<PAGE> 1
[GRAPHIC: PHOTO COLLAGE OF BUILDINGS] Nations
Short-Term
Income Fund
Nations
Short-Intermediate
Government Fund
Nations
Government
Securities Fund
Nations
U.S. Government
Bond Fund
Nations
Intermediate
Bond Fund
Nations
Bond Fund
Nations
Strategic
Income Fund
Nations
High Yield
Bond Fund
GOVERNMENT &
CORPORATE BOND FUNDS
Semiannual report for the period
ended September 30, 2000
[Nations Funds logo]
<PAGE> 2
This Report is submitted for the general information of shareholders of Nations
Funds. This material must be preceded or accompanied by a current Nations Funds
prospectus.
Nations Funds distributor: Stephens Inc., which is not affiliated with Bank of
America N.A., is not a bank, and securities offered by it are not guaranteed by
any bank or insured by the FDIC. Stephens Inc., member NYSE, SIPC.
Nations Funds Investment adviser: Banc of America Advisors, Inc.
NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE
<PAGE> 3
PRESIDENTS' MESSAGE
Dear Shareholder:
The six-month period ended September 30, 2000 proved
to be quite unsettling for mutual fund investors.
Several factors led to turbulence in U.S. and
overseas markets. The Federal Reserve Board's
practice of increasing interest rates in an attempt
to slow down the economy and keep inflation at bay
took a toll on the stock market. Oil prices soared
over the summer causing concern across the country as
several cities saw gas prices above $2.00 per gallon.
The slowing economy affected earnings at a number of
leading U.S. companies, causing additional volatility
in the stock market. Overseas, the European Central
Bank raised interest rates in August -- the fifth
rate hike this year -- and the euro fell to a record
low. In Japan, the Bank of Japan increased interest
rates for the first time in a decade, adding
additional strain to an economy that has struggled
over the last several years.
The only seemingly bright spot for investors during
the past six months has been in the bond market.
Because of the federal government's budget surplus,
the U.S. Treasury has had to buy back many of its
long-term securities. The shortage in long-term
securities has generally increased returns on these
securities, resulting in an inversion of the yield
curve -- whereby short-term securities are yielding
more than many longer-term securities. This is the
first time in a long time that most bond sectors have
outperformed both the Standard & Poor's 500 Composite
Stock Price Index and the Nasdaq Composite Index*.
Now, you're probably asking yourself "Is this a good
time to invest in stocks or bonds?" We think the
answer is "Yes." While stocks of all sizes have
historically outperformed bonds over the long-term,
and bonds have performed well this year, a broadly
diversified portfolio -- one consisting of both
stocks and bonds -- can help you weather market
volatility. Remember that the financial markets tend
to be cyclical and while one asset class or
investment style may be the flavor of the month, it
could be out of favor the next.
It's also important to note that volatility tends to
keep some investors on the sidelines. But waiting for
the right time to invest may result in missed
opportunities. Disciplined investing requires staying
invested through market highs and lows. Investors can
also take advantage of dollar cost averaging** during
volatile times -- the practice of systematic
investing where you seek to buy more shares when
prices are low and fewer shares when prices are high,
resulting in a lower average share price over time.
Remaining invested and regularly investing is key.
Whether it's growth vs. value, large cap vs. small
cap, stocks vs. bonds, or U.S. vs. international, no
single investment style alone will assure that you
achieve your long-term financial goals. We believe
diversification is the key to long-term success and
an investment professional can help you create a
portfolio best suited to your risk tolerance and
investment time horizon.
*The Standard & Poor's 500 Composite Stock Price
Index is an unmanaged index of 500 widely held
common stocks. It is unavailable for investment. The
Nasdaq Composite Index tracks the performance of
domestic common stocks traded on the regular Nasdaq
market as National Market System traded foreign
stocks and ADRs. It is unmanaged and unavailable for
investment.
**Dollar cost averaging does not ensure a profit or
protect against a loss in a declining market. You
should carefully consider your ability to make
regular investments through periods of fluctuating
market
conditions.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
<PAGE> 4
PRESIDENTS' MESSAGE CONTINUED...
At Nations Funds, we strongly believe in the value of
advice. An investment professional can provide you
with market research and analysis, years of
investment experience, and work with you to determine
the best strategy for surviving short-term volatility
and successfully reaching your long-term goals.
We remain committed to providing you with world-class
investment management and competitive products to
help you reach your long-term goals. Should you have
any questions or comments on your semiannual report,
please contact your investment professional or call
us at 1.800.321.7854. You can also visit us online at
www.nations-funds.com.
Thank you for being a part of the Nations Funds
family.
Sincerely,
/s/ A. Max Walker
A. MAX WALKER
PRESIDENT AND CHAIRMAN OF THE BOARD
NATIONS FUNDS
/s/ Robert H. Gordon
ROBERT H. GORDON
PRESIDENT
BANC OF AMERICA ADVISORS, INC.
September 30, 2000
<PAGE> 5
TABLE OF CONTENTS
<TABLE>
<S> <C>
NATIONS FUNDS SPECTRUM 2
FINANCIAL STATEMENTS
Statements of net assets
Nations Short-Term Income Fund 3
Nations Short-Intermediate Government Fund 6
Nations Government Securities Fund 8
Nations U.S. Government Bond Fund 10
Nations Intermediate Bond Fund 12
Nations Bond Fund 13
Nations Strategic Income Fund 18
Nations High Yield Bond Fund 21
Statements of operations 22
Statements of changes in net assets 24
Schedules of capital stock activity 28
Financial highlights 36
Notes to financial statements 52
Statements of net assets -- Nations Master Investment Trust
Nations Intermediate Bond Master Portfolio 61
Nations High Yield Bond Master Portfolio 64
Statements of operations 69
Statements of changes in net assets 70
Supplementary data 70
Notes to financial statements 71
</TABLE>
<TABLE>
<S> <C>
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NATIONS FUNDS [DALBAR SERVICE AWARD LOGO]
RECOGNIZED FOR
OUTSTANDING DALBAR, Inc., is a well-respected
CUSTOMER SERVICE research firm that measures
customer service levels and
IN RECOGNITION OF ITS COMMITMENT TO establishes benchmarks in the
PROVIDE SHAREHOLDERS WITH THE financial services industry.
HIGHEST LEVEL OF CUSTOMER SERVICE
IN THE MUTUAL FUND INDUSTRY,
NATIONS FUNDS RECEIVED THE DALBAR
MUTUAL FUND SERVICE AWARD IN 1999.
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</TABLE>
<PAGE> 6
THE NATIONS FUNDS FAMILY OF FUNDS
LOWER RISK/REWARD POTENTIAL
MONEY MARKET FUNDS
Nations Prime Fund
Nations Cash Reserves
Nations Money Market Reserves
Nations Government Money Market Fund
Nations Government Reserves
Nations Treasury Fund
Nations Treasury Reserves
Nations Tax Exempt Fund
Nations Municipal Reserves
Nations California Tax-Exempt Reserves
FIXED INCOME FUNDS
INCOME FUNDS
Nations High Yield Bond Fund
Nations Strategic Income Fund
Nations U.S. Government Bond Fund
Nations Government Securities Fund
Nations Bond Fund
Nations Intermediate Bond Fund
Nations Short-Intermediate Government Fund
Nations Short-Term Income Fund
TAX-EXEMPT INCOME FUNDS
Nations Municipal Income Fund
Nations State-Specific Long-Term Municipal
Bond Funds (CA, FL, GA, KS,
MD, NC, SC, TN, TX, VA)
Nations Intermediate Municipal Bond Fund
Nations State-Specific Intermediate Municipal
Bond Funds (FL, GA, MD,
NC, SC, TN, TX, VA)
Nations Short-Term Municipal Income Fund
DOMESTIC EQUITY FUNDS
GROWTH FUNDS
Nations Small Company Fund
Nations Marsico 21st Century Fund
Nations MidCap Growth Fund
Nations Marsico Focused Equities Fund
Nations Aggressive Growth Fund
Nations Capital Growth Fund
Nations Strategic Growth Fund
Nations Blue Chip Fund
GROWTH AND INCOME FUNDS
Nations Marsico Growth & Income Fund
Nations Value Fund
Nations Equity Income Fund
Nations Asset Allocation Fund
Nations Balanced Assets Fund
Nations Convertible Securities Fund
INTERNATIONAL FUNDS
Nations Emerging Markets Fund
Nations Marsico International Opportunities Fund
Nations International Equity Fund
Nations International Value Fund
HIGHER RISK/REWARD POTENTIAL
INDEX FUNDS
Nations Managed Index Fund
Nations LargeCap Index Fund
Nations MidCap Index Fund
Nations SmallCap Index Fund
ASSET ALLOCATION PORTFOLIOS
Nations LifeGoal Balanced Growth Portfolio
Nations LifeGoal Growth Portfolio
Nations LifeGoal Income and Growth Portfolio
2
<PAGE> 7
NATIONS FUNDS
Nations Short-Term Income Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
ASSET-BACKED SECURITIES -- 20.8%
ASSET-BACKED -- AUTO LOANS -- 6.1%
$ 7,900 BankBoston RV Trust, Series 1997-1,
Class A-7,
6.480% 07/15/08...................... $ 7,873
10,219 Premier Auto Trust, Series 1997-2,
Class A5,
6.320% 03/06/02...................... 10,181
5,000 Premier Auto Trust, Series 1999-1,
Class A4,
5.820% 10/08/03...................... 4,931
--------
22,985
--------
ASSET-BACKED -- CREDIT CARD RECEIVABLES
-- 3.8%
8,920 Metris Master Trust, Series 1997-1,
Class B,
7.110% 10/20/05...................... 8,894
5,482 Sears Credit Account Master Trust,
Series 1998-1, Class A,
5.800% 08/15/05...................... 5,453
--------
14,347
--------
ASSET-BACKED -- HOME EQUITY LOANS -- 6.7%
11,477 EQCC Home Equity Loan Trust, Series
1998-1, Class A4F,
6.459% 03/15/21...................... 11,360
6,699 GE Capital Mortgage Services, Inc.,
Series 1997-HE4, Class A3,
6.590% 12/25/12...................... 6,665
7,300 Residential Asset Securities
Corporation, Series 1999-KS1,
Class AI3, 6.110% 05/25/25........... 7,163
--------
25,188
--------
ASSET-BACKED -- OTHER -- 4.2%
7,936 Fingerhut Master Trust, Series 1998-1,
Class B,
6.290% 02/15/05...................... 7,883
8,000 First Sierra Receivables, Series
1999-1, Class A4,
5.730% 09/15/04...................... 7,781
--------
15,664
--------
TOTAL ASSET-BACKED SECURITIES
(Cost $78,852)....................... 78,184
--------
CORPORATE BONDS AND NOTES -- 58.0%
BEVERAGES -- 2.1%
8,000 J. Seagram and Sons, Inc.,
6.250% 12/15/01...................... 7,908
--------
BROADCASTING AND CABLE -- 4.9%
5,000 News America Holdings,
8.625% 02/01/03...................... 5,163
8,000 Paramount Communications, Sr. Notes,
7.500% 01/15/02...................... 8,003
5,100 Time Warner Inc., Pass-Thru,
6.100% 12/30/01(-)................... 5,031
--------
18,197
--------
COMMERCIAL BANKING -- 9.2%
4,000 Banco Latinoamericano SA,
7.400% 09/21/01...................... 4,012
5,000 Federal Home Loan Bank,
6.750% 05/01/02...................... 5,016
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
COMMERCIAL BANKING -- (CONTINUED)
$ 6,500 Finova Capital Corporation,
7.400% 05/06/06...................... $ 4,730
5,050 First Maryland Bancorp,
8.375% 05/15/02...................... 5,134
5,000 First Union Corporation,
6.625% 06/15/04...................... 4,893
2,000 Firstar Corporation,
6.500% 07/15/02...................... 1,985
5,125 Golden State Holdings, Escrow
Corporation,
7.000% 08/01/03...................... 4,880
4,000 Popular, Inc., MTN,
6.375% 09/15/03...................... 3,925
--------
34,575
--------
COMMERCIAL SERVICES -- 1.1%
4,000 Comdisco, Inc.,
9.500% 08/15/03...................... 4,031
--------
CONGLOMERATES -- 1.5%
5,500 Waste Management Inc.,
7.700% 10/01/02...................... 5,446
--------
DEPARTMENT AND DISCOUNT STORES -- 1.1%
4,000 Federated Department Stores, Inc.,
8.500% 06/15/03...................... 4,082
--------
ENERGY -- MISCELLANEOUS -- 2.5%
5,505 Coastal Corporation,
10.000% 02/01/01..................... 5,547
4,000 Reliant Energy, Inc.,
8.850% 02/01/01...................... 4,015
--------
9,562
--------
FINANCE -- MISCELLANEOUS -- 11.7%
3,000 Aristar, Inc.,
7.750% 06/15/01...................... 3,008
7,390 AT&T Capital Corporation,
6.875% 01/16/01...................... 7,382
5,000 Ford Motor Credit Company,
5.125% 10/15/01...................... 4,896
4,000 General Motors Acceptance Corporation,
5.910% 03/11/02...................... 3,939
7,000 Heller Financial, Inc.,
5.750% 09/25/01...................... 6,898
4,000 Household Finance Corporation,
5.875% 11/01/02...................... 3,918
1,180 Norwest Financial, Inc.,
6.625% 07/15/04...................... 1,162
4,000 Salomon, Inc.,
6.750% 02/15/03...................... 3,975
8,230 Sears Roebuck Acceptance Corporation,
6.860% 10/02/01...................... 8,231
--------
43,409
--------
FOOD AND DRUG STORES -- 1.3%
5,000 Safeway, Inc.,
5.875% 11/15/01...................... 4,932
--------
HEALTH SERVICES -- 0.7%
3,010 HEALTHSOUTH Corporation, Sr. Notes,
6.875% 06/15/05...................... 2,574
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
3
<PAGE> 8
NATIONS FUNDS
Nations Short-Term Income Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
INSURANCE -- 1.3%
$ 5,000 Aon Corporation,
7.400% 10/01/02...................... $ 5,009
--------
INVESTMENT SERVICES -- 9.6%
5,000 Bear Stearns Company, Inc.,
6.125% 02/01/03...................... 4,900
5,000 Donaldson Lufkin and Jenrette,
5.875% 04/01/02...................... 4,916
6,000 Goldman Sachs Group LP,
7.125% 03/01/03(-)................... 5,996
5,000 Lehman Brothers Holdings, Inc.,
6.250% 04/01/03...................... 4,918
4,000 Merrill Lynch and Company,
7.570% 11/09/01...................... 4,032
4,000 Morgan Stanley Dean Witter and Company,
7.375% 04/15/03...................... 4,044
4,000 Paine Webber Group, Inc.,
8.250% 05/01/02...................... 4,061
3,250 Washington Mutual Inc.,
8.250% 10/01/02...................... 3,306
--------
36,173
--------
RAILROADS, TRUCKING AND SHIPPING -- 4.5%
10,100 ERAC USA Finance Company,
7.500% 06/15/03(-)................... 10,175
3,786 Hertz Corporation,
7.000% 04/15/01...................... 3,777
3,000 Ryder System, Inc., MTN,
7.320% 11/01/00...................... 3,000
--------
16,952
--------
TELECOMMUNICATIONS SERVICES -- 2.4%
4,000 Vodafone AirTouch plc,
6.859%** 12/19/01.................... 4,004
5,000 Wells Fargo Company,
5.750% 02/01/03...................... 4,891
--------
8,895
--------
UTILITIES -- MISCELLANEOUS -- 4.1%
8,299 Columbia Gas System, Series A,
6.390% 11/28/00...................... 8,279
4,750 Consumers Energy Company,
6.375% 09/15/03...................... 4,616
2,500 Transcontinental Gas Pipeline,
8.875% 09/15/02...................... 2,581
--------
15,476
--------
TOTAL CORPORATE BONDS AND NOTES
(Cost $219,162)...................... 217,221
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 13.1%
COMMERCIAL MORTGAGE-BACKED
SECURITIES -- 1.1%
$ 4,000 Mall of America Capital Company LLC,
Series 2000-1, Class B,
7.019%** 03/12/05.................... $ 3,941
--------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) CERTIFICATES -- 3.3%
407 5.500% 07/01/01........................ 404
156 7.500% 09/01/01........................ 155
2,000 4.750% 12/14/01........................ 1,961
3,000 6.250% 10/15/02........................ 2,985
7,000 5.750% 07/15/03........................ 6,862
--------
12,367
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) CERTIFICATES -- 6.9%
6,475 6.000% 06/01/01 - 11/01/04............. 6,359
6,000 5.375% 03/15/02........................ 5,905
7,000 5.250% 01/15/03........................ 6,812
6,000 5.750% 04/15/03........................ 5,890
499 6.500% 08/01/04........................ 494
636 7.500% 11/01/09 642
--------
26,102
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) CERTIFICATES -- 1.8%
6,734 7.375% 04/20/22........................ 6,778
--------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $49,597)....................... 49,188
--------
U.S. TREASURY OBLIGATIONS -- 7.0%
U.S. TREASURY NOTES -- 7.0%
5,000 5.500% 03/31/03........................ 4,945
11,000 6.000% 08/15/04........................ 11,032
5,000 7.250% 08/15/04........................ 5,227
5,000 5.875% 11/15/04........................ 4,995
--------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $25,911)....................... 26,199
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
4
<PAGE> 9
NATIONS FUNDS
Nations Short-Term Income Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
(000) (000)
-----------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANIES -- 0.2%
(Cost $837)
837 Nations Cash Reserves#................ $ 837
--------
TOTAL INVESTMENTS
(Cost $374,359*)............. 99.1% 371,629
--------
OTHER ASSETS AND
LIABILITIES (NET)............ 0.9%
Receivable for investment securities
sold................................ $ 492
Receivable for Fund shares sold....... 174
Interest receivable................... 5,680
Payable for Fund shares redeemed...... (664)
Investment advisory fee payable....... (62)
Administration fee payable............ (68)
Shareholder servicing and distribution
fees payable........................ (5)
Distributions payable................. (1,913)
Accrued Trustees'/Directors' fees and
expenses............................ (31)
Accrued expenses and other
liabilities......................... (77)
--------
TOTAL OTHER ASSETS AND LIABILITIES
(NET)............................... 3,526
--------
NET ASSETS..................... 100.0% $375,155
========
NET ASSETS CONSIST OF:
Accumulated net realized loss on
investments sold.................... $(11,281)
Net unrealized depreciation of
investments......................... (2,730)
Paid-in capital....................... 389,166
--------
NET ASSETS............................ $375,155
========
</TABLE>
<TABLE>
<CAPTION>
VALUE
-----------------------------------------------------------
<C> <S> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($364,048,493/38,036,199 shares
outstanding)........................ $9.57
=====
INVESTOR A SHARES:
Net asset value and redemption price
per share ($7,733,531/807,903
shares outstanding)................. $9.57
=====
Maximum sales charge.................. 1.00%
Maximum offering price per share...... $9.67
INVESTOR B SHARES:
Net asset value and offering price per
share(+) ($2,723,072/284,419 shares
outstanding)........................ $9.57
=====
INVESTOR C SHARES:
Net asset value and offering price per
share(+) ($650,039/67,900 shares
outstanding)........................ $9.57
=====
</TABLE>
---------------
<TABLE>
<C> <S>
* Federal Income Tax Information: Net unrealized depreciation
of $2,730 on investment securities was comprised of gross
appreciation of $943 and gross depreciation of $3,673 for
federal income tax purposes. At September 30, 2000, the
aggregate cost of securities for federal income tax purposes
was $374,359.
** Variable rate note. The interest rate shown reflects the
rate in effect at September 30, 2000.
(-) 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.
(+) The redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
# Money market mutual fund registered under the Investment
Company Act of 1940, as amended, and sub-advised by Banc of
America Capital Management, Inc.
ABBREVIATIONS:
MTN -- Medium Term Note
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<PAGE> 10
NATIONS FUNDS
Nations Short-Intermediate Government Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 67.9%
COMMERCIAL MORTGAGE-BACKED SECURITIES
-- 7.9%
$ 9,350 Chase Manhattan Bank - First Union
National, Series 1999-1, Class A2,
7.439% 07/15/09...................... $ 9,507
9,340 Commercial Mortgage Acceptance
Corporation, Series 1999-C1, Class
A2, 7.030% 05/15/09.................. 9,252
9,350 First Union National Bank Commercial
Mortgage, Series 1999-C4, Class A2,
7.390% 11/15/09...................... 9,485
4,265 PNC Mortgage Acceptance Corporation,
Series 1999-CM1, Class A1B,
7.330% 10/10/09...................... 4,304
9,250 Salomon Brothers Mortgage Securities,
Series 2000-C2, Class A2,
7.455% 04/18/10...................... 9,385
2,473 Vendee Mortgage Trust, Series 1994-3A,
Class 1H,
6.500% 12/15/01...................... 2,461
--------
44,394
--------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) CERTIFICATES -- 15.6%
66,000 6.250% 10/15/02 - 07/15/04............. 65,635
1,064 6.000% 11/15/10........................ 1,058
211 5.500% 10/15/19........................ 211
21,332 7.000% 12/01/25 - 07/01/29............. 20,960
--------
87,864
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) CERTIFICATES -- 33.3%
1,000 5.500% 12/25/00........................ 995
3,300 5.750% 04/15/03........................ 3,240
13,325 7.000% 05/18/04 - 12/01/28............. 13,138
93,075 6.500% 08/15/04 - 03/01/28............. 92,142
3,414 6.150% 03/01/08........................ 3,282
12,679 6.270% 06/01/08........................ 12,255
3,040 8.000% 12/01/09##...................... 3,081
7,008 6.000% 12/01/13........................ 6,758
3,955 9.000% 04/01/16........................ 4,070
6,539 8.500% 04/01/17........................ 6,730
42,618 7.500% 09/01/29##...................... 42,547
--------
188,238
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) CERTIFICATES -- 11.1%
9,923 7.375% 04/20/22........................ 9,989
12,554 7.500% 02/15/24 - 04/15/26............. 12,622
7,496 7.000% 01/16/28........................ 7,264
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) CERTIFICATES -- 11.1% --
(CONTINUED)
$33,490 6.500%** 06/20/29...................... $ 12,930
33,490 6.500% 07/15/29........................ 19,796
--------
62,601
--------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $384,279)...................... 383,097
--------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
-- 11.9%
FEDERAL FARM CREDIT BANK (FFCB) -- 0.2%
1,000 6.100% 12/29/00........................ 998
--------
FEDERAL HOME LOAN BANK (FHLB) -- 6.6%
38,000 5.125% 04/17/01........................ 37,715
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) -- 5.1%
30,000 5.125% 02/13/04##...................... 28,706
--------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS
(Cost $68,653)....................... 67,419
--------
U.S. TREASURY OBLIGATIONS -- 12.9%
U.S. TREASURY NOTES -- 10.1%
14,000 5.750% 06/30/01........................ 13,939
9,700 6.250% 10/31/01........................ 9,697
24,500 5.875% 11/30/01........................ 24,392
4,200 6.250% 01/31/02........................ 4,202
650 6.500% 05/31/02........................ 654
4,000 5.750% 10/31/02........................ 3,981
--------
56,865
--------
U.S. TREASURY STRIPS -- 2.8%
8,000 Interest only 08/15/05................. 6,040
4,000 Interest only 02/15/10................. 2,287
8,220 Principal only 11/15/04................ 6,450
5,500 Principal only 11/15/27................ 1,108
--------
15,885
--------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $72,758)....................... 72,750
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
-------
<C> <S> <C>
INVESTMENT COMPANIES -- 9.8%
(Cost $55,321)
55,321 Nations Cash Reserves#................ 55,321
--------
TOTAL INVESTMENTS
(Cost $581,011*)............. 102.5% 578,587
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<PAGE> 11
NATIONS FUNDS
Nations Short-Intermediate Government Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(000)
-----------------------------------------------------------
<C> <S> <C>
OTHER ASSETS AND
LIABILITIES (NET)............ (2.5)%
Cash.................................. $ 1
Receivable for investment securities 287
sold................................
Receivable for Fund shares sold....... 123
Interest receivable................... 6,352
Variation margin/due to broker........ (2)
Collateral on securities loaned....... (17,145)
Payable for Fund shares redeemed...... (588)
Investment advisory fee payable....... (139)
Administration fee payable............ (102)
Shareholder servicing and distribution
fees payable........................ (15)
Distributions payable................. (2,785)
Accrued Trustees'/Directors' fees and
expenses............................ (44)
Accrued expenses and other
liabilities......................... (89)
--------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)................... (14,146)
--------
NET ASSETS..................... 100.0% $564,441
========
NET ASSETS CONSIST OF:
Accumulated net realized loss on
investments sold and futures
contracts........................... $(25,983)
Net unrealized depreciation of
investments and futures contracts... (2,135)
Paid-in capital....................... 592,559
--------
NET ASSETS............................ $564,441
========
</TABLE>
<TABLE>
<CAPTION>
VALUE
-----------------------------------------------------------
<C> <S> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($515,803,585/128,851,294 shares
outstanding)........................ $4.00
=====
PRIMARY B SHARES:
Net asset value, offering and
redemption price per share
($131,734/32,912 shares
outstanding)........................ $4.00
=====
INVESTOR A SHARES:
Net asset value and redemption price
per share ($41,099,838/10,269,988
shares outstanding)................. $4.00
=====
Maximum sales charge.................. 3.25%
Maximum offering price per share...... $4.14
INVESTOR B SHARES:
Net asset value and offering price per
share(+) ($6,993,183/1,746,984
shares outstanding)................. $4.00
=====
INVESTOR C SHARES:
Net asset value and offering price per
share(+) ($412,231/103,145 shares
outstanding)........................ $4.00
=====
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized depreciation of $2,424 on
investment securities was comprised of gross appreciation of $1,675 and
gross depreciation of $4,099 for federal income tax purposes. At September
30, 2000, the aggregate cost of securities for federal income tax purposes
was $581,011.
## All or a portion of security segregated as collateral for futures contracts.
** Variable rate security. The interest rate shown reflects the rate in effect
at September 30, 2000.
(+) The redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
# Money market mutual fund registered under the Investment Company Act of
1940, as amended, and sub-advised by Banc of America Capital Management,
Inc. A portion of this amount represents cash collateral received from
securities lending activity (Note 8). The portion that represents cash
collateral is $17,145.
SEE NOTES TO FINANCIAL STATEMENTS.
