Government & Corporate Bond Funds

Nations Funds
Nations Short-Intermediate Government Fund
Statement of net assets September 30, 2002 (unaudited)
Principal Principal
amount Value amount Value
(000) (000) (000) (000)
Asset-backed securities — 4.5% Mortgage-backed securities — 22.7%
Asset-backed — Auto loans — 2.3% Commercial mortgage-backed
$ 5,470 Capital Auto Receivables Asset Trust, securities — 1.2%
Series 2001-2, Class A4, $ 19,088 Merrill Lynch Mortgage Investors, Inc.,
5.000% 12/15/06## **************** $ 5,738 Series 1998-C3, Class IO,
934 Dealer Auto Receivables Trust, 1.103%** 12/15/30 **************** $ 825
Series 2000-1, Class A3, 4,435 PNC Mortgage Acceptance Corporation,
7.070% 05/17/04 ****************** 943 Series 2001-C1, Class A1,
1,304 MMCA Automobile Trust, Series 2000-1, 5.910% 03/12/34## **************** 4,792
Class A3, 1,132 Salomon Brothers Mortgage Securities
7.000% 06/15/04 ****************** 1,317 VII, Series 2002-CDCA, Class A1,
5,000 Onyx Acceptance Auto Trust, 2.103%** 11/15/13°## ************* 1,131
Series 2002-A, Class A3,
3.750% 04/15/06## **************** 5,123
13,121
Federal Home Loan Mortgage
Corporation (FHLMC)
6,748
Asset-backed — Credit card Certificates — 12.6%
receivables — 0.3% 21,500 3.750% 04/15/04(a) **************** 22,100
1,150 Chase Credit Card Master Trust, 13,500 6.875% 01/15/05 ****************** 14,895
Series 1996-4, Class B, 27,600 6.625% 09/15/09## **************** 32,310
280
2.170%** 07/15/06## **************
Conesco Finance, Series 2001-A,
Class IA2,
5.940% 03/15/32## ****************
1,151
282
1,433
29,900
600
Federal National Mortgage Association
(FNMA) Certificates — 7.0%
5.000% 01/15/07(a) ****************
6.625% 11/15/10(a) ****************
69,305
32,255
700
Asset-backed — Home equity 2,316 9.000% 04/01/16## **************** 2,526
loans — 1.8% 3,192 8.500% 04/01/17## **************** 3,458
285
2,959
764
Chase Funding Mortgage Loan Asset-
Backed, Series 2001-2, Class 1A1,
1.924%** 04/25/16 ****************
First Alliance Mortgage Loan Trust,
Series 1996-2, Class A3,
8.225% 09/20/27## ****************
GMAC Mortgage Corporation Loan
285
2,956
5,715
4,507
Government National Mortgage
Association (GNMA)
Certificates — 1.9%
5.375% 04/20/22## ****************
4.500%** 06/20/29## **************
38,939
5,907
4,636
Trust, Series 2002-HE2, Class A1,
10,543
1,315
1.944%** 06/25/27## **************
Indymac Home Equity Loan Asset-
Backed Trust, Series 2002-A,
763 Total Mortgage-backed securities
(Cost $118,545) ******************* 125,535
Class AF1,
1,927
1,783
2.014%** 05/25/17## **************
Oakwood Mortgage Investors Inc.,
Series 2002-B, Class A1,
2.050%** 05/15/13 ****************
Residential Asset Mortgage Products,
Inc., Series 2002-RS1, Class AI1,
1,313
1,925
4,100
9,500
U.S. Government and agency
obligations — 11.7%
Federal Home Loan Bank
(FHLB) — 2.7%
3.375% 06/15/04 ******************
5.750% 05/15/12 ******************
4,195
10,549
1,032
2.014%** 08/25/20 ****************
Residential Asset Securities Corporation,
Series 2002-KS2, Class AI1,
1.954%** 11/25/17 ****************
1,784
1,031
10,057
701
6,600
Federal Home Loan Mortgage
Corporation (FHLMC) — 1.5%
6.775% 11/01/03## ****************
5.750% 01/15/12(a) ****************
14,744
722
7,327
449
Asset-backed — Other — 0.1%
Ikon Receivables LLC, Series 1999-1,
Class A3,
5.990% 05/15/05 ******************
Total asset-backed securities
(Cost $24,875) ********************
449
25,060
37,100
Federal National Mortgage Association
(FNMA) — 7.5%
7.000% 07/15/05(a) ****************
Total U.S. Government and agency
obligations
8,049
41,629
(Cost $60,771) ******************** 64,422
See notes to financial statements.
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