<PAGE> 1
[GRAPHIC: HAND WITH PUZZLE PIECES] Nations LargeCap
Index Fund
Nations Managed
Index Fund
Nations MidCap
Index Fund
Nations SmallCap
Index Fund
INDEX 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 LargeCap Index Fund 3
Nations Managed Index Fund 10
Nations MidCap Index Fund 14
Nations SmallCap Index Fund 20
Statements of operations 27
Statements of changes in net assets 28
Schedules of capital stock activity 30
Financial highlights 34
Notes to financial statements 42
</TABLE>
<TABLE>
<S> <C>
------------------------------------------------------------------------------
NATIONS FUNDS
RECOGNIZED FOR
OUTSTANDING
CUSTOMER SERVICE
IN RECOGNITION OF ITS COMMITMENT [DALBAR MUTUAL FUND SERVICE AWARD
TO PROVIDE SHAREHOLDERS WITH THE GRAPHIC AND HONORS COMMITMENT TO:
HIGHEST LEVEL OF CUSTOMER SERVICE FINANCIAL INTERMEDIARIES 1999
IN THE MUTUAL FUND INDUSTRY, GRAPHIC]
NATIONS FUNDS RECEIVED THE DALBAR
MUTUAL FUND SERVICE AWARD IN 1999. DALBAR, Inc., is a well-respected
research firm that measures
customer service levels and
establishes benchmarks in the
financial services industry.
------------------------------------------------------------------------------
</TABLE>
"Standard & Poor's" and "Standard & Poor's 500" are
trademarks of The McGraw-Hill Companies, Inc.
<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 LargeCap Index Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 96.5%
AEROSPACE AND DEFENSE -- 1.0%
20,200 B.F. Goodrich Company............... $ 792
178,200 Boeing Company...................... 11,226
39,400 General Dynamics Corporation........ 2,475
159,100 Honeywell International Inc. ....... 5,668
84,800 Lockheed Martin Corporation......... 2,795
14,200 Northrop Grumman Corporation........ 1,290
67,500 Raytheon Company, Class B........... 1,920
24,600 TRW Inc. ........................... 999
----------
27,165
----------
AIRLINES -- 0.1%
24,300 Delta Air Lines, Inc. .............. 1,078
99,000 Southwest Airlines Company.......... 2,401
13,300 US Airways Group Inc.(!)............ 405
----------
3,884
----------
APPAREL AND TEXTILES -- 0.1%
10,600 Liz Claiborne Inc. ................. 408
8,100 National Service Industries,
Inc. ............................. 158
53,600 Nike, Inc., Class B................. 2,148
11,300 Reebok International, Ltd.(!)....... 213
6,500 Russell Corporation................. 103
3,800 Springs Industries Inc., Class A.... 107
22,700 V.F. Corporation.................... 560
----------
3,697
----------
AUTOMOTIVE -- 0.9%
25,300 AutoZone Inc.(!).................... 574
14,400 Cooper Tire & Rubber Company........ 145
29,600 Dana Corporation.................... 636
111,200 Delphi Automotive Systems
Corporation....................... 1,682
14,500 Eaton Corporation................... 894
375,900 Ford Motor Company(!)............... 9,515
106,500 General Motors Corporation.......... 6,923
34,700 Genuine Parts Company............... 661
31,100 Goodyear Tire & Rubber Company...... 560
17,100 Johnson Controls Inc. .............. 910
11,800 Navistar International
Corporation(!).................... 353
15,200 PACCAR, Inc. ....................... 563
11,700 Snap-On Inc. ....................... 276
26,000 Visteon Corporation................. 393
----------
24,085
----------
BEVERAGES -- 2.1%
7,300 Adolph Coors Company, Class B....... 461
180,000 Anheuser-Busch Companies, Inc. ..... 7,616
13,600 Brown-Forman Corporation, Class B... 745
491,900 Coca-Cola Company(++)............... 27,116
83,100 Coca-Cola Enterprises Inc. ......... 1,324
286,600 PepsiCo, Inc. ...................... 13,184
86,700 Seagram Company Ltd. ............... 4,980
----------
55,426
----------
BROADCASTING AND CABLE -- 2.6%
116,300 Clear Channel Communications,
Inc.(!)........................... 6,571
179,700 Comcast Corporation, Class A(!)..... 7,356
262,800 Time Warner Inc. ................... 20,564
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
BROADCASTING AND CABLE -- (CONTINUED)
301,200 Viacom Inc., Class B(!)............. $ 17,620
414,000 Walt Disney Company................. 15,836
----------
67,947
----------
CHEMICALS -- BASIC -- 0.8%
45,500 Air Products & Chemicals Inc. ...... 1,638
134,700 Dow Chemical Company................ 3,359
207,100 E.I. duPont de Nemours and
Company........................... 8,581
15,200 Eastman Chemical Company............ 561
25,400 Ecolab, Inc. ....................... 916
6,000 FMC Corporation(!).................. 402
21,300 Hercules, Inc. ..................... 301
13,300 Mallinckrodt Group Inc. ............ 607
34,500 PPG Industries, Inc. ............... 1,369
31,400 Praxair Inc. ....................... 1,174
43,000 Rohm & Haas Company................. 1,250
26,800 Union Carbide Corporation........... 1,012
----------
21,170
----------
CHEMICALS -- SPECIALTY -- 0.1%
13,900 Ashland Inc. ....................... 468
25,400 Engelhard Corporation............... 413
10,400 Great Lakes Chemical Corporation.... 305
16,000 Sigma-Aldrich Corporation........... 528
13,300 W.R. Grace & Company(!)............. 91
----------
1,805
----------
COMMERCIAL BANKING -- 6.8%
74,800 AmSouth Bancorporation.............. 935
229,500 Banc One Corporation................ 8,864
146,600 Bank of New York Inc. .............. 8,219
326,200 BankAmerica Corporation>........... 17,085
79,400 BB&T Corporation.................... 2,392
41,700 Charter One Financial, Inc. ........ 1,016
259,900 Chase Manhattan Corporation......... 12,004
893,499 Citigroup Inc.(++).................. 48,306
31,100 Comerica Inc. ...................... 1,817
92,400 Fifth Third Bancorp................. 4,978
195,600 First Union Corporation............. 6,296
190,300 Firstar Corporation................. 4,258
179,200 FleetBoston Financial Corporation... 6,989
31,400 Golden West Financial Corporation... 1,684
49,900 Huntington Bancshares
Incorporated...................... 733
31,600 J.P. Morgan & Company Inc. ......... 5,163
85,500 KeyCorp............................. 2,164
97,000 Mellon Financial Corporation........ 4,498
120,600 National City Corporation........... 2,668
27,200 Old Kent Financial Corporation...... 787
57,400 PNC Bank Corporation................ 3,731
43,500 Regions Financial Corporation....... 987
33,400 SouthTrust Corporation.............. 1,050
34,500 Summit Bancorp...................... 1,190
59,200 SunTrust Banks, Inc. ............... 2,949
148,100 U.S. Bancorp........................ 3,369
26,800 Union Planters Corporation.......... 886
40,400 Wachovia Corporation................ 2,290
107,000 Washington Mutual, Inc. ............ 4,260
327,000 Wells Fargo Company................. 15,022
----------
176,590
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
3
<PAGE> 8
NATIONS FUNDS
Nations LargeCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
COMMERCIAL SERVICES -- 0.4%
39,100 Allied Waste Industries, Inc.(!).... $ 359
48,400 Franklin Resources, Inc. ........... 2,150
19,500 H & R Block, Inc. .................. 723
61,100 Interpublic Group Companies,
Inc. ............................. 2,081
35,300 Omnicom Group Inc. ................. 2,574
8,900 Polaroid Corporation................ 120
23,000 Quintiles Transnational
Corporation(!).................... 367
24,100 T. Rowe Price Associates, Inc. ..... 1,131
123,500 Waste Management, Inc. ............. 2,154
----------
11,659
----------
COMPUTER SERVICES -- 1.6%
458,600 America Online Inc. ................ 24,649
124,600 Automatic Data Processing Inc. ..... 8,333
33,400 Computer Sciences Corporation(!).... 2,480
28,100 Equifax Inc. ....................... 757
73,900 Paychex, Inc. ...................... 3,880
23,600 Sapient Corporation................. 960
----------
41,059
----------
COMPUTERS AND OFFICE EQUIPMENT -- 7.9%
19,700 Adaptec, Inc.(!).................... 394
64,500 Apple Computer Inc. ................ 1,661
28,800 Ceridian Corporation(!)............. 808
337,600 Compaq Computer Corporation......... 9,311
513,800 Dell Computer Corporation(!)........ 15,831
433,000 EMC Corporation..................... 42,922
64,000 Gateway Inc.(!)..................... 2,992
198,100 Hewlett-Packard Company............. 19,216
59,000 IMS Health Inc. .................... 1,224
349,700 International Business Machines
Corporation....................... 39,341
25,300 Lexmark International Group, Inc.,
Class A(!)........................ 949
19,100 NCR Corporation(!).................. 722
62,000 Network Appliance, Inc. ............ 7,897
112,200 Palm, Inc.(!)....................... 5,940
9,800 PerkinElmer, Inc. .................. 1,023
50,700 Pitney Bowes, Inc. ................. 1,999
30,100 Sanmina Corporation................. 2,818
45,500 Seagate Technology Inc.(!).......... 3,140
119,500 Solectron Corporation............... 5,512
315,100 Sun Microsystems, Inc. ............. 36,788
9,500 Tektronix, Inc. .................... 730
62,200 Unisys Corporation(!)............... 700
132,400 Xerox Corporation................... 1,994
----------
203,912
----------
CONGLOMERATES -- 1.2%
40,300 Dover Corporation................... 1,892
15,000 Fluor Corporation................... 450
36,800 Rockwell International
Corporation....................... 1,113
28,500 Textron Inc. ....................... 1,315
52,400 TXU Corporation..................... 2,076
334,600 Tyco International Ltd. ............ 17,357
93,000 United Technologies Corporation..... 6,440
20,000 Vulcan Materials Company............ 804
----------
31,447
----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
CONSUMER CREDIT AND MORTGAGES -- 1.8%
264,500 American Express Company............ $ 16,069
200,100 Fannie Mae.......................... 14,307
93,800 Household International, Inc. ...... 5,311
169,200 MBNA Corporation.................... 6,514
28,400 Providian Financial Corporation..... 3,607
30,800 USA Education Inc. ................. 1,484
----------
47,292
----------
CONSUMER SERVICES -- 0.1%
88,800 Costco Wholesale Corporation........ 3,102
23,200 Harrah's Entertainment Inc.(!)...... 638
----------
3,740
----------
DEPARTMENT AND DISCOUNT STORES -- 2.3%
22,100 Consolidated Stores Corporation(!).. 298
18,600 Dillards, Inc., Class A............. 198
65,300 Dollar General Corporation.......... 1,094
41,300 Federated Department Stores,
Inc.(!)........................... 1,079
51,900 J.C. Penney Company, Inc. .......... 613
95,300 K Mart Corporation(!)............... 572
65,500 Kohls Corporation................... 3,779
63,100 May Department Stores Company....... 1,294
68,100 Sears, Roebuck and Company.......... 2,208
180,700 Target Corporation.................. 4,630
42,900 Toys R Us, Inc.(!).................. 697
887,000 Wal-Mart Stores, Inc.(++)........... 42,686
----------
59,148
----------
DIVERSIFIED ELECTRONICS -- 0.1%
61,600 LSI Logic Corporation............... 1,802
----------
DIVERSIFIED MANUFACTURING -- 5.6%
16,100 Allegheny Technologies Inc. ........ 292
26,300 Bethlehem Steel Corporation(!)...... 79
16,500 Black & Decker Corporation.......... 564
12,100 Crane Company....................... 277
28,200 Danaher Corporation................. 1,403
61,100 Eastman Kodak Company............... 2,497
31,200 Fortune Brands Inc. ................ 827
1,967,100 General Electric Company(++)........ 113,476
209,100 Gillette Company.................... 6,456
17,500 ITT Industries, Inc. ............... 568
9,200 Millipore Corporation............... 446
259,800 Procter & Gamble Company............ 17,407
32,300 Sherwin-Williams Company............ 690
----------
144,982
----------
ELECTRIC POWER -- NON NUCLEAR -- 1.9%
90,700 AES Corporation..................... 6,212
27,200 Ameren Corporation.................. 1,139
63,900 American Electric Power Inc. ....... 2,500
31,700 C P&L, Inc. ........................ 1,321
31,600 CINergy Corporation................. 1,045
21,800 CMS Energy Corporation.............. 587
42,100 Consolidated Edison, Inc. .......... 1,437
29,700 Constellation Energy................ 1,478
47,200 Dominion Resources, Inc. ........... 2,741
73,100 Duke Energy Corporation............. 6,267
64,700 Edison International................ 1,250
44,300 Entergy Corporation................. 1,650
45,400 FirstEnergy Corporation............. 1,223
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
4
<PAGE> 9
NATIONS FUNDS
Nations LargeCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
ELECTRIC POWER -- NON NUCLEAR --
(CONTINUED)
19,600 Florida Progress Corporation........ $ 1,038
35,300 FPL Group Inc. ..................... 2,321
24,100 GPU, Inc. .......................... 782
76,600 P G & E Corporation................. 1,853
33,700 PECO Energy Company................. 2,041
16,800 Pinnacle West Capital Corporation... 855
28,700 PPL Corporation..................... 1,198
42,600 Public Service Enterprise Group..... 1,904
128,800 Southern Company.................... 4,177
34,900 Unicom Corporation.................. 1,961
67,400 Xcel Energy Inc.(!)................. 1,854
----------
48,834
----------
ELECTRICAL EQUIPMENT -- 0.4%
45,200 Conexant Systems Inc. .............. 1,893
84,800 Emerson Electric Company............ 5,681
39,000 Molex Inc. ......................... 2,123
11,500 Thomas & Betts Corporation.......... 201
18,600 W.W. Grainger Inc. ................. 489
----------
10,387
----------
ENERGY -- MISCELLANEOUS -- 0.2%
15,800 Columbia Energy Group............... 1,122
25,300 Devon Energy Corporation............ 1,522
58,400 Reliant Energy Inc. ................ 2,715
----------
5,359
----------
FINANCE -- MISCELLANEOUS -- 0.7%
144,700 Associates First Capital
Corporation....................... 5,499
39,000 Capital One Financial Corporation... 2,732
22,700 Countrywide Credit Industries,
Inc. ............................. 857
138,000 Freddie Mac......................... 7,460
56,400 Synovus Financial Corporation....... 1,195
52,100 The CIT Group, Inc. ................ 912
----------
18,655
----------
FOOD AND DRUG STORES -- 0.4%
84,000 Albertson's Inc. ................... 1,764
98,700 Safeway, Inc.(!).................... 4,608
26,300 Supervalu Inc. ..................... 396
164,000 The Kroger Company(!)............... 3,700
28,000 Winn-Dixie Stores Inc. ............. 403
----------
10,871
----------
FOOD PRODUCTS -- 1.4%
125,600 Archer-Daniels-Midland Company...... 1,083
55,100 Bestfoods........................... 4,009
83,600 Campbell Soup Company............... 2,163
105,900 ConAgra Inc. ....................... 2,125
56,700 General Mills Inc. ................. 2,013
69,000 H.J. Heinz Company.................. 2,557
27,200 Hershey Foods Corporation........... 1,472
80,600 Kellogg Company..................... 1,950
64,800 Nabisco Group Holdings
Corporation....................... 1,847
26,300 Quaker Oats Company................. 2,081
61,000 Ralston Purina Group................ 1,445
172,700 Sara Lee Corporation................ 3,508
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
FOOD PRODUCTS -- (CONTINUED)
66,200 SYSCO Corporation................... $ 3,066
113,500 Unilever NV, ADR.................... 5,476
22,600 Wm. Wrigley Jr. Company............. 1,692
----------
36,487
----------
HEALTH SERVICES -- 0.5%
110,800 HCA - The Healthcare Company........ 4,114
76,600 HEALTHSOUTH Corporation(!).......... 622
33,000 Humana Inc.(!)...................... 355
20,300 Manor Care, Inc.(!)................. 318
56,400 McKesson HBOC, Inc. ................ 1,724
62,500 Tenet Healthcare Corporation........ 2,273
31,900 UnitedHealth Group Inc.(!).......... 3,150
12,500 Wellpoint Health Networks Inc.(!)... 1,200
----------
13,756
----------
HEAVY MACHINERY -- 0.5%
4,300 Briggs & Stratton Corporation....... 163
68,700 Caterpillar Inc. ................... 2,320
18,500 Cooper Industries Inc. ............. 652
8,200 Cummins Engine Company, Inc. ....... 245
46,600 Deere & Company..................... 1,549
59,900 Illinois Tool Works, Inc. .......... 3,348
32,000 Ingersoll-Rand Company.............. 1,084
12,300 McDermott International Inc. ....... 135
24,500 Pall Corporation.................... 488
22,200 Parker Hannifin Corporation......... 749
34,400 Thermo Electron Corporation(!)...... 894
12,000 Timken Company...................... 164
----------
11,791
----------
HOUSEHOLD PRODUCTS -- 0.7%
11,100 Alberto-Culver Company, Class B..... 320
47,200 Avon Products, Inc. ................ 1,929
114,100 Colgate-Palmolive Company........... 5,386
19,800 International Flavors & Fragrances,
Inc. ............................. 361
106,900 Kimberly-Clark Corporation.......... 5,966
52,900 Newell Rubbermaid Inc. ............. 1,207
46,600 The Clorox Company.................. 1,844
----------
17,013
----------
HOUSING AND FURNISHING -- 0.2%
8,300 Armstrong Holdings.................. 99
11,700 Centex Corporation.................. 376
9,600 Kaufman & Broad Home Corporation.... 259
39,000 Leggett and Platt Incorporated...... 617
90,800 Masco Corporation................... 1,691
15,400 Maytag Corporation.................. 478
11,400 Owens Corning....................... 30
8,000 Pulte Corporation................... 264
17,100 Stanley Works....................... 394
14,200 Whirlpool Corporation............... 552
----------
4,760
----------
INSURANCE -- 3.5%