7
<PAGE> 12
NATIONS FUNDS
Nations Government Securities Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
ASSET-BACKED SECURITIES -- 0.6%
(Cost $1,308)
$ 1,308 Export Funding Trust, Series 1995-A,
Class A,
8.210% 12/29/06...................... $ 1,363
--------
MORTGAGE-BACKED SECURITIES -- 88.3%
COMMERCIAL MORTGAGE-BACKED SECURITIES
-- 9.5%
3,900 Commercial Mortgage Asset Trust, Series
1999-C1, Class A3,
6.640% 09/17/10...................... 3,759
725 DLJ Commercial Mortgage Corporation,
Series 1998-CG1, Class A1B,
6.410% 05/10/08...................... 695
3,820 DLJ Commercial Mortgage Corporation,
Series 1999-CG3, Class A1B,
7.340% 09/10/09...................... 3,833
3,820 First Union National Bank Commercial
Mortgage, Series 1999-C4, Class A2,
7.390% 11/15/09...................... 3,875
650 Mortgage Capital Funding, Inc., Series
1998-MC2, Class A2,
6.423% 05/18/08...................... 621
3,800 PNC Mortgage Acceptance Corporation,
Series 1999-CM1, Class A1B,
7.330% 10/10/09...................... 3,835
3,900 Prudential Securities Secured Financing
Corporation, Series 1999-C2,
Class A2, 7.193% 04/15/09............ 3,908
45,095 Vendee Mortgage Trust, Series 1998-1,
Class 2, IO,
.453%** 09/15/27..................... 786
41,572 Vendee Mortgage Trust, Series 1998-3,
Class 1, IO,
.314%** 03/15/29..................... 543
--------
21,855
--------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) CERTIFICATES -- 35.0%
607 10.000% 07/01/01 - 09/01/18............ 634
1,810 8.500% 09/01/01 - 09/01/20............. 1,848
435 9.000% 02/01/02 - 12/01/16............. 445
42,000 6.250% 10/15/02 - 07/15/04............. 41,663
308 8.000% 08/01/07 - 05/01/17............. 312
29 7.500% 08/01/08........................ 29
29,011 6.500% 01/01/09 - 09/15/25............. 27,909
1,000 6.625% 09/15/09........................ 988
5,347 6.000% 09/01/13........................ 5,159
1,381 9.500% 04/01/18 - 01/01/29............. 1,432
358 7.000% 05/01/29 - 08/01/29............. 351
--------
80,770
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) CERTIFICATES -- 34.0%
255 8.500% 11/01/01 - 07/01/21............. 261
236 7.000% 07/01/03........................ 235
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
<C> <S> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) CERTIFICATES -- (CONTINUED)
$ 5,600 5.625% 05/14/04........................ $ 5,430
10,091 8.000% 04/01/06 - 11/01/29............. 10,229
1,849 10.000% 10/01/06 - 04/01/20............ 1,906
2,444 6.135% 08/01/08........................ 2,342
8,290 7.500% 08/01/08 - 02/01/15............. 8,354
61 8.250% 04/01/09........................ 63
19,946 6.000% 05/01/13 - 06/01/29............. 18,720
6,733 6.565% 07/01/16........................ 6,495
814 9.000% 12/01/16 - 09/01/24............. 840
6,386 9.500% 04/01/20 - 08/01/21............. 6,626
1,748 6.990% 06/01/23........................ 1,720
1,496 6.750% 03/18/28........................ 1,424
9,616 5.500% 02/01/29 - 03/01/29............. 8,724
4,855 6.500% 03/01/29........................ 4,663
305 8.426%** 08/01/36...................... 313
--------
78,345
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) CERTIFICATES -- 9.8%
260 10.500% 10/15/00 - 04/15/21............ 282
240 10.000% 12/15/00 - 03/15/21............ 254
1 11.750% 12/15/00....................... 1
357 9.500% 02/20/01 - 04/20/06............. 364
546 9.000% 06/15/01 - 03/15/27............. 565
259 7.000% 02/15/09 - 06/15/23............. 256
2,815 8.500% 10/15/09 - 02/20/29............. 2,897
9,812 6.000% 12/15/10 - 07/15/29............. 9,217
46 13.000% 1/15/11 - 04/15/11............. 50
3,348 8.000% 11/15/14 - 07/15/26............. 3,418
81 11.000% 11/15/15 - 10/20/20............ 87
5,191 7.500% 04/15/22 - 04/15/29............. 5,216
--------
22,607
--------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $203,887)...................... 203,577
--------
U.S. TREASURY OBLIGATIONS -- 10.6%
U.S. TREASURY NOTES -- 2.1%
4,900 5.500% 08/31/01........................ 4,865
--------
U.S. TREASURY STRIPS -- 8.5%
5,000 Interest only 02/15/10................. 2,859
16,625 Interest only 02/15/20................. 5,115
5,300 Interest only 05/15/20................. 1,613
1,750 Principal only 11/15/04................ 1,373
2,100 Principal only 05/15/20................ 640
1,500 Principal only 02/15/21................ 438
8,500 Principal only 11/15/21................ 2,372
22,075 Principal only 02/15/27................ 4,632
2,300 Principal only 11/15/27................ 463
--------
19,505
--------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $23,147)....................... 24,370
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE> 13
NATIONS FUNDS
Nations Government Securities Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
(000) (000)
-----------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANIES -- 0.6%
(Cost $1,289)
1,289 Nations Cash Reserves#................ $ 1,289
--------
TOTAL INVESTMENTS
(Cost $229,631*)............. 100.1% 230,599
--------
OTHER ASSETS AND
LIABILITIES (NET)............ (0.1)%
Receivable for investment securities
sold................................ $ 2,386
Receivable for Fund shares sold....... 149
Interest receivable................... 2,106
Collateral on securities loaned....... (644)
Payable for Fund shares redeemed...... (2,742)
Investment advisory fee payable....... (76)
Administration fee payable............ (42)
Shareholder servicing and distribution
fees payable........................ (32)
Distributions payable................. (1,186)
Accrued Trustees'/Directors' fees and
expenses............................ (26)
Accrued expenses and other
liabilities......................... (56)
--------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)................... (163)
--------
NET ASSETS..................... 100.0% $230,436
========
NET ASSETS CONSIST OF:
Distributions in excess of net
investment income................... $ (393)
Accumulated net realized loss on
investments sold.................... (29,218)
Net unrealized appreciation of
investments......................... 968
Paid-in capital....................... 259,079
--------
Net assets............................ $230,436
========
</TABLE>
<TABLE>
<CAPTION>
VALUE
-----------------------------------------------------------
<C> <S> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($151,990,440/16,035,375 shares
outstanding)........................ $9.48
=====
INVESTOR A SHARES:
Net asset value and redemption price
per share ($53,237,827/5,623,627
shares outstanding)................. $9.47
=====
Maximum sales charge.................. 4.75%
Maximum offering price per share...... $9.94
INVESTOR B SHARES:
Net asset value and offering price per
share(+) ($24,939,807/2,631,264
shares outstanding)................. $9.48
=====
INVESTOR C SHARES:
Net asset value and offering price per
share(+) ($267,593/28,342 shares
outstanding)........................ $9.44
=====
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized appreciation of $968 on
investment securities was comprised of gross appreciation of $2,964 and
gross depreciation of $1,996 for federal income tax purposes. At September
30, 2000, the aggregate cost of securities for federal income tax purposes
was $229,631.
** Variable rate Security. The interest rate shown reflects the rate in effect
at September 30, 2000.
(+) The redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
# Money market mutual fund registered under the Investment Company Act of
1940, as amended, and sub-advised by Banc of America Capital Management,
Inc. A portion of this amount represents cash collateral received from
securities lending activity (Note 8). The portion that represents cash
collateral is $644.
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE> 14
NATIONS FUNDS
Nations U.S. Government Bond Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 77.9%
COMMERCIAL MORTGAGE-BACKED SECURITIES
-- 14.6%
$ 1,265 Chase Manhattan Bank -- First Union
National, Series 1999-1, Class A2,
7.439% 07/15/09....................... $ 1,287
1,225 Commercial Mortgage Acceptance
Corporation, Series 1999-C1, Class A2,
7.030% 05/15/09....................... 1,213
1,200 Commercial Mortgage Asset Trust, Series
1999-C1, Class A3,
6.640% 09/17/10....................... 1,157
1,265 First Union National Bank Commercial
Mortgage, Series 1999-C4, Class A2,
7.390% 11/15/09....................... 1,283
1,225 PNC Mortgage Acceptance Corporation,
Series 1999-CM1, Class A1B,
7.330% 10/10/09....................... 1,236
1,200 PNC Mortgage Acceptance Corporation,
Series 2000-C1, Class A2,
7.610% 02/15/10....................... 1,231
1,265 Prudential Securities Secured Financing
Corporation, Series 1999-NRF1,
Class A2, 6.480% 01/15/09............. 1,212
1,265 Salomon Brothers Mortgage Securities,
Series 2000-C2, Class A2,
7.455% 04/18/10....................... 1,283
-------
9,902
-------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) CERTIFICATES -- 41.9%
925 6.250% 10/15/02......................... 920
5,975 5.750% 07/15/03......................... 5,857
4,992 6.000% 09/01/13......................... 4,817
17,450 6.500% 08/01/30......................... 16,748
-------
28,342
-------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) CERTIFICATES -- 12.0%
474 6.000% 05/01/13......................... 457
1,750 7.500% 02/01/15......................... 1,763
5,800 8.000% 05/01/30......................... 5,876
-------
8,096
-------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) CERTIFICATES -- 9.4%
3,979 7.500% 09/15/07 -- 04/15/29............. 3,991
2,350 6.500% 04/15/29......................... 2,263
127 8.000% 07/15/29......................... 130
-------
6,384
-------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $52,635)........................ 52,724
-------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
-- 5.6%
(Cost $3,925)
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) -- 5.6%
4,005 5.750% 04/15/08......................... 3,768
-------
U.S. TREASURY OBLIGATIONS -- 7.0%
U.S. TREASURY STRIPS -- 7.0%
2,570 Interest only 05/15/20.................. 782
9,525 Principal only 11/15/21................. 2,659
</TABLE>
<TABLE>
-------------------------------------------------------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
<C> <S> <C>
U.S. TREASURY STRIPS -- (CONTINUED)
$ 4,525 Principal only 02/15/27................. $ 949
1,700 Principal only 11/15/27................. 343
-------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $4,585)......................... 4,733
-------
SHORT TERM INVESTMENTS -- 8.7%
(Cost $5,877)
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) CERTIFICATES -- 8.7%
5,890 Discount note 10/13/00.................. 5,877
-------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
-------
<C> <S> <C>
INVESTMENT COMPANIES -- 8.6%
(Cost $5,794)
5,794 Nations Cash Reserves#................. 5,794
-------
TOTAL INVESTMENTS
(Cost $72,816*)............... 107.8% 72,896
-------
OTHER ASSETS AND
LIABILITIES (NET)............. (7.8)%
Cash................................... $ 1
Receivable for investment securities
sold................................. 865
Receivable for Fund shares sold........ 558
Interest receivable.................... 473
Payable for Fund shares redeemed....... (913)
Investment advisory fee payable........ (23)
Administration fee payable............. (12)
Shareholder servicing and distribution
fees payable......................... (8)
Distributions payable.................. (318)
Payable for investment securities
purchased............................ (5,842)
Accrued Trustees'/Directors' fees and
expenses............................. (21)
Accrued expenses and other
liabilities.......................... (51)
-------
TOTAL OTHER ASSETS AND
LIABILITIES (NET).................... (5,291)
-------
NET ASSETS...................... 100.0% $67,605
=======
NET ASSETS CONSIST OF:
Undistributed net investment income.... $ 20
Accumulated net realized loss on
investments sold..................... (6,170)
Net unrealized appreciation of
investments.......................... 80
Paid-in capital........................ 73,675
-------
NET ASSETS............................. $67,605
=======
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<PAGE> 15
NATIONS FUNDS
Nations U.S. Government Bond Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
-----------------------------------------------------------
<C> <S> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($55,630,974/5,746,515 shares
outstanding)......................... $9.68
=====
INVESTOR A SHARES:
Net asset value and redemption price
per share ($2,607,193/268,667
shares outstanding).................. $9.70
=====
Maximum sales charge................... 4.75%
Maximum offering price per share....... $10.18
INVESTOR B SHARES:
Net asset value and offering price per
share(+) ($8,645,303/893,173 shares
outstanding)......................... $9.68
=====
INVESTOR C SHARES:
Net asset value and offering price per
share(+) ($721,153/74,478 shares
outstanding)......................... $9.68
=====
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized appreciation of $80 on
investment securities was comprised of gross appreciation of $559 and gross
depreciation of $479 for federal income tax purposes. At September 30, 2000,
the aggregate cost of securities for federal income tax purposes was
$72,816.
(+) The redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
# Money market mutual fund registered under the Investment Company Act of
1940, as amended, and sub-advised by Banc of America Capital Management,
Inc.
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE> 16
NATIONS FUNDS
Nations Intermediate Bond Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(000)
-----------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANIES -- 100.1%
Investment in Nations Master Investment
Trust, Intermediate Bond Master
Portfolio*........................... $95,960
-------
TOTAL INVESTMENTS............... 100.1% 95,960
-------
OTHER ASSETS AND
LIABILITIES (NET)............. (0.1)%
Administration fee payable............. $ (13)
Shareholder servicing and distribution
fees payable......................... (14)
Accrued Trustees'/Directors' fees and
expenses............................. (21)
Accrued expenses and other
liabilities.......................... (22)
-------
TOTAL OTHER ASSETS AND
LIABILITIES (NET).................... (70)
-------
NET ASSETS...................... 100.0% $95,890
=======
NET ASSETS CONSIST OF:
Undistributed net investment income.... $ 29
Accumulated net realized loss on
investment........................... (2,647)
Net unrealized depreciation of
investment........................... (1,021)
Paid-in capital........................ 99,529
-------
NET ASSETS............................. $95,890
=======
</TABLE>
<TABLE>
<CAPTION>
VALUE
-----------------------------------------------------------
<C> <S> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($28,540,601/3,092,179 shares
outstanding)......................... $9.23
=====
INVESTOR A SHARES:
Net asset value and redemption price
per share ($66,803,171/7,221,048
shares outstanding).................. $9.25
=====
Maximum sales charge................... 3.25%
Maximum offering price per share....... $9.56
INVESTOR B SHARES:
Net asset value and offering price per
share+ ($485,461/52,637 shares
outstanding)......................... $9.22
=====
INVESTOR C SHARES:
Net asset value and offering price per
share(+) ($60,700/5,993 shares
outstanding)......................... $10.13
======
</TABLE>
---------------
<TABLE>
<C> <S>
* The financial statements of the Intermediate Bond Master
Portfolio, including its portfolio of investments, are
included elsewhere within this report and should be read in
conjunction with the Intermediate Bond Fund's financial
statements.
(+) The redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE> 17
NATIONS FUNDS
Nations Bond Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
ASSET-BACKED SECURITIES -- 5.6%
ASSET-BACKED -- AUTO LOANS -- 2.6%
$ 25,000 Distribution Financial Services RV
Trust, Series 1999-1, Class A4,
5.840% 04/15/09................... $ 24,268
10,000 Ford Credit Auto Owner Trust, Series
1997-B, Class CTFS,
6.650% 04/15/03................... 9,975
15,000 Ford Credit Auto Owner Trust, Series
1998-A, Class B,
5.950% 10/15/02................... 14,864
11,625 Premier Auto Trust, Series 1998-1,
Class B,
5.920% 10/06/04................... 11,469
4,150 Premier Auto Trust, Series 1998-3,
Class A4,
5.960% 10/08/02................... 4,115
----------
64,691
----------
ASSET-BACKED -- CREDIT CARD RECEIVABLES
-- 1.1%
15,000 Metris Master Trust, Series 1997-1,
Class B,
7.110% 10/20/05................... 14,957
10,000 World Financial Network Credit Card
Master Trust, Series 1996-B,
Class A,
6.950% 04/15/06................... 10,075
----------
25,032
----------
ASSET-BACKED -- HOME EQUITY LOANS
-- 1.7%
7,572 Amresco Residential Securities
Mortgage Loan Trust, Series
1996-2, Class A1,
7.425% 05/25/27................... 7,559
1,960 Bombardier Capital Mortgage
Securitization, Series 1998A,
Class A3,
6.230% 04/15/28................... 1,925
9,978 First Alliance Mortgage Loan Trust,
Series 1994-2, Class A1,
7.625% 07/25/25................... 10,024
2,026 First Plus Home Loan Trust, Series
1997-4, Class A4,
6.570% 04/10/13................... 2,021
6,550 IMC Home Equity Loan Trust, Series
1997-5, Class A7,
6.900% 01/20/22................... 6,515
7,968 IMC Home Equity Loan Trust, Series
1997-7, Class A3,
6.540% 11/20/12................... 7,908
2,070 Residential Asset Securities
Corporation, Series 1999-KS1,
Class AI3,
6.110% 05/25/25................... 2,031
2,665 Residential Asset Securities
Corporation, Series 1999-KS1,
Class AI4,
6.280% 08/25/25................... 2,573
----------
40,556
----------
ASSET-BACKED -- OTHER -- 0.2%
3,768 Caterpillar Financial Asset Trust,
Series 1998A, Class A3,
5.850% 04/25/03................... 3,750
----------
TOTAL ASSET-BACKED SECURITIES
(Cost $135,992)................... 134,029
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 33.6%
AEROSPACE AND DEFENSE -- 0.7%
$ 5,515 Raytheon Company,
7.900% 03/01/03(-)................ $ 5,608
12,500 Raytheon Company,
6.750% 08/15/07................... 11,842
----------
17,450
----------
AUTOMOTIVE -- 0.6%
15,835 Delphi Automotive Systems
Corporation,
6.125% 05/01/04................... 15,113
----------
BEVERAGES -- 0.2%
3,500 J. Seagram & Sons, Inc.,
6.625% 12/15/05................... 3,413
900 Pepsi Bottling Holdings, Inc.,
5.375% 02/17/04(-)................ 858
----------
4,271
----------
BROADCASTING AND CABLE -- 2.2%
18,360 British Sky Broadcasting Group plc,
6.875% 02/23/09................... 15,938
14,000 Clear Channel Communications, Inc.,
7.250% 09/15/03................... 14,032
12,715 Time Warner Inc.,
8.110% 08/15/06................... 13,242
11,200 Time Warner Inc.,
6.625% 05/15/29................... 9,496
----------
52,708
----------
CHEMICALS -- SPECIALTY -- 0.4%
8,750 Equistar Chemicals, L.P.,
8.500% 02/15/04................... 8,679
345 Rohm and Haas Company,
7.850% 07/15/29................... 340
----------
9,019
----------
COMMERCIAL BANKING -- 3.7%
5,300 Abbey National plc,
6.690% 10/17/05................... 5,208
20,000 Banponce Financial Corporation, MTN,
6.550% 10/10/00................... 19,999
800 Chase Manhattan Corporation,
5.750% 04/15/04................... 769
12,500 FCB/NC Capital Trust I, Gtd. Notes,
8.050% 03/01/28................... 10,409
23,000 First Union Corporation,
7.550% 08/18/05................... 23,280
820 PNC Funding Corporation,
7.000% 09/01/04................... 812
5,000 SunTrust Banks, Inc.,
6.820%** 04/22/02................. 5,001
15,000 Union Planters Capital Trust,
8.200% 12/15/26................... 12,847
2,200 Wells Fargo & Company,
6.625% 07/15/04................... 2,175
8,500 Wilmington Trust Corporation,
6.625% 05/01/08................... 7,917
----------
88,417
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE> 18
NATIONS FUNDS
Nations Bond Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
COMMERCIAL SERVICES -- 2.0%
$ 25,000 Comdisco, Inc.,
9.500% 08/15/03................... $ 25,196
11,750 Cox Enterprises, Inc.,
8.000% 02/15/07(-)................ 11,736
14,768 Xerox Capital Trust I, Gtd. Notes,
8.000% 02/01/27................... 10,536
----------
47,468
----------
COMPUTER SERVICES -- 0.0%+
800 Electronic Data Systems Corporation,
6.850% 10/15/04................... 794
----------
COMPUTERS AND OFFICE EQUIPMENT -- 1.1%
25,000 Compaq Computer Corporation,
7.450% 08/01/02................... 25,097
800 Hewlett Packard Company,
7.150% 06/15/05................... 811
----------
25,908
----------
CONGLOMERATES -- 0.8%
18,125 USA Waste Services Inc.,
7.000% 07/15/28................... 14,851
3,400 Waste Management, Inc.,
6.125% 07/15/01................... 3,319
----------
18,170
----------
CONSUMER CREDIT AND MORTGAGES -- 1.0%
22,500 Capital One Bank,
8.250% 06/15/05................... 22,833
----------
CONSUMER SERVICES -- 0.2%
5,000 Union Tank Car Company,
6.680% 01/15/08................... 4,836
----------
DEPARTMENT AND DISCOUNT STORES -- 0.2%
6,000 J.C. Penny Company, Inc.,
7.400% 04/01/37................... 5,161
----------
DIVERSIFIED MANUFACTURING -- 1.1%
10,000 Blount Inc.,
7.000% 06/15/05................... 8,700
17,495 Tyco International Group SA,
6.375% 06/15/05................... 16,995
----------
25,695
----------
ELECTRIC POWER -- NON NUCLEAR -- 1.1%
3,500 Baltimore Gas & Electric,
6.750% 06/05/12................... 3,505
3,250 Baltimore Gas & Electric,
6.730% 06/12/12................... 3,239
18,250 Dominion Capital Trust I,
7.830% 12/01/27................... 15,818
2,960 SCANA Corporation,
6.050% 01/13/03................... 2,891
----------
25,453
----------
ENERGY -- MISCELLANEOUS -- 1.2%
21,200 PDV America Inc., Gtd. Sr. Notes,
7.875% 08/01/03................... 20,359
8,100 USX Corporation,
6.650% 02/01/06................... 7,846
----------
28,205
----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
FINANCE -- MISCELLANEOUS -- 6.0%
$ 5,000 Associates Corporation of North
America,
5.960% 05/15/37................... $ 4,968
4,000 Case Credit Corporation,
6.125% 02/15/03................... 3,701
4,400 Caterpillar Financial Services
Corporation,
6.875% 08/01/04................... 4,352
3,500 CIT Group, Inc.,
7.375% 03/15/03................... 3,504
2,800 DaimlerChrysler NA Holdings,
6.900% 09/01/04................... 2,772
19,500 ERAC USA Finance Company,
6.625% 02/15/05(+)................ 18,647
22,330 Finova Capital Corporation,
7.250% 11/08/04................... 16,818
25,300 Ford Motor Credit Company,
7.600% 08/01/05................... 25,563
4,485 General Motors Acceptance
Corporation,
6.150% 04/05/07................... 4,193
21,100 Heller Financial, Inc.,
6.000% 03/19/04................... 20,315
23,000 Household Finance Corporation,
8.000% 05/09/05................... 23,764
12,900 Paine Webber Group, Inc.,
6.375% 05/15/04................... 12,589
2,300 Washington Mutual, Inc.,
7.500% 08/15/06................... 2,304
----------
143,490
----------
FOOD AND DRUG STORES -- 0.7%
13,000 Safeway Inc.,
7.000% 09/15/07................... 12,651
2,860 Safeway Inc., Sr. Notes,
7.250% 09/15/04................... 2,855
----------
15,506
----------
HEALTH SERVICES -- 0.5%
3,070 HCA - The Healthcare Corporation,
8.750% 09/01/10................... 3,136
10,615 HEALTHSOUTH Corporation, Sr. Notes,
6.875% 06/15/05................... 9,078
----------
12,214
----------
HEAVY MACHINERY -- 0.1%
3,700 Thermo Electron Corporation,
7.625% 10/30/08................... 3,523
----------
INSURANCE -- 0.1%
1,200 American General Finance
Corporation,
7.450% 01/15/05................... 1,212
----------
INTEGRATED OIL -- 1.0%
4,200 Conoco Inc., Class A,
5.900% 04/15/04................... 4,066
19,300 Occidental Petroleum Corporation,
Sr. Notes,
7.650% 02/15/06................... 19,555
1,090 Union Oil Company of California,
7.500% 02/15/29................... 1,039
----------
24,660
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE> 19
NATIONS FUNDS
Nations Bond Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
INVESTMENT SERVICES -- 5.9%
$ 20,650 Aristar, Inc.,
8.250% 06/15/05................... $ 21,361
23,000 Bear Stearns Companies, Inc.,
7.800% 08/15/07................... 23,282
6,915 Donaldson Lufkin and Jenrette,
5.875% 04/01/02................... 6,798
7,535 FleetBoston Financial Corporation,
7.250% 09/15/05................... 7,586
6,500 Goldman Sachs Group, Inc.,
7.625% 08/17/05................... 6,627
21,230 Goldman Sachs Group, LP,
6.625% 12/01/04(-)................ 20,879
24,195 Lehman Brothers Holdings Inc.,
6.625% 04/01/04................... 23,715
4,987 Merrill Lynch & Company, Inc.,
6.000% 07/15/05................... 4,775
8,775 Morgan Stanley Dean Witter and
Company,
7.750% 06/15/05................... 9,034
16,100 Salomon Smith Barney Holdings, Inc.,
6.250% 05/15/03................... 15,848
----------
139,905
----------
NATURAL GAS PIPELINES -- 0.9%
4,853 KN Energy, Inc.,
6.450% 03/01/03................... 4,765
17,920 Williams Companies, Inc.,
6.500% 08/01/06................... 17,193
----------
21,958
----------
PHARMACEUTICALS -- 0.1%
1,510 Pharmacia Corporation,
5.375% 12/01/01................... 1,477
2,040 Pharmacia Corporation,
6.600% 12/01/28................... 1,815
----------
3,292
----------
TELECOMMUNICATIONS SERVICES -- 1.8%
800 AT&T Corporation,
5.625% 03/15/04................... 763
10,000 CSC Holdings, Inc.,
8.125% 07/15/09................... 9,932
900 MCI Worldcom, Inc.,
6.400% 08/15/05................... 876
21,830 Sprint Capital Corporation,
5.875% 05/01/04................... 20,869
1,200 Sprint Capital Corporation,
6.875% 11/15/28................... 1,036
8,250 Vodafone AirTouch plc,
7.625% 02/15/05(-)................ 8,367
----------
41,843
----------
TOTAL CORPORATE BONDS AND NOTES
(Cost $822,033)................... 799,104
----------
FOREIGN BONDS AND NOTES -- 3.7%
3,000 AT&T Canada Inc.,
8.350%*** 06/15/08................ 2,446
19,800 AT&T Canada Inc., Sr. Notes,
7.650% 09/15/06................... 20,015
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
FOREIGN BONDS AND NOTES -- (CONTINUED)
$ 20,000 Banco Latinoamericano,
7.200% 05/28/02##(-).............. $ 19,655
20,100 Corp Andina De Fomento,
8.875% 06/01/05................... 20,968
10,000 Enterprise Oil plc,
6.700% 09/15/07................... 9,494
13,000 Skandinaviska Enskilda,
8.125% 09/06/49(-)................ 12,673
4,305 Tyco International Group SA,
6.875% 01/15/29................... 3,747
----------
TOTAL FOREIGN BONDS AND NOTES
(Cost $89,858).................... 88,998
----------
MORTGAGE-BACKED SECURITIES -- 51.5%
COMMERCIAL MORTGAGE-BACKED SECURITIES
-- 20.2%
4,750 CMC Securities Corporation, Series
1997-2, Class IA14,
6.600% 11/25/27................... 4,602
31,985 Commercial Mortgage Asset Trust,
Series 1999-C1, Class A3,
6.640% 09/17/10................... 30,829
38,300 CS First Boston Mortgage Securities
Corporation, Series 1998-C1,
Class A1B,
6.480% 05/17/08##................. 36,788
26,235 DLJ Commercial Mortgage Corporation,
Series 1998-CG1, Class A1B,
6.410% 05/10/08................... 25,165
30,000 DLJ Commercial Mortgage Corporation,
Series 1999-CG1, Class A1B,
6.460% 01/10/09##................. 28,768
29,995 DLJ Commercial Mortgage Corporation,
Series 1999-CG2, Class A1B,
7.300% 06/10/09................... 30,242
10,290 DLJ Commercial Mortgage Corporation,
Series 1999-CG3, Class A1B,
7.340% 09/10/09................... 10,324
12,735 DLJ Commercial Mortgage Corporation,
Series 2000-CF1, Class A1B,
7.620% 05/10/10................... 13,082
11,320 First Union-Chase Commercial
Mortgage, Series 1999-C2,
Class A2,
6.645% 04/15/09................... 11,023
78,668 GMAC Commercial Mortgage Securities
Inc., Series 1997-C1, Class X,
1.645%** 07/15/27................. 5,819
31,000 GMAC Commercial Mortgage Securities
Inc., Series 1998-C2, Class A2,
6.420% 08/15/08##................. 29,495
37,060 GMAC Commercial Mortgage Securities
Inc., Series 1999-C1, Class A2,
6.175% 05/15/33................... 34,754
23,140 Heller Financial Commercial Mortgage
Asset Corporation, Series
2000-PH1, Class A2,
7.750% 11/15/09................... 23,947
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE> 20
NATIONS FUNDS
Nations Bond Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
COMMERCIAL MORTGAGE-BACKED
SECURITIES -- (CONTINUED)
$105,391 JP Morgan Commercial Mortgage
Finance Corporation, Series
1997-C4, Class X, Interest only,
1.290%** 12/26/28................. $ 5,809
13,150 JP Morgan Commercial Mortgage
Finance Corporation, Series
1999-C7, Class A2,
6.507% 10/15/35................... 12,656
31,706 Morgan Stanley Capital Trust I,
Series 1999-WF1, Class A2,
6.210% 09/15/08##................. 30,127
6,015 Mortgage Capital Funding, Inc.,
Series 1998-MC2, Class A2,
6.423% 05/18/08................... 5,749
7,000 Nomura Asset Securities Corporation,
Series 1998-D6, Class A1B,
6.590% 03/17/28##................. 6,795
23,000 Nomura Asset Securities Corporation,
Series 1998-D6, Class A1C,
6.690% 03/17/28................... 22,050
11,445 PNC Mortgage Acceptance Corporation,
Series 1999-CM1, Class A1B,
7.330% 10/10/09................... 11,549
36,660 Prudential Securities Secured
Financing Corporation, Series
1998-C1, Class A1B,
6.506% 07/15/08##................. 35,246
9,600 Prudential Securities Secured
Financing Corporation, Series
1999-C2, Class A2,
7.193% 04/15/09................... 9,616
38,625 Prudential Securities Secured
Financing Corporation, Series
1999-NRF1, Class A2,
6.480% 01/15/09##................. 37,003
10,492 Salomon Brothers Mortgage
Securities, Series 2000-C1, Class
A2,
7.520% 12/18/09................... 10,694
7,268 Salomon Brothers Mortgage
Securities, Series 2000-NL1, Class
A1,
6.601% 04/15/08(-)................ 7,111
----------
479,243
----------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) CERTIFICATES -- 2.9%
35 9.000% 01/01/05..................... 35
44,034 8.000% 11/01/09 - 06/01/30.......... 44,626
1,408 6.500% 04/01/11 - 10/01/12.......... 1,386
1,733 8.500% 11/01/26..................... 1,783
20,521 7.000% 12/01/26 - 07/01/28.......... 20,163
----------
67,993
----------
FEDERAL HOUSING AUTHORITY (FHA)
CERTIFICATES -- 1.4%
5,365 6.500% 02/15/29..................... 5,167
9,084 6.750% 01/01/40..................... 8,535
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
FEDERAL HOUSING AUTHORITY (FHA)
CERTIFICATES -- (CONTINUED)
$ 6,397 7.000% 01/01/40..................... $ 6,119
4,508 6.850% 02/01/40..................... 4,247
9,796 6.530% 10/01/40..................... 9,062
----------
33,130
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) CERTIFICATES -- 19.4%
131,290 7.000% 12/01/02 - 10/01/29##........ 128,688
500 8.250% 03/25/06..................... 508
262,565 6.500% 01/01/09 - 09/01/30.......... 253,851
5,230 5.500% 04/01/09..................... 5,045
37,901 7.500% 06/15/22 - 09/01/29.......... 37,854
34,266 8.000% 11/01/29..................... 34,737
----------
460,683
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) CERTIFICATES -- 7.6%
12,165 6.750% 09/15/01..................... 11,503
6,412 6.600% 11/15/01..................... 5,997
28,173 7.000% 07/20/02 - 07/15/28.......... 27,792
1,548 8.500% 12/15/05 - 02/15/25.......... 1,594
12,800 8.000% 11/15/07 - 11/01/23.......... 13,012
55 9.500% 06/15/09 - 09/15/09.......... 58
31 13.000% 01/15/11 - 02/15/11......... 34
73,530 6.500% 03/01/13 - 02/15/29.......... 71,452
108 9.000% 07/15/17..................... 113
45,012 7.500% 12/15/23 - 09/15/28.......... 45,170
4,555 6.550% 03/15/40..................... 4,256
----------
180,981
----------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $1,242,810)................. 1,222,030
----------
MUNICIPAL BONDS AND NOTES -- 0.2%
(Cost $4,998)
NEW YORK -- 0.2%
5,000 Nassau County, New York, GO, Series
1993, (AMBAC Insured),
5.500% 10/15/00................... 4,998
----------
U.S. TREASURY OBLIGATIONS -- 3.5%
U.S. TREASURY STRIPS -- 3.5%
26,700 Principal only 05/15/20............. 8,135
195,850 Principal only 11/15/21............. 54,661
20,000 Principal only 08/15/26............. 4,312
73,090 Principal only 02/15/27............. 15,336
----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $81,059).................... 82,444
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE> 21
NATIONS FUNDS
Nations Bond Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANIES -- 6.2%
(Cost $147,746)
147,746 Nations Cash Reserves#............... $ 147,746
----------
TOTAL INVESTMENTS
(Cost $2,524,496*).......... 104.3% 2,479,349
----------
OTHER ASSETS AND LIABILITIES
(NET)....................... (4.3)%
Receivable for investment securities
sold............................... $ 1
Receivable for Fund shares sold...... 2,252
Interest receivable.................. 23,539
Receivable for variation margin...... 193
Collateral on securities loaned...... (70,942)
Payable for Fund shares redeemed..... (2,056)
Investment advisory fee payable...... (775)
Administration fee payable........... (427)
Shareholder servicing and
distribution fees payable.......... (10)
Due to custodian..................... (19)
Distributions payable................ (12,901)
Payable for investment securities
purchased.......................... (41,070)
Accrued Trustees'/Directors' fees and
expenses........................... (68)
Accrued expenses and other
liabilities........................ (433)
----------
TOTAL OTHER ASSETS AND LIABILITIES
(NET).............................. (102,716)
----------
NET ASSETS.................... 100.0% $2,376,633
==========
NET ASSETS CONSIST OF:
Accumulated net realized loss on
investments sold and futures
contracts.......................... $ (30,861)
Net unrealized depreciation of
investments and futures
contracts.......................... (46,102)
Paid-in capital...................... 2,453,596
----------
NET ASSETS........................... $2,376,633
==========
</TABLE>
<TABLE>
<CAPTION>
VALUE
------------------------------------------------------------
<C> <S> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($2,345,447,201/247,236,722
shares outstanding)................ $9.49
=====
INVESTOR A SHARES:
Net asset value and redemption price
per share ($24,704,177/2,604,550
shares outstanding)................ $9.48
=====
Maximum sales charge................. 3.25%
Maximum offering price per share..... $9.80
INVESTOR B SHARES:
Net asset value and offering price
per share(+) ($5,551,141/585,159
shares outstanding)................ $9.49
=====
INVESTOR C SHARES:
Net asset value and offering price
per share(+) ($930,647/98,114
shares outstanding)................ $9.49
=====
</TABLE>
---------------
<TABLE>
<C> <S>
* Federal Income Tax Information: Net unrealized depreciation
of $45,147 on investment securities was comprised of gross
appreciation of $15,672 and gross depreciation of $60,819
for federal income tax purposes. At September 30, 2000, the
aggregate cost of securities for federal income tax purposes
was $2,524,496.
