11/01/16 1,030 South Carolina, Jobs Economic Development Authority, IDR, Series NR/NR 1,030 1998, (First Union National Bank LOC), 2.140%!! 09/01/19 4,500 South Carolina, Transition Infrastructure Bank Revenue, Series Aaa/AAA 4,712 1998A, (MBIA Insured), 5.000% 10/01/06 3,000 York County, South Carolina, PCR, Series 2000B1, Aa3/A 3,000 1.950% 09/15/24 ------ 35,422 ------ SOUTH DAKOTA - 0.1% 1,100 Rapid City, South Dakota, Sales Tax Revenue Refunding, Series 2002, Aaa/AAA 1,116 (AMBAC Insured), ------ 5.500% 06/01/05 TENNESSEE - 2.5% 1,335 Franklin, Tennessee, Special School District, GO Refunding, Series Aa2/AA+ 1,377 2002, 4.500% 06/01/06 1,125 Maury County, Tennessee, Go, Series 2004A, (MBIA Insured), Aaa/AAA 1,179 4.000% 04/01/08 10,000 Memphis, Tennessee, Electric System Revenue, Series 2003A, Aaa/AAA 10,979 5.000% 12/01/09 1,405 Memphis-Shelby County, Tennessee, Airport Authority, Airport Revenue Aaa/AAA 1,428 Refunding, AMT, Series 2002, (MBIA Insured), 4.000% 11/15/05 7,710 Memphis-Shelby County, Tennessee, Airport Authority, Special Baa2/BBB 8,224 Facilities Revenue Refunding, (Federal Express Corporation Project) Series 2001, 5.000% 09/01/09 2,700 Metropolitan Government Nashville & Davidson County, Tennessee, GO, Aa2/AA 2,900 Series 2004, ------ 5.000% 11/15/07 26,087 ------ TEXAS - 13.8% 2,000 Arlington, Texas, Independent School District, GO Refunding, Series Aaa/AAA 1,995 2003, (PSF-GTD), 0.000%! 02/15/05 355 Austin, Texas, Airport System Revenue, Series 1995, Prerefunded Aaa/AAA 371 11/15/05 @102, (MBIA Insured), 5.500% 11/15/06 1,645 Austin, Texas, Airport System Revenue, Series 1995A, (MBIA Insured), Aaa/AAA 1,720 5.500% 11/15/06 3,000 Austin, Texas, GO Refunding, Aa2/AA+ 3,284 5.250% 09/01/08 2,830 Austin, Texas, GO, Series 1995, Prerefunded 09/01/05 @ 100, Aa2/AA+ 2,895 5.500% 09/01/12 4,110 Austin, Texas, GO, Series 2001, Aa2/AA+ 4,499 5.250% 09/01/08 4,000 Austin, Texas, Utilities System Revenue Refunding, Series 1992A, Aaa/AAA 4,267 (MBIA Insured), 6.000% 11/15/06 1,720 Austin, Texas, Utilities System Revenue Refunding, Series 1993A, Aaa/AAA 1,733 (FGIC-TCRS Insured), 5.375% 05/15/05 3,000 Austin, Texas, Water and Waste Water System Revenue Refunding, Aaa/AAA 3,049 Series 2001A&B, (FSA Insured), 6.500% 05/15/05 6,160 Brazos River Authority, Texas, PCR Refunding, (TXU Electric Company Baa2/BBB- 6,362 Project) Series 2001B, Mandatory Put 11/01/06 @ 100, 4.750% 05/01/29
1,555 Carrollton, Texas, Farmers Branch Independent School District, GO Aa2/AA 1,470 Refunding, Series 1993, 0.000%! 02/15/07 1,245 Carrollton, Texas, Farmers Branch Independent School District, GO, Aaa/AAA 1,313 Series 2000, (PSF-GTD), 5.000% 02/15/07 1,000 Corpus Christi, Texas, Utilities System Revenue Refunding, Series Aaa/AAA 2002, 1,039 (Financial Security Assurance), 4.000% 07/15/07 1,000 Corpus Christi, Texas, Utilities Systems Revenue, Series 1999, (FSA Aaa/AAA 1,064 Insured), 5.000% 07/15/07 4,920 Dallas, Texas, Independent School District, GO, Series 1995, Aaa/AAA 5,033 (PSF-GTD), Prerefunded 08/15/05 @ 100, 5.750% 08/15/13 2,450 Dallas, Texas, Revenue Refunding, Series 2003C, (FSA Insured), Aaa/AAA 2,639 Mandatory Put 07/01/08 @ 100, 5.000% 01/01/18 1,000 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Aa2/AA+ 1,047 Series 2001, 5.000% 10/01/06 12,615 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Aa2/AA+ 13,201 Series 2002A, 5.000% 10/01/06 5,265 Dallas-Fort Worth, Texas, International Airport Revenue, Series Aaa/AAA 5,754 2002A, (MBIA Insured), 5.500% 11/01/08 1,330 Fort Bend, Texas, Independent School District, GO, Series 2002, Aaa/AAA 1,417 (PSF-GTD), 5.000% 08/15/07 5,000 Harris County, Texas (Toll Road) Series 2004B-2, (FGIC Insured), Aaa/AAA 5,445 5.000% 08/15/21 4,000 Harris County, Texas, Health Facilities Development Authority, Aaa/AAA 4,047 Hospital Revenue, (Memorial Hospital Systems Project) Series 1997A, (MBIA Insured), 4.875% 06/01/05 2,000 Harris County, Texas, Health Facilities Development Corporation Aa1/AA- 2,056 Revenue, (St. Luke's Episcopal Hospital Project) Series 2001A, 5.250% 02/15/06 1,845 Houston, Texas, GO Refunding, Series 1998A, Aa3/AA- 1,854 5.000% 03/01/05 2,400 Houston, Texas, Water & Sewer System, Revenue Refunding, Junior Aaa/AAA 2,147 Lien, Series 1991C, (AMBAC Insured), 0.000%! 12/01/08 6,485 Houston, Texas, Water and Sewer Systems Revenue Refunding, Series Aaa/AAA 6,188 1991C, (AMBAC Insured), 0.000%! 12/01/06 6,445 Keller, Texas, Independent School District, GO, Series 1993, Aaa/AAA 6,680 (PSF-GTD), Prerefunded 02/15/06 @ 100, 5.500% 08/15/13 1,225 Lubbock, Texas, GO Refunding, Series 2002, (MBIA Insured), Aaa/AAA 1,229 4.750% 02/15/05 1,145 Midlothian, Texas, Independent School District, GO, Series 1995, Aaa/NR 1,088 (PSF-GTD Insured), 0.000% 02/15/07 5,000 Red River Authority, Texas, Education Financing Revenue, (Parish Day Aa3/AA+ 5,003 School Project) Series 2001A, (Allied Irish Bank plc-LOC), Mandatory Put 12/01/04 @ 100, 3.100% 12/01/31 2,440 Red River Authority, Texas, PCR Refunding, (Hoechst Celanese Ba3/B 2,452 Corporation Project) Series 1994, 5.200% 05/01/07 3,265 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Baa2/BBB- 3,449 Series 2002, 5.000% 10/01/07
3,990 Sam Rayburn, Texas, Municipal Power Agency, Taxable Revenue Baa2/BBB- 4,028 Refunding, Series 2002, 5.600% 10/01/05 1,000 San Antonio, Texas, Water System Revenue, Series 2002A, (FSA Aaa/AAA 1,037 Insured), 5.000% 05/15/06 1,725 Socorro, Texas, Independent School District, GO Refunding, Series Aaa/AAA 1,799 2002, (PSF-GTD), 5.000% 08/15/06 2,000 Tarrant County, Texas, GO Refunding, Series 2004, Aaa/AAA 2,109 4.000% 07/15/09 3,030 Texas A&M University, Revenue, Series 1996, Aa1/AA+ 3,072 5.750% 05/15/05 4,000 Texas Gulf Coast Waste Disposal Authority, Environmental Facility, Baa2/BBB+ 4,111 Revenue Refunding, (Occidental Chemical Corporation Project) Series 2001, 4.200% 11/01/06 5,000 Texas State, GO Refunding, Series 1992A, Aa1/AA 5,739 8.000% 10/01/07 1,000 Texas State, Public Finance Authority, GO Refunding, Series 1997, Aa1/AA 1,080 5.250% 10/01/09 1,100 Texas Tech University, Revenue Financing System Seventh Series, Aaa/AAA 1,217 (MBIA Insured), 5.250% 08/15/09 4,000 University of Texas, Permian University Revenue Refunding, Series Aaa/AAA 4,166 2002A, 5.000% 07/01/06 3,500 University of Texas, Permian University Revenue Refunding, Series Aaa/AAA 3,794 2002A, 5.000% 07/01/08 2,555 University of Texas, University Financing Systems Revenue, Series Aaa/AAA 2,586 2001C, ------- 4.000% 08/15/05 140,528 ------- UTAH - 0.7% 2,000 Utah County, Utah, Hospital Revenue, (IHC Health Services Inc. Aa2/AA+ 2,022 Project)t Series 2002, 5.000% 05/15/05 5,000 Utah, Intermountain Power Agency, Power Supply Revenue Refunding, Aaa/AAA 5,316 Series 1998A, (MBIA Insured), ------- 5.000% 07/01/07 7,338 ------- VIRGINIA - 2.6% 2,000 Arlington County, Virginia, Industrial Development Authority, A2/AA 2,034 Hospital Facilities Revenue, (Virginia Hospital Center Project) Series 2001, 5.500% 07/01/05 4,000 Fairfax County, Virginia, Economic Development Authority, Resource Aaa/AAA 4,278 Recovery, Revenue Refunding, Series 1998A, AMT, (AMBAC Insured), 5.950% 02/01/07 4,345 Loudon County, Virginia, Industrial Development Authority Public Aa2/AA 4,560 Safety Facility Lease Revenue, Series 2003B, 5.000% 12/15/08 5,000 Louisa, Virginia, Industrial Development Authority, Solid Waste & A3/BBB+ 4,916 Sewer Disposal Revenue, (Virginia Electric & Power Company Project), Series 2000A, 2.350% 09/01/30 5,635 Virginia, Commonwealth Transportation Board, Federal Highway Aa2/AA 5,720 Reimbursement Notes Revenue, Series 2002, 4.000% 10/01/05 1,730 Virginia, Port Authority, Commonwealth Revenue, Series 1996, AMT, Aa1/AA+ 1,763 5.750% 07/01/05 1,120 Virginia, Port Authority, Port Facility Revenue, Series 2003, (MBIA Aaa/AAA 1,171 Insured), 4.000% 07/01/09 1,015 Virginia, Port Authority, Port Facility Revenue, Series 2003, (MBIA Aaa/AAA 1,077 Insured), 5.000% 07/01/07
1,065 Virginia, Port Authority, Port Facility Revenue, Series 2003, (MBIA Aaa/AAA 1,148 Insured), ------ 5.000% 07/01/08 26,667 ------ WASHINGTON - 2.3% 4,220 King County, Washington, School District Number 408 Auburn, GO, A1/A+ 4,439 Series 1992-A, 6.375% 12/01/06 2,000 Lewis County, Washington, Public Utilities District No. 001, Revenue Aaa/AA- 2,092 Refunding, Series 2003, 5.000% 10/01/06 2,605 Seattle, Washington, GO, Series 2001, Aa1/AAA 2,636 4.000% 08/01/05 1,000 Seattle, Washington, Municipal Light and Power Revenue, Series 2001, Aaa/AAA 1,034 (FSA Insured), 5.250% 03/01/06 2,750 Seattle, Washington, Port of Seattle Revenue, AMT, Series 2001B, Aaa/AAA 2,980 (FGIC Insured), 5.500% 04/01/08 3,655 Washington State, GO Refunding, Series 2002R-A, Aa1/AA 3,816 5.000% 09/01/06 1,500 Washington State, GO, Series 2001B, Aa1/AA 1,566 5.000% 09/01/06 5,000 Washington State, GO, Series 2001R-A, Aa1/AA 5,106 5.250% 09/01/05 ------ 23,669 ------ WEST VIRGINIA - 0.1% 1,000 Putnam County, West Virginia, PCR Refunding, (Appalachian Power Baa2/BBB 993 Company Project) Series, 2003E, ------ 2.800% 05/01/19 WISCONSIN - 2.3% 1,375 Appleton, Wisconsin, Waterworks Revenue Refunding, Series 2001, Aaa/AAA 1,422 (FGIC Insured), 4.000% 01/01/07 1,000 Appleton, Wisconsin, Waterworks Revenue Refunding, Series 2001, Aaa/AAA 1,046 (FGIC Insured), 4.000% 01/01/08 5,000 Kaukauna, Wisconsin, PCR Refunding, (International Paper Project) Baa2/BBB 5,197 Series 1997A, 5.150% 07/01/06 2,070 Milwaukee, Wisconsin, GO Refunding, Series 2002, (FSA Insured), Aaa/AAA 2,210 5.000% 09/01/07 2,080 Milwaukee, Wisconsin, GO Refunding, Series 2002W, (FSA Insured), Aaa/AAA 2,231 4.500% 03/15/09 1,695 Osh Kosh, Wisconsin, Area School District, GO Refunding, Series Aaa/AAA 1,748 1996B, (MBIA-IBC Insured), 4.900% 03/01/06 1,615 Wisconsin State, Clean Water Revenue, Series 1, Aa2/AA+ 1,665 4.500% 06/01/06 2,250 Wisconsin State, GO Refunding, Series 1993, Aa3/AA- 2,355 4.900% 11/01/06 4,000 Wisconsin State, GO Refunding, Series 1998, Aa3/AA- 4,040 5.000% 05/01/05 1,005 Wisconsin State, Health and Education Facilities Authority, Revenue, Aaa/AAA 1,056 (Gundersen Lutheran Hospital Project) Series 2003A, (FSA Insured), 5.000% 02/15/07 1,030 Wisconsin State, Health and Educational Facilities Authority, Aaa/AAA 1,032 Revenue, (Gundersen Lutheran Project) Series 2003A, (FSA Insured), ------ 4.000% 02/15/05 24,002 ------ WYOMING - 1.0% 2,300 Campbell County, Wyoming, School District Number 001-Gillette, GO, Aaa/AAA 2,404 Series 1996, (SCH BD GTY), 5.550% 06/01/06
8,350 Uinta County, Wyoming PCR, (Amoco Project Remarketing 12/01/03), NR/NR 8,274 2.250% 07/01/26 --------- 10,678 --------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $1,000,764) 1,007,910 ---------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 1.1% 11,530 Nations Tax-Exempt Reserves, Capital Class# 11,530 ---------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $11,530) 11,530 ---------- TOTAL INVESTMENTS (Cost $1,012,294*) 99.4% 1,019,440 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.6% 6,086 ---------- NET ASSETS 100.0% $1,025,526 ==========
- ---------- 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. * Cost for federal income tax purposes is $1,012,294. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 8,809 1,663 7,146
! 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 sub-advised by Banc of America Capital Management, LLC. ABBREVIATIONS: AMBAC Ambac Assurance Corporation AMBAC-TCRS American Municipal Bond Assurance Corporation Transferable Custodial Receipts AMT Alternative Minimum Tax FGIC Financial Guaranty Insurance Company FHLMC COLL Federal Home Loan Mortgage Corporation collateral FNMA Federal National Mortgage Association FNMA COLL Federal National Mortgage Association collateral FSA Financial Security Assurance Inc. FSA-CR Financial Security Assurance - Custodial Receipts GO General Obligations
GNMA Government National Mortgage Association GTD Guarantee GTD-AGMT Guarantee Agreement LOC Letter of Credit MBIA MBIA Insurance Corporation MBIA-IBC MBIA Insurance Corporation - Insured Bond Certificate NR Not Rated PSF-GTD Permanent School Fund Guarantee SBA Small Business Administration VA Veterans Administration WMI Waste Management Inc.
NATIONS FUNDS NATIONS INTERMEDIATE MUNICIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------- MUNICIPAL BONDS AND NOTES - 95.4% ALABAMA - 0.9% 3,265 Alabama, Special Care Facilities Financing Authority, Hospital Aaa/AAA $ 3,484 Revenue, (Charity Obligation Group Project) Series 1999A, (MBIA Insured, Escrowed to Maturity), 4.625% 11/01/10 2,500 Birmingham, Alabama, Baptist Medical Centers Special Care Facilities Aaa/AAA 2,510 Financing Authority, Revenue Refunding, (Baptist Medical Centers Project) Series 1993A, (MBIA Insured), 5.500% 08/15/05 2,500 Birmingham, Alabama, Industrial Water Board, Industrial Water Supply Aaa/AAA 2,695 Revenue, Series 1978, (MBIA Insured), 6.000% 07/01/07 685 Birmingham, Alabama, Medical Clinic Board Revenue, (Baptist Medical Aaa/AAA 766 Centers Project) Series 1979, 8.300% 07/01/08 5,750 Courtland, Alabama, Industrial Development Board, Solid Waste Baa2/BBB 5,787 Disposal Revenue, (Champion International Corporation Project) ------- Series 1993A, AMT, 6.375% 03/01/29 15,242 ------- ALASKA - 2.6% 3,000 Alaska State, Housing Finance Corporation Revenue, Series 1992A, (GO Aa2/AA 3,099 of Corporation), 6.000% 12/01/05 1,965 Alaska State, Housing Finance Corporation Revenue, Series 1995A, Aaa/AAA 2,028 (MBIA, FHA/VA/FNMA Mortgages), 5.800% 12/01/12 11,500 Alaska State, Housing Finance Corporation Revenue, Series 1997A, Aaa/AAA 11,994 (MBIA Insured, GO of Corporation), 6.000% 06/01/27 1,505 Alaska State, Housing Finance Corporation, Revenue, Series 1995A, Aaa/AAA 1,560 (MBIA Insured), 5.400% 06/01/08 3,345 Alaska, Industrial Development and Export Authority, Revenue Aaa/AAA 3,589 Refunding, Series 1998A, AMT, (MBIA Insured), 5.250% 04/01/12 895 Alaska, Industrial Development and Export Authority, Revenue, A2/A- 902 Series 1995A, (GO of Authority), 6.000% 04/01/05 1,250 Alaska, Student Loan Corporation, Revenue, Series 1997A, AMT, Aaa/AAA 1,301 (AMBAC Insured), 5.200% 07/01/06 2,000 Anchorage, Alaska, Electric Utility Revenue, Senior Lien, Aaa/AAA 2,108 (Municipal Light and Power Project) Series 1996C, (AMBAC Insured), 5.300% 12/01/11 5,000 Anchorage, Alaska, GO Refunding, Schools, Series 2004B, Aaa/AAA 5,644 (AMBAC Insured), 5.250% 12/01/15 10,600 Anchorage, Alaska, GO Refunding, Series 2002, (MBIA Insured), Aaa/AAA 11,812 5.250% 07/01/10 1,000 Fairbanks, Alaska, North Star Borough GO Refunding, Series 1993S, Aaa/AAA 1,091 (MBIA Insured), ------- 5.500% 03/01/08 45,128 -------
ARIZONA - 2.6% 500 Arizona State, Power Authority, Power Reserves Revenue, Series 2001, Aa2/AA 552 5.000% 10/01/10 1,500 Arizona, Educational Loan Marketing Corporation, Educational Loan NR/NR 1,517 Revenue, Series 1993, 6.300% 12/01/08 1,500 Arizona, Health Facilities Authority, Hospital Systems Revenue Aaa/AAA 1,545 Refunding, (Samaritan Health Systems Project) Series 1993, (MBIA Insured), 5.400% 12/01/05 10,000 Arizona, School Facility Board, Certificate of Participation, Aaa/AAA 11,133 Series 2003A, (MBIA Insured), 5.250% 09/01/14 3,715 Maricopa County, Arizona, Industrial Development Authority, Health Aa1/AA 4,001 Facilities Revenue, Series 1999A, (GNMA COLL, FHA), 6.300% 09/20/38 70 Maricopa County, Arizona, Industrial Development Authority, Single Aaa/AAA 70 Family Mortgage Revenue, Series 2001-1B, (GNMA/FHLMC COLL), 6.100% 09/01/28 6,300 Maricopa County, Arizona, Unified High School District Number 210, Aaa/AAA 7,007 GO, Series 2003, (MBIA Insured), 5.000% 07/01/15 910 Mohave County, Arizona, Elementary School District Number 016 Mohave Aaa/AAA 1,009 Valley, GO, Series 1997, (MBIA Insured), 6.900% 07/01/07 4,710 Phoenix, Arizona, Civic Improvement Corporation, Airport Revenue Aaa/AAA 5,233 Refunding, Senior Lien, Series 1999A, AMT, (FGIC Insured), 5.500% 07/01/11 1,000 Phoenix, Arizona, Civic Improvement Corporation, Excise Tax Revenue, Aa2/AAA 1,114 Senior Lien, (Municipal Courthouse Project) Series 1999A, 5.500% 07/01/12 1,210 Salt River, Arizona, Agriculture Improvement and Power District, Aa2/AA 1,308 Electric Systems Revenue Refunding, (Salt River Project) Series 1993B, 5.200% 01/01/08 545 Tucson & Pima County, Arizona, Industrial Development Authority, Aaa/AAA 577 Single Family Mortgage Revenue, Series 2001A-1, AMT, (GNMA/FNMA/FHLMC COLL), 6.350% 01/01/34 825 Tucson and Pima County, Arizona, Industrial Development Authority, Aaa/AAA 838 Single Family Mortgage Revenue, Series 2001A-1, AMT, (GNMA/FNMA/FHLMC COLL), 6.000% 07/01/21 500 Tucson, Arizona, Airport Authority, Revenue, Series 2001, AMT, Aaa/AAA 550 (AMBAC Insured), 5.500% 06/01/12 1,000 Tucson, Arizona, GO Refunding, Series 1995, (FGIC Insured), Aaa/AAA 1,027 5.600% 07/01/07 4,760 Tucson, Arizona, GO Refunding, Series 1998, Aa3/AA 5,488 5.500% 07/01/18 1,235 Yuma County, Arizona, Jail District Revenue, Series 1996, Aaa/AAA 1,266 (AMBAC Insured), ------ 5.300% 07/01/09 44,235 ------ ARKANSAS - 1.5% 13,725 Arkansas State, Federal Highway Grant Anticipation GO, Series 2001A, Aa2/AA 15,246 5.250% 08/01/09 10,000 Arkansas State, GO, Series 2000A, Aa2/AA 11,063 5.500% 08/01/11 ------ 26,309 ------ CALIFORNIA - 7.7% 1,000 ABAG Finance Authority for Non-Profit Corporations, California, Baa3/BBB- 1,088 Multi-Family Revenue Refunding, Series 2000A, AMT, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.400% 08/15/30 8,000 ABAG Finance Authority for Non-Profit Corporations, California, Baa3/BBB- 8,717 Multi-Family Revenue Refunding, Series 2000B, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.250% 08/15/30
10,000 California State, Department of Water Resources Supply Revenue, A3/BBB+ 11,240 Series 2002A, 5.500% 05/01/11 2,000 California State, Department of Water Resources, Power Supply A3/BBB+ 2,326 Revenue, Series 2002A, 6.000% 05/01/13 1,000 California State, Economic Recovery, GO, Series 2004A, Aa3/AA- 1,044 4.500% 01/01/07 5,000 California State, Economic Recovery, GO, Series 2004A, Aaa/AAA 5,538 (MBIA Insured), 5.000% 07/01/15 3,265 California State, GO, Series 2000, A3/BBB 3,485 5.000% 12/01/16 2,000 California State, Public Works Board Lease Revenue, (Department of Baa1/BBB- 2,222 Health - Colinga) Series 2004A, 5.500% 06/01/19 1,750 California, Statewide Communities Development Authority, Apartment Baa2/BBB 1,827 Development Revenue Refunding, (Irvine Apartment Communities Project) Series 1998A-4, Mandatory Put 05/15/13 @ 100, 5.250% 05/15/25 5,500 California, Statewide Communities Development Authority, Revenue, A3/AA 5,561 Certificates of Participation, Series 1993, 5.400% 11/01/15 1,800 Citrus Heights, California, Water District Revenue, Series 2000, Aaa/AAA 1,958 (FGIC Insured), 5.250% 10/01/20 3,500 Golden State Tobacco Securitization Corporations, Tobacco Settlement Baa3/BBB 3,502 Revenue, Series 2003A, 6.250% 06/01/33 7,700 Los Angeles County, California, Metropolitan Transportation Aaa/AAA 8,325 Authority Sales Tax Revenue, (Property A First Tier Senior) Series 2003A, (FSA Insured), 5.000% 07/01/18 6,280 Los Angeles County, California, Metropolitan Transportation Aaa/AAA 6,814 Authority Sales Tax Revenue, (Property A First Tier Senior) Series 2003A, (FSA Insured), 5.000% 07/01/17 10,000 Los Angeles, California, Unified School District, Series 1998B, Aaa/AAA 10,740 5.000% 07/01/18 6,425 Milpitas, California, Redevelopment Agency, Tax Allocation, Series Aaa/AAA 7,033 2003, (MBIA Insured), 5.000% 09/01/15 6,745 Milpitas, California, Redevelopment Agency, Tax Allocation, Series Aaa/AAA 7,327 2003, (MBIA Insured), 5.000% 09/01/16 3,000 Pico Rivera, California, Water Authority Revenue, (Water System Aaa/AAA 3,370 Project) Series 1999A, (MBIA Insured), 5.500% 05/01/29 6,000 Port Oakland, California, Port Revenue Refunding, Series 1997H, AMT, Aaa/AAA 6,450 (MBIA Insured), 5.500% 11/01/15 10,000 Sacramento, California, Municipal Utility District Electric Revenue Aaa/AAA 11,116 Refunding, Series 2003S, (FSA Insured), 5.000% 11/15/09 2,000 San Francisco, California, City and County Airport Commission, Aaa/AAA 2,253 International Airport Revenue Refunding, Series 2003B-29, (FGIC Insured), 5.250% 05/01/13 14,750 San Francisco, California, GO Refunding, Series 2002, Aa3/AA 16,438 5.000% 06/15/11 4,195 Santa Clara, California, Redevelopment Agency Tax Allocation, Aaa/AAA 4,735 (Bayshore North Project) Series 2002, (AMBAC Insured), ------- 5.500% 06/01/13 133,109 ------- COLORADO - 2.9% 1,000 Adams County, Colorado, School District Number 012, GO, Series 1997, Aaa/AAA 1,093 (FGIC Insured, State Aid Withholding),
Prerefunded 12/15/07 @ 101, 5.250% 12/15/09 3,635 Aurora Centretech Metropolitan District, Colorado, GO Refunding, Aa1/AA- 3,821 Series 1998C, (BNP Paribas LOC), Mandatory Put 12/01/08 @ 100, 4.875% 12/01/28 2,445 Boulder Larimer and Weld Counties, Colorado State, Vrain Valley Aaa/AAA 2,633 School District, GO, Series 1997, (FGIC Insured), 5.000% 12/15/10 10,000 Colorado, E-470 Public Highway Authority, Refunding Revenue, Aaa/AAA 7,412 Series 1997B, (MBIA Insured), 3.940%! 09/01/12 4,000 Colorado, Northwest Parkway Public Highway Authority, Revenue, Aaa/AAA 3,230 Series 2001C, 1.300%! 06/15/21 3,075 Denver, Colorado, City and County Airport Revenue Refunding, Aaa/AAA 3,415 Series 2000A, AMT, (AMBAC Insured), 6.000% 11/15/15 10,300 Denver, Colorado, City and County Airport Revenue, Series 1995C, Aaa/AAA 12,169 (MBIA Insured), 6.500% 11/15/12 5,570 Denver, Colorado, City and County Excise Tax Revenue Refunding, Aaa/AAA 6,139 Series 1999A, (FSA Insured), 5.375% 09/01/11 1,630 Denver, Colorado, Health and Hospital Authority, Healthcare Revenue, Baa3/BBB 1,709 Series 2001A, 6.000% 12/01/23 7,385 Douglas County, Colorado, School District Number RE-1, Douglas and Aaa/AAA 8,347 Elbert Counties, GO, Series 2001, (MBIA Insured, State Aid ------ Withholding), Prerefunded 12/15/2011 @ 100, 5.250% 12/15/13 49,968 ------ CONNECTICUT - 1.1% 10,470 Connecticut State, GO, Series 2002D, Aa3/AA 11,524 5.250% 11/15/08 7,800 Stamford, Connecticut, Housing Authority, Multi-Family Revenue Baa1/BBB+ 8,016 Refunding, (Housing-Fairfield Apartments Project) Series 1998, AMT, ------ Mandatory Put 12/01/08 @ 100, 4.750% 12/01/28 19,540 ------ DISTRICT OF COLUMBIA - 0.7% 1,375 District Columbia, Revenue, (Georgetown University Project) Series Aaa/AAA 1,475 1988C, (MBIA Insured), 4.850% 04/01/09 2,000 District Columbia, Water and Sewer Authority, Public Utility Aaa/AAA 2,269 Revenue, Series 1998, (FSA Insured), 5.500% 10/01/11 1,000 District of Columbia, Hospital Revenue Refunding, (Medlantic Aaa/AAA 1,059 Healthcare Group Project) Series 1997A, (MBIA Insured), 6.000% 08/15/06 1,350 District of Columbia, Hospital Revenue Refunding, (Medlantic Aaa/AAA 1,472 Healthcare Group Project) Series 1997A, (MBIA Insured), 6.000% 08/15/07 3,050 District of Columbia, Revenue, (Georgetown University Project) Aaa/AAA 3,301 Series 1988C, (MBIA Insured), 5.050% 04/01/11 2,000 District of Columbia, Revenue, (The Smithsonian Institute Project) Aaa/AAA 2,142 Series 1997, ------ 5.000% 02/01/17 11,718 ------ FLORIDA - 3.0% 2,700 Duval County, Florida, Housing Finance Authority, Multi-Family Aa3/BBB 2,775 Housing Revenue Refunding, (United Dominion Realty Trust - Greentree Place Project) Series 1995, Mandatory Put 04/01/15 @ 100, 6.750% 04/01/25 2,945 Escambia County, Florida, Housing Finance Authority, Single-Family Aaa/AAA 3,070 Mortgage Revenue, Series 1999, AMT, (FNMA/GNMA COLL), 4.500% 10/01/09
2,500 Florida State, Board of Education, Capital Outlay Refunding GO, Aa2/AA+ 2,550 Series 1995D, 4.750% 06/01/07 3,990 Florida State, Board of Education, Capital Outlay Refunding GO, Aa2/AA+ 4,476 Series 1998B, 5.250% 06/01/11 7,290 Florida State, Department of Transportation, GO Refunding, Aa2/AA+ 8,163 Series 2002, 5.250% 07/01/13 2,000 Florida, Housing Finance Agency, Multi-Family Housing Revenue Aa3/BBB 2,059 Refunding, (United Dominion Realty Trust - Andover Project) Series 1996E, AMT, Mandatory Put 05/01/08 @ 100, 6.350% 05/01/26 1,750 Jacksonville, Florida, Excise Taxes Revenue, Series 2003C, Aaa/AAA 1,902 (MBIA Insured), 5.250% 10/01/19 4,075 North Broward, Florida, Hospital District Revenue Refunding, Aaa/AAA 4,318 Series 1997, 5.250% 01/15/11 7,000 Pinellas County, Florida, Housing Authority, Housing Revenue, Aaa/AAA 7,436 (Affordable Housing Project), Series 2001, (FSA Insured), 4.600% 12/01/10 6,080 Tampa, Florida, Health Systems Revenue, (Catholic Health East Aaa/AAA 6,931 Project) Series 1998A-1, (MBIA Insured), 5.500% 11/15/13 6,000 Tampa, Florida, Health Systems Revenue, (Catholic Health East Aaa/AAA 6,856 Project) Series 1998A-1, (MBIA Insured), 5.500% 11/15/14 1,275 Tampa, Florida, Water and Sewer Revenue, Series 1987, Aaa/AAA 1,363 6.800% 10/01/07 ------ 51,899 ------ GEORGIA - 1.5% 15,305 Atlanta, Georgia, Water & Wastewater Revenue, Series 1999A, Aaa/AAA 17,833 5.500% 11/01/18 3,500 Cartersville, Georgia, Development Authority, Sewer Facilities A1/A+ 3,849 Revenue Refunding, (Anheuser-Busch Companies, Inc. Project) Series 1997, AMT, 5.625% 05/01/09 4,400 Georgia State, GO, Series 1997C, Aaa/AAA 5,061 6.250% 08/01/09 ------ 26,743 ------ HAWAII - 1.0% 13,745 Hawaii State, GO, Series 2001CV (FGIC Insured), Aaa/AAA 15,365 5.500% 08/01/09 2,500 Honolulu City and County, Hawaii, GO Refunding, Series 1990A, Aa2/AA- 2,791 7.350% 07/01/07 ------ 18,156 ------ ILLINOIS - 8.6% 5,195 Chicago, Illinois, City Colleges Chicago Capital Improvement, GO, Aaa/AAA 5,907 Series 1999, (FGIC Insured), 6.000% 01/01/11 1,000 Chicago, Illinois, Emergency Telephone Systems, GO, Series 1998, Aaa/AAA 1,092 (FGIC Insured), 5.550% 01/01/08 2,000 Chicago, Illinois, Equipment Notes, GO, Series 1998, (FGIC Insured), Aaa/AAA 2,147 5.000% 01/01/08 605 Chicago, Illinois, GO Refunding, (Escrowed to Maturity - Project & Aaa/AAA 651 Refunding) Series 199A, (FGIC Insured), 5.000% 01/01/08 5,650 Chicago, Illinois, GO Refunding, Series 1999, (FGIC Insured), Aaa/AAA 6,038 5.000% 01/01/15 7,540 Chicago, Illinois, GO Refunding, Series 1999, (FGIC Insured), Aaa/AAA 8,513 5.250% 01/01/18 5,975 Chicago, Illinois, Housing Authority, Capital Program Revenue, Aa3/AA 6,568 Series 2001, 5.250% 07/01/12
5,000 Chicago, Illinois, Housing Authority, Capital Program Revenue, Aa3/AA 5,489 Series 2001, 5.375% 07/01/13 5,640 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Aaa/AAA 6,190 Series 1993C, (MBIA Insured), 5.000% 01/01/11 10,000 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Aaa/AAA 10,889 Series 1999, (AMBAC Insured), 5.500% 01/01/12 1,135 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), Aaa/AAA 1,219 5.250% 01/01/09 1,195 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), Aaa/AAA 1,283 5.250% 01/01/10 1,260 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), Aaa/AAA 1,351 5.250% 01/01/11 1,325 Chicago, Illinois, Park District, GO, Series 1997, (AMBAC Insured), Aaa/AAA 1,421 5.250% 01/01/12 1,000 Chicago, Illinois, Public Building Commission Revenue, Chicago Aaa/AAA 1,000 Transit Authority, Series 1995, (AMBAC Insured), Prerefunded 01/01/05 @ 100, 6.600% 01/01/15 1,490 Chicago, Illinois, Water Revenue Refunding, Series 1993, Aaa/AAA 1,624 (FGIC Insured), 5.100% 11/01/08 1,000 Cook County, Illinois, Capital Improvement GO, Series 1996, Aaa/AAA 1,064 (FGIC Insured), 5.400% 11/15/07 2,265 Cook County, Illinois, School District Number 135, GO Refunding, Aaa/AAA 2,375 Series 1995, (FGIC Insured), 5.450% 12/01/08 2,350 Cook County, Illinois, School District Number 135, GO Refunding, Aaa/AAA 2,462 Series 1995, (FGIC Insured), 5.550% 12/01/09 1,145 Du Page County, Illinois, School District, GO, Series 1997, (FGIC Aaa/AAA 1,368 Insured), 6.750% 02/01/11 10,000 Illinois State, GO Refunding, Series 2004B, Aa3/AA 11,033 5.000% 03/01/14 6,850 Illinois State, GO, Series 2000, Prerefunded 06/01/10 @ 100, Aaa/AAA 7,813 5.750% 06/01/15 10,000 Illinois State, GO, Series 2002, (FSA Insured), Aaa/AAA 11,338 5.375% 12/01/13 10,000 Illinois State, Sales Tax Revenue, First Series 2002, Aa3/AAA 11,338 5.250% 06/15/19 5,525 Illinois, Development Financial Authority, Solid Waste Disposal Aa3/BBB 5,809 Revenue, (Waste Management Inc. Project) Series 1997, AMT, 5.050% 01/01/10 1,030 Illinois, Educational Facilities Authority, Revenue, (Shedd Aquarium Aaa/AAA 1,115 Society Project) Series 1997, (AMBAC Insured), 5.150% 07/01/09 1,025 Illinois, Educational Facilities Authority, Revenue, (Shedd Aquarium Aaa/AAA 1,112 Society Project) Series 1997, (AMBAC Insured), 5.250% 07/01/10 1,145 Illinois, Educational Facilities Authority, Revenue, (Shedd Aquarium Aaa/AAA 1,243 Society Project) Series 1997, (AMBAC Insured), 5.300% 07/01/11 1,000 Illinois, Finance Authority, Revenue Refunding, (DePaul University), Baa1/AA- 1,111 Series 2004A, 5.375% 10/01/17 2,000 Illinois, Finance Authority, Revenue Refunding, (DePaul University), Baa1/AA- 2,217 Series 2004A, 5.375% 10/01/18 635 Illinois, Health Facilities Authority, Revenue, (Franciscan Sisters Aaa/AAA 654 Health Care Hospital) Series 1994A, (MBIA Insured), 6.500% 09/01/05 1,500 Illinois, Health Facilities Authority, Revenue, (Galesburg Cottage Aa1/AA 1,720 Hospital Project), Series 2000, (RADIAN Insured), 6.000% 05/01/15
6,320 Illinois, Health Facilities Authority, Revenue, (Highland Park Aaa/AAA 7,031 Hospital Project) Series 1991B, (FGIC Insured), Prerefunded 10/01/07 @ 102, 5.900% 10/01/12 1,580 Illinois, Metropolitan Pier and Exposition Authority, Revenue, Aaa/AAA 1,691 Series 1996A, (AMBAC Insured), 6.000% 12/15/06 6,985 Illinois, Northwest Municipal Junction Action, Water Agency and Aaa/AAA 7,534 Supply Systems Revenue, Series 1997, (MBIA Insured), 5.125% 05/01/11 1,670 Illinois, University Housing and Auxiliary Facilities Systems Aaa/AAA 1,775 Revenue, Series 1996, (MBIA Insured), 5.000% 10/01/07 1,000 Lake County, Illinois, Warren Township High School District Number Aaa/AAA 1,020 121 Gurnee, GO Refunding, Series 1995, (FGIC Insured), 5.050% 01/01/07 1,750 Regional Transportation of Illinois Authority, Series 1994C, (FGIC Aaa/AAA 2,206 Insured) 7.750% 06/01/11 2,250 Springfield, Illinois, Electric Revenue, Senior Lien, Series 1991, Aa3/A+ 2,442 6.500% 03/01/07 ------- 148,853 ------- INDIANA - 1.8% 1,575 Hamilton County, Indiana, County Option Income Tax Revenue, Aaa/AAA 1,706 Series 1998, (FSA Insured), 5.250% 07/10/12 1,140 Hamilton, Southeastern Indiana, North Del School Building Aaa/AAA 1,225 Corporation, Revenue, Series 1996, (AMBAC Insured, State Aid Withholding), 5.300% 07/15/11 9,100 Indiana State, Development Finance Authority, PCR Refunding, Baa1/BBB+ 9,296 (Southern Indiana Gas and Electric Project) Series 1998C, AMT, Mandatory Put 03/01/06 @ 100, 5.000% 03/01/30 1,100 Indiana, Bond Bank Revenue, (State Revolving Fund Project) Aaa/AAA 1,126 Series 1995A, 6.875% 02/01/12 1,035 Indiana, Ivy Tech State College Revenue, Series 1997E, Aaa/AAA 1,096 (AMBAC Insured), 5.000% 07/01/07 1,000 Indiana, Ivy Tech State College Revenue, Series 1997E, Aaa/AAA 1,069 (AMBAC Insured), 5.050% 07/01/09 1,000 Indiana, Transportation Financing Authority, Highway Revenue, Aaa/AAA 1,113 Series 1998A, (MBIA Insured), 5.250% 12/01/13 1,500 Indiana, Transportation Financing Authority, Highway Revenue, Aaa/AAA 1,670 Series 1998A, (MBIA Insured), 5.250% 12/01/14 1,520 Indiana, University of Indiana Revenue, Series 1998L, Aa2/AA 1,645 5.000% 08/01/09 2,510 Indiana, University of Indiana Revenue, Series 1998L, Aa2/AA 2,719 5.000% 08/01/10 1,140 Pike Township, Indiana, School Building Corporation, Refunding A1/AA 1,142 Revenue, (First Mortgage) Series 1993, (State Aid Withholding), 4.800% 08/01/05 1,000 Plymouth, Indiana, Multi School Building Refunding Revenue, Series Aaa/AAA 1,027 1995, (MBIA Insured, State Aid Withholding), 5.550% 07/01/09 1,005 Shelby County, Indiana, Jail Building Corporation, Refunding Aaa/AAA 1,055 Revenue, Series 1996, (MBIA Insured), 5.300% 07/15/07 1,045 Shelby County, Indiana, Jail Building Corporation, Refunding Aaa/AAA 1,098 Revenue, Series 1996, (MBIA Insured), 5.400% 07/15/08 1,085 Westfield, Indiana, Housing Building Corporation, Refunding Revenue, Aaa/AAA 1,170 Series 1998, (AMBAC Insured, State Aid Withholding), 5.100% 01/05/12 1,185 Westfield, Indiana, Housing Building Corporation, Refunding Revenue, Aaa/AAA 1,278 Series 1998, (AMBAC Insured, State Aid Withholding), 5.100% 07/05/12
1,745 Westfield, Indiana, Housing Building Corporation, Refunding Revenue, Aaa/AAA 1,890 Series 1998, (AMBAC Insured, State Aid Withholding), ------ 5.250% 01/05/14 31,325 ------ IOWA - 0.6% 9,650 Iowa, Student Loan Liquidity Corporation, Student Loan Revenue Aaa/AAA 10,222 Refunding, Series 1998J, AMT, (AMBAC Insured), ------ 4.800% 06/01/09 KANSAS - 1.8% 4,500 Kansas State, Development Finance Authority, Revenue, Series 1998A, Aa2/A- 4,692 4.800% 06/01/13 2,175 Labette County, Kansas, Single-Family Mortgage Revenue, Zero Coupon Aaa/A- 1,445 Capital Accumulator Bonds, Series 1982, (Escrowed to Maturity), 4.170%! 12/01/14 5,000 Wichita, Kansas, Hospital Revenue Refunding, Series 2001-III, Aa2/A+ 5,596 6.250% 11/15/18 7,555 Wyandotte County-Kansas City, Kansas, Unified Government Utility Aaa/AAA 8,870 System, Revenue Refunding, Series 2004, (AMBAC Insured), 5.650% 09/01/16 8,635 Wyandotte County-Kansas City, Kansas, Unified Government Utility Aaa/AAA 10,201 System, Revenue Refunding, Series 2004, (AMBAC Insured), ------ 5.650% 09/01/17 30,804 ------ KENTUCKY - 0.0%+ 180 Kentucky State, Turnpike Authority, Toll Road Revenue, Series 1986A, Aa3/A+ 186 Prerefunded 07/01/06 @100, ------ 5.500% 07/01/07 MARYLAND - 0.7% 10,925 Maryland State, Transportation Department Revenue, Series 2002, Aa2/AA 12,297 5.500% 02/01/10 ------ MASSACHUSETTS - 2.7% 5,500 Massachusetts Bay Transportation Authority Sales Tax Revenue, Aa2/AAA 6,225 Refunding, Series 2004B, 5.250% 07/01/21 3,000 Massachusetts Bay, Transportation Authority, Revenue Refunding, Aaa/AAA 3,331 Series 1993A, (MBIA-IBC Insured), 5.500% 03/01/09 10,000 Massachusetts State, GO Refunding, Series 2004B, Aa2/AA- 11,219 5.250% 08/01/16 3,900 Massachusetts State, GO, Series 2003D, (AMBAC Insured), Aaa/AAA 4,523 5.500% 10/01/19 6,800 Massachusetts State, Industrial Financing Agency, Recovery Revenue, Aa3/BBB 6,931 (Ogden Haverhill Project) Series 1998A, 5.350% 12/01/10 1,000 Massachusetts State, Industrial Financing Agency, Revenue, (Babson Aaa/AAA 1,073 College Issue Project) Series 1998A, (MBIA Insured), 5.000% 10/01/18 2,920 Massachusetts State, Water Pollution Abatement Trust, Revenue Aaa/AAA 3,318 Refunding, Series 2004A, 5.250% 08/01/17 2,255 Massachusetts, Educational Financing Authority, Education Loan Aaa/AAA 2,256 Revenue Refunding, Series 1999A, (AMBAC Insured), 4.100% 07/01/05 2,430 Massachusetts, Educational Financing Authority, Educational Loan Aaa/AAA 2,460 Revenue Refunding, Series 1999A, AMT, (AMBAC Insured), 4.750% 07/01/11 2,045 Massachusetts, Educational Financing Authority, Educational Revenue, Aaa/AAA 2,068 Series 1998C, AMT, (MBIA Insured), 4.600% 12/01/08 1,825 Massachusetts, Educational Financing Authority, Educational Revenue, Aaa/AAA 1,847 Series 1998C, AMT, (MBIA Insured), 4.700% 12/01/09 295 University of Lowell Building Authority Massachussetts Guaranteed, Aaa/AAA 310 Series 1995A, Prerefunded 11/01/05 @ 102, (AMBAC Commonwealth GTD),
1,705 University of Lowell Building Authority, Massachussetts Guaranteed, Aaa/AAA 1,787 Series 1995A, Unrefunded Balance, (AMBAC Commonmwealth GTD), ------ 5.700% 11/01/09 47,348 ------ MICHIGAN - 1.0% 2,000 Detroit, Michigan, City School District, GO, (School Building and Aaa/AAA 2,431 Site Improvements) Series 2002A, (FGIC Q-SBLF Insured), 6.000% 05/01/19 1,000 Detroit, Michigan, Water Supply Systems Refunding Revenue, Aaa/AAA 1,106 Series 1995B, (MBIA Insured), 5.300% 07/01/09 1,205 Grand Rapids, Michigan, Building Authority, Revenue, Series 1998, Aa2/AA 1,332 5.000% 04/01/12 1,000 Grand Rapids, Michigan, Building Authority, Revenue, Series 1998, Aa2/AA 1,106 5.000% 04/01/13 1,415 Grand Rapids, Michigan, Building Authority, Revenue, Series 1998, Aa2/AA 1,565 5.000% 04/01/14 5,000 Michigan State, Hospital Finance Authority, Revenue, (Ascension Aaa/AAA 5,716 Health Credit Project) Series 1999A, Prerefunded 11/15/09 @ 101, 5.750% 11/15/18 1,850 South Lake, Michigan, Schools GO, Series 1997, Aaa/AAA 1,998 (FGIC Q-SBLF Insured), 5.250% 05/01/12 1,000 Van Dyke, Michigan, Public Schools Refunding GO, Series 1996, Aaa/AAA 1,045 (FGIC Q-SBLF Insured), 5.100% 05/01/09 1,000 Ypsilanti, Michigan, School District Refunding, Series 1996, Aaa/AAA 1,071 (FGIC-Q-SBLF Insured), Prerefunded 05/01/07 @ 100, ------ 5.400% 05/01/09 17,370 ------ MINNESOTA - 1.1% 4,600 Minneapolis and St. Paul, Minnesota, MetroAirport Commission Airport Aaa/AAA 4,820 Revenue, AMT, Series 1999B, (FGIC Insured), 5.000% 01/01/07 6,285 Minneapolis and St. Paul, Minnesota, MetroAirport Commission Airport Aaa/AAA 6,951 Revenue, Series 2001D, AMT, (FGIC Insured), 5.750% 01/01/13 2,150 Southern Minnesota Municipal Power Agency, Power Supply Systems Aaa/AAA 2,156 Revenue, Refunded Balance, Series 1992B, 5.800% 01/01/07 5,045 Southern Minnesota, Municipal Power Agency, Power Systems Revenue, Aaa/AAA 5,187 Series 2002-A, (AMBAC Insured), ------ 5.000% 01/01/06 19,114 ------ MISSISSIPPI - 0.6% 7,000 Mississippi State, GO Refunding, Series 2000, Aa3/AA 7,641 5.000% 12/01/08 1,000 Mississippi State, University Educational Building Corporation, Aaa/AAA 1,102 Revenue, Series 1998, (AMBAC Insured), 5.250% 08/01/12 1,000 Mississippi State, University Educational Building Corporation, Aaa/AAA 1,102 Revenue, Series 1998, (MBIA Insured), ------ 5.250% 08/01/13 9,845 ------ MISSOURI - 0.7% 1,590 Kansas City, Missouri, Water Revenue, Series 1994, Aa3/AA 1,595 5.900% 12/01/05 9,060 St. Louis, Missouri, Municipal Financial Corporation Lease Hold Aaa/AAA 10,146 Revenue, (Convention Center Project) Series 2003, (AMBAC Insured), ------ 5.250% 07/15/11 11,741 ------ MONTANA - 0.2% 4,000 Montana State, Board Inventory Payroll Tax Revenue, (Workers Aaa/AAA 4,337 Compensation Project) Series 1991, (MBIA Insured), ------ 6.750% 06/01/07
NEVADA - 2.1% 1,365 Clark County, Nevada, Passenger Facility Charge Revenue, Las Aaa/AAA 1,413 Vegas/MaCarran International Airport, Series 1995A, (MBIA Insured), 5.750% 07/01/08 8,895 Clark County, Nevada, School District, GO Refunding, Series 2001C, Aaa/AAA 10,018 (FGIC Insured), 5.375% 06/15/13 10,760 Clark County, Nevada, School District, GO, Series 2003, Aaa/AAA 11,690 5.000% 06/15/16 1,180 Henderson, Nevada, Series 1997A, (MBIA Insured), Aaa/AAA 1,269 5.100% 06/01/08 3,685 Las Vegas, Nevada, Redevelopment Agency Tax Increment Revenue, Aa3/BBB+ 3,878 (Sub Lein-Fremont Street Project) Series 2003A, 5.000% 06/15/13 6,570 Nevada State, GO, Series 1998A, Aa2/AA 7,060 5.250% 05/15/16 1,350 Washoe County, Nevada, GO Refunding, (Reno/Sparks Convention Aaa/AAA 1,385 Project) Series 1995, (MBIA Insured), ------ 5.375% 07/01/08 36,713 ------ NEW HAMPSHIRE - 0.6% 4,450 Manchester, New Hampshire, School Facilities Revenue Refunding, Aaa/AAA 5,181 Series 2004, (MBIA Insured), 5.500% 06/01/19 4,215 Manchester, New Hampshire, School Facilities Revenue Refunding, Aaa/AAA 4,900 Series 2004, (MBIA Insured), ------ 5.500% 06/01/18 10,081 ------ NEW JERSEY - 2.6% 5,500 New Jersey Economic Development Authority, (Cigarette Tax) Baa2/BBB 6,024 Series 2004, 5.500% 06/15/16 5,000 New Jersey State, GO Refunding, Series 2001H, Aa2/AA 5,629 5.250% 07/01/14 6,725 New Jersey State, Transit Corporation, Certificates of Participation, Aaa/AAA 7,701 (Federal Transit Administration Grants) Series 2002A, (AMBAC Insured), 5.500% 09/15/15 4,000 New Jersey State, Transportation Trust Fund Authority Revenue, Aaa/AAA 4,605 (Transportation System) Series 2004B, (MBIA Insured), 5.500% 12/15/15 3,840 New Jersey State, Transportation Trust Fund Authority, Transportation Aaa/AAA 3,974 System Revenue, Unrefunded Balance, Series 1995A, (MBIA Insured), 5.500% 06/15/11 10,000 New Jersey State, Transportation Trust Fund Authority, Transportation Aa3/AA- 10,824 Systems Revenue, Series 1997A, 5.000% 06/15/14 2,035 New Jersey State, Turnpike Authority, Revenue Refunding, Aaa/AAA 2,192 Series 1972G, 5.750% 01/01/09 4,000 New Jersey, Tobacco Settlement Financing Corporation, Revenue, Baa3/BBB 3,994 Series 2003, ------ 6.750% 06/01/39 44,943 ------ NEW MEXICO - 1.5% 3,000 Bernalillo County, New Mexico, Gross Receipts Tax Revenue Refunding, Aa3/AA 3,323 Series 1998, 5.250% 04/01/27 6,000 New Mexico State, Highway Community Tax Revenue, Series 2000A, Aa2/AA+ 6,908 6.000% 06/15/10 5,000 New Mexico State, Highway Community Tax Revenue, Series 2001-A, Aa2/AA+ 5,199 5.000% 06/15/06 465 New Mexico, Mortgage Finance Authority, Single Family Mortgage Aaa/AAA 485 Revenue, Series 1997C-2, AMT, (GNMA/FNMA/FHLMC COLL), 5.950% 07/01/17 925 New Mexico, Mortgage Finance Authority, Single Family Mortgage Aaa/AAA 963 Revenue, Series 1997E-2, AMT, (GNMA/FNMA/FHLMC COLL), 5.600% 07/01/17
2,545 New Mexico, Mortgage Finance Authority, Single Family Mortgage Aaa/AAA 2,647 Revenue, Series 2001B-2, AMT, (GNMA/FNMA/FHLMC COLL), 6.200% 09/01/32 2,025 New Mexico, Mortgage Finance Authority, Single Family Mortgage Aaa/AAA 2,188 Revenue, Series 2002B-2, AMT, (GNMA/FNMA/FHLMC COLL), 6.350% 03/01/33 1,695 New Mexico, Mortgage Finance Authority, Single Family Mortgage Aaa/AAA 1,771 Revenue, Series 2002PG-A-2, (GNMA/FNMA/FHLMC COLL), 6.450% 03/01/33 2,000 Santa Fe, New Mexico, Gross Receipts Tax Revenue, Series 1997A, Aaa/AAA 2,164 (AMBAC Insured), ------ 5.000% 06/01/08 25,648 ------ NEW YORK - 4.8% 18,800 New York City, New York, Municipal Water Finance Authority, Water Aaa/AAA 19,958 and Sewer System Revenue, Prerefunded, Series 1996-B, (MBIA Insured), 5.750% 06/15/26 7,000 New York City, New York, Municipal Water Finance Authority, Water Aa2/AA 7,191 and Sewer System Revenue, Series 2000B, 5.125% 06/15/31 3,500 New York City, New York, Transitional Finance Authority Revenue, Aa2/AA+ 3,819 Future Tax Secured, Series 2004C, 5.250% 02/01/18 10,000 New York City, New York, Transitional Finance Authority, Revenue Aa2/AA+ 11,225 Refunding, Future Tax Secured, Series 2002A, 5.500% 11/01/26 5,000 New York State, Dormitory Authority, Revenue, (City University A3/AA- 5,206 Project) Series 1993B, 5.250% 07/01/06 5,850 New York State, Dormitory Authority, Revenue, (State Educational A3/AA- 6,492 Facilities Project) Series 1993A, 5.250% 05/15/15 4,510 New York State, Tollway Authority, Service Contract Revenue, (Local A3/AA- 5,063 Highway and Bridge Project) Series 2002, 5.500% 04/01/13 4,000 New York State, Urban Development Corporation, Correctional and A3/AA- 4,347 Youth Facility Services Revenue, Series 2002A, Mandatory Put 1/01/11 @ 100, 5.000% 01/01/17 3,500 New York, New York, GO, Series 1997, (MBIA Insured), Aaa/AAA 3,804 6.250% 04/15/07 1,700 New York, New York, GO, Series 1997L, (MBIA Insured), Aaa/AAA 1,848 8.000% 08/01/06 5,000 New York, Triborough Bridge and Tunnel Authority, New York Revenue, Aaa/AAA 5,833 Refunding, Series 2002, (MBIA Insured), 5.500% 11/15/18 8,000 Niagara County, New York, Individual Development Agency, Solid Waste Baa1/BBB 8,543 Disposal Revenue, Series 2001B, AMT, Mandatory Put 11/15/13 @ 100, ------ 5.550% 11/15/24 83,329 ------ NORTH CAROLINA - 1.9% 4,300 Cary, North Carolina, Water and Public Improvement, GO, Series 2001, Aaa/AAA 4,701 5.000% 03/01/13 3,000 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, Aaa/AAA 3,316 (MBIA Insured), 6.000% 07/01/24 2,000 Cumberland County, North Carolina, GO, Series 1998, (FGIC Insured), Aaa/AAA 2,161 5.000% 03/01/17 1,525 North Carolina, Housing Finance Agency, (Single-Family Program) Aa2/AA 1,572 Series 1997RR, AMT, (FHA Insured), 5.850% 09/01/28 4,000 North Carolina, Medical Care Commission, Health Care Facilities Aa3/AA- 4,187 Revenue, (Carolina Medicorp, Inc. Project) Series 1996, 5.125% 05/01/16 3,505 North Carolina, Medical Care Commission, Health Care Facilities Aa3/AA- 3,843 Revenue, (Novant Health, Inc. Project), Series 2003A, 5.000% 11/01/11
3,135 North Carolina, Medical Care Commission, Health Care Facilities Aa3/AA- 3,332 Revenue, (Pitt County Memorial Hospital Project) Series 1998A, 4.400% 12/01/08 3,000 North Carolina, Medical Care Commission, Hospital Revenue, (Pitt Aa3/AA- 3,163 County Memorial Hospital Project) Series 1998B, 5.000% 12/01/18 5,000 North Carolina, Medical Care Community Hospital Revenue, (Duke Aaa/AAA 5,058 University Hospital Project) Series 1996C, (MBIA-IBC Insured), 5.250% 06/01/26 1,200 Winston-Salem, North Carolina, Water and Sewer Systems Revenue Aa2/AAA 1,257 Refunding, Series 1997, ------ 4.600% 06/01/11 32,590 ------ OHIO - 3.3% 6,135 Lorain County, Ohio, Hospital Revenue Refunding, (Catholic A1/AA- 6,734 Healthcare Project) Series 2001A, 5.625% 10/01/14 3,000 Lorain County, Ohio, Hospital Revenue, (Catholic Healthcare A1/AA- 3,276 Partnerships Project) Series 2001A, 5.625% 10/01/15 3,000 Lorain County, Ohio, Hospital Revenue, (Catholic Healthcare A1/AA- 3,266 Partnerships Project) Series 2001A, 5.625% 10/01/16 6,060 Montgomery County, Ohio, Hospital Revenue, (Kettering Medical Center A3/BBB+ 6,735 Project) Series 1999, 6.500% 04/01/13 7,185 Ohio State, Building Authority, Refunding, (Adult Correction) Aaa/AAA 8,134 Series 2004C, (MBIA Insured), 5.250% 10/01/15 5,000 Ohio State, Common Schools, GO, Series 2001A, Aa1/AA+ 5,439 5.000% 06/15/12 8,150 Ohio State, Common Schools, GO, Series 2002B, Aa1/AA+ 8,578 4.000% 09/15/08 10,695 Ohio State, Highway Revenue, (Major New State Infrastructure) Aa3/AA 11,784 Series 2002, 5.000% 06/15/10 1,055 Ohio, Housing Finance Agency, Mortgage Revenue, (Residential Aaa/AAA 1,078 Project) Series 1998B-2, AMT, (GNMA COLL), 4.800% 09/01/07 2,500 Scioto County, Ohio, Marine Terminal Revenue Refunding, (Norfolk Baa1/BBB 2,593 Southern Corporation Project) Series 1998, ------ 5.300% 08/15/13 57,617 ------ OKLAHOMA - 0.3% 4,670 Oklahoma City, Oklahoma, Airport Trust Revenue, Series 2000B, AMT, Aaa/AAA 5,085 (FSA Insured), ------ 5.375% 07/01/11 OREGON - 0.7% 10,000 Oregon State, Department Administrative Services, Certificates of Aaa/AAA 11,188 Participation, Series 2002C, (MBIA Insured), 5.250% 11/01/10 295 Oregon State, GO, (Elderly and Disabled Housing Project) Aa3/AA- 306 Series 1996B, 5.700% 08/01/16 100 Oregon State, GO, (Elderly and Disabled Housing Project) Aa3/AA- 105 Series 1997A, 5.050% 08/01/11 10 Oregon State, Housing and Community Services, Department Mortgage Aa2/AA+ 11 Revenue, (Single Family Mortgage Project) Series 1996A, 5.500% 07/01/08 110 Oregon State, Housing and Community Services, Department Mortgage Aa2/AA+ 115 Revenue, (Single Family Mortgage Project) Series 1997H, 5.150% 07/01/09 25 Oregon State, Housing and Community Services, Department Mortgage Aa2/AA+ 26 Revenue, (Single Family Mortgage Project) Series 1998D, 4.600% 07/01/07
195 Oregon State, Housing and Community Services, Department Mortgage Aa2/AA+ 205 Revenue, (Single Family Mortgage Project) Series 2000H, (FHA/VA), ------ 5.550% 07/01/21 11,956 ------ PENNSYLVANIA - 4.0% 5,000 Allegheny County, Pennsylvania, Airport Revenue Refunding, Aaa/AAA 5,389 (Pittsburgh International Airport Project) Series 1997A-1, AMT, (MBIA Insured), 5.750% 01/01/08 1,055 Central Dauphin, Pennsylvania, School District, GO, Series 1998, Aaa/AAA 1,126 (FGIC Insured, State Aid Withholding), 5.000% 06/01/12 205 Central Duaphin, Pennsylvania, School District, GO, Prerefunded, Aaa/AAA 229 Series 1998AA, Escrowed to Maturity, (MBIA Insured), 5.000% 12/01/13 1,295 Central Duaphin, Pennsylvania, School District, GO, Unrefunded Aaa/AAA 1,400 Balance, Series 1998AA, (MBIA Insured), 5.000% 12/01/13 15,000 Delaware Valley, Pennsylvania, Regional Financing Authority, Local Aa3/AA- 16,776 Government Revenue, Series 2002, 5.500% 07/01/12 1,350 Ligonier Valley, Pennsylvania, School District, GO Refunding, Aaa/AAA 1,444 Series 1998, (FSA Insured), 5.000% 03/01/13 1,000 Pennsylvania State, GO, Series 1995, (AMBAC Insured), Aaa/AAA 1,040 5.000% 11/15/09 10,000 Pennsylvania State, GO, Series 2001, Aa2/AA 11,233 5.125% 01/15/16 9,180 Pennsylvania, Housing Finance Agency, Single-Family Mortgage Aa2/AA+ 9,474 Revenue, Series 1997A-61, AMT, 5.450% 10/01/21 905 Pennsylvania, Saucon Valley School District, GO, Series 1998, Aaa/AAA 974 (AMBAC Insured) 5.150% 10/15/13 835 Pennsylvania, Saucon Valley School District, GO, Series 1998, Aaa/AAA 907 (AMBAC Insured), Prerefunded 04/15/08 @ 100, 5.150% 10/15/13 880 Pennsylvania, Saucon Valley School District, GO, Series 1998, Aaa/AAA 957 (AMBAC Insured), Prerefunded 4/15/08 @ 100, 5.200% 10/15/14 950 Pennsylvania, Saucon Valley School District, Unrefunded Balance, Aaa/AAA 1,024 Series 1998, (AMBAC Insured), 5.200% 10/15/14 2,500 Philadelphia, Pennsylvania, Industrial Development Authority, IDR Baa2/AA- 2,529 Refunding, (Ashland Oil Inc. Project) Series 1993, 5.700% 06/01/05 780 Scranton, Pennsylvania, School District, GO, Series 1998, Aaa/AAA 837 (AMBAC Insured), 4.750% 04/01/08 235 Scranton, Pennsylvania, School District, GO, Unrefunded Balance, Aaa/AAA 252 Series 1998, (AMBAC Insured), 4.750% 04/01/08 595 Scranton, Pennsylvania, School District, GO, Unrefunded Balance, Aaa/AAA 641 Series 1998, (AMBAC Insured), 5.200% 04/01/11 1,895 Scranton, Pennsylvania, School District, GO, Unrefunded Balance, Aaa/AAA 2,059 Series 1998, (AMBAC Insured), Prerefunded 04/01/08 @ 100, 5.200% 04/01/11 1,175 Tunkhannock, Pennsylvania, Area School District, GO, Series 1998, Aaa/AAA 1,258 (AMBAC Insured), 5.100% 07/15/12 1,245 Tunkhannock, Pennsylvania, Area School District, GO, Series 1998, Aaa/AAA 1,335 (AMBAC Insured), 5.150% 07/15/14 1,845 Tyrone, Pennsylvania, Area School District, GO, Series 1998, Aaa/AAA 1,989 (MBIA Insured), 5.000% 09/15/13
5,900 Westmoreland County, Pennsylvania, Industrial Development Authority, Aa3/BBB 6,203 Revenue, (Valley Landfill Project) Series 1993, ------ Mandatory Put 05/01/09 @100, 5.100% 05/01/18 69,076 ------ PUERTO RICO - 0.8% 8,050 Puerto Rico Commonwealth, GO Refunding, (Public Improvement) NR/AAA 9,373 Series 2001A, (MBIA-IBC Insured), 5.500% 07/01/16 1,000 Puerto Rico, Electric Power Authority, Power Revenue Refunding, A3/A- 1,035 Series 1995Z, 5.250% 07/01/07 2,500 Puerto Rico, Public Finance Corporation, (Commmonwealth Baa2/BBB+ 2,791 Appropriation) Revenue Refunding, Series 2004A, (LOC-Government ------ Development Bank for Puerto Rico), 5.750% 08/01/27 13,199 ------ SOUTH CAROLINA - 0.7% 3,600 Cherokee County, South Carolina, School District Number 001, GO, Aa1/AA+ 3,793 Series 1997, (SCSDE), 5.000% 03/01/16 3,210 Greenville Hospital Systems of South Carolina, Hospital Facilities Aa3/AA 3,384 Revenue, Series 1996B, (GTY-AGMT), 5.500% 05/01/08 5,160 South Carolina, Piedmont Municipal Power Agency, Electric Revenue, Aaa/AAA 5,515 Series 1996B, (FGIC Insured), ------ 6.000% 01/01/07 12,692 ------ SOUTH DAKOTA - 0.1% 1,050 South Dakota State, Health and Educational Facilities Authority, Aaa/AAA 1,136 Revenue, (Rapid City Regional Hospital Project) Series 1976, ------ 7.750% 09/01/07 TENNESSEE - 2.8% 5,000 Knox County, Tennessee, GO Refunding, Series 2001, Aa2/AA 5,469 5.000% 04/01/09 5,000 Knox County, Tennessee, Health Educational and Housing Facilities Baa1/AA- 5,143 Board, Revenue, (University Health System Inc. Project) Series 1999, 5.625% 04/01/29 6,180 Memphis-Shelby County, Tennessee, Airport Authority, Special Baa2/BBB 6,764 Facilities and Project Revenue Refunding, (Federal Express Corporation Project) Series 1997, 5.350% 09/01/12 5,000 Memphis-Shelby County, Tennessee, Airport Authority, Special Baa2/BBB 5,333 Facilities Revenue Refunding, (Federal Express Corporation Project) Series 2001, 5.000% 09/01/09 1,595 Metropolitan Government Nashville & Davidson County, Tennesse, GO Aa2/AA 1,719 Refunding, Series 2001B, 5.250% 10/15/07 5,875 Metropolitan Government Nashville & Davidson County, Tennessee, GO Aa2/AA 6,333 Refunding, Series 2001A, 5.250% 10/15/07 1,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Aaa/AAA 1,125 Health and Educational Facilities Board, Improvement Revenue Refunding, (Meharry Medical College Project) Series 1996, (AMBAC Insured), 6.000% 12/01/08 6,450 Shelby County, Tennessee, GO Refunding, Series 1997B, Aa2/AA+ 7,112 5.500% 08/01/08 8,000 Shelby County, Tennessee, Health Educational and Housing Facilities Aa1/AA 8,382 Board, Revenue, (St. Jude's Children's Research Project) Series 1999, 5.375% 07/01/24 1,190 Tennessee State, Housing Development Agency, Revenue, Aa2/AA 1,258 Series 1998, AMT, ------ 4.950% 07/01/10 48,638 ------
