Government & Corporate Bond Funds

Nations Master Investment Trust
Nations Intermediate Bond Master Portfolio
Statement of net assets (continued) September 30, 2002 (unaudited)
Principal Principal
amount Value amount Value
(000) (000) (000) (000)
Federal National Mortgage Association U.S. Treasury obligations — 29.3%
(FNMA) Certificates — 1.6% U.S. Treasury notes — 25.2%
$12,800 5.000% 01/15/07(a) ***************** $ 13,808 $41,900 6.250% 02/15/03(a) ***************** $ 42,632
723 4.454%** 08/01/36## *************** 745 20,900 3.875% 07/31/03(a) ***************** 21,320
665
122
188
50
Government National Mortgage
Association (GNMA)
Certificates — 0.1%
7.000% 05/15/12 *******************
11.500% 06/15/13 - 10/15/15 *********
10.000% 05/15/16 - 08/15/18## *******
9.500% 09/15/16 - 12/15/20 **********
14,553
710
144
216
56
2,100
15,300
39,500
30,600
3,550
22,500
19,000
17,000
2,000
4.250% 11/15/03(a) *****************
3.250% 12/31/03(a) *****************
5.875% 02/15/04(a) *****************
3.000% 02/29/04(a) *****************
3.375% 04/30/04(a) *****************
3.250% 05/31/04(a) *****************
6.500% 08/15/05(a) *****************
6.625% 05/15/07(a) *****************
10.375% 11/15/12 ******************
2,164
15,625
41,821
31,212
3,647
23,092
21,386
20,018
2,708
Total mortgage-backed securities
1,126
225,625
(Cost $51,077) ********************* 52,084
U.S. Treasury strips — 4.1%
25,235 Interest only,
2.640%*** 05/15/07 **************** 22,354
U.S. Government and agency
9,790 Interest only,
obligations — 14.7%
3.890%*** 05/15/11 **************** 7,035
Federal Home Loan Bank (FHLB) — 0.7%
11,500 TIGR Receipts,
5,000 3.375% 06/15/04## ***************** 5,116
4.050%*** 05/15/12 **************** 7,819
675 5.750% 05/15/12## ***************** 750 37,208
5,866 Total U.S. Treasury obligations
Federal Home Loan Mortgage
Corporation (FHLMC) — 7.6%
(Cost $257,079) ******************** 262,833
49,565 7.000% 07/15/05(a) ***************** 55,654
10,700 5.750% 01/15/12## *****************
Federal National Mortgage Association
(FNMA) — 6.4%
11,879
67,533
15,000 5.625% 05/14/04## ***************** 15,896
20,700 7.000% 07/15/05## ***************** 23,227
16,825 5.250% 04/15/07(a)## ***************
Total U.S. Government and agency
obligations
18,345
57,468
(Cost $125,746) ******************** 130,867
See notes to financial statements.
79