## All or a portion of security segregated as collateral for
futures contracts.
** Variable rate security. The interest rate shown reflects the
rate in effect at September 30, 2000.
*** Zero coupon security. The rate shown reflects the yield to
maturity.
(-) 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.
(+) The redemption price per share is equal to net asset value
less any applicable contingent deferred sales charge.
+ 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, Inc. A portion of this amount
represents cash collateral received from securities lending
activity (Note 8). The portion that represents cash
collateral is $70,942.
ABBREVIATIONS:
MTN -- Medium Term Note
AMBAC -- American Municipal Bond Assurance Corporation
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE> 22
NATIONS FUNDS
Nations Strategic Income Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 55.3%
AEROSPACE AND DEFENSE -- 1.5%
$ 719 Allied Signal,
9.065% 06/01/33..................... $ 788
2,000 Lockheed Martin Corporation,
7.750% 05/01/26..................... 1,932
1,000 Raytheon Company,
6.750% 08/15/07..................... 947
--------
3,667
--------
AIRLINES -- 0.4%
1,000 US Airways, Inc.,
8.020% 02/05/19..................... 1,012
--------
AUTOMOTIVE -- 0.8%
2,125 Delphi Automotive Systems Corporation,
6.125% 05/01/04..................... 2,028
--------
BEVERAGES -- 1.0%
2,500 J. Seagram & Sons, Inc.,
6.625% 12/15/05..................... 2,438
--------
BROADCASTING AND CABLE -- 2.9%
2,200 British Sky Broadcasting Group plc,
6.875% 02/23/09..................... 1,910
500 Clear Channel Communications, Inc.,
7.250% 09/15/03..................... 501
2,190 Lenfest Communications, Inc.,
10.500% 06/15/06##.................. 2,387
2,300 Time Warner Inc.,
8.110% 08/15/06..................... 2,395
--------
7,193
--------
CHEMICALS -- SPECIALTY -- 1.2%
3,110 Equistar Chemicals, L.P.,
8.500% 02/15/04..................... 3,085
--------
COMMERCIAL BANKING -- 5.5%
3,500 FCB/NC Capital Trust I, Gtd. Notes,
8.050% 03/01/28..................... 2,915
825 First Union Corporation,
7.550% 08/18/05..................... 835
3,775 Golden State Holdings, Escrow
Corporation,
7.000% 08/01/03..................... 3,595
3,925 Popular, Inc., MTN,
6.375% 09/15/03..................... 3,852
2,750 Wilmington Trust Corporation,
6.625% 05/01/08##................... 2,561
--------
13,758
--------
COMMERCIAL SERVICES -- 1.1%
2,600 Comdisco, Inc.,
9.500% 08/15/03##................... 2,620
--------
COMPUTERS AND OFFICE EQUIPMENT -- 1.0%
2,600 Compaq Computer Corporation,
7.450% 08/01/02..................... 2,610
--------
CONGLOMERATES -- 0.9%
2,600 USA Waste Services Inc.,
7.000% 07/15/28..................... 2,130
--------
CONSUMER CREDIT AND MORTGAGES -- 1.0%
2,500 Capital One Bank,
8.250% 06/15/05..................... 2,537
--------
CONSUMER SERVICES -- 0.8%
2,100 Union Tank Car Company,
6.680% 01/15/08##................... 2,031
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
DIVERSIFIED MANUFACTURING -- 4.7%
$ 1,650 American Standard Inc.,
7.375% 04/15/05..................... $ 1,584
3,805 Blount Inc.,
7.000% 06/15/05..................... 3,310
4,500 BWAY Corporation, Sr. Sub. Notes,
10.250% 04/15/07##.................. 4,410
2,600 Fisher Scientific International,
Sr Notes,
7.125% 12/15/05##................... 2,301
--------
11,605
--------
ELECTRIC POWER -- NON NUCLEAR -- 2.1%
2,420 CMS Energy Corporation,
8.125% 05/15/02..................... 2,403
500 Consumers Energy Company,
6.200% 05/01/03..................... 476
2,775 Dominion Capital Trust I,
7.830% 12/01/27..................... 2,405
--------
5,284
--------
ENERGY -- MISCELLANEOUS -- 5.4%
2,480 Barrett Resources Corporation,
Sr. Notes,
7.550% 02/01/07..................... 2,372
3,635 Occidental Petroleum Corporation,
Sr. Deb.,
9.250% 08/01/19..................... 4,035
5,430 PDV America Inc., Gtd. Sr. Notes,
7.875% 08/01/03##................... 5,215
2,000 USX Corporation,
6.650% 02/01/06..................... 1,937
--------
13,559
--------
EXPLORATION AND PRODUCTION -- 1.4%
3,300 Louis Dreyfus Natural Gas Corporation,
Sr. Sub Notes,
9.250% 06/15/04..................... 3,378
--------
FINANCE -- MISCELLANEOUS -- 7.7%
2,000 Case Credit Corporation,
6.125% 02/15/03..................... 1,851
4,025 ERAC USA Finance Company,
6.625% 02/15/05(-).................. 3,849
2,200 Finova Capital Corporation,
7.250% 11/08/04..................... 1,657
2,600 Ford Motor Credit Company,
7.600% 08/01/05..................... 2,627
2,200 Household Finance Corporation,
8.000% 05/09/05..................... 2,273
2,900 Newcourt Credit Group Inc.,
6.875% 02/16/05..................... 2,863
2,000 Paine Webber Group, Inc.,
6.375% 05/15/04..................... 1,952
2,300 Washington Mutual, Inc.,
7.500% 08/15/06..................... 2,304
--------
19,376
--------
FOOD AND DRUG STORES -- 0.9%
2,145 Safeway Inc., Sr. Notes,
7.250% 09/15/04..................... 2,141
--------
HEALTH SERVICES -- 1.5%
1,060 HCA - The Healthcare Corporation,
8.750% 09/01/10..................... 1,083
3,475 HEALTHSOUTH Corporation,
7.000% 06/15/08..................... 2,774
--------
3,857
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE> 23
NATIONS FUNDS
Nations Strategic Income Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
HEAVY MACHINERY -- 0.8%
$ 2,175 Thermo Electron Corporation,
7.625% 10/30/08##................... $ 2,071
--------
INSURANCE -- 0.5%
3,000 Conseco Finance Trust III,
8.796% 04/01/27##................... 1,290
--------
INTEGRATED OIL -- 0.5%
1,235 Conoco Inc., Class A,
5.900% 04/15/04..................... 1,196
--------
INVESTMENT SERVICES -- 2.7%
2,500 Lehman Brothers Inc.,
11.625% 05/15/05.................... 2,925
500 MCN Investment Corporation,
6.890% 01/16/02..................... 497
3,300 Morgan Stanley Finance plc, Gtd. Sub.
Deb.,
8.030% 02/28/17..................... 3,348
--------
6,770
--------
MEDICAL DEVICES AND SUPPLIES -- 0.9%
2,475 Beckman Coulter, Inc.,
7.450% 03/04/08(-).................. 2,293
--------
NATURAL GAS PIPELINES -- 1.8%
2,200 KN Energy, Inc.,
6.450% 03/01/03..................... 2,160
2,500 Williams Companies, Inc.,
6.500% 08/01/06..................... 2,399
--------
4,559
--------
PAPER AND FOREST PRODUCTS -- 1.1%
2,600 Abitibi-Consolidated Inc.,
8.550% 08/01/10..................... 2,645
--------
PUBLISHING AND ADVERTISING -- 1.7%
4,735 PRIMEDIA Inc.,
7.625% 04/01/08..................... 4,309
--------
TELECOMMUNICATIONS SERVICES -- 3.5%
2,500 CSC Holdings, Inc.,
8.125% 07/15/09..................... 2,483
2,200 Global Crossing Holdings Ltd.,
9.125% 11/15/06..................... 2,178
2,100 Sprint Capital Corporation,
6.875% 11/15/28..................... 1,813
2,100 Vodafone AirTouch plc,
7.750% 02/15/10(-).................. 2,137
--------
8,611
--------
TOTAL CORPORATE BONDS AND NOTES
(Cost $143,908)..................... 138,053
--------
FOREIGN BONDS AND NOTES -- 3.4%
2,200 AT&T Canada Inc., Sr. Notes,
7.650% 09/15/06..................... 2,223
375 Banco Latinoamericano,
7.200% 05/28/02(-).................. 369
2,105 Corp Andina De Fomento,
8.875% 06/01/05..................... 2,196
720,000 Hellenic Republic,
6.000% 05/19/10(a).................. 1,869
2,200 Tyco International Group SA,
6.875% 01/15/29..................... 1,915
--------
TOTAL FOREIGN BONDS AND NOTES
(Cost $8,515)....................... 8,572
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 26.3%
COMMERCIAL MORTGAGE-BACKED SECURITIES
-- 15.0%
$ 4,355 Commercial Mortgage Asset Trust,
Series 1999-C1, Class A3,
6.640% 09/17/10..................... $ 4,198
3,430 DLJ Commercial Mortgage Corporation,
Series 1999-CG2, Class A1B,
7.300% 06/10/09..................... 3,458
4,295 DLJ Commercial Mortgage Corporation,
Series 1999-CG3, Class A1B,
7.340% 09/10/09..................... 4,309
4,350 First Union National Bank Commercial
Mortgage, Series 1999-C4, Class A2,
7.390% 11/15/09..................... 4,414
3,340 First Union-Chase Commercial Mortgage,
Series 1999-C2, Class A2,
6.645% 04/15/09..................... 3,252
3,350 Heller Financial Commercial Mortgage
Asset Corporation, Series 2000-PH1,
Class A2,
7.750% 11/15/09..................... 3,467
3,000 PNC Mortgage Acceptance Corporation,
Series 1999-CM1, Class A1B,
7.330% 10/10/09..................... 3,027
3,470 PNC Mortgage Acceptance Corporation,
Series 2000-C1, Class A2,
7.610% 02/15/10..................... 3,560
4,355 Prudential Securities Secured
Financing Corporation, Series
1999-C2, Class A2,
7.193% 04/15/09..................... 4,362
3,340 Salomon Brothers Mortgage Securities,
Series 2000-C1, Class A2,
7.520% 12/18/09..................... 3,404
--------
37,451
--------
FEDERAL HOME LOAN MORTGAGE CORPORATION
(FHLMC) CERTIFICATES -- 11.3%
1,600 5.500% 05/15/02....................... 1,575
10,400 7.375% 05/15/03....................... 10,606
2,000 5.750% 07/15/03....................... 1,961
5,600 6.250% 07/15/04....................... 5,539
8,550 6.625% 09/15/09....................... 8,448
--------
28,129
--------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $64,139)...................... 65,580
--------
U.S. TREASURY OBLIGATIONS -- 9.8%
U.S. TREASURY BILLS -- 1.0%
2,500 Discount note 10/13/00................ 2,494
--------
U.S. TREASURY NOTES -- 1.6%
4,100 5.500% 08/31/01....................... 4,071
--------
U.S. TREASURY STRIPS -- 7.2%
13,900 Interest only 08/15/09................ 8,202
2,475 Principal only 05/15/20............... 754
1,800 Principal only 02/15/21............... 525
17,500 Principal only 11/15/21............... 4,884
16,750 Principal only 02/15/27............... 3,515
--------
17,880
--------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $24,227)...................... 24,445
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE> 24
NATIONS FUNDS
Nations Strategic Income Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
------------------------------------------------------------
<C> <S> <C>
SHORT TERM INVESTMENTS -- 2.0%
COMMERCIAL PAPER -- 2.0%
$ 2,500 Houston Industries,
Discount note 10/12/00.............. $ 2,495
2,500 Safeco Credit Company,
Discount note 10/24/00.............. 2,489
--------
TOTAL SHORT TERM INVESTMENTS
(Cost $4,984)....................... 4,984
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
---------
<C> <S> <C>
INVESTMENT COMPANIES -- 2.6%
(Cost $6,523)
6,523 Nations Cash Reserves#............... 6,523
--------
TOTAL INVESTMENTS
(Cost $252,296*)............ 99.4% 248,157
--------
OTHER ASSETS AND LIABILITIES
(NET)....................... 0.6%
Cash................................. $ 1
Receivable for investment securities
sold............................... 6,704
Receivable for Fund shares sold...... 85
Interest receivable.................. 3,680
Variation margin/due to broker....... (3)
Collateral on securities loaned...... (2,033)
Payable for Fund shares redeemed..... (452)
Investment advisory fee payable...... (81)
Administration fee payable........... (45)
Shareholder servicing and
distribution fees payable.......... (49)
Distributions payable................ (1,351)
Payable for investment securities
purchased.......................... (4,931)
Accrued Trustees'/Directors' fees and
expenses........................... (32)
Accrued expenses and other
liabilities........................ (119)
--------
TOTAL OTHER ASSETS AND LIABILITIES
(NET).............................. 1,374
--------
NET ASSETS.................... 100.0% $249,531
========
NET ASSETS CONSIST OF:
Undistributed net investment
income............................. $ 21
Accumulated net realized loss on
investments sold, futures
contracts, foreign currencies and
net other assets................... (20,431)
Net unrealized depreciation of
investments, futures contracts,
foreign currencies and net other
assets............................. (4,146)
Paid-in capital...................... 274,087
--------
NET ASSETS........................... $249,531
========
<CAPTION>
VALUE
------------------------------------------------------------
<C> <S> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($169,264,567/17,755,713 shares
outstanding)....................... $9.53
=====
INVESTOR A SHARES:
Net asset value and redemption price
per share ($28,293,399/2,970,817
shares outstanding)................ $9.52
=====
Maximum sales charge................. 4.75%
Maximum offering price per share..... $10.00
INVESTOR B SHARES:
Net asset value and offering price
per share(+) ($50,627,458/5,311,942
shares outstanding)................ $9.53
=====
INVESTOR C SHARES:
Net asset value and offering price
per share(+) ($1,345,194/141,264
shares outstanding)................ $9.52
=====
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized depreciation of $4,139 on
investment securities was comprised of gross appreciation of $2,776 and
gross depreciation of $6,915 for federal income tax purposes. At September
30, 2000, the aggregate cost of securities for federal income tax purposes
was $252,296.
## All or a portion of security segregated as collateral for futures contracts.
(-) 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.
(+) The redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
(a) Principal amount denominated in Greek Drachma.
# Money market mutual fund registered under the Investment Company Act of
1940, as amended, and sub-advised by Banc of America Capital Management,
Inc. A portion of this amount represents cash collateral received from
securities lending activity (Note 8). The portion that represents cash
collateral is $2,033.
ABBREVIATIONS:
MTN -- Medium Term Note
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE> 25
NATIONS FUNDS
Nations High Yield Bond Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(000)
-----------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANIES -- 100.1%
Investment in Nations Master Investment
Trust, High Yield Bond Master
Portfolio*........................... $25,290
-------
TOTAL INVESTMENTS............... 100.1% 25,290
-------
OTHER ASSETS AND LIABILITIES
(NET)......................... (0.1)%
Receivable from administrator.......... $ 9
Shareholder servicing and distribution
fees payable......................... (9)
Accrued Trustees'/Directors' fees and
expenses............................. (7)
Accrued expenses and other
liabilities.......................... (25)
-------
TOTAL OTHER ASSETS AND LIABILITIES
(NET)................................ (32)
-------
NET ASSETS...................... 100.0% $25,258
=======
NET ASSETS CONSIST OF:
Undistributed net investment income.... $ 52
Accumulated net realized loss on
investment........................... (98)
Net unrealized depreciation of
investment........................... (470)
Paid-in capital........................ 25,774
-------
NET ASSETS............................. $25,258
=======
</TABLE>
<TABLE>
<CAPTION>
VALUE
-----------------------------------------------------------
<C> <S> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($12,063,894/1,237,669 shares
outstanding)......................... $9.75
=====
INVESTOR A SHARES:
Net asset value and redemption price
per share ($1,278,552/131,631
shares outstanding).................. $9.71
=====
Maximum sales charge................... 4.75%
Maximum offering price per share....... $10.20
INVESTOR B SHARES:
Net asset value and offering price per
share(+) ($11,413,082/1,176,727
shares outstanding).................. $9.70
=====
INVESTOR C SHARES:
Net asset value and offering price per
share(+) ($502,821/51,908 shares
outstanding)......................... $9.69
=====
</TABLE>
---------------
* The financial statements of the High Yield Bond Master Portfolio, including
its portfolio of investments, are included elsewhere within this report and
should be read in conjunction with the High Yield Bond Fund's financial
statements.
(+) The redemption price per share is equal to net asset value less any
applicable contingent deferred sales charge.
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE> 26
NATIONS FUNDS
STATEMENTS OF OPERATIONS (UNAUDITED)
For the six months ended September 30, 2000
<TABLE>
SHORT-
SHORT-TERM INTERMEDIATE GOVERNMENT
INCOME GOVERNMENT SECURITIES
------------------------------------------------------------------------
<S> <C> <C> <C>
(IN THOUSANDS)
INVESTMENT INCOME:
Interest...................................... $ 13,142 $ 17,897 $ 7,718
Interest allocated from Portfolio+............ -- -- --
Dividends allocated from Portfolio (Net of
foreign withholding taxes of $0, $0, $0, $0,
$0, $0, $0 and $1, respectively)+........... -- -- --
Securities lending income..................... -- 25 7
Expenses allocated from Portfolio+............ -- -- --
------------------- ------------------- -------------------
Total investment income................... 13,142 17,922 7,725
------------------- ------------------- -------------------
EXPENSES:
Investment advisory fee....................... 597 837 529
Administration fee............................ 438 614 235
Transfer agent fees........................... 68 93 32
Custodian fees................................ 18 20 17
Legal and audit fees.......................... 37 38 35
Registration and filing fees.................. 18 23 27
Trustees'/Directors' fees and expenses........ 9 9 9
Printing expense.............................. 16 19 23
Other......................................... 8 8 13
------------------- ------------------- -------------------
Subtotal.................................. 1,209 1,661 920
Shareholder servicing and distribution fees:
Primary B Shares............................ -- 1 --
Investor A Shares........................... 12 53 69
Investor B Shares........................... 14 38 129
Investor C Shares........................... 4 3 1
Seafirst Shares**........................... -- -- --
------------------- ------------------- -------------------
Total expenses............................ 1,239 1,756 1,119
Fees waived by investment advisor,
administrator and/or distributor............ (199) (7) (102)
Fees reduced by credits allowed by the
custodian................................... --* --* (3)
------------------- ------------------- -------------------
Net expenses.............................. 1,040 1,749 1,014
------------------- ------------------- -------------------
NET INVESTMENT INCOME/(LOSS).................. 12,102 16,173 6,711
------------------- ------------------- -------------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS:
Net realized gain/(loss) from:
Security transactions....................... (1,154) (534) (689)
Security transactions allocated from
Portfolio+................................ -- -- --
Futures contracts........................... -- 704 --
Foreign currencies.......................... -- -- --
------------------- ------------------- -------------------
Net realized gain/(loss) on investments....... (1,154) 170 (689)
------------------- ------------------- -------------------
Change in unrealized
appreciation/(depreciation) of:
Securities (Note 10)........................ 3,598 8,088 2,959
Securities allocated from Portfolio (Note
10)+...................................... -- -- --
Futures contracts........................... -- 179 --
Foreign currency and net other assets
allocated from Portfolio+................. -- -- --
Foreign currency and net other assets....... -- -- --
------------------- ------------------- -------------------
Net change in unrealized
appreciation/(depreciation) of
investments................................. 3,598 8,267 2,959
------------------- ------------------- -------------------
Net realized and unrealized gain/(loss) on
investments................................. 2,444 8,437 2,270
------------------- ------------------- -------------------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS................... $ 14,546 $ 24,610 $ 8,981
=================== =================== ===================
</TABLE>
---------------
* Amount represents less than $500.
** Seafirst Shares converted into Investor A Shares on June 23, 2000.
+ Allocated from Intermediate Bond Master Portfolio and High Yield Bond Master
Portfolio, respectively.
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE> 27
NATIONS FUNDS
STATEMENTS OF OPERATIONS (CONTINUED) (UNAUDITED)
<TABLE>
<CAPTION>
U.S. GOVERNMENT INTERMEDIATE STRATEGIC HIGH YIELD
BOND BOND BOND INCOME BOND
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 2,387 $ -- $ 77,074 $ 8,835 $ --
-- 3,287 -- -- 1,057
-- -- -- -- 31
5 -- 33 3 --
-- (232) -- -- (105)
------------------- ------------------- ------------------- ------------------- -------------------
2,392 3,055 77,107 8,838 983
------------------- ------------------- ------------------- ------------------- -------------------
188 -- 4,261 568 --
83 79 2,343 250 16
13 15 309 35 1
4 -- 61 16 --
34 24 45 35 35
26 39 51 21 24
8 9 8 9 8
17 23 36 23 12
3 --* 35 3 5
------------------- ------------------- ------------------- ------------------- -------------------
376 189 7,149 960 101
-- -- -- -- --
4 70 29 36 1
42 2 27 262 35
5 --* 5 6 1
-- 15 -- -- --
------------------- ------------------- ------------------- ------------------- -------------------
427 276 7,210 1,264 138
(38) (63) -- (131) (122)
--* -- (6) (9) --
------------------- ------------------- ------------------- ------------------- -------------------
389 213 7,204 1,124 16
------------------- ------------------- ------------------- ------------------- -------------------
2,003 2,842 69,903 7,714 967
------------------- ------------------- ------------------- ------------------- -------------------
(889) -- (5,073) (1,981) --
-- (1,014) -- -- (135)
-- -- (840) (198) --
-- -- -- 28 1
------------------- ------------------- ------------------- ------------------- -------------------
(889) (1,014) (5,913) (2,151) (134)
------------------- ------------------- ------------------- ------------------- -------------------
2,142 -- 35,499 3,115 --
-- 2,057 -- -- (300)
-- -- (241) 140 --
-- -- -- -- --
-- -- -- (35) --
------------------- ------------------- ------------------- ------------------- -------------------
2,142 2,057 35,258 3,220 (300)
------------------- ------------------- ------------------- ------------------- -------------------
1,253 1,043 29,345 1,069 (434)
------------------- ------------------- ------------------- ------------------- -------------------
$ 3,256 $ 3,885 $ 99,248 $ 8,783 $ 533
=================== =================== =================== =================== ===================
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE> 28
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SHORT-TERM INCOME
------------------------------------
SIX MONTHS
ENDED
9/30/00 YEAR ENDED
(UNAUDITED) 3/31/00
------------------------------------
<S> <C> <C>
(IN THOUSANDS)
Net investment income/(loss)................................ $ 12,102 $ 24,537
Net realized gain/(loss) on investments..................... (1,154) (4,546)
Net change in unrealized appreciation/(depreciation) of
investments............................................... 3,598 (7,482)
-------------- --------------
Net increase/(decrease) in net assets resulting from
operations................................................ 14,546 12,509
Distributions to shareholders from net investment income:
Primary A Shares.......................................... (11,722) (23,484)
Primary B Shares.......................................... -- --
Investor A Shares......................................... (290) (793)
Investor B Shares......................................... (72) (201)
Investor C Shares......................................... (18) (57)
Distributions to shareholders from net realized gain on
investments:
Primary A Shares.......................................... -- --
Primary B Shares.......................................... -- --
Investor A Shares......................................... -- --
Investor B Shares......................................... -- --
Investor C Shares......................................... -- --
Net increase/(decrease) in net assets from Fund share
transactions.............................................. (41,641) 6,690
-------------- --------------
Net increase/(decrease) in net assets....................... (39,197) (5,336)
NET ASSETS:
Beginning of period......................................... 414,352 419,688
-------------- --------------
End of period............................................... $ 375,155 $ 414,352
============== ==============
Undistributed net investment income/(loss)/(distributions in
excess of net investment income) at end of period......... $ -- $ --
============== ==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE> 29
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE GOVERNMENT GOVERNMENT SECURITIES U.S. GOVERNMENT BOND
-------------------------------------- ---------------------------------- ----------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED
9/30/00 YEAR ENDED 9/30/00 YEAR ENDED 9/30/00 YEAR ENDED
(UNAUDITED) 3/31/00 (UNAUDITED) 3/31/00 (UNAUDITED) 3/31/00
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 16,173 $ 33,163 $ 6,711 $ 12,326 $ 2,003 $ 4,936
170 (13,788) (689) (11,283) (889) (5,280)
8,267 (9,956) 2,959 527 2,142 (890)
-------------- -------------- -------------- -------------- -------------- --------------
24,610 9,419 8,981 1,570 3,256 (1,234)
(14,773) (29,896) (4,262) (7,131) (1,709) (4,431)
(5) (12) -- -- -- --
(1,191) (2,765) (1,733) (3,587) (88) (125)
(188) (445) (709) (1,586) (186) (329)
(16) (45) (7) (21) (20) (50)
-- -- -- -- -- (92)
-- -- -- -- -- --
-- -- -- -- -- (3)
-- -- -- -- -- (10)
-- -- -- -- -- (1)
4,010 (69,201) 34,656 35,118 (12,339) (34,407)
-------------- -------------- -------------- -------------- -------------- --------------
12,447 (92,945) 36,926 24,363 (11,086) (40,682)
551,994 644,939 193,510 169,147 78,691 119,373
-------------- -------------- -------------- -------------- -------------- --------------
$ 564,441 $ 551,994 $ 230,436 $ 193,510 $ 67,605 $ 78,691
============== ============== ============== ============== ============== ==============
$ -- $ -- $ (393) $ (393) $ 20 $ 20
============== ============== ============== ============== ============== ==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE> 30
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
INTERMEDIATE BOND
-------------------------------------------------------
SIX MONTHS
ENDED
9/30/00 PERIOD ENDED PERIOD ENDED
(UNAUDITED) 3/31/00 5/14/99(a)
-------------------------------------------------------
<S> <C> <C> <C>
(IN THOUSANDS)
Net investment income/(loss)................................ $ 2,842 $ 4,547 $ 983
Net realized gain/(loss) on investments..................... -- -- --
Net realized gain/(loss) on investments allocated from
Portfolio+................................................ (1,014) (1,524) (101)
Net change in unrealized appreciation/(depreciation) of
investments............................................... -- -- --
Net change in unrealized appreciation/(depreciation) of
investments allocated from Portfolio+..................... 2,057 (1,680) (230)
-------------- -------------- --------------
Net increase/(decrease) in net assets resulting from
operations................................................ 3,885 1,343 652
Distributions to shareholders from net investment income:
Primary A Shares.......................................... (738) (700) --
Primary B Shares.......................................... -- -- --
Investor A Shares......................................... (1,758) (2,558) (541)
Investor B Shares......................................... (11) (6) --
Investor C Shares......................................... (1) (4) (4)
Seafirst Shares**......................................... (317) (1,365) (256)
Distributions to shareholders from net realized gain on
investments:
Primary A Shares.......................................... -- -- --
Primary B Shares.......................................... -- -- --
Investor A Shares......................................... -- -- --
Investor B Shares......................................... -- -- --
Investor C Shares......................................... -- -- --
Seafirst Shares**......................................... -- -- --
Net increase/(decrease) in net assets from Fund share
transactions.............................................. 4,310 (509) (2,880)
-------------- -------------- --------------
Net increase/(decrease) in net assets....................... 5,370 (3,799) (3,029)
NET ASSETS:
Beginning of period......................................... 90,520 94,319 97,348
-------------- -------------- --------------
End of period............................................... $ 95,890 $ 90,520 $ 94,319
============== ============== ==============
Undistributed net investment income/(loss)/(distributions in
excess of net investment income) at end of period......... $ 29 $ 12 $ 96
============== ============== ==============
</TABLE>
---------------
* Amount represents less than $500.