TEXAS - 14.0% 2,175 Aldine, Texas, Independent School District, GO Refunding, Series Aaa/AAA 2,059 1997, (PSF-GTD Insured), 2.580%! 02/15/07 8,150 Austin, Texas, Independent School District, GO Refunding, Series Aaa/AAA 9,193 2004, (PSF-GTD Insured), 5.250% 08/01/15 1,500 Birdville, Texas, Independent School District, GO Refunding, Aaa/AAA 1,581 Series 1997B, (PSF-GTD Insured), 5.000% 02/15/07 5,195 Brazos, Texas, PCR, Revenue Refunding, (Texas Unversity Electric Baa2/BBB 5,707 Company Project) Series 2001, 5.750% 05/01/36 4,030 Colorado River, Texas, Municipal Water Revenue Refunding, Aaa/AAA 4,452 Series 2003, (AMBAC Insured), 5.000% 01/01/12 1,455 Coppell, Texas, Waterworks and Sewer System Revenue, Series 2001, Aaa/AAA 1,544 5.000% 09/01/09 7,300 Dallas, Texas, Waterworks & Sewer Systems, Revenue Refunding, Aa2/AA+ 7,842 Series 2001, 5.000% 10/01/16 1,565 Dallas-Fort Worth, Texas, Intenational Airport Revenue, (Improvement Aaa/AAA 1,689 JT) Series 2004B, (FSA Insured), 5.000% 11/01/14 5,000 Dallas-Fort Worth, Texas, International Airport Revenue, Series Aaa/AAA 5,483 2003A, (FSA Insured) 5.500% 11/01/17 1,485 Duncanville, Texas, Independent School District, GO Refunding, Aaa/AAA 1,628 Series 1993, (PSF-GTD Insured), 5.200% 02/15/09 2,190 Fort Worth, Texas, Higher Education Financial Corporation, Higher Aa3/AA- 2,310 Education Revenue, (Texas Christian University Project) Series 1997, 5.000% 03/15/17 1,050 Galena Park, Texas, Independent School District, GO, Series 1997, Aaa/AAA 1,094 (PSF-GTD), 5.000% 08/15/21 3,120 Garland, Texas, Certificates of Obligation, GO, Series 2000, Aa2/AA 3,431 5.500% 02/15/12 1,000 Harris County, Texas, Certificates of Obligation, GO, Series 1992, Aa1/AA+ 1,162 6.000% 12/15/10 1,055 Harris County, Texas, Criminal Justice Center, GO, Series 1996, Aa1/AA+ 1,112 5.400% 10/01/10 2,730 Harris County, Texas, GO, Series 1996, Aa1/AA+ 2,866 5.150% 10/01/07 1,000 Harris County, Texas, GO, Series 1996, Aa1/AA+ 1,054 5.375% 10/01/09 10,990 Harris County, Texas, GO, Series 2001, Aa1/AA+ 12,042 5.000% 10/01/12 5,000 Harris County, Texas, Health Facilities Development Authority, Aaa/AAA 5,429 Revenue, Series 1999A, (MBIA Insured), 5.375% 07/01/19 5,790 Harris County, Texas, Health Facility Development Corporation, Aaa/AAA 6,394 Revenue, Series 1999A, (MBIA Insured), 5.625% 07/01/11 5,000 Houston, Texas, Utility System Revenue Refunding, (Combination-First Aaa/AAA 5,399 Lien) Series 2004A, (FGIC Insured), 5.250% 05/15/24 7,000 Houston, Texas, Airport System Revenue, Sub-Lien, Series 1998B, AMT, Aaa/AAA 7,521 (FGIC Insured), 5.250% 07/01/12 6,755 Houston, Texas, Airport System Revenue, Sub-Lien, Series 2000A, AMT, Aaa/AAA 7,563 (FSA Insured), 6.000% 07/01/09 5,000 Houston, Texas, Airport Systems Revenue, Sub-Lien, Series 2002, Aaa/AAA 5,119 (FSA Insured), 5.000% 07/01/27 7,320 Houston, Texas, GO, Series 2001A, (FSA Insured), Aaa/AAA 8,207 5.500% 03/01/10
5,565 Houston, Texas, Water Systems Revenue, Series 1979, Aaa/AAA 6,461 6.400% 12/01/14 3,495 Jefferson County, Texas, Health Facilities Development Corporation, Aaa/AAA 3,682 Revenue, (Baptist Hospitals Project) Series 2001, (AMBAC Insured), 5.200% 08/15/21 1,000 Lewisville, Texas, Independent School District, GO, Series 1997, Aaa/AAA 1,141 (PSF-GTD), 6.750% 08/15/08 1,700 Midlothian, Texas, Independent School District, GO Refunding, Aaa/AAA 1,752 Series 1995, (PSF-GTD Insured), 5.200% 02/15/13 5,000 North Central Texas, Health Facilities Development Corporation, Aaa/AAA 5,811 Health Facilities Revenue, (Presbyterian Healthcare Residential Project) Series 1996B, (MBIA Insured), 5.500% 06/01/16 5,210 North Central Texas, Health Facilities Development Corporation, Aaa/AAA 5,515 Revenue Refunding, (Baylor Healthcare Systems Project) Series 1995, (AMBAC - TCRS Insured), 5.500% 05/15/13 1,245 Pasadena, Texas, Independent School District, GO, Series 1998, Aaa/AAA 1,280 (PSF-GTD), 5.000% 02/15/11 4,000 Plano, Texas, Independent School District, GO Refunding, Series Aaa/AAA 4,357 2001, (PSF-GTD Insured), 5.000% 02/15/09 2,110 Richardson, Texas, GO Refunding, Series 1998, Aa1/AA+ 2,238 5.250% 02/15/07 8,355 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Baa2/BBB- 9,288 Series 2002, 5.500% 10/01/11 5,000 San Antonio, Texas, Electric and Gas Revenue Refunding, Series 2002, Aa1/AA+ 5,482 5.000% 02/01/10 145 San Antonio, Texas, GO Refunding, (Prerefunded Forward-General Aa2/AA+ 160 Improvement) Series 2001, Escrowed to Maturity, 5.000% 08/01/10 7,855 San Antonio, Texas, GO Refunding, Series 2001, Unrefunded Aa2/AA+ 8,641 Balance, 5.000% 08/01/10 1,060 San Benito, Texas, Consolidated Independent School, GO Refunding, Aaa/AAA 1,102 Series 1996, (PSF-GTD Insured), 5.000% 08/01/07 3,805 Tarrant County, Texas, Health Facilities Development Corporation, Aaa/AAA 4,198 Health Systems Revenue, (Texas Health Resources Systems Project) Series 1997A, (MBIA Insured), 5.750% 02/15/10 5,000 Tarrant County, Texas, Health Facilities Development Corporation, Aaa/AAA 5,375 Health Systems Revenue, (Texas Health Resources Systems Project) Series 1997A, (MBIA Insured), 5.250% 02/15/17 10,910 Texas State, Water Development GO, Series 1997D, Aa1/AA 11,476 5.000% 08/01/19 5,000 Texas, Alliance Airport Authority Inc., Facilities Revenue, (Federal Baa2/BBB 5,233 Express Corporation Project) Series 1996, 6.375% 04/01/21 10,650 Texas, Guadalupe Blanco River Authority, Sewer and Solid Waste Aa3/AA- 11,012 Disposal Facility, Revenue, (E.I. duPont de Nemours and Company Project) Series 1999, AMT, 5.500% 05/01/29 5,750 Texas, Gulf Coast Waste Disposal Authority, Revenue Refunding, Baa2/BBB 6,075 Series 2002A, 6.100% 08/01/24 6,000 Texas, Red River Authority, PCR Refunding, Series 1991, Aaa/AAA 6,135 (AMBAC Insured), 5.200% 07/01/11 2,995 Texas, Sabine River Authority, PCR, (TXU Electric Company Project), Baa2/BBB 3,290 Series 2001B, 5.750% 05/01/30
2,000 Texas, Southwest Higher Education Authority Inc., Higher Education Aaa/AAA 2,101 Revenue Refunding, (Southern Methodist University Project) Series 1995, (FSA Insured), 5.125% 10/01/16 500 Texas, United Independent School District, GO, Series 1995, Aaa/AAA 526 (PSF-GTD Insured), 5.500% 08/15/08 7,600 Texas, University of Texas Revenue Refunding, Series 2003B, Aaa/AAA 8,542 5.250% 08/15/12 2,000 Texas, University of Texas Revenue, Series 2004B, Aaa/AAA 2,262 5.250% 08/15/16 4,500 Travis County, Texas, Health Facilities Development Corporation, Aaa/AAA 5,164 Revenue, (Ascension Health Credit Project) Series 1999A, (AMBAC Insured), Prerefunded 11/15/09 @ 101, 5.875% 11/15/24 1,900 West University Place, Texas, GO Refunding, Series 1998, Aaa/AAA 2,032 (MBIA Insured), ------- 5.100% 02/01/12 242,212 ------- UTAH - 2.0% 2,145 Cache County, Utah, School District, GO Refunding, Aaa/AAA 2,307 (Utah School Board Guaranty Program) Series 1997, (SCH BD GTY), 5.500% 06/15/07 1,000 Iron County, Utah, School District, GO, Series 1994, (MBIA Insured), Aaa/AAA 1,002 Prerefunded 01/15/05 @ 100, 6.000% 01/15/06 11,100 Tooele County, Utah, Hazardous Waste Treatment Revenue, (Union Baa2/BBB 11,499 Pacific Project) Series 1992, AMT, 5.700% 11/01/26 5,000 Utah State, Building Ownership Authority, Lease Revenue Refunding, Aaa/AAA 5,708 Series 1998, (FSA Insured), 5.500% 05/15/14 10,000 Utah State, GO Refunding, Series 2002B, Aaa/AAA 11,330 5.375% 07/01/11 2,500 Utah State, Student Loan Revenue, Series 1995N, AMT, (AMBAC Insured, Aaa/AAA 2,607 GTD STD LNS), ------- 5.900% 11/01/07 34,453 ------- VERMONT - 0.1% 1,000 Vermont, Municipal Bond Bank, Revenue, Series 1996-1, Aaa/AAA 1,080 (AMBAC Insured, GO of Bond Bank), ------- 5.700% 12/01/10 VIRGINIA - 0.1% 975 Chesterfield County, Virginia, Improvement GO Refunding, Aaa/AAA 982 Series 1991, ------- 6.250% 07/15/05 WASHINGTON - 4.5% 2,655 Chelan County, Washington, Public Utilities District No. 1, Hydro Aa2/AA 2,777 Conservative Systems Revenue, Series 1997A, AMT, Mandatory Put 07/01/07 @ 100, 4.850% 07/01/32 1,805 Clark County, Washington, School District Number 117 Camas, GO Aaa/AAA 1,998 Refunding, Series 1998, (AMBAC Insured), 5.000% 12/01/12 1,140 Jefferson County, Washington, School District No. 49, GO, Aaa/AAA 1,209 Series 1998, (FSA Insured), 5.000% 12/01/07 6,150 King and Snohomish Counties, Washington, GO Refunding, Series 1993, Aaa/AAA 6,930 (FGIC Insured), 5.600% 12/01/10 970 King County, Washington, GO Prerefunded Revenue, Series 2002 Aa1/AA+ 1,121 5.500% 12/01/13 1,000 King County, Washington, GO Refunding, Series 1998B, Aa1/AA+ 1,047 4.750% 01/01/17 3,000 King County, Washington, GO, Series 1997D, Aa1/AA+ 3,305 5.550% 12/01/08
1,000 King County, Washington, GO, Series 1997D, Aa1/AA+ 1,107 5.750% 12/01/11 1,000 Kitsap County, Washington, Sewer Revenue, Series 1996, Aaa/AAA 1,046 (MBIA Insured), Crossover Refunded 07/01/06 @ 100, 5.600% 07/01/08 2,500 Northwest Washington, Energy Northwest Washington Wind Project A3/A- 2,629 Revenue, Series 2001B, 6.000% 07/01/23 5,000 Port Seattle, Washington, Passenger Facility Charge Revenue, Aaa/AAA 5,425 Series 1998, AMT, (AMBAC Insured), 5.250% 12/01/09 170 Port Seattle, Washington, Prerefunded Revenue, Escrowed to Maturity, Aaa/AAA 173 Series 1996B, AMT, (FGIC Insured), 5.100% 09/01/05 200 Port Seattle, Washington, Prerefunded Revenue, Escrowed to Maturity, Aaa/AAA 221 Series 1996B, AMT, (FGIC Insured), 6.000% 09/01/08 3,580 Port Seattle, Washington, Revenue Unrefunded Balance, Series 1996B, Aaa/AAA 3,965 AMT, (FGIC Insured), 6.000% 09/01/08 10,365 Seattle, Washington, Municipal Light and Power Revenue Refunding, Aaa/AAA 11,560 Series 2001 5.250% 03/01/11 8,000 Snohomish County, Washington, School District Number 002 Everett, Aaa/AAA 9,100 GO, Series 1998A, (MBIA Insured), 5.500% 12/01/11 1,975 Spokane County, Washington, School District Number 354 Mead, GO, Aaa/AAA 2,170 Series 1998, (FGIC Insured), 5.000% 12/01/09 7,800 Spokane County, Washington, School District Number 354 Mead, GO, Aaa/AAA 8,826 Series 1998, (FGIC Insured), 5.500% 12/01/10 1,600 Spokane County, Washington, School District Number 354 Mead, GO, Aaa/AAA 1,795 Series 1998, (FGIC Insured), 5.250% 12/01/11 1,000 Vancouver, Washington, Water and Sewer Revenue, Series 1995, Aaa/AAA 1,016 (FGIC Insured), Prerefunded 06/01/05 @ 100, 5.850% 06/01/11 3,330 Washington State, GO, Series 1998C, Aa1/AA 3,708 5.500% 07/01/09 6,000 Washington State, Public Power Supply Systems Revenue Refunding, Aaa/AAA 6,433 (Nuclear Project Number 2) Series 1990-A, (FSA-CR Insured), 7.250% 07/01/06 1,150 Washington State, Public Power Supply Systems Revenue Refunding, Aaa/AA- 1,244 Series 1993A, ------ 5.800% 07/01/07 78,805 ------ WEST VIRGINIA - 0.8% 3,980 West Virginia State, Hospital Finance Authority, Hospital Revenue A2/AA 4,971 Refunding, (Charleston Area Medical Center Project) Series 1993A, 6.500% 09/01/23 1,000 West Virginia State, Hospital Finance Authority, Hospital Revenue Aaa/AAA 1,042 Refunding, (Charleston Area Medical Center Project) Series 1995A, (MBIA Insured), 5.750% 09/01/13 1,265 West Virginia State, Hospital Finance Authority, Revenue, A2/AA 1,410 (Charleston Medical Center Project), Series 2000, Prerefunded 09/01/10 @ 101, 6.750% 09/01/22 5,235 West Virginia State, Hospital Finance Authority, Revenue, A2/AA 6,278 (Charleston Medical Center Project), Unrefunded Balance, Series 2000, ------ Prerefunded 9/01/10 @ 101, 6.750% 09/01/22 13,701 ------ WISCONSIN - 2.0% 2,500 Milwaukee County, Wisconsin, GO, Series 2001A, Aa3/AA 2,736 5.000% 10/01/12
2,500 Milwaukee County, Wisconsin, GO, Series 2001A, Aa3/AA 2,722 5.000% 10/01/13 5,790 Milwaukee, Wisconsin, Metropolitan Sewer District, GO Refunding, Aa1/AA+ 6,148 Series 1997A, 5.125% 10/01/16 1,000 Winneconne, Wisconsin, Community School District, GO Refunding, Aaa/AAA 1,061 Series 1998, (FSA Insured), 4.900% 04/01/10 1,050 Winneconne, Wisconsin, Community School District, GO Refunding, Aaa/AAA 1,124 Series 1998, (FSA Insured), 5.000% 04/01/11 1,100 Winneconne, Wisconsin, Community School District, GO Refunding, Aaa/AAA 1,177 Series 1998, (FSA Insured), 5.000% 04/01/12 4,745 Wisconsin State, GO, Series 1996A, Aa3/AA- 4,888 5.000% 05/01/16 7,615 Wisconsin State, Health and Educational Facilities Authority, Aa3/BBB+ 7,708 Revenue, (Aurora Health Care Inc. Project) Series 1999A, 5.600% 02/15/29 5,000 Wisconsin, Badger TOB Asset Securitization Corporation, Asset Backed Baa3/BBB 4,965 Revenue, Series 2002, 6.000% 06/01/17 2,735 Wisconsin, Housing and Economic Development Authority, Revenue, Aa2/AA 2,881 Series 1997G, --------- 5.350% 03/01/12 35,410 --------- WYOMING - 0.4% 2,535 Natrona County, Wyoming, Hospital Revenue Refunding, (Wyoming Aaa/AAA 2,619 Medical Center Project) Series 1998, (AMBAC Insured), 5.250% 09/15/06 3,785 Wyoming, Community Development Authority, Multi-Family Mortgage Aa2/A+ 3,813 Revenue, (Aspen Court Apartments Project) Series 1999A, (Bank One --------- Arizona N.A. LOC), Mandatory Put 12/01/08 @ 100, 4.750% 12/01/30 6,432 --------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $1,574,541) 1,651,267 ---------
SHARES (000) ------ AFFILIATED INVESTMENT COMPANIES - 3.6% 63,000 Nations Tax-Exempt Reserves, Capital Class# 63,000 ---------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $63,000) 63,000 ---------- TOTAL INVESTMENTS (Cost $1,637,541*) 99.0% 1,714,267 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 1.0% 16,770 ---------- NET ASSETS 100.0% $1,731,037 ==========
- ---------- 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. * Cost for federal income tax purposes is $1,637,541. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 77,294 568 76,726
! 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 sub-advised by Banc of America Capital Management, LLC. ABBREVIATIONS: AMBAC Ambac Assurance Corporation AMBAC-TCRS Ambac Assurance Corporation-Transferable Custodial Receipts AMT Alternative Minimum Tax FGIC Financial Guaranty Insurance Company FGIC Q-SBLF Financial Guaranty Insurance Company-School Board Loan Fund FHLMC COLL Federal Home Loan Mortgage Corporation collateral FHA Federal Housing Authority FNMA Federal National Mortgage Association FSA Financial Security Assurance Inc. FSA-CR Financial Security Assurance-Custodial Receipts GO General Obligations 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 MBIA Insurance Corporation MBIA-IBC MBIA Insurance Corporation-Insured Bond Certificate NR Not Rated PCR Pollution Control Revenue PSF-GTD Permanent School Fund Guarantee RAD Radian Asset Assurance Inc. SCSDE South Carolina School District Enhancement SCH BD GTY School Bond Guarantee NATIONS FUNDS NATIONS MUNICIPAL INCOME FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 98.0% ALABAMA - 3.2% $2,130 Birmingham, Alabama, GO Refunding, Series 2003, (AMBAC Insured), Aaa/AAA $ 2,363 5.250% 06/01/17 5,000 Huntsville, Alabama, Health Care Authority, Revenue, Series 2001A, A2/AA 5,247 5.750% 06/01/31 2,790 Jefferson County, Alabama, School Revenue, Series 2004-A, 2,954 5.250% 01/01/19 570 Jefferson County, Alabama, Sewer Revenue Refunding, Series 1997A, Aaa/AAA 607 Unrefunded Balance, (FGIC Insured), 5.625% 02/01/22 1,020 Jefferson County, Alabama, Sewer Revenue, Series 1997A, Aaa/AAA 1,092 (FGIC Insured), 5.625% 02/01/18 1,000 McIntosh, Alabama, Industrial Development Board, Environmental A2/A 1,020 Improvement Revenue, Series 1998C, 5.375% 06/01/28 6,750 Phoenix County, Alabama, Industrial Development Board, Environmental Baa2/BBB 6,669 Import Revenue Refunding, (Mead Coated Board Project) Series 1998B, ------- (GTY-AGMT), 5.250% 04/01/28 19,952 ------- ALASKA - 3.5% 1,250 Alaska State, International Airport Revenue, Series 2002B, Aaa/AAA 1,413 (AMBAC Insured), 5.500% 10/01/11 1,000 Anchorage, Alaska, Electric Utilities Revenue Refunding, Senior Aaa/AAA 1,232 Lien, Series 1993, (MBIA Insured), 8.000% 12/01/09 7,000 Anchorage, Alaska, Electric Utilities Revenue, Senior Lien, Series Aaa/AAA 7,215 1996B, (MBIA Insured), 5.500% 02/01/26 15,000 North Slope Borough, Alaska, Capital Appreciation GO, Series 2000B, Aaa/AAA 11,810 (MBIA Insured), ------- 3.750%! 06/30/11 21,670 ------- ARIZONA - 0.7% 1,000 Arizona, University Medical Center Corporation, Hospital Revenue A3/BBB+ 1,093 Refunding, Series 2004, (GO of University), 5.250% 07/01/13 5,000 Tucson and Pima County, Arizona, Industrial Development Authority, Aaa/AAA 3,302 Single-Family Mortgage Revenue, Series 1983A, ------- 4.270%! 12/01/14 4,395 ------- ARKANSAS - 0.2% 1,300 Arkansas State, Development Finance Authority, Revolving Loan Fund, Aa1/AA 1,376 Wastewater Systems Revenue, Series 1996A, ------- Prerefunded 06/01/06 @ 101, 5.700% 12/01/12 CALIFORNIA - 4.2% 5,000 ABAG Finance Authority for Non-Profit Corporations, California, Baa3/BBB- 5,438 Multi-Family Revenue Refunding, Series 2000A, AMT, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.400% 08/15/30
2,000 ABAG Finance Authority for Non-Profit Corporations, California, Baa3/BBB- 2,179 Multi-Family Revenue Refunding, Series 2000B, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.250% 08/15/30 2,500 California State, Department of Water Resources, A3/BBB+ 2,681 Power Supply Revenue, Series 2002A, 5.125% 05/01/18 1,000 California State, Department of Water Resources, Aaa/AAA 1,105 Power Supply Revenue, Series 2002A, (AMBAC Insured), 5.375% 05/01/18 1,000 California State, GO, Series 1983, Aa2/A 1,017 9.000% 04/01/05 3,300 California State, GO, Series 1990, A3/BBB 3,392 7.000% 08/01/05 7,000 Clovis, California, Unified School District, GO, Aaa/AAA 3,348 (Capital Appreciation-Election 2004) Series 2004A, (FGIC Insured), 4.850%! 08/01/20 8,350 Clovis, California, Unified School District, GO, Series 2004-A, Aaa/AAA 4,223 (FGIC Insured), 4.790%! 08/01/19 2,500 San Francisco, California, Bay Area Rapid Transit District, Aaa/AAA 3,040 Sales Tax Revenue Refunding, Series 1990, (AMBAC Insured), ------ 6.750% 07/01/11 26,423 ------ COLORADO - 0.7% 1,350 Colorado, Health Facilities Authority, Revenue, Catholic Health Aa2/AA 1,465 Initiatives, Series 2002A, 5.000% 03/01/11 2,500 Douglas County, Colorado, Sales and Use Tax Revenue, Series 1996, Aaa/AAA 2,634 (MBIA Insured), ------ 5.500% 10/15/11 4,099 ------ CONNECTICUT - 0.9% 5,000 Connecticut State, Health and Educational Facilities Authority, Aa1/AA 5,552 Revenue, (Eastern Connecticut Health Network Project) Series 2000A, ------ 6.000% 07/01/25 DISTRICT OF COLUMBIA - 3.0% 3,985 District of Columbia, College & University Revenue Refunding, Aaa/AAA 4,280 (Howard University Project) Series 1996, (MBIA, GO of University Insured), 5.750% 10/01/17 4,200 District of Columbia, Health and Hospital Revenue Refunding, Aaa/AAA 4,560 (Association of American Medical Colleges Project) Series 1997A, (AMBAC Insured), 5.375% 02/15/17 9,000 District of Columbia, Hospital Revenue Refunding, (Medlantic Aaa/AAA 9,796 Healthcare Group Project) Series 1997A, (MBIA Insured), ------ Prerefunded 08/15/07 @ 102, 5.375% 08/15/15 18,636 ------ FLORIDA - 3.3% 1,735 Florida State, Board of Education, Capital Outlay GO, Unrefunded Aa2/AA+ 2,332 Balance, Series 1985, 9.125% 06/01/14 4,425 Florida State, Transportation Department, GO, Series 2002, Aa2/AA+ 4,666 5.000% 07/01/23 3,450 Highlands County, Florida, Health Facilities Authority Revenue, A3/A 3,588 (Hospital Adventist Health System), Series 2003D, 5.375% 11/15/35 2,000 Orange County, Florida, Tourist Development Tax Revenue Refunding, Aaa/AAA 2,027 Series 1998A, (AMBAC Insured), 4.750% 10/01/24 5,000 Orange County, Florida, Tourist Development Tax Revenue, Series Aaa/AAA 5,460 2000, (AMBAC Insured), 5.250% 10/01/17
2,000 Reedy Creek, Florida, Improvement District Utilities Revenue Aaa/AAA 2,268 Refunding, Series 2004-2, (MBIA Insured), ------ 5.250% 10/01/14 20,341 ------ GEORGIA - 4.9% 5,000 Atlanta, Georgia, Airport Facilities Revenue Refunding, Series Aaa/AAA 5,698 2000A, (FGIC Insured), Prerefunded 01/01/10 @ 101, 5.600% 01/01/30 2,500 Chatham County, Georgia Hospital Authority, (Hospital A3/A- 2,612 Improvement-Memorial Health University) Series 2004A, 5.500% 01/01/34 3,000 Chatham County, Georgia, Hospital Medical Authority, Revenue, A3/A- 3,270 (Memorial Health Medical Center Project) Series 2001A, 6.125% 01/01/24 1,000 DeKalb County, Georgia, School District, GO, Series 1993A, Aa2/AA 1,152 6.250% 07/01/09 1,435 Gainesville & Hall County, Georgia, Hospital Authority, Revenue Aa2/A- 1,545 Anticipation Certificates, (Northeast Georgia Health System Income Project) Series 2001, 5.000% 05/15/11 1,610 Gainesville & Hall County, Georgia, Hospital Authority, Revenue Aa2/A- 1,717 Anticipation Certificates, (Northeast Georgia Health System Income Project) Series 2001, 5.000% 05/15/12 1,560 Gainesville & Hall County, Georgia, Hospital Authority, Revenue Aa2/A- 1,646 Anticipation Certificates, (Northeast Georgia Health System Income Project) Series 2001, 5.000% 05/15/13 3,000 Georgia State, GO, Series 1992B, Aaa/AAA 3,529 6.250% 03/01/11 440 Georgia State, Housing and Finance Authority, Single-Family Mortgage Aa2/AAA 458 Revenue, Series 1999B-2, AMT, 6.100% 06/01/31 3,750 Georgia State, Municipal Electric Authority, Power Revenue, Aaa/AAA 4,007 Series 2002A, (FSA Insured), 5.000% 01/01/18 2,000 Metropolitan Atlanta, Rapid Transit Authority of Georgia, Aaa/AAA 2,426 Revenue Refunding, Series 1992P, (AMBAC Insured), 6.250% 07/01/20 2,000 Monroe County, Georgia, Development Authority, PCR, A3/A 2,352 (Oglethorpe Power Corporation Project) Series 1992A, ------ 6.800% 01/01/11 30,412 ------ HAWAII - 0.2% 1,180 Honolulu City and County, Hawaii, GO Refunding, Series1993B, Aa2/AA- 1,480 8.000% 10/01/10 ------ ILLINOIS - 11.8% 3,000 Chicago, Illinois, Metropolitan Water Reclamation District GO, Aaa/AA+ 3,427 Series 1993, 5.500% 12/01/12 3,385 Chicago, Illinois, Metropolitan Water Reclamation District, Capital Aaa/AA+ 3,607 Improvement GO, Series 1991, 6.900% 01/01/07 3,000 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Aaa/AAA 3,036 Second Lien, Series 1993C, (MBIA Insured), 5.000% 01/01/18 7,000 Chicago, Illinois, O'Hare International Airport Revenue Refunding, Aaa/AAA 7,694 Second Lien, Series 1999, AMT, (AMBAC Insured), 5.500% 01/01/10 2,640 Chicago, Illinois, O'Hare International Airport Revenue Refunding, A1/A+ 2,655 Senior Lien, Series 1993A, 5.000% 01/01/16 4,800 Chicago, Illinois, Water Revenue, Senior Lien, Series 2000, Aaa/AAA 5,489 (AMBAC Insured), 5.750% 11/01/10
5,000 Cook County, Illinois, GO, Series 1997A, (MBIA Insured), Aaa/AAA 5,425 5.625% 11/15/22 2,000 Cook County, Illinois, GO, Series 2004, (AMBAC Insured), 2,194 5.250% 11/15/21 1,750 Cook County, Illinois, High School District No. 209 Provisional Aaa/AAA 1,665 Township, GO, Series 2004, (FSA Insured), 4.000%! 12/01/15 2,565 Du Page County, Illinois, GO, Series 1993, Aaa/AAA 2,997 5.600% 01/01/21 1,750 Du Page County, Illinois, School District No. 41 Glen Ellyn, GO, Aaa/NR 1,927 Series 2004, (FSA Insured), 5.000% 02/01/17 1,515 Glendale Heights, Illinois, Hospital Revenue Refunding, Aaa/AAA 1,848 (Glendale Heights Project) Series 1985B, 7.100% 12/01/15 3,000 Illinois State, GO, Series 2004A, Aa3/AA 3,064 5.000% 03/01/34 3,000 Illinois State, Metropolitan Pier and Exposition Authority, Aaa/AAA 3,171 Dedicated Tax Revenue Refunding, (McCormick Place Expansion Project) Series 2002B, (MBIA Insured), 5.000% 06/15/21 1,000 Illinois, Development Finance Authority, PCR Refunding, Aaa/AAA 1,027 (Commonwealth Edison Company Project) Series 1994D, (AMBAC Insured), 6.750% 03/01/15 4,500 Illinois, Educational Facilities Authority, Student Housing Baa2/AA- 5,066 Advancement Funding Revenue, (University Center Project) Series 2002, 6.625% 05/01/17 8,750 Illinois, Metropolitan Pier & Exposition Authority, Dedicated State Aaa/AAA 6,220 Tax Revenue, Series 1993, (FGIC Insured), 4.120%! 06/15/13 11,640 Illinois, Metropolitan Pier & Exposition Authority, Dedicated State Aaa/AAA 8,274 Tax Revenue, Unrefunded Balance, Series 1993A, (FGIC Insured), 4.120%! 06/15/13 3,165 Kane & DE Kalb Counties, Illinois Community Unit School District Aaa/AAA 1,474 Number 302, GO, (FGIC Insured), 4.870%! 02/01/21 1,535 McHenry County, Illinois, Community Unit School District Number Aaa/AAA 1,670 200, GO, Series 1996A, (FSA Insured), 5.750% 01/01/13 5,000 Will County, Illinois, Student Housing Revenue, (Joliet Junior NR/NR 2,311 College Project) Series 2002A, ------ 6.750% 09/01/33 (a) 74,241 ------ INDIANA - 2.5% 1,000 Hamilton/Southeastern Indiana, North Delaware School Building Aaa/AAA 1,058 Corporation, First Mortgage Revenue, Series 1996, (AMBAC Insured State Aid Withholding), 5.000% 07/15/07 1,000 Hamilton/Southeastern Indiana, North Delaware School Building Aaa/AAA 1,070 Corporation, First Mortgage Revenue, Series 1996, (AMBAC Insured, State Aid Withholding), 5.100% 07/15/09 3,395 Indiana, Health Facilities Financing Authority, Hospital Revenue, Aaa/AAA 3,615 (Charity Obligation Group Project) Series 1997D, Prerefunded 11/01/07 @ 100, 5.000% 11/01/26 2,000 Indiana, Health Facilities Financing Authority, Hospital Revenue, A1/AA- 2,090 (Clarian Health Partners, Inc. Project) Series 1996A, 5.500% 02/15/16 2,000 Indiana, Ivy Tech State College, Revenue, Series 1997E, Aaa/AAA 2,156 (AMBAC Insured), 5.125% 07/01/12 1,000 Indianapolis, Indiana, Airport Authority Revenue, (Special Baa2/BBB 1,056 Facilities-Federal Express Corporation Project) Refunding, (GTY AGMT-Federal Express Corp), 5.100% 01/15/17
2,260 Indianapolis, Indiana, Marion County Public Library, GO, Aa2/AA+ 2,335 Series 2002A, 4.700% 07/01/19 2,000 St. Joseph County, Indiana, Educational Facilities Revenue, Aaa/AAA 2,098 (University of Notre Dame - Du Lac Project) Series 1996, ------ 5.500% 03/01/26 15,478 ------ IOWA - 0.5% 2,750 Iowa, Student Loan Liquidity Corporation, Student Loan Revenue Aaa/AAA 2,913 Refunding, Series 1998J, AMT, (AMBAC Insured), ------ 4.800% 06/01/09 MARYLAND - 0.5% 3,000 Maryland State, Economic Development Corporation, Student Housing Baa3/AA- 3,115 Revenue, (Salisbury Collegiate Housing Project) Series 1999A, ------ 6.000% 06/01/30 MASSACHUSETTS - 1.6% 2,000 Massachusetts State, GO Refunding, Series 2004A, Aa2/AA- 2,246 5.250% 08/01/22 3,650 Massachusetts State, House Room 227, GO, Series 2004A, Aa2/AA- 4,103 5.250% 08/01/20 3,000 Massachusetts State, Water Resources Authority, General Revenue, Aaa/AAA 3,377 Series 1993C, (AMBAC Insured), ------ 5.250% 12/01/15 9,726 ------ MICHIGAN - 3.1% 1,000 Cornell Township, Michigan, Economic Development Corporation, Baa2/BBB 1,071 Revenue Refunding, (Meadwestavco-Escanaba Project) Series 2002, 5.875% 05/01/18 1,000 Detroit, Michigan, GO Refunding, Series 1995B, Baa1/A- 1,021 6.375% 04/01/07 3,000 Michigan State, Comprehensive Transportation Revenue Refunding, Aaa/AAA 3,161 Series 1996A, (MBIA Insured), 5.250% 08/01/13 5,435 Michigan State, Environmental Protection Program, GO, Series 1992, Aa1/AA+ 6,353 6.250% 11/01/12 1,000 Michigan, Municipal Board Authority Revenue, Series 2001, Aaa/AAA 1,098 5.250% 10/01/19 6,310 University of Michigan, Hospital Revenue Refunding, Series 2002, Aa2/AA 6,739 5.250% 12/01/20 ------ 19,443 ------ MINNESOTA - 0.8% 1,950 Elk River, Minnesota, Independent School District Number 728, GO, Aaa/AAA 2,110 Series 2004A, (FGIC SD Cred Prog), 5.000% 02/01/19 1,250 Minneapolis and St. Paul, Minnesota, Housing and Redevelopment Baa1/BBB+ 1,294 Authority Health Care Systems, (Health Partners Obligation Group Project), 5.250% 12/01/16 1,650 Minneapolis and St. Paul, Minnesota, Housing and Redevelopment Baa1/BBB+ 1,791 Authority Health Care Systems, (Health Partners Obligation Group ------ Project), 6.000% 12/01/17 5,195 ------ MISSISSIPPI - 0.5% 2,470 Lowndes County, Mississippi, Solid Waste Disposal PCR Refunding, Baa2/BBB 2,973 (Weyerhaeuser Company Project) Series 1992A, ------ 6.800% 04/01/22 MISSOURI - 2.9% 1,000 Independence, Missouri, School District, GO, Series 1991, A3/AA 1,164 6.250% 03/01/11
1,450 Jefferson City, Missouri, School District, GO, Series 1991A, Aa2/AA+ 1,685 6.700% 03/01/11 3,425 Missouri State, Environmental Improvement and Energy Resource A1/AA 3,654 Authority, PCR Refunding, (Associated Electrical Cooperation Thomas Hill Project) Series 1996, 5.500% 12/01/10 2,000 Missouri State, Environmental Improvement and Energy Resource A1/AA 2,134 Authority, PCR Refunding, (Associated Electrical Cooperation Thomas Hill Project) Series 1996, 5.500% 12/01/11 2,000 Missouri State, Health and Educational Facilities Authority, Aa1/AA- 2,173 Revenue, (SSM Health Care Corporation Project) Series 2002A, 5.000% 06/01/11 2,500 Missouri State, Health and Educational Facilities Authority, Aa1/AA- 2,750 Revenue, (SSM Health Care Project) Series 2002A, 5.250% 06/01/12 35 Missouri State, Housing Development Commission, Mortgage Revenue, Aaa/AAA 35 (Single Family Homeowner Loan Project) Series 1995A, AMT, (GNMA/FHA/VA COLL), 6.100% 09/01/14 2,500 Sikeston, Missouri, Electrical Revenue Refunding, Series 1992, Aaa/AAA 2,719 (MBIA Insured), 6.100% 06/01/07 1,400 St. Louis, Missouri, Industrial Development Authority, PCR A1/A+ 1,739 Refunding, (Anheuser Busch Company Project) Series 1991, ------ 6.650% 05/01/16 18,053 ------ NEBRASKA - 0.3% 1,600 Omaha, Nebraska, Public Power District, Electric Revenue, Aa2/AA+ 1,923 Series 1992B, ------ 6.200% 02/01/17 NEVADA - 0.8% 1,960 Clark County, Nevada, Passenger Facility Revenue Refunding, Aaa/AAA 2,148 Series 2002, (MBIA Insured), 5.250% 07/01/11 2,625 Nevada State, GO, Series 1995A, Aa2/AA 2,718 5.500% 11/01/17 ------ 4,866 ------ NEW JERSEY - 0.1% 765 New Jersey State, Highway Authority, Garden State Parkway Generated Aaa/AAA 848 Revenue, Series 1971, ------ 6.500% 01/01/11 NEW MEXICO - 0.1% 715 New Mexico, Mortgage Finance Authority, Single-Family Mortgage Aaa/AAA 738 Revenue, Series 1997C-2, AMT, (GNMA/FNMA/FHLMC COLL), ------ 6.050% 07/01/28 NEW YORK - 3.4% 3,520 New York City, New York, Municipal Water Finance Authority, Aa2/AA 3,741 Water and Sewer Revenue, Series 2001D, 5.250% 06/15/25 1,250 New York City, New York, Municipal Water Finance Authority, Aa2/AA 1,367 Water and Sewer Systems Revenue, Series 1997B, 5.750% 06/15/29 5,000 New York City, New York, Transitional Finance Authority, Aa2/AA+ 5,613 Revenue Refunding, Future Tax Secured, Series 2002A, 5.500% 11/01/26 1,000 New York State, Dormitory Authority, Revenue, Series 2002B, A3/AA- 1,101 Mandatory Put 05/15/12 @ 100, 5.250% 11/15/23
5,000 New York State, Urban Development Corporation, Correctional and A3/AA- 5,434 Youth Facility Services Revenue, Series 2002A, Mandatory Put 1/01/11 @ 100, 5.000% 01/01/17 3,950 Sales Tax Asset Receivables Corporation, New York, Series 2004A, Aaa/AAA 4,079 (AMBAC Insured), ------- 5.000% 10/15/32 21,335 ------ NORTH CAROLINA - 0.8% 2,425 Haywood County, North Carolina, Industrial Facilities and Pollution Baa2/AA- 2,613 Control Financing Authority, Solid Waste Disposal Revenue Refunding, (Champion International Corporation Project) Series 1999, AMT, 6.400% 11/01/24 2,500 New Hanover County, North Carolina, GO, Series 2001, Aa2/AA 2,679 5.000% 06/01/20 ------ 5,292 ------ OHIO - 1.0% 5,250 Dayton, Ohio, Special Facilities Revenue, (Air Freight Corporation A1/BB+ 5,942 Project) Series 1988D, AMT, ------ 6.200% 10/01/09 PENNSYLVANIA - 0.8% 1,570 Philadelphia, Pennsylvania, Hospital and Higher Education Facilities A3/AA 1,587 Authority, Hospital Revenue, (Frankford Hospital Project) Series 1993A, 6.000% 06/01/14 3,125 Philadelphia, Pennsylvania, Hospital and Higher Education Facilities A3/AA 3,167 Authority, Hospital Revenue, (Frankford Hospital Project) Series ------ 1993A, 6.000% 06/01/23 4,754 ------ PUERTO RICO - 0.7% 1,700 Puerto Rico, Electric Power Authority Power Revenue, Series 2002, Aaa/AAA 1,897 (MBIA Insured), 5.000% 07/01/20 2,000 Puerto Rico, Public Buildings Authority Revenue Guaranteed Baa1/A- 2,216 (Government Facilities) Series 2002F, (Commonwealth GTD), ------ 5.250% 07/01/20 4,113 ------ SOUTH CAROLINA - 5.0% 3,750 Berkeley County, South Carolina, School District, GO, Series 2000, Aa1/AA+ 3,969 (SCSDE), 5.000% 04/01/21 4,000 Georgetown County, South Carolina, Environmental Improvement Revenue Baa2/BBB 4,510 Refunding, (International Paper Company Project) Series 2000A, (GTY-AGMT), 5.950% 03/15/14 2,000 Greenville, South Carolina, Hospital Facilities Revenue Refunding, Aa3/AA 2,083 Series 1996B, (GTY-AGMT), 5.250% 05/01/17 5,000 Greenville, South Carolina, Hospital Facilities Revenue, Aaa/AAA 5,471 Series 2001, 5.500% 05/01/26 5,000 Piedmont, South Carolina, Municipal Power Agency, Electric Revenue Aaa/AAA 1,906 Refunding, (Capital Appreciation) Sub Series 2004A-2, (FGIC Insured), 5.210%! 01/01/24 1,000 Richland County, South Carolina, Environmental Improvement Revenue, Baa2/BBB 1,065 (International Paper) Series 2003, 6.100% 04/01/23 690 South Carolina State, Housing Finance and Development Authority, Aaa/AA 705 Revenue, (Homeownership Mortgage Purchase Project) Series 1994A, 6.375% 07/01/16 3,095 South Carolina State, Public Service Authority, Revenue Refunding, Aaa/AAA 3,318 Series 2002D, (FSA Insured), 5.000% 01/01/18 1,000 South Carolina State, State School Facilities, GO, Series 2001A, Aaa/AAA 975 3.500% 01/01/16
4,500 South Carolina, Tobacco Settlement Management Revenue, Series 2001B, Baa2/BBB 4,375 6.375% 05/15/28 1,000 South Carolina, Transportation Infrastructure Bank, Revenue Aaa/AAA 1,135 Refunding, Series 2004B, (AMBAC Insured), 5.250% 10/01/15 2,000 York County, South Carolina, Exempt Facilities IDR, (Hoechst Ba3/B 1,858 Celanese Corporation Project) Series 1994, AMT, ------ 5.700% 01/01/24 31,370 ------ SOUTH DAKOTA - 0.8% 4,720 South Dakota, Housing Development Authority, Revenue, Series 2002E, Aa1/AAA 4,815 5.550% 05/01/31 ------ TENNESSEE - 3.7% 5,500 Knox County, Tennessee, Health Educational and Housing Facilities Baa1/AA- 5,774 Board Revenue, (University Health Systems Inc. Project) Series 1999, 5.750% 04/01/19 3,000 Maury County, Tennessee, Industrial Development Board, Multi-Model A3/BBB 3,076 PCR Refunding, (General Motors Corporation - Saturn Corporation Project) Series 1994, 6.500% 09/01/24 4,000 Maury County, Tennessee, Industrial Development Board, Solid Waste Baa1/BBB+ 4,266 Disposal Revenue, (Occidental Petroleum Corporation) Series 2001A, AMT, (GTY-AGMT), 6.250% 08/01/18 5,000 Memphis-Shelby County, Tennessee, Airport Authority, Special Baa2/BBB 5,333 Facilities Revenue Refunding, (Federal Express Corporation Project) Series 2001, 5.000% 09/01/09 2,500 Metropolitan Government, Nashville and Davidson County, Tennessee, Aaa/AAA 2,807 Water and Sewer Systems Revenue Refunding, Series 1993, (FGIC Insured), 5.200% 01/01/13 2,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Aaa/AAA 2,130 Water and Sewer Systems Revenue Refunding, Series 1996, ------ (MBIA Insured), 5.500% 01/01/14 23,386 ------ TEXAS - 10.6% 2,470 Beaumont, Texas, Independent School District, GO, Series 1996, Aaa/AAA 2,547 (PSF-GTD), 5.000% 02/15/17 2,070 Bexar, Texas, Metropolitan Water District, Waterworks Revenue, Aaa/AAA 2,136 Unrefunded Balance, Series 1995, (MBIA Insured), 6.000% 05/01/15 1,900 Brazos River Authority, Texas, PCR, Revenue Refunding, Baa2/BBB 2,202 (TXU Energy Company LLC Project), Series 2003A, 6.750% 04/01/38 1,150 Brazosport, Texas, Independent School District, Series 2003C, Aaa/AAA 1,240 5.000% 02/15/16 1,750 Dallas County, Texas, GO, Series 1996, Aaa/AAA 1,858 5.250% 08/15/16 3,210 Dallas-Fort Worth, Texas, International Airport Revenue, Series Aaa/AAA 3,541 2003A, (AMBAC Insured), 5.500% 11/01/15 2,220 Grand Prairie, Texas, Independent School District, GO Refunding, Aaa/AAA 2,321 Series 2002, (PSF-GTD), 5.000% 02/15/22 8,000 Harris County, Texas, GO, Refunding, Series 2002, (MBIA Insured), Aaa/AAA 4,050 4.770%! 08/15/19 3,335 Harris County, Texas, Health Facilities Development Authority, Aaa/AAA 3,753 Hospital Revenue, (Memorial Herman Hospital Systems Project) Series 1998, (FSA Insured), 5.500% 06/01/11 1,000 Harris County, Texas, Health Facilities Development Corporation, Aa1/AA- 1,101 Hospital Revenue, (St. Lukes's Episcopal Project) Series 2001A, 5.500% 02/15/11
5,000 Houston, Texas, Airport Systems Revenue, Series 1998B, AMT, Aaa/AAA 5,162 (FGIC Insured), 5.000% 07/01/16 1,900 Leander, Texas, Independent School District, GO Refunding, Series Aaa/AAA 2,109 2002, (PSF-GTD Insured), 5.375% 08/15/17 4,155 McKinney, Texas, Independent School District, GO, Series 2001, Aaa/AAA 4,484 (PSF-GTD), 5.125% 02/15/17 2,000 North Central Texas, Health Facilities Development Corporation, Aaa/AAA 2,311 Hospital Revenue, (Presbyterian Healthcare Project) Series 1991A, 6.625% 06/01/11 5,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Baa2/BBB- 5,479 Series 2002, 6.000% 10/01/16 2,000 San Antonio, Texas, Electric and Gas Systems, GO Refunding, Aa1/AA+ 2,165 Series 1998A, 5.250% 02/01/16 1,000 San Marcos, Texas, Electric Utility System Revenue Refunding, Aaa/AAA 1,102 Series 2002, (FSA Insured), 5.250% 11/01/16 2,000 Texas City, Texas, IDR Refunding, (Atlantic Richfield Company Aa1/AA+ 2,629 Project) Series 1990, 7.375% 10/01/20 1,000 Texas State, GO, Series 1996, Aa1/AA 1,047 5.500% 08/01/15 7,000 Texas State, Turnpike Authority Central Texas Turnpike System Aaa/AAA 4,174 Revenue, (Capital Appreciation-First Tier) Series 2002A, (AMBAC Insured), 4.550%! 08/15/16 1,500 Texas State, University System Financing Refunding Revenue, Aaa/AAA 1,599 Series 2002, (FSA Insured), 5.000% 03/15/17 3,000 Texas, Port of Bay City Authority, Matagorda County Revenue, Ba3/B 2,992 (Hoechst Celanese Corporation Project), Series 1996, AMT, 6.500% 05/01/26 2,500 University of Texas, Permanent University Fund Finance Department, Aaa/AAA 2,608 Revenue Refunding, Series 2004B, 5.000% 07/01/26 3,490 Williamson County, Texas, GO Refunding, Series 2004, (MBIA Insured), Aaa/AAA 3,799 5.000% 02/15/16 ------ 66,409 ------ UTAH - 1.8% 2,000 Emery County, Utah, PCR Refunding, (Pacificorp Project) Series Aaa/AAA 2,025 1993A, (AMBAC Insured), 5.650% 11/01/23 4,000 Murray City, Utah, Hospital Revenue Refunding, (IHC Health Services, Aaa/AAA 4,123 Inc. Project) Series 1996, (MBIA Insured), 5.000% 05/15/22 1,650 Provo, Utah, Electric Revenue, Series 1980, Aaa/AAA 2,235 10.125% 04/01/15 2,500 Utah, County Hospital Revenue, Series 1997, (MBIA Insured), Aaa/AAA 2,566 5.250% 08/15/26 ------ 10,949 ------ VERMONT - 0.3% 1,985 Vermont, Municipal Bond Bank, Revenue, Series 1996-1, (AMBAC Insured), Aaa/AAA 2,146 5.750% 12/01/15 ------ VIRGINIA - 1.2% 1,325 Augusta County, Virginia, Industrial Development Authority Revenue, A1/NR 1,450 (Augusta Health Care, Inc.) Series 2003, 5.250% 09/01/20 1,000 Danville, Virginia, Industrial Development Authority, Hospital Aaa/AAA 1,106 Revenue, (Danville Regional Medical Center), Series 1998, 5.200% 10/01/18
2,830 Fairfax County, Virginia, Water and Sewer Authority, Water Revenue, Aaa/AAA 3,088 Unrefunded Balance, Series 1992, 6.000% 04/01/22 1,505 Virginia State, Port Authority, Port Facility Revenue, Series 2003, Aaa/AAA 1,647 (MBIA Insured), ------ 5.250% 07/01/16 7,291 ------ WASHINGTON - 11.4% 7,500 Chelan County, Washington, Development Corporation, PCR Refunding, A2/A- 7,738 (Alcoa, Inc. Project) Series 1995, 5.850% 12/01/31 2,310 Chelan County, Washington, Public Utilities District Division III Aa2/AA 2,401 Revenue, Series 1997A, AMT, Mandatory Put 07/01/20 @ 100, 5.600% 07/01/32 1,035 King County, Washington, Library Systems, GO, Series 1992, Aa3/AA- 1,111 Prerefunded 12/01/06 @ 100, 6.150% 12/01/10 1,000 King County, Washington, School District No. 403 Renton, GO, Aa3/AA- 1,074 Series 1998, 5.250% 06/01/15 3,000 King County, Washington, Sewer GO Refunding, Series 1996C, Aa1/AA+ 3,195 5.250% 01/01/17 2,405 Port Seattle, Washington, GO, Series 2000, AMT, Aa1/AA+ 2,706 6.000% 12/01/11 3,885 Port Seattle, Washington, Revenue, Series 1999B, (FGIC Insured), Aaa/AAA 4,285 5.500% 09/01/13 4,365 Seattle, Washington, GO, Series 1996A, Aa1/AAA 4,520 5.625% 01/15/10 1,795 Seattle, Washington, GO, Series 1997, Aa1/AAA 1,909 5.300% 08/01/17 1,525 Skagit County, Washington, School District Number 320, GO Refunding, Aaa/AAA 1,612 Series 1996, (FGIC Insured), 5.500% 12/01/12 2,000 Tacoma, Washington, Electric System Revenue, Series 1997, Aaa/AAA 2,134 (AMBAC Insured), 5.250% 01/01/15 12,700 Washington State, GO, Series 1990A, Aa1/AA 15,500 6.750% 02/01/15 10,000 Washington State, GO, Series 2000A, Aa1/AA 11,054 5.625% 07/01/21 2,955 Washington State, GO, Unrefunded Balance, Series 1992-93A, Aa1/AA 3,363 5.750% 10/01/12 5,000 Washington State, Public Power Supply Systems Revenue Refunding, Aaa/AAA 5,340 Series 1996A, (MBIA Insured), 5.750% 07/01/11 1,120 Washington State, Public Power Supply Systems Revenue, (Nuclear Project Number 1) Series 1990B, Prerefunded 07/01/04 @ 100, Aaa/AA- 1,266 7.250% 07/01/09 1,505 Washington State, Public Power Supply Systems Revenue, (Nuclear Project Number 2) Series 1990A, Prerefunded 07/01/04 @ 100, Aaa/AA- 1,617 7.250% 07/01/06 ------ 70,825 ------ WEST VIRGINIA - 0.7% 1,450 Jefferson County, West Virginia, Board of Education, GO, Series Aaa/AAA 1,609 1989, (FGIC Insured), 6.850% 07/01/07 1,560 Jefferson County, West Virginia, Board of Education, GO, Series Aaa/AAA 1,789 1989, (FGIC Insured), 6.850% 07/01/08 1,000 West Virginia University, State University Systems Revenue, Aaa/AAA 1,053 (Marshall University Library Project) Series 1996, (AMBAC Insured), ------ 5.750% 04/01/16 4,451 ------
WISCONSIN - 3.8% 3,000 Menomonee Falls, Wisconsin, Sewer Systems Revenue, Series 1996A, Aaa/AAA 3,229 (AMBAC Insured), 5.650% 05/01/16 1,000 Wisconsin State, GO Refunding, Series 1993-1, Aa3/AA- 1,117 5.800% 11/01/08 3,000 Wisconsin State, GO Refunding, Series 2004-2, (MBIA Insured), Aaa/AAA 3,273 5.000% 05/01/16 4,000 Wisconsin State, Health and Educational Facilities Authority, Aa3/BBB+ 4,049 Revenue, (Aurora Health Care Inc. Project) Series 1999A, 5.600% 02/15/29 3,500 Wisconsin State, Health and Educational Facilities Authority, Aa3/BBB+ 3,622 Revenue, (Aurora Health Care Project) Series 1999B, 5.500% 02/15/15 5,500 Wisconsin State, Health and Educational Facilities Authority, Aa3/BBB+ 5,655 Revenue, (Aurora Health Care Project) Series 1999B, 5.625% 02/15/20 2,450 Wisconsin, Badger TOB Asset Securitization Corporation, Asset Backed Revenue, Seies 2002, Baa3/BBB 2,556 5.750% 06/01/12 ------- 23,501 ------- WYOMING - 1.7% 10,000 Wyoming, Student Loan Corporation, Revenue Refunding, Series 1999A, Aa1/AA 10,707 ------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $566,287) 611,134 -------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 1.2% 7,338 Nations Tax-Exempt Reserves, Capital Class# 7,338 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $7,338) 7,338 -------- TOTAL INVESTMENTS (Cost $573,625*) 99.2% 618,472 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.8% 5,197 -------- NET ASSETS 100.0% $623,669 ========
- ---------- 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. * Cost for federal income tax purposes is $573,625. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 47,431 2,584 44,847
! 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 sub-advised by Banc of America Capital Management, LLC. (a) Restricted security. ABBREVIATIONS: AMBAC - American Municipal Bond Assurance Corporation AMT - Alternative Minimum Tax FGIC - Financial Guaranty Insurance Company FGIC SDCP - Financial Guaranty Insurance Company School District Credit Program FHA - Federal Housing Authority FHLMC COLL - Federal Home Loan Mortgage Corporation Collateral FNMA - Federal National Mortgage Association FSA - Financial Security Assurance GNMA - Government National Mortgage Association GO - General Obligation GTD - Guarantee GTY-AGMT - Guarantee Agreement IDR - Industrial Development Revenue MBIA - Municipal Bond Insurance Association PCR - Pollution Control Revenue PSF-GTD - Permanent School Fund Guarantee SCSDE - South Carolina School District Enhancement VA COLL - Veterans Administration Collateral NATIONS FUNDS NATIONS CALIFORNIA INTERMEDIATE MUNCIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ CORPORATE BONDS AND NOTES - 1.6% $2,000 Municipal Mortgage and Equity Tax Exempt Bond, Subsidiary LLC, $2,017 (Perpetual Preferred) Series 2004A-2, 144A, ------ 4.900% 06/30/49 TOTAL CORPORATE BONDS AND NOTES (Cost $2,000) 2,017 ------ MUNICIPAL BONDS AND NOTES - 94.4% CALIFORNIA - 90.8% 1,250 ABAG Finance Authority for Non-Profit Corporations, California, Aa3/BBB+ 1,302 Certificates of Participation Refunding, (Episcopal Homes Foundation Project) Series 1998, 5.000% 07/01/07 2,000 ABAG Finance Authority for Non-Profit Corporations, California, Baa3/BBB- 2,179 Multi-Family Revenue Refunding, Series 2000B, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.250% 08/15/30 300 ABAG Finance Authority for Non-Profit Corporations, Certificates of A1/BB+ 312 Participation Refunding, (American Baptist Homes Project) Series 1998A, 5.500% 10/07/07 1,000 Alameda County, California, Certificates of Participation Refunding, Aaa/AAA 1,131 Series 2001A, (MBIA Insured), 5.375% 12/01/10 1,000 Alameda County, California, Certificates of Participation Refunding, Aaa/AAA 1,068 Series 2001A, (MBIA Insured), 4.250% 12/01/11 1,000 Anaheim, California, Public Financing Authority, Lease Revenue, Aaa/AAA 1,170 (Public Improvements Project) Series 1997C, (FSA Insured), 6.000% 09/01/11 1,325 California State University, Revenue, (Systemwide Project) Series Aaa/AAA 1,481 2003A, (FGIC Insured), 5.000% 11/01/12 2,000 California State, Department of Water Resources, Power Supply A3/BBB+ 2,326 Revenue, Series 2002A, 6.000% 05/01/13 20 California State, Department of Water Resources, Water Systems Aa2/AA 22 Revenue, (Center Valley Project) Series 1998T, 5.500% 12/01/08 1,870 California State, Economic Recovery, GO, Series 2004A, Aaa/AAA 2,124 5.250% 07/01/14 2,000 California State, University Revenue, Systemwide, Series 2004A, Aaa/AAA 2,234 (FSA Insured), 5.000% 11/01/13 1,000 California, Health Facilities Finance Authority, Revenue, A3/AA 1,095 (Cedars-Sinai Medical Center Project) Series 1999A, 6.125% 12/01/19 2,000 California, Health Facilities Finance Authority, Revenue, (Kaiser Aaa/AAA 2,206 Permanente Project) Series 1998A, (FSA Insured), 5.250% 06/01/12 1,040 California, Infrastructure & Economic Development Bank, Revenue, Aa2/A 1,126 (American Center for Wine, Food, Arts Project) Series 1999, (ACA Insured), 5.250% 12/01/08 3,135 California, Kings River Conservation District Revenue, Certificates Baa1/AA- 3,408 Participation, (Peaking Project) Series 2004, 5.000% 05/01/14
3,285 California, Santa Magarita/Dana Point Authority, Revenue, Aaa/AAA 3,588 Series1997A, of (AMBAC Insured), 5.500% 08/01/11 1,465 California, Statewide Communities Development Authority, Baa1/BBB+ 1,580 Certificates of Participation, (Catholic Healthcare West Project) Series 1999, 6.000% 07/01/09 1,000 Chaffey, California, High School District, GO, Series 2000B, (FGIC Aaa/AAA 1,125 Insured), 5.500% 08/01/14 1,330 Compton, California, Community College District, GO, Series 2004A, Aaa/AAA 1,489 (MBIA Insured), 5.250% 07/01/17 2,025 Culver City, California, Redevelopment Finance Authority, Revenue Aaa/AAA 2,302 Refunding, Series 1993, (AMBAC Insured), 5.500% 11/01/14 2,320 Desert Sands, California, Unified School District, Certificates of Aaa/AAA 2,371 Participation, (Measure O Project) Series 2003F, (MBIA Insured), 4.000% 03/01/06 1,000 East Bay Municipal Utilities District, California, Wastewater Aaa/AAA 1,091 Systems, Revenue Refunding, Series 2003F, (AMBAC Insured), 5.000% 04/01/15 1,800 Florin, California, Resource Conservative District, Certificates of Aaa/AAA 2,159 Participation, (Elk Grove Water Works Project) Series 1999A, Prerefunded 09/01/09 @ 102, 6.650% 09/01/19 1,750 Foothill/Eastern Corridor Agency, California, Toll Road Revenue, Aaa/AAA 2,119 Series 1995A, Prerefunded 01/01/10 @ 102, 2.986% due 01/01/13, 7.150% beginning 01/01/05 1,000 Golden State Tobacco Securitization Corporations, Tobacco Settlement Baa2/BBB 978 Revenue, Series 2003A-1, 3.400% 06/01/08 1,455 Indian Wells, California, Redevelopment Agency, Tax Allocation, Aaa/AAA 1,604 (Consolidated Whitewater Project), Series 2003A, (AMBAC Insured), 5.000% 09/01/14 5,000 Inland Empire, California, Solid Waste Authority Revenue, (Landfill Aaa/AAA 5,651 Improvement Financing Project) Series 1996B, AMT, (FSA Insured), 6.250% 08/01/11 1,290 Los Altos, California, School District, GO, Series 2001B, Aa2/AA 1,409 5.000% 08/01/14 500 Los Angeles County, California, Community College District, Series Aaa/AAA 558 2003B, (FGIC Insured), 5.000% 08/01/12 1,000 Los Angeles County, California, Lease Revenue Refunding, Aaa/AAA 1,181 Series 2002B, (AMBAC Insured), 6.000% 12/01/12 1,000 Los Angeles County, California, Sanitation District Financing Aaa/AAA 1,113 Authority Revenue, (Capital Project) Series 2003A, (FSA Insured), 5.000% 10/01/10 1,500 Los Angeles, California, GO, Series 1999B, Aa2/AA 1,695 Prerefunded 09/01/09 @101, 5.250% 09/01/14 1,500 Los Angeles, California, Municipal Improvement Corporate Lease Aaa/AAA 1,694 Revenue, (Special Tax-Police Emergency Projects), Series 2002G, (FGIC Insured), 5.250% 09/01/13 3,500 Los Angeles, California, Unified School District, GO, Series 2000D, Aa3/AA- 3,939 5.500% 07/01/09 1,300 Los Angeles, California, Water & Power Revenue, Series 2001A, Aaa/AAA 1,431 (MBIA-IBC Insured), 5.250% 07/01/15 1,105 Los Gatos, California, JT High School District, GO, Series 2002C, Aaa/AAA 1,245 (FSA Insured), 5.375% 06/01/13 1,230 Lucia Mar Unified School District, California, GO, (Election 2004) Aaa/AAA 1,361 Series A, (FGIC Insured), 5.250% 08/01/20 3,000 Metropolitan Water District of Southern California, Waterworks Aa2/AA 3,335 Revenue
Refunding, Series 2004B, 5.000% 07/01/14 1,185 Modesto, California, Certificates of Participation, Series 2001A, Aaa/AAA 1,296 (FSA Insured), 5.250% 07/01/18 3,000 Oakland, California, J.T. Powers Financing Authority, Lease Revenue Aaa/AAA 3,434 Refunding, (Oakland Convention Centers) Series 2001, (AMBAC Insured), 5.500% 10/01/11 3,700 Oakland, California, Redevelopment Agency Tax Allocation Refunding, Aaa/AAA 4,188 (Center District Redevelopment Project) Series 1992, (AMBAC Insured), 5.500% 02/01/14 1,500 Oakland, California, Redevelopment Agency Tax Allocation, (Center Aaa/AAA 1,718 District Redevelopment Project) Series 2003, (FGIC Insured), 5.500% 09/01/12 1,000 Orange County, California, Public Financing Authority, Waste Aaa/AAA 1,059 Management Systems Revenue Refunding, Series 1997, (AMBAC Insured), 5.500% 12/01/06 1,000 Orange County, California, Public Financing Authority, Waste Aaa/AAA 1,131 Management Systems Revenue Refunding, Series 1997, (AMBAC Insured), 5.750% 12/01/10 2,000 Orange County, California, Redevelopement Agency, (Tax Allocation Aaa/AAA 2,200 Central District Redevelopment) Series 2003, (FGIC Insured), 5.000% 02/15/09 650 Orange County, California, Water District Revenue, Certificates of Aaa/AAA 724 Participation, Series 2003B, (MBIA Insured), 5.375% 08/15/17 1,000 Port Oakland, California, Revenue, Series 2000K, AMT, (FGIC Aaa/AAA 1,101 Insured), 5.500% 11/01/08 1,000 Redwood City, California, Redevelopment Agency Tax Allocation Aaa/AAA 1,128 Revenue, (Redevelopment Project Area No. 2) Series 2003A, (AMBAC Insured), 5.250% 07/15/13 1,000 Sacramento County, California, Sanitation District Financing Aa3/AA 1,096 Authority Revenue, Series 2000A, 5.000% 12/01/08 2,000 Sacramento, California, Cogeneration Authority, Revenue Refunding, Aaa/AAA 2,190 (Cogeneration Project) Series 1998, (MBIA Insured), 5.250% 07/01/09 1,615 Sacramento, California, Municipal Utility District Electric, Aaa/AAA 1,802 Revenue, Series 2003R, (MBIA Insured), 5.000% 08/15/12 1,000 San Diego County, California, Regional Transportation Sales Tax Aaa/AAA 1,049 Revenue, Series 1996A, (AMBAC Insured), 6.000% 04/01/06 3,440 San Francisco, California, Bay Area Rapid Transportation District, Aa3/AA- 3,796 Sales Tax Revenue, Series 1998, 5.500% 07/01/09 1,000 San Jose, California Financing Authority, Lease Revenue, Aaa/AAA 1,084 (Convention Center Project) Series 2001F, 5.000% 09/01/15 1,000 San Juan, California, Unified School District, GO, Series 2000, Aaa/AAA 1,107 (FGIC Insured), 5.000% 08/01/09 1,180 San Mateo County, California, Transit District, Series 1997A, Aaa/AAA 1,314 5.000% 06/01/13 1,800 San Ramon Valley, California, Unified School District, GO, (Election Aaa/AAA 2,020 2002) Series 2004, (FSA Insured), 5.250% 08/01/16 1,000 Santa Clara County, California, East Side Union High School Aaa/AAA 1,067 District, GO Refunding, Series 2003B, (MBIA Insured), 4.200% 02/01/11 2,000 Santa Clara County, California, Financing Authority, Revenue, A2/NR 2,020 Series 2003, 4.000% 08/01/05 3,000 Southern California Public Power Authority, Power Project Revenue, A2/A 3,623 Series 1989, 6.750% 07/01/13
965 State Center California Communty College District, GO, (Election Aaa/AAA 1,057 2002) Series A, (MBIA Insured), 5.250% 08/01/22 2,000 University of California, University & College Improvements, Aaa/AAA 2,218 Revenue, Series 2003A, 5.000% 05/15/10 2,055 Walnut, California, Energy Center Authority, Revenue, Series 2004A, Aaa/AAA 2,238 (AMBAC Insured), ------- 5.000% 01/01/16 113,862 ------- PUERTO RICO - 3.6% 1,000 Puerto Rico Commonwealth, GO, Series 2004A, Baa1/A- 1,085 5.250% 07/01/19 1,000 Puerto Rico, Commonwealth Public Improvement, GO Refunding, Aaa/AAA 1,080 Series 2003C, (MBIA Insured), Mandatory Put 07/01/08 @ 100, 5.000% 07/01/28 2,000 Puerto Rico, Electric Power Authority, Power Revenue, Series 1997AA, Aaa/AAA 2,341 (MBIA Insured), ------- 6.250% 07/01/10 4,506 ------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $114,161) 118,368 -------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 2.7% 3,353 Nations Tax-Exempt Reserves, Capital Class# 3,353 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $3,353) 3,353 -------- TOTAL INVESTMENTS (Cost $119,514*) 98.7% 123,738 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 1.3% 1,683 -------- NET ASSETS 100.0% $125,421 ========