28,000 Aetna Life and Casualty Company..... 1,626
52,700 Aflac, Inc. ........................ 3,376
145,800 Allstate Corporation................ 5,067
50,200 American General Corporation........ 3,916
459,500 American International Group,
Inc. ............................. 43,967
50,600 Aon Corporation..................... 1,986
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
5
<PAGE> 10
NATIONS FUNDS
Nations LargeCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
INSURANCE -- (CONTINUED)
34,700 Chubb Corporation................... $ 2,746
31,300 CIGNA Corporation................... 3,268
32,000 Cincinnati Financial Corporation.... 1,136
64,600 Conseco Inc. ....................... 493
44,500 Hartford Financial Services Group,
Inc. ............................. 3,246
20,500 Jefferson-Pilot Corporation......... 1,391
37,900 Lincoln National Corporation
Ltd. ............................. 1,824
19,600 Loews Corporation................... 1,634
53,900 Marsh & McLennan Companies Inc. .... 7,155
19,500 MBIA Inc. .......................... 1,387
21,100 MGIC Investment Corporation......... 1,290
14,600 Progressive Corporation............. 1,195
25,300 SAFECO Corporation.................. 689
44,400 The St. Paul Companies, Inc. ....... 2,189
25,300 Torchmark Corporation............... 704
47,800 UnumProvident Corporation........... 1,303
----------
91,588
----------
INTEGRATED OIL -- 4.9%
17,900 Amerada Hess Corporation............ 1,198
48,300 Anadarko Petroleum Corporation...... 3,210
24,300 Apache Corporation.................. 1,437
42,800 Burlington Resources Inc. .......... 1,576
129,600 Chevron Corporation................. 11,048
123,700 Conoco, Inc. ....................... 3,332
691,900 Exxon Mobil Corporation(++)......... 61,666
18,700 Kerr-McGee Corporation.............. 1,239
73,300 Occidental Petroleum Corporation.... 1,599
50,600 Phillips Petroleum Company.......... 3,175
425,900 Royal Dutch Petroleum Company....... 25,527
17,300 Sunoco, Inc. ....................... 466
109,500 Texaco Inc. ........................ 5,749
41,800 Transocean Sedco Forex Inc. ........ 2,451
48,200 Unocal Corporation.................. 1,708
62,000 USX-Marathon Group Inc. ............ 1,759
----------
127,140
----------
INVESTMENT SERVICES -- 2.2%
21,400 Bear Stearns Companies Inc. ........ 1,348
274,200 Charles Schwab Corporation.......... 9,734
24,100 Lehman Brothers Holdings Inc. ...... 3,561
159,500 Merrill Lynch & Company Inc. ....... 10,527
223,400 Morgan Stanley Dean Witter &
Company........................... 20,428
44,100 Northern Trust Corporation.......... 3,919
29,400 Paine Webber Group, Inc. ........... 2,003
32,000 State Street Corporation............ 4,160
44,600 Stilwell Financial, Inc.(!)......... 1,940
----------
57,620
----------
LODGING AND RECREATION -- 0.5%
17,300 Brunswick Corporation............... 316
117,100 Carnival Corporation................ 2,884
144,200 Cendant Corporation(!).............. 1,568
24,300 Darden Restaurants Inc. ............ 506
60,100 Harley-Davidson Inc. ............... 2,877
34,200 Hasbro, Inc. ....................... 391
73,200 Hilton Hotels Corporation........... 846
47,700 Marriott International Inc., Class
A................................. 1,738
84,700 Mattel, Inc. ....................... 948
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
LODGING AND RECREATION -- (CONTINUED)
25,600 Sabre Holdings Corporation(!)....... $ 741
29,000 Tricon Global Restaurants Inc. (!).. 888
----------
13,703
----------
MEDICAL DEVICES AND SUPPLIES -- 3.6%
307,800 Abbott Laboratories................. 14,640
10,600 Bausch & Lomb Inc. ................. 413
58,000 Baxter International Inc. .......... 4,629
50,300 Becton Dickinson & Company.......... 1,330
35,300 Biomet, Inc. ....................... 1,236
80,700 Boston Scientific Corporation(!).... 1,327
10,100 C.R. Bard, Inc. .................... 427
55,200 Cardinal Health, Inc. .............. 4,868
60,900 Guidant Corporation(!).............. 4,305
276,100 Johnson & Johnson................... 25,935
237,900 Medtronic, Inc. .................... 12,326
41,400 PE Corp-PE Biosystems Group......... 4,823
257,700 Pharmacia Corporation............... 15,509
16,700 St. Jude Medical Inc.(!)............ 852
----------
92,620
----------
METALS AND MINING -- 0.7%
43,500 Alcan Aluminium Ltd................. 1,259
172,000 Alcoa Inc. ......................... 4,354
78,600 Barrick Gold Corporation............ 1,199
30,400 Freeport-McMoran Copper & Gold,
Inc.(!)........................... 268
52,200 Homestake Mining Company............ 271
36,100 Inco Limited(!)..................... 582
78,500 Minnesota Mining & Manufacturing
Company........................... 7,153
33,400 Newmont Mining Corporation.......... 568
31,800 Niagara Mohawk Holdings Inc.(!)..... 501
16,100 Nucor Corporation................... 485
15,600 Phelps Dodge Corporation............ 651
65,000 Placer Dome Inc. ................... 613
17,600 USX-U.S. Steel Group Inc. .......... 267
17,000 Worthington Industries, Inc. ....... 159
----------
18,330
----------
NATURAL GAS DISTRIBUTION -- 1.0%
42,600 Coastal Corporation................. 3,158
5,400 Eastern Enterprises................. 345
46,100 El Paso Energy Corporation.......... 2,841
146,800 Enron Corporation................... 12,862
26,700 KeySpan Corporation................. 1,071
5,800 Oneok Inc. ......................... 231
7,000 Peoples Energy Corporation.......... 234
40,500 Sempra Energy....................... 843
87,900 Williams Companies, Inc. ........... 3,714
----------
25,299
----------
NETWORKING AND TELECOMMUNICATIONS
EQUIPMENT -- 6.8%
140,200 ADC Telecommunications, Inc. ....... 3,770
1,409,400 Cisco Systems, Inc.(++)............. 77,870
31,000 Comverse Technology, Inc. .......... 3,348
58,400 Corning Inc. ....................... 17,345
185,900 JDS Uniphase Corporation............ 17,602
663,200 Lucent Technologies, Inc. .......... 20,269
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
6
<PAGE> 11
NATIONS FUNDS
Nations LargeCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
NETWORKING AND TELECOMMUNICATIONS
EQUIPMENT -- (CONTINUED)
593,200 Nortel Networks Corporation......... $ 35,332
31,600 Scientific-Atlanta, Inc. ........... 2,011
----------
177,547
----------
OILFIELD SERVICES -- 0.7%
65,700 Baker Hughes Inc. .................. 2,439
88,500 Halliburton Company................. 4,331
18,700 Rowan Companies, Inc.(!)............ 542
113,200 Schlumberger Ltd. .................. 9,318
28,700 Tosco Corporation................... 895
----------
17,525
----------
PACKAGING AND CONTAINERS -- 0.1%
22,200 Avery-Dennison Corporation.......... 1,029
5,800 Ball Corporation.................... 184
10,600 Bemis Company, Inc. ................ 341
25,000 Crown Cork & Seal Company, Inc. .... 267
29,000 Owens-Illinois, Inc.(!)............. 268
33,600 Pactiv Corporation(!)............... 376
16,600 Sealed Air Corporation(!)........... 751
11,500 Tupperware Corporation.............. 207
----------
3,423
----------
PAPER AND FOREST PRODUCTS -- 0.4%
11,400 Boise Cascade Corporation........... 303
40,700 Fort James Corporation.............. 1,244
33,900 Georgia-Pacific Corporation......... 797
96,000 International Paper Company......... 2,753
20,700 Louisiana Pacific Corporation....... 190
20,400 Mead Corporation.................... 477
5,600 Potlatch Corporation................ 177
10,100 Temple-Inland Inc. ................. 383
20,000 Westvaco Corporation................ 534
43,700 Weyerhaeuser Company................ 1,764
21,700 Willamette Industries Inc. ......... 608
----------
9,230
----------
PHARMACEUTICALS -- 7.1%
26,100 Allergan, Inc. ..................... 2,204
22,900 ALZA Corporation(!)................. 1,981
258,900 American Home Products
Corporation....................... 14,644
204,200 Amgen Inc. ......................... 14,259
29,400 Biogen, Inc.(!)..................... 1,793
390,300 Bristol-Myers Squibb Company........ 22,296
224,300 Eli Lilly and Company............... 18,196
41,700 MedImmune Inc. ..................... 3,221
456,900 Merck & Company, Inc.(++)........... 34,010
1,253,900 Pfizer Inc. ........................ 56,348
290,900 Schering-Plough Corporation......... 13,527
20,300 Watson Pharmaceutical, Inc.(!)...... 1,317
----------
183,796
----------
PUBLISHING AND ADVERTISING -- 0.6%
12,800 American Greetings Corporation,
Class A........................... 224
14,400 Deluxe Corporation.................. 293
17,400 Dow Jones & Company Inc. ........... 1,053
32,200 Dun & Bradstreet Corporation........ 1,109
52,400 Gannett Company, Inc. .............. 2,776
14,500 Harcourt General Inc. .............. 856
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
PUBLISHING AND ADVERTISING --
(CONTINUED)
15,000 Knight-Ridder Inc. ................. $ 762
38,700 McGraw-Hill Companies, Inc. ........ 2,460
10,100 Meredith Corporation................ 298
33,200 New York Times Company, Class A..... 1,305
24,200 R.R. Donnelley & Sons Company....... 594
61,200 Tribune Company..................... 2,670
14,600 Young and Rubicam Inc. ............. 723
----------
15,123
----------
RAILROADS, TRUCKING AND SHIPPING --
0.4%
29,800 AMR Corporation(!).................. 974
80,300 Burlington Northern Santa Fe
Inc. ............................. 1,731
43,400 CSX Corporation..................... 947
56,600 FedEx Corporation(!)................ 2,509
76,100 Norfolk Southern Corporation........ 1,113
11,800 Ryder System Inc. .................. 218
49,200 Union Pacific Corporation........... 1,913
----------
9,405
----------
RESTAURANTS -- 0.4%
262,300 McDonald's Corporation.............. 7,919
37,200 Starbucks Corporation(!)............ 1,490
22,500 Wendy's International Inc. ......... 451
----------
9,860
----------
SEMICONDUCTORS -- 5.6%
61,900 Advanced Micro Devices.............. 1,462
90,000 Agilent Technologies Inc.(!)........ 4,404
79,200 Altera Corporation.................. 3,782
70,600 Analog Devices, Inc. ............... 5,829
161,100 Applied Materials, Inc. ............ 9,555
44,100 Broadcom Corporation, Class A....... 10,749
1,333,400 Intel Corporation(++)............... 55,419
36,900 KLA-Tencor Corporation.............. 1,520
61,800 Linear Technology Corporation....... 4,002
56,100 Maxim Integrated Products........... 4,513
112,100 Micron Technology, Inc. ............ 5,157
433,100 Motorola, Inc. ..................... 12,235
35,300 National Semiconductor
Corporation(!).................... 1,421
26,000 Novellus Systems Inc. .............. 1,211
34,400 Teradyne, Inc.(!)................... 1,204
343,300 Texas Instruments Inc. ............. 16,199
65,300 Xilinx, Inc. ....................... 5,591
----------
144,253
----------
SOFTWARE -- 6.2%
23,800 Adobe Systems Inc. ................. 3,695
11,400 Autodesk, Inc. ..................... 289
49,000 BMC Software, Inc.(!)............... 937
36,600 Cabletron Systems, Inc.(!).......... 1,075
36,900 Citrix Systems, Inc. ............... 740
117,400 Computer Associates International
Inc. ............................. 2,957
72,500 Compuware Corporation(!)............ 607
30,600 Convergys Corporation(!)............ 1,190
92,600 Electronic Data Systems
Corporation....................... 3,843
80,500 First Data Corporation.............. 3,145
15,900 Mercury Interactive Corporation..... 2,492
1,045,100 Microsoft Corporation(!)............ 63,032
64,500 Novell Inc.(!)...................... 641
559,000 Oracle Corporation.................. 44,021
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
7
<PAGE> 12
NATIONS FUNDS
Nations LargeCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
SOFTWARE -- (CONTINUED)
54,100 Parametric Technology
Corporation(!).................... $ 592
55,500 Peoplesoft, Inc.(!)................. 1,551
82,700 Siebel Systems, Inc. ............... 9,206
79,800 VERITAS Software Corporation........ 11,332
109,100 Yahoo! Inc. ........................ 9,928
----------
161,273
----------
SPECIALTY STORES -- 2.2%
56,100 Bed Bath & Beyond, Inc. ............ 1,368
41,100 Best Buy Company, Inc.(!)........... 2,615
40,800 Circuit City Stores-Circuit City
Group............................. 938
77,600 CVS Corporation..................... 3,594
168,800 Gap Inc. ........................... 3,397
459,900 Home Depot Inc. .................... 24,404
85,700 Limited Inc. ....................... 1,891
7,500 Longs Drug Stores Corporation....... 143
76,000 Lowe's Companies Inc. .............. 3,411
25,900 Nordstrom Inc. ..................... 403
60,700 Office Depot, Inc.(!)............... 474
36,900 RadioShack Corporation.............. 2,385
90,200 Staples Inc.(!)..................... 1,280
28,800 Tiffany & Company................... 1,111
58,100 TJX Companies Inc. ................. 1,307
200,600 Walgreen Company.................... 7,610
----------
56,331
----------
TELECOMMUNICATIONS SERVICES -- 5.5%
38,600 American Power Conversion
Corporation(!).................... 741
16,100 Andrew Corporation(!)............... 422
372,200 BellSouth Corporation............... 14,981
27,900 CenturyTel, Inc. ................... 760
174,900 Global Crossing, Ltd.(!)............ 5,422
151,200 Nextel Communications, Inc. ........ 7,069
148,000 QUALCOMM Inc. ...................... 10,545
329,800 Qwest Communications
International, Inc.(!)............ 15,851
673,200 SBC Communications Inc. ............ 33,659
184,400 Sprint Corporation (PCS Group)...... 6,466
81,400 Tellabs, Inc.(!).................... 3,887
539,800 Verizon Communications.............. 26,146
570,600 WorldCom, Inc.(!)................... 17,332
----------
143,281
----------
TOBACCO -- 0.5%
447,300 Philip Morris Companies Inc. ....... 13,167
32,200 UST Inc. ........................... 737
----------
13,904
----------
UTILITIES -- MISCELLANEOUS -- 1.2%
62,700 ALLTEL Corporation.................. 3,272
746,000 AT&T Corporation.................... 21,915
28,300 DTE Energy Company.................. 1,082
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
------------------------------------------------------------
<C> <S> <C>
UTILITIES -- MISCELLANEOUS --
(continued)
9,100 NICOR Inc. ......................... $ 329
175,700 Sprint Corporation (FON Group)...... 5,150
----------
31,748
----------
TOTAL COMMON STOCKS
(Cost $1,940,902)................. 2,507,722
----------
CONVERTIBLE PREFERRED STOCK -- 0.0%+
(Cost $0)++
PACKAGING AND CONTAINERS -- 0.0%+
1 Sealed Air Corporation++............ 0
----------
RIGHTS -- 0.0%+
(Cost $0)++
4 United States Surgical Rights++..... 0
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
-------
<C> <S> <C>
INVESTMENT COMPANIES -- 6.0%
156,078 Nations Cash Reserves#........ 156,078
----------
TOTAL INVESTMENT COMPANIES
(Cost $156,078).................... 156,078
----------
TOTAL INVESTMENTS
(Cost $2,096,980*)............ 102.5% 2,663,800
----------
OTHER ASSETS AND
LIABILITIES (NET)........... (2.5)%
Receivable for Fund shares sold...... $ 713
Dividends receivable................. 2,322
Interest receivable.................. 222
Receivable for variation margin...... 434
Collateral on securities loaned...... (64,883)
Payable for Fund shares redeemed..... (1,211)
Investment advisory fee payable...... (146)
Administration fee payable........... (506)
Shareholder servicing and
distribution fees payable.......... (6)
Due to custodian..................... (7)
Payable for investment securities
purchased.......................... (1,491)
Accrued Trustees' fees and
expenses........................... (47)
Accrued expenses and other
liabilities........................ (340)
----------
TOTAL OTHER ASSETS AND LIABILITIES
(NET).............................. (64,946)
----------
NET ASSETS.................... 100.0% $2,598,854
==========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
8
<PAGE> 13
NATIONS FUNDS
Nations LargeCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(000)
------------------------------------------------------------
<C> <S> <C>
NET ASSETS CONSIST OF:
Undistributed net investment
income............................. $ 644
Accumulated net realized loss on
investments sold and futures
contracts.......................... (38,096)
Net unrealized appreciation of
investments and futures
contracts.......................... 563,608
Paid-in capital...................... 2,072,698
----------
NET ASSETS........................... $2,598,854
==========
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($2,567,991,975 / 92,679,410 shares
outstanding)....................... $27.71
======
INVESTOR A SHARES:
Net asset value and redemption price
per share ($30,861,592 / 1,119,619
shares outstanding)................ $27.56
======
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized appreciation of $566,820 on
investment securities was comprised of gross appreciation of $664,797 and
gross depreciation of $97,977 for federal income tax purposes. At September
30, 2000, the aggregate cost of securities for federal income tax purposes
was $2,096,980.
(!) Non-income producing security.
(++) All or a portion of security segregated as collateral for futures
contracts.
+ Amount represents less than 0.1%.
++ Amount represents less than $500.
> Affiliated security.