** Seafirst Shares converted into Investor A Shares on June 23, 2000.
+ Allocated from Intermediate Bond Master Portfolio and High Yield Bond Master
Portfolio, respectively.
(a) Represents financial information for the Pacific Horizon Intermediate Bond
Fund, which was reorganized into Intermediate Bond on May 21, 1999.
(b) High Yield Bond commenced operations on February 14, 2000.
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE> 31
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
BOND STRATEGIC INCOME HIGH YIELD BOND
---------------------------------- ---------------------------------- ----------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED ENDED ENDED
9/30/00 YEAR ENDED 9/30/00 YEAR ENDED 9/30/00 PERIOD ENDED
(UNAUDITED) 3/31/00 (UNAUDITED) 3/31/00 (UNAUDITED) 3/31/00(B)
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 69,903 $ 111,173 $ 7,714 $ 16,362 $ 967 $ 103
(5,913) (24,706) (2,151) (17,366) -- --
-- -- -- -- (134) 36
35,258 (69,258) 3,220 (2,470) -- --
-- -- -- -- (300) (170)
-------------- -------------- -------------- -------------- -------------- --------------
99,248 17,209 8,783 (3,474) 533 (31)
(68,982) (109,131) (5,089) (10,301) (511) (82)
-- -- -- -- -- --
(744) (1,671) (991) (2,161) (43) (2)
(152) (319) (1,597) (3,811) (350) (18)
(25) (53) (37) (88) (11) (1)
-- -- -- -- -- --
-- (10,090) -- (14) -- --
-- -- -- -- -- --
-- (170) -- (3) -- --
-- (33) -- (7) -- --
-- (6) -- --* -- --
-- -- -- -- -- --
523,384 91,317 41,986 (173,681) 12,390 13,284
-------------- -------------- -------------- -------------- -------------- --------------
552,729 (12,947) 43,055 (193,540) 12,008 13,150
1,823,904 1,836,851 206,476 400,016 13,250 100
-------------- -------------- -------------- -------------- -------------- --------------
$ 2,376,633 $ 1,823,904 $ 249,531 $ 206,476 $ 25,258 $ 13,250
============== ============== ============== ============== ============== ==============
$ -- $ -- $ 21 $ 21 $ 52 $ --
============== ============== ============== ============== ============== ==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE> 32
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY
<TABLE>
<CAPTION>
SHORT-TERM INCOME
SIX MONTHS ENDED
SEPTEMBER 30, 2000 YEAR ENDED
(UNAUDITED) MARCH 31, 2000
------------------ --------------------
SHARES DOLLARS SHARES DOLLARS
--------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 4,394 $ 41,734 13,140 $ 126,328
Issued as reinvestment of dividends....................... 81 771 159 1,528
Redeemed.................................................. (8,351) (79,444) (12,003) (115,242)
------ -------- ------- ---------
Net increase/(decrease)................................... (3,876) $(36,939) 1,296 $ 12,614
====== ======== ======= =========
INVESTOR A SHARES:
Sold...................................................... 401 $ 3,813 2,074 $ 19,902
Issued as reinvestment of dividends....................... 24 224 56 537
Redeemed.................................................. (861) (8,190) (2,384) (22,843)
------ -------- ------- ---------
Net increase/(decrease)................................... (436) $ (4,153) (254) $ (2,404)
====== ======== ======= =========
INVESTOR B SHARES:
Sold...................................................... -- $ -- 1 $ 12
Issued as reinvestment of dividends....................... 6 62 16 156
Redeemed.................................................. (28) (270) (306) (2,965)
------ -------- ------- ---------
Net increase/(decrease)................................... (22) $ (208) (289) $ (2,797)
====== ======== ======= =========
INVESTOR C SHARES:
Sold...................................................... 10 $ 96 29 $ 279
Issued as reinvestment of dividends....................... 2 19 4 36
Redeemed.................................................. (47) (456) (107) (1,038)
------ -------- ------- ---------
Net increase/(decrease)................................... (35) $ (341) (74) $ (723)
====== ======== ======= =========
Total net increase/(decrease)............................. (4,369) $(41,641) 679 $ 6,690
====== ======== ======= =========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE> 33
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE GOVERNMENT
SIX MONTHS ENDED
SEPTEMBER 30, 2000 YEAR ENDED
(UNAUDITED) MARCH 31, 2000
------------------- --------------------
SHARES DOLLARS SHARES DOLLARS
---------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 14,071 $ 55,708 52,376 $ 208,315
Issued in exchange for assets of:
Boatmen's Trust Company Intermediate Government Fund
(Note 10)............................................. 5,337 21,135 -- --
Bank IV Kansas U.S. Treasury Fund (Note 10)............. 4,829 19,124 -- --
Issued as reinvestment of dividends....................... 19 77 112 451
Redeemed.................................................. (21,553) (85,323) (70,117) (279,179)
------- -------- ------- ---------
Net increase/(decrease)................................... 2,703 $ 10,721 (17,629) $ (70,413)
======= ======== ======= =========
PRIMARY B SHARES:
Sold...................................................... -- $ -- --* $ 1
Issued as reinvestment of dividends....................... 1 5 3 11
Redeemed.................................................. (19) (76) (19) (76)
------- -------- ------- ---------
Net increase/(decrease)................................... (18) $ (71) (16) $ (64)
======= ======== ======= =========
INVESTOR A SHARES:
Sold...................................................... 722 $ 2,862 17,793 $ 71,487
Issued in exchange for A Shares of Pacific Horizon
Short-Term Government Fund (Note 10).................... -- -- 4,739 19,247
Issued as reinvestment of dividends....................... 183 720 374 1,494
Redeemed.................................................. (2,138) (8,445) (22,335) (89,655)
------- -------- ------- ---------
Net increase/(decrease)................................... (1,233) $ (4,863) 571 $ 2,573
======= ======== ======= =========
INVESTOR B SHARES:
Sold...................................................... 138 $ 544 457 $ 1,853
Issued as reinvestment of dividends....................... 33 128 70 277
Redeemed.................................................. (554) (2,190) (737) (2,951)
------- -------- ------- ---------
Net increase/(decrease)................................... (383) $ (1,518) (210) $ (821)
======= ======== ======= =========
INVESTOR C SHARES:
Sold...................................................... 121 $ 477 26 $ 101
Issued as reinvestment of dividends....................... 3 14 9 37
Redeemed.................................................. (189) (750) (158) (614)
------- -------- ------- ---------
Net increase/(decrease)................................... (65) $ (259) (123) $ (476)
======= ======== ======= =========
Total net increase/(decrease)............................. 1,004 $ 4,010 (17,407) $ (69,201)
======= ======== ======= =========
</TABLE>
---------------
* Amount represents less than 500 shares and/or $500, as applicable.
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE> 34
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
GOVERNMENT SECURITIES
SIX MONTHS ENDED
SEPTEMBER 30, 2000 YEAR ENDED
(UNAUDITED) MARCH 31, 2000
------------------ ------------------
SHARES DOLLARS SHARES DOLLARS
------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 2,381 $ 22,397 4,340 $ 42,982
Issued in exchange for assets of Boatmen's Trust Company
Taxable Bond Fund (Note 10)............................. 4,855 45,638 -- --
Issued as reinvestment of dividends....................... 17 155 38 365
Redeemed.................................................. (2,815) (26,459) (4,910) (48,145)
------ -------- ------ --------
Net increase/(decrease)................................... 4,438 $ 41,731 (532) $ (4,798)
====== ======== ====== ========
INVESTOR A SHARES:
Sold...................................................... 2,802 $ 26,246 1,552 $ 15,073
Issued in exchange for A Shares of Pacific Horizon U.S.
Government Fund (Note 10)............................... -- -- 6,013 58,531
Issued as reinvestment of dividends....................... 127 1,184 242 2,281
Redeemed.................................................. (3,440) (32,233) (3,615) (34,510)
------ -------- ------ --------
Net increase/(decrease)................................... (511) $ (4,803) 4,192 $ 41,375
====== ======== ====== ========
INVESTOR B SHARES:
Sold...................................................... 126 $ 1,184 953 $ 9,561
Issued as reinvestment of dividends....................... 54 510 106 1,005
Redeemed.................................................. (426) (3,991) (1,234) (12,084)
------ -------- ------ --------
Net increase/(decrease)................................... (246) $ (2,297) (175) $ (1,518)
====== ======== ====== ========
INVESTOR C SHARES:
Sold...................................................... 7 $ 64 32 $ 305
Issued in exchange for K Shares of Pacific Horizon U.S.
Government Fund (Note 10)............................... -- -- 152 1,478
Issued as reinvestment of dividends....................... --* 3 2 20
Redeemed.................................................. (4) (42) (182) (1,744)
------ -------- ------ --------
Net increase/(decrease)................................... 3 $ 25 4 $ 59
====== ======== ====== ========
Total net increase/(decrease)............................. 3,684 $ 34,656 3,489 $ 35,118
====== ======== ====== ========
</TABLE>
---------------
* Amount represents less than 500 shares and/or $500, as applicable.
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE> 35
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
U.S. GOVERNMENT BOND
SIX MONTHS ENDED
SEPTEMBER 30, 2000 YEAR ENDED
(UNAUDITED) MARCH 31, 2000
------------------ ------------------
SHARES DOLLARS SHARES DOLLARS
------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 382 $ 3,645 990 $ 10,405
Issued as reinvestment of dividends....................... 6 52 16 154
Redeemed.................................................. (1,766) (16,876) (4,701) (46,244)
------ -------- ------ --------
Net increase/(decrease)................................... (1,378) $(13,179) (3,695) $(35,685)
====== ======== ====== ========
INVESTOR A SHARES:
Sold...................................................... 3,395 $ 32,432 198 $ 1,985
Issued as reinvestment of dividends....................... 6 55 9 86
Redeemed.................................................. (3,357) (32,072) (212) (2,071)
------ -------- ------ --------
Net increase/(decrease)................................... 44 $ 415 (5) $ --
====== ======== ====== ========
INVESTOR B SHARES:
Sold...................................................... 202 $ 1,925 527 $ 5,190
Issued as reinvestment of dividends....................... 16 153 29 276
Redeemed.................................................. (132) (1,261) (422) (4,112)
------ -------- ------ --------
Net increase/(decrease)................................... 86 $ 817 134 $ 1,354
====== ======== ====== ========
INVESTOR C SHARES:
Sold...................................................... 4 $ 40 28 $ 287
Issued as reinvestment of dividends....................... 1 15 3 28
Redeemed.................................................. (46) (447) (40) (391)
------ -------- ------ --------
Net increase/(decrease)................................... (41) $ (392) (9) $ (76)
====== ======== ====== ========
Total net increase/(decrease)............................. (1,289) $(12,339) (3,575) $(34,407)
====== ======== ====== ========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE> 36
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
INTERMEDIATE BOND
SIX MONTHS ENDED
SEPTEMBER 30, 2000 PERIOD ENDED PERIOD ENDED
(UNAUDITED) MARCH 31, 2000 MAY 14, 1999(a)
------------------ ------------------ -----------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold.............................................. 1,468 $ 13,448 3,748 $ 34,819 -- $ --
Issued as reinvestment of dividends............... 3 28 7 63 -- --
Redeemed.......................................... (391) (3,580) (1,743) (15,997) -- --
------ -------- ------ -------- ---- -------
Net increase/(decrease)........................... 1,080 $ 9,896 2,012 $ 18,885 -- $ --
====== ======== ====== ======== ==== =======
INVESTOR A SHARES:
Sold.............................................. 3,812 $ 34,775 1,171 $ 10,870 229 $ 2,187
Issued as reinvestment of dividends............... 72 658 47 434 14 135
Redeemed.......................................... (1,604) (14,685) (2,743) (25,727) (437) (4,195)
------ -------- ------ -------- ---- -------
Net increase/(decrease)........................... 2,280 $ 20,748 (1,525) $(14,423) (194) $(1,873)
====== ======== ====== ======== ==== =======
INVESTOR B SHARES:+
Sold.............................................. 26 $ 237 27 $ 259 -- $ --
Issued as reinvestment of dividends............... 1 8 1 5 -- --
Redeemed.......................................... (2) (20) --* (3) -- --
------ -------- ------ -------- ---- -------
Net increase/(decrease)........................... 25 $ 225 28 $ 261 -- $ --
====== ======== ====== ======== ==== =======
INVESTOR C SHARES:
Sold.............................................. 6 $ 60 3 $ 25 5 $ 44
Issued as reinvestment of dividends............... --* --* --* 4 -- 4
Redeemed.......................................... (2) (15) (50) (476) (8) (72)
------ -------- ------ -------- ---- -------
Net increase/(decrease)........................... 4 $ 45 (47) $ (447) (3) $ (24)
====== ======== ====== ======== ==== =======
SEAFIRST SHARES:**
Sold.............................................. --* $ 12 124 $ 1,303 61 $ 666
Issued as reinvestment of dividends............... 30 317 130 1,365 24 256
Redeemed.......................................... (2,592) (26,933) (710) (7,453) (175) (1,905)
------ -------- ------ -------- ---- -------
Net increase/(decrease)........................... (2,562) $(26,604) (456) $ (4,785) (90) $ (983)
====== ======== ====== ======== ==== =======
Total net increase/(decrease)..................... 827 $ 4,310 12 $ (509) (287) $(2,880)
====== ======== ====== ======== ==== =======
</TABLE>
---------------
* Amount represents less than 500 shares and/or $500, as applicable.
** Seafirst Shares converted into Investor A Shares on June 23, 2000.
+ Intermediate Bond Investor B Shares commenced operations on October 20,
1999.
(a) Represents financial information for the Pacific Horizon Intermediate Bond
Fund, which was reorganized into Intermediate Bond on May 21, 1999.
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE> 37
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
BOND
SIX MONTHS ENDED
SEPTEMBER 30, 2000 YEAR ENDED
(UNAUDITED) MARCH 31, 2000
-------------------- --------------------
SHARES DOLLARS SHARES DOLLARS
----------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 40,150 $ 375,723 67,780 $ 643,654
Issued in exchange for assets of:
Boatmen's Trust Company Intermediate Taxable Bond Fund
(Note 10)............................................. 12,412 116,422 -- --
Bank IV Kansas Intermediate Bond Fund (Note 10)......... 8,123 76,191 -- --
BCA High Grade Income Bond Fund (Note 10)............... 23,402 219,513 -- --
Issued as reinvestment of dividends....................... 330 3,091 730 7,023
Redeemed.................................................. (28,692) (268,358) (58,122) (552,784)
------- --------- ------- ---------
Net increase/(decrease)................................... 55,725 $ 522,582 10,388 $ 97,893
======= ========= ======= =========
INVESTOR A SHARES:
Sold...................................................... 862 $ 8,078 1,151 $ 10,936
Issued as reinvestment of dividends....................... 58 544 141 1,347
Redeemed.................................................. (816) (7,653) (2,027) (19,273)
------- --------- ------- ---------
Net increase/(decrease)................................... 104 $ 969 (735) $ (6,990)
======= ========= ======= =========
INVESTOR B SHARES:
Sold...................................................... 61 $ 573 271 $ 2,609
Issued as reinvestment of dividends....................... 14 135 31 294
Redeemed.................................................. (92) (860) (248) (2,350)
------- --------- ------- ---------
Net increase/(decrease)................................... (17) $ (152) 54 $ 553
======= ========= ======= =========
INVESTOR C SHARES:
Sold...................................................... 13 $ 115 34 $ 331
Issued as reinvestment of dividends....................... 2 22 5 43
Redeemed.................................................. (16) (152) (54) (513)
------- --------- ------- ---------
Net increase/(decrease)................................... (1) $ (15) (15) $ (139)
======= ========= ======= =========
Total net increase/(decrease)............................. 55,811 $ 523,384 9,692 $ 91,317
======= ========= ======= =========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE> 38
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
STRATEGIC INCOME
SIX MONTHS ENDED
SEPTEMBER 30, 2000 YEAR ENDED
(UNAUDITED) MARCH 31, 2000
------------------ --------------------
SHARES DOLLARS SHARES DOLLARS
--------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:
Sold...................................................... 9,000 $ 84,568 5,741 $ 56,944
Issued as reinvestment of dividends....................... 92 870 258 2,637
Redeemed.................................................. (3,772) (35,736) (24,391) (247,365)
------ -------- ------- ---------
Net increase/(decrease)................................... 5,320 $ 49,702 (18,392) $(187,784)
====== ======== ======= =========
INVESTOR A SHARES:
Sold...................................................... 97 $ 912 466 $ 4,560
Issued in exchange for A Shares of Pacific Horizon
Flexible Income Fund (Note 10).......................... -- -- 3,474 35,581
Issued as reinvestment of dividends....................... 52 493 109 1,073
Redeemed.................................................. (421) (3,964) (2,062) (20,503)
------ -------- ------- ---------
Net increase/(decrease)................................... (272) $ (2,559) 1,987 $ 20,711
====== ======== ======= =========
INVESTOR B SHARES:
Sold...................................................... 241 $ 2,261 1,441 $ 14,303
Issued as reinvestment of dividends....................... 115 1,084 237 2,332
Redeemed.................................................. (918) (8,641) (2,364) (23,108)
------ -------- ------- ---------
Net increase/(decrease)................................... (562) $ (5,296) (686) $ (6,473)
====== ======== ======= =========
INVESTOR C SHARES:
Sold...................................................... 21 $ 195 83 $ 823
Issued in exchange for K Shares of Pacific Horizon
Flexible Income Fund (Note 10).......................... -- -- 54 555
Issued as reinvestment of dividends....................... 4 34 7 72
Redeemed.................................................. (10) (90) (161) (1,585)
------ -------- ------- ---------
Net increase/(decrease)................................... 15 $ 139 (17) $ (135)
====== ======== ======= =========
Total net increase/(decrease)............................. 4,501 $ 41,986 (17,108) $(173,681)
====== ======== ======= =========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
34
<PAGE> 39
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
HIGH YIELD BOND
SIX MONTHS ENDED
SEPTEMBER 30, 2000 PERIOD ENDED
(UNAUDITED) MARCH 31, 2000
------------------- -----------------
SHARES DOLLARS SHARES DOLLARS
------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:+
Sold...................................................... 1,111 $10,988 1,131 $11,306
Issued as reinvestment of dividends....................... 22 217 8 79
Redeemed.................................................. (844) (8,351) (201) (2,000)
----- ------- ----- -------
Net increase/(decrease)................................... 289 $ 2,854 938 $ 9,385
===== ======= ===== =======
INVESTOR A SHARES:+
Sold...................................................... 93 $ 918 41 $ 403
Issued as reinvestment of dividends....................... 2 19 --* 1
Redeemed.................................................. (1) (11) (3) (29)
----- ------- ----- -------
Net increase/(decrease)................................... 94 $ 926 38 $ 375
===== ======= ===== =======
INVESTOR B SHARES:+
Sold...................................................... 880 $ 8,653 355 $ 3,543
Issued as reinvestment of dividends....................... 22 214 1 12
Redeemed.................................................. (72) (708) (9) (92)
----- ------- ----- -------
Net increase/(decrease)................................... 830 $ 8,159 347 $ 3,463
===== ======= ===== =======
INVESTOR C SHARES:++
Sold...................................................... 48 $ 473 6 $ 61
Issued as reinvestment of dividends....................... 1 6 -- --
Redeemed.................................................. (3) (28) -- --
----- ------- ----- -------
Net increase/(decrease)................................... 46 $ 451 6 $ 61
===== ======= ===== =======
Total net increase/(decrease)............................. 1,259 $12,390 1,329 $13,284
===== ======= ===== =======
</TABLE>
---------------
* Amount represents less than 500 shares and/or $500, as applicable.
+ High Yield Bond Investor A, Investor B and Primary A Shares commenced
operations on February 14, 2000.
++ High Yield Bond Investor C Shares commenced operations on March 7, 2000.
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE> 40
NATIONS FUNDS
FINANCIAL HIGHLIGHTS
For a share outstanding throughout each period.
<TABLE>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT
OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SHORT-TERM INCOME
PRIMARY A SHARES
Six months ended 9/30/2000 (unaudited).......... $9.51 $0.29 $ 0.06 $0.35 $(0.29)
Year ended 3/31/2000............................ 9.79 0.56 (0.28) 0.28 (0.56)
Year ended 3/31/1999............................ 9.77 0.56 0.02 0.58 (0.56)
Year ended 3/31/1998............................ 9.68 0.56 0.09 0.65 (0.56)
Year ended 3/31/1997#........................... 9.76 0.58 (0.08) 0.50 (0.58)
Period ended 3/31/1996*#........................ 9.84 0.20 (0.08) 0.12 (0.20)
Year ended 11/30/1995#.......................... 9.48 0.61 0.36 0.97 (0.61)
INVESTOR A SHARES
Six months ended 9/30/2000 (unaudited).......... $9.51 $0.28 $ 0.06 $0.34 $(0.28)
Year ended 3/31/2000............................ 9.79 0.54 (0.28) 0.26 (0.54)
Year ended 3/31/1999............................ 9.77 0.54 0.02 0.56 (0.54)
Year ended 3/31/1998............................ 9.68 0.54 0.09 0.63 (0.54)
Year ended 3/31/1997#........................... 9.76 0.56 (0.08) 0.48 (0.56)
Period ended 3/31/1996*#........................ 9.84 0.19 (0.08) 0.11 (0.19)
Year ended 11/30/1995#.......................... 9.48 0.59 0.36 0.95 (0.59)
INVESTOR B SHARES
Six months ended 9/30/2000 (unaudited).......... $9.51 $0.24 $ 0.06 $0.30 $(0.24)
Year ended 3/31/2000............................ 9.79 0.51 (0.28) 0.23 (0.51)
Year ended 3/31/1999............................ 9.77 0.52 0.02 0.54 (0.52)
Year ended 3/31/1998............................ 9.68 0.53 0.09 0.62 (0.53)
Year ended 3/31/1997#........................... 9.76 0.55 (0.08) 0.47 (0.55)
Period ended 3/31/1996*#........................ 9.84 0.19 (0.08) 0.11 (0.19)
Year ended 11/30/1995#.......................... 9.48 0.57 0.36 0.93 (0.57)
INVESTOR C SHARES
Six months ended 9/30/2000 (unaudited).......... $9.51 $0.24 $ 0.06 $0.30 $(0.24)
Year ended 3/31/2000............................ 9.79 0.47 (0.28) 0.19 (0.47)
Year ended 3/31/1999............................ 9.77 0.52 0.02 0.54 (0.52)
Year ended 3/31/1998............................ 9.68 0.53 0.09 0.62 (0.53)
Year ended 3/31/1997#........................... 9.76 0.55 (0.08) 0.47 (0.55)
Period ended 3/31/1996*#........................ 9.84 0.19 (0.08) 0.11 (0.19)
Year ended 11/30/1995#.......................... 9.48 0.57 0.36 0.93 (0.57)
</TABLE>
---------------
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
* Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
# Per share net investment income has been calculated using the monthly
average shares method.
(a) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
36
<PAGE> 41
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
NET ASSETS OPERATING NET INVESTMENT OPERATING
NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO
VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE
END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$9.57 3.74% $364,048 0.51%+(a) 6.08%+ 19% 0.61%+(a)
9.51 3.00 398,620 0.50(a) 5.86 62 0.63(a)
9.79 6.07 397,467 0.50(a) 5.70 64 0.80(a)
9.77 6.89 331,961 0.56(a)(b) 5.75 66 0.86(a)
9.68 5.25 181,455 0.55(b) 5.97 172 0.85
9.76 1.19 179,957 0.55+ 6.07+ 73 0.88+
9.84 10.48 169,291 0.56 6.32 224 0.86
$9.57 3.61% $ 7,734 0.76%+(a) 5.83%+ 19% 0.86%+(a)
9.51 2.76 11,831 0.73(a) 5.63 62 0.88(a)
9.79 5.85 14,652 0.70(a) 5.50 64 1.05(a)
9.77 6.67 13,688 0.76(a)(b) 5.55 66 1.06(a)
9.68 5.04 6,169 0.75(b) 5.77 172 1.05
9.76 1.13 2,810 0.75+ 5.87+ 73 1.08+
9.84 10.29 2,969 0.76 6.12 224 1.06
$9.57 3.22% $ 2,723 1.51%+(a) 5.08%+ 19% 1.61%+(a)
9.51 2.40 2,914 1.05(a) 5.31 62 1.63(a)
9.79 5.70 5,825 0.85(a) 5.35 64 1.80(a)
9.77 6.51 4,602 0.91(a)(b) 5.40 66 1.21(a)
9.68 4.89 5,536 0.90(b) 5.62 172 1.20
9.76 1.08 7,339 0.90+ 5.72+ 73 1.23+
9.84 10.10 8,873 0.91 5.97 224 1.21
$9.57 3.23% $ 650 1.51%+(a) 5.08%+ 19% 1.61%+(a)
9.51 1.97 987 1.50(a) 4.86 62 1.63(a)
9.79 5.64 1,744 1.01(a) 5.19 64 1.80(a)
9.77 6.51 2,992 0.91(a)(b) 5.40 66 1.21(a)
9.68 4.89 4,063 0.90(b) 5.62 172 1.20
9.76 1.07 6,121 0.90+ 5.72+ 73 1.23+
9.84 10.08 6,056 0.91 5.97 224 1.21
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE> 42
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT
OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
SHORT-INTERMEDIATE GOVERNMENT
PRIMARY A SHARES
Six months ended 9/30/2000# (unaudited)......... $3.94 $0.12 $ 0.06 $0.18 $(0.12)
Year ended 3/31/2000............................ 4.10 0.22 (0.16) 0.06 (0.22)
Year ended 3/31/1999............................ 4.12 0.22 (0.02) 0.20 (0.22)
Year ended 3/31/1998............................ 3.99 0.23 0.13 0.36 (0.23)
Year ended 3/31/1997#........................... 4.07 0.23 (0.08) 0.15 (0.23)
Period ended 3/31/1996*#........................ 4.14 0.07 (0.07) 0.00 (0.07)###
Year ended 11/30/1995#.......................... 3.93 0.24 0.21 0.45 (0.24)###
PRIMARY B SHARES
Six months ended 9/30/2000# (unaudited)......... $3.94 $0.10 $ 0.07 $0.17 $(0.11)
Year ended 3/31/2000............................ 4.10 0.21 (0.16) 0.05 (0.21)
Year ended 3/31/1999#........................... 4.12 0.21 (0.02) 0.19 (0.21)
Year ended 3/31/1998............................ 3.99 0.21 0.13 0.34 (0.21)
Six months ended 3/31/1997**#................... 4.02 0.16 (0.03) 0.13 (0.16)
INVESTOR A SHARES
Six months ended 9/30/2000# (unaudited)......... $3.94 $0.11 $ 0.06 $0.17 $(0.11)
Year ended 3/31/2000............................ 4.10 0.22 (0.16) 0.06 (0.22)
Year ended 3/31/1999............................ 4.12 0.21 (0.02) 0.19 (0.21)
Year ended 3/31/1998............................ 3.99 0.22 0.13 0.35 (0.22)
Year ended 3/31/1997#........................... 4.07 0.22 (0.08) 0.14 (0.22)
Period ended 3/31/1996*#........................ 4.14 0.07 (0.07) 0.00 (0.07)###
Year ended 11/30/1995#.......................... 3.93 0.23 0.21 0.44 (0.23)###
INVESTOR B SHARES
Six months ended 9/30/2000# (unaudited)......... $3.94 $0.10 $ 0.06 $0.16 $(0.10)
Year ended 3/31/2000............................ 4.10 0.19 (0.16) 0.03 (0.19)
Year ended 3/31/1999............................ 4.12 0.19 (0.02) 0.17 (0.19)
Year ended 3/31/1998............................ 3.99 0.20 0.13 0.33 (0.20)
Year ended 3/31/1997#........................... 4.07 0.20 (0.08) 0.12 (0.20)
Period ended 3/31/1996*#........................ 4.14 0.07 (0.07) 0.00 (0.07)###
Year ended 11/30/1995#.......................... 3.93 0.21 0.21 0.42 (0.21)###
INVESTOR C SHARES
Six months ended 9/30/2000# (unaudited)......... $3.93 $0.10 $ 0.07 $0.17 $(0.10)
Year ended 3/31/2000............................ 4.09 0.19 (0.16) 0.03 (0.19)
Year ended 3/31/1999............................ 4.12 0.19 (0.03) 0.16 (0.19)
Year ended 3/31/1998............................ 3.99 0.20 0.13 0.33 (0.20)
Year ended 3/31/1997#........................... 4.07 0.21 (0.08) 0.13 (0.21)
Period ended 3/31/1996*#........................ 4.14 0.07 (0.07) 0.00 (0.07)###
Year ended 11/30/1995#.......................... 3.93 0.22 0.21 0.43 (0.22)###
</TABLE>
---------------
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
* Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
** Short-Intermediate Government Primary B Shares commenced operations on June
28, 1996.