- ---------- 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. * Cost for federal income tax purposes is $119,514. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 4,420 196 4,224
# Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. ABBREVIATIONS: ACA ACA Financial Guaranty Corporation AMBAC Ambac Assurance Corporation AMT Alternative Minimum Tax FGIC Financial Guaranty Insurance Company FSA Financial Security Assurance Inc. GO General Obligations GTY-AGMT Guarantee Agreement MBIA MBIA Insurance Corporation MBIA-IBC MBIA Insurance Corporation-Insured Bond Certificate NR Not Rated NATIONS FUNDS NATIONS CALIFORNIA MUNICIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ CORPORATE BONDS AND NOTES - 0.8% $2,000 Municipal Mortgage and Equity Tax Exempt Bond, Subsidiary LLC, $2,017 (Perpetual Preferred) Series 2004A-2, 144A, ------ 4.900% 06/30/49 TOTAL CORPORATE BONDS AND NOTES (Cost $2,000) 2,017 ------ MUNICIPAL BONDS AND NOTES - 97.3% CALIFORNIA - 90.6% 2,000 ABAG Finance Authority for Non-Profit Corporations, California, Baa3/BBB- 2,175 Multi-Family Revenue Refunding, Series 2000A, AMT, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.400% 08/15/30 2,000 ABAG Finance Authority for Non-Profit Corporations, California, Baa3/BBB- 2,179 Multi-Family Revenue Refunding, Series 2000B, (GTY-AGMT), Mandatory Put 8/15/08 @ 100, 6.250% 08/15/30 2,000 Anaheim, California, Unified School District, GO, Series 2002, Aaa/AAA 2,086 (FSA Insured), 5.000% 08/01/25 1,185 Bodega Bay, California, Fire Protection District, Certificates of A1/BB 1,247 Participation, (Fire Station Project) Series 1996, 6.450% 10/01/31 3,000 California State, Department of Water Resources, Water Systems Aa2/AA 3,206 Revenue, (Center Valley Project) Series 1997S, 5.000% 12/01/17 3,000 California State, GO A3/BBB 3,290 Refunding, Series 2000, 5.625% 05/01/26 1,675 California State, GO, Series 1991, A3/BBB 1,955 6.600% 02/01/10 1,000 California State, GO, Series 1993, A3/BBB 1,137 5.500% 04/01/13 20 California State, GO, Series 1995, Prerefunded 03/01/05 @ 101, Baa1/BBB 20 5.750% 03/01/09 10 California State, GO, Series 1995, Prerefunded 03/01/05 @ 101, Baa1/BBB 10 5.750% 03/01/09 65 California State, GO, Series 1995, Unrefunded Balance, A3/BBB 66 5.750% 03/01/09 2,600 California State, GO, Series 2000, (FGIC Insured), Aaa/AAA 2,740 5.250% 09/01/30 1,500 California State, Public Works Board Lease Revenue, (Department of Baa1/BBB- 1,666 Health - Colinga) Series 2004A, 5.500% 06/01/19 1,000 California, Educational Facilities Authority, Revenue, (Pooled Baa3/AA- 1,011 College and University Project) Series 1999B, 5.250% 04/01/24 2,500 California, Educational Facilities Authority, Revenue, Series 2003A, Aa1/AA+ 2,566 5.000% 10/01/33 3,500 California, Health Facilities Finance Authority, Revenue, A3/AA 3,831 (Cedars-Sinai Medical Center Project) Series 1999A, 6.125% 12/01/19 5,000 California, Health Facilities Financing Authority, Revenue Aaa/AAA 5,357 Refunding, Insured Health Facilities, (Mark Twain Project) Series 1996, (MBIA Insured), 6.000% 07/01/16
3,000 California, Health Facilities Financing Authority, Revenue, (Kaiser Aaa/AAA 3,153 Permanente Project) Series 1998A, (FSA Insured), 5.000% 06/01/24 1,000 California, Health Facilities Financing Authority, Revenue, (Kaiser A3/A 1,099 Permanente Project) Series 1998B, 5.250% 10/01/13 1,510 California, Housing Finance Agency, Multi-Unit Rental Housing Revenue, Aa3/A+ 1,512 Series 1992B-II, 6.700% 08/01/15 1,620 California, Housing Finance Agency, Home Mortgage Revenue, Aaa/AAA 1,662 Series 1994F-3, AMT, (MBIA/FHA/VA Insured), 6.100% 08/01/15 1,210 California, Housing Finance Agency, Home Mortgage Revenue, Aaa/AAA 1,265 Series 1997I, AMT, (MBIA Insured), 5.650% 08/01/17 1,005 California, Housing Finance Agency, Single-Family Mortgage Revenue, Aaa/AAA 1,026 Series 1997B-3, Class I, AMT, (FHA Insured), 5.400% 08/01/28 2,500 California, Infrastructure & Economic Development Bank, Revenue, Aa2/A 2,618 (Kaiser Hospital Assistant I-LLC Project) Series 2001A, 5.550% 08/01/31 2,000 California, Maritime Infrastructure Authority Airport Revenue, Aaa/AAA 2,057 San Diego Unified Port District Airport, Series 1995, (AMBAC Insured), 5.500% 11/01/05 1,000 California, Pollution Control Financing Authority, PCR, (Southern Baa2/BBB 1,002 California Edison Company Project) Series 1992B, AMT, 6.400% 12/01/24 6,000 California, Statewide Communities Development Authority, Apartment Baa2/BBB 6,264 Development Revenue Refunding, (Irvine Apartment Communities Project) Series 1998A-4, Mandatory Put 05/15/13 @ 100, 5.250% 05/15/25 1,835 California, Statewide Communities Development Authority, Aaa/AAA 2,030 Certificates of Participation, Series 1999, (FSA Insured), 5.500% 08/15/19 2,000 California, Statewide Communities Development Authority, Baa1/BBB+ 2,133 Multi-Family Revenue Refunding, (Archstone/Oakridge Housing Project) Series 1999E, Mandatory Put 06/01/08 @100, 5.300% 06/01/29 2,000 California, Statewide Communities Development Authority, Aa2/A 2,004 Multi-Family Revenue Refunding, (Quail Ridge Apartments Project) Series 2002E-1, 5.375% 07/01/32 2,500 California, Statewide Communities Development Authority, Revenue, A3/AA 2,528 Certificates of Participation, Series 1993, 5.400% 11/01/15 3,300 California, Statewide Communities Development Authority, Revenue, Aaa/AAA 3,555 Certificates of Participation, (John Muir/Mount Diablo Health Systems Project) Series1997, (MBIA Insured), 5.125% 08/15/17 1,500 Capistrano, California, Unified School District, Community NR/NR 1,525 Facilities District, Special Tax, Number 98-2-Ladera, 5.750% 09/01/29 1,615 Central Valley, California, Financing Authority, Cogeneration Aaa/AAA 1,762 Project Revenue Refunding, (Carson Ice-General Project) Series 1998, (MBIA Insured), 5.250% 07/01/12 1,710 Central Valley, California, Financing Authority, Cogeneration Aa3/BBB 1,767 Project Revenue, (Carson Ice Project) Series 1993, 6.000% 07/01/09 2,000 Chula Vista, California, IDR, (San Diego G&E-B RMK 06/02/04) A2/A- 2,126 Series 1996, AMT, 5.500% 12/01/21 1,920 Contra Costa, California, Water District, Water Revenue, Aaa/AAA 2,012 Series 2002L, (FSA Insured), 5.000% 10/01/24 2,000 Daly City, California, Housing Development Finance Agency, Mobile Aa2/A- 2,076 Home Park Revenue, (Francisan Acquisition Project) Series 2002A, 5.850% 12/15/32
300 Del Mar, California, Race Track Authority, Revenue Refunding, NR/NR 307 Series 1996, 6.000% 08/15/06 1,400 Del Mar, California, Race Track Authority, Revenue Refunding, NR/NR 1,485 Series 1996, 6.000% 08/15/08 1,000 Del Mar, California, Race Track Authority, Revenue Refunding, NR/NR 1,063 Series 1996, 6.200% 08/15/11 2,750 East Bay MUD, California, Water Systems Revenue, Series 2001, Aaa/AAA 2,841 (MBIA Insured), 5.000% 06/01/26 1,000 Eastern MUD, California, Water and Sewer Certificates of Aaa/AAA 1,205 Participation, Series 1991, (FGIC Insured), 6.750% 07/01/12 2,500 Elsinore Valley MUD, California, Certificates of Participation Aaa/AAA 2,931 Refunding, Series 1992A, (FGIC Insured), 6.000% 07/01/12 3,000 Escondido, California, JT Powers Financing Authority, Lease Revenue, Aaa/AAA 3,134 (California Center for the Arts Project) Series 1995, (AMBAC Insured), 6.000% 09/01/18 1,100 Foothill/De Anza Community College District, University Southern Aaa/AAA 1,187 California, California, Certificates of Participation Refunding, Series 2003, 5.000% 09/01/17 4,000 Foothill/Eastern Corridor Agency, California, Toll Road Revenue Baa3/BBB- 4,037 Refunding, Series 1999, 5.750% 01/15/40 2,000 Foothill/Eastern Corridor Agency, California, Toll Road Revenue Aaa/AAA 2,160 Refunding, Series 1999, (MBIA Insured), 5.125% 01/15/15 2,000 Foothill/Eastern Corridor Agency, California, Toll Road Revenue, Aaa/AAA 2,031 Sr. Lien, Series 1995, (MBIA-IBC Insured), 5.000% 01/01/35 2,000 Foothill/Eastern Corridor Agency, California, Toll Road Revenue, Aaa/AAA 2,316 Sr. Lien, Series 1995A, Prerefunded 01/01/10 @ 100, 6.000% 01/01/16 5,000 Fresno, California, Sewer Revenue, Series 1993A-1, (AMBAC Insured), Aaa/AAA 6,089 6.250% 09/01/14 2,575 Fresno, California, Unified School District Education Center, Aaa/AAA 2,833 Series 2004B, (MBIA Insured), 5.000% 02/01/19 1,000 Golden State Tobacco Securitization Corporations, Tobacco Settlement Baa3/BBB 1,001 Revenue, Series 2003A, 6.250% 06/01/33 2,000 Inland Empire, California, Solid Waste Authority Revenue, (Landfill Aaa/AAA 2,260 Improvement Financing Project) Series 1996B, AMT, (FSA Insured), 6.250% 08/01/11 1,995 Lafayette, California, GO, Series 2002, Aa1/AA 2,113 5.125% 07/15/25 1,270 Lancaster, California, Financing Authority, Tax Allocation Revenue, Aaa/AAA 1,416 (Redevelopment Projects 5 and 6) Series 2003, (MBIA Insured), 5.125% 02/01/17 3,050 Larkspur, California, School District GO, Series 2000A, Aa3/AA 3,284 5.250% 08/01/25 4,065 Lompoc, California, Unified School District, GO, (Election of 2002 Aaa/AAA 4,220 Project) Series 2003A, (FGIC Insured), 5.000% 08/01/27 3,000 Long Beach, California, Harbor Revenue, Series 2000A, AMT, Aa3/AA- 3,146 5.375% 05/15/24 3,000 Los Angeles County, California, Metropolitan Transportation Aaa/AAA 3,161 Authority, Sales Tax Revenue, Series 2000A, (FGIC Insured), 5.250% 07/01/30 2,500 Los Angeles County, California, Public Works Financing Authority, Aaa/AAA 2,733 Lease Revenue, (Multiple Capital Facilities Project VI) Series 2000A, (AMBAC Insured), 5.625% 05/01/26 650 Los Angeles County, California, Public Works Financing Authority, Aa3/AA 706
Revenue, (Regional Park and Open Space District A) Series 1997A, 5.500% 10/01/08 3,000 Los Angeles, California, Convention and Exhibition Center Authority, Aaa/AAA 3,475 Lease Revenue Refunding, Series 1993A, (MBIA-IBC Insured), 6.000% 08/15/10 3,000 Los Angeles, California, Department of Water and Power, Waterworks Aa3/AA 3,061 Revenue, Series 2001A, 5.125% 07/01/41 3,000 Los Angeles, California, Department of Water and Power, Waterworks Aaa/AAA 3,061 Revenue, Series 2001A, (FGIC-TCRS Insured), 5.125% 07/01/41 1,115 Manhattan Beach, California, Unified School District, Certificates Aaa/AAA 1,161 of Participation, Series 1995A, (MBIA Insured), Prerefunded 08/01/05 @ 102, 5.750% 08/01/20 985 Manteca, California, Financing Authority Sewer Revenue, Series Aaa/AAA 1,011 2003B, (MBIA Insured), 5.000% 12/01/33 3,635 Metropolitan Water District of Southern California, Waterworks Aa2/AA 4,306 Revenue Refunding, Series 1993A, 5.750% 07/01/21 2,865 Metropolitan Water District of Southern California, Waterworks Aa2/AA 3,308 Revenue, Series 1993A, 5.750% 07/01/21 490 Metropolitan Water District of Southern California, Waterworks Aa2/AA 535 Revenue, Series 1997A, 5.000% 07/01/26 815 Metropolitan Water District of Southern California, Waterworks Aa2/AA 889 Revenue, Series 1997A, Prerefunded 01/01/08 @101, 5.000% 07/01/26 2,000 Monterey County, California, Certificates of Participation, Series Aaa/AAA 2,036 2001, (MBIA Insured), 5.000% 08/01/32 2,500 Northridge Water District, Revenue, Certificates of Participation, Aaa/AAA 2,623 Series 1996, (AMBAC Insured), 5.250% 02/01/18 2,095 Oak Park, California, Unified School District, GO, Series 2000, Aaa/AAA 1,420 (FSA Insured), 4.250%! 05/01/14 1,000 Oceanside, California, Community Facilities District Special Tax, NR/NR 1,014 (No. 00-1 Ocean Ranch Corporation) Series 2004, 5.875% 09/01/34 3,000 Orange County, California, Airport Revenue Refunding, Series 1997, Aaa/AAA 3,244 AMT, (MBIA Insured), 5.500% 07/01/10 2,000 Pico Rivera, California, Water Authority, Revenue, (Water System Aaa/AAA 2,247 Project) Series 1999A, (MBIA Insured), 5.500% 05/01/29 5,270 Pleasanton-Suisun City, California, Home Financing Authority, Home Aaa/AAA 3,167 Mortgage Revenue, Municipal Multiplier, Series 1984A, (MBIA Insured), 4.430%! 10/01/16 1,500 Port Oakland, California, Port Revenue Refunding, Series 1997H, AMT, Aaa/AAA 1,612 (MBIA Insured), 5.500% 11/01/15 1,500 Sacramento, California, City Financing Authority, (City Hall and Aaa/AAA 1,531 Redevelopment Projects), Series 2002A, (FSA Insured), 5.000% 12/01/32 1,000 Sacramento, California, MUD, Electric Revenue Refunding, Series Aaa/AAA 1,093 2001P, (FSA Insured), 5.250% 08/15/20 2,220 Sacramento, California, MUD, Electric Revenue, Series 1997K, Aaa/AAA 2,490 (AMBAC Insured), 5.250% 07/01/24 2,000 Sacramento, California, MUD, Electric Revenue, Series 2001N, Aaa/AAA 2,054 (MBIA Insured), 5.000% 08/15/28 2,900 Sacramento, California, Power Authority Revenue, (Cogeneration Aa3/BBB 3,028 Project) Series 1995, 5.875% 07/01/15
2,000 San Diego County, California, Water Authority, Water Revenue Aa3/AA 2,153 Certificates of Participation, Series 1998A, 5.125% 05/01/16 1,000 San Diego, California, Community College District, GO, Series 2003A, Aaa/AAA 1,061 (FSA Insured), 5.000% 05/01/22 1,400 San Diego, California, Public Facilities Financing Authority, Sewer Aaa/AAA 1,433 Revenue, Series 1999B, (FGIC Insured), 5.000% 05/15/29 2,000 San Francisco Bay Area, California, Rapid Transportation District, Aaa/AAA 2,067 Sales Tax Revenue, Series 2001, (AMBAC Insured), 5.000% 07/01/26 2,250 San Francisco, California, City and County Airport Commission, Aaa/AAA 2,358 International Airport Revenue Refunding, Series 2001-27B, (FGIC Insured), 5.000% 05/01/21 3,000 San Francisco, California, City and County Airport Commission, Aaa/AAA 3,151 International Airport Revenue, Series 1996-2-10A, AMT, (MBIA Insured), 5.700% 05/01/26 2,000 San Francisco, California, City and County Airports Commission, Aaa/AAA 2,156 International Airport Revenue, Refunding, Series Issue 30, (XCLA Insured), 5.000% 05/01/17 1,750 San Joaquin County, California, Certificates of Participation, Aaa/AAA 2,010 (Capital Facilities Project) Series 1993, (MBIA Insured), 5.500% 11/15/13 1,455 San Joaquin Hills, California, Transportation Corridor Agency, Toll Aaa/AAA 1,604 Road Revenue, Sr. Lien, Series 1993, Escrowed to Maturity, 7.400% 01/01/07 1,405 San Jose, California, Redevelopment Agency Tax Allocation, (Merged Aaa/AAA 1,697 Area Redeveloped) Escrowed to Maturity, (MBIA Insured), 6.000% 08/01/15 2,790 San Jose, California, Redevelopment Agency Tax Allocation, (Merged Aaa/AAA 3,334 Area Redeveloped) Unrefunded Balance, (MBIA Insured), 6.000% 08/01/15 1,000 San Juan, California, M-S-R Public Power Agency, Revenue Refunding, Aaa/AAA 1,097 (San Juan Project) Series 2001I, (MBIA Insured), 5.000% 07/01/12 2,000 San Mateo County, California, JT Powers Authority, Lease Revenue, Aaa/AAA 2,065 (Capital Project) Series 1997A, (FSA Insured), 5.125% 07/15/32 2,010 Santa Clara County, California, East Side Unified High School Aaa/AAA 2,246 District, GO Refunding, Series 2003B, (MBIA Insured), 5.250% 08/01/26 2,000 Saratoga, California, GO, (Saratoga Community Library Project), Aaa/AAA 2,106 Series 2001, (MBIA Insured), 5.250% 08/01/31 4,000 Southern California Public Power Authority, Power Project Revenue, A2/A 4,831 Series 1989, 6.750% 07/01/13 1,000 Southern California, Public Power Authority, Power Revenue Project, Aaa/AAA 1,045 (Magnolia Power Project), Series A-2003-1, FGIC Insured), 5.000% 07/01/25 1,500 Sulphur Springs, California, Unified School District, Special Tax, NR/NR 1,512 Series 2002-1-A, 6.000% 09/01/33 2,965 Tahoe Truckee, California, Unified School District Number 2, GO, Aaa/AAA 1,114 Series 1999A, (FGIC Insured), 5.130%! 08/01/24 3,780 Tahoe Truckee, California, Unified School District, GO, Series 1999A, Aaa/AAA 1,514 (FGIC Insured), 5.050%! 08/01/23 1,000 Torrance, California, Hospital Revenue, (Torrance Memorial Medical A1/A+ 1,039 Center Project) Series 2001A, 5.500% 06/01/31
1,000 Tri City, California, Hospital District Revenue, Series 1991, Aaa/AAA 1,014 (FSA Insured), 6.000% 02/01/22 940 Turlock, California, Health Facilities Revenue, Certificates of NR/BBB+ 982 Participation, (Emanuel Medical Center, Inc. Project) Series 2004, 5.000% 10/15/13 1,000 Walnut, California, Energy Center Authority Revenue, Series 2004A, Aaa/AAA 1,089 (AMBAC Insured), 5.000% 01/01/16 1,610 West Contra Costa, California, Unified School District, GO Aaa/AAA 1,890 Refunding, Series 2001A, (MBIA Insured), 5.600% 02/01/20 5,000 West Covina, California, Redevelopment Agency, Community Facilities Aa1/AA 5,797 District Special Tax Refunding, (Fashion Plaza Project) Series 1996, 6.000% 09/01/17 1,025 Westwood, California, Unified School District, GO, Series 1996, Aa3/BBB 1,072 6.500% 08/01/21 -------- 239,180 -------- PUERTO RICO - 6.7% 1,940 Puerto Rico Commonwealth, GO, (Public Improvement) Series 2001A, Baa1/A- 2,062 Unrefunded Balance, 5.375% 07/01/28 2,000 Puerto Rico Commonwealth, GO, (Public Improvement) Series 2004A, Baa1/A- 2,152 5.250% 07/01/21 2,000 Puerto Rico Commonwealth, GO, (Public Improvement) Series 2004A, Baa1/A- 2,147 5.250% 07/01/22 1,520 Puerto Rico Public Finance Corporation, Miscellaneous Revenue, Baa3/BBB+ 1,723 (Commonwealth Appropriation) Series 2002E, Prerefunded 02/01/12 @ 100, 5.500% 08/01/29 480 Puerto Rico Public Finance Corporation, Miscellaneous Revenue, Baa3/BBB+ 508 (Commonwealth Appropriation) Series 2002E, Unrefunded Balance, 5.500% 08/01/29 2,250 Puerto Rico, Commonwealth Highway and Transportation Authority, Aaa/AAA 2,290 Transportation Revenue, Series 1998A, (MBIA-IBC Insured), 4.750% 07/01/38 1,500 Puerto Rico, Commonwealth Infrastructure Financing Authority, Aaa/AAA 1,636 Special Obligation, Series 2000A, 5.500% 10/01/32 5,000 Puerto Rico, Electric Power Authority, Power Revenue, Series 2000HH, Aaa/AAA 5,315 (FSA Insured), -------- 5.250% 07/01/29 17,833 -------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $239,060) 257,013 -------- SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 0.7% 1,940 Nations Tax-Exempt Reserves, Capital Class# 1,940 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $1,940) 1,940 -------- TOTAL INVESTMENTS (Cost $243,000*) 98.8% 260,970 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 1.2% 3,143 -------- NET ASSETS 100.0% $264,113 ========
- ---------- 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. * Cost for federal income tax purposes is $243,000. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 18,099 129 17,970
! 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. ABBREVIATIONS: AMBAC Ambac Assurance Corporation AMT Alternative Minimum Tax FGIC Financial Guaranty Insurance Company FGIC-TCRS Financial Guaranty Insurance Company-Transferable Custodial Receipts FHA Federal Housing Authority FSA Financial Security Assurance Inc. GO General Obligations GTY-AGMT Guarantee Agreement IDR Industrial Development Revenue MBIA MBIA Insurance Corporation MBIA-IBC MBIA Insurance Corporation-Insured Bond Certificate MUD Municipal Utility District NR Not Rated PCR Pollution Control Revenue VA Veterans Administration NATIONS FUNDS NATIONS FLORIDA INTERMEDIATE MUNICIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 96.1% FLORIDA - 92.5% $1,000 Bay County, Florida, PCR Refunding, (International Paper Company Baa2/BBB $1,075 Project) Series 1998A, 5.100% 09/01/12 1,000 Bay Medical Center, Florida, Hospital Revenue Refunding, (Bay Aaa/AAA 1,022 Medical Center Project) Series 1996, (AMBAC Insured), 5.000% 10/01/05 2,000 Bay Medical Center, Florida, Hospital Revenue Refunding, (Bay Aaa/AAA 2,134 Medical Center Project) Series 1996, (AMBAC Insured), 5.450% 10/01/12 1,470 Boca Raton, Florida, GO, Series 2000, Aaa/AAA 1,629 5.000% 07/01/13 1,000 Brevard County, Florida, Health Facilities Authority, Revenue Aaa/AAA 1,048 Refunding, (Wuesthoff Memorial Hospital Project) Series 1996, (MBIA Insured), 6.250% 04/01/06 2,000 Brevard County, Florida, Utilities Revenue Refunding, Series 2002, Aaa/AAA 2,221 (FGIC Insured), 5.250% 03/01/14 3,660 Collier County, Florida, Gas Tax Revenue, Series 2003, Aaa/AAA 4,137 (AMBAC Insured), 5.250% 06/01/13 3,285 Collier County, Florida, Gas Tax Revenue, Series 2003, Aaa/AAA 3,665 (AMBAC Insured), 5.250% 06/01/15 2,250 Collier County, Florida, Housing Finance Authority, Multi-Family Aaa/AAA 2,340 Housing Revenue, (Goodlette Arms Project) Series 2002A-1, (FNMA COLL), Mandatory Put 02/15/12 @ 100, 4.900% 02/15/32 1,000 Dade County, Florida, Aviation Revenue Refunding, Series 1994B, AMT, Aaa/AAA 1,023 (AMBAC Insured), 6.300% 10/01/05 2,125 Escambia County, Florida, Health Facilities Authority, Revenue, Aa2/AA 2,351 (Ascension Health Credit Project) Series 2003A, 5.250% 11/15/11 420 Escambia County, Florida, Housing Finance Authority, Single-Family Aaa/AAA 423 Mortgage Revenue, (Multi-County Program) Series 2000A, AMT, (MBIA/FHA/VA Insured), 6.300% 10/01/20 1,450 Florida State, Board of Education, Lottery Revenue, Series 2002A, Aaa/AAA 1,619 (FGIC Insured), 5.375% 07/01/17 1,000 Florida State, Board of Education, Public Education Capital Outlay Aa2/AA+ 1,082 GO Refunding, Series 1993A, 5.000% 06/01/08 3,525 Florida State, Board of Education, Public Education Capital Outlay Aa2/AA+ 3,768 GO, Series 1997A, 5.500% 01/01/08 5,000 Florida State, Department of Environmental Protection & Aaa/AAA 5,485 Preservation, Revenue, (Florida Forever Project), Series 2001B, (MBIA Insured), 5.000% 07/01/09 3,000 Florida State, Divison of Bond Finance Department, General Services Aaa/AAA 3,303 Revenue, (Enviromental Protection and Preservation 2000), Series 1998B, (FSA Insured), 5.500% 07/01/08 3,420 Florida State, Municipal Agency, Revenue Refunding, Series 2003A, Aaa/AAA 3,809
(FSA Insured), 5.000% 10/01/13 1,125 Florida State, Municipal Loan Council, Revenue, Series 2003B, Aaa/AAA 1,268 (MBIA Insured), 5.250% 12/01/13 1,850 Florida State, Municipal Power Agency, Revenue Refunding, (Stanton Aaa/AAA 2,077 II Project) Series 2002, (AMBAC Insured), 5.500% 10/01/21 3,300 Florida, Capital Trust Agency, Multi-Family Housing Revenue, (Shadow Aaa/AAA 3,544 Run Project) Series 2000A, (FNMA COLL), Mandatory Put 11/01/10 @ 100, 5.150% 11/01/30 1,000 Florida, Housing Finance Agency, Multi-Family Housing, Revenue Aa3/BBB 1,029 Refunding, (United Dominion Realty Trust - Andover Project) Series 1996E, AMT, Mandatory Put 05/01/08 @ 100, 6.350% 05/01/26 195 Florida, Housing Finance Agency, Revenue Refunding, (The Vineyards Aa3/BBB 196 Project) Series 1995H, 5.875% 11/01/05 1,000 Florida, Housing Finance Agency, Revenue Refunding, (The Vineyards Aa3/BBB 1,041 Project) Series 1995H, 6.400% 11/01/15 1,700 Florida, Housing Finance Corporation, Revenue, (Homeowner Mortgage Aaa/AAA 1,784 Project) Series 1998-1, (MBIA Insured), 4.950% 07/01/11 1,000 Florida, Ports Financing Commission, Revenue, (State Transportation Aaa/AAA 1,063 Trust Fund Project) Series 1996, AMT, (MBIA Insured), 5.375% 06/01/16 315 Gainesville, Florida, Utilities System, Revenue, Escrowed to Aa2/AA 344 Maturity, Series 1996A, 5.750% 10/01/07 685 Gainesville, Florida, Utilities System, Revenue, Unrefunded Balance, Aa2/AA 746 Series 1996A, 5.750% 10/01/07 1,375 Hialeah, Florida, Capital Improvement, Revenue, Series 1993, Baa1/AA- 1,386 5.500% 10/01/18 2,410 Hillsborough County, Florida, Aviation Authority, Revenue Refunding, Aaa/AAA 2,691 (Tampa International Airport Project) AMT, Series 2003D, 5.500% 10/01/11 3,170 Hillsborough County, Florida, Aviation Authority, Revenue Refunding, Aaa/AAA 3,370 (Tampa International Airport Project) Series 1997A, AMT, (AMBAC Insured), 5.750% 10/01/07 1,000 Hillsborough County, Florida, Capital Improvement Revenue Aaa/AAA 1,106 Refunding, (Criminal Justice Facilities Project), Series 2003, (FGIC Insured), 5.000% 08/01/12 1,000 Hillsborough County, Florida, Capital Improvement, Revenue Aaa/AAA 1,058 Refunding, (County Center Project) Series 1996B, (MBIA Insured), 5.000% 07/01/11 2,335 Hillsborough County, Florida, Individual Development Authority, Aaa/AAA 2,629 Cigarette Tax Allocation, (H. Lee Moffitt Cancer Project) Series 2002B, (AMBAC Insured), 5.500% 09/01/15 1,070 Hollywood, Florida, Water and Sewer, Revenue Refunding and Aaa/AAA 1,160 Improvement, Series 2003, (FSA Insured), 5.000% 10/01/17 1,000 Indian River County, Florida, Water and Sewer, Revenue Refunding, Aaa/AAA 1,021 Series 1993A, (FGIC Insured), 5.200% 09/01/05 2,000 Jacksonville, Florida, Electric Systems Authority, Revenue Aa2/AA 2,025 Refunding, Series 1995-11, 5.375% 10/01/15 1,000 Jacksonville, Florida, Excise Tax, Revenue Refunding, Series 1995A, Aaa/AAA 1,100 (FGIC Insured), 5.000% 10/01/09 3,450 Jacksonville, Florida, GTD, Entitlement Improvement, Revenue Aaa/AAA 3,847 Refunding,
Series 2002, (FGIC Insured), 5.375% 10/01/18 1,000 Jacksonville, Florida, Sales Tax, Revenue Refunding, Series 2002, Aaa/AAA 1,115 (FGIC Insured), 5.375% 10/01/18 1,000 Jacksonville, Florida, Sales Tax, Revenue Refunding, Series 2001, Aaa/AAA 1,145 (FGIC Insured), 5.500% 10/01/12 1,080 Jacksonville, Florida, Sales Tax, Revenue Refunding, Series 2003, Aaa/AAA 1,192 (MBIA Insured), 5.250% 10/01/19 2,500 Jea, Florida, St. John's River Power Parkway Systems Revenue Aa2/AA 2,762 Refunding, Series 2002, 5.250% 10/01/13 2,235 Kissimmee, Florida, Utility Authority Electrical System Revenue Aaa/AAA 2,500 Refunding and Improvement, Series 2003, (FSA Insured), 5.250% 10/01/15 1,000 Lakeland, Florida, Electricity and Water, Revenue Refunding, Series Aaa/AAA 865 1990, (AMBAC Insured), 3.090%! 10/01/09 2,000 Manatee County, Florida, Public Utilities and Improvement, Aaa/AAA 2,222 Revenue Refunding, Series 2003A, (MBIA Insured), 5.000% 10/01/12 4,285 Manatee County, Florida, School District Sales, Tax Revenue, Series Aaa/AAA 4,755 2003, (AMBAC Insured), 5.000% 10/01/12 2,025 Marion County, Florida, Hospital District, Revenue Refunding, A2/AA 2,165 Series 1999, 5.250% 10/01/11 1,810 Miami Beach, Florida, Water and Sewer, Revenue, Series 1995, Aaa/AAA 1,882 (FSA Insured), 5.375% 09/01/15 1,500 Miami-Dade County, Florida, Aviation, Revenue Refunding, Aaa/AAA 1,606 Series 1998A, AMT, 5.250% 10/01/07 1,000 Miami-Dade County, Florida, GO, Series 1994, (MBIA Insured), Aaa/AAA 1,048 5.650% 06/01/06 1,000 Miami-Dade County, Florida, Special Obligation Bonds, Series Aaa/AAA 1,107 2002A-1, (AMBAC Insured), 5.000% 04/01/11 3,500 Miami-Dade County, Florida, Water and Sewer, Revenue Refunding, Aaa/AAA 3,745 Series 2003, (MBIA Insured), 5.000% 10/01/07 1,530 Ocala, Florida, Imports Revenue Refunding, Series 2003, Aaa/AAA 1,723 (AMBAC Insured), 5.375% 10/01/16 1,750 Okeechobee County, Florida, Solid Waste Revenue, (Various Aa3/BBB 1,785 Disposal-Waste Management/Landfill) Series 2004A, 4.200% 07/01/39 375 Orange County, Florida, Health Facilities Authority, Revenue Aa3/BBB 378 Refunding, (Lakeside Alternatives, Inc. Project) Series 1995, 6.250% 07/01/05 4,640 Orange County, Florida, Health Facilities Authority, Revenue, Aaa/AAA 5,267 (Orlando Regional Healthcare Project) Series 1996A, (MBIA Insured), 6.250% 10/01/08 1,445 Orange County, Florida, Health Facilities Authority, Revenue, Aaa/AAA 1,789 Series 1996A, (MBIA Insured), Escrowed to Maturity, 6.250% 10/01/16 555 Orange County, Florida, Health Facilities Authority, Revenue, Series Aaa/AAA 676 1996A, (MBIA Insured), Unrefunded Balance, 6.250% 10/01/16 4,000 Orange County, Florida, Tourist Development Tax Authority, Revenue Aaa/AAA 4,298 Refunding, Series 1998A, (AMBAC Insured), 5.000% 10/01/15 2,000 Orlando and Orange County, Florida, Expressway Authority, Revenue, Aaa/AAA 2,352 Junior Lien, Series 1990, (FGIC Insured), 6.500% 07/01/10
1,000 Orlando, Florida, Greater Orlando Aviation Authority, Airport Aaa/AAA 1,065 Facilities, Revenue Refunding, Series 1997, AMT, (FGIC Insured), 5.125% 10/01/12 5,865 Orlando, Florida, Utilities Commission, Water and Electric, Revenue Aa1/AA 6,450 Refunding, Series 2001, 5.000% 10/01/09 3,500 Palm Beach County, Florida, Criminal Justice Facilities, Revenue, Aaa/AAA 4,080 Series 1997, (FGIC Insured), 5.750% 06/01/13 2,000 Palm Beach County, Florida, GO Refunding, Series 1998, Aaa/AAA 2,294 5.500% 12/01/11 3,000 Palm Beach County, Florida, School Board Certificates of Aaa/AAA 3,366 Participation, Series 2002A, (FSA Insured), 5.375% 08/01/14 2,000 Palm Beach County, Florida, Stadium Facilities, Revenue, Series Aaa/AAA 2,182 1996, (MBIA Insured), 5.250% 12/01/16 2,070 Pembroke Pines, Florida, Consolidated Utilities Systems, Revenue, Aaa/AAA 2,195 Series 1992, (FGIC Insured), 6.250% 09/01/07 1,000 Port St. Lucie, Florida, Sales Tax Revenue, Series 2003, Aaa/AAA 1,074 (MBIA Insured), 5.000% 09/01/19 510 Port St. Lucie, Florida, Utility Revenue, Series 2003, Aaa/AAA 569 Prerefunded 9/01/13 @ 100, 5.000% 09/01/16 490 Port St. Lucie, Florida, Utility Revenue, Series 2003, Unrefunded Aaa/AAA 533 Balance, 5.000% 09/01/16 1,650 Sarasota County, Florida, Public Hospital Board, Revenue Refunding, Aaa/AAA 1,760 (Sarasota Memorial Hospital Project) Series 1997B, (MBIA Insured), 5.000% 10/01/07 1,750 Sarasota County, Florida, Public Hospital Board, Revenue Refunding, Aaa/AAA 1,947 (Sarasota Memorial Hospital Project) Series 1998B, (MBIA Insured), 5.250% 07/01/11 1,000 South Broward, Florida, Hospital District, Revenue, Series 2002, Aa3/A+ 1,079 5.500% 05/01/22 3,000 South Broward, Florida, Hospital District, Revenue, Series 2002, Aa3/A+ 3,184 5.600% 05/01/27 3,955 South Broward, Florida, Hospital District, Revenue, Series 2003A, Aaa/AAA 4,411 (MBIA Insured), 5.250% 05/01/12 1,000 St. Lucie County, Florida, School District, GO, Series 1997, Aaa/AAA 1,073 (FGIC Insured), 5.875% 02/01/07 1,980 St. Petersburg, Florida, Health Facilities Authority, Revenue, (All Aaa/AAA 2,189 Children's Hospital Project) Series 2002, (AMBAC Insured), 5.500% 11/15/16 1,995 St. Petersburg, Florida, Health Facilities Authority, Revenue, (All Aaa/AAA 2,214 Children's Hospital) Series 2002, (AMBAC Insured), 5.500% 11/15/15 3,775 Tallahassee, Florida, Blue Print 2000 Intern Government, Revenue, Aaa/AAA 4,156 Series 2003, (FSA Insured), 5.000% 10/01/13 1,000 Tallahassee, Florida, Conservative Utilities System, Revenue Aaa/AAA 1,165 Refunding, Series 2001, (FGIC Insured), 5.500% 10/01/18 2,000 Tampa, Florida, Health Systems, Revenue, (Catholic Health Project) Aaa/AAA 2,107 Series 1998A-1, (MBIA Insured), 4.875% 11/15/15 3,170 Tampa, Florida, Sports Authority, Local Optional Sales Tax Revenue, Aaa/AAA 3,401 (Stadium Project) Series 1997, (MBIA Insured), 6.000% 01/01/07 1,000 Tampa, Florida, Sports Authority, Revenue, (Tampa Bay Arena Project) Aaa/AAA 1,193 Series 1995, (MBIA Insured), 5.750% 10/01/20 3,000 Tampa, Florida, Tax Allocation, (Cigarette-H. Lee Moffitt Cancer Aaa/AAA 3,173 Project) Series 1999, (AMBAC Insured),
5.000% 03/01/07 1,110 Tohopekaliga, Florida, Water Authority, Utility Revenue, Series Aaa/AAA 1,231 2003B, (FSA Insured), 5.250% 10/01/17 3,000 University Athletic Association Inc., Florida Athletic Program, Aa3/AA+ 3,002 Revenue, Series 2001, Mandatory Put 10/01/05 @ 100, 2.200% 10/01/31 1,000 Volusia County, Florida, Educational Facilities Authority, Baa3/AA- 1,031 Educational Facilities, Revenue, (Embry-Riddle Aeronautical ------- University Project) Series 1996A, 6.125% 10/15/26 185,120 ------- ILLINOIS- 0.7% 1,620 Champaign County, Illinois, Community Unit School District Number Aaa/AAA 1,380 116 Urbana, GO, Series 1999C, (FGIC Insured), ------- Prerefunded 01/01/09 @ 94.829, 3.230%! 01/01/10 SOUTH CAROLINA - 0.6% 1,000 Calhoun County, South Carolina, Solid Waste Disposal Facility A2/BBB- 1,252 Revenue, (Carolina Eastman Company Project) Series 1992, AMT, ------- 6.750% 05/01/17 VIRGINIA - 2.3% 4,180 Arlington County, Virginia, Industrial Development Authority, A2/AA 4,573 Hospital Facility, Revenue, (Virginia Hospital Arlington Health ------- Systems Project), Series 2001, 5.500% 07/01/14 TOTAL MUNICIPAL BONDS AND NOTES (Cost $185,333) 192,325 -------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 3.0% 6,080 Nations Tax-Exempt Reserves, Capital Class# 6,080 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $6,080) 6,080 -------- TOTAL INVESTMENTS (Cost $191,413*) 99.1% 198,405 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.9% 1,754 -------- NET ASSETS 100.0% $200,159 ========
- ---------- 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. * Cost for federal income tax purposes is $191,413. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 7,328 336 6,992
! 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. ABBREVIATIONS: AMBAC Ambac Assurance Corporation AMT Alternative Minimum Tax FGIC Financial Guaranty Insurance Company FHA Federal Housing Authority FNMA COLL Federal National Mortgage Association collateral FSA Financial Security Assurance Inc. GO General Obligations GTD Guarantee MBIA MBIA Insurance Corporation PCR Pollution Control Revenue VA Veterans Administration NATIONS FUNDS NATIONS FLORIDA MUNICIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 98.0% FLORIDA - 91.3% $ 500 Alachua County, Florida, Health Facilities Authority, Baa1/AAA $ 544 Revenue Refunding, (Santa Fe Healthcare Facilities, Inc. Project) Series 1993, 6.000% 11/15/09 1,375 Bay County, Florida, PCR Refunding, (International Paper Company Baa2/BBB 1,479 Project) Series 1998A, 5.100% 09/01/12 2,550 Brevard County, Florida, Health Facilities Authority, Revenue, Aaa/AAA 2,704 (Holmes Regional Medical Center, Inc. Project) Series 1996, (MBIA Insured), 5.625% 10/01/14 1,470 Brevard County, Florida, School Board, Certificate of Participation, Aaa/NR 1,600 Series 2004A, (FGIC Insured), 5.000% 07/01/17 1,000 Canaveral, Florida, Port Authority, Port Improvement Aaa/AAA 1,066 Revenue Refunding, Series 1996B, (FGIC Insured), 5.700% 06/01/13 2,250 Charlotte County, Florida, Utility Revenue Refunding, Series 1996A, Aaa/AAA 2,417 (FGIC Insured), 5.625% 10/01/16 1,000 Collier County, Florida, Housing Finance Authority, Aaa/AAA 1,040 Multi-Family Housing Revenue, (Goodlette Arms Project) Series 2002A-1, (FNMA COLL), Mandatory Put 02/15/12 @ 100, 4.900% 02/15/32 2,500 Dade County, Florida, Aviation Revenue, Series 1996A, AMT, Aaa/AAA 2,669 (MBIA Insured), 5.750% 10/01/12 365 Escambia County, Florida, Housing Finance Authority, Single-Family Aaa/AAA 368 Mortgage Revenue, (Multi-County Program) Series 2000A, AMT, (MBIA/FHA/VA Insured), 6.300% 10/01/20 3,000 Florida State, Board of Education, Capital Outlay GO, Series 1997A, Aa2/AA+ 3,152 5.000% 01/01/17 1,000 Florida State, Board of Education, Lottery Revenue, Series 2000C, Aaa/AAA 1,100 (FGIC Insured), 5.250% 07/01/17 1,250 Florida State, Board of Education, Public Education Capital Aa2/AA+ 1,309 Outlay GO, Series 1996A, 5.250% 06/01/16 1,000 Florida State, Department of Transportation GO, Series 2004-A, Aa1/AA+ 1,033 5.000% 07/01/30 1,000 Florida State, Florida Department of Transportation Revenue, Aaa/AAA 1,123 Series 2002, (MBIA Insured), 5.375% 07/01/15 1,000 Florida, Capital Trust Agency, Multi-Family Housing Revenue, (Shadow Aaa/AAA 1,074 Run Project) Series 2000A, (FNMA COLL), Mandatory Put 11/01/10 @ 100, 5.150% 11/01/30 1,945 Florida, Housing Finance Agency, Revenue, (Homeowner Mortgage Aaa/AAA 2,043 Project) Series 1997-2, AMT, (MBIA Insured), 5.750% 07/01/14 1,240 Florida, Housing Finance Agency, Revenue, (Homeowner Mortgage Aaa/AAA 1,302 Project) Series 1998-1, (MBIA Insured), 4.950% 01/01/11 1,485 Florida, Municipal Loan Council Revenue, (North Miami Beach Water Aaa/AAA 1,664 Project), Series 2002B, (MBIA Insured), 5.375% 08/01/16
3,000 Gainesville, Florida, Utility Systems Revenue, Series 1992B, Aa2/AA 3,598 6.500% 10/01/11 3,720 Jacksonville, Florida, GTD, Entitlement Revenue Refunding and Aaa/AAA 4,139 Improvement, Series 2002, (FGIC Insured), 5.375% 10/01/19 2,000 Jea, Florida, St. John's River Power Parkway Systems Revenue Aa2/AA 2,210 Refunding, Series 2002, 5.250% 10/01/13 2,430 Leon County, Florida, Capital Improvement Revenue, Series 1997, Aaa/AAA 2,619 (AMBAC Insured), 5.250% 10/01/17 1,000 Miami Beach, Florida, Water and Sewer Revenue, Series 1995, Aaa/AAA 1,040 (FSA Insured), 5.375% 09/01/15 3,500 Miami-Dade County, Florida, Aviation Revenue, Series 1998C, AMT, Aaa/AAA 3,709 (MBIA Insured), 5.250% 10/01/15 1,465 Miami-Dade County, Florida, Educational Facilities Authority, (Miami Aaa/AAA 1,621 University) Series 2004A, 5.000% 04/01/14 2,445 Miami-Dade County, Florida, Stormwater Utility Revenue, Series 2004, Aaa/NR 2,586 (MBIA Insured), 5.000% 04/01/24 2,000 North Broward, Florida, Hospital District Revenue Refunding, Aaa/AAA 2,115 Series 1997, (MBIA Insured), 5.250% 01/15/17 3,260 Orange County, Florida, Health Facilities Authority, Revenue, Aaa/AAA 4,036 Series 1996A, (MBIA Insured), Escrowed to Maturity, 6.250% 10/01/16 1,260 Orange County, Florida, Health Facilities Authority, Revenue, Aaa/AAA 1,534 Series 1996A, (MBIA Insured), Unrefunded Balance, 6.250% 10/01/16 1,800 Orlando, Florida, Utilities Commission, Water and Aa1/AA 2,246 Electric Utilities Revenue Refunding, Series 1989D, 6.750% 10/01/17 2,240 Osceola County, Florida, School Board, Certificate of Participation, Aaa/AAA 2,451 Series 2004A, (FGIC Insured), 5.000% 06/01/16 5,000 Palm Beach County, Florida, Solid Waste Authority, Revenue, Aaa/AAA 5,716 Unrefunded Balance, Series 1997A, (AMBAC Insured), Mandatory Put 07/01/10 @ 100, 6.000% 10/01/10 2,000 Pensacola, Florida, Airport Revenue, Series 1997B, AMT, Aaa/AAA 2,172 (MBIA Insured), 5.625% 10/01/14 2,115 Port St. Lucie, Florida, Utilities Revenue, Series 2003, Aaa/AAA 2,272 (MBIA Insured), 5.000% 09/01/19 1,000 Sarasota County, Florida, Utility Systems Revenue Refunding, Aaa/AAA 1,110 Series 2002C, (FGIC Insured), 5.250% 10/01/16 1,030 Sebring, Florida, Water and Wastewater Revenue Refunding, Aaa/AAA 1,148 Series 2002, (FGIC Insured), 5.250% 01/01/14 1,000 South Broward, Florida, Hospital District Revenue, Series 2002, Aa3/A+ 1,061 5.600% 05/01/27 1,000 Tallahassee, Florida, Blue Print 2000 Intern Government Revenue, Aaa/AAA 1,101 Series 2003, (FSA Insured), 5.000% 10/01/13 1,330 Tallahassee, Florida, Conservative Utility System Revenue Refunding, Aaa/AAA 1,536 Series 2001, (FGIC Insured), 5.500% 10/01/14 500 Tampa, Florida, Sports Authority, Local Optional Sales Tax Revenue, Aaa/AAA 530 (Stadium Project) Series 1997, (MBIA Insured), 5.125% 01/01/12 2,000 Tampa, Florida, Sports Authority, Local Optional Sales Tax Revenue, Aaa/AAA 2,120
(Stadium Project) Series 1997, (MBIA Insured), 5.250% 01/01/17 2,500 Tampa, Florida, Sports Authority, Sales Tax Revenue, (Tampa Aaa/AAA 2,903 Bay Arena Project) Series 1995, (MBIA Insured), 5.750% 10/01/15 2,380 Volusia County, Florida, Educational Facilities Authority, Baa3/AA- 2,393 Educational Facilities Revenue, (Embry-Riddle Aeronautical ------- University Project) Series 1999A, 5.750% 10/15/29 85,653 ------- LOUISIANA - 1.1% 1,000 Calcasieu Parish, Louisiana, Industrial Development Board, PCR Baa1/BBB+ 1,036 Refunding, (Occidental Petroleum Project) Series 2001, ------- 4.800% 12/01/06 PUERTO RICO - 5.6% 4,190 Puerto Rico, Commonwealth GO, Series 1997, (MBIA Insured), Aaa/AAA 5,248 6.500% 07/01/15 ------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $84,917) 91,937 -------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 1.1% 968 Nations Tax-Exempt Reserves, Capital Class# 968 ------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $968) 968 ------- TOTAL INVESTMENTS (Cost $85,885*) 99.1% 92,905 ------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.9% 883 ------- NET ASSETS 100.0% $93,788 =======
- ---------- 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. * Cost for federal income tax purposes is $85,885. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 7,072 52 7,020
# Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. ABBREVIATIONS: AMBAC Ambac Assurance Corporation AMT Alternative Minimum Tax FGIC Financial Guaranty Insurance Company FHA Federal Housing Authority FNMA COLL Federal National Mortgage Association collateral FSA Financial Security Assurance Inc. GO General Obligations MBIA MBIA Insurance Corporation VA Veterans Administration NATIONS FUNDS NATIONS GEORGIA INTERMEDIATE MUNICIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 96.9% GEORGIA - 87.7% $1,150 Athens, Georgia, University of Georgia Student Housing Authority, Aaa/AAA $1,259 Revenue Refunding, Series 2002, (AMBAC Insured), 5.250% 12/01/19 5,000 Atlanta, Georgia, Airport Facilities Revenue Refunding, Series Aaa/AAA 5,699 2000A,(FGIC Insured), Prerefunded 01/01/10 @ 101, 5.600% 01/01/30(a) 2,000 Atlanta, Georgia, Urban Residential Finance Authority, Multi-Family Aaa/AAA 2,082 Revenue Refunding, (Housing City Plaza Project) Series 1998, AMT, (FNMA COLL), Mandatory Put 12/01/08 @ 100, 4.550% 12/01/28 1,060 Atlanta, Georgia, Water and Wastewater, Revenue, Unrefunded Balance, Aaa/AAA 1,173 Series 1999A, (FGIC Insured), Prerefunded 05/01/09 @ 101, 5.000% 11/01/38 1,055 Bulloch County, Georgia, Development Authority, Student Housing Aaa/AAA 1,098 Lease Revenue, (Georgia Southern University Project) Series 2002, 3.750% 08/01/10 1,090 Bulloch County, Georgia, Development Authority, Student Housing Aaa/AAA 1,143 Lease Revenue, (Georgia Southern University Project) Series 2002, 4.000% 08/01/11 2,000 Cartersville, Georgia, Development Authority, Sewer Facilities A1/A+ 2,200 Revenue Refunding, (Anheuser-Busch Companies, Inc. Project) Series 1997, AMT, 5.625% 05/01/09 1,000 Cartersville, Georgia, Development Authority, Sewer Facilities A1/A+ 1,041 Revenue Refunding, (Anheuser-Busch Companies, Inc. Project) Series 1997, AMT, 6.125% 05/01/27 1,000 Chatham County, Georgia, Hospital Authority Revenue, (Memorial A3/A- 1,043 Health University) Series 2004A, 5.375% 01/01/26 3,000 Chatham County, Georgia, Hospital Medical Authority, Revenue, A3/A- 3,270 (Memorial Health Medical Center Project) Series 2001A, 6.125% 01/01/24 1,500 Cherokee County, Georgia, School System, GO, (State Aid Aa2/AA 1,664 Withholding), 5.000% 02/01/13 1,000 Cherokee County, Georgia, School System, GO, Series 1993, (AMBAC Aaa/AAA 1,073 Insured), 5.875% 02/01/09 1,000 Cherokee County, Georgia, School System, GO, Series 2001, (State Aid Aa2/AA 1,097 Withholding), 5.250% 08/01/15 1,000 Cherokee County, Georgia, School System, GO, Series 2001, (State Aid Aa2/AA 1,100 Withholding), 5.250% 08/01/17 430 Cherokee County, Georgia, Water and Sewer Authority, Revenue Aaa/AAA 460 Refunding, Series 1993, (MBIA Insured), 5.300% 08/01/09 3,190 Clayton County, Georgia, Hospital Authority, Revenue Anticipation Aaa/AAA 3,519 Certificates, (Southern Regional Medical Center Project) Series 1998A, (MBIA Insured), 5.250% 08/01/09 3,815 Clayton County, Georgia, Housing Authority, Multi-Family Housing Aaa/AAA 4,007 Revenue Refunding, (Tara Court II Apartments Project) Series 2001,
(FNMA Liquidity Facility), Mandatory Put 12/01/11 @ 100, 4.350% 12/01/31 2,000 Clayton County, Georgia, Water and Sewer Authority, Revenue, Series Aa3/AA 2,345 2000, 6.250% 05/01/17 1,000 Clayton County, Georgia, Water and Sewer Authority, Revenue, Series Aa3/AA 1,141 2000, 5.600% 05/01/18 5,195 Cobb County and Marietta, Georgia, Water Authority, Revenue, Series Aaa/AAA 5,669 2002, 5.125% 11/01/20 1,870 Cobb County, Georgia, Development Authority University Facilities Aaa/NR 2,017 Lease Revenue, (Kennesaw State University Foundation, Inc Project) Series 2004, (MBIA Insured), 5.000% 07/15/19 2,000 Cobb County, Georgia, Development Authority University Facilities Aaa/NR 2,208 Revenue, (Kennesaw State University Housing Project) Series 2004A, (MBIA Insured), 5.250% 07/15/19 2,220 Columbus County, Georgia, Water and Sewer Revenue Refunding, Series Aaa/AAA 2,505 2003, (FSA Insured), 5.250% 05/01/13 1,300 DeKalb County, Georgia, Development Authority, Revenue, (Emory Aa2/AA 1,330 University Project) Series 1994A, (GO of University), 6.000% 10/01/14 1,000 Downtown Savannah Authority, Georgia, Revenue Refunding, (Chatham A1/AA 1,002 County Project) Series 1993A, 5.000% 01/01/11 2,490 East Point, Georgia, Building Authority, Revenue, Series 2000, (FSA Aaa/AAA 1,288 Insured), 0.000%+ 02/01/18 2,000 Forsyth County, Georgia, School District, GO, Series 1999, Aa2/AA- 2,333 6.000% 02/01/15 2,000 Fulco, Georgia, Hospital Authority, Revenue Anticipation Aaa/AAA 2,154 Certificates, Health Systems Revenue, (Catholic Health East Project) Series 1998A, (MBIA Insured), 4.600% 11/15/09 5,000 Fulton County, Georgia, Building Authority, Revenue, (Judicial Aaa/AAA 5,229 Center Facilities Project) Series 2002B, 4.000% 01/01/08 500 Fulton County, Georgia, Development Authority, Revenue, (Clark Aaa/AAA 523 Atlanta University Project) Series 1995, (CONNIE LEE Insured), 5.125% 01/01/10 1,735 Fulton County, Georgia, Development Authority, Revenue, (Georgia Aa1/AA+ 1,845 Tech Foundation Facilities Project) Series 1997A, 5.000% 09/01/17 2,900 Fulton County, Georgia, Housing Authority, Multi-Family Housing Aaa/AAA 3,250 Revenue, (Concorde Place Apartments Project) Series 1996A, AMT, Prerefunded 07/01/08 @100, 6.375% 01/01/27 1,000 Gainesville & Hall County, Georgia, Hospital Authority, Revenue Aa2/A- 1,039 Anticipation Certificates, (Northeast Georgia Health System Incorporated Project) Series 2001, 5.000% 05/15/15 1,500 Georgia State, GO Refunding, Series 1992A, Aaa/AAA 1,571 6.250% 03/01/06 2,750 Georgia State, GO, Series 1993C, Aaa/AAA 2,811 6.500% 07/01/05 3,000 Georgia State, GO, Series 1999D, Aaa/AAA 3,477 5.800% 11/01/13 1,000 Georgia State, GO, Series 2002B, Aaa/AAA 1,078 5.000% 05/01/20 400 Georgia State, Housing and Finance Authority, Single-Family Mortgage Aa2/AAA 402 Revenue, Series 1998B-3, 4.400% 06/01/17 40 Georgia State, Housing and Finance Authority, Single-Family Mortgage Aa2/AAA 42 Revenue, Series 1999B-2, AMT,
6.100% 06/01/31 1,000 Georgia State, Municipal Electric Authority, Revenue, Series 1998A, Aaa/AAA 1,125 5.250% 01/01/13 1,000 Georgia State, Tollway Authority, Revenue Refunding, (Georgia 400 Aaa/AAA 1,066 Project) Series 1998, 5.000% 07/01/07 1,250 Georgia, Municipal Association Inc., Certificate of Participation, Aaa/AAA 1,329 (City Court Atlanta Project), Series 2002, (AMBAC), 5.250% 12/01/26 2,585 Griffin, Georgia, Combined Public Utility Improvement Revenue Aaa/AAA 2,824 Refunding, Series 2002, 5.125% 01/01/19 2,000 Gwinnett County, Georgia, GO, Series 2002, Aaa/AAA 2,110 4.000% 01/01/11 1,785 Gwinnett County, Georgia, School District, GO Refunding, Series Aaa/AA+ 1,925 2002, 5.000% 02/01/08 1,000 Hall County, Georgia, School District, GO Refunding, Series 1992B, A1/AA 1,038 6.300% 12/01/05 1,550 Henry County, Georgia, Hospital Authority, Revenue, (Henry Medical Aaa/AAA 1,689 Center Project) Series 1997, (AMBAC Insured), Prerefunded 07/01/07 @ 102, 5.250% 07/01/09 3,000 Henry County, Georgia, Hospital Authority, Revenue, (Henry Medical Aaa/AAA 3,412 Center Project) Series 1997, (AMBAC Insured), 6.000% 07/01/29 2,000 Houston County, Georgia, School District, GO, Series 2002, (State Aa2/AA 2,058 Aid Withholding), 4.000% 09/01/06 500 Lawrenceville, Georgia, Housing Authority, Multi-Family Housing Aaa/AAA 549 Revenue, (Knollwood Park, LP Project) Series 1997, AMT, (FNMA COLL), Mandatory Put 06/01/15 @ 100, 6.250% 12/01/29 1,000 Macon-Bibb County, Georgia, Industrial Authority, Industrial Baa2/BBB 1,174 Revenue, (Weyerhaeuser Company Project) Series 1982, 9.000% 10/01/07 1,000 Meriwether County, Georgia, School District, GO, Series 1996, (State Aaa/AAA 1,078 Aid Withholding, FSA Insured), 5.500% 02/01/16 2,000 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue Aaa/AAA 2,407 Refunding, Series 1992, (MBIA Insured), 6.250% 07/01/18 540 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue, Aaa/AAA 661 Series 1983D, 7.000% 07/01/11 2,500 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue, Aaa/AAA 2,718 Series 1998B, (MBIA Insured), 5.100% 07/01/13 3,000 Metropolitan Atlanta Rapid Transit Authority, Georgia, Revenue, Aaa/AAA 3,230 Series 1998B, (MBIA Insured), 5.100% 07/01/15 5,000 Monroe County, Georgia, Development Authority, PCR, (Georgia Power Aaa/AAA 5,232 Company Plant Scherer Project) Series 2001, (AMBAC Insured), Mandatory Put 12/01/08 @ 100, 4.200% 01/01/12 1,000 Monroe County, Georgia, Development Authority, PCR, (Oglethorpe A3/A 1,190 Power Corporation Project) Series 1992A, 6.800% 01/01/12 500 Peach County, Georgia, School District, GO, Series 1994, (State Aid Aaa/AAA 560 Withholding, MBIA Insured), 6.500% 02/01/08 1,000 Richmond County, Georgia, Board of Education, GO Refunding, Series Aaa/AAA 1,012 1993, (FGIC Insured), 4.700% 11/01/06 3,000 Richmond County, Georgia, Development Authority, Environmental Baa2/BBB 3,218 Improvement Revenue, (International Paper Company Project) Series 2001A,
5.150% 03/01/15 3,000 Roswell, Georgia, GO, Series 1995, Prerefunded 02/01/05 @ 102, Aaa/AAA 3,069 5.600% 02/01/10 2,000 Roswell, Georgia, GO, Series 2000, Aaa/AAA 2,224 5.500% 02/01/12 1,225 Savannah, Georgia, Hospital Authority, Revenue, (St. Joseph's - Aaa/AAA 1,326 Candler Health Systems Project) Series 1998A, (FSA Insured), 5.250% 07/01/11 1,310 Savannah, Georgia, Hospital Authority, Revenue, (St. Joseph's - Aaa/AAA 1,427 Candler Health Systems Project) Series 1998A, (FSA Insured), 5.250% 07/01/12 1,000 Savannah, Georgia, Hospital Authority, Revenue, (St. Joseph's - Aaa/AAA 1,090 Candler Health Systems Project) Series 1998B, (FSA Insured), 5.250% 07/01/10 1,000 Smyrna, Georgia, Downtown Development Authority, Revenue Aaa/AAA 1,129 Refunding, Series 2002, (AMBAC Insured), 5.250% 02/01/16 2,225 Tift County, Georgia, Hospital Authority, Revenue, Series 2002, Aaa/AAA 2,425 5.250% 12/01/18 -------- 132,482 -------- ALABAMA - 1.7% 2,320 Birmingham, Alabama, GO Refunding, Series 2003A, (AMBAC Insured), Aaa/AAA 2,566 5.250% 06/01/18 -------- ALASKA - 1.0% 1,315 Alaska, Municipal Bond Bank Authority, Revenue, Series 2003, (MBIA Aaa/AAA 1,443 Insured), -------- 5.250% 12/01/17 LOUISIANA - 1.4% 2,000 Calcasieu Parish, Louisiana, Industrial Development Board, PCR Baa1/BBB+ 2,072 Refunding, (Occidental Petroleum Project) Series 2001, -------- 4.800% 12/01/06 MICHIGAN - 2.7% 3,650 Detroit, Michigan, GO Refunding, Series 2001B, (MBIA Insured), Aaa/AAA 4,061 5.375% 04/01/14 -------- SOUTH CAROLINA - 1.0% 1,500 South Carolina, Tobacco Settlement Management Revenue, Series 2001B, Baa2/BBB 1,458 6.375% 05/15/28 -------- TEXAS - 1.4% 2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Baa2/BBB- 2,192 Series 2002, -------- 6.000% 10/01/16 TOTAL MUNICIPAL BONDS AND NOTES (Cost $138,044) 146,274 --------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 2.0% 2,994 Nations Tax-Exempt Reserves, Capital Class# 2,994 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $2,994) 2,994 -------- TOTAL INVESTMENTS (Cost $141,038*) 98.9% 149,268 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 1.1% 1,743 -------- NET ASSETS 100.0% $151,011 ========
- ---------- 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. * Cost for federal income tax purposes is $141,038. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 8,322 92 8,230
# Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. ABBREVIATIONS: AMBAC Ambac Assurance Corporation AMT Alternative Minimum Tax CONNIE LEE College Construction Loan Insurance Association FGIC Financial Guaranty Insurance Company FNMA COLL Federal National Mortgage Association collateral FSA Financial Security Assurance Inc. GO General Obligations MBIA MBIA Insurance Corporation NATIONS FUNDS NATIONS KANSAS MUNICIPAL INCOME FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 93.8% KANSAS - 81.7% $1,500 Burlington, Kansas, Environmental Improvement Revenue Refunding, A3/BBB $1,567 (Power and Light Project) Series 1998C, Mandatory Put 10/01/07 @ 100, 4.75% 09/01/15 1,380 Butler & Sedgwick Counties, Andover, Kansas, Unified School District Aaa/AAA 1,633 Number 385, GO Refunding, Series 2000, (FSA Insured), 6.000% 09/01/13 1,600 Dodge, Kansas, Unified School District Number 443, GO Refunding, Aaa/AAA 1,777 Series 2002, (FGIC Insured), 5.000% 03/01/13 1,025 Douglas County, Kansas, Revenue Refunding, Sales Tax, Series 2004A, Aaa/AAA 1,138 (AMBAC Insured), 5.000% 02/01/13 1,045 Douglas County, Kansas, GO, Series 1999, Aa3/AA+ 1,061 4.550% 08/01/05 100 Johnson County, Kansas, Park and Recreation District Certificates of Aaa/AAA 101 Partnership, Series 2003A, (MBIA Insured), 4.000% 09/01/15 50 Johnson County, Kansas, Unified School District Number 21, GO, Aaa/AAA 58 Refunding, Series 2001A, (FSA Insured), 5.500% 10/01/15 150 Johnson County, Kansas, Unified School District Number 232, (School Aaa/AAA 166 Building), GO, (MBIA Insured), 5.000% 09/01/15 500 Johnson County, Kansas, Unified School District Number 233, GO Aaa/AAA 516 Refunding, Series 2001-C, (FGIC Insured), 5.000% 03/01/06 1,000 Johnson County, Kansas, Water District Number 001, Water Revenue, Aaa/AAA 1,103 Series 2001, 5.000% 12/01/12 595 Junction City, Kansas, Water and Sewer Revenue, Series 1996A, (MBIA Aaa/AAA 612 Insured), Prerefunded 09/01/05 @ 101, 4.900% 09/01/07 1,000 Kansas State, Department of Transportation Highway Revenue Aaa/AAA 1,133 Refunding, Series 1998, (AMBAC-TCRS-BNY Insured), 5.500% 09/01/10 670 Kansas State, Development Financing Authority, Health Facilities Aaa/AAA 687 Revenue, (Hays Medical Center Inc. Project) Series 1997B, (MBIA Insured), 4.900% 11/15/05 510 Kansas State, Development Financing Authority, Health Facilities Aaa/AAA 536 Revenue, (Hays Medical Center Inc. Project) Series 1997B, (MBIA Insured), 5.000% 11/15/06 620 Kansas State, Development Financing Authority, Health Facilities Aaa/AAA 634 Revenue, (St. Lukes/Shawnee Mission Project) Series 1996N, (MBIA Insured), 4.700% 11/15/05 675 Kansas State, Development Financing Authority, Health Facilities Aaa/AAA 706 Revenue, (St. Lukes/Shawnee Mission Project) Series 1996N, (MBIA Insured), 4.750% 11/15/06 605 Kansas State, Development Financing Authority, Health Facilities Aaa/AAA 619 Revenue, (St. Lukes/Shawnee Mission Project) Series 1996P, (MBIA