# 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 $64,883.
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE> 14
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 99.0%
AEROSPACE AND DEFENSE -- 1.2%
91,900 Boeing Company......................... $ 5,790
3,700 Northrop Grumman Corporation........... 336
--------
6,126
--------
AIRLINES -- 0.1%
13,500 Delta Air Lines, Inc. ................. 599
--------
APPAREL AND TEXTILES -- 0.1%
6,200 Nike, Inc., Class B.................... 248
2,900 Springs Industries Inc., Class A....... 82
--------
330
--------
AUTOMOTIVE -- 0.8%
64,200 Ford Motor Company(!).................. 1,625
18,300 General Motors Corporation............. 1,190
13,000 Johnson Controls Inc. ................. 691
12,600 PACCAR, Inc. .......................... 467
8,500 Visteon Corporation.................... 129
--------
4,102
--------
BEVERAGES -- 2.0%
50,600 Anheuser-Busch Companies, Inc. ........ 2,141
69,000 Coca-Cola Company(++).................. 3,804
31,200 Coca-Cola Enterprises Inc. ............ 497
53,900 PepsiCo, Inc. ......................... 2,479
18,000 Seagram Company Ltd. .................. 1,034
--------
9,955
--------
BROADCASTING AND CABLE -- 3.4%
38,800 Clear Channel Communications, Inc.(!).. 2,192
36,600 Comcast Corporation, Class A(!)........ 1,498
89,500 Time Warner Inc. ...................... 7,004
62,100 Viacom Inc., Class B(!)................ 3,633
80,900 Walt Disney Company.................... 3,094
--------
17,421
--------
CHEMICALS -- BASIC -- 1.0%
10,700 Dow Chemical Company................... 267
26,800 E.I. duPont de Nemours and Company..... 1,111
10,000 FMC Corporation(!)..................... 671
31,200 Mallinckrodt Group Inc. ............... 1,423
46,000 Union Carbide Corporation.............. 1,736
--------
5,208
--------
COMMERCIAL BANKING -- 6.6%
69,000 AmSouth Bancorporation................. 863
94,500 Chase Manhattan Corporation............ 4,365
186,666 Citigroup Inc.(++)..................... 10,091
49,300 First Security Corporation............. 804
104,000 FleetBoston Financial Corporation...... 4,056
16,200 Golden West Financial Corporation...... 869
26,300 J.P. Morgan & Company Inc. ............ 4,297
11,700 KeyCorp................................ 296
62,800 Mellon Financial Corporation........... 2,912
13,700 PNC Bank Corporation................... 891
16,900 SouthTrust Corporation................. 531
84,100 Wells Fargo Company.................... 3,863
--------
33,838
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
COMMERCIAL SERVICES -- 0.3%
70,500 Allied Waste Industries, Inc.(!)....... $ 648
11,800 Interpublic Group Companies, Inc. ..... 402
3,600 Omnicom Group Inc. .................... 263
11,200 Waste Management, Inc. ................ 195
--------
1,508
--------
COMPUTER SERVICES -- 1.2%
143,400 4Front Technologies, Inc.(!)........... 2,609
40,500 America Online Inc. ................... 2,177
11,100 Automatic Data Processing Inc. ........ 742
15,300 Paychex, Inc. ......................... 803
--------
6,331
--------
COMPUTERS AND OFFICE EQUIPMENT -- 8.1%
7,300 Adaptec, Inc.(!)....................... 146
35,200 Apple Computer Inc. ................... 906
104,400 Dell Computer Corporation(!)........... 3,217
81,100 EMC Corporation........................ 8,039
40,300 Hewlett-Packard Company................ 3,909
67,700 International Business Machines
Corporation.......................... 7,616
9,900 Lexmark International Group, Inc.,
Class A(!)........................... 371
12,000 Network Appliance, Inc. ............... 1,529
21,803 Palm, Inc.(!).......................... 1,154
43,800 Pitney Bowes, Inc. .................... 1,727
61,845 Seagate Technology Inc.(!)............. 4,267
7,200 Silicon Graphics, Inc.(!).............. 30
9,800 Solectron Corporation.................. 452
63,100 Sun Microsystems, Inc. ................ 7,367
20,300 Unisys Corporation(!).................. 228
--------
40,958
--------
CONGLOMERATES -- 1.8%
30,100 Dover Corporation...................... 1,413
5,900 Rockwell International Corporation..... 178
115,000 Tyco International Ltd.(++)............ 5,966
20,900 United Technologies Corporation........ 1,447
--------
9,004
--------
CONSUMER CREDIT AND MORTGAGES -- 2.1%
9,800 American Express Company............... 595
70,100 Fannie Mae............................. 5,012
11,800 Household International, Inc. ......... 668
19,300 MBNA Corporation....................... 743
20,800 Providian Financial Corporation........ 2,642
23,100 USA Education Inc. .................... 1,113
--------
10,773
--------
DEPARTMENT AND DISCOUNT STORES -- 2.4%
32,700 Federated Department Stores, Inc.(!)... 854
74,900 Target Corporation..................... 1,919
190,900 Wal-Mart Stores, Inc. ................. 9,188
--------
11,961
--------
DIVERSIFIED ELECTRONICS -- 0.1%
19,900 LSI Logic Corporation.................. 582
--------
DIVERSIFIED MANUFACTURING -- 5.1%
5,600 Black & Decker Corporation............. 191
22,700 Eastman Kodak Company.................. 928
13,500 Energizer Holdings Inc.(!)............. 331
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
10
<PAGE> 15
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
DIVERSIFIED MANUFACTURING -- (CONTINUED)
376,500 General Electric Company(++)........... $ 21,719
27,600 Procter & Gamble Company............... 1,849
52,200 Sherwin-Williams Company............... 1,116
--------
26,134
--------
ELECTRIC POWER -- NON NUCLEAR -- 2.4%
19,900 Constellation Energy................... 990
30,300 Duke Energy Corporation................ 2,598
13,800 Edison International................... 267
16,600 Entergy Corporation.................... 618
67,500 FirstEnergy Corporation................ 1,818
35,700 PECO Energy Company.................... 2,162
46,700 Public Service Enterprise Group........ 2,087
32,300 Unicom Corporation..................... 1,815
--------
12,355
--------
ELECTRICAL EQUIPMENT -- 0.3%
25,300 Conexant Systems Inc. ................. 1,060
6,300 Emerson Electric Company............... 422
--------
1,482
--------
ENERGY -- MISCELLANEOUS -- 0.1%
10,900 Reliant Energy Inc. ................... 507
--------
FINANCE -- MISCELLANEOUS -- 0.8%
66,100 Associates First Capital Corporation... 2,512
28,800 Freddie Mac............................ 1,557
--------
4,069
--------
FOOD AND DRUG STORES -- 0.7%
39,200 Safeway, Inc.(!)....................... 1,830
113,500 Supervalu Inc. ........................ 1,710
--------
3,540
--------
FOOD PRODUCTS -- 2.3%
27,200 Bestfoods.............................. 1,979
13,000 H.J. Heinz Company..................... 482
3,400 Kellogg Company........................ 82
47,500 Nabisco Holdings Corporation, Class A.. 2,552
98,200 Ralston Purina Group................... 2,326
59,800 Sara Lee Corporation................... 1,215
28,300 SYSCO Corporation...................... 1,311
33,300 Unilever NV, ADR....................... 1,607
--------
11,554
--------
HEALTH SERVICES -- 0.6%
33,300 UnitedHealth Group Inc.(!)............. 3,288
--------
HEAVY MACHINERY -- 0.1%
8,700 Deere & Company........................ 289
--------
HOUSEHOLD PRODUCTS -- 0.8%
17,200 Alberto-Culver Company, Class B........ 496
1,500 Avon Products, Inc. ................... 61
41,700 Colgate-Palmolive Company.............. 1,968
27,200 Kimberly-Clark Corporation............. 1,518
--------
4,043
--------
HOUSING AND FURNISHING -- 0.3%
29,600 Pulte Corporation...................... 977
13,500 Whirlpool Corporation.................. 525
--------
1,502
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
INSURANCE -- 3.4%
1,300 Aetna Life and Casualty Company........ $ 75
22,900 Aflac, Inc. ........................... 1,467
68,700 American International Group, Inc.(++). 6,573
6,800 CIGNA Corporation...................... 710
27,900 Conseco Inc. .......................... 213
38,400 Lincoln National Corporation Ltd. ..... 1,848
48,500 Loews Corporation...................... 4,044
9,300 Marsh & McLennan Companies Inc. ....... 1,235
20,200 MGIC Investment Corporation............ 1,235
--------
17,400
--------
INTEGRATED OIL -- 5.8%
19,500 Amerada Hess Corporation............... 1,305
4,800 Apache Corporation..................... 284
22,000 BP Amoco plc, ADR...................... 1,166
17,000 Chevron Corporation.................... 1,449
129,900 Exxon Mobil Corporation(++)............ 11,578
32,800 Kerr-McGee Corporation................. 2,173
56,300 Occidental Petroleum Corporation....... 1,228
21,900 Phillips Petroleum Company............. 1,374
88,400 Royal Dutch Petroleum Company(++)...... 5,298
14,100 Texaco Inc. ........................... 740
22,000 Transocean Sedco Forex Inc. ........... 1,290
62,300 USX-Marathon Group Inc. ............... 1,768
--------
29,653
--------
INVESTMENT SERVICES -- 3.0%
50,100 Charles Schwab Corporation............. 1,779
2,900 Lehman Brothers Holdings Inc. ......... 428
17,800 Merrill Lynch & Company Inc. .......... 1,175
75,500 Morgan Stanley Dean Witter & Company... 6,904
17,400 Northern Trust Corporation............. 1,546
41,200 Paine Webber Group, Inc. .............. 2,807
6,100 State Street Corporation............... 793
--------
15,432
--------
LODGING AND RECREATION -- 0.9%
9,300 Brunswick Corporation.................. 170
12,500 Carnival Corporation................... 308
61,700 Cendant Corporation(!)................. 671
46,000 Darden Restaurants Inc. ............... 957
12,700 Harley-Davidson Inc. .................. 608
16,500 Hilton Hotels Corporation.............. 191
49,100 Tricon Global Restaurants Inc.(!)...... 1,503
--------
4,408
--------
MEDICAL DEVICES AND SUPPLIES -- 2.9%
62,800 Abbott Laboratories.................... 2,987
47,600 Baxter International Inc. ............. 3,800
11,200 Becton Dickinson & Company............. 296
14,300 Cardinal Health, Inc. ................. 1,261
35,400 Johnson & Johnson...................... 3,325
19,300 Medtronic, Inc. ....................... 1,000
8,200 PE Corp-PE Biosystems Group............ 955
17,800 Pharmacia Corporation.................. 1,071
--------
14,695
--------
METALS AND MINING -- 1.3%
15,900 Alcan Aluminium Ltd. .................. 460
59,900 Alcoa Inc. ............................ 1,516
12,400 Barrick Gold Corporation............... 189
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE> 16
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
METALS AND MINING -- (CONTINUED)
10,400 Homestake Mining Company............... $ 54
11,000 Inco Limited(!)........................ 177
43,700 Minnesota Mining & Manufacturing
Company.............................. 3,983
7,800 Newmont Mining Corporation............. 133
--------
6,512
--------
NATURAL GAS DISTRIBUTION -- 0.3%
6,500 Enron Corporation...................... 570
4,800 Peoples Energy Corporation............. 160
17,800 Williams Companies, Inc. .............. 752
--------
1,482
--------
NETWORKING AND TELECOMMUNICATIONS
EQUIPMENT -- 6.9%
94,700 ADC Telecommunications, Inc. .......... 2,547
272,400 Cisco Systems, Inc. ................... 15,050
6,200 Comverse Technology, Inc. ............. 670
10,900 Corning Inc. .......................... 3,237
36,900 JDS Uniphase Corporation............... 3,494
94,600 Lucent Technologies, Inc. ............. 2,891
115,000 Nortel Networks Corporation............ 6,850
6,700 Scientific-Atlanta, Inc. .............. 426
--------
35,165
--------
OILFIELD SERVICES -- 0.5%
13,100 Baker Hughes Inc. ..................... 486
22,400 Schlumberger Ltd. ..................... 1,844
--------
2,330
--------
PACKAGING AND CONTAINERS -- 0.1%
4,100 Sealed Air Corporation(!).............. 186
23,500 Tupperware Corporation................. 423
--------
609
--------
PAPER AND FOREST PRODUCTS -- 0.3%
173 International Paper Company............ 5
11,200 Temple-Inland Inc. .................... 424
31,600 Weyerhaeuser Company................... 1,276
--------
1,705
--------
PHARMACEUTICALS -- 7.3%
10,200 Allergan, Inc. ........................ 861
10,500 American Home Products Corporation..... 594
41,200 Amgen Inc. ............................ 2,877
85,500 Bristol-Myers Squibb Company........... 4,884
13,200 Eli Lilly and Company.................. 1,071
119,000 Merck & Company, Inc. ................. 8,858
345,700 Pfizer Inc. ........................... 15,535
51,600 Schering-Plough Corporation............ 2,399
--------
37,079
--------
PUBLISHING AND ADVERTISING -- 0.3%
25,200 Dow Jones & Company Inc. .............. 1,525
--------
RAILROADS, TRUCKING AND SHIPPING -- 0.4%
13,800 Burlington Northern Santa Fe Inc. ..... 298
3,700 FedEx Corporation(!)................... 164
13,900 Ryder System Inc. ..................... 256
33,900 Union Pacific Corporation.............. 1,318
--------
2,036
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
RESTAURANTS -- 0.4%
137,900 Buffets Inc.(!)........................ $ 1,896
--------
SEMICONDUCTORS -- 5.0%
15,400 Agilent Technologies Inc.(!)........... 754
14,300 Analog Devices, Inc. .................. 1,181
26,200 Applied Materials, Inc. ............... 1,554
280,800 Intel Corporation(++).................. 11,670
11,000 KLA-Tencor Corporation................. 453
28,400 Micron Technology, Inc. ............... 1,306
1,000 MIPS Technologies, Inc.(!)............. 39
124,500 Motorola, Inc. ........................ 3,517
22,000 Teradyne, Inc.(!)...................... 770
67,000 Texas Instruments Inc. ................ 3,162
13,000 Xilinx, Inc. .......................... 1,113
--------
25,519
--------
SOFTWARE -- 6.3%
5,100 Adobe Systems Inc. .................... 792
8,800 Cabletron Systems, Inc.(!)............. 259
15,300 Citrix Systems, Inc. .................. 307
33,900 Computer Associates International
Inc. ................................ 854
52,700 Electronic Data Systems Corporation.... 2,187
23,700 First Data Corporation................. 926
210,000 Microsoft Corporation(!)............... 12,665
195,700 Mynd Corporation(!).................... 2,642
12,800 Novell Inc.(!)......................... 127
112,200 Oracle Corporation..................... 8,835
10,900 Peoplesoft, Inc.(!).................... 305
21,200 Yahoo! Inc. ........................... 1,929
--------
31,828
--------
SPECIALTY STORES -- 2.1%
8,800 Bed Bath & Beyond, Inc. ............... 215
30,300 Best Buy Company, Inc.(!).............. 1,928
21,200 Circuit City Stores - Circuit City
Group................................ 488
40,900 Gap Inc. .............................. 823
89,800 Home Depot Inc. ....................... 4,764
6,000 Limited Inc. .......................... 132
21,700 Lowe's Companies Inc. ................. 974
29,600 Office Depot, Inc.(!).................. 231
13,300 TJX Companies Inc. .................... 299
22,500 Walgreen Company....................... 854
--------
10,708
--------
TELECOMMUNICATIONS SERVICES -- 5.6%
127,800 BellSouth Corporation.................. 5,144
39,500 Global Crossing, Ltd.(!)............... 1,225
29,600 Nextel Communications, Inc. ........... 1,384
29,600 QUALCOMM Inc. ......................... 2,109
35,800 Qwest Communications International,
Inc.(!).............................. 1,721
123,200 SBC Communications Inc.(++)............ 6,159
34,800 Sprint Corporation (PCS Group)......... 1,220
125,500 Verizon Communications(++)............. 6,079
109,800 WorldCom, Inc.(!)...................... 3,335
--------
28,376
--------
TOBACCO -- 0.6%
111,900 Philip Morris Companies Inc. .......... 3,294
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE> 17
NATIONS FUNDS
Nations Managed Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
UTILITIES -- MISCELLANEOUS -- 0.9%
1,600 ALLTEL Corporation..................... $ 84
122,200 AT&T Corporation(++)................... 3,589
33,400 Sprint Corporation (FON Group)......... 979
--------
4,652
--------
TOTAL COMMON STOCKS
(Cost $292,358)...................... 503,763
--------
<CAPTION>
SHARES
(000)
---------
<C> <S> <C>
INVESTMENT COMPANIES -- 3.4%
(Cost $17,371)
17,371 Nations Cash Reserves#................. 17,371
--------
</TABLE>
<TABLE>
<C> <S> <C>
TOTAL INVESTMENTS
(Cost $309,729*)............. 102.4% 521,134
--------
OTHER ASSETS AND LIABILITIES
(NET)........................ (2.4)%
Receivable for investment securities
sold................................ $ 272
Receivable for Fund shares sold....... 12
Dividends receivable.................. 496
Interest receivable................... 40
Receivable for variation margin....... 94
Unamortized organization costs........ 2
Collateral on securities loaned....... (11,883)
Payable for Fund shares redeemed...... (896)
Investment advisory fee payable....... (84)
Administration fee payable............ (100)
Shareholder servicing and distribution
fees payable........................ (9)
Due to custodian...................... (5)
Accrued Trustees' fees and expenses... (40)
Accrued expenses and other
liabilities......................... (144)
--------
TOTAL OTHER ASSETS AND LIABILITIES
(NET)............................... (12,245)
--------
NET ASSETS..................... 100.0% $508,889
========
VALUE
(000)
-----------------------------------------------------------
NET ASSETS CONSIST OF:
Undistributed net investment income... $ 64
Accumulated net realized gain on
investments sold and futures
contracts........................... 27,840
Net unrealized appreciation of
investments and futures contracts... 210,355
Paid-in capital....................... 270,630
--------
NET ASSETS............................ $508,889
========
</TABLE>
<TABLE>
<C> <S> <C>
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($464,240,061 / 23,751,587 shares
outstanding)........................ $19.55
======
PRIMARY B SHARES:
Net asset value, offering and
redemption price per share
($5,949 / 303 shares outstanding)... $19.65
======
INVESTOR A SHARES:
Net asset value and redemption price
per share ($44,642,711 / 2,285,602
shares outstanding)................. $19.53
======
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized appreciation of $211,405 on
investment securities was comprised of gross appreciation of $230,717 and
gross depreciation of $19,312 for federal income tax purposes. At September
30, 2000, the aggregate cost of securities for federal income tax purposes
was $309,729.
(!) Non-income producing security.
(++) All or a portion of security segregated as collateral for futures
contracts.