# Per share net investment income has been calculated using the monthly
average shares method.
## Amount represents less than 0.01%.
### Includes distribution in excess of less than $0.01 per share.
(a) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
38
<PAGE> 43
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
NET ASSETS OPERATING NET INVESTMENT OPERATING
NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO
VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE
END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$4.00 4.52% $515,804 0.59%+(a) 5.81%+ 29% 0.59%+(a)
3.94 1.63 497,392 0.60(a) 5.59 177 0.65(a)
4.10 4.97 589,092 0.58(a) 5.36 242 0.78(a)
4.12 9.11 663,833 0.61 5.53 538 0.81
3.99 3.72 371,118 0.63(a)(b) 5.73 529 0.83(a)
4.07 0.07 399,915 0.63+ 5.32+ 189 0.86+
4.14 11.70 425,200 0.60 5.88 328 0.80
$4.00 4.26% $ 132 1.09%+(a) 5.31%+ 29% 1.19%+(a)
3.94 1.23 200 0.99(a) 5.20 177 1.25(a)
4.10 4.61 273 0.93(a) 5.01 242 1.38(a)
4.12 8.74 261 0.96 5.18 538 1.16
3.99 3.31 16,980 0.98+(a)(b) 5.38+ 529 1.18+(a)
$4.00 4.41% $ 41,100 0.81%+(a) 5.56%+ 29% 0.84%+(a)
3.94 1.43 45,341 0.80(a) 5.39 177 0.90(a)
4.10 4.76 44,793 0.78(a) 5.16 242 1.03(a)
4.12 8.89 49,478 0.81 5.33 538 1.01
3.99 3.51 42,468 0.83(a)(b) 5.53 529 1.03(a)
4.07 0.00## 57,381 0.83+ 5.12+ 189 1.06+
4.14 11.48 64,848 0.80 5.68 328 1.00
$4.00 4.00% $ 6,993 1.59%+(a) 4.81%+ 29% 1.59%+(a)
3.94 0.70 8,400 1.51(a) 4.68 177 1.65(a)
4.10 4.14 9,591 1.38(a) 4.56 242 1.78(a)
4.12 8.35 9,815 1.34 4.80 538 1.54
3.99 3.10 10,788 1.23(a)(b) 5.13 529 1.43(a)
4.07 (0.13) 13,789 1.23+ 4.72+ 189 1.46+
4.14 11.02 14,893 1.20 5.28 328 1.40
$4.00 4.28% $ 412 1.59%+(a) 4.81%+ 29% 1.59%+(a)
3.93 0.74 661 1.54(a) 4.65 177 1.65(a)
4.09 4.05 1,190 1.34(a) 4.60 242 1.78(a)
4.12 8.45 1,808 1.31 4.83 538 1.51
3.99 3.21 8,334 1.13(a)(b) 5.23 529 1.33(a)
4.07 (0.10) 11,820 1.13+ 4.82+ 189 1.36+
4.14 11.15 13,206 1.10 5.38 328 1.30
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE> 44
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
DISTRIBUTIONS
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS IN EXCESS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET OF NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT INVESTMENT
OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME INCOME
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
GOVERNMENT SECURITIES
PRIMARY A SHARES
Six months ended 9/30/2000#
(unaudited)............... $9.38 $0.30 $ 0.10 $ 0.40 $(0.30) --
Year ended 3/31/2000........ 9.86 0.58 (0.48) 0.10 (0.58) --
Year ended 3/31/1999#....... 9.90 0.58 (0.05) 0.53 (0.57) --
Year ended 3/31/1998........ 9.39 0.55 0.51 1.06 (0.55) --
Year ended 3/31/1997#....... 9.67 0.60 (0.30) 0.30 (0.58) --
Period ended 3/31/1996*#.... 9.86 0.52 (0.19) 0.33 (0.50) $(0.02)
Year ended 5/31/1995#....... 9.80 0.64 0.06 0.70 (0.60) --
INVESTOR A SHARES
Six months ended 9/30/2000#
(unaudited)............... $9.37 $0.29 $ 0.10 $ 0.39 $(0.29) --
Year ended 3/31/2000........ 9.86 0.57 (0.50) 0.07 (0.56) --
Year ended 3/31/1999#....... 9.90 0.56 (0.05) 0.51 (0.55) --
Year ended 3/31/1998........ 9.39 0.52 0.51 1.03 (0.52) --
Year ended 3/31/1997#....... 9.67 0.58 (0.30) 0.28 (0.56) --
Period ended 3/31/1996*#.... 9.86 0.50 (0.19) 0.31 (0.48) $(0.02)
Year ended 5/31/1995#....... 9.80 0.61 0.06 0.67 (0.57) --
INVESTOR B SHARES
Six months ended 9/30/2000#
(unaudited)............... $9.38 $0.26 $ 0.10 $ 0.36 $(0.26) --
Year ended 3/31/2000........ 9.86 0.49 (0.48) 0.01 (0.49) --
Year ended 3/31/1999#....... 9.90 0.49 (0.04) 0.45 (0.49) --
Year ended 3/31/1998........ 9.39 0.47 0.51 0.98 (0.47) --
Year ended 3/31/1997#....... 9.67 0.54 (0.30) 0.24 (0.52) --
Period ended 3/31/1996*#.... 9.86 0.47 (0.19) 0.28 (0.45) $(0.02)
Year ended 5/31/1995#....... 9.80 0.58 0.06 0.64 (0.54) --
INVESTOR C SHARES
Six months ended 9/30/2000#
(unaudited)............... $9.34 $0.26 $ 0.10 $ 0.36 $(0.26) --
Year ended 3/31/2000........ 9.86 0.49 (0.52) (0.03) (0.49) --
Year ended 3/31/1999#....... 9.90 0.49 (0.04) 0.45 (0.49) --
Year ended 3/31/1998........ 9.39 0.48 0.51 0.99 (0.48) --
Year ended 3/31/1997#....... 9.67 0.55 (0.30) 0.25 (0.53) --
Period ended 3/31/1996*#.... 9.86 0.47 (0.19) 0.28 (0.45) $(0.02)
Year ended 5/31/1995#....... 9.80 0.57 0.06 0.63 (0.53) --
<CAPTION>
DISTRIBUTIONS
FROM
CAPITAL
-------------
<S> <C>
GOVERNMENT SECURITIES
PRIMARY A SHARES
Six months ended 9/30/2000#
(unaudited)............... --
Year ended 3/31/2000........ --
Year ended 3/31/1999#....... --
Year ended 3/31/1998........ --
Year ended 3/31/1997#....... $(0.00)##
Period ended 3/31/1996*#.... --
Year ended 5/31/1995#....... (0.04)
INVESTOR A SHARES
Six months ended 9/30/2000#
(unaudited)............... --
Year ended 3/31/2000........ --
Year ended 3/31/1999#....... --
Year ended 3/31/1998........ --
Year ended 3/31/1997#....... $(0.00)##
Period ended 3/31/1996*#.... --
Year ended 5/31/1995#....... (0.04)
INVESTOR B SHARES
Six months ended 9/30/2000#
(unaudited)............... --
Year ended 3/31/2000........ --
Year ended 3/31/1999#....... --
Year ended 3/31/1998........ --
Year ended 3/31/1997#....... $(0.00)##
Period ended 3/31/1996*#.... --
Year ended 5/31/1995#....... (0.04)
INVESTOR C SHARES
Six months ended 9/30/2000#
(unaudited)............... --
Year ended 3/31/2000........ --
Year ended 3/31/1999#....... --
Year ended 3/31/1998........ --
Year ended 3/31/1997#....... $(0.00)##
Period ended 3/31/1996*#.... --
Year ended 5/31/1995#....... (0.04)
</TABLE>
---------------
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
* Fiscal year end changed to March 31. Prior to this, the fiscal year end was
May 31.
# Per share net investment income has been calculated using the monthly
average shares method.
## Amount represents less than $0.01.
(a) The effect of the custodial expense offset (Note 2) on the operating expense
ratio, with and without waivers and/or expense reimbursements, was less than
0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
40
<PAGE> 45
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.30) $9.48 4.39% $151,990 0.76%+(a) 6.45%+ 64% 0.86%+(a)
(0.58) 9.38 1.12 108,798 0.78(b) 6.17 348 0.90
(0.57) 9.86 5.41 119,659 0.73(a) 5.70 600 0.84(a)
(0.55) 9.90 11.65 75,796 0.85(a)(b) 5.63 303 0.99(a)
(0.58) 9.39 3.18 52,606 0.80 6.28 468 0.94
(0.52) 9.67 3.41 55,962 0.80+ 6.36+ 199 0.95+
(0.64) 9.86 7.55 39,909 0.76 6.69 413 0.94
$(0.29) $9.47 4.26% $ 53,238 1.01%+(a) 6.20%+ 64% 1.11%+(a)
(0.56) 9.37 0.80 57,485 1.03(b) 5.92 348 1.15
(0.55) 9.86 5.16 19,167 0.98(a) 5.45 600 1.09(a)
(0.52) 9.90 11.37 8,509 1.10(a)(b) 5.38 303 1.24(a)
(0.56) 9.39 2.92 9,852 1.05 6.03 468 1.19
(0.50) 9.67 3.20 11,662 1.05+ 6.11+ 199 1.20+
(0.61) 9.86 7.29 10,928 1.01 6.44 413 1.19
$(0.26) $9.48 3.87% $ 24,940 1.76%+(a) 5.45%+ 64% 1.86%+(a)
(0.49) 9.38 0.22 26,988 1.72(b) 5.23 348 1.90
(0.49) 9.86 4.53 30,109 1.58(a) 4.85 600 1.84(a)
(0.47) 9.90 10.78 32,391 1.63(a)(b) 4.85 303 1.77(a)
(0.52) 9.39 2.51 38,807 1.45 5.63 468 1.59
(0.47) 9.67 2.85 50,958 1.45+ 5.71+ 199 1.60+
(0.58) 9.86 6.86 56,155 1.41 6.04 413 1.59
$(0.26) $9.44 3.89% $ 268 1.76%+(a) 5.45%+ 64% 1.86%+(a)
(0.49) 9.34 (0.22) 238 1.78(b) 5.17 348 1.90
(0.49) 9.86 4.52 213 1.59(a) 4.84 600 1.84(a)
(0.48) 9.90 10.84 735 1.58(a)(b) 4.90 303 1.72(a)
(0.53) 9.39 2.67 1,835 1.30 5.78 468 1.44
(0.47) 9.67 2.83 2,558 1.48+ 5.68+ 199 1.63+
(0.57) 9.86 6.76 2,945 1.51 5.94 413 1.69
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE> 46
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
U.S. GOVERNMENT BOND****
PRIMARY A SHARES*
Six months ended 9/30/2000
(unaudited)........................ $ 9.51 $0.26 $ 0.17 $ 0.43 $(0.26) --
Year ended 3/31/2000................. 10.08 0.50 (0.56) (0.06) (0.50) $(0.01)
Year ended 3/31/1999#................ 10.37 0.52 0.07 0.59 (0.52) (0.36)
Period ended 3/31/1998............... 10.19 0.48 0.31 0.79 (0.48) (0.13)
Period ended 5/16/1997............... 10.53 0.41 0.17 0.58 (0.41) (0.51)
Year ended 8/31/1996................. 11.20 0.61 (0.22) 0.39 (0.61) (0.45)
Six months ended 8/31/1995**......... 10.00 0.56 1.20 1.76 (0.56) --
INVESTOR A SHARES*
Six months ended 9/30/2000
(unaudited)........................ $ 9.51 $0.25 $ 0.19 $ 0.44 $(0.25) --
Year ended 3/31/2000................. 10.08 0.47 (0.56) (0.09) (0.47) $(0.01)
Year ended 3/31/1999#................ 10.37 0.50 0.07 0.57 (0.50) (0.36)
Period ended 3/31/1998............... 10.20 0.46 0.30 0.76 (0.46) (0.13)
Period ended 5/16/1997............... 10.54 0.39 0.17 0.56 (0.39) (0.51)
Year ended 8/31/1996................. 11.19 0.59 (0.20) 0.39 (0.59) (0.45)
Year ended 8/31/1995**............... 10.48 0.37 0.71 1.08 (0.37) --
INVESTOR B SHARES*
Six months ended 9/30/2000
(unaudited)........................ $ 9.51 $0.21 $ 0.17 $ 0.38 $(0.21) --
Year ended 3/31/2000................. 10.08 0.41 (0.56) (0.15) (0.41) $(0.01)
Year ended 3/31/1999#................ 10.37 0.44 0.07 0.51 (0.44) (0.36)
Period ended 3/31/1998............... 10.19 0.41 0.31 0.72 (0.41) (0.13)
Period ended 5/16/1997............... 10.52 0.34 0.18 0.52 (0.34) (0.51)
Year ended 8/31/1996................. 11.19 0.51 (0.22) 0.29 (0.51) (0.45)
Six months ended 8/31/1995**......... 10.05 0.46 1.14 1.60 (0.46) --
INVESTOR C SHARES
Six months ended 9/30/2000
(unaudited)........................ $ 9.51 $0.21 $ 0.17 $ 0.38 $(0.21) --
Year ended 3/31/2000................. 10.08 0.39 (0.56) (0.17) (0.39) $(0.01)
Year ended 3/31/1999#................ 10.37 0.44 0.07 0.51 (0.44) (0.36)
Period ended 3/31/1998***............ 10.41 0.25 0.09 0.34 (0.25) (0.13)
</TABLE>
---------------
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
* The financial information for the fiscal periods prior to May 23, 1997
reflects the financial information for the Pilot U.S. Government Securities
Fund Pilot, Class A and Class B Shares, which were reorganized into the
U.S. Government Bond Primary A, Investor A and Investor B Shares,
respectively, as of May 23, 1997.
** The Pilot U.S. Government Securities Fund Pilot, Class A and Class B Shares
commenced operations on November 7, 1994, February 7, 1995 and November 10,
1994, respectively.
*** U.S. Government Bond Investor C Shares commenced operations on September
19, 1997.
**** Prior to February 14, 2000, the investment sub-adviser to U.S. Government
Bond was Boatmen's Capital Management, Inc. Effective February 14, 2000,
the investment sub-adviser to U.S. Government Bond became Banc of America
Capital Management, Inc.
# Per share net investment income has been calculated using the monthly
average shares method.
(a) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE> 47
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.26) $ 9.68 4.60% $ 55,631 0.90%+(a) 5.45%+ 93% 1.00%+(a)
(0.51) 9.51 (0.55) 67,776 0.88(a)(b) 5.12 296 1.02(a)
(0.88) 10.08 5.83 109,028 0.59(a)(b) 5.06 270 0.87(a)
(0.61) 10.37 7.84 263,428 0.60+(a) 5.26+ 188 0.86+(a)
(0.92) 10.19 5.62 148,082 0.62+ 5.60+ 58 0.77+
(1.06) 10.53 3.46 145,066 0.65 5.61 87 0.82
(0.56) 11.20 18.03 137,261 0.62+ 6.45+ 132 0.87+
$(0.25) $ 9.70 4.68% $ 2,607 1.15%+(a) 5.20%+ 93% 1.25%+(a)
(0.48) 9.51 (0.80) 2,139 1.13(a)(b) 4.89 296 1.27(a)
(0.86) 10.08 5.57 2,311 0.84(a)(b) 4.81 270 1.12(a)
(0.59) 10.37 7.51 1,927 0.85+(a) 5.01+ 188 1.11+(a)
(0.90) 10.20 5.44 734 0.87+ 5.35+ 58 1.07+
(1.04) 10.54 3.44 632 0.85 5.44 87 1.07
(0.37) 11.19 10.41 87 0.82+ 5.76+ 132 1.12+
$(0.21) $ 9.68 4.08% $ 8,646 1.90%+(a) 4.45%+ 93% 2.00%+(a)
(0.42) 9.51 (1.48) 7,673 1.82(a)(b) 4.18 296 2.02(a)
(0.80) 10.08 4.93 6,779 1.44(a)(b) 4.21 270 1.87(a)
(0.54) 10.37 7.14 1,004 1.40+(a) 4.46+ 188 1.66+(a)
(0.85) 10.19 4.99 1,529 1.62+ 4.60+ 58 1.77+
(0.96) 10.52 2.43 1,237 1.65 4.60 87 1.82
(0.46) 11.19 16.19 146 1.62+ 5.19+ 132 1.87+
$(0.21) $ 9.68 4.08% $ 721 1.90%+(a) 4.45%+ 93% 2.00%+(a)
(0.40) 9.51 (1.67) 1,103 1.88(a)(b) 4.12 296 2.02(a)
(0.80) 10.08 5.13 1,255 1.34(a)(b) 4.31 270 1.87(a)
(0.38) 10.37 3.50 1,332 1.45+(a) 4.41+ 188 1.71+(a)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43
<PAGE> 48
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INTERMEDIATE BOND
PRIMARY A SHARES
Six months ended 9/30/2000#
(unaudited)........................ $9.13 $0.29 $ 0.10 $ 0.39 $(0.29) --
Period ended 3/31/2000***............ 9.52 0.49 (0.37) 0.12 (0.51) --
INVESTOR A SHARES*,****
Six months ended 9/30/2000#
(unaudited)........................ $9.15 $0.28 $ 0.10 $ 0.38 $(0.28) --
Period ended 3/31/2000............... 9.50 0.46 (0.34) 0.12 (0.47) --
Period ended 5/14/1999............... 9.52 0.10 (0.04) 0.06 (0.08) --
Year ended 2/28/1999................. 9.69 0.50 (0.03) 0.47 (0.53) $(0.11)
Year ended 2/28/1998................. 9.54 0.49 0.20 0.69 (0.51) (0.03)
Year ended 2/28/1997**............... 9.75 0.52 (0.15) 0.37 (0.52) (0.06)
Year ended 2/29/1996................. 9.44 0.59 0.33 0.92 (0.59) (0.02)
INVESTOR B SHARES
Six months ended 9/30/2000#
(unaudited)........................ $9.13 $0.24 $ 0.11 $ 0.35 $(0.26) --
Period ended 3/31/2000***............ 9.52 0.22 (0.36) (0.14) (0.25) --
INVESTOR C SHARES*
Six months ended 9/30/2000#
(unaudited)........................ $9.32 $0.23 $ 0.75 $ 0.98 $(0.17) --
Period ended 3/31/2000............... 9.56 0.34 (0.23) 0.11 (0.35) --
Period ended 5/14/1999............... 9.59 0.09 (0.04) 0.05 (0.08) --
Year ended 2/28/1999................. 9.72 0.46 -- 0.46 (0.48) $(0.11)
Year ended 2/28/1998................. 9.54 0.44 0.19 0.63 (0.42) (0.03)
Period ended 2/28/1997***............ 9.53 0.31 0.07 0.38 (0.31) (0.06)
</TABLE>
---------------
+ Annualized.
++ Total return represents aggregate Total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
* The financial information for the fiscal periods through May 14, 1999
reflect the financial information for the Pacific Horizon Intermediate Bond
Fund A, and K Shares, which were reorganized into the Intermediate Bond
Investor A and Investor C Shares, respectively, as of May 21, 1999. Prior
to May 21, 1999, the Fund's investment adviser was Bank of America National
Trust and Savings Association. Effective May 21, 1999, its investment
adviser became Banc of America Advisors, Inc. and its investment
sub-adviser became Bank of America Capital Management, Inc.
** As of July 22, 1996 the Fund designated the existing series of shares as
"A" shares.
*** Intermediate Bond Primary A, Investor B, and Investor C Shares commenced
operations on May 21, 1999, October 20, 1999, and November 20, 1996,
respectively.
**** Seafirst Shares converted into Investor A Shares on June 23, 2000.
# Per share net investment income has been calculated using the monthly
average share method.
(a) The effect of the custodial expense offset (Note 2) on the operating
expense ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
44
<PAGE> 49
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$(0.29) $ 9.23 4.38% $28,541 0.80%+(a) 6.40%+ 0.92%+(a)
(0.51) 9.13 1.29 18,365 0.81+ 6.08+ 1.05+
$(0.28) $ 9.25 4.27% $66,803 1.05%+(a) 6.15%+ 1.17%+(a)
(0.47) 9.15 1.34 45,207 1.06+ 5.83+ 1.30+
(0.08) 9.50 0.66 61,412 1.09+ 4.90+ 1.12+
(0.64) 9.52 4.89 63,404 0.90 5.14 0.90
(0.54) 9.69 7.40 41,875 0.90 5.50 1.21
(0.58) 9.54 3.92 22,937 0.75 5.45 2.26
(0.61) 9.75 10.45 13,179 0.27 6.13 5.00
$(0.26) $ 9.22 3.85% $ 485 1.80%+(a) 5.40%+ 1.92%+(a)
(0.25) 9.13 1.33 256 1.81+ 5.08+ 2.05+
$(0.17) $10.13 10.57% $ 61 1.80%+(a) 5.40%+ 1.92%+(a)
(0.35) 9.32 1.18 15 1.81+ 5.08+ 2.05+
(0.08) 9.56 0.47 469 1.57+ 4.42+ 1.84+
(0.59) 9.59 4.76 495 1.39 4.67 1.65
(0.45) 9.72 6.80 513 1.39 4.99 1.73
(0.37) 9.54 3.73 332 1.43+ 5.41+ 2.71+
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45
<PAGE> 50
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
BOND
PRIMARY A SHARES
Six months ended 9/30/2000
(unaudited)............... $ 9.37 $0.31 $ 0.12 $ 0.43 $(0.31) --
Year ended 3/31/2000........ 9.93 0.59 (0.52) 0.07 (0.59) $(0.04)
Year ended 3/31/1999........ 10.03 0.59 (0.04) 0.55 (0.59) (0.06)
Year ended 3/31/1998........ 9.62 0.58 0.41 0.99 (0.58) --
Year ended 3/31/1997#....... 9.93 0.58 (0.20) 0.38 (0.58) (0.11)
Period ended 3/31/1996*..... 10.22 0.19 (0.29) (0.10) (0.19) --
Year ended 11/30/1995....... 9.32 0.59 0.90 1.49 (0.59) --
INVESTOR A SHARES
Six months ended 9/30/2000
(unaudited)............... $ 9.37 $0.30 $ 0.11 $ 0.41 $(0.30) --
Year ended 3/31/2000........ 9.93 0.57 (0.52) 0.05 (0.57) $(0.04)
Year ended 3/31/1999........ 10.03 0.57 (0.04) 0.53 (0.57) (0.06)
Year ended 3/31/1998........ 9.62 0.56 0.41 0.97 (0.56) --
Year ended 3/31/1997#....... 9.93 0.56 (0.20) 0.36 (0.56) (0.11)
Period ended 3/31/1996*..... 10.22 0.18 (0.29) (0.11) (0.18) --
Year ended 11/30/1995....... 9.32 0.57 0.90 1.47 (0.57) --
INVESTOR B SHARES
Six months ended 9/30/2000
(unaudited)............... $ 9.37 $0.26 $ 0.12 $ 0.38 $(0.26) --
Year ended 3/31/2000........ 9.93 0.50 (0.52) (0.02) (0.50) $(0.04)
Year ended 3/31/1999........ 10.03 0.51 (0.04) 0.47 (0.51) (0.06)
Year ended 3/31/1998........ 9.62 0.51 0.41 0.92 (0.51) --
Year ended 3/31/1997#....... 9.93 0.52 (0.20) 0.32 (0.52) (0.11)
Period ended 3/31/1996*..... 10.22 0.16 (0.29) (0.13) (0.16) --
Year ended 11/30/1995....... 9.32 0.53 0.90 1.43 (0.53) --
INVESTOR C SHARES
Six months ended 9/30/2000
(unaudited)............... $ 9.37 $0.26 $ 0.12 $ 0.38 $(0.26) --
Year ended 3/31/2000........ 9.93 0.48 (0.52) (0.04) (0.48) $(0.04)
Year ended 3/31/1999........ 10.03 0.51 (0.04) 0.47 (0.51) (0.06)
Year ended 3/31/1998........ 9.62 0.52 0.41 0.93 (0.52) --
Year ended 3/31/1997#....... 9.93 0.53 (0.20) 0.33 (0.53) (0.11)
Period ended 3/31/1996*..... 10.22 0.17 (0.29) (0.12) (0.17) --
Year ended 11/30/1995....... 9.32 0.54 0.90 1.44 (0.54) --
<CAPTION>
DISTRIBUTIONS
FROM
CAPITAL
-------------
<S> <C>
BOND
PRIMARY A SHARES
Six months ended 9/30/2000
(unaudited)............... --
Year ended 3/31/2000........ --
Year ended 3/31/1999........ --
Year ended 3/31/1998........ --
Year ended 3/31/1997#....... $(0.00)##
Period ended 3/31/1996*..... --
Year ended 11/30/1995....... --
INVESTOR A SHARES
Six months ended 9/30/2000
(unaudited)............... --
Year ended 3/31/2000........ --
Year ended 3/31/1999........ --
Year ended 3/31/1998........ --
Year ended 3/31/1997#....... $(0.00)##
Period ended 3/31/1996*..... --
Year ended 11/30/1995....... --
INVESTOR B SHARES
Six months ended 9/30/2000
(unaudited)............... --
Year ended 3/31/2000........ --
Year ended 3/31/1999........ --
Year ended 3/31/1998........ --
Year ended 3/31/1997#....... $(0.00)##
Period ended 3/31/1996*..... --
Year ended 11/30/1995....... --
INVESTOR C SHARES
Six months ended 9/30/2000
(unaudited)............... --
Year ended 3/31/2000........ --
Year ended 3/31/1999........ --
Year ended 3/31/1998........ --
Year ended 3/31/1997#....... $(0.00)##
Period ended 3/31/1996*..... --
Year ended 11/30/1995....... --
</TABLE>
---------------
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
* Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
# Per share net investment income has been calculated using the monthly
average shares method.
## Amount represents less than $0.01.
(a) The effect of the custodial expense offset (Note 2) on the operating expense
ratio, with and without waivers and/or expense reimbursements, was less than
0.01%.
(b) The effect of interest expense on the operating expense ratio was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
46
<PAGE> 51
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.31) $ 9.49 4.65% $2,345,447 0.67%+(a) 6.55%+ 35% 0.67%+(a)
(0.63) 9.37 0.97 1,793,913 0.67 6.20 63 0.69
(0.65) 9.93 5.61 1,798,155 0.68(a) 5.86 107 0.78(a)
(0.58) 10.03 10.53 1,681,990 0.72(a)(b) 5.86 244 0.83(a)
(0.69) 9.62 3.90 947,277 0.71(a) 5.98 368 0.81(a)
(0.19) 9.93 (1.04) 823,890 0.72+ 5.49+ 133 0.83+
(0.59) 10.22 16.45 823,098 0.71 6.05 228 0.81
$(0.30) $ 9.48 4.52% $ 24,704 0.92%+(a) 6.30%+ 35% 0.92%+(a)
(0.61) 9.37 0.74 23,420 0.90 5.97 63 0.94
(0.63) 9.93 5.40 32,119 0.88(a) 5.66 107 1.03(a)
(0.56) 10.03 10.30 26,054 0.92(a)(b) 5.66 244 1.03(a)
(0.67) 9.62 3.70 6,345 0.91(a) 5.78 368 1.01(a)
(0.18) 9.93 (1.11) 6,440 0.92+ 5.29+ 133 1.03+
(0.57) 10.22 16.22 6,662 0.91 5.85 228 1.01
$(0.26) $ 9.49 4.13% $ 5,551 1.67%+(a) 5.55%+ 35% 1.67%+(a)
(0.54) 9.37 0.05 5,637 1.59 5.28 63 1.69
(0.57) 9.93 4.76 5,440 1.48(a) 5.06 107 1.78(a)
(0.51) 10.03 9.73 2,662 1.47(a)(b) 5.11 244 1.58(a)
(0.63) 9.62 3.23 2,109 1.36(a) 5.33 368 1.46(a)
(0.16) 9.93 (1.26) 2,496 1.37+ 4.84+ 133 1.48+
(0.53) 10.22 15.70 2,578 1.36 5.40 228 1.46
$(0.26) $ 9.49 4.13% $ 931 1.67%+(a) 5.55%+ 35% 1.67%+(a)
(0.52) 9.37 (0.24) 934 1.67 5.20 63 1.69
(0.57) 9.93 4.90 1,137 1.40(a) 5.14 107 1.78(a)
(0.52) 10.03 9.87 943 1.42(a)(b) 5.16 244 1.53(a)
(0.64) 9.62 3.38 1,068 1.21(a) 5.48 368 1.31(a)
(0.17) 9.93 (1.22) 299 1.22+ 4.99+ 133 1.33+
(0.54) 10.22 15.87 227 1.21 5.55 228 1.31
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47
<PAGE> 52
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS DISTRIBUTIONS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT REALIZED
OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME GAINS
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
STRATEGIC INCOME
PRIMARY A SHARES
Six months ended 9/30/2000
(unaudited)........................ $ 9.53 $0.33 $ 0.00 $ 0.33 $(0.33) --
Year ended 3/31/2000................. 10.31 0.68 (0.78) (0.10) (0.68) $(0.00)###
Year ended 3/31/1999#................ 10.55 0.66 (0.14) 0.52 (0.66) (0.10)
Year ended 3/31/1998................. 10.11 0.65 0.44 1.09 (0.65) --
Year ended 3/31/1997#................ 10.42 0.69 (0.18) 0.51 (0.69) (0.13)
Period ended 3/31/1996*.............. 10.82 0.23 (0.40) (0.17) (0.23) --
Year ended 11/30/1995................ 9.67 0.73 1.15 1.88 (0.73) --
INVESTOR A SHARES
Six months ended 9/30/2000
(unaudited)........................ $ 9.52 $0.32 $ 0.00 $ 0.32 $(0.32) --
Year ended 3/31/2000................. 10.31 0.65 (0.79) (0.14) (0.65) $(0.00)###
Year ended 3/31/1999#................ 10.55 0.63 (0.14) 0.49 (0.63) (0.10)
Year ended 3/31/1998................. 10.11 0.63 0.44 1.07 (0.63) --
Year ended 3/31/1997#................ 10.42 0.66 (0.18) 0.48 (0.66) (0.13)
Period ended 3/31/1996*.............. 10.82 0.22 (0.40) (0.18) (0.22) --
Year ended 11/30/1995................ 9.67 0.71 1.15 1.86 (0.71) --
INVESTOR B SHARES
Six months ended 9/30/2000
(unaudited)........................ $ 9.52 $0.29 $ 0.01 $ 0.30 $(0.29) --
Year ended 3/31/2000................. 10.31 0.59 (0.79) (0.20) (0.59) $(0.00)###
Year ended 3/31/1999#................ 10.55 0.57 (0.14) 0.43 (0.57) (0.10)
Year ended 3/31/1998................. 10.11 0.57 0.44 1.01 (0.57) --
Year ended 3/31/1997#................ 10.42 0.61 (0.18) 0.43 (0.61) (0.13)
Period ended 3/31/1996*.............. 10.82 0.21 (0.40) (0.19) (0.21) --
Year ended 11/30/1995................ 9.67 0.66 1.15 1.81 (0.66) --
INVESTOR C SHARES
Six months ended 9/30/2000
(unaudited)........................ $ 9.52 $0.24 $ 0.05 $ 0.29 $(0.29) --
Year ended 3/31/2000................. 10.31 0.58 (0.79) (0.21) (0.58) $(0.00)###
Year ended 3/31/1999#................ 10.55 0.57 (0.14) 0.43 (0.57) (0.10)
Year ended 3/31/1998................. 10.11 0.58 0.44 1.02 (0.58) --
Year ended 3/31/1997#................ 10.42 0.63 (0.18) 0.45 (0.63) (0.13)
Period ended 3/31/1996*.............. 10.82 0.21 (0.40) (0.19) (0.21) --
Year ended 11/30/1995................ 9.67 0.66 1.15 1.81 (0.66) --
</TABLE>
---------------
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
* Fiscal year end changed to March 31. Prior to this, the fiscal year end was
November 30.