Insured), 4.700% 11/15/05 630 Kansas State, Development Financing Authority, Health Facilities Aaa/AAA 658 Revenue, (St. Lukes/Shawnee Mission Project) Series 1996P, (MBIA Insured), 4.750% 11/15/06 740 Kansas State, Development Financing Authority, Health Facilities Aaa/AAA 781 Revenue, (Stormont-Vail Healthcare Inc. Project) Series 1996F, (MBIA Insured), 5.600% 11/15/07 500 Kansas State, Development Financing Authority, Health Facilities Aaa/AAA 528 Revenue, (Stormont-Vail Healthcare Inc. Project) Series 1996F, (MBIA Insured), 5.750% 11/15/09 890 Kansas State, Development Financing Authority, Health Facilities Aaa/AAA 946 Revenue, (Stormont-Vail Healthcare Inc. Project) Series 1996G, (MBIA Insured), Prerefunded 11/15/06 @ 100, 5.700% 11/15/08 730 Kansas State, Development Financing Authority, Health Facilities Aaa/AAA 777 Revenue, (Stormont-Vail Healthcare Inc. Project) Series 1996G, (MBIA Insured), Prerefunded 11/15/06 @ 100, 5.750% 11/15/09 1,000 Kansas State, Development Financing Authority, Revenue, (Board of Aaa/AAA 1,071 Regents Rehabilitation Project) Series 1997G-2, 5.000% 10/01/10 2,000 Kansas State, Development Financing Authority, Revenue, (Board of Aaa/AAA 2,156 Regents Scientific Research) Series 2003, (AMBAC Insured), 5.000% 10/01/19 1,020 Kansas State, Development Financing Authority, Revenue, (Kansas Aaa/AAA 1,135 State Projects) Series 2001, (AMBAC Insured), 5.500% 03/01/16 2,000 Kansas State, Development Financing Authority, Revenue, Aaa/AAA 2,250 (Regents-Wichita University Project) Series 2000B, (AMBAC Insured), 5.900% 04/01/15 955 Kansas State, Development Financing Authority, Revenue, (Sisters of Aaa/AAA 1,030 Charity Leavenworth Project) Series 1998, 5.000% 12/01/14 1,000 Kansas State, Development Financing Authority, Revenue, Series 2002, Aaa/AAA 1,132 5.500% 11/01/13 1,000 Kansas State, Development Financing Authority, Revenue, Series 2002, Aaa/AAA 1,130 5.500% 11/01/15 1,855 Kansas State, Turnpike Authority, Revenue, Series 2002, (FSA Aaa/AAA 2,113 Insured), 5.250% 09/01/15 1,230 Kansas State, Turnpike Authority, Revenue, Series 2002, (FSA Aaa/AAA 1,402 Insured), 5.250% 09/01/16 1,265 Kansas, University Hospital Authority, Revenue, (Kansas University Aaa/AAA 1,381 Health System Project) Series 1999A, (AMBAC Insured), 5.350% 09/01/12 1,525 Kansas, University Hospital Authority, Revenue, (Kansas University Aaa/AAA 1,669 Health System Project) Series 1999A, (AMBAC Insured), 5.400% 09/01/13 1,000 Lenexa, Kansas, GO Refunding, Series 2003A, Aa2/AA 1,113 5.000% 09/01/11 1,000 Lenexa, Kansas, Public Improvement, Revenue Refunding, Series 2003A, Aa2/AA 1,111 5.00%09/01/12 1,005 Manhattan, Kansas, Hospital Revenue, (Mercy Health Care Center) Aaa/AAA 1,114 Series 2001, (FSA Insured), 5.250% 08/15/10 1,065 Montgomery County, Kansas, Unified School District Number 445, GO, Aaa/AAA 1,264 Series 2002, (FGIC Insured), 6.250% 04/01/12 860 Reno County, Kansas, Unified School District Number 313, GO, Series Aaa/AAA 962 1996B, (FSA Insured), 5.900% 09/01/08 925 Reno County, Kansas, Unified School District Number 313, GO, Series Aaa/AAA 1,052
1996B, (FSA Insured), 5.900% 09/01/09 995 Reno County, Kansas, Unified School District Number 313, GO, Series Aaa/AAA 1,146 1996B, (FSA Insured), 5.900% 09/01/10 1,000 Saline County, Kansas, Unified School District Number 305 Salina, GO Aaa/NR 1,098 Refunding, Series 2005, (FSA Insured), 5.000% 09/01/09 1,010 Saline County, Kansas, Unified School District Number 305, GO Aaa/AAA 1,097 Refunding, Series 1999, (FSA Insured), Prerefunded 09/01/08 @ 100, 5.250% 09/01/13 925 Sedgwick & Shawnee Counties, Kansas, Single Family Revenue, Aaa/AAA 1,016 (Mortgage Backed Securities Program) Series 2003A, (GNMA/FNMA Insured), 6.050% 06/01/27 855 Sedgwick & Shawnee Counties, Kansas, Single Family Revenue, AMT, Aaa/AAA 935 Mortgage Backed Securities Program) Series 2003A-1, (GNMA/FNMA Insured), 6.300% 06/01/27 1,000 Sedgwick County, Kansas, Unified School District No. 259, Go Aaa/AAA 1,112 Refunding, Series 2004, (MBIA Insured), 5.000% 09/01/15 500 Sedgwick County, Kansas, Unified School District Number 262, GO, Aaa/AAA 551 Series 2003, (FSA Insured), 5.000% 11/01/09 495 Sedgwick County, Kansas, Unified School District Number 264, GO, Aaa/AAA 547 Series 2003, (FGIC Insured), 5.125% 09/01/09 550 Sedgwick County, Kansas, Unified School District Number 264, GO, Aaa/AAA 612 Series 2003, (FGIC Insured), 5.125% 09/01/10 1,000 Sedgwick County, Kansas, Unified School District Number 267, GO, Aaa/AAA 1,127 Series 1999, (AMBAC Insured), 5.250% 11/01/11 1,320 Shawnee County, Kansas, GO Refunding & Improvement, Series 1998A, A1/AA 1,459 5.125% 09/01/10 1,660 Shawnee County, Kansas, GO Refunding & Improvement, Series 2002, Aaa/AAA 1,833 (FSA Insured), 5.250% 09/01/17 500 Shawnee County, Kansas, Health Care Facilities Revenue Refunding, Aaa/AAA 509 (Menninger Foundation Project) Series 1995, (FSA Insured), Prerefunded 08/15/05 @ 100, 5.100% 08/15/09 1,000 Shawnee County, Kansas, Unified School District Number 501, GO, Aa3/AA+ 1,089 Series 2002, 5.000% 02/01/14 900 Topeka, Kansas, Washburn University Building Revenue, (Living Aaa/AAA 974 Learning Center Project) Series 2004, (AMBAC Insured), 5.000% 07/01/18 1,260 Wichita, Kansas, GO, Series 2003-772, (FGIC Insured), Aaa/AAA 1,292 4.250% 09/01/16 1,890 Wyandotte County, Kansas, School District Number 500, GO, Series Aaa/AAA 2,026 2002, (FSA Insured), 5.000% 09/01/20 700 Wyandotte County, Kansas, Unified School District Number 500, Aaa/AAA 751 Certificates of Participation, Series 2002, (FSA Insured), ------ 5.000% 12/01/07 59,996 ------ ALASKA - 2.4% 2,000 North Slope Borough, Alaska, Capital Appreciation GO, Series 2000B, Aaa/AAA 1,736 MBIA Insured), 0.0000% 06/30/09 ------ MINNESOTA - 1.5% 1,000 Minneapolis & St. Paul, Minnesota, Metropolitan Airport Commission, Aaa/AAA 1,080 GO Refunding, Series 1998-13, ------
5.000% 01/01/10 NORTH CAROLINA - 2.2% 1,575 North Carolina, Medical Care Commission Revenue, (Healthcare Housing Baa/AA- 1,586 Project) Series 2004A, ------- 5.500% 10/01/24 OHIO - 0.8% 500 Dayton, Ohio, Special Facilities Revenue, (Air Freight Corporation A1/BB+ 566 Project) Series 1988D, AMT, ------- 6.200% 10/01/09 SOUTH CAROLINA - 3.4% 2,000 Calhoun County, South Carolina, Solid Waste Disposal Facility A2/BBB- 2,505 Revenue, (Carolina Eastman Company Project) Series 1992, AMT, ------- 6.750% 05/01/17 VIRGIN ISLANDS - 0.3% 200 Virgin Islands, Finance Authority Revenue, Series 2004, NR/BBB 215 5.000% 10/01/10 ------- WASHINGTON - 1.5% 1,000 Northwest Washington, Energy Northwest Electric Revenue Refunding, Aaa/AAA 1,138 (Columbia Generating) Series 2002A, (MBIA Insured), ------- 5.750% 07/01/18 TOTAL MUNICIPAL BONDS AND NOTES (Cost $66,009) 68,822 ------- SHARES (000) AFFILIATED INVESTMENT COMPANIES - 6.9% 5,084 Nations Tax-Exempt Reserves, Capital Class# 5,084 ------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $5,084) 5,084 ------- TOTAL INVESTMENTS (Cost $71,093*) 100.7% 73,906 ------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (0.7)% (484) ------- NET ASSETS 100.0% $73,422 =======
- ---------- 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 consider 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. * Cost for federal income tax purposes is $71,093. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 2,876 63 2,813
# Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. ABBREVIATIONS: AMBAC Ambac Assurance Corporation AMBAC-TCRS American Municipal Bond Assurance Corporation Transferable Custodial Receipts AMT Alternative Minimum Tax FGIC Financial Guaranty Insurance Company FNMA Federal National Mortgage Association FNMA COLL Federal National Mortgage Association collateral FSA Financial Security Assurance Inc. GO General Obligations GNMA Government National Mortgage Association MBIA MBIA Insurance Corporation NATIONS FUNDS NATIONS MARYLAND INTERMEDIATE MUNICIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 98.4% MARYLAND - 83.9% $ 4,045 Anne Arundel County, Maryland, GO, Series 2003, Aa1/AA+ $4,516 5.000% 03/01/13 500 Anne Arundel County, Maryland, Consolidated General Improvement GO Aa1/AA+ 509 Refunding, Series 1995, 5.300% 04/01/10 2,855 Anne Arundel County, Maryland, GO, Series 1995, Aa1/AA+ 2,905 5.200% 04/01/08 1,375 Baltimore, Maryland, Board of School Commissioners School System Aa1/AA+ 1,530 Revenue, Series 2003A, 5.000% 05/01/12 2,075 Baltimore, Maryland, Consolidated Public Improvement GO, Aaa/AAA 2,301 Series 1991C, (FGIC Insured), 6.375% 10/15/07 1,740 Baltimore, Maryland, Consolidated Public Improvement GO, Aaa/AAA 1,913 Series 1997A, (FGIC Insured), Prefunded 10/15/07 @ 102, 5.300% 10/15/16 1,000 Baltimore, Maryland, Consolidated Public Improvement GO, Aaa/AAA 1,093 Series 1998B, (FGIC Insured), 6.500% 10/15/08 1,000 Baltimore, Maryland, Convention Center Revenue Refunding, Aaa/AAA 1,045 Series 1998, (MBIA Insured), 5.000% 09/01/06 1,725 Baltimore, Maryland, Exchanged Revenue, Series 1996A, Aaa/AAA 1,981 (FGIC Insured), 5.900% 07/01/10 1,000 Baltimore, Maryland, GO, Series 1989B, (MBIA Insured), Aaa/AAA 1,126 7.050% 10/15/07 800 Calvert County, Maryland, PCR Refunding, (Baltimore Gas and Electric A2/BBB 817 Company Project) Series 1993, 5.550% 07/15/14 250 Cumberland, Maryland, GO Refunding, Series 1994A, (FGIC Insured), Aaa/AAA 255 5.250% 05/01/21 1,000 Harford County, Maryland, GO, Series 1997, Aa1/AA+ 1,091 5.500% 12/01/07 20 Howard County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 20 Series 1993A, Prerefunded 08/15/05 @ 100, 5.250% 08/15/06 1,900 Howard County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 2,082 Series 2000A, 5.250% 02/15/17 1,220 Howard County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 1,337 Series 2000A, Prerefunded 02/15/08 @ 101, 5.250% 02/15/16 210 Howard County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 230 Series 2000A, Prerefunded 2/15/08 @ 101, 5.250% 02/15/18 3,900 Howard County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 4,298 Series 2002A, 5.000% 08/15/09 280 Howard County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 307 Unrefunded Balance, Series 2000A, 5.250% 02/15/16 1,790 Howard County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 1,962
Unrefunded Balance, Series 2000A, 5.250% 02/15/18 1,800 Howard County, Maryland, Consumer Public Improvement, Prerefunded Aaa/AAA 2,032 GO, Series 2002A, 5.250% 08/15/15 795 Howard County, Maryland, Consumer Public Improvement, Unrefunded Aaa/AAA 885 Balance GO, Series 2002A, 5.250% 08/15/15 1,530 Laurel, Maryland, Public Improvement GO Refunding, 1996A, (FGIC Aaa/AAA 1,612 (FGIC Insured), 5.000% 10/01/11 1,125 Maryland State, Certificates of Participation Revenue, (Aviation Aa3/AA+ 1,183 Administration Facilities Project) Series 1999, AMT, 4.750% 05/01/07 500 Maryland State, Community Development Administration, Department of Aa2/AA+ 523 Housing and Community Development, Revenue, (Residential Project) Series 1998B, AMT, 4.950% 09/01/11 1,000 Maryland State, Community Development Administration, Department of Aa2/AA+ 1,051 Housing and Community Development, Revenue, (Single-Family Program) Series 1997-1, (FHA COLL), 4.950% 04/01/07 4,000 Maryland State, Community Development Administration, Department of Aa2/AA+ 4,171 Housing and Community Development, Revenue, (Single-Family Program) Series 1998-3, AMT, 4.500% 04/01/08 1,685 Maryland State, Community Development Administration, Department of Aa2/AA+ 1,773 Housing and Community Development, Revenue, (Single-Family Program) Series 1998-3, AMT, 4.700% 04/01/10 2,410 Maryland State, Community Development Administration, Department of Aa2/AA+ 2,492 Housing and Community Development, Revenue, Series 1999D, AMT, 5.375% 09/01/24 1,265 Maryland State, Department of Transportation, Revenue, Series 2002, Aa2/AA 1,437 5.500% 02/01/11 6,115 Maryland State, Department of Transportation, Revenue, Series 2002, Aa2/AA 7,042 5.500% 02/01/14 495 Maryland State, Economic Development Corporation, Student Housing Baa2/AA- 520 Revenue, (Collegiate Housing Project) Series 1999A, 5.300% 06/01/08 575 Maryland State, Economic Development Corporation, Student Housing Baa2/AA- 614 Revenue, (Collegiate Housing Project) Series 1999A, 5.600% 06/01/11 1,850 Maryland State, Economic Development Corporation, Student Housing Baa3/AA- 1,921 Revenue, (Salisbury Collegiate Housing Project) Series 1999A, 6.000% 06/01/30 675 Maryland State, Economic Development Corporation, Student Housing Baa3/AA- 719 Revenue, Series 1999A, 5.600% 06/01/10 1,000 Maryland State, Economic Development Corporation, Student Housing Baa3/AA- 1,014 Revenue, Series 1999A, 5.700% 06/01/12 815 Maryland State, Economic Development Corporation, Student Housing Baa3/AA- 864 Revenue, Series 1999A, 6.000% 06/01/19 1,000 Maryland State, GO, Series 1998, Aaa/AAA 1,088 5.000% 07/15/11 510 Maryland State, Health and Higher Education Facilities Authority, Aaa/AAA 553 Revenue, (College of Notre Dame Project) Series 1998, (MBIA Insured), 4.600% 10/01/14 2,000 Maryland State, Health and Higher Education Facilities Authority, Aaa/AAA 2,263 Revenue, (Johns Hopkins Hospital Redevelopment Project) Series 1979, 5.750% 07/01/09 1,000 Maryland State, Health and Higher Education Facilities Authority, Aaa/AAA 1,026 Revenue, (Johns Hopkins Medical Project) Series 1998, 5.000% 07/01/29 5,000 Maryland State, Health and Higher Education Facilities Authority, Aa2/AA 5,747
Revenue, (Johns Hopkins University Project) Series 1999, Prerefunded 07/01/09 @ 101, 6.000% 07/01/39 1,100 Maryland State, Industrial Development Financing Authority, Revenue Aa3/AA+ 1,117 Refunding, (American Center for Physics Facilities Project) Series 2001, (GTY AGMT), 3.650% 12/15/05 1,000 Maryland State, Industrial Development Financing Authority, Revenue Aa3/AA+ 1,110 Refunding, (American Center for Physics Project) Series 2001, (GTY AGMT), 5.250% 12/15/15 500 Maryland State, Stadium Authority, Lease Revenue, (Ocean City Aa2/AA+ 520 Convention Center Project) Series 1995, 5.375% 12/15/13 1,550 Maryland State, State and Local Facilities Loan GO, Series 1996-2, Aaa/AAA 1,648 5.250% 06/15/11 5,500 Maryland State, State and Local Facilities Loan GO, Series 2000, Aaa/AAA 6,177 5.500% 08/01/09 2,970 Maryland State, State and Local Facilities Loan GO, Series 2000, Aaa/AAA 3,394 5.750% 08/01/11 2,245 Maryland State, State and Local Facilities Loan GO, Series 2002, Aaa/AAA 2,591 5.500% 03/01/13 3,090 Maryland State, Transportation Authority Transportation Facilities Aaa/AAA 3,513 Projects Revenue, Series 2004, (FSA Insured), 5.250% 07/01/14 3,000 Maryland State, Transportation Authority, (Baltimore/Washington Aaa/AAA 3,163 International Airport Project) Series 2002A, (AMBAC Insured), 4.500% 03/01/15 710 Maryland State, Transportation Authority, Transportation Revenue, Aaa/AAA 844 (Transportation Facilities Project) Series 1978, 6.800% 07/01/16 4,000 Maryland State, Transportation Authority, Transportation Revenue, A1/A+ 4,074 Series 1992, 5.700% 07/01/05 2,800 Maryland State, Transportation Authority, Transportation Revenue, A1/A+ 2,948 Series 1992, 5.800% 07/01/06 1,000 Maryland, Washington Suburban Sanitation District Authority, General Aaa/AAA 1,085 Construction GO, Series 2000, 5.250% 06/01/22 2,700 Maryland, Washington Suburban Sanitation District Authority, GO Aaa/AAA 2,932 Refunding, Series 2001, 5.000% 06/01/08 2,050 Maryland, Washington Suburban Sanitation District Authority, Water Aaa/AAA 2,069 Supply GO, Series 2001, 4.125% 06/01/05 1,000 Montgomery County, Maryland, Consolidated Public Improvement GO Aaa/AAA 1,053 Refunding, Series 1992A, 5.750% 07/01/06 1,500 Montgomery County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 1,630 Series 1992A, 5.800% 07/01/07 1,000 Montgomery County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 1,086 Series 1997A, 5.375% 05/01/08 1,000 Montgomery County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 1,090 Series 1997A, Prerefunded 05/01/07 @ 102, 5.375% 05/01/13 3,800 Montgomery County, Maryland, GO Refunding, Series 2001, Aaa/AAA 4,278 5.250% 10/01/10 1,000 Montgomery County, Maryland, GO Refunding, Series 2001, Aaa/AAA 1,119 5.250% 10/01/14 1,500 Montgomery County, Maryland, Housing Opportunities Commission, Aaa/AAA 1,574 Multi-Family Mortgage Revenue, Series 2000A, 6.100% 07/01/30 1,500 Northeast Maryland, Solid Waste Disposal Authority, Revenue, A2/AA 1,600 (Montgomery County Resource Recreation Project) Series 1993A, AMT,
6.000% 07/01/07 2,500 Northeast Maryland, Waste Disposal Authority, Revenue Refunding, Aaa/AAA 2,765 Series 2003, (AMBAC Insured), 5.500% 04/01/10 2,000 Prince Georges County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 2,184 Series 1999, 5.000% 10/01/12 3,300 Prince Georges County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 3,632 Series 1999, (FSA Insured), 5.125% 10/01/16 1,000 Prince Georges County, Maryland, Consolidated Public Improvement GO, Aa3/AA 1,096 Series 2000, 5.125% 10/01/08 1,000 Prince Georges County, Maryland, Consolidated Public Improvement GO, Aa3/AA 1,117 Series 2000, 5.125% 10/01/10 4,825 Prince Georges County, Maryland, Consolidated Public Improvement GO, Aaa/AAA 5,456 Series 2001, (FGIC Insured), 5.250% 12/01/11 3,970 Prince Georges County, Maryland, Construction Public Improvements GO, Aaa/AAA 4,049 Series 1995, (MBIA Insured), Prerefunded 01/01/05 @ 102, 5.500% 01/01/10 4,650 Prince Georges County, Maryland, Construction Public Improvements GO, Aaa/AAA 5,225 Series 2001, (FGIC Insured), 5.250% 12/01/12 50 Prince Georges County, Maryland, Housing Authority, Single-Family Aaa/AAA 53 Mortgage Revenue, Series 2000A, AMT, 6.150% 08/01/19 1,500 Prince Georges County, Maryland, PCR Refunding, (Potomac Electric A3/A- 1,701 Power Project) Series 1995, 5.750% 03/15/10 4,135 Prince Georges County, Maryland, Solid Waste Management System Aaa/AAA 4,483 Revenue, (MBIA Insured), 5.000% 06/15/08 1,200 Queen Annes County, Maryland, School and Public Facilities GO, Aaa/AAA 1,328 Series 2000, 5.250% 01/15/14 2,620 St. Mary's County, Maryland, GO Refunding, Series 2003, Aa3/AA- 2,647 2.750% 11/01/06 2,565 St. Mary's County, Maryland, GO Refunding, Series 2003, Aa3/AA- 2,615 3.000% 11/01/07 3,520 University of Maryland, Systems Auxiliary Facilities and Tuition Aa3/AA+ 3,701 Revenue, Series 1996A, Prerefunded 04/01/06 @ 101, 5.600% 04/01/13 3,115 University of Maryland, Systems Auxiliary Facilities and Tuition Aa3/AA+ 3,275 Revenue, Series 1996A, Prerefunded 04/01/06 @ 101, 5.600% 04/01/14 1,000 University of Maryland, Systems Auxiliary Facilities and Tuition Aa3/AA+ 1,067 Revenue, Series 1997A, 5.125% 04/01/13 1,975 University of Maryland, Systems Auxiliary Facilities and Tuition Aa3/AA+ 2,153 Revenue, Series 2000A, 5.000% 10/01/08 1,290 Wicomico County, Maryland, Public Improvement GO, Series 1997, Aaa/AAA 1,379 (MBIA Insured), 4.800% 12/01/10 1,355 Wicomico County, Maryland, Public Improvement GO, Series 1997, Aaa/AAA 1,451 (MBIA Insured), 4.900% 12/01/11 1,425 Wicomico County, Maryland, Public Improvement GO, Series 1997, Aaa/AAA 1,535 (MBIA Insured), ------- 5.000% 12/01/12 175,375 ------- DISTRICT OF COLUMBIA - 0.2% 350 Washington, District of Columbia, Metropolitan Area Transportation Aaa/AAA 405 Authority, Revenue Refunding, Series 1993, (FGIC Insured), -------
6.000% 07/01/10 FLORIDA - 1.5% 2,915 Orange County, Florida, Solid Waste Facilities Revenue Refunding, Aaa/AAA 3,152 Series 2003, (MBIA Insured), ----- 5.000% 10/01/15 GUAM - 0.3% 600 Guam, Government GO, Series 1993A, A2/B 596 5.200% 11/15/08 ----- ILLINOIS - 0.4% 1,990 Will County, Illinois, Student Housing Revenue, (Joliet Junior NR/NR 920 College Project) Series 2002A, ----- 6.625% 09/01/23 (a) KANSAS - 0.5% 1,000 Burlington, Kansas, Environmental Improvement Revenue Refunding, A3/BBB 1,045 (Power and Light Project) Series 1998K, Mandatory Put 10/01/07 @ ----- 100, 4.750% 09/01/15 MISSISSIPPI - 2.4% 1,000 Mississippi State, Hospital Facilities and Equipment Authority, Aaa/AAA 1,116 Revenue, (Forrest County General Hospital Project) Series 2000, (FSA Insured), 5.625% 01/01/20 3,100 Mississippi State, Hospital Facilities and Equipment Authority, Aaa/AAA 3,331 Revenue, (Forrest County General Hospital Project) Series 2000, (FSA Insured), 5.500% 01/01/24 500 Warren County, Mississippi, Environmental Improvement Revenue Baa2/BBB 547 Refunding, (International Paper Company Project) Series 2000A, AMT, ----- 6.700% 08/01/18 4,994 ----- MISSOURI - 0.1% 185 St. Louis County, Missouri, Mortgage Revenue, Series 1989A, (GNMA Aaa/AAA 208 Collateral FHA/VA Mortgages), ----- 7.950% 08/01/09 PUERTO RICO - 2.8% 5,000 Puerto Rico, Public Buildings Authority, Revenue GTD Refunding, Aaa/AAA 5,850 Government Facilities, Series 2003H, (AMBAC Insured), ----- 5.500% 07/01/18 TENNESSEE - 1.7% 1,355 Maury County, Tennessee, Industrial Development Board, Multi-Model A3/BBB 1,389 PCR Refunding, (General Motors Corporation - Saturn Corporation Project) Series 1994, 6.500% 09/01/24 2,000 Memphis-Shelby County, Tennessee, Airport Authority, Special Baa2/BBB 2,133 Facilities Revenue Refunding, (Federal Express Corporation Project) ----- Series 2001, 5.000% 09/01/09 3,522 ----- TEXAS - 4.6% 3,000 Austin, Texas, Utilities System Revenue, Refunding, Series 1997, Aaa/AAA 3,207 (FSA Insured), 5.125% 11/15/13 2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Baa2/BBB- 2,192 Series 2002, 6.000% 10/01/16 2,000 San Antonio, Texas, Electric and Gas Systems, GO Refunding, Aa1/AA+ 2,165 Series 1998A, 5.250% 02/01/16 2,000 Texas State, Water Development Board, Revenue, Series 1997, Aaa/AAA 2,137 5.000% 07/15/12 -----
9,701 ------- TOTAL MUNICIPAL BONDS AND NOTES (Cost $196,232) 205,768 -------
SHARES (000) - ------ AFFILIATED INVESTMENT COMPANIES - 0.4% 838 Nations Tax-Exempt Reserves, Capital Class# 838 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $838) 838 -------- TOTAL INVESTMENTS (Cost $197,070*) 98.8% 206,606 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 1.2% 2,421 -------- NET ASSETS 100.0% $209,027 ========
- ---------- 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 consider 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. * Cost for federal income tax purposes is $197,070. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation ------------ ------------ -------------- 10,772 1,236 9,536
# Money market mutual fund registered under the Investment Company Act of 1940, as amended, and sub-advised by Banc of America Capital Management, LLC. (a) Restricted security. ABBREVIATIONS: AMBAC Ambac Assurance Corporation AMT Alternative Minimum Tax FGIC Financial Guaranty Insurance Company FHA Federal Housing Authority FHA COLL Federal Housing Authority collateral FSA Financial Security Assurance Inc. GO General Obligations GNMA Government National Mortgage Association GTY-AGMT Guarantee Agreement MBIA MBIA Insurance Corporation NR Not Rated VA Veterans Administration NATIONS FUNDS NATIONS NORTH CAROLINA INTERMEDIATE MUNICIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 98.8% NORTH CAROLINA - 94.2% $1,000 Brunswick County, North Carolina, Certificates of Participation, Aaa/AAA $1,108 Series 2000, 5.500% 06/01/20 2,000 Cabarrus County, North Carolina, Certificates of Participation, Aa3/AA- 2,240 Installment Financing Contract, Series 2001, 5.500% 04/01/13 1,500 Cabarrus County, North Carolina, GO, Series 1997, (MBIA Insured), Aaa/AAA 1,621 5.300% 02/01/13 1,500 Catawba County, North Carolina, Certificates of Participation, Aaa/NR 1,686 (Public School & Community College Project) Series 2004, (MBIA Insured), 5.250% 06/01/14 1,200 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, Aaa/AAA 1,216 (MBIA Insured), 4.750% 07/01/05 1,275 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, Aaa/AAA 1,322 (MBIA Insured), 4.850% 07/01/06 1,260 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, Aaa/AAA 1,332 (MBIA Insured), 5.000% 07/01/07 1,000 Charlotte, North Carolina, Airport Revenue, Series 1999B, AMT, Aaa/AAA 1,105 (MBIA Insured), 6.000% 07/01/24 1,000 Charlotte, North Carolina, GO, Series 2000, Aaa/AAA 1,127 5.500% 06/01/12 1,570 Charlotte, North Carolina, GO, Series 2002C, Aaa/AAA 1,697 5.000% 07/01/20 1,265 Charlotte, North Carolina, GO, Series 2002C, Aaa/AAA 1,338 5.000% 07/01/22 1,500 Charlotte, North Carolina, GO, Series 2003, Aaa/AAA 1,604 4.250% 07/01/11 1,315 Charlotte, North Carolina, Storm Water Fee Revenue, Refunding, Aa2/AA+ 1,459 Series 2002, 5.250% 06/01/15 1,670 Charlotte, North Carolina, Water and Sewer GO, Series 1996, Aaa/AAA 1,742 5.500% 05/01/06 1,855 Charlotte, North Carolina, Water and Sewer GO, Series 1998, Aaa/AAA 1,995 4.750% 02/01/12 2,545 Charlotte, North Carolina, Water and Sewer Systems Revenue, Aa1/AAA 2,858 Series 1999, Prerefunded 06/01/09 @ 101, 5.375% 06/01/19 2,000 Charlotte-Mecklenburg Hospital Authority, Revenue, Aa3/AA 2,109 (Carolinas Healthcare System Project) Series 1997A, 5.000% 01/15/17 3,000 Charlotte-Mecklenburg Hospital Authority, Revenue, Aa3/AA 3,148 (Carolinas Healthcare System Project) Series 1997A, 5.125% 01/15/22 1,490 Concord, North Carolina, Certificate of Participation, Series 2001, Aaa/AAA 1,589 (MBIA Insured), 5.000% 06/01/17 500 Concord, North Carolina, GO Refunding, Series 1992, Aa2/AA- 504 6.200% 06/01/05 1,000 Craven County, North Carolina, GO, (AMBAC Insured), Aaa/AAA 1,074
5.000% 05/01/19 1,370 Cumberland County, North Carolina, GO Refunding, Series 1998, Aaa/AAA 1,461 (FGIC Insured), 4.750% 02/01/10 1,000 Cumberland County, North Carolina, GO, Series 1998, (FGIC Insured), Aaa/AAA 1,081 5.000% 03/01/17 1,000 Durham, North Carolina, Water and Sewer Utility System Revenue, Aa3/AA 1,093 Series 2001, 5.250% 06/01/16 1,150 Fayetteville, North Carolina, Public Works Commission Revenue Aaa/AAA 1,222 Refunding, Series 1997, (FSA Insured), 5.250% 03/01/07 1,945 Forsyth County, North Carolina, GO, Series 2003B, Aaa/AAA 2,015 4.750% 03/01/22 1,500 Gaston County, North Carolina, GO, Series 2002, (AMBAC Insured), Aaa/AAA 1,641 5.250% 06/01/20 1,000 Greensboro, North Carolina, Combined Enterprise Systems Revenue, Aa3/AA+ 1,068 Series 1998A, 5.000% 06/01/18 1,305 Greensboro, North Carolina, Enterprise Systems Revenue, Aa3/AA+ 1,433 Series 1998A, 5.500% 06/01/08 1,000 Greensboro, North Carolina, Public Improvement GO, Series 1998, Aa1/AAA 1,067 4.700% 04/01/10 2,180 Greenville, North Carolina, Certificates of Participation, Aaa/AAA 2,367 (Public Facilities & Equipment Project) Series 2004, (AMBAC Insured), 5.250% 06/01/22 1,000 Greenville, North Carolina, Utilities Commission Revenue, Aaa/AAA 1,101 Series 2000A, (MBIA Insured), 5.500% 09/01/19 4,000 Haywood County, North Carolina, Industrial Facilities and Pollution Baa2/AA- 4,311 Control Financing Authority, Solid Waste Disposal Revenue Refunding, (Champion International Corporation Project) Series 1999, AMT, 6.400% 11/01/24 500 Haywood County, North Carolina, Industrial Facilities and Pollution Baa2/BBB 515 Control Financing Authority, Solid Waste Disposal Revenue, (Champion International Corporation Project) Series 1993, AMT, 5.500% 10/01/18 1,275 High Point, North Carolina, Water and Sewer GO, Series 2002, Aaa/AAA 1,367 (MBIA Insured), 4.500% 06/01/14 1,955 Iredell County, North Carolina, Public Facilities Corporate Aaa/AAA 2,183 Installment Payment Revenue, (School Projects) Series 2000, (AMBAC Insured), 5.500% 06/01/09 2,180 Iredell County, North Carolina, Public Facilities Corporate Aaa/AAA 2,438 Installment Payment Revenue, (School Projects) Series 2000, (AMBAC Insured), Prerefunded 06/01/10 @ 101, 5.125% 06/01/18 1,305 Johnston County, North Carolina, GO, Series 2000, (FGIC Insured), Aaa/AAA 1,465 5.500% 03/01/12 1,925 Johnston County, North Carolina, GO, Series 2000, (FGIC Insured), Aaa/AAA 2,173 5.500% 03/01/15 2,700 Johnston County, North Carolina, GO, Series 2000, (FGIC Insured), Aaa/AAA 3,041 5.500% 03/01/16 1,300 Martin County, North Carolina, Industrial Facilities and Baa2/BBB 1,305 Pollution Control Financing Authority, Solid Waste Disposal Revenue, (Weyerhaeuser Company Project) Series 1993, AMT, 5.650% 12/01/23 1,000 Mecklenburg County, North Carolina, GO Refunding, Series 1993, Aaa/AAA 1,168 6.000% 04/01/11 1,800 Mecklenburg County, North Carolina, GO, Series 2000D, Aaa/AAA 1,979 5.000% 04/01/11 1,170 Mecklenburg County, North Carolina, GO, Series 2001A, Aaa/AAA 1,273 5.000% 04/01/16 2,000 Mecklenburg County, North Carolina, GO, Series 2001A, Aaa/AAA 2,171
5.000% 04/01/17 1,665 Mecklenburg County, North Carolina, Industrial Facilities and Aa3/BBB+ 1,669 Pollution Control Financing Authority, Revenue Refunding, (Flour Corporation Project) Series 1993, 5.250% 12/01/09 1,195 Morganton, North Carolina, Water and Sewer GO, Series 1995, Aaa/AAA 1,237 (FGIC Insured), Prerefunded 06/01/05 @ 102, 5.700% 06/01/11 1,750 New Hanover County, North Carolina, GO, Series 2001, Aa2/AA 1,879 4.600% 06/01/14 2,000 New Hanover County, North Carolina, GO, Series 2001, Aa2/AA 2,170 5.000% 06/01/17 1,000 North Carolina Capital Facilities Finance Agency Educational Aaa/AAA 1,078 Facilities Revenue, (Johnson & Wales University Project) Series 2003A, (XLCA Insured), 5.250% 04/01/21 1,000 North Carolina Capital Facilities Finance Agency Exempt Facilities Aa3/BBB 1,010 Revenue, (Waste Management of Carolinas Project), Series 2001, 3.750% 08/01/14 3,000 North Carolina State, GO, Series 1997A, Aa1/AAA 3,104 5.100% 03/01/06 5,000 North Carolina State, GO, Series 2001A, Aa1/AAA 5,412 4.750% 03/01/14 1,000 North Carolina, Appalachian State University Revenue Refunding, Aaa/AAA 1,109 (Utility Systems Project) Series 1998, (MBIA Insured), 5.000% 05/15/12 1,000 North Carolina, Appalachian State University Revenue Refunding, Aaa/AAA 1,074 Series 1998, (MBIA Insured), 5.000% 05/15/18 1,000 North Carolina, Appalachian State University Revenue, Series 2003A, Aaa/AAA 1,087 (FGIC Insured), 5.125% 05/01/18 2,165 North Carolina, Eastern Municipal Power Authority, Revenue, Aaa/BBB 2,404 Series 1986A, 5.000% 01/01/17 1,175 North Carolina, Housing Finance Agency, Revenue, Aa2/AA 1,209 (Home Ownership Project) Series 1998A-2, AMT, 5.200% 01/01/20 775 North Carolina, Housing Finance Agency, Revenue, Aa2/AA 818 (Home Ownership Project) Series 1999A-6, AMT, 6.000% 01/01/16 670 North Carolina, Housing Finance Agency, Revenue, Aa2/AA 708 (Home Ownership Project) Series 2000A-8, AMT, 5.950% 07/01/10 495 North Carolina, Housing Finance Agency, Revenue, Aa2/AA 521 (Home Ownership Project) Series 2000A-8, AMT, 6.050% 07/01/12 970 North Carolina, Housing Finance Agency, Revenue, Aaa/AAA 1,012 (Home Ownership Project) Series 2002A-14, AMT (AMBAC Insured), 4.400% 07/01/10 1,380 North Carolina, Housing Finance Agency, Revenue, Series 1999A-3, Aa2/AA 1,425 AMT, 5.150% 01/01/19 3,315 North Carolina, Housing Finance Agency, Single-Family Housing Aa2/AA 3,445 Revenue, (Home Ownership Project) Series 1998A-1, AMT, 5.350% 01/01/17 385 North Carolina, Housing Finance Agency, Single-Family Housing Aa2/AA 393 Revenue, Series 1994Y, 6.300% 09/01/15 2,650 North Carolina, Housing Financing Agency, Series 1999A-5, AMT, Aa2/AA 2,765 5.550% 01/01/19 1,800 North Carolina, Infrastructure Finance Corporation Lease Purchase Aa2/AA+ 2,022 Revenue, (North Carolina Facilities Project) Series 2004, 5.250% 11/01/15 2,605 North Carolina, Medical Care Commission, Health Care Facilities Aaa/AAA 2,838 Revenue Refunding, (Novant Health, Inc. Project) Series 1998A, (MBIA Insured),
5.000% 10/01/08 2,000 North Carolina, Medical Care Commission, Health Care Facilities Aa3/AA- 2,118 Revenue, (Carolina Medicorp Inc. Project) Series 1996, 5.100% 05/01/07 1,715 North Carolina, Medical Care Commission, Health Care Facilities Aa3/AA- 1,808 Revenue, (Carolina Medicorp Inc. Project) Series 1996, 5.125% 05/01/08 2,000 North Carolina, Medical Care Commission, Health Care Facilities Aa3/AA+ 2,070 Revenue, (Duke University Hospital Project) Series 1996C, 5.250% 06/01/17 1,130 North Carolina, Medical Care Commission, Health Care Facilities Aaa/AAA 1,186 Revenue, (Gaston Memorial Hospital Project) Series 1995, (AMBAC-TCRS Insured), 5.250% 02/15/07 660 North Carolina, Medical Care Commission, Health Care Facilities Baa2/AA- 677 Revenue, (Halifax Regional Medical Center, Inc. Project) Series 1998, 4.600% 08/15/06 3,500 North Carolina, Medical Care Commission, Health Care Facilities Aa3/AA- 3,732 Revenue, (Novant Health Obligation Group Project) Series 2003A, 5.000% 11/01/17 1,000 North Carolina, Medical Care Commission, Health Care Facilities Aa3/AA- 991 Revenue, (Pitt County Memorial Hospital Project) Series 1998B, 4.750% 12/01/28 1,000 North Carolina, Medical Care Commission, Hospital Revenue Refunding, Aaa/AAA 1,050 (Stanley Memorial Hospital Project) Series 1996, (AMBAC Insured), 5.250% 10/01/06 2,750 North Carolina, Medical Care Commission, Hospital Revenue, A1/A+ 2,883 (Gaston Memorial Hospital Project) Series 1995, 5.400% 02/15/11 1,000 North Carolina, Medical Care Commission, Hospital Revenue, Aaa/AAA 1,103 (Northeast Medical Center Project) Series 2002A, (AMBAC Insured), 5.000% 11/01/10 1,000 North Carolina, Medical Care Commission, Hospital Revenue, Aa3/AA- 1,054 (Pitt County Memorial Hospital Project) Series 1998B, 5.000% 12/01/18 2,000 North Carolina, Municipal Power Agency Number 1, Revenue, Aaa/AAA 2,189 Series 1992, (MBIA-IBC Insured), 7.250% 01/01/07 1,000 Orange County, North Carolina, GO, Series 2000, Aa1/AA+ 1,110 5.300% 04/01/17 4,645 Orange County, North Carolina, GO, Series 2000, Aa1/AA+ 5,158 5.300% 04/01/18 1,390 Pitt County, North Carolina, Certificates of Participation, Aaa/AAA 1,562 (School Facilities Project) Series 2000B, 5.750% 04/01/16 1,000 Pitt County, North Carolina, Certificates of Participation, Aaa/AAA 1,090 (School Facilities Project) Series 2000B, 5.500% 04/01/25 1,000 Pitt County, North Carolina, Hospital Revenue, (Pitt County Memorial Aaa/AAA 1,058 Hospital Project) Series 1995, 5.250% 12/01/21 1,000 Raleigh, North Carolina, Combined Enterprise System Revenue, Aa1/AAA 1,064 Series 1996, 5.250% 03/01/07 1,910 Raleigh, North Carolina, GO, Series 1996, Aaa/AAA 2,030 5.300% 06/01/16 1,000 Raleigh, North Carolina, North Carolina State University Revenue, Aa3/AA 1,089 Series 2003A, 5.000% 10/01/17 1,000 Randloph County, North Carolina, Certificate of Participation, Aaa/AAA 1,090 Refunding, Series 2004, 5.000% 06/01/18 2,395 Randolph County, North Carolina, Certificates of Participation, Aaa/AAA 2,645 Refunding, Series 2003, (FSA Insured), 5.000% 06/01/14 2,000 Randolph County, North Carolina, Certificates of Participation, Aaa/AAA 2,212 Refunding, Series 2004, (FSA Insured),
5.000% 06/01/15 1,000 Randolph County, North Carolina, Certificates of Participation, Aaa/AAA 1,115 Series 2000, (FSA Insured), 5.200% 06/01/12 1,000 Randolph County, North Carolina, Certificates of Participation, Aaa/AAA 1,119 Series 2000, (FSA Insured), 5.300% 06/01/13 2,115 Randolph County, North Carolina, Certificates of Participation, Aaa/AAA 2,384 Series 2000, (FSA Insured), 5.500% 06/01/14 1,000 Randolph County, North Carolina, Certificates of Participation, Aaa/AAA 1,127 Series 2000, (FSA Insured), 5.500% 06/01/15 1,350 Randolph County, North Carolina, Certificates of Participation, Aaa/AAA 1,536 Series 2000, (FSA Insured), 5.750% 06/01/22(a) 1,000 Robeson County, North Carolina, Industrial Facilities PCR Refunding, Aa2/A 1,074 (Campbell Soup Company Project) Series 1991, 6.400% 12/01/06 1,045 Union County, North Carolina, Enterprise System Revenue, Series Aaa/AAA 1,128 2003A, (FSA Insured), 5.000% 06/01/16 1,705 University of North Carolina, Certificates of Participation, Series Aaa/NR 1,883 2004, (AMBAC Insured), 5.000% 06/01/12 1,690 University of North Carolina, Chapel Hill Hospital Revenue Aaa/AAA 1,856 Refunding, Series 1999, (AMBAC Insured), 5.250% 02/15/12 3,000 University of North Carolina, Revenue Refunding, Series 2002B, Aa1/AA+ 3,156 5.000% 12/01/06 1,815 Wake County, North Carolina, GO, Series 1996, Aaa/AAA 1,901 4.600% 03/01/11 3,065 Wake County, North Carolina, Hospital Revenue, Series 1993, Aaa/AAA 3,346 (MBIA Insured), 5.125% 10/01/26 1,550 Wilmington, North Carolina, Certificates of Participation, Series Aaa/AAA 1,688 1999A, (MBIA Insured), 5.350% 06/01/24 1,240 Wilmington, North Carolina, Certificates of Participation, Series Aaa/AAA 1,358 2003A, (AMBAC Insured), 5.000% 06/01/14 1,000 Wilmington, North Carolina, Public Improvement GO, Series 1997A, Aaa/AAA 1,075 (FGIC Insured), 5.000% 04/01/11 1,000 Wilmington, North Carolina, Public Improvement GO, Series 1997A, Aaa/AAA 1,075 (FGIC Insured), 5.000% 04/01/13 ------- 182,991 ------- ARIZONA - 0.6% 1,000 Arizona, University Medical Center Corporation, Hospital Revenue A3/BBB+ 1,093 Refunding, Series 2004, (GO of University), ------- 5.250% 07/01/13 PUERTO RICO - 0.6% 1,000 Puerto Rico, Electric Power Authority, Power Revenue Refunding, Aaa/AAA 1,113 Series 1995Y, (MBIA Insured), ------- 7.000% 07/01/07 SOUTH CAROLINA - 1.0% 1,500 Calhoun County, South Carolina, Solid Waste Disposal Facility A2/BBB- 1,878 Revenue, (Carolina Eastman Company Project) Series 1992, AMT, ------- 6.750% 05/01/17
TENNESSEE - 0.7% 1,325 Tennessee State, GO, Series 1999B, (FSA Insured), Aaa/AAA 1,466 5.250% 05/01/17 -------- TEXAS - 1.1% 2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Baa2/BBB- 2,113 Series 2002, -------- 5.000% 10/01/07 WASHINGTON - 0.6% 1,150 Washington State, Public Power Supply Systems Revenue Refunding, Aaa/AAA 1,244 Series 1993A, (MBIA-IBC Insured), -------- 5.800% 07/01/07 TOTAL MUNICIPAL BONDS AND NOTES (Cost $179,936) 191,898 --------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 0.3% 661 Nations Tax-Exempt Reserves, Capital Class# 661 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $661) 661 -------- TOTAL INVESTMENTS (Cost $180,597*) 99.1% 192,559 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.9% 1,765 -------- NET ASSETS 100.0% $194,324 ========
- ---------- 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. * Cost for federal income tax purposes is $180,597. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 12,072 110 11,962
# Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. ABBREVIATIONS: AMBAC - American Municipal Bond Assurance Corporation AMBAC-TCRS-American Municipal Bond Assurance Corporation-Transferable Custodial Receipts AMT - Alternative Minimum Tax FGIC - Financial Guaranty Insurance Company FSA - Financial Security Assurance GO - General Obligation MBIA - Municipal Bond Insurance Association MBIA IBC - Municipal Bond Insurance Association Insured Bond Certificate PCR - Pollution Control Revenue XLCA - XL Capital Assurance NATIONS FUNDS NATIONS SOUTH CAROLINA INTERMEDIATE MUNICIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 97.9% SOUTH CAROLINA - 88.5% $1,725 Beaufort County, South Carolina, School District, GO, Series 2000B, Aa1/AA+ $1,923 (SCSDE), 5.500% 03/01/16 1,200 Beaufort County, South Carolina, School District, GO, Series 2000C, Aa1/AA+ 1,302 (SCSDE), 5.125% 03/01/12 1,135 Beaufort County, South Carolina, School District, GO, Series 2001A, Aa1/AA+ 1,218 (SCSDE), 5.000% 03/01/18 2,500 Berkeley County, South Carolina, School District, GO, Series 2000, Aa1/AA+ 2,646 (SCSDE), 5.000% 04/01/21 1,000 Berkeley County, South Carolina, Water & Sewer Revenue, Series 2003, Aaa/AAA 1,097 (MBIA Insured), 5.250% 06/01/19 2,790 Berkeley County, South Carolina, Water & Sewer Systems Revenue, Aaa/AAA 3,080 Series 2003, (MBIA Insured), 5.250% 06/01/17 2,000 Calhoun County, South Carolina, Solid Waste Disposal Facility A2/BBB- 2,504 Revenue,(Carolina Eastman Company Project) Series 1992, AMT, 6.750% 05/01/17 1,000 Camden, South Carolina, Combined Public Utilities Revenue Refunding Aaa/AAA 1,079 and Improvement, Series 1997, (MBIA Insured), 5.500% 03/01/17 3,000 Charleston County, South Carolina, Hospital Facilities Revenue Aaa/AAA 3,053 Refunding and Improvement, (Bon Secours Health Systems Project) Series 1993, (FSA Insured), 5.500% 08/15/10 500 Charleston County, South Carolina, Hospital Facilities Revenue Aaa/AAA 509 Refunding and Improvement, (Bon Secours Health Systems Project) Series 1993, (FSA Insured), 5.625% 08/15/25 1,000 Charleston County, South Carolina, Hospital Facilities Revenue Aaa/AAA 1,003 Refunding and Improvement, (Medical Society Health Project) Series 1992, (MBIA Insured), 6.000% 10/01/09 6,370 Charleston County, South Carolina, Hospital Facilities Revenue, Aaa/AAA 7,042 (Care Alliance Health Services Project) Series 1999A, (FSA Insured), 5.125% 08/15/15 1,000 Charleston County, South Carolina, Public Improvement Authority, GO, Aa1/AA+ 1,046 Series 1994, (State Aid Withholding), Prerefunded 06/01/06 @ 100, 5.500% 06/01/14 4,000 Charleston County, South Carolina, Resource Recovery Revenue, Aaa/AAA 4,376 (Foster Wheeler Charleston) Series 1997, (AMBAC Insured), 5.250% 01/01/10 1,000 Charleston County, South Carolina, Revenue, (Care Alliance Health Aaa/AAA 1,084 Services Project) Series 1999A, (FSA Insured), 5.000% 08/15/12 1,040 Charleston County, South Carolina, Solid Waste User Fee Revenue, Aaa/AAA 1,061 Series 1994, (MBIA Insured), 5.800% 01/01/06
5,105 Charleston, South Carolina, Waterworks and Sewer Capital Improvement Aa3/AA- 5,525 Revenue Refunding, Series 1998, 5.250% 01/01/08 1,000 Columbia, South Carolina, Parking Facilities Revenue Refunding, Aaa/AAA 1,023 Series 1994, (AMBAC Insured), 5.750% 12/01/09 7,000 Columbia, South Carolina, Waterworks and Sewer Systems Revenue Aa2/AA 7,771 Refunding, Series 1993, 5.500% 02/01/09 1,500 Darlington County, South Carolina, IDR, (Sonoco Products Company A2/A- 1,546 Project) Series 1995, AMT, 6.125% 06/01/25 1,250 Florence, South Carolina, Water and Sewer Revenue Refunding, Aaa/AAA 1,256 Series 1993, (AMBAC Insured), 5.150% 03/01/06 500 Georgetown County, South Carolina, Environmental Revenue, Baa2/BBB 510 (International Paper Company Project) Series 1997A, AMT, 5.700% 10/01/21 5,000 Georgetown County, South Carolina, PCR Refunding, Baa2/BBB 5,325 (International Paper Company Project) Series 1999A, 5.125% 02/01/12 2,480 Georgetown County, South Carolina, School District, GO, Series 2000, Aa1/AA+ 2,761 (SCSDE), 5.500% 03/01/09 1,000 Georgetown County, South Carolina, School District, GO, Series 2000, Aa1/AA+ 1,093 (SCSDE), 5.250% 03/01/19 4,625 Greenville County, South Carolina, School District, Installment A1/AA- 5,033 Purchase Revenue Refunding, (Building Equity Sooner Tomorrow Project) Series 2003, 5.250% 12/01/16 1,000 Greenville, South Carolina, Hospital Facilities Revenue Refunding, Aa3/AA 1,056 Series 1996A, (GTY-AGMT), 5.400% 05/01/07 2,000 Greenville, South Carolina, Hospital Facilities Revenue Refunding, Aa3/AA 2,083 Series 1996B, (GTY-AGMT), 5.250% 05/01/17 2,000 Greenville, South Carolina, Water Utility Improvement, Aa1/AAA 2,082 Waterworks Revenue, Series 1997, 6.000% 02/01/06 1,000 Greenville, South Carolina, Water Utility Improvement, Aa1/AAA 1,089 Waterworks Revenue, Series 1997, 6.000% 02/01/08 1,500 Greenville, South Carolina, Water Utility Improvement, Aa1/AAA 1,603 Waterworks Revenue, Series 1997, 5.500% 02/01/22 1,555 Greenville, South Carolina, Water Utility Improvement, Aa1/AAA 1,725 Waterworks Revenue, Series 2002, 5.250% 02/01/14 1,000 Hilton Head Island, South Carolina, GO, Series 2001, Aa3/AA 1,080 5.000% 03/01/13 1,440 Hilton Head Island, South Carolina, Revenue, Series 2002, Aaa/AAA 1,599 (MBIA Insured), 5.250% 12/01/16 1,100 Horry County, South Carolina, Hospital Facilities Revenue, Aaa/AAA 1,172 (Conway Hospital, Inc. Project) Series 1998, (AMBAC Insured), 4.750% 07/01/10 1,200 Horry County, South Carolina, Hospital Facilities Revenue, Aaa/AAA 1,276 (Conway Hospital, Inc. Project) Series 1998, (AMBAC Insured), 4.875% 07/01/11 2,000 Lexington County, South Carolina, Health Services District Hospital A2/A 2,104 Revenue, Series 2003, 5.500% 11/01/23 1,180 Lexington County, South Carolina, Health Services District Revenue Aaa/AAA 1,247 Refunding, (Health Service District and Lexmed, Inc. Project) Series 1997, (FSA Insured), 5.500% 11/01/06
3,000 Lexington County, South Carolina, Health Services District Revenue Aaa/AAA 3,190 Refunding, Series 1997, (FSA Insured), 5.125% 11/01/21 2,000 Lexington, South Carolina, Water and Sewer Authority, Revenue, Aa1/AA 2,164 Series 1997, Prerefunded 10/01/14 @ 100, 5.450% 04/01/19 1,575 Medical University, South Carolina, Hospital Facilities Revenue, Baa2/BBB+ 1,758 Series 1999, 5.500% 07/01/09 1,980 Mount Pleasant, South Carolina, Water and Sewer Revenue Refunding Aaa/AAA 2,199 and Improvement, Series 2002, (FGIC Insured), 5.250% 12/01/16 1,270 Mount Pleasant, South Carolina, Water and Sewer Revenue Refunding, Aaa/AAA 1,397 Series 2002, (FGIC Insured), 5.250% 12/01/18 3,040 North Charleston, South Carolina, Sewer District Revenue Refunding, Aaa/AAA 3,427 Series 2002, (FSA Insured), 5.500% 07/01/17 1,600 Piedmont Municipal Power Agency, South Carolina, Electric Revenue Aaa/AAA 1,600 Refunding, Series 1992, (MBIA Insured), 6.000% 01/01/05 5,000 Piedmont Municipal Power Agency, South Carolina, Electric Revenue Aaa/AAA 5,311 Refunding, Series 1996B, (MBIA Insured), 5.250% 01/01/09 3,570 Richland County, South Carolina, School District Number 001, GO Aa1/AA+ 3,903 Refunding, Series 2001A, (SCSDE), 5.250% 03/01/19 2,350 Rock Hill, South Carolina, Water Utility System Revenue, Aaa/AAA 2,644 Series 2003A, (FSA Insured), 5.250% 01/01/13 1,500 Rock Hill, South Carolina, Water Utility System Revenue, Aaa/AAA 1,662 Series 2003A, (FSA Insured), 5.375% 01/01/19 2,000 South Carolina Jobs Economic Development Authority Economic Aa3/BBB+ 1,997 Development Revenue Refunding, (Republic Services Inc. Project), Series 2004, AMT, 3.250% 04/01/34 6,135 South Carolina State, Capital Improvement GO, Series 1996A, Aaa/AAA 6,258 3.500% 07/01/06 1,245 South Carolina State, GO, Series 2000A, Aaa/AAA 1,355 4.800% 03/01/09 1,885 South Carolina State, Highway Improvement GO, Series 1999A, Aaa/AAA 2,036 4.600% 05/01/11 80 South Carolina State, Housing Finance and Development Authority, Aa1/AA 80 Rental Housing Revenue, (Windsor Shores Project) Series 1993B, (FHA Insured), 5.600% 07/01/16 1,250 South Carolina State, Jobs Economic Development Authority, Hospital Aa1/AA 1,308 Facility Revenue, (Georgetown Memorial Hospital Project) Series 2001, 5.250% 02/01/21 4,565 South Carolina State, Port Authority, Revenue, Series 1998, AMT, Aaa/AAA 4,869 (FSA Insured), 5.250% 07/01/13 1,615 South Carolina State, Public Service Authority, Revenue Refunding, Aaa/AAA 1,761 Series 2001A, (FSA Insured), 5.250% 01/01/18 1,480 South Carolina State, Public Service Authority, Revenue Refunding, Aaa/AAA 1,663 Series 2002A, (FSA Insured), 5.500% 01/01/17 2,000 South Carolina State, Public Service Authority, Revenue Refunding, Aaa/AAA 2,144 Series 2002D, (FSA Insured), 5.000% 01/01/18 2,000 South Carolina State, Public Service Authority, Revenue, Aaa/AAA 2,242 Series 1999A, (MBIA Insured), 5.625% 01/01/13
2,730 South Carolina Transportation Infrastructure Bank Revenue, Aaa/AAA 3,032 Series 2004A, (AMBAC Insured), 5.250% 10/01/09 2,000 South Carolina, Grand Strand Water and Sewer Authority, Aaa/AAA 2,241 Revenue Refunding, Series 2002, (FSA Insured), 5.375% 06/01/14 1,500 South Carolina, Jobs Economic Development Authority, Hospital Aaa/AAA 1,539 Facilities Revenue, (Oconee Memorial Hospital, Inc. Project) Series 1995,(CONNIE LEE Insured), 6.150% 03/01/15 5,500 South Carolina, Jobs Economic Development Authority, Hospital Baa2/BBB 6,746 Facilities Revenue, (Palmetto Health Alliance Project) Series 2000A, Prerefunded 12/15/10 @ 102, 7.125% 12/15/15 4,375 South Carolina, Jobs Economic Development Authority, Hospital Aaa/AAA 4,778 Facilities Revenue, Series 1999, (FSA Insured), 5.300% 02/01/14 3,615 South Carolina, Jobs Economic Development Authority, Industrial Aaa/AAA 3,747 Development Revenue, (South Carolina Electric and Gas Company Project) Series 2002B, AMT, 4.200% 11/01/12 3,500 South Carolina, Tobacco Settlement Management Revenue, Series 2001B, Baa2/BBB 3,402 6.375% 05/15/28 3,340 South Carolina, Transportation Infrastructure Book Revenue, Aaa/AAA 3,701 Junior Lien, Series 2001B, (AMBAC Insured), 5.250% 10/01/13 1,985 South Carolina, Transportation Infrastructure Bank Revenue, Aaa/AAA 2,159 Series 2004A, (AMBAC Insured), 5.000% 10/01/16 3,670 South Carolina, Transportation Infrastructure Book Revenue, Aaa/AAA 4,046 Junior Lien, Series 2001B, (AMBAC Insured), 5.250% 10/01/17 1,000 South Carolina, Transportation Infrastructure Revenue, Series 1998A, Aaa/AAA 1,086 (MBIA Insured), 5.000% 10/01/12 1,000 Spartanburg County, South Carolina, Health Services District, Aaa/AAA 1,057 Hospital Revenue Refunding, Series 1997B, (MBIA Insured), 5.125% 04/15/17 1,275 Spartanburg County, South Carolina, School District Number 007, GO, Aa1/AA+ 1,333 Series 2001, (SCSDE), 4.000% 03/01/12 3,240 Spartanburg County, South Carolina, School District Number 007, GO, Aa1/AA+ 3,398 Series 2001, (SCSDE), 4.125% 03/01/13 2,000 Spartanburg County, South Carolina, School District Number 007, GO, Aa1/AA+ 2,209 Series 2001, (SCSDE), 5.000% 03/01/18 2,000 Spartanburg County, South Carolina, Solid Waste Disposal Facilities A1/AA 2,096 Revenue, (BMW U.S. Capital Corporation Project) Series 1994, AMT, (GTY-AGMT), 7.550% 11/01/24 2,850 Spartanburg, South Carolina, Sewer District Sewer Systems Revenue, Aaa/AAA 3,091 Series 1997, AMT, (MBIA Insured), Prerefunded 06/01/07 @ 101, 5.500% 06/01/27 1,020 Winnsboro, South Carolina, Utility Revenue Refunding, Series 1999, Aaa/AAA 1,151 (MBIA Insured), 5.250% 08/15/13 2,000 York County, South Carolina, Exempt Facilities IDR, Ba3/B 1,858 (Hoechst Celanese Corporation Project) Series 1994, AMT, 5.700% 01/01/24 2,000 York County, South Carolina, PCR, Series 2000B1, Aa3/A 2,000 1.950% 09/15/24 3,410 York County, South Carolina, School District Number 003 Rock Hill, Aa1/AA+ 3,785 GO, Series 2001, (SCSDE), 5.000% 03/01/12 ------- 197,405 -------
ILLINOIS - 6.4% 2,500 Chicago, Illinois, GO Refunding, Series 2001A, (MBIA Insured), Aaa/AAA 2,805 5.500% 01/01/14 8,650 Illinois, Educational Facilities Authority Revenue, Series 2003C, Aaa/AAA 9,199 (AMBAC Insured), 5.000% 09/01/18 2,000 Illinois, Metropolitan Pier and Exposition Authority, Dedicated Aaa/AAA 2,279 State Tax Revenue Refunding, (McCormick Plant Expansion) Series -------- 2002B, (MBIA Insured), 5.750% 06/15/23 14,283 -------- TEXAS - 1.5% 3,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Baa2/BBB- 3,287 Series 2002, -------- 6.000% 10/01/16 WASHINGTON - 1.5% 3,000 Northwest Washington, Energy Electric Revenue, (Columbia Generating Aaa/AAA 3,345 Project) Series 2002A, (MBIA Insured), -------- 5.500% 07/01/17 TOTAL MUNICIPAL BONDS AND NOTES (Cost $206,087) 218,320 --------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 1.2% 2,696 Nations Tax-Exempt Reserves, Capital Class# 2,696 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $2,696) 2,696 -------- TOTAL INVESTMENTS (Cost $208,783*) 99.1% 221,016 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.9% 1,912 -------- NET ASSETS 100.0% $222,928 ========
- ---------- 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. * Cost for federal income tax purposes is $208,783. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 12,373 140 12,233
# Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. ABBREVIATIONS: AMBAC - American Municipal Bond Assurance Corporation AMT - Alternative Minimum Tax CONNIE LEE - College Construction Loan Insurance Association FGIC - Financial Guaranty Insurance Company FHA- Federal Housing Authority FSA - Financial Security Assurance GO - General Obligation GTY-AGMT - Guarantee Agreement IDR - Industrial Development Revenue MBIA - Municipal Bond Insurance Association PCR - Pollution Control Revenue SCSDE - South Carolina School District Enhancement NATIONS FUNDS NATIONS TENNESSEE INTERMEDIATE MUNICIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 97.2% TENNESSEE - 90.7% $1,535 Anderson County, Tennessee, GO Refunding, Series 2001, Aaa/AAA $1,667 (FSA Insured), 5.000% 04/01/13 1,075 Blount County, Tennessee, Public Building Authority, GO, (Local Aaa/AAA 1,175 Government Public Improvement) Series 2004B-5-A, (FGIC Insured), 5.000% 06/01/16 500 Blount County, Tennessee, Public Building Authority, Public Facility Aaa/AAA 533 Revenue, Series 1998, (FGIC Insured), 5.000% 04/01/19 1,250 Chattanooga-Hamilton County, Tennessee, Hospital Authority, Revenue Aaa/AAA 1,349 Refunding, (Erlanger Medical Center Project) Series 1993, (FSA Insured), 5.500% 10/01/07 1,000 Dickson County, Tennessee, GO Refunding, Series 2002, Aaa/AAA 1,110 (FGIC Insured), 5.000% 03/01/14 1,000 Dickson County, Tennessee, GO Refunding, Series 2003, Aaa/AAA 1,100 (FGIC Insured), 5.000% 06/01/14 1,000 Franklin, Tennessee, Special School District, GO Refunding, Aa2/AA+ 1,106 Series 2002, 5.000% 06/01/12 2,000 Franklin, Tennessee, Special School District, GO, (FSA Insured), Aaa/AAA 988 4.680%! 06/01/20 500 Hamilton County, Tennessee, GO Refunding, Series 1998B, Aa1/AA+ 553 5.100% 08/01/24 575 Humphreys County, Tennessee, Industrial Development Board, Solid Aa3/AA- 588 Waste Disposal Revenue, (E.I. DuPont de Nemours and Company Project) Series 1994, AMT, 6.700% 05/01/24 1,000 Kingsport, Tennessee, GO, (AMBAC Insured), Aaa/AAA 1,107 5.000% 03/01/14 300 Knox County, Tennessee, Health Educational and Housing Facilities Aaa/AAA 350 Board Revenue Refunding, (Fort Sanders Alliance Project) Series 1993, (MBIA Insured), 7.250% 01/01/09 1,500 Knox County, Tennessee, Health Educational and Housing Facilities Baa1/AA- 1,575 Board Revenue, (University Health Systems Inc. Project) Series 1999, 5.750% 04/01/19 2,000 Knox County, Tennessee, Health Educational and Housing Facilities Aaa/AAA 2,138 Health Board, Hospital Facilities Improvement Revenue Refunding, (Baptist Health System of East Tennessee, Inc. Project) Series 1996, (CONNIE LEE Insured), 5.500% 04/15/11 1,250 Knox County, Tennessee, Public Improvement GO, Series 1998, Aa2/AA 1,301 4.750% 04/01/19 1,330 Lawrenceburg, Tennessee, Public Building Authority, Water and Sewer Aaa/AAA 1,486 GO, Series 2001B, (FSA Insured), 5.500% 07/01/16 1,160 Madison County, Tennessee, GO, Series 2002, Aa3/NR 1,288 5.000% 04/01/13 390 Madison County, Tennessee, GO Unrefunded, Series 2002, Aaa/NR 427 5.000% 04/01/13
750 Maury County, Tennessee, Industrial Development Board, Multi-Model A3/BBB 769 PCR Refunding, (General Motors Corporation - Saturn Corporation Project) Series 1994, 6.500% 09/01/24 1,000 Maury County, Tennessee, Industrial Development Board, Solid Waste Baa1/BBB+ 1,067 Disposal Revenue, (Occidental Petroleum Corporation) Series 2001A, AMT, (GTY-AGMT), 6.250% 08/01/18 2,500 Memphis, Tennessee, GO, Series 2000, Aa2/AA 2,668 5.000% 04/01/17 1,000 Memphis-Shelby County, Tennessee, Airport Authority, Special Baa2/BBB 1,067 Facilities Revenue Refunding, (Federal Express Corporation Project) Series 2002, 5.050% 09/01/12 2,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Aa3/AA 2,291 Electric Revenue, Series 1998B, 5.500% 05/15/13 1,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Aa2/AA 1,068 GO Refunding, Series 1993, 5.250% 05/15/07 595 Metropolitan Government, Nashville and Davidson County, Tennessee, Aaa/AAA 680 Health and Educational Facilities Board, Improvement Revenue Refunding, (Meharry Medical College Project) Series 1996, (AMBAC Insured), 6.000% 12/01/09 505 Metropolitan Government, Nashville and Davidson County, Tennessee, Aaa/AAA 568 Health and Educational Facilities Board, Improvement Revenue Refunding, (Meharry Medical College Project) Series 1996, (AMBAC Insured), 6.000% 12/01/08 500 Metropolitan Government, Nashville and Davidson County, Tennessee, Aaa/AAA 594 Health and Educational Facilities Board, Improvement Revenue Refunding, (Meharry Medical College Project) Series 1996, (AMBAC Insured), 6.000% 12/01/16 1,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Aaa/AAA 1,042 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 1,250 Montgomery County, Tennessee, GO Refunding, Series 2004, Aaa/AAA 1,391 (FGIC Insured), 5.000% 05/01/14 1,000 Overton County, Tennessee, GO, (MBIA Insured), Aaa/AAA 1,102 5.000% 04/01/16 1,545 Rutherford County, Tennessee, GO Refunding, Series 2004, 1,498 4.000% 04/01/21 1,645 Rutherford County, Tennessee, Public Improvement GO, Series 1996, Aa2/AA 1,694 6.000% 04/01/06 1,030 Shelby County, Tennessee, GO Refunding, Series 1996B, Aa2/AA+ 1,093 5.200% 12/01/09 1,000 Shelby County, Tennessee, GO Refunding, Series 1999B, Aa2/AA+ 1,121 5.250% 04/01/11 490 Shelby County, Tennessee, Health Educational and Housing Facilities Aaa/AAA 563 Board, Revenue, (Methodist Health Systems) Series 1995, (MBIA Insured), 6.250% 08/01/09 1,000 Shelby County, Tennessee, Health Educational and Housing Facilities Aa1/AA 1,048 Board, Revenue, (St. Jude's Children's Research Project) Series 1999, 5.375% 07/01/24 10 Shelby County, Tennessee, Health Educational and Housing Facilities Aaa/AAA 11 Board, Revenue, Unrefunded Balance, (Methodist Health Systems Project) Series 1995, (MBIA Insured), 6.250% 08/01/09 400 Shelby County, Tennessee, Public Improvement GO Refunding, Aa2/AA+ 408 Series 1999A, 4.750% 05/01/21 500 Shelby County, Tennessee, Public Improvement GO, Series 1996A, Aa2/AA+ 524 5.625% 06/01/06 2,000 Tennessee State, GO, Series 1999B, (FSA Insured), Aaa/AAA 2,214 5.250% 05/01/17
2,500 Tennessee, Housing Development Agency, Revenue, Aa2/AA 2,234 (Home Ownership Program) Series 1997-3A, AMT, 3.810%! 01/01/08 1,085 Tennessee, Housing Development Agency, Revenue, Aa2/AA 1,139 (Home Ownership Program) Series 1998, AMT, 4.750% 07/01/08 1,135 Tennessee, Housing Development Agency, Revenue, Aa2/AA 1,194 (Home Ownership Program) Series 1998, AMT, 4.850% 07/01/09 1,500 Tennessee, Tennergy Corporation, Gas Revenue, Series 1999, Aaa/AAA 1,595 (MBIA Insured), 5.000% 06/01/07 1,200 Williamson County, Tennessee, GO, Series 2000, Aa1/AA+ 1,343 Prerefunded 03/01/10 @ 100, ------ 5.350% 03/01/17 51,827 ------ FLORIDA - 1.8% 1,020 1,000 Okeechobee County, Florida, Solid Waste Revenue, Aa3/BBB ------ (Various Disposal-Waste Management/Landfill) Series 2004A, 4.200% 07/01/39 ILLINOIS - 1.9% 1,106 1,000 Chicago, Illinois, GO Refunding, Series 2004A, Aaa/AAA ------ (FSA Insured), 5.250% 01/01/17 NORTH CAROLINA - 0.9% 515 500 Haywood County, North Carolina, Industrial Facilities and Pollution Baa2/BBB ------ Control Financing Authority, Solid Waste Disposal Revenue, (Champion International Corporation Project) Series 1993, AMT, 5.500% 10/01/18 TEXAS - 1.9% 1,057 1,000 Texas State, Public Finance Authority, GO Refunding, Series 1997, Aa1/AA ------ 5.000% 10/01/15 TOTAL MUNICIPAL BONDS AND NOTES 55,525 (Cost $52,429) ------
SHARES (000) - ---------- AFFILIATED INVESTMENT COMPANIES - 2.7% 1,524 Nations Tax-Exempt Reserves, Capital Class# 1,524 ------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $1,524) 1,524 ------- TOTAL INVESTMENTS (Cost $53,953*) 99.9% 57,049 ------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.1% 78 ------- NET ASSETS 100.0% $57,127 =======
- ---------- 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. * Cost for federal income tax purposes is $53,953. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 3,123 27 3,096
! 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 sub-advised by Banc of America Capital Management, LLC. ABBREVIATIONS: AMBAC - American Municipal Bond Assurance Corporation AMT - Alternative Minimum Tax CONNIE LEE - College Construction Loan Insurance Association FGIC - Financial Guaranty Insurance Company FNMA COLL - Federal National Mortgage Association Collateral FSA - Financial Security Assurance GO - General Obligation GTY-AGMT - Guarantee Agreement MBIA - Municipal Bond Insurance Association PCR - Pollution Control Revenue NATIONS FUNDS NATIONS TEXAS INTERMEDIATE MUNICIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 96.7% TEXAS - 90.0% $1,000 Allen, Texas, Independent School District, GO, Series 2004, Aaa/AAA $1,082 (PSF-GTD Insured), 5.000% 02/15/17 2,025 Arlington, Texas, Independent School District, GO Refunding, Aaa/AAA 2,204 Series 2004, (PSF-GTD), 5.000% 02/15/16 3,410 Austin, Texas, Electric Utility System Revenue Refunding, Aaa/AAA 3,896 Series 2002, (FSA Insured), 5.500% 11/15/12 2,000 Austin, Texas, Electric Utility System Revenue Refunding, Aaa/AAA 2,293 Series 2002A, (AMBAC Insured), 5.500% 11/15/13 4,000 Austin, Texas, Independent School District, GO, Series 2004, Aaa/AAA 4,425 (PSF-GTD Insured), 5.000% 08/01/12 500 Austin, Texas, Public Improvement, GO, Series 1999, Aa2/AA+ 547 5.375% 09/01/18 2,500 Austin, Texas, Utility System Revenue Refunding, Series 1992, Aaa/AAA 2,142 (AMBAC Insured), 3.220%! 11/15/09 1,030 Barbers Hill, Texas, Independent School District, GO Refunding, Aaa/AAA 1,083 Series 2003, (PSF-GTD), 5.000% 02/15/22 2,585 Belton, Texas, Independent School District, GO Refunding, Aaa/AAA 2,820 Series 1998, (PSF-GTD), 5.250% 08/15/08 1,290 Brazosport, Texas, Independent School District, GO, Series 1996, Aaa/NR 1,336 (PSF-GTD Insured), 5.400% 02/15/13 4,115 Cedar Hill, Texas, Independent School District, GO, Series 2000, Aaa/AAA 2,241 (PSF-GTD), 5.300%! 08/15/16 2,840 Cedar Hill, Texas, Independent School District, GO, Series 2000, Aaa/AAA 1,444 (PSF-GTD), 5.430%! 08/15/17 2,065 Corpus Christi, Texas, Business and Job Development Corporation, Aaa/AAA 2,348 Sales Tax Revenue, (Arena Project) Series 2002, (AMBAC Insured), 5.500% 09/01/14 1,250 Corpus Christi, Texas, Business and Job Development Corporation, Aaa/AAA 1,393 Sales Tax Revenue, (Arena Project) Series 2002, (AMBAC Insured), 5.500% 09/01/18 1,655 Corpus Christi, Texas, GO, Series 2002, (FSA Insured), Aaa/AAA 1,853 5.500% 09/01/15 1,000 Corpus Christi, Texas, Utility System Revenue Refunding, Aaa/AAA 1,088 Series 2002, (FSA Insured), 5.000% 07/15/14 1,045 Dallas County, Texas, GO, Series 2000, Aaa/AAA 1,148 5.000% 08/15/09 1,000 Dallas, Texas, GO Refunding, Series 2003A, Aa1/AA+ 1,093 5.000% 02/15/09
1,300 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Aa2/AA+ 1,416 Series 2001, 5.000% 10/01/12 1,000 Dallas, Texas, Waterworks and Sewer System Revenue Refunding, Aa2/AA+ 1,127 Series 2002, 5.500% 10/01/12 500 Dallas-Fort Worth, Texas, Regional Airport Revenue Refunding, Aaa/AAA 501 Series 1994A, (MBIA Insured), 6.000% 11/01/09 1,000 Fort Bend, Texas, Independent School District, GO, Series 2000, Aaa/AAA 1,091 (PSF-GTD), 5.250% 08/15/19 400 Fort Worth, Texas, Higher Education Financial Corporation, Higher Aa3/AA- 422 Education Revenue, (Texas Christian University Project) Series 1997, 5.000% 03/15/17 1,905 Garland, Texas, GO, Series 1998, Aa2/AA 2,035 5.000% 02/15/12 2,665 Goose Creek, Texas, Conservative Independent School District, GO Aaa/AAA 2,841 Refunding, Series 2003, (PSF- GTD), 4.500% 02/15/14 1,000 Grapevine, Texas, GO, Series 2000, (FGIC Insured), Aaa/AAA 1,122 5.800% 08/15/19 4,870 Harlandale, Texas, Independent School District, GO Refunding, Aaa/AAA 5,421 Series 2004, (PSF-GTD), 5.250% 08/15/16 1,120 Harris County, Texas, GO Refunding, Series 2002, Aa1/AA+ 1,218 5.000% 10/01/08 1,400 Harris County, Texas, GO, Series 1995 Aa1/AA+ 1,431 5.000% 10/01/17 2,000 Harris County, Texas, Health Facilities Development Corporation, Aaa/AAA 2,215 Revenue, (Christus Health Project) Series 1999A, (MBIA Insured), 5.500% 07/01/10 2,780 Harris County, Texas, Health Facilities Development Corporation, Aa1/AA- 3,010 Revenue, (St. Lukes Episcopal Hospital Project) Series 2001A, 5.625% 02/15/16 1,000 Harris County, Texas, Health Facilities Development Corporation, Aaa/AAA 1,068 Revenue, Series 1999A, (MBIA Insured), 5.250% 07/01/07 750 Harris County, Texas, Port Houston Authority, Revenue Refunding, Aa1/AA+ 807 Series 2000B, AMT, 5.500% 10/01/07 2,000 Harris County, Texas, Revenue Refunding, (Tax & Sub Lien) Aaa/AAA 2,179 Series 2004B, (FSA Insured), Mandatory Put 08/15/12 @ 100, 5.000% 08/15/32 2,150 Harris County, Texas, Revenue Refunding, Series 2002, (FSA Insured), 2,243 5.000% 08/15/06 1,000 Harris County, Texas, Toll Road Revenue Refunding, Senior Lien, Aaa/AAA 1,122 Series 2002, (FSA Insured), 5.375% 08/15/10 735 Harris County, Texas, Toll Road Revenue Refunding, Series 2002, Aaa/AAA 830 (FSA Insured), 5.375% 08/15/11 3,000 Houston, Texas, Area Water Corporation Contract Revenue, Aaa/AAA 3,338 (Northeast Water Purification Project) Series 2002, (FGIC Insured), 5.500% 03/01/18 1,000 Houston, Texas, Community College System Revenue Refunding, Aaa/AAA 1,103 Junior Lien, (Student Fee Project) Series 2001A, 5.375% 04/15/15 1,195 Houston, Texas, Hotel Occupancy Tax and Special Revenue, Aaa/AAA 1,297 Series 2001B, (AMBAC Insured), 5.250% 09/01/19 1,265 Houston, Texas, Hotel Occupancy Tax and Special Revenue, Aaa/AAA 1,371 Series 2001B, (AMBAC Insured), 5.250% 09/01/20
2,265 Houston, Texas, Utilities System Revenue Refunding, Aaa/AAA 2,553 (Combined First Lien) Series 2004A, (MBIA Insured), 5.250% 05/15/14 4,000 Houston, Texas, Water and Sewer Systems Revenue Refunding, Aaa/AAA 4,264 Junior Lien, Series 1996A, (FGIC Insured), 5.250% 12/01/25 5,000 Houston, Texas, Water and Sewer Systems Revenue Refunding, Aaa/AAA 5,473 Junior Lien, Series 1997A, (FGIC Insured), 5.375% 12/01/27 1,000 Jefferson County, Texas, GO Refunding, Series 2002, (FGIC Insured), Aaa/AAA 1,143 5.750% 08/01/14 50 Johnson City, Texas, Independent School District, GO Refunding, Aaa/AAA 51 Series 2003, (PSF-GTD), 3.000% 02/15/09 2,000 Klein, Texas, Independent School District, GO, Series 1999A, Aaa/AAA 2,157 (PSF-GTD), 5.125% 08/01/15 1,740 La Marque, Texas, Independent School District, GO Refunding, Aaa/AAA 1,836 Series 2003, (PSF-GTD), 5.000% 02/15/21 5,000 North Central Texas, Health Facilities Development Corporation, Aaa/AAA 5,810 Health Facilities Revenue, (Presbyterian Healthcare Residential Project)Series 1996B, (MBIA Insured), 5.500% 06/01/16 3,000 North Central, Texas, Health Facilities Development Corporation, Aa3/AA- 3,161 Revenue Refunding, (Baylor Health Care Systems Project) Series 1995, 5.500% 05/15/13 3,000 North Texas, Tollway Authority, Dallas North Tollway System Revenue Aaa/AAA 3,232 Refunding, Series 2003B, (AMBAC Insured), Mandatory Put 07/01/08 @ 100, 5.000% 01/01/38 3,285 Northside, Texas, Independent School District, GO Refunding, Aaa/AAA 3,561 Series 2002A, (PSF-GTD), 5.250% 02/15/20 1,500 Pearland, Texas, Independent School District, GO, Series 2000, Aaa/AAA 1,671 (PSF-GTD), 5.500% 02/15/20 1,835 Plano, Texas, Independent School District, GO, Series 1995, Aaa/AAA 1,846 (PSF-GTD), 7.000% 02/15/05 3,000 Plano, Texas, Independent School District, GO, Series 2004, Aaa/AAA 3,316 (PSF-GTD), 5.000% 02/15/14 1,190 Rio Grande City, Texas, Conservative Independent School District, Aaa/AAA 1,262 GO, Series 2002, (PSF-GTD), 5.000% 08/15/19 5,600 Round Rock, Texas, Independent School District, GO, Series 2000, Aaa/AAA 5,999 (PSF-GTD), 5.000% 08/01/18 3,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Baa2/BBB- 3,287 Series 2002, 6.000% 10/01/16 2,250 San Antonio, Texas, Electric and Gas Systems Revenue Refunding, Aa1/AA+ 2,521 Series 2002, 5.250% 02/01/12 1,500 San Antonio, Texas, Electric and Gas Systems, GO Refunding, Aa1/AA+ 1,623 Series 1998A, 5.250% 02/01/16 2,000 San Antonio, Texas, GO, (CTFS Obligation) Series 2001, Aa2/AA+ 2,178 5.000% 02/01/09 30 San Antonio, Texas, GO, (CTFS Obligation) Series 2002, Prerefunded, Aa2/AA+ 33 (Escrowed to Maturity), 5.000% 02/01/11 1,970 San Antonio, Texas, GO, (CTFS Obligation) Series 2002, Unrefunded Aa2/AA+ 2,168 Balance,
5.000% 02/01/11 1,480 San Antonio, Texas, GO, (Forward) Series 2001, Unrefunded Balance, Aa2/AA+ 1,663 5.250% 08/01/13 20 San Antonio, Texas, GO, (Forward-General Improvements) Series 2001, Aa2/AA+ 23 Prerefunded, (Escrowed to Maturity), 5.250% 08/01/13 1,380 San Antonio, Texas, GO, (General Improvements) Series 2003, Aa2/AA+ 1,510 Unrefunded Balance, 5.000% 08/01/09 120 San Antonio, Texas, GO, (General Improvements-Forward) Series 2003, Aa2/AA+ 132 Prerefunded, (Escrowed to Maturity), 5.000% 08/01/09 1,000 San Antonio, Texas, Independent School District, GO, (PSF-GTD), Aaa/AAA 1,093 5.500% 08/15/24 1,260 South Texas, Community College District, GO, Series 2002, Aaa/AAA 1,405 (AMBAC Insured), 5.250% 08/15/10 1,170 Sugar Land, Texas, GO Refunding, Series 2003, (FGIC Insured), Aaa/AAA 1,291 5.000% 02/15/11 1,000 Tarrant County, Texas, Health Facilities Development Corporation, Aaa/AAA 1,140 Health Systems Revenue, (Harris Methodist Health Systems Project) Series 1994, (MBIA-IBC Insured), 6.000% 09/01/10 3,300 Tarrant County, Texas, Health Facilities Development Corporation, Aaa/AAA 3,610 Health Systems Revenue, (Texas Health Resources Systems Project) Series 1997A, (MBIA Insured), 5.750% 02/15/08 1,355 Tarrant County, Texas, Hospital District Revenue, Series 2002, Aaa/AAA 1,516 (MBIA Insured), 5.500% 08/15/13 1,000 Texas State, College Student Loan Authority, GO, Series 1994, AMT, Aa1/AA 1,002 5.750% 08/01/11 1,000 Texas State, College Student Loan Authority, GO, Series 1996, AMT, Aa1/AA 1,020 5.000% 08/01/12 1,425 Texas State, College Student Loan Authority, GO, Series 1997, AMT, Aa1/AA 1,450 (GTD STD LNS), 5.000% 08/01/05 455 Texas State, GO, Series 1999, Aa1/AA 490 5.250% 08/01/21 1,200 Texas State, Public Finance Authority, GO Refunding, Series 1996C, Aa1/AA 1,275 6.000% 10/01/06 3,500 Texas State, Texas A&M University Revenue, Series 1999, Aa1/AA+ 3,808 5.500% 05/15/20 1,000 Texas State, Texas A&M University, Financing System Revenue, Aa1/AA+ 1,047 Series 1996, 5.750% 05/15/06 3,250 Texas State, Turnpike Authority of Dallas, North Tollway Revenue, Aaa/AAA 2,898 (President George Bush Turnpike Project) Series 1996, (AMBAC Insured), 2.890%! 01/01/09 375 Texas State, Veterans Housing Assistance, GO Refunding, Aa1/AA 383 Series 1994C, 6.400% 12/01/09 3,000 Texas State, Water Development Board, Revenue, Series 1997, Aaa/AAA 3,206 5.000% 07/15/12 1,500 Texas State, Water Development Board, Revenue, Series 1999B, Aaa/AAA 1,645 5.625% 07/15/21 5,000 Texas State, Water Development GO, Series 1997, Aa1/AA 5,226 5.250% 08/01/28 1,000 Texas Tech University, Revenue Refunding, Series 2003, Aaa/AAA 1,105 (AMBAC Insured), 5.000% 02/15/11 1,000 Texas, Alamo Community College District, Revenue Refunding, Aaa/AAA 1,108 (Combined Fee) Series 2001, (FSA Insured), 5.375% 11/01/16 1,875 Texas, Gulf Coast Waste Disposal Authority, Bayport Area System Aaa/AAA 2,059
Revenue, Series 2002, (AMBAC Insured), 5.000% 10/01/12 3,000 Texas, Lower Colorado River Authority, Revenue Refunding, Aaa/AAA 3,330 Series 1999B, (FSA Insured), 6.000% 05/15/08 1,000 Texas, North Harris Montgomery Community College District, GO Aaa/AAA 1,107 Refunding, Series 2002, (FGIC Insured), 5.375% 02/15/16 1,500 Texas, North Harris Montgomery Community College District, GO, Aaa/AAA 1,637 Series 2001, (MBIA Insured), 5.375% 02/15/16 4,000 Texas, Red River Authority, PCR Refunding, Series 1991, Aaa/AAA 4,090 (AMBAC Insured), 5.200% 07/01/11 1,000 Texas, Sabine River Authority, PCR, (TXU Electric Company Project), Baa2/BBB 1,099 Series 2001B, 5.750% 05/01/30 1,000 Texas, Trinity River Authority, PCR, (Texas Instruments Inc. Aa2/A 1,039 Project) Series 1996, AMT, 6.200% 03/01/20 3,675 Travis County, Texas, GO Refunding, (Limited Tax) Series 2004, Aa/AAA 4,036 5.000% 03/01/15 500 Travis County, Texas, Health Facilities Development Corporation, Aaa/AAA 574 Revenue, (Ascension Health Credit Project) Series 1999A, (AMBAC Insured), Prerefunded 11/15/09 @ 101, 5.875% 11/15/24 5,000 University of Texas, Permanent University Funds Revenue Refunding, Aaa/AAA 5,325 Series 2002A, 5.000% 07/01/07 2,500 University of Texas, University Financing Systems Revenue, Aaa/AAA 2,826 Series 2001B, 5.375% 08/15/15 1,000 University of Texas, University Financing Systems Revenue, Aaa/AAA 1,123 Series 2003A, 5.375% 08/15/15 1,760 University of Texas, University Revenues, Series 2004-C, Aaa/AAA 1,782 4.000% 08/15/05 5,365 Waxahachie, Texas, Independent School District, Capital Appreciation Aaa/AAA 2,827 GO, Series 2000, (PSF-GTD), Prerefunded 08/15/10 @ 63.473, 5.210%! 08/15/17 4,545 Waxahachie, Texas, Independent School District, Capital Appreciation Aaa/AAA 2,747 GO, Series 2000, (PSF-GTD), Prerefunded 08/15/10 @ 72.803, 4.860%! 08/15/15 210 Waxahachie, Texas, Independent School District, Capital Appreciation Aaa/AAA 122 GO, Unrefunded Balance, Series 2000, (PSF-GTD), 5.280%! 08/15/15 245 Waxahachie, Texas, Independent School District, Capital Appreciation Aaa/AAA 124 GO, Unrefunded Balance, Series 2000, (PSF-GTD), 5.560%! 08/15/17 1,440 West University Place, Texas, Permanent Improvement GO Refunding, Aa2/AA 1,608 Series 2002 5.500% 02/01/15 1,910 White Settlement, Texas, Independent School District, GO Refunding, Aaa/AAA 2,107 Series 2003, (PSF-GTD), ------- 5.375% 08/15/19 211,397 ------- FLORIDA - 0.5% 1,000 Florida, Housing Finance Agency, Multi-Family Housing Revenue Aa3/BBB 1,029 Refunding, (United Dominion Realty Trust - Andover Project) ------- Series 1996E, AMT, Mandatory Put 05/01/08 @ 100, 6.350% 05/01/26 ILLINOIS - 0.7%
1,500 Kane County, Illinois, Forest Preservation District, GO, Aa3/AA 1,686 Series 1999, ------- 5.375% 12/30/14 KANSAS - 0.5% 1,150 Kansas, University Hospital Authority, Revenue, (Kansas University Aaa/AAA 1,258 Health System Project) Series 1999A, (AMBAC Insured), ------- 5.250% 09/01/11 MISSISSIPPI - 1.2% 2,600 Warren County, Mississippi, Environmental Improvement Revenue Baa2/BBB 2,843 Refunding, (International Paper Company Project) Series 2000A, AMT, ------- 6.700% 08/01/18 OKLAHOMA - 0.6% 1,400 Oklahoma, Housing Development Authority, Revenue, Series 2000A, Aa3/AA+ 1,433 (FHLMC COLL), ------- 5.100% 11/01/05 SOUTH CAROLINA - 0.8% 1,500 Calhoun County, South Carolina, Solid Waste Disposal Facility A2/BBB- 1,878 Revenue, (Carolina Eastman Company Project) Series 1992, AMT, ------- 6.750% 05/01/17 TENNESSEE - 1.9% 3,135 Chattanooga-Hamilton County, Tennessee, Hospital Authority, Revenue Aaa/AAA 3,382 Refunding, (Erlanger Medical Center Project) Series 1993, (FSA Insured), 5.500% 10/01/07 1,000 Metropolitan Government, Nashville and Davidson County, Tennessee, Aa3/AA 1,145 ------- Electric Revenue, Series 1998B, 5.500% 05/15/13 4,527 ------- WASHINGTON - 0.5% 1,000 Washington State, Motor Vehicle Fuel Tax, GO Refunding, Aa1/AA 1,095 Series 2001R-B, ------- 5.000% 09/01/09 TOTAL MUNICIPAL BONDS AND NOTES (Cost $214,789) 227,146 -------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 2.3% 5,326 Nations Tax-Exempt Reserves, Capital Class# 5,326 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $5,326) 5,326 -------- TOTAL INVESTMENTS (Cost $220,115*) 99.0% 232,472 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 1.0% 2,347 -------- NET ASSETS 100.0% $234,819 ========
- ---------- 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. * Cost for federal income tax purposes is $220,115. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 12,570 213 12,357
! 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. ABBREVIATIONS: AMBAC - American Municipal Bond Assurance Corporation AMT - Alternative Minimum Tax CTFS - Common Trust Funds FGIC - Financial Guaranty Insurance Company FHLMC COLL - Federal Home Loan Mortgage Corporation Collateral FSA - Financial Security Assurance GO - General Obligation GTD STD LNS - Guaranteed Student Loans MBIA - Municipal Bond Insurance Association MBIA-IBC - Municipal Bond Insurance Association - Insured Bond Certificate PCR - Pollution Control Revenue PSF-GTD - Permanent School Fund Gurantee NATIONS FUNDS NATIONS VIRGINIA INTERMEDIATE MUNICIPAL BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL MOODY'S/S&P AMOUNT RATINGS VALUE (000) (UNAUDITED) (000) - --------- ----------- ------ MUNICIPAL BONDS AND NOTES - 98.4% ALABAMA - 0.7% $ 2,250 Mobile, Alabama, Industrial Development Board, PCR Refunding, Baa2/BBB $2,366 (International Paper Company Project) Series 1998B, ------ 4.750% 04/01/10 ALASKA - 0.4% 1,385 Alaska, Municipal Bond Bank Authority, Revenue, Series 2003, (MBIA Insured), Aaa/AAA 1,515 5.250% 12/01/18 ------ ARIZONA - 1.0% 2,030 Arizona, School Facilities Board Revenue, State School Improvement, Aaa/AAA 2,267 Series 2002, 5.250% 07/01/14 1,000 University Medical Center Corporation, Arizona, Hospital Revenue, Series 2004, (GO of University), A3/BBB+ 1,087 5.250% 07/01/14 ------ 3,354 ------ CONNECTICUT - 0.6% 1,900 Connecticut State, GO, Series 2001G, Aa3/AA 2,113 5.000% 12/15/11 ------ DISTRICT OF COLUMBIA - 0.3% 1,000 Metropolitan Washington, District of Columbia, Airport Authority, Aaa/AAA 1,074 Virginia General Airport, Revenue Refunding, Series 1998B, AMT, ------ (MBIA Insured), 5.250% 10/01/10 FLORIDA - 1.7% 2,265 Hillsborough County, Florida, Aviation Authority, Revenue Refunding, Aaa/AAA 2,520 (Tampa International Airport), Series 2003D, (MBIA Insured), 5.500% 10/01/10 1,195 Miami-Dade County, Florida, Health Authority, Hospital Revenue Aaa/AAA 1,270 Refunding, (Miami Children's Hospital Project) Series 2001, (AMBAC Insured), 4.375% 08/15/10 2,100 Volusia County, Florida, Educational Facilities Authority, Revenue, Baa3/AA- 2,193 Series 1996A, ------ 6.125% 10/15/16 5,983 ------ GEORGIA - 0.5% 1,450 Richmond County, Georgia, Development Authority, Environmental Baa2/BBB 1,556 Improvement Revenue, (International Paper Company Project) ------ Series 2001A, 5.150% 03/01/15 ILLINOIS - 1.7% 4,500 Illinois, Metropolitan Pier and Exposition Authority, Dedicated Aaa/AAA 5,031 State Tax, Revenue Refunding, (McCormick Plant Expansion) Series ------ 2002B, (MBIA Insured), 5.250% 06/15/11 1,990 Will County, Illinois, Student Housing Revenue, (Joliet Junior NR/NR 920 College Project) Series 2002A, ------ 6.625% 09/01/23 (a) 5,951 ------ KANSAS - 0.6% 2,000 Burlington, Kansas, Environmental Improvement Revenue Refunding, A3/BBB 2,089 (Power and Light Project) Series 1998K, Mandatory Put 10/01/07 @ ------ 100, 4.750% 09/01/15
MAINE - 0.4% 1,500 Baileyville, Maine, PCR, (Georgia-Pacific Corporation Project) Ba3/A+ 1,507 Series 1998, ------ 4.750% 06/01/05 MARYLAND - 0.8% 2,555 Northeast Maryland, Waste Disposal Authority, Revenue Refunding, Aaa/AAA 2,826 Series 2003, (AMBAC Insured), ------ 5.500% 04/01/10 MICHIGAN - 0.6% 2,000 Southfield, Michigan, Library Building Authority, GO, Series 2000, Aaa/AAA 2,196 (MBIA Insured), ------ 5.500% 05/01/24 MISSISSIPPI - 0.6% 1,285 Mississippi State, Hospital Facilities and Equipment Authority, Aaa/AAA 1,435 Revenue, (Forrest County General Hospital Project) Series 2000, (FSA Insured), 5.625% 01/01/20 500 Warren County, Mississippi, Environmental Improvement Revenue Baa2/BBB 547 Refunding, (International Paper Company Project) Series 2000A, AMT, ------ 6.700% 08/01/18 1,982 ------ SOUTH CAROLINA - 0.7% 2,000 Calhoun County, South Carolina, Solid Waste Disposal Facility A2/BBB- 2,504 Revenue, (Carolina Eastman Company Project) Series 1992, AMT, ------ 6.750% 05/01/17 TENNESSEE - 0.6% 2,000 Memphis-Shelby County, Tennessee, Airport Authority, Special Baa2/BBB 2,133 Facilities Revenue Refunding, (Federal Express Corporation Project) ------ Series 2001, 5.000% 09/01/09 TEXAS - 1.5% 2,000 Sam Rayburn, Texas, Municipal Power Agency, Revenue Refunding, Baa2/BBB- 2,192 Series 2002, 6.000% 10/01/16 2,795 Trinity River Authority, Texas, Water Revenue Refunding, (Tarrant Aaa/AAA 3,158 County Water Project) Series 2003, (MBIA Insured), ------ 5.500% 02/01/14 5,350 ------ VIRGINIA - 83.5% 2,000 Alexandria, Virginia, Redevelopment and Housing Authority, Aa1/AA- 2,064 Multi-Family Housing Mortgage Revenue, (Buckingham Village Apartments Project) Series 1996A, AMT, 6.050% 07/01/16 3,285 Arlington County, Virginia, GO Refunding, Series 1993, Aaa/AAA 3,884 6.000% 06/01/12 3,865 Arlington County, Virginia, GO, Series 1999, Aaa/AAA 4,286 (State Aid Withholding), 5.250% 06/01/16 1,000 Arlington County, Virginia, Hospital Revenue, Series 2001, A2/AA 1,101 5.500% 07/01/13 1,205 Arlington County, Virginia, Industrial Development Authority Lease Aa1/AA+ 1,310 Revenue, (Virginia Capital Project) Series 2004, 5.000% 08/01/17 1,205 Arlington County, Virginia, Industrial Development Authority Lease Aa1/AA+ 1,304 Revenue, (Virginia Capital Project) Series 2004, 5.000% 08/01/18 1,000 Arlington County, Virginia, Industrial Development Authority, Aa1/AA+ 1,095 Facilities Revenue, (The Nature Conservancy Project) Series 1997A, Prerefunded 07/01/07 @ 102, 5.450% 07/01/27 3,280 Arlington County, Virginia, Industrial Development Authority, Aaa/AAA 3,562 Revenue, (Ogden Martin Systems of Union-Alexandria/Arlington Project) Series 1998B, AMT, (FSA Insured), 5.250% 01/01/09 1,855 Arlington County, Virginia, Industrial Development Authority, Aaa/AAA 1,994 Revenue, (Ogden Martin Systems of Union-Alexandria/Arlington Project) Series 1998B, AMT, (FSA Insured), 5.250% 01/01/10
1,000 Charlottesville-Albemarle, Virginia, Airport Authority, Revenue Aa3/BBB 1,036 Refunding, Series 1995, AMT, 6.125% 12/01/09 6,195 Chesapeake, Virginia, GO Refunding, Series 1993, Aa2/AA 6,371 5.125% 12/01/05 1,000 Chesapeake, Virginia, GO, Series 1998, (State Aid Withholding), Aa2/AA 1,069 4.650% 08/01/11 1,000 Chesapeake, Virginia, Water and Sewer GO, Series 1995A, Aa2/AA 1,050 5.375% 12/01/20 2,000 Chesapeake, Virginia, Water and Sewer GO, Series 1995A, (State Aid Aa2/AA 2,129 Withholding), Prerefunded 12/01/05 @ 102, 7.000% 12/01/09 265 Chesterfield County, Virginia, Water and Sewer Authority, Revenue Aaa/AAA 266 Refunding, Series 1992, 6.200% 11/01/05 1,320 Covington-Allegheny County, Virginia, Industrial Development Baa2/BBB 1,327 Authority, PCR Refunding, (Westvaco Corporation Project) Series 1994, 5.900% 03/01/05 2,865 Fairfax County, Virginia, Economic Development Authority Aaa/AAA 3,119 Transportation Contract Revenue, (Route 28 Project) Series 2004, (MBIA Insured), 5.000% 04/01/24 1,585 Fairfax County, Virginia, Economic Development Authority, Resource Aaa/AAA 12,391 Recovery, Revenue Refunding, Series 1998A, AMT, (AMBAC Insured), 5.950% 02/01/07 3,385 Fairfax County, Virginia, Economic Development Authority, Resource Aaa/AAA 3,780 Recovery, Revenue Refunding, Series 1998A, AMT, (AMBAC Insured), 6.050% 02/01/09 1,000 Fairfax County, Virginia, GO, Series 1998, (State Aid Withholding), Aa1/AA+ 1,078 4.800% 04/01/10 5,000 Fairfax County, Virginia, GO, Series 2002A, (State Aid Withholding), Aaa/AAA 5,541 5.000% 06/01/10 1,000 Fairfax County, Virginia, Industrial Development Authority, Health Aaa/AAA 1,125 Care Revenue Refunding, (Inova Health Systems Project) Series 1993, (MBIA-IBC Insured), 5.250% 08/15/19 500 Fairfax County, Virginia, Industrial Development Authority, Health Aa2/AA 533 Care Revenue Refunding, (Inova Health Systems Project) Series 1996, 5.500% 08/15/10 3,000 Fairfax County, Virginia, Public Improvement GO, Series 1997, Aaa/AAA 3,100 (State Aid Withholding), 5.250% 06/01/17 1,450 Fairfax County, Virginia, Public Improvement GO, Series 1997A, Aaa/AAA 1,498 5.125% 06/01/11 1,000 Fairfax County, Virginia, Public Improvement GO, Series 1999B, Aaa/AAA 1,109 5.500% 12/01/16 3,000 Fairfax County, Virginia, Water and Sewer Authority, Water Revenue, Aaa/AAA 3,304 Series 2000, 5.625% 04/01/25 3,000 Fairfax County, Virginia, Water and Sewer Authority, Water Revenue, Aaa/AAA 3,274 Unrefunded Balance, Series 1992, 6.000% 04/01/22 550 Giles County, Virginia, Industrial Development Authority, Exempt Ba3/B 521 Facilities Revenue, (Hoechst Celanese Corporation Project) Series 1995, AMT, 5.950% 12/01/25 3,000 Giles County, Virginia, Industrial Development Authority, Solid Ba3/B 3,000 Waste Disposal Facilities Revenue, (Hoechst Celanese Corporation Project) Series 1992, AMT, 6.625% 12/01/22 1,750 Hampton Roads, Virginia, Regional Jail Authority, Regional Jail Aaa/AAA 1,938 Facility Revenue, Series 2004, (MBIA Insured), 5.000% 07/01/14 1,685 Hampton Roads, Virginia, Regional Jail Authority, Regional Jail Aaa/AAA 1,852 Facility Revenue, Series 2004, (MBIA Insured), 5.000% 07/01/15 1,930 Hampton Roads, Virginia, Regional Jail Authority, Regional Jail Aaa/AAA 2,105 Facility Revenue, Series 2004, (MBIA Insured),
5.000% 07/01/16 1,000 Hanover County, Virginia, Industrial Development Authority Revenue, Aaa/AAA 1,035 (Memorial Regional Medical Center Project) Series 1995, (MBIA Insured), 5.500% 08/15/25 500 Hanover County, Virginia, Industrial Development Authority, Revenue, Aaa/AAA 517 (Bon Secours Health Systems Project) Series 1995, (MBIA Insured), 5.500% 08/15/25 1,300 Henrico County, Virginia, GO, Series 2002, Aaa/AAA 1,427 5.000% 04/01/15 500 Henrico County, Virginia, Industrial Development Authority, Public Aa2/AA 524 Facilities Lease Revenue, Series 1994, Prerefunded 08/01/05 @ 102, 7.000% 08/01/13 1,915 James City and County, Virginia, GO, Series 1995, (FGIC Insured, Aaa/AAA 2,006 State Aid Withholding), Prerefunded 12/15/05 @ 102, 5.000% 12/15/08 700 James City and County, Virginia, GO, Series 1995, (FGIC Insured, Aaa/AAA 735 State Aid Withholding), Prerefunded 12/15/05 @ 102, 5.250% 12/15/14 2,335 James City and County, Virginia, Public Improvement GO Refunding, Aa3/AA 2,608 Series 2003, 5.000% 12/15/12 2,175 James City and County, Virginia, Public Improvement GO Refunding, Aa3/AA 2,432 Series 2003, 5.000% 12/15/13 1,000 Loudoun County, Virginia, GO Refunding, Series 1998B, Aa1/AA+ 1,141 (State Aid Withholding), 5.250% 12/01/15 2,600 Loudoun County, Virginia, GO, Series 2000B, (State Aid Withholding), Aa1/AA+ 2,862 5.250% 01/01/17 1,500 Loudoun County, Virginia, Industrial Development Authority, Hospital Aaa/AAA 1,548 Revenue, (Loudoun Hospital Center Project) Series 1995, (FSA Insured), 5.500% 06/01/08 1,765 Loudoun County, Virginia, Industrial Development Authority, Hospital Aaa/AAA 1,820 Revenue, (Loudoun Hospital Center Project) Series 1995, (FSA Insured), 5.600% 06/01/09 500 Loudoun County, Virginia, Industrial Development Authority, Hospital Aaa/AAA 516 Revenue, (Loudoun Hospital Center Project) Series 1995, (FSA Insured), 5.800% 06/01/20 510 Loudoun County, Virginia, Public Improvement GO, Series 2001C, Aaa/AA+ 560 (State Aid Withholding), 5.000% 11/01/14 1,140 Lynchburg, Virginia, Public Improvement GO, Series 1997, Aa3/AA 1,205 5.400% 05/01/17 1,000 Medical College of Virginia, Hospital Authority, General Revenue, Aaa/AAA 1,067 Series 1998, (MBIA Insured), 4.800% 07/01/11 2,000 Montgomery County, Virginia, Industrial Development Lease Authority, Aaa/AAA 2,231 Revenue, Series 2000B, (AMBAC Insured), 5.500% 01/15/22 1,000 Newport News, Virginia, GO, Series 1998, Aa2/AA 1,072 5.000% 03/01/18 3,500 Norfolk, Virginia, Capital Improvement GO Refunding, Series 1998, Aaa/AAA 3,801 (FGIC Insured, State Aid Withholding), 5.000% 07/01/11 1,000 Norfolk, Virginia, Capital Improvement GO Refunding, Series 1998, Aaa/AAA 1,086 (FGIC Insured, State Aid Withholding), 5.000% 07/01/13 4,960 Norfolk, Virginia, Capital Improvement GO Refunding, Series 2002B, Aaa/AAA 5,580 5.250% 07/01/11 3,770 Norfolk, Virginia, GO Refunding, Series 2003, Aaa/AAA 3,983 4.000% 12/01/08 2,250 Norfolk, Virginia, Redevelopment and Housing Authority, Educational Aa1/AA+ 2,365 Facilities Revenue, (Tidewater Community College Campus Project) Series 1995, Prerefunded 11/01/05 @ 102, 5.875% 11/01/15 2,000 Norfolk, Virginia, Water Revenue, Series 1995, (MBIA Insured), Aaa/AAA 2,097 5.700% 11/01/10
2,680 Portsmouth, Virginia, GO Refunding, Series 2001A, Aaa/AAA 2,949 Prerefunded 6/1/08 @100, (FGIC Insured), 5.500% 06/01/17 2,060 Portsmouth, Virginia, GO Refunding, Series 2003, Aaa/AAA 2,233 5.000% 07/01/19 4,385 Portsmouth, Virginia, GO Refunding, Series 2003, (FSA Insured), Aaa/AAA 4,809 5.000% 07/01/17 1,030 Portsmouth, Virginia, GO, Unrefunded Balance, Series 2001A, Aaa/AAA 1,120 (FGIC Insured), 5.500% 06/01/17 345 Prince William County, Virginia, Industrial Development Authority, Aaa/AAA 355 Hospital Revenue Refunding, (Potomac Hospital Corporation Project) Series 1995, 6.550% 10/01/05 1,000 Prince William County, Virginia, Industrial Development Authority, Aa3/AA+ 1,038 Lease Revenue, (ATCC Project) Series 1996, 6.000% 02/01/14 3,350 Prince William County, Virginia, Service Authority, Water and Sewer Aa2/AA 3,724 System Revenue Refunding, Series 2003, 5.000% 07/01/13 1,000 Richmond, Virginia, GO Refunding, Series 1995B, Aaa/AAA 1,037 (FGIC Insured, State Aid Withholding), 5.000% 01/15/21 1,000 Richmond, Virginia, Metropolitan Authority Expressway Revenue, Aaa/AAA 1,123 Series 1998, (FGIC Insured), 5.250% 07/15/17 2,855 Richmond, Virginia, Public Improvement GO Refunding, Series 1999A, Aaa/AAA 3,073 (FSA Insured), 5.000% 01/15/19 1,430 Richmond, Virginia, Public Improvement GO, Series 1993B, Aa3/AA 1,600 (State Aid Withholding), 5.500% 07/15/09 2,150 Richmond, Virginia, Public Improvement GO, Series 2002A, Aaa/AAA 2,420 5.250% 07/15/11 1,115 Roanoke County, Virginia, IDR, (Hollins College Project) Aa2/A 1,171 Series 1998, 5.200% 03/15/17 4,000 Roanoke, Virginia, Industrial Development Authority, Hospital Aaa/AAA 4,458 Revenue, (Carilion Health System Project) Series 2002A, 5.250% 07/01/12 1,100 Spotsylvania County, Virginia, GO Refunding, Series 1998, Aaa/AAA 1,114 (FSA Insured), 4.375% 07/15/05 1,900 Spotsylvania County, Virginia, GO Refunding, Series 1998, Aaa/AAA 1,964 (FSA Insured), 4.400% 07/15/06 2,000 Spotsylvania County, Virginia, GO Refunding, Series 1998, Aaa/AAA 2,104 (FSA Insured), 4.400% 07/15/07 3,535 Staunton, Virginia, Industrial Development Authority, Educational NR/NR 3,713 Facilities Revenue, (Mary Baldwin College Project) Series 1996, 6.600% 11/01/14 5,800 Suffolk, Virginia, Redevelopment and Housing Authority, Multi-Family Aaa/AAA 6,273 Housing Revenue Refunding, (Windsor Ltd. Partnership Project) Series 2001, (FNMA Insured), Mandatory Put 07/01/11 @ 100, 4.850% 07/01/31 2,300 Virginia Beach, Virginia, GO Refunding, Series 1993, Aa1/AA+ 2,528 5.400% 07/15/08 3,060 Virginia Beach, Virginia, Public Improvement GO, Series 2000, Aa1/AA+ 3,474 5.500% 03/01/17 3,805 Virginia Beach, Virginia, Public Improvement GO, Series 2000, Aa1/AA+ 4,320 5.500% 03/01/18 1,790 Virginia Beach, Virginia, Water and Sewer Revenue, Series 2000, Aa3/AA 1,955 5.250% 08/01/17 1,935 Virginia Beach, Virginia, Water and Sewer Revenue, Series 2000, Aa3/AA 2,114 5.250% 08/01/18 2,035 Virginia Beach, Virginia, Water and Sewer Revenue, Series 2000, Aa3/AA 2,223 5.250% 08/01/19
2,145 Virginia Beach, Virginia, Water and Sewer Revenue, Series 2000, Aa3/AA 2,324 5.250% 08/01/20 1,500 Virginia Commonwealth Transportation Board Authority, Transportation Aa1/AA+ 1,624 Revenue, (U.S. Route 58 Corridor Developement Project), Series 2002B, 5.000% 05/15/08 10,230 Virginia State GO, Series 2002, Aaa/AAA 10,824 4.000% 06/01/09 2,345 Virginia State, Commonwealth Transportation Board Authority, Aa1/AA+ 2,460 Transportation Revenue, (Northern Virginia Transportation District Project) Series 1996A, 5.125% 05/15/21 7,725 Virginia State, GO Refunding, Series 2004-B, Aaa/AAA 8,596 5.000% 06/01/15 5,000 Virginia State, GO, Series 2003-A, Aaa/AAA 5,428 5.000% 06/01/08 1,035 Virginia State, Housing Development Authority, Commonwealth Mortgage Aaa/AA+ 1,112 Revenue, Series 2001D-D-1, 4.750% 07/01/12 2,655 Virginia State, Housing Development Authority, Revenue, (Rental Aa1/AA+ 2,843 Housing Project) Series 2000B, AMT, 5.875% 08/01/15 2,790 Virginia State, Public Building Authority, Public Facilities Aa1/AA+ 3,048 Revenue, Series 2002A, 5.000% 08/01/14 2,540 Virginia State, Public School Authority, Revenue Refunding, (School Aa1/AA+ 2,718 Financing Project) Series 1998A, 4.875% 08/01/14 1,070 Virginia State, Residential Authority, Infrastructure Revenue, Aaa/AAA 1,193 Series 2000A, (MBIA Insured), 5.500% 05/01/21 1,125 Virginia State, Resource Authority, Infrastructure Revenue, Aa2/AA 1,209 (Virginia Pooled Financing Program), Series 2003, 5.000% 11/01/19 1,205 Virginia State, Resource Authority, Airport Revenue, Series 2001A, Aa2/AA+ 1,313 5.250% 08/01/18 1,075 Virginia State, Resource Authority, Infrastructure Revenue, Aa2/AA 1,160 (Virginia Pooled Financing Program), Series 2003, 5.000% 11/01/18 1,185 Virginia State, Resource Authority, Infrastructure Revenue, Aa2/AA 1,262 (Virginia Pooled Financing Program), Series 2003, 5.000% 11/01/21 1,100 Virginia State, Resource Authority, Infrastructure Revenue, Aa2/AA 1,167 (Virginia Pooled Financing Program), Series 2003, 5.000% 11/01/22 1,120 Virginia State, Resource Authority, Infrastructure Revenue, Aaa/AAA 1,245 Series 2000A, (MBIA Insured), 5.500% 05/01/22 1,175 Virginia State, Resource Authority, Infrastructure Revenue, Aa2/AA 1,306 Series 2002, 5.000% 11/01/13 1,000 Virginia State, Resource Authority, Infrastructure Revenue, Aa2/AA 1,101 Series 2002B, 5.000% 11/01/09 2,970 Virginia State, Resource Authority, Sewer Systems Revenue Refunding, Aa1/AA 3,171 (Harrisonburg-Rockingham Project) Series 1998, 5.000% 05/01/18 1,750 Virginia State, Resource Authority, Sewer Systems Revenue, (Hopewell Aa1/AA 1,809 Regional Wastewater Facilities Project) Series 1995A, AMT, 6.000% 10/01/15 2,000 Virginia State, Resource Authority, Systems Revenue Refunding, Aa1/AA 2,105 Series 1998, 5.000% 05/01/22 1,020 Virginia State, Resource Authority, Water and Sewer Systems Revenue, Aa1/AA 1,102 (Suffolk Project) Series 1996A, 5.500% 04/01/17 1,210 Virginia, Biotechnology Research Park Authority, Lease Revenue, Aa1/AA+ 1,240 (Biotech Two Project) Series 1996,
5.750% 09/01/05 1,000 Virginia, Biotechnology Research Park Authority, Lease Revenue, Aa1/AA+ 1,057 (Biotech Two Project) Series 1996, 5.300% 09/01/13 1,100 Virginia, Biotechnology Research Park Authority, Lease Revenue, Aa1/AA+ 1,200 (Consolidated Laboratories Project) Series 2001, 5.125% 09/01/16 1,475 Virginia, Chesapeake Bay Bridge and Tunnel Commission District Aaa/AAA 1,533 Revenue, Series 1995, (FGIC Insured), Prerefunded 07/01/05 @ 102, 5.875% 07/01/10 1,000 Virginia, Commonwealth Transportation Board, Transportation Program Aa1/AA+ 1,058 Revenue, (Oak Grove Connector Project) Series 1997A, 5.250% 05/15/22 1,245 Virginia, Commonwealth Transportation Board, Transportation Revenue Aa1/AA+ 1,323 Refunding, (U.S. Route 58 Corridor Project) Series 1997C, 5.125% 05/15/19 3,375 Virginia, Commonwealth Transportation Board, Transportation Revenue Aaa/AAA 3,599 Refunding, (U.S. Route 58 Corridor Project) Series 1997C, (MBIA Insured), 5.000% 05/15/13 2,465 Virginia, Port Authority, Commonwealth Port Fund Revenue, Aa1/AA+ 2,579 Series 1996, AMT, 5.550% 07/01/12 1,000 Virginia, Port Authority, Commonwealth Port Fund Revenue, Aaa/AAA 1,062 Series 1997, AMT, (MBIA Insured), 5.650% 07/01/17 1,210 Virginia, Port Authority, Port Facilities Revenue, Series 1997, AMT, Aaa/AAA 1,313 (MBIA Insured), 6.000% 07/01/07 1,360 Virginia, Port Authority, Port Facilities Revenue, Series 2003, Aaa/AAA 1,495 (MBIA Insured), 5.125% 07/01/14 1,430 Virginia, Port Authority, Port Facilities Revenue, Series 2003, Aaa/AAA 1,559 (MBIA Insured), 5.125% 07/01/15 1,585 Virginia, Port Authority, Port Facilities Revenue, Series 2003, Aaa/AAA 1,726 (MBIA Insured), 5.250% 07/01/17 5,000 Virginia, Southeastern Public Service Authority, Revenue Refunding, Aaa/AAA 5,430 Series 1993A, (MBIA Insured), 5.100% 07/01/08 1,270 Virginia, Virginia College Building Authority, Educational Aa1/AA+ 1,374 Facilities Revenue, (21st Century Catalogue and Equipment Program Project) Series 2002A, 5.000% 02/01/15 2,300 Virginia, Virginia College Building Authority, Educational Aa1/AA+ 2,569 Facilities Revenue, (Public Higher Education Financing Program) Series 1999A, 5.375% 09/01/12 3,555 Virginia, Virginia College Building Authority, Educational Aa1/AA 3,802 Facilities Revenue, (Public Higher Education Financing Program), Series 2003A, 5.000% 09/01/07 1,800 Virginia, Virginia College Building Authority, Educational Aa1/AA 1,999 Facilities Revenue, (Public Higher Education Financing Program), Series 2003A, 5.000% 09/01/11 5,000 Virginia, Virginia College Building Authority, Educational Aa1/AA 5,405 Facilities Revenue, (University Richmond Project) Series 2002A, Mandatory Put 03/01/09 @ 100, 5.000% 03/01/32 1,000 Washington County, Virginia, Industrial Development Authority, A2/AA 1,039 Hospital Facility Revenue Refunding, (Johnston Memorial Hospital ------- Project) Series 1995, Prerefunded 07/01/05 @ 102, 6.000% 07/01/14 292,708 ------- WASHINGTON - 1.9% 1,000 Northwest Washington, Energy Northwest Electric Revenue Refunding, Aaa/AAA 1,138 (Columbia Generating) Series 2002A, (MBIA Insured), 5.750% 07/01/18
5,035 Washington State, Motor Vehicle Fuel Tax, GO, Series 1997F, Aa1/AA 5,310 5.375% 07/01/22 -------- 6,448 -------- WISCONSIN - 0.3% 1,000 Wisconsin State, Health and Educational Facilities Revenue, (Agnesian A3/A- 1,069 Healthcare Project) Series 2001, -------- 6.000% 07/01/21 TOTAL MUNICIPAL BONDS AND NOTES (Cost $329,514) 344,724 --------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 0.5% 1,812 Nations Tax-Exempt Reserves, Capital Class# 1,812 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $1,812) 1,812 -------- TOTAL INVESTMENTS (Cost $331,326*) 98.9% 346,536 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 1.1% 3,906 -------- NET ASSETS 100.0% $350,442 ========
- ----------- 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. * Cost for federal income tax purposes is $331,326. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 16,641 1,431 15,210
# Money market mutual fund registered under the Investment Company Act of 1940, as amended, and advised by Banc of America Capital Management, LLC. (a) Restricted security. ABBREVIATIONS: AMBAC Ambac Assurance Corporation AMT Alternative Minimum Tax FGIC Financial Guaranty Insurance Company FNMA Federal National Mortgage Association FSA Financial Security Assurance Inc. GO General Obligations IDR Industrial Development Revenue MBIA MBIA Insurance Corporation MBIA-IBC MBIA Insurance Corporation -Insured Bond Certificate NR Not Rated PCR Pollution Control Revenue NATIONS FUNDS NATIONS ASSET ALLOCATION FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------- ------ ASSET-BACKED SECURITIES - 3.2% ASSET-BACKED - AUTO LOANS - 2.0% $ 426 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, $ 431 5.370% 06/12/08 460 AmeriCredit Automobile Receivables Trust, Series 2004-BM, Class A3, 452 2.070% 08/06/08 337 Bank One Auto Securitization Trust, Series 2003-1, Class A3, 333 1.820% 09/20/07 450 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 456 5.180% 10/16/06 267 Ford Credit Auto Owner Trust, Series 2003-A, Class A4A, 266 2.700% 06/15/07 676 Honda Auto Receivables Owner Trust, Series 2004-1, Class A4, 669 3.060% 10/21/09 318 Nissan Auto Receivables Owner Trust, Series 2003-C, Class A4, 315 2.700% 12/17/07 1,048 Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A3, 1,040 2.270% 10/22/07 ------ 3,962 ------ ASSET-BACKED - CREDIT CARD RECEIVABLES - 0.7% 125 American Express Credit Account Master, Series 2003-4, Class A, 122 1.690% 01/15/09 621 Citibank Credit Card Issuance Trust, Series 2003-A5, Class A5, 616 2.500% 04/07/08 500 Citibank Credit Card Master Trust I, Series 1999-5, Class A, 519 6.100% 05/15/08 ------ 1,257 ------ ASSET-BACKED - HOME EQUITY LOANS - 0.0%+ 36 First Plus Home Loan Trust, Series 1998-2, Class M1, 36 7.720% 05/10/24 ------ ASSET-BACKED - OTHER - 0.5% 900 CIT Equipment Collateral, Series 2002-VT1, Class A4, 907 4.670% 12/21/09 ------ TOTAL ASSET-BACKED SECURITIES 6,162 (Cost $6,170) ------ COMMON STOCKS - 67.8% AEROSPACE AND DEFENSE - 1.2% 17,219 Boeing Company 891 17,951 Goodrich Corporation 586 5,424 Lockheed Martin Corporation 301 8,806 Northrop Grumman Corporation 479 ------ 2,257 ------ AUTOMOTIVE - 1.1% 3,633 AutoZone, Inc.= 332 50,243 Ford Motor Company 736 15,786 Lear Corporation 962 ------ 2,030 ------ BEVERAGES - 2.0% 11,457 Anheuser-Busch Companies, Inc. 581 17,824 Coca-Cola Company 742 10,900 Diageo plc, ADR 631
41,378 Pepsi Bottling Group, Inc. 1,119 13,792 PepsiCo, Inc. 720 ------ 3,793 ------ BROADCASTING AND CABLE - 1.7% 36,445 Clear Channel Communications, Inc. 1,220 20,475 Entercom Communications Corporation= 735 49,519 Time Warner Inc.= 963 8,751 Viacom Inc., Class B 318 ------ 3,236 ------ BUILDING MATERIALS - 0.6% 12,564 American Standard Companies Inc. 519 11,545 Martin Marietta Materials, Inc. 620 ------ 1,139 ------ CHEMICALS - BASIC - 0.6% 8,831 PPG Industries, Inc. 602 11,375 Rohm & Haas Company 503 ------ 1,105 ------ COMMERCIAL BANKING - 6.7% 76,519 Citigroup Inc. 3,687 13,593 City National Corporation 960 18,250 Comerica Inc. 1,114 23,389 Hibernia Corporation, Class A 690 15,356 Marshall and Ilsley Corporation 679 14,225 Mellon Financial Corporation 443 13,880 PNC Financial Services Group 797 45,816 US Bancorp 1,435 26,937 Wachovia Corporation 1,417 15,547 Washington Mutual, Inc. 657 13,973 Zions Bancorporation 951 ------ 12,830 ------ COMMERCIAL SERVICES - 0.6% 28,290 Allied Waste Industries, Inc.= 263 21,448 Ingram Micro, Inc.= 446 13,828 Waste Management, Inc. 414 ------ 1,123 ------ COMPUTER SERVICES - 1.6% 22,561 Accenture Ltd.= 609 13,157 Affiliated Computer Services, Inc., Class A= 792 14,231 Computer Sciences Corporation= 802 11,331 First Data Corporation 482 12,937 Synopsys, Inc.= 254 ------ 2,939 ------ COMPUTERS AND OFFICE EQUIPMENT - 1.9% 8,953 Dell Inc.= 377 15,846 Hewlett-Packard Company 332 19,144 International Business Machines Corporation 1,888 6,069 NCR Corporation= 420 10,952 Pitney Bowes Inc. 507 ------ 3,524 ------ CONSUMER CREDIT AND MORTGAGES - 1.4% 11,294 Fannie Mae 804 12,187 Freddie Mac 898 36,320 MBNA Corporation 1,024 ------ 2,726 ------ DEPARTMENT AND DISCOUNT STORES - 2.2% 39,315 Dollar General Corporation 817 13,312 J.C. Penney Company, Inc. 551 12,172 Target Corporation 632 39,485 Wal-Mart Stores, Inc. 2,085 ------ 4,085 ------ DIVERSIFIED ELECTRONICS - 1.1% 18,442 Amphenol Corporation, Class A 678 14,253 Cooper Industries, Ltd. 968 8,148 Harris Corporation 503 ------ 2,149 ------ DIVERSIFIED MANUFACTURING - 2.8%
6,038 3M Company 496 107,449 General Electric Company 3,922 10,047 Harsco Corporation 560 8,567 Honeywell International Inc. 303 ------ 5,281 ------ ELECTRIC POWER - NUCLEAR - 1.3% 23,453 American Electric Power Company, Inc. 805 15,068 DTE Energy Company 650 16,215 Entergy Corporation 1,096 ------ 2,551 ------ EXPLORATION AND PRODUCTION - 0.7% 11,857 Anadarko Petroleum Corporation 769 9,660 Newfield Exploration Company= 570 ------ 1,339 ------ FINANCE - MISCELLANEOUS - 0.9% 10,383 Capital One Financial Corporation 874 17,307 H & R Block, Inc. 848 ------ 1,722 ------ FOOD AND DRUG STORES - 0.3% 14,128 SUPERVALU Inc. 488 ------ FOOD PRODUCTS - 0.9% 25,286 Kellogg Company 1,129 33,151 Tyson Foods Inc., Class A 610 ------ 1,739 ------ HEALTH SERVICES - 1.7% 22,257 Health Net Inc.= 643 6,343 Quest Diagnostics Inc. 606 21,321 Triad Hospitals, Inc.= 793 14,080 UnitedHealth Group Inc. 1,239 ------ 3,281 ------ HEAVY MACHINERY - 0.6% 7,394 Cummins, Inc. 620 5,849 Illinois Tool Works Inc. 542 ------ 1,162 ------ HOUSEHOLD PRODUCTS - 1.0% 25,622 Procter & Gamble Company 1,411 10,020 The Estee Lauder Companies Inc., Class A 459 ------ 1,870 ------ HOUSING AND FURNISHING - 0.7% 8,844 Lennar Corporation, Class A 501 16,956 The Stanley Works 831 ------ 1,332 ------ INSURANCE - 3.9% 18,688 ACE Ltd. 799 5,692 Aetna Inc. 710 6,831 Ambac Financial Group, Inc. 561 24,407 American International Group, Inc. 1,602 11,191 Endurance Specialty Holdings Ltd. 383 10,140 Hartford Financial Services Group, Inc. 703 12,874 Lincoln National Corporation 601 13,064 Prudential Financial, Inc. 718 15,887 The PMI Group, Inc. 663 17,926 The St. Paul Travelers Companies, Inc. 665 ------ 7,405 ------ INTEGRATED OIL - 4.6% 8,808 Apache Corporation 445 25,146 ChevronTexaco Corporation 1,320 13,412 ConocoPhillips 1,165 78,730 Exxon Mobil Corporation 4,036 27,861 Marathon Oil Corporation 1,048 20,944 Valero Energy Corporation 951 ------ 8,965 ------ INVESTMENT SERVICES - 2.7% 8,647 Goldman Sachs Group, Inc. 900
26,082 J.P. Morgan Chase & Company 1,018 8,863 Legg Mason, Inc. 649 9,253 Lehman Brothers Holdings Inc. 809 20,754 Merrill Lynch & Company, Inc. 1,241 10,491 State Street Corporation 515 ----- 5,132 ----- LODGING AND RECREATION - 0.8% 15,933 Brunswick Corporation 789 21,444 International Game Technology 737 ----- 1,526 ----- MEDICAL DEVICES AND SUPPLIES - 2.7% 14,556 Abbott Laboratories 679 10,890 Cardinal Health, Inc.= 633 45,461 Johnson & Johnson 2,883 18,099 Medtronic, Inc. 899 ----- 5,094 ----- METALS AND MINING - 0.7% 17,287 Alcoa Inc. 543 7,204 Phelps Dodge Corporation 713 ----- 1,256 ----- NATURAL GAS DISTRIBUTION - 0.4% 21,099 Sempra Energy 774 ----- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT - 1.6% 77,982 Cisco Systems, Inc.= 1,505 23,717 Motorola, Inc. 408 11,786 QUALCOMM Inc. 500 65,886 Tellabs, Inc.= 566 ----- 2,979 ----- PACKAGING AND CONTAINERS - 0.5% 23,067 Ball Corporation 1,014 ----- PHARMACEUTICALS - 4.0% 5,548 Allergan, Inc. 450 30,066 Amgen Inc.= 1,929 9,985 Eli Lilly and Company 567 13,962 Express Scripts, Inc.= 1,067 11,179 Merck & Company, Inc. 359 101,022 Pfizer Inc. 2,717 23,870 Schering-Plough Corporation 498 ----- 7,587 ----- PUBLISHING AND ADVERTISING - 0.8% 11,233 Dow Jones & Company, Inc. 484 11,325 McGraw-Hill Companies, Inc. 1,036 ----- 1,520 ----- RAILROADS, TRUCKING AND SHIPPING - 0.8% 2,694 FedEx Corporation 265 13,775 United Parcel Service, Inc., Class B 1,178 ----- 1,443 ----- RESTAURANTS - 0.2% 8,472 Brinker International, Inc.= 297 ----- SEMICONDUCTORS - 3.0% 83,700 Agere Systems Inc., Class A= 115 36,735 ASML Holding N.V.= 584 86,937 Intel Corporation 2,034 13,104 Intergrated Device Technology, Inc.= 151 38,867 National Semiconductor Corporation 698 37,197 PerkinElmer, Inc. 837 21,046 Texas Instruments Inc. 518 22,478 Xilinx, Inc. 666 ----- 5,603 ----- SOFTWARE - 2.3% 18,624 Citrix Systems, Inc.= 457
