Government & Corporate Bond Funds
Government & Corporate Bond Funds
Government & Corporate Bond Funds
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Nations <strong>Funds</strong><br />
Notes to financial statements (continued) (unaudited)<br />
8. Swap contracts<br />
At September 30, 2002, the following <strong>Funds</strong> had swap contracts outstanding:<br />
Unrealized<br />
Notional appreciation<br />
amount Fixed rate/total return payments Floating rate/ total return payments (depreciation)<br />
Description (000) made by the Fund received by the Fund (000)<br />
Short-Term Income Fund:<br />
Contract with Morgan Stanley,<br />
effective July 31, 2002, CMBS Aaa Index Floating II CMBS Aaa Index Spread<br />
expiring October 31, 2002(a)<br />
Short-Intermediate<br />
<strong>Government</strong> Fund:<br />
Contract with Lehman Brothers,<br />
effective May 1, 2001,<br />
$ 23,750 Total Return Floating I Total Return $ (46)<br />
expiring May 01, 2006(a) ***<br />
Contract with Lehman Brothers,<br />
effective May 1, 2001,<br />
14,000 3-month LIBOR 5.474% 1,293<br />
expiring May 01, 2004(a) ***<br />
Contract with Morgan Stanley,<br />
18,000 3-month LIBOR 5.074 878<br />
effective July 31, 2002, CMBS Aaa Index Floating II CMBS Aaa Index Spread<br />
expiring October 31, 2002(a)<br />
Total net unrealized<br />
15,000 Total Return Floating I Total Return (29)<br />
appreciation ****************<br />
<strong>Government</strong> Securities Fund:<br />
Contract with Lehman Brothers,<br />
effective May 1, 2001,<br />
$2,142<br />
expiring May 01, 2004(a) ***<br />
Contract with Lehman Brothers,<br />
effective May 1, 2001,<br />
18,000 3-month LIBOR 5.074 644<br />
expiring May 01, 2006(a) ***<br />
Contract with Morgan Stanley,<br />
14,000 3-month LIBOR 5.474 600<br />
effective July 31, 2002, CMBS Aaa Index Floating II CMBS Aaa Index Spread<br />
expiring October 31, 2002(a)<br />
Total net unrealized<br />
8,700 Total Return Floating I Total Return (17)<br />
appreciation **************<br />
<strong>Bond</strong> Fund:<br />
Contract with JP Morgan,<br />
effective December 9, 2002,<br />
$1,227<br />
expiring December 9,2012(a)<br />
Contract with Morgan Stanley,<br />
effective July 29, 2002,<br />
$ 30,250 3-month Euro LIBOR 4.73 $ 371<br />
expiring July 29, 2032(a)****<br />
Contract with Morgan Stanley,<br />
effective July 29, 2002,<br />
8,650 3-month LIBOR 5.810 965<br />
expiring July 29, 2012(a)**** 15,600 5.020% 3-month LIBOR (1,020)<br />
Contract with Morgan Stanley, CMBS Aaa Index Spread<br />
effective July 31, 2002, CMBS Aaa Index Floating II Floating I Total Return 3expiring<br />
October 31, 2002(a)<br />
Contract with Salomon Smith<br />
Barney, effective February 1,<br />
2005, expiring February 1,<br />
72,500 Total Return month (141)<br />
2007(a) ******************<br />
Contract with Salomon Smith<br />
Barney, effective February 1,<br />
2005, expiring February 1,<br />
77,350 5.000 3-month Euro LIBOR (905)<br />
2007(a) ****************** 77,350 4.88 3-month Euro LIBOR (685)<br />
69
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