# Per share net investment income has been calculated using the monthly
average shares method.
### Includes distribution in excess of less than $0.01 per share.
(a) The effect of the custodial expense offset (Note 2) on the operating
expenses ratio, with and without waivers and/or expense reimbursements, was
less than 0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE> 53
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO INCOME/(LOSS) PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS RATE NET ASSETS
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$(0.33) $ 9.53 3.59% $169,265 0.72%+(a) 7.03%+ 88% 0.84%+(a)
(0.68) 9.53 (0.95) 118,458 0.71(a) 6.80 107 0.90(a)
(0.76) 10.31 5.00 317,937 0.70(a) 6.27 94 0.80(a)
(0.65) 10.55 11.07 263,840 0.73(a) 6.27 203 0.83(a)
(0.82) 10.11 4.97 152,070 0.75(a) 6.73 278 0.85(a)
(0.23) 10.42 (1.59) 65,081 0.77+ 6.49+ 69 0.87+
(0.73) 10.82 20.11 64,800 0.80 7.03 96 0.93
$(0.32) $ 9.52 3.47% $ 28,293 0.97%+(a) 6.78%+ 88% 1.09%+(a)
(0.65) 9.52 (1.30) 30,870 0.96(a) 6.55 107 1.15(a)
(0.73) 10.31 4.74 12,954 0.95(a) 6.02 94 1.05(a)
(0.63) 10.55 10.80 11,946 0.98(a) 6.02 203 1.08(a)
(0.79) 10.11 4.71 11,662 1.00(a) 6.48 278 1.10(a)
(0.22) 10.42 (1.67) 13,332 1.02+ 6.24+ 69 1.12+
(0.71) 10.82 19.82 13,150 1.05 6.78 96 1.18
$(0.29) $ 9.53 3.19% $ 50,628 1.72%+(a) 6.03%+ 88% 1.84%+(a)
(0.59) 9.52 (1.98) 55,946 1.65(a) 5.86 107 1.90(a)
(0.67) 10.31 4.11 67,651 1.55(a) 5.42 94 1.80(a)
(0.57) 10.55 10.18 65,248 1.55(a) 5.45 203 1.65(a)
(0.74) 10.11 4.18 70,631 1.50(a) 5.98 278 1.60(a)
(0.21) 10.42 (1.83) 84,692 1.52+ 5.74+ 69 1.62+
(0.66) 10.82 19.22 90,887 1.55 6.28 96 1.68
$(0.29) $ 9.52 3.08% $ 1,345 1.72%+(a) 6.03%+ 88% 1.84%+(a)
(0.58) 9.52 (2.04) 1,202 1.71(a) 5.80 107 1.90(a)
(0.67) 10.31 4.09 1,474 1.56(a) 5.41 94 1.80(a)
(0.58) 10.55 10.27 2,090 1.46(a) 5.54 203 1.56(a)
(0.76) 10.11 4.44 3,343 1.25(a) 6.23 278 1.35(a)
(0.21) 10.42 (1.77) 3,454 1.33+ 5.93+ 69 1.43+
(0.66) 10.82 19.22 3,582 1.55 6.28 96 1.68
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<PAGE> 54
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/
VALUE NET AND UNREALIZED (DECREASE) IN
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE
OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS
------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
HIGH YIELD BOND
PRIMARY A SHARES
Six months ended 9/30/2000#
(unaudited)............................ $ 9.90 $0.55 $(0.20) $ 0.35
Period ended 3/31/2000*#................. 10.00 0.09 (0.11) (0.02)
INVESTOR A SHARES
Six months ended 9/30/2000#
(unaudited)............................ $ 9.88 $0.53 $(0.20) $ 0.33
Period ended 3/31/2000*#................. 10.00 0.08 (0.12) (0.04)
INVESTOR B SHARES
Six months ended 9/30/2000#
(unaudited)............................ $ 9.88 $0.49 $(0.21) $ 0.28
Period ended 3/31/2000*#................. 10.00 0.07 (0.12) (0.05)
INVESTOR C SHARES
Six months ended 9/30/2000#
(unaudited)............................ $ 9.87 $0.46 $(0.18) $ 0.28
Period ended 3/31/2000**#................ 10.02 0.04 (0.12) (0.08)
</TABLE>
---------------
+ Annualized.
++ Total return represents aggregate total return for the period indicated,
assumes reinvestment of all distributions, and does not reflect the
deduction of any applicable sales charges.
* High Yield Bond Primary A, Investor A, and Investor B Shares commenced
operations on February 14, 2000.
** High Yield Bond Investor C Shares commenced operations on March 7, 2000.
# Per share net investment income has been calculated using the monthly
average shares method.
(a) The effect of the custodial expense offset (Note 2) on the operating expense
ratio, with and without waivers and/or expense reimbursements, was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
50
<PAGE> 55
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF RATIO OF
DIVIDENDS NET ASSETS OPERATING NET INVESTMENT OPERATING
FROM NET NET ASSET END OF EXPENSES TO INCOME/(LOSS) EXPENSES TO
INVESTMENT VALUE TOTAL PERIOD AVERAGE NET TO AVERAGE AVERAGE
INCOME END OF PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$(0.50) $9.75 3.55% $12,064 0.93%+(a) 11.16%+ 2.28%+(a)
(0.08) 9.90 (0.12) 9,394 0.93+ 7.03+ 12.66+
$(0.50) $9.71 3.26% $ 1,278 1.18%+(a) 10.81%+ 2.53%+(a)
(0.08) 9.88 (0.33) 371 1.18+ 6.78+ 12.91+
$(0.46) $9.70 2.90% $11,413 1.93%+(a) 10.01%+ 3.28%+(a)
(0.07) 9.88 (0.47) 3,426 1.93+ 6.03+ 13.66+
$(0.46) $9.69 2.93% $ 503 1.93%+(a) 9.95%+ 3.28%+(a)
(0.07) 9.87 (0.76) 59 1.93+ 6.03+ 13.66+
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
51
<PAGE> 56
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Nations Fund Trust (the "Trust"), Nations Fund, Inc. (the "Company"), Nations
Reserves ("Reserves") and Nations Funds Trust ("Funds Trust") are each
registered under the Investment Company Act of 1940, as amended (the "1940
Act"), as an open-end investment company. At September 30, 2000, the Trust
offered thirty-four separate portfolios, the Company offered six separate
portfolios, Reserves offered sixteen separate portfolios and Funds Trust offered
five separate portfolios. These financial statements pertain only to the
following U.S. government and corporate bond portfolios of the Trust, the
Company, Reserves and Funds Trust: Short-Term Income Fund, Short-Intermediate
Government Fund, Government Securities Fund, U.S. Government Bond Fund,
Intermediate Bond Fund, Bond Fund (formerly Investment Grade Bond Fund),
Strategic Income Fund and High Yield Bond Fund (each a "Fund" and collectively,
the "Funds"). Financial statements for the other portfolios of the Trust, the
Company, Reserves and Funds Trust are presented under separate cover. The Funds
currently offer four classes of shares: Primary A Shares, Investor A Shares,
Investor B Shares and Investor C Shares. In addition, Short-Intermediate
Government Fund also offers Primary B Shares. Seafirst Shares of Intermediate
Bond Fund were converted into Investor A Shares on June 23, 2000. Shareholders
of a Fund have equal voting rights on matters affecting all shareholders of the
Fund. In addition, each class of shares of a Fund has exclusive voting rights on
matters that relate solely to that class and separate voting rights on matters
in which the interests of one class differ from the interests of any other
class.
Intermediate Bond Fund and High Yield Bond Fund (the "Feeder Funds") seek to
achieve their investment objectives by investing substantially all of their
assets in Intermediate Bond Master Portfolio and High Yield Bond Master
Portfolio, respectively (the "Master Portfolios"), each a series of Nations
Master Investment Trust (the "Master Trust"), another open-end management
investment company in the Nations Funds family. The Master Portfolios each have
the same investment objective as that of its corresponding Feeder Fund. The
values of the Feeder Funds' investments in the respective Master Portfolios
included in the Statements of net assets reflect the Feeder Funds' proportionate
beneficial interests in the net assets of the respective Master Portfolios
(81.7% at September 30, 2000 for Intermediate Bond Master Portfolio and 88.8%
for High Yield Bond Master Portfolio). The financial statements of the Master
Portfolios, including their schedules of investments, are included elsewhere
within this report and should be read in conjunction with the Feeder Funds'
financial statements. Other funds not registered under the 1940 Act managed by
Banc of America Advisors, Inc. ("BAAI"), whose financial statements are not
presented here, also invest in the Master Portfolios.
1. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
certain estimates and assumptions that affect the reported amounts and
disclosures in the financial statements. Actual results could differ from those
estimates. The following is a summary of significant accounting policies
followed by the Funds in the preparation of their financial statements.
Securities valuation: Securities are generally valued using prices provided by
a pricing service or based upon broker-dealer quotations. Certain prices
provided by broker-dealers or the pricing service may be based on a matrix
pricing system, which considers such factors as security prices, yields and
maturities. Restricted securities, securities for which market quotations are
not readily available, and certain other assets may be valued under procedures
adopted by the Board of Trustees/Directors. Short-term investments that mature
in 60 days or less are valued at amortized cost, which approximates current
market value.
The valuation of each Feeder Fund's investment in its corresponding Master
Portfolio is based on the reported net asset value of that Master Portfolio. The
Master Portfolios use valuation policies consistent with those described above.
Futures contracts: The Short-Term Income, Short-Intermediate Government,
Government Securities, U.S. Government Bond, Intermediate Bond, Bond and
Strategic Income Funds may invest in futures contracts. Upon entering into a
futures contract, a Fund is required to deposit with the broker an amount of
cash or liquid securities equal to a specified percentage of the contract
amount. This is known as the "initial margin." Subsequent payments ("variation
margin") are made or received by a Fund each day, depending on the daily
fluctuation of the value of the contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as an unrealized gain or loss by "marking-to-market" on
a daily basis to reflect the market value of the contract. When the contract is
closed, a Fund records a realized gain or loss equal to the difference between
the value of the contract
52
<PAGE> 57
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
on the closing date and the value of the contract when originally entered into.
Risks of investments in futures contracts include the possible adverse movement
of the securities or indices underlying the contracts, the possibility that
there may not be a liquid secondary market for the contracts, that a change in
the value of the contract may not correlate with changes in the value of the
underlying securities, or that the counterparty to a contract may default on its
obligation to perform.
Foreign currency translation: The books and records of the Funds are maintained
in U.S. dollars. Foreign currencies, investments and other assets and
liabilities are translated into U.S. dollars at the current exchange rates.
Purchases and sales of investment securities and income and expenses are
translated on the respective dates of such transactions. Net realized foreign
currency gains and losses resulting from changes in exchange rates include
foreign currency gains and losses between trade date and settlement date of
securities transactions, foreign currency transactions and the difference
between the amounts of interest and dividends recorded on the books of a Fund
and the amounts actually received. The effects of changes in foreign currency
exchange rates on securities are not separately stated in the Statements of
operations from the effects of changes in market prices of those securities, but
are included with the net realized and unrealized gain or loss on securities.
Forward foreign currency transactions: Generally, each Fund may enter into
forward currency exchange contracts only under two circumstances: (i) when a
Fund enters into a contract for the purchase or sale of a security denominated
in a foreign currency, to "lock" in the U.S. exchange rate of the transaction,
with such period being a short-dated contract covering the period between
transaction date and settlement date; and (ii) when the investment adviser or
sub-adviser believes that the currency of a particular foreign country may
experience a substantial movement against the U.S. dollar. Forward foreign
currency contracts are valued at the forward rate and are marked-to-market
daily. The change in market value is recorded by a Fund as an unrealized gain or
loss. When the contract is closed or offset with the same counterparty, a Fund
records a realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time it was closed or
offset.
Forward foreign currency contracts will be used primarily to protect the Funds
from adverse currency movements and will generally not be entered into for terms
greater than one year. The use of forward foreign currency contracts does not
eliminate fluctuations in the underlying prices of a Fund's investment
securities; however, it does establish a rate of exchange that can be achieved
in the future. The use of forward contracts involves the risk that anticipated
currency movements will not be accurately predicted. A forward contract would
limit the risk of loss due to a decline in the value of a particular currency;
however, it also would limit any potential gain that might result should the
value of the currency increase instead of decrease. These contracts may involve
market risk in excess of the unrealized gain or loss reflected in the Statements
of net assets. In addition, the Funds could be exposed to risks if
counterparties to the contracts are unable to meet the terms of their contracts.
The counterparty risk exposure is, therefore, closely monitored and contracts
are only executed with high credit quality financial institutions.
Securities transactions and investment income: Securities transactions are
accounted for on trade date. Realized gains and losses are computed based on the
specific identification of securities sold. Interest income, adjusted for
accretion of discounts and amortization of premiums, is earned from settlement
date and recorded on an accrual basis. Dividend income is recorded on ex-
dividend date. Each Fund's investment income and realized and unrealized gains
and losses are allocated among its share classes based upon the relative net
assets of each class of shares.
Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after trade date; interest income is not accrued until
settlement date. At the time a Fund enters into such transactions, it instructs
its custodian to segregate assets with a current value at least equal to the
amount of its when-issued or delayed-delivery purchase commitments.
Stripped mortgage-backed securities are derivative multi-class mortgage
securities structured so that one class receives most, if not all, of the
principal from the underlying mortgage assets, while the other class receives
most, if not all, of the interest and the remainder of the principal. If the
underlying mortgage assets experience greater than anticipated prepayments of
principal, a Fund may fail to fully recoup its initial investment in an
interest-only security. The fair market value of these securities is unusually
volatile in response to changes in interest rates.
The Feeder Funds record their share of the investment income and realized and
unrealized gains and losses reported by the Master Portfolios on a daily basis.
The
53
<PAGE> 58
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
investment income and realized and unrealized gains and losses are allocated
daily to investors in the Master Portfolios based upon the value of their
investments in the Master Portfolios.
Dividends and distributions to shareholders: It is the policy of each Fund
(except Intermediate Bond and High Yield Bond) to declare dividends from net
investment income daily and to pay such dividends monthly. Intermediate Bond and
High Yield Bond Funds declare and pay dividends monthly. Each Fund will
distribute net realized capital gains (including net short-term capital gains)
at least annually after the fiscal year in which the capital gains were earned,
unless offset by any available capital loss carryforward. Income distributions
and capital gain distributions on a Fund level are determined in accordance with
federal income tax regulations which may differ from accounting principles
generally accepted in the United States of America.
Federal income tax: Each Fund intends to continue to qualify as a regulated
investment company by complying with the applicable requirements of the Internal
Revenue Code of 1986, as amended, and by distributing substantially all of its
earnings to its shareholders. Therefore, no provision is made for federal income
or excise taxes.
Expenses: General expenses of the Trust, the Company, Reserves and Funds Trust
are allocated to the Funds based upon their relative net assets or other expense
allocation methodologies determined by the nature of the expense. Expenses
directly attributable to a Fund or class of shares are charged to such Fund or
class. The Feeder Funds record their share of the expenses reported by the
Master Portfolios on a daily basis. The expenses are allocated daily to
investors in the Master Portfolios based upon the value of the Feeder Funds'
investments in the Master Portfolios.
2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED
PARTY TRANSACTIONS
Each of the Trust and the Company has entered into an investment advisory
agreement (the "Investment Advisory Agreements") with BAAI, a wholly-owned
subsidiary of Bank of America, N.A. ("Bank of America"), which in turn is a
wholly-owned banking subsidiary of Bank of America Corporation, a bank holding
company organized as a Delaware corporation, pursuant to which BAAI provides
investment advisory services to the Funds. Under the terms of the Investment
Advisory Agreements, BAAI is entitled to receive an advisory fee, calculated
daily and payable monthly, based on the following annual rates multiplied by the
average daily net assets of each Fund:
<TABLE>
<CAPTION>
ANNUAL
RATE
------
<S> <C>
Short-Term Income, Short-Intermediate
Government.................................. 0.30%
Bond.......................................... 0.40%
U.S. Government Bond, Strategic Income........ 0.50%
</TABLE>
<TABLE>
<CAPTION>
FEES ON NET FEES ON NET FEES ON NET
ASSETS UP TO ASSETS BETWEEN ASSETS
$200 $200 AND $250 EXCEEDING
MILLION MILLION $250 MILLION
--------------------------------------------------------------------
<S> <C> <C> <C>
Government
Securities......... 0.50% 0.45% 0.40%
</TABLE>
The Feeder Funds indirectly pay for investment advisory services through their
investments in their corresponding Master Portfolios (see Note 2 of Notes to
financial statements of the Master Portfolios).
Each of the Trust and the Company has entered into a sub-advisory agreement with
BAAI and Banc of America Capital Management, Inc. ("BACAP"), a wholly-owned
subsidiary of Bank of America, pursuant to which BACAP is entitled to receive a
sub-advisory fee from BAAI at the maximum annual rate of 0.15% of each Fund's
average daily net assets.
The Feeder Funds indirectly pay for sub-advisory services through their
investments in their corresponding Master Portfolios (See Note 2 of Notes to
financial statements of the Master Portfolios).
Stephens Inc. ("Stephens") and BAAI serve as co-administrators of the Trust, the
Company, Reserves and Funds Trust. Under the co-administration agreements,
Stephens and BAAI are currently entitled to receive a combined fee, computed
daily and paid monthly, at the maximum annual rate of 0.22% of the average daily
net assets of all Funds except for Intermediate Bond Fund, which pays a monthly
fee at the maximum annual rate of 0.17% of its average daily net assets and High
Yield Bond Fund, which pays a monthly fee at the maximum annual rate of 0.18% of
its average daily net assets. The Bank of New York ("BNY") serves as
sub-administrator of the Trust, the Company, Reserves and Funds Trust pursuant
to agreements with BAAI. For the six months ended September 30, 2000, Stephens
and BAAI earned 0.06% and 0.11%, respectively, of the Funds' average daily net
assets for their co-administration services.
BAAI and/or the sub-advisers and Stephens may, from time to time, reduce their
fees payable by each Fund. Effective August 1, 2000, BAAI agreed to waive its
54
<PAGE> 59
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
advisory fees until July 31, 2001 in the following amounts for the Funds set
forth below:
<TABLE>
<S> <C>
Short-Term Income............................. 0.10%
Government Securities......................... 0.10%
U.S. Government Bond.......................... 0.10%
Strategic Income.............................. 0.10%
</TABLE>
In addition, effective August 1, 2000, BAAI and/or the sub-advisers and Stephens
agreed to reimburse expenses and/or waive their fees until July 31, 2001 to the
extent that total expenses (excluding shareholder servicing and distribution
fees), as a percentage of the respective Fund's average daily net assets, exceed
the following annual rates:
<TABLE>
<CAPTION>
ANNUAL
FUND RATE
------------------------------------------------------
<S> <C>
Intermediate Bond Fund........................ 0.81%
High Yield Bond Fund.......................... 0.93%
</TABLE>
BNY serves as the custodian of the Trust's, the Company's, Reserves' and Funds
Trust's assets. For the six months ended September 30, 2000, expenses of the
Funds were reduced by $17,871 under expense offset arrangements with BNY. The
Funds could have invested a portion of the assets utilized in connection with
the expense offset arrangements in an income producing asset if they had not
entered into such arrangements.
No officer, director or employee of Bank of America, BAAI or BACAP, or any
affiliate thereof, receives any compensation from the Trust, the Company,
Reserves and Funds Trust for serving as Trustee/Director or Officer of the
Trust, the Company, Reserves and Funds Trust.
PFPC Inc. ("PFPC") serves as the transfer agent for the Funds' shares. Bank of
America serves as the sub-transfer agent for the Primary A and Primary B Shares
of the Funds. For the six months ended September 30, 2000, Bank of America
earned approximately $15,717 for providing such services.
Stephens also serves as distributor of the Funds' shares. For the six months
ended September 30, 2000, the Funds were informed that the distributor received
$10,091 in front-end sales charges for sales of Investor A Shares and $132,733
in contingent deferred sales charges from redemption of shares which were
subject to such charges. A substantial portion of these fees is paid to
affiliates of Bank of America.
The Trust's, the Company's, Reserves' and Funds Trust's eligible
Trustees/Directors may participate in non-qualified deferred compensation and
retirement plans which may be terminated at any time. All benefits provided
under these plans are unfunded and any payments to plan participants are paid
solely out of the Funds' assets. Income earned on each plan participant's
deferral account is tied to the rate of return of the eligible mutual funds
selected by the participants or, if no funds are selected, to the rate of return
of Nations Treasury Fund, a portfolio of the Company. The expense for the
deferred compensation and retirement plans is included in "Trustees'/Directors'
fees and expenses" in the Statements of operations.
Certain Funds have made daily investments of cash balances in the Nations Cash
Reserves, a portfolio of Reserves, pursuant to an exemptive order received from
the Securities and Exchange Commission. For the six months ended September 30,
2000, the Funds earned $4,473,961 in the aggregate from such investments, which
is included in interest income.
A significant portion of each Fund's Primary A Shares represents investments by
fiduciary accounts over which Bank of America has either sole or joint
investment discretion.
3. SHAREHOLDER SERVICING AND DISTRIBUTION PLANS
The Trust, the Company, Reserves and Funds Trust each has adopted shareholder
servicing plans and distribution plans for the Investor B and Investor C Shares
of each Fund and a combined distribution and shareholder servicing plan for the
Investor A Shares of each Fund. In addition, the Trust has adopted a shareholder
administration plan for Primary B Shares of Short-Intermediate Government Fund
and Reserves has adopted a shareholder servicing plan for Seafirst Shares of the
Intermediate Bond Fund. The shareholder servicing plans permit the Funds to
compensate or reimburse servicing agents for shareholder services provided by
the servicing agents. The administration plan permits the Short-Intermediate
Government Fund to compensate institutions for shareholder administration
services provided to their customers that own Primary B Shares. The distribution
plans, adopted pursuant to Rule 12b-1 under the 1940 Act, permit the Funds to
compensate or reimburse the distributor (and for Investor A Shares, the
distributor and/or selling agents) for activities or expenses primarily intended
to result in the sale of the applicable classes' shares. Payments are made at an
annual rate, as a percentage of average daily net assets, set from time to time
by the Board of Trustees/Directors, and are charged as expenses of each Fund
directly to the applicable class. A substantial portion of the expenses incurred
pursuant to
55
<PAGE> 60
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
these plans is paid to affiliates of Bank of America and BAAI.
At September 30, 2000, the rates in effect and plan limits, as a percentage of
average daily net assets, were as follows:
<TABLE>
<CAPTION>
CURRENT PLAN
RATE LIMIT
-----------------
<S> <C> <C>
Primary B Shareholder Administration
Plan:
Short-Intermediate Government..... 0.50% 0.60%
Investor A Combined Distribution and
Shareholder Servicing Plan........ 0.25* 0.25
Investor B and Investor C
Shareholder Servicing Plans....... 0.25 0.25
Investor B and Investor C
Distribution Plans................ 0.75 0.75
Seafirst Shareholder Servicing
Plan**............................ N/A 0.25
</TABLE>
---------------
* Reflects a rate change effective August 1, 2000 from 0.20% for
Short-Intermediate Government Fund. In addition, a separate shareholder
servicing plan has been adopted for Investor A Shares of Short-Term Income
Fund.
** Seafirst Shares converted into Investor A Shares on June 23, 2000.
4. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
long-term U.S. government securities and short-term investments, for the six
months ended September 30, 2000 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
(000) (000)
---------------------
<S> <C> <C>
Short-Term Income............... $ 67,148 $ 62,458
Short-Intermediate Government... 42,283 1,710
Government Securities........... 19,635 --
U.S. Government Bond............ 9,805 --
Bond............................ 735,381 225,769
Strategic Income................ 93,917 74,830
</TABLE>
The aggregate cost of purchases and proceeds from sales of long-term U.S.
government securities for the six months ended September 30, 2000 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
(000) (000)
---------------------
<S> <C> <C>
Short-Term Income............... $ 4,939 $ 12,695
Short-Intermediate Government... 117,632 155,262
Government Securities........... 160,129 133,799
U.S. Government Bond............ 57,706 85,150
Bond............................ 599,823 500,124
Strategic Income................ 131,197 114,960
</TABLE>
5. FUTURES CONTRACTS
At September 30, 2000, the following Funds had futures contracts open:
<TABLE>
<CAPTION>
VALUE OF
CONTRACT MARKET UNREALIZED
WHEN VALUE OF APPRECIATION/
NUMBER OF OPENED CONTRACTS (DEPRECIATION)
DESCRIPTION CONTRACTS (000) (000) (000)
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SHORT-INTERMEDIATE GOVERNMENT FUND:
U.S. 2 year Treasury note (long position) expiring December
2000(a)................................................... 60 $ 11,950 $ 12,001 $ 51
U.S. 10 year Treasury note (long position) expiring December
2000(a)................................................... 330 32,953 33,072 119
U.S. 30 year Treasury bond (short position) expiring
December 2000(a).......................................... 100 9,866 9,984 118
BOND FUND:
U.S. 10 year Agency (long position) expiring December
2000(a)................................................... 670 63,267 63,346 79
U.S. 5 year Treasury note (short position) expiring December
2000(a)................................................... 1,400 140,744 139,703 (1,041)
U.S. 10 year Treasury note (long position) expiring December
2000(a)................................................... 200 20,037 20,044 7
STRATEGIC INCOME FUND:
U.S. 5 year Treasury note (short position) expiring December
2000(a)................................................... 24 2,413 2,395 (18)
U.S. 2 year Treasury note (long position) expiring December
2000(a)................................................... 54 10,755 10,801 46
</TABLE>
---------------
(a) Securities have been segregated as collateral for the Short-Intermediate
Government, Bond and Strategic Income Funds for open futures contracts.
6. SHARES OF BENEFICIAL INTEREST/CAPITAL STOCK
As of September 30, 2000, an unlimited number of shares of beneficial interest
without par value were authorized for each of the Trust, Reserves and Funds
Trust and 480,000,000,000 shares of $.001 par value capital stock were
authorized for the Company. The Trust's, Reserves' and Funds Trust's
Declarations of Trust and the Company's Articles of Incorporation
56
<PAGE> 61
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
authorize the Boards of Trustees/Directors to classify or reclassify any
authorized, but unissued shares into one or more additional classes or series of
shares. See Schedules of capital stock activity.
7. LINES OF CREDIT
The Trust, the Company, Reserves and Funds Trust each participate with other
Nations Funds in an uncommitted line of credit provided by BNY under a line of
credit agreement (the "Agreement"). Advances under the Agreement are taken
primarily for temporary or emergency purposes, including the meeting of
redemption requests that otherwise might require the untimely disposition of
securities. Interest on borrowings is payable at a specified Federal Funds rate
plus 0.50% on an annualized basis. Each participating Fund maintains a ratio of
no less than 4 to 1 net assets (not including amounts borrowed pursuant to the
Agreement) to the aggregate amount of indebtedness pursuant to the Agreement.
At September 30, 2000, there were no loans outstanding under this Agreement. For
the six months ended September 30, 2000, there were no borrowings by the Funds
under the Agreement.