# 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 $11,883.
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE> 18
NATIONS FUNDS
Nations MidCap Index Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 99.5%
AEROSPACE AND DEFENSE -- 0.3%
18,700 Litton Industries Inc.(!).............. $ 835
4,300 Sequa Corporation, Class A(!).......... 183
22,300 The Titan Corporation(!)............... 368
--------
1,386
--------
AIRLINES -- 0.2%
11,000 Alaska Air Group, Inc.(!).............. 264
15,800 Atlas Air, Inc.(!)..................... 668
--------
932
--------
APPAREL AND TEXTILES -- 0.5%
49,200 Jones Apparel Group, Inc.(!)........... 1,304
12,500 Land's End, Inc.(!).................... 263
23,600 Unifi, Inc.(!)......................... 240
21,800 Warnaco Group Inc. .................... 87
20,600 Westpoint Stevens Inc. ................ 252
--------
2,146
--------
AUTOMOTIVE -- 0.5%
29,400 ArvinMeritor, Inc. .................... 432
10,800 Borg-Warner Automotive, Inc. .......... 358
29,200 Federal-Mogul Corporation.............. 159
27,400 Lear Corporation(!).................... 563
32,500 Pennzoil-Quaker State Company.......... 341
10,700 Superior Industries International...... 321
--------
2,174
--------
BROADCASTING AND CABLE -- 1.7%
14,500 Chris-Craft Industries, Inc. .......... 1,194
45,100 Hispanic Broadcasting Corporation...... 1,257
9,600 Media General Inc., Class A............ 413
85,300 Univision Communications, Inc.(++)..... 3,188
46,400 Westwood One, Inc. .................... 995
--------
7,047
--------
CHEMICALS -- BASIC -- 0.5%
13,000 Georgia Gulf Corporation............... 149
5,800 H.B. Fuller Company.................... 167
47,500 IMC Global, Inc. ...................... 688
48,700 Lyondell Chemical Company.............. 575
18,700 Olin Corporation....................... 303
--------
1,882
--------
CHEMICALS -- SPECIALTY -- 1.1%
27,400 Airgas, Inc.(!)........................ 187
19,000 Albemarle Corporation.................. 384
27,500 Cabot Corporation...................... 870
47,200 Crompton Corporation................... 372
16,800 Cytec Industries Inc.(!)............... 561
34,600 Ethyl Corporation...................... 50
14,400 Ferro Corporation...................... 275
22,000 Lubrizol Corporation................... 433
8,500 Minerals Technologies Inc. ............ 391
12,200 Schulman (A.) Inc. .................... 134
44,100 Solutia Inc. .......................... 502
13,100 Wellman Inc. .......................... 189
--------
4,348
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
COMMERCIAL BANKING -- 6.1%
28,400 Associated Banc-Corp................... $ 746
21,000 Astoria Financial Corporation.......... 811
59,900 Banknorth Group, Inc. ................. 1,071
19,700 City National Corporation.............. 761
50,100 Compass Bancshares, Inc. .............. 977
45,300 Dime Bancorp, Inc. .................... 977
81,700 First Security Corporation............. 1,333
53,700 First Tennessee National Corporation... 1,097
19,100 First Virginia Banks Inc. ............. 814
36,600 Firstmerit Corporation................. 840
8,200 Greater Bay Bancorp.................... 569
65,900 Hibernia Corporation................... 807
20,400 Keystone Financial Inc. ............... 444
43,100 Marshall and Ilsley Corporation........ 2,160
29,100 Mercantile Bankshares Corporation...... 1,056
84,100 National Commerce Bancorp.............. 1,677
72,100 North Fork Bancorporation, Inc. ....... 1,559
32,900 Pacific Century Financial
Corporation.......................... 563
20,200 Provident Financial Group, Inc. ....... 593
93,600 Sovereign Bancorp, Inc. ............... 866
33,300 TCF Financial Corporation.............. 1,253
22,000 Webster Financial Corporation.......... 593
14,900 Westamerica Bancorporation............. 498
13,400 Wilmington Trust Corporation........... 719
36,000 Zions Bancorporation................... 1,841
--------
24,625
--------
COMMERCIAL SERVICES -- 5.8%
24,000 ACNielsen Corporation(!)............... 572
31,100 Apollo Group Inc., Class A(!).......... 1,240
8,600 Bandag, Incorporated................... 309
69,400 Cintas Corporation..................... 3,022
63,000 Comdisco, Inc. ........................ 1,201
28,800 DeVry, Inc.(!)......................... 1,084
15,700 Fastenal Company....................... 905
51,000 Fiserv, Inc.(!)........................ 3,053
35,500 Gartner Group, Inc.(!)................. 386
10,900 Jacobs Engineering Group Inc.(!)....... 439
14,800 Kelly Services, Inc. .................. 350
31,400 Manpower Inc. ......................... 1,003
39,900 Modis Professional Services, Inc.(!)... 207
17,100 Navigant Consulting, Inc.(!)........... 59
10,600 NCO Group, Inc.(!)..................... 126
29,000 Nova Corporation(!).................... 497
20,600 Ogden Corporation(!)................... 279
26,600 Quanta Services, Inc.(!)............... 732
74,000 Robert Half International Inc. ........ 2,566
12,400 Rollins, Inc. ......................... 184
22,000 SEI Investment Company................. 1,556
24,400 Sotheby's Holdings, Class A(!)......... 607
44,200 Stewart Enterprises, Inc. ............. 86
17,400 Sylvan Learning Systems, Inc.(!)....... 258
29,100 United Rental Inc.(!).................. 702
22,500 Valassis Communications Inc.(!)........ 501
38,800 Viad Corporation....................... 1,031
56,500 Whitman Corporation.................... 653
--------
23,608
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE> 19
NATIONS FUNDS
Nations MidCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
COMPUTER SERVICES -- 1.9%
36,500 Acxiom Corporation(!).................. $ 1,159
21,700 CSG Systems International, Inc.(!)..... 629
62,200 MarchFirst, Inc.(!).................... 976
61,700 Quantum Corporation - DLT & Storage
Systems(!)........................... 929
42,100 Storage Technology Corporation(!)...... 571
54,700 Sungard Data Systems, Inc.(!).......... 2,342
17,100 Sykes Enterprises, Incorporated(!)..... 92
29,600 Synopsys Incorporated(!)............... 1,121
--------
7,819
--------
COMPUTERS AND OFFICE EQUIPMENT -- 3.6%
17,800 Avocent Corporation(!)................. 981
26,100 Cambridge Technology Partners,
Inc.(!).............................. 114
15,600 InFocus Corporation(!)................. 827
78,700 Jabil Circuit, Inc.(++)................ 4,465
32,600 Miller (Herman) Inc. .................. 1,045
31,800 Reynolds & Reynolds Company, Class A... 632
60,000 SCI Systems, Inc.(++).................. 2,460
31,900 Sensormatic Electronics
Corporation(!)....................... 479
56,800 Symbol Technologies, Inc.(++).......... 2,041
22,000 Tech Data Corporation(!)............... 941
11,300 The Standard Register Company.......... 181
16,700 Wallace Computer Services, Inc. ....... 255
--------
14,421
--------
CONGLOMERATES -- 1.6%
37,100 Galileo International, Inc. ........... 575
11,300 Granite Construction................... 274
20,100 Pentair, Inc. ......................... 538
43,400 Scana Corporation...................... 1,340
52,400 Shaw Industries, Inc. ................. 969
14,900 Southdown, Inc. ....................... 1,062
13,100 SPX Corporation(!)..................... 1,859
--------
6,617
--------
CONSUMER CREDIT AND MORTGAGES -- 0.3%
42,200 Greenpoint Financial Corporation....... 1,250
--------
CONSUMER SERVICES -- 0.3%
31,300 Callaway Golf Company.................. 481
39,300 The Dial Corporation................... 457
17,700 Valspar Corporation.................... 407
--------
1,345
--------
DEPARTMENT AND DISCOUNT STORES -- 0.6%
19,300 American Eagle Outfitters, Inc.(!)..... 608
19,600 Neiman Marcus Group Inc., Class A(!)... 636
9,200 Payless Shoesource Inc.(!)............. 515
58,500 Saks, Inc.(!).......................... 578
--------
2,337
--------
DIVERSIFIED ELECTRONICS -- 3.2%
32,700 Alliant Energy Corporation............. 961
9,500 Black Hills Corporation................ 267
9,300 Cleco Corporation...................... 435
29,500 Diebold, Inc. ......................... 784
54,700 DPL Inc. .............................. 1,627
11,100 DSP Group, Inc.(!)..................... 415
28,600 Harris Corporation..................... 813
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
DIVERSIFIED ELECTRONICS -- (CONTINUED)
13,500 Hawaiian Electric Industries, Inc. .... $ 471
25,100 Hubbell Incorporated................... 629
30,000 International Game Technology(!)....... 1,009
25,600 Kansas City Power & Light Company...... 683
53,000 Waters Corporation..................... 4,716
--------
12,810
--------
DIVERSIFIED MANUFACTURING -- 1.8%
12,700 Albany International Corporation, Class
A(!)................................. 152
12,500 Carlisle Companies Incorporated........ 519
18,800 Donaldson Company, Inc. ............... 414
39,600 Energizer Holdings Inc.(!)............. 969
18,800 Federal Signal Corporation............. 374
16,600 Harsco Corporation..................... 366
12,400 Kaydon Corporation..................... 285
16,200 Lancaster Colony Corporation........... 398
19,400 Martin Marietta Materials, Inc. ....... 743
12,100 Modine Manufacturing Company........... 341
2,200 NCH Corporation........................ 78
13,400 Nordson Corporation.................... 381
21,400 Pittson Brink's Group.................. 332
11,600 Stewart & Stevenson Services, Inc. .... 202
7,900 Tecumseh Products Company.............. 331
15,800 Teleflex Incorporated.................. 543
18,400 USG Corporation........................ 461
15,800 York International Corporation......... 393
--------
7,282
--------
ELECTRIC POWER -- NON NUCLEAR -- 8.1%
45,700 Allegheny Energy, Inc. ................ 1,745
30,800 Allete(!).............................. 681
57,100 Calpine Corporation.................... 5,959
36,800 Conectiv, Inc. ........................ 658
24,500 DQE Inc. .............................. 983
128,200 Dynegy Inc. ........................... 7,306
54,100 Energy East Corporation................ 1,224
15,600 Idacorp, Inc. ......................... 722
53,700 LG&E Energy Corporation................ 1,312
50,200 Nisource Inc. ......................... 1,224
61,600 Northeast Utilities Company............ 1,336
22,300 NSTAR.................................. 898
32,300 OGE Energy Corporation................. 688
47,000 Potomac Electric Power Company......... 1,184
16,400 Public Service Company of New Mexico... 424
35,400 Puget Sound Energy Inc. ............... 898
32,500 Sierra Pacific Resources............... 585
52,000 TECO Energy, Inc. ..................... 1,495
43,800 The Montana Power Company.............. 1,462
38,400 UtiliCorp United Inc. ................. 994
25,300 Vectren Corporation.................... 514
28,700 Western Resources, Inc. ............... 621
--------
32,913
--------
ELECTRICAL EQUIPMENT -- 0.1%
13,300 AMETEK, Inc. .......................... 282
9,600 Magnetek, Inc.(!)...................... 102
--------
384
--------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE> 20
NATIONS FUNDS
Nations MidCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
ENERGY -- MISCELLANEOUS -- 0.5%
35,500 Ipalco Enterprises, Inc. .............. $ 812
50,500 Wisconsin Energy Corporation........... 1,007
--------
1,819
--------
FINANCE -- MISCELLANEOUS -- 1.1%
57,200 Clayton Homes Inc. .................... 572
88,100 Concord EFS, Inc.(!)................... 3,129
25,400 Finova Group, Inc. .................... 184
12,900 Investment Technology Group Inc.(!).... 515
--------
4,400
--------
FOOD AND DRUG STORES -- 0.1%
19,100 Ruddick Corporation.................... 265
--------
FOOD PRODUCTS -- 1.8%
14,700 Dean Foods Company..................... 489
23,100 Dole Food Company...................... 347
11,700 Dreyer's Grand Ice Cream Inc. ......... 252
41,400 Flowers Industries Inc. ............... 807
58,100 Hormel Foods Corporation............... 969
43,700 IBP, Inc. ............................. 800
7,800 International Multifoods Corporation... 136
27,300 Interstate Bakeries Corporation........ 399
10,000 J.M. Smucker Company(!)................ 243
12,000 Lance, Inc. ........................... 117
28,300 McCormick and Company, Inc. ........... 842
11,500 Suiza Foods Corporation(!)............. 583
93,200 Tyson Foods Incorporated, Class A...... 932
20,200 Universal Foods Corporation............ 412
--------
7,328
--------
HEALTH SERVICES -- 3.0%
21,700 Apria Healthcare Group Inc.(!)......... 302
23,700 Covance Inc.(!)........................ 194
24,200 Edwards Lifesciences Corporation(!).... 528
15,700 Express Scripts Inc., Class A(!)....... 1,134
20,100 First Health Group Corporation(!)...... 648
50,700 Foundation Health Systems, Class A(!).. 843
100,600 Health Management Associates, Inc.,
Class A(!)........................... 2,094
22,100 Lincare Holdings Inc.(!)............... 634
38,200 Omnicare, Inc. ........................ 616
34,700 Oxford Health Plans(!)................. 1,066
14,500 Pacificare Health Systems Inc.(!)...... 505
18,900 Quest Diagnostics Inc.(!).............. 2,169
29,500 Quorum Health Group Inc.(!)............ 384
15,600 Trigon Healthcare, Inc.(!)............. 820
--------
11,937
--------
HEAVY MACHINERY -- 0.3%
24,700 Agco Corporation....................... 293
15,500 Flowserve Corporation.................. 255
14,700 Imation Corporation(!)................. 274
12,600 Kennametal Inc. ....................... 324
--------
1,146
--------
HOUSEHOLD PRODUCTS -- 0.2%
19,900 Blyth Industries, Inc. ................ 467
15,800 Church & Dwight Company, Inc. ......... 290
--------
757
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
HOUSING AND FURNISHING -- 1.0%
28,900 American Standard Companies Inc.(!).... $ 1,285
20,600 Furniture Brands International,
Inc.(!).............................. 342
24,900 Hon Industries Inc. ................... 613
25,500 Lennar Corporation..................... 757
22,000 Mohawk Industries Inc.(!).............. 480
43,600 RPM Inc. .............................. 395
--------
3,872
--------
INSURANCE -- 2.7%
22,000 Allmerica Financial Corporation(!)..... 1,407
28,900 AMBAC Financial Group, Inc. ........... 2,116
24,300 American Financial Group, Inc. ........ 563
19,000 Everest Re Group Ltd. ................. 941
16,800 Horace Mann Educators Corporation...... 275
12,000 HSB Group, Inc. ....................... 482
19,100 Mony Group Inc.(!)..................... 762
24,900 Ohio Casualty Corporation.............. 158
48,600 Old Republic International
Corporation.......................... 1,169
18,300 PMI Group, Inc. ....................... 1,240
26,700 Protective Life Corporation............ 798
10,300 Ryerson Tull Inc. ..................... 97
28,300 Unitrin, Inc. ......................... 897
--------
10,905
--------
INTEGRATED OIL -- 1.7%
22,400 AGL Resources Inc. .................... 449
18,700 Murphy Oil Corporation................. 1,212
23,100 Noble Affiliates, Inc. ................ 858
69,100 Ocean Energy Inc.(!)................... 1,067
41,100 Pioneer Natural Resources Company(!)... 583
33,200 Questar Corporation.................... 923
36,000 Ultramar Diamond Shamrock
Corporation.......................... 914
25,500 Valero Energy Corporation.............. 897
--------
6,903
--------
INVESTMENT SERVICES -- 1.7%
34,100 A.G. Edwards, Inc. .................... 1,784
124,200 E*TRADE Group, Inc.(!)................. 2,041
25,300 Legg Mason Inc. ....................... 1,471
26,800 Roslyn Bancorp, Inc. .................. 600
34,000 Waddell & Reed Financial, Inc. ........ 1,054
--------
6,950
--------
LODGING AND RECREATION -- 1.0%
22,000 International Speedway Corporation..... 858
32,400 Mandalay Resorts Group(!).............. 830
124,400 Park Place Entertainment
Corporation(!)....................... 1,882
32,600 Six Flags, Inc.(!)..................... 505
--------
4,075
--------
MEDICAL DEVICES AND SUPPLIES -- 2.8%
11,400 Acuson Corporation(!).................. 259
12,300 Beckman Coulter, Inc. ................. 949
21,400 DENTSPLY International Inc. ........... 748
25,900 Hillenbrand Industries, Inc. .......... 1,159
26,500 Minimed Inc. .......................... 2,368
29,400 PSS World Medical, Inc.(!)............. 107
27,900 Steris Corporation(!).................. 335
80,900 Stryker Corporation.................... 3,474
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE> 21
NATIONS FUNDS
Nations MidCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
MEDICAL DEVICES AND SUPPLIES --
(CONTINUED)
43,600 Sybron International Corporation(!).... $ 1,046
25,100 VISX Inc.(!)........................... 676
--------
11,121
--------
METALS AND MINING -- 0.5%
45,400 AK Steel Holding Corporation........... 426
9,100 Carpenter Technology Corporation....... 265
4,400 Cleveland-Cliffs Inc. ................. 101
2,800 Maxxam Inc.(!)......................... 56
20,600 Precision Castparts Corporation........ 790
18,700 UCAR International Inc.(!)............. 237
--------
1,875
--------
NATURAL GAS DISTRIBUTION -- 0.8%
24,300 Hanover Compressor Company............. 800
37,400 MCN Energy Group Inc. ................. 959
16,300 National Fuel Gas Company.............. 914
19,200 Washington Gas Light Company........... 516
--------
3,189
--------
NATURAL GAS PIPELINES -- 0.5%
47,300 Kinder Morgan Inc. .................... 1,936
--------
NETWORKING AND TELECOMMUNICATIONS
EQUIPMENT -- 1.6%
146,400 3Com Corporation(!).................... 2,809
16,000 ADTRAN, Inc.(!)........................ 681
29,400 Polycom, Inc. ......................... 1,969
25,500 Powerwave Technologies, Inc. .......... 968
--------
6,427
--------
OILFIELD SERVICES -- 5.3%
34,400 BJ Services Company(!)................. 2,103
22,000 Cooper Cameron Corporation(!).......... 1,621
57,200 ENSCO International Inc. .............. 2,188
72,700 Global Marine Inc.(!).................. 2,245
44,900 Grant Prideco Inc.(!).................. 985
20,700 Helmerich & Payne, Inc. ............... 748
60,500 Nabors Industries, Inc.(!)............. 3,169
55,200 Noble Drilling Corporation(!).......... 2,774
20,900 Smith International, Inc.(!)........... 1,705
23,100 Tidewater Inc. ........................ 1,051
38,500 Varco International, Inc.(!)........... 801
45,000 Weatherford International, Inc.(!)..... 1,935
--------
21,325
--------
PACKAGING AND CONTAINERS -- 0.2%
21,400 Longview Fibre Company................. 257
41,200 Sonoco Products Company................ 744
--------
1,001
--------
PAPER AND FOREST PRODUCTS -- 0.7%
20,800 Bowater Incorporated................... 966
6,300 Chesapeake Corporation................. 121
33,100 Georgia - Pacific Corporation (Timber
Group)............................... 890
17,500 P.H. Glatfelter Company................ 212
11,300 Rayonier Inc. ......................... 406
21,300 Wausau-Mosinee Paper Corporation....... 165
--------
2,760
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
PHARMACEUTICALS -- 8.1%
55,800 Bergen Brunswig Corporation............ $ 652
18,700 Carter-Wallace, Inc. .................. 457
75,700 Chiron Corporation(!)(++).............. 3,407
36,100 Forest Laboratories, Inc.(!)(++)....... 4,140
35,800 Genzyme Corporation(!)................. 2,441
19,400 Gilead Sciences, Inc.(!)............... 2,128
32,900 ICN Pharmaceuticals Incorporated....... 1,094
18,600 IDEC Pharmaceuticals Corporation....... 3,262
26,500 Incyte Pharmaceuticals, Inc. .......... 1,090
65,700 IVAX Corporation....................... 3,022
38,900 Millennium Pharmaceuticals, Inc. ...... 5,682
51,700 Mylan Laboratories, Inc. .............. 1,393
30,400 Perrigo Company(!)..................... 208
30,300 Sepracor Inc.(!)....................... 3,717
--------
32,693
--------
PUBLISHING AND ADVERTISING -- 1.8%
48,800 A.H. Belo Corporation.................. 900
10,300 Banta Corporation...................... 251
28,100 Harte-Hanks, Inc. ..................... 766
12,700 Houghton Mifflin Company............... 498
18,200 Lee Enterprises, Incorporated.......... 526
43,600 Readers Digest Association, Inc. ...... 1,540
7,000 Scholastic Corporation(!).............. 557
3,900 The Washington Post Company............ 2,058
--------
7,096
--------
RAILROADS, TRUCKING AND SHIPPING -- 1.1%
20,300 Airborne Freight Corporation........... 207
10,200 Arnold Industries, Inc. ............... 172
17,500 C.H. Robinson Worldwide, Inc. ......... 987
20,100 CNF Transportation Inc. ............... 447
19,700 GATX Corporation....................... 825
14,600 J.B. Hunt Transport Services, Inc.(!).. 186
12,600 Newport News Shipbuilding Inc. ........ 547
26,200 Swift Transportation Company, Inc.(!).. 342
15,700 Trinity Industries, Inc. .............. 367
20,400 Wisconsin Central Transportation
Corporation(!)....................... 215
--------
4,295
--------
RESTAURANTS -- 0.7%
14,700 Bob Evans Farms, Inc. ................. 272
27,000 Brinker International, Inc.(!)......... 813
23,600 CBRL Group Inc.(!)..................... 339
10,600 Lone Star Steakhouse & Saloon.......... 78
32,300 Outback Steakhouse, Inc.(!)............ 877
10,000 Papa John's International Inc.(!)...... 251
--------
2,630
--------
SEMICONDUCTORS -- 9.4%
40,500 Arrow Electronics, Inc.(!)............. 1,380
190,900 Atmel Corporation(++).................. 2,899
37,800 Avnet, Inc. ........................... 1,073
27,300 Cirrus Logic, Inc.(!).................. 1,101
20,600 Credence Systems Corporation........... 618
50,000 Cypress Semiconductor Corporation(!)... 2,078
43,100 Intergrated Device Technology,
Inc.(!).............................. 3,900
25,400 International Rectifier
Corporation(!)....................... 1,284
20,500 Lattice Semiconductor Corporation(!)... 1,102
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE> 22
NATIONS FUNDS
Nations MidCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS -- (CONTINUED)
34,900 Micrel Inc. ........................... $ 2,338
49,200 Microchip Technology Inc. ............. 1,627
26,700 Nvidia Corporation..................... 2,186
37,200 QLogic Corporation..................... 3,273
17,600 Sawtek, Inc.(!)........................ 678
27,000 Semtech Corporation.................... 1,164
33,800 TranSwitch Corporation................. 2,155
32,400 TriQuint Semiconductor, Inc. .......... 1,181
57,200 Vishay Intertechnology, Inc.(++)....... 1,759
74,400 Vitesse Semiconductor Corporation(++).. 6,616
--------
38,412
--------
SOFTWARE -- 7.5%
20,500 Affiliated Computer Services, Inc.(!).. 1,022
102,000 Cadence Design Systems, Inc.(!)........ 2,620
31,000 Checkfree Corporation(!)............... 1,299
26,000 DST Systems, Inc.(!)................... 3,055
53,800 Electronic Arts Inc. .................. 2,656
14,400 GTECH Holdings Corporation(!).......... 239
117,600 Informix Corporation(!)................ 485
84,300 Intuit Inc.(++)........................ 4,805
28,800 Keane Inc.(!).......................... 501
36,000 Legato Systems Inc.(!)................. 484
21,600 Macromedia Inc.(!)..................... 1,746
26,600 Mentor Graphics Corporation(!)......... 627
14,700 Mynd Corporation(!).................... 198
57,100 Network Associates, Inc.(!)............ 1,292
77,300 Rational Software Corporation(++)...... 5,362
15,000 Structural Dynamics Research
Corporation(!)....................... 246
36,900 Sybase, Inc.(!)........................ 849
25,300 Symantec Corporation(!)................ 1,113
13,700 Transaction Systems Architects,
Inc.(!).............................. 223
30,000 Wind River Systems(!).................. 1,438
--------
30,260
--------
SPECIALTY STORES -- 2.6%
41,700 Abercrombie & Fitch Company(!)......... 795
26,600 Barnes & Noble, Inc.(!)................ 524
30,300 BJ's Wholesale Club, Inc.(!)........... 1,034
32,500 Borders Group Inc.(!).................. 453
36,200 CDW Computer Centers, Inc. ............ 2,497
21,200 Claire's Stores, Inc. ................. 382
44,500 Dollar Tree Stores, Inc. .............. 1,804
70,900 Family Dollar Stores................... 1,365
46,800 OfficeMax, Inc.(!)..................... 167
34,400 Ross Stores, Inc. ..................... 495
23,000 Williams-Sonoma, Inc.(!)............... 799
--------
10,315
--------
TELECOMMUNICATIONS SERVICES -- 1.7%
15,700 Antec Corporation(!)................... 463
89,300 Broadwing Inc.(!)...................... 2,283
21,200 CommScope, Inc.(!)..................... 519
13,800 L-3 Communications Holdings, Inc.(!)... 780
24,800 Telephone and Data Systems, Inc. ...... 2,745
--------
6,790
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
TOBACCO -- 0.4%
42,200 R.J. Reynolds Tobacco Holdings,
Inc. ................................ $ 1,361
11,700 Universal Corporation.................. 344
--------
1,705
--------
UTILITIES -- MISCELLANEOUS -- 0.5%
16,700 Alexander & Baldwin, Inc. ............. 434
40,600 American Water Works Company, Inc. .... 1,119
14,000 Overseas Shipholding Group, Inc. ...... 383
--------
1,936
--------
TOTAL COMMON STOCKS
(Cost $327,742)...................... 401,449
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
-------
<C> <S> <C>
INVESTMENT COMPANIES -- 13.5%
(Cost $54,656)
54,656 Nations Cash Reserves#................ 54,656
--------
TOTAL INVESTMENTS
(Cost $382,398*)............. 113.0% 456,105
--------
OTHER ASSETS AND LIABILITIES
(NET)........................ (13.0)%
Receivable for investment securities
sold................................ $ 235
Dividends receivable.................. 310
Interest receivable................... 24
Receivable for variation margin....... 48
Collateral on securities loaned....... (51,948)
Investment advisory fee payable....... (15)
Administration fee payable............ (76)
Due to custodian...................... (116)
Payable for investment securities
purchased........................... (754)
Accrued Trustees' fees and expenses... (4)
Accrued expenses and other
liabilities......................... (82)
--------
TOTAL OTHER ASSETS AND LIABILITIES
(NET)............................... (52,378)
--------
NET ASSETS..................... 100.0% $403,727
========
NET ASSETS CONSIST OF:
Undistributed net investment income... $ 47
Accumulated net realized gain on
investments sold and futures
contracts........................... 21,722
Net unrealized appreciation of
investments and futures contracts... 73,702
Paid-in capital....................... 308,256
--------
NET ASSETS............................ $403,727
========
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($403,717,988 / 37,421,369 shares
outstanding)........................ $10.79
======
INVESTOR A SHARES:
Net asset value and redemption price
per share ($8,534 / 789 shares
outstanding)........................ $10.82
======
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE> 23
NATIONS FUNDS
Nations MidCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
---------------
* Federal Income Tax Information: Net unrealized appreciation of $73,707 on
investment securities was comprised of gross appreciation of $114,653 and
gross depreciation of $40,946 for federal income tax purposes. At September
30, 2000, the aggregate cost of securities for federal income tax purposes
was $382,398.