97,481 Microsoft Corporation 2,604 24,023 Quest Software, Inc.= 383 33,476 Symantec Corporation= 862 ------- 4,306 ------- SPECIALTY STORES - 2.2% 15,737 Barnes & Noble, Inc.= 508 22,090 Home Depot, Inc. 944 35,353 Limited Brands 814 24,645 Sherwin-Williams Company 1,099 11,807 Staples, Inc. 398 13,395 TJX Companies, Inc. 337 ------- 4,100 ------- TELECOMMUNICATIONS SERVICES - 2.2% 23,831 Nextel Communications, Inc., Class A= 715 47,174 SBC Communications, Inc. 1,216 19,943 Sprint Corporation (FON Group) 496 44,920 Verizon Communications, Inc. 1,819 ------- 4,246 ------- TOBACCO - 0.8% 24,022 Altria Group, Inc. 1,468 ------- TOTAL COMMON STOCKS (Cost $94,992) 128,416 -------
PRINCIPAL AMOUNT (000) - --------- CORPORATE BONDS AND NOTES - 9.4% AEROSPACE AND DEFENSE - 0.1% $79 Boeing Company, 82 5.125% 02/15/13 101 Northrop Grumman Corporation, 116 7.125% 02/15/11 73 Raytheon Company, 76 5.375% 04/01/13 ------- 274 ------- AUTOMOTIVE - 0.4% 199 DaimlerChrysler NA Holdings Corporation, 199 4.050% 06/04/08 252 Ford Motor Company, 253 7.450% 07/16/31 115 General Motors Acceptance Corporation, 118 6.150% 04/05/07 77 General Motors Acceptance Corporation, 79 6.875% 09/15/11 143 General Motors Acceptance Corporation, 147 8.000% 11/01/31 16 General Motors Corporation, 17 8.250% 07/15/23## ------- 813 ------- BEVERAGES - 0.1% 91 Anheuser-Busch Companies, Inc., 98 5.950% 01/15/33 171 Cadbury Schweppes plc, 174 5.125% 10/01/13@ ------- 272 ------- BROADCASTING AND CABLE - 0.5% 59 Clear Channel Communications, Inc., 61 6.000% 11/01/06 78 Comcast Cable Communications, Inc., 90 7.125% 06/15/13 218 Liberty Media Corporation, 218 3.500% 09/25/06 51 Tele-Communications, Inc., Class A, 72 9.875% 06/15/22
72 The Walt Disney Company, MTN, 75 5.500% 12/29/06 54 Time Warner Entertainment Company LP, 60 7.250% 09/01/08 88 Time Warner Inc., 113 9.125% 01/15/13 142 Time Warner Inc., 172 7.625% 04/15/31 61 Viacom Inc., Class B, 64 5.625% 05/01/07 ----- 925 ----- CHEMICALS - BASIC - 0.1% 44 The Dow Chemical Company, 48 6.125% 02/01/11 50 The Dow Chemical Company, 61 7.375% 11/01/29 ----- 109 ----- CHEMICALS - SPECIALTY - 0.1% 63 E.I. du Pont de Nemours and Company, 63 3.375% 11/15/07 38 Eastman Chemical Company, 37 3.250% 06/15/08 49 Praxair, Inc., 50 4.750% 07/15/07 68 Praxair, Inc., 74 6.500% 03/01/08 ----- 224 ----- COMMERCIAL BANKING - 1.8% 310 Bank One Corporation, 332 6.000% 08/01/08 78 Citigroup Inc., 85 6.000% 02/21/12 337 Citigroup Inc., 339 5.000% 09/15/14@ 240 First Union National Bank, 256 5.800% 12/01/08 210 J.P. Morgan Chase & Company, 227 7.250% 06/01/07 67 Key Bank N.A., 75 7.000% 02/01/11 101 Mellon Funding Corporation, 110 6.700% 03/01/08 186 National City Bank, 184 4.625% 05/01/13 153 PNC Funding Corporation, 159 5.750% 08/01/06 71 Regions Financial Corporation, 88 7.750% 09/15/24 53 SouthTrust Bank N.A., 53 4.750% 03/01/13 69 The Bank of New York, Inc., MTN, Series E, 70 3.900% 09/01/07 203 Union Planters Corporation, 203 4.375% 12/01/10 189 US Bank N.A., Minnesota, 210 6.375% 08/01/11 325 Wachovia Corporation, 324 4.875% 02/15/14 64 Washington Mutual, Inc., 64 2.400% 11/03/05 180 Washington Mutual, Inc., 187 5.625% 01/15/07 195 Washington Mutual, Inc., 186 4.625% 04/01/14 ----- 3,152 ----- COMMERCIAL SERVICES - 0.1%
118 Waste Management, Inc., 135 7.375% 08/01/10 --- COMPUTERS AND OFFICE EQUIPMENT - 0.2% 212 Hewlett-Packard Company, 220 5.750% 12/15/06 104 International Business Machines Corporation, 107 4.875% 10/01/06 59 International Business Machines Corporation, 67 6.500% 01/15/28 33 International Business Machines Corporation, 35 5.875% 11/29/32 --- 429 --- CONGLOMERATES - 0.0%+ 66 General Electric Company, 68 5.000% 02/01/13 --- CONSTRUCTION - 0.2% 156 D. R. Horton, Inc., 179 7.875% 08/15/11 183 KB HOME, 181 5.750% 02/01/14 97 Toll Brothers Inc., 95 4.950% 03/15/14 --- 455 --- CONSUMER CREDIT AND MORTGAGES - 0.3% 48 American Express Company, 50 5.500% 09/12/06 56 American Express Company, 56 3.750% 11/20/07 153 American Express Company, 158 4.750% 06/17/09 65 American General Finance Corporation, MTN, Series H, 62 2.750% 06/15/08 302 Countrywide Home Loans, Inc., MTN, Series J, 312 5.500% 08/01/06 --- 638 --- CONSUMER PRODUCTS - 0.0% 65 Fortune Brands, Inc., 64 2.875% 12/01/06 --- DEPARTMENT AND DISCOUNT STORES - 0.2% 100 Target Corporation, 106 5.400% 10/01/08 22 Target Corporation, 23 5.375% 06/15/09## 66 Target Corporation, 72 5.875% 03/01/12 175 Wal-Mart Stores, Inc., 181 5.450% 08/01/06 50 Wal-Mart Stores, Inc., 50 4.550% 05/01/13 --- 432 --- ELECTRIC POWER - NON NUCLEAR - 0.3% 108 Consolidated Edison Company of New York, 111 4.700% 06/15/09 108 Consolidated Edison Company of New York, Series 2000-C, 112 6.625% 12/15/05 35 Dominion Resources, Inc., 35 5.000% 03/15/13 (a) 18 New York State Electric & Gas, 18 5.750% 05/01/23 30 Pacific Gas and Electric Company, 30 4.200% 03/01/11##
43 Pacific Gas and Electric Company, 45 6.050% 03/01/34 57 Public Service Electric & Gas Company, MTN, Series C, 57 4.000% 11/01/08 100 Westar Energy, Inc., 111 9.750% 05/01/07 ----- 519 ----- ELECTRIC POWER - NUCLEAR - 0.3% 134 MidAmerican Energy Holdings, Series D, 133 5.000% 02/15/14 51 Southern California Edison Company, 52 5.000% 01/15/14 34 Southern California Edison Company, 36 6.000% 01/15/34 96 Southern Company Capital Funding, Series A, 100 5.300% 02/01/07 52 Southern Power Company, Series B, 57 6.250% 07/15/12 93 Virginia Electric and Power Company, Series A, 96 5.375% 02/01/07 ----- 474 ----- EXPLORATION AND PRODUCTION - 0.2% 31 Devon Energy Corporation, 40 7.950% 04/15/32 206 Pioneer Natural Resources Company, 220 6.500% 01/15/08 175 XTO Energy, Inc., 205 7.500% 04/15/12 ----- 465 ----- FINANCE - MISCELLANEOUS - 0.8% 120 Associates Corporation of North America, 139 6.950% 11/01/18 79 Capital One Bank, 81 5.000% 06/15/09 87 CIT Group, Inc., 94 7.375% 04/02/07 25 General Electric Capital Corporation, MTN, Series A, 27 5.875% 02/15/12## 307 General Electric Capital Corporation, MTN, Series A, 359 6.750% 03/15/32 117 Household Finance Corporation, 124 7.200% 07/15/06 106 Household Finance Corporation, 113 5.875% 02/01/09 53 Household Finance Corporation, 59 6.375% 11/27/12 52 International Lease Finance Corporation, 53 4.500% 05/01/08 213 International Lease Finance Corporation, 207 3.500% 04/01/09 70 National Rural Utilities Cooperative Finance Corporation, 69 3.250% 10/01/07 80 National Rural Utilities Cooperative Finance Corporation, 86 5.750% 08/28/09 60 National Rural Utilities Cooperative Finance Corporation, MTN, 78 Series C, ----- 8.000% 03/01/32 1,489 ----- FOOD AND DRUG STORES - 0.1% 202 Fred Meyer, Inc., 223 7.450% 03/01/08 19 The Kroger Company, 21 6.800% 04/01/11## 23 The Kroger Company, 26 6.750% 04/15/12## ----- 270 -----
HEALTH SERVICES - 0.1% 193 Wellpoint Health Networks Inc., 201 6.375% 06/15/06 45 Wellpoint Health Networks Inc., 50 6.375% 01/15/12 --- 251 --- HEAVY MACHINERY - 0.3% 154 Caterpillar Financial Services Corporation, 159 5.950% 05/01/06 135 Caterpillar Financial Services Corporation, 138 4.500% 06/15/09 103 Caterpillar Financial Services Corporation, MTN, Series F, 101 2.350% 09/15/06 138 John Deere Capital Corporation, MTN, Series D, 138 3.125% 12/15/05 --- 536 --- HOUSEHOLD PRODUCTS - 0.0%+ 51 Procter & Gamble Company, 52 4.750% 06/15/07 --- INSURANCE - 0.4% 37 Hartford Life, Inc., 44 7.375% 03/01/31 70 Mass Mutual Global Funding II, 67 2.550% 07/15/08@ 30 MetLife, Inc., 31 5.375% 12/15/12## 53 MetLife, Inc., 58 6.500% 12/15/32 30 Nationwide Financial Services, Inc., Class A, 32 5.900% 07/01/12## 144 Principal Life Global, 157 6.250% 02/15/12@ 47 Progressive Corporation, 50 6.250% 12/01/32 212 Prudential Funding LLC, MTN, 230 6.600% 05/15/08@ 46 The Hartford Financial Services Group, Inc., 45 2.375% 06/01/06 35 The Hartford Financial Services Group, Inc., 34 4.625% 07/15/13 --- 748 --- INTEGRATED OIL - 0.3% 117 Conoco Funding Company, 121 5.450% 10/15/06 142 Conoco Funding Company, 158 6.350% 10/15/11 194 USX Corporation, 202 6.650% 02/01/06 --- 481 --- INVESTMENT SERVICES - 0.9% 64 Bear Stearns Companies Inc., 67 5.700% 01/15/07 185 Bear Stearns Companies Inc., 187 4.500% 10/28/10 70 Citigroup Global Markets Holdings Inc., 76 6.500% 02/15/08 25 Credit Suisse First Boston USA, Inc., 26 5.875% 08/01/06## 104 Credit Suisse First Boston USA, Inc., 113 6.125% 11/15/11 40 Goldman Sachs Group, Inc., 41 4.125% 01/15/08 169 Goldman Sachs Group, Inc., 188 6.600% 01/15/12
112 Goldman Sachs Group, Inc., 111 4.750% 07/15/13 129 Lehman Brothers Holdings Inc., 130 4.000% 01/22/08 152 Lehman Brothers Holdings Inc., 166 7.000% 02/01/08 38 Lehman Brothers Holdings Inc., 45 7.875% 08/15/10 149 Merrill Lynch & Company, Inc., 160 6.000% 02/17/09 63 Merrill Lynch & Company, Inc., MTN, Series B, 63 3.700% 04/21/08 343 Morgan Stanley, 352 5.300% 03/01/13 ----- 1,725 ----- NATURAL GAS DISTRIBUTION - 0.1% 113 NiSource Finance Corporation, 116 5.400% 07/15/14 3 Southern California Gas Company, Series HH, 3 5.450% 04/15/18 ----- 119 ----- NATURAL GAS PIPELINES - 0.3% 111 Consolidated Natural Gas Company, Series B, 115 5.375% 11/01/06 241 Kinder Morgan, Inc., 242 6.650% 03/01/05 125 Teppco Partners, LP, 144 7.625% 02/15/12 ----- 501 ----- OIL REFINING AND MARKETING - 0.1% 94 Valero Energy Corporation, 107 6.875% 04/15/12 ----- PAPER AND FOREST PRODUCTS - 0.2% 70 Champion International Corporation, 81 7.350% 11/01/25 61 International Paper Company, 61 4.250% 01/15/09 62 International Paper Company, 66 5.850%** 10/30/12 52 MeadWestvaco Corporation, 59 6.850% 04/01/12 81 MeadWestvaco Corporation, 101 8.200% 01/15/30 ----- 368 ----- PUBLISHING AND ADVERTISING - 0.1% 58 Knight-Ridder, Inc., 67 7.125% 06/01/11 20 News America Holdings Inc., 26 9.250% 02/01/13## 5 News America Holdings Inc., 5 6.550% 03/15/33 116 News America Holdings Inc., 147 8.150% 10/17/36 14 R. R. Donnelley & Sons Company, 14 4.950% 04/01/14 ----- 259 ----- RAILROADS, TRUCKING AND SHIPPING - 0.1% 107 Burlington Northern Santa Fe Corporation, 121 6.750% 07/15/11 ----- REAL ESTATE - 0.0%+ 16 ERP Operating LP, 16 5.200% 04/01/13## -----
REAL ESTATE INVESTMENT TRUSTS (REITS) - 0.1% 58 Health Care Property Investors, Inc., 64 6.450% 06/25/12 161 Simon Property Group, LP, 158 3.750% 01/30/09 ------ 222 ------ TELECOMMUNICATIONS SERVICES - 0.6% 41 AT&T Wireless Services Inc., 50 8.125% 05/01/12 37 AT&T Wireless Services Inc., 50 8.750% 03/01/31 125 BellSouth Corporation, 129 5.000% 10/15/06 36 BellSouth Telecommunications Inc., 38 6.375% 06/01/28 255 SBC Communications Inc., 262 5.750% 05/02/06 24 Sprint Capital Corporation, 26 6.125% 11/15/08## 116 Sprint Capital Corporation, 155 8.750% 03/15/32 28 Verizon Global Funding Corporation, 35 7.750% 12/01/30 224 Verizon New England Inc., 246 6.500% 09/15/11 140 Verizon Pennsylvania Inc., Series A, 147 5.650% 11/15/11 ------ 1,138 ------ TOTAL CORPORATE BONDS AND NOTES (Cost $17,169) 17,851 ------ FOREIGN BONDS AND NOTES - 0.9% BROADCASTING AND CABLE - 0.0%+ 17 Rogers Cable Inc., 17 6.250% 06/15/13## ------ BUILDING MATERIALS - 0.0%+ 68 Hanson Overseas BV, 70 6.750% 09/15/05 ------ COMMERCIAL BANKING - 0.1% 42 HSBC Holdings plc, 50 7.350% 11/27/32@ 114 Scotland International Finance, 110 4.250% 05/23/13@ ------ 160 ------ DIVERSIFIED MANUFACTURING - 0.1% 113 Tyco International Group SA, 125 6.375% 10/15/11 ------ FOOD PRODUCTS - 0.0%+ 50 Unilever Capital Corporation, 52 6.875% 11/01/05 ------ INTEGRATED OIL - 0.1% 137 BP Capital Markets, 135 2.750% 12/29/06 37 Suncor Energy, Inc., 39 5.950% 12/01/34 ------ 174 ------ METALS AND MINING - 0.1% 47 Alcan Inc., 52
6.450% 03/15/11 44 Alcan Inc., 53 7.250% 03/15/31 48 BHP Finance USA Ltd., 49 4.800% 04/15/13 72 Codelco Inc., 75 5.500% 10/15/13@ ----- 229 ----- PUBLISHING AND ADVERTISING - 0.1% 105 Thomson Corporation, 109 5.250% 08/15/13 ----- RAILROADS, TRUCKING AND SHIPPING - 0.1% 95 Canadian National Railway Company, 109 6.900% 07/15/28 ----- TELECOMMUNICATIONS SERVICES - 0.3% 53 British Telecommunications, plc, 64 8.375% 12/15/10 25 British Telecommunications, plc, 33 8.875% 12/15/30 183 Deutsche Telekom International Finance BV, 188 5.250% 07/22/13 110 Deutsche Telekom International Finance BV, 145 8.750% 06/15/30 104 France Telecom SA, 141 9.250%** 03/01/31 ----- 571 ----- TOTAL FOREIGN BONDS AND NOTES (Cost $1,590) 1,616 ----- MORTGAGE-BACKED SECURITIES - 12.5% CMO - 1.1% 260 Fannie Mae, Series 2002-16, Class PG, 274 6.000% 04/25/17 279 Fannie Mae, Series 2002-47, Class QE, 289 5.500% 08/25/17 36 FNMA, Series 1991-1, Class G, 38 7.000% 01/25/21 315 Freddie Mac, Series 2664, Class IO, 33 5.500% 05/15/27 317 Freddie Mac, Series 2692, Class IA, 27 5.500% 01/15/23## 1,300 Freddie Mac, Series 2689, Class PC, 1,293 4.000% 09/15/15 11,480 Vendee Mortgage Trust, Series 1998-1, Class 2, Interest only, 114 0.434%** 09/15/27 15,027 Vendee Mortgage Trust, Series 1998-3, Class 1, Interest only, 112 0.294%** 03/15/29 ----- 2,180 ----- CMO- FLOATING RATE - 0.8% 1,466 MLCC Mortgage Investors, Inc., Series 2003-G, Class A1, 2.649% 01/25/29 1,466 ----- COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.1% 5,635 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest only, 0.968%** 12/15/30 179 ----- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES - 0.6% 7 8.000% 07/01/10 7 106 8.000% 09/01/25 115 215 6.500% 07/01/29 226
662 6.500% 11/01/32 694 ------ 1,042 ------ FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES - 8.2% 127 8.500% 08/01/11 138 56 7.500% 10/01/11 60 94 10.000% 09/01/18 105 7,218 5.000% 01/15/20 7,331 937 6.500% 10/01/24 987 56 6.500% 07/01/32 59 33 6.500% 05/01/33 34 715 5.500% 07/01/33 726 3,540 5.000% 01/15/35 3,511 750 5.500% 01/15/35 761 1,710 6.500% 01/15/35 1,793 56 4.185%** 08/01/36 58 ------ 15,563 ------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES - 1.7% 4 10.000% 02/15/16 5 53 7.500% 12/15/23 57 3,177 5.500% 01/15/35 3,242 ------ 3,304 ------ TOTAL MORTGAGE-BACKED SECURITIES (Cost $22,677) 23,734 ------ SOVEREIGN GOVERNMENT BONDS AND NOTES - 0.9% 162 Hellenic Republic, 178 6.950% 03/04/08 169 Quebec (Province of), 220 7.500% 09/15/29 106 Region of Lombardy, 113 5.804% 10/25/32 45 Republic of Chile, 47 5.500% 01/15/13 123 Republic of Italy, 122 2.750% 12/15/06 302 Republic of Italy, 302 3.750% 12/14/07 190 Republic of Poland, 196 5.250% 01/15/14 91 Republic of South Africa, 100 6.500% 06/02/14 196 United Mexican States, 230 8.375% 01/14/11 191 United Mexican States, 206 7.500% 04/08/33 ------ TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $1,632) 1,714 ------ U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 1.5% FEDERAL FARM CREDIT BANK (FFCB) - 0.1% 150 2.500% 03/15/06 149 ------ FEDERAL HOME LOAN BANK (FHLB) - 0.2% 300 3.625% 11/14/08 299 100 3.875% 06/14/13 97 ------ 396 ------ FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 0.3% 180 5.125% 10/15/08 189 172 4.500% 01/15/13 173 98 4.875% 11/15/13 101 100 6.750% 03/15/31 122 ------ 585 ------ FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 0.9% 221 5.250% 01/15/09 233 250 4.375% 03/15/13 249 1,342 4.375% 07/17/13 1,306 ------
1,788 ------ TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $4,160) 2,918 ------ U.S. TREASURY OBLIGATIONS - 3.9% U.S. TREASURY BONDS - 1.0% 1,545 6.250% 08/15/23 1,809 ------ U.S. TREASURY INFLATION INDEX - 0.7% 1,173 3.625% 01/15/08 1,277 U.S. TREASURY NOTES - 2.2% ------ 100 1.250% 05/31/05 1,000 2.000% 05/15/06 100 600 3.125% 05/15/07 988 495 3.250% 01/15/09 600 150 3.000% 02/15/09 491 670 3.875% 05/15/09 147 1,200 4.875% 02/15/12 680 1,268 ------ 4,274 ------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $7,341) 7,360 ------ WARRANTS - 0.0%+ 195 Solutia Inc., Expire 07/15/09=(b) (Cost $0) 0 ++ ------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 27.6% 52,441 Nations Cash Reserves, Capital Class Shares# 52,441 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $52,441) 52,441 -------- TOTAL INVESTMENTS (Cost $208,172*) 127.7% 242,212 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (27.7)% (52,604) -------- NET ASSETS 100.0% $189,608 ========
- ---------- 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. * Cost for federal income tax purposes is $208,172. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 35,453 1,413 34,040
** Variable rate note. The interest rate shown reflects the rate in effect at December 31, 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 (Note 6). The portion that represents cash collateral is $36,445. ## All or a portion of security segregated as collateral for futures contracts. (a) All or portion of security was on loan at December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004, is $34,931 and $35,214, respectively. (b) Fair valued security. At December 31, 2004, the Fund held the following open futures contracts:
UNREALIZED AGGREGATE APPRECIATION/ VALUE FACE VALUE EXPIRATION DEPRECIATION TYPE CONTRACTS (000) (000) DATE (000) - ---- --------- ----- ---------- ---------- ------------- U.S. 10 Year Treasury Note Futures (short position) 16 1,774 1,791 March-2005 $(17) U.S. Treasury Bond Futures (long position) 20 2,210 2,250 March-2005 40 ---- $ 23 ----
ABBREVIATIONS: MTN - Medium Term Note ADR - American Depository Receipt LTD - Limited NATIONS FUNDS NATIONS CONVERTIBLE SECURITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - ---------- ------- COMMON STOCKS - 15.9% AEROSPACE AND DEFENSE - 0.9% 77,677 L-3 Communications Holdings, Inc. $ 5,689 124,038 Northrop Grumman Corporation 6,743 57,271 Raytheon Company 2,224 ------- 14,656 ------- BROADCASTING AND CABLE - 0.7% 394,450 The Walt Disney Company 10,966 ------- COMMERCIAL BANKING - 0.6% 153,300 Wells Fargo & Company 9,528 ------- COMMERCIAL SERVICES - 1.0% 585,470 Cendant Corporation 13,689 92,100 Startek, Inc. 2,620 ------- 16,309 ------- COMPUTER SERVICES - 0.7% 176,000 Automatic Data Processing, Inc. 7,806 80,000 InfoSpace, Inc. 3,804 ------- 11,610 ------- CONGLOMERATES - 0.6% 260,000 Tyco International Ltd. 9,292 ------- DIVERSIFIED MANUFACTURING - 1.7% 61,330 3M Company 5,033 130,000 Actuant Corporation, Class A= 6,780 208,000 Danaher Corporation 11,940 80,000 Kaydon Corporation 2,642 20,000 Roper Industries, Inc. 1,215 ------- 27,610 ------- ELECTRIC POWER - NON NUCLEAR - 0.1% 33,500 TXU Corporation 2,163 ------- FINANCE - MISCELLANEOUS - 0.9% 192,000 Centerplate Inc. 2,540 140,000 Moody's Corporation 12,159 ------- 14,699 ------- FOOD PRODUCTS - 0.3% 61,600 Wm. Wrigley Jr. Company 4,262 ------- HEALTH SERVICES - 0.6% 80,028 Wellpoint Inc. = 9,203 ------- HEAVY MACHINERY - 0.8% 151,000 Cummins, Inc. 12,652 ------- HOUSEHOLD PRODUCTS - 0.5% 146,000 Procter & Gamble Company 8,042 ------- HOUSING AND FURNISHING - 0.2%
189,600 RPM Inc. 3,728 ------- INSURANCE - 1.1% 24,800 Leucadia National Corporation 1,723 276,078 Prudential Financial, Inc. 15,173 ------- 16,896 ------- INTEGRATED OIL - 0.7% 100,000 Kerr-McGee Corporation 5,779 321,000 The Williams Companies, Inc. 5,229 ------- 11,008 ------- LODGING AND RECREATION - 0.2% 140,000 Hilton Hotels Corporation 3,184 ------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT - 0.8% 450,000 Corning Inc.= 5,296 249,684 Motorola, Inc. 4,295 58,700 QUALCOMM Inc. 2,489 ------- 12,080 ------- OILFIELD SERVICES - 1.3% 697,439 Chesapeake Energy Corporation 11,508 220,000 Halliburton Company 8,633 ------- 20,141 ------- PHARMACEUTICALS - 0.7% 66,000 Amgen Inc.= 4,234 59,000 Axcan Pharma, Inc. = (a) 1,140 170,600 Celgene Corporation= 4,526 53,000 Cubist Pharmaceuticals, Inc. = 627 ------- 10,527 ------- RESTAURANTS - 0.6% 320,000 McDonald's Corporation 10,259 ------- SEMICONDUCTORS - 0.2% 86,000 Analog Devices, Inc. 3,175 27,568 Freescale Semiconductor Inc.= 506 ------- 3,681 ------- SOFTWARE - 0.2% 95,600 Yahoo! Inc.= 3,602 ------- TELECOMMUNICATIONS SERVICES - 0.5% 92,671 Cia Anonima Nacional Telefonos de Venezuela, ADR 2,075 104,188 Crown Castle International Corporation= 1,734 80,000 Nextel Communications, Inc., Class A= 2,399 50,000 Sprint Corporation (FON Group) 1,243 30,000 Telefonos de Mexico SA de CV 'L', ADR 1,150 ------- 8,601 ------- TOTAL COMMON STOCKS (Cost $182,037) 254,699 ------- CONVERTIBLE BONDS AND NOTES - 61.7% AEROSPACE AND DEFENSE - 0.1% 685 United Industrial Corporation, 826 3.750% 09/15/24 ------- AIRLINES - 0.4% 7,950 Northwest Airlines Corporation, 6,350 7.625% 11/15/23 (a) ------- APPAREL AND TEXTILES - 0.9% 4,625 Kellwood Company, 4,642 3.500% 06/15/34@ (a) 2,940 Mens Wearhouse Inc., 3,025 3.125% 10/15/23 (a)
5,963 Reebok International Ltd., 6,485 2.000% 05/01/24 ------ 14,152 ------ AUTOMOTIVE - 0.4% 6,210 American Axle & Manufacturing Holdings, Inc., 5,651 2.000% 02/15/24@ (a) ------ BROADCASTING AND CABLE - 2.6% 7,255 Liberty Media Corporation, 6,847 3.500% 01/15/31 1,975 Liberty Media Corporation, 1,864 3.500% 01/15/31 10,330 Liberty Media Corporation, 10,136 3.250% 03/15/31 (a) 7,480 Lions Gate Entertainment Corp., 8,864 2.938% 10/15/24=@ 12,835 The Walt Disney Company, 14,279 2.125% 04/15/23 (a) ------ 41,990 ------ COMMERCIAL SERVICES - 1.2% 10,314 Allied Waste Industries, Inc., 9,154 4.250% 04/15/34= (a) 9,920 CSG Systems International, Inc., 10,093 2.500% 06/15/24= ------ 19,247 ------ COMPUTER SERVICES - 4.0% 11,830 Amazon.com, Inc., 11,845 4.750% 02/01/09 (a) 8,282 Ciber, Inc., 8,562 2.875% 12/15/23= 5,975 CNET Networks, Inc., 6,012 .750% 04/15/24@ 11,910 DST Systems Inc., 15,513 4.125% 08/15/23= 12,940 Electronic Data Systems Corporation, 13,668 3.875% 07/15/23 (a) 3,925 The BISYS Group, Inc., 3,900 4.000% 03/15/06= 3,850 The BISYS Group, Inc., 3,826 4.000% 03/15/06= ------ 63,326 ------ COMPUTERS AND OFFICE EQUIPMENT - 0.3% 1,494 Cray Inc., 1,841 3.000% 12/01/24@ 2,090 Eastman Kodak Company, 2,615 3.375% 10/15/33 ------ 4,456 ------ CONGLOMERATES - 2.2% 4,270 Tyco International Group, 6,768 2.750% 01/15/18 17,350 Tyco International Group, 29,148 3.125% 01/15/23 ------ 35,916 ------ CONSTRUCTION - 0.7% 10,395 Fluor Corporation, 11,850 1.500% 02/15/24(a) ------ CONSUMER CREDIT AND MORTGAGES - 1.0% 14,385 American Express Company, 15,626 1.850% 12/01/33 (a) ------ DIVERSIFIED MANUFACTURING - 1.9% 6,205 Actuant Corporation, 9,036
2.000% 11/15/23= 5,715 Kaydon Corporation, 7,251 4.000% 05/23/23 7,897 Lennox International Inc., 10,069 6.250% 06/01/09 9,860 Roper Industries, Inc., 4,671 1.481% 01/15/34 (a) ------ 31,027 ------ ELECTRIC POWER - NON NUCLEAR - 2.9% 5,485 CenterPoint Energy, Inc., 6,273 3.750% 05/15/23 (a) 95 CenterPoint Energy, Inc., 109 3.750% 05/15/23 2,979 CenterPoint Energy, Inc., 3,135 2.875% 01/15/24 6,855 Duke Energy Corporation, 7,695 1.750% 05/15/23 (a) 12,890 PPL Energy Supply LLC, 14,453 2.625% 05/15/23 (a) 5,205 PPL Energy Supply LLC, 5,836 2.625% 05/15/23 5,950 Reliant Resources, Inc., 9,773 5.000% 08/15/10 (a) ------ 47,274 ------ ELECTRIC POWER - NUCLEAR - 0.8% 12,832 Dominion Resources, 13,089 2.125% 12/15/23 ------ ENERGY - MISCELLANEOUS - 0.9% 3,510 Massey Energy Company, 6,981 4.750% 05/15/23 5,415 Massey Energy Company, 7,086 2.250% 04/01/24 (a) ------ 14,067 ------ EXPLORATION AND PRODUCTION - 0.5% 7,955 Kerr-McGee Corporation, 8,422 5.250% 02/15/10 ------ FINANCE - MISCELLANEOUS - 2.1% 3,488 American Equity Investment Holding Company, 3,902 5.250% 12/06/24@ 10,945 CapitalSource Inc., 11,465 3.500% 07/15/34 15,780 Providian Financial Corporation, 18,936 2.750% 03/15/16 ------ 34,303 ------ HEALTH SERVICES - 2.0% 15,880 Health Management Associates, Inc., 16,635 1.500% 08/01/23 12,890 Lincare Holdings Inc., 13,776 3.000% 06/15/33= 1,940 WebMD Corporation, 1,685 1.750% 06/15/23 ------ 32,096 ------ HOUSEHOLD PRODUCTS - 0.4% 4,915 Church & Dwight Co., Inc., 6,408 5.250% 08/15/33 ------ HOUSING AND FURNISHING - 0.3% 3,945 Beazer Homes USA, Inc., 4,902 4.625% 06/15/24 ------ INSURANCE - 2.0%
10,740 Leucadia National Corporation, 13,278 3.750% 04/15/14 8,680 Ohio Casualty Corporation, 9,255 5.000% 03/19/22= (a) 5,850 PMI Group Inc., 6,457 2.500% 07/15/21 3,000 PMI Group, Inc., 3,311 2.500% 07/15/21 ------ 32,301 ------ INVESTMENT SERVICES - 0.3% 4,900 E*TRADE Group, Inc., 5,004 6.000% 02/01/07= (a) ------ LODGING AND RECREATION - 3.7% 5,803 Fairmont Hotels & Resorts Inc., 6,543 3.750% 12/01/23 6,952 Fairmont Hotels & Resorts, Inc., 7,838 3.750% 12/01/23 11,320 Four Seasons Hotels Inc., 14,475 1.875% 07/30/24 (a) 14,803 Hilton Hotels Corporation, 17,708 3.375% 04/15/23 8,960 Scientific Games Corporation, 9,330 0.0750% 12/01/24@ (a) 2,900 Six Flags Inc., 3,263 4.500% 05/15/15 (a) ------ 59,157 ------ MEDICAL DEVICES AND SUPPLIES - 2.8% 14,920 Advanced Medical Optics, Inc., 16,226 2.500% 07/15/24= 4,950 Bausch & Lomb, Inc., 6,529 2.486% 08/01/23 1,930 CV Therapeutics Inc., 1,641 2.000% 05/16/23 (a) 14,832 Fisher Scientific International, Inc., 16,630 3.250% 03/01/24= (a) 3,980 Henry Schein, Inc., 4,229 3.000% 08/15/34=@ (a) ------ 45,255 ------ METALS AND MINING - 1.1% 10,710 Freeport-McMoran Copper & Gold, Inc., 16,065 7.000% 02/11/11 900 Inco Ltd., 1,377 3.500% 03/14/52 ------ 17,442 ------ NATURAL GAS PIPELINES - 0.1% 935 Dynegy Inc., 1,323 4.750% 08/15/23=@ ------ NETWORKING AND TELECOMMUNICATIONS EQUIPMENT - 1.5% 3,035 American Tower Corporation, 5,019 3.250% 08/01/10 3,980 American Tower Corporation, 4,492 3.000% 08/15/12 12,800 Lucent Technologies Inc., 14,241 8.000% 08/01/31= (a) ------ 23,752 ------ OILFIELD SERVICES - 2.9% 5,467 Cooper Cameron Corporation, 5,761 1.500% 05/15/24= 15,925 Halliburton Company, 19,588 3.125% 07/15/23 3,451 Hanover Compressor Company, 4,366 4.750% 01/15/14
13,900 Pride International, Inc., 15,064 3.250% 05/01/33= (a) 1,880 Pride International, Inc., 2,037 3.250% 05/01/33= (a) ------- 46,816 ------- PACKAGING AND CONTAINERS - 1.1% 17,910 Sealed Air Corporation, 18,447 3.000% 06/30/33=@ ------- PHARMACEUTICALS - 8.0% 6,965 Amylin Pharmaceuticals, Inc., 7,174 2.500% 04/15/11 2,980 Cell Therapeutic, Inc., 2,775 4.000% 07/01/10 3,950 Cephalon Inc., 3,871 2.500% 12/15/06 (a) 7,820 Cubist Pharmaceuticals, 7,400 5.500% 11/01/08 (a) 2,500 DOV Pharmaceutical Inc., 2,644 2.500% 01/15/25@ (a) 6,745 Enzon Pharmaceuticals Inc., 6,340 4.500% 07/01/08 17,413 Genzyme Corporation, 18,457 1.250% 12/01/23= (a) 995 Human Genome Sciences, Inc., 1,046 2.250% 10/15/11@ (a) 2,880 ICOS Corporation, 2,459 2.000% 07/01/23 9,880 ICOS Corporation, 8,435 2.000% 07/01/23 5,700 IVAX Corporation, 5,700 4.500% 05/15/08= 9,840 IVAX Corporation, 9,840 4.500% 05/15/08= (a) 3,346 Millennium Pharmaceuticals, Inc., 3,379 5.500% 01/15/07= 6,950 Sepracor Inc., 7,254 5.000% 02/15/07= (a) 18,200 Teva Pharmaceutical Industries, Ltd., 18,541 0.500% 02/01/24 7,340 Vertex Pharmaceuticals, Inc., 7,046 5.000% 09/19/07 4,660 Watson Pharmaceuticals, Inc. 4,800 1.750% 03/15/23= (a) 9,925 Wyeth, 10,173 1.360% 01/15/24 ------- 127,334 ------- PUBLISHING AND ADVERTISING - 1.0% 14,795 Lamar Advertising Company, 16,330 2.875% 12/31/10= (a) ------- RAILROADS, TRUCKING AND SHIPPING - 2.1% 5,875 GATX Corporation, 6,859 7.500% 02/01/07 1,805 GATX Corporation, 2,107 7.500% 02/01/07 3,952 GATX Corporation, 5,483 5.000% 08/15/23 5,935 Yellow Corporation, 10,201 5.000% 08/08/23 5,760 Yellow Corporation, 8,597 3.375% 11/25/23 ------- -------
REAL ESTATE INVESTMENT TRUSTS (REITS) - 1.2% 17,040 Host Marriott LP, 19,596 3.250% 04/15/24@ ------- RETAIL - SPECIALTY - 0.5% 8,930 Saks Inc., 8,818 2.000% 03/15/24= ------- SEMICONDUCTORS - 2.4% 6,850 Agilent Technologies Inc., 6,910 3.000% 12/01/21= 2,990 ASM International NV, 3,151 4.250% 12/06/11=@ (a) 14,890 Invitrogen Inc., 17,793 2.000% 08/01/23= 9,880 Vishay Intertechnology Inc., 11,078 3.625% 08/01/23= ------- 38,932 ------- SOFTWARE - 1.2% 10,232 BEA Systems, Inc., 10,257 4.000% 12/15/06 3,955 Fair Issac Corporation, 4,143 1.500% 08/15/23 4,900 Fair Issac Corporation, 5,133 1.500% 08/15/23 ------- 19,533 ------- TELECOMMUNICATIONS SERVICES - 3.8% 7,410 Andrew Corporation, 9,587 3.250% 08/15/13= 26,095 AT&T Corporation - Liberty Media Group, 19,082 4.000% 11/15/29 6,465 Commonwealth Telephone Enterprises, Inc., 6,853 3.250% 07/15/23= 2,880 Harris Corporation, 4,248 3.500% 08/15/22 18,950 Nextel Communications, Inc., Class A 19,400 5.250% 01/15/10= ------- 59,170 ------- UTILITIES - MISCELLANEOUS - 0.4% 6,997 OMI Corporation, 6,770 2.875% 12/01/24@ ------- TOTAL CONVERTIBLE BONDS AND NOTES (Cost $889,478) 990,205 ------- CONVERTIBLE PREFERRED STOCKS - 20.1% AEROSPACE AND DEFENSE - 0.3% 40,000 Northrop Grumman Corporation, 7.000% 5,280 ------- AUTOMOTIVE - 1.7% 94,000 Ford Motor Company Capital Trust II 4,962 611,050 General Motors Corporation (a) 16,291 233,300 General Motors Corporation, Series B 5,382 ------- 26,635 ------- BEVERAGES - 0.5% 210,350 Constellation Brands, Inc. 7,913 ------- COMMERCIAL BANKING - 1.8% 336,200 Sovereign Capital Trust IV 16,474 121,000 Washington Mutual Capital Trust I 6,824 116,600 Washington Mutual Inc. 6,500 -------
29,798 ------- COMPUTERS AND OFFICE EQUIPMENT - 0.7% 80,090 Xerox Corporation 11,838 ------- CONSUMER CREDIT AND MORTGAGES - 0.9% 44,700 Doral Financial Corporation 15,002 ------- ELECTRIC POWER - NON NUCLEAR - 1.3% 288,200 Ameren Corporation (a) 8,289 194,510 Cinergy Corporation 12,332 ------- 20,621 ------- ENERGY - MISCELLANEOUS - 1.0% 119,100 Williams Companies, Inc. (a) 10,005 67,800 Williams Companies, Inc. 5,695 ------- 15,700 ------- HEALTH SERVICES - 0.9% 255,850 Omnicare, Inc. 14,113 ------- HEAVY MACHINERY - 1.3% 179,200 Cummins Capital Trust I 16,419 42,000 Cummins Capital Trust I 3,848 ------- 20,267 ------- INSURANCE - 1.5% 47,700 Hartford Financial Services Group, Inc. 3,146 66,000 Reinsurance Group of America Inc. 4,059 632,950 XL Capital Ltd. 16,108 ------- 23,313 ------- INVESTMENT SERVICES - 0.9% 294,000 Citigroup Global Markets Holdings Inc. 13,825 ------- MEDICAL DEVICES AND SUPPLIES - 1.1% 315,560 Baxter International Inc. (a) 17,817 ------- METALS AND MINING - 0.4% 62,700 Freeport-McMoran Copper & Gold Inc. 6,145 ------- OIL AND GAS - 1.7% 187,120 Amerada Hess Corporation 13,837 100,000 Chesapeake Energy Corporation, 4.125% 11,638 46,200 Southern Union Company 3,368 ------- 28,843 ------- PAPER AND FOREST PRODUCTS - 0.8% 215,700 Temple-Inland Inc. 12,144 ------ PHARMACEUTICALS - 0.9% 248,000 Schering-Plough Corporation 13,913 ------- PUBLISHING AND ADVERTISING - 0.9% 310,800 Interpublic Group of Companies, Inc. 15,229 ------- TELECOMMUNICATIONS SERVICES - 1.5% 140,800 Alltel Corporation 7,447 336,185 Crown Castle International Corporation (a) 16,473 ------- 23,920 ------- TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $272,753) 322,316 ------- PREFERRED STOCKS - 1.1% ELECTRIC POWER - NON NUCLEAR - 0.5%
49,200 Dominion Resources Inc. (a) 2,715 82,900 FPL Group Inc. 4,994 ------- 7,709 ------- INVESTMENT SERVICES - 0.6% 370,500 Lehman Brothers Holdings Inc. 10,003 ------- TOTAL PREFERRED STOCKS (Cost $16,781) 17,712 -------
SHARES (000) - ---------- AFFILIATED INVESTMENT COMPANIES - 13.9% 223,307 Nations Cash Reserves, Capital Class Shares# 223,307 ---------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $223,307) 223,307 ---------- TOTAL INVESTMENTS (Cost $1,584,356*) 112.7% 1,808,239 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (12.7)% (203,351) ---------- NET ASSETS 100.0% $1,604,888 ==========
- ---------- 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. * Cost for federal income tax purposes is $1,584,356. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 231,624 7741 223,883
= 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 (Note ##). The portion that represents cash collateral is $211,987. (a) All or portion of security was on loan at December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004, is $192,548 and $205,121, respectively. ABBREVIATIONS: ADR - American Depository Receipt LTD - Limited NATIONS FUNDS NATIONS MIDCAP VALUE FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - --------- ------- COMMON STOCKS - 97.8% AEROSPACE AND DEFENSE - 3.0% 230,100 Goodrich Corporation $7,510 71,925 Northrop Grumman Corporation 3,910 143,700 Rockwell Collins, Inc. 5,668 ------ 17,088 ------ BEVERAGES - 0.8% 170,600 Pepsi Bottling Group, Inc. 4,613 ------ BUILDING MATERIALS - 1.3% 137,600 Martin Marietta Materials, Inc. 7,384 ------ CHEMICALS - BASIC - 2.7% 243,800 Agrium, Inc. 4,108 150,600 Lyondell Chemical Company 4,355 159,800 Rohm & Haas Company 7,068 ------ 15,531 ------ CHEMICALS - SPECIALTY - 6.4% 123,300 Ashland Inc. 7,198 89,900 Eastman Chemical Company 5,190 129,100 International Flavors & Fragrances, Inc. 5,531 195,800 Lubrizol Corporation 7,217 208,500 Pall Corporation 6,037 126,100 Sherwin-Williams Company 5,627 ------ 36,800 ------ COMMERCIAL BANKING - 10.1% 86,900 City National Corporation 6,139 121,600 Compass Bancshares, Inc. 5,918 59,650 Cullen Frost Bankers, Inc. 2,899 246,000 Hibernia Corporation, Class A 7,259 192,400 Marshall and Ilsley Corporation 8,504 77,400 Mercantile Bankshares Corporation 4,040 232,800 Sovereign Bancorp, Inc. 5,250 67,100 UnionBanCal Corporation 4,327 105,910 Wachovia Corporation 5,571 123,650 Zions Bancorporation 8,412 ------ 58,319 ------ COMMERCIAL SERVICES - 2.3% 307,900 United Rentals, Inc.= 5,819 237,900 Waste Management, Inc. 7,123 ------ 12,942 ------ COMPUTER SERVICES - 0.5% 52,500 Computer Sciences Corporation= 2,959 ------ COMPUTERS AND OFFICE EQUIPMENT - 1.3% 156,600 Pitney Bowes Inc. 7,247 ------ CONGLOMERATES - 1.2% 127,900 Fluor Corporation 6,972 ------ DEPARTMENT AND DISCOUNT STORES - 3.3% 279,200 Dollar General Corporation 5,799 113,800 Federated Department Stores, Inc. 6,577 161,200 J.C. Penney Company, Inc. 6,673 ------ 19,049 ------ DIVERSIFIED ELECTRONICS - 3.3% 93,500 Cooper Industries, Ltd. 6,347 383,200 Flextronics International Ltd.= 5,296
62,625 Harris Corporation 3,870 121,650 Tektronix, Inc. 3,675 ------ 19,188 ------ DIVERSIFIED MANUFACTURING - 2.5% 83,000 Harsco Corporation 4,626 115,300 Kennametal Inc. 5,738 118,050 Mueller Industries, Inc. 3,801 ------ 14,165 ------ ELECTRIC POWER - NON NUCLEAR - 3.0% 85,300 Consolidated Edison, Inc. 3,732 133,800 Constellation Energy Group, Inc. 5,849 139,600 Edison International 4,471 63,900 NSTAR 3,468 ------ 17,520 ------ ELECTRIC POWER - NUCLEAR - 3.7% 144,800 American Electric Power Company, Inc. 4,972 148,200 DTE Energy Company 6,393 79,500 Entergy Corporation 5,373 83,000 PPL Corporation 4,422 ------ 21,160 ------ FINANCIAL SERVICES - 2.4% 177,500 CIT Group Inc. 8,133 187,000 GATX Corporation 5,528 ------ 13,661 ------ FOOD AND DRUG STORES - 1.2% 205,200 SUPERVALU Inc. 7,084 ------ FOOD PRODUCTS - 1.2% 628,900 Del Monte Foods Company= 6,930 ------ HEALTH SERVICES - 1.9% 72,900 Medco Health Solutions, Inc.= 3,033 219,600 Triad Hospitals, Inc.= 8,171 ------ 11,204 ------ HEAVY MACHINERY - 2.9% 77,800 Ingersoll-Rand Company, Class A 6,247 140,400 Navistar International Corporation= 6,175 57,600 Parker-Hannifin Corporation 4,363 ------ 16,785 ------ INSURANCE - 7.9% 77,400 ACE Ltd. 3,309 51,600 Aetna Inc. 6,437 181,300 Endurance Specialty Holdings Ltd. 6,200 226,200 Genworth Financial Inc., Class A 6,107 99,000 Hartford Financial Services Group, Inc. 6,862 142,900 Lincoln National Corporation 6,671 168,300 Old Republic International Corporation 4,258 139,600 The PMI Group, Inc. 5,828 ------ 45,672 ------ INTEGRATED OIL - 2.8% 152,600 Marathon Oil Corporation 5,739 75,500 Occidental Petroleum Corporation 4,406 367,300 The Williams Companies, Inc. 5,984 ------ 16,129 ------ INVESTMENT SERVICES - 1.2% 97,700 Legg Mason, Inc. 7,158 ------ LODGING AND RECREATION - 3.2% 53,400 Carnival Corporation 3,077 76,900 Harrah's Entertainment, Inc. 5,144 182,650 Mattel, Inc. 3,560 113,300 Starwood Hotels & Resorts Worldwide, Inc. 6,617 ------ 18,398 ------ METALS AND MINING - 1.6% 131,125 Arch Coal, Inc. 4,660
107,475 Newmont Mining Corporation 4,773 ------- 9,433 ------- NATURAL GAS DISTRIBUTION - 1.1% 176,200 Sempra Energy 6,463 ------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT - 0.5% 224,600 Andrew Corporation= 3,061 ------- OILFIELD SERVICES - 3.0% 126,900 Baker Hughes Inc. 5,415 179,100 ENSCO International Inc. 5,685 205,200 Varco International, Inc.= 5,981 ------- 17,081 ------- PACKAGING AND CONTAINERS - 1.8% 129,800 Bemis Company, Inc. 3,776 496,600 Crown Holdings, Inc.= 6,823 ------- 10,599 ------- PAPER AND FOREST PRODUCTS - 2.2% 346,300 Smurfit-Stone Container Corporation= 6,469 87,575 Temple-Inland Inc. 5,990 ------- 12,459 ------- PHARMACEUTICALS - 1.1% 189,600 Shire Pharmaceuticals Group plc, ADR 6,058 ------- PUBLISHING AND ADVERTISING - 1.0% 135,000 Dow Jones & Company, Inc. 5,813 ------- RAILROADS, TRUCKING AND SHIPPING - 2.1% 127,800 Burlington Northern Santa Fe Corporation 6,046 168,600 Norfolk Southern Corporation 6,102 ------- 12,148 ------- REAL ESTATE INVESTMENT TRUSTS (REITS) - 5.8% 164,100 Archstone-Smith Trust 6,285 64,175 Avalonbay Communities, Inc. 4,832 100,000 Boston Properties, Inc. 6,467 80,800 Camden Property Trust 4,121 184,400 Equity Office Properties Trust 5,370 373,000 Host Marriott Corporation= 6,453 ------- 33,528 ------- RESTAURANTS - 1.2% 190,000 Brinker International, Inc.= 6,663 ------- SEMICONDUCTORS - 1.3% 292,300 Fairchild Semiconductor Corporation, Class A= 4,753 253,500 Intergrated Device Technology, Inc.= 2,930 ------- 7,683 ------- SPECIALTY STORES - 3.1% 63,575 Abercrombie & Fitch Company 2,985 206,200 Limited Brands 4,747 193,500 Linens 'N Things, Inc.= 4,799 207,400 TJX Companies, Inc. 5,212 ------- 17,743 ------- TOBACCO - 1.2% 148,800 UST Inc. 7,159 ------- UTILITIES - MISCELLANEOUS - 0.7% 200,000 Nalco Holding Company= 3,904 ------- TOTAL COMMON STOCKS (Cost $432,255) 563,753 -------
PRINCIPAL AMOUNT (000) - --------- CONVERTIBLE BONDS AND NOTES - 0.3% HEAVY MACHINERY - 0.3% 2,000 Navistar Financial Corporation, 2,078 4.750% 04/01/09 ------- TOTAL CONVERTIBLE BONDS AND NOTES
(Cost $1,754) 2,078 -----
SHARES - --------- CONVERTIBLE PREFERRED STOCKS - 0.5% INSURANCE - 0.5% 41,600 Hartford Financial Services Group, Inc. 2,744 ----- TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $2,138) 2,744 -----
PRINCIPAL AMOUNT (000) - --------- CORPORATE BONDS AND NOTES - 0.2% DIVERSIFIED MANUFACTURING - 0.2% 1,003 Mueller Industries, Inc., 983 6.000% 11/01/14 --- TOTAL CORPORATE BONDS AND NOTES (Cost $1,003) 983 ---
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 1.2% 6,756 Nations Cash Reserves, Capital Class Shares# 6,756 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $6,756) 6,756 -------- TOTAL INVESTMENTS (Cost $443,906*) 100.0% 576,314 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 0.0% (34) -------- NET ASSETS 100.0% $576,280 ========
- ---------- 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. * Cost for federal income tax purposes is $443,906. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 134,371 1,963 132,408
= 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 NATIONS FUNDS NATIONS VALUE FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - --------- -------- COMMON STOCKS - 97.9% AEROSPACE AND DEFENSE - 4.9% 627,100 Goodrich Corporation $ 20,469 285,900 Northrop Grumman Corporation 15,542 448,791 United Technologies Corporation 46,382 -------- 82,393 -------- BEVERAGES - 2.7% 440,651 Diageo plc, ADR 25,505 377,589 PepsiCo, Inc. 19,710 -------- 45,215 -------- BROADCASTING AND CABLE - 1.0% 630,000 The Walt Disney Company 17,514 -------- CHEMICALS - BASIC - 2.3% 242,600 PPG Industries, Inc. 16,536 461,100 The Dow Chemical Company 22,829 -------- 39,365 -------- CHEMICALS - SPECIALTY - 1.1% 305,400 Eastman Chemical Company 17,631 -------- COMMERCIAL BANKING - 13.4% 1,385,124 Citigroup Inc. 66,735 399,600 Mellon Financial Corporation 12,432 682,000 The Bank of New York Company, Inc. 22,792 1,609,293 US Bancorp 50,403 827,022 Wachovia Corporation 43,501 486,600 Wells Fargo & Company 30,242 -------- 226,105 -------- COMMERCIAL SERVICES - 2.3% 604,300 Cendant Corporation 14,129 839,500 Waste Management, Inc. 25,134 -------- 39,263 -------- COMPUTER SERVICES - 1.0% 607,600 Accenture Ltd.= 16,405 -------- COMPUTERS AND OFFICE EQUIPMENT - 2.6% 609,480 Hewlett-Packard Company 12,781 314,385 International Business Machines Corporation 30,992 -------- 43,773 -------- DEPARTMENT AND DISCOUNT STORES - 2.2% 295,100 Federated Department Stores, Inc. 17,054 492,800 J.C. Penney Company, Inc. 20,402 -------- 37,456 -------- DIVERSIFIED ELECTRONICS - 0.9% 1,064,275 Flextronics International Ltd.= 14,708 -------- DIVERSIFIED MANUFACTURING - 3.9% 1,371,300 General Electric Company 50,053 466,059 Honeywell International Inc. 16,503 -------- 66,556 -------- ELECTRIC POWER - NUCLEAR - 5.2% 488,700 American Electric Power Company, Inc. 16,782
429,600 DTE Energy Company 18,529 782,210 Duke Energy Corporation 19,813 402,500 Exelon Corporation 17,738 459,650 PG & E Corporation= 15,297 ------- 88,159 ------- FINANCIAL SERVICES - 1.1% 403,000 CIT Group Inc. 18,465 ------- HEALTH SERVICES - 0.6% 244,200 Medco Health Solutions, Inc.= 10,159 ------- HEAVY MACHINERY - 2.3% 88,600 Caterpillar Inc. 8,639 173,100 Deere & Company 12,879 212,100 Ingersoll-Rand Company, Class A 17,032 ------- 38,550 ------- HOUSEHOLD PRODUCTS - 1.2% 312,420 Kimberly-Clark Corporation 20,560 ------- INSURANCE - 6.4% 258,900 ACE Ltd. 11,068 133,500 Aetna Inc. 16,654 1,097,200 Genworth Financial Inc., Class A 29,624 617,100 Hartford Financial Services Group, Inc. 42,772 214,571 The St. Paul Companies, Inc. 7,954 ------- 108,072 ------- INTEGRATED OIL - 8.8% 203,401 BP Amoco plc, ADR 11,879 300,276 ChevronTexaco Corporation 15,767 189,694 ConocoPhillips 16,471 1,374,900 Exxon Mobil Corporation 70,478 289,200 Royal Dutch Petroleum Company 16,594 1,059,600 The Williams Companies, Inc. 17,261 ------- 148,450 ------- INVESTMENT SERVICES - 4.9% 203,900 Goldman Sachs Group, Inc. 21,214 491,700 J.P. Morgan Chase & Company 19,181 713,543 Merrill Lynch & Company, Inc. 42,648 ------- 83,043 ------- LODGING AND RECREATION - 2.6% 146,849 Carnival Corporation 8,463 281,600 Harrah's Entertainment, Inc. 18,836 273,700 Starwood Hotels & Resorts Worldwide, Inc. 15,984 ------- 43,283 ------- MEDICAL DEVICES AND SUPPLIES - 1.5% 374,200 Abbott Laboratories 17,456 255,870 Hospira, Inc.= 8,572 ------- 26,028 ------- METALS AND MINING - 2.1% 648,400 Alcoa Inc. 20,372 390,100 Freeport-McMoran Copper & Gold, Inc., Class B 14,914 ------- 35,286 ------- OILFIELD SERVICES - 1.9% 206,109 ENSCO International Inc. 6,542 432,800 Halliburton Company 16,983 161,019 Nabors Industries, Ltd.= 8,259 ------- 31,784 ------- PACKAGING AND CONTAINERS - 0.6% 345,700 Bemis Company, Inc. 10,056 ------- PAPER AND FOREST PRODUCTS - 1.7% 383,323 International Paper Company 16,099
179,600 Weyerhaeuser Company 12,073 ---------- 28,172 ---------- PHARMACEUTICALS - 1.1% 702,740 Pfizer Inc. 18,897 ---------- PUBLISHING AND ADVERTISING - 2.1% 369,000 Dow Jones & Company, Inc. 15,889 1,033,400 News Corporation Inc. 19,283 ---------- 35,172 ---------- RAILROADS, TRUCKING AND SHIPPING - 1.2% 303,000 Union Pacific Corporation 20,377 ---------- REAL ESTATE INVESTMENT TRUSTS (REITS) - 3.4% 470,200 Archstone-Smith Trust 18,009 854,895 Equity Office Properties Trust 24,894 781,100 Host Marriott Corporation= 13,513 ---------- 56,416 ---------- RESTAURANTS - 1.0% 520,700 McDonald's Corporation 16,694 ---------- SEMICONDUCTORS - 1.5% 768,000 Agilent Technologies, Inc.= 18,508 448,500 Fairchild Semiconductor Corporation, Class A= 7,293 ---------- 25,801 ---------- SPECIALTY STORES - 1.7% 575,300 Limited Brands 13,243 434,000 Staples, Inc. 14,631 ---------- 27,874 ---------- TELECOMMUNICATIONS SERVICES - 3.8% 516,660 BellSouth Corporation 14,358 789,715 SBC Communications, Inc. 20,351 707,348 Verizon Communications, Inc. 28,655 ---------- 63,364 ---------- TOBACCO - 2.9% 803,348 Altria Group, Inc. 49,085 ---------- TOTAL COMMON STOCKS (Cost $1,346,053) 1,650,131 ---------- CONVERTIBLE PREFERRED STOCKS - 0.3% INSURANCE - 0.3% (Cost $3,554) 136,100 Genworth Financial, Inc. 4,411 ----------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 2.2% 36,834 Nations Cash Reserves, Capital Class Shares# 36,834 ---------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $36,834) 36,834 ---------- TOTAL INVESTMENTS (Cost $1,386,441*) 100.4% 1,691,376 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (0.4)% (5,979) ---------- NET ASSETS 100.0% $1,685,397 ==========
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. * Cost for federal income tax purposes is $1,386,441. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 314,622 9,687 304,935
= 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 NATIONS FUNDS NATIONS MARSICO MIDCAP GROWTH FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - ---------- ------- COMMON STOCKS - 98.6% AEROSPACE AND DEFENSE - 0.9% 34,447 Alliant Techsystems Inc.= $ 2,252 48,602 Rockwell Automation, Inc. 2,408 ------- 4,660 ------- APPAREL AND TEXTILES - 1.5% 132,850 Coach, Inc.= 7,493 ------- BROADCASTING AND CABLE - 2.5% 639,450 Lions Gate Entertainment Corporation= 6,791 68,062 Pixar, Inc.= 5,827 ------- 12,618 ------- CHEMICALS - SPECIALTY - 3.5% 318,428 Monsanto Company 17,689 ------- COMMERCIAL BANKING - 5.6% 183,614 Bank of Hawaii Corporation 9,317 220,322 East-West Bancorp, Inc. 9,245 295,659 South Financial Group, Inc. 9,617 ------- 28,179 ------- COMPUTERS AND OFFICE EQUIPMENT - 0.8% 60,801 NCR Corporation= 4,209 ------- CONSUMER CREDIT AND MORTGAGES - 4.4% 599,559 Countrywide Financial Corporation 22,190 ------- DIVERSIFIED ELECTRONICS - 3.6% 142,435 Harman International Industries, Inc. 18,089 ------- DIVERSIFIED MANUFACTURING - 1.9% 50,224 Black & Decker Corporation 4,436 86,845 Ceradyne, Inc.= (a) 4,969 ------- 9,405 ------- FINANCE - MISCELLANEOUS - 11.0% 96,753 Chicago Mercantile Exchange Holdings, Inc. 22,128 262,824 MarketAxess Holdings, Inc.= (a) 4,471 112,130 Moody's Corporation 9,738 408,583 UCBH Holdings Inc. 18,721 ------- 55,058 ------- FOOD AND DRUG STORES - 2.0% 105,641 Whole Foods Market, Inc. 10,073 ------- HEALTH SERVICES - 6.4% 265,950 AMERIGROUP Corporation= 20,122 184,306 Foxhollow Technologies, Inc. (a) 4,532 75,583 Quest Diagnostics Inc. 7,222 ------- 31,876 ------- HEAVY MACHINERY - 2.3% 28,831 Cummins, Inc. 2,416 57,948 PACCAR, Inc. 4,664 56,422 Parker-Hannifin Corporation 4,273 ------- 11,353 ------- HOUSING AND FURNISHING - 3.8% 141,695 Toll Brothers, Inc.= 9,721 316,380 WCI Communities, Inc.= 9,302 ------- 19,023 ------- INVESTMENT SERVICES - 2.7% 331,196 Jefferies Group, Inc. 13,341 -------
LODGING AND RECREATION - 19.3% 193,158 Brunswick Corporation 9,561 254,531 Kerzner International Ltd.= (a) 15,285 207,886 Las Vegas Sands Corporation= 9,979 158,527 MGM Mirage Inc.= 11,531 347,958 Royal Caribbean Cruises Ltd. (a) 18,942 7,508,000 Shangri-La Asia Ltd. 10,770 85,116 Station Casinos, Inc. 4,654 240,032 Wynn Resorts, Ltd.= 16,063 ------- 96,785 ------- MEDICAL DEVICES AND SUPPLIES - 4.9% 235,228 St. Jude Medical, Inc.= 9,863 521,994 Wright Medical Group, Inc.= 14,877 ------- 24,740 ------- NETWORKING AND TELECOMMUNICATIONS EQUIPMENT - 2.4% 284,204 QUALCOMM Inc. 12,050 ------- PHARMACEUTICALS - 0.9% 75,726 Genzyme Corporation= 4,397 ------- PUBLISHING AND ADVERTISING - 2.4% 146,141 Getty Images, Inc.= 10,062 47,796 Lamar Advertising Company= 2,045 ------- 12,107 ------- RAILROADS, TRUCKING AND SHIPPING - 3.0% 184,106 Expeditors International of Washington, Inc. 10,288 68,235 UTI Worldwide, Inc. 4,641 ------- 14,929 ------- REAL ESTATE - 1.0% 62,785 Brascan Corporation 2,261 43,091 The St. Joe Company 2,767 ------- 5,028 ------- RESTAURANTS - 2.6% 110,305 The Cheesecake Factory, Inc.= 3,582 202,208 Yum! Brands, Inc. 9,540 ------- 13,122 ------- SOFTWARE - 4.4% 78,875 Adobe Systems Inc. 4,949 280,781 Electronic Arts Inc.= 17,318 ------- 22,267 ------- SPECIALTY STORES - 2.9% 410,367 PETsMart, Inc. 14,580 ------- TELECOMMUNICATIONS SERVICES - 1.9% 572,596 Crown Castle International Corporation= 9,528 ------- TOTAL COMMON STOCKS (Cost $432,412) 494,789 -------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 4.4% 22,141 Nations Cash Reserves, Capital Class Shares# 22,141 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $22,141) 22,141 -------- TOTAL INVESTMENTS (Cost $454,553*) 103.0% 516,930 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (3.0)% (15,085) -------- NET ASSETS 100.0% $501,845 ========
- ---------- 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. * Cost for federal income tax purposes is $454,553. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 63,841 1,464 62,377
= 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. The portion that represents cash collateral is $11,037. (a) All or portion of security was on loan at December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004, is $10,950 and $10,701, respectively. ABBREVIATION: LTD - Limited NATIONS FUNDS NATIONS GLOBAL VALUE FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
VALUE SHARES (000) - ---------- ------- COMMON STOCKS - 99.1% BRAZIL - 2.9% 49,700 Brasil Telecom Participacoes SA, ADR $ 1,896 127,400 Petroleo Brasileiro SA, ADR 4,613 342,100 Tele Norte Leste Participacoes SA, ADR 5,771 ------- 12,280 ------- FRANCE - 2.2% 587,600 Alcatel SA= 9,145 ------- GERMANY - 9.6% 258,100 Bayerische Hypo- und Vereinsbank AG= 5,865 156,800 DaimlerChrysler AG 7,524 426,603 Deutsche Telekom AG= 9,660 53,510 E.On AG 4,884 64,525 Hypo Real Estate Holdings AG= 2,676 22,000 Muenchener Rueckversicherungs - Gesellschaft AG= 2,698 154,700 Volkswagen AG 7,023 ------- 40,330 ------- ITALY - 2.9% 890,178 Banca Intesa SpA 4,281 1,911,493 Telecom Italia SpA 7,814 ------- 12,095 ------- JAPAN - 13.0% 121,000 Fuji Photo Film Company, Ltd. 4,473 1,298,000 Hitachi, Ltd. 8,999 270,000 Matsushita Electric Industrial Company Ltd. 4,315 596 Millea Holdings, Inc. 8,857 755 Mitsubishi Tokyo Financial Group, Inc. 7,645 1,843 Nippon Telegraph and Telephone Corporation 8,296 133,500 Sankyo Company, Ltd. 3,014 1,144 Sumitomo Mitsui Financial Group, Inc. 8,311 ------- 53,910 ------- MEXICO - 1.5% 167,500 Telefonos de Mexico SA de CV 'L', ADR 6,419 ------- NETHERLANDS - 10.5% 344,479 ABN AMRO Holding NV 9,125 711,600 Aegon NV 9,702 80,800 Akzo Nobel NV 3,446 223,483 ING Groep NV 6,762 374,580 Koninklijke Ahold NV= 2,902 136,120 Koninklijke Ahold NV=@ 1,055 162,400 Unilever NV 10,889 ------- 43,881 ------- RUSSIA - 1.2% 40,600 LUKOIL, ADR 4,929 ------- SOUTH KOREA - 1.6% 22,790 KT Corporation 914 272,820 KT Corporation, ADR (a) 5,950 ------- 6,864 -------
SPAIN - 5.2% 367,780 Banco Bilbao Vizcaya Argentaria SA 6,517 463,600 Banco Santander Central Hispano SA 5,763 498,341 Telefonica SA 9,378 ------- 21,658 ------- SWITZERLAND - 5.2% 48,300 Nestle SA 12,660 39,600 Zurich Financial Services AG= 6,597 15,400 Zurich Financial Services AG=@ 2,566 ------- 21,823 ------- UNITED KINGDOM - 11.0% 2,519,100 BAE Systems plc 11,148 1,664,893 BT Group plc 6,489 491,200 GlaxoSmithKline plc 11,524 1,079,400 J Sainsbury plc 5,606 1,359,961 Marks & Spencer Group plc 8,956 246,100 Unilever plc 2,417 ------- 46,140 ------- UNITED STATES - 32.3% 345,900 Albertson's, Inc. 8,260 120,100 Altria Group, Inc. 7,338 312,800 BellSouth Corporation 8,693 325,600 Bristol-Myers Squibb Company 8,342 479,800 El Paso Corporation 4,990 370,700 Ford Motor Company 5,427 135,100 Goodyear Tire & Rubber Company= (a) 1,981 72,700 J.P. Morgan Chase & Company 2,836 86,900 Loews Corporation 6,109 299,300 Merck & Company, Inc. 9,620 330,000 Micron Technology, Inc.= 4,076 296,000 Pfizer Inc. 7,959 534,200 Safeway Inc.= 10,545 285,500 SBC Communications Inc. 7,357 554,900 Schering-Plough Corporation 11,586 509,400 Tenet Healthcare Corporation= 5,593 641,319 The Kroger Company= 11,248 127,200 Toys R Us, Inc.= 2,604 201,500 Unisys Corporation= 2,051 92,800 Verizon Communications Inc. 3,759 249,700 Xerox Corporation= 4,247 ------- 134,621 ------- TOTAL COMMON STOCKS (Cost $336,771) 414,095 -------
SHARES (000) - ---------- AFFILIATED INVESTMENT COMPANIES - 2.9% 12,330 Nations Cash Reserves, Capital Class Shares# 12,330 -------- TOTAL AFFILIATED INVESTMENT COMPANIES 12,330 -------- (Cost $12,330) TOTAL INVESTMENTS (Cost $349,101*) 102.0% 426,425 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (2.0)% (8,423) -------- NET ASSETS 100.0% $418,002 ========
- ------------ 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. * Cost for federal income tax purposes is $349,101. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 86,540 9,216 77,324