The average amount outstanding was calculated based on daily balances during the
period.
The Trust, the Company, Reserves and Funds Trust also participate with other
Nations Funds in a committed line of credit provided by BNY. Interest on
borrowings under the committed line is payable at a specified Federal Funds rate
plus 0.50% on an annualized basis. A facility fee of 0.09% per annum of the
total amounts available under the line of credit is charged, of which each Fund
pays its pro rata share. This fee is paid quarterly in arrears. Each
participating Fund is required to maintain an asset coverage ratio of at least
300% under the terms of the arrangement. For the six months ended September 30,
2000, there were no borrowings by the Funds under the committed line of credit.
8. SECURITIES LENDING
Under an agreement with BNY, the Funds can lend their securities to approved
brokers, dealers and other financial institutions. Loans are collateralized by
cash, in an amount at least equal to the market value of the securities loaned.
The cash collateral received is invested in Nations Cash Reserves. A portion of
the income generated by the investment of the collateral, net of any rebates
paid by BNY to borrowers, is remitted to BNY as lending agent, and the remainder
is paid to the Fund. Generally, in the event of counterparty default, the Fund
has the right to use the collateral to offset losses incurred. There would be a
potential loss to the Fund in the event the Fund is delayed or prevented from
exercising its right to dispose of the collateral. The Fund bears the risk of
loss with respect to the investment of collateral.
At September 30, 2000, the following Funds had securities on loan:
<TABLE>
<CAPTION>
MARKET VALUE OF MARKET VALUE
LOANED SECURITIES OF COLLATERAL
FUND (000) (000)
------------------------------------------------------------
<S> <C> <C>
Short-Intermediate
Government............ $16,831 $17,145
Government Securities... 615 644
Bond.................... 69,166 70,942
Strategic Income........ 1,993 2,033
</TABLE>
9. CAPITAL LOSS CARRYFORWARD
At March 31, 2000, the following Funds had available for federal income tax
purposes the following unused capital losses expiring March 31:
<TABLE>
<CAPTION>
2002 2003 2005 2007 2008
FUND (000) (000) (000) (000) (000)
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Short-Term Income........................................... $4,900 $ 651 $ 122 -- $ 2,435
Short-Intermediate Government............................... 974 -- 6,939 -- 13,389
Government Securities....................................... 7,139 5,914 2,303 $ 86 9,296
U.S. Government Bond........................................ -- -- -- -- 2,809
Intermediate Bond........................................... -- -- -- 1,126 504
Bond........................................................ -- -- -- -- 10,756
Strategic Income............................................ 849 -- -- -- 11,355
</TABLE>
57
<PAGE> 62
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
The capital loss carryforward for the Government Securities Fund is subject to
certain limitations.
Under the current tax law, capital losses realized after October 31 may be
deferred and treated as occurring on the first day of the following fiscal year.
For the year ended March 31, 2000, the following Funds elected to defer losses
occurring between November 1, 1999 and March 31, 2000 under these rules:
<TABLE>
<CAPTION>
POST-OCTOBER
CAPITAL LOSSES
DEFERRED
FUND (000)
---------------------------------------------------------
<S> <C>
Short-Term Income........................
$ 2,019
Short-Intermediate Government............
4,554
Government Securities....................
3,792
U.S. Government Bond.....................
2,471
Intermediate Bond........................
--
Bond.....................................
12,929
Strategic Income.........................
6,113
</TABLE>
10. REORGANIZATIONS
ACQUISITION OF PACIFIC HORIZON FUNDS
On May 14, 1999, certain Funds, as listed below, (each an "Acquiring Fund"),
acquired the assets and liabilities of the Pacific Horizon Funds, also listed
below (each an "Acquired Fund"), in a tax-free reorganization in exchange for
shares of the Acquiring Fund, pursuant to a plan of reorganization approved by
the Acquired Fund's shareholders. The number and value of shares issued by the
Acquiring Fund are presented in the Schedules of capital stock activity. Net
assets and unrealized appreciation/(depreciation) as of the reorganization date
were as follows:
<TABLE>
<CAPTION>
ACQUIRED FUND
TOTAL NET ASSETS UNREALIZED
TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND APPRECIATION
OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION (DEPRECIATION)
ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000)
-------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Short-Intermediate Government Pacific Horizon
Short-Term
Government Fund $19,247 $625,358 $644,605 $ 1
Government Securities Pacific Horizon
U.S. Government
Fund 60,009 168,447 228,456 (273)
Diversified Income Pacific Horizon
Flexible Income
Fund 36,136 228,362 264,498 (213)
</TABLE>
On May 21, 1999, the Intermediate Bond Fund, a newly established portfolio,
acquired the assets and liabilities of the Pacific Horizon Intermediate Bond
Fund pursuant to a plan of reorganization approved by its shareholders. The
acquisition was accomplished by a tax-free exchange of shares of the
Intermediate Bond Fund in an amount equal to the value of the outstanding shares
of the Pacific Horizon Intermediate Bond Fund. The financial statements of the
Intermediate Bond Fund reflect the historical financial results of the Pacific
Horizon Intermediate Bond Fund prior to the reorganization.
<TABLE>
<CAPTION>
PACIFIC HORIZON FUND SHARE CLASS CORRESPONDING RESERVES SHARE CLASS
--------------------------------------------------------------------
<S> <C>
Intermediate Bond Nations Intermediate Bond
A Shares Investor A Shares
K Shares Investor C Shares
SRF Shares Seafirst Shares
</TABLE>
58
<PAGE> 63
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
CONVERSION OF COMMON TRUST FUNDS
On June 16, 2000, certain Funds, as listed below (each an "Acquiring Fund"),
acquired the assets of certain common trust funds, managed by Bank of America,
also listed below (each an "Acquired Fund"), in a tax-free exchange for shares
of the Acquiring Fund. The number and value of shares issued by the Acquiring
Fund are presented in the Schedules of capital stock activity. Net assets and
unrealized appreciation as of the conversion date were as follows:
<TABLE>
<CAPTION>
ACQUIRED FUND
TOTAL NET ASSETS UNREALIZED
TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND APPRECIATION/
OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION (DEPRECIATION)
ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000)
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Short-Intermediate Government Boatmen's
Trust Company
Intermediate
Government
Fund $ 21,135 $ 537,543 $ 558,678 $ 135
Short-Intermediate Government Bank IV Kansas
U.S. Treasury
Fund 19,124 537,543 556,667 21
Government Securities Boatmen's
Trust Company
Taxable Bond
Fund 45,638 188,006 233,644 (951)
Bond Boatmen's
Trust Company
Intermediate
Taxable Bond
Fund 116,422 1,868,792 1,985,214 (818)
Bond Bank IV Kansas
Intermediate
Bond Fund 76,191 1,868,792 1,944,983 (923)
Bond BCA High Grade
Income Bond
Fund 219,513 1,868,792 2,088,305 (2,009)
</TABLE>
On August 23, 2000, the Board of Directors of the Company approved an Agreement
and Plan of Reorganization pursuant to which Government Securities Fund would
acquire all of the assets of U.S. Government Bond Fund in exchange for shares of
Government Securities Fund. Additionally, the Board of Directors of the Company
and the Board of Trustees of Funds Trust approved the reorganization of the
Government Securities Fund into a new shell fund of Funds Trust. The principal
effects of this reorganization would be to bring the assets of U.S. Government
Bond Fund into Government Securities Fund and to redomicile the Fund, in
Delaware, under a Delaware business trust structure that management believes
provides greater flexibility and efficiency in certain corporate and
organizational matters. The Government Securities Fund will retain its name,
investment objective and principal investment strategies. If approved by
shareholders, it is anticipated that the reorganization would take place in the
second quarter of 2001.
59
<PAGE> 64
NATIONS MASTER INVESTMENT TRUST
Nations Intermediate Bond Master Portfolio and
Nations High Yield Bond Master Portfolio Semi-Annual Report
SEPTEMBER 30, 2000 (UNAUDITED)
The following pages should be read in conjunction with the Nations Intermediate
Bond and Nations High Yield Bond Funds' Semi-Annual Report.
60
<PAGE> 65
NATIONS MASTER INVESTMENT TRUST
Nations Intermediate Bond Master Portfolio
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
ASSET-BACKED SECURITIES -- 3.1%
ASSET-BACKED -- AUTO LOANS -- 2.0%
$ 333 AESOP Funding II LLC, Series 1997-1A,
Class A1,
6.220% 10/20/01(-)................... $ 333
2,000 Daimler-Benz Vehicle Trust, Series
1998-A, Class A4,
5.220% 12/22/03##.................... 1,958
--------
2,291
--------
ASSET-BACKED -- CREDIT CARD RECEIVABLES
-- 1.1%
1,340 First Chicago Master Trust II, Series
1995-0, Class A,
6.851%** 02/15/04.................... 1,342
--------
TOTAL ASSET-BACKED SECURITIES
(Cost $3,682)........................ 3,633
--------
CORPORATE BONDS AND NOTES -- 45.8%
AEROSPACE AND DEFENSE -- 1.0%
1,200 Raytheon Company,
7.900% 03/01/03(-)................... 1,220
--------
AUTOMOTIVE -- 1.3%
1,600 Delphi Automotive Systems Corporation,
6.125% 05/01/04...................... 1,527
--------
BEVERAGES -- 1.1%
1,350 J. Seagram & Sons, Inc.,
6.625% 12/15/05...................... 1,316
--------
BROADCASTING AND CABLE -- 5.0%
1,300 A.H. Belo Corporation,
6.875% 06/01/02...................... 1,265
1,550 British Sky Broadcasting Group plc,
6.875% 02/23/09...................... 1,347
600 Clear Channel Communications, Inc.,
7.250% 09/15/03...................... 601
1,300 Cox Radio, Inc.,
6.250% 05/15/03...................... 1,269
1,345 USA Networks, Inc.,
6.750% 11/15/05...................... 1,308
--------
5,790
--------
CHEMICALS -- SPECIALTY -- 1.3%
1,600 Praxair, Inc.,
6.750% 03/01/03...................... 1,586
--------
COMMERCIAL BANKING -- 2.3%
1,600 Chase Manhattan Corporation,
5.750% 04/15/04...................... 1,538
1,100 First Union Corporation,
7.550% 08/18/05...................... 1,113
--------
2,651
--------
COMMERCIAL SERVICES -- 0.9%
1,100 Comdisco, Inc.,
9.500% 08/15/03...................... 1,109
--------
COMPUTERS AND OFFICE EQUIPMENT -- 0.9%
1,000 Compaq Computer Corporation,
7.450% 08/01/02...................... 1,004
--------
CONGLOMERATES -- 1.0%
1,200 Waste Management, Inc.,
6.125% 07/15/01...................... 1,172
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
CONSUMER CREDIT AND MORTGAGES -- 1.0%
$ 1,200 Capital One Bank,
8.250% 06/15/05...................... $ 1,218
--------
DIVERSIFIED MANUFACTURING -- 1.3%
1,600 Tyco International Group SA,
6.375% 06/15/05...................... 1,554
--------
ELECTRIC POWER -- NON NUCLEAR -- 1.1%
1,400 Consumers Energy Company,
6.200% 05/01/03...................... 1,333
--------
ENERGY -- MISCELLANEOUS -- 1.5%
585 PDV America Inc., Gtd. Sr. Notes,
7.875% 08/01/03...................... 562
1,200 USX Corporation,
6.650% 02/01/06...................... 1,162
--------
1,724
--------
FINANCE -- MISCELLANEOUS -- 11.3%
1,300 Case Credit Corporation,
6.125% 02/15/03...................... 1,203
680 Crown Cork & Seal Financial plc,
6.750% 12/15/03##.................... 609
1,500 DaimlerChrysler NA Holdings,
6.900% 09/01/04...................... 1,485
1,325 Finova Capital Corporation,
7.250% 11/08/04...................... 998
1,500 Ford Motor Credit Company,
7.600% 08/01/05...................... 1,516
2,000 General Motors Acceptance Corporation,
6.150% 04/05/07##.................... 1,869
1,500 Heller Financial, Inc.,
6.000% 03/19/04...................... 1,444
1,200 Household Finance Corporation,
8.000% 05/09/05...................... 1,240
1,600 Newcourt Credit Group Inc.,
6.875% 02/16/05...................... 1,579
1,200 Washington Mutual, Inc.,
7.500% 08/15/06...................... 1,202
--------
13,145
--------
FOOD AND DRUG STORES -- 1.4%
1,750 Nabisco Inc.,
6.125% 02/01/33...................... 1,678
--------
HEALTH SERVICES -- 0.1%
145 HCA -- The Healthcare Corporation,
8.750% 09/01/10...................... 148
--------
HEAVY MACHINERY -- 1.3%
1,600 Thermo Electron Corporation,
7.625% 10/30/08##.................... 1,523
--------
HOUSING AND FURNISHING -- 1.3%
1,500 Hanson Overseas B.V.,
7.375% 01/15/03...................... 1,499
--------
INTEGRATED OIL -- 1.3%
1,500 Occidental Petroleum Corporation,
Sr. Notes,
7.650% 02/15/06...................... 1,520
--------
INVESTMENT SERVICES -- 3.7%
1,200 Bear Stearns Companies, Inc.,
7.800% 08/15/07...................... 1,215
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
61
<PAGE> 66
NATIONS MASTER INVESTMENT TRUST
Nations Intermediate Bond Master Portfolio
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
INVESTMENT SERVICES -- (CONTINUED)
$ 1,600 Lehman Brothers Holdings Inc.,
6.625% 04/01/04...................... $ 1,567
1,500 Salomon Smith Barney Holdings, Inc.,
6.250% 05/15/03...................... 1,477
--------
4,259
--------
NATURAL GAS PIPELINES -- 2.2%
1,200 KN Energy, Inc.,
6.450% 03/01/03...................... 1,178
1,500 Williams Companies, Inc.,
6.500% 08/01/06...................... 1,439
--------
2,617
--------
TELECOMMUNICATIONS SERVICES -- 3.5%
1,400 MCI Worldcom, Inc.,
6.400% 08/15/05...................... 1,363
1,600 Sprint Capital Corporation,
5.875% 05/01/04...................... 1,530
1,250 Vodafone AirTouch plc,
7.625% 02/15/05(-)................... 1,268
--------
4,161
--------
TOTAL CORPORATE BONDS AND NOTES
(Cost $54,977)....................... 53,754
--------
FOREIGN BONDS AND NOTES -- 2.3%
1,385 Banco Latinoamericano,
7.200% 05/28/02(-)................... 1,361
1,361 Pemex Finance Ltd.,
5.720% 11/15/03...................... 1,330
--------
TOTAL FOREIGN BONDS AND NOTES
(Cost $2,747)........................ 2,691
--------
MORTGAGE-BACKED SECURITIES -- 30.3%
COMMERCIAL MORTGAGE-BACKED SECURITIES
-- 20.3%
1,950 Commercial Mortgage Acceptance
Corporation, Series 1999-C1,
Class A2,
7.030% 05/15/09##.................... 1,932
1,394 Criimi Mae CMBS Corporation, Series
1998-1, Class A1,
5.697% 10/20/01(-)................... 1,369
2,250 CS First Boston Mortgage Securities
Corporation, Series 1998-C1,
Class A1B,
6.480% 05/17/08##.................... 2,160
500 CS First Boston Mortgage Securities
Corporation, Series 1998-C2,
Class A2,
6.300% 11/15/08...................... 474
1,500 DLJ Commercial Mortgage Corporation,
Series 1998-CF2, Class A1B,
6.240% 11/12/31##.................... 1,415
1,300 DLJ Commercial Mortgage Corporation,
Series 1998-CG1, Class A1B,
6.410% 05/10/08##.................... 1,247
1,000 DLJ Commercial Mortgage Corporation,
Series 2000-CF1, Class A1B,
7.620% 05/10/10...................... 1,027
1,800 First Union National Bank Commercial
Mortgage, Series 1999-C4, Class A2,
7.390% 11/15/09...................... 1,826
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
COMMERCIAL MORTGAGE-BACKED
SECURITIES -- (CONTINUED)
$ 8,415 JP Morgan Commercial Mortgage Finance
Corporation, Series 1997-C4, Class X,
Interest only,
1.290%** 12/26/28.................... $ 464
1,300 Mortgage Capital Funding, Inc., Series
1998-MC2, Class A2,
6.423% 05/18/08...................... 1,243
2,180 Nomura Asset Securities Corporation,
Series 1998-D6, Class A1B,
6.590% 03/17/28##.................... 2,115
1,100 PNC Mortgage Acceptance Corporation,
Series 2000-C1, Class A2,
7.610% 02/15/10...................... 1,129
2,200 Prudential Securities Secured Financing
Corporation, Series 1998-C1,
Class A1B,
6.506% 07/15/08##.................... 2,115
1,850 Salomon Brothers Mortgage Securities,
Series 2000-C1, Class A2,
7.520% 12/18/09##.................... 1,886
1,900 Salomon Brothers Mortgage Securities,
Series 2000-C2, Class A2,
7.455% 04/18/10...................... 1,928
52,342 Vendee Mortgage Trust, Series 1998-1,
Class 2, IO,
.453%** 09/15/27..................... 913
51,637 Vendee Mortgage Trust, Series 1998-3,
Class 1, IO,
.314%** 03/15/29..................... 675
--------
23,918
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
(FNMA) CERTIFICATES -- 9.7%
1,500 5.750% 06/15/05........................ 1,450
9,757 6.500% 07/01/29-05/01/30............... 9,371
572 8.426%** 08/01/36...................... 588
--------
11,409
--------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION
(GNMA) CERTIFICATES -- 0.3%
307 10.000% 07/15/16-08/15/17.............. 330
--------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost $36,207)....................... 35,657
--------
U.S. TREASURY OBLIGATIONS -- 15.4%
U.S. TREASURY NOTES -- 10.7%
6,000 5.500% 08/31/01........................ 5,957
6,900 4.250% 11/15/03........................ 6,569
--------
12,526
--------
U.S. TREASURY STRIPS -- 4.7%
1,875 Interest only 08/15/09................. 1,107
1,000 Interest only 02/15/10................. 572
500 Interest only 05/15/20................. 152
4,600 Principal only 11/15/04................ 3,609
585 Principal only 11/15/27................ 118
--------
5,558
--------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $18,027)....................... 18,084
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
62
<PAGE> 67
NATIONS MASTER INVESTMENT TRUST
Nations Intermediate Bond Master Portfolio
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
INVESTMENT COMPANIES -- 2.2%
(Cost $2,582)
2,582 Nations Cash Reserves#................ $ 2,582
--------
TOTAL INVESTMENTS
(Cost $118,222*)............. 99.1% 116,401
--------
OTHER ASSETS AND LIABILITIES
(NET)........................ 0.9%
Cash.................................. $ 425
Interest receivable................... 1,373
Variation margin/due to broker........ (5)
Investment advisory fee payable....... (37)
Administration fee payable............ (5)
Payable for investment securities
purchased........................... (570)
Accrued Trustees'/Directors' fees and
expenses............................ (9)
Accrued expenses and other
liabilities......................... (75)
--------
TOTAL OTHER ASSETS AND LIABILITIES
(NET)............................... 1,097
--------
NET ASSETS..................... 100.0% $117,498
========
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized depreciation of $1,821 on
investment securities was comprised of gross appreciation of $702 and gross
depreciation of $2,523 for federal income tax purposes. At September 30,
2000, the aggregate cost of securities for federal income tax purposes was
$118,222.
** Variable rate Security. The interest rate shown reflects the rate in effect
at September 30, 2000.
## All or a portion of security segregated as collateral for futures contracts.
(-) 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 sub-advised by Banc of America Capital Management,
Inc.
ABBREVIATIONS:
IO -- Interest only
SEE NOTES TO FINANCIAL STATEMENTS.
63
<PAGE> 68
NATIONS MASTER INVESTMENT TRUST
Nations High Yield Bond Master Portfolio
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 1.3%
HEALTH SERVICES -- 0.3%
5,810 Apria Healthcare Group Inc.(!).......... $ 81
-------
LODGING AND RECREATION -- 0.5%
7,650 Argosy Gaming Company(!)................ 138
-------
METALS AND MINING -- 0.3%
5,000 Placer Dome Inc......................... 47
3,000 USX - U.S. Steel Group Inc. ............ 46
-------
93
PAPER AND FOREST PRODUCTS -- 0.2%
5,500 Abitibi-Consolidated Inc. .............. 52
-------
TOTAL COMMON STOCKS
(Cost $329)........................... 364
-------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------
<C> <S> <C>
CONVERTIBLE BONDS AND NOTES -- 3.6%
BEVERAGES -- 0.2%
$ 185 Triarc Companies, Inc.,
6.860%*** 02/09/18.................... 56
-------
METALS AND MINING -- 0.8%
125 Agnico-Eagle Mines Ltd., 3.500%
01/27/04.............................. 84
195 Battle Mountain Gold Company,
6.000% 01/04/05....................... 161
-------
245
-------
NETWORKING AND TELECOMMUNICATIONS
EQUIPMENT -- 0.5%
165 Efficient Networks, Inc.,
5.000% 03/15/05....................... 105
40 Efficient Networks, Inc.,
5.000% 03/15/05....................... 25
-------
130
-------
REAL ESTATE -- 0.5%
160 Security Capital U.S. Realty,
2.000% 05/22/03(-).................... 138
-------
SOFTWARE -- 0.8%
180 Digital Island Inc.,
6.000% 02/15/05....................... 105
215 Internet Capital Group, Inc.,
5.500% 12/21/04....................... 111
-------
216
-------
TELECOMMUNICATIONS SERVICES -- 0.8%
150 At Home Corporation,
4.750% 12/15/06....................... 100
235 PTEK Holdings, Inc.,
5.750% 07/01/04....................... 150
-------
250
-------
TOTAL CONVERTIBLE BONDS AND NOTES (Cost
$1,035)............................... 1,035
-------
CORPORATE BONDS AND NOTES -- 77.3%
AIRLINES -- 0.5%
140 Valujet Inc.,
10.250% 04/15/01...................... 132
-------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
APPAREL AND TEXTILES -- 0.4%
$ 130 Anvil Knitwear, Inc.,
10.875% 03/15/07...................... $ 116
-------
AUTOMOTIVE -- 0.5%
200 Mark IV Industries, Inc.,
7.500% 09/01/07....................... 156
-------
BROADCASTING AND CABLE -- 11.2%
165 Adelphia Communications Corporation,
9.375% 11/15/09....................... 150
140 Benedek Communications,
14.540%*** 05/15/06................... 123
125 Big City Radio, Inc.,
28.140%*** 03/15/05................... 68
315 British Sky Broadcasting Group plc,
6.875% 02/23/09....................... 274
215 Cablevision SA,
13.750% 04/30/07...................... 194
240 Charter Communications Holdings LLC,
8.625% 04/01/09....................... 215
460 Diamond Cable Communication Company,
13.250% 09/30/04...................... 480
275 Radio Unica Corporation,
14.370%*** 08/01/06................... 197
355 Rogers Cable Systems,
10.125% 09/01/12...................... 372
190 Sirius Satellite Radio Inc.,
14.500% 05/15/09...................... 169
70 United Pan-Europe Communications N.V.,
16.490%*** 08/01/09................... 33
110 United Pan-Europe Communications N.V.,
11.250% 02/01/10...................... 96
515 United Pan-Europe Communications N.V.,
11.500% 02/01/10...................... 446
205 United Pan-Europe Communications N.V.,
16.630%*** 02/01/10................... 93
385 UnitedGlobalCom Inc.,
12.910%*** 02/15/08................... 264
-------
3,174
-------
BUILDING MATERIALS -- 0.2%
90 Amatek Industries PTY, Ltd.,
12.000% 02/15/08...................... 69
-------
CHEMICALS -- BASIC -- 0.3%
115 Agricultural Minerals & Chemicals,
10.750% 09/30/03...................... 75
-------
CHEMICALS -- SPECIALTY -- 1.5%
230 CP Kelco
11.875% 09/15/10(-)................... 205
120 General Chemical Industrial Products,
10.625% 05/01/09...................... 96
65 Marsulex Inc.,
9.625% 07/01/08....................... 61
50 Sovereign Specialty Chemical,
11.875% 03/15/10...................... 51
-------
413
-------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
64
<PAGE> 69
NATIONS MASTER INVESTMENT TRUST
Nations High Yield Bond Master Portfolio
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
COMMERCIAL SERVICES -- 1.1%
$ 145 APCOA, Inc.,
9.250% 03/15/08....................... $ 53
120 Building One Services Corporation,
10.500% 05/01/09...................... 105
260 Intertek Finance plc,
10.250% 11/01/06...................... 91
210 Young America Corporation,
11.625% 02/15/06...................... 74
-------
323
-------
COMPUTER SERVICES -- 1.4%
420 Unisys Corporation,
7.875% 04/01/08....................... 385
-------
CONSUMER SERVICES -- 0.7%
85 Iron Age Corporation,
9.875% 05/01/08....................... 61
145 Jafra Cosmetics International, Inc.,
11.750% 05/01/08...................... 139
-------
200
-------
DEPARTMENT AND DISCOUNT STORES -- 0.7%
240 TM Group Holdings,
11.000% 05/15/08...................... 209
-------
DIVERSIFIED ELECTRONICS -- 0.5%
160 Knowles Electronics Inc.,
13.125% 10/15/09(-)................... 152
-------
DIVERSIFIED MANUFACTURING -- 1.1%
140 Desa International Inc.,
9.875% 12/15/07....................... 102
200 GenTek, Inc., 11.000% 08/01/09.......... 205
-------
307
-------
ELECTRIC POWER -- NON NUCLEAR -- 4.6%
650 AES Corporation,
9.375% 09/15/10....................... 660
170 AES Eastern Energy,
9.000% 01/02/17....................... 168
105 AES Eastern Energy,
9.670% 01/02/29....................... 105
120 Western Resources, Inc.,
6.250% 08/15/03....................... 108
315 Western Resources, Inc.,
6.875% 08/01/04....................... 283
-------
1,324
-------
ENERGY -- MISCELLANEOUS -- 1.7%
165 CMS Energy Corporation,
10.875% 12/15/04(-)................... 163
360 ESI Tractebel Acquisition Corporation,
7.990% 12/30/11....................... 324
-------
487
-------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
EXPLORATION AND PRODUCTION -- 1.6%
$ 200 Husky Oil Limited,
8.900% 08/15/28....................... $ 196
65 Ocean Energy, Inc.,
8.250% 07/01/18....................... 63
210 Triton Energy Limited,
8.875% 10/01/07(-).................... 210
-------
469
-------
FINANCE -- MISCELLANEOUS -- 0.7%
225 Golden State Holdings, Escrow
Corporation,
7.125% 08/01/05....................... 210
-------
HEALTH SERVICES -- 8.1%
310 Apria Healthcare Group Inc.,
9.500% 11/01/02....................... 310
245 Columbia/HCA Healthcare Corporation,
7.500% 11/15/95....................... 193
285 Fountain View Inc.,
11.250% 04/15/08...................... 80
355 Harborside Healthcare,
33.210%*** 08/01/08................... 71
545 Kelso and Company,
12.750% 10/01/09...................... 589
145 Magellan Health Services, Inc.,
9.000% 02/15/08....................... 96
205 Manor Care Inc.,
7.500% 06/15/06....................... 171
447 Multicare Companies Inc.,
9.000%*** 08/01/07(a)(b).............. 27
715 Per-Se Technologies, Inc., 9.500%
02/15/05.............................. 607
185 Team Health, Inc.,
12.000% 03/15/09...................... 170
-------
2,314
-------
HEAVY MACHINERY -- 0.3%
80 Harnischfeger Industries, Inc., 7.250%
12/15/25(a)(b)........................ 22
65 Thermadyne Manufacturing LLC,
9.875% 06/01/08....................... 50
-------
72
-------
INSURANCE -- 0.5%
150 Willis Corroon Corporation,
9.000% 02/01/09....................... 138
-------
LODGING AND RECREATION -- 7.4%
170 Argosy Gaming Company,
10.750% 06/01/09...................... 178
255 Bally Total Fitness Holding Corporation,
9.875% 10/15/07....................... 242
130 Boca Resorts, Inc.,
9.875% 04/15/09....................... 125
210 Hilton Hotels Corporation,
7.500% 12/15/17....................... 181
100 Intrawest Corporation,
10.500% 02/01/10...................... 103
270 ITT Corporation,
7.375% 11/15/15....................... 242
75 La Quinta Inns, Inc.,
7.400% 09/15/05....................... 56
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
65
<PAGE> 70
NATIONS MASTER INVESTMENT TRUST
Nations High Yield Bond Master Portfolio
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
LODGING AND RECREATION -- (CONTINUED)
$ 180 Mandalay Resort Group,
9.500% 08/01/08(-).................... $ 184
60 Mandalay Resort Group,
7.625% 07/15/13....................... 50
160 Pinnacle Entertainment, Inc.,
9.250% 02/15/07....................... 165
175 Royal Caribbean Cruises Limited,
7.250% 03/15/18....................... 140
125 Station Casinos, Inc.,
9.875% 07/01/10(-).................... 125
100 Vail Resorts, Inc.,
8.750% 05/15/09....................... 95
170 Venetian Casino Resort LLC, 12.250%
11/15/04.............................. 174
55 Venetian Casino/LV Sands, 14.250%
11/15/05.............................. 57
-------
2,117
-------
MEDICAL DEVICES AND SUPPLIES -- 1.1%
160 Alaris Medical Systems, 9.750%
12/01/06.............................. 117
260 Alaris Medical, Inc., 28.430%***
08/01/08.............................. 68
130 DJ Orthopedics LLC, 12.625% 06/15/09.... 122
-------
307
-------
METALS AND MINING -- 2.0%
220 Algoma Steel Inc., 12.375% 07/15/05..... 156
110 Commonwealth Industries, Inc., 10.750%
10/01/06.............................. 105
170 Great Central Mines Ltd., 8.875%
04/01/08.............................. 147
170 Ormet Corporation, 11.000%
08/15/08(-)........................... 158
-------
566
-------
NATURAL GAS DISTRIBUTION -- 0.2%
90 Energy Corporation of America, 9.500%
05/15/07.............................. 68
-------
OILFIELD SERVICES -- 0.3%
80 R&B Falcon Corporation, 9.500%
12/15/08.............................. 86
-------
PAPER AND FOREST PRODUCTS -- 0.7%
80 Pope and Talbot, Inc., 8.375%
06/01/13.............................. 75
125 Tembec Finance Corporation, 9.875%
09/30/05.............................. 126
-------
201
-------
PHARMACEUTICALS -- 1.0%
305 Caremark Rx, Inc., 7.375% 10/01/06...... 271
-------
PUBLISHING AND ADVERTISING -- 3.7%
270 American Color Graphics,
12.750% 08/01/05...................... 267
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
$ 130 Garden State Newspapers, Inc.,
8.750% 10/01/09....................... $ 121
35 Garden State Newspapers, Inc.,
8.625% 07/01/11....................... 33
190 Marvel Enterprises, Inc.,
12.000% 06/15/09...................... 152
90 Phoenix Color Corporation,
10.375% 02/01/09...................... 76
115 TS/F Communications Corporation,
10.375% 11/01/07...................... 107
295 Ziff Davis Media, Inc.,
12.000% 07/15/10(-)................... 292
-------
1,048
-------
RAILROADS, TRUCKING AND SHIPPING -- 1.0%
230 Pegasus Shipping Hellas,
11.875% 11/15/04(a)................... 78
230 Sea Containers Limited,
10.750% 10/15/06...................... 185
30 Sea Containers Limited,
7.875% 02/15/08....................... 20
-------
283
-------
REAL ESTATE -- 0.8%
250 CB Richar Ellis Services Inc.,
8.875% 06/01/06....................... 227
-------
REAL ESTATE INVESTMENT TRUSTS (REITS)
-- 3.1%
220 BF Saul,
9.750% 04/01/08....................... 189
175 Crescent Real Estate Equities LP,
7.000% 09/15/02....................... 164
170 Crescent Real Estate Equities LP,
7.500% 09/15/07....................... 143
255 Felcor Lodging LP,
9.500% 09/15/08(-).................... 253
155 Meditrust Companies,
7.820% 09/10/26....................... 126
-------
875