(!) Non-income producing security.
(++) All or a portion of security segregated as collateral for futures
contracts.
# 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
$51,948.
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE> 24
NATIONS FUNDS
Nations SmallCap Index Fund
STATEMENT OF NET ASSETS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS -- 98.2%
AEROSPACE AND DEFENSE -- 0.8%
15,700 AAR Corporation........................ $ 180
5,300 Alliant Techsystems Inc.(!)............ 435
14,700 BE Aerospace, Inc.(!).................. 237
24,700 GenCorp Inc. .......................... 201
21,900 Orbital Sciences Corporation(!)........ 183
18,000 Teledyne Technologies Inc.(!).......... 524
--------
1,760
--------
AIRLINES -- 0.8%
12,300 Atlantic Coast Airlines Holdings,
Inc.(!).............................. 396
12,300 Forward Air Corporation(!)............. 433
18,900 Mesa Air Group, Inc.(!)................ 103
8,200 Midwest Express Holdings, Inc.(!)...... 165
16,000 SkyWest, Inc. ......................... 820
--------
1,917
--------
APPAREL AND TEXTILES -- 1.4%
7,800 Ashworth Inc.(!)....................... 61
10,600 Brown Shoe Company, Inc. .............. 97
14,900 Cone Mills Corporation(!).............. 67
12,000 G & K Services, Inc., Class A.......... 337
11,200 Guilford Mills, Inc. .................. 21
3,800 Haggar Corporation..................... 48
10,600 Hancock Fabrics Inc. .................. 53
17,200 Hartmarx Corporation(!)................ 52
8,200 J. Baker Inc. ......................... 37
5,900 K-Swiss Inc. .......................... 133
13,900 Kellwood Company....................... 254
18,200 Nautica Enterprises Inc.(!)............ 235
7,100 Oshkosh B'Gosh Inc. ................... 108
4,500 Oxford Industries Inc. ................ 80
15,900 Phillips-Van Heusen Corporation........ 164
13,100 Quiksilver, Inc.(!).................... 252
25,100 Stride Rite Corporation................ 127
23,400 Timberland Company, Class A(++)........ 960
8,100 Wet Seal, Inc.(!)...................... 127
--------
3,213
--------
AUTOMOTIVE -- 1.6%
11,500 Aaron Rents, Inc. ..................... 148
31,500 Copart, Inc. .......................... 437
43,100 Gentex Corporation(!)(++).............. 1,078
12,500 Group 1 Automotive, Inc.(!)............ 136
14,800 Intermet Corporation................... 107
26,100 Mascotech, Inc. ....................... 432
9,000 Midas, Inc. ........................... 126
12,600 Myers Industries Inc. ................. 160
9,700 Oshkosh Truck Corporation.............. 376
10,400 Simpson Industries..................... 127
6,600 Spartan Motors Inc. ................... 21
7,300 Standard Motor Products, Inc. ......... 58
12,400 TBC Corporation(!)..................... 60
20,400 Tenneco Automotive Inc. ............... 106
12,100 Titan International Inc. .............. 70
27,600 Tower Automotive Inc.(!)............... 259
--------
3,701
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
BEVERAGES -- 0.6%
11,500 Beringer Wine Estates Holdings,
Inc.(!).............................. $ 639
5,100 Coca-Cola Bottling Company............. 214
10,700 Constellation Brands, Inc.(!).......... 581
--------
1,434
--------
BROADCASTING AND CABLE -- 0.1%
7,000 4Kids Entertainment Inc.(!)............ 118
--------
CHEMICALS -- BASIC -- 0.3%
14,600 Cambrex Corporation.................... 540
15,200 Mississippi Chemical Corporation....... 61
--------
601
--------
CHEMICALS -- SPECIALTY -- 1.5%
12,900 Arch Chemicals Inc. ................... 235
5,800 Chemed Corporation..................... 185
8,900 ChemFirst Inc. ........................ 185
13,500 Lilly Industries Inc., Class A......... 398
18,200 MacDermid, Inc. ....................... 382
13,900 OM Group, Inc. ........................ 607
23,100 Omnova Solutions Inc. ................. 128
4,300 Penford Corporation.................... 67
56,300 PolyOne Corporation(!)................. 412
5,100 Quaker Chemical Corporation............ 87
16,300 Scotts Company, Class A(!)............. 546
7,900 TETRA Technologies Inc.(!)............. 120
--------
3,352
--------
COMMERCIAL BANKING -- 6.3%
23,200 Centura Banks Inc. .................... 889
15,500 Chittenden Corporation................. 398
18,100 Commerce Bancorp, Inc.(++)............. 1,053
32,900 Commercial Federal Corporation......... 629
26,100 Community First Bankshares, Inc. ...... 458
30,300 Cullen Frost Bankers Inc. ............. 985
16,400 Downey Financial Corporation........... 648
23,900 First Midwest Bancorp, Inc. ........... 636
15,600 Firstbank Corporation.................. 381
6,700 GBC Bancorp............................ 228
28,200 Hudson United Bancorp.................. 779
25,800 Imperial Bancorp....................... 493
17,400 Investors Financial Services
Corporation(++)...................... 1,098
13,500 MAF Bancorp Inc. ...................... 336
16,100 Provident Bankshares Corporation....... 270
12,100 Queens County Bancorp Inc. ............ 349
16,500 Riggs National Corporation............. 202
28,200 Silicon Valley Bancshares.............. 1,643
25,100 South Financial Group, Inc. ........... 317
16,600 Southwest Bancorp of Texas(!).......... 543
21,100 Staten Island Bancorp, Inc. ........... 422
22,900 Susquehanna Bancshares Inc. ........... 349
31,200 TrustCo Bank Corporation NY............ 384
24,400 United Bankshares Inc. ................ 479
13,200 Whitney Holding Corporation............ 479
--------
14,448
--------
COMMERCIAL SERVICES -- 5.3%
13,200 ABM Industries Incorporated............ 359
7,900 Administaff, Inc.(!)................... 598
11,800 ADVO Inc.(!)........................... 389
32,400 Brightpoint, Inc.(!)................... 163
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE> 25
NATIONS FUNDS
Nations SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
COMMERCIAL SERVICES -- (CONTINUED)
3,700 Butler Manufacturing Company........... $ 85
32,200 Catalina Marketing Corporation(++)..... 1,213
11,100 CDI Corporation(!)..................... 178
21,300 Central Parking Corporation............ 422
23,500 ChoicePoint Inc.(++)................... 1,078
12,200 Computer Task Group Inc. .............. 38
28,800 eLoyalty Corporation(!)................ 367
9,000 F.Y.I. Incorporated(!)................. 336
19,000 Factset Research Systems Inc. ......... 714
10,800 Florida Rock Industries................ 426
12,000 Franklin Covey Company(!).............. 88
11,200 Heidrick & Struggles International,
Inc.(!).............................. 575
8,900 IMCO Recycling Inc. ................... 53
6,800 Insurance Auto Auctions Inc.(!)........ 110
24,400 Labor Ready, Inc.(!)................... 102
12,300 MAXIMUS, Inc.(!)....................... 272
9,500 Memberworks Incorporated(!)............ 312
19,100 National Data Corporation.............. 627
14,200 Pegasus Solutions Inc.(!).............. 278
13,100 Prepaid Legal Services Inc.(!)......... 423
9,900 SCP Pool Corporation................... 293
8,200 Startek, Inc.(!)....................... 238
23,100 Tetra Tech Inc.(!)..................... 660
29,000 The Profit Recovery Group
International, Inc.(!)............... 286
29,000 True North Communications(++).......... 1,037
9,500 URS Corporation(!)..................... 126
8,800 Volt Information Sciences Inc.(!)...... 189
15,700 Watsco Inc. ........................... 162
--------
12,197
--------
COMPUTER SERVICES -- 0.5%
13,200 Analysts International Corporation..... 95
6,600 CACI International, Inc.(!)............ 141
8,400 Fair, Issac and Company Inc. .......... 360
12,800 Gerber Scientific Inc. ................ 110
8,900 QRS Corporation(!)..................... 134
9,700 Zixit Corporation(!)................... 296
--------
1,136
--------
COMPUTERS AND OFFICE EQUIPMENT -- 1.8%
22,900 Avant Corporation(!)................... 418
13,200 Brady Corporation...................... 399
13,400 Exabyte Corporation(!)................. 151
14,500 Hutchinson Technology, Inc.(!)......... 305
16,900 Information Resources, Inc.(!)......... 115
7,200 Kronos Inc.(!)......................... 216
10,000 Micros Systems, Inc.(!)................ 151
3,500 Nashua Corporation..................... 30
29,100 Pinnacle Systems, Inc. ................ 327
9,900 Radisys Corporation(!)................. 501
53,600 S3 Inc.(!)............................. 553
9,200 Standard Microsystems Corporation(!)... 201
17,700 Zebra Technologies Corporation(!)(++).. 850
--------
4,217
--------
CONGLOMERATES -- 1.2%
16,200 Apogee Enterprises, Inc. .............. 92
24,400 Dycom Industries, Inc.(++)............. 1,016
14,500 Insituform Technologies Inc., Class
A(!)................................. 488
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
CONGLOMERATES -- (CONTINUED)
10,400 The Shaw Group Inc.(!)................. $ 733
12,800 Triarc Companies(!).................... 315
--------
2,644
--------
CONSTRUCTION -- 0.2%
30,500 Washington Group International,
Inc.(!).............................. 349
--------
CONSUMER SERVICES -- 1.2%
5,100 Angelica Corporation................... 49
7,400 Building Materials Holding
Corporation(!)....................... 66
17,200 Edgewater Technology, Inc.(!).......... 90
20,700 Fedders Corporation.................... 80
13,500 Kaman Corporation...................... 170
35,300 La-Z-Boy Inc. ......................... 515
7,900 New England Business Service, Inc. .... 143
13,400 On Assignment, Inc.(!)................. 421
8,800 Royal Appliance Manufacturing
Company(!)........................... 52
11,700 Russ Berrie & Company Inc. ............ 231
37,200 Spherion Corporation(!)................ 445
13,000 The Kroll-O'Gara Company(!)............ 78
9,000 Thomas Industries Inc. ................ 182
24,200 Wolverine World Wide................... 225
--------
2,747
--------
DEPARTMENT AND DISCOUNT STORES -- 0.6%
17,100 Ames Department Stores(!).............. 99
15,000 Cash America Investments Inc. ......... 110
10,200 Chico's FAS, Inc.(!)................... 347
7,200 Factory 2-U Stores Inc.(!)............. 220
23,700 Regis Corporation...................... 355
17,300 ShopKo Stores, Inc.(!)................. 179
--------
1,310
--------
DIVERSIFIED ELECTRONICS -- 3.7%
17,200 Aeroflex, Inc. ........................ 837
7,500 Analogic Corporation................... 288
21,600 Anixter International Inc.(!).......... 629
22,100 Artesyn Technologies, Inc.(!).......... 644
13,100 Audiovox Corporation(!)................ 197
11,100 Benchmark Electronics Inc.(!).......... 577
16,000 BMC Industries, Inc. .................. 110
17,600 Checkpoint Systems Inc.(!)............. 133
16,200 CTS Corporation(!)..................... 820
12,900 Dionex Corporation(!).................. 356
10,100 Esterline Technologies Corporation(!).. 199
20,000 Harman International Industries........ 782
13,100 Helix Technology Corporation........... 391
8,900 Itron Inc.(!).......................... 55
16,600 Kent Electronics Corporation(!)........ 396
20,700 Methode Electronics Inc.(!)............ 918
15,900 Pioneer Standard Electronics........... 216
20,500 Robotic Vision Systems, Inc.(!)........ 122
13,600 Trimble Navigation Limited(!).......... 304
22,000 Valence Technology, Inc.(!)............ 380
--------
8,354
--------
DIVERSIFIED MANUFACTURING -- 4.0%
13,600 A. O. Smith Corporation................ 171
10,900 Barnes Group Inc. ..................... 200
14,200 Belden Inc. ........................... 335
18,100 Birmingham Steel Corporation........... 49
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE> 26
NATIONS FUNDS
Nations SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
DIVERSIFIED MANUFACTURING -- (CONTINUED)
14,100 CLARCOR Inc. .......................... $ 275
9,900 Cross (A.T.) Company(!)................. 53
9,500 CUNO Incorporated(!).................... 211
22,300 Delta and Pine Land Company............ 573
6,700 Dixie Group Inc.(!)..................... 26
11,400 Elcor Corporation...................... 165
17,300 Griffon Corporation(!).................. 131
8,600 Innovex Inc. .......................... 117
4,900 Insteel Industries, Inc. .............. 20
9,500 Ionics Inc.(!).......................... 202
11,300 JAKKS Pacific, Inc.(!).................. 106
5,700 Lawson Products........................ 138
32,700 Lennox International Inc. ............. 307
8,900 Libbey Inc. ........................... 277
9,200 Lydall Inc.(!).......................... 105
9,600 Meade Instruments Corporation(!)........ 194
21,400 Plexus Corporation(++).................. 1,509
6,900 Republic Group Incorporated............ 127
17,800 Roper Industries, Inc. ................ 591
9,900 Scott Technologies, Inc.(!)............. 175
7,000 Simpson Manufacturing Company,
Inc.(!)............................... 313
11,400 Specialty Equipment Companies,
Inc.(!)............................... 281
7,400 SPS Technologies Inc.(!)................ 359
7,300 Standex International Corporation...... 141
15,700 Sturm, Ruger & Company Inc. ........... 129
22,100 Tredegar Industries, Inc. ............. 383
24,600 Vicor Corporation(!)(++)................. 1,335
15,400 Watts Industries, Inc. ................ 154
--------
9,152
--------
ELECTRIC POWER -- NON NUCLEAR -- 0.6%
4,300 Bangor Hydro-Electric Company.......... 104
6,700 Central Vermont Public Services........ 68
9,800 CH Energy Group, Inc. ................. 391
3,200 Green Mountain Power Corporation....... 24
8,400 UIL Holdings Corporation............... 433
18,900 UniSource Energy Corporation........... 309
--------
1,329
--------
ELECTRICAL EQUIPMENT -- 1.2%
22,800 APW Limited(!)(++)....................... 1,112
15,300 C&D Technologies, Inc. ................ 868
11,800 Cohu, Inc. ............................ 181
8,000 Intermagnetics General Corporation..... 213
6,100 Park Electrochemical Corporation....... 339
--------
2,713
--------
ENERGY -- MISCELLANEOUS -- 1.0%
27,500 Avista Corporation..................... 619
19,200 Barrett Resources Corporation(!)........ 726
7,600 NUI Corporation........................ 229
19,000 Systems & Computer Technology
Corporation(!)........................ 334
15,800 UGI Corporation........................ 383
--------
2,291
--------
EXPLORATION AND PRODUCTION -- 0.5%
10,200 Nuevo Energy Company(!)................. 187
9,900 Patina Oil and Gas Corporation......... 198
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
EXPLORATION AND PRODUCTION -- (CONTINUED)
14,600 Southwestern Energy Company............ $ 128
10,800 Stone Energy Corporation(!)............. 594
--------
1,107
--------
FINANCE -- MISCELLANEOUS -- 1.0%
44,100 AmeriCredit Corporation(!)(++)........... 1,271
13,500 Anchor Bancorp Wisconsin Inc. ......... 212
30,300 Washington Federal, Inc. .............. 689
--------
2,172
--------
FOOD AND DRUG STORES -- 0.8%
28,800 Casey's General Stores, Inc. .......... 374
23,100 Fleming Companies Inc. ................ 302
6,700 Nash-Finch Company..................... 70
22,300 The Great Atlantic & Pacific Tea
Company, Inc. ....................... 247
15,300 Whole Foods Market Inc.(!).............. 821
--------
1,814
--------
FOOD PRODUCTS -- 1.9%
5,700 Agribrands International, Inc.(!)....... 249
10,700 American Italian Pasta Company(!)....... 205
38,800 Chiquita Brands International Inc. .... 121
20,500 Corn Products International Inc. ...... 466
24,600 Earthgrains Company.................... 454
16,900 Hain Celestial Group, Inc.(!)........... 594
5,000 J & J Snack Foods Corporation(!)........ 65
10,700 Michael Foods Inc. .................... 250
7,300 Morrison Management Specialists,
Inc. ................................ 216
7,300 Panera Bread Company, Class A(!)........ 152
8,200 Performance Food Group Company(!)....... 309
17,400 Ralcorp Holdings, Inc.(!)............... 246
32,900 Smithfield Foods Inc.(!)................ 863
10,600 United Natural Foods, Inc.(!)........... 131
--------
4,321
--------
HEALTH SERVICES -- 3.0%
14,600 Advance Paradigm, Inc.(!)............... 616
34,900 Advanced Tissue Sciences, Inc.(!)....... 260
19,700 Cerner Corporation(!)................... 915
34,400 Coventry Health Care Inc.(!)............ 520
4,800 Curative Health Services, Inc.(!)....... 26
16,000 Immune Response Corporation(!).......... 110
17,600 Invacare Corporation................... 565
14,800 Laser Vision Centers, Inc.(!)........... 64
27,600 Mid Atlantic Medical Services,
Inc.(!)............................... 417
28,300 Orthodontic Centers of America(!)....... 943
14,800 PAREXEL International Corporation(!).... 126
9,200 Pediatrix Medical Group Inc.(!)......... 119
26,800 Renal Care Group, Inc.(!)............... 499
17,400 Universal Health Services Inc., Class
B(!)(++)............................... 1,491
53,900 US Oncology, Inc.(!).................... 244
--------
6,915
--------
HEAVY MACHINERY -- 1.8%
11,800 Applied Industrial Technologies,
Inc. ................................ 204
11,200 Astec Industries Inc.(!)................ 123
19,700 Baldor Electric Company................ 399
4,500 CPI Corporation........................ 96
8,600 Flow International Corporation(!)....... 94
23,700 Foster Wheeler Corporation............. 172
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE> 27
NATIONS FUNDS
Nations SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
HEAVY MACHINERY -- (CONTINUED)
8,900 Gardner Denver Machinery Inc.(!)....... $ 145
11,800 Graco Inc. ............................ 380
17,500 IDEX Corporation....................... 488
25,400 JLG Industries Inc. ................... 310
6,800 Lindsay Manufacturing Company.......... 127
14,400 Manitowoc Company, Inc. ............... 277
20,300 Milacron Inc. ......................... 270
25,600 Paxar Corporation(!)................... 229
12,200 Regal Beloit........................... 207
6,400 Robbins & Myers, Inc. ................. 151