@ 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. The portion that represents cash collateral is $8,337. (a) All or a portion of security was on loan at December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004 is $8,244 and $7,873, respectively. ABBREVIATIONS: ADR - American Depository Receipt LTD - Limited NATIONS FUNDS NATIONS BOND FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------- ----- ASSET-BACKED SECURITIES - 13.5% ASSET-BACKED - AUTO LOANS - 3.8% USD1,333 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, USD1,349 5.370% 06/12/08 16 Americredit Automobile Receivables Trust, Series 2003-AM, Class A2A, 16 1.670% 10/06/06 3,008 Americredit Automobile Receivables Trust, Series 2004-AF, Class A2, 2,997 1.490% 05/07/07 2,743 BMW Vehicle Owner Trust, Series 2003-A, Class A3, 2,730 1.940% 02/25/07 1,024 Capital Auto Receivables Asset Trust, Series 2002-2, Class CTFS, 1,029 4.180% 10/15/07 1,459 Capital Auto Receivables Asset Trust, Series 2003-2, Class B, 1,462 2.683%** 01/15/09 2,394 Capital Auto Receivables Asset Trust, Series 2003-3, Class A1B, 2,394 2.453%** 01/16/06 1,190 Capital One Prime Auto Receivables Trust, Series 2004-1, Class A2, 1,187 1.470% 06/15/06 3,805 Chase Manhattan Auto Owner Trust, Series 2003-A, Class A3, 3,777 1.520% 05/15/07 1,951 Chase Manhattan Auto Owner Trust, Series 2003-A, Class CTFS, 1,922 2.040% 12/15/09 2,000 Chase Manhattan Auto Owner Trust, Series 2003-C, Class A3, 1,983 2.260% 11/15/07 1,500 Chase Manhattan Auto Owner Trust, Series 2003-C, Class CTFS, 1,485 2.780% 06/15/10 497 Daimler Chrysler Auto Trust, Series 2003-A, Class A2, 496 1.520% 12/08/05 6,610 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 6,697 5.180% 10/16/06 5,000 Ford Credit Auto Owner Trust, Series 2003-A, Class B1, 4,976 3.160% 08/15/07 6,275 Ford Credit Auto Owner Trust, Series 2003-B, Class A3B, 6,276 2.453%** 01/15/07 770 Harley-Davidson Motorcycle Trust, Series 2003-2, Class A1, 766 1.340% 01/15/08 538 Harley-Davidson Motorcycle Trust, Series 2003-2, Class B, 526 1.890% 02/15/11 3,703 Harley-Davidson Motorcycle Trust, Series 2004-2, Class A1, 3,680 2.180% 01/15/09 2,905 Harley-Davidson Motorcycle Trust, Series 2004-2, Class B, 2,888 2.960% 02/15/12 682 Honda Auto Receivables Owner Trust, Series 2002-3, Class A3, 683 3.000% 05/18/06 2,191 Honda Auto Receivables Owner Trust, Series 2003-1, Class A3, 2,184 1.920% 11/20/06 3,914 Honda Auto Receivables Owner Trust, Series 2003-2, Class A3, 3,888 1.690% 02/21/07 2,944 Household Automotive Trust, Series 2003-2, Class A3, 2,923 2.310% 04/17/08 180 Mitsubishi Motor Credit America, Inc. Automobile Trust, 181 Series 2001-2, Class B, 5.750% 06/15/07 2,911 WFS Financial Owner Trust, Series 2004-1, Class A2, 2,892 1.510% 07/20/07 3,934 WFS Financial Owner Trust, Series 2004-1, Class B, 3,875
2.340% 08/22/11 7,704 World OMNI Auto Receivables Trust, Series 2001-B, Class A4, 7,751 4.490% 08/20/08 ------ 73,013 ------ ASSET-BACKED - CREDIT CARD RECEIVABLES - 3.4% 15,000 American Express Credit Account Master Trust, Series 2000-3, 15,004 Class B, 2.753%** 11/15/07 2,089 Bank One Issuance Trust, Series 2002-A4, Class A4, 2,088 2.940% 06/16/08 4,250 Bank One Issuance Trust, Series 2003-B2, Class B2, 4,256 2.633%** 02/17/09 3,500 Capital One Master Trust, Series 2002-3A, Class B, 3,511 4.550% 02/15/08 10,000 Capital One Multi-Asset Execution Trust, Series 2002-B1, Class B1, 10,027 3.083% 07/15/08 2,630 Chase Credit Card Master Trust, Series 2002-2, Class C, 2,635 3.303%** 07/16/07 4,100 Citibank Credit Card Issuance Trust, Series 2002-A3, Class A3, 4,126 4.400% 05/15/07 3,500 Gracechurch Card Funding Plc, Series 6, Class B, 3,502 2.593%** 02/17/09 12,920 MBNA Credit Card Master Note Trust, Series 2002-A4, Class A4, 12,951 2.513% 08/17/09 7,000 MBNA Master Credit Card Trust, Series 1998-F, Class A, 7,004 2.590%** 02/15/08 ------ 65,104 ------ ASSET-BACKED - HOME EQUITY LOANS - 5.0% 1,079 Ameriquest Finance NIM Trust, Series 2003-N10A, 1,080 2.678%** 08/25/08 668 ARGENT NIM Trust, Series 2004-WN2, Class A, 669 4.550% 04/25/34 1,786 Bear Stearns Asset Backed Securities, Inc., Series 2004-2, Class A1, 1,785 2.918% 08/25/34 1,693 CDC Mortgage Capital trust, Series 2003-HE4, Class A2, 1,694 2.648%** 03/25/34 774 Chase Funding Mortgage Loan Asset-Backed, Series 2003-6, Class 2A1, 774 2.587% 05/25/21 2,673 Chase Funding Mortgage Loan Asset-Backed, Series 2004-1, Class 1A1, 2,673 2.527% 11/25/18 295 Chase Funding Net Interest Margin, Series 2003-6A, Class Note, 295 5.000% 01/27/35 547 Contimortgage Home Equity Loan Trust, Series 1996-4, Class A9, 569 6.880% 01/15/28 15,000 Countrywide Asset- Backed Certificates, Series 2004-11, Class A2, 15,016 2.800% 03/25/33** 431 Countrywide Asset-Backed Certificates, Series 2003-5, Class AF1B, 431 2.598%** 08/25/22 9,000 Countrywide Asset-Backed Certificates, Series 2004-14, Class A2, 9,000 2.690% 06/25/36 15,000 Countrywide Asset-Backed Certificates, Series 2004-ECC1, Class 2A2, 15,000 2.718% 12/25/32** 15,057 Fieldstone Mortgage Investment Corporation, Series 2004-4, Class 2A, 15,053 2.738% 10/25/35** 2,114 First Alliance Mortgage Loan Trust, Series 1994-2, Class A1, 2,111 7.625% 07/25/25 525 First Plus Home Loan Trust, Series 1998-2, Class M1, 525 7.720% 05/10/24 5,000 GMAC Mortgage Corporation Loan Trust, Series 2004-HE1, Class A1, 5,002 2.498%** 06/25/34 126 Merrill Lynch Mortgage Investors, Inc., Series 2002-HE1N, Class N1, 126 3.018%** 11/25/09 13,790 Merrill Lynch Mortgage Investors, Inc., Series 2004-WMC5, Class A2A, 13,791 2.788% 07/25/35** 172 Residential Asset Securities Corporation, Series 2003-KS7, Class 172
AI1, 2.538%** 03/25/19 7,535 Residential Asset Mortgage Products, Inc., Series 2004-RS7, 7,536 Class AI1, 2.588% 08/25/22 3,309 Securitized Asset Backed Receivables, Series 2004-OP1, Class A2, 3,309 2.668%** 02/25/34 240 Structured Asset Investment Loan Trust, Series 2003-BC7, Class 1A1, 240 2.548%** 07/25/33 ------- 96,851 ------- ASSET-BACKED - OTHER - 1.3% 193 Bombardier Capital Mortgage Securitization, Series 1998-A, Class A3, 200 6.230% 04/15/28 14,880 CIT Equipment Collateral, Series 2002-VT1, Class A4, 14,987 4.670% 12/21/09 630 Connecticut RRB Special Purpose Trust CL&P-1, Series 2001-1, 635 Class A2, 5.360% 03/30/07 1,590 Oakwood Mortgage Investors Inc., Series 2002-B, Class A1, 1,463 2.633%** 05/15/13 7,811 Oncor Electric Delivery Transition Bond Company, Series 2003-1, 7,746 Class A1, ------- 2.260% 02/15/09 25,031 ------- TOTAL ASSET-BACKED SECURITIES (Cost $260,539) 259,999 ------- CORPORATE BONDS AND NOTES - 32.0% AEROSPACE AND DEFENSE - 0.4% 1,050 BE Aerospace, Inc., Series B, 1,097 8.875% 05/01/11 (a) 3,782 Northrop Grumman Corporation, 4,340 7.125% 02/15/11 2,200 Raytheon Company, 2,292 5.375% 04/01/13 ------- 7,729 ------- AIRLINES - 0.2% 2,957 Continental Airlines, Inc., Series 971A, 2,862 7.461% 04/01/15 500 Continental Airlines, Inc., Series D, 410 7.568% 12/01/06 760 Northwest Airlines Inc., 686 9.875% 03/15/07 (a) ------- 3,958 ------- APPAREL AND TEXTILES - 0.1% 800 Levi Strauss & Company, 890 12.250% 12/15/12 (a) 300 Phillips-Van Heusen Corporation, 326 8.125% 05/01/13 ------- 1,216 ------- AUTOMOTIVE - 1.4% 500 Asbury Automotive Group Inc., 495 8.000% 03/15/14 160 Cooper Standard Auto, 160 8.375% 12/15/14@ 6,697 DaimlerChrysler NA Holdings Corporation, 6,683 4.050% 06/04/08 500 Dura Operating Corporation, Series B, 520 8.625% 04/15/12 7,734 Ford Motor Company, 7,778 7.450% 07/16/31 1,600 Ford Motor Credit Company, 1,724 7.375% 02/01/11 4,263 General Motors Acceptance Corporation, 4,381
6.150% 04/05/07 2,782 General Motors Acceptance Corporation, 2,851 6.875% 09/15/11 2,628 General Motors Acceptance Corporation, 2,701 8.000% 11/01/31 700 Goodyear Tire & Rubber Company, 711 7.857% 08/15/11 (a) ------- 28,004 ------- BEVERAGES - 0.5% 2,856 Anheuser-Busch Companies, Inc., 3,081 5.950% 01/15/33 5,772 Cadbury Schweppes plc, 5,876 5.125% 10/01/13@ ------- 8,957 ------- BROADCASTING AND CABLE - 1.6% 500 Atlantic Broadband Finance LLC, 484 9.375% 01/15/14@ (a) 1,445 Charter Communications Holdings LLC, 1,232 9.920% 04/01/11 1,550 Comcast Cable Communications, Inc., 1,796 7.125% 06/15/13 1,600 CSC Holdings Inc., 1,648 6.750% 04/15/12@ 240 Directv Holdings LLC, 269 8.375% 03/15/13 600 Granite Broadcasting Corporation, 573 9.750% 12/01/10 6,456 Liberty Media Corporation, 6,421 3.500% 09/25/06 500 Paxson Communications Corporation, 525 10.750% 07/15/08 (a) 500 Sinclair Broadcast Group, Inc., 544 8.750% 12/15/11 1,000 Spanish Broadcasting System, Inc., Class A, 1,050 9.625% 11/01/09 2,159 Tele-Communications, Inc., Class A, 3,065 9.875% 06/15/22 2,179 The Walt Disney Company, MTN, 2,272 5.500% 12/29/06 1,740 Time Warner Inc., 1,866 8.110% 08/15/06 2,472 Time Warner Inc., 3,178 9.125% 01/15/13 3,000 Time Warner Inc., 3,629 7.625% 04/15/31 1,852 Viacom Inc., Class B, 1,936 5.625% 05/01/07 355 XM Satellite Radio Inc. 365 7.660% 05/01/09 ------- 30,853 ------- BUILDING MATERIALS - 0.0%+ 360 Acih Inc., 260 0.000% 12/15/12@ ------- CHEMICALS - BASIC - 0.3% 50 Aventine Renewable Energy, 51 8.501%** 12/15/11@ 750 Lyondell Chemical Company, Series A, 825 9.625% 05/01/07 1,994 The Dow Chemical Company, 2,184 6.125% 02/01/11 2,716 The Dow Chemical Company, 3,295 7.375% 11/01/29 ------- 6,355 ------- CHEMICALS - SPECIALTY - 0.7%
2,108 E.I. du Pont de Nemours and Company, 2,100 3.375% 11/15/07 1,218 Eastman Chemical Company, 1,189 3.250% 06/15/08 2,428 Eastman Chemical Company, 2,627 6.300% 11/15/18 700 Equistar Chemicals, LP, 812 10.625% 05/01/11 2,200 Huntsman International Holdings LLC, 1,232 0.000% 12/31/09*** 130 Huntsman International LLC, 130 7.375% 01/01/15@ 1,989 Praxair, Inc., 2,047 4.750% 07/15/07 2,325 Praxair, Inc., 2,515 6.500% 03/01/08 ------- 12,652 ------- COMMERCIAL BANKING - 4.1% 10,455 Bank One Corporation, 11,190 6.000% 08/01/08 7,489 First Union National Bank, 7,995 5.800% 12/01/08 7,008 J.P. Morgan Chase & Company, 7,587 7.250% 06/01/07 2,861 Mellon Funding Corporation, 2,947 4.875% 06/15/07 5,096 National City Bank, 5,044 4.625% 05/01/13 (a) 5,628 PNC Funding Corporation, 5,836 5.750% 08/01/06 5,292 Popular North America Inc., MTN, Series E, 5,515 6.125% 10/15/06 2,100 The Bank of New York, Inc., MTN, Series E, 2,117 3.900% 09/01/07 6,846 Union Planters Corporation, 6,834 4.375% 12/01/10 3,654 US Bank N.A., Minnesota, 3,623 2.850% 11/15/06 6,752 US Bank N.A., Minnesota, 7,498 6.375% 08/01/11 6,302 Washington Mutual, Inc., 6,563 5.625% 01/15/07 6,200 Washington Mutual, Inc., 5,928 4.625% 04/01/14 ------- 78,677 ------- COMMERCIAL SERVICES - 0.4% 1,000 Allied Waste North America Inc., 1,025 7.875% 04/15/13 1,000 Language Line Inc., 1,060 11.125% 06/15/12 5,056 Waste Management, Inc., 5,794 7.375% 08/01/10 500 Waste Services Inc., 498 9.500% 04/15/14@ (a) ------- 8,377 ------- COMPUTERS AND OFFICE EQUIPMENT - 0.5% 6,394 Hewlett-Packard Company, 6,657 5.750% 12/15/06 3,173 International Business Machines Corporation, 3,258 4.875% 10/01/06 ------- 9,915 ------- CONGLOMERATES - 0.1% 2,108 General Electric Company, 2,163 5.000% 02/01/13 -------
CONSTRUCTION - 0.4% 1,820 K. Hovnanian Enterprises Inc., 1,834 6.500% 01/15/14 5,455 KB HOME, 5,400 5.750% 02/01/14 ------- 7,234 ------- CONSUMER CREDIT AND MORTGAGES - 1.1% 4,535 American Express Company, 4,697 5.500% 09/12/06 1,887 American Express Company, 1,896 3.750% 11/20/07 (a) 2,746 American Express Company, 2,831 4.750% 06/17/09 2,090 American General Finance Corporation, MTN, Series H, 2,009 2.750% 06/15/08 10,093 Countrywide Home Loans, Inc., MTN, Series J, 10,409 5.500% 08/01/06 ------- 21,842 ------- CONSUMER PRODUCTS - 0.1% 1,926 Fortune Brands, Inc., 1,908 2.875% 12/01/06 ------- CONSUMER SERVICES - 0.1% 600 Amscan Holdings, Inc., 600 8.750% 05/01/14 250 Finlay Fine Jewelry Corporation, 270 8.375% 06/01/12 350 Jostens IH Corporation, 364 7.625% 10/01/12@ 500 NationsRent Inc., 560 9.500% 10/15/10 345 Service Corporation International, 373 7.700% 04/15/09 ------- 2,167 ------- DEPARTMENT AND DISCOUNT STORES - 0.5% 240 Kohl's Corporation, 249 6.700% 02/01/06 260 Saks Inc., 266 7.000% 12/01/13 2,876 Target Corporation, 3,039 5.400% 10/01/08 1,320 Target Corporation, 1,397 5.375% 06/15/09 4,057 Wal-Mart Stores, Inc., 4,196 5.450% 08/01/06 ------- 9,147 ------- DIVERSIFIED MANUFACTURING - 0.2% 500 Coleman Cable Inc., 531 9.875% 10/01/12@ 750 Fastentech Inc., 863 12.500% 05/01/11@ 500 Koppers Inc., 570 9.875% 10/15/13 750 Mueller Holdings Inc., (0.000)% due 4/15/14 514 14.750% beginning 4/15/09 1,000 TriMas Corporation, 1,060 9.875% 06/15/12 300 WII Components, Inc., 300 10.000% 02/15/12 ------- 3,838 ------- ELECTRIC POWER - NON NUCLEAR - 2.0% 1,804 Appalachian Power Company, Series G, 1,782 3.600% 05/15/08 600 Calpine Corporation, 515
8.500% 07/15/10@ (a) 510 Calpine Generating Corporation, 499 11.050% 04/01/11 (a) 2,980 Consolidated Edison Company of New York, 3,063 4.700% 06/15/09 3,280 Consolidated Edison Company of New York, Series 2000-C, 3,387 6.625% 12/15/05 912 Dominion Resources, Inc., 918 5.000% 03/15/13 (a) 500 Edison Mission Energy, 593 9.875% 04/15/11 2,125 Exelon Generation Company, LLC, 2,179 5.350% 01/15/14 700 Orion Power Holdings, Inc., 889 12.000% 05/01/10 976 Pacific Gas and Electric Company, 965 4.200% 03/01/11 1,377 Pacific Gas and Electric Company, 1,430 6.050% 03/01/34 1,416 Pepco Holdings, Inc., 1,473 5.500% 08/15/07 7,344 Progress Energy, Inc., 7,700 6.050% 04/15/07 500 PSEG Energy Holdings, Inc., 549 8.625% 02/15/08 1,701 Public Service Electric & Gas Company, MTN, Series C, 1,702 4.000% 11/01/08 175 Texco Genco LLC, 181 6.875% 12/15/14@ 3,450 TXU Corporation, 3,427 5.550% 11/15/14@ 5,000 TXU Corporation, 4,951 6.550% 11/15/34@ 3,021 Westar Energy, Inc., 3,381 9.750% 05/01/07 ------ 39,584 ------ ELECTRIC POWER - NUCLEAR - 1.2% 2,999 CenterPoint Energy Resources Corporation, Series B, 3,565 7.875% 04/01/13 2,626 FirstEnergy Corporation, Series B, 2,853 6.450% 11/15/11 1,341 FirstEnergy Corporation, Series C, 1,531 7.375% 11/15/31 2,190 Kiowa Power Partners, LLC, 2,199 5.737% 03/30/21@ 4,302 MidAmerican Energy Holdings, Series D, 4,259 5.000% 02/15/14 3,248 Southern Company Capital Funding, Series A, 3,396 5.300% 02/01/07 1,753 Southern Power Company, Series B, 1,916 6.250% 07/15/12 3,516 Virginia Electric and Power Company, Series A, 3,642 5.375% 02/01/07 ------ 23,361 ------ ENERGY - MISCELLANEOUS - 0.0%+ 750 Dynegy Holdings Inc., 722 6.875% 04/01/11 (a) ------ EXPLORATION AND PRODUCTION - 0.7% 230 Chesapeake Energy Corporation, 251 7.500% 06/15/14 6,526 Pioneer Natural Resources Company, 6,995 6.500% 01/15/08 5,520 XTO Energy, Inc., 6,460 7.500% 04/15/12 ------
13,706 ------ FINANCE - MISCELLANEOUS - 2.9% 2,415 Capital One Bank, 2,487 5.000% 06/15/09 2,752 CIT Group, Inc., 2,971 7.375% 04/02/07 6,000 CitiCorp Lease, 7,134 8.040% 12/15/19@ 300 Dollar Financial Group Inc., 326 9.750% 11/15/11 3,225 Fund American Companies, Inc., 3,282 5.875% 05/15/13 8,000 General Electric Capital Corporation, MTN, Series A, 9,363 6.750% 03/15/32 3,546 Household Finance Corporation, 3,745 7.200% 07/15/06 4,336 Household Finance Corporation, 4,633 5.875% 02/01/09 1,907 Household Finance Corporation, 2,107 6.375% 11/27/12 1,743 International Lease Finance Corporation, 1,765 4.500% 05/01/08 6,760 International Lease Finance Corporation, 6,582 3.500% 04/01/09 600 LaBranche & Company Inc., 645 11.000% 05/15/12 2,226 National Rural Utilities Cooperative Finance Corporation, 2,203 3.250% 10/01/07 2,700 National Rural Utilities Cooperative Finance Corporation, 2,886 5.750% 08/28/09 6,000 Rabobank Capital Funding II, 6,105 5.260% 12/29/49@ ------ 56,234 ------ FOOD AND DRUG STORES - 0.5% USD 2,040 CVS Corporation, 2,048 5.298% 01/11/27@ 6,630 Fred Meyer, Inc., 7,309 7.450% 03/01/08 500 Rite Aid Corporation, 505 9.250% 06/01/13 (a) 600 Stater Brothers Holdings Inc., 635 8.125% 06/15/12 (a) ------ 10,497 ------ FOOD PRODUCTS - 0.1% 70 Dole Food Company, Inc., 76 8.625% 05/01/09 700 Merisant Company, 623 9.750% 07/15/13@ 600 Pinnacle Foods Group, Inc., 572 8.250% 12/01/13 (a) ------ 1,271 ------ HEALTH SERVICES - 0.5% 500 Insight Health Services Corporation, Series B, 505 9.875% 11/01/11 750 Tenet Healthcare Corporation, 818 9.875% 07/01/14@ 500 US Oncology, Inc., 559 9.000% 08/15/12@ 6,769 Wellpoint Health Networks Inc., 7,047 6.375% 06/15/06 ------ 8,929 ------ HEAVY MACHINERY - 0.6% 4,968 Caterpillar Financial Services Corporation, 5,139 5.950% 05/01/06
3,142 Caterpillar Financial Services Corporation, MTN, Series F, 3,091 2.350% 09/15/06 130 Douglas Dynamics LLC 132 7.750% 01/15/12@ 4,098 John Deere Capital Corporation, MTN, Series D, 4,092 3.125% 12/15/05 ------ 12,454 ------ HOUSEHOLD PRODUCTS - 0.2% 900 Playtex Products, Inc., 961 9.375% 06/01/11 (a) 1,926 Procter & Gamble Company, 1,982 4.750% 06/15/07 ------ 2,943 ------ HOUSING AND FURNISHING - 0.2% 3,662 Beazer Homes USA, Inc., 3,708 6.500% 11/15/13 ------ INSURANCE - 0.6% 2,213 Mass Mutual Global Funding II, 2,124 2.550% 07/15/08@ 938 MetLife, Inc., 973 5.375% 12/15/12 6,773 Prudential Funding LLC, MTN, 7,329 6.600% 05/15/08@ 1,605 The Hartford Financial Services Group, Inc., 1,576 2.375% 06/01/06 ------ 12,002 ------ INTEGRATED OIL - 1.0% 3,500 Amerada Hess Corporation, 3,905 7.300% 08/15/31 3,495 Conoco Funding Company, 3,620 5.450% 10/15/06 4,830 Conoco Funding Company, 5,391 6.350% 10/15/11 7,032 USX Corporation, 7,279 6.650% 02/01/06 ------ 20,195 ------ INVESTMENT SERVICES - 2.6% 1,944 Bear Stearns Companies Inc., 2,024 5.700% 01/15/07 6,256 Bear Stearns Companies Inc., 6,310 4.500% 10/28/10(a) 2,557 Citigroup Global Markets Holdings Inc., 2,769 6.500% 02/15/08 704 Credit Suisse First Boston USA, Inc., 732 5.875% 08/01/06 3,452 Credit Suisse First Boston USA, Inc., 3,764 6.125% 11/15/11 1,200 Goldman Sachs Group, Inc., 1,215 4.125% 01/15/08 5,858 Goldman Sachs Group, Inc., 6,537 6.600% 01/15/12 4,530 Lehman Brothers Holdings Inc., 4,949 7.000% 02/01/08 5,640 Merrill Lynch & Company, Inc., 6,053 6.000% 02/17/09 2,538 Merrill Lynch & Company, Inc., MTN, Series B, 2,517 2.070% 06/12/06 2,717 Merrill Lynch & Company, Inc., MTN, Series B, 2,710 3.700% 04/21/08 4,509 Morgan Stanley, 5,057 6.750% 04/15/11 ------ 44,637 ------ LODGING AND RECREATION - 0.3%
500 AMF Bowling Worldwide, Inc., 534 10.000% 03/01/10 300 Hard Rock Hotel Inc., 332 8.875% 06/01/13 600 LCE Acquisition Corporation, 650 9.000% 08/01/14@ 500 Marquee Holdings Inc., 338 0.000% 08/15/14@ (a) 500 MGM Mirage, 526 6.750% 09/01/12 1,000 Pinnacle Entertainment, Inc., 1,062 8.250% 03/15/12 300 River Rock Entertainment, 336 9.750% 11/01/11 340 Seneca Gaming Corporation, 358 7.250% 05/01/12 540 Six Flags, Inc., 543 9.625% 06/01/14 104 Virgin River Casino Corporation, 108 9.000% 01/15/12@ 175 Virgin River Casino Corporation, 109 0.000% 01/15/13 500 Wynn Las Vegas LLC, 495 6.625% 12/01/14@ ------ 5,391 ------ MEDICAL DEVICES AND SUPPLIES - 0.1% 1,819 Bristol-Myers Squibb Company, 1,859 4.750% 10/01/06 1,300 MQ Associates Inc., 982 0.000% 08/15/12 ------ 2,841 ------ METALS AND MINING - 0.2% 3,385 Alcoa Inc., 3,916 7.375% 08/01/10 500 Wise Metals Group LLC, 505 10.250% 05/15/12 ------ 4,421 ------ NATURAL GAS DISTRIBUTION - 0.2% 3,631 NiSource Finance Corporation, 3,721 5.400% 07/15/14 ------ NATURAL GAS PIPELINES - 0.7% 3,144 Consolidated Natural Gas Company, Series B, 3,247 5.375% 11/01/06 4,046 Duke Capital LLC, 4,072 4.370% 03/01/09 1,000 El Paso CGP Company, 1,045 7.750% 06/15/10 900 Sonat Inc., 932 7.625% 07/15/11 3,991 Teppco Partners, LP, 4,605 7.625% 02/15/12 500 Williams Companies, Inc., 578 8.125% 03/15/12 ------ 14,479 ------ OILFIELD SERVICES - 0.0%+ 200 Pride International, Inc., 7.375% 07/15/14 219 ------ PAPER AND FOREST PRODUCTS - 0.4% 2,317 International Paper Company, 2,325 4.250% 01/15/09 1,705 MeadWestvaco Corporation, 1,928 6.850% 04/01/12
2,710 MeadWestvaco Corporation, 3,387 8.200% 01/15/30 ------ 7,640 ------ PUBLISHING AND ADVERTISING - 0.6% 1,200 Advanstar Communications Inc., 1,295 12.000% 02/15/11 400 CBD Media Holdings, LLC, 412 9.250% 07/15/12@ (a) 1,000 Dex Media East LLC, 1,139 9.875% 11/15/09 600 Dex Media, Inc., (0.000)% due 11/15/13 470 9.000% beginning 11/15/08, 0.000% 11/15/13 166 News America Holdings Inc., 179 6.625% 01/09/08 647 News America Holdings Inc., 834 9.250% 02/01/13 840 News America Holdings Inc., 894 6.550% 03/15/33 3,650 News America Holdings Inc., 4,630 8.150% 10/17/36 500 Primedia Inc., 529 8.875% 05/15/11 500 Vertis Inc., Series B, 543 10.875% 06/15/09 600 Warner Music Group, 615 7.375% 04/15/14@ 500 WDAC Subsidiary Corporation 493 8.375% 12/01/14@ ------ 12,033 ------ RAILROADS, TRUCKING AND SHIPPING - 0.2% 4,184 Burlington Northern Santa Fe Corporation, 4,730 6.750% 07/15/11 ------ REAL ESTATE - 0.4% 3,136 EOP Operating LP, 3,537 7.000% 07/15/11 3,822 EOP Operating LP, 3,697 4.750% 03/15/14 ------ 7,234 ------ REAL ESTATE INVESTMENT TRUSTS (REITS) - 1.0% 5,483 Camden Property Trust, 5,516 5.375% 12/15/13 2,311 Health Care Property Investors, Inc., 2,530 6.450% 06/25/12 5,439 iStar Financial Inc., Series B, 5,522 4.875% 01/15/09 5,283 Simon Property Group, LP, 5,199 3.750% 01/30/09 750 Thornburg Mortgage, Inc., 797 8.000% 05/15/13 ------ 19,564 ------ RESTAURANTS - 0.0%+ 160 Landry's Restaurants, Inc., 7.500% 12/15/14@ 159 ------ SEMICONDUCTORS - 0.0%+ 600 Amkor Technology, Inc., 9.250% 02/15/08 (a) 614 ------ TELECOMMUNICATIONS SERVICES - 2.1% 500 American Cellular Corporation, Series B, 429 10.000% 08/01/11 3,803 BellSouth Corporation, 3,910
5.000% 10/15/06 (a) 500 Cincinnati Bell Inc., 506 8.375% 01/15/14 (a) 500 Dobson Communications Corporation, Class A, 351 8.875% 10/01/13 (a) 500 Horizon PCS, Inc., 560 11.375% 07/15/12@ 1,000 Nextel Communications, Inc., 1,100 7.375% 08/01/15 500 Nextel Partners, Inc., 555 8.125% 07/01/11 500 Panamsat Holding Corporation, 344 .000% 11/01/14@ (a) 1,000 Qwest Capital Funding, Inc., 980 7.250% 02/15/11 1,000 Qwest Services Corporation, 1,203 14.000%** 12/15/10@ 500 Rural Cellular Corporation, 529 8.250% 03/15/12 7,197 SBC Communications Inc., 7,428 5.750% 05/02/06 600 Securus Technologies, Inc., 600 11.000% 09/01/11@ 1,009 Sprint Capital Corporation, 1,082 6.125% 11/15/08 5,223 Sprint Capital Corporation, 6,362 8.375% 03/15/12 2,977 Sprint Capital Corporation, 3,966 8.750% 03/15/32 350 Time Warner Telecom LLC, 354 9.750% 07/15/08 (a) 500 US Unwired Inc., Series B, 564 10.000% 06/15/12 159 Verizon Global Funding Corporation, 198 7.750% 12/01/30 9,157 Verizon Pennsylvania Inc., Series A, 9,640 5.650% 11/15/11 500 Western Wireless Corporation, Class A, 544 9.250% 07/15/13 (a) ------- 41,205 ------- TOTAL CORPORATE BONDS AND NOTES (Cost $599,927) 619,746 ------- SUPRANATIONAL - 0.5% SUPRANATIONAL BANKS - 0.5% JPY 335,000 African Development Bank, 3,464 1.950% 03/23/10 EUR 870 Corp Andina de Fomento, 1,321 6.375% 06/18/09 GBP 80 European Investment Bank, 165 7.625% 12/07/07 EUR 860 European Investment Bank, 1,172 3.625% 10/15/13 JPY 315,000 International Bank for Reconstruction and Development, 3,238 2.000% 02/18/08 ------- TOTAL SUPRANATIONAL (Cost $8,928) 9,360 ------- FOREIGN BONDS AND NOTES - 7.4% BROADCASTING AND CABLE - 0.0%+ 500 Quebecor Media Inc., 11.125% 07/15/11 571 ------- CHEMICALS - SPECIALTY - 0.0%+ 250 Rhodia SA
8.875% 06/01/11 (a) 252 ----- COMMERCIAL BANKING - 0.1% 2,133 HSBC Holdings plc, 2,564 7.350% 11/27/32@ ----- DIVERSIFIED ELECTRONICS - 0.0%+ 500 Flextronics International Ltd., 495 6.250% 11/15/14@ ----- DIVERSIFIED MANUFACTURING - 0.4% 405 Bombardier Recreational Products Inc., 432 8.375% 12/15/13 (a) 6,000 Hutchison Whampoa International Ltd., 6,319 6.250% 01/24/14@ 110 Maax Corporation, 116 9.750% 06/15/12@ ----- 6,867 ----- EXPLORATION AND PRODUCTION - 0.3% 500 Compton Petroleum Corporation, 553 9.900% 05/15/09 3,225 Gazprom International SA, 3,410 7.201% 02/01/20@ 1,040 Nexen Inc., 1,288 7.875% 03/15/32 ----- 5,251 ----- FINANCE - MISCELLANEOUS - 0.3% 250 Aries Vermoegensverwaltungs, 309 9.600% 10/25/14 JPY 300,000 Eksportfinans ASA, 3,092 1.800% 06/21/10 USD 3,000 UFJ Finance Aruba, 3,342 6.750% 07/15/13 ----- 6,743 ----- INTEGRATED OIL - 0.1% 2,495 Pemex Project Funding Master Trust, 2,773 7.375% 12/15/14 ----- METALS AND MINING - 0.1% 1,683 Codelco Inc., 1,752 5.500% 10/15/13@ 185 Hudbay Mining & Smelting Company, 181 9.625% 01/15/12@ (a) ----- 1,933 ----- NATURAL GAS DISTRIBUTION - 0.0%+ 600 Ocean Rig ASA, 618 10.250% 06/01/08 ----- OILFIELD SERVICES - 0.0%+ 500 CHC Helicopter Corporation, 528 7.375% 05/01/14 500 J. Ray McDermott, S.A., 558 11.000% 12/15/13@ ----- 1,086 ----- PACKAGING AND CONTAINERS - 0.0%+ 500 Crown Euro Holdings S.A., 591 10.875% 03/01/13 ----- PAPER AND FOREST PRODUCTS - 0.0%+ 245 Norske Skog Canada Ltd., Series D, 263 8.625% 06/15/11 200 Tembec Industries, Inc., 201 8.500% 02/01/11 ----- 464 -----
PUBLISHING AND ADVERTISING - 0.0%+ 500 Hollinger Inc., 590 12.875%** 03/01/11@ ----- RAILROADS, TRUCKING AND SHIPPING - 0.5% 3,339 Canadian National Railway Company, 3,843 6.900% 07/15/28 1,000 Stena AB, 990 7.000% 12/01/16@ 800 Ship Finance International Ltd., 824 8.500% 12/15/13 ----- 5,657 ----- SOVEREIGN GOVERNMENT BONDS AND NOTES - 5.0% 1,715 Federal Republic of Brazil, 2,287 14.500% 10/15/09 1,584 Federal Republic of Brazil, 1,509 3.125%** 04/15/12 1,800 Federal Republic of Brazil, 2,119 10.250% 06/17/13 (a) EUR 730 Hellenic Republic, 1,103 5.350% 05/18/11 USD 479 Korea Development Bank, 504 7.250% 05/15/06 JPY 375,000 Ontario (Province of), 3,885 1.875% 01/25/10 AUD 585 Commonwealth of Australia, 512 8.750% 08/15/08 685 Commonwealth of Australia, 575 6.250% 04/15/15 EUR 610 Republic of Bulgaria, 609 2.750% 07/28/11 590 Republic of Bulgaria, 995 7.500% 01/15/13 CAD 400 Government of Canada, 361 5.500% 06/01/10 1,970 Government of Canada, 1,763 5.250% 06/01/13 USD 1,649 Republic of Chile, 1,733 5.500% 01/15/13 902 Republic of Colombia, 1,037 9.750% 04/09/11 EUR 665 Republic of Columbia, 1,141 11.500% 05/31/11 USD 1,400 Republic of Columbia, 1,617 10.000% 01/23/12 EUR 725 Republic of Finland, 1,119 5.375% 07/04/13 2,100 France O.A.T., 3,204 5.500% 10/25/10 2,410 France O.A.T, 3,566 4.750% 10/25/12 2,575 Federal Republic of Germany, 3,868 5.250% 07/04/10 2,320 Federal Republic of Germany, 3,475 5.000% 01/04/12 1,470 Government of Ireland, 2,215 5.000% 04/18/13 JPY 330,000 Republic of Italy, 3,231 0.375% 10/10/06 EUR 2,350 Republic of Italy, 3,366 4.250% 11/01/09 2,130 Republic of Italy, 3,219 5.250% 08/01/11 NZD 250 New Zealand Government, 181 6.500% 02/15/06
1,015 New Zealand Government, 733 6.000% 11/15/11 NOK 1,980 Kingdom of Norway, 371 6.000% 05/16/11 USD 700 Republic of Panama, 830 9.375% 07/23/12 660 Republic of Panama, 726 8.875% 09/30/27 1,240 Republic of Peru, 1,445 9.125% 02/21/12 730 Republic of Philippines, 779 10.625% 03/16/25 (a) PLN 2,700 Republic of Poland, 897 6.000% 05/24/09 USD 450 Republic of Poland, 496 6.250% 07/03/12 580 Republic of Poland, 598 5.250% 01/15/14 2,768 Republic of South Africa, 3,031 6.500% 06/02/14 EUR 2,615 Kingdom of Spain, 3,914 5.000% 07/30/12 SEK 2,110 Kingdom of Sweden, 327 4.000% 12/01/09 4,730 Kingdom of Sweden, 794 5.500% 10/08/12 USD 535 Republic of Turkey, 681 11.000% 01/14/13 GBP 255 United Kingdom Treasury, 534 6.250% 11/25/10 1,625 United Kingdom Treasury, 3,232 5.000% 09/07/14 USD 2,145 Republic of Venezuela, 2,263 9.250% 09/15/27 600 Russian Federation, 678 10.000% 06/26/07 1,970 Russian Federation, 2,038 (5.000%) due 03/31/30 7.500% beginning 03/31/07 5.000% 03/31/30 EUR 840 United Mexican States, 1,283 7.375% 03/13/08 USD 8,050 United Mexican States, 9,454 8.375% 01/14/11 3,056 United Mexican States, 3,255 6.375% 01/16/13 7,791 United Mexican States, 8,413 7.500% 04/08/33 ------- 95,966 ------- TELECOMMUNICATIONS SERVICES - 0.6% 400 Axtel S.A., 431 11.000% 12/15/13 65 Inmarsat Finance plc, (0.000)% due 11/15/12 47 10.375% beginning 11/15/08, 0.000% 11/15/12@ 800 Rogers Cantel Inc., 956 9.750% 06/01/16 7,873 Telus Corporation, 8,554 7.500% 06/01/07 ------- 9,988 ------- TOTAL FOREIGN BONDS AND NOTES (Cost $135,743) 142,409 ------- MORTGAGE-BACKED SECURITIES - 38.2%
AGENCY COLLATERALIZED MORTGAGE OBLIGATIONS - 2.0% 8,178 Fannie Mae, Series 2002-16, Class PG, 8,622 6.000% 04/25/17 8,781 Fannie Mae, Series 2002-47, Class QE, 9,082 5.500% 08/25/17 10,000 Fannie Mae, Series 2004-81, Class KC, 10,060 4.500% 04/25/17 25 FNR, Series 1991-20, Class G, 26 8.250% 03/25/06 10,044 Freddie Mac, Series 2664, Class IO, 1,068 5.500% 05/15/27 9,713 Freddie Mac, Series 2692, Class IA, 823 5.500% 01/15/23 10,000 Freddie Mac, Series 2866, Class XD, 9,819 4.000% 11/15/16 ------- 39,500 ------- CMO-FIXED RATE SECURITIES - 0.5% 9,774 MLCC Mortgage Investors, Inc., Series 2003-G, Class A1, 2.649% 01/25/29 9,771 ------- CMO - FLOATING RATE SECURITIES - 2.0% 7,411 Bear Stearns ALT- A Trust** 7,420 9,841 IMPAC Commercial Mortgage -Backed Trust, Series 2004-5, Class 1A1, 9,841 2.778% 10/25/34** 7,000 IMPAC Secured Assets Corporation, Series 2004-4, Class 1A2, 7,000 2.690% 12/25/3** 9,601 Merrill Lynch Mortgage Investors, Inc., Series 2003-D, Class A, 9,580 2.640% 08/25/28** 6,986 Residential ACCREDIT Loans, Inc., Series 2004-QA1, Class A2, 6,974 2.630% 03/25/34** ------- 40,815 ------- COMMERCIAL MORTGAGE-BACKED SECURITIES - 0.8% 10,000 Bear Stearns Commercial Mortgage Securities Inc., Series 2004-PWR3, 9,889 Class A2, 3.869% 02/11/41 53,297 GMAC Commercial Mortgage Securities Inc., Series 1997-C1, Class X, 2,257 Interest Only, 1.489%** 07/15/29 79,768 Merrill Lynch Mortgage Investors, Inc., Series 1998-C3, Interest 2,531 only, ------- 0.968%** 12/15/30 14,677 ------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES - 4.7% 35 8.000% 11/01/09 37 26 8.000% 04/01/10 28 37,000 4.500% 10/15/19 (c) 36,861 311 8.500% 11/01/26 341 30,000 4.500% 11/01/32 (c) 28,969 23,017 6.500% 11/01/32 24,169 ------- 90,405 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES - 22.9% 762 8.000% 12/01/09 786 2 13.000% 01/15/11 2 9 13.000% 01/15/11 10 4 13.000% 02/15/11 4 391 7.000% 10/01/11 414 222 6.000% 09/01/16 233 120 10.000% 09/01/18 133 141,476 5.000% 01/15/20## (c) 143,688 318 6.500% 05/01/32 334 161 6.500% 07/01/32 169 52 6.500% 08/01/32 54 943 6.500% 08/01/32 990 20,000 6.000% 11/01/32 (c) 20,656 272 6.500% 11/01/32 286 9,415 6.500% 01/01/33 9,883
2,393 6.500% 05/01/33 2,512 112,610 5.000% 01/15/35## (c) 111,696 39,000 5.500% 01/15/35 (c) 39,586 105,500 6.500% 01/15/35## (c) 110,611 77 4.185%** 08/01/36 79 ------- 442,126 ------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES - 5.3% 2 8.500% 12/15/05 2 1 8.500% 04/15/06 1 8 8.000% 11/15/07 9 9 8.000% 11/15/07 10 9 9.500% 06/15/09 10 3 9.500% 09/15/09 3 23 8.000% 05/15/17 25 1 8.000% 05/15/17 1 2,093 7.500% 12/15/23 2,263 224 8.500% 02/15/25 246 948 7.500% 07/20/28 1,015 2,574 7.000% 01/15/30 2,738 94,559 5.500% 01/15/35## 96,479 ------- 102,802 ------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $743,911) 740,096 ------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 26.8% FEDERAL HOME LOAN BANK (FHLB) - 0.2% 2,300 3.625% 11/14/08 2,293 2,500 3.875% 06/14/13 2,413 ------- 4,706 ------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 11.2% 4,000 2.875% 05/15/07 (a) 3,959 3,634 5.750% 03/15/09 3,916 5,250 6.000% 06/15/11 5,787 EUR 1,170 5.125% 01/15/12 1,746 USD 4,078 4.500% 01/15/13 4,112 7,510 4.875% 11/15/13## 7,723 2,000 6.750% 03/15/31 2,431 88,000 Discount note 01/11/05## 87,957 100,000 Discount note 01/04/05## 99,994 ------- 217,625 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 15.4% JPY 320,000 2.125% 10/09/07 3,282 USD 5,249 5.250% 01/15/09 5,541 4,000 3.250% 02/15/09 3,922 40,000 4.375% 07/17/13## 38,925 7,000 4.125% 04/15/14 (a) 6,784 2,567 7.250% 05/15/30 3,282 100,000 Discount note 01/11/05## 99,952 100,000 Discount note 01/12/05## 99,946 35,000 Discount note 01/13/05 34,979 ------- 296,613 ------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $517,090) 518,944 ------- U.S. TREASURY OBLIGATIONS - 7.0% U.S. TREASURY BONDS - 0.2% 2,500 6.250% 08/15/23 2,927 ------- U.S. TREASURY NOTES - 4.8% 13,500 3.250% 08/15/07 (a) 13,520 3,000 3.000% 11/15/07 (a) 2,981 37,000 3.250% 01/15/09## 36,679 9,000 3.000% 02/15/09 (a) 8,834 5,550 3.875% 05/15/09 (a) 5,632 6,800 3.625% 07/15/09 6,820 500 3.500% 08/15/09 499
16,500 6.250% 05/15/30 19,727 ---------- 94,692 ---------- U.S. TREASURY STRIPS - 2.0% 20,650 Interest only, 14,100 0.000%*** 11/15/13 50,000 Interest only, 19,650 0.000%*** 05/15/23 5,000 Principal only, 4,685 0.000%*** 02/15/07 (a) ---------- 38,435 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $134,832) 136,054 ---------- Units ----- WARRANTS - 0.0%+ 2,898 Solutia Inc., Expire 07/15/09=(b) (Cost $0) 0++ ---------- Shares (000) - ------- AFFILIATED INVESTMENT COMPANIES - 4.6% 89,185 Nations Cash Reserves, Capital Class Shares# 89,185 ---------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $89,185) 89,185 ---------- TOTAL INVESTMENTS (Cost $2,490,155*) 130.0% 2,515,793 ---------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (30.0)% (580,678) ---------- NET ASSETS 100.0% $1,935,115 ==========
- ---------- 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. * Cost for federal income tax purposes is $2,490,155. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 34,693 9,055 25,638
** Variable rate note. The interest rate shown reflects the rate in effect at December 31, 2004. *** Zero coupon security. The rate shown reflects the yield to maturity at December 31, 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 (Note 9). The portion that represents cash collateral is $45,875. ## All or a portion of security segregated as collateral for futures contracts. (a) All or portion of security was on loan at December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004, is $57,843 and $59,166, respectively. (b) Fair valued security. (c) TBA - Securities purchased on a forward commitment basis. At December 31, 2004, the Fund held the following open futures contracts:
Unrealized Aggregate Appreciation/ Value Face Value Expiration Depreciation Type Contracts (000) (000) Date (000) - ---- --------- ------- ---------- ---------- ------------- U.S. 5 year Treasury Note Futures (long position) 80 $ 8,688 $ 8,763 March 2005 $ 75 U.S. 2 year Treasury Note Futures (long position) 95 19,883 19,911 March 2005 28 U.S. Treasury Bond Futures (long position) 375 41,112 42,187 March 2005 1,075 U.S. 10 year Treasury Note Futures (short position) 161 17,777 18,022 March 2005 (245) ------ $ 933 ------
ABBREVIATIONS: MTN - Medium Term Note ACRONYM Name - ------- ---- AUD Australian Dollar CAD Canadian Dollar EUR Euro Currency GBP British Pound JPY Japanese Yen NOK Norwegian Krona NZD New Zealand Dollar PLN Polish Zloty SEK Swedish Krona USD United States Dollar NATIONS FUNDS NATIONS GOVERNMENT SECURITIES FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------- ------ ASSET-BACKED SECURITIES - 0.7% ASSET-BACKED - HOME EQUITY LOANS - 0.3% $533 First Alliance Mortgage Loan Trust, $ 532 ------ 8.225% 09/20/27 ASSET-BACKED - MANUFACTURED HOUSING - 0.1% 181 Oakwood Mortgage Investors Inc., 167 2.633%** 05/15/13## ------ ASSET-BACKED - OTHER - 0.3% 477 Export Funding Trust, 501 8.210% 12/29/06 ------ TOTAL ASSET-BACKED SECURITIES (Cost $1,198) 1,200 ------ CORPORATE BONDS AND NOTES - 1.9% AUTOMOTIVE - 0.6% 1,000 General Motors Acceptance Corporation, 1,030 7.000% 02/01/12 ------ CHEMICALS - BASIC - 0.6% 1,000 The Dow Chemical Company, 1,095 6.125% 02/01/11 ------ TELECOMMUNICATIONS SERVICES - 0.7% 1,000 Verizon Global Funding Corporation, 1,146 7.250% 12/01/10 ------ TOTAL CORPORATE BONDS AND NOTES (Cost $3,260) 3,271 ------ MORTGAGE-BACKED SECURITIES - 62.1% COMMERCIAL MORTGAGE-BACKED SECURITIES - 1.9% 9,411 Merrill Lynch Mortgage Investors, Inc., 299 Interest only, 0.968%** 12/15/30 2,733 PNC Mortgage Acceptance Corporation, 2,873 5.910% 03/12/34 ------ 3,172 ------ COLLATERALIZED MORTGAGE OBLIGATIONS - 4.4% 4,926 DUS pool, 5,529 6.565% 07/01/16 720 Fannie Mae, 759 6.000% 04/25/17 773 Fannie Mae, 800 5.500% 08/25/17 905 Freddie Mac, 96 5.500% 05/15/27 869 Freddie Mac, 74 5.500% 01/15/23 12,064 Vendee Mortgage Trust, Interest only, 120 0.434%** 09/15/27 (b)## 13,436 Vendee Mortgage Trust, Interest only, 100 0.294%** 03/15/29 (b) ------ 7,478 ------ FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES - 26.6% 34 7.500% 08/01/08-06-01-09 35 84 8.000% 08/01/07-09/01/09 89 58 9.000% 05/01/09-12/01/16 63
20,950 5.000% 03/18/18 (c) 21,264 12 10.000% 05/01/05-09/01/18 13 240 8.500% 01/01/06-09/01/20 262 70 9.500% 04/01/18-01/01/29 78 22,700 5.500% 01/15/35 (c) 23,055 ------- 44,859 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES - 28.3% 6 8.250% 04/01/09 6 95 9.000% 12/01/16-09/01/24 105 41 8.500% 12/01/11-02/01/17 43 3,500 5.500% 03/01/18 (c) 3,616 95 10.000% 10/01/06-04/01/20 103 1,260 9.500% 01/01/19-08/01/21 1,419 24,450 6.000% 09/20/19-05/01/33 (c) 25,298 7,850 5.000% 01/15/20-01/15/35 (c) 7,911 8,750 6.500% 01/15/35 (c) 9,174 32 4.185%** 08/01/36 33 ------- 47,708 ------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES - 0.9% 3 9.500% 11/15/05-02/15/06 3 4 9.000% 06/15/07 5 87 6.000% 12/15/10 92 11 13.000% 02/15/11-04/15/11 13 34 11.000% 12/15/15-10/20/20 38 40 10.000% 08/15/05-11/15/20 44 34 10.500% 01/15/18-04/15/21 40 220 8.500% 10/15/09-12/15/22 243 28 7.000% 02/15/09-06/15/23 30 430 7.500% 04/15/22-12/15/25 464 519 8.000% 11/15/14-07/15/29 567 ------- 1,539 ------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $104,432) 104,756 ------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 54.1% FEDERAL HOME LOAN BANK (FHLB) - 1.0% 1,750 3.875% 06/14/13 1,689 ------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 0.8% 1,300 3.875% 02/15/05 1,302 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 52.3% 56,750 Discount note 01/13/05 56,716 31,450 Discount note 01/19/05 31,419 ------- 88,135 ------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $91,058) 91,126 ------- U.S. TREASURY OBLIGATIONS - 30.7% U.S. TREASURY BONDS - 9.2% 200 6.250% 08/15/23 234 10,700 6.875% 08/15/25 13,478 1,600 5.375% 02/15/31(a) 1,730 ------- 15,442 ------- U.S. TREASURY NOTES - 14.6% 6,000 1.500% 02/28/05 5,995 4,895 1.875% 12/31/05 4,852 500 2.750% 08/15/07(a) 495 5,000 3.250% 08/15/07-01/15/09 (a) 4,997 3,500 3.000% 02/15/09(a) 3,436 510 3.875% 05/15/09(a) 518 500 3.625% 07/15/09 501 400 3.500% 08/15/09 399 2,055 4.000% 02/15/14 2,027 1,350 4.250% 08/15/14 1,353 ------- 24,573 ------- U.S. TREASURY STRIPS - 6.9%
4,500 Interest only, 1,769 5.150%*** 05/15/23 3,450 Principal only, 3,395 2.570%*** 08/15/05 5,500 Principal only, 4,764 3.540%*** 02/15/09 3,100 TIGR Receipts, 1,731 6.310%*** 05/15/17 ---------- 11,659 ---------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $51,474) 51,674 ----------
Shares (000) - ---------- AFFILIATED INVESTMENT COMPANIES - 12.1% 20,337 Nations Cash Reserves, Capital Class Shares# 20,337 --------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $20,337) 20,337 --------- TOTAL INVESTMENTS (Cost $271,759*) 161.6% 272,364 --------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (61.6)% (103,801) --------- NET ASSETS 100.0% $ 168,563 =========
- ---------- 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. * Cost for federal income tax purposes is $271,759. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 1,414 809 605
** Variable rate note. The interest rate shown reflects the rate in effect at December 31, 2004. *** Zero coupon security. The rate shown reflects the yield to maturity at December 31, 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. The portion that represents cash collateral is $10,550. ## All or a portion of security segregated as collateral for futures contracts. (a) All or portion of security was on loan at December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004, is $10,273 and $10,227, respectively. (b) Restricted and illiquid security. (c) TBA - Securities purchased on a forward commitment basis. At December 31, 2004, the Fund held the following open futures contracts:
UNREALIZED AGGREGATE APPRECIATION/ VALUE FACE VALUE EXPIRATION DEPRECIATION TYPE CONTRACTS (000) (000) DATE (000) - -------------- --------- ----- ---------- ---------- ------------- U.S. 2 Year Treasury Note Futures (short position) 15 3,143 3,144 March-2005 $ (1) U.S. 5 Year Treasury Note Futures (short position) 10 1,088 1,095 March-2005 (7) U.S. 10 Year Treasury Note Futures (long position) 30 3,319 3,358 March-2005 39 U.S. Treasury Bond Futures (long position) 49 5,399 5,513 March-2005 114 ---- $145 ----
NATIONS FUNDS NATIONS STRATEGIC INCOME FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------- ------- ASSET-BACKED SECURITIES - 5.1% ASSET-BACKED - AUTO LOANS - 4.3% USD 399 AmeriCredit Automobile Receivables Trust, Series 2001-B, Class A4, USD 404 5.370% 06/12/08 940 AmeriCredit Automobile Receivables Trust, Series 2004-BM, Class A3, 924 2.070% 08/06/08 623 Bank One Auto Securitization Trust, Series 2003-1, Class A3, 616 1.820% 09/20/07 1,126 BMW Vehicle Owner Trust, Series 2004-A, Class A4, 1,121 3.320% 02/25/09 31 Capital Auto Receivables Asset Trust, Series 2002-2, Class CTFS, 32 4.180% 10/15/07 200 Ford Credit Auto Owner Trust, Series 2002-B, Class B, 203 5.180% 10/16/06 485 Ford Credit Auto Owner Trust, Series 2003-A, Class A4A, 483 2.700% 06/15/07 2,503 Ford Credit Auto Owner Trust, Series 2004-A, Class A4, 2,497 3.540% 11/15/08 1,403 Honda Auto Receivables Owner Trust, Series 2004-1, Class A4, 1,388 3.060% 10/21/09 1,391 Household Automotive Trust, Series 2003-2, Class A3, 1,381 2.310% 04/17/08 563 Nissan Auto Receivables Owner Trust, Series 2003-C, Class A4, 558 2.700% 12/17/07 800 Volkswagen Auto Loan Enhanced Trust, Series 2003-2, Class A3, 794 2.270% 10/22/07 ------- 10,401 ------- ASSET-BACKED - CREDIT CARD RECEIVABLES - 0.6% 226 American Express Credit Account Master, Series 2003-4, Class A, 221 1.690% 01/15/09 1,130 Citibank Credit Card Issuance Trust, Series 2003-A5, Class A5, 1,119 2.500% 04/07/08 212 Discover Card Master Trust I, Series 2001-6, Class A, 220 5.750% 12/15/08 ------- 1,560 ------- ASSET-BACKED - HOME EQUITY LOANS - 0.0% 16 First Plus Home Loan Trust, Series 1998-2, Class M1, 16 7.720% 05/10/24 ------- ASSET-BACKED - OTHER - 0.2% 420 CIT Equipment Collateral, Series 2002-VT1, Class A4, 423 4.670% 12/21/09 ------- TOTAL ASSET-BACKED SECURITIES (Cost $12,489) 12,400 ------- CORPORATE BONDS AND NOTES - 11.8% AEROSPACE AND DEFENSE - 0.2% 204 Northrop Grumman Corporation, 234 7.125% 02/15/11 125 Raytheon Company, 130 5.375% 04/01/13 ------- 364 -------
AUTOMOTIVE - 0.7% 443 DaimlerChrysler NA Holdings Corporation, 442 4.050% 06/04/08 485 Ford Motor Company, 489 7.450% 07/16/31 256 General Motors Acceptance Corporation, 263 6.150% 04/05/07 166 General Motors Acceptance Corporation, 170 6.875% 09/15/11 304 General Motors Acceptance Corporation, 312 8.000% 11/01/31 ----- 1,676 ----- BEVERAGES - 0.2% 176 Anheuser-Busch Companies, Inc., 190 5.950% 01/15/33 349 Cadbury Schweppes plc, 355 5.125% 10/01/13@ ----- 545 ----- BROADCASTING AND CABLE - 0.7% 110 Clear Channel Communications, Inc., 114 6.000% 11/01/06 94 Comcast Cable Communications, Inc., 109 7.125% 06/15/13 385 Liberty Media Corporation, 383 3.500% 09/25/06 135 Tele-Communications, Inc., Class A, 192 9.875% 06/15/22 129 The Walt Disney Company, MTN, 135 5.500% 12/29/06 181 Time Warner Entertainment Company LP, 201 7.250% 09/01/08 11 Time Warner Inc., 12 8.110% 08/15/06 45 Time Warner Inc., 58 9.125% 01/15/13 366 Time Warner Inc., 442 7.625% 04/15/31 110 Viacom Inc., Class B, 115 5.625% 05/01/07 ----- 1,761 ----- CHEMICALS - BASIC - 0.1% 92 The Dow Chemical Company, 100 6.125% 02/01/11 68 The Dow Chemical Company, 83 7.375% 11/01/29 ----- 183 ----- CHEMICALS - SPECIALTY - 0.3% 115 E.I. du Pont de Nemours and Company, 115 3.375% 11/15/07 69 Eastman Chemical Company, 67 3.250% 06/15/08 145 Eastman Chemical Company, 157 6.300% 11/15/18 283 Praxair, Inc., 301 6.900% 11/01/06 101 Praxair, Inc., 104 4.750% 07/15/07 32 Praxair, Inc., 35 6.500% 03/01/08 ----- 779 ----- COMMERCIAL BANKING - 1.9% 223 AmSouth Bank N.A., 223 4.850% 04/01/13
623 Bank One Corporation, 667 6.000% 08/01/08 151 Citigroup Inc., 165 6.000% 02/21/12 382 First Union National Bank, 408 5.800% 12/01/08 345 J.P. Morgan Chase & Company, 374 7.250% 06/01/07 70 Mellon Funding Corporation, 72 4.875% 06/15/07 418 National City Bank, 414 4.625% 05/01/13 156 PNC Funding Corporation, 162 5.750% 08/01/06 125 Popular North America Inc., 126 4.250% 04/01/08 114 Popular North America Inc., MTN, Series E, 119 6.125% 10/15/06 86 SouthTrust Bank N.A., 85 4.750% 03/01/13 125 The Bank of New York, Inc., MTN, Series E, 126 3.900% 09/01/07 187 U.S. Bancorp, MTN, Series N, 193 5.100% 07/15/07 418 Union Planters Corporation, 417 4.375% 12/01/10 181 US Bank N.A., Minnesota, 179 2.850% 11/15/06 358 US Bank N.A., Minnesota, 398 6.375% 08/01/11 116 Washington Mutual, Inc., 115 2.400% 11/03/05 210 Washington Mutual, Inc., 219 5.625% 01/15/07 402 Washington Mutual, Inc., 384 4.625% 04/01/14 ----- 4,846 ----- COMMERCIAL SERVICES - 0.1% 139 Waste Management, Inc., 159 7.375% 08/01/10 ----- COMPUTERS AND OFFICE EQUIPMENT - 0.2% 383 Hewlett-Packard Company, 399 5.750% 12/15/06 188 International Business Machines Corporation, 193 4.875% 10/01/06 ----- 592 ----- CONGLOMERATES - 0.1% 129 General Electric Company, 132 5.000% 02/01/13 ----- CONSUMER CREDIT AND MORTGAGES - 0.5% 325 American Express Company, 337 5.500% 09/12/06 102 American Express Company, 103 3.750% 11/20/07 162 American Express Company, 167 4.750% 06/17/09 118 American General Finance Corporation, MTN, Series H, 113 2.750% 06/15/08 541 Countrywide Home Loans, Inc., MTN, Series J, 557 5.500% 08/01/06 ----- 1,277 -----
CONSUMER PRODUCTS - 0.0% 114 Fortune Brands, Inc., 113 2.875% 12/01/06 ----- DEPARTMENT AND DISCOUNT STORES - 0.2% 145 Target Corporation, 153 5.400% 10/01/08 40 Target Corporation, 42 5.375% 06/15/09 166 Wal-Mart Stores, Inc., 172 5.450% 08/01/06 ----- 367 ----- ELECTRIC POWER - NON NUCLEAR - 0.6% 95 Appalachian Power Company, Series G, 94 3.600% 05/15/08 210 Consolidated Edison Company of New York, 216 4.700% 06/15/09 195 Consolidated Edison Company of New York, Series 2000-C, 201 6.625% 12/15/05 55 Dominion Resources, Inc., 55 5.000% 03/15/13 (a) 38 Ohio Edison Company, 38 4.000% 05/01/08 63 Pacific Gas and Electric Company, 62 4.200% 03/01/11 89 Pacific Gas and Electric Company, 92 6.050% 03/01/34 106 Pepco Holdings, Inc., 107 3.750% 02/15/06 9 Pepco Holdings, Inc., 9 5.500% 08/15/07 374 Progress Energy, Inc., 393 6.050% 04/15/07 101 Public Service Electric & Gas Company, MTN, Series C, 101 4.000% 11/01/08 ----- 1,368 ----- ELECTRIC POWER - NUCLEAR - 0.5% 189 CenterPoint Energy Resources Corporation, Series B, 225 7.875% 04/01/13 147 FirstEnergy Corporation, Series B, 160 6.450% 11/15/11 92 FirstEnergy Corporation, Series C, 105 7.375% 11/15/31 305 MidAmerican Energy Holdings, Series D, 302 5.000% 02/15/14 68 Southern California Edison Company, 72 6.000% 01/15/34 190 Southern Company Capital Funding, Series A, 199 5.300% 02/01/07 58 Southern Power Company, Series B, 63 6.250% 07/15/12 90 Virginia Electric and Power Company, Series A, 93 5.375% 02/01/07 ----- 1,219 ----- EXPLORATION AND PRODUCTION - 0.2% 340 XTO Energy, Inc., 398 7.500% 04/15/12 -----
FINANCE - MISCELLANEOUS - 0.8% 151 Capital One Bank, 155 5.000% 06/15/09 155 CIT Group, Inc., 167 7.375% 04/02/07 211 Household Finance Corporation, 223 7.200% 07/15/06 193 Household Finance Corporation, 206 5.875% 02/01/09 95 Household Finance Corporation, 105 6.375% 11/27/12 89 International Lease Finance Corporation, 90 4.500% 05/01/08 438 International Lease Finance Corporation, 427 3.500% 04/01/09 136 National Rural Utilities Cooperative Finance Corporation, 135 3.250% 10/01/07 140 National Rural Utilities Cooperative Finance Corporation, 150 5.750% 08/28/09 122 National Rural Utilities Cooperative Finance Corporation, 159 MTN, Series C, ----- 8.000% 03/01/32 1,817 ----- FOOD AND DRUG STORES - 0.2% 335 Fred Meyer, Inc., 370 7.450% 03/01/08 40 The Kroger Company, 45 6.750% 04/15/12 ----- 415 ----- HEALTH SERVICES - 0.2% 330 Wellpoint Health Networks Inc., 344 6.375% 06/15/06 42 Wellpoint Health Networks Inc., 46 6.375% 01/15/12 ----- 390 ----- HEAVY MACHINERY - 0.3% 239 Caterpillar Financial Services Corporation, 247 5.950% 05/01/06 186 Caterpillar Financial Services Corporation, MTN, Series F, 183 2.350% 09/15/06 244 John Deere Capital Corporation, MTN, Series D, 244 3.125% 12/15/05 ----- 674 ----- HOUSEHOLD PRODUCTS - 0.0% 63 Procter & Gamble Company, 65 4.750% 06/15/07 ----- INSURANCE - 0.5% 127 Mass Mutual Global Funding II, 122 2.550% 07/15/08@ 99 MetLife, Inc., 103 5.375% 12/15/12 101 MetLife, Inc., 110 6.500% 12/15/32 244 Principal Life Global, 267 6.250% 02/15/12@ 388 Prudential Funding LLC, MTN, 419 6.600% 05/15/08@ 78 The Hartford Financial Services Group, Inc., 77 2.375% 06/01/06 68 The Hartford Financial Services Group, Inc., 66 4.625% 07/15/13 -----
1,164 ----- INTEGRATED OIL - 0.3% 209 Conoco Funding Company, 216 5.450% 10/15/06 259 Conoco Funding Company, 289 6.350% 10/15/11 246 USX Corporation, 255 6.650% 02/01/06 ----- 760 ----- INVESTMENT SERVICES - 0.8% 115 Bear Stearns Companies Inc., 120 5.700% 01/15/07 388 Bear Stearns Companies Inc., 392 4.500% 10/28/10 138 Citigroup Global Markets Holdings Inc., 149 6.500% 02/15/08 42 Credit Suisse First Boston USA, Inc., 44 5.875% 08/01/06 201 Credit Suisse First Boston USA, Inc., 219 6.125% 11/15/11 86 Goldman Sachs Group, Inc., 87 4.125% 01/15/08 323 Lehman Brothers Holdings Inc., 325 4.000% 01/22/08 248 Lehman Brothers Holdings Inc., 271 7.000% 02/01/08 77 Lehman Brothers Holdings Inc., 90 7.875% 08/15/10 245 Merrill Lynch & Company, Inc., 263 6.000% 02/17/09 154 Merrill Lynch & Company, Inc., MTN, Series B, 154 3.700% 04/21/08 ----- 2,114 ----- MEDICAL DEVICES AND SUPPLIES - 0.0% 113 Bristol-Myers Squibb Company, 116 4.750% 10/01/06 ----- METALS AND MINING - 0.1% 181 Alcoa Inc., 209 7.375% 08/01/10 ----- NATURAL GAS DISTRIBUTION - 0.1% 223 NiSource Finance Corporation, 229 5.400% 07/15/14 ----- NATURAL GAS PIPELINES - 0.4% 201 Consolidated Natural Gas Company, Series B, 208 5.375% 11/01/06 276 Duke Capital LLC, 278 4.370% 03/01/09 169 Kinder Morgan, Inc., 170 6.650% 03/01/05 244 Teppco Partners, LP, 281 7.625% 02/15/12 ----- 937 ----- PAPER AND FOREST PRODUCTS - 0.2% 132 International Paper Company, 132 4.250% 01/15/09
100 MeadWestvaco Corporation, 113 6.850% 04/01/12 174 MeadWestvaco Corporation, 218 8.200% 01/15/30 ------ 463 ------ PUBLISHING AND ADVERTISING - 0.2% 49 News America Holdings Inc., 63 9.250% 02/01/13 64 News America Holdings Inc., 68 6.550% 03/15/33 204 News America Holdings Inc., 259 8.150% 10/17/36 ------ 390 ------ RAILROADS, TRUCKING AND SHIPPING - 0.1% 212 Burlington Northern Santa Fe Corporation, 240 6.750% 07/15/11 ------ REAL ESTATE - 0.2% 180 EOP Operating LP, 203 7.000% 07/15/11 268 EOP Operating LP, 259 4.750% 03/15/14 ------ 462 ------ REAL ESTATE INVESTMENT TRUSTS (REITS) - 0.2% 326 Camden Property Trust, 328 5.375% 12/15/13 120 Health Care Property Investors, Inc., 131 6.450% 06/25/12 ------ 459 ------ TELECOMMUNICATIONS SERVICES - 0.7% 223 BellSouth Corporation, 229 5.000% 10/15/06 430 SBC Communications Inc., 444 5.750% 05/02/06 51 Sprint Capital Corporation, 55 6.125% 11/15/08 268 Sprint Capital Corporation, 326 8.375% 03/15/12 237 Sprint Capital Corporation, 316 8.750% 03/15/32 55 Verizon Global Funding Corporation, 68 7.750% 12/01/30 241 Verizon Pennsylvania Inc., Series A, 254 5.650% 11/15/11 ------ 1,692 ------ TOTAL CORPORATE BONDS AND NOTES (Cost $27,763) 28,375 ------ SUPRANATIONAL -- 0.3% SUPRANATIONAL BANKS- 0.0% - 0.3% GBP 100 European Investment Bank, 207 7.625% 12/07/07 EUR 350 Corp Andina de Fomento, 531 6.375% 06/18/09 ------ TOTAL SUPRANATIONAL (Cost $704) 738 ------ FOREIGN BONDS AND NOTES - 16.7% BROADCASTING AND CABLE - 0.0% 30 Rogers Cable Inc., 30 6.250% 06/15/13 ------
FINANCE - MISCELLANEOUS - 0.2% EUR 250 Aries Vermogensverwaltng, 388 7.750% 10/25/09@ ------ METALS AND MINING - 0.1% USD 87 Alcan Inc., 97 6.450% 03/15/11 132 Codelco Inc., 137 5.500% 10/15/13@ ------ 234 ------ RAILROADS, TRUCKING AND SHIPPING - 0.1% 192 Canadian National Railway Company, 221 6.900% 07/15/28 ------ SOVEREIGN GOVERNMENT BONDS AND NOTES - 16.1% AUD 315 Commonwealth of Australia, 276 8.750% 08/15/08 AUD 740 Commonwealth of Australia, 622 6.250% 04/15/15 USD 5, 669 Federal Republic of Brazil, 5,399 3.125%** 04/15/12 1,250 Federal Republic of Brazil, 1,692 12.750% 01/15/20 EUR 440 Federal Republic of Germany, 646 6.000% 07/04/07 EUR 850 Federal Republic of Germany, 1,277 5.250% 07/04/10 EUR 750 Federal Republic of Germany, 1,069 4.250% 07/04/14 USD 400 Federation of Malaysia, 467 7.500% 07/15/11 EUR 350 France O.A.T., 534 5.500% 10/25/10 EUR 1,000 France O.A.T., 1,480 4.750% 10/25/12 CAD 1,000 Government of Canada, 895 5.250% 06/01/13 EUR 310 Hellenic Republic, 468 5.350% 05/18/11 NOK 1,280 Kingdom of Norway, 240 6.000% 05/16/11 SEK 5,330 Kingdom of Sweden, 978 6.750% 05/05/14 NZD 525 New Zealand Government, 380 6.500% 02/15/06 NZD1,395 New Zealand Government, 1,008 6.000% 11/15/11 EUR 200 Republic of Bulgaria, 337 7.500% 01/15/13 USD 300 Republic of Bulgaria, 375 8.250% 01/15/15@ 246 Republic of Chile, 258 5.500% 01/15/13 751 Republic of Colombia, 864 9.750% 04/09/11 300 Republic of Colombia, 359 10.750% 01/15/13 300 Republic of Columbia, 386 11.750% 02/25/20 EUR 1,735 Republic of Italy, 2,589 5.000% 02/01/12