-------
RESTAURANTS -- 0.7%
210 Advantica Restaurant Group, Inc.,
11.250% 01/15/08...................... 118
125 CKE Restaurants, Inc.,
9.125% 05/01/09....................... 75
-------
193
-------
SEMICONDUCTORS -- 0.4%
117 ASAT Finance LLC,
12.500% 11/01/06(-)................... 123
-------
SPECIALTY STORES -- 0.7%
265 Hollywood Entertainment Corporation,
10.625% 08/15/04...................... 204
-------
TELECOMMUNICATIONS SERVICES -- 16.3%
160 360networks Inc.,
13.000% 05/01/08...................... 146
170 Call-Net Enterprises, Inc.,
23.150%*** 08/15/08................... 54
185 Call-Net Enterprises, Inc.,
9.375% 05/15/09....................... 87
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
66
<PAGE> 71
NATIONS MASTER INVESTMENT TRUST
Nations High Yield Bond Master Portfolio
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS SERVICES -- (CONTINUED)
$ 125 Call-Net Enterprises, Inc.,
22.710%*** 05/15/09................... $ 38
180 Centennial Communications,
10.750% 12/15/08...................... 176
55 CFW Communications Company,
13.000% 08/15/10(-)................... 51
85 COLO.com,
13.875% 03/15/10(-)................... 87
375 COLT Teleocom Group plc,
10.390%*** 12/15/06................... 341
95 Exodus Communications Inc.,
11.250% 07/01/08...................... 94
40 Exodus Communications, Inc.,
11.625% 07/15/10(-)................... 40
95 Flag Telecom Holdings Limited,
11.625% 03/30/10...................... 81
480 Hermes Europe Railtel BV,
11.500% 08/15/07...................... 240
155 HighwayMaster Communications, Inc.,
13.750% 09/15/05...................... 59
110 ICO Global Communications (Holdings)
Limited,
15.000% 08/01/05...................... 66
180 IMPSAT Fiber Networks, Inc.,
13.750% 02/15/05...................... 156
380 Millicom International Cellular SA,
15.030%*** 06/01/06................... 327
220 Nextel International Inc.,
14.380%*** 04/15/08................... 142
225 Nextel International Inc.,
12.750% 08/01/10(-)................... 221
160 Nextel Partners, Inc.,
11.000% 03/15/10(-)................... 161
380 NTL Communications Corporation,
11.875% 10/01/10(-)................... 371
160 Orion Network Systems, Inc.,
33.460%*** 01/15/07................... 54
245 Orius Capital Corporation,
12.750% 02/01/10(-)................... 257
165 Pagemart Nationwide,
15.000% 02/01/05...................... 152
150 PSINet, Inc.,
11.500% 11/01/08...................... 101
100 RCN Corporation,
10.000% 10/15/07...................... 74
60 RCN Corporation,
18.630%*** 10/15/07................... 32
30 RCN Corporation,
10.125% 01/15/10...................... 21
230 RCN Corporation, Series B,
18.340%*** 02/15/08................... 110
260 UIH Australia/Pacific Inc.,
14.240%*** 05/15/06................... 237
485 Voicestream Wireless,
10.375% 11/15/09...................... 524
115 Williams Communications Group, Inc.,
10.875% 10/01/09...................... 105
-------
4,605
-------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
(000) (000)
-------------------------------------------------------------
<C> <S> <C>
TOBACCO -- 0.3%
$ 115 Standard Commercial Corporation,
8.875% 08/01/05....................... $ 98
-------
TOTAL CORPORATE BONDS AND NOTES
(Cost $22,564)........................ 21,997
-------
FOREIGN BONDS AND NOTES -- 1.0%
130 Octel Developments plc,
10.000% 05/01/06...................... 122
160 Rogers Communications, Inc.,
8.875% 07/15/07....................... 160
-------
TOTAL FOREIGN BONDS AND NOTES
(Cost $286)........................... 282
-------
<CAPTION>
SHARES
---------
<C> <S> <C>
PREFERRED STOCKS -- 5.9%
BROADCASTING AND CABLE -- 1.9%
2,335 Adelphia Communications Corporation..... $ 231
3,000 Paxson Communications Corporation(c).... 313
-------
544
-------
CHEMICALS -- BASIC -- 1.0%
5,200 Hercules Trust II....................... 293
-------
EXPLORATION AND PRODUCTION -- 0.5%
105,000 R&B Falcon Corporation.................. 134
-------
FINANCE -- MISCELLANEOUS -- 0.0%+
1,080 Harborside Health (HBR)(c).............. 9
-------
REAL ESTATE INVESTMENT TRUSTS (REITS)
-- 1.4%
4,350 Sovereign REIT(-)....................... 389
-------
TELECOMMUNICATIONS SERVICES -- 1.1%
2,850 Nextel Communications, Inc.(c).......... 302
-------
TOTAL PREFERRED STOCKS
(Cost $1,650)......................... 1,671
-------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------
<C> <S> <C>
WARRANTS -- 0.0%+
(Cost $10)
$ 180 UbiquiTel Inc........................... 13
-------
SHORT TERM INVESTMENTS -- 4.4%
COMMERCIAL PAPER -- 4.4%
1,000 American Express Credit Corporation
6.510% 10/11/00....................... 998
250 General Electric Capital Corporation
6.520% 10/23/00....................... 249
-------
TOTAL SHORT TERM INVESTMENTS
(Cost $1,247)......................... 1,247
-------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
-------
<C> <S> <C>
INVESTMENT COMPANIES -- 4.7%
(Cost $1,343)
1,343 Nations Cash Reserves#.................. 1,343
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
67
<PAGE> 72
NATIONS MASTER INVESTMENT TRUST
Nations High Yield Bond Master Portfolio
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(000)
-----------------------------------------------------------
<C> <S> <C>
TOTAL INVESTMENTS
(Cost $28,464*).............. 98.2% 27,952
--------
OTHER ASSETS AND LIABILITIES
(NET)........................ 1.8%
Cash.................................. $ 518
Receivable for investment securities
sold................................ 552
Dividends receivable.................. 21
Interest receivable................... 642
Unrealized depreciation on forward
foreign exchange contracts.......... (2)
Investment advisory fee payable....... (12)
Administration fee payable............ (1)
Payable for investment securities
purchased........................... (1,099)
Accrued Trustees'/Directors' fees and
expenses............................ (12)
Accrued expenses and other
liabilities......................... (82)
--------
TOTAL OTHER ASSETS AND
LIABILITIES (NET)................... 525
--------
NET ASSETS..................... 100.0% $ 28,477
========
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized depreciation of $512 on
investment securities was comprised of gross appreciation of $553 and gross
depreciation of $1,065 for federal income tax purposes. At September 30,
2000, the aggregate cost of securities for federal income tax purposes was
$28,464.
*** Zero coupon security. The rate shown reflects the yield to maturity.
(!) 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%.
# Money market mutual fund registered under the Investment Company Act of
1940, as amended, and sub-advised by Banc of America Capital Management,
Inc.
(a) Issue in default.
(b) Issuer in bankruptcy.
(c) PIK ("Payment in kind"). Interest or dividend payment is made with
additional securities.
SEE NOTES TO FINANCIAL STATEMENTS.
68
<PAGE> 73
NATIONS MASTER INVESTMENT TRUST
STATEMENTS OF OPERATIONS (UNAUDITED)
For the six months ended September 30, 2000
<TABLE>
<CAPTION>
INTERMEDIATE BOND HIGH YIELD BOND
MASTER PORTFOLIO MASTER PORTFOLIO
------------------- -------------------
<S> <C> <C>
(IN THOUSANDS)
INVESTMENT INCOME:
Interest.................................................... $ 4,141 $ 1,164
Dividends................................................... -- 34
------------------- -------------------
Total investment income................................. 4,141 1,198
------------------- -------------------
EXPENSES:
Investment advisory fee..................................... 230 55
Administration fee.......................................... 29 5
Fund accounting fees and expenses........................... -- --
Custodian fees.............................................. 5 5
Legal and audit fees........................................ 20 37
Trustees' fees and expenses................................. 11 12
Other....................................................... 1 2
------------------- -------------------
Total expenses.......................................... 296 116
Fees reduced by credits allowed by the custodian............ (1) (1)
------------------- -------------------
Net expenses............................................ 295 115
------------------- -------------------
NET INVESTMENT INCOME....................................... 3,846 1,083
------------------- -------------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gain/(loss) from:
Security transactions....................................... (1,616) (158)
Futures..................................................... (47) --
Forward foreign exchange contracts, foreign currencies and
other net assets.......................................... -- 1
------------------- -------------------
Net realized gain/(loss) on investments..................... (1,663) (157)
------------------- -------------------
Change in unrealized appreciation/(depreciation) of:
Securities.................................................. 2,922 (329)
Futures..................................................... 10 --
Forward foreign exchange contracts, foreign currencies and
other net assets.......................................... -- (5)
------------------- -------------------
Net change in unrealized appreciation/(depreciation) of
investments............................................... 2,932 (334)
------------------- -------------------
Net realized and unrealized gain/(loss) on investments...... 1,269 (491)
------------------- -------------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS................................................ $ 5,115 $ 592
=================== ===================
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
69
<PAGE> 74
NATIONS MASTER INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
HIGH YIELD BOND
INTERMEDIATE BOND MASTER PORTFOLIO MASTER PORTFOLIO
-------------------------------------------------- --------------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED
9/30/00 PERIOD ENDED PERIOD ENDED 9/30/00 PERIOD ENDED
(UNAUDITED) 3/31/00 5/14/99(a) (UNAUDITED) 3/31/00(b)
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
(IN THOUSANDS)
Net investment income.................. $ 3,846 $ 7,371 $ 1,827 $ 1,083 $ 79
Net realized gain/(loss) on
investments.......................... (1,663) (2,483) (143) (157) 38
Net change in unrealized appreciation/
(depreciation) of investments........ 2,932 (2,726) (433) (334) (179)
-------------- -------------- -------------- -------------- --------------
Net increase/(decrease) in net assets
resulting from operations............ 5,115 2,162 1,251 592 (62)
Contributions.......................... 53,104 33,625 9,177 24,400 15,796
Withdrawals............................ (60,222) (72,179) (11,824) (10,015) (2,234)
-------------- -------------- -------------- -------------- --------------
Net increase/(decrease) in net
assets............................... (2,003) (36,392) (1,396) 14,977 13,500
NET ASSETS:
Beginning of period.................... 119,501 155,893 157,289 13,500 --
-------------- -------------- -------------- -------------- --------------
End of period.......................... $ 117,498 $ 119,501 $ 155,893 $ 28,477 $ 13,500
============== ============== ============== ============== ==============
</TABLE>
SUPPLEMENTARY DATA
<TABLE>
<CAPTION>
WITHOUT WAIVERS
AND/OR EXPENSE
REIMBURSEMENTS
---------------
RATIO OF RATIO OF NET RATIO OF
OPERATING INVESTMENT OPERATING
EXPENSES INCOME/(LOSS) PORTFOLIO EXPENSES TO
TO AVERAGE TO AVERAGE TURNOVER AVERAGE
NET ASSETS NET ASSETS RATE NET ASSETS
---------------------------------------------------------------------
<S> <C> <C> <C> <C>
INTERMEDIATE BOND MASTER PORTFOLIO:
Six months ended 9/30/2000 (unaudited)............ 0.51%+(c) 6.67%+ 58% 0.51%+(c)
Period ended 3/31/2000............................ 0.54+ 6.10+ 90 0.55+
Period ended 5/14/1999(a)......................... 0.38+ 5.61+ 19 0.42+
Year ended 2/28/1999(a)........................... 0.35 5.69 137 0.45
Year ended 2/28/1998(a)........................... 0.35 5.99 127 0.55
Year ended 2/28/1997(a)........................... 0.35 5.86 83 0.65
Year ended 2/29/1996(a)........................... 0.18 6.47 172 0.68
HIGH YIELD BOND MASTER PORTFOLIO:
Six months ended 9/30/2000 (unaudited)............ 1.15%+(c) 10.83%+ 36% 1.15%+(c)
Period ended 3/31/2000(b)......................... 2.82+ 5.16+ 26 2.86+
</TABLE>
---------------
+ Annualized.
(a) Represents financial information for the Pacific Horizon Intermediate Bond
Portfolio, which was reorganized into Intermediate Bond Master Portfolio on
May 21, 1999.
(b) High Yield Bond Master Portfolio commenced operations on February 14, 2000.
(c) The effect of the custodial expense offset (Note 2) on the operating expense
ratio, with and without waivers and/or expense reimbursements, was less than
0.01%.
SEE NOTES TO FINANCIAL STATEMENTS.
70
<PAGE> 75
NATIONS MASTER INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Nations Master Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. At September 30, 2000, the Trust offered nine separate
portfolios. These financial statements pertain only to Intermediate Bond Master
Portfolio and High Yield Bond Master Portfolio (each a "Master Portfolio" and
collectively, the "Master Portfolios"). Financial statements for the other
portfolios of the Trust are presented under separate cover.
The following investors were invested in the Master Portfolios at September 30,
2000:
<TABLE>
<S> <C>
Intermediate Bond Master Portfolio:
Nations Intermediate Bond Fund............... 81.7%
Nations Intermediate Bond Fund (Offshore).... 18.3%
High Yield Bond Master Portfolio:
Nations High Yield Bond Fund................. 88.8%
Nations High Yield Bond Fund (Offshore)...... 11.2%
</TABLE>
1. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in accordance with accounting principles
generally accepted in the United States of America requires management to make
certain estimates and assumptions that affect the reported amounts and
disclosures in the financial statements. Actual results could differ from those
estimates. The following is a summary of significant accounting policies
followed by the Master Portfolios in the preparation of their financial
statements.
Securities valuation: Securities are generally valued using prices provided by
a pricing service or based upon broker-dealer quotations. Certain prices
provided by broker-dealers or the pricing service may be based on a matrix
pricing system, which considers such factors as security prices, yields and
maturities. Restricted securities, securities for which market quotations are
not readily available, and certain other assets may be 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.
Futures contracts: The Intermediate Bond Master Portfolio and High Yield Bond
Master Portfolio may invest in futures contracts. Upon entering into a futures
contract, a Master Portfolio is required to deposit with the broker an amount of
cash or liquid securities equal to a specified percentage of the contract
amount. This is known as the "initial margin." Subsequent payments ("variation
margin") are made or received by a Master Portfolio each day, depending on the
daily fluctuation of the value of the contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as an unrealized gain or loss by "marking-to-market" on
a daily basis to reflect the market value of the contract. When the contract is
closed, a Master Portfolio records a realized gain or loss equal to the
difference between the value of the contract on the closing date and the value
of the contract when originally entered into.
Risks of investments in futures contracts include the possible adverse movement
of the securities or indices underlying the contracts, the possibility that
there may not be a liquid secondary market for the contracts, that a change in
the value of the contract may not correlate with changes in the value of the
underlying securities, or that the counterparty to a contract may default on its
obligation to perform.
Foreign currency translation: The books and records of the Master Portfolios
are maintained in U.S. dollars. Foreign currencies, investments and other assets
and liabilities are translated into U.S. dollars at the current exchange rates.
Purchases and sales of investment securities and income and expenses are
translated on the respective dates of such transactions. Net realized foreign
currency gains and losses resulting from changes in exchange rates include
foreign currency gains and losses between trade date and settlement date of
securities transactions, foreign currency transactions and the difference
between the amounts of interest and dividends recorded on the books of a Master
Portfolio and the amounts actually received. The effects of changes in foreign
currency exchange rates on securities are not separately stated in the
Statements of operations from the effects of changes in market prices of those
securities, but are included with the net realized and unrealized gain or loss
on securities.
Forward foreign currency transactions: Generally, a Master Portfolio may enter
into forward currency exchange contracts only under two circumstances: (i) when
a Master Portfolio enters into a contract for the purchase or sale of a security
denominated in a foreign currency, to "lock" in the U.S. exchange rate of the
transaction, with such period being a short-dated contract covering the period
between transaction date and settlement date; and (ii) when the investment
adviser or sub-adviser believes that the currency of a particular foreign
country may experience a substantial movement against the U.S. dollar. Forward
foreign currency contracts are valued at the forward rate and are marked-
71
<PAGE> 76
NATIONS MASTER INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
to-market daily. The change in market value is recorded by a Master Portfolio as
an unrealized gain or loss. When the contract is closed or offset with the same
counterparty, a Master Portfolio records a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
value at the time it was closed or offset.
Forward foreign currency contracts will be used primarily to protect the Master
Portfolios from adverse currency movements and will generally not be entered
into for terms greater than one year. The use of forward foreign currency
contracts does not eliminate fluctuations in the underlying prices of a Master
Portfolio's investment securities; however, it does establish a rate of exchange
that can be achieved in the future. The use of forward contracts involves the
risk that anticipated currency movements will not be accurately predicted. A
forward contract would limit the risk of loss due to a decline in the value of a
particular currency; however, it also would limit any potential gain that might
result should the value of the currency increase instead of decrease. These
contracts may involve market risk in excess of the unrealized gain or loss
reflected in the Statements of net assets. In addition, the Master Portfolios
could be exposed to risks if counterparties to the contracts are unable to meet
the terms of their contracts. The counterparty risk exposure is, therefore,
closely monitored and contracts are only executed with high credit quality
financial institutions.
Securities transactions and investment income: Securities transactions are
accounted for on trade date. Realized gains and losses are computed based on the
specific identification of securities sold. Interest income, adjusted for
accretion of discounts and amortization of premiums, is earned from settlement
date and recorded on an accrual basis. Dividend income is recorded on ex-
dividend date.
Securities purchased or sold on a when-issued or delayed-delivery basis may be
settled a month or more after trade date; interest income is not accrued until
settlement date. At the time a Master Portfolio enters into such transactions,
it instructs the custodian to segregate assets with a current value at least
equal to the amount of its when-issued or delayed-delivery purchase commitments.
Federal income taxes: The Master Portfolios are treated as partnerships for
federal income tax purposes and therefore are not subject to federal income tax.
Each investor in the Master Portfolios will be taxed on its allocated share of
the Master Portfolio's ordinary income and capital gains.
Expenses: General expenses of the Trust are allocated to the Master Portfolios
based upon their relative net assets or other expense allocation methodologies
determined by the nature of the expense. Expenses directly attributable to a
Master Portfolio are charged to such Master Portfolio.
2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED
PARTY TRANSACTIONS
The Trust has entered into an investment advisory agreement (the "Investment
Advisory Agreement") with Banc of America Advisors, Inc. ("BAAI"), a wholly-
owned subsidiary of Bank of America, N.A. ("Bank of America"), which in turn is
a wholly-owned banking subsidiary of Bank of America Corporation, a bank holding
company organized as a Delaware corporation, pursuant to which BAAI provides
investment advisory services to the Master Portfolios. Under the terms of the
Investment Advisory Agreement, BAAI is entitled to receive an advisory fee,
calculated daily and payable monthly, based on the following annual rates
multiplied by the average daily net assets of each Master Portfolio:
<TABLE>
<CAPTION>
ANNUAL
RATE
------
<S> <C>
Intermediate Bond Master Portfolio............ 0.40%
High Yield Bond Master Portfolio.............. 0.55%
</TABLE>
The Trust has, on behalf of the Intermediate Bond Master Portfolio, entered into
a sub-advisory agreement with BAAI and Banc of America Capital Management, Inc.
("BACAP"), a wholly-owned subsidiary of Bank of America, pursuant to which BACAP
is entitled to receive a sub-advisory fee from BAAI at the maximum annual rate
of 0.15% of the Master Portfolio's average daily net assets.
The Trust has, on behalf of the High Yield Bond Master Portfolio, entered into a
sub-advisory agreement with BAAI and MacKay Shields LLC ("MacKay Shields")
pursuant to which MacKay Shields is entitled to receive a sub-advisory fee from
BAAI at the maximum annual rate of 0.40% of the Master Portfolio's average daily
net assets up to and including $100 million; 0.375% over $100 million and up to
and including $200 million and 0.35% over $200 million.
Stephens Inc. ("Stephens") and BAAI serve as co-administrators of the Trust.
Under the co-administration agreements, Stephens and BAAI are currently entitled
to receive a combined fee, computed daily and paid monthly, at the maximum
annual rate of 0.05% of each Master Portfolio's average daily net assets. The
Bank of
72
<PAGE> 77
NATIONS MASTER INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
New York ("BNY") serves as sub-administrator of the Trust pursuant to an
agreement with BAAI. For the six months ended September 30, 2000, BAAI earned
0.05% of each Master Portfolio's average daily net assets for its
co-administration services.
BNY serves as the custodian of the Trust's assets. For the six months ended
September 30, 2000, expenses of the Master Portfolios were reduced by $1,311
under expense offset arrangements with BNY. The Master Portfolios could have
invested a portion of the assets utilized in connection with the expense offset
arrangements in an income producing asset if they had not entered into such
arrangements.
No officer, director or employee of Bank of America, BAAI or BACAP, or any
affiliate thereof, receives any compensation from the Trust for serving as a
Trustee or Officer of the Trust.
The Trust's eligible Trustees may participate in non-qualified deferred
compensation and retirement plans which may be terminated at any time. All
benefits provided under these plans are unfunded and any payments to plan
participants are paid solely out of the Master Portfolios' assets. Income earned
on each plan participant's deferral account is tied to the rate of return of the
eligible mutual funds selected by the participants or, if no funds are selected,
to the rate of return of Nations Treasury Fund, a portfolio of Nations Fund,
Inc., another registered investment company in the Nations Funds family. The
expense for the deferred compensation and retirement plans is included in
"Trustees' fees and expenses" in the Statements of operations.
The Master Portfolios have made daily investments of cash balances in the
Nations Cash Reserves, a portfolio of Nations Reserves, pursuant to an exemptive
order received from the Securities and Exchange Commission. For the six months
ended September 30, 2000, the Master Portfolios earned $140,027 in the aggregate
from such investments, which is included in interest income.
3. PURCHASES AND SALES OF SECURITIES
The aggregate cost of purchases and proceeds from sales of securities, excluding
long-term U.S. government securities and short-term investments, for the six
months ended September 30, 2000 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
PORTFOLIO (000) (000)
-------------------------------------------------------
<S> <C> <C>
Intermediate Bond Master
Portfolio....................... $21,528 $9,617
High Yield Bond Master
Portfolio....................... 21,407 6,147
</TABLE>
The aggregate cost of purchases and proceeds from sales of long-term U.S.
government securities for the six months ended September 30, 2000 were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
PORTFOLIO (000) (000)
-------------------------------------------------------
<S> <C> <C>
Intermediate Bond Master
Portfolio...................... $45,503 $55,567
</TABLE>
4. FUTURES CONTRACTS
At September 30, 2000, the following Master Portfolio had futures contracts
open:
<TABLE>
<CAPTION>
VALUE OF
CONTRACT MARKET UNREALIZED
WHEN VALUE OF APPRECIATION/
NUMBER OF OPENED CONTRACTS (DEPRECIATION)
DESCRIPTION CONTRACTS (000) (000) (000)
----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INTERMEDIATE BOND MASTER
PORTFOLIO:
U.S. 5 year Treasury note
(short position)
expiring December
2000(a)................ 60 $6,032 $5,989 $(43)
U.S. 2 year Treasury note
(long position)
expiring December
2000(a)................ 25 4,979 5,000 21
</TABLE>
---------------
(a) Securities have been segregated as collateral for the Intermediate Bond
Master Portfolio for open futures contracts.
5. OPEN FORWARD FOREIGN CURRENCY CONTRACTS
At September 30, 2000, High Yield Bond Master Portfolio had the following open
forward foreign currency contracts:
<TABLE>
<CAPTION>
NET
CONTRACT VALUE COST VALUE UNREALIZED
TO LOCAL US$ US$ DEPRECIATION
EXPIRATION DATE DELIVER CURRENCY (000) (000) (000)
-------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Contracts to Sell:
12/07/00............. Euro 230,000 $202 $204 $(2)
</TABLE>
6. LINES OF CREDIT
The Trust participates with other Nations Funds in an uncommitted line of credit
provided by BNY under a line of credit agreement (the "Agreement"). Advances
under the Agreement are taken primarily for temporary or emergency purposes,
including the meeting of redemption requests that otherwise might require the
untimely disposition of securities. Interest on borrowings is payable at a
specified Federal Funds rate plus 0.50% on an annualized basis. Each
participating Master Portfolio
73
<PAGE> 78
NATIONS MASTER INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
maintains a ratio of no less than 4 to 1 net assets (not including amounts
borrowed pursuant to the Agreement) to the aggregate amount of indebtedness
pursuant to the Agreement.
At September 30, 2000, there were no loans outstanding under this Agreement. For
the six months ended September 30, 2000, there were no borrowings by the Master
Portfolios under the Agreement.
The Trust also participates with other Nations Funds in a committed line of
credit provided by BNY. Interest on borrowings under the committed line is
payable at a specified Federal Funds rate plus 0.50% on an annualized basis. A
facility fee of 0.09% per annum of the total amounts available under the line of
credit is charged, of which each Master Portfolio pays its pro rata share. This
fee is paid quarterly in arrears. Each participating Master Portfolio is
required to maintain an asset coverage ratio of at least 300% under the terms of
the arrangement. For the six months ended September 30, 2000, there were no
borrowings by the Master Portfolios under the committed line of credit.
7. SECURITIES LENDING
Under an agreement with BNY, the Master Portfolios can lend their securities to
approved brokers, dealers and other financial institutions. Loans are
collateralized by cash, in an amount at least equal to the market value of the
securities loaned. The cash collateral received is invested in Nations Cash
Reserves. A portion of the income generated by the investment of the collateral,
net of any rebates paid by BNY to borrowers, is remitted to BNY as lending
agent, and the remainder is paid to the Master Portfolios. Generally, in the
event of counterparty default, the Master Portfolio has the right to use the
collateral to offset losses incurred. There would be a potential loss to the
Master Portfolio in the event the Master Portfolio is delayed or prevented from
exercising its right to dispose of the collateral. The Master Portfolio bears
the risk of loss with respect to the investment of collateral.
At September 30, 2000, the Master Portfolios were not involved in securities
lending.
8. REORGANIZATION OF MASTER INVESTMENT TRUST, SERIES I
On May 21, 1999, Intermediate Bond Master Portfolio, a newly established
portfolio, acquired the assets and liabilities of the Pacific Horizon
Intermediate Bond Master Portfolio ("Acquired Portfolio"), a series of Master
Investment Trust, Series I, pursuant to a plan of reorganization approved by its
investors. The acquisition was accomplished by a tax-free exchange of shares of
Intermediate Bond Master Portfolio in an amount equal to the outstanding
interests of the Acquired Portfolio. The financial statements of the
Intermediate Bond Master Portfolio reflect the historical financial results of
the Acquired Portfolio prior to the reorganization. Additionally, the fiscal
year end of the Intermediate Bond Master Portfolio for financial reporting
purposes was changed to coincide with that of the Trust.
74
<PAGE> 79
P.O. Box 34602
Charlotte, NC 28254-4602
Toll free 1.800.321.7854
NATIONS FUNDS
FIXEDSAR (9/00)