17,300 SpeedFam-IPEC, Inc.(!)................. 198
7,400 Toro Company........................... 233
12,400 X-Rite, Inc. .......................... 109
--------
4,212
--------
HOUSEHOLD PRODUCTS -- 0.2%
13,400 Applica Incorporated(!)................ 83
4,100 National Presto Industries, Inc. ...... 123
9,800 Natures Sunshine Products Inc. ........ 73
20,200 SLI, Inc. ............................. 147
--------
426
--------
HOUSING AND FURNISHING -- 1.9%
6,900 Bassett Furniture Industries, Inc. .... 98
27,500 Champion Enterprises Inc.(!)........... 117
9,100 Coachmen Industries Inc. .............. 95
39,300 D.R. Horton Inc. ...................... 675
23,000 Ethan Allen Interiors, Inc. ........... 651
29,800 Interface Inc. ........................ 237
12,400 M.D.C. Holdings, Inc. ................. 322
11,000 Monaco Coach Corporation(!)............ 182
5,200 NVR, Inc.(!)........................... 421
6,600 Salton, Inc.(!)........................ 213
5,100 Skyline Corporation.................... 109
17,300 Standard Pacific Corporation........... 311
7,500 The Ryland Group, Inc. ................ 233
21,100 Toll Brothers, Inc.(!)................. 726
--------
4,390
--------
INSURANCE -- 3.4%
22,200 Arthur J. Gallagher & Company(++)...... 1,312
11,700 Delphi Financial Group Inc., Class A... 474
7,500 E.W. Blanch Holdings, Inc. ............ 156
22,200 Enhance Financial Services Group
Inc. ................................ 289
39,300 Fidelity National Financial, Inc. ..... 972
37,000 First American Financial Corporation... 772
40,800 Fremont General Corporation............ 140
7,600 Hilb, Rogal and Hamilton Company....... 317
24,000 Mutual Risk Management Ltd. ........... 527
22,000 Radian Group Inc.(++).................. 1,484
5,700 RLI Corporation........................ 220
5,400 SCPIE Holdings Inc. ................... 109
14,900 Selective Insurance Group.............. 266
15,900 Sierra Health Services, Inc.(!)........ 75
18,500 Trenwick Group Limited(!).............. 352
10,000 Zenith National Insurance.............. 219
--------
7,684
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
INTEGRATED OIL -- 3.1%
16,900 Cabot Oil & Gas Corporation............ $ 344
10,700 HS Resources, Inc.(!).................. 360
29,400 Input/Output, Inc.(!).................. 283
25,100 Louis Dreyfus Natural Gas
Corporation(!)....................... 995
10,300 New Jersey Resources Corporation....... 418
24,800 Newfield Exploration Company(!)(++).... 1,159
13,400 Oceaneering International Inc.(!)...... 223
10,400 Plains Resources Inc.(!)............... 196
23,500 Pogo Producing Company................. 596
38,300 Pride International Inc.(!)(++)........ 1,015
12,500 Remington Oil & Gas Corporation(!)..... 130
14,000 Seitel Inc.(!)......................... 201
13,200 St. Mary Land & Exploration Company.... 304
36,600 Vintage Petroleum, Inc. ............... 833
--------
7,057
--------
INVESTMENT SERVICES -- 2.2%
7,500 Dain Rauscher Corporation.............. 698
20,600 Eaton Vance Corporation(!)............. 1,051
14,100 Jefferies Group, Inc. ................. 379
16,600 Morgan Keegan, Inc. ................... 291
12,200 National Discount Brokers Group,
Inc.(!).............................. 377
26,900 Raymond James Financial, Inc. ......... 886
9,200 Southwest Securities Group, Inc. ...... 269
15,700 The Pioneer Group, Inc.(!)............. 690
13,300 Tucker Anthony Sutro Corporation(!).... 337
--------
4,978
--------
LODGING AND RECREATION -- 1.3%
6,700 Anchor Gaming(!)....................... 534
14,100 Arctic Cat Inc. ....................... 178
23,700 Aztar Corporation(!)................... 364
19,100 Fleetwood Enterprises Inc. ............ 259
5,900 Huffy Corporation...................... 62
10,500 K2 Inc.(!)............................. 94
15,300 Pinnacle Entertainment, Inc.(!)........ 333
13,900 Polaris Industries Inc. ............... 490
26,300 Prime Hospitality Corporation(!)....... 266
7,100 Thor Industries Inc. .................. 164
12,400 Winnebago Industries................... 155
--------
2,899
--------
MEDICAL DEVICES AND SUPPLIES -- 4.9%
12,200 ADAC Laboratories Designs(!)........... 254
27,500 Alliance Pharmaceutical
Corporation(!)....................... 419
13,700 Biomatrix, Inc.(!)..................... 240
15,700 Coherent Inc.(!)(++)................... 1,069
8,900 CONMED Corporation(!).................. 122
8,300 Cooper Companies Inc. ................. 294
8,700 Datascope Corporation.................. 291
8,000 Diagnostic Products Corporation........ 429
11,000 Hanger Orthopedic Group, Inc.(!)....... 41
9,000 Hologic, Inc.(!)....................... 67
38,700 Hooper Holmes, Inc. ................... 368
20,200 IDEXX Laboratories Inc.(!)............. 540
13,600 Mentor Corporation..................... 214
19,900 Organogenesis Inc.(!).................. 293
8,100 Osteotech, Inc.(!)..................... 77
19,200 Owens & Minor, Inc. ................... 302
39,300 Patterson Dental Company(++)........... 884
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE> 28
NATIONS FUNDS
Nations SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
MEDICAL DEVICES AND SUPPLIES --
(CONTINUED)
7,700 PolyMedica Corporation(!).............. $ 330
13,200 Priority Healthcare Corporation(!)..... 1,007
17,800 ResMed Inc. ........................... 556
17,100 Respironics, Inc.(!)................... 285
14,100 Sola International Inc.(!)............. 91
5,600 SpaceLabs Medical Inc.(!).............. 55
13,000 Sunrise Medical Inc.(!)................ 78
12,000 Techne Corporation(!)(++).............. 1,345
17,200 Theragenics Corporation(!)............. 112
18,400 Varian Medical Systems, Inc.(!)(++).... 831
7,100 Vital Signs Inc. ...................... 188
10,300 Wesley Jessen Visioncare, Inc.(!)...... 396
--------
11,178
--------
METALS AND MINING -- 1.5%
8,200 A. M. Castle & Company................. 79
4,900 Amcast Industrial Corporation.......... 46
9,500 Brush Wellman Inc. .................... 205
8,300 Commercial Metals Company.............. 212
9,600 Commonwealth Industries, Inc. ......... 53
8,700 Material Sciences Corporation(!)....... 99
20,100 Mueller Industries Inc.(!)............. 451
13,500 Northwestern Corporation............... 263
8,000 Quanex Corporation..................... 153
16,200 Reliance Steel & Aluminum Company...... 341
12,200 RTI International Metals, Inc.(!)...... 176
27,100 Steel Dynamics, Inc.(!)................ 249
6,200 Steel Technologies Inc. ............... 39
22,400 Stillwater Mining Company(!)........... 607
12,300 Texas Industries Inc. ................. 392
7,000 Wolverine Tube Inc.(!)................. 104
--------
3,469
--------
NATURAL GAS DISTRIBUTION -- 1.5%
18,500 Atmos Energy Corporation............... 382
6,400 Cascade Natural Gas Corporation........ 112
17,600 Energen Corporation.................... 524
11,000 Laclede Gas Company.................... 238
14,700 Northwest Natural Gas Company.......... 334
18,400 Piedmont Natural Gas Company, Inc. .... 564
28,800 Southern Union Company................. 570
18,300 Southwest Gas Corporation.............. 383
13,500 Valmont Industries Inc. ............... 268
--------
3,375
--------
NETWORKING AND TELECOMMUNICATIONS
EQUIPMENT -- 3.0%
21,800 Adaptive Broadband Corporation......... 425
17,300 Auspex Systems, Inc.(!)................ 214
13,100 Aware Inc.(!).......................... 504
7,100 Brooktrout Inc.(!)..................... 234
19,700 C-COR Electronics...................... 302
25,100 Cable Design Technologies
Corporation.......................... 610
9,500 Concord Communications, Inc.(!)........ 252
42,800 DMC Stratex Networks, Inc.(!).......... 687
14,600 NYFIX, Inc.(!)......................... 653
45,000 P-Com, Inc.(!)......................... 298
28,500 Plantronics Inc.(++)................... 1,083
14,900 Proxim, Inc. .......................... 663
10,200 Telxon Corporation(!).................. 179
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
NETWORKING AND TELECOMMUNICATIONS
EQUIPMENT -- (CONTINUED)
12,500 Three-Five Systems, Inc. .............. $ 366
12,700 ViaSat Inc. ........................... 284
18,000 Visual Networks, Inc.(!)............... 118
--------
6,872
--------
OIL REFINING AND MARKETING -- 0.1%
9,000 WD-40 Company.......................... 191
--------
OILFIELD SERVICES -- 1.6%
8,100 Atwood Oceanics, Inc.(!)............... 338
9,200 Cal Dive International Inc.(!)......... 526
40,500 Cross Timbers Oil Company.............. 776
10,100 Dril-Quip(!)........................... 403
28,400 Friede Goldman Halter, Inc.(!)......... 201
13,700 Hughes Supply Inc. .................... 269
12,300 Offshore Logistics Inc.(!)............. 220
9,900 Seacor Smit, Inc. ..................... 462
12,900 Swift Energy Company(!)................ 536
--------
3,731
--------
PACKAGING AND CONTAINERS -- 0.2%
20,800 AptarGroup Inc. ....................... 498
--------
PAPER AND FOREST PRODUCTS -- 0.7%
20,400 Buckeye Technologies Inc.(!)........... 423
15,100 Caraustar Industries, Inc. ............ 167
7,100 Deltic Lumber.......................... 120
8,200 Pope & Talbot Inc. .................... 117
8,900 Schweitzer-Mauduit International
Inc. ................................ 119
19,900 United Stationers Inc.(!).............. 535
11,700 Universal Forest Products.............. 134
--------
1,615
--------
PHARMACEUTICALS -- 7.7%
23,200 Alpharma Inc., Class A(++)............. 1,418
20,100 Barr Laboratories, Inc.(++)............ 1,333
20,200 Bindley Western Industries............. 646
31,800 Bio-Technology General Corporation(!).. 364
20,300 Cephalon, Inc.(!)(++).................. 985
31,200 COR Therapeutics, Inc.(!).............. 1,944
15,300 Cygnus, Inc.(!)........................ 168
25,900 Dura Pharmaceuticals Inc.(!)........... 916
14,900 Enzo Biochem, Inc.(!).................. 723
17,100 Medicis Pharmaceutical Corporation,
Class A(!)(++)....................... 1,052
39,900 NBTY, Inc.(!).......................... 261
12,800 Noven Pharmaceuticals, Inc.(!)......... 547
14,600 Pharmaceutical Product Development,
Inc.(!).............................. 388
24,900 Protein Design Labs, Inc.(++).......... 2,999
21,300 Regeneron Pharmaceuticals, Inc.(!)..... 695
14,000 Syncor International Corporation(++)... 515
31,300 Vertex Pharmaceuticals, Inc. .......... 2,645
--------
17,599
--------
PUBLISHING AND ADVERTISING -- 0.6%
19,500 Bowne & Company Inc. .................. 190
7,600 Consolidated Graphics Inc.(!).......... 89
9,300 Cyrk, Inc.(!).......................... 32
37,300 HA-LO Industries, Inc.(!).............. 149
16,600 John H. Harland Company................ 254
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE> 29
NATIONS FUNDS
Nations SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
PUBLISHING AND ADVERTISING -- (CONTINUED)
18,500 Penton Media Inc. ..................... $ 509
8,300 Thomas Nelson, Inc. ................... 68
--------
1,291
--------
RAILROADS, TRUCKING AND SHIPPING -- 2.3%
18,900 American Freightways Corporation(!).... 300
11,500 Arkansas Best Corporation(!)........... 177
10,400 Circle International Group, Inc. ...... 315
16,600 EGL, Inc.(!)........................... 502
29,900 Expeditors International of Washington,
Inc.(++)............................. 1,347
21,300 Fritz Companies, Inc.(!)............... 256
9,500 Frozen Food Express Industries,
Inc.(!).............................. 24
14,800 Heartland Express Inc.(!).............. 257
14,300 Kirby Corporation(!)................... 281
5,100 Landstar System Inc.(!)................ 228
6,500 M.S. Carriers Inc.(!).................. 102
11,300 Roadway Express, Inc. ................. 203
33,800 Rollins Truck Leasing Corporation...... 213
15,300 U.S. Freightways Corporation........... 347
13,400 Wabash National Corporation............ 122
27,400 Werner Enterprises Inc. ............... 322
14,300 Yellow Corporation(!).................. 216
--------
5,212
--------
RESTAURANTS -- 1.7%
15,600 Applebees International Inc. .......... 359
15,600 CEC Entertainment Inc.(!).............. 499
29,400 CKE Restaurant Inc. ................... 90
17,000 Consolidated Products, Inc. ........... 136
11,700 IHOP Corporation(!).................... 224
22,300 Jack in the Box Inc.(!)................ 478
13,000 Landry's Seafood Restaurants Inc. ..... 89
13,100 Luby's Inc. ........................... 70
17,200 Marcus Corporation..................... 181
35,700 Ruby Tuesday Inc. ..................... 402
18,900 Ryan's Family Steak Houses Inc.(!)..... 145
10,200 Sonic Corporation(!)................... 321
6,800 Taco Cabana Inc., Class A(!)........... 29
18,000 The Cheesecake Factory................. 778
--------
3,801
--------
SEMICONDUCTORS -- 4.4%
13,900 Actel Corporation(!)................... 500
24,000 Alliance Semiconductor Corporation(!).. 477
25,000 Alpha Industries, Inc.(++)............. 852
12,300 AXT, Inc.(!)........................... 514
28,700 C-Cube Micosystems Inc.(!)............. 588
25,200 Cognex Corporation(!)(++).............. 994
35,200 Dallas Semiconductor Corporation(++)... 1,157
15,500 Electro Scientific Industries, Inc. ... 544
12,100 Electroglas, Inc.(!)................... 206
22,000 General Semiconductor, Inc.(!)......... 268
50,900 KEMET Corporation(++).................. 1,406
28,400 Kulicke & Soffa Industries Inc. ....... 378
16,400 Photronics, Inc.(!).................... 358
19,800 Silicon Valley Group, Inc.(!).......... 521
9,500 Technitrol Inc.(++).................... 960
10,600 TelCom Semiconductor, Inc.(!).......... 158
</TABLE>
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS -- (CONTINUED)
12,300 Ultratech Stepper, Inc.(!)............. $ 198
216 Zilog Inc.(!).......................... 2
--------
10,081
--------
SOFTWARE -- 6.3%
24,300 American Management Systems(!)(++)..... 418
15,200 Aspen Technology, Inc.(!).............. 686
14,700 Avid Technology, Inc.(!)............... 206
17,800 AVT Corporation(!)..................... 99
8,100 BARRA, Inc.(!)......................... 503
24,700 Billing Concepts Corporation(!)........ 79
34,700 Ciber Inc.(!).......................... 286
23,100 Dendrite International, Inc. .......... 619
24,200 Epicor Software Corporation(!)......... 85
13,800 ePresence, Inc.(!)..................... 93
25,300 ESS Technology, Inc.(!)................ 362
20,000 FileNET Corporation(!)................. 364
11,600 Great Plains Software, Inc.(!)......... 326
18,700 HNC Software Inc.(!)................... 1,529
18,900 Hyperion Solutions Corporation(!)...... 489
23,700 Jack Henry & Associates(++)............ 1,028
12,400 Mercury Computer Systems, Inc.(!)...... 345
22,000 Midway Games Inc.(!)................... 154
29,300 National Instruments
Corporation(!)(++)................... 1,292
15,300 Phoenix Technologies Ltd.(!)........... 244
20,800 Progress Software Corporation.......... 283
12,700 Project Software & Development,
Inc. ................................ 197
36,100 Read-Rite Corporation(!)............... 406
18,400 Remedy Corporation(!).................. 347
23,300 RSA Security Inc.(!)(++)............... 1,005
17,100 Saga Systems, Inc.(!).................. 180
5,700 SPSS, Inc.(!).......................... 153
16,200 The BISYS Group, Inc.(!)(++)........... 1,252
11,200 THQ Inc. .............................. 260
14,400 Veritas DGC Inc.(!).................... 417
18,200 Verity, Inc. .......................... 650
--------
14,357
--------
SPECIALTY STORES -- 4.2%
19,700 99 Cents Only Stores(++)............... 988
9,500 Action Performance Companies, Inc.(!).. 33
16,700 AnnTaylor Stores Corporation(!)........ 642
10,500 Books-A-Million Inc.(!)................ 28
25,800 Burlington Coat Factory Warehouse
Corporation.......................... 369
14,500 Cato Corporation....................... 181
12,100 Cost Plus, Inc.(!)..................... 365
3,400 Damark International, Inc.(!).......... 42
8,300 Department 56, Inc.(!)................. 109
9,700 Discount Auto Parts Inc.(!)............ 75
10,400 Dress Barn Inc.(!)..................... 218
7,900 Enesco Group, Inc. .................... 46
11,400 Footstar Inc.(!)....................... 368
18,700 Fossil, Inc.(!)........................ 249
19,000 Goody's Family Clothing Inc.(!)........ 75
7,300 Gottschalks Inc.(!).................... 45
14,200 Gymboree Corporation(!)................ 77
23,850 Insight Enterprises Inc. .............. 650
10,500 Jo-Ann Stores Inc.(!).................. 76
5,100 Lillian Vernon Corporation............. 50
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE> 30
NATIONS FUNDS
Nations SmallCap Index Fund
STATEMENT OF NET ASSETS (CONTINUED) SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (000)
-------------------------------------------------------------
<C> <S> <C>
SPECIALTY STORES -- (CONTINUED)
23,200 Linens 'N Things Inc.(!)(++)........... $ 592
11,500 Mayor's Jewelers Inc.(!)............... 43
19,400 Michaels Stores Inc.(!)(++)............ 776
29,800 O'Reilly Automotive Inc. .............. 436
18,500 Pacific Sunwear of California(!)....... 347
31,000 PEP Boys -- Manny, Moe & Jack.......... 155
56,300 Pier 1 Imports Inc. ................... 764
10,200 School Specialty, Inc.(!).............. 217
25,100 Stein Mart Inc.(!)..................... 271
19,600 The Bombay Company Inc.(!)............. 48
24,100 The Men's Wearhouse Inc.(!)............ 682
20,500 Zale Corporation(!)(++)................ 665
--------
9,682
--------
TELECOMMUNICATIONS SERVICES -- 1.4%
16,300 Allen Telecom Inc.(!).................. 276
30,100 Aspect Communications
Corporation(!)(++)................... 622
10,900 Black Box Corporation(!)............... 508
7,800 Davox Corporation(!)................... 78
8,800 Digi International Inc.(!)............. 69
30,300 General Communication, Inc., Class
A(!)................................. 217
15,400 Inter-Tel Inc. ........................ 175