USD 400 Republic of Panama, 474 9.375% 07/23/12 704 Republic of Peru, 672 5.000%** 03/07/17 1,200 Republic of Philippines, 1,296 8.875% 04/15/08 200 Republic of Philippines, 214 10.625% 03/16/25 PLN 3,040 Republic of Poland, 1,010 6.000% 05/24/09 USD 500 Republic of South Africa, 573 7.375% 04/25/12 176 Republic of South Africa, 193 6.500% 06/02/14 571 Republic of Venezuela, 569 3.625%** 12/18/07 250 Republic of Venezuela, 264 9.250% 09/15/27 4,800 Russian Federation, 4,964 (5.000%) due 03/31/30 7.500% beginning 03/31/07 5.000% 03/31/30@ GBP 610 United Kingdom Treasury, 1,213 5.000% 09/07/14 USD 400 United Mexican States, 470 8.375% 01/14/11 181 United Mexican States, 193 6.375% 01/16/13 2,050 United Mexican States, 3,136 11.500% 05/15/26 391 United Mexican States, 422 7.500% 04/08/33 550 United Mexican States, Series A, 676 9.875% 02/01/10 ------ 38,938 ------ TELECOMMUNICATIONS SERVICES - 0.2% 486 Telus Corporation, 528 7.500% 06/01/07 ------ TOTAL FOREIGN BONDS AND NOTES (Cost $36,370) 40,339 ------ MORTGAGE-BACKED SECURITIES - 17.6% COLLATERALIZED MORTGAGE OBLIGATIONS - 0.0% 613 Freddie Mac, Series 2664, Class IO, 65 5.500% 05/15/27 574 Freddie Mac, Series 2692, Class IA, 49 5.500% 01/15/23 ------ 114 ------ FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES - 15.1% 14,187 5.000% 01/15/20 (d) 14,409 353 6.500% 12/01/31-05/01/33 370 20,691 6.500% 01/15/35 (d) 21,693 ------ 36,472 ------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES - 2.5% 5,808 5.500% 01/15/35 (d) 5,926 ------ TOTAL MORTGAGE-BACKED SECURITIES (Cost $42,629) 42,512 ------
SHORT TERM INVESTMENTS - 0.0% U.S. TREASURY BILLS - 0.0% 50 1.790%*** 02/10/05 50 -------- TOTAL SHORT TERM INVESTMENTS (Cost $50) 50 -------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 20.4% FEDERAL FARM CREDIT BANK (FFCB) - 0.1% 280 2.500% 03/15/06 278 -------- FEDERAL HOME LOAN BANK (FHLB) - 0.2% 300 2.000% 02/13/06 297 300 3.625% 11/14/08 299 -------- 596 -------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 1.7% 750 4.250% 06/15/05 756 1,000 1.875% 02/15/06 987 546 4.875% 03/15/07-11/15/13 563 680 5.125% 10/15/08 715 550 5.750% 03/15/09 593 406 6.750% 03/15/31 493 -------- 4,107 -------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 18.4% 394 2.625% 11/15/06 390 490 4.375% 09/15/12 490 2,728 4.375% 03/15/13-07/17/13 2,663 20,691 Discount note 01/13/05 20,679 1.680%*** 01/13/05 (d) 14,187 Discount note 01/19/05 14,173 1.850%*** 01/19/05 (d) 5,808 Discount note 01/20/05 5,802 1.860%*** 01/20/05 (d) -------- 44,197 -------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $49,071) 49,178 -------- U.S. TREASURY OBLIGATIONS - 9.2% U.S. TREASURY BONDS - 0.9% 1,810 6.250% 08/15/23 2,119 50 6.875% 08/15/25 63 -------- 2,182 -------- U.S. TREASURY NOTES - 4.4% 300 2.500% 05/31/06 298 2,000 2.750% 06/30/06 1,994 250 2.375% 08/15/06 248 500 2.625% 03/15/09 (a) 483 1,800 3.125% 04/15/09 1,772 900 3.875% 05/15/09 (a) 913 450 4.000% 06/15/09 (a) 459 190 3.625% 07/15/09 191 900 3.500% 08/15/09 898 1,290 4.250% 08/15/13 1,300 96 4.000% 02/15/14 95 715 4.750% 05/15/14 745 1,070 4.250% 08/15/14 1,072 -------- 10,468 --------
U.S. TREASURY STRIPS - 3.9% 2,250 Interest only, 1,536 4.390%*** 11/15/13 4,550 Interest only, 1,788 5.150%*** 05/15/23 7,000 Principal only, 6,129 3490%*** 11/15/08 -------- 9,453 -------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $21,734) 22,103 --------
SHARES (000) - ---------- AFFILIATED INVESTMENT COMPANIES - 34.2% 7,321 High Yield Portfolio@@ 72,932 9,343 Nations Cash Reserves, Capital Class Shares# 9,343 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $81,189) 82,275 -------- TOTAL INVESTMENTS (Cost $271,999*) 115.3% 277,970 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (15.3)% (36,863) -------- NET ASSETS 100.0% $241,107 ========
- ---------- 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. * Cost for federal income tax purposes is $271,999. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 6,405 434 5,971
** Variable rate note. The interest rate shown reflects the rate in effect at December 31, 2004. *** Zero coupon security. The rate shown reflects the yield to maturity at December 31, 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. # 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. The portion that represents cash collateral is $1,963. (a) All or portion of security was on loan at December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004, is $1,889 and $1,920, respectively. (d) TBA - Securities purchased on a forward commitment basis. ABBREVIATION: MTN - Medium Term Note
Acronyms Name - -------- -------------------- AUD Australian Dollar CAD Canadian Dollar EUR Euro Currency GBP British Pound NOK Norwegian Krone NZD New Zealand Dollar PLN Polish Zloty SEK Swedish Krona USD United States Dollar
NATIONS FUNDS NATIONS SHORT-INTERMEDIATE GOVERNMENT FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------- ------- ASSET-BACKED SECURITIES - 1.6% ASSET-BACKED - HOME EQUITY LOANS - 1.6% $ 2,365 Credit-Based Asset Servicing and Securitization, $ 2,379 Series 2004-CB8, Class AF2, 4.134% 12/25/35 833 First Alliance Mortgage Loan Trust, Series 1996-2, Class A3, 832 8.225% 09/20/27 309 Oakwood Mortgage Investors Inc., Series 2002-B, Class A1, 285 2.633%** 05/15/13 2,180 Residential Funding Mortgage Securities, Series 2003-HI2, Class A6, 2,173 4.760% 07/25/28 ------- TOTAL ASSET-BACKED SECURITIES (Cost $5,712) 5,669 ------- MORTGAGE-BACKED SECURITIES - 15.6% COMMERCIAL MORTGAGE-BACKED SECURITIES - 5.6% 1,820 Citigroup Commercial Mortgage Trust, Series 2004-C2, Class A6, 1,807 4.733% 10/15/41 1,483 Fannie Mae, Series 2002-16, Class PG, 1,563 6.000% 04/25/17 1,590 Fannie Mae, Series 2002-47, Class QE, 1,644 5.500% 08/25/17 1,833 Freddie Mac, Series 2664, Class IO, 195 5.500% 05/15/27 1,751 Freddie Mac, Series 2692, Class IA, 148 5.500% 01/15/23## 1,900 GMAC Mortgage Corporation Loan Trust, Series 2004-HE5, Class A3, 1,892 3.970% 09/25/34 1,090 GSAA Trust, Series 2004-10, Class AF2, 1,084 4.220% 08/25/34 1,900 GSAA Trust, Series 2004-5, Class AF2, 1,904 4.736% 06/25/34 15,694 Merrill Lynch Mortgage Investors, Inc., 498 Series 1998-C3, Interest only, 0.968%** 12/15/30 3,324 PNC Mortgage Acceptance Corporation, Series 2001-C1, Class A1, 3,494 5.910% 03/12/34 930 Residential Asset Mortgage Products, Inc., 925 Series 2004-RS12, Class AI3, 3.981% 03/25/29 5,000 Small Business Administration Participation Certificates, 5,022 Series 2004-20K, Class 1, ------- 4.880% 11/01/24 20,176 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES - 8.8% 990 9.000% 04/01/16 1,078 15,000 5.500% 03/01/18 (b) 15,497 15,000 4.500% 11/15/19 (b) 14,948 ------- 31,523 ------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES - 1.2% 2,496 3.375%** 04/20/22 2,528 1,534 3.266%** 06/20/29 1,563 ------- 4,091 ------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $55,944) 55,790 -------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 43.7% FEDERAL FARM CREDIT BANK (FFCB) - 2.4% 8,000 4.900% 03/21/06 8,173 700 2.625% 09/17/07 687 ------- 8,860 ------- FEDERAL HOME LOAN BANK (FHLB) - 6.6% 1,500 1.500% 05/13/05 1,495 6,000 2.000% 02/13/06 5,932 2,250 4.875% 05/15/07 2,327 1,000 2.625% 07/15/08 970 2,500 3.625% 11/14/08 2,493 5,500 4.500% 11/15/12 5,563 5,050 3.875% 06/14/13 4,873 ------- 23,653 ------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 12.7% 2,000 3.875% 02/15/05 2,003 2,000 1.500% 08/15/05 1,985 3,500 2.125% 11/15/05 3,474 5,000 3.875% 01/12/09 4,979 15,000 4.375% 07/30/09 15,059 17,000 4.750% 12/08/10 17,086 750 6.750% 03/15/31 912 ------- 45,498 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 22.0% 5,900 5.000% 01/15/07 6,099 20,400 2.375% 02/15/07 20,023 3,000 5.250% 01/15/09 3,167 3,450 3.250% 02/15/09 3,383 3,400 6.625% 11/15/10 3,842 2,000 5.375% 11/15/11 2,130 3,000 6.125% 03/15/12 3,333 4,000 4.625% 10/15/13 4,037 3,000 4.125% 04/15/14 (a) 2,908 30,000 1.850%*** 01/19/05 29,970 ------- 78,892 ------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $156,864) 156,903 ------- U.S. TREASURY OBLIGATIONS - 47.2% U.S. TREASURY BONDS - 7.0% 17,955 4.250% 11/15/14 (a) 18,002 4,850 6.250% 08/15/23 5,678 1,025 6.875% 08/15/25 1,291 ------- 24,971 ------- U.S. TREASURY NOTES - 17.5% 1,000 1.625% 03/31/05 998 3,800 1.625% 04/30/05 3,791 5,000 1.250% 05/31/05 (a) 4,976 4,500 2.000% 05/15/06 4,447 3,000 4.625% 05/15/06 3,069 3,900 7.000% 07/15/06 4,135 8,100 2.625% 11/15/06 (a) 8,040 4,000 4.375% 05/15/07 4,111 6,000 2.750% 08/15/07 (a) 5,934 3,215 3.250% 08/15/07 (a) 3,220 70 3.375% 11/15/08## 70 12,000 3.250% 01/15/09 11,896 8,000 3.875% 05/15/09 (a) 8,118 ------- 62,805 ------- U.S. TREASURY STRIPS - 22.7% 15,500 Principal only, 15,255 2.570%*** 08/15/05 32,000 Principal only, 30,253 3.040%*** 11/15/06 (a) 41,000 Principal only, 35,894 -------
3.490%*** 11/15/08 81,402 ------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $169,491) 169,178 -------
Shares (000) - ---------- AFFILIATED INVESTMENT COMPANIES - 15.2% 54,511 Nations Cash Reserves, Capital Class Shares# 54,511 -------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $54,511) 54,511 -------- TOTAL INVESTMENTS (Cost $442,522*) 123.3% 442,051 -------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (23.3)% (83,449) -------- NET ASSETS 100.0% $358,602 ========
- ---------- 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. * Cost for federal income tax purposes is $442,522. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Depreciation - ------------ ------------ -------------- 1,510 1,981 471
** Variable rate note. The interest rate shown reflects the rate in effect at December 31, 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. The portion that represents cash collateral is $51,612. ## All or a portion of security segregated as collateral for futures contracts. (a) All or portion of security was on loan at December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004, is $50,332 and $50,239, respectively. (b) TBA - Securities purchased on a forward commitment basis. At December 31, 2004, the Fund held the following open futures contracts:
UNREALIZED AGGREGATE APPRECIATION/ VALUE FACE VALUE EXPIRATION DEPRECIATION TYPE CONTRACTS (000) (000) DATE (000) - ---- --------- ------ ---------- ---------- ------------- U.S. Treasury Bond Futures (short position) 83 9,146 9,338 March-2005 $(192) U.S. 5 Year Treasury Note Futures (long position) 10 1,088 1,095 March-2005 7 U.S. 10 Year Treasury Note Futures (long position) 183 20,244 20,484 March-2005 240 ----- $ 55 -----
NATIONS FUNDS NATIONS SHORT-TERM INCOME FUND SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------- ------ ASSET-BACKED SECURITIES - 20.0% ASSET-BACKED - AUTO LOANS - 7.4% $1,330 AmeriCredit Automobile Receivables Trust, Series $1,347 2001-B, Class A4, 5.370% 06/12/08 5 AmeriCredit Automobile Receivables Trust, Series 5 2003-AM, Class A2A, 1.670% 10/06/06 6,171 BMW Vehicle Owner Trust, Series 2003-A, Class A3, 6,143 1.940% 02/25/07 2,000 BMW Vehicle Owner Trust, Series 2003-A, Class A4, 1,980 2.530% 02/25/08 284 Capital Auto Receivables Asset Trust, Series 285 2002-2, Class CTFS, 4.180% 10/15/07 2,018 Capital Auto Receivables Asset Trust, Series 2,016 2003-1, Class A2A, 2.270% 01/17/06 191 Capital One Auto Finance Trust, Series 2002-A, 191 Class A3, 4.030% 08/15/06 905 Chase Manhattan Auto Owner Trust, Series 2002-A, 910 Class A4, 4.240% 09/15/08 3,805 Chase Manhattan Auto Owner Trust, Series 2003-A, 3,777 Class A3, 1.520% 05/15/07 3,953 Chase Manhattan Auto Owner Trust, Series 2003-B, 3,883 Class A4, 2.570% 02/16/10 1,500 Chase Manhattan Auto Owner Trust, Series 2003-C, 1,487 Class A3, 2.260% 11/15/07 10,000 Chase Manhattan Auto Owner Trust, Series 2004-A, 9,871 Class A3, 2.080% 05/15/08 1,082 Daimler Chrysler Auto Trust, Series 2001-C, 1,088 Class A4, 4.630% 12/06/06 4,700 Daimler Chrysler Auto Trust, Series 2002-A, 4,729 Class A4, 4.490% 10/06/08 5,000 Daimler Chrysler Auto Trust, Series 2004-A, 4,904 Class A4, 2.580% 04/08/09 1,725 Ford Credit Auto Owner Trust, Series 2002-B, 1,748 Class B, 5.180% 10/16/06 4,000 Ford Credit Auto Owner Trust, Series 2002-C, 4,014 Class A4, 3.790% 09/15/06 1,569 Ford Credit Auto Owner Trust, Series 2003-B, 1,569 Class A3B, 2.453%** 01/15/07 1,447 Harley-Davidson Motorcycle Trust, Series 2002-2, 1,446 Class A2, 3.090% 06/15/10 44 Honda Auto Receivables Owner Trust, Series 2002-2, 44 Class A3, 3.830% 02/15/06 2,191 Honda Auto Receivables Owner Trust, Series 2003-1, 2,184 Class A3, 1.920% 11/20/06 4,000 Honda Auto Receivables Owner Trust, Series 2003-4, 3,950 Class A4, 2.790% 03/16/09 1,341 Household Automotive Trust, Series 2002-2, 1,342 Class A3, 2.850% 03/19/07 260 Mitsubishi Motor Credit America, Inc. Automobile 262 Trust, Series 2001-2, Class B, 5.750% 06/15/07 2,214 Nissan Auto Receivables Owner Trust, Series 2002-A, 2,224 Class A4, 4.280% 10/16/06 3,000 Nissan Auto Receivables Owner Trust, Series 2002-C, 3,006 Class A4, 3.330% 01/15/08 1,500 Nissan Auto Receivables Owner Trust, Series 2003-A, 1,485 Class A4, 2.610% 07/15/08
2,516 Nissan Auto Receivables Owner Trust, Series 2003-B, 2,494 Class A3, 1.510% 08/15/07 9,270 Toyota Auto Receivables Owner Trust, Series 2002-A, 9,299 Class A4, 4.000% 07/15/08 4,000 Toyota Auto Receivables Owner Trust, Series 2003-A, 3,949 Class A4, 2.200% 03/15/10 1,050 USAA Auto Owner Trust, Series 2001-2, Class A4, 1,051 3.910% 04/16/07 ------- 82,683 ------- ASSET-BACKED - CREDIT CARD RECEIVABLES - 3.5% 4,052 American Express Credit Account Master, Series 3,963 2003-4, Class A, 1.690% 01/15/09 2,357 Chase Credit Card Master Trust, Series 2000-1, 2,359 Class C, 3.133%** 06/15/07 3,216 Chase Credit Card Master Trust, Series 2002-2, 3,222 Class C, 3.302%** 07/16/07 1,250 Citibank Credit Card Issuance Trust, Series 1,287 2000-A1, Class A1, 6.900% 10/15/07 5,575 Citibank Credit Card Issuance Trust, Series 5,761 2001-A6, Class A6 5.650% 06/16/08 5,000 Citibank Credit Card Issuance Trust, Series 4,956 2003-A5, Class A5, 2.500% 04/07/08 8,500 Discover Card Master Trust I, Series 2001-6, 8,801 Class A, 5.750% 12/15/08 5,000 MBNA Credit Card Master Note Trust, Series 2001-C3, 5,217 Class C3, 6.550% 12/15/08 3,000 MBNA Master Credit Card Trust, Series 1995-C, 3,049 Class A, ------- 6.450% 02/15/08 38,615 ------- ASSET-BACKED - HOME EQUITY LOANS - 8.3% 18,793 AAMES Mortgage Investment Trust, Series 2004-1, 18,793 Class 2A1, 2.758% 01/25/35 20,000 Countrywide Asset-Backed Certificates, Series 20,000 2004-14, Class A2, 2.690% 06/25/36 2,885 Fieldstone Mortgage Investment Corporation, Series 2,885 2004-4, Class 2A, 2.738%** 10/25/35 149 First Plus Home Loan Trust, Series 1998-2, 149 Class M1, 7.720% 05/10/24 13,742 Novastar Home Equity Loan, Series 2003-1, Class A2, 13,749 2.807%** 05/25/33 4,528 Residential Asset Mortgage Products, Inc., Series 4,532 2003-RS2, Class AII, 2.757%** 03/25/33 21,217 Residential Asset Mortgage Products, Inc., Series 21,217 2004-RZ4, Class A2, 2.660% 03/25/32 10,398 Terwin Mortgage Trust, Series 2003-2HE, Class A, 10,428 2.868% 07/25/34 ------- 91,753 ------- ASSET-BACKED - OTHER - 0.8% 2,000 CIT Equipment Collateral, Series 2002-VT1, 2,014 Class A4, 4.670% 12/21/09 407 CIT Equipment Collateral, Series 2002-VT1, Class B, 406 3.970% 12/21/09 983 Connecticut RRB Special Purpose Trust CL&P-1, 990 Series 2001-1, Class A2, 5.360% 03/30/07 5,000 John Deere Owner Trust, Series 2004-A, Class A3, 4,929 2.320% 12/17/07 370 PSE&G Transition Funding LLC, Series 2001-1, 372 Class A2, ------- 5.740% 03/15/07 8,711 ------- TOTAL ASSET-BACKED SECURITIES (Cost $223,560) 221,762 -------
CORPORATE BONDS AND NOTES - 37.8% AEROSPACE AND DEFENSE - 0.4% 4,060 Northrop Grumman Corporation, 4,229 7.000% 03/01/06 ------- AUTOMOTIVE - 2.2% 3,000 DaimlerChrysler North American Holding Corporation, 3,064 4.750% 01/15/08 8,000 Ford Motor Credit Company, 8,629 7.375% 10/28/09 6,500 General Motors Acceptance Corporation, 6,977 7.750% 01/19/10 1,500 Lear Corporation, Series B, 1,524 7.960% 05/15/05 4,000 Toyota Motor Credit Corporation, MTN, 3,983 2.800% 01/18/06 ------- 24,177 ------- BEVERAGES - 0.2% 2,000 Constellation Brands, Inc., 2,135 8.625% 08/01/06 ------- BROADCASTING AND CABLE - 1.5% 2,510 Comcast Cable Communications, Inc., 2,593 6.375% 01/30/06 2,750 Lenfest Communications, Inc., 2,866 8.375% 11/01/05 2,000 Liberty Media Corporation, 1,989 3.500% 09/25/06 4,641 Time Warner Inc., 4,978 8.110% 08/15/06 3,500 Viacom Inc., Class B, 3,659 5.625% 05/01/07 ------- 16,085 ------- BUILDING MATERIALS - 0.3% 750 American Standard Inc., 759 7.375% 04/15/05 2,750 Louisiana-Pacific Corporation, 2,823 8.500% 08/15/05 ------- 3,582 ------- CHEMICALS - BASIC - 0.1% 1,348 Lyondell Chemical Company, Series B, 1,412 9.875% 05/01/07 ------- CHEMICALS - SPECIALTY - 0.2% 2,500 Equistar Chemicals, LP, 2,581 6.500% 02/15/06 ------- COMMERCIAL BANKING - 5.9% 9,500 Bank One National Association, 9,898 5.500% 03/26/07 4,000 Citigroup Inc., 4,128 6.750% 12/01/05 4,000 Citigroup Inc., 4,136 5.500% 08/09/06 5,191 Fifth Third Bancorp, 5,112 2.700% 01/30/07 1,980 Key Bank N.A., 1,994 4.100% 06/30/05 5,000 Marshall & Ilsley Corporation, MTN, Series E, 5,204 5.750% 09/01/06 6,000 PNC Funding Corporation, 6,466 6.875% 07/15/07 11,000 U.S. Bancorp, MTN, Series N, 10,943 2.750% 03/30/06 10,000 Wachovia Corporation, 9,885 3.625% 02/17/09 3,000 Wells Fargo and Company, 3,109
5.900% 05/21/06 4,000 Wells Fargo Financial, Inc., 4,129 4.875% 06/12/07 ------- 65,004 ------- COMMERCIAL SERVICES - 0.4% 1,289 Allied Waste North America Inc., Series B, 1,353 10.000% 08/01/09 (a) 3,000 Waste Management, Inc., 3,439 7.375% 08/01/10 ------- 4,792 ------- COMPUTER SERVICES - 0.4% 4,775 First Data Corporation, 4,882 4.700% 11/01/06 ------- COMPUTERS AND OFFICE EQUIPMENT - 1.1% 5,000 Hewlett-Packard Company, 5,214 5.500% 07/01/07 5,000 International Business Machines Corporation, 5,134 4.875% 10/01/06 1,500 Unisys Corporation, 1,538 7.875% 04/01/08 ------- 11,886 ------- CONSTRUCTION - 0.4% 2,000 KB HOME, 2,200 9.500% 02/15/11 2,000 Toll Corporation, 2,080 8.000% 05/01/09 ------- 4,280 ------- CONSUMER CREDIT AND MORTGAGES - 2.4% 6,125 American General Finance Corporation, MTN, Series F, 6,351 5.875% 07/14/06 3,000 American General Finance Corporation, MTN, Series H, 3,057 4.500% 11/15/07 2,500 Capital One Bank, Bank Note, 2,568 4.875% 05/15/08 7,000 Countrywide Home Loans, Inc., MTN, Series M, 6,968 4.125% 09/15/09 7,500 HSBC Finance Corporation, 8,091 6.400% 06/17/08 ------- 27,035 ------- DEPARTMENT AND DISCOUNT STORES - 1.4% 5,000 Target Corporation, 5,187 5.950% 05/15/06 10,000 Wal-Mart Stores, Inc., 10,232 4.375% 07/12/07 ------- 15,419 ------- ELECTRIC POWER - NON NUCLEAR - 1.0% 1,321 AES Corporation, 1,341 8.500% 11/01/07 (a) 2,425 Kansas Gas & Electric Company, 2,471 6.500% 08/01/05 3,000 Pepco Holdings, Inc., 3,015 3.750% 02/15/06 3,562 Virginia Electric and Power Company, Series A, 3,667 5.750% 03/31/06 ------- 10,494 ------- EXPLORATION AND PRODUCTION - 0.3% 1,000 Devon Energy Corporation, 988 2.750% 08/01/06 2,472 Parker & Parsley Petroleum Company, 2,510 8.875% 04/15/05 ------- 3,498 ------- FINANCE - MISCELLANEOUS - 2.9% 4,000 CIT Group Inc., 4,187
5.500% 11/30/07 5,000 General Electric Capital Corporation, MTN, Series A, 5,151 5.000% 02/15/07 (a) 11,000 General Electric Capital Corporation, MTN, Series A, 11,854 6.500% 12/10/07 635 Midland Funding II, Series A, 659 11.750% 07/23/05 4,000 National Rural Utilities Cooperative Finance Corporation, 4,143 6.000% 05/15/06 6,000 Washington Mutual, Inc., 5,976 4.200% 01/15/10 ------- 31,970 ------- FOOD PRODUCTS - 1.0% 5,710 General Mills, Inc., 5,862 5.125% 02/15/07 1,900 Kellogg Company, Series B, 1,959 6.000% 04/01/06 2,860 Kroger Company, 3,137 7.800% 08/15/07 ------- 10,958 ------- HEALTH SERVICES - 0.3% 3,000 WellPoint Inc., 3,124 6.375% 06/15/06 ------- HEAVY MACHINERY - 0.7% 8,000 Caterpillar Financial Services Corporation, 8,276 5.950% 05/01/06 ------- HOUSEHOLD PRODUCTS - 1.1% 2,306 Hasbro, Inc., 2,343 5.600% 11/01/05 4,000 Newell Rubbermaid Inc., 3,988 2.000% 05/01/05 5,950 Procter & Gamble Company, 6,123 4.750% 06/15/07 ------- 12,454 ------- HOUSING AND FURNISHING - 0.3% 1,675 D.R. Horton, Inc., 1,704 10.500% 04/01/05 1,500 Ryland Group, Inc., 1,605 8.000% 08/15/06 ------- 3,309 ------- INSURANCE - 0.7% 1,500 Allstate Financial Global Funding, 1,546 6.150% 02/01/06@ 5,000 Prudential Insurance Company of America, 5,259 6.375% 07/23/06@ 699 The Hartford Financial Services Group, Inc., 686 2.375% 06/01/06 ------- 7,491 ------- INTEGRATED OIL - 0.5% 5,550 USX Corporation, 6,038 6.850% 03/01/08 ------- INVESTMENT SERVICES - 4.7% 9,500 Bear Stearns Companies Inc., 9,480 3.000% 03/30/06 4,000 Credit Suisse First Boston USA, Inc., 4,193 5.750% 04/15/07 12,000 Goldman Sachs Group, Inc., 12,151 4.125% 01/15/08 5,000 JPMorgan Chase & Company, 5,180 5.625% 08/15/06 (a) 7,000 Lehman Brothers Holdings Inc., 7,048 4.000% 01/22/08 5,500 Merrill Lynch & Company, Inc., MTN, Series C, 5,530
4.125% 01/15/09 8,000 Morgan Stanley, 8,284 6.100% 04/15/06 ------ 51,866 ------ LODGING AND RECREATION - 1.0% 2,000 Ameristar Casinos, Inc., 2,230 10.750% 02/15/09 2,000 Harrahs Operating Company Inc., 2,080 7.875% 12/15/05 702 Host Marriott Corporation, Series B, 721 7.875% 08/01/08 1,500 ITT Corporation, 1,541 6.750% 11/15/05 1,500 Mirage Resorts, Inc., 1,571 7.250% 10/15/06 2,895 Park Place Entertainment Corporation, 3,004 7.875% 12/15/05 ------ 11,147 ------ MEDICAL DEVICES AND SUPPLIES - 0.5% 5,000 Abbott Laboratories, 5,169 5.625% 07/01/06 ------ NATURAL GAS DISTRIBUTION - 0.3% 3,000 Centerpoint Energy Bank Loan, 3,285 (purchased 09/25/03, cost $3,458) ------ 12.750%** 11/11/05 (b) NATURAL GAS PIPELINES - 0.3% 1,820 Kinder Morgan, Inc., 1,832 6.650% 03/01/05 1,500 Transcontinental Gas Pipe Line Corporation, 1,500 6.125% 01/15/05 ------ 3,332 ------ OILFIELD SERVICES - 0.2% 2,000 BRL Universal Equipment 2001 A., LP, Series B, 2,103 8.875% 02/15/08 ------ PACKAGING AND CONTAINERS - 0.4% 2,594 Ball Corporation, 2,724 7.750% 08/01/06 2,000 Stone Container Corporation, 2,190 9.750% 02/01/11 ------ 4,914 ------ PAPER AND FOREST PRODUCTS - 0.4% 4,000 International Paper Company, 4,015 4.250% 01/15/09 ------ PUBLISHING AND ADVERTISING - 0.9% 9,000 Gannett Company, Inc., 9,382 5.500% 04/01/07 1,000 Reed Elsevier Capital Inc., MTN, 1,015 7.000% 05/15/05 ------ 10,397 ------ REAL ESTATE - 0.3% 3,500 EOP Operating LP, 3,516 6.625% 02/15/05 ------ REAL ESTATE INVESTMENT TRUSTS (REITS) - 0.2% 1,900 Host Marriott LP, Series E, 1,986 8.375% 02/15/06 ------ SPECIALTY STORES - 0.5% 5,000 Home Depot, Inc., 5,127 5.375% 04/01/06 (a) ------ TELECOMMUNICATIONS SERVICES - 2.4% 4,000 New York Telephone Company, 4,024 6.500% 03/01/05
3,000 Pacific Bell, 3,018 6.250% 03/01/05 3,000 SBC Communications Inc., 3,096 5.750% 05/02/06 5,000 Sprint Capital Corporation, 5,054 7.900% 03/15/05 6,000 Verizon Global Funding Corporation, 6,874 7.250% 12/01/10 4,000 Vodafone Group plc, 4,642 7.750% 02/15/10 ------- 26,708 ------- TOTAL CORPORATE BONDS AND NOTES (Cost $421,668) 418,676 ------- FOREIGN BONDS AND NOTES - 2.3% BEVERAGES - 0.7% 5,000 Diageo Capital plc, 4,983 3.500% 11/19/07 3,000 Diageo Finance BV, 2,975 3.000% 12/15/06 ------- 7,958 ------- BUILDING MATERIALS - 0.1% 1,313 Hanson Overseas BV, 1,344 6.750% 09/15/05 ------- COMMERCIAL BANKING - 0.5% 5,000 Swedish Export Credit, 4,950 2.875% 01/26/07 ------- INTEGRATED OIL - 0.3% 3,000 BP Capital Markets plc, 3,013 4.000% 04/29/05 497 Pemex Finance Ltd., 518 6.550% 02/15/08 ------- 3,531 ------- PHARMACEUTICALS - 0.3% 3,000 Glaxosmithkline Capital plc, 2,937 2.375% 04/16/07 (a) ------- TELECOMMUNICATIONS SERVICES - 0.4% 4,000 Deutsche Telekom International Finance BV, 4,765 8.500%** 06/15/10 ------- TOTAL FOREIGN BONDS AND NOTES (Cost $25,609) 25,485 ------- MORTGAGE-BACKED SECURITIES - 29.1% CMO-FIXED RATE SECURITIES - 1.8% 20,125 MLCC Mortgage Investors, Inc., Series 2003-G, Class A1, 20,119 2.649% 01/25/29 ------- COMMERCIAL MORTGAGE-BACKED SECURITIES - 16.7% 14,642 Adjustable Rate Mortgage Trust, Series 2004-3, Class 2A1, 14,601 2.698% 02/25/35 9,899 Bear Stearns Alt-A Trust, Series 2004-8, Class 1A, 9,910 2.768% 09/25/34 14,500 Bear Stearns Asset-Backed Securities, Inc., Series 2004-AC5, Class A2, 14,527 2.727% 10/25/34 21,499 Freddie Mac, Series 2522, Class TB, 22,036 5.500% 11/15/21 7,790 Freddie Mac, Series 2695, Class AT, 7,786 4.000% 10/15/26 14,848 Homebanc Mortgage Trust, Series 2004-2, Class A1, 14,863 2.788% 12/25/34 14,314 IMPAC Commercial Mortgage-Backed Trust, Series 2004-5, Class 1A1, 14,314 2.778%** 10/25/34 17,898 IMPAC Commercial Mortgage-Backed Trust, Series 2004-10, Class 2A, 17,898
2.738% 03/25/35 22,000 IMPAC Secured Assets Corporation, Series 2004-4, Class 1A2, 22,000 2.690% 02/25/35 14,738 Merrill Lynch Mortgage Investors, Inc., Series 2003-D, Class A, 14,705 2.640%** 08/25/28 13,864 Merrill Lynch Mortgage Investors, Inc., Series 2004-HB1, Class A1, 13,870 2.688% 04/25/29 18,087 Mortgageit Trust, Series 2004-2, Class A1, 18,097 2.698% 12/25/34 ------- 184,607 ------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 4.5% 27,260 4.000% 06/01/11 27,141 9,282 4.500% 10/01/14 9,282 13,281 4.500% 10/01/14 13,281 ------- 49,704 ------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES - 2.7% 30,000 4.500% 10/15/19 (c) 29,888 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 0.5% 5,037 4.500% 11/01/14 5,123 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES - 2.8% 71 7.500% 11/01/09 73 30,000 5.000% 01/15/20 (c) 30,469 ------- 30,542 ------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES - 0.1% 1,639 3.375%** 04/20/22 1,666 ------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $322,456) 321,649 ------- SOVEREIGN GOVERNMENT BONDS AND NOTES - 1.3% 3,368 Quebec (Province of), 3,467 5.500% 04/11/06 4,000 Republic of Italy, 4,019 7.250% 02/07/05 (a) 7,000 United Mexican States, 7,088 4.625% 10/08/08 ------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $14,535) 14,574 ------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 3.5% FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 3.5% 8,959 5.875% 02/02/06 9,217 30,000 Discount note 01/11/05 29,985 ------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $39,301) 39,202 ------- U.S. TREASURY OBLIGATIONS - 4.7% U.S. TREASURY INFLATION INDEX - 2.0% 19,935 3.625% 01/15/08 21,714 ------- U.S. TREASURY NOTES - 2.7% 30,000 3.125% 09/15/08 29,701 ------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $51,524) 51,415 -------
Shares (000) - ---------- AFFILIATED INVESTMENT COMPANIES - 9.9% 109,926 Nations Cash Reserves, Capital Class Shares# 109,926 ---------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $109,926) 109,926 ---------- TOTAL INVESTMENTS (Cost $1,208,579*) 108.6% 1,202,689 ----------
TOTAL OTHER ASSETS AND LIABILITIES (NET) (8.6)% (95,717) ---------- NET ASSETS 100.0% $1,106,972 ==========
- ---------- 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. * Cost for federal income tax purposes is $1,208,579. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Depreciation - ------------ ------------ -------------- 841 6,731 5,890
** Variable rate note. The interest rate shown reflects the rate in effect at December 31, 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%. ++ 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. The portion that represents cash collateral is $2,682. (a) All or portion of security was on loan at December 31, 2004. The aggregate cost and market value of securities on loan at December 31, 2004, is $2,596 and $2,580, respectively. (b) Loan participation agreement. (c) TBA - Securities purchased on a forward commitment basis. ABBREVIATIONS: MTN - Medium Term Note LTD - Limited NATIONS FUNDS CORPORATE BOND PORTFOLIO SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------- ------ CORPORATE BONDS AND NOTES - 80.6% AEROSPACE AND DEFENSE - 1.4% $233 Boeing Company, $ 241 5.125% 02/15/13 8 General Dynamics Corporation, 8 4.500% 08/15/10 322 Northrop Grumman Corporation, 370 7.125% 02/15/11 120 Raytheon Company, 125 5.375% 04/01/13 ------ 744 ------ AIRLINES - 0.5% 284 Continental Airlines, Inc., Series 971A, 274 7.461% 04/01/15 ------ AUTOMOTIVE - 5.6% 839 DaimlerChrysler NA Holdings Corporation, 837 4.050% 06/04/08 231 Ford Motor Company, 232 7.450% 07/16/31 254 Ford Motor Credit Company, 260 5.800% 01/12/09 758 Ford Motor Credit Company, 817 7.375% 02/01/11 178 General Motors Acceptance Corporation, 183 6.150% 04/05/07 399 General Motors Acceptance Corporation, 409 6.875% 09/15/11 190 General Motors Acceptance Corporation, 195 8.000% 11/01/31 ------ 2,933 ------ BEVERAGES - 1.4% 245 Anheuser-Busch Companies, Inc., 264 5.950% 01/15/33 449 Cadbury Schweppes plc, 457 5.125% 10/01/13@ ------ 721 ------ BROADCASTING AND CABLE - 3.2% 172 Comcast Cable Communications, Inc., 199 7.125% 06/15/13 535 Liberty Media Corporation, 532 3.500% 09/25/06 192 Tele-Communications, Inc., Class A, 273 9.875% 06/15/22 440 Time Warner Inc., 565 9.125% 01/15/13 100 Time Warner Inc., 121 7.625% 04/15/31 ------ 1,690 ------ CHEMICALS - BASIC - 1.0% 248 The Dow Chemical Company, 272 6.125% 02/01/11 208 The Dow Chemical Company, 252 7.375% 11/01/29 ------ 524 ------
CHEMICALS - SPECIALTY - 0.9% 68 Eastman Chemical Company, 66 3.250% 06/15/08 240 Eastman Chemical Company, 260 6.300% 11/15/18 12 Monsanto Company, 12 4.000% 05/15/08## 111 Praxair, Inc., 114 4.750% 07/15/07 ----- 452 ----- COMMERCIAL BANKING - 9.6% 987 Bank One Corporation, 1,057 6.000% 08/01/08 237 Citigroup Inc., 259 6.000% 02/21/12 482 First Union National Bank, 515 5.800% 12/01/08 271 Golden West Financial Corporation, 272 4.750% 10/01/12 186 Mellon Funding Corporation, 192 4.875% 06/15/07 445 National City Bank, 440 4.625% 05/01/13 315 PNC Funding Corporation, 327 5.750% 08/01/06 20 Popular North America Inc., 20 4.250% 04/01/08 312 Popular North America Inc., MTN, Series E, 325 6.125% 10/15/06 87 Regions Financial Corporation, 108 7.750% 09/15/24 75 SouthTrust Bank N.A., 74 4.750% 03/01/13 433 US Bank N.A., Minnesota, 481 6.375% 08/01/11 421 Washington Mutual, Inc., 438 5.625% 01/15/07 587 Washington Mutual, Inc., 562 4.625% 04/01/14 ----- 5,070 ----- COMMERCIAL SERVICES - 0.5% 244 Waste Management, Inc., 280 7.375% 08/01/10 ----- COMPUTERS AND OFFICE EQUIPMENT - 0.4% 172 International Business Machines Corporation, 195 6.500% 01/15/28 ----- CONGLOMERATES - 0.2% 83 General Electric Company, 85 5.000% 02/01/13 ----- CONSUMER CREDIT AND MORTGAGES - 1.8% 146 American Express Company, 147 3.750% 11/20/07 143 American General Finance Corporation, MTN, Series H, 137 2.750% 06/15/08 660 Countrywide Home Loans, Inc., MTN, Series J, 681 5.500% 08/01/06 ----- 965 ----- DEPARTMENT AND DISCOUNT STORES - 2.0% 25 Kohl's Corporation, 26 6.700% 02/01/06
169 Target Corporation, 179 5.400% 10/01/08 314 Target Corporation, 342 5.875% 03/01/12 491 Wal-Mart Stores, Inc., 507 5.450% 08/01/06 ----- 1,054 ----- ELECTRIC POWER - NON NUCLEAR - 3.7% 97 Appalachian Power Company, Series G, 96 3.600% 05/15/08 111 Columbus Southern Power Company, Series D, 124 6.600% 03/01/33 31 Dominion Resources, Inc., 31 5.000% 03/15/13 16 Ohio Edison Company, 16 4.000% 05/01/08## 130 Pacific Gas and Electric Company, 135 6.050% 03/01/34 122 Pepco Holdings, Inc., 123 3.750% 02/15/06 45 Pepco Holdings, Inc., 47 5.500% 08/15/07 433 Progress Energy, Inc., 454 6.050% 04/15/07 26 PSEG Power LLC, 26 5.500% 12/01/15 94 Public Service Electric & Gas Company, MTN, Series C, 94 4.000% 11/01/08 300 TXU Corporation, 298 5.550% 11/15/14@ 500 TXU Corporation, 495 6.550% 11/15/34@ ----- 1,939 ----- ELECTRIC POWER - NUCLEAR - 4.3% 93 American Electric Power Company, Inc., 94 5.250% 06/01/15 293 CenterPoint Energy Resources Corporation, Series B, 348 7.875% 04/01/13 60 Duquesne Light Company, Series O, 67 6.700% 04/15/12 35 Energy East Corporation, 39 6.750% 06/15/12 88 FirstEnergy Corporation, Series B, 96 6.450% 11/15/11 201 FirstEnergy Corporation, Series C, 230 7.375% 11/15/31 210 Kiowa Power Partners, LLC, 211 5.737% 03/30/21@ 507 MidAmerican Energy Holdings, Series D, 502 5.000% 02/15/14 104 Southern California Edison Company, 110 6.000% 01/15/34 255 Southern Company Capital Funding, Series A, 267 5.300% 02/01/07 126 Southern Power Company, Series B, 138 6.250% 07/15/12 180 Virginia Electric and Power Company, Series A, 186 5.375% 02/01/07 ----- 2,288 ----- EXPLORATION AND PRODUCTION - 1.2% 545 XTO Energy, Inc., 638 7.500% 04/15/12 ----- FINANCE - MISCELLANEOUS - 9.9% 119 Capital One Bank, 123
5.000% 06/15/09 193 CIT Group, Inc., 208 7.375% 04/02/07 500 CitiCorp Lease, 595 8.040% 12/15/19@ 275 Fund American Companies, Inc., 280 5.875% 05/15/13 1,032 General Electric Capital Corporation, MTN, Series A, 1,209 6.750% 03/15/32 202 Household Finance Corporation, 216 5.875% 02/01/09 402 Household Finance Corporation, 444 6.375% 11/27/12 110 International Lease Finance Corporation, 111 4.500% 05/01/08 765 International Lease Finance Corporation, 745 3.500% 04/01/09 355 National Rural Utilities Cooperative Finance Corporation, 351 3.250% 10/01/07 221 National Rural Utilities Cooperative Finance Corporation, 236 5.750% 08/28/09 163 National Rural Utilities Cooperative Finance 213 Corporation, MTN, Series C, 8.000% 03/01/32 500 Rabobank Capital Funding II, 509 5.260% 12/29/49@ ----- 5,240 ----- FOOD AND DRUG STORES - 1.6% 160 CVS Corporation, 161 5.298% 01/11/27@ 384 Fred Meyer, Inc., 422 7.450% 03/01/08 202 The Kroger Company, 228 6.800% 04/01/11 12 The Kroger Company, 14 6.750% 04/15/12## ----- 825 ----- HEALTH SERVICES - 1.1% 377 Wellpoint Health Networks Inc., 392 6.375% 06/15/06 185 Wellpoint Health Networks Inc., 204 6.375% 01/15/12 ----- 596 ----- HEAVY MACHINERY - 0.4% 165 John Deere Capital Corporation, 190 7.000% 03/15/12 ----- HOUSEHOLD PRODUCTS - 0.3% 136 Procter & Gamble Company, 140 4.750% 06/15/07 ----- INSURANCE - 2.3% 32 Hartford Life, Inc., 38 7.375% 03/01/31 152 Mass Mutual Global Funding II, 146 2.550% 07/15/08@ 110 MetLife, Inc., 114 5.375% 12/15/12 235 MetLife, Inc., 256 6.500% 12/15/32 50 Principal Life Global, 52 6.125% 03/01/06@ 52 Prudential Financial, Inc., MTN, Series B, 50 4.500% 07/15/13
399 Prudential Funding LLC, MTN, 431 6.600% 05/15/08@ 78 The Hartford Financial Services Group, Inc., 77 2.375% 06/01/06 72 The Hartford Financial Services Group, Inc., 70 4.625% 07/15/13 ----- 1,234 ----- INTEGRATED OIL - 2.0% 325 Amerada Hess Corporation, 363 7.300% 08/15/31 271 Conoco Funding Company, 302 6.350% 10/15/11 351 USX Corporation, 363 6.650% 02/01/06 ----- 1,028 ----- INVESTMENT SERVICES - 9.3% 652 Bear Stearns Companies Inc., 658 4.500% 10/28/10 210 Citigroup Global Markets Holdings Inc., 227 6.500% 02/15/08 30 Credit Suisse First Boston USA, Inc., 31 5.875% 08/01/06 229 Credit Suisse First Boston USA, Inc., 250 6.125% 11/15/11 711 Goldman Sachs Group, Inc., 795 6.600% 01/15/12 254 Goldman Sachs Group, Inc., 251 4.750% 07/15/13 333 Lehman Brothers Holdings Inc., 335 4.000% 01/22/08 352 Lehman Brothers Holdings Inc., 385 7.000% 02/01/08 262 Lehman Brothers Holdings Inc., 308 7.875% 08/15/10 539 Merrill Lynch & Company, Inc., 578 6.000% 02/17/09 125 Merrill Lynch & Company, Inc., MTN, Series B, 124 2.070% 06/12/06 76 Merrill Lynch & Company, Inc., MTN, Series B, 76 3.700% 04/21/08 294 Morgan Stanley, 328 6.600% 04/01/12 518 Morgan Stanley, 533 5.300% 03/01/13 ----- 4,879 ----- METALS AND MINING - 0.5% 223 Alcoa Inc., 258 7.375% 08/01/10 ----- NATURAL GAS DISTRIBUTION - 0.6% 310 NiSource Finance Corporation, 318 5.400% 07/15/14 ----- NATURAL GAS PIPELINES - 1.6% 418 Duke Capital LLC, 421 4.370% 03/01/09 346 Teppco Partners, LP, 399 7.625% 02/15/12 ----- 820 ----- OIL REFINING AND MARKETING - 0.6% 243 Valero Energy Corporation, 275 6.875% 04/15/12 13 Velero Energy Corporation, 16 7.500% 04/15/32## ----- 291 -----
PAPER AND FOREST PRODUCTS - 2.2% 116 Champion International Corporation, 134 7.350% 11/01/25 402 International Paper Company, 428 5.850%** 10/30/12 368 MeadWestvaco Corporation, 416 6.850% 04/01/12 145 MeadWestvaco Corporation, 181 8.200% 01/15/30 ------ 1,159 ------ PUBLISHING AND ADVERTISING - 1.1% 135 Knight-Ridder, Inc., 156 7.125% 06/01/11 125 News America Holdings Inc., 161 9.250% 02/01/13 22 News America Holdings Inc., 23 6.550% 03/15/33 209 News America Holdings Inc., 265 8.150% 10/17/36 ------ 605 ------ RAILROADS, TRUCKING AND SHIPPING - 0.5% 222 Burlington Northern Santa Fe Corporation, 251 6.750% 07/15/11 21 Union Pacific Corporation, 20 4.698% 01/02/24 ------ 271 ------ REAL ESTATE - 1.3% 208 EOP Operating LP, 235 7.000% 07/15/11 443 EOP Operating LP, 428 4.750% 03/15/14 11 ERP Operating LP, 11 5.200% 04/01/13## ------ 674 ------ REAL ESTATE INVESTMENT TRUSTS (REITS) - 2.2% 509 Camden Property Trust, 513 5.375% 12/15/13 149 Health Care Property Investors, Inc., 163 6.450% 06/25/12 487 Simon Property Group, LP, 479 3.750% 01/30/09 ------ 1,155 ------ TELECOMMUNICATIONS SERVICES - 5.4% 83 BellSouth Corporation, 90 6.000% 10/15/11 140 BellSouth Telecommunications Inc., 148 6.375% 06/01/28 490 SBC Communications Inc., 506 5.750% 05/02/06 43 Sprint Capital Corporation, 46 6.125% 11/15/08 562 Sprint Capital Corporation, 685 8.375% 03/15/12 310 Sprint Capital Corporation, 413 8.750% 03/15/32 221 Verizon Global Funding Corporation, 275 7.750% 12/01/30 644 Verizon Pennsylvania Inc., Series A, 678 5.650% 11/15/11 ------ 2,841 ------ TOTAL CORPORATE BONDS AND NOTES (Cost $41,587) 42,376 ------
FOREIGN BONDS AND NOTES - 11.9% BROADCASTING AND CABLE - 0.0%+ 11 Rogers Cable Inc., 11 6.250% 06/15/13## ----- BUILDING MATERIALS - 0.4% 184 Hanson Overseas BV, 188 6.750% 09/15/05 ----- COMMERCIAL BANKING - 0.9% 6 Barclays Bank plc, 7 7.400% 12/15/09 123 HSBC Holdings plc, 148 7.350% 11/27/32@ 322 Scotland International Finance, 309 4.250% 05/23/13@ ----- 464 ----- DIVERSIFIED MANUFACTURING - 1.0% 500 Hutchison Whampoa International Ltd., 527 6.250% 01/24/14@ ----- EXPLORATION AND PRODUCTION - 0.8% 275 Gazprom International SA, 291 7.201% 02/01/20@ 90 Nexen Inc., 111 7.875% 03/15/32 ----- 402 ----- FINANCE - MISCELLANEOUS - 0.5% 250 UFJ Finance Aruba, 279 6.750% 07/15/13 ----- FOOD PRODUCTS - 0.1% 36 Unilever Capital Corporation, 37 6.875% 11/01/05 ----- INTEGRATED OIL - 0.9% 25 Pemex Project Funding Master Trust, 28 7.875%** 02/01/09 392 Pemex Project Funding Master Trust, 456 8.625%** 02/01/22 ----- 484 ----- METALS AND MINING - 0.6% 288 Alcan Inc., 320 6.450% 03/15/11 ----- RAILROADS, TRUCKING AND SHIPPING - 0.4% 188 Canadian National Railway Company, 216 6.900% 07/15/28 ----- TELECOMMUNICATIONS SERVICES - 6.3% 265 British Telecommunications, plc, 276 7.875%** 12/15/05 112 British Telecommunications, plc, 134 8.375% 12/15/10 43 British Telecommunications, plc, 58 8.875% 12/15/30 840 Deutsche Telekom International Finance BV, 1,001 8.500%** 06/15/10 490 Deutsche Telekom International Finance BV, 504 5.250% 07/22/13 370 France Telecom SA, 441
8.500%** 03/01/11 263 France Telecom SA, 357 9.250%** 03/01/31 80 Telefonos de Mexico, SA, 81 4.500% 11/19/08 452 Telus Corporation, 491 7.500% 06/01/07 ------- 3,343 ------- TOTAL FOREIGN BONDS AND NOTES (Cost $6,141) 6,271 ------- SOVEREIGN GOVERNMENT BONDS AND NOTES - 3.6% 157 Region of Lombardy, 167 5.804% 10/25/32 101 Republic of Chile, 106 5.500% 01/15/13 233 Republic of South Africa, 255 6.500% 06/02/14 523 United Mexican States, 615 8.375% 01/14/11 188 United Mexican States, 200 6.375% 01/16/13 524 United Mexican States, 566 7.500% 04/08/33 ------- TOTAL SOVEREIGN GOVERNMENT BONDS AND NOTES (Cost $1,813) 1,909 -------
SHARES (000) - -------- AFFILIATED INVESTMENT COMPANIES - 1.7% 913 Nations Cash Reserves, Capital Class Shares# 913 ------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $913) 913 ------- TOTAL INVESTMENTS (Cost $50,454*) 97.8% 51,469 ------- TOTAL OTHER ASSETS AND LIABILITIES (NET) 2.2% 1,172 ------- NET ASSETS 100.0% $52,641 =======
- ---------- 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. * Cost for federal income tax purposes is $50,454. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 1,159 144 1,015
** Variable rate note. The interest rate shown reflects the rate in effect at December 31,2004. @ Security exempt from registration under Rule 144A of the Securities Act of 1933, as These securities may be resold in transactions exempt from registration, normally Amended 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 futures contracts. At December 31, 2004, the Fund held the following open futures contracts:
UNREALIZED AGGREGATE APPRECIATION/ VALUE FACE VALUE EXPIRATION DEPRECIATION TYPE CONTRACTS (000) (000) DATE (000) - ---- --------- ----- ---------- ---------- ------------- U.S. 5 Year Treasury Note Futures (short position) 6 653 657 March-2005 $ (4) U.S. 10 Year Treasury Note Futures (short position) 37 4,103 4,142 March-2005 (39) U.S. 2 Year Treasury Note Futures (long position) 15 3,142 3,144 March-2005 2 U.S. Treasury Bond Futures (long position) 13 1,434 1,463 March-2005 29 ---- $(12) ----
ABBREVIATIONS: MTN - Medium Term Note LTD - Limited NATIONS FUNDS HIGH INCOME PORTFOLIO SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - --------- ----- CORPORATE BONDS AND NOTES - 73.6% APPAREL AND TEXTILES - 0.3% $ 20 Phillips-Van Heusen Corporation, $ 22 ---- 8.125% 05/01/13 AUTOMOTIVE - 0.3% 20 Cooper Standard Auto, 20 ---- 8.375% 12/15/14=@ BROADCASTING AND CABLE - 1.8% 120 Charter Communications Holdings LLC, 102 9.920% 04/01/11 15 Directv Holdings LLC, 17 ---- 8.375% 03/15/13 119 ---- BUILDING MATERIALS - 4.0% 20 Acih Inc., 14 0.000% 12/15/12@ 225 Building Materials Corporation of America, Series B, 230 7.750% 07/15/05 15 US Concrete, Inc., 16 ---- 8.375% 04/01/14 260 ---- CHEMICALS - BASIC - 2.2% 136 Lyondell Chemical Company, Series B, 142 ---- 9.875% 05/01/07 COMMERCIAL SERVICES - 2.1% 135 Browning-Ferris Industries, Inc., 137 ---- 7.875% 03/15/05 COMPUTERS AND OFFICE EQUIPMENT - 0.9% 56 Unisys Corporation, 57 ---- 7.875% 04/01/08= CONSTRUCTION - 6.3% 200 KB HOME, 198 5.750% 02/01/14 200 Toll Corporation, 208 ---- 8.000% 05/01/09 406 ---- CONSUMER SERVICES - 0.6% 15 Finlay Fine Jewelry Corporation, 16 8.375% 06/01/12 20 Service Corporation International, 22 ---- 7.700% 04/15/09 38 ---- DEPARTMENT AND DISCOUNT STORES - 0.3% 20 Saks Inc., 20 ---- 7.000% 12/01/13= ELECTRIC POWER - NON NUCLEAR - 4.9%
73 AES Corporation, 74 8.500% 11/01/07= 40 Calpine Generating Corporation, 39 11.050% 04/01/11= 144 CMS Energy Corporation, 144 7.000% 01/15/05= 59 Midland Funding II, Series A, 61 11.750% 07/23/05 ----- 318 ----- EXPLORATION AND PRODUCTION - 1.7% 15 Chesapeake Energy Corporation, 16 7.500% 06/15/14 93 Evergreen Resources, Inc., 97 5.875% 03/15/12 ----- 113 ----- FINANCE - MISCELLANEOUS - 22.1% 1,400 Dow Jones CDX3 HY-B, 1,436 8.000% 12/29/09@ ----- FOOD PRODUCTS - 2.4% 10 Dole Food Company, Inc., 11 8.625% 05/01/09 136 United Agri Products, 146 8.750% 12/15/11@ ----- 157 ----- HEAVY MACHINERY - 1.7% 103 AGCO Corporation, 110 9.500% 05/01/08 ----- HOUSING AND FURNISHING - 3.1% 200 Beazer Homes USA, Inc., 203 6.500% 11/15/13 ----- LODGING AND RECREATION - 6.6% 20 AMF Bowling Worldwide, Inc., 21 10.000% 03/01/10 71 Host Marriott Corporation, Series B, 73 7.875% 08/01/08 100 Marquee Holdings Inc., 68 0.000% 08/15/14@ 200 Park Place Entertainment Corporation, 208 7.875% 12/15/05 20 Seneca Gaming Corporation, 21 7.250% 05/01/12 35 Six Flags, Inc., 35 9.625% 06/01/14 ----- 426 ----- METALS AND MINING - 3.4% 194 Ryerson Tull, Inc., Class A, 198 9.125% 07/15/06 20 Wise Metals Group LLC, 20 10.250% 05/15/12 ----- 218 ----- NATURAL GAS PIPELINES - 2.6% 100 Sonat Inc., 104 7.625% 07/15/11 55 Williams Companies, Inc., 64 8.125% 03/15/12 ----- 168 ----- OILFIELD SERVICES - 0.3% 15 Pride International, Inc., 16 7.375% 07/15/14= -----
PAPER AND FOREST PRODUCTS - 0.6% 43 Scotia Pacific Company LLC, Series B, 37 7.110% 01/20/14 ----- SEMICONDUCTORS - 2.1% 129 Fairchild Semiconductor International, Inc., 136 10.500% 02/01/09= ----- TELECOMMUNICATIONS SERVICES - 3.3% 60 Qwest Services Corporation, 72 14.000%** 12/15/10@ 30 Time Warner Telecom LLC, 30 9.750% 07/15/08= 100 US Unwired Inc., Series B, 113 10.000% 06/15/12 ----- 215 ----- TOTAL CORPORATE BONDS AND NOTES (Cost $4,681) 4,774 ----- FOREIGN BONDS AND NOTES - 5.8% CHEMICALS - SPECIALTY - 3.2% 200 Methanex Corporation, 205 7.750% 08/15/05 ----- OILFIELD SERVICES - 0.3% 20 J. Ray McDermott, S.A., 22 11.000% 12/15/13@ ----- PACKAGING AND CONTAINERS - 1.8% 100 Crown Euro Holdings S.A., 118 10.875% 03/01/13 ----- PAPER AND FOREST PRODUCTS - 0.4% 15 Norske Skog Canada Ltd., Series D, 16 8.625% 06/15/11 10 Tembec Industries, Inc., 10 8.500% 02/01/11 ----- 26 ----- TELECOMMUNICATIONS SERVICES - 0.1% 10 Inmarsat Finance Plc, (0.000)% due 11/15/12 7 ----- 10.375% beginning 11/15/08, 0.000% 11/15/12@ TOTAL FOREIGN BONDS AND NOTES (Cost $375) 378 ----- BANK LOANS - 2.9% FINANCE - MISCELLANEOUS - 2.9% 180 Qwest Bank Loan Tranche, 187 ----- 7.390% 06/30/07(b) (c) (Cost $179)
SHARES - ------ WARRANTS - 0.0%+ 225 Solutia Inc., Expire 07/15/09= (a) 0++ ----- (COST $0)
SHARES (000) AFFILIATED INVESTMENT COMPANIES - 10.3% 670 Nations Cash Reserves, Capital Class Shares# 670 ----- TOTAL AFFILIATED INVESTMENT COMPANIES
(Cost $670) 670 ------ TOTAL INVESTMENTS (Cost $5,905*) 92.6% 6,009 ------ TOTAL OTHER ASSETS AND LIABILITIES (NET) 7.4% 480 ------ NET ASSETS 100.0% $6,489 ======
- ---------- 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. * Cost for federal income tax purposes is $5,905. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Appreciation - ------------ ------------ -------------- 111 7 104
** Variable rate note. The interest rate shown reflects the rate in effect at December 31, 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) Fair valued security. (b) Restricted security. (c) Loan participation agreement. ABBREVIATION: LTD - Limited NATIONS FUNDS MORTGAGE- AND ASSET-BACKED PORTFOLIO SCHEDULE OF INVESTMENTS DECEMBER 31, 2004 (UNAUDITED)
PRINCIPAL AMOUNT VALUE (000) (000) - ---------- ------- ASSET-BACKED SECURITIES - 12.4% ASSET-BACKED - AUTO LOANS - 4.4% $1,175 Americredit Automobile Receivables Trust, Series 2003-CF, Class A3, 2.750% 10/09/07 $1,172 166 Daimler Chrysler Auto Trust, Series 2003-A, Class A2, 1.520% 12/08/05 165 1,170 ONYX Acceptance Auto Trust, Series 2003-D, Class A3, 2.400% 12/15/07 1,166 938 World OMNI Auto Receivables Trust, Series 2001-B, Class A4, 4.490% 08/20/08 943 ------- 3,446 ------- ASSET-BACKED - CREDIT CARD RECEIVABLES - 2.5% 1,525 Bank One Issuance Trust, Series 2002-A2, Class A4, 4.160% 01/15/08 1,533 475 Chase Credit Card Master Trust, Series 2003-6, Class A, 2.513% 02/15/11 476 ------- 2,009 ------- ASSET-BACKED - HOME EQUITY LOANS - 5.5% 989 AAMES Mortgage Investment Trust, Series 2004-1, Class 2A1, 2.758% 01/25/35 989 1,000 Countrywide Asset-Backed Certificates, Series 2004-14, Class A2, 2.690% 06/25/36 1,000 1,000 Residential Asset Mortgage Products, Inc., Series 2004-RZ4, Class A2, 2.660% 03/25/32 1,000 1,348 Terwin Mortgage Trust, Series 2003-2HE, Class A, 2.868% 07/25/34 1,353 ------- 4,342 ------- TOTAL ASSET-BACKED SECURITIES (Cost $9,814) 9,797 ------- MORTGAGE-BACKED SECURITIES - 104.4% CMO- 0.9% 291 Fannie Mae, Series 2002-16, Class PG, 6.000% 04/25/17 307 304 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## 35 291 Freddie Mac, Series 2692, Class IA, 5.500% 01/15/23 25 ------- 681 ------- CMO-FIXED RATE SECURITIES - 1.2% 977 MLCC Mortgage Investors, Inc., Series 2003-G, Class A1, 2.649% 01/25/29 977 ------- CMO-FLOATING RATE - 3.7% 1,000 IMPAC Secured Assets Corporation, Series 2004-4, Class 1A2, 2.690% 12/25/31 1,001 961 Merrill Lynch Mortgage Investors, Inc., Series 2003-D, Class A, 2.640% 08/25/28** 958 997 Mortgageit Trust, Series 2004-2, Class A1, 2.698% 12/25/34 997 ------- 2,956 -------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) CERTIFICATES - 3.9% 1,500 4.500% 10/15/19 (a) 1,494 70 6.500% 11/01/32## 74 1,500 5.500% 01/15/35 (a) 1,524 ------- 3,092 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) CERTIFICATES - 85.8% 24,203 5.000% 01/15/20 (a) 24,580 106 7.000% 02/01/32-06/01/32 113 418 6.500% 05/01/32-05/01/33 438 6,381 5.500% 11/01/33-12/01/33 6,484 11,000 5.000% 01/15/35 (a) 10,911 4,682 5.500% 01/15/35 (a) 4,752 19,500 6.500% 01/15/35 (a) 20,445 ------- 67,723 ------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) CERTIFICATES - 8.9% 19 7.000% 03/15/31 20 6,452 5.500% 06/15/33 6,600 373 5.500% 01/15/35 (a) 381 ------- 7,001 ------- TOTAL MORTGAGE-BACKED SECURITIES (Cost $82,573) 82,430 ------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 44.8% FEDERAL HOME LOAN BANK (FHLB) - 11.6% 2,200 Discount note 01/12/05 1.640% 01/12/05 2,199 2,500 Discount note 01/28/05 1.960% 01/28/05 2,497 2,500 Discount note 02/01/05 2.080% 02/01/05 2,495 2,000 Discount note 02/16/05 2.150% 02/16/05 1,994 ------- 9,185 ------- FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) - 6.2% 2,300 Discount note 01/04/05 0.550% 01/04/05 2,300 2,600 Discount note 01/18/05 1.830% 01/18/05 2,597 ------- 4,897 ------- FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) - 27.0% 2,700 Discount note 01/04/05 0.550% 01/04/05 2,700 2,800 Discount note 01/12/05 1.640% 01/12/05 2,798 2,400 Discount note 01/18/05 1.830% 01/18/05 2,398 2,600 Discount note 01/25/05 1.930% 01/25/05 2,597 2,500 Discount note 02/01/05 2.080% 02/01/05 2,495 2,500 Discount note 02/09/05 2.120% 02/09/05 2,494 2,500 Discount note 02/16/05 2.150% 02/16/05 2,493 3,332 4.375% 07/17/13 3,243 ------- 21,218 ------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS (Cost $35,224) 35,300 ------- U.S. TREASURY OBLIGATIONS - 0.7% U.S. TREASURY BONDS - 0.2% 125 6.250% 08/15/23 146 -------
U.S. TREASURY NOTES - 0.5% 405 4.000% 06/15/09 413 ------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $542) 559 -------
SHARES (000) - --------- AFFILIATED INVESTMENT COMPANIES - 20.6% 16,270 Nations Cash Reserves, Capital Class Shares# 16,270 ------- TOTAL AFFILIATED INVESTMENT COMPANIES (Cost $16,270) 16,270 ------- TOTAL INVESTMENTS (Cost $144,423*) 182.9% 144,356 ------- TOTAL OTHER ASSETS AND LIABILITIES (NET) (82.9)% (65,435) ------- NET ASSETS 100.0% $78,921 =======
- ---------- 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. * Cost for federal income tax purposes is $144,423. Unrealized appreciation and depreciation at December 31, 2004, based on cost of investments for federal income tax purposes was:
Unrealized Unrealized Net Unrealized Appreciation Depreciation Depreciation - ------------ ------------ -------------- 106 173 67
# 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. (a) TBA (To Be Announced) - Securities purchased on a forward commitment basis. At December 31, 2004, the Fund held the following open futures contracts:
AGGREGATE UNREALIZED VALUE FACE VALUE EXPIRATION DEPRECIATION TYPE CONTRACTS (000) (000) DATE (000) - -------------- --------- ----- ---------- ---------- ------------ U.S. 10 Year Treasury Note Futures (short position) 40 4,434 4,478 March-2005 $(44) U.S. Treasury Bond Futures (short position) 9 994 1,012 March-2005 (18) ----- $(62) -----
ITEM 2. CONTROLS AND PROCEDURES. (a) The registrant's principal executive officer and principal financial officer, based on their evaluation of the registrant's disclosure controls and procedures as of a date within 90 days of the filing of this report, have concluded that such controls and procedures are adequately designed to ensure that information required to be disclosed by the registrant in Form N-Q is accumulated and communicated to the registrant's management, including the principal executive officer and principal financial officer, or persons performing similar functions, as appropriate to allow timely decisions regarding required disclosure. (b) There were no changes in the registrant's internal control over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99.CERT. 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 (Signature and Title) /s/ Christopher L. Wilson ----------------------------------------------------- Christopher L. Wilson, President Date: March 1, 2005 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 (Signature and Title) /s/ Christopher L. Wilson ----------------------------------------------------- Christopher L. Wilson, President By (Signature and Title) /s/ J. Kevin Connaughton ----------------------------------------------------- J. Kevin Connaughton, Treasurer Date: March 1, 2005 EX-99.CERT 2 g93493exv99wcert.txt NFST N-Q CERTIFICATIONS CERTIFICATIONS I, Christopher L. Wilson, certify that: 1. I have reviewed this report on Form N-Q of Nations Funds Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: March 1, 2005 /s/ Christopher L. Wilson ------------------------------------------ Christopher L. Wilson, President CERTIFICATIONS I, J. Kevin Connaughton, certify that: 1. I have reviewed this report on Form N-Q of Nations Funds Trust; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (c) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: March 1, 2005 /s/ J. Kevin Connaughton ------------------------------------------ J. Kevin Connaughton, Treasurer -----END PRIVACY-ENHANCED MESSAGE-----