19,100 Intervoice Inc.(!)..................... 201
12,600 Network Equipment Technologies
Inc.(!).............................. 135
13,200 SymmetriCom Inc. ...................... 206
45,700 TALK.com, Inc.(!)...................... 201
17,400 Xircom Inc.(!)......................... 439
--------
3,127
--------
TOBACCO -- 0.0%+
25,900 DiMon Inc. ............................ 84
--------
UTILITIES -- MISCELLANEOUS -- 0.3%
5,200 American States Water Company.......... 157
23,900 Philadelphia Suburban Corporation...... 554
--------
711
--------
TOTAL COMMON STOCKS
(Cost $194,423)...................... 223,832
--------
<CAPTION>
PRINCIPAL
AMOUNT
(000)
---------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 0.2%
(Cost $543)
U.S. TREASURY BILLS -- 0.2%
$ 550 6.210%** 12/21/00(++).................. 543
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
(000)
-------
<C> <S> <C>
INVESTMENT COMPANIES -- 8.3%
(Cost $19,019)
19,019 Nations Cash Reserves#................ 19,019
--------
</TABLE>
<TABLE>
<CAPTION>
VALUE
(000)
-----------------------------------------------------------
<C> <S> <C>
TOTAL INVESTMENTS
(Cost $213,985*)............. 106.7% $243,394
--------
OTHER ASSETS AND LIABILITIES
(NET)........................ (6.7)%
Cash.................................. $ 26
Receivable for investment securities
sold................................ 999
Receivable for Fund shares sold....... 174
Dividends receivable.................. 115
Interest receivable................... 46
Receivable for variation margin....... 91
Unamortized organization costs........ 2
Collateral on securities loaned....... (14,732)
Payable for Fund shares redeemed...... (72)
Investment advisory fee payable....... (5)
Administration fee payable............ (43)
Shareholder servicing and distribution
fees payable........................ (1)
Payable for investment securities
purchased........................... (1,906)
Accrued Trustees' fees and expenses... (41)
Accrued expenses and other
liabilities......................... (41)
TOTAL OTHER ASSETS AND LIABILITIES
(NET)............................... (15,388)
--------
NET ASSETS..................... 100.0% $228,006
========
NET ASSETS CONSIST OF:
Undistributed net investment income... $ 30
Accumulated net realized loss on
investments sold and futures
contracts........................... (6,871)
Net unrealized appreciation of
investments and futures contracts... 29,397
Paid-in capital....................... 205,450
--------
NET ASSETS............................ $228,006
========
PRIMARY A SHARES:
Net asset value, offering and
redemption price per share
($221,208,659 / 15,700,135 shares
outstanding)........................ $14.09
------
------
INVESTOR A SHARES:
Net asset value and redemption price
per share ($6,797,066 / 482,558
shares outstanding)................. $14.09
------
------
</TABLE>
---------------
* Federal Income Tax Information: Net unrealized appreciation of $29,409 on
investment securities was comprised of gross appreciation of $50,026 and
gross depreciation of $20,617 for federal income tax purposes. At September
30, 2000, the aggregate cost of securities for federal income tax purposes
was $213,985.
** Rate represents annualized yield at date of purchase.
(!) Non-income producing security.
(++) All or a portion of security segregated as collateral for futures
contracts.
+ 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 $14,732.
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE> 31
NATIONS FUNDS
STATEMENTS OF OPERATIONS (UNAUDITED)
For the six months ended September 30, 2000
<TABLE>
LARGECAP MANAGED MIDCAP SMALLCAP
INDEX INDEX INDEX(a) INDEX
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
(IN THOUSANDS)
INVESTMENT INCOME:
Dividends (Net of foreign withholding taxes of $126,
$26, $0 and $0, respectively)..................... $ 15,366 $ 3,071 $ 2,281 $ 660
Interest............................................ 759 149 211 383
Securities lending.................................. 51 6 11 25
-------------- -------------- -------------- --------------
Total investment income......................... 16,176 3,226 2,503 1,068
-------------- -------------- -------------- --------------
EXPENSES:
Investment advisory fee............................. 5,473 1,137 813 410
Administration fee.................................. 3,147 654 468 235
Transfer agent fees................................. 412 105 90 32
Custodian fees...................................... 88 36 16 30
Legal and audit fees................................ 48 36 37 34
Registration and filing fees........................ 102 17 68 14
Trustees' fees and expenses......................... 9 9 9 8
Amortization of organization costs.................. -- 1 -- 1
Interest expense.................................... 42 15 20 1
Printing expense.................................... 70 19 25 20
Other............................................... 52 -- 10 9
-------------- -------------- -------------- --------------
Subtotal........................................ 9,443 2,029 1,556 794
Shareholder servicing and distribution fees:
Primary B Shares.................................. -- --* -- --
Investor A Shares................................. 38 61 --* 9
-------------- -------------- -------------- --------------
Total expenses.................................. 9,481 2,090 1,556 803
Fees waived and expenses reimbursed by investment
advisor and/or distributor........................ (4,603) (590) (823) (358)
Fees reduced by credits allowed by the custodian.... (9) (2) (1) (3)
-------------- -------------- -------------- --------------
Net expenses.................................... 4,869 1,498 732 442
-------------- -------------- -------------- --------------
NET INVESTMENT INCOME/(LOSS)........................ 11,307 1,728 1,771 626
-------------- -------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS:
Net realized gain/(loss) from:
Security transactions............................. (33,751) 30,052 21,023 12,688
Futures contracts................................. 2,821 1,037 699 (1,441)
-------------- -------------- -------------- --------------
Net realized gain/(loss) on investments............. (30,930) 31,089 21,722 11,247
-------------- -------------- -------------- --------------
Change in unrealized appreciation/(depreciation) of:
Securities........................................ (76,821) (54,108) 73,707 (3,873)
Futures contracts................................. (4,736) (1,160) (5) 911
-------------- -------------- -------------- --------------
Net change in unrealized appreciation/(depreciation)
of investments.................................... (81,557) (55,268) 73,702 (2,962)
-------------- -------------- -------------- --------------
Net realized and unrealized gain/(loss) on
investments....................................... (112,487) (24,179) 95,424 8,285
-------------- -------------- -------------- --------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS........................................ $ (101,180) $ (22,451) $ 97,195 $ 8,911
============== ============== ============== ==============
</TABLE>
---------------
* Amount represents less than $500.
(a) MidCap Index commenced operations on March 31, 2000.
SEE NOTES TO FINANCIAL STATEMENTS.
27
<PAGE> 32
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
LARGECAP INDEX
------------------------------------
SIX MONTHS
ENDED
9/30/00 YEAR ENDED
(UNAUDITED) 3/31/00
------------------------------------
<S> <C> <C>
(IN THOUSANDS)
Net investment income/(loss)................................ $ 11,307 $ 10,043
Net realized gain/(loss) on investments..................... (30,930) 2,015
Net change in unrealized appreciation/(depreciation) of
investments............................................... (81,557) 161,252
-------------- --------------
Net increase/(decrease) in net assets resulting from
operations................................................ (101,180) 173,310
Distributions to shareholders from net investment income:
Primary A Shares.......................................... (10,640) (9,866)
Primary B Shares.......................................... -- --
Investor A Shares......................................... (86) (159)
Distributions to shareholders from net realized gain on
investments:
Primary A Shares.......................................... (68) (10,202)
Primary B Shares.......................................... -- --
Investor A Shares......................................... (1) (241)
Net increase/(decrease) in net assets from Fund share
transactions.............................................. (144,600) 1,755,447
-------------- --------------
Net increase/(decrease) in net assets....................... (256,575) 1,908,289
-------------- --------------
NET ASSETS:
Beginning of period......................................... 2,855,429 947,140
-------------- --------------
End of period............................................... $ 2,598,854 $ 2,855,429
============== ==============
Undistributed net investment income/(loss)/(distributions in
excess of net investment income) at end of period......... $ 644 $ 63
============== ==============
</TABLE>
---------------
* Amount represents less than $500.
(a) MidCap Index commenced operations on March 31, 2000.
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE> 33
NATIONS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
MANAGED INDEX MIDCAP INDEX SMALLCAP INDEX
------------- --------------------------------------
-------------------------------------
SIX MONTHS SIX MONTHS
ENDED PERIOD ENDED ENDED
9/30/00 YEAR ENDED 9/30/00(a) 9/30/00 YEAR ENDED
(UNAUDITED) 3/31/00 (UNAUDITED) (UNAUDITED) 3/31/00
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 1,728 $ 5,537 $ 1,771 $ 626 $ 685
31,089 51,922 21,722 11,247 (1,463)
(55,268) 36,646 73,702 (2,962) 41,308
-------------- -------------- -------------- -------------- --------------
(22,451) 94,105 97,195 8,911 40,530
(1,577) (5,273) (1,724) (612) (654)
--* --* -- -- --
(87) (290) --* (8) (7)
(39,398) (4,135) -- -- --
--* -- -- -- --
(3,504) (348) -- -- --
(68,850) (156,377) 308,256 15,512 (34,827)
-------------- -------------- -------------- -------------- --------------
(135,867) (72,318) 403,727 23,803 5,042
-------------- -------------- -------------- -------------- --------------
644,756 717,074 -- 204,203 199,161
-------------- -------------- -------------- -------------- --------------
$ 508,889 $ 644,756 $ 403,727 $ 228,006 $ 204,203
============== ============== ============== ============== ==============
$ 64 $ -- $ 47 $ 30 $ 24
============== ============== ============== ============== ==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29
<PAGE> 34
NATIONS FUNDS
SCHEDULES OF CAPITAL STOCK ACTIVITY
<TABLE>
<CAPTION>
LARGECAP INDEX
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...................................................... 20,900 $ 588,429 8,490 $ 224,859
Issued in exchange for assets of Boatmen's Trust Company
Equity Index Fund (Note 10)............................. 3,147 86,357 -- --
Issued in exchange for assets of Collective Trust Equity
Index Fund (Note 10).................................... -- -- 58,487 1,690,266
Issued as reinvestment of dividends....................... 202 5,655 511 13,544
Redeemed.................................................. (29,368) (828,220) (6,934) (184,945)
------- --------- ------ ----------
Net increase/(decrease)................................... (5,119) $(147,779) 60,554 $1,743,724
======= ========= ====== ==========
INVESTOR A SHARES:
Sold...................................................... 274 $ 7,656 918 $ 24,361
Issued as reinvestment of dividends....................... 3 73 13 350
Redeemed.................................................. (163) (4,550) (479) (12,988)
------- --------- ------ ----------
Net increase/(decrease)................................... 114 $ 3,179 452 $ 11,723
======= ========= ====== ==========
Total net increase/(decrease)............................. (5,005) $(144,600) 61,006 $1,755,447
======= ========= ====== ==========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30
<PAGE> 35
NATIONS FUNDS
--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
MANAGED INDEX
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...................................................... 385 $ 7,785 3,058 $ 62,607
Issued in exchange for Primary A Shares of Nations Managed
Value Index Fund (Note 10).............................. 85 1,648 -- --
Issued as reinvestment of dividends....................... 1,228 23,114 267 5,408
Redeemed.................................................. (4,869) (100,031) (10,732) (217,683)
------ --------- ------- ---------
Net increase/(decrease)................................... (3,171) $ (67,484) (7,407) $(149,668)
====== ========= ======= =========
INVESTOR A SHARES:
Sold...................................................... 232 $ 4,696 678 $ 13,827
Issued in exchange for Investor A Shares of Nations
Managed Value Index Fund (Note 10)...................... 74 1,431 -- --
Issued as reinvestment of dividends....................... 168 3,165 27 538
Redeemed.................................................. (523) (10,658) (1,024) (21,075)
------ --------- ------- ---------
Net increase/(decrease)................................... (49) $ (1,366) (319) $ (6,710)
====== ========= ======= =========
Total net increase/(decrease)............................. (3,220) $ (68,850) (7,726) $(156,378)
====== ========= ======= =========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31
<PAGE> 36
NATIONS FUNDS
--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
MIDCAP INDEX
PERIOD ENDED
SEPTEMBER 30, 2000
(UNAUDITED)
----------------------
SHARES DOLLARS
----------------------
<S> <C> <C>
(IN THOUSANDS)
PRIMARY A SHARES:+
Sold...................................................... 61,218 $ 544,995
Issued as reinvestment of dividends....................... 70 739
Redeemed.................................................. (23,867) (237,486)
------- ---------
Net increase/(decrease)................................... 37,421 $ 308,248
======= =========
INVESTOR A SHARES:+
Sold...................................................... 1 $ 8
Issued as reinvestment of dividends....................... --* --*
Redeemed.................................................. --* --*
------- ---------
Net increase/(decrease)................................... 1 $ 8
======= =========
Total net increase/(decrease)............................. 37,422 $ 308,256
======= =========
</TABLE>
---------------
+ MidCap Index Primary A and Investor A Shares commenced operations on March 31,
2000 and May 31, 2000, respectively.
* Amount represents less than 500 shares and/or $500, as applicable.
SEE NOTES TO FINANCIAL STATEMENTS.
32
<PAGE> 37
NATIONS FUNDS
--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY (CONTINUED)
<TABLE>
<CAPTION>
SMALLCAP INDEX
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...................................................... 3,946 $ 54,073 6,075 $ 76,898
Issued in exchange for Primary A Shares of Nations Managed
SmallCap Value Index Fund (Note 10)..................... 116 1,469 -- --
Issued as reinvestment of dividends....................... 18 243 18 233
Redeemed.................................................. (2,909) (39,136) (8,723) (107,969)
------ -------- ------ ---------
Net increase/(decrease)................................... 1,171 $ 16,649 (2,630) $ (30,838)
====== ======== ====== =========
INVESTOR A SHARES:
Sold...................................................... 56 $ 815 285 $ 3,621
Issued in exchange for Investor A Shares of Nations
Managed SmallCap Value Index Fund (Note 10)............. 94 1,191 -- --
Issued as reinvestment of dividends....................... 1 7 1 7
Redeemed.................................................. (232) (3,150) (610) (7,617)
------ -------- ------ ---------
Net increase/(decrease)................................... (81) $ (1,137) (324) $ (3,989)
====== ======== ====== =========
Total net increase/(decrease)............................. 1,090 $ 15,512 (2,954) $ (34,827)
====== ======== ====== =========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33
<PAGE> 38
NATIONS FUNDS
FINANCIAL HIGHLIGHTS
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>
LARGECAP INDEX
PRIMARY A SHARES
Six months ended 9/30/2000
(unaudited)....................... $28.90 $0.12 $(1.20) $(1.08) $(0.11) $(0.00)##
Year ended 3/31/2000#............... 25.06 0.26 4.09 4.35 (0.25) (0.26)
Year ended 3/31/1999................ 22.41 0.26 3.63 3.89 (0.25) (0.99)
Year ended 3/31/1998#............... 15.89 0.27 7.11 7.38 (0.27) (0.59)
Year ended 3/31/1997................ 13.58 0.26 2.36 2.62 (0.26) (0.05)
Period ended 3/31/1996*............. 12.91 0.08 0.86 0.94 (0.13) (0.14)
Year ended 11/30/1995............... 9.84 0.28 3.20 3.48 (0.28) (0.13)
INVESTOR A SHARES
Six months ended 9/30/2000
(unaudited)....................... $28.76 $0.08 $(1.20) $(1.12) $(0.08) $(0.00)##
Year ended 3/31/2000#............... 24.94 0.19 4.08 4.27 (0.19) (0.26)
Year ended 3/31/1999................ 22.31 0.19 3.63 3.82 (0.20) (0.99)
Year ended 3/31/1998#............... 15.87 0.21 7.05 7.26 (0.23) (0.59)
Year ended 3/31/1997................ 13.58 0.25 2.32 2.57 (0.23) (0.05)
Period ended 3/31/1996*............. 12.91 0.06 0.87 0.93 (0.12) (0.14)
Period ended 11/30/1995**........... 12.29 0.03 0.59 0.62 -- --
</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.
** LargeCap Index Investor A Shares commenced operations on October 10, 1995.
# Per share net investment income has been calculated using the monthly
average shares method.
## Amount represents 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.
34
<PAGE> 39
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
RATIO OF AND/OR EXPENSE
OPERATING REIMBURSEMENTS
EXPENSES ---------------
RATIO OF INCLUDING RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING INTEREST NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO EXPENSE TO INCOME/(LOSS) PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE TO AVERAGE TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS RATE NET ASSETS
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$(0.11) $27.71 (3.74)% $2,567,992 0.35%+(a)(b) -- 0.83%+ 6% 0.69%+(a)
(0.51) 28.90 17.58 2,826,486 0.35(a)(b) -- 0.96 7 0.71(a)
(1.24) 25.06 18.26 933,313 0.35(a) -- 1.17 4 0.71(a)
(0.86) 22.41 47.38 656,523 0.35(a) 0.36% 1.39 26 0.66(a)
(0.31) 15.89 19.41 567,039 0.35(a) -- 1.91 5 0.70(a)
(0.27) 13.58 7.33 192,388 0.35+(b) -- 1.99+ 2 0.73+
(0.41) 12.91 36.35 145,021 0.37 0.38 2.44 18 0.78
$(0.08) $27.56 (3.90)% $ 30,862 0.60%+(a)(b) -- 0.58%+ 6% 0.94%+(a)
(0.45) 28.76 17.32 28,943 0.60(a)(b) -- 0.71 7 0.96(a)
(1.19) 24.94 18.00 13,827 0.60(a) -- 0.92 4 0.96(a)
(0.82) 22.31 46.58 4,595 0.60(a) 0.61% 1.14 26 0.91(a)
(0.28) 15.87 19.06 2,574 0.60(a) -- 1.66 5 0.95(a)
(0.26) 13.58 7.26 95 0.35+(b) -- 1.99+ 2 0.73+
-- 12.91 5.04 11 0.62+ 0.63+ 2.19+ 18 1.03+
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35
<PAGE> 40
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>
MANAGED INDEX
PRIMARY A SHARES
Six months ended 9/30/2000#
(unaudited)....................... $22.04 $0.06 $(0.97) $(0.91) $(0.06) $(1.52)
Year ended 3/31/2000#............... 19.39 0.16 2.78 2.94 (0.16) (0.13)
Year ended 3/31/1999#............... 17.14 0.18 2.40 2.58 (0.18) (0.15)
Year ended 3/31/1998................ 11.89 0.15 5.42 5.57 (0.17) (0.15)
Period ended 3/31/1997*............. 10.00 0.15 1.87 2.02 (0.13) --
PRIMARY B SHARES
Six months ended 9/30/2000#
(unaudited)....................... $22.16 $0.02 $(1.00) $(0.98) $(0.01) $(1.52)
Year ended 3/31/2000#............... 19.38 0.06 2.78 2.84 (0.06) --
Year ended 3/31/1999#............... 17.11 0.09 2.41 2.50 (0.08) (0.15)
Period ended 3/31/1998**............ 14.52 0.14 2.73 2.87 (0.13) (0.15)
INVESTOR A SHARES
Six months ended 9/30/2000#
(unaudited)....................... $22.04 $0.04 $(0.99) $(0.95) $(0.04) $(1.52)
Year ended 3/31/2000#............... 19.39 0.11 2.78 2.89 (0.11) (0.13)
Year ended 3/31/1999#............... 17.14 0.14 2.39 2.53 (0.13) (0.15)
Year ended 3/31/1998................ 11.89 0.14 5.40 5.54 (0.14) (0.15)
Period ended 3/31/1997*............. 10.00 0.12 1.89 2.01 (0.12) --
</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.
* Managed Index Primary A and Investor A Shares commenced operations on July
31, 1996.
** Managed Index Primary B Shares commenced operations on September 4, 1997.
# 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
RATIO OF AND/OR EXPENSE
OPERATING REIMBURSEMENTS
EXPENSES ---------------
RATIO OF INCLUDING RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING INTEREST NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSES TO EXPENSE TO INCOME/(LOSS) PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE TO AVERAGE TURNOVER AVERAGE
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS NET ASSETS NET ASSETS RATE NET ASSETS
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$(1.58) $19.55 (3.83)% $464,240 0.50%+(a) 0.51%+ 0.63%+ 12% 0.71%+(a)
(0.29) 22.04 15.33 593,317 0.50(a)(b) -- 0.80 64 0.72(a)
(0.33) 19.39 15.25 665,631 0.50(a) -- 1.03 35 0.73(a)
(0.32) 17.14 47.54 374,504 0.50(a)(b) -- 1.26 30 0.80(a)
(0.13) 11.89 20.22 42,226 0.50+(a) -- 1.92+ 17 1.05+(a)
$(1.53) $19.65 (4.14)% $ 6 1.00%+(a) 1.01%+ 0.13%+ 12% 1.31%+(a)
(0.06) 22.16 14.70 6 1.00(a)(b) -- 0.30 64 1.32(a)
(0.23) 19.38 14.78 4 1.00(a) -- 0.53 35 1.33(a)
(0.28) 17.11 18.24 3 1.00+(a)(b) -- 0.76+ 30 1.30+(a)
$(1.56) $19.53 (4.05)% $ 44,643 0.75%+(a) 0.76%+ 0.38%+ 12% 0.96%+(a)
(0.24) 22.04 15.04 51,433 0.75(a)(b) -- 0.55 64 0.97(a)
(0.28) 19.39 14.97 51,439 0.75(a) -- 0.78 35 0.98(a)
(0.29) 17.14 47.21 25,447 0.75(a)(b) -- 1.01 30 1.05(a)
(0.12) 11.89 20.12 3,038 0.75+(a) -- 1.67+ 17 1.30+(a)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37
<PAGE> 42
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
For a share outstanding throughout each period.
<TABLE>
<CAPTION>
NET ASSET NET REALIZED NET INCREASE/ DIVIDENDS
VALUE NET AND UNREALIZED (DECREASE) IN FROM NET NET ASSET
BEGINNING INVESTMENT GAIN/(LOSS) ON NET ASSET VALUE INVESTMENT VALUE
OF PERIOD INCOME/(LOSS) INVESTMENTS FROM OPERATIONS INCOME END OF PERIOD
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MIDCAP INDEX
PRIMARY A SHARES
Period ended 9/30/2000*#
(unaudited).................. $10.00 $0.04 $0.79 $0.83 $(0.04) $10.79
INVESTOR A SHARES
Period ended 9/30/2000*#
(unaudited).................. $10.00 $0.02 $0.84 $0.86 $(0.04) $10.82
</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.
* MidCap Index Primary A and Investor A Shares commenced operations on March
31, 2000 and May 31, 2000, respectively.
# Per share net investment income has been calculated using the 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.
38
<PAGE> 43
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
RATIO OF NET AND/OR EXPENSE
OPERATING REIMBURSEMENTS
EXPENSES ---------------
RATIO OF INCLUDING RATIO OF RATIO OF
NET ASSETS OPERATING INTEREST NET INVESTMENT OPERATING
END OF EXPENSES TO EXPENSE TO INCOME/(LOSS) PORTFOLIO EXPENSES TO
TOTAL PERIOD AVERAGE NET AVERAGE NET TO AVERAGE TURNOVER AVERAGE NET
RETURN++ (000) ASSETS ASSETS NET ASSETS RATE ASSETS
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
8.34% $403,718 0.35%+(a) 0.36%+ 0.87%+ 26% 0.76%+(a)
8.57% $ 9 0.60%+(a) 0.61%+ 0.62%+ 26% 1.01%+(a)
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39
<PAGE> 44
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>
SMALLCAP INDEX
PRIMARY A SHARES
Six months ended 9/30/2000#
(unaudited)....................... $13.53 $0.04 $ 0.56 $ 0.60 $(0.04) --
Year ended 3/31/2000#............... 11.04 0.04 2.49 2.53 (0.04) --
Year ended 3/31/1999#............... 14.10 0.06 (2.92) (2.86) (0.06) (0.14)
Year ended 3/31/1998................ 9.83 0.06 4.58 4.64 (0.06) (0.31)
Period ended 3/31/1997*............. 10.00 0.03 (0.17) (0.14) (0.03) --
INVESTOR A SHARES
Six months ended 9/30/2000#
(unaudited)....................... $13.52 $0.02 $ 0.57 $ 0.59 $(0.02) --
Year ended 3/31/2000#............... 11.03 0.01 2.49 2.50 (0.01) --
Year ended 3/31/1999#............... 14.08 0.03 (2.91) (2.88) (0.03) (0.14)
Year ended 3/31/1998................ 9.82 0.03 4.57 4.60 (0.03) (0.31)
Period ended 3/31/1997*............. 10.00 0.03 (0.18) (0.15) (0.03) --
</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.
* Managed SmallCap Index Primary A and Investor A Shares commenced operations
on October 15, 1996.
# 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.
40
<PAGE> 45
NATIONS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
WITHOUT WAIVERS
RATIO OF NET AND/OR EXPENSE
OPERATING REIMBURSEMENTS
EXPENSES ---------------
RATIO OF INCLUDING RATIO OF RATIO OF
TOTAL NET ASSETS OPERATING INTEREST NET INVESTMENT OPERATING
DIVIDENDS NET ASSET END OF EXPENSE TO EXPENSE TO INCOME/(LOSS) PORTFOLIO EXPENSES TO
AND VALUE TOTAL PERIOD AVERAGE NET AVERAGE NET TO AVERAGE TURNOVER AVERAGE NET
DISTRIBUTIONS END OF PERIOD RETURN++ (000) ASSETS ASSETS NET ASSETS RATE ASSETS
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$(0.04) $14.09 4.45% $221,209 0.42%+(a)(b) -- 0.62%+ 44% 0.77%+(a)
(0.04) 13.53 22.97 196,593 0.50(a) 0.51(a) 0.35 53 0.77(a)
(0.20) 11.04 (20.50) 189,379 0.50(a)(b) -- 0.52 65 0.82(a)
(0.37) 14.10 47.71 102,437 0.50(a)(b) -- 0.52 62 1.02(a)
(0.03) 9.83 (1.37) 40,851 0.50+ -- 1.05+ 18 1.21+
$(0.02) $14.09 4.33% $ 6,797 0.67%+(a)(b) -- 0.37%+ 44% 1.02%+(a)
(0.01) 13.52 22.67 7,610 0.75(a) 0.76(a) 0.10 53 1.02(a)
(0.17) 11.03 (20.67) 9,782 0.75(a)(b) -- 0.27 65 1.07(a)
(0.34) 14.08 47.35 13,768 0.75(a)(b) -- 0.27 62 1.27(a)
(0.03) 9.82 (1.52) 334 0.75+ -- 0.80+ 18 1.46+
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE> 46
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
Nations Fund Trust (the "Trust") 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 and Funds Trust offered five separate
portfolios. These financial statements pertain only to the four index portfolios
of the Trust and Funds Trust: LargeCap Index Fund, Managed Index Fund, MidCap
Index Fund and SmallCap Index Fund (formerly Managed SmallCap Index Fund) (each
a "Fund" and collectively, the "Funds"). Financial statements for the other
portfolios of the Trust and Funds Trust are presented under separate cover. The
Funds currently offer two classes of shares: Primary A Shares and Investor A
Shares. Managed Index Fund also offers Primary B Shares. 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.
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 traded on a recognized exchange or on NASDAQ
are valued at the last sale price on the exchange or market on which such
securities are primarily traded. Securities traded only over-the-counter are
valued at the last sale price, or if no sale occurred on such day, at the mean
of the current bid and asked prices. 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: All 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 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.
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.
Dividends and distributions to shareholders: Distributions from net investment
income are declared and paid each month by the Managed Index Fund; all other
Funds declare and pay distributions each calendar quarter. 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.
42
<PAGE> 47
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
Expenses: General expenses of the Trust 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
Funds bear all costs in connection with their organization, including the fees
and expenses of registering and qualifying their shares for distribution under
federal and state securities regulations. All such costs are being amortized on
a straight line basis over a period of five years from commencement of
operations.
2. INVESTMENT ADVISORY FEE, SUB-ADVISORY FEE, ADMINISTRATION FEE AND RELATED
PARTY TRANSACTIONS
Each of the Trust and Funds Trust has entered into an investment advisory
agreement (the "Investment Advisory Agreements") 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 Funds. Under
the terms of the Investment Advisory Agreements, BAAI is entitled to receive an
advisory fee, calculated daily and payable monthly, at the maximum annual rate
of 0.40% of each Fund's average daily net assets.
Each of the Trust and Funds Trust 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 0.10% of each Fund's
average daily net assets.
Stephens Inc. ("Stephens") and BAAI serve as co-administrators of the Trust 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 0.23% of each Fund's average daily net assets. The
Bank of New York ("BNY") serves as sub-administrator of the Trust and Funds
Trust pursuant to agreements with BAAI. For the six months ended September 30,
2000, Stephens and BAAI earned 0.07% and 0.11%, respectively, of the Funds'
average daily net assets for their co-administration services.
BAAI and/or the sub-adviser and Stephens may, from time to time, reduce their
fees payable by each Fund. Effective August 1, 2000, BAAI and/or the sub-adviser
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>
LargeCap Index Fund and MidCap Index Fund..... 0.35%
SmallCap Index Fund........................... 0.40%
Managed Index Fund............................ 0.50%
</TABLE>
BNY serves as the custodian of the Trust's and Funds Trust's assets. For the six
months ended September 30, 2000, expenses of the Funds were reduced by $15,024
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 and Funds Trust for
serving as Trustee or Officer of the Trust 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 $7,859 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
no front-end sales charges for sales of Investor A Shares and no 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 and Funds 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 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 Nations Fund,
Inc., another registered investment company in the Nations Funds family. The
expense for the deferred compensation
43
<PAGE> 48
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
and retirement plans is included in "Trustees' fees and expenses" in the
Statements of operations.
Certain Funds have made daily investments of cash balances in 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 Funds earned $1,318,202 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 has adopted a shareholder administration plan for Primary B Shares of
the Managed Index Fund. Each of the Trust and Funds Trust has adopted a combined
shareholder servicing and distribution plan for the Investor A Shares of each
Fund. The shareholder administration plan permits the Managed Index Fund to
compensate institutions for shareholder administration services provided to
customers that own Primary B Shares. The shareholder servicing plans permit the
Funds to compensate or reimburse servicing agents for shareholder services
provided by the servicing agents. The distribution plans, adopted pursuant to
Rule 12b-1 under the 1940 Act, permit the Funds to compensate or reimburse the
distributor and/or selling agents for activities or expenses primarily intended
to result in the sale of the 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, and are charged as expenses of each Fund directly to the
applicable class. A substantial portion of the expenses incurred pursuant to
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:
Managed Index Fund................. 0.50% 0.60%
Investor A Combined Shareholder
Servicing and Distribution Plan.... 0.25% 0.25%
</TABLE>
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>
LargeCap Index.................. $156,655 $426,680
Managed Index................... 69,906 179,833
MidCap Index.................... 104,977 159,631
SmallCap Index.................. 111,594 84,373
</TABLE>
There were no purchases or sales of long-term U.S. government securities for the
six months ended September 30, 2000.
5. FUTURES CONTRACTS
At September 30, 2000, the following Funds had futures contracts open:
<TABLE>
<CAPTION>
VALUE OF CONTRACT MARKET VALUE UNREALIZED
NUMBER OF WHEN OPENED OF CONTRACTS DEPRECIATION
DESCRIPTION CONTRACTS (000) (000) (000)
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LARGECAP INDEX:
S&P 500 Futures (long position) expiring December 2000(a)... 259 $97,339 $94,127 $(3,212)
MANAGED INDEX:
S&P 500 Futures (long position) expiring December 2000(a)... 56 21,402 20,352 (1,050)
MIDCAP INDEX:
S&P 500 MidCap Futures (long position) expiring December
2000(a)................................................... 2 550 545 (5)
SMALLCAP INDEX
Russell 2000 Futures (long position) expiring December
2000(a)................................................... 15 3,967 3,955 (12)
</TABLE>
---------------
(a) Securities have been segregated as collateral for the LargeCap Index,
Managed Index, MidCap Index and SmallCap Index Funds for open futures
contracts.
44
<PAGE> 49
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
6. SHARES OF BENEFICIAL INTEREST
As of September 30, 2000, an unlimited number of shares of beneficial interest
without par value were authorized for each of the Trust and Funds Trust. The
Trust's and Funds Trust's Declarations of Trust authorize the Board of Trustees
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 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, borrowings by the Funds under the
Agreement were as follows:
<TABLE>
<CAPTION>
AVERAGE
AMOUNT AVERAGE
OUTSTANDING INTEREST
FUND (000) RATE
---------------------------------------------------------
<S> <C> <C>
LargeCap Index.................. $1,141 6.99%
Managed Index................... 441 6.82
MidCap Index.................... 541 6.90
SmallCap Index.................. 19 6.67
</TABLE>
The average amount outstanding was calculated based on daily balances in the
period.
The Trust 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 LOANED MARKET VALUE
SECURITIES OF COLLATERAL
FUND (000) (000)
----------------------------------------------------------
<S> <C> <C>
LargeCap Index............. $60,733 $64,883
Managed Index.............. 11,213 11,883
MidCap Index............... 50,016 51,948
SmallCap Index............. 13,884 14,732
</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>
2007 2008
FUND (000) (000)
------------------------------------------------------
<S> <C> <C>
SmallCap Index..................... $1,115 $16,268
</TABLE>
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>
LargeCap Index........................... $781
SmallCap Index........................... 523
</TABLE>
45
<PAGE> 50
NATIONS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
10. REORGANIZATIONS
ACQUISITION OF THE COLLECTIVE TRUST EQUITY INDEX FUND
On March 31, 2000, the LargeCap Index Fund (the "Acquiring Fund") acquired the
assets of the Collective Trust Equity Index Fund (the "Acquired Fund"), managed
by Bank of America, in a taxable 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 as of the conversation date of
the Acquired Fund and the Acquiring Fund prior to conversion, and the Acquiring
Fund immediately after the conversion, were $1,690,266,000, $1,165,163,000 and
$2,855,429,000, respectively.
On May 12, 2000, the Managed Index Fund and the SmallCap Index Fund (each an
"Acquiring Fund"), acquired the assets and liabilities of the Nations Managed
Value Index Fund and the Nations Managed SmallCap Value Index Fund,
respectively, (each an "Acquired Fund"), in a tax-free reorganization in
exchange for shares of the respective Acquiring Fund, pursuant to a plan of
reorganization approved by the respective 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 as
of the reorganization date were as follows:
<TABLE>
<CAPTION>
TOTAL NET ASSETS ACQUIRED FUND
TOTAL NET ASSETS TOTAL NET ASSETS OF ACQUIRING FUND UNREALIZED
OF ACQUIRED FUND OF ACQUIRING FUND AFTER ACQUISITION APPRECIATION
ACQUIRING FUND ACQUIRED FUND (000) (000) (000) (000)
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Managed Index Managed Value Index Fund $3,079 $571,572 $574,651 $536
SmallCap Index Managed SmallCap Index Fund 2,660 188,836 191,096 94
</TABLE>
CONVERSION OF COMMON TRUST FUNDS
On May 12, 2000, the LargeCap Index Fund (the "Acquiring Fund"), acquired the
assets of Boatmen's Trust Company Equity Index Fund, a common trust fund,
managed by Bank of America, N.A. (the "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>
TOTAL NET ASSETS OF ACQUIRED FUND
TOTAL NET ASSETS TOTAL NET ASSETS ACQUIRING FUND UNREALIZED
OF ACQUIRED FUND OF ACQUIRING FUND AFTER CONVERSION APPRECIATION
(000) (000) (000) (000)
-----------------------------------------------------------------------------
<S> <C> <C> <C>
$86,357 $2,700,937 $2,787,294 $56,303
</TABLE>
46
<PAGE> 51
P.O. Box 34602
Charlotte, NC 28254-4602
Toll free 1.800.321.7854
NATIONS FUNDS
INDEXSAR (9/